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Fair Value of Financial Instruments (Notes) | 9 Months Ended
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Sep. 30, 2018
Fair Value of Financial Instruments [Abstract] |
FAIR VALUE OF FINANCIAL INSTRUMENTS | FAIR VALUE OF FINANCIAL INSTRUMENTS PGE determines the fair value of financial instruments, both assets and liabilities recognized and not recognized in the Company’s condensed consolidated balance sheets, for which it is practicable to estimate fair value as of September 30, 2018 and December 31, 2017. PGE then classifies these financial assets and liabilities based on a fair value hierarchy that is applied to prioritize the inputs to the valuation techniques used to measure fair value. The three levels of the fair value hierarchy and application to the Company are:
Level 1 | Quoted prices are available in active markets for identical assets or liabilities as of the measurement date;
Level 2 | Pricing inputs include those that are directly or indirectly observable in the marketplace as of the measurement date; and
Level 3 | Pricing inputs include significant inputs that are unobservable for the asset or liability.
Financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. The Company’s 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. Assets measured at fair value using net asset value (NAV) as a practical expedient are not categorized in the fair value hierarchy. These assets are listed in the totals of the fair value hierarchy to permit the reconciliation to amounts presented in the financial statements. PGE recognizes transfers between levels in the fair value hierarchy as of the end of the reporting period for all its financial instruments. Changes to market liquidity conditions, the availability of observable inputs, or changes in the economic structure of a security marketplace may require transfer of the securities between levels. There were no significant transfers between levels during the three and nine months ended September 30, 2018 and 2017, except those presented in this note. The Company’s financial assets and liabilities whose values were recognized at fair value are as follows by level within the fair value hierarchy (in millions):
| As of September 30, 2018
| Level 1 |  | Level 2 |  | Level 3 |  | Other(2) |  | Total
Assets: |  |  |  |  |  |  |  |  |
Cash equivalents | $ | 170 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 170 |
Nuclear decommissioning trust: (1) |  |  |  |  |  |  |  |  |
Debt securities: |  |  |  |  |  |  |  |  |
Domestic government | 8 |  |  | 16 |  |  | — |  |  | — |  |  | 24 |
Corporate credit | — |  |  | 12 |  |  | — |  |  | — |  |  | 12 |
Money market funds measured at NAV (2) | — |  |  | — |  |  | — |  |  | 6 |  |  | 6 |
Non-qualified benefit plan trust: (3) |  |  |  |  |  |  |  |  |
Money market funds | 3 |  |  | — |  |  | — |  |  | — |  |  | 3 |
Equity securities—domestic | 6 |  |  | — |  |  | — |  |  | — |  |  | 6 |
Debt securities—domestic government | 1 |  |  | — |  |  | — |  |  | — |  |  | 1 |
Assets from interest rate swap derivatives | — |  |  | 6 |  |  | — |  |  | — |  |  | 6 |
Assets from price risk management activities: (1) (4) |  |  |  |  |  |  |  |  |
Electricity | — |  |  | 4 |  |  | 1 |  |  | — |  |  | 5 |
Natural gas | — |  |  | 1 |  |  | — |  |  | — |  |  | 1 |
| $ | 188 |  |  | $ | 39 |  |  | $ | 1 |  |  | $ | 6 |  |  | $ | 234 |
Liabilities from price risk management activities: (1) (4) |  |  |  |  |  |  |  |  |
Electricity | $ | — |  |  | $ | 4 |  |  | $ | 112 |  |  | $ | — |  |  | $ | 116 |
Natural gas | — |  |  | 36 |  |  | 14 |  |  | — |  |  | 50 |
| $ | — |  |  | $ | 40 |  |  | $ | 126 |  |  | $ | — |  |  | $ | 166 |
(1) | Activities are subject to regulation, with certain gains and losses deferred pursuant to regulatory accounting and included in Regulatory assets or Regulatory liabilities as appropriate.
(2) | Assets are measured at NAV as a practical expedient and not subject to hierarchy level classification disclosure.
