Fair Value of Financial Assets and Liabilities (All Registrants)

3 Months Ended

Mar. 31, 2021

Fair Value Disclosures [Abstract]

Fair Value of Financial Assets and Liabilities (All Registrants)

Fair Value of Financial Assets and Liabilities (All Registrants)

Exelon measures and classifies fair value measurements in accordance with the hierarchy as defined by GAAP. 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 liquidate as of the reporting date.

•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.

•Level 3 - unobservable inputs, such as internally developed pricing models or third-party valuations for the asset or liability due to little or no market activity for the asset or liability.

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 March 31, 2021 and December 31, 2020. 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.

	March 31, 2021								December 31, 2020
	Carrying Amount		Fair Value						Carrying Amount		Fair Value
			Level 2		Level 3		Total				Level 2		Level 3		Total
Long-Term Debt, including amounts due within one year(a)
Exelon	$	38,529	$	39,255	$	3,115	$	42,370	$	36,912	$	40,688	$	3,064	$	43,752
Generation	6,060		5,497		1,158		6,655		6,087		5,648		1,208		6,856
ComEd	9,674		10,853		—		10,853		8,983		11,117		—		11,117
PECO	4,125		4,491		50		4,541		3,753		4,553		50		4,603
BGE	3,665		3,991		—		3,991		3,664		4,366		—		4,366
PHI	7,577		6,050		1,907		7,957		7,006		6,099		1,806		7,905
Pepco	3,317		3,112		823		3,935		3,165		3,336		748		4,084
DPL	1,802		1,386		524		1,910		1,677		1,484		455		1,939
ACE	1,718		1,302		560		1,862		1,413		1,018		602		1,620
Long-Term Debt to Financing Trusts(a)
Exelon	$	390	$	—	$	465	$	465	$	390	$	—	$	467	$	467
ComEd	205		—		243		243		205		—		246		246
PECO	184		—		222		222		184		—		221		221
SNF Obligation
Exelon	$	1,208	$	979	$	—	$	979	$	1,208	$	909	$	—	$	909
Generation	1,208		979		—		979		1,208		909		—		909

__________

(a)Includes unamortized debt issuance costs which are not fair valued.

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 March 31, 2021 and December 31, 2020:

Exelon and Generation

	Exelon										Generation
As of March 31, 2021	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)	$	968	$	—	$	—	$	—	$	968	$	125	$	—	$	—	$	—	$	125
NDT fund investments
Cash equivalents(b)	509		95		—		—		604		509		95		—		—		604
Equities	4,439		1,574		—		1,555		7,568		4,439		1,574		—		1,555		7,568
Fixed income
Corporate debt(c)	—		1,023		283		—		1,306		—		1,023		283		—		1,306
U.S. Treasury and agencies	2,030		41		—		—		2,071		2,030		41		—		—		2,071
Foreign governments	—		51		—		—		51		—		51		—		—		51
State and municipal debt	—		40		—		—		40		—		40		—		—		40
Other	40		35		—		1,285		1,360		40		35		—		1,285		1,360
Fixed income subtotal	2,070		1,190		283		1,285		4,828		2,070		1,190		283		1,285		4,828
Private credit	—		—		196		617		813		—		—		196		617		813
Private equity	—		—		—		532		532		—		—		—		532		532
Real estate	—		—		—		686		686		—		—		—		686		686
NDT fund investments subtotal(d)(e)	7,018		2,859		479		4,675		15,031		7,018		2,859		479		4,675		15,031
Rabbi trust investments
Cash equivalents	60		—		—		—		60		4		—		—		—		4
Mutual funds	95		—		—		—		95		31		—		—		—		31
Fixed income	—		10		—		—		10		—		—		—		—		—
Life insurance contracts	—		89		35		—		124		—		29		—		—		29
Rabbi trust investments subtotal	155		99		35		—		289		35		29		—		—		64
Investments in equities(f)	177		—		—		—		177		177		—		—		—		177
Commodity derivative assets
Economic hedges	478		1,748		1,740		—		3,966		478		1,748		1,740		—		3,966
Proprietary trading	—		16		17		—		33		—		16		17		—		33
Effect of netting and allocation of collateral(g)(h)	(356)		(1,387)		(1,199)		—		(2,942)		(356)		(1,387)		(1,199)		—		(2,942)
Commodity derivative assets subtotal	122		377		558		—		1,057		122		377		558		—		1,057
DPP consideration	—		401		—		—		401		—		401		—		—		401

