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Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2014
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]  
Fair Value, Option, Quantitative Disclosures
The following table presents the Companies' quantitative information about Level 3 fair value measurements at September 30, 2014. The range and weighted average are presented in dollars for market price inputs and percentages for credit spreads and price volatility.
 
Fair Value (millions)
Valuation Techniques
Unobservable Input
 
Range
Weighted Average(1)
Assets:
 
 
 
 
 
 
Physical and Financial Forwards and Futures:
 
 
 
 
 
 
Natural Gas(2)
$
27

Discounted Cash Flow
Market Price (per Dth)
(4) 
(2) - 5
(1
)
 
 
 
Credit spread
(6) 
1% - 3%
2
%
FTRs
37

Discounted Cash Flow
Market Price (per MWh)
(4) 
(1) - 16
2

NGLs(3)
3

Discounted Cash Flow
Market Price (per Gal)
(4) 
1 - 2
1

Physical and Financial Options:
 
 
 
 
 
 
Natural Gas
3

Option Model
Market Price (per Dth)
(4) 
3 - 5
4

 
 
 
Price Volatility
(5) 
17% - 51%
33
%
Total assets
$
70

 
 
 
 
 
Liabilities:
 
 
 
 
 
 
Physical and Financial Forwards and Futures:
 
 
 
 
 
 
Natural Gas(2)
$
15

Discounted Cash Flow
Market Price (per Dth)
(4) 
(2) - 5
2

FTRs
4

Discounted Cash Flow
Market Price (per MWh)
(4) 
(16) - 16
(1
)
NGLs(3)
1

Discounted Cash Flow
Market Price (per Gal)
(4) 
1 - 2
2

Physical and Financial Options:
 
 
 
 
 
 
Natural Gas
3

Option Model
Market Price (per Dth)
(4) 
2 - 5
4

 
 
 
Price Volatility
(5) 
17% - 51%
37
%
Total liabilities
$
23

 
 
 
 
 
(1)
Averages weighted by volume.
(2)
Includes basis.
(3)
Information represents Dominion Gas' quantitative information about Level 3 fair value measurements.
(4)
Represents market prices beyond defined terms for Levels 1 and 2.
(5)
Represents volatilities unrepresented in published markets.
(6)
Represents credit spreads unrepresented in published markets.
Significant unobservable inputs
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)
Credit spread
Asset
Increase (decrease)
Loss (gain)
Credit spread
Liability
Increase (decrease)
Gain (loss)
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 September 30, 2014
 
 
 
 
Assets:
 
 
 
 
Derivatives:
 
 
 
 
Commodity
$

$
612

$
70

$
682

Interest rate

50


50

Investments(1):
 
 
 
 
Equity securities:
 
 
 
 
U.S.:
 
 
 
 
Large cap
2,570



2,570

Other
6



6

Non-U.S.:
 
 
 
 
Large cap
12



12

Fixed income:
 
 
 
 
Corporate debt instruments

419


419

U.S. Treasury securities and agency debentures
444

181


625

State and municipal

366


366

Other

6


6

Cash equivalents and other
1

135


136

       Total assets
$
3,033

$
1,769

$
70

$
4,872

Liabilities:
 
 
 
 
Derivatives:
 
 
 
 
Commodity
$
1

$
1,200

$
23

$
1,224

Interest rate

100


100

Total liabilities
$
1

$
1,300

$
23

$
1,324

At December 31, 2013
 
 
 
 
Assets:
 
 
 
 
Derivatives:
 
 
 
 
Commodity
$
3

$
718

$
32

$
753

Interest rate

137


137

Investments(1):
 
 
 
 
Equity securities:
 
 
 
 
U.S.:
 
 
 
 
Large cap
2,417



2,417

Other
79



79

Non-U.S.:
 
 
 
 
Large cap
13



13

Fixed income:
 
 
 
 
Corporate debt instruments

345


345

U.S. Treasury securities and agency debentures
415

175


590

State and municipal

343


343

Other

3


3

Cash equivalents and other

103


103

Restricted cash equivalents

8


8

Total assets
$
2,927

$
1,832

$
32

$
4,791

Liabilities:
 
