v3.6.0.2
Assets and Liabilities with Recurring Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 2016
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Abstract]  
Fair Value, Measurement Inputs, Disclosure
The following tables present our financial assets and liabilities that were accounted for at fair value on a recurring basis as of December 31, 2016 and 2015, by level within the fair value hierarchy:
 
Assets and Liabilities with Recurring Fair Value Measures as of December 31, 2016
 
Level 1    
 
Level 2    
 
Level 3    
 
Total    
 
(in millions)
Assets:
 
 
 
 
 
 
 
Cash and cash equivalents(1)
$
606

 
$
—

 
$
—

 
$
606

Margin deposits
350

 
—

 
—

 
350

Commodity instruments:
 
 
 
 
 
 
 
Commodity exchange traded futures and swaps contracts
1,542

 
—

 
—

 
1,542

Commodity forward contracts(2)
—

 
231

 
466

 
697

Interest rate hedging instruments
—

 
29

 
—

 
29

Total assets
$
2,498

 
$
260

 
$
466

 
$
3,224

Liabilities:
 
 
 
 
 
 
 
Margin deposits posted with us by our counterparties
$
16

 
$
—

 
$
—

 
$
16

Commodity instruments:
 
 
 
 
 
 
 
Commodity exchange traded futures and swaps contracts
1,570

 
—

 
—

 
1,570

Commodity forward contracts(2)
—

 
411

 
67

 
478

Interest rate hedging instruments
—

 
58

 
—

 
58

Total liabilities
$
1,586

 
$
469

 
$
67

 
$
2,122

 
Assets and Liabilities with Recurring Fair Value Measures as of December 31, 2015
 
Level 1    
 
Level 2    
 
Level 3    
 
Total    
 
(in millions)
Assets:
 
 
 
 
 
 
 
Cash and cash equivalents(1)
$
1,134

 
$
—

 
$
—

 
$
1,134

Margin deposits
89

 
—

 
—

 
89

Commodity instruments:
 
 
 
 
 
 
 
Commodity exchange traded futures and swaps contracts
1,736

 
—

 
—

 
1,736

Commodity forward contracts(2)
—

 
220

 
54

 
274

Interest rate hedging instruments
—

 
1

 
—

 
1

Total assets
$
2,959

 
$
221

 
$
54

 
$
3,234

Liabilities:
 
 
 
 
 
 
 
Margin deposits posted with us by our counterparties
$
35

 
$
—

 
$
—

 
$
35

Commodity instruments:
 
 
 
 
 
 
 
Commodity exchange traded futures and swaps contracts
1,604

 
—

 
—

 
1,604

Commodity forward contracts(2)
—

 
413

 
100

 
513

Interest rate hedging instruments
—

 
90

 
—

 
90

Total liabilities
$
1,639

 
$
503

 
$
100

 
$
2,242

___________
(1)
As of December 31, 2016 and 2015, we had cash and cash equivalents of $418 million and $906 million included in cash and cash equivalents and $188 million and $228 million included in restricted cash, respectively.
(2)
Includes OTC swaps and options.
Fair Value Inputs, Assets, Quantitative Information
The following table presents quantitative information for the unobservable inputs used in our most significant level 3 fair value measurements at December 31, 2016 and 2015:
 
 
Quantitative Information about Level 3 Fair Value Measurements
 
 
December 31, 2016
 
 
Fair Value, Net Asset
 
 
 
Significant Unobservable
 
 
 
 
(Liability)
 
Valuation Technique
 
Input
 
Range
 
 
(in millions)
 
 
 
 
 
 
Power Contracts
 
$
360

 
Discounted cash flow
 
Market price (per MWh)
 
$9.60 — $86.34/MWh
Power Congestion Products
 
$
12

 
Discounted cash flow
 
Market price (per MWh)
 
$(7.52) — $13.62/MWh
Natural Gas Contracts
 
$
17

 
Discounted cash flow
 
Market price (per MMBtu)
 
$1.95 — $5.66/MMBtu
 
 
Quantitative Information about Level 3 Fair Value Measurements
 
 
December 31, 2015
 
 
Fair Value, Net Asset
 
 
 
Significant Unobservable
 
 
 
 
(Liability)
 
Valuation Technique
 
Input
 
Range
 
 
(in millions)
 
 
 
 
 
 
Power Contracts
 
$
(54
)
 
Discounted cash flow
 
Market price (per MWh)
 
$6.72 — $83.25/MWh
Power Congestion Products
 
$
8

 
Discounted cash flow
 
Market price (per MWh)
 
$(11.47) — $12.19/MWh
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation
The following table sets forth a reconciliation of changes in the fair value of our net derivative assets (liabilities) classified as level 3 in the fair value hierarchy for the years ended December 31, 2016, 2015 and 2014 (in millions):
 
2016
 
2015
 
2014
Balance, beginning of period
$
(46
)
 
$
85

 
$
14

Realized and mark-to-market gains (losses):
 
 
 
 
 
Included in net income:
 
 
 
 
 
Included in operating revenues(1)
(46
)
 
218

 
70

Included in fuel and purchased energy expense(2)
7

 
(7
)
 
5

Purchases and settlements:
 
 
 
 
 
Purchases(3)
426

 
(70
)
 
6

Settlements
(21
)
 
(29
)
 
(10
)
Transfers in and/or out of level 3(4):
 
 
 
 
 
Transfers into level 3(5)
4

 
—

 
—

Transfers out of level 3(6)
75

 
(243
)
 
—

Balance, end of period
$
399

 
$
(46
)
 
$
85

Change in unrealized gains (losses) relating to instruments still held at end of period
$
(39
)
 
$
211

 
$
75

___________
(1)
For power contracts and other power-related products, included on our Consolidated Statements of Operations.
(2)
For natural gas and power contracts, swaps and options, included on our Consolidated Statements of Operations.
(3)
During December 2016, we had $421 million in purchases related to the acquisition of Calpine Solutions, formerly Noble Solutions.
(4)
We transfer amounts among levels of the fair value hierarchy as of the end of each period. There were no transfers into or out of level 1 during the years ended December 31, 2016, 2015 and 2014.
(5)
We had $4 million in gains transfers out of level 2 into level 3 for the year ended December 31, 2016. There were no transfers out of level 2 into level 3 for the years ended December 31, 2015 and 2014.
(6)
We had $(75) million in losses and $4 million in gains transferred out of level 3 into level 2 during the years ended December 31, 2016 and 2015, respectively, due to changes in market liquidity in various power markets and $239 million in gains transferred out of level 3 during the year ended December 31, 2015 to other assets following the election of the normal purchase normal sales exemption and the discontinuance of derivative accounting treatment as of the date of this election. There were no transfers out of level 3 for the year ended December 31, 2014.