	Exelon										Generation
As of March 31, 2021	Level 1		Level 2		Level 3		Not subject to leveling		Total		Level 1		Level 2		Level 3		Not subject to leveling		Total
Total assets	8,440		3,736		1,072		4,675		17,923		7,477		3,666		1,037		4,675		16,855
Liabilities
Commodity derivative liabilities
Economic hedges	(359)		(1,642)		(1,945)		—		(3,946)		(359)		(1,642)		(1,650)		—		(3,651)
Proprietary trading	—		(9)		(5)		—		(14)		—		(9)		(5)		—		(14)
Effect of netting and allocation of collateral(g)(h)	252		1,532		1,304		—		3,088		252		1,532		1,304		—		3,088
Commodity derivative liabilities subtotal	(107)		(119)		(646)		—		(872)		(107)		(119)		(351)		—		(577)
Deferred compensation obligation	—		(146)		—		—		(146)		—		(43)		—		—		(43)
Total liabilities	(107)		(265)		(646)		—		(1,018)		(107)		(162)		(351)		—		(620)
Total net assets	$	8,333	$	3,471	$	426	$	4,675	$	16,905	$	7,370	$	3,504	$	686	$	4,675	$	16,235

	Exelon										Generation
As of December 31, 2020	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)	$	686	$	—	$	—	$	—	$	686	$	124	$	—	$	—	$	—	$	124
NDT fund investments
Cash equivalents(b)	210		95		—		—		305		210		95		—		—		305
Equities	3,886		2,077		—		1,562		7,525		3,886		2,077		—		1,562		7,525
Fixed income
Corporate debt(c)	—		1,485		285		—		1,770		—		1,485		285		—		1,770
U.S. Treasury and agencies	1,871		126		—		—		1,997		1,871		126		—		—		1,997
Foreign governments	—		56		—		—		56		—		56		—		—		56
State and municipal debt	—		101		—		—		101		—		101		—		—		101
Other	—		41		—		961		1,002		—		41		—		961		1,002
Fixed income subtotal	1,871		1,809		285		961		4,926		1,871		1,809		285		961		4,926
Private credit	—		—		212		629		841		—		—		212		629		841
Private equity	—		—		—		504		504		—		—		—		504		504
Real estate	—		—		—		679		679		—		—		—		679		679
NDT fund investments subtotal(d)(e)	5,967		3,981		497		4,335		14,780		5,967		3,981		497		4,335		14,780
Rabbi trust investments
Cash equivalents	60		—		—		—		60		4		—		—		—		4
Mutual funds	91		—		—		—		91		29		—		—		—		29
Fixed income	—		11		—		—		11		—		—		—		—		—
Life insurance contracts	—		87		34		—		121		—		28		—		—		28
Rabbi trust investments subtotal	151		98		34		—		283		33		28		—		—		61
Investments in equities(f)	195		—		—		—		195		195		—		—		—		195
Commodity derivative assets
Economic hedges	745		1,914		1,599		—		4,258		745		1,914		1,599		—		4,258
Proprietary trading	—		17		27		—		44		—		17		27		—		44
Effect of netting and allocation of collateral(g)(h)	(607)		(1,597)		(905)		—		(3,109)		(607)		(1,597)		(905)		—		(3,109)
Commodity derivative assets subtotal	138		334		721		—		1,193		138		334		721		—		1,193
DPP consideration	—		639		—		—		639		—		639		—		—		639
Total assets	7,137		5,052		1,252		4,335		17,776		6,457		4,982		1,218		4,335		16,992
Liabilities
Commodity derivative liabilities
Economic hedges	(682)		(1,928)		(1,655)		—		(4,265)		(682)		(1,928)		(1,354)		—		(3,964)
Proprietary trading	—		(21)		(4)		—		(25)		—		(21)		(4)		—		(25)
Effect of netting and allocation of collateral(g)(h)	540		1,918		1,067		—		3,525		540		1,918		1,067		—		3,525
Commodity derivative liabilities subtotal	(142)		(31)		(592)		—		(765)		(142)		(31)		(291)		—		(464)
Deferred compensation obligation	—		(145)		—		—		(145)		—		(42)		—		—		(42)
Total liabilities	(142)		(176)		(592)		—		(910)		(142)		(73)		(291)		—		(506)
Total net assets	$	6,995	$	4,876	$	660	$	4,335	$	16,866	$	6,315	$	4,909	$	927	$	4,335	$	16,486

