Fair Value of Financial Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 2019

Fair Value Disclosures [Abstract]

Gross Notional Amounts of Commodity Forwards and Options

Gross notional amounts of commodity forwards and options:

(Amounts in Millions) (a)(b)	Sept. 30, 2019	Dec. 31, 2018
Megawatt hours of electricity	15.5	24.4
Million British thermal units of natural gas	58.8	48.4

^(a)  Amounts are not reflective of net positions in the underlying commodities.

^(b) 

Notional amounts for options are included on a gross basis, but are weighted for the probability of exercise.

Impact of Derivative Activity on Accumulated Other Comprehensive Loss, Regulatory Assets and Liabilities, and Income

Impact of derivative activity:

	Pre-Tax Fair Value Losses Recognized During the Period in:
(Millions of Dollars)	Accumulated Other Comprehensive Loss		Regulatory (Assets) and Liabilities
Three Months Ended Sept. 30, 2019
Other derivative instruments
Natural gas commodity	$	—	$	(2.2	)
Total	$	—	$	(2.2	)
Nine Months Ended Sept. 30, 2019
Other derivative instruments
Natural gas commodity	$	—	$	(3.7	)
Total	$	—	$	(3.7	)
Three Months Ended Sept. 30, 2018
Other derivative instruments
Natural gas commodity	$	—	$	(1.2	)
Total	$	—	$	(1.2	)
Nine Months Ended Sept. 30, 2018
Other derivative instruments
Natural gas commodity	$	—	$	(1.6	)
Total	$	—	$	(1.6	)

	Pre-Tax (Gains) Losses Reclassified into Income During the Period from:							Pre-Tax Gains (Losses) Recognized During the Period in Income
(Millions of Dollars)	Accumulated Other Comprehensive Loss			Regulatory Assets and (Liabilities)
Three Months Ended Sept. 30, 2019
Derivatives designated as cash flow hedges
Interest rate	$	0.4	(a)	$	—			$	—
Total	$	0.4		$	—			$	—
Other derivative instruments
Commodity trading	$	—		$	—			$	0.6		(b)
Total	$	—		$	—			$	0.6
Nine Months Ended Sept. 30, 2019
Derivatives designated as cash flow hedges
Interest rate	$	1.2	(a)	$	—			$	—
Total	$	1.2		$	—			$	—
Other derivative instruments
Commodity trading	$	—		$	—			$	5.3		(b)
Natural gas commodity	—			(1.3		)	(c)	(2.1		)	(c)
Total	$	—		$	(1.3	)		$	3.2
Three Months Ended Sept. 30, 2018
Derivatives designated as cash flow hedges
Interest rate	$	0.4	(a)	$	—			$	—
Total	$	0.4		$	—			$	—
Other derivative instruments
Commodity trading	$	—		$	—			$	2.0		(b)
Total	$	—		$	—			$	2.0
Nine Months Ended Sept. 30, 2018
Derivatives designated as cash flow hedges
Interest rate	$	1.2	(a)	$	—			$	—
Total	$	1.2		$	—			$	—
Other derivative instruments
Commodity trading	$	—		$	—			$	2.7		(b)
Natural gas commodity	—			2.7			(c)	(1.6		)	(c)
Total	$	—		$	2.7			$	1.1

^(a)  Amounts are recorded to interest charges.

^(b)  Amounts are recorded to electric operating revenues. Portions of these gains and losses are subject to sharing with electric customers through margin-sharing mechanisms and deducted from gross revenue as appropriate.

^(c)  Amounts for both the three and nine months ended Sept. 30, 2019 included no settlement gain or losses on derivatives entered to mitigate natural gas price risk for electric generation recorded to electric fuel and purchased power, subject to cost-recovery mechanisms and reclassified to a regulatory asset, as appropriate. Amounts for the three and nine months ended Sept. 30, 2018 included no such settlement gains or losses and $1.2 million of such settlement losses, respectively. Remaining derivative settlement losses for the three and nine months ended Sept. 30, 2019 and 2018 relate to natural gas operations and are recorded to cost of natural gas sold and transported. These gains and losses are subject to cost-recovery mechanisms and reclassified out of income to a regulatory asset or liability, as appropriate.

