v3.2.0.727
Assets and Liabilities with Recurring Fair Value Measurements (Tables)
 6 Months Ended
Jun. 30, 2015
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 June 30, 2015 and December 31, 2014, by level within the fair value hierarchy:
 
Assets and Liabilities with Recurring Fair Value Measures as of June 30, 2015
 
Level 1    
 
Level 2    
 
Level 3    
 
Total    
 
(in millions)
Assets:
 
 
 
 
 
 
 
Cash equivalents(1)
$
577

 
$
—

 
$
—

 
$
577

Margin deposits
103

 
—

 
—

 
103

Commodity instruments:
 
 
 
 
 
 
 
Commodity exchange traded futures and swaps contracts
1,684

 
—

 
—

 
1,684

Commodity forward contracts(2)
—

 
284

 
273

 
557

Interest rate swaps
—

 
3

 
—

 
3

Total assets
$
2,364

 
$
287

 
$
273

 
$
2,924

Liabilities:
 
 
 
 
 
 
 
Margin deposits posted with us by our counterparties
$
53

 
$
—

 
$
—

 
$
53

Commodity instruments:
 
 
 
 
 
 
 
Commodity exchange traded futures and swaps contracts
1,506

 
—

 
—

 
1,506

Commodity forward contracts(2)
—

 
219

 
30

 
249

Interest rate swaps
—

 
105

 
—

 
105

Total liabilities
$
1,559

 
$
324

 
$
30

 
$
1,913

 
Assets and Liabilities with Recurring Fair Value Measures as of December 31, 2014
 
Level 1    
 
Level 2    
 
Level 3    
 
Total    
 
(in millions)
Assets:
 
 
 
 
 
 
 
Cash equivalents(1)
$
896

 
$
—

 
$
—

 
$
896

Margin deposits
96

 
—

 
—

 
96

Commodity instruments:
 
 
 
 
 
 
 
Commodity exchange traded futures and swaps contracts
2,134

 
—

 
—

 
2,134

Commodity forward contracts(2)
—

 
195

 
164

 
359

Interest rate swaps
—

 
4

 
—

 
4

Total assets
$
3,126

 
$
199

 
$
164

 
$
3,489

Liabilities:
 
 
 
 
 
 
 
Margin deposits posted with us by our counterparties
$
47

 
$
—

 
$
—

 
$
47

Commodity instruments:
 
 
 
 
 
 
 
Commodity exchange traded futures and swaps contracts
1,870

 
—

 
—

 
1,870

Commodity forward contracts(2)
—

 
163

 
79

 
242

Interest rate swaps
—

 
114

 
—

 
114

Total liabilities
$
1,917

 
$
277

 
$
79

 
$
2,273

___________
(1)
As of June 30, 2015 and December 31, 2014, we had cash equivalents of $367 million and $679 million included in cash and cash equivalents and $210 million and $217 million included in restricted cash, respectively.
(2)
Includes OTC swaps and options.
Fair Value Inputs, Assets, Quantitative Information
The following table presents quantitative information for the unobservable inputs used in our most significant level 3 fair value measurements at June 30, 2015 and December 31, 2014:
 
 
Quantitative Information about Level 3 Fair Value Measurements
 
 
June 30, 2015
 
 
Fair Value, Net Asset
 
 
 
Significant Unobservable
 
 
 
 
(Liability)
 
Valuation Technique
 
Input
 
Range
 
 
(in millions)
 
 
 
 
 
 
Power Contracts
 
$
237

 
Discounted cash flow
 
Market price (per MWh)
 
$12.68 — $121.40/MWh
Power Congestion Products
 
$
7

 
Discounted cash flow
 
Market price (per MWh)
 
$(19.56) — $19.56/MWh
 
 
 
 
 
 
 
 
 
 
 
December 31, 2014
 
 
Fair Value, Net Asset
 
 
 
Significant Unobservable
 
 
 
 
(Liability)
 
Valuation Technique
 
Input
 
Range
 
 
(in millions)
 
 
 
 
 
 
Power Contracts
 
$
74

 
Discounted cash flow
 
Market price (per MWh)
 
$14.00 — $122.79/MWh
Natural Gas Contracts
 
$
5

 
Discounted cash flow
 
Market price (per MMBtu)
 
$1.00 — $10.86/MMBtu
Power Congestion Products
 
$
9

 
Discounted cash flow
 
Market price (per MWh)
 
$(19.56) — $19.56/MWh
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 June 30,
 
Six Months Ended June 30,
 
 
2015
 
2014
 
2015
 
2014
Balance, beginning of period
 
$
203

 
$
8

 
$
85

 
$
14

Realized and mark-to-market gains (losses):
 
 
 
 
 
 
 
 
Included in net income:
 
 
 
 
 
 
 
 
Included in operating revenues(1)
 
45

 
(7
)
 
176

 
(15
)
Included in fuel and purchased energy expense(2)
 
—

 
—

 
2

 
6

Purchases and settlements:
 
 
 
 
 
 
 
 
Purchases
 
2

 
—

 
4

 
—

Settlements
 
(10
)
 
(3
)
 
(21
)
 
(6
)
Transfers in and/or out of level 3(3):
 
 
 
 
 
 
 
 
Transfers into level 3(4)
 
—

 
2

 
—

 
—

Transfers out of level 3(5)
 
3

 
(9
)
 
(3
)
 
(8
)
Balance, end of period
 
$
243

 
$
(9
)
 
$
243

 
$
(9
)
Change in unrealized gains (losses) relating to instruments still held at end of period
 
$
45

 
$
(7
)
 
$
178

 
$
(9
)
___________
(1)
For power contracts and other power-related products, 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 or out of level 1 for each of the three and six months ended June 30, 2015 and 2014.
(4)
There were no transfers out of level 2 into level 3 for each of the three and six months ended June 30, 2015 and for the six months ended June 30, 2014. We had $2 million in gains transferred out of level 2 into level 3 for the three months ended June 30, 2014, due to changes in market liquidity in various power markets.
(5)
We had $3 million in losses and $(9) million in gains transferred out of level 3 into level 2 for the three months ended June 30, 2015 and 2014, respectively, and $(3) million and $(8) million in gains transferred out of level 3 into level 2 for the six months ended June 30, 2015 and 2014, respectively, due to changes in market liquidity in various power markets.