v3.19.3

Assets and Liabilities with Recurring Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2019

Fair Value Disclosures [Abstract]

Fair Value, Measurement Inputs, Disclosure

The following tables present our assets and liabilities that were accounted for at fair value on a recurring basis as of September 30, 2019 and December 31, 2018, by level within the fair value hierarchy:

	Assets and Liabilities with Recurring Fair Value Measures as of September 30, 2019
	Level 1				Level 2				Level 3				Total
	(in millions)
Assets:
Cash equivalents(1)	$	359			$	—			$	—			$	359
Commodity instruments:
Commodity exchange traded derivatives contracts	679				—				—				679
Commodity forward contracts(2)	—				343				318				661
Interest rate hedging instruments	—				6				—				6
Effect of netting and allocation of collateral(3)(4)	(679		)		(257		)		(23		)		(959		)
Total assets	$	359			$	92			$	295			$	746
Liabilities:
Commodity instruments:
Commodity exchange traded derivatives contracts	$	767			$	—			$	—			$	767
Commodity forward contracts(2)	—				415				111				526
Interest rate hedging instruments	—				38				—				38
Effect of netting and allocation of collateral(3)(4)	(767		)		(259		)		(23		)		(1,049		)
Total liabilities	$	—			$	194			$	88			$	282

	Assets and Liabilities with Recurring Fair Value Measures as of December 31, 2018
	Level 1				Level 2				Level 3				Total
	(in millions)
Assets:
Cash equivalents(1)	$	168			$	—			$	—			$	168
Commodity instruments:
Commodity exchange traded derivatives contracts	933				—				—				933
Commodity forward contracts(2)	—				338				212				550
Interest rate hedging instruments	—				40				—				40
Effect of netting and allocation of collateral(3)(4)	(933		)		(262		)		(26		)		(1,221		)
Total assets	$	168			$	116			$	186			$	470
Liabilities:
Commodity instruments:
Commodity exchange traded derivatives contracts	$	932			$	—			$	—			$	932
Commodity forward contracts(2)	—				549				220				769
Interest rate hedging instruments	—				10				—				10
Effect of netting and allocation of collateral(3)(4)	(932		)		(310		)		(26		)		(1,268		)
Total liabilities	$	—			$	249			$	194			$	443

___________

(1) At September 30, 2019 and December 31, 2018, we had cash equivalents of $187 million and $23 million included in cash and cash equivalents and $172 million and $145 million included in restricted cash, respectively.

(2) Includes OTC swaps and options.

(3) We offset fair value amounts recognized for derivative instruments executed with the same counterparty under a master netting arrangement for financial statement presentation; therefore, amounts recognized for the right to reclaim, or the obligation to return, cash collateral are presented net with the corresponding derivative instrument fair values. See Note 8 for further discussion of our derivative instruments subject to master netting arrangements.

(4) Cash collateral posted with (received from) counterparties allocated to level 1, level 2 and level 3 derivative instruments totaled $88 million, $2 million and nil, respectively, at September 30, 2019. Cash collateral posted with (received from) counterparties allocated to level 1, level 2 and level 3 derivative instruments totaled $(1) million, $48 million and nil, respectively, at December 31, 2018.

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 September 30, 2019 and December 31, 2018:

		Quantitative Information about Level 3 Fair Value Measurements
		September 30, 2019
		Fair Value, Net Asset						Significant Unobservable
		(Liability)				Valuation Technique		Input		Range
		(in millions)
Power Contracts(1)		$	165			Discounted cash flow		Market price (per MWh)		$	3.68		—	$182.70	/MWh
Power Congestion Products		$	13			Discounted cash flow		Market price (per MWh)		$	(13.19	)	—	$12.51	/MWh
Natural Gas Contracts		$	10			Discounted cash flow		Market price (per MMBtu)		$	1.72		—	$6.34	/MMBtu
		December 31, 2018
		Fair Value, Net Asset						Significant Unobservable
		(Liability)				Valuation Technique		Input		Range
		(in millions)
Power Contracts(1)		$	36			Discounted cash flow		Market price (per MWh)		$	2.12		—	$227.98	/MWh
Power Congestion Products		$	26			Discounted cash flow		Market price (per MWh)		$	(11.71	)	—	$11.88	/MWh
Natural Gas Contracts		$	(73	)		Discounted cash flow		Market price (per MMBtu)		$	0.75		—	$8.87	/MMBtu

___________

(1) Power contracts include power and heat rate instruments classified as level 3 in the fair value hierarchy.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]

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 periods indicated (in millions):

		Three Months Ended September 30,								Nine Months Ended September 30,
		2019				2018				2019				2018
Balance, beginning of period		$	227			$	131			$	(8	)		$	197
Realized and mark-to-market gains (losses):
Included in net income:
Included in operating revenues(1)		20				(99		)		151				(84		)
Included in fuel and purchased energy expense(2)		—				18				2				27
Change in collateral		(1		)		—				—				—
Purchases, Issuances and settlements:
Purchases		—				4				3				12
Issuances		—				—				(1		)		—
Settlements		(23		)		37				68				(56		)
Transfers in and/or out of level 3(3):
Transfers into level 3(4)		7				(1		)		10				—
Transfers out of level 3(5)		(23		)		(2		)		(18		)		(8		)
Balance, end of period		$	207			$	88			$	207			$	88
Change in unrealized gains (losses) relating to instruments still held at end of period		$	20			$	(81	)		$	153			$	(57	)

___________

(1) For power contracts and other power-related products, included on our Consolidated Condensed Statements of Operations.

(2) For natural gas and power contracts, swaps and options, included on our Consolidated Condensed Statements of Operations.

(3) 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 for each of the three and nine months ended September 30, 2019 and 2018.

(4) We had $7 million in gains and $(1) million in losses transferred out of level 2 into level 3 for the three months ended September 30, 2019 and 2018, respectively, and $10 million in gains and nil transferred out of level 2 into level 3 for the nine months ended September 30, 2019 and 2018, respectively, due to changes in market liquidity in various power markets.

(5) We had $23 million and $2 million in gains transferred out of level 3 into level 2 for the three months ended September 30, 2019 and 2018, respectively, and $18 million and $8 million in gains transferred out of level 3 into level 2 for the nine months ended September 30, 2019 and 2018, respectively, due to changes in market liquidity in various power markets.

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

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-Section 50
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- Definition

Tabular disclosure of assets, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

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-Publisher FASB
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- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
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