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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2021

Schedule of Fair Value Hierarchy, Measured on Recurring Basis

The commodity contracts for our Utilities segments are valued using the market approach and include forward strip pricing at liquid delivery points, exchange-traded futures, options, basis swaps and over-the-counter swaps and options (Level 2) for wholesale electric energy and natural gas contracts. For exchange-traded futures, options and basis swap assets and liabilities, fair value was derived using broker quotes validated by the exchange settlement pricing for the applicable contract. For over-the-counter instruments, the fair value is obtained by utilizing a nationally recognized service that obtains observable inputs to compute the fair value, which we validate by comparing our valuation with the counterparty. The fair value of these swaps includes a CVA based on the credit spreads of the counterparties when we are in an unrealized gain position or on our own credit spread when we are in an unrealized loss position. For additional information, see Note 1 of our Notes to the Consolidated Financial Statements in our 2020 Annual Report on Form 10-K.


	As of September 30, 2021
	Level 1		Level 2		Level 3		Cash Collateral and Counterparty Netting (a)		Total
	(in thousands)
Assets:
Commodity derivatives — Gas Utilities	$	—	$	32,298	$	—	$	(18,370)	$	13,928
Commodity derivatives — Electric Utilities	$	—	$	—	$	—	$	—	$	—
Total	$	—	$	32,298	$	—	$	(18,370)	$	13,928

Liabilities:
Commodity derivatives — Gas Utilities	$	—	$	1,128	$	—	$	(141)	$	987
Commodity derivatives — Electric Utilities	$	—	$	2,484	$	—	$	—	$	2,484
Total	$	—	$	3,612	$	—	$	(141)	$	3,471

__________

(a) As of September 30, 2021, $18 million of our commodity derivative assets and $0.1 million of our commodity derivative liabilities, as well as related collateral amounts, were subject to master netting agreements. Collateral amounts are included in Other current assets on the Condensed Consolidated Balance Sheets.


	As of December 31, 2020
	Level 1		Level 2		Level 3		Cash Collateral and Counterparty Netting (a)		Total
	(in thousands)
Assets:
Commodity derivatives — Gas Utilities	$	—	$	2,504	$	—	$	(1,527)	$	977
Commodity derivatives — Electric Utilities	$	—	$	1,065	$	—	$	—	$	1,065
Total	$	—	$	3,569	$	—	$	(1,527)	$	2,042

Liabilities:
Commodity derivatives — Gas Utilities	$	—	$	2,675	$	—	$	(1,552)	$	1,123
Commodity derivatives — Electric Utilities	$	—	$	921	$	—	$	—	$	921
Total	$	—	$	3,596	$	—	$	(1,552)	$	2,044

__________

(a) As of December 31, 2020, $1.5 million of our commodity derivative assets and $1.6 million of our commodity derivative liabilities, as well as related collateral amounts, were subject to master netting agreements. Collateral amounts are included in Other current assets on the Condensed Consolidated Balance Sheets.

Fair Value, by Balance Sheet Grouping

The following table presents the carrying amounts and fair values of financial instruments not recorded at fair value on the Condensed Consolidated Balance Sheets (in thousands) as of:


	September 30, 2021				December 31, 2020
	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Long-term debt, including current maturities (a)	$	4,125,571	$	4,614,244	$	3,536,536	$	4,208,167

__________

(a) Long-term debt is valued based on observable inputs available either directly or indirectly for similar liabilities in active markets and therefore is classified as Level 2 in the fair value hierarchy. Carrying amount of long-term debt is net of deferred financing costs.