XML 41 R18.htm IDEA: XBRL DOCUMENT v3.20.4
Derivatives and Hedge Accounting Activities
12 Months Ended
Dec. 31, 2020
Derivative Instruments And Hedging Activities Disclosure [Abstract]  
Derivatives and Hedge Accounting Activities

NOTE 7. DERIVATIVES AND HEDGE ACCOUNTING ACTIVITIES

See Note 2 for the Companies’ accounting policies, objectives, and strategies for using derivative instruments. See Note 6 for further information about fair value measurements and associated valuation methods for derivatives.

Derivative assets and liabilities are presented gross on the Companies’ Consolidated Balance Sheets. Dominion Energy and Virginia Power’s derivative contracts include both over-the-counter transactions and those that are executed on an exchange or other trading platform (exchange contracts) and centrally cleared. Over-the-counter contracts are bilateral contracts that are transacted directly with a third party. Exchange contracts utilize a financial intermediary, exchange or clearinghouse to enter, execute or clear the transactions. Certain over-the-counter and exchange contracts contain contractual rights of setoff through master netting arrangements, derivative clearing agreements and contract default provisions. In addition, the contracts are subject to conditional rights of setoff through counterparty nonperformance, insolvency or other conditions.

In general, most over-the-counter transactions and all exchange contracts are subject to collateral requirements. Types of collateral for over-the-counter and exchange contracts include cash, letters of credit, and in some cases, other forms of security, none of which are subject to restrictions. Cash collateral is used in the table below to offset derivative assets and liabilities. Certain accounts receivable and accounts payable recognized on the Companies’ Consolidated Balance Sheets, letters of credit and other forms of securities, as well as certain other long-term debt, all of which are not included in the tables below, are subject to offset under master netting or similar arrangements and would reduce the net exposure.  See Note 18 for further information regarding other long-term debt, in the form of restructured derivatives, subject to offset under master netting or similar agreements. See Note 24 for further information regarding credit-related contingent features for the Companies derivative instruments.

Dominion Energy

Balance Sheet Presentation

The tables below present Dominion Energy’s derivative asset and liability balances by type of financial instrument, if the gross amounts recognized in its Consolidated Balance Sheets were netted with derivative instruments and cash collateral received or paid:

 

 

 

December 31, 2020

 

 

December 31, 2019

 

 

 

Gross Amounts Not Offset in the Consolidated Balance Sheet

 

 

Gross Amounts Not Offset in the Consolidated Balance Sheet

 

 

 

Gross Assets Presented in the Consolidated Balance Sheet(1)

 

 

Financial Instruments

 

 

Cash Collateral Received

 

 

Net Amounts

 

 

Gross Assets Presented in the Consolidated Balance Sheet(1)

 

 

Financial Instruments

 

 

Cash Collateral Received

 

 

Net Amounts

 

(millions)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commodity contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Over-the-counter

 

$

117

 

 

$

9

 

 

$

 

 

$

108

 

 

$

35

 

 

$

21

 

 

$

 

 

$

14

 

Exchange

 

 

49

 

 

 

24

 

 

 

 

 

 

25

 

 

 

37

 

 

 

21

 

 

 

 

 

 

16

 

Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Over-the-counter

 

 

230

 

 

 

13

 

 

 

 

 

 

217

 

 

 

11

 

 

 

3

 

 

 

 

 

 

8

 

Foreign currency contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Over-the-counter

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8

 

 

 

8

 

 

 

 

 

 

 

Total derivatives, subject to a

   master netting or similar

   arrangement

 

$

396

 

 

$

46

 

 

$

 

 

$

350

 

 

$

91

 

 

$

53

 

 

$

 

 

$

38

 

(1)

Excludes $1 million and $2 million of derivative assets at December 31, 2020 and 2019, respectively, which are not subject to master netting or similar arrangements.

