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Fair Value of Financial Assets and Liabilities (Tables)
 9 Months Ended
Sep. 30, 2013
Fair Value Tables [Line Items]  
Fair value of financial liabilities recorded at the carrying amount
   September 30, 2013
   Carrying Fair Value
   AmountLevel 1Level 2Level 3Total
Short-term liabilities$217$3$214$0$217
Long-term debt (including amounts due within one year) 19,565 0 19,203 1,065 20,268
Long-term debt to financing trusts 648 0 0 631 631
SNF obligation 1,021 0 782 0 782
             
   December 31, 2012
   Carrying Fair Value
   AmountLevel 1Level 2Level 3Total
Short-term liabilities$214$4$210$0$214
Long-term debt (including amounts due within one year) 18,745 0 20,244 276 20,520
Long-term debt to financing trusts 648 0 0 664 664
SNF obligation 1,020 0 763 0 763
Preferred securities of subsidiary 87 0 82 0 82
Assets and liabilities measured and recorded at fair value on recurring basis
As of September 30, 2013Level 1 Level 2 Level 3 Total
Assets           
Cash equivalents(a)$1 $0 $0 $1
Nuclear decommissioning trust fund investments           
Cash equivalents 558  0  0  558
Equity           
Individually held 1,600  0  0  1,600
Exchange traded funds 110  0  0  110
Commingled funds 0  2,114  0  2,114
Equity funds subtotal 1,710  2,114  0  3,824
Fixed income           
Debt securities issued by the U.S. Treasury and other           
U.S. government corporations and agencies 938  0  0  938
Debt securities issued by states of the United States           
and political subdivisions of the states 0  295  0  295
Debt securities issued by foreign governments 0  84  0  84
Corporate debt securities 0  1,712  0  1,712
Federal agency mortgage-backed securities 0  16  0  16
Commercial mortgage-backed securities (non-agency) 0  41  0  41
Residential mortgage-backed securities (non-agency) 0  7  0  7
Mutual funds 0  29  0  29
Fixed income subtotal 938  2,184  0  3,122
Middle market lending 0  0  245  245
Other debt obligations 0  14  0  14
Nuclear decommissioning trust fund investments subtotal(b) 3,206  4,312  245  7,763
            
Pledged assets for Zion Station decommissioning           
Cash equivalents 0  25  0  25
Equity           
Individually held 4  0  0  4
Equity funds subtotal 4  0  0  4
Fixed income           
Debt securities issued by the U.S. Treasury and other           
U.S. government corporations and agencies 89  7  0  96
Debt securities issued by states of the United States           
and political subdivisions of the states 0  24  0  24
Corporate debt securities 0  217  0  217
Federal agency mortgage-backed securities 0  7  0  7
Fixed income subtotal 89  255  0  344
Middle market lending 0  0  106  106
Pledged assets for Zion Station decommissioning subtotal(c) 93  280  106  479
            
Rabbi trust investments           
Cash equivalents 2  0  0  2
Mutual funds(d)(e) 49  0  0  49
Rabbi trust investments subtotal 51  0  0  51
            
Commodity derivative assets           
Economic hedges 540  2,541  703  3,784
Proprietary trading 666  1,184  174  2,024
Effect of netting and allocation of collateral(f) (1,251)  (2,785)  (311)  (4,347)
Commodity derivative assets subtotal (45)  940  566  1,461
            
Interest rate and foreign currency derivative assets 34  49  0  83
Effect of netting and allocation of collateral (33)  (2)  0  (35)
Interest rate and foreign currency derivative assets subtotal 1  47  0  48
            
Other investments 1  0  11  12
            
Total assets 3,308  5,579  928  9,815
            
Liabilities           
Commodity derivative liabilities           
Economic hedges (764)  (1,718)  (363)  (2,845)
Proprietary trading (686)  (1,135)  (155)  (1,976)
Effect of netting and allocation of collateral(f) 1,359  2,843  291  4,493
Commodity derivative liabilities subtotal(h) (91)  (10)  (227)  (328)
            
Interest rate and foreign currency derivative liabilities (34)  (17)  00 (51)
Effect of netting and allocation of collateral 33  2  0  35
Interest rate and foreign currency derivative liabilities subtotal (1)  (15)  0  (16)
            
Deferred compensation obligation 0  (108)  0  (108)
            
Total liabilities (92)  (133)  (227)  (452)
            
Total net assets$3,216 $5,446 $701 $9,363
            
As of December 31, 2012Level 1 Level 2 Level 3 Total
Assets           
Cash equivalents(a)$995 $0 $0 $995
Nuclear decommissioning trust fund investments           
Cash equivalents 245  0  0  245
Equity           
Individually held 1,480  0  0  1,480
Commingled funds 0  1,933  0  1,933
Equity funds subtotal 1,480  1,933  0  3,413
Fixed income           
Debt securities issued by the U.S. Treasury and other           
U.S. government corporations and agencies 1,057  0  0  1,057
Debt securities issued by states of the United States           
and political subdivisions of the states 0  321  0  321
Debt securities issued by foreign governments 0  93  0  93
Corporate debt securities 0  1,788  0  1,788
Federal agency mortgage-backed securities 0  24  0  24
Commercial mortgage-backed securities (non-agency) 0  45  0  45
Residential mortgage-backed securities (non-agency) 0  11  0  11
Mutual funds 0  23  0  23
Fixed income subtotal 1,057  2,305  0  3,362
Middle market lending 0  0  183  183
Other debt obligations 0  15  0  15
Nuclear decommissioning trust fund investments subtotal(b) 2,782  4,253  183  7,218
            
