XML 90 R25.htm IDEA: XBRL DOCUMENT

Fair Value Measurements

12 Months Ended

Dec. 31, 2013

Dec. 31, 2012

Fair Value Of Financial Assets And Liabilities [Abstract]

16. 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 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:

Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. An active market is one in which transactions for an asset or liability occur with sufficient frequency and volume to provide ongoing pricing information.

Level 2 – A fair value measurement utilizing inputs other than quoted prices included in Level 1 that are observable, either directly or indirectly, for an asset or liability. Inputs include (i) quoted prices for similar assets or liabilities in active markets, (ii) quoted prices for identical or similar assets or liabilities in markets that are not active, (iii) and inputs other than quoted market prices that are observable for the asset or liability, such as interest rate curves and yield curves observable at commonly quoted intervals, volatilities, and credit spreads. A Level 2 measurement cannot have more than an insignificant portion of its valuation based on unobservable inputs. Instruments in this category include non-exchange-traded derivatives, such as over-the-counter forwards, swaps and options; certain marketable debt securities; and financial instruments traded in less than active markets.

Level 3 – Any fair value measurement which includes unobservable inputs for more than an insignificant portion of the valuation. These inputs may be used with internally developed methodologies that result in management's best estimate of fair value. Level 3 measurements may include longer-term instruments that extend into periods in which observable inputs are not available.

The 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.

Transfers between levels represent assets or liabilities that were previously (i) categorized at a higher level for which the inputs to the estimate became less observable or (ii) classified at a lower level for which the inputs became more observable during the period. The Duke Energy Registrant's policy is to recognize transfers between levels of the fair value hierarchy at the end of the period. There were no transfers between levels 1 and 2 during the years ended December 31, 2013 and 2012. Transfers out of Level 3 during the year ended December 31, 2013 are the result of forward commodity prices becoming observable due to the passage of time.

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 NASDAQ and NYSE. 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 equity securities that are Level 2 or 3 are typically ownership interests in commingled investment funds.

Investments in debt securities

Most investments in debt securities are valued using Level 2 measurements because the valuations uses 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. Other commodity derivatives are primarily fair valued using internally developed discounted cash flow models which incorporate forward price, adjustments for liquidity (bid-ask spread) and credit or non-performance risk (after reflecting credit enhancements such as collateral), and are discounted to present value. Pricing inputs are derived from published exchange transaction prices and other observable data sources. In the absence of an active market, the last available price may be used. 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 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 fair value of gas 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 which 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.

Goodwill and long-lived assets

See Note 11 for a discussion of the valuation of goodwill and long-lived assets.

Duke Energy

The following tables provide recorded balances for assets and liabilities measured at fair value on a recurring basis on the Consolidated Balance Sheets. Derivative amounts in the table below exclude cash collateral which is disclosed in Note 14. See Note 15 for additional information related to investments by major security type.


		December 31, 2013
(in millions)		Total Fair Value		Level 1		Level 2		Level 3
Nuclear decommissioning trust fund equity securities		$	3,579	$	3,495	$	57	$	27
Nuclear decommissioning trust fund debt securities			1,553		402		1,100		51
Other trading and available-for-sale equity securities^(a)			102		91		11		―
Other trading and available-for-sale debt securities^(b)			333		36		277		20
Derivative assets^(a)			145		33		70		42
	Total assets		5,712		4,057		1,515		140
Derivative liabilities^(c)			(321)		11		(303)		(29)
	Net assets	$	5,391	$	4,068	$	1,212	$	111


		December 31, 2012
(in millions)		Total Fair Value		Level 1		Level 2		Level 3
Nuclear decommissioning trust fund equity securities		$	2,837	$	2,762	$	54	$	21
Nuclear decommissioning trust fund debt securities			1,405		317		1,040		48
Other trading and available-for-sale equity securities^(a)			72		63		9		―
Other trading and available-for-sale debt securities^(b)			631		40		562		29
Derivative assets^(a)			103		18		22		63
	Total assets		5,048		3,200		1,687		161
Derivative liabilities^(d)			(756)		(17)		(591)		(148)
	Net assets	$	4,292	$	3,183	$	1,096	$	13

(a)	Included in Other within Current Assets and Other within Investments and Other Assets on the Consolidated Balance Sheet.
(b)	Included in Other within Investments and Other Assets and Short-term Investments on the Consolidated Balance Sheets.
(c)	Included in Other within Current Liabilities and Other within Deferred Credits and Other Liabilities on the Consolidated Balance Sheets.

