Fair Value of Financial Assets and Liabilities (Exelon, Generation, ComEd and PECO)

3 Months Ended

9 Months Ended

Mar. 31, 2012

Sep. 30, 2011

Fair Value of Financial Assets and Liabilities [Abstract]

Fair Value of Financial Assets and Liabilities (Exelon, Generation, ComEd and PECO)

6. Fair Value of Financial Assets and Liabilities (Exelon, Generation, ComEd, PECO and BGE)

Fair Value of Financial Liabilities Recorded at the Carrying Amount

The following tables present the carrying amounts and fair values of the Registrants' short-term liabilities, long-term debt, SNF obligation and preferred securities as of March 31, 2012 and December 31, 2011:

Exelon

		March 31, 2012								December 31, 2011
		Carrying		Fair Value						Carrying		Fair
		Amount			Level 1		Level 2		Level 3	Amount		Value
Short-term liabilities		$	1,036	$	472	$	564	$	0	$	737	$	737
Long-term debt (including amounts
	due within one year)		17,545		0		18,918		162		12,627		14,488
Long-term debt to financing trusts			648		0		641		0		390		358
SNF obligation			1,019		0		882		0		1,019		886
Preferred securities of subsidiary			87		0		79		0		87		79

Generation

		March 31, 2012								December 31, 2011
		Carrying		Fair Value						Carrying		Fair
		Amount			Level 1		Level 2		Level 3	Amount		Value
Short-term liabilities		$	114	$	0	$	114	$	0	$	2	$	2
Long-term debt (including amounts
	due within one year)		6,646		0		6,804		67		3,677		4,231
SNF obligation			1,019		0		882		0		1,019		886

ComEd

		March 31, 2012								December 31, 2011
		Carrying		Fair Value						Carrying		Fair
		Amount			Level 1		Level 2		Level 3	Amount		Value
Short-term liabilities		$	302	$	0	$	302	$	0	$	0	$	0
Long-term debt (including amounts
	due within one year)		5,215		0		6,067		18		5,665		6,540
Long-term debt to financing trust			206		0		206		0		206		184

PECO

		March 31, 2012								December 31, 2011
		Carrying		Fair Value						Carrying		Fair
		Amount			Level 1		Level 2		Level 3	Amount		Value
Short-term liabilities		$	225	$	0	$	225	$	0	$	225	$	225
Long-term debt (including amounts
	due within one year)		1,972		0		2,291		0		1,972		2,295
Long-term debt to financing trusts			184		0		176		0		184		174
Preferred securities			87		0		79		0		87		79

BGE

		March 31, 2012						December 31, 2011
		Carrying		Fair Value				Carrying		Fair
		Amount			Level 1	Level 2	Level 3	Amount		Value
Long-term debt (including amounts
	due within one year)		2,101		-	2,359	-		2,101		2,377
Long-term debt to financing trusts			258		-	259	-		258		256

Short-Term Liabilities. The short-term liabilities included in the table above are comprised of short-term borrowings (Level 2), short-term notes payable related to PECO's accounts receivable agreement (Level 2), and dividends payable (Level 1). The Registrants' carrying amounts of the short-term liabilities are representative of fair value because of the short-term nature of these instruments. See Note 8 - Debt and Credit Agreements for additional information on PECO's accounts receivable agreement.

Long-Term Debt.The fair value amounts of Exelon's taxable debt securities are determined by a valuation model that is based on a conventional discounted cash flow methodology and utilizes assumptions of current market pricing curves. In order to incorporate the credit risk of the Registrants into the discount rates, Exelon obtains pricing (i.e., U.S. Treasury rate plus credit spread) based on trades of existing Exelon debt securities as well as debt securities of other issuers in the electric utility sector with similar credit ratings in both the primary and secondary market, across the Registrants' debt maturity spectrum. The credit spreads of various tenors obtained from this information are added to the appropriate benchmark U.S. Treasury rates in order to determine the current market yields for the various tenors. The yields are then converted into discount rates of various tenors that are used for discounting the respective cash flows of the same tenor for each bond or note.

The Registrants also have tax-exempt debt. Due to lowtradingvolume in this market, qualitative factors, such as market conditions, investor demand, and circumstances related to the issuer (e.g., political and regulatory environment), may be incorporated into the credit spreads that are used to obtain the fair value as described above.

SNF Obligation. The carrying amount of Generation's SNF obligation is derived from a contract with the DOE to provide for disposal of SNF from Generation's nuclear generating stations. When determining the fair value of the obligation, the future carrying amount of the SNF obligation in 2020 is calculated by compounding the current book value of the SNF obligation at the 13-week Treasury rate. The compounded obligation amount is discounted back to present using Generation's discount rate, which is calculated using the same methodology as described above for the taxable debt securities, and an estimated maturity date of 2020.

Preferred Securities of Subsidiary and Long-term Debt to Financing Trusts. The fair value of these securitiesis determined using observable market prices on the last trade date of the quarter as these securities are actively traded, less accrued interest. The securities are registered with the SEC and are public.

Recurring Fair Value Measurements

Exelon records the fair value of assets and liabilities in accordance with the hierarchy established by the authoritative guidance for fair value measurements. The hierarchy prioritizes the inputs to valuation techniques used to measure fair value into three levels as follows:

• Level 1 — quoted prices (unadjusted) in active markets for identical assets or liabilities that the Registrants have the ability to access as of the reporting date. Financial assets and liabilities utilizing Level 1 inputs include active exchange-traded equity securities, certain exchange-based derivatives, and money market funds.
• Level 2 — inputs other than quoted prices included within Level 1 that are directly observable for the asset or liability or indirectly observable through corroboration with observable market data. Financial assets and liabilities utilizing Level 2 inputs include fixed income securities, non-exchange-based derivatives, commingled and mutual investment funds priced at NAV per fund share and fair value hedges.
• Level 3 — unobservable inputs, such as internally developed pricing models for the asset or liability due to little or no market activity for the asset or liability. Financial assets and liabilities utilizing Level 3 inputs include infrequently traded non-exchange-based derivatives and investments priced using an alternative pricing mechanism.

There were no significant transfers between Level 1 and Level 2 during the three months ended March 31, 2012.

