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Price Risk Management (Notes) | 12 Months Ended
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Dec. 31, 2019
Price Risk Management [Abstract] |
Price Risk Management | RISK MANAGEMENT Price Risk Management PGE participates in the wholesale marketplace to balance its supply of power, which consists of its own generation combined with wholesale market transactions, to meet the needs of its retail customers, manage risk, and administer the Company’s long-term wholesale contracts. Wholesale market transactions include purchases and sales of both power and fuel resulting from economic dispatch decisions with respect to Company-owned generating resources. As a result of this ongoing business activity, PGE is exposed to commodity price risk and foreign currency exchange rate risk, from which changes in prices and/or rates may affect the Company’s financial position, results of operations, or cash flow. PGE utilizes derivative instruments to manage its exposure to commodity price risk and foreign exchange rate risk in order to manage volatility in NVPC for its retail customers. Such derivative instruments, recorded at fair value on the consolidated balance sheets, may include forward, futures, swap, and option contracts for electricity, natural gas, and foreign currency, with changes in fair value recorded in the consolidated statements of income. In accordance with ratemaking and cost recovery processes authorized by the OPUC, the Company recognizes a regulatory asset or liability to defer the gains and losses from derivative activity until settlement of the associated derivative instrument. PGE may designate certain derivative instruments as cash flow hedges or may use derivative instruments as economic hedges. The Company does not engage in trading activities for non-retail purposes. PGE’s Assets and Liabilities from price risk management activities consist of the following (in millions):
| As of December 31,
| 2019 |  | 2018
Current assets: |  |  |
Commodity contracts: |  |  |
Electricity | $ | 9 |  |  | $ | 11 |
Natural gas | 16 |  |  | 7 |
Total current derivative assets(1) | 25 |  |  | 18 |
Noncurrent assets: |  |  |
Commodity contracts: |  |  |
Electricity | 7 |  |  | 1 |
Natural gas | 6 |  |  | 1 |
Total noncurrent derivative assets(1) | 13 |  |  | 2 |
Total derivative assets(2) | $ | 38 |  |  | $ | 20 |
Current liabilities: |  |  |
Commodity contracts: |  |  |
Electricity | $ | 14 |  |  | $ | 16 |
Natural gas | 9 |  |  | 35 |
Total current derivative liabilities | 23 |  |  | 51 |
Noncurrent liabilities: |  |  |
Commodity contracts: |  |  |
Electricity | 105 |  |  | 78 |
Natural gas | 3 |  |  | 23 |
Total noncurrent derivative liabilities | 108 |  |  | 101 |
Total derivative liabilities(2) | $ | 131 |  |  | $ | 152 |
(1) | Total current derivative assets is included in Other current assets, and Total noncurrent derivative assets is included in Other noncurrent assets on the consolidated balance sheets.
(2) | As of December 31, 2019 and 2018, no commodity derivative assets or liabilities were designated as hedging instruments.
PGE’s net volumes related to its Assets and Liabilities from price risk management activities resulting from its derivative transactions, which are expected to deliver or settle at various dates through 2035, were as follows (in millions):
| As of December 31,
| 2019 |  | 2018
Commodity contracts: |  |  |  |  |  |  |
Electricity | 6 |  |  | MWh |  | 5 |  |  | MWh
Natural gas | 145 |  |  | Dth |  | 123 |  |  | Dth
Foreign currency exchange | $ | 23 |  |  | Canadian |  | $ | 18 |  |  | Canadian
PGE has elected to report positive and negative exposures resulting from derivative instruments pursuant to agreements that meet the definition of a master netting arrangement at gross values on the consolidated balance sheet. In the case of default on, or termination of, any contract under the master netting arrangements, such agreements provide for the net settlement of all related contractual obligations with a given counterparty through a single payment. These types of transactions may include non-derivative instruments, derivatives qualifying for scope exceptions, receivables and payables arising from settled positions, and other forms of non-cash collateral, such as letters of credit. As of December 31, 2019, PGE had no material gross master netting arrangements. As of December 31, 2018, gross amounts included as Price risk management liabilities subject to master netting agreements were $88 million, for which PGE posted collateral of $11 million, which consisted entirely of letters of credit. Of the gross amounts recognized as of December 31, 2018, $84 million was for electricity and $4 million was for natural gas. Net realized and unrealized losses (gains) on derivative transactions not designated as hedging instruments are classified in Purchased power and fuel in the consolidated statements of income and were as follows (in millions):
| Years Ended December 31,
| 2019 |  | 2018 |  | 2017
Commodity contracts: |  |  |  |  |
Electricity | $ | 20 |  |  | $ | (34 | ) |  | $ | 41 |
Natural Gas | (32 | ) |  | 21 |  |  | 85 |
Foreign currency exchange | (1 | ) |  | 1 |  |  | (1 | )
Net unrealized and certain net realized losses (gains) presented in the table above are offset within the consolidated statements of income by the effects of regulatory accounting. Of the net amounts recognized in Net income, net gains of $2 million, net gains of $18 million, and net losses of $82 million for the years ended December 31, 2019, 2018, and 2017, respectively, have been offset. Assuming no changes in market prices and interest rates, the following table presents the years in which the net unrealized (gains)/losses recorded as of December 31, 2019 related to PGE’s derivative activities would become realized as a result of the settlement of the underlying derivative instrument (in millions):
| 2020 |  | 2021 |  | 2022 |  | 2023 |  | 2024 |  | Thereafter |  | Total
Commodity contracts: |  |  |  |  |  |  |  |  |  |  |  |  |
Electricity | $ | 5 |  |  | $ | 1 |  |  | $ | 7 |  |  | $ | 7 |  |  | $ | 7 |  |  | $ | 76 |  |  | $ | 103 |
Natural gas | (7 | ) |  | (2 | ) |  | (1 | ) |  | — |  |  | — |  |  | — |  |  | (10 | )
Net unrealized (gain)/loss | $ | (2 | ) |  | $ | (1 | ) |  | $ | 6 |  |  | $ | 7 |  |  | $ | 7 |  |  | $ | 76 |  |  | $ | 93 |
PGE’s secured and unsecured debt is currently rated at investment grade by Moody’s Investors Service (Moody’s) and S&P Global Ratings (S&P). Should Moody’s and/or S&P reduce their rating on the Company’s unsecured debt to below investment grade, PGE could be subject to requests by certain wholesale counterparties to post additional performance assurance collateral, in the form of cash or letters of credit, based on total portfolio positions with each of those counterparties. Certain other counterparties would have the right to terminate their agreements with the Company. The aggregate fair value of derivative instruments with credit-risk-related contingent features that were in a liability position as of December 31, 2019 was $122 million, for which the Company has posted $15 million in collateral, consisting entirely of letters of credit. If the credit-risk-related contingent features underlying these agreements were triggered as of December 31, 2019, the cash requirement to either post as collateral or settle the instruments immediately would have been $114 million. As of December 31, 2019, PGE had no posted cash collateral for derivative instruments with no credit-risk-related contingent features. Cash collateral for derivative instruments is classified as Margin deposits included in Other current assets on the Company’s consolidated balance sheet. Counterparties representing 10% or more of Assets and Liabilities from price risk management activities were as follows:
| As of December 31,
| 2019 |  | 2018
Assets from price risk management activities: |  |  |
Counterparty A | 35 | % |  | 42 | %
Counterparty B | 1 |  |  | 15 |
Counterparty C | 13 |  |  | 5 |
Counterparty D | 11 |  |  | 6 |
Counterparty E | 11 |  |  | 9 |
| 71 | % |  | 77 | %
Liabilities from price risk management activities: |  |  |
Counterparty F | 79 | % |  | 56 | %
For additional information concerning the determination of fair value for the Company’s Assets and Liabilities from price risk management activities, see Note 5, Fair Value of Financial Instruments. Interest Rate Risk In 2018 PGE entered into two 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. These derivative instruments were designated as cash flow hedges, protecting against the risk of changes in future interest payments that could have resulted from changes in benchmark U.S. Treasury rates between the date of hedge inception and the date of the debt issuance. As of December 31, 2018, the fair value of the interest rate swaps was a $4 million liability, which was recorded in Liabilities from price risk management activities - current on the Company’s consolidated balance sheets. The swaps settled at a $5 million loss in January 2019, which was recorded in Regulatory assets - noncurrent on the consolidated balance sheets, and will be amortized as a component of interest expense over the life of the associated debt. Such amounts are also included as a component of cost of debt for ratemaking purposes. As of December 31, 2019, the Company had no outstanding interest rate swaps.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
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