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Fair Value Measurements | 6 Months Ended
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Jun. 30, 2020
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |
Fair Value Measurements | Fair Value Measurements Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Accounting guidance for fair value measurement emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and establishes a fair value hierarchy that distinguishes between assumptions based on market data obtained from independent sources and those based on an entity’s own assumptions. The hierarchy prioritizes the inputs to fair value measurement into three levels: Level 1—measurements utilize quoted prices (unadjusted) in active markets for identical assets or liabilities that PSEG, PSE&G and PSEG Power have the ability to access. These consist primarily of listed equity securities and money market mutual funds, as well as natural gas futures contracts executed on NYMEX. Level 2—measurements include quoted prices for similar assets and liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, and other observable inputs such as interest rates and yield curves that are observable at commonly quoted intervals. These consist primarily of non-exchange traded derivatives such as forward contracts or options and most fixed income securities. Level 3—measurements use unobservable inputs for assets or liabilities, based on the best information available and might include an entity’s own data and assumptions. In some valuations, the inputs used may fall into different levels of the hierarchy. In these cases, the financial instrument’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. These consist primarily of certain electric load contracts and gas contracts. Certain derivative transactions may transfer from Level 2 to Level 3 if inputs become unobservable and internal modeling techniques are employed to determine fair value. Conversely, measurements may transfer from Level 3 to Level 2 if the inputs become observable. The following tables present information about PSEG’s, PSE&G’s and PSEG Power’s respective assets and (liabilities) measured at fair value on a recurring basis as of June 30, 2020 and December 31, 2019, including the fair value measurements and the levels of inputs used in determining those fair values. Amounts shown for PSEG include the amounts shown for PSE&G and PSEG Power.
|  |  | Recurring Fair Value Measurements as of June 30, 2020 |
| Description |  | Total |  | Netting (E) |  | Quoted Market Prices for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |
|  |  | Millions |
| PSEG |  |  |  |  |  |  |  |  |  |  |
| Assets: |  |  |  |  |  |  |  |  |  |  |
| Cash Equivalents (A) |  | $ | 280 |  |  | $ | — |  |  | $ | 280 |  |  | $ | — |  |  | $ | — |  |
| Derivative Contracts: |  |  |  |  |  |  |  |  |  |  |
| Energy-Related Contracts (B) |  | $ | 142 |  |  | $ | (655 | ) |  | $ | 27 |  |  | $ | 758 |  |  | $ | 12 |  |
| NDT Fund (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 1,117 |  |  | $ | — |  |  | $ | 1,117 |  |  | $ | — |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 178 |  |  | $ | — |  |  | $ | — |  |  | $ | 178 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 368 |  |  | $ | — |  |  | $ | — |  |  | $ | 368 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 587 |  |  | $ | — |  |  | $ | — |  |  | $ | 587 |  |  | $ | — |  |
| Rabbi Trust (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 26 |  |  | $ | — |  |  | $ | 26 |  |  | $ | — |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 53 |  |  | $ | — |  |  | $ | — |  |  | $ | 53 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 44 |  |  | $ | — |  |  | $ | — |  |  | $ | 44 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 136 |  |  | $ | — |  |  | $ | — |  |  | $ | 136 |  |  | $ | — |  |
| Liabilities: |  |  |  |  |  |  |  |  |  |  |
| Derivative Contracts: |  |  |  |  |  |  |  |  |  |  |
| Energy-Related Contracts (B) |  | $ | (20 | ) |  | $ | 653 |  |  | $ | (59 | ) |  | $ | (612 | ) |  | $ | (2 | ) |
| Interest Rate Swaps (D) |  | $ | (6 | ) |  | $ | — |  |  | $ | — |  |  | $ | (6 | ) |  | $ | — |  |
| PSE&G |  |  |  |  |  |  |  |  |  |  |
| Assets: |  |  |  |  |  |  |  |  |  |  |
| Cash Equivalents (A) |  | $ | 180 |  |  | $ | — |  |  | $ | 180 |  |  | $ | — |  |  | $ | — |  |
| Rabbi Trust (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 5 |  |  | $ | — |  |  | $ | 5 |  |  | $ | — |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 10 |  |  | $ | — |  |  | $ | — |  |  | $ | 10 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 8 |  |  | $ | — |  |  | $ | — |  |  | $ | 8 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 27 |  |  | $ | — |  |  | $ | — |  |  | $ | 27 |  |  | $ | — |  |
| PSEG Power |  |  |  |  |  |  |  |  |  |  |
| Assets: |  |  |  |  |  |  |  |  |  |  |
| Derivative Contracts: |  |  |  |  |  |  |  |  |  |  |
| Energy-Related Contracts (B) |  | $ | 142 |  |  | $ | (655 | ) |  | $ | 27 |  |  | $ | 758 |  |  | $ | 12 |  |
| NDT Fund (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 1,117 |  |  | $ | — |  |  | $ | 1,117 |  |  | $ | — |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 178 |  |  | $ | — |  |  | $ | — |  |  | $ | 178 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 368 |  |  | $ | — |  |  | $ | — |  |  | $ | 368 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 587 |  |  | $ | — |  |  | $ | — |  |  | $ | 587 |  |  | $ | — |  |
| Rabbi Trust (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 7 |  |  | $ | — |  |  | $ | 7 |  |  | $ | — |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 13 |  |  | $ | — |  |  | $ | — |  |  | $ | 13 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 11 |  |  | $ | — |  |  | $ | — |  |  | $ | 11 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 34 |  |  | $ | — |  |  | $ | — |  |  | $ | 34 |  |  | $ | — |  |
| Liabilities: |  |  |  |  |  |  |  |  |  |  |
| Derivative Contracts: |  |  |  |  |  |  |  |  |  |  |
| Energy-Related Contracts (B) |  | $ | (20 | ) |  | $ | 653 |  |  | $ | (59 | ) |  | $ | (612 | ) |  | $ | (2 | ) |
|  |  | Recurring Fair Value Measurements as of December 31, 2019 |
| Description |  | Total |  | Netting (E) |  | Quoted Market Prices for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |
|  |  | Millions |
| PSEG |  |  |  |  |  |  |  |  |  |  |
| Assets: |  |  |  |  |  |  |  |  |  |  |
| Cash Equivalents (A) |  | $ | 50 |  |  | $ | — |  |  | $ | 50 |  |  | $ | — |  |  | $ | — |  |
| Derivative Contracts: |  |  |  |  |  |  |  |  |  |  |
| Energy-Related Contracts (B) |  | $ | 137 |  |  | $ | (662 | ) |  | $ | 19 |  |  | $ | 770 |  |  | $ | 10 |  |
| NDT Fund (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 1,151 |  |  | $ | — |  |  | $ | 1,150 |  |  | $ | 1 |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 225 |  |  | $ | — |  |  | $ | — |  |  | $ | 225 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 352 |  |  | $ | — |  |  | $ | — |  |  | $ | 352 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 486 |  |  | $ | — |  |  | $ | — |  |  | $ | 486 |  |  | $ | — |  |
| Rabbi Trust (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 28 |  |  | $ | — |  |  | $ | 28 |  |  | $ | — |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 57 |  |  | $ | — |  |  | $ | — |  |  | $ | 57 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 47 |  |  | $ | — |  |  | $ | — |  |  | $ | 47 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 114 |  |  | $ | — |  |  | $ | — |  |  | $ | 114 |  |  | $ | — |  |
| Liabilities: |  |  |  |  |  |  |  |  |  |  |
| Derivative Contracts: |  |  |  |  |  |  |  |  |  |  |
| Energy-Related Contracts (B) |  | $ | (32 | ) |  | $ | 660 |  |  | $ | (43 | ) |  | $ | (646 | ) |  | $ | (3 | ) |
| Interest Rate Swaps (D) |  | $ | (5 | ) |  | $ | — |  |  | $ | — |  |  | $ | (5 | ) |  | $ | — |  |
| PSE&G |  |  |  |  |  |  |  |  |  |  |
| Assets: |  |  |  |  |  |  |  |  |  |  |
| Rabbi Trust (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 5 |  |  | $ | — |  |  | $ | 5 |  |  | $ | — |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 11 |  |  | $ | — |  |  | $ | — |  |  | $ | 11 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 9 |  |  | $ | — |  |  | $ | — |  |  | $ | 9 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 23 |  |  | $ | — |  |  | $ | — |  |  | $ | 23 |  |  | $ | — |  |
| PSEG Power |  |  |  |  |  |  |  |  |  |  |
| Assets: |  |  |  |  |  |  |  |  |  |  |
| Derivative Contracts: |  |  |  |  |  |  |  |  |  |  |
| Energy-Related Contracts (B) |  | $ | 137 |  |  | $ | (662 | ) |  | $ | 19 |  |  | $ | 770 |  |  | $ | 10 |  |
| NDT Fund (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 1,151 |  |  | $ | — |  |  | $ | 1,150 |  |  | $ | 1 |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 225 |  |  | $ | — |  |  | $ | — |  |  | $ | 225 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 352 |  |  | $ | — |  |  | $ | — |  |  | $ | 352 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 486 |  |  | $ | — |  |  | $ | — |  |  | $ | 486 |  |  | $ | — |  |
| Rabbi Trust (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 8 |  |  | $ | — |  |  | $ | 8 |  |  | $ | — |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 14 |  |  | $ | — |  |  | $ | — |  |  | $ | 14 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 12 |  |  | $ | — |  |  | $ | — |  |  | $ | 12 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 28 |  |  | $ | — |  |  | $ | — |  |  | $ | 28 |  |  | $ | — |  |
| Liabilities: |  |  |  |  |  |  |  |  |  |  |
| Derivative Contracts: |  |  |  |  |  |  |  |  |  |  |
| Energy-Related Contracts (B) |  | $ | (32 | ) |  | $ | 660 |  |  | $ | (43 | ) |  | $ | (646 | ) |  | $ | (3 | ) |
(A) | Represents money market mutual funds.
