DERIVATIVES AND HEDGING
The Duke Energy Registrants use commodity and interest rate contracts to manage commodity price and interest rate risks. The primary use of energy commodity derivatives is to hedge the generation portfolio against changes in the prices of electricity and natural gas. Interest rate swaps are used to manage interest rate risk associated with borrowings.
All derivative instruments not identified as NPNS are recorded at fair value as assets or liabilities on the Condensed Consolidated Balance Sheets. Cash collateral related to derivative instruments executed under master netting agreement is offset against the collateralized derivatives on the balance sheet.
Changes in the fair value of derivative agreements that either do not qualify for or have not been designated as hedges are reflected in current earnings or as regulatory assets or liabilities.
COMMODITY PRICE RISK
The Duke Energy Registrants are exposed to the impact of changes in the future prices of electricity, coal, and natural gas. Exposure to commodity price risk is influenced by a number of factors including the term of contracts, the liquidity of markets, and delivery locations.
Commodity Fair Value and Cash Flow Hedges
At September 30, 2014, there were no open commodity derivative instruments designated as hedges.
Undesignated Contracts
Undesignated contracts may include contracts not designated as a hedge, contracts that do not qualify for hedge accounting, derivatives that do not or no longer qualify for the NPNS scope exception, and de-designated hedge contracts. These contracts expire as late as 2018.
Duke Energy Carolinas’ undesignated contracts are primarily associated with forward sales and purchases of electricity. Duke Energy Progress’ and Duke Energy Florida’s undesignated contracts are primarily associated with forward purchases of natural gas. Duke Energy Ohio’s undesignated contracts are primarily associated with forward sales and purchases of electricity, coal, and natural gas. Duke Energy Indiana’s undesignated contracts are primarily associated with forward purchases and sales of electricity and financial transmission rights.
Volumes
The tables below show information relating to volumes of outstanding commodity derivatives. Amounts disclosed represent the notional volumes of commodity contracts excluding NPNS. Amounts disclosed represent the absolute value of notional amounts. 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, 2014 |
| Duke Energy |
| | Duke Energy Carolinas |
| | Progress Energy |
| | Duke Energy Progress |
| | Duke Energy Florida |
| | Duke Energy Ohio |
| | Duke Energy Indiana |
|
Electricity (gigawatt-hours)(a) | 29,569 |
| | — |
| | — |
| | — |
| | — |
| | 25,680 |
| | 607 |
|
Natural gas (millions of decatherms) | 659 |
| | — |
| | 319 |
| | 117 |
| | 202 |
| | 340 |
| | — |
|
|
| | | | | | | | | | | | | | | | | | | | |
| December 31, 2013 |
| Duke Energy |
| | Duke Energy Carolinas |
| | Progress Energy |
| | Duke Energy Progress |
| | Duke Energy Florida |
| | Duke Energy Ohio |
| | Duke Energy Indiana |
|
Electricity (gigawatt-hours)(a) | 71,466 |
| | 1,205 |
| | 925 |
| | 925 |
| | — |
| | 69,362 |
| | 203 |
|
Natural gas (millions of decatherms) | 636 |
| | — |
| | 363 |
| | 141 |
| | 222 |
| | 274 |
| | — |
|
| |
(a) | Amounts at Duke Energy Ohio include intercompany positions that eliminate at Duke Energy. |
INTEREST RATE RISK
The Duke Energy Registrants are exposed to changes in interest rates as a result of their issuance or anticipated issuance of variable-rate and fixed-rate debt and commercial paper. Interest rate risk is managed by limiting variable-rate exposures to a percentage of total debt and by monitoring changes in interest rates. To manage risk associated with changes in interest rates, the Duke Energy Registrants may enter into interest rate swaps, U.S. Treasury lock agreements, and other financial contracts. In anticipation of certain fixed-rate debt issuances, a series of forward starting interest rate swaps may be executed to lock in components of current market interest rates. These instruments are later terminated prior to or upon the issuance of the corresponding debt. Pretax gains or losses recognized from inception to termination of the hedges are amortized as a component of interest expense over the life of the debt.
Duke Energy has a combination foreign exchange, pay fixed-receive floating interest rate swap to fix the US dollar equivalent payments on a floating-rate Chilean debt issue.
