Derivative Instruments (Tables)
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6 Months Ended |
Jun. 30, 2020 |
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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 June 30, 2020 and December 31, 2019, 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: | | | | | | | | | | | | Derivative Instruments | | Notional Amounts | | | | June 30, 2020 | | December 31, 2019 | | Unit of Measure | Power | | (242 | ) | | (184 | ) | | Million MWh | Natural gas | | 1,165 |
| | 1,063 |
| | Million MMBtu | Environmental credits | | 36 |
| | 26 |
| | Million Tonnes | Interest rate hedging instruments(1) | | $ | 7.0 |
| | $ | 4.8 |
| | Billion U.S. dollars |
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| Derivative Instruments Subject to Master Netting Arrangements |
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 June 30, 2020 and December 31, 2019 (in millions): | | | | | | | | | | | | | | | | June 30, 2020 | | | Gross Amounts of Assets and (Liabilities) | | Gross Amounts Offset on the Consolidated Condensed Balance Sheets | | Net Amount Presented on the Consolidated Condensed Balance Sheets(1) | Derivative assets: | | | | | | | Commodity exchange traded derivatives contracts | | $ | 758 |
| | $ | (758 | ) | | $ | — |
| Commodity forward contracts | | 440 |
| | (241 | ) | | 199 |
| Interest rate hedging instruments | | — |
| | — |
| | — |
| Total current derivative assets(2) | | $ | 1,198 |
| | $ | (999 | ) | | $ | 199 |
| Commodity exchange traded derivatives contracts | | 233 |
| | (233 | ) | | — |
| Commodity forward contracts | | 348 |
| | (98 | ) | | 250 |
| Interest rate hedging instruments | | — |
| | — |
| | — |
| Total long-term derivative assets(2) | | $ | 581 |
| | $ | (331 | ) | | $ | 250 |
| Total derivative assets | | $ | 1,779 |
| | $ | (1,330 | ) | | $ | 449 |
| | | | | | | | Derivative (liabilities): | | | | | | | Commodity exchange traded derivatives contracts | | $ | (733 | ) | | $ | 733 |
| | $ | — |
| Commodity forward contracts | | (357 | ) | | 238 |
| | (119 | ) | Interest rate hedging instruments | | (49 | ) | | — |
| | (49 | ) | Total current derivative (liabilities)(2) | | $ | (1,139 | ) | | $ | 971 |
| | $ | (168 | ) | Commodity exchange traded derivatives contracts | | (268 | ) | | 268 |
| | — |
| Commodity forward contracts | | (182 | ) | | 98 |
| | (84 | ) | Interest rate hedging instruments | | (112 | ) | | — |
| | (112 | ) | Total long-term derivative (liabilities)(2) | | $ | (562 | ) | | $ | 366 |
| | $ | (196 | ) | Total derivative liabilities | | $ | (1,701 | ) | | $ | 1,337 |
| | $ | (364 | ) | Net derivative assets (liabilities) | | $ | 78 |
| | $ | 7 |
| | $ | 85 |
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| | | | | | | | | | | | | | | | December 31, 2019 | | | Gross Amounts of Assets and (Liabilities) | | Gross Amounts Offset on the Consolidated Condensed Balance Sheets | | Net Amount Presented on the Consolidated Condensed 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(3) | | $ | 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(3) | | $ | 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)(3) | | $ | (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)(3) | | $ | (259 | ) | | $ | 196 |
| | $ | (63 | ) | Total derivative liabilities | | $ | (1,423 | ) | | $ | 1,135 |
| | $ | (288 | ) | Net derivative assets (liabilities) | | $ | — |
| | $ | 114 |
| | $ | 114 |
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____________ | | (1) | At June 30, 2020 and December 31, 2019, we had $260 million and $191 million, respectively, of collateral under master netting arrangements that were not offset against our derivative instruments on the Consolidated Condensed Balance Sheets primarily related to initial margin requirements. |
| | (2) | At June 30, 2020, current and long-term derivative assets are shown net of collateral of $(28) million and $(9) million, respectively, and current and long-term derivative liabilities are shown net of collateral of $1 million and $43 million, respectively. |
| | (3) | 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. |
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| Schedule of Derivative Instruments in Statement of Financial Position, Fair Value |
| | | | | | | | | | | | | | | | | | June 30, 2020 | | December 31, 2019 | | 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 | $ | — |
| | $ | 119 |
| | $ | 12 |
| | $ | 29 |
| Total derivatives designated as cash flow hedging instruments | $ | — |
| | $ | 119 |
| | $ | 12 |
| | $ | 29 |
| | | | | | | | | Derivatives not designated as hedging instruments: | | | | | | | | Commodity instruments | $ | 449 |
| | $ | 203 |
| | $ | 390 |
| | $ | 257 |
| Interest rate hedging instruments | — |
| | 42 |
| | — |
| | 2 |
