Derivative Instruments and Hedging Activities (Tables)

6 Months Ended

Jun. 30, 2012

Energy Price Hedging Fair Values

The fair values of the Companies’ commodity derivatives at June 30, 2012 and December 31, 2011 were as follows:

	Con Edison						CECONY
(Millions of Dollars)	2012			2011			2012			2011
Fair value of net derivative assets/(liabilities) – gross		$(195	)		$(249	)		$(111	)		$(144	)
Impact of netting of cash collateral		102			110			51			46
Fair value of net derivative assets/(liabilities) – net		$  (93	)		$(139	)		$  (60	)		$  (98	)

Fair Values of the Companies' Commodity Derivatives

The fair values of the Companies’ commodity derivatives at June 30, 2012 were:

(Millions of Dollars)	Fair Value of Commodity Derivatives (a) Balance Sheet Location	Con Edison			CECONY
Derivative Assets
Current	Other current assets		$ 118			$  22
Long-term	Other deferred charges and non-current assets		22			9
Total derivative assets			$ 140			$  31
Impact of netting			(79	)		(6	)
Net derivative assets			$   61			$  25
Derivative Liabilities
Current	Fair value of derivative liabilities		$ 253			$  96
Long-term	Fair value of derivative liabilities		82			46
Total derivative liabilities			$ 335			$142
Impact of netting			(181	)		(57	)
Net derivative liabilities			$ 154			$  85

(a) Qualifying derivative contracts, which have been designated as normal purchases or normal sales contracts, are not reported at fair value under the accounting rules for derivatives and hedging and, therefore, are excluded from the table.

The fair values of the Companies’ commodity derivatives at December 31, 2011 were:

(Millions of Dollars)	Fair Value of Commodity Derivatives (a) Balance Sheet Location	Con Edison			CECONY
Derivative Assets
Current	Other current assets		$139			$  16
Long-term	Other deferred charges and non-current assets		26			14
Total derivative assets			$165			$  30
Impact of netting			(95	)		(6	)
Net derivative assets			$  70			$  24
Derivative Liabilities
Current	Fair value of derivative liabilities		$331			$127
Long-term	Fair value of derivative liabilities		83			48
Total derivative liabilities			$414			$175
Impact of netting			(205	)		(53	)
Net derivative liabilities			$209			$122

(a) Qualifying derivative contracts, which have been designated as normal purchases or normal sales contracts, are not reported at fair value under the accounting rules for derivatives and hedging and, therefore, are excluded from the table.

Number of Derivative Contracts by Commodity Type

have been designated as normal purchases or normal sales contracts). The following table presents the number of contracts by commodity type:

	Electric Derivatives								Gas Derivatives
	Number of Energy Contracts (a)		MWhs (b)		Number of Capacity Contracts (a)		MWs (b)		Number of Contracts (a)		Dths (b)		Total Number of Contracts (a)
Con Edison		681		16,351,706		77		12,273		725		96,403,140		1,483
CECONY		137		3,879,800		—		—		569		89,220,000		706

(a) Qualifying derivative contracts, which have been designated as normal purchases or normal sales contracts, are not reported at fair value under the accounting rules for derivatives and hedging and, therefore, are excluded from the table.

(b) Volumes are reported net of long and short positions.

Aggregate Fair Value of All Derivative Instruments with Credit-Risk-Related Contingent Features

The aggregate fair value of all derivative instruments with credit-risk-related contingent features that are in a net liability position and collateral posted at June 30, 2012, 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 were:

(Millions of Dollars)	Con Edison (a)			CECONY (a)
Aggregate fair value – net liabilities		$124			$84
Collateral posted		$  62			$56
Additional collateral (b) (downgrade one level from current ratings (c))		$    9			$  3
Additional collateral (b) (downgrade to below investment grade from current ratings (c))		$101	(d)		$46	(d)

(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 Con Edison’s competitive energy businesses were no longer extended unsecured credit for such purchases, the Companies would be required to post collateral, which at June 30, 2012, would have amounted to an estimated $28 million for Con Edison, including $0 million for CECONY. 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 liabilities 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 of setoff.

(c) The current ratings are Moody’s, S&P and Fitch long-term credit rating of, as applicable, Con Edison (Baa1/BBB+/BBB+), CECONY (A3/A-/A-) or O&R (Baa1/A-/A-). Credit ratings assigned by rating agencies are expressions of opinions that are subject to revision or withdrawal at any time by the assigning rating agency.

(d) Derivative instruments that are net assets have been excluded from the table. At June 30, 2012, if Con Edison had been downgraded to below investment grade, it would have been required to post additional collateral for such derivative instruments of $24 million.