XML 34 R24.htm IDEA: XBRL DOCUMENT

Fair Value of Financial Assets and Liabilities (Tables)

6 Months Ended

Jun. 30, 2020

Gross Notional Amounts of Commodity Forwards and Options

Gross notional amounts of commodity forwards and options:


(Amounts in Millions) ^(a)(b)	June 30, 2020	Dec. 31, 2019
Megawatt hours of electricity	19.3	9.3
Million British thermal units of natural gas	69.2	32.2

^(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


	Pre-Tax Fair Value Gains (Losses) Recognized During the Period in:
(Millions of Dollars)	Accumulated Other Comprehensive Loss		Regulatory (Assets) and Liabilities
Three Months Ended June 30, 2020
Other derivative instruments
Natural gas commodity	$	—	$	(2.8)
Total	$	—	$	(2.8)

Six Months Ended June 30, 2020
Other derivative instruments
Natural gas commodity	$	—	$	(2.8)
Total	$	—	$	(2.8)

Three Months Ended June 30, 2019
Other derivative instruments
Natural gas commodity	$	—	$	(1.5)
Total	$	—	$	(1.5)

Six Months Ended June 30, 2019
Other derivative instruments
Natural gas commodity	$	—	$	(1.5)
Total	$	—	$	(1.5)


	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 June 30, 2020
Derivatives designated as cash flow hedges
Interest rate	$	0.4	^(a)	$	—		$	—
Total	$	0.4		$	—		$	—
Other derivative instruments
Commodity trading	$	—		$	—		$	(1.4)	^(b)
Total	$	—		$	—		$	(1.4)

Six Months Ended June 30, 2020
Derivatives designated as cash flow hedges
Interest rate	$	0.8	^(a)	$	—		$	—
Total	$	0.8		$	—		$	—
Other derivative instruments
Commodity trading	$	—		$	—		$	(5.3)	^(b)
Natural gas commodity	—			3.4		^(c)	(3.4)		^(c)
Total	$	—		$	3.4		$	(8.7)

^(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 the three and six months ended June 30, 2020, 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. Remaining derivative settlement losses for the three and six months ended June 30, 2020, 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.


	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 June 30, 2019
Derivatives designated as cash flow hedges
Interest rate	$	0.4	^(a)	$	—		$	—
Total	$	0.4		$	—		$	—
Other derivative instruments
Commodity trading	$	—		$	—		$	3.3	^(b)
Total	$	—		$	—		$	3.3

Six months ended June 30, 2019
Derivatives designated as cash flow hedges
Interest rate	$	0.8	^(a)	$	—		$	—
Total	$	0.8		$	—		$	—
Other derivative instruments
Commodity trading	$	—		$	—		$	4.7	^(b)
Natural gas commodity	—			(1.3)		^(c)	(2.0)		^(c)
Total	$	—		$	(1.3)		$	2.7

^(a)Amounts are recorded to interest charges.

(c) Amounts for the three and six months ended June 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. Remaining derivative settlement losses for the three and six months ended June 30, 2019, 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


	June 30, 2020																							Dec. 31, 2019
	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	$	2.9	$	17.0	$	1.0	$	20.9	$	(18.2)	$	2.7		$	1.9	$	11.1	$	0.9	$	13.9	$	(10.1)	$	3.8
Natural gas commodity	—		5.3		—		5.3		—		5.3			—		3.4		—		3.4		—		3.4
Total current derivative assets	$	2.9	$	22.3	$	1.0	$	26.2	$	(18.2)	$	8.0		$	1.9	$	14.5	$	0.9	$	17.3	$	(10.1)	$	7.2
Noncurrent derivative assets
Other derivative instruments:
Commodity trading	$	1.1	$	10.8	$	—	$	11.9	$	(11.5)	$	0.4		$	0.4	$	8.1	$	1.1	$	9.6	$	(9.6)	$	—
Total noncurrent derivative assets	$	1.1	$	10.8	$	—	$	11.9	$	(11.5)	$	0.4		$	0.4	$	8.1	$	1.1	$	9.6	$	(9.6)	$	—


	June 30, 2020																							Dec. 31, 2019
	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	$	2.5	$	24.8	$	0.1	$	27.4	$	(18.2)	$	9.2		$	1.7	$	16.7	$	—	$	18.4	$	(13.1)	$	5.3
Natural gas commodity	—		4.0		—		4.0		—		4.0			—		3.4		—		3.4		—		3.4
Total current derivative liabilities	$	2.5	$	28.8	$	0.1	$	31.4	$	(18.2)	$	13.2		$	1.7	$	20.1	$	—	$	21.8	$	(13.1)	$	8.7
Noncurrent derivative liabilities
Other derivative instruments:
Commodity trading	$	1.2	$	43.1	$	18.0	$	62.3	$	(14.7)	$	47.6		$	0.4	$	47.0	$	14.7	$	62.1	$	(9.6)	$	52.5
Total noncurrent derivative liabilities	$	1.2	$	43.1	$	18.0	$	62.3	$	(14.7)	$	47.6		$	0.4	$	47.0	$	14.7	$	62.1	$	(9.6)	$	52.5

(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 June 30, 2020 and Dec. 31, 2019. At both June 30, 2020 and Dec. 31, 2019, derivative liabilities include no obligations to return cash collateral and the right to reclaim cash collateral of $3.2 million and $3.0 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.

Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation

Changes in Level 3 commodity derivatives:


	Three Months Ended June 30
(Millions of Dollars)	2020		2019
Balance at April 1	$	(14.6)	$	(0.1)

Settlements	(0.3)		—
Net transactions recorded during the period:
(Losses) gains recognized in earnings ^(a)	(2.2)		0.3

Balance at June 30	$	(17.1)	$	0.2

	Six Months Ended June 30
(Millions of Dollars)	2020		2019
Balance at Jan. 1	$	(12.7)	$	0.1

Settlements	(1.1)		(0.9)
Net transactions recorded during the period:
(Losses) gains recognized in earnings ^(a)	(3.3)		1.0

Balance at June 30	$	(17.1)	$	0.2

^(a)Amounts relate to commodity derivatives held at the end of the period.

Carrying Amount and Fair Value of Long-term Debt

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


	June 30, 2020						Dec. 31, 2019
(Millions of Dollars)	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Long-term debt, including current portion	$	6,122.0	$	7,250.8	$	5,384.7	$	6,039.3