ComEd 2006 Annual Report Download - page 235

Exelon Corporation and Subsidiary Companies
Exelon Generation Company, LLC and Subsidiary Companies
Commonwealth Edison Company and Subsidiary Companies
PECO Energy Company and Subsidiary Companies
Combined Notes to Consolidated Financial Statements—(Continued)
(Dollars in millions, except per share data unless otherwise noted)
At December 31, 2005, Exelon and Generation had net liabilities of $517 million and $540 million,
respectively on their Consolidated Balance Sheets for the fair value of energy derivatives, which
included the energy derivatives discussed below. The following tables provide a summary of the fair
value balances recorded by Exelon and Generation as of December 31, 2005:
December 31, 2005 Generation
Other (a)
Exelon
Derivatives
Cash-Flow
Hedges
Other
Derivatives
Proprietary
Trading Subtotal
Energy-Related
Derivatives (b)
Current assets ............... $ 563 $327 $ 26 $ 916 $— $ 916
Noncurrent assets ............ 153 9 124 286 85 371
Total mark-to-market energy
contract assets ............. $ 716 $336 $150 $1,202 $ 85 $ 1,287
Current liabilities ............. $ (948) $(316) $ (18) $(1,282) $— $(1,282)
Noncurrent liabilities .......... (289) (48) (123) (460) (62) (522)
Total mark-to-market energy
contract liabilities ........... $(1,237) $(364) $(141) $(1,742) $(62) $(1,804)
Total mark-to-market energy
contract net assets
(liabilities) ................. $ (521) $ (28) $ 9 $ (540) $ 23 $ (517)
(a) Other includes corporate operations, shared service entities, including BSC, Enterprises and investments in synthetic fuel-
producing facilities.
(b) Excludes Exelon’s interest-rate swaps.
Normal Operations and Hedging Activities (Generation). Electricity available from Generation’s
owned or contracted generation supply in excess of Generation’s obligations to customers, including
ComEd’s and PECO’s retail load, is sold into the wholesale markets. To reduce price risk caused by
market fluctuations, Generation enters into physical contracts as well as derivative contracts, including
forwards, futures, swaps and options, with approved counterparties to hedge anticipated exposures.
Cash-Flow Hedges (Generation and ComEd). The tables below provide details of effective cash-
flow hedges under SFAS No. 133 included on Exelon’s, Generation’s and ComEd’s Consolidated
Balance Sheets as of December 31, 2006. The data in the tables is indicative of the magnitude of
SFAS No. 133 hedges Generation and ComEd have in place; however, since under SFAS No. 133 not
all derivatives are recorded in OCI, the tables do not provide an all-encompassing picture of
Generation’s and ComEd’s derivatives. The tables also include a rollforward of accumulated OCI
related to cash-flow hedges for the years ended December 31, 2006 and 2005, providing information
about the changes in the fair value of hedges and the reclassification from OCI into earnings.
Total Cash-Flow Hedge
OCI Activity, Net of
Income Tax
December 31, 2006 Generation ComEd Exelon
Accumulated OCI derivative loss at January 1, 2006 .................. $(314) $— $(314)
Changes in fair value ............................................ 476 (4) 472
Reclassifications from OCI to net income ............................ 88 — 88
Accumulated OCI derivative gain (loss) at December 31, 2006 .......... $250 $ (4) $246
230