Derivatives and Hedging (Tables)

9 Months Ended

Sep. 30, 2016

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Notional Amounts of Outstanding Derivative Positions

The tables below show 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, 2016

Duke

Energy

Progress

Energy

Carolinas

Energy

Progress

Florida

Ohio

Indiana

Electricity (gigawatt-hours)

—

Natural gas (millions of decatherms)

375

292

116

176

—

December 31, 2015

Duke

Energy

Progress

Energy

Carolinas

Energy

Progress

Florida

Ohio

Indiana

Electricity (gigawatt-hours)

—

Natural gas (millions of decatherms)

398

332

117

215

—

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



	September 30, 2016
			Duke				Duke		Duke		Duke
	Duke		Energy		Progress		Energy		Energy		Energy
(in millions)	Energy		Carolinas		Energy		Progress		Florida		Ohio
Cash flow hedges^(a)	$	990	$	—	$	—	$	—	$	—	$	—
Undesignated contracts	927		400		500		250		250		27
Total notional amount	$	1,917	$	400	$	500	$	250	$	250	$	27



	December 31, 2015
			Duke				Duke		Duke		Duke
	Duke		Energy		Progress		Energy		Energy		Energy
(in millions)	Energy		Carolinas		Energy		Progress		Florida		Ohio
Cash flow hedges^(a)	$	700	$	—	$	—	$	—	$	—	$	—
Undesignated contracts	1,827		400		500		250		250		27
Total notional amount	$	2,527	$	400	$	500	$	250	$	250	$	27


(a)	Duke Energy includes amounts related to consolidated VIEs of $789 million and $497 million as of September 30, 2016 and December 31, 2015, respectively. In August 2016, Duke Energy entered into $326 million of interest rate swaps related to the solar facilities financing described in Note 6, including $103 million of 4-year swaps and $223 million of 18-year swaps.

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

The following tables show the fair value and balance sheet location of derivative instruments. 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, 2016
			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	$	40	$	5	$	12	$	7	$	5	$	3	$	20
Noncurrent	13		5		8		4		4		—		—
Total Derivative Assets – Commodity Contracts	$	53	$	10	$	20	$	11	$	9	$	3	$	20
Interest Rate Contracts
Designated as Hedging Instruments
Noncurrent	$	2	$	—	$	—	$	—	$	—	$	—	$	—
Not Designated as Hedging Instruments
Current	4		—		4		1		3		—		—
Noncurrent	7		—		7		3		4		—		—
Total Derivative Assets – Interest Rate Contracts	$	13	$	—	$	11	$	4	$	7	$	—	$	—
Total Derivative Assets	$	66	$	10	$	31	$	15	$	16	$	3	$	20



Derivative Liabilities	September 30, 2016
			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	$	67	$	5	$	62	$	9	$	53	$	—	$	—
Noncurrent	21		2		19		3		11		—		—
Total Derivative Liabilities – Commodity Contracts	$	88	$	7	$	81	$	12	$	64	$	—	$	—
Interest Rate Contracts
Designated as Hedging Instruments
Current	$	12	$	—	$	—	$	—	$	—	$	—	$	—
Noncurrent	46		—		—		—		—		—		—
Not Designated as Hedging Instruments
Current	1		—		—		—		—		1		—
Noncurrent	99		92		—		—		—		7		—
Total Derivative Liabilities – Interest Rate Contracts	$	158	$	92	$	—	$	—	$	—	$	8	$	—
Total Derivative Liabilities	$	246	$	99	$	81	$	12	$	64	$	8	$	—



Derivative Assets	December 31, 2015
			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	$	12	$	—	$	1	$	—	$	1	$	3	$	7
Noncurrent	4		—		4		—		4		—		—
Total Derivative Assets – Commodity Contracts	$	16	$	—	$	5	$	—	$	5	$	3	$	7
Interest Rate Contracts
Designated as Hedging Instruments
Noncurrent	$	4	$	—	$	—	$	—	$	—	$	—	$	—
Not Designated as Hedging Instruments
Current	6		—		6		2		2		—		—
Total Derivative Assets – Interest Rate Contracts	$	10	$	—	$	6	$	2	$	2	$	—	$	—
Total Derivative Assets	$	26	$	—	$	11	$	2	$	7	$	3	$	7



Derivative Liabilities	December 31, 2015
			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	$	256	$	32	$	222	$	77	$	145	$	—	$	—
Noncurrent	100		8		92		16		71		—		—
Total Derivative Liabilities – Commodity Contracts	$	356	$	40	$	314	$	93	$	216	$	—	$	—
Interest Rate Contracts
Designated as Hedging Instruments
Current	$	11	$	—	$	—	$	—	$	—	$	—	$	—
Noncurrent	33		—		—		—		—		—		—
Not Designated as Hedging Instruments
Current	4		—		3		—		—		1		—
Noncurrent	15		5		5		5		—		6		—
Total Derivative Liabilities – Interest Rate Contracts	$	63	$	5	$	8	$	5	$	—	$	7	$	—
Total Derivative Liabilities	$	419	$	45	$	322	$	98	$	216	$	7	$	—

