Fair Value Measurements | 6 Months Ended |
Mar. 31, 2015 |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | | | | | | | | | | | | | | | | |
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NOTE 9. FAIR VALUE MEASUREMENTS | | | | | | | | | | | | | | | |
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We measure the fair value of our financial assets and liabilities using a combination of the income and market approach in accordance with ASC Topic 820. These financial assets and liabilities primarily consist of derivatives recorded on our balance sheet under ASC Topic 815 and short-term investments, commercial paper and long-term debt outstanding required to be disclosed at fair value. Under ASC Topic 820, fair value is defined as the exit price, representing the amount that would be received in the sale of an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. To value our financial instruments, we use market data or assumptions that market participants would use, including assumptions about credit risk (both our own credit risk and the counterparty’s credit risk) and the risks inherent in the inputs to valuation. |
We enter into derivative contracts in the futures and over-the-counter (OTC) wholesale and retail markets. These markets are the principal markets for the respective wholesale and retail contracts. Our relevant market participants are our existing counterparties and others who have participated in energy transactions at our delivery points. These participants have access to the same market data as WGL. We value our derivative contracts based on an “in-exchange” premise, and valuations are generally based on pricing service data or indicative broker quotes depending on the market location. We measure the net credit exposure at the counterparty level where the right to set-off exists. The net exposure is determined using the mark-to-market exposure adjusted for collateral, letters of credit and parent guarantees. We use published default rates from Standard & Poor’s Ratings Services and Moody’s Investors Service as inputs for determining credit adjustments. |
ASC Topic 820 establishes a fair value hierarchy that prioritizes the inputs used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities and the lowest priority to unobservable inputs. The three levels of the fair value hierarchy under ASC Topic 820 are described below: |
Level 1.Level 1 of the fair value hierarchy consists of assets or liabilities that are valued using observable inputs based upon unadjusted quoted prices in active markets for identical assets or liabilities at the reporting date. Level 1 assets and liabilities primarily include exchange traded derivatives and securities. WGL did not have any Level 1 derivatives at March 31, 2015 or September 30, 2014. |
Level 2.Level 2 of the fair value hierarchy consists of assets or liabilities that are valued using directly or indirectly observable inputs either corroborated with market data or based on exchange traded market data. Level 2 includes fair values based on industry-standard valuation techniques that consider various assumptions: (i) quoted forward prices, including the use of mid-market pricing within a bid/ask spread; (ii) discount rates; (iii) implied volatility and (iv) other economic factors. Substantially all of these assumptions are observable throughout the full term of the instrument, can be derived from observable data or are supported by observable levels at which transactions are executed in the relevant market. At March 31, 2015 and September 30, 2014, Level 2 financial assets and liabilities included energy-related derivatives such as financial contracts, options and physical forward contracts for deliveries at active market locations. |
Level 3.Level 3 of the fair value hierarchy consists of assets or liabilities that are valued using significant unobservable inputs at the reporting date. These unobservable assumptions reflect our assumptions about estimates that market participants would use in pricing the asset or liability, including natural gas basis prices, annualized volatilities of natural gas prices, and electricity congestion prices. A significant change to any one of these inputs in isolation could result in a significant upward or downward fluctuation in the fair value measurement. These inputs may be used with industry standard valuation methodologies that result in our best estimate of fair value for the assets or liabilities at the reporting date. |