(3) | Excludes insurance policies of $29 million, which are recorded at cash surrender value.
(4) | For further information, see Note 5, Risk Management.
| As of December 31, 2017
| Level 1 |  | Level 2 |  | Level 3 |  | Other (2) |  | Total
Assets: |  |  |  |  |  |  |  |  |
Cash equivalents | $ | 30 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 30 |
Nuclear decommissioning trust: (1) |  |  |  |  |  |  |  |  |
Debt securities: |  |  |  |  |  |  |  |  |
Domestic government | 4 |  |  | 7 |  |  | — |  |  | — |  |  | 11 |
Corporate credit | — |  |  | 6 |  |  | — |  |  | — |  |  | 6 |
Money market funds measured at NAV (2) | — |  |  | — |  |  | — |  |  | 25 |  |  | 25 |
Non-qualified benefit plan trust: (3) |  |  |  |  |  |  |  |  |
Money market funds | 1 |  |  | — |  |  | — |  |  | — |  |  | 1 |
Equity securities—domestic | 7 |  |  | — |  |  | — |  |  | — |  |  | 7 |
Debt securities—domestic government | 1 |  |  | — |  |  | — |  |  | — |  |  | 1 |
Assets from price risk management activities: (1) (4) |  |  |  |  |  |  |  |  |
Electricity | — |  |  | 3 |  |  | — |  |  | — |  |  | 3 |
Natural gas | — |  |  | 3 |  |  | — |  |  | — |  |  | 3 |
| $ | 43 |  |  | $ | 19 |  |  | $ | — |  |  | $ | 25 |  |  | $ | 87 |
Liabilities from price risk management activities: (1) (4) |  |  |  |  |  |  |  |  |
Electricity | $ | — |  |  | $ | 5 |  |  | $ | 130 |  |  | $ | — |  |  | $ | 135 |
Natural gas | — |  |  | 66 |  |  | 9 |  |  | — |  |  | 75 |
| $ | — |  |  | $ | 71 |  |  | $ | 139 |  |  | $ | — |  |  | $ | 210 |
(1) | Activities are subject to regulation, with certain gains and losses deferred pursuant to regulatory accounting and included in Regulatory assets or Regulatory liabilities as appropriate.
(2) | Assets are measured at NAV as a practical expedient and not subject to hierarchy level classification disclosure.
(3) | Excludes insurance policies of $28 million, which are recorded at cash surrender value.
(4) | For further information, see Note 5, Risk Management.
Cash equivalents are highly liquid investments with maturities of three months or less at the date of acquisition and primarily consist of money market funds. Such funds seek to maintain a stable net asset value and are comprised of short-term, government funds. Policies of such funds require that the weighted average maturity of the fund’s securities holdings do not exceed 90 days and investors have the ability to redeem the fund’s shares daily at its respective net asset value. These cash equivalents are classified as Level 1 in the fair value hierarchy due to the availability of quoted prices for identical assets in an active market as of the measurement date. Principal markets for money market fund prices include published exchanges such as NASDAQ and the New York Stock Exchange. Assets held in the Nuclear decommissioning trust and Non-qualified benefit plan (NQBP) trusts are recorded at fair value in PGE’s condensed consolidated balance sheets and invested in securities that are exposed to interest rate, credit, and market volatility risks. These assets are classified within Level 1, 2, or 3 based on the following factors: Debt securities—PGE invests in highly-liquid United States Treasury securities to support the investment objectives of the trusts. These domestic government securities are classified as Level 1 in the fair value hierarchy due to the availability of quoted prices for identical assets in an active market as of the measurement date. Assets classified as Level 2 in the fair value hierarchy include domestic government debt securities, such as municipal debt, and corporate credit securities. Prices are determined by evaluating pricing data such as broker quotes for similar securities and adjusted for observable differences. Significant inputs used in valuation models generally include benchmark yields and issuer spreads. The external credit rating, coupon rate, and maturity of each security are considered in the valuation, as applicable. Equity securities—Equity mutual fund and common stock securities are classified as Level 1 in the fair value hierarchy due to the availability of quoted prices for identical assets in an active market as of the measurement date. Principal markets for equity prices include published exchanges such as NASDAQ and the New York Stock Exchange. Money market funds—PGE invests in money market funds that seek to maintain a stable net asset value. These