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Fair Value of Financial Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 2019

Fair Value of Financial Liabilities Recorded at Amortized Cost

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 September 30, 2019 and December 31, 2018. The Registrants have no financial liabilities classified as Level 1.

The carrying amounts of the Registrants’ short-term liabilities as presented on their Consolidated Balance Sheets are representative of their fair value (Level 2) because of the short-term nature of these instruments.



	September 30, 2019								December 31, 2018
	Carrying Amount		Fair Value						Carrying Amount		Fair Value
	Carrying Amount		Level 2		Level 3		Total		Carrying Amount		Level 2		Level 3		Total
Long-Term Debt, including amounts due within one year^(a)
Exelon	$	36,304	$	38,056	$	2,541	$	40,597	$	35,424	$	33,711	$	2,158	$	35,869
Generation	8,613		7,962		1,398		9,360		8,793		7,467		1,443		8,910
ComEd	8,196		9,622		—		9,622		8,101		8,390		—		8,390
PECO	3,404		3,891		50		3,941		3,084		3,157		50		3,207
BGE	3,270		3,678		—		3,678		2,876		2,950		—		2,950
PHI	6,494		5,993		1,093		7,086		6,259		5,436		665		6,101
Pepco	2,860		3,249		395		3,644		2,719		2,901		196		3,097
DPL	1,495		1,437		232		1,669		1,494		1,303		193		1,496
ACE	1,324		1,034		466		1,500		1,188		987		275		1,262
Long-Term Debt to Financing Trusts^(a)
Exelon	$	390	$	—	$	426	$	426	$	390	$	—	$	400	$	400
ComEd	205		—		223		223		205		—		209		209
PECO	184		—		203		203		184		—		191		191
SNF Obligation
Exelon	$	1,193	$	1,017	$	—	$	1,017	$	1,171	$	949	$	—	$	949
Generation	1,193		1,017		—		1,017		1,171		949		—		949

____

(a)

Includes unamortized debt issuance costs which are not fair valued.

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

Recurring Fair Value Measurements

The following tables present assets and liabilities measured and recorded at fair value in the Registrants' Consolidated Balance Sheets on a recurring basis and their level within the fair value hierarchy as of September 30, 2019 and December 31, 2018:

Exelon and Generation



	Exelon										Generation
As of September 30, 2019	Level 1		Level 2		Level 3		Not subject to leveling		Total		Level 1		Level 2		Level 3		Not subject to leveling		Total
Assets
Cash equivalents^(a)	$	1,719	$	—	$	—	$	—	$	1,719	$	896	$	—	$	—	$	—	$	896
NDT fund investments
Cash equivalents^(b)	315		78		—		—		393		315		78		—		—		393
Equities	3,121		1,727		—		1,314		6,162		3,121		1,727		—		1,314		6,162
Fixed income
Corporate debt	—		1,473		259		—		1,732		—		1,473		259		—		1,732
U.S. Treasury and agencies	1,777		152		—		—		1,929		1,777		152		—		—		1,929
Foreign governments	—		56		—		—		56		—		56		—		—		56
State and municipal debt	—		85		—		—		85		—		85		—		—		85
Other^(c)	—		23		—		979		1,002		—		23		—		979		1,002



