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Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2021

Fair Value Inputs, Assets, Quantitative Information

The following table presents Dominion Energy’s quantitative information about Level 3 fair value measurements at June 30, 2021. The range and weighted average are presented in dollars for market price inputs and percentages for price volatility.

	Fair Value (millions)		Valuation Techniques	Unobservable Input		Range	Weighted Average⁽¹⁾
Assets
Physical and financial forwards:
Natural gas⁽²⁾	$	53	Discounted cash flow	Market price (per Dth)	⁽³⁾	(2) - 4		(1	)
FTRs		30	Discounted cash flow	Market price (per MWh)	⁽³⁾	0 - 6		1
Electricity		12	Discounted cash flow	Market price (per MWh)	⁽³⁾	22 - 83		35
Physical options:
Natural gas		1	Option model	Market price (per Dth)	⁽³⁾	2 - 7		4
				Price volatility	⁽⁴⁾	4% - 27%		16	%
Total assets	$	96
Liabilities
Physical and financial forwards:
Natural gas⁽²⁾	$	7	Discounted cash flow	Market price (per Dth)	⁽³⁾	(2) - 3		(1	)
FTRs		3	Discounted cash flow	Market price (per MWh)	⁽³⁾	(3) - 4		1
Electricity		24	Discounted cash flow	Market price (per MWh)	⁽³⁾	23 - 96		35
Total liabilities	$	34

(1)	Averages weighted by volume.

(2)	Includes basis.

(3)	Represents market prices beyond defined terms for Levels 1 and 2.

(4) Represents volatilities unrepresented in published markets.

Fair Value, Option, Qualitative Disclosures

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)

Fair Value, by Balance Sheet Grouping

The following table presents Dominion Energy’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 June 30, 2021
Assets
Derivatives:
Commodity	$	—	$	52	$	96	$	148
Interest rate		—		468		—		468
Investments⁽¹⁾:
Equity securities:
U.S.		4,730		—		—		4,730
Fixed income:
Corporate debt instruments		—		871		—		871
Government securities		783		744		—		1,527
Total assets	$	5,513	$	2,135	$	96	$	7,744
Liabilities
Derivatives:
Commodity	$	—	$	211	$	34	$	245
Interest rate		—		329		—		329
Total liabilities	$	—	$	540	$	34	$	574
At December 31, 2020
Assets
Derivatives:
Commodity	$	—	$	57	$	110	$	167
Interest rate		—		230		—		230
Investments⁽¹⁾:
Equity securities:
U.S.		4,648		—		—		4,648
Fixed income:
Corporate debt instruments		—		629		—		629
Government securities		508		730		—		1,238
Cash equivalents and other		32		15		—		47
Total assets	$	5,188	$	1,661	$	110	$	6,959
Liabilities
Derivatives:
Commodity	$	—	$	48	$	7	$	55
Interest rate		—		431		—		431
Total liabilities	$	—	$	479	$	7	$	486

(1)

Includes investments held in the nuclear decommissioning and rabbi trusts. Excludes $357 million and $340 million of assets at June 30, 2021 and December 31, 2020, respectively, measured at fair value using NAV (or its equivalent) as a practical expedient which are not required to be categorized in the fair value hierarchy.

Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation

The following table presents the net change in Dominion Energy's assets and liabilities measured at fair value on a recurring basis and included in the Level 3 fair value category:

	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2021			2020			2021			2020
(millions)
Beginning balance	$	56		$	43		$	103		$	(37	)
Total realized and unrealized gains (losses):
Included in earnings:
Operating revenue		(2	)		—			(2	)		—
Electric fuel and other energy-related purchases		4			(4	)		(17	)		(26	)
Included in regulatory assets/liabilities		8			80			(39	)		160
Settlements		(4	)		4			17			26
Ending balance	$	62		$	123		$	62		$	123

Schedule of Carrying Values and Estimated Fair Values of Debt Instruments

For the Companies' financial instruments that are not recorded at fair value, the carrying amounts and estimated fair values are as follows:

	June 30, 2021				December 31, 2020
	Carrying Amount		Estimated Fair Value⁽¹⁾		Carrying Amount		Estimated Fair Value⁽¹⁾
(millions)
Dominion Energy
Long-term debt⁽²⁾⁽³⁾	$	33,076	$	38,558	$	31,996	$	38,773
Supplemental credit facility borrowings⁽⁴⁾		250		250		225		225
Junior subordinated notes⁽⁵⁾		2,862		3,024		3,411		3,633
Virginia Power
Long-term debt⁽⁵⁾	$	13,210	$	15,668	$	13,207	$	16,455

(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 issuances with short-term maturities and variable rates refinanced at current market rates is a reasonable estimate of their fair value.