Exelon

The following tables present assets and liabilities measured and recorded at fair value on Exelon's Consolidated Balance Sheets on a recurring basis and their level within the fair value hierarchy as of March 31, 2012 and December 31, 2011:

As of March 31, 2012	Level 1		Level 2		Level 3		Total
Assets
Cash equivalents (a)	$	187	$	0	$	0	$	187
Nuclear decommissioning trust fund investments
Cash equivalents		428		0		0		428
Equity
Equity securities		1,460		0		0		1,460
Commingled funds		0		2,027		0		2,027
Equity funds subtotal		1,460		2,027		0		3,487
Fixed income
Debt securities issued by the U.S. Treasury and other
U.S. government corporations and agencies		941		1		0		942
Debt securities issued by states of the United States
and political subdivisions of the states		0		328		0		328
Debt securities issued by foreign governments		0		67		0		67
Corporate debt securities		0		1,534		0		1,534
Federal agency mortgage-backed securities		0		55		0		55
Commercial mortgage-backed securities (non-agency)		0		39		0		39
Residential mortgage-backed securities (non-agency)		0		8		0		8
Mutual funds		0		2		0		2
Fixed income subtotal		941		2,034		0		2,975
Direct lending securities		0		0		13		13
Other debt obligations		0		11		0		11
Nuclear decommissioning trust fund investments subtotal(b)		2,829		4,072		13		6,914
Pledged assets for Zion Station decommissioning
Equity
Equity securities		26		0		0		26
Commingled funds		0		22		0		22
Equity funds subtotal		26		22		0		48
Fixed income
Debt securities issued by the U.S. Treasury and other
U.S. government corporations and agencies		63		24		0		87
Debt securities issued by states of the United States
and political subdivisions of the states		0		53		0		53
Corporate debt securities		0		325		0		325
Federal agency mortgage-backed securities		0		100		0		100
Commercial mortgage-backed securities (non-agency)		0		10		0		10
Commingled funds		0		40		0		40
Fixed income subtotal		63		552		0		615
Direct lending securities		0		0		42		42
Pledged assets for Zion Station decommissioning subtotal(c)		89		574		42		705
Rabbi trust investments
Cash equivalents		2		0		0		2
Mutual funds(d)(e)		73		0		0		73
Rabbi trust investments subtotal		75		0		0		75
Commodity mark-to-market derivative assets
Economic hedges		1,988		6,913		990		9,891
Proprietary trading		3,341		6,427		219		9,987
Effect of netting and allocation of collateral(f)		(5,329)		(11,418)		(370)		(17,117)
Commodity mark-to-market assets subtotal(g)		0		1,922		839		2,761
Interest rate mark-to-market derivative assets		0		119		0		119
Other investments		3		0		14		17
Total assets		3,183		6,687		908		10,778
Liabilities
Commodity mark-to-market derivative liabilities
Economic hedges		(2,527)		(5,659)		(449)		(8,635)
Proprietary trading		(3,457)		(6,146)		(364)		(9,967)
Effect of netting and allocation of collateral(f)		5,755		10,791		333		16,879
Commodity mark-to-market liabilities subtotal(g)(h)		(229)		(1,014)		(480)		(1,723)
Interest rate mark-to-market derivative liabilities		0		(54)		0		(54)
Deferred compensation		0		(106)		0		(106)
Total liabilities		(229)		(1,174)		(480)		(1,883)
Total net assets	$	2,954	$	5,513	$	428	$	8,895
As of December 31, 2011	Level 1		Level 2		Level 3		Total
Assets
Cash equivalents(a)	$	861	$	0	$	0	$	861
Nuclear decommissioning trust fund investments
Cash equivalents		562		0		0		562
Equity
Equity securities		1,275		0		0		1,275
Commingled funds		0		1,822		0		1,822
Equity funds subtotal		1,275		1,822		0		3,097
Fixed income
Debt securities issued by the U.S. Treasury and other
U.S. government corporations and agencies		1,014		33		0		1,047
Debt securities issued by states of the United States
and political subdivisions of the states		0		541		0		541
Debt securities issued by foreign governments		0		16		0		16
Corporate debt securities		0		778		0		778
Federal agency mortgage-backed securities		0		357		0		357
Commercial mortgage-backed securities (non-agency)		0		83		0		83
Residential mortgage-backed securities (non-agency)		0		5		0		5
Mutual funds		0		47		0		47
Fixed income subtotal		1,014		1,860		0		2,874
Direct lending securities		0		0		13		13
Other debt obligations		0		18		0		18
Nuclear decommissioning trust fund investments subtotal(b)		2,851		3,700		13		6,564
Pledged assets for Zion decommissioning
Equity
Equity securities		35		0		0		35
Commingled funds		0		30		0		30
Equity funds subtotal		35		30		0		65
Fixed income
Debt securities issued by the U.S. Treasury and other
U.S. government corporations and agencies		54		26		0		80
Debt securities issued by states of the United States
and political subdivisions of the states		0		65		0		65
Corporate debt securities		0		314		0		314
Federal agency mortgage-backed securities		0		121		0		121
Commercial mortgage-backed securities (non-agency)		0		10		0		10
Commingled funds		0		20		0		20
Fixed income subtotal		54		556		0		610
Direct lending securities		0		0		37		37
Other debt obligations		0		13		0		13
Pledged assets for Zion Station decommissioning subtotal(c)		89		599		37		725
Rabbi trust investments
Cash equivalents		2		0		0		2
Mutual funds(d)(e)		34		0		0		34
Rabbi trust investments subtotal		36		0		0		36
Commodity Mark-to-market derivative assets
Cash flow hedges		0		857		0		857
Economic hedges		0		1,653		124		1,777
Proprietary trading		0		240		48		288
Effect of netting and allocation of collateral(f)		0		(1,827)		(28)		(1,855)
Commodity Mark-to-market assets(g)		0		923		144		1,067
Interest rate mark-to-market derivative assets		0		15		0		15
Total assets		3,837		5,237		194		9,268
Liabilities
Commodity Mark-to-market derivative liabilities
Cash flow hedges		0		(13)		0		(13)
Economic hedges		(1)		(1,137)		(119)		(1,257)
Proprietary trading		0		(236)		(28)		(264)
Effect of netting and allocation of collateral(f)		0		1,295		20		1,315
Commodity Mark-to-market liabilities (h)		(1)		(91)		(127)		(219)
Interest rate mark-to-market liabilities		0		(19)		0		(19)
Deferred compensation		0		(73)		0		(73)
Total liabilities		(1)		(183)		(127)		(311)
Total net assets	$	3,836	$	5,054	$	67	$	8,957