The following tables provide reconciliations of beginning and ending balances of assets and liabilities measured at fair value using Level 3 measurements.

		December 31, 2013
(in millions)			Investments		Derivatives (net)		Total
Balance at December 31, 2012			$	98	$	(85)	$	13
Total pretax realized or unrealized gains (losses) included in earnings^(a)				―		(42)		(42)
Purchases, sales, issuances and settlements:
	Purchases			9		21		30
	Sales			(6)		―		(6)
	Issuances			―		11		11
	Settlements			(9)		25		16
Total gains included on the Consolidated Balance Sheet as regulatory assets or liabilities				6		(3)		3
Transfers out of Level 3^(b)				―		86		86
Balance at December 31, 2013			$	98	$	13	$	111
Pretax amounts included in the Consolidated Statements of Comprehensive Income related to Level 3 measurements outstanding			$	―	$	10	$	10

(a)	Amounts for derivatives are primarily included in Operating Revenues.
(b)	Transfers reflect derivative contracts becoming observable due to the passage of time.


		December 31, 2012
(in millions)			Investments		Derivatives (net)		Total
Balance at December 31, 2011			$	124	$	(39)	$	85
Amounts acquired in Progress Energy Merger				―		(30)		(30)
Total pretax realized or unrealized gains (losses) included in earnings				―		8		8
Total pretax gains included in other comprehensive income				13		―		13
Purchases, sales, issuances and settlements:
	Purchases			14		22		36
	Sales			(2)		―		(2)
	Issuances			―		(15)		(15)
	Settlements			(55)		(32)		(87)
Total gains included on the Consolidated Balance Sheet as regulatory assets or liabilities				4		1		5
Balance at December 31, 2012			$	98	$	(85)	$	13


		December 31, 2011
(in millions)			Investments		Derivatives (net)		Total
Balance at December 31, 2010			$	165	$	(19)	$	146
Total pretax realized or unrealized gains (losses) included in earnings				―		(14)		(14)
Total pretax gains included in other comprehensive income				12		―		12
Net purchases, sales, issuances and settlements:
	Purchases			8		8		16
	Sales			(3)		―		(3)
	Settlements			(16)		(16)		(32)
Total gains included on the Consolidated Balance Sheet as regulatory assets or liabilities				(42)		2		(40)
Balance at December 31, 2011			$	124	$	(39)	$	85

Duke Energy Carolinas

The following tables provide recorded balances for assets and liabilities measure at fair value on a recurring basis on the Consolidated Balance Sheets. Derivative amounts in the table below exclude cash collateral, which is disclosed in Note 14. See Note 15 for additional information related to investments by major security type.


			December 31, 2013
(in millions)		Total Fair Value		Level 1		Level 2		Level 3
Nuclear decommissioning trust fund equity securities		$	1,964	$	1,879	$	58	$	27
Nuclear decommissioning trust fund debt securities			870		168		651		51
Other available-for-sale debt securities^(a)			3		-		-		3
	Total assets		2,837		2,047		709		81
Derivative liabilities^(b)			(2)		―		―		(2)
	Net assets	$	2,835	$	2,047	$	709	$	79


		December 31, 2012
(in millions)		Total Fair Value		Level 1		Level 2		Level 3
Nuclear decommissioning trust fund equity securities		$	1,592	$	1,523	$	48	$	21
Nuclear decommissioning trust fund debt securities			762		155		559		48
Other available-for-sale debt securities^(a)			3		―		―		3
	Total assets	$	2,357	$	1,678	$	607	$	72
Derivative liabilities^(b)			(12)		―		―		(12)
	Net assets	$	2,345	$	1,678	$	607	$	60

(a)	Included in Other within Investments and Other Assets on the Consolidated Balance Sheets.
(b)	Included in Other within Current Liabilities and Other within Deferred Credits and Other Liabilities on the Consolidated Balance Sheet.

