Exelon 2014 Annual Report Download - page 199

Combined Notes to Consolidated Financial Statements—(Continued)
(Dollars in millions, except per share data unless otherwise noted)
The following tables present the income statement classification of the total realized and unrealized gains (losses) included in
income for Exelon’s Level 3 assets and liabilities measured at fair value on a recurring basis during the years ended December 31,
2014 and 2013:
Operating
Revenues
Purchased
Power and
Fuel
Other,
net (a)
Total gains (losses) included in net income for the year ended December 31, 2014 .............. $614 $(88) $6
Change in the unrealized gains (losses) relating to assets and liabilities held for the year ended
December 31, 2014 ................................................................ $663 $(23) $4
Operating
Revenues
Purchased
Power and
Fuel
Other,
net (a)
Total gains (losses) included in net income for the year ended December 31, 2013 .............. $(152) $108 $2
Change in the unrealized gains relating to assets and liabilities held for the year ended
December 31, 2013 ................................................................ $ 40 $127 $1
(a) Other, net activity consists of realized and unrealized gains (losses) included in income for the NDT funds held by Generation.
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. The Registrants’ cash equivalents include investments with 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.
Nuclear Decommissioning Trust Fund Investments and Pledged Assets for Zion Station Decommissioning. 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, Fixed Income and Other. Generation’s and CENG’s investment policies place limitations on the types and
investment grade ratings of the securities that may be held by the trusts. These policies 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, which are included in Domestic or Foreign equities, the trustees obtain prices from
pricing services, whose prices are 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 are based on quoted prices in active markets and are
categorized in Level 1. 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. 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
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