XML 91 R36.htm IDEA: XBRL DOCUMENT v3.19.3
Derivative Instruments and Hedging Activities (Tables)
 9 Months Ended
Sep. 30, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Offsetting of Liabilities
The fair values of the Companies’ derivatives including the offsetting of assets and liabilities on the consolidated balance sheet at September 30, 2019 and December 31, 2018 were:
 
(Millions of Dollars)
2019
 
2018
 
Balance Sheet Location
Gross Amounts of
Recognized
Assets/(Liabilities)
Gross
Amounts
Offset
Net Amounts
of Assets/
(Liabilities) (a)
 
Gross Amounts of
Recognized
Assets/(Liabilities)
Gross
Amounts
Offset
Net Amounts
of Assets/
(Liabilities) (a)
 
Con Edison
 
 
 
 
 
 
 
 
Fair value of derivative assets
 
 
 
 
 
 
 
 
Current
$51
$(8)
$43
(b)
$43
$(14)
$29
(b)
Noncurrent
7
(7)
—

 
16
(7)
9
(d)
Total fair value of derivative assets
$58
$(15)
$43
 
$59
$(21)
$38
 
Fair value of derivative liabilities
 
 
 
 
 
 
 
 
Current
$(89)
$17
$(72)
(c)
$(61)
$11
$(50)
 
Noncurrent
(156)
9
(147)
(c)
(25)
9
(16)
(d)
Total fair value of derivative liabilities
$(245)
$26
$(219)
 
$(86)
$20
$(66)
 
Net fair value derivative assets/(liabilities)
$(187)
$11
$(176)
 
$(27)
$(1)
$(28)
 
CECONY
 
 
 
 
 
 
 
 
Fair value of derivative assets
 
 
 
 
 
 
 
 
Current
$42
$(19)
$23
(b)
$25
$(6)
$19
(b)
Noncurrent
6
(6)
—

 
11
(5)
6
 
Total fair value of derivative assets
$48
$(25)
$23
 
$36
$(11)
$25
 
Fair value of derivative liabilities
 
 
 
 
 
 
 
 
Current
$(61)
$28
$(33)
 
$(31)
$6
$(25)
 
Noncurrent
(90)
8
(82)
 
(12)
6
(6)
 
Total fair value of derivative liabilities
$(151)
$36
$(115)
 
$(43)
$12
$(31)
 
Net fair value derivative assets/(liabilities)
$(103)
$11
$(92)
 
$(7)
$1
$(6)
 
(a)
Derivative instruments and collateral were offset on the consolidated balance sheet as applicable under the accounting rules. The Companies enter into master agreements for their commodity derivatives. These agreements typically provide offset in the event of contract termination. In such case, generally the non-defaulting party’s payable will be offset by the defaulting party’s payable. The non-defaulting party will customarily notify the defaulting party within a specific time period and come to an agreement on the early termination amount.
(b)
At September 30, 2019 and December 31, 2018, margin deposits for Con Edison ($7 million) and CECONY ($6 million) were classified as derivative assets on the consolidated balance sheet, but not included in the table. Margin is collateral, typically cash, that the holder of a derivative instrument is required to deposit in order to transact on an exchange and to cover its potential losses with its broker or the exchange.
(c)
Includes amounts for interest rate swaps of $(7) million in current liabilities and $(57) million in noncurrent liabilities. At September 30, 2019, the Clean Energy Businesses had interest rate swaps with notional amounts of $934 million. The expiration dates of the swaps range from 2024-2041.
(d)
Includes amounts for interest rate swaps of $2 million in noncurrent assets and $(6) million in noncurrent liabilities. At December 31, 2018, the Clean Energy Business had interest rate swaps with notional amounts of $499 million. The expiration dates of the swaps range from 2024-2035.
Offsetting of Assets
The fair values of the Companies’ derivatives including the offsetting of assets and liabilities on the consolidated balance sheet at September 30, 2019 and December 31, 2018 were:
 
(Millions of Dollars)
2019
 
2018
 
Balance Sheet Location
Gross Amounts of
Recognized
Assets/(Liabilities)
Gross
Amounts
Offset
Net Amounts
of Assets/
(Liabilities) (a)
 
