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September 30, 2012 | December 31, 2011 | ||||||||||||||||||||||
Current | Non-Current | Total | Current | Non-Current | Total | ||||||||||||||||||
Debt service(1) | $ | 22 | $ | 42 | $ | 64 | $ | 11 | $ | 42 | $ | 53 | |||||||||||
Rent reserve | 3 | — | 3 | — | — | — | |||||||||||||||||
Construction/major maintenance | 37 | 11 | 48 | 33 | 10 | 43 | |||||||||||||||||
Security/project/insurance | 101 | 8 | 109 | 79 | — | 79 | |||||||||||||||||
Other | — | 2 | 2 | 16 | 3 | 19 | |||||||||||||||||
Total | $ | 163 | $ | 63 | $ | 226 | $ | 139 | $ | 55 | $ | 194 |
(1) | At September 30, 2012 and December 31, 2011, amounts restricted for debt service included approximately $24 million and $25 million, respectively, of repurchase agreements with a financial institution containing maturity dates greater than one year. |
September 30, 2012 | December 31, 2011 | ||||||
Buildings, machinery and equipment | $ | 15,150 | $ | 15,074 | |||
Geothermal properties | 1,212 | 1,163 | |||||
Other | 158 | 156 | |||||
16,520 | 16,393 | ||||||
Less: Accumulated depreciation | 4,518 | 4,158 | |||||
12,002 | 12,235 | ||||||
Land | 91 | 91 | |||||
Construction in progress | 1,036 | 693 | |||||
Property, plant and equipment, net | $ | 13,129 | $ | 13,019 |
2012 | $ | 114 | |
2013 | 527 | ||
2014 | 452 | ||
2015 | 461 | ||
2016 | 375 | ||
Thereafter | 2,270 | ||
Total | $ | 4,199 | |
• | quantitative information about the unobservable inputs used in a fair value measurement that is categorized within level 3 of the fair value hierarchy; |
• | for those fair value measurements categorized within level 3 of the fair value hierarchy, both the valuation processes used and the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs, if any; and |
• | the categorization by level of the fair value hierarchy for items that are not measured at fair value in the statement of financial position but for which the fair value is required to be disclosed. |
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Ownership Interest as of September 30, 2012 | September 30, 2012 | December 31, 2011 | |||||||
Greenfield LP | 50% | $ | 70 | $ | 72 | ||||
Whitby | 50% | 9 | 8 | ||||||
Total investments | $ | 79 | $ | 80 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Greenfield LP | $ | (5 | ) | $ | (4 | ) | $ | (13 | ) | $ | (5 | ) | |||
Whitby | (2 | ) | (1 | ) | (8 | ) | (7 | ) | |||||||
Total | $ | (7 | ) | $ | (5 | ) | $ | (21 | ) | $ | (12 | ) |
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September 30, 2012 | December 31, 2011 | ||||||
First Lien Notes | $ | 5,892 | $ | 5,892 | |||
Project financing, notes payable and other | 1,949 | 1,691 | |||||
First Lien Term Loans | 1,634 | 1,646 | |||||
CCFC Notes | 976 | 972 | |||||
Capital lease obligations | 221 | 224 | |||||
Total debt | 10,672 | 10,425 | |||||
Less: Current maturities | 105 | 104 | |||||
Debt, net of current portion | $ | 10,567 | $ | 10,321 |
September 30, 2012 | December 31, 2011 | ||||||
2017 First Lien Notes | $ | 1,200 | $ | 1,200 | |||
2019 First Lien Notes | 400 | 400 | |||||
2020 First Lien Notes | 1,092 | 1,092 | |||||
2021 First Lien Notes | 2,000 | 2,000 | |||||
2023 First Lien Notes | 1,200 | 1,200 | |||||
Total First Lien Notes | $ | 5,892 | $ | 5,892 |
• | incur or guarantee additional first lien indebtedness; |
• | enter into certain types of commodity hedge agreements that can be secured by first lien collateral; |
• | enter into sale and leaseback transactions; |
• | create or incur liens; and |
• | consolidate, merge or transfer all or substantially all of our assets and the assets of our restricted subsidiaries on a combined basis. |
September 30, 2012 | December 31, 2011 | ||||||
Corporate Revolving Facility | $ | 280 | $ | 440 | |||
CDHI | 275 | 193 | |||||
Various project financing facilities | 130 | 130 | |||||
Total | $ | 685 | $ | 763 |
September 30, 2012 | December 31, 2011 | ||||||||||||||
Fair Value | Carrying Value | Fair Value | Carrying Value | ||||||||||||
First Lien Notes | $ | 6,378 | $ | 5,892 | $ | 6,219 | $ | 5,892 | |||||||
Project financing, notes payable and other(1) | 1,750 | 1,789 | 1,467 | 1,504 | |||||||||||
First Lien Term Loans | 1,644 | 1,634 | 1,615 | 1,646 | |||||||||||
CCFC Notes | 1,073 | 976 | 1,070 | 972 | |||||||||||
Total | $ | 10,845 | $ | 10,291 | $ | 10,371 | $ | 10,014 |
(1) | Excludes a lease that is accounted for as a failed sale-leaseback transaction under U.S. GAAP. |
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Quantitative Information about Level 3 Fair Value Measurements | ||||||||||
September 30, 2012 | ||||||||||
Fair Value, Net Asset | Significant Unobservable | |||||||||
(Liability) | Valuation Technique | Input | Range | |||||||
(in millions) | ||||||||||
Physical Power | $ | 15 | Discounted cash flow | Market price (per MWh) | $20.95 — $56.78/MWh |
Assets and Liabilities with Recurring Fair Value Measures as of September 30, 2012 | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
(in millions) | |||||||||||||||
Assets: | |||||||||||||||
Cash equivalents(1) | $ | 1,275 | $ | — | $ | — | $ | 1,275 | |||||||
Margin deposits | 103 | — | — | 103 | |||||||||||
Commodity instruments: | |||||||||||||||
Commodity exchange traded futures and swaps contracts | 559 | — | — | 559 | |||||||||||
Commodity forward contracts(2) | — | 47 | 22 | 69 | |||||||||||
Interest rate swaps | — | 5 | — | 5 | |||||||||||
Total assets | $ | 1,937 | $ | 52 | $ | 22 | $ | 2,011 | |||||||
Liabilities: | |||||||||||||||
Margin deposits held by us posted by our counterparties | $ | 9 | $ | — | $ | — | $ | 9 | |||||||
Commodity instruments: | |||||||||||||||
Commodity exchange traded futures and swaps contracts | 497 | — | — | 497 | |||||||||||
Commodity forward contracts(2) | — | 32 | 6 | 38 | |||||||||||
Interest rate swaps | — | 208 | — | 208 | |||||||||||
Total liabilities | $ | 506 | $ | 240 | $ | 6 | $ | 752 |
Assets and Liabilities with Recurring Fair Value Measures as of December 31, 2011 | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
(in millions) | |||||||||||||||
Assets: | |||||||||||||||
Cash equivalents(1) | $ | 1,415 | $ | — | $ | — | $ | 1,415 | |||||||
Margin deposits | 140 | — | — | 140 | |||||||||||
Commodity instruments: | |||||||||||||||
Commodity exchange traded futures and swaps contracts | 1,043 | — | — | 1,043 | |||||||||||
Commodity forward contracts(2) | — | 74 | 37 | 111 | |||||||||||
