Fair Value of Financial Assets and Liabilities (Tables)

12 Months Ended

Dec. 31, 2015

Fair value reconciliation of Level 3 assets and liabilities measured at fair value on a recurring basis

The following tables present assets and liabilities measured and recorded at fair value on the utility Registrants' Consolidated Balance Sheets on a recurring basis and their level within the fair value hierarchy as of December 31, 2015 and 2014:



	ComEd											PECO										BGE
As of December 31, 2015	Level 1		Level 2			Level 3			Total			Level 1		Level 2			Level 3		Total			Level 1		Level 2			Level 3		Total
Assets
Cash equivalents	$	29	$	—		$	—		$	29		$	271	$	—		$	—	$	271		$	25	$	—		$	—	$	25
Rabbi trust investments in mutual funds ^(a)	—		—			—			—			8		—			—		8			4		—			—		4
Total assets	29		—			—			29			279		—			—		279			29		—			—		29
Liabilities
Deferred compensation obligation	—		(8		)	—			(8		)	—		(12		)	—		(12		)	—		(4		)	—		(4		)
Mark-to-market derivative liabilities ^(b)	—		—			(247		)	(247		)	—		—			—		—			—		—			—		—
Total liabilities	—		(8		)	(247		)	(255		)	—		(12		)	—		(12		)	—		(4		)	—		(4		)
Total net assets (liabilities)	$	29	$	(8	)	$	(247	)	$	(226	)	$	279	$	(12	)	$	—	$	267		$	29	$	(4	)	$	—	$	25



	ComEd											PECO										BGE
As of December 31, 2014	Level 1		Level 2			Level 3			Total			Level 1		Level 2			Level 3		Total			Level 1		Level 2			Level 3		Total
Assets
Cash equivalents	$	25	$	—		$	—		$	25		$	12	$	—		$	—	$	12		$	103	$	—		$	—	$	103
Rabbi trust investments in mutual funds ^(a)	—		—			—			—			9		—			—		9			5		—			—		5
Total assets	25		—			—			25			21		—			—		21			108		—			—		108
Liabilities
Deferred compensation obligation	—		(8		)	—			(8		)	—		(15		)	—		(15		)	—		(5		)	—		(5		)
Mark-to-market derivative liabilities ^(b)	—		—			(207		)	(207		)	—		—			—		—			—		—			—		—
Total liabilities	—		(8		)	(207		)	(215		)	—		(15		)	—		(15		)	—		(5		)	—		(5		)
Total net assets (liabilities)	$	25	$	(8	)	$	(207	)	$	(190	)	$	21	$	(15	)	$	—	$	6		$	108	$	(5	)	$	—	$	103

_________________________


(a)	At PECO, excludes $12 million and $14 million of the cash surrender value of life insurance investments at December 31, 2015 and 2014, respectively.


(b)	The Level 3 balance includes the current and noncurrent liability of $23 million and $224 million, respectively, at December 31, 2015, and $20 million and $187 million, respectively, at December 31, 2014, related to floating-to-fixed energy swap contracts with unaffiliated suppliers.

The following tables present the carrying amounts and fair values of the Registrants’ short-term liabilities, long-term debt, SNF obligation, and trust preferred securities (long-term debt to financing trusts or junior subordinated debentures) as of December 31, 2015 and 2014:

Exelon



	December 31, 2015										December 31, 2014
	Carrying Amount		Fair Value								Carrying Amount		Fair Value
	Carrying Amount		Level 1		Level 2		Level 3		Total		Carrying Amount		Fair Value
Short-term liabilities	$	536	$	3	$	533	$	—	$	536	$	463	$	463
Long-term debt (including amounts due within one year) ^(a)	25,145		931		23,644		1,349		25,924		21,014		22,936
Long-term debt to financing trusts ^(b)	641		—		—		673		673		641		648
SNF obligation	1,021		—		818		—		818		1,021		833

Generation



	December 31, 2015										December 31, 2014
	Carrying Amount		Fair Value								Carrying Amount		Fair Value
	Carrying Amount		Level 1		Level 2		Level 3		Total		Carrying Amount		Fair Value
Short-term liabilities	$	29	$	—	$	29	$	—	$	29	$	36	$	36
Long-term debt (including amounts due within one year) ^(a)	8,959		—		7,767		1,349		9,116		8,196		8,822
SNF obligation	1,021		—		818		—		818		1,021		833