The following table presents the fair value reconciliation of Level 3 assets and liabilities measured at fair value on a recurring basis during the three months ended March 31, 2012 and 2011:

Three Months Ended March 31, 2012		Nuclear Decommissioning Trust Fund Investments		Pledged Assets for Zion Station Decommissioning		Mark-to-Market Derivatives			Other Investments		Total
Balance as of December 31, 2011		$	13	$	37	$	17		$	0	$	67
Total realized / unrealized gains (losses)
	Included in net income		-		0		85	(a)		0		85
	Included in regulatory assets		-		0		(35)	(b)		0		(35)
Change in collateral			-		0		(23)			0		(23)
Purchases, sales, issuances and settlements
	Purchases (c )		-		6		316			14		336
	Sales		-		(1)		0			0		(1)
Transfers out of Level 3					-		(1)			0		(1)
Balance as of March 31, 2012		$	13	$	42	$	359		$	14	$	428
The amount of total gains included in net income
	attributed to the change in unrealized losses related to assets and liabilities held for the three months ended March 31, 2012	$	0	$	0	$	93		$	0	$	93

(a)       Includes the reclassification of $19 million of realized losses due to the settlement of derivative contracts recorded in results of operations.

(b)       Includes $135 million of increases in fair value and $147 million of realized losses due to settlements during 2012 of Generation's financial swap contract with ComEd, which eliminates upon consolidation in Exelon's Consolidated Financial Statements.

(c)       Includes $310 million of fair value from contracts and $14 million of other investments acquired as a result of the merger.

Three Months Ended March 31, 2011		Pledged Assets for Zion Station Decommissioning		Mark-to-Market Derivatives			Total
Balance as of December 31, 2010		$	0	$	50			50
	Included in net income		0		(13)	(a)		(13)
	Included in other comprehensive income		0		(9)	(b)		(9)
	Included in regulatory liabilities		0		52	(c)		52
Change in collateral			0		5			5
Purchases			31		0			31
Transfers out of Level 3			0		(34)			(34)
Balance as of March 31, 2011		$	31	$	51		$	82
The amount of total gains included in net income
	attributed to the change in unrealized gains related to assets and liabilities held for the three months ended March 31, 2011	$	0	$	(7)			(7)

(a)       Includes the reclassification of $6 million of realized losses due to the settlement of derivative contracts recorded in results of operations.

(b)       Excludes $67 million of changes in fair value and $112 million of realized losses due to settlements associated with Generation's financial swap contract with ComEd and a $1 million decrease related to the settlement of Generation's block contracts with PECO, which eliminates upon consolidation in Exelon's Consolidated Financial Statements.

(c)       Includes an increase in fair value of $51 million associated with floating-to-fixed energy swap contracts with unaffiliated suppliers.

The following table presents 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 three months ended March 31, 2012 and 2011:

Three Months Ended March 31, 2012		Operating Revenues		Purchased Power and Fuel
Total gains (losses) included in net income for the three months ended
	March 31, 2012	$	87	$	(2)
Change in the unrealized gains (losses) relating to assets and liabilities
	held for the three months ended March 31, 2012	$	104	$	(11)
Three Months Ended March 31, 2011		Operating Revenues		Purchased Power and Fuel
Total losses included in net income for the three months ended
	March 31, 2011	$	(3)	$	(10)
Change in the unrealized gains (losses) relating to assets and liabilities
	held for the three months ended March 31, 2011	$	4	$	(11)

Generation

The following tables present assets and liabilities measured and recorded at fair value on Generation's Consolidated Balance Sheets on a recurring basis and their level within the fair value hierarchy as of March 31, 2012 and December 31, 2011:

