| Debt
|
|
|
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
June 30, 2010 |
December 31, 2009 |
|||||||||||||||||||||||
Current |
Non-Current |
Total |
Current |
Non-Current |
Total |
|||||||||||||||||||
Debt service |
$ | 56 | $ | 25 | $ | 81 | $ | 193 | $ | 25 | $ | 218 | ||||||||||||
Rent reserve |
17 | 5 | 22 | 34 | — | 34 | ||||||||||||||||||
Construction/major maintenance |
91 | 15 | 106 | 87 | 22 | 109 | ||||||||||||||||||
Security/project/insurance |
110 | — | 110 | 146 | — | 146 | ||||||||||||||||||
Other |
24 | 2 | 26 | 48 | 7 | 55 | ||||||||||||||||||
Total |
$ | 298 | $ | 47 | $ | 345 | $ | 508 | $ | 54 | $ | 562 |
|
• |
A requirement to perform ongoing reassessments each reporting period of whether we are the primary beneficiary of our VIEs, which could require us to consolidate our VIEs that are currently not consolidated or deconsolidate our VIEs that are currently consolidated based upon our reassessments in future periods. No further changes to our determinations of whether we are the primary beneficiary of our VIEs were required during the second quarter of 2010. |
|
• |
Disclosure provisions to present separately on the face of the statement of financial position the significant assets of a consolidated VIE that can be used only to settle obligations of the consolidated VIE and the significant liabilities of a consolidated VIE for which creditors (or beneficial interest holders) do not have recourse to the general credit of the primary beneficiary. Our Consolidated Condensed Balance Sheets include these required disclosures. The new standards also reduce required disclosures for consolidated VIEs without such restrictions if we are the equity holder and primary beneficiary. |
|
• |
An additional reconsideration event for determining whether an entity is a VIE if any changes in facts and circumstances occur such that the holders of the equity investment at risk, as a group, lose the power from voting rights or similar rights of those investments to direct the activities of a VIE that most significantly impact the VIE’s economic performance. |
|
Consideration |
$ |
1,634 |
||
Preliminary values of identifiable assets acquired and liabilities assumed: |
||||
Assets: |
||||
Current assets |
$ |
80 |
||
Property, plant and equipment, net |
1,556 |
|||
Other long-term assets |
50 |
|||
Total assets acquired |
$ |
1,686 |
||
Liabilities: |
||||
Current liabilities |
$ |
30 |
||
Long-term liabilities |
22 |
|||
Total liabilities assumed |
52 |
|||
Net assets acquired |
$ |
1,634 |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2010 |
2009 |
2010 |
2009 |
|||||||||||||
Operating revenues |
$ | 2,213 | $ | 1,913 | $ | 4,330 | $ | 4,141 | ||||||||
Net loss attributable to Calpine |
$ | (220 | ) | $ | (130 | ) | $ | (276 | ) | $ | (118 | ) | ||||
Basic and diluted loss per common share attributable to Calpine |
$ | (0.45 | ) | $ | (0.27 | ) | $ | (0.57 | ) | $ | (0.24 | ) |
June 30, 2010 |
||||
Assets: |
||||
Current assets |
$ |
14 |
||
Property, plant and equipment, net |
516 |
|||
Other long-term assets |
18 |
|||
Total assets held for sale |
$ |
548 |
||
Liabilities: |
||||
Current liabilities |
11 |
|||
Long-term liabilities |
2 |
|||
Total liabilities held for sale |
$ |
13 |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2010 |
2009 |
2010 |
2009 |
|||||||||||||
Operating revenues |
$ | 25 | $ | 26 | $ | 50 | $ | 51 | ||||||||
Income from discontinued operations before income taxes |
$ | 12 | $ | 11 | $ | 20 | $ | 23 | ||||||||
Income tax expense |
8 | — | 8 | — | ||||||||||||
Discontinued operations, net of tax expense |
$ | 4 | $ | 11 | $ | 12 | $ | 23 |
|
June 30, 2010 |
December 31, 2009 |
|||||||
Buildings, machinery and equipment |
$ | 13,281 | $ | 13,373 | ||||
Geothermal properties |
1,089 | 1,050 | ||||||
Other |
244 | 232 | ||||||