The following tables show notional amounts for derivatives related to interest rate risk. |
| | | | | | | | | | | | | | | |
| September 30, 2014 | | December 31, 2013 |
(in millions) | Duke Energy |
| | Duke Energy Ohio |
| | Duke Energy |
| | Duke Energy Ohio |
|
Cash flow hedges(a) | $ | 764 |
| | $ | — |
| | $ | 798 |
| | $ | — |
|
Undesignated contracts | 27 |
| | 27 |
| | 34 |
| | 27 |
|
Total notional amount | $ | 791 |
| | $ | 27 |
| | $ | 832 |
| | $ | 27 |
|
| |
(a) | Duke Energy includes amounts related to consolidated Variable Interest Entities (VIEs) of $552 million at September 30, 2014 and $584 million at December 31, 2013. |
DUKE ENERGY
The following table shows the fair value of derivatives and the line items in the Condensed Consolidated Balance Sheets where they are reported. 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. |
| | | | | | | | | | | | | | | |
| September 30, 2014 | | December 31, 2013 |
(in millions) | Asset |
| | Liability |
| | Asset |
| | Liability |
|
Derivatives Designated as Hedging Instruments | | | | | | | |
Commodity contracts | | | | | | | |
Current Liabilities: Other | $ | — |
| | $ | 1 |
| | $ | — |
| | $ | 1 |
|
Interest rate contracts | | | | | | | |
Investments and Other Assets: Other | 16 |
| | — |
| | 27 |
| | — |
|
Current Liabilities: Other | — |
| | 14 |
| | — |
| | 18 |
|
Deferred Credits and Other Liabilities: Other | — |
| | 23 |
| | — |
| | 4 |
|
Total Derivatives Designated as Hedging Instruments | 16 |
| | 38 |
| | 27 |
| | 23 |
|
Derivatives Not Designated as Hedging Instruments | | | | | | | |
Commodity contracts | | | | | | | |
Current Assets: Other | 36 |
| | — |
| | 201 |
| | 158 |
|
Current Assets: Assets Held for Sale | 2 |
| | 2 |
| | — |
| | — |
|
Investments and Other Assets: Other | 9 |
| | — |
| | 215 |
| | 131 |
|
Investments and Other Assets: Assets Held for Sale | 9 |
| | 2 |
| | — |
| | — |
|
Current Liabilities: Other | 4 |
| | 123 |
| | 13 |
| | 153 |
|
Current Liabilities: Liabilities Associated with Assets Held for Sale | 346 |
| | 445 |
| | — |
| | — |
|
Deferred Credits and Other Liabilities: Other | — |
| | 37 |
| | 5 |
| | 166 |
|
Deferred Credits and Other Liabilities: Liabilities Associated with Assets Held for Sale | 148 |
| | 260 |
| | — |
| | — |
|
Interest rate contracts | | | | | | | |
Current Liabilities: Other | — |
| | 1 |
| | — |
| | 1 |
|
Deferred Credits and Other Liabilities: Other | — |
| | 5 |
| | — |
| | 4 |
|
Total Derivatives Not Designated as Hedging Instruments | 554 |
| | 875 |
| | 434 |
| | 613 |
|
Total Derivatives | $ | 570 |
| | $ | 913 |
| | $ | 461 |
| | $ | 636 |
|
The tables below show the balance sheet location of derivative contracts subject to enforceable master netting agreements and include collateral posted to offset the net position. This disclosure is intended to enable users to evaluate the effect of netting arrangements on financial position. The amounts shown were 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, 2014 | | December 31, 2013 |
(in millions) | Current(a) | | Non-Current(b) | | Current(e) | | Non-Current(f) |
Gross amounts recognized | $ | 388 |
| | $ | 175 |
| | $ | 214 |
| | $ | 233 |
|
Gross amounts offset | (362 | ) | | (127 | ) | | (179 | ) | | (138 | ) |
Net amount subject to master netting | 26 |
| | 48 |
| | 35 |
| | 95 |
|
Amounts not subject to master netting | — |
| | 7 |
| | — |
| | 14 |
|
Net amounts recognized on the Condensed Consolidated Balance Sheet | $ | 26 |
| | $ | 55 |
| | $ | 35 |
| | $ | 109 |
|
|
| | | | | | | | | | | | | | | |
| Derivative Liabilities |
| September 30, 2014 | | December 31, 2013 |
(in millions) | Current(c) | | Non-Current(d) | | Current(g) | | Non-Current(h) |
Gross amounts recognized | $ | 583 |
| | $ | 314 |
| | $ | 322 |
| | $ | 299 |
|
Gross amounts offset | (402 | ) | | (203 | ) | | (192 | ) | | (155 | ) |
Net amounts subject to master netting | 181 |
| | 111 |
| | 130 |
| | 144 |
|
Amounts not subject to master netting | 3 |
| | 13 |
| | 4 |
| | 11 |
|
Net amounts recognized on the Condensed Consolidated Balance Sheet | $ | 184 |
| | $ | 124 |
| | $ | 134 |
| | $ | 155 |
|
| |
(a) | Included in Other and Assets Held for Sale within Current Assets on the Condensed Consolidated Balance Sheet. |
| |
(b) | Included in Other and Assets Held for Sale within Investments and Other Assets on the Condensed Consolidated Balance Sheet. |
| |
(c) | Included in Other and Liabilities Associated with Assets Held for Sale within Current Liabilities on the Condensed Consolidated Balance Sheet. |
| |
(d) | Included in Other and Liabilities Associated with Assets Held for Sale within Deferred Credits and Other Liabilities on the Condensed Consolidated Balance Sheet. |
| |
(e) | Included in Other within Current Assets on the Condensed Consolidated Balance Sheet. |
| |
(f) | Included in Other within Investments and Other Assets on the Condensed Consolidated Balance Sheet. |
| |
(g) | Included in Other within Current Liabilities on the Condensed Consolidated Balance Sheet. |
| |
(h) | Included in Other within Deferred Credits and Other Liabilities on the Condensed Consolidated Balance Sheet. |
The following table shows the gains and losses recognized on cash flow hedges and the line items on the Condensed Consolidated Statements of Operations where such gains and losses are included when reclassified from AOCI. Amounts for interest rate contracts are reclassified to earnings as interest expense over the term of the related debt. |
| | | | | | | | | | | | | | | |
| Three Months Ended September 30, | | Nine Months Ended September 30, |
(in millions) | 2014 |
| | 2013 |
| | 2014 |
| | 2013 |
|
Pretax Gains (Losses) Recorded in AOCI | | | | | | | |
Interest rate contracts | $ | (6 | ) | | $ | — |
| | $ | (15 | ) | | $ | 71 |
|
Commodity contracts | — |
| | — |
| | — |
| | 1 |
|
Total Pretax Gains (Losses) Recorded in AOCI | $ | (6 | ) | | $ | — |
| | $ | (15 | ) | | $ | 72 |
|
Location of Pretax Gains (Losses) Reclassified from AOCI into Earnings | | | | | | | |
Interest rate contracts | | | | | | | |
Interest expense | (2 | ) | | — |
| | (7 | ) | | (2 | ) |
There was no hedge ineffectiveness during the three and nine months ended September 30, 2014 and 2013, and no gains or losses were excluded from the assessment of hedge effectiveness during the same periods.
A $9 million pretax gain is expected to be recognized in earnings during the next 12 months as interest expense.
The following table shows the gains and losses during the year recognized on undesignated derivatives and the line items on the Condensed Consolidated Statements of Operations or the Condensed Consolidated Balance Sheets where the pretax gains and losses were reported. Amounts included in Regulatory Assets or Liabilities for commodity contracts are reclassified to earnings to match recovery through the fuel clause. Amounts included in Regulatory Assets or Liabilities for interest rate contracts are reclassified to earnings as interest expense over the term of the related debt. |
| | | | | | | | | | | | | | | |
| Three Months Ended September 30, | | Nine Months Ended September 30, |
(in millions) | 2014 |
| | 2013 |
| | 2014 |
| | 2013 |
|
Location of Pretax Gains and (Losses) Recognized in Earnings | | | | | | | |
Commodity contracts | | | | | | | |
Revenue: Regulated electric | $ | — |
| | $ | 3 |
| | $ | — |
| | $ | 10 |
|
Revenue: Nonregulated electric, natural gas and other | — |
| | (7 | ) | | — |
| | (7 | ) |
Fuel used in electric generation and purchased power - regulated | 32 |
| | (68 | ) | | 18 |
| | (157 | ) |
Fuel used in electric generation and purchased power - nonregulated | — |
| | (2 | ) | | — |
| | — |
|
Loss from Discontinued Operations | (319 | ) | | — |
| | (825 | ) | | (28 | ) |
Interest rate contracts | | | | | | | |
Interest expense | 9 |
| | (4 | ) | | — |
| | (13 | ) |
Total Pretax Gains (Losses) Recognized in Earnings | $ | (278 | ) | | $ | (78 | ) | | $ | (807 | ) | | $ | (195 | ) |
Location of Pretax Gains and (Losses) Recognized as Regulatory Assets or Liabilities | | | | | | | |
Commodity contracts | | | | | | | |
Regulatory assets | $ | 3 |
| | $ | (29 | ) | | $ | 2 |
| | $ | (34 | ) |
Regulatory liabilities | 1 |
| | 6 |
| | — |
| | 10 |
|
Interest rate contracts | | | | | | | |
Regulatory assets | (7 | ) | | 12 |
| | 9 |
| | 51 |
|
Regulatory liabilities | (12 | ) | | — |
| | 16 |
| | — |
|
Total Pretax Gains (Losses) Recognized as Regulatory Assets or Liabilities | $ | (15 | ) | | $ | (11 | ) | | $ | 27 |
| | $ | 27 |
|
DUKE ENERGY CAROLINAS
The fair values of derivative instruments were not material for the periods presented in this quarterly report.
PROGRESS ENERGY
The following table shows the fair value of derivatives and the line items in the Condensed Consolidated Balance Sheets where they are reported. 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. |
| | | | | | | | | | | | | | | |
| September 30, 2014 | | December 31, 2013 |
(in millions) | Asset |
| | Liability |
| | Asset |
| | Liability |
|
Derivatives Designated as Hedging Instruments | | | | | | | |
Commodity contracts | | | | | | | |
Current Liabilities: Other | $ | — |
| | $ | — |
| | $ | — |
| | $ | 1 |
|
Deferred Credits and Other Liabilities: Other | — |
| | — |
| | — |
| | 4 |
|
Total Derivatives Designated as Hedging Instruments | — |
| | — |
| | — |
| | 5 |
|
Derivatives Not Designated as Hedging Instruments | | | | | | | |
Commodity contracts | | | | | | | |
Current Assets: Other | — |
| | — |
| | 3 |
| | 2 |
|
Investments and Other Assets: Other | — |
| | — |
| | 2 |
| | 1 |
|
Current Liabilities: Other | 1 |
| | 115 |
| | 11 |
| | 105 |
|
Deferred Credits and Other Liabilities: Other | 1 |
| | 29 |
| | 4 |
| | 91 |
|
Total Derivatives Not Designated as Hedging Instruments | 2 |
| | 144 |
| | 20 |
| | 199 |
|
Total Derivatives | $ | 2 |
| | $ | 144 |
| | $ | 20 |
| | $ | 204 |
|
The tables below show the balance sheet location of derivative contracts subject to enforceable master netting agreements and include collateral posted to offset the net position. This disclosure is intended to enable users to evaluate the effect of netting arrangements on financial position. The amounts shown were 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, 2014 | | December 31, 2013 |
(in millions) | Current(a) |
| | Non-Current(b) |
| | Current(a) |
| | Non-Current(b) |
|
Gross amounts recognized | $ | 1 |
| | $ | 1 |
| | $ | 15 |
| | $ | 5 |
|
Gross amounts offset | (1 | ) | | (1 | ) | | (13 | ) | | (4 | ) |
Net amounts recognized on the Condensed Consolidated Balance Sheet | $ | — |
| | $ | — |
| | $ | 2 |
| | $ | 1 |
|
|
| | | | | | | | | | | | | | | |
| Derivative Liabilities |
| September 30, 2014 | | December 31, 2013 |
(in millions) | Current(c) |
| | Non-Current(d) | | Current(c) |
| | Non-Current(d) |
|
Gross amounts recognized | $ | 115 |
| | $ | 29 |
| | $ | 107 |
| | $ | 93 |
|
Gross amounts offset | (1 | ) | | (1 | ) | | (17 | ) | | (10 | ) |
Net amounts subject to master netting | 114 |
| | 28 |
| | 90 |
| | 83 |
|
Amounts not subject to master netting | — |
| | — |
| | — |
| | 4 |
|
Net amounts recognized on the Condensed Consolidated Balance Sheet | $ | 114 |
| | $ | 28 |
| | $ | 90 |
| | $ | 87 |
|
| |
(a) | Included in Other within Current Assets on the Condensed Consolidated Balance Sheet. |
| |
(b) | Included in Other within Investments and Other Assets on the Condensed Consolidated Balance Sheet. |
| |
(c) | Included in Other within Current Liabilities on the Condensed Consolidated Balance Sheet. |
| |
(d) | Included in Other within Deferred Credits and Other Liabilities on the Condensed Consolidated Balance Sheet. |
Gains and losses on cash flow hedges and reclassifications from AOCI were not material for the periods presented in this quarterly report.
The following table shows the gains and losses during the year recognized on undesignated derivatives and the line items on the Condensed Consolidated Statements of Operations and Comprehensive Income or the Condensed Consolidated Balance Sheets where the pretax gains or losses were reported. Amounts included in Regulatory Assets or Liabilities for commodity contracts are reclassified to earnings to match recovery through the fuel clause. Amounts included in Regulatory Assets or Liabilities for interest rate contracts are reclassified to earnings as interest expense over the term of the related debt. |
| | | | | | | | | | | | | | | |
| Three Months Ended September 30, | | Nine Months Ended September 30, |
(in millions) | 2014 |
| | 2013 |
| | 2014 |
