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Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2015
Fair Value Disclosures [Abstract]  
Schedule of assets and liabilities measured at fair value on a recurring basis
Assets and liabilities measured at fair value on a recurring basis consisted of the following:
September 30, 2015
 
Level 1
 
Level 2
 
Level 3 (a)
 
Reclassification (b)
 
Total
Assets:
 
 
 
 
 
 
 
 
 
Commodity contracts
$
328

 
$
45

 
$
34

 
$
16

 
$
423

Nuclear decommissioning trust – equity securities (c)
355

 
205

 
—

 
—

 
560

Nuclear decommissioning trust – debt securities (c)
—

 
314

 
—

 
—

 
314

Total assets
$
683

 
$
564

 
$
34

 
$
16

 
$
1,297

Liabilities:
 
 
 
 
 
 
 
 
 
Commodity contracts
$
108

 
$
33

 
$
7

 
$
16

 
$
164

Total liabilities
$
108

 
$
33

 
$
7

 
$
16

 
$
164


December 31, 2014
 
Level 1
 
Level 2
 
Level 3 (a)
 
Reclassification (b)
 
Total
Assets:
 
 
 
 
 
 
 
 
 
Commodity contracts
$
402

 
$
46

 
$
49

 
$
—

 
$
497

Nuclear decommissioning trust – equity securities (c)
375

 
217

 
—

 
—

 
592

Nuclear decommissioning trust – debt securities (c)
—

 
301

 
—

 
—

 
301

Total assets
$
777

 
$
564

 
$
49

 
$
—

 
$
1,390

Liabilities:
 
 
 
 
 
 
 
 
 
Commodity contracts
$
278

 
$
25

 
$
14

 
$
—

 
$
317

Total liabilities
$
278

 
$
25

 
$
14

 
$
—

 
$
317


_______________
(a)
See table below for description of Level 3 assets and liabilities.
(b)
Fair values are determined on a contract basis, but certain contracts result in a current asset and a noncurrent liability, or vice versa, as presented in the condensed consolidated balance sheets.
(c)
The nuclear decommissioning trust investment is included in the investments line in the condensed consolidated balance sheets. See Note 15.
Schedule of fair value of the Level 3 assets and liabilities by major contract type (all related to commodity contracts) and the significant unobservable inputs used in the valuations
The following tables present the fair value of the Level 3 assets and liabilities by major contract type and the significant unobservable inputs used in the valuations at September 30, 2015 and December 31, 2014:
September 30, 2015
 
 
Fair Value
 
 
 
 
 
 
Contract Type (a)
 
Assets
 
Liabilities
 
Total
 
Valuation Technique
 
Significant Unobservable Input
 
Range (b)
Electricity purchases and sales
 
$
2

 
$
(1
)
 
$
1

 
Valuation Model
 
Illiquid pricing locations (c)
 
$25 to $40/MWh
 
 
 
 
 
 
 
 
 
 
Hourly price curve shape (d)
 
$15 to $55/MWh
 
 
 
 
 
 
 
 
 
 
 
 
 
Electricity congestion revenue rights
 
27

 
(3
)
 
24

 
Market Approach (e)
 
Illiquid price differences between settlement points (f)
 
$0 to $10/MWh
 
 
 
 
 
 
 
 
 
 
 
 
 
Other (i)
 
5

 
(3
)
 
2

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total
 
$
34

 
$
(7
)
 
$
27

 
 
 
 
 
 

December 31, 2014
 
 
Fair Value
 
 
 
 
 
 
Contract Type (a)
 
Assets
 
Liabilities
 
Total
 
Valuation Technique
 
Significant Unobservable Input
 
Range (b)
Electricity purchases and sales
 
$
4

 
$
(5
)
 
$
(1
)
 
Valuation Model
 
Illiquid pricing locations (c)
 
$30 to $50/MWh
 
 
 
 
 
 
 
 
 
 
Hourly price curve shape (d)
 