Our Risk Analysis and Mitigation (RA&M) Group determines the valuation policies and procedures. The RA&M Group reports to WGL’s Chief Financial Officer. In accordance with WGL’s valuation policy, we may utilize a variety of valuation methodologies to fair value Level 3 derivative contracts including internally developed valuation inputs and pricing models. The prices used in our valuations are corroborated using multiple pricing sources, and we periodically conduct assessments to determine whether each valuation model is appropriate for its intended purpose. The RA&M Group also evaluates changes in fair value measurements on a daily basis. |
At March 31, 2015 and September 30, 2014, Level 3 derivative assets and liabilities included: (i) physical contracts valued at illiquid market locations with no observable market data; (ii) long-dated positions where observable pricing is not available over the life of the contract; (iii) contracts valued using historical spot price volatility assumptions; (iv) valuations using indicative broker quotes for inactive market locations and (v) non-publicly traded stock warrants. |
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The following tables set forth financial instruments recorded at fair value as of March 31, 2015 and September 30, 2014, respectively. A financial instrument’s classification within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. Our assessment of the significance of a particular input to the fair value measurement requires judgment, and may affect the valuation of fair value assets and liabilities and their placement within the fair value hierarchy. |
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WGL Holdings, Inc. |
Fair Value Measurements Under the Fair Value Hierarchy |
(In millions) | Level 1 | | Level 2 | | Level 3 | | Total |
At March 31, 2015 | | | | | | | |
Assets | | | | | | | |
Natural gas related derivatives | $ | — | | | $ | 32 | | | $ | 39.9 | | | $ | 71.9 | |
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Electricity related derivatives | — | | | 2.9 | | | 18.7 | | | 21.6 | |
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Total Assets | $ | — | | | $ | 34.9 | | | $ | 58.6 | | | $ | 93.5 | |
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Liabilities | | | | | | | |
Natural gas related derivatives | $ | — | | | $ | (35.2 | ) | | $ | (359.5 | ) | | $ | (394.7 | ) |
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Electricity related derivatives | — | | | (3.3 | ) | | (29.2 | ) | | (32.5 | ) |
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Total Liabilities | $ | — | | | $ | (38.5 | ) | | $ | (388.7 | ) | | $ | (427.2 | ) |
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At September 30, 2014 | | | | | | | |
Assets | | | | | | | |
Natural gas related derivatives | $ | — | | | $ | 22.7 | | | $ | 33.7 | | | $ | 56.4 | |
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Electricity related derivatives | — | | | 0.3 | | | 15.9 | | | 16.2 | |
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Total Assets | $ | — | | | $ | 23 | | | $ | 49.6 | | | $ | 72.6 | |
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Liabilities | | | | | | | |
Natural gas related derivatives | $ | — | | | $ | (39.8 | ) | | $ | (328.4 | ) | | $ | (368.2 | ) |
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Electricity related derivatives | — | | | (0.1 | ) | | (20.9 | ) | | (21.0 | ) |
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Interest rate derivatives | — | | | (1.7 | ) | | — | | | (1.7 | ) |
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Total Liabilities | $ | — | | | $ | (41.6 | ) | | $ | (349.3 | ) | | $ | (390.9 | ) |
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Washington Gas Light Company |
Fair Value Measurements Under the Fair Value Hierarchy |
(In millions) | Level 1 | | Level 2 | | Level 3 | | Total |
At March 31, 2015 | | | | | | | |
Assets | | | | | | | |
Natural gas related derivatives | $ | — | | | $ | 22.6 | | | $ | 15.1 | | | $ | 37.7 | |
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Total Assets | $ | — | | | $ | 22.6 | | | $ | 15.1 | | | $ | 37.7 | |
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Liabilities | | | | | | | |
Natural gas related derivatives | $ | — | | | $ | (12.0 | ) | | $ | (314.9 | ) | | $ | (326.9 | ) |
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Total Liabilities | $ | — | | | $ | (12.0 | ) | | $ | (314.9 | ) | | $ | (326.9 | ) |
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At September 30, 2014 | | | | | | | |
Assets | | | | | | | |
Natural gas related derivatives | $ | — | | | $ | 13.5 | | | $ | 12.7 | | | $ | 26.2 | |
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Total Assets | $ | — | | | $ | 13.5 | | | $ | 12.7 | | | $ | 26.2 | |
