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Fair Value Measurements (Tables)
12 Months Ended
Dec. 31, 2017
Fair Value Disclosures [Abstract]  
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis
The following tables present information about PSEG’s, PSE&G’s and Power’s respective assets and (liabilities) measured at fair value on a recurring basis as of December 31, 2017 and December 31, 2016, including the fair value measurements and the levels of inputs used in determining those fair values. Amounts shown for PSEG include the amounts shown for PSE&G and Power.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Recurring Fair Value Measurements as of December 31, 2017
 
 
Description
 
Total
 
 Netting  (E)
 
Quoted Market Prices for Identical Assets
(Level 1)
 
Significant Other Observable Inputs (Level 2)
 
Significant Unobservable Inputs
(Level 3)
 
 
 
 
Millions
 
 
PSEG
 
 
 
 
 
 
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
Cash Equivalents (A)
 
$
223

 
$

 
$
223

 
$

 
$

 
 
Derivative Contracts:
 
 
 
 
 
 
 
 
 
 
 
 
Energy-Related Contracts (B)
 
$
36

 
$
(433
)
 
$
15

 
$
442

 
$
12

 
 
NDT Fund (D)
 
 
 
 
 
 
 
 
 
 
 
 
Equity Securities
 
$
1,055

 
$

 
$
1,053

 
$
2

 
$

 
 
Debt Securities—U.S. Treasury
 
$
314

 
$

 
$

 
$
314

 
$

 
 
Debt Securities—Govt Other
 
$
270

 
$

 
$

 
$
270

 
$

 
 
Debt Securities—Corporate
 
$
402

 
$

 
$

 
$
402

 
$

 
 
Other Securities
 
$
92

 
$

 
$
92

 
$

 
$

 
 
Rabbi Trust (D)
 
 
 
 
 
 
 
 
 
 
 
 
Equity Securities—Mutual Funds
 
$
25

 
$

 
$
25

 
$

 
$

 
 
Debt Securities—U.S. Treasury
 
$
51

 
$

 
$

 
$
51

 
$

 
 
Debt Securities—Govt Other
 
$
34

 
$

 
$

 
$
34

 
$

 
 
Debt Securities—Corporate
 
$
119

 
$

 
$

 
$
119

 
$

 
 
Other Securities
 
$
2

 
$

 
$
2

 
$

 
$

 
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative Contracts:
 
 
 
 
 
 
 
 
 
 
 
 
Energy-Related Contracts (B)
 
$
(21
)
 
$
477

 
$
(8
)
 
$
(485
)
 
$
(5
)
 
 
PSE&G
 
 
 
 
 
 
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
Cash Equivalents (A)
 
$
223

 
$

 
$
223

 
$

 
$

 
 
Rabbi Trust (D)
 
 
 
 
 
 
 
 
 
 
 
 
Equity Securities—Mutual Funds
 
$
5

 
$

 
$
5

 
$

 
$

 
 
Debt Securities—U.S. Treasury
 
$
10

 
$

 
$

 
$
10

 
$

 
 
Debt Securities—Govt Other
 
$
7

 
$

 
$

 
$
7

 
$

 
 
Debt Securities—Corporate
 
$
24

 
$

 
$

 
$
24

 
$

 
 
Other Securities
 
$

 
$

 
$

 
$

 
$

 
 
Power
 
 
 
 
 
 
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative Contracts:
 
 
 
 
 
 
 
 
 
 
 
 
Energy-Related Contracts (B)
 
$
36

 
$
(433
)
 
$
15

 
$
442

 
$
12

 
 
NDT Fund (D)
 
 
 
 
 
 
 
 
 
 
 
 
Equity Securities
 
$
1,055

 
$

 
$
1,053

 
$
2

 
$

 
 
Debt Securities—U.S. Treasury
 
$
314

 
$

 
$

 
$
314

 
$

 
 
Debt Securities—Govt Other
 
$
270

 
$

 
$

 
$
270

 
$

 
 