$20 to $70/MWh
 
 
 
 
 
 
 
 
 
 
 
 
 
Electricity congestion revenue rights
 
38

 
(4
)
 
34

 
Market Approach (e)
 
Illiquid price differences between settlement points (f)
 
$0 to $20/MWh
 
 
 
 
 
 
 
 
 
 
 
 
 
Coal purchases
 
—

 
(4
)
 
(4
)
 
Market Approach (e)
 
Illiquid price variances between mines (g)
 
$0 to $1/ton
 
 
 
 
 
 
 
 
 
 
Illiquid price variances between heat content (h)
 
$0 to $1/ton
 
 
 
 
 
 
 
 
 
 
 
 
 
Other (i)
 
7

 
(1
)
 
6

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Total
 
$
49

 
$
(14
)
 
$
35

 
 
 
 
 
 

____________
(a)
Electricity purchase and sales contracts include hedging positions in the ERCOT regions, as well as power contracts, the valuations of which include unobservable inputs related to the hourly shaping of the price curve. Electricity congestion revenue rights contracts consist of forward purchase contracts (swaps and options) used to hedge electricity price differences between settlement points within ERCOT. Coal purchase contracts relate to western (Powder River Basin) coal.
(b)
The range of the inputs may be influenced by factors such as time of day, delivery period, season and location.
(c)
Based on the historical range of forward average monthly ERCOT hub and load zone prices.
(d)
Based on the historical range of forward average hourly ERCOT North Hub prices.
(e)
While we use the market approach, there is either insufficient market data to consider the valuation liquid or the significance of credit reserves or non-performance risk adjustments results in a Level 3 designation.
(f)
Based on the historical price differences between settlement points within the ERCOT hubs and load zones.
(g)
Based on the historical range of price variances between mine locations.
(h)
Based on historical ranges of forward average prices between different heat contents (potential energy in coal for a given mass).
(i)
Other includes contracts for ancillary services, natural gas, power options, diesel options and coal options.
Schedule of changes in fair value of the Level 3 assets and liabilities (all related to commodity contracts)
The following table presents the changes in fair value of the Level 3 assets and liabilities for the three and nine months ended September 30 2015 and 2014.
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
2015
 
2014
 
2015
 
2014
Net asset (liability) balance at beginning of period
$
44

 
$
45

 
$
35

 
$
(973
)
Total unrealized valuation gains (losses)
(1
)
 
(3
)
 
13

 
(97
)
Purchases, issuances and settlements (a):
 
 
 
 
 
 
 
Purchases
5

 
10

 
37

 
39

Issuances
(2
)
 
(1
)
 
(7
)
 
(3
)
Settlements
(19
)
 
(21
)
 
(44
)
 
1,063

Transfers into Level 3 (b)
—

 
—

 
—

 
—

Transfers out of Level 3 (b)
—

 
(1
)
 
(7
)
 
—

Net change (c)
(17
)
 
(16
)
 
(8
)
 
1,002

Net asset balance at end of period
$
27

 
$
29

 
$
27

 
$
29

Unrealized valuation gains relating to instruments held at end of period
$
1

 
$
—

 
$
1

 
$
2


____________
(a)
Settlements reflect reversals of unrealized mark-to-market valuations previously recognized in net income. Purchases and issuances reflect option premiums paid or received. Settlement amounts in the nine months ended September 30, 2014 reflect termination of the TCEH interest rate swaps and include the reversal of a nonperformance risk adjustment as discussed in Note 13.
(b)
Includes transfers due to changes in the observability of significant inputs. Transfers in and out occur at the end of each quarter, which is when the assessments are performed. All Level 3 transfers during the periods presented are in and out of Level 2.
(c)
Substantially all changes in values of commodity contracts are reported in the condensed statements of consolidated income (loss) in net gain (loss) from commodity hedging and trading activities. Activity excludes changes in fair value in the month the positions settled as well as amounts related to positions entered into and settled in the same quarter.