Interest rate swaps | — | 10 | — | 10 | |||||||||||
Total assets | $ | 2,598 | $ | 84 | $ | 37 | $ | 2,719 | |||||||
Liabilities: | |||||||||||||||
Margin deposits held by us posted by our counterparties | $ | 34 | $ | — | $ | — | $ | 34 | |||||||
Commodity instruments: | |||||||||||||||
Commodity exchange traded futures and swaps contracts | 899 | — | — | 899 | |||||||||||
Commodity forward contracts(2) | — | 184 | 20 | 204 | |||||||||||
Interest rate swaps | — | 320 | — | 320 | |||||||||||
Total liabilities | $ | 933 | $ | 504 | $ | 20 | $ | 1,457 |
(1) | As of September 30, 2012 and December 31, 2011, we had cash equivalents of $1,074 million and $1,249 million included in cash and cash equivalents and $201 million and $166 million included in restricted cash, respectively. |
(2) | Includes OTC swaps and options. |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Balance, beginning of period | $ | (10 | ) | $ | 21 | $ | 17 | $ | 30 | ||||||
Realized and unrealized gains (losses): | |||||||||||||||
Included in net income (loss): | |||||||||||||||
Included in operating revenues(1) | 1 | (8 | ) | 3 | (1 | ) | |||||||||
Included in fuel and purchased energy expense(2) | 1 | 1 | 1 | 1 | |||||||||||
Included in OCI | — | (2 | ) | 1 | 3 | ||||||||||
Purchases, issuances and settlements: | |||||||||||||||
Issuances | (1 | ) | — | (1 | ) | — | |||||||||
Settlements | 25 | 16 | (4 | ) | (6 | ) | |||||||||
Transfers in and/or out of level 3(3): | |||||||||||||||
Transfers into level 3(4) | — | — | — | — | |||||||||||
Transfers out of level 3(5) | — | (1 | ) | (1 | ) | — | |||||||||
Balance, end of period | $ | 16 | $ | 27 | $ | 16 | $ | 27 | |||||||
Change in unrealized gains (losses) relating to instruments still held at end of period | $ | 2 | $ | (7 | ) | $ | 4 | $ | — |
(1) | For power contracts and Heat Rate swaps and options, included on our Consolidated Condensed Statements of Operations. |
(2) | For natural gas contracts, swaps and options, included 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 transfers into/out of level 1 during the three and nine months ended September 30, 2012 and 2011. |
(4) | There were no transfers out of level 2 into level 3 for the three and nine months ended September 30, 2012 and 2011. |
(5) | We had nil and $1 million in gains transferred out of level 3 into level 2 for the three months ended September 30, 2012 and 2011, respectively. There were $1 million in gains and nil transferred out of level 3 into level 2 for the nine months ended September 30, 2012 and 2011, respectively. |
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Derivative Instruments | Notional Amounts | |||||||
September 30, 2012 | December 31, 2011 | |||||||
Power (MWh) | (13 | ) | (21 | ) | ||||
Natural gas (MMBtu) | 2 | (200 | ) | |||||
Interest rate swaps(1) | $ | 1,629 | $ | 5,639 |
(1) | Approximately $4.1 billion at December 31, 2011 was related to hedges of our First Lien Credit Facility's variable rate debt that was converted to fixed rate debt. On March 26, 2012, we terminated the interest rate swaps formerly hedging our First Lien Credit Facility. |
September 30, 2012 | |||||||||||
Interest Rate Swaps | Commodity Instruments | Total Derivative Instruments | |||||||||
Balance Sheet Presentation | |||||||||||
Current derivative assets | $ | — | $ | 487 | $ | 487 | |||||
Long-term derivative assets | 5 | 141 | 146 | ||||||||
Total derivative assets | $ | 5 | $ | 628 | $ | 633 | |||||
Current derivative liabilities | $ | 36 | $ | 421 | $ | 457 | |||||
Long-term derivative liabilities | 172 | 114 | 286 | ||||||||
Total derivative liabilities | $ | 208 | $ | 535 | $ | 743 | |||||
Net derivative assets (liabilities) | $ | (203 | ) | $ | 93 | $ | (110 | ) |
December 31, 2011 | |||||||||||
Interest Rate Swaps | Commodity Instruments | Total Derivative Instruments | |||||||||
Balance Sheet Presentation | |||||||||||
Current derivative assets | $ | — | $ | 1,051 | $ | 1,051 | |||||
Long-term derivative assets | 10 | 103 | 113 | ||||||||
Total derivative assets | $ | 10 | $ | 1,154 | $ | 1,164 | |||||
Current derivative liabilities | $ | 166 | $ | 978 | $ | 1,144 | |||||
Long-term derivative liabilities | 154 | 125 | 279 | ||||||||
Total derivative liabilities | $ | 320 | $ | 1,103 | $ | 1,423 | |||||
Net derivative assets (liabilities) | $ | (310 | ) | $ | 51 | $ | (259 | ) |
September 30, 2012 | December 31, 2011 | ||||||||||||||
Fair Value of Derivative Assets | Fair Value of Derivative Liabilities | Fair Value of Derivative Assets | Fair Value of Derivative Liabilities | ||||||||||||
Derivatives designated as cash flow hedging instruments(1): | |||||||||||||||
Interest rate swaps | $ | 5 | $ | 189 | $ | 10 | $ | 149 | |||||||
Commodity instruments | 17 | 2 | 51 | 18 | |||||||||||
Total derivatives designated as cash flow hedging instruments | $ | 22 | $ | 191 | $ | 61 | $ | 167 | |||||||
Derivatives not designated as hedging instruments: | |||||||||||||||
Interest rate swaps | $ | — | $ | 19 | $ | — | $ | 171 | |||||||
Commodity instruments | 611 | 533 | 1,103 | 1,085 | |||||||||||
Total derivatives not designated as hedging instruments | $ | 611 | $ | 552 | $ | 1,103 | $ | 1,256 | |||||||
Total derivatives | $ | 633 | $ | 743 | $ | 1,164 | $ | 1,423 |
(1) | Includes accumulated fair value of derivative instruments as of the date hedge accounting was discontinued, net of amortized fair value for settlement periods which have transpired. |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Realized gain (loss) | |||||||||||||||
Interest rate swaps | $ | — | $ | (44 | ) | $ | (157 | ) | $ | (150 | ) | ||||
Commodity derivative instruments | 113 | 65 | 325 | 117 | |||||||||||
Total realized gain (loss) | $ | 113 | $ | 21 | $ | 168 | $ | (33 | ) | ||||||
Unrealized gain (loss)(1) | |||||||||||||||
Interest rate swaps | $ | 3 | $ | 43 | $ | 152 | $ | 5 | |||||||
Commodity derivative instruments | 219 | (8 | ) | (49 | ) | (47 | ) | ||||||||
Total unrealized gain (loss) | $ | 222 | $ | 35 | $ | 103 | $ | (42 | ) | ||||||
Total mark-to-market activity, net | $ | 335 | $ | 56 | $ | 271 | $ | (75 | ) |
(1) | In addition to changes in market value on derivatives not designated as hedges, changes in unrealized gain (loss) also includes de-designation of interest rate swap cash flow hedges and related reclassification from AOCI into earnings, hedge ineffectiveness and adjustments to reflect changes in credit default risk exposure. |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||
