XML 39 R11.htm IDEA: XBRL DOCUMENT
v3.5.0.2

Fair Value | 6 Months Ended
--- | ---
Jun. 30, 2016
Fair Value Disclosures [Abstract] |
FAIR VALUE | FAIR VALUE The fair value of current financial assets and liabilities, debt service reserves and other deposits approximate their reported carrying amounts. The estimated fair value of the Company’s assets and liabilities has been determined using available market information. By virtue of these amounts being estimates and based on hypothetical transactions to sell assets or transfer liabilities, the use of different market assumptions and/or estimation methodologies may have a material effect on the estimated fair value amounts. The Company made no changes during the period to the fair valuation techniques described in Note 4.—Fair Value in Item 8.—Financial Statements and Supplementary Data of its 2015 Form 10-K. Recurring Measurements — The following table presents, by level within the fair value hierarchy, the Company’s financial assets and liabilities that were measured at fair value on a recurring basis as of the periods indicated (in millions). For the Company’s investments in marketable debt and equity securities, the security classes presented are determined based on the nature and risk of the security and are consistent with how the Company manages, monitors and measures its marketable securities:
| June 30, 2016 |  | December 31, 2015
| Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
AVAILABLE FOR SALE: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Debt securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unsecured debentures | $ | — |  |  | $ | 299 |  |  | $ | — |  |  | $ | 299 |  |  | $ | — |  |  | $ | 318 |  |  | $ | — |  |  | $ | 318 |
Certificates of deposit | — |  |  | 213 |  |  | — |  |  | 213 |  |  | — |  |  | 129 |  |  | — |  |  | 129 |
Government debt securities | — |  |  | 9 |  |  | — |  |  | 9 |  |  | — |  |  | 28 |  |  | — |  |  | 28 |
Subtotal | — |  |  | 521 |  |  | — |  |  | 521 |  |  | — |  |  | 475 |  |  | — |  |  | 475 |
Equity securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Mutual funds | — |  |  | 24 |  |  | — |  |  | 24 |  |  | — |  |  | 15 |  |  | — |  |  | 15 |
Subtotal | — |  |  | 24 |  |  | — |  |  | 24 |  |  | — |  |  | 15 |  |  | — |  |  | 15 |
Total available for sale | — |  |  | 545 |  |  | — |  |  | 545 |  |  | — |  |  | 490 |  |  | — |  |  | 490 |
TRADING: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Equity securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Mutual funds | 16 |  |  | — |  |  | — |  |  | 16 |  |  | 15 |  |  | — |  |  | — |  |  | 15 |
Total trading | 16 |  |  | — |  |  | — |  |  | 16 |  |  | 15 |  |  | — |  |  | — |  |  | 15 |
DERIVATIVES: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cross-currency derivatives | — |  |  | 1 |  |  | — |  |  | 1 |  |  | — |  |  | — |  |  | — |  |  | — |
Foreign currency derivatives | — |  |  | 46 |  |  | 271 |  |  | 317 |  |  | — |  |  | 35 |  |  | 292 |  |  | 327 |
Commodity derivatives | — |  |  | 53 |  |  | 13 |  |  | 66 |  |  | — |  |  | 41 |  |  | 7 |  |  | 48 |
Total derivatives | — |  |  | 100 |  |  | 284 |  |  | 384 |  |  | — |  |  | 76 |  |  | 299 |  |  | 375 |
TOTAL ASSETS | $ | 16 |  |  | $ | 645 |  |  | $ | 284 |  |  | $ | 945 |  |  | $ | 15 |  |  | $ | 566 |  |  | $ | 299 |  |  | $ | 880 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
DERIVATIVES: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives | $ | — |  |  | $ | 104 |  |  | $ | 421 |  |  | $ | 525 |  |  | $ | — |  |  | $ | 54 |  |  | $ | 304 |  |  | $ | 358 |
Cross-currency derivatives | — |  |  | 39 |  |  | — |  |  | 39 |  |  | — |  |  | 43 |  |  | — |  |  | 43 |
Foreign currency derivatives | — |  |  | 66 |  |  | — |  |  | 66 |  |  | — |  |  | 41 |  |  | 15 |  |  | 56 |
Commodity derivatives | — |  |  | 56 |  |  | 2 |  |  | 58 |  |  | — |  |  | 29 |  |  | 4 |  |  | 33 |
Total derivatives | — |  |  | 265 |  |  | 423 |  |  | 688 |  |  | — |  |  | 167 |  |  | 323 |  |  | 490 |
