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Derivative Financial Instruments (Tables)

3 Months Ended

9 Months Ended

Mar. 31, 2012

Sep. 30, 2011

Derivative Financial Instruments Tables [Abstract]

Gain or loss on the hedged items and the offsetting loss or gain on the related interest rate swaps in interest expense

		Gain (Loss) on Swaps				Gain (Loss) on Borrowings
		Three Months Ended				Three Months Ended
		March 31,				March 31,
Income Statement Classification		2012		2011		2012		2011
Interest expense (a)	$	(3)	$	(2)	$	1	$	2

Summary of the derivative fair value

		Generation								Other		Exelon
Description		Derivatives Designated as Hedging Instruments		Economic Hedges (a)		Proprietary Trading (a)		Subtotal		Derivatives Designated as Hedging Instruments		Total
Mark-to-market derivative assets (Current Assets)	$	-	$	3	$	18	$	21	$	-	$	21
Mark-to-market derivative assets (Noncurrent Assets)		42		12		30		84		14		98
Total mark-to-market derivative assets	$	42	$	15	$	48	$	105	$	14	$	119

Mark-to-market derivative liabilities (Current Liabilities)	$	0	$	(2)	$	(18)	$	(20)	$	0	$	(20)
Mark-to-market derivative liabilities (Noncurrent Liabilities)		(3)		0		(31)		(34)		0		(34)
Total mark-to-market derivative liabilities	$	(3)	$	(2)	$	(49)	$	(54)	$	0	$	(54)

Total mark-to-market derivative net assets (liabilities)	$	39	$	13	$	(1)	$	51	$	14	$	65

(a) Generation enters into interest rate derivative contracts to economically hedge risk associated with the interest rate component of commodity positions. The characterization of the interest rate derivative contracts between the economic hedge and proprietary trading activity in the above table is driven by the corresponding characterization of the underlying commodity position that gives rise to the interest rate exposure. The company does not utilize interest rate derivatives with the objective of benefiting from shifts or change in market interest rates.

		Generation								ComEd		Other			Exelon
		Generation								ComEd		Other			Exelon
						Collateral
		Economic		Proprietary		and				Economic			Intercompany		Total
Derivatives		Hedges (a)		Trading		Netting(b)		Subtotal (c)		Hedges (a)(d)			Eliminations (a)		Derivatives

Mark-to-market
	derivative assets (current assets)	$	6,707	$	7,904	$	(13,141)	$	1,470	$	0		$	0	$	1,470
Mark-to-market
	derivative assets with affiliate (current assets)		590		0		0		590		0			(590)		0
Mark-to-market
	derivative assets (noncurrent assets)		3,184		2,083		(3,976)		1,291		0			0		1,291
Mark-to-market
	derivative assets with affiliate (noncurrent assets)		92		0		0		92		0			(92)		0

Total mark-to-market
	derivative assets	$	10,573	$	9,987	$	(17,117)	$	3,443	$	0		$	(682)	$	2,761

Mark-to-market
	derivative liabilities (current liabilities)	$	(6,203)	$	(7,939)	$	13,072	$	(1,070)	$	(16)		$	0	$	(1,086)
Mark-to-market
	derivative liability with affiliate (current liabilities)		0		0		0		0		(590)			590		0
Mark-to-market
	derivative liabilities (noncurrent liabilities)		(2,291)		(2,028)		3,807		(512)		(125)			0		(637)
Mark-to-market
	derivative liability with affiliate (noncurrent liabilities)		0		0		0		0		(92)			92		0

Total mark-to-market
	derivative liabilities	$	(8,494)	$	(9,967)	$	16,879	$	(1,582)	$	(823)		$	682	$	(1,723)

Total mark-to-market
	derivative net assets (liabilities)	$	2,079	$	20	$	(238)	$	1,861	$	(823)		$	0	$	1,038

__________

(a) Includes current and noncurrent assets for Generation and current and noncurrent liabilities for ComEd of $590 million and $92 million, respectively, related to the fair value of the five-year financial swap contract between Generation and ComEd, as described above.

