ComEd 2015 Annual Report Download - page 335

Table of Contents
Combined Notes to Consolidated Financial Statements—(Continued)
(Dollars in millions, except per share data unless otherwise noted)
regarding the financing. The swap has a notional amount of $24 million as of December 31, 2015, and expires in 2030. This swap was designated
as a cash flow hedge. During the first quarter of 2015, the swaps were de-designated as the forecasted transaction was no longer probable of
occurring. All future changes in fair value are reflected in Interest expense. At December 31, 2015, the derivative asset related to the swap was
immaterial.
During the second quarter 2015, upon the issuance of debt, Exelon terminated $2,400 million of floating-to-fixed forward starting interest rate
swaps. As a result of the termination of the swaps, Exelon realized a $64 million loss during the second quarter of 2015.
At December 31, 2015, Generation had immaterial notional amounts of interest rate derivative contracts to economically hedge risk
associated with the interest rate component of commodity positions and $30 million in notional amounts of 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.
Fair Value Measurement and Accounting for the Offsetting of Amounts Related to Certain Contracts (Exelon Generation, ComEd,
PECO and BGE)
Fair value accounting guidance and disclosures about offsetting assets and liabilities requires the fair value of derivative instruments to be
shown in the Notes to the Consolidated Financial Statements on a gross basis, even when the derivative instruments are subject to legally
enforceable master netting agreements and qualify for net presentation in the Consolidated Balance Sheet. A master netting agreement is an
agreement between two counterparties that may have derivative and non-derivative contracts with each other providing for the net settlement of all
referencing contracts via one payment stream, which takes place as the contracts deliver, when collateral is requested or in the event of default.
Generation’s use of cash collateral is generally unrestricted unless Generation is downgraded below investment grade (i.e. to BB+ or Ba1). In the
table below, Generation’s energy related economic hedges and proprietary trading derivatives are shown gross. The impact of the netting of fair
value balances with the same counterparty that are subject to legally enforceable master netting agreements, as well as netting of cash collateral
including initial margin on exchange positions, is aggregated in the collateral and netting column. As of December 31, 2015 and 2014, $3 million
and $8 million of cash collateral posted, respectively, was not offset against derivative positions because such collateral was not associated with
any energy-related derivatives, were associated with accrual positions, or as of the balance sheet date there were no positions to offset. Excluded
from the tables below are economic hedges that qualify for the NPNS scope exception and other non-derivative contracts that are accounted for
under the accrual method of accounting.
ComEd’s use of cash collateral is generally unrestricted unless ComEd is downgraded below investment grade (i.e. to BB+ or Ba1).
Cash collateral held by PECO and BGE must be deposited in a non affiliate major U.S. commercial bank or foreign bank with a U.S. branch
office that meet certain qualifications.
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Source: BALTIMORE GAS & ELECTRIC CO, 10-K, February 10, 2016 Powered by Morningstar® Document Research℠
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