Fair Value Measurements (Tables)
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6 Months Ended |
Jun. 30, 2013
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Fair Value Disclosures [Abstract] |
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Financial assets and liabilities and other fair value measurements |
Recurring Fair Value Measurements - NEE's and FPL's financial assets and liabilities and other fair value measurements made on a recurring basis by fair value hierarchy level are as follows:
| | | | | | | | | | | | | | | | | | | | | | | June 30, 2013 | | | Quoted Prices in Active Markets for Identical Assets or Liabilities (Level 1) | | Significant Other Observable Inputs (Level 2) | | Significant Unobservable Inputs (Level 3) | | Netting(a) | | Total | | | (millions) | | Assets: | | | | | | | | | | | Cash equivalents: | | | | | | | | | | | NEE - equity securities | $ | 66 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | 66 |
| | FPL - equity securities | $ | 5 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | 5 |
| | Special use funds: | | | | | | | | | | | NEE: | | | | | | | | | | | Equity securities | $ | 976 |
| | $ | 1,396 |
| (b) | $ | — |
| | $ | — |
| | $ | 2,372 |
| | U.S. Government and municipal bonds | $ | 500 |
| | $ | 150 |
| | $ | — |
| | $ | — |
| | $ | 650 |
| | Corporate debt securities | $ | — |
| | $ | 559 |
| | $ | — |
| | $ | — |
| | $ | 559 |
| | Mortgage-backed securities | $ | — |
| | $ | 519 |
| | $ | — |
| | $ | — |
| | $ | 519 |
| | Other debt securities | $ | 18 |
| | $ | 33 |
| | $ | — |
| | $ | — |
| | $ | 51 |
| | FPL: | | | | | | | | | | | Equity securities | $ | 207 |
| | $ | 1,258 |
| (b) | $ | — |
| | $ | — |
| | $ | 1,465 |
| | U.S. Government and municipal bonds | $ | 430 |
| | $ | 127 |
| | $ | — |
| | $ | — |
| | $ | 557 |
| | Corporate debt securities | $ | — |
| | $ | 387 |
| | $ | — |
| | $ | — |
| | $ | 387 |
| | Mortgage-backed securities | $ | — |
| | $ | 440 |
| | $ | — |
| | $ | — |
| | $ | 440 |
| | Other debt securities | $ | 18 |
| | $ | 23 |
| | $ | — |
| | $ | — |
| | $ | 41 |
| | Other investments: | | | | | | | | | | | NEE: | | | | | | | | | | | Equity securities | $ | 59 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | 59 |
| | U.S. Government and municipal bonds | $ | 5 |
| | $ | 9 |
| | $ | — |
| | $ | — |
| | $ | 14 |
| | Corporate debt securities | $ | — |
| | $ | 60 |
| | $ | — |
| | $ | — |
| | $ | 60 |
| | Mortgage-backed securities | $ | — |
| | $ | 41 |
| | $ | — |
| | $ | — |
| | $ | 41 |
| | Other | $ | 5 |
| | $ | 6 |
| | $ | — |
| | $ | — |
| | $ | 11 |
| | Derivatives: | | | | | | | | | | | NEE: | | | | | | | | | | | Commodity contracts | $ | 1,168 |
| | $ | 2,022 |
| | $ | 762 |
| | $ | (2,716 | ) | | $ | 1,236 |
| (c) | Interest rate swaps | $ | — |
| | $ | 70 |
| | $ | — |
| | $ | — |
| | $ | 70 |
| (c) | FPL - commodity contracts | $ | — |
| | $ | 15 |
| | $ | 2 |
| | $ | (15 | ) | | $ | 2 |
| (c) | Liabilities: | | | | | | | | | | | Derivatives: | | | | | | | | | | | NEE: | | | | | | | | | | | Commodity contracts | $ | 1,188 |
| | $ | 1,681 |
| | $ | 287 |
| | $ | (2,565 | ) | | $ | 591 |
| (c) | Interest rate swaps | $ | — |
| | $ | 133 |
| | $ | 91 |
| | $ | — |
| | $ | 224 |
| (c) | Foreign currency swaps | $ | — |
| | $ | 126 |
| | $ | — |
| | $ | — |
| | $ | 126 |
| (c) | FPL - commodity contracts | $ | — |
| | $ | 60 |
| | $ | 3 |
| | $ | (15 | ) | | $ | 48 |
| (c) |