(B) | Level 1—These contracts represent natural gas futures contracts executed on NYMEX, and are being valued solely on settled pricing inputs which come directly from the exchange.
Level 2—Fair values for energy-related contracts are obtained primarily using a market-based approach. Most derivative contracts (forward purchase or sale contracts and swaps) are valued using settled prices from similar assets and liabilities from an exchange, such as NYMEX, ICE and Nodal Exchange, or auction prices. Prices used in the valuation process are also corroborated independently by management to determine that values are based on actual transaction data or, in the absence of transactions, bid and offers for the day. Examples may include certain exchange and non-exchange traded capacity and electricity contracts and natural gas physical or swap contracts based on market prices, basis adjustments and other premiums where adjustments and premiums are not considered significant to the overall inputs. Level 3—Unobservable inputs are used for the valuation of certain contracts. See “Additional Information Regarding Level 3 Measurements” below for more information on the utilization of unobservable inputs.
(C) | The fair value measurement table excludes foreign currency in the NDT Fund of $1 million and $2 million as of June 30, 2020 and December 31, 2019, respectively. The NDT Fund maintains investments in various equity and fixed income securities. The Rabbi Trust maintains investments in a Russell 3000 index fund and various fixed income securities. These securities are generally valued with prices that are either exchange provided (equity securities) or market transactions for comparable securities and/or broker quotes (fixed income securities).
Level 1—Investments in marketable equity securities within the NDT Fund are primarily investments in common stocks across a broad range of industries and sectors. Most equity securities are priced utilizing the principal market close price or, in some cases, midpoint, bid or ask price. Certain other equity securities in the NDT and Rabbi Trust Funds consist primarily of investments in money market funds which seek a high level of current income as is consistent with the preservation of capital and the maintenance of liquidity. To pursue its goals, the funds normally invest in diversified portfolios of high quality, short-term, dollar-denominated debt securities and government securities. The funds’ net asset value is priced and published daily. The Rabbi Trust’s Russell 3000 index fund is valued based on quoted prices in an active market and can be redeemed daily without restriction. Level 2—NDT and Rabbi Trust fixed income securities include investment grade corporate bonds, collateralized mortgage obligations, asset-backed securities and certain government and U.S. Treasury obligations or Federal Agency asset-backed securities and municipal bonds with a wide range of maturities. Since many fixed income securities do not trade on a daily basis, they are priced using an evaluated pricing methodology that varies by asset class and reflects observable market information such as the most recent exchange price or quoted bid for similar securities. Market-based standard inputs typically include benchmark yields, reported trades, broker/dealer quotes and issuer spreads. The preferred stocks are not actively traded on a daily basis and therefore, are also priced using an evaluated pricing methodology. Certain short-term investments are valued using observable market prices or market parameters such as time-to-maturity, coupon rate, quality rating and current yield.
(D) | Interest rate swaps are valued using quoted prices on commonly quoted intervals, which are interpolated for periods different than the quoted intervals, as inputs to a market valuation model. Market inputs can generally be verified and model selection does not involve significant management judgment.
(E) | Represents the netting of fair value balances with the same counterparty (where the right of offset exists) and the application of collateral. See Note 13. Financial Risk Management Activities for additional detail.
Additional Information Regarding Level 3 Measurements For valuations that include both observable and unobservable inputs, if the unobservable input is determined to be significant to the overall inputs, the entire valuation is categorized in Level 3. This includes derivatives valued using indicative price quotations for contracts with tenors that extend into periods with no observable pricing. In instances where observable data is unavailable, consideration is given to the assumptions that market participants would use in valuing the asset or liability. This includes assumptions about market risks such as liquidity, volatility and contract duration. Such instruments are categorized in Level 3 because the model inputs generally are not observable. PSEG considers credit and nonperformance risk in the valuation of derivative contracts categorized in Levels 2 and 3, including both historical and current market data, in its assessment of credit and nonperformance risk by counterparty. The impacts of credit and nonperformance risk were not material to the financial statements. The fair value of PSEG Power’s electric load contracts in which load consumption may change hourly based on demand are measured using certain unobservable inputs, such as historic load variability and, accordingly, are categorized as Level 3. The fair value of PSEG Power’s gas physical contracts at certain illiquid delivery locations are measured using average historical basis and, accordingly, are categorized as Level 3. While these physical gas contracts have an unobservable component in their respective forward price curves, the fluctuations in fair value have been driven primarily by changes in the observable inputs. The following tables provide details surrounding significant Level 3 valuations as of June 30, 2020 and December 31, 2019.
|  |  | Quantitative Information About Level 3 Fair Value Measurements |
|  |  |  |  |  |  |  |  | Significant |  |  |  |  |
|  |  | Level 3 |  | Fair Value as of |  | Valuation |  | Unobservable |  |  |  | Arithmetic |
| Commodity |  | Position |  | June 30, 2020 |  | Technique(s) |  | Input |  | Range |  | Average |
|  |  |  |  | Assets |  | (Liabilities) |  |  |  |  |  |  |  |  |
|  |  |  |  | Millions |  |  |  |  |  |  |  |  |
| PSEG Power |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Electricity |  | Electric Load Contracts |  | $ | 12 |  |  | $ | — |  |  | Discounted Cash flow |  | Load Shaping Cost |  | 0% to 11% |  | 4% |
| Gas |  | Gas Physical Contracts |  | — |  |  | (2 | ) |  | Discounted Cash flow |  | Historical Basis Adjustment |  | -50% to 0% |  | -27% |
| Total PSEG Power |  | $ | 12 |  |  | $ | (2 | ) |  |  |  |  |  |  |  |  |
| Total PSEG |  |  |  | $ | 12 |  |  | $ | (2 | ) |  |  |  |  |  |  |  |  |
|  |  | Quantitative Information About Level 3 Fair Value Measurements |
|  |  |  |  |  |  |  |  | Significant |  |  |
|  |  |  |  | Fair Value as of |  | Valuation |  | Unobservable |  |  |
| Commodity |  | Level 3 Position |  | December 31, 2019 |  | Technique(s) |  | Input |  | Range |
|  |  |  |  | Assets |  | (Liabilities) |  |  |  |  |  |  |
|  |  |  |  | Millions |  |  |  |  |  |  |
| PSEG Power |  |  |  |  |  |  |  |  |  |  |  |  |
| Electricity |  | Electric Load Contracts |  | $ | 10 |  |  | $ | — |  |  | Discounted Cash flow |  | Historic Load Variability |  | 0% to 10% |
| Gas |  | Gas Physical Contracts |  | — |  |  | (3 | ) |  | Discounted Cash flow |  | Average Historical Basis |  | -50% to 0% |
| Total PSEG Power |  |  |  | $ | 10 |  |  | $ | (3 | ) |  |  |  |  |  |  |
| Total PSEG |  |  |  | $ | 10 |  |  | $ | (3 | ) |  |  |  |  |  |  |
As of June 30, 2020, significant unobservable inputs listed above would have a direct impact on the fair values of the above Level 3 instruments if they were adjusted. For energy-related contracts in cases where PSEG Power is a seller, an increase in the load variability would decrease the fair value. For gas-related contracts in cases where PSEG Power is a buyer, an increase in the average historical basis would increase the fair value. A reconciliation of the beginning and ending balances of Level 3 derivative contracts and securities for the three months and six months ended June 30, 2020 and June 30, 2019, respectively, follows: Changes in Level 3 Assets and (Liabilities) Measured at Fair Value on a Recurring Basis for the Three Months and Six Months Ended June 30, 2020
|  |  | Three Months Ended June 30, 2020 |
| Description |  | Balance as of March 31, 2020 |  | Total Gains or (Losses) Realized/Unrealized Included in Income (A) |  | Purchases (Sales) |  | Issuances/ Settlements (B) |  | Transfers In/Out (C) |  | Balance as of June 30, 2020 |
|  |  | Millions |
| PSEG and PSEG Power |  |  |  |  |  |  |  |  |  |  |
| Net Derivative Assets (Liabilities) |  | $ | 19 |  |  | $ | (4 | ) |  | $ | — |  |  | $ | (5 | ) |  | $ | — |  |  | $ | 10 |  |
|  |  | Six Months Ended June 30, 2020 |
| Description |  | Balance as of December 31, 2019 |  | Total Gains or (Losses) Realized/Unrealized Included in Income (A) |  | Purchases (Sales) |  | Issuances/ Settlements (B) |  | Transfers In/Out (C) |  | Balance as of June 30, 2020 |
|  |  | Millions |
| PSEG and PSEG Power |  |  |  |  |  |  |  |  |  |  |
| Net Derivative Assets (Liabilities) |  | $ | 7 |  |  | $ | 9 |  |  | $ | — |  |  | $ | (6 | ) |  | $ | — |  |  | $ | 10 |  |
Changes in Level 3 Assets and (Liabilities) Measured at Fair Value on a Recurring Basis for the Three Months and Six Months Ended June 30, 2019
|  |  | Three Months Ended June 30, 2019 |
| Description |  | Balance as of March 31, 2019 |  | Total Gains or (Losses) Realized/Unrealized Included in Income (A) |  | Purchases (Sales) |  | Issuances/ Settlements (B) |  | Transfers In/Out (C) |  | Balance as of June 30, 2019 |
|  |  | Millions |
| PSEG and PSEG Power |  |  |  |  |  |  |  |  |  |  |
| Net Derivative Assets (Liabilities) |  | $ | (2 | ) |  | $ | 8 |  |  | $ | — |  |  | $ | (2 | ) |  | $ | — |  |  | $ | 4 |  |
|  |  | Six Months Ended June 30, 2019 |
| Description |  | Balance as of December 31, 2018 |  | Total Gains or (Losses) Realized/Unrealized Included in Income (A) |  | Purchases (Sales) |  | Issuances/ Settlements (B) |  | Transfers In/Out (C) |  | Balance as of June 30, 2019 |
|  |  | Millions |
| PSEG and PSEG Power |  |  |  |  |  |  |  |  |  |  |
| Net Derivative Assets (Liabilities) |  | $ | 1 |  |  | $ | 9 |  |  | $ | — |  |  | $ | (6 | ) |  | $ | — |  |  | $ | 4 |  |
(A) | Unrealized gains (losses) in the following table represent the change in derivative assets and liabilities still held as of June 30, 2020 and 2019.