| | 2013 |
|
Location of Pretax Gains and (Losses) Recognized in Earnings | | | | | | | |
Commodity contracts | | | | | | | |
Operating revenues | $ | 1 |
| | $ | 3 |
| | $ | — |
| | $ | 10 |
|
Fuel used in electric generation and purchased power | 32 |
| | (68 | ) | | 18 |
| | (157 | ) |
Interest rate contracts | | | | | | | |
Interest expense | — |
| | (4 | ) | | — |
| | (13 | ) |
Total Pretax Gains (Losses) Recognized in Earnings | $ | 33 |
| | $ | (69 | ) | | $ | 18 |
| | $ | (160 | ) |
Location of Pretax Gains and (Losses) Recognized as Regulatory Assets or Liabilities | | | | | | | |
Commodity contracts | | | | | | | |
Regulatory assets | $ | 3 |
| | $ | (31 | ) | | $ | 19 |
| | $ | (34 | ) |
Interest rate contracts | | | | | | | |
Regulatory assets | — |
| | 4 |
| | — |
| | 13 |
|
Total Pretax Gains (Losses) Recognized as Regulatory Assets or Liabilities | $ | 3 |
| | $ | (27 | ) | | $ | 19 |
| | $ | (21 | ) |
DUKE ENERGY PROGRESS
The following table shows the fair value of derivatives and the line items in the Condensed Consolidated Balance Sheets where they are reported. 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. Substantially all derivatives not designated as hedging instruments receive regulatory accounting treatment. |
| | | | | | | | | | | | | | | |
| September 30, 2014 | | December 31, 2013 |
(in millions) | Asset |
| | Liability |
| | Asset |
| | Liability |
|
Derivatives Designated as Hedging Instruments | | | | | | | |
Commodity contracts | | | | | | | |
Current Liabilities: Other | $ | — |
| | $ | 1 |
| | $ | — |
| | $ | 1 |
|
Total Derivatives Designated as Hedging Instruments | — |
| | 1 |
| | — |
| | 1 |
|
Derivatives Not Designated as Hedging Instruments | | | | | | | |
Commodity contracts | | | | | | | |
Investments and Other Assets: Other | — |
| | — |
| | 2 |
| | 1 |
|
Current Liabilities: Other | 2 |
| | 39 |
| | 2 |
| | 40 |
|
Deferred Credits and Other Liabilities: Other | 1 |
| | 8 |
| | 2 |
| | 29 |
|
Total Derivatives Not Designated as Hedging Instruments | 3 |
| | 47 |
| | 6 |
| | 70 |
|
Total Derivatives | $ | 3 |
| | $ | 48 |
| | $ | 6 |
| | $ | 71 |
|
The tables below show the balance sheet location of derivative contracts subject to enforceable master netting agreements and include collateral posted to offset the net position. This disclosure is intended to enable users to evaluate the effect of netting arrangements on financial position. The amounts shown were 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, 2014 | | December 31, 2013 |
(in millions) | Current(a) |
| | Non-Current(b) |
| | Current(a) |
| | Non-Current(b) |
|
Gross amounts recognized | $ | 2 |
| | $ | 1 |
| | $ | 3 |
| | $ | 3 |
|
Gross amounts offset | (2 | ) | | (1 | ) | | (3 | ) | | (3 | ) |
Net amounts recognized on the Condensed Consolidated Balance Sheet | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
|
|
| | | | | | | | | | | | | | | |
| Derivative Liabilities |
| September 30, 2014 | | December 31, 2013 |
(in millions) | Current(c) |
| | Non-Current(d) | | Current(c) |
| | Non-Current(d) |
|
Gross amounts recognized | $ | 40 |
| | $ | 8 |
| | $ | 41 |
| | $ | 30 |
|
Gross amounts offset | (2 | ) | | (1 | ) | | (3 | ) | | (3 | ) |
Net amounts recognized on the Condensed Consolidated Balance Sheet | $ | 38 |
| | $ | 7 |
| | $ | 38 |
| | $ | 27 |
|
| |
(a) | Included in Other within Current Assets on the Condensed Consolidated Balance Sheet. |
| |
(b) | Included in Other within Investments and Other Assets on the Condensed Consolidated Balance Sheet. |
| |
(c) | Included in Other within Current Liabilities on the Condensed Consolidated Balance Sheet. |
| |
(d) | Included in Other within Deferred Credits and Other Liabilities on the Condensed Consolidated Balance Sheet. |
Gain and losses on cash flow hedges and reclassifications from AOCI were not material for the periods presented in this quarterly report.