ComEd



	December 31, 2015										December 31, 2014
	Carrying Amount		Fair Value								Carrying Amount		Fair Value
	Carrying Amount		Level 1		Level 2		Level 3		Total		Carrying Amount		Fair Value
Short-term liabilities	$	294	$	—	$	294	$	—	$	294	$	304	$	304
Long-term debt (including amounts due within one year) ^(a)	6,509		—		7,069		—		7,069		5,925		6,788
Long-term debt to financing trusts ^(b)	205		—		—		213		213		205		213

PECO



	December 31, 2015										December 31, 2014
	Carrying Amount		Fair Value								Carrying Amount		Fair Value
	Carrying Amount		Level 1		Level 2		Level 3		Total		Carrying Amount		Fair Value
Long-term debt (including amounts due within one year) ^(a)	$	2,580	$	—	$	2,786	$	—	$	2,786	$	2,232	$	2,537
Long-term debt to financing trusts	184		—		—		195		195		184		199

BGE



	December 31, 2015										December 31, 2014
	Carrying Amount		Fair Value								Carrying Amount		Fair Value
	Carrying Amount		Level 1		Level 2		Level 3		Total		Carrying Amount		Fair Value
Short-term liabilities	$	213	$	3	$	210	$	—	$	213	$	123	$	123
Long-term debt (including amounts due within one year) ^(a)	1,858		—		2,044		—		2,044		1,932		2,178
Long-term debt to financing trusts ^(b)	252		—		—		264		264		252		236

Fair value of financial liabilities recorded at the carrying amount

The following tables present assets and liabilities measured and recorded at fair value on Exelon's and Generation’s Consolidated Balance Sheets on a recurring basis and their level within the fair value hierarchy as of December 31, 2015 and 2014:



	Generation								Exelon
As of December 31, 2015	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Assets
Cash equivalents ^(a)	$	104	$	—	$	—	$	104	$	5,766	$	—	$	—	$	5,766
Nuclear decommissioning trust fund investments
Cash equivalents ^(b)	219		92		—		311		219		92		—		311



	Generation									Exelon
As of December 31, 2015	Level 1			Level 2		Level 3		Total		Level 1			Level 2			Level 3			Total
Equities	3,008			1,894		—		4,902		3,008			1,894			—			4,902
Fixed income
Corporate debt	—			1,824		242		2,066		—			1,824			242			2,066
U.S. Treasury and agencies	1,323			15		—		1,338		1,323			15			—			1,338
Foreign governments	—			61		—		61		—			61			—			61
State and municipal debt	—			326		—		326		—			326			—			326
Other ^(c)	—			537		—		537		—		—	537		—	—		—	537
Fixed income subtotal	1,323			2,763		242		4,328		1,323			2,763			242			4,328
Middle market lending	—			—		428		428		—			—			428			428
Private equity	—			—		125		125		—			—			125			125
Real estate	—			—		35		35		—		—	—		—	35			35
Other	—			216		—		216		—			216			—			216
Nuclear decommissioning trust fund investments subtotal ^(d)	4,550			4,965		830		10,345		4,550			4,965			830			10,345
Pledged assets for Zion Station decommissioning
Cash equivalents	—			17		—		17		—			17			—			17
Equities	1			5		—		6		1			5			—			6
Fixed income
U.S. Treasury and agencies	6			2		—		8		6			2			—			8
Corporate debt	—			46		—		46		—			46			—			46
Other	—			1		—		1		—			1			—			1
Fixed income subtotal	6			49		—		55		6			49			—			55
Middle market lending	—			—		127		127		—			—			127			127
Pledged assets for Zion Station decommissioning subtotal ^(e)	7			71		127		205		7			71			127			205
Rabbi trust investments in mutual funds ^(f)	17		—	—		—		17		48			—			—			48
Commodity derivative assets
Economic hedges	1,922			3,467		1,707		7,096		1,922			3,467			1,707			7,096
Proprietary trading	36			64		30		130		36			64			30			130
Effect of netting and allocation of collateral ^(g)	(1,964	)		(2,629	)	(564	)	(5,157	)	(1,964	)		(2,629	)		(564	)		(5,157	)
Commodity derivative assets subtotal	(6	)		902		1,173		2,069		(6	)		902			1,173			2,069
Interest rate and foreign currency derivative assets
Derivatives designated as hedging instruments	—			—		—		—		—			25			—			25
Economic hedges	—			20		—		20		—			20			—			20
Proprietary trading	10			5		—		15		10			5			—			15
Effect of netting and allocation of collateral	(3	)		(3	)	—		(6	)	(3	)		(3	)		—			(6	)
Interest rate and foreign currency derivative assets subtotal	7			22		—		29		7			47			—			54
Other investments	—			—		33		33		—			—			33			33
Total assets	4,679			5,960		2,163		12,802		10,372			5,985			2,163			18,520
Liabilities
Commodity derivative liabilities
Economic hedges	(2,382	)		(3,348	)	(850	)	(6,580	)	(2,382	)		(3,348	)		(1,097	)		(6,827	)
Proprietary trading	(33	)		(57	)	(37	)	(127	)	(33	)		(57	)		(37	)		(127	)
Effect of netting and allocation of collateral ^(g)	2,440			3,186		765		6,391		2,440			3,186			765			6,391
Commodity derivative liabilities subtotal	25			(219	)	(122	)	(316	)	25			(219	)		(369	)		(563	)
Interest rate and foreign currency derivative liabilities								—											—
Derivatives designated as hedging instruments	—			(16	)	—		(16	)	—			(16	)		—			(16	)
Economic hedges	—			(3	)	—		(3	)	—			(3	)		—			(3	)
Proprietary trading	(12	)		—		—		(12	)	(12	)		—			—			(12	)
Effect of netting and allocation of collateral	12			3		—		15		12			3			—			15



