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Risk Management, Derivative Instruments And Hedging Activities (Tables)
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9 Months Ended |
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Sep. 30, 2012
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| Notional Amounts Of Derivative Instruments Related To Interest Rate Risk |
| Notional Amounts of Derivative Instruments Related to Interest Rate | | | | | | | | | | | | | | | | | | | | Duke
Energy | | Duke
Energy
Carolinas | | Duke
Energy
Ohio | | Duke
Energy
Indiana | | (in millions) | | September 30, 2012 | | Cash Flow Hedges(a) | | $ | 869 | | $ | ― | | $ | ― | | $ | ― | | Undesignated Contracts | | | 342 | | | ― | | | 27 | | | 200 | | Fair Value Hedges | | | 275 | | | 25 | | | 250 | | | ― | | | Total Notional Amount | | $ | 1,486 | | $ | 25 | | $ | 277 | | $ | 200 | | | | | | | | | | | | | | | | | (in millions) | | December 31, 2011 | | Cash Flow Hedges(a) | | $ | 841 | | $ | ― | | $ | ― | | $ | ― | | Undesignated Contracts | | | 247 | | | ― | | | 27 | | | 200 | | Fair Value Hedges | | | 275 | | | 25 | | | 250 | | | ― | | | Total Notional Amount | | $ | 1,363 | | $ | 25 | | $ | 277 | | $ | 200 | | | | | | | | | | | | | | | | | (a) | Includes amounts related to non-recourse variable rate long-term debt of VIEs of $442 million at September 30, 2012 and $466 million at December 31, 2011. |
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| Underlying Notional Amounts for Commodity Derivative Instruments Accounted for at Fair Value |
| Underlying Notional Amounts for Commodity Derivative Instruments Accounted for At Fair Value | | | | | | | | | | | | Duke Energy | | Duke Energy Ohio | | | | September 30, 2012 | | Commodity contracts | | | | | | | Electricity-energy (Gigawatt-hours)(a)(c) | | 27,820 | | | 29,770 | | Electricity-capacity (Gigawatt-months) | | 5 | | | ― | | Oil (millions of gallons) | | 6 | | | ― | | Natural gas (millions of decatherms)(b) | | 436 | | | 131 | | | | | | | | | | | | December 31, 2011 | | Commodity contracts | | | | | | | Electricity-energy (Gigawatt-hours)(a) | | 14,118 | | | 14,655 | | Emission allowances NOX (thousands of tons) | | 9 | | | 9 | | Natural gas (millions of decatherms) | | 40 | | | 2 | | | | | | | | | | (a) | Amounts at Duke Energy Ohio include intercompany positions that are eliminated at Duke Energy. | | (b) | Amounts at Duke Energy include 297 million decatherms of natural gas relate to Progress Energy. | | (c) | Amounts at Duke Energy include amounts related to Duke Energy Carolinas and Progress Energy Carolinas Interim FERC mitigation contracts entered into as part of the Progress Energy merger. |
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| Location And Fair Value Amounts Of Derivatives Reflected In The Condensed Consolidated Balance Sheets |
| | The following tables show fair value amounts of derivative contracts, and the line item(s) in the Condensed Consolidated Balance Sheets | | in which such amounts are included. The fair values of derivative contracts are presented on a gross basis, even when the derivative instruments are subject to master netting arrangements where Duke Energy nets the fair value of derivative contracts subject to master netting arrangements with the same counterparty on the Condensed Consolidated Balance Sheets. Cash collateral payables and receivables associated with the derivative contracts have not been netted against the fair value amounts. | | | | | | | | | | | | | | | | Location and Fair Value Amounts of Derivatives Reflected in the Condensed Consolidated Balance Sheets | | | | | | | | | | | | | | | | | | Duke Energy | | Duke Energy Ohio | | | | September 30, 2012 | | (in millions) | Asset | | Liability | | Asset | | Liability | | Derivatives Designated as Hedging Instruments | | | | | | | | | | | | | Commodity contracts | | | | | | | | | | | | | Current Liabilities: