v2.4.0.6
Assets and Liabilities with Recurring Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2012
Fair Value Measurements [Abstract]  
Fair Value Inputs, Liabilities, Quantitative Information [Table Text Block]
The following table presents quantitative information for the unobservable inputs used in our most significant level 3 fair value measurements at September 30, 2012:
 
 
Quantitative Information about Level 3 Fair Value Measurements
 
 
September 30, 2012
 
 
Fair Value, Net Asset
 
 
 
Significant Unobservable
 
 
 
 
(Liability)
 
Valuation Technique
 
Input
 
Range
 
 
(in millions)
 
 
 
 
 
 
Physical Power
 
$
15

 
Discounted cash flow
 
Market price (per MWh)
 
$20.95 — $56.78/MWh
Fair Value, Measurement Inputs, Disclosure
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. The following tables present our financial assets and liabilities that were accounted for at fair value on a recurring basis as of September 30, 2012 and December 31, 2011, by level within the fair value hierarchy:
 
Assets and Liabilities with Recurring Fair Value Measures as of September 30, 2012
 
Level 1    
 
Level 2    
 
Level 3    
 
Total    
 
(in millions)
Assets:
 
 
 
 
 
 
 
Cash equivalents(1)
$
1,275

 
$
—

 
$
—

 
$
1,275

Margin deposits
103

 
—

 
—

 
103

Commodity instruments:
 
 
 
 
 
 
 
Commodity exchange traded futures and swaps contracts
559

 
—

 
—

 
559

Commodity forward contracts(2)
—

 
47

 
22

 
69

Interest rate swaps
—

 
5

 
—

 
5

Total assets
$
1,937

 
$
52

 
$
22

 
$
2,011

Liabilities:
 
 
 
 
 
 
 
Margin deposits held by us posted by our counterparties
$
9

 
$
—

 
$
—

 
$
9

Commodity instruments:
 
 
 
 
 
 
 
Commodity exchange traded futures and swaps contracts
497

 
—

 
—

 
497

Commodity forward contracts(2)
—

 
32

 
6

 
38

Interest rate swaps
—

 
208

 
—

 
208

Total liabilities
$
506

 
$
240

 
$
6

 
$
752


 
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 exchange traded futures and swaps 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 exchange traded futures and swaps 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 September 30, 2012 and December 31, 2011, we had cash equivalents of $1,074 million and $1,249 million included in cash and cash equivalents and $201 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 September 30,
 
Nine Months Ended September 30,
 
2012
 
2011
 
2012
 
2011
Balance, beginning of period
$
(10
)
 
$
21

 
$
17

 
$
30

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

 
(8
)
 
3

 
(1
)
Included in fuel and purchased energy expense(2)
1

 
1

 
1

 
1

Included in OCI
—

 
(2
)
 
1

 
3

Purchases, issuances and settlements:
 
 
 
 
 
 
 
Issuances
(1
)
 
—

 
(1
)
 
—

Settlements
25

 
16

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

 
—

 
—

 
—

Transfers out of level 3(5)
—

 
(1
)
 
(1
)
 
—

Balance, end of period
$
16

 
$
27

 
$
16

 
$
27

Change in unrealized gains (losses) relating to instruments still held at end of period
$
2

 
$
(7
)
 
$
4

 
$
—

___________
(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 and nine months ended September 30, 2012 and 2011.
(4)
There were no transfers out of level 2 into level 3 for the three and nine months ended September 30, 2012 and 2011.
(5)
We had nil and $1 million in gains transferred out of level 3 into level 2 for the three months ended September 30, 2012 and 2011, respectively. There were $1 million in gains and nil transferred out of level 3 into level 2 for the nine months ended September 30, 2012 and 2011, respectively.