———————————— | | (a) | Includes the effect of the contractual ability to settle contracts under master netting arrangements and margin cash collateral payments and receipts. NEE also has contract settlement receivable and payable balances that are subject to the master netting arrangements but are not offset within the condensed consolidated balance sheets and are recorded in customer receivables - net and accounts payable, respectively. |
| | (b) | At NEE, approximately $1,382 million ($1,244 million at FPL) are invested in commingled funds whose underlying investments would be Level 1 if those investments were held directly by NEE or FPL. |
| | (c) | See Note 2 for a reconciliation of net derivatives to NEE's and FPL's condensed consolidated balance sheets. |
| | | | | | | | | | | | | | | | | | | | | | | December 31, 2012 | | | Quoted Prices in Active Markets for Identical Assets or Liabilities (Level 1) | | Significant Other Observable Inputs (Level 2) | | Significant Unobservable Inputs (Level 3) | | Netting(a) | | Total | | | (millions) | | Assets: | | | | | | | | | | | Cash equivalents: | | | | | | | | | | | NEE - equity securities | $ | 23 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | 23 |
| | FPL - equity securities | $ | 5 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | 5 |
| | Special use funds: | | | | | | | | | | | NEE: | | | | | | | | | | | Equity securities | $ | 914 |
| | $ | 1,240 |
| (b) | $ | — |
| | $ | — |
| | $ | 2,154 |
| | U.S. Government and municipal bonds | $ | 451 |
| | $ | 143 |
| | $ | — |
| | $ | — |
| | $ | 594 |
| | Corporate debt securities | $ | — |
| | $ | 572 |
| | $ | — |
| | $ | — |
| | $ | 572 |
| | Mortgage-backed securities | $ | — |
| | $ | 560 |
| | $ | — |
| | $ | — |
| | $ | 560 |
| | Other debt securities | $ | 15 |
| | $ | 26 |
| | $ | — |
| | $ | — |
| | $ | 41 |
| | FPL: | | | | | | | | | | | Equity securities | $ | 217 |
| | $ | 1,118 |
| (b) | $ | — |
| | $ | — |
| | $ | 1,335 |
| | U.S. Government and municipal bonds | $ | 390 |
| | $ | 119 |
| | $ | — |
| | $ | — |
| | $ | 509 |
| | Corporate debt securities | $ | — |
| | $ | 397 |
| | $ | — |
| | $ | — |
| | $ | 397 |
| | Mortgage-backed securities | $ | — |
| | $ | 475 |
| | $ | — |
| | $ | — |
| | $ | 475 |
| | Other debt securities | $ | 16 |
| | $ | 16 |
| | $ | — |
| | $ | — |
| | $ | 32 |
| | Other investments: | | | | | | | | | | | NEE: | | | | | | | | | | | Equity securities | $ | 7 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | 7 |
| | U.S. Government and municipal bonds | $ | 6 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | 6 |
| | Corporate debt securities | $ | — |
| | $ | 53 |
| | $ | — |
| | $ | — |
| | $ | 53 |
| | Mortgage-backed securities | $ | — |
| | $ | 47 |
| | $ | — |
| | $ | — |
| | $ | 47 |
| | Other | $ | 5 |
| | $ | 6 |
| | $ | — |
| | $ | — |
| | $ | 11 |
| | Derivatives: | | | | | | | | | | | NEE: | | | | | | | | | | | Commodity contracts | $ | 1,187 |
| | $ | 2,251 |
| | $ | 794 |
| | $ | (2,871 | ) | | $ | 1,361 |
| (c) | Interest rate swaps | $ | — |
| | $ | 76 |
| | $ | — |
| | $ | — |
| | $ | 76 |
| (c) | FPL - commodity contracts | $ | — |
| | $ | 14 |
| | $ | 3 |
| | $ | (12 | ) | | $ | 5 |
| (c) | Liabilities: | | | | | | | | | | | Derivatives: | | | | | | | | | | | NEE: | | | | | | | | | | | Commodity contracts | $ | 1,240 |
| | $ | 1,844 |
| | $ | 228 |
| | $ | (2,748 | ) | | $ | 564 |
| (c) | Interest rate swaps | $ | — |
| | $ | 387 |
| | $ | — |
| | $ | — |
| | $ | 387 |
| (c) | Foreign currency swaps | $ | — |
| | $ | 66 |
| | $ | — |
| | $ | — |
| | $ | 66 |
| (c) | FPL - commodity contracts | $ | — |
| | $ | 31 |
| | $ | 1 |
| | $ | (12 | ) | | $ | 20 |
| (c) |
