CEG · 10-Q · 2026Q2 · Full report
Derivative Credit Exposure
Constellation Energy Corp · 2026-08-06 · Importance 38 · Surprise 24 · In source text
Total derivative net assets were $2,520 million at June 30, 2026, compared with net derivative liabilities of $[amount not provided] million at December 31, 2025. Commodity derivative assets totaled $23,628 million and liabilities totaled $23,391 million before collateral and netting at June 30, 2026. Net credit exposure to derivative counterparties was $2,406 million, including $1,250 million from investor-owned utilities, marketers and power producers. Cash collateral posted on derivative contracts increased to $2,456 million from $1,399 million, while additional collateral required after a downgrade below investment grade was $3,441 million.
Key facts
- If Constellation had lost its investment grade credit ratings as of June 30, 2026, it would have been required to provide incremental collateral estimated to be approximately $3.4 billion to meet collateral obligations for derivatives, non-derivatives, NPNS, and applicable payables and receivables. source
- As of June 30, 2026, cash collateral posted on derivative contracts: $2,456 million; letters of credit posted: $1,359 million; additional collateral required in event of downgrade below investment grade: $3,441 million (June 30, 2026) and $2,670 million (Dec 31, 2025). source
- Commodity derivative current assets as of June 30, 2026: $15,197 million (current) and $8,431 million (noncurrent); total derivative assets: $23,628 million; total derivative liabilities: $(23,391) million; total derivative net assets: $2,283 million (per table). source
- Derivative assets (economic hedges) fair value subtotal as of June 30, 2026 before netting: $1,528 Level1, $12,835 Level2, $9,348 Level3, total $23,711; effect of netting and allocation of collateral was ($1,568) ($11,289) ($6,946) totaling ($19,803). source
- Derivative liabilities (economic hedges) fair value as of June 30, 2026 were ($1,865) Level1, ($13,169) Level2, ($8,369) Level3, total ($23,403); effect of netting and allocation of collateral was $1,839 $12,617 $7,630 totaling $22,086. source
- Aggregate gross fair value of derivative contracts containing credit-risk-related contingent features as of June 30, 2026: $(2,477) million; offsetting fair value under master netting: $1,344 million; net fair value of such contracts: $(1,133) million. source
- Credit exposure (total) for derivative instruments as of June 30, 2026: $2,555 million total exposure before credit collateral; Net exposure: $2,406 million. source
- Net credit exposure by counterparty type as of June 30, 2026: investor-owned utilities, marketers, power producers $1,250 million; total net exposure $2,406 million. source
Impact estimates
| metric | direction | stage | expected | basis |
|---|---|---|---|---|
| liability | negative | contingent | -0.5% | As of June 30, 2026, cash collateral posted on derivative contracts: $2,456 million; letters of credit posted: $1,359 million; additional… |
| liability | negative | contingent | -0.3% | If Constellation had lost its investment grade credit ratings as of June 30, 2026, it would have been required to provide incremental… |
| assets | positive | realized | — | Commodity derivative current assets as of June 30, 2026: $15,197 million (current) and $8,431 million (noncurrent); total derivative… |