Derivative Instruments (Tables)
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9 Months Ended |
Sep. 30, 2017 |
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| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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| Schedule of Notional Amounts of Outstanding Derivative Positions |
As of September 30, 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 | | September 30, 2017 | | December 31, 2016 | Power (MWh) | | (98 | ) | | (86 | ) | Natural gas (MMBtu) | | 398 |
| | 613 |
| Environmental credits (Tonnes) | | 19 |
| | 16 |
| Interest rate hedging instruments | | $ | 4,600 |
| (1) | $ | 3,721 |
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___________ | | (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. |
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| Derivative Instruments Subject to Master Netting Arrangements [Table Text Block] |
The following tables present the fair values of our derivative instruments and our net exposure after offsetting amounts subject to a master netting arrangement with the same counterparty to our derivative instruments recorded on our Consolidated Condensed Balance Sheets by location and hedge type at September 30, 2017 and December 31, 2016 (in millions): | | | | | | | | | | | | | | | | September 30, 2017 | | | Gross Amounts of Assets and (Liabilities) | | Gross Amounts Offset on the Consolidated Condensed Balance Sheets | | Net Amount Presented on the Consolidated Condensed Balance Sheet(1) | Derivative assets: | | | | | | | Commodity exchange traded futures and swaps contracts | | $ | 472 |
| | $ | (472 | ) | | $ | — |
| Commodity forward contracts | | 338 |
| | (133 | ) | | 205 |
| Interest rate hedging instruments | | 2 |
| | (1 | ) | | 1 |
| Total current derivative assets(2) | | $ | 812 |
| | $ | (606 | ) | | $ | 206 |
| Commodity exchange traded futures and swaps contracts | | 133 |
| | (133 | ) | | — |
| Commodity forward contracts | | 356 |
| | (82 | ) | | 274 |
| Interest rate hedging instruments | | 18 |
| | (8 | ) | | 10 |
| Total long-term derivative assets(2) | | $ | 507 |
| | $ | (223 | ) | | $ | 284 |
| Total derivative assets | | $ | 1,319 |
| | $ | (829 | ) | | $ | 490 |
| | | | | | | | Derivative (liabilities): | | | | | | | Commodity exchange traded futures and swaps contracts | | $ | (496 | ) | | $ | 496 |
| | $ | — |
| Commodity forward contracts | | (236 | ) | | 148 |
| | (88 | ) | Interest rate hedging instruments | | (26 | ) | | 1 |
| | (25 | ) | Total current derivative (liabilities)(2) | | $ | (758 | ) | | $ | 645 |
| | $ | (113 | ) | Commodity exchange traded futures and swaps contracts | | (160 | ) | | 160 |
| | — |
| Commodity forward contracts | | (183 | ) | | 98 |
| | (85 | ) | Interest rate hedging instruments | | (26 | ) | | 8 |
| | (18 | ) | Total long-term derivative (liabilities)(2) | | $ | (369 | ) | | $ | 266 |
| | $ | (103 | ) | Total derivative liabilities | | $ | (1,127 | ) | | $ | 911 |
| | $ | (216 | ) | Net derivative assets (liabilities) | | $ | 192 |
| | $ | 82 |
| | $ | 274 |
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| | | | | | | | | | | | | | | | December 31, 2016 | | | Gross Amounts of Assets and (Liabilities) | | Gross Amounts Offset on the Consolidated Condensed Balance Sheets | | Net Amount Presented on the Consolidated Condensed Balance Sheet(1) | Derivative assets: | | | | | | | Commodity exchange traded futures and swaps contracts | | $ | 1,344 |
| | $ | (1,344 | ) | | $ | — |
| Commodity forward contracts | | 380 |
| | (160 | ) | | 220 |
| Interest rate hedging instruments | | 1 |
| | — |
| | 1 |
| Total current derivative assets(3) | | $ | 1,725 |
| | $ | (1,504 | ) | | $ | 221 |
| Commodity exchange traded futures and swaps contracts | | 198 |
| | (198 | ) | | — |
| Commodity forward contracts | | 317 |
| | (45 | ) | | 272 |
| Interest rate hedging instruments | | 28 |
| | — |
| | 28 |
| Total long-term derivative assets(3) | | $ | 543 |
| | $ | (243 | ) | | $ | 300 |
| Total derivative assets | | $ | 2,268 |
| | $ | (1,747 | ) | | $ | 521 |
| | | | | | | | Derivative (liabilities): | | | | | | | Commodity exchange traded futures and swaps contracts | | $ | (1,327 | ) | | $ | 1,327 |
| | $ | — |
| Commodity forward contracts | | (275 | ) | | 165 |
| | (110 | ) | Interest rate hedging instruments | | (28 | ) | | — |
| | (28 | ) | Total current derivative (liabilities)(3) | | $ | (1,630 | ) | | $ | 1,492 |
| | $ | (138 | ) | Commodity exchange traded futures and swaps contracts | | (243 | ) | | 243 |
| | — |
| Commodity forward contracts | | (203 | ) | | 84 |
| | (119 | ) | Interest rate hedging instruments | | (30 | ) | | — |
| | (30 | ) | Total long-term derivative (liabilities)(3) | | $ | (476 | ) | | $ | 327 |
| | $ | (149 | ) | Total derivative liabilities | | $ | (2,106 | ) | | $ | 1,819 |
| | $ | (287 | ) | Net derivative assets (liabilities) | | $ | 162 |
| | $ | 72 |
| | $ | 234 |
