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Fair Value Measurements
 12 Months Ended
Dec. 31, 2020
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 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 NYSE 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 natural 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 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.
Other fair value considerations
See Note 11 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 Consolidated Balance Sheets. Derivative amounts in the tables below for all Duke Energy Registrants exclude cash collateral, which is disclosed in Note 14. See Note 15 for additional information related to investments by major security type for the Duke Energy Registrants.
 December 31, 2020
(in millions)Total Fair ValueLevel 1Level 2Level 3Not Categorized
NDTF cash and cash equivalents$177 $177 $— $— $— 
NDTF equity securities6,235 6,189 — — 46 
NDTF debt securities2,717 874 1,843 — — 
Other equity securities146 146 — — — 
Other debt securities285 37 248 — — 
Other cash and cash equivalents127 127 — — — 
Derivative assets61 1 53 7 — 
Total assets9,748 7,551 2,144 7 46 
Derivative liabilities(324)— (240)(84)— 
Net assets (liabilities)$9,424 $7,551 $1,904 $(77)$46 
 December 31, 2019
(in millions)Total Fair ValueLevel 1Level 2Level 3Not Categorized
NDTF cash and cash equivalents$101 $101 $— $— $— 
NDTF equity securities5,684 5,633 — — 51 
NDTF debt securities2,368 725 1,643 — — 
Other equity securities122 122 — — — 
Other debt securities258 39 219 — — 
Other cash and cash equivalents52 52 — — — 
Derivative assets25 3 7 15 — 
Total assets8,610 6,675 1,869 15 51 
NDTF equity security contracts(23)— (23)— — 
Derivative liabilities(277)(15)(145)(117)— 
Net assets (liabilities)$8,310 $6,660 $1,701 $(102)$51 
The following table provides reconciliations of beginning and ending balances of assets and liabilities measured at fair value using Level 3 measurements.
Derivatives (net)
 Years Ended December 31,
(in millions) 20202019
Balance at beginning of period$(102)$(113)
Total pretax realized or unrealized losses included in comprehensive income(84)— 
Purchases, sales, issuances and settlements:
Purchases14 37 
Settlements(19)(44)
Net transfers Out of Level 3(a)
117 — 
Total (losses) gains included on the Consolidated Balance Sheet(3)18 
Balance at end of period$(77)$(102)
(a)    Transferred from Level 3 to Level 2 because observable market data became available.
DUKE ENERGY CAROLINAS
The following tables provide recorded balances for assets and liabilities measured at fair value on a recurring basis on the Consolidated Balance Sheets.
 December 31, 2020
(in millions)Total Fair ValueLevel 1Level 2Not Categorized
NDTF cash and cash equivalents$30 $30 $— $— 
NDTF equity securities3,685 3,639 — 46 
NDTF debt securities1,250 192 1,058 — 
Derivative assets20 — 20 — 
Total assets4,985 3,861 1,078 46 
Derivative liabilities(20)— (20)— 
Net assets$4,965 $3,861 $1,058 $46 
 December 31, 2019
(in millions)Total Fair ValueLevel 1Level 2Not Categorized
NDTF cash and cash equivalents$21 $21 $— $— 
NDTF equity securities3,154 3,103 — 51 
NDTF debt securities1,172 206 966 — 
Total assets4,347 3,330 966 51 
Derivative liabilities(49)— (49)— 
Net assets$4,298 $3,330 $917 $51 
PROGRESS ENERGY
The following table provides recorded balances for assets and liabilities measured at fair value on a recurring basis on the Consolidated Balance Sheets.
 December 31, 2020December 31, 2019
(in millions)Total Fair ValueLevel 1Level 2Total Fair ValueLevel 1Level 2
NDTF cash and cash equivalents$147 $147 $— $80 $80 $— 
NDTF equity securities2,550 2,550 — 2,530 2,530 — 
NDTF debt securities1,467 682 785 1,196 519 677 
Other debt securities26 — 26 51 — 51 
Other cash and cash equivalents106 106 49 49 — 
Derivative assets33 — 33 7 — 7 
Total assets4,329 3,485 844 3,913 3,178 735 
NDTF equity security contracts— — — (23)— (23)
Derivative liabilities(29)— (29)(65)— (65)
Net assets$4,300 $3,485 $815 $3,825 $3,178 $647 
DUKE ENERGY PROGRESS
The following table provides recorded balances for assets and liabilities measured at fair value on a recurring basis on the Consolidated Balance Sheets.
 December 31, 2020December 31, 2019
(in millions)Total Fair ValueLevel 1Level 2Total Fair ValueLevel 1Level 2
NDTF cash and cash equivalents$76 $76 $— $53 $53 $— 
NDTF equity securities2,459 2,459 — 2,077 2,077 — 
NDTF debt securities993 237 756 921 244 677 
Other cash and cash equivalents1 1 — 2 2 — 
Derivative assets33 — 33 — — — 
Total assets3,562 2,773 789 3,053 2,376 677 
Derivative liabilities(14)— (14)(49)— (49)
Net assets$3,548 $2,773 $775 $3,004 $2,376 $628 
DUKE ENERGY FLORIDA
The following table provides recorded balances for assets and liabilities measured at fair value on a recurring basis on the Consolidated Balance Sheets.
