v3.5.0.2
Assets and Liabilities with Recurring Fair Value Measurements (Tables)
 6 Months Ended
Jun. 30, 2016
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 June 30, 2016 and December 31, 2015, by level within the fair value hierarchy:
 
Assets and Liabilities with Recurring Fair Value Measures as of June 30, 2016
 
Level 1    
 
Level 2    
 
Level 3    
 
Total    
 
(in millions)
Assets:
 
 
 
 
 
 
 
Cash equivalents(1)
$
383

 
$
—

 
$
—

 
$
383

Margin deposits
134

 
—

 
—

 
134

Commodity instruments:
 
 
 
 
 
 
 
Commodity exchange traded futures and swaps contracts
1,316

 
—

 
—

 
1,316

Commodity forward contracts(2)
—

 
232

 
43

 
275

Interest rate hedging instruments
—

 
9

 
—

 
9

Total assets
$
1,833

 
$
241

 
$
43

 
$
2,117

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

 
$
—

 
$
—

 
$
9

Commodity instruments:
 
 
 
 
 
 
 
Commodity exchange traded futures and swaps contracts
1,248

 
—

 
—

 
1,248

Commodity forward contracts(2)
—

 
422

 
106

 
528

Interest rate hedging instruments
—

 
96

 
—

 
96

Total liabilities
$
1,257

 
$
518

 
$
106

 
$
1,881

 
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)
$
1,134

 
$
—

 
$
—

 
$
1,134

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 hedging instruments
—

 
1

 
—

 
1

Total assets
$
2,959

 
$
221

 
$
54

 
$
3,234

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 hedging instruments
—

 
90

 
—

 
90

Total liabilities
$
1,639

 
$
503

 
$
100

 
$
2,242

___________
(1)
As of June 30, 2016 and December 31, 2015, we had cash equivalents of $215 million and $906 million included in cash and cash equivalents and $168 million and $228 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, 2016 and December 31, 2015:
 
 
Quantitative Information about Level 3 Fair Value Measurements
 
 
June 30, 2016
 
 
Fair Value, Net Asset
 
 
 
Significant Unobservable
 
 
 
 
(Liability)
 
Valuation Technique
 
Input
 
Range
 
 
(in millions)
 
 
 
 
 
 
Power Contracts
 
$
(80
)
 
Discounted cash flow
 
Market price (per MWh)
 
$9.09 — $104.83/MWh
Power Congestion Products
 
$
17

 
Discounted cash flow
 
Market price (per MWh)
 
$(11.47) — $11.76/MWh
 
 
 
 
 
 
 
 
 
 
 
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
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 June 30,
 
Six Months Ended June 30,
 
 
2016
 
2015
 
2016
 
2015
Balance, beginning of period
 
$
(65
)
 
$
203

 
$
(46
)
 
$
85

Realized and mark-to-market gains (losses):
 
 
 
 
 
 
 
 
Included in net income (loss):
 
 
 
 
 
 
 
 
Included in operating revenues(1)
 
(174
)
 
45

 
(181
)
 
176

Included in fuel and purchased energy expense(2)
 
165

 
—

 
155

 
2

Purchases and settlements:
 
 
 
 
 
 
 
 
Purchases
 
4

 
2

 
5

 
4

Settlements
 
(1
)
 
(10
)
 
(4
)
 
(21
)
Transfers in and/or out of level 3(3):
 
 
 
 
 
 
 
 
Transfers into level 3(4)
 
—

 
—

 
—

 
—

Transfers out of level 3(5)
 
8

 
3

 
8

 
(3
)
Balance, end of period
 
$
(63
)
 
$
243

 
$
(63
)
 
$
243

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

 
$
(26
)
 
$
178

___________
(1)
For power contracts and other power-related products, included on our Consolidated Condensed Statements of Operations.
(2)
For natural gas and power 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, 2016 and 2015.
(4)
There were no transfers out of level 2 into level 3 for each of the three and six months ended June 30, 2016 and 2015.
(5)
We had $(8) million and $(3) million in losses transferred out of level 3 into level 2 for the three months ended June 30, 2016 and 2015, respectively, and $(8) million in losses and $3 million in gains transferred out of level 3 into level 2 for the six months ended June 30, 2016 and 2015, respectively, due to changes in market liquidity in various power markets.