Derivatives and Hedging (Tables)

9 Months Ended

Sep. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Notional Amounts of Outstanding Derivative Positions

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



	September 30, 2020
			Duke				Duke		Duke		Duke
	Duke		Energy		Progress		Energy		Energy		Energy
(in millions)	Energy		Carolinas		Energy		Progress		Florida		Ohio
Cash flow hedges	$	653	$	—	$	—	$	—	$	—	$	—
Undesignated contracts	1,177		400		750		750		—		27
Total notional amount^(a)	$	1,830	$	400	$	750	$	750	$	—	$	27



	December 31, 2019
			Duke				Duke		Duke		Duke
	Duke		Energy		Progress		Energy		Energy		Energy
(in millions)	Energy		Carolinas		Energy		Progress		Florida		Ohio
Cash flow hedges	$	993	$	—	$	—	$	—	$	—	$	—
Undesignated contracts	1,277		450		800		250		550		27
Total notional amount^(a)	$	2,270	$	450	$	800	$	250	$	550	$	27

(a)

Duke Energy includes amounts related to consolidated VIEs of $653 million in cash flow hedges as of September 30, 2020, and $693 million in cash flow hedges as of December 31, 2019.

The tables below include 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, 2020
		Duke		Duke	Duke	Duke
	Duke	Energy	Progress	Energy	Energy	Energy
	Energy	Carolinas	Energy	Progress	Ohio	Indiana	Piedmont
Electricity (GWh)^(a)	32,314	—	—	—	4,126	17,072	—
Natural gas (millions of dekatherms)	683	143	156	156	—	2	382



	December 31, 2019
		Duke		Duke	Duke	Duke
	Duke	Energy	Progress	Energy	Energy	Energy
	Energy	Carolinas	Energy	Progress	Ohio	Indiana	Piedmont
Electricity (GWh)	15,858	—	—	—	1,887	13,971	—
Natural gas (millions of dekatherms)	704	130	160	160	—	3	411

(a)

Duke Energy includes 11,116 GWh that relates to cash flow hedges.

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, 2020
			Duke				Duke		Duke		Duke		Duke
	Duke		Energy		Progress		Energy		Energy		Energy		Energy
(in millions)	Energy		Carolinas		Energy		Progress		Florida		Ohio		Indiana		Piedmont
Commodity Contracts
Not Designated as Hedging Instruments
Current	$	57	$	24	$	18	$	18	$	—	$	2	$	8	$	6
Noncurrent	26		14		12		12		—		—		—		—
Total Derivative Assets – Commodity Contracts	$	83	$	38	$	30	$	30	$	—	$	2	$	8	$	6
Interest Rate Contracts
Not Designated as Hedging Instruments
Current	$	3	$	—	$	3	$	3	$	—	$	—	$	—	$	—
Noncurrent	—		—		—		—		—		—		—		—
Total Derivative Assets – Interest Rate Contracts	$	3	$	—	$	3	$	3	$	—	$	—	$	—	$	—
Total Derivative Assets	$	86	$	38	$	33	$	33	$	—	$	2	$	8	$	6



Derivative Liabilities	September 30, 2020
			Duke				Duke		Duke		Duke		Duke
	Duke		Energy		Progress		Energy		Energy		Energy		Energy
(in millions)	Energy		Carolinas		Energy		Progress		Florida		Ohio		Indiana		Piedmont
Commodity Contracts
Designated as Hedging Instruments
Current	$	17	$	—	$	—	$	—	$	—	$	—	$	—	—
Noncurrent	85		—		—		—		—		—		—		—
Not Designated as Hedging Instruments
Current	$	26	$	12	$	—	$	—	$	—	$	1	$	—	$	13
Noncurrent	129		4		27		11		—		—		—		98
Total Derivative Liabilities – Commodity Contracts	$	257	$	16	$	27	$	11	$	—	$	1	$	—	$	111
Interest Rate Contracts
Designated as Hedging Instruments
Current	$	14	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Noncurrent	56		—		—		—		—		—		—		—
Not Designated as Hedging Instruments
Current	27		17		9		9		—		1		—		—
Noncurrent	5		—		—		—		—		5		—		—
Total Derivative Liabilities – Interest Rate Contracts	$	102	$	17	$	9	$	9	$	—	$	6	$	—	$	—
Total Derivative Liabilities	$	359	$	33	$	36	$	20	$	—	$	7	$	—	$	111



Derivative Assets	December 31, 2019
			Duke				Duke		Duke		Duke		Duke
	Duke		Energy		Progress		Energy		Energy		Energy		Energy
(in millions)	Energy		Carolinas		Energy		Progress		Florida		Ohio		Indiana		Piedmont
Commodity Contracts
Not Designated as Hedging Instruments
Current	$	17	$	—	$	—	$	—	$	—	$	3	$	13	$	1
Noncurrent	1		—		—		—		—		1		—		—
Total Derivative Assets – Commodity Contracts	$	18	$	—	$	—	$	—	$	—	$	4	$	13	$	1
Interest Rate Contracts
Not Designated as Hedging Instruments
Current	6		—		6		—		6		—		—		—
Total Derivative Assets – Interest Rate Contracts	$	6	$	—	$	6	$	—	$	6	$	—	$	—	$	—
Equity Securities Contracts
Not Designated as Hedging Instruments
Current	1		—		1		—		1		—		—		—
Total Derivative Assets – Equity Securities Contracts	$	1	$	—	$	1	$	—	$	1	$	—	$	—	$	—
Total Derivative Assets	$	25	$	—	$	7	$	—	$	7	$	4	$	13	$	1



