v3.8.0.1
Assets and Liabilities with Recurring Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2017
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, 2017 and December 31, 2016, by level within the fair value hierarchy:
 
Assets and Liabilities with Recurring Fair Value Measures as of September 30, 2017
 
Level 1    
 
Level 2    
 
Level 3    
 
Total    
 
(in millions)
Assets:
 
 
 
 
 
 
 
Cash equivalents(1)
$
173

 
$
—

 
$
—

 
$
173

Commodity instruments:
 
 
 
 
 
 
 
Commodity exchange traded futures and swaps contracts
605

 
—

 
—

 
605

Commodity forward contracts(2)
—

 
362

 
332

 
694

Interest rate hedging instruments
—

 
20

 
—

 
20

Effect of netting and allocation of collateral(3)(4)
(605
)
 
(203
)
 
(21
)
 
(829
)
Total assets
$
173

 
$
179

 
$
311

 
$
663

Liabilities:
 
 
 
 
 
 
 
Commodity instruments:
 
 
 
 
 
 
 
Commodity exchange traded futures and swaps contracts
656

 
—

 
—

 
656

Commodity forward contracts(2)
—

 
355

 
64

 
419

Interest rate hedging instruments
—

 
52

 
—

 
52

Effect of netting and allocation of collateral(3)(4)
(656
)
 
(220
)
 
(35
)
 
(911
)
Total liabilities
$
—

 
$
187

 
$
29

 
$
216

 
Assets and Liabilities with Recurring Fair Value Measures as of December 31, 2016
 
Level 1    
 
Level 2    
 
Level 3    
 
Total    
 
(in millions)
Assets:
 
 
 
 
 
 
 
Cash equivalents(1)
$
153

 
$
—

 
$
—

 
$
153

Commodity instruments:
 
 
 
 
 
 
 
Commodity exchange traded futures and swaps contracts
1,542

 
—

 
—

 
1,542

Commodity forward contracts(2)
—

 
231

 
466

 
697

Interest rate hedging instruments
—

 
29

 
—

 
29

Effect of netting and allocation of collateral(3)(4)
(1,542
)
 
$
(188
)
 
(17
)
 
(1,747
)
Total assets
$
153

 
$
72

 
$
449

 
$
674

Liabilities:
 
 
 
 
 
 
 
Commodity instruments:
 
 
 
 
 
 
 
Commodity exchange traded futures and swaps contracts
1,570

 
—

 
—

 
1,570

Commodity forward contracts(2)
—

 
411

 
67

 
478

Interest rate hedging instruments
—

 
58

 
—

 
58

Effect of netting and allocation of collateral(3)(4)
(1,570
)
 
$
(215
)
 
(34
)
 
(1,819
)
Total liabilities
$
—

 
$
254

 
$
33

 
$
287

___________
(1)
At September 30, 2017 and December 31, 2016, we had cash equivalents of $32 million and $26 million included in cash and cash equivalents and $141 million and $127 million included in restricted cash, respectively.
(2)
Includes OTC swaps and options and retail contracts.
(3)
During the third quarter of 2017, we elected to offset fair value amounts recognized for derivative instruments executed with the same counterparty under a master netting arrangement for financial statement presentation; therefore, amounts recognized for the right to reclaim, or the obligation to return, cash collateral are presented net with the corresponding derivative instrument fair values. See Note 1 for a further description of the change in accounting principle associated with our election to offset fair value amounts associated with our derivative instruments. See Note 6 for further discussion of our derivative instruments subject to master netting arrangements.
(4)
Cash collateral posted with (received from) counterparties allocated to level 1, level 2 and level 3 derivative instruments totaled $51 million, $17 million and $14 million, respectively, at September 30, 2017. Cash collateral posted with (received from) counterparties allocated to level 1, level 2 and level 3 derivative instruments totaled $28 million, $27 million and $17 million, respectively, at December 31, 2016.
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, 2017 and December 31, 2016:
 
 
Quantitative Information about Level 3 Fair Value Measurements
 
 
 
September 30, 2017
 
 
 
Fair Value, Net Asset
 
 
 
Significant Unobservable
 
 
 
 
 
 
 
(Liability)
 
Valuation Technique
 
Input
 
Range
 
 
(in millions)
 
 
 
 
 
 
 
 
 
Power Contracts
 
$
234

 
Discounted cash flow
 
Market price (per MWh)
 
$
6.55

—
$89.83
/MWh
Power Congestion Products
 
$
10

 
Discounted cash flow
 
Market price (per MWh)
 
$
(13.13
)
—
$6.85
/MWh
Natural Gas Contracts
 
$
38

 
Discounted cash flow
 
Market price (per MMBtu)
 
$
0.97

—
$9.35
/MMBtu
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2016
 
 
 
Fair Value, Net Asset
 
 
 
Significant Unobservable
 
 
 
 
 
 
 
(Liability)
 
Valuation Technique
 
Input
 
Range
 
 
(in millions)
 
 
 
 
 
 
 
 
 
Power Contracts
 
$
376

 
Discounted cash flow
 
Market price (per MWh)
 
$
9.60

—
$86.34
/MWh
Power Congestion Products
 
$
12

 
Discounted cash flow
 
Market price (per MWh)
 
$
(7.52
)
—
$13.62
/MWh
Natural Gas Contracts
 
$
18

 
Discounted cash flow
 
Market price (per MMBtu)
 
$
1.95

—
$5.66
/MMBtu
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,
 
 
2017
 
2016
 
2017
 
2016
Balance, beginning of period
 
$
303

 
$
(61
)
 
$
416

 
$
(46
)
Realized and mark-to-market gains (losses):
 
 
 
 
 
 
 
 
Included in net loss:
 
 
 
 
 
 
 
 
Included in operating revenues(1)
 
26

 
30

 
125

 
9

Included in fuel and purchased energy expense(2)
 
(12
)
 
(31
)
 
(1
)
 
(24
)
Change in collateral
 
4

 
(2
)
 
(4
)
 
—

Purchases and settlements:
 
 
 
 
 
 
 
 
Purchases
 
1

 
1

 
2

 
4

Settlements
 
(40
)
 
15

 
(129
)
 
(4
)
Transfers in and/or out of level 3(3):
 
 
 
 
 
 
 
 
Transfers into level 3(4)
 
3

 
1

 
(5
)
 
—

Transfers out of level 3(5)
 
(3
)
 
75

 
(122
)
 
89

Balance, end of period
 
$
282

 
$
28

 
$
282

 
$
28

Change in unrealized gains (losses) relating to instruments still held at end of period
 
$
14

 
$
(1
)
 
$
124

 
$
(15
)
___________
(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, 2017 and 2016.
(4)
There were $3 million and $1 million in gains transferred out of level 2 into level 3 for the three months ended September 30, 2017 and 2016, and $(5) million and nil in losses transferred out of level 2 into level 3 for the nine months ended September 30, 2017 and 2016, respectively, due to changes in market liquidity in various power markets.
(5)
We had $3 million in gains and $(75) million in losses transferred out of level 3 into level 2 for the three months ended September 30, 2017 and 2016, respectively, and $122 million in gains and $(89) million in losses transferred out of level 3 into level 2 for the nine months ended September 30, 2017 and 2016, respectively, due to changes in market liquidity in various power markets.