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Derivative Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Summary of the derivative fair value
The following table provides a summary of the derivative fair value balances recorded by the Registrants as of September 30, 2017:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Successor
 
 
 
 
Generation
 
ComEd
 
DPL
 
PHI
 
Exelon
Derivatives
 
Economic
Hedges
 
Proprietary
Trading
 
Collateral
and
Netting(a) (e)
 
Subtotal(b)
 
Economic
Hedges(c)
 
Economic
Hedges(d)
 
Collateral
and
Netting(a)
 
Subtotal
 
Subtotal
 
Total
Derivatives
Mark-to-market derivative assets (current assets)
 
$
2,608

 
$
55

 
$
(1,969
)
 
$
694

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
694

Mark-to-market derivative assets (noncurrent assets)
 
1,583

 
30

 
(1,197
)
 
416

 
—

 
—

 
—

 
—

 
—

 
416

Total mark-to-market derivative assets
 
4,191


85

 
(3,166
)
 
1,110

 
—

 
—

 
—

 
—


—

 
1,110

Mark-to-market derivative liabilities (current liabilities)
 
(2,334
)
 
(46
)
 
2,230

 
(150
)
 
(20
)
 
—

 
—

 
—

 
—

 
(170
)
Mark-to-market derivative liabilities (noncurrent liabilities)
 
(1,476
)
 
(27
)
 
1,351

 
(152
)
 
(257
)
 
—

 
—

 
—

 
—

 
(409
)
Total mark-to-market derivative liabilities
 
(3,810
)
 
(73
)
 
3,581

 
(302
)
 
(277
)
 
—

 
—

 
—


—

 
(579
)
Total mark-to-market derivative net assets (liabilities)
 
$
381

 
$
12

 
$
415

 
$
808

 
$
(277
)
 
$
—

 
$
—

 
$
—


$
—

 
$
531

_________
(a)
Exelon, Generation, PHI and DPL net all available amounts allowed under the derivative accounting guidance on the balance sheet. These amounts include unrealized derivative transactions with the same counterparty under legally enforceable master netting agreements and cash collateral. In some cases Exelon and Generation may have other offsetting exposures, subject to a master netting or similar agreement, such as trade receivables and payables, transactions that do not qualify as derivatives, letters of credit and other forms of non-cash collateral. These are not reflected in the table above.
(b)
Current and noncurrent assets are shown net of collateral of $123 million and $61 million, respectively, and current and noncurrent liabilities are shown net of collateral of $138 million and $93 million, respectively. The total cash collateral posted, net of cash collateral received and offset against mark-to-market assets and liabilities was $415 million at September 30, 2017.
(c)
Includes current and noncurrent liabilities relating to floating-to-fixed energy swap contracts with unaffiliated suppliers.
(d)
Represents natural gas futures purchased by DPL as part of a natural gas hedging program approved by the DPSC.
(e)
Of the collateral posted/(received), $27 million represents variation margin on the exchanges.
The following table provides a summary of the derivative fair value balances recorded by the Registrants as of December 31, 2016:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Successor
 
 
 
 
Generation
 
ComEd
 
DPL
 
PHI
 
Exelon
Description
 
Economic
Hedges
 
Proprietary
Trading
 
Collateral
and
Netting(a) (e)
 
Subtotal(b)
 
Economic
Hedges(c)
 
Economic
Hedges(d)
 
Collateral and
Netting(a)
 
Subtotal
 
Subtotal
 
Total
Derivatives
Mark-to-market derivative assets (current assets)
 
$
3,623

 
$
55

 
$
(2,769
)
 
$
909

 
$
—

 
$
2

 
$
(2
)
 
$
—

 
$
—

 
$
909

Mark-to-market derivative assets (noncurrent assets)
 
1,467

 
21

 
(1,016
)
 
472

 
—

 
—

 
—

 
—

 
—

 
472

Total mark-to-market derivative assets
 
5,090

 
76

 
(3,785
)
 
1,381

 
—

 
2

 
(2
)
 
—

 
—

 
1,381

Mark-to-market derivative liabilities (current liabilities)
 
(3,165
)
 
(54
)
 
2,964

 
(255
)
 
(19
)
 
—

 
—

 
—

 
—

 
(274
)
Mark-to-market derivative liabilities (noncurrent liabilities)
 
(1,274
)
 
(25
)
 
1,150

 
(149
)
 
(239
)
 
—

 
—

 
—

 
—

 
(388
)
Total mark-to-market derivative liabilities
 
(4,439
)
 
(79
)
 
