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Fair Value of Financial Assets and Liabilities (Tables)

12 Months Ended

Dec. 31, 2021

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 December 31, 2021 and 2020. The Registrants have no financial liabilities classified as Level 1.

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


	December 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	$	38,697	$	40,282	$	3,310	$	43,592	$	36,912	$	40,688	$	3,064	$	43,752

ComEd	9,773		11,305		—		11,305		8,983		11,117		—		11,117
PECO	4,197		4,740		50		4,790		3,753		4,553		50		4,603
BGE	3,961		4,406		—		4,406		3,664		4,366		—		4,366
PHI	7,547		5,970		2,167		8,137		7,006		6,099		1,806		7,905
Pepco	3,445		3,201		975		4,176		3,165		3,336		748		4,084
DPL	1,810		1,426		552		1,978		1,677		1,484		455		1,939
ACE	1,582		1,091		641		1,732		1,413		1,018		602		1,620
Long-Term Debt to Financing Trusts
Exelon	$	390	$	—	$	470	$	470	$	390	$	—	$	467	$	467
ComEd	205		—		248		248		205		—		246		246
PECO	184		—		222		222		184		—		221		221
SNF Obligation
Exelon	$	1,210	$	1,060	$	—	$	1,060	$	1,208	$	909	$	—	$	909

__________

(a) Includes unamortized debt issuance costs, unamortized debt discount and premium, net, purchase accounting fair value adjustments, and finance lease liabilities which are not fair valued. Refer to Note 17 — Debt and Credit Agreements for unamortized debt issuance costs, unamortized debt discount and premium, net, and purchase accounting fair value adjustments and Note 11 — Leases for finance lease liabilities.

Assets and Liabilities Measured and Recorded at Fair Value on Recurring Basis

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 December 31, 2021 and 2020:

Exelon


	As of December 31, 2021										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)	$	643	$	—	$	—	$	—	$	643		$	686	$	—	$	—	$	—	$	686
NDT fund investments
Cash equivalents(b)	465		116		—		—		581			210		95		—		—		305
Equities	4,564		1,805		—		1,645		8,014			3,886		2,077		—		1,562		7,525
Fixed income
Corporate debt(c)	—		1,145		286		—		1,431			—		1,485		285		—		1,770
U.S. Treasury and agencies	2,193		30		—		—		2,223			1,871		126		—		—		1,997
Foreign governments	—		60		—		—		60			—		56		—		—		56
State and municipal debt	—		26		—		—		26			—		101		—		—		101
Other	29		23		—		1,449		1,501			—		41		—		961		1,002
Fixed income subtotal	2,222		1,284		286		1,449		5,241			1,871		1,809		285		961		4,926
Private credit	—		—		178		624		802			—		—		212		629		841
Private equity	—		—		—		673		673			—		—		—		504		504
Real estate	—		—		—		864		864			—		—		—		679		679

NDT fund investments subtotal(d)(e)	7,251		3,205		464		5,255		16,175			5,967		3,981		497		4,335		14,780
Rabbi trust investments
Cash equivalents	63		—		—		—		63			60		—		—		—		60
Mutual funds	105		—		—		—		105			91		—		—		—		91
Fixed income	—		10		—		—		10			—		11		—		—		11
Life insurance contracts	—		99		38		—		137			—		87		34		—		121
Rabbi trust investments subtotal	168		109		38		—		315			151		98		34		—		283
Investments in equities(f)	43		—		—		—		43			195		—		—		—		195
Commodity derivative assets
Economic hedges	3,017		7,223		3,899		—		14,139			745		1,914		1,599		—		4,258
Proprietary trading	—		19		8		—		27			—		17		27		—		44
Effect of netting and allocation of collateral(g)(h)	(2,108)		(6,177)		(2,769)		—		(11,054)			(607)		(1,597)		(905)		—		(3,109)
Commodity derivative assets subtotal	909		1,065		1,138		—		3,112			138		334		721		—		1,193
DPP consideration	—		365		—		—		365			—		639		—		—		639
Total assets	9,014		4,744		1,640		5,255		20,653			7,137		5,052		1,252		4,335		17,776
Liabilities
Commodity derivative liabilities
Economic hedges	(2,201)		(6,870)		(4,184)		—		(13,255)			(682)		(1,928)		(1,655)		—		(4,265)
Proprietary trading	—		(18)		(2)		—		(20)			—		(21)		(4)		—		(25)
Effect of netting and allocation of collateral(g)(h)	2,189		6,642		2,735		—		11,566			540		1,918		1,067		—		3,525
Commodity derivative liabilities subtotal	(12)		(246)		(1,451)		—		(1,709)			(142)		(31)		(592)		—		(765)
Deferred compensation obligation	—		(154)		—		—		(154)			—		(145)		—		—		(145)
Total liabilities	(12)		(400)		(1,451)		—		(1,863)			(142)		(176)		(592)		—		(910)
Total net assets	$	9,002	$	4,344	$	189	$	5,255	$	18,790		$	6,995	$	4,876	$	660	$	4,335	$	16,866

