Derivatives and Hedge Accounting Activities (Tables)

6 Months Ended

Jun. 30, 2012

The following table presents the volume of Dominion’s derivative activity as of June 30, 2012. These volumes are based on open derivative positions and represent the combined absolute value of their long and short positions, except in the case of offsetting transactions, for which they represent the absolute value of the net volume of their long and short positions.



	Current		Noncurrent
Natural Gas (bcf):
Fixed price⁽¹⁾	306		74
Basis⁽¹⁾	817		495
Electricity (MWh):
Fixed price⁽¹⁾	25,636,509		19,532,389
FTRs	97,639,210		353,110
Capacity (MW)	49,825		266,460
Liquids (Gal)⁽²⁾	141,162,000		204,960,000
Interest rate	$	2,200,000,000	$	2,840,000,000


(1)	Includes options.


(2)	Includes NGLs and oil.

Cash Flow Hedges Included Accumulated Other Comprehensive Income (Loss)

The following table presents selected information related to gains (losses) on cash flow hedges included in AOCI in Dominion’s Consolidated Balance Sheet at June 30, 2012:



	AOCI After-Tax			Amounts Expected to be Reclassified to Earnings during the next 12 Months After-Tax			Maximum Term
(millions)
Commodities:
Gas	$	(26	)	$	(18	)	30 months
Electricity	180			68			42 months
NGLs	34			12			30 months
Other	5			3			47 months
Interest rate	(164		)	(14		)	366 months
Total	$	29		$	51

Fair Value of Derivatives

The following table presents the fair values of Dominion’s derivatives and where they are presented in its Consolidated Balance Sheets:



	Fair Value – Derivatives under Hedge Accounting		Fair Value – Derivatives not under Hedge Accounting		Total Fair Value
(millions)
June 30, 2012
ASSETS
Current Assets
Commodity	$	238	$	384	$	622
Interest rate	39		—		39
Total current derivative assets	277		384		661
Noncurrent Assets
Commodity	277		108		385
Interest rate	65		—		65
Total noncurrent derivative assets⁽¹⁾	342		108		450
Total derivative assets	$	619	$	492	$	1,111
LIABILITIES
Current Liabilities
Commodity	$	95	$	369	$	464
Interest rate	256		32		288
Total current derivative liabilities	351		401		752
Noncurrent Liabilities
Commodity	78		78		156
Interest rate	23		10		33
Total noncurrent derivative liabilities⁽²⁾	101		88		189
Total derivative liabilities	$	452	$	489	$	941
December 31, 2011
ASSETS
Current Assets
Commodity	$	176	$	495	$	671
Interest rate	34		—		34
Total current derivative assets	210		495		705
Noncurrent Assets
Commodity	198		96		294
Interest rate	71		—		71
Total noncurrent derivative assets⁽¹⁾	269		96		365
Total derivative assets	$	479	$	591	$	1,070
LIABILITIES
Current Liabilities
Commodity	$	162	$	530	$	692
Interest rate	222		37		259
Total current derivative liabilities	384		567		951
Noncurrent Liabilities
Commodity	118		78		196
Interest rate	—		10		10
Total noncurrent derivative liabilities⁽²⁾	118		88		206
Total derivative liabilities	$	502	$	655	$	1,157


(1)	Noncurrent derivative assets are presented in other deferred charges and other assets in Dominion’s Consolidated Balance Sheets.


(2)	Noncurrent derivative liabilities are presented in other deferred credits and other liabilities in Dominion’s Consolidated Balance Sheets.

Gains and Losses on Derivatives in Cash Flow Hedging Relationships

The following tables present the gains and losses on Dominion's derivatives, as well as where the associated activity is presented in its Consolidated Balance Sheets and Statements of Income:



