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Risk Management Activities and Derivative Transactions

6 Months Ended

Jun. 30, 2012

Risk Management Activities And Derivative Transactions Disclosure [Line Items]

Risk Management Activities And Derivative Transactions

11. RISK MANAGEMENT ACTIVITIES AND DERIVATIVE TRANSACTIONS

We are exposed to various risks related to changes in market conditions. We had a risk management committee that included senior executives from various business groups. The risk management committee was responsible for administering risk management policies and monitoring compliance with those policies by all subsidiaries. Following the consummation of the merger with Duke Energy, the risk management committee was replaced with Duke Energy's Transaction and Risk Committee, which will be responsible for the oversight of risk at the combined company. The Transaction and Risk Committee will include senior executives from various functional areas. Following the consummation of the merger, PEC and PEF will continue to operate under their existing risk guidelines. Under our risk guidelines, we may use a variety of instruments, including swaps, options and forward contracts, to manage exposure to fluctuations in commodity prices and interest rates. Such instruments contain credit risk if the counterparty fails to perform under the contract. We minimize such risk by performing credit and financial reviews using a combination of financial analysis and publicly available credit ratings of such counterparties. Potential nonperformance by counterparties is not expected to have a material effect on our financial position or results of operations.

A. COMMODITY DERIVATIVES

GENERAL

Most of our physical commodity contracts are not derivatives or qualify as normal purchases or sales. Therefore, such contracts are not recorded at fair value. Effective with the consummation of the merger with Duke Energy on July 2, 2012, Progress Energy entered into certain derivative power sales agreements with three counterparties in conjunction with the Interim FERC Mitigation Plan. See Note 2 for additional information regarding future charges related to the merger, including the Interim FERC Mitigation Plan.

ECONOMIC DERIVATIVES

Derivative products, primarily natural gas and oil contracts, may be entered into from time to time for economic hedging purposes. While management believes the economic hedges mitigate exposures to fluctuations in commodity prices, these instruments are not designated as hedges for accounting purposes and are monitored consistent with trading positions.

The Utilities have financial derivative instruments with settlement dates through 2015 related to their exposure to price fluctuations on fuel oil and natural gas purchases. The majority of our financial hedge agreements will settle in 2012 and 2013. Substantially all of these instruments receive regulatory accounting treatment. Related unrealized gains and losses are recorded in regulatory liabilities and regulatory assets, respectively, on the Balance Sheets until the contracts are settled. After settlement of the derivatives and the fuel is consumed, any realized gains or losses are passed through the fuel cost-recovery clause.

Certain hedge agreements may result in the receipt of, or posting of, derivative collateral with our counterparties, depending on the daily derivative position. Fluctuations in commodity prices that lead to our return of collateral received and/or our posting of collateral with our counterparties negatively impact our liquidity. We manage open positions with strict policies that limit our exposure to market risk and require daily reporting to management of potential financial exposures.

Certain counterparties have posted or held cash collateral in support of these instruments. Progress Energy had a cash collateral asset included in derivative collateral posted on the Progress Energy Consolidated Balance Sheets of $124 million and $147 million at June 30, 2012 and December 31, 2011, respectively. At June 30, 2012, Progress Energy had 394.6 million MMBtu notional of natural gas and 8.1 million gallons notional of fuel oil related to outstanding commodity derivative swaps that were entered into to hedge forecasted natural gas and oil purchases.

PEC's cash collateral asset included in derivative collateral posted on the PEC Consolidated Balance Sheets of $21 million and $24 million at June 30, 2012 and December 31, 2011, respectively. At June 30, 2012, PEC had 119.7 million MMBtu notional of natural gas related to outstanding commodity derivative swaps that were entered into to hedge forecasted natural gas purchases.

PEF's cash collateral asset included in derivative collateral posted on the PEF Balance Sheets was $103 million and $123 million at June 30, 2012 and December 31, 2011, respectively. At June 30, 2012, PEF had 274.9 million MMBtu notional of natural gas and 8.1 million gallons notional of oil related to outstanding commodity derivative swaps that were entered into to hedge forecasted natural gas and oil purchases.