As of March 31, 2012	Level 1		Level 2		Level 3			Total
Assets
Cash equivalents (a)	$	60	$	0	$	0	$	60
Nuclear decommissioning trust fund investments
Cash equivalents		428		0		0		428
Equity
Equity securities		1,460		0		0		1,460
Commingled funds		0		2,027		0		2,027
Equity funds subtotal		1,460		2,027		0		3,487
Fixed income
Debt securities issued by the U.S. Treasury and other U.S.
government corporations and agencies		941		1		0		942
Debt securities issued by states of the United States and
political subdivisions of the states		0		328		0		328
Debt securities issued by foreign governments		0		67		0		67
Corporate debt securities		0		1,534		0		1,534
Federal agency mortgage-backed securities		0		55		0		55
Commercial mortgage-backed securities (non-agency)		0		39		0		39
Residential mortgage-backed securities (non-agency)		0		8		0		8
Mutual funds		0		2		0		2
Fixed income subtotal		941		2,034		0		2,975
Direct lending securities		0		0		13		13
Other debt obligations		0		11		0		11
Nuclear decommissioning trust fund investments subtotal(b)		2,829		4,072		13		6,914
Pledged assets for Zion Station decommissioning
Equity
Equity securities		26		0		0		26
Commingled funds		0		22		0		22
Equity funds subtotal		26		22		0		48
Fixed income
Debt securities issued by the U.S. Treasury and other U.S.
government corporations and agencies		63		24		0		87
Debt securities issued by states of the United States and
political subdivisions of the states		0		53		0		53
Corporate debt securities		0		325		0		325
Federal agency mortgage-backed securities		0		100		0		100
Commercial mortgage-backed securities (non-agency)		0		10		0		10
Commingled funds		0		40		0		40
Fixed income subtotal		63		552		0		615
Direct lending securities		0		0		42		42
Pledged assets for Zion Station decommissioning subtotal(c)		89		574		42		705
Rabbi trust investments(d)(e)		5		0		0		5
Commodity mark-to-market derivative assets
Economic hedges		1,988		6,913		1,672		10,573
Proprietary trading		3,341		6,427		219		9,987
Effect of netting and allocation of collateral(f)		(5,329)		(11,418)		(370)		(17,117)
Commodity mark-to-market assets subtotal(g)		0		1,922		1,521		3,443
Interest Rate mark-to-market derivative assets		0		105		0		105
Other investments		3		0		14		17
Total assets		2,986		6,673		1,590		11,249
Liabilities
Commodity mark-to-market derivative liabilities
Economic hedges		(2,527)		(5,659)		(308)		(8,494)
Proprietary trading		(3,457)		(6,146)		(364)		(9,967)
Effect of netting and allocation of collateral(f)		5,755		10,791		333		16,879
Commodity mark-to-market liabilities subtotal		(229)		(1,014)		(339)		(1,582)
Interest rate mark-to-market derivative liabilities		0		(54)		0		(54)
Deferred compensation		0		(20)		0		(20)
Total liabilities		(229)		(1,088)		(339)		(1,656)
Total net assets	$	2,757	$	5,585	$	1,251	$	9,593
As of December 31, 2011	Level 1		Level 2		Level 3			Total
Assets
Cash equivalents(a)	$	466	$	0	$	0	$	466
Nuclear decommissioning trust fund investments
Cash equivalents		562		0		0		562
Equity
Equity securities		1,275		0		0		1,275
Commingled funds		0		1,822		0		1,822
Equity funds subtotal		1,275		1,822		0		3,097
Fixed income
Debt securities issued by the U.S. Treasury and other U.S.
government corporations and agencies		1,014		33		0		1,047
Debt securities issued by states of the United States and
political subdivisions of the states		0		541		0		541
Debt securities issued by foreign governments		0		16		0		16
Corporate debt securities		0		778		0		778
Federal agency mortgage-backed securities		0		357		0		357
Commercial mortgage-backed securities (non-agency)		0		83		0		83
Residential mortgage-backed securities (non-agency)		0		5		0		5
Mutual funds		0		47		0		47
Fixed income subtotal		1,014		1,860		0		2,874
Direct lending securities		0		0		13		13
Other debt obligations		0		18		0		18
Nuclear decommissioning trust fund investments subtotal(b)		2,851		3,700		13		6,564
Pledged assets for Zion Station decommissioning
Equity
Equity securities		35		0		0		35
Commingled funds		0		30		0		30
Equity funds subtotal		35		30		0		65
Fixed income
Debt securities issued by the U.S. Treasury and other U.S.
government corporations and agencies		54		26		0		80
Debt securities issued by states of the United States and
political subdivisions of the states		0		65		0		65
Corporate debt securities		0		314		0		314
Federal agency mortgage-backed securities		0		121		0		121
Commercial mortgage-backed securities (non-agency)		0		10		0		10
Commingled funds		0		20		0		20
Fixed income subtotal		54		556		0		610
Direct lending securities		0		0		37		37
Other debt obligations		0		13		0		13
Pledged assets for Zion Station decommissioning subtotal(c)		89		599		37		725
Rabbi trust investments(d)(e)		4		0		0		4
Commodity mark-to-market derivative assets
Cash flow hedges		0		857		694		1,551
Other derivatives		0		1,653		124		1,777
Proprietary trading		0		240		48		288
Effect of netting and allocation of collateral(f)		0		(1,827)		(28)		(1,855)
Commodity Mark-to-market assets subtotal(g)		0		923		838		1,761
Total assets		3,410		5,222		888		9,520
Liabilities
Commodity mark-to-market derivative liabilities
Cash flow hedges		0		(13)		0		(13)
Other derivatives		(1)		(1,137)		(13)		(1,151)
Proprietary trading		0		(236)		(28)		(264)
Effect of netting and allocation of collateral(f)		0		1,295		20		1,315
Commodity Mark-to-market liabilities subtotal		(1)		(91)		(21)		(113)
Interest rate mark-to-market derivative liabilities		0		(19)		0		(19)
Deferred compensation		0		(18)		0		(18)
Total liabilities		(1)		(128)		(21)		(150)
Total net assets	$	3,409	$	5,094	$	867	$	9,370

The following tables present the fair value reconciliation of Level 3 assets and liabilities measured at fair value on a recurring basis during the three months ended March 31, 2012 and December 31, 2011:

Three Months Ended March 31, 2012		Nuclear Decommissioning Trust Fund Investments			Pledged Assets for Zion Station Decommissioning	Mark-to-Market Derivatives				Other Investments	Total
Balance as of December 31, 2011		$	13	$	37	$	817			-	$	867
Total unrealized / realized gains (losses)
	Included in income		-		-		74	(a)		-		74
	Included in other comprehensive income		-		-		(1)	(b)		-		(1)
Change in collateral			-		-		(23)			-		(23)
Purchases, sales, issuances and settlements
	Purchases (c)		-		6		316			14		336
	Sales		-		(1)		-			-		(1)
Transfers out of Level 3			-		-		(1)			-		(1)
Balance as of March 31, 2012		$	13	$	42	$	1,182		$	14	$	1,251
The amount of total gains included in income
	attributed to the change in unrealized gains related to assets and liabilities held for the year ended March 31, 2012	$	-	$	-	$	93				$	93

(a)Includes the reclassification of $19 million of realizedlossesdue to the settlement of derivative contracts recorded in results of operations.

(b)Includes $135 million of increases in fair value and $147 million of realized losses due to settlements during 2012 of Generation's financial swap contract with ComEd, which eliminates upon consolidation in Exelon's Consolidated Financial Statements.

(c) Includes $310 million of fair value from contracts and $14 million of other investments acquired as a result of the merger.

Three Months Ended March 31, 2011		Pledged Assets for Zion Station Decommissioning		Mark-to-Market Derivatives			Total
Balance as of December 31, 2010		$	0	$	1,030		$	1,030
Total realized / unrealized losses
	Included in net income		0		(13)	(a)		(13)
	Included in other comprehensive income		0		(55)	(b)		(55)
Change in collateral			0		5			5
Purchases			31		0			31
Transfers out of Level 3			0		(34)			(34)
Balance as of March 31, 2011		$	31	$	933		$	964
The amount of total losses included in income attributed to
	the change in unrealized losses related to assets and
	liabilities held for the three months ended March 31, 2011	$	0	$	(7)		$	(7)

(a)       Includes the reclassification of $6 million of realized gains due to the settlement of derivative contracts recorded in results of operations.

