Fair Value of Financial Assets and Liabilities (All Registrants)

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 March 31, 2019 and December 31, 2018:

Exelon



	March 31, 2019
	Carrying Amount		Fair Value
	Carrying Amount		Level 1		Level 2		Level 3		Total
Short-term liabilities	$	1,254	$	—	$	1,254	$	—	$	1,254
Long-term debt (including amounts due within one year)^(a)	35,468		—		35,066		2,188		37,254
Long-term debt to financing trusts^(b)	390		—		—		411		411
SNF obligation	1,178		—		989		—		989



	December 31, 2018
	Carrying Amount		Fair Value
	Carrying Amount		Level 1		Level 2		Level 3		Total
Short-term liabilities	$	714	$	—	$	714	$	—	$	714
Long-term debt (including amounts due within one year)^(a)	35,424		—		33,711		2,158		35,869
Long-term debt to financing trusts^(b)	390		—		—		400		400
SNF obligation	1,171		—		949		—		949

Generation



	March 31, 2019
	Carrying Amount		Fair Value
	Carrying Amount		Level 1		Level 2		Level 3		Total
Long-term debt (including amounts due within one year)^(a)	$	8,747	$	—	$	7,641	$	1,443	$	9,084
SNF obligation	1,178		—		989		—		989



	December 31, 2018
	Carrying Amount		Fair Value
	Carrying Amount		Level 1		Level 2		Level 3		Total
Long-term debt (including amounts due within one year)^(a)	$	8,793	$	—	$	7,467	$	1,443	$	8,910
SNF obligation	1,171		—		949		—		949

ComEd



	March 31, 2019
	Carrying Amount		Fair Value
	Carrying Amount		Level 1		Level 2		Level 3		Total
Short-term liabilities	$	322	$	—	$	322	$	—	$	322
Long-term debt (including amounts due within one year)^(a)	8,194		—		8,855		—		8,855
Long-term debt to financing trusts^(b)	205		—		—		215		215



	December 31, 2018
	Carrying Amount		Fair Value
	Carrying Amount		Level 1		Level 2		Level 3		Total
Long-term debt (including amounts due within one year)^(a)	$	8,101	$	—	$	8,390	$	—	$	8,390
Long-term debt to financing trusts^(b)	205		—		—		209		209

PECO



	March 31, 2019
	Carrying Amount		Fair Value
	Carrying Amount		Level 1		Level 2		Level 3		Total
Long-term debt (including amounts due within one year)^(a)	$	3,084	$	—	$	3,295	$	50	$	3,345
Long-term debt to financing trusts^(b)	184		—		—		196		196



	December 31, 2018
	Carrying Amount		Fair Value
	Carrying Amount		Level 1		Level 2		Level 3		Total
Long-term debt (including amounts due within one year)^(a)	$	3,084	$	—	$	3,157	$	50	$	3,207
Long-term debt to financing trusts^(b)	184		—		—		191		191

BGE



	March 31, 2019
	Carrying Amount		Fair Value
	Carrying Amount		Level 1		Level 2		Level 3		Total
Short-term liabilities	$	106	$	—	$	106	$	—	$	106
Long-term debt (including amounts due within one year)^(a)	2,876		—		3,051		—		3,051



	December 31, 2018
	Carrying Amount		Fair Value
	Carrying Amount		Level 1		Level 2		Level 3		Total
Short-term liabilities	$	35	$	—	$	35	$	—	$	35
Long-term debt (including amounts due within one year)^(a)	2,876		—		2,950		—		2,950

PHI



	March 31, 2019
	Carrying Amount		Fair Value
	Carrying Amount		Level 1		Level 2		Level 3		Total
Short-term liabilities	$	326	$	—	$	326	$	—	$	326
Long-term debt (including amounts due within one year)^(a)	6,244		—		5,608		695		6,303



	December 31, 2018
	Carrying Amount		Fair Value
	Carrying Amount		Level 1		Level 2		Level 3		Total
Short-term liabilities	$	179	$	—	$	179	$	—	$	179
Long-term debt (including amounts due within one year)^(a)	6,259		—		5,436		665		6,101

Pepco



	March 31, 2019
	Carrying Amount		Fair Value
	Carrying Amount		Level 1		Level 2		Level 3		Total
Short-term liabilities	$	105	$	—	$	105	$	—	$	105
Long-term debt (including amounts due within one year)^(a)	2,720		—		3,000		208		3,208



	December 31, 2018
	Carrying Amount		Fair Value
	Carrying Amount		Level 1		Level 2		Level 3		Total
Short-term liabilities	$	40	$	—	$	40	$	—	$	40
Long-term debt (including amounts due within one year)^(a)	2,719		—		2,901		196		3,097

DPL



	March 31, 2019
	Carrying Amount		Fair Value
	Carrying Amount		Level 1		Level 2		Level 3		Total
Short-term liabilities	$	5	$	—	$	5	$	—	$	5
Long-term debt (including amounts due within one year)^(a)	1,495		—		1,345		204		1,549



	December 31, 2018
	Carrying Amount		Fair Value
	Carrying Amount		Level 1		Level 2		Level 3		Total
Long-term debt (including amounts due within one year)^(a)	$	1,494	$	—	$	1,303	$	193	$	1,496

ACE



	March 31, 2019
	Carrying Amount		Fair Value
	Carrying Amount		Level 1		Level 2		Level 3		Total
Short-term liabilities	$	216	$	—	$	216	$	—	$	216
Long-term debt (including amounts due within one year)^(a)	1,184		—		1,004		283		1,287



	December 31, 2018
	Carrying Amount		Fair Value
	Carrying Amount		Level 1		Level 2		Level 3		Total
Short-term liabilities	$	139	$	—	$	139	$	—	$	139
Long-term debt (including amounts due within one year)^(a)	1,188		—		987		275		1,262

_________

(a)

Includes unamortized debt issuance costs which are not fair valued of $216 million, $49 million, $67 million, $22 million, $18 million, $14 million, $33 million, $12 million and $6 million for Exelon, Generation, ComEd, PECO, BGE, PHI, Pepco, DPL and ACE, respectively, as of March 31, 2019. Includes unamortized debt issuance costs which are not fair valued of $216 million, $51 million, $63 million, $23 million, $18 million, $14 million, $34 million, $12 million and $7 million for Exelon, Generation, ComEd, PECO, BGE, PHI, Pepco, DPL and ACE, respectively, as of December 31, 2018.


