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Derivative Instruments (Tables) | 3 Months Ended
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Mar. 31, 2021
Derivative [Line Items] |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value | The tables below present NEE's and FPL's gross derivative positions at March 31, 2021 and December 31, 2020, as required by disclosure rules. However, the majority of the underlying contracts are subject to master netting agreements and generally would not be contractually settled on a gross basis. Therefore, the tables below also present the derivative positions on a net basis, which reflect the offsetting of positions of certain transactions within the portfolio, the contractual ability to settle contracts under master netting arrangements and the netting of margin cash collateral, as well as the location of the net derivative position on the condensed consolidated balance sheets.
| March 31, 2021
| Level 1 |  | Level 2 |  | Level 3 |  | Netting(a) |  | Total
| (millions)
Assets: |  |  |  |  |  |  |  |  |
NEE: |  |  |  |  |  |  |  |  |
Commodity contracts | $ | 775 |  |  | $ | 1,893 |  |  | $ | 1,499 |  |  | $ | (2,197) |  |  | $ | 1,970 |
Interest rate contracts | $ | — |  |  | $ | 218 |  |  | $ | — |  |  | $ | (69) |  |  | 149 |
Foreign currency contracts | $ | — |  |  | $ | 35 |  |  | $ | — |  |  | $ | (40) |  |  | (5) |
Total derivative assets |  |  |  |  |  |  |  |  | $ | 2,114 |
FPL - commodity contracts | $ | — |  |  | $ | 1 |  |  | $ | 2 |  |  | $ | (1) |  |  | $ | 2 |
Liabilities: |  |  |  |  |  |  |  |  |
NEE: |  |  |  |  |  |  |  |  |
Commodity contracts | $ | 858 |  |  | $ | 1,639 |  |  | $ | 342 |  |  | $ | (2,176) |  |  | $ | 663 |
Interest rate contracts | $ | — |  |  | $ | 418 |  |  | $ | — |  |  | $ | (69) |  |  | 349 |
Foreign currency contracts | $ | — |  |  | $ | 60 |  |  | $ | — |  |  | $ | (40) |  |  | 20 |
Total derivative liabilities |  |  |  |  |  |  |  |  | $ | 1,032 |
FPL - commodity contracts | $ | — |  |  | $ | 5 |  |  | $ | 4 |  |  | $ | (1) |  |  | $ | 8 |
Net fair value by NEE balance sheet line item: |  |  |  |  |  |  |  |  |
Current derivative assets |  |  |  |  |  |  |  |  | $ | 496 |
Noncurrent derivative assets(b) |  |  |  |  |  |  |  |  | 1,618 |
Total derivative assets |  |  |  |  |  |  |  |  | $ | 2,114 |
Current derivative liabilities(c) |  |  |  |  |  |  |  |  | $ | 437 |
Noncurrent derivative liabilities |  |  |  |  |  |  |  |  | 595 |
Total derivative liabilities |  |  |  |  |  |  |  |  | $ | 1,032 |
Net fair value by FPL balance sheet line item: |  |  |  |  |  |  |  |  |
Current other assets |  |  |  |  |  |  |  |  | $ | 2 |
Current other liabilities |  |  |  |  |  |  |  |  | $ | 8 |
——————————————— (a)Includes the effect of the contractual ability to settle contracts under master netting arrangements and the netting of margin cash collateral payments and receipts. NEE and FPL also have 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)Reflects the netting of approximately $66 million in margin cash collateral received from counterparties. (c)Reflects the netting of approximately $45 million in margin cash collateral paid to counterparties.