funds invest in high-quality, short-term, diversified money market instruments, short-term treasury bills, federal agency securities, certificates of deposits, and commercial paper. The Company believes the redemption value of these funds is likely to be the fair value, which is represented by the net asset value. Redemption is permitted daily without written notice. Assets from interest rate swap derivatives are recorded at fair value in PGE’s condensed consolidated balance sheets and consist of forward starting interest rate swap lock agreements to hedge a portion of its interest rate risk associated with anticipated issuances of fixed-rate, long-term debt securities. To establish fair values for interest rate swap derivatives, the Company uses forward market curves for interest rates for the term of the swaps and discounts the cash flows back to present value using an appropriate discount rate. The discount rate is calculated by third party brokers according to the terms of the swap derivatives and evaluated by the Company for reasonableness. Future cash flows of the interest rate swap derivatives are equal to the fixed interest rate in the swap compared to the floating market interest rate multiplied by the notional amount for each period. Assets and liabilities from price risk management activities are recorded at fair value in PGE’s condensed consolidated balance sheets and consist of derivative instruments entered into by the Company to manage its exposure to commodity price risk and foreign currency exchange rate risk, and reduce volatility in net variable power costs (NVPC) for the Company’s retail customers. For additional information regarding these assets and liabilities, see Note 5, Risk Management. For those assets and liabilities from price risk management activities classified as Level 2, fair value is derived using present value formulas that utilize inputs such as forward commodity prices and interest rates. Substantially all of these inputs are observable in the marketplace 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 marketplace. Instruments in this category include commodity forwards, futures, and swaps. Assets and liabilities from price risk management activities classified as Level 3 consist of instruments for which fair value is derived using one or more significant inputs that are not observable for the entire term of the instrument. These instruments consist of longer term commodity forwards, futures, and swaps. Quantitative information regarding the significant, unobservable inputs used in the measurement of Level 3 assets and liabilities from price risk management activities is presented below:
|  | Fair Value |  | Valuation Technique |  | Significant Unobservable Input |  | Price per Unit
Commodity Contracts |  | Assets |  | Liabilities |  |  |  | Low |  | High |  | Weighted Average
|  | (in millions) |  |  |  |  |  |  |  |  |  |
As of September 30, 2018: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Electricity physical forwards |  | $ | — |  |  | $ | 112 |  |  | Discounted cash flow |  | Electricity forward price (per MWh) |  | $ | 12.34 |  |  | $ | 49.11 |  |  | $ | 33.83 |
Natural gas financial swaps |  | — |  |  | 14 |  |  | Discounted cash flow |  | Natural gas forward price (per Decatherm) |  | 1.02 |  |  | 3.21 |  |  | 1.68 |
Electricity financial futures |  | 1 |  |  | — |  |  | Discounted cash flow |  | Electricity forward price (per MWh) |  | 14.90 |  |  | 30.75 |  |  | 25.15 |
|  | $ | 1 |  |  | $ | 126 |  |  |  |  |  |  |  |  |  |  |
As of December 31, 2017: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Electricity physical forwards |  | $ | — |  |  | $ | 130 |  |  | Discounted cash flow |  | Electricity forward price (per MWh) |  | $ | 7.79 |  |  | $ | 41.23 |  |  | $ | 30.95 |
Natural gas financial swaps |  | — |  |  | 9 |  |  | Discounted cash flow |  | Natural gas forward price (per Decatherm) |  | 1.26 |  |  | 2.92 |  |  | 1.90 |
Electricity financial futures |  | — |  |  | — |  |  | Discounted cash flow |  | Electricity forward price (per MWh) |  | 7.79 |  |  | 29.74 |  |  | 21.74 |
|  | $ | — |  |  | $ | 139 |  |  |  |  |  |  |  |  |  |  |