14,614 | 14,655 | |||||||
Less: Accumulated depreciation |
3,456 | 3,322 | ||||||
11,158 | 11,333 | |||||||
Land |
71 | 74 | ||||||
Construction in progress |
179 | 176 | ||||||
Property, plant and equipment, net |
$ | 11,408 | $ | 11,583 |
|
Ownership
Interest as of
June 30, 2010 |
June 30, 2010 |
Our Maximum Exposure to Loss at June 30, 2010 (2) |
December 31, 2009 |
|||||||||||||
OMEC(1) |
100% | $ | — | $ | — | $ | 144 | |||||||||
Greenfield LP |
50% | 85 | 85 | 70 | ||||||||||||
Whitby |
50% | 4 | 4 | — | ||||||||||||
Total investments |
$ | 89 | $ | 89 | $ | 214 |
(1) |
OMEC was consolidated effective January 1, 2010. See Note 1. |
(2) |
Our risk of loss related to our unconsolidated VIEs is limited to our investment balance. While we also could be responsible for our pro rata portion of debt, holders of the debt of our unconsolidated investments do not have recourse to Calpine Corporation and its other subsidiaries. The debt of our unconsolidated investments is not reflected on our Consolidated Condensed Balance Sheets. As of June 30, 2010, and December 31, 2009, equity method investee debt was approximately $488 million and $873 million, respectively, and based on our pro rata share of each of the investments, our share of such debt would be approximately $244 million and $624 million as of June 30, 2010 and December 31, 2009, respectively. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2010 |
2009 |
2010 |
2009 |
|||||||||||||
OMEC(1) |
$ | — | $ | 16 | $ | — | $ | 26 | ||||||||
Greenfield LP |
3 | 5 | 7 | 10 | ||||||||||||
Whitby |
3 | 2 | 6 | 4 | ||||||||||||
Total |
$ | 6 | $ | 23 | $ | 13 | $ | 40 |
(1) |
OMEC was consolidated effective January 1, 2010. See Note 1. During the three and six months ended June 30, 2009, we contributed $4 million and $8 million, respectively, as an additional investment in OMEC. |
Three Months |
Six Months |
|||||||
Ended June 30, |
Ended June 30, |
|||||||
2009 |
2009 |
|||||||
Revenues(1) |
$ | — | $ | — | ||||
Operating expenses |
1 | 2 | ||||||
Loss from operations |
(1 | ) | (2 | ) | ||||
Interest income(2) |
(22 | ) | (33 | ) | ||||
Other (income) expense, net |
5 | 5 | ||||||
Net income |
$ | 16 | $ | 26 |
(1) |
OMEC achieved commercial operations in October 2009. |
(2) |
Interest income is primarily the result of unrealized mark-to-market gains from interest rate swap contracts. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2010 |
2009 |
2010 |
2009 |
|||||||||||||
Revenues |
$ | 43 | $ | 43 | $ | 80 | $ | 103 | ||||||||
Operating expenses |
30 | 28 | 52 | 73 | ||||||||||||
Income from operations |
13 | 15 | 28 | 30 | ||||||||||||
Interest (income) expense, net |
7 | 7 | 14 | 11 | ||||||||||||
Other (income) expense, net |
— | (2 | ) | — | (1 | ) | ||||||||||
Net income |
$ | 6 | $ | 10 | $ | 14 | $ | 20 |
|
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2010 |
2009 |
2010 |
2009 |
|||||||||||||
Net loss |
$ | (114 | ) | $ | (79 | ) | $ | (162 | ) | $ | (48 | ) | ||||
Other comprehensive income (loss): |
||||||||||||||||
Gain (loss) on cash flow hedges before reclassification adjustment for cash flow hedges realized in net loss |
(71 | ) | 108 | 30 | 310 | |||||||||||
Reclassification adjustment for cash flow hedges realized in net loss |
8 | (118 | ) | 22 | (185 | ) | ||||||||||
Foreign currency translation gain (loss) |
(2 | ) | 3 | — | 1 | |||||||||||
Income tax benefit (expense) |
(23 | ) | 14 | (9 | ) | 27 | ||||||||||
Comprehensive income (loss) |
(202 | ) | (72 | ) | (119 | ) | 105 | |||||||||
Add: Comprehensive (income) loss attributable to the noncontrolling interest |
(1 | ) | 1 | — | 2 | |||||||||||
Comprehensive income (loss) attributable to Calpine |
$ | (203 | ) | $ | (71 | ) | $ | (119 | ) | $ | 107 |
|
June 30, 2010 |
December 31, 2009 |
|||||||
First Lien Credit Facility(1) |
$ | 4,230 | $ | 4,661 | ||||
