v3.3.1.900

Assets and Liabilities with Recurring Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2015

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring 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 December 31, 2015 and 2014, by level within the fair value hierarchy:

	Assets and Liabilities with Recurring Fair Value Measures as of December 31, 2015
	Level 1				Level 2				Level 3				Total
	(in millions)
Assets:
Cash equivalents(1)	$	1,083			$	—			$	—			$	1,083
Margin deposits	89				—				—				89
Commodity instruments:
Commodity exchange traded futures and swaps contracts	1,736				—				—				1,736
Commodity forward contracts(2)	—				220				54				274
Interest rate swaps	—				1				—				1
Total assets	$	2,908			$	221			$	54			$	3,183
Liabilities:
Margin deposits posted with us by our counterparties	$	35			$	—			$	—			$	35
Commodity instruments:
Commodity exchange traded futures and swaps contracts	1,604				—				—				1,604
Commodity forward contracts(2)	—				413				100				513
Interest rate swaps	—				90				—				90
Total liabilities	$	1,639			$	503			$	100			$	2,242

	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 December 31, 2015 and 2014, we had cash equivalents of $880 million and $679 million included in cash and cash equivalents and $203 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 December 31, 2015 and 2014:

		Quantitative Information about Level 3 Fair Value Measurements
		December 31, 2015
		Fair Value, Net Asset						Significant Unobservable
		(Liability)				Valuation Technique		Input		Range
		(in millions)
Power Contracts		$	(54	)		Discounted cash flow		Market price (per MWh)		$6.72 — $83.25/MWh
Power Congestion Products		$	8			Discounted cash flow		Market price (per MWh)		$(11.47) — $12.19/MWh

		Quantitative Information about Level 3 Fair Value Measurements
		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 years ended December 31, 2015, 2014 and 2013 (in millions):

	2015				2014				2013
Balance, beginning of period	$	85			$	14			$	16
Realized and mark-to-market gains (losses):
Included in net income:
Included in operating revenues(1)	218				70				5
Included in fuel and purchased energy expense(2)	(7		)		5				—
Purchases, issuances and settlements:
Purchases	(70		)		6				6
Issuances	—				—				(2		)
Settlements	(29		)		(10		)		(11		)
Transfers in and/or out of level 3(3):
Transfers into level 3(4)	—				—				—
Transfers out of level 3(5)	(243		)		—				—
Balance, end of period	$	(46	)		$	85			$	14
Change in unrealized gains relating to instruments still held at end of period	$	211			$	75			$	5

___________

(1) For power contracts and other power-related products, included on our Consolidated Statements of Operations.

(2) For natural gas contracts, swaps and options, included on our Consolidated 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 during the years ended December 31, 2015, 2014 and 2013.

(4) There were no transfers out of level 2 into level 3 for the years ended December 31, 2015, 2014 and 2013.

(5) We had $4 million in gains transferred out of level 3 into level 2 during the year ended December 31, 2015 due to changes in market liquidity in various power markets and $239 million in gains transferred out of level 3 during the year ended December 31, 2015 to other assets following the election of the normal purchase normal sales exemption and the discontinuance of derivative accounting treatment as of the date of this election. There were no transfers out of level 3 for the years ended December 31, 2014 and 2013.

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- References

No definition available.

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- Definition

Tabular disclosure of assets, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a),(b)
-URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19207-110258

Reference 2: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 1
-URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19190-110258

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- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (c)
-URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19207-110258

Reference 2: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 3
-URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19279-110258

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- Definition

Tabular disclosure of quantitative information about the inputs used in the fair value measurement of assets. This disclosure may include, but is not limited to, the fair value of the asset, valuation technique used to measure fair value, the inputs used to measure fair value, the ranges of the inputs, and the weighted averages of the inputs.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (bbb)
-URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19207-110258

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