4,114

 
(404
)
 
(258
)
 
—

 
—

 
—

 
—

 
(662
)
Total mark-to-market derivative net assets (liabilities)
 
$
651

 
$
(3
)
 
$
329

 
$
977

 
$
(258
)
 
$
2

 
$
(2
)
 
$
—

 
$
—

 
$
719

_________ 
(a)
Exelon, Generation, PHI and DPL net all available amounts allowed under the derivative accounting guidance on the balance sheet. These amounts include unrealized derivative transactions with the same counterparty under legally enforceable master netting agreements and cash collateral. In some cases Exelon and Generation may have other offsetting exposures, subject to a master netting or similar agreement, such as trade receivables and payables, transactions that do not qualify as derivatives, and letters of credit and other forms of non-cash collateral. These are not reflected in the table above.
(b)
Current and noncurrent assets are shown net of collateral of $100 million and $72 million, respectively, and current and noncurrent liabilities are shown net of collateral of $95 million and $62 million, respectively. The total cash collateral posted, net of cash collateral received and offset against mark-to-market assets and liabilities was $329 million at December 31, 2016.
(c)
Includes current and noncurrent liabilities relating to floating-to-fixed energy swap contracts with unaffiliated suppliers.
(d)
Represents natural gas futures purchased by DPL as part of a natural gas hedging program approved by the DPSC.
(e)
Of the collateral posted/(received), $(158) million represents variation margin on the exchanges.
Below is a summary of the interest rate and foreign exchange hedge balances as of September 30, 2017:
 
 
Generation
 
Exelon Corporate
 
Exelon
Description
 
Derivatives
Designated
as Hedging
Instruments
 
Economic
Hedges
 
Proprietary
Trading(a)
 
Collateral
and
Netting(b)
 
Subtotal
 
Derivatives
Designated
as Hedging
Instruments
 
Total
Mark-to-market derivative assets (current assets)
 
$
—

 
$
15

 
$
—

 
$
(10
)
 
$
5

 
$
—

 
$
5

Mark-to-market derivative assets (noncurrent assets)
 
—

 
1

 
—

 
(1
)
 
—

 
10

 
10

Total mark-to-market derivative assets
 
—

 
16

 
—

 
(11
)
 
5

 
10

 
15

Mark-to-market derivative liabilities (current liabilities)
 
—

 
(17
)
 
—

 
9

 
(8
)
 
—

 
(8
)
Mark-to-market derivative liabilities (noncurrent liabilities)
 
—

 
(2
)
 
—

 
1

 
(1
)
 
—

 
(1
)
Total mark-to-market derivative liabilities
 
—

 
(19
)
 
—

 
10

 
(9
)
 
—

 
(9
)
Total mark-to-market derivative net assets (liabilities)
 
$
—

 
$
(3
)
 
$
—

 
$
(1
)
 
$
(4
)
 
$
10

 
$
6

__________
(a)
Generation enters into interest rate derivative contracts to economically hedge risk associated with the interest rate component of commodity positions. The characterization of the interest rate derivative contracts between the proprietary trading activity in the above table is driven by the corresponding characterization of the underlying commodity position that gives rise to the interest rate exposure. Generation does not utilize proprietary trading interest rate derivatives with the objective of benefiting from shifts or changes in market interest rates.
(b)
Exelon and Generation net all available amounts allowed under the derivative accounting guidance on the balance sheet. These amounts include unrealized derivative transactions with the same counterparty under legally enforceable master netting agreements and cash collateral. In some cases, Exelon and Generation may have other offsetting counterparty exposures subject to a master netting or similar agreement, such as accrued interest, transactions that do not qualify as derivatives, letters of credit and other forms of non-cash collateral. These are not reflected in the table above.
The following table provides a summary of the interest rate and foreign exchange hedge balances recorded by the Registrants as of December 31, 2016:
 
 
Generation
 
Exelon Corporate
 
Exelon
Description
 
Derivatives
Designated
as Hedging
Instruments
 
Economic
Hedges
 
Proprietary
Trading(a)
 
Collateral
and
Netting(b)
 
Subtotal
 
Derivatives
Designated
as Hedging
Instruments
 
Total
Mark-to-market derivative assets (current assets)
 
$
—

 
$
17

 
$
4

 
$
(13
)
 
$
8

 
$
—

 
$
8

Mark-to-market derivative assets (noncurrent assets)
 
—

 
11

 
1

 
(8
)
 
4

 
16

 
20

Total mark-to-market derivative assets
 
—

 
28

 
5

 
(21
)
 