TOTAL LIABILITIES | $ | — |  |  | $ | 265 |  |  | $ | 423 |  |  | $ | 688 |  |  | $ | — |  |  | $ | 167 |  |  | $ | 323 |  |  | $ | 490 |
As of June 30, 2016, all AFS debt securities had stated maturities within one year. Gains and losses on the sale of investments are determined using the specific-identification method. For the three and six months ended June 30, 2016 and 2015 no other-than-temporary impairments of marketable securities were recognized in earnings or OCI. The table below presents gross proceeds from the sale of available for sale securities during the periods indicated (in millions):
| Three Months Ended June 30, |  | Six Months Ended June 30,
| 2016 |  | 2015 |  | 2016 |  | 2015
Gross proceeds from sale of AFS securities | $ | 785 |  |  | $ | 1,170 |  |  | $ | 2,404 |  |  | $ | 2,180 |
The following tables present a reconciliation of net derivative assets and liabilities by type measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and six months ended June 30, 2016 and 2015 (in millions). Transfers between Level 3 and Level 2 are determined as of the end of the reporting period and principally result from changes in the significance of unobservable inputs used to calculate the credit valuation adjustment.
Three Months Ended June 30, 2016 | Interest Rate |  | Foreign Currency |  | Commodity |  | Total
Balance at the beginning of the period | $ | (416 | ) |  | $ | 290 |  |  | $ | — |  |  | $ | (126 | )
Total realized and unrealized gains (losses): |  |  |  |  |  |  |
Included in earnings | — |  |  | (31 | ) |  | 2 |  |  | (29 | )
Included in other comprehensive income — derivative activity | (80 | ) |  | — |  |  | — |  |  | (80 | )
Included in other comprehensive income — foreign currency translation activity | 1 |  |  | (4 | ) |  | — |  |  | (3 | )
Included in regulatory (assets) liabilities | — |  |  | — |  |  | 11 |  |  | 11 |
Settlements | 21 |  |  | (3 | ) |  | (2 | ) |  | 16 |
Transfers of liabilities into Level 3 | (17 | ) |  | — |  |  | — |  |  | (17 | )
Transfers of liabilities out of Level 3 | 70 |  |  | 19 |  |  | — |  |  | 89 |
Balance at the end of the period | $ | (421 | ) |  | $ | 271 |  |  | $ | 11 |  |  | $ | (139 | )
Total gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to assets and liabilities held at the end of the period | $ | 1 |  |  | $ | (28 | ) |  | $ | 2 |  |  | $ | (25 | )
Three Months Ended June 30, 2015 | Interest Rate |  | Foreign Currency |  | Commodity |  | Cross Currency |  | Total
Balance at the beginning of the period | $ | (302 | ) |  | $ | 223 |  |  | $ | 4 |  |  | $ | (33 | ) |  | $ | (108 | )
Total realized and unrealized gains (losses): |  |  |  |  |  |  |  |  |
Included in earnings | — |  |  | 7 |  |  | — |  |  | — |  |  | 7 |
Included in other comprehensive income — derivative activity | 57 |  |  | — |  |  | — |  |  | — |  |  | 57 |
Included in other comprehensive income — foreign currency translation activity | (4 | ) |  | (6 | ) |  | — |  |  | — |  |  | (10 | )
Included in regulatory liabilities | — |  |  | — |  |  | 8 |  |  | — |  |  | 8 |
Settlements | 5 |  |  | (2 | ) |  | 5 |  |  | 1 |  |  | 9 |
Transfers of liabilities out of Level 3 | 53 |  |  | — |  |  | — |  |  | 32 |  |  | 85 |
Balance at the end of the period | $ | (191 | ) |  | $ | 222 |  |  | $ | 17 |  |  | $ | — |  |  | $ | 48 |
Total gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to assets and liabilities held at the end of the period | $ | — |  |  | $ | 5 |  |  | $ | (1 | ) |  | $ | — |  |  | $ | 4 |
Six Months Ended June 30, 2016 | Interest Rate |  | Foreign Currency |  | Commodity |  | Total
Balance at the beginning of the period | $ | (304 | ) |  | $ | 277 |  |  | $ | 3 |  |  | $ | (24 | )
Total realized and unrealized gains (losses): |  |  |  |  |  |  |
Included in earnings | 2 |  |  | 16 |  |  | 2 |  |  | 20 |
Included in other comprehensive income — derivative activity | (174 | ) |  | 5 |  |  | — |  |  | (169 | )
