Derivatives and Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2011

Derivatives and Fair Value Measurements

Schedule of commodity cash flow hedge gains and losses

Year ended December 31,	2011			2010			2009
	(In millions)
Pre-tax losses	$	(4.0	)	$	(0.3	)	$	(241.0	)

Schedule of pre-tax gains and losses related to hedge ineffectiveness

Year ended December 31,	2011			2010			2009
	(In millions)
Cash-flow hedges	$	(132.4	)	$	(91.3	)	$	11.3
Fair value hedges		(0.7	)		—			23.9
Total	$	(133.1	)	$	(91.3	)	$	35.2

Schedule of gross asset and liability values of derivatives designated in qualifying hedge accounting relationships and those not designated in hedge accounting relationships

As of December 31, 2011	Derivatives Designated as Hedging Instruments for Accounting Purposes					Derivatives Not Designated As Hedging Instruments for Accounting Purposes					All Derivatives Combined
Contract type	Asset Values (3)		Liability Values (4)			Asset Values (3)		Liability Values (4)			Asset Values (3)			Liability Values (4)
	(In millions)
Power contracts	$	1,617.2	$	(1,686.9	)	$	4,785.8	$	(5,105.9	)	$	6,403.0		$	(6,792.8	)
Gas contracts		1,624.5		(2,108.4	)		4,842.8		(4,858.1	)		6,467.3			(6,966.5	)
Coal contracts		34.0		(36.0	)		73.0		(66.3	)		107.0			(102.3	)
Other commodity contracts (1)		—		—			153.8		(144.2	)		153.8			(144.2	)
Interest rate contracts		43.9		(3.6	)		55.1		(49.0	)		99.0			(52.6	)
Foreign exchange contracts		—		—			10.5		(2.8	)		10.5			(2.8	)
Equity contracts		—		—			0.2		—			0.2			—
Total gross fair values	$	3,319.6	$	(3,834.9	)	$	9,921.2	$	(10,226.3	)	$	13,240.8		$	(14,061.2	)
Netting arrangements (5)												(12,989.5	)		12,989.5
Cash collateral												(167.2	)		23.8
Net fair values											$	84.1		$	(1,047.9	)
Net fair value by balance sheet line item:
Accounts receivable (2)											$	(533.1	)
Derivative assets—current												357.9
Derivative assets—noncurrent												259.3
Derivative liabilities—current															(779.5	)
Derivative liabilities—noncurrent															(268.4	)
Total Derivatives											$	84.1		$	(1,047.9	)

(1)

Other commodity contracts include oil, freight, emission allowances, renewable energy credits, and weather contracts.

(2)

Represents the unrealized fair value of exchange traded derivatives, exclusive of cash margin posted.

(3)

Represents in-the-money contracts without regard to potentially offsetting out-of-the-money contracts under master netting agreements.

(4)

Represents out-of-the-money contracts without regard to potentially offsetting in-the-money contracts under master netting agreements.

(5)

Represents the effect of legally enforceable master netting agreements.

As of December 31, 2010	Derivatives Designated as Hedging Instruments for Accounting Purposes					Derivatives Not Designated As Hedging Instruments for Accounting Purposes					All Derivatives Combined
Contract type	Asset Values (3)		Liability Values (4)			Asset Values (3)		Liability Values (4)			Asset Values (3)			Liability Values (4)
	(In millions)
Power contracts	$	1,167.9	$	(1,362.8	)	$	6,795.0	$	(7,166.5	)	$	7,962.9		$	(8,529.3	)
Gas contracts		1,902.3		(1,832.8	)		3,390.1		(3,155.3	)		5,292.4			(4,988.1	)
Coal contracts		97.0		(48.6	)		266.0		(259.7	)		363.0			(308.3	)
Other commodity contracts (1)		—		—			61.4		(61.6	)		61.4			(61.6	)
Interest rate contracts		35.7		—			34.4		(35.7	)		70.1			(35.7	)
Foreign exchange contracts		—		—			11.0		(8.4	)		11.0			(8.4	)
Total gross fair values	$	3,202.9	$	(3,244.2	)	$	10,557.9	$	(10,687.2	)	$	13,760.8		$	(13,931.4	)
Netting arrangements (5)												(12,955.5	)		12,955.5
Cash collateral												(28.4	)		0.6
Net fair values											$	776.9		$	(975.3	)
Net fair value by balance sheet line item:
Accounts receivable (2)											$	(16.4	)
Derivative assets—current												534.4
Derivative assets—noncurrent												258.9
Derivative liabilities—current															(622.3	)
Derivative liabilities—noncurrent															(353.0	)
Total Derivatives											$	776.9		$	(975.3	)

(1)

Other commodity contracts include oil, freight, emission allowances, and weather contracts.