(b)	Includes unamortized debt issuance costs which are not fair valued of $1 million and $1 million for Exelon and ComEd, respectively, as of March 31, 2019. Includes unamortized debt issuance costs which are not fair valued of less than $1 million and $1 million for Exelon and ComEd, respectively, as of December 31, 2018.

Recurring Fair Value Measurements

Exelon records the fair value of assets and liabilities in accordance with the hierarchy established by the authoritative guidance for fair value measurements. The hierarchy prioritizes the inputs to valuation techniques used to measure fair value into three levels as follows:


•	Level 1 — quoted prices (unadjusted) in active markets for identical assets or liabilities that the Registrants have the ability to liquidate as of the reporting date.


•	Level 2 — inputs other than quoted prices included within Level 1 that are directly observable for the asset or liability or indirectly observable through corroboration with observable market data.


•	Level 3 — unobservable inputs, such as internally developed pricing models or third-party valuations for the asset or liability due to little or no market activity for the asset or liability.

Generation and Exelon

In accordance with the applicable guidance on fair value measurement, certain investments that are measured at fair value using the NAV per share as a practical expedient are no longer classified within the fair value hierarchy and are included under "Not subject to leveling" in the table below.

The following tables present assets and liabilities measured and recorded at fair value in Exelon's and Generation’s Consolidated Balance Sheets on a recurring basis and their level within the fair value hierarchy as of March 31, 2019 and December 31, 2018:



	Generation														Exelon
As of March 31, 2019	Level 1			Level 2			Level 3			Not subject to leveling		Total			Level 1			Level 2			Level 3			Not subject to leveling		Total
Assets
Cash equivalents^(a)	$	370		$	—		$	—		$	—	$	370		$	817		$	—		$	—		$	—	$	817
NDT fund investments
Cash equivalents^(b)	369			74			—			—		443			369			74			—			—		443
Equities	3,060			1,753			1			1,545		6,359			3,060			1,753			1			1,545		6,359
Fixed income
Corporate debt	—			1,545			236			1		1,782			—			1,545			236			1		1,782
U.S. Treasury and agencies	2,033			112			—			—		2,145			2,033			112			—			—		2,145
Foreign governments	—			43			—			—		43			—			43			—			—		43
State and municipal debt	—			110			—			—		110			—			110			—			—		110
Other^(c)	—			26			—			935		961			—			26			—			935		961
Fixed income subtotal	2,033			1,836			236			936		5,041			2,033			1,836			236			936		5,041
Middle market lending	—			—			303			406		709			—			—			303			406		709
Private equity	—			—			—			352		352			—			—			—			352		352
Real estate	—			—			—			535		535			—			—			—			535		535
NDT fund investments subtotal^(d)	5,462			3,663			540			3,774		13,439			5,462			3,663			540			3,774		13,439
Rabbi trust investments
Cash equivalents	4			—			—			—		4			47			—			—			—		47
Mutual funds	25			—			—			—		25			74			—			—			—		74
Fixed income	—			—			—			—		—			—			14			—			—		14
Life insurance contracts	—			23			—			—		23			—			71			39			—		110
Rabbi trust investments subtotal^(e)	29			23			—			—		52			121			85			39			—		245
Commodity derivative assets
Economic hedges	273			2,164			1,442			—		3,879			273			2,164			1,442			—		3,879
Proprietary trading	—			74			104			—		178			—			74			104			—		178
Effect of netting and allocation of collateral^(f)(g)	(294		)	(1,836		)	(820		)	—		(2,950		)	(294		)	(1,836		)	(820		)	—		(2,950		)
Commodity derivative assets subtotal	(21		)	402			726			—		1,107			(21		)	402			726			—		1,107
Interest rate and foreign currency derivative assets
Economic hedges	—			4			—			—		4			—			4			—			—		4
Effect of netting and allocation of collateral	—			(5		)	—			—		(5		)	—			(5		)	—			—		(5		)
Interest rate and foreign currency derivative assets subtotal	—			(1		)	—			—		(1		)	—			(1		)	—			—		(1		)
Other investments	—			—			42			—		42			—			—			42			—		42
Total assets	5,840			4,087			1,308			3,774		15,009			6,379			4,149			1,347			3,774		15,649



	Generation														Exelon
As of March 31, 2019	Level 1			Level 2			Level 3			Not subject to leveling		Total			Level 1			Level 2			Level 3			Not subject to leveling		Total
Liabilities
Commodity derivative liabilities
Economic hedges	(350		)	(2,339		)	(1,164		)	—		(3,853		)	(350		)	(2,339		)	(1,404		)	—		(4,093		)
Proprietary trading	—			(79		)	(40		)	—		(119		)	—			(79		)	(40		)	—		(119		)
Effect of netting and allocation of collateral^(f)(g)	346			2,119			977			—		3,442			346			2,119			977			—		3,442
	(4		)	(299		)	(227		)	—		(530		)	(4		)	(299		)	(467		)	—		(770		)
Interest rate and foreign currency derivative liabilities
Derivatives designated as hedging instruments	—			—			—			—		—			—			(2		)	—			—		(2		)
Economic hedges	—			(12		)	—			—		(12		)	—			(12		)	—			—		(12		)
Effect of netting and allocation of collateral	—			5			—			—		5			—			5			—			—		5
Interest rate and foreign currency derivative liabilities subtotal	—			(7		)	—			—		(7		)	—			(9		)	—			—		(9		)
Deferred compensation obligation	—			(36		)	—			—		(36		)	—			(140		)	—			—		(140		)
Total liabilities	(4		)	(342		)	(227		)	—		(573		)	(4		)	(448		)	(467		)	—		(919		)
Total net assets	$	5,836		$	3,745		$	1,081		$	3,774	$	14,436		$	6,375		$	3,701		$	880		$	3,774	$	14,730