The following tables provide a reconciliation of beginning and ending balances of assets and liabilities measured at fair value using Level 3 measurements.

		December 31, 2013
			Investments		Derivatives (net)		Total
Balance at December 31, 2012			$	72	$	(12)	$	60
Purchases, sales, issuances and settlements:
	Purchases			9		―		9
	Sales			(6)		―		(6)
	Settlements			―		10		10
Total gains included on the Consolidated Balance Sheet as regulatory assets or liabilities				6		―		6
Balance at December 31, 2013			$	81	$	(2)	$	79
Pretax amounts included in the Consolidated Statements of Comprehensive Income related to Level 3 measurements outstanding			$	―	$	(4)	$	(4)


		December 31, 2012
			Investments		Derivatives (net)		Total
Balance at December 31, 2011			$	65	$	―	$	65
Total pretax gains included in comprehensive income				2		―		2
Purchases, sales, issuances and settlements:
	Purchases			14		―		14
	Issuances			―		(14)		(14)
	Sales			(2)		―		(2)
	Settlements			(11)		2		(9)
Total gains included on the Consolidated Balance Sheet as regulatory assets or liabilities				4		―		4
Balance at December 31, 2012			$	72	$	(12)	$	60


		December 31, 2011
(in millions)			Investments		Derivatives (net)		Total
Balance at December 31, 2010			$	59	$	―	$	59
Purchases, sales, issuances and settlements:
	Purchases			8		―		8
	Sales			(3)		―		(3)
Total gains included on the Consolidated Balance Sheet as regulatory assets or liabilities				1		―		1
Balance at December 31, 2011			$	65	$	―	$	65

Progress Energy

The following tables provide recorded balances for assets and liabilities measured at fair value on a recurring basis end on the Consolidated Balance Sheets. Derivative amounts in the table below exclude cash collateral, which is disclosed in Note 14. See Note 15 for additional information related to investments by major security type.


		December 31, 2013
(in millions)		Total Fair Value		Level 1		Level 2		Level 3
Nuclear decommissioning trust fund equity securities		$	1,615	$	1,615	$	―	$	―
Nuclear decommissioning trust fund debt securities and other			677		233		444		―
Other trading and available-for-sale debt securities and other^(a)			58		19		39		―
Derivative assets^(b)			3		―		3		―
	Total assets		2,353		1,867		486		―
Derivative liabilities^(c)			(187)		―		(187)		―
	Net assets	$	2,166	$	1,867	$	299	$	―


		December 31, 2012
(in millions)		Total Fair Value		Level 1		Level 2		Level 3
Nuclear decommissioning trust fund equity securities		$	1,245	$	1,239	$	6	$	―
Nuclear decommissioning trust fund debt securities and other			643		162		481		―
Other trading and available-for-sale debt securities and other^(a)			57		17		40		―
Derivative assets^(b)			11		―		11		―
	Total assets		1,956		1,418		538		―
Derivative liabilities^(c)			(440)		―		(402)		(38)
	Net assets	$	1,516	$	1,418	$	136	$	(38)

(a)	Included in Other within Investments and Other Assets in the Consolidated Balance Sheets.
(b)	Included in Other within Current Assets and Other within Investments and Other Assets in the Consolidated Balance Sheets.
(c)	Included in Other within Current Liabilities and Other within Deferred Credits and Other Liabilities in the Consolidated Balance Sheets.

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)
		Years Ended December 31,
(in millions)		2013		2012		2011
Balance at beginning of period		$	(38)	$	(24)	$	(36)
Total pretax realized or unrealized gains included in earnings			―		1		―
Purchases, sales, issuances and settlements:
	Issuances		10		(16)		―
	Settlements		―		4		―
Total losses included on the Consolidated Balance Sheet as regulatory assets or liabilities			(6)		(3)		(21)
Transfers out of Level 3^(a)			34		―		33
Balance at end of period		$	―	$	(38)	$	(24)
Pretax amounts included in the Consolidated Statements of Operations and Comprehensive Income related to Level 3 measurements outstanding		$	11

(a)	Transfers reflect derivative contracts becoming observable due to the passage of time.