Power contracts included in operating revenues | $ | 329 | $ | 18 | $ | 149 | $ | 9 | |||||||
Natural gas contracts included in fuel and purchased energy expense | 3 | 39 | 127 | 61 | |||||||||||
Interest rate swaps included in interest expense | 3 | 2 | 9 | 4 | |||||||||||
Loss on interest rate derivatives | — | (3 | ) | (14 | ) | (149 | ) | ||||||||
Total mark-to-market activity, net | $ | 335 | $ | 56 | $ | 271 | $ | (75 | ) |
Three Months Ended September 30, | |||||||||||||||||||||||
Gain (Loss) Recognized in OCI (Effective Portion) | Gain (Loss) Reclassified from AOCI into Income (Effective Portion)(1) | Gain (Loss) Reclassified from AOCI into Income (Ineffective Portion) | |||||||||||||||||||||
2012 | 2011 | 2012 | 2011 | 2012 | 2011 | ||||||||||||||||||
Interest rate swaps | $ | (14 | ) | $ | (103 | ) | $ | (8 | ) | (2) | $ | (7 | ) | (2) | $ | — | $ | (1 | ) | ||||
Commodity derivative instruments | (9 | ) | 9 | 9 | (3) | 27 | (3) | — | (1 | ) | |||||||||||||
Total | $ | (23 | ) | $ | (94 | ) | $ | 1 | $ | 20 | $ | — | $ | (2 | ) |
Nine Months Ended September 30, | |||||||||||||||||||||||
Gain (Loss) Recognized in OCI (Effective Portion) | Gain (Loss) Reclassified from AOCI into Income (Effective Portion)(1) | Gain (Loss) Reclassified from AOCI into Income (Ineffective Portion) | |||||||||||||||||||||
2012 | 2011 | 2012 | 2011 | 2012 | 2011 | ||||||||||||||||||
Interest rate swaps | $ | (48 | ) | $ | (9 | ) | $ | (23 | ) | (4) | $ | (130 | ) | (4) | $ | — | $ | (2 | ) | ||||
Commodity derivative instruments | (23 | ) | (27 | ) | 38 | (3) | 106 | (3) | 2 | — | |||||||||||||
Total | $ | (71 | ) | $ | (36 | ) | $ | 15 | $ | (24 | ) | $ | 2 | $ | (2 | ) |
(1) | Cumulative cash flow hedge losses, net of tax, remaining in AOCI were $236 million and $172 million at September 30, 2012 and December 31, 2011, respectively. |
(2) | Reclassification of losses from OCI to earnings consisted of $8 million and $7 million from the reclassification of interest rate contracts due to settlement for the three months ended September 30, 2012 and 2011, respectively. |
(3) | Included in operating revenues and fuel and purchased energy expense on our Consolidated Condensed Statement of Operations. |
(4) | Reclassification of losses from OCI to earnings consisted of $23 million and $24 million from the reclassification of interest rate contracts due to settlement for the nine months ended September 30, 2012 and 2011, respectively, $15 million in losses from terminated interest rate contracts due to repayment of project debt in June 2011, and $91 million in losses from existing interest rate contracts reclassified from OCI into earnings due to the refinancing of variable rate First Lien Credit Facility term loans for the nine months ended September 30, 2011. |
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September 30, 2012 | December 31, 2011 | ||||||
Margin deposits(1) | $ | 103 | $ | 140 | |||
Natural gas and power prepayments | 34 | 42 | |||||
Total margin deposits and natural gas and power prepayments with our counterparties(2) | $ | 137 | $ | 182 | |||
Letters of credit issued | $ | 525 | $ | 581 | |||
First priority liens under power and natural gas agreements | 13 | 1 | |||||
First priority liens under interest rate swap agreements | 214 | 318 | |||||
Total letters of credit and first priority liens with our counterparties | $ | 752 | $ | 900 | |||
Margin deposits held by us posted by our counterparties(1)(3) | $ | 9 | $ | 34 | |||
Letters of credit posted with us by our counterparties | 1 | — | |||||
Total margin deposits and letters of credit posted with us by our counterparties | $ | 10 | $ | 34 |
(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 September 30, 2012 and December 31, 2011, $115 million and $162 million, respectively, were included in margin deposits and other prepaid expense and $22 million and $20 million, respectively, were included in other assets on our Consolidated Condensed Balance Sheets. |
(3) | Included in other current liabilities on our Consolidated Condensed Balance Sheets. |
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Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||||
Income tax expense (benefit) | $ | 81 | $ | 20 | $ | 23 | $ | (45 | ) | (1 | ) | ||||||
Imputed tax rate | 16 | % | 10 | % | 19 | % | 20 | % |
(1) | Includes a tax benefit of approximately $76 million related to the election to consolidate our CCFC and Calpine groups for federal income tax reporting purposes for the nine months ended September 30, 2011. |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Intraperiod tax allocation expense included in continuing operations | $ | 3 | $ | 36 | $ | 7 | $ | 20 | |||||||
Intraperiod tax allocation benefit included in OCI | $ | (3 | ) | $ | (34 | ) | $ | (7 | ) | $ | (18 | ) |
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Number of Shares | Weighted Average Exercise Price | Weighted Average Remaining Term (in years) | Aggregate Intrinsic Value (in millions) | |||||||||
Outstanding — December 31, 2011 | 17,665,902 | $ | 17.32 | 4.8 | $ | 26 | ||||||
Granted | 898,115 | $ | 15.35 | |||||||||
Exercised | 276,300 | $ | 15.16 | |||||||||
Forfeited | 171,267 | $ | 13.17 | |||||||||
Expired | 114,300 | $ | 17.72 | |||||||||
Outstanding — September 30, 2012 | 18,002,150 | $ | 17.29 | 4.3 | $ | 35 | ||||||
Exercisable — September 30, 2012 | 10,356,198 | $ | 19.13 | 3.8 | $ | 9 | ||||||
Vested and expected to vest – September 30, 2012 | 17,668,022 | $ | 17.34 | 4.2 | $ | 34 |
2012 | 2011 | |||||||
Expected term (in years)(1) | 6.5 | 6.5 | ||||||
Risk-free interest rate(2) | 1.2 – 1.6 | % | 1.7 – 3.2 | % | ||||
Expected volatility(3) | 27.0 – 30.5 | % | 31.2 – 44.9 | % | ||||
Dividend yield(4) | — | — | ||||||
Weighted average grant-date fair value (per option) | $ | 5.18 | $ | 5.49 |
(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 have never paid cash dividends on our common stock, and it is not anticipated that any cash dividends will be paid on our common stock in the near future. |
Number of Restricted Stock Awards | Weighted Average Grant-Date Fair Value | |||||
Nonvested — December 31, 2011 | 3,510,358 | $ | 12.10 | |||
Granted | 1,557,214 | $ | 15.38 | |||
Forfeited | 207,798 | $ | 13.61 | |||
Vested | 1,052,157 | $ | 10.10 | |||
Nonvested — September 30, 2012 | 3,807,617 | $ | 13.89 |