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____________ | | (1) | At September 30, 2017 and December 31, 2016, we had $115 million and $262 million of collateral under master netting arrangements that were not offset against our derivative instruments on the Consolidated Condensed Balance Sheets. |
| | (2) | At September 30, 2017, current and long-term derivative assets are shown net of collateral of $(4) million and $(8) million, respectively, and current and long-term derivative liabilities are shown net of collateral of $43 million and $51 million, respectively. |
| | (3) | At December 31, 2016, current and long-term derivative assets are shown net of collateral of $(29) million and $(3) million, respectively, and current and long-term derivative liabilities are shown net of collateral of $19 million and $85 million, respectively. |
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| Schedule of Derivative Instruments in Statement of Financial Position, Fair Value |
| | | | | | | | | | | | | | | | | | September 30, 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 | $ | 11 |
| | $ | 43 |
| | $ | 29 |
| | $ | 58 |
| Total derivatives designated as cash flow hedging instruments | $ | 11 |
| | $ | 43 |
| | $ | 29 |
| | $ | 58 |
| | | | | | | | | Derivatives not designated as hedging instruments: | | | | | | | | Commodity instruments | $ | 479 |
| | $ | 173 |
| | $ | 492 |
| | $ | 229 |
| Total derivatives not designated as hedging instruments | $ | 479 |
| | $ | 173 |
| | $ | 492 |
| | $ | 229 |
| Total derivatives | $ | 490 |
| | $ | 216 |
| | $ | 521 |
| | $ | 287 |
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| 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 September 30, | | Nine Months Ended September 30, | | 2017 | | 2016 | | 2017 | | 2016 | Realized gain (loss)(1)(2) | | | | | | | | Commodity derivative instruments | $ | (53 | ) | | $ | 32 |
| | $ | 20 |
| | $ | 213 |
| Total realized gain (loss) | $ | (53 | ) | | $ | 32 |
| | $ | 20 |
| | $ | 213 |
| | | | | | | | | Mark-to-market gain (loss)(3) | | | | | | | | Commodity derivative instruments | $ | 66 |
| | $ | 109 |
| | $ | 39 |
| | $ | (22 | ) | Interest rate hedging instruments | — |
| | — |
| | 1 |
| | 1 |
| Total mark-to-market gain (loss) | $ | 66 |
| | $ | 109 |
| | $ | 40 |
| | $ | (21 | ) | Total activity, net | $ | 13 |
| | $ | 141 |
| | $ | 60 |
| | $ | 192 |
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___________ | | (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. |
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| Schedule of Other Derivatives Not Designated as Hedging Instruments, Statements of Financial Performance and Financial Position, Location |
| | | | | | | | | | | | | | | | | | Three Months Ended September 30, | | Nine Months Ended September 30, | | 2017 | | 2016 | | 2017 | | 2016 | Realized and mark-to-market gain (loss)(1) | | | | | | | | Derivatives contracts included in operating revenues(2)(3) | $ | 60 |
| | $ | 308 |
| | $ | 252 |
| | $ | 240 |
| Derivatives contracts included in fuel and purchased energy expense(2)(3) | (47 | ) | | (167 | ) | | (193 | ) | | (49 | ) | Interest rate hedging instruments included in interest expense(4) | — |
| | — |
| | 1 |
| | 1 |
| Total activity, net | $ | 13 |
| | $ | 141 |
| | $ | 60 |
| | $ | 192 |
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___________ | | (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. |
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| 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 September 30, | | Three Months Ended September 30, | | 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) | $ | 7 |
| | $ | 18 |
| | $ | (10 | ) | | $ | (11 | ) | | Interest expense | Interest rate hedging instruments(1)(2) | 1 |
| | — |
| | (1 | ) | | — |
| | Depreciation expense | Total | $ | 8 |
| | $ | 18 |
| | $ | (11 | ) | | $ | (11 | ) | | |
| | | | | | | | | | | | | | | | | | | | Nine Months Ended September 30, | | Nine Months Ended September 30, | | 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) | $ | (12 | ) | | $ | — |
| | $ | (32 | ) | | $ | (33 | ) | | Interest expense | Interest rate hedging instruments(1)(2) | 5 |
| | — |
| | (5 | ) | | — |
| | Depreciation expense | Total | $ | (7 | ) | | $ | — |
| | $ | (37 | ) | | $ | (33 | ) | | |
____________ | | (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 and nine months ended September 30, 2017 and 2016. |
| | (2) | We recorded an income tax expense of $1 million and $3 million for each of the three and nine months ended September 30, 2017 and nil for each of the three and nine months ended September 30, 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 $101 million and $90 million at September 30, 2017 and December 31, 2016, respectively. Cumulative cash flow hedge losses attributable to the noncontrolling interest, net of tax, remaining in AOCI were $7 million and $8 million at September 30, 2017 and December 31, 2016, respectively. |
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