Derivatives in cash flow hedging relationships	Amount of Gain (Loss) Recognized in AOCI on Derivatives (Effective Portion)⁽¹⁾			Amount of Gain (Loss) Reclassified from AOCI to Income			Increase (Decrease) in Derivatives Subject to Regulatory Treatment⁽²⁾
(millions)
Three Months Ended June 30, 2012
Derivative Type and Location of Gains (Losses)
Commodity:
Operating revenue				$	63
Purchased gas				(17		)
Electric fuel and other energy-related purchases				(5		)
Total commodity	$	111		41			$	9
Interest rate⁽³⁾	(108		)	1			(68		)
Total	$	3		$	42		$	(59	)
Three Months Ended June 30, 2011
Derivative Type and Location of Gains (Losses)
Commodity:
Operating revenue				$	32
Purchased gas				(7		)
Electric fuel and other energy-related purchases				1
Purchased electric capacity				1
Total commodity	$	49		27			$	(4	)
Interest rate⁽³⁾	(31		)	—			1
Total	$	18		$	27		$	(3	)
Six Months Ended June 30, 2012
Derivative Type and Location of Gains (Losses)
Commodity:
Operating revenue				$	127
Purchased gas				(47		)
Electric fuel and other energy-related purchases				(12		)
Total commodity	$	287		68			$	8
Interest rate⁽³⁾	(76		)	2			(41		)
Total	$	211		$	70		$	(33	)
Six Months Ended June 30, 2011
Derivative Type and Location of Gains (Losses)
Commodity:
Operating revenue				$	60
Purchased gas				(55		)
Electric fuel and other energy-related purchases				2
Purchased electric capacity				2
Total commodity	$	(93	)	9			$	(9	)
Interest rate⁽³⁾	(32		)	—			—
Total	$	(125	)	$	9		$	(9	)


(1)	Amounts deferred into AOCI have no associated effect in Dominion’s Consolidated Statements of Income.


(2)	Represents net derivative activity deferred into and amortized out of regulatory assets/liabilities. Amounts deferred into regulatory assets/liabilities have no associated effect in Dominion’s Consolidated Statements of Income.


(3)	Amounts recorded in Dominion’s Consolidated Statements of Income are classified in interest and related charges.

Schedule of Derivatives not Designated as Hedging Instruments



	Amount of Gain (Loss) Recognized in Income on Derivatives⁽¹⁾
	Three Months Ended June 30,						Six Months Ended June 30,
Derivatives not designated as hedging instruments	2012			2011			2012			2011
(millions)
Derivative Type and Location of Gains (Losses)
Commodity
Operating revenue	$	34		$	23		$	103		$	42
Purchased gas	5			(7		)	(5		)	(18		)
Electric fuel and other energy-related purchases	(9		)	(24		)	(36		)	(8		)
Interest rate⁽²⁾	9			—			7			—
Total	$	39		$	(8	)	$	69		$	16


(1)	Includes derivative activity amortized out of regulatory assets/liabilities. Amounts deferred into regulatory assets/liabilities have no associated effect in Dominion’s Consolidated Statements of Income.


(2)	Amounts recorded in Dominion’s Consolidated Statements of Income are classified in interest and related charges.

Virginia Electric and Power Company

Volumes of Derivative Activity

The following table presents the volume of Virginia Power’s derivative activity as of June 30, 2012. These volumes are based on open derivative positions and represent the combined absolute value of their long and short positions, except in the case of offsetting transactions, for which they represent the absolute value of the net volume of their long and short positions.



	Current		Noncurrent
Natural Gas (bcf):
Fixed price	23		—
Basis	12		—
Electricity (MWh):
Fixed price	580,000		—
FTRs	95,756,457		—
Capacity (MW)	15,000		185,800
Interest rate	$	500,000,000	$	840,000,000

Fair Value of Derivatives

The following table presents the fair values of Virginia Power’s derivatives and where they are presented in its Consolidated Balance Sheets:



	Fair Value – Derivatives under Hedge Accounting		Fair Value – Derivatives not under Hedge Accounting		Total Fair Value
(millions)
June 30, 2012
ASSETS
Current Assets
Commodity	$	1	$	4	$	5
Total current derivative assets⁽¹⁾	1		4		5
Total derivative assets	$	1	$	4	$	5
LIABILITIES
Current Liabilities
Commodity	$	5	$	4	$	9
Interest rate	41		32		73
Total current derivative liabilities⁽²⁾	46		36		82
Noncurrent Liabilities
Commodity	2		—		2
Interest rate	22		10		32
Total noncurrent derivative liabilities⁽³⁾	24		10		34
Total derivative liabilities	$	70	$	46	$	116
December 31, 2011
ASSETS
Current Assets
Commodity	$	—	$	2	$	2
Total current derivative assets⁽¹⁾	—		2		2
Total derivative assets	$	—	$	2	$	2
LIABILITIES
Current Liabilities
Commodity	$	14	$	31	$	45
Interest rate	53		37		90
Total current derivative liabilities⁽²⁾	67		68		135
Noncurrent Liabilities
Commodity	2		—		2
Interest rate	—		10		10
Total noncurrent derivative liabilities⁽³⁾	2		10		12
Total derivative liabilities	$	69	$	78	$	147


