Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2020

Assets and Liabilities Measured at Fair Value on Recurring Basis

Assets and liabilities measured at fair value on a recurring basis as of March 31, 2020 and December 31, 2019 are summarized below.



	2020					2019
(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)	$8	$64	$2	$(1)	$73	$4	$61	$2	$4		$71
Interest rate swaps (a)(b)(c)	—	—	—	—	—	—	1	—	—		1
Other (a)(b)(d)	308	125	—	—	433	353	125	—	—		478
Total assets	$316	$189	$2	$(1)	$506	$357	$187	$2	$4		$550
Derivative liabilities:
Commodity (a)(b)(c)	$18	$245	$15	$(23)	$255	$18	$174	$18	$(22)		$188
Interest rate swaps (a)(b)(c)	—	126	—	—	126	—	41	—	—		41
Total liabilities	$18	$371	$15	$(23)	$381	$18	$215	$18	$(22)		$229
CECONY
Derivative assets:
Commodity (a)(b)(c)	$6	$49	$1	$(11)	$45	$3	$42	$1		$—	$46
Other (a)(b)(d)	289	119	—	—	408	333	119	—	—		452
Total assets	$295	$168	$1	$(11)	$453	$336	$161	$1		$—	$498
Derivative liabilities:
Commodity (a)(b)(c)	$16	$218	$7	$(29)	$212	$15	$147	$7	$(24)		$145

(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 no transfers between levels 1, 2, and 3 during the three months ended March 31, 2020. Con Edison and CECONY had $24 million and $22 million of commodity derivative liabilities transferred from level 3 to level 2 during the year ended December 31, 2019 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, 2019 to less than three years as of December 31, 2019.

(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, 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 March 31, 2020 and December 31, 2019, 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.

Schedule of Commodity Derivatives



	Fair Value of Level 3 at March 31, 2020	Valuation Techniques	Unobservable Inputs	Range
	(Millions of Dollars)	Valuation Techniques	Unobservable Inputs	Range
Con Edison – Commodity
Electricity	$(14)	Discounted Cash Flow	Forward capacity prices (a)	$0.10-$8.75 per kW-month
Transmission Congestion Contracts/Financial Transmission Rights	1	Discounted Cash Flow	Inter-zonal forward price curves adjusted for historical zonal losses (b)	$(2.40)-$3.50 per MWh
Total Con Edison—Commodity	$(13)
CECONY – Commodity
Electricity	$(7)	Discounted Cash Flow	Forward capacity prices (a)	$0.36-$8.75 per kW-month
Transmission Congestion Contracts	1	Discounted Cash Flow	Inter-zonal forward price curves adjusted for historical zonal losses (b)	$0.13-$2.10 per MWh
Total CECONY—Commodity	$(6)


(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 March 31, 2020 and 2019 and classified as Level 3 in the fair value hierarchy:



	For the Three Months Ended March 31,
	Con Edison		CECONY
(Millions of Dollars)	2020	2019	2020	2019
Beginning balance as of January 1,	$(16)	$(13)	$(6)	$(2)
Included in earnings	(5)	(4)	(2)	—
Included in regulatory assets and liabilities	1	(5)	—	(3)
Settlements	7	3	2	—
Ending balance as of March 31,	$(13)	$(19)	$(6)	$(5)