XML 101 R34.htm IDEA: XBRL DOCUMENT

Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2012

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
		Nine Months Ended				Nine Months Ended
		September 30,				September 30,
Income Statement Classification		2012		2011		2012		2011
Interest expense (a)	$	(3)	$	1	$	(6)	$	(1)

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	$	19	$	22	$	-	$	22
Mark-to-market derivative assets (Noncurrent Assets)		42		10		37		89		14		103
Total mark-to-market derivative assets	$	42	$	13	$	56	$	111	$	14	$	125

Mark-to-market derivative liabilities (Current Liabilities)	$	(1)	$	(2)	$	(19)	$	(22)	$	0	$	(22)
Mark-to-market derivative liabilities (Noncurrent Liabilities)		(36)		0		(37)		(73)		0		(73)
Total mark-to-market derivative liabilities	$	(37)	$	(2)	$	(56)	$	(95)	$	0	$	(95)

Total mark-to-market derivative net assets (liabilities)	$	5	$	11	$	0	$	16	$	14	$	30

(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. Generation 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)	$	3,399	$	3,694	$	(6,187)	$	906	$	0		$	0	$	906
Mark-to-market
	derivative assets with affiliate (current assets)		352		0		0		352		0			(352)		0
Mark-to-market
	derivative assets (noncurrent assets)		2,133		1,147		(2,343)		937		0			0		937

Total mark-to-market
	derivative assets	$	5,884	$	4,841	$	(8,530)	$	2,195	$	0		$	(352)	$	1,843

Mark-to-market
	derivative liabilities (current liabilities)	$	(2,951)	$	(3,675)	$	6,144	$	(482)	$	(17)		$	0	$	(499)
Mark-to-market
	derivative liability with affiliate (current liabilities)		0		0		0		0		(352)			352		0
Mark-to-market
	derivative liabilities (noncurrent liabilities)		(1,369)		(1,106)		2,193		(282)		(53)			0		(335)

Total mark-to-market
	derivative liabilities	$	(4,320)	$	(4,781)	$	8,337	$	(764)	$	(422)		$	352	$	(834)

Total mark-to-market
	derivative net assets (liabilities)	$	1,564	$	60	$	(193)	$	1,431	$	(422)		$	0	$	1,009

__________

(a) Includes current assets for Generation and current liabilities for ComEd of $352 million 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 $92 million and $263 million, respectively, and current and noncurrent liabilities are shown net of collateral of $(49) million and $(113) million, respectively. The total cash collateral received, net of cash collateral posted and offset against mark-to-market assets and liabilities was $193 million at September 30, 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 September 30, 2012		Income Statement Location	Energy-Related Hedges			Total Cash Flow Hedges
Accumulated OCI derivative gain at June 30, 2012			$	923	(a)(c)	$	547
Reclassifications from accumulated OCI to net
	income	Operating Revenues		(171)	(b)		(88)	(d)
Ineffective portion recognized in income		Operating Revenues		0			0

Accumulated OCI derivative gain at September 30,
	2012		$	752	(a)(c)	$	459

(a) Includes $232 million and $315 million of gains, net of taxes, related to the fair value of the five-year financial swap contract with ComEd, as of September 30, 2012 and June 30, 2012, respectively.

(b) Includes $83 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 $22 million of losses and $22 million of losses net of taxes, related to interest rate swaps and treasury rate locks for the three months ended September 30, 2012 and three months ended June 30, 2012.

(d) Includes $0 million of losses, net of taxes, related to the effective portion of changes in fair value of interest rate swaps and treasury rate locks.

		Total Cash Flow Hedge OCI Activity, Net of Income Tax
		Total Cash Flow Hedge OCI Activity, Net of Income Tax

		Generation			Exelon
Nine Months Ended September 30, 2012	Income Statement Location	Energy-Related Hedges			Total Cash Flow Hedges
Accumulated OCI derivative gain at December 31, 2011		$	925	(a)(c)	$	488
Effective portion of changes in fair value			432	(e)		301	(d)
Reclassifications from accumulated OCI to net income	Operating Revenues		(608)	(b)		(332)
Ineffective portion recognized in income	Operating Revenues		3			3

Accumulated OCI derivative gain at September 30, 2012		$	752	(a)(c)	$	459

__________

(a) Includes $232 million and $420 million of gains, net of taxes, related to the fair value of the five-year financial swap contract with ComEd, as of September 30, 2012 and December 31, 2011.

(b) Includes $276 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 $22 million of losses and $10 million of losses, net of taxes, related to interest rate swaps and treasury locks for the nine months ended September 30, 2012 and year ended December 31, 2011, respectively.

(d) Includes $12 million of losses, 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 through the date of de-designation prior to the merger.

			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 September 30, 2011		Income Statement Location	Energy-Related Hedges			Total Cash Flow Hedges
Accumulated OCI derivative gain at June 30,
	2011		$	688	(a) (d)	$	209
Effective portion of changes in fair value				(26)	(b)		(26)
Reclassifications from accumulated OCI to net
	income	Operating Revenues		(98)	(c)		(45)
Ineffective portion recognized in income		Purchased Power		7			7
Accumulated OCI derivative gain at September 30, 2011			$	571	(a)(d)	$	145

(a) Includes $400 million and $458 million of gains, net of taxes, related to the fair value of the five-year financial swap contract with ComEd, $1 million of gains, net of taxes, related to the fair value of the block contracts with PECO as of September 30, 2011 and June 30, 2011, respectively.

(b) Includes a $5 million loss, 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 September 30, 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 September 30, 2011 as the mark-to-market balances previously recorded will be amortized over the term of the contract.

(c) Includes a $53 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 for the three months ended September 30, 2011.

