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Fair Value of Financial Assets and Liabilities (Tables)

6 Months Ended

Jun. 30, 2020

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 June 30, 2020 and December 31, 2019. 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.



	June 30, 2020								December 31, 2019
	Carrying Amount		Fair Value						Carrying Amount		Fair Value
	Carrying Amount		Level 2		Level 3		Total		Carrying Amount		Level 2		Level 3		Total
Long-Term Debt, including amounts due within one year^(a)
Exelon	$	38,626	$	41,531	$	3,080	$	44,611	$	36,039	$	37,453	$	2,580	$	40,033
Generation	7,433		6,761		1,418		8,179		7,974		7,304		1,366		8,670
ComEd	9,480		11,433		—		11,433		8,491		9,848		—		9,848
PECO	3,752		4,453		50		4,503		3,405		3,868		50		3,918
BGE	3,663		4,203		—		4,203		3,270		3,649		—		3,649
PHI	6,890		6,016		1,612		7,628		6,563		5,902		1,164		7,066
Pepco	3,013		3,270		576		3,846		2,864		3,198		388		3,586
DPL	1,675		1,444		443		1,887		1,567		1,408		311		1,719
ACE	1,420		1,040		593		1,633		1,327		1,026		464		1,490
Long-Term Debt to Financing Trusts^(a)
Exelon	$	390	$	—	$	409	$	409	$	390	$	—	$	428	$	428
ComEd	205		—		216		216		205		—		227		227
PECO	184		—		192		192		184		—		201		201
SNF Obligation
Exelon	$	1,206	$	999	$	—	$	999	$	1,199	$	1,055	$	—	$	1,055
Generation	1,206		999		—		999		1,199		1,055		—		1,055

____

(a)

Includes unamortized debt issuance costs which are not fair valued.

Assets and liabilities measured and recorded at fair value on recurring basis

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 June 30, 2020 and December 31, 2019:

Exelon and Generation



	Exelon														Generation
As of June 30, 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)	$	1,864		$	—		$	—		$	—	$	1,864		$	162		$	—		$	—		$	—	$	162
NDT fund investments
Cash equivalents^(b)	345			78			—			—		423			345			78			—			—		423
Equities	3,080			1,599			—			1,280		5,959			3,080			1,599			—			1,280		5,959
Fixed income
Corporate debt	—			1,501			270			—		1,771			—			1,501			270			—		1,771
U.S. Treasury and agencies	1,864			116			—			—		1,980			1,864			116			—			—		1,980
Foreign governments	—			42			—			—		42			—			42			—			—		42
State and municipal debt	—			94			—			—		94			—			94			—			—		94
Other	—			29			—			965		994			—			29			—			965		994
Fixed income subtotal	1,864			1,782			270			965		4,881			1,864			1,782			270			965		4,881
Private credit	—			—			229			510		739			—			—			229			510		739
Private equity	—			—			—			423		423			—			—			—			423		423
Real estate	—			—			—			647		647			—			—			—			647		647
NDT fund investments subtotal^(c)(d)	5,289			3,459			499			3,825		13,072			5,289			3,459			499			3,825		13,072
Rabbi trust investments
Cash equivalents	50			—			—			—		50			4			—			—			—		4
Mutual funds	79			—			—			—		79			25			—			—			—		25
Fixed income	—			10			—			—		10			—			—			—			—		—
Life insurance contracts	—			77			43			—		120			—			24			—			—		24
Rabbi trust investments subtotal	129			87			43			—		259			29			24			—			—		53
Commodity derivative assets
Economic hedges	770			2,382			1,670			—		4,822			770			2,382			1,670			—		4,822
Proprietary trading	—			47			43			—		90			—			47			43			—		90
Effect of netting and allocation of collateral^(e)(f)	(849		)	(2,124		)	(903		)	—		(3,876		)	(849		)	(2,124		)	(903		)	—		(3,876		)
Commodity derivative assets subtotal	(79		)	305			810			—		1,036			(79		)	305			810			—		1,036
DPP consideration	—			635			—			—		635			—			635			—			—		635
Total assets	7,203			4,486			1,352			3,825		16,866			5,401			4,423			1,309			3,825		14,958