(2)

Carrying amount includes current portions included in securities due within one year and amounts which represent the unamortized debt issuance costs and discount or premium. At both June 30, 2021 and December 31, 2020, the carrying amount includes the valuation of certain fair value hedges associated with fixed rate debt of $3 million.

(3)	Includes amounts classified as held for sale, see Note 3.

(4)	Also includes Supplemental 364-Day credit facility borrowings.

(5)	Carrying amount includes current portions included in securities due within one year and amounts which represent the unamortized debt issuance costs, discount or premium.

Virginia Electric and Power Company

Fair Value Inputs, Assets, Quantitative Information

The following table presents Virginia Power’s quantitative information about Level 3 fair value measurements at June 30, 2021. The range and weighted average are presented in dollars for market price inputs.

	Fair Value (millions)		Valuation Techniques	Unobservable Input		Range	Weighted Average⁽¹⁾
Assets
Physical and financial forwards:
Natural gas⁽²⁾	$	53	Discounted cash flow	Market price (per Dth)	⁽³⁾	(2) - 4		(1	)
FTRs		30	Discounted cash flow	Market price (per MWh)	⁽³⁾	0 - 6		1
Physical options:
Natural gas		1	Option model	Market price (per Dth)	⁽³⁾	2 - 7		4
				Price volatility	⁽⁴⁾	4% - 27%		16	%
Total assets	$	84
Liabilities
Physical and financial forwards:
Natural gas⁽²⁾	$	7	Discounted cash flow	Market price (per Dth)	⁽³⁾	(2) - 3		(1	)
FTRs		3	Discounted cash flow	Market price (per MWh)	⁽³⁾	(3) - 4		1
Total liabilities	$	10

(1)	Averages weighted by volume.

(2)	Includes basis.

(3)	Represents market prices beyond defined terms for Levels 1 and 2.

(4) Represents volatilities unrepresented in published markets.

Fair Value, Option, Qualitative Disclosures

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)

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 June 30, 2021
Assets
Derivatives:
Commodity	$	—	$	27	$	84	$	111
Interest rate		—		172		—		172
Investments⁽¹⁾:
Equity securities:
U.S.		2,186		—		—		2,186
Fixed income:
Corporate debt instruments		—		486		—		486
Government securities		387		282		—		669
Total assets	$	2,573	$	967	$	84	$	3,624
Liabilities
Derivatives:
Commodity	$	—	$	42	$	10	$	52
Interest rate		—		283		—		283
Total liabilities	$	—	$	325	$	10	$	335
At December 31, 2020
Assets
Derivatives:
Commodity	$	—	$	5	$	110	$	115
Interest rate		—		66		—		66
Investments⁽¹⁾:
Equity securities:
U.S.		2,171		—		—		2,171
Fixed income:
Corporate debt instruments		—		348		—		348
Government securities		201		309		—		510
Cash equivalents and other		13		—		—		13
Total assets	$	2,385	$	728	$	110	$	3,223
Liabilities
Derivatives:
Commodity	$	—	$	22	$	7	$	29
Interest rate		—		376		—		376
Total liabilities	$	—	$	398	$	7	$	405

(1)

Includes investments held in the nuclear decommissioning trusts. Excludes $176 million and $167 million of assets at June 30, 2021 and December 31, 2020, respectively, measured at fair value using NAV (or its equivalent) as a practical expedient which are not required to be categorized in the fair value hierarchy.

Fair Value, Net Derivative Asset (Liability) 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						Six Months Ended
	June 30,						June 30,
	2021			2020			2021			2020
(millions)
Beginning balance	$	56		$	43		$	103		$	(37	)
Total realized and unrealized gains (losses):
Included in earnings:
Electric fuel and other energy-related purchases		4			(4	)		(17	)		(26	)
Included in regulatory assets/liabilities		18			80			(29	)		160
Settlements		(4	)		4			17			26
Ending balance	$	74		$	123		$	74		$	123