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Fair Value Measurements
 6 Months Ended
Jun. 30, 2024
Fair Value Disclosures [Abstract]  
Fair Value Measurements FAIR VALUE MEASUREMENTS
Fair value is the exchange price to sell an asset or transfer a liability in an orderly transaction between market participants at the measurement date. The fair value definition focuses on an exit price versus the acquisition cost. Fair value measurements use market data or assumptions market participants would use in pricing the asset or liability, including assumptions about risk and the risks inherent in the inputs to the valuation technique. These inputs may be readily observable, corroborated by market data or generally unobservable. Valuation techniques maximize the use of observable inputs and minimize the use of unobservable inputs. A midmarket pricing convention (the midpoint price between bid and ask prices) is permitted for use as a practical expedient.
Fair value measurements are classified in three levels based on the fair value hierarchy as defined by GAAP. Certain investments are not categorized within the fair value hierarchy. These investments are measured at fair value using the net asset value per share practical expedient. The net asset value is derived based on the investment cost, less any impairment, plus or minus changes resulting from observable price changes for an identical or similar investment of the same issuer.
Fair value accounting guidance permits entities to elect to measure certain financial instruments that are not required to be accounted for at fair value, such as equity method investments or the Company’s own debt, at fair value. The Duke Energy Registrants have not elected to record any of these items at fair value.
Valuation methods of the primary fair value measurements disclosed below are as follows.
Investments in equity securities
The majority of investments in equity securities are valued using Level 1 measurements. Investments in equity securities are typically valued at the closing price in the principal active market as of the last business day of the quarter. Principal active markets for equity prices include published exchanges such as the New York Stock Exchange and Nasdaq Stock Market. Foreign equity prices are translated from their trading currency using the currency exchange rate in effect at the close of the principal active market. There was no after-hours market activity that was required to be reflected in the reported fair value measurements.
Investments in debt securities
Most investments in debt securities are valued using Level 2 measurements because the valuations use interest rate curves and credit spreads applied to the terms of the debt instrument (maturity and coupon interest rate) and consider the counterparty credit rating. If the market for a particular fixed-income security is relatively inactive or illiquid, the measurement is Level 3.
Commodity derivatives
Commodity derivatives with clearinghouses are classified as Level 1. Commodity derivatives with observable forward curves are classified as Level 2. If forward price curves are not observable for the full term of the contract and the unobservable period had more than an insignificant impact on the valuation, the commodity derivative is classified as Level 3. In isolation, increases (decreases) in natural gas forward prices result in favorable (unfavorable) fair value adjustments for natural gas purchase contracts; and increases (decreases) in electricity forward prices result in unfavorable (favorable) fair value adjustments for electricity sales contracts. Duke Energy regularly evaluates and validates pricing inputs used to estimate the fair value of certain commodity contracts by a market participant price verification procedure. This procedure provides a comparison of internal forward commodity curves to market participant generated curves.
Interest rate derivatives
Most over-the-counter interest rate contract derivatives are valued using financial models that utilize observable inputs for similar instruments and are classified as Level 2. Inputs include forward interest rate curves, notional amounts, interest rates and credit quality of the counterparties.
Foreign currency derivatives
Most over-the-counter foreign currency derivatives are valued using financial models that utilize observable inputs for similar instruments and are classified as Level 2. Inputs include forward foreign currency rate curves, notional amounts, foreign currency rates and credit quality of the counterparties.
Other fair value considerations
See Note 12 in Duke Energy's Annual Report on Form 10-K for the year ended December 31, 2023, for a discussion of the valuation of goodwill and intangible assets.
DUKE ENERGY
The following tables provide recorded balances for assets and liabilities measured at fair value on a recurring basis on the Condensed Consolidated Balance Sheets. Derivative amounts in the tables below for all Duke Energy Registrants exclude cash collateral, which is disclosed in Note 10. See Note 11 for additional information related to investments by major security type for the Duke Energy Registrants.