(2)

Represents the unrealized fair value of exchange traded derivatives, exclusive of cash margin posted.

(3)

Represents in-the-money contracts without regard to potentially offsetting out-of-the-money contracts under master netting agreements.

(4)

Represents out-of-the-money contracts without regard to potentially offsetting in-the-money contracts under master netting agreements.

(5)

Represents the effect of legally enforceable master netting agreements.

Schedule of gains (losses) on derivatives by hedging relationship

Cash Flow Hedges																	Year Ended December 31,
	Gain (Loss) Recorded in AOCI										Gain (Loss) Reclassified from AOCI into Earnings									Ineffectiveness Gain (Loss) Recorded in Earnings
										Statement of Income (Loss) Line Item
Contract type:	2011			2010			2009				2011			2010			2009			2011			2010			2009
	(In millions)
Hedges of forecasted sales:										Nonregulated revenues
Power contracts	$	162.3		$	144.5		$	362.5			$	19.2		$	(165.8	)	$	(180.6	)	$	70.9		$	8.9		$	77.5
Gas contracts		63.5			(59.1	)		(65.1	)			198.5			90.8			(67.3	)		(49.6	)		(0.3	)		6.3
Coal contracts		—			—			10.0				—			—			(229.9	)		—			—			—
Other commodity contracts (1)		—			—			6.8				—			(0.7	)		(0.4	)		—			—			(6.2	)
Interest rate contracts		—			—			(0.3	)			—			—			(0.3	)		—			—			—
Foreign exchange contracts		—			—			2.5				—			(1.0	)		(1.1	)		—			—			—
Total gains (losses)	$	225.8		$	85.4		$	316.4		Total included in nonregulated revenues	$	217.7		$	(76.7	)	$	(479.6	)	$	21.3		$	8.6		$	77.6
Hedges of forecasted purchases:										Fuel and purchased energy expense
Power contracts	$	(295.5	)	$	(377.4	)	$	(1,056.0	)		$	(476.7	)	$	(1,036.1	)	$	(1,905.3	)	$	(52.0	)	$	(40.7	)	$	(42.2	)
Gas contracts		(471.6	)		(141.5	)		103.7				(51.8	)		216.5			165.8			(102.5	)		(64.3	)		(15.2	)
Coal contracts		(11.8	)		65.9			(77.7	)			22.4			(34.6	)		(187.6	)		0.8			4.9			(8.9	)
Other commodity contracts (2)		—			(0.2	)		(12.3	)			—			(0.3	)		8.2			—			0.2			—
Foreign exchange contracts		—			—			—				—			—			—			—			—			—
Total losses	$	(778.9	)	$	(453.2	)	$	(1,042.3	)	Total included in fuel and purchased energy expense	$	(506.1	)	$	(854.5	)	$	(1,918.9	)	$	(153.7	)	$	(99.9	)	$	(66.3	)
Hedges of interest rates:										Interest expense
Interest rate contracts		(3.6	)		—			—				1.2			4.3			0.6			—			—			—
Total (losses) gains	$	(3.6	)	$	—		$	—		Total included in interest expense	$	1.2		$	4.3		$	0.6		$	—		$	—		$	—
Grand total (losses) gains	$	(556.7	)	$	(367.8	)	$	(725.9	)		$	(287.2	)	$	(926.9	)	$	(2,397.9	)	$	(132.4	)	$	(91.3	)	$	11.3

(1)

Other commodity sale contracts include oil and freight contracts.

(2)

Other commodity purchase contracts include freight and emission allowances.

Fair Value Hedges	Year Ended December 31,
		Amount of Gain (Loss) Recognized in Income on Derivative							Amount of Gain (Loss) Recognized in Income on Hedged Item
	Statement of Income (Loss) Line Item
Contract type:		2011		2010		2009			2011			2010			2009
		(In millions)
Gas contracts	Nonregulated revenues	$	23.4	$	—	$	40.6		$	(15.9	)	$	—		$	(16.7	)
Interest rate contracts	Interest expense		32.9		18.0		(0.1	)		(32.8	)		(15.6	)		0.7
Total gains (losses)		$	56.3	$	18.0	$	40.5		$	(48.7	)	$	(15.6	)	$	(16.0	)