Included in other comprehensive income — foreign currency translation activity | (1 | ) |  | (38 | ) |  | — |  |  | (39 | )
Included in regulatory liabilities | — |  |  | — |  |  | 11 |  |  | 11 |
Settlements | 37 |  |  | (5 | ) |  | (5 | ) |  | 27 |
Transfers of liabilities into Level 3 | (51 | ) |  | — |  |  | — |  |  | (51 | )
Transfers of liabilities out of Level 3 | 70 |  |  | 16 |  |  | — |  |  | 86 |
Balance at the end of the period | $ | (421 | ) |  | $ | 271 |  |  | $ | 11 |  |  | $ | (139 | )
Total gains for the period included in earnings attributable to the change in unrealized gains (losses) relating to assets and liabilities held at the end of the period | $ | 5 |  |  | $ | 17 |  |  | $ | 2 |  |  | $ | 24 |
Six Months Ended June 30, 2015 | Interest Rate |  | Foreign Currency |  | Commodity |  | Total
Balance at the beginning of the period | $ | (210 | ) |  | $ | 209 |  |  | $ | 6 |  |  | $ | 5 |
Total realized and unrealized gains (losses): |  |  |  |  |  |  |
Included in earnings | — |  |  | 30 |  |  | 2 |  |  | 32 |
Included in other comprehensive income — derivative activity | 3 |  |  | — |  |  | — |  |  | 3 |
Included in other comprehensive income — foreign currency translation activity | 7 |  |  | (13 | ) |  | — |  |  | (6 | )
Included in regulatory liabilities | — |  |  | — |  |  | 8 |  |  | 8 |
Settlements | 9 |  |  | (4 | ) |  | 1 |  |  | 6 |
Balance at the end of the period | $ | (191 | ) |  | $ | 222 |  |  | $ | 17 |  |  | $ | 48 |
Total gains for the period included in earnings attributable to the change in unrealized gains (losses) relating to assets and liabilities held at the end of the period | $ | — |  |  | $ | 26 |  |  | $ | 2 |  |  | $ | 28 |
The table below summarizes the significant unobservable inputs used for Level 3 derivative assets (liabilities) as of June 30, 2016 (in millions, except range amounts):
Type of Derivative |  | Fair Value |  | Unobservable Input |  | Amount or Range (Weighted Avg)
Interest rate |  | $ | (421 | ) |  | Subsidiaries’ credit spreads |  | 2.9% to 11.2% (4.4%)
Foreign currency: |  |  |  |  |  |
Argentine Peso |  | 271 |  |  | Argentine Peso to USD currency exchange rate after one year |  | 18.6 to 35.2 (26.8)
Other |  | 11 |  |  |  |  |
Total |  | $ | (139 | ) |  |  |  |
Nonrecurring Measurements When evaluating impairment of long-lived assets and equity method investments, the Company measures fair value using the applicable fair value measurement guidance. Impairment expense is measured by comparing the fair value at the evaluation date to its then-latest available carrying amount. The following table summarizes our major categories of assets and liabilities measured at fair value on a nonrecurring basis and their level within the fair value hierarchy (in millions):
Six Months Ended June 30, 2016 | Measurement Date |  | Carrying Amount (1) |  | Fair Value |  | Pretax Loss
Assets |  | Level 1 |  | Level 2 |  | Level 3 |
Long-lived assets held and used: (2) |  |  |  |  |  |  |  |  |  |  |
DPL | 06/30/2016 |  | $ | 324 |  |  | $ | — |  |  | $ | — |  |  | $ | 89 |  |  | $ | 235 |
Buffalo Gap II | 03/31/2016 |  | 251 |  |  | — |  |  | — |  |  | 92 |  |  | 159 |
Discontinued operations and held-for-sale businesses: (3) |  |  |  |  |  |  |  |  |  |  |
Sul | 06/30/2016 |  | 1,581 |  |  | — |  |  | 470 |  |  | — |  |  | 783 |
Six Months Ended June 30, 2015 | Measurement Date |  | Carrying Amount (1) |  | Fair Value |  | Pretax Loss
Assets |  | Level 1 |  | Level 2 |  | Level 3 |
Long-lived assets held and used: (2) |  |  |  |  |  |  |  |  |  |  |
UK Wind | 06/30/2015 |  | $ | 38 |  |  | $ | — |  |  | $ | 1 |  |  | $ | — |  |  | $ | 37 |
Other | Various |  | 29 |  |  | — |  |  | 21 |  |  | — |  |  | 8 |
Equity method investments: |  |  |  |  |  |  |  |  |  |  |
Solar Spain | 02/09/2015 |  | 29 |  |  | — |  |  | — |  |  | 29 |  |  | — |
_____________________________
(1) | Represents the carrying values at the dates of measurement, before fair value adjustment.
