Assets and Liabilities with Recurring Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2013

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

At March 31, 2013 and December 31, 2012, the derivative instruments classified as level 3 primarily included a longer-term OTC traded commodity contract extending through 2014. This contract is classified as level 3 because the contract terms exceed the period for which liquid market rate information is available. As such, the fair value of the contract incorporates extrapolation assumptions made in the determination of the market price for future delivery periods in which applicable commodity prices were either not observable or lacked corroborative market data. The fair value of the net derivative position classified as level 3 is predominantly driven by market commodity prices; however, given the nature of our net derivative position, we do not believe that a significant change in market commodity prices would have a material impact on our level 3 net fair value. The following table presents quantitative information for the unobservable inputs used in our most significant level 3 fair value measurements at March 31, 2013 and December 31, 2012:



	Quantitative Information about Level 3 Fair Value Measurements
	March 31, 2013
	Fair Value, Net Asset			Significant Unobservable
	(Liability)		Valuation Technique	Input	Range
	(in millions)
Physical Power	$	8	Discounted cash flow	Market price (per MWh)	$31.75 — $56/MWh

	December 31, 2012
	Fair Value, Net Asset			Significant Unobservable
	(Liability)		Valuation Technique	Input	Range
	(in millions)
Physical Power	$	11	Discounted cash flow	Market price (per MWh)	$23.75 — $53.82/MWh

Fair Value, Measurement Inputs, Disclosure

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. The following tables present our financial assets and liabilities that were accounted for at fair value on a recurring basis as of March 31, 2013 and December 31, 2012, by level within the fair value hierarchy:



	Assets and Liabilities with Recurring Fair Value Measures as of March 31, 2013
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Cash equivalents⁽¹⁾	$	1,124	$	—	$	—	$	1,124
Margin deposits	257		—		—		257
Commodity instruments:
Commodity exchange traded futures and swaps contracts	594		—		—		594
Commodity forward contracts⁽²⁾	—		43		21		64
Interest rate swaps	—		5		—		5
Total assets	$	1,975	$	48	$	21	$	2,044
Liabilities:
Margin deposits posted with us by our counterparties	$	1	$	—	$	—	$	1
Commodity instruments:
Commodity exchange traded futures and swaps contracts	655		—		—		655
Commodity forward contracts⁽²⁾	—		33		8		41
Interest rate swaps	—		188		—		188
Total liabilities	$	656	$	221	$	8	$	885



	Assets and Liabilities with Recurring Fair Value Measures as of December 31, 2012
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Cash equivalents⁽¹⁾	$	1,502	$	—	$	—	$	1,502
Margin deposits	196		—		—		196
Commodity instruments:
Commodity exchange traded futures and swaps contracts	385		—		—		385
Commodity forward contracts⁽²⁾	—		24		24		48
Interest rate swaps	—		4		—		4
Total assets	$	2,083	$	28	$	24	$	2,135
Liabilities:
Margin deposits posted with us by our counterparties	$	11	$	—	$	—	$	11
Commodity instruments:
Commodity exchange traded futures and swaps contracts	424		—		—		424
Commodity forward contracts⁽²⁾	—		18		8		26
Interest rate swaps	—		200		—		200
Total liabilities	$	435	$	218	$	8	$	661

___________


(1)	As of March 31, 2013 and December 31, 2012, we had cash equivalents of $952 million and $1,274 million included in cash and cash equivalents and $172 million and $228 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 March 31,
	2013			2012
Balance, beginning of period	$	16		$	17
Realized and unrealized gains (losses):
Included in net loss:
Included in operating revenues⁽¹⁾	1			10
Included in fuel and purchased energy expense⁽²⁾	—			(4		)
Included in OCI	—			4
Purchases, issuances and settlements:
Purchases	—			1
Issuances	—			(1		)
Settlements	(3		)	(6		)
Transfers in and/or out of level 3⁽³⁾:
Transfers into level 3⁽⁴⁾	—			—
Transfers out of level 3⁽⁵⁾	(1		)	(4		)
Balance, end of period	$	13		$	17
Change in unrealized gains relating to instruments still held at end of period	$	1		$	6

___________


(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 or out of level 1 during the three months ended March 31, 2013 and 2012.


(4)	There were no transfers out of level 2 into level 3 for the three months ended March 31, 2013 and 2012.


(5)	We had $1 million and $4 million in gains transferred out of level 3 into level 2 for the three months ended March 31, 2013 and 2012, respectively, due to changes in market liquidity in various power markets.

- 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.

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- 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.

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