XML 53 R33.htm IDEA: XBRL DOCUMENT v3.7.0.1
Derivative Instruments and Hedging Activities (Tables)
 6 Months Ended
Jun. 30, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Offsetting of Liabilities
The fair values of the Companies’ commodity derivatives including the offsetting of assets and liabilities on the consolidated balance sheet at June 30, 2017 and December 31, 2016 were:
 
(Millions of Dollars)
2017
 
2016
 
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
$93
$(78)
$15
(b)
$81
$(64)
$17
(b)
Noncurrent
63
(63)
—

 
49
(43)
6
 
Total fair value of derivative assets
$156
$(141)
$15
 
$130
$(107)
$23
 
Fair value of derivative liabilities
 
 
 
 
 
 
 
 
Current
$(153)
$89
$(64)
 
$(138)
$61
$(77)
 
Noncurrent
(136)
62
(74)
 
(91)
52
(39)
(c)
Total fair value of derivative liabilities
$(289)
$151
$(138)
 
$(229)
$113
$(116)
 
Net fair value derivative assets/(liabilities)
$(133)
$10
$(123)
(b)
$(99)
$6
$(93)
(b) (c)
CECONY
 
 
 
 
 
 
 
 
Fair value of derivative assets
 
 
 
 
 
 
 
 
Current
$52
$(48)
$4
(b)
$52
$(45)
$7
(b)
Noncurrent
53
(53)
—

 
41
(35)
6
 
Total fair value of derivative assets
$105
$(101)
$4
 
$93
$(80)
$13
 
Fair value of derivative liabilities
 
 
 
 
 
 
 
 
Current
$(105)
$56
$(49)
 
$(111)
$45
$(66)
 
Noncurrent
(119)
53
(66)
 
(77)
44
(33)
 
Total fair value of derivative liabilities
$(224)
$109
$(115)
 
$(188)
$89
$(99)
 
Net fair value derivative assets/(liabilities)
$(119)
$8
$(111)
(b)
$(95)
$9
$(86)
(b)
(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 June 30, 2017 and December 31, 2016, margin deposits for Con Edison ($7 million and $7 million, respectively) and CECONY ($7 million and $7 million, respectively) 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)
Does not include $(1) million for interest rate swap.
Offsetting of Assets
The fair values of the Companies’ commodity derivatives including the offsetting of assets and liabilities on the consolidated balance sheet at June 30, 2017 and December 31, 2016 were:
 
(Millions of Dollars)
2017
 
2016
 
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
$93
$(78)
$15
(b)
$81
$(64)
$17
(b)
Noncurrent
63
(63)
—

 
49
(43)
6
 
Total fair value of derivative assets
$156
$(141)
$15
 
$130
$(107)
$23
 
Fair value of derivative liabilities
 
 
 
 
 
 
 
 
Current
$(153)
$89
$(64)
 
$(138)
$61
$(77)
 
Noncurrent
(136)
62
(74)
 
(91)
52
(39)
(c)
Total fair value of derivative liabilities
$(289)
$151
$(138)
 
$(229)
$113
$(116)
 
Net fair value derivative assets/(liabilities)
$(133)
$10
$(123)
(b)
$(99)
$6
$(93)
(b) (c)
CECONY
 
 
 
 
 
 
 
 
Fair value of derivative assets
 
 
 
 
 
 
 
 
Current
$52
$(48)
$4
(b)
$52
$(45)
$7
(b)
Noncurrent
53
(53)
—

 
41
(35)
6
 
Total fair value of derivative assets
$105
$(101)
$4
 
$93
$(80)
$13
 
Fair value of derivative liabilities
 
 
 
 
 
 
 
 
Current
$(105)
$56
$(49)
 
$(111)
$45
$(66)
 
Noncurrent
(119)
53
(66)
 
(77)
44
(33)
 
Total fair value of derivative liabilities
$(224)
$109
$(115)
 
$(188)
$89
$(99)
 
Net fair value derivative assets/(liabilities)
$(119)
$8
$(111)
(b)
$(95)
$9
$(86)
(b)
(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 June 30, 2017 and December 31, 2016, margin deposits for Con Edison ($7 million and $7 million, respectively) and CECONY ($7 million and $7 million, respectively) 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)
Does not include $(1) million for interest rate swap.
Realized and Unrealized Gains or Losses on Commodity Derivatives
The following table presents the realized and unrealized gains or losses on commodity derivatives that have been deferred or recognized in earnings for the three and six months ended June 30, 2017 and 2016:
 