	Exelon														Generation
As of September 30, 2019	Level 1			Level 2			Level 3			Not subject to leveling		Total			Level 1			Level 2			Level 3			Not subject to leveling		Total
Fixed income subtotal	1,777			1,789			259			979		4,804			1,777			1,789			259			979		4,804
Middle market lending	—			—			255			445		700			—			—			255			445		700
Private equity	—			—			—			398		398			—			—			—			398		398
Real estate	—			—			—			581		581			—			—			—			581		581
NDT fund investments subtotal^(d)	5,213			3,594			514			3,717		13,038			5,213			3,594			514			3,717		13,038
Rabbi trust investments
Cash equivalents	49			—			—			—		49			4			—			—			—		4
Mutual funds	77			—			—			—		77			24			—			—			—		24
Fixed income	—			13			—			—		13			—			—			—			—		—
Life insurance contracts	—			76			40			—		116			—			24			—			—		24
Rabbi trust investments subtotal	126			89			40			—		255			28			24			—			—		52
Commodity derivative assets
Economic hedges	533			1,488			1,817			—		3,838			533			1,488			1,817			—		3,838
Proprietary trading	—			54			156			—		210			—			54			156			—		210
Effect of netting and allocation of collateral^(e)(f)	(677		)	(1,261		)	(1,025		)	—		(2,963		)	(677		)	(1,261		)	(1,025		)	—		(2,963		)
Commodity derivative assets subtotal	(144		)	281			948			—		1,085			(144		)	281			948			—		1,085
Total assets	6,914			3,964			1,502			3,717		16,097			5,993			3,899			1,462			3,717		15,071
Liabilities
Commodity derivative liabilities
Economic hedges	(773		)	(1,695		)	(1,686		)	—		(4,154		)	(773		)	(1,695		)	(1,406		)	—		(3,874		)
Proprietary trading	—			(59		)	(89		)	—		(148		)	—			(59		)	(89		)	—		(148		)
Effect of netting and allocation of collateral^(e)(f)	770			1,585			1,329			—		3,684			770			1,585			1,329			—		3,684
Commodity derivative liabilities subtotal	(3		)	(169		)	(446		)	—		(618		)	(3		)	(169		)	(166		)	—		(338		)
Deferred compensation obligation	—			(140		)	—			—		(140		)	—			(37		)	—			—		(37		)
Total liabilities	(3		)	(309		)	(446		)	—		(758		)	(3		)	(206		)	(166		)	—		(375		)
Total net assets	$	6,911		$	3,655		$	1,056		$	3,717	$	15,339		$	5,990		$	3,693		$	1,296		$	3,717	$	14,696



	Exelon														Generation
As of December 31, 2018	Level 1			Level 2			Level 3			Not subject to leveling		Total			Level 1			Level 2			Level 3			Not subject to leveling		Total
Assets
Cash equivalents^(a)	$	1,243		$	—		$	—		$	—	$	1,243		$	581		$	—		$	—		$	—	$	581
NDT fund investments
Cash equivalents^(b)	252			86			—			—		338			252			86			—			—		338
Equities	2,918			1,591			—			1,381		5,890			2,918			1,591			—			1,381		5,890
Fixed income
Corporate debt	—			1,593			230			—		1,823			—			1,593			230			—		1,823
U.S. Treasury and agencies	2,081			99			—			—		2,180			2,081			99			—			—		2,180
Foreign governments	—			50			—			—		50			—			50			—			—		50
State and municipal debt	—			149			—			—		149			—			149			—			—		149
Other^(c)	—			30			—			846		876			—			30			—			846		876
Fixed income subtotal	2,081			1,921			230			846		5,078			2,081			1,921			230			846		5,078
Middle market lending	—			—			313			367		680			—			—			313			367		680
Private equity	—			—			—			329		329			—			—			—			329		329
Real estate	—			—			—			510		510			—			—			—			510		510
NDT fund investments subtotal^(d)	5,251			3,598			543			3,433		12,825			5,251			3,598			543			3,433		12,825
Rabbi trust investments
Cash equivalents	48			—			—			—		48			5			—			—			—		5
Mutual funds	72			—			—			—		72			24			—			—			—		24
Fixed income	—			15			—			—		15			—			—			—			—		—
Life insurance contracts	—			70			38			—		108			—			22			—			—		22
Rabbi trust investments subtotal	120			85			38			—		243			29			22			—			—		51
Commodity derivative assets
Economic hedges	541			2,760			1,470			—		4,771			541			2,760			1,470			—		4,771
Proprietary trading	—			69			77			—		146			—			69			77			—		146
Effect of netting and allocation of collateral^(e)(f)	(582		)	(2,357		)	(732		)	—		(3,671		)	(582		)	(2,357		)	(732		)	—		(3,671		)
Commodity derivative assets subtotal	(41		)	472			815			—		1,246			(41		)	472			815			—		1,246
Total assets	6,573			4,155			1,396			3,433		15,557			5,820			4,092			1,358			3,433		14,703



