##### Table of Contents





UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549





FORM 10-Q





(Mark One)

|x | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|- | ---------------------------------------------------------------------------------------

For the quarterly period ended March 31, 2011

or



| ̈ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|- | ----------------------------------------------------------------------------------------

For the transition period from  to

Commission file number 000-50039





OLD DOMINION ELECTRIC COOPERATIVE

(Exact name of registrant as specified in its charter)







|                                                               |  |                                     
|-------------------------------------------------------------- |  | ------------------------------------
|VIRGINIA                                                       |  | 23-7048405                          
|(State or other jurisdiction of
incorporation or organization) |  | (I.R.S. employer identification no.)
|                                                               | 
|4201 Dominion Boulevard, Glen Allen, Virginia                  |  | 23060                               
|(Address of principal executive offices)                       |  | (Zip code)                          





(804) 747-0592

(Registrants telephone number, including area code)





Indicate by check mark whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for
such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90
days.    Yes  x    No   ̈

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule
405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such
files).    Yes   ̈    No   ̈

Indicate by check mark whether the Registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer or a smaller reporting company.
See definitions of larger accelerated filer, accelerated filer and smaller reporting company in Rule 12b-2 of the Exchange Act.



|                        |  |   |  |                           |  |  
|----------------------- |  | - |  | ------------------------- |  | -
|Large accelerated filer |  |  ̈ |  | Accelerated filer         |  |  ̈
|                        |  |   | 
|Non-accelerated filer   |  | x |  | Smaller reporting company |  |  ̈

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    Yes   ̈    No   x

The Registrant is a membership corporation and has no authorized or outstanding equity securities.









---

##### Table of Contents

OLD DOMINION ELECTRIC COOPERATIVE

INDEX



|                                                                                                                                        |  |            |    | 
|--------------------------------------------------------------------------------------------------------------------------------------- |  | ---------- | -- | 
|                                                                                                                                        |  | PageNumber |   
|                                                                                                                                        | 
|PART I. Financial Information                                                                                                           |  |            |    | 
|                                                                                                                                        | 
|Item 1. Financial Statements                                                                                                            |  |            |    | 
|                                                                                                                                        | 
|Condensed Consolidated Balance Sheets  March 31, 2011 (Unaudited) and December 31,
2010                                                |  |            | 3  | 
|                                                                                                                                        | 
|Condensed Consolidated Statements of Revenues, Expenses and Patronage Capital (Unaudited)  Three months
 ended March 31, 2011 and 2010 |  |            | 4  | 
|                                                                                                                                        | 
|Condensed Consolidated Statements of Cash Flows (Unaudited)  Three Months Ended March 
31, 2011 and 2010                               |  |            | 5  | 
|                                                                                                                                        | 
|Notes to Condensed Consolidated Financial Statements                                                                                    |  |            | 6  | 
|                                                                                                                                        | 
|Item 2. Managements Discussion and Analysis of Financial Condition and Results of
Operations                                           |  |            | 13 | 
|                                                                                                                                        | 
|Item 3. Quantitative and Qualitative Disclosures About Market Risk                                                                      |  |            | 23 | 
|                                                                                                                                        | 
|Item 4. Controls and Procedures                                                                                                         |  |            | 23 | 
|                                                                                                                                        | 
|PART II. Other Information                                                                                                              |  |            |    | 
|                                                                                                                                        | 
|Item 1. Legal Proceedings                                                                                                               |  |            | 24 | 
|                                                                                                                                        | 
|Item 1A. Risk Factors                                                                                                                   |  |            | 24 | 
|                                                                                                                                        | 
|Item 6. Exhibits                                                                                                                        |  |            | 25 | 