__________    

(a)Exelon excludes cash of $1,273 million and $409 million at March 31, 2021 and December 31, 2020, respectively, and restricted cash of $93 million and $59 million at March 31, 2021 and December 31, 2020, respectively, and includes long-term restricted cash of $52 million and $53 million at March 31, 2021 and December 31, 2020, respectively, which is reported in Other deferred debits in the Consolidated Balance Sheets. Generation excludes cash of $608 million and $171 million at March 31, 2021 and December 31, 2020, respectively, and restricted cash of $29 million and $20 million at March 31, 2021 and December 31, 2020, respectively. 

(b)Includes $108 million and $116 million of cash received from outstanding repurchase agreements at March 31, 2021 and December 31, 2020, respectively, and is offset by an obligation to repay upon settlement of the agreement as discussed in (e) below.

(c)Includes investments in equities sold short of $(58) million and $(62) million as of March 31, 2021 and December 31, 2020, respectively, held in an investment vehicle primarily to hedge the equity option component of its convertible debt.

(d)Includes derivative assets of less than $1 million and $2 million, which have total notional amounts of $2,049 million and $1,043 million at March 31, 2021 and December 31, 2020, respectively. The notional principal amounts for these instruments provide one measure of the transaction volume outstanding as of the periods ended and do not represent the amount of Exelon and Generation's exposure to credit or market loss.

(e)Excludes net liabilities of $104 million and $181 million at March 31, 2021 and December 31, 2020, respectively, which include certain derivative assets that have notional amounts of $158 million and $104 million at March 31, 2021 and December 31, 2020, 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.

(f)Includes equity investments held by Generation which were previously designated as equity investments without readily determinable fair value but are now publicly traded and therefore have readily determinable fair values. Generation recorded the fair value of these investments in Other current assets on Exelon's and Generation's Consolidated Balance Sheets based on the quoted market prices of the stocks at March 31, 2021 and December 31, 2020, which resulted in unrealized gains of $95 million and $186 million within Other, net in Exelon's and Generation's Consolidated Statement of Operations and Comprehensive Income for the three months ended March 31, 2021 and for the year ended December 31, 2020, respectively.

(g)Collateral (received)/posted from counterparties, net of collateral paid to counterparties, totaled $(104) million, $145 million, and $105 million allocated to Level 1, Level 2, and Level 3 mark-to-market derivatives, respectively, as of March 31, 2021. Collateral (received)/posted from counterparties, net of collateral paid to counterparties, totaled $(67) million, $321 million, and $162 million allocated to Level 1, Level 2, and Level 3 mark-to-market derivatives, respectively, as of December 31, 2020.

(h)Of the collateral (received)/posted, $(148) million and $209 million represents variation margin on the exchanges as of March 31, 2021 and December 31, 2020, respectively.

As of March 31, 2021, Exelon and Generation have outstanding commitments to invest in private credit, private equity, and real estate investments of approximately $298 million, $239 million, and $344 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 $61 million and $50 million as of March 31, 2021, respectively. Changes in fair value, cumulative adjustments, and impairments were not material for the three months ended March 31, 2021.

