Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2023

Assets and Liabilities Measured at Fair Value on Recurring Basis

Assets and liabilities measured at fair value on a recurring basis as of September 30, 2023 and December 31, 2022 are summarized below.


	2023					2022
(Millions of Dollars)	Level 1	Level 2	Level 3	Netting Adjustment (e)	Total	Level 1	Level 2	Level 3	Netting Adjustment (e)	Total
Con Edison
Derivative assets:
Commodity (a)(b)(c)	$21	$137	$5	$(75)	$88	$84	$476	$2	$(420)	$142
Commodity held for sale (g)	—	—	—	—	—	6	34	31	2	73
Interest rate swaps (a)(b)(c)(f)(g)	—	—	—	—	—	—	106	—	—	106
Other (a)(b)(d)	462	121	—	—	583	437	116	—	—	553
Total assets	$483	$258	$5	$(75)	$671	$527	$732	$33	$(418)	$874
Derivative liabilities:
Commodity (a)(b)(c)	$16	$196	$15	$(72)	$155	$18	$204	$16	$(184)	$54
Commodity held for sale (g)	—	—	—	—	—	8	24	2	2	36
Total liabilities	$16	$196	$15	$(72)	$155	$26	$228	$18	$(182)	$90
CECONY
Derivative assets:
Commodity (a)(b)(c)	$21	$130	$3	$(73)	$81	$83	$434	$2	$(388)	$131
Other (a)(b)(d)	450	114	—	—	564	422	110	—	—	532
Total assets	$471	$244	$3	$(73)	$645	$505	$544	$2	$(388)	$663
Derivative liabilities:
Commodity (a)(b)(c)	$15	$187	$10	$(73)	$139	$18	$198	$8	$(180)	$44
Total liabilities	$15	$187	$10	$(73)	$139	$18	$198	$8	$(180)	$44

(a)The Companies’ policy is to review the fair value hierarchy and recognize transfers into and transfers out of the levels at the end of each reporting period. Con Edison and CECONY had $10 million of commodity derivative assets transferred from level 3 to level 2 during the nine months ended September 30, 2023 because of availability of observable market data due to the decrease in the terms of certain contracts from beyond three years as of December 31, 2022 to less than three years as of September 30, 2023. Con Edison and CECONY had an immaterial amount of derivative liabilities and $10 million and $9 million of commodity derivative assets, respectively, transferred from level 3 to level 2 during the year ended December 31, 2022 because of availability of observable market data due to the decrease in the terms of certain contracts from beyond three years as of September 30, 2022 to less than three years as of December 31, 2022.

(b)Level 2 assets and liabilities include investments held in the deferred compensation plan and/or non-qualified retirement plans, exchange-traded contracts where there is insufficient market liquidity to warrant inclusion in Level 1, and certain over-the-counter derivative instruments for electricity, refined products and natural gas. Derivative instruments classified as Level 2 are valued using industry standard models that incorporate corroborated observable inputs, such as pricing services or prices from similar instruments that trade in liquid markets, time value and volatility factors.

(c)The accounting rules for fair value measurements and disclosures require consideration of the impact of nonperformance risk (including credit risk) from a market participant perspective in the measurement of the fair value of assets and liabilities. At September 30, 2023 and December 31, 2022, the Companies determined that nonperformance risk would have no material impact on their financial position or results of operations.

(d)Other assets are comprised of assets such as life insurance contracts within the deferred compensation plan and non-qualified retirement plans.

(e)Amounts represent the impact of legally-enforceable master netting agreements that allow the Companies to net gain and loss positions and cash collateral held or placed with the same counterparties.

(f)See Note N.

(g)On March 1, 2023, Con Edison completed the sale of substantially all of the assets of the Clean Energy Businesses. See Note S and Note T.

Schedule of Commodity Derivatives

Fair Value of Level 3 at September 30, 2023

Valuation
Techniques

Unobservable Inputs

Range

(Millions of Dollars)

Con Edison – Commodity

Electricity

$(6)

Discounted Cash Flow

Forward energy prices (a)

$33.95-$137.60 per MWh

Electricity

(5)

Discounted Cash Flow

Forward capacity prices (a)

$1.90-$11.75 per kW-month

Transmission Congestion Contracts

Discounted Cash Flow

Inter-zonal forward price curves adjusted for historical zonal losses (b)

$0.09-$3.80 per MWh

Total Con Edison—Commodity

$(10)

CECONY – Commodity

Electricity

$(4)

Discounted Cash Flow

Forward energy prices (a)

$37.55-$137.60 per MWh

Electricity

(4)

Discounted Cash Flow

Forward capacity prices (a)

$1.90-$11.75 per kW-month

Transmission Congestion Contracts

Discounted Cash Flow

Inter-zonal forward price curves adjusted for historical zonal losses (b)

$0.09-$3.80 per MWh

Total CECONY—Commodity

$(7)

(a)Generally, increases/(decreases) in this input in isolation would result in a higher/(lower) fair value measurement.

(b)Generally, increases/(decreases) in this input in isolation would result in a lower/(higher) fair value measurement.

Reconciliation of Beginning and Ending Net Balances for Assets and Liabilities Measured at Level 3 Fair Value

The table listed below provides a reconciliation of the beginning and ending net balances for assets and liabilities measured at fair value as of September 30, 2023 and 2022 and classified as Level 3 in the fair value hierarchy:


	For the Three Months Ended September 30,
	Con Edison		CECONY
(Millions of Dollars)	2023	2022	2023	2022
Beginning balance as of July 1,	$(7)	$9	$(4)	$(11)
Included in earnings	2	(10)	1	(1)
Included in regulatory assets and liabilities	(3)	14	(3)	11
Purchases	—	1	—	—
Settlements	(2)	2	(1)	1


Transfer out of level 3	—	—	—	—
Ending balance as of September 30,	$(10)	$16	$(7)	$—


	For the Nine Months Ended September 30,
	Con Edison		CECONY
(Millions of Dollars)	2023	2022	2023	2022
Beginning balance as of January 1,	$15	$(11)	$(6)	$(7)
Included in earnings	(2)	13	(1)	(3)
Included in regulatory assets and liabilities	16	7	10	5
Purchases	—	3	—	—

Settlements	—	3	—	4
Decrease due to the sale of the Clean Energy Businesses (a)	(29)	—	—	—
Transfer out of level 3	(10)	1	(10)	1
Ending balance as of September 30,	$(10)	$16	$(7)	$—

(a) On March 1, 2023, Con Edison completed the sale of substantially all of the assets of the Clean Energy Businesses. See Note S and Note T.