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Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2014
Fair Value Disclosures [Abstract]  
Fair value of assets and liabilities that are measured at fair value on a recurring basis
The following table presents the fair value at September 30, 2014 of our assets and liabilities that are measured at fair value on a recurring basis (dollars in millions):
 
 
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
 
Significant
Other
Observable
Inputs
(Level 2)
 
Significant
Unobservable
Inputs (a)
(Level 3)
 
Other
 
 
 
Balance at September 30, 2014
Assets
 

 
 

 
 

 
 

 
 
 
 

Risk management activities — derivative instruments:
 

 
 

 
 

 
 

 
 
 
 

Commodity contracts
$
—

 
$
7

 
$
30

 
$
(8
)
 
(b)
 
$
29

Nuclear decommissioning trust:
 

 
 

 
 

 
 

 
 
 
 

U.S. commingled equity funds
—

 
295

 
—

 
—

 
 
 
295

Fixed income securities:
 

 
 

 
 

 
 

 
 
 
 

U.S. Treasury
126

 
—

 
—

 
—

 
 
 
126

Cash and cash equivalent funds
—

 
8

 
—

 
(2
)
 
(c)
 
6

Corporate debt
—

 
109

 
—

 
—

 
 
 
109

Mortgage-backed securities
—

 
83

 
—

 
—

 
 
 
83

Municipality bonds
—

 
56

 
—

 
—

 
 
 
56

Other
—

 
15

 
—

 
—

 
 
 
15

Subtotal nuclear decommissioning trust
126

 
566

 
—

 
(2
)
 

 
690

Total
$
126

 
$
573

 
$
30

 
$
(10
)
 

 
$
719

Liabilities
 

 
 

 
 

 
 

 
 
 
 

Risk management activities — derivative instruments:
 

 
 

 
 

 
 

 
 
 
 

Commodity contracts
$
—

 
$
(24
)
 
$
(68
)
 
$
40

 
(b)
 
$
(52
)

(a)
Primarily consists of heat rate options and long-dated electricity contracts.
(b)
Primarily represents counterparty netting, margin and collateral (see Note 7).
(c)
Represents nuclear decommissioning trust net pending securities sales and purchases.

The following table presents the fair value at December 31, 2013 of our assets and liabilities that are measured at fair value on a recurring basis (dollars in millions):
 
 
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
 
Significant
Other
Observable
Inputs
(Level 2)
 
Significant
Unobservable
Inputs (a)
(Level 3)
 
Other
 
 
 
Balance at December 31, 2013
Assets
 

 
 

 
 

 
 

 
 
 
 

Risk management activities — derivative instruments:
 

 
 

 
 

 
 

 
 
 
 

Commodity contracts
$
—

 
$
9

 
$
41

 
$
(9
)
 
(b)
 
$
41

Nuclear decommissioning trust:
 

 
 

 
 

 
 

 
 
 
 

U.S. commingled equity funds
—

 
272

 
—

 
—

 
 
 
272

Fixed income securities:
 

 
 

 
 

 
 

 
 
 
 

U.S. Treasury
107

 
—

 
—

 
—

 
 
 
107

Cash and cash equivalent funds
—

 
11

 
—

 
(3
)
 
(c)
 
8

Corporate debt
—

 
88

 
—

 
—

 
 
 
88

Mortgage-backed securities
—

 
85

 
—

 
—

 
 
 
85

Municipality bonds
—

 
71

 
—

 
—

 
 
 
71

Other
—

 
11

 
—

 
—

 
 
 
11

Subtotal nuclear decommissioning trust
107

 
538

 
—

 
(3
)
 

 
642

Total
$
107

 
$
547

 
$
41

 
$
(12
)
 

 
$
683

Liabilities
 

 
 

 
 

 
 

 
 
 
 

Risk management activities — derivative instruments:
 

 
 

 
 

 
 

 
 
 
 

Commodity contracts
$
—

 
$
(33
)
 
$
(90
)
 
$
21

 
(b)
 
$
(102
)

(a)
Primarily consists of heat rate options and long-dated electricity contracts.
(b)
Represents counterparty netting, margin and collateral (see Note 7).
(c)
Represents nuclear decommissioning trust net pending securities sales and purchases.
Information regarding the entity's internally developed significant unobservable inputs used to value its level 3 instruments
 
