v3.20.2

Assets and Liabilities with Recurring Fair Value Measurements (Tables) | 6 Months Ended
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Jun. 30, 2020
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 June 30, 2020 and December 31, 2019, by level within the fair value hierarchy:
| Assets and Liabilities with Recurring Fair Value Measures as of June 30, 2020
| Level 1 |  | Level 2 |  | Level 3 |  | Total
| (in millions)
Assets: |  |  |  |  |  |  |
Cash equivalents(1) | $ | 417 |  |  | $ | — |  |  | $ | — |  |  | $ | 417 |
Commodity instruments: |  |  |  |  |  |  |
Commodity exchange traded derivatives contracts | 991 |  |  | — |  |  | — |  |  | 991 |
Commodity forward contracts(2) | — |  |  | 424 |  |  | 364 |  |  | 788 |
Interest rate hedging instruments | — |  |  | — |  |  | — |  |  | — |
Effect of netting and allocation of collateral(3)(4) | (991 | ) |  | (299 | ) |  | (40 | ) |  | (1,330 | )
Total assets | $ | 417 |  |  | $ | 125 |  |  | $ | 324 |  |  | $ | 866 |
Liabilities: |  |  |  |  |  |  |
Commodity instruments: |  |  |  |  |  |  |
Commodity exchange traded derivatives contracts | $ | 1,001 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,001 |
Commodity forward contracts(2) | — |  |  | 421 |  |  | 118 |  |  | 539 |
Interest rate hedging instruments | — |  |  | 161 |  |  | — |  |  | 161 |
Effect of netting and allocation of collateral(3)(4) | (1,001 | ) |  | (296 | ) |  | (40 | ) |  | (1,337 | )
Total liabilities | $ | — |  |  | $ | 286 |  |  | $ | 78 |  |  | $ | 364 |
| 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 |
___________
(1) | At June 30, 2020 and December 31, 2019, we had cash equivalents of $190 million and $573 million included in cash and cash equivalents and $227 million and $211 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 6 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 $10 million, $(3) million and nil, respectively, at June 30, 2020. 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.
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 June 30, 2020 and December 31, 2019:
|  | Quantitative Information about Level 3 Fair Value Measurements
|  | June 30, 2020
|  | Fair Value, Net Asset |  |  |  | Significant Unobservable |  |  |  |  |  |  |
|  | (Liability) |  | Valuation Technique |  | Input |  | Range |  | Average(2)
|  | (in millions) |  |  |  |  |  |  |  |  |  |  |
Power Contracts(1) |  | $ | 206 |  |  | Discounted cash flow |  | Market price (per MWh) |  | $ | 3.18 |  | — | $175.51 | /MWh |  | $ | 28.97 |
Power Congestion Products |  | $ | 6 |  |  | Discounted cash flow |  | Market price (per MWh) |  | $ | (6.48 | ) | — | $11.88 | /MWh |  | $ | 1.20 |
Natural Gas Contracts |  | $ | 9 |  |  | Discounted cash flow |  | Market price (per MMBtu) |  | $ | 1.33 |  | — | $4.62 | /MMBtu |  | $ | 2.82 |
|  | 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 | /MWh |  |
Natural Gas Contracts |  | $ | (20 | ) |  | Discounted cash flow |  | Market price (per MMBtu) |  | $ | 1.73 |  | — | $6.45 | /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 June 30, |  | Six Months Ended June 30,
|  | 2020 |  | 2019 |  | 2020 |  | 2019
Balance, beginning of period |  | $ | 249 |  |  | $ | 105 |  |  | $ | 171 |  |  | $ | (8 | )
Realized and mark-to-market gains (losses): |  |  |  |  |  |  |  |
Included in net income: |  |  |  |  |  |  |  |
Included in operating revenues(1) |  | 37 |  |  | 152 |  |  | 106 |  |  | 197 |
Included in fuel and purchased energy expense(2) |  | 3 |  |  | 1 |  |  | (1 | ) |  | 2 |
Change in collateral |  | — |  |  | (1 | ) |  | — |  |  | 1 |
Purchases, Issuances and settlements: |  |  |  |  |  |  |  |
Purchases |  | 1 |  |  | 1 |  |  | 1 |  |  | 3 |
Issuances |  | — |  |  | (1 | ) |  | — |  |  | (1 | )
Settlements |  | (49 | ) |  | (35 | ) |  | (36 | ) |  | 28 |
Transfers in and/or out of level 3: |  |  |  |  |  |  |  |
Transfers into level 3(3) |  | 10 |  |  | 6 |  |  | 11 |  |  | 7 |
Transfers out of level 3(4) |  | (5 | ) |  | (1 | ) |  | (6 | ) |  | (2 | )
Balance, end of period |  | $ | 246 |  |  | $ | 227 |  |  | $ | 246 |  |  | $ | 227 |
Change in unrealized gains (losses) included in net income relating to instruments still held at end of period |  | $ | 40 |  |  | $ | 153 |  |  | $ | 105 |  |  | $ | 199 |
___________
(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 had $10 million and $6 million in gains transferred out of level 2 into level 3 for the three months ended June 30, 2020 and 2019, respectively, and $11 million and $7 million in gains transferred out of level 2 into level 3 for the six months ended June 30, 2020 and 2019, respectively, due to changes in market liquidity in various power markets.
(4) | We had $5 million and $1 million in gains transferred out of level 3 into level 2 for the three months ended June 30, 2020 and 2019, respectively, and $6 million and $2 million in gains transferred out of level 3 into level 2 for the six months ended June 30, 2020 and 2019, respectively, due to changes in market liquidity in various power markets.

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- 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. + 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 (bbb) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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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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