(1)	Current derivative assets are presented in other current assets in Virginia Power’s Consolidated Balance Sheets.


(2)	Current derivative liabilities are presented in other current liabilities in Virginia Power’s Consolidated Balance Sheets.


(3)	Noncurrent derivative liabilities are presented in other deferred credits and other liabilities in Virginia Power’s Consolidated Balance Sheets.

Gains and Losses on Derivatives in Cash Flow Hedging Relationships

The following tables present the gains and losses on Virginia Power's derivatives, as well as where the associated activity is presented in its Consolidated Balance Sheets and Statements of Income:



Derivatives in cash flow hedging relationships	Amount of Gain (Loss) Recognized in AOCI on Derivatives (Effective Portion)⁽¹⁾			Amount of Gain (Loss) Reclassified from AOCI to Income			Increase (Decrease) in Derivatives Subject to Regulatory Treatment⁽²⁾
(millions)
Three Months Ended June 30, 2012
Derivative Type and Location of Gains (Losses)
Commodity:
Electric fuel and other energy-related purchases				$	(1	)
Total commodity	$	1		(1		)	$	9
Interest rate⁽³⁾	(5		)	—			(68		)
Total	$	(4	)	$	(1	)	$	(59	)
Three Months Ended June 30, 2011
Derivative Type and Location of Gains (Losses)
Commodity:
Purchased electric capacity				$	—
Total commodity	$	—		—			$	(4	)
Interest rate⁽³⁾	—			1			1
Total	$	—		$	1		$	(3	)
Six Months Ended June 30, 2012
Derivative Type and Location of Gains (Losses)
Commodity:
Electric fuel and other energy-related purchases				$	(3	)
Total commodity	$	(1	)	(3		)	$	8
Interest rate⁽³⁾	(4		)	—			(41		)
Total	$	(5	)	$	(3	)	$	(33	)
Six Months Ended June 30, 2011
Derivative Type and Location of Gains (Losses)
Commodity:
Purchased electric capacity				$	1
Total commodity	$	—		1			$	(9	)
Interest rate⁽³⁾	—			1			—
Total	$	—		$	2		$	(9	)


(1)	Amounts deferred into AOCI have no associated effect in Virginia Power’s Consolidated Statements of Income.


(2)	Represents net derivative activity deferred into and amortized out of regulatory assets/liabilities. Amounts deferred into regulatory assets/liabilities have no associated effect in Virginia Power’s Consolidated Statements of Income.


(3)	Amounts are recorded in interest and related charges in Virginia Power’s Consolidated Statements of Income.

Schedule of Derivatives not Designated as Hedging Instruments



	Amount of Gain (Loss) Recognized in Income on Derivatives⁽¹⁾
	Three Months Ended June 30,						Six Months Ended June 30,
Derivatives not designated as hedging instruments	2012			2011			2012			2011
(millions)
Derivative Type and Location of Gains (Losses)
Commodity⁽²⁾	$	(19	)	$	(24	)	$	(46	)	$	(8	)
Interest rate⁽³⁾	1			—			(1		)	—
Total	$	(18	)	$	(24	)	$	(47	)	$	(8	)


(1)	Includes derivative activity amortized out of regulatory assets/liabilities. Amounts deferred into regulatory assets/liabilities have no associated effect in Virginia Power’s Consolidated Statements of Income.


(2)	Amounts are recorded in electric fuel and other energy-related purchases in Virginia Power’s Consolidated Statements of Income.

(3) Amounts are recorded in interest and related charges in Virginia Power’s Consolidated Statements of Income.

- Definition

Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

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