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Fair Value of Financial Assets and Liabilities (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2021 and December 31, 2020. 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, 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	$	38,710	$	40,956	$	3,189	$	44,145	$	36,912	$	40,688	$	3,064	$	43,752
Generation	6,178		5,776		1,145		6,921		6,087		5,648		1,208		6,856
ComEd	9,675		11,407		—		11,407		8,983		11,117		—		11,117
PECO	4,125		4,722		50		4,772		3,753		4,553		50		4,603
BGE	4,259		4,748		—		4,748		3,664		4,366		—		4,366
PHI	7,369		6,048		1,994		8,042		7,006		6,099		1,806		7,905
Pepco	3,318		3,240		860		4,100		3,165		3,336		748		4,084
DPL	1,804		1,434		556		1,990		1,677		1,484		455		1,939
ACE	1,515		1,117		578		1,695		1,413		1,018		602		1,620
Long-Term Debt to Financing Trusts(a)
Exelon	$	390	$	—	$	482	$	482	$	390	$	—	$	467	$	467
ComEd	205		—		253		253		205		—		246		246
PECO	184		—		229		229		184		—		221		221
SNF Obligation
Exelon	$	1,209	$	995	$	—	$	995	$	1,208	$	909	$	—	$	909
Generation	1,209		995		—		995		1,208		909		—		909

__________

(a)Includes unamortized debt issuance costs which are not fair valued.

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis [Table Text Block]

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, 2021 and December 31, 2020:

Exelon and Generation


	Exelon										Generation
As of June 30, 2021	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)	$	1,167	$	—	$	—	$	—	$	1,167	$	162	$	—	$	—	$	—	$	162
NDT fund investments
Cash equivalents(b)	552		75		—		—		627		552		75		—		—		627



Equities	4,770		1,720		—		1,671		8,161		4,770		1,720		—		1,671		8,161
Fixed income
Corporate debt(c)	—		1,146		285		—		1,431		—		1,146		285		—		1,431
U.S. Treasury and agencies	2,052		39		—		—		2,091		2,052		39		—		—		2,091
Foreign governments	—		51		—		—		51		—		51		—		—		51
State and municipal debt	—		28		—		—		28		—		28		—		—		28
Other	32		31		—		1,113		1,176		32		31		—		1,113		1,176
Fixed income subtotal	2,084		1,295		285		1,113		4,777		2,084		1,295		285		1,113		4,777
Private credit	—		—		176		607		783		—		—		176		607		783
Private equity	—		—		—		580		580		—		—		—		580		580
Real estate	—		—		—		762		762		—		—		—		762		762

NDT fund investments subtotal(d)(e)	7,406		3,090		461		4,733		15,690		7,406		3,090		461		4,733		15,690
Rabbi trust investments
Cash equivalents	65		—		—		—		65		4		—		—		—		4
Mutual funds	99		—		—		—		99		33		—		—		—		33
Fixed income	—		11		—		—		11		—		—		—		—		—
Life insurance contracts	—		94		34		—		128		—		31		—		—		31
Rabbi trust investments subtotal	164		105		34		—		303		37		31		—		—		68
Investments in equities(f)	327		—		—		—		327		327		—		—		—		327
Commodity derivative assets
Economic hedges	1,781		3,917		2,840		—		8,538		1,781		3,917		2,840		—		8,538
Proprietary trading	—		62		12		—		74		—		62		12		—		74
Effect of netting and allocation of collateral(g)(h)	(1,411)		(3,502)		(2,513)		—		(7,426)		(1,411)		(3,502)		(2,513)		—		(7,426)
Commodity derivative assets subtotal	370		477		339		—		1,186		370		477		339		—		1,186
DPP consideration	—		374		—		—		374		—		374		—		—		374