 

 

 

December 31, 2020

 

 

December 31, 2019

 

 

 

Gross Amounts Not Offset in the Consolidated Balance Sheet

 

 

Gross Amounts Not Offset in the Consolidated Balance Sheet

 

 

 

Gross Liabilities Presented in the Consolidated Balance Sheet(1)

 

 

Financial Instruments

 

 

Cash Collateral Paid

 

 

Net Amounts

 

 

Gross Liabilities Presented in the Consolidated Balance Sheet(1)

 

 

Financial Instruments

 

 

Cash Collateral Paid

 

 

Net Amounts

 

(millions)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commodity contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Over-the-counter

 

$

30

 

 

$

9

 

 

$

 

 

$

21

 

 

$

105

 

 

$

21

 

 

$

 

 

$

84

 

Exchange

 

 

24

 

 

 

24

 

 

 

 

 

 

 

 

 

21

 

 

 

21

 

 

 

 

 

 

 

Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Over-the-counter

 

 

431

 

 

 

13

 

 

 

17

 

 

 

401

 

 

 

606

 

 

 

8

 

 

 

35

 

 

 

563

 

Foreign currency contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Over-the-counter

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3

 

 

 

3

 

 

 

 

 

 

 

Total derivatives, subject to a

   master netting or similar

   arrangement

 

$

485

 

 

$

46

 

 

$

17

 

 

$

422

 

 

$

735

 

 

$

53

 

 

$

35

 

 

$

647

 

(1)

Excludes $1 million and $5 million of derivative liabilities at December 31, 2020 and 2019, respectively, which are not subject to master netting or similar arrangements.

 

 

Volumes

The following table presents the volume of Dominion Energy’s derivative activity as of December 31, 2020. 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)

 

 

65

 

 

 

 

Basis

 

 

190

 

 

 

477

 

Electricity (MWh):

 

 

 

 

 

 

 

 

Fixed price

 

 

7,932,760

 

 

 

6,825,680

 

FTRs

 

 

45,249,553

 

 

 

 

Interest rate(2)

 

$

850,000,000

 

 

$

6,058,894,892

 

 

(1)      Includes options.

(2)

Maturity is determined based on final settlement period. 

AOCI

The following table presents selected information related to gains (losses) on cash flow hedges included in AOCI in Dominion Energy’s Consolidated Balance Sheets at December 31, 2020:

 

 

 

AOCI After-Tax

 

 

Amounts Expected to be Reclassified to Earnings During the Next 12 Months After-Tax

 

 

Maximum Term

(millions)

 

 

 

 

 

 

 

 

 

 

Commodities:

 

 

 

 

 

 

 

 

 

 

Gas

 

$

(1

)

 

$

(1

)

 

12 months

Interest rate

 

 

(418

)

 

 

(42

)

 

396 months

Total

 

$

(419

)

 

$

(43

)

 

 

 

The amounts that will be reclassified from AOCI to earnings will generally be offset by the recognition of the hedged transactions (e.g., anticipated purchases) in earnings, thereby achieving the realization of prices contemplated by the underlying risk management strategies and will vary from the expected amounts presented above as a result of changes in market prices and interest rates.

 

In connection with the GT&S Transaction, certain cash flow hedges of debt-related items became probable of not occurring.  See Note 3 for further information.

Fair Value Hedges

For derivative instruments that are designated and qualify as a fair value hedge, the gain or loss on the derivative instrument as well as the offsetting loss or gain on the hedged item attributable to the hedged risk are recognized in current earnings and presented in the same line item. Gains and losses on derivatives in fair value hedge relationships were immaterial for the years ended December 31, 2020, 2019 and 2018.

 

The following table presents the amounts recorded on the balance sheet related to cumulative basis adjustments for fair value hedges:

 

 

Carrying Amount of the Hedged Asset

(Liability)(1)

 

 

Cumulative Amount of Fair Value

Hedging Adjustments

Included in the Carrying Amount

of the Hedged Assets (Liabilities)(2)

 

 

 

December 31, 2020

 

 

December 31, 2019

 

 

December 31, 2020

 

 

December 31, 2019

 

(millions)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-term debt

 

$

(1,153

)

 

$

(1,154

)

 

$

(3

)

 

$

(4

)

(1)

Includes $(1,153) million and $(397) million related to discontinued hedging relationships at December 31, 2020 and December 31, 2019,             respectively.

(2)      Includes $(3) million and $3 million of hedging adjustments on discontinued hedging relationships at December 31, 2020 and December 31,          2019, respectively.

