XML 40 R27.htm IDEA: XBRL DOCUMENT v3.8.0.1
Derivative Instruments (Tables)
 3 Months Ended
Mar. 31, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Notional Amounts of Outstanding Derivative Positions
As of March 31, 2018 and December 31, 2017, 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 (in millions):
Derivative Instruments
 
Notional Amounts
 
 
March 31, 2018
 
December 31, 2017
 
Power (MWh)
 
(147
)
 
(119
)
 
Natural gas (MMBtu)
 
845

 
405

 
Environmental credits (Tonnes)
 
13

 
12

 
Interest rate hedging instruments
 
$
4,600

 
$
4,600

 
Derivative Instruments Subject to Master Netting Arrangements [Table Text Block]
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 March 31, 2018 and December 31, 2017 (in millions):
 
 
March 31, 2018
 
 
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
 
$
489

 
$
(489
)
 
$
—

Commodity forward contracts
 
816

 
(643
)
 
173

Interest rate hedging instruments
 
24

 
—

 
24

Total current derivative assets(2)
 
$
1,329

 
$
(1,132
)
 
$
197

Commodity exchange traded derivatives contracts
 
140

 
(140
)
 
—

Commodity forward contracts
 
247

 
(63
)
 
184

Interest rate hedging instruments
 
44

 
—

 
44

Total long-term derivative assets(2)
 
$
431

 
$
(203
)
 
$
228

Total derivative assets
 
$
1,760

 
$
(1,335
)
 
$
425

 
 
 
 
 
 
 
Derivative (liabilities):
 
 
 
 
 
 
Commodity exchange traded derivatives contracts
 
$
(561
)
 
$
561

 
$
—

Commodity forward contracts
 
(1,039
)
 
714

 
(325
)
Interest rate hedging instruments
 
(13
)
 
—

 
(13
)
Total current derivative (liabilities)(2)
 
$
(1,613
)
 
$
1,275

 
$
(338
)
Commodity exchange traded derivatives contracts
 
(172
)
 
172

 
—

Commodity forward contracts
 
(277
)
 
107

 
(170
)
Interest rate hedging instruments
 
(8
)
 
—

 
(8
)
Total long-term derivative (liabilities)(2)
 
$
(457
)
 
$
279

 
$
(178
)
Total derivative liabilities
 
$
(2,070
)
 
$
1,554

 
$
(516
)
Net derivative assets (liabilities)
 
$
(310
)
 
$
219

 
$
(91
)
 
 
December 31, 2017
 
 
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
 
$
672

 
$
(672
)
 
$
—

Commodity forward contracts
 
361

 
(194
)
 
167

Interest rate hedging instruments
 
7

 
—

 
7

Total current derivative assets(3)
 
$
1,040

 
$
(866
)
 
$
174

Commodity exchange traded derivatives contracts
 
74

 
(74
)
 
—

Commodity forward contracts
 
231

 
(32
)
 
199

Interest rate hedging instruments
 
22

 
(3
)
 
19

Total long-term derivative assets(3)
 
$
327

 
$
(109
)
 
$
218

Total derivative assets
 
$
1,367

 
$
(975
)
 
$
392

 
 
 
 
 
 
 
Derivative (liabilities):
 
 
 
 
 
 
Commodity exchange traded derivatives contracts
 
$
(702
)
 
$
702

 
$
—

Commodity forward contracts
 
(389
)
 
209

 
(180
)
Interest rate hedging instruments
 
(17
)
 
—

 
(17
)
Total current derivative (liabilities)(3)
 
$
(1,108
)
 
$
911

 
$
(197
)
Commodity exchange traded derivatives contracts
 
(88
)
 
88

 
—

Commodity forward contracts
 
(140
)
 
35

 
(105
)
Interest rate hedging instruments
 
(17
)
 
3

 
(14
)
Total long-term derivative (liabilities)(3)
 
$
(245
)
 
$
126

 
$
(119
)
Total derivative liabilities
 
$
(1,353
)
 