2



---

##### Table of Contents

OLD DOMINION ELECTRIC COOPERATIVE

PART 1. FINANCIAL INFORMATION

ITEM 1. FINANCIAL STATEMENTS

CONDENSED CONSOLIDATED BALANCE SHEETS



|                                                     |  |                |           |   |                  |   |           |  
|---------------------------------------------------- |  | -------------- | --------- | - | ---------------- | - | --------- | -
|                                                     |  | March 31,2011  |           |   | December 31,2010 |  
|                                                     |  | (in thousands) |          
|                                                     |  | (unaudited)    |           |   |                  |  
|ASSETS:                                              |  |                |           |   |                  |   |           |  
|Electric Plant:                                      |  |                |           |   |                  |   |           |  
|Property, plant, and equipment                       |  | $              | 1,620,832 |   |                  | $ | 1,627,643 |  
|Less accumulated depreciation                        |  |                | (666,997  | ) |                  |   | (663,871  | )
|                                                     |  |                |           |   |                  |   |           |  
|                                                     |  |                | 953,835   |   |                  |   | 963,772   |  
|Nuclear fuel, at amortized cost                      |  |                | 18,858    |   |                  |   | 20,872    |  
|Construction work in progress                        |  |                | 33,048    |   |                  |   | 52,760    |  
|                                                     |  |                |           |   |                  |   |           |  
|Net Electric Plant                                   |  |                | 1,005,741 |   |                  |   | 1,037,404 |  
|                                                     |  |                |           |   |                  |   |           |  
|Investments:                                         |  |                |           |   |                  |   |           |  
|Nuclear decommissioning trust                        |  |                | 102,105   |   |                  |   | 97,531    |  
|Lease deposits                                       |  |                | 90,006    |   |                  |   | 89,355    |  
|Unrestricted investments and other                   |  |                | 9,923     |   |                  |   | 9,711     |  
|                                                     |  |                |           |   |                  |   |           |  
|Total Investments                                    |  |                | 202,034   |   |                  |   | 196,597   |  
|                                                     |  |                |           |   |                  |   |           |  
|Current Assets:                                      |  |                |           |   |                  |   |           |  
|Cash and cash equivalents                            |  |                | 14,767    |   |                  |   | 4,391     |  
|Accounts receivable                                  |  |                | 3,254     |   |                  |   | 23,495    |  
|Accounts receivabledeposits                         |  |                | 5,000     |   |                  |   | 3,000     |  
|Accounts receivablemembers                          |  |                | 44,509    |   |                  |   | 98,423    |  
|Fuel, materials, and supplies                        |  |                | 35,902    |   |                  |   | 35,798    |  
|Prepayments and other                                |  |                | 3,110     |   |                  |   | 3,438     |  
|                                                     |  |                |           |   |                  |   |           |  
|Total Current Assets                                 |  |                | 106,542   |   |                  |   | 168,545   |  
|                                                     |  |                |           |   |                  |   |           |  
|Deferred Charges:                                    |  |                |           |   |                  |   |           |  
|Regulatory assets                                    |  |                | 103,023   |   |                  |   | 93,199    |  
|Other                                                |  |                | 11,547    |   |                  |   | 16,690    |  
|                                                     |  |                |           |   |                  |   |           |  
|Total Deferred Charges                               |  |                | 114,570   |   |                  |   | 109,889   |  
|                                                     |  |                |           |   |                  |   |           |  
|Total Assets                                         |  | $              | 1,428,887 |   |                  | $ | 1,512,435 |  
|                                                     |  |                |           |   |                  |   |           |  
|                                                     |  |               
|CAPITALIZATION AND LIABILITIES:                      |  |                |           |   |                  |   |           |  
|Capitalization:                                      |  |                |           |   |                  |   |           |  
|Patronage capital                                    |  | $              | 342,066   |   |                  | $ | 339,678   |  
|Non-controlling interest                             |  |                | 13,142    |   |                  |   | 13,166    |  
|                                                     |  |                |           |   |                  |   |           |  
|Total Patronage capital and Non-controlling interest |  |                | 355,208   |   |                  |   | 352,844   |  
|Long-term debt                                       |  |                | 664,798   |   |                  |   | 449,798   |  
|                                                     |  |                |           |   |                  |   |           |  
|Total Capitalization                                 |  |                | 1,020,006 |   |                  |   | 802,642   |  
|                                                     |  |                |           |   |                  |   |           |  
|Current Liabilities:                                 |  |                |           |   |                  |   |           |  
|Long-term debt due within one year                   |  |                | 22,917    |   |                  |   | 238,917   |  
|Notes payable                                        |  |                |          |   |                  |   | 7,043     |  
|Accounts payable                                     |  |                | 51,461    |   |                  |   | 91,686    |  
|Accounts payablemembers                             |  |                | 49,548    |   |                  |   | 76,458    |  
|Interest rate hedge                                  |  |                |          |   |                  |   | 10,944    |  
|Accrued expenses                                     |  |                | 16,813    |   |                  |   | 4,606     |  
|Deferred energy                                      |  |                | 33,815    |   |                  |   | 45,377    |  
|                                                     |  |                |           |   |                  |   |           |  
|Total Current Liabilities                            |  |                | 174,554   |   |                  |   | 475,031   |  
|                                                     |  |                |           |   |                  |   |           |  
|Deferred Credits and Other Liabilities               |  |                |           |   |                  |   |           |  
|Asset retirement obligations                         |  |                | 68,762    |   |                  |   | 67,876    |  
|Obligations under long-term leases                   |  |                | 65,920    |   |                  |   | 64,801    |  
|Regulatory liabilities                               |  |                | 88,037    |   |                  |   | 87,406    |  
|Other                                                |  |                | 11,608    |   |                  |   | 14,679    |  
|                                                     |  |                |           |   |                  |   |           |  
|Total Deferred Credits and Other Liabilities         |  |                | 234,327   |   |                  |   | 234,762   |  
|                                                     |  |                |           |   |                  |   |           |  
|Commitments and Contingencies                        |  |                |          |   |                  |   |          |  
|                                                     |  |                |           |   |                  |   |           |  
|Total Capitalization and Liabilities                 |  | $              | 1,428,887 |   |                  | $ | 1,512,435 |  
|                                                     |  |                |           |   |                  |   |           |  

