Risk Management and Derivatives (Tables)

9 Months Ended

Sep. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Contract or Notional Amounts and Terms of Marketing Activities and Derivative Commodity Instruments

We had the following net long positions as of:


		September 30, 2020		December 31, 2019
	Units	Notional Amounts	Maximum Term (months) (a)	Notional Amounts	Maximum Term (months) (a)
Natural gas futures purchased	MMBtus	1,930,000	6	1,450,000	12
Natural gas options purchased, net	MMBtus	8,320,000	6	3,240,000	3
Natural gas basis swaps purchased	MMBtus	1,780,000	6	1,290,000	12
Natural gas over-the-counter swaps, net (b)	MMBtus	4,525,100	20	4,600,000	24
Natural gas physical contracts, net (c)	MMBtus	23,350,287	13	13,548,235	12
Electric wholesale contracts (c)	MWh	55,225	3	—	0

__________

(a) Term reflects the maximum forward period hedged.

(b) As of September 30, 2020, 1,274,900 MMBtus of natural gas over-the-counter swaps purchases were designated as cash flow hedges.

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The following table presents the fair value and balance sheet classification of our derivative instruments (in thousands) as of:


	Balance Sheet Location	September 30, 2020		December 31, 2019
Derivatives designated as hedges:
Asset derivative instruments:
Current commodity derivatives	Derivative assets, current	$	435	$	1
Noncurrent commodity derivatives	Other assets, non-current	94		3
Liability derivative instruments:
Current commodity derivatives	Derivative liabilities, current	(9)		(490)
Noncurrent commodity derivatives	Other deferred credits and other liabilities	—		(29)
Total derivatives designated as hedges		$	520	$	(515)

Derivatives not designated as hedges:
Asset derivative instruments:
Current commodity derivatives	Derivative assets, current	$	1,566	$	341
Noncurrent commodity derivatives	Other assets, non-current	434		2
Liability derivative instruments:
Current commodity derivatives	Derivative liabilities, current	(1,430)		(1,764)
Noncurrent commodity derivatives	Other deferred credits and other liabilities	—		(63)
Total derivatives not designated as hedges		$	570	$	(1,484)

Derivative Instruments, Gain (Loss)

The impacts of cash flow hedges on our Condensed Consolidated Statements of Comprehensive Income and Condensed Consolidated Statements of Income are presented below for the three and nine months ended September 30, 2020 and 2019. Note that this presentation does not reflect gains or losses arising from the underlying physical transactions; therefore, it is not indicative of the economic profit or loss we realized when the underlying physical and financial transactions were settled.


	Three Months Ended September 30,					Three Months Ended September 30,
	2020		2019			2020		2019
Derivatives in Cash Flow Hedging Relationships	Amount of (Gain)/Loss Recognized in OCI				Income Statement Location	Amount of Gain/(Loss) Reclassified from AOCI into Income
	(in thousands)					(in thousands)
Interest rate swaps	$	712	$	713	Interest expense	$	(712)	$	(713)
Commodity derivatives	691		(21)		Fuel, purchased power and cost of natural gas sold	(178)		(129)
Total	$	1,403	$	692		$	(890)	$	(842)


	Nine Months Ended September 30,					Nine Months Ended September 30,
	2020		2019			2020		2019
Derivatives in Cash Flow Hedging Relationships	Amount of (Gain)/Loss Recognized in OCI				Income Statement Location	Amount of Gain/(Loss) Reclassified from AOCI into Income
	(in thousands)					(in thousands)
Interest rate swaps	$	2,138	$	2,139	Interest expense	$	(2,138)	$	(2,139)
Commodity derivatives	959		(942)		Fuel, purchased power and cost of natural gas sold	(734)		508
Total	$	3,097	$	1,197		$	(2,872)	$	(1,631)

Based on September 30, 2020 prices, a $0.1 million gain would be realized, reported in pre-tax earnings and reclassified from AOCI during the next 12 months. As market prices fluctuate, estimated and actual realized gains or losses will change during future periods.

Derivatives Not Designated as Hedges

The following table summarizes the impacts of derivative instruments not designated as hedge instruments on our Condensed Consolidated Statements of Income for the three and nine months ended September 30, 2020 and 2019. Note that this presentation does not reflect gains or losses arising from the underlying physical transactions; therefore, it is not indicative of the economic profit or loss we realized when the underlying physical and financial transactions were settled.



		Three Months Ended September 30,
		2020		2019
Derivatives Not Designated as Hedging Instruments	Income Statement Location	Amount of Gain/(Loss) on Derivatives Recognized in Income

Commodity derivatives - Electric	Fuel, purchased power and cost of natural gas sold	$	(1,386)	$	—
Commodity derivatives - Electric	Other income (expense), net	—		142
Commodity derivatives - Natural Gas	Fuel, purchased power and cost of natural gas sold	1,777		(20)
		$	391	$	122


		Nine Months Ended September 30,
		2020		2019
Derivatives Not Designated as Hedging Instruments	Income Statement Location	Amount of Gain/(Loss) on Derivatives Recognized in Income
		(in thousands)
Commodity derivatives - Electric	Fuel, purchased power and cost of natural gas sold	$	(228)	$	—
Commodity derivatives - Electric	Other income (expense), net	—		142
Commodity derivatives - Natural Gas	Fuel, purchased power and cost of natural gas sold	2,992		(1,180)
		$	2,764	$	(1,038)