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Fair Value of Financial Assets and Liabilities (Tables)
 3 Months Ended
Mar. 31, 2014
Fair Value Tables [Line Items]  
Fair value of financial liabilities recorded at the carrying amount
   March 31, 2014
   Carrying Fair Value
   AmountLevel 1Level 2Level 3Total
Short-term liabilities$983$3$980$0$983
Long-term debt (including amounts due within one year) 18,920 0 18,976 1,066 20,042
Long-term debt to financing trusts 648 0 0 648 648
SNF obligation 1,021 0 840 0 840
             
   December 31, 2013
   Carrying Fair Value
   AmountLevel 1Level 2Level 3Total
Short-term liabilities$344$3$341$0$344
Long-term debt (including amounts due within one year) 19,132 0 18,672 1,079 19,751
Long-term debt to financing trusts 648 0 0 631 631
SNF obligation 1,021 0 790 0 790
Fair value reconciliation of Level 3 assets and liabilities measured at fair value on a recurring basis
Three Months Ended March 31, 2014Nuclear Decommissioning Trust Fund InvestmentsPledged Assets for Zion Station DecommissioningMark-to-Market Derivatives Other InvestmentsTotal 
Balance as of December 31, 2013$ 350$112$272 $15$749 
Total realized / unrealized gains (losses)            
 Included in net income 1 0 (312)(a) 0 (311) 
 Included in regulatory assets 3 0 25  0 28 
 Included in payable for Zion Station decommissioning 0 (1) 0  0 (1) 
Change in collateral 0 0 144  0 144 
Purchases, sales, issuances and settlements            
 Purchases  139  30 10  2 181 
 Sales (1)  (4) (2)  0 (7) 
 Settlements (6) 0 0  0 (6) 
Transfers into Level 3 0 0 (26)  0 (26) 
Transfers out of Level 3 0 0 8  (7) 1 
              
Balance as of March 31, 2014$486$137$119 $10$752 
The amount of total losses included in income            
 attributed to the change in unrealized gains (losses) related to assets and liabilities held for the three months ended March 31, 2014$0$0$(446) $0$(446) 

 

(a) Includes an increase for the reclassification of $134 million of realized losses due to the settlement of derivative contracts recorded in results of operations for the three months ended March 31, 2014.

 

Three Months Ended March 31, 2013Nuclear Decommissioning Trust Fund InvestmentsPledged Assets for Zion Station DecommissioningMark-to-Market Derivatives Other Investments Total 
Balance as of December 31, 2012$183$ 89$367 $17 $656 
Total realized / unrealized gains (losses)              
 Included in net income 1  0 (127)(a) 0  (126) 
 Included in regulatory assets 1  0 (8)(b) 0  (7) 
Change in collateral 0  0 33  0  33 
Purchases, sales, issuances and settlements              
 Purchases 32  22 (5)(c) 0  49 
 Sales (7)  (7) (4)  (8)  (26) 
Transfers into Level 3 0  0 4  0  4 
                
Balance as of March 31, 2013$210$ 104$260 $9 $583 
The amount of total gains included in income              
 attributed to the change in unrealized gains related to assets and liabilities held for the three months ended March 31, 2013$1$ 0$(79) $0 $(78) 

 

(a)       Includes the reclassification of $48 million of realized losses due to the settlement of derivative contracts recorded in results of operations for the three months ended March 31, 2013.

(b)       Excludes increases in fair value of $8 million and realized losses reclassified due to settlements of $133 million associated with Generation's financial swap contract with ComEd for the three months ended March 31, 2013.

(c)       Includes $10 million which Generation was paid to enter into out of the money purchase contracts.

