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Fair Value Of Financial Assets And Liabilities | 3 Months Ended
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Mar. 31, 2013
Fair Value Of Financial Assets And Liabilities [Abstract] |
Fair Value Of Financial Assets And Liabilities | 9. FAIR VALUE OF FINANCIAL ASSETS AND LIABILITIES Under existing accounting guidance, fair value is considered to be the exchange price in an orderly transaction between market participants to sell an asset or transfer a liability at the measurement date. The fair value definition focuses on an exit price, which is the price that would be received to sell an asset or paid to transfer a liability versus an entry price, which would be the price paid to acquire an asset or received to assume a liability. Fair value measurements require the use of market data or assumptions that market participants would use in pricing th e asset or liability, including assumptions about risk and the risks inherent in the inputs to the valuation technique. These inputs can be readily observable, corroborated by market data or generally unobservable. Valuation techniques are required to maximize the use of observable inputs and minimize the use of unobservable inputs. A midmarket pricing convention (the midpoint price between bid and ask prices) is permitted for use as a practical expedient. The Duke Energy Registrants classify recurring and non-recurring fair value measurements based on the following fair value hierarchy, as prescribed by the accounting guidance for fair value. The hierarchy prioritizes the inputs to valuation techniques used to measure fair value into three levels: Level 1—unadjusted quoted prices in active markets for identical assets or liabilities the Duke Energy Registrants ha ve the ability to access. An active market for the asset or liability is one in which transactions for the asset or liability occur with sufficient frequency and volume to provide ongoing pricing information. The Duke Energy Registrants' Level 1 primarily consists of financial instruments such as exchange-traded derivatives and listed equities. Level 2—a fair value measurement utilizing inputs other than a quoted market price that are observable, either directly or indirectly, for the asset or liability. Level 2 inputs include, but are not limited to, quoted prices for similar assets or liabilities in an active market, quoted prices for identical or similar assets or liabilities in markets that are not active and inputs other than quoted market prices that are observable for the asset or liability, such as interest rate curves and yield curves observable at commonly quoted intervals, volatilities, credit risk and default rates. A Level 2 measurement cannot have more than an insignificant portion of the valuation based on unobservable inputs. Instruments in this category include non-exchange-traded derivatives, such as over-the-counter forwards, swaps and options; certain marketable debt securities; and financial instruments traded in less than active markets. Level 3—any fair value measurements which include unobservable inputs for the asset or liability for more than an insignificant portion of the valuation. These inputs may be used with internally developed methodologies that result in management's best estimate of fair value. Level 3 instruments may include longer-term instruments that extend into periods in which quoted prices or other observable inputs are not available. The fair value accounting guidance for financial instruments permits entities to elect to measure many financial instruments and certain other items at fair value that are not required to be accounted for at fair value under other GAAP. There are no financial assets or financial liabilities that are not required to be accounted for at fair value under GAAP for which the option to record at fair value has been elected by the Duke Energy Registrants. However, in the future, the Duke Energy Registrants may elect to measure certain financial instruments at fair value in accordance with this accounting guidance. Transfers out of and into Levels 1, 2 or 3 represent existing assets or liabilities previously categorized as a higher level for which the inputs to the estimate became less observable or assets and liabilities that were previously classified as Level 2 or 3 for which the lowest significant input became more observable during the period, respectively. The Duke Energy Registrant's p olicy for the recognition of transfers between levels of the fair value hierarchy is to recognize the transfer at the end of the period. There were no transfers out of or into Levels 1, 2 and 3 during the three months ended March 31, 2013. Valuation methods of the primary fair value measurements disclosed below are as follows: I nvestments in equity securities Investments in equity securities, other than those accounted for as equity and cost method investments, are typically valued at the closing price in the principal active market as of the last business day of the quarter. Principal active markets for equity prices include published exchanges such as NASDAQ and NYSE. Foreign equity prices are translated from their trading currency using the currency exchange rate in effect at the close of the principal active market. Prices have not been adjusted to reflect for after-hours market activity. The majority of investments in equity securities are valued using Level 1 measurements. For certain investments that are valued on a net asset value per share (or its equivalent), or the net asset value basis, when the Duke Energy Registrants do not have the ability to redeem the investment in the near term at net asset value per share (or its equivalent), or the net asset value is not available as of the measurement date, the fair value measurement of the investment is categorized as Level 3. Investments in available-for-sale auction rate securities Duke Energy and Duke Energy Carolinas h old auction rate securities for which an active market does not currently exist. A uction rate securities held are student loan securities for which at March 31, 2013 approximately 84 percent is ultimately backed by the U.S. government. At March 31, 2013, a pproximately 24 percent of these securities are AAA rat ed. As of March 31, 2013, and December, 31 2012 all of these auction rate securities are classified as long-term invest ments and are valued using Level 3 measurements. The methods and significant assumptions used to determine the fair values of the investment in auction rate debt securities represent estimations of fair value using internal discounted cash flow models which incorporate primarily management's own assumptions as to the term over which such investments will be recovered at par (ranging from 10 to 1 9 years), the current level of interest rates (less than 0.3%), and the appropriate risk-adjusted