Derivative Instruments and Hedging Activities (Tables)

6 Months Ended

Jun. 30, 2022

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 June 30, 2022 and December 31, 2021 were:

(Millions of Dollars)	2022				2021
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	$631	$(376)	$255	(b)	$285	$(158)	$127	(b)
Noncurrent	211	(68)	143	(c)	90	(13)	77	(d)
Total fair value of derivative assets	$842	$(444)	$398		$375	$(171)	$204
Fair value of derivative liabilities
Current	$(280)	$186	$(94)	(b)	$(289)	$137	$(152)	(d)
Noncurrent	(91)	29	(62)		(94)	10	(84)	(d)
Total fair value of derivative liabilities	$(371)	$215	$(156)		$(383)	$147	$(236)
Net fair value derivative assets/(liabilities)	$471	($229)	$242		$(8)	$(24)	$(32)
CECONY
Fair value of derivative assets
Current	$456	$(265)	$191	(b)	$135	$(64)	$71	(b)
Noncurrent	140	(72)	68		71	(15)	56
Total fair value of derivative assets	$596	$(337)	$259		$206	$(79)	$127
Fair value of derivative liabilities
Current	$(148)	$68	$(80)	(b)	$(131)	$43	$(88)
Noncurrent	(80)	34	(46)		(50)	10	(40)
Total fair value of derivative liabilities	$(228)	$102	$(126)		$(181)	$53	$(128)
Net fair value derivative assets/(liabilities)	$368	$(235)	$133		$25	$(26)	$(1)

(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, 2022, margin deposits for Con Edison ($5 million and $16 million) and for CECONY ($5 million and $14 million) were classified as derivative assets and derivative liabilities, respectively, on the consolidated balance sheet, but not included in the table. At December 31, 2021 margin deposits for Con Edison and CECONY of $1 million and an immaterial amount, 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)Includes amounts for interest rate swaps of $6 million in current assets and $50 million in noncurrent assets. At June 30, 2022, the Clean Energy Businesses had interest rate swaps with notional amounts of $1,002 million. The expiration dates of the swaps range from 2025-2041.

(d)Includes amounts for interest rate swaps of $4 million in noncurrent assets, $(20) million in current liabilities and $(38) million in noncurrent liabilities. At December 31, 2021, the Clean Energy Businesses had interest rate swaps with notional amounts of $1,031 million. The expiration dates of the swaps ranged from 2025-2041. In 2021, as part of the Clean Energy Businesses sale of a renewable electric project, interest rate swaps terminating in 2024 were assumed by the buyer.

Offsetting of Assets

The fair values of the Companies’ derivatives including the offsetting of assets and liabilities on the consolidated balance sheet at June 30, 2022 and December 31, 2021 were:

(Millions of Dollars)	2022				2021
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	$631	$(376)	$255	(b)	$285	$(158)	$127	(b)
Noncurrent	211	(68)	143	(c)	90	(13)	77	(d)
Total fair value of derivative assets	$842	$(444)	$398		$375	$(171)	$204
Fair value of derivative liabilities
Current	$(280)	$186	$(94)	(b)	$(289)	$137	$(152)	(d)
Noncurrent	(91)	29	(62)		(94)	10	(84)	(d)
Total fair value of derivative liabilities	$(371)	$215	$(156)		$(383)	$147	$(236)
Net fair value derivative assets/(liabilities)	$471	($229)	$242		$(8)	$(24)	$(32)
CECONY
Fair value of derivative assets
Current	$456	$(265)	$191	(b)	$135	$(64)	$71	(b)
Noncurrent	140	(72)	68		71	(15)	56
Total fair value of derivative assets	$596	$(337)	$259		$206	$(79)	$127
Fair value of derivative liabilities
Current	$(148)	$68	$(80)	(b)	$(131)	$43	$(88)
Noncurrent	(80)	34	(46)		(50)	10	(40)
Total fair value of derivative liabilities	$(228)	$102	$(126)		$(181)	$53	$(128)
Net fair value derivative assets/(liabilities)	$368	$(235)	$133		$25	$(26)	$(1)

(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, 2022, margin deposits for Con Edison ($5 million and $16 million) and for CECONY ($5 million and $14 million) were classified as derivative assets and derivative liabilities, respectively, on the consolidated balance sheet, but not included in the table. At December 31, 2021 margin deposits for Con Edison and CECONY of $1 million and an immaterial amount, 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)Includes amounts for interest rate swaps of $6 million in current assets and $50 million in noncurrent assets. At June 30, 2022, the Clean Energy Businesses had interest rate swaps with notional amounts of $1,002 million. The expiration dates of the swaps range from 2025-2041.

