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Derivatives and Hedge Accounting Activities | 9 Months Ended
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Sep. 30, 2022
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, 2021. See Note 8 in this report for additional 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 security, none of which are subject to restrictions. Cash collateral is used in the table below to offset derivative assets and liabilities. In February 2022, Dominion Energy entered into contracts representing offsetting positions to certain existing exchange contracts with collateral requirements as well as new over-the-counter transactions that are not subject to collateral requirements. These contracts resulted in positions which limit the risk of increased cash collateral requirements. 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 additional 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:
|  | September 30, 2022 |  |  | December 31, 2021 |
|  | 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 |  | $ | 367 |  |  | $ | 11 |  |  | $ | — |  |  | $ | 356 |  |  | $ | 153 |  |  | $ | 13 |  |  | $ | — |  |  | $ | 140 |
Exchange |  |  | 292 |  |  |  | 287 |  |  |  | — |  |  |  | 5 |  |  |  | 9 |  |  |  | 7 |  |  |  | — |  |  |  | 2 |
Interest rate contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Over-the-counter |  |  | 1,593 |  |  |  | 410 |  |  |  | — |  |  |  | 1,183 |  |  |  | 323 |  |  |  | 49 |  |  |  | — |  |  |  | 274 |
Foreign currency exchange rate contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Over-the-counter |  |  | 6 |  |  |  | 6 |  |  |  | — |  |  |  | — |  |  |  | 8 |  |  |  | — |  |  |  | — |  |  |  | 8 |
Total derivatives, subject to a master netting or similar arrangement |  | $ | 2,258 |  |  | $ | 714 |  |  | $ | — |  |  | $ | 1,544 |  |  | $ | 493 |  |  | $ | 69 |  |  | $ | — |  |  | $ | 424 |
(1) | Excludes $211 million and $120 million of derivative assets at September 30, 2022 and December 31, 2021, respectively, which are not subject to master netting or similar arrangements.
|  | September 30, 2022 |  |  | December 31, 2021 |
|  | 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 |  | $ | 660 |  |  | $ | 17 |  |  | $ | 121 |  |  | $ | 522 |  |  | $ | 95 |  |  | $ | 13 |  |  | $ | 54 |  |  | $ | 28 |
Exchange |  |  | 849 |  |  |  | 287 |  |  |  | 562 |  |  |  | — |  |  |  | 374 |  |  |  | 7 |  |  |  | 367 |  |  |  | — |
Interest rate contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Over-the-counter |  |  | 475 |  |  |  | 257 |  |  |  | 3 |  |  |  | 215 |  |  |  | 399 |  |  |  | 49 |  |  |  | 11 |  |  |  | 339 |
Foreign currency exchange rate contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Over-the-counter |  |  | 387 |  |  |  | 153 |  |  |  | — |  |  |  | 234 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Total derivatives, subject to a master netting or similar arrangement |  | $ | 2,371 |  |  | $ | 714 |  |  | $ | 686 |  |  | $ | 971 |  |  | $ | 868 |  |  | $ | 69 |  |  | $ | 432 |  |  | $ | 367 |
(1) | There were no derivative liabilities that are not subject to master netting or similar arrangements at September 30, 2022 or December 31, 2021.
