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Derivative Instruments (Tables)
 6 Months Ended
Jun. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
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
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

 
 
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

____________
(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.
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
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


$
58


$
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


$
186


$
198

 
$
231

Total activity, net
$
39


$
244


$
213

 
$
400


___________
(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.
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


$
244


$
213

 
$
400


___________
(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 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.