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Three Months Ended September 30, 2012 | |||||||||||||||||||||||
West | Texas | North | Southeast | Consolidation and Elimination | Total | ||||||||||||||||||
Revenues from external customers | $ | 509 | $ | 886 | $ | 407 | $ | 194 | $ | — | $ | 1,996 | |||||||||||
Intersegment revenues | 2 | (34 | ) | 4 | 68 | (40 | ) | — | |||||||||||||||
Total operating revenues | $ | 511 | $ | 852 | $ | 411 | $ | 262 | $ | (40 | ) | $ | 1,996 | ||||||||||
Commodity Margin(1) | $ | 330 | $ | 218 | $ | 266 | $ | 83 | $ | — | $ | 897 | |||||||||||
Add: Mark-to-market commodity activity, net and other(2)(3) | (40 | ) | 249 | (26 | ) | 27 | (8 | ) | 202 | ||||||||||||||
Less: | |||||||||||||||||||||||
Plant operating expense | 88 | 49 | 51 | 29 | (10 | ) | 207 | ||||||||||||||||
Depreciation and amortization expense | 52 | 35 | 33 | 21 | (1 | ) | 140 | ||||||||||||||||
Sales, general and other administrative expense | 9 | 12 | 8 | 8 | (1 | ) | 36 | ||||||||||||||||
Other operating expenses(4) | 10 | 1 | 6 | (1 | ) | 2 | 18 | ||||||||||||||||
(Income) from unconsolidated investments in power plants | — | — | (7 | ) | — | — | (7 | ) | |||||||||||||||
Income from operations | 131 | 370 | 149 | 53 | 2 | 705 | |||||||||||||||||
Interest expense, net of interest income | 181 | ||||||||||||||||||||||
Other (income) expense, net | 6 | ||||||||||||||||||||||
Income before income taxes | $ | 518 |
Three Months Ended September 30, 2011 | |||||||||||||||||||||||
West | Texas | North | Southeast | Consolidation and Elimination | Total | ||||||||||||||||||
Revenues from external customers | $ | 688 | $ | 843 | $ | 430 | $ | 248 | $ | — | $ | 2,209 | |||||||||||
Intersegment revenues | 3 | 3 | (8 | ) | 31 | (29 | ) | — | |||||||||||||||
Total operating revenues | $ | 691 | $ | 846 | $ | 422 | $ | 279 | $ | (29 | ) | $ | 2,209 | ||||||||||
Commodity Margin(1) | $ | 329 | $ | 162 | $ | 259 | $ | 75 | $ | — | $ | 825 | |||||||||||
Add: Mark-to-market commodity activity, net and other(2)(3) | 20 | (21 | ) | (11 | ) | — | (8 | ) | (20 | ) | |||||||||||||
Less: | |||||||||||||||||||||||
Plant operating expense | 94 | 50 | 44 | 33 | (9 | ) | 212 | ||||||||||||||||
Depreciation and amortization expense | 52 | 34 | 36 | 22 | (1 | ) | 143 | ||||||||||||||||
Sales, general and other administrative expense | 10 | 10 | 7 | 7 | (1 | ) | 33 | ||||||||||||||||
Other operating expenses(4) | 11 | (1 | ) | 7 | — | 2 | 19 | ||||||||||||||||
(Income) from unconsolidated investments in power plants | — | — | (5 | ) | — | — | (5 | ) | |||||||||||||||
Income from operations | 182 | 48 | 159 | 13 | 1 | 403 | |||||||||||||||||
Interest expense, net of interest income | 190 | ||||||||||||||||||||||
Loss on interest rate derivatives | 3 | ||||||||||||||||||||||
Debt extinguishment costs and other (income) expense, net | — | ||||||||||||||||||||||
Income before income taxes | $ | 210 |
Nine Months Ended September 30, 2012 | |||||||||||||||||||||||
West | Texas | North | Southeast | Consolidation and Elimination | Total | ||||||||||||||||||
Revenues from external customers | $ | 1,183 | $ | 1,430 | $ | 974 | $ | 524 | $ | — | $ | 4,111 | |||||||||||
Intersegment revenues | 7 | 27 | 9 | 84 | (127 | ) | — | ||||||||||||||||
Total operating revenues | $ | 1,190 | $ | 1,457 | $ | 983 | $ | 608 | $ | (127 | ) | $ | 4,111 | ||||||||||
Commodity Margin(1) | $ | 748 | $ | 472 | $ | 591 | $ | 212 | $ | — | $ | 2,023 | |||||||||||
Add: Mark-to-market commodity activity, net and other(2)(5) | (80 | ) | 66 | (17 | ) | (5 | ) | (22 | ) | (58 | ) | ||||||||||||
Less: | |||||||||||||||||||||||
Plant operating expense | 281 | 189 | 154 | 98 | (23 | ) | 699 | ||||||||||||||||
Depreciation and amortization expense | 151 | 104 | 100 | 66 | (3 | ) | 418 | ||||||||||||||||
Sales, general and other administrative expense | 23 | 36 | 22 | 23 | — | 104 | |||||||||||||||||
Other operating expenses(4) | 30 | 4 | 21 | 2 | 1 | 58 | |||||||||||||||||
(Income) from unconsolidated investments in power plants | — | — | (21 | ) | — | — | (21 | ) | |||||||||||||||
Income from operations | 183 | 205 | 298 | 18 | 3 | 707 | |||||||||||||||||
Interest expense, net of interest income | 545 | ||||||||||||||||||||||
Loss on interest rate derivatives | 14 | ||||||||||||||||||||||
Debt extinguishment costs and other (income) expense, net | 26 | ||||||||||||||||||||||
Income before income taxes | $ | 122 |
Nine Months Ended September 30, 2011 | |||||||||||||||||||||||
West | Texas | North | Southeast | Consolidation and Elimination | Total | ||||||||||||||||||
Revenues from external customers | $ | 1,753 | $ | 1,939 | $ | 1,025 | $ | 624 | $ | — | $ | 5,341 | |||||||||||
Intersegment revenues | 7 | 13 | 5 | 116 | (141 | ) | — | ||||||||||||||||
Total operating revenues | $ | 1,760 | $ | 1,952 | $ | 1,030 | $ | 740 | $ | (141 | ) | $ | 5,341 | ||||||||||
Commodity Margin(1) | $ | 798 | $ | 357 | $ | 578 | $ | 188 | $ | — | $ | 1,921 | |||||||||||
Add: Mark-to-market commodity activity, net and other(2)(5) | 36 | (54 | ) | (12 | ) | (4 | ) | (23 | ) | (57 | ) | ||||||||||||
Less: | |||||||||||||||||||||||
Plant operating expense | 297 | 193 | 136 | 107 | (22 | ) | 711 | ||||||||||||||||
Depreciation and amortization expense | 140 | 99 | 102 | 67 | (3 | ) | 405 | ||||||||||||||||
Sales, general and other administrative expense | 29 | 33 | 19 | 18 | — | 99 | |||||||||||||||||
Other operating expenses(4) | 30 | 2 | 23 | 3 | (1 | ) | 57 | ||||||||||||||||
(Income) from unconsolidated investments in power plants | — | — | (12 | ) | — | — | (12 | ) | |||||||||||||||
Income (loss) from operations | 338 | (24 | ) | 298 | (11 | ) | 3 | 604 | |||||||||||||||
Interest expense, net of interest income | 568 | ||||||||||||||||||||||
Loss on interest rate derivatives | 149 | ||||||||||||||||||||||
Debt extinguishment costs and other (income) expense, net | 108 | ||||||||||||||||||||||
Loss before income taxes | $ | (221 | ) |
(1) | Our North segment includes Commodity Margin related to Riverside Energy Center, LLC of $32 million and $31 million for the three months ended September 30, 2012 and 2011, respectively, and $64 million and $62 million for the nine months ended September 30, 2012 and 2011, respectively. |
(2) | Mark-to-market commodity activity represents the change in 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. |
