Fair Value (Tables)

6 Months Ended

Jun. 30, 2013

Fair value hierarchy for recurring measurements table

The following table sets forth, by level within the fair value hierarchy, the Company’s financial assets and liabilities that were measured at fair value on a recurring basis as of June 30, 2013 and December 31, 2012:



	June 30, 2013								December 31, 2012
	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
	(in millions)
Assets
AVAILABLE-FOR-SALE:⁽¹⁾
Debt securities:
Unsecured debentures	$	—	$	415	$	—	$	415	$	—	$	448	$	—	$	448
Certificates of deposit	—		196		—		196		—		143		—		143
Government debt securities	—		25		—		25		—		34		—		34
Subtotal	—		636		—		636		—		625		—		625
Equity securities:
Mutual funds	—		52		—		52		—		56		—		56
Subtotal	—		52		—		52		—		56		—		56
Total available-for-sale	—		688		—		688		—		681		—		681
TRADING:
Equity securities:
Mutual funds	13		—		—		13		12		—		—		12
Total trading	13		—		—		13		12		—		—		12
DERIVATIVES:
Interest rate derivatives	—		40		—		40		—		2		—		2
Cross currency derivatives	—		5		—		5		—		6		—		6
Foreign currency derivatives	—		26		78		104		—		2		79		81
Commodity derivatives	—		27		12		39		—		8		3		11
Total derivatives	—		98		90		188		—		18		82		100
TOTAL ASSETS	$	13	$	786	$	90	$	889	$	12	$	699	$	82	$	793
Liabilities
DERIVATIVES:
Interest rate derivatives	$	—	$	326	$	63	$	389	$	—	$	153	$	412	$	565
Cross currency derivatives	—		8		—		8		—		6		—		6
Foreign currency derivatives	—		16		8		24		—		7		7		14
Commodity derivatives	—		17		68		85		—		13		59		72
Total derivatives	—		367		139		506		—		179		478		657
TOTAL LIABILITIES	$	—	$	367	$	139	$	506	$	—	$	179	$	478	$	657

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⁽¹⁾	Amortized cost approximated fair value at June 30, 2013 and December 31, 2012.

Derivatives Level 3 Rollforward Table

The following tables present a reconciliation of net derivative assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and six months ended June 30, 2013 and 2012 (presented net by type of derivative where any foreign currency impacts are presented as part of gains (losses) in earnings or other comprehensive income as appropriate). Transfers between Level 3 and Level 2 are determined as of the end of the reporting period and principally result from changes in the significance of unobservable inputs used to calculate the credit valuation adjustment.



	Three Months Ended June 30, 2013
	Interest Rate			Foreign Currency			Commodity			Total
	(in millions)
Balance at April 1	$	(72	)	$	71		$	(68	)	$	(69	)
Total gains (losses) (realized and unrealized):
Included in earnings	(4		)	9			—			5
Included in other comprehensive income	13			—			—			13
Included in regulatory (assets) liabilities	—			—			11			11
Settlements	4			(1		)	1			4
Transfers of assets (liabilities) into Level 3	(42		)	—			—			(42		)
Transfers of (assets) liabilities out of Level 3	38			(9		)	—			29
Balance at June 30	$	(63	)	$	70		$	(56	)	$	(49	)
Total gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to assets and liabilities held at the end of the period	$	—		$	11		$	1		$	12



	Three Months Ended June 30, 2012
	Interest Rate			Foreign Currency			Commodity			Total
	(in millions)
Balance at April 1	$	(124	)	$	48		$	(46	)	$	(122	)
Total gains (losses) (realized and unrealized):
Included in earnings	—			—			(13		)	(13		)
Included in other comprehensive income	(58		)	—			—			(58		)
Included in regulatory (assets) liabilities	—			—			7			7
Settlements	6			(1		)	—			5
Transfers of assets (liabilities) into Level 3	(105		)	—			—			(105		)
Balance at June 30	$	(281	)	$	47		$	(52	)	$	(286	)
Total gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to assets and liabilities held at the end of the period	$	—		$	(1	)	$	(13	)	$	(14	)



	Six Months Ended June 30, 2013
	Interest Rate			Foreign Currency			Commodity			Total
	(in millions)
Balance at January 1	$	(412	)	$	73		$	(57	)	$	(396	)
Total gains (losses) (realized and unrealized):
Included in earnings	(4		)	8			(11		)	(7		)
Included in other comprehensive income	83			—			—			83
Included in regulatory (assets) liabilities	—			—			10			10
Settlements	48			(2		)	2			48
Transfers of assets (liabilities) into Level 3	—			—			—			—
Transfers of (assets) liabilities out of Level 3	222			(9		)	—			213
Balance at June 30	$	(63	)	$	70		$	(56	)	$	(49	)
Total gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to assets and liabilities held at the end of the period	$	—		$	7		$	(9	)	$	(2	)