(d) Excludes $6 million loss and $2 million of gains, net of taxes, related to interest rate swaps and treasury rate locks as of September 30, 2011 and June 30, 2011, respectively.

			Total Cash Flow Hedge OCI Activity, Net of Income Tax
			Total Cash Flow Hedge OCI Activity, Net of Income Tax
				Generation			Exelon
Nine Months Ended September 30, 2011		Income Statement Location		Energy-Related Hedges			Total Cash Flow Hedges
Accumulated OCI derivative gain at
	December 31, 2010			$	1,011	(a) (d)	$	400
Effective portion of changes in fair value					(69)	(b)		(73)
Reclassifications from accumulated OCI to
	net income	Operating Revenues			(373)	(c)		(184)
Ineffective portion recognized in income		Purchased Power			2			2
Accumulated OCI derivative gain at September 30 2011				$	571	(a)(d)	$	145

__________

(a) Includes $400 million and $589 million of gains, net of taxes, related to the fair value of the five-year financial swap contract with ComEd, and $1 million and $3 million of gains, net of taxes, related to the fair value of the block contracts with PECO as of September 30, 2011 and December 31, 2010, respectively.

(b) Includes a $2 million loss, net of taxes, related to the effective portion of changes in fair value of the five-year financial swap contract with ComEd for the nine months ended September 30, 2011. The PECO block contracts were designated as normal sales as of May 31, 2010. As such, there were no additional effective changes in fair value of PECO's block contracts as the mark-to-market balances previously recorded are being amortized over the term of the contract.

(c) Includes a $187 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 $2 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 nine months ended September 30, 2011.

(d) Excludes $6 million loss and $2 million of gains, net of taxes, related to interest rate swaps and treasury rate locks as of September 30, 2011 and December 31, 2010.

Change in fair value and reclassification of derivative contracts

	Generation							Intercompany Eliminations	Exelon
				Purchased
	Operating			Power				Operating
Three Months Ended September 30, 2012	Revenues		and Fuel		Total			Revenues (a)	Total
Change in fair value	$	(255)	$	129	$	(126)	$	35	$	(91)
Reclassification to realized at settlement		20		122		142		(19)		123
Net mark-to-market gains (losses)	$	(235)	$	251	$	16	$	16	$	32

	Generation							Intercompany Eliminations	Exelon
				Purchased
	Operating			Power				Operating
Nine Months Ended September 30, 2012	Revenues		and Fuel		Total			Revenues (a)	Total
Change in fair value	$	(85)	$	121	$	36	$	62	$	98
Reclassification to realized at settlement		(81)		326		245		(29)		216
Net mark-to-market gains (losses)	$	(166)	$	447	$	281	$	33	$	314

	Exelon and Generation
				Purchased
	Operating			Power
Three Months Ended September 30, 2011 (As Reported)	Revenues		and Fuel		Total
Change in fair value	$	0	$	22	$	22
Reclassification to realized at settlement		0		(101)		(101)
Net mark-to-market (losses) (b)	$	0	$	(79)	$	(79)

	Exelon and Generation
				Purchased
	Operating			Power
Nine Months Ended September 30, 2011 (As Reported)	Revenues		and Fuel		Total
Change in fair value	$	0	$	13	$	13
Reclassification to realized at settlement		0		(372)		(372)
Net mark-to-market (losses) (b)	$	0	$	(359)	$	(359)

	Exelon and Generation
				Purchased
	Operating			Power
Three Months Ended September 30, 2011 (Pro Forma)	Revenues		and Fuel		Total
Change in fair value	$	31	$	(9)	$	22
Reclassification to realized at settlement		(105)		4		(101)
Net mark-to-market (losses) (b)	$	(74)	$	(5)	$	(79)

	Exelon and Generation
				Purchased
	Operating			Power
Nine Months Ended September 30, 2011 (Pro Forma)	Revenues		and Fuel		Total
Change in fair value	$	44	$	(31)	$	13
Reclassification to realized at settlement		(374)		2		(372)
Net mark-to-market (losses) (b)	$	(330)	$	(29)	$	(359)

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.

		Three Months Ended				Nine Months Ended
	Location on Income	September 30,				September 30,
	Statement	2012		2011		2012		2011
Change in fair value	Operating Revenue	$	(2)	$	2	$	12	$	22
Reclassification to realized at
settlement	Operating Revenue		25		(6)		57		(19)

Net mark-to-market gains	Operating Revenue	$	23	$	(4)	$	69	$	3

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 September 30, 2012	Collateral		Collateral		Exposure		of Net Exposure		of Net Exposure
Investment grade	$	1,968	$	492	$	1,476		0	$	0
Non-investment grade		46		25		21		0		0
No external ratings
Internally rated - investment grade		501		16		485		1		267
Internally rated - non-investment
grade		90		2		88		0		0
Total	$	2,605	$	535	$	2,070		1	$	267

Net Credit Exposure by Type of Counterparty	As of September 30, 2012

Investor-owned utilities, marketers and power producers		$	902
Energy cooperatives and municipalities			710
Financial institutions			386
Other			72
Total		$	2,070

Credit-Risk Related Contingent Feature		September 30, 2012
Gross Fair Value of Derivative Contracts Containing this Feature (a)	Offsetting Fair Value of In-the-Money Contracts Under Master Netting Arrangements (b)	Net Fair Value of Derivative Contracts Containing This Feature (c)


($2,720)	$2,156	($564)


Credit-Risk Related Contingent Feature		December 31, 2011
Gross Fair Value of Derivative Contracts Containing this Feature (a)	Offsetting Fair Value of In-the-Money Contracts Under Master Netting Arrangements (b)	Net Fair Value of Derivative Contracts Containing This Feature (c)


($1,014)	$928	($86)

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 a Registrant 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.

- 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