Energy Transfer 2015 Annual Report Download - page 186

Table of Contents
Fair Value Total
Fair Value Measurements at December 31, 2014
Level 1
Level 2
Level 3
Assets:
Interest rate derivatives $ 3
$ —
$ 3
$ —
Commodity derivatives:
Condensate – Forward Swaps 36
—
36
—
Natural Gas:
Basis Swaps IFERC/NYMEX 19
19
—
—
Swing Swaps IFERC 26
1
25
—
Fixed Swaps/Futures 566
541
25
—
Forward Physical Swaps 1
—
1
—
Power:
Forwards 3
—
3
—
Futures 4
4
—
—
Natural Gas Liquids – Forwards/Swaps 69
46
23
—
Refined Products – Futures 21
21
—
—
Total commodity derivatives 745
632
113
—
Total assets $ 748
$ 632
$ 116
$ —
Liabilities:
Interest rate derivatives $ (155)
$ —
$ (155)
$ —
Embedded derivatives in the ETP Preferred Units (16)
—
—
(16)
Commodity derivatives:
Natural Gas:
Basis Swaps IFERC/NYMEX (18)
(18)
—
—
Swing Swaps IFERC (25)
(2)
(23)
—
Fixed Swaps/Futures (490)
(490)
—
—
Power:
Forwards (4)
—
(4)
—
Futures (2)
(2)
—
—
Natural Gas Liquids – Forwards/Swaps (32)
(32)
—
—
Refined Products – Futures (7)
(7)
—
—
Total commodity derivatives (578)
(551)
(27)
—
Total liabilities $ (749)
$ (551)
$ (182)
$ (16)
The following table presents the material unobservable inputs used to estimate the fair value of ETP’s Preferred Units and the embedded derivatives in
ETP’s Preferred Units:
Unobservable Input
December 31, 2015
Embedded derivatives in the ETP Preferred Units Credit Spread
5.33%
Volatility
37.0%
Changes in the remaining term of the Preferred Units, U.S. Treasury yields and valuations in related instruments would cause a change in the yield to
value the Preferred Units. Changes in ETP’s cost of equity and U.S. Treasury yields would cause a change in the credit spread used to value the
embedded derivatives in the ETP Preferred Units. Changes in ETP’s historical unit price volatility would cause a change in the volatility used to value
the embedded derivatives.
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