	Exelon														Generation
As of June 30, 2020	Level 1			Level 2			Level 3			Not subject to leveling		Total			Level 1			Level 2			Level 3			Not subject to leveling		Total
Liabilities
Commodity derivative liabilities
Economic hedges	(933		)	(2,541		)	(1,529		)	—		(5,003		)	(933		)	(2,541		)	(1,211		)	—		(4,685		)
Proprietary trading	—			(44		)	(16		)	—		(60		)	—			(44		)	(16		)	—		(60		)
Effect of netting and allocation of collateral^(e)(f)	933			2,443			1,076			—		4,452			933			2,443			1,076			—		4,452
Commodity derivative liabilities subtotal	—			(142		)	(469		)	—		(611		)	—			(142		)	(151		)	—		(293		)
Deferred compensation obligation	—			(127		)	—			—		(127		)	—			(35		)	—			—		(35		)
Total liabilities	—			(269		)	(469		)	—		(738		)	—			(177		)	(151		)	—		(328		)
Total net assets	$	7,203		$	4,217		$	883		$	3,825	$	16,128		$	5,401		$	4,246		$	1,158		$	3,825	$	14,630



	Exelon														Generation
As of December 31, 2019	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)	$	639		$	—		$	—		$	—	$	639		$	214		$	—		$	—		$	—	$	214
NDT fund investments
Cash equivalents^(b)	365			87			—			—		452			365			87			—			—		452
Equities	3,353			1,753			—			1,388		6,494			3,353			1,753			—			1,388		6,494
Fixed income
Corporate debt	—			1,469			257			—		1,726			—			1,469			257			—		1,726
U.S. Treasury and agencies	1,808			131			—			—		1,939			1,808			131			—			—		1,939
Foreign governments	—			42			—			—		42			—			42			—			—		42
State and municipal debt	—			90			—			—		90			—			90			—			—		90
Other	—			33			—			953		986			—			33			—			953		986
Fixed income subtotal	1,808			1,765			257			953		4,783			1,808			1,765			257			953		4,783
Private credit	—			—			254			508		762			—			—			254			508		762
Private equity	—			—			—			402		402			—			—			—			402		402
Real estate	—			—			—			607		607			—			—			—			607		607
NDT fund investments subtotal^(c)(d)	5,526			3,605			511			3,858		13,500			5,526			3,605			511			3,858		13,500
Rabbi trust investments
Cash equivalents	50			—			—			—		50			4			—			—			—		4
Mutual funds	81			—			—			—		81			25			—			—			—		25
Fixed income	—			12			—			—		12			—			—			—			—		—
Life insurance contracts	—			78			41			—		119			—			25			—			—		25
Rabbi trust investments subtotal	131			90			41			—		262			29			25			—			—		54
Commodity derivative assets
Economic hedges	768			2,491			1,485			—		4,744			768			2,491			1,485			—		4,744
Proprietary trading	—			37			60			—		97			—			37			60			—		97
Effect of netting and allocation of collateral^(e)(f)	(908		)	(2,162		)	(588		)	—		(3,658		)	(908		)	(2,162		)	(588		)	—		(3,658		)
Commodity derivative assets subtotal	(140		)	366			957			—		1,183			(140		)	366			957			—		1,183
Total assets	6,156			4,061			1,509			3,858		15,584			5,629			3,996			1,468			3,858		14,951



	Exelon														Generation
As of December 31, 2019	Level 1			Level 2			Level 3			Not subject to leveling		Total			Level 1			Level 2			Level 3			Not subject to leveling		Total
Liabilities
Commodity derivative liabilities
Economic hedges	(1,071		)	(2,855		)	(1,228		)	—		(5,154		)	(1,071		)	(2,855		)	(927		)	—		(4,853		)
Proprietary trading	—			(34		)	(15		)	—		(49		)	—			(34		)	(15		)	—		(49		)
Effect of netting and allocation of collateral^(e)(f)	1,071			2,714			802			—		4,587			1,071			2,714			802			—		4,587
Commodity derivative liabilities subtotal	—			(175		)	(441		)	—		(616		)	—			(175		)	(140		)	—		(315		)
Deferred compensation obligation	—			(147		)	—			—		(147		)	—			(41		)	—			—		(41		)
Total liabilities	—			(322		)	(441		)	—		(763		)	—			(216		)	(140		)	—		(356		)
Total net assets	$	6,156		$	3,739		$	1,068		$	3,858	$	14,821		$	5,629		$	3,780		$	1,328		$	3,858	$	14,595

_________

(a)

Exelon excludes cash of $684 million and $373 million at June 30, 2020 and December 31, 2019, respectively, and restricted cash of $132 million and $110 million at June 30, 2020 and December 31, 2019, respectively, and includes long-term restricted cash of $178 million and $177 million at June 30, 2020 and December 31, 2019, respectively, which is reported in Other deferred debits in the Consolidated Balance Sheets. Generation excludes cash of $401 million and $177 million at June 30, 2020 and December 31, 2019, respectively, and restricted cash of $73 million and $58 million at June 30, 2020 and December 31, 2019, respectively.