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Liabilities | | | | | | | |
Natural gas related derivatives | $ | — | | | $ | (25.1 | ) | | $ | (283.3 | ) | | $ | (308.4 | ) |
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Total Liabilities | $ | — | | | $ | (25.1 | ) | | $ | (283.3 | ) | | $ | (308.4 | ) |
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The following table includes quantitative information about the significant unobservable inputs used in the fair value measurement of our Level 3 financial instruments and the respective fair values of the net derivative asset and liability positions, by contract type, as of March 31, 2015 and September 30, 2014. |
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Quantitative Information about Level 3 Fair Value Measurements | | | | | | | |
| | Net Fair Value | | Valuation Techniques | | Unobservable Inputs | | Range | | | | | | | |
March 31, 2015 | | | | | | | |
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WGL Holdings, Inc. | | (In millions) | | | | | | | | | | | | | |
Natural gas related derivatives | | ($319.60) | | Discounted Cash Flow | | Natural Gas Basis Price | | ($1.630) - $4.760 | | | | | | | |
(per dekatherm) | | | | | | | |
| | | | Option Model | | Natural Gas Basis Price | | ($0.215) - $0.039 | | | | | | | |
(per dekatherm) | | | | | | | |
| | | | | | Annualized Volatility of Spot Market Natural Gas | | 30.5% - 51.1% | | | | | | | |
Electricity related derivatives | | ($10.50) | | Discounted Cash Flow | | Electricity Congestion Price | | ($3.103) - $82.600 | | | | | | | |
(per megawatt hour) | | | | | | | |
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Washington Gas Light Company | | | | | | | | | | | | | | | |
Natural gas related derivatives | | ($299.80) | | Discounted Cash Flow | | Natural Gas Basis Price | | ($1.630) - $4.268 | | | | | | | |
(per dekatherm) | | | | | | | |
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| | Net Fair Value | | | | | | | | | | | | | |
September 30, 2014 | | | | | | | |
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WGL Holdings, Inc. | | | | | | | | | | | | | | | |
Natural gas related derivatives | | ($294.70) | | Discounted Cash Flow | | Natural Gas Basis Price | | ($2.101) - $6.154 | | | | | | | |
(per dekatherm) | | | | | | | |
| | | | Option Model | | Natural Gas Basis Price | | ($1.675) - $6.154 | | | | | | | |
(per dekatherm) | | | | | | | |
| | | | | | Annualized Volatility of Spot Market Natural Gas | | 30.9% - 589.6% | | | | | | | |
Electricity related derivatives | | ($5.00) | | Discounted Cash Flow | | Electricity Congestion Price | | ($2.85) - $90.95 | | | | | | | |
(per megawatt hour) | | | | | | | |
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Washington Gas Light Company | | | | | | | | | | | | | | | |
Natural gas related derivatives | | ($270.60) | | Discounted Cash Flow | | Natural Gas Basis Price | | ($2.101) - $6.154 | | | | | | | |
(per dekatherm) | | | | | | | |
The following tables are a summary of the changes in the fair value of our derivative instruments that are measured at net fair value on a recurring basis in accordance with ASC Topic 820 using significant Level 3 inputs during the three and six months ended March 31, 2015 and 2014, respectively. |
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WGL Holdings, Inc. |
Reconciliation of Fair Value Measurements Using Significant Level 3 Inputs |
(In millions) | Natural Gas | | Electricity | | Warrants | | Total |
Related | Related |
Derivatives | Derivatives |
Three Months Ended March 31, 2015 | | | | | | | |
Balance at January 1, 2015 | $ | (252.6 | ) | | $ | (11.5 | ) | | $ | — | | | $ | (264.1 | ) |
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Realized and unrealized gains (losses) | | | | | | | |
Recorded to income | (37.7 | ) | | 0.4 | | | — | | | (37.3 | ) |
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Recorded to regulatory assets—gas costs | (53.9 | ) | | — | | | — | | | (53.9 | ) |
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Transfers into Level 3 | 5.4 | | | — | | | — | | | 5.4 | |
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Transfers out of Level 3 | 1.4 | | | — | | | — | | | 1.4 | |
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Purchases | — | | | 0.2 | | | — | | | 0.2 | |
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Settlements | 17.8 | | | 0.4 | | | — | | | 18.2 | |
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Balance at March 31, 2015 | $ | (319.6 | ) | | $ | (10.5 | ) | | $ | — | | | $ | (330.1 | ) |