Pledged assets for Zion decommissioning           
Cash equivalents 0  23  0  23
Equity           
Individually held 14  0  0  14
Commingled funds 0  9  0  9
Equity funds subtotal 14  9  0  23
Fixed income           
Debt securities issued by the U.S. Treasury and other           
U.S. government corporations and agencies 118  12  0  130
Debt securities issued by states of the United States           
and political subdivisions of the states 0  37  0  37
Corporate debt securities 0  249  0  249
Federal agency mortgage-backed securities 0  49  0  49
Commercial mortgage-backed securities (non-agency) 0  6  0  6
Fixed income subtotal 118  353  0  471
Middle market lending 0  0  89  89
Other debt obligations 0  1  0  1
Pledged assets for Zion Station decommissioning subtotal(c) 132  386  89  607
            
Rabbi trust investments           
Cash equivalents 2  0  0  2
Mutual funds(d)(e) 69  0  0  69
Rabbi trust investments subtotal 71  0  0  71
            
Commodity derivative assets           
Economic hedges 861  3,173  641  4,675
Proprietary trading 1,042  2,078  73  3,193
Effect of netting and allocation of collateral(f) (1,823)  (4,175)  (58)  (6,056)
Commodity derivative assets subtotal(g) 80  1,076  656  1,812
            
Interest rate and foreign currency derivative assets 0  114  0  114
Effect of netting and allocation of collateral 0  (51)  0  (51)
Interest rate and foreign currency derivative assets subtotal 0  63  0  63
            
Other Investments 2  0  17  19
Total assets 4,062  5,778  945  10,785
            
Liabilities           
Commodity derivative liabilities           
Economic hedges (1,041)  (2,289)  (236)  (3,566)
Proprietary trading (1,084)  (1,959)  (78)  (3,121)
Effect of netting and allocation of collateral(f) 2,042  4,020  25  6,087
Commodity derivative liabilities subtotal(g)(h) (83)  (228)  (289)  (600)
            
Interest rate and foreign currency derivative liabilities 0  (84)  0  (84)
Effect of netting and allocation of collateral 0  51  0  51
Interest rate and foreign currency derivative liabilities subtotal 0  (33)  0  (33)
            
Deferred compensation obligation 0  (102)  0  (102)
            
Total liabilities (83)  (363)  (289)  (735)
            
Total net assets$3,979 $5,415 $656 $10,050

 

(a)       Excludes certain cash equivalents considered to be held-to-maturity and not reported at fair value.

(b)       Excludes net assets of $13 million and $30 million at September 30, 2013 and December 31, 2012, respectively. These items consist of receivables related to pending securities sales, interest and dividend receivables, and payables related to pending securities purchases.

(c)       Excludes net assets of $7 million at both September 30, 2013 and December 31, 2012. These items consist of receivables related to pending securities sales, interest and dividend receivables, and payables related to pending securities purchases.

(d)       The mutual funds held by the Rabbi trusts include $49 million related to deferred compensation at September 30, 2013, and $53 million related to deferred compensation and $16 million related to Supplemental Executive Retirement Plan at December 31, 2012. .

(e)       Excludes $30 million and $28 million of the cash surrender value of life insurance investments at September 30, 2013 and December 31, 2012, respectively.

(f)       Includes collateral postings (received) from counterparties. Collateral posted (received) from counterparties, net of collateral paid to counterparties, totaled $108 million, $58 million and $(20) million allocated to Level 1, Level 2 and Level 3 mark-to-market derivatives, respectively, as of September 30, 2013. Collateral posted (received) from counterparties, net of collateral paid to counterparties, totaled $219 million, $(155) million and $(33) million allocated to Level 1, Level 2 and Level 3 mark-to-market derivatives, respectively, as of December 31, 2012.

(g)       The Level 3 balance does not include current assets for Generation and current liabilities for ComEd of $226 million at December 31, 2012, related to the fair value of Generation's financial swap contract with ComEd.

(h)       The Level 3 balance includes the current and noncurrent liability of $16 million and $106 million at September 30, 2013, respectively, and $18 million and $49 million at December 31, 2012, respectively, related to floating-to-fixed energy swap contracts with unaffiliated suppliers.

(f)       The level 3 balance includes current assets for Generation of $226 million at December 31, 2012, related to the fair value of Generation's financial swap contract with ComEd, which eliminates upon consolidation in Exelon's Consolidated Financial Statements.

