Derivative Instruments and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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.

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(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.

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

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

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

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)

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

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(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.