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Fair Value of Financial Assets and Liabilities (Tables)
6 Months Ended
Jun. 30, 2021
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)
June 30, 2021Dec. 31, 2020
Megawatt hours of electricity20 17 
Million British thermal units of natural gas86 93 
(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 (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 LossRegulatory Assets and (Liabilities)
Three Months Ended June 30, 2021
Other derivative instruments
Commodity trading$— $— $10 
(b)
Total$— $— $10 
Six Months Ended June 30, 2021
Derivatives designated as cash flow hedges
Interest rate$
(a)
$— $— 
Total$$— $— 
Other derivative instruments
Commodity trading$— $— $14 
(b)
Natural gas commodity— 
(c)
(6)
(c)
Total$— $$
Three Months Ended June 30, 2020
Other derivative instruments
Commodity trading$— $— $(1)
(b)
Total$— $— $(1)
Six Months Ended June 30, 2020
Derivatives designated as cash flow hedges
Interest rate$
(a)
$— $— 
Total$$— $— 
Other derivative instruments
Commodity trading$— $— $(5)
(b)
Natural gas commodity— 
(c)
(3)
(c)
Total$— $$(8)
(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 six months ended June 30, 2021 and 2020, included no settlement gains 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. The derivative settlement losses for both the three and six months ended June 30, 2021 and 2020 relate to natural gas operations and were 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, 2021Dec. 31, 2020
Fair ValueFair Value Total
Netting (a)
TotalFair ValueFair Value Total
Netting (a)
Total
(Millions of Dollars)Level 1Level 2Level 3Level 1Level 2Level 3
Current derivative assets
Other derivative instruments:
Commodity trading$11 $145 $$157 $(129)$28 $$41 $$43 $(28)$15 
Natural gas commodity— — — — — — 
Total current derivative assets$11 $153 $$165 $(129)$36 $$47 $$49 $(28)$21 
Noncurrent derivative assets
Other derivative instruments:
Commodity trading$$80 $29 $114 $(74)$40 $$27 $$36 $(20)$16 
Total noncurrent derivative assets$$80 $29 $114 $(74)$40 $$27 $$36 $(20)$16 
June 30, 2021Dec. 31, 2020
Fair ValueFair Value Total
Netting (a)
TotalFair ValueFair Value Total
Netting (a)
Total
(Millions of Dollars)Level 1Level 2Level 3Level 1Level 2Level 3
Current derivative liabilities
Other derivative instruments:
Commodity trading$$148 $10 $165 $(133)$32 $$46 $$54 $(33)$21 
Natural gas commodity— — — — — — 
Total current derivative liabilities$$151 $10 $168 $(133)$35 $$52 $$60 $(33)$27 
Noncurrent derivative liabilities
Other derivative instruments:
Commodity trading$$50 $81 $133 $(87)$46 $$24 $46 $71 $(20)$51 
Total noncurrent derivative assets$$50 $81 $133 $(87)$46 $$24 $46 $71 $(20)$51 
(a)PSCo nets derivative instruments and related collateral on its consolidated balance sheets 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, 2021 and Dec. 31, 2020. At both June 30, 2021 and Dec. 31, 2020, derivative assets and liabilities include no obligations to return cash collateral. At June 30, 2021 and Dec. 31, 2020, derivative assets and liabilities include rights to reclaim cash collateral of $16 million and $5 million, respectively. The counterparty netting amounts presented exclude settlement receivables and payables and non-derivative amounts that may be subject to the same master netting agreements.
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation
Changes in Level 3 commodity derivatives:
Three Months Ended June 30
(Millions of Dollars)20212020
Balance at April 1$(38)$(15)
Settlements— — 
Net transactions recorded during the period:
Losses recognized in earnings (a)
(23)(2)
Balance at June 30$(61)$(17)
Six Months Ended June 30
(Millions of Dollars)20212020
Balance at Jan. 1$(44)$(13)
Settlements(1)(1)
Net transactions recorded during the period:
Losses recognized in earnings (a)
(16)(3)
Balance at June 30$(61)$(17)
(a)Presented amounts relate to instruments held at the end of the period. The consolidated income statement also includes gains and losses on Level 1 and 2 instruments, and Level 3 instruments settled during 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, 2021Dec. 31, 2020
(Millions of Dollars)Carrying AmountFair ValueCarrying AmountFair Value
Long-term debt, including current portion$6,464 $7,426 $5,724 $7,040