Derivative Liabilities	December 31, 2019
			Duke				Duke		Duke		Duke		Duke
	Duke		Energy		Progress		Energy		Energy		Energy		Energy
(in millions)	Energy		Carolinas		Energy		Progress		Florida		Ohio		Indiana		Piedmont
Commodity Contracts
Not Designated as Hedging Instruments
Current	$	67	$	33	$	26	$	26	$	—	$	—	$	1	$	7
Noncurrent	156		10		37		22		—		—		—		110
Total Derivative Liabilities – Commodity Contracts	$	223	$	43	$	63	$	48	$	—	$	—	$	1	$	117
Interest Rate Contracts
Designated as Hedging Instruments
Current	$	19	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Noncurrent	21		—		—		—		—		—		—		—
Not Designated as Hedging Instruments
Current	8		6		1		1		—		1		—		—
Noncurrent	5		—		—		—		—		5		—		—
Total Derivative Liabilities – Interest Rate Contracts	$	53	$	6	$	1	$	1	$	—	$	6	$	—	$	—
Equity Securities Contracts
Not Designated as Hedging Instruments
Current	24		—		24		—		24		—		—		—
Total Derivative Liabilities – Equity Securities Contracts	$	24	$	—	$	24	$	—	$	24	$	—	$	—	$	—
Total Derivative Liabilities	$	300	$	49	$	88	$	49	$	24	$	6	$	1	$	117

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, 2020
				Duke					Duke			Duke		Duke		Duke
	Duke			Energy		Progress			Energy			Energy		Energy		Energy
(in millions)	Energy			Carolinas		Energy			Progress			Florida		Ohio		Indiana		Piedmont
Current
Gross amounts recognized	$	60		$	24	$	21		$	21		$	—	$	2	$	8	$	6
Gross amounts offset	(1		)	—		—			—			—		—		—		—
Net amounts presented in Current Assets: Other	$	59		$	24	$	21		$	21		$	—	$	2	$	8	$	6
Noncurrent
Gross amounts recognized	$	26		$	14	$	12		$	12		$	—	$	—	$	—	$	—
Gross amounts offset	(8		)	—		(8		)	(8		)	—		—		—		—
Net amounts presented in Other Noncurrent Assets: Other	$	18		$	14	$	4		$	4		$	—	$	—	$	—	$	—



Derivative Liabilities	September 30, 2020
				Duke					Duke			Duke		Duke		Duke
	Duke			Energy		Progress			Energy			Energy		Energy		Energy
(in millions)	Energy			Carolinas		Energy			Progress			Florida		Ohio		Indiana		Piedmont
Current
Gross amounts recognized	$	84		$	29	$	9		$	9		$	—	$	2	$	—	$	13
Gross amounts offset	(1		)	—		—			—			—		—		—		—
Net amounts presented in Current Liabilities: Other	$	83		$	29	$	9		$	9		$	—	$	2	$	—	$	13
Noncurrent
Gross amounts recognized	$	275		$	4	$	27		$	11		$	—	$	5	$	—	$	98
Gross amounts offset	(8		)	—		(8		)	(8		)	—		—		—		—
Net amounts presented in Other Noncurrent Liabilities: Other	$	267		$	4	$	19		$	3		$	—	$	5	$	—	$	98



Derivative Assets	December 31, 2019
				Duke					Duke		Duke			Duke		Duke
	Duke			Energy		Progress			Energy		Energy			Energy		Energy
(in millions)	Energy			Carolinas		Energy			Progress		Florida			Ohio		Indiana		Piedmont
Current
Gross amounts recognized	$	24		$	—	$	7		$	—	$	7		$	3	$	13	$	1
Gross amounts offset	(1		)	—		(1		)	—		(1		)	—		—		—
Net amounts presented in Current Assets: Other	$	23		$	—	$	6		$	—	$	6		$	3	$	13	$	1
Noncurrent
Gross amounts recognized	$	1		$	—	$	—		$	—	$	—		$	1	$	—	$	—
Gross amounts offset	—			—		—			—		—			—		—		—
Net amounts presented in Other Noncurrent Assets: Other	$	1		$	—	$	—		$	—	$	—		$	1	$	—	$	—



