Assets and Liabilities with Recurring Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2014

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, 2014 and December 31, 2013, by level within the fair value hierarchy:



	Assets and Liabilities with Recurring Fair Value Measures as of March 31, 2014
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Cash equivalents⁽¹⁾	$	717	$	—	$	—	$	717
Margin deposits	235		—		—		235
Commodity instruments:
Commodity exchange traded futures and swaps contracts	717		—		—		717
Commodity forward contracts⁽²⁾	—		69		36		105
Interest rate swaps	—		7		—		7
Total assets	$	1,669	$	76	$	36	$	1,781
Liabilities:
Margin deposits posted with us by our counterparties	$	18	$	—	$	—	$	18
Commodity instruments:
Commodity exchange traded futures and swaps contracts	684		—		—		684
Commodity forward contracts⁽²⁾	—		120		28		148
Interest rate swaps	—		126		—		126
Total liabilities	$	702	$	246	$	28	$	976



	Assets and Liabilities with Recurring Fair Value Measures as of December 31, 2013
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Cash equivalents⁽¹⁾	$	1,134	$	—	$	—	$	1,134
Margin deposits	261		—		—		261
Commodity instruments:
Commodity exchange traded futures and swaps contracts	434		—		—		434
Commodity forward contracts⁽²⁾	—		75		32		107
Interest rate swaps	—		9		—		9
Total assets	$	1,829	$	84	$	32	$	1,945
Liabilities:
Margin deposits posted with us by our counterparties	$	5	$	—	$	—	$	5
Commodity instruments:
Commodity exchange traded futures and swaps contracts	495		—		—		495
Commodity forward contracts⁽²⁾	—		52		18		70
Interest rate swaps	—		129		—		129
Total liabilities	$	500	$	181	$	18	$	699

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(1)	As of March 31, 2014 and December 31, 2013, we had cash equivalents of $478 million and $889 million included in cash and cash equivalents and $239 million and $245 million included in restricted cash, respectively.


(2)	Includes OTC swaps and options.

Fair Value Inputs, Assets, Quantitative Information

The following table presents quantitative information for the unobservable inputs used in our most significant level 3 fair value measurements at March 31, 2014 and December 31, 2013:



	Quantitative Information about Level 3 Fair Value Measurements
	March 31, 2014
	Fair Value, Net Asset			Significant Unobservable
	(Liability)		Valuation Technique	Input	Range
	(in millions)
Power Congestion Products	$	7	Discounted cash flow	Market price (per MWh)	$(8.79) — $11.53/MWh

	December 31, 2013
	Fair Value, Net Asset			Significant Unobservable
	(Liability)		Valuation Technique	Input	Range
	(in millions)
Physical Power	$	7	Discounted cash flow	Market price (per MWh)	$28.92 — $53.15/MWh
Power Congestion Products	$	7	Discounted cash flow	Market price (per MWh)	$(8.79) — $11.53/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 March 31,
	2014			2013
Balance, beginning of period	$	14		$	16
Realized and unrealized gains (losses):
Included in net loss:
Included in operating revenues⁽¹⁾	(10		)	1
Included in fuel and purchased energy expense⁽²⁾	5			—
Purchases and settlements:
Purchases	1			—
Settlements	(3		)	(3		)
Transfers in and/or out of level 3⁽³⁾:
Transfers into level 3⁽⁴⁾	—			—
Transfers out of level 3⁽⁵⁾	1			(1		)
Balance, end of period	$	8		$	13
Change in unrealized gains (losses) relating to instruments still held at end of period	$	(5	)	$	1

___________


(1)	For power contracts and other power-related products, 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 months ended March 31, 2014 and 2013.


(4)	There were no transfers out of level 2 into level 3 for each of the three months ended March 31, 2014 and 2013.


(5)	We had $1 million in losses and $1 million in gains transferred out of level 3 into level 2 for the three months ended March 31, 2014 and 2013, 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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