discount rates (up to 5.0% reflecting a tenor of up to 19 years). In preparing the valuations, all significant value drivers were considered, including the underlying collateral (primarily evaluated on the basis of credit ratings, parity ratios and the percentage of loans backed by the U.S. government). There were no other-than-temporary impairments associated with investments in auction rate debt securities during the three months ended March 31, 2013 or 2012. Investments in debt securities Most deb t investments, including those held in the Nuclear Decommissioning Trust Funds (NDTF), are valued based on a calculation using interest rate curves and credit spreads applied to the terms of the debt instrument (maturity and coupon interest rate) and consider the counterparty credit rating. Most debt valuations are Level 2 measurements. If the market for a particular fixed income security is relatively inactive or illiquid, the measurement is a Level 3 measurement. U.S. Treasury debt is t ypically a Level 1 measurement. Commodity derivati ves The pricing for commodity derivatives is primarily a calculated value which incorporates the forward price and is adjusted for liquidity (bid-ask spread), credit or non-performance risk (after reflecting credit enhancements such as collateral) and discounted to present value. The primary difference between a Level 2 and a Level 3 measurement relates to the level of activity in forward markets for the commodity. If the market is relatively inactive, the measurement is deemed to be a Level 3 measurement. Commodity derivatives with clearinghouses are classified as Level 1 measurements. For commodity derivative contracts classified as Level 3, Duke Energy utilizes internally-developed financial models based upon the income approach (discounted cash flow method) to measure the fair values. The primary inputs to these models are the forward commodity prices used to develop the forward price curves for the respective instrument. The pricing inputs are derived from published exchange transaction prices and other observable or public data sources. In the absence of observable market information that supports the pricing inputs, there is a presumption that the transaction price is equal to the last observable price for a similar period. For the commodity derivative contracts classified as Level 3, the pricing inputs for natural gas and electricity forward price curves are not observable for the full term of the related contracts. In isolation, increases (decreases) in unobservable natural gas forward prices would result in favorable (unfavorable) fair value adjustments for gas purchase contracts. In isolation, increases (decreases) in unobservable electricity forward prices would result in unfavorable (favorable) fair value adjustments for electricity sales contracts. Duke Energy regularly evaluate s and validate s the pricing inputs use d to estimate fair value of gas purchase contracts by a market participant price verification procedure, which provides a comparison of internal forward commodity curves to market participant generated curves. Interest rate derivatives Most over-the-counter interest rate contract derivatives are valued using financial models which utilize observable inputs for similar instruments and are classified within Level 2. Such models may be internally developed, but are similar to models commonly used across industries to value derivative contracts. To determine fair value, the Duke Energy Registrants utilize various inputs and factors including market data and assumptions that market participants would use in pricing assets or liabilities as well as assumptions about the risks inherent in the inputs to the valuation technique. The inputs and factors may include forward interest rate curves, notional amounts, interest rates and credit quality of the Duke Energy Registrants and their counterparties. Goodwill and Long-lived Assets. See Note 7 for a discussion of the valuation for goodwill and long-lived assets. DUKE ENERGY The following tables provide the fair value measurement amounts for assets and liabilities recorded on Duke Energy's Condensed Consolidated Balance Sheets. Financial assets and liabilities are classified in their entirety based on the lowest level of input significant to the fair value measurement. Our assessment of the significance of a particular input to the fair value measurement requires judgment and may affect the valuation of fair value assets and liabilities and their placement within the fair value hierarchy levels. Derivative amounts in the table below exclude cash collateral amounts which are disclosed in Note 8. See Note 10 for additional information related to investments by major security type.
|  |  | March 31, 2013
(in millions) |  | Total Fair Value | Level 1 |  | Level 2 |  | Level 3
Investments in available-for-sale auction rate securities(a) |  | $ | 28 |  | $ | ― |  | $ | ― |  | $ | 28
Nuclear decommissioning trust fund equity securities |  |  | 3,104 |  |  | 3,026 |  |  | 57 |  |  | 21
Nuclear decommissioning trust fund debt securities |  |  | 1,432 |  |  | 356 |  |  | 1,027 |  |  | 49
Other trading and available-for-sale equity securities(b) |  |  | 93 |  |  | 84 |  |  | 9 |  |  | ―
Other trading and available-for-sale debt securities(c) |  |  | 634 |  |  | 94 |  |  | 540 |  |  | ―
Derivative assets(b) |  |  | 75 |  |  | 1 |  |  | 20 |  |  | 54
| Total assets |  |  | 5,366 |  |  | 3,561 |  |  | 1,653 |  |  | 152
Derivative liabilities(d) |  |  | (611) |  |  | (77) |  |  | (398) |  |  | (136)
| Net assets |  | $ | 4,755 |  | $ | 3,484 |  | $ | 1,255 |  | $ | 16
|  |  | December 31, 2012
(in millions) |  | Total Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Investments in available-for-sale auction rate securities(a) |  | $ | 29 |  | $ | ― |  | $ | ― |  | $ | 29
Nuclear decommissioning trust fund equity securities |  |  | 2,837 |  |  | 2,762 |  |  | 54 |  |  | 21
Nuclear decommissioning trust fund debt securities |  |  | 1,405 |  |  | 317 |  |  | 1,040 |  |  | 48
Other trading and available-for-sale equity securities(b) |  |  | 72 |  |  | 63 |  |  | 9 |  |  | ―
Other trading and available-for-sale debt securities(c) |  |  | 602 |  |  | 40 |  |  | 562 |  |  | ―
Derivative assets(b) |  |  | 103 |  |  | 18 |  |  | 22 |  |  | 63
| Total assets |  |  | 5,048 |  |  | 3,200 |  |  | 1,687 |  |  | 161
Derivative liabilities(d) |  |  | (756) |  |  | (17) |  |  | (591) |  |  | (148)
| Net assets |  | $ | 4,292 |  | $ | 3,183 |  | $ | 1,096 |  | $ | 13
(a) | Included in Other within Investments and Other Assets on the Condensed Consolidated Balance Sheets.
(b) | Included in Other within Current Assets and Other within Investments and Other Assets on the Condensed Consolidated Balance Sheet.
(c) | Included in Other within Investments and Other Assets and Short-term Investments on the Condensed Consolidated Balance Sheets.
