XML 36 R20.htm IDEA: XBRL DOCUMENT v3.21.2
Derivatives and Hedge Accounting Activities
6 Months Ended
Jun. 30, 2021
Derivative Instruments And Hedging Activities Disclosure [Abstract]  
Derivatives and Hedge Accounting Activities

Note 9. Derivatives and Hedge Accounting Activities

The Companies’ accounting policies, objectives and strategies for using derivative instruments are discussed in Note 2 to the Consolidated Financial Statements in the Companies’ Annual Report on Form 10-K for the year ended December 31, 2020. See Note 8 in this report 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. The Companies’ 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 securities, none of which are subject to restrictions. Cash collateral, as presented in the table below, is used 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 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 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:

 

 

 

June 30, 2021

 

 

December 31, 2020

 

 

 

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

 

$

114

 

 

$

13

 

 

$

 

 

$

101

 

 

$

117

 

 

$

9

 

 

$

 

 

$

108

 

Exchange

 

 

22

 

 

 

18

 

 

 

 

 

 

4

 

 

 

49

 

 

 

24

 

 

 

 

 

 

25

 

Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Over-the-counter

 

 

468

 

 

 

26

 

 

 

 

 

 

442

 

 

 

230

 

 

 

13

 

 

 

 

 

 

217

 

Total derivatives, subject to a

   master netting or similar

   arrangement

 

$

604

 

 

$

57

 

 

$

 

 

$

547

 

 

$

396

 

 

$

46

 

 

$

 

 

$

350

 

 

(1)

Excludes $12 million and $1 million of derivative assets at June 30, 2021 and December 31, 2020, respectively, which are not subject to master netting or similar arrangements.

 

 

 

June 30, 2021

 

 

December 31, 2020

 

 

 

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

 

$

49

 

 

$

13

 

 

$

9

 

 

$

27

 

 

$

30

 

 

$

9

 

 

$

 

 

$

21

 

Exchange

 

 

168

 

 

 

18

 

 

 

150

 

 

 

 

 

 

24

 

 

 

24

 

 

 

 

 

 

 

Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Over-the-counter

 

 

329

 

 

 

26

 

 

 

11

 

 

 

292

 

 

 

431

 

 

 

13

 

 

 

17

 

 

 

401

 

Total derivatives, subject to a

   master netting or similar

   arrangement

 

$

546

 

 

$

57

 

 

$

170

 

 

$

319

 

 

$

485

 

 

$

46

 

 

$

17

 

 

$

422

 

 

(1)

Excludes $28 million and $1 million of derivative liabilities at June 30, 2021 and December 31, 2020, respectively, which are not subject to master netting or similar arrangements.

Volumes

The following table presents the volume of Dominion Energy’s derivative activity at June 30, 2021. 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 its long and short positions.

 

 

 

Current

 

 

Noncurrent

 

Natural Gas (bcf):

 

 

 

 

 

 

 

 

Fixed price(1)

 

 

59

 

 

 

14

 

Basis

 

 

202

 

 

 

471

 

Electricity (MWh):

 

 

 

 

 

 

 

 

Fixed price

 

 

12,116,472

 

 

 

30,423,292

 

FTRs

 

 

98,414,736

 

 

 

 

Interest rate(2) (millions)

 

$

1,250

 

 

$

8,000

 

 

(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 Dominion Energy’s Consolidated Balance Sheet at June 30, 2021:

 

 

 

AOCI

After-Tax

 

 

Amounts Expected to be

Reclassified to Earnings

During the Next 12 Months

After-Tax

 

 

Maximum Term

(millions)

 

 

 

 

 

 

 

 

 

 

Interest rate

 

$

(371

)

 

$

(43

)

 

390 months

Total

 

$

(371

)

 

$

(43

)

 

 

 

The amounts that will be reclassified from AOCI to earnings will generally be offset by the recognition of the hedged transactions (e.g., interest rate payments) 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 interest rates.

 

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. There were no derivative instruments designated as fair value hedges during the three and six months ended June 30, 2021 and 2020.