	Generation											Exelon
As of December 31, 2015	Level 1		Level 2			Level 3			Total			Level 1		Level 2			Level 3			Total
Interest rate and foreign currency derivative liabilities subtotal	—		(16		)	—			(16		)	—		(16		)	—			(16		)
Deferred compensation obligation	—		(30		)	—			(30		)	—		(99		)	—			(99		)
Total liabilities	25		(265		)	(122		)	(362		)	25		(334		)	(369		)	(678		)
Total net assets	$	4,704	$	5,695		$	2,041		$	12,440		$	10,397	$	5,651		$	1,794		$	17,842

Assets and liabilities measured and recorded at fair value on recurring basis



	Generation												Exelon
As of December 31, 2014	Level 1			Level 2			Level 3			Total			Level 1				Level 2				Level 3				Total
Assets
Cash equivalents ^(a)	$	405		$	—		$	—		$	405		$	1,119			$	—			$	—			$	1,119
Nuclear decommissioning trust fund investments
Cash equivalents ^(b)	208			37			—			245			208				37				—				245
Equities	3,035			2,207			—			5,242			3,035				2,207				—				5,242
Fixed income
Corporate debt	—			2,023			239			2,262			—				2,023				239				2,262
U.S. Treasury and agencies	996			—			—			996			996				—				—				996
Foreign governments	—			95			—			95			—				95				—				95
State and municipal debt	—			438			—			438			—				438				—				438
Other	—			511			—			511			—				511				—				511
Fixed income subtotal	996			3,067			239			4,302			996				3,067				239				4,302
Middle market lending	—			—			366			366			—				—				366				366
Private equity	—			—			83			83			—				—				83				83
Real estate	—			—			3			3			—			—	—			—	3				3
Other ^(c)	—			301			—			301			—				301				—				301
Nuclear decommissioning trust fund investments subtotal ^(d)	4,239			5,612			691			10,542			4,239				5,612				691				10,542
Pledged assets for Zion Station decommissioning
Cash equivalents	—			15			—			15			—				15				—				15
Equities	6			1			—			7			6				1				—				7
Fixed income
U.S. Treasury and agencies	5			3			—			8			5				3				—				8
Corporate debt	—			89			—			89			—				89				—				89
State and municipal debt	—			10			—			10			—				10				—				10
Other	—			3			—			3			—			—	3			—	—			—	3
Fixed income subtotal	5			105			—			110			5				105				—				110
Middle market lending	—			—			184			184			—				—				184				184
Pledged assets for Zion Station decommissioning subtotal ^(e)	11			121			184			316			11				121				184				316
Rabbi trust investments ^(f)
Cash equivalents	—			—			—			—			1				—				—				1
Mutual funds	16			—			—			16			46				—				—				46
Rabbi trust investments subtotal	16			—			—			16			47				—				—				47
Commodity derivative assets										—															—
Economic hedges	1,667			3,465			1,681			6,813			1,667				3,465				1,681				6,813
Proprietary trading	201			284			27			512			201				284				27				512
Effect of netting and allocation of collateral ^(g)	(1,982		)	(2,757		)	(557		)	(5,296		)	(1,982		)		(2,757		)		(557		)		(5,296		)
Commodity derivative assets subtotal	(114		)	992			1,151			2,029			(114		)		992				1,151				2,029
Interest rate and foreign currency derivative assets										—															—
Derivatives designated as hedging instruments	—			8			—			8			—				31				—				31
Economic hedges	—			12			—			12			—				13				—				13



