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Derivative Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2014
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Summary of the derivative fair value
Below is a summary of the interest rate and foreign currency hedges as of September 30, 2014.
 
 
 
Generation
 
Other
 
Exelon
Description
 
Derivatives
Designated
as Hedging
Instruments
 
Economic
Hedges
 
Proprietary
Trading(a)
 
Collateral
and
Netting(b)
 
Subtotal
 
Derivatives
Designated
as Hedging
Instruments
 
Economic
Hedges
 
Total
Mark-to-market derivative
      assets (current assets)
 
$
—

 
$
4

 
$
14

 
$
(14
)
 
$
4

 
$
—

 
$
—

 
$
4

Mark-to-market derivative
     assets (noncurrent
     assets)
 
13

 
3

 
7

 
(10
)
 
13

 
12

 
5

 
30

Total mark-to-market
     derivative assets
 
13

 
7

 
21

 
(24
)
 
17

 
12

 
5

 
34

Mark-to-market derivative
     liabilities (current
     liabilities)
 
(1
)
 
(7
)
 
(11
)
 
13

 
(6
)
 
—

 
—

 
(6
)
Mark-to-market derivative
     liabilities (noncurrent
     liabilities)
 
(1
)
 
(2
)
 
(9
)
 
9

 
(3
)
 
(10
)
 
(13
)
 
(26
)
Total mark-to-market
     derivative liabilities
 
(2
)
 
(9
)
 
(20
)
 
22

 
(9
)
 
(10
)
 
(13
)
 
(32
)
Total mark-to-market
     derivative net assets
     (liabilities)
 
$
11

 
$
(2
)
 
$
1

 
$
(2
)
 
$
8

 
$
2

 
$
(8
)
 
$
2

 _____________
(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)
Represents the netting of fair value balances with the same counterparty and any associated cash collateral.
 
The following table provides a summary of the interest rate and foreign exchange hedge balances recorded by the Registrants as of December 31, 2013:
 
 
 
Generation
 
Other
 
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)
 
$
—

 
$
3

 
$
15

 
$
(19
)
 
$
(1
)
 
$
—

 
$
(1
)
Mark-to-market derivative assets
      (noncurrent assets)
 
26

 
3

 
15

 
(13
)
 
31

 
7

 
38

Total mark-to-market derivative
      assets
 
26

 
6

 
30

 
(32
)
 
30

 
7

 
37

Mark-to-market derivative liabilities
      (current liabilities)
 
(1
)
 
(1
)
 
(18
)
 
19

 
(1
)
 
—

 
(1
)
Mark-to-market derivative liabilities
      (noncurrent liabilities)
 
(10
)
 
(1
)
 
(13
)
 
13

 
(11
)
 
(4
)
 
(15
)
Total mark-to-market derivative
      liabilities
 
(11
)
 
(2
)
 
(31
)
 
32

 
(12
)
 
(4
)
 
(16
)
Total mark-to-market derivative
      net assets (liabilities)
 
$
15

 
$
4

 
$
(1
)
 
$
—

 
$
18

 
$
3

 
$
21

_______________ 
(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)
Represents the netting of fair value balances with the same counterparty and any associated cash collateral.
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:
 
  
 
 
Three Months Ended September 30,
 
Income Statement
Location
 
2014
 
2013
 
2014
 
2013
  
 
Gain (Loss) on Swaps
 
Gain (Loss) on Borrowings
Generation
Interest expense(a)
 
$
(4
)
 
$
(4
)
 
$
1

 
$
(1
)
Exelon
Interest expense
 
(8
)
 
—

 
(6
)
 
(6
)
 
 
 
 
 
 
 
 
 
 
  
 
 
Nine Months Ended September 30,
 
Income Statement
Location
 
2014
 
2013
 
2014
 
2013
  
 
Gain (Loss) on Swaps
 
Gain (Loss) on Borrowings
Generation
Interest expense(a)
 
$
(12
)
 
$
(13
)
 
$
1

 
$
—

Exelon
Interest expense
 
(3
)
 
(12
)
 