.
|  |  | Three Months Ended June 30, |  | Six Months Ended June 30, |
|  |  | 2020 |  | 2019 |  | 2020 |  | 2019 |
|  |  | Total Gains (Losses) |  | Unrealized Gains (Losses) |  | Total Gains (Losses) |  | Unrealized Gains (Losses) |  | Total Gains (Losses) |  | Unrealized Gains (Losses) |  | Total Gains (Losses) |  | Unrealized Gains (Losses) |
|  |  | Millions |
| PSEG and PSEG Power |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Operating Revenues |  | $ | (4 | ) |  | $ | (9 | ) |  | $ | 11 |  |  | $ | 9 |  |  | $ | 14 |  |  | $ | 2 |  |  | $ | 17 |  |  | $ | 9 |  |
| Energy Costs |  | — |  |  | — |  |  | (3 | ) |  | (3 | ) |  | (5 | ) |  | 1 |  |  | (8 | ) |  | (6 | ) |
| Total |  | $ | (4 | ) |  | $ | (9 | ) |  | $ | 8 |  |  | $ | 6 |  |  | $ | 9 |  |  | $ | 3 |  |  | $ | 9 |  |  | $ | 3 |  |
(B) | Includes settlements of $(5) million and $(6) million for the three months and six months ended June 30, 2020, respectively, and $(2) million and $(6) million for the three months and six months ended June 30, 2019, respectively.
(C) | There were no transfers into or out of Level 3 during the three months and six months ended June 30, 2020 and 2019.
As of June 30, 2020, PSEG carried $2.9 billion of net assets that are measured at fair value on a recurring basis, of which $10 million of net assets was measured using unobservable inputs and classified as Level 3 within the fair value hierarchy. As of June 30, 2019, PSEG carried $2.5 billion of net assets that are measured at fair value on a recurring basis, of which $4 million of net assets was measured using unobservable inputs and classified as Level 3 within the fair value hierarchy. Fair Value of Debt The estimated fair values were determined using the market quotations or values of instruments with similar terms, credit ratings, remaining maturities and redemptions as of June 30, 2020 and December 31, 2019.
|  | As of |  | As of |
|  | June 30, 2020 |  | December 31, 2019 |
|  | Carrying Amount |  | Fair Value |  | Carrying Amount |  | Fair Value |
|  | Millions |
| Long-Term Debt: |  |  |  |  |  |  |  |
| PSEG (A) (B) | $ | 2,442 |  |  | $ | 2,537 |  |  | $ | 2,441 |  |  | $ | 2,479 |  |
| PSE&G (B) | 10,795 |  |  | 13,152 |  |  | 9,827 |  |  | 11,107 |  |
| PSEG Power (B) | 2,436 |  |  | 2,840 |  |  | 2,840 |  |  | 3,137 |  |
| Total Long-Term Debt | $ | 15,673 |  |  | $ | 18,529 |  |  | $ | 15,108 |  |  | $ | 16,723 |  |
(A) | Includes floating-rate term loan of $700 million at PSEG as of June 30, 2020 and December 31, 2019. The fair value of the term loan debt (Level 2 measurement) approximates the carrying value because the interest payments are based on LIBOR rates that are reset monthly and the debt is redeemable at face value by PSEG at any time.
(B) Given that these bonds do not trade actively, the fair value amounts of taxable debt securities (primarily Level 2 measurements) are generally determined by a valuation model that is based on a conventional discounted cash flow methodology. The fair value amounts above do not represent the price at which the outstanding debt may be called for redemption by each issuer under their respective debt agreements.
Public Service Electric and Gas Company [Member] |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |
Fair Value Measurements | Fair Value Measurements Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Accounting guidance for fair value measurement emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and establishes a fair value hierarchy that distinguishes between assumptions based on market data obtained from independent sources and those based on an entity’s own assumptions. The hierarchy prioritizes the inputs to fair value measurement into three levels: Level 1—measurements utilize quoted prices (unadjusted) in active markets for identical assets or liabilities that PSEG, PSE&G and PSEG Power have the ability to access. These consist primarily of listed equity securities and money market mutual funds, as well as natural gas futures contracts executed on NYMEX. Level 2—measurements include quoted prices for similar assets and liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, and other observable inputs such as interest rates and yield curves that are observable at commonly quoted intervals. These consist primarily of non-exchange traded derivatives such as forward contracts or options and most fixed income securities. Level 3—measurements use unobservable inputs for assets or liabilities, based on the best information available and might include an entity’s own data and assumptions. In some valuations, the inputs used may fall into different levels of the hierarchy. In these cases, the financial instrument’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. These consist primarily of certain electric load contracts and gas contracts. Certain derivative transactions may transfer from Level 2 to Level 3 if inputs become unobservable and internal modeling techniques are employed to determine fair value. Conversely, measurements may transfer from Level 3 to Level 2 if the inputs become observable. The following tables present information about PSEG’s, PSE&G’s and PSEG Power’s respective assets and (liabilities) measured at fair value on a recurring basis as of June 30, 2020 and December 31, 2019, including the fair value measurements and the levels of inputs used in determining those fair values. Amounts shown for PSEG include the amounts shown for PSE&G and PSEG Power.
