Progress Energy 2010 Annual Report Download - page 104

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100
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
D. Derivative Instrument and Hedging Activity Information
The following table presents the fair value of derivative instruments at December 31:
Instrument / Balance sheet location 2010 2009
(in millions) Asset Liability Asset Liability
Derivatives designated as hedging instruments
Interest rate derivatives
Prepayments and other current assets $1 $5
Other assets and deferred debits 314
Derivative liabilities, current $32 $–
Derivative liabilities, long-term 7–
Total derivatives designated as hedging instruments 4 39 19 –
Derivatives not designated as hedging instruments
Commodity derivatives(a)
Prepayments and other current assets 11 11
Other assets and deferred debits 49
Derivative liabilities, current 226 189
Derivative liabilities, long-term 268 236
CVOs(b)
Other liabilities and deferred credits 15 15
Fair value of derivatives not designated as hedging instruments 15 509 20 440
Fair value loss transition adjustment(c)
Derivative liabilities, current 11
Derivative liabilities, long-term 34
Total derivatives not designated as hedging instruments 15 513 20 445
Total derivatives $19 $552 $39 $445
(a) Substantially all of these contracts receive regulatory treatment.
(b) The Parent issued 98.6 million CVOs in connection with the acquisition of Florida Progress during 2000 (See Note 15).
(c) In 2003, PEC recorded a $38 million pre-tax ($23 million after-tax) fair value loss transition adjustment pursuant to the adoption of new
accounting฀guidance฀for฀derivatives.฀The฀related฀liability฀is฀being฀amortized฀to฀earnings฀over฀the฀term฀of฀the฀related฀contracts.
The following tables present the effect of derivative
instruments on the Consolidated Statements of
Comprehensive Income and the Consolidated Statements
of Income for the years ended December 31:
Derivatives Designated as Hedging Instruments
Instrument
Amount of Gain or
(Loss)฀Recognized฀in
OCI, Net of Tax
on Derivatives(a)
Amount of Gain or
(Loss), Net of Tax
Reclassified from
Accumulated OCI
into Income(a)
Amount of Pre-tax
Gain or (Loss)
Recognized฀in฀Income
on Derivatives(b)
(in millions) 2010 2009 2008 2010 2009 2008 2010 2009 2008
Commodity cash flow derivatives $– $1 $(2) $– $– $– $– $– $–
Interest rate derivatives(c)(d) (34) 15 (35) (6) (6) (3) 3 (3) 1
Total $(34) $16 $(37) $(6) $(6) $(3) $3 $(3) $1
(a) Effective portion.
(b) Related to ineffective portion and amount excluded from effectiveness testing.
(c) Amounts in accumulated OCI related to terminated hedges are reclassified to earnings as the interest expense is recorded. The effective
portion฀of฀the฀hedges฀will฀be฀amortized฀to฀interest฀expense฀over฀the฀term฀of฀the฀related฀debt.
(d) Amounts recorded in the Consolidated Statements of Income are classified in interest charges.