	Exelon										Generation
As of June 30, 2021	Level 1		Level 2		Level 3		Not subject to leveling		Total		Level 1		Level 2		Level 3		Not subject to leveling		Total
Total assets	9,434		4,046		834		4,733		19,047		8,302		3,972		800		4,733		17,807
Liabilities
Commodity derivative liabilities
Economic hedges	(1,245)		(3,444)		(3,390)		—		(8,079)		(1,245)		(3,444)		(3,125)		—		(7,814)
Proprietary trading	—		(45)		(16)		—		(61)		—		(45)		(16)		—		(61)
Effect of netting and allocation of collateral(g)(h)	1,242		3,295		2,337		—		6,874		1,242		3,295		2,337		—		6,874
Commodity derivative liabilities subtotal	(3)		(194)		(1,069)		—		(1,266)		(3)		(194)		(804)		—		(1,001)
Deferred compensation obligation	—		(144)		—		—		(144)		—		(42)		—		—		(42)
Total liabilities	(3)		(338)		(1,069)		—		(1,410)		(3)		(236)		(804)		—		(1,043)
Total net assets (liabilities)	$	9,431	$	3,708	$	(235)	$	4,733	$	17,637	$	8,299	$	3,736	$	(4)	$	4,733	$	16,764


	Exelon										Generation
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)	$	686	$	—	$	—	$	—	$	686	$	124	$	—	$	—	$	—	$	124
NDT fund investments
Cash equivalents(b)	210		95		—		—		305		210		95		—		—		305



Equities	3,886		2,077		—		1,562		7,525		3,886		2,077		—		1,562		7,525
Fixed income
Corporate debt(c)	—		1,485		285		—		1,770		—		1,485		285		—		1,770
U.S. Treasury and agencies	1,871		126		—		—		1,997		1,871		126		—		—		1,997
Foreign governments	—		56		—		—		56		—		56		—		—		56
State and municipal debt	—		101		—		—		101		—		101		—		—		101
Other	—		41		—		961		1,002		—		41		—		961		1,002
Fixed income subtotal	1,871		1,809		285		961		4,926		1,871		1,809		285		961		4,926
Private credit	—		—		212		629		841		—		—		212		629		841
Private equity	—		—		—		504		504		—		—		—		504		504
Real estate	—		—		—		679		679		—		—		—		679		679

NDT fund investments subtotal(d)(e)	5,967		3,981		497		4,335		14,780		5,967		3,981		497		4,335		14,780
Rabbi trust investments
Cash equivalents	60		—		—		—		60		4		—		—		—		4
Mutual funds	91		—		—		—		91		29		—		—		—		29
Fixed income	—		11		—		—		11		—		—		—		—		—
Life insurance contracts	—		87		34		—		121		—		28		—		—		28
Rabbi trust investments subtotal	151		98		34		—		283		33		28		—		—		61
Investments in equities(f)	195		—		—		—		195		195		—		—		—		195
Commodity derivative assets
Economic hedges	745		1,914		1,599		—		4,258		745		1,914		1,599		—		4,258
Proprietary trading	—		17		27		—		44		—		17		27		—		44


	Exelon										Generation
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
Effect of netting and allocation of collateral(g)(h)	(607)		(1,597)		(905)		—		(3,109)		(607)		(1,597)		(905)		—		(3,109)
Commodity derivative assets subtotal	138		334		721		—		1,193		138		334		721		—		1,193
DPP consideration	—		639		—		—		639		—		639		—		—		639
Total assets	7,137		5,052		1,252		4,335		17,776		6,457		4,982		1,218		4,335		16,992
Liabilities
Commodity derivative liabilities
Economic hedges	(682)		(1,928)		(1,655)		—		(4,265)		(682)		(1,928)		(1,354)		—		(3,964)
Proprietary trading	—		(21)		(4)		—		(25)		—		(21)		(4)		—		(25)
Effect of netting and allocation of collateral(g)(h)	540		1,918		1,067		—		3,525		540		1,918		1,067		—		3,525
Commodity derivative liabilities subtotal	(142)		(31)		(592)		—		(765)		(142)		(31)		(291)		—		(464)
Deferred compensation obligation	—		(145)		—		—		(145)		—		(42)		—		—		(42)
Total liabilities	(142)		(176)		(592)		—		(910)		(142)		(73)		(291)		—		(506)
Total net assets	$	6,995	$	4,876	$	660	$	4,335	$	16,866	$	6,315	$	4,909	$	927	$	4,335	$	16,486

__________

(a)Exelon excludes cash of $728 million and $409 million at June 30, 2021 and December 31, 2020, respectively, and restricted cash of $114 million and $59 million at June 30, 2021 and December 31, 2020, respectively, and includes long-term restricted cash of $52 million and $53 million at June 30, 2021 and December 31, 2020, respectively, which is reported in Other deferred debits in the Consolidated Balance Sheets. Generation excludes cash of $407 million and $171 million at June 30, 2021 and December 31, 2020, respectively, and restricted cash of $32 million and $20 million at June 30, 2021 and December 31, 2020, respectively.

