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Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2017
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, 2017, of our assets and liabilities that are measured at fair value on a recurring basis (dollars in thousands):
 
 
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
 
Significant
Other
Observable
Inputs
(Level 2)
 
Significant
Unobservable
Inputs (a)
(Level 3)
 
Other
 
 
 
Balance at
September 30,
2017
Assets
 

 
 

 
 

 
 

 
 
 
 

Coal reclamation escrow account (b):


 


 


 


 
 
 


Cash equivalents
$
7,175

 
$
—

 
$
—

 
$
510

 
 
 
$
7,685

Municipal bonds
—

 
24,973

 
—

 
—

 
 
 
24,973

Risk management activities — derivative instruments:
 

 
 

 
 

 
 

 
 
 
 

Commodity contracts
—

 
8,429

 
3,472

 
(9,851
)
 
(c)
 
2,050

Nuclear decommissioning trust:
 

 
 

 
 

 
 

 
 
 
 

U.S. commingled equity funds
—

 
—

 
—

 
401,913

 
(d)
 
401,913

Fixed income securities:
 

 
 

 
 

 
 

 
 
 
 

Cash and cash equivalent funds
10,598

 
—

 
—

 
4,378

 
(e)
 
14,976

U.S. Treasury
90,776

 
—

 
—

 
—

 
 
 
90,776

Corporate debt
—

 
124,369

 
—

 
—

 
 
 
124,369

Mortgage-backed securities
—

 
116,237

 
—

 
—

 
 
 
116,237

Municipal bonds
—

 
76,412

 
—

 
—

 
 
 
76,412

Other
—

 
17,297

 
—

 
—

 
 
 
17,297

Subtotal nuclear decommissioning trust
101,374

 
334,315

 
—

 
406,291

 
 
 
841,980

Total
$
108,549

 
$
367,717

 
$
3,472

 
$
396,950

 
 
 
$
876,688

Liabilities
 

 
 

 
 

 
 

 
 
 
 

Risk management activities — derivative instruments:
 

 
 

 
 

 
 

 
 
 
 

Commodity contracts
$
—

 
$
(53,414
)
 
$
(42,077
)
 
$
9,247

 
(c)
 
$
(86,244
)

(a)
Primarily consists of long-dated electricity contracts.
(b)
Represents investments restricted for coal mine reclamation funding related to Four Corners. These assets are included in the Other Assets line item, reported under the Investments and Other Assets section of our Condensed Consolidated Balance Sheets. Coal reclamation escrow account was presented as Coal reclamation trust in 2016.
(c)
Represents counterparty netting, margin, collateral and option premiums. See Note 6.
(d)
Valued using NAV as a practical expedient and, therefore, are not classified in the fair value hierarchy.
(e)
Represents nuclear decommissioning trust net pending securities sales and purchases.

The following table presents the fair value at December 31, 2016, of our assets and liabilities that are measured at fair value on a recurring basis (dollars in thousands):
 
 
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
 
Significant
Other
Observable
Inputs
(Level 2)
 
Significant
Unobservable
Inputs (a)
(Level 3)
 
Other
 
 
 
Balance at
December 31,
2016
Assets
 

 
 

 
 

 
 

 
 
 
 

Coal reclamation trust - cash equivalents (b):
$
14,521

 
$
—

 
$
—

 
$
—

 
 
 
$
14,521

Risk management activities — derivative instruments:
 
 
 
 
 
 
 
 
 
 
 
Commodity contracts
—

 
43,722

 
11,076

 
(35,103
)
 
(c)
 
19,695

Nuclear decommissioning trust:
 

 
 

 
 

 
 

 
 
 
 

U.S. commingled equity funds
—

 
—

 
—

 
353,261

 
(d)
 
353,261

Fixed income securities:
 

 
 

 
 

 
 

 
 
 
 

Cash and cash equivalent funds
—

 
—

 
—

 
795

 
(e)
 
795

U.S. Treasury
95,441

 
—

 
—

 
—

 
 
 
95,441

Corporate debt
—

 
111,623

 
—

 
—

 
 
 
111,623

Mortgage-backed securities
—

 
115,337

 
—

 
—

 
 