 
 
For the Three Months Ended June 30,
 
 
          Con Edison
 
          CECONY
(Millions of Dollars)
Balance Sheet Location
2017

 
2016
 
2017

2016

Pre-tax gains/(losses) deferred in accordance with accounting rules for regulated operations:
 
 
 
Current
Deferred derivative gains
$(21)
 
$10
 
$(17)
$9
Noncurrent
Deferred derivative gains
—

 
1
 
—

—

Total deferred gains/(losses)
 
$(21)
 
$11
 
$(17)
$9
Current
Deferred derivative losses
$22
 
$68
 
$20
$61
Current
Recoverable energy costs
(40)
 
(52)
 
(39)
(47)
Noncurrent
Deferred derivative losses
(9)
 
68
 
(8)
62
Total deferred gains/(losses)
 
$(27)
 
$84
 
$(27)
$76
Net deferred gains/(losses)
 
$(48)
 
$95
 
$(44)
$85
 
Income Statement Location
 
 
 
 
 
 
Pre-tax gain/(loss) recognized in income
 
 
 
 
 
 
 
Purchased power expense

$—

 
$45
(b)

$—


$—

 
Gas purchased for resale
(51)
 
(23)
 
—

—

 
Non-utility revenue
(8)
(a)
5
(b)
—

—

Total pre-tax gain/(loss) recognized in income
$(59)
 
$27
 

$—


$—

(a)
For the three months ended June 30, 2017, Con Edison recorded an unrealized pre-tax loss in non-utility operating revenue ($7 million).
(b)
For the three months ended June 30, 2016, Con Edison recorded an unrealized pre-tax gain in purchased power expense ($97 million gain).

 
 
For the Six Months Ended June 30,
 
 
          Con Edison
 
          CECONY
(Millions of Dollars)
Balance Sheet Location
2017

 
2016
 
2017

2016

Pre-tax gains/(losses) deferred in accordance with accounting rules for regulated operations:
 
 
 
Current
Deferred derivative gains
$(22)
 
$7
 
$(19)
$5
Noncurrent
Deferred derivative gains
(3)
 
1
 
(3)
(1)
Total deferred gains/(losses)
 
$(25)
 
$8
 
$(22)
$4
Current
Deferred derivative losses
$20
 
$38
 
$21
$33
Current
Recoverable energy costs
(85)
 
(125)
 
(78)
(113)
Noncurrent
Deferred derivative losses
(29)
 
12
 
(28)
11
Total deferred gains/(losses)
 
$(94)
 
$(75)
 
$(85)
$(69)
Net deferred gains/(losses)
 
$(119)
 
$(67)
 
$(107)
$(65)
 
Income Statement Location
 
 
 
 
 
 
Pre-tax gain/(loss) recognized in income
 
 
 
 
 
 
 
Purchased power expense

$—

 
$(70)
(b)

$—


$—

 
Gas purchased for resale
(114)
 
(33)
 
—

—

 
Non-utility revenue
6
(a)
17
(b)
—

—

Total pre-tax gain/(loss) recognized in income
$(108)
 
$(86)
 

$—


$—

(a)
For the six months ended June 30, 2017, Con Edison recorded an unrealized pre-tax loss in non-utility operating revenue ($4 million).
(b)
For the six months ended June 30, 2016, Con Edison recorded unrealized pre-tax gains and losses in non-utility operating revenue ($1 million loss) and purchased power expense ($35 million gain).
Hedged Volume of Derivative Transactions
The following table presents the hedged volume of Con Edison’s and CECONY’s derivative transactions at June 30, 2017:
 
 
Electric Energy
(MWh) (a)(b)
Capacity (MW) (a)
Natural Gas
(Dt) (a)(b)
Refined Fuels
(gallons)
Con Edison
33,854,855

9,319

99,241,963

1,680,000

CECONY
31,442,175

4,500

91,970,000

1,680,000

(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 June 30, 2017:
 
(Millions of Dollars)
Con Edison (a)
 
CECONY (a)
 
Aggregate fair value – net liabilities
$128
 
$113
 
Collateral posted
41
 
41
 
Additional collateral (b) (downgrade one level from current ratings)
16
 
15
 
Additional collateral (b) (downgrade to below investment grade from current ratings)
99
(c)
84
(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 additional collateral of $12 million at June 30, 2017. 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 June 30, 2017, if Con Edison had been downgraded to below investment grade, it would have been required to post additional collateral for such derivative instruments of $14 million.