|  |  | Recurring Fair Value Measurements as of June 30, 2020 |
| Description |  | Total |  | Netting (E) |  | Quoted Market Prices for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |
|  |  | Millions |
| PSEG |  |  |  |  |  |  |  |  |  |  |
| Assets: |  |  |  |  |  |  |  |  |  |  |
| Cash Equivalents (A) |  | $ | 280 |  |  | $ | — |  |  | $ | 280 |  |  | $ | — |  |  | $ | — |  |
| Derivative Contracts: |  |  |  |  |  |  |  |  |  |  |
| Energy-Related Contracts (B) |  | $ | 142 |  |  | $ | (655 | ) |  | $ | 27 |  |  | $ | 758 |  |  | $ | 12 |  |
| NDT Fund (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 1,117 |  |  | $ | — |  |  | $ | 1,117 |  |  | $ | — |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 178 |  |  | $ | — |  |  | $ | — |  |  | $ | 178 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 368 |  |  | $ | — |  |  | $ | — |  |  | $ | 368 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 587 |  |  | $ | — |  |  | $ | — |  |  | $ | 587 |  |  | $ | — |  |
| Rabbi Trust (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 26 |  |  | $ | — |  |  | $ | 26 |  |  | $ | — |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 53 |  |  | $ | — |  |  | $ | — |  |  | $ | 53 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 44 |  |  | $ | — |  |  | $ | — |  |  | $ | 44 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 136 |  |  | $ | — |  |  | $ | — |  |  | $ | 136 |  |  | $ | — |  |
| Liabilities: |  |  |  |  |  |  |  |  |  |  |
| Derivative Contracts: |  |  |  |  |  |  |  |  |  |  |
| Energy-Related Contracts (B) |  | $ | (20 | ) |  | $ | 653 |  |  | $ | (59 | ) |  | $ | (612 | ) |  | $ | (2 | ) |
| Interest Rate Swaps (D) |  | $ | (6 | ) |  | $ | — |  |  | $ | — |  |  | $ | (6 | ) |  | $ | — |  |
| PSE&G |  |  |  |  |  |  |  |  |  |  |
| Assets: |  |  |  |  |  |  |  |  |  |  |
| Cash Equivalents (A) |  | $ | 180 |  |  | $ | — |  |  | $ | 180 |  |  | $ | — |  |  | $ | — |  |
| Rabbi Trust (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 5 |  |  | $ | — |  |  | $ | 5 |  |  | $ | — |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 10 |  |  | $ | — |  |  | $ | — |  |  | $ | 10 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 8 |  |  | $ | — |  |  | $ | — |  |  | $ | 8 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 27 |  |  | $ | — |  |  | $ | — |  |  | $ | 27 |  |  | $ | — |  |
| PSEG Power |  |  |  |  |  |  |  |  |  |  |
| Assets: |  |  |  |  |  |  |  |  |  |  |
| Derivative Contracts: |  |  |  |  |  |  |  |  |  |  |
| Energy-Related Contracts (B) |  | $ | 142 |  |  | $ | (655 | ) |  | $ | 27 |  |  | $ | 758 |  |  | $ | 12 |  |
| NDT Fund (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 1,117 |  |  | $ | — |  |  | $ | 1,117 |  |  | $ | — |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 178 |  |  | $ | — |  |  | $ | — |  |  | $ | 178 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 368 |  |  | $ | — |  |  | $ | — |  |  | $ | 368 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 587 |  |  | $ | — |  |  | $ | — |  |  | $ | 587 |  |  | $ | — |  |
| Rabbi Trust (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 7 |  |  | $ | — |  |  | $ | 7 |  |  | $ | — |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 13 |  |  | $ | — |  |  | $ | — |  |  | $ | 13 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 11 |  |  | $ | — |  |  | $ | — |  |  | $ | 11 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 34 |  |  | $ | — |  |  | $ | — |  |  | $ | 34 |  |  | $ | — |  |
| Liabilities: |  |  |  |  |  |  |  |  |  |  |
| Derivative Contracts: |  |  |  |  |  |  |  |  |  |  |
| Energy-Related Contracts (B) |  | $ | (20 | ) |  | $ | 653 |  |  | $ | (59 | ) |  | $ | (612 | ) |  | $ | (2 | ) |
|  |  | Recurring Fair Value Measurements as of December 31, 2019 |
| Description |  | Total |  | Netting (E) |  | Quoted Market Prices for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |
|  |  | Millions |
| PSEG |  |  |  |  |  |  |  |  |  |  |
| Assets: |  |  |  |  |  |  |  |  |  |  |
| Cash Equivalents (A) |  | $ | 50 |  |  | $ | — |  |  | $ | 50 |  |  | $ | — |  |  | $ | — |  |
| Derivative Contracts: |  |  |  |  |  |  |  |  |  |  |
| Energy-Related Contracts (B) |  | $ | 137 |  |  | $ | (662 | ) |  | $ | 19 |  |  | $ | 770 |  |  | $ | 10 |  |
| NDT Fund (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 1,151 |  |  | $ | — |  |  | $ | 1,150 |  |  | $ | 1 |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 225 |  |  | $ | — |  |  | $ | — |  |  | $ | 225 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 352 |  |  | $ | — |  |  | $ | — |  |  | $ | 352 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 486 |  |  | $ | — |  |  | $ | — |  |  | $ | 486 |  |  | $ | — |  |
| Rabbi Trust (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 28 |  |  | $ | — |  |  | $ | 28 |  |  | $ | — |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 57 |  |  | $ | — |  |  | $ | — |  |  | $ | 57 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 47 |  |  | $ | — |  |  | $ | — |  |  | $ | 47 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 114 |  |  | $ | — |  |  | $ | — |  |  | $ | 114 |  |  | $ | — |  |
| Liabilities: |  |  |  |  |  |  |  |  |  |  |
| Derivative Contracts: |  |  |  |  |  |  |  |  |  |  |
| Energy-Related Contracts (B) |  | $ | (32 | ) |  | $ | 660 |  |  | $ | (43 | ) |  | $ | (646 | ) |  | $ | (3 | ) |
| Interest Rate Swaps (D) |  | $ | (5 | ) |  | $ | — |  |  | $ | — |  |  | $ | (5 | ) |  | $ | — |  |
| PSE&G |  |  |  |  |  |  |  |  |  |  |
| Assets: |  |  |  |  |  |  |  |  |  |  |
| Rabbi Trust (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 5 |  |  | $ | — |  |  | $ | 5 |  |  | $ | — |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 11 |  |  | $ | — |  |  | $ | — |  |  | $ | 11 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 9 |  |  | $ | — |  |  | $ | — |  |  | $ | 9 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 23 |  |  | $ | — |  |  | $ | — |  |  | $ | 23 |  |  | $ | — |  |
| PSEG Power |  |  |  |  |  |  |  |  |  |  |
| Assets: |  |  |  |  |  |  |  |  |  |  |
| Derivative Contracts: |  |  |  |  |  |  |  |  |  |  |
| Energy-Related Contracts (B) |  | $ | 137 |  |  | $ | (662 | ) |  | $ | 19 |  |  | $ | 770 |  |  | $ | 10 |  |
| NDT Fund (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 1,151 |  |  | $ | — |  |  | $ | 1,150 |  |  | $ | 1 |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 225 |  |  | $ | — |  |  | $ | — |  |  | $ | 225 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 352 |  |  | $ | — |  |  | $ | — |  |  | $ | 352 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 486 |  |  | $ | — |  |  | $ | — |  |  | $ | 486 |  |  | $ | — |  |
| Rabbi Trust (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 8 |  |  | $ | — |  |  | $ | 8 |  |  | $ | — |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 14 |  |  | $ | — |  |  | $ | — |  |  | $ | 14 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 12 |  |  | $ | — |  |  | $ | — |  |  | $ | 12 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 28 |  |  | $ | — |  |  | $ | — |  |  | $ | 28 |  |  | $ | — |  |
| Liabilities: |  |  |  |  |  |  |  |  |  |  |
| Derivative Contracts: |  |  |  |  |  |  |  |  |  |  |
| Energy-Related Contracts (B) |  | $ | (32 | ) |  | $ | 660 |  |  | $ | (43 | ) |  | $ | (646 | ) |  | $ | (3 | ) |
(A) | Represents money market mutual funds.
(B) | Level 1—These contracts represent natural gas futures contracts executed on NYMEX, and are being valued solely on settled pricing inputs which come directly from the exchange.
Level 2—Fair values for energy-related contracts are obtained primarily using a market-based approach. Most derivative contracts (forward purchase or sale contracts and swaps) are valued using settled prices from similar assets and liabilities from an exchange, such as NYMEX, ICE and Nodal Exchange, or auction prices. Prices used in the valuation process are also corroborated independently by management to determine that values are based on actual transaction data or, in the absence of transactions, bid and offers for the day. Examples may include certain exchange and non-exchange traded capacity and electricity contracts and natural gas physical or swap contracts based on market prices, basis adjustments and other premiums where adjustments and premiums are not considered significant to the overall inputs. Level 3—Unobservable inputs are used for the valuation of certain contracts. See “Additional Information Regarding Level 3 Measurements” below for more information on the utilization of unobservable inputs.
(C) | The fair value measurement table excludes foreign currency in the NDT Fund of $1 million and $2 million as of June 30, 2020 and December 31, 2019, respectively. The NDT Fund maintains investments in various equity and fixed income securities. The Rabbi Trust maintains investments in a Russell 3000 index fund and various fixed income securities. These securities are generally valued with prices that are either exchange provided (equity securities) or market transactions for comparable securities and/or broker quotes (fixed income securities).
Level 1—Investments in marketable equity securities within the NDT Fund are primarily investments in common stocks across a broad range of industries and sectors. Most equity securities are priced utilizing the principal market close price or, in some cases, midpoint, bid or ask price. Certain other equity securities in the NDT and Rabbi Trust Funds consist primarily of investments in money market funds which seek a high level of current income as is consistent with the preservation of capital and the maintenance of liquidity. To pursue its goals, the funds normally invest in diversified portfolios of high quality, short-term, dollar-denominated debt securities and government securities. The funds’ net asset value is priced and published daily. The Rabbi Trust’s Russell 3000 index fund is valued based on quoted prices in an active market and can be redeemed daily without restriction. Level 2—NDT and Rabbi Trust fixed income securities include investment grade corporate bonds, collateralized mortgage obligations, asset-backed securities and certain government and U.S. Treasury obligations or Federal Agency asset-backed securities and municipal bonds with a wide range of maturities. Since many fixed income securities do not trade on a daily basis, they are priced using an evaluated pricing methodology that varies by asset class and reflects observable market information such as the most recent exchange price or quoted bid for similar securities. Market-based standard inputs typically include benchmark yields, reported trades, broker/dealer quotes and issuer spreads. The preferred stocks are not actively traded on a daily basis and therefore, are also priced using an evaluated pricing methodology. Certain short-term investments are valued using observable market prices or market parameters such as time-to-maturity, coupon rate, quality rating and current yield.