	Generation												Exelon
As of December 31, 2014	Level 1			Level 2			Level 3			Total			Level 1			Level 2			Level 3			Total
Proprietary trading	18			9			—			27			18			9			—			27
Effect of netting and allocation of collateral	(17		)	(12		)	—			(29		)	(17		)	(31		)	—			(48		)
Interest rate and foreign currency derivative assets subtotal	1			17			—			18			1			22			—			23
Other investments	—			—			3			3			2			—			3			5
Total assets	4,558			6,742			2,029			13,329			5,305			6,747			2,029			14,081
Liabilities
Commodity derivative liabilities
Economic hedges	(2,241		)	(3,458		)	(788		)	(6,487		)	(2,241		)	(3,458		)	(995		)	(6,694		)
Proprietary trading	(195		)	(295		)	(42		)	(532		)	(195		)	(295		)	(42		)	(532		)
Effect of netting and allocation of collateral ^(g)	2,416			3,557			729			6,702			2,416			3,557			729			6,702
Commodity derivative liabilities subtotal	(20		)	(196		)	(101		)	(317		)	(20		)	(196		)	(308		)	(524		)
Interest rate and foreign currency derivative liabilities										—												—
Derivatives designated as hedging instruments	—			(12		)	—			(12		)	—			(41		)	—			(41		)
Economic hedges	—			(2		)	—			(2		)	—			(103		)	—			(103		)
Proprietary trading	(14		)	(9		)	—			(23		)	(14		)	(9		)	—			(23		)
Effect of netting and allocation of collateral	25			10			—			35			25			29			—			54
Interest rate and foreign currency derivative liabilities subtotal	11			(13		)	—			(2		)	11			(124		)	—			(113		)
Deferred compensation obligation	—			(31		)	—			(31		)	—			(107		)	—			(107		)
Total liabilities	(9		)	(240		)	(101		)	(350		)	(9		)	(427		)	(308		)	(744		)
Total net assets	$	4,549		$	6,502		$	1,928		$	12,979		$	5,296		$	6,320		$	1,721		$	13,337

_________________________


(a)	Excludes certain cash equivalents considered to be held-to-maturity and not reported at fair value.


(b)	Includes $52 million and $43 million of cash received from outstanding repurchase agreements at December 31, 2015 and 2014, respectively, and is offset by an obligation to repay upon settlement of the agreement as discussed in (d) below.

(c)

Includes derivative instruments of $(8) million and $(10) million, which have a total notional amount of $1,236 million and $794 million at December 31, 2015 and 2014, respectively. The notional principal amounts for these instruments provide one measure of the transaction volume outstanding as of the fiscal years ended and do not represent the amount of the company's exposure to credit or market loss.

(d)

Excludes net liabilities of $(3) million and $(5) million at December 31, 2015 and 2014, respectively. These items consist of receivables related to pending securities sales, interest and dividend receivables, repurchase agreement obligations, and payables related to pending securities purchases. The repurchase agreements are generally short-term in nature with durations generally of 30 days or less.


(e)	Excludes net assets of $1 million and $3 million at December 31, 2015 and 2014, respectively. These items consist of receivables related to pending securities sales, interest and dividend receivables, and payables related to pending securities purchases.


(f)	Excludes $36 million and $35 million of cash surrender value of life insurance investment at December 31, 2015 and 2014, respectively, at Exelon Consolidated. Excludes $13 million and $11 million of cash surrender value of life insurance investment at December 31, 2015 and 2014, respectively, at Generation.