 

 

 

Fair Value and Gains and Losses on Derivative Instruments

The following tables present the fair values of Dominion Energy’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)

 

 

 

 

 

 

 

 

 

 

 

 

At December 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

ASSETS

 

 

 

 

 

 

 

 

 

 

 

 

Current Assets

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

$

 

 

$

58

 

 

$

58

 

Interest rate

 

 

 

 

 

9

 

 

 

9

 

Total current derivative assets(1)

 

 

 

 

 

67

 

 

 

67

 

Noncurrent Assets

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

 

 

 

 

109

 

 

 

109

 

Interest rate

 

 

66

 

 

 

155

 

 

 

221

 

Total noncurrent derivative assets(2)

 

 

66

 

 

 

264

 

 

 

330

 

Total derivative assets

 

$

66

 

 

$

331

 

 

$

397

 

LIABILITIES

 

 

 

 

 

 

 

 

 

 

 

 

Current Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

$

 

 

$

42

 

 

$

42

 

Interest rate

 

 

363

 

 

 

10

 

 

 

373

 

Total current derivative liabilities(3)

 

 

363

 

 

 

52

 

 

 

415

 

Noncurrent Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

 

 

 

 

13

 

 

 

13

 

Interest rate

 

 

19

 

 

 

39

 

 

 

58

 

Total noncurrent derivative liabilities(4)

 

 

19

 

 

 

52

 

 

 

71

 

Total derivative liabilities

 

$

382

 

 

$

104

 

 

$

486

 

At December 31, 2019

 

 

 

 

 

 

 

 

 

 

 

 

ASSETS

 

 

 

 

 

 

 

 

 

 

 

 

Current Assets

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

$

30

 

 

$

37

 

 

$

67

 

Interest rate

 

 

1

 

 

 

 

 

 

1

 

Total current derivative assets(1)

 

 

31

 

 

 

37

 

 

 

68

 

Noncurrent Assets

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

 

1

 

 

 

6

 

 

 

7

 

Interest rate

 

 

10

 

 

 

 

 

 

10

 

Foreign currency

 

 

8

 

 

 

 

 

 

8

 

Total noncurrent derivative assets(2)

 

 

19

 

 

 

6

 

 

 

25

 

Total derivative assets

 

$

50

 

 

$

43

 

 

$

93

 

LIABILITIES

 

 

 

 

 

 

 

 

 

 

 

 

Current Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

$

6

 

 

$

77

 

 

$

83

 

Interest rate

 

 

321

 

 

 

1

 

 

 

322

 

Foreign currency

 

 

3

 

 

 

 

 

 

3

 

Total current derivative liabilities(3)

 

 

330

 

 

 

78

 

 

 

408

 

Noncurrent Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

 

1

 

 

 

47

 

 

 

48

 

Interest rate

 

 

267

 

 

 

17

 

 

 

284

 

Total noncurrent derivative liabilities(4)

 

 

268

 

 

 

64

 

 

 

332

 

Total derivative liabilities

 

$

598

 

 

$

142

 

 

$

740

 

(1)

Current derivative assets include $63 million and $61 million in other current assets in Dominion Energy’s Consolidated Balance Sheets as of December 31, 2020 and 2019, respectively. The remainder is recorded in current assets held for sale in Dominion Energy’s Consolidated Balance Sheets.

(2)

Noncurrent derivative assets include $330 million and $16 million in other deferred charges and other assets in Dominion Energy’s Consolidated Balance Sheets as of December 31, 2020 and 2019, respectively. The remainder is recorded in noncurrent assets held for sale in Dominion Energy’s Consolidated Balance Sheets.

(3)

Current derivative liabilities include $412 million and $394 million in other current liabilities in Dominion Energy’s Consolidated Balance Sheets as of December 31, 2020 and 2019, respectively. The remainder is recorded in current liabilities held for sale in Dominion Energy’s Consolidated Balance Sheets.