First Lien Notes(1) |
1,600 | 1,200 | ||||||
Commodity Collateral Revolver(2) |
100 | 100 | ||||||
Project financing, notes payable and other |
2,384 | 2,289 | ||||||
CCFC Notes |
962 | 959 | ||||||
Capital lease obligations |
250 | 250 | ||||||
Total debt |
9,526 | 9,459 | ||||||
Less: Current maturities |
699 | 463 | ||||||
Debt, net of current portion |
$ | 8,827 | $ | 8,996 |
(1) |
On July 23, 2010, we issued $1.1 billion of 2020 First Lien Notes and repaid approximately $1.1 billion of the First Lien Credit Facility term loans. |
(2) |
The Commodity Collateral Revolver was repaid on July 8, 2010. |
June 30, 2010 |
December 31, 2009 |
|||||||
First Lien Credit Facility |
$ | 237 | $ | 206 | ||||
Calpine Development Holdings, Inc.(1) |
135 | 116 | ||||||
Various project financing facilities |
113 | 90 | ||||||
Total |
$ | 485 | $ | 412 |
(1) |
Availability under the Calpine Development Holdings, Inc. letter of credit was increased by $50 million to $200 million on June 30, 2010. |
June 30, 2010 |
December 31, 2009 |
|||||||||||||||
Fair Value |
Carrying Value |
Fair Value |
Carrying Value |
|||||||||||||
First Lien Credit Facility(1) |
$ | 3,871 | $ | 4,230 | $ | 4,402 | $ | 4,661 | ||||||||
First Lien Notes(1) |
1,564 | 1,600 | 1,138 | 1,200 | ||||||||||||
Commodity Collateral Revolver(2) |
92 | 100 | 94 | 100 | ||||||||||||
Project financing, notes payable and other(3) |
1,891 | 1,957 | 1,808 | 1,840 | ||||||||||||
CCFC Notes |
1,025 | 962 | 1,030 | 959 | ||||||||||||
Total |
$ | 8,443 | $ | 8,849 | $ | 8,472 | $ | 8,760 |
(1) |
On July 23, 2010, we issued $1.1 billion of the 2020 First Lien Notes and repaid approximately $1.1 billion of the First Lien Credit Facility term loans. |
(2) |
The Commodity Collateral Revolver was repaid on July 8, 2010. |
(3) |
Excludes leases that are accounted for as failed sale-leaseback transactions under GAAP and included in our project financing, note payable and other balance. |
|
Assets and Liabilities with Recurring Fair Value Measures |
||||||||||||||||
as of June 30, 2010 | ||||||||||||||||
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
(in millions) |
||||||||||||||||
Assets: |
||||||||||||||||
Cash equivalents(1) |
$ | 1,148 | $ | — | $ | — | $ | 1,148 | ||||||||
Margin deposits(2) |
254 | — | — | 254 | ||||||||||||
Commodity instruments: |
||||||||||||||||
Commodity futures contracts |
1,012 | — | — | 1,012 | ||||||||||||
Commodity forward contracts(3) |
— | 383 | 68 | 451 | ||||||||||||
Interest rate swaps |
— | — | — | — | ||||||||||||
Total assets |
$ | 2,414 | $ | 383 | $ | 68 | $ | 2,865 | ||||||||
Liabilities: |
||||||||||||||||
Margin deposits held by us posted by our counterparties(2) |
$ | 58 | $ | — | $ | — | $ | 58 | ||||||||
Commodity instruments: |
||||||||||||||||
Commodity futures contracts |
1,003 | — | — | 1,003 | ||||||||||||
Commodity forward contracts(3) |
— | 182 | 25 | 207 | ||||||||||||
Interest rate swaps |
— | 416 | — | 416 | ||||||||||||
Total liabilities |
$ | 1,061 | $ | 598 | $ | 25 | $ | 1,684 |
Assets and Liabilities with Recurring Fair Value Measures |
||||||||||||||||
as of December 31, 2009 | ||||||||||||||||
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
(in millions) |
||||||||||||||||
Assets: |
||||||||||||||||
Cash equivalents(1) |
$ | 1,306 | $ | — | $ | — | $ | 1,306 | ||||||||
Margin deposits(2) |
413 | — | — | 413 | ||||||||||||
Commodity instruments: |
||||||||||||||||
Commodity futures contracts |
953 | — | — | 953 | ||||||||||||
Commodity forward contracts(3) |
— | 204 | 71 | 275 | ||||||||||||
Interest rate swaps |
— | 18 | — | 18 | ||||||||||||
Total assets |
$ | 2,672 | $ | 222 | $ | 71 | $ | 2,965 | ||||||||
Liabilities: |
||||||||||||||||
Margin deposits held by us posted by our counterparties(2) |
$ | 9 | $ | — | $ | — | $ | 9 | ||||||||