6

 
(2
)
__________
(a)
For the three and nine months ended September 30, 2014, the loss on Generation swaps included $4 million and $12 million realized in earnings, respectively, with $2 million amount excluded from hedge effectiveness testing. For the three and nine months ended September 30, 2013, the loss on Generation swaps included $4 million and $12 million realized in earnings, respectively, with an immaterial excluded from hedge effectiveness testing.
The following table provides a summary of the derivative fair value balances recorded by the Registrants as of September 30, 2014:
 
 
 
Generation
 
ComEd
 
Exelon
Derivatives
 
Economic
Hedges
 
Proprietary
Trading
 
Collateral
and
Netting(a)
 
Subtotal(b)
 
Economic
Hedges(c)
 
Total
Derivatives
Mark-to-market derivative assets
      (current assets)
 
$
3,230

 
$
752

 
$
(3,242
)
 
$
740

 
$
—

 
$
740

Mark-to-market derivative assets
      (noncurrent assets)
 
1,372

 
128

 
(1,006
)
 
494

 
—

 
494

Total mark-to-market derivative
      assets
 
4,602

 
880

 
(4,248
)
 
1,234

 
—

 
1,234

Mark-to-market derivative liabilities
      (current liabilities)
 
(3,017
)
 
(755
)
 
3,543

 
(229
)
 
(14
)
 
(243
)
Mark-to-market derivative liabilities
      (noncurrent liabilities)
 
(1,129
)
 
(136
)
 
1,164

 
(101
)
 
(164
)
 
(265
)
Total mark-to-market derivative
      liabilities
 
(4,146
)
 
(891
)
 
4,707

 
(330
)
 
(178
)
 
(508
)
Total mark-to-market derivative
      net assets (liabilities)
 
$
456

 
$
(11
)
 
$
459

 
$
904

 
$
(178
)
 
$
726

 _________
(a)
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 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 $(96) million and $(50) million, respectively, and current and noncurrent liabilities are shown net of collateral of $(205) million and $(108) million, respectively. The total cash collateral posted, net of cash collateral received and offset against mark-to-market assets and liabilities was $459 million at September 30, 2014.
(c)
Includes current and noncurrent liabilities relating to floating-to-fixed energy swap contracts with unaffiliated suppliers.
The following table provides a summary of the derivative fair value balances recorded by the Registrants as of December 31, 2013:
 
 
 
Generation
 
ComEd
 
Exelon
Description
 
Economic
Hedges
 
Proprietary
Trading
 
Collateral
and
Netting(a)
 
Subtotal(b)
 
Economic
Hedges(c)
 
Total
Derivatives
Mark-to-market derivative assets
      (current assets)
 
$
2,616

 
$
1,476

 
$
(3,364
)
 
$
728

 
$
—

 
$
728

Mark-to-market derivative assets
      (noncurrent assets)
 
1,344

 
285

 
(1,060
)
 
569

 
—

 
569

Total mark-to-market derivative
      assets
 
3,960

 
1,761

 
(4,424
)
 
1,297

 
—

 
1,297

Mark-to-market derivative liabilities
      (current liabilities)
 
(2,023
)
 
(1,410
)
 
3,292

 
(141
)
 
(17
)
 
(158
)
Mark-to-market derivative liabilities
      (noncurrent liabilities)
 
(804
)
 
(293
)
 
988

 
(109
)
 
(176
)
 
(285
)
Total mark-to-market derivative
      liabilities
 
(2,827
)
 
(1,703
)
 
4,280

 
(250
)
 
(193
)
 
(443
)
Total mark-to-market derivative
      net assets (liabilities)
 
$
1,133

 
$
58

 
$
(144
)
 
$
1,047

 
$
(193
)
 
$
854

________ 
(a)
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 trade receivables and payables, transactions that do not qualify as derivatives, and letters of credit. These are not reflected in the table above.
(b)
Current and noncurrent assets are shown net of collateral of $84 million and $72 million, respectively, and current and noncurrent liabilities are shown net of collateral of $(12) million and $0 million, respectively. The total cash collateral posted, net of cash collateral received and offset against mark-to-market assets and liabilities was $144 million at December 31, 2013.
(c)
Includes current and noncurrent liabilities relating to floating-to-fixed energy swap contracts with unaffiliated suppliers.
The activity of accumulated OCI related to cash flow hedges
The amounts reclassified from accumulated OCI, when combined with the impacts of the actual physical power sales, result in the ultimate recognition of net revenues at the contracted price.
 