Volumes The following table presents the volume of Dominion Energy’s derivative activity at September 30, 2022. 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 |  |  | 47 |  |  |  | 7 |
Basis(1) |  |  | 159 |  |  |  | 439 |
Electricity (MWh in millions): |  |  |  |  |  |  |  |
Fixed price |  |  | 16 |  |  |  | 31 |
FTRs |  |  | 72 |  |  |  | — |
Oil (Gal in millions) |  |  | 6 |  |  |  | — |
Interest rate(2) (in millions) |  | $ | 358 |  |  | $ | 12,581 |
Foreign currency exchange rate(2)(in millions): |  |  |  |  |  |  |  |
Danish Krone |  | 468 kr. |  |  | 4,167 kr. |
Euro |  | €351 |  |  | €2,651 |
(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 September 30, 2022:
|  | AOCI After-Tax |  |  | Amounts Expected to be Reclassified to Earnings During the Next 12 Months After-Tax |  |  | Maximum Term
(millions) |  |  |  |  |  |  |  |  |  |
Interest rate |  | $ | (261 | ) |  | $ | (33 | ) |  | 387 months
Total |  | $ | (261 | ) |  | $ | (33 | ) |  |
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 nine months ended September 30, 2022 and 2021. The following table presents the amounts recorded on the Consolidated Balance Sheet related to cumulative basis adjustments for fair value hedges, all of which related to discontinued hedging relationships at both September 30, 2022 and December 31, 2021:
|  | Carrying Amount of the Hedged Asset (Liability) |  |  | Cumulative Amount of Fair Value Hedging Adjustments Included in the Carrying Amount of the Hedged Assets (Liabilities) |
|  | September 30, 2022 |  |  | December 31, 2021 |  |  | September 30, 2022 |  |  | December 31, 2021 |
(millions) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Long-term debt |  | $ | — |  |  | $ | (352 | ) |  | $ | — |  |  | $ | (2 | )
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) |  |  |  |  |  |  |  |  |  |  |  |
September 30, 2022 |  |  |  |  |  |  |  |  |  |  |  |
ASSETS |  |  |  |  |  |  |  |  |  |  |  |
Current Assets |  |  |  |  |  |  |  |  |  |  |  |
Commodity |  | $ | — |  |  | $ | 610 |  |  | $ | 610 |
Interest rate |  |  | — |  |  |  | 54 |  |  |  | 54 |
Foreign currency exchange rate |  |  | — |  |  |  | 6 |  |  |  | 6 |
Total current derivative assets |  |  | — |  |  |  | 670 |  |  |  | 670 |
Noncurrent Assets |  |  |  |  |  |  |  |  |  |  |  |
Commodity |  |  | — |  |  |  | 260 |  |  |  | 260 |
Interest rate |  |  | 596 |  |  |  | 943 |  |  |  | 1,539 |
Total noncurrent derivative assets |  |  | 596 |  |  |  | 1,203 |  |  |  | 1,799 |
Total derivative assets |  | $ | 596 |  |  | $ | 1,873 |  |  | $ | 2,469 |
LIABILITIES |  |  |  |  |  |  |  |  |  |  |  |
Current Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Commodity |  | $ | — |  |  | $ | 1,083 |  |  | $ | 1,083 |
Interest rate |  |  | — |  |  |  | 46 |  |  |  | 46 |
Foreign currency exchange rate |  |  | — |  |  |  | 50 |  |  |  | 50 |
Total current derivative liabilities |  |  | — |  |  |  | 1,179 |  |  |  | 1,179 |
Noncurrent Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Commodity |  |  | — |  |  |  | 426 |  |  |  | 426 |
Interest rate |  |  | 27 |  |  |  | 402 |  |  |  | 429 |
Foreign currency exchange rate |  |  | — |  |  |  | 337 |  |  |  | 337 |
Total noncurrent derivative liabilities |  |  | 27 |  |  |  | 1,165 |  |  |  | 1,192 |
Total derivative liabilities |  | $ | 27 |  |  | $ | 2,344 |  |  | $ | 2,371 |
December 31, 2021 |  |  |  |  |  |  |  |  |  |  |  |
ASSETS |  |  |  |  |  |  |  |  |  |  |  |
Current Assets |  |  |  |  |  |  |  |  |  |  |  |
Commodity |  | $ | — |  |  | $ | 103 |  |  | $ | 103 |
Interest rate |  |  | 1 |  |  |  | 17 |  |  |  | 18 |
Foreign currency exchange rate |  |  | — |  |  |  | 1 |  |  |  | 1 |
Total current derivative assets |  |  | 1 |  |  |  | 121 |  |  |  | 122 |
Noncurrent Assets |  |  |  |  |  |  |  |  |  |  |  |
Commodity |  |  | — |  |  |  | 179 |  |  |  | 179 |
Interest rate |  |  | 145 |  |  |  | 160 |  |  |  | 305 |
Foreign currency exchange rate |  |  | — |  |  |  | 7 |  |  |  | 7 |
Total noncurrent derivative assets |  |  | 145 |  |  |  | 346 |  |  |  | 491 |
Total derivative assets |  | $ | 146 |  |  | $ | 467 |  |  | $ | 613 |
LIABILITIES |  |  |  |  |  |  |  |  |  |  |  |
Current Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Commodity |  | $ | — |  |  | $ | 304 |  |  | $ | 304 |
