Exelon 2015 Annual Report Download - page 182

Table of Contents
ComEd
Maturities Within
Fair
Value 2016 2017 2018 2019 2020
2021 and
Beyond
Prices based on model or other valuation methods (Level 3) $(23) $(21) $(21) $(21) $(22) $ (139) $(247)
(a) Represents ComEd’s net liabilities associated with the floating-to-fixed energy swap contracts with unaffiliated suppliers.
Credit Risk, Collateral, and Contingent Related Features (Exelon, Generation, ComEd, PECO and BGE)
The Registrants would be exposed to credit-related losses in the event of non-performance by counterparties that enter into derivative
instruments. The credit exposure of derivative contracts, before collateral, is represented by the fair value of contracts at the reporting date. See
Note 13—Derivative Financial Instruments of the Combined Notes to Consolidated Financial Statements for a detailed discussion of credit risk,
collateral, and contingent related features.
Generation
The following tables provide information on Generation’s credit exposure for all derivative instruments, normal purchase normal sales
agreements, and applicable payables and receivables, net of collateral and instruments that are subject to master netting agreements, as of
December 31, 2015. The tables further delineate that exposure by credit rating of the counterparties and provide guidance on the concentration of
credit risk to individual counterparties and an indication of the duration of a company’s credit risk by credit rating of the counterparties. The figures
in the tables below exclude credit risk exposure from individual retail customers, uranium procurement contracts, and exposure through RTOs,
ISOs, NYMEX, ICE, and Nodal commodity exchanges, which are discussed below. Additionally, the figures in the tables below exclude exposures
with affiliates, including net receivables with ComEd, PECO and BGE of $15 million, $36 million and $31 million, respectively. See Note 26—
Related Party Transactions of the Combined Notes to Consolidated Financial Statements for additional information.
Rating as of December 31, 2015
Total
Exposure
Before Credit
Collateral
Credit
Collateral
Net
Exposure
Number of
Counterparties
Greater than 10%
of Net Exposure
Net Exposure of
Counterparties
Greater than 10%
of Net Exposure
Investment grade $ 1,397 $ 50 $ 1,347 1 $ 432
Non-investment grade 67 25 42 — —
No external ratings
Internally rated—investment grade 521 — 521 — —
Internally rated—non-investment
grade 77 7 70 — —
Total $ 2,062 $ 82 $ 1,980 1 $ 432
175
(a)
(a)
Source: BALTIMORE GAS & ELECTRIC CO, 10-K, February 10, 2016 Powered by Morningstar® Document Research℠
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