(b)Includes $67million changes in fair value and $112 million of realized losses due to settlements during 2011 of Generation's financial swap contract with ComEd and $1 million of changes in the fair value of Generation's block contract with PECO, which eliminates upon consolidation in Exelon's Consolidated Financial Statements..

The following table presents 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 three months ended March 31, 2012 and 2011:

Three Months Ended March 31, 2012		Operating Revenue		Purchased Power and Fuel
Total gains (losses) included in net income for the three
	months ended March 31, 2012	$	76	$	(2)
Change in the unrealized gains (losses) relating to assets and
	liabilities held for the three months ended March 31, 2012	$	104	$	(11)
Three Months Ended March 31, 2011		Operating Revenue		Purchased Power and Fuel
Total losses included in net income for the three months
	ended March 31, 2011	$	(3)	$	(10)
Change in the unrealized gains (losses) relating to assets and
	liabilities held for the three months ended March 31, 2011	$	4	$	(11)

ComEd

The following tables present assets and liabilities measured and recorded at fair value on ComEd's Consolidated Balance Sheets on a recurring basis and their level within the fair value hierarchy as of March 31, 2012 and December 31, 2011:

As of March 31, 2012		Level 1		Level 2		Level 3		Total
Assets
Cash equivalents (a)		$	3	$	0	$	0	$	3
Rabbi trust investments
Cash equivalents			1		0		0		1
Mutual funds			15		0		0		15
	Rabbi trust investment subtotal		16		0		0		16
Total assets			19		0		0		19
Liabilities
Deferred compensation obligation			0		(9)		0		(9)
Mark-to-market derivative liabilities (b)(c)			0		0		(823)		(823)
Total liabilities			0		(9)		(823)		(832)
Total net assets (liabilities)		$	19	$	(9)	$	(823)	$	(813)
As of December 31, 2011		Level 1		Level 2		Level 3		Total
Assets
Cash equivalents (a)		$	173	$	0	$	0	$	173
Rabbi trust investments
Cash equivalents			2		0		0		2
Mutual funds			19		0		0		19
	Rabbi trust investment subtotal		21		0		0		21
Total assets			194		0		0		194
Liabilities
Deferred compensation obligation			0		(8)		0		(8)
Mark-to-market derivative liabilities (b)(c)			0		0		(800)		(800)
Total liabilities			0		(8)		(800)		(808)
Total net assets (liabilities)		$	194	$	(8)	$	(800)	$	(614)

Three Months Ended March 31, 2012	Mark-to-Market Derivatives
Balance as of December 31, 2011	$	(800)
Total realized / unrealized losses included in regulatory assets (a)(b)		(23)
Balance as of March 31, 2012	$	(823)

Three Months Ended March 31, 2011		Mark-to-Market Derivatives
Balance as of December 31, 2010		$	(971)
	Total unrealized / realized gains included in regulatory assets(a)(b)		96
Balance as of March 31, 2011		$	(875)

• Includes $67 million of changes in the fair value and $112 million of realized gains due to settlements associated with ComEd's financial swap with Generation. All items eliminate upon consolidation in Exelon's Consolidated Financial Statements.
• Includes an increase in fair value of $51 million associated with floating-to-fixed energy swap contracts with unaffiliated suppliers.

PECO

The following tables present assets and liabilities measured and recorded at fair value on PECO's Consolidated Balance Sheets on a recurring basis and their level within the fair value hierarchy as of March 31, 2012 and December 31, 2011:

As of March 31, 2012	Level 1		Level 2		Level 3		Total
Assets
Cash equivalents	$	53	$	0	$	0	$	53
Rabbi trust investments - mutual funds(b)(c)		9		0		0		9
Total assets		62		0		0		62
Liabilities
Deferred compensation obligation		0		(21)		0		(21)
Total liabilities		0		(21)		0		(21)
Total net assets (liabilities)	$	62	$	(21)	$	0	$	41
As of December 31, 2011	Level 1		Level 2		Level 3		Total
Assets
Cash equivalents(a)	$	175	$	0	$	0	$	175
Rabbi trust investments - mutual funds(b)(c)		9		0		0		9
Total assets		184		0		0		184
Liabilities
Deferred compensation obligation		0		(21)		0		(21)
Total liabilities		0		(21)		0		(21)
Total net assets (liabilities)	$	184	$	(21)	$	0	$	163

Three Months Ended March 31, 2011	Mark-to-Market Derivatives
Balance as of December 31, 2010	$	(9)
Total realized / unrealized gains (losses)		2	(a)
Balance as of March 31, 2011	$	(7)

• Includes a $1 million increase related to the settlement of PECO's block contract with Generation, which eliminates upon consolidation in Exelon's Consolidated Financial Statements.

BGE

Assets and liabilities measured at fair value on BGE's Consolidated Balance Sheets on a recurring basis are limited to cash equivalents in the amount of $52 million classified as a Level 1 investment.

Valuation Techniques Used to Determine Fair Value

The following describes the valuation techniques used to measure the fair value of the assets and liabilities shown in the tables above.

Cash Equivalents (Exelon, Generation, ComEd, PECO and BGE).The Registrants' cash equivalents include investments with maturities of three months or less when purchased. The cash equivalents shown in the fair value tables are comprised of investments in mutual and money market funds and treasury bills. The fair values of the shares of these funds are based on observable market prices and, therefore, have been categorized in Level 1 in the fair value hierarchy.

Nuclear Decommissioning Trust Fund Investments and Pledged Assets for Zion Station Decommissioning (Exelon and Generation).The trust fund investments have been established to satisfy Exelon's and Generation's nuclear decommissioning obligations as required by the NRC. The NDT funds hold debt and equity securities directly and indirectly through commingled funds. Generation's investment policies place limitations on the types and investment grade ratings of the securities that may be held by the trusts. These policies limit the trust funds' exposures to investments in highly illiquid markets and other alternative investments. Investments with maturities of three months or less when purchased, including certain short-term fixed income securitiesare considered cash equivalents and included in the recurring fair value measurements hierarchy as Level 1.