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Three Months Ended March 31, 2014 | | | | | | | |
Balance at January 1, 2014 | $ | (264.5 | ) | | $ | (1.7 | ) | | $ | 1.2 | | | $ | (265.0 | ) |
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Realized and unrealized gains (losses) | | | | | | | |
Recorded to income | (85.9 | ) | | 11.2 | | | — | | | (74.7 | ) |
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Recorded to regulatory assets—gas costs | (110.8 | ) | | — | | | — | | | (110.8 | ) |
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Settlements | 28.9 | | | (11.7 | ) | | — | | | 17.2 | |
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Balance at March 31, 2014 | $ | (432.3 | ) | | $ | (2.2 | ) | | $ | 1.2 | | | $ | (433.3 | ) |
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Six Months Ended March 31, 2015 | | | | | | | |
Balance at October 1, 2014 | $ | (294.7 | ) | | $ | (5.0 | ) | | $ | — | | | $ | (299.7 | ) |
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Realized and unrealized gains (losses) | | | | | | | |
Recorded to income | (17.4 | ) | | (10.5 | ) | | — | | | (27.9 | ) |
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Recorded to regulatory assets—gas costs | (40.3 | ) | | — | | | — | | | (40.3 | ) |
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Transfers into Level 3 | 5.4 | | | — | | | — | | | 5.4 | |
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Transfers out of Level 3 | (0.3 | ) | | — | | | — | | | (0.3 | ) |
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Purchases | — | | | 3.4 | | | — | | | 3.4 | |
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Settlements | 27.7 | | | 1.6 | | | — | | | 29.3 | |
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Balance at March 31, 2015 | $ | (319.6 | ) | | $ | (10.5 | ) | | $ | — | | | $ | (330.1 | ) |
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Six Months Ended March 31, 2014 | | | | | | | |
Balance at October 1, 2013 | $ | (155.2 | ) | | $ | 2.4 | | | $ | 1.1 | | | $ | (151.7 | ) |
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Realized and unrealized gains (losses) | | | | | | | |
Recorded to income | (132.6 | ) | | 3.3 | | | 0.1 | | | (129.2 | ) |
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Recorded to regulatory assets—gas costs | (182.8 | ) | | — | | | — | | | (182.8 | ) |
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Purchases | — | | | 1.4 | | | — | | | 1.4 | |
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Settlements | 38.3 | | | (9.3 | ) | | — | | | 29 | |
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Balance at March 31, 2014 | $ | (432.3 | ) | | $ | (2.2 | ) | | $ | 1.2 | | | $ | (433.3 | ) |
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Washington Gas Light Company | | | | | | | | | | | | |
Reconciliation of Fair Value Measurements Using Significant Level 3 Inputs | | | | | | | | | | | | |
(In millions) | Natural Gas | | | | | | | | | | | | |
Related | | | | | | | | | | | | |
Derivatives | | | | | | | | | | | | |
Three Months Ended March 31, 2015 | | | | | | | | | | | | | |
Balance at January 1, 2015 | $ | (234.8 | ) | | | | | | | | | | | | |
Realized and unrealized gains (losses) | | | | | | | | | | | | | |
Recorded to income | (37.4 | ) | | | | | | | | | | | | |
Recorded to regulatory assets—gas costs | (53.9 | ) | | | | | | | | | | | | |
Transfers into Level 3 | 5.4 | | | | | | | | | | | | | |
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Transfers out of Level 3 | 1.4 | | | | | | | | | | | | | |
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Settlements | 19.5 | | | | | | | | | | | | | |
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Balance at March 31, 2015 | $ | (299.8 | ) | | | | | | | | | | | | |
Three Months Ended March 31, 2014 | | | | | | | | | | | | | |
Balance at January 1, 2014 | $ | (220.0 | ) | | | | | | | | | | | | |
Realized and unrealized gains (losses) | | | | | | | | | | | | | |
Recorded to income | (81.8 | ) | | | | | | | | | | | | |
Recorded to regulatory assets—gas costs | (110.8 | ) | | | | | | | | | | | | |
Settlements | 30 | | | | | | | | | | | | | |
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Balance at March 31, 2014 | $ | (382.6 | ) | | | | | | | | | | | | |
Six Months Ended March 31, 2015 | | | | | | | | | | | | | |
Balance at October 1, 2014 | $ | (270.6 | ) | | | | | | | | | | | | |
Realized and unrealized gains (losses) | | | | | | | | | | | | | |
Recorded to income | (22.7 | ) | | | | | | | | | | | | |
Recorded to regulatory assets—gas costs | (40.3 | ) | | | | | | | | | | | | |