 
Total realized and unrealized gains (losses) included in income for Level 3 assets and liabilities measured at fair value on a recurring basis
 Operating Revenues Purchased Power and Fuel Other, net (a) 
Total losses included in net income for the three months ended         
 March 31, 2014$(268) $(44) $1 
Change in the unrealized losses relating to assets and liabilities         
 held for the three months ended March 31, 2014$(425) $(21) $0 
          
 Operating Revenues Purchased Power and Fuel Other, net (a) 
Total gains (losses) included in net income for the three months ended         
 March 31, 2013$(159) $32 $1 
Change in the unrealized gains (losses) relating to assets and liabilities         
 held for the three months ended March 31, 2013$(117) $38 $1 
Fair value reconciliation of Level 3 assets and liabilities measured at fair value on a recurring basis, valuation technique
Type of trade Fair Value at March 31, 2014 (c) Valuation Technique Unobservable Input Range
Mark-to-market derivatives – Economic Hedges (Generation) (a)  $186 Discounted Cash Flow Forward power price $19 -$155(d)
     Forward gas price $2.18 -$17.65(d)
    Option Model Volatility percentage  14%- 207%
                
Mark-to-market derivatives – Proprietary trading (Generation) (a) $(17) Discounted Cash Flow Forward power price $26 -$152(d)
    Option Model Volatility percentage  12%- 59%
                
Mark-to-market derivatives (ComEd) $(168) Discounted Cash Flow Forward heat rate (b)  8x- 9x
     Marketability reserve  3.5%- 8%
     Renewable factor  87%- 127%

  • The valuation techniques, unobservable inputs and ranges are the same for the asset and liability positions.
  • 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 fair values do not include cash collateral held on level three positions of $118 million as of March 31, 2014.
  • 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 $114 and $10.62, respectively.

 

Type of trade Fair Value at December 31, 2013 (c) Valuation Technique Unobservable Input Range
Mark-to-market derivatives – Economic Hedges (Generation) (a)  $488 Discounted Cash Flow Forward power price $8 -$176(d)
     Forward gas price $2.98 -$16.63(d)
    Option Model Volatility percentage  15%- 142%
                
Mark-to-market derivatives – Proprietary trading (Generation) (a) $3 Discounted Cash Flow Forward power price $10 -$176(d)
    Option Model Volatility percentage  14%- 19%
                
Mark-to-market derivatives (ComEd) $(193) Discounted Cash Flow Forward heat rate (b)  8x- 9x
     Marketability reserve  3.5%- 8%
     Renewable factor  84%- 128%

              

  • The valuation techniques, unobservable inputs and ranges are the same for the asset and liability positions.
  • 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 fair values do not include cash collateral held on level three positions of $26 million as of December 31, 2013
  • 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 $100 and $5.70, respectively.

 
Exelon Generation Co L L C [Member]
  
Fair Value Tables [Line Items]  
Fair value of financial liabilities recorded at the carrying amount
    March 31, 2014
    Carrying  Fair Value
    Amount Level 1 Level 2 Level 3 Total
Short-term liabilities $377 $0 $377 $0 $377
Long-term debt (including amounts due within one year)  7,490  0  6,684  1,066  7,750
SNF obligation  1,021  0  840  0  840
                  
    December 31, 2013
    Carrying  Fair Value
    Amount Level 1 Level 2 Level 3 Total
Short-term liabilities $22 $0 $22 $0 $22
Long-term debt (including amounts due within one year)  7,729 $0  6,586  1,062  7,648
SNF obligation  1,021  0  790  0  790
Assets and liabilities measured and recorded at fair value on recurring basis
As of March 31, 2014Level 1 Level 2 Level 3  Total
Assets           
Cash equivalents(a)$329 $0 $0 $ 329
Nuclear decommissioning trust fund investments           
Cash equivalents 304  0  0   304
Equity           
Individually held  1,813  0  0   1,813
Exchange traded funds  113  0  0   113
Commingled funds 0  2,053  0   2,053
Equity funds subtotal 1,926  2,053  0   3,979
Fixed income           
Debt securities issued by the U.S. Treasury and other U.S.            
government corporations and agencies 903  0  0   903
Debt securities issued by states of the United States and           
political subdivisions of the states 0  295  0   295
Debt securities issued by foreign governments 0  87  0   87
Corporate debt securities 0  1,795  126   1,921
Federal agency mortgage-backed securities 0  9  0   9
Commercial mortgage-backed securities (non-agency) 0  40  0   40
Residential mortgage-backed securities (non-agency) 0  7  0   7
Mutual funds 0  278  0   278
Fixed income subtotal 903  2,511  126   3,540
Middle market lending 0  0  356   356
Private Equity 0  0  4   4
Other debt obligations 0  15  0   15
Nuclear decommissioning trust fund investments subtotal(b) 3,133  4,579  486  8,198
            