12

 
16

 
28

Mark-to-market derivative liabilities (current liabilities)
 
(7
)
 
(13
)
 
(2
)
 
14

 
(8
)
 
—

 
(8
)
Mark-to-market derivative liabilities (noncurrent liabilities)
 
(3
)
 
(8
)
 
(2
)
 
9

 
(4
)
 
—

 
(4
)
Total mark-to-market derivative liabilities
 
(10
)
 
(21
)
 
(4
)
 
23

 
(12
)
 
—

 
(12
)
Total mark-to-market derivative net assets (liabilities)
 
$
(10
)
 
$
7

 
$
1

 
$
2

 
$
—

 
$
16

 
$
16

__________
(a)
Generation enters into interest rate derivative contracts to economically hedge risk associated with the interest rate component of commodity positions. The characterization of the interest rate derivative contracts between the proprietary trading activity in the above table is driven by the corresponding characterization of the underlying commodity position that gives rise to the interest rate exposure. Generation does not utilize proprietary trading interest rate derivatives with the objective of benefiting from shifts or changes in market interest rates.
(b)
Exelon and Generation net all available amounts allowed under the derivative accounting guidance on the balance sheet. These amounts include unrealized derivative transactions with the same counterparty under legally enforceable master netting agreements and cash collateral. In some cases, Exelon and Generation may have other offsetting counterparty exposures subject to a master netting or similar agreement, such as accrued interest, transactions that do not qualify as derivatives, letters of credit and other forms of non-cash collateral. These are not reflected in the table above.
Exelon includes the gain or loss on the hedged items and the offsetting loss or gain on the related interest rate swaps in interest expense as follows:
  
 
 
Three Months Ended September 30,
 
Income Statement
Location
 
2017
 
2016
 
2017
 
2016
  
 
Gain (loss) on Swaps
 
Gain (loss) on Borrowings
Exelon
Interest expense
 
$
(2
)
 
$
(8
)
 
$
6

 
$
14

 
 
 
 
 
 
 
 
 
 
  
 
 
Nine Months Ended September 30,
 
Income Statement
Location
 
2017
 
2016
 
2017
 
2016
  
 
Gain (loss) on Swaps
 
Gain (loss) on Borrowings
Exelon
Interest expense
 
$
(6
)
 
$
15

 
$
17

 
$
(3
)
The activity of accumulated OCI related to cash flow hedges
The amounts reclassified from OCI, when combined with the impacts of the hedged transactions, result in the ultimate recognition of net revenues or expenses at the contractual price.
 
Total Cash Flow Hedge OCI Activity, Net of Income Tax                   
Generation
 
Exelon
 
Three Months Ended September 30, 2017
 
Income Statement
Location
 
Total Cash 
Flow Hedges
 
Total Cash 
Flow Hedges
 
Accumulated OCI derivative loss at June 30, 2017
 
 
 
$
(14
)
 
$
(12
)
 
Effective portion of changes in fair value
 
 
 
1

 
1

 
Reclassifications from AOCI to net income
 
Interest Expense
 
(1
)
(a)  
(1
)
(a)  
Accumulated OCI derivative loss at September 30, 2017
 
 
 
$
(14
)
 
$
(12
)
 
 
Total Cash Flow Hedge OCI Activity, Net of Income Tax                   
Generation
 
Exelon
 
Nine Months Ended September 30, 2017
 
Income Statement
Location
 
Total Cash 
Flow Hedges
 
Total Cash 
Flow Hedges
 
Accumulated OCI derivative loss at December 31, 2016
 
 
 
$
(19
)
 
$
(17
)
 
Effective portion of changes in fair value
 
 
 
2

  
2

 
Reclassifications from AOCI to net income
 
Interest Expense
 
3

(b)  
3

(b)  
Accumulated OCI derivative loss at September 30, 2017
 
 
 
$
(14
)
 
$
(12
)
 
 
 
Total Cash Flow Hedge OCI Activity, Net of Income Tax                   
 
Generation
 
Exelon
 
Three Months Ended September 30, 2016
 
Income Statement
Location
 
Total Cash 
Flow Hedges
 
Total Cash 
Flow Hedges
 
Accumulated OCI derivative loss at June 30, 2016
 
 
 
$
(25
)
 
$
(26
)
 
Effective portion of changes in fair value
 
 
 
1

  
3

 
Accumulated OCI derivative loss at September 30, 2016
 
 
 
$
(24
)
 
$
(23
)
 
 
 