The accompanying notes are an integral part of the condensed consolidated financial statements.



3



---

##### Table of Contents

OLD DOMINION ELECTRIC COOPERATIVE

CONDENSED CONSOLIDATED STATEMENTS OF REVENUES,

EXPENSES, AND PATRONAGE CAPITAL (UNAUDITED)



|                                                  |  |                             |         |   |      |   |         |  
|------------------------------------------------- |  | --------------------------- | ------- | - | ---- | - | ------- | -
|                                                  |  | Three Months
EndedMarch 31, |        
|                                                  |  | 2011                        |         |   | 2010 |  
|                                                  |  | (in thousands)              |        
|                                                  |  |                            
|Operating Revenues                                |  | $                           | 232,095 |   |      | $ | 175,657 |  
|                                                  |  |                            
|Operating Expenses:                               |  |                             |         |   |      |   |         |  
|Fuel                                              |  |                             | 35,215  |   |      |   | 28,423  |  
|Purchased power                                   |  |                             | 161,259 |   |      |   | 91,524  |  
|Deferred energy                                   |  |                             | (11,562 | ) |      |   | 8,071   |  
|Operations and maintenance                        |  |                             | 8,276   |   |      |   | 8,898   |  
|Administrative and general                        |  |                             | 10,030  |   |      |   | 12,605  |  
|Depreciation, amortization, and decommissioning   |  |                             | 10,331  |   |      |   | 10,334  |  
|Amortization of regulatory asset/(liability), net |  |                             | 1,084   |   |      |   | 967     |  
|Accretion of asset retirement obligations         |  |                             | 885     |   |      |   | 809     |  
|Taxes, other than income taxes                    |  |                             | 2,227   |   |      |   | 2,081   |  
|                                                  |  |                             |         |   |      |   |         |  
|Total Operating Expenses                          |  |                             | 217,745 |   |      |   | 163,712 |  
|                                                  |  |                             |         |   |      |   |         |  
|Operating Margin                                  |  |                             | 14,350  |   |      |   | 11,945  |  
|                                                  |  |                             |         |   |      |   |         |  
|Other expense, net                                |  |                             | (1,681  | ) |      |   | (442    | )
|Investment income                                 |  |                             | 1,385   |   |      |   | 1,296   |  
|Interest charges, net                             |  |                             | (11,695 | ) |      |   | (10,638 | )
|Income taxes                                      |  |                             | 5       |   |      |   | 6       |  
|                                                  |  |                             |         |   |      |   |         |  
|Net Margin including Non-controlling interest     |  |                             | 2,364   |   |      |   | 2,167   |  
|Non-controlling Interest                          |  |                             | 24      |   |      |   | 24      |  
|                                                  |  |                             |         |   |      |   |         |  
|Net Margin attributable to ODEC                   |  |                             | 2,388   |   |      |   | 2,191   |  
|Patronage Capital - Beginning of Period           |  |                             | 339,678 |   |      |   | 329,520 |  
|                                                  |  |                             |         |   |      |   |         |  
|Patronage Capital - End of Period                 |  | $                           | 342,066 |   |      | $ | 331,711 |  
|                                                  |  |                             |         |   |      |   |         |  