(b) Represents the netting of fair value balances with the same counterparty and the application of collateral.

(c) Current and noncurrent assets are shown net of collateral of $281 million and $400 million, respectively, and current and noncurrent liabilities are shown inclusive of collateral of $(212) million and $(231) million, respectively. The total cash collateral received, net of cash collateral posted and offset against mark-to-market assets and liabilities was $238 million at March 31, 2012.

(d) Includes current and noncurrent liabilities relating to floating-to-fixed energy swap contracts with unaffiliated suppliers.

		Generation										ComEd		Other				Exelon
		Generation										ComEd		Other				Exelon
								Collateral
		Cash Flow		Economic		Proprietary		and				Economic		Economic		Intercompany		Total
	Derivatives	Hedges (a)		Hedges		Trading		Netting(b)		Subtotal (c)		Hedges (a) (d)		Hedges		Eliminations (a)		Derivatives
Mark-to-market
	derivative assets (current assets)	$	438	$	1,195	$	217	$	(1,418)	$	432	$	0	$	0	$	0	$	432
Mark-to-market
	derivative assets with affiliate (current assets)		503		0		0		0		503		0		0		(503)		0
Mark-to-market
	derivative assets (noncurrent assets)		419		582		71		(437)		635		0		15		0		650
Mark-to-market
	derivative assets with affiliate (noncurrent assets)		191		0		0		0		191		0		0		(191)		0

Total mark-to-market
	derivative assets	$	1,551	$	1,777	$	288	$	(1,855)	$	1,761	$	0	$	15	$	(694)	$	1,082

Mark-to-market
	derivative liabilities (current liabilities)	$	(9)	$	(965)	$	(194)	$	1,065	$	(103)	$	(9)	$	0	$	0	$	(112)
Mark-to-market
	derivative liability with affiliate (current liabilities)		0		0		0		0		0		(503)		0		503		0
Mark-to-market
	derivative liabilities (noncurrent liabilities)		(4)		(186)		(70)		250		(10)		(97)		0		0		(107)
Mark-to-market
	derivative liability with affiliate (noncurrent liabilities)		0		0		0		0		0		(191)		0		191		0

Total mark-to-market
	derivative liabilities	$	(13)	$	(1,151)	$	(264)	$	1,315	$	(113)	$	(800)	$	0	$	694	$	(219)

Total mark-to-market
	derivative net assets (liabilities)	$	1,538	$	626	$	24	$	(540)	$	1,648	$	(800)	$	15	$	0	$	863

__________

(a) Includes current and noncurrent assets for Generation and current and noncurrent liabilities for ComEd of $503 million and $191 million, respectively, related to the fair value of the five-year financial swap contract between Generation and ComEd, as described above. For Generation excludes $19 million noncurrent liability relating to an interest rate swap in connection with a loan agreement to fund Antelope Valley as discussed above.

(b) Represents the netting of fair value balances with the same counterparty and the application of collateral.

(c) Current and noncurrent assets are shown net of collateral of $338 million and $187 million, respectively, and current and noncurrent liabilities are shown inclusive of collateral of $15 million and $0 million, respectively. The total cash collateral received net of cash collateral posted and offset against mark-to-market assets and liabilities was $540 million at December 31, 2011.

(d) Includes current and noncurrent liabilities relating to floating-to-fixed energy swap contracts with unaffiliated suppliers.

The activity of accumulated OCI related to cash flow hedges

			Total Cash Flow Hedge OCI Activity, Net of Income Tax
			Total Cash Flow Hedge OCI Activity, Net of Income Tax
			Generation			Exelon
Three Months Ended March 31, 2012		Income Statement Location	Energy-Related Hedges			Total Cash Flow Hedges
Accumulated OCI derivative gain at December 31,			$	925	(a)(c)	$	488
	2011
Effective portion of changes in fair value				432	(e)		317	(d)
Reclassifications from accumulated OCI to net
	income	Operating Revenues		(194)	(b)		(105)
Ineffective portion recognized in income		Operating Revenues		3			3

Accumulated OCI derivative gain at March 31, 2012			$	1,166	(a)(c)	$	703

(a) Includes $419 million and $420 million of gains, net of taxes, related to the fair value of the five-year financial swap contract with ComEd.