(3) | Includes $16 million and $11 million of lease levelization for the three months ended September 30, 2012 and 2011, respectively, and $4 million of amortization expense for each of the three months ended September 30, 2012 and 2011. |
(4) | Excludes $4 million and $3 million of RGGI compliance and other environmental costs for the three months ended September 30, 2012 and 2011, respectively, and $9 million and $7 million for the nine months ended September 30, 2012 and 2011, respectively, which are components of Commodity Margin. |
(5) | Includes $7 million and $15 million of lease levelization and $11 million and $5 million of amortization expense for the nine months ended September 30, 2012 and 2011, respectively. |
|
|
September 30, 2012 | December 31, 2011 | ||||||
Buildings, machinery and equipment | $ | 15,150 | $ | 15,074 | |||
Geothermal properties | 1,212 | 1,163 | |||||
Other | 158 | 156 | |||||
16,520 | 16,393 | ||||||
Less: Accumulated depreciation | 4,518 | 4,158 | |||||
12,002 | 12,235 | ||||||
Land | 91 | 91 | |||||
Construction in progress | 1,036 | 693 | |||||
Property, plant and equipment, net | $ | 13,129 | $ | 13,019 |
2012 | $ | 114 | |
2013 | 527 | ||
2014 | 452 | ||
2015 | 461 | ||
2016 | 375 | ||
Thereafter | 2,270 | ||
Total | $ | 4,199 | |
September 30, 2012 | December 31, 2011 | ||||||||||||||||||||||
Current | Non-Current | Total | Current | Non-Current | Total | ||||||||||||||||||
Debt service(1) | $ | 22 | $ | 42 | $ | 64 | $ | 11 | $ | 42 | $ | 53 | |||||||||||
Rent reserve | 3 | — | 3 | — | — | — | |||||||||||||||||
Construction/major maintenance | 37 | 11 | 48 | 33 | 10 | 43 | |||||||||||||||||
Security/project/insurance | 101 | 8 | 109 | 79 | — | 79 | |||||||||||||||||
Other | — | 2 | 2 | 16 | 3 | 19 | |||||||||||||||||
Total | $ | 163 | $ | 63 | $ | 226 | $ | 139 | $ | 55 | $ | 194 |
(1) | At September 30, 2012 and December 31, 2011, amounts restricted for debt service included approximately $24 million and $25 million, respectively, of repurchase agreements with a financial institution containing maturity dates greater than one year. |
|
Ownership Interest as of September 30, 2012 | September 30, 2012 | December 31, 2011 | |||||||
Greenfield LP | 50% | $ | 70 | $ | 72 | ||||
Whitby | 50% | 9 | 8 | ||||||
Total investments | $ | 79 | $ | 80 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Greenfield LP | $ | (5 | ) | $ | (4 | ) | $ | (13 | ) | $ | (5 | ) | |||
Whitby | (2 | ) | (1 | ) | (8 | ) | (7 | ) | |||||||
Total | $ | (7 | ) | $ | (5 | ) | $ | (21 | ) | $ | (12 | ) |
|
September 30, 2012 | December 31, 2011 | ||||||
First Lien Notes | $ | 5,892 | $ | 5,892 | |||
Project financing, notes payable and other | 1,949 | 1,691 | |||||
First Lien Term Loans | 1,634 | 1,646 | |||||
CCFC Notes | 976 | 972 | |||||
Capital lease obligations | 221 | 224 | |||||
Total debt | 10,672 | 10,425 | |||||
Less: Current maturities | 105 | 104 | |||||
Debt, net of current portion | $ | 10,567 | $ | 10,321 |
September 30, 2012 | December 31, 2011 | ||||||
2017 First Lien Notes | $ | 1,200 | $ | 1,200 | |||
2019 First Lien Notes | 400 | 400 | |||||
2020 First Lien Notes | 1,092 | 1,092 | |||||
2021 First Lien Notes | 2,000 | 2,000 | |||||
2023 First Lien Notes | 1,200 | 1,200 | |||||
Total First Lien Notes | $ | 5,892 | $ | 5,892 |
September 30, 2012 | December 31, 2011 | ||||||
Corporate Revolving Facility | $ | 280 | $ | 440 | |||
CDHI | 275 | 193 | |||||
Various project financing facilities | 130 | 130 | |||||
Total | $ | 685 | $ | 763 |
September 30, 2012 | December 31, 2011 | ||||||||||||||
Fair Value | Carrying Value | Fair Value | Carrying Value | ||||||||||||
First Lien Notes | $ | 6,378 | $ | 5,892 | $ | 6,219 | $ | 5,892 | |||||||
Project financing, notes payable and other(1) | 1,750 | 1,789 | 1,467 | 1,504 | |||||||||||
First Lien Term Loans | 1,644 | 1,634 | 1,615 | 1,646 | |||||||||||
CCFC Notes | 1,073 | 976 | 1,070 | 972 | |||||||||||
Total | $ | 10,845 | $ | 10,291 | $ | 10,371 | $ | 10,014 |
(1) | Excludes a lease that is accounted for as a failed sale-leaseback transaction under U.S. GAAP. |
|
Quantitative Information about Level 3 Fair Value Measurements | ||||||||||
September 30, 2012 | ||||||||||
Fair Value, Net Asset | Significant Unobservable | |||||||||
(Liability) | Valuation Technique | Input | Range | |||||||
(in millions) | ||||||||||
Physical Power | $ | 15 | Discounted cash flow | Market price (per MWh) | $20.95 — $56.78/MWh |
Assets and Liabilities with Recurring Fair Value Measures as of September 30, 2012 | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
(in millions) | |||||||||||||||
Assets: | |||||||||||||||
Cash equivalents(1) | $ | 1,275 | $ | — | $ | — | $ | 1,275 | |||||||
Margin deposits | 103 | — | — | 103 | |||||||||||
Commodity instruments: | |||||||||||||||
Commodity exchange traded futures and swaps contracts | 559 | — | — | 559 | |||||||||||
Commodity forward contracts(2) | — | 47 | 22 | 69 | |||||||||||
Interest rate swaps | — | 5 | — | 5 | |||||||||||
Total assets | $ | 1,937 | $ | 52 | $ | 22 | $ | 2,011 | |||||||
Liabilities: | |||||||||||||||
Margin deposits held by us posted by our counterparties | $ | 9 | $ | — | $ | — | $ | 9 | |||||||
Commodity instruments: | |||||||||||||||
Commodity exchange traded futures and swaps contracts | 497 | — | — | 497 | |||||||||||
Commodity forward contracts(2) | — | 32 | 6 | 38 | |||||||||||
Interest rate swaps | — | 208 | — | 208 | |||||||||||
Total liabilities | $ | 506 | $ | 240 | $ | 6 | $ | 752 |
Assets and Liabilities with Recurring Fair Value Measures as of December 31, 2011 | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
(in millions) | |||||||||||||||
Assets: | |||||||||||||||
Cash equivalents(1) | $ | 1,415 | $ | — | $ | — | $ | 1,415 | |||||||
Margin deposits | 140 | — | — | 140 | |||||||||||
Commodity instruments: | |||||||||||||||
Commodity exchange traded futures and swaps contracts | 1,043 | — | — | 1,043 | |||||||||||
Commodity forward contracts(2) | — | 74 | 37 | 111 | |||||||||||
Interest rate swaps | — | 10 | — | 10 | |||||||||||
Total assets | $ | 2,598 | $ | 84 | $ | 37 | $ | 2,719 | |||||||
Liabilities: | |||||||||||||||
Margin deposits held by us posted by our counterparties | $ | 34 | $ | — | $ | — | $ | 34 | |||||||
Commodity instruments: | |||||||||||||||
Commodity exchange traded futures and swaps contracts | 899 | — | — | 899 | |||||||||||
Commodity forward contracts(2) | — | 184 | 20 | 204 | |||||||||||
Interest rate swaps | — | 320 | — | 320 | |||||||||||
