XML 49 R30.htm IDEA: XBRL DOCUMENT
v3.23.3

DERIVATIVE INSTRUMENTS | 9 Months Ended
--- | ---
Sep. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
DERIVATIVE INSTRUMENTS | DERIVATIVE INSTRUMENTS The electric and natural gas companies purchase and procure energy and energy-related products, which are subject to price volatility, for their customers. The costs associated with supplying energy to customers are recoverable from customers in future rates. These regulated companies manage the risks associated with the price volatility of energy and energy-related products through the use of derivative and non-derivative contracts. Many of the derivative contracts meet the definition of, and are designated as, normal and qualify for accrual accounting under the applicable accounting guidance. The costs and benefits of derivative contracts that meet the definition of normal are recognized in Operating Expenses on the statements of income as electricity or natural gas is delivered. Derivative contracts that are not designated as normal are recorded at fair value as current or long-term Derivative Assets or Derivative Liabilities on the balance sheets. For the electric and natural gas companies, regulatory assets or regulatory liabilities are recorded to offset the fair values of derivatives, as contract settlement amounts are recovered from, or refunded to, customers in their respective energy supply rates. The gross fair values of derivative assets and liabilities with the same counterparty are offset and reported as net Derivative Assets or Derivative Liabilities, with current and long-term portions, on the balance sheets. The following table presents the gross fair values of contracts, categorized by risk type, and the net amounts recorded as current or long-term derivative assets or liabilities:
|  |  | As of September 30, 2023 |  | As of December 31, 2022
CL&P (Millions of Dollars) | Fair Value Hierarchy |  | Commodity Supply and Price Risk Management |  | Netting (1) |  | Net Amount Recorded as a Derivative |  | Commodity Supply and Price Risk Management |  | Netting (1) |  | Net Amount Recorded as a Derivative
Current Derivative Assets | Level 3 |  | $ | 16.9 |  |  | $ | (0.5) |  |  | $ | 16.4 |  |  | $ | 16.3 |  |  | $ | (0.5) |  |  | $ | 15.8 |
Long-Term Derivative Assets | Level 3 |  | 17.0 |  |  | (0.5) |  |  | 16.5 |  |  | 28.8 |  |  | (0.9) |  |  | 27.9 |
Current Derivative Liabilities | Level 3 |  | (84.2) |  |  | — |  |  | (84.2) |  |  | (81.6) |  |  | — |  |  | (81.6) |
Long-Term Derivative Liabilities | Level 3 |  | (85.3) |  |  | — |  |  | (85.3) |  |  | (143.9) |  |  | — |  |  | (143.9) |
(1) Amounts represent derivative assets and liabilities that Eversource elected to record net on the balance sheets. These amounts are subject to master netting agreements or similar agreements for which the right of offset exists. Derivative Contracts at Fair Value with Offsetting Regulatory Amounts Commodity Supply and Price Risk Management: As required by regulation, CL&P, along with UI, has capacity-related contracts with generation facilities. CL&P has a sharing agreement with UI, with 80 percent of the costs or benefits of each contract borne by or allocated to CL&P and 20 percent borne by or allocated to UI. The combined capacities of these contracts as of both September 30, 2023 and December 31, 2022 were 674 MW. The capacity contracts extend through 2026 and obligate both CL&P and UI to make or receive payments on a monthly basis to or from the generation facilities based on the difference between a set capacity price and the capacity market price received in the ISO-NE capacity markets. Fair Value Measurements of Derivative Instruments The fair value of derivative contracts classified as Level 3 utilizes both significant observable and unobservable inputs. The fair value is modeled using income techniques, such as discounted cash flow valuations adjusted for assumptions related to exit price. Valuations of derivative contracts using a discounted cash flow methodology include assumptions regarding the timing and likelihood of scheduled payments and also reflect non-performance risk, including credit, using the default probability approach based on the counterparty's credit rating for assets and the Company's credit rating for liabilities. Significant observable inputs for valuations of these contracts include energy-related product prices in future years for which quoted prices in an active market exist. Valuations incorporate estimates of premiums or discounts that would be required by a market participant to arrive at an exit price, using historical market transactions adjusted for the terms of the contract. Fair value measurements categorized in Level 3 of the fair value hierarchy are prepared by individuals with expertise in valuation techniques, pricing of energy-related products, and accounting requirements. Exit price premiums of 1.3 percent through 5.5 percent, or a weighted average of 4.5 percent, are Level 3 significant unobservable inputs applied to these contracts and reflect the uncertainty and illiquidity premiums that would be required based on the most recent market activity available for similar type contracts. The risk premium was weighted by the relative fair value of the net derivative instruments. As of December 31, 2022, Level 3 unobservable inputs also utilized in the valuation of CL&P’s capacity-related related contracts included forward reserve prices of $0.44 per kW-Month through $0.50 per kW-Month, or a weighted average of $0.47 per kW-Month, over the period 2023 through 2024. As of September 30, 2023, these forward reserve prices are now observable. Significant increases or decreases in future capacity or forward reserve prices in isolation would decrease or increase, respectively, the fair value of the derivative liability. Any increases in risk premiums would increase the fair value of the derivative liability. Changes in these fair values are recorded as a regulatory asset or liability and do not impact net income. The following table presents changes in the Level 3 category of derivative assets and derivative liabilities measured at fair value on a recurring basis. The derivative assets and liabilities are presented on a net basis.
CL&P | For the Three Months Ended September 30, |  | For the Nine Months Ended September 30,
(Millions of Dollars) | 2023 |  | 2022 |  | 2023 |  | 2022
Derivatives, Net: |  |  |  |  |  |  |
Fair Value as of Beginning of Period | $ | (152.1) |  |  | $ | (213.3) |  |  | $ | (181.8) |  |  | $ | (249.2) |
Net Realized/Unrealized (Losses)/Gains Included in Regulatory Assets | (1.5) |  |  | 2.4 |  |  | (1.6) |  |  | 11.2 |
Settlements | 17.0 |  |  | 15.0 |  |  | 46.8 |  |  | 42.1 |
Fair Value as of End of Period | $ | (136.6) |  |  | $ | (195.9) |  |  | $ | (136.6) |  |  | $ | (195.9) |

X
- References No definition available. + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 40 -Name Accounting Standards Codification -Section 50 -Paragraph 5 -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480237/815-40-50-5 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 5C -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-5C Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 815 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org//815/tableOfContent + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration