Derivative Instruments (Tables)
|
3 Months Ended |
Mar. 31, 2016 |
|---|
| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
|
| Schedule of Notional Amounts of Outstanding Derivative Positions |
As of March 31, 2016 and December 31, 2015, the net forward notional buy (sell) position of our outstanding commodity and interest rate swap contracts that did not qualify or were not designated under the normal purchase normal sale exemption were as follows (in millions): | | | | | | | | | | Derivative Instruments | | Notional Amounts | | March 31, 2016 | | December 31, 2015 | Power (MWh) | | (49 | ) | | (41 | ) | Natural gas (MMBtu) | | 1,065 |
| | 996 |
| Environmental credits (Tonnes) | | 17 |
| | 8 |
| Interest rate swaps | | $ | 1,308 |
| | $ | 1,320 |
|
|
| Schedule of Derivatives Instruments Statements of Financial Performance and Financial Position, Location [Table Text Block] |
The following tables present the fair values of our derivative instruments recorded on our Consolidated Condensed Balance Sheets by location and hedge type at March 31, 2016 and December 31, 2015 (in millions): | | | | | | | | | | | | | | March 31, 2016 | | Commodity Instruments | | Interest Rate Swaps | | Total Derivative Instruments | Balance Sheet Presentation | | | | | | Current derivative assets | $ | 1,853 |
| | $ | — |
| | $ | 1,853 |
| Long-term derivative assets | 419 |
| | 1 |
| | 420 |
| Total derivative assets | $ | 2,272 |
| | $ | 1 |
| | $ | 2,273 |
| | | | | | | Current derivative liabilities | $ | 1,938 |
| | $ | 37 |
| | $ | 1,975 |
| Long-term derivative liabilities | 524 |
| | 61 |
| | 585 |
| Total derivative liabilities | $ | 2,462 |
| | $ | 98 |
| | $ | 2,560 |
| Net derivative assets (liabilities) | $ | (190 | ) | | $ | (97 | ) | | $ | (287 | ) |
| | | | | | | | | | | | | | December 31, 2015 | | Commodity
Instruments | | Interest Rate Swaps | | Total Derivative Instruments | Balance Sheet Presentation | | | | | | Current derivative assets | $ | 1,698 |
| | $ | — |
| | $ | 1,698 |
| Long-term derivative assets | 312 |
| | 1 |
| | 313 |
| Total derivative assets | $ | 2,010 |
| | $ | 1 |
| | $ | 2,011 |
| | | | | | | Current derivative liabilities | $ | 1,697 |
| | $ | 37 |
| | $ | 1,734 |
| Long-term derivative liabilities | 420 |
| | 53 |
| | 473 |
| Total derivative liabilities | $ | 2,117 |
| | $ | 90 |
| | $ | 2,207 |
| Net derivative assets (liabilities) | $ | (107 | ) | | $ | (89 | ) | | $ | (196 | ) |
|
| Schedule of Derivative Instruments in Statement of Financial Position, Fair Value |
| | | | | | | | | | | | | | | | | | March 31, 2016 | | December 31, 2015 | | Fair Value of Derivative Assets | | Fair Value of Derivative Liabilities | | Fair Value of Derivative Assets | | Fair Value of Derivative Liabilities | Derivatives designated as cash flow hedging instruments: | | | | | | | | Interest rate swaps | $ | 1 |
| | $ | 100 |
| | $ | 1 |
| | $ | 92 |
| Total derivatives designated as cash flow hedging instruments | $ | 1 |
| | $ | 100 |
| | $ | 1 |
| | $ | 92 |
| | | | | | | | | Derivatives not designated as hedging instruments: | | | | | | | | Commodity instruments | $ | 2,272 |
| | $ | 2,462 |
| | $ | 2,010 |
| | $ | 2,117 |
| Interest rate swaps | — |
| | (2 | ) | | — |
| | (2 | ) | Total derivatives not designated as hedging instruments | $ | 2,272 |
| | $ | 2,460 |
| | $ | 2,010 |
| | $ | 2,115 |
| Total derivatives | $ | 2,273 |
| | $ | 2,560 |
| | $ | 2,011 |
| | $ | 2,207 |
|
|
| Derivative Instruments Subject to Master Netting Arrangements [Table Text Block] |
The tables below set forth our net exposure to derivative instruments after offsetting amounts subject to a master netting arrangement with the same counterparty at March 31, 2016 and December 31, 2015 (in millions): | | | | | | | | | | | | | | | | | | | | March 31, 2016 | | | Gross Amounts Not Offset on the Consolidated Condensed Balance Sheets | | | Gross Amounts Presented on our Consolidated Condensed Balance Sheets | | Derivative Asset (Liability) not Offset on the Consolidated Condensed Balance Sheets | | Margin/Cash (Received) Posted (1) | | Net Amount | Derivative assets: | | | | | | | | | Commodity exchange traded futures and swaps contracts | | $ | 1,967 |
| | $ | (1,874 | ) | | $ | (93 | ) | | $ | — |
| Commodity forward contracts | | 305 |
| | (230 | ) | | (7 | ) | | 68 |
| Interest rate swaps | | 1 |
| | — |
| | — |
| | 1 |
| Total derivative assets | | $ | 2,273 |
| | $ | (2,104 | ) | | $ | (100 | ) | | $ | 69 |
| Derivative (liabilities): | | | | | | | | | Commodity exchange traded futures and swaps contracts | | $ | (1,874 | ) | | $ | 1,874 |
| | $ | — |
| | $ | — |
| Commodity forward contracts | | (588 | ) | | 230 |
| | 1 |
| | (357 | ) | Interest rate swaps | | (98 | ) | | — |
| | — |
| | (98 | ) | Total derivative (liabilities) | | $ | (2,560 | ) | | $ | 2,104 |
| | $ | 1 |
| | $ | (455 | ) | Net derivative assets (liabilities) | | $ | (287 | ) | | $ | — |
| | $ | (99 | ) | | $ | (386 | ) |
| | | | | | | | | | | | | | | | | | | | December 31, 2015 | | | Gross Amounts Not Offset on the Consolidated Condensed Balance Sheets | | | Gross Amounts Presented on our Consolidated Condensed Balance Sheets | | Derivative Asset (Liability) not Offset on the Consolidated Condensed Balance Sheets | | Margin/Cash (Received) Posted (1) | | Net Amount | Derivative assets: | | | | | | | | | Commodity exchange traded futures and swaps contracts | | $ | 1,736 |
| | $ | (1,602 | ) | | $ | (134 | ) | | $ | — |
| Commodity forward contracts | | 274 |
| | (202 | ) | | (3 | ) | | 69 |
| Interest rate swaps | | 1 |
| | — |
| | — |
| | 1 |
| Total derivative assets | | $ | 2,011 |
| | $ | (1,804 | ) | | $ | (137 | ) | | $ | 70 |
| Derivative (liabilities): | | | | | | | | | Commodity exchange traded futures and swaps contracts | | $ | (1,604 | ) | | $ | 1,602 |
| | $ | 2 |
| | $ | — |
| Commodity forward contracts | | (513 | ) | | 202 |
| | 3 |
| | (308 | ) | Interest rate swaps | | (90 | ) | | — |
| | — |
| | (90 | ) | Total derivative (liabilities) | | $ | (2,207 | ) | | $ | 1,804 |
| | $ | 5 |
| | $ | (398 | ) | Net derivative assets (liabilities) | | $ | (196 | ) | | $ | — |
| | $ | (132 | ) | | $ | (328 | ) |
____________ | | (1) | Negative balances represent margin deposits posted with us by our counterparties related to our derivative activities that are subject to a master netting arrangement. Positive balances reflect margin deposits and natural gas and power prepayments posted by us with our counterparties related to our derivative activities that are subject to a master netting arrangement. See Note 7 for a further discussion of our collateral. |
|
| Realized Unrealized Gain Loss by Instrument |
The following tables detail the components of our total activity for both the net realized gain (loss) and the net mark-to-market gain (loss) recognized from our derivative instruments in earnings and where these components were recorded on our Consolidated Condensed Statements of Operations for the periods indicated (in millions): | | | | | | | | | | | | Three Months Ended March 31, | | | 2016 | | 2015 | Realized gain (loss)(1)(2) | | | | | Commodity derivative instruments | | $ | 118 |
| | $ | 59 |
| Total realized gain (loss) | | $ | 118 |
| | $ | 59 |
| | | | | | Mark-to-market gain (loss)(3) | | | | | Commodity derivative instruments | | $ | (95 | ) | | $ | 70 |
| Interest rate swaps | | 1 |
| | 1 |
| Total mark-to-market gain (loss) | | $ | (94 | ) | | $ | 71 |
| Total activity, net | | $ | 24 |
| | $ | 130 |
|
___________ | | (1) | Does not include the realized value associated with derivative instruments that settle through physical delivery. |
| | (2) | Includes amortization of acquisition date fair value of derivative activity related to the acquisition of Champion Energy. |
| | (3) | In addition to changes in market value on derivatives not designated as hedges, changes in mark-to-market gain (loss) also includes hedge ineffectiveness and adjustments to reflect changes in credit default risk exposure. |
|
| Schedule of Other Derivatives Not Designated as Hedging Instruments, Statements of Financial Performance and Financial Position, Location |
| | | | | | | | | | | | Three Months Ended March 31, | | | 2016 | | 2015 | Realized and mark-to-market gain (loss) | | | | | Derivatives contracts included in operating revenues(1) | | $ | 204 |
| | $ | 119 |
| Derivatives contracts included in fuel and purchased energy expense(1) | | (181 | ) | | 10 |
| Interest rate swaps included in interest expense | | 1 |
| | 1 |
| Total activity, net | | $ | 24 |
| | $ | 130 |
|
___________ | | (1) | Does not include the realized value associated with derivative instruments that settle through physical delivery. |
|
| Derivatives Designated as Hedges |
The following table details the effect of our net derivative instruments that qualified for hedge accounting treatment and are included in OCI and AOCI for the periods indicated (in millions): | | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, | | Three Months Ended March 31, | | Gain (Loss) Recognized in OCI (Effective Portion) | | Gain (Loss) Reclassified from AOCI into Income (Effective Portion)(3) | | 2016 | | 2015 | | 2016 | | 2015 | | Affected Line Item on the Consolidated Condensed Statements of Operations | Interest rate swaps(1)(2) | $ | (12 | ) | | $ | (6 | ) | | $ | (11 | ) | | $ | (12 | ) | | Interest expense |
____________ | | (1) | We did not record any material gain (loss) on hedge ineffectiveness related to our interest rate swaps designated as cash flow hedges during the three months ended March 31, 2016 and 2015. |
| | (2) | We recorded an income tax expense of nil for each of the three months ended March 31, 2016 and 2015, in AOCI related to our cash flow hedging activities. |
| | (3) | Cumulative cash flow hedge losses attributable to Calpine, net of tax, remaining in AOCI were $137 million and $127 million at March 31, 2016 and December 31, 2015, respectively. Cumulative cash flow hedge losses attributable to the noncontrolling interest, net of tax, remaining in AOCI were $13 million and $11 million at March 31, 2016 and December 31, 2015, respectively. |
|