ComEd, PECO, and BGE

	ComEd								PECO								BGE
As of March 31, 2021	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)	$	300	$	—	$	—	$	300	$	7	$	—	$	—	$	7	$	—	$	—	$	—	$	—
Rabbi trust investments
Mutual funds	—		—		—		—		9		—		—		9		11		—		—		11
Life insurance contracts	—		—		—		—		—		13		—		13		—		—		—		—
Rabbi trust investments subtotal	—		—		—		—		9		13		—		22		11		—		—		11
Total assets	300		—		—		300		16		13		—		29		11		—		—		11
Liabilities
Deferred compensation obligation	—		(8)		—		(8)		—		(9)		—		(9)		—		(6)		—		(6)
Mark-to-market derivative liabilities(b)	—		—		(295)		(295)		—		—		—		—		—		—		—		—
Total liabilities	—		(8)		(295)		(303)		—		(9)		—		(9)		—		(6)		—		(6)
Total net assets (liabilities)	$	300	$	(8)	$	(295)	$	(3)	$	16	$	4	$	—	$	20	$	11	$	(6)	$	—	$	5

	ComEd								PECO								BGE
As of December 31, 2020	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)	$	285	$	—	$	—	$	285	$	8	$	—	$	—	$	8	$	120	$	—	$	—	$	120
Rabbi trust investments
Mutual funds	—		—		—		—		9		—		—		9		10		—		—		10
Life insurance contracts	—		—		—		—		—		13		—		13		—		—		—		—
Rabbi trust investments subtotal	—		—		—		—		9		13		—		22		10		—		—		10
Total assets	285		—		—		285		17		13		—		30		130		—		—		130
Liabilities
Deferred compensation obligation	—		(8)		—		(8)		—		(9)		—		(9)		—		(5)		—		(5)
Mark-to-market derivative liabilities(b)	—		—		(301)		(301)		—		—		—		—		—		—		—		—
Total liabilities	—		(8)		(301)		(309)		—		(9)		—		(9)		—		(5)		—		(5)
Total net assets (liabilities)	$	285	$	(8)	$	(301)	$	(24)	$	17	$	4	$	—	$	21	$	130	$	(5)	$	—	$	125

__________

(a)ComEd excludes cash of $59 million and $83 million at March 31, 2021 and December 31, 2020, respectively, and restricted cash of $40 million and $37 million at March 31, 2021 and December 31, 2020, respectively, and includes long-term restricted cash of $43 million at both March 31, 2021 and December 31, 2020, respectively, which is reported in Other deferred debits in the Consolidated Balance Sheets. PECO excludes cash of $48 million and $18 million at March 31, 2021 and December 31, 2020, respectively. BGE excludes cash of $21 million and $24 million at March 31, 2021 and December 31, 2020, respectively, and restricted cash of $1 million at both March 31, 2021 and December 31, 2020.

(b)The Level 3 balance consists of the current and noncurrent liability of $31 million and $264 million, respectively, at March 31, 2021 and $33 million and $268 million, respectively, at December 31, 2020 related to floating-to-fixed energy swap contracts with unaffiliated suppliers.

PHI, Pepco, DPL, and ACE

	As of March 31, 2021								As of December 31, 2020
PHI	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Assets
Cash equivalents(a)	$	527	$	—	$	—	$	527	$	86	$	—	$	—	$	86
Rabbi trust investments
Cash equivalents	53		—		—		53		55		—		—		55
Mutual funds	15		—		—		15		14		—		—		14
Fixed income	—		10		—		10		—		11		—		11
Life insurance contracts	—		26		35		61		—		26		34		60
Rabbi trust investments subtotal	68		36		35		139		69		37		34		140
Total assets	595		36		35		666		155		37		34		226
Liabilities
Deferred compensation obligation	—		(16)		—		(16)		—		(17)		—		(17)
Total liabilities	—		(16)		—		(16)		—		(17)		—		(17)
Total net assets	$	595	$	20	$	35	$	650	$	155	$	20	$	34	$	209