Excludes $14 million and $13 million of the cash surrender value of life insurance investments at September 30, 2013 and December 31, 2012, respectively
Fair value reconciliation of Level 3 assets and liabilities measured at fair value on a recurring basis
Three Months Ended September 30, 2013Nuclear Decommissioning Trust Fund InvestmentsPledged Assets for Zion Station DecommissioningMark-to-Market Derivatives Other InvestmentsTotal 
Balance as of June 30, 2013$ 240$ 111$431 $11$793 
Total realized / unrealized losses            
 Included in net income 0 0 (32)(a) 0 (32) 
 Included in other comprehensive income 0 0 0  0 0 
 Included in regulatory assets (1) 0 (37)  0 (38) 
 Included in payable for Zion Station decommissioning 0 0 0  0 0 
Change in collateral 0 0 (30)  0 (30) 
Purchases, sales, issuances and settlements            
 Purchases 23  10 8  0 41 
 Sales (14)  (15) 0  0 (29) 
 Settlements (3) 0 0  0 (3) 
Transfers into Level 3 0 0 4  0 4 
Transfers out of Level 3 0 0 (5)  0 (5) 
              
Balance as of September 30, 2013$245$106$339 $11$701 
The amount of total gains included in income            
 attributed to the change in unrealized gains related to assets and liabilities held for the three months ended September 30, 2013$0$0$51 $0$51 
              
Nine Months Ended September 30, 2013Nuclear Decommissioning Trust Fund InvestmentsPledged Assets for Zion Station DecommissioningMark-to-Market Derivatives Other InvestmentsTotal 
Balance as of December 31, 2012$ 183$ 89$367 $17$656 
Total realized / unrealized gains (losses)            
 Included in net income 2 0 (1)(a) 0 1 
 Included in other comprehensive income 0 0 0  0 0 
 Included in regulatory assets 8 0 (55)(b) 0 (47) 
 Included in payable for Zion Station decommissioning 0 1 0  0 1 
Change in collateral 0 0 13  0 13 
Purchases, sales, issuances and settlements            
 Purchases 90 43 16  2 151 
 Sales (27) (27) (8)  (8) (70) 
 Settlements (11) 0 0  0 (11) 
Transfers into Level 3 0 0 11  0 11 
Transfers out of Level 3 0 0  (4)  0 (4) 
              
Balance as of September 30, 2013$245$106$339 $11$701 
The amount of total gains included in income            
 attributed to the change in unrealized gains related to assets and liabilities held for the nine months ended September 30, 2013$1$0$159 $0$160 

 

(a)       Includes the reclassification of $83 million and $160 million of realized losses due to the settlement of derivative contracts recorded in results of operations for the three and nine months ended September 30, 2013.

(b)       Excludes decreases in fair value of $11 million and realized losses reclassified due to settlements of $215 million associated with Generation's financial swap contract with ComEd for the nine months ended September 30, 2013. All items eliminate upon consolidation in Exelon's Consolidated Financial Statements.

 

Three Months Ended September 30, 2012Nuclear Decommissioning Trust Fund InvestmentsPledged Assets for Zion Station DecommissioningMark-to-Market Derivatives Other InvestmentsTotal
Balance as of June 30, 2012$54$59$295 $17$425
Total realized / unrealized gains (losses)           
 Included in net income 0 0 (97)(a) 0 (97)
 Included in other comprehensive income 0 0 0  0 0
 Included in regulatory assets 2 0 41(b) 0 43
 Included in payable for Zion Station           
 decommissioning 0 1 0  0 1
Change in collateral 0 0 (15)  0 (15)
Purchases, sales, issuances and settlements           
 Purchases 14 4 0  0 18
 Sales 0 0 0  0 0
Transfers into Level 3  0 0 0  0 0
Transfers out of Level 3  0 0 0  0 0
             
Balance as of September 30, 2012$70$64$224 $17$375
The amount of total losses included in income           
 attributed to the change in unrealized losses related to assets and liabilities held for the three months ended September 30, 2012$0$0$(42) $0$(42)
             
Nine Months Ended September 30, 2012Nuclear Decommissioning Trust Fund InvestmentsPledged Assets for Zion DecommissioningMark-to-Market Derivatives Other InvestmentsTotal
Balance as of December 31, 2011$13$37$17 $0$67
Total realized / unrealized gains (losses)           
 Included in net income 0 0 (78)(a) 0 (78)
 Included in other comprehensive income 0 0 0  0 0
 Included in regulatory assets 2 0 36(b) 0 38
 Included in payable for Zion Station           
 decommissioning 0 0 0  0 0
Change in collateral 0 0 (7)  0 (7)
Purchases, sales, issuances and settlements           
 Purchases 55 36 329(c) 17 437
 Sales 0 (9) 0  0 (9)
Transfers into Level 3 0 0 (34)  0 (34)
Transfers out of Level 3 0 0 (39)  0 (39)
             
Balance as of September 30, 2012$70$64$224 $17$375
The amount of total gains included in income            
 attributed to the change in unrealized gains related to assets and liabilities held for the nine months ended September 30, 2012$0$0$62 $0$62

 

(a)       Includes the reclassification of $55 million and $140 million of realized losses due to the settlement of derivative contracts recorded in results of operations for the three and nine months ended September 30, 2012, respectively.

