Derivatives and Hedging (Tables)

9 Months Ended

Sep. 30, 2015

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Notional Amounts of Outstanding Derivative Positions

The following table shows notional amounts for derivatives related to interest rate risk.



	September 30, 2015										December 31, 2014
					Duke		Duke		Duke						Duke		Duke
	Duke		Progress		Energy		Energy		Energy		Duke		Progress		Energy		Energy
(in millions)	Energy		Energy		Progress		Florida		Ohio		Energy		Energy		Florida		Ohio
Cash flow hedges^(a)	$	714	$	—	$	—	$	—	$	—	$	750	$	—	$	—	$	—
Undesignated contracts^(b)	527		500		250		250		27		277		250		250		27
Total notional amount	$	1,241	$	500	$	250	$	250	$	27	$	1,027	$	250	$	250	$	27


(a)	Duke Energy includes amounts related to consolidated Variable Interest Entities (VIEs) of $509 million and $541 million at September 30, 2015 and December 31, 2014, respectively.


(b)	In January 2015, Duke Energy Progress executed fixed-to-floating rate swaps. The swaps were issued to economically convert $250 million of fixed rate first mortgage bonds due September 15, 2021, to floating rate with an initial rate of approximately 1.75 percent.

The tables below show information relating to volumes of outstanding commodity derivatives. Amounts disclosed represent the absolute value of notional volumes of commodity contracts excluding NPNS. The Duke Energy Registrants have netted contractual amounts where offsetting purchase and sale contracts exist with identical delivery locations and times of delivery. Where all commodity positions are perfectly offset, no quantities are shown.

September 30, 2015

Duke

Energy

Progress

Energy

Carolinas

Energy

Progress

Florida

Ohio

Indiana

Electricity (gigawatt-hours)

—

Natural gas (millions of decatherms)

389

328

110

218

—

December 31, 2014

Duke

Energy

Progress

Energy

Carolinas

Energy

Progress

Florida

Ohio

Indiana

Electricity (gigawatt-hours)^(a)(b)

25,370

—

19,141

—

Natural gas (millions of decatherms)^(a)

676

328

116

212

313

—


(a)	Amounts at Duke Energy Ohio include volumes related to the nonregulated Midwest generation business sold during the second quarter of 2015. Refer to Note 2 for further information on the sale.


(b)	Amounts at Duke Energy Ohio include intercompany positions that eliminate at Duke Energy.

Location And Fair Value Of Derivatives Recognized in the Condensed Consolidated Balance Sheets

The following tables show the fair value of derivatives and the line items in the Condensed Consolidated Balance Sheets where they are reported. Although derivatives subject to master netting arrangements are netted on the Condensed Consolidated Balance Sheets, the fair values presented below are shown gross and cash collateral on the derivatives has not been netted against the fair values shown.



Derivative Assets	September 30, 2015
			Duke				Duke		Duke		Duke		Duke
	Duke		Energy		Progress		Energy		Energy		Energy		Energy
(in millions)	Energy		Carolinas		Energy		Progress		Florida		Ohio		Indiana
Commodity Contracts
Designated as Hedging Instruments
Current Assets: Other	$	1	$	—	$	—	$	—	$	—	$	—	$	—
Not Designated as Hedging Instruments
Current Assets: Other	17		—		—		—		—		4		12
Current Liabilities: Other	2		—		1		—		1		—		—
Deferred Credits and Other Liabilities: Other	2		—		2		—		2		—		—
Total Derivative Assets – Commodity Contracts	$	22	$	—	$	3	$	—	$	3	$	4	$	12
Interest Rate Contracts
Designated as Hedging Instruments
Investments and Other Assets: Other	$	1	$	—	$	—	$	—	$	—	$	—	$	—
Not Designated as Hedging Instruments
Current Assets: Other	6		—		6		2		4		—		—
Investments and Other Assets: Other	4		—		4		—		4		—		—
Total Derivative Assets – Interest Rate Contracts	$	11	$	—	$	10	$	2	$	8	$	—	$	—
Total Derivative Assets	$	33	$	—	$	13	$	2	$	11	$	4	$	12



