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Price Risk Management (Notes)
 12 Months Ended
Dec. 31, 2022
Price Risk Management [Abstract]  
Price Risk Management RISK MANAGEMENT
Price Risk Management

PGE participates in the wholesale marketplace to balance its supply of power, which consists of its own generation combined with wholesale market transactions, to meet the needs of its retail customers, manage risk, and administer the Company’s long-term wholesale contracts. Wholesale market transactions include purchases and sales of both power and fuel resulting from economic dispatch decisions with respect to Company-owned generating resources. The Company also performs portfolio management and wholesale market sales services for third parties in the region. As a result of this ongoing business activity, PGE is exposed to commodity price risk and foreign currency exchange rate risk, from which changes in prices and/or rates may affect the Company’s financial position, results of operations, or cash flows.
PGE utilizes derivative instruments to manage its exposure to commodity price risk and foreign exchange rate risk in order to reduce volatility in NVPC for its retail customers. Such derivative instruments, recorded at fair value on the consolidated balance sheets, may include forward, future, swap, and option contracts for electricity, natural gas, and foreign currency, with changes in fair value recorded in the consolidated statements of income. PGE also enters into non-exchange-traded weather contract options, which are accounted for using the intrinsic value method. In accordance with ratemaking and cost recovery processes authorized by the OPUC, the Company recognizes a regulatory asset or liability to defer the gains and losses from derivative activity until settlement of the associated derivative instrument. PGE may designate certain derivative instruments as cash flow hedges or may use derivative instruments as economic hedges. The Company does not intend to engage in trading activities for non-retail purposes.

PGE’s Assets and Liabilities from price risk management activities consist of the following (in millions):
As of December 31,
20222021
Current assets:
Commodity contracts:
Electricity$112 $16 
Natural gas201 86 
Total current derivative assets(1)
313 102 
Noncurrent assets:
Commodity contracts:
Electricity44 1 
Natural gas30 34 
Total noncurrent derivative assets(1)
74 35 
Total derivative assets(2)
$387 $137 
Current liabilities:
Commodity contracts:
Electricity$93 $36 
Natural gas25 11 
Total current derivative liabilities118 47 
Noncurrent liabilities:
Commodity contracts:
Electricity53 87 
Natural gas22 3 
Total noncurrent derivative liabilities75 90 
Total derivative liabilities(2)
$193 $137 
(1)Total current derivative assets is included in Other current assets, and Total noncurrent derivative assets is included in Other noncurrent assets on the consolidated balance sheets.
(2)As of December 31, 2022 and 2021, no commodity derivative assets or liabilities were designated as hedging instruments.
PGE’s net volumes related to its Assets and Liabilities from price risk management activities resulting from its derivative transactions, which are expected to deliver or settle at various dates through 2035, were as follows (in millions):
As of December 31,
20222021
Commodity contracts:
Electricity6 MWh4 MWh
Natural gas211 Dth181 Dth
Foreign currency contracts$10 Canadian$19 Canadian

PGE has elected to report positive and negative exposures resulting from derivative instruments pursuant to agreements that meet the definition of a master netting arrangement at gross values on the consolidated balance sheet. In the case of default on, or termination of, any contract under the master netting arrangements, such agreements provide for the net settlement of all related contractual obligations with a given counterparty through a single payment. These types of transactions may include non-derivative instruments, derivatives qualifying for scope exceptions, receivables and payables arising from settled positions, and other forms of non-cash collateral, such as letters of credit. As of December 31, 2022, gross amounts included as Price risk management liabilities subject to master netting agreements were $5 million, entirely for natural gas, for which PGE has posted no collateral. As of December 31, 2021, gross amounts included as Price risk management liabilities subject to master netting agreements were $3 million, for which PGE has posted no collateral. Of the gross amounts recognized as of December 31, 2021, $1 million was for electricity and $2 million was for natural gas.

Net realized and unrealized losses (gains) on derivative transactions not designated as hedging instruments are classified in Purchased power and fuel in the consolidated statements of income and were as follows (in millions):
 
Years Ended December 31,
202220212020
Commodity contracts:
Electricity$(187)$(38)$160 
Natural Gas(388)(177)(34)
Foreign currency contracts1 — (1)
Net unrealized and certain net realized losses (gains) presented in the table above are offset within the consolidated statements of income by the effects of regulatory accounting. Of the net amounts recognized in Net income, net gains of $188 million, net gains of $119 million, and net losses of $12 million for the years ended December 31, 2022, 2021, and 2020, respectively, have been offset.

Assuming no changes in market prices and interest rates, the following table presents the years in which the net unrealized (gains)/losses recorded as of December 31, 2022 related to PGE’s derivative activities would become realized as a result of the settlement of the underlying derivative instrument (in millions):

 20232024202520262027ThereafterTotal
Commodity contracts:
Electricity$(19)$10 $21 $(3)$(3)$(16)$(10)
Natural gas(177)(8)(2)3 — — (184)
 Net unrealized (gain)/loss$(196)$2 $19 $— $(3)$(16)$(194)
PGE’s secured and unsecured debt is currently rated at investment grade by Moody’s Investors Service (Moody’s) and S&P Global Ratings (S&P). Should Moody’s and/or S&P reduce their rating on the Company’s unsecured debt to below investment grade, PGE could be subject to requests by certain wholesale counterparties to post additional
performance assurance collateral, in the form of cash or letters of credit, based on total portfolio positions with each of those counterparties. Certain other counterparties would have the right to terminate their agreements with the Company.

The aggregate fair value of derivative instruments with credit-risk-related contingent features that were in a liability position as of December 31, 2022 was $183 million, for which the Company has posted $130 million in collateral, consisting of $21 million of letters of credit and $109 million of cash. If the credit-risk-related contingent features underlying these agreements were triggered as of December 31, 2022, the cash requirement to either post as collateral or settle the instruments immediately would have been $27 million. As of December 31, 2022, PGE had no cash collateral posted for derivative instruments with no credit-risk-related contingent features. Cash collateral for derivative instruments is classified as Margin deposits included in Other current assets on the Company’s consolidated balance sheet.

As of December 31, 2022, PGE received from counterparties $156 million in collateral, consisting of $16 million of letters of credit and $140 million of cash. Increases in collateral received from counterparties is due to the increase in PGE’s derivative asset position. The obligation to return cash collateral held for derivative instruments is included in Accrued expenses and other current liabilities on the Company’s consolidated balance sheets.

PGE is exposed to credit risk in its commodity price risk management activities related to potential nonperformance by counterparties. Credit risk may be concentrated to the extent PGE’s counterparties have similar economic, industry or other characteristics and due to direct or indirect relationships among the counterparties. The Company manages the risk of counterparty default according to its credit policies by performing financial credit reviews, setting limits and monitoring exposures, and requiring collateral (in the form of cash, letters of credit, and guarantees) when needed. PGE also uses standardized enabling agreements and, in certain cases, master netting agreements, which allow for the netting of positive and negative exposures under multiple agreements with counterparties. Despite such mitigation efforts, defaults by counterparties may periodically occur. Based upon periodic review and evaluation, allowances are recorded as needed to reflect credit risk related to wholesale accounts receivable.

For additional information concerning the determination of fair value for the Company’s Assets and Liabilities from price risk management activities, see Note 5, Fair Value of Financial Instruments.