Interest rate |  |  | 42 |  |  |  | 13 |  |  |  | 55 |
Total current derivative liabilities |  |  | 42 |  |  |  | 317 |  |  |  | 359 |
Noncurrent Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Commodity |  |  | — |  |  |  | 165 |  |  |  | 165 |
Interest rate |  |  | 295 |  |  |  | 49 |  |  |  | 344 |
Total noncurrent derivative liabilities |  |  | 295 |  |  |  | 214 |  |  |  | 509 |
Total derivative liabilities |  | $ | 337 |  |  | $ | 531 |  |  | $ | 868 |
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 September 30, 2022 |  |  |  |  |  |  |  |  |  |  |  |
Derivative type and location of gains (losses): |  |  |  |  |  |  |  |  |  |  |  |
Interest rate(3) |  | $ | 14 |  |  | $ | (16 | ) |  | $ | 182 |
Total |  | $ | 14 |  |  | $ | (16 | ) |  | $ | 182 |
Three Months Ended September 30, 2021 |  |  |  |  |  |  |  |  |  |  |  |
Derivative type and location of gains (losses): |  |  |  |  |  |  |  |  |  |  |  |
Interest rate(3) |  | $ | (2 | ) |  | $ | (14 | ) |  | $ | 9 |
Total |  | $ | (2 | ) |  | $ | (14 | ) |  | $ | 9 |
Nine Months Ended September 30, 2022 |  |  |  |  |  |  |  |  |  |  |  |
Derivative type and location of gains (losses): |  |  |  |  |  |  |  |  |  |  |  |
Interest rate (3) |  | $ | 86 |  |  | $ | (44 | ) |  | $ | 815 |
Total |  | $ | 86 |  |  | $ | (44 | ) |  | $ | 815 |
Nine Months Ended September 30, 2021 |  |  |  |  |  |  |  |  |  |  |  |
Derivative type and location of gains (losses): |  |  |  |  |  |  |  |  |  |  |  |
Interest rate (3) |  | $ | 29 |  |  | $ | (46 | ) |  | $ | 198 |
Commodity(4) |  |  | — |  |  |  | (1 | ) |  |  | — |
Total |  | $ | 29 |  |  | $ | (47 | ) |  | $ | 198 |
(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 purchased gas.
Derivatives not designated as hedging instruments |  | Amount of Gain (Loss) Recognized in Income on Derivatives(1)(2) |
|  | Three Months Ended |  |  | Nine Months Ended |
|  | September 30, |  |  | September 30, |
|  | 2022 |  |  |  |  | 2021 |  |  | 2022 |  |  | 2021 |
(millions) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative type and location of gains (losses): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Commodity: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Operating revenue |  | $ | (306 | ) |  |  |  | $ | (334 | ) |  | $ | (908 | ) |  | $ | (521 | )
Purchased gas |  |  | 1 |  |  |  |  |  | 25 |  |  |  | 6 |  |  |  | 32 |
Electric fuel and other energy-related purchases |  |  | 205 |  |  |  |  |  | 44 |  |  |  | 401 |  |  |  | 7 |
Interest rate: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest and related charges |  |  | 92 |  |  |  |  |  | (20 | ) |  |  | 628 |  |  |  | 142 |
Total |  | $ | (8 | ) |  |  |  | $ | (285 | ) |  | $ | 127 |  |  | $ | (340 | )
(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.
(2) | Excludes amounts related to foreign currency exchange rate derivatives that are deferred to plant under construction within property, plant and equipment and regulatory assets/liabilities that will begin to amortize once the CVOW Commercial Project is placed in service.
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:
|  | September 30, 2022 |  |  | December 31, 2021 |
|  | 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 |  | $ | 297 |  |  | $ | 7 |  |  | $ | — |  |  | $ | 290 |  |  | $ | 110 |  |  | $ | 8 |  |  | $ | — |  |  | $ | 102 |
Exchange |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 7 |  |  |  | 7 |  |  |  | — |  |  |  | — |
Interest rate contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Over-the-counter |  |  | 596 |  |  |  | 163 |  |  |  | — |  |  |  | 433 |  |  |  | 146 |  |  |  | 20 |  |  |  | — |  |  |  | 126 |
Foreign currency exchange rate contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Over-the-counter |  |  | 6 |  |  |  | 6 |  |  |  | — |  |  |  | — |  |  |  | 8 |  |  |  | — |  |  |  | — |  |  |  | 8 |
Total derivatives, subject to a master netting or similar arrangement |  | $ | 899 |  |  | $ | 176 |  |  | $ | — |  |  | $ | 723 |  |  | $ | 271 |  |  | $ | 35 |  |  | $ | — |  |  | $ | 236 |
(1) | Excludes $62 million and $29 million of derivative assets at September 30, 2022 and December 31, 2021, respectively, which are not subject to master netting or similar arrangements.