Offsetting Assets

The following tables present the line items on the Condensed Consolidated Balance Sheets where derivatives are reported. Substantially all of Duke Energy's outstanding derivative contracts are subject to enforceable master netting arrangements. The Gross amounts offset in the tables below show the effect of these netting arrangements on financial position, and include collateral posted to offset the net position. The amounts shown are 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, 2016
				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	$	44		$	5		$	16		$	8		$	8		$	3	$	20
Gross amounts offset	(10		)	(3		)	(7		)	(4		)	(3		)	—		—
Net amounts presented in Current Assets: Other	$	34		$	2		$	9		$	4		$	5		$	3	$	20
Noncurrent
Gross amounts recognized	$	22		$	5		$	15		$	7		$	8		$	—	$	—
Gross amounts offset	(7		)	(2		)	(5		)	(2		)	(3		)	—		—
Net amounts presented in Investments and Other Assets: Other	$	15		$	3		$	10		$	5		$	5		$	—	$	—



Derivative Assets	December 31, 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	$	18		$	—	$	7		$	2	$	3		$	3	$	7
Gross amounts offset	(3		)	—		(2		)	—		(2		)	—		—
Net amounts presented in Current Assets: Other	$	15		$	—	$	5		$	2	$	1		$	3	$	7
Noncurrent
Gross amounts recognized	$	8		$	—	$	4		$	—	$	4		$	—	$	—
Gross amounts offset	(4		)	—		(4		)	—		(4		)	—		—
Net amounts presented in Investments and Other Assets: Other	$	4		$	—	$	—		$	—	$	—		$	—	$	—

Offsetting Liabilities



Derivative Liabilities	September 30, 2016
				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	$	80		$	5		$	62		$	9		$	53		$	1	$	—
Gross amounts offset	(10		)	(3		)	(7		)	(4		)	(3		)	—		—
Net amounts presented in Current Liabilities: Other	$	70		$	2		$	55		$	5		$	50		$	1	$	—
Noncurrent
Gross amounts recognized	$	166		$	94		$	19		$	3		$	11		$	7	$	—
Gross amounts offset	(7		)	(2		)	(5		)	(2		)	(3		)	—		—
Net amounts presented in Deferred Credits and Other Liabilities: Other	$	159		$	92		$	14		$	1		$	8		$	7	$	—



Derivative Liabilities	December 31, 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	$	271		$	32	$	225		$	77		$	145		$	1	$	—
Gross amounts offset	(22		)	—		(21		)	(1		)	(20		)	—		—
Net amounts presented in Current Liabilities: Other	$	249		$	32	$	204		$	76		$	125		$	1	$	—
Noncurrent
Gross amounts recognized	$	148		$	13	$	97		$	21		$	71		$	6	$	—
Gross amounts offset	(16		)	—		(15		)	—			(15		)	—		—
Net amounts presented in Deferred Credits and Other Liabilities: Other	$	132		$	13	$	82		$	21		$	56		$	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 Ohio and Duke Energy Indiana were not material.



	September 30, 2016
			Duke				Duke		Duke
	Duke		Energy		Progress		Energy		Energy
(in millions)	Energy		Carolinas		Energy		Progress		Florida
Aggregate fair value of derivatives in a net liability position	$	171	$	99	$	72	$	12	$	60
Fair value of collateral already posted	—		—		—		—		—
Additional cash collateral or letters of credit in the event credit-risk-related contingent features were triggered	171		99		72		12		60



	December 31, 2015
			Duke				Duke		Duke
	Duke		Energy		Progress		Energy		Energy
(in millions)	Energy		Carolinas		Energy		Progress		Florida
Aggregate fair value of derivatives in a net liability position	$	334	$	45	$	290	$	93	$	194
Fair value of collateral already posted	30		—		30		—		30
Additional cash collateral or letters of credit in the event credit-risk-related contingent features were triggered	304		45		260		93		164

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 arrangement. Amounts disclosed below represent the receivables related to the right to reclaim cash collateral under master netting arrangements. All receivables presented below were offset against net derivative positions on the Condensed Consolidated Balance Sheets.



	September 30, 2016		December 31, 2015
(in millions)	Receivables		Receivables
Duke Energy	$	—	$	30
Progress Energy	—		30
Duke Energy Florida	—		30

- 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