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Fair Value of Financial Assets and Liabilities | 9 Months Ended
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Sep. 30, 2024
Fair Value Disclosures [Abstract] |
Fair Value of Financial Assets and Liabilities | Fair Value of Financial Assets and Liabilities We measure and classify fair value measurements in accordance with the hierarchy as defined by GAAP. 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 we 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. Fair Value of Financial Liabilities Recorded at Amortized Cost The following table presents the carrying amounts and fair values of our long-term debt and SNF obligation as of September 30, 2024 and December 31, 2023. We have no financial liabilities classified as Level 1. The carrying amounts of the short-term liabilities as presented in the Consolidated Balance Sheets are representative of their fair value (Level 2) because of the short-term nature of these instruments.
|  | September 30, 2024 |  | December 31, 2023
|  | Carrying Amount |  | Fair Value |  | Carrying Amount |  | Fair Value
|  |  | Level 2 |  | Level 3 |  | Total |  |  | Level 2 |  | Level 3 |  | Total
Long-Term Debt, including amounts due within one year |  | $ | 8,412 |  |  | $ | 8,205 |  |  | $ | 737 |  |  | $ | 8,942 |  |  | $ | 7,617 |  |  | $ | 7,140 |  |  | $ | 774 |  |  | $ | 7,914 |
SNF Obligation |  | 1,349 |  |  | 1,310 |  |  | — |  |  | 1,310 |  |  | 1,296 |  |  | 1,222 |  |  | — |  |  | 1,222 |
Valuation Techniques Used to Determine Fair Value and Net Asset Value Our valuation techniques used to measure the fair value and net asset value of the assets and liabilities are in accordance with the policies discussed in Note 18 — Fair Value of Financial Assets and Liabilities of our 2023 Form 10-K. Recurring Fair Value Measurements The following table present assets and liabilities measured and recorded at fair value in the Consolidated Balance Sheets on a recurring basis and their level within the fair value hierarchy as of September 30, 2024 and December 31, 2023:
| As of September 30, 2024 |  | As of December 31, 2023
| Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash equivalents(a) | $ | 130 |  |  | $ | — |  |  | $ | — |  |  | $ | 130 |  |  | $ | 42 |  |  | $ | — |  |  | $ | — |  |  | $ | 42 |
NDT fund investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash equivalents(b) | 267 |  |  | 152 |  |  | — |  |  | 419 |  |  | 356 |  |  | 87 |  |  | — |  |  | 443 |
Equities | 5,567 |  |  | 2,021 |  |  | 1 |  |  | 7,589 |  |  | 4,574 |  |  | 1,990 |  |  | 1 |  |  | 6,565 |
Fixed income | 2,209 |  |  | 1,467 |  |  | 365 |  |  | 4,041 |  |  | 2,043 |  |  | 1,523 |  |  | 277 |  |  | 3,843 |
Private credit | — |  |  | — |  |  | 133 |  |  | 133 |  |  | — |  |  | — |  |  | 151 |  |  | 151 |
Assets measured at NAV | — |  |  | — |  |  | — |  |  | 5,616 |  |  | — |  |  | — |  |  | — |  |  | 5,396 |
NDT fund investments subtotal(c) | 8,043 |  |  | 3,640 |  |  | 499 |  |  | 17,798 |  |  | 6,973 |  |  | 3,600 |  |  | 429 |  |  | 16,398 |
Rabbi trust investments | 55 |  |  | 38 |  |  | 1 |  |  | 94 |  |  | 48 |  |  | 33 |  |  | 1 |  |  | 82 |
Investments in equities | 258 |  |  | — |  |  | — |  |  | 258 |  |  | 372 |  |  | — |  |  | — |  |  | 372 |
Mark-to-market derivative assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Economic hedges | 1,412 |  |  | 4,466 |  |  | 3,558 |  |  | 9,436 |  |  | 2,330 |  |  | 5,821 |  |  | 3,143 |  |  | 11,294 |
Proprietary trading | — |  |  | — |  |  | 1 |  |  | 1 |  |  | — |  |  | — |  |  | 2 |  |  | 2 |
Effect of netting and allocation of collateral(d) | (1,300) |  |  | (4,003) |  |  | (2,770) |  |  | (8,073) |  |  | (1,996) |  |  | (5,195) |  |  | (1,931) |  |  | (9,122) |
Mark-to-market derivative assets subtotal | 112 |  |  | 463 |  |  | 789 |  |  | 1,364 |  |  | 334 |  |  | 626 |  |  | 1,214 |  |  | 2,174 |
DPP consideration | — |  |  | 1,766 |  |  | — |  |  | 1,766 |  |  | — |  |  | 1,216 |  |  | — |  |  | 1,216 |
