Exelon 2014 Annual Report Download - page 118

Fair Values
The following tables present maturity and source of fair value for Exelon, Generation and ComEd mark-to-market commodity
contract net assets (liabilities). The tables provide two fundamental pieces of information. First, the tables provide the source of fair
value used in determining the carrying amount of the Registrants’ total mark-to-market net assets (liabilities), net of allocated
collateral. Second, the tables show the maturity, by year, of the Registrants’ commodity contract net assets (liabilities) net of
allocated collateral, giving an indication of when these mark-to-market amounts will settle and either generate or require cash. See
Note 11—Fair Value of Financial Assets and Liabilities of the Combined Notes to Consolidated Financial Statements for additional
information regarding fair value measurements and the fair value hierarchy.
Exelon
Maturities Within
Total Fair
Value2015 2016 2017 2018 2019
2020 and
Beyond
Normal Operations, Commodity derivative contracts (a)(b):
Actively quoted prices (Level 1) ............................. $ (118) $ (5) $ 3 $(10) $ (5) $ 1 $ (134)
Prices provided by external sources (Level 2) .................. 522 244 21 7 — 2 796
Prices based on model or other valuation methods (Level 3) (c) .... 625 217 140 (21) (21) (97) 843
Total ................................................... $1,029 $456 $164 $(24) $(26) $(94) $1,505
(a) Mark-to-market gains and losses on other economic hedge and trading derivative contracts that are recorded in results of operations.
(b) Amounts are shown net of collateral paid to and received from counterparties (and offset against mark-to-market assets and liabilities) of $1,406 million at
December 31, 2014.
(c) Includes ComEd’s net assets (liabilities) associated with the floating-to-fixed energy swap contracts with unaffiliated suppliers.
Generation
Maturities Within
Total Fair
Value2015 2016 2017 2018 2019
2020 and
Beyond
Normal Operations, Commodity derivative contracts (a)(b):
Actively quoted prices (Level 1) ............................. $ (118) $ (5) $ 3 $(10) $ (5) $ 1 $ (134)
Prices provided by external sources (Level 2) .................. 522 244 21 7 — 2 796
Prices based on model or other valuation methods (Level 3) ..... 645 236 157 (4) (4) 20 1,050
Total ................................................... $1,049 $475 $181 $ (7) $ (9) $23 $1,712
(a) Mark-to-market gains and losses on other economic hedge and trading derivative contracts that are recorded in the results of operations.
(b) Amounts are shown net of collateral paid to and received from counterparties (and offset against mark-to-market assets and liabilities) of $1,406 million at
December 31, 2014.
ComEd
Maturities Within
Fair
Value2015 2016 2017 2018 2019
2020 and
Beyond
Prices based on model or other valuation methods (Level 3) (a) ............. $(20) $(19) $(17) $(17) $(17) $(117) $(207)
(a) Represents ComEd’s net liabilities associated with the floating-to-fixed energy swap contracts with unaffiliated suppliers.
Credit Risk, Collateral, and Contingent Related Features
The Registrants would be exposed to credit-related losses in the event of non-performance by counterparties that enter into
derivative instruments. The credit exposure of derivative contracts, before collateral, is represented by the fair value of contracts at
the reporting date. See Note 12—Derivative Financial Instruments of the Combined Notes to Consolidated Financial Statements for
a detailed discussion of credit risk, collateral, and contingent related features.
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