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Assets and Liabilities with Recurring Fair Value Measurements (Tables)
 6 Months Ended
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.