Duke Energy Progress

The following tables provide recorded balances for assets and liabilities measured at fair value on a recurring basis on the Consolidated Balance Sheets. Derivative amounts in the table below exclude cash collateral which is disclosed in Note 14 . See Note 15 for additional information related to investments by major security type.


		December 31, 2013
(in millions)		Total Fair Value		Level 1		Level 2		Level 3
Nuclear decommissioning trust fund equity securities		$	1,069	$	1,069	$	―	$	―
Nuclear decommissioning trust fund debt securities and other			470		137		333		―
Other trading and available-for-sale debt securities and other^(a)			3		3		―		―
Derivative assets^(b)			1		―		1		―
	Total assets		1,543		1,209		334		―
Derivative liabilities^(c)			(66)		―		(66)		―
	Net assets	$	1,477	$	1,209	$	268	$	―


		December 31, 2012
(in millions)		Total Fair Value		Level 1		Level 2		Level 3
Nuclear decommissioning trust fund equity securities		$	811	$	811	$	―	$	―
Nuclear decommissioning trust fund debt securities and other			448		119		329		―
Other trading and available-for-sale debt securities and other^(a)			3		3		―		―
Derivative assets^(b)			2		―		2		―
	Total assets		1,264		933		331		―
Derivative liabilities^(c)			(166)		―		(128)		(38)
	Net assets	$	1,098	$	933	$	203	$	(38)

(a)	Included in Other within Investments and Other Assets in the Consolidated Balance Sheets.
(b)	Included in Other within Current Assets and Other within Investments and Other Assets in the Consolidated Balance Sheets.
(c)	Included in Other within Current Liabilities and Other within Deferred Credits and Other Liabilities in the Consolidated Balance Sheets

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)
		Years Ended December 31,
(in millions)		2013		2012		2011
Balance at beginning of period		$	(38)	$	(24)	$	(36)
Total pretax realized or unrealized gains included in earnings			―		1		―
Purchases, sales, issuances and settlements:
	Issuances		10		(16)		―
	Settlements		―		4		―
Total losses included on the Consolidated Balance Sheet as regulatory assets or liabilities			(6)		(3)		(20)
Transfers out of Level 3^(a)			34		―		32
Balance at end of period		$	―	$	(38)	$	(24)
Pretax amounts included in the Consolidated Statements of Operations and Comprehensive Income related to Level 3 measurements outstanding		$	11

(a)	Transfers reflect derivative contracts becoming observable due to the passage of time.

Duke Energy Florida


		December 31, 2013
(in millions)		Total Fair Value		Level 1		Level 2		Level 3
Nuclear decommissioning trust fund equity securities		$	546	$	546	$	―	$	―
Nuclear decommissioning trust fund debt securities and other			214		96		118		―
Other trading and available-for-sale debt securities and other^(a)			40		2		38		―
Derivative assets^(b)			1		―		1		―
	Total assets		801		644		157		―
Derivative liabilities^(c)			(116)		―		(116)		―
	Net assets	$	685	$	644	$	41	$	―


		December 31, 2012
(in millions)		Total Fair Value		Level 1		Level 2		Level 3
Nuclear decommissioning trust fund equity securities		$	435	$	429	$	6	$	―
Nuclear decommissioning trust fund debt securities and other			194		43		151		―
Other trading and available-for-sale debt securities and other^(a)			43		3		40		―
Derivative assets^(b)			9		―		9		―
	Total assets		681		475		206		―
Derivative liabilities^(c)			(270)		―		(270)		―
	Net assets	$	411	$	475	$	(64)	$	―

(a)	Included in Other within Investments and Other Assets in the Consolidated Balance Sheets.
(b)	Included in Other within Current Assets and Other within Investments and Other Assets in the Consolidated Balance Sheets.
(c)	Included in Other within Current Liabilities and Other within Deferred Credits and Other Liabilities in the Consolidated Balance Sheets

Duke Energy Ohio


		December 31, 2013
(in millions)		Total Fair Value		Level 1		Level 2		Level 3
Derivative assets^(a)		$	96	$	50	$	21	$	25
Derivative liabilities^(b)			(95)		(1)		(65)		(29)
	Net assets (liabilities)	$	1	$	49	$	(44)	$	(4)


		December 31, 2012
(in millions)		Total Fair Value		Level 1		Level 2		Level 3
Derivative assets^(a)		$	59	$	48	$	2	$	9
Derivative liabilities^(b)			(38)		(15)		(8)		(15)
	Net assets (liabilities)	$	21	$	33	$	(6)	$	(6)

(a)	Included in Other within Current Assets and Other within Investments and Other Assets in the Consolidated Balance Sheets.
(b)	Included in Other within Current Liabilities and Other within Deferred Credits and Other Liabilities in the Consolidated Balance Sheets.

