Assets and Liabilities with Recurring Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2014

Fair Value Measurements [Abstract]

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

	Assets and Liabilities with Recurring Fair Value Measures as of June 30, 2014
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Cash equivalents(1)	$	636	$	—	$	—	$	636
Margin deposits	239		—		—		239
Commodity instruments:
Commodity exchange traded futures and swaps contracts	681		—		—		681
Commodity forward contracts(2)	—		256		40		296
Interest rate swaps	—		5		—		5
Total assets	$	1,556	$	261	$	40	$	1,857
Liabilities:
Margin deposits posted with us by our counterparties	$	184	$	—	$	—	$	184
Commodity instruments:
Commodity exchange traded futures and swaps contracts	640		—		—		640
Commodity forward contracts(2)	—		135		49		184
Interest rate swaps	—		130		—		130
Total liabilities	$	824	$	265	$	49	$	1,138

	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 June 30, 2014 and December 31, 2013, we had cash equivalents of $406 million and $889 million included in cash and cash equivalents and $230 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 June 30, 2014 and December 31, 2013:

	Quantitative Information about Level 3 Fair Value Measurements
	June 30, 2014
	Fair Value, Net Asset				Significant Unobservable
	(Liability)			Valuation Technique	Input	Range
	(in millions)
Power Contracts	$	(22	)	Discounted cash flow	Market price (per MWh)	$21.41 — $169.45/MWh
Power Congestion Products	$	7		Discounted cash flow	Market price (per MWh)	$(24.07) — $77.80/MWh
	December 31, 2013
	Fair Value, Net Asset				Significant Unobservable
	(Liability)			Valuation Technique	Input	Range
	(in millions)
Power Contracts	$	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 June 30,						Six Months Ended June 30,
	2014			2013			2014			2013
Balance, beginning of period	$	8		$	13		$	14		$	16
Realized and mark-to-market gains (losses):
Included in net income (loss):
Included in operating revenues(1)	(7		)	3			(15		)	4
Included in fuel and purchased energy expense(2)	—			—			6			—
Purchases, issuances and settlements:
Purchases	—			1			—			1
Issuances	—			—			—			(1		)
Settlements	(3		)	(3		)	(6		)	(5		)
Transfers in and/or out of level 3(3):
Transfers into level 3(4)	2			—			—			—
Transfers out of level 3(5)	(9		)	(1		)	(8		)	(2		)
Balance, end of period	$	(9	)	$	13		$	(9	)	$	13
Change in unrealized gains (losses) relating to instruments still held at end of period	$	(7	)	$	3		$	(9	)	$	4

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(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 and six months ended June 30, 2014 and 2013.

(4) We had $2 million in gains transferred out of level 2 into level 3 for the three months ended June 30, 2014 due to changes in market liquidity in various power markets. There were no transfers out of level 2 into level 3 for the three months ended June 30, 2013 and for each of the six months ended June 30, 2014 and 2013.

(5) We had $9 million and $1 million in gains transferred out of level 3 into level 2 for the three months ended June 30, 2014 and 2013, respectively, and $8 million and $2 million in gains transferred out of level 3 into level 2 for the six months ended June 30, 2014 and 2013, respectively, due to changes in market liquidity in various power markets.