Gross Amounts of
Recognized
Assets/(Liabilities)
Gross
Amounts
Offset
Net Amounts
of Assets/
(Liabilities) (a)
 
Con Edison
 
 
 
 
 
 
 
 
Fair value of derivative assets
 
 
 
 
 
 
 
 
Current
$51
$(8)
$43
(b)
$43
$(14)
$29
(b)
Noncurrent
7
(7)
—

 
16
(7)
9
(d)
Total fair value of derivative assets
$58
$(15)
$43
 
$59
$(21)
$38
 
Fair value of derivative liabilities
 
 
 
 
 
 
 
 
Current
$(89)
$17
$(72)
(c)
$(61)
$11
$(50)
 
Noncurrent
(156)
9
(147)
(c)
(25)
9
(16)
(d)
Total fair value of derivative liabilities
$(245)
$26
$(219)
 
$(86)
$20
$(66)
 
Net fair value derivative assets/(liabilities)
$(187)
$11
$(176)
 
$(27)
$(1)
$(28)
 
CECONY
 
 
 
 
 
 
 
 
Fair value of derivative assets
 
 
 
 
 
 
 
 
Current
$42
$(19)
$23
(b)
$25
$(6)
$19
(b)
Noncurrent
6
(6)
—

 
11
(5)
6
 
Total fair value of derivative assets
$48
$(25)
$23
 
$36
$(11)
$25
 
Fair value of derivative liabilities
 
 
 
 
 
 
 
 
Current
$(61)
$28
$(33)
 
$(31)
$6
$(25)
 
Noncurrent
(90)
8
(82)
 
(12)
6
(6)
 
Total fair value of derivative liabilities
$(151)
$36
$(115)
 
$(43)
$12
$(31)
 
Net fair value derivative assets/(liabilities)
$(103)
$11
$(92)
 
$(7)
$1
$(6)
 
(a)
Derivative instruments and collateral were offset on the consolidated balance sheet as applicable under the accounting rules. The Companies enter into master agreements for their commodity derivatives. These agreements typically provide offset in the event of contract termination. In such case, generally the non-defaulting party’s payable will be offset by the defaulting party’s payable. The non-defaulting party will customarily notify the defaulting party within a specific time period and come to an agreement on the early termination amount.
(b)
At September 30, 2019 and December 31, 2018, margin deposits for Con Edison ($7 million) and CECONY ($6 million) were classified as derivative assets on the consolidated balance sheet, but not included in the table. Margin is collateral, typically cash, that the holder of a derivative instrument is required to deposit in order to transact on an exchange and to cover its potential losses with its broker or the exchange.
(c)
Includes amounts for interest rate swaps of $(7) million in current liabilities and $(57) million in noncurrent liabilities. At September 30, 2019, the Clean Energy Businesses had interest rate swaps with notional amounts of $934 million. The expiration dates of the swaps range from 2024-2041.
(d)
Includes amounts for interest rate swaps of $2 million in noncurrent assets and $(6) million in noncurrent liabilities. At December 31, 2018, the Clean Energy Business had interest rate swaps with notional amounts of $499 million. The expiration dates of the swaps range from 2024-2035.
Realized and Unrealized Gains or Losses on Commodity Derivatives
The following table presents the realized and unrealized gains or losses on derivatives that have been deferred or recognized in earnings for the three and nine months ended September 30, 2019 and 2018:
 
 
 
For the Three Months Ended September 30,
 
 
          Con Edison
 
          CECONY
(Millions of Dollars)
Balance Sheet Location
2019

2018

 
2019

2018

Pre-tax gains/(losses) deferred in accordance with accounting rules for regulated operations:
 
 
 
Current
Deferred derivative gains
$15
$6
 
$15
$6
Noncurrent
Deferred derivative gains
—

—

 
—

2
Total deferred gains/(losses)
 
$15
$6
 
$15
$8
Current
Deferred derivative losses
$6
$25
 
$6
$25
Current
Recoverable energy costs
(35)
(4)
 
(32)
(6)
Noncurrent
Deferred derivative losses
18
15
 
16
14
Total deferred gains/(losses)
 
$(11)
$36
 
$(10)
$33
Net deferred gains/(losses)
 
$4
$42
 
$5
$41
 
Income Statement Location
 
 
 
 
 
