Note 4 - Fair Value Measurements

3 Months Ended

Mar. 31, 2012

Fair Value Disclosures [Text Block]

Note 4 – Fair Value Measurements

The methods used to determine the fair value of our assets and liabilities are described within Note 2 – Significant Accounting Policies and Methods of Application.

Derivative Instruments

The following table summarizes, by level within the fair value hierarchy, our derivative assets and liabilities that were accounted for at fair value on a recurring basis as of the periods presented. See Note 5 – Derivative Instruments for additional derivative instrument information.

	Recurring fair values Derivative instruments
	March 31, 2012					December 31, 2011					March 31, 2011
In millions	Assets		Liabilities			Assets (1)		Liabilities			Assets (1)		Liabilities
Natural gas derivatives
Quoted prices in active markets (Level 1)	$	7	$	(187	)	$	11	$	(145	)	$	1	$	(63	)
Significant other observable inputs (Level 2)		203		(68	)		229		(68	)		101		(15	)
Netting of cash collateral		47		162			32		115			38		50
Total carrying value (2) (3)	$	257	$	(93	)	$	272	$	(98	)	$	140	$	(28	)
Interest rate derivatives
Significant other observable inputs (Level 2)	$	9	$	(10	)	$	13	$	(13	)	$	0	$	0

(1) Less than $1 million at March 31, 2011 and $3 million at December 31, 2011 associated with weather derivatives have been excluded as they are accounted for based on intrinsic value.

(2) There were no material unobservable inputs (Level 3) for any of the periods presented.

(3) There were no material transfers between Level 1, Level 2, or Level 3 for any of the periods presented.

Money Market Funds

In millions	March 31, 2012		December 31, 2011		March 31, 2011
Money market funds (1)	$	68	$	59	$	0

(1) Recorded at fair value and classified as Level 1 within the fair value hierarchy.

Debt

Our long-term debt is recorded at amortized cost, with the exception of Nicor Gas’ first mortgage bonds, which are recorded at acquisition date fair value. We estimate the fair value of our debt using a discounted cash flow technique that incorporates a market interest yield curve with adjustments for duration, optionality and risk profile. The following table presents the amortized cost and fair value of our long-term debt as of the following periods.

In millions	March 31, 2012		December 31, 2011		March 31, 2011
Long-term debt amortized cost (1)	$	3,573	$	3,576	$	2,173
Long-term debt fair value (1) (2)	$	3,922	$	3,938	$	2,304

(1) March 31, 2012 and December 31, 2011 include $15 million of medium-term notes that are due in 2012 and the debt that was assumed in the Nicor merger with a carrying value of $500 million.

(2) Valued using Level 2 inputs.