Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2014

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 June 30, 2014 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 June 30, 2014
Assets
Risk management activities — derivative instruments:
Commodity contracts	$	—	$	17		$	33		$	(13	)(b)	$	37
Nuclear decommissioning trust:
U.S. commingled equity funds	—		291			—			—			291
Fixed income securities:
U.S. Treasury	122		—			—			—			122
Cash and cash equivalent funds	—		9			—			(5		)(c)	4
Corporate debt	—		106			—			—			106
Mortgage-backed securities	—		82			—			—			82
Municipality bonds	—		63			—			—			63
Other	—		14			—			—			14
Subtotal nuclear decommissioning trust	122		565			—			(5		)	682
Total	$	122	$	582		$	33		$	(18	)	$	719
Liabilities
Risk management activities — derivative instruments:
Commodity contracts	$	—	$	(19	)	$	(75	)	$	49	(b)	$	(45	)

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

(b) Primarily represents counterparty netting, margin and collateral (see Note 7).

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

The following table presents the fair value at December 31, 2013 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, 2013
Assets
Risk management activities — derivative instruments:
Commodity Contracts	$	—	$	9		$	41		$	(9	)(b)	$	41
Nuclear decommissioning trust:
U.S. commingled equity funds	—		272			—			—			272
Fixed income securities:
U.S. Treasury	107		—			—			—			107
Cash and cash equivalent funds	—		11			—			(3		)(c)	8
Corporate debt	—		88			—			—			88
Mortgage-backed securities	—		85			—			—			85
Municipality bonds	—		71			—			—			71
Other	—		11			—			—			11
Subtotal nuclear decommissioning trust	107		538			—			(3		)	642
Total	$	107	$	547		$	41		$	(12	)	$	683
Liabilities
Risk management activities — derivative instruments:
Commodity contracts	$	—	$	(33	)	$	(90	)	$	21	(b)	$	(102	)

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

(b) Represents counterparty netting, margin and collateral (see Note 7).

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

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

	June 30, 2014 Fair Value (millions)				Valuation	Significant		Weighted-
Commodity Contracts	Assets		Liabilities		Technique	Unobservable Input	Range	Average
Electricity:
Forward Contracts (a)	$	29	$	52	Discounted cash flows	Electricity forward price (per MWh)	$25.27 - $73.70	$	42.78
Option Contracts (b)	—		20		Option model	Electricity forward price (per MWh)	$40.56 - $94.30	$	62.18
						Natural gas forward price (per MMBtu)	$3.93 - $4.04	$	4.00
						Electricity price volatilities	23% - 111%	53		%
						Natural gas price volatilities	23% - 49%	31		%
Natural Gas:
Forward Contracts (a)	4		3		Discounted cash flows	Natural gas forward price (per MMBtu)	$3.87 - $4.45	$	4.07
Total	$	33	$	75

(a) Includes swaps and physical and financial contracts.

(b) Electricity and natural gas price volatilities are estimated based on historical forward price movements due to lack of market quotes for implied volatilities.

	December 31, 2013 Fair Value (millions)				Valuation	Significant		Weighted-
Commodity Contracts	Assets		Liabilities		Technique	Unobservable Input	Range	Average
Electricity:
Forward Contracts (a)	$	40	$	66	Discounted cash flows	Electricity forward price (per MWh)	$24.89 - $65.04	$	41.09
Option Contracts (b)	—		19		Option model	Electricity forward price (per MWh)	$39.91 - $85.41	$	58.70
						Natural gas forward price (per MMBtu)	$3.57 - $3.80	$	3.71
						Electricity price volatilities	35% - 94%	59		%
						Natural gas price volatilities	22% - 36%	27		%
Natural Gas:
Forward Contracts (a)	1		5		Discounted cash flows	Natural gas forward price (per MMBtu)	$3.47 - $4.31	$	3.87
Total	$	41	$	90

(a) Includes swaps and physical and financial contracts.

(b) Electricity and gas price volatilities are based on historical forward price movements due to lack of market quotes for implied volatilities.

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 six months ended June 30, 2014 and 2013 (dollars in millions):

	Three Months Ended June 30,						Six Months Ended June 30,
Commodity Contracts	2014			2013			2014			2013
Net derivative balance at beginning of period	$	(49	)	$	(53	)	$	(49	)	$	(48	)
Total net gains (losses) realized/unrealized:
Deferred as a regulatory asset or liability	3			(4		)	6			(5		)
Settlements	4			4			5			2
Transfers into Level 3 from Level 2	1			—			(2		)	(1		)
Transfers from Level 3 into Level 2	—			—			(1		)	(1		)
Net derivative balance at end of period	$	(41	)	$	(53	)	$	(41	)	$	(53	)
Net unrealized gains included in earnings related to instruments still held at end of period	$	—		$	—		$	—		$	—