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Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The following tables provide a summary of the derivative fair value balances recorded by Exelon, Generation, and ComEd as of September 30, 2021 and December 31, 2020:


	Exelon		Generation										ComEd
September 30, 2021	Total Derivatives		Economic Hedges		Proprietary Trading		Collateral(a)(b)		Netting(a)		Subtotal		Economic Hedges
Mark-to-market derivative assets (current assets)	$	1,505	$	19,631	$	63	$	(790)	$	(17,399)	$	1,505	$	—
Mark-to-market derivative assets (noncurrent assets)	661		3,612		5		(201)		(2,755)		661		—
Total mark-to-market derivative assets	2,166		23,243		68		(991)		(20,154)		2,166		—
Mark-to-market derivative liabilities (current liabilities)	(1,710)		(18,490)		(55)		(559)		17,399		(1,705)		(5)
Mark-to-market derivative liabilities (noncurrent liabilities)	(720)		(3,168)		(3)		(95)		2,755		(511)		(209)
Total mark-to-market derivative liabilities	(2,430)		(21,658)		(58)		(654)		20,154		(2,216)		(214)
Total mark-to-market derivative net (liabilities) assets	$	(264)	$	1,585	$	10	$	(1,645)	$	—	$	(50)	$	(214)


	Exelon		Generation										ComEd
December 31, 2020	Total Derivatives		Economic Hedges		Proprietary Trading		Collateral(a)(b)		Netting(a)		Subtotal		Economic Hedges
Mark-to-market derivative assets (current assets)	$	639	$	2,757	$	40	$	103	$	(2,261)	$	639	$	—
Mark-to-market derivative assets (noncurrent assets)	554		1,501		4		64		(1,015)		554		—
Total mark-to-market derivative assets	1,193		4,258		44		167		(3,276)		1,193		—
Mark-to-market derivative liabilities (current liabilities)	(293)		(2,629)		(23)		131		2,261		(260)		(33)
Mark-to-market derivative liabilities (noncurrent liabilities)	(472)		(1,335)		(2)		118		1,015		(204)		(268)
Total mark-to-market derivative liabilities	(765)		(3,964)		(25)		249		3,276		(464)		(301)
Total mark-to-market derivative net assets (liabilities)	$	428	$	294	$	19	$	416	$	—	$	729	$	(301)

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(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. As of September 30, 2021, $1 million of cash collateral posted with external counterparties and an additional $71 million of cash collateral posted with affiliates, including $50 million with ComEd, and as of December 31, 2020, $15 million of cash collateral held with external counterparties, was not offset against derivative positions because such collateral was not associated with any energy-related derivatives, was associated with accrual positions, or had no positions to offset as of the balance sheet date.

(b)Includes $2,084 million held and $209 million posted of variation margin with the exchanges as of September 30, 2021 and December 31, 2020 respectively.

Economic Hedges (Commodity Price Risk)

For the three and nine months ended September 30, 2021 and 2020, 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,
	2021		2020		2021		2020
Income Statement Location	(Loss) Gain				(Loss) Gain
Operating revenues	$	(637)	$	39	$	(961)	$	238
Purchased power and fuel	1,392		209		2,209		224
Total Exelon and Generation	$	755	$	248	$	1,248	$	462

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, 2021. 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 amounts 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, 2021	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	$	701	$	254	$	447	—	$	—
Non-investment grade	23		2		21		—	—
No external ratings
Internally rated — investment grade	110		1		109		—	—
Internally rated — non-investment grade	309		48		261		—	—
Total	$	1,143	$	305	$	838	—	$	—


Net Credit Exposure by Type of Counterparty	As of September 30, 2021
Financial institutions	$	53
Investor-owned utilities, marketers, power producers	652
Energy cooperatives and municipalities	62
Other	71
Total	$	838

_________

(a)As of September 30, 2021, credit collateral held from counterparties where Generation had credit exposure included $188 million of cash and $117 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, 2021		December 31, 2020
Gross fair value of derivative contracts containing this feature(a)	$	(5,289)	$	(834)
Offsetting fair value of in-the-money contracts under master netting arrangements(b)	2,735		537
Net fair value of derivative contracts containing this feature(c)	$	(2,554)	$	(297)

_________

(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 Generation 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, 2021 and December 31, 2020, 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, 2021		December 31, 2020
Cash collateral posted	$	299	$	511
Letters of credit posted	477		226
Cash collateral held	1,872		110
Letters of credit held	130		40
Additional collateral required in the event of a credit downgrade below investment grade	3,001		1,432

- 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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