	Six Months Ended June 30, 2012
	Interest Rate			Cross Currency			Foreign Currency			Commodity			Total
	(in millions)
Balance at January 1	$	(128	)	$	(18	)	$	51		$	(53	)	$	(148	)
Total gains (losses) (realized and unrealized):
Included in earnings	(1		)	—			(2		)	(5		)	(8		)
Included in other comprehensive income	(19		)	4			—			—			(15		)
Included in regulatory (assets) liabilities	—			—			—			7			7
Settlements	13			8			(2		)	(1		)	18
Transfers of assets (liabilities) into Level 3	(146		)	—			—			—			(146		)
Transfers of (assets) liabilities out of Level 3	—			6			—			—			6
Balance at June 30	$	(281	)	$	—		$	47		$	(52	)	$	(286	)
Total gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to assets and liabilities held at the end of the period	$	—		$	—		$	(3	)	$	(5	)	$	(8	)

Significant unobservable inputs, recurring

The following table summarizes the significant unobservable inputs used for the Level 3 derivative assets (liabilities) as of June 30, 2013:



Type of Derivative	Fair Value			Unobservable Input	Amount or Range (Weighted Average)
	(in millions)
Interest rate	$	(63	)	Subsidiaries’ credit spreads	3.13% - 5.95% (4.47%)
Foreign currency:
Embedded derivative — Argentine Peso	77			Argentine Peso to U.S. Dollar currency exchange rate after 3 years	18.15 - 31.85 (25.68)
Other	(7		)
Commodity:
Embedded derivative — Aluminum	(65		)	Market price of power for customer in Cameroon (per KWh)	$0.06 - $0.14 ($0.12)
Other	9
Total	$	(49	)

Fair value hierarchy for nonrecurring measurements table

The following table summarizes major categories of assets and liabilities measured at fair value on a nonrecurring basis during the period and their level within the fair value hierarchy:



	Six Months Ended June 30, 2013
	Carrying Amount		Fair Value						Gross Loss
	Carrying Amount		Level 1		Level 2		Level 3		Gross Loss
	(in millions)
Assets
Long-lived assets held and used:⁽¹⁾
Beaver Valley	$	61	$	—	$	—	$	15	$	46
Long-lived assets held for sale:⁽¹⁾
Wind turbines	25		—		25		—		—
Discontinued operations and held for sale businesses:⁽²⁾
Ukraine utilities	143		—		113		—		34



	Six Months Ended June 30, 2012
	Carrying Amount		Fair Value						Gross Loss
	Carrying Amount		Level 1		Level 2		Level 3		Gross Loss
	(in millions)
Assets
Long-lived assets held and used:⁽¹⁾
Kelanitissa	$	22	$	—	$	—	$	10	$	12
Long-lived assets held for sale:⁽¹⁾
St. Patrick	33		—		22		—		11
Equity method investments	205		—		155		—		50

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⁽¹⁾	See Note 13 — Asset Impairment Expense for further information.


⁽²⁾	See Note 14 — Discontinued Operations and Held For Sale Businesses for further information. Also, the gross loss equals the carrying amount of the disposal group less its fair value less costs to sell.

Significant unobservable inputs, nonrecurring

The following table summarizes the significant unobservable inputs used in the Level 3 measurement of long-lived assets during the six months ended June 30, 2013:



	Fair Value		Valuation Technique	Unobservable Input	Range (Weighted Average)
	(in millions)				($ in millions)
Long-lived assets held and used:
Beaver Valley	$	15	Discounted cash flow	Annual revenue growth	3% to 45% (19%)
				Annual pretax operating margin	-42% to 41% (25%)
				Weighted-average cost of capital	7	%

Financial instruments not measured at fair value in the condensed consolidated balance sheets

The following table sets forth the carrying amount, fair value and fair value hierarchy of the Company’s financial assets and liabilities that are not measured at fair value in the condensed consolidated balance sheets as of June 30, 2013 and December 31, 2012, but for which fair value is disclosed.



	Carrying Amount		Fair Value
	Carrying Amount		Total		Level 1		Level 2		Level 3
	(in millions)
June 30, 2013
Assets
Accounts receivable — noncurrent⁽¹⁾	$	300	$	163	$	—	$	—	$	163
Liabilities
Non-recourse debt	15,399		16,394		—		14,096		2,298
Recourse debt	5,671		6,032		—		6,032		—
December 31, 2012
Assets
Accounts receivable — noncurrent⁽¹⁾	$	304	$	188	$	—	$	—	$	188
Liabilities
Non-recourse debt	15,383		16,110		—		13,811		2,299
Recourse debt	5,962		6,628		—		6,628		—

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⁽¹⁾	These accounts receivable principally relate to amounts due from the independent system operator in Argentina and are included in “Noncurrent assets — Other” in the accompanying condensed consolidated balance sheets. The fair value of these accounts receivable excludes value-added tax of $52 million and $55 million at June 30, 2013 and December 31, 2012, respectively.

- Definition

Tabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3).

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