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Derivative Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Summary of the derivative fair value
Below is a summary of the interest rate and foreign exchange hedge balances 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 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, 2015:
 
 
Generation
 
    Other
 
 
Exelon
Description
Derivatives
Designated
as Hedging
Instruments
 
Economic
Hedges
 
Proprietary
Trading(a)
 
Collateral
and
Netting(b)
 
Subtotal
 
Derivatives
Designated
as Hedging
Instruments
 
Subtotal
 
Total
Mark-to-market derivative assets (current assets)
$
—


$
10


$
10


$
(5
)
 
$
15

 
$
—

 
$
—

 
$
15

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


10


5


(1
)
 
14

 
25

 
$
25

 
$
39

Total mark-to-market derivative assets
—


20


15


(6
)
 
29

 
25

 
25


54

Mark-to-market derivative liabilities (current liabilities)
(8
)

(2
)

(9
)

11

 
(8
)
 
—

 
—

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

(1
)

(3
)

4

 
(8
)
 
—

 
—

 
(8
)
Total mark-to-market derivative liabilities
(16
)

(3
)

(12
)

15

 
(16
)
 
—

 
—


(16
)
Total mark-to-market derivative net assets (liabilities)
$
(16
)

$
17


$
3


$
9

 
$
13

 
$
25

 
$
25


$
38

_________________________
(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 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 derivative fair value balances recorded by the Registrants as of December 31, 2016:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Successor
 
 
 
Generation
 
ComEd
 
DPL
 
PHI
 
Exelon
Derivatives
Economic
Hedges
 
Proprietary
Trading
 
Collateral
and
Netting(a)
 
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, 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.


The following table provides a summary of the derivative fair value balances recorded by the Registrants as of December 31, 2015:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Predecessor
 
Generation
 
ComEd
 
Exelon
 
DPL
 
PHI Corporate
 
PHI
Derivatives
Economic
Hedges
 
Proprietary
Trading
 
Collateral
and
Netting(a)
 
Subtotal(b)
 
Economic
Hedges(c)
 
Total
Derivatives
 
Economic
Hedges(e)
 
Collateral and
Netting(a)
 
Subtotal
 
Other(d)
 
Total
Derivatives
Mark-to-market
derivative assets (current assets)
$
5,236


$
108


$
(3,994
)
 
$
1,350

 
$
—

 
$
1,350

 
$
—

 
$
—

 
$
—

 
$
18

 
$
18

Mark-to-market
derivative assets (noncurrent assets)
1,860


22


(1,163
)
 
719

 
—

 
719

 
—

 
—

 
—

 
—

 
—

Total mark-to-market
derivative assets
7,096


130


(5,157
)
 
2,069

 
—

 
2,069


—


—


—


18


18

Mark-to-market
derivative liabilities (current liabilities)
(4,907
)

(94
)

4,827

 
(174
)
 
(23
)
 
(197
)
 
(2
)
 
2

 
—

 
—

 
—

Mark-to-market
derivative liabilities (noncurrent liabilities)
(1,673
)

(33
)

1,564

 
(142
)
 
(224
)
 
(366
)
 
—

 
—

 
—

 
—

 
—

Total mark-to-market
derivative liabilities
(6,580
)

(127
)

6,391

 
(316
)
 
(247
)
 
(563
)

(2
)

2


—


—


—

Total mark-to-market
derivative net assets (liabilities)
$
516


$
3


$
1,234

 
$
1,753

 
$
(247
)
 
$
1,506


$
(2
)

$
2


$
—


$
18


$
18

______________________
(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 $352 million and $180 million, respectively, and current and noncurrent liabilities are shown net of collateral of $480 million and $222 million, respectively. The total cash collateral posted, net of cash collateral received and offset against mark-to-market assets and liabilities was $1,234 million at December 31, 2015.
(c)
Includes current and noncurrent liabilities relating to floating-to-fixed energy swap contracts with unaffiliated suppliers.
(d)
Prior to the PHI Merger, PHI recorded derivative assets for the embedded call and redemption features on the shares of Preferred Stock outstanding as of December 31, 2015. See Note 19 - Mezzanine Equity for additional information. As a result of the PHI Merger, the PHI preferred stock derivative was reduced to zero as of March 23, 2016.
(e)
Represents natural gas futures purchased by DPL as part of a natural gas hedging program approved by the DPSC.
Gain or loss on the hedged items and the offsetting loss or gain on the related interest rate swaps in interest expense
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:
 