Mark-to-Market Derivatives	Year Ended December 31,
		Amount of Gain (Loss) Recorded in Income on Derivative
	Statement of Income (Loss) Line Item
Contract type:		2011			2010			2009
		(In millions)
Commodity contracts:
Power contracts	Nonregulated revenues	$	(51.4	)	$	(26.2	)	$	250.9
Gas contracts	Nonregulated revenues		(224.3	)		41.4			(360.0	)
Coal contracts	Nonregulated revenues		(9.2	)		13.3			14.0
Other commodity contracts (1)	Nonregulated revenues		(4.4	)		(15.4	)		(11.7	)
Coal contracts	Fuel and purchased energy expense		—			—			(109.8	)
Interest rate contracts	Nonregulated revenues		1.6			(2.3	)		(27.2	)
Interest rate contracts	Interest expense		5.2			—			—
Foreign exchange contracts	Nonregulated revenues		0.4			(1.2	)		7.6
Equity contracts	Nonregulated revenues		(0.4	)		—			—
Total gains (losses)		$	(282.5	)	$	9.6		$	(236.2	)

(1)

Other commodity contracts include oil, freight, weather, renewable energy credits, and emission allowances.

Schedule of volume of derivative activities by contractual settlement

Quantities (1) Under Derivative Contracts							As of December 31, 2011
Contract Type (Unit)	2012		2013		2014		2015		2016		Thereafter		Total
	(In millions)
Power (MWH)		20.8		13.0		0.9		0.4		1.7		0.4		37.2
Gas (mmBTU)		263.6		47.7		49.4		18.4		1.8		1.8		382.7
Coal (Tons)		0.8		0.7		—		—		—		—		1.5
Oil (BBL)		0.1		0.3		0.1		—		—		—		0.5
Emission Allowances (Tons)		0.1		0.1		—		—		—		—		0.2
Renewable Energy Credits (Number of credits)		0.3		0.3		0.3		0.3		0.3		0.2		1.7
Equity contracts (Number of shares)		—		—		0.1		0.1		—		—		0.2
Interest Rate Contracts	$	6.7	$	515.2	$	173.0	$	800.0	$	387.0	$	255.6	$	2,137.5
Foreign Exchange Rate Contracts	$	44.1	$	8.0	$	16.8	$	15.5	$	—	$	—	$	84.4

Quantities (1) Under Derivative Contracts							As of December 31, 2010
Contract Type (Unit)	2011		2012		2013		2014		2015		Thereafter		Total
	(In millions)
Power (MWH)		21.2		—		3.8		4.2		2.3		0.2		31.7
Gas (mmBTU)		175.3		90.1		80.2		64.7		24.1		—		434.4
Coal (Tons)		4.4		2.5		0.1		—		—		—		7.0
Oil (BBL)		0.2		0.1		0.1		—		—		—		0.4
Emission Allowances (Tons)		1.5		—		—		—		—		—		1.5
Renewable Energy Credits (Number of credits)		0.4		0.3		0.3		0.3		0.3		0.7		2.3
Interest Rate Contracts	$	639.4	$	490.7	$	941.8	$	405.0	$	460.0	$	175.0	$	3,111.9
Foreign Exchange Rate Contracts	$	48.7	$	8.7	$	16.8	$	16.8	$	15.5	$	—	$	106.5

(1)

Amounts in the table are only intended to provide an indication of the level of derivatives activity and should not be interpreted as a measure of any derivative position or overall economic exposure to market risk. Quantities are expressed as "delta equivalents" on an absolute value basis by contract type by year. Additionally, quantities relate only to derivatives and do not include potentially offsetting quantities associated with physical assets and nonderivative accrual contracts.

Schedule of derivatives with credit risk related contingent features

Credit-Risk Related Contingent Feature						As of December 31, 2011
Gross Fair Value of Derivative Contracts Containing This Feature (1)	Offsetting Fair Value of In-the-Money Contracts Under Master Netting Agreements (2)			Net Fair Value of Derivative Contracts Containing This Feature (3)		Amount of Posted Collateral (4)		Contingent Collateral Obligation (5)
				(In billions)
$3.3	$	(2.4	)	$	0.9	$	0.6	$	0.2

Credit-Risk Related Contingent Feature						As of December 31, 2010
Gross Fair Value of Derivative Contracts Containing This Feature (1)	Offsetting Fair Value of In-the-Money Contracts Under Master Netting Agreements (2)			Net Fair Value of Derivative Contracts Containing This Feature (3)		Amount of Posted Collateral (4)		Contingent Collateral Obligation (5)
				(In billions)
$4.6	$	(3.7	)	$	0.9	$	0.7	$	0.1

(1)

Amount represents the gross fair value of out-of-the-money derivative contracts containing credit-risk-related contingent features that are not fully collateralized by posted cash collateral on an individual, contract-by-contract basis ignoring the effects of master netting agreements.

