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Derivatives (Tables)
 9 Months Ended
Sep. 30, 2016
Volumes Of Outstanding Derivative Contracts

 

 

 

 

Contract Volume at

 

 

 

 

September 30,

 

December 31,

Underlying Product

 

Instruments

 

2016

 

2015

Natural Gas (1) (MMBtus (2))

 

Forwards, Futures and Swaps

 

376,296,893

 

333,091,813

 

 

Options

 

118,017,176

 

111,550,004

Electricity (Megawatt-hours)

 

Forwards, Futures and Swaps

 

3,128,038

 

3,663,512

 

 

Congestion Revenue Rights (3)

 

172,756,395

 

216,383,389

 

 

 

 

 

 

 

(1) Amounts shown are for the combined positions of the electric fuels and core gas supply portfolios.

(2) Million British Thermal Units.

(3) CRRs are financial instruments that enable the holders to manage variability in electric energy congestion charges due to transmission grid limitations.
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

At September 30, 2016, the Utility’s outstanding derivative balances were as follows:

 

 

Commodity Risk

 

Gross Derivative

 

 

 

 

 

Total Derivative

(in millions)

Balance

 

Netting

 

Cash Collateral

 

Balance

Current assets – other

$

100 

 

$

(8)

 

$

14 

 

$

106 

Other noncurrent assets – other

 

128 

 

 

(8)

 

 

- 

 

 

120 

Current liabilities – other

 

(67)

 

 

8 

 

 

10 

 

 

(49)

Noncurrent liabilities – other

 

(104)

 

 

8 

 

 

7 

 

 

(89)

Net commodity risk

$

57 

 

$

- 

 

$

31 

 

$

88 

 

At December 31, 2015, the Utility’s outstanding derivative balances were as follows:

 

 

Commodity Risk

 

Gross Derivative

 

 

 

 

 

Total Derivative

(in millions)

Balance

 

Netting

 

Cash Collateral

 

Balance

Current assets – other

$

97 

 

$

(4)

 

$

25 

 

$

118 

Other noncurrent assets – other

 

172 

 

 

(2)

 

 

- 

 

 

170 

Current liabilities – other

 

(102)

 

 

4 

 

 

44 

 

 

(54)

Noncurrent liabilities – other

 

(140)

 

 

2 

 

 

21 

 

 

(117)

Net commodity risk

$

27 

 

$

- 

 

$

90 

 

$

117 

 
Gains And Losses On Derivative Instruments

 

Commodity Risk

 

Three Months Ended

 

Nine Months Ended

 

September 30,

 

September 30,

(in millions)

2016

 

2015

 

2016

 

2015

Unrealized gain (loss) - regulatory assets and liabilities (1)

$

(29)

 

$ 

(45)

 

$

30 

 

$

(69)

Realized gain (loss) - cost of electricity (2)

 

(7)

 

 

1 

 

 

(48)

 

 

4 

Realized loss - cost of natural gas (2)

 

(9)

 

 

(3)

 

 

(15)

 

 

(8)

Net commodity risk

$

(45)

 

$ 

(47)

 

$

(33)

 

$

(73)

 

 

 

 

 

 

 

 

 

 

 

 

(1) Unrealized gains and losses on commodity risk-related derivative instruments are recorded to regulatory liabilities or assets, respectively, rather than being recorded to the Condensed Consolidated Statements of Income.  These amounts exclude the impact of cash collateral postings.

(2) These amounts are fully passed through to customers in rates.  Accordingly, net income was not impacted by realized amounts on these instruments.
Additional Cash Collateral The Utility Would Be Required To Post If Its Credit Risk-Related Contingency Features Were Triggered

 

Balance at

 

September 30,

 

December 31,

(in millions)

2016

 

2015

Derivatives in a liability position with credit risk-related

 

 

 

 

 

contingencies that are not fully collateralized

$

(8)

 

$

(2)

Related derivatives in an asset position

 

4 

 

 

- 

Collateral posting in the normal course of business related to

 

 

 

 

 

these derivatives

 

2 

 

 

- 

Net position of derivative contracts/additional collateral

 

 

 

 

 

posting requirements (1)

$

(2)

 

$

(2)

 

 

 

 

 

 

(1) This calculation excludes the impact of closed but unpaid positions, as their settlement is not impacted by any of the Utility’s credit risk-related contingencies.