(2) | See Note 13—Asset Impairment Expense for further information.
(3) | Per the Company’s policy, pre-tax loss is limited to the impairment of long-lived assets. Any additional loss will be recognized on completion of the sale. See Note 15—Discontinued Operations and Held-for-Sale Businesses for further information.
The following table summarizes the significant unobservable inputs used in the Level 3 measurement on a nonrecurring basis during the six months ended June 30, 2016 (in millions, except range amounts):
| Fair Value |  | Valuation Technique |  | Unobservable Input |  | Range (Weighted Average)
Long-lived assets held and used: |  |  |  |  |  |  |
DPL | $ | 89 |  |  | Discounted cash flow |  | Annual revenue growth |  | -11% to 13% (1%) |
|  |  |  |  | Annual pretax operating margin |  | -50% to 60% (5%) |
|  |  |  |  | Weighted-average cost of capital |  | 7% to 12% |
Buffalo Gap II | $ | 92 |  |  | Discounted cash flow |  | Annual revenue growth |  | -17% to 21% (20%) |
|  |  |  |  | Annual pretax operating margin |  | -166% to 48% (18%) |
|  |  |  |  | Weighted-average cost of capital |  | 9 | %
Financial Instruments not Measured at Fair Value in the Condensed Consolidated Balance Sheets The next table presents (in millions) the carrying amount, fair value and fair value hierarchy of the Company’s financial assets and liabilities that are not measured at fair value in the Condensed Consolidated Balance Sheets as of June 30, 2016 and December 31, 2015, but for which fair value is disclosed:
|  | June 30, 2016
|  | Carrying Amount |  | Fair Value
|  | Total |  | Level 1 |  | Level 2 |  | Level 3
Assets: | Accounts receivable — noncurrent (1) | $ | 224 |  |  | $ | 316 |  |  | $ | — |  |  | $ | — |  |  | $ | 316 |
Liabilities: | Non-recourse debt | 15,871 |  |  | 16,216 |  |  | — |  |  | 14,761 |  |  | 1,455 |
| Recourse debt | 4,909 |  |  | 5,176 |  |  | — |  |  | 5,176 |  |  | — |
|  | December 31, 2015
|  | Carrying Amount |  | Fair Value
|  | Total |  | Level 1 |  | Level 2 |  | Level 3
Assets: | Accounts receivable — noncurrent (1) | $ | 238 |  |  | $ | 310 |  |  | $ | — |  |  | $ | 20 |  |  | $ | 290 |
Liabilities: | Non-recourse debt | 15,115 |  |  | 15,592 |  |  | — |  |  | 13,325 |  |  | 2,267 |
| Recourse debt | 4,966 |  |  | 4,696 |  |  | — |  |  | 4,696 |  |  | — |
_____________________________
(1) | These amounts principally relate to amounts due from CAMMESA, and are included in Noncurrent assets—Other in the accompanying Condensed Consolidated Balance Sheets. The fair value and carrying amount of these receivables exclude VAT of $24 million and $27 million as of June 30, 2016 and December 31, 2015, respectively.

X
- References No definition available. + Details
Name: | us-gaap_FairValueDisclosuresAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 30 -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14172-108612 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 28 -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14064-108612 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 21 -URI http://asc.fasb.org/extlink&oid=73719730&loc=d3e13537-108611 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 16 -URI http://asc.fasb.org/extlink&oid=73719730&loc=d3e13504-108611 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 10 -URI http://asc.fasb.org/extlink&oid=73719730&loc=d3e13433-108611 + Details
Name: | us-gaap_FairValueDisclosuresTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration