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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2021

Fair Value Inputs, Assets, Quantitative Information

The following table presents Dominion Energy’s quantitative information about Level 3 fair value measurements at September 30, 2021. 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⁾	$	52	Discounted cash flow	Market price (per Dth)	⁽³⁾	(2) - 6		(1	)
FTRs		64	Discounted cash flow	Market price (per MWh)	⁽³⁾	(1) - 6		2
Electricity		38	Discounted cash flow	Market price (per MWh)	⁽³⁾	24 - 97		37
Physical options:
Natural gas		6	Option model	Market price (per Dth)	⁽³⁾	4 - 10		7
				Price volatility	⁽⁴⁾	19% - 32%		24	%
Total assets	$	160
Liabilities
Physical and financial forwards:
Natural gas⁽²⁾	$	1	Discounted cash flow	Market price (per Dth)	⁽³⁾	(2) - 5		—
FTRs		6	Discounted cash flow	Market price (per MWh)	⁽³⁾	(3) - 6		1
Electricity		9	Discounted cash flow	Market price (per MWh)	⁽³⁾	24 - 111		39
Total liabilities	$	16

(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, 2021
Assets
Derivatives:
Commodity	$	—	$	125	$	160	$	285
Interest rate		—		371		—		371
Investments⁽¹⁾:
Equity securities:
U.S.		4,738		—		—		4,738
Fixed income:
Corporate debt instruments		—		879		—		879
Government securities		774		715		—		1,489
Cash equivalents and other		3		—		—		3
Total assets	$	5,515	$	2,090	$	160	$	7,765
Liabilities
Derivatives:
Commodity	$	—	$	607	$	16	$	623
Interest rate		—		327		—		327
Total liabilities	$	—	$	934	$	16	$	950
At 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

(1)

Includes investments held in the nuclear decommissioning and rabbi trusts. Excludes $382 million and $340 million of assets at September 30, 2021 and December 31, 2020, 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,
	2021			2020		2021			2020
(millions)
Beginning balance	$	62		$	123	$	103		$	(37	)
Total realized and unrealized gains (losses):
Included in earnings:
Operating revenue		(6	)		—		(8	)		—
Electric fuel and other energy-related purchases		29			—		12			(26	)
Included in regulatory assets/liabilities		88			4		49			164
Settlements		(29	)		—		(12	)		26
Ending balance	$	144		$	127	$	144		$	127

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, 2021				December 31, 2020
	Carrying Amount		Estimated Fair Value⁽¹⁾		Carrying Amount		Estimated Fair Value⁽¹⁾
(millions)
Dominion Energy
Long-term debt⁽²⁾⁽³⁾	$	35,140	$	40,471	$	31,996	$	38,773
Supplemental credit facility borrowings⁽⁴⁾		900		900		225		225
Junior subordinated notes⁽⁵⁾		1,386		1,503		3,411		3,633
Virginia Power
Long-term debt⁽⁵⁾	$	13,212	$	15,570	$	13,207	$	16,455

(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 and discount or premium. At September 30, 2021 and December 31, 2020, the carrying amount includes the valuation of certain fair value hedges associated with fixed rate debt of $2 million and $3 million, respectively.

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

(4)	Also includes Supplemental 364-Day credit facility borrowings.

(5)	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, 2021. The range and weighted average are presented in dollars for market price inputs.

	Fair Value (millions)		Valuation Techniques	Unobservable Input		Range	Weighted Average⁽¹⁾
Assets
Physical and financial forwards:
Natural gas⁽²⁾	$	52	Discounted cash flow	Market price (per Dth)	⁽³⁾	(2) - 6		(1	)
FTRs		64	Discounted cash flow	Market price (per MWh)	⁽³⁾	(1) - 6		2
Physical options:
Natural gas		6	Option model	Market price (per Dth)	⁽³⁾	4 - 10		7
				Price volatility	⁽⁴⁾	19% - 32%		24	%
Total assets	$	122
Liabilities
Physical and financial forwards:
Natural gas⁽²⁾	$	1	Discounted cash flow	Market price (per Dth)	⁽³⁾	(2) - 5		—
FTRs		6	Discounted cash flow	Market price (per MWh)	⁽³⁾	(3) - 6		1
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)
At September 30, 2021
Assets
Derivatives:
Commodity	$	—	$	67	$	122	$	189
Interest rate		—		170		—		170
Investments⁽¹⁾:
Equity securities:
U.S.		2,188		—		—		2,188
Fixed income:
Corporate debt instruments		—		516		—		516
Government securities		349		274		—		623
Total assets	$	2,537	$	1,027	$	122	$	3,686
Liabilities
Derivatives:
Commodity	$	—	$	164	$	7	$	171
Interest rate		—		282		—		282
Total liabilities	$	—	$	446	$	7	$	453
At 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

(1)

Includes investments held in the nuclear decommissioning trusts. Excludes $183 million and $167 million of assets at September 30, 2021 and December 31, 2020, 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,
	2021			2020		2021			2020
(millions)
Beginning balance	$	74		$	123	$	103		$	(37	)
Total realized and unrealized gains (losses):
Included in earnings:
Electric fuel and other energy-related purchases		27			—		10			(26	)
Included in regulatory assets/liabilities		41			4		12			164
Settlements		(27	)		—		(10	)		26
Ending balance	$	115		$	127	$	115		$	127