 
 
 
Year Ended December 31,
  
Income Statement Location
 
2016
 
2015
 
2014
 
2016
 
2015
 
2014
  
Gain (Loss) on Swaps
 
Gain (Loss) on Borrowings
Generation
Interest expense(a)
 
$
—

 
$
(1
)
 
$
(16
)
 
$
—

 
$
—

 
$
2

Exelon
Interest expense
 
$
(9
)
 
$
3

 
$
14

 
$
23

 
$
14

 
$
(1
)
______________________
(a)
For the years ended December 31, 2015 and 2014, the loss on Generation swaps included $(1) million and $(17) million realized in earnings, respectively, with an immaterial amount and $4 million excluded from hedge effectiveness testing, respectively.
The activity of accumulated OCI related to cash flow hedges
The tables below provide the activity of OCI related to cash flow hedges for the years ended December 31, 2016 and 2015, containing information about the changes in the fair value of cash flow hedges and the reclassification from Accumulated OCI into results of operations. 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
 
For the Year Ended December 31, 2016
 
Income Statement
Location
 
Total Cash 
Flow Hedges
 
Total Cash 
Flow Hedges
 
AOCI derivative loss at December 31, 2015
 
 
 
$
(21
)
 
$
(19
)
 
Effective portion of changes in fair value
 
 
 
(6
)
 
(6
)
 
Reclassifications from AOCI to net income
 
Interest expense
 
8

(a) 
8

(a) 
AOCI derivative loss at December 31, 2016
 
 
 
$
(19
)
 
$
(17
)
 

 
 
Total Cash Flow Hedge OCI Activity,
Net of Income Tax                   
 
 
Generation
 
Exelon
 
For the Year Ended December 31, 2015
 
Income Statement
Location
 
Total Cash 
Flow Hedges
 
Total Cash
Flow Hedges
 
Accumulated OCI derivative loss at December 31, 2014
 
 
 
$
(18
)
 
$
(28
)
 
Effective portion of changes in fair value
 
 
 
(8
)
  
(12
)
 
Reclassifications from AOCI to net income
 
Other, net
 
—

 
16

(b) 
Reclassifications from AOCI to net income
 
Interest Expense
 
7

(c) 
7

(c) 
Reclassifications from AOCI to net income
 
Operating Revenues
 
(2
)
 
(2
)
 
Accumulated OCI derivative loss at December 31, 2015
 
 
 
$
(21
)
 
$
(19
)
 
_______________________
(a)
Amount is net of related income tax expense of $5 million for the year ended December 31, 2016.
(b)
Amount is net of related income tax expense of $10 million for the year ended December 31, 2015.
(c)
Amount is net of related income tax expense of $4 million for the year ended December 31, 2015,
Change in fair value and reclassification of derivative contracts
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 at settlement” represents the recognized change in fair value that was reclassified to realized due to settlement of the derivative during the period.
 
 
For the Years Ended
December 31,
2016
 
2015
 
2014
Change in fair value of commodity positions
$
23

 
$
8

 
$
(1
)
Reclassification to realized at settlement of commodity positions
(21
)
 
(14
)
 
(29
)
Net commodity mark-to-market gains (losses)
2

 
(6
)
 
(30
)
Change in fair value of treasury positions
(1
)
 
8

 
1

Reclassification to realized at settlement of treasury positions
—

 
(10
)
 
3

Net treasury mark-to market gains (losses)
(1
)
 
(2
)
 
4

Net mark-to market gains (losses)
$
1

 
$
(8
)
 
$
(26
)
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 at settlement” represents the recognized change in fair value that was reclassified to realized due to settlement of the derivative during the period.
 