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)
		Years Ended December 31,
(in millions)		2013		2012		2011
Balance at beginning of period		$	(6)	$	(3)	$	13
Total pretax realized or unrealized gains included in earnings^(a)			(42)		(3)		(4)
Purchases, sales, issuances and settlements:
	Purchases		1		―		―
	Settlements		―		1		(14)
Total losses included on the Consolidated Balance Sheet as regulatory assets or liabilities			―		(1)		2
Transfers out of Level 3^(b)			43		―		―
Balance at end of period		$	(4)	$	(6)	$	(3)

(a)	Amounts for derivative are primarily included in Operating Revenues.
(b)	Transfers reflect derivative contracts becoming observable due to the passage of time.

Duke Energy Indiana

The following tables provide recorded balances for assets and liabilities measured at fair value on a recurring basis on the Consolidated Balance Sheets. Derivative amounts in the table below exclude cash collateral, which is disclosed in Note 14. See Note 15 for additional information related to investments by major security type.


		December 31, 2013
(in millions)		Total Fair Value		Level 1		Level 2		Level 3
Available-for-sale equity securities^(a)		$	65	$	65	$	―	$	―
Available-for-sale debt securities^(a)			29		―		29		―
Derivative assets^(b)			12		―		―		12
	Net assets (liabilities)	$	106	$	65	$	29	$	12


		December 31, 2012
(in millions)		Total Fair Value		Level 1		Level 2		Level 3
Available-for-sale equity securities^(a)		$	49	$	49	$	―	$	―
Available-for-sale debt securities^(a)			29		―		29		―
Derivative assets^(b)			10		―		―		10
	Total assets		88		49		29		10
Derivative liabilities^(c)			(63)		―		(63)		―
	Net assets (liabilities)	$	25	$	49	$	(34)	$	10

(a)	Included in Other within Investments and Other Assets on the Consolidated Balance Sheets.
(b)	Included in Other within Current Assets on the Consolidated Balance Sheets.
(c)	Included in Other within Current Liabilities and Other within Deferred Credits and Other Liabilities on the Consolidated Balance Sheets.

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)
		Years Ended December 31,
(in millions)		2013		2012		2011
Balance at beginning of period		$	10	$	4	$	4
Total pretax realized or unrealized gains included in earnings^(a)			8		36		14
Purchases, sales, issuances and settlements:
	Purchases		20		―		8
	Sales		―		22		―
	Settlements		(30)		(52)		(21)
Total losses included on the Consolidated Balance Sheet as regulatory assets or liabilities			4		―		(1)
Balance at end of period		$	12	$	10	$	4

(a)	Amounts in derivatives are primarily included in Operating Revenues.

QUANTITATIVE INFORMATION ABOUT UNOBSERVABLE INPUTS

The following table provides quantitative information about the Duke Energy Registrants' derivatives classified as Level 3.