__________

(a)Excludes cash of $881 million and $409 million as of December 31, 2021 and 2020, respectively, and restricted cash of $95 million and $59 million as of December 31, 2021 and 2020, respectively, and includes long-term restricted cash of $44 million and $53 million as of December 31, 2021 and 2020, respectively, which is reported in Other deferred debits in the Consolidated Balance Sheets.

(b)Includes $116 million of cash received from outstanding repurchase agreements as of both December 31, 2021 and 2020, 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 $(55) million and $(62) million as of December 31, 2021 and 2020, respectively, held in an investment vehicle primarily to hedge the equity option component of its convertible debt.

(d)Includes net derivative liabilities of $1 million and net derivative assets of $2 million, which have total notional amounts of $687 million and $1,043 million as of December 31, 2021 and 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's exposure to credit or market loss.

(e)Excludes net liabilities of $111 million and $181 million as of December 31, 2021 and 2020, respectively, which include certain derivative assets that have notional amounts of $182 million and $104 million as of December 31, 2021 and 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 which were previously designated as equity investments without readily determinable fair values but are now publicly traded and therefore have readily determinable fair values. The first investment became publicly traded in the fourth quarter of 2020. The fair value of these investments is recorded in Other current assets in Exelon's Consolidated Balance Sheets based on the quoted market prices of the stocks as of the respective balance sheet date. Unrealized (losses)/gains of $(160) million and $186 million were recorded in Other, net in Exelon's Consolidated Statement of Operations and Comprehensive Income for the years ended December 31, 2021 and 2020, respectively.

(g)Collateral posted/(received) from counterparties, net of collateral paid to counterparties, totaled $81 million, $465 million, and $(34) million allocated to Level 1, Level 2, and Level 3 mark-to-market derivatives, respectively, as of December 31, 2021. Collateral posted/(received) 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)Includes $897 million held and $209 million posted of variation margin with the exchanges as of December 31, 2021 and 2020, respectively.

As of December 31, 2021, Exelon has outstanding commitments to invest in private credit, private equity, and real estate investments of approximately $306 million, $171 million, and $459 million, respectively. These commitments will be funded by the existing NDT funds.

Exelon held investments without readily determinable fair values with carrying amounts of $44 million and $73 million as of December 31, 2021 and 2020, respectively. Changes in fair value, cumulative adjustments, and impairments were not material for the years ended December 31, 2021 and 2020.

ComEd, PECO, and BGE


	ComEd								PECO								BGE
As of December 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)	$	237	$	—	$	—	$	237	$	9	$	—	$	—	$	9	$	—	$	—	$	—	$	—
Rabbi trust investments
Mutual funds	—		—		—		—		11		—		—		11		14		—		—		14
Life insurance contracts	—		—		—		—		—		16		—		16		—		—		—		—
Rabbi trust investments subtotal	—		—		—		—		11		16		—		27		14		—		—		14
Total assets	237		—		—		237		20		16		—		36		14		—		—		14
Liabilities
Mark-to-market derivative liabilities(b)	—		—		(219)		(219)		—		—		—		—		—		—		—		—
Deferred compensation obligation	—		(10)		—		(10)		—		(9)		—		(9)		—		(7)		—		(7)
Total liabilities	—		(10)		(219)		(229)		—		(9)		—		(9)		—		(7)		—		(7)
Total net assets (liabilities)	$	237	$	(10)	$	(219)	$	8	$	20	$	7	$	—	$	27	$	14	$	(7)	$	—	$	7