	Exelon														Generation
As of December 31, 2018	Level 1			Level 2			Level 3			Not subject to leveling		Total			Level 1			Level 2			Level 3			Not subject to leveling		Total
Liabilities
Commodity derivative liabilities
Economic hedges	(642		)	(2,963		)	(1,276		)	—		(4,881		)	(642		)	(2,963		)	(1,027		)	—		(4,632		)
Proprietary trading	—			(73		)	(21		)	—		(94		)	—			(73		)	(21		)	—		(94		)
Effect of netting and allocation of collateral^(e)(f)	639			2,581			808			—		4,028			639			2,581			808			—		4,028
Commodity derivative liabilities subtotal	(3		)	(455		)	(489		)	—		(947		)	(3		)	(455		)	(240		)	—		(698		)
Deferred compensation obligation	—			(137		)	—			—		(137		)	—			(35		)	—			—		(35		)
Total liabilities	(3		)	(592		)	(489		)	—		(1,084		)	(3		)	(490		)	(240		)	—		(733		)
Total net assets	$	6,570		$	3,563		$	907		$	3,433	$	14,473		$	5,817		$	3,602		$	1,118		$	3,433	$	13,970

_________

(a)

Exelon excludes cash of $347 million and $458 million at September 30, 2019 and December 31, 2018, respectively, and restricted cash of $112 million and $80 million at September 30, 2019 and December 31, 2018, respectively, and includes long-term restricted cash of $186 million and $185 million at September 30, 2019 and December 31, 2018, respectively, which is reported in Other deferred debits in the Consolidated Balance Sheets. Generation excludes cash of $183 million and $283 million at September 30, 2019 and December 31, 2018, respectively, and restricted cash of $66 million and $39 million at September 30, 2019 and December 31, 2018, respectively.


(b)	Includes $85 million and $50 million of cash received from outstanding repurchase agreements at September 30, 2019 and December 31, 2018, respectively, and is offset by an obligation to repay upon settlement of the agreement as discussed in (d) below.

(c)

Includes a derivative liability of $2 million and a derivative asset of $44 million, which have total notional amounts of $864 million and $1,432 million at September 30, 2019 and December 31, 2018, 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 Exelon and Generation's exposure to credit or market loss.

(d)

Excludes net liabilities of $176 million and $130 million at September 30, 2019 and December 31, 2018, 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)

Collateral posted/(received) from counterparties totaled $93 million, $324 million and $304 million allocated to Level 1, Level 2 and Level 3 mark-to-market derivatives, respectively, as of September 30, 2019. Collateral posted/(received) from counterparties, net of collateral paid to counterparties, totaled $57 million, $224 million and $76 million allocated to Level 1, Level 2 and Level 3 mark-to-market derivatives, respectively, as of December 31, 2018.


(f)	Of the collateral posted/(received), $306 million and $(94) million represents variation margin on the exchanges as of September 30, 2019 and December 31, 2018, respectively.

As of September 30, 2019, Exelon and Generation have outstanding commitments to invest in fixed income, middle market lending, private equity and real estate investments of approximately $93 million, $241 million, $383 million, and $388 million, respectively. These commitments will be funded by Generation’s existing NDT funds.

Exelon and Generation hold investments without readily determinable fair values with carrying amounts of $75 million as of September 30, 2019. Changes were immaterial in fair value, cumulative adjustments and impairments for the three and nine months ended September 30, 2019.

Valuation Techniques Used to Determine Net Asset Value

Certain NDT Fund Investments are not classified within the fair value hierarchy and are included under the heading “Not subject to leveling” in the table above. These investments are measured at fair value using NAV per share as a practical expedient and include commingled funds, mutual funds which are not publicly quoted, managed middle market funds, private equity and real estate funds.

For commingled funds and mutual funds, which are not publicly quoted, the fair value is primarily derived from the quoted prices in active markets on the underlying securities and can typically be redeemed monthly with 30 or less days of notice and without further restrictions. For managed middle market funds, the fair value is determined using a combination of valuation models including cost models, market models, and income models and typically cannot be redeemed until maturity of the term loan. Private equity and real estate investments include those in limited partnerships that invest in operating companies and real estate holding companies that are not publicly traded on a stock exchange, such as, leveraged buyouts, growth capital, venture capital, distressed investments, investments in natural resources, and direct investments in pools of real estate properties. These investments typically cannot be redeemed and are generally liquidated over a period of 8 to 10 years from the initial investment date, which is based on Exelon’s understanding of the investment funds. Private equity and real estate valuations are reported by the fund manager and are based on the valuation of the underlying investments, which include inputs such as cost, operating results, discounted future cash flows, market based comparable data, and independent appraisals from sources with professional qualifications. These valuation inputs are unobservable.