 
115,337

Municipal bonds
—

 
80,997

 
—

 
—

 
 
 
80,997

Other
—

 
22,132

 
—

 
—

 
 
 
22,132

Subtotal nuclear decommissioning trust
95,441

 
330,089

 
—

 
354,056

 
 
 
779,586

Total
$
109,962

 
$
373,811

 
$
11,076

 
$
318,953

 
 
 
$
813,802

Liabilities
 

 
 

 
 

 
 

 
 
 
 

Risk management activities — derivative instruments:
 

 
 

 
 

 
 

 
 
 
 

Commodity contracts
$
—

 
$
(45,641
)
 
$
(58,482
)
 
$
31,049

 
(c)
 
$
(73,074
)

(a)
Primarily consists of long-dated electricity contracts.
(b)
Represents investments restricted for coal mine reclamation funding related to Four Corners. These assets are included in the Other Assets line item, reported under the Investments and Other Assets section of our Condensed Consolidated Balance Sheets.
(c)
Represents counterparty netting, margin, and collateral. See Note 6.
(d)
Valued using NAV as a practical expedient and, therefore, are not classified in the fair value hierarchy.
(e)
Represents nuclear decommissioning trust net pending securities sales and purchases.
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, 2017 and December 31, 2016:
 
 
September 30, 2017
Fair Value (thousands)
 
Valuation Technique
 
Significant Unobservable Input
 
 
 
Weighted-Average
Commodity Contracts
Assets
 
Liabilities
 
 
 
Range
 
Electricity:
 

 
 

 
 
 
 
 
 
 
 

Forward Contracts (a)
$
2,925

 
$
19,785

 
Discounted cash flows
 
Electricity forward price (per MWh)
 
$19.87 - $38.13
 
$
28.26

Natural Gas:
 

 
 

 
 
 
 
 
 
 
 

Forward Contracts (a)
547

 
22,292

 
Discounted cash flows
 
Natural gas forward price (per MMBtu)
 
$2.13 - $2.83
 
$
2.45

Total
$
3,472

 
$
42,077

 
 
 
 
 
 
 
 


(a)
Includes swaps and physical and financial contracts.


 
December 31, 2016
Fair Value (thousands)
 
Valuation Technique
 
Significant Unobservable Input
 
 
 
Weighted-Average
Commodity Contracts
Assets
 
Liabilities
 
 
 
Range
 
Electricity:
 

 
 

 
 
 
 
 
 
 
 

Forward Contracts (a)
$
10,648

 
$
32,042

 
Discounted cash flows
 
Electricity forward price (per MWh)
 
$16.43 - $41.07
 
$
29.86

Natural Gas:
 

 
 

 
 
 
 
 
 
 
 

Forward Contracts (a)
428

 
26,440

 
Discounted cash flows
 
Natural gas forward price (per MMBtu)
 
$2.32 - $3.60
 
$
2.81

Total
$
11,076

 
$
58,482

 
 
 
 
 
 
 
 


(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, 2017 and 2016 (dollars in thousands):
 
 
 
Three Months Ended 
 September 30,
 
Nine Months Ended 
 September 30,
Commodity Contracts
 
2017
 
2016
 
2017
 
2016
Net derivative balance at beginning of period
 
$
(36,245
)
 
$
(32,380
)
 
$
(47,406
)
 
$
(32,979
)
Total net gains (losses) realized/unrealized:
 
 

 
 

 
 
 
 
Included in OCI
 
(4
)
 
(10
)
 
(10
)
 
94

Deferred as a regulatory asset or liability
 
(3,769
)
 
(13,499
)
 
(11,272
)
 
(21,103
)
Settlements
 
1,733

 
5,424

 
4,855

 
11,691

Transfers into Level 3 from Level 2
 
(5,952
)
 
1,343

 
(10,340
)
 
1,725

Transfers from Level 3 into Level 2
 
5,632

 
(420
)
 
25,568

 
1,030

Net derivative balance at end of period
 
$
(38,605
)
 
$
(39,542
)
 
$
(38,605
)
 
$
(39,542
)
 
 
 
 
 
 
 
 
 
Net unrealized gains included in earnings related to instruments still held at end of period
 
$
—

 
$
—

 
$
—

 
$
—