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Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2020
Fair Value Inputs, Assets, Quantitative Information

The following table presents Dominion Energy’s quantitative information about Level 3 fair value measurements at September 30, 2020.  The range and weighted average are presented in dollars for market price inputs and percentages for price volatility.

 

 

 

Fair Value

(millions)

 

 

Valuation Techniques

 

Unobservable Input

 

 

Range

 

Weighted

Average(1)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Physical and financial forwards:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Natural gas(2)

 

$

102

 

 

Discounted cash flow

 

Market price (per Dth)

(3)

 

(2) - 3

 

 

(1

)

FTRs

 

 

32

 

 

Discounted cash flow

 

Market price (per MWh)

(3)

 

(1) - 5

 

 

1

 

Physical options:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Natural gas

 

 

3

 

 

Option model

 

Market price (per Dth)

(3)

 

1 - 6

 

 

4

 

 

 

 

 

 

 

 

 

Price volatility

(4)

 

19% - 61%

 

 

35

%

Total assets

 

$

137

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial forwards:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

FTRs

 

$

10

 

 

Discounted cash flow

 

Market price (per MWh)

(3)

 

(5) - 4

 

 

—

 

Total liabilities

 

$

10

 

 

 

 

 

 

 

 

 

 

 

 

(1)

Averages weighted by volume.

(2)

Includes basis.

(3)

Represents market prices beyond defined terms for Levels 1 and 2.

(4)

Represents volatilities unrepresented in published markets.    
Fair Value, Option, Qualitative Disclosures

Sensitivity of the fair value measurements to changes in the significant unobservable inputs is as follows:

 

Significant Unobservable

Inputs

 

Position

 

Change to Input

 

Impact on Fair Value

Measurement

Market price

 

Buy

 

Increase (decrease)

 

Gain (loss)

Market price

 

Sell

 

Increase (decrease)

 

Loss (gain)

Price volatility

 

Buy

 

Increase (decrease)

 

Gain (loss)

Price volatility

 

Sell

 

Increase (decrease)

 

Loss (gain)
Fair Value, by Balance Sheet Grouping

The following table presents Dominion Energy’s assets and liabilities that are measured at fair value on a recurring basis for each hierarchy level, including both current and noncurrent portions:

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

(millions)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

At September 30, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

$

—

 

 

$

49

 

 

$

137

 

 

$

186

 

Interest rate

 

 

—

 

 

 

60

 

 

 

—

 

 

 

60

 

Foreign currency

 

 

—

 

 

 

6

 

 

 

—

 

 

 

6

 

Investments(1):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S.

 

 

4,146

 

 

 

—

 

 

 

—

 

 

 

4,146

 

Fixed income:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt instruments

 

 

—

 

 

 

617

 

 

 

—

 

 

 

617

 

Government securities

 

 

499

 

 

 

746

 

 

 

—

 

 

 

1,245

 

Cash equivalents and other

 

 

31

 

 

 

12

 

 

 

—

 

 

 

43

 

Total assets

 

$

4,676

 

 

$

1,490

 

 

$

137

 

 

$

6,303

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

$

—

 

 

$

41

 

 

$

10

 

 

$

51

 

Interest rate

 

 

—

 

 

 

721

 

 

 

—

 

 

 

721

 

Foreign currency

 

 

—

 

 

 

4

 

 

 

—

 

 

 

4

 

Total liabilities

 

$

—

 

 

$

766

 

 

$

10

 

 

$

776

 

At December 31, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

$

—

 

 

$

55

 

 

$

19

 

 

$

74

 

Interest rate

 

 

—

 

 

 

11

 

 

 

—

 

 

 

11

 

Foreign currency

 

 

—

 

 

 

8

 

 

 

—

 

 

 

8

 

Investments(1):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S.

 

 

4,195

 

 

 

—

 

 

 

—

 

 

 

4,195

 

Fixed income:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt instruments

 

 

—

 

 

 

463

 

 

 

—

 

 

 

463

 

Government securities

 

 

473

 

 

 

719

 

 

 

—

 

 

 

1,192

 

Cash equivalents and other

 

 

19

 

 

 

1

 

 

 

—

 

 

 

20

 

Total assets

 

$

4,687

 

 

$

1,257

 

 

$

19

 

 

$

5,963

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

$

—

 

 

$

75

 

 

$

56

 

 

$

131

 

Interest rate

 

 

—

 

 

 

606

 

 

 

—

 

 

 

606

 

Foreign currency

 

 

—

 

 

 

3

 

 

 

—

 

 

 

3

 

Total liabilities

 

$

—

 