The accompanying notes are an integral part of the condensed consolidated financial statements.



4



---

##### Table of Contents

OLD DOMINION ELECTRIC COOPERATIVE

CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED)



|                                                                                  |  |                             |         |   |      |   |          |  
|--------------------------------------------------------------------------------- |  | --------------------------- | ------- | - | ---- | - | -------- | -
|                                                                                  |  | Three Months
EndedMarch 31, |        
|                                                                                  |  | 2011                        |         |   | 2010 |  
|                                                                                  |  | (in thousands)              |        
|                                                                                  |  |                            
|Operating Activities:                                                             |  |                             |         |   |      |   |          |  
|Net Margin including Non-controlling interest                                     |  | $                           | 2,364   |   |      | $ | 2,167    |  
|Adjustments to reconcile net margin to net cash provided by operating activities: |  |                             |         |   |      |   |          |  
|Depreciation, amortization, and decommissioning                                   |  |                             | 10,331  |   |      |   | 10,334   |  
|Other non-cash charges                                                            |  |                             | 3,025   |   |      |   | 2,499    |  
|Amortization of lease obligations                                                 |  |                             | 1,119   |   |      |   | 1,045    |  
|Interest on lease deposits                                                        |  |                             | (651    | ) |      |   | (636     | )
|Change in current assets                                                          |  |                             | 72,379  |   |      |   | 11,713   |  
|Change in deferred energy                                                         |  |                             | (11,562 | ) |      |   | 8,071    |  
|Change in current liabilities                                                     |  |                             | (54,928 | ) |      |   | 10,705   |  
|Change in regulatory assets and liabilities                                       |  |                             | (1,617  | ) |      |   | (5,119   | )
|Change in deferred charges and credits                                            |  |                             | 2,338   |   |      |   | (144     | )
|                                                                                  |  |                             |         |   |      |   |          |  
|Net Cash Provided by Operating Activities                                         |  |                             | 22,798  |   |      |   | 40,635   |  
|                                                                                  |  |                             |         |   |      |   |          |  
|                                                                                  |  |                            
|Financing Activities:                                                             |  |                             |         |   |      |   |          |  
|Payment of long-term debt                                                         |  |                             | (1,000  | ) |      |   |         |  
|Draws on revolving credit facilities                                              |  |                             | 51,772  |   |      |   | 82,769   |  
|Repayments on revolving credit facilities                                         |  |                             | (58,815 | ) |      |   | (109,723 | )
|                                                                                  |  |                             |         |   |      |   |          |  
|Net Cash Used for Financing Activities                                            |  |                             | (8,043  | ) |      |   | (26,954  | )
|                                                                                  |  |                             |         |   |      |   |          |  
|                                                                                  |  |                            
|Investing Activities:                                                             |  |                             |         |   |      |   |          |  
|Increase in other investments                                                     |  |                             | (1,256  | ) |      |   | (1,078   | )
|Electric plant additions                                                          |  |                             | (4,310  | ) |      |   | (9,142   | )
|Amortization of loss on auction rate securities recorded as a regulatory asset    |  |                             | 1,394   |   |      |   |         |  
|Gain on investments                                                               |  |                             | (207    | ) |      |   |         |  
|                                                                                  |  |                             |         |   |      |   |          |  
|Net Cash Used for Investing Activities                                            |  |                             | (4,379  | ) |      |   | (10,220  | )
|                                                                                  |  |                             |         |   |      |   |          |  
|Net Change in Cash and Cash Equivalents                                           |  |                             | 10,376  |   |      |   | 3,461    |  
|Cash and Cash Equivalents - Beginning of Period                                   |  |                             | 4,391   |   |      |   | 6,278    |  
|                                                                                  |  |                             |         |   |      |   |          |  
|Cash and Cash Equivalents - End of Period                                         |  | $                           | 14,767  |   |      | $ | 9,739    |  
|                                                                                  |  |                             |         |   |      |   |          |  