(b)Includes $103 million and $116 million of cash received from outstanding repurchase agreements at June 30, 2021 and December 31, 2020, respectively, 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 $(52) million and $(62) million as of June 30, 2021 and December 31, 2020, respectively, held in an investment vehicle primarily to hedge the equity option component of its convertible debt.

(d)Includes derivative assets of less than $1 million and $2 million, which have total notional amounts of $2,016 million and $1,043 million at June 30, 2021 and December 31, 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 and Generation's exposure to credit or market loss.

(e)Excludes net liabilities of $94 million and $181 million at June 30, 2021 and December 31, 2020, respectively, which include certain derivative assets that have notional amounts of $137 million and $104 million at June 30, 2021 and December 31, 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 held by Generation which were previously designated as equity investments without readily determinable fair value but are now publicly traded and therefore have readily determinable fair values. The first investment became publicly traded in the fourth quarter of 2020. Generation recorded the fair value of these investments in Other current assets on Exelon's and Generation's Consolidated Balance Sheets based on the quoted market prices of the stocks at June 30, 2021, which resulted in unrealized gains for investments that became publicly traded during 2021 of $102 million and $220 million within Other, net in Exelon's and Generation's Consolidated Statements of Operations and Comprehensive Income for the three and six months ended June 30, 2021, respectively.

(g)Collateral (received) from counterparties, net of collateral paid to counterparties, totaled $(169) million, $(207) million, and $(176) million allocated to Level 1, Level 2, and Level 3 mark-to-market derivatives, respectively, as of June 30, 2021. Collateral (received)/posted 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 $858 million held and $209 million posted of variation margin with the exchanges as of June 30, 2021 and December 31, 2020, respectively.

As of June 30, 2021, Exelon and Generation have outstanding commitments to invest in private credit, private equity, and real estate investments of approximately $364 million, $224 million, and $320 million, respectively. These commitments will be funded by Generation’s existing NDT funds.

Exelon and Generation held investments without readily determinable fair values with carrying amounts of $38 million and $26 million as of June 30, 2021, respectively. Exelon and Generation held investments without readily determinable fair values with carrying amounts of $73 million and $55 million as of December 31, 2020, respectively. Changes in fair value, cumulative adjustments, and impairments were not material for the three and six months ended June 30, 2021 and for the year ended December 31, 2020.

ComEd, PECO, and BGE


	ComEd								PECO								BGE
As of June 30, 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)	$	264	$	—	$	—	$	264	$	230	$	—	$	—	$	230	$	334	$	—	$	—	$	334
Rabbi trust investments

Mutual funds	—		—		—		—		10		—		—		10		14		—		—		14
Life insurance contracts	—		—		—		—		—		15		—		15		—		—		—		—
Rabbi trust investments subtotal	—		—		—		—		10		15		—		25		14		—		—		14
Total assets	264		—		—		264		240		15		—		255		348		—		—		348
Liabilities
Deferred compensation obligation	—		(9)		—		(9)		—		(8)		—		(8)		—		(6)		—		(6)
Mark-to-market derivative liabilities(b)	—		—		(265)		(265)		—		—		—		—		—		—		—		—
Total liabilities	—		(9)		(265)		(274)		—		(8)		—		(8)		—		(6)		—		(6)
Total net assets (liabilities)	$	264	$	(9)	$	(265)	$	(10)	$	240	$	7	$	—	$	247	$	348	$	(6)	$	—	$	342


	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
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)	$	285	$	(8)	$	(301)	$	(24)	$	17	$	4	$	—	$	21	$	130	$	(5)	$	—	$	125