|  | September 30, 2022 |  |  | December 31, 2021 |
|  | 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 |  | $ | 233 |  |  | $ | 13 |  |  | $ | 121 |  |  | $ | 99 |  |  | $ | 84 |  |  | $ | 8 |  |  | $ | 54 |  |  | $ | 22 |
Exchange |  |  | 268 |  |  |  | — |  |  |  | 268 |  |  |  | — |  |  |  | 43 |  |  |  | 7 |  |  |  | 36 |  |  |  | — |
Interest rate contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Over-the-counter |  |  | 27 |  |  |  | 10 |  |  |  | — |  |  |  | 17 |  |  |  | 337 |  |  |  | 20 |  |  |  | — |  |  |  | 317 |
Foreign currency exchange rate contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Over-the-counter |  |  | 387 |  |  |  | 153 |  |  |  | — |  |  |  | 234 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Total derivatives, subject to a master netting or similar arrangement |  | $ | 915 |  |  | $ | 176 |  |  | $ | 389 |  |  | $ | 350 |  |  | $ | 464 |  |  | $ | 35 |  |  | $ | 90 |  |  | $ | 339 |
(1) | Excludes $2 million and $6 million of derivative liabilities at September 30, 2022 and December 31, 2021, 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 September 30, 2022. 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 |  |  | 34 |  |  |  | 7 |
Basis(1) |  |  | 145 |  |  |  | 428 |
Electricity (MWh in millions): |  |  |  |  |  |  |  |
Fixed price |  |  | 8 |  |  |  | 5 |
FTRs |  |  | 72 |  |  |  | — |
Oil (Gal in millions) |  |  | 6 |  |  |  | — |
Interest rate(2) (in millions) |  | $ | 250 |  |  | $ | 3,050 |
Foreign currency exchange rate(2)(in millions): |  |  |  |  |  |  |  |
Danish Krone |  | 468 kr. |  |  | 4,167 kr. |
Euro |  | €351 |  |  | €2,651 |
(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 September 30, 2022:
|  | AOCI After-Tax |  |  | Amounts Expected to be Reclassified to Earnings During the Next 12 Months After-Tax |  |  | Maximum Term
(millions) |  |  |  |  |  |  |  |  |  |
Interest rate |  | $ | 13 |  |  | $ | (1 | ) |  | 387 months
Total |  | $ | 13 |  |  | $ | (1 | ) |  |
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) |  |  |  |  |  |  |  |  |  |  |  |
September 30, 2022 |  |  |  |  |  |  |  |  |  |  |  |
ASSETS |  |  |  |  |  |  |  |  |  |  |  |
Current Assets |  |  |  |  |  |  |  |  |  |  |  |
Commodity |  | $ | — |  |  | $ | 357 |  |  | $ | 357 |
Foreign currency exchange rate |  |  | — |  |  |  | 6 |  |  |  | 6 |
Total current derivative assets |  |  | — |  |  |  | 363 |  |  |  | 363 |
Noncurrent Assets |  |  |  |  |  |  |  |  |  |  |  |
Commodity |  |  | — |  |  |  | 2 |  |  |  | 2 |
Interest rate |  |  | 596 |  |  |  | — |  |  |  | 596 |
Total noncurrent derivative assets(1) |  |  | 596 |  |  |  | 2 |  |  |  | 598 |
Total derivative assets |  | $ | 596 |  |  | $ | 365 |  |  | $ | 961 |
LIABILITIES |  |  |  |  |  |  |  |  |  |  |  |
Current Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Commodity |  | $ | — |  |  | $ | 392 |  |  | $ | 392 |
Foreign currency exchange rate |  |  | — |  |  |  | 50 |  |  |  | 50 |
Total current derivative liabilities |  |  | — |  |  |  | 442 |  |  |  | 442 |
Noncurrent Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Commodity |  |  | — |  |  |  | 111 |  |  |  | 111 |
Interest rate |  |  | 27 |  |  |  | — |  |  |  | 27 |
Foreign currency exchange rate |  |  | — |  |  |  | 337 |  |  |  | 337 |
Total noncurrent derivative liabilities(2) |  |  | 27 |  |  |  | 448 |  |  |  | 475 |
Total derivative liabilities |  | $ | 27 |  |  | $ | 890 |  |  | $ | 917 |
December 31, 2021 |  |  |  |  |  |  |  |  |  |  |  |
ASSETS |  |  |  |  |  |  |  |  |  |  |  |
Current Assets |  |  |  |  |  |  |  |  |  |  |  |
Commodity |  | $ | — |  |  | $ | 74 |  |  | $ | 74 |
Interest rate |  |  | 1 |  |  |  | — |  |  |  | 1 |