	Generation														Exelon
As of December 31, 2018	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)	$	581		$	—		$	—		$	—	$	581		$	1,243		$	—		$	—		$	—	$	1,243
NDT fund investments
Cash equivalents^(b)	252			86			—			—		338			252			86			—			—		338
Equities	2,918			1,591			—			1,381		5,890			2,918			1,591			—			1,381		5,890
Fixed income
Corporate debt	—			1,593			230			—		1,823			—			1,593			230			—		1,823
U.S. Treasury and agencies	2,081			99			—			—		2,180			2,081			99			—			—		2,180
Foreign governments	—			50			—			—		50			—			50			—			—		50
State and municipal debt	—			149			—			—		149			—			149			—			—		149
Other^(c)	—			30			—			846		876			—			30			—			846		876
Fixed income subtotal	2,081			1,921			230			846		5,078			2,081			1,921			230			846		5,078
Middle market lending	—			—			313			367		680			—			—			313			367		680
Private equity	—			—			—			329		329			—			—			—			329		329
Real estate	—			—			—			510		510			—			—			—			510		510
NDT fund investments subtotal^(d)	5,251			3,598			543			3,433		12,825			5,251			3,598			543			3,433		12,825
Rabbi trust investments
Cash equivalents	5			—			—			—		5			48			—			—			—		48
Mutual funds	24			—			—			—		24			72			—			—			—		72
Fixed income	—			—			—			—		—			—			15			—			—		15
Life insurance contracts	—			22			—			—		22			—			70			38			—		108
Rabbi trust investments subtotal^(e)	29			22			—			—		51			120			85			38			—		243
Commodity derivative assets
Economic hedges	541			2,760			1,470			—		4,771			541			2,760			1,470			—		4,771
Proprietary trading	—			69			77			—		146			—			69			77			—		146
Effect of netting and allocation of collateral^(f)(g)	(582		)	(2,357		)	(732		)	—		(3,671		)	(582		)	(2,357		)	(732		)	—		(3,671		)
Commodity derivative assets subtotal	(41		)	472			815			—		1,246			(41		)	472			815			—		1,246
Interest rate and foreign currency derivative assets
Economic hedges	—			13			—			—		13			—			13			—			—		13
Effect of netting and allocation of collateral	—			(3		)	—			—		(3		)	—			(3		)	—			—		(3		)
Interest rate and foreign currency derivative assets subtotal	—			10			—			—		10			—			10			—			—		10
Other investments	—			—			42			—		42			—			—			42			—		42
Total assets	5,820			4,102			1,400			3,433		14,755			6,573			4,165			1,438			3,433		15,609



	Generation														Exelon
As of December 31, 2018	Level 1			Level 2			Level 3			Not subject to leveling		Total			Level 1			Level 2			Level 3			Not subject to leveling		Total
Liabilities
Commodity derivative liabilities
Economic hedges	(642		)	(2,963		)	(1,027		)	—		(4,632		)	(642		)	(2,963		)	(1,276		)	—		(4,881		)
Proprietary trading	—			(73		)	(21		)	—		(94		)	—			(73		)	(21		)	—		(94		)
Effect of netting and allocation of collateral^(f)(g)	639			2,581			808			—		4,028			639			2,581			808			—		4,028
Commodity derivative liabilities subtotal	(3		)	(455		)	(240		)	—		(698		)	(3		)	(455		)	(489		)	—		(947		)
Interest rate and foreign currency derivative liabilities
Derivatives designated as hedging instruments	—			—			—			—		—			—			(4		)	—			—		(4		)
Economic hedges	—			(6		)	—			—		(6		)	—			(6		)	—			—		(6		)
Effect of netting and allocation of collateral	—			3			—			—		3			—			3			—			—		3
Interest rate and foreign currency derivative liabilities subtotal	—			(3		)	—			—		(3		)	—			(7		)	—			—		(7		)
Deferred compensation obligation	—			(35		)	—			—		(35		)	—			(137		)	—			—		(137		)
Total liabilities	(3		)	(493		)	(240		)	—		(736		)	(3		)	(599		)	(489		)	—		(1,091		)
Total net assets	$	5,817		$	3,609		$	1,160		$	3,433	$	14,019		$	6,570		$	3,566		$	949		$	3,433	$	14,518

_________

(a)

Generation excludes cash of $270 million and $283 million at March 31, 2019 and December 31, 2018 and restricted cash of $36 million and $39 million at March 31, 2019 and December 31, 2018. Exelon excludes cash of $426 million and $458 million at March 31, 2019 and December 31, 2018 and restricted cash of $71 million and $80 million at March 31, 2019 and December 31, 2018 and includes long-term restricted cash of $211 million and $185 million at March 31, 2019 and December 31, 2018, which is reported in Other deferred debits in the Consolidated Balance Sheets.


(b)	Includes $43 million and $50 million of cash received from outstanding repurchase agreements at March 31, 2019 and December 31, 2018, respectively, and is offset by an obligation to repay upon settlement of the agreement as discussed in (d) below.

(c)

Includes derivative instruments of $7 million and $44 million, which have a total notional amount of $1,223 million and $1,432 million at March 31, 2019 and December 31, 2018, respectively. The notional principal amounts for these instruments provide one measure of the transaction volume outstanding as of the fiscal years ended and do not represent the amount of Exelon and Generation's exposure to credit or market loss.

(d)

Excludes net liabilities of $94 million and $130 million at March 31, 2019 and December 31, 2018, respectively. These items consist of receivables related to pending securities sales, interest and dividend receivables, repurchase agreement obligations, and payables related to pending securities purchases. The repurchase agreements are generally short-term in nature with durations generally of 30 days or less.


(e)	The amount of unrealized gains/(losses) at Generation totaled less than $1 million for the three months ended March 31, 2019 and March 31, 2018, respectively. The amount of unrealized gains/(losses) at Exelon totaled $1 million for the three months ended March 31, 2019 and March 31, 2018, respectively.

(f)

Collateral posted/(received) from counterparties totaled $52 million, $283 million and $157 million allocated to Level 1, Level 2 and Level 3 mark-to-market derivatives, respectively, as of March 31, 2019. Collateral posted/(received) from counterparties, net of collateral paid to counterparties, totaled $57 million, $224 million and $76 million allocated to Level 1, Level 2 and Level 3 mark-to-market derivatives, respectively, as of December 31, 2018.