ComEd, PECO and BGE



	ComEd											PECO										BGE
As of September 30, 2019	Level 1		Level 2			Level 3			Total			Level 1		Level 2			Level 3		Total			Level 1		Level 2			Level 3		Total
Assets
Cash equivalents^(a)	$	264	$	—		$	—		$	264		$	207	$	—		$	—	$	207		$	122	$	—		$	—	$	122
Rabbi trust investments
Mutual funds	—		—			—			—			8		—			—		8			7		—			—		7
Life insurance contracts	—		—			—			—			—		11			—		11			—		—			—		—
Rabbi trust investments subtotal	—		—			—			—			8		11			—		19			7		—			—		7
Total assets	264		—			—			264			215		11			—		226			129		—			—		129
Liabilities
Deferred compensation obligation	—		(7		)	—			(7		)	—		(8		)	—		(8		)	—		(5		)	—		(5		)
Mark-to-market derivative liabilities^(b)	—		—			(280		)	(280		)	—		—			—		—			—		—			—		—
Total liabilities	—		(7		)	(280		)	(287		)	—		(8		)	—		(8		)	—		(5		)	—		(5		)
Total net assets (liabilities)	$	264	$	(7	)	$	(280	)	$	(23	)	$	215	$	3		$	—	$	218		$	129	$	(5	)	$	—	$	124



	ComEd											PECO										BGE
As of December 31, 2018	Level 1		Level 2			Level 3			Total			Level 1		Level 2			Level 3		Total			Level 1		Level 2			Level 3		Total
Assets
Cash equivalents^(a)	$	209	$	—		$	—		$	209		$	111	$	—		$	—	$	111		$	4	$	—		$	—	$	4
Rabbi trust investments
Mutual funds	—		—			—			—			7		—			—		7			6		—			—		6
Life insurance contracts	—		—			—			—			—		10			—		10			—		—			—		—
Rabbi trust investments subtotal	—		—			—			—			7		10			—		17			6		—			—		6
Total assets	209		—			—			209			118		10			—		128			10		—			—		10
Liabilities
Deferred compensation obligation	—		(6		)	—			(6		)	—		(10		)	—		(10		)	—		(5		)	—		(5		)
Mark-to-market derivative liabilities^(b)	—		—			(249		)	(249		)	—		—			—		—			—		—			—		—
Total liabilities	—		(6		)	(249		)	(255		)	—		(10		)	—		(10		)	—		(5		)	—		(5		)
Total net assets (liabilities)	$	209	$	(6	)	$	(249	)	$	(46	)	$	118	$	—		$	—	$	118		$	10	$	(5	)	$	—	$	5

_________

(a)

ComEd excludes cash of $76 million and $93 million at September 30, 2019 and December 31, 2018, respectively, and restricted cash of $31 million and $28 million at September 30, 2019 and December 31, 2018, respectively, and includes long-term restricted cash of $171 million and $166 million at September 30, 2019 and December 31, 2018, respectively, which is reported in Other deferred debits in the Consolidated Balance Sheets. PECO excludes cash of $23 million and $24 million at September 30, 2019 and December 31, 2018, respectively. BGE excludes cash of $8 million and $7 million at September 30, 2019 and December 31, 2018, respectively, and restricted cash of $1 million and $2 million at September 30, 2019 and December 31, 2018, respectively.


(b)	The Level 3 balance consists of the current and noncurrent liability of $27 million and $253 million, respectively, at September 30, 2019, and $26 million and $223 million, respectively, at December 31, 2018, related to floating-to-fixed energy swap contracts with unaffiliated suppliers.

PHI, Pepco, DPL and ACE



	As of September 30, 2019										As of December 31, 2018
PHI	Level 1		Level 2			Level 3		Total			Level 1		Level 2			Level 3		Total
Assets
Cash equivalents^(a)	$	107	$	—		$	—	$	107		$	147	$	—		$	—	$	147
Rabbi trust investments
Cash equivalents	43		—			—		43			42		—			—		42
Mutual funds	13		—			—		13			13		—			—		13
Fixed income	—		13			—		13			—		15			—		15
Life insurance contracts	—		24			40		64			—		22			38		60
Rabbi trust investments subtotal	56		37			40		133			55		37			38		130
Total assets	163		37			40		240			202		37			38		277
Liabilities
Deferred compensation obligation	—		(19		)	—		(19		)	—		(21		)	—		(21		)
Total liabilities	—		(19		)	—		(19		)	—		(21		)	—		(21		)
Total net assets	$	163	$	18		$	40	$	221		$	202	$	16		$	38	$	256