Total Cash Flow Hedge OCI Activity, Net of Income Tax                   
 
Generation
 
Exelon
 
Nine Months Ended September 30, 2016
 
Income Statement
Location
 
Total Cash 
Flow Hedges
 
Total Cash
Flow Hedges
 
Accumulated OCI derivative loss at December 31, 2015
 
 
 
$
(21
)
 
$
(19
)
 
Effective portion of changes in fair value
 
 
 
—

  
(1
)
 
Reclassifications from AOCI to net income
 
Interest Expense
 
(3
)
(c) 
(3
)
(c) 
Accumulated OCI derivative loss at September 30, 2016
 
 
 
$
(24
)
 
$
(23
)
 

_________
(a)
Amount is net of related income tax benefit of $1 million for the three months ended September 30, 2017.
(b)
Amount is net of related income tax expense of $2 million for the nine months ended September 30, 2017.
(c)
Amount is net of related income tax expense of $2 million for the nine months ended September 30, 2016.
Other Derivatives - Gain (loss) and reclassification
In the tables below, “Change in fair value” represents the change in fair value of the derivative contracts held at the reporting date. The “Reclassification to realized” generally represents the recognized change in fair value that was reclassified from unrealized to realized when the transaction to which the derivative relates occurs. 
 
 
Generation
 
Exelon
Three Months Ended September 30, 2017
 
Operating
Revenues
 
Purchased
Power 
and Fuel
 
Total
 
Total
Change in fair value of commodity positions
 
$
132

 
$
45

 
$
177

 
$
177

Reclassification to realized at settlement of commodity positions
 
(77
)
 
(24
)
 
(101
)
 
(101
)
Net commodity mark-to-market gains (losses)
 
55

 
21

 
76

 
76

Change in fair value of treasury positions
 
(3
)
 
—

 
(3
)
 
(3
)
Reclassification to realized at settlement of treasury positions
 
—

 
—

 
—

 
—

Net treasury mark-to-market gains (losses)
 
(3
)
 
—

 
(3
)
 
(3
)
      Net mark-to-market gains (losses)
 
$
52

 
$
21

 
$
73

 
$
73


 
 
Generation
 
Exelon
Nine Months Ended September 30, 2017
 
Operating
Revenues
 
Purchased
Power 
and Fuel
 
Total
 
Total
Change in fair value of commodity positions
 
$
123

 
$
(153
)
 
$
(30
)
 
$
(30
)
Reclassification to realized of commodity positions
 
(164
)
 
39

 
(125
)
 
(125
)
Net commodity mark-to-market gains (losses)
 
(41
)
 
(114
)
 
(155
)
 
(155
)
Change in fair value of treasury positions
 
(4
)
 
—

 
(4
)
 
(4
)
Reclassification to realized of treasury positions
 
(2
)
 
—

 
(2
)
 
(2
)
Net treasury mark-to-market gains (losses)
 
(6
)
 
—

 
(6
)
 
(6
)
     Net mark-to-market gains (losses)
 
$
(47
)
 
$
(114
)
 
$
(161
)
 
$
(161
)
 
 
Generation
 
Exelon
Three Months Ended September 30, 2016
 
Operating
Revenues
 
Purchased
Power
and Fuel
 
Total
 
Total
Change in fair value of commodity positions
 
$
280

 
$
(73
)
 
$
207

 
$
207

Reclassification to realized at settlement of commodity positions
 
(92
)
 
(26
)
 
(118
)
 
(118
)
Net commodity mark-to-market gains (losses)
 
188

 
(99
)
 
89

 
89

Change in fair value of treasury positions
 
1

 
—

 
1

 
1

Reclassification to realized at settlement of treasury positions
 
(2
)
 
—

 
(2
)
 
(2
)
Net treasury mark-to-market gains (losses)
 
(1
)
 
—

 
(1
)
 
(1
)
     Net mark-to-market gains (losses)
 
$
187

 
$
(99
)
 
$
88

 
$
88

 
 
 
Generation
 
Exelon
Nine Months Ended September 30, 2016
 
Operating
Revenues
 
Purchased
Power
and Fuel
 
Total
 
Total
Change in fair value of commodity positions
 
$
127

 
$
36

 
$
163

 
$
163

Reclassification to realized of commodity positions
 
(484
)
 
217

 
(267
)
 
(267
)
Net commodity mark-to-market gains (losses)
 
(357
)
 
253

 
(104
)
 
(104
)
Change in fair value of treasury positions
 
(3
)
 
—

 
(3
)
 
(3
)
Reclassification to realized of treasury positions
 
(6
)
 
—

 
(6
)
 
(6
)
Net treasury mark-to-market gains (losses)
 
(9
)
 
—

 
(9
)
 
(9
)
      Net mark-to-market gains (losses)
 
$
(366
)
 
$
253

 
$
(113
)
 
$
(113
)
In the tables below, “Change in fair value” represents the change in fair value of the derivative contracts held at the reporting date. The “Reclassification to realized” represents the recognized change in fair value that was reclassified to realized due to settlement of the derivative during the period.
  