(b) Excludes $35 million of decreases in fair value and $86 million of increases in fair value and $119 million and $427 million of realized losses due to settlements for the three and nine months ended September 30, 2012 of Generation's financial swap contract with ComEd, which eliminates upon consolidation in Exelon's Consolidated Financial Statements.
Total realized and unrealized gains (losses) included in income for Level 3 assets and liabilities measured at fair value on a recurring basis
           
  Operating Revenue  Purchased Power and Fuel Other, net (a)
           
Total gains (losses) included in income for the three months ended         
 September 30, 2013 $(39) $7 $0
Total gains (losses) included in income for the nine months ended         
 September 30, 2013 $(61) $60 $2
Change in the unrealized gains relating to assets and liabilities         
 held for the three months ended September 30, 2013 $42 $9 $0
Change in the unrealized gains relating to assets and liabilities         
 held for the nine months ended September 30, 2013 $81 $78 $1
          
  Operating Revenue  Purchased Power and Fuel Other, net
Total gains (losses) included in income for the three months          
 ended September 30, 2012 $(101) $4 $0
Total losses included in income for the nine months ended         
 September 30, 2012 $(78) $0 $0
Change in the unrealized gains (losses) relating to assets and          
 liabilities held for the three months ended September 30, 2012 $(43) $1 $0
Change in the unrealized gains (losses) relating to assets and         
 liabilities held for the nine months ended September 30, 2012 $82 $(20) $0
Fair value reconciliation of Level 3 assets and liabilities measured at fair value on a recurring basis, valuation technique
Type of trade Fair Value at September 30, 2013 (c) Valuation Technique Unobservable Input Range
Mark-to-market derivatives – Economic Hedges (Generation) (a)  $462 Discounted Cash Flow Forward power price $15 -$103
     Forward gas price $3.51 -$5.97 
    Option Model Volatility percentage  27%- 107%
                
Mark-to-market derivatives – Proprietary trading (Generation) (a) $19 Discounted Cash Flow Forward power price $14 -$103 
    Option Model Volatility percentage  14%- 28%
                
Mark-to-market derivatives (ComEd) $(122) Discounted Cash Flow Forward heat rate (b)  8 - 9 
     Marketability reserve  3.5%- 8%
     Renewable factor  84%- 130%

  • The valuation techniques, unobservable inputs and ranges are the same for the asset and liability positions.
  • 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.
  • The fair values do not include cash collateral held on level three positions of $20 million as of September 30, 2013.

 

Type of trade Fair Value at December 31, 2012 (d) Valuation Technique Unobservable Input Range
Mark-to-market derivatives – Economic Hedges (Generation) (a)  $473 Discounted Cash Flow Forward power price $14 -$79 
     Forward gas price $3.26 -$6.27 
    Option Model Volatility percentage  28%- 132%
                
Mark-to-market derivatives – Proprietary trading (Generation) (a) $(6) Discounted Cash Flow Forward power price $15 -$106 
    Option Model Volatility percentage  16%- 48%
                
Mark-to-market derivatives - Transactions with Affiliates (Generation and ComEd) (b) $226 Discounted Cash Flow Marketability reserve  8%- 9%
                
Mark-to-market derivatives (ComEd) $(67) Discounted Cash Flow Forward heat rate (c)  8 - 9.5 
     Marketability reserve  3.5%- 8.3%
     Renewable factor  81%- 123%

              

  • The valuation techniques, unobservable inputs and ranges are the same for the asset and liability positions.
  • Includes current assets for Generation and current liabilities for ComEd of $226 million, related to the fair value of the five-year financial swap contract between Generation and ComEd, which eliminates in consolidation.
  • 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.
  • The fair values do not include cash collateral held on level three positions of $33 million as of December 31, 2012.

 
Exelon Generation Co L L C [Member]
  
Fair Value Tables [Line Items]  
Fair value of financial liabilities recorded at the carrying amount
    September 30, 2013
    Carrying  Fair Value
    Amount Level 1 Level 2 Level 3 Total
Short-term liabilities $21 $0 $21 $0 $21
Long-term debt (including amounts due within one year)  7,809  0  6,744  1,047  7,791
SNF obligation  1,021  0  782  0  782
                  
    December 31, 2012
    Carrying  Fair Value
    Amount Level 1 Level 2 Level 3 Total
Long-term debt (including amounts due within one year) $7,483 $0 $7,591 $258 $7,849
SNF obligation  1,020  0  763  0  763
Assets and liabilities measured and recorded at fair value on recurring basis
As of September 30, 2013Level 1 Level 2 Level 3  Total
Assets           
Cash equivalents $674 $0 $0 $ 674
Nuclear decommissioning trust fund investments           
Cash equivalents 558  0  0   558
Equity           
Individually held  1,600  0  0   1,600
Exchange traded funds  110  0  0   110
Commingled funds 0  2,114  0   2,114
Equity funds subtotal 1,710  2,114  0   3,824
Fixed income           
Debt securities issued by the U.S. Treasury and other U.S.            
government corporations and agencies 938  0  0   938
Debt securities issued by states of the United States and           
political subdivisions of the states 0  295  0   295
Debt securities issued by foreign governments 0  84  0   84
Corporate debt securities 0  1,712  0   1,712
Federal agency mortgage-backed securities 0  16  0   16
Commercial mortgage-backed securities (non-agency) 0  41  0   41
Residential mortgage-backed securities (non-agency) 0  7  0   7
Mutual funds 0  29  0   29
Fixed income subtotal 938  2,184  0   3,122
Middle market lending 0  0  245   245
Other debt obligations 0  14  0   14
Nuclear decommissioning trust fund investments subtotal(b) 3,206  4,312  245   7,763
            
Pledged assets for Zion Station decommissioning           
Cash equivalents 0  25  0   25
Equity           
Individually held 4  0  0   4
Equity funds subtotal 4  0  0  4
Fixed income           
Debt securities issued by the U.S. Treasury and other U.S.            
government corporations and agencies 89  7  0   96
Debt securities issued by states of the United States and           
political subdivisions of the states 0  24  0   24
Corporate debt securities 0  217  0   217
Federal agency mortgage-backed securities 0  7  0   7
Fixed income subtotal 89  255  0  344
Middle market lending 0  0  106   106
Pledged assets for Zion Station decommissioning subtotal(c) 93  280  106  479
            