B. INTEREST RATE DERIVATIVES

We use cash flow hedging strategies to reduce exposure to changes in cash flow due to fluctuating interest rates, primarily through the use of forward starting swaps. The notional amounts of interest rate derivatives are not exchanged and do not represent exposure to credit loss. In the event of default by the counterparty, the exposure in these transactions is the cost of replacing the agreements at current market rates.

At June 30, 2012, all open interest rate hedges will reach their mandatory termination dates within one and a half years. At June 30, 2012, including amounts related to terminated hedges, we had $142 million of after-tax losses, including $72 million and $25 million of after-tax losses at PEC and PEF, respectively, recorded in accumulated other comprehensive income (OCI) related to forward starting swaps. It is expected that in the next twelve months losses of $14 million, net of tax, primarily related to terminated hedges, will be reclassified to interest expense at Progress Energy, including $7 million and $2 million at PEC and PEF, respectively. The actual amounts that will be reclassified to earnings may vary from the expected amounts as a result of changes in interest rates, changes in the timing of debt issuances at the Utilities and changes in market value of currently open forward starting swaps.

At December 31, 2011, including amounts related to terminated hedges, we had $141 million of after-tax losses, including $71 million and $25 million of after-tax losses at PEC and PEF, respectively, recorded in accumulated OCI related to forward starting swaps.

At June 30, 2012, we had $100 million notional of open forward starting swaps, including $50 million at PEC and $50 million at PEF. At December 31, 2011, we had $500 million notional of open forward starting swaps, including $250 million at PEC and $50 million at PEF.

C. CONTINGENT FEATURES

Certain of our commodity derivative instruments contain provisions defining fair value thresholds requiring the posting of collateral for hedges in a liability position greater than such threshold amounts. The thresholds are tiered and based on the individual company's credit rating with Moody's Investors Service, Inc. (Moody's), Standard & Poor's Rating Services (S&P) and/or Fitch Ratings (Fitch). Higher credit ratings have a higher threshold requiring a lower amount of the outstanding liability position to be covered by posted collateral. Conversely, lower credit ratings require a higher amount of the outstanding liability position to be covered by posted collateral. If our credit ratings were to be downgraded, we may have to post additional collateral on certain hedges in liability positions.

In addition, certain of our commodity derivative instruments contain provisions that require our debt to maintain an investment grade credit rating from Moody's, S&P and/or Fitch. If our debt were to fall below investment grade, we would be in violation of these provisions, and the counterparties to the commodity derivative instruments could request immediate payment or demand immediate and ongoing full overnight collateralization on commodity derivative instruments in net liability positions.

The aggregate fair value of all commodity derivative instruments at Progress Energy with credit risk-related contingent features that are in a net liability position was $371 million at June 30, 2012, for which Progress Energy has posted collateral of $124 million in the normal course of business. If the credit risk-related contingent features underlying these agreements were triggered at June 30, 2012, Progress Energy would have been required to post an additional $247 million of collateral with its counterparties.

The aggregate fair value of all commodity derivative instruments at PEC with credit risk-related contingent features that are in a liability position was $122 million at June 30, 2012, for which PEC has posted collateral of $21 million in the normal course of business. If the credit risk-related contingent features underlying these agreements were triggered at June 30, 2012, PEC would have been required to post an additional $101 million of collateral with its counterparties.

The aggregate fair value of all commodity derivative instruments at PEF with credit risk-related contingent features that are in a net liability position was $249 million at June 30, 2012, for which PEF has posted collateral of $103 million in the normal course of business. If the credit risk-related contingent features underlying these agreements were triggered on June 30, 2012, PEF would have been required to post an additional $146 million of collateral with its counterparties.