With respect to individually held equity securities, the trustees obtain prices from pricing services, whose prices are obtained from direct feeds from market exchanges, which Generation is able to independently corroborate. The fair values of equity securities held directly by the trust funds are based on quoted prices in active markets and are categorized in Level 1. Equity securities held individually are primarily traded on the New York Stock Exchange and NASDAQ-Global Select Market, which contain only actively traded securities due to the volume tradingrequirements imposed by these exchanges.

For fixed income securities, multiple prices from pricing services are obtained whenever possible, which enables cross-provider validations in addition to checks for unusual daily movements. A primary price source is identified based on asset type, class or issue for each security. The trustees monitor prices supplied by pricing services and may use a supplemental price source or change the primary price source of a given security if the portfolio managers challenge an assigned price and the trustees determine that another price source is considered to be preferable. Generation has obtained an understanding of how these prices are derived, including the nature and observability of the inputs used in deriving such prices. Additionally, Generation selectively corroborates the fair values of securities by comparison to other market-based price sources. U.S. Treasury securities are categorized as Level 1 because they trade in a highly liquid and transparent market. The fair values of fixed income securities, excluding U.S. Treasury securities, are based on evaluated prices that reflect observable market information, such as actual trade information or similar securities, adjusted for observable differences and are categorized in Level 2.

Equity and fixed income commingled funds and fixed income mutual funds are maintained by investment companies and hold certain investments in accordance with a stated set of fund objectives. The fair values of fixed income commingled and mutual funds held within the trust funds, which generally hold short-term fixed income securities and are not subject to restrictions regarding the purchase or sale of shares, are derived from observable prices. The objectives of the remaining equity commingled funds in which Exelon and Generation invest primarily seek to track the performance of certain equity indices by purchasing equity securities to replicate the capitalization and characteristics of the indices. In general, equity commingled funds are redeemable on the 15th of the month and the last business day of the month; however, the fund manager may designate any day as a valuation date for the purpose of purchasing or redeeming units. Commingled and mutual funds are categorized in Level 2 because the fair value of the funds are based on NAVs per fund share (the unit of account), primarily derived from the quoted prices in active markets on the underlying equity securities. See Note 10 — Nuclear Decommissioning for further discussion on the NDT fund investments.

Direct lending funds are investments in managed funds which invest in private companies for long-term capital appreciation. The fair value of these securities is determined using either an enterprise value model or a bond valuation model. Investments in direct lending funds are categorized as Level 3 because the fair value of these securities is based largely on inputs that are unobservable and utilize complex valuation models.

Rabbi Trust Investments (Exelon, Generation, ComEd and PECO).The Rabbi trusts were established to hold assets related to deferred compensation plans existing for certain active and retired members of Exelon's executive management and directors. The investments in the Rabbi trusts are included in investments in the Registrants' Consolidated Balance Sheets. The investments are in fixed-income commingled funds and mutual funds, including short-term investment funds. These funds are maintained by investment companies and hold certain investments in accordance with a stated set of fund objectives, which are consistent with Exelon's overall investment strategy. The values of some of these funds are publicly quoted. For fixed-income commingled funds and mutual funds which are not publicly quoted, the fund administrators value the funds using the net asset value per fund share, derived from the quoted prices in active markets of the underlying securities. These funds have been categorized as Level 2. Fixed-income commingled funds and mutual funds which are publicly quoted, such as money market funds, have been categorized as Level 1 given the clear observability of the prices.

Mark-to-Market Derivatives (Exelon, Generation, ComEd and PECO).Derivative contracts are traded in both exchange-based and non-exchange-based markets. Exchange-based derivatives that are valued using unadjusted quoted prices in active markets are categorized in Level 1 in the fair value hierarchy. Certain non-exchange-based derivatives are valued using indicative price quotations available through brokers or over-the-counter, on-line exchanges and are categorized in Level 2. These price quotations reflect the average of the bid-ask, mid-point prices and are obtained from sources that the Registrants believe provide the most liquid market for the commodity. The price quotations are reviewed and corroborated to ensure the prices are observable and representative of an orderly transaction between market participants. This includes consideration of actual transaction volumes, market delivery points, bid-ask spreads and contract duration. The remainder of non-exchange-based derivative contracts is valued using the Black model, an industry standard option valuation model. The Black model takes into account inputs such as contract terms, including maturity, and market parameters, including assumptions of the future prices of energy, interest rates, volatility, credit worthiness and credit spread. For non-exchange-based derivatives that trade in liquid markets, such as generic forwards, swaps and options, model inputs are generally observable. Such instruments are categorized in Level 2. The Registrants' non-exchange-based derivatives are predominately at liquid trading points. For non-exchange-based derivatives that trade in less liquid markets with limited pricing information, such as the financial swap contract between Generation and ComEd, model inputs generally would include both observable and unobservable inputs. These valuations may include an estimated basis adjustment from an illiquid trading point to a liquid trading point for which active price quotations are available.

Exelon may utilize fixed-to-floating interest rate swaps, which are typically designated as fair value hedges, as a means to achieve its targeted level of variable-rate debt as a percent of total debt. In addition, the Registrants may utilize interest rate derivatives to lock in interest rate levels in anticipation of future financings. These interest rate derivatives are typically designated as cash flow hedges.Exelon determines the current fair value by calculating the net present value of expected payments and receipts under the swap agreement, based on and discounted by the market's expectation of future interest rates. Additional inputs to the net present value calculation may include the contract terms, counterparty credit risk and other market parameters. As these inputs are based on observable data and valuations of similar instruments, the interest rate swaps are categorized in Level 2 in the fair value hierarchy. See Note 7—Derivative Financial Instruments for further discussion on mark-to-market derivatives.

Deferred Compensation Obligations (Exelon, Generation, ComEd and PECO).The Registrants' deferred compensation plans allow participants to defer certain cash compensation into a notional investment account. The Registrants include such plans in other current and noncurrent liabilities in their Consolidated Balance Sheets. The value of the Registrants' deferred compensation obligations is based on the market value of the participants' notional investment accounts. The notional investments are comprised primarily of mutual funds, which are based on observable market prices. However, since the deferred compensation obligations themselves are not exchanged in an active market, they are categorized in Level 2 in the fair value hierarchy.