Commodity instruments: |
||||||||||||||||
Commodity futures contracts |
1,096 | — | — | 1,096 | ||||||||||||
Commodity forward contracts(3) |
— | 91 | 33 | 124 | ||||||||||||
Interest rate swaps |
— | 337 | — | 337 | ||||||||||||
Total liabilities |
$ | 1,105 | $ | 428 | $ | 33 | $ | 1,566 |
(1) |
Represents funds invested in money market accounts and are included in cash and cash equivalents and restricted cash on our Consolidated Condensed Balance Sheets. As of June 30, 2010, and December 31, 2009, we had cash equivalents of $833 million and $770 million included in cash and cash equivalents and $315 million and $536 million included in restricted cash, respectively. |
(2) |
Margin deposits and margin deposits held by us posted by our counterparties represent cash collateral paid between our counterparties and us to support our commodity contracts. |
(3) |
Includes OTC swaps and options. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2010 |
2009 |
2010 |
2009 |
|||||||||||||
Balance, beginning of period |
$ |
57 |
$ |
114 |
$ |
38 |
$ |
105 |
||||||||
Realized and unrealized gains (losses): |
||||||||||||||||
Included in net loss: |
||||||||||||||||
Included in operating revenues(1) |
10 |
(1 |
) |
29 |
3 |
|||||||||||
Included in fuel and purchased energy expense(2) |
(3 |
) |
(3 |
) |
(3 |
) |
8 |
|||||||||
Included in OCI |
(5 |
) |
5 |
— |
18 |
|||||||||||
Purchases, issuances, sales and settlements: |
||||||||||||||||
Settlements |
(16 |
) |
(13 |
) |
(22 |
) |
(26 |
) | ||||||||
Transfers into and/or out of level 3(3): |
||||||||||||||||
Transfers into level 3(4) |
— |
— |
— |
(6 |
) | |||||||||||
Transfers out of level 3(5) |
— |
(11 |
) |
1 |
(11 |
) | ||||||||||
Balance, end of period |
$ |
43 |
$ |
91 |
$ |
43 |
$ |
91 |
||||||||
Change in unrealized gains and (losses) relating to instruments still held at end of period |
$ |
7 |
$ |
(4 |
) |
$ |
26 |
$ |
11 |
(1) |
For power contracts and Heat Rate swaps and options, as shown on our Consolidated Condensed Statements of Operations. |
(2) |
For natural gas contracts, swaps and options, as shown on our Consolidated Condensed Statements of Operations. |
(3) |
We transfer amounts among levels of the fair value hierarchy as of the end of each period. There were no significant transfers into/out of level 1 during the three and six months ended June 30, 2010 and 2009. |
(4) |
There were no significant transfers into level 3 for the three months ended June 30, 2010 and 2009, and the six months ended June 30, 2010. We had $(6) million in losses transferred out of level 2 into level 3, for the six months ended June 30, 2009, due to changes in market liquidity in various power markets. |
(5) |
There were no significant transfers out of level 3 for the three months ended June 30, 2010; however, we had $11 million in gains transferred out of level 3 into level 2 for the three months ended June 30, 2009. We had $(1) million in losses and $11 million in gains transferred out of level 3 into level 2 for the six months ended June 30, 2010 and 2009, respectively. Transfers out of level 3 into level 2 were due to changes in market liquidity in various power markets. |
|
Notional Amounts |
||||||||
Derivative Instruments |
June 30, 2010 |
December 31, 2009 |
||||||
Power (MWh) | (49 | ) | (52 | ) | ||||
Natural gas (MMBtu) |
87 |
78 |
||||||
Interest rate swaps |
$ |
5,824 |
$ |
7,324 |
June 30, 2010 |
||||||||||||
Total |
||||||||||||
Balance Sheet Presentation |
Interest Rate |
Commodity |
Derivative |
|||||||||
Swaps |
Instruments |
Instruments |
||||||||||
Current derivative assets |
$ | — | $ | 1,240 | $ | 1,240 | ||||||
Long-term derivative assets |
— | 223 | 223 | |||||||||
Total derivative assets |
$ | — | $ | 1,463 | $ | 1,463 | ||||||
Current derivative liabilities |
$ | 181 | $ | 1,063 | $ | 1,244 | ||||||
Long-term derivative liabilities |