Total liabilities | $ | 933 | $ | 504 | $ | 20 | $ | 1,457 |
(1) | As of September 30, 2012 and December 31, 2011, we had cash equivalents of $1,074 million and $1,249 million included in cash and cash equivalents and $201 million and $166 million included in restricted cash, respectively. |
(2) | Includes OTC swaps and options. |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Balance, beginning of period | $ | (10 | ) | $ | 21 | $ | 17 | $ | 30 | ||||||
Realized and unrealized gains (losses): | |||||||||||||||
Included in net income (loss): | |||||||||||||||
Included in operating revenues(1) | 1 | (8 | ) | 3 | (1 | ) | |||||||||
Included in fuel and purchased energy expense(2) | 1 | 1 | 1 | 1 | |||||||||||
Included in OCI | — | (2 | ) | 1 | 3 | ||||||||||
Purchases, issuances and settlements: | |||||||||||||||
Issuances | (1 | ) | — | (1 | ) | — | |||||||||
Settlements | 25 | 16 | (4 | ) | (6 | ) | |||||||||
Transfers in and/or out of level 3(3): | |||||||||||||||
Transfers into level 3(4) | — | — | — | — | |||||||||||
Transfers out of level 3(5) | — | (1 | ) | (1 | ) | — | |||||||||
Balance, end of period | $ | 16 | $ | 27 | $ | 16 | $ | 27 | |||||||
Change in unrealized gains (losses) relating to instruments still held at end of period | $ | 2 | $ | (7 | ) | $ | 4 | $ | — |
(1) | For power contracts and Heat Rate swaps and options, included on our Consolidated Condensed Statements of Operations. |
(2) | For natural gas contracts, swaps and options, included 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 transfers into/out of level 1 during the three and nine months ended September 30, 2012 and 2011. |
(4) | There were no transfers out of level 2 into level 3 for the three and nine months ended September 30, 2012 and 2011. |
(5) | We had nil and $1 million in gains transferred out of level 3 into level 2 for the three months ended September 30, 2012 and 2011, respectively. There were $1 million in gains and nil transferred out of level 3 into level 2 for the nine months ended September 30, 2012 and 2011, respectively. |
|
September 30, 2012 | |||||||||||
Interest Rate Swaps | Commodity Instruments | Total Derivative Instruments | |||||||||
Balance Sheet Presentation | |||||||||||
Current derivative assets | $ | — | $ | 487 | $ | 487 | |||||
Long-term derivative assets | 5 | 141 | 146 | ||||||||
Total derivative assets | $ | 5 | $ | 628 | $ | 633 | |||||
Current derivative liabilities | $ | 36 | $ | 421 | $ | 457 | |||||
Long-term derivative liabilities | 172 | 114 | 286 | ||||||||
Total derivative liabilities | $ | 208 | $ | 535 | $ | 743 | |||||
Net derivative assets (liabilities) | $ | (203 | ) | $ | 93 | $ | (110 | ) |
December 31, 2011 | |||||||||||
Interest Rate Swaps | Commodity Instruments | Total Derivative Instruments | |||||||||
Balance Sheet Presentation | |||||||||||
Current derivative assets | $ | — | $ | 1,051 | $ | 1,051 | |||||
Long-term derivative assets | 10 | 103 | 113 | ||||||||
Total derivative assets | $ | 10 | $ | 1,154 | $ | 1,164 | |||||
Current derivative liabilities | $ | 166 | $ | 978 | $ | 1,144 | |||||
Long-term derivative liabilities | 154 | 125 | 279 | ||||||||
Total derivative liabilities | $ | 320 | $ | 1,103 | $ | 1,423 | |||||
Net derivative assets (liabilities) | $ | (310 | ) | $ | 51 | $ | (259 | ) |
Derivative Instruments | Notional Amounts | |||||||
September 30, 2012 | December 31, 2011 | |||||||
Power (MWh) | (13 | ) | (21 | ) | ||||
Natural gas (MMBtu) | 2 | (200 | ) | |||||
Interest rate swaps(1) | $ | 1,629 | $ | 5,639 |
(1) | Approximately $4.1 billion at December 31, 2011 was related to hedges of our First Lien Credit Facility's variable rate debt that was converted to fixed rate debt. On March 26, 2012, we terminated the interest rate swaps formerly hedging our First Lien Credit Facility. |
September 30, 2012 | December 31, 2011 | ||||||||||||||
Fair Value of Derivative Assets | Fair Value of Derivative Liabilities | Fair Value of Derivative Assets | Fair Value of Derivative Liabilities | ||||||||||||
Derivatives designated as cash flow hedging instruments(1): | |||||||||||||||
Interest rate swaps | $ | 5 | $ | 189 | $ | 10 | $ | 149 | |||||||
Commodity instruments | 17 | 2 | 51 | 18 | |||||||||||
Total derivatives designated as cash flow hedging instruments | $ | 22 | $ | 191 | $ | 61 | $ | 167 | |||||||
Derivatives not designated as hedging instruments: | |||||||||||||||
Interest rate swaps | $ | — | $ | 19 | $ | — | $ | 171 | |||||||
Commodity instruments | 611 | 533 | 1,103 | 1,085 | |||||||||||
Total derivatives not designated as hedging instruments | $ | 611 | $ | 552 | $ | 1,103 | $ | 1,256 | |||||||
Total derivatives | $ | 633 | $ | 743 | $ | 1,164 | $ | 1,423 |
(1) | Includes accumulated fair value of derivative instruments as of the date hedge accounting was discontinued, net of amortized fair value for settlement periods which have transpired. |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Realized gain (loss) | |||||||||||||||
Interest rate swaps | $ | — | $ | (44 | ) | $ | (157 | ) | $ | (150 | ) | ||||
Commodity derivative instruments | 113 | 65 | 325 | 117 | |||||||||||
Total realized gain (loss) | $ | 113 | $ | 21 | $ | 168 | $ | (33 | ) | ||||||
Unrealized gain (loss)(1) | |||||||||||||||
Interest rate swaps | $ | 3 | $ | 43 | $ | 152 | $ | 5 | |||||||
Commodity derivative instruments | 219 | (8 | ) | (49 | ) | (47 | ) | ||||||||
Total unrealized gain (loss) | $ | 222 | $ | 35 | $ | 103 | $ | (42 | ) | ||||||
Total mark-to-market activity, net | $ | 335 | $ | 56 | $ | 271 | $ | (75 | ) |
(1) | In addition to changes in market value on derivatives not designated as hedges, changes in unrealized gain (loss) also includes de-designation of interest rate swap cash flow hedges and related reclassification from AOCI into earnings, hedge ineffectiveness and adjustments to reflect changes in credit default risk exposure. |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Realized and unrealized gain (loss) | |||||||||||||||
Power contracts included in operating revenues | $ | 329 | $ | 18 | $ | 149 | $ | 9 | |||||||
Natural gas contracts included in fuel and purchased energy expense | 3 | 39 | 127 | 61 | |||||||||||
Interest rate swaps included in interest expense | 3 | 2 | 9 | 4 | |||||||||||
Loss on interest rate derivatives | — | (3 | ) | (14 | ) | (149 | ) | ||||||||
Total mark-to-market activity, net | $ | 335 | $ | 56 | $ | 271 | $ | (75 | ) |
Three Months Ended September 30, | |||||||||||||||||||||||