Total assets measured at fair value | 8,598 |  |  | 5,907 |  |  | 1,289 |  |  | 21,410 |  |  | 7,769 |  |  | 5,475 |  |  | 1,644 |  |  | 20,284 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Mark-to-market derivative liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Economic hedges | (1,509) |  |  | (4,657) |  |  | (3,640) |  |  | (9,806) |  |  | (2,681) |  |  | (7,154) |  |  | (2,736) |  |  | (12,571) |
Proprietary trading | — |  |  | — |  |  | (1) |  |  | (1) |  |  | — |  |  | — |  |  | (2) |  |  | (2) |
Effect of netting and allocation of collateral(d) | 1,443 |  |  | 4,463 |  |  | 3,058 |  |  | 8,964 |  |  | 2,587 |  |  | 6,542 |  |  | 2,393 |  |  | 11,522 |
Mark-to-market derivative liabilities subtotal | (66) |  |  | (194) |  |  | (583) |  |  | (843) |  |  | (94) |  |  | (612) |  |  | (345) |  |  | (1,051) |
Deferred compensation obligation | — |  |  | (98) |  |  | — |  |  | (98) |  |  | — |  |  | (69) |  |  | — |  |  | (69) |
Total liabilities measured at fair value | (66) |  |  | (292) |  |  | (583) |  |  | (941) |  |  | (94) |  |  | (681) |  |  | (345) |  |  | (1,120) |
Total net assets | $ | 8,532 |  |  | $ | 5,615 |  |  | $ | 706 |  |  | $ | 20,469 |  |  | $ | 7,675 |  |  | $ | 4,794 |  |  | $ | 1,299 |  |  | $ | 19,164 |
__________ (a)CEG Parent has $142 million and $54 million of Level 1 cash equivalents as of September 30, 2024 and December 31, 2023, respectively. We exclude cash of $1,676 million and $349 million as of September 30, 2024 and December 31, 2023, respectively, and restricted cash of $64 million and $49 million as of September 30, 2024 and December 31, 2023, respectively. CEG Parent has excluded an additional $1 million and $2 million of cash as of September 30, 2024 and December 31, 2023, respectively. (b)Includes net liabilities of $131 million and $115 million as of September 30, 2024 and December 31, 2023, respectively, which 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. (c)Includes total NDT derivative assets and liabilities that are not material, which have notional amounts of $1,068 million and $948 million as of September 30, 2024 and December 31, 2023, respectively. The notional principal amounts provide one measure of the transaction volume outstanding as of the periods ended and do not represent the amount of our exposure to credit or market loss. (d)Includes $606 million and $1,712 million of variation margin posted on the exchanges as of September 30, 2024 and December 31, 2023, respectively. As of September 30, 2024, our NDTs have outstanding commitments to invest in private credit, private equity, and real assets of $378 million, $337 million, and $734 million, respectively. These commitments will be funded by our existing NDT funds. Equity Security Investments without Readily Determinable Fair Values. We hold investments without readily determinable fair values with carrying amounts of $135 million and $103 million as of September 30, 2024 and December 31, 2023, respectively. Changes in fair value, cumulative adjustments, and impairments were not material for the three and nine months ended September 30, 2024 and the year ended December 31, 2023. Reconciliation of Level 3 Assets and Liabilities 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 and nine months ended September 30, 2024 and 2023:
| For the Three Months Ended September 30, 2024
| NDT Fund Investments |  | Mark-to-Market Derivatives |  | Life Insurance Contracts |  | Total
Balance as of July 1, 2024 | $ | 492 |  |  | $ | 312 |  |  | $ | 1 |  |  | $ | 805 |
Total realized / unrealized gains (losses) |  |  |  |  |  |  |
Included in net income (loss) | 4 |  |  | 58 |  | (a) | — |  |  | 62 |
Included in Payable related to Regulatory Agreement Units | 9 |  |  | — |  |  | — |  |  | 9 |
Change in collateral | — |  |  | (166) |  |  |  |  | (166) |
Purchases, sales, issuances and settlements |  |  |  |  |  |  |
