Derivative Instruments and Hedging Activities (Tables)
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9 Months Ended |
Sep. 30, 2015 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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Commodity Price Risk (Non-trading) - Economic Activity - Pre-tax Gains (Losses) Associated with Economic Activity |
The unrealized gains (losses) for economic activity for the periods ended September 30 were as follows. | | | | | | | | | | | | | | | | | | Three Months | | Nine Months | | 2015 | | 2014 | | 2015 | | 2014 | Operating Revenues | | | | | | | | Wholesale energy (a) | $ | (77 | ) | | $ | 299 |
| | $ | (234 | ) | | $ | (581 | ) | Retail energy | (3 | ) | | 2 |
| | (25 | ) | | (20 | ) | Operating Expenses |
| |
| |
| |
| Fuel | (3 | ) | | (9 | ) | | 13 |
| | (3 | ) | Energy purchases (a) | 130 |
| | (217 | ) | | 370 |
| | 402 |
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| | (a) | In the third quarter of 2015, Talen Energy refined an input used in its valuation technique for certain PJM basis curves as observable inputs became available. This change resulted in the recording of a $30 million net unrealized gain, primarily reflected in "Wholesale energy" revenue on the Statement of Income. |
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Commodity Volumes - Volumes of Derivative (Sales) Purchase Contracts |
At September 30, 2015, the net volumes of derivative (sales)/purchase contracts used in support of the various strategies discussed above were as follows.
| | | | | | | | | | | | | | | | | | | | Volumes (a) | Commodity | | Unit of Measure | | 2015 (b) | | 2016 | | 2017 | | Thereafter | Power | | MWh | | (13,407,010 | ) | | (29,872,806 | ) | | (1,202,348 | ) | | (795,983 | ) | Capacity | | MW-Month | | (538 | ) | | (878 | ) | | 6 |
| | 3 |
| Gas | | MMBtu | | 61,373,321 |
| | 98,156,219 |
| | 15,586,507 |
| | 19,636,898 |
| FTRs | | MW-Month | | 2,023 |
| | 2,889 |
| | — |
| | — |
| Oil | | Barrels | | 29,795 |
| | 60,000 |
| | — |
| | — |
| CRRs | | MWh | | 475,320 |
| | 1,393,430 |
| | 538,584 |
| | — |
| Emission Allowances | | Tons | | 2,253,123 |
| | — |
| | — |
| | — |
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| | (a) | Volumes for option contracts factor in the probability of an option being exercised and may be less than the notional amount of the option. |
| | (b) | Represents balance of the current year. |
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Fair Value and Balance Sheet Location of Derivative Instruments |
The following table presents the fair value and location of commodity derivative instruments not designated as hedging instruments recorded on the Balance Sheets. | | | | | | | | | | | | | | | | | | | | September 30, 2015 | | December 31, 2014 | | | Assets | | Liabilities | | Assets | | Liabilities | Current: | | | | | | | | | Price Risk Management Assets/Liabilities: | | $ | 576 |
| | $ | 506 |
| | $ | 1,079 |
| | $ | 1,024 |
| Noncurrent: | | | | | | | | | Price Risk Management Assets/Liabilities: | | 226 |
| | 178 |
| | 239 |
| | 193 |
| Total derivatives | | $ | 802 |
| | $ | 684 |
| | $ | 1,318 |
| | $ | 1,217 |
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Pre-tax Gain (Loss) on Derivative Instruments Recognized in Income or on the Balance Sheet |
The following tables present the pre-tax effect of derivative instruments recognized in income for the periods ended September 30, 2015. | | | | | | | | | | | | | | | | Gain (Loss) Reclassified from AOCI into Income (Effective Portion) | Derivative Relationships | | Location of Gain (Loss) Recognized in Income on Derivative | | Three Months | | Nine Months | Cash Flow Hedges: | | | | | | | Commodity contracts | | Wholesale energy | | $ | (3 | ) | | $ | (3 | ) | | | Energy purchases | | 9 |
| | 25 |
| | | Depreciation | | — |
| | 1 |
| Total | | | | $ | 6 |
| | $ | 23 |