 
Generation
 
Exelon
Year Ended December 31, 2016
Operating
Revenues
 
Purchased
Power
and Fuel
 
Total
 
Total
Change in fair value of commodity positions
$
5


$
208


$
213

 
$
213

Reclassification to realized at settlement of commodity positions
(495
)

251


(244
)
 
(244
)
Net commodity mark-to-market gains (losses)
(490
)

459


(31
)

(31
)
Change in fair value of treasury positions
(2
)

—


(2
)
 
(2
)
Reclassification to realized at settlement of treasury positions
(8
)

—


(8
)
 
(8
)
Net treasury mark-to-market gains (losses)
(10
)

—


(10
)

(10
)
     Net mark-to-market gains (losses)
$
(500
)

$
459


$
(41
)

$
(41
)
 
 
Generation
 
Exelon Corporate
 
Exelon
Year Ended December 31, 2015
Operating
Revenues
 
Purchased
Power
and Fuel
 
Total
 
Interest Expense
 
Total
Change in fair value of commodity positions
$
759

 
$
(355
)
 
$
404

 
$
—

 
$
404

Reclassification to realized at settlement of commodity positions
(563
)
 
409

 
(154
)
 
—

 
(154
)
Net commodity mark-to-market gains (losses)
196

 
54

 
250

 
—

 
250

Change in fair value of treasury positions
13

 
—

 
13

 
36

 
49

Reclassification to realized at settlement of treasury positions
(6
)
 
—

 
(6
)
 
64

 
58

Net treasury mark-to-market gains (losses)
7

 
—

 
7

 
100

 
107

     Net mark-to-market gains (losses)
$
203

 
$
54

 
$
257

 
$
100

 
$
357


 
Generation
 
Exelon Corporate
 
Exelon
Year Ended December 31, 2014
Operating
Revenues
 
Purchased
Power
and Fuel
 
Interest Expense
 
Total
 
Interest Expense
 
Total
Change in fair value of commodity positions
$
(413
)

$
(194
)

$
—

 
$
(607
)
 
$
—

 
$
(607
)
Reclassification to realized at settlement of commodity positions
231


(223
)

—

 
8

 
—

 
8

Net commodity mark-to-market gains (losses)
(182
)

(417
)

—

 
(599
)
 
—

 
(599
)
Change in fair value of treasury positions
10


—


(2
)
 
8

 
(100
)
 
(92
)
Reclassification to realized at settlement of treasury positions
(2
)

—


—

 
(2
)
 
—

 
(2
)
Net treasury mark-to-market gains (losses)
8


—


(2
)
 
6

 
(100
)
 
(94
)
     Net mark-to-market gains (losses)
$
(174
)

$
(417
)

$
(2
)
 
$
(593
)
 
$
(100
)
 
$
(693
)
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:
 
 
For the Years Ended December 31,
Credit-Risk Related Contingent Feature
2016
 
2015
Gross Fair Value of Derivative Contracts Containing this Feature(a)
$
(960
)
 
$
(932
)
Offsetting Fair Value of In-the-Money Contracts Under Master Netting
Arrangements(b)
627

 
684

Net Fair Value of Derivative Contracts Containing This Feature(c)
$
(333
)
 
$
(248
)
__________________________
(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 figures in the tables below exclude credit risk exposure from individual retail counterparties, Nuclear fuel procurement contracts and exposure through RTOs, ISOs, NYMEX, ICE 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 $14 million, $33 million $26 million, $44 million, $16 million and $9 million as of December 31, 2016, respectively.

 
Rating as of December 31, 2016
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
$
995


$
—

 
$
995

 
1

 
$
328

Non-investment grade
118


16

 
102

 
—

 
—

No external ratings



 

 
 
 
 
Internally rated — investment grade
352


1

 
351

 
—

 
—

Internally rated — non-investment grade
72


8

 
64

 
—

 
—

Total
$
1,537


$
25

 
$
1,512

 
1

 
$
328

 
Net Credit Exposure by Type of Counterparty
December 31, 2016
Financial institutions
$
116

Investor-owned utilities, marketers, power producers
689

Energy cooperatives and municipalities
636

Other
71

Total
$
1,512

______________________
(a)
As of December 31, 2016, credit collateral held from counterparties where Generation had credit exposure included $9 million of cash and $16 million of letters of credit.