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Fair Value of Financial Assets and Liabilities (All Registrants)

9 Months Ended

Sep. 30, 2023

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.

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 17 — Fair Value of Financial Assets and Liabilities of the 2022 Form 10-K.

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, and trust preferred securities (long-term debt to financing trusts or junior subordinated debentures) as of September 30, 2023 and December 31, 2022. The Registrants have no financial liabilities measured using the NAV practical expedient.

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.


	September 30, 2023										December 31, 2022
	Carrying Amount		Fair Value								Carrying Amount		Fair Value
			Level 1		Level 2		Level 3		Total				Level 1		Level 2		Level 3		Total
Long-Term Debt, including amounts due within one year(a)
Exelon	$	41,085	$	—	$	31,584	$	2,675	$	34,259	$	37,074	$	—	$	29,902	$	2,327	$	32,229
ComEd	11,484		—		9,343		—		9,343		10,518		—		9,006		—		9,006
PECO	5,133		—		4,110		—		4,110		4,612		—		3,864		50		3,914
BGE	4,601		—		3,735		—		3,735		4,207		—		3,613		—		3,613
PHI	8,637		—		4,352		2,675		7,027		8,120		—		4,507		2,277		6,784
Pepco	4,095		—		2,129		1,473		3,602		3,751		—		2,229		1,205		3,434
DPL	2,060		—		1,126		543		1,669		1,938		—		1,164		458		1,622
ACE	1,833		—		893		659		1,552		1,757		—		909		614		1,523
Long-Term Debt to Financing Trusts
Exelon	$	390	$	—	$	—	$	384	$	384	$	390	$	—	$	—	$	384	$	384
ComEd	205		—		—		206		206		205		—		—		204		204
PECO	184		—		—		179		179		184		—		—		180		180

__________

(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 16 — Debt and Credit Agreements of the 2022 Form 10-K for unamortized debt issuance costs, unamortized debt discount and premium, net, and purchase accounting fair value adjustments and Note 10 — Leases of the 2022 Form 10-K for finance lease liabilities.

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 at September 30, 2023 and December 31, 2022. The Registrants have no financial assets or liabilities measured using the NAV practical expedient:

Exelon


	At September 30, 2023						At December 31, 2022
	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Assets
Cash equivalents(a)	$	649	$	—	$	—	$	649	$	664	$	—	$	—	$	664
Rabbi trust investments
Cash equivalents	66		—		—		66		62		—		—		62
Mutual funds	53		—		—		53		49		—		—		49
Fixed income	—		7		—		7		—		7		—		7
Life insurance contracts	—		60		42		102		—		58		40		98
Rabbi trust investments subtotal	119		67		42		228		111		65		40		216

Interest rate derivative assets
Derivatives designated as hedging instruments	—		41		—		41		—		6		—		6
Economic hedges	—		3		—		3		—		5		—		5
Interest rate derivative assets subtotal	—		44		—		44		—		11		—		11
Total assets	768		111		42		921		775		76		40		891
Liabilities
Commodity derivative liabilities	—		—		(134)		(134)		—		—		(84)		(84)
Interest rate derivative liabilities
Derivatives designated as hedging instruments	—		—		—		—		—		(4)		—		(4)
Economic hedges	—		(23)		—		(23)		—		(3)		—		(3)
Interest rate derivative liabilities subtotal	—		(23)		—		(23)		—		(7)		—		(7)
Deferred compensation obligation	—		(69)		—		(69)		—		(75)		—		(75)
Total liabilities	—		(92)		(134)		(226)		—		(82)		(84)		(166)
Total net assets (liabilities)	$	768	$	19	$	(92)	$	695	$	775	$	(6)	$	(44)	$	725

__________

(a)Exelon excludes cash of $188 million and $345 million at September 30, 2023 and December 31, 2022, respectively, and restricted cash of $110 million and $81 million at September 30, 2023 and December 31, 2022, respectively, and includes long-term restricted cash of $212 million and $117 million at September 30, 2023 and December 31, 2022, respectively, which is reported in Other deferred debits and other assets in the Consolidated Balance Sheets.