(g)	Of the collateral posted/(received), $(33) million and $(94) million represents variation margin on the exchanges as of March 31, 2019 and December 31, 2018, respectively.

Exelon and Generation hold investments without readily determinable fair values with carrying amounts of $71 million as of March 31, 2019. Changes were immaterial in fair value, cumulative adjustments and impairments for the three months ended March 31, 2019.

ComEd, PECO and BGE

The following tables present assets and liabilities measured and recorded at fair value in ComEd's, PECO's and BGE's Consolidated Balance Sheets on a recurring basis and their level within the fair value hierarchy as of March 31, 2019 and December 31, 2018:



	ComEd											PECO										BGE
As of March 31, 2019	Level 1		Level 2			Level 3			Total			Level 1		Level 2			Level 3		Total			Level 1		Level 2			Level 3		Total
Assets
Cash equivalents^(a)	$	194	$	—		$	—		$	194		$	16	$	—		$	—	$	16		$	3	$	—		$	—	$	3
Rabbi trust investments
Mutual funds	—		—			—			—			7		—			—		7			6		—			—		6
Life insurance contracts	—		—			—			—			—		10			—		10			—		—			—		—
Rabbi trust investments subtotal^(b)	—		—			—			—			7		10			—		17			6		—			—		6
Total assets	194		—			—			194			23		10			—		33			9		—			—		9
Liabilities
Deferred compensation obligation	—		(7		)	—			(7		)	—		(10		)	—		(10		)	—		(5		)	—		(5		)
Mark-to-market derivative liabilities^(c)	—		—			(240		)	(240		)	—		—			—		—			—		—			—		—
Total liabilities	—		(7		)	(240		)	(247		)	—		(10		)	—		(10		)	—		(5		)	—		(5		)
Total net assets (liabilities)	$	194	$	(7	)	$	(240	)	$	(53	)	$	23	$	—		$	—	$	23		$	9	$	(5	)	$	—	$	4



	ComEd											PECO										BGE
As of December 31, 2018	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)	$	209	$	—		$	—		$	209		$	111	$	—		$	—	$	111		$	4	$	—		$	—	$	4
Rabbi trust investments
Mutual funds	—		—			—			—			7		—			—		7			6		—			—		6
Life insurance contracts	—		—			—			—			—		10			—		10			—		—			—		—
Rabbi trust investments subtotal^(b)	—		—			—			—			7		10			—		17			6		—			—		6
Total assets	209		—			—			209			118		10			—		128			10		—			—		10
Liabilities
Deferred compensation obligation	—		(6		)	—			(6		)	—		(10		)	—		(10		)	—		(5		)	—		(5		)
Mark-to-market derivative liabilities^(c)	—		—			(249		)	(249		)	—		—			—		—			—		—			—		—
Total liabilities	—		(6		)	(249		)	(255		)	—		(10		)	—		(10		)	—		(5		)	—		(5		)
Total net assets (liabilities)	$	209	$	(6	)	$	(249	)	$	(46	)	$	118	$	—		$	—	$	118		$	10	$	(5	)	$	—	$	5

_________

(a)

ComEd excludes cash of $69 million and $93 million at March 31, 2019 and December 31, 2018 and restricted cash of $15 million and $28 million at March 31, 2019 and December 31, 2018 and includes long-term restricted cash of $193 million and $166 million at March 31, 2019 and December 31, 2018, which is reported in Other deferred debits in the Consolidated Balance Sheets. PECO excludes cash of $31 million and $24 million at March 31, 2019 and December 31, 2018. BGE excludes cash of $12 million and $7 million at March 31, 2019 and December 31, 2018 and restricted cash of $1 million and $2 million at March 31, 2019 and December 31, 2018.


(b)	The amount of unrealized gains/(losses) at ComEd, PECO and BGE totaled less than $1 million for the three months ended March 31, 2019 and March 31, 2018.


(c)	The Level 3 balance consists of the current and noncurrent liability of $27 million and $213 million, respectively, at March 31, 2019, and $26 million and $223 million, respectively, at December 31, 2018, related to floating-to-fixed energy swap contracts with unaffiliated suppliers.

PHI, Pepco, DPL and ACE

The following tables present assets and liabilities measured and recorded at fair value in PHI's, Pepco's, DPL's and ACE's Consolidated Balance Sheets on a recurring basis and their level within the fair value hierarchy as of March 31, 2019 and December 31, 2018:




	As of March 31, 2019										As of December 31, 2018
PHI	Level 1		Level 2			Level 3		Total			Level 1		Level 2			Level 3		Total
Assets
Cash equivalents^(a)	$	63	$	—		$	—	$	63		$	147	$	—		$	—	$	147
Rabbi trust investments
Cash equivalents	42		—			—		42			42		—			—		42
Mutual funds	14		—			—		14			13		—			—		13
Fixed income	—		14			—		14			—		15			—		15
Life insurance contracts	—		22			39		61			—		22			38		60
Rabbi trust investments subtotal^(b)	56		36			39		131			55		37			38		130
Total assets	119		36			39		194			202		37			38		277
Liabilities
Deferred compensation obligation	—		(20		)	—		(20		)	—		(21		)	—		(21		)
Total liabilities	—		(20		)	—		(20		)	—		(21		)	—		(21		)
Total net assets	$	119	$	16		$	39	$	174		$	202	$	16		$	38	$	256



	Pepco										DPL										ACE
As of March 31, 2019	Level 1		Level 2			Level 3		Total			Level 1		Level 2			Level 3		Total			Level 1		Level 2		Level 3		Total
Assets
Cash equivalents^(a)	$	35	$	—		$	—	$	35		$	2	$	—		$	—	$	2		$	21	$	—	$	—	$	21
Rabbi trust investments
Cash equivalents	42		—			—		42			—		—			—		—			—		—		—		—
Fixed income	—		4			—		4			—		—			—		—			—		—		—		—
Life insurance contracts	—		22			38		60			—		—			—		—			—		—		—		—
Rabbi trust investments subtotal^(b)	42		26			38		106			—		—			—		—			—		—		—		—
Total assets	77		26			38		141			2		—			—		2			21		—		—		21
Liabilities
Deferred compensation obligation	—		(3		)	—		(3		)	—		(1		)	—		(1		)	—		—		—		—
Total liabilities	—		(3		)	—		(3		)	—		(1		)	—		(1		)	—		—		—		—
Total net assets (liabilities)	$	77	$	23		$	38	$	138		$	2	$	(1	)	$	—	$	1		$	21	$	—	$	—	$	21