———————————— | | (a) | Includes the effect of the contractual ability to settle contracts under master netting arrangements and margin cash collateral payments and receipts. NEE also has contract settlement receivable and payable balances that are subject to the master netting arrangements but are not offset within the condensed consolidated balance sheets and are recorded in customer receivables - net and accounts payable, respectively. |
| | (b) | At NEE, approximately $1,214 million ($1,093 million at FPL) are invested in commingled funds whose underlying investments would be Level 1 if those investments were held directly by NEE or FPL. |
| | (c) | See Note 2 for a reconciliation of net derivatives to NEE's and FPL's condensed consolidated balance sheets. |
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Significant unobservable inputs used in valuation of contracts categorized as Level 3 |
The significant unobservable inputs used in the valuation of NEE's commodity contracts categorized as Level 3 of the fair value hierarchy at June 30, 2013 are as follows:
| | | | | | | | | | | | | | Transaction Type | | Fair Value at June 30, 2013 | | Valuation Technique(s) | | Significant Unobservable Inputs | | Range | | | Assets | | Liabilities | | | | | | | | | | | (millions) | | | | | | | | | Forward contracts - power | | $380 | | $85 | | Discounted cash flow | | Forward price (per mwh) | | $9 | — | $196 | Forward contracts - gas | | $25 | | $16 | | Discounted cash flow | | Forward price (per mmbtu) | | $3 | — | $7 | Forward contracts - other commodity related | | $11 | | $7 | | Discounted cash flow | | Forward price (various) | | $1 | — | $245 | Options - power | | $105 | | $130 | | Option models | | Implied correlations | | 12% | — | 98% | | | | | | | | | Implied volatilities | | 1% | — | 156% | Options - gas | | $26 | | $24 | | Option models | | Implied correlations | | 12% | — | 98% | | | | | | | | | Implied volatilities | | 1% | — | 33% | Full requirements and unit contingent contracts | | $215 | | $25 | | Discounted cash flow | | Forward price (per mwh) | | $(4) | — | $152 | | | | | | | | | Customer migration rate(a) | | —% | — | 20% |
—————————— | | (a) | Applies only to full requirements contracts. |
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Reconciliation of changes in the fair value of derivatives measured based on significant unobservable inputs |
The reconciliation of changes in the fair value of derivatives that are based on significant unobservable inputs is as follows:
| | | | | | | | | | | | | | | | | | Three Months Ended June 30, | | 2013 | | 2012 | | NEE | | FPL | | NEE | | FPL | | (millions) | Fair value of net derivatives based on significant unobservable inputs at March 31 | $ | 522 |
| | $ | 2 |
| | $ | 589 |
| | $ | 7 |
| Realized and unrealized gains (losses): | |
| | |
| | |
| | |
| Included in earnings(a) | 13 |
| | — |
| | 53 |
| | — |
| Included in regulatory assets and liabilities | (3 | ) | | (3 | ) | | 2 |
| | 2 |
| Purchases | 21 |
| | — |
| | 23 |
| | — |
| Settlements | (23 | ) | | — |
| | (58 | ) | | (2 | ) | Issuances | (30 | ) | | — |
| | (23 | ) | | — |
| Transfers in(b) | (114 | ) | | — |
| | — |
| | — |
| Transfers out(b) | (2 | ) | | — |
| | (11 | ) | | — |
| Fair value of net derivatives based on significant unobservable inputs at June 30 | $ | 384 |
| | $ | (1 | ) | | $ | 575 |
| | $ | 7 |
| The amount of gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to derivatives still held at the reporting date(c) | $ | 12 |
| | $ | — |
| | $ | 76 |
| | $ | — |