ComEd, PECO, and BGE


	ComEd								PECO								BGE
At September 30, 2023	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)	$	491	$	—	$	—	$	491	$	29	$	—	$	—	$	29	$	2	$	—	$	—	$	2
Rabbi trust investments

Mutual funds	—		—		—		—		9		—		—		9		9		—		—		9
Life insurance contracts	—		—		—		—		—		17		—		17		—		—		—		—
Rabbi trust investments subtotal	—		—		—		—		9		17		—		26		9		—		—		9

Total assets	491		—		—		491		38		17		—		55		11		—		—		11
Liabilities
Commodity derivative liabilities(b)	—		—		(134)		(134)		—		—		—		—		—		—		—		—
Deferred compensation obligation	—		(7)		—		(7)		—		(8)		—		(8)		—		(4)		—		(4)
Total liabilities	—		(7)		(134)		(141)		—		(8)		—		(8)		—		(4)		—		(4)
Total net assets (liabilities)	$	491	$	(7)	$	(134)	$	350	$	38	$	9	$	—	$	47	$	11	$	(4)	$	—	$	7


	ComEd								PECO								BGE
At December 31, 2022	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)	$	392	$	—	$	—	$	392	$	10	$	—	$	—	$	10	$	23	$	—	$	—	$	23
Rabbi trust investments
Mutual funds	—		—		—		—		7		—		—		7		7		—		—		7
Life insurance contracts	—		—		—		—		—		15		—		15		—		—		—		—
Rabbi trust investments subtotal	—		—		—		—		7		15		—		22		7		—		—		7
Total assets	392		—		—		392		17		15		—		32		30		—		—		30
Liabilities
Commodity derivative liabilities(b)	—		—		(84)		(84)		—		—		—		—		—		—		—		—
Deferred compensation obligation	—		(8)		—		(8)		—		(7)		—		(7)		—		(4)		—		(4)
Total liabilities	—		(8)		(84)		(92)		—		(7)		—		(7)		—		(4)		—		(4)
Total net assets (liabilities)	$	392	$	(8)	$	(84)	$	300	$	17	$	8	$	—	$	25	$	30	$	(4)	$	—	$	26

__________

(a)ComEd excludes cash of $55 million and $42 million at September 30, 2023 and December 31, 2022, respectively, and restricted cash of $105 million and $77 million at September 30, 2023 and December 31, 2022, respectively. Additionally, ComEd includes long-term restricted cash of $212 million and $117 million at September 30, 2023 and December 31, 2022, respectively, which is reported in Other deferred debits and other assets in the Consolidated Balance Sheets. PECO excludes cash of $23 million and $58 million at September 30, 2023 and December 31, 2022, respectively. BGE excludes cash of $13 million and $43 million at September 30, 2023 and December 31, 2022, respectively, and restricted cash of $1 million and $1 million at September 30, 2023 and December 31, 2022, respectively.

(b)The Level 3 balance consists of the current and noncurrent liability of $21 million and $113 million, respectively, at September 30, 2023 and $5 million and $79 million, respectively, at December 31, 2022 related to floating-to-fixed energy swap contracts with unaffiliated suppliers.

PHI, Pepco, DPL, and ACE


	At September 30, 2023								At December 31, 2022
PHI	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Assets
Cash equivalents(a)	$	83	$	—	$	—	$	83	$	205	$	—	$	—	$	205
Rabbi trust investments
Cash equivalents	63		—		—		63		59		—		—		59
Mutual funds	10		—		—		10		11		—		—		11
Fixed income	—		7		—		7		—		7		—		7
Life insurance contracts	—		21		40		61		—		22		39		61
Rabbi trust investments subtotal	73		28		40		141		70		29		39		138
Total assets	156		28		40		224		275		29		39		343
Liabilities
Deferred compensation obligation	—		(13)		—		(13)		—		(14)		—		(14)



Total liabilities	—		(13)		—		(13)		—		(14)		—		(14)
Total net assets	$	156	$	15	$	40	$	211	$	275	$	15	$	39	$	329


	Pepco								DPL								ACE
At September 30, 2023	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)	$	22	$	—	$	—	$	22	$	1	$	—	$	—	$	1	$	1	$	—	$	—	$	1




Rabbi trust investments
Cash equivalents	62		—		—		62		—		—		—		—		—		—		—		—

Life insurance contracts	—		21		40		61		—		—		—		—		—		—		—		—
Rabbi trust investments subtotal	62		21		40		123		—		—		—		—		—		—		—		—
Total assets	84		21		40		145		1		—		—		1		1		—		—		1
Liabilities
Deferred compensation obligation	—		(1)		—		(1)		—		—		—		—		—		—		—		—



Total liabilities	—		(1)		—		(1)		—		—		—		—		—		—		—		—
Total net assets	$	84	$	20	$	40	$	144	$	1	$	—	$	—	$	1	$	1	$	—	$	—	$	1


	Pepco								DPL								ACE
At December 31, 2022	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)	$	51	$	—	$	—	$	51	$	121	$	—	$	—	$	121	$	1	$	—	$	—	$	1
Rabbi trust investments
Cash equivalents	59		—		—		59		—		—		—		—		—		—		—		—


Life insurance contracts	—		22		38		60		—		—		—		—		—		—		—		—
Rabbi trust investments subtotal	59		22		38		119		—		—		—		—		—		—		—		—
Total assets	110		22		38		170		121		—		—		121		1		—		—		1
Liabilities
Deferred compensation obligation	—		(1)		—		(1)		—		—		—		—		—		—		—		—