(d) | Included in Other within Current Liabilities and Other within Deferred Credits and Other Liabilities on the Condensed Consolidated Balance Sheets.
The following tables provide a reconciliation of beginning and ending balances of assets and liabilities measured at fair value on a recurring basis where the determination of fair value includes significant unobservable inputs (Level 3).
|  |  | Three Months Ended March 31, 2013
(in millions) | Available-for-Sale Auction Rate Securities |  | Available-for-Sale NDTF Investments |  | Derivatives (net) |  | Total
Balance at December 31, 2012 | $ | 29 |  | $ | 69 |  | $ | (85) |  | $ | 13
| Total pre-tax realized or unrealized gains (losses) included in earnings: |  |  |  |  |  |  |  |  |  |  |
|  | Regulated electric |  | ― |  |  | ― |  |  | (6) |  |  | (6)
|  | Revenue, nonregulated electric, natural gas, and other |  | ― |  |  | ― |  |  | (4) |  |  | (4)
| Total pre-tax gains included in other comprehensive income: |  |  |  |  |  |  |  |  |  |  |
|  | Losses on available for sale securities and other |  | (1) |  |  | ― |  |  | ― |  |  | (1)
| Purchases, sales, issuances and settlements: |  |  |  |  |  |  |  |  |  |  |
|  | Issuances |  | ― |  |  | ― |  |  | 6 |  |  | 6
|  | Settlements |  | ― |  |  | ― |  |  | 7 |  |  | 7
| Total gains included on the Consolidated Balance Sheet as regulatory asset or liability |  | ― |  |  | 1 |  |  | ― |  |  | 1
Balance at March 31, 2013 | $ | 28 |  | $ | 70 |  | $ | (82) |  | $ | 16
Pre-tax amounts included in the Consolidated Statements of Comprehensive Income related to Level 3 measurements outstanding at March 31, 2013 |  |  |  |  |  |  |  |  |  |  |
|  | Regulated electric | $ | ― |  | $ | ― |  | $ | 1 |  |  | 1
|  | Revenue, nonregulated electric, natural gas, and other |  | ― |  |  | ― |  |  | (10) |  |  | (10)
Total | $ | ― |  | $ | ― |  | $ | (9) |  | $ | (9)
|  |  | Three Months Ended March 31, 2012
(in millions) | Available-for-Sale Auction Rate Securities |  | Available-for-Sale NDTF Investments |  | Derivatives (net) |  | Total
Balance at December 31, 2011 | $ | 71 |  | $ | 53 |  | $ | (39) |  | $ | 85
| Total pre-tax realized or unrealized gains (losses) included in earnings: |  |  |  |  |  |  |  |  |  |  |
|  | Regulated electric |  | ― |  |  | ― |  |  | 8 |  |  | 8
|  | Revenue, nonregulated electric, natural gas, and other |  | ― |  |  | ― |  |  | (2) |  |  | (2)
| Total pre-tax gains included in other comprehensive income: |  |  |  |  |  |  |  |  |  |  |
|  | Gains on available for sale securities and other |  | 1 |  |  | ― |  |  | ― |  |  | 1
| Purchases, sales, issuances and settlements: |  |  |  |  |  |  |  |  |  |  |
|  | Purchases |  | ― |  |  | 2 |  |  | ― |  |  | 2
|  | Settlements |  | ― |  |  | ― |  |  | (9) |  |  | (9)
| Total gains included on the Condensed Consolidated Balance Sheet as regulatory asset or liability |  | ― |  |  | 1 |  |  | ― |  |  | 1
Balance at March 31, 2012 | $ | 72 |  | $ | 56 |  | $ | (42) |  | $ | 86
DUKE ENERGY CAROLINAS The following tables provide the fair value measurement amounts for assets and liabilities recorded on Duke Energy Carolinas' Condensed Consolidated Balance Sheets at fair value. Derivative amounts in the table below exclude cash collateral amounts which are disclosed in Note 8. See Note 10 for additional information related to investments by major security type. Financial assets and liabilities are classified in their entirety based on the lowest level of input significant to the fair value measurement. Our assessment of the significance of a particular input to the fair value measurement requires judgment and may affect the valuation of fair value assets and liabilities and their placement within the fair value hierarchy levels.
|  |  |  | March 31, 2013
(in millions) | Total Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Investments in available-for-sale auction rate securities(a) |  | $ | 3 |  | $ | ― |  | $ | ― |  | $ | 3
Nuclear decommissioning trust fund equity securities |  |  | 1,734 |  |  | 1,663 |  |  | 50 |  |  | 21
Nuclear decommissioning trust fund debt securities |  |  | 785 |  |  | 180 |  |  | 556 |  |  | 49
| Total assets |  | $ | 2,522 |  | $ | 1,843 |  | $ | 606 |  | $ | 73
Derivative liabilities(b) |  |  | (5) |  |  | ― |  |  | ― |  |  | (5)
| Net assets |  | $ | 2,517 |  | $ | 1,843 |  | $ | 606 |  | $ | 68
|  |  | December 31, 2012
(in millions) |  | Total Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Investments in available-for-sale auction rate securities(a) |  | $ | 3 |  | $ | ― |  | $ | ― |  | $ | 3
Nuclear decommissioning trust fund equity securities |  |  | 1,592 |  |  | 1,523 |  |  | 48 |  |  | 21
Nuclear decommissioning trust fund debt securities |  |  | 762 |  |  | 155 |  |  | 559 |  |  | 48
| Total assets |  | $ | 2,357 |  | $ | 1,678 |  | $ | 607 |  | $ | 72
Derivative liabilities(b) |  |  | (12) |  |  | ― |  |  | ― |  |  | (12)
| Net Assets |  | $ | 2,345 |  | $ | 1,678 |  | $ | 607 |  | $ | 60
(a) | Included in Other within Investments and Other Assets on the Condensed Consolidated Balance Sheets.