The significant unobservable inputs used in the Company’s fair value measurement of price risk management assets and liabilities are long-term forward prices for commodity derivatives. For shorter term contracts, PGE employs the mid-point of the bid-ask spread of the market and these inputs are derived using observed transactions in active markets, as well as historical experience as a participant in those markets. These price inputs are validated against independent market data from multiple sources. For certain long-term contracts, observable, liquid market transactions are not available for the duration of the delivery period. In such instances, the Company uses internally-developed price curves, which derive longer term prices and utilize observable data when available. When not available, regression techniques are used to estimate unobservable future prices. In addition, changes in the fair value measurement of price risk management assets and liabilities are analyzed and reviewed on a quarterly basis by the Company. The Company’s Level 3 assets and liabilities from price risk management activities are sensitive to market price changes in the respective underlying commodities. The significance of the impact is dependent upon the magnitude of the price change and PGE’s position as either the buyer or seller under the contract. Sensitivity of the fair value measurements to changes in the significant unobservable inputs is as follows:
Significant Unobservable Input |  | Position |  | Change to Input |  | Impact on Fair Value Measurement
Market price |  | Buy |  | Increase (decrease) |  | Gain (loss)
Market price |  | Sell |  | Increase (decrease) |  | Loss (gain)
Changes in the fair value of net liabilities from price risk management activities (net of assets from price risk management activities) classified as Level 3 in the fair value hierarchy were as follows (in millions):
| Three Months Ended September 30, |  | Nine Months Ended September 30,
| 2018 |  | 2017 |  | 2018 |  | 2017
Balance as of the beginning of the period | 129 |  |  | 153 |  |  | $ | 139 |  |  | $ | 119 |
Net realized and unrealized (gains)/losses* | (2 | ) |  | (1 | ) |  | (10 | ) |  | 34 |
Transfers out of Level 3 to Level 2 | (2 | ) |  | 1 |  |  | (4 | ) |  | — |
Balance as of the end of the period | $ | 125 |  |  | $ | 153 |  |  | $ | 125 |  |  | $ | 153 |
* Both realized and unrealized (gains)/losses, of which the unrealized portion is fully offset by the effects of regulatory accounting until settlement of the underlying transactions, are recorded in Purchased power and fuel expense in the condensed consolidated statements of income and comprehensive income. Transfers into Level 3 occur when significant inputs used to value the Company’s derivative instruments become less observable, such as a delivery location becoming significantly less liquid. During the three and nine months ended September 30, 2018 and 2017, there were no transfers into Level 3 from Level 2. Transfers out of Level 3 occur when the significant inputs become more observable, such as when the time between the valuation date and the delivery term of a transaction becomes shorter. PGE records transfers in and out of Level 3 at the end of the reporting period for all of its derivative instruments. Transfers from Level 2 to Level 1 for the Company’s price risk management assets and liabilities do not occur, as quoted prices are not available for identical instruments. As such, the Company’s assets and liabilities from price risk management activities mature and settle as Level 2 fair value measurements. Long-term debt is recorded at amortized cost in PGE’s condensed consolidated balance sheets. The fair value of the Company’s First Mortgage Bonds (FMBs) and Pollution Control Revenue Bonds is classified as a Level 2 fair value measurement. As of September 30, 2018, the carrying amount of PGE’s long-term debt was $2,427 million, net of $9 million of unamortized debt expense, and its estimated aggregate fair value was $2,694 million. As of December 31, 2017, the carrying amount of PGE’s long-term debt was $2,426 million, net of $10 million of unamortized debt expense, and its estimated aggregate fair value was $2,829 million.

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- Definition Fair Value of Financial Instruments [Abstract] + References No definition available. + Details
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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://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -URI http://asc.fasb.org/topic&trid=2155941 + Details
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