Other | $ | ― | | $ | 1 | | $ | ― | | $ | ― | | Interest rate contracts | | | | | | | | | | | | | Current Assets: Other | | 5 | | | ― | | | 4 | | | ― | | Current Liabilities: Other | | ― | | | 11 | | | ― | | | ― | | Deferred Credits and Other Liabilities: Other | | ― | | | 107 | | | ― | | | ― | | Total Derivatives Designated as Hedging Instruments | $ | 5 | | $ | 119 | | $ | 4 | | $ | ― | | Derivatives Not Designated as Hedging Instruments | | | | | | | | | | | | | Commodity contracts | | | | | | | | | | | | | Current Assets: Other(a) | $ | 55 | | $ | 5 | | $ | 33 | | $ | 12 | | Investments and Other Assets: Other | | 35 | | | 1 | | | 16 | | | 1 | | Current Liabilities: Other | | 94 | | | 377 | | | 85 | | | 110 | | Deferred Credits and Other Liabilities: Other | | 55 | | | 325 | | | 39 | | | 51 | | Interest rate contracts | | | | | | | | | | | | | Current Liabilities: Other(b) | | ― | | | 96 | | | ― | | | 1 | | Deferred Credits and Other Liabilities: Other | | ― | | | 8 | | | ― | | | 8 | | Total Derivatives Not Designated as Hedging Instruments | $ | 239 | | $ | 812 | | $ | 173 | | $ | 183 | | Total Derivatives | $ | 244 | | $ | 931 | | $ | 177 | | $ | 183 | | | | | | | | | | | | | | | | (a) | Amount at Duke Energy includes $17 million related to commodity contracts at Duke Energy Indiana which receive regulatory accounting treatment. | | (b) | Amount at Duke Energy includes $71 million related to interest rate swaps at Duke Energy Indiana which receive regulatory accounting treatment. |
| | | Duke Energy | | Duke Energy Ohio | | | | December 31, 2011 | | (in millions) | Asset | | Liability | | Asset | | Liability | | Derivatives Designated as Hedging Instruments | | | | | | | | | | | | | Interest rate contracts | | | | | | | | | | | | | Current Assets: Other | $ | 4 | | $ | ― | | $ | 3 | | $ | ― | | Investments and Other Assets: Other | | 2 | | | ― | | | 2 | | | ― | | Current Liabilities: Other | | ― | | | 11 | | | ― | | | ― | | Deferred Credits and Other Liabilities: Other | | ― | | | 76 | | | ― | | | ― | | Total Derivatives Designated as Hedging Instruments | $ | 6 | | $ | 87 | | $ | 5 | | $ | ― | | Derivatives Not Designated as Hedging Instruments | | | | | | | | | | | | | Commodity contracts | | | | | | | | | | | | | Current Assets: Other | $ | 81 | | $ | 31 | | $ | 79 | | $ | 39 | | Investments and Other Assets: Other | | 35 | | | 17 | | | 29 | | | 18 | | Current Liabilities: Other | | 136 | | | 168 | | | 136 | | | 146 | | Deferred Credits and Other Liabilities: Other | | 25 | | | 93 | | | 22 | | | 33 | | Interest rate contracts | | | | | | | | | | | | | Current Liabilities: Other | | ― | | | 2 | | | ― | | | 1 | | Deferred Credits and Other Liabilities: Other(a) | | ― | | | 75 | | | ― | | | 8 | | Total Derivatives Not Designated as Hedging Instruments | $ | 277 | | $ | 386 | | $ | 266 | | $ | 245 | | Total Derivatives | $ | 283 | | $ | 473 | | $ | 271 | | $ | 245 | | | | | | | | | | | | | | | | (a) | Amounts at Duke Energy include $67 million related to interest rate swaps at Duke Energy Indiana which receive regulatory accounting treatment. |
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| Cash Flow Hedges-Location And Amount Of Pre-Tax (Losses) Recognized In Comprehensive Income |
| | The following table shows the amount of the gains and losses recognized on derivative instruments designated and qualifying as | | cash flow hedges by type of derivative contract, and the Condensed Consolidated Statements of Operations line items in which such gains and losses are included for Duke Energy. | | | | | | | | | | Cash Flow Hedges—Location and Amount of Pre-Tax Gains (Losses) Recognized in Comprehensive Income | | | | | | | | | | | | Three Months Ended | | | | September 30, | | (in millions) | 2012 | | 2011 | | Pre-tax Gains (Losses) Recorded in AOCI | | | | | | | Interest rate contracts | $ | (4) | | $ | (73) | | Commodity contracts | | 1 | | | ― | | Total Pre-tax Gains (Losses) Recorded in AOCI | $ | (3) | | $ | (73) | | Location of Pre-tax Gains (Losses) Reclassified from AOCI into Earnings(a) | | | | | | | Interest rate contracts | | | | | | | Interest expense | $ | 2 | | $ | (1) | | Total Pre-tax Gains (Losses) Reclassified from AOCI into Earnings | $ | 2 | | $ | (1) | | | | | | | | | | (a) | Represents the gains and losses on cash flow hedges previously recorded in AOCI during the term of the hedging relationship and reclassified into earnings during the current period. |