(b) | Included in Other within Current Liabilities and Other within Deferred Credits and Other Liabilities on the Condensed Consolidated Balance Sheet.
The following tables provide a reconciliation of beginning and ending balances of assets and liabilities measured at fair value on a recurring basis where the determination of fair value includes significant unobservable inputs (Level 3).
|  |  | Three Months Ended March 31,2013
|  |  | Available-for-Sale Auction Rate Securities |  | Available-for-Sale NDTF Investments |  | Derivatives (net) |  | Total
Balance at December 31, 2012 | $ | 3 |  | $ | 69 |  | $ | (12) |  | $ | 60
| Purchases, sales, issuances and settlements: |  |  |  |  |  |  |  |  |  |  |
|  | Settlements |  | ― |  |  | ― |  |  | 7 |  |  | 7
| Total gains included on the Condensed Consolidated Balance Sheet as regulatory asset or liability |  | ― |  |  | 1 |  |  | ― |  |  | 1
Balance at March 31, 2013 | $ | 3 |  | $ | 70 |  | $ | (5) |  | $ | 68
Pre-tax amounts included in the Condensed Consolidated Statements of Comprehensive Income related to Level 3 measurements outstanding at March 31, 2013 |  |  |  |  |  |  |  |  |  |  |
|  | Regulated electric | $ | ― |  | $ | ― |  | $ | (5) |  |  | (5)
Total | $ | ― |  | $ | ― |  | $ | (5) |  | $ | (5)
|  |  | Three Months Ended March 31, 2012
|  |  | Available-for-Sale Auction Rate Securities |  | Available-for-Sale NDTF Investments |  | Derivatives (net) |  | Total
Balance at December 31, 2011 | $ | 12 |  | $ | 53 |  | $ | ― |  | $ | 65
| Purchases, sales, issuances and settlements: |  |  |  |  |  |  |  |  |  |  |
|  | Purchases |  | ― |  |  | 2 |  |  | ― |  |  | 2
| Total gains included on the Condensed Consolidated Balance Sheet as regulatory asset or liability |  | ― |  |  | 1 |  |  | ― |  |  | 1
Balance at March 31, 2012 | $ | 12 |  | $ | 56 |  | $ | ― |  | $ | 68
PROGRESS ENERGY The following tables provide the fair value measurement amounts for assets and liabilities recorded on Progress Energy's Condensed Consolidated Balance Sheets. Derivative amounts in the table below exclude cash collateral amounts which are disclosed in Note 8. See Note 10 for additional information related to investments by major security type. Financial assets and liabilities are classified in their entirety based on the lowest level of input significant to the fair value measurement. Our assessment of the significance of a particular input to the fair value measurement requires judgment and may affect the valuation of fair value assets and liabilities and their placement within the fair value hierarchy levels.
|  |  | March 31, 2013
(in millions) |  | Total Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Nuclear decommissioning trust fund equity securities |  | $ | 1,369 |  | $ | 1,363 |  | $ | 6 |  | $ | ―
Nuclear decommissioning trust fund debt securities and other |  |  | 648 |  |  | 177 |  |  | 471 |  |  | ―
Other trading and available-for-sale debt securities and other(a) |  |  | 60 |  |  | 20 |  |  | 40 |  |  | ―
Derivative assets(b) |  |  | 15 |  |  | ― |  |  | 15 |  |  | ―
| Total assets |  |  | 2,092 |  |  | 1,560 |  |  | 532 |  |  | ―
Derivative liabilities(c) |  |  | (269) |  |  | ― |  |  | (238) |  |  | (31)
| Net assets |  | $ | 1,823 |  | $ | 1,560 |  | $ | 294 |  | $ | (31)
|  |  | December 31, 2012
(in millions) |  | Total Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Nuclear decommissioning trust fund equity securities |  | $ | 1,245 |  | $ | 1,239 |  | $ | 6 |  | $ | ―
Nuclear decommissioning trust fund debt securities and other |  |  | 643 |  |  | 162 |  |  | 481 |  |  | ―
Other trading and available-for-sale debt securities and other(a) |  |  | 57 |  |  | 17 |  |  | 40 |  |  | ―
Derivative assets(b) |  |  | 11 |  |  | ― |  |  | 11 |  |  | ―
| Total assets |  |  | 1,956 |  |  | 1,418 |  |  | 538 |  |  | ―
Derivative liabilities(c) |  |  | (440) |  |  | ― |  |  | (402) |  |  | (38)
| Net assets |  | $ | 1,516 |  | $ | 1,418 |  | $ | 136 |  | $ | (38)
(a) | Included in Other within Investments and Other Assets in the Condensed Consolidated Balance Sheets.
(b) | Included in Other Current Assets within Current Assets and Other within Investments and Other Assets in the Condensed Consolidated Balance Sheets.
(c) | Included in Other within Current Liabilities and Other within Deferred Credits and Other Liabilities in the Condensed Consolidated Balance Sheets.
