v3.3.0.814
Assets and Liabilities with Recurring Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2015
Fair Value, Assets, Liabilities and Stockholders' Equity Measured on Recurring Basis [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 September 30, 2015 and December 31, 2014, by level within the fair value hierarchy:
 
Assets and Liabilities with Recurring Fair Value Measures as of September 30, 2015
 
Level 1    
 
Level 2    
 
Level 3    
 
Total    
 
(in millions)
Assets:
 
 
 
 
 
 
 
Cash equivalents(1)
$
874

 
$
—

 
$
—

 
$
874

Margin deposits
167

 
—

 
—

 
167

Commodity instruments:
 
 
 
 
 
 
 
Commodity exchange traded futures and swaps contracts
1,584

 
—

 
—

 
1,584

Commodity forward contracts(2)
—

 
256

 
305

 
561

Interest rate swaps
—

 
2

 
—

 
2

Total assets
$
2,625

 
$
258

 
$
305

 
$
3,188

Liabilities:
 
 
 
 
 
 
 
Margin deposits posted with us by our counterparties
$
15

 
$
—

 
$
—

 
$
15

Commodity instruments:
 
 
 
 
 
 
 
Commodity exchange traded futures and swaps contracts
1,477

 
—

 
—

 
1,477

Commodity forward contracts(2)
—

 
235

 
13

 
248

Interest rate swaps
—

 
110

 
—

 
110

Total liabilities
$
1,492

 
$
345

 
$
13

 
$
1,850

 
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 September 30, 2015 and December 31, 2014, we had cash equivalents of $624 million and $679 million included in cash and cash equivalents and $250 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 September 30, 2015 and December 31, 2014:
 
 
Quantitative Information about Level 3 Fair Value Measurements
 
 
September 30, 2015
 
 
Fair Value, Net Asset
 
 
 
Significant Unobservable
 
 
 
 
(Liability)
 
Valuation Technique
 
Input
 
Range
 
 
(in millions)
 
 
 
 
 
 
Power Contracts
 
$
285

 
Discounted cash flow
 
Market price (per MWh)
 
$11.86 — $90.80/MWh
Power Congestion Products
 
$
8

 
Discounted cash flow
 
Market price (per MWh)
 
$(11.47) — $5.95/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 [Table Text Block]
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,
 
 
2015
 
2014
 
2015
 
2014
Balance, beginning of period
 
$
243

 
$
(9
)
 
$
85

 
$
14

Realized and mark-to-market gains (losses):
 
 
 
 
 
 
 
 
Included in net income:
 
 
 
 
 
 
 
 
Included in operating revenues(1)
 
70

 
7

 
236

 
(1
)
Included in fuel and purchased energy expense(2)
 
(2
)
 
5

 
(2
)
 
9

Purchases and settlements:
 
 
 
 
 
 
 
 
Purchases
 
—

 
—

 
3

 
1

Settlements
 
(8
)
 
9

 
(24
)
 
(7
)
Transfers in and/or out of level 3(3):
 
 
 
 
 
 
 
 
Transfers into level 3(4)
 
—

 
—

 
—

 
—

Transfers out of level 3(5)
 
(11
)
 
(1
)
 
(6
)
 
(5
)
Balance, end of period
 
$
292

 
$
11

 
$
292

 
$
11

Change in unrealized gains relating to instruments still held at end of period
 
$
68

 
$
12

 
$
234

 
$
8

___________
(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 nine months ended September 30, 2015 and 2014.
(4)
There were no transfers out of level 2 into level 3 for each of the three and nine months ended September 30, 2015 and 2014.
(5)
We had $11 million and $1 million in gains transferred out of level 3 into level 2 for the three months ended September 30, 2015 and 2014, respectively, and $6 million and $5 million in gains transferred out of level 3 into level 2 for the nine months ended September 30, 2015 and 2014, respectively, due to changes in market liquidity in various power markets.