XML 277 R47.htm IDEA: XBRL DOCUMENT v3.19.3.a.u2
Derivative Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2019
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 Exelon, Generation and ComEd as of December 31, 2019 and 2018:
 
Exelon
 
Generation
 
ComEd
December 31, 2019
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
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2018
 
 
 
 
 
 
 
 
 
 
 
 
 
Mark-to-market derivative assets (current assets)
$
801

 
$
3,505

 
$
105

 
$
121

 
$
(2,930
)
 
$
801

 
$
—

Mark-to-market derivative assets (noncurrent assets)
445

 
1,266

 
41

 
51

 
(913
)
 
445

 
—

Total mark-to-market derivative assets
1,246

 
4,771

 
146

 
172

 
(3,843
)
 
1,246

 
—

Mark-to-market derivative liabilities (current liabilities)
(473
)
 
(3,429
)
 
(74
)
 
125

 
2,931

 
(447
)
 
(26
)
Mark-to-market derivative liabilities (noncurrent liabilities)
(474
)
 
(1,203
)
 
(20
)
 
60

 
912

 
(251
)
 
(223
)
Total mark-to-market derivative liabilities
(947
)
 
(4,632
)
 
(94
)
 
185

 
3,843

 
(698
)
 
(249
)
Total mark-to-market derivative net assets (liabilities)
$
299

 
$
139

 
$
52

 
$
357

 
$
—

 
$
548

 
$
(249
)
_________
(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 immaterial and not reflected in the table above.
(b)
Of the collateral posted/(received), $511 million and $(94) million represents variation margin on the exchanges at December 31, 2019 and 2018, respectively.
Economic Hedges (Commodity Price Risk) For the years ended December 31, 2019, 2018 and 2017, 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.

 
2019
 
2018
 
2017
Income Statement Location
 
Gain (Loss)
Operating revenues
 
$
—

 
$
(270
)
 
$
(126
)
Purchased power and fuel
 
(204
)
 
(47
)
 
(43
)
Total Exelon and Generation
 
$
(204
)
 
$
(317
)
 
$
(169
)
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 December 31, 2019. 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 December 31, 2019
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
$
877


$
20

 
$
857

 
—

 
$
—

Non-investment grade
79


63

 
16

 
 
 
 
No external ratings



 

 
 
 
 
Internally rated — investment grade
218


—

 
218

 
 
 
 
Internally rated — non-investment grade
139


23

 
116

 
 
 
 
Total
$
1,313


$
106

 
$
1,207

 
—

 
$
—

Net Credit Exposure by Type of Counterparty
As of
December 31, 2019
Financial institutions
$
9

Investor-owned utilities, marketers, power producers
930

Energy cooperatives and municipalities
235

Other
33

Total
$
1,207

__________
(a)
As of December 31, 2019, credit collateral held from counterparties where Generation had credit exposure included $25 million of cash and $81 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] [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:
 
 
As of December 31,
Credit-Risk Related Contingent Features
 
2019
 
2018
Gross fair value of derivative contracts containing this feature(a)
 
$
(956
)
 
$
(1,723
)
Offsetting fair value of in-the-money contracts under master netting arrangements(b)
 
649

 
1,105

Net fair value of derivative contracts containing this feature(c)
 
$
(307
)
 
$
(618
)
__________
(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 December 31, 2019 and 2018, 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.
 
 
As of December 31,
 
 
2019
 
2018
Cash collateral posted
 
$
982

 
$
418

Letters of credit posted
 
264

 
367

Cash collateral held
 
103

 
47

Letters of credit held
 
112

 
44

Additional collateral required in the event of a credit downgrade below investment grade
 
1,509

 
2,104