The following tables provide a reconciliation of beginning and ending balances of assets and liabilities measured at fair value on a recurring basis where the determination of fair value includes significant unobservable inputs (Level 3).
|  |  |  | Three Months Ended March 31, 2013
(in millions) |  | Derivatives (net)
Balance at December 31, 2012 |  | $ | (38)
| Purchases, sales, issuances and settlements: |  |  |
|  | Issuances |  |  | 6
| Total gains included on the Condensed Consolidated Balance Sheet as regulatory asset or liability |  |  | 1
Balance at March 31, 2013 |  | $ | (31)
Pre-tax amounts included in the Condensed Consolidated Statements of Operations and Comprehensive Income related to Level 3 measurements outstanding at March 31, 2013 |  |  |
|  | Regulated electric |  | $ | 6
Total |  | $ | 6
|  |  |  | Three Months Ended March 31, 2012
(in millions) |  | Derivatives (net)
Balance at December 31, 2011 |  | $ | (24)
| Total losses included on the Condensed Consolidated Balance Sheet as regulatory asset or liability |  |  | (3)
Balance at March 31, 2012 |  | $ | (27)
DUKE ENERGY PROGRESS The following tables provide the fair value measurement amounts for assets and liabilities recorded on Duke Energy Progres s' Condensed Consolidated Balance Sheets. Derivative amounts in the table below exclude cash collateral amounts which are disclosed in Note 8. See Note 10 for additional information related to investments by major security type. Financial assets and liabilities are classified in their entirety based on the lowest level of input significant to the fair value measurement. Our assessment of the significance of a particular input to the fair value measurement requires judgment and may affect the valuation of fair value assets and liabilities and their placement within the fair value hierarchy levels.
|  |  | March 31, 2013
(in millions) |  | Total Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Nuclear decommissioning trust fund equity securities |  | $ | 894 |  | $ | 894 |  | $ | ― |  | $ | ―
Nuclear decommissioning trust fund debt securities and other |  |  | 453 |  |  | 123 |  |  | 330 |  |  | ―
Other trading and available-for-sale debt securities and other(a) |  |  | 4 |  |  | 4 |  |  | ― |  |  | ―
Derivative assets(b) |  |  | 5 |  |  | ― |  |  | 5 |  |  | ―
| Total assets |  |  | 1,356 |  |  | 1,021 |  |  | 335 |  |  | ―
Derivative liabilities(c) |  |  | (98) |  |  | ― |  |  | (67) |  |  | (31)
| Net assets |  | $ | 1,258 |  | $ | 1,021 |  | $ | 268 |  | $ | (31)
|  |  | December 31, 2012
(in millions) |  | Total Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Nuclear decommissioning trust fund equity securities |  | $ | 811 |  | $ | 811 |  | $ | ― |  | $ | ―
Nuclear decommissioning trust fund debt securities and other |  |  | 448 |  |  | 119 |  |  | 329 |  |  | ―
Other trading and available-for-sale debt securities and other(a) |  |  | 3 |  |  | 3 |  |  | ― |  |  | ―
Derivative assets(b) |  |  | 2 |  |  | ― |  |  | 2 |  |  | ―
| Total assets |  |  | 1,264 |  |  | 933 |  |  | 331 |  |  | ―
Derivative liabilities(c) |  |  | (166) |  |  | ― |  |  | (128) |  |  | (38)
| Net assets |  | $ | 1,098 |  | $ | 933 |  | $ | 203 |  | $ | (38)
(a) | Included in Other within Investments and Other Assets in the Condensed Consolidated Balance Sheets.
(b) | Included in Other Current Assets within Current Assets and Other within Investments and Other Assets in the Condensed Consolidated Balance Sheets.
(c) | Included in Other within Current Liabilities and Other within Deferred Credits and Other Liabilities in the Condensed Consolidated Balance Sheets
The following tables provide a reconciliation of beginning and ending balances of assets and liabilities measured at fair value on a recurring basis where the determination of fair value includes significant unobservable inputs (Level 3).
|  |  |  | Three Months Ended March 31, 2013
(in millions) |  | Derivatives (net)
Balance at December 31, 2012 |  | $ | (38)
| Purchases, sales, issuances and settlements: |  |  |
|  | Issuances |  |  | 6
| Total gains included on the Condensed Consolidated Balance Sheet as regulatory asset or liability |  |  | 1
Balance at March 31, 2013 |  | $ | (31)
Pre-tax amounts included in the Condensed Consolidated Statements of Operations and Comprehensive Income related to Level 3 measurements outstanding at March 31, 2013 |  |  |
|  | Regulated electric |  | $ | 6
Total |  | $ | 6
|  |  |  | Three Months Ended March 31, 2012
(in millions) |  | Derivatives (net)
Balance at December 31, 2011 |  | $ | (24)
| Total losses included on the Condensed Consolidated Balance Sheet as regulatory asset or liability |  |  | (3)
Balance at March 31, 2012 |  | $ | (27)
DUKE ENERGY FLORIDA The following tables provide the fair value measurement amounts for assets and liabilities recorded on Duke Energy Florida's Condensed Balance Sheets. Derivative amounts in the table below exclude cash collateral amounts which are disclosed in Note 8. See Note 10 for additional information related to investments by major security type. Financial assets and liabilities are classified in their entirety based on the lowest level of input significant to the fair value measurement. Our assessment of the significance of a particular input to the fair value measurement requires judgment and ma y affect the valuation of fair value assets and liabilities and their placement within the fair value hierarchy levels.