| December 31, 2020
| Level 1 |  | Level 2 |  | Level 3 |  | Netting(a) |  | Total
| (millions)
Assets: |  |  |  |  |  |  |  |  |
NEE: |  |  |  |  |  |  |  |  |
Commodity contracts | $ | 919 |  |  | $ | 1,881 |  |  | $ | 1,679 |  |  | $ | (2,325) |  |  | $ | 2,154 |
Interest rate contracts | $ | — |  |  | $ | 81 |  |  | $ | — |  |  | $ | (41) |  |  | 40 |
Foreign currency contracts | $ | — |  |  | $ | 57 |  |  | $ | — |  |  | $ | (34) |  |  | 23 |
Total derivative assets |  |  |  |  |  |  |  |  | $ | 2,217 |
FPL - commodity contracts | $ | — |  |  | $ | 1 |  |  | $ | 2 |  |  | $ | — |  |  | $ | 3 |
Liabilities: |  |  |  |  |  |  |  |  |
NEE: |  |  |  |  |  |  |  |  |
Commodity contracts | $ | 1,004 |  |  | $ | 1,468 |  |  | $ | 305 |  |  | $ | (2,277) |  |  | $ | 500 |
Interest rate contracts | $ | — |  |  | $ | 1,042 |  |  | $ | — |  |  | $ | (41) |  |  | 1,001 |
Foreign currency contracts | $ | — |  |  | $ | 43 |  |  | $ | — |  |  | $ | (34) |  |  | 9 |
Total derivative liabilities |  |  |  |  |  |  |  |  | $ | 1,510 |
FPL - commodity contracts | $ | — |  |  | $ | — |  |  | $ | 3 |  |  | $ | — |  |  | $ | 3 |
Net fair value by NEE balance sheet line item: |  |  |  |  |  |  |  |  |
Current derivative assets |  |  |  |  |  |  |  |  | $ | 570 |
Noncurrent derivative assets(b) |  |  |  |  |  |  |  |  | 1,647 |
Total derivative assets |  |  |  |  |  |  |  |  | $ | 2,217 |
Current derivative liabilities(c) |  |  |  |  |  |  |  |  | $ | 311 |
Noncurrent derivative liabilities |  |  |  |  |  |  |  |  | 1,199 |
Total derivative liabilities |  |  |  |  |  |  |  |  | $ | 1,510 |
Net fair value by FPL balance sheet line item: |  |  |  |  |  |  |  |  |
Current other assets |  |  |  |  |  |  |  |  | $ | 3 |
Current other liabilities |  |  |  |  |  |  |  |  | $ | 2 |
Noncurrent other liabilities |  |  |  |  |  |  |  |  | 1 |
Total derivative liabilities |  |  |  |  |  |  |  |  | $ | 3 |
——————————————— (a)Includes the effect of the contractual ability to settle contracts under master netting arrangements and the netting of margin cash collateral payments and receipts. NEE and FPL also have 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)Reflects the netting of approximately $184 million in margin cash collateral received from counterparties. (c)Reflects the netting of approximately $136 million in margin cash collateral paid to counterparties.
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 March 31, 2021 are as follows:
|  | Fair Value at |  | Valuation |  | Significant |  |  |  |  |  | Weighted-
Transaction Type |  | March 31, 2021 |  | Technique(s) |  | Unobservable Inputs |  | Range |  | average(a)
|  | Assets |  | Liabilities |  |  |  |  |  |  |  |  |  |
|  | (millions) |  |  |  |  |  |  |  |  |  |
Forward contracts - power |  | $ | 703 |  |  | $ | 92 |  |  | Discounted cash flow |  | Forward price (per MWh) |  | $1 | — | $133 |  | $30
Forward contracts - gas |  | 277 |  |  | 34 |  |  | Discounted cash flow |  | Forward price (per MMBtu) |  | $1 | — | $8 |  | $3
Forward contracts - congestion |  | 23 |  |  | 5 |  |  | Discounted cash flow |  | Forward price (per MWh) |  | $(8) | — | $75 |  | $—
Options - power |  | 38 |  |  | 9 |  |  | Option models |  | Implied correlations |  | 39% | — | 85% |  | 54%
|  |  |  |  |  |  |  | Implied volatilities |  | 7% | — | 236% |  | 59%
Options - primarily gas |  | 137 |  |  | 120 |  |  | Option models |  | Implied correlations |  | 39% | — | 85% |  | 54%
|  |  |  |  |  |  |  | Implied volatilities |  | 16% | — | 115% |  | 29%
Full requirements and unit contingent contracts |  | 295 |  |  | 70 |  |  | Discounted cash flow |  | Forward price (per MWh) |  | $5 | — | $318 |  | $50
|  |  |  |  |  |  |  | Customer migration rate(b) |  | —% | — | 49% |  | 1%
Forward contracts - other |  | 26 |  |  | 12 |  |  |  |  |  |  |  |  |  |  |
Total |  | $ | 1,499 |  |  | $ | 342 |  |  |  |  |  |  |  |  |  |  |
——————————————— (a)Unobservable inputs were weighted by volume. (b)Applies only to full requirements contracts.