235 | 147 | 382 | |||||||||
Total derivative liabilities |
$ | 416 | $ | 1,210 | $ | 1,626 | ||||||
Net derivative assets (liabilities) |
$ | (416 | ) | $ | 253 | $ | (163 | ) |
December 31, 2009 |
||||||||||||
Total |
||||||||||||
Balance Sheet Presentation |
Interest Rate |
Commodity |
Derivative |
|||||||||
Swaps |
Instruments |
Instruments |
||||||||||
Current derivative assets |
$ | — | $ | 1,119 | $ | 1,119 | ||||||
Long-term derivative assets |
18 | 109 | 127 | |||||||||
Total derivative assets |
$ | 18 | $ | 1,228 | $ | 1,246 | ||||||
Current derivative liabilities |
$ | 202 | $ | 1,158 | $ | 1,360 | ||||||
Long-term derivative liabilities |
135 | 62 | 197 | |||||||||
Total derivative liabilities |
$ | 337 | $ | 1,220 | $ | 1,557 | ||||||
Net derivative assets (liabilities) |
$ | (319 | ) | $ | 8 | $ | (311 | ) |
June 30, 2010 |
||||||||
Fair Value |
Fair Value |
|||||||
of Derivative |
of Derivative |
|||||||
Assets |
Liabilities |
|||||||
Derivatives designated as cash flow hedging instruments: |
||||||||
Interest rate swaps |
$ | — | $ | 368 | ||||
Commodity instruments |
331 | 109 | ||||||
Total derivatives designated as cash flow hedging instruments |
$ | 331 | $ | 477 | ||||
Derivatives not designated as hedging instruments: |
||||||||
Interest rate swaps |
$ | — | $ | 48 | ||||
Commodity instruments |
1,132 | 1,101 | ||||||
Total derivatives not designated as hedging instruments |
$ | 1,132 | $ | 1,149 | ||||
Total derivatives |
$ | 1,463 | $ | 1,626 |
December 31, 2009 |
||||||||
Fair Value |
Fair Value |
|||||||
of Derivative |
of Derivative |
|||||||
Assets |
Liabilities |
|||||||
Derivatives designated as cash flow hedging instruments: |
||||||||
Interest rate swaps |
$ |
18 |
$ |
324 |
||||
Commodity instruments |
213 |
80 |
||||||
Total derivatives designated as cash flow hedging instruments |
$ |
231 |
$ |
404 |
||||
Derivatives not designated as hedging instruments: |
||||||||
Interest rate swaps |
$ |
— |
$ |
13 |
||||
Commodity instruments |
1,015 |
1,140 |
||||||
Total derivatives not designated as hedging instruments |
$ |
1,015 |
$ |
1,153 |
||||
Total derivatives |
$ |
1,246 |
$ |
1,557 |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2010 |
2009 |
2010 |
2009 |
|||||||||||||
Realized gain (loss) |
||||||||||||||||
Interest rate swaps |
$ | (6 | ) | $ | (4 | ) | $ | (12 | ) | $ | (8 | ) | ||||
Commodity instruments |
59 | 44 | 52 | (14 | ) | |||||||||||
Total realized gain (loss) |
$ | 53 | $ | 40 | $ | 40 | $ | (22 | ) | |||||||
Unrealized gain (loss) (1) |
||||||||||||||||
Interest rate swaps |
$ | (16 | ) | $ | 4 | $ | (19 | ) | $ | 4 | ||||||
Commodity instruments |
(31 | ) | (108 | ) | 81 | 17 | ||||||||||
Total unrealized gain (loss) |
$ | (47 | ) | $ | (104 | ) | $ | 62 | $ | 21 | ||||||
Total mark-to-market activity |
$ | 6 | $ | (64 | ) | $ | 102 | $ | (1 | ) |
(1) |
Changes in unrealized gains and losses include hedge ineffectiveness and adjustments to reflect changes in credit default risk exposure. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2010 |
2009 |
2010 |
2009 |
|||||||||||||
Realized and unrealized gain (loss) |
||||||||||||||||
Power contracts included in operating revenues |
$ | 41 | $ | (49 | ) | $ | 12 | $ | (9 | ) | ||||||
Natural gas contracts included in fuel and purchased energy expense |
(13 | ) | (15 | ) | 121 | 12 | ||||||||||
Interest rate swaps included in interest expense |
(22 | ) | — | (31 | ) | (4 | ) | |||||||||
Total mark-to-market activity |
$ | 6 | $ | (64 | ) | $ | 102 | $ | (1 | ) |
Three Months Ended June 30, |
|||||||||||||||||||
2010 |
2009 |
2010 |
2009 |
2010 |
2009 |
||||||||||||||
Gain (Loss) Recognized in |
Gain (Loss) Reclassified from AOCI |
Gain (Loss) Reclassified from AOCI |
|||||||||||||||||
OCI (Effective Portion) |
into Income (Effective Portion) |