(b)	Includes $101 million and $90 million of cash received from outstanding repurchase agreements at June 30, 2020 and December 31, 2019, respectively, and is offset by an obligation to repay upon settlement of the agreement as discussed in (d) below.

(c)

Includes derivative assets of less than $1 million and $2 million, which have total notional amounts of $769 million and $724 million at June 30, 2020 and December 31, 2019, respectively. The notional principal amounts for these instruments provide one measure of the transaction volume outstanding as of the fiscal years ended and do not represent the amount of Exelon and Generation's exposure to credit or market loss.

(d)

Excludes net liabilities of $155 million and $147 million at June 30, 2020 and December 31, 2019, 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.

(e)

Collateral posted/(received) from counterparties totaled $84 million, $319 million and $173 million allocated to Level 1, Level 2 and Level 3 mark-to-market derivatives, respectively, as of June 30, 2020. Collateral posted/(received) from counterparties, net of collateral paid to counterparties, totaled $163 million, $551 million and $214 million allocated to Level 1, Level 2 and Level 3 mark-to-market derivatives, respectively, as of December 31, 2019.


(f)	Of the collateral posted/(received), $383 million and $511 million represents variation margin on the exchanges as of June 30, 2020 and December 31, 2019, respectively.

As of June 30, 2020, Exelon and Generation have outstanding commitments to invest in fixed income, private credit, private equity and real estate investments of approximately $58 million, $147 million, $316 million, and $410 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 $76 million and $66 million as of June 30, 2020, respectively. Changes in fair value, cumulative adjustments and impairments were not material for the three and six months ended June 30, 2020.

ComEd, PECO and BGE



	ComEd											PECO										BGE
As of June 30, 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)	$	578	$	—		$	—		$	578		$	353	$	—		$	—	$	353		$	188	$	—		$	—	$	188
Rabbi trust investments
Mutual funds	—		—			—			—			8		—			—		8			10		—			—		10
Life insurance contracts	—		—			—			—			—		11			—		11			—		—			1		1
Rabbi trust investments subtotal	—		—			—			—			8		11			—		19			10		—			1		11
Total assets	578		—			—			578			361		11			—		372			198		—			1		199
Liabilities
Deferred compensation obligation	—		(6		)	—			(6		)	—		(8		)	—		(8		)	—		(5		)	—		(5		)
Mark-to-market derivative liabilities^(b)	—		—			(318		)	(318		)	—		—			—		—			—		—			—		—
Total liabilities	—		(6		)	(318		)	(324		)	—		(8		)	—		(8		)	—		(5		)	—		(5		)
Total net assets (liabilities)	$	578	$	(6	)	$	(318	)	$	254		$	361	$	3		$	—	$	364		$	198	$	(5	)	$	1	$	194



	ComEd											PECO										BGE
As of December 31, 2019	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)	$	280	$	—		$	—		$	280		$	15	$	—		$	—	$	15		$	—	$	—		$	—	$	—
Rabbi trust investments
Mutual funds	—		—			—			—			8		—			—		8			8		—			—		8
Life insurance contracts	—		—			—			—			—		11			—		11			—		—			—		—
Rabbi trust investments subtotal	—		—			—			—			8		11			—		19			8		—			—		8
Total assets	280		—			—			280			23		11			—		34			8		—			—		8
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)	$	280	$	(8	)	$	(301	)	$	(29	)	$	23	$	2		$	—	$	25		$	8	$	(5	)	$	—	$	3

_________

(a)

ComEd excludes cash of $109 million and $90 million at June 30, 2020 and December 31, 2019, respectively, and restricted cash of $37 million and $33 million at June 30, 2020 and December 31, 2019, respectively, and includes long-term restricted cash of $166 million and $163 million at June 30, 2020 and December 31, 2019, respectively, which is reported in Other deferred debits in the Consolidated Balance Sheets. PECO excludes cash of $34 million and $12 million at June 30, 2020 and December 31, 2019, respectively. BGE excludes cash of $7 million and $24 million at June 30, 2020 and December 31, 2019, respectively, and restricted cash of $1 million at both June 30, 2020 and December 31, 2019.


