CEG · 10-Q · 2026Q3 · Full report
Derivative Credit Exposure
Constellation Energy Corp · 2026-11-09 · Importance 63 · Surprise 64 · From source text
At September 30, 2026, commodity derivative assets totaled $4,119 million after collateral and netting, compared with $1,382 million at December 31, 2025; derivative net assets were $2,429 million at September 30, 2026. The fair value of derivative contracts containing credit-rating contingent features was a net liability of $1,455 million at September 30, 2026, versus $ million at year-end 2025 in the supplied text. Constellation posted $2,306 million of cash collateral at September 30, 2026, compared with $1,399 million at December 31, 2025, and disclosed $3,649 million of additional collateral that would be required following a downgrade below investment grade. Its senior unsecured ratings were BBB+ at S&P and Baa1 at Moody’s, requiring a three-notch downgrade to fall below investment grade.
Key facts
- If Constellation Energy had lost its investment-grade credit ratings as of September 30, 2026, it would have been required to provide estimated incremental collateral of approximately $3.6 billion.
- Constellation’s additional collateral requirement if downgraded below investment grade was $3,649 million as of September 30, 2026, compared with $2,670 million as of December 31, 2025.
- Constellation’s gross fair value of derivative contracts with credit-risk-related contingent features was a $3,127 million liability as of September 30, 2026, compared with a $1,307 million liability as of December 31, 2025.
- Constellation posted $2,306 million of cash collateral on derivative contracts as of September 30, 2026, compared with $1,399 million as of December 31, 2025.
- Constellation’s interest-rate-swap notional amount was approximately $4.3 billion as of September 30, 2026, compared with $1.4 billion as of December 31, 2025.
- Constellation’s senior unsecured debt was rated BBB+ by S&P and Baa1 by Moody’s; a three-notch downgrade by either agency would put the rating below investment grade.
Impact estimates
| metric | direction | stage | expected | basis |
|---|---|---|---|---|
| liability | negative | realized | -1.8% | Constellation’s gross fair value of derivative contracts with credit-risk-related contingent features was a $3,127 million liability as of… |
| cash | negative | contingent | -0.3% | Constellation’s additional collateral requirement if downgraded below investment grade was $3,649 million as of September 30, 2026,… |