 

$

684

 

 

$

56

 

 

$

740

 

(1)

Includes investments held in the nuclear decommissioning and rabbi trusts. Excludes $297 million and $274 million of assets at September 30, 2020 and December 31, 2019, respectively, measured at fair value using NAV (or its equivalent) as a practical expedient which are not required to be categorized in the fair value hierarchy.
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation

The following table presents the net change in Dominion Energy's assets and liabilities measured at fair value on a recurring basis and included in the Level 3 fair value category:

 

 

 

 

Three Months Ended

 

 

Nine Months Ended

 

 

 

September 30,

 

 

September 30,

 

 

 

2020

 

 

2019

 

 

2020

 

 

2019

 

(millions)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Beginning balance

 

$

123

 

 

$

75

 

 

$

(37

)

 

$

64

 

Total realized and unrealized gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Included in earnings:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Operating revenue

 

 

—

 

 

 

—

 

 

 

—

 

 

 

2

 

Purchased gas

 

 

—

 

 

 

—

 

 

 

—

 

 

 

1

 

Electric fuel and other energy-related purchases

 

 

—

 

 

 

(5

)

 

 

(26

)

 

 

(12

)

Included in regulatory assets/liabilities

 

 

4

 

 

 

(76

)

 

 

164

 

 

 

(51

)

Settlements

 

 

—

 

 

 

5

 

 

 

26

 

 

 

7

 

Purchases

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(10

)

Transfers out of Level 3

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(2

)

Ending balance

 

$

127

 

 

$

(1

)

 

$

127

 

 

$

(1

)

The amount of total gains (losses) for the period included in

   earnings attributable to the change in unrealized gains

   (losses) relating to assets/liabilities still held at the

   reporting date:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Operating revenue

 

$

—

 

 

$

—

 

 

$

—

 

 

$

2

 

Purchased gas

 

 

—

 

 

 

—

 

 

 

—

 

 

 

1

 

Total

 

$

—

 

 

$

—

 

 

$

—

 

 

$

3

 
Schedule of Carrying Values and Estimated Fair Values of Debt Instruments For the Companies' financial instruments that are not recorded at fair value, the carrying amounts and estimated fair values are as follows:

 

 

September 30, 2020

 

 

December 31, 2019

 

 

 

Carrying

Amount

 

 

Estimated

Fair

Value(1)

 

 

Carrying

Amount

 

 

Estimated

Fair

Value(1)

 

(millions)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dominion Energy

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-term debt(2)(3)

 

$

37,045

 

 

$

43,872

 

 

$

32,055

 

 

$

36,155

 

Supplemental 364-Day credit facility borrowings

 

 

225

 

 

 

225

 

 

 

—

 

 

 

—

 

Junior subordinated notes(4)

 

 

3,410

 

 

 

3,589

 

 

 

4,797

 

 

 

4,953

 

Virginia Power

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-term debt(4)

 

$

12,328

 

 

$

15,410

 

 

$

12,326

 

 

$

14,281

 

 

(1)

Fair value is estimated using market prices, where available, and interest rates currently available for issuance of debt with similar terms and remaining maturities. All fair value measurements are classified as Level 2. The carrying amount of debt issuances with short-term maturities and variable rates refinanced at current market rates is a reasonable estimate of their fair value.

(2)

Carrying amount includes current portions included in securities due within one year and amounts which represent the unamortized debt issuance costs, discount or premium and foreign currency remeasurement adjustments. At September 30, 2020 and December 31, 2019, includes the valuation of certain fair value hedges associated with fixed rate debt of $3 million and $4 million, respectively.

(3)

Includes amounts classified as held for sale, see Note 3.

(4)

Carrying amount includes current portions included in securities due within one year and amounts which represent the unamortized debt issuance costs, discount or premium.

 
Virginia Electric and Power Company  
Fair Value Inputs, Assets, Quantitative Information

The following table presents Virginia Power’s quantitative information about Level 3 fair value measurements at September 30, 2020.  The range and weighted average are presented in dollars for market price inputs and percentages for price volatility.