$
1,037

 
$
(316
)
Net derivative assets (liabilities)
 
$
14

 
$
62

 
$
76

____________
(1)
At March 31, 2018 and December 31, 2017, we had $206 million and $155 million 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 March 31, 2018, current and long-term derivative assets are shown net of collateral of $(21) million and $(3) million, respectively, and current and long-term derivative liabilities are shown net of collateral of $164 million and $79 million, respectively.
(3)
At December 31, 2017, current and long-term derivative assets are shown net of collateral of $(8) million and $(2) million, respectively, and current and long-term derivative liabilities are shown net of collateral of $52 million and $20 million, respectively.
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value
 
March 31, 2018
 
December 31, 2017
 
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
$
67

 
$
21

 
$
26

 
$
31

Total derivatives designated as cash flow hedging instruments
$
67

 
$
21

 
$
26

 
$
31

 
 
 
 
 
 
 
 
Derivatives not designated as hedging instruments:
 
 
 
 
 
 
 
Commodity instruments
$
357

 
$
495

 
$
366

 
$
285

Interest rate hedging instruments
1

 
—

 
—

 
—

Total derivatives not designated as hedging instruments
$
358

 
$
495

 
$
366

 
$
285

Total derivatives
$
425

 
$
516

 
$
392

 
$
316
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 March 31,
 
2018
 
2017
Realized gain (loss)(1)(2)
 
 
 
Commodity derivative instruments
$
(3
)
 
$
29

Total realized gain (loss)
$
(3
)
 
$
29

 
 
 
 
Mark-to-market gain (loss)(3)
 
 
 
Commodity derivative instruments
$
(371
)
 
$
55

Interest rate hedging instruments
2

 
—

Total mark-to-market gain (loss)
$
(369
)
 
$
55

Total activity, net
$
(372
)
 
$
84


___________
(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, Calpine Solutions and North American Power.
(3)
In addition to changes in market value on derivatives not designated as hedges, changes in mark-to-market gain (loss) also includes hedge ineffectiveness and 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 March 31,
 
2018
 
2017
Realized and mark-to-market gain (loss)(1)
 
 
 
Derivatives contracts included in operating revenues(2)(3)
$
(359
)
 
$
223

Derivatives contracts included in fuel and purchased energy expense(2)(3)
(15
)
 
(139
)
Interest rate hedging instruments included in interest expense
2

 
—

Total activity, net
$
(372
)
 
$
84


___________
(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 and hedge ineffectiveness.
(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, Calpine Solutions and North American Power.
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 March 31,
 
Three Months Ended March 31,
 
Gain (Loss) Recognized in
OCI (Effective Portion)
 
Gain (Loss) Reclassified from
AOCI into Income (Effective Portion)(3)
 
2018
 
2017
 
2018
 
2017
 
Affected Line Item on the Consolidated Condensed Statements of Operations
Interest rate hedging instruments(1)(2)
$
54

 
$
(4
)
 
$
(6
)
 
$
(11
)
 
Interest expense
Interest rate hedging instruments(1)(2)
1

 
—

 
(1
)
 
—

 
Depreciation expense
Total
$
55

 
$
(4
)
 
$
(7
)
 
$
(11
)
 
 
____________
(1)
We did not record any material gain (loss) on hedge ineffectiveness related to our interest rate hedging instruments designated as cash flow hedges during the three months ended March 31, 2018 and 2017.
(2)
We recorded an income tax expense of $11 million and nil for the three months ended March 31, 2018 and 2017, respectively, in AOCI related to our cash flow hedging activities.
(3)
Cumulative cash flow hedge losses attributable to Calpine, net of tax, remaining in AOCI were $30 million and $72 million at March 31, 2018 and December 31, 2017, respectively. Cumulative cash flow hedge losses attributable to the noncontrolling interest, net of tax, remaining in AOCI were $4 million and $6 million at March 31, 2018 and December 31, 2017, respectively.