Rabbi trust investments           
Mutual funds(d) 12  0  0   12
Rabbi trust investments subtotal 12  0  0  12
            
Commodity derivative assets           
Economic hedges 540  2,541  703   3,784
Proprietary trading 666  1,184  174   2,024
Effect of netting and allocation of collateral(e) (1,251)  (2,785)  (311)   (4,347)
Commodity derivative assets subtotal (45)  940  566   1,461
            
Interest rate and foreign currency derivative assets 34  36  0   70
Effect of netting and allocation of collateral (33)  (2)  0   (35)
Interest rate and foreign currency derivative assets subtotal 1  34  0   35
            
Other investments 1  0  11   12
            
Total assets 3,942  5,566  928   10,436
            
Liabilities           
Commodity derivative liabilities           
Economic hedges (764)  (1,718)  (241)   (2,723)
Proprietary trading (686)  (1,135)  (155)   (1,976)
Effect of netting and allocation of collateral(e) 1,359  2,843  291   4,493
Commodity derivative liabilities subtotal (91)  (10)  (105)   (206)
            
Interest rate and foreign currency derivative liabilities (34)  (17)  0   (51)
Effect of netting and allocation of collateral 33  2  0   35
Interest rate and foreign currency derivative liabilities subtotal (1)  (15)  0  (16)
            
Deferred compensation obligation 0  (27)  0   (27)
            
Total liabilities (92)  (52)  (105)  (249)
            
Total net assets$3,850 $5,514 $823 $ 10,187
            
As of December 31, 2012Level 1 Level 2 Level 3  Total
Assets           
Cash equivalents(a)$487 $0 $0 $ 487
Nuclear decommissioning trust fund investments           
Cash equivalents 245  0  0   245
Equity           
Individually held 1,480  0  0   1,480
Commingled funds 0  1,933  0   1,933
Equity funds subtotal 1,480  1,933  0   3,413
Fixed income           
Debt securities issued by the U.S. Treasury and other U.S.            
government corporations and agencies 1,057  0  0   1,057
Debt securities issued by states of the United States and           
political subdivisions of the states 0  321  0   321
Debt securities issued by foreign governments 0  93  0   93
Corporate debt securities 0  1,788  0   1,788
Federal agency mortgage-backed securities 0  24  0   24
Commercial mortgage-backed securities (non-agency) 0  45  0   45
Residential mortgage-backed securities (non-agency) 0  11  0   11
Mutual funds 0  23  0   23
Fixed income subtotal 1,057  2,305  0   3,362
Middle market lending 0  0  183   183
Other debt obligations 0  15  0   15
Nuclear decommissioning trust fund investments subtotal(b) 2,782  4,253  183   7,218
            
Pledged assets for Zion Station decommissioning           
Cash equivalents 0  23  0   23
Equity           
Individually held 14  0  0   14
Commingled funds 0  9  0   9
Equity funds subtotal 14  9  0   23
Fixed income           
Debt securities issued by the U.S. Treasury and other U.S.            
government corporations and agencies 118  12  0   130
Debt securities issued by states of the United States and           
political subdivisions of the states 0  37  0   37
Corporate debt securities 0  249  0   249
Federal agency mortgage-backed securities 0  49  0   49
Commercial mortgage-backed securities (non-agency) 0  6  0   6
Fixed income subtotal 118  353  0   471
Middle market lending 0  0  89   89
Other debt obligations 0  1  0   1
Pledged assets for Zion Station decommissioning subtotal(c) 132  386  89   607
            
Rabbi trust investments           
Cash equivalents 1  0  0   1
Mutual funds(d) 13  0  0   13
Rabbi trust investments subtotal 14  0  0  14
            
Commodity derivative assets           
Economic hedges 861  3,173  867   4,901
Proprietary trading 1,042  2,078  73   3,193
Effect of netting and allocation of collateral(e) (1,823)  (4,175)  (58)   (6,056)
Commodity and foreign currency assets subtotal(f) 80  1,076  882   2,038
            
Interest rate and foreign currency derivative assets 0  101  0   101
Effect of netting and allocation of collateral 0  (51)  0   (51)
Interest rate and foreign currency derivative assets subtotal 0  50  0  50
            
Other investments 2  0  17   19
            
Total assets 3,497  5,765  1,171  10,433
            
Liabilities           
Commodity derivative liabilities           
Economic hedges (1,041)  (2,289)  (169)   (3,499)
Proprietary trading (1,084)  (1,959)  (78)   (3,121)
Effect of netting and allocation of collateral(e) 2,042  4,020  25   6,087
Commodity derivative liabilities subtotal (83)  (228)  (222)   (533)
            
Interest rate derivative liabilities 0  (84)  0   (84)
Effect of netting and allocation of collateral 0  51  0   51
Interest rate and foreign currency derivative liabilities 0  (33)  0  (33)
            
Deferred compensation obligation 0  (28)  0   (28)
            
Total liabilities (83)  (289)  (222)  (594)
            
Total net assets$3,414 $5,476 $949 $ 9,839

(a)       Excludes certain cash equivalents considered to be held-to-maturity and not reported at fair value.