(4)

Noncurrent derivative liabilities include $71 million and $329 million in other deferred credits and other liabilities in Dominion Energy’s Consolidated Balance Sheets as of December 31, 2020 and 2019, respectively. The remainder is recorded in noncurrent liabilities held for sale in Dominion Energy’s Consolidated Balance Sheets.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The following tables present the gains and losses on Dominion Energy’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 (1)

 

 

Amount of Gain (Loss) Reclassified From AOCI to Income

 

 

Increase (Decrease) in Derivatives Subject to Regulatory Treatment(2)

 

(millions)

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended December 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

Derivative type and location of gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

Commodity:

 

 

 

 

 

 

 

 

 

 

 

 

Operating revenue

 

 

 

 

 

$

25

 

 

 

 

 

Purchased gas

 

 

 

 

 

 

(4

)

 

 

 

 

Discontinued operations

 

 

 

 

 

 

2

 

 

 

 

 

Total commodity

 

$

 

 

$

23

 

 

$

 

Interest rate:

 

 

 

 

 

 

 

 

 

 

 

 

Interest and related charges

 

 

 

 

 

$

(83

)

 

 

 

 

Discontinued operations

 

 

 

 

 

 

(236

)

 

 

 

 

Total interest rate

 

$

(309

)

 

$

(319

)

 

$

(332

)

Foreign currency(3)

 

 

(11

)

 

 

(6

)

 

 

 

Total

 

$

(320

)

 

$

(302

)

 

$

(332

)

Year Ended December 31, 2019

 

 

 

 

 

 

 

 

 

 

 

 

Derivative type and location of gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

Commodity:

 

 

 

 

 

 

 

 

 

 

 

 

Operating revenue

 

 

 

 

 

$

142

 

 

 

 

 

Purchased gas

 

 

 

 

 

 

(3

)

 

 

 

 

Discontinued operations

 

 

 

 

 

 

4

 

 

 

 

 

Total commodity

 

$

125

 

 

$

143

 

 

$

 

Interest rate:

 

 

 

 

 

 

 

 

 

 

 

 

Interest and related charges

 

 

 

 

 

$

(49

)

 

 

 

 

Discontinued operations

 

 

 

 

 

 

(5

)

 

 

 

 

Total interest rate

 

$

(252

)

 

$

(54

)

 

$

(255

)

Foreign currency(3)

 

 

(18

)

 

 

(6

)

 

 

 

Total

 

$

(145

)

 

$

83

 

 

$

(255

)

Year Ended December 31, 2018

 

 

 

 

 

 

 

 

 

 

 

 

Derivative type and location of gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

Commodity:

 

 

 

 

 

 

 

 

 

 

 

 

Operating revenue

 

 

 

 

 

$

(82

)

 

 

 

 

Electric fuel and other energy-related purchases

 

 

 

 

 

 

14

 

 

 

 

 

Discontinued operations

 

 

 

 

 

 

(8

)

 

 

 

 

Total commodity

 

$

64

 

 

$

(76

)

 

$

 

Interest rate:

 

 

 

 

 

 

 

 

 

 

 

 

Interest and related charges

 

 

 

 

 

$

(43

)

 

 

 

 

Discontinued operations

 

 

 

 

 

 

(5

)

 

 

 

 

Total interest rate

 

$

(18

)

 

$

(48

)

 

$

39

 

Foreign currency(3)

 

 

(6

)

 

 

(13

)

 

 

 

Total

 

$

40

 

 

$

(137

)

 

$

39

 

(1)

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

(3)

Amounts recorded in Dominion Energy’s Consolidated Statements of Income are classified in discontinued operations.

 

 

 

Derivatives not designated as hedging instruments

 

Amount of Gain (Loss) Recognized in Income on Derivatives(1)

 

Year Ended December 31,

 

2020

 

 

2019

 

 

2018

 

(millions)

 

 

 

 

 

 

 

 

 

 

 

 

Derivative type and location of gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

Commodity:

 

 

 

 

 

 

 

 

 

 

 

 

Operating revenue

 

$

73

 

 

$

41

 

 

$

(11

)

Purchased gas

 

 

(20

)

 

 

(22

)

 

 

4

 

Electric fuel and other energy-related purchases

 

 

(104

)

 

 

(46

)

 

 

(9

)

Discontinued operations

 

 

(11

)

 

 

(2

)

 

 

(10

)

Interest rate:

 

 

 

 

 

 

 

 

 

 

 

 

Interest and related charges

 

 

87

 

 

 

3

 

 

 

 

Discontinued operations

 

 

5

 

 

 

 

 

 

 

Foreign currency:

 

 

 

 

 

 

 

 

 

 

 

 

Discontinued operations

 

 

12

 

 

 

 

 

 

 

Total

 

$

42

 

 

$

(26

)

 

$

(26

)

(1)