Total liabilities	—		(1)		—		(1)		—		—		—		—		—		—		—		—
Total net assets	$	110	$	21	$	38	$	169	$	121	$	—	$	—	$	121	$	1	$	—	$	—	$	1

__________

(a)PHI excludes cash of $60 million and $165 million at September 30, 2023 and December 31, 2022, respectively, and restricted cash of $3 million and $3 million at September 30, 2023 and December 31, 2022, respectively. Pepco excludes cash of $31 million and $45 million at September 30, 2023 and December 31, 2022, respectively, and restricted cash of $3 million and $3 million at September 30, 2023 and December 31, 2022, respectively. DPL excludes cash of $5 million and $31 million at September 30, 2023 and December 31, 2022, respectively. ACE excludes cash of $13 million and $71 million at September 30, 2023 and December 31, 2022, respectively.

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 and nine months ended September 30, 2023 and 2022:



	Exelon		ComEd			PHI and Pepco
Three Months Ended September 30, 2023	Total		Commodity Derivatives			Life Insurance Contracts
Balance at June 30, 2023	$	(91)	$	(133)		$	42
Total realized / unrealized gains (losses)
Included in net income(a)	—		—			(2)


Included in regulatory assets/liabilities	(1)		(1)		(b)	—








Balance at September 30, 2023	$	(92)	$	(134)	(c)	$	40
The amount of total gains included in income attributed to the change in unrealized gains related to assets and liabilities at September 30, 2023	$	—	$	—		$	(2)



	Exelon		ComEd			PHI and Pepco
Three Months Ended September 30, 2022	Total		Commodity Derivatives			Life Insurance Contracts
Balance at June 30, 2022	$	(50)	$	(88)		$	37
Total realized / unrealized gains (losses)
Included in net income(a)	1		—			1

Included in regulatory assets/liabilities	45		45		(b)	—








Balance at September 30, 2022	$	(4)	$	(43)	(c)	$	38
The amount of total gains included in income attributed to the change in unrealized gains related to assets and liabilities at September 30, 2022	$	1	$	—		$	1


	Exelon		ComEd			PHI and Pepco
Nine Months Ended September 30, 2023	Total		Commodity Derivatives			Life Insurance Contracts
Balance at December 31, 2022	$	(44)	$	(84)		$	40
Total realized / unrealized gains (losses)
Included in net income(a)	2		—			—


Included in regulatory assets/liabilities	(50)		(50)		(b)	—








Balance at September 30, 2023	$	(92)	$	(134)	(c)	$	40
The amount of total gains included in income attributed to the change in unrealized gains related to assets and liabilities at September 30, 2023	$	2	$	—		$	—


	Exelon		ComEd			PHI and Pepco
Nine Months Ended September 30, 2022	Total		Commodity Derivatives			Life Insurance Contracts
Balance at December 31, 2021	$	(182)	$	(219)		$	35
Total realized / unrealized gains (losses)
Included in net income(a)	3		—			3


Included in regulatory assets/liabilities	176		176		(b)	—







Transfers out of Level 3	(1)		—			—
Balance at September 30, 2022	$	(4)	$	(43)	(c)	$	38
The amount of total gains included in income attributed to the change in unrealized gain related to assets and liabilities at September 30, 2022	$	3	$	—		$	3

__________

(a)Classified in Operating and maintenance expense in the Consolidated Statements of Operations and Comprehensive Income.

(b)Includes $5 million of decreases in fair value and an increase for realized gains 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, 2023. Includes $51 million of increases in fair value and a decrease for realized gains due to settlements of $6 million recorded in Purchased power expense associated with floating-to-fixed energy swap contracts with unaffiliated suppliers for the three months ended September 30, 2022. Includes $73 million of decreases in fair value and an increase for realized gains due to settlements of $23 million recorded in Purchased power expense associated with floating-to-fixed energy swap contracts with unaffiliated suppliers for the nine months ended September 30, 2023. Includes $179 million of increases in fair value and a decrease 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 nine months ended September 30, 2022.

(c)The balance consists of a current and noncurrent liability of $21 million and $113 million, respectively, at September 30, 2023. The balance consists of $24 million of current assets and current and noncurrent liability of none and $67 million, respectively at September 30, 2022.

Commodity Derivatives (Exelon and ComEd)

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


Type of trade	Fair Value at September 30, 2023		Fair Value at December 31, 2022		Valuation Technique	Unobservable Input	2023 Range & Arithmetic Average				2022 Range & Arithmetic Average
Commodity derivatives	$	(134)	$	(84)	Discounted Cash Flow	Forward power price(a)	$30.13	-	$72.72	$42.77	$34.78	-	$75.71	$48.44

________

(a)An increase to the forward power price would increase the fair value.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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