June 30, 2024
(in millions)Total Fair ValueLevel 1Level 2Level 3Not Categorized
NDTF cash and cash equivalents$151 $151 $— $— $— 
NDTF equity securities7,859 7,827 — — 32 
NDTF debt securities2,933 917 2,016 — — 
Other equity securities177 177 — — — 
Other debt securities269 47 222 — — 
Other cash and cash equivalents124 124 — — — 
Derivative assets247 3 209 35 — 
Total assets11,760 9,246 2,447 35 32 
Derivative liabilities(473)(39)(434)— — 
Net assets$11,287 $9,207 $2,013 $35 $32 
December 31, 2023
(in millions)Total Fair ValueLevel 1Level 2Level 3Not Categorized
NDTF cash and cash equivalents$133 $133 $— $— $— 
NDTF equity securities7,278 7,241 — — 37 
NDTF debt securities2,732 829 1,903 — — 
Other equity securities158 158 — — — 
Other debt securities271 55 216 — — 
Other cash and cash equivalents31 31 — — — 
Derivative assets189 37 137 15 — 
Total assets10,792 8,484 2,256 15 37 
Derivative liabilities(729)(60)(669)— — 
Net assets$10,063 $8,424 $1,587 $15 $37 
The following table provides reconciliations of beginning and ending balances of assets and liabilities measured at fair value using Level 3 measurements.
Derivatives (net)
Three Months Ended June 30,Six Months Ended June 30,
(in millions) 2024202320242023
Balance at beginning of period$6 $12 $15 $34 
Purchases, sales, issuances and settlements:
Purchases29 47 29 47 
Settlements(10)(38)(23)(58)
Total gains included on the Condensed Consolidated Balance Sheet
10 20 14 18 
Balance at end of period$35 $41 $35 $41 
DUKE ENERGY CAROLINAS
The following tables provide recorded balances for assets and liabilities measured at fair value on a recurring basis on the Condensed Consolidated Balance Sheets.
June 30, 2024
(in millions)Total Fair ValueLevel 1Level 2Not Categorized
NDTF cash and cash equivalents$57 $57 $— $— 
NDTF equity securities4,527 4,495 — 32 
NDTF debt securities1,584 455 1,129 — 
Derivative assets46 — 46 — 
Total assets6,214 5,007 1,175 32 
Derivative liabilities(161)— (161)— 
Net assets$6,053 $5,007 $1,014 $32 
December 31, 2023
(in millions)Total Fair ValueLevel 1Level 2Not Categorized
NDTF cash and cash equivalents$51 $51 $— $— 
NDTF equity securities4,196 4,159 — 37 
NDTF debt securities1,438 375 1,063 — 
Derivative assets35 — 35 — 
Total assets5,720 4,585 1,098 37 
Derivative liabilities(260)— (260)— 
Net assets$5,460 $4,585 $838 $37 
PROGRESS ENERGY
The following table provides recorded balances for assets and liabilities measured at fair value on a recurring basis on the Condensed Consolidated Balance Sheets.
June 30, 2024December 31, 2023
(in millions)Total Fair ValueLevel 1Level 2Total Fair ValueLevel 1Level 2
NDTF cash and cash equivalents$94 $94 $— $82 $82 $— 
NDTF equity securities3,332 3,332 — 3,082 3,082 — 
NDTF debt securities1,349 462 887 1,294 454 840 
Other debt securities23 — 23 23 — 23 
Other cash and cash equivalents25 25 — 18 18 — 
Derivative assets64 — 64 34 — 34 
Total assets4,887 3,913 974 4,533 3,636 897 
Derivative liabilities(119)— (119)(234)— (234)
Net assets$4,768 $3,913 $855 $4,299 $3,636 $663 
DUKE ENERGY PROGRESS
The following table provides recorded balances for assets and liabilities measured at fair value on a recurring basis on the Condensed Consolidated Balance Sheets.
June 30, 2024December 31, 2023
(in millions)Total Fair ValueLevel 1Level 2Total Fair ValueLevel 1Level 2
NDTF cash and cash equivalents$77 $77 $— $55 $55 $— 
NDTF equity securities3,205 3,205 — 2,970 2,970 — 
NDTF debt securities1,143 305 838 1,050 266 784 
Other cash and cash equivalents18 18 — 14 14 — 
Derivative assets63 — 63 32 — 32 
Total assets4,506 3,605 901 4,121 3,305 816 
Derivative liabilities(118)— (118)(219)— (219)
Net assets$4,388 $3,605 $783 $3,902 $3,305 $597 
DUKE ENERGY FLORIDA
The following table provides recorded balances for assets and liabilities measured at fair value on a recurring basis on the Condensed Consolidated Balance Sheets.
June 30, 2024December 31, 2023
(in millions)Total Fair ValueLevel 1Level 2Total Fair ValueLevel 1Level 2
NDTF cash and cash equivalents$17 $17 $— $27 $27 $— 
NDTF equity securities127 127 — 112 112 — 
NDTF debt securities206 157 49 244 188 56 
Other debt securities23 — 23 23 — 23 
Other cash and cash equivalents3 3 — 3 3 — 
Derivative assets1 — 1 2 — 2 
Total assets377 304 73 411 330 81 
Derivative liabilities(2)— (2)(15)— (15)
Net assets$375 $304 $71 $396 $330 $66 
DUKE ENERGY OHIO
The recorded balances for assets and liabilities measured at fair value on a recurring basis on the Condensed Consolidated Balance Sheets were not material at June 30, 2024, and December 31, 2023.
