XML 35 R43.htm IDEA: XBRL DOCUMENT  v2.3.0.11
Derivative Instruments (Tables)
 6 Months Ended
Jun. 30, 2011
Derivative Instruments  
Schedule of commodity cash flow hedge gains and losses
 
   Quarter
Ended
June 30,
   Six Months
Ended
June 30,
  
 
   2011
   2010
   2011
   2010
  
   
 
   (In millions)
  

Pre-tax gains (losses)

   $ (0.3 ) $ 1.1   $ (0.3 ) $ (0.3 )
 
Schedule of pre-tax gains and losses related to hedge ineffectiveness
 
   Quarter
Ended
June 30,
   Six Months
Ended
June 30,
  
 
   2011
   2010
   2011
   2010
  
   
 
   (In millions)
  

Cash-flow hedges

   $ (5.9 ) $ (37.6 ) $ (22.8 ) $ (24.3 )

Fair value hedges

     (1.9 )   —     (1.8 )   —  
   

Total

   $ (7.8 ) $ (37.6 ) $ (24.6 ) $ (24.3 )
   
Schedule of gross asset and liability values of derivatives designated in qualifying hedge accounting relationships and those not designated in hedge accounting relationships

As of June 30, 2011
   Derivatives
Designated as Hedging
Instruments for
Accounting Purposes
   Derivatives Not
Designated As Hedging
Instruments for
Accounting Purposes
   All Derivatives
Combined
  
   
Contract type
   Asset
Values3
   Liability
Values4
   Asset
Values3
   Liability
Values4
   Asset
Values3
   Liability
Values4
  
   
 
   (In millions)
  
 

Power contracts

   $ 1,018.7   $ (1,037.6 ) $ 4,573.0   $ (4,977.8 ) $ 5,591.7   $ (6,015.4 )
 

Gas contracts

     1,405.9     (1,432.1 )   2,682.9     (2,516.5 )   4,088.8     (3,948.6 )
 

Coal contracts

     55.0     (32.0 )   154.7     (142.8 )   209.7     (174.8 )
 

Other commodity contracts1

     —     —     305.9     (299.8 )   305.9     (299.8 )
 

Interest rate contracts

     35.3     —     40.7     (37.9 )   76.0     (37.9 )
 

Foreign exchange contracts

     —     —     13.7     (8.2 )   13.7     (8.2 )
   

Total gross fair values

   $ 2,514.9   $ (2,501.7 ) $ 7,770.9   $ (7,983.0 ) $ 10,285.8   $ (10,484.7 )
                   
 

Netting arrangements5

                             (9,717.9 )   9,717.9  
 

Cash collateral

                             (58.8 )   2.5  
                               

Net fair values

                           $ 509.1   $ (764.3 )
                               

Net fair value by balance sheet line item:

                                      

Accounts receivable2

                           $ (72.7 )      

Derivative assets—current

                             324.3        

Derivative assets—noncurrent

                             257.5        

Derivative liabilities—current

                                   (494.2 )

Derivative liabilities—noncurrent

                                   (270.1 )
                               

Total Derivatives

                           $ 509.1   $ (764.3 )
   

1 Other commodity contracts include oil, freight, emission allowances, and weather contracts.

2 Represents the unrealized fair value of exchange traded derivatives, exclusive of cash margin posted.

3 Represents in-the-money contracts without regard to potentially offsetting out-of-the-money contracts under master netting agreements.

4 Represents out-of-the-money contracts without regard to potentially offsetting in-the-money contracts under master netting agreements.

5 Represents the effect of legally enforceable master netting agreements.

As of December 31, 2010
   Derivatives
Designated as Hedging
Instruments for
Accounting Purposes
   Derivatives Not
Designated As Hedging
Instruments for
Accounting Purposes
   All Derivatives
Combined
  
   
Contract type
   Asset
Values3
   Liability
Values4
   Asset
Values3
   Liability
Values4
   Asset
Values3
   Liability
Values4
  
   
 
   (In millions)
  
 

Power contracts

   $ 1,167.9   $ (1,362.8 ) $ 6,795.0   $ (7,166.5 ) $ 7,962.9   $ (8,529.3 )
 

Gas contracts

     1,902.3     (1,832.8 )   3,390.1     (3,155.3 )   5,292.4     (4,988.1 )
 

Coal contracts

     97.0     (48.6 )   266.0     (259.7 )   363.0     (308.3 )
 

Other commodity contracts1

     —     —     61.4     (61.6 )   61.4     (61.6 )
 

Interest rate contracts

     35.7     —     34.4     (35.7 )   70.1     (35.7 )
 