(b)       Excludes net assets of $13 million and $30 million at September 30, 2013 and December 31, 2012, respectively. These items consist of receivables related to pending securities sales, interest and dividend receivables, and payables related to pending securities purchases.

(c)       Excludes net assets of $7 at both September 30, 2013 December 31, 2012. These items consist of receivables related to pending securities sales, interest and dividend receivables, and payables related to pending securities purchases.

(d)       Excludes $9 million and $8 million of the cash surrender value of life insurance investments at September 30, 2013 and December 31, 2012, respectively.

(e)       Includes collateral postings (received) from counterparties. Collateral posted (received) from counterparties, net of collateral paid to counterparties, totaled $108 million, $58 million and $(20) million allocated to Level 1, Level 2 and Level 3 mark-to-market derivatives, respectively, as of September 30, 2013. Collateral posted (received) from counterparties, net of collateral paid to counterparties, totaled $219 million, $(155) million and $(33) million allocated to Level 1, Level 2 and Level 3 mark-to-market derivatives, respectively, as of December 31, 2012.
Fair value reconciliation of Level 3 assets and liabilities measured at fair value on a recurring basis
Three Months Ended September 30, 2013Nuclear Decommissioning Trust Fund Investments Pledged Assets for Zion Station DecommissioningMark-to-Market Derivatives Other InvestmentsTotal
Balance as of June 30, 2013$240$111$516 $11$878
Total realized / unrealized gains (losses)           
 Included in net income 0 0 (32)(a) 0 (32)
 Included in noncurrent payables to affiliates (1) 0 0  0 (1)
Change in collateral 0 0 (30)  0 (30)
Purchases, sales, issuances and settlements           
 Purchases 23 10 8  0 41
 Sales (14) (15) 0  0 (29)
 Settlements (3) 0 0  0 (3)
Transfers into Level 3 0 0 4  0 4
Transfers out of Level 3 0 0 (5)  0 (5)
             
Balance as of September 30, 2013$ 245$ 106$ 461 $ 11$ 823
The amount of total gains included in income           
 attributed to the change in unrealized gains related to assets and liabilities held for the three months ended September 30, 2013$0$0$51 $0$51
             
Nine Months Ended September 30, 2013Nuclear Decommissioning Trust Fund Investments Pledged Assets for Zion Station DecommissioningMark-to-Market Derivatives Other InvestmentsTotal
Balance as of December 31, 2012$183$89$660 $17$949
Total realized / unrealized gains (losses)           
 Included in net income 2 0 (8)(a)(b)0 (6)
 Included in other comprehensive income 0 0 (219)(b) 0 (219)
 Included in noncurrent payables to affiliates 8 0 0  0 8
 Included in payable for Zion Station decommissioning 0 1 0  0 1
Change in collateral   0 13  0 13
Purchases, sales, issuances and settlements           
 Purchases 90 43 16  2 151
 Sales (27) (27) (8)  (8) (70)
 Settlements (11) 0 0  0 (11)
Transfers into Level 3 0 0 11    11
Transfers out of Level 3 0 0 (4)  0 (4)
             
Balance as of September 30, 2013$245$106$461 $11$823
The amount of total gains included in income           
 attributed to the change in unrealized gains related to assets and liabilities held for the nine months ended September 30, 2013$1$0$148 $0$149

(a) Includes the reclassification of $83 million and $156 million of realized losses due to the settlement of derivative contracts recorded in results of operations for the three and nine months ended September 30, 2013, respectively.

(b)       Includes $11 million of increases in fair value and realized losses due to settlements of $215 million associated with Generation's financial swap contract with ComEd for the nine months ended September 30, 2013. This position eliminates upon consolidation in Exelon's Consolidated Financial Statements.

 

Three Months Ended September 30, 2012Nuclear Decommissioning Trust Fund Investments Pledged Assets for Zion Station DecommissioningMark-to-Market Derivatives Other InvestmentsTotal
Balance as of June 30, 2012$54$59$912 $17$1,042
Total realized / unrealized gains (losses)           
 Included in net income 0 0 (112)(a) 0 (112)
 Included in other comprehensive income 0 0 (139)(b) 0 (139)
 Included in noncurrent payables to affiliates 2 0 0  0 2
 Included in payable for Zion Station decommissioning 0 1 0  0 1
Changes in collateral 0 0 (15)  0 (15)
Purchases, sales, issuances and settlements           
 Purchases 14 4 0  0 18
 Sales 0 0 0  0 0
             
Balance as of September 30, 2012$70$64$646 $17$797
             
The amount of total losses included in income           
 attributed to the change in unrealized losses related to assets and liabilities held for the three months ended September 30, 2012$0$0$(77) $0$(77)
             
Nine Months Ended September 30, 2012Nuclear Decommissioning Trust Fund Investments Pledged Assets for Zion Station DecommissioningMark-to-Market Derivatives Other InvestmentsTotal
Balance as of December 31, 2011$13$37$817 $0$867
Total realized / unrealized gains (losses)           
 Included in net income 0 0 (109)(a) 0 (109)
 Included in other comprehensive income 0 0 (311)(b) 0 (311)
 Included in noncurrent payables to affiliates 2 0 0    2
Changes in collateral 0 0 (7)  0 (7)
Purchases, sales, issuances and settlements          0
 Purchases 55 36 329(c) 17 437
 Sales 0 (9) 0  0 (9)
Transfers into Level 3 0 0 (34)  0 (34)
Transfers out of Level 3 0 0 (39)  0 (39)
             
Balance as of September 30, 2012$70$64$646 $17$797
             
The amount of total gains included in income            
 attributed to the change in unrealized gains related to assets and liabilities held for the nine months ended September 30, 2012$0$0$1 $0$1

 

(a)        Includes the reclassification of $35 million and $110 million of realized losses due to the settlement of derivative contracts recorded in results of operations for the three and nine months ended September 30, 2012, respectively.

