Exelon 2015 Annual Report Download - page 333

Table of Contents
Combined Notes to Consolidated Financial Statements—(Continued)
(Dollars in millions, except per share data unless otherwise noted)
The following table provides a summary of the interest rate and foreign exchange hedge balances recorded by the Registrants as of
December 31, 2014:
Generation Other Exelon
Description
Derivatives
Designated
as Hedging
Instruments
Economic
Hedges
Proprietary
Trading
Collateral
and
Netting Subtotal
Derivatives
Designated
as Hedging
Instruments
Economic
Hedges
Collateral
and
Netting Subtotal Total
Mark-to-market derivative
assets (current assets) $ 7 $ 7 $ 20 $ (22) $ 12 $ 3 $ — $ — $ 3 $ 15
Mark-to-market derivative
assets (noncurrent assets) 1 5 7 (7) 6 20 1 (19) $ 2 $ 8
Total mark-to-market derivative
assets 8 12 27 (29) 18 23 1 (19) 5 23
Mark-to-market derivative
liabilities (current liabilities) (8) (2) (14) 25 1 — — — — 1
Mark-to-market derivative
liabilities (noncurrent
liabilities) (4) — (9) 10 (3) (29) (101) 19 (111) (114)
Total mark-to-market derivative
liabilities (12) (2) (23) 35 (2) (29) (101) 19 (111) (113)
Total mark-to-market derivative
net assets (liabilities) $ (4) $ 10 $ 4 $ 6 $ 16 $ (6) $ (100) $ — $ (106) $ (90)
(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) 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 accrued interest, 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.
. For derivative instruments that are designated and qualify as fair value hedges, the gain or loss on the derivative as well
as the offsetting loss or gain on the hedged item attributable to the hedged risk are recognized in current earnings. 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:
Year Ended December 31,
Income Statement Location
2015 2014 2013 2015 2014 2013
Gain (Loss) on Swaps Gain (Loss) on Borrowings
Generation Interest expense $ (1) $ (16) $ (15) $ — $ 2 $ (6)
Exelon Interest expense $ 2 $ 3 $ (24) $ (9) $ 15 $ (3)
(a) For the years ended December 31, 2015 and 2014, the loss on Generation swaps included $(1) million and $(17) million realized in earnings, respectively, with an immaterial
amount and $4 million excluded from hedge effectiveness testing, respectively.
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(a) (b) (b)
(a)
Source: BALTIMORE GAS & ELECTRIC CO, 10-K, February 10, 2016 Powered by Morningstar® Document Research℠
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