	Pepco										DPL								ACE
As of September 30, 2019	Level 1		Level 2			Level 3		Total			Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Assets
Cash equivalents^(a)	$	34	$	—		$	—	$	34		$	—	$	—	$	—	$	—	$	18	$	—	$	—	$	18
Rabbi trust investments
Cash equivalents	43		—			—		43			—		—		—		—		—		—		—		—
Fixed income	—		3			—		3			—		—		—		—		—		—		—		—
Life insurance contracts	—		24			40		64			—		—		—		—		—		—		—		—
Rabbi trust investments subtotal	43		27			40		110			—		—		—		—		—		—		—		—
Total assets	77		27			40		144			—		—		—		—		18		—		—		18
Liabilities
Deferred compensation obligation	—		(2		)	—		(2		)	—		—		—		—		—		—		—		—
Total liabilities	—		(2		)	—		(2		)	—		—		—		—		—		—		—		—
Total net assets	$	77	$	25		$	40	$	142		$	—	$	—	$	—	$	—	$	18	$	—	$	—	$	18



	Pepco										DPL										ACE
As of December 31, 2018	Level 1		Level 2			Level 3		Total			Level 1		Level 2			Level 3		Total			Level 1		Level 2		Level 3		Total
Assets
Cash equivalents^(a)	$	38	$	—		$	—	$	38		$	16	$	—		$	—	$	16		$	23	$	—	$	—	$	23
Rabbi trust investments
Cash equivalents	41		—			—		41			—		—			—		—			—		—		—		—
Fixed income	—		5			—		5			—		—			—		—			—		—		—		—
Life insurance contracts	—		22			37		59			—		—			—		—			—		—		—		—
Rabbi trust investments subtotal	41		27			37		105			—		—			—		—			—		—		—		—
Total assets	79		27			37		143			16		—			—		16			23		—		—		23
Liabilities
Deferred compensation obligation	—		(3		)	—		(3		)	—		(1		)	—		(1		)	—		—		—		—
Total liabilities	—		(3		)	—		(3		)	—		(1		)	—		(1		)	—		—		—		—
Total net assets (liabilities)	$	79	$	24		$	37	$	140		$	16	$	(1	)	$	—	$	15		$	23	$	—	$	—	$	23

_________

(a)

PHI excludes cash of $45 million and $39 million at September 30, 2019 and December 31, 2018, respectively, and includes long-term restricted cash of $15 million and $19 million at September 30, 2019 and December 31, 2018, respectively, which is reported in Other deferred debits in the Consolidated Balance Sheets. Pepco excludes cash of $18 million and $15 million at September 30, 2019 and December 31, 2018, respectively. DPL excludes cash of $11 million and $8 million at September 30, 2019 and December 31, 2018, respectively. ACE excludes cash of $13 million and $7 million at September 30, 2019 and December 31, 2018, respectively, and includes long-term restricted cash of $15 million and $19 million at September 30, 2019 and December 31, 2018, respectively, which is reported in Other deferred debits in the Consolidated Balance Sheets.

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

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 nine months ended September 30, 2019 and 2018:



	Exelon			Generation										ComEd				PHI and Pepco
Three Months Ended September 30, 2019	Total			NDT Fund Investments			Mark-to-Market Derivatives				Total Generation			Mark-to-Market Derivatives				Life Insurance Contracts		Eliminated in Consolidation
Balance as of June 30, 2019	$	1,179		$	539		$	873			$	1,412		$	(273	)		$	40	$	—
Total realized / unrealized gains (losses)
Included in net income	(171		)	2			(173		)	^(a)	(171		)	—				—		—
Included in noncurrent payables to affiliates	—			11			—				11			—				—		(11		)
Included in regulatory assets/liabilities	4			—			—				—			(7		)	^(b)	—		11
Change in collateral	41			—			41				41			—				—		—
Purchases, sales, issuances and settlements
Purchases	53			1			52				53			—				—		—
Sales	(22		)	(21		)	(1		)		(22		)	—				—		—
Settlements	(18		)	(18		)	—				(18		)	—				—		—
Transfers into Level 3	1			—			1			^(c)	1			—				—		—
Transfers out of Level 3	(11		)	—			(11		)	^(c)	(11		)	—				—		—
Balance at September 30, 2019	$	1,056		$	514		$	782			$	1,296		$	(280	)		$	40	$	—
The amount of total (losses) gains included in income attributed to the change in unrealized gains (losses) related to assets and liabilities as of September 30, 2019	$	(18	)	$	2		$	(20	)		$	(18	)	$	—			$	—	$	—