Transfers into Level 3 | 5.4 | | | | | | | | | | | | | |
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Transfers out of Level 3 | (0.3 | ) | | | | | | | | | | | | |
Settlements | 28.7 | | | | | | | | | | | | | |
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Balance at March 31, 2015 | $ | (299.8 | ) | | | | | | | | | | | | |
Six Months Ended March 31, 2014 | | | | | | | | | | | | | |
Balance at October 1, 2013 | $ | (133.6 | ) | | | | | | | | | | | | |
Realized and unrealized gains (losses) | | | | | | | | | | | | | |
Recorded to income | (105.2 | ) | | | | | | | | | | | | |
Recorded to regulatory assets—gas costs | (182.8 | ) | | | | | | | | | | | | |
Settlements | 39 | | | | | | | | | | | | | |
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Balance at March 31, 2014 | $ | (382.6 | ) | | | | | | | | | | | | |
Transfers between different levels of the fair value hierarchy may occur based on the level of observable inputs used to value the instruments from period to period. It is our policy to show both transfers into and out of the different levels of the fair value hierarchy at the fair value as of the beginning of the period. Transfers out of Level 3 during the three and six months ended March 31, 2015 were due to an increase in valuations using observable market inputs. There were no transfers in or out of Level 3 for the three and six months ended March 31, 2014. |
The table below sets forth the line items on the statements of income to which amounts are recorded for the three months ended March 31, 2015 and 2014, respectively, related to fair value measurements using significant Level 3 inputs. |
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WGL Holdings, Inc. |
Realized and Unrealized Gains (Losses) Recorded to Income for Level 3 Measurements |
(In millions) | Natural Gas | | Electricity | | Warrants | | Total |
Related | Related |
Derivatives | Derivatives |
Three Months Ended March 31, 2015 | | | | | | | |
Operating revenues—non-utility | $ | (8.9 | ) | | $ | 3.2 | | | $ | — | | | $ | (5.7 | ) |
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Utility cost of gas | (37.4 | ) | | — | | | — | | | (37.4 | ) |
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Non-utility cost of energy-related sales | 8.6 | | | (2.8 | ) | | — | | | 5.8 | |
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Total | $ | (37.7 | ) | | $ | 0.4 | | | $ | — | | | $ | (37.3 | ) |
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Three Months Ended March 31, 2014 | | | | | | | |
Operating revenues—non-utility | $ | (0.5 | ) | | $ | (14.5 | ) | | $ | — | | | $ | (15.0 | ) |
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Utility cost of gas | (81.8 | ) | | — | | | — | | | (81.8 | ) |
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Other income-net | — | | | — | | | — | | | — | |
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Non-utility cost of energy-related sales | (3.6 | ) | | 25.7 | | | — | | | 22.1 | |
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Total | $ | (85.9 | ) | | $ | 11.2 | | | $ | — | | | $ | (74.7 | ) |
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Six Months Ended March 31, 2015 | | | | | | | |
Operating revenues—non-utility | $ | 1.6 | | | $ | 24 | | | $ | — | | | $ | 25.6 | |
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Utility cost of gas | (22.7 | ) | | — | | | — | | | (22.7 | ) |
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Non-utility cost of energy-related sales | 3.7 | | | (34.5 | ) | | — | | | (30.8 | ) |
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Total | $ | (17.4 | ) | | $ | (10.5 | ) | | $ | — | | | $ | (27.9 | ) |
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Six Months Ended March 31, 2014 | | | | | | | |
Operating revenues—non-utility | $ | (26.3 | ) | | $ | (24.5 | ) | | $ | — | | | $ | (50.8 | ) |
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Utility cost of gas | (105.2 | ) | | — | | | — | | | (105.2 | ) |
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Other income-net | — | | | — | | | 0.1 | | | 0.1 | |
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Non-utility cost of energy-related sales | (1.1 | ) | | 27.8 | | | — | | | 26.7 | |
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Total | $ | (132.6 | ) | | $ | 3.3 | | | $ | 0.1 | | | $ | (129.2 | ) |
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Washington Gas Light Company | | | | | | | | | | | | |
Realized and Unrealized Gains (Losses) Recorded to Income for Level 3 Measurements | | | | | | | | | | | | |
(In millions) | Natural Gas | | | | | | | | | | | | |
