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Derivative Instruments (Tables)
 6 Months Ended
Jun. 30, 2011
Derivative Instruments [Abstract]  
Notional amounts table

 

 

 

Notional Amounts

 

 

 

June 30,
2011

 

 

December 31,
2010

 

Derivative Instruments

 

 

 

 

 

 

 

 

Power (MWh)

 

 

(40

)

 

 

(50

)

Natural gas (MMBtu)

 

 

170

 

 

 

31

 

Interest rate swaps(1)

 

$

5,191

 

 

$

6,171

 

_________

(1)
Approximately $4.1 billion and $3.3 billion at June 30, 2011 and December 31, 2010, respectively, related to variable rate debt that was converted to fixed rate debt in 2011 and 2010.

 
Fair value of derivative instruments table

 

 

 

June 30, 2011

 

 

 

Interest Rate
Swaps

 

 

Commodity
Instruments

 

 

Total Derivative
Instruments

 

Balance Sheet Presentation

 

 

 

 

 

 

 

 

 

 

 

 

Current derivative assets

 

$

—

 

 

$

569

 

 

$

569

 

Long-term derivative assets

 

 

1

 

 

 

109

 

 

 

110

 

Total derivative assets

 

$

1

 

 

$

678

 

 

$

679

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Current derivative liabilities

 

$

195

 

 

$

448

 

 

$

643

 

Long-term derivative liabilities

 

 

119

 

 

 

102

 

 

 

221

 

Total derivative liabilities

 

$

314

 

 

$

550

 

 

$

864

 

Net derivative assets (liabilities)

 

$

(313

)

 

$

128

 

 

$

(185

)

 
Fair value of derivative instruments table

 

 

 

December 31, 2010

 

 

 

Interest Rate
Swaps

 

 

Commodity
Instruments

 

 

Total Derivative
Instruments

 

Balance Sheet Presentation

 

 

 

 

 

 

 

 

 

 

 

 

Current derivative assets  

 

$

—

 

 

$

725

 

 

$

725

 

Long-term derivative assets

 

 

4

 

 

 

166

 

 

 

170

 

Total derivative assets

 

$

4

 

 

$

891

 

 

$

895

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Current derivative liabilities

 

$

197

 

 

$

521

 

 

$

718

 

Long-term derivative liabilities

 

 

174

 

 

 

196

 

 

 

370

 

Total derivative liabilities

 

$

371

 

 

$

717

 

 

$

1,088

 

Net derivative assets (liabilities)

 

$

(367

)

 

$

174

 

 

$

(193

)

 
Derivative instrument by accounting designation table

 

 

 

June 30, 2011

 

 

December 31, 2010

 

 

 

Fair Value of
Derivative Assets

 

 

Fair Value of
Derivative Liabilities

 

 

Fair Value of
Derivative Assets

 

 

Fair Value of
Derivative Liabilities

 

Derivatives designated as cash flow hedging instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

$

—

 

 

$

49

 

 

$

2

 

 

$

143

 

Commodity instruments

 

 

104

 

 

 

41

 

 

 

161

 

 

 

52

 

Total derivatives designated as cash flow hedging instruments

 

$

104

 

 

$

90

 

 

$

163

 

 

$

195

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives not designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

$

1

 

 

$

265

 

 

$

2

 

 

$

228

 

Commodity instruments

 

 

574

 

 

 

509

 

 

 

730

 

 

 

665

 

Total derivatives not designated as hedging instruments

 

$

575

 

 

$

774

 

 

$

732

 

 

$

893

 

Total derivatives

 

$

679

 

 

$

864

 

 

$

895

 

 

$

1,088

 

 
Realized / Unrealized gain loss by instrument table

 

 

 

Three Months Ended June 30,

 

 

Six Months Ended June 30,

 

 

 

2011

 

 

2010

 

 

2011

 

 

2010

 

Realized gain (loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

$

(60

)

 

$

(6

)

 

$

(106

)

 

$

(12

)

Commodity derivative instruments

 

 

42

 

 

 

59

 

 

 

52

 

 

 

52

 

Total realized gain (loss)

 

$

(18

)

 

$

53

 

 

$

(54

)

 

$

40

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized gain (loss)(1)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps  

 

$

24

 

 

$

(16

)

 

$

(38

)

 

$

(19

)

Commodity derivative instruments

 

 

26

 

 

 

(31

)

 

 

(39

)

 

 

81

 

Total unrealized gain (loss)

 

$

50

 

 

$

(47

)

 

$

(77

)

 

$

62

 

Total mark-to-market activity

 

$

32

 

 

$

6

 

 

$

(131

)

 

$

102

 

_________

(1)
Changes in unrealized gain (loss) include de-designation of interest rate swap cash flow hedges and related reclassification from AOCI into income, hedge ineffectiveness and adjustments to reflect changes in credit default risk exposure.