(D) | Interest rate swaps are valued using quoted prices on commonly quoted intervals, which are interpolated for periods different than the quoted intervals, as inputs to a market valuation model. Market inputs can generally be verified and model selection does not involve significant management judgment.
(E) | Represents the netting of fair value balances with the same counterparty (where the right of offset exists) and the application of collateral. See Note 13. Financial Risk Management Activities for additional detail.
Additional Information Regarding Level 3 Measurements For valuations that include both observable and unobservable inputs, if the unobservable input is determined to be significant to the overall inputs, the entire valuation is categorized in Level 3. This includes derivatives valued using indicative price quotations for contracts with tenors that extend into periods with no observable pricing. In instances where observable data is unavailable, consideration is given to the assumptions that market participants would use in valuing the asset or liability. This includes assumptions about market risks such as liquidity, volatility and contract duration. Such instruments are categorized in Level 3 because the model inputs generally are not observable. PSEG considers credit and nonperformance risk in the valuation of derivative contracts categorized in Levels 2 and 3, including both historical and current market data, in its assessment of credit and nonperformance risk by counterparty. The impacts of credit and nonperformance risk were not material to the financial statements. The fair value of PSEG Power’s electric load contracts in which load consumption may change hourly based on demand are measured using certain unobservable inputs, such as historic load variability and, accordingly, are categorized as Level 3. The fair value of PSEG Power’s gas physical contracts at certain illiquid delivery locations are measured using average historical basis and, accordingly, are categorized as Level 3. While these physical gas contracts have an unobservable component in their respective forward price curves, the fluctuations in fair value have been driven primarily by changes in the observable inputs. The following tables provide details surrounding significant Level 3 valuations as of June 30, 2020 and December 31, 2019.
|  |  | Quantitative Information About Level 3 Fair Value Measurements |
|  |  |  |  |  |  |  |  | Significant |  |  |  |  |
|  |  | Level 3 |  | Fair Value as of |  | Valuation |  | Unobservable |  |  |  | Arithmetic |
| Commodity |  | Position |  | June 30, 2020 |  | Technique(s) |  | Input |  | Range |  | Average |
|  |  |  |  | Assets |  | (Liabilities) |  |  |  |  |  |  |  |  |
|  |  |  |  | Millions |  |  |  |  |  |  |  |  |
| PSEG Power |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Electricity |  | Electric Load Contracts |  | $ | 12 |  |  | $ | — |  |  | Discounted Cash flow |  | Load Shaping Cost |  | 0% to 11% |  | 4% |
| Gas |  | Gas Physical Contracts |  | — |  |  | (2 | ) |  | Discounted Cash flow |  | Historical Basis Adjustment |  | -50% to 0% |  | -27% |
| Total PSEG Power |  | $ | 12 |  |  | $ | (2 | ) |  |  |  |  |  |  |  |  |
| Total PSEG |  |  |  | $ | 12 |  |  | $ | (2 | ) |  |  |  |  |  |  |  |  |
|  |  | Quantitative Information About Level 3 Fair Value Measurements |
|  |  |  |  |  |  |  |  | Significant |  |  |
|  |  |  |  | Fair Value as of |  | Valuation |  | Unobservable |  |  |
| Commodity |  | Level 3 Position |  | December 31, 2019 |  | Technique(s) |  | Input |  | Range |
|  |  |  |  | Assets |  | (Liabilities) |  |  |  |  |  |  |
|  |  |  |  | Millions |  |  |  |  |  |  |
| PSEG Power |  |  |  |  |  |  |  |  |  |  |  |  |
| Electricity |  | Electric Load Contracts |  | $ | 10 |  |  | $ | — |  |  | Discounted Cash flow |  | Historic Load Variability |  | 0% to 10% |
| Gas |  | Gas Physical Contracts |  | — |  |  | (3 | ) |  | Discounted Cash flow |  | Average Historical Basis |  | -50% to 0% |
| Total PSEG Power |  |  |  | $ | 10 |  |  | $ | (3 | ) |  |  |  |  |  |  |
| Total PSEG |  |  |  | $ | 10 |  |  | $ | (3 | ) |  |  |  |  |  |  |
As of June 30, 2020, significant unobservable inputs listed above would have a direct impact on the fair values of the above Level 3 instruments if they were adjusted. For energy-related contracts in cases where PSEG Power is a seller, an increase in the load variability would decrease the fair value. For gas-related contracts in cases where PSEG Power is a buyer, an increase in the average historical basis would increase the fair value. A reconciliation of the beginning and ending balances of Level 3 derivative contracts and securities for the three months and six months ended June 30, 2020 and June 30, 2019, respectively, follows: Changes in Level 3 Assets and (Liabilities) Measured at Fair Value on a Recurring Basis for the Three Months and Six Months Ended June 30, 2020
|  |  | Three Months Ended June 30, 2020 |
| Description |  | Balance as of March 31, 2020 |  | Total Gains or (Losses) Realized/Unrealized Included in Income (A) |  | Purchases (Sales) |  | Issuances/ Settlements (B) |  | Transfers In/Out (C) |  | Balance as of June 30, 2020 |
|  |  | Millions |
| PSEG and PSEG Power |  |  |  |  |  |  |  |  |  |  |
| Net Derivative Assets (Liabilities) |  | $ | 19 |  |  | $ | (4 | ) |  | $ | — |  |  | $ | (5 | ) |  | $ | — |  |  | $ | 10 |  |
|  |  | Six Months Ended June 30, 2020 |
| Description |  | Balance as of December 31, 2019 |  | Total Gains or (Losses) Realized/Unrealized Included in Income (A) |  | Purchases (Sales) |  | Issuances/ Settlements (B) |  | Transfers In/Out (C) |  | Balance as of June 30, 2020 |
|  |  | Millions |
| PSEG and PSEG Power |  |  |  |  |  |  |  |  |  |  |
| Net Derivative Assets (Liabilities) |  | $ | 7 |  |  | $ | 9 |  |  | $ | — |  |  | $ | (6 | ) |  | $ | — |  |  | $ | 10 |  |
Changes in Level 3 Assets and (Liabilities) Measured at Fair Value on a Recurring Basis for the Three Months and Six Months Ended June 30, 2019
|  |  | Three Months Ended June 30, 2019 |
| Description |  | Balance as of March 31, 2019 |  | Total Gains or (Losses) Realized/Unrealized Included in Income (A) |  | Purchases (Sales) |  | Issuances/ Settlements (B) |  | Transfers In/Out (C) |  | Balance as of June 30, 2019 |
|  |  | Millions |
| PSEG and PSEG Power |  |  |  |  |  |  |  |  |  |  |
| Net Derivative Assets (Liabilities) |  | $ | (2 | ) |  | $ | 8 |  |  | $ | — |  |  | $ | (2 | ) |  | $ | — |  |  | $ | 4 |  |
|  |  | Six Months Ended June 30, 2019 |
| Description |  | Balance as of December 31, 2018 |  | Total Gains or (Losses) Realized/Unrealized Included in Income (A) |  | Purchases (Sales) |  | Issuances/ Settlements (B) |  | Transfers In/Out (C) |  | Balance as of June 30, 2019 |
|  |  | Millions |
| PSEG and PSEG Power |  |  |  |  |  |  |  |  |  |  |
| Net Derivative Assets (Liabilities) |  | $ | 1 |  |  | $ | 9 |  |  | $ | — |  |  | $ | (6 | ) |  | $ | — |  |  | $ | 4 |  |
(A) | Unrealized gains (losses) in the following table represent the change in derivative assets and liabilities still held as of June 30, 2020 and 2019.
.
|  |  | Three Months Ended June 30, |  | Six Months Ended June 30, |
|  |  | 2020 |  | 2019 |  | 2020 |  | 2019 |
|  |  | Total Gains (Losses) |  | Unrealized Gains (Losses) |  | Total Gains (Losses) |  | Unrealized Gains (Losses) |  | Total Gains (Losses) |  | Unrealized Gains (Losses) |  | Total Gains (Losses) |  | Unrealized Gains (Losses) |
|  |  | Millions |
| PSEG and PSEG Power |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Operating Revenues |  | $ | (4 | ) |  | $ | (9 | ) |  | $ | 11 |  |  | $ | 9 |  |  | $ | 14 |  |  | $ | 2 |  |  | $ | 17 |  |  | $ | 9 |  |
| Energy Costs |  | — |  |  | — |  |  | (3 | ) |  | (3 | ) |  | (5 | ) |  | 1 |  |  | (8 | ) |  | (6 | ) |
| Total |  | $ | (4 | ) |  | $ | (9 | ) |  | $ | 8 |  |  | $ | 6 |  |  | $ | 9 |  |  | $ | 3 |  |  | $ | 9 |  |  | $ | 3 |  |
(B) | Includes settlements of $(5) million and $(6) million for the three months and six months ended June 30, 2020, respectively, and $(2) million and $(6) million for the three months and six months ended June 30, 2019, respectively.