 

 

 

Fair Value

(millions)

 

 

Valuation Techniques

 

Unobservable Input

 

 

Range

 

Weighted

Average(1)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Physical and financial forwards:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Natural gas(2)

 

$

102

 

 

Discounted cash flow

 

Market price (per Dth)

(3)

 

(2) - 3

 

 

(1

)

FTRs

 

 

32

 

 

Discounted cash flow

 

Market price (per MWh)

(3)

 

(1) - 5

 

 

1

 

Physical options:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Natural gas

 

 

3

 

 

Option model

 

Market price (per Dth)

(3)

 

1 - 6

 

 

4

 

 

 

 

 

 

 

 

 

Price volatility

(4)

 

19% - 61%

 

 

35

%

Total assets

 

$

137

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial forwards:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

FTRs

 

$

10

 

 

Discounted cash flow

 

Market price (per MWh)

(3)

 

(5) - 4

 

 

—

 

Total liabilities

 

$

10

 

 

 

 

 

 

 

 

 

 

 

 

 

(1)

Averages weighted by volume.

(2)

Includes basis.

(3)

Represents market prices beyond defined terms for Levels 1 and 2.

(4)

Represents volatilities unrepresented in published markets.
Fair Value, Option, Qualitative Disclosures

Sensitivity of the fair value measurements to changes in the significant unobservable inputs is as follows:

 

Significant Unobservable

Inputs

 

Position

 

Change to Input

 

Impact on Fair Value

Measurement

Market price

 

Buy

 

Increase (decrease)

 

Gain (loss)

Market price

 

Sell

 

Increase (decrease)

 

Loss (gain)

Price volatility

 

Buy

 

Increase (decrease)

 

Gain (loss)

Price volatility

 

Sell

 

Increase (decrease)

 

Loss (gain)
Fair Value, by Balance Sheet Grouping

 

The following table presents Virginia Power’s assets and liabilities that are measured at fair value on a recurring basis for each hierarchy level, including both current and noncurrent portions:

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

(millions)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

At September 30, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

$

—

 

 

$

8

 

 

$

137

 

 

$

145

 

Investments(1):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S.

 

 

1,928

 

 

 

—

 

 

 

—

 

 

 

1,928

 

Fixed income:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt instruments

 

 

—

 

 

 

352

 

 

 

—

 

 

 

352

 

Government securities

 

 

176

 

 

 

310

 

 

 

—

 

 

 

486

 

Cash equivalents and other

 

 

14

 

 

 

—

 

 

 

—

 

 

 

14

 

Total assets

 

$

2,118

 

 

$

670

 

 

$

137

 

 

$

2,925

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

$

—

 

 

$

6

 

 

$

10

 

 

$

16

 

Interest rate

 

 

—

 

 

 

475

 

 

 

—

 

 

 

475

 

Total liabilities

 

$

—

 

 

$

481

 

 

$

10

 

 

$

491

 

At December 31, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

$

—

 

 

$

3

 

 

$

19

 

 

$

22

 

Interest rate

 

 

—

 

 

 

2

 

 

 

—

 

 

 

2

 

Investments(1):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S.

 

 

1,920

 

 

 

—

 

 

 

—

 

 

 

1,920

 

Fixed income:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt instruments

 

 

—

 

 

 

256

 

 

 

—

 

 

 

256

 

Government securities

 

 

186

 

 

 

361

 

 

 

—

 

 

 

547

 

Cash equivalents and other

 

 

—

 

 

 

1

 

 

 

—

 

 

 

1

 

Total assets

 

$

2,106

 

 

$

623

 

 

$

19

 

 

$

2,748

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

$

—

 

 

$

47

 

 

$

56

 

 

$

103

 

Interest rate

 

 

—

 

 

 

363

 

 

 

—

 

 

 

363

 

Total liabilities

 

$

—

 

 

$

410

 

 

$

56

 

 

$

466

 

 

(1)

Includes investments held in the nuclear decommissioning trusts. Excludes $150 million and $159 million of assets at September 30, 2020 and December 31, 2019, respectively, measured at fair value using NAV (or its equivalent) as a practical expedient which are not required to be categorized in the fair value hierarchy.
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation

The following table presents the net change in Virginia Power’s assets and liabilities measured at fair value on a recurring basis and included in the Level 3 fair value category:

 

 

 

Three Months Ended

 

 

Nine Months Ended

 

 

 

September 30,

 

 

September 30,

 

 

 

2020

 

 

2019

 

 

2020

 

 

2019

 

(millions)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Beginning balance

 

$

123

 

 

$

77

 

 

$

(37

)

 

$

60

 

Total realized and unrealized gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Included in earnings:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Electric fuel and other energy-related purchases

 

 

—

 

 

 

(5

)

 

 

(26

)

 

 

(12

)

Included in regulatory assets/liabilities

 

 

4

 

 

 

(76

)

 

 

164

 

 

 

(50

)

Settlements

 

 

—

 

 

 

5

 

 

 

26

 

 

 

3

 

Ending balance

 

$

127

 

 

$

1

 

 

$

127

 

 

$

1