Additional Information Regarding Level 3 Fair Value Measurements (Exelon, Generation, ComEd)

For valuations that include both observable and unobservable inputs, if the unobservable input is determined to be significant to the overall inputs, the entire valuation is categorized in Level 3. This includes derivatives valued using indicative price quotations whose contract tenure extends into unobservable periods. In instances where observable data is unavailable, consideration is given to the assumptions that market participants would use in valuing the asset or liability. This includes assumptions about market risks such as liquidity, volatility and contract duration. Such instruments are categorized in Level 3 as the model inputs generally are not observable. Exelon's RMC approves risk management policies and objectives for risk assessment, control and valuation, counterparty credit approval, and the monitoring and reporting of risk exposures. The RMC is chaired by the chief risk officer and includes the chief executive officer, chief financial officer, corporate controller, general counsel, treasurer, vice president of strategy, vice president of audit services and officers representing Exelon's business units. The RMC reports to the Exelon Board of Directors on the scope of the risk management activities and is responsible for approving all valuation procedures at Exelon. Forward price curves for the power market utilized by the front office to manage the portfolio, are reviewed and verified by the middle office, and used for financial reporting by the back office. The Registrants consider credit and nonperformance risk in the valuation of derivative contracts categorized in Level 2 and 3, including both historical and current market data in its assessment of credit and nonperformance risk by counterparty. Due to master netting agreements and collateral posting requirements, the impacts of credit and nonperformance risk were not material to the financial statements. Transfers in and out of levels are recognized as of the end of the reporting period the transfer occurred. Given derivatives categorized within Level 1 are valued using exchange-based quoted prices within observable periods, transfers between Level 2 and Level 1 generally do not occur. Transfers into Level 2 from Level 3 generally occur when the contract tenure becomes more observable.

Disclosed below is detail surrounding the Registrants' significant Level 3 valuations. The most significant position is the long term intercompany swap with ComEd, which is further discussed in Note 7 –Derivative Financial Instruments. The calculated fair value includes marketability discounts for margining provisions and notional size. Generation's remaining Level 3 balance generally consists of forward sales and purchases of power and natural gas, coal purchases, and transmission congestion contracts. Generation utilizes various inputs and factors including market data and assumptions that market participants would use in pricing assets or liabilities as well as assumptions about the risks inherent in the inputs to the valuation technique. The inputs and factors include forward commodity prices, commodity price volatility, contractual volumes, delivery location, interest rates, credit quality of counterparties, Generation and ComEd, and credit enhancements.

For commodity derivatives, the primary input to the valuation models is the forward commodity price curve for each instrument. Forward commodity price curves are derived by the traders and portfolio managers considering published exchange transaction prices, executed bilateral transactions, broker quotes, and other observable or public data sources. The relevant forward commodity curve used to value each of the derivatives depends on a number of factors including commodity type, delivery location, and delivery period. Price volatility varies by commodity and location. When appropriate, Generation discounts future cash flows using risk free interest rates with adjustments to reflect the credit quality of each counterparty for assets and Generation's own credit quality for liabilities. The level of observability of a forward commodity price is generally due to a product of the delivery location and delivery period. Certain delivery locations including PJM West Hub (for power) and Henry Hub (for natural gas) are highly liquid and prices are observable for up to three years in the future.The forward curve for a less liquid location is estimated by using the forward curve from the liquid location and applying a spread to represent the cost to transport the commodity to the delivery location. This spread does not substantiate the majority of the instrument's market price. As a result, the change in fair value is closely tied to liquid market movements and not a change in the applied spread. The change in fair value associated with a change in the spread is generally immaterial. An average spread calculated across all Level 3 power and gas delivery locations is generally less than $4 and $.2506 for power and natural gas respectively.Many of the commodity derivatives are short term in nature and thus a majority of the fair value may be based on observable inputs even though the contract as a whole must be classified as Level 3. See Item 3.–Quantitative and Qualitative Disclosures About Market Risk for information regarding the maturity by year of the Registrant's mark-to-market derivative assets and liabilities.

On December 17, 2010, ComEd entered into several 20-year floating to fixed energy swap contracts with unaffiliated suppliers for the procurement of long-term renewable energy and associated RECs. See Note 7 –Derivative Financial Instruments for more information. The fair value of these swaps has been designated as a Level 3 valuation due to the long tenure of the positions and internal modeling assumptions. The modeling assumptions include using natural gas heat rates to project long term forward power curves adjusted by a renewable factor that incorporates time of day and seasonality factors to reflect accurate renewable energy pricing. In addition, marketability reserves are applied to the positions based on the tenor and supplier risk. The table below discloses the significant inputs to the forward curve used to value these positions.

Type of trade	Fair Value at March 31, 2012		Valuation Technique	Unobservable Input	Range
Mark-to-market derivatives – Economic Hedges (Generation) (a)			Discounted Cash Flow	Forward power price	$	14		-	$	71
	$	682		Forward gas price	$	1.95		-	$	3.08
			Option Model	Volatility percentage		40	%	-		60	%
Mark-to-market derivatives – Proprietary trading (Generation) (a)	$	(145)		Forward power price	$	17		-	$	71
			Option Model	Volatility percentage		20	%	-		60	%
Mark-to-market derivatives – Transactions with affiliates (Generation and ComEd) (b)	$	682	Discounted Cash Flow	Marketability reserve		8.2	%	-		10.8	%
Mark-to-market derivatives (ComEd)			Discounted Cash Flow	Forward heat rate (c)		6.5	%	-		8	%
	$	(141)		Marketability reserve		3.5	%	-		8.2	%
				Renewable factor		84	%	-		121	%

• The valuation techniques, unobservable inputs and ranges are the same for the asset and liability positions.
• Includes current and noncurrent assets for Generation and current and noncurrent liabilities for ComEd of $590 million and $92 million, respectively, related to the fair value of the five-year financial swap contract between Generation and ComEd, which eliminates in consolidation.
• 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.