September 30, 2014
Fair Value (millions)
 
Valuation Technique
 
Significant Unobservable Input
 
 
 
Weighted-Average
Commodity Contracts
Assets
 
Liabilities
 
 
 
Range
 
Electricity:
 

 
 

 
 
 
 
 
 
 
 

Forward Contracts (a)
$
27

 
$
50

 
Discounted cash flows
 
Electricity forward price (per MWh)
 
$24.89 - $63.85
 
$
40.42

Option Contracts (b)
—

 
15

 
Option model
 
Electricity forward price (per MWh)
 
$38.96 - $78.85
 
$
53.76

 
 

 
 

 
 
 
Natural gas forward price (per MMBtu)
 
$3.76 - $3.86
 
$
3.82

 
 

 
 

 
 
 
Electricity price volatilities
 
29% - 64%
 
46
%
 
 

 
 

 
 
 
Natural gas price volatilities
 
21% - 67%
 
28
%
Natural Gas:
 

 
 

 
 
 
 
 
 
 
 

Forward Contracts (a)
3

 
3

 
Discounted cash flows
 
Natural gas forward price (per MMBtu)
 
$3.77 - $4.34
 
$
3.99

Total
$
30

 
$
68

 
 
 
 
 
 
 
 


(a)
Includes swaps and physical and financial contracts.
(b)
Electricity and natural gas price volatilities are estimated based on historical forward price movements due to lack of market quotes for implied volatilities.
 
December 31, 2013
Fair Value (millions)
 
Valuation Technique
 
Significant Unobservable Input
 
 
 
Weighted-Average
Commodity Contracts
Assets
 
Liabilities
 
 
 
Range
 
Electricity:
 

 
 

 
 
 
 
 
 
 
 

Forward Contracts (a)
$
40

 
$
66

 
Discounted cash flows
 
Electricity forward price (per MWh)
 
$24.89 - $65.04
 
$
41.09

Option Contracts (b)
—

 
19

 
Option model
 
Electricity forward price (per MWh)
 
$39.91 - $85.41
 
$
58.70

 
 

 
 

 
 
 
Natural gas forward price (per MMBtu)
 
$3.57 - $3.80
 
$
3.71

 
 

 
 

 
 
 
Electricity price volatilities
 
35% - 94%
 
59
%
 
 

 
 

 
 
 
Natural gas price volatilities
 
22% - 36%
 
27
%
Natural Gas:
 

 
 

 
 
 
 
 
 
 
 

Forward Contracts (a)
1

 
5

 
Discounted cash flows
 
Natural gas forward price (per MMBtu)
 
$3.47 - $4.31
 
$
3.87

Total
$
41

 
$
90

 
 
 
 
 
 
 
 


(a)
Includes swaps and physical and financial contracts.
(b)
Electricity and gas price volatilities are based on historical forward price movements due to lack of market quotes for implied volatilities.
Changes in fair value for assets and liabilities that are measured at fair value on a recurring basis using Level 3 inputs
The following table shows the changes in fair value for our risk management activities assets and liabilities that are measured at fair value on a recurring basis using Level 3 inputs for the three and nine months ended September 30, 2014 and 2013 (dollars in millions):
 
 
 
Three Months Ended 
 September 30,
 
Nine Months Ended 
 September 30,
Commodity Contracts
 
2014
 
2013
 
2014
 
2013
Net derivative balance at beginning of period
 
$
(41
)
 
$
(53
)
 
$
(49
)
 
$
(48
)
Total net gains (losses) realized/unrealized:
 
 

 
 

 
 

 
 

Deferred as a regulatory asset or liability
 
(3
)
 
4

 
4

 
(2
)
Settlements
 
6

 
6

 
10

 
8

Transfers into Level 3 from Level 2
 
—

 
(1
)
 
(2
)
 
(1
)
Transfers from Level 3 into Level 2
 
(1
)
 
—

 
(2
)
 
(1
)
Net derivative balance at end of period
 
$
(39
)
 
$
(44
)
 
$
(39
)
 
$
(44
)
 
 
 
 
 
 
 
 
 
Net unrealized gains included in earnings related to instruments still held at end of period
 
$
—

 
$
—

 
$
—

 
$
—