	Exelon			Generation										ComEd				PHI and Pepco
Nine Months Ended September 30, 2019	Total			NDT Fund Investments			Mark-to-Market Derivatives				Total Generation			Mark-to-Market Derivatives				Life Insurance Contracts		Eliminated in Consolidation
Balance as of December 31, 2018	$	907		$	543		$	575			$	1,118		$	(249	)		$	38	$	—
Total realized / unrealized gains (losses)
Included in net income	(125		)	5			(132		)	^(a)	(127		)	—				2		—
Included in noncurrent payables to affiliates	—			32			—				32			—				—		(32		)
Included in regulatory assets	1			—			—				—			(31		)	^(b)	—		32
Change in collateral	227			—			227				227			—				—		—
Purchases, sales, issuances and settlements
Purchases	163			43			120				163			—				—		—
Sales	(23		)	(21		)	(2		)		(23		)	—				—		—
Settlements	(88		)	(88		)	—				(88		)	—				—		—
Transfers into Level 3	5			—			5			^(c)	5			—				—		—
Transfers out of Level 3	(11		)	—			(11		)	^(c)	(11		)	—				—		—
Balance as of September 30, 2019	$	1,056		$	514		$	782			$	1,296		$	(280	)		$	40	$	—
The amount of total gains (losses) included in income attributed to the change in unrealized gains (losses) related to assets and liabilities as of September 30, 2019	$	173		$	5		$	166			$	171		$	—			$	2	$	—

__________


(a)	Includes a reduction for the reclassification of $153 million and $298 million of realized gains due to the settlement of derivative contracts for the three and nine months ended September 30, 2019, respectively.

(b)

Includes $7 million of decreases in fair value and an increase for realized losses due to settlements of $4 million recorded in purchased power expense associated with floating-to-fixed energy swap contracts with unaffiliated suppliers for the three months ended September 30, 2019. Includes $31 million of decreases in fair value and an increase for realized losses due to settlements of $17 million recorded in purchased power expense associated with floating-to-fixed energy swap contracts with unaffiliated suppliers for the nine months ended September 30, 2019.


(c)	Transfers into and out of Level 3 generally occur when the contract tenor becomes less and more observable respectively, primarily due to changes in market liquidity or assumptions for certain commodity contracts.



	Exelon			Generation										ComEd				PHI and Pepco
Three Months Ended September 30, 2018	Total			NDT Fund Investments			Mark-to-Market Derivatives				Total Generation			Mark-to-Market Derivatives				Life Insurance Contracts		Eliminated in Consolidation
Balance as of June 30, 2018	$	1,106		$	585		$	737			$	1,322		$	(252	)		$	36	$	—
Total realized / unrealized gains (losses)
Included in net income	(259		)	(1		)	(259		)	^(a)	(260		)	—				1		—
Included in noncurrent payables to affiliates	—			(4		)	—				(4		)	—				—		4
Included in regulatory assets	(11		)	—			—				—			(7		)	^(b)	—		(4		)
Change in collateral	(44		)	—			(44		)		(44		)	—				—		—
Purchases, sales, issuances and settlements
Purchases	96			15			81				96			—				—		—
Settlements	(29		)	(29		)	—				(29		)	—				—		—
Transfers into Level 3	3			—			3			^(c)	3			—				—		—
Transfers out of Level 3	(6		)	—			(6		)	^(c)	(6		)	—				—		—
Balance as of September 30, 2018	$	856		$	566		$	512			$	1,078		$	(259	)		$	37	$	—
The amount of total gains (losses) included in income attributed to the change in unrealized gains (losses) related to assets and liabilities as of September 30, 2018	$	(105	)	$	(1	)	$	(104	)		$	(105	)	$	—			$	—	$	—