(2)

Amount represents the offsetting fair value of in-the-money derivative contracts under legally-enforceable master netting agreements with the same counterparty, which reduces the amount of any liability for which we potentially could be required to post collateral.

(3)

Amount represents the net fair value of out-of-the-money derivative contracts containing credit-risk related contingent features after considering the mitigating effects of offsetting positions under master netting arrangements and reflects the actual net liability upon which any potential contingent collateral obligations would be based.

(4)

Amount includes cash collateral posted of $23.8 million and letters of credit of $563.6 million at December 31, 2011 and cash collateral posted of $0.6 million and letters of credit of $656.9 million at December 31, 2010.

(5)

Amounts represent the additional collateral that we could be required to post with counterparties, including both cash collateral and letters of credit, in the event of a credit downgrade to below investment grade after giving consideration to offsetting derivative and non-derivative positions under master netting agreements.

Schedule of assets and liabilities measured at fair value on a recurring basis

	As of December 31, 2011
	Assets			Liabilities
	(In millions)
Cash equivalents	$	344.2		$	—
Debt and equity securities		39.8			—
Derivative instruments:
Classified as derivative assets and liabilities:
Current		357.9			(779.5	)
Noncurrent		259.3			(268.4	)
Total classified as derivative assets and liabilities		617.2			(1,047.9	)
Classified as accounts receivable (1)		(533.1	)		—
Total derivative instruments		84.1			(1,047.9	)
Total recurring fair value measurements	$	468.1		$	(1,047.9	)

(1)

Represents the unrealized fair value of exchange traded derivatives, exclusive of cash margin posted.

	As of December 31, 2010
	Assets			Liabilities
	(In millions)
Cash equivalents	$	1,545.4		$	—
Debt and equity securities		47.8			—
Derivative instruments:
Classified as derivative assets and liabilities:
Current		534.4			(622.3	)
Noncurrent		258.9			(353.0	)
Total classified as derivative assets and liabilities		793.3			(975.3	)
Classified as accounts receivable (1)		(16.4	)		—
Total derivative instruments		776.9			(975.3	)
Total recurring fair value measurements	$	2,370.1		$	(975.3	)

(1)

Represents the unrealized fair value of exchange traded derivatives, exclusive of cash margin posted.

Schedule of assets and liabilities measured at fair value on a recurring basis by level within the fair value hierarchy

At December 31, 2011	Level 1			Level 2			Level 3			Netting and Cash Collateral (1)			Total Net Fair Value
	(In millions)
Cash equivalents	$	344.2		$	—		$	—		$	—		$	344.2
Debt and equity securities		30.5			—			9.3			—			39.8
Derivative assets:
Power contracts		—			5,835.2			567.8
Gas contracts		430.5			5,371.2			665.6
Coal contracts		—			106.8			0.2
Other commodity contracts		2.0			35.2			116.6
Interest rate contracts		48.2			50.8			—
Foreign exchange contracts		—			10.5			—
Equity contracts		—			—			0.2
Total derivative assets		480.7			11,409.7			1,350.4			(13,156.7	)		84.1
Derivative liabilities:
Power contracts		—			(6,175.0	)		(617.8	)
Gas contracts		(450.4	)		(6,046.9	)		(470.3	)
Coal contracts		—			(101.6	)		(0.7	)
Other commodity contracts		(2.2	)		(25.2	)		(116.8	)
Interest rate contracts		(47.9	)		—			(3.6	)
Foreign exchange contracts		—			(2.8	)		—
Total derivative liabilities		(500.5	)		(12,351.5	)		(1,209.2	)		13,013.3			(1,047.9	)
Net derivative position		(19.8	)		(941.8	)		141.2			(143.4	)		(963.8	)
Total	$	354.9		$	(941.8	)	$	150.5		$	(143.4	)	$	(579.8	)

(1)

We present our derivative assets and liabilities in our Consolidated Balance Sheets on a net basis. We net derivative assets and liabilities, including cash collateral, when a legally enforceable master netting agreement exists between us and the counterparty to a derivative contract. At December 31, 2011, we included $167.2 million of cash collateral held and $23.8 million of cash collateral posted (excluding margin posted on exchange traded derivatives) in netting amounts in the above table.