(g)

Collateral posted to/(received from) counterparties totaled $476 million, $557 million and $201 million allocated to Level 1, Level 2 and Level 3 mark-to-market derivatives, respectively, as of December 31, 2015. Collateral posted to/(received from) counterparties totaled $434 million, $800 million and $172 million allocated to Level 1, Level 2 and Level 3 mark-to-market derivatives, respectively, as of December 31, 2014.

Total realized and unrealized gains (losses) included in income for Level 3 assets and liabilities measured at fair value on a recurring basis

The following table presents the fair value reconciliation of Level 3 assets and liabilities measured at fair value on a recurring basis during the year ended December 31, 2015 and 2014:



	Generation																ComEd						Exelon
For The Year Ended December 31, 2015	Nuclear Decommissioning Trust Fund Investments			Pledged Assets for Zion Station Decommissioning			Mark-to-Market Derivatives				Other Investments			Total Generation			Mark-to-Market Derivatives^(b)			Eliminated in Consolidation			Total
Balance as of January 1, 2015	$	691		$	184		$	1,050			$	3		$	1,928		$	(207	)	$	—		$	1,721
Total realized / unrealized gains (losses)
Included in net income	4			—			22			^(a)	1			27			—			—			27
Included in noncurrent payables to affiliates	23			—			—				—			23			—			(23		)	—
Included in payable for Zion Station decommissioning	—			(2		)	—				—			(2		)	—			—			(2		)
Included in regulatory assets/liabilities	—			—			—				—			—			(40		)	23			(17		)
Change in collateral	—			—			29				—			29			—			—			29
Purchases, sales, issuances and settlements
Purchases	226			20			144				30			420			—			—			420
Sales	(8		)	(75		)	(25		)		—			(108		)	—			—			(108		)
Settlements	(106		)	—			—				—			(106		)	—			—			(106		)
Transfers into Level 3	4			—			80				—			84			—			—			84
Transfers out of Level 3	(4		)	—			(249		)		(1		)	(254		)	—			—			(254		)
Balance as of December 31, 2015	$	830		$	127		$	1,051			$	33		$	2,041		$	(247	)	$	—		$	1,794
The amount of total gains included in income attributed to the change in unrealized gains (losses) related to assets and liabilities as of December 31, 2015	$	4		$	—		$	856			$	—		$	860		$	—		$	—		$	860



	Generation							Exelon
	Operating Revenues		Purchased Power and Fuel			Other, net ^(a)		Operating Revenues		Purchased Power and Fuel			Other, net ^(a)
Total gains (losses) included in net income for the year ended December 31, 2014	$	614	$	(88	)	$	6	$	614	$	(88	)	$	6
Change in the unrealized gains (losses) relating to assets and liabilities held for the year ended December 31, 2014	$	663	$	(23	)	$	4	$	663	$	(23	)	$	4

_________________________


(a)	Other, net activity consists of realized and unrealized gains (losses) included in income for the NDT funds held by Generation.

The following tables present the income statement classification of the total realized and unrealized gains (losses) included in income for Level 3 assets and liabilities measured at fair value on a recurring basis during the years ended December 31, 2015 and 2014:



	Generation							Exelon
	Operating Revenues		Purchased Power and Fuel			Other, net ^(a)		Operating Revenues		Purchased Power and Fuel			Other, net ^(a)
Total gains (losses) included in net income for the year ended December 31, 2015	$	67	$	(45	)	$	4	$	67	$	(45	)	$	4
Change in the unrealized gains (losses) relating to assets and liabilities held for the year ended December 31, 2015	$	858	$	(2	)	$	4	$	858	$	(2	)	$	4



	Generation																ComEd						Exelon
For The Year Ended December 31, 2014	Nuclear Decommissioning Trust Fund Investments			Pledged Assets for Zion Station Decommissioning			Mark-to-Market Derivatives ^(d)				Other Investments			Total Generation			Mark-to-Market Derivatives^(b)			Eliminated in Consolidation			Total
Balance as of January 1, 2014	$	350		$	112		$	465			$	15		$	942		$	(193	)	$	—		$	749
Total realized / unrealized gains (losses)
Included in net income	6			—			526			^(a)	—			532			—			—			532
Included in other comprehensive income	—			—			—				—			—			—			—			—
Included in noncurrent payables to affiliates	14			—			—				—			14			—			(14		)	—
Included in payable for Zion Station decommissioning	—			2			—				—			2			—			—			2
Included in regulatory assets/liabilities	—			—			—				—			—			(14		)	14			—
Change in collateral	—			—			198				—			198			—			—			198
Purchases, sales, issuances and settlements
Purchases	400			120			76			^(c)	2			598			—			—			598
Sales	(15		)	(50		)	(7		)		(8		)	(80		)	—			—			(80		)
Settlements	(64		)	—			—				—			(64		)	—			—			(64		)
Transfers into Level 3	—			—			(7		)		—			(7		)	—			—			(7		)
Transfers out of Level 3	—			—			(201		)		(6		)	(207		)	—			—			(207		)
Balance as of December 31, 2014	$	691		$	184		$	1,050			$	3		$	1,928		$	(207	)	$	—		$	1,721
The amount of total gains included in income attributed to the change in unrealized gains (losses) related to assets and liabilities held as of December 31, 2014	$	4		$	—		$	640			$	—		$	644		$	—		$	—		$	644