(b)	The Level 3 balance consists of the current and noncurrent liability of $31 million and $287 million, respectively, at June 30, 2020, and $32 million and $269 million, respectively, at December 31, 2019, related to floating-to-fixed energy swap contracts with unaffiliated suppliers.

PHI, Pepco, DPL and ACE



	As of June 30, 2020										As of December 31, 2019
PHI	Level 1		Level 2			Level 3		Total			Level 1		Level 2			Level 3		Total
Assets
Cash equivalents^(a)	$	50	$	—		$	—	$	50		$	124	$	—		$	—	$	124
Rabbi trust investments
Cash equivalents	44		—			—		44			44		—			—		44
Mutual funds	13		—			—		13			14		—			—		14
Fixed income	—		10			—		10			—		12			—		12
Life insurance contracts	—		24			43		67			—		24			41		65
Rabbi trust investments subtotal	57		34			43		134			58		36			41		135
Total assets	107		34			43		184			182		36			41		259
Liabilities
Deferred compensation obligation	—		(16		)	—		(16		)	—		(19		)	—		(19		)
Total liabilities	—		(16		)	—		(16		)	—		(19		)	—		(19		)
Total net assets	$	107	$	18		$	43	$	168		$	182	$	17		$	41	$	240



	Pepco										DPL								ACE
As of June 30, 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)	$	34	$	—		$	—	$	34		$	—	$	—	$	—	$	—	$	14	$	—	$	—	$	14
Rabbi trust investments
Cash equivalents	43		—			—		43			—		—		—		—		—		—		—		—
Fixed income	—		2			—		2			—		—		—		—		—		—		—		—
Life insurance contracts	—		24			42		66			—		—		—		—		—		—		—		—
Rabbi trust investments subtotal	43		26			42		111			—		—		—		—		—		—		—		—
Total assets	77		26			42		145			—		—		—		—		14		—		—		14
Liabilities
Deferred compensation obligation	—		(2		)	—		(2		)	—		—		—		—		—		—		—		—
Total liabilities	—		(2		)	—		(2		)	—		—		—		—		—		—		—		—
Total net assets	$	77	$	24		$	42	$	143		$	—	$	—	$	—	$	—	$	14	$	—	$	—	$	14



	Pepco										DPL								ACE
As of December 31, 2019	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)	$	34	$	—		$	—	$	34		$	—	$	—	$	—	$	—	$	16	$	—	$	—	$	16
Rabbi trust investments
Cash equivalents	43		—			—		43			—		—		—		—		—		—		—		—
Fixed income	—		2			—		2			—		—		—		—		—		—		—		—
Life insurance contracts	—		24			41		65			—		—		—		—		—		—		—		—
Rabbi trust investments subtotal	43		26			41		110			—		—		—		—		—		—		—		—
Total assets	77		26			41		144			—		—		—		—		16		—		—		16
Liabilities
Deferred compensation obligation	—		(2		)	—		(2		)	—		—		—		—		—		—		—		—
Total liabilities	—		(2		)	—		(2		)	—		—		—		—		—		—		—		—
Total net assets (liabilities)	$	77	$	24		$	41	$	142		$	—	$	—	$	—	$	—	$	16	$	—	$	—	$	16

_________

(a)

PHI excludes cash of $36 million and $57 million at June 30, 2020 and December 31, 2019, respectively, and includes long-term restricted cash of $11 million and $14 million at June 30, 2020 and December 31, 2019, respectively, which is reported in Other deferred debits in the Consolidated Balance Sheets. Pepco excludes cash of $18 million and $29 million at June 30, 2020 and December 31, 2019, respectively. DPL excludes cash of $6 million and $13 million at June 30, 2020 and December 31, 2019, respectively. ACE excludes cash of $8 million and $12 million at June 30, 2020 and December 31, 2019, respectively, and includes long-term restricted cash of $11 million and $14 million at June 30, 2020 and December 31, 2019, 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 three and six months ended June 30, 2020 and 2019:




