Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2012

Text Block [Abstract]

Fair Value Of Assets And Liabilities Measured On A Recurring Basis

The following table provides fair value measurement information for financial assets (liabilities) measured at fair value on a recurring basis as of September 30, 2012:

	Quoted Prices in Active Markets (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Total Fair Value
				($ in millions)
Financial Assets (Liabilities):
Other current assets	$	6		$	—		$	—		$	6
Investments	24			—			—			24
Other long-term assets	87			—			—			87
Other long-term liabilities	(83		)	—			—			(83		)
Derivatives:
Commodity assets	—			112			32			144
Commodity liabilities	—			(73		)	(1,105		)	(1,178		)
Interest rate liabilities	—			(39		)	(2		)	(41		)
Foreign currency liabilities	—			(37		)	—			(37		)
Total derivatives	—			(37		)	(1,075		)	(1,112		)
Total	$	34		$	(37	)	$	(1,075	)	$	(1,078	)

The following table provides fair value measurement information for financial assets (liabilities) measured at fair value on a recurring basis as of December 31, 2011:

	Quoted Prices in Active Markets (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Total Fair Value
				($ in millions)
Financial Assets (Liabilities):
Investments	$	34		$	—		$	—		$	34
Other long-term assets	61			—			—			61
Other long-term liabilities	(62		)	—			—			(62		)
Derivatives:
Commodity assets	—			46			9			55
Commodity liabilities	—			(31		)	(1,663		)	(1,694		)
Interest rate liabilities	—			(42		)	—			(42		)
Foreign currency liabilities	—			(38		)	—			(38		)
Total derivatives	—			(65		)	(1,654		)	(1,719		)
Total	$	33		$	(65	)	$	(1,654	)	$	(1,686	)

Fair Value, Assets And Liabilities, Unobservable Input Reconciliation

A summary of the changes in Chesapeake’s financial assets (liabilities) classified as Level 3 measurements during the Current Period and the Prior Period is presented below.

	Derivatives
	Commodity			Interest Rate			Foreign Currency			Debt
	($ in millions)
Beginning Balance as of January 1, 2012	$	(1,654	)	$	—		$	—		$	—
Total gains (losses) (realized/unrealized):
Included in earnings(a)	525			4			—			—
Total purchases, issuances, sales and settlements:
Sales	—			(6		)	—			—
Settlements	56			—			—			—
Ending Balance as of September 30, 2012	$	(1,073	)	$	(2	)	$	—		$	—
Beginning Balance as of January 1, 2011	$	(1,954	)	$	(69	)	$	(43	)	$	(1,371	)
Total gains (losses) (realized/unrealized):
Included in earnings(a)	256			21			—			—
Total purchases, issuances, sales and settlements:
Sales	—			(6		)	—			—
Settlements	146			—			—			—
Transfers in and out of Level 3(b)	—			54			43			1,371
Ending Balance as of September 30, 2011	$	(1,552	)	$	—		$	—		$	—

(a)	Natural Gas, Oil				Interest
	and NGL Sales				Expense
	2012		2011		2012			2011
	($ in millions)
Total gains (losses) included in earnings for the period	$	525	$	256	$	4		$	21
Change in unrealized gains (losses) relating to assets still held at reporting date	$	370	$	133	$	(2	)	$	—

(b) The values related to interest rate and cross currency swaps were transferred from Level 3 to Level 2 as a result of our ability to use data readily available in the public market to corroborate our estimated fair values.

Quantitative Disclosures About Unobservable Inputs For Level 3 Fair Value Measurements

Quantitative Disclosures about Unobservable Inputs for Level 3 Fair Value Measurements

Instrument Type	Unobservable Input	Range	Weighted Average			Fair Value September 30, 2012
						($ in millions)
Oil Trades(a)	Oil price volatility curve	14.79% - 32.61%	22.44		%	$	(805	)
Natural Gas Trades(a)	Natural gas price volatility curve	21.61% - 41.21%	23.51		%	$	(251	)
Natural Gas Basis Swaps(b)	Physical pricing point forward curves	($1.87) - $0.05	$	(0.21	)	$	(17	)
Interest Rate Swaptions:(a)	Forward interest rate curve	0.30% - 2.94%	1.46		%	$	(2	)
	Interest rate volatility	43.14% - 43.35%	43.25		%

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(a) Fair value is based on an estimate derived from option models.

(b) Fair value is based on an estimate of discounted cash flows.

Fair Value, By Balance Sheet Grouping

The following disclosure of the estimated fair value of financial instruments is made in accordance with accounting guidance for financial instruments. The carrying values of financial instruments comprising cash and cash equivalents, restricted cash, accounts payable and accounts receivable approximate fair values due to the short-term maturities of these instruments. We estimate the fair value of our exchange-traded debt using quoted market prices (Level 1). The fair value of all other debt, which consists of our credit facilities and our term loans, is estimated using our credit default swap rate (Level 2). Fair value is compared to the carrying value, excluding the impact of interest rate derivatives, in the table below.

	September 30, 2012				December 31, 2011
	Carrying     Amount		Estimated     Fair Value		Carrying     Amount		Estimated     Fair Value
			($ in millions)
Short-term debt (Level 1)	$	463	$	481	$	—	$	—
Long-term debt (Level 1)	$	9,727	$	10,299	$	8,849	$	9,709
Long-term debt (Level 2)	$	6,007	$	5,801	$	1,749	$	1,690