Derivative Assets and Liabilities Measured at Fair Value on a Recurring Basis by Hierarchy Level

Recurring Fair Value Measurements — PSCo’s assets and liabilities measured at fair value on a recurring basis:

	Sept. 30, 2019													Dec. 31, 2018
	Fair Value						Fair Value Total		Netting (a)					Fair Value						Fair Value Total		Netting (a)
(Millions of Dollars)	Level 1		Level 2		Level 3							Total		Level 1		Level 2		Level 3							Total
Current derivative assets
Other derivative instruments:
Commodity trading	$	1.4	$	13.6	$	0.2	$	15.2	$	(10.0	)	$	5.2	$	2.3	$	65.0	$	0.1	$	67.4	$	(28.2	)	$	39.2
Natural gas commodity	—		4.8		—		4.8		—			4.8		—		3.4		—		3.4		—			3.4
Total current derivative assets	$	1.4	$	18.4	$	0.2	$	20.0	$	(10.0	)	$	10.0	$	2.3	$	68.4	$	0.1	$	70.8	$	(28.2	)	$	42.6
Noncurrent derivative assets
Other derivative instruments:
Commodity trading	$	0.5	$	5.7	$	0.1	$	6.3	$	(5.6	)	$	0.7	$	—	$	1.6	$	—	$	1.6	$	(0.4	)	$	1.2
Total noncurrent derivative assets	$	0.5	$	5.7	$	0.1	$	6.3	$	(5.6	)	$	0.7	$	—	$	1.6	$	—	$	1.6	$	(0.4	)	$	1.2

	Sept. 30, 2019													Dec. 31, 2018
	Fair Value						Fair Value Total		Netting (a)					Fair Value						Fair Value Total		Netting (a)
(Millions of Dollars)	Level 1		Level 2		Level 3							Total		Level 1		Level 2		Level 3							Total
Current derivative liabilities
Other derivative instruments:
Commodity trading	$	1.4	$	19.1	$	0.1	$	20.6	$	(13.3	)	$	7.3	$	2.4	$	64.2	$	—	$	66.6	$	(34.7	)	$	31.9
Natural gas commodity	—		4.4		—		4.4		—			4.4		—		—		—		—		—			—
Total current derivative liabilities	$	1.4	$	23.5	$	0.1	$	25.0	$	(13.3	)	11.7		$	2.4	$	64.2	$	—	$	66.6	$	(34.7	)	31.9
PPAs (b)												—													2.7
Current derivative instruments												$	11.7												$	34.6
Noncurrent derivative liabilities
Other derivative instruments:
Commodity trading	$	0.4	$	60.0	$	—	$	60.4	$	(5.6	)	$	54.8	$	—	$	1.1	$	—	$	1.1	$	(0.5	)	$	0.6
Total noncurrent derivative liabilities	$	0.4	$	60.0	$	—	$	60.4	$	(5.6	)	$	54.8	$	—	$	1.1	$	—	$	1.1	$	(0.5	)	$	0.6

^(a)  PSCo nets derivative instruments and related collateral in its consolidated balance sheet when supported by a legally enforceable master netting agreement, and all derivative instruments and related collateral amounts were subject to master netting agreements at Sept. 30, 2019 and Dec. 31, 2018. At both Sept. 30, 2019 and Dec. 31, 2018, derivative assets and liabilities include no obligations to return cash collateral. At Sept. 30, 2019 and Dec. 31, 2018, derivative assets and liabilities include the rights to reclaim cash collateral of $3.2 million and $6.5 million, respectively. The counterparty netting amounts presented exclude settlement receivables and payables and non-derivative amounts that may be subject to the same master netting agreements.

^(b) 

During 2006, PSCo qualified these contracts under the normal purchase exception. Based on this qualification, the contracts are no longer adjusted to fair value and the previous carrying value of these contracts will be amortized over the remaining contract lives along with the offsetting regulatory assets and liabilities.

Carrying Amount and Fair Value of Long-term Debt

Other financial instruments for which the carrying amount did not equal fair value:

	Sept. 30, 2019				Dec. 31, 2018
(Millions of Dollars)	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Long-term debt, including current portion	$	5,384.0	$	6,139.2	$	4,997.6	$	5,123.2