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Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The following table provides a summary of the derivative fair value balances recorded by Exelon, Generation, and ComEd as of September 30, 2020 and December 31, 2019:


September 30, 2020	Exelon		Generation										ComEd
Derivatives	Total Derivatives		Economic Hedges		Proprietary Trading		Collateral(a)(b)		Netting(a)		Subtotal		Economic Hedges
Mark-to-market derivative assets (current assets)	$	471	$	2,566	$	58	$	79	$	(2,232)	$	471	$	—
Mark-to-market derivative assets (noncurrent assets)	383		1,500		16		39		(1,172)		383		—
Total mark-to-market derivative assets	854		4,066		74		118		(3,404)		854		—
Mark-to-market derivative liabilities (current liabilities)	(168)		(2,414)		(40)		84		2,232		(138)		(30)
Mark-to-market derivative liabilities (noncurrent liabilities)	(378)		(1,313)		(12)		49		1,172		(104)		(274)
Total mark-to-market derivative liabilities	(546)		(3,727)		(52)		133		3,404		(242)		(304)
Total mark-to-market derivative net assets (liabilities)	$	308	$	339	$	22	$	251	$	—	$	612	$	(304)


December 31, 2019	Exelon		Generation										ComEd
Description	Total Derivatives		Economic Hedges		Proprietary Trading		Collateral(a)(b)		Netting(a)		Subtotal		Economic Hedges
Mark-to-market derivative assets (current assets)	$	675	$	3,506	$	72	$	287	$	(3,190)	$	675	$	—
Mark-to-market derivative assets (noncurrent assets)	508		1,238		25		122		(877)		508		—
Total mark-to-market derivative assets	1,183		4,744		97		409		(4,067)		1,183		—
Mark-to-market derivative liabilities (current liabilities)	(236)		(3,713)		(38)		357		3,190		(204)		(32)
Mark-to-market derivative liabilities (noncurrent liabilities)	(380)		(1,140)		(11)		163		877		(111)		(269)
Total mark-to-market derivative liabilities	(616)		(4,853)		(49)		520		4,067		(315)		(301)
Total mark-to-market derivative net assets (liabilities)	$	567	$	(109)	$	48	$	929	$	—	$	868	$	(301)

_________

(a)Exelon and Generation net all available amounts allowed under the derivative authoritative guidance in 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 amounts are not material and not reflected in the table above.

(b)Of the collateral posted/(received), $34 million and $511 million represents variation margin on the exchanges at September 30, 2020 and December 31, 2019 respectively.

Economic Hedges (Commodity Price Risk)

For the three and nine months ended September 30, 2020 and 2019, Exelon and Generation recognized the following net pre-tax commodity mark-to-market gains (losses) which are also located in the Net fair value changes related to derivatives line in the Consolidated Statements of Cash Flows.


	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
Income Statement Location	Gain (Loss)				Gain (Loss)
Operating revenues	$	39	$	76	$	238	$	65
Purchased power and fuel	209		(45)		224		(127)
Total Exelon and Generation	$	248	$	31	$	462	$	(62)

Disclosure of Credit Derivatives [Table Text Block]

The following tables provide information on Generation’s credit exposure for all derivative instruments, NPNS and payables and receivables, net of collateral and instruments that are subject to master netting agreements, as of September 30, 2020. 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.


Rating as of September 30, 2020	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	$	638	$	27	$	611	—	$	—
Non-investment grade	4		—		4
No external ratings
Internally rated — investment grade	168		1		167
Internally rated — non-investment grade	110		29		81
Total	$	920	$	57	$	863	—	$	—


Net Credit Exposure by Type of Counterparty	As of September 30, 2020
Financial institutions	$	26
Investor-owned utilities, marketers, power producers	650
Energy cooperatives and municipalities	142
Other	45
Total	$	863

_________

(a)As of September 30, 2020, credit collateral held from counterparties where Generation had credit exposure included $31 million of cash and $26 million of letters of credit. The credit collateral does not include non-liquid collateral.

Fair Value of Derivatives with Credit- Risk Related Contingent Features [Table Text Block]

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 Features	September 30, 2020		December 31, 2019
Gross fair value of derivative contracts containing this feature(a)	$	(750)	$	(956)
Offsetting fair value of in-the-money contracts under master netting arrangements(b)	535		649
Net fair value of derivative contracts containing this feature(c)	$	(215)	$	(307)

_________

(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.

Cash Collateral and Letters of Credit on Derivative Contracts [Table Text Block]

As of September 30, 2020 and December 31, 2019, Exelon and Generation posted or held the following amounts of cash collateral and letters of credit on derivative contracts with external counterparties, after giving consideration to offsetting derivative and non-derivative positions under master netting agreements.


	September 30, 2020		December 31, 2019
Cash collateral posted	$	288	$	982
Letters of credit posted	212		264
Cash collateral held	68		103
Letters of credit held	74		112
Additional collateral required in the event of a credit downgrade below investment grade	1,287		1,509

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

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