The accompanying notes are an integral part of the condensed consolidated financial statements.



5



---

##### Table of Contents

OLD DOMINION ELECTRIC COOPERATIVE

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS



|1. | In the opinion of our management, the accompanying unaudited condensed consolidated financial statements contain all adjustments, which include only normal recurring
adjustments, necessary for a fair statement of our consolidated financial position as of March 31, 2011, and our consolidated results of operations, and cash flows for the three months ended March 31, 2011 and 2010. The consolidated
results of operations for the three months ended March 31, 2011, are not necessarily indicative of the results to be expected for the entire year. These financial statements should be read in conjunction with the financial statements and notes
thereto included in our 2010 Annual Report on Form 10-K filed with the Securities and Exchange Commission.
|-- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|2. | Presentation
|-- | ------------

The
accompanying financial statements reflect the consolidated accounts of Old Dominion Electric Cooperative (ODEC or we or our) and TEC Trading, Inc. (TEC). We are a not-for-profit wholesale power supply
cooperative, incorporated under the laws of the Commonwealth of Virginia in 1948. We have two classes of members. Our Class A members are eleven customer-owned electric distribution cooperatives engaged in the retail sale of power to member
consumers located in Virginia, Delaware, and Maryland. Our sole Class B member is TEC, a taxable corporation owned by our member distribution cooperatives. Our board of directors is composed of two representatives from each of the member
distribution cooperatives and one representative from TEC. In accordance with Consolidation Accounting, TEC is considered a variable interest entity for which we are the primary beneficiary. We have eliminated all intercompany balances and
transactions in consolidation. The assets and liabilities and non-controlling interest of TEC are recorded at carrying value and the net assets consolidated were $13.1 million and $13.2 million at March 31, 2011, and December 31, 2010,
respectively. The income taxes reported on our Condensed Consolidated Statement of Revenues, Expenses, and Patronage Capital relate to the tax provision for TEC. As TEC is 100% owned by our Class A members, its equity is presented as a
non-controlling interest in our consolidated financial statements.

Our rates are set periodically by a formula that was
accepted for filing by the Federal Energy Regulatory Commission (FERC), but are not regulated by the respective states public service commissions.

We comply with the Uniform System of Accounts as prescribed by FERC. In conformity with accounting principles generally accepted in the United States (GAAP), the accounting policies and
practices applied by us in the determination of rates are also employed for financial reporting purposes.

The preparation of
our consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported therein. Actual results could differ from those estimates.

We do not have any other comprehensive income for the periods presented.

Certain reclassifications have been made to the prior years consolidated financial statements to conform to the current years
presentation.



|3. | Fair Value Measurements
|-- | -----------------------

The fair value hierarchy gives the highest priority to quoted prices in active markets (Level 1) and the lowest priority to unobservable
data (Level 3). In some cases, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The lowest level input that is significant to a fair value measurement in its entirety determines the applicable level
in the fair value hierarchy. Assessing the significance of a particular input to the fair value measurement in its entirety requires judgment, considering factors specific to the asset or liability.