| | | Nine Months Ended | | | | September 30, | | (in millions) | 2012 | | 2011 | | Pre-tax Gains (Losses) Recorded in AOCI | | | | | | | Interest rate contracts | $ | (30) | | $ | (80) | | Commodity Contracts | | 1 | | | ― | | Total Pre-tax Gains (Losses) Recorded in AOCI | $ | (29) | | $ | (80) | | Location of Pre-tax Gains and (Losses) Reclassified from AOCI into Earnings(a) | | | | | | | Interest rate contracts | | | | | | | Interest expense | $ | ― | | $ | (4) | | Total Pre-tax Gains (Losses) Reclassified from AOCI into Earnings | $ | ― | | $ | (4) | | | | | | | | | | (a) | Represents the gains and losses on cash flow hedges previously recorded in AOCI during the term of the hedging relationship and reclassified into earnings during the current period. |
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| Undesignated Contracts - Location And Amount Of Pre-Tax Gains And (Losses) Recognized In Income Or As Regulatory Assets Or Liabilities |
| | The following tables show the amount of the pre-tax gains and losses recognized on undesignated contracts by type of derivative | | instrument, and the line item(s) in the Condensed Consolidated Statements of Comprehensive Income in which such gains and losses are included or deferred on the Condensed Consolidated Balance Sheets as regulatory assets or liabilities. | | | | Undesignated Contracts—Location and Amount of Pre-Tax Gains and (Losses) Recognized in Income or as Regulatory Assets | | or Liabilities | | | | | | | | | | | | | | | | | | Duke Energy | | Duke Energy Ohio | | | | Three Months Ended September 30, | | (in millions) | 2012 | | 2011 | | 2012 | | 2011 | | Location of Pre-tax Gains and (Losses) Recognized in Earnings | | | | | | | | | | | | | Commodity contracts | | | | | | | | | | | | | Revenue, regulated electric | $ | (22) | | $ | ― | | $ | ― | | $ | ― | | Revenue, non-regulated electric, natural gas and other | | (28) | | | ― | | | (42) | | | (6) | | Other income and expenses | | (1) | | | ― | | | ― | | | ― | | Fuel used in electric generation and purchased power - Regulated | | (135) | | | ― | | | ― | | | ― | | Interest rate contracts | | | | | | | | | | | | | Interest expense | | (4) | | | ― | | | ― | | | ― | | Total Pre-tax (Losses) Gains Recognized in Earnings | $ | (190) | | $ | ― | | $ | (42) | | $ | (6) | | Location of Pre-tax Gains and (Losses) Recognized as Regulatory Assets or Liabilities | | | | | | | | | | | | | Commodity contracts | | | | | | | | | | | | | Regulatory Asset | $ | 61 | | $ | 2 | | $ | ― | | $ | 2 | | Regulatory Liability(a) | | 12 | | | 2 | | | ― | | | ― | | Interest rate contracts | | | | | | | | | | | | | Regulatory Asset(b) | | 7 | | | (146) | | | ― | | | (4) | | Regulatory Liability(c) | | ― | | | (60) | | | ― | | | ― | | Total Pre-tax Gains (Losses) Recognized as Regulatory Assets or Liabilities | $ | 80 | | $ | (202) | | $ | ― | | $ | (2) | | | | | | | | | | | | | | | | (a) | Amounts relate to commodity contracts at Duke Energy Indiana for the three months ended September 30, 2012. | | (b) | Includes $82 million and $60 million related to interest rate swaps at Duke Energy Carolinas and Duke Energy Indiana, respectively for the three months ended September 30, 2011. | | (c) | Amounts relate to interest rate swaps at Duke Energy Carolinas for the three months ended September 30, 2011. | | | | | | | | | | | | | | |