Gain (Loss) Recognized in OCI (Effective Portion) | Gain (Loss) Reclassified from AOCI into Income (Effective Portion)(1) | Gain (Loss) Reclassified from AOCI into Income (Ineffective Portion) | |||||||||||||||||||||
2012 | 2011 | 2012 | 2011 | 2012 | 2011 | ||||||||||||||||||
Interest rate swaps | $ | (14 | ) | $ | (103 | ) | $ | (8 | ) | (2) | $ | (7 | ) | (2) | $ | — | $ | (1 | ) | ||||
Commodity derivative instruments | (9 | ) | 9 | 9 | (3) | 27 | (3) | — | (1 | ) | |||||||||||||
Total | $ | (23 | ) | $ | (94 | ) | $ | 1 | $ | 20 | $ | — | $ | (2 | ) |
Nine Months Ended September 30, | |||||||||||||||||||||||
Gain (Loss) Recognized in OCI (Effective Portion) | Gain (Loss) Reclassified from AOCI into Income (Effective Portion)(1) | Gain (Loss) Reclassified from AOCI into Income (Ineffective Portion) | |||||||||||||||||||||
2012 | 2011 | 2012 | 2011 | 2012 | 2011 | ||||||||||||||||||
Interest rate swaps | $ | (48 | ) | $ | (9 | ) | $ | (23 | ) | (4) | $ | (130 | ) | (4) | $ | — | $ | (2 | ) | ||||
Commodity derivative instruments | (23 | ) | (27 | ) | 38 | (3) | 106 | (3) | 2 | — | |||||||||||||
Total | $ | (71 | ) | $ | (36 | ) | $ | 15 | $ | (24 | ) | $ | 2 | $ | (2 | ) |
(1) | Cumulative cash flow hedge losses, net of tax, remaining in AOCI were $236 million and $172 million at September 30, 2012 and December 31, 2011, respectively. |
(2) | Reclassification of losses from OCI to earnings consisted of $8 million and $7 million from the reclassification of interest rate contracts due to settlement for the three months ended September 30, 2012 and 2011, respectively. |
(3) | Included in operating revenues and fuel and purchased energy expense on our Consolidated Condensed Statement of Operations. |
(4) | Reclassification of losses from OCI to earnings consisted of $23 million and $24 million from the reclassification of interest rate contracts due to settlement for the nine months ended September 30, 2012 and 2011, respectively, $15 million in losses from terminated interest rate contracts due to repayment of project debt in June 2011, and $91 million in losses from existing interest rate contracts reclassified from OCI into earnings due to the refinancing of variable rate First Lien Credit Facility term loans for the nine months ended September 30, 2011. |
|
September 30, 2012 | December 31, 2011 | ||||||
Margin deposits(1) | $ | 103 | $ | 140 | |||
Natural gas and power prepayments | 34 | 42 | |||||
Total margin deposits and natural gas and power prepayments with our counterparties(2) | $ | 137 | $ | 182 | |||
Letters of credit issued | $ | 525 | $ | 581 | |||
First priority liens under power and natural gas agreements | 13 | 1 | |||||
First priority liens under interest rate swap agreements | 214 | 318 | |||||
Total letters of credit and first priority liens with our counterparties | $ | 752 | $ | 900 | |||
Margin deposits held by us posted by our counterparties(1)(3) | $ | 9 | $ | 34 | |||
Letters of credit posted with us by our counterparties | 1 | — | |||||
Total margin deposits and letters of credit posted with us by our counterparties | $ | 10 | $ | 34 |
(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 September 30, 2012 and December 31, 2011, $115 million and $162 million, respectively, were included in margin deposits and other prepaid expense and $22 million and $20 million, respectively, were included in other assets on our Consolidated Condensed Balance Sheets. |
(3) | Included in other current liabilities on our Consolidated Condensed Balance Sheets. |
|
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||||
Income tax expense (benefit) | $ | 81 | $ | 20 | $ | 23 | $ | (45 | ) | (1 | ) | ||||||
Imputed tax rate | 16 | % | 10 | % | 19 | % | 20 | % |
(1) | Includes a tax benefit of approximately $76 million related to the election to consolidate our CCFC and Calpine groups for federal income tax reporting purposes for the nine months ended September 30, 2011. |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2012 | 2011 | 2012 | 2011 | ||||||||||||
Intraperiod tax allocation expense included in continuing operations | $ | 3 | $ | 36 | $ | 7 | $ | 20 | |||||||
Intraperiod tax allocation benefit included in OCI | $ | (3 | ) | $ | (34 | ) | $ | (7 | ) | $ | (18 | ) |
|
Number of Shares | Weighted Average Exercise Price | Weighted Average Remaining Term (in years) | Aggregate Intrinsic Value (in millions) | |||||||||
Outstanding — December 31, 2011 | 17,665,902 | $ | 17.32 | 4.8 | $ | 26 | ||||||
Granted | 898,115 | $ | 15.35 | |||||||||
Exercised | 276,300 | $ | 15.16 | |||||||||
Forfeited | 171,267 | $ | 13.17 | |||||||||
Expired | 114,300 | $ | 17.72 | |||||||||
Outstanding — September 30, 2012 | 18,002,150 | $ | 17.29 | 4.3 | $ | 35 | ||||||
Exercisable — September 30, 2012 | 10,356,198 | $ | 19.13 | 3.8 | $ | 9 | ||||||
Vested and expected to vest – September 30, 2012 | 17,668,022 | $ | 17.34 | 4.2 | $ | 34 |
2012 | 2011 | |||||||
Expected term (in years)(1) | 6.5 | 6.5 | ||||||
Risk-free interest rate(2) | 1.2 – 1.6 | % | 1.7 – 3.2 | % | ||||
Expected volatility(3) | 27.0 – 30.5 | % | 31.2 – 44.9 | % | ||||
Dividend yield(4) | — | — | ||||||
Weighted average grant-date fair value (per option) | $ | 5.18 | $ | 5.49 |
(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 have never paid cash dividends on our common stock, and it is not anticipated that any cash dividends will be paid on our common stock in the near future. |
Number of Restricted Stock Awards | Weighted Average Grant-Date Fair Value | |||||
Nonvested — December 31, 2011 | 3,510,358 | $ | 12.10 | |||
Granted | 1,557,214 | $ | 15.38 | |||
Forfeited | 207,798 | $ | 13.61 | |||
Vested | 1,052,157 | $ | 10.10 | |||
Nonvested — September 30, 2012 | 3,807,617 | $ | 13.89 |
|
Three Months Ended September 30, 2012 | |||||||||||||||||||||||
West | Texas | North | Southeast | Consolidation and Elimination | Total | ||||||||||||||||||
Revenues from external customers | $ | 509 | $ | 886 | $ | 407 | $ | 194 | $ | — | $ | 1,996 | |||||||||||
Intersegment revenues | 2 | (34 | ) | 4 | 68 | (40 | ) | — | |||||||||||||||
Total operating revenues | $ | 511 | $ | 852 | $ | 411 | $ | 262 | $ | (40 | ) | $ | 1,996 | ||||||||||
Commodity Margin(1) | $ | 330 | $ | 218 | $ | 266 | $ | 83 | $ | — | $ | 897 | |||||||||||
Add: Mark-to-market commodity activity, net and other(2)(3) | (40 | ) | 249 | (26 | ) | 27 | (8 | ) | 202 | ||||||||||||||