Derivative Liabilities	September 30, 2015
			Duke				Duke		Duke		Duke		Duke
	Duke		Energy		Progress		Energy		Energy		Energy		Energy
(in millions)	Energy		Carolinas		Energy		Progress		Florida		Ohio		Indiana
Commodity Contracts
Designated as Hedging Instruments
Not Designated as Hedging Instruments
Current Liabilities: Other	$	242	$	25	$	215	$	77	$	138	$	—	$	—
Deferred Credits and Other Liabilities: Other	100		8		91		16		71		—		—
Total Derivative Liabilities – Commodity Contracts	$	342	$	33	$	306	$	93	$	209	$	—	$	—
Interest Rate Contracts
Designated as Hedging Instruments
Current Liabilities: Other	$	14	$	—	$	—	$	—	$	—	$	—	$	—
Deferred Credits and Other Liabilities: Other	41		—		—		—		—				—
Not Designated as Hedging Instruments
Current Liabilities: Other	1		—		—		—		—		1		—
Deferred Credits and Other Liabilities: Other	8		—		3		2		—		6		—
Total Derivative Liabilities – Interest Rate Contracts	$	64	$	—	$	3	$	2	$	—	$	7	$	—
Total Derivative Liabilities	$	406	$	33	$	309	$	95	$	209	$	7	$	—



Derivative Assets	December 31, 2014
			Duke				Duke		Duke		Duke		Duke
	Duke		Energy		Progress		Energy		Energy		Energy		Energy
(in millions)	Energy		Carolinas		Energy		Progress		Florida		Ohio		Indiana
Commodity Contracts
Not Designated as Hedging Instruments
Current Assets: Other	$	18	$	—	$	—	$	—	$	—	$	1	$	14
Current Assets: Assets held for sale	15		—		—		—		—		28		—
Investments and Other Assets: Other	3		—		—		—		—		—		—
Investments and Other Assets: Assets held for sale	15		—		—		—		—		26		—
Current Liabilities: Other	1		—		—		—		—		—		—
Current Liabilities: Assets held for sale	174		—		—		—		—		175		—
Deferred Credits and Other Liabilities: Other	2		—		—		—		—		—		—
Deferred Credits and Other Liabilities: Assets held for sale	111		—		—		—		—		111		—
Total Derivative Assets – Commodity Contracts	$	339	$	—	$	—	$	—	$	—	$	341	$	14
Interest Rate Contracts
Designated as Hedging Instruments
Investments and Other Assets: Other	10		—		—		—		—		—		—
Not Designated as Hedging Instruments
Current Assets: Other	2		—		2		—		2		—		—
Total Derivative Assets – Interest Rate Contracts	$	12	$	—	$	2	$	—	$	2	$	—	$	—
Total Derivative Assets	$	351	$	—	$	2	$	—	$	2	$	341	$	14



Derivative Liabilities	December 31, 2014
			Duke				Duke		Duke		Duke		Duke
	Duke		Energy		Progress		Energy		Energy		Energy		Energy
(in millions)	Energy		Carolinas		Energy		Progress		Florida		Ohio		Indiana
Commodity Contracts
Designated as Hedging Instruments
Current Liabilities: Other	$	—	$	—	$	1	$	1	$	—	$	—	$	—
Not Designated as Hedging Instruments
Current Assets: Assets held for sale	—		—		—		—		—		4		—
Investments and Other Assets: Assets held for sale	—		—		—		—		—		4		—
Current Liabilities: Other	307		14		288		108		180		—		—
Current Liabilities: Assets held for sale	253		—		—		—		—		252		—
Deferred Credits and Other Liabilities: Other	91		5		80		23		57		—		—
Deferred Credits and Other Liabilities: Assets held for sale	208		—		—		—		—		207		—
Total Derivative Liabilities – Commodity Contracts	$	859	$	19	$	369	$	132	$	237	$	467	$	—
Interest Rate Contracts
Designated as Hedging Instruments
Current Liabilities: Other	$	13	$	—	$	—	$	—	$	—	$	—	$	—
Deferred Credits and Other Liabilities: Other	29		—		—		—		—		—		—
Not Designated as Hedging Instruments
Current Liabilities: Other	1		—		—		—		—		1		—
Deferred Credits and Other Liabilities: Other	7		—		2		—		2		5		—
Total Derivative Liabilities – Interest Rate Contracts	$	50	$	—	$	2	$	—	$	2	$	6	$	—
Total Derivative Liabilities	$	909	$	19	$	371	$	132	$	239	$	473	$	—