Related | | | | | | | | | | | | |
Derivatives | | | | | | | | | | | | |
Three Months Ended March 31, 2015 | | | | | | | | | | | | | |
Utility cost of gas | $ | (37.4 | ) | | | | | | | | | | | | |
Total | $ | (37.4 | ) | | | | | | | | | | | | |
Three Months Ended March 31, 2014 | | | | | | | | | | | | | |
Utility cost of gas | $ | (81.8 | ) | | | | | | | | | | | | |
Total | $ | (81.8 | ) | | | | | | | | | | | | |
Six Months Ended March 31, 2015 | | | | | | | | | | | | | |
Utility cost of gas | $ | (22.7 | ) | | | | | | | | | | | | |
Total | $ | (22.7 | ) | | | | | | | | | | | | |
Six Months Ended March 31, 2014 | | | | | | | | | | | | | |
Utility cost of gas | $ | (105.2 | ) | | | | | | | | | | | | |
Total | $ | (105.2 | ) | | | | | | | | | | | | |
Unrealized gains (losses) attributable to derivative assets and liabilities measured using significant Level 3 inputs were recorded as follows, for the three and six months ended March 31, 2015 and 2014, respectively. |
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WGL Holdings, Inc. |
Unrealized Gains (Losses) Recorded for Level 3 Measurements |
(In millions) | Natural Gas | | Electricity | | Warrants | | Total |
Related | Related |
Derivatives | Derivatives |
Three Months Ended March 31, 2015 | | | | | | | |
Recorded to income | | | | | | | |
Operating revenues—non-utility | $ | (9.3 | ) | | $ | 0.1 | | | $ | — | | | $ | (9.2 | ) |
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Utility cost of gas | (31.7 | ) | | — | | | — | | | (31.7 | ) |
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Non-utility cost of energy-related sales | 11.8 | | | 0.6 | | | — | | | 12.4 | |
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Recorded to regulatory assets—gas costs | (47.7 | ) | | — | | | — | | | (47.7 | ) |
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Total | $ | (76.9 | ) | | $ | 0.7 | | | $ | — | | | $ | (76.2 | ) |
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Three Months Ended March 31, 2014 | | | | | | | |
Recorded to income | | | | | | | |
Operating revenues—non-utility | $ | (5.0 | ) | | $ | (28.4 | ) | | $ | — | | | $ | (33.4 | ) |
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Utility cost of gas | (68.1 | ) | | — | | | — | | | (68.1 | ) |
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Non-utility cost of energy-related sales | (0.8 | ) | | 27.1 | | | — | | | 26.3 | |
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Other income-net | — | | | — | | | — | | | — | |
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Recorded to regulatory assets—gas costs | (101.1 | ) | | — | | | — | | | (101.1 | ) |
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Total | $ | (175.0 | ) | | $ | (1.3 | ) | | $ | — | | | $ | (176.3 | ) |
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Six Months Ended March 31, 2015 | | | | | | | |
Recorded to income | | | | | | | |
Operating revenues—non-utility | $ | 3.6 | | | $ | 20.9 | | | $ | — | | | $ | 24.5 | |
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Utility cost of gas | (19.8 | ) | | — | | | — | | | (19.8 | ) |
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Non-utility cost of energy-related sales | 1.8 | | | (26.7 | ) | | — | | | (24.9 | ) |
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Recorded to regulatory assets—gas costs | (28.8 | ) | | — | | | — | | | (28.8 | ) |
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Total | $ | (43.2 | ) | | $ | (5.8 | ) | | $ | — | | | $ | (49.0 | ) |
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Six Months Ended March 31, 2014 | | | | | | | |
Recorded to income | | | | | | | |
Operating revenues—non-utility | $ | (30.3 | ) | | $ | (33.4 | ) | | $ | — | | | $ | (63.7 | ) |
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Utility cost of gas | (92.1 | ) | | — | | | — | | | (92.1 | ) |
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Non-utility cost of energy-related sales | 3.3 | | | 28.3 | | | — | | | 31.6 | |
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Other income-net | — | | | — | | | 0.1 | | | 0.1 | |
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Recorded to regulatory assets—gas costs | (169.9 | ) | | — | | | — | | | (169.9 | ) |
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Total | $ | (289.0 | ) | | $ | (5.1 | ) | | $ | 0.1 | | | $ | (294.0 | ) |
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Washington Gas Light Company | | | | | | | | | | | | |
Unrealized Gains (Losses) Recorded for Level 3 Measurements | | | | | | | | | | | | |
Three Months Ended March 31, 2015 | | | | | | | | | | | | | |