Less: | |||||||||||||||||||||||
Plant operating expense | 88 | 49 | 51 | 29 | (10 | ) | 207 | ||||||||||||||||
Depreciation and amortization expense | 52 | 35 | 33 | 21 | (1 | ) | 140 | ||||||||||||||||
Sales, general and other administrative expense | 9 | 12 | 8 | 8 | (1 | ) | 36 | ||||||||||||||||
Other operating expenses(4) | 10 | 1 | 6 | (1 | ) | 2 | 18 | ||||||||||||||||
(Income) from unconsolidated investments in power plants | — | — | (7 | ) | — | — | (7 | ) | |||||||||||||||
Income from operations | 131 | 370 | 149 | 53 | 2 | 705 | |||||||||||||||||
Interest expense, net of interest income | 181 | ||||||||||||||||||||||
Other (income) expense, net | 6 | ||||||||||||||||||||||
Income before income taxes | $ | 518 |
Three Months Ended September 30, 2011 | |||||||||||||||||||||||
West | Texas | North | Southeast | Consolidation and Elimination | Total | ||||||||||||||||||
Revenues from external customers | $ | 688 | $ | 843 | $ | 430 | $ | 248 | $ | — | $ | 2,209 | |||||||||||
Intersegment revenues | 3 | 3 | (8 | ) | 31 | (29 | ) | — | |||||||||||||||
Total operating revenues | $ | 691 | $ | 846 | $ | 422 | $ | 279 | $ | (29 | ) | $ | 2,209 | ||||||||||
Commodity Margin(1) | $ | 329 | $ | 162 | $ | 259 | $ | 75 | $ | — | $ | 825 | |||||||||||
Add: Mark-to-market commodity activity, net and other(2)(3) | 20 | (21 | ) | (11 | ) | — | (8 | ) | (20 | ) | |||||||||||||
Less: | |||||||||||||||||||||||
Plant operating expense | 94 | 50 | 44 | 33 | (9 | ) | 212 | ||||||||||||||||
Depreciation and amortization expense | 52 | 34 | 36 | 22 | (1 | ) | 143 | ||||||||||||||||
Sales, general and other administrative expense | 10 | 10 | 7 | 7 | (1 | ) | 33 | ||||||||||||||||
Other operating expenses(4) | 11 | (1 | ) | 7 | — | 2 | 19 | ||||||||||||||||
(Income) from unconsolidated investments in power plants | — | — | (5 | ) | — | — | (5 | ) | |||||||||||||||
Income from operations | 182 | 48 | 159 | 13 | 1 | 403 | |||||||||||||||||
Interest expense, net of interest income | 190 | ||||||||||||||||||||||
Loss on interest rate derivatives | 3 | ||||||||||||||||||||||
Debt extinguishment costs and other (income) expense, net | — | ||||||||||||||||||||||
Income before income taxes | $ | 210 |
Nine Months Ended September 30, 2012 | |||||||||||||||||||||||
West | Texas | North | Southeast | Consolidation and Elimination | Total | ||||||||||||||||||
Revenues from external customers | $ | 1,183 | $ | 1,430 | $ | 974 | $ | 524 | $ | — | $ | 4,111 | |||||||||||
Intersegment revenues | 7 | 27 | 9 | 84 | (127 | ) | — | ||||||||||||||||
Total operating revenues | $ | 1,190 | $ | 1,457 | $ | 983 | $ | 608 | $ | (127 | ) | $ | 4,111 | ||||||||||
Commodity Margin(1) | $ | 748 | $ | 472 | $ | 591 | $ | 212 | $ | — | $ | 2,023 | |||||||||||
Add: Mark-to-market commodity activity, net and other(2)(5) | (80 | ) | 66 | (17 | ) | (5 | ) | (22 | ) | (58 | ) | ||||||||||||
Less: | |||||||||||||||||||||||
Plant operating expense | 281 | 189 | 154 | 98 | (23 | ) | 699 | ||||||||||||||||
Depreciation and amortization expense | 151 | 104 | 100 | 66 | (3 | ) | 418 | ||||||||||||||||
Sales, general and other administrative expense | 23 | 36 | 22 | 23 | — | 104 | |||||||||||||||||
Other operating expenses(4) | 30 | 4 | 21 | 2 | 1 | 58 | |||||||||||||||||
(Income) from unconsolidated investments in power plants | — | — | (21 | ) | — | — | (21 | ) | |||||||||||||||
Income from operations | 183 | 205 | 298 | 18 | 3 | 707 | |||||||||||||||||
Interest expense, net of interest income | 545 | ||||||||||||||||||||||
Loss on interest rate derivatives | 14 | ||||||||||||||||||||||
Debt extinguishment costs and other (income) expense, net | 26 | ||||||||||||||||||||||
Income before income taxes | $ | 122 |
Nine Months Ended September 30, 2011 | |||||||||||||||||||||||
West | Texas | North | Southeast | Consolidation and Elimination | Total | ||||||||||||||||||
Revenues from external customers | $ | 1,753 | $ | 1,939 | $ | 1,025 | $ | 624 | $ | — | $ | 5,341 | |||||||||||
Intersegment revenues | 7 | 13 | 5 | 116 | (141 | ) | — | ||||||||||||||||
Total operating revenues | $ | 1,760 | $ | 1,952 | $ | 1,030 | $ | 740 | $ | (141 | ) | $ | 5,341 | ||||||||||
Commodity Margin(1) | $ | 798 | $ | 357 | $ | 578 | $ | 188 | $ | — | $ | 1,921 | |||||||||||
Add: Mark-to-market commodity activity, net and other(2)(5) | 36 | (54 | ) | (12 | ) | (4 | ) | (23 | ) | (57 | ) | ||||||||||||
Less: | |||||||||||||||||||||||
Plant operating expense | 297 | 193 | 136 | 107 | (22 | ) | 711 | ||||||||||||||||
Depreciation and amortization expense | 140 | 99 | 102 | 67 | (3 | ) | 405 | ||||||||||||||||
Sales, general and other administrative expense | 29 | 33 | 19 | 18 | — | 99 | |||||||||||||||||
Other operating expenses(4) | 30 | 2 | 23 | 3 | (1 | ) | 57 | ||||||||||||||||
(Income) from unconsolidated investments in power plants | — | — | (12 | ) | — | — | (12 | ) | |||||||||||||||
Income (loss) from operations | 338 | (24 | ) | 298 | (11 | ) | 3 | 604 | |||||||||||||||
Interest expense, net of interest income | 568 | ||||||||||||||||||||||
Loss on interest rate derivatives | 149 | ||||||||||||||||||||||
Debt extinguishment costs and other (income) expense, net | 108 | ||||||||||||||||||||||
Loss before income taxes | $ | (221 | ) |
(1) | Our North segment includes Commodity Margin related to Riverside Energy Center, LLC of $32 million and $31 million for the three months ended September 30, 2012 and 2011, respectively, and $64 million and $62 million for the nine months ended September 30, 2012 and 2011, respectively. |
(2) | Mark-to-market commodity activity represents the change in 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. |
(3) | Includes $16 million and $11 million of lease levelization for the three months ended September 30, 2012 and 2011, respectively, and $4 million of amortization expense for each of the three months ended September 30, 2012 and 2011. |
(4) | Excludes $4 million and $3 million of RGGI compliance and other environmental costs for the three months ended September 30, 2012 and 2011, respectively, and $9 million and $7 million for the nine months ended September 30, 2012 and 2011, respectively, which are components of Commodity Margin. |
(5) | Includes $7 million and $15 million of lease levelization and $11 million and $5 million of amortization expense for the nine months ended September 30, 2012 and 2011, respectively. |
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