Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2012

Fair Value Disclosures [Abstract]

Fair Value, Option, Quantitative Disclosures

The following table presents Dominion's quantitative information about Level 3 fair value measurements. Included are descriptions of the valuation techniques, the significant unobservable inputs, and the range of market price, price correlation and price volatility inputs used in the fair value measurements at March 31, 2012 for each category of transaction and commodity type. The range and weighted average are presented in dollars for market price inputs and percentages for price volatility and correlations.

	Fair Value (millions)		Valuation Technique(s)	Unobservable Input		Range	Weighted Average(1)
At March 31, 2012
Assets:
Physical and Financial Forwards and Futures:
Natural Gas(2)	$	31	Discounted Cash Flow	Market Price (per Dth)	(3)	(1) - 6	3
Electricity	69		Discounted Cash Flow	Market Price (per MWh)	(3)	21 - 61	43
FTRs	1		Discounted Cash Flow	Market Price (per MWh)	(3)	(3) - 3	—
Capacity	9		Discounted Cash Flow	Market Price (per MW)	(3)	95-120	101
Liquids	1		Discounted Cash Flow	Market Price (per Gal)	(3)	1 - 2	1
Physical and Financial Options:
Natural Gas	6		Option Model	Market Price (per Dth)	(3)	2 - 5	4
				Price Volatility	(4)	23% - 60%	30	%
				Price Correlation	(5)	100% - 100%	100	%
Total assets	$	117
Liabilities:
Physical and Financial Forwards and Futures:
Natural Gas(2)	$	21	Discounted Cash Flow	Market Price (per Dth)	(3)	(1) - 6	3
Electricity	17		Discounted Cash Flow	Market Price (per MWh)	(3)	12 - 61	41
FTRs	18		Discounted Cash Flow	Market Price (per MWh)	(3)	(6) - 5	—
Liquids	108		Discounted Cash Flow	Market Price (per Gal)	(3)	1 - 3	2
Physical and Financial Options:
Natural Gas(2)	14		Option Model	Market Price (per Dth)	(3)	(1) - 5	2
				Price Volatility	(4)	23% - 59%	36	%
				Price Correlation	(5)	70% - 100%	90	%
Total liabilities	$	178

(1) Averages weighted by volume.

(2) Includes basis.

(3) Represents market prices beyond defined terms for Levels 1 & 2.

(4) Represents volatilities unrepresented in published markets.

(5) Represents intra-price correlations for which markets do not exist.

Fair Value, by Balance Sheet Grouping

The following table presents Dominion’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 March 31, 2012
Assets:
Derivatives:
Commodity	$	54	$	1,007	$	117	$	1,178
Interest rate	—		94		—		94
Investments(1):
Equity securities:
U.S.:
Large cap	1,933		—		—		1,933
Other	59		—		—		59
Non-U.S.:
Large cap	11		—		—		11
Fixed income:
Corporate debt instruments	—		317		—		317
U.S. Treasury securities and agency debentures	308		170		—		478
State and municipal	—		328		—		328
Other	—		20		—		20
Cash equivalents and other	—		82		—		82
Restricted cash equivalents	—		104		—		104
Total assets	$	2,365	$	2,122	$	117	$	4,604
Liabilities:
Derivatives:
Commodity	$	19	$	737	$	178	$	934
Interest rate	—		176		—		176
Total liabilities	$	19	$	913	$	178	$	1,110
At December 31, 2011
Assets:
Derivatives:
Commodity	$	44	$	828	$	93	$	965
Interest rate	—		105		—		105
Investments(1):
Equity securities:
U.S.:
Large cap	1,718		—		—		1,718
Other	51		—		—		51
Non-U.S.:
Large cap	10		—		—		10
Fixed income:
Corporate debt instruments	—		332		—		332
U.S. Treasury securities and agency debentures	277		181		—		458
State and municipal	—		329		—		329
Other	—		23		—		23
Cash equivalents and other	—		60		—		60
Restricted cash equivalents	—		141		—		141
Total assets	$	2,100	$	1,999	$	93	$	4,192
Liabilities:
Derivatives:
Commodity	$	10	$	714	$	164	$	888
Interest rate	—		269		—		269
Total liabilities	$	10	$	983	$	164	$	1,157

(1) Includes investments held in the nuclear decommissioning and rabbi trusts.

Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation

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

	Three Months Ended March 31,
	2012			2011
(millions)
Beginning balance	$	(71	)	$	(50	)
Total realized and unrealized gains (losses):
Included in earnings	(35		)	14
Included in other comprehensive income (loss)	5			(94		)
Included in regulatory assets/liabilities	11			(21		)
Settlements	30			(16		)
Transfers out of Level 3	(1		)	4
Ending balance	$	(61	)	$	(163	)
The amount of 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	$	1		$	4

Fair Value, Unobservable Inputs, Gain (Loss) Included In Earnings

The following table presents Dominion's gains and losses included in earnings in the Level 3 fair value category:

	Operating revenue			Electric fuel and other energy-related purchases			Total
(millions)
Three Months Ended March 31, 2012
Total gains (losses) included in earnings	$	(9	)	$	(26	)	$	(35	)
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	1			—			1
Three Months Ended March 31, 2011
Total gains (losses) included in earnings	$	(2	)	$	16		$	14
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	4			—			4

Cost and Fair Value of Financial Instruments Disclosure

For Dominion’s and Virginia Power’s financial instruments that are not recorded at fair value, the carrying amounts and estimated fair values are as follows:

	March 31, 2012				December 31, 2011
	Carrying Amount		Estimated Fair Value(1)		Carrying Amount			Estimated Fair Value(1)
(millions)
Dominion
Long-term debt, including securities due within one year(2)	$	16,695	$	19,256	$	16,264	18,936	$	18,936
Long-term debt, VIE(3)	882		889		890		892	892
Junior subordinated notes payable to affiliates	268		272		268		268	268
Enhanced junior subordinated notes	1,365		1,437		1,451		1,518	1,518
Subsidiary preferred stock(4)	257		259		257		256	256
Virginia Power
Long-term debt, including securities due within one year(2)	$	7,308	$	8,628	$	6,862		$	8,281
Preferred stock(4)	257		259		257			256

(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 issues with short-term maturities and variable rates refinanced at current market rates is a reasonable estimate of their fair value.

(2) Includes amounts which represent the unamortized discount and premium. At March 31, 2012 and December 31, 2011, includes the valuation of certain fair value hedges associated with Dominion’s fixed rate debt of approximately $93 million and $105 million, respectively.

(3) Includes amounts which represent the unamortized premium.

(4) Includes deferred issuance expenses of $2 million at March 31, 2012 and December 31, 2011.