The following table shows the gains and losses during the year recognized on undesignated derivatives and the line items on the Condensed Consolidated Statements of Operations and Comprehensive Income or the Condensed Consolidated Balance Sheets where the pretax gains and losses were reported. Amounts included in Regulatory Assets or Liabilities for commodity contracts are reclassified to earnings to match recovery through the fuel clause. Amounts included in Regulatory Assets or Liabilities for interest rate contracts are reclassified to earnings as interest expense over the term of the related debt. |
| | | | | | | | | | | | | | | |
| Three Months Ended September 30, | | Nine Months Ended September 30, |
(in millions) | 2014 |
| | 2013 |
| | 2014 |
| | 2013 |
|
Location of Pretax Gains and (Losses) Recognized in Earnings | | | | | | | |
Commodity contracts | | | | | | | |
Operating revenues | $ | 1 |
| | $ | 3 |
| | $ | — |
| | $ | 10 |
|
Fuel used in electric generation and purchased power | 13 |
| | (24 | ) | | 4 |
| | (53 | ) |
Interest rate contracts | | | | | | | |
Interest expense | — |
| | (3 | ) | | — |
| | (9 | ) |
Total Pretax Gains (Losses) Recognized in Earnings | $ | 14 |
| | $ | (24 | ) | | $ | 4 |
| | $ | (52 | ) |
Location of Pretax Gains and (Losses) Recognized as Regulatory Assets or Liabilities | | | | | | | |
Commodity contracts | | | | | | | |
Regulatory assets | $ | (19 | ) | | $ | (11 | ) | | $ | 21 |
| | $ | (18 | ) |
Interest rate contracts | | | | | | | |
Regulatory assets | — |
| | 3 |
| | — |
| | 10 |
|
Total Pretax Gains (Losses) Recognized as Regulatory Assets or Liabilities | $ | (19 | ) | | $ | (8 | ) | | $ | 21 |
| | $ | (8 | ) |
DUKE ENERGY FLORIDA
The following table shows the fair value of derivatives and the line items in the Condensed Consolidated Balance Sheets where they are reported. 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. Substantially all derivatives not designated as hedging instruments receive regulatory accounting treatment. |
| | | | | | | | | | | | | | | |
| September 30, 2014 | | December 31, 2013 |
(in millions) | Asset |
| | Liability |
| | Asset |
| | Liability |
|
Derivatives Not Designated as Hedging Instruments | | | | | | | |
Commodity contracts | | | | | | | |
Current Assets: Other | $ | — |
| | $ | — |
| | $ | 3 |
| | $ | 2 |
|
Current Liabilities: Other | 1 |
| | 75 |
| | 9 |
| | 64 |
|
Deferred Credits and Other Liabilities: Other | 1 |
| | 21 |
| | 2 |
| | 63 |
|
Total Derivatives | $ | 2 |
| | $ | 96 |
| | $ | 14 |
| | $ | 129 |
|
The tables below show the balance sheet location of derivative contracts subject to enforceable master netting agreements and include collateral posted to offset the net position. This disclosure is intended to enable users to evaluate the effect of netting arrangements on financial position. The amounts shown were 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, 2014 | | December 31, 2013 |
(in millions) | Current(a) |
| | Non-Current(b) | | Current(a) |
| | Non-Current(b) |
|
Gross amounts recognized | $ | 1 |
| | $ | 1 |
| | $ | 12 |
| | $ | 2 |
|
Gross amounts offset | (1 | ) | | (1 | ) | | (10 | ) | | (2 | ) |
Net amounts recognized on the Condensed Consolidated Balance Sheet | $ | — |
| | $ | — |
| | $ | 2 |
| | $ | — |
|
|
| | | | | | | | | | | | | | | |
| Derivative Liabilities |
| September 30, 2014 | | December 31, 2013 |
(in millions) | Current(c) |
| | Non-Current(d) |
| | Current(c) |
| | Non-Current(d) |
|
Gross amounts recognized | $ | 75 |
| | $ | 21 |
| | $ | 66 |
| | $ | 63 |
|
Gross amounts offset | (1 | ) | | (1 | ) | | (15 | ) | | (7 | ) |
Net amounts recognized on the Condensed Consolidated Balance Sheet | $ | 74 |
| | $ | 20 |
| | $ | 51 |
| | $ | 56 |
|
| |
(a) | Included in Other within Current Assets on the Condensed Balance Sheet. |
| |
(b) | Included in Other within Investments and Other Assets on the Condensed Balance Sheet. |
| |
(c) | Included in Other within Current Liabilities on the Condensed Balance Sheet. |
| |
(d) | Included in Other within Deferred Credits and Other Liabilities on the Condensed Balance Sheet. |
Gains and losses on cash flow hedges and reclassifications from AOCI were not material for the periods presented in this quarterly report.
