v3.19.3.a.u2

Derivative Instruments (Tables) | 12 Months Ended
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Dec. 31, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of Notional Amounts of Outstanding Derivative Positions | As of December 31, 2019 and 2018, 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 |  |
| 2019 |  | 2018 |  | Unit of Measure
Power (MWh) |  | (184 | ) |  | (161 | ) |  | Million MWh
Natural gas (MMBtu) |  | 1,063 |  |  | 1,045 |  |  | Million MMBtu
Environmental credits (Tonnes) |  | 26 |  |  | 13 |  |  | Million Tonnes
Interest rate hedging instruments |  | $ | 4.8 |  |  | $ | 4.5 |  |  | Billion U.S. dollars
Offsetting Assets | 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 Balance Sheets by location and hedge type at December 31, 2019 and 2018 (in millions):
|  | December 31, 2019
|  | Gross Amounts of Assets and (Liabilities) |  | Gross Amounts Offset on the Consolidated Balance Sheets |  | Net Amount Presented on the Consolidated Balance Sheets(1)
Derivative assets: |  |  |  |  |  |
Commodity exchange traded derivatives contracts |  | $ | 727 |  |  | $ | (727 | ) |  | $ | — |
Commodity forward contracts |  | 262 |  |  | (108 | ) |  | 154 |
Interest rate hedging instruments |  | 2 |  |  | — |  |  | 2 |
Total current derivative assets(2) |  | $ | 991 |  |  | $ | (835 | ) |  | $ | 156 |
Commodity exchange traded derivatives contracts |  | 145 |  |  | (145 | ) |  | — |
Commodity forward contracts |  | 277 |  |  | (41 | ) |  | 236 |
Interest rate hedging instruments |  | 10 |  |  | — |  |  | 10 |
Total long-term derivative assets(2) |  | $ | 432 |  |  | $ | (186 | ) |  | $ | 246 |
Total derivative assets |  | $ | 1,423 |  |  | $ | (1,021 | ) |  | $ | 402 |
Derivative (liabilities): |  |  |  |  |  |
Commodity exchange traded derivatives contracts |  | $ | (830 | ) |  | $ | 830 |  |  | $ | — |
Commodity forward contracts |  | (321 | ) |  | 109 |  |  | (212 | )
Interest rate hedging instruments |  | (13 | ) |  | — |  |  | (13 | )
Total current derivative (liabilities)(2) |  | $ | (1,164 | ) |  | $ | 939 |  |  | $ | (225 | )
Commodity exchange traded derivatives contracts |  | (154 | ) |  | 154 |  |  | — |
Commodity forward contracts |  | (87 | ) |  | 42 |  |  | (45 | )
Interest rate hedging instruments |  | (18 | ) |  | — |  |  | (18 | )
Total long-term derivative (liabilities)(2) |  | $ | (259 | ) |  | $ | 196 |  |  | $ | (63 | )
Total derivative liabilities |  | $ | (1,423 | ) |  | $ | 1,135 |  |  | $ | (288 | )
Net derivative assets (liabilities) |  | $ | — |  |  | $ | 114 |  |  | $ | 114 |
|  | December 31, 2018
|  | Gross Amounts of Assets and (Liabilities) |  | Gross Amounts Offset on the Consolidated Balance Sheets |  | Net Amount Presented on the Consolidated Balance Sheets(1)
Derivative assets: |  |  |  |  |  |
Commodity exchange traded derivatives contracts |  | $ | 820 |  |  | $ | (820 | ) |  | $ | — |
Commodity forward contracts |  | 341 |  |  | (229 | ) |  | 112 |
Interest rate hedging instruments |  | 30 |  |  | — |  |  | 30 |
Total current derivative assets(3) |  | $ | 1,191 |  |  | $ | (1,049 | ) |  | $ | 142 |
Commodity exchange traded derivatives contracts |  | 113 |  |  | (113 | ) |  | — |
Commodity forward contracts |  | 209 |  |  | (59 | ) |  | 150 |
Interest rate hedging instruments |  | 10 |  |  | — |  |  | 10 |
Total long-term derivative assets(3) |  | $ | 332 |  |  | $ | (172 | ) |  | $ | 160 |
Total derivative assets |  | $ | 1,523 |  |  | $ | (1,221 | ) |  | $ | 302 |
Derivative (liabilities): |  |  |  |  |  |
Commodity exchange traded derivatives contracts |  | $ | (764 | ) |  | $ | 764 |  |  | $ | — |
Commodity forward contracts |  | (576 | ) |  | 277 |  |  | (299 | )
Interest rate hedging instruments |  | (4 | ) |  | — |  |  | (4 | )
Total current derivative (liabilities)(3) |  | $ | (1,344 | ) |  | $ | 1,041 |  |  | $ | (303 | )
Commodity exchange traded derivatives contracts |  | (168 | ) |  | 168 |  |  | — |
Commodity forward contracts |  | (193 | ) |  | 59 |  |  | (134 | )
Interest rate hedging instruments |  | (6 | ) |  | — |  |  | (6 | )
Total long-term derivative (liabilities)(3) |  | $ | (367 | ) |  | $ | 227 |  |  | $ | (140 | )
Total derivative liabilities |  | $ | (1,711 | ) |  | $ | 1,268 |  |  | $ | (443 | )
Net derivative assets (liabilities) |  | $ | (188 | ) |  | $ | 47 |  |  | $ | (141 | )
____________
(1) | At December 31, 2019 and 2018, we had $191 million and $244 million of collateral under master netting arrangements that were not offset against our derivative instruments on the Consolidated Balance Sheets primarily related to initial margin requirements.
