Fair Value of Financial Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 2023

Gross Notional Amounts of Commodity Forwards and Options

Gross notional amounts of commodity forwards and options:


(Amounts in Millions) (a)(b)	Sept. 30, 2023	Dec. 31, 2022
Megawatt hours of electricity	4	8
Million British thermal units of natural gas	28	43

(a)Not reflective of net positions in the underlying commodities.

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

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


	Pre-Tax 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, 2023
Derivatives designated as cash flow hedges
Interest rate	$	1	(b)	$	—		$	—
Total	$	1		$	—		$	—
Other derivative instruments
Commodity trading	$	—		$	—		$	2	(a)
Total	$	—		$	—		$	2
Nine Months Ended Sept. 30, 2023
Derivatives designated as cash flow hedges
Interest rate	$	1	(b)	$	—		$	—
Total	$	1		$	—		$	—
Other derivative instruments
Commodity trading	$	—		$	—		$	(3)	(a)
Natural gas commodity	—			10		(c)	(12)		(c)(d)
Total	$	—		$	10		$	(15)
Three Months Ended Sept. 30, 2022
Derivatives designated as cash flow hedges
Interest rate	$	1	(b)	$	—		$	—
Total	$	1		$	—		$	—
Other derivative instruments
Commodity trading	$	—		$	—		$	2	(a)
Total	$	—		$	—		$	2
Nine Months Ended Sept. 30, 2022
Derivatives designated as cash flow hedges
Interest rate	$	1	(b)	$	—		$	—
Total	$	1		$	—		$	—
Other derivative instruments
Commodity trading	$	—		$	—		$	3	(a)
Natural gas commodity	—			2		(c)	(11)		(c)(d)
Total	$	—		$	2		$	(8)

(a)Recorded to electric revenues. Presented amounts do not reflect non-derivative transactions or margin sharing with customers.

(b)Recorded to interest charges.

(c)Recorded to cost of natural gas sold and transported. These losses are subject to cost-recovery mechanisms and reclassified out of income to a regulatory asset, as appropriate.

(d)Relates primarily to option premium amortization.

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


	Sept. 30, 2023												Dec. 31, 2022
	Fair Value						Fair Value Total		Netting (a)		Total		Fair Value						Fair Value Total		Netting (a)		Total
(Millions of Dollars)	Level 1		Level 2		Level 3								Level 1		Level 2		Level 3
Current derivative assets
Other derivative instruments:
Commodity trading	$	3	$	42	$	3	$	48	$	(37)	$	11	$	16	$	220	$	1	$	237	$	(184)	$	53
Natural gas commodity	—		2		—		2		—		2		—		12		—		12		—		12
Total current derivative assets	$	3	$	44	$	3	$	50	$	(37)	$	13	$	16	$	232	$	1	$	249	$	(184)	$	65
Noncurrent derivative assets
Other derivative instruments:
Commodity trading	$	8	$	2	$	8	$	18	$	(5)	$	13	$	12	$	32	$	9	$	53	$	(31)	$	22
Total noncurrent derivative assets	$	8	$	2	$	8	$	18	$	(5)	$	13	$	12	$	32	$	9	$	53	$	(31)	$	22


	Sept. 30, 2023												Dec. 31, 2022
	Fair Value						Fair Value Total		Netting (a)		Total		Fair Value						Fair Value Total		Netting (a)		Total
(Millions of Dollars)	Level 1		Level 2		Level 3								Level 1		Level 2		Level 3
Current derivative liabilities
Other derivative instruments:
Commodity trading	$	1	$	51	$	—	$	52	$	(43)	$	9	$	5	$	237	$	1	$	243	$	(223)	$	20
Natural gas commodity	—		—		—		—		—		—		—		10		—		10		—		10
Total current derivative liabilities	$	1	$	51	$	—	$	52	$	(43)	$	9	$	5	$	247	$	1	$	253	$	(223)	$	30
Noncurrent derivative liabilities
Other derivative instruments:
Commodity trading	$	4	$	4	$	—	$	8	$	(6)	$	2	$	7	$	40	$	—	$	47	$	(38)	$	9
Total noncurrent derivative liabilities	$	4	$	4	$	—	$	8	$	(6)	$	2	$	7	$	40	$	—	$	47	$	(38)	$	9

(a)PSCo nets derivative instruments and related collateral on its consolidated balance sheets when supported by a legally enforceable master netting agreement. At Sept. 30, 2023 and Dec. 31, 2022, derivative assets and liabilities include no obligations to return cash collateral. At Sept. 30, 2023 and Dec. 31, 2022, derivative assets and liabilities include rights to reclaim cash collateral of $7 million and $46 million, respectively. 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 Sept. 30
(Millions of Dollars)	2023		2022
Balance at July 1	$	9	$	(30)
Settlements (a)	—		5
Net transactions recorded during the period:
Gains recognized in earnings (a)	2		1
Balance at Sept. 30	$	11	$	(24)

	Nine Months Ended Sept. 30
(Millions of Dollars)	2023		2022
Balance at Jan. 1	$	9	$	(63)
Settlements (a)	—		9
Net transactions recorded during the period:
Gains recognized in earnings (a)	2		30
Balance at Sept. 30	$	11	$	(24)

(a)Relates to commodity trading and is subject to substantial offsetting losses and gains on derivative instruments categorized as levels 1 and 2 in the consolidated income statement. See above tables for the income statement impact of derivative activity, including commodity trading gains and losses.

Carrying Amount and Fair Value of Long-term Debt


	Sept. 30, 2023				Dec. 31, 2022
(Millions of Dollars)	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Long-term debt, including current portion	$	7,449	$	5,932	$	6,860	$	5,881