Duke Energy 2015 Annual Report Download - page 182

162
PART II
DUKE ENERGY CORPORATION • DUKE ENERGY CAROLINAS, LLC • PROGRESS ENERGY, INC. •
DUKE ENERGY PROGRESS, LLC • DUKE ENERGY FLORIDA, LLC • DUKE ENERGY OHIO, INC. • DUKE ENERGY INDIANA, INC.
Combined Notes to Consolidated Financial Statements – (Continued)
OBJECTIVE CREDIT CONTINGENT FEATURES
Certain derivative contracts contain objective credit contingent features. These features include the requirement to post cash collateral or letters of credit 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 Indiana were not material.
December 31, 2015
(in millions)
Duke
Energy
Duke Energy
Carolinas
Progress
Energy
Duke Energy
Progress
Duke Energy
Florida
Duke Energy
Ohio
Aggregate fair value of derivatives in a net liability position $ 334 $ 45 $ 290 $ 93 $ 194 $ —
Fair value of collateral already posted 30 — 30 — 30 —
Additional cash collateral or letters of credit in the event credit-risk-related
contingent features were triggered 304 45 260 93 164 —
December 31, 2014
(in millions)
Duke
Energy
Duke Energy
Carolinas
Progress
Energy
Duke Energy
Progress
Duke Energy
Florida
Duke Energy
Ohio(a)
Aggregate fair value of derivatives in a net liability position $ 845 $ 19 $ 370 $ 131 $ 239 $ 456
Fair value of collateral already posted 209 — 23 — 23 186
Additional cash collateral or letters of credit in the event credit-risk-related
contingent features were triggered 407 19 347 131 216 41
(a) Duke Energy Ohio includes amounts related to the Disposal Group for the year ended December 31, 2014.
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 arrangement.
Amounts disclosed below represent the receivables related to the right to
reclaim cash collateral under master netting arrangements.
December 31, 2015 December 31, 2014
(in millions) Receivables Receivables
Duke Energy
Amounts offset against net derivative
positions
$ 30 $ 145
Amounts not offset against net derivative
positions
— 64
Progress Energy
Amounts offset against net derivative
positions
30 23
Duke Energy Florida
Amounts offset against net derivative
positions
30 23
Duke Energy Ohio
Amounts offset against net derivative
positions
— 122
Amounts not offset against net derivative
positions
— 64
15. INVESTMENTS IN DEBT AND EQUITY SECURITIES
AVAILABLE-FOR-SALE SECURITIES
The Duke Energy Registrants classify their investments in debt and equity
securities as available-for-sale.
Duke Energy’s available-for-sale securities are primarily comprised
of investments held in (i) the NDTF at Duke Energy Carolinas, Duke Energy
Progress and Duke Energy Florida, (ii) grantor trusts at Duke Energy Progress,
Duke Energy Florida and Duke Energy Indiana related to OPEB plans, (iii) Duke
Energy’s captive insurance investment portfolio, and (iv) Duke Energy’s foreign
operations investment portfolio.
Duke Energy classifies all other investments in debt and equity securities
as long term, unless otherwise noted.
Investment Trusts
The investments within the NDTF investments and the Duke Energy
Progress, Duke Energy Florida and Duke Energy Indiana grantor trusts
(Investment Trusts) are managed by independent investment managers with
discretion to buy, sell, and invest pursuant to the objectives set forth by the
trust agreements. The Duke Energy Registrants have limited oversight of the
day-to-day management of these investments. As a result, the ability to hold
investments in unrealized loss positions is outside the control of the Duke
Energy Registrants. Accordingly, all unrealized losses associated with debt
and equity securities within the Investment Trusts are considered other-than-
temporary impairments and are recognized immediately.