DUKE ENERGY INDIANA
The following table provides recorded balances for assets and liabilities measured at fair value on a recurring basis on the Condensed Consolidated Balance Sheets.
June 30, 2024December 31, 2023
(in millions)Total Fair ValueLevel 1Level 2Level 3Total Fair ValueLevel 1Level 2Level 3
Other equity securities$110 $110 $— $— $98 $98 $— $— 
Other debt securities62 — 62 — 64 — 64 — 
Other cash and cash equivalents2 2 — — 1 1 — — 
Derivative assets58 3 22 33 25 5 7 13 
Total assets232 115 84 33 188 104 71 13 
Derivative liabilities(8)(8)— — (18)(18)— — 
Net assets$224 $107 $84 $33 $170 $86 $71 $13 
The following table provides a reconciliation of beginning and ending balances of assets and liabilities measured at fair value using Level 3 measurements.
Derivatives (net)
Three Months Ended June 30,Six Months Ended June 30,
(in millions)2024202320242023
Balance at beginning of period$5 $11 $13 $29 
Purchases, sales, issuances and settlements:
Purchases27 42 27 42 
Settlements(9)(37)(20)(56)
Total gains included on the Condensed Consolidated Balance Sheet
10 21 13 22 
Balance at end of period$33 $37 $33 $37 
PIEDMONT
The following table provides recorded balances for assets and liabilities measured at fair value on a recurring basis on the Condensed Consolidated Balance Sheets.
June 30, 2024December 31, 2023
(in millions)Total Fair ValueLevel 1Level 2Total Fair ValueLevel 1Level 2
Derivative assets$1 $1 $— $1 $1 $— 
Derivative liabilities(132)— (132)(147)— (147)
Net (liabilities) assets$(131)$1 $(132)$(146)$1 $(147)
QUANTITATIVE INFORMATION ABOUT UNOBSERVABLE INPUTS
The following tables include quantitative information about the Duke Energy Registrants' derivatives classified as Level 3.
June 30, 2024
Weighted
Fair ValueAverage
Investment Type(in millions)Valuation TechniqueUnobservable InputRangeRange
Duke Energy Ohio 
FTRs$2 RTO auction pricingFTR price – per MWh$0.22 -$1.78 $0.52 
Duke Energy Indiana 
FTRs33 RTO auction pricingFTR price – per MWh(0.31)-14.00 1.82 
Duke Energy
Total Level 3 derivatives$35 
December 31, 2023
Weighted
Fair ValueAverage
Investment Type(in millions)Valuation TechniqueUnobservable InputRangeRange
Duke Energy Ohio   
FTRs$2 RTO auction pricingFTR price – per MWh$0.36 -$2.11 $0.71 
Duke Energy Indiana   
FTRs13 RTO auction pricingFTR price – per MWh(1.05)-9.64 1.26 
Duke Energy
Total Level 3 derivatives$15 
OTHER FAIR VALUE DISCLOSURES
The fair value and book value of long-term debt, including current maturities, is summarized in the following table. Estimates determined are not necessarily indicative of amounts that could have been settled in current markets. Fair value of long-term debt uses Level 2 measurements.
June 30, 2024December 31, 2023
(in millions)Book ValueFair ValueBook ValueFair Value
Duke Energy(a)
$78,779 $70,796 $75,252 $69,790 
Duke Energy Carolinas17,026 15,409 16,012 15,077 
Progress Energy24,259 22,144 23,759 22,553 
Duke Energy Progress12,343 10,785 11,714 10,595 
Duke Energy Florida10,273 9,594 10,401 10,123 
Duke Energy Ohio4,163 3,829 3,518 3,310 
Duke Energy Indiana4,800 4,317 4,502 4,230 
Piedmont3,669 3,221 3,668 3,336 
(a)Book value of long-term debt includes $1.1 billion and $1.0 billion at June 30, 2024, and December 31, 2023, respectively, of net unamortized debt discount and premium of purchase accounting adjustments related to the mergers with Progress Energy and Piedmont that are excluded from fair value of long-term debt.
At both June 30, 2024, and December 31, 2023, fair value of cash and cash equivalents, accounts and notes receivable, accounts payable, notes payable and commercial paper and nonrecourse notes payable of VIEs are not materially different from their carrying amounts because of the short-term nature of these instruments and/or because the stated rates approximate market rates.