Risk Management, Derivative Instruments And Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2012

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.

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.

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.

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.

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.

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

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	$	―