Duke Energy 2012 Annual Report Download - page 199

179
PART II
DUKE ENERGY CORPORATION • DUKE ENERGY CAROLINAS, LLC • PROGRESS ENERGY, INC. • CAROLINA POWER & LIGHT COMPANY d/b/a PROGRESS ENERGY
CAROLINAS, INC. • FLORIDA POWER CORPORATION d/b/a PROGRESS ENERY FLORIDA, INC. • DUKE ENERGY OHIO, INC. • DUKE ENERGY INDIANA, INC
.
Combined Notes to Consolidated Financial Statements – (Continued)
Years Ended
December 31,
(in millions) 2012 2011 2010
Location of Pre-tax Gains and (Losses) Recognized as
Regulatory Assets or Liabilities
Commodity contracts
Regulatory asset $ 2 $ (2) $—
Regulatory liability 35 17 14
Interest rate contracts
Regulatory asset 4 (67) —
Total Pre-tax Gains (Losses) Recognized as Regulatory
Assets of Liabilities $41 $(52) $ 14
Credit Risk
Certain derivative contracts of the Duke Energy Registrants contain
contingent credit features, such as material adverse change clauses or payment
acceleration clauses that could result in immediate payments, the posting of
letters of credit or the termination of the derivative contract before maturity if
specifi c events occur, such as a credit rating downgrade below investment grade.
The following table shows information with respect to derivative contracts
that are in a net liability position and contain objective credit-risk related payment
provisions. The amounts disclosed in the table below represent the aggregate fair
value amounts of such derivative instruments at the end of the reporting period,
the aggregate fair value of assets that are already posted as collateral under such
derivative instruments at the end of the reporting period, and the aggregate fair
value of additional assets that would be required to be transferred in the event
that credit-risk-related contingent features were triggered.
December 31, 2012
(in millions) Duke Energy Progress Energy
Progress Energy
Carolinas
Progress Energy
Florida
Duke Energy
Ohio
Aggregate fair value amounts of derivative instruments in a net liability position $466 $286 $108 $178 $176
Collateral already posted 163 59 9 50 104
Additional cash collateral or letters of credit in the event credit-risk-related contingent
features were triggered at the end of the reporting period 230 227 99 128 2
December 31, 2011
(in millions) Duke Energy Progress Energy
Progress Energy
Carolinas
Progress Energy
Florida
Duke Energy
Ohio
Aggregate fair value amounts of derivative instruments in a net liability position $96 $489 $152 $ 337 $94
Collateral already posted 36 147 24 123 35
Additional cash collateral or letters of credit in the event credit-risk-related contingent
features were triggered at the end of the reporting period 5 342 128 214 5
Netting of Cash Collateral and Derivative Assets and Liabilities Under Master Netting Arrangements.
In accordance with applicable accounting guidance, the Duke Energy Registrants have elected to offset fair value amounts (or amounts that approximate fair
value) recognized on their Consolidated Balance Sheets related to cash collateral amounts receivable or payable against fair value amounts recognized for derivative
instruments executed with the same counterparty under the same master netting agreement. The amounts disclosed in the table 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. See Note 16 for
additional information on fair value disclosures related to derivatives.