XML 67 R44.htm IDEA: XBRL DOCUMENT v3.20.4
Fair Value Measurements (Tables)
12 Months Ended
Dec. 31, 2020
Fair Value Inputs, Assets, Quantitative Information

The following table presents Dominion Energy’s quantitative information about Level 3 fair value measurements at December 31, 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)

 

$

95

 

 

Discounted cash flow

 

Market price (per Dth)

(3)

 

(1) - 4

 

 

(1

)

FTRs

 

 

15

 

 

Discounted cash flow

 

Market price (per MWh)

(3)

 

(1) - 4

 

 

1

 

Total assets

 

$

110

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial forwards:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

FTRs

 

$

5

 

 

Discounted cash flow

 

Market price (per MWh)

(3)

 

(4) - 3

 

 

 

Physical options:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Natural gas

 

 

2

 

 

Option model

 

Market price (per Dth)

(3)

 

2 - 5

 

 

4

 

 

 

 

 

 

 

 

 

Price volatility

(4)

 

20% - 56%

 

 

38

%

Total liabilities

 

$

7

 

 

 

 

 

 

 

 

 

 

 

 

(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)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

$

 

 

$

57

 

 

$

110

 

 

$

167

 

Interest rate

 

 

 

 

 

230

 

 

 

 

 

 

230

 

Investments(1):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S.

 

 

4,648

 

 

 

 

 

 

 

 

 

4,648

 

Fixed income:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt instruments

 

 

 

 

 

629

 

 

 

 

 

 

629

 

Government securities

 

 

508

 

 

 

730

 

 

 

 

 

 

1,238

 

Cash equivalents and other

 

 

32

 

 

 

15

 

 

 

 

 

 

47

 

Total assets

 

$

5,188

 

 

$

1,661

 

 

$

110

 

 

$

6,959

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

$

 

 

$

48

 

 

$

7

 

 

$

55

 

Interest rate

 

 

 

 

 

431

 

 

 

 

 

 

431

 

Total liabilities

 

$

 

 

$

479

 

 

$

7

 

 

$

486

 

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 trusts and rabbi trusts. Excludes $340 million and $274 million of assets at December 31, 2020 and 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:

 

 

 

2020

 

 

2019

 

 

2018

 

(millions)

 

 

 

 

 

 

 

 

 

 

 

 

Balance at January 1,

 

$

(37

)

 

$

64

 

 

$

150

 

Total realized and unrealized gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

Included in earnings:

 

 

 

 

 

 

 

 

 

 

 

 

Operating Revenue

 

 

 

 

 

(1

)

 

 

(2

)

Electric fuel and other energy-related purchases

 

 

(33

)

 

 

(22

)

 

 

(15

)

Purchased gas

 

 

 

 

 

2

 

 

 

 

Discontinued operations

 

 

1

 

 

 

 

 

 

 

Included in other comprehensive income

 

 

 

 

 

 

 

 

1

 

Included in regulatory assets/liabilities

 

 

140

 

 

 

(90

)

 

 

(44

)

Settlements

 

 

33

 

 

 

17

 

 

 

(27

)

Purchases

 

 

 

 

 

(10

)

 

 

 

Sales

 

 

(1

)

 

 

6

 

 

 

 

Transfers out of Level 3

 

 

 

 

 

(3

)

 

 

1

 

Balance at December 31,

 

$

103

 

 

$

(37

)

 

$

64

 

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:

December 31,

 

2020

 

 

2019

 

 

 

Carrying

Amount

 

 

Estimated Fair Value(1)

 

 

Carrying

Amount

 

 

Estimated Fair  Value(1)

 

(millions)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dominion Energy

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-term debt(2)(3)

 

$

31,996

 

 

$

38,773

 

 

$

32,055

 

 

$

36,155

 

Supplemental 364-Day credit facility borrowings

 

 

225

 

 

 

225

 

 

 

 

 

 

 

Junior subordinated notes(4)

 

 

3,411

 

 

 

3,633

 

 

 

4,797

 

 

 

4,953

 

Virginia Power

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-term debt(4)

 

$

13,207

 

 

$

16,455

 

 

$

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 December 31, 2020 and December 31, 2019, includes the valuation of certain fair value hedges associated with Dominion Energy’s 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 December 31, 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)

 

$

95

 

 

Discounted cash flow

 

Market price (per Dth)

(3)

 

(1) - 4

 

 

(1

)

FTRs

 

 

15

 

 

Discounted cash flow

 

Market price (per MWh)

(3)

 

(1) - 4

 

 

1

 

Total assets

 

$

110

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial forwards:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

FTRs

 

$

5

 

 

Discounted cash flow

 

Market price (per MWh)

(3)

 

(4) - 3

 

 

 

Physical options:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Natural gas

 

 

2

 

 

Option model

 

Market price (per Dth)

(3)

 

2 - 5

 

 

4

 

 

 

 

 

 

 

 

 

Price volatility

(4)

 

20% - 56%

 

 

38

%

Total liabilities

 

$

7

 

 

 

 

 

 

 

 

 

 

 

 

 

(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)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

$

 

 

$

5

 

 

$

110

 

 

$

115

 

Interest rate

 

 

 

 

 

66

 

 

 

 

 

 

66

 

Investments(1):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

U.S.

 

 

2,171

 

 

 

 

 

 

 

 

 

2,171

 

Fixed income:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt instruments

 

 

 

 

 

348

 

 

 

 

 

 

348

 

Government securities

 

 

201

 

 

 

309

 

 

 

 

 

 

510

 

Cash equivalents and other

 

 

13

 

 

 

 

 

 

 

 

 

13

 

Total assets

 

$

2,385

 

 

$

728

 

 

$

110

 

 

$

3,223

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

$

 

 

$

22

 

 

$

7

 

 

$

29

 

Interest rate

 

 

 

 

 

376

 

 

 

 

 

 

376

 

Total liabilities

 

$

 

 

$

398

 

 

$

7

 

 

$

405

 

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 $167 million and $159 million of assets at December 31, 2020 and 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:

 

 

 

2020

 

 

2019

 

 

2018

 

(millions)

 

 

 

 

 

 

 

 

 

 

 

 

Balance at January 1,

 

$

(37

)

 

$

60

 

 

$

147

 

Total realized and unrealized gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

Included in earnings:

 

 

 

 

 

 

 

 

 

 

 

 

Electric fuel and other energy-related purchases

 

 

(33

)

 

 

(22

)

 

 

(17

)

Included in regulatory assets/liabilities

 

 

140

 

 

 

(88

)

 

 

(45

)

Settlements

 

 

33

 

 

 

13

 

 

 

(25

)

Balance at December 31,

 

$

103

 

 

$

(37

)

 

$

60