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Fair Value of Financial Assets and Liabilities (All Registrants)

3 Months Ended

Mar. 31, 2024

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 2023 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 March 31, 2024 and December 31, 2023. 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.


	March 31, 2024										December 31, 2023
	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	$	42,774	$	—	$	34,426	$	3,613	$	38,039	$	41,095	$	—	$	33,804	$	3,442	$	37,246
ComEd	11,487		—		9,910		—		9,910		11,486		—		10,210		—		10,210
PECO	5,134		—		4,391		—		4,391		5,134		—		4,562		—		4,562
BGE	4,602		—		4,015		—		4,015		4,602		—		4,145		—		4,145
PHI	9,153		—		4,356		3,613		7,969		8,648		—		4,160		3,442		7,602
Pepco	4,359		—		2,549		1,570		4,119		4,096		—		2,311		1,600		3,911
DPL	2,254		—		668		1,274		1,942		2,080		—		694		1,134		1,828
ACE	1,909		—		929		768		1,697		1,833		—		939		708		1,647
Long-Term Debt to Financing Trusts
Exelon	$	390	$	—	$	—	$	392	$	392	$	390	$	—	$	—	$	390	$	390
ComEd	205		—		—		209		209		205		—		—		208		208
PECO	184		—		—		183		183		184		—		—		182		182

__________

(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 2023 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 2023 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 March 31, 2024 and December 31, 2023. Exelon and the Utility Registrants have immaterial and no financial assets or liabilities measured using the NAV practical expedient, respectively:

Exelon


	At March 31, 2024						At December 31, 2023
	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Assets
Cash equivalents(a)	$	883	$	—	$	—	$	883	$	618	$	—	$	—	$	618
Rabbi trust investments
Cash equivalents	68		—		—		68		67		—		—		67
Mutual funds	57		—		—		57		53		—		—		53
Fixed income	—		7		—		7		—		7		—		7
Life insurance contracts	—		65		43		108		—		61		43		104
Rabbi trust investments subtotal	125		72		43		240		120		68		43		231

Interest rate derivative assets
Derivatives designated as hedging instruments	—		2		—		2		—		11		—		11
Economic hedges	—		—		—		—		—		1		—		1
Interest rate derivative assets subtotal	—		2		—		2		—		12		—		12
Total assets	1,008		74		43		1,125		738		80		43		861
Liabilities
Commodity derivative liabilities	—		—		(108)		(108)		—		—		(133)		(133)
Interest rate derivative liabilities
Derivatives designated as hedging instruments	—		(1)		—		(1)		—		(24)		—		(24)
Economic hedges	—		—		—		—		—		(22)		—		(22)
Interest rate derivative liabilities subtotal	—		(1)		—		(1)		—		(46)		—		(46)
Deferred compensation obligation	—		(75)		—		(75)		—		(75)		—		(75)
Total liabilities	—		(76)		(108)		(184)		—		(121)		(133)		(254)
Total net assets (liabilities)	$	1,008	$	(2)	$	(65)	$	941	$	738	$	(41)	$	(90)	$	607

__________

(a)Exelon excludes cash of $271 million and $334 million at March 31, 2024 and December 31, 2023, respectively, and restricted cash of $154 million and $149 million at March 31, 2024 and December 31, 2023, respectively, and includes long-term restricted cash of $99 million and $174 million at March 31, 2024 and December 31, 2023, respectively, which is reported in Other deferred debits and other assets in the Consolidated Balance Sheets.