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| | | | | | | | | | | | Derivatives Not Designated as Hedging Instruments | | Location of Gain (Loss) Recognized in Income on Derivative | | Three Months | | Nine Months | Commodity contracts | | Wholesale energy | | $ | 298 |
| | $ | 328 |
| | | Retail energy | | 15 |
| | (16 | ) | | | Fuel | | (6 | ) | | (5 | ) | | | Energy purchases | | (183 | ) | | (169 | ) | | | Total | | $ | 124 |
| | $ | 138 |
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The following tables present the pre-tax effect of derivative instruments recognized in income for the periods ended September 30, 2014. | | | | | | | | | | | | | | | | Gain (Loss) Reclassified from AOCI into Income (Effective Portion) | Derivative Relationships | | Location of Gain (Loss) Recognized in Income on Derivative | | Three Months | | Nine Months | Cash Flow Hedges: | | | | | | | Commodity contracts | | Wholesale energy | | $ | (2 | ) | | $ | (1 | ) | | | Energy purchases | | 8 |
| | 23 |
| | | Depreciation | | — |
| | 1 |
| | | Discontinued operations | | 1 |
| | 6 |
| Total | | | | $ | 7 |
| | $ | 29 |
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| | | | | | | | | | | | Derivatives Not Designated as Hedging Instruments | | Location of Gain (Loss) Recognized in Income on Derivative | | Three Months | | Nine Months | Commodity contracts | | Wholesale energy (a) | | $ | 617 |
| | $ | (2,520 | ) | | | Retail energy | | 18 |
| | (34 | ) | | | Fuel | | (8 | ) | | (1 | ) | | | Energy purchases (b) | | (505 | ) | | 1,937 |
| | | Discontinued operations | | 2 |
| | 4 |
| | | Total | | $ | 124 |
| | $ | (614 | ) |
| | (a) | The nine month period ended September 30, 2014 includes significant realized and unrealized losses on physical and financial commodity sales contracts due to unusual market and weather volatility. |
| | (b) | The nine month period ended September 30, 2014 includes significant realized and unrealized gains on physical and financial commodity purchase contracts due to unusual market and weather volatility. |
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Derivative Positions Eligible for Offset with Related Cash Collateral |
The table below summarizes the energy commodities derivative positions presented in the balance sheets where a right of setoff exists under these arrangements and related cash collateral received or pledged. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Assets | | Liabilities | | | | | | | Eligible for Offset | | | | | | Eligible for Offset | | | | | | | Gross | | Derivative Instruments | | Cash Collateral Received | | Net | | Gross | | Derivative Instruments | | Cash Collateral Pledged | | Net | September 30, 2015 | | $ | 802 |
| | $ | 567 |
| | $ | 81 |
| | $ | 154 |
| | $ | 684 |
| | $ | 567 |
| | $ | 16 |
| | $ | 101 |
| | | | | | | | | | | | | | | | | | | | December 31, 2014 | | $ | 1,318 |
| | $ | 1,060 |
| | $ | 10 |
| | $ | 248 |
| | $ | 1,217 |
| | $ | 1,060 |
| | $ | 58 |
| | $ | 99 |
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Derivative Positions Eligible for Offset with Related Cash Collateral |
The table below summarizes the energy commodities derivative positions presented in the balance sheets where a right of setoff exists under these arrangements and related cash collateral received or pledged. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Assets | | Liabilities | | | | | | | Eligible for Offset | | | | | | Eligible for Offset | | | | | | | Gross | | Derivative Instruments | | Cash Collateral Received | | Net | | Gross | | Derivative Instruments | | Cash Collateral Pledged | | Net | September 30, 2015 | | $ | 802 |
| | $ | 567 |
| | $ | 81 |
| | $ | 154 |
| | $ | 684 |
| | $ | 567 |
| | $ | 16 |
| | $ | 101 |
| | | | | | | | | | | | | | | | | | | | December 31, 2014 | | $ | 1,318 |
| | $ | 1,060 |
| | $ | 10 |
| | $ | 248 |
| | $ | 1,217 |
| | $ | 1,060 |
| | $ | 58 |
| | $ | 99 |
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