__________

(a)ComEd excludes cash of $44 million and $83 million at June 30, 2021 and December 31, 2020, respectively, and restricted cash of $46 million and $37 million at June 30, 2021 and December 31, 2020, respectively, and includes long-term restricted cash of $43 million at both June 30, 2021 and December 31, 2020, respectively, which is reported in Other deferred debits in the Consolidated Balance Sheets. PECO excludes cash of $154 million and $18 million at June 30, 2021 and December 31, 2020, respectively. BGE excludes cash of $34 million and $24 million at June 30, 2021 and December 31, 2020, respectively, and restricted cash of $3 million and $1 million at June 30, 2021 and December 31, 2020, respectively.

(b)The Level 3 balance consists of the current and noncurrent liability of $23 million and $242 million, respectively, at June 30, 2021 and $33 million and $268 million, respectively, at December 31, 2020 related to floating-to-fixed energy swap contracts with unaffiliated suppliers.

PHI, Pepco, DPL, and ACE



	As of June 30, 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)	$	46	$	—	$	—	$	46	$	86	$	—	$	—	$	86




Rabbi trust investments
Cash equivalents	59		—		—		59		55		—		—		55
Mutual funds	14		—		—		14		14		—		—		14
Fixed income	—		11		—		11		—		11		—		11
Life insurance contracts	—		26		34		60		—		26		34		60
Rabbi trust investments subtotal	73		37		34		144		69		37		34		140
Total assets	119		37		34		190		155		37		34		226
Liabilities
Deferred compensation obligation	—		(16)		—		(16)		—		(17)		—		(17)



Total liabilities	—		(16)		—		(16)		—		(17)		—		(17)
Total net assets	$	119	$	21	$	34	$	174	$	155	$	20	$	34	$	209


	Pepco								DPL								ACE
As of June 30, 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)	$	28	$	—	$	—	$	28	$	5	$	—	$	—	$	5	$	12	$	—	$	—	$	12




Rabbi trust investments
Cash equivalents	57		—		—		57		—		—		—		—		—		—		—		—
Fixed income	—		2		—		2		—		—		—		—		—		—		—		—
Life insurance contracts	—		26		34		60		—		—		—		—		—		—		—		—
Rabbi trust investments subtotal	57		28		34		119		—		—		—		—		—		—		—		—
Total assets	85		28		34		147		5		—		—		5		12		—		—		12
Liabilities
Deferred compensation obligation	—		(2)		—		(2)		—		—		—		—		—		—		—		—



Total liabilities	—		(2)		—		(2)		—		—		—		—		—		—		—		—
Total net assets	$	85	$	26	$	34	$	145	$	5	$	—	$	—	$	5	$	12	$	—	$	—	$	12


	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 $61 million and $74 million at June 30, 2021 and December 31, 2020, respectively, and restricted cash of $5 million and none at June 30, 2021 and December 31, 2020, respectively, and includes long-term restricted cash of $9 million and $10 million at June 30, 2021 and December 31, 2020, respectively, which is reported in Other deferred debits in the Consolidated Balance Sheets. Pepco excludes cash of $17 million and $30 million at June 30, 2021 and December 31, 2020, respectively, and restricted cash of $5 million and none at June 30, 2021 and December 31, 2020, respectively. DPL excludes cash of $17 million and $15 million at June 30, 2021 and December 31, 2020, respectively. ACE excludes cash of $11 million and $17 million at June 30, 2021 and December 31, 2020, respectively, and includes long-term restricted cash of $9 million and $10 million at June 30, 2021 and December 31, 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

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 six months ended June 30, 2021 and 2020:



	Exelon		Generation					ComEd		PHI and Pepco
Three Months Ended June 30, 2021	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, 2021	$	426	$	479	$	207		$	686	$	(295)		$	35	$	—
Total realized / unrealized gains (losses)
Included in net income	(357)		1		(359)		(a)	(358)		—			1		—
Included in noncurrent payables to affiliates	—		6		—			6		—			—		(6)

