v3.5.0.2

Assets and Liabilities with Recurring Fair Value Measurements (Tables)

9 Months Ended

Sep. 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 September 30, 2016 and December 31, 2015, by level within the fair value hierarchy:

	Assets and Liabilities with Recurring Fair Value Measures as of September 30, 2016
	Level 1				Level 2				Level 3				Total
	(in millions)
Assets:
Cash equivalents(1)	$	786			$	—			$	—			$	786
Margin deposits	120				—				—				120
Commodity instruments:
Commodity exchange traded futures and swaps contracts	1,036				—				—				1,036
Commodity forward contracts(2)	—				178				60				238
Interest rate hedging instruments	—				8				—				8
Total assets	$	1,942			$	186			$	60			$	2,188
Liabilities:
Margin deposits posted with us by our counterparties	$	30			$	—			$	—			$	30
Commodity instruments:
Commodity exchange traded futures and swaps contracts	1,004				—				—				1,004
Commodity forward contracts(2)	—				310				32				342
Interest rate hedging instruments	—				81				—				81
Total liabilities	$	1,034			$	391			$	32			$	1,457

	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 September 30, 2016 and December 31, 2015, we had cash equivalents of $561 million and $906 million included in cash and cash equivalents and $225 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 September 30, 2016 and December 31, 2015:

		Quantitative Information about Level 3 Fair Value Measurements
		September 30, 2016
		Fair Value, Net Asset						Significant Unobservable
		(Liability)				Valuation Technique		Input		Range
		(in millions)
Power Contracts		$	7			Discounted cash flow		Market price (per MWh)		$9.62 — $80.18/MWh
Power Congestion Products		$	12			Discounted cash flow		Market price (per MWh)		$(11.47) — $10.89/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 September 30,								Nine Months Ended September 30,
		2016				2015				2016				2015
Balance, beginning of period		$	(63	)		$	243			$	(46	)		$	85
Realized and mark-to-market gains (losses):
Included in net income:
Included in operating revenues(1)		30				70				9				236
Included in fuel and purchased energy expense(2)		(31		)		(2		)		(24		)		(2		)
Purchases and settlements:
Purchases		1				—				4				3
Settlements		15				(8		)		(4		)		(24		)
Transfers in and/or out of level 3(3):
Transfers into level 3(4)		1				—				—				—
Transfers out of level 3(5)		75				(11		)		89				(6		)
Balance, end of period		$	28			$	292			$	28			$	292
Change in unrealized gains (losses) relating to instruments still held at end of period		$	(1	)		$	68			$	(15	)		$	234

___________

(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 nine months ended September 30, 2016 and 2015.

(4) We had $1 million and nil in gains transferred out of level 2 into level 3 for the three months ended September 30, 2016 and 2015, respectively. There were no transfers out of level 2 into level 3 for each of the nine months ended September 30, 2016 and 2015.

(5) We had $(75) million in losses and $11 million in gains transferred out of level 3 into level 2 for the three months ended September 30, 2016 and 2015, respectively, and $(89) million in losses and $6 million in gains transferred out of level 3 into level 2 for the nine months ended September 30, 2016 and 2015, respectively, due to changes in market liquidity in various power markets.

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- References

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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 (b)
-URI http://asc.fasb.org/extlink&oid=66048111&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=66048111&loc=d3e19190-110258

Reference 3: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258

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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=66048111&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=66048111&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=66048111&loc=d3e19207-110258

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