D. DERIVATIVE INSTRUMENT AND HEDGING ACTIVITY INFORMATION

PROGRESS ENERGY

The following table presents the fair value of derivative instruments at June 30, 2012 and December 31, 2011:

Instrument / Balance sheet location				June 30, 2012				December 31, 2011
(in millions)				Asset	Liability			Asset	Liability
Derivatives designated as hedging instruments
Commodity cash flow derivatives
	Derivative liabilities, current				$	2			$	2
	Derivative liabilities, long-term					1				1
Interest rate derivatives
	Derivative liabilities, current					11				76
	Derivative liabilities, long-term					11				17
		Total derivatives designated as hedging instruments				25				96

Derivatives not designated as hedging instruments
Commodity derivatives^(a)
	Prepayments and other current assets		$	3			$	5
	Other assets and deferred debits			5				0
	Derivative liabilities, current					312				357
	Derivative liabilities, long-term					287				332
CVOs^(b)
	Other current liabilities					0				14
	Other liabilities and deferred credits					3				0
		Fair value of derivatives not designated as hedging instruments		8		602		5		703
Fair value loss transition adjustment
	Derivative liabilities, current					1				1
	Derivative liabilities, long-term					1				2
		Total derivatives not designated as hedging instruments		8		604		5		706
		Total derivatives	$	8	$	629	$	5	$	802

^(a)	Substantially all of these contracts receive regulatory treatment.
^(b)	As discussed in Note 16 in the 2011 Form 10-K, the Parent issued 98.6 million CVOs in connection with the acquisition of Florida Progress during 2000. Through a negotiated settlement agreement and subsequent tender offer between October 2011 and February 2012, we repurchased and continue to hold 83.4 million CVOs.

The following tables present the effect of derivative instruments on the Consolidated Statements of Comprehensive Income for the three months ended June 30, 2012 and 2011:

Derivatives Designated as Hedging Instruments
Instrument		Amount of Gain or (Loss) Recognized in OCI, Net of Tax on Derivatives^(a)				Amount of Gain or (Loss), Net of Tax Reclassified from Accumulated OCI into Income^(a)				Amount of Pre-tax Gain or (Loss) Recognized in Income on Derivatives^(b)
(in millions)			2012		2011		2012		2011		2012		2011
Interest rate derivatives^{(c) (d)}		$	(8)	$	(16)	$	(3)	$	(2)	$	-	$	-

^(a)	Effective portion.
^(b)	Related to ineffective portion and amount excluded from effectiveness testing.
^(c)	Amounts in accumulated OCI related to terminated hedges are reclassified to earnings as the interest expense is recorded. The effective portion of the hedges will be amortized to interest expense over the term of the related debt.
^(d)	Amounts recorded in the Consolidated Statements of Comprehensive Income are classified in interest charges.

Derivatives Not Designated as Hedging Instruments
Instrument		Realized Gain or (Loss)^(a)				Unrealized Gain or (Loss)^(b)
(in millions)			2012		2011		2012		2011
Commodity derivatives		$	(155)	$	(76)	$	38	$	(68)

^(a)	After settlement of the derivatives and the fuel is consumed, gains or losses are passed through the fuel cost-recovery clause.
^(b)	Amounts are recorded in regulatory liabilities and assets, respectively, on the Consolidated Balance Sheets until derivatives are settled.

Instrument		Amount of Gain or (Loss) Recognized in Income on Derivatives
(in millions)			2012		2011
Commodity derivatives^(a)		$	2	$	1
Fair value loss transition adjustment^(a)			1		0
CVOs^(a)			0		4
	Total	$	3	$	5

^(a)	Amounts recorded in the Consolidated Statements of Comprehensive Income are classified in other, net.

The following tables present the effect of derivative instruments on the Consolidated Statements of Comprehensive Income for the six months ended June 30, 2012 and 2011:

Derivatives Designated as Hedging Instruments
Instrument		Amount of Gain or (Loss) Recognized in OCI, Net of Tax on Derivatives^(a)				Amount of Gain or (Loss), Net of Tax Reclassified from Accumulated OCI into Income^(a)				Amount of Pre-tax Gain or (Loss) Recognized in Income on Derivatives^(b)
(in millions)			2012		2011		2012		2011		2012		2011
Interest rate derivatives^{(c) (d)}		$	(6)	$	(14)	$	(6)	$	(3)	$	0	$	(2)

^(a)	Effective portion.
^(b)	Related to ineffective portion and amount excluded from effectiveness testing.
^(c)	Amounts in accumulated OCI related to terminated hedges are reclassified to earnings as the interest expense is recorded. The effective portion of the hedges will be amortized to interest expense over the term of the related debt.
^(d)	Amounts recorded in the Consolidated Statements of Comprehensive Income are classified in interest charges.