 
Realized and unrealized gain loss by Income Statement line item table

 

 

 

Three Months Ended June 30,

 

 

Six Months Ended June 30,

 

 

 

2011

 

 

2010

 

 

2011

 

 

2010

 

Realized and unrealized gain (loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Power contracts included in operating revenues

 

$

48

 

 

$

41

 

 

$

(9

)

 

$

12

 

Natural gas contracts included in fuel and purchased energy expense

 

 

20

 

 

 

(13

)

 

 

22

 

 

 

121

 

Interest rate swaps included in interest expense

 

 

1

 

 

 

(30

)

 

 

2

 

 

 

(28

)

Gain (loss) on interest rate derivatives, net

 

 

(37

)

 

 

8

 

 

 

(146

)

 

 

(3

)

Total mark-to-market activity

 

$

32

 

 

$

6

 

 

$

(131

)

 

$

102

 

 
Derivatives designated as hedges activity table

 

 

 

Three Months Ended June 30,

 

 

 

Gain (Loss) Recognized in OCI (Effective Portion)

 

 

Gain (Loss) Reclassified from AOCI Into Income (Effective Portion)(2)

 

 

Gain (Loss) Reclassified from AOCI Into Income (Ineffective Portion)

 

 

 

2011

 

 

2010

 

 

2011

 

 

2010

 

 

2011

 

 

2010

 

Interest rate swaps

 

$

(9

)

 

$

(16

)

 

$

(22

)

 

$

(62

)

 

$

(1

)

 

$

—

 

Commodity derivative instruments

 

 

(39

)

 

 

(47

)

 

 

53

 

 

 

54

 

 

 

1

 

 

 

3

 

Total

 

$

(48

)

 

$

(63

)

 

$

31

 

 

$

(8

)

 

$

—

 

 

$

3

 

 
Derivatives designated as hedges activity table

 

 

 

Six Months Ended June 30,

 

 

 

Gain (Loss) Recognized in OCI (Effective Portion)

 

 

Gain (Loss) Reclassified from AOCI Into Income (Effective Portion)(2)

 

 

Gain (Loss) Reclassified from AOCI Into Income (Ineffective Portion)

 

 

 

2011

 

 

2010

 

 

2011

 

 

2010

 

 

2011

 

 

2010

 

Interest rate swaps

 

$

94

 

 

$

(27

)

 

$

(123

)(4)

 

$

(122

)

 

$

(1

)

 

$

—

 

Commodity derivative instruments

 

 

(36

)

 

 

79

 

 

 

79

(1)

 

 

100

 

 

 

1

 

 

 

1

 

Total

 

$

58

 

 

$

52

 

 

$

(44

)

 

$

(22

)

 

$

—

 

 

$

1

 

_________

(1)
Included in operating revenues and fuel and purchased energy expense on our Consolidated Condensed Statements of Operations.
(2)
Cumulative cash flow hedge losses remaining in AOCI were $81 million and $122 million at June 30, 2011 and December 31, 2010, respectively.
(3)
Reclassification of losses from OCI to earnings for the three months ended June 30, 2011 consisted of $7 million in losses from the reclassification of interest rate contracts due to settlement and $15 million in losses from terminated interest rate contracts due to the repayment of project debt in June 2011.
(4)
Reclassification of losses from OCI to earnings for the six months ended June 30, 2011 consisted of $17 million in losses from the reclassification of interest rate contracts due to settlement, $15 million in losses from terminated interest rate contracts due to the repayment of project debt in June 2011, and $91 million in losses from existing interest rate contracts reclassified from OCI into earnings due to the refinance of variable rate First Lien Credit Facility term loans.