 
 
 
Derivatives:
 
 
 
 
Commodity
$
3

$
1,051

$
48

$
1,102

Total liabilities
$
3

$
1,051

$
48

$
1,102

(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 September 30,
Nine Months Ended September 30,
 
2014
2013
2014
2013
(millions)
 
 
 
 
Beginning balance
$
3

$
2

$
(16
)
$
25

Total realized and unrealized gains (losses):
 
 
 
 
Included in earnings
(2
)
(1
)
98

1

Included in other comprehensive income (loss)
4

(25
)
7

11

Included in regulatory assets/liabilities
39

10

53

(17
)
Settlements
5

3

(94
)
(23
)
Transfers out of Level 3
(2
)
7

(1
)
(1
)
Ending balance
$
47

$
(4
)
$
47

$
(4
)
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

$
2

$
2

$

Fair Value, Unobservable Inputs, Gain (Loss) Included In Earnings
The following table presents Dominion's classification of gains and losses included in earnings in the Level 3 fair value category:
 
Operating
revenue
Purchased Gas
Electric fuel
and other
energy-related
purchases
Total
(millions)
 
 
 
 
Three Months Ended September 30, 2014
 
 
 
 
Total gains (losses) included in earnings
$
3

$
(3
)
$
(2
)
$
(2
)
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
3

(2
)

1

Three Months Ended September 30, 2013
 
 
 
 
Total gains (losses) included in earnings
$
5

$

$
(6
)
$
(1
)
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
2



2

Nine Months Ended September 30, 2014
 
 
 
 
Total gains (losses) included in earnings
$
(7
)
$
(4
)
$
109

$
98

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

(2
)

2

Nine Months Ended September 30, 2013
 
 
 
 
Total gains (losses) included in earnings
$
12

$

$
(11
)
$
1

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






Cost and Fair Value of Financial Instruments Disclosure
For the Companies' financial instruments that are not recorded at fair value, the carrying amounts and estimated fair values are as follows:
 
 
September 30, 2014
December 31, 2013
 
Carrying
Amount
Estimated Fair
Value
(1)
Carrying
Amount
Estimated Fair
Value
(1)
(millions)
 
 
 
 
Dominion
 
 
 
 
Long-term debt, including securities due within one year(2)
$
18,801

$
20,853

$
18,396

$
19,887

Junior subordinated notes(3)
1,373

1,379

1,373

1,394

Remarketable subordinated notes(3)
2,083

2,233

1,080

1,192

Subsidiary preferred stock(4)
134

140

257

261

Virginia Power
 
 
 
 
Long-term debt, including securities due within one year(3)
$
8,728

$
9,858

$
8,032

$
8,897

Preferred stock(4)
134

140

257

261

Dominion Gas
 
 
 
 
Long-term debt(3)
$
1,199

$
1,237

$
1,198

$
1,169

(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)
Carrying amount includes amounts which represent the unamortized discount and/or premium. At September 30, 2014 and December 31, 2013, includes the valuation of certain fair value hedges associated with fixed rate debt of approximately $34 million and $55 million, respectively.
(3)
Carrying amount includes amounts which represent the unamortized discount and/or premium.
(4)
Carrying amount includes deferred issuance expenses of $2 million at December 31, 2013.
Virginia Electric and Power Company
 
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]  
Fair Value, Option, Quantitative Disclosures
The following table presents Virginia Power's quantitative information about Level 3 fair value measurements at September 30, 2014. The range and weighted average are presented in dollars for market price inputs and percentages for credit spreads.

