ComEd 2006 Annual Report Download - page 142

The following table, which presents maturity and source of fair value of mark-to-market energy
contract net assets (liabilities), provides two fundamental pieces of information. First, the table provides
the source of fair value used in determining the carrying amount of Generation’s total mark-to-market
asset or liability. Second, the table provides the maturity, by year, of Generation’s net assets
(liabilities), giving an indication of when these mark-to-market amounts will settle and either generate
or require cash.
Maturities within
Total Fair
Value(in millions) 2007 2008 2009 2010 2011
2012 and
Beyond
Normal Operations, qualifying cash-flow hedge
contracts (a):
Actively quoted prices ................... $ (4) $— $— $— $— $— $ (4)
Prices provided by other external sources . . . 345 59 14 1 — — 419
Total ................................. $341 $ 59 $ 14 $ 1 $— $— $415
Normal Operations, other derivative contracts (b):
Actively quoted prices ................... $(122) $ 25 $ (1) $— $— $— $ (98)
Prices provided by other external sources . . . 232 — 1 — — — 233
Prices based on model or other valuation
methods ............................. (50) (1) — — — — (51)
Total ................................. $ 60 $ 24 $— $— $— $— $ 84
(a) Mark-to-market gains and losses on contracts that qualify as cash-flow hedges are recorded in other comprehensive
income.
(b) Mark-to-market gains and losses on other non-trading and trading derivative contracts that do not qualify as cash-flow
hedges are recorded in earnings.
The table below provides details of effective cash-flow hedges under SFAS No. 133 included in
the balance sheet as of December 31, 2006. The data in the table gives an indication of the magnitude
of SFAS No. 133 hedges Generation has in place; however, since under SFAS No. 133 not all hedges
are recorded in OCI, the table does not provide an all-encompassing picture of Generation’s hedges.
The table also includes a roll-forward of accumulated OCI related to cash-flow hedges for the years
ended December 31, 2006 and December 31, 2005, providing insight into the drivers of the changes
(new hedges entered into during the period and changes in the value of existing hedges). Information
related to energy merchant activities is presented separately from interest-rate hedging activities.
Total Cash-Flow Hedge OCI Activity, Net of Income Tax
(in millions)
Power Team
Normal Operations and
Hedging Activities
Interest-
Rate and
Other
Hedges
Total Cash-
Flow Hedges
Accumulated OCI derivative loss at January 1,
2005 ...................................... $(137) $ (9) $(146)
Changes in fair value .......................... (533) 5 (528)
Reclassifications from OCI to net income .......... 356 — 356
Accumulated OCI derivative loss at December 31,
2005 ...................................... (314) (4) (318)
Changes in fair value .......................... 476 1 477
Reclassifications from OCI to net income .......... 88 — 88
Accumulated OCI derivative gain (loss) at
December 31, 2006 .......................... $250 $ (3) $247
137