(C) | There were no transfers into or out of Level 3 during the three months and six months ended June 30, 2020 and 2019.
As of June 30, 2020, PSEG carried $2.9 billion of net assets that are measured at fair value on a recurring basis, of which $10 million of net assets was measured using unobservable inputs and classified as Level 3 within the fair value hierarchy. As of June 30, 2019, PSEG carried $2.5 billion of net assets that are measured at fair value on a recurring basis, of which $4 million of net assets was measured using unobservable inputs and classified as Level 3 within the fair value hierarchy. Fair Value of Debt The estimated fair values were determined using the market quotations or values of instruments with similar terms, credit ratings, remaining maturities and redemptions as of June 30, 2020 and December 31, 2019.
|  | As of |  | As of |
|  | June 30, 2020 |  | December 31, 2019 |
|  | Carrying Amount |  | Fair Value |  | Carrying Amount |  | Fair Value |
|  | Millions |
| Long-Term Debt: |  |  |  |  |  |  |  |
| PSEG (A) (B) | $ | 2,442 |  |  | $ | 2,537 |  |  | $ | 2,441 |  |  | $ | 2,479 |  |
| PSE&G (B) | 10,795 |  |  | 13,152 |  |  | 9,827 |  |  | 11,107 |  |
| PSEG Power (B) | 2,436 |  |  | 2,840 |  |  | 2,840 |  |  | 3,137 |  |
| Total Long-Term Debt | $ | 15,673 |  |  | $ | 18,529 |  |  | $ | 15,108 |  |  | $ | 16,723 |  |
(A) | Includes floating-rate term loan of $700 million at PSEG as of June 30, 2020 and December 31, 2019. The fair value of the term loan debt (Level 2 measurement) approximates the carrying value because the interest payments are based on LIBOR rates that are reset monthly and the debt is redeemable at face value by PSEG at any time.
(B) Given that these bonds do not trade actively, the fair value amounts of taxable debt securities (primarily Level 2 measurements) are generally determined by a valuation model that is based on a conventional discounted cash flow methodology. The fair value amounts above do not represent the price at which the outstanding debt may be called for redemption by each issuer under their respective debt agreements.
PSEG Power [Member] |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |
Fair Value Measurements | Fair Value Measurements Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Accounting guidance for fair value measurement emphasizes that fair value is a market-based measurement, not an entity-specific measurement, and establishes a fair value hierarchy that distinguishes between assumptions based on market data obtained from independent sources and those based on an entity’s own assumptions. The hierarchy prioritizes the inputs to fair value measurement into three levels: Level 1—measurements utilize quoted prices (unadjusted) in active markets for identical assets or liabilities that PSEG, PSE&G and PSEG Power have the ability to access. These consist primarily of listed equity securities and money market mutual funds, as well as natural gas futures contracts executed on NYMEX. Level 2—measurements include quoted prices for similar assets and liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, and other observable inputs such as interest rates and yield curves that are observable at commonly quoted intervals. These consist primarily of non-exchange traded derivatives such as forward contracts or options and most fixed income securities. Level 3—measurements use unobservable inputs for assets or liabilities, based on the best information available and might include an entity’s own data and assumptions. In some valuations, the inputs used may fall into different levels of the hierarchy. In these cases, the financial instrument’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. These consist primarily of certain electric load contracts and gas contracts. Certain derivative transactions may transfer from Level 2 to Level 3 if inputs become unobservable and internal modeling techniques are employed to determine fair value. Conversely, measurements may transfer from Level 3 to Level 2 if the inputs become observable. The following tables present information about PSEG’s, PSE&G’s and PSEG Power’s respective assets and (liabilities) measured at fair value on a recurring basis as of June 30, 2020 and December 31, 2019, including the fair value measurements and the levels of inputs used in determining those fair values. Amounts shown for PSEG include the amounts shown for PSE&G and PSEG Power.
|  |  | Recurring Fair Value Measurements as of June 30, 2020 |
| Description |  | Total |  | Netting (E) |  | Quoted Market Prices for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |
|  |  | Millions |
| PSEG |  |  |  |  |  |  |  |  |  |  |
| Assets: |  |  |  |  |  |  |  |  |  |  |
| Cash Equivalents (A) |  | $ | 280 |  |  | $ | — |  |  | $ | 280 |  |  | $ | — |  |  | $ | — |  |
| Derivative Contracts: |  |  |  |  |  |  |  |  |  |  |
| Energy-Related Contracts (B) |  | $ | 142 |  |  | $ | (655 | ) |  | $ | 27 |  |  | $ | 758 |  |  | $ | 12 |  |
| NDT Fund (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 1,117 |  |  | $ | — |  |  | $ | 1,117 |  |  | $ | — |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 178 |  |  | $ | — |  |  | $ | — |  |  | $ | 178 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 368 |  |  | $ | — |  |  | $ | — |  |  | $ | 368 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 587 |  |  | $ | — |  |  | $ | — |  |  | $ | 587 |  |  | $ | — |  |
| Rabbi Trust (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 26 |  |  | $ | — |  |  | $ | 26 |  |  | $ | — |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 53 |  |  | $ | — |  |  | $ | — |  |  | $ | 53 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 44 |  |  | $ | — |  |  | $ | — |  |  | $ | 44 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 136 |  |  | $ | — |  |  | $ | — |  |  | $ | 136 |  |  | $ | — |  |
| Liabilities: |  |  |  |  |  |  |  |  |  |  |
| Derivative Contracts: |  |  |  |  |  |  |  |  |  |  |
| Energy-Related Contracts (B) |  | $ | (20 | ) |  | $ | 653 |  |  | $ | (59 | ) |  | $ | (612 | ) |  | $ | (2 | ) |
| Interest Rate Swaps (D) |  | $ | (6 | ) |  | $ | — |  |  | $ | — |  |  | $ | (6 | ) |  | $ | — |  |
| PSE&G |  |  |  |  |  |  |  |  |  |  |
| Assets: |  |  |  |  |  |  |  |  |  |  |
| Cash Equivalents (A) |  | $ | 180 |  |  | $ | — |  |  | $ | 180 |  |  | $ | — |  |  | $ | — |  |
| Rabbi Trust (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 5 |  |  | $ | — |  |  | $ | 5 |  |  | $ | — |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 10 |  |  | $ | — |  |  | $ | — |  |  | $ | 10 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 8 |  |  | $ | — |  |  | $ | — |  |  | $ | 8 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 27 |  |  | $ | — |  |  | $ | — |  |  | $ | 27 |  |  | $ | — |  |
| PSEG Power |  |  |  |  |  |  |  |  |  |  |
| Assets: |  |  |  |  |  |  |  |  |  |  |
| Derivative Contracts: |  |  |  |  |  |  |  |  |  |  |
| Energy-Related Contracts (B) |  | $ | 142 |  |  | $ | (655 | ) |  | $ | 27 |  |  | $ | 758 |  |  | $ | 12 |  |
| NDT Fund (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 1,117 |  |  | $ | — |  |  | $ | 1,117 |  |  | $ | — |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 178 |  |  | $ | — |  |  | $ | — |  |  | $ | 178 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 368 |  |  | $ | — |  |  | $ | — |  |  | $ | 368 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 587 |  |  | $ | — |  |  | $ | — |  |  | $ | 587 |  |  | $ | — |  |
| Rabbi Trust (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 7 |  |  | $ | — |  |  | $ | 7 |  |  | $ | — |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 13 |  |  | $ | — |  |  | $ | — |  |  | $ | 13 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 11 |  |  | $ | — |  |  | $ | — |  |  | $ | 11 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 34 |  |  | $ | — |  |  | $ | — |  |  | $ | 34 |  |  | $ | — |  |
| Liabilities: |  |  |  |  |  |  |  |  |  |  |
| Derivative Contracts: |  |  |  |  |  |  |  |  |  |  |
| Energy-Related Contracts (B) |  | $ | (20 | ) |  | $ | 653 |  |  | $ | (59 | ) |  | $ | (612 | ) |  | $ | (2 | ) |
|  |  | Recurring Fair Value Measurements as of December 31, 2019 |
| Description |  | Total |  | Netting (E) |  | Quoted Market Prices for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |
|  |  | Millions |
| PSEG |  |  |  |  |  |  |  |  |  |  |
| Assets: |  |  |  |  |  |  |  |  |  |  |
| Cash Equivalents (A) |  | $ | 50 |  |  | $ | — |  |  | $ | 50 |  |  | $ | — |  |  | $ | — |  |
| Derivative Contracts: |  |  |  |  |  |  |  |  |  |  |
| Energy-Related Contracts (B) |  | $ | 137 |  |  | $ | (662 | ) |  | $ | 19 |  |  | $ | 770 |  |  | $ | 10 |  |