(b) Includes $35 million of decreases in fair value and $86 million of increases in fair value and realized losses due to settlements of $119 million and $427 million associated with Generation's financial swap contract with ComEd for the three and nine months ended September 30, 2012, respectively. This position was re-designated as a cash flow hedge prior to the merger date. All prospective changes in fair value and reclassifications of realized amounts are being recorded to income offset by the amortization of the frozen mark in OCI. All items eliminate upon consolidation in Exelon's Consolidated Financial Statements.

(c)       Includes $310 million of fair value from contracts and $14 million of other investments acquired as a result of the merger.

 
Total realized and unrealized gains (losses) included in income for Level 3 assets and liabilities measured at fair value on a recurring basis

 

(a)        Other, net activity consists of realized and unrealized gains (losses) included in income for the NDT funds held by Generation.

 

  Operating Revenue  Purchased Power and Fuel Other, net (a)
Total gains (losses) included in net income for the three months $(39) $7 $0
 ended September 30, 2013         
Total gains (losses) included in net income for the nine months          
 ended September 30, 2013 $(67) $59 $2
Change in the unrealized gains relating to assets and liabilities         
 held for the three months ended September 30, 2013 $42 $9 $0
Change in the unrealized gains relating to assets and liabilities         
 held for the nine months ended September 30, 2013 $71 $77 $1
           
  Operating Revenue  Purchased Power and Fuel Other, net
Total gains (losses) included in net income for the three months $(116) $4 $0
 ended September 30, 2012         
Total losses included in net income for the nine months $(109) $0 $0
 ended September 30, 2012         
Change in the unrealized gains (losses) relating to assets and  $(78) $1 $0
 liabilities held for the three months ended September 30, 2012         
Change in the unrealized gains (losses) relating to assets and  $21 $(20) $0
 liabilities held for the nine months ended September 30, 2012         

(a)        Other, net activity consists of realized and unrealized gains (losses) included in income for the NDT funds held by Generation.

 
Commonwealth Edison Co [Member]
  
Fair Value Tables [Line Items]  
Fair value of financial liabilities recorded at the carrying amount
    September 30, 2013
    Carrying  Fair Value
    Amount Level 1 Level 2 Level 3 Total
Short-term liabilities $153 $0 $153 $0 $153
Long-term debt (including amounts due within one year)  5,674  0  6,240  17  6,257
Long-term debt to financing trust  206  0  0  195  195
                  
    December 31, 2012
    Carrying  Fair Value
    Amount Level 1 Level 2 Level 3 Total
Long-term debt (including amounts due within one year) $5,567 $0 $6,530 $18 $6,548
Long-term debt to financing trust  206  0  0  212  212
Assets and liabilities measured and recorded at fair value on recurring basis
As of September 30, 2013Level 1 Level 2 Level 3 Total
Assets           
Cash equivalents$0 $0 $0 $0
Rabbi trust investments           
Mutual funds  5  0  0  5
 Rabbi trust investments subtotal 5  0  0  5
             
Total assets 5  0  0  5
             
Liabilities           
Deferred compensation obligation 0  (8)  0  (8)
Mark-to-market derivative liabilities(a) 0  0  (122)  (122)
             
Total liabilities 0  (8)  (122)  (130)
             
Total net assets (liabilities)$5 $(8) $(122) $(125)
             
As of December 31, 2012Level 1 Level 2 Level 3 Total
Assets           
Cash equivalents$111 $0 $0 $111
Rabbi trust investments           
Mutual funds 8  0  0  8
  Rabbi trust investments subtotal 8  0  0  8
             
Total assets 119  0  0  119
             
Liabilities           
Deferred compensation obligation 0   (8)  0  (8)
Mark-to-market derivative liabilities(a)(b) 0  0  (293)  (293)
             
Total liabilities 0  (8)  (293)  (301)
             
Total net assets (liabilities)$119 $(8) $(293) $(182)

 

(a)       The Level 3 balance includes the current and noncurrent liability of $16 million and $106 million at September 30, 2013, respectively, and $18 million and $49 million at December 31, 2012, respectively, related to floating-to-fixed energy swap contracts with unaffiliated suppliers.

(b)       The Level 3 balance includes the current liability of $226 million at December 31, 2012, related to the fair value of ComEd's financial swap contract with Generation which eliminated upon consolidation in Exelon's Consolidated Financial Statements.

 
Fair value reconciliation of Level 3 assets and liabilities measured at fair value on a recurring basis
Three Months Ended September 30, 2013Mark-to-Market Derivatives
Balance as of June 30, 2013$(85)
Total realized / unrealized gains included in regulatory assets(b) (37)
Balance as of September 30, 2013$(122)
    
Nine Months Ended September 30, 2013Mark-to-Market Derivatives
Balance as of December 31, 2012$(293)
Total realized / unrealized gains included in regulatory assets(a)(b) 171
Balance as of September 30, 2013$(122)

 

(a)       Includes $11 million of decreases in fair value and realized gains due to settlements of $215 million associated with ComEd's financial swap contract with Generation for the nine months ended September 30, 2013. All items eliminate upon consolidation in Exelon's Consolidated Financial Statements.

