Duke Energy 2011 Annual Report Download - page 191

PART II
DUKE ENERGY CORPORATION •DUKE ENERGY CAROLINAS, LLC •DUKE ENERGY OHIO, INC. •DUKE ENERGY INDIANA, INC.
Combined Notes to Consolidated Financial Statements – (Continued)
Duke Energy Ohio
Thefollowingtablesprovidethefairvaluemeasurement
amounts for assets and liabilities recorded on Duke Energy Ohio’s
Consolidated Balance Sheets at fair value at December 31, 2011
and December 31, 2010. Amounts presented in the tables below
exclude cash collateral amounts which are disclosed separately in
Note 14.
(in millions)
Total Fair Value
Amounts at
December 31,
2011 Level 1 Level 2 Level 3
Description
Derivative assets(a) $56 $42 $5 $ 9
Derivative
liabilities(b) (30) (10) (8) (12)
Net Assets $ 26 $ 32 $(3) $ (3)
(a) Included in Other within Current Assets and Other within Investments and Other Assets
on the Consolidated Balance Sheets.
(b) Included in Other within Current Liabilities and Other within Deferred Credits and Other
Liabilities on the Consolidated Balance Sheets.
(in millions)
TotalFairValue
Amounts at
December 31,
2010 Level 1 Level 2 Level 3
Description
Derivative assets(a) $59 $20 $6 $33
Derivative liabilities(b) (32) (7) (5) (20)
Net (Liabilities)
Assets $ 27 $13 $ 1 $ 13
(a) Included in Other within Current Assets and Other within Investments and Other Assets
on the Consolidated Balance Sheets.
(b) Included in Other within Current Liabilities and Other within Deferred Credits and Other
Liabilities on the Consolidated Balance Sheets.
The following table provides a reconciliation of beginning and
ending balances of assets measured at fair value on a recurring basis
where the determination of fair value includes significant
unobservable inputs (Level 3):
Rollforward of Level 3 Measurements
Derivatives
(net)
Year Ended December 31, 2011
Balance at January 1, 2011 $13
Total pre-tax realized and unrealized losses included in
earnings:
Revenue, non-regulated electric and other (4)
Net purchases, sales, issuances and settlements:
Settlements (14)
Total gains included on the Consolidated Balance
Sheet as regulatory asset or liability or as
non-current liability 2
Balance at December 31, 2011 $(3)
There were insignificant amounts included in the
Consolidated Statements of Operations related to Level 3
measurements outstanding at December 31, 2011.
Year Ended December 31, 2010
Balance at January 1, 2010 $ 7
Total pre-tax realized and unrealized gains (losses)
included in earnings:
Revenue, non-regulated electric and other 8
Fuel used in electric generation and purchased
power-non-regulated (12)
Total pre-tax losses included in other comprehensive
income:
Losses on commodity cash flow hedges (1)
Net purchases, sales, issuances and settlements 8
Total gains included on the Consolidated Balance
Sheet as regulatory asset or liability or as
non-current liability 3
Balance at December 31, 2010 $ 13
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