Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2012

Fair Value Measurements

Fair value of assets and liabilities that are measured at fair value on a recurring basis

The following table presents the fair value at September 30, 2012 of our assets and liabilities that are measured at fair value on a recurring basis (dollars in millions):

	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (a) (Level 3)			Other			Balance at September 30, 2012
Assets
Nuclear decommissioning trust:
U.S. commingled equity funds	$	—	$	204		$	—		$	—		$	204
Fixed income securities:
U.S. Treasury	93		—			—			—			93
Cash and cash equivalent funds	—		13			—			(3		)(b)	10
Corporate debt	—		79			—			—			79
Mortgage-backed securities	—		83			—			—			83
Municipality bonds	—		86			—			—			86
Other	—		12			—			—			12
Subtotal nuclear decommissioning trust	93		477			—			(3		)	567
Cash equivalents	46		—			—			—			46
Risk management activities — derivative instruments:
Commodity contracts	—		45			60			(40		)(c)	65
Total	$	139	$	522		$	60		$	(43	)	$	678
Liabilities
Risk management activities — derivative instruments:
Commodity contracts	$	—	$	(116	)	$	(110	)	$	88	(c)	$	(138	)

(a)Primarily consists of heat rate options and long-dated electricity contracts.

(b)Represents nuclear decommissioning trust net pending securities sales and purchases.

(c)Primarily represents counterparty netting, margin and collateral (see Note 8).

The following table presents the fair value at December 31, 2011 of our assets and liabilities that are measured at fair value on a recurring basis (dollars in millions):

	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (a) (Level 3)			Other			Balance at December 31, 2011
Assets
Nuclear decommissioning trust:
U.S. commingled equity funds	$	—	$	175		$	—		$	—		$	175
Fixed income securities:
U.S. Treasury	69		—			—			—			69
Cash and cash equivalent funds	—		9			—			(1		)(b)	8
Corporate debt	—		73			—			—			73
Mortgage-backed securities	—		78			—			—			78
Municipality bonds	—		90			—			—			90
Other	—		21			—			—			21
Subtotal nuclear decommissioning trust	69		446			—			(1		)	514
Risk management activities — derivative instruments:
Commodity contracts	—		70			74			(64		)(c)	80
Total	$	69	$	516		$	74		$	(65	)	$	594
Liabilities
Risk management activities — derivative instruments:
Commodity contracts	$	—	$	(241	)	$	(125	)	$	229	(c)	$	(137	)

(a)Primarily consists of heat rate options and long-dated electricity contracts.

(b)Represents nuclear decommissioning trust net pending securities sales and purchases.

(c)Represents counterparty netting, margin and collateral (see Note 8).

Information regarding the entity's internally developed significant unobservable inputs used to value its level 3 instruments

	September 30, 2012 Fair Value (millions)				Valuation	Significant
Commodity Contracts	Assets		Liabilities		Technique	Unobservable Input	Range
Electricity:
Forward Contracts (a)	$	57	$	81	Discounted cash flows	Electricity forward price (per MWh)(b)	$22.00 - $63.71
Option Contracts	—		27		Option model	Electricity forward price (per MWh)(b)	$30.50 - $92.37
						Natural gas forward price (per mmbtu)(c)	$2.98 - $4.38
						Implied electricity price volatilities	16% - 57%
						Implied natural gas price volatilities	17% - 42%
Natural Gas:
Forward Contracts (a)	3		2		Discounted cash flows	Natural gas forward price (per mmbtu)(c)	$2.98 - $4.61
Total	$	60	$	110

(a)Includes swaps and physical and financial contracts.

(b)MWh means megawatt-hour, one million watts per hour.

(c)mmbtu means one million British Thermal Units.

Changes in fair value for assets and liabilities that are measured at fair value on a recurring basis using Level 3 inputs

The following table shows the changes in fair value for our risk management activities assets and liabilities that are measured at fair value on a recurring basis using Level 3 inputs for the three and nine months ended September 30, 2012 and 2011 (dollars in millions):

	Three Months Ended September 30,						Nine Months Ended September 30,
Commodity Contracts	2012			2011			2012			2011
Net derivative balance at beginning of period	$	(45	)	$	(47	)	$	(51	)	$	(38	)
Total net gains (losses) realized/unrealized:
Included in earnings	—			1			2			2
Included in OCI	—			2			(2		)	1
Deferred as a regulatory asset or liability	(3		)	2			4			(4		)
Settlements	(1		)	6			(1		)	10
Transfers into Level 3 from Level 2	(4		)	—			(2		)	(4		)
Transfers from Level 3 into Level 2	3			(2		)	—			(5		)
Net derivative balance at end of period	$	(50	)	$	(38	)	$	(50	)	$	(38	)
Net unrealized gains included in earnings related to instruments still held at end of period	$	—		$	—		$	—		$	1