ComEd, PECO, and BGE


	ComEd								PECO								BGE
At March 31, 2024	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)	$	398	$	—	$	—	$	398	$	14	$	—	$	—	$	14	$	—	$	—	$	—	$	—
Rabbi trust investments

Mutual funds	—		—		—		—		10		—		—		10		10		—		—		10
Life insurance contracts	—		—		—		—		—		19		—		19		—		—		—		—
Rabbi trust investments subtotal	—		—		—		—		10		19		—		29		10		—		—		10

Total assets	398		—		—		398		24		19		—		43		10		—		—		10
Liabilities
Commodity derivative liabilities(b)	—		—		(108)		(108)		—		—		—		—		—		—		—		—
Deferred compensation obligation	—		(9)		—		(9)		—		(9)		—		(9)		—		(4)		—		(4)
Total liabilities	—		(9)		(108)		(117)		—		(9)		—		(9)		—		(4)		—		(4)
Total net assets (liabilities)	$	398	$	(9)	$	(108)	$	281	$	24	$	10	$	—	$	34	$	10	$	(4)	$	—	$	6


	ComEd								PECO								BGE
At December 31, 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)	$	453	$	—	$	—	$	453	$	9	$	—	$	—	$	9	$	—	$	—	$	—	$	—
Rabbi trust investments
Mutual funds	—		—		—		—		9		—		—		9		9		—		—		9
Life insurance contracts	—		—		—		—		—		18		—		18		—		—		—		—
Rabbi trust investments subtotal	—		—		—		—		9		18		—		27		9		—		—		9
Total assets	453		—		—		453		18		18		—		36		9		—		—		9
Liabilities
Commodity derivative liabilities(b)	—		—		(133)		(133)		—		—		—		—		—		—		—		—
Deferred compensation obligation	—		(8)		—		(8)		—		(8)		—		(8)		—		(4)		—		(4)
Total liabilities	—		(8)		(133)		(141)		—		(8)		—		(8)		—		(4)		—		(4)
Total net assets (liabilities)	$	453	$	(8)	$	(133)	$	312	$	18	$	10	$	—	$	28	$	9	$	(4)	$	—	$	5

__________

(a)ComEd excludes cash of $75 million and $86 million at March 31, 2024 and December 31, 2023, respectively, and restricted cash of $154 million and $147 million at March 31, 2024 and December 31, 2023, respectively. Additionally, ComEd includes long-term restricted cash of $99 million and $174 million at March 31, 2024 and December 31, 2023, respectively, which is reported in Other deferred debits and other assets in the Consolidated Balance Sheets. PECO excludes cash of $34 million and $42 million at March 31, 2024 and December 31, 2023, respectively. BGE excludes cash of $27 million and $47 million at March 31, 2024 and December 31, 2023, respectively, and restricted cash of zero and $1 million at March 31, 2024 and December 31, 2023, respectively.

(b)The Level 3 balance consists of the current and noncurrent liability of $29 million and $79 million, respectively, at March 31, 2024 and $27 million and $106 million, respectively, at December 31, 2023 related to floating-to-fixed energy swap contracts with unaffiliated suppliers.

PHI, Pepco, DPL, and ACE


	At March 31, 2024								At December 31, 2023
PHI	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Assets
Cash equivalents(a)	$	438	$	—	$	—	$	438	$	107	$	—	$	—	$	107
Rabbi trust investments
Cash equivalents	65		—		—		65		64		—		—		64
Mutual funds	9		—		—		9		9		—		—		9
Fixed income	—		7		—		7		—		7		—		7
Life insurance contracts	—		22		41		63		—		21		41		62
Rabbi trust investments subtotal	74		29		41		144		73		28		41		142
Total assets	512		29		41		582		180		28		41		249
Liabilities
Deferred compensation obligation	—		(12)		—		(12)		—		(13)		—		(13)



Total liabilities	—		(12)		—		(12)		—		(13)		—		(13)
Total net assets	$	512	$	17	$	41	$	570	$	180	$	15	$	41	$	236


	Pepco								DPL								ACE
At March 31, 2024	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)	$	192	$	—	$	—	$	192	$	241	$	—	$	—	$	241	$	—	$	—	$	—	$	—




Rabbi trust investments
Cash equivalents	64		—		—		64		—		—		—		—		—		—		—		—

Life insurance contracts	—		22		41		63		—		—		—		—		—		—		—		—
Rabbi trust investments subtotal	64		22		41		127		—		—		—		—		—		—		—		—
Total assets	256		22		41		319		241		—		—		241		—		—		—		—
Liabilities
Deferred compensation obligation	—		(1)		—		(1)		—		—		—		—		—		—		—		—