into Income (Ineffective Portion) |
|||||||||||||||||
Interest rate swaps |
$ |
(16 |
) |
$ |
80 |
$ |
(62 |
) (1) |
$ |
(48 |
)(1) |
$ |
— |
(1) |
$ |
— |
|||
Commodity instruments |
(47 |
) |
(90 |
) |
54 |
(2) |
166 |
(2) |
3 |
(2) |
(1 |
)(2) | |||||||
Total |
$ |
(63 |
) |
$ |
(10 |
) |
$ |
(8 |
) |
$ |
118 |
$ |
3 |
$ |
(1 |
) |
Six Months Ended June 30, |
|||||||||||||||||||
2010 |
2009 |
2010 |
2009 |
2010 |
2009 |
||||||||||||||
Gain (Loss) Recognized in |
Gain (Loss) Reclassified from AOCI |
Gain (Loss) Reclassified from AOCI |
|||||||||||||||||
OCI (Effective Portion) |
into Income (Effective Portion) |
into Income (Ineffective Portion) |
|||||||||||||||||
Interest rate swaps |
$ |
(27 |
) |
$ |
87 |
$ |
(122 |
)(1) |
$ |
(92 |
)(1) |
$ |
— |
(1) |
$ |
— |
|||
Commodity instruments |
79 |
38 |
100 |
(2) |
277 |
(2) |
1 |
(2) |
— |
||||||||||
Total |
$ |
52 |
$ |
125 |
$ |
(22 |
) |
$ |
185 |
$ |
1 |
$ |
— |
(1) |
Included in interest expense on our Consolidated Condensed Statements of Operations. |
(2) |
Included in operating revenues and fuel and purchased energy expense on our Consolidated Condensed Statements of Operations. |
|
June 30, 2010 |
December 31, 2009 |
|||||||
Margin deposits(1) |
$ | 254 | $ | 413 | ||||
Natural gas and power prepayments |
42 | 34 | ||||||
Total margin deposits and natural gas and power prepayments with our counterparties(2) |
$ | 296 | $ | 447 | ||||
Letters of credit issued |
$ | 391 | $ | 353 | ||||
First priority liens under power and natural gas agreements(3) |
— | — | ||||||
First priority liens under interest rate swap agreements |
405 | 333 | ||||||
Total letters of credit and first priority liens with our counterparties |
$ | 796 | $ | 686 | ||||
Margin deposits held by us posted by our counterparties(1)(4) |
$ | 58 | $ | 9 | ||||
Letters of credit posted with us by our counterparties |
57 | 70 | ||||||
Total margin deposits and letters of credit posted with us by our counterparties |
$ | 115 | $ | 79 |
(1) |
Balances are subject to master netting arrangements and presented on a gross basis on our Consolidated Condensed Balance Sheets. We do not offset fair value amounts recognized for derivative instruments executed with the same counterparty under a master netting arrangement for financial statement presentation. |
(2) |
At June 30, 2010, and December 31, 2009, $275 million and $426 million were included in margin deposits and other prepaid expense, respectively, and $21 million were included in other assets at both June 30, 2010 and December 31, 2009 on our Consolidated Condensed Balance Sheets. |
(3) |
At June 30, 2010, and December 31, 2009, the fair value of our commodity derivative instruments collateralized by first priority liens included assets of $253 million and $123 million, respectively; therefore, there was no collateral exposure at June 30, 2010, or December 31, 2009. |
(4) |
Included in other current liabilities on our Consolidated Condensed Balance Sheets. |
|
|
Weighted |
||||||||||
Average |
||||||||||
Weighted |
Remaining |
Aggregate |
||||||||
Number of |
Average |
Term |
Intrinsic Value |
|||||||
Options |
Exercise Price |
(in years) |
(in millions) |
|||||||
Outstanding – December 31, 2009 |
13,232,519 |
$ |
19.09 |
6.6 |
$ |
2 |
||||
Granted |
1,051,791 |
$ |
11.27 |
|||||||
Exercised |
810 |
$ |
8.84 |
|||||||
Forfeited |
176,272 |
$ |
13.14 |
|||||||
Expired |
181,586 |
$ |
17.37 |
|||||||
Outstanding – June 30, 2010 |
13,925,642 |
$ |
18.60 |
6.3 |
$ |
5 |
||||
Exercisable – June 30, 2010 |
4,643,082 |
$ |
18.61 |
6.6 |
$ |
— |
||||
Vested and expected to vest – June 30, 2010 |
13,514,809 |
$ |
18.81 |
6.2 |
$ |
4 |
2010 |
2009 |
|||||||
Expected term (in years)(1) |
6.5 | 6.0 – 6.5 | ||||||
Risk-free interest rate(2) |
2.9 – 3.3 | % | 2.3 – 2.9 | % | ||||
Expected volatility(3) |
35.0 – 37.6 | % | 60.1 – 73.0 | % | ||||