	Exelon			Generation										ComEd				PHI and Pepco
Three Months Ended June 30, 2020	Total			NDT Fund Investments			Mark-to-Market Derivatives				Total Generation			Mark-to-Market Derivatives				Life Insurance Contracts		Eliminated in Consolidation

Balance as of March 31, 2020	$	1,088		$	498		$	862			$	1,360		$	(314	)		$	42	$	—
Total realized / unrealized gains (losses)
Included in net income	(166		)	(1		)	(166		)	^(a)	(167		)	—				1		—
Included in regulatory assets/liabilities	(4		)	—			—				—			(4		)	^(b)	—		—
Change in collateral	(42		)	—			(42		)		(42		)	—				—		—
Purchases, sales, issuances and settlements
Purchases	30			3			27				30			—				—		—
Sales	(2		)	—			(2		)		(2		)	—				—		—
Settlements	(1		)	(1		)	—				(1		)	—				—		—
Transfers into Level 3	(9		)	—			(9		)	^(c)	(9		)	—				—		—
Transfers out of Level 3	(11		)	—			(11		)	^(c)	(11		)	—				—		—
Balance at June 30, 2020	$	883		$	499		$	659			$	1,158		$	(318	)		$	43	$	—
The amount of total (losses) gains included in income attributed to the change in unrealized gains (losses) related to assets and liabilities as of June 30, 2020	$	(72	)	$	(1	)	$	(72	)		$	(73	)	$	—			$	1	$	—



	Exelon			Generation										ComEd				PHI and Pepco
Six months ended June 30, 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	(156		)	(2		)	(156		)	^(a)	(158		)	—				2		—
Included in noncurrent payables to affiliates	—			(1		)	—				(1		)	—				—		1
Included in regulatory assets	(18		)	—			—				—			(17		)	^(b)	—		(1		)
Change in collateral	(41		)	—			(41		)		(41		)	—				—		—
Purchases, sales, issuances and settlements
Purchases	71			6			65				71			—				—		—
Sales	(24		)	—			(24		)		(24		)	—				—		—
Settlements	(15		)	(15		)	—				(15		)	—				—		—
Transfers into Level 3	(6		)	—			(6		)	^(c)	(6		)	—				—		—
Transfers out of Level 3	4			—			4			^(c)	4			—				—		—
Balance as of June 30, 2020	$	883		$	499		$	659			$	1,158		$	(318	)		$	43	$	—
The amount of total gains (losses) included in income attributed to the change in unrealized gains (losses) related to assets and liabilities as of June 30, 2020	$	115		$	(2	)	$	115			$	113		$	—			$	2	$	—




	Exelon			Generation										ComEd				PHI and Pepco
Three Months Ended June 30, 2019	Total			NDT Fund Investments			Mark-to-Market Derivatives				Total Generation			Mark-to-Market Derivatives				Life Insurance Contracts		Eliminated in Consolidation
Balance as of March 31, 2019	$	838		$	540		$	499			$	1,039		$	(240	)		$	39	$	—
Total realized / unrealized gains (losses)
Included in net income	275			2			272			^(a)	274			—				1		—
Included in noncurrent payables to affiliates	—			10			—				10			—				—		(10		)
Included in regulatory assets	(23		)	—			—				—			(33		)	^(b)	—		10
Change in collateral	106			—			106				106			—				—		—
Purchases, sales, issuances and settlements
Purchases	51			40			11				51			—				—		—
Sales	(1		)	—			(1		)		(1		)	—				—		—
Settlements	(53		)	(53		)	—				(53		)	—				—		—
Transfers into Level 3	3			—			3			^(c)	3			—				—		—
Transfers out of Level 3	(17		)	—			(17		)	^(c)	(17		)	—				—		—
Balance as of June 30, 2019	$	1,179		$	539		$	873			$	1,412		$	(273	)		$	40	$	—
The amount of total gains (losses) included in income attributed to the change in unrealized gains (losses) related to assets and liabilities as of June 30, 2019	$	339		$	1		$	337			$	338		$	—			$	1	$	—



