Assets and Liabilities with Recurring Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2015

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 March 31, 2015 and December 31, 2014, by level within the fair value hierarchy:



	Assets and Liabilities with Recurring Fair Value Measures as of March 31, 2015
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Cash equivalents⁽¹⁾	$	965	$	—	$	—	$	965
Margin deposits	107		—		—		107
Commodity instruments:
Commodity exchange traded futures and swaps contracts	2,037		—		—		2,037
Commodity forward contracts⁽²⁾	—		295		233		528
Interest rate swaps	—		4		—		4
Total assets	$	3,109	$	299	$	233	$	3,641
Liabilities:
Margin deposits posted with us by our counterparties	$	40	$	—	$	—	$	40
Commodity instruments:
Commodity exchange traded futures and swaps contracts	1,814		—		—		1,814
Commodity forward contracts⁽²⁾	—		253		30		283
Interest rate swaps	—		118		—		118
Total liabilities	$	1,854	$	371	$	30	$	2,255



	Assets and Liabilities with Recurring Fair Value Measures as of December 31, 2014
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Cash equivalents⁽¹⁾	$	896	$	—	$	—	$	896
Margin deposits	96		—		—		96
Commodity instruments:
Commodity exchange traded futures and swaps contracts	2,134		—		—		2,134
Commodity forward contracts⁽²⁾	—		195		164		359
Interest rate swaps	—		4		—		4
Total assets	$	3,126	$	199	$	164	$	3,489
Liabilities:
Margin deposits posted with us by our counterparties	$	47	$	—	$	—	$	47
Commodity instruments:
Commodity exchange traded futures and swaps contracts	1,870		—		—		1,870
Commodity forward contracts⁽²⁾	—		163		79		242
Interest rate swaps	—		114		—		114
Total liabilities	$	1,917	$	277	$	79	$	2,273

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(1)	As of March 31, 2015 and December 31, 2014, we had cash equivalents of $757 million and $679 million included in cash and cash equivalents and $208 million and $217 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, 2015 and December 31, 2014:



	Quantitative Information about Level 3 Fair Value Measurements
	March 31, 2015
	Fair Value, Net Asset			Significant Unobservable
	(Liability)		Valuation Technique	Input	Range
	(in millions)
Power Contracts	$	201	Discounted cash flow	Market price (per MWh)	$13.43 — $123.25/MWh

	December 31, 2014
	Fair Value, Net Asset			Significant Unobservable
	(Liability)		Valuation Technique	Input	Range
	(in millions)
Power Contracts	$	74	Discounted cash flow	Market price (per MWh)	$14.00 — $122.79/MWh
Natural Gas Contracts	$	5	Discounted cash flow	Market price (per MMBtu)	$1.00 — $10.86/MMBtu
Power Congestion Products	$	9	Discounted cash flow	Market price (per MWh)	$(19.56) — $19.56/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,
	2015			2014
Balance, beginning of period	$	85		$	14
Realized and mark-to-market gains (losses):
Included in net loss:
Included in operating revenues⁽¹⁾	131			(10		)
Included in fuel and purchased energy expense⁽²⁾	3			5
Purchases and settlements:
Purchases	2			1
Settlements	(10		)	(3		)
Transfers in and/or out of level 3⁽³⁾:
Transfers into level 3⁽⁴⁾	(1		)	—
Transfers out of level 3⁽⁵⁾	(7		)	1
Balance, end of period	$	203		$	8
Change in unrealized gains (losses) relating to instruments still held at end of period	$	134		$	(5	)

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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 months ended March 31, 2015 and 2014.


(4)	We had $(1) million in losses transferred out of level 2 into level 3 for the three months ended March 31, 2015. There were no transfers out of level 2 into level 3 for the three months ended March 31, 2014.


(5)	We had $(7) million in gains and $1 million in losses transferred out of level 3 into level 2 for the three months ended March 31, 2015 and 2014, 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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