Fair Value (Tables)

3 Months Ended

Mar. 31, 2017

Mar. 31, 2016

Marketable Securities [Table Text Block]

The following table presents gross proceeds from the sale of AFS securities during the periods indicated (in millions):



	Three Months Ended March 31,
	2017		2016
Gross proceeds from sale of AFS securities	$	921	$	1,360

Fair value hierarchy for recurring measurements table

The following table presents, 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 dates indicated (in millions). For the Company’s investments in marketable debt and equity securities, the security classes presented are determined based on the nature and risk of the security and are consistent with how the Company manages, monitors and measures its marketable securities:



	March 31, 2017								December 31, 2016
	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Assets
AVAILABLE FOR SALE:
Debt securities:
Unsecured debentures	$	—	$	328	$	—	$	328	$	—	$	360	$	—	$	360
Certificates of deposit	—		238		—		238		—		372		—		372
Government debt securities	—		6		—		6		—		9		—		9
Subtotal	—		572		—		572		—		741		—		741
Equity securities:
Mutual funds	—		52		—		52		—		49		—		49
Subtotal	—		52		—		52		—		49		—		49
Total available for sale	—		624		—		624		—		790		—		790
TRADING:
Equity securities:
Mutual funds	17		—		—		17		16		—		—		16
Total trading	17		—		—		17		16		—		—		16
DERIVATIVES:
Interest rate derivatives	—		18		—		18		—		18		—		18
Cross-currency derivatives	—		10		—		10		—		4		—		4
Foreign currency derivatives	—		47		231		278		—		54		255		309
Commodity derivatives	—		38		4		42		—		38		7		45
Total derivatives — assets	—		113		235		348		—		114		262		376
TOTAL ASSETS	$	17	$	737	$	235	$	989	$	16	$	904	$	262	$	1,182
Liabilities
DERIVATIVES:
Interest rate derivatives	$	—	$	118	$	183	$	301	$	—	$	121	$	179	$	300
Cross-currency derivatives	—		10		—		10		—		18		—		18
Foreign currency derivatives	—		48		—		48		—		64		—		64
Commodity derivatives	—		26		2		28		—		40		2		42
Total derivatives — liabilities	—		202		185		387		—		243		181		424
TOTAL LIABILITIES	$	—	$	202	$	185	$	387	$	—	$	243	$	181	$	424

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 months ended March 31, 2017 and 2016 (presented net by type of derivative in millions). 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 March 31, 2017	Interest Rate			Foreign Currency			Commodity			Total
Balance at January 1	$	(179	)	$	255		$	5		$	81
Total realized and unrealized losses:
Included in earnings	—			(16		)	—			(16		)
Included in other comprehensive income — derivative activity	(12		)	—			—			(12		)
Settlements	10			(8		)	(3		)	(1		)
Transfers of liabilities into Level 3	(4		)	—			—			(4		)
Transfers of liabilities out of Level 3	2			—			—			2
Balance at March 31	$	(183	)	$	231		$	2		$	50
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	$	2		$	(24	)	$	—		$	(22	)



Three Months Ended March 31, 2016	Interest Rate			Foreign Currency			Commodity			Total
Balance at January 1	$	(304	)	$	277		$	3		$	(24	)
Total realized and unrealized gains (losses):
Included in earnings	3			47			—			50
Included in other comprehensive income — derivative activity	(99		)	3			—			(96		)
Included in other comprehensive income — foreign currency translation activity	(3		)	(33		)	—			(36		)
Settlements	18			(1		)	(3		)	14
Transfers of liabilities into Level 3	(31		)	—			—			(31		)
Transfers of assets out of Level 3	—			(3		)	—			(3		)
Balance at March 31	$	(416	)	$	290		$	—		$	(126	)
Total gains 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	$	4		$	45		$	—		$	49

Derivative Assets, Significant unobservable inputs

The following table summarizes the significant unobservable inputs used for Level 3 derivative assets (liabilities) as of March 31, 2017 (in millions, except range amounts):



Type of Derivative	Fair Value			Unobservable Input	Amount or Range (Weighted Avg)
Interest rate	$	(183	)	Subsidiaries’ credit spreads	2.3% to 5.5% (3.7%)
Foreign currency:
Argentine Peso	231			Argentine Peso to USD currency exchange rate after one year	17.7 to 29.6 (23.5)
Commodity:
Other	2
Total	$	50

The following table summarizes the significant unobservable inputs used in the Level 3 measurement on a nonrecurring basis during the three months ended March 31, 2017 (in millions, except range amounts):



	Fair Value		Valuation Technique	Unobservable Input	Range (Weighted Average)
Long-lived assets held and used:
DP&L	$	11	Discounted cash flow	Pretax operating margin (through remaining life)	10% to 22% (15%)
				Weighted-average cost of capital	7%
Tait Energy Storage	7		Discounted cash flow	Annual pretax operating margin	46% to 85% (80%)
				Weighted-average cost of capital	9%

Fair value hierarchy for nonrecurring measurements table

The following table summarizes our major categories of assets and liabilities measured at fair value on a nonrecurring basis and their level within the fair value hierarchy (in millions):



Three Months Ended March 31, 2017	Measurement Date	Carrying Amount (1)		Fair Value						Pretax Loss
Assets	Measurement Date	Carrying Amount (1)		Level 1		Level 2		Level 3		Pretax Loss
Long-lived assets held and used: ⁽²⁾
DP&L	02/28/2017	$	77	$	—	$	—	$	11	$	66
Tait Energy Storage	02/28/2017	15		—		—		7		8
Held-for-sale businesses: ⁽³⁾
Kazakhstan	03/31/2017	171		—		29		—		94



Three Months Ended March 31, 2016	Measurement Date	Carrying Amount (1)		Fair Value						Pretax Loss
Assets	Measurement Date	Carrying Amount (1)		Level 1		Level 2		Level 3		Pretax Loss
Long-lived assets held and used: ⁽²⁾
Buffalo Gap II	03/31/2016	$	251	$	—	$	—	$	92	$	159

_____________________________


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


⁽²⁾	See Note 14—Asset Impairment Expense for further information.


⁽³⁾	Per the Company’s policy, pretax loss is limited to the impairment of long-lived assets. Any additional loss will be recognized on completion of the sale. See Note 16—Held-for-Sale Businesses and Dispositions for further information

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

The following table presents (in millions) 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 March 31, 2017 and December 31, 2016, but for which fair value is disclosed:



		March 31, 2017
		Carrying Amount		Fair Value
		Carrying Amount		Total		Level 1		Level 2		Level 3
Assets:	Accounts receivable — noncurrent ⁽¹⁾	$	252	$	340	$	—	$	19	$	321
Liabilities:	Non-recourse debt	15,834		16,318		—		15,096		1,222
	Recourse debt	4,500		4,723		—		4,723		—



		December 31, 2016
		Carrying Amount		Fair Value
		Carrying Amount		Total		Level 1		Level 2		Level 3
Assets:	Accounts receivable — noncurrent ⁽¹⁾	$	264	$	350	$	—	$	20	$	330
Liabilities:	Non-recourse debt	15,792		16,188		—		15,120		1,068
	Recourse debt	4,671		4,899		—		4,899		—

_____________________________


⁽¹⁾	These amounts principally relate to amounts due from CAMMESA, the administrator of the wholesale electricity market in Argentina, and are included in Other noncurrent assets in the accompanying Condensed Consolidated Balance Sheets. The fair value and carrying amount of these receivables exclude VAT of $38 million and $24 million as of March 31, 2017 and December 31, 2016, respectively.