Dividend yield(4) |
— | — | ||||||
Weighted average grant-date fair value (per option) |
$ | 4.66 | $ | 5.66 |
(1) |
Expected term calculated using the simplified method prescribed by the SEC due to the lack of sufficient historical exercise data to provide a reasonable basis to estimate the expected term. |
(2) |
Zero Coupon U.S. Treasury rate or equivalent based on expected term. |
(3) |
Volatility calculated using the implied volatility of our exchange traded stock options. |
(4) |
We are currently prohibited under our First Lien Credit Facility and certain of our other debt agreements from paying any cash dividends on our common stock. |
Weighted |
|||||
Number of |
Average |
||||
Restricted |
Grant-Date |
||||
Stock Awards |
Fair Value |
||||
Nonvested – December 31, 2009 |
2,046,599 |
$ |
11.95 |
||
Granted |
1,474,410 |
$ |
11.32 |
||
Forfeited |
209,745 |
$ |
10.96 |
||
Vested |
428,422 |
$ |
15.54 |
||
Nonvested – June 30, 2010 |
2,882,842 |
$ |
11.17 |
|
Three Months Ended June 30, 2010 |
||||||||||||||||||||||||
Consolidation |
||||||||||||||||||||||||
and |
||||||||||||||||||||||||
West |
Texas |
Southeast |
North |
Elimination |
Total |
|||||||||||||||||||
Revenues from external customers |
$ | 525 | $ | 552 | $ | 219 | $ | 134 | $ | — | $ | 1,430 | ||||||||||||
Intersegment revenues |
1 | 6 | 21 | 1 | (29 | ) | — | |||||||||||||||||
Total operating revenues |
$ | 526 | $ | 558 | $ | 240 | $ | 135 | $ | (29 | ) | $ | 1,430 | |||||||||||
Commodity Margin |
$ | 258 | $ | 128 | $ | 68 | $ | 79 | $ | — | $ | 533 | ||||||||||||
Add: Mark-to-market commodity activity, net and other revenue(1) |
10 | (10 | ) | (9 | ) | 3 | (6 | ) | (12 | ) | ||||||||||||||
Less: |
||||||||||||||||||||||||
Plant operating expense |
88 | 78 | 31 | 23 | (7 | ) | 213 | |||||||||||||||||
Depreciation and amortization expense |
50 | 39 | 26 | 18 | (1 | ) | 132 | |||||||||||||||||
Other cost of revenue(2) |
10 | (5 | ) | — | 7 | 7 | 19 | |||||||||||||||||
Gross profit |
120 | 6 | 2 | 34 | (5 | ) | 157 | |||||||||||||||||
Other operating expenses |
13 | 17 | 2 | 17 | — | 49 | ||||||||||||||||||
Income (loss) from operations |
107 | (11 | ) | — | 17 | (5 | ) | 108 | ||||||||||||||||
Interest expense, net of interest income |
212 | |||||||||||||||||||||||
Debt extinguishment costs and other (income) expense, net |
8 | |||||||||||||||||||||||
Loss before income taxes and discontinued operations |
$ | (112 | ) |
Three Months Ended June 30, 2009 |
||||||||||||||||||||||||
Consolidation |
||||||||||||||||||||||||
and |
||||||||||||||||||||||||
West |
Texas |
Southeast |
North |
Elimination |
Total |
|||||||||||||||||||
Revenues from external customers |
$ | 764 | $ | 371 | $ | 177 | $ | 133 | $ | — | $ | 1,445 | ||||||||||||
Intersegment revenues |
7 | 18 | 20 | 2 | (47 | ) | — | |||||||||||||||||
Total operating revenues |
$ | 771 | $ | 389 | $ | 197 | $ | 135 | $ | (47 | ) | $ | 1,445 | |||||||||||
Commodity Margin |
$ | 278 | $ | 196 | $ | 80 | $ | 70 | $ | — | $ | 624 | ||||||||||||
Add: Mark-to-market commodity activity, net and other revenue(1) |
57 | (140 | ) | (25 | ) | 14 | (9 | ) | (103 | ) | ||||||||||||||
Less: |
||||||||||||||||||||||||
Plant operating expense |
96 | 50 | 35 | 23 | 2 | 206 | ||||||||||||||||||
Depreciation and amortization expense |
47 | 31 | 17 | 15 | (2 | ) | 108 | |||||||||||||||||
Other cost of revenue(2) |
12 | 2 | 1 | 7 | (4 | ) | 18 | |||||||||||||||||
Gross profit (loss) |
180 | (27 | ) | 2 | 39 | (5 | ) | 189 | ||||||||||||||||
Other operating expenses |
1 | 21 | 8 | — | — | 30 | ||||||||||||||||||
Income (loss) from operations |
179 | (48 | ) | (6 | ) | 39 | (5 | ) | 159 | |||||||||||||||
Interest expense, net of interest income |
199 | |||||||||||||||||||||||
Debt extinguishment costs and other (income) expense, net |
32 | |||||||||||||||||||||||
