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Fair Value (Notes)
 6 Months Ended
Jun. 30, 2016
Fair Value Disclosures [Abstract]  
Fair Value
Fair Value
 
The fair values of our financial instruments are separated into three broad levels (Levels 1, 2 and 3) based on our assessment of the availability of observable market data and the significance of non-observable data used to determine fair value. Each fair value measurement must be assigned to a level corresponding to the lowest level input that is significant to the fair value measurement in its entirety.

The three broad levels of inputs defined by the fair value hierarchy are as follows:
•
Level 1 Inputs—quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date;
•
Level 2 Inputs—inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability; and
•
Level 3 Inputs—unobservable inputs for the asset or liability. These unobservable inputs reflect the entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability, and are developed based on the best information available in the circumstances (which might include the reporting entity’s own data).
 
Fair Value of Derivative Contracts
 
The following two tables summarize the fair value measurements of our (i) energy commodity derivative contracts; (ii) interest rate swap agreements; and (iii) cross-currency swap agreements, based on the three levels established by the Codification (in millions). The tables also identify the impact of derivative contracts which we have elected to present on our accompanying consolidated balance sheets on a gross basis that are eligible for netting under master netting agreements. 
 
Balance sheet asset
fair value measurements by level
 
 
 
Net amount
 
Level 1
 
Level 2
 
Level 3
 
Gross amount
 
Contracts available for netting
 
Cash collateral held(b)
As of June 30, 2016
 
 
 
 
 
 
 
 
 
 
 
 
 
Energy commodity derivative contracts(a)
$
6

 
$
317

 
$
—

 
$
323

 
$
(32
)
 
$
—

 
$
291

Interest rate swap agreements
$
—

 
$
836

 
$
—

 
$
836

 
$
—

 
$
—

 
$
836

Cross-currency swap agreements
$
—

 
$
13

 
$
—

 
$
13

 
$
(13
)
 
$
—

 
$
—

As of December 31, 2015
 
 
 
 
 
 
 
 
 
 
 
 
 
Energy commodity derivative contracts(a)
$
48

 
$
589

 
$
2

 
$
639

 
$
(12
)
 
$
(37
)
 
$
590

Interest rate swap agreements
$
—

 
$
385

 
$
—

 
$
385

 
$
(8
)
 
$
—

 
$
377

Cross-currency swap agreements
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—


 
Balance sheet liability
fair value measurements by level
 
 
 
Net amount
 
Level 1
 
Level 2
 
Level 3
 
Gross amount
 
Contracts available for netting
 
Collateral posted(c)
As of June 30, 2016
 
 
 
 
 
 
 
 
 
 
 
 
 
Energy commodity derivative contracts(a)
$
(19
)
 
$
(47
)
 
$
—

 
$
(66
)
 
$
32

 
$
18

 
$
(16
)
Interest rate swap agreements
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

Cross-currency swap agreements
$
—

 
$
(34
)
 
$
—

 
$
(34
)
 
$
13

 
$
—

 
$
(21
)
As of December 31, 2015
 
 
 
 
 
 
 
 
 
 
 
 
 
Energy commodity derivative contracts(a)
$
(4
)
 
$
(10
)
 
$
(17
)
 
$
(31
)
 
$
12

 
$
—

 
$
(19
)
Interest rate swap agreements
$
—

 
$
(25
)
 
$
—

 
$
(25
)
 
$
8

 
$
—

 
$
(17
)
Cross-currency swap agreements
$
—

 
$
(52
)
 
$
—

 
$
(52
)
 
$
—

 
$
—

 
$
(52
)
_______
(a)
Level 1 consists primarily of New York Mercantile Exchange natural gas futures.  Level 2 consists primarily of OTC West Texas Intermediate swaps and options.  Level 3 consists primarily of power derivative contracts.
(b)
Cash margin deposits held by us associated with our energy commodity contract positions and OTC swap agreements and reported within “Other current liabilities” on our accompanying consolidated balance sheets.
(c)
Cash margin deposits posted by us associated with our energy commodity contract positions and OTC swap agreements and reported within “Other current assets” on our accompanying consolidated balance sheets.

The table below provides a summary of changes in the fair value of our Level 3 energy commodity derivative contracts (in millions): 
Significant unobservable inputs (Level 3)
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
2016
 
2015
 
2016
 
2015
Derivatives-net asset (liability)
 
 
 
 
 
 
 
Beginning of Period
$
(2
)
 
$
(49
)
 
$
(15
)
 
$
(61
)
Total gains or (losses) included in earnings
(3
)
 
—

 
(9
)
 
—

Settlements
5

 
12

 
24

 
24

End of Period
$
—


$
(37
)
 
$
—

 
$
(37
)
The amount of total gains or (losses) for the period included in earnings attributable to the change in unrealized gains or (losses) relating to assets held at the reporting date
$
—

 
$
1

 
$
—

 
$
3



As of December 31, 2015, our Level 3 derivative assets and liabilities consisted primarily of power derivative contracts (which expired in April 2016), where a significant portion of fair value is calculated from underlying market data that is not readily observable. The derived values use industry standard methodologies that may consider the historical relationships among various commodities, modeled market prices, time value, volatility factors and other relevant economic measures. The use of these inputs results in management’s best estimate of fair value and management would not expect materially different valuation results were we to use different input amounts within reasonable ranges.

Fair Value of Financial Instruments
 
The estimated fair value of our outstanding debt balances is disclosed below (in millions): 
 
June 30, 2016
 
December 31, 2015
 
Carrying
value
 
Estimated
fair value
 
Carrying
value
 
Estimated
fair value
Total debt
$
43,620

 
$
43,061

 
$
43,227

 
$
37,481


 
We used Level 2 input values to measure the estimated fair value of our outstanding debt balances as of both June 30, 2016 and December 31, 2015.