Fair Value of Financial Instruments and Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2020

Fair Value Disclosures [Abstract]

Schedule of Fair Value Measurements

The financial instruments measured at fair value as of September 30, 2020 and December 31, 2019, respectively, consisted of:

As of September 30, 2020	Level 1		Level 2		Level 3		Netting		Total
(Millions)
Equity investments with readily determinable fair values	$	41	$	12	$	—	$	—	$	53
Derivative assets
Derivative financial instruments - power	$	8	$	19	$	118	$	(67)	$	78
Derivative financial instruments - gas	4		26		29		(37)		22
Contracts for differences	—		—		2		—		2
Derivative financial instruments – other	—		2		—		—		2
Total	$	12	$	47	$	149	$	(104)	$	104
Derivative liabilities
Derivative financial instruments - power	$	(17)	$	(31)	$	(34)	$	77	$	(5)
Derivative financial instruments - gas	—		(5)		(4)		8		(1)
Contracts for differences	—		—		(92)		—		(92)
Derivative financial instruments – other	—		—		(2)		—		(2)
Total	$	(17)	$	(36)	$	(132)	$	85	$	(100)

As of December 31, 2019	Level 1		Level 2		Level 3		Netting		Total
(Millions)
Equity investments with readily determinable fair values	$	38	$	13	$	—	$	—	$	51
Derivative assets
Derivative financial instruments - power	$	4	$	23	$	120	$	(54)	$	93
Derivative financial instruments - gas	—		40		31		(71)		—
Contracts for differences	—		—		2		—		2
Total	$	4	$	63	$	153	$	(125)	$	95
Derivative liabilities
Derivative financial instruments - power	$	(28)	$	(43)	$	(29)	$	92	$	(8)
Derivative financial instruments - gas	(4)		(26)		(5)		33		(2)
Contracts for differences	—		—		(94)		—		(94)
Derivative financial instruments - other	—		(1)		—		—		(1)
Total	$	(32)	$	(70)	$	(128)	$	125	$	(105)

Schedule of Fair Value, Financial instrument Based on Level 3 Reconciliation

The reconciliation of changes in the fair value of financial instruments based on Level 3 inputs for the three and nine months ended September 30, 2020 and 2019, respectively, is as follows:

	Three Months Ended September 30,				Nine Months Ended September 30,
(Millions)	2020		2019		2020		2019
Fair Value Beginning of Period,	$	16	$	(32)	$	25	$	(15)
Gains recognized in operating revenues	2		38		10		42
(Losses) recognized in operating revenues	—		(22)		(4)		(5)
Total gains recognized in operating revenues	2		16		6		37
Gains recognized in OCI	—		12		2		—
(Losses) recognized in OCI	(1)		—		(7)		(2)
Total gains (losses) recognized in OCI	(1)		12		(5)		(2)
Net change recognized in regulatory assets and liabilities	3		1		2		2
Purchases	(1)		—		—		(23)
Settlements	(1)		10		(9)		8
Transfers out of Level 3 (a)	(1)		—		(2)		—
Fair Value as of September 30,	$	17	$	7	$	17	$	7
Gains for the period included in operating revenues attributable to the change in unrealized gains relating to financial instruments still held at the reporting date	$	2	$	16	$	6	$	37

(a) Transfers out of Level 3 were the result of increased observability of market data.

Additional quantitative information about Level 3 fair value measurements of the CfDs is as follows:

	Range at
Unobservable Input	September 30, 2020
Risk of non-performance	0.59% - 0.64%
Discount rate	0.29% - 0.49%
Forward pricing ($ per KW-month)	$2.00 - $5.30

Schedule of Fair Value, Assets and Liabilities Level 3 Measurement, Valuation Techniques

The table below illustrates the significant sources of unobservable inputs used in the fair value measurement of our Level 3 derivatives and the variability in prices for those transactions classified as Level 3 derivatives.

As of September 30, 2020
Instruments	Instrument Description	Valuation Technique	Valuation Inputs	Index	Avg.		Max.		Min.
Fixed price power and gas swaps with delivery period > two years	Transactions with delivery periods exceeding two years	Transactions are valued against forward market prices on a discounted basis	Observable and extrapolated forward gas and power prices not all of which can be corroborated by market data for identical or similar products	NYMEX ($/MMBtu)	$	2.51	$	3.45	$	1.48
				AECO ($/MMBtu)	$	1.43	$	3.23	$	(0.17)
				Ameren ($/MWh)	$	26.03	$	40.53	$	14.73
				COB ($/MWh)	$	33.12	$	95.00	$	8.20
				ComEd ($/MWh)	$	24.01	$	39.26	$	12.65
				ERCOT N hub ($/MWh)	$	32.30	$	196.95	$	11.25
				ERCOT S hub ($/MWh)	$	32.66	$	203.37	$	11.41
				Indiana hub ($/MWh)	$	28.16	$	43.58	$	16.36
				Mid C ($/MWh)	$	29.58	$	95.00	$	4.00
				Minn hub ($/MWh)	$	22.75	$	37.78	$	11.52
				NoIL hub ($/MWh)	$	23.92	$	39.01	$	12.70
				PJM W hub ($/MWh)	$	28.41	$	59.53	$	14.28