Loss before reorganization items, income taxes and discontinued operations |
(72 | ) | ||||||||||||||||||||||
Reorganization items |
3 | |||||||||||||||||||||||
Loss before income taxes and discontinued operations |
$ | (75 | ) |
Six Months Ended June 30, 2010 |
||||||||||||||||||||||||
Consolidation |
||||||||||||||||||||||||
and |
||||||||||||||||||||||||
West |
Texas |
Southeast |
North |
Elimination |
Total |
|||||||||||||||||||
Revenues from external customers |
$ | 1,190 | $ | 1,079 | $ | 418 | $ | 257 | $ | — | $ | 2,944 | ||||||||||||
Intersegment revenues |
5 | 10 | 44 | 2 | (61 | ) | — | |||||||||||||||||
Total operating revenues |
$ | 1,195 | $ | 1,089 | $ | 462 | $ | 259 | $ | (61 | ) | $ | 2,944 | |||||||||||
Commodity Margin |
$ | 471 | $ | 235 | $ | 126 | $ | 131 | $ | — | $ | 963 | ||||||||||||
Add: Mark-to-market commodity activity, net and other revenue(1) |
18 | 86 | 13 | — | (14 | ) | 103 | |||||||||||||||||
Less: |
||||||||||||||||||||||||
Plant operating expense |
178 | 162 | 59 | 45 | (13 | ) | 431 | |||||||||||||||||
Depreciation and amortization expense |
101 | 74 | 55 | 38 | (3 | ) | 265 | |||||||||||||||||
Other cost of revenue(2) |
25 | 1 | 2 | 14 | (2 | ) | 40 | |||||||||||||||||
Gross profit |
185 | 84 | 23 | 34 | 4 | 330 | ||||||||||||||||||
Other operating expenses |
32 | 19 | 7 | 14 | — | 72 | ||||||||||||||||||
Income from operations |
153 | 65 | 16 | 20 | 4 | 258 | ||||||||||||||||||
Interest expense, net of interest income |
402 | |||||||||||||||||||||||
Debt extinguishment costs and other (income) expense, net |
13 | |||||||||||||||||||||||
Loss before income taxes and discontinued operations |
$ | (157 | ) |
Six Months Ended June 30, 2009 |
||||||||||||||||||||||||
Consolidation | ||||||||||||||||||||||||
and | ||||||||||||||||||||||||
West |
Texas |
Southeast |
North |
Elimination |
Total |
|||||||||||||||||||
Revenues from external customers |
$ |
1,626 |
$ |
856 |
$ |
351 |
$ |
264 |
$ |
— |
$ |
3,097 |
||||||||||||
Intersegment revenues |
17 |
53 |
55 |
13 |
(138 |
) |
— |
|||||||||||||||||
Total operating revenues |
$ |
1,643 |
$ |
909 |
$ |
406 |
$ |
277 |
$ |
(138 |
) |
$ |
3,097 |
|||||||||||
Commodity Margin |
$ |
550 |
$ |
318 |
$ |
141 |
$ |
119 |
$ |
— |
$ |
1,128 |
||||||||||||
Add: Mark-to-market commodity activity, net and other revenue(1) |
79 |
(50 |
) |
6 |
16 |
(23 |
) |
28 |
||||||||||||||||
Less: |
||||||||||||||||||||||||
Plant operating expense |
218 |
128 |
67 |
43 |
(7 |
) |
449 |
|||||||||||||||||
Depreciation and amortization expense |
92 |
61 |
33 |
31 |
(4 |
) |
213 |
|||||||||||||||||
Other cost of revenue(2) |
27 |
5 |
4 |
13 |
(10 |
) |
39 |
|||||||||||||||||
Gross profit |
292 |
74 |
43 |
48 |
(2 |
) |
455 |
|||||||||||||||||
Other operating expenses |
13 |
37 |
15 |
(3 |
) |
— |
62 |
|||||||||||||||||
Income from operations |
279 |
37 |
28 |
51 |
(2 |
) |
393 |
|||||||||||||||||
Interest expense, net of interest income |
399 |
|||||||||||||||||||||||
Debt extinguishment costs and other (income) expense, net |
35 |
|||||||||||||||||||||||
Loss before reorganization items, income taxes and discontinued operations |
(41 |
) | ||||||||||||||||||||||
Reorganization items |
6 |
|||||||||||||||||||||||
Loss before income taxes and discontinued operations |
$ |
(47 |
) |
(1) |
Mark-to-market commodity activity represents the unrealized portion of our mark-to-market activity, net, included in operating revenues and fuel and purchased energy expense on our Consolidated Condensed Statements of Operations. |
(2) |
Excludes $5 million and $2 million of RGGI compliance and other environmental costs for the three months ended June 30, 2010 and 2009, respectively, and $5 million and $4 million for the six months ended June 30, 2010 and 2009, respectively, which are included as a component of Commodity Margin. |
|