	Exelon			Generation										ComEd				PHI and Pepco
Nine Months Ended September 30, 2018	Total			NDT Fund Investments			Mark-to-Market Derivatives				Total Generation			Mark-to-Market Derivatives				Life Insurance Contracts		Eliminated in Consolidation
Balance as of December 31, 2017	$	966		$	648		$	552			$	1,200		$	(256	)		$	22	$	—
Total realized / unrealized gains (losses)
Included in net income	(186		)	(1		)	(188		)	^(a)	(189		)	—				3		—
Included in regulatory assets	(3		)	—			—				—			(3		)	^(b)	—		—
Change in collateral	14			—			14				14			—				—		—
Purchases, sales, issuances and settlements
Purchases	215			34			181				215			—				—		—
Sales	(3		)	—			(3		)		(3		)	—				—		—
Settlements	(103		)	(115		)	—				(115		)	—				12		—
Transfers into Level 3	(21		)	—			(21		)	^(c)	(21		)	—				—		—
Transfers out of Level 3	(23		)	—			(23		)	^(c)	(23		)	—				—		—
Balance as of September 30, 2018	$	856		$	566		$	512			$	1,078		$	(259	)		$	37	$	—
The amount of total gains (losses) included in income attributed to the change in unrealized gains (losses) related to assets and liabilities as of September 30, 2018	$	154		$	(5	)	$	159			$	154		$	—			$	—	$	—

__________


(a)	Includes a reduction for the reclassification of $155 million and $347 million of realized losses due to the settlement of derivative contracts for the three and nine months ended September 30, 2018, respectively.

(b)

Includes $4 million of increases in fair value and an increase for 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 months ended September 30, 2018. Includes $9 million of decreases in fair value and an increase for realized losses due to settlements of $12 million recorded in purchased power expense associated with floating-to-fixed energy swap contracts with unaffiliated suppliers for the nine months ended September 30, 2018.

(c)

Transfers into and out of Level 3 generally occur when the contract tenor becomes less and more observable respectively, primarily due to changes in market liquidity or assumptions for certain commodity contracts.

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 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 three and nine months ended September 30, 2019 and 2018:



	Exelon										Generation								PHI and Pepco
	Operating Revenues			Purchased Power and Fuel			Operating and Maintenance		Other, net		Operating Revenues			Purchased Power and Fuel			Other, net		Operating and Maintenance
Total realized (losses) gains for the three months ended September 30, 2019	$	(25	)	$	(148	)	$	—	$	2	$	(25	)	$	(148	)	$	2	$	—
Total realized gains (losses) for the nine months ended September 30, 2019	122			(254		)	—		5		122			(254		)	5		—
Total unrealized gains (losses) for the three months ended September 30, 2019	99			(119		)	—		2		99			(119		)	2		—
Total unrealized gains (losses) for the nine months ended September 30, 2019	368			(202		)	2		5		368			(202		)	5		2



	Exelon											Generation									PHI and Pepco
	Operating Revenues			Purchased Power and Fuel			Operating and Maintenance		Other, net			Operating Revenues			Purchased Power and Fuel			Other, net			Operating and Maintenance
Total realized (losses) gains for the three months ended September 30, 2018	$	(176	)	$	(83	)	$	1	$	(1	)	$	(176	)	$	(83	)	$	(1	)	$	1
Total realized (losses) gains for the nine months ended September 30, 2018	(32		)	(156		)	3		(1		)	(32		)	(156		)	(1		)	3
Total unrealized (losses) for the three months ended September 30, 2018	(64		)	(40		)	—		(1		)	(64		)	(40		)	(1		)	—
Total unrealized gains (losses) for the nine months ended September 30, 2018	174			(15		)	—		(5		)	174			(15		)	(5		)	—

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 September 30, 2019			Fair Value at December 31, 2018			Valuation Technique	Unobservable Input	2019 Range			2018 Range
Mark-to-market derivatives — Economic Hedges (Exelon and Generation)^(a)(b)	$	411		$	443		Discounted Cash Flow	Forward power price	$11	-	$167	$12	-	$174
								Forward gas price	$1.36	-	$10.82	$0.78	-	$12.38
							Option Model	Volatility percentage	9%	-	200%	10%	-	277%

Mark-to-market derivatives — Proprietary trading (Exelon and Generation)^(a)(b)	$	67		$	56		Discounted Cash Flow	Forward power price	$17	-	$167	$14	-	$174

Mark-to-market derivatives (Exelon and ComEd)	$	(280	)	$	(249	)	Discounted Cash Flow	Forward heat rate^(c)	9x	-	10x	10x	-	11x
								Marketability reserve	4%	-	7%	4%	-	8%
								Renewable factor	87%	-	119%	86%	-	120%

_________


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


(b)	The fair values do not include cash collateral posted on level three positions of $304 million and $76 million as of September 30, 2019 and December 31, 2018, respectively.

(c)

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.