|  |  | March 31, 2013
(in millions) |  | Total Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Nuclear decommissioning trust fund equity securities |  | $ | 474 |  | $ | 468 |  | $ | 6 |  | $ | ―
Nuclear decommissioning trust fund debt securities and other |  |  | 196 |  |  | 54 |  |  | 142 |  |  | ―
Other trading and available-for-sale debt securities and other(a) |  |  | 45 |  |  | 5 |  |  | 40 |  |  | ―
Derivative assets(b) |  |  | 10 |  |  | ― |  |  | 10 |  |  | ―
| Total assets |  |  | 725 |  |  | 527 |  |  | 198 |  |  | ―
Derivative liabilities(c) |  |  | (167) |  |  | ― |  |  | (167) |  |  | ―
| Net assets |  | $ | 558 |  | $ | 527 |  | $ | 31 |  | $ | ―
|  |  | December 31, 2012
(in millions) |  | Total Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Nuclear decommissioning trust fund equity securities |  | $ | 435 |  | $ | 429 |  | $ | 6 |  | $ | ―
Nuclear decommissioning trust fund debt securities and other |  |  | 194 |  |  | 43 |  |  | 151 |  |  | ―
Other trading and available-for-sale debt securities and other(a) |  |  | 43 |  |  | 3 |  |  | 40 |  |  | ―
Derivative assets(b) |  |  | 9 |  |  | ― |  |  | 9 |  |  | ―
| Total assets |  |  | 681 |  |  | 475 |  |  | 206 |  |  | ―
Derivative liabilities(c) |  |  | (270) |  |  | ― |  |  | (270) |  |  | ―
| Net assets (liabilities) |  | $ | 411 |  | $ | 475 |  | $ | (64) |  | $ | ―
(a) | Included in Other within Investments and Other Assets in the Condensed Balance Sheets.
(b) | Included in Other Current Assets within Current Assets and Other within Investments and Other Assets in the Condensed Balance Sheets.
(c) | Included in Other within Current Liabilities and Other within Deferred Credits and Other Liabilities in the Condensed Balance Sheets
DUKE ENERGY OHIO The following tables provide the fair value measurement amounts for assets and liabilities recorded on Duke Energy Ohio's Condensed Consolidated Balance Sheets. Derivative amounts in the table below exclude cash collateral amounts which are disclosed in Note 8. Financial assets and liabilities are classified in their entirety based on the lowest level of input significant to the fair value measurement. Our assessment of the significance of a particular input to the fair value measurement requires judgment and ma y affect the valuation of fair value assets and liabilities and their placement within the fair value hierarchy levels.
|  |  | March 31, 2013
(in millions) |  | Total Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Derivative assets(a) |  | $ | 19 |  | $ | 8 |  | $ | 2 |  | $ | 9
Derivative liabilities(b) |  |  | (94) |  |  | (72) |  |  | (8) |  |  | (14)
| Net liabilities |  | $ | (75) |  | $ | (64) |  | $ | (6) |  | $ | (5)
|  |  | December 31, 2012
(in millions) |  | Total Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Derivative assets(a) |  | $ | 59 |  | $ | 48 |  | $ | 2 |  | $ | 9
Derivative liabilities(b) |  |  | (38) |  |  | (15) |  |  | (8) |  |  | (15)
| Net assets (liabilities) |  | $ | 21 |  | $ | 33 |  | $ | (6) |  | $ | (6)
(a) | Included in Other within Current Assets and Other within Investments and Other Assets in the Condensed Consolidated Balance Sheets.
(b) | Included in Other within Current Liabilities and Other within Deferred Credits and Other Liabilities in the Condensed Consolidated Balance Sheets.
The following tables provide a reconciliation of beginning and ending balances of assets and liabilities measured at fair value on a recurring basis where the determination of fair value includes significant unobservable inputs (Level 3).
|  |  |  | Three Months Ended March 31, 2013
(in millions) |  | Derivatives (net)
Balance at December 31, 2012 |  | $ | (6)
| Total pre-tax realized or unrealized gains (losses) included in earnings: |  |  |
|  | Revenue, nonregulated electric, natural gas, and other |  |  | 4
| Purchases, sales, issuances and settlements: |  |  |
|  | Settlements |  |  | (3)
Balance at March 31, 2013 |  | $ | (5)
Pre-tax amounts included in the Condensed Consolidated Statements of Operations and Comprehensive Income related to Level 3 measurements outstanding at March 31, 2013: |  |  |
|  | Revenue, non-regulated electric and other |  | $ | (2)
Total |  | $ | (2)
|  |  |  | Three Months Ended March 31, 2012
(in millions) |  | Derivatives (net)
Balance at December 31, 2011 |  | $ | (3)
| Total losses included on the Condensed Consolidated Balance Sheet as regulatory asset or liability |  |  | (1)
Balance at March 31, 2012 |  | $ | (4)
Pre-tax amounts included in the Condensed Consolidated Statements of Operations and Comprehensive Income related to Level 3 measurements outstanding at March 31, 2012: |  |  |
|  | Revenue, non-regulated electric and other |  | $ | 1
Total |  | $ | 1
DUKE ENERGY INDIANA The following tables provide the fair value measurement amounts for assets and liabilities recorded on Duke Energy Indiana's Condensed Consolidated Balance Sheets. Derivative amounts in the table below exclude cash collateral amounts which are disclosed in Note 8. See Note 10 for additional information related to investments by major security type. Financial assets and liabilities are classified in their entirety based on the lowest level of input significant to the fair value measurement. Our assessment of the significance of a particular input to the fair value measurement requires judgment and ma y affect the valuation of fair value assets and liabilities and their placement within the fair value hierarchy levels.
|  |  | March 31, 2013
(in millions) |  | Total Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Available-for-sale equity securities(a) |  | $ | 54 |  | $ | 54 |  | $ | ― |  | $ | ―
Available-for-sale debt securities(a) |  |  | 29 |  |  | ― |  |  | 29 |  |  | ―
Derivative assets(b) |  |  | 5 |  |  | 1 |  |  | ― |  |  | 4
| Total assets |  |  | 88 |  |  | 55 |  |  | 29 |  | $ | 4
Derivative liabilities(c) |  |  | (55) |  |  | ― |  |  | (55) |  |  | ―
| Net assets (liabilities) |  | $ | 33 |  | $ | 55 |  | $ | (26) |  | $ | 4
|  |  | December 31, 2012
(in millions) |  | Total Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Available-for-sale equity securities(a) |  | $ | 49 |  | $ | 49 |  | $ | ― |  | $ | ―
Available-for-sale debt securities(a) |  |  | 29 |  |  | ― |  |  | 29 |  |  | ―
Derivative assets(b) |  |  | 10 |  |  | ― |  |  | ― |  |  | 10
| Total assets |  |  | 88 |  |  | 49 |  |  | 29 |  | $ | 10
Derivative liabilities(c) |  |  | (63) |  |  | ― |  |  | (63) |  |  | ―
| Net assets (liabilities) |  | $ | 25 |  | $ | 49 |  | $ | (34) |  | $ | 10
(a) | Included in Other within Investments and Other Assets on the Condensed Consolidated Balance Sheets.