| | | Duke Energy | | Duke Energy Ohio | | | | Nine Months Ended September 30, | | (in millions) | 2012 | | 2011 | | 2012 | | 2011 | | Location of Pre-tax Gains and (Losses) Recognized in Earnings | | | | | | | | | | | | | Commodity contracts | | | | | | | | | | | | | Revenue, regulated electric | $ | (22) | | $ | ― | | $ | ― | | $ | ― | | Revenue, non-regulated electric, natural gas and other | | 8 | | | (25) | | | 33 | | | (28) | | Other income and expenses | | (1) | | | ― | | | ― | | | ― | | Fuel used in electric generation and purchased power - Regulated | | (135) | | | ― | | | ― | | | ― | | Fuel used in electric generation and purchased power - non-regulated | | ― | | | (1) | | | ― | | | (1) | | Interest rate contracts | | | | | | | | | | | | | Interest expense | | (4) | | | ― | | | (1) | | | (1) | | Total Pre-tax (Losses) Gains Recognized in Earnings | $ | (154) | | $ | (26) | | $ | 32 | | $ | (30) | | Location of Pre-tax Gains and (Losses) Recognized as Regulatory Assets or Liabilities | | | | | | | | | | | | | Commodity contracts | | | | | | | | | | | | | Regulatory Asset | $ | 61 | | $ | 1 | | $ | (2) | | $ | 1 | | Regulatory Liability(a) | | 34 | | | 12 | | | 1 | | | ― | | Interest rate contracts | | | | | | | | | | | | | Regulatory Asset(b) | | (3) | | | (155) | | | ― | | | (4) | | Regulatory Liability(c) | | ― | | | (60) | | | ― | | | ― | | Total Pre-tax Gains (Losses) Recognized as Regulatory Assets or Liabilities | $ | 92 | | $ | (202) | | $ | (1) | | $ | (3) | | | | | | | | | | | | | | | | (a) | Amounts relate to commodity contracts at Duke Energy Indiana for the nine months ended September 30, 2012 | | (b) | Includes $91 million and $60 million related to interest rate swaps at Duke Energy Carolinas and Duke Energy Indiana, respectively for the nine months ended September 30, 2011. | | (c) | Amounts relate to interest rate swaps at Duke Energy Carolinas for the nine months ended September 30, 2011. |
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| Schedule Of Information Regarding Derivative Instruments That Contain Credit-Risk Related Contingent Features |
| Information Regarding Derivative Instruments that Contain Credit-risk Related Contingent Features | | | | | | | | | | | | | | Duke Energy | | Duke Energy Ohio | | (in millions) | | September 30, 2012 | | Aggregate Fair Value Amounts of Derivative Instruments in a Net Liability Position | | $ | 524 | | $ | 195 | | Collateral Already Posted | | $ | 158 | | $ | 84 | | Additional Cash Collateral or Letters of Credit in the Event Credit-risk-related Contingent Features were Triggered at the End of the Reporting Period | | $ | 259 | | $ | 7 | | | | | | | | | | | (in millions) | | December 31, 2011 | | Aggregate Fair Value Amounts of Derivative Instruments in a Net Liability Position | | $ | 96 | | $ | 94 | | Collateral Already Posted | | $ | 36 | | $ | 35 | | Additional Cash Collateral or Letters of Credit in the Event Credit-risk-related Contingent Features were Triggered at the End of the Reporting Period | | $ | 5 | | $ | 5 |
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| Schedule Of Cash Collateral Under Master Netting Arrangements |
| Information Regarding Cash Collateral under Master Netting Arrangements | | | | | | | | | | | | | | | | | | Duke Energy | | Duke Energy Ohio | | | | September 30, 2012 | | (in millions) | Receivables | | Payable | | Receivables | | Payable | | Amounts offset against net derivative positions | $ | 93 | | $ | ― | | $ | 20 | | $ | ― | | Amounts not offset against net derivative positions | $ | 72 | | $ | ― | | $ | 70 | | $ | ― | | | | | | | | | | | | | | | | | | December 31, 2011 | | (in millions) | Receivables | | Payable | | Receivables | | Payable | | Amounts offset against net derivative positions | $ | 10 | | $ | ― | | $ | 9 | | $ | ― | | Amounts not offset against net derivative positions | $ | 30 | | $ | ― | | $ | 28 | | $ | ― |
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