	Pepco										DPL										ACE
As of December 31, 2018	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)	$	38	$	—		$	—	$	38		$	16	$	—		$	—	$	16		$	23	$	—	$	—	$	23
Rabbi trust investments
Cash equivalents	41		—			—		41			—		—			—		—			—		—		—		—
Fixed income	—		5			—		5			—		—			—		—			—		—		—		—
Life insurance contracts	—		22			37		59			—		—			—		—			—		—		—		—
Rabbi trust investments subtotal^(b)	41		27			37		105			—		—			—		—			—		—		—		—
Total assets	79		27			37		143			16		—			—		16			23		—		—		23
Liabilities
Deferred compensation obligation	—		(3		)	—		(3		)	—		(1		)	—		(1		)	—		—		—		—
Total liabilities	—		(3		)	—		(3		)	—		(1		)	—		(1		)	—		—		—		—
Total net assets (liabilities)	$	79	$	24		$	37	$	140		$	16	$	(1	)	$	—	$	15		$	23	$	—	$	—	$	23

_________

(a)

PHI excludes cash of $29 million and $39 million at March 31, 2019 and December 31, 2018, respectively, and includes long-term restricted cash of $19 million at both March 31, 2019 and December 31, 2018, which is reported in Other deferred debits in the Consolidated Balance Sheets. Pepco excludes cash of $11 million and $15 million at March 31, 2019 and December 31, 2018, respectively. DPL excludes cash of $6 million and $8 million at March 31, 2019 and December 31, 2018, respectively. ACE excludes cash of $7 million at both March 31, 2019 and December 31, 2018, and includes long-term restricted cash of $19 million at both March 31, 2019 and December 31, 2018, which is reported in Other deferred debits in the Consolidated Balance Sheets.


(b)	The amount of unrealized gains/(losses) at PHI totaled less than $1 million for both the three months ended March 31, 2019 and 2018. The amount of unrealized gains/(losses) at Pepco totaled less than $1 million for both the three months ended March 31, 2019 and 2018.

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 months ended March 31, 2019 and 2018:



	Generation												ComEd				PHI					Exelon
Three Months Ended March 31, 2019	NDT Fund Investments			Mark-to-Market Derivatives				Other Investments		Total Generation			Mark-to-Market Derivatives				Life Insurance Contracts^(c)		Eliminated in Consolidation			Total
Balance as of December 31, 2018	$	543		$	575			$	42	$	1,160		$	(249	)		$	38	$	—		$	949
Total realized / unrealized gains (losses)
Included in net income	2			(231		)	^(a)	—		(229		)	—				1		—			(228		)
Included in noncurrent payables to affiliates	11			—				—		11			—				—		(11		)	—
Included in regulatory assets/liabilities	—			—				—		—			9			^(b)	—		11			20
Change in collateral	—			81				—		81			—				—		—			81
Purchases, sales, issuances and settlements
Purchases	1			57				—		58			—				—		—			58
Sales	—			—				—		—			—				—		—			—
Settlements	(17		)	—				—		(17		)	—				—		—			(17		)
Transfers into Level 3	—			—			^(d)	—		—			—				—		—			—
Transfers out of Level 3	—			17			^(d)	—		17			—				—		—			17
Balance at March 31, 2019	$	540		$	499			$	42	$	1,081		$	(240	)		$	39	$	—		$	880
The amount of total gains (losses) included in income attributed to the change in unrealized gains (losses) related to assets and liabilities as of March 31, 2019	$	2		$	(151	)		$	—	$	(149	)	$	—			$	1	$	—		$	(148	)



	Generation													ComEd				PHI					Exelon
Three Months Ended March 31, 2018	NDT Fund Investments			Mark-to-Market Derivatives				Other Investments			Total Generation			Mark-to-Market Derivatives				Life Insurance Contracts^(c)		Eliminated in Consolidation			Total
Balance as of December 31, 2017	$	648		$	552			$	37		$	1,237		$	(256	)		$	22	$	—		$	1,003
Total realized / unrealized gains (losses)
Included in net income	—			184			^(a)	1			185			—				1		—			186
Included in noncurrent payables to affiliates	7			—				—			7			—				—		(7		)	—
Included in regulatory assets	—			—				—			—			(11		)	^(b)	—		7			(4		)
Change in collateral	—			105				—			105			—				—		—			105
Purchases, sales, issuances and settlements
Purchases	2			88				—			90			—				—		—			90
Sales	—			(3		)		—			(3		)	—				—		—			(3		)
Issuances	—			—				—			—			—				—		—			—
Settlements	(48		)	—				—			(48		)	—				—		—			(48		)
Transfers into Level 3	—			(8		)	^(d)	—			(8		)	—				—		—			(8		)
Transfers out of Level 3	—			—			^(d)	(2		)	(2		)	—				—		—			(2		)
Balance as of March 31, 2018	$	609		$	918			$	36		$	1,563		$	(267	)		$	23	$	—		$	1,319
The amount of total gains (losses) included in income attributed to the change in unrealized gains (losses) related to assets and liabilities as of March 31, 2018	$	—		$	256			$	1		$	257		$	—			$	1	$	—		$	258

__________


(a)	Includes a reduction for the reclassification of $80 million and $72 million of realized gains due to the settlement of derivative contracts for the three months ended March 31, 2019 and 2018, respectively.

(b)

Includes $14 million of decreases 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 March 31, 2019. Includes $17 million of increases in fair value and an increase for realized losses due to settlements of $6 million recorded in purchased power expense associated with floating-to-fixed energy swap contracts with unaffiliated suppliers for the three months ended March 31, 2018.


(c)	The amounts represented are life insurance contracts at Pepco.


(d)	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.