(b) | Included in Other within Current Assets on the Condensed Consolidated Balance Sheets.
(c) | Included in Other within Current Liabilities and Other within Deferred Credits and Other Liabilities on the Condensed Consolidated Balance Sheets.
The following tables provide a reconciliation of beginning and ending balances of assets and liabilities measured at fair value on a recurring basis where the determination of fair value includes significant unobservable inputs (Level 3).
|  |  |  | Three Months Ended March 31, 2013
(in millions) | Derivatives (net)
Balance at December 31, 2012 | $ | 10
| Total pre-tax realized or unrealized gains (losses) included in earnings: |  |
|  | Regulated electric |  |  | (5)
| Total losses included on the Condensed Consolidated Balance Sheet as regulatory asset or liability |  | (1)
Balance at March 31, 2013 | $ | 4
|  |  |  | Three Months Ended March 31, 2012
(in millions) | Derivatives (net)
Balance at December 31, 2011 |  | $ | 4
| Total pre-tax realized or unrealized gains (losses) included in earnings: |  |
|  | Regulated electric |  |  | 8
| Purchases, sales, issuances and settlements: |  |
|  | Settlements |  | (10)
| Total gains included on the Condensed Consolidated Balance Sheet as regulatory asset or liability |  | 1
Balance at March 31, 2012 | $ | 3
QUANTITATIVE DISCLOSURES ABOUT UNOBSERVABLE INPUTS
The following table includes quantitative information about the Duke Energy Registrants' derivatives classified as Level 3.
|  |  | March 31, 2013
Investment Type |  | Fair Value (in millions) |  | Valuation Technique |  | Unobservable Input |  | Range
Duke Energy |  |  |  |  |  |  |  |  |  |  |  |
Commodity natural gas contracts |  | $ | (85) |  | Discounted cash flow |  | Forward natural gas curves - price per MMBtu |  | $ | 2.84 | $ | 10.30
FERC mitigation power sale agreements |  |  | (10) |  | Discounted cash flow |  | Forward electricity curves - price per MWh |  |  | 25.35 | - | 54.56
Financial transmission rights (FTRs) |  |  | 4 |  | RTO market pricing |  | FTR price |  |  | (0.42) | - | 12.72
Commodity power contracts |  |  | 17 |  | Discounted cash flow |  | Forward electricity curves - price per MWh |  |  | 28.40 | - | 81.60
Commodity capacity contracts |  |  | (3) |  | Discounted cash flow |  | Forward capacity curves - price per MW day |  |  | 95.16 | - | 122.64
Commodity capacity option contracts |  |  | 2 |  | Discounted cash flow |  | Forward capacity option curves - price per MW day |  |  | 31.15 | - | 81.60
Reserves |  |  | (7) |  |  |  | Bid-ask spreads, implied volatility, probability of default |  |  |  |  |
Duke Energy Carolinas |  |  |  |  |  |  |  |  |  |  |  |
FERC mitigation power sale agreements |  | $ | (5) |  | Discounted cash flow |  | Forward electricity curves - price per MWh |  | $ | 28.18 | - | 54.56
Progress Energy |  |  |  |  |  |  |  |  |  |  |  |
Commodity natural gas contracts |  | $ | (26) |  | Discounted cash flow |  | Forward natural gas curves - price per MMBtu |  | $ | 4.13 | - | 4.54
FERC mitigation power sale agreements |  |  | (5) |  | Discounted cash flow |  | Forward electricity curves - price per MWh |  |  | 25.35 | - | 48.68
Duke Energy Progress |  |  |  |  |  |  |  |  |  |  |  |
Commodity natural gas contracts |  | $ | (26) |  | Discounted cash flow |  | Forward natural gas curves - price per MMBtu |  | $ | 4.13 | - | 4.54
FERC mitigation power sale agreements |  |  | (5) |  | Discounted cash flow |  | Forward electricity curves - price per MWh |  |  | 25.35 | - | 48.68
Duke Energy Ohio |  |  |  |  |  |  |  |  |  |  |  |
Commodity power contracts |  | $ | 25 |  | Discounted cash flow |  | Forward electricity curves - price per MWh |  | $ | 28.40 | - | 61.35
Commodity natural gas contracts |  |  | (23) |  | Discounted cash flow |  | Forward natural gas curves - price per MMBtu |  |  | 3.98 | - | 4.69
Reserves |  |  | (7) |  |  |  | Bid-ask spreads, implied volatility, probability of default |  |  |  |  |
Duke Energy Indiana |  |  |  |  |  |  |  |  |  |  |  |
Financial transmission rights (FTRs) |  | $ | 4 |  | RTO market pricing |  | FTR price |  | $ | (0.42) | $ | 12.72
|  |  | December 31, 2012
Investment Type |  | Fair Value (in millions) |  | Valuation Technique |  | Unobservable Input |  | Range
Duke Energy |  |  |  |  |  |  |  |  |  |  |  |
Commodity natural gas contracts |  | $ | (53) |  | Discounted cash flow |  | Forward natural gas curves - price per MMBtu |  | $ | 2.33 | $ | 9.99
FERC mitigation power sale agreements |  |  | (23) |  | Discounted cash flow |  | Forward electricity curves - price per MWh |  |  | 25.83 | - | 48.69
Financial transmission rights (FTRs) |  |  | 11 |  | RTO market pricing |  | FTR price |  |  | 23.63 | - | 39.22
Commodity power contracts |  |  | (8) |  | Discounted cash flow |  | Forward electricity curves - price per MWh |  |  | 24.82 | - | 77.96
Commodity capacity contracts |  |  | (3) |  | Discounted cash flow |  | Forward capacity curves - price per MW day |  |  | 95.16 | - | 105.36