 
 
 
 
Total Cash Flow Hedge OCI Activity, Net of Income Tax                   
  
 
 
 
Generation
 
Exelon
Three Months Ended September 30, 2014
 
Income  Statement
Location
 
Energy-Related
Hedges
 
Total Cash  Flow
Hedges
Accumulated OCI derivative gain at June 30, 2014
 
 
$
57

(a)  
$
47

Effective portion of changes in fair value
 
 
—

 
(3
)
Reclassifications from accumulated OCI to net income
Operating Revenues
 
(16
)
(b) 
(16
)
Accumulated OCI derivative gain at September 30, 2014
 
 
$
41

(a)  
$
28

__________ 
(a)
Excludes $13 million of losses, net of taxes, related to interest rate swaps and treasury rate locks as of September 30, 2014 and June 30, 2014.
(b)
Amount is net of related income tax expense of $12 million for the three months ended September 30, 2014.
 
 
 
 
Total Cash Flow Hedge OCI Activity, Net of Income Tax                   
 
 
 
 
Generation
 
Exelon
Nine Months Ended September 30, 2014
 
Income  Statement
Location
 
Energy-Related
Hedges
 
Total Cash  Flow
Hedges
Accumulated OCI derivative gain at December 31, 2013
 
 
$
119

(a) 
$
120

Effective portion of changes in fair value
 
 
—

  
(14
)
Reclassifications from accumulated OCI to net income
Operating Revenues
 
(78
)
(b)  
(78
)
Accumulated OCI derivative gain at September 30, 2014
 
 
$
41

(a) 
$
28

______
(a)
Excludes $13 million and $5 million of losses, net of taxes, related to interest rate swaps and treasury locks as of September 30, 2014 and December 31, 2013, respectively.
(b)
Amount is net of related income tax expense of $52 million for the nine months ended September 30, 2014.
 
 
 
 
Total Cash
 Flow Hedge OCI Activity,
 Net of Income Tax                   
 
 
 
 
 
Generation
 
Exelon
 
Three Months Ended September 30, 2013
 
Income  Statement
Location
 
Energy-Related
Hedges
 
Total Cash  Flow
Hedges
 
Accumulated OCI derivative gain at June 30, 2013
 
 
$
255

(a) 
$
245

 
Effective portion of changes in fair value
 
 
—

  
2

(b) 
Reclassifications from accumulated OCI to net income
Operating Revenues
 
(51
)
(c) 
(48
)
 
Accumulated OCI derivative gain at September 30, 2013
 
 
$
204

(a) 
$
199

 
_____________ 
(a)
Excludes $11 million of losses, net of taxes, related to interest rate swaps and treasury rate locks as of September 30, 2013 and June 30, 2013.
(b)
Includes $2 million of gains, net of taxes, related to the effective portion of changes in fair value of interest rate swaps and treasury rate locks at Generation for the three months ended September 30, 2013.
(c)
Amount is net of related income tax expense of $33 million for the three months ended September 30, 2013.
 
 
 
 
Total Cash
Flow Hedge OCI Activity,
Net of Income Tax                   
 
 
 
 
 
Generation
 
Exelon
 
Nine Months Ended September 30, 2013
 
Income  Statement
Location
 
Energy-Related
Hedges
 
Total Cash  Flow
Hedges
 
Accumulated OCI derivative gain at December 31, 2012
 
 
$
532

(a) (c)  
$
368

 
Effective portion of changes in fair value
 
 
—

  
25

(d)  
Reclassifications from accumulated OCI to net income
Operating Revenues
 
(328
)
(b) (e) 
(194
)
 
Accumulated OCI derivative gain at September 30, 2013
 
 
$
204

(c)  
$
199

 
__________
(a)
Includes $133 million of gains, net of taxes, related to the fair value of the five-year financial swap contract with ComEd, as of December 31, 2012.
(b)
Includes $133 million of losses, net of taxes, reclassified from accumulated OCI to recognize gains in net income related to the settlements of the five-year financial swap contract with ComEd.
(c)
Excludes $11 million of losses and $20 million of losses, net of taxes, related to interest rate swaps and treasury rate locks as of September 30, 2013 and December 31, 2012, respectively.
(d)
Includes $25 million of losses, net of taxes, related to the effective portion of changes in fair value of interest rate swaps and treasury rate locks.
(e)
Amount is net of related income tax expense of $215 million for the nine months ended September 30, 2013.
Other Derivatives - Gain (loss) and reclassification
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
 