| NDT Fund (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 1,151 |  |  | $ | — |  |  | $ | 1,150 |  |  | $ | 1 |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 225 |  |  | $ | — |  |  | $ | — |  |  | $ | 225 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 352 |  |  | $ | — |  |  | $ | — |  |  | $ | 352 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 486 |  |  | $ | — |  |  | $ | — |  |  | $ | 486 |  |  | $ | — |  |
| Rabbi Trust (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 28 |  |  | $ | — |  |  | $ | 28 |  |  | $ | — |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 57 |  |  | $ | — |  |  | $ | — |  |  | $ | 57 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 47 |  |  | $ | — |  |  | $ | — |  |  | $ | 47 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 114 |  |  | $ | — |  |  | $ | — |  |  | $ | 114 |  |  | $ | — |  |
| Liabilities: |  |  |  |  |  |  |  |  |  |  |
| Derivative Contracts: |  |  |  |  |  |  |  |  |  |  |
| Energy-Related Contracts (B) |  | $ | (32 | ) |  | $ | 660 |  |  | $ | (43 | ) |  | $ | (646 | ) |  | $ | (3 | ) |
| Interest Rate Swaps (D) |  | $ | (5 | ) |  | $ | — |  |  | $ | — |  |  | $ | (5 | ) |  | $ | — |  |
| PSE&G |  |  |  |  |  |  |  |  |  |  |
| Assets: |  |  |  |  |  |  |  |  |  |  |
| Rabbi Trust (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 5 |  |  | $ | — |  |  | $ | 5 |  |  | $ | — |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 11 |  |  | $ | — |  |  | $ | — |  |  | $ | 11 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 9 |  |  | $ | — |  |  | $ | — |  |  | $ | 9 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 23 |  |  | $ | — |  |  | $ | — |  |  | $ | 23 |  |  | $ | — |  |
| PSEG Power |  |  |  |  |  |  |  |  |  |  |
| Assets: |  |  |  |  |  |  |  |  |  |  |
| Derivative Contracts: |  |  |  |  |  |  |  |  |  |  |
| Energy-Related Contracts (B) |  | $ | 137 |  |  | $ | (662 | ) |  | $ | 19 |  |  | $ | 770 |  |  | $ | 10 |  |
| NDT Fund (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 1,151 |  |  | $ | — |  |  | $ | 1,150 |  |  | $ | 1 |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 225 |  |  | $ | — |  |  | $ | — |  |  | $ | 225 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 352 |  |  | $ | — |  |  | $ | — |  |  | $ | 352 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 486 |  |  | $ | — |  |  | $ | — |  |  | $ | 486 |  |  | $ | — |  |
| Rabbi Trust (C) |  |  |  |  |  |  |  |  |  |  |
| Equity Securities |  | $ | 8 |  |  | $ | — |  |  | $ | 8 |  |  | $ | — |  |  | $ | — |  |
| Debt Securities—U.S. Treasury |  | $ | 14 |  |  | $ | — |  |  | $ | — |  |  | $ | 14 |  |  | $ | — |  |
| Debt Securities—Govt Other |  | $ | 12 |  |  | $ | — |  |  | $ | — |  |  | $ | 12 |  |  | $ | — |  |
| Debt Securities—Corporate |  | $ | 28 |  |  | $ | — |  |  | $ | — |  |  | $ | 28 |  |  | $ | — |  |
| Liabilities: |  |  |  |  |  |  |  |  |  |  |
| Derivative Contracts: |  |  |  |  |  |  |  |  |  |  |
| Energy-Related Contracts (B) |  | $ | (32 | ) |  | $ | 660 |  |  | $ | (43 | ) |  | $ | (646 | ) |  | $ | (3 | ) |
(A) | Represents money market mutual funds.
(B) | Level 1—These contracts represent natural gas futures contracts executed on NYMEX, and are being valued solely on settled pricing inputs which come directly from the exchange.
Level 2—Fair values for energy-related contracts are obtained primarily using a market-based approach. Most derivative contracts (forward purchase or sale contracts and swaps) are valued using settled prices from similar assets and liabilities from an exchange, such as NYMEX, ICE and Nodal Exchange, or auction prices. Prices used in the valuation process are also corroborated independently by management to determine that values are based on actual transaction data or, in the absence of transactions, bid and offers for the day. Examples may include certain exchange and non-exchange traded capacity and electricity contracts and natural gas physical or swap contracts based on market prices, basis adjustments and other premiums where adjustments and premiums are not considered significant to the overall inputs. Level 3—Unobservable inputs are used for the valuation of certain contracts. See “Additional Information Regarding Level 3 Measurements” below for more information on the utilization of unobservable inputs.
(C) | The fair value measurement table excludes foreign currency in the NDT Fund of $1 million and $2 million as of June 30, 2020 and December 31, 2019, respectively. The NDT Fund maintains investments in various equity and fixed income securities. The Rabbi Trust maintains investments in a Russell 3000 index fund and various fixed income securities. These securities are generally valued with prices that are either exchange provided (equity securities) or market transactions for comparable securities and/or broker quotes (fixed income securities).
Level 1—Investments in marketable equity securities within the NDT Fund are primarily investments in common stocks across a broad range of industries and sectors. Most equity securities are priced utilizing the principal market close price or, in some cases, midpoint, bid or ask price. Certain other equity securities in the NDT and Rabbi Trust Funds consist primarily of investments in money market funds which seek a high level of current income as is consistent with the preservation of capital and the maintenance of liquidity. To pursue its goals, the funds normally invest in diversified portfolios of high quality, short-term, dollar-denominated debt securities and government securities. The funds’ net asset value is priced and published daily. The Rabbi Trust’s Russell 3000 index fund is valued based on quoted prices in an active market and can be redeemed daily without restriction. Level 2—NDT and Rabbi Trust fixed income securities include investment grade corporate bonds, collateralized mortgage obligations, asset-backed securities and certain government and U.S. Treasury obligations or Federal Agency asset-backed securities and municipal bonds with a wide range of maturities. Since many fixed income securities do not trade on a daily basis, they are priced using an evaluated pricing methodology that varies by asset class and reflects observable market information such as the most recent exchange price or quoted bid for similar securities. Market-based standard inputs typically include benchmark yields, reported trades, broker/dealer quotes and issuer spreads. The preferred stocks are not actively traded on a daily basis and therefore, are also priced using an evaluated pricing methodology. Certain short-term investments are valued using observable market prices or market parameters such as time-to-maturity, coupon rate, quality rating and current yield.
(D) | Interest rate swaps are valued using quoted prices on commonly quoted intervals, which are interpolated for periods different than the quoted intervals, as inputs to a market valuation model. Market inputs can generally be verified and model selection does not involve significant management judgment.
(E) | Represents the netting of fair value balances with the same counterparty (where the right of offset exists) and the application of collateral. See Note 13. Financial Risk Management Activities for additional detail.
Additional Information Regarding Level 3 Measurements For valuations that include both observable and unobservable inputs, if the unobservable input is determined to be significant to the overall inputs, the entire valuation is categorized in Level 3. This includes derivatives valued using indicative price quotations for contracts with tenors that extend into periods with no observable pricing. In instances where observable data is unavailable, consideration is given to the assumptions that market participants would use in valuing the asset or liability. This includes assumptions about market risks such as liquidity, volatility and contract duration. Such instruments are categorized in Level 3 because the model inputs generally are not observable. PSEG considers credit and nonperformance risk in the valuation of derivative contracts categorized in Levels 2 and 3, including both historical and current market data, in its assessment of credit and nonperformance risk by counterparty. The impacts of credit and nonperformance risk were not material to the financial statements. The fair value of PSEG Power’s electric load contracts in which load consumption may change hourly based on demand are measured using certain unobservable inputs, such as historic load variability and, accordingly, are categorized as Level 3. The fair value of PSEG Power’s gas physical contracts at certain illiquid delivery locations are measured using average historical basis and, accordingly, are categorized as Level 3. While these physical gas contracts have an unobservable component in their respective forward price curves, the fluctuations in fair value have been driven primarily by changes in the observable inputs. The following tables provide details surrounding significant Level 3 valuations as of June 30, 2020 and December 31, 2019.
