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175
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)
The following table provides a reconciliation of beginning and ending balances of assets and liabilities measured at fair value using Level 3 measurements.
Derivatives (net)
Years Ended December 31,
(in millions) 2015 2014
Balance at beginning of period $ 14 $ 12
Total pretax realized or unrealized gains included in earnings —3
Purchases, sales, issuances and settlements:
Purchases 19 49
Settlements (30) (41)
Total gains (losses) included on the Consolidated Balance Sheet as regulatory assets or liabilities 4(9)
Balance at end of period $ 7 $ 14
QUANTITATIVE INFORMATION ABOUT UNOBSERVABLE INPUTS
The following table includes quantitative information about the Duke Energy Registrants’ derivatives classified as Level 3.
December 31, 2015
Investment Type
Fair Value
(in millions) Valuation Technique Unobservable Input Range
Duke Energy
Financial transmission rights (FTRs) $ 10 RTO auction pricing FTR price – per megawatt-hour (MWh) $ (0.74) —$ 7.29
Duke Energy Ohio
FTRs $ 3 RTO auction pricing FTR price – per MWh $ 0.67 —$ 2.53
Duke Energy Indiana
FTRs $ 7 RTO auction pricing FTR price – per MWh $ (0.74) —$ 7.29
December 31, 2014
Investment Type
Fair Value
(in millions) Valuation Technique Unobservable Input Range
Duke Energy
Natural gas contracts $ (5) Discounted cash flow
Forward natural gas curves – price per Million British Thermal
Unit (MMBtu) $ 2.12 —$ 4.35
FTRs 14 RTO auction pricing FTR price – per MWh (1.92) —9.86
Electricity contracts (1) Discounted cash flow Forward electricity curves – price per MWh 25.16 —51.75
Commodity capacity option contracts 2 Discounted cash flow Forward capacity option curves – price per MW day 21.00 —109.00
Reserves (11) Bid-ask spreads, implied volatility, probability of default
Total Level 3 derivatives $ (1)
Duke Energy Ohio
Electricity contracts $ (6) Discounted cash flow Forward electricity curves – price per MWh $ 25.25 —$ 51.75
Natural gas contracts (5) Discounted cash flow Forward natural gas curves – price per MMBtu 2.12 —4.35
Reserves (7) Bid-ask spreads, implied volatility, probability of default
Total Level 3 derivatives $(18)
Duke Energy Indiana
FTRs $ 14 RTO auction pricing FTR price – per MWh $ (1.92) —$ 9.86