Intercompany
Eliminations
 
HoldCo
 
Exelon
Three Months Ended September 30, 2014
 
Operating
Revenues
 
Purchased
Power 
and Fuel
 
Interest Expense
 
Total
 
Operating
Revenues (a)
 
Interest
Expense
 
Total
Change in fair value of commodity
     positions
 
$
181

 
$
19

 
$
—

 
$
200

 
$
—

 
$
—

 
$
200

Reclassification to realized at
     settlement of commodity positions
 
86

 
(23
)
 
—

 
63

 
—

 
—

 
63

Net commodity mark-to-market gains
     (losses)
 
267

 
(4
)
 
—

 
263

 
—

 
—

 
263

Change in fair value of treasury
     positions
 
5

 
—

 
(3
)
 
2

 
—

 
(8
)
 
(6
)
Reclassification to realized at
     settlement of treasury positions
 
(1
)
 
—

 
—

 
(1
)
 
—

 
—

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

 
—

 
(3
)
 
1

 
—

 
(8
)
 
(7
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
      Net mark-to-market gains (losses)
 
$
271

 
$
(4
)
 
$
(3
)
 
$
264

 
$
—

 
$
(8
)
 
$
256

 
 
 
Generation
 
Intercompany
Eliminations
 
HoldCo
 
Exelon
Nine Months Ended September 30, 2014
 
Operating
Revenues
 
Purchased
Power 
and Fuel
 
Interest
Expense
 
Total
 
Operating
Revenues(a)
 
Interest
Expense
 
Total
Change in fair value of commodity
     positions
 
$
(795
)
 
$
302

 
$
—

 
$
(493
)
 
$
—

 
$
—

 
$
(493
)
Reclassification to realized at
     settlement of commodity positions
 
224

 
(207
)
 
—

 
17

 
—

 
—

 
17

Net commodity mark-to-market gains
     (losses)
 
(571
)
 
95

 
—

 
(476
)
 
—

 
—

 
(476
)
Change in fair value of treasury
      positions
 
1

 
—

 
(5
)
 
(4
)
 
—

 
(8
)
 
(12
)
Reclassification to realized at
     settlement of treasury positions
 
(2
)
 
—

 
—

 
(2
)
 
—

 
—

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

 
(5
)
 
(6
)
 
—

 
(8
)
 
(14
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
     Net mark-to-market gains (losses)
 
$
(572
)
 
$
95

 
$
(5
)
 
$
(482
)
 
$
—

 
$
(8
)
 
$
(490
)


 
 
Generation
 
Intercompany
Eliminations
 
HoldCo
 
Exelon
Three Months Ended September 30, 2013
 
Operating
Revenues
 
Purchased
Power
and Fuel
 
Interest Expense
 
Total
 
Operating
Revenues(a)
 
Interest
Expense
 
Total
Change in fair value of commodity
     positions
 
$
175

 
$
5

 
$
—

 
$
180

 
$
—

 
$
—

 
$
180

Reclassification to realized at settlement
     of commodity positions
 
41

 
25

 
—

 
66

 
—

 
—

 
66

Net commodity mark-to-market gains
     (losses)
 
216

 
30

 
—

 
246

 
—

 
—

 
246

Change in fair value of treasury positions
 
—

 
—

 
—

 
—

 
—

 
—

 
—

Reclassification to realized at settlement
     of treasury positions
 
—

 
—

 
—

 
—

 
—

 
—

 
—

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

 
—

 
—

 
—

 
—

 
—

 
—

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
     Net mark-to-market gains (losses)
 
$
216

 
$
30

 
$
—

 
$
246

 
$
—

 
$
—

 
$
246

 

 
 
Generation
 
Intercompany
Eliminations
 
HoldCo
 
Exelon
Nine Months Ended September 30, 2013
 
Operating
Revenues
 
Purchased
Power
and Fuel
 
Interest Expense
 
Total
 
Operating
Revenues(a)
 
