Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2012

Schedule of Derivatives Instruments Statements of Financial Performance and Financial Position, Location [Table Text Block]

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 September 30, 2012 and December 31, 2011 (in millions):



	September 30, 2012
	Interest Rate Swaps			Commodity Instruments		Total Derivative Instruments
Balance Sheet Presentation
Current derivative assets	$	—		$	487	$	487
Long-term derivative assets	5			141		146
Total derivative assets	$	5		$	628	$	633

Current derivative liabilities	$	36		$	421	$	457
Long-term derivative liabilities	172			114		286
Total derivative liabilities	$	208		$	535	$	743
Net derivative assets (liabilities)	$	(203	)	$	93	$	(110	)



	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	)

Schedule of Notional Amounts of Outstanding Derivative Positions

As of September 30, 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	September 30, 2012			December 31, 2011
Power (MWh)	(13		)	(21		)
Natural gas (MMBtu)	2			(200		)
Interest rate swaps⁽¹⁾	$	1,629		$	5,639

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(1)	Approximately $4.1 billion at December 31, 2011 was related to hedges of our First Lien Credit Facility's 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



	September 30, 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	$	5	$	189	$	10	$	149
Commodity instruments	17		2		51		18
Total derivatives designated as cash flow hedging instruments	$	22	$	191	$	61	$	167

Derivatives not designated as hedging instruments:
Interest rate swaps	$	—	$	19	$	—	$	171
Commodity instruments	611		533		1,103		1,085
Total derivatives not designated as hedging instruments	$	611	$	552	$	1,103	$	1,256
Total derivatives	$	633	$	743	$	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 September 30,					Nine Months Ended September 30,
	2012		2011			2012			2011
Realized gain (loss)
Interest rate swaps	$	—	$	(44	)	$	(157	)	$	(150	)
Commodity derivative instruments	113		65			325			117
Total realized gain (loss)	$	113	$	21		$	168		$	(33	)

Unrealized gain (loss)⁽¹⁾
Interest rate swaps	$	3	$	43		$	152		$	5
Commodity derivative instruments	219		(8		)	(49		)	(47		)
Total unrealized gain (loss)	$	222	$	35		$	103		$	(42	)
Total mark-to-market activity, net	$	335	$	56		$	271		$	(75	)

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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 earnings, 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 September 30,					Nine Months Ended September 30,
	2012		2011			2012			2011
Realized and unrealized gain (loss)
Power contracts included in operating revenues	$	329	$	18		$	149		$	9
Natural gas contracts included in fuel and purchased energy expense	3		39			127			61
Interest rate swaps included in interest expense	3		2			9			4
Loss on interest rate derivatives	—		(3		)	(14		)	(149		)
Total mark-to-market activity, net	$	335	$	56		$	271		$	(75	)

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 September 30,
	Gain (Loss) Recognized in OCI (Effective Portion)						Gain (Loss) Reclassified from AOCI into Income (Effective Portion)⁽¹⁾								Gain (Loss) Reclassified from AOCI into Income (Ineffective Portion)
	2012			2011			2012				2011				2012		2011
Interest rate swaps	$	(14	)	$	(103	)	$	(8	)	⁽²⁾	$	(7	)	⁽²⁾	$	—	$	(1	)
Commodity derivative instruments	(9		)	9			9			⁽³⁾	27			⁽³⁾	—		(1		)
Total	$	(23	)	$	(94	)	$	1			$	20			$	—	$	(2	)



	Nine Months Ended September 30,
	Gain (Loss) Recognized in OCI (Effective Portion)						Gain (Loss) Reclassified from AOCI into Income (Effective Portion)⁽¹⁾								Gain (Loss) Reclassified from AOCI into Income (Ineffective Portion)
	2012			2011			2012				2011				2012		2011
Interest rate swaps	$	(48	)	$	(9	)	$	(23	)	⁽⁴⁾	$	(130	)	⁽⁴⁾	$	—	$	(2	)
Commodity derivative instruments	(23		)	(27		)	38			⁽³⁾	106			⁽³⁾	2		—
Total	$	(71	)	$	(36	)	$	15			$	(24	)		$	2	$	(2	)

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(1)	Cumulative cash flow hedge losses, net of tax, remaining in AOCI were $236 million and $172 million at September 30, 2012 and December 31, 2011, respectively.


(2)	Reclassification of losses from OCI to earnings consisted of $8 million and $7 million from the reclassification of interest rate contracts due to settlement for the three months ended September 30, 2012 and 2011, respectively.


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

(4)

Reclassification of losses from OCI to earnings consisted of $23 million and $24 million from the reclassification of interest rate contracts due to settlement for the nine months ended September 30, 2012 and 2011, respectively, $15 million in losses from terminated interest rate contracts due to repayment of project debt in June 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 for the nine months ended September 30, 2011.

- Definition

Tabular disclosure of the location and amount of gains and losses reported in the statement of financial performance, or when applicable, the statement of financial position. For example, (a) gains and losses recognized in the income statement on derivative instruments designated and qualifying as hedging instruments in fair value hedges and related hedged items designated and qualifying in fair value hedges and (b) gains and losses initially recognized in other comprehensive income on derivative instruments designated and qualifying as cash flow hedges.

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- 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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