	Exelon			Generation										ComEd				PHI and Pepco
Six Months Ended June 30, 2019	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, 2018	$	907		$	543		$	575			$	1,118		$	(249	)		$	38	$	—
Total realized / unrealized gains (losses)
Included in net income	46			3			41			^(a)	44			—				2		—
Included in noncurrent payables to affiliates	—			21			—				21			—				—		(21		)
Included in regulatory assets	(3		)	—			—				—			(24		)	^(b)	—		21
Change in collateral	187			—			187				187			—				—		—
Purchases, sales, issuances and settlements
Purchases	110			42			68				110			—				—		—
Sales	(1		)	—			(1		)		(1		)	—				—		—
Settlements	(70		)	(70		)	—				(70		)	—				—		—
Transfers into Level 3	3			—			3			^(c)	3			—				—		—
Transfers out of Level 3	—			—			—			^(c)	—			—				—		—
Balance as of June 30, 2019	$	1,179		$	539		$	873			$	1,412		$	(273	)		$	40	$	—
The amount of total (losses) gains included in income attributed to the change in unrealized gains (losses) related to assets and liabilities as of June 30, 2019	$	191		$	3		$	186			$	189		$	—			$	2	$	—

__________


(a)	Includes a reduction for the reclassification of $94 million and $271 million of realized losses due to the settlement of derivative contracts for the three and six months ended June 30, 2020. Includes a reduction for the reclassification of $65 million and $145 million of realized losses due to the settlement of derivative contracts for the three and six months ended June 30, 2019.

(b)

Includes $12 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 June 30, 2020. Includes $35 million of decreases in fair value and an increase for realized losses due to settlements of $18 million recorded in purchased power expense associated with floating-to-fixed energy swap contracts with unaffiliated suppliers for the six months ended June 30, 2020. Includes $41 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 June 30, 2019. Includes $37 million of decreases in fair value and an increase for realized losses due to settlements of $13 million recorded in purchased power expense associated with floating-to-fixed energy swap contracts with unaffiliated suppliers for the six months ended June 30, 2019.

(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 three and six months ended June 30, 2020 and 2019:



	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 realized (losses) gains for the three months ended June 30, 2020	$	(137	)	$	(29	)	$	1	$	—		$	(137	)	$	(29	)	$	—		$	1
Total realized (losses) gains for the six months ended June 30, 2020	(65		)	(91		)	2		—			(65		)	(91		)	—			2
Total unrealized (losses) gains for the three months ended June 30, 2020	(39		)	(33		)	1		(1		)	(39		)	(33		)	(1		)	1
Total unrealized gains (losses) for the six months ended June 30, 2020	166			(51		)	2		(2		)	166			(51		)	(2		)	2



	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 realized gains (losses) for the three months ended June 30, 2019	$	275	$	(3	)	$	1	$	2	$	275	$	(3	)	$	2	$	1
Total realized gains (losses) for the six months ended June 30, 2019	147		(106		)	2		3		147		(106		)	3		2
Total unrealized gains (losses) for the three months ended June 30, 2019	360		(23		)	1		1		360		(23		)	1		1
Total unrealized gains (losses) gains for the six months ended June 30, 2019	269		(83		)	2		3		269		(83		)	3		2

Fair value reconciliation of Level 3 assets and liabilities measured at fair value on a recurring basis, valuation technique

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



Type of trade	Fair Value at June 30, 2020			Fair Value at December 31, 2019			Valuation Technique	Unobservable Input	2020 Range & Arithmetic Average				2019 Range & Arithmetic Average
Mark-to-market derivatives — Economic Hedges (Exelon and Generation)^(a)(b)	$	459		$	558		Discounted Cash Flow	Forward power price	$7	-	$148	$28	$9	-	$180	$29
								Forward gas price	$1.45	-	$7.66	$2.58	$0.83	-	$10.72	$2.55
							Option Model	Volatility percentage	9%	-	522%	92%	8%	-	236%	70%

Mark-to-market derivatives — Proprietary trading (Exelon and Generation)^(a)(b)	$	27		$	45		Discounted Cash Flow	Forward power price	$13	-	$148	$32	$25	-	$180	$33

Mark-to-market derivatives (Exelon and ComEd)	$	(318	)	$	(301	)	Discounted Cash Flow	Forward heat rate^(c)	8x	-	9x	8.85x	9x	-	10x	9.68x
								Marketability reserve	4%	-	8%	5.24%	3%	-	7%	4.95%
								Renewable factor	93%	-	122%	100%	91%	-	123%	99%

_________


(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 $173 million and $214 million as of June 30, 2020 and December 31, 2019, 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.