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Fair Value of Financial Instruments and Fair Value Measurements (Tables)
 3 Months Ended
Mar. 31, 2020
Fair Value Disclosures [Abstract]  
Schedule of Fair Value Measurements
The financial instruments measured at fair value as of March 31, 2020 and December 31, 2019, respectively, consisted of:
As of March 31, 2020
 
Level 1
 
Level 2
 
Level 3
 
Netting
 
Total
(Millions)
 
 
 
 
 
 
 
 
 
 
Equity investments with readily determinable fair values
 
$
37

 
$
11

 
$
—

 
$
—

 
$
48

Derivative assets
 
 
 
 
 
 
 
 
 
 
Derivative financial instruments - power
 
2

 
42

 
125

 
(63
)
 
106

Derivative financial instruments - gas
 
1

 
33

 
32

 
(65
)
 
1

Contracts for differences
 
—

 
—

 
2

 
—

 
2

Total
 
3

 
75

 
159

 
(128
)
 
109

Derivative liabilities
 
 
 
 
 
 
 
 
 
 
Derivative financial instruments - power
 
(37
)
 
(28
)
 
(39
)
 
98

 
(6
)
Derivative financial instruments - gas
 
—

 
(22
)
 
(6
)
 
28

 
—

Contracts for differences
 
—

 
—

 
(97
)
 
—

 
(97
)
Derivative financial instruments – other
 
—

 
(39
)
 
(2
)
 
—

 
(41
)
Total
 
$
(37
)
 
$
(89
)
 
$
(144
)
 
$
126

 
$
(144
)
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
)
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 months ended March 31, 2020 and 2019, respectively, is as follows:
 
 
Three Months Ended March 31,
(Millions)
 
2020
 
2019
Fair Value Beginning of Period,
 
$
25

 
$
(15
)
Gains recognized in operating revenues
 
13

 
25

(Losses) recognized in operating revenues
 
(10
)
 
(13
)
Total gains recognized in operating revenues
 
3

 
12

Gains recognized in OCI
 
1

 
1

(Losses) recognized in OCI
 
(5
)
 
(15
)
Total gains recognized in OCI
 
(4
)
 
(14
)
Net change recognized in regulatory assets and liabilities
 
(3
)
 
(2
)
Purchases
 
—

 
—

Settlements
 
(6
)
 
(3
)
Fair Value as of March 31,
 
$
15

 
$
(22
)
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
 
$
3

 
$
12


Additional quantitative information about Level 3 fair value measurements of the CfDs is as follows:
 
 
Range at
Unobservable Input
 
March 31, 2020
Risk of non-performance
 
1.13% - 1.68%
Discount rate
 
0.37% - 0.55%
Forward pricing ($ per KW-month)
 
$2.00 - $7.03
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 March 31, 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)
 
$
2.84

 
$
4.90

 
$
1.60

 
 
 
 
 
 
 
 
Indiana hub ($/MWh)
 
$
30.15

 
$
61.12

 
$
16.79

 
 
 
 
 
 
 
 
Mid C ($/MWh)
 
$
24.68

 
$
105.00

 
$
(0.50
)
 
 
 
 
 
 
 
 
Minn hub ($/MWh)
 
$
24.72

 
$
52.17

 
$
12.48

 
 
 
 
 
 
 
 
NoIL hub ($/MWh)
 
$
26.93

 
$
55.39

 
$
12.98

 
 
 
 
 
 
 
 
Ercot S hub ($/MWh)
 
$
31.20

 
$
248.39

 
$
11.41