v2.4.0.6
Assets and Liabilities with Recurring Fair Value Measurements (Tables)
 3 Months Ended
Mar. 31, 2012
Fair Value Measurements [Abstract]  
Fair Value, Measurement Inputs, Disclosure
The following tables present our financial assets and liabilities that were accounted for at fair value on a recurring basis as of March 31, 2012 and December 31, 2011, by level within the fair value hierarchy. Financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. Our assessment of the significance of a particular input to the fair value measurement requires judgment and may affect our estimate of the fair value of our assets and liabilities and their placement within the fair value hierarchy levels.
 
Assets and Liabilities with Recurring Fair Value Measures as of March 31, 2012
 
Level 1    
 
Level 2    
 
Level 3    
 
Total    
 
(in millions)
Assets:
 
 
 
 
 
 
 
Cash equivalents(1)
$
1,212

 
$
—

 
$
—

 
$
1,212

Margin deposits
165

 
—

 
—

 
165

Commodity instruments:
 
 
 
 
 
 
 
Commodity futures contracts
1,439

 
—

 
—

 
1,439

Commodity forward contracts(2)
—

 
107

 
35

 
142

Interest rate swaps
—

 
8

 
—

 
8

Total assets
$
2,816

 
$
115

 
$
35

 
$
2,966

Liabilities:
 
 
 
 
 
 
 
Margin deposits held by us posted by our counterparties
$
111

 
$
—

 
$
—

 
$
111

Commodity instruments:
 
 
 
 
 
 
 
Commodity futures contracts
1,141

 
—

 
—

 
1,141

Commodity forward contracts(2)
—

 
230

 
18

 
248

Interest rate swaps
—

 
169

 
—

 
169

Total liabilities
$
1,252

 
$
399

 
$
18

 
$
1,669

 
Assets and Liabilities with Recurring Fair Value Measures as of December 31, 2011
 
Level 1    
 
Level 2    
 
Level 3    
 
Total    
 
(in millions)
Assets:
 
 
 
 
 
 
 
Cash equivalents(1)
$
1,415

 
$
—

 
$
—

 
$
1,415

Margin deposits
140

 
—

 
—

 
140

Commodity instruments:
 
 
 
 
 
 
 
Commodity futures contracts
1,043

 
—

 
—

 
1,043

Commodity forward contracts(2)
—

 
74

 
37

 
111

Interest rate swaps
—

 
10

 
—

 
10

Total assets
$
2,598

 
$
84

 
$
37

 
$
2,719

Liabilities:
 
 
 
 
 
 
 
Margin deposits held by us posted by our counterparties
$
34

 
$
—

 
$
—

 
$
34

Commodity instruments:
 
 
 
 
 
 
 
Commodity futures contracts
899

 
—

 
—

 
899

Commodity forward contracts(2)
—

 
184

 
20

 
204

Interest rate swaps
—

 
320

 
—

 
320

Total liabilities
$
933

 
$
504

 
$
20

 
$
1,457

___________
(1)
As of March 31, 2012 and December 31, 2011, we had cash equivalents of $1,067 million and $1,249 million included in cash and cash equivalents and $145 million and $166 million included in restricted cash, respectively.
(2)
Includes OTC swaps and options.
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation
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 March 31,
 
2012
 
2011
Balance, beginning of period
$
17

 
$
30

Realized and unrealized gains (losses):
 
 
 
Included in net loss:
 
 
 
Included in operating revenues(1)
10

 
(6
)
Included in fuel and purchased energy expense(2)
(4
)
 
—

Included in OCI
4

 
1

Purchases, issuances and settlements:
 
 
 
Purchases
1

 
—

Issuances
(1
)
 
—

Settlements
(6
)
 
(13
)
Transfers in and/or out of level 3(3):
 
 
 
Transfers into level 3(4)
—

 
—

Transfers out of level 3(5)
(4
)
 
—

Balance, end of period
$
17

 
$
12

Change in unrealized gains (losses) relating to instruments still held at end of period
$
6

 
$
(6
)
___________
(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 transfers into/out of level 1 during the three months ended March 31, 2012 and 2011.
(4)
There were no transfers out of level 2 into level 3 for the three months ended March 31, 2012 and 2011.
(5)
We had $4 million of transfers out of level 3 into level 2 for the three months ended March 31, 2012. There were no transfers out of level 3 for the three months ended March 31, 2011.