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Fair Value Measurements (Tables) | 3 Months Ended
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Mar. 31, 2021
Fair Value Disclosures [Abstract] |
Assets and Liabilities Measured at Fair Value on Recurring Basis | Assets and liabilities measured at fair value on a recurring basis as of March 31, 2021 and December 31, 2020 are summarized below.
| 2021 | 2020
(Millions of Dollars) | Level 1 | Level 2 | Level 3 | Netting Adjustment (e) | Total | Level 1 | Level 2 | Level 3 | Netting Adjustment (e) | Total
Con Edison |  |  |  |  |  |  |  |  |  |
Derivative assets: |  |  |  |  |  |  |  |  |  |
Commodity (a)(b)(c) | $18 | $52 | $6 | $44 | $120 | $19 | $42 | $4 | $53 | $118
Interest rate swaps (a)(b)(c) | — |  | 11 |  | — |  | — |  | 11 |  | — |  | — |  | — |  | — |  | — |
Other (a)(b)(d) | 438 | 128 | — |  | — |  | 566 | 431 | 126 | — |  | — |  | 557
Total assets | $456 | $191 | $6 | $44 | $697 | $450 | $168 | $4 | $53 | $675
Derivative liabilities: |  |  |  |  |  |  |  |  |  |
Commodity (a)(b)(c) | $5 | $268 | $18 | $37 | $328 | $7 | $296 | $23 | $46 | $372
Interest rate swaps (a)(b)(c) | — |  | 58 | — |  | — |  | 58 | — |  | 106 | — |  | — |  | 106
Total liabilities | $5 | $326 | $18 | $37 | $386 | $7 | $402 | $23 | $46 | $478
CECONY |  |  |  |  |  |  |  |  |  |
Derivative assets: |  |  |  |  |  |  |  |  |  |
Commodity (a)(b)(c) | $15 | $27 | $1 | $(13) | $30 | $15 | $20 | $— |  | $(16) | $19
Other (a)(b)(d) | 419 | 121 | — |  | — |  | 540 | 411 | 120 | — |  | — |  | 531
Total assets | $434 | $148 | $1 | $(13) | $570 | $426 | $140 | $— | $(16) | $550
Derivative liabilities: |  |  |  |  |  |  |  |  |  |
Commodity (a)(b)(c) | $1 | $251 | $8 | $(14) | $246 | $3 | $274 | $10 | $(19) | $268
(a)The Companies’ policy is to review the fair value hierarchy and recognize transfers into and transfers out of the levels at the end of each reporting period. Con Edison and CECONY had no transfers between levels 1, 2, and 3 during the three months ended March 31, 2021. Con Edison and CECONY had $1 million of commodity derivative liabilities transferred from level 3 to level 2 during the year ended December 31, 2020 because of availability of observable market data due to the decrease in the terms of certain contracts from beyond three years as of September 30, 2020 to less than three years as of December 31, 2020. (b)Level 2 assets and liabilities include investments held in the deferred compensation plan and/or non-qualified retirement plans, exchange-traded contracts where there is insufficient market liquidity to warrant inclusion in Level 1, and certain over-the-counter derivative instruments for electricity, refined products and natural gas. Derivative instruments classified as Level 2 are valued using industry standard models that incorporate corroborated observable inputs, such as pricing services or prices from similar instruments that trade in liquid markets, time value and volatility factors. (c)The accounting rules for fair value measurements and disclosures require consideration of the impact of nonperformance risk (including credit risk) from a market participant perspective in the measurement of the fair value of assets and liabilities. At March 31, 2021 and December 31, 2020, the Companies determined that nonperformance risk would have no material impact on their financial position or results of operations. (d)Other assets are comprised of assets such as life insurance contracts within the deferred compensation plan and non-qualified retirement plans. (e)Amounts represent the impact of legally-enforceable master netting agreements that allow the Companies to net gain and loss positions and cash collateral held or placed with the same counterparties.
Schedule of Commodity Derivatives |
| Fair Value of Level 3 at March 31, 2021 | Valuation Techniques | Unobservable Inputs | Range
| (Millions of Dollars)
Con Edison – Commodity
Electricity | $1 | Discounted Cash Flow | Forward energy prices (a) | $14.25-$63.00 per MWh
| (14) | Discounted Cash Flow | Forward capacity prices (a) | $0.26-$6.26 per kW-month
Transmission Congestion Contracts/Financial Transmission Rights | 1 | Discounted Cash Flow | Inter-zonal forward price curves adjusted for historical zonal losses (b) | $(3.75)-$8.07 per MWh
Total Con Edison—Commodity | $(12) |  |  |
CECONY – Commodity
Electricity | $(8) | Discounted Cash Flow | Forward capacity prices (a) | $1.08 - $6.26 per kW-month
Transmission Congestion Contracts | 1 | Discounted Cash Flow | Inter-zonal forward price curves adjusted for historical zonal losses (b) | $0.35 - $2.54 per MWh
Total CECONY—Commodity | $(7) |  |  |
(a)Generally, increases/(decreases) in this input in isolation would result in a higher/(lower) fair value measurement. (b)Generally, increases/(decreases) in this input in isolation would result in a lower/(higher) fair value measurement.
Reconciliation of Beginning and Ending Net Balances for Assets and Liabilities Measured at Level 3 Fair Value | The table listed below provides a reconciliation of the beginning and ending net balances for assets and liabilities measured at fair value as of March 31, 2021 and 2020 and classified as Level 3 in the fair value hierarchy:
| For the Three Months Ended March 31,
| Con Edison | CECONY
(Millions of Dollars) | 2021 | 2020 | 2021 | 2020
Beginning balance as of January 1, | $(19) | $(16) | $(10) | $(6)
Included in earnings | (2) |  | (5) |  | (2) |  | (2)
Included in regulatory assets and liabilities | 4 | 1 | 2 | —
Settlements | 5 | 7 | 3 | 2
Ending balance as of March 31, | $(12) | $(13) | $(7) | $(6)

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- Definition Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of financial instrument classified as a derivative asset (liability) after deduction of derivative liability (asset) using recurring unobservable inputs that reflect the entity's own assumption about the assumptions market participants would use in pricing. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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