Derivatives (Tables)

9 Months Ended

Sep. 30, 2017

Volumes Of Outstanding Derivative Contracts

The volumes of the Utility’s outstanding derivatives were as follows:

		Contract Volume at
		September 30,	December 31,
Underlying Product	Instruments	2017	2016
Natural Gas (1)(MMBtus (2))	Forwards, Futures and Swaps	300,594,593	323,301,331
	Options	79,640,435	96,602,785
Electricity (Megawatt-hours)	Forwards, Futures and Swaps	3,505,504	3,287,397
	Congestion Revenue Rights (3)	249,876,873	278,143,281

(1) Amounts shown are for the combined positions of the electric fuels and core gas supply portfolios.

(2) Million British Thermal Units.

(3) CRRs are financial instruments that enable the holders to manage variability in electric energy congestion charges due to transmission grid limitations.

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

At September 30,2017, the Utility’s outstanding derivative balances were as follows:

	Commodity Risk
	Gross Derivative						Total Derivative
(in millions)	Balance		Netting		Cash Collateral		Balance
Current assets – other	$	47	$	(7)	$	9	$	49
Other noncurrent assets – other		121		(3)		-		118
Current liabilities – other		(54)		7		11		(36)
Noncurrent liabilities – other		(81)		3		7		(71)
Total commodity risk	$	33	$	-	$	27	$	60

At December 31, 2016, the Utility’s outstanding derivative balances were as follows:

	Commodity Risk
	Gross Derivative						Total Derivative
(in millions)	Balance		Netting		Cash Collateral		Balance
Current assets – other	$	91	$	(10)	$	1	$	82
Other noncurrent assets – other		149		(9)		-		140
Current liabilities – other		(48)		10		-		(38)
Noncurrent liabilities – other		(101)		9		3		(89)
Total commodity risk	$	91	$	-	$	4	$	95

Gains And Losses On Derivative Instruments

Gains and losses associated with price risk management activities were recorded as follows:

	Commodity Risk
	Three Months Ended				Nine Months Ended
	September 30,				September 30,
(in millions)	2017		2016		2017		2016
Unrealized gain (loss) - regulatory assets and liabilities (1)	$	(6)	$	(29)	$	(58)	$	30
Realized loss - cost of electricity (2)		(4)		(7)		(8)		(48)
Realized loss - cost of natural gas (2)		(1)		(9)		(5)		(15)
Net commodity risk	$	(11)	$	(45)	$	(71)	$	(33)

(1) Unrealized gains and losses on commodity risk-related derivative instruments are recorded to regulatory liabilities or assets, respectively, rather than being recorded to the Condensed Consolidated Statements of Income.  These amounts exclude the impact of cash collateral postings.

(2) These amounts are fully passed through to customers in rates.  Accordingly, net income was not impacted by realized amounts on these instruments.

Additional Cash Collateral The Utility Would Be Required To Post If Its Credit Risk-Related Contingency Features Were Triggered

The additional cash collateral that the Utility would be required to post if the credit risk-related contingency features were triggered was as follows:

	Balance at
	September 30,		December 31,
(in millions)	2017		2016
Derivatives in a liability position with credit risk-related
contingencies that are not fully collateralized	$	(16)		$	(24)
Related derivatives in an asset position		3			19
Collateral posting in the normal course of business related to
these derivatives		11			4
Net position of derivative contracts/additional collateral
posting requirements(1)	$	(2)		$	(1)

(1) This calculation excludes the impact of closed but unpaid positions, as their settlement is not impacted by any of the Utility’s credit risk-related contingencies.