Derivatives Not Designated as Hedging Instruments
Instrument		Realized Gain or (Loss)^(a)				Unrealized Gain or (Loss)^(b)
(in millions)			2012		2011		2012		2011
Commodity derivatives		$	(260)	$	(128)	$	(168)	$	(44)

^(a)	After settlement of the derivatives and the fuel is consumed, gains or losses are passed through the fuel cost-recovery clause.
^(b)	Amounts are recorded in regulatory liabilities and assets, respectively, on the Consolidated Balance Sheets until derivatives are settled.

Instrument		Amount of Gain or (Loss) Recognized in Income on Derivatives
(in millions)			2012		2011
Commodity derivatives^(a)		$	2	$	1
Fair value loss transition adjustment^(a)			1		0
CVOs^(a)			8		4
	Total	$	11	$	5

^(a)	Amounts recorded in the Consolidated Statements of Comprehensive Income are classified in other, net.

PEC

The following table presents the fair value of derivative instruments at June 30, 2012 and December 31, 2011:

Instrument / Balance sheet location			June 30, 2012				December 31, 2011
(in millions)				Asset	Liability			Asset	Liability
Derivatives designated as hedging instruments
Interest rate derivatives
	Derivative liabilities, current				$	0			$	38
	Other liabilities and deferred credits					11				9
		Total derivatives designated as hedging instruments				11				47

Derivatives not designated as hedging instruments
Commodity derivatives^(a)
	Prepayments and other current assets		$	1			$	0
	Other assets and deferred debits			1				0
	Derivative liabilities, current					88				91
	Other liabilities and deferred credits					98				110
		Fair value of derivatives not designated as hedging instruments		2		186		0		201
Fair value loss transition adjustment
	Derivative liabilities, current					1				1
	Other liabilities and deferred credits					1				2
		Total derivatives not designated as hedging instruments		2		188		0		204
		Total derivatives	$	2	$	199	$	0	$	251

^(a)	Substantially all of these contracts receive regulatory treatment.

The following tables present the effect of derivative instruments on the Consolidated Statements of Comprehensive Income for the three months ended June 30, 2012 and 2011:

Derivatives Designated as Hedging Instruments
Instrument		Amount of Gain or (Loss) Recognized in OCI, Net of Tax on Derivatives^(a)				Amount of Gain or (Loss), Net of Tax Reclassified from Accumulated OCI into Income^(a)				Amount of Pre-tax Gain or (Loss) Recognized in Income on Derivatives^(b)
(in millions)			2012		2011		2012		2011		2012		2011
Interest rate derivatives^{(c) (d)}		$	(7)	$	(6)	$	(1)	$	(1)	$	-	$	-

^(a)	Effective portion.
^(b)	Related to ineffective portion and amount excluded from effectiveness testing.
^(c)	Amounts in accumulated OCI related to terminated hedges are reclassified to earnings as the interest expense is recorded. The effective portion of the hedges will be amortized to interest expense over the term of the related debt.
^(d)	Amounts recorded in the Consolidated Statements of Comprehensive Income are classified in interest charges.

Derivatives Not Designated as Hedging Instruments
Instrument		Realized Gain or (Loss)^(a)				Unrealized Gain or (Loss)^(b)
(in millions)			2012		2011		2012		2011
Commodity derivatives		$	(39)	$	(12)	$	10	$	(19)

^(a)	After settlement of the derivatives and the fuel is consumed, gains or losses are passed through the fuel cost-recovery clause.
^(b)	Amounts are recorded in regulatory liabilities and assets, respectively, on the Consolidated Balance Sheets until derivatives are settled.

Instrument						Amount of Gain or (Loss) Recognized in Income on Derivatives
(in millions)							2012		2011
Commodity derivatives^(a)						$	2	$	1
Fair value loss transition adjustment^(a)							1		0
	Total					$	3	$	1

^(a)	Amounts recorded in the Consolidated Statements of Comprehensive Income are classified in other, net.