Derivative Liabilities	December 31, 2019
				Duke					Duke		Duke			Duke		Duke
	Duke			Energy		Progress			Energy		Energy			Energy		Energy
(in millions)	Energy			Carolinas		Energy			Progress		Florida			Ohio		Indiana		Piedmont
Current
Gross amounts recognized	$	118		$	39	$	51		$	27	$	24		$	1	$	1	$	7
Gross amounts offset	(24		)	—		(24		)	—		(24		)	—		—		—
Net amounts presented in Current Liabilities: Other	$	94		$	39	$	27		$	27	$	—		$	1	$	1	$	7
Noncurrent
Gross amounts recognized	$	182		$	10	$	37		$	22	$	—		$	5	$	—	$	110
Gross amounts offset	—			—		—			—		—			—		—		—
Net amounts presented in Other Noncurrent Liabilities: Other	$	182		$	10	$	37		$	22	$	—		$	5	$	—	$	110

Offsetting Liabilities



Derivative Assets	September 30, 2020
				Duke					Duke			Duke		Duke		Duke
	Duke			Energy		Progress			Energy			Energy		Energy		Energy
(in millions)	Energy			Carolinas		Energy			Progress			Florida		Ohio		Indiana		Piedmont
Current
Gross amounts recognized	$	60		$	24	$	21		$	21		$	—	$	2	$	8	$	6
Gross amounts offset	(1		)	—		—			—			—		—		—		—
Net amounts presented in Current Assets: Other	$	59		$	24	$	21		$	21		$	—	$	2	$	8	$	6
Noncurrent
Gross amounts recognized	$	26		$	14	$	12		$	12		$	—	$	—	$	—	$	—
Gross amounts offset	(8		)	—		(8		)	(8		)	—		—		—		—
Net amounts presented in Other Noncurrent Assets: Other	$	18		$	14	$	4		$	4		$	—	$	—	$	—	$	—



Derivative Liabilities	September 30, 2020
				Duke					Duke			Duke		Duke		Duke
	Duke			Energy		Progress			Energy			Energy		Energy		Energy
(in millions)	Energy			Carolinas		Energy			Progress			Florida		Ohio		Indiana		Piedmont
Current
Gross amounts recognized	$	84		$	29	$	9		$	9		$	—	$	2	$	—	$	13
Gross amounts offset	(1		)	—		—			—			—		—		—		—
Net amounts presented in Current Liabilities: Other	$	83		$	29	$	9		$	9		$	—	$	2	$	—	$	13
Noncurrent
Gross amounts recognized	$	275		$	4	$	27		$	11		$	—	$	5	$	—	$	98
Gross amounts offset	(8		)	—		(8		)	(8		)	—		—		—		—
Net amounts presented in Other Noncurrent Liabilities: Other	$	267		$	4	$	19		$	3		$	—	$	5	$	—	$	98



Derivative Assets	December 31, 2019
				Duke					Duke		Duke			Duke		Duke
	Duke			Energy		Progress			Energy		Energy			Energy		Energy
(in millions)	Energy			Carolinas		Energy			Progress		Florida			Ohio		Indiana		Piedmont
Current
Gross amounts recognized	$	24		$	—	$	7		$	—	$	7		$	3	$	13	$	1
Gross amounts offset	(1		)	—		(1		)	—		(1		)	—		—		—
Net amounts presented in Current Assets: Other	$	23		$	—	$	6		$	—	$	6		$	3	$	13	$	1
Noncurrent
Gross amounts recognized	$	1		$	—	$	—		$	—	$	—		$	1	$	—	$	—
Gross amounts offset	—			—		—			—		—			—		—		—
Net amounts presented in Other Noncurrent Assets: Other	$	1		$	—	$	—		$	—	$	—		$	1	$	—	$	—



Derivative Liabilities	December 31, 2019
				Duke					Duke		Duke			Duke		Duke
	Duke			Energy		Progress			Energy		Energy			Energy		Energy
(in millions)	Energy			Carolinas		Energy			Progress		Florida			Ohio		Indiana		Piedmont
Current
Gross amounts recognized	$	118		$	39	$	51		$	27	$	24		$	1	$	1	$	7
Gross amounts offset	(24		)	—		(24		)	—		(24		)	—		—		—
Net amounts presented in Current Liabilities: Other	$	94		$	39	$	27		$	27	$	—		$	1	$	1	$	7
Noncurrent
Gross amounts recognized	$	182		$	10	$	37		$	22	$	—		$	5	$	—	$	110
Gross amounts offset	—			—		—			—		—			—		—		—
Net amounts presented in Other Noncurrent Liabilities: Other	$	182		$	10	$	37		$	22	$	—		$	5	$	—	$	110

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.



	September 30, 2020
			Duke				Duke
	Duke		Energy		Progress		Energy
(in millions)	Energy		Carolinas		Energy		Progress
Aggregate fair value of derivatives in a net liability position	$	20	$	9	$	11	$	11
Fair value of collateral already posted	—		—		—		—
Additional cash collateral or letters of credit in the event credit-risk-related contingent features were triggered	20		9		11		11



	December 31, 2019
			Duke				Duke
	Duke		Energy		Progress		Energy
(in millions)	Energy		Carolinas		Energy		Progress
Aggregate fair value of derivatives in a net liability position	$	79	$	35	$	44	$	44
Fair value of collateral already posted	—		—		—		—
Additional cash collateral or letters of credit in the event credit-risk-related contingent features were triggered	79		35		44		44

- 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