6



---

##### Table of Contents

The following table summarizes our financial assets and liabilities measured at fair value
on a recurring basis as of March 31, 2011, and December 31, 2010:



|                                            |  |                  |         |  |                                                           |   |         |                                           |  |   |                                         |  |  |   |       | 
|------------------------------------------- |  | ---------------- | ------- |  | --------------------------------------------------------- | - | ------- | ----------------------------------------- |  | - | --------------------------------------- |  |  | - | ----- | 
|                                            |  | March 31,2011    |         |  | Quoted Pricesin ActiveMarkets forIdenticalAssets(Level 1) |   |         | SignificantOtherObservableInputs(Level 2) |  |   | SignificantUnobservableInputs(Level
 3) | 
|                                            |  | (in thousands)   |        
|Nuclear decommissioning trust(1)            |  | $                | 102,105 |  |                                                           | $ | 102,105 |                                           |  | $ |                                        |  |  | $ |      | 
|Unrestricted investments and other(2)(3)    |  |                  | 8,154   |  |                                                           |   | 85      |                                           |  |   |                                        |  |  |   | 8,069 | 
|Derivatives  renewable energy credit sales |  |                  | 300     |  |                                                           |   |        |                                           |  |   | 300                                     |  |  |   |      | 
|                                            |  |                  |         |  |                                                           |   |         |                                           |  |   |                                         |  |  |   |       | 
|Total Financial Assets                      |  | $                | 110,559 |  |                                                           | $ | 102,190 |                                           |  | $ | 300                                     |  |  | $ | 8,069 | 
|                                            |  |                  |         |  |                                                           |   |         |                                           |  |   |                                         |  |  |   |       | 
|                                            |  |                  |         | 
|Derivatives(4)                              |  | $                | 4,178   |  |                                                           | $ | 4,178   |                                           |  | $ |                                        |  |  | $ |      | 
|                                            |  |                  |         |  |                                                           |   |         |                                           |  |   |                                         |  |  |   |       | 
|Total Financial Liabilities                 |  | $                | 4,178   |  |                                                           | $ | 4,178   |                                           |  | $ |                                        |  |  | $ |      | 
|                                            |  |                  |         |  |                                                           |   |         |                                           |  |   |                                         |  |  |   |       | 
|                                            |  |                  |         | 
|                                            |  | December 31,2010 |         |  | Quoted Pricesin ActiveMarkets forIdenticalAssets(Level 1) |   |         | SignificantOtherObservableInputs(Level 2) |  |   | SignificantUnobservableInputs(Level
 3) | 
|                                            |  | (in thousands)   |        
|Nuclear decommissioning trust(1)            |  | $                | 97,531  |  |                                                           | $ | 97,531  |                                           |  | $ |                                        |  |  | $ |      | 
|Unrestricted investments and other(2)(3)    |  |                  | 7,942   |  |                                                           |   | 80      |                                           |  |   |                                        |  |  |   | 7,862 | 
|Derivatives  renewable energy credit sales |  |                  | 257     |  |                                                           |   |        |                                           |  |   | 257                                     |  |  |   |      | 
|                                            |  |                  |         |  |                                                           |   |         |                                           |  |   |                                         |  |  |   |       | 
|Total Financial Assets                      |  | $                | 105,730 |  |                                                           | $ | 97,611  |                                           |  | $ | 257                                     |  |  | $ | 7,862 | 
|                                            |  |                  |         |  |                                                           |   |         |                                           |  |   |                                         |  |  |   |       | 
|                                            |  |                  |         | 
|Derivatives  gas and power(4)              |  | $                | 6,904   |  |                                                           | $ | 6,831   |                                           |  | $ | 73                                      |  |  | $ |      | 
|Derivative  interest rate hedge(5)         |  |                  | 10,944  |  |                                                           |   |        |                                           |  |   | 10,944                                  |  |  |   |      | 
|                                            |  |                  |         |  |                                                           |   |         |                                           |  |   |                                         |  |  |   |       | 
|Total Financial Liabilities                 |  | $                | 17,848  |  |                                                           | $ | 6,831   |                                           |  | $ | 11,017                                  |  |  | $ |      | 
|                                            |  |                  |         |  |                                                           |   |         |                                           |  |   |                                         |  |  |   |       | 



