XML 81 R36.htm IDEA: XBRL DOCUMENT v3.8.0.1
Derivative Financial Instruments (Tables)
 3 Months Ended
Mar. 31, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Summary of the derivative fair value
The following table provides a summary of the derivative fair value balances recorded by the Registrants as of March 31, 2018:
 
 
Generation
 
ComEd
 
DPL
 
Exelon
Derivatives
 
Economic
Hedges
 
Proprietary
Trading
 
Collateral
and
Netting(a)(e)
 
Subtotal(b)
 
Economic
Hedges(c)
 
Economic
Hedges(d)
 
Collateral
and
Netting(a)
 
Subtotal
 
Total
Derivatives
Mark-to-market derivative assets (current assets)
 
$
3,343

 
$
166

 
$
(2,533
)
 
$
976

 
$
—

 
$
—

 
$
—

 
$
—

 
$
976

Mark-to-market derivative assets (noncurrent assets)
 
1,758

 
43

 
(1,286
)
 
515

 
—

 
—

 
—

 
—

 
515

Total mark-to-market derivative assets
 
5,101

 
209

 
(3,819
)
 
1,491

 
—

 
—

 
—

 
—

 
1,491

Mark-to-market derivative liabilities (current liabilities)
 
(3,185
)
 
(151
)
 
2,945

 
(391
)
 
(24
)
 
—

 
—

 
—

 
(415
)
Mark-to-market derivative liabilities (noncurrent liabilities)
 
(1,750
)
 
(28
)
 
1,558

 
(220
)
 
(243
)
 
—

 
—

 
—

 
(463
)
Total mark-to-market derivative liabilities
 
(4,935
)
 
(179
)
 
4,503

 
(611
)
 
(267
)
 
—

 
—

 
—

 
(878
)
Total mark-to-market derivative net assets (liabilities)
 
$
166

 
$
30

 
$
684

 
$
880

 
$
(267
)
 
$
—

 
$
—

 
$
—

 
$
613

_________
(a)
Exelon, Generation and DPL net all available amounts allowed under the derivative authoritative 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 $192 million and $103 million, respectively, and current and noncurrent liabilities are shown net of collateral of $220 million and $169 million, respectively. The total cash collateral posted, net of cash collateral received and offset against mark-to-market assets and liabilities was $684 million at March 31, 2018.
(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.
(e)
Of the collateral posted/(received), $156 million represents variation margin on the exchanges.

The following table provides a summary of the derivative fair value balances recorded by the Registrants as of December 31, 2017:
 
 
Generation
 
ComEd
 
DPL
 
Exelon
Description
 
Economic
Hedges
 
Proprietary
Trading
 
Collateral
and
Netting(a)(e)
 
Subtotal(b)
 
Economic
Hedges(c)
 
Economic
Hedges(d)
 
Collateral and
Netting(a)
 
Subtotal
 
Total
Derivatives
Mark-to-market derivative assets (current assets)
 
$
3,061

 
$
56

 
$
(2,144
)
 
$
973

 
$
—

 
$
—

 
$
—

 
$
—

 
$
973

Mark-to-market derivative assets (noncurrent assets)
 
1,164

 
12

 
(845
)
 
331

 
—

 
—

 
—

 
—

 
331

Total mark-to-market derivative assets
 
4,225

 
68

 
(2,989
)
 
1,304

 
—

 
—

 
—

 
—

 
1,304

Mark-to-market derivative liabilities (current liabilities)
 
(2,646
)
 
(43
)
 
2,480

 
(209
)
 
(21
)
 
(1
)
 
1

 
—

 
(230
)
Mark-to-market derivative liabilities (noncurrent liabilities)
 
(1,137
)
 
(10
)
 
975

 
(172
)
 
(235
)
 
—

 
—

 
—

 
(407
)
Total mark-to-market derivative liabilities
 
(3,783
)
 
(53
)
 
3,455

 
(381
)
 
(256
)
 
(1
)
 
1

 
—

 
(637
)
Total mark-to-market derivative net assets (liabilities)
 
$
442

 
$
15

 
$
466

 
$
923

 
$
(256
)
 
$
(1
)
 