The following tables present the effect of derivative instruments on the Consolidated Statements of Comprehensive Income for the six months ended June 30, 2012 and 2011:

Derivatives Designated as Hedging Instruments
Instrument			Amount of Gain or (Loss) Recognized in OCI, Net of Tax on Derivatives^(a)				Amount of Gain or (Loss), Net of Tax Reclassified from Accumulated OCI into Income^(a)				Amount of Pre-tax Gain or (Loss) Recognized in Income on Derivatives^(b)
(in millions)			2012		2011		2012		2011		2012		2011
Interest rate derivatives^{(c) (d)}		$	(4)	$	(5)	$	(3)	$	(2)	$	-	$	-

^(a)	Effective portion.
^(b)	Related to ineffective portion and amount excluded from effectiveness testing.
^(c)	Amounts in accumulated OCI related to terminated hedges are reclassified to earnings as the interest expense is recorded. The effective portion of the hedges will be amortized to interest expense over the term of the related debt.
^(d)	Amounts recorded in the Consolidated Statements of Comprehensive Income are classified in interest charges.

Derivatives Not Designated as Hedging Instruments
Instrument		Realized Gain or (Loss)^(a)				Unrealized Gain or (Loss)^(b)
(in millions)			2012		2011		2012		2011
Commodity derivatives		$	(65)	$	(22)	$	(49)	$	(13)

^(a)	After settlement of the derivatives and the fuel is consumed, gains or losses are passed through the fuel cost-recovery clause.
^(b)	Amounts are recorded in regulatory liabilities and assets, respectively, on the Consolidated Balance Sheets until derivatives are settled.

Instrument						Amount of Gain or (Loss) Recognized in Income on Derivatives
(in millions)							2012		2011
Commodity derivatives^(a)						$	2	$	1
Fair value loss transition adjustment^(a)							1		0
	Total					$	3	$	1

^(a)	Amounts recorded in the Consolidated Statements of Comprehensive Income are classified in other, net.

PEF

The following table presents the fair value of derivative instruments at June 30, 2012 and December 31, 2011:

Instrument / Balance sheet location			June 30, 2012				December 31, 2011
(in millions)				Asset	Liability			Asset	Liability
Derivatives designated as hedging instruments
Commodity cash flow derivatives
	Derivative liabilities, current				$	2			$	2
	Derivative liabilities, long-term					1				1
Interest rate derivatives
	Derivative liabilities, current					11				0
	Derivative liabilities, long-term					0				8
		Total derivatives designated as hedging instruments				14				11

Derivatives not designated as hedging instruments
Commodity derivatives^(a)
	Prepayments and other current assets		$	2			$	5
	Other assets and deferred debits			4				0
	Derivative liabilities, current					224				266
	Derivative liabilities, long-term					189				222
		Total derivatives not designated as hedging instruments		6		413		5		488
		Total derivatives	$	6	$	427	$	5	$	499

^(a)	Substantially all of these contracts receive regulatory treatment.

The following tables present the effect of derivative instruments on the Statements of Comprehensive Income for the three months ended June 30, 2012 and 2011:

Derivatives Designated as Hedging Instruments
Instrument		Amount of Gain or (Loss) Recognized in OCI, Net of Tax on Derivatives^(a)				Amount of Gain or (Loss), Net of Tax Reclassified from Accumulated OCI into Income^(a)				Amount of Pre-tax Gain or (Loss) Recognized in Income on Derivatives^(b)
(in millions)			2012		2011		2012		2011		2012		2011
Interest rate derivatives^{(c) (d)}		$	(1)	$	(5)	$	-	$	-	$	-	$	-

^(a)	Effective portion.
^(b)	Related to ineffective portion and amount excluded from effectiveness testing.
^(c)	Amounts in accumulated OCI related to terminated hedges are reclassified to earnings as the interest expense is recorded. The effective portion of the hedges will be amortized to interest expense over the term of the related debt.
^(d)	Amounts recorded in the Statements of Comprehensive Income are classified in interest charges.