 
Fair Value (millions)
Valuation Techniques
Unobservable Input
 
Range
Weighted Average(1)
Assets:
 
 
 
 
 
 
Physical and Financial Forwards and Futures:
 
 
 
 
 
 
FTRs
$
37

Discounted Cash Flow
Market Price (per MWh)
(3) 
(1) - 16
2

Natural Gas(2)
13

Discounted Cash Flow
Market Price (per Dth)
(3) 
(2) - 5
(1
)
 
 
 
Credit spread
(4) 
1% - 3%
2
%
Total assets
$
50

 
 
 
 
 
Liabilities:
 
 
 
 
 
 
Physical and Financial Forwards and Futures:
 
 
 
 
 
 
FTRs
$
4

Discounted Cash Flow
Market Price (per MWh)
(3) 
(16) - 16
(1
)
Total liabilities
$
4

 
 
 
 
 
(1)
Averages weighted by volume.
(2)
Includes basis.
(3)
Represents market prices beyond defined terms for Levels 1 and 2.
(4)
Represents credit spreads unrepresented in published markets.

Significant unobservable inputs
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)
Credit spread
Asset
Increase (decrease)
Loss (gain)
Credit spread
Liability
Increase (decrease)
Gain (loss)
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, 2014
 
 
 
 
Assets:
 
 
 
 
Derivatives:
 
 
 
 
Commodity
$

$
3

$
50

$
53

Investments(1):
 
 
 
 
Equity securities:
 
 
 
 
U.S. Large cap
1,101



1,101

Fixed income:
 
 
 
 
Corporate debt instruments

229


229

U.S. Treasury securities and agency debentures
166

61


227

State and municipal

185


185

Cash equivalents and other

43


43

       Total assets
$
1,267

$
521

$
50

$
1,838

Liabilities:
 
 
 
 
Derivatives:
 
 
 
 
Commodity
$

$
3

$
4

$
7

Interest rate

23


23

Total liabilities
$

$
26

$
4

$
30

At December 31, 2013
 

 

 
 
Assets:
 

 

 
 
Derivatives:
 

 

 
 
Commodity
$

$
3

$
2

$
5

Interest rate

48


48

Investments(1):
 

 

 
 
Equity securities:
 

 

 
 
U.S.:
 

 

 
 
Large cap
1,021



1,021

Other
36



36

Fixed income:
 

 

 
 
Corporate debt instruments

191


191

U.S. Treasury securities and agency debentures
146

66


212

State and municipal

164


164

Cash equivalents and other

31


31

Restricted cash equivalents

8


8

Total assets
$
1,203

$
511

$
2

$
1,716

Liabilities:
 

 

 
 
Derivatives:
 

 

 
 
Commodity
$

$
3

$
9

$
12

Total liabilities
$

$
3

$
9

$
12

(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 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 September 30,
Nine Months Ended September 30,
 
2014
2013
2014
2013
(millions)
 
 
 
 
Beginning balance
$
7

$
(25
)
$
(7
)
$
2

Total realized and unrealized gains (losses):
 
 
 
 
Included in earnings
(2
)
(4
)
109

(9
)
Included in regulatory assets/liabilities
39

10

53

(17
)
Settlements
2

4

(109
)
9

Ending balance
$
46

$
(15
)
$
46

$
(15
)
Dominion Gas Holdings, LLC
 
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]  
Fair Value, by Balance Sheet Grouping
The following table presents Dominion Gas' assets and liabilities for derivatives 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, 2014
 
 
 
 
Assets:
 
 
 
 
Commodity
$

$

$
2

$
2

Liabilities:
 

 

 

 

Commodity
$

$
4

$
1

$
5

Interest rate

3


3

Total liabilities
$

$
7

$
1

$
8

At December 31, 2013
 

 

 

 

Assets:
 
 
 
 
Commodity
$

$

$
6

$
6

Interest rate

34


34

Total Assets
$

$
34

$
6

$
40

Liabilities:
 

 

 

 

Commodity
$

$
13

$
12

$
25

Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
 The following table presents the net change in Dominion Gas' assets and liabilities for derivatives measured at fair value on a recurring basis and included in the Level 3 fair value category:
 
Three Months Ended September 30,
Nine Months Ended September 30,
 
2014
2013
2014
2013
(millions)
 
 
 
 
Beginning balance
$
(3
)
$
23

$
(6
)
$
(12
)
Total realized and unrealized gains (losses):
 

 

 

 

Included in earnings
(1
)

(8
)
2

Included in other comprehensive income (loss)
5

(23
)
8

11

Settlements


7

(1
)
Ending balance
$
1

$

$
1

$