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Derivative Instruments (Tables)
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12 Months Ended |
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Dec. 31, 2011
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| Derivative Instruments [Abstract] |
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| Schedule of Notional Amounts of Outstanding Derivative Positions |
As of December 31, 2011 and 2010, the net forward notional buy (sell) position of our outstanding commodity and interest rate swap contracts that did not qualify under the normal purchase normal sale exemption were as follows (in millions): | | | | | | | | | | Derivative Instruments | | Notional Amounts | | 2011 | | 2010 | Power (MWh) | | (21 | ) | | (50 | ) | Natural gas (MMBtu) | | (200 | ) | | 31 |
| Interest rate swaps(1) | | $ | 5,639 |
| | $ | 6,171 |
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____________ | | (1) | Approximately $4.1 billion and $3.3 billion at December 31, 2011 and 2010, respectively, related to variable rate debt that was converted to fixed rate debt in 2011 and 2010. |
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| Schedule of Derivative Instruments in Statement of Financial Position, Fair Value |
The following tables present the fair values of our net derivative instruments recorded on our Consolidated Balance Sheets by location and hedge type at December 31, 2011 and 2010 (in millions): | | | | | | | | | | | | | | December 31, 2011 | | Interest Rate Swaps | | Commodity Instruments | | Total Derivative Instruments | Balance Sheet Presentation | | | | | | Current derivative assets | $ | — |
| | $ | 1,051 |
| | $ | 1,051 |
| Long-term derivative assets | 10 |
| | 103 |
| | 113 |
| Total derivative assets | $ | 10 |
| | $ | 1,154 |
| | $ | 1,164 |
| | | | | | | Current derivative liabilities | $ | 166 |
| | $ | 978 |
| | $ | 1,144 |
| Long-term derivative liabilities | 154 |
| | 125 |
| | 279 |
| Total derivative liabilities | $ | 320 |
| | $ | 1,103 |
| | $ | 1,423 |
| Net derivative assets (liabilities) | $ | (310 | ) | | $ | 51 |
| | $ | (259 | ) |
| | | | | | | | | | | | | | December 31, 2010 | | Interest Rate Swaps | | Commodity Instruments | | Total Derivative Instruments | Balance Sheet Presentation | | | | | | Current derivative assets | $ | — |
| | $ | 725 |
| | $ | 725 |
| Long-term derivative assets | 4 |
| | 166 |
| | 170 |
| Total derivative assets | $ | 4 |
| | $ | 891 |
| | $ | 895 |
| | | | | | | Current derivative liabilities | $ | 197 |
| | $ | 521 |
| | $ | 718 |
| Long-term derivative liabilities | 174 |
| | 196 |
| | 370 |
| Total derivative liabilities | $ | 371 |
| | $ | 717 |
| | $ | 1,088 |
| Net derivative assets (liabilities) | $ | (367 | ) | | $ | 174 |
| | $ | (193 | ) |
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| Derivative Instrument by Accounting Designation |
| | | | | | | | | | | | | | | | | | December 31, 2011 | | December 31, 2010 | | 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 swaps | $ | 10 |
| | $ | 149 |
| | $ | 2 |
| | $ | 143 |
| Commodity instruments | 51 |
| | 18 |
| | 161 |
| | 52 |
| Total derivatives designated as cash flow hedging instruments | $ | 61 |
| | $ | 167 |
| | $ | 163 |
| | $ | 195 |
| | | | | | | | | Derivatives not designated as hedging instruments: | | | | | | | | Interest rate swaps | $ | — |
| | $ | 171 |
| | $ | 2 |
| | $ | 228 |
| Commodity instruments | 1,103 |
| | 1,085 |
| | 730 |
| | 665 |
| Total derivatives not designated as hedging instruments | $ | 1,103 |
| | $ | 1,256 |
| | $ | 732 |
| | $ | 893 |
| Total derivatives | $ | 1,164 |
| | $ | 1,423 |
| | $ | 895 |
| | $ | 1,088 |
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| Realized Unrealized Gain Loss by Instrument |