Purchases | — |  |  | 14 |  |  | — |  |  | 14 |
Sales | — |  |  | — |  |  | — |  |  | — |
Settlements | (7) |  |  | — |  |  | — |  |  | (7) |
Transfers into Level 3 | 1 |  |  | (12) |  | (b) | — |  |  | (11) |
Transfers out of Level 3 | — |  |  | — |  | (b) | — |  |  | — |
Balance as of September 30, 2024 | $ | 499 |  |  | $ | 206 |  |  | $ | 1 |  |  | $ | 706 |
The amount of total gains (losses) included in income attributed to the change in unrealized gains (losses) related to assets and liabilities as of September 30, 2024 | $ | 4 |  |  | $ | 191 |  |  | $ | — |  |  | $ | 195 |
| For the Three Months Ended September 30, 2023
| NDT Fund Investments |  | Mark-to-Market Derivatives |  | Life Insurance Contracts |  | Total
Balance as of July 1, 2023 | $ | 421 |  |  | $ | 651 |  |  | $ | 1 |  |  | $ | 1,073 |
Total realized / unrealized gains (losses) |  |  |  |  |  |  |
Included in net income (loss) | — |  |  | (236) |  | (a) | — |  |  | (236) |
Included in Payable related to Regulatory Agreement Units | — |  |  | — |  |  | — |  |  | — |
Change in collateral | — |  |  | (7) |  |  | — |  |  | (7) |
Purchases, sales, issuances and settlements |  |  |  |  |  |  |
Purchases | — |  |  | 35 |  |  | — |  |  | 35 |
Sales | — |  |  | (3) |  |  | — |  |  | (3) |
Settlements | — |  |  | 32 |  |  | — |  |  | 32 |
Transfers into Level 3 | — |  |  | — |  | (b) | — |  |  | — |
Transfers out of Level 3 | — |  |  | (91) |  | (b) | — |  |  | (91) |
Balance as of September 30, 2023 | $ | 421 |  |  | $ | 381 |  |  | $ | 1 |  |  | $ | 803 |
The amount of total gains (losses) included in income attributed to the change in unrealized gains (losses) related to assets and liabilities as of September 30, 2023 | $ | — |  |  | $ | 54 |  |  | $ | — |  |  | $ | 54 |
| For the Nine Months Ended September 30, 2024
| NDT Fund Investments |  | Mark-to-Market Derivatives |  | Life Insurance Contracts |  | Total
Balance as of January 1, 2024 | $ | 429 |  |  | $ | 869 |  |  | $ | 1 |  |  | $ | 1,299 |
Total realized / unrealized gains (losses) |  |  |  |  |  |  |
Included in net income (loss) | 4 |  |  | (433) |  | (a) | — |  |  | (429) |
Included in Payable related to Regulatory Agreement Units | 13 |  |  | — |  |  | — |  |  | 13 |
Change in collateral | — |  |  | (173) |  |  | — |  |  | (173) |
Purchases, sales, issuances and settlements |  |  |  |  |  |  |
Purchases | 66 |  |  | 32 |  |  | — |  |  | 98 |
Sales | — |  |  | (83) |  |  | — |  |  | (83) |
Settlements | (14) |  |  | (2) |  |  | — |  |  | (16) |
Transfers into Level 3 | 1 |  |  | 27 |  | (b) | — |  |  | 28 |
Transfers out of Level 3 | — |  |  | (31) |  | (b) | — |  |  | (31) |
Balance as of September 30, 2024 | $ | 499 |  |  | $ | 206 |  |  | $ | 1 |  |  | $ | 706 |
The amount of total gains (losses) included in income attributed to the change in unrealized gains (losses) related to assets and liabilities as of September 30, 2024 | $ | 4 |  |  | $ | 216 |  |  | $ | — |  |  | $ | 220 |
| For the Nine Months Ended September 30, 2023
| NDT Fund Investments |  | Mark-to-Market Derivatives |  | Life Insurance Contracts |  | Total
Balance as of January 1, 2023 | $ | 423 |  |  | $ | 219 |  |  | $ | 1 |  |  | $ | 643 |
Total realized / unrealized gains (losses) |  |  |  |  |  |  |
Included in net income (loss) | 1 |  |  | 24 |  | (a) | — |  |  | 25 |
Included in Payable related to Regulatory Agreement Units | 4 |  |  | — |  |  | — |  |  | 4 |
Change in collateral | — |  |  | 99 |  |  | — |  |  | 99 |
Purchases, sales, issuances and settlements |  |  |  |  |  |  |
Purchases | — |  |  | 120 |  |  | — |  |  | 120 |
Sales | — |  |  | (9) |  |  | — |  |  | (9) |
Settlements | (7) |  |  | 32 |  |  | — |  |  | 25 |
Transfers into Level 3 | — |  |  | 59 |  | (b) | — |  |  | 59 |
Transfers out of Level 3 | — |  |  | (163) |  | (b) | — |  |  | (163) |
Balance as of September 30, 2023 | $ | 421 |  |  | $ | 381 |  |  | $ | 1 |  |  | $ | 803 |