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———————————— | | (a) | For the three months ended June 30, 2013, realized and unrealized gains of approximately $2 million are reflected in the condensed consolidated statements of income in operating revenues and $11 million in interest expense. For the three months ended June 30, 2012, realized and unrealized gains of approximately $53 million are reflected in the condensed consolidated statements of income in operating revenues. |
| | (b) | Transfers into Level 3 were a result of decreased observability of market data and, in 2013, the use of a significant credit valuation adjustment. Transfers from Level 3 to Level 2 were a result of increased observability of market data. NEE's and FPL's policy is to recognize all transfers at the beginning of the reporting period. |
| | (c) | For the three months ended June 30, 2013, unrealized gains of less than $1 million are reflected in the condensed consolidated statements of income in operating revenues and approximately $11 million in interest expense. For the three months ended June 30, 2012, unrealized gains of approximately $76 million are reflected in the condensed consolidated statements of income in operating revenues. |
| | | | | | | | | | | | | | | | | | Six Months Ended June 30, | | 2013 | | 2012 | | NEE | | FPL | | NEE | | FPL | | (millions) | Fair value of net derivatives based on significant unobservable inputs at December 31 of prior year | $ | 566 |
| | $ | 2 |
| | $ | 486 |
| | $ | 4 |
| Realized and unrealized gains (losses): | | | | | | | | Included in earnings(a) | 10 |
| | — |
| | 284 |
| | — |
| Included in regulatory assets and liabilities | (2 | ) | | (2 | ) | | 6 |
| | 6 |
| Purchases | 70 |
| | — |
| | 181 |
| | — |
| Settlements | (56 | ) | | (1 | ) | | (182 | ) | | (3 | ) | Issuances | (94 | ) | | — |
| | (200 | ) | | — |
| Transfers in(b) | (114 | ) | | — |
| | 16 |
| | — |
| Transfers out(b) | 4 |
| | — |
| | (16 | ) | | — |
| Fair value of net derivatives based on significant unobservable inputs at June 30 | $ | 384 |
| | $ | (1 | ) | | $ | 575 |
| | $ | 7 |
| The amount of gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to derivatives still held at the reporting date(c) | $ | 40 |
| | $ | — |
| | $ | 190 |
| | $ | — |
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———————————— | | (a) | For the six months ended June 30, 2013, realized and unrealized gains (losses) of approximately $1 million are reflected in the condensed consolidated statements of income in operating revenues, $11 million in interest expense and the balance is reflected in fuel, purchased power and interchange. For the six months ended June 30, 2012, realized and unrealized gains of approximately $281 million are reflected in the condensed consolidated statements of income in operating revenues and the balance is reflected in fuel, purchased power and interchange. |
| | (b) | Transfers into Level 3 were a result of decreased observability of market data and, in 2013, the use of a significant credit valuation adjustment. Transfers from Level 3 to Level 2 were a result of increased observability of market data. NEE's and FPL's policy is to recognize all transfers at the beginning of the reporting period. |
| | (c) | For the six months ended June 30, 2013, unrealized gains (losses) of approximately $32 million are reflected in the condensed consolidated statements of income in operating revenues, $11 million in interest expense and the balance is reflected in fuel, purchased power and interchange. For the six months ended June 30, 2012, unrealized gains of approximately $189 million are reflected in the condensed consolidated statements of income in operating revenues and the balance is reflected in fuel, purchased power and interchange |
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