Derivatives and Hedge Accounting Activities (Tables)

9 Months Ended

Sep. 30, 2012

The following table presents the volume of Dominion’s derivative activity as of September 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⁾	253		74
Basis⁽¹⁾	820		500
Electricity (MWh):
Fixed price⁽¹⁾	21,889,805		15,308,096
FTRs	71,103,622		237,523
Capacity (MW)	100,425		207,460
Liquids (Gal)⁽²⁾	140,658,000		168,210,000
Interest rate	$	1,900,000,000	$	2,340,000,000


(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 September 30, 2012:



	AOCI After-Tax			Amounts Expected to be Reclassified to Earnings during the next 12 Months After-Tax			Maximum Term
(millions)
Commodities:
Gas	$	(27	)	$	(23	)	27 months
Electricity	108			39			39 months
NGLs	9			3			27 months
Other	4			3			44 months
Interest rate	(171		)	(22		)	360 months
Total	$	(77	)	$	—

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)
September 30, 2012
ASSETS
Current Assets
Commodity	$	148	$	328	$	476
Interest rate	38		—		38
Total current derivative assets	186		328		514
Noncurrent Assets
Commodity	176		104		280
Interest rate	55		—		55
Total noncurrent derivative assets⁽¹⁾	231		104		335
Total derivative assets	$	417	$	432	$	849
LIABILITIES
Current Liabilities
Commodity	$	81	$	290	$	371
Interest rate	99		29		128
Total current derivative liabilities	180		319		499
Noncurrent Liabilities
Commodity	65		79		144
Interest rate	3		7		10
Total noncurrent derivative liabilities⁽²⁾	68		86		154
Total derivative liabilities	$	248	$	405	$	653
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 September 30, 2012
Derivative Type and Location of Gains (Losses)
Commodity:
Operating revenue				$	44
Purchased gas				(9		)
Electric fuel and other energy-related purchases				(4		)
Total commodity	$	(128	)	31			$	7
Interest rate⁽³⁾	(15		)	1			(4		)
Total	$	(143	)	$	32		$	3
Three Months Ended September 30, 2011
Derivative Type and Location of Gains (Losses)
Commodity:
Operating revenue				$	28
Purchased gas				(7		)
Electric fuel and other energy-related purchases				2
Total commodity	$	69		23			$	(1	)
Interest rate⁽³⁾	(204		)	(8		)	(76		)
Total	$	(135	)	$	15		$	(77	)
Nine Months Ended September 30, 2012
Derivative Type and Location of Gains (Losses)
Commodity:
Operating revenue				$	171
Purchased gas				(55		)
Electric fuel and other energy-related purchases				(16		)
Total commodity	$	159		100			$	14
Interest rate⁽³⁾	(91		)	2			(44		)
Total	$	68		$	102		$	(30	)
Nine Months Ended September 30, 2011
Derivative Type and Location of Gains (Losses)
Commodity:
Operating revenue				$	88
Purchased gas				(61		)
Electric fuel and other energy-related purchases				4
Purchased electric capacity				1
Total commodity	$	(24	)	32			$	(10	)
Interest rate⁽³⁾	(236		)	(8		)	(76		)
Total	$	(260	)	$	24		$	(86	)


(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 September 30,					Nine Months Ended September 30,
Derivatives not designated as hedging instruments	2012		2011			2012			2011
(millions)
Derivative Type and Location of Gains (Losses)
Commodity
Operating revenue	$	5	$	15		$	108		$	56
Purchased gas	3		(10		)	(2		)	(28		)
Electric fuel and other energy-related purchases	3		(8		)	(33		)	(16		)
Interest rate⁽²⁾	10		(4		)	17			(4		)
Total	$	21	$	(7	)	$	90		$	8


(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 September 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	12		—
Basis	6		—
Electricity (MWh):
Fixed price	564,800		—
FTRs	69,715,081		—
Capacity (MW)	61,000		139,800
Interest rate	$	900,000,000	$	340,000,000

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)
September 30, 2012
ASSETS
Current Assets
Commodity	$	3	$	6	$	9
Total current derivative assets⁽¹⁾	3		6		9
Total derivative assets	$	3	$	6	$	9
LIABILITIES
Current Liabilities
Commodity	$	1	$	4	$	5
Interest rate	54		29		83
Total current derivative liabilities⁽²⁾	55		33		88
Noncurrent Liabilities
Commodity	1		—		1
Interest rate	2		7		9
Total noncurrent derivative liabilities⁽³⁾	3		7		10
Total derivative liabilities	$	58	$	40	$	98
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 September 30, 2012
Derivative Type and Location of Gains (Losses)
Commodity:
Electric fuel and other energy-related purchases				$	(1	)
Total commodity	$	—		(1		)	$	7
Interest rate⁽³⁾	(3		)	—			(4		)
Total	$	(3	)	$	(1	)	$	3
Three Months Ended September 30, 2011
Derivative Type and Location of Gains (Losses)
Commodity:
Electric fuel and other energy-related purchases				$	(1	)
Total commodity	$	(1	)	(1		)	$	(1	)
Interest rate⁽³⁾	(5		)	—			(76		)
Total	$	(6	)	$	(1	)	$	(77	)
Nine Months Ended September 30, 2012
Derivative Type and Location of Gains (Losses)
Commodity:
Electric fuel and other energy-related purchases				$	(4	)
Total commodity	$	(1	)	(4		)	$	14
Interest rate⁽³⁾	(7		)	—			(44		)
Total	$	(8	)	$	(4	)	$	(30	)
Nine Months Ended September 30, 2011
Derivative Type and Location of Gains (Losses)
Commodity:
Purchased electric capacity				$	1
Total commodity	$	(1	)	1			$	(10	)
Interest rate⁽³⁾	(5		)	1			(76		)
Total	$	(6	)	$	2		$	(86	)


(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 September 30,					Nine Months Ended September 30,
Derivatives not designated as hedging instruments	2012		2011			2012			2011
(millions)
Derivative Type and Location of Gains (Losses)
Commodity⁽²⁾	$	3	$	(8	)	$	(43	)	$	(16	)
Interest rate⁽³⁾	1		(4		)	—			(4		)
Total	$	4	$	(12	)	$	(43	)	$	(20	)


(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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