Assets and Liabilities with Recurring Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2012

Fair Value Inputs, Liabilities, Quantitative Information [Table Text Block]

The following table presents quantitative information for the unobservable inputs used in our most significant level 3 fair value measurements at June 30, 2012.



	Quantitative Information about Level 3 Fair Value Measurements
	June 30, 2012
	Fair Value, Net Asset				Significant Unobservable
	(Liability)			Valuation Technique	Input(s)	Range
	(in millions)
Physical Power	$	(8	)	Discounted cash flow	Market price (per MWh)	$19.30 — $160.75/MWh

Fair Value, Measurement Inputs, Disclosure

The following tables present our financial assets and liabilities that were accounted for at fair value on a recurring basis as of June 30, 2012 and December 31, 2011, by level within the fair value hierarchy. Financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. Our assessment of the significance of a particular input to the fair value measurement requires judgment and may affect our estimate of the fair value of our assets and liabilities and their placement within the fair value hierarchy levels.



	Assets and Liabilities with Recurring Fair Value Measures as of June 30, 2012
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Cash equivalents⁽¹⁾	$	723	$	—	$	—	$	723
Margin deposits	262		—		—		262
Commodity instruments:
Commodity exchange traded futures and swaps contracts	923		—		—		923
Commodity forward contracts⁽²⁾	—		252		26		278
Interest rate swaps	—		6		—		6
Total assets	$	1,908	$	258	$	26	$	2,192
Liabilities:
Margin deposits held by us posted by our counterparties	$	45	$	—	$	—	$	45
Commodity instruments:
Commodity exchange traded futures and swaps contracts	745		—		—		745
Commodity forward contracts⁽²⁾	—		541		36		577
Interest rate swaps	—		197		—		197
Total liabilities	$	790	$	738	$	36	$	1,564



	Assets and Liabilities with Recurring Fair Value Measures as of December 31, 2011
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Cash equivalents⁽¹⁾	$	1,415	$	—	$	—	$	1,415
Margin deposits	140		—		—		140
Commodity instruments:
Commodity exchange traded futures and swaps contracts	1,043		—		—		1,043
Commodity forward contracts⁽²⁾	—		74		37		111
Interest rate swaps	—		10		—		10
Total assets	$	2,598	$	84	$	37	$	2,719
Liabilities:
Margin deposits held by us posted by our counterparties	$	34	$	—	$	—	$	34
Commodity instruments:
Commodity exchange traded futures and swaps contracts	899		—		—		899
Commodity forward contracts⁽²⁾	—		184		20		204
Interest rate swaps	—		320		—		320
Total liabilities	$	933	$	504	$	20	$	1,457

___________


(1)	As of June 30, 2012 and December 31, 2011, we had cash equivalents of $574 million and $1,249 million included in cash and cash equivalents and $149 million and $166 million included in restricted cash, respectively.


(2)	Includes OTC swaps and options.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The following table sets forth a reconciliation of changes in the fair value of our net derivative assets (liabilities) classified as level 3 in the fair value hierarchy for the periods indicated (in millions):



	Three Months Ended June 30,						Six Months Ended June 30,
	2012			2011			2012			2011
Balance, beginning of period	$	17		$	12		$	17		$	30
Realized and unrealized gains (losses):
Included in net loss:
Included in operating revenues⁽¹⁾	(24		)	10			(17		)	6
Included in fuel and purchased energy expense⁽²⁾	2			1			—			—
Included in OCI	—			4			4			5
Purchases, issuances and settlements:
Purchases	1			1			1			1
Issuances	(1		)	—			(1		)	—
Settlements	(5		)	(7		)	(11		)	(21		)
Transfers in and/or out of level 3⁽³⁾:
Transfers into level 3⁽⁴⁾	—			—			—			—
Transfers out of level 3⁽⁵⁾	—			—			(3		)	—
Balance, end of period	$	(10	)	$	21		$	(10	)	$	21
Change in unrealized gains (losses) relating to instruments still held at end of period	$	(22	)	$	11		$	(17	)	$	7

___________


(1)	For power contracts and Heat Rate swaps and options, included on our Consolidated Condensed Statements of Operations.


(2)	For natural gas contracts, swaps and options, included on our Consolidated Condensed Statements of Operations.


(3)	We transfer amounts among levels of the fair value hierarchy as of the end of each period. There were no transfers into/out of level 1 during the three and six months ended June 30, 2012 and 2011.


(4)	There were no transfers out of level 2 into level 3 for the three and six months ended June 30, 2012 and 2011.


(5)	We had $3 million of transfers out of level 3 into level 2 for the six months ended June 30, 2012. There were no transfers out of level 3 for the three months ended June 30, 2012 and for the three and six months ended June 30, 2011.

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References+ Details

- Definition

The entire disclosure of the fair value measurement of assets and liabilities, which includes financial instruments measured at fair value that are classified in shareholders' equity, which may be measured on a recurring or nonrecurring basis.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 820

-SubTopic 10

-Section 50

-Paragraph 3

-URI http://asc.fasb.org/extlink&oid=7578670&loc=d3e19279-110258

Reference 2: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 820

-SubTopic 10

-Section 50

-Paragraph 1

-URI http://asc.fasb.org/extlink&oid=7578670&loc=d3e19190-110258

Reference 3: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 157

-Paragraph 33

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 4: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 820

-SubTopic 10

-Section 50

-Paragraph 2

-URI http://asc.fasb.org/extlink&oid=7578670&loc=d3e19207-110258

Reference 5: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 157

-Paragraph 32

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 6: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 107

-Paragraph 10

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 7: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 157

-Paragraph 6

-Footnote 4

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

+ Details