Assets and Liabilities with Recurring Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2013

Fair Value Measurements [Abstract]

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 June 30, 2013 and December 31, 2012, by level within the fair value hierarchy:

	Assets and Liabilities with Recurring Fair Value Measures as of June 30, 2013
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Cash equivalents(1)	$	871	$	—	$	—	$	871
Margin deposits	276		—		—		276
Commodity instruments:
Commodity exchange traded futures and swaps contracts	595		—		—		595
Commodity forward contracts(2)	—		112		22		134
Interest rate swaps	—		8		—		8
Total assets	$	1,742	$	120	$	22	$	1,884
Liabilities:
Margin deposits posted with us by our counterparties	$	3	$	—	$	—	$	3
Commodity instruments:
Commodity exchange traded futures and swaps contracts	646		—		—		646
Commodity forward contracts(2)	—		121		9		130
Interest rate swaps	—		145		—		145
Total liabilities	$	649	$	266	$	9	$	924

	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

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(1) As of June 30, 2013 and December 31, 2012, we had cash equivalents of $699 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 Inputs, Liabilities, Quantitative Information

At June 30, 2013 and December 31, 2012, the derivative instruments classified as level 3 primarily included a longer-term OTC traded commodity contract which is classified as level 3 because the contract terms relate to a delivery location for which observable market rate information is not available. 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 June 30, 2013 and December 31, 2012:

	Quantitative Information about Level 3 Fair Value Measurements
	June 30, 2013
	Fair Value, Net Asset			Significant Unobservable
	(Liability)		Valuation Technique	Input	Range
	(in millions)
Physical Power	$	6	Discounted cash flow	Market price (per MWh)	$31.00 — $50.00/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, 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,
	2013			2012			2013			2012
Balance, beginning of period	$	13		$	17		$	16		$	17
Realized and unrealized gains (losses):
Included in net loss:
Included in operating revenues(1)	3			(24		)	4			(17		)
Included in fuel and purchased energy expense(2)	—			2			—			—
Included in OCI	—			—			—			4
Purchases, issuances and settlements:
Purchases	1			1			1			1
Issuances	—			(1		)	(1		)	(1		)
Settlements	(3		)	(5		)	(5		)	(11		)
Transfers in and/or out of level 3(3):
Transfers into level 3(4)	—			—			—			—
Transfers out of level 3(5)	(1		)	—			(2		)	(3		)
Balance, end of period	$	13		$	(10	)	$	13		$	(10	)
Change in unrealized gains (losses) relating to instruments still held at end of period	$	3		$	(22	)	$	4		$	(17	)

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(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 for each of the three and six months ended June 30, 2013 and 2012.

(4) There were no transfers out of level 2 into level 3 for each of the three and six months ended June 30, 2013 and 2012.

(5) We had $1 million in gains transferred out of level 3 into level 2 for the three months ended June 30, 2013 and $2 million and $3 million in gains transferred out of level 3 into level 2 for the six months ended June 30, 2013 and 2012, respectively, due to changes in market liquidity in various power markets. There were no transfers out of level 3 into level 2 for the three months ended June 30, 2012.