v3.19.3.a.u2

Assets and Liabilities with Recurring Fair Value Measurements (Tables) | 12 Months Ended
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Dec. 31, 2019
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, 2019 and 2018, by level within the fair value hierarchy:
| Assets and Liabilities with Recurring Fair Value Measures as of December 31, 2019
| Level 1 |  | Level 2 |  | Level 3 |  | Total
| (in millions)
Assets: |  |  |  |  |  |  |
Cash equivalents(1) | $ | 784 |  |  | $ | — |  |  | $ | — |  |  | $ | 784 |
Commodity instruments: |  |  |  |  |  |  |
Commodity exchange traded derivatives contracts | 872 |  |  | — |  |  | — |  |  | 872 |
Commodity forward contracts(2) | — |  |  | 245 |  |  | 294 |  |  | 539 |
Interest rate hedging instruments | — |  |  | 12 |  |  | — |  |  | 12 |
Effect of netting and allocation of collateral(3)(4) | (872 | ) |  | (131 | ) |  | (18 | ) |  | (1,021 | )
Total assets | $ | 784 |  |  | $ | 126 |  |  | $ | 276 |  |  | $ | 1,186 |
Liabilities: |  |  |  |  |  |  |
Commodity instruments: |  |  |  |  |  |  |
Commodity exchange traded derivatives contracts | 984 |  |  | — |  |  | — |  |  | 984 |
Commodity forward contracts(2) | — |  |  | 285 |  |  | 123 |  |  | 408 |
Interest rate hedging instruments | — |  |  | 31 |  |  | — |  |  | 31 |
Effect of netting and allocation of collateral(3)(4) | (984 | ) |  | (133 | ) |  | (18 | ) |  | (1,135 | )
Total liabilities | $ | — |  |  | $ | 183 |  |  | $ | 105 |  |  | $ | 288 |
| 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) | As of December 31, 2019 and 2018, we had cash equivalents of $573 million and $23 million included in cash and cash equivalents and $211 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 10 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 $112 million, $2 million and nil, respectively, at December 31, 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 December 31, 2019 and 2018:
|  | Quantitative Information about Level 3 Fair Value Measurements
|  | December 31, 2019
|  | Fair Value, Net Asset |  |  |  | Significant Unobservable |  |
|  | (Liability) |  | Valuation Technique |  | Input |  | Range
|  | (in millions) |  |  |  |  |  |
Power Contracts(1) |  | $ | 158 |  |  | Discounted cash flow |  | Market price (per MWh) |  | $4.85 — $184.15/MWh
Power Congestion Products |  | $ | 17 |  |  | Discounted cash flow |  | Market price (per MWh) |  | $(10.32)— $20.00/MWh
Natural Gas Contracts |  | $ | (20 | ) |  | Discounted cash flow |  | Market price (per MMBtu) |  | $1.73 — $6.45/MMBtu
|  | Quantitative Information about Level 3 Fair Value Measurements
|  | 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 | 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, 2019, 2018 and 2017 (in millions):
| 2019 |  | 2018 |  | 2017
Balance, beginning of period | $ | (8 | ) |  | $ | 197 |  |  | $ | 416 |
Realized and mark-to-market gains (losses): |  |  |  |  |
Included in net income (loss): |  |  |  |  |
Included in operating revenues(1) | 171 |  |  | (88 | ) |  | 32 |
Included in fuel and purchased energy expense(2) | (21 | ) |  | (45 | ) |  | 50 |
Change in collateral | — |  |  | — |  |  | (17 | )
Purchases, issuances and settlements: |  |  |  |  |
Purchases | 5 |  |  | 18 |  |  | 4 |
Issuances | (3 | ) |  | (2 | ) |  | (1 | )
Settlements | 56 |  |  | (86 | ) |  | (179 | )
Transfers in and/or out of level 3(3): |  |  |  |  |
Transfers into level 3(4) | 1 |  |  | — |  |  | (2 | )
Transfers out of level 3(5) | (30 | ) |  | (2 | ) |  | (106 | )
Balance, end of period | $ | 171 |  |  | $ | (8 | ) |  | $ | 197 |
Change in unrealized gains (losses) relating to instruments still held at end of period | $ | 150 |  |  | $ | (133 | ) |  | $ | 82 |
___________
(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) | 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, 2019, 2018 and 2017.
(4) | We had $1 million in gains, nil and $(2) million in losses transferred out of level 2 into level 3 for the years ended December 31, 2019, 2018 and 2017, respectively.
(5) | We had $30 million, $2 million and $104 million in gains transferred out of level 3 into level 2 during the years ended December 31, 2019, 2018 and 2017, respectively, due to changes in market liquidity in various power markets and $2 million in gains transferred out of level 3 during the years ended December 31, 2017, 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 for certain commodity contracts.

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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 Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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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 Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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