	Pepco								DPL								ACE
As of March 31, 2021	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)	$	128	$	—	$	—	$	128	$	50	$	—	$	—	$	50	$	349	$	—	$	—	$	349
Rabbi trust investments
Cash equivalents	53		—		—		53		—		—		—		—		—		—		—		—
Fixed income	—		2		—		2		—		—		—		—		—		—		—		—
Life insurance contracts	—		26		35		61		—		—		—		—		—		—		—		—
Rabbi trust investments subtotal	53		28		35		116		—		—		—		—		—		—		—		—
Total assets	181		28		35		244		50		—		—		50		349		—		—		349
Liabilities
Deferred compensation obligation	—		(2)		—		(2)		—		—		—		—		—		—		—		—
Total liabilities	—		(2)		—		(2)		—		—		—		—		—		—		—		—
Total net assets	$	181	$	26	$	35	$	242	$	50	$	—	$	—	$	50	$	349	$	—	$	—	$	349

	Pepco								DPL								ACE
As of December 31, 2020	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)	$	35	$	—	$	—	$	35	$	—	$	—	$	—	$	—	$	13	$	—	$	—	$	13
Rabbi trust investments
Cash equivalents	53		—		—		53		—		—		—		—		—		—		—		—
Fixed income	—		2		—		2		—		—		—		—		—		—		—		—
Life insurance contracts	—		26		34		60		—		—		—		—		—		—		—		—
Rabbi trust investments subtotal	53		28		34		115		—		—		—		—		—		—		—		—
Total assets	88		28		34		150		—		—		—		—		13		—		—		13
Liabilities
Deferred compensation obligation	—		(2)		—		(2)		—		—		—		—		—		—		—		—
Total liabilities	—		(2)		—		(2)		—		—		—		—		—		—		—		—
Total net assets	$	88	$	26	$	34	$	148	$	—	$	—	$	—	$	—	$	13	$	—	$	—	$	13

__________

(a)PHI excludes cash of $72 million and $74 million at March 31, 2021 and December 31, 2020, respectively, and restricted cash of $5 million and none at March 31, 2021 and December 31, 2020, respectively, and includes long-term restricted cash of $9 million and $10 million at March 31, 2021 and December 31, 2020, respectively, which is reported in Other deferred debits in the Consolidated Balance Sheets. Pepco excludes cash of $34 million and $30 million at March 31, 2021 and December 31, 2020, respectively, and restricted cash of $5 million and none at March 31, 2021 and December 31, 2020, respectively. DPL excludes cash of $14 million and $15 million at March 31, 2021 and December 31, 2020, respectively. ACE excludes cash of $17 million at both March 31, 2021 and December 31, 2020, respectively, and includes long-term restricted cash of $9 million and $10 million at March 31, 2021 and December 31, 2020, respectively, which is reported in Other deferred debits in the Consolidated Balance Sheets.

Reconciliation of Level 3 Assets and Liabilities

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, 2021 and 2020:

	Exelon		Generation							ComEd			PHI and Pepco
Three months ended March 31, 2021	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, 2020	$	660	$	497	$	430		$	927	$	(301)		$	34	$	—
Total realized / unrealized gains (losses)
Included in net income	(276)		1		(278)		(a)	(277)		—			1		—
Included in noncurrent payables to affiliates	—		1		—			1		—			—		(1)
Included in regulatory assets	7		—		—			—		6		(b)	—		1
Change in collateral	(57)		—		(57)			(57)		—			—		—
Purchases, sales, issuances and settlements
Purchases	109		—		109			109		—			—		—
Sales	1		—		1			1		—			—		—
Settlements	(20)		(20)		—			(20)		—			—		—
Transfers out of Level 3	2		—		2		(c)	2		—			—		—
Balance as of March 31, 2021	$	426	$	479	$	207		$	686	$	(295)		$	35	$	—
The amount of total (losses) gains included in income attributed to the change in unrealized gains (losses) related to assets and liabilities as of March 31, 2021	$	(147)	$	1	$	(149)		$	(148)	$	—		$	1	$	—