Offsetting Assets



Derivative Assets	December 31, 2014
				Duke					Duke		Duke			Duke			Duke
	Duke			Energy		Progress			Energy		Energy			Energy			Energy
(in millions)	Energy			Carolinas		Energy			Progress		Florida			Ohio			Indiana
Current
Gross amounts recognized	$	210		$	—	$	2		$	—	$	2		$	204		$	14
Gross amounts offset	(153		)	—		(2		)	—		(2		)	(179		)	—
Net amounts subject to master netting	57			—		—			—		—			25			14
Amounts not subject to master netting	—			—		—			—		—			—			—
Net amounts recognized on the Condensed Consolidated Balance Sheet	$	57		$	—	$	—		$	—	$	—		$	25		$	14
Non-Current
Gross amounts recognized	$	136		$	—	$	—		$	—	$	—		$	137		$	—
Gross amounts offset	(88		)	—		—			—		—			(114		)	—
Net amounts subject to master netting	48			—		—			—		—			23			—
Amounts not subject to master netting	5			—		—			—		—			—			—
Net amounts recognized on the Condensed Consolidated Balance Sheet	$	53		$	—	$	—		$	—	$	—		$	23		$	—

The following tables show the balance sheet location of derivative contracts subject to enforceable master netting agreements and include collateral posted to offset the net position. This disclosure is intended to enable users to evaluate the effect of netting arrangements on financial position. The amounts shown were calculated by counterparty. Accounts receivable or accounts payable may also be available to offset exposures in the event of bankruptcy. These amounts are not included in the tables below.



Derivative Assets	September 30, 2015
				Duke					Duke		Duke			Duke		Duke
	Duke			Energy		Progress			Energy		Energy			Energy		Energy
(in millions)	Energy			Carolinas		Energy			Progress		Florida			Ohio		Indiana
Current
Gross amounts recognized	$	26		$	—	$	7		$	2	$	5		$	4	$	12
Gross amounts offset	(2		)	—		(1		)	—		(1		)	—		—
Net amounts subject to master netting	24			—		6			2		4			4		12
Amounts not subject to master netting	—			—		—			—		—			—		—
Net amounts recognized on the Condensed Consolidated Balance Sheet	$	24		$	—	$	6		$	2	$	4		$	4	$	12
Non-Current
Gross amounts recognized	$	7		$	—	$	6		$	—	$	6		$	—	$	—
Gross amounts offset	(2		)	—		(2		)	—		(2		)	—		—
Net amounts subject to master netting	5			—		4			—		4			—		—
Amounts not subject to master netting	—			—		—			—		—			—		—
Net amounts recognized on the Condensed Consolidated Balance Sheet	$	5		$	—	$	4		$	—	$	4		$	—	$	—