The amount of total gains (losses) included in income attributed to the change in unrealized gains (losses) related to assets and liabilities as of September 30, 2023 | $ | 1 |  |  | $ | 759 |  |  | $ | — |  |  | $ | 760 |
__________ (a)Includes a reduction of $133 million and $651 million for realized gains due to the settlement of derivative contracts for the three and nine months ended September 30, 2024, respectively. Includes a reduction of $258 million and $703 million for realized gains due to the settlement of derivative contracts for the three and nine months ended September 30, 2023, respectively. (b)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 and nine months ended September 30, 2024 and 2023:
| For the Three Months Ended September 30,
| Operating Revenues |  | Purchased Power and Fuel |  | Other, net
| 2024 |  | 2023 |  | 2024 |  | 2023 |  | 2024 |  | 2023
Total gains (losses) included in net income | $ | 177 |  |  | $ | (129) |  |  | $ | (119) |  |  | $ | (75) |  |  | $ | 4 |  |  | $ | — |
Total unrealized gains (losses) | 300 |  |  | 97 |  |  | (109) |  |  | (43) |  |  | — |  |  | — |
| For the Nine Months Ended September 30,
| Operating Revenues |  | Purchased Power and Fuel |  | Other, net
| 2024 |  | 2023 |  | 2024 |  | 2023 |  | 2024 |  | 2023
Total gains (losses) included in net income | $ | (97) |  |  | $ | 388 |  |  | $ | (338) |  |  | $ | (332) |  |  | $ | 4 |  |  | $ | 1 |
Total unrealized gains (losses) | 561 |  |  | 1,144 |  |  | (345) |  |  | (385) |  |  | — |  |  | 1 |
Mark-to-Market Derivatives The following table presents the significant inputs to the forward curve used to value these positions:
Type of trade |  | Fair Value as of September 30, 2024 |  | Fair Value as of December 31, 2023 |  | Valuation Technique |  | Unobservable Input |  | 2024 Range & Arithmetic Average |  | 2023 Range & Arithmetic Average
Mark-to market derivatives—Economic hedges(a)(b) |  | $ | (82) |  |  | $ | 407 |  |  | Discounted Cash Flow |  | Forward power price |  | $4.28 - $138 | $47 |  | $9.64 - $216 | $48
|  |  |  |  |  |  |  | Forward gas price |  | $1.07 - $13 | $3.41 |  | $1.20 - $14 | $3.09
|  |  |  |  |  | Option Model |  | Volatility percentage |  | 11% - 75% | 45% |  | 23% - 200% | 87%
__________ (a)The valuation techniques, unobservable inputs, ranges, and arithmetic averages are the same for the asset and liability positions. (b)The fair values do not include cash collateral posted on Level 3 positions of $288 million and $462 million as of September 30, 2024 and December 31, 2023, respectively. 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 our 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 us the obligation or option to purchase a commodity), with offsetting impacts to short positions (contracts that give us 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 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.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 107 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-107 Reference 2: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 100 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-100 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c)(3) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2E -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2E Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 7: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 8: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (e) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 9: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 10: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 11: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (g) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 12: http://www.xbrl.org/2003/role/disclosureRef -Topic 940 -SubTopic 820 -Name Accounting Standards Codification -Section 50 -Paragraph 1 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478119/940-820-50-1 + Details
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