_________________________


(a)	Includes a reduction for the reclassification of $834 million and $114 million of realized gains due to the settlement of derivative contracts for the years ended December 31, 2015 and 2014, respectively.

(b)

Includes $55 million of decreases in fair value and an increase for realized losses due to settlements of $(15) million recorded in purchased power expense associated with floating-to-fixed energy swap contracts with unaffiliated suppliers for the year ended December 31, 2015. Includes $13 million of decreases in fair value and a reduction for realized gains due to settlements of $1 million for the year ended December 31, 2014.


(c)	Includes $34 million of fair value from contracts acquired as a result of the Integrys acquisition.

Fair value reconciliation of Level 3 assets and liabilities measured at fair value on a recurring basis, valuation technique

The table below discloses the significant inputs to the forward curve used to value these positions.



Type of trade	Fair Value at December 31,2015			Valuation Technique	Unobservable Input	Range
Mark-to-market derivatives—Economic hedges (Generation) ^(a)(c)	$	857		Discounted Cash Flow	Forward power price	$11	-	$88	^(d)
					Forward gas price	$1.18	-	$8.95	^(d)
				Option Model	Volatility percentage	5%	-	152%
Mark-to-market derivatives—Proprietary trading (Generation) ^(a)(c)	$	(7	)	Discounted Cash Flow	Forward power price	$13	-	$78	^(d)
Mark-to-market derivatives (ComEd)	$	(247	)	Discounted Cash Flow	Forward heat rate ^(b)	9x	-	10x
					Marketability reserve	3.5%	-	7%
					Renewable factor	87%	-	128%

_________________________


(a)	The valuation techniques, unobservable inputs and ranges are the same for the asset and liability positions.


(b)	Quoted forward natural gas rates are utilized to project the forward power curve for the delivery of energy at specified future dates. The natural gas curve is extrapolated beyond its observable period to the end of the contract’s delivery.


(c)	The fair values do not include cash collateral posted on level three positions of $201 million as of December 31, 2015.


(d)	Unlike the previous year, the New England region was not a significant driver for the upper end of the ranges for power and gas as of December 31, 2015.



Type of trade	Fair Value at December 31, 2014			Valuation Technique	Unobservable Input	Range
Mark-to-market derivatives—Economic hedges (Generation) ^(a)(c)	$	893		Discounted Cash Flow	Forward power price	$15	-	$120	^(d)
					Forward gas price	$1.52	-	$14.02	^(d)
				Option Model	Volatility percentage	8%	-	257%
Mark-to-market derivatives— Proprietary trading (Generation) ^(a)(c)	$	(15	)	Discounted Cash Flow	Forward power price	$15	-	$117	^(d)
Mark-to-market derivatives (ComEd)	$	(207	)	Discounted Cash Flow	Forward heat rate ^(b)	8x	-	9x
					Marketability reserve	3.5%	-	8%
					Renewable factor	86%	-	126%

__________________________


(a)	The valuation techniques, unobservable inputs and ranges are the same for the asset and liability positions.


(b)	Quoted forward natural gas rates are utilized to project the forward power curve for the delivery of energy at specified future dates. The natural gas curve is extrapolated beyond its observable period to the end of the contract’s delivery.


(c)	The fair values do not include cash collateral posted on level three positions of $172 million as of December 31, 2014


(d)	The upper ends of the ranges are driven by the winter power and gas prices in the New England region. Without the New England region, the upper ends of the ranges for power and gas would be approximately $97 and $8.14, respectively and would be approximately $76 for power proprietary trading.