| Total derivatives not designated as hedging instruments | $ | 449 |
| | $ | 245 |
| | $ | 390 |
| | $ | 259 |
| Total derivatives | $ | 449 |
| | $ | 364 |
| | $ | 402 |
| | $ | 288 |
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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 June 30, | | Six Months Ended June 30, | | 2020 | | 2019 | | 2020 | | 2019 | Realized gain (loss)(1)(2) | | | | | | | | Commodity derivative instruments | $ | 36 |
| | $ | 58 |
| | $ | 33 |
| | $ | 169 |
| Interest rate hedging instruments(3) | $ | (18 | ) | | $ | — |
| | $ | (18 | ) | | $ | — |
| Total realized gain (loss) | $ | 18 |
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| $ | 58 |
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| $ | 15 |
| | $ | 169 |
| | | | | | | | | Mark-to-market gain (loss)(4) | | | | | | | | Commodity derivative instruments | $ | 35 |
| | $ | 187 |
| | $ | 236 |
| | $ | 233 |
| Interest rate hedging instruments | (14 | ) | | (1 | ) | | (38 | ) | | (2 | ) | Total mark-to-market gain (loss) | $ | 21 |
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| $ | 186 |
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| $ | 198 |
| | $ | 231 |
| Total activity, net | $ | 39 |
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| $ | 244 |
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| $ | 213 |
| | $ | 400 |
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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 and Calpine Solutions. |
| | (3) | Includes costs associated with the termination of de-designated interest rate hedging instruments recorded to interest expense related to our Steamboat project debt that was repaid in June 2020. |
| | (4) | 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. |
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| Schedule of Other Derivatives Not Designated as Hedging Instruments, Statements of Financial Performance and Financial Position, Location |
| | | | | | | | | | | | | | | | | | Three Months Ended June 30, | | Six Months Ended June 30, | | 2020 | | 2019 | | 2020 | | 2019 | Realized and mark-to-market gain (loss)(1) | | | | | | | | Derivatives contracts included in operating revenues(2)(3) | $ | 34 |
| | $ | 541 |
| | $ | 541 |
| | $ | 578 |
| Derivatives contracts included in fuel and purchased energy expense(2)(3) | 37 |
| | (296 | ) | | (272 | ) | | (176 | ) | Interest rate hedging instruments included in interest expense(4) | (32 | ) | | (1 | ) | | (56 | ) | | (2 | ) | Total activity, net | $ | 39 |
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| $ | 244 |
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| $ | 213 |
| | $ | 400 |
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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 and Calpine Solutions. |
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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 June 30, | | Three Months Ended June 30, | | Gain (Loss) Recognized in OCI | | Gain (Loss) Reclassified from AOCI into Income(2)(3) | | 2020 | | 2019 | | 2020 | | 2019 | | Affected Line Item on the Consolidated Condensed Statements of Operations | Interest rate hedging instruments(1) | $ | 3 |
| | $ | (32 | ) | | $ | (25 | ) | | $ | 3 |
| | Interest expense |
| | | | | | | | | | | | | | | | | | | | Six Months Ended June 30, | | Six Months Ended June 30, | | Gain (Loss) Recognized in OCI | | Gain (Loss) Reclassified from AOCI into Income(2)(3) | | 2020 | | 2019 | | 2020 | | 2019 | | Affected Line Item on the Consolidated Condensed Statements of Operations | Interest rate hedging instruments(1) | $ | (101 | ) | | $ | (57 | ) | | $ | (31 | ) | | $ | 5 |
| | Interest expense |
____________ | | (1) | We recorded an income tax expense of $1 million and an income tax (benefit) of $(1) million for the three months ended June 30, 2020 and 2019, respectively, and income tax (benefit) of $(2) million and $(1) million for the six months ended June 30, 2020 and 2019, respectively, in AOCI related to our cash flow hedging activities. |
| | (2) | Cumulative cash flow hedge losses attributable to Calpine, net of tax, remaining in AOCI were $174 million and $72 million at June 30, 2020 and December 31, 2019, respectively. Cumulative cash flow hedge losses attributable to the noncontrolling interest, net of tax, remaining in AOCI were nil and $3 million at June 30, 2020 and December 31, 2019, respectively. |
| | (3) | Includes losses of $16 million and nil that were reclassified from AOCI to interest expense for the three months ended June 30, 2020 and 2019, respectively, and losses of $16 million and $1 million that were reclassified from AOCI to interest expense for the six months ended June 30, 2020 and 2019, respectively,where the hedged transactions became probable of not occurring. |
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