|(1) | For additional
information about our nuclear decommissioning trust see Note 9 of the Notes to Consolidated Financial Statements in our 2010 Annual Report on Form 10-K.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(2) | Unrestricted investments and other includes investments that were available for sale and classified as Level 1 related to equity securities.
|--- | --------------------------------------------------------------------------------------------------------------------------------------------

|(3) | Unrestricted investments and other includes investments that were classified as Level 3 and were trading securities as of March 31, 2011 and were
available for sale as of December 31, 2010. As of March 31, 2011 and December 31, 2010, we had $16.8 million of principal invested in five auction rate securities and preferred stock (ARS). As of March 31, 2011 and
December 31, 2010, the ARS had a fair value of $8.1 million and $7.9 million, respectively. For the three months ended March 31, 2011, we had an unrealized gain of $0.2 million related to the increase in the fair value of the ARS which was
recorded as gain on investments in other expense, net, in our Condensed Consolidated Statements of Revenues, Expenses, and Patronage Capital. As of December 31, 2010, we had an unrealized loss of $5.6 million related to the decline in the fair
value of our ARS which was recorded as a regulatory asset in accordance with Accounting for Regulated Operations. For the three months ended March 31, 2011, we amortized $1.4 million of this regulatory asset which was recorded as loss on
investments in other expense, net, in our Condensed Consolidated Statements of Revenues, Expenses, and Patronage Capital. For additional information, see Notes 9 and 10 of the Notes to Consolidated Financial Statements in our 2010 Annual Report on
Form 10-K.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(4) | Derivativesgas and power represent natural gas futures contracts and purchased power contracts. For additional information about our derivative
financial instruments, see Notes 1 and 4 of the Notes to Consolidated Financial Statements in our 2010 Annual Report on Form 10-K.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(5) | Derivativeinterest rate hedge represents the fair value of the interest rate hedge. On May 14, 2010, we entered into an interest rate hedge
with an initial notional amount of $300.0 million and a settlement rate tied to the 30-year U.S. Treasury bond. At December 31, 2010, the fair value of this interest rate hedge was a liability of $10.9 million, which is recorded on our balance
sheet as a current liability. On January 21, 2011, we terminated the interest rate hedge in accordance with the terms of the transaction, resulting in a settlement payment of $3.4 million, the fair value of the hedge as of that date. The $3.4
million is recorded as a regulatory asset and will be amortized over the life of the long-term debt we issued on April 7, 2011.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



7



---

##### Table of Contents

The following table presents the net change in the assets and liabilities measured at fair
value on a recurring basis and included in the Level 3 fair value category for the three months ended March 31, 2011:



|                                     |  |                                |       | 
|------------------------------------ |  | ------------------------------ | ----- | 
|                                     |  | ThreeMonthsEndedMarch 
31,2011 |      
|                                     |  | (in thousands)                 |      
|Balance at January 1, 2011           |  | $                              | 7,862 | 
|Total unrealized gain:               |  |                                |       | 
|Included in gain on investments      |  |                                | 207   | 
|Purchases, issuances and settlements |  |                                |      | 
|Transfers out of Level 3             |  |                                |      | 
|                                     |  |                                |       | 
|Balance at March 31, 2011            |  | $                              | 8,069 | 
|                                     |  |                                |       | 

The unrealized gain (change in fair value) was reported in other expense, net in our Condensed Consolidated
Statements of Revenues, Expenses, and Patronage Capital as of March 31, 2011.



|4. | Derivatives and Hedging:
|-- | ------------------------

We are exposed to market purchases of power and natural gas to meet the power supply needs of our member distribution cooperatives that
are not met by our owned generation. To manage this exposure, we utilize derivative contracts. See Note 1 of the Notes to Consolidated Financial Statements in our 2010 Annual Report on Form 10-K.

Changes in the fair value of our derivative instruments are recorded as a regulatory asset or regulatory liability. The change in these
accounts is included in the operating section of our statement of cash flows.