Pledged assets for Zion Station decommissioning           
Cash equivalents 0  35  0   35
Equity           
Individually held 4  1  0   5
Equity funds subtotal 4  1  0  5
Fixed income           
Debt securities issued by the U.S. Treasury and other U.S.            
government corporations and agencies 36  4  0   40
Debt securities issued by states of the United States and           
political subdivisions of the states 0  18  0   18
Corporate debt securities 0  180  0   180
Fixed income subtotal 36  202  0  238
Middle market lending 0  0  137   137
Pledged assets for Zion Station decommissioning subtotal(c) 40  238  137  415
            
Rabbi trust investments           
Cash equivalents 1  0  0   1
Mutual funds(d) 13  0  0   13
Rabbi trust investments subtotal 14  0  0  14
            
Commodity derivative assets           
Economic hedges 592  2,778  1,271   4,641
Proprietary trading 354  808  179   1,341
Effect of netting and allocation of collateral(e) (826)  (2,957)  (911)   (4,694)
Commodity derivative assets subtotal 120  629  539   1,288
            
Interest rate and foreign currency derivative assets 24  27  0   51
Effect of netting and allocation of collateral (18)  (4)  0   (22)
Interest rate and foreign currency derivative assets subtotal 6  23  0   29
            
Other investments 13  0  10   23
            
Total assets 3,655  5,469  1,172   10,296
            
Liabilities           
Commodity derivative liabilities           
Economic hedges (586)  (2,624)  (1,085)   (4,295)
Proprietary trading (357)  (765)  (196)   (1,318)
Effect of netting and allocation of collateral(e) 943  3,289  1,029   5,261
Commodity derivative liabilities subtotal 0  (100)  (252)   (352)
            
Interest rate and foreign currency derivative liabilities (25)  (20)  0   (45)
Effect of netting and allocation of collateral 25  3  0   28
Interest rate and foreign currency derivative liabilities subtotal 0  (17)  0  (17)
            
Deferred compensation obligation 0  (29)  0   (29)
            
Total liabilities 0  (146)  (252)  (398)
            
Total net assets$3,655 $5,323 $920 $ 9,898
            
As of December 31, 2013Level 1 Level 2 Level 3  Total
Assets           
Cash equivalents(a)$1,006 $0 $0 $ 1,006
Nuclear decommissioning trust fund investments           
Cash equivalents 459  0  0   459
Equity           
Individually held 1,776  0  0   1,776
Exchange traded funds 115  0  0   115
Commingled funds 0  2,271  0   2,271
Equity funds subtotal 1,891  2,271  0   4,162
Fixed income           
Debt securities issued by the U.S. Treasury and other U.S.            
government corporations and agencies 882  0  0   882
Debt securities issued by states of the United States and           
political subdivisions of the states 0  294  0   294
Debt securities issued by foreign governments 0  87  0   87
Corporate debt securities 0  1,753  31   1,784
Federal agency mortgage-backed securities 0  10  0   10
Commercial mortgage-backed securities (non-agency) 0  40  0   40
Residential mortgage-backed securities (non-agency) 0  7  0   7
Mutual funds 0  18  0   18
Fixed income subtotal 882  2,209  31   3,122
Middle market lending 0  0  314   314
Private Equity 0  0  5   5
Other debt obligations 0  14  0   14
Nuclear decommissioning trust fund investments subtotal(b) 3,232  4,494  350   8,076
            
Pledged assets for Zion Station decommissioning           
Cash equivalents 0  26  0   26
Equity           
Individually held 16  0  0   16
Equity funds subtotal 16  0  0   16
Fixed income           
Debt securities issued by the U.S. Treasury and other U.S.            
government corporations and agencies 45  4  0   49
Debt securities issued by states of the United States and           
political subdivisions of the states 0  20  0   20
Corporate debt securities 0  227  0   227
Fixed income subtotal 45  251  0   296
Middle market lending 0  0  112   112
Other debt obligations 0  1  0   1
Pledged assets for Zion Station decommissioning subtotal(c) 61  278  112   451
            