Commodity capacity option contracts |  |  | 3 |  | Discounted cash flow |  | Forward capacity option curves - price per MW day |  |  | 4.68 | - | 77.96
Reserves |  |  | (12) |  |  |  | Bid-ask spreads, implied volatility, probability of default |  |  |  |  |
Duke Energy Carolinas |  |  |  |  |  |  |  |  |  |  |  |
FERC mitigation power sale agreements |  | $ | (12) |  | Discounted cash flow |  | Forward electricity curves - price per MWh |  | $ | 25.83 | - | 48.69
Progress Energy |  |  |  |  |  |  |  |  |  |  |  |
Commodity natural gas contracts |  | $ | (27) |  | Discounted cash flow |  | Forward natural gas curves - price per MMBtu |  | $ | 4.07 | - | 4.45
FERC mitigation power sale agreements |  |  | (11) |  | Discounted cash flow |  | Forward electricity curves - price per MWh |  |  | 25.83 | - | 48.69
Duke Energy Progress |  |  |  |  |  |  |  |  |  |  |  |
Commodity natural gas contracts |  | $ | (27) |  | Discounted cash flow |  | Forward natural gas curves - price per MMBtu |  | $ | 4.07 | - | 4.45
FERC mitigation power sale agreements |  |  | (11) |  | Discounted cash flow |  | Forward electricity curves - price per MWh |  |  | 25.83 | - | 48.69
Duke Energy Ohio |  |  |  |  |  |  |  |  |  |  |  |
Financial transmission rights (FTRs) |  | $ | 1 |  | RTO market pricing |  | FTR price |  | $ | 27.17 | $ | 39.22
Commodity power contracts |  |  | (1) |  | Discounted cash flow |  | Forward electricity curves - price per MWh |  |  | 25.90 | - | 57.50
Commodity natural gas contracts |  |  | 5 |  | Discounted cash flow |  | Forward natural gas curves - price per MMBtu |  |  | 3.30 | - | 4.51
Reserves |  |  | (11) |  |  |  | Bid-ask spreads, implied volatility, probability of default |  |  |  |  |
Duke Energy Indiana |  |  |  |  |  |  |  |  |  |  |  |
Financial transmission rights (FTRs) |  | $ | 10 |  | RTO market pricing |  | FTR price |  | $ | 23.63 | $ | 35.43
OTHER FAIR VALUE DISCLOSURES
The fair value of long-term debt, including current maturities, is summarized in the following table. Judgment is required in interpreting market data to develop the estimates of fair value. Accordingly, the estimates determined are not necessarily indicative of the amounts the Duke Energy Registrants could have settled in current markets. The fair value of the long-term debt is determined using Level 2 measurements.
|  |  |  | March 31, 2013 |  | December 31, 2012
(in millions) | Book Value |  | Fair Value |  | Book Value |  | Fair Value
Duke Energy (a) | $ | 39,662 |  | $ | 44,068 |  | $ | 39,461 |  | $ | 44,001
Duke Energy Carolinas(b) |  | 8,740 |  |  | 10,036 |  |  | 8,741 |  |  | 10,096
Progress Energy |  | 14,224 |  |  | 16,276 |  |  | 14,428 |  |  | 16,563
Duke Energy Progress |  | 5,336 |  |  | 5,757 |  |  | 4,840 |  |  | 5,277
Duke Energy Florida |  | 4,894 |  |  | 5,730 |  |  | 5,320 |  |  | 6,222
Duke Energy Ohio |  | 1,994 |  |  | 2,142 |  |  | 1,997 |  |  | 2,117
Duke Energy Indiana |  | 3,702 |  |  | 4,228 |  |  | 3,702 |  |  | 4,268
(a) | Includes book value of Non-recourse long-term debt of variable interest entities of $1,255 million and $852 million March 31, 2013 and December 31, 2012, respectively.
(b) | Includes book value of Non-recourse long-term debt of variable interest entities of $300 million at both March 31, 2013 and December 31, 2012, respectively.
At both March 31, 2013 and December 31, 2012, the fair value of cash and cash equivalents, accounts and notes receivable, accounts payable, notes payable and commercial paper and non-recourse notes payable of variable interest entities are not materially different from their carrying amounts because of the short-term nature of these instruments and/or because the stated rates approximate market rates.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 16 -URI http://asc.fasb.org/extlink&oid=7491637&loc=d3e13504-108611 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 107 -Paragraph 15C, 15D -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 133 -Paragraph 44A, 44B -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 107 -Paragraph 15A -Subparagraph a-d -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 107 -Paragraph 3, 10, 14, 15 -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 10 -URI http://asc.fasb.org/extlink&oid=7491637&loc=d3e13433-108611 Reference 7: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 159 -Paragraph 17-22, 27, 28 -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 8: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 21 -URI http://asc.fasb.org/extlink&oid=7491637&loc=d3e13537-108611 Reference 9: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 107 -Paragraph 15B -Subparagraph a, b -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 10: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 157 -Paragraph 32, 33, 34 -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. 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