(b)       Includes $37 million and $57 million of increases in the fair value and realized losses due to settlements of $1 million and $5 million recorded in purchased power expense associated with floating-to-fixed energy swap contracts with unaffiliated suppliers for the three and nine months ended September 30, 2013, respectively.

Three Months Ended September 30, 2012Mark-to-Market Derivatives
Balance as of June 30, 2012$(617)
Total realized / unrealized gains included in regulatory assets(a)(b) 195
Balance as of September 30, 2012$(422)
    
Nine Months Ended September 30, 2012Mark-to-Market Derivatives
Balance as of December 31, 2011$(800)
Total realized / unrealized gains included in regulatory assets(a)(b) 378
Balance as of September 30, 2012$(422)
Total realized and unrealized gains (losses) included in income for Level 3 assets and liabilities measured at fair value on a recurring basis

 

  • Includes $35 million of increases in fair value and $86 million of decreases in fair value and realized gains due to settlements of $119 million and $427 million of associated with ComEd's financial swap contract with Generation for the three and nine months ended September 30, 2012, respectively. All items eliminate upon consolidation in Exelon's Consolidated Financial Statements.
  • Includes $40 million and $33 million of increases in the fair value and realized losses due to settlements of $1 million and $2 million recorded in purchased power expense associated with floating-to-fixed energy swap contracts with unaffiliated suppliers for the three and nine months ended September 30, 2012, respectively.

 
PECO Energy Co [Member]
  
Fair Value Tables [Line Items]  
Fair value of financial liabilities recorded at the carrying amount
    September 30, 2013
    Carrying  Fair Value
    Amount Level 1 Level 2 Level 3 Total
Long-term debt (including amounts due within one year) $2,496 $0 $2,678 $0 $2,678
Long-term debt to financing trusts  184  0  0  182  182
                  
    December 31, 2012
    Carrying  Fair Value
    Amount Level 1 Level 2 Level 3 Total
Short-term liabilities $210 $0 $210 $0 $210
Long-term debt (including amounts due within one year)  1,947  0  2,264  0  2,264
Long-term debt to financing trusts  184  0  0  188  188
Preferred securities  87  0  82  0  82
Assets and liabilities measured and recorded at fair value on recurring basis
As of September 30, 2013Level 1 Level 2 Level 3 Total 
Assets            
Cash equivalents$583 $0 $0 $583 
Rabbi trust investments            
Mutual funds(a) 9  0  0  9 
Rabbi trust investments subtotal 9  0  0  9 
              
Total assets 592  0  0  592 
              
Liabilities            
Deferred compensation obligation 0  (16)  0  (16) 
              
Total liabilities 0  (16)  0  (16) 
              
Total net assets (liabilities)$592 $(16) $0 $576 
              
As of December 31, 2012Level 1 Level 2 Level 3 Total 
Assets            
Cash equivalents$346 $0 $0 $346 
Rabbi trust investments            
Mutual funds(a) 9  0  0  9 
Rabbi trust investments subtotal 9  0  0  9 
              
Total assets 355  0  0  355 
              
Liabilities            
Deferred compensation obligation 0  (18)  0  (18) 
              
Total liabilities 0  (18)  0  (18) 
              
Total net assets (liabilities)$355 $(18) $0 $337 
Baltimore Gas and Electric Company [Member]
  
Fair Value Tables [Line Items]  
Fair value of financial liabilities recorded at the carrying amount
    September 30, 2013
    Carrying  Fair Value
    Amount Level 1  Level 2 Level 3 Total
Short-term liabilities $43 $3 $40 $0 $43
Long-term debt (including amounts due within one year)  2,045  0  2,204  0  2,204
Long-term debt to financing trusts  258  0  0  254  254
                  
    December 31, 2012
    Carrying  Fair Value
    Amount Level 1  Level 2 Level 3 Total
Long-term debt (including amounts due within one year) $2,178 $0 $2,468 $0 $2,468
Long-term debt to financing trusts  258  0  0  263  263
Assets and liabilities measured and recorded at fair value on recurring basis
As of September 30, 2013Level 1 Level 2 Level 3 Total 
Assets            
Cash equivalents$53 $0 $0 $53 
Rabbi trust investments            
 Mutual funds(a) 5  0  0  5 
Rabbi trust investments subtotal 5  0  0  5 
              
Total assets 58  0  0  58 
              
Liabilities            
Deferred compensation obligation 0  (5)  0  (5) 
              
Total liabilities 0  (5)  0  (5) 
              
Total net assets (liabilities)$58 $(5) $0 $53 
              
As of December 31, 2012Level 1 Level 2 Level 3 Total 
Assets            
Cash equivalents$33 $0 $0 $33 
Rabbi trust investments            
 Mutual funds 5  0  0  5 
Rabbi trust investments subtotal 5  0  0  5 
              
Total assets 38  0  0  38 
              
Liabilities            
Deferred compensation obligation 0  (5)  0  (5) 
              
Total liabilities 0  (5)  0  (5) 
              
Total net assets (liabilities)$38 $(5) $0 $33