	December 31, 2013
Investment Type	Fair Value (in millions)		Valuation Technique	Unobservable Input	Range
Duke Energy
Natural gas contracts	$	(2)	Discounted cash flow	Forward natural gas curves - price per MMBtu	$	3.07	$	5.37
FERC mitigation power sale agreements		(2)	Discounted cash flow	Forward electricity curves - price per MWh		25.79	-	52.38
Financial transmission rights (FTRs)		12	RTO auction pricing	FTR price - per Megawatt Hour (MWh)		(0.30)	-	13.80
Electricity contracts		23	Discounted cash flow	Forward electricity curves - price per MWh		20.77	-	58.90
Commodity capacity option contracts		4	Discounted cash flow	Forward capacity option curves - price per MW day		30.40	-	165.10
Reserves		(22)		Bid-ask spreads, implied volatility, probability of default
Total Level 3 derivatives	$	13
Duke Energy Carolinas
FERC mitigation power sale agreements	$	(2)	Discounted cash flow	Forward electricity curves - price per MWh	$	25.79	$	52.38
Duke Energy Ohio
Electricity contracts	$	18	Discounted cash flow	Forward electricity curves - price per MWh	$	20.77	$	58.90
Natural gas contracts		(2)	Discounted cash flow	Forward natural gas curves - price per MMBtu		3.07	-	5.37
Reserves		(20)		Bid-ask spreads, implied volatility, probability of default
Total Level 3 derivatives	$	(4)
Duke Energy Indiana
FTRs	$	12	RTO auction pricing	FTR price - per MWh	$	(0.30)	$	13.80

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.

	December 31, 2013				December 31, 2012
(in millions)	Book Value		Fair Value		Book Value		Fair Value
Duke Energy	$	40,256	$	42,592	$	39,461	$	44,001
Duke Energy Carolinas		8,436		9,123		8,741		10,096
Progress Energy		14,115		15,234		14,428		16,563
Duke Energy Progress		5,235		5,323		4,840		5,277
Duke Energy Florida		4,886		5,408		5,320		6,222
Duke Energy Ohio		2,188		2,237		1,997		2,117
Duke Energy Indiana		3,796		4,171		3,702		4,268

At both December 31, 2013 and December 31, 2012, fair value of cash and cash equivalents, accounts and notes receivable, accounts payable, and notes payable and commercial paper are not materially different from their carrying amounts because of the short-term nature of these instruments and/or because the stated interest rates approximate market rates.


	December 31, 2012
Investment Type	Fair Value (in millions)		Valuation Technique	Unobservable Input	Range
Duke Energy
Natural gas contracts	$	(53)	Discounted cash flow	Forward natural gas curves - price per MMBtu	$	2.33	$	9.99
FERC mitigation power sale agreements		(23)	Discounted cash flow	Forward electricity curves - price per MWh		25.83	-	48.69
FTRs		11	RTO auction pricing	FTR price - per MWh		23.63	-	39.22
Electricity contracts		(8)	Discounted cash flow	Forward electricity curves - price per MWh		24.82	-	77.96
Capacity contracts		(3)	Discounted cash flow	Forward capacity curves - price per MW day		95.16	-	105.36
Capacity option contracts		3	Discounted cash flow	Forward capacity option curves - price per MW day		4.68	-	77.96
Reserves		(12)		Bid-ask spreads, implied volatility, probability of default
Total Level 3 derivatives	$	(85)
Duke Energy Carolinas
FERC mitigation power sale agreements	$	(12)	Discounted cash flow	Forward electricity curves - price per MWh	$	25.83	-	48.69
Progress Energy
Natural gas contracts	$	(27)	Discounted cash flow	Forward natural gas curves - price per MMBtu	$	4.07	-	4.45
FERC mitigation power sale agreements		(11)	Discounted cash flow	Forward electricity curves - price per MWh		25.83	-	48.69
Total Level 3 derivatives	$	(38)
Duke Energy Progress
Natural gas contracts	$	(27)	Discounted cash flow	Forward natural gas curves - price per MMBtu	$	4.07	-	4.45
FERC mitigation power sale agreements		(11)	Discounted cash flow	Forward electricity curves - price per MWh		25.83	-	48.69
Total Level 3 derivatives	$	(38)
Duke Energy Ohio
FTRs	$	1	RTO auction pricing	FTR price - per MWh	$	27.17	$	39.22
Electricity contracts		(1)	Discounted cash flow	Forward electricity curves - price per MWh		25.90	-	57.50
Natural gas contracts		5	Discounted cash flow	Forward natural gas curves - price per MMBtu		3.30	-	4.51
Reserves		(11)		Bid-ask spreads, implied volatility, probability of default
Total Level 3 derivatives	$	(6)
Duke Energy Indiana
FTRs	$	10	RTO auction pricing	FTR price - per MWh	$	23.63	$	35.43

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References+ Details