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Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2011

Schedule of commodity cash flow hedge gains and losses

	Quarter Ended September 30,					Nine Months Ended September 30,

	2011			2010		2011			2010

	(In millions)
Pre-tax gains (losses)	$	(3.4	)	$	—	$	(3.7	)	$	(0.3	)

Schedule of pre-tax gains and losses related to hedge ineffectiveness

	Quarter Ended September 30,						Nine Months Ended September 30,

	2011			2010			2011			2010

	(In millions)
Cash-flow hedges	$	(76.8	)	$	(21.8	)	$	(99.6	)	$	(46.1	)
Fair value hedges		0.6			—			(1.2	)		—

Total	$	(76.2	)	$	(21.8	)	$	(100.8	)	$	(46.1	)

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 September 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	$	617.0	$	(683.7	)	$	4,028.3	$	(4,322.5	)	$	4,645.3		$	(5,006.2	)
	Gas contracts		1,270.0		(1,302.8	)		3,547.1		(3,594.8	)		4,817.1			(4,897.6	)
	Coal contracts		28.4		(22.3	)		109.0		(96.8	)		137.4			(119.1	)
	Other commodity contracts¹		—		—			538.9		(529.2	)		538.9			(529.2	)
	Interest rate contracts		47.0		(3.3	)		57.7		(51.9	)		104.7			(55.2	)
	Foreign exchange contracts		—		—			14.4		(5.5	)		14.4			(5.5	)
	Equity contracts		—		—			0.4		—			0.4			—

Total gross fair values		$	1,962.4	$	(2,012.1	)	$	8,295.8	$	(8,600.7	)	$	10,258.2		$	(10,612.8	)

	Netting arrangements⁵												(9,883.4	)		9,883.4
	Cash collateral												(81.4	)		1.9

Net fair values												$	293.4		$	(727.5	)

Net fair value by balance sheet line item:
Accounts receivable²												$	(198.6	)
Derivative assets—current													233.8
Derivative assets—noncurrent													258.2
Derivative liabilities—current																(487.8	)
Derivative liabilities—noncurrent																(239.7	)

Total Derivatives												$	293.4		$	(727.5	)

1 Other commodity contracts include oil, freight, emission allowances, renewable energy credits, 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 September 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	$	25.0		$	92.1			$	(7.7	)	$	(72.5	)	$	0.6		$	14.3
	Gas contracts		(2.9	)		(20.2	)			48.0			19.4			4.4			(0.2	)

Total gains (losses)		$	22.1		$	71.9		Total included in nonregulated revenues	$	40.3		$	(53.1	)	$	5.0		$	14.1

Hedges of forecasted purchases:								Fuel and purchased energy expense
	Power contracts	$	(16.9	)	$	(211.6	)		$	(63.5	)	$	(195.3	)	$	(13.6	)	$	(16.3	)
	Gas contracts		(110.8	)		(119.7	)			(4.3	)		41.1			(69.7	)		(20.0	)
	Coal contracts		(4.3	)		20.8				11.6			(9.1	)		1.5			0.4

Total (losses) gains		$	(132.0	)	$	(310.5	)	Total included in fuel and purchased energy expense	$	(56.2	)	$	(163.3	)	$	(81.8	)	$	(35.9	)

Hedges of interest rates:								Interest expense
	Interest rate contracts		3.3			—				—			0.1			—			—

Total gains		$	3.3		$	—		Total included in interest expense	$	—		$	0.1		$	—		$	—

Grand total (losses) gains		$	(106.6	)	$	(238.6	)		$	(15.9	)	$	(216.3	)	$	(76.8	)	$	(21.8	)

Cash Flow Hedges								Nine Months Ended September 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	$	(30.8	)	$	213.8			$	2.2		$	(132.7	)	$	58.1		$	15.6
	Gas contracts		58.2			(53.3	)			128.5			55.8			(44.7	)		(4.2	)
	Other commodity contracts¹		—			—				—			(0.7	)		—			—

Total gains (losses)		$	27.4		$	160.5		Total included in nonregulated revenues	$	130.7		$	(77.6	)	$	13.4		$	11.4

