v3.7.0.1
Derivative Instruments (Tables)
 3 Months Ended
Mar. 31, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Notional Amounts of Outstanding Derivative Positions
As of March 31, 2017 and December 31, 2016, the net forward notional buy (sell) position of our outstanding commodity derivative instruments that did not qualify or were not designated under the normal purchase normal sale exemption and our interest rate hedging instruments were as follows (in millions):
Derivative Instruments
 
Notional Amounts
 
March 31, 2017
 
December 31, 2016
Power (MWh)
 
(78
)
 
(86
)
Natural gas (MMBtu)
 
779

 
613

Environmental credits (Tonnes)
 
16

 
16

Interest rate hedging instruments
 
$
4,600

(1) 
$
3,721


___________
(1)
We entered into interest rate hedging instruments during the first quarter of 2017 to hedge approximately $1.0 billion of variable rate debt for 2018 through 2020 and approximately $500 million of variable rate debt for 2021 through 2022. We also extended the tenor of certain interest rate hedging instruments which effectively places a ceiling on LIBOR on $2.5 billion of variable rate corporate debt through 2020 and $1.25 billion of variable rate corporate debt in 2021.
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, 2017 and December 31, 2016 (in millions):
 
March 31, 2017
  
Commodity
Instruments
 
Interest Rate
Hedging Instruments
 
Total
Derivative
Instruments
Balance Sheet Presentation
 
 
 
 
 
Current derivative assets
$
1,386

 
$
1

 
$
1,387

Long-term derivative assets
634

 
36

 
670

Total derivative assets
$
2,020

 
$
37

 
$
2,057

 
 
 
 
 
 
Current derivative liabilities
$
1,246

 
$
27

 
$
1,273

Long-term derivative liabilities
522

 
28

 
550

Total derivative liabilities
$
1,768

 
$
55

 
$
1,823

Net derivative assets (liabilities)
$
252

 
$
(18
)
 
$
234

 
December 31, 2016
 
Commodity
Instruments
 
Interest Rate
Hedging Instruments
 
Total
Derivative
Instruments
Balance Sheet Presentation
 
 
 
 
 
Current derivative assets
$
1,724

 
$
1

 
$
1,725

Long-term derivative assets
515

 
28

 
543

Total derivative assets
$
2,239

 
$
29

 
$
2,268

 
 
 
 
 
 
Current derivative liabilities
$
1,602

 
$
28

 
$
1,630

Long-term derivative liabilities
446

 
30

 
476

Total derivative liabilities
$
2,048

 
$
58

 
$
2,106

Net derivative assets (liabilities)
$
191

 
$
(29
)
 
$
162
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value
 
March 31, 2017
 
December 31, 2016
 
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 hedging instruments
$
37

 
$
55

 
$
29

 
$
58

Total derivatives designated as cash flow hedging instruments
$
37

 
$
55

 
$
29

 
$
58

 
 
 
 
 
 
 
 
Derivatives not designated as hedging instruments:
 
 
 
 
 
 
 
Commodity instruments
$
2,020

 
$
1,768

 
$
2,239

 
$
2,048

Total derivatives not designated as hedging instruments
$
2,020

 
$
1,768

 
$
2,239

 
$
2,048

Total derivatives
$
2,057

 
$
1,823

 
$
2,268

 
$
2,106
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, 2017 and December 31, 2016 (in millions):
 
 
March 31, 2017
 
 
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
 
$
1,259

 
$
(1,253
)
 
$
(6
)
 
$
—

Commodity forward contracts
 
761

 
(172
)
 
(11
)
 
578

Interest rate hedging instruments
 
37

 
(5
)
 
—

 
32

Total derivative assets
 
$
2,057

 
$
(1,430
)
 
$
(17
)
 
$
610

Derivative (liabilities):
 
 
 
 
 
 
 
 
Commodity exchange traded futures and swaps contracts
 
$
(1,298
)
 
$
1,253

 
$
45

 
$
—

Commodity forward contracts
 
(470
)
 
172

 
52

 
(246
)
Interest rate hedging instruments
 
(55
)
 
5

 
—

 
(50
)
Total derivative (liabilities)
 
$
(1,823
)
 
$
1,430

 
$
97

 
$
(296
)
Net derivative assets (liabilities)
 
$
234

 
$
—

 
$
80

 
$
314

 
 
December 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
 
$
1,542

 
$
(1,521
)
 
$
(21
)
 
$
—

Commodity forward contracts
 
697

 
(165
)
 
(11
)
 
521

Interest rate hedging instruments
 
29

 
—

 
—

 
29

Total derivative assets
 
$
2,268

 
$
(1,686
)
 
$
(32
)
 
$
550

Derivative (liabilities):
 
 
 
 
 
 
 
 
Commodity exchange traded futures and swaps contracts
 
$
(1,570
)
 
$
1,521

 
$
49

 
$
—

Commodity forward contracts
 
(478
)
 
165

 
55

 
(258
)
Interest rate hedging instruments
 
(58
)
 
—

 
—

 
(58
)
Total derivative (liabilities)
 
$
(2,106
)
 
$
1,686

 
$
104

 
$
(316
)
Net derivative assets (liabilities)
 
$
162

 
$
—

 
$
72

 
$
234

____________
(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,
 
2017
 
2016
Realized gain (loss)(1)(2)
 
 
 
Commodity derivative instruments
$
29

 
$
118

Total realized gain (loss)
$
29

 
$
118

 
 
 
 
Mark-to-market gain (loss)(3)
 
 
 
Commodity derivative instruments
$
55

 
$
(95
)
Interest rate hedging instruments
—

 
1

Total mark-to-market gain (loss)
$
55

 
$
(94
)
Total activity, net
$
84

 
$
24


___________
(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 financial derivative activity related to the acquisition of Champion Energy, Calpine Solutions and North American Power.
(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,
 
2017
 
2016
Realized and mark-to-market gain (loss)(1)
 
 
 
Derivatives contracts included in operating revenues(2)(3)
$
223

 
$
204

Derivatives contracts included in fuel and purchased energy expense(2)(3)
(139
)
 
(181
)
Interest rate hedging instruments included in interest expense(4)
—

 
1

Total activity, net
$
84

 
$
24


___________
(1)
In addition to changes in market value on derivatives not designated as hedges, changes in mark-to-market gain (loss) also includes adjustments to reflect changes in credit default risk exposure.
(2)
Does not include the realized value associated with derivative instruments that settle through physical delivery.
(3)
Includes amortization of acquisition date fair value of financial derivative activity related to the acquisition of Champion Energy, Calpine Solutions and North American Power.
(4)
In addition to changes in market value on interest rate hedging instruments not designated as hedges, changes in mark-to-market gain (loss) also includes hedge ineffectiveness.
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)
 
2017
 
2016
 
2017
 
2016
 
Affected Line Item on the Consolidated Condensed Statements of Operations
Interest rate hedging instruments(1)(2)
$
(4
)
 
$
(12
)
 
$
(11
)
 
$
(11
)
 
Interest expense
____________
(1)
We did not record any material gain (loss) on hedge ineffectiveness related to our interest rate hedging instruments designated as cash flow hedges during the three months ended March 31, 2017 and 2016.
(2)
We recorded an income tax expense of nil for each of the three months ended March 31, 2017 and 2016, 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 $94 million and $90 million at March 31, 2017 and December 31, 2016, respectively. Cumulative cash flow hedge losses attributable to the noncontrolling interest, net of tax, remaining in AOCI were $8 million and $8 million at March 31, 2017 and December 31, 2016, respectively.