(2) | At December 31, 2019, current and long-term derivative assets are shown net of collateral of $(4) million and $(4) million, respectively, and current and long-term derivative liabilities are shown net of collateral of $108 million and $14 million, respectively.
(3) | At December 31, 2018, current and long-term derivative assets are shown net of collateral of $(58) million and $(8) million, respectively, and current and long-term derivative liabilities are shown net of collateral of $49 million and $64 million, respectively.
Derivative Instrument by Accounting Designation |
| December 31, 2019 |  | December 31, 2018
| 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 | $ | 12 |  |  | $ | 29 |  |  | $ | 40 |  |  | $ | 10 |
Total derivatives designated as cash flow hedging instruments | $ | 12 |  |  | $ | 29 |  |  | $ | 40 |  |  | $ | 10 |
Derivatives not designated as hedging instruments: |  |  |  |  |  |  |
Commodity instruments | $ | 390 |  |  | $ | 257 |  |  | $ | 262 |  |  | $ | 433 |
Interest rate hedging instruments | — |  |  | 2 |  |  | — |  |  | — |
Total derivatives not designated as hedging instruments | $ | 390 |  |  | $ | 259 |  |  | $ | 262 |  |  | $ | 433 |
Total derivatives | $ | 402 |  |  | $ | 288 |  |  | $ | 302 |  |  | $ | 443 |
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 Statements of Operations for the years ended December 31, 2019, 2018 and 2017 (in millions):
| 2019 |  | 2018 |  | 2017
Realized gain (loss)(1)(2) |  |  |  |  |
Commodity derivative instruments | $ | 256 |  |  | $ | 193 |  |  | $ | 7 |
Total realized gain | $ | 256 |  |  | $ | 193 |  |  | $ | 7 |
Mark-to-market gain (loss)(3) |  |  |  |  |
Commodity derivative instruments | $ | 278 |  |  | $ | (208 | ) |  | $ | (171 | )
Interest rate hedging instruments | (3 | ) |  | 3 |  |  | 2 |
Total mark-to-market gain (loss) | $ | 275 |  |  | $ | (205 | ) |  | $ | (169 | )
Total activity, net | $ | 531 |  |  | $ | (12 | ) |  | $ | (162 | )
___________
(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 and Calpine Solutions.
(3) | 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.
Derivatives Not Designated as Hedging Instruments [Table Text Block] |
| 2019 |  | 2018 |  | 2017
Realized and mark-to-market gain (loss)(1) |  |  |  |  |
Derivatives contracts included in operating revenues(2)(3) | $ | 816 |  |  | $ | (369 | ) |  | $ | (69 | )
Derivatives contracts included in fuel and purchased energy expense(2)(3) | (282 | ) |  | 354 |  |  | (95 | )
Interest rate hedging instruments included in interest expense | (3 | ) |  | 3 |  |  | 2 |
Total activity, net | $ | 531 |  |  | $ | (12 | ) |  | $ | (162 | )
___________
(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 and Calpine Solutions
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 years ended December 31, 2019, 2018 and 2017 (in millions):
| Gain (Loss) Recognized in OCI (Effective Portion) |  | Gain (Loss) Reclassified from AOCI into Income (Effective Portion)(3)(4)
| 2019 |  | 2018 |  | 2017 |  | 2019 |  | 2018 |  | 2017 |  | Affected Line Item on the Consolidated Statements of Operations
Interest rate hedging instruments(1)(2) | $ | (41 | ) |  | $ | 45 |  |  | $ | 21 |  |  | $ | (1 | ) |  | $ | (5 | ) |  | $ | (43 | ) |  | Interest expense
Interest rate hedging instruments(1)(2) | 1 |  |  | 1 |  |  | 5 |  |  | (1 | ) |  | (1 | ) |  | (5 | ) |  | Depreciation expense
Total | $ | (40 | ) |  | $ | 46 |  |  | $ | 26 |  |  | $ | (2 | ) |  | $ | (6 | ) |  | $ | (48 | ) |  |
____________
(1) | We recorded a gain of $1 million on hedge ineffectiveness related to our interest rate hedging instruments designated as cash flow hedges during the years ended December 31, 2018 and 2017. Upon the adoption of Accounting Standards Update 2017-12 on January 1, 2019, hedge ineffectiveness is no longer separately measured and recorded in earnings.
(2) | We recorded an income tax benefit of $2 million and income tax expense of $5 million and $6 million for the years ended December 31, 2019, 2018 and 2017, respectively, 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 $72 million, $34 million and $72 million at December 31, 2019, 2018 and 2017, respectively. Cumulative cash flow hedge losses attributable to the noncontrolling interest, net of tax, remaining in AOCI were $3 million, $3 million and $6 million at December 31, 2019, 2018 and 2017, respectively.
(4) | Includes losses of $2 million, $1 million and nil that were reclassified from AOCI to interest expense for the years ended December 31, 2019, 2018 and 2017, respectively, where the hedged transactions became probable of not occurring.

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