Interest
Expense
 
Total
Change in fair value of commodity
     positions
 
$
149

 
$
74

 
$
—

 
$
223

 
$
(6
)
 
$
—

 
$
217

Reclassification to realized at
     settlement of commodity positions
 
(15
)
 
63

 
—

 
48

 
13

 
—

 
61

Net commodity mark-to-market gains
     (losses)
 
134

 
137

 
—

 
271

 
7

 
—

 
278

Change in fair value of treasury
      positions
 
—

 
—

 
(3
)
 
(3
)
 
—

 
—

 
(3
)
Reclassification to realized at
      settlement of treasury positions
 
—

 
—

 
—

 
—

 
—

 
—

 
—

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

 
—

 
(3
)
 
(3
)
 
—

 
—

 
(3
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
      Net mark-to-market gains (losses)
 
$
134

 
$
137

 
$
(3
)
 
$
268

 
$
7

 
$
—

 
$
275

______________
(a)
Prior to the merger, the five-year financial swap contract between Generation and ComEd was de-designated. As a result, all prospective changes in fair value were recorded to operating revenues and eliminated in consolidation.
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.
 
  
Location on Income
Statement
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
  
 
2014
 
2013
 
2014
 
2013
Change in fair value of commodity positions
Operating Revenues
 
$
(2
)
 
$
—

 
$
(2
)
 
$
1

Reclassification to realized at settlement
     of commodity positions
Operating Revenues
 
(10
)
 
(39
)
 
(17
)
 
(34
)
Net commodity mark-to-market gains (losses)
Operating Revenues
 
(12
)
 
(39
)
 
(19
)
 
(33
)
 
 
 
 
 
 
 
 
 
 
Change in fair value of treasury positions
Operating Revenues
 
1

 
—

 
—

 
—

Reclassification to realized at settlement
     of treasury positions
Operating Revenues
 
—

 
(1
)
 
1

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

 
(1
)
 
1

 
(2
)
 
 
 
 
 
 
 
 
 
 
   Net mark-to-market gains (losses)
Operating Revenues
 
$
(11
)
 
$
(40
)
 
$
(18
)
 
$
(35
)
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:
 
Credit-Risk Related Contingent Feature
 
September 30, 2014
 
December 31, 2013
Gross Fair Value of Derivative Contracts Containing this Feature(a)
 
$
(997
)
 
$
(1,056
)
Offsetting Fair Value of In-the-Money Contracts Under Master
Netting Arrangements(b)
 
694

 
846

Net Fair Value of Derivative Contracts Containing This Feature(c)
 
$
(303
)
 
$
(210
)
 __________
(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 following tables provide information on Generation’s credit exposure for all derivative instruments, NPNS, and applicable payables and receivables, net of collateral and instruments that are subject to master netting agreements, as of September 30, 2014. 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 figures in the tables below excludes credit risk exposure from individual retail counterparties, uranium procurement contracts, and exposure through RTOs, ISOs, NYMEX, ICE and Nodal commodity exchanges, further discussed in ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK. Additionally, the figures in the tables below exclude exposures with affiliates, including net receivables with ComEd, PECO and BGE of $11 million, $21 million and $34 million, respectively.
 
Rating as of September 30, 2014
 
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
 
$
1,240

 
$
88

 
$
1,152

 
1

 
$
423

Non-investment grade
 
23

 
7

 
16

 
—

 
—

No external ratings
 
 
 
 
 
 
 
 
 
 
Internally rated — investment grade
 
302

 
—

 
302

 
1

 
180

Internally rated — non-investment
    grade
 
26

 
3

 
23

 
—

 
—

Total
 
$
1,591

 
$
98

 
$
1,493

 
2

 
$
603

 
Net Credit Exposure by Type of Counterparty
 
As of September 30, 2014
Financial institutions
 
$
264

Investor-owned utilities, marketers, power producers
 
470

Energy cooperatives and municipalities
 
749

Other
 
10

Total
 
$
1,493

_____ 
(a)
As of September 30, 2014, credit collateral held from counterparties where Generation had credit exposure included $94 million of cash and $4 million of letters of credit.