$
1

 
$
—

 
$
667

_________ 
(a)
Exelon, Generation and DPL net all available amounts allowed under the derivative authoritative 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 $169 million and $53 million, respectively, and current and noncurrent liabilities are shown net of collateral of $167 million and $77 million, respectively. The total cash collateral posted, net of cash collateral received and offset against mark-to-market assets and liabilities was $466 million at December 31, 2017.
(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.
(e)
Of the collateral posted/(received), $(117) million represents variation margin on the exchanges.
Exelon and Generation include the gain or loss on the hedged items and the offsetting loss or gain on the related interest rate swaps as follows:
  
 
 
Three Months Ended March 31,
 
Income Statement
Location
 
2018
 
2017
 
2018
 
2017
  
 
Loss on Swaps
 
Gain on Borrowings
Exelon
Interest expense
 
$
(7
)
 
$
(4
)
 
$
13

 
$
8

Below is a summary of the interest rate and foreign exchange hedge balances as of March 31, 2018:
 
 
Generation
 
Exelon Corporate
 
Exelon
Description
 
Derivatives
Designated
as Hedging
Instruments
 
Economic
Hedges
 
Collateral
and
Netting(a)
 
Subtotal
 
Derivatives
Designated
as Hedging
Instruments
 
Total
Mark-to-market derivative assets (current assets)
 
$
—

 
$
5

 
$
(3
)
 
$
2

 
$
—

 
$
2

Mark-to-market derivative assets (noncurrent assets)
 
12

 
1

 
(1
)
 
12

 
—

 
12

Total mark-to-market derivative assets
 
12

 
6

 
(4
)
 
14

 
—

 
14

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

 
(3
)
 
3

 
—

 
—

 
—

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

 
(2
)
 
1

 
(1
)
 
(4
)
 
(5
)
Total mark-to-market derivative liabilities
 
—

 
(5
)
 
4

 
(1
)
 
(4
)
 
(5
)
Total mark-to-market derivative net assets (liabilities)
 
$
12

 
$
1

 
$
—

 
$
13

 
$
(4
)
 
$
9

__________
(a)
Exelon and Generation net all available amounts allowed under the derivative authoritative 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 counterparty 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, which 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, 2017:
 
 
Generation
 
Exelon Corporate
 
Exelon
Description
 
Derivatives
Designated
as Hedging
Instruments
 
Economic
Hedges
 
Collateral
and
Netting(a)
 
Subtotal
 
Derivatives
Designated
as Hedging
Instruments
 
Total
Mark-to-market derivative assets (current assets)
 
$
—

 
$
10

 
$
(7
)
 
$
3

 
$
—

 
$
3

Mark-to-market derivative assets (noncurrent assets)
 
3

 
—

 
—

 
3

 
3

 
6

Total mark-to-market derivative assets
 
3

 
10

 
(7
)
 
6

 
3

 
9

Mark-to-market derivative liabilities (current liabilities)
 
(2
)
 
(7
)
 
7

 
(2
)
 
—

 
(2
)
Mark-to-market derivative liabilities (noncurrent liabilities)
 
—

 
(2
)
 
—

 
(2
)
 
—

 
(2
)
Total mark-to-market derivative liabilities
 
(2
)
 
(9
)
 
7

 
(4
)
 
—

 
(4
)
Total mark-to-market derivative net assets (liabilities)
 
$
1

 
$
1

 
$
—

 
$
2

 
$
3

 
$
5

__________
(a)
Exelon and Generation net all available amounts allowed under the derivative authoritative 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 counterparty 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, which are not reflected in the table above.
Derivative Instruments, Gain (Loss) [Table Text Block]
For the three months ended March 31, 2018 and 2017, 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" on the Consolidated Statements of Cash Flows.
 
 
Three Months Ended
March 31,
 
 
2018
 
2017
Income Statement Location
 
Gain (Loss)
Operating revenues
 
$
(100
)
 
$
46

Purchased power and fuel
 
(167
)
 
(93
)
Total Exelon and Generation
 
$
(267
)
 
$
(47
)
For the three months ended March 31, 2018 and 2017, Exelon and Generation recognized the following net pre-tax mark-to-market gains (losses) in the Consolidated Statements of Operations and Comprehensive Income and are included in “Net fair value changes related to derivatives” in Exelon’s and Generation’s Consolidated Statements of Cash Flows.
 