Rabbi trust investments           
Mutual funds(d) 13  0  0   13
Rabbi trust investments subtotal 13  0  0  13
            
Commodity derivative assets           
Economic hedges 493  2,582  885  3,960
Proprietary trading 324  1,315  122  1,761
Effect of netting and allocation of collateral(e) (863)  (3,131)  (430)  (4,424)
Commodity and foreign currency assets subtotal (46)  766  577  1,297
            
Interest rate and foreign currency derivative assets 30  32  0  62
Effect of netting and allocation of collateral (30)  (2)  0  (32)
Interest rate and foreign currency derivative assets subtotal 0  30  0  30
            
Other investments 0  0  15  15
            
Total assets 4,266  5,568  1,054  10,888
            
Liabilities           
Commodity derivative liabilities           
Economic hedges (540)  (1,890)  (397)  (2,827)
Proprietary trading (328)  (1,256)  (119)  (1,703)
Effect of netting and allocation of collateral(e) 869  3,007  404  4,280
Commodity derivative liabilities subtotal 1  (139)  (112)  (250)
            
Interest rate derivative liabilities (31)  (13)  0  (44)
Effect of netting and allocation of collateral 31  1  0  32
Interest rate and foreign currency derivative liabilities 0  (12)  0  (12)
            
Deferred compensation obligation 0  (29)  0  (29)
            
Total liabilities 1  (180)  (112)  (291)
            
Total net assets$4,267 $5,388 $942 $10,597
Fair value reconciliation of Level 3 assets and liabilities measured at fair value on a recurring basis
Three Months Ended March 31, 2014Nuclear Decommissioning Trust Fund Investments Pledged Assets for Zion Station Decommissioning Mark-to-Market Derivatives Other Investments Total
Balance as of December 31, 2013$ 350 $112 $465 $15 $942
Total realized / unrealized losses              
 Included in net income 1  0  (312)(a) 0  (311)
 Included in noncurrent payables to affiliates 3  0  0  0  3
 Included in payable for Zion Station decommissioning 0   (1)  0  0  (1)
Change in collateral 0  0  144  0  144
Purchases, sales, issuances and settlements              
 Purchases  139   30  10  2  181
 Sales (1)   (4)  (2)  0  (7)
 Settlements (6)  0  0  0  (6)
Transfers into Level 3 0  0  (26)  0  (26)
Transfers out of Level 3 0  0  8  (7)  1
                
Balance as of March 31, 2014$486 $137 $287 $10 $920
The amount of total losses included in income              
 attributed to the change in unrealized gains (losses) related to assets and liabilities held for the three months ended March 31, 2014$0 $0 $(446) $0 $(446)

 

(a)       Includes an increase for the reclassification of $134 million of realized losses due to the settlement of derivative contracts recorded in results of operations.

 

 

Three Months Ended March 31, 2013Nuclear Decommissioning Trust Fund InvestmentsPledged Assets for Zion Station DecommissioningMark-to-Market Derivatives Other InvestmentsTotal
Balance as of December 31, 2012$183$89$660 $17$949
Total realized / unrealized losses           
 Included in net income 1 0 (144)(a)(b) 0 (143)
 Included in other comprehensive income 0 0 (124)(b) 0 (124)
 Included in noncurrent payables to affiliates 1 0 0  0 1
Change in collateral 0 0 33  0 33
Purchases, sales, issuances and settlements           
 Purchases  32 22 (5)(c) 0 49
 Sales (7) (7) (4)  (8) (26)
Transfers into Level 3 0 0 4  0 4
             
Balance as of March 31, 2013$210$104$420 $9$743
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, 2013           
 $1$0$(86) $0$(85)

 

(a)       Includes the reclassification of $58 million of realized losses due to the settlement of derivative contracts recorded in results of operations.