Foreign exchange contracts

     —     —     11.0     (8.4 )   11.0     (8.4 )
   

Total gross fair values

   $ 3,202.9   $ (3,244.2 ) $ 10,557.9   $ (10,687.2 ) $ 13,760.8   $ (13,931.4 )
                   
 

Netting arrangements5

                             (12,955.5 )   12,955.5  
 

Cash collateral

                             (28.4 )   0.6  
                               

Net fair values

                           $ 776.9   $ (975.3 )
                               

Net fair value by balance sheet line item:

                                      

Accounts receivable2

                           $ (16.4 )      

Derivative assets—current

                             534.4        

Derivative assets—noncurrent

                             258.9        

Derivative liabilities—current

                                   (622.3 )

Derivative liabilities—noncurrent

                                   (353.0 )
                               

Total Derivatives

                           $ 776.9   $ (975.3 )
   

1 Other commodity contracts include oil, freight, emission allowances, and weather contracts.

2 Represents the unrealized fair value of exchange traded derivatives, exclusive of cash margin posted.

3 Represents in-the-money contracts without regard to potentially offsetting out-of-the-money contracts under master netting agreements.

4 Represents out-of-the-money contracts without regard to potentially offsetting in-the-money contracts under master netting agreements.

5 Represents the effect of legally enforceable master netting agreements.
Schedule of gains (losses) on derivatives by hedging relationship

Cash Flow Hedges
    
    
    
   Quarter Ended June 30,
  
   
 
   Gain (Loss)
Recorded in AOCI 		   
   Gain (Loss)
Reclassified from
AOCI into
Earnings		   Ineffectiveness
Gain (Loss)
Recorded in
Earnings		  
Contract type:
   2011
   2010
   Statement of Income (Loss) Line Item
   2011
   2010
   2011
   2010
  
   
 
   (In millions)
  

Hedges of forecasted sales:

               Nonregulated revenues                          
 

Power contracts

   $ (32.4 ) $ (80.8 )     $ 23.3   $ (1.0 ) $ 56.2   $ (20.5 )
 

Gas contracts

     49.7     1.8         73.1     16.2     (51.2 )   (2.9 )
 

Coal contracts

     —     —         —     —     —     —  
 

Other commodity contracts1

     —     —         —     —     —     —  

Foreign exchange contracts

     —     —         —     —     —     —  
   

Total gains (losses)

   $ 17.3   $ (79.0 ) Total included in nonregulated revenues   $ 96.4   $ 15.2   $ 5.0   $ (23.4 )
   

Hedges of forecasted purchases:

               Fuel and purchased energy expense                          
 

Power contracts

   $ (14.9 ) $ 163.9       $ (133.3 ) $ (331.6 ) $ (6.8 ) $ (3.4 )
 

Gas contracts

     (67.2 )   (2.6 )       (10.6 )   45.1     (5.2 )   (13.1 )
 

Coal contracts

     (8.8 )   32.6         2.1     (15.3 )   1.1     2.3  
 

Other commodity contracts2

     —     —         —     —     —     —  

Foreign exchange contracts

     —     —         —     —     —     —  
   

Total (losses) gains

   $ (90.9 ) $ 193.9   Total included in fuel and purchased energy expense   $ (141.8 ) $ (301.8 ) $ (10.9 ) $ (14.2 )
   

Hedges of interest rates:

               Interest expense                          
 

Interest rate contracts

     —     —         —     0.2     —     —  
   

Total gains

   $ —   $ —   Total included in interest expense   $ —   $ 0.2   $ —   $ —  
   

Grand total (losses) gains

   $ (73.6 ) $ 114.9       $ (45.4 ) $ (286.4 ) $ (5.9 ) $ (37.6 )
   

1 Other commodity sale contracts include oil and freight contracts.

2 Other commodity purchase contracts include freight and emission allowances.

Cash Flow Hedges
    
    
    
   Six Months Ended June 30,
  
   
 
   Gain (Loss)
Recorded in AOCI 		   
   Gain (Loss)
Reclassified from
AOCI into
Earnings		   Ineffectiveness
Gain (Loss)
Recorded in
Earnings		  
Contract type:
   2011
   2010
   Statement of Income (Loss) Line Item
   2011
   2010
   2011
   2010
  
   
 
   (In millions)
  

Hedges of forecasted sales:

               Nonregulated revenues                          
 

Power contracts

   $ (55.8 ) $ 121.7       $ 5.0   $ (60.2 ) $ 57.4   $ 1.3  
 

Gas contracts

     60.8     (33.1 )       95.3     36.4     (49.0 )   (4.0 )
 

