XML 58 R26.htm IDEA: XBRL DOCUMENT v2.4.0.6
Fair Value Measurements (Tables)
 6 Months Ended
Jun. 30, 2012
Fair Value Disclosures [Abstract]  
Fair Value by Level
The following table sets forth assets and liabilities that were accounted for at fair value by level within the fair value hierarchy:
 
June 30, 2012
(in millions)
Level 1
 
Level 2
 
Level 3
 
Netting and
Collateral1
 
Total
Assets at Fair Value
 
 
 
 
 
 
 
 
 
Money market funds2
$
873

 
$
—

 
$
—

 
$
—

 
$
873

Derivative contracts
 
 
 
 
 
 
 
 
 
Electricity
$
—

 
$
106

 
$
51

 
$
(59
)
 
$
98

Natural gas
4

 
—

 
—

 
(4
)
 
—

Total derivative contracts
4

 
106

 
51

 
(63
)
 
98

Total assets
$
877

 
$
106

 
$
51

 
$
(63
)
 
$
971

Liabilities at Fair Value
 
 
 
 
 
 
 
 
 
Derivative contracts
 
 
 
 
 
 
 
 
 
Electricity
$
—

 
$
7

 
$
10

 
$
(17
)
 
$
—

Interest rate contracts
—

 
114

 
—

 
—

 
114

Total liabilities
$
—

 
$
121

 
$
10

 
$
(17
)
 
$
114


 
December 31, 2011
(in millions)
Level 1
 
Level 2
 
Level 3
 
Netting and
Collateral1
 
Total
Assets at Fair Value
 
 
 
 
 
 
 
 
 
Money market funds2
$
1,207

 
$
—

 
$
—

 
$
—

 
$
1,207

Derivative contracts
 
 
 
 
 
 
 
 
 
Electricity
$
—

 
$
66

 
$
95

 
$
(62
)
 
$
99

Natural gas
4

 
—

 
—

 
(4
)
 
—

Fuel oil
4

 
—

 
—

 
(4
)
 
—

Total derivative contracts
8

 
66

 
95

 
(70
)
 
99

Total assets
$
1,215

 
$
66

 
$
95

 
$
(70
)
 
$
1,306

Liabilities at Fair Value
 
 
 
 
 
 
 
 
 
Derivative contracts
 
 
 
 
 
 
 
 
 
Electricity
$
—

 
$
8

 
$
12

 
$
(19
)
 
$
1

Interest rate contracts
—

 
90

 
—

 
—

 
90

Total liabilities
$
—

 
$
98

 
$
12

 
$
(19
)
 
$
91

1 
Represents cash collateral and the impact of netting across the levels of the fair value hierarchy. Netting among positions classified within the same level is included in that level.
2 
Money market funds are included in cash and cash equivalents and in restricted cash and cash equivalents on EME's consolidated balance sheets.
Summary of Changes in Fair Value of Level 3 Assets and Liabilities
The following table sets forth a summary of changes in the fair value of Level 3 net derivative assets and liabilities:
 
Three Months Ended
June 30,
 
Six Months Ended
June 30,
(in millions)
2012
 
2011
 
2012
 
2011
Fair value of net assets at beginning of period
$
24

 
$
83

 
$
83

 
$
91

Total realized/unrealized gains (losses)
 
 
 
 
 
 
 
Included in earnings1
23

 
18

 
8

 
18

Included in accumulated other comprehensive loss2
—

 
(4
)
 
2

 
(3
)
Purchases
13

 
6

 
19

 
11

Settlements
(19
)
 
(19
)
 
(20
)
 
(31
)
Transfers out of Level 33
—

 
—

 
(51
)
 
(2
)
Fair value of net assets at end of period
$
41

 
$
84

 
$
41

 
$
84

Change during the period in unrealized gains (losses) related to assets and liabilities held at end of period1
$
14

 
$
14

 
$
8

 
$
8

1 
Reported in operating revenues on EME's consolidated statements of operations.
2 
Included in reclassification adjustments in EME's consolidated statement of other comprehensive loss.
3 
Transfers out of Level 3 into Level 2 occurred due to significant observable inputs becoming available as the transactions near maturity.
Valuation Techniques and Significant Unobservable Inputs Used to Determine Fair Value for Level 3 Assets and Liabilities
The following table sets forth the valuation techniques and significant unobservable inputs used to determine fair value for Level 3 assets and liabilities:
June 30, 2012
 
 
 
Quantitative Information About Level 3 Fair Value Measurements
 
Fair Value (in millions)
 
Valuation Techniques
 
Significant Unobservable Input
 
Range
(Weighted Average)
 
Assets
 
Liabilities
Electricity
 
 
 
 
 
 
 
Congestion contracts
$
73

 
 
$
24

 
 
Latest auction pricing
 
Congestion prices
 
$(15.52) - $23.03 ($0.15)
Power contracts
19

 
 
27

 
 
Discounted cash flows
 
Power prices
 
$16.60 - $58.23
($35.80)
Netting
(41
)
 
 
(41
)
 
 
 
 
 
 
 
Total
$
51

 
 
$
10

 
 
 
 
 
 
 
Carrying Amounts and Fair Values of Long-Term Debt, Including Current Portion
The carrying amounts and fair values of EME's long-term debt were as follows:
 
June 30, 2012
 
December 31, 2011
(in millions)
Carrying
Amount
 
Fair Value
 
Carrying
Amount
 
Fair Value
Long-term debt, including current portion
$
4,996

 
$
3,369

 
$
4,912

 
$
3,716