Derivative Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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


	Exelon										ComEd
December 31, 2021	Economic Hedges		Proprietary Trading		Collateral (a)(b)		Netting(a)		Total		Economic Hedges
Mark-to-market derivative assets (current assets)	$	10,915	$	25	$	152	$	(8,923)	$	2,169	$	—
Mark-to-market derivative assets (noncurrent assets)	3,224		2		15		(2,298)		943		—
Total mark-to-market derivative assets	14,139		27		167		(11,221)		3,112		—
Mark-to-market derivative liabilities (current liabilities)	(10,161)		(19)		262		8,923		(995)		(18)
Mark-to-market derivative liabilities (noncurrent liabilities)	(3,094)		(1)		83		2,298		(714)		(201)
Total mark-to-market derivative liabilities	(13,255)		(20)		345		11,221		(1,709)		(219)
Total mark-to-market derivative net assets (liabilities)	$	884	$	7	$	512	$	—	$	1,403	$	(219)

December 31, 2020
Mark-to-market derivative assets (current assets)	$	2,757	$	40	$	103	$	(2,261)	$	639	$	—
Mark-to-market derivative assets (noncurrent assets)	1,501		4		64		(1,015)		554		—
Total mark-to-market derivative assets	4,258		44		167		(3,276)		1,193		—
Mark-to-market derivative liabilities (current liabilities)	(2,662)		(23)		131		2,261		(293)		(33)
Mark-to-market derivative liabilities (noncurrent liabilities)	(1,603)		(2)		118		1,015		(472)		(268)
Total mark-to-market derivative liabilities	(4,265)		(25)		249		3,276		(765)		(301)
Total mark-to-market derivative net assets (liabilities)	$	(7)	$	19	$	416	$	—	$	428	$	(301)

_________

(a)Exelon nets 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 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 as of December 31, 2021 and 2020 and not reflected in the table above.

(b)Includes $897 million held and $209 million posted of variation margin with the exchanges as of December 31, 2021 and 2020, respectively.

Economic Hedges (Commodity Price Risk)

For the years ended December 31, 2021, 2020, and 2019, Exelon 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.


	Gain (Loss)
Income Statement Location	2021		2020		2019

Operating revenues	$	(635)	$	112	$	—
Purchased power and fuel	1,206		168		(204)
Total	$	571	$	280	$	(204)

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, 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 December 31, 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	$	715	$	176	$	539	1	$	106
Non-investment grade	13		—		13		—	—
No external ratings
Internally rated — investment grade	111		—		111		—	—
Internally rated — non-investment grade	226		47		179		—	—
Total	$	1,065	$	223	$	842	1	$	106


Net Credit Exposure by Type of Counterparty	As of December 31, 2021
Financial institutions	$	32
Investor-owned utilities, marketers, power producers	711
Energy cooperatives and municipalities	62
Other	37
Total	$	842

__________

(a)As of December 31, 2021, credit collateral held from counterparties where Generation had credit exposure included $163 million of cash and $60 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:


	As of December 31,
Credit-Risk Related Contingent Features	2021		2020
Gross fair value of derivative contracts containing this feature(a)	$	(3,872)	$	(834)
Offsetting fair value of in-the-money contracts under master netting arrangements(b)	2,424		537
Net fair value of derivative contracts containing this feature(c)	$	(1,448)	$	(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 December 31, 2021 and 2020, 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,
	2021		2020
Cash collateral posted	$	713	$	511
Letters of credit posted	755		226
Cash collateral held	182		110
Letters of credit held	124		40
Additional collateral required in the event of a credit downgrade below investment grade	2,113		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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