(b) Includes $89 million of losses, net of taxes, reclassified from accumulated OCI to recognize gains in net income related to the settlements of the five-year financial swap contract with ComEd.

(c) Excludes $12 million of gains and $10 million of losses, net of taxes, related to interest rate swaps and treasury rate locks for the three months ended March 31, 2012 and year ended December 31, 2011, respectively.

(d) Includes $12 million of gains, net of taxes, related to the effective portion of changes in fair value of interest rate swaps and treasury rate locks.

(e) Includes $88 million of gains, net of taxes, related to the effective portion of changes in fair value of the five-year financial swap contract with ComEd for the period ended March 9, 2012.

			Total Cash Flow Hedge OCI Activity, Net of Income Tax
			Total Cash Flow Hedge OCI Activity, Net of Income Tax
			Generation			Exelon
Three Months Ended March 31, 2011		Income Statement Location	Energy-Related Hedges			Total Cash Flow Hedges
Accumulated OCI derivative gain at December 31,
	2010		$	1,011	(a)	$	400
Effective portion of changes in fair value				63	(b)		18
Reclassifications from accumulated OCI to net
	income	Operating Revenues		(132)	(c)		(63)
Ineffective portion recognized in income		Purchased Power		(1)			(1)
Accumulated OCI derivative gain at March 31, 2011			$	941	(a)(d)	$	354

(a) Includes $562 million and $589 million of gains, net of taxes, related to the fair value of the five-year financial swap contract with ComEd, $2 million and $3 million of gains, net of taxes, related to the fair value of the block contracts with PECO as of March 31, 2011 and December 31, 2010, respectively.

(b) Includes a $41 million gain, net of taxes, related to the effective portion of changes in fair value of the five-year financial swap contract with ComEd for the three months ended March 31, 2011. The PECO block contracts were designated as normal sales as of May 31, 2010. As such, there were no effective changes in fair value of the block contracts with PECO for the three months ended March 31, 2011 as the mark-to-market balances previously recorded will be amortized over the term of the contract.

(c) Includes a $68 million loss, net of taxes, reclassified from accumulated OCI to recognize gains in net income related to the settlements of the five-year financial swap contract with ComEd, and a $1 million loss, net of taxes, reclassified from accumulated OCI to recognize gains in net income related to the fair value of the block contracts with PECO for the three months ended March 31, 2011.

(d) Excludes $2 million of gains, net of taxes, related to interest rate swaps and treasury rate locks.

Other Derivatives - Gain (loss) and reclassification

	Generation							Intercompany Eliminations	Exelon
	Operating		Purchased					Operating
Three Months Ended March 31, 2012	Revenues		Power and Fuel		Total			Revenues (a)	Total
Change in fair value	$	138	$	(40)	$	98	$	11	$	109
Reclassification to realized at settlement		(60)		27		(33)		0		(33)
Net mark-to-market gains (losses)	$	78	$	(13)	$	65	$	11	$	76

	Exelon and Generation
	Operating		Purchased
Three Months Ended March 31, 2011 (As Reported)	Revenues		Power and Fuel		Total
Change in fair value	$	0	$	(3)	$	(3)
Reclassification to realized at settlement		0		(145)		(145)
Net mark-to-market gains (losses) (b)	$	0	$	(148)	$	(148)

	Exelon and Generation
	Operating		Purchased
Three Months Ended March 31, 2011 (Pro Forma)	Revenues		Power and Fuel		Total
Change in fair value	$	1	$	(4)	$	(3)
Reclassification to realized at settlement		(132)		(13)		(145)
Net mark-to-market gains (losses) (b)	$	(131)	$	(17)	$	(148)

