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Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2019
Fair Value Disclosures [Abstract]  
Fair value of assets and liabilities that are measured at fair value on a recurring basis
The following table presents the fair value at September 30, 2019 of our assets and liabilities that are measured at fair value on a recurring basis (dollars in thousands):
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
 
 
Total
Assets
 

 
 

 
 

 
 

 
 
 
 

Risk management activities — derivative instruments:
 
 
 
 
 
 
 
 
 
 
 
Commodity contracts
$
—

 
$
1,388

 
$
388

 
$
(959
)
 
(a)
 
$
817

Nuclear decommissioning trust:
 
 
 
 
 
 
 
 
 
 
 
Equity securities
8,774

 
—

 
—

 
(1,322
)
 
(b)
 
7,452

U.S. commingled equity funds
—

 
—

 
—

 
476,693

 
(c)
 
476,693

U.S. Treasury debt
162,092

 
—

 
—

 
—

 
 
 
162,092

Corporate debt
—

 
124,026

 
—

 
—

 
 
 
124,026

Mortgage-backed securities
—

 
112,704

 
—

 
—

 
 
 
112,704

Municipal bonds
—

 
74,202

 
—

 
—

 
 
 
74,202

Other fixed income
—

 
10,504

 
—

 
—

 
 
 
10,504

Subtotal nuclear decommissioning trust
170,866

 
321,436

 
—

 
475,371

 
 
 
967,673

 
 
 
 
 
 
 
 
 
 
 
 
Other special use funds:
 
 
 
 
 
 
 
 
 
 
 
Equity securities
1,982

 
—

 
—

 
1,418

 
(b)
 
3,400

U.S. Treasury debt
232,165

 
—

 
—

 
—

 

 
232,165

Municipal bonds
—

 
8,417

 
—

 
—

 
 
 
8,417

Subtotal other special use funds
234,147

 
8,417

 
—

 
1,418

 
 
 
243,982

 
 
 
 
 
 
 
 
 
 
 
 
Total assets
$
405,013

 
$
331,241

 
$
388

 
$
475,830

 
 
 
$
1,212,472

Liabilities
 

 
 

 
 

 
 

 
 
 
 

Risk management activities — derivative instruments:
 

 
 

 
 

 
 

 
 
 
 

Commodity contracts
$
—

 
$
(69,752
)
 
$
(1,982
)
 
$
80

 
(a)
 
$
(71,654
)

(a)
Represents counterparty netting, margin, and collateral. See Note 7.
(b)
Represents net pending securities sales and purchases.
(c)
Valued using NAV as a practical expedient and, therefore, are not classified in the fair value hierarchy.


The following table presents the fair value at December 31, 2018 of our assets and liabilities that are measured at fair value on a recurring basis (dollars in thousands):
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
 
 
Total
Assets
 

 
 

 
 

 
 

 
 
 
 

Cash equivalents
$
1,200

 
$
—

 
$
—

 
$
—

 
 
 
$
1,200

Risk management activities — derivative instruments:
 
 
 
 
 
 
 
 
 
 
 
Commodity contracts
—

 
3,140

 
2

 
(2,029
)
 
(a)
 
1,113

Nuclear decommissioning trust:
 

 
 

 
 

 
 

 
 
 
 

Equity securities
5,203

 
—

 
—

 
2,148

 
(b)
 
7,351

U.S. commingled equity funds
—

 
—

 
—

 
396,805

 
(c)
 
396,805

U.S. Treasury debt
148,173

 
—

 
—

 
—

 
 
 
148,173

Corporate debt
—

 
96,656

 
—

 
—

 
 
 
96,656

Mortgage-backed securities
—

 
113,115

 
—

 
—

 
 
 
113,115

Municipal bonds
—

 
79,073

 
—

 
—

 
 
 
79,073

Other fixed income
—

 
9,961

 
—

 
—

 
 
 
9,961

Subtotal nuclear decommissioning trust
153,376

 
298,805

 
—

 
398,953

 
 
 
851,134

 
 
 
 
 
 
 
 
 
 
 
 
Other special use funds:
 
 
 
 
 
 
 
 
 
 
 
Equity securities
45,130

 
—

 
—

 
593

 
(b)
 
45,723

U.S. Treasury debt
173,310

 
—

 
—

 
—

 
 