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 months ended March 31, 2019 and 2018:



	Generation								PHI		Exelon
	Operating Revenues			Purchased Power and Fuel			Other, net		Operating and Maintenance		Operating Revenues			Purchased Power and Fuel			Operating and Maintenance		Other, net
Total gains (losses) included in net income for the three months ended March 31, 2019	$	(128	)	$	(103	)	$	2	$	1	$	(128	)	$	(103	)	$	1	$	2
Change in the unrealized gains (losses) relating to assets and liabilities held for the three months ended March 31, 2019	(91		)	(60		)	2		1		(91		)	(60		)	1		2



	Generation							PHI		Exelon
	Operating Revenues		Purchased Power and Fuel			Other, net		Operating and Maintenance		Operating Revenues		Purchased Power and Fuel			Operating and Maintenance		Other, net
Total gains (losses) included in net income for the three months ended March 31, 2018	$	335	$	(151	)	$	1	$	1	$	335	$	(151	)	$	1	$	1
Change in the unrealized gains (losses) relating to assets and liabilities held for the three months ended March 31, 2018	309		(53		)	1		1		309		(53		)	1		1

Valuation Techniques Used to Determine Fair Value

The following describes the valuation techniques used to measure the fair value of the assets and liabilities shown in the tables above.

Cash Equivalents (All Registrants). The Registrants’ cash equivalents include investments with original maturities of three months or less when purchased. The cash equivalents shown in the fair value tables are comprised of investments in mutual and money market funds. The fair values of the shares of these funds are based on observable market prices and, therefore, have been categorized in Level 1 in the fair value hierarchy.

NDT Fund Investments (Exelon and Generation). The trust fund investments have been established to satisfy Generation’s and CENG's nuclear decommissioning obligations as required by the NRC. The NDT funds hold debt and equity securities directly and indirectly through commingled funds and mutual funds, which are included in Equities and Fixed Income. Generation’s and CENG's NDT fund investments policies outline investment guidelines for the trusts and limit the trust funds’ exposures to investments in highly illiquid markets and other alternative investments. Investments with maturities of three months or less when purchased, including certain short-term fixed income securities are considered cash equivalents and included in the recurring fair value measurements hierarchy as Level 1 or Level 2.

With respect to individually held equity securities, the trustees obtain prices from pricing services, whose prices are generally obtained from direct feeds from market exchanges, which Generation is able to independently corroborate. The fair values of equity securities held directly by the trust funds which are based on quoted prices in active markets are categorized in Level 1. Certain equity securities have been categorized as Level 2 because they are based on evaluated prices that reflect observable market information, such as actual trade information or similar securities. Equity securities held individually are primarily traded on the New York Stock Exchange and NASDAQ-Global Select Market, which contain only actively traded securities due to the volume trading requirements imposed by these exchanges.

For fixed income securities, multiple prices from pricing services are obtained whenever possible, which enables cross-provider validations in addition to checks for unusual daily movements. A primary price source is identified based on asset type, class or issue for each security. With respect to individually held fixed income securities, the trustees monitor prices supplied by pricing services and may use a supplemental price source or change the primary price source of a given security if the portfolio managers challenge an assigned price and the trustees determine that another price source is considered to be preferable. Generation has obtained an understanding of how these prices are derived, including the nature and observability of the inputs used in deriving such prices. Additionally, Generation selectively corroborates the fair values of securities by comparison to other market-based price sources. U.S. Treasury securities are categorized as Level 1 because they trade in a highly liquid and transparent market. The fair values of fixed income securities, excluding U.S. Treasury securities, are based on evaluated prices that reflect observable market information, such as actual trade information or similar securities, adjusted for observable differences and are categorized in Level 2. The fair values of private placement fixed income securities, which are included in Corporate debt, are determined using a third-party valuation that contains significant unobservable inputs and are categorized in Level 3.

Equity and fixed income commingled funds and mutual funds are maintained by investment companies and hold certain investments in accordance with a stated set of fund objectives such as holding short-term fixed income securities or tracking the performance of certain equity indices by purchasing equity securities to replicate the capitalization and characteristics of the indices. The values of some of these funds are publicly quoted. For mutual funds which are publicly quoted, the funds are valued based on quoted prices in active markets and have been categorized as Level 1. For commingled funds and mutual funds, which are not publicly quoted, the funds are valued using NAV as a practical expedient for fair value, which is primarily derived from the quoted prices in active markets on the underlying securities, and are not classified within the fair value hierarchy. These investments typically can be redeemed monthly with 30 or less days of notice and without further restrictions.

Derivative instruments consisting primarily of futures and interest rate swaps to manage risk are recorded at fair value. Over the counter derivatives are valued daily based on quoted prices in active markets and trade in open markets and have been categorized as Level 1. Derivative instruments other than over the counter derivatives are valued based on external price data of comparable securities and have been categorized as Level 2.

Middle market lending are investments in loans or managed funds which lend to private companies. Generation elected the fair value option for its investments in certain limited partnerships that invest in middle market lending managed funds. The fair value of these loans is determined using a combination of valuation models including cost models, market models and income models. Investments in loans are categorized as Level 3 because the fair value of these securities is based largely on inputs that are unobservable and utilize complex valuation models. Managed funds are valued using NAV or its equivalent as a practical expedient, and therefore, are not classified within the fair value hierarchy. Investments in middle market lending typically cannot be redeemed until maturity of the term loan.

Private equity and real estate investments include those in limited partnerships that invest in operating companies and real estate holding companies that are not publicly traded on a stock exchange, such as, leveraged buyouts, growth capital, venture capital, distressed investments, investments in natural resources, and direct investments in pools of real estate properties. The fair value of private equity and real estate investments is determined using NAV or its equivalent as a practical expedient, and therefore, are not classified within the fair value hierarchy. These investments typically cannot be redeemed and are generally liquidated over a period of 8 to 10 years from the initial investment date. Private equity and real estate valuations are reported by the fund manager and are based on the valuation of the underlying investments, which include inputs such as cost, operating results, discounted future cash flows, market based comparable data, and independent appraisals from sources with professional qualifications. These valuation inputs are unobservable.

As of March 31, 2019, Exelon and Generation have outstanding commitments to invest in fixed income, middle market lending, private equity and real estate investments of approximately $127 million, $179 million, $301 million, and $268 million, respectively. These commitments will be funded by Generation’s existing NDT funds.

