Fair Value (Tables)

6 Months Ended

Jun. 30, 2015

Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques [Line Items]

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 the periods indicated:



	June 30, 2015								December 31, 2014
	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	$	—	$	332	$	—	$	332	$	—	$	501	$	—	$	501
Certificates of deposit	—		79		—		79		—		151		—		151
Government debt securities	—		33		—		33		—		57		—		57
Subtotal	—		444		—		444		—		709		—		709
Equity securities:
Mutual funds	—		18		—		18		—		25		—		25
Subtotal	—		18		—		18		—		25		—		25
Total available for sale	—		462		—		462		—		734		—		734
TRADING:
Equity securities:
Mutual funds	15		—		—		15		15		—		—		15
Total trading	15		—		—		15		15		—		—		15
DERIVATIVES:
Foreign currency derivatives	—		14		237		251		—		18		218		236
Commodity derivatives	—		44		18		62		—		37		7		44
Total derivatives	—		58		255		313		—		55		225		280
TOTAL ASSETS	$	15	$	520	$	255	$	790	$	15	$	789	$	225	$	1,029
Liabilities
DERIVATIVES:
Interest rate derivatives	$	—	$	178	$	191	$	369	$	—	$	206	$	210	$	416
Cross-currency derivatives	—		32		—		32		—		29		—		29
Foreign currency derivatives	—		38		15		53		—		43		9		52
Commodity derivatives	—		23		1		24		—		16		1		17
Total derivatives	—		271		207		478		—		294		220		514
TOTAL LIABILITIES	$	—	$	271	$	207	$	478	$	—	$	294	$	220	$	514

_____________________________


⁽¹⁾	Amortized cost approximated fair value at June 30, 2015 and December 31, 2014.

Fair Value, Net Derivative Assets (Liabilities) measured on a recurring basis, Unobservable Input Reconciliation 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, 2015 and 2014 (presented net by type of derivative). 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, 2015
	Interest Rate			Foreign Currency			Commodity			Cross Currency			Total
	(in millions)
Balance at the beginning of the period	$	(302	)	$	223		$	4		$	(33	)	$	(108	)
Total gains (losses) (realized and unrealized):
Included in earnings	—			7			—			—			7
Included in other comprehensive income — derivative activity	57			—			—			—			57
Included in other comprehensive income — foreign currency translation activity	(4		)	(6		)	—			—			(10		)
Included in regulatory (assets) liabilities	—			—			8			—			8
Settlements	5			(2		)	5			1			9
Transfers of (assets) liabilities out of Level 3	53			—			—			32			85
Balance at the end of the period	$	(191	)	$	222		$	17		$	—		$	48
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	$	—		$	5		$	(1	)	$	—		$	4



	Three Months Ended June 30, 2014
	Interest Rate			Foreign Currency			Commodity			Total
	(in millions)
Balance at the beginning of the period	$	(87	)	$	101		$	—		$	14
Total gains (losses) (realized and unrealized):
Included in earnings	—			10			3			13
Included in other comprehensive income — derivative activity	(30		)	—			—			(30		)
Included in other comprehensive income — foreign currency translation activity	—			(2		)	—			(2		)
Included in regulatory (assets) liabilities	—			—			15			15
Settlements	3			(2		)	(2		)	(1		)
Transfers of assets (liabilities) into Level 3	(69		)	—			—			(69		)
Balance at the end of the period	$	(183	)	$	107		$	16		$	(60	)
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	$	—		$	9		$	—		$	9



	Six Months Ended June 30, 2015
	Interest Rate			Foreign Currency			Commodity		Total
	(in millions)
Balance at the beginning of the period	$	(210	)	$	209		$	6	$	5
Total gains (losses) (realized and unrealized):
Included in earnings	—			30			2		32
Included in other comprehensive income — derivative activity	3			—			—		3
Included in other comprehensive income — foreign currency translation activity	7			(13		)	—		(6		)
Included in regulatory (assets) liabilities	—			—			8		8
Settlements	9			(4		)	1		6
Balance at the end of the period	$	(191	)	$	222		$	17	$	48
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	$	—		$	26		$	2	$	28