|  |  | Quantitative Information About Level 3 Fair Value Measurements |
|  |  |  |  |  |  |  |  | Significant |  |  |  |  |
|  |  | Level 3 |  | Fair Value as of |  | Valuation |  | Unobservable |  |  |  | Arithmetic |
| Commodity |  | Position |  | June 30, 2020 |  | Technique(s) |  | Input |  | Range |  | Average |
|  |  |  |  | Assets |  | (Liabilities) |  |  |  |  |  |  |  |  |
|  |  |  |  | Millions |  |  |  |  |  |  |  |  |
| PSEG Power |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Electricity |  | Electric Load Contracts |  | $ | 12 |  |  | $ | — |  |  | Discounted Cash flow |  | Load Shaping Cost |  | 0% to 11% |  | 4% |
| Gas |  | Gas Physical Contracts |  | — |  |  | (2 | ) |  | Discounted Cash flow |  | Historical Basis Adjustment |  | -50% to 0% |  | -27% |
| Total PSEG Power |  | $ | 12 |  |  | $ | (2 | ) |  |  |  |  |  |  |  |  |
| Total PSEG |  |  |  | $ | 12 |  |  | $ | (2 | ) |  |  |  |  |  |  |  |  |
|  |  | Quantitative Information About Level 3 Fair Value Measurements |
|  |  |  |  |  |  |  |  | Significant |  |  |
|  |  |  |  | Fair Value as of |  | Valuation |  | Unobservable |  |  |
| Commodity |  | Level 3 Position |  | December 31, 2019 |  | Technique(s) |  | Input |  | Range |
|  |  |  |  | Assets |  | (Liabilities) |  |  |  |  |  |  |
|  |  |  |  | Millions |  |  |  |  |  |  |
| PSEG Power |  |  |  |  |  |  |  |  |  |  |  |  |
| Electricity |  | Electric Load Contracts |  | $ | 10 |  |  | $ | — |  |  | Discounted Cash flow |  | Historic Load Variability |  | 0% to 10% |
| Gas |  | Gas Physical Contracts |  | — |  |  | (3 | ) |  | Discounted Cash flow |  | Average Historical Basis |  | -50% to 0% |
| Total PSEG Power |  |  |  | $ | 10 |  |  | $ | (3 | ) |  |  |  |  |  |  |
| Total PSEG |  |  |  | $ | 10 |  |  | $ | (3 | ) |  |  |  |  |  |  |
As of June 30, 2020, significant unobservable inputs listed above would have a direct impact on the fair values of the above Level 3 instruments if they were adjusted. For energy-related contracts in cases where PSEG Power is a seller, an increase in the load variability would decrease the fair value. For gas-related contracts in cases where PSEG Power is a buyer, an increase in the average historical basis would increase the fair value. A reconciliation of the beginning and ending balances of Level 3 derivative contracts and securities for the three months and six months ended June 30, 2020 and June 30, 2019, respectively, follows: Changes in Level 3 Assets and (Liabilities) Measured at Fair Value on a Recurring Basis for the Three Months and Six Months Ended June 30, 2020
|  |  | Three Months Ended June 30, 2020 |
| Description |  | Balance as of March 31, 2020 |  | Total Gains or (Losses) Realized/Unrealized Included in Income (A) |  | Purchases (Sales) |  | Issuances/ Settlements (B) |  | Transfers In/Out (C) |  | Balance as of June 30, 2020 |
|  |  | Millions |
| PSEG and PSEG Power |  |  |  |  |  |  |  |  |  |  |
| Net Derivative Assets (Liabilities) |  | $ | 19 |  |  | $ | (4 | ) |  | $ | — |  |  | $ | (5 | ) |  | $ | — |  |  | $ | 10 |  |
|  |  | Six Months Ended June 30, 2020 |
| Description |  | Balance as of December 31, 2019 |  | Total Gains or (Losses) Realized/Unrealized Included in Income (A) |  | Purchases (Sales) |  | Issuances/ Settlements (B) |  | Transfers In/Out (C) |  | Balance as of June 30, 2020 |
|  |  | Millions |
| PSEG and PSEG Power |  |  |  |  |  |  |  |  |  |  |
| Net Derivative Assets (Liabilities) |  | $ | 7 |  |  | $ | 9 |  |  | $ | — |  |  | $ | (6 | ) |  | $ | — |  |  | $ | 10 |  |
Changes in Level 3 Assets and (Liabilities) Measured at Fair Value on a Recurring Basis for the Three Months and Six Months Ended June 30, 2019
|  |  | Three Months Ended June 30, 2019 |
| Description |  | Balance as of March 31, 2019 |  | Total Gains or (Losses) Realized/Unrealized Included in Income (A) |  | Purchases (Sales) |  | Issuances/ Settlements (B) |  | Transfers In/Out (C) |  | Balance as of June 30, 2019 |
|  |  | Millions |
| PSEG and PSEG Power |  |  |  |  |  |  |  |  |  |  |
| Net Derivative Assets (Liabilities) |  | $ | (2 | ) |  | $ | 8 |  |  | $ | — |  |  | $ | (2 | ) |  | $ | — |  |  | $ | 4 |  |
|  |  | Six Months Ended June 30, 2019 |
| Description |  | Balance as of December 31, 2018 |  | Total Gains or (Losses) Realized/Unrealized Included in Income (A) |  | Purchases (Sales) |  | Issuances/ Settlements (B) |  | Transfers In/Out (C) |  | Balance as of June 30, 2019 |
|  |  | Millions |
| PSEG and PSEG Power |  |  |  |  |  |  |  |  |  |  |
| Net Derivative Assets (Liabilities) |  | $ | 1 |  |  | $ | 9 |  |  | $ | — |  |  | $ | (6 | ) |  | $ | — |  |  | $ | 4 |  |
(A) | Unrealized gains (losses) in the following table represent the change in derivative assets and liabilities still held as of June 30, 2020 and 2019.
.
|  |  | Three Months Ended June 30, |  | Six Months Ended June 30, |
|  |  | 2020 |  | 2019 |  | 2020 |  | 2019 |
|  |  | Total Gains (Losses) |  | Unrealized Gains (Losses) |  | Total Gains (Losses) |  | Unrealized Gains (Losses) |  | Total Gains (Losses) |  | Unrealized Gains (Losses) |  | Total Gains (Losses) |  | Unrealized Gains (Losses) |
|  |  | Millions |
| PSEG and PSEG Power |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Operating Revenues |  | $ | (4 | ) |  | $ | (9 | ) |  | $ | 11 |  |  | $ | 9 |  |  | $ | 14 |  |  | $ | 2 |  |  | $ | 17 |  |  | $ | 9 |  |
| Energy Costs |  | — |  |  | — |  |  | (3 | ) |  | (3 | ) |  | (5 | ) |  | 1 |  |  | (8 | ) |  | (6 | ) |
| Total |  | $ | (4 | ) |  | $ | (9 | ) |  | $ | 8 |  |  | $ | 6 |  |  | $ | 9 |  |  | $ | 3 |  |  | $ | 9 |  |  | $ | 3 |  |
(B) | Includes settlements of $(5) million and $(6) million for the three months and six months ended June 30, 2020, respectively, and $(2) million and $(6) million for the three months and six months ended June 30, 2019, respectively.
(C) | There were no transfers into or out of Level 3 during the three months and six months ended June 30, 2020 and 2019.
As of June 30, 2020, PSEG carried $2.9 billion of net assets that are measured at fair value on a recurring basis, of which $10 million of net assets was measured using unobservable inputs and classified as Level 3 within the fair value hierarchy. As of June 30, 2019, PSEG carried $2.5 billion of net assets that are measured at fair value on a recurring basis, of which $4 million of net assets was measured using unobservable inputs and classified as Level 3 within the fair value hierarchy. Fair Value of Debt The estimated fair values were determined using the market quotations or values of instruments with similar terms, credit ratings, remaining maturities and redemptions as of June 30, 2020 and December 31, 2019.
|  | As of |  | As of |
|  | June 30, 2020 |  | December 31, 2019 |
|  | Carrying Amount |  | Fair Value |  | Carrying Amount |  | Fair Value |
|  | Millions |
| Long-Term Debt: |  |  |  |  |  |  |  |
| PSEG (A) (B) | $ | 2,442 |  |  | $ | 2,537 |  |  | $ | 2,441 |  |  | $ | 2,479 |  |
| PSE&G (B) | 10,795 |  |  | 13,152 |  |  | 9,827 |  |  | 11,107 |  |
| PSEG Power (B) | 2,436 |  |  | 2,840 |  |  | 2,840 |  |  | 3,137 |  |
| Total Long-Term Debt | $ | 15,673 |  |  | $ | 18,529 |  |  | $ | 15,108 |  |  | $ | 16,723 |  |
(A) | Includes floating-rate term loan of $700 million at PSEG as of June 30, 2020 and December 31, 2019. The fair value of the term loan debt (Level 2 measurement) approximates the carrying value because the interest payments are based on LIBOR rates that are reset monthly and the debt is redeemable at face value by PSEG at any time.
(B) Given that these bonds do not trade actively, the fair value amounts of taxable debt securities (primarily Level 2 measurements) are generally determined by a valuation model that is based on a conventional discounted cash flow methodology. The fair value amounts above do not represent the price at which the outstanding debt may be called for redemption by each issuer under their respective debt agreements.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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