Total liabilities	—		(1)		—		(1)		—		—		—		—		—		—		—		—
Total net assets	$	256	$	21	$	41	$	318	$	241	$	—	$	—	$	241	$	—	$	—	$	—	$	—


	Pepco								DPL								ACE
At December 31, 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)	$	23	$	—	$	—	$	23	$	1	$	—	$	—	$	1	$	—	$	—	$	—	$	—
Rabbi trust investments
Cash equivalents	63		—		—		63		—		—		—		—		—		—		—		—


Life insurance contracts	—		21		41		62		—		—		—		—		—		—		—		—
Rabbi trust investments subtotal	63		21		41		125		—		—		—		—		—		—		—		—
Total assets	86		21		41		148		1		—		—		1		—		—		—		—
Liabilities
Deferred compensation obligation	—		(1)		—		(1)		—		—		—		—		—		—		—		—



Total liabilities	—		(1)		—		(1)		—		—		—		—		—		—		—		—
Total net assets	$	86	$	20	$	41	$	147	$	1	$	—	$	—	$	1	$	—	$	—	$	—	$	—

__________

(a)PHI excludes cash of $89 million and $96 million at March 31, 2024 and December 31, 2023, respectively, and restricted cash of zero and $1 million at March 31, 2024 and December 31, 2023, respectively. Pepco excludes cash of $28 million and $48 million at March 31, 2024 and December 31, 2023, respectively, and restricted cash of zero and $1 million at March 31, 2024 and December 31, 2023, respectively. DPL excludes cash of $29 million and $15 million at March 31, 2024 and December 31, 2023, respectively. ACE excludes cash of $27 million and $21 million at March 31, 2024 and December 31, 2023, 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 months ended March 31, 2024 and 2023:


	Exelon		ComEd			PHI and Pepco
Three Months Ended March 31, 2024	Total		Commodity Derivatives			Life Insurance Contracts
Balance at December 31, 2023	$	(90)	$	(133)		$	41
Total realized / unrealized gains (losses)
Included in net income(a)	—		—			—


Included in regulatory assets/liabilities	25		25		(b)	—








Balance at March 31, 2024	$	(65)	$	(108)	(c)	$	41
The amount of total gains included in income attributed to the change in unrealized gains related to assets and liabilities at March 31, 2024	$	—	$	—		$	—


	Exelon		ComEd			PHI and Pepco
Three Months Ended March 31, 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)	1		—			1


Included in regulatory assets/liabilities	(14)		(14)		(b)	—








Balance at March 31, 2023	$	(57)	$	(98)		$	41
The amount of total gains included in income attributed to the change in unrealized gain related to assets and liabilities at March 31, 2023	$	1	$	—		$	1

__________

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

(b)Includes $13 million of increases in fair value and an increase for realized gains due to settlements of $12 million recorded in Purchased power expense associated with floating-to-fixed energy swap contracts with unaffiliated suppliers for the three months ended March 31, 2024. Includes $25 million of decreases in fair value and an increase for realized losses due to settlements of $11 million recorded in Purchased power expense associated with floating-to-fixed energy swap contracts with unaffiliated suppliers for the three months ended March 31, 2023.

(c)The balance of the current and noncurrent asset was effectively zero as of March 31, 2024. The balance consists of a current and noncurrent liability of $29 million and $79 million, respectively, as of March 31, 2024.

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 March 31, 2024		Fair Value at December 31, 2023		Valuation Technique	Unobservable Input	2024 Range & Arithmetic Average				2023 Range & Arithmetic Average
Commodity derivatives	$	(108)	$	(133)	Discounted Cash Flow	Forward power price(a)	$22.68	-	$84.62	$46.94	$30.27	-	$73.71	$43.35

________

(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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