Included in regulatory assets	36		—		—			—		30		(b)	—		6
Change in collateral	(282)		—		(282)			(282)		—			—		—
Purchases, sales, and settlements
Purchases	7		1		6			7		—			—		—
Sales	1		—		1			1		—			—		—

Settlements	(28)		(26)		—			(26)		—			(2)		—
Transfers into Level 3	1		—		1		(c)	1		—			—		—
Transfers out of Level 3	(39)		—		(39)		(c)	(39)		—			—		—
Balance at June 30, 2021	$	(235)	$	461	$	(465)		$	(4)	$	(265)		$	34	$	—
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, 2021	$	(372)	$	1	$	(374)		$	(373)	$	—		$	1	$	—


	Exelon		Generation					ComEd		PHI and Pepco
Six months ended June 30, 2021	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, 2020	$	660	$	497	$	430		$	927	$	(301)		$	34	$	—
Total realized / unrealized gains (losses)
Included in net income	(632)		2		(636)		(a)	(634)		—			2		—
Included in noncurrent payables to affiliates	—		7		—			7		—			—		(7)

Included in regulatory assets	43		—		—			—		36		(b)	—		7
Change in collateral	(338)		—		(338)			(338)		—			—		—
Purchases, sales, and settlements
Purchases	115		1		114			115		—			—		—
Sales	1		—		1			1		—			—		—

Settlements	(48)		(46)		—			(46)		—			(2)		—
Transfers into Level 3	1		—		1		(c)	1		—			—		—
Transfers out of Level 3	(37)		—		(37)		(c)	(37)		—			—		—
Balance as of June 30, 2021	$	(235)	$	461	$	(465)		$	(4)	$	(265)		$	34	$	—
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, 2021	$	(518)	$	2	$	(522)		$	(520)	$	—		$	2	$	—



	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, 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 as of 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, 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	$	—

__________

(a)Includes an addition of $15 million for realized losses and a reduction of $114 million for realized gains due to the settlement of derivative contracts for the three and six months ended June 30, 2021. Includes a reduction of $94 million and $271 million for realized gains due to the settlement of derivative contracts for the three and six months ended June 30, 2020.

(b)Includes $25 million of increases in fair value and an increase for realized losses due to settlements of $5 million recorded in purchased power expense associated with floating-to-fixed energy swap contracts with unaffiliated suppliers for the three months ended June 30, 2021. Includes $23 million of increases 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, 2021. 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 decrease 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.

(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, 2021 and 2020:




	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 (losses) gains included in net income for the three months ended June 30, 2021	$	(555)	$	196	$	1	$	1	$	(555)	$	196	$	1	$	1
Total (losses) gain included in net income for the six months ended June 30, 2021	(670)		34		2		2		(670)		34		2		2
Total unrealized (losses) gains for the three months ended June 30, 2021	(543)		169		1		1		(543)		169		1		1
Total unrealized (losses) gains for the six months ended June 30, 2021	(608)		86		2		2		(608)		86		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 (losses) gains included in net income for the three months ended June 30, 2020	$	(137)	$	(29)	$	1	$	—	$	(137)	$	(29)	$	—	$	1
Total (losses) gains included in net income 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

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

Mark-to-Market Derivatives (Exelon, Generation, and ComEd)

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, 2021		Fair Value at December 31, 2020		Valuation Technique	Unobservable Input	2021 Range & Arithmetic Average				2020 Range & Arithmetic Average
Mark-to-market derivatives — Economic Hedges (Exelon and Generation)(a)(b)	$	(285)	$	245	Discounted Cash Flow	Forward power price	$7.13	-	$281	$39	$2.25	-	$163	$30
						Forward gas price	$1.53	-	$12.51	$3.10	$1.57	-	$7.88	$2.59
					Option Model	Volatility percentage	11%	-	209%	33%	11%	-	237%	32%

Mark-to-market derivatives — Proprietary trading (Exelon and Generation)(a)(b)	$	(4)	$	23	Discounted Cash Flow	Forward power price	$10	-	$132	$38	$10	-	$106	$27

Mark-to-market derivatives (Exelon and ComEd)	$	(265)	$	(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	94%	-	122%	99%	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 (received)/posted on level three positions of $(176) million and $162 million as of June 30, 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.