Derivative Instruments and Hedging Activities (Tables)
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9 Months Ended |
Sep. 30, 2023 |
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| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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| Schedule of Derivative Instruments |
The following table provides a summary of the Utility Registrants’ primary derivative hedging instruments, listed by commodity and accounting treatment. | | | | | | | | | | | | | Registrant | Commodity | Accounting Treatment | Hedging Instrument | | ComEd | Electricity | NPNS | Fixed price contracts based on all requirements in the IPA procurement plans. | | Electricity | Changes in fair value of economic hedge recorded to an offsetting regulatory asset or liability(a) | 20-year floating-to-fixed energy swap contracts beginning June 2012 based on the renewable energy resource procurement requirements in the Illinois Settlement Legislation of approximately 1.3 million MWhs per year. | | PECO | Electricity | NPNS | Fixed price contracts for default supply requirements through full requirements contracts. | | Gas | NPNS | Fixed price contracts to cover about 10% of planned natural gas purchases in support of projected firm sales. | | BGE | Electricity | NPNS | Fixed price contracts for all SOS requirements through full requirements contracts. | | Gas | NPNS | Fixed price contracts for between 10-20% of forecasted system supply requirements for flowing (i.e., non-storage) gas for the November through March period. | | Pepco | Electricity | NPNS | Fixed price contracts for all SOS requirements through full requirements contracts. | | DPL | Electricity | NPNS | Fixed price contracts for all SOS requirements through full requirements contracts. | | Gas | NPNS | Fixed and index priced contracts through full requirements contracts. | | Gas | Changes in fair value of economic hedge recorded to an offsetting regulatory asset or liability(b) | Exchange traded future contracts for up to 50% of estimated monthly purchase requirements each month, including purchases for storage injections. | | ACE | Electricity | NPNS | Fixed price contracts for all BGS requirements through full requirements contracts. |
__________ (a)See Note 3 — Regulatory Matters of the 2022 Form 10-K for additional information. (b)The fair value of the DPL economic hedge is not material at September 30, 2023 and December 31, 2022.
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| Schedule of Interest Rate Derivatives |
Below is a summary of the interest rate hedge balances at September 30, 2023 and December 31, 2022. | | | | | | | | | | | | | | | | | | | September 30, 2023 | | Derivatives Designated
as Hedging Instruments | | Economic Hedges | | Total | | Other current assets | $ | — | | | $ | 3 | | | $ | 3 | | | Other deferred debits (noncurrent assets) | 41 | | | — | | | 41 | | | Total derivative assets | 41 | | | 3 | | | 44 | | | Mark-to-market derivative liabilities (current liabilities) | — | | | (23) | | | (23) | | | | | | | | | Total mark-to-market derivative liabilities | — | | | (23) | | | (23) | | | Total mark-to-market derivative net assets (liabilities) | $ | 41 | | | $ | (20) | | | $ | 21 | |
| | | | | | | | | | | | | | | | | | | December 31, 2022 | | Derivatives Designated
as Hedging Instruments | | Economic Hedges | | Total | | | | | | | | Other deferred debits (noncurrent assets) | $ | 6 | | | $ | 5 | | | $ | 11 | | | Total derivative assets | 6 | | | 5 | | | 11 | | | Mark-to-market derivative liabilities (current liabilities) | — | | | (3) | | | (3) | | | Mark-to-market derivative liabilities (noncurrent liabilities) | (4) | | | — | | | (4) | | | Total mark-to-market derivative liabilities | (4) | | | (3) | | | (7) | | | Total mark-to-market derivative net assets | $ | 2 | | | $ | 2 | | | $ | 4 | |
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| Schedule of Notional Amounts of Outstanding Derivative Positions |
The following table provides the notional amounts outstanding held by Exelon at September 30, 2023 and December 31, 2022. | | | | | | | | | | | | | | | | | | | | | September 30, 2023 | | December 31, 2022 | | | | | | 5-year maturity floating-to-fixed swaps | | $ | 390 | | | $ | 635 | | | | | | | 10-year maturity floating-to-fixed swaps | | 390 | | | 635 | | | | | | | Total | | $ | 780 | | | $ | 1,270 | | | | | |
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| Derivatives Not Designated as Hedging Instruments |
The following table provides the notional amounts outstanding held by Exelon at September 30, 2023 and December 31, 2022. | | | | | | | | | | | | | | | | | | | | Hedging Instrument | | September 30, 2023 | | December 31, 2022 | | | | | | Interest rate cap swaps | | $ | 1,000 | | | $ | 1,850 | | | | | | | Constant maturity treasury interest rate swaps | | 4,875 | | | 500 | | | | | | | Total | | $ | 5,875 | | | $ | 2,350 | | | | | |
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| Economic Hedges (Commodity Price Risk) |
For the three and nine months ended September 30, 2023, Exelon Corporate recognized the following net pre-tax mark-to-market (losses) which are also recognized in Net fair value changes related to derivatives in Exelon's Consolidated Statements of Cash Flows. Exelon had no swaps for the three and nine months ended September 30, 2022. | | | | | | | | | | | | | | | | | Three Months Ended September 30, 2023 | | Nine Months Ended September 30, 2023 | | | | | | Income Statement Location | (Loss) Gain | | (Loss) Gain | | | | | | Electric operating revenues | $ | (16) | | | $ | (21) | | | | | | | Interest expense | — | | | 1 | | | | | | | Total | $ | (16) | | | $ | (20) | | | | | |
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| Cash collateral held with external counterparties |
The following table reflects the Registrants' cash collateral held from external counterparties, which is recorded in Other current liabilities on their respective Consolidated Balance Sheets, at September 30, 2023 and December 31, 2022: | | | | | | | | | | | | | | | | | | | | | September 30, 2023 | | December 31, 2022 | | | | | | Exelon | | $ | 112 | | | $ | 297 | | | | | | | ComEd | | 105 | | | 77 | | | | | | PECO(a) | | — | | | — | | | | | | | BGE | | 1 | | | 23 | | | | | | | PHI | | 6 | | | 197 | | | | | | Pepco(b) | | — | | | 26 | | | | | | | DPL | | 1 | | | 121 | | | | | | | ACE | | 5 | | | 50 | | | | | |
__________(a)PECO had less than one million in cash collateral held with external parties at September 30, 2023 and December 31, 2022. (b)Pepco had less than one million in cash collateral held with external parties at September 30, 2023.
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