Fair Value (Notes)

6 Months Ended

Jun. 30, 2015

Fair Value Disclosures [Abstract]

Fair Value

Fair Value

The fair values of our financial instruments are separated into three broad levels (Levels 1, 2 and 3) based on our assessment of the availability of observable market data and the significance of non-observable data used to determine fair value. Each fair value measurement must be assigned to a level corresponding to the lowest level input that is significant to the fair value measurement in its entirety.

The three broad levels of inputs defined by the fair value hierarchy are as follows:

• Level 1 Inputs—quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date;

• Level 2 Inputs—inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability; and

• Level 3 Inputs—unobservable inputs for the asset or liability. These unobservable inputs reflect the entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability, and are developed based on the best information available in the circumstances (which might include the reporting entity’s own data).

Fair Value of Derivative Contracts

The following two tables summarize the fair value measurements of our (i) energy commodity derivative contracts; (ii) interest rate swap agreements; and (iii) cross-currency swap agreements, based on the three levels established by the Codification (in millions). The tables also identify the impact of derivative contracts which we have elected to present on our accompanying consolidated balance sheets on a gross basis that are eligible for netting under master netting agreements. 

	Balance sheet asset fair value measurements by level														Net amount
	Level 1		Level 2		Level 3		Gross amount		Contracts available for netting			Cash collateral held(b)
As of June 30, 2015
Energy commodity derivative contracts(a)	$	32	$	370	$	9	$	411	$	(52	)	$	(12	)	$	347
Interest rate swap agreements	$	—	$	348	$	—	$	348	$	(62	)	$	—		$	286
Cross-currency swap agreements	$	—	$	13	$	—	$	13	$	(13	)	$	—		$	—
As of December 31, 2014
Energy commodity derivative contracts(a)	$	49	$	533	$	12	$	594	$	(46	)	$	(13	)	$	535
Interest rate swap agreements	$	—	$	403	$	—	$	403	$	(44	)	$	—		$	359

	Balance sheet liability fair value measurements by level																Net amount
	Level 1			Level 2			Level 3			Gross amount			Contracts available for netting		Collateral posted(c)
As of June 30, 2015
Energy commodity derivative contracts(a)	$	(6	)	$	(54	)	$	(46	)	$	(106	)	$	52	$	24	$	(30	)
Interest rate swap agreements	$	—		$	(86	)	$	—		$	(86	)	$	62	$	—	$	(24	)
Cross-currency swap agreements	$	—		$	(31	)	$	—		$	(31	)	$	13	$	—	$	(18	)
As of December 31, 2014
Energy commodity derivative contracts(a)	$	(25	)	$	(11	)	$	(73	)	$	(109	)	$	46	$	47	$	(16	)
Interest rate swap agreements	$	—		$	(53	)	$	—		$	(53	)	$	44	$	—	$	(9	)

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(a) Level 1 consists primarily of NYMEX natural gas futures.  Level 2 consists primarily of OTC West Texas Intermediate swaps and options.  Level 3 consists primarily of power derivative contracts.

(b) Cash margin deposits held by us associated with our energy commodity contract positions and OTC swap agreements and reported within “Other current liabilities” on our accompanying consolidated balance sheets.

(c) Cash margin deposits posted by us associated with our energy commodity contract positions and OTC swap agreements and reported within “Other current assets” on our accompanying consolidated balance sheets.

The table below provides a summary of changes in the fair value of our Level 3 energy commodity derivative contracts (in millions): 

Significant unobservable inputs (Level 3)
	Three Months Ended June 30,						Six Months Ended June 30,
	2015			2014			2015			2014
Derivatives-net asset (liability)
Beginning of Period	$	(49	)	$	(100	)	$	(61	)	$	(110	)
Total gains or (losses)
Included in earnings	—			(21		)	—			(14		)
Included in other comprehensive loss	—			(9		)	—			(10		)
Settlements	12			14			24			18
End of Period	$	(37	)	$	(116	)	$	(37	)	$	(116	)
The amount of total gains or (losses) for the period included in earnings attributable to the change in unrealized gains or (losses) relating to assets held at the reporting date	$	1		$	(13	)	$	3		$	(16	)

As of June 30, 2015, our Level 3 derivative assets and liabilities consisted primarily of power derivative contracts, where a significant portion of fair value is calculated from underlying market data that is not readily observable. The derived values use industry standard methodologies that may consider the historical relationships among various commodities, modeled market prices, time value, volatility factors and other relevant economic measures. The use of these inputs results in management’s best estimate of fair value.

Fair Value of Financial Instruments

The estimated fair value of our outstanding debt balances (the carrying amounts below include both short-term and long-term and debt fair value adjustments), is disclosed below (in millions): 

	June 30, 2015				December 31, 2014
	Carrying value		Estimated fair value		Carrying value		Estimated fair value
Total debt	$	44,553	$	43,790	$	42,814	$	43,582

We used Level 2 input values to measure the estimated fair value of our outstanding debt balances as of both June 30, 2015 and December 31, 2014.