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

Virginia Power

Balance Sheet Presentation

The tables below present Virginia Power’s derivative asset and liability balances by type of financial instrument, if the gross amounts recognized in its Consolidated Balance Sheets were netted with derivative instruments and cash collateral received or paid:

 

 

 

December 31, 2020

 

 

December 31, 2019

 

 

 

Gross Amounts Not Offset in the Consolidated Balance Sheet

 

 

Gross Amounts Not Offset in the Consolidated Balance Sheet

 

 

 

Gross Assets Presented in the Consolidated Balance Sheet(1)

 

 

Financial Instruments

 

 

Cash Collateral Received

 

 

Net Amounts

 

 

Gross Assets Presented in the Consolidated Balance Sheet(1)

 

 

Financial Instruments

 

 

Cash Collateral Received

 

 

Net Amounts

 

(millions)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commodity contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Over-the-counter

 

$

111

 

 

$

6

 

 

$

 

 

$

105

 

 

$

19

 

 

$

18

 

 

$

 

 

$

1

 

      Exchange

 

 

1

 

 

 

1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Over-the-counter

 

 

66

 

 

 

7

 

 

 

 

 

 

59

 

 

 

2

 

 

 

 

 

 

 

 

 

2

 

Total derivatives, subject to a

   master netting or similar

   arrangement

 

$

178

 

 

$

14

 

 

$

 

 

$

164

 

 

$

21

 

 

$

18

 

 

$

 

 

$

3

 

(1)

Excludes $3 million and $3 million of derivative assets at December 31, 2020 and 2019, respectively, which are not subject to master netting or similar arrangements.

 

 

 

 

December 31, 2020

 

 

December 31, 2019

 

 

 

Gross Amounts Not Offset in the Consolidated Balance Sheet

 

 

Gross Amounts Not Offset in the Consolidated Balance Sheet

 

 

 

Gross Liabilities Presented in the Consolidated Balance Sheet(1)

 

 

Financial Instruments

 

 

Cash Collateral Paid

 

 

Net Amounts

 

 

Gross Liabilities Presented in the Consolidated Balance Sheet(1)

 

 

Financial Instruments

 

 

Cash Collateral Paid

 

 

Net Amounts

 

(millions)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commodity contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Over-the-counter

 

$

6

 

 

$

6

 

 

$

 

 

$

 

 

$

59

 

 

$

18

 

 

$

 

 

$

41

 

Exchange

 

 

1

 

 

 

1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Over-the-counter

 

 

376

 

 

 

7

 

 

 

 

 

 

369

 

 

 

363

 

 

 

 

 

 

 

 

 

363

 

Total derivatives, subject to a

   master netting or similar

   arrangement

 

$

383

 

 

$

14

 

 

$

 

 

$

369

 

 

$

422

 

 

$

18

 

 

$

 

 

$

404

 

(1)

Excludes $22 million and $44 million of derivative liabilities at December 31, 2020 and 2019, respectively, which are not subject to master netting or similar arrangements.

 

Volumes

The following table presents the volume of Virginia Power’s derivative activity at December 31, 2020. 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)

 

 

30

 

 

 

 

Basis

 

 

134

 

 

 

473

 

Electricity (MWh):

 

 

 

 

 

 

 

 

Fixed price

 

 

928,560

 

 

 

350,400

 

FTRs

 

 

45,249,553

 

 

 

 

Interest rate(2)

 

$

850,000,000

 

 

$

1,200,000,000

 

 

(1)

Includes options.

(2)

Maturity is determined based on final settlement period.

AOCI

The following table presents selected information related to losses on cash flow hedges included in AOCI in Virginia Power’s Consolidated Balance Sheets at December 31, 2020:

 

 

 

AOCI After-Tax

 

 

Amounts Expected to be Reclassified to Earnings During the Next 12 Months After-Tax

 

 

Maximum Term

(millions)

 

 

 

 

 

 

 

 

 

 

Interest rate

 

$

(60

)

 

$

(2

)

 

396 months

Total

 

$

(60

)

 

$

(2

)

 

 

 

The amounts that will be reclassified from AOCI to earnings will generally be offset by the recognition of the hedged transactions (e.g., interest payments) in earnings, thereby achieving the realization of interest rates contemplated by the underlying risk management strategies and will vary from the expected amounts presented above as a result of changes in interest rates.