Hedges of forecasted purchases:								Fuel and purchased energy expense
	Power contracts	$	(14.3	)	$	(503.2	)		$	(297.0	)	$	(730.0	)	$	(32.7	)	$	(29.0	)
	Gas contracts		(180.0	)		(195.9	)			(10.5	)		164.2			(82.6	)		(33.1	)
	Coal contracts		(7.7	)		42.6				21.0			(36.9	)		2.3			4.4
	Other commodity contracts²		—			(0.2	)			—			(0.3	)		—			0.2

Total losses		$	(202.0	)	$	(656.7	)	Total included in fuel and purchased energy expense	$	(286.5	)	$	(603.0	)	$	(113.0	)	$	(57.5	)

Hedges of interest rates:								Interest expense
	Interest rate contracts		3.3			—				1.1			4.2			—			—

Total gains		$	3.3		$	—		Total included in interest expense	$	1.1		$	4.2		$	—		$	—

Grand total (losses) gains		$	(171.3	)	$	(496.2	)		$	(154.7	)	$	(676.4	)	$	(99.6	)	$	(46.1	)

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 September 30,										Nine Months Ended September 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:	Statement of Income (Loss) Line Item	2011		2010		2011			2010			2011		2010		2011			2010

		(In millions)
Gas contracts	Nonregulated revenues	$	6.6	$	—	$	(6.2	)	$	—		$	7.4	$	—	$	(6.2	)	$	—
Interest rate contracts	Interest expense		15.8		14.2		(14.0	)		(14.1	)		32.2		31.6		(31.5	)		(29.3	)

Total gains (losses)		$	22.4	$	14.2	$	(20.2	)	$	(14.1	)	$	39.6	$	31.6	$	(37.7	)	$	(29.3	)

Mark-to-Market Derivatives			Quarter Ended September 30,						Nine Months Ended September 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:		Statement of Income (Loss) Line Item	2011			2010			2011			2010

			(In millions)
Commodity contracts:
	Power contracts	Nonregulated revenues	$	23.2		$	(2.5	)	$	63.3		$	(27.3	)
	Gas contracts	Nonregulated revenues		(57.9	)		(12.8	)		(39.8	)		17.9
	Coal contracts	Nonregulated revenues		(6.7	)		1.7			(7.4	)		9.4
	Other commodity contracts¹	Nonregulated revenues		3.2			(8.9	)		(6.1	)		(7.8	)
Interest rate contracts		Nonregulated revenues		0.9			(1.9	)		0.3			(3.6	)
Interest rate contracts		Interest expense		2.5			—			5.8			—
Foreign exchange contracts		Nonregulated revenues		9.5			1.1			2.7			(1.0	)
Equity contracts		Nonregulated revenues		(0.3	)		—			(0.3	)		—

Total gains (losses)			$	(25.6	)	$	(23.3	)	$	18.5		$	(12.4	)

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

Schedule of volume of derivative activities by contractual settlement

Quantities¹ Under Derivative Contracts									As of September 30, 2011


Contract Type (Unit)	2011		2012		2013		2014		2015		Thereafter		Total

	(In millions)
Power (MWH)		10.0		20.3		13.6		1.6		2.6		1.4		49.5
Gas (mmBTU)		76.4		227.2		56.1		61.8		40.4		0.9		462.8
Coal (Tons)		1.2		0.1		1.1		—		—		—		2.4
Oil (BBL)		—		0.1		0.1		0.1		—		—		0.3
Emission Allowances (Tons)		0.9		0.1		0.1		—		—		—		1.1
Renewable Energy Credits (Number of credits)		0.2		0.3		0.3		0.3		0.3		0.4		1.8
Equity contracts (Number of shares)		—		0.3		0.2		0.2		—		—		0.7
Interest Rate Contracts	$	153.9	$	1,044.3	$	638.2	$	225.0	$	1,250.0	$	450.6	$	3,762.0
Foreign Exchange Rate Contracts	$	6.2	$	48.7	$	8.8	$	16.8	$	15.5	$	—	$	96.0

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 September 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)
$	2.7	$	(2.1	)	$	0.6	$	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 $1.9 million and letters of credit of $367.9 million at September 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.

- Definition

Tabular disclosure of the location and amount of gains and losses reported in the statement of financial performance, or when applicable, the statement of financial position. For example, (a) gains and losses recognized in the income statement on derivative instruments designated and qualifying as hedging instruments in fair value hedges and related hedged items designated and qualifying in fair value hedges and (b) gains and losses initially recognized in other comprehensive income on derivative instruments designated and qualifying as cash flow hedges.

+ References+ Details