Derivatives Not Designated as Hedging Instruments
Instrument		Realized Gain or (Loss)^(a)				Unrealized Gain or (Loss)^(b)
(in millions)			2012		2011		2012		2011
Commodity derivatives		$	(116)	$	(64)	$	28	$	(49)

^(a)	After settlement of the derivatives and the fuel is consumed, gains or losses are passed through the fuel cost-recovery clause.
^(b)	Amounts are recorded in regulatory liabilities and assets, respectively, on the Balance Sheets until derivatives are settled.

The following tables present the effect of derivative instruments on the Statements of Comprehensive Income for the six months ended June 30, 2012 and 2011:

Derivatives Designated as Hedging Instruments
Instrument		Amount of Gain or (Loss) Recognized in OCI, Net of Tax on Derivatives^(a)				Amount of Gain or (Loss), Net of Tax Reclassified from Accumulated OCI into Income^(a)				Amount of Pre-tax Gain or (Loss) Recognized in Income on Derivatives^(b)
(in millions)			2012		2011		2012		2011		2012		2011
Interest rate derivatives^{(c) (d)}		$	(1)	$	(5)	$	(1)	$	-	$	-	$	-

^(a)	Effective portion.
^(b)	Related to ineffective portion and amount excluded from effectiveness testing.
^(c)	Amounts in accumulated OCI related to terminated hedges are reclassified to earnings as the interest expense is recorded. The effective portion of the hedges will be amortized to interest expense over the term of the related debt.
^(d)	Amounts recorded in the Statements of Comprehensive Income are classified in interest charges.

Derivatives Not Designated as Hedging Instruments
Instrument		Realized Gain or (Loss)^(a)				Unrealized Gain or (Loss)^(b)
(in millions)			2012		2011		2012		2011
Commodity derivatives		$	(195)	$	(106)	$	(119)	$	(31)

^(a)	After settlement of the derivatives and the fuel is consumed, gains or losses are passed through the fuel cost-recovery clause.
^(b)	Amounts are recorded in regulatory liabilities and assets, respectively, on the Balance Sheets until derivatives are settled.

PEC

Risk Management Activities And Derivative Transactions Disclosure [Line Items]

Risk Management Activities And Derivative Transactions

11. RISK MANAGEMENT ACTIVITIES AND DERIVATIVE TRANSACTIONS

A. COMMODITY DERIVATIVES

GENERAL

ECONOMIC DERIVATIVES

B. INTEREST RATE DERIVATIVES

C. CONTINGENT FEATURES

D. DERIVATIVE INSTRUMENT AND HEDGING ACTIVITY INFORMATION

PEC

The following table presents the fair value of derivative instruments at June 30, 2012 and December 31, 2011:

Instrument / Balance sheet location			June 30, 2012				December 31, 2011
(in millions)				Asset	Liability			Asset	Liability
Derivatives designated as hedging instruments
Interest rate derivatives
	Derivative liabilities, current				$	0			$	38
	Other liabilities and deferred credits					11				9
		Total derivatives designated as hedging instruments				11				47

Derivatives not designated as hedging instruments
Commodity derivatives^(a)
	Prepayments and other current assets		$	1			$	0
	Other assets and deferred debits			1				0
	Derivative liabilities, current					88				91
	Other liabilities and deferred credits					98				110
		Fair value of derivatives not designated as hedging instruments		2		186		0		201
Fair value loss transition adjustment
	Derivative liabilities, current					1				1
	Other liabilities and deferred credits					1				2
		Total derivatives not designated as hedging instruments		2		188		0		204
		Total derivatives	$	2	$	199	$	0	$	251

^(a)	Substantially all of these contracts receive regulatory treatment.

The following tables present the effect of derivative instruments on the Consolidated Statements of Comprehensive Income for the three months ended June 30, 2012 and 2011:

Derivatives Designated as Hedging Instruments
Instrument		Amount of Gain or (Loss) Recognized in OCI, Net of Tax on Derivatives^(a)				Amount of Gain or (Loss), Net of Tax Reclassified from Accumulated OCI into Income^(a)				Amount of Pre-tax Gain or (Loss) Recognized in Income on Derivatives^(b)
(in millions)			2012		2011		2012		2011		2012		2011
Interest rate derivatives^{(c) (d)}		$	(7)	$	(6)	$	(1)	$	(1)	$	-	$	-

^(a)	Effective portion.
^(b)	Related to ineffective portion and amount excluded from effectiveness testing.
^(c)	Amounts in accumulated OCI related to terminated hedges are reclassified to earnings as the interest expense is recorded. The effective portion of the hedges will be amortized to interest expense over the term of the related debt.
^(d)	Amounts recorded in the Consolidated Statements of Comprehensive Income are classified in interest charges.