(b)       Includes $8 million of increases in fair value and $133 million of realized losses due to settlements during 2013 of Generation's financial swap contract with ComEd, which eliminates upon consolidation in Exelon's Consolidated Financial Statements.

(c)       Includes $10 million which Generation was paid to enter into out of the money purchase contracts.

 

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

 

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

 

 Operating Revenues Purchased Power and Fuel  Other, net(a) 
Total losses included in net income for the three          
 months ended March 31, 2014$(268) $(44) $1  
Change in the unrealized losses relating to assets and          
 liabilities held for the three months ended March 31, 2014$(425) $(21) $0  
            
 Operating Revenues Purchased Power and Fuel  Other, net(a) 
Total gains (losses) included in net income for the three months          
 ended March 31, 2013$(176) $32 $1  
Change in the unrealized gains (losses) relating to assets and          
 liabilities held for the three months ended March 31, 2013$(124) $38 $1  

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

 
Commonwealth Edison Co [Member]
  
Fair Value Tables [Line Items]  
Fair value of financial liabilities recorded at the carrying amount
    March 31, 2014
    Carrying  Fair Value
    Amount Level 1 Level 2 Level 3 Total
Short-term liabilities $534 $0 $534 $0 $534
Long-term debt (including amounts due within one year)  5,707  0  6,347  0  6,347
Long-term debt to financing trust  206  0  0  202  202
                  
    December 31, 2013
    Carrying  Fair Value
    Amount Level 1 Level 2 Level 3 Total
Short-term liabilities $184 $0 $184 $0 $184
Long-term debt (including amounts due within one year)  5,675  0  6,238  17  6,255
Long-term debt to financing trust  206  0  0  202  202
Fair value reconciliation of Level 3 assets and liabilities measured at fair value on a recurring basis
Three Months Ended March 31, 2014 Mark-to-Market Derivatives  
Balance as of December 31, 2013$ (193) 
Total realized / unrealized gains included in regulatory assets(a)  25 
Balance as of March 31, 2014$ (168) 

 

(a)       Includes $30 million of decrease in the fair value partially offset by realized gains due to settlements of $5 million recorded in purchased power expense associated with floating-to-fixed energy swap contracts with unaffiliated suppliers for the three months ended March 31, 2014.

Three Months Ended March 31, 2013 Mark-to-Market Derivatives 
Balance as of December 31, 2012$(293) 
Total unrealized / realized gains included in regulatory assets(a)(b) 133 
Balance as of March 31, 2013$(160) 

 

  • Includes $8 million of decreases in fair value and $133 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 $11 million of increases in fair value and realized losses due to settlements of $3 million recorded in purchased power expense associated with floating-to-fixed energy swap contracts with unaffiliated suppliers for the three ended March 31, 2013.

 
PECO Energy Co [Member]
  
Fair Value Tables [Line Items]  
Fair value of financial liabilities recorded at the carrying amount
    March 31, 2014
    Carrying  Fair Value
    Amount Level 1 Level 2 Level 3 Total
Long-term debt (including amounts due within one year) $2,197 $0 $2,392 $0 $2,392
Long-term debt to financing trusts  184  0  0  190  190
                  
    December 31, 2013
    Carrying  Fair Value
    Amount Level 1 Level 2 Level 3 Total
Long-term debt (including amounts due within one year)  2,197  0  2,358  0  2,358
Long-term debt to financing trusts  184  0  0  180  180
Baltimore Gas and Electric Company [Member]
  
Fair Value Tables [Line Items]  
Fair value of financial liabilities recorded at the carrying amount
    March 31, 2014
    Carrying  Fair Value
    Amount Level 1  Level 2 Level 3 Total
Short-term liabilities $72 $3 $69 $0 $72
Long-term debt (including amounts due within one year)  2,011  0  2,183  0  2,183
Long-term debt to financing trusts  258  0  0  256  256
                  
    December 31, 2013
    Carrying  Fair Value
    Amount Level 1  Level 2 Level 3 Total
Short-term liabilities $138 $3 $135 $0 $138
Long-term debt (including amounts due within one year)  2,011  0  2,148  0  2,148
Long-term debt to financing trusts  258  0  0  249  249