Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2012

Schedule of Notional Amounts of Outstanding Derivative Positions

As of March 31, 2012 and December 31, 2011, 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
Derivative Instruments	March 31, 2012			December 31, 2011
Power (MWh)	(23		)	(21		)
Natural gas (MMBtu)	(192		)	(200		)
Interest rate swaps⁽¹⁾	$	1,550		$	5,639

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(1)	Approximately $4.1 billion at December 31, 2011 was related to variable rate debt that was converted to fixed rate debt. On March 26, 2012, we terminated the interest rate swaps formerly hedging our First Lien Credit Facility.

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 Condensed Balance Sheets by location and hedge type at March 31, 2012 and December 31, 2011 (in millions):



	March 31, 2012
	Interest Rate Swaps			Commodity Instruments		Total Derivative Instruments
Balance Sheet Presentation
Current derivative assets	$	—		$	1,403	$	1,403
Long-term derivative assets	8			178		186
Total derivative assets	$	8		$	1,581	$	1,589

Current derivative liabilities	$	30		$	1,271	$	1,301
Long-term derivative liabilities	139			118		257
Total derivative liabilities	$	169		$	1,389	$	1,558
Net derivative assets (liabilities)	$	(161	)	$	192	$	31



	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	)

Derivative Instrument by Accounting Designation



	March 31, 2012				December 31, 2011
	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⁽¹⁾:
Interest rate swaps	$	8	$	145	$	10	$	149
Commodity instruments	43		7		51		18
Total derivatives designated as cash flow hedging instruments	$	51	$	152	$	61	$	167

Derivatives not designated as hedging instruments:
Interest rate swaps	$	—	$	24	$	—	$	171
Commodity instruments	1,538		1,382		1,103		1,085
Total derivatives not designated as hedging instruments	$	1,538	$	1,406	$	1,103	$	1,256
Total derivatives	$	1,589	$	1,558	$	1,164	$	1,423

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(1)	Includes accumulated fair value of derivative instruments as of the date hedge accounting was discontinued, net of amortized fair value for settlement periods which have transpired.

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 in earnings and where these components were recorded on our Consolidated Condensed Statements of Operations for the periods indicated (in millions):



	Three Months Ended March 31,
	2012			2011
Realized gain (loss)
Interest rate swaps	$	(157	)	$	(46	)
Commodity derivative instruments	118			10
Total realized gain (loss)	$	(39	)	$	(36	)

Unrealized gain (loss)⁽¹⁾
Interest rate swaps	$	146		$	(62	)
Commodity derivative instruments	78			(65		)
Total unrealized gain (loss)	$	224		$	(127	)
Total mark-to-market activity, net	$	185		$	(163	)

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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.

Schedule of Other Derivatives Not Designated as Hedging Instruments, Statements of Financial Performance and Financial Position, Location



	Three Months Ended March 31,
	2012			2011
Realized and unrealized gain (loss)
Power contracts included in operating revenues	$	92		$	(57	)
Natural gas contracts included in fuel and purchased energy expense	104			2
Interest rate swaps included in interest expense	3			1
Loss on interest rate derivatives	(14		)	(109		)
Total mark-to-market activity, net	$	185		$	(163	)

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 periods indicated (in millions):



	Three Months Ended March 31,
	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)
	2012			2011		2012				2011				2012		2011
Interest rate swaps	$	1		$	103	$	(7	)	⁽³⁾	$	(101	)	⁽³⁾	$	—	$	—
Commodity derivative instruments	(1		)	3		17			⁽¹⁾	26			⁽¹⁾	2		—
Total	$	—		$	106	$	10			$	(75	)		$	2	$	—

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(1)	Included in operating revenues and fuel and purchased energy expense on our Consolidated Condensed Statement of Operations.


(2)	Cumulative cash flow hedge losses, net of tax, remaining in AOCI were $169 million and $172 million at March 31, 2012 and December 31, 2011, respectively.

(3)

Reclassification of losses from OCI to earnings consisted of $7 million and $10 million from the reclassification of interest rate contracts due to settlement for the three months ended March 31, 2012 and 2011, respectively, 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 for the three months ended March 31, 2011.

- Definition

Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

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