CONSTELLATION ENERGY GENERATION LLC

12. 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 June 30, 2025 and December 31, 2024. 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.

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 17 — Fair Value of Financial Assets and Liabilities of our 2024 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 June 30, 2025 and December 31, 2024:

(a)CEG Parent has $51 million and $130 million of Level 1 cash equivalents as of June 30, 2025 and December 31, 2024, respectively. We exclude cash of $1,943 million and $2,924 million, and restricted cash of $59 million and $71 million as of June 30, 2025 and December 31, 2024, respectively. CEG Parent has excluded an additional $9 million and $4 million of cash as of June 30, 2025 and December 31, 2024, respectively.

(b)Includes net liabilities of $135 million and $148 million as of June 30, 2025 and December 31, 2024, 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 $1,514 million and $1,119 million as of June 30, 2025 and December 31, 2024, 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.

As of June 30, 2025, our NDTs have outstanding commitments to invest in private credit, private equity, and real assets of $504 million, $436 million, and $568 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 $204 million and $150 million as of June 30, 2025 and December 31, 2024, respectively. Changes in fair value, cumulative adjustments, and impairments were not material for the three and six months ended June 30, 2025 and the year ended December 31, 2024.

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 six months ended June 30, 2025 and 2024:

(a)Includes a reduction of ($112) million and ($147) million for realized gains due to the settlement of derivative contracts for the three and six months ended June 30, 2025, respectively. Includes a reduction of ($181) million and ($518) million for realized gains due to the settlement of derivative contracts for the three and six months ended June 30, 2024, 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 table presents 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 six months ended June 30, 2025 and 2024:

Mark-to-Market Derivatives

The following table presents the significant inputs to the forward curve used to value these positions:

(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 (received) on Level 3 positions of $284 million and $136 million as of June 30, 2025 and December 31, 2024, 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 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.