v2.3.0.15
Our Assets and Liabilities with Recurring Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2011
Assets and Liabilities with Recurring Fair Value Measurements [Abstract] 
Fair value hierarchy table of financial assets and liabilities

 

 

 

Assets and Liabilities with Recurring Fair Value Measures
at September 30, 2011

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

 

 

(in millions)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash equivalents(1)

 

$

1,491

 

 

$

—

 

 

$

—

 

 

$

1,491

 

Margin deposits

 

 

182

 

 

 

—

 

 

 

—

 

 

 

182

 

Commodity instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commodity futures contracts

 

 

631

 

 

 

—

 

 

 

—

 

 

 

631

 

Commodity forward contracts(2)

 

 

—

 

 

 

143

 

 

 

41

 

 

 

184

 

Interest rate swaps

 

 

—

 

 

 

9

 

 

 

—

 

 

 

9

 

Total assets

 

$

2,304

 

 

$

152

 

 

$

41

 

 

$

2,497

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Margin deposits held by us posted by our counterparties

 

$

5

 

 

$

—

 

 

$

—

 

 

$

5

 

Commodity instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commodity futures contracts

 

 

589

 

 

 

—

 

 

 

—

 

 

 

589

 

Commodity forward contracts(2)

 

 

—

 

 

 

118

 

 

 

14

 

 

 

132

 

Interest rate swaps

 

 

—

 

 

 

361

 

 

 

—

 

 

 

361

 

Total liabilities

 

$

594

 

 

$

479

 

 

$

14

 

 

$

1,087

 

 

Fair value hierarchy table of financial assets and liabilities

 

 

 

Assets and Liabilities with Recurring Fair Value Measures
at December 31, 2010

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

 

 

(in millions)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash equivalents(1)

 

$

1,297

 

 

$

—

 

 

$

—

 

 

$

1,297

 

Margin deposits

 

 

162

 

 

 

—

 

 

 

—

 

 

 

162

 

Commodity instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commodity futures contracts

 

 

550

 

 

 

—

 

 

 

—

 

 

 

550

 

Commodity forward contracts(2)

 

 

—

 

 

 

287

 

 

 

54

 

 

 

341

 

Interest rate swaps

 

 

—

 

 

 

4

 

 

 

—

 

 

 

4

 

Total assets

 

$

2,009

 

 

$

291

 

 

$

54

 

 

$

2,354

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Margin deposits held by us posted by our counterparties

 

$

6

 

 

$

—

 

 

$

—

 

 

$

6

 

Commodity instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commodity futures contracts

 

 

574

 

 

 

—

 

 

 

—

 

 

 

574

 

Commodity forward contracts(2)

 

 

—

 

 

 

119

 

 

 

24

 

 

 

143

 

Interest rate swaps

 

 

—

 

 

 

371

 

 

 

—

 

 

 

371

 

Total liabilities

 

$

580

 

 

$

490

 

 

$

24

 

 

$

1,094

 

_________

(1)
At September 30, 2011 and December 31, 2010, we had cash equivalents of $1,280 million and $1,094 million included in cash and cash equivalents and $211 million and $203 million included in restricted cash, respectively.
(2)
Includes OTC swaps and options.

 

Level 3 roll forward table

 

The following table sets forth a reconciliation of changes in the fair value of our net derivative assets (liabilities) classified as level 3 in the fair value hierarchy for the periods indicated (in millions):

 

 

 

Three Months Ended September 30,

 

 

Nine Months Ended September 30,

 

 

 

2011

 

 

2010

 

 

2011

 

 

2010

 

Balance, beginning of period

 

$

21

 

 

$

43

 

 

$

30

 

 

$

38

 

Realized and unrealized gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Included in net income (loss):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Included in operating revenues(1)

 

 

(8

)

 

 

12

 

 

 

(1

)

 

 

31

 

Included in fuel and purchased energy expense(2)

 

 

1

 

 

 

2

 

 

 

1

 

 

 

(1

)

Included in OCI

 

 

(2

)

 

 

4

 

 

 

3

 

 

 

6

 

Purchases, issuances, sales and settlements:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Settlements

 

 

16

 

 

 

(2

)

 

 

(6

)

 

 

(13

)

Transfers into and/or out of level 3:(3)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Transfers into level 3(4)

 

 

—

 

 

 

1

 

 

 

—

 

 

 

—

 

Transfers out of level 3(5)

 

 

(1

)

 

 

4

 

 

 

—

 

 

 

3

 

Balance, end of period

 

$

27

 

 

$

64

 

 

$

27

 

 

$

64

 

Change in unrealized gains relating to instruments held at end of period

 

$

(7

)

 

$

14

 

 

$

—

 

 

$

30

 

_________

(1)
For power contracts and Heat Rate swaps and options, included on our Consolidated Condensed Statements of Operations.
(2)
For natural gas contracts, swaps and options, included on our Consolidated Condensed Statements of Operations.
(3)
We transfer amounts among levels of the fair value hierarchy as of the end of each period. There were no significant transfers into/out of level 1 during the three and nine months ended September 30, 2011 and 2010.
(4)
We had no significant transfers into level 3 out of level 2 for the three months ended September 30, 2011 and the nine months ended September 30, 2011 and 2010. We had $1 million in gains transferred into level 3 out of level 2 for the three months ended September 30, 2010, due to changes in market liquidity in various power markets.
(5)
We had $1 million in gains and $4 million in losses transferred out of level 3 into level 2 for the three months ended September 30, 2011 and 2010, respectively. We had no significant transfers out of level 3 into level 2 for the nine months ended September 30, 2011. We had $3 million in losses transferred out of level 3 into level 2 for the nine months ended September 30, 2010. Transfers out of level 3 into level 2 were due to changes in market liquidity in various power markets.