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Fair Value of Financial Assets and Liabilities
 9 Months Ended
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, 2024December 31, 2023
Carrying AmountFair ValueCarrying AmountFair Value
Level 2Level 3TotalLevel 2Level 3Total
Long-Term Debt, including amounts due within one year
$8,412 $8,205 $737 $8,942 $7,617 $7,140 $774 $7,914 
SNF Obligation1,349 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, 2024As of December 31, 2023
Level 1Level 2Level 3TotalLevel 1Level 2Level 3Total
Assets
Cash equivalents(a)
$130 $— $— $130 $42 $— $— $42 
NDT fund investments
Cash equivalents(b)
267 152 — 419 356 87 — 443 
Equities5,567 2,021 1 7,589 4,574 1,990 1 6,565 
Fixed income2,209 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 investments55 38 1 94 48 33 1 82 
Investments in equities258 — — 258 372 — — 372 
Mark-to-market derivative assets
Economic hedges1,412 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 subtotal112 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 value8,598 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 ContractsTotal
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 Units9 — — 9 
Change in collateral— (166)(166)
Purchases, sales, issuances and settlements
Purchases— 14 — 14 
Sales— — — — 
Settlements(7)— 

— (7)
Transfers into Level 31 (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 ContractsTotal
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 ContractsTotal
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 Units13 — — 13 
Change in collateral— (173)— (173)
Purchases, sales, issuances and settlements
Purchases66 32 — 98 
Sales— (83)— (83)
Settlements(14)(2)

— (16)
Transfers into Level 31 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 ContractsTotal
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 Units4 — — 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
202420232024202320242023
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
202420232024202320242023
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 tradeFair Value as of September 30, 2024Fair 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 FlowForward power price
$4.28 - $138
$47
$9.64 - $216
$48
Forward gas price
$1.07 - $13
$3.41
$1.20 - $14
$3.09
Option ModelVolatility 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.