Pre-tax gains/(losses) recognized in income
 
 
 
 
 
 
Gas purchased for resale
$1

$—

 

$—


$—

 
Non-utility revenue
5
(7)
 
—

—

 
Other operations and maintenance expense
(1)
—

 
(1)
 
 
Other interest expense
(26)
—

 
—

—

Total pre-tax gains/(losses) recognized in income
$(21)
$(7)
 
$(1)

$—


 
 
For the Nine Months Ended September 30,
 
 
          Con Edison
 
          CECONY
(Millions of Dollars)
Balance Sheet Location
2019
2018

 
2019

2018

Pre-tax gains/(losses) deferred in accordance with accounting rules for regulated operations:
 
 
 
Current
Deferred derivative gains
$3
$(11)
 
$3
$(10)
Noncurrent
Deferred derivative gains
(8)
5
 
(5)
4
Total deferred gains/(losses)
$(5)
$(6)
 
$(2)
$(6)
Current
Deferred derivative losses
$(32)
$21
 
$(28)
$23
Current
Recoverable energy costs
(94)
(13)
 
(82)
(14)
Noncurrent
Deferred derivative losses
(82)
23
 
(79)
21
Total deferred gains/(losses)
$(208)
$31
 
$(189)
$30
Net deferred gains/(losses)
$(213)
$25
 
$(191)
$24
 
Income Statement Location
 
 
 
 
 
Pre-tax gains/(losses) recognized in income
 
 
 
 
Gas purchased for resale
$(2)
$(1)
 

$—


$—

 
Non-utility revenue
20
(7)
 
—

—

 
Other interest expense
(60)
—

 
—

—

Total pre-tax gains/(losses) recognized in income
$(42)
$(8)
 

$—


$—
Hedged Volume of Derivative Transactions
The following table presents the hedged volume of Con Edison’s and CECONY’s commodity derivative transactions at September 30, 2019:
 
 
Electric Energy
(MWh) (a)(b)
Capacity (MW) (a)
Natural Gas
(Dt) (a)(b)
Refined Fuels
(gallons)
Con Edison
27,843,993

25,054

277,395,718

6,720,000

CECONY
25,361,275

16,800

260,350,000

6,720,000

(a)
Volumes are reported net of long and short positions, except natural gas collars where the volumes of long positions are reported.
(b)
Excludes electric congestion and gas basis swap contracts, which are associated with electric and gas contracts and hedged volumes.
Aggregate Fair Value of Companies' Derivative Instruments with Credit-Risk-Related Contingent Features
The following table presents the aggregate fair value of the Companies’ derivative instruments with credit-risk-related contingent features that are in a net liability position, the collateral posted for such positions and the additional collateral that would have been required to be posted had the lowest applicable credit rating been reduced one level and to below investment grade at September 30, 2019:
 
(Millions of Dollars)
Con Edison (a)
 
CECONY (a)
 
Aggregate fair value – net liabilities
$112
 
$95
 
Collateral posted
26
 
20
 
Additional collateral (b) (downgrade one level from current ratings)
18
 
14
 
Additional collateral (b) (downgrade to below investment grade from current ratings)
123
(c)
92
(c)
(a)
Non-derivative transactions for the purchase and sale of electricity and gas and qualifying derivative instruments, which have been designated as normal purchases or normal sales, are excluded from the table. These transactions primarily include purchases of electricity from independent system operators. In the event the Utilities and the Clean Energy Businesses were no longer extended unsecured credit for such purchases, the Companies would be required to post an immaterial amount of additional collateral at September 30, 2019. For certain other such non-derivative transactions, the Companies could be required to post collateral under certain circumstances, including in the event counterparties had reasonable grounds for insecurity.
(b)
The Companies measure the collateral requirements by taking into consideration the fair value amounts of derivative instruments that contain credit-risk-related contingent features that are in a net liability position plus amounts owed to counterparties for settled transactions and amounts required by counterparties for minimum financial security. The fair value amounts represent unrealized losses, net of any unrealized gains where the Companies have a legally enforceable right to offset.
(c)
Derivative instruments that are net assets have been excluded from the table. At September 30, 2019, if Con Edison had been downgraded to below investment grade, it would have been required to post additional collateral for such derivative instruments of $26 million.