 December 31, 2020December 31, 2019
(in millions)Total Fair ValueLevel 1Level 2Total Fair ValueLevel 1Level 2
NDTF cash and cash equivalents$71 $71 $— $27 $27 $— 
NDTF equity securities91 91 — 453 453 — 
NDTF debt securities474 445 29 275 275 — 
Other debt securities26 — 26 51 — 51 
Other cash and cash equivalents1 1 — 4 4 — 
Derivative assets— — — 7 — 7 
Total assets663 608 55 817 759 58 
NDTF equity security contracts— — — (23)— (23)
Derivative liabilities— — — (1)— (1)
Net assets$663 $608 $55 $793 $759 $34 
DUKE ENERGY OHIO
The recorded balances for assets and liabilities measured at fair value on a recurring basis on the Consolidated Balance Sheets were not material at December 31, 2020, and 2019.
DUKE ENERGY INDIANA
The following table provides recorded balances for assets and liabilities measured at fair value on a recurring basis on the Consolidated Balance Sheets.
 December 31, 2020December 31, 2019
(in millions)Total Fair ValueLevel 1Level 2Level 3Total Fair ValueLevel 1Level 2Level 3
Other equity securities$97 $97 $— $— $81 $81 $— $— 
Other debt securities45 — 45 — 44 — 44 — 
Other cash equivalents1 1 — — — — — — 
Derivative assets6 — — 6 13 2 — 11 
Total assets149 98 45 6 138 83 44 11 
Derivative liabilities(1)(1)— — (1)(1)— — 
Total assets$148 $97 $45 $6 $137 $82 $44 $11 
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)20202019
Balance at beginning of period$11 $22 
Purchases, sales, issuances and settlements:
Purchases10 28 
Settlements(13)(36)
Total losses included on the Consolidated Balance Sheet(2)(3)
Balance at end of period$6 $11 
PIEDMONT
The following table provides recorded balances for assets and liabilities measured at fair value on a recurring basis on the Consolidated Balance Sheets.
 December 31, 2020December 31, 2019
(in millions)Total Fair ValueLevel 1Level 2Total Fair ValueLevel 1Level 3
Derivative assets$1 $1 $— $1 $1 $— 
Derivative liabilities(122)— (122)(117)— (117)
Net (liabilities) assets$(121)$1 $(122)$(116)$1 $(117)
The following table provides a reconciliation of beginning and ending balances of assets and liabilities measured at fair value using Level 3 measurements.
 Derivatives (net)
 Years Ended December 31,
(in millions)20202019
Balance at beginning of period$(117)$(141)
Net transfers Out of Level 3(a)
117 — 
Total gains and settlements— 24 
Balance at end of period$— $(117)
(a)    Transferred from Level 3 to Level 2 because observable market data became available.
QUANTITATIVE INFORMATION ABOUT UNOBSERVABLE INPUTS
The following tables include quantitative information about the Duke Energy Registrants' derivatives classified as Level 3.
December 31, 2020
Weighted
Fair ValueAverage
Investment Type(in millions)Valuation TechniqueUnobservable InputRangeRange
Duke Energy
Electricity contracts$(84)Discounted cash flowForward electricity curves – price per MWh$14.68 –$151.84 $28.84 
Duke Energy Ohio
FTRs1 RTO auction pricingFTR price – per MWh0.25 –1.68 0.79 
Duke Energy Indiana
FTRs6 RTO auction pricingFTR price – per MWh(2.40)–7.41 1.05 
Duke Energy
Total Level 3 derivatives$(77)
December 31, 2019
Weighted
Fair ValueAverage
Investment Type(in millions)Valuation TechniqueUnobservable InputRangeRange
Duke Energy Ohio
FTRs$4 RTO auction pricingFTR price – per MWh$0.59 
–
$3.47 $2.07 
Duke Energy Indiana
FTRs11 RTO auction pricingFTR price – per MWh(0.66)
–
9.24 1.15 
Piedmont
Natural gas contracts(117)Discounted cash flowForward natural gas curves – price per MMBtu1.59 –2.46 1.91 
Duke Energy
Total Level 3 derivatives$(102)
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, 2020December 31, 2019
(in millions)Book ValueFair ValueBook ValueFair Value
Duke Energy(a)
$59,863 $69,292 $58,126 $63,062 
Duke Energy Carolinas12,218 14,917 11,900 13,516 
Progress Energy19,264 23,470 19,634 22,291 
Duke Energy Progress9,258 10,862 9,058 9,934 
Duke Energy Florida7,915 9,756 7,987 9,131 
Duke Energy Ohio3,089 3,650 2,619 2,964 
Duke Energy Indiana4,091 5,204 4,057 4,800 
Piedmont2,780 3,306 2,384 2,642 
(a)    Book value of long-term debt includes $1.3 billion as of December 31, 2020, and $1.5 billion as of December 31, 2019, of unamortized debt discount and premium, net in purchase accounting adjustments related to the mergers with Progress Energy and Piedmont that are excluded from fair value of long-term debt.
At both December 31, 2020, and December 31, 2019, 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.