The inputs listed above would have a direct impact on the fair values of the above instruments if they were adjusted. The significant unobservable inputs used in the fair value measurement of Generation's commodity derivatives are forward commodity prices and for options is price volatility. Increases (decreases) in the forward commodity price in isolation would result in significantly higher (lower) fair values for long positions (contracts that give us the obligation or option to purchase a commodity), with offsetting impacts to short positions (contracts that give us the obligation or right to sell a commodity). Increases (decreases) in volatility would increase (decrease) the value for the holder of the option (writer of the option). Generally, a change in the estimate of forward commodity prices is unrelated to a change in the estimate of volatility of prices. An increase to the reserves listed above would decrease the fair value of the positions. An increase to the heat rate or renewablefactors would increase the fair value accordingly. Generally, interrelationships exist between market prices of natural gas and power. As such, an increase in natural gas pricing would potentially have a similar impact on forward power markets.

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

(b)       Excludes net assets (liabilities)of $13 million and $(57) million at March 31, 2012 and December 31, 2011, respectively. Theseitems consist of receivables related to pending securities sales, interest and dividend receivables, and payables related to pending securities purchases.

(c)       Excludes net assets of $3 million and $9 million at March 31, 2012 and December 31, 2011. These items consist of receivables related to pending securities sales, interest and dividend receivables, and payables related to pending securities purchases.

(d)       The mutual funds held by the Rabbi trusts include $60 million related to deferred compensation and $15 million related to Supplemental Executive Retirement Plan. These funds are classified as Level 1 as they are valued based upon quoted prices (unadjusted) in active markets.

(e)       Excludes $27million and $25million of the cash surrender value of life insurance investments at March 31, 2012 and December 31, 2011, respectively.

(f)       Includes collateral postings received from counterparties. Collateral received from counterparties, net of collateral paid to counterparties, totaled $426, $(627) million and $(37) million allocated to Level 1, Level 2 and Level 3 mark-to-market derivatives, respectively, as of March 31, 2012. Collateral received from counterparties, net of collateral paid to counterparties, totaled $532 million and $8 million allocated to Level 2 and Level 3 mark-to-market derivatives, respectively, as of December 31, 2011.

(g)       The Level 3 balance does not include current and noncurrent assets for Generation and current and noncurrent liabilities for ComEd of $590 million and $92 million at March 31, 2012 and $503 million and $191 million at December 31, 2011, respectively, related to the fair value of Generation's financial swap contract with ComEd.

(h)       The Level 3 balance includes the current and noncurrent liability of $ 16 million and $125 million at March 31, 2012, respectively, and $9 million and $97 million at December 31, 2011, respectively, related to floating-to-fixed energy swap contracts with unaffiliated suppliers.

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

(b)       Excludes net assets (liabilities) of $13 million and $(57) million at March 31, 2012 and December 31, 2011, respectively. These items consist of receivables related to pending securities sales, interest and dividend receivables, and payables related to pending securities purchases.

(c)       Excludes net assets of $3 million and $9 million at March 31, 2012 and December 31, 2011, respectively. These items consist of receivables related to pending securities sales, interest and dividend receivables, and payables related to pending securities purchases.

(d)       The mutual funds held by the Rabbi trusts are classified as Level 1 as they are valued based upon quoted prices (unadjusted) in active markets.

(e)       Excludes $7 millionand $7 million of the cash surrender value of life insurance investments at March 31, 2012 and December 31, 2011, respectively.

(f)       Includes collateral postings received from counterparties. Collateral received from counterparties, net of collateral paid to counterparties, totaled $426, $(627) million and $(37) million allocated to Level 1, Level 2 and Level 3 mark-to-market derivatives, respectively, as of March 31, 2012. Collateral received from counterparties, net of collateral paid to counterparties, totaled $532 million and $8 million allocated to Level 2 and Level 3 mark-to-market derivatives, respectively, as of December 31, 2011.

(g)       The Level 3 balance includes current and noncurrent assets for Generation of $590 million and $92 million at March 31, 2012 and $503 million and $191 million at December 31, 2011, respectively, related to the fair value of Generation's financial swap contract with ComEd, which eliminatesupon consolidation in Exelon's Consolidated Financial Statements.

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

(b)       The Level 3 balance includes the current and noncurrent liability of $590 million and$92 million at March 31, 2012, respectively, and $503 million and $191 million at December 31, 2011, respectively, related to the fair value of ComEd's financial swap contract with Generation which eliminates upon consolidation in Exelon's Consolidated Financial Statements.

(c)       The Level 3 balance includes the current and noncurrent liability of $ 16 million and $125 million at March 31, 2012, respectively,and $9 million and $97 million at December 31, 2011, respectively, related to floating-to-fixed energy swap contracts with unaffiliated suppliers.

The following tables present the fair value reconciliation of Level 3 assets and liabilities measured at fair value on a recurring basis during the three and three months ended March 31, 2012 and 2011:

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

(b)       The mutual funds held by the Rabbi trusts are classified as Level 1 as they are valued based upon quoted prices (unadjusted) in active markets.

(c)       Excludes $14 million and $13 millionof the cash surrender value of life insurance investments at March 31, 2012 and December 31, 2011, respectively.

PECO had no Level 3 assets or liabilities measured at fair value on a recurring basis during the three months ended March 31, 2012.

The following table presents the fair value reconciliation of Level 3 assets and liabilities measured at fair value on a recurring basis during the three months ended 2011:

Servicing Liability (Exelon and PECO). PECO is party to an agreement with a financial institution under which it transferred an undivided interest, adjusted daily, in customer accounts receivables designated under the agreement in exchange for proceeds of $225 million, which PECO accounted for as a sale under previous guidance on accounting for transfers of financial assets. A servicing liability was recorded for the agreement in accordance with the applicable authoritative guidance for servicing of financial assets. The servicing liability was included in other current liabilities in Exelon's and PECO's Consolidated Balance Sheets. The fair value of the liability was determined using internal estimates based on provisions in the agreement, which were categorized as Level 3 inputs in the fair value hierarchy. The servicing liability was released in accordance with guidance on accounting for transfers of financial assets that was adopted on January 1, 2010.