Foreign currency exchange rate |  |  | — |  |  |  | 1 |  |  |  | 1 |
Total current derivative assets |  |  | 1 |  |  |  | 75 |  |  |  | 76 |
Noncurrent Assets |  |  |  |  |  |  |  |  |  |  |  |
Commodity |  |  | — |  |  |  | 72 |  |  |  | 72 |
Interest rate |  |  | 145 |  |  |  | — |  |  |  | 145 |
Foreign currency exchange rate |  |  | — |  |  |  | 7 |  |  |  | 7 |
Total noncurrent derivative assets(1) |  |  | 145 |  |  |  | 79 |  |  |  | 224 |
Total derivative assets |  | $ | 146 |  |  | $ | 154 |  |  | $ | 300 |
LIABILITIES |  |  |  |  |  |  |  |  |  |  |  |
Current Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Commodity |  | $ | — |  |  | $ | 92 |  |  | $ | 92 |
Interest rate |  |  | 42 |  |  |  | — |  |  |  | 42 |
Total current derivative liabilities |  |  | 42 |  |  |  | 92 |  |  |  | 134 |
Noncurrent Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Commodity |  |  | — |  |  |  | 41 |  |  |  | 41 |
Interest rate |  |  | 295 |  |  |  | — |  |  |  | 295 |
Total noncurrent derivative liabilities(2) |  |  | 295 |  |  |  | 41 |  |  |  | 336 |
Total derivative liabilities |  | $ | 337 |  |  | $ | 133 |  |  | $ | 470 |
(1) | Noncurrent derivative assets are presented in other deferred charges and other assets in Virginia Power’s Consolidated Balance Sheets.
(2) | 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 September 30, 2022 |  |  |  |  |  |  |  |  |  |  |  |
Derivative type and location of gains (losses): |  |  |  |  |  |  |  |  |  |  |  |
Interest rate(3) |  | $ | 18 |  |  | $ | (1 | ) |  | $ | 182 |
Total |  | $ | 18 |  |  | $ | (1 | ) |  | $ | 182 |
Three Months Ended September 30, 2021 |  |  |  |  |  |  |  |  |  |  |  |
Derivative type and location of gains (losses): |  |  |  |  |  |  |  |  |  |  |  |
Interest rate(3) |  | $ | (2 | ) |  | $ | (1 | ) |  | $ | 8 |
Total |  | $ | (2 | ) |  | $ | (1 | ) |  | $ | 8 |
Nine Months Ended September 30, 2022 |  |  |  |  |  |  |  |  |  |  |  |
Derivative type and location of gains (losses): |  |  |  |  |  |  |  |  |  |  |  |
Interest rate(3) |  | $ | 77 |  |  | $ | (2 | ) |  | $ | 814 |
Total |  | $ | 77 |  |  | $ | (2 | ) |  | $ | 814 |
Nine Months Ended September 30, 2021 |  |  |  |  |  |  |  |  |  |  |  |
Derivative type and location of gains (losses): |  |  |  |  |  |  |  |  |  |  |  |
Interest rate(3) |  | $ | 24 |  |  | $ | (2 | ) |  | $ | 194 |
Total |  | $ | 24 |  |  | $ | (2 | ) |  | $ | 194 |
(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)(2) |
|  | Three Months Ended |  |  | Nine Months Ended |
|  | September 30, |  |  | September 30, |
|  | 2022 |  |  |  |  | 2021 |  |  | 2022 |  |  | 2021 |
(millions) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative type and location of gains (losses): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Commodity: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Operating Revenue |  | $ | (108 | ) |  |  |  | $ | (19 | ) |  | $ | (237 | ) |  | $ | (25 | )
Electric fuel and other energy-related purchases |  |  | 166 |  |  |  |  |  | 42 |  |  |  | 348 |  |  |  | 5 |
Total |  | $ | 58 |  |  |  |  | $ | 23 |  |  | $ | 111 |  |  | $ | (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) Excludes amounts related to foreign currency exchange rate derivatives that are deferred to plant under construction within property, plant and equipment and regulatory assets/liabilities that will begin to amortize once the CVOW Commercial Project is placed in service.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI https://asc.fasb.org/topic&trid=2229140 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 40 -Section 50 -Paragraph 5 -Subparagraph (f) -URI https://asc.fasb.org/extlink&oid=126731327&loc=d3e90205-114008 + Details
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