Derivatives Not Designated as Hedging Instruments
Instrument		Realized Gain or (Loss)^(a)				Unrealized Gain or (Loss)^(b)
(in millions)			2012		2011		2012		2011
Commodity derivatives		$	(39)	$	(12)	$	10	$	(19)

^(a)	After settlement of the derivatives and the fuel is consumed, gains or losses are passed through the fuel cost-recovery clause.
^(b)	Amounts are recorded in regulatory liabilities and assets, respectively, on the Consolidated Balance Sheets until derivatives are settled.

Instrument						Amount of Gain or (Loss) Recognized in Income on Derivatives
(in millions)							2012		2011
Commodity derivatives^(a)						$	2	$	1
Fair value loss transition adjustment^(a)							1		0
	Total					$	3	$	1

^(a)	Amounts recorded in the Consolidated Statements of Comprehensive Income are classified in other, net.

The following tables present the effect of derivative instruments on the Consolidated Statements of Comprehensive Income for the six months ended June 30, 2012 and 2011:

Derivatives Designated as Hedging Instruments
Instrument			Amount of Gain or (Loss) Recognized in OCI, Net of Tax on Derivatives^(a)				Amount of Gain or (Loss), Net of Tax Reclassified from Accumulated OCI into Income^(a)				Amount of Pre-tax Gain or (Loss) Recognized in Income on Derivatives^(b)
(in millions)			2012		2011		2012		2011		2012		2011
Interest rate derivatives^{(c) (d)}		$	(4)	$	(5)	$	(3)	$	(2)	$	-	$	-

^(a)	Effective portion.
^(b)	Related to ineffective portion and amount excluded from effectiveness testing.
^(c)	Amounts in accumulated OCI related to terminated hedges are reclassified to earnings as the interest expense is recorded. The effective portion of the hedges will be amortized to interest expense over the term of the related debt.
^(d)	Amounts recorded in the Consolidated Statements of Comprehensive Income are classified in interest charges.

Derivatives Not Designated as Hedging Instruments
Instrument		Realized Gain or (Loss)^(a)				Unrealized Gain or (Loss)^(b)
(in millions)			2012		2011		2012		2011
Commodity derivatives		$	(65)	$	(22)	$	(49)	$	(13)

^(a)	After settlement of the derivatives and the fuel is consumed, gains or losses are passed through the fuel cost-recovery clause.
^(b)	Amounts are recorded in regulatory liabilities and assets, respectively, on the Consolidated Balance Sheets until derivatives are settled.

Instrument						Amount of Gain or (Loss) Recognized in Income on Derivatives
(in millions)							2012		2011
Commodity derivatives^(a)						$	2	$	1
Fair value loss transition adjustment^(a)							1		0
	Total					$	3	$	1

^(a)	Amounts recorded in the Consolidated Statements of Comprehensive Income are classified in other, net.

PEF

Risk Management Activities And Derivative Transactions Disclosure [Line Items]

Risk Management Activities And Derivative Transactions

11. RISK MANAGEMENT ACTIVITIES AND DERIVATIVE TRANSACTIONS

A. COMMODITY DERIVATIVES

GENERAL

ECONOMIC DERIVATIVES

B. INTEREST RATE DERIVATIVES

C. CONTINGENT FEATURES

D. DERIVATIVE INSTRUMENT AND HEDGING ACTIVITY INFORMATION

PEF

The following table presents the fair value of derivative instruments at June 30, 2012 and December 31, 2011:

Instrument / Balance sheet location			June 30, 2012				December 31, 2011
(in millions)				Asset	Liability			Asset	Liability
Derivatives designated as hedging instruments
Commodity cash flow derivatives
	Derivative liabilities, current				$	2			$	2
	Derivative liabilities, long-term					1				1
Interest rate derivatives
	Derivative liabilities, current					11				0
	Derivative liabilities, long-term					0				8
		Total derivatives designated as hedging instruments				14				11