At December 31, 2010	Level 1			Level 2			Level 3			Netting and Cash Collateral (1)			Total Net Fair Value
	(In millions)
Cash equivalents	$	1,545.4		$	—		$	—		$	—		$	1,545.4
Debt and equity securities		43.7			—			4.1			—			47.8
Derivative assets:
Power contracts		—			7,509.6			453.3
Gas contracts		63.9			5,113.3			115.2
Coal contracts		—			355.6			7.4
Other commodity contracts		6.6			54.8			—
Interest rate contracts		33.1			37.0			—
Foreign exchange contracts		—			11.0			—
Total derivative assets		103.6			13,081.3			575.9			(12,983.9	)		776.9
Derivative liabilities:
Power contracts		—			(7,758.2	)		(771.1	)
Gas contracts		(72.7	)		(4,910.3	)		(5.1	)
Coal contracts		—			(307.4	)		(0.9	)
Other commodity contracts		(7.1	)		(54.5	)		—
Interest rate contracts		(35.7	)		—			—
Foreign exchange contracts		—			(8.4	)		—
Total derivative liabilities		(115.5	)		(13,038.8	)		(777.1	)		12,956.1			(975.3	)
Net derivative position		(11.9	)		42.5			(201.2	)		(27.8	)		(198.4	)
Total	$	1,577.2		$	42.5		$	(197.1	)	$	(27.8	)	$	1,394.8

(1)

We present our derivative assets and liabilities in our Consolidated Balance Sheets on a net basis. We net derivative assets and liabilities, including cash collateral, when a legally enforceable master netting agreement exists between us and the counterparty to a derivative contract. At December 31, 2010, we included $28.4 million of cash collateral held and $0.6 million of cash collateral posted (excluding margin posted on exchange traded derivatives) in netting amounts in the above table.

Schedule of the reconciliation of changes in Level 3 fair value measurements

	Year Ended December 31,
	2011			2010
	(In millions)
Balance at beginning of period	$	(197.1	)	$	(291.5	)
Realized and unrealized (losses) gains:
Recorded in income		265.0			157.1
Recorded in other comprehensive income		28.2			95.2
Purchases		(3.0	)
Sales		—
Issuances		24.8
Settlements		—
Net purchases, sales, issuances, and settlements (1)		21.8			(65.6	)
Transfers into Level 3 (2)		81.6			73.6
Transfers out of Level 3 (2)		(49.0	)		(165.9	)
Balance at end of year	$	150.5		$	(197.1	)
Change in unrealized gains recorded in income relating to derivatives still held at end of period	$	51.3		$	189.6

(1)

Effective January 1, 2011, we are required to present separately purchases, sales, issuances, and settlements.

(2)

For purposes of this reconciliation, we assumed transfers into and out of Level 3 occurred on the last day of the quarter.

Schedule of financial assets and liabilities measured at fair value on a nonrecurring basis

	Fair Value at December 31, 2011		Losses for the year ended December 31, 2011
	(In millions)
Investment in CENG	$	2,150.4	$	824.2
Other investments:
Qualifying facilities—coal		22.5		36.7
Qualifying facilities—biomass		24.6		23.3
Qualifying facilities—solar		—		6.8
Total other investments		47.1		66.8
Total	$	2,197.5	$	891.0

	Fair Value at September 30, 2010		Fair Value at December 31, 2010		Losses for the year ended December 31, 2010
	(In millions)
Investment in CENG	$	2,970.4	$	N/A	$	2,275.0
Other investments:
UNE		—		N/A		143.4
Qualifying facilities—coal		36.7		N/A		50.0
Qualifying facilities—hydroelectric		N/A		14.8		8.4
Total other investments		36.7		14.8		201.8
Total	$	3,007.1	$	14.8	$	2,476.8

Schedule of carrying amounts and fair values of financial instruments

At December 31,	2011				2010
	Carrying Amount		Fair Value		Carrying Amount		Fair Value
	(In millions)
Investments and other assets—Constellation Energy	$	146.8	$	146.8	$	135.7	$	136.2
Fixed-rate long-term debt:
Constellation Energy (including BGE)		4,132.5		4,702.8		4,229.3		4,518.4
BGE		2,361.9		2,636.8		2,143.6		2,301.8
Variable-rate long-term debt:
Constellation Energy (including BGE)		892.3		892.3		528.7		528.7
BGE		—		—		—		—