Coal contracts

     —     —         —     —     —     —  
 

Other commodity contracts1

     —     —         —     (0.7 )   —     —  

Foreign exchange contracts

     —     —         —     —     —     —  
   

Total gains (losses)

   $ 5.0   $ 88.6   Total included in nonregulated revenues   $ 100.3   $ (24.5 ) $ 8.4   $ (2.7 )
   

Hedges of forecasted purchases:

               Fuel and purchased energy expense                          
 

Power contracts

   $ 2.6   $ (291.6 )     $ (232.1 ) $ (534.7 ) $ (19.1 ) $ (12.7 )
 

Gas contracts

     (69.1 )   (76.2 )       (17.9 )   123.1     (12.9 )   (13.1 )
 

Coal contracts

     (3.4 )   21.8         9.4     (27.8 )   0.8     4.0  
 

Other commodity contracts2

     —     (0.2 )       —     (0.3 )   —     0.2  

Foreign exchange contracts

     —     —         —     —     —     —  
   

Total losses

   $ (69.9 ) $ (346.2 ) Total included in fuel and purchased energy expense   $ (240.6 ) $ (439.7 ) $ (31.2 ) $ (21.6 )
   

Hedges of interest rates:

               Interest expense                          
 

Interest rate contracts

     —     —         1.1     4.1     —     —  
   

Total gains

   $ —   $ —   Total included in interest expense   $ 1.1   $ 4.1   $ —   $ —  
   

Grand total (losses) gains

   $ (64.9 ) $ (257.6 )     $ (139.2 ) $ (460.1 ) $ (22.8 ) $ (24.3 )
   

1 Other commodity sale contracts include oil and freight contracts.

2 Other commodity purchase contracts include freight and emission allowances.

       

Fair Value Hedges
    
   Quarter Ended June 30,
   Six Months Ended June 30,
  
   
 
    
   Amount of
Gain (Loss)
Recognized in
Income on
Derivative
   Amount of
Gain (Loss)
Recognized in
Income on
Hedged Item
   Amount of
Gain (Loss)
Recognized in
Income on
Derivative
   Amount of
Gain (Loss)
Recognized in
Income on
Hedged Item
  
 
    
      
 
   Statement of Income (Loss) Line Item
  
Contract type:
   2011
   2010
   2011
   2010
   2011
   2010
   2011
   2010
  
   
 
    
   (In millions)
  

Commodity contracts:

                                                      
 

Gas contracts

   Nonregulated revenues   $ 0.8   $ —   $ —   $ —   $ 0.8   $ —   $ —   $ —  

Interest rate contracts

   Interest expense     14.4     4.2     (16.0 )   (4.1 )   16.4     17.4     (17.5 )   (15.2 )
   

Total gains (losses)

       $ 15.2   $ 4.2   $ (16.0 ) $ (4.1 ) $ 17.2   $ 17.4   $ (17.5 ) $ (15.2 )
   

        

Mark-to-Market Derivatives
    
   Quarter Ended
June 30,
   Six Months Ended
June 30,
  
   
 
    
   Amount of Gain
(Loss) Recorded
in Income
on Derivative
   Amount of Gain
(Loss) Recorded
in Income
on Derivative
  
 
    
      
 
   Statement of Income (Loss) Line Item
  
Contract type:
   2011
   2010
   2011
   2010
  
   
 
    
   (In millions)
  

Commodity contracts:

                              
 

Power contracts

   Nonregulated revenues   $ 15.9   $ 40.1   $ 39.2   $ (24.8 )
 

Gas contracts

   Nonregulated revenues     8.5     5.0     19.7     30.7  
 

Coal contracts

   Nonregulated revenues     7.9     7.6     (0.7 )   7.7  
 

Other commodity contracts1

   Nonregulated revenues     7.3     (3.8 )   (9.3 )   1.1  
 

Coal contracts

   Fuel and purchased energy expense     —     —     —     —  

Interest rate contracts

   Nonregulated revenues     0.1     (0.6 )   (0.6 )   (1.7 )

Interest rate contracts

   Interest expense     3.3     —     3.3     —  

Foreign exchange contracts

   Nonregulated revenues     5.3     (1.2 )   (6.7 )   (2.1 )
   

Total gains (losses)

       $ 48.3   $ 47.1   $ 44.9   $ 10.9  
   

1 Other commodity contracts include oil, freight, uranium, weather, and emission allowances.
Schedule of volume of derivative activities by contractual settlement

 

Quantities1 Under Derivative Contracts
    
    
    
   As of June 30, 2011
  
   
Contract Type (Unit)
   2011
   2012
   2013
   2014
   2015
   Thereafter
   Total
  
   
 