 
Three Months Ended  
 September 30,
 
Nine Months Ended 
 September 30,
  
 
2017
 
2016
 
2017
 
2016
Change in fair value of commodity positions
 
$
11

 
$
4

 
$
17

 
$
18

Reclassification to realized of commodity positions
 
(6
)
 
(6
)
 
(13
)
 
(17
)
Net commodity mark-to-market gains (losses)
 
5

 
(2
)
 
4

 
1

Change in fair value of treasury positions
 
(1
)
 
—

 
(2
)
 
(2
)
Reclassification to realized of treasury positions
 
1

 
1

 
1

 
2

Net treasury mark-to-market gains (losses)
 
—

 
1

 
(1
)
 
—

Total net mark-to-market gains (losses)
 
$
5

 
$
(1
)
 
$
3

 
$
1
Information on Generation's credit exposure for all derivative instruments, normal purchase normal sales, and applicable payables and receivables, net of collateral and instruments that are subject to master netting agreements
The aggregate fair value of all derivative instruments with credit-risk-related contingent features in a liability position that are not fully collateralized (excluding transactions on the exchanges that are fully collateralized) is detailed in the table below:
Credit-Risk Related Contingent Feature
September 30, 2017
 
December 31, 2016
Gross fair value of derivative contracts containing this feature(a)
$
(916
)
 
$
(960
)
Offsetting fair value of in-the-money contracts under master netting arrangements(b)
638

 
627

       Net fair value of derivative contracts containing this feature(c)
$
(278
)
 
$
(333
)
_________
(a)
Amount represents the gross fair value of out-of-the-money derivative contracts containing credit-risk related contingent features ignoring the effects of master netting agreements.
(b)
Amount represents the offsetting fair value of in-the-money derivative contracts under legally enforceable master netting agreements with the same counterparty, which reduces the amount of any liability for which a Registrant could potentially be required to post collateral.
(c)
Amount represents the net fair value of out-of-the-money derivative contracts containing credit-risk related contingent features after considering the mitigating effects of offsetting positions under master netting arrangements and reflects the actual net liability upon which any potential contingent collateral obligations would be based.
The following tables provide information on Generation’s credit exposure for all derivative instruments, NPNS and applicable payables and receivables, net of collateral and instruments that are subject to master netting agreements, as of September 30, 2017. The tables further delineate that exposure by credit rating of the counterparties and provide guidance on the concentration of credit risk to individual counterparties. The figures in the tables below exclude credit risk exposure from individual retail counterparties, Nuclear fuel procurement contracts and exposure through RTOs, ISOs, NYMEX, ICE, NASDAQ, NGX and Nodal commodity exchanges. Additionally, the figures in the tables below exclude exposures with affiliates, including net receivables with ComEd, PECO, BGE, Pepco, DPL and ACE of $18 million, $22 million, $22 million, $34 million, $12 million, and $7 million as of September 30, 2017, respectively. 
Rating as of September 30, 2017
Total Exposure Before Credit Collateral
 
Credit Collateral(a)
 
Net Exposure
 
Number of Counterparties Greater than 10% of Net Exposure
 
Net Exposure of Counterparties Greater than 10% of Net Exposure
Investment grade
$
828

 
$
9

 
$
819

 
1

 
$
278

Non-investment grade
44

 
4

 
40

 


 


No external ratings
 
 
 
 
 
 
 
 
 
Internally rated — investment grade
316

 
—

 
316

 


 


Internally rated — non-investment grade
100

 
18

 
82

 


 


Total
$
1,288

 
$
31

 
$
1,257

 
1

 
$
278

 
Net Credit Exposure by Type of Counterparty
As of
September 30, 2017
Financial institutions
$
48

Investor-owned utilities, marketers, power producers
538

Energy cooperatives and municipalities
525

Other
146

Total
$
1,257

_________ 
(a)
As of September 30, 2017, credit collateral held from counterparties where Generation had credit exposure included $19 million of cash and $12 million of letters of credit. The credit collateral does not include non-liquid collateral.