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation | The sensitivity of NEE's fair value measurements to increases (decreases) in the significant unobservable inputs is as follows:
Significant Unobservable Input |  | Position |  | Impact on Fair Value Measurement
Forward price |  | Purchase power/gas |  | Increase (decrease)
|  | Sell power/gas |  | Decrease (increase)
Implied correlations |  | Purchase option |  | Decrease (increase)
|  | Sell option |  | Increase (decrease)
Implied volatilities |  | Purchase option |  | Increase (decrease)
|  | Sell option |  | Decrease (increase)
Customer migration rate |  | Sell power(a) |  | Decrease (increase)
——————————————— (a)Assumes the contract is in a gain position.
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 March 31,
| 2021 |  | 2020
| NEE |  | FPL |  | NEE |  | FPL
| (millions)
Fair value of net derivatives based on significant unobservable inputs at December 31 of prior period | $ | 1,374 |  |  | $ | (1) |  |  | $ | 1,207 |  |  | $ | (8) |
Realized and unrealized gains (losses): |  |  |  |  |  |  |
Included in earnings(a) | (130) |  |  | — |  |  | 387 |  |  | — |
Included in regulatory assets and liabilities | (2) |  |  | (2) |  |  | (2) |  |  | (2) |
Purchases | 38 |  |  | — |  |  | 81 |  |  | — |
Sales(b) | — |  |  | — |  |  | 114 |  |  | — |
Settlements | (89) |  |  | 1 |  |  | (206) |  |  | 1 |
Issuances | (21) |  |  | — |  |  | (32) |  |  | — |
Transfers out(c) | (13) |  |  | — |  |  | (30) |  |  | — |
Fair value of net derivatives based on significant unobservable inputs at March 31 | $ | 1,157 |  |  | $ | (2) |  |  | $ | 1,519 |  |  | $ | (9) |
Gains (losses) included in earnings attributable to the change in unrealized gains (losses) relating to derivatives held at the reporting date(d) | $ | (125) |  |  | $ | — |  |  | $ | 308 |  |  | $ | — |
——————————————— (a)For the three months ended March 31, 2021 and 2020, realized and unrealized gains (losses) of approximately $(130) million and $405 million, respectively, are included in the condensed consolidated statements of income in operating revenues and the balance is included in interest expense. (b)See Note 11 - Disposal of a Business. (c)Transfers from Level 3 to Level 2 were a result of increased observability of market data. (d)For the three months ended March 31, 2021 and 2020, unrealized gains (losses) of approximately $(125) million and $319 million, respectively, are included in the condensed consolidated statements of income in operating revenues and the balance is included in interest expense.
Net notional volumes | NEE and FPL had derivative commodity contracts for the following net notional volumes:
|  | March 31, 2021 |  | December 31, 2020
Commodity Type |  | NEE |  | FPL |  | NEE |  | FPL
|  | (millions)
Power |  | (104) |  |  | MWh |  | — |  |  |  |  | (90) |  |  | MWh |  | — |  |  |
Natural gas |  | (811) |  |  | MMBtu |  | 241 |  |  | MMBtu |  | (607) |  |  | MMBtu |  | 87 |  |  | MMBtu
Oil |  | (23) |  |  | barrels |  | — |  |  |  |  | (6) |  |  | barrels |  | — |  |  |
Not Designated as Hedging Instrument [Member] |
Derivative [Line Items] |
Derivative instruments, gain (loss) in statement of financial performance | Gains (losses) related to NEE's derivatives are recorded in NEE's condensed consolidated statements of income as follows:
|  |  | Three Months Ended March 31,
|  |  |  |  | 2021 |  | 2020
|  |  |  |  | (millions)
Commodity contracts(a) - operating revenues |  |  |  |  | $ | (488) |  |  | $ | 625 |
Foreign currency contracts - interest expense |  |  |  |  | (40) |  |  | (79) |
Interest rate contracts - interest expense |  |  |  |  | 747 |  |  | (905) |
Losses reclassified from AOCI: |  |  |  |  |  |  |
Interest rate contracts(b) |  |  |  |  | (1) |  |  | (25) |
Foreign currency contracts - interest expense |  |  |  |  | (1) |  |  | (1) |
Total |  |  |  |  | $ | 217 |  |  | $ | (385) |
——————————————— (a)For the three months ended March 31, 2021 and 2020, FPL recorded losses of approximately $7 million and $3 million, respectively, related to commodity contracts as regulatory assets on its condensed consolidated balance sheets. (b)For the three months ended March 31, 2020, approximately $23 million was reclassified to gains on disposal of businesses/assets - net (see Note 11 - Disposal of a Business); remaining balances were reclassified to interest expense on NEE's condensed consolidated statements of income.

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