ComEd 2013 Annual Report Download - page 184

Economic Hedges. At December 31,2013,Generation had$144 million in notional amountsofinterest rate derivativecontractsto
economicallyhedgerisk associatedwiththeinterest rate component ofcommoditypositionsand$195 million in notional amountsof
foreigncurrency exchange rate swapsthat are marked-to-market to managetheexposure associatedwithinternational purchasesof
commoditiesincurrenciesother than U.S. dollars.
At December 31,2013,Exelon andGeneration had$150million in notional amountsof fixed-to-floatinginterest rate swapsthat are
marked-to-market,withunrealizedgainsof$2million.Theseswaps, which were acquiredaspart ofthemerger withConstellation,
expire in 2014. Duringtheyear endedDecember 31,2013,andthe periodfromMarch 12 to December 31,2012,theimpactonthe
resultsofoperationswas immaterial.
Fair Value Measurement and Accounting for the Offsetting of Amounts Related to Certain Contracts
Fairvalue accountingguidanceand disclosuresabout offsettingassetsandliabilitiesrequiresthefairvalue ofderivativeinstruments
to beshownintheNotesto theConsolidatedFinancial Statementson a gross basis, even when thederivativeinstrumentsare
subjecttolegallyenforceable master nettingagreementsandqualify for net presentation intheConsolidatedBalanceSheet.A
master nettingagreement is an agreement between twocounterpartiesthat mayhavederivativeandnon-derivativecontractswith
each other providingfor the net settlement ofall referencingcontractsvia one payment stream, which takesplaceeither asthe
contractsdeliver,when collateral is requestedor intheevent ofdefault.Generation’s useofcash collateral is generallyunrestricted
unless Generation is downgradedbelowinvestment grade(i.e.to BB+ or Ba1). Inthetable below, Generation’s energy-related
economic hedgesandproprietarytradingderivativesare showngross andtheimpactofthe nettingoffairvalue balanceswiththe
samecounterpartythat are subjecttolegallyenforceable master nettingagreements, aswell asnettingofcash collateral,is
aggregatedinthecollateral andnettingcolumn.AsofDecember 31,2013 and2012,$10 million ofcash collateral postedand$3
million ofcash collateral received, respectively, wasnot offset againstderivativepositionsbecausesuch collateral wasnot
associatedwithanyenergy-relatedderivativesor asofthebalancesheet date there were no positionsto offset. Excludedfromthe
tablesbeloware economic hedgesthat qualify for theNPNS scope exception andother non-derivativecontractsthat are accounted
for under theaccrual methodofaccounting.
ComEd’s useofcash collateral is generallyunrestrictedunless ComEd is downgradedbelowinvestment grade(i.e.to BB+ or Ba1).
Cash collateral held by PECO and BGE mustbedepositedin a non affiliate major U.S. commercial bankor foreignbankwithaU.S.
branch officethat meet certainqualifications.
Thefollowingtable providesasummaryofthederivativefairvalue balancesrecordedbytheRegistrantsasofDecember 31,2013:
Generation ComEd Exelon
Derivatives
Economic
Hedges
Proprietary
Trading
Collateral
and
Netting (a) Subtotal (b)
Economic
Hedges (c)
Total
Derivatives
Mark-to-market derivativeassets(current assets) $ 2,616$1,476 $(3,364) $ 728$— $728
Mark-to-market derivativeassets(noncurrent assets) 1,344 285 (1,060) 569 — 569
Total mark-to-market derivativeassets ............... $3,960$1,761$(4,424) $1,297 $ — $1,297
Mark-to-market derivativeliabilities(current liabilities) $(2,023)$(1,410)$3,292$(141)$(17) $ (158)
Mark-to-market derivativeliabilities(noncurrent liabilities) (804) (293) 988 (109) (176) (285)
Total mark-to-market derivativeliabilities .............. $(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 andGeneration net all available amountsallowedunder thederivativeaccountingguidanceonthebalancesheet.Theseamountsinclude unrealized
derivative transactionswiththesamecounterpartyunder legallyenforceable master nettingagreementsandcash collateral.InsomecasesExelon andGeneration
mayhaveother offsettingexposures, subjecttoamaster nettingor similar agreement,such astradereceivablesandpayables, transactionsthat do not qualify as
derivatives, lettersofcreditandother forms ofnon-cash collateral.These are not reflectedinthetable above.
(b) Current andnoncurrent assetsare shown net ofcollateral of $84 million and$72million,respectively, andcurrent andnoncurrent liabilitiesare shown net ofcollateral
of$(12)million and$0million,respectively. The total cash collateral posted, net ofcash collateral receivedandoffset againstmark-to-market assetsandliabilities
was$144 million at December 31,2013.
(c) Includescurrent andnoncurrent liabilitiesrelatingto floating-to-fixedenergy swap contractswithunaffiliatedsuppliers.
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