 

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)

 

 

 

June 30, 2021

 

 

December 31, 2020

 

 

June 30, 2021

 

 

December 31, 2020

 

(millions)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-term debt

 

$

(1,153

)

 

$

(1,153

)

 

$

(3

)

 

$

(3

)

 

(1)

Includes $(1.2) billion related to discontinued hedging relationships at both June 30, 2021 and December 31, 2020.

(2)

Includes $(3) million of hedging adjustments on discontinued hedging relationships at both June 30, 2021 and December 31, 2020.

Fair Value and Gains and Losses on Derivative Instruments

The following table presents 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)

 

 

 

 

 

 

 

 

 

 

 

 

June 30, 2021

 

 

 

 

 

 

 

 

 

 

 

 

ASSETS

 

 

 

 

 

 

 

 

 

 

 

 

Current Assets

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

$

 

 

$

76

 

 

$

76

 

Interest rate

 

 

 

 

 

24

 

 

 

24

 

Total current derivative assets(1)

 

 

 

 

 

100

 

 

 

100

 

Noncurrent Assets

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

 

 

 

 

72

 

 

 

72

 

Interest rate

 

 

172

 

 

 

272

 

 

 

444

 

Total noncurrent derivative assets(2)

 

 

172

 

 

 

344

 

 

 

516

 

Total derivative assets

 

$

172

 

 

$

444

 

 

$

616

 

LIABILITIES

 

 

 

 

 

 

 

 

 

 

 

 

Current Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

$

 

 

$

172

 

 

$

172

 

Interest rate

 

 

253

 

 

 

10

 

 

 

263

 

Total current derivative liabilities(3)

 

 

253

 

 

 

182

 

 

 

435

 

Noncurrent Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

 

 

 

 

73

 

 

 

73

 

Interest rate

 

 

31

 

 

 

35

 

 

 

66

 

Total noncurrent derivative liabilities(4)

 

 

31

 

 

 

108

 

 

 

139

 

Total derivative liabilities

 

$

284

 

 

$

290

 

 

$

574

 

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

 

 

(1)

Current derivative assets include $87 million and $63 million in other current assets in Dominion Energy’s Consolidated Balance Sheets as of June 30, 2021 and December 31, 2020, respectively.  The remainder is recorded in current assets held for sale in Dominion Energy’s Consolidated Balance Sheets.

(2)

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

(3)

Current derivative liabilities include $428 million and $412 million in other current liabilities in Dominion Energy’s Consolidated Balance Sheets as of June 30, 2021 and December 31, 2020, respectively. The remainder is in current liabilities held for sale in Dominion Energy’s Consolidated Balance Sheets.

(4)

Noncurrent derivative liabilities are presented in other deferred credits and other liabilities 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)

 

 

 

 

 

 

 

 

 

 

 

 

Three Months Ended June 30, 2021

 

 

 

 

 

 

 

 

 

 

 

 

Derivative type and location of gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate(3)

 

$

(21

)

 

$

(16

)

 

$

(219

)

Total

 

$

(21

)

 

$

(16

)

 

$

(219

)

Three Months Ended June 30, 2020

 

 

 

 

 

 

 

 

 

 

 

 

Derivative type and location of gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

Commodity:

 

 

 

 

 

 

 

 

 

 

 

 

Operating revenue

 

 

 

 

 

$

8

 

 

 

 

 

Discontinued operations

 

 

 

 

 

 

1

 

 

 

 

 

Total commodity

 

$

 

 

$

9

 

 

$

 

Interest rate:

 

 

 

 

 

 

 

 

 

 

 

 

Interest and related charges

 

 

 

 

 

 

(18

)

 

 

 

 

Discontinued operations

 

 

 

 

 

 

(4

)

 

 

 

 

Total interest rate

 

 

 

 

 

(22

)

 

 

14

 

Foreign currency(4)

 

 

6

 

 

 

6

 

 

 

 

Total

 

$

6

 

 

$

(7

)

 

$

14

 

Six Months Ended June 30, 2021

 

 

 

 

 

 

 

 

 

 

 

 

Derivative type and location of gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

Commodity:

 

 

 

 

 

 

 

 

 

 

 

 

Purchased gas

 

 

 

 

 

$

(1

)

 

 

 

 

Total commodity

 

$

 

 

$

(1

)

 

$

 

Interest rate (3)

 

 

31

 

 

 

(32

)

 

 

189

 

Total

 