Fair Value and Gains and Losses on Derivative Instruments

The following tables present 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)

 

 

 

 

 

 

 

 

 

 

 

 

At December 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

ASSETS

 

 

 

 

 

 

 

 

 

 

 

 

Current Assets

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

$

 

 

$

22

 

 

$

22

 

Total current derivative assets(1)

 

 

 

 

 

22

 

 

 

22

 

Noncurrent Assets

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

 

 

 

 

93

 

 

 

93

 

Interest rate

 

 

66

 

 

 

 

 

 

66

 

Total noncurrent derivative assets(2)

 

 

66

 

 

 

93

 

 

 

159

 

Total derivative assets

 

$

66

 

 

$

115

 

 

$

181

 

LIABILITIES

 

 

 

 

 

 

 

 

 

 

 

 

Current Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

$

 

 

$

28

 

 

$

28

 

Interest rate

 

 

362

 

 

 

 

 

 

362

 

Total current derivative liabilities

 

 

362

 

 

 

28

 

 

 

390

 

Noncurrent Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

 

 

 

 

1

 

 

 

1

 

Interest rate

 

 

14

 

 

 

 

 

 

14

 

Total noncurrent derivatives liabilities (3)

 

 

14

 

 

 

1

 

 

 

15

 

Total derivative liabilities

 

$

376

 

 

$

29

 

 

$

405

 

At December 31, 2019

 

 

 

 

 

 

 

 

 

 

 

 

ASSETS

 

 

 

 

 

 

 

 

 

 

 

 

Current Assets

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

$

 

 

$

20

 

 

$

20

 

Interest rate

 

 

 

 

 

 

 

 

 

Total current derivative assets(1)

 

 

 

 

 

20

 

 

 

20

 

Noncurrent Assets

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

 

 

 

 

2

 

 

 

2

 

Interest rate

 

 

2

 

 

 

 

 

 

2

 

Total noncurrent derivative assets(2)

 

 

2

 

 

 

2

 

 

 

4

 

Total derivative assets

 

$

2

 

 

$

22

 

 

$

24

 

LIABILITIES

 

 

 

 

 

 

 

 

 

 

 

 

Current Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

$

 

 

$

58

 

 

$

58

 

Interest rate

 

 

185

 

 

 

 

 

 

185

 

Total current derivative liabilities

 

 

185

 

 

 

58

 

 

 

243

 

Noncurrent Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

 

 

 

 

45

 

 

 

45

 

Interest rate

 

 

178

 

 

 

 

 

 

178

 

Total noncurrent derivatives liabilities (3)

 

 

178

 

 

 

45

 

 

 

223

 

Total derivative liabilities

 

$

363

 

 

$

103

 

 

$

466

 

(1)

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

(2)

Noncurrent derivative assets are presented in other deferred charges and other assets 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.

 

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 (1)

 

 

Amount of Gain (Loss) Reclassified From AOCI to Income

 

 

Increase (Decrease) in Derivatives Subject to Regulatory Treatment(2)

 

(millions)

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended December 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

Derivative type and location of gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate(3)

 

$

(37

)

 

$

(2

)

 

$

(338

)

Total

 

$

(37

)

 

$

(2

)

 

$

(338

)

Year Ended December 31, 2019

 

 

 

 

 

 

 

 

 

 

 

 

Derivative type and location of gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate(3)

 

$

(30

)

 

$

(1

)

 

$

(259

)

Total

 

$

(30

)

 

$

(1

)

 

$

(259

)

Year Ended December 31, 2018

 

 

 

 

 

 

 

 

 

 

 

 

Derivative type and location of gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate(3)

 

$

2

 

 

$

(1

)

 

$

39

 

Total

 

$

2

 

 

$

(1

)

 

$

39

 

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

 

Derivatives not designated as hedging instruments

 

Amount of Gain (Loss) Recognized in Income on Derivatives(1)

 

Year Ended December 31,

 

2020

 

 

2019

 

 

2018

 

(millions)

 

 

 

 

 

 

 

 

 

 

 

 

Derivative type and location of gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

Commodity(2)

 

$

(104

)

 

$

(45

)

 

$

2

 

Total

 

$

(104

)

 

$

(45

)

 

$

2

 

 

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