Concentrations of Credit Risk. Generation evaluated its NDT portfolios for the existence of significant concentrations of credit risk as of March 31, 2019. Types of concentrations that were evaluated include, but are not limited to, investment concentrations in a single entity, type of industry, foreign country, and individual fund. As of March 31, 2019, there were no significant concentrations (generally defined as greater than 10 percent) of risk in Generation's NDT assets.

See Note 13 — Nuclear Decommissioning for additional information on the NDT fund investments.

Rabbi Trust Investments (Exelon, Generation, PECO, BGE, PHI, and Pepco). The Rabbi trusts were established to hold assets related to deferred compensation plans existing for certain active and retired members of Exelon’s executive management and directors. The Rabbi trusts assets are included in investments in the Registrants’ Consolidated Balance Sheets and consist primarily of money market funds, mutual funds, fixed income securities and life insurance policies. The mutual funds are maintained by investment companies and hold certain investments in accordance with a stated set of fund objectives, which are consistent with Exelon’s overall investment strategy. Money market funds and mutual funds are publicly quoted and have been categorized as Level 1 given the clear observability of the prices. The fair values of fixed income securities are based on evaluated prices that reflect observable market information, such as actual trade information or similar securities, adjusted for observable differences and are categorized in Level 2. The life insurance policies are valued using the cash surrender value of the policies, net of loans against those policies, which is provided by a third-party. Certain life insurance policies, which consist primarily of mutual funds that are priced based on observable market data, have been categorized as Level 2 because the life insurance policies can be liquidated at the reporting date for the value of the underlying assets. Life insurance policies that are valued using unobservable inputs have been categorized as Level 3.

Mark-to-Market Derivatives (Exelon, Generation, ComEd, PHI and DPL). Derivative contracts are traded in both exchange-based and non-exchange-based markets. Exchange-based derivatives that are valued using unadjusted quoted prices in active markets are categorized in Level 1 in the fair value hierarchy. Certain derivatives’ pricing is verified using indicative price quotations available through brokers or over-the-counter, on-line exchanges and are categorized in Level 2. These price quotations reflect the average of the bid-ask, mid-point prices and are obtained from sources that the Registrants believe provide the most liquid market for the commodity. The price quotations are reviewed and corroborated to ensure the prices are observable and representative of an orderly transaction between market participants. This includes consideration of actual transaction volumes, market delivery points, bid-ask spreads and contract duration. The remainder of derivative contracts are valued using the Black model, an industry standard option valuation model. The Black model takes into account inputs such as contract terms, including maturity, and market parameters, including assumptions of the future prices of energy, interest rates, volatility, credit worthiness and credit spread. For derivatives that trade in liquid markets, such as generic forwards, swaps and options, model inputs are generally observable. Such instruments are categorized in Level 2. The Registrants’ derivatives are predominantly at liquid trading points. For derivatives that trade in less liquid markets with limited pricing information model inputs generally would include both observable and unobservable inputs. These valuations may include an estimated basis adjustment from an illiquid trading point to a liquid trading point for which active price quotations are available. Such instruments are categorized in Level 3.

Exelon may utilize fixed-to-floating interest rate swaps as a means to achieve its targeted level of variable-rate debt as a percent of total debt. In addition, the Registrants may utilize interest rate derivatives to lock in interest rate levels in anticipation of future financings. Exelon determines the current fair value by calculating the net present value of expected payments and receipts under the swap agreement, based on and discounted by the market's expectation of future interest rates. Additional inputs to the net present value calculation may include the contract terms, counterparty credit risk and other market parameters. As these inputs are based on observable data and valuations of similar instruments, the interest rate swaps are categorized in Level 2 in the fair value hierarchy. See Note 10 — Derivative Financial Instruments for additional information on mark-to-market derivatives.

Deferred Compensation Obligations (All Registrants). The Registrants’ deferred compensation plans allow participants to defer certain cash compensation into a notional investment account. The Registrants include such plans in other current and noncurrent liabilities in their Consolidated Balance Sheets. The value of the Registrants’ deferred compensation obligations is based on the market value of the participants’ notional investment accounts. The underlying notional investments are comprised primarily of equities, mutual funds, commingled funds, and fixed income securities which are based on directly and indirectly observable market prices. Since the deferred compensation obligations themselves are not exchanged in an active market, they are categorized as Level 2 in the fair value hierarchy.

The value of certain employment agreement obligations (which are included with the Deferred Compensation Obligation in the tables above) are based on a known and certain stream of payments to be made over time and are categorized as Level 2 within the fair value hierarchy.

Additional Information Regarding Level 3 Fair Value Measurements (Exelon, Generation, ComEd, PHI, Pepco, DPL and ACE)

NDT Fund Investments (Exelon and Generation). For middle market lending and certain corporate debt securities investments, the fair value is determined using a combination of valuation models including cost models, market models and income models. The valuation estimates are based on discounting the forecasted cash flows, market-based comparable data, credit and liquidity factors, as well as other factors that may impact value. Significant judgment is required in the application of discounts or premiums applied for factors such as size, marketability, credit risk and relative performance.

Because Generation relies on third-party fund managers to develop the quantitative unobservable inputs without adjustment for the valuations of its Level 3 investments, quantitative information about significant unobservable inputs used in valuing these investments is not reasonably available to Generation. This includes information regarding the sensitivity of the fair values to changes in the unobservable inputs. Therefore, Generation has not disclosed such inputs.

Rabbi Trust Investments - Life insurance contracts (Exelon, PHI, and Pepco). For life insurance policies categorized as Level 3, the fair value is determined based on the cash surrender value of the policy, which contains unobservable inputs and assumptions. Because Exelon relies on its third-party insurance provider to develop the inputs without adjustment for the valuations of its Level 3 investments, quantitative information about significant unobservable inputs used in valuing these investments is not reasonably available to Exelon. Therefore, Exelon has not disclosed such inputs.