$

31

 

 

$

(33

)

 

$

189

 

Six Months Ended June 30, 2020

 

 

 

 

 

 

 

 

 

 

 

 

Derivative type and location of gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

Commodity:

 

 

 

 

 

 

 

 

 

 

 

 

Operating revenue

 

 

 

 

 

$

14

 

 

 

 

 

Purchased gas

 

 

 

 

 

 

(3

)

 

 

 

 

Discontinued operations

 

 

 

 

 

 

2

 

 

 

 

 

Total commodity

 

$

 

 

$

13

 

 

$

 

Interest rate:

 

 

 

 

 

 

 

 

 

 

 

 

Interest and related charges

 

 

 

 

 

 

(43

)

 

 

 

 

Discontinued operations

 

 

 

 

 

 

(6

)

 

 

 

 

Total interest rate

 

 

(336

)

 

 

(49

)

 

 

(550

)

Foreign currency (4)

 

 

(17

)

 

 

 

 

 

 

Total

 

$

(353

)

 

$

(36

)

 

$

(550

)

 

(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 Statement of Income are classified in interest and related charges.

(4)  Amounts recorded in Dominion Energy’s Consolidated Statement of Income are classified in discontinued operations.

Derivatives not designated as hedging instruments

 

Amount of Gain (Loss) Recognized

in Income on Derivatives(1)

 

 

 

 

Three Months Ended

 

 

Six Months Ended

 

 

 

 

June 30,

 

 

June 30,

 

 

 

 

2021

 

 

2020

 

 

2021

 

 

2020

 

 

(millions)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative type and location of gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commodity:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Operating revenue

 

$

(146

)

 

$

(5

)

 

$

(187

)

 

$

46

 

 

Purchased gas

 

 

7

 

 

 

1

 

 

 

7

 

 

 

(10

)

 

Electric fuel and other energy-related purchases

 

 

7

 

 

 

(8

)

 

 

(37

)

 

 

(73

)

 

Discontinued operations

 

 

 

 

 

(6

)

 

 

 

 

 

5

 

 

Interest rate:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest and related charges

 

 

(157

)

 

 

(25

)

 

 

162

 

 

 

(78

)

 

Discontinued operations

 

 

 

 

 

 

 

 

 

 

 

(8

)

 

Total

 

$

(289

)

 

$

(43

)

 

$

(55

)

 

$

(118

)

 

 

(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:

 

 

 

June 30, 2021

 

 

December 31, 2020

 

 

 

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

 

$

84

 

 

$

10

 

 

$

 

 

$

74

 

 

$

111

 

 

$

6

 

 

$

 

 

$

105

 

Exchange

 

 

1

 

 

 

1

 

 

 

 

 

 

 

 

1

 

 

1

 

 

 

 

 

 

 

Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Over-the-counter

 

 

172

 

 

 

19

 

 

 

 

 

 

153

 

 

66

 

 

7

 

 

 

 

 

 

59

 

Total derivatives, subject to a

   master netting or similar

   arrangement

 

$

257

 

 

$

30

 

 

$

 

 

$

227

 

 

$

178

 

 

$

14

 

 

$

 

 

$

164

 

 

(1)

Excludes $26 million and $3 million of derivative assets at June 30, 2021 and December 31, 2020, respectively, which are not subject to master netting or similar arrangements.

 

 

 

 

June 30, 2021

 

 

December 31, 2020

 

 

 

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

 

$

42

 

 

$

10

 

 

$

9

 

 

$

23

 

 

$

6

 

 

$

6

 

 

$

 

 

$

 

Exchange

 

 

8

 

 

 

1

 

 

 

7

 

 

 

 

 

1

 

 

1

 

 

 

 

 

 

 

Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Over-the-counter

 

 

283

 

 

 

19

 

 

 

 

 

 

264

 

 

376

 

 

7

 

 

 

 

 

 

369

 

Total derivatives, subject to a

   master netting or similar

   arrangement

 

$

333

 

 

$

30

 

 

$

16

 

 

$

287

 

 

$

383

 

 

$

14

 

 

$

 

 

$

369

 

 

(1)

Excludes $2 million and $22 million of derivative liabilities at June 30, 2021 and December 31, 2020, 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 June 30, 2021. 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 its long and short positions.