		Three Months Ended
	Location on Income	March 31,
	Statement	2012		2011
Change in fair value	Operating Revenues	$	2	$	4
Reclassification to realized at settlement	Operating Revenues		1		(6)

Net mark-to-market gains (losses)	Operating Revenues	$	3	$	(2)

Change in fair value and reclassification of derivative contracts

Prior to the merger, the five-year financial swap contract between Generation and ComEd was de-designated. As a result, all prospective changes in fair value are recorded to operating revenues and eliminated in consolidation.
Exelon and Generation have historically presented mark-to-market gains and losses within purchased power expense for all non-trading, energy-related derivatives that were not accounted for as cash flow hedges. In 2011, Exelon and Generation classified the mark-to-market gains and losses for contracts, where the underlying hedged transaction was an expected sale to hedge power, to operating revenues.

Information on Generation's credit exposure for all derivative instruments, normal purchase normal sales, and applicable payables and receivables, net of collateral and instruments that are subject to master netting agreements

	Total						Number of		Net Exposure of
	Exposure						Counterparties		Counterparties
	Before Credit		Credit		Net		Greater than 10%		Greater than 10%
Rating as of March 31, 2012	Collateral		Collateral		Exposure		of Net Exposure		of Net Exposure
Investment grade	$	2,835	$	895	$	1,940		0	$	0
Non-investment grade		62		49		13		0		0
No external ratings
Internally rated - investment grade		617		19		598		1		293
Internally rated - non-investment
grade		41		4		37		0		0
Total	$	3,555	$	967	$	2,588		1	$	293

Net Credit Exposure by Type of Counterparty	As of March 31, 2012

Investor-owned utilities, marketers and power producers		$	1,206
Energy cooperatives and municipalities			798
Financial institutions			488
Other			96
Total		$	2,588

Credit-Risk Related Contingent Feature				March 31, 2012
Gross Fair Value of Derivative Contracts Containing this Feature (1)	Offsetting Fair Value of In-the-Money Contracts Under Master Netting Arrangements (2)	Net Fair Value of Derivative Contracts Containing This Feature (3)	Amount of Held/ (Posted) Collateral (4)	Contingent Collateral Obligation for Downgrade to BB+ or Ba1 (5)


$ 5,623	$ 4,397	$ 1,226	$ (948)	$ 2,772


Credit-Risk Related Contingent Feature				December 31, 2011
Gross Fair Value of Derivative Contracts Containing this Feature (1)	Offsetting Fair Value of In-the-Money Contracts Under Master Netting Arrangements (2)	Net Fair Value of Derivative Contracts Containing This Feature (3)	Amount of Held/ (Posted) Collateral (4)	Contingent Collateral Obligation for Downgrade to BB+ or Ba1 (5)


$ 1,014	$ 928	$ 86	$ 631	$ 1,612

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.
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 Exelon could potentially be required to post collateral.
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.
Amount includes cash collateral held of $215 million and letters of credit posted of ($1,164) million at March 31, 2012 and cash collateral held of $542 million and letters of credit held of $89 million at December 31, 2011.
Amounts represent the additional collateral that Exelon Generation Company, LLC and Constellation Energy Commodities Group, Inc. 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.

- Definition

Tabular disclosure of the location and amount of gains and losses reported in the statement of financial performance, or when applicable, the statement of financial position. For example, (a) gains and losses recognized in the income statement on derivative instruments designated and qualifying as hedging instruments in fair value hedges and related hedged items designated and qualifying in fair value hedges and (b) gains and losses initially recognized in other comprehensive income on derivative instruments designated and qualifying as cash flow hedges.

+ References+ Details

- Definition

Tabular disclosure of gains and losses on derivative instruments included in an entity's trading activities.

+ References+ Details

- Definition

Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

+ References+ Details