The following table shows the gains and losses during the year recognized on undesignated derivatives and the line items on the Condensed Consolidated Statements of Operations and Comprehensive Income or the Condensed Consolidated Balance Sheets where the pretax gains and losses were reported. Amounts included in Regulatory Assets or Liabilities for commodity contracts are reclassified to earnings to match recovery through the fuel clause. |
| | | | | | | | | | | | | | | |
| Three Months Ended September 30, | | Nine Months Ended September 30, |
(in millions) | 2014 |
| | 2013 |
| | 2014 |
| | 2013 |
|
Location of Pretax Gains and (Losses) Recognized in Earnings | | | | | | | |
Commodity contracts | | | | | | | |
Fuel used in electric generation and purchased power | 20 |
| | (45 | ) | | 14 |
| | (105 | ) |
Interest rate contracts | | | | | | | |
Interest expense | — |
| | (1 | ) | | — |
| | (3 | ) |
Total Pretax Gains (Losses) Recognized in Earnings | $ | 20 |
| | $ | (46 | ) | | $ | 14 |
| | $ | (108 | ) |
Location of Pretax Gains and (Losses) Recognized as Regulatory Assets or Liabilities | | | | | | | |
Commodity contracts | | | | | | | |
Regulatory assets | $ | 22 |
| | $ | (19 | ) | | $ | (2 | ) | | $ | (16 | ) |
Interest rate contracts | | | | | | | |
Regulatory assets | — |
| | 1 |
| | — |
| | 3 |
|
Total Pretax Gains (Losses) Recognized as Regulatory Assets or Liabilities | $ | 22 |
| | $ | (18 | ) | | $ | (2 | ) | | $ | (13 | ) |
DUKE ENERGY OHIO
The following table shows the fair value of derivatives and the line items in the Condensed Consolidated Balance Sheets where they are reported. 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. |
| | | | | | | | | | | | | | | |
| September 30, 2014 | | December 31, 2013 |
(in millions) | Asset |
| | Liability |
| | Asset |
| | Liability |
|
Derivatives Not Designated as Hedging Instruments | | | | | | | |
Commodity contracts | | | | | | | |
Current Assets: Other | $ | 2 |
| | $ | — |
| | $ | 186 |
| | $ | 163 |
|
Current Assets: Assets Held for Sale | 1 |
| | 1 |
| | — |
| | — |
|
Investments and Other Assets: Other | — |
| | — |
| | 202 |
| | 130 |
|
Investments and Other Assets: Assets Held for Sale | 9 |
| | 2 |
| | — |
| | — |
|
Current Liabilities: Other | — |
| | — |
| | 1 |
| | 36 |
|
Current Liabilities: Liabilities Associated with Assets Held for Sale | 378 |
| | 484 |
| | — |
| | — |
|
Deferred Credits and Other Liabilities: Other | — |
| | — |
| | 2 |
| | 56 |
|
Deferred Credits and Other Liabilities: Liabilities Associated with Assets Held for Sale | 174 |
| | 287 |
| | — |
| | — |
|
Interest rate contracts | | | | | | | |
Current Liabilities: Other | — |
| | — |
| | — |
| | 1 |
|
Deferred Credits and Other Liabilities: Other | — |
| | 4 |
| | — |
| | 4 |
|
Total Derivatives Designated as Hedging Instruments | 564 |
| | 778 |
| | 391 |
| | 390 |
|
Total Derivatives | $ | 564 |
| | $ | 778 |
| | $ | 391 |
| | $ | 390 |
|
The tables below show the balance sheet location of derivative contracts subject to enforceable master netting agreements and include collateral posted to offset the net position. This disclosure is intended to enable users to evaluate the effect of netting arrangements on financial position. The amounts shown were 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, 2014 | | December 31, 2013 |
(in millions) | Current(a) |
| | Non-Current(b) | | Current(e) |
| | Non-Current(f) |
|
Gross amounts recognized | $ | 381 |
| | $ | 183 |
| | $ | 186 |
| | $ | 205 |
|
Gross amounts offset | (377 | ) | | (177 | ) | | (165 | ) | | (132 | ) |
Net amounts recognized on the Condensed Consolidated Balance Sheet | $ | 4 |
| | $ | 6 |
| | $ | 21 |
| | $ | 73 |
|
|
| | | | | | | | | | | | | | | |
| Derivative Liabilities |
| September 30, 2014 | | December 31, 2013 |
(in millions) | Current(c) |
| | Non-Current(d) | | Current(g) |
| | Non-Current(h) |
|
Gross amounts recognized | $ | 485 |
| | $ | 293 |
| | $ | 199 |
| | $ | 186 |
|
Gross amounts offset | (419 | ) | | (251 | ) | | (173 | ) | | (143 | ) |
Net amounts subject to master netting | 66 |
| | 42 |
| | 26 |
| | 43 |
|
Amounts not subject to master netting | — |
| | — |
| | 1 |
| | 4 |
|
Net amounts recognized on the Condensed Consolidated Balance Sheet | $ | 66 |
| | $ | 42 |
| | $ | 27 |
| | $ | 47 |
|
| |
(a) | Included in Assets Held for Sale within Current Assets on the Condensed Consolidated Balance Sheet. |
| |
(b) | Included in Assets Held for Sale within Investments and Other Assets on the Condensed Consolidated Balance Sheet. |
| |
(c) | Included in Liabilities Associated with Assets Held for Sale within Current Liabilities on the Condensed Consolidated Balance Sheet. |
| |
(d) | Included in Liabilities Associated with Assets Held for Sale within Deferred Credits and Other Liabilities on the Condensed Consolidated Balance Sheet. |
| |
(e) | Included in Other within Current Assets on the Condensed Consolidated Balance Sheet. |
| |
(f) | Included in Other within Investments and Other Assets on the Condensed Consolidated Balance Sheet. |
| |
(g) | Included in Other within Current Liabilities on the Condensed Consolidated Balance Sheet. |
| |
(h) | Included in Other within Deferred Credits and Other Liabilities on the Condensed Consolidated Balance Sheet. |
Gains and losses on cash flow hedges and reclassifications from AOCI were not material for the periods presented in this quarterly report.