	Six Months Ended June 30, 2014
	Interest Rate			Foreign Currency			Commodity			Total
	(in millions)
Balance at the beginning of the period	$	(101	)	$	93		$	4		$	(4	)
Total gains (losses) (realized and unrealized):
Included in earnings	1			37			1			39
Included in other comprehensive income — derivative activity	(99		)	(1		)	—			(100		)
Included in other comprehensive income — foreign currency translation activity	—			(20		)	—			(20		)
Included in regulatory (assets) liabilities	—			—			12			12
Settlements	16			(3		)	(1		)	12
Transfers of (assets) liabilities out of Level 3	—			1			—			1
Balance at the end of the period	$	(183	)	$	107		$	16		$	(60	)
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		$	34		$	—		$	35

Derivative Assets, Significant unobservable inputs

The table below summarizes the significant unobservable inputs used for Level 3 derivative assets (liabilities) as of June 30, 2015:



Type of Derivative	Fair Value			Unobservable Input	Amount or Range (Weighted Avg)
	(in millions)
Interest rate	$	(191	)	Subsidiaries’ credit spreads	3.75% — 7.34% (5.17%)
Foreign currency:
Derivative — Argentine Peso	220			Argentine Peso to USD currency exchange rate after one year	13.71 — 36.10 (24.25)
Embedded derivative — Euro	2			Subsidiaries’ credit spreads	4.84% — 7.34% (6.09%)
Commodity:
Other	17
Total	$	48

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, 2015:



	Fair Value		Valuation Technique	Unobservable Input	Range (Weighted Average)
	(in millions)
Equity method investment:
Solar Spain	$	29	Discounted cash flow	Annual revenue growth	-3% to 0% (0%)
				Annual pretax operating margin	-13% to 56% (24%)
				Cost of equity	12	%

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 indicated and their level within the fair value hierarchy:



	Six Months Ended June 30, 2015
	Carrying Amount ₍₁₎		Fair Value⁽⁵⁾						Pretax Loss
	Carrying Amount ₍₁₎		Level 1		Level 2		Level 3		Pretax Loss
	(in millions)
Assets
Equity method investment:
Solar Spain	$	29	$	—	$	—	$	29	$	—
Long-lived assets held and used: ⁽²⁾
UK Wind (Development Projects)	38		—		1		—		37
Other	29		—		21		—		8



	Six Months Ended June 30, 2014
	Carrying Amount ₍₁₎		Fair Value⁽⁵⁾						Pretax Loss
			Level 1		Level 2		Level 3
	(in millions)
Assets
Long-lived assets held and used: ⁽²⁾
DPL (East Bend)	$	14	$	—	$	2	$	—	$	12
Ebute	99		—		—		47		52
UK Wind (Newfield)	11		—		—		—		11
Discontinued operations and held-for-sale businesses: ⁽³⁾
Cameroon	372		—		334		—		38
Equity method investments
Silver Ridge Power	317		—		—		273		44
Goodwill: ⁽⁴⁾
DPLER	136		—		—		—		136
Buffalo Gap	28		—		—		10		18

_____________________________


⁽¹⁾	Represents the carrying value at the date of measurement, before fair value adjustment.


⁽²⁾	See Note 15—Asset Impairment Expense for further information.


⁽³⁾	See Note 17—Discontinued Operations and Held-For-Sale Businesses for further information. Fair value of long-lived assets held-for-sale excludes costs to sell.


⁽⁴⁾	See Note 14—Goodwill Impairment for further information.

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, 2015 and December 31, 2014, but for which fair value is disclosed.



	Carrying Amount		Fair Value
			Total		Level 1		Level 2		Level 3
	(in millions)
June 30, 2015
Assets
Accounts receivable — noncurrent ⁽¹⁾	$	260	$	247	$	—	$	—	$	247
Liabilities
Non-recourse debt	15,749		16,101		—		12,644		3,457
Recourse debt	5,014		5,150		—		5,150		—
December 31, 2014
Assets
Accounts receivable — noncurrent ⁽¹⁾	$	301	$	290	$	—	$	—	$	290
Liabilities
Non-recourse debt	15,600		16,008		—		12,538		3,470
Recourse debt	5,258		5,552		—		5,552		—

_____________________________


⁽¹⁾	These accounts receivable principally relate to amounts due from CAMMESA, and are included in Noncurrent assets—Other in the accompanying Condensed Consolidated Balance Sheets. The fair value and carrying amount of these receivables exclude VAT of $31 million and $36 million at June 30, 2015 and December 31, 2014, respectively.