	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
Mark-to-market derivative liabilities(b)	—		—		(301)		(301)		—		—		—		—		—		—		—		—
Deferred compensation obligation	—		(8)		—		(8)		—		(9)		—		(9)		—		(5)		—		(5)
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 $105 million and $83 million as of December 31, 2021 and 2020, respectively, and restricted cash of $42 million and $37 million as of December 31, 2021 and 2020, respectively, and includes long-term restricted cash of $43 million as of both December 31, 2021 and 2020, which is reported in Other deferred debits in the Consolidated Balance Sheets. PECO excludes cash of $35 million and $18 million as of December 31, 2021 and 2020, respectively. BGE excludes cash of $51 million and $24 million as of December 31, 2021 and 2020, respectively, and restricted cash of $4 million and $1 million as of December 31, 2021 and 2020, respectively.

(b)The Level 3 balance consists of the current and noncurrent liability of $18 million and $201 million, respectively, as of December 31, 2021 and $33 million and $268 million, respectively, as of December 31, 2020 related to floating-to-fixed energy swap contracts with unaffiliated suppliers.

PHI, Pepco, DPL, and ACE


	As of December 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)	$	110	$	—	$	—	$	110	$	86	$	—	$	—	$	86

Rabbi trust investments
Cash equivalents	59		—		—		59		55		—		—		55
Mutual funds	14		—		—		14		14		—		—		14
Fixed income	—		10		—		10		—		11		—		11
Life insurance contracts	—		27		35		62		—		26		34		60
Rabbi trust investments subtotal	73		37		35		145		69		37		34		140
Total assets	183		37		35		255		155		37		34		226
Liabilities
Deferred compensation obligation	—		(18)		—		(18)		—		(17)		—		(17)



Total liabilities	—		(18)		—		(18)		—		(17)		—		(17)
Total net assets	$	183	$	19	$	35	$	237	$	155	$	20	$	34	$	209


	Pepco								DPL								ACE
As of December 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)	$	31	$	—	$	—	$	31	$	43	$	—	$	—	$	43	$	—	$	—	$	—	$	—
Rabbi trust investments
Cash equivalents	58		—		—		58		—		—		—		—		—		—		—		—


Life insurance contracts	—		27		35		62		—		—		—		—		—		—		—		—
Rabbi trust investments subtotal	58		27		35		120		—		—		—		—		—		—		—		—
Total assets	89		27		35		151		43		—		—		43		—		—		—		—
Liabilities
Deferred compensation obligation	—		(2)		—		(2)		—		—		—		—		—		—		—		—



Total liabilities	—		(2)		—		(2)		—		—		—		—		—		—		—		—
Total net assets	$	89	$	25	$	35	$	149	$	43	$	—	$	—	$	43	$	—	$	—	$	—	$	—


	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 $100 million and $74 million as of December 31, 2021 and 2020, respectively, and restricted cash of $3 million and none as of December 31, 2021 and 2020, respectively, and includes long-term restricted cash of none and $10 million as of December 31, 2021 and 2020, respectively, which is reported in Other deferred debits in the Consolidated Balance Sheets. Pepco excludes cash of $34 million and $30 million as of December 31, 2021 and 2020, respectively, and restricted cash of $3 million and none as of December 31, 2021 and 2020, respectively. DPL excludes cash of $28 million and $15 million as of December 31, 2021 and 2020, respectively. ACE excludes cash of $29 million and $17 million as of December 31, 2021 and 2020, respectively, and includes long-term restricted cash of none and $10 million as of December 31, 2021 and 2020, 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 years ended December 31, 2021 and 2020:


	Exelon									ComEd	PHI and Pepco
For the year ended December 31, 2021	NDT Fund Investments		Mark-to-Market Derivatives			Life Insurance Contracts		Total				Mark-to-Market Derivatives			Life Insurance Contracts
Balance as of January 1, 2021	$	497	$	129		$	34	$	660			$	(301)		$	34

Total realized / unrealized gains (losses)
Included in net income	5		(812)		(a)	3		(804)				—			3

Included in regulatory assets/liabilities	19		82			—		101				82		(b)	—
Change in collateral	—		(196)			—		(196)				—			—
Purchases, sales, and settlements
Purchases	4		162			—		166				—			—
Sales	—		(10)			—		(10)				—			—