 
173,310

Municipal bonds
—

 
17,068

 
—

 
—

 
 
 
17,068

Subtotal other special use funds
218,440

 
17,068

 
—

 
593

 
 
 
236,101

 
 
 
 
 
 
 
 
 
 
 
 
Total assets
$
373,016

 
$
319,013

 
$
2

 
$
397,517

 
 
 
$
1,089,548

Liabilities
 

 
 

 
 

 
 

 
 
 
 

Risk management activities — derivative instruments:
 

 
 

 
 

 
 

 
 
 
 

Commodity contracts
$
—

 
$
(52,696
)
 
$
(8,216
)
 
$
875

 
(a)
 
$
(60,037
)

(a)
Represents counterparty netting, margin, and collateral. See Note 7.
(b)
Represents net pending securities sales and purchases.
(c)
Valued using NAV as a practical expedient and, therefore, are not classified in the fair value hierarchy.
Information regarding the entity's internally developed significant unobservable inputs used to value its level 3 instruments
The following tables provide information regarding our significant unobservable inputs used to value our risk management derivative Level 3 instruments at September 30, 2019 and December 31, 2018:
 
 
September 30, 2019
Fair Value (thousands)
 
Valuation Technique
 
Significant Unobservable Input
 
 
 
Weighted-Average
Commodity Contracts
Assets
 
Liabilities
 
 
 
Range
 
Electricity:
 

 
 

 
 
 
 
 
 
 
 

Forward Contracts (a)
$
388

 
$
489

 
Discounted cash flows
 
Electricity forward price (per MWh)
 
$17.79 - $17.79
 
$
17.79

Natural Gas:
 

 
 

 
 
 
 
 
 
 
 

Forward Contracts (a)
—

 
1,493

 
Discounted cash flows
 
Natural gas forward price (per MMBtu)
 
$2.53 - $2.79
 
$
2.64

Total
$
388

 
$
1,982

 
 
 
 
 
 
 
 


(a)
Includes swaps and physical and financial contracts.

 
December 31, 2018
Fair Value (thousands)
 
Valuation Technique
 
Significant Unobservable Input
 
 
 
Weighted-Average
Commodity Contracts
Assets
 
Liabilities
 
 
 
Range
 
Electricity:
 

 
 

 
 
 
 
 
 
 
 

Forward Contracts (a)
$
—

 
$
2,456

 
Discounted cash flows
 
Electricity forward price (per MWh)
 
$17.88 - $37.03
 
$
26.10

Natural Gas:
 

 
 

 
 
 
 
 
 
 
 

Forward Contracts (a)
2

 
5,760

 
Discounted cash flows
 
Natural gas forward price (per MMBtu)
 
$1.79 - $2.92
 
$
2.48

Total
$
2

 
$
8,216

 
 
 
 
 
 
 
 


(a)
Includes swaps and physical and financial contracts.
Changes in fair value for assets and liabilities that are measured at fair value on a recurring basis using Level 3 inputs
 
The following table shows the changes in fair value for our risk management activities assets and liabilities that are measured at fair value on a recurring basis using Level 3 inputs for the three and nine months ended September 30, 2019 and 2018 (dollars in thousands):
 
 
 
Three Months Ended
September 30,
 
Nine Months Ended
September 30,
Commodity Contracts
 
2019
 
2018
 
2019
 
2018
Net derivative balance at beginning of period
 
$
(12,753
)
 
$
(9,358
)
 
$
(8,214
)
 
$
(18,256
)
Total net gains (losses) realized/unrealized:
 
 

 
 

 
 
 
 
Deferred as a regulatory asset or liability
 
(2,324
)
 
1,244

 
(12,634
)
 
(2,067
)
Settlements
 
8,980

 
(2,332
)
 
11,929

 
(1,056
)
Transfers into Level 3 from Level 2
 
(613
)
 
(2,246
)
 
(3,711
)
 
(7,225
)
Transfers from Level 3 into Level 2
 
5,116

 
2,829

 
11,036

 
18,741

Net derivative balance at end of period
 
$
(1,594
)
 
$
(9,863
)
 
$
(1,594
)
 
$
(9,863
)
 
 
 
 
 
 
 
 
 
Net unrealized gains included in earnings related to instruments still held at end of period
 
$
—

 
$
—

 
$
—

 
$
—