Derivatives not designated as hedging instruments
Commodity derivatives^(a)
	Prepayments and other current assets		$	2			$	5
	Other assets and deferred debits			4				0
	Derivative liabilities, current					224				266
	Derivative liabilities, long-term					189				222
		Total derivatives not designated as hedging instruments		6		413		5		488
		Total derivatives	$	6	$	427	$	5	$	499

^(a)	Substantially all of these contracts receive regulatory treatment.

The following tables present the effect of derivative instruments on the Statements of Comprehensive Income for the three months ended June 30, 2012 and 2011:

Derivatives Designated as Hedging Instruments
Instrument		Amount of Gain or (Loss) Recognized in OCI, Net of Tax on Derivatives^(a)				Amount of Gain or (Loss), Net of Tax Reclassified from Accumulated OCI into Income^(a)				Amount of Pre-tax Gain or (Loss) Recognized in Income on Derivatives^(b)
(in millions)			2012		2011		2012		2011		2012		2011
Interest rate derivatives^{(c) (d)}		$	(1)	$	(5)	$	-	$	-	$	-	$	-

^(a)	Effective portion.
^(b)	Related to ineffective portion and amount excluded from effectiveness testing.
^(c)	Amounts in accumulated OCI related to terminated hedges are reclassified to earnings as the interest expense is recorded. The effective portion of the hedges will be amortized to interest expense over the term of the related debt.
^(d)	Amounts recorded in the Statements of Comprehensive Income are classified in interest charges.

Derivatives Not Designated as Hedging Instruments
Instrument		Realized Gain or (Loss)^(a)				Unrealized Gain or (Loss)^(b)
(in millions)			2012		2011		2012		2011
Commodity derivatives		$	(116)	$	(64)	$	28	$	(49)

^(a)	After settlement of the derivatives and the fuel is consumed, gains or losses are passed through the fuel cost-recovery clause.
^(b)	Amounts are recorded in regulatory liabilities and assets, respectively, on the Balance Sheets until derivatives are settled.

The following tables present the effect of derivative instruments on the Statements of Comprehensive Income for the six months ended June 30, 2012 and 2011:

Derivatives Designated as Hedging Instruments
Instrument		Amount of Gain or (Loss) Recognized in OCI, Net of Tax on Derivatives^(a)				Amount of Gain or (Loss), Net of Tax Reclassified from Accumulated OCI into Income^(a)				Amount of Pre-tax Gain or (Loss) Recognized in Income on Derivatives^(b)
(in millions)			2012		2011		2012		2011		2012		2011
Interest rate derivatives^{(c) (d)}		$	(1)	$	(5)	$	(1)	$	-	$	-	$	-

^(a)	Effective portion.
^(b)	Related to ineffective portion and amount excluded from effectiveness testing.
^(c)	Amounts in accumulated OCI related to terminated hedges are reclassified to earnings as the interest expense is recorded. The effective portion of the hedges will be amortized to interest expense over the term of the related debt.
^(d)	Amounts recorded in the Statements of Comprehensive Income are classified in interest charges.

Derivatives Not Designated as Hedging Instruments
Instrument		Realized Gain or (Loss)^(a)				Unrealized Gain or (Loss)^(b)
(in millions)			2012		2011		2012		2011
Commodity derivatives		$	(195)	$	(106)	$	(119)	$	(31)

^(a)	After settlement of the derivatives and the fuel is consumed, gains or losses are passed through the fuel cost-recovery clause.
^(b)	Amounts are recorded in regulatory liabilities and assets, respectively, on the Balance Sheets until derivatives are settled.

- Definition

The entire disclosure for the entity's entire derivative instruments and hedging activities. Describes an entity's risk management strategies, derivatives in hedging activities and non-hedging derivative instruments, the assets, obligations, liabilities, revenues and expenses arising therefrom, and the amounts of and methodologies and assumptions used in determining the amounts of such items.

+ References

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+ Details