 
 
Three Months Ended
March 31,
 
 
 
2018
 
2017
 
Income Statement Location
 
Gain (Loss)
Generation
Operating Revenues
 
$
2

 
$
(2
)
Generation
Purchased Power and Fuel
 
(1
)
 
—

Total Generation
 
 
$
1

 
$
(2
)
 
 
 
Three Months Ended
March 31,
 
 
 
2018
 
2017
 
Income Statement Location
 
Gain (Loss)
Exelon
Operating Revenues
 
$
2

 
$
(2
)
Exelon
Purchased Power and Fuel
 
(1
)
 
—

Total Exelon
 
 
$
1

 
$
(2
)
Schedule of Derivative Instruments Included in Trading Activities [Table Text Block]
For the three months ended March 31, 2018 and 2017 Exelon and Generation recognized the following net pre-tax commodity mark-to-market gains (losses) which are also included in the "Net fair value changes related to derivatives" on the Consolidated Statements of Cash Flows. The Utility Registrants do not execute derivatives for proprietary trading purposes.
 
 
Three Months Ended
March 31,
 
 
2018
 
2017
Income Statement Location
 
Gain (Loss)
Operating revenues
 
$
2

 
$
(1
)
For the three months ended March 31, 2018 and 2017 Exelon and Generation recognized the following net pre-tax commodity mark-to-market gains (losses).
 
 
Three Months Ended
March 31,
 
 
2018
 
2017
Income Statement Location
 
Gain (Loss)
Operating Revenues
 
$
—

 
$
(1
)
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 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 March 31, 2018. 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 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. Additionally, the figures in the tables below exclude exposures with affiliates, including net receivables with ComEd, PECO, BGE, Pepco, DPL and ACE of $31 million, $21 million, $25 million, $34 million, $9 million, and $5 million as of March 31, 2018, respectively. 
Rating as of March 31, 2018
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
$
986

 
$
1

 
$
985

 
2

 
$
412

Non-investment grade
112

 
46

 
66

 


 


No external ratings
 
 
 
 
 
 
 
 
 
Internally rated — investment grade
223

 
—

 
223

 


 


Internally rated — non-investment grade
100

 
17

 
83

 


 


Total
$
1,421

 
$
64

 
$
1,357

 
2

 
$
412

 
Net Credit Exposure by Type of Counterparty
 
As of
March 31, 2018
Financial institutions
 
$
189

Investor-owned utilities, marketers, power producers
 
656

Energy cooperatives and municipalities
 
438

Other
 
74

Total
 
$
1,357

_________ 
(a)
As of March 31, 2018, credit collateral held from counterparties where Generation had credit exposure included $41 million of cash and $23 million of letters of credit. The credit collateral does not include non-liquid collateral.
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
 
March 31, 2018
 
December 31, 2017
Gross fair value of derivative contracts containing this feature(a)
 
$
(2,141
)
 
$
(926
)
Offsetting fair value of in-the-money contracts under master netting arrangements(b)
 
1,562

 
577

Net fair value of derivative contracts containing this feature(c)
 
$
(579
)
 
$
(349
)
_________
(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.
Schedule of Notional Amounts of Outstanding Derivative Positions [Table Text Block]
The table below provides the notional amounts of fixed-to-floating hedges outstanding held by Exelon at March 31, 2018 and December 31, 2017:
 
 
As of
 
 
March 31, 2018
 
December 31, 2017
Fixed-to-floating hedges
 
$
800

 
$
800

The following table provides notional amounts outstanding held by Exelon and Generation at March 31, 2018 and December 31, 2017 related to foreign currency exchange rate swaps that are marked-to-market to manage the exposure associated with international purchases of commodities in currencies other than U.S. dollars.
 
 
As of
 
 
March 31, 2018
 
December 31, 2017
Foreign currency exchange rate swaps
 
$
87

 
$
94

The table below provides the notional amounts of floating-to-fixed hedges outstanding held by Exelon and Generation as of March 31, 2018.
 
 
As of
 
 
March 31, 2018
 
December 31, 2017
Floating-to-fixed hedges
 
$
636

 
$
636