(In millions) | Natural Gas | | | | | | | | | | | | |
Related | | | | | | | | | | | | |
Derivatives | | | | | | | | | | | | |
Recorded to income - utility cost of gas | $ | (31.7 | ) | | | | | | | | | | | | |
Recorded to regulatory assets—gas costs | (47.7 | ) | | | | | | | | | | | | |
Total | $ | (79.4 | ) | | | | | | | | | | | | |
Three Months Ended March 31, 2014 | | | | | | | | | | | | | |
Recorded to income - utility cost of gas | $ | (68.1 | ) | | | | | | | | | | | | |
Recorded to regulatory assets—gas costs | (101.1 | ) | | | | | | | | | | | | |
Total | $ | (169.2 | ) | | | | | | | | | | | | |
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Six Months Ended March 31, 2015 | | | | | | | | | | | | | |
Recorded to income - utility cost of gas | $ | (19.8 | ) | | | | | | | | | | | | |
Recorded to regulatory assets—gas costs | (28.8 | ) | | | | | | | | | | | | |
Total | $ | (48.6 | ) | | | | | | | | | | | | |
Six Months Ended March 31, 2014 | | | | | | | | | | | | | |
Recorded to income - utility cost of gas | $ | (92.1 | ) | | | | | | | | | | | | |
Recorded to regulatory assets—gas costs | (169.9 | ) | | | | | | | | | | | | |
Total | $ | (262.0 | ) | | | | | | | | | | | | |
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The following table presents the carrying amounts and estimated fair values of our financial instruments at March 31, 2015 and September 30, 2014. |
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WGL Holdings, Inc. |
Fair Value of Financial Instruments |
| March 31, 2015 | | September 30, 2014 |
(In millions) | Carrying Amount | | Fair Value | | Carrying Amount | | Fair Value |
Money market funds(a) | $ | 14.6 | | | $ | 14.6 | | | $ | 9.7 | | | $ | 9.7 | |
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Other short-term investments(a) | $ | 0.2 | | | $ | 0.2 | | | $ | — | | | $ | — | |
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Commercial paper (b) | $ | 175 | | | $ | 175 | | | $ | 453.5 | | | $ | 453.5 | |
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Long-term debt(c) | $ | 950.5 | | | $ | 1,117.90 | | | $ | 679.2 | | | $ | 809.3 | |
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Washington Gas Light Company |
| March 31, 2015 | | September 30, 2014 |
(In millions) | Carrying Amount | | Fair Value | | Carrying Amount | | Fair Value |
Money market funds(a) | $ | 10.2 | | | $ | 10.2 | | | $ | 4.3 | | | $ | 4.3 | |
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Other short-term investments(a) | $ | 0.2 | | | $ | 0.2 | | | $ | — | | | $ | — | |
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Commercial paper (b) | $ | — | | | $ | — | | | $ | 89 | | | $ | 89 | |
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Long-term debt(c) | $ | 702.2 | | | $ | 864.1 | | | $ | 679.2 | | | $ | 809.3 | |
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(a) | Balance is located in cash and cash equivalents in the accompanying balance sheets. These amounts may be offset by outstanding checks. | | | | | | | | | | | | | | |
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(b) | Balance is located in notes payable in the accompanying balance sheets. | | | | | | | | | | | | | | |
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(c) | Less current maturities and unamortized discounts. | | | | | | | | | | | | | | |
Our money market funds are Level 1 valuations and their carrying amount approximates fair value. Other short-term investments are primarily overnight investment accounts; therefore, their carrying amount approximates fair value based on Level 2 inputs. The maturity of our commercial paper outstanding at both March 31, 2015 and September 30, 2014 is under 30 days. Due to the short term nature of these notes, the carrying cost of our commercial paper approximates fair value using Level 2 inputs. Neither WGL’s nor Washington Gas’ long-term debt is actively traded. The fair value of long-term debt was estimated based on the quoted market prices of the U.S. Treasury issues having a similar term to maturity, adjusted for the credit quality of the debt issuer, WGL or Washington Gas. Our long-term debt fair value measurement is classified as Level 3. |
Non Recurring Basis |
During the six months ended March 31, 2015, Washington Gas Resources recorded an impairment charge of its investment in ASDHI to its fair value using the income approach. The amount of the impairment was equivalent to the amount of the carrying value of $5.6 million and was due to management’s assumption of the current valuation and expected return from the investment. The fair value of this investment was a Level 3 measurement. |