   (In millions)
  

Power (MWH)

     17.3     12.4     11.8     2.6     2.4     1.4     47.9  

Gas (mmBTU)

     123.4     134.2     47.3     64.4     29.8     0.9     400.0  

Coal (Tons)

     2.1     2.1     0.9     —     —     —     5.1  

Oil (BBL)

     0.2     0.2     0.1     —     —     —     0.5  

Emission Allowances (Tons)

     0.9     0.1     —     —     —     —     1.0  

Renewable Energy Credits (Number of credits)

     0.3     0.3     0.3     0.3     0.3     0.4     1.9  

Interest Rate Contracts

   $ 97.8   $ 884.3   $ 568.2   $ 185.0   $ 1,150.0   $ 315.0   $ 3,200.3  

Foreign Exchange Rate Contracts

   $ 16.8   $ 17.5   $ 16.7   $ 16.8   $ 15.5   $ —   $ 83.3  
   

 

Quantities1 Under Derivative Contracts
    
    
    
   As of December 31, 2010
  
   
Contract Type (Unit)
   2011
   2012
   2013
   2014
   2015
   Thereafter
   Total
  
   
 
   (In millions)
  

Power (MWH)

     21.2     —     3.8     4.2     2.3     0.2     31.7  

Gas (mmBTU)

     175.3     90.1     80.2     64.7     24.1     —     434.4  

Coal (Tons)

     4.4     2.5     0.1     —     —     —     7.0  

Oil (BBL)

     0.2     0.1     0.1     —     —     —     0.4  

Emission Allowances (Tons)

     1.5     —     —     —     —     —     1.5  

Renewable Energy Credits (Number of credits)

     0.4     0.3     0.3     0.3     0.3     0.7     2.3  

Interest Rate Contracts

   $ 639.4   $ 490.7   $ 941.8   $ 405.0   $ 460.0   $ 175.0   $ 3,111.9  

Foreign Exchange Rate Contracts

   $ 48.7   $ 8.7   $ 16.8   $ 16.8   $ 15.5   $ —   $ 106.5  
   

1 Amounts in the tables are only intended to provide an indication of the level of derivatives activity and should not be interpreted as a measure of any derivative position or overall economic exposure to market risk. Quantities are expressed as "delta equivalents" on an absolute value basis by contract type by year. Additionally, quantities relate only to derivatives and do not include potentially offsetting quantities associated with physical assets and nonderivative accrual contracts.
Schedule of derivatives with credit risk related contingent features

 

Credit-Risk Related Contingent Feature
   As of June 30, 2011
  
   
Gross Fair Value
of Derivative
Contracts Containing
This Feature1
   Offsetting Fair Value
of In-the-Money
Contracts Under Master
Netting Agreements2
   Net Fair Value
of Derivative
Contracts Containing
This Feature3
   Amount of
Posted
Collateral4
   Contingent
Collateral
Obligation5
  
   
(In billions)
  
$ 3.1   $ (2.6 ) $ 0.5   $ 0.4   $ 0.1  
   

 

Credit-Risk Related Contingent Feature
   As of December 31, 2010
  
   
Gross Fair Value
of Derivative
Contracts Containing
This Feature1
   Offsetting Fair Value
of In-the-Money
Contracts Under Master
Netting Agreements2
   Net Fair Value
of Derivative
Contracts Containing
This Feature3
   Amount of
Posted
Collateral4
   Contingent
Collateral
Obligation5
  
   
(In billions)
  
$ 4.6   $ (3.7 ) $ 0.9   $ 0.7   $ 0.1  
   

1 Amount represents the gross fair value of out-of-the-money derivative contracts containing credit-risk-related contingent features that are not fully collateralized by posted cash collateral on an individual, contract-by-contract basis ignoring the effects of master netting agreements.

2 Amount represents the offsetting fair value of in-the-money derivative contracts under legally-enforceable master netting agreements with the same counterparty, which reduces the amount of any liability for which we potentially could be required to post collateral.

3 Amount represents the net fair value of out-of-the-money derivative contracts containing credit-risk related contingent features after considering the mitigating effects of offsetting positions under master netting arrangements and reflects the actual net liability upon which any potential contingent collateral obligations would be based.

4 Amount includes cash collateral posted of $2.5 million and letters of credit of $412.4 million at June 30, 2011 and cash collateral posted of $0.6 million and letters of credit of $656.9 million at December 31, 2010.

5 Amounts represent the additional collateral that we could be required to post with counterparties, including both cash collateral and letters of credit, in the event of a credit downgrade to below investment grade after giving consideration to offsetting derivative and non-derivative positions under master netting agreements.