Excluding contracts accounted for as normal
purchase/normal sale, we had the following outstanding derivative instruments:



|                         |  |                 |  |                             |           |  |                                |  |             | 
|------------------------ |  | --------------- |  | --------------------------- | --------- |  | ------------------------------ |  | ----------- | 
|Commodity                |  | Unit of Measure |  | As ofMarch 31, 2011Quantity |           |  | As
ofDecember 31, 2010Quantity | 
|Natural gas              |  | MMBTU           |  |                             | 3,890,000 |  |                                |  | 4,610,000   | 
|Purchased power          |  | MWh             |  |                             |          |  |                                |  | 161,632     | 
|Renewable energy credits |  | REC             |  |                             | 40,000    |  |                                |  | 40,000      | 
|Interest rate hedge      |  | US Dollars      |  |                             |          |  |                                |  | 300,000,000 | 



8



---

##### Table of Contents

The fair value of our derivative instruments, excluding contracts accounted for as normal
purchase/normal sale, was as follows:

Fair Value of Derivative Instruments



|                                                                            |  |                                              |       |                    |       |   |                       |   |        | 
|--------------------------------------------------------------------------- |  | -------------------------------------------- | ----- | ------------------ | ----- | - | --------------------- | - | ------ | 
|                                                                            |  |                                              |       | Fair Value         |      
|                                                                            |  | Balance Sheet Location                       |       | As ofMarch 31,2011 |       |   | As ofDecember 31,2010 |  
|                                                                            |  | (in thousands)                               |      
|Derivatives in an asset position designated as hedging instruments:         |  |                                              |       |                    |       |   |                       |  
|Renewable energy credit sales                                               |  | Prepayments and other                        |       | $                  | 300   |   |                       | $ | 257    | 
|                                                                            |  |                                              |       |                    |       |   |                       |   |        | 
|Total derivatives in an asset position designated as hedging instruments    |  | $                                            | 300   |                    |       | $ | 257                   |  
|                                                                            |  |                                              |       |                    |       |   |                       |   |        | 
|                                                                            |  |                                             
|Derivatives in a liability position designated as hedging instruments:      |  |                                              |       |                    |       |   |                       |  
|Natural gas futures contracts                                               |  | Deferred credits and other liabilities-other |       | $                  | 4,178 |   |                       | $ | 6,831  | 
|Purchased power contracts                                                   |  | Deferred credits and other liabilities-other |       |                    |      |   |                       |   | 73     | 
|Interest rate hedge                                                         |  | Interest rate hedge                          |       |                    |      |   |                       |   | 10,944 | 
|                                                                            |  |                                              |       |                    |       |   |                       |   |        | 
|Total derivatives in a liability position designated as hedging instruments |  | $                                            | 4,178 |                    |       | $ | 17,848                |  
|                                                                            |  |                                              |       |                    |       |   |                       |   |        | 

The Effect of Derivative Instruments on the Statement of Revenues, Expenses, and Patronage Capital

for the Three Months Ended March 31, 2011 and March 31, 2010



|                                                          |  |                                                                                              |        |   |                                                                              |   |                                                                                                              |   |  |                   |  |   |        |   |  |   |        |  
|--------------------------------------------------------- |  | -------------------------------------------------------------------------------------------- | ------ | - | ---------------------------------------------------------------------------- | - | ------------------------------------------------------------------------------------------------------------ | - |  | ----------------- |  | - | ------ | - |  | - | ------ | -
|Derivatives Accounted for Utilizing Regulatory Accounting |  | Amount ofGain (Loss)Recognized
withinRegulatoryAsset/Liability forDerivatives as ofMarch 31, |        |   | Location of Gain(Loss) Reclassifiedfrom RegulatoryAsset/Liability intoIncome |   | Amount ofGain (Loss)Reclassified
fromRegulatoryAsset/Liability intoIncome for theThree MonthsEnded March 31, |  
|                                                          |  | 2011                                                                                         |        |   | 2010                                                                         |   |                                                                                                              |   |  | 2011              |  |   | 2010   |  
|                                                          |  | (in thousands)                                                                               |        |   |                                                                              |   | (in thousands)                                                                                               