Settlements	(61)		—			(2)		(63)				—			(2)
Transfers into Level 3	—		19		(c)	3		22				—			—
Transfers out of Level 3	—		313		(c)	—		313				—			—
Balance as of December 31, 2021	$	464	$	(313)		$	38	$	189			$	(219)		$	35
The amount of total gains (losses) included in income attributed to the change in unrealized gains (losses) related to assets and liabilities as of December 31, 2021	$	5	$	(1,222)		$	3	(1,214)				$	—		$	3


	Exelon									ComEd	PHI and Pepco
For the year ended December 31, 2020	NDT Fund Investments		Mark-to-Market Derivatives			Life Insurance Contracts		Total				Mark-to-Market Derivatives			Life Insurance Contracts
Balance as of January 1, 2020	$	511	$	516		$	41	$	1,068			$	(301)		$	41

Total realized / unrealized gains (losses)
Included in net income	2		(414)		(a)	3		(409)				—			3

Included in regulatory assets/liabilities	21		—			—		21				—		(b)	—
Change in collateral	—		(53)			—		(53)				—			—
Purchases, sales, and settlements
Purchases	8		143			—		151				—			—
Sales	—		(27)			—		(27)				—			—

Settlements	(45)		—			(10)		(55)				—			(10)
Transfers into Level 3	—		(12)		(c)	—		(12)				—			—
Transfers out of Level 3	—		(24)		(c)	—		(24)				—			—
Balance as of December 31, 2020	$	497	$	129		$	34	$	660			$	(301)		$	34
The amount of total gains included in income attributed to the change in unrealized gains (losses) related to assets and liabilities as of December 31, 2020	$	2	$	6		$	3	$	11			$	—		$	3

__________

(a)Includes an addition of $410 million for realized losses and a reduction of $420 million for realized gains due to the settlement of derivative contracts for the years ended December 31, 2021 and 2020, respectively.

(b)Includes $62 million of increases in fair value and an increase for realized losses due to settlements of $20 million recorded in purchased power expense associated with floating-to-fixed energy swap contracts with unaffiliated suppliers for the year ended December 31, 2021. Includes $33 million of decreases in fair value and an increase for realized losses due to settlements of $33 million recorded in purchased power expense associated with floating-to-fixed energy swap contracts with unaffiliated suppliers for the year ended December 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.

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 years ended December 31, 2021 and 2020:



	Exelon								PHI and Pepco
	Operating Revenues		Purchased Power and Fuel		Operating and Maintenance		Other, net			Operating and Maintenance

Total (losses) gains included in net income for the year ended December 31, 2021	$	(1,343)	$	531	$	3	$	5		$	3

Total unrealized (losses) gains for the year ended December 31, 2021	(1,577)		355		3		5			3


	Exelon								PHI and Pepco
	Operating Revenues		Purchased Power and Fuel		Operating and Maintenance		Other, net			Operating and Maintenance

Total (losses) gains included in net income for the year ended December 31, 2020	$	(404)	$	(10)	$	3	$	2		$	3

Total unrealized (losses) gains for the year ended December 31, 2020	(31)		37		3		2			3

Fair Value Reconciliation of Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis, Valuation Technique

The following table presents the significant inputs to the forward curve used to value these positions:


Type of trade	Fair Value as of December 31, 2021		Fair Value as of December 31, 2020		Valuation Technique	Unobservable Input	2021 Range & Arithmetic Average				2020 Range & Arithmetic Average
Mark-to-market derivatives—Economic hedges (Exelon)(a)(b)	$	(66)	$	245	Discounted Cash Flow	Forward power price	$8.86	-	$481	$55	$2.25	-	$163	$30
						Forward gas price	$1.69	-	$17	$3.50	$1.57	-	$7.88	$2.59
					Option Model	Volatility percentage	24%	-	284%	56%	11%	-	237%	32%



Mark-to-market derivatives (Exelon and ComEd)	$	(219)	$	(301)	Discounted Cash Flow	Forward heat rate(c)	9x	-	10x	9.13x	8x	-	9x	8.85x
						Marketability reserve	3%	-	7%	4.77%	3%	-	8%	4.93%
						Renewable factor	92%	-	120%	97%	91%	-	123%	99%

__________

(a)These positions relate to Generation and 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 (received)/posted on level three positions of $(34) million and $162 million as of December 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.