 

 

 

Current

 

 

Noncurrent

 

Natural Gas (bcf):

 

 

 

 

 

 

 

 

Fixed price(1)

 

 

29

 

 

 

14

 

Basis

 

 

143

 

 

 

464

 

Electricity (MWh):

 

 

 

 

 

 

 

 

Fixed price

 

 

3,852,994

 

 

 

3,271,323

 

FTRs

 

 

98,414,736

 

 

 

 

Interest rate(2) (millions)

 

$

850

 

 

$

1,900

 

(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 Sheet at June 30, 2021:

 

 

 

AOCI

After-Tax

 

 

Amounts Expected to be

Reclassified to Earnings

During the Next 12

Months After-Tax

 

 

Maximum Term

(millions)

 

 

 

 

 

 

 

 

 

 

Interest rate

 

$

(39

)

 

$

(2

)

 

390 months

Total

 

$

(39

)

 

$

(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 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, 2021

 

 

 

 

 

 

 

 

 

 

 

 

ASSETS

 

 

 

 

 

 

 

 

 

 

 

 

Current Assets

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

$

 

 

$

52

 

 

$

52

 

Total current derivative assets(1)

 

 

 

 

 

52

 

 

 

52

 

Noncurrent Assets

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

 

 

 

 

59

 

 

 

59

 

Interest rate

 

 

172

 

 

 

 

 

 

172

 

Total noncurrent derivative assets(2)

 

 

172

 

 

 

59

 

 

 

231

 

Total derivative assets

 

$

172

 

 

$

111

 

 

$

283

 

LIABILITIES

 

 

 

 

 

 

 

 

 

 

 

 

Current Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

$

 

 

$

43

 

 

$

43

 

Interest rate

 

 

253

 

 

 

 

 

 

253

 

Total current derivative liabilities

 

 

253

 

 

 

43

 

 

 

296

 

Noncurrent Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Commodity

 

 

 

 

 

9

 

 

 

9

 

Interest rate

 

 

30

 

 

 

 

 

 

30

 

Total noncurrent derivative liabilities(3)

 

 

30

 

 

 

9

 

 

 

39

 

Total derivative liabilities

 

$

283

 

 

$

52

 

 

$

335

 

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 derivative liabilities(3)

 

 

14

 

 

 

1

 

 

 

15

 

Total derivative liabilities

 

$

376

 

 

$

29

 

 

$

405

 

 

(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)

 

 

 

 

 

 

 

 

 

 

 

 

Three Months Ended June 30, 2021

 

 

 

 

 

 

 

 

 

 

 

 

Derivative type and location of gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate(3)

 

$

(17

)

 

$

 

 

$

(221

)

Total

 

$

(17

)

 

$

 

 

$

(221

)

Three Months Ended June 30, 2020

 

 

 

 

 

 

 

 

 

 

 

 

Derivative type and location of gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate(3)

 

$

2

 

 

$

(1

)

 

$

13

 

Total

 

$

2

 

 

$

(1

)

 

$

13

 

Six Months Ended June 30, 2021

 

 

 

 

 

 

 

 

 

 

 

 

Derivative type and location of gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate(3)

 

$

26

 

 

$

(1

)

 

$

186

 

Total

 

$

26

 

 

$

(1

)

 

$

186

 

Six Months Ended June 30, 2020

 

 

 

 

 

 

 

 

 

 

 

 

Derivative type and location of gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate(3)

 

$

(59

)

 

$

(1

)

 

$

(552

)

Total

 

$

(59

)

 

$

(1

)

 

$

(552

)

 

(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)

 

 

 

 

Three Months Ended

 

 

Six Months Ended

 

 

 

 

June 30,

 

 

June 30,

 

 

 

 

2021

 

 

2020

 

 

2021

 

 

2020

 

 

(millions)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative type and location of gains (losses):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commodity:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Operating revenue

 

$

(4

)

 

$

 

 

$

(6

)

 

$

 

 

Electric fuel and other energy-related purchases

 

 

7

 

 

 

(8

)

 

 

(37

)

 

 

(73

)

 

Total

 

$

3

 

 

$

(8

)

 

$

(43

)

 

$

(73

)

 

 

(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.