Mark-to-Market Derivatives (Exelon, Generation and ComEd). For valuations that include both observable and unobservable inputs, if the unobservable input is determined to be significant to the overall inputs, the entire valuation is categorized in Level 3. This includes derivatives valued using indicative price quotations whose contract tenure extends into unobservable periods. In instances where observable data is unavailable, consideration is given to the assumptions that market participants would use in valuing the asset or liability. This includes assumptions about market risks such as liquidity, volatility and contract duration. Such instruments are categorized in Level 3 as the model inputs generally are not observable. Forward price curves for the power market utilized by the front office to manage the portfolio, are reviewed and verified by the middle office, and used for financial reporting by the back office. The Registrants consider credit and nonperformance risk in the valuation of derivative contracts categorized in Level 2 and 3, including both historical and current market data in its assessment of credit and nonperformance risk by counterparty. Due to master netting agreements and collateral posting requirements, the impacts of credit and nonperformance risk were not material to the financial statements.

Disclosed below is detail surrounding the Registrants’ significant Level 3 valuations. The calculated fair value includes marketability discounts for margining provisions and other attributes. Generation’s Level 3 balance generally consists of forward sales and purchases of power and natural gas and certain transmission congestion contracts. Generation utilizes various inputs and factors including market data and assumptions that market participants would use in pricing assets or liabilities as well as assumptions about the risks inherent in the inputs to the valuation technique. The inputs and factors include forward commodity prices, commodity price volatility, contractual volumes, delivery location, interest rates, credit quality of counterparties and credit enhancements.

For commodity derivatives, the primary input to the valuation models is the forward commodity price curve for each instrument. Forward commodity price curves are derived by risk management for liquid locations and by the traders and portfolio managers for illiquid locations. All locations are reviewed and verified by risk management considering published exchange transaction prices, executed bilateral transactions, broker quotes, and other observable or public data sources. The relevant forward commodity curve used to value each of the derivatives depends on a number of factors, including commodity type, delivery location, and delivery period. Price volatility varies by commodity and location. When appropriate, Generation discounts future cash flows using risk free interest rates with adjustments to reflect the credit quality of each counterparty for assets and Generation’s own credit quality for liabilities. The level of observability of a forward commodity price varies generally due to the delivery location and delivery period. Certain delivery locations including PJM West Hub (for power) and Henry Hub (for natural gas) are more liquid and prices are observable for up to three years in the future. The observability period of volatility is generally shorter than the underlying power curve used in option valuations. The forward curve for a less liquid location is estimated by using the forward curve from the liquid location and applying a spread to represent the cost to transport the commodity to the delivery location. This spread does not typically represent a majority of the instrument’s market price. As a result, the change in fair value is closely tied to liquid market movements and not a change in the applied spread. The change in fair value associated with a change in the spread is generally immaterial. An average spread calculated across all Level 3 power and gas delivery locations is approximately $2.52 and $0.46 for power and natural gas, respectively. Many of the commodity derivatives are short-term in nature and thus a majority of the fair value may be based on observable inputs even though the contract as a whole must be classified as Level 3.

On December 17, 2010, ComEd entered into several 20-year floating to fixed energy swap contracts with unaffiliated suppliers for the procurement of long-term renewable energy and associated RECs. See Note 10 —Derivative Financial Instruments for additional information. The fair value of these swaps has been designated as a Level 3 valuation due to the long tenure of the positions and internal modeling assumptions. The modeling assumptions include using natural gas heat rates to project long term forward power curves adjusted by a renewable factor that incorporates time of day and seasonality factors to reflect accurate renewable energy pricing. In addition, marketability reserves are applied to the positions based on the tenor and supplier risk.

The table below discloses the significant inputs to the forward curve used to value these positions.



Type of trade	Fair Value at March 31, 2019			Valuation Technique	Unobservable Input	Range
Mark-to-market derivatives — Economic Hedges (Exelon and Generation)^(a)(b)	$	278		Discounted Cash Flow	Forward power price	$9	-	$164
					Forward gas price	$1.76	-	$11.63
				Option Model	Volatility percentage	10%	-	334%

Mark-to-market derivatives — Proprietary trading (Exelon and Generation)^(a)(b)	$	64		Discounted Cash Flow	Forward power price	$9	-	$162

Mark-to-market derivatives (Exelon and ComEd)	$	(240	)	Discounted Cash Flow	Forward heat rate^(c)	10x	-	11x
					Marketability reserve	4%	-	8%
					Renewable factor	85%	-	120%



Type of trade	Fair Value at December 31, 2018			Valuation Technique	Unobservable Input	Range
Mark-to-market derivatives — Economic Hedges (Exelon and Generation)^(a)(b)	$	443		Discounted Cash Flow	Forward power price	$12	-	$174
					Forward gas price	$0.78	-	$12.38
				Option Model	Volatility percentage	10%	-	277%

Mark-to-market derivatives — Proprietary trading (Exelon and Generation)^(a)(b)	$	56		Discounted Cash Flow	Forward power price	$14	-	$174

Mark-to-market derivatives (Exelon and ComEd)	$	(249	)	Discounted Cash Flow	Forward heat rate^(c)	10x	-	11x
					Marketability reserve	4%	-	8%
					Renewable factor	86%	-	120%

_________


(a)	The valuation techniques, unobservable inputs and ranges are the same for the asset and liability positions.


(b)	The fair values do not include cash collateral posted on level three positions of $157 million and $76 million as of March 31, 2019 and December 31, 2018, 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.

The inputs listed above, which are as of the balance sheet date, would have a direct impact on the fair values of the above instruments if they were adjusted. The significant unobservable inputs used in the fair value measurement of Generation’s commodity derivatives are forward commodity prices and for options is price volatility. Increases (decreases) in the forward commodity price in isolation would result in significantly higher (lower) fair values for long positions (contracts that give Generation the obligation or option to purchase a commodity), with offsetting impacts to short positions (contracts that give Generation the obligation or right to sell a commodity). Increases (decreases) in volatility would increase (decrease) the value for the holder of the option (writer of the option). Generally, a change in the estimate of forward commodity prices is unrelated to a change in the estimate of volatility of prices. An increase to the reserves listed above would decrease the fair value of the positions. An increase to the heat rate or renewable factors would increase the fair value accordingly. Generally, interrelationships exist between market prices of natural gas and power. As such, an increase in natural gas pricing would potentially have a similar impact on forward power markets.