(d)Includes amounts for interest rate swaps of $4 million in noncurrent assets, $(20) million in current liabilities and $(38) million in noncurrent liabilities. At December 31, 2021, the Clean Energy Businesses had interest rate swaps with notional amounts of $1,031 million. The expiration dates of the swaps ranged from 2025-2041. In 2021, as part of the Clean Energy Businesses sale of a renewable electric project, interest rate swaps terminating in 2024 were assumed by the buyer.

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 six months ended June 30, 2022 and 2021:

		For the Three Months Ended June 30,
		Con Edison		CECONY
(Millions of Dollars)	Balance Sheet Location	2022	2021	2022	2021
Pre-tax gains/(losses) deferred in accordance with accounting rules for regulated operations:
Current	Deferred derivative gains	$10	$128	$8	$119
Noncurrent	Deferred derivative gains	23	38	20	34
Total deferred gains/(losses)		$33	$166	$28	$153
Current	Deferred derivative losses	$46	$24	$40	$22
Current	Recoverable energy costs	32	(47)	30	(45)
Noncurrent	Deferred derivative losses	4	23	7	22
Total deferred gains/(losses)		$82	$—	$77	$(1)
Net deferred gains/(losses)		$115	$166	$105	$152
	Income Statement Location
Pre-tax gains/(losses) recognized in income
	Gas purchased for resale	$(3)	$1	$—	$—
	Non-utility revenue	(6)	(2)	—	—
	Other operations and maintenance expense	2	2	2	2
	Other interest expense (a)	44	(25)	—	—
Total pre-tax gains/(losses) recognized in income		$37	$(24)	$2	$2

(a)See (b) below.

		For the Six Months Ended June 30,
		Con Edison		CECONY
(Millions of Dollars)	Balance Sheet Location	2022	2021	2022	2021
Pre-tax gains/(losses) deferred in accordance with accounting rules for regulated operations:
Current	Deferred derivative gains	$348	$147	$319	$136
Noncurrent	Deferred derivative gains	67	35	62	32
Total deferred gains/(losses)		$415	$182	$381	$168
Current	Deferred derivative losses	$10	$29	$9	$25
Current	Recoverable energy costs	190	(47)	172	(43)
Noncurrent	Deferred derivative losses	(30)	45	(27)	42
Total deferred gains/(losses)		$170	$27	$154	$24
Net deferred gains/(losses) (a)		$585	$209	$535	$192
	Income Statement Location
Pre-tax gains/(losses) recognized in income
	Gas purchased for resale	$3	$2	$—	$—
	Non-utility revenue	(22)	1	—	—
	Other operations and maintenance expense	5	4	5	4
	Other interest expense (b)	109	34	—	—
Total pre-tax gains/(losses) recognized in income		$95	$41	$5	$4

(a)Unrealized net deferred gains on electric and gas derivatives for the Utilities increased as a result of higher electric and gas commodity prices during the six months ended June 30, 2022. Upon settlement, short-term deferred derivative gains generally reduce the recoverable costs of electric and gas purchases.

(b)Gains recognized in other interest expense relate to interest rate swaps at the Clean Energy Businesses. The gains recognized are consistent with the increasing interest rate environment in 2022.

Hedged Volume of Derivative Transactions

The following table presents the hedged volume of Con Edison’s and CECONY’s commodity derivative transactions at June 30, 2022:

	Electric Energy (MWh) (a)(b)	Capacity (MW) (a)	Natural Gas (Dt) (a)(b)	Refined Fuels (gallons)
Con Edison	25,403,485	36,075	251,449,055	1,680,000
CECONY	23,023,275	23,025	234,190,000	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, 2022:

(Millions of Dollars)	Con Edison (a)	CECONY (a)
Aggregate fair value – net liabilities	$128	$85
Collateral posted	100	100
Additional collateral (b) (downgrade one level from current ratings)	41	7
Additional collateral (b)(c) (downgrade to below investment grade from current ratings)	87	35

(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 $6 million of additional collateral at June 30, 2022. 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, 2022, if Con Edison had been downgraded to below investment grade, it would have been required to post additional collateral for such derivative instruments of $70 million.