The following tables detail the components of our total mark-to-market activity for both the net realized gain (loss) and the net unrealized gain (loss) recognized from our derivative instruments not designated as hedging instruments and where these components were recorded on our Consolidated Statements of Operations for the years ended December 31, 2011, 2010 and 2009 (in millions): | | | | | | | | | | | | | | 2011 | | 2010 | | 2009 | Realized gain (loss) | | | | | | Interest rate swaps | $ | (193 | ) | | $ | (31 | ) | | $ | (32 | ) | Commodity derivative instruments | 143 |
| | 114 |
| | 37 |
| Total realized gain (loss) | $ | (50 | ) | | $ | 83 |
| | $ | 5 |
| | | | | | | Unrealized gain (loss)(1) | | | | | | Interest rate swaps | $ | 55 |
| | $ | (199 | ) | | $ | 8 |
| Commodity derivative instruments | (25 | ) | | 143 |
| | 79 |
| Total unrealized gain (loss) | $ | 30 |
| | $ | (56 | ) | | $ | 87 |
| Total mark-to-market activity, net | $ | (20 | ) | | $ | 27 |
| | $ | 92 |
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___________ | | (1) | In addition to changes in market value on derivatives not designated as hedges, changes in unrealized gain (loss) also includes de-designation of interest rate swap cash flow hedges and related reclassification from AOCI into income, hedge ineffectiveness and adjustments to reflect changes in credit default risk exposure. |
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| Schedule of Other Derivatives Not Designated as Hedging Instruments, Statements of Financial Performance and Financial Position, Location |
| | | | | | | | | | | | | | 2011 | | 2010 | | 2009 | Realized and unrealized gain (loss) | | | | | | Power contracts included in operating revenues | $ | (20 | ) | | $ | (19 | ) | | $ | 7 |
| Natural gas contracts included in fuel and purchased energy expense | 138 |
| | 276 |
| | 109 |
| Interest rate swaps included in interest expense | 7 |
| | (7 | ) | | (24 | ) | Loss on interest rate derivatives | (145 | ) | | (223 | ) | | — |
| Total mark-to-market activity, net | $ | (20 | ) | | $ | 27 |
| | $ | 92 |
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| 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 years ended December 31, 2011 and 2010 (in millions): | | | | | | | | | | | | | | | | | | | | | | | | | | Gains (Loss) Recognized in OCI (Effective Portion) | | Gain (Loss) Reclassified from AOCI into Income (Effective Portion)(2) | | Gain (Loss) Reclassified from AOCI into Income (Ineffective Portion) | | 2011 | | 2010 | | 2011 | | 2010 | | 2011 | | 2010 | Interest rate swaps | $ | (23 | ) | | $ | 193 |
| | $ | (138 | ) | (3) | $ | (389 | ) | (4) | $ | (1 | ) | | $ | — |
| Commodity derivative instruments | (71 | ) | | (27 | ) | | 163 |
| (1) | 248 |
| (1) | (2 | ) | | — |
| Total | $ | (94 | ) | | $ | 166 |
| | $ | 25 |
| | $ | (141 | ) | | $ | (3 | ) | | $ | — |
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____________ | | (1) | Included in operating revenues and fuel and purchased energy expense on our Consolidated Statement of Operations. |
| | (2) | Cumulative cash flow hedge losses, net of tax, remaining in AOCI were $172 million and $122 million at December 31, 2011 and 2010, respectively. Our other components of AOCI were not material at December 31, 2011 and 2010. |
| | (3) | Reclassification of losses from OCI to earnings consisted of $32 million in losses from the reclassification of interest rate contracts due to settlement, $15 million in losses from terminated interest rate contracts due to the repayment of project debt in 2011, and $91 million in losses from existing interest rate contracts reclassified from OCI into earnings due to the refinancing of variable rate First Lien Credit Facility term loans. |
| | (4) | Reclassification of losses from OCI to earnings consisted of $183 million in losses from the reclassification of interest rate contracts due to settlement and $206 million in losses from interest rate contracts reclassified from OCI into earnings due to the refinancing of variable rate First Lien Credit Facility term loans. |
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