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Risk Management and Derivatives (Tables)

9 Months Ended

Sep. 30, 2021

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, 2021												December 31, 2020
			Units			Notional Amounts						Maximum Term (months) (a)						Notional Amounts						Maximum Term (months) (a)
Natural gas futures purchased			MMBtus			1,700,000						6						620,000						3
Natural gas options purchased, net			MMBtus			8,420,000						6						3,160,000						3
Natural gas basis swaps purchased			MMBtus			1,500,000						6						900,000						3
Natural gas over-the-counter swaps, net (b)			MMBtus			5,920,000						35						3,850,000						17
Natural gas physical contracts, net (c)			MMBtus			18,758,835						7						17,513,061						22
Electric wholesale contracts (c)			MWh			65,625						3						219,000						12

__________

(a)    Term reflects the maximum forward period hedged.

(b)    As of September 30, 2021, 2,700,000 MMBtus of natural gas over-the-counter swaps purchases were designated as cash flow hedges.

(c)     Volumes exclude derivative contracts that qualify for the normal purchases and normal sales exception permitted by GAAP.

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, 2021			December 31, 2020
Derivatives designated as hedges:
Asset derivative instruments:
Current commodity derivatives			Derivative assets, current						$	6,989		$	181
Noncurrent commodity derivatives			Other assets, non-current						32			43
Liability derivative instruments:
Current commodity derivatives			Derivative liabilities, current						—			(108)
Total derivatives designated as hedges									$	7,021		$	116
Derivatives not designated as hedges:
Asset derivative instruments:
Current commodity derivatives			Derivative assets, current						$	5,327		$	1,667
Noncurrent commodity derivatives			Other assets, non-current						1,580			151
Liability derivative instruments:
Current commodity derivatives			Derivative liabilities, current						(3,471)			(1,936)
Total derivatives not designated as hedges									$	3,436		$	(118)

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, 2021 and 2020. 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,
			2021			2020						2021			2020
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		$	712		Interest expense incurred net of amounts capitalized (including amortization of debt issuance costs, premiums and discounts)			$	(712)		$	(712)
Commodity derivatives			5,536			691			Fuel, purchased power and cost of natural gas sold			331			(178)
Total			$	6,248		$	1,403					$	(381)		$	(890)

			Nine Months Ended September 30,									Nine Months Ended September 30,
			2021			2020						2021			2020
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		$	2,138		Interest expense incurred net of amounts capitalized (including amortization of debt issuance costs, premiums and discounts)			$	(2,138)		$	(2,138)
Commodity derivatives			6,896			959			Fuel, purchased power and cost of natural gas sold			356			(734)
Total			$	9,034		$	3,097					$	(1,782)		$	(2,872)

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, 2021 and 2020. 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,
						2021			2020
Derivatives Not Designated as Hedging Instruments			Location of Gain/(Loss) on Derivatives Recognized in Income			Amount of Gain/(Loss) on Derivatives Recognized in Income
						(in thousands)
Commodity derivatives - Electric			Fuel, purchased power and cost of natural gas sold			$	2,494		$	(1,386)
Commodity derivatives - Natural Gas			Fuel, purchased power and cost of natural gas sold			4,004			1,777
						$	6,498		$	391

						Nine Months Ended September 30,
						2021			2020
Derivatives Not Designated as Hedging Instruments			Location of Gain/(Loss) on Derivatives Recognized in Income			Amount of Gain/(Loss) on Derivatives Recognized in Income
						(in thousands)
Commodity derivatives - Electric			Fuel, purchased power and cost of natural gas sold			$	(2,628)		$	(228)
Commodity derivatives - Natural Gas			Fuel, purchased power and cost of natural gas sold			6,186			2,992
						$	3,558		$	2,764

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Tabular disclosure of the location and amount of derivative instruments and nonderivative instruments designated as hedging instruments reported before netting adjustments, and the amount of gain (loss) on derivative instruments and nonderivative instruments designated and qualified as hedging instruments.

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Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

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Tabular disclosure of the notional amounts of outstanding derivative positions.

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