Offsetting Liabilities



Derivative Liabilities	December 31, 2014
				Duke					Duke		Duke			Duke			Duke
	Duke			Energy		Progress			Energy		Energy			Energy			Energy
(in millions)	Energy			Carolinas		Energy			Progress		Florida			Ohio			Indiana
Current
Gross amounts recognized	$	573		$	14	$	289		$	109	$	180		$	257		$	—
Gross amounts offset	(213		)	—		(17		)	—		(17		)	(222		)	—
Net amounts subject to master netting	360			14		272			109		163			35			—
Amounts not subject to master netting	1			—		—			—		—			—			—
Net amounts recognized on the Condensed Consolidated Balance Sheet	$	361		$	14	$	272		$	109	$	163		$	35		$	—
Non-Current
Gross amounts recognized	$	319		$	5	$	82		$	23	$	59		$	216		$	—
Gross amounts offset	(173		)	—		(8		)	—		(8		)	(193		)	—
Net amounts subject to master netting	146			5		74			23		51			23			—
Amounts not subject to master netting	16			—		—			—		—			—			—
Net amounts recognized on the Condensed Consolidated Balance Sheet	$	162		$	5	$	74		$	23	$	51		$	23		$	—



Derivative Liabilities	September 30, 2015
				Duke					Duke		Duke			Duke		Duke
	Duke			Energy		Progress			Energy		Energy			Energy		Energy
(in millions)	Energy			Carolinas		Energy			Progress		Florida			Ohio		Indiana
Current
Gross amounts recognized	$	257		$	25	$	215		$	77	$	138		$	1	$	—
Gross amounts offset	(15		)	—		(14		)	—		(14		)	—		—
Net amounts subject to master netting	242			25		201			77		124			1		—
Amounts not subject to master netting	—			—		—			—		—			—		—
Net amounts recognized on the Condensed Consolidated Balance Sheet	$	242		$	25	$	201		$	77	$	124		$	1	$	—
Non-Current
Gross amounts recognized	$	144		$	8	$	89		$	18	$	71		$	6	$	—
Gross amounts offset	(9		)	—		(9		)	—		(9		)	—		—
Net amounts subject to master netting	135			8		80			18		62			6		—
Amounts not subject to master netting	5			—		5			—		—			—		—
Net amounts recognized on the Condensed Consolidated Balance Sheet	$	140		$	8	$	85		$	18	$	62		$	6	$	—

Derivative Contracts with Contingent Credit Features

The following tables show information with respect to derivative contracts that are in a net liability position and contain objective credit-risk-related payment provisions. Amounts for Duke Energy Indiana were not material.



	September 30, 2015
			Duke				Duke		Duke		Duke
	Duke		Energy		Progress		Energy		Energy		Energy
(in millions)	Energy		Carolinas		Energy		Progress		Florida		Ohio
Aggregate fair value amounts of derivative instruments in a net liability position	$	316	$	33	$	301	$	94	$	207	$	—
Fair value of collateral already posted	20		—		20		—		20		—
Additional cash collateral or letters of credit in the event credit-risk-related contingent features were triggered	296		33		281		94		187		—



	December 31, 2014
			Duke				Duke		Duke		Duke
	Duke		Energy		Progress		Energy		Energy		Energy
(in millions)	Energy		Carolinas		Energy		Progress		Florida		Ohio
Aggregate fair value amounts of derivative instruments in a net liability position	$	845	$	19	$	370	$	131	$	239	$	456
Fair value of collateral already posted	209		—		23		—		23		186
Additional cash collateral or letters of credit in the event credit-risk-related contingent features were triggered	407		19		347		131		216		41

The Duke Energy Registrants have elected to offset cash collateral and fair values of derivatives. For amounts to be netted, the derivative must be executed with the same counterparty under the same master netting agreement. Amounts disclosed below represent the receivables related to the right to reclaim cash collateral and payables related to the obligation to return cash collateral under master netting arrangements.



	September 30, 2015		December 31, 2014
(in millions)	Receivables		Receivables
Duke Energy
Amounts offset against net derivative positions	$	20	$	145
Amounts not offset against net derivative positions	—		64
Progress Energy
Amounts offset against net derivative positions	20		23
Duke Energy Florida
Amounts offset against net derivative positions	20		23
Duke Energy Ohio
Amounts offset against net derivative positions	—		122
Amounts not offset against net derivative positions	—		64

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

+ References + Details