The following table shows the gains and losses during the year recognized on undesignated derivatives and the line items on the Condensed Consolidated Statements of Operations and Comprehensive Income or the Condensed Consolidated Balance Sheets where the pretax gains and losses were reported. |
| | | | | | | | | | | | | | | |
| Three Months Ended September 30, | | Nine Months Ended September 30, |
(in millions) | 2014 |
| | 2013 |
| | 2014 |
| | 2013 |
|
Location of Pretax Gains and (Losses) Recognized in Earnings | | | | | | | |
Commodity contracts | | | | | | | |
Income (Loss) from Discontinued Operations | $ | (303 | ) | | $ | 3 |
| | $ | (887 | ) | | $ | (28 | ) |
Interest rate contracts | | | | | | | |
Interest expense | — |
| | — |
| | (1 | ) | | (1 | ) |
Total Pretax Gains (Losses) Recognized in Earnings | $ | (303 | ) | | $ | 3 |
| | $ | (888 | ) | | $ | (29 | ) |
Location of Pretax Gains and (Losses) Recognized as Regulatory Assets or Liabilities | | | | | | | |
Commodity contracts | | | | | | | |
Regulatory assets | $ | — |
| | $ | — |
| | $ | (1 | ) | | $ | — |
|
Interest rate contracts | | | | | | | |
Regulatory assets | — |
| | — |
| | — |
| | 3 |
|
Regulatory liabilities | — |
| | — |
| | 6 |
| | — |
|
Total Pretax Gains (Losses) Recognized as Regulatory Assets or Liabilities | $ | — |
| | $ | — |
| | $ | 5 |
| | $ | 3 |
|
DUKE ENERGY INDIANA
The fair values of derivative instruments were not material for the periods presented in this quarterly report.
CREDIT RISK
Certain derivative contracts contain contingent credit features. These features may include (i) material adverse change clauses or payment acceleration clauses that could result in immediate payments or (ii) the posting of letters of credit or termination of the derivative contract before maturity if specific events occur, such as a credit rating downgrade below investment grade.
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. Amounts for Duke Energy Carolinas and Duke Energy Indiana were not material. |
| | | | | | | | | | | | | | | | | | | |
| September 30, 2014 |
(in millions) | Duke Energy |
| | Progress Energy |
| | Duke Energy Progress |
| | Duke Energy Florida |
| | Duke Energy Ohio |
|
Aggregate fair value amounts of derivative instruments in a net liability position | $ | 688 |
| | $ | 107 |
| | $ | 38 |
| | $ | 69 |
| | $ | 688 |
|
Fair value of collateral already posted | 202 |
| | — |
| | — |
| | — |
| | 202 |
|
Additional cash collateral or letters of credit in the event credit-risk-related contingent features were triggered | 86 |
| | 107 |
| | 38 |
| | 69 |
| | 86 |
|
|
| | | | | | | | | | | | | | | | | | | |
| December 31, 2013 |
(in millions) | Duke Energy |
| | Progress Energy |
| | Duke Energy Progress |
| | Duke Energy Florida |
| | Duke Energy Ohio |
|
Aggregate fair value amounts of derivative instruments in a net liability position | $ | 525 |
| | $ | 168 |
| | $ | 60 |
| | $ | 108 |
| | $ | 355 |
|
Fair value of collateral already posted | 135 |
| | 10 |
| | — |
| | 10 |
| | 125 |
|
Additional cash collateral or letters of credit in the event credit-risk-related contingent features were triggered | 205 |
| | 158 |
| | 60 |
| | 98 |
| | 47 |
|
The Duke Energy Registrants have elected to offset cash collateral and fair values of derivatives. For amounts to be netted, the derivative must be executed with the same counterparty under the same master netting agreement. Amounts disclosed below represent the receivables related to the right to reclaim cash collateral and payables related to the obligation to return cash collateral under master netting arrangements. Amounts for Duke Energy Carolinas, Duke Energy Progress and Duke Energy Indiana were not material. |
| | | | | | | |
| September 30, 2014 | | December 31, 2013 |
(in millions) | Receivables | | Receivables |
Duke Energy | | | |
Amounts offset against net derivative positions | $ | 116 |
| | $ | 30 |
|
Amounts not offset against net derivative positions | 86 |
| | 122 |
|
Progress Energy | | | |
Amounts offset against net derivative positions | — |
| | 10 |
|
Duke Energy Florida | | | |
Amounts offset against net derivative positions | — |
| | 10 |
|
Duke Energy Ohio | | | |
Amounts offset against net derivative positions | 116 |
| | 19 |
|
Amounts not offset against net derivative positions | 86 |
| | 115 |
|