	Exelon		Generation							ComEd			PHI and Pepco
Three Months Ended March 31, 2020	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, 2019	$	1,068	$	511	$	817		$	1,328	$	(301)		$	41	$	—
Total realized / unrealized gains (losses)
Included in net income	10		(1)		10		(a)	9		—			1		—
Included in noncurrent payables to affiliates	—		(1)		—			(1)		—			—		1
Included in regulatory assets	(14)		—		—			—		(13)		(b)	—		(1)
Change in collateral	1		—		1			1		—			—		—
Purchases, sales, issuances and settlements
Purchases	42		3		39			42		—			—		—
Sales	(22)		—		(22)			(22)		—			—		—
Settlements	(14)		(14)		—			(14)		—			—		—
Transfers into Level 3	2		—		2		(c)	2		—			—		—
Transfers out of Level 3	15		—		15		(c)	15		—			—		—
Balance as of March 31, 2020	$	1,088	$	498	$	862		$	1,360	$	(314)		$	42	$	—
The amount of total gains (losses) included in income attributed to the change in unrealized gains (losses) related to assets and liabilities as of March 31, 2020	$	187	$	(1)	$	187		$	186	$	—		$	1	$	—

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(a)Includes a reduction for the reclassification of $129 million and $177 million of realized losses due to the settlement of derivative contracts for the three months ended March 31, 2021 and 2020 respectively.

(b)Includes $2 million of decreases in fair value and an increase for realized losses due to settlements of $8 million recorded in purchased power expense associated with floating-to-fixed energy swap contracts with unaffiliated suppliers for the three months ended March 31, 2021. Includes $23 million of decrease in fair value and an increase for realized losses due to settlements of $10 million recorded in purchased power expense associated with floating-to-fixed energy swap contracts with unaffiliated suppliers for the three months ended March 31, 2020.

(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.

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 months ended March 31, 2021 and 2020:

	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 (losses) gains for the three months ended March 31, 2021	$	(116)	$	(162)	$	1	$	1	$	(116)	$	(162)	$	1	$	1
Total unrealized (losses) gains for the three months ended March 31, 2021	(65)		(84)		1		1		(65)		(84)		1		1

	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 gains (losses) for the three months ended March 31, 2020	$	72	$	(62)	$	1	$	(1)	$	72	$	(62)	$	(1)	$	1
Total unrealized gains (losses) gains for the three months ended March 31, 2020	205		(18)		1		(1)		205		(18)		(1)		1

Valuation Techniques Used to Determine Fair Value

Exelon’s valuation techniques used to measure the fair value of the assets and liabilities shown in the tables below are in accordance with the policies discussed in Note 18 — Fair Value of Financial Assets and Liabilities of the Exelon 2020 Form 10-K.

Valuation Techniques Used to Determine Net asset Value (Exelon and Generation)

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 private credit 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 private credit 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.

Mark-to-Market Derivatives (Exelon, Generation and ComEd)

The table below discloses the significant inputs to the forward curve used to value mark-to-market derivatives.

Type of trade	Fair Value at March 31, 2021		Fair Value at December 31, 2020		Valuation Technique	Unobservable Input	2021 Range & Arithmetic Average				2020 Range & Arithmetic Average
Mark-to-market derivatives — Economic Hedges (Exelon and Generation)(a)(b)	$	90	$	245	Discounted Cash Flow	Forward power price	$1.35	-	$235	$32	$2.25	-	$163	$30
						Forward gas price	$1.42	-	$8.18	$2.59	$1.57	-	$7.88	$2.59
					Option Model	Volatility percentage	11%	-	116%	27%	11%	-	237%	32%
Mark-to-market derivatives — Proprietary trading (Exelon and Generation)(a)(b)	$	12	$	23	Discounted Cash Flow	Forward power price	$9	-	$102	$30	$10	-	$106	$27
Mark-to-market derivatives (Exelon and ComEd)	$	(295)	$	(301)	Discounted Cash Flow	Forward heat rate(c)	8x	-	9x	8.85x	8x	-	9x	8.85x
						Marketability reserve	3%	-	8%	4.93%	3%	-	8%	4.93%
						Renewable factor	90%	-	123%	99%	91%	-	123%	99%

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

(b)The fair values do not include cash collateral posted on level three positions of $105 million and $162 million as of March 31, 2021 and December 31, 2020, 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.

The inputs listed above, which are as of the balance sheet date, 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 Generation the obligation or option to purchase a commodity), with offsetting impacts to short positions (contracts that give Generation 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 renewable factors 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.