Debt Securities—Corporate
 
$
402

 
$

 
$

 
$
402

 
$

 
 
Other Securities
 
$
92

 
$

 
$
92

 
$

 
$

 
 
Rabbi Trust (D)
 
 
 
 
 
 
 
 
 
 
 
 
Equity Securities—Mutual Funds
 
$
6

 
$

 
$
6

 
$

 
$

 
 
Debt Securities—U.S. Treasury
 
$
13

 
$

 
$

 
$
13

 
$

 
 
Debt Securities—Govt Other
 
$
8

 
$

 
$

 
$
8

 
$

 
 
Debt Securities—Corporate
 
$
30

 
$

 
$

 
$
30

 
$

 
 
Other Securities
 
$

 
$

 
$

 
$

 
$

 
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative Contracts:
 
 
 
 
 
 
 
 
 
 
 
 
Energy-Related Contracts (B)
 
$
(21
)
 
$
477

 
$
(8
)
 
$
(485
)
 
$
(5
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Recurring Fair Value Measurements as of December 31, 2016
 
 
Description
 
Total
 
 Netting  (E)
 
Quoted Market Prices for Identical Assets
(Level 1)
 
Significant Other Observable Inputs (Level 2)
 
Significant Unobservable Inputs
(Level 3)
 
 
 
 
Millions
 
 
PSEG
 
 
 
 
 
 
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
Cash Equivalents (A)
 
$
365

 
$

 
$
365

 
$

 
$

 
 
Derivative Contracts:
 
 
 
 
 
 
 
 
 
 
 
 
Energy-Related Contracts (B)
 
$
186

 
$
(371
)
 
$
17

 
$
533

 
$
7

 
 
Interest Rate Swaps (C)
 
$
1

 
$

 
$

 
$
1

 
$

 
 
NDT Fund (D)
 
 
 
 
 
 
 
 
 
 
 
 
Equity Securities
 
$
957

 
$

 
$
954

 
$
3

 
$

 
 
Debt Securities—U.S. Treasury
 
$
227

 
$

 
$

 
$
227

 
$

 
 
Debt Securities—Govt Other
 
$
293

 
$

 
$

 
$
293

 
$

 
 
Debt Securities—Corporate
 
$
337

 
$

 
$

 
$
337

 
$

 
 
Other Securities
 
$
44

 
$

 
$
44

 
$

 
$

 
 
Rabbi Trust (D)
 
 
 
 
 
 
 
 
 
 
 
 
Equity Securities—Mutual Funds
 
$
22

 
$

 
$
22

 
$

 
$

 
 
Debt Securities—U.S. Treasury
 
$
37

 
$

 
$

 
$
37

 
$

 
 
Debt Securities—Govt Other
 
$
66

 
$

 
$

 
$
66

 
$

 
 
Debt Securities—Corporate
 
$
91

 
$

 
$

 
$
91

 
$

 
 
Other Securities
 
$
1

 
$

 
$
1

 
$

 
$

 
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative Contracts:
 
 
 
 
 
 
 
 
 
 
 
 
Energy-Related Contracts (B)
 
$
(16
)
 
$
372

 
$
(18
)
 
$
(364
)
 
$
(6
)
 
 
PSE&G
 
 
 
 
 
 
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
Cash Equivalents (A)
 
$
365

 
$

 
$
365

 
$

 
$

 
 
Derivative Contracts:
 
 
 
 
 
 
 
 
 
 
 
 
Energy Related Contracts (B)
 
$

 
$

 
$

 
$

 
$

 
 
Rabbi Trust (D)
 
 
 
 
 
 
 
 
 
 
 
 
Equity Securities—Mutual Funds
 
$
5

 
$

 
$
5

 
$

 
$

 
 
Debt Securities—U.S. Treasury
 
$
7

 
$

 
$

 
$
7

 
$

 
 
Debt Securities—Govt Other
 
$
13

 
$

 
$

 
$
13

 
$

 
 
Debt Securities—Corporate
 
$
18

 
$

 
$

 
$
18

 
$

 
 
Other Securities
 
$

 
$

 
$

 
$

 
$

 
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative Contracts:
 
 
 
 
 
 
 
 
 
 
 
 
Energy-Related Contracts (B)
 
$
(5
)
 
$

 
$

 
$

 
$
(5
)
 
 
Power
 
 
 
 
 
 
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative Contracts:
 
 
 
 
 
 
 
 
 
 
 
 
Energy-Related Contracts (B)
 
$
186

 
$
(371
)
 
$
17

 
$
533

 
$
7

 
 
NDT Fund (D)
 
 
 
 
 
 
 
 
 
 
 
 
Equity Securities
 
$
957

 
$

 
$
954

 
$
3

 
$

 
 
Debt Securities—U.S. Treasury
 
$
227

 
$

 
$

 
$
227

 
$

 
 
Debt Securities—Govt Other
 
$
293

 
$

 
$

 
$
293

 
$

 
 
Debt Securities—Corporate
 
$
337

 
$

 
$

 
$
337

 
$

 
 
Other Securities
 
$
44

 
$

 
$
44

 
$

 
$

 
 
Rabbi Trust (D)
 
 
 
 
 
 
 
 
 
 
 
 
Equity Securities—Mutual Funds
 
$
5

 
$

 
$
5

 
$

 
$

 
 
Debt Securities—U.S. Treasury
 
$
9

 
$

 
$

 
$
9

 
$

 
 
Debt Securities—Govt Other
 
$
16

 
$

 
$

 
$
16

 
$

 
 
Debt Securities—Corporate
 
$
23

 
$

 
$

 
$
23

 
$

 
 
Other Securities
 
$

 
$

 
$

 
$

 
$

 
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative Contracts:
 
 
 
 
 
 
 
 
 
 
 
 
Energy-Related Contracts (B)
 
$
(11
)
 
$
372

 
$
(18
)
 
$
(364
)
 
$
(1
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 

(A)
Represents money market mutual funds.
(B)
Level 1—During 2016 a net fair value of $1 million relating to energy-related contracts was transferred from Level 2 into Level 1. These contracts represent natural gas futures contracts executed on NYMEX, and are being valued solely on settled pricing inputs which come directly from the exchange.
Level 2—Fair values for energy-related contracts are obtained primarily using a market-based approach. Most derivative contracts (forward purchase or sale contracts and swaps) are valued using settled prices from similar assets and liabilities from an exchange, such as NYMEX, ICE and Nodal Exchange, or auction prices. Prices used in the valuation process are also corroborated independently by management to determine that values are based on actual transaction data or, in the absence of transactions, bid and offers for the day. Examples may include certain exchange and non-exchange traded capacity and electricity contracts and natural gas physical or swap contracts based on market prices, basis adjustments and other premiums where adjustments and premiums are not considered significant to the overall inputs.
Level 3—Unobservable inputs are used for the valuation of certain contracts. See “Additional Information Regarding Level 3 Measurements” below for more information on the utilization of unobservable inputs.
(C)
Interest rate swaps are valued using quoted prices on commonly quoted intervals, which are interpolated for periods different than the quoted intervals, as inputs to a market valuation model. Market inputs can generally be verified and model selection does not involve significant management judgment.
(D)
As of December 31, 2016, the fair value measurement table excludes cash of $1 million, which is part of the NDT Fund. The NDT Fund maintains investments in various equity and fixed income securities classified as “available for sale.” The Rabbi Trust maintains investments in a Russell 3000 index fund and various fixed income securities classified as “available for sale” as of December 31, 2017. The Rabbi Trust maintained investments in an S&P 500 index fund and various securities classified as “available for sale” as of December 31, 2016. These securities are generally valued with prices that are either exchange provided (equity securities) or market transactions for comparable securities and/or broker quotes (fixed income securities).
Level 1—Investments in marketable equity securities within the NDT Fund are primarily investments in common stocks across a broad range of industries and sectors. Most equity securities are priced utilizing the principal market close price or, in some cases, midpoint, bid or ask price. Other Securities in the NDT and Rabbi Trust Funds consist primarily of investments in Dreyfus money market funds which seek a high level of current income as is consistent with the preservation of capital and the maintenance of liquidity. To pursue its goals, the fund normally invests in a diversified portfolio of high quality, short-term, dollar-denominated debt securities and government securities. The funds’ Net Asset Value is priced and published daily. The Rabbi Trust equity index fund is valued based on quoted prices in an active market.
Level 2—NDT and Rabbi Trust fixed income securities include investment grade corporate bonds, collateralized mortgage obligations, asset-backed securities and certain government and U.S. Treasury obligations or Federal Agency asset-backed securities and municipal bonds with a wide range of maturities. Since many fixed income securities do not trade on a daily basis, they are priced using an evaluated pricing methodology that varies by asset class and reflects observable market information such as the most recent exchange price or quoted bid for similar securities. Market-based standard inputs typically include benchmark yields, reported trades, broker/dealer quotes and issuer spreads. The preferred stocks are not actively traded on a daily basis and therefore, are also priced using an evaluated pricing methodology. Certain short-term investments are valued using observable market prices or market parameters such as time-to-maturity, coupon rate, quality rating and current yield.
(E)
Represents the netting of fair value balances with the same counterparty (where the right of offset exists) and the application of collateral. All cash collateral received or posted that has been allocated to derivative positions, where the right of offset exists, has been offset in the Consolidated Balance Sheets. As of December 31, 2017 and 2016, Power had net cash collateral/margin payments to counterparties of $146 million and $56 million, respectively. Of these net cash collateral/margin payments $44 million as of December 31, 2017 and $1 million as of December 31, 2016 were netted against the corresponding net derivative contract positions. Of the $44 million of cash collateral as of December 31, 2017, $(3) million was netted against assets, and $47 million was netted against liabilities. Of the $1 million of cash collateral as of December 31, 2016, $(3) million was netted against assets and $4 million was netted against liabilities.
Schedule Of Quantitative Information About Level 3 Fair Value Measurements
following tables provide details surrounding significant Level 3 valuations as of December 31, 2017 and 2016.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Quantitative Information About Level 3 Fair Value Measurements
 
 
 
 
Commodity
 
Level 3 Position
 
Fair Value as of December 31, 2017
 
Valuation
Technique(s)
 
Significant
Unobservable  Input
 
Range
 
 
 
 
 
 
 
 
 
 
 
 
 
Assets
 
(Liabilities)
 
 
 
 
 
 
 
 
 
 
 
 
Millions
 
 
 
 
 
 
 
 
Power
 
 
 
 
 
 
 
 
 
 
 
 
 
 
               Electricity
 
Electric Load Contracts
 
$
1

 
$
(3
)
 
Discounted Cash flow
 
Historic Load Variability
 
0% to +10%
 
 
Gas
 
Gas Physical Contracts
 
11

 
(2
)
 
Discounted Cash flow
 
Average Historical Basis
 
-40% to -10%
 
 
Total Power
 
 
 
$
12

 
$
(5
)
 
 
 
 
 
 
 
 
Total PSEG
 
 
 
$
12

 
$
(5
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Quantitative Information About Level 3 Fair Value Measurements
 
 
 
 
Commodity
 
Level 3 Position
 
Fair Value as of December 31, 2016
 
Valuation
Technique(s)
 
Significant
Unobservable Input
 
Range
 
 
 
 
 
 
 
 
 
 
 
 
 
Assets
 
(Liabilities)
 
 
 
 
 
 
 
 
 
 
 
 
Millions
 
 
 
 
 
 
 
 
PSE&G
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Gas
 
 Natural Gas Supply  Contract
 
$

 
$
(5
)
 
Discounted Cash Flow
 
Transportation Costs
 
$0.60 to $0.80/Dth
 
 
Total PSE&G
 
 
 
$

 
$
(5
)
 
 
 
 
 
 
 
 
Power
 
 
 
 
 
 
 
 
 
 
 
 
 
 
                 Electricity
 
Electric Load Contracts
 
$
7

 
$
(1
)
 
Discounted Cash Flow
 
Historic Load Variability
 
0% to +10%
 
 
Gas (A)
 
Other
 

 

 
 
 
 
 
 
 
 
Total Power
 
 
 
$
7

 
$
(1
)
 
 
 
 
 
 
 
 
Total PSEG
 
 
 
$
7

 
$
(6
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(A)
Includes gas positions which were immaterial.
Changes In Level 3 Assets And (Liabilities) Measured At Fair Value On A Recurring Basis
A reconciliation of the beginning and ending balances of Level 3 derivative contracts and securities for the years ended December 31, 2017 and 2016, respectively, follows:
Changes in Level 3 Assets and (Liabilities) Measured at Fair Value on a Recurring Basis
for the Year Ended December 31, 2017
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total Gains or (Losses)
Realized/Unrealized
 
 
 
 
 
 
 
 
 
 
Description
 
Balance as of January 1, 2017
 
Included  in Income (A)
 
Included in
Regulatory  Assets/
Liabilities (B)
 
Purchases,
(Sales)
 
Issuances/
Settlements
(C)
 
Transfers
In/Out (D)
 
Balance as of December 31, 2017
 
 
 
 
Millions
 
 
PSEG
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Derivative Assets (Liabilities)
 
$
1

 
$
26

 
$
5

 
$

 
$
(24
)
 
$
(1
)
 
$
7

 
 
PSE&G
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Derivative Assets (Liabilities)
 
$
(5
)
 
$

 
$
5

 
$

 
$

 
$

 
$

 
 
Power
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Derivative Assets (Liabilities)
 
$
6

 
$
26

 
$

 
$

 
$
(24
)
 
$
(1
)
 
$
7

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Changes in Level 3 Assets and (Liabilities) Measured at Fair Value on a Recurring Basis
for the Year Ended December 31, 2016
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total Gains or (Losses)
Realized/Unrealized
 
 
 
 
 
 
 
 
 
 
Description
 
Balance as of January 1, 2016
 
Included  in Income (A)
 
Included in
Regulatory  Assets/
Liabilities (B)
 
Purchases, (Sales)
 
Issuances/ Settlements (C)
 
Transfers In/Out
 
Balance as of December 31, 2016
 
 
 
 
Millions
 
 
PSEG
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Derivative Assets (Liabilities)
 
$
13

 
$
13

 
$
(7
)
 
$
3

 
$
(21
)
 
$

 
$
1

 
 
PSE&G
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Derivative Assets (Liabilities)
 
$
2

 
$

 
$
(7
)
 
$

 
$

 
$

 
$
(5
)
 
 
Power
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Derivative Assets (Liabilities)
 
$
11

 
$
13

 
$

 
$
3

 
$
(21
)
 
$

 
$
6

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

(A)
PSEG’s and Power’s gains(losses) attributable to changes in net derivative assets and liabilities for 2017 include $14 million in Operating Revenues, of which $(9) million is unrealized and $12 million in Energy Costs, all of which is unrealized. For 2016, $25 million is included in Operating Revenues, of which $(5) million is unrealized, and $(12) million is in Energy Costs, all of which is realized.
(B)
Mainly includes gains/losses on PSE&G’s derivative contracts that are not included in either earnings or Accumulated Other Comprehensive Income, as they are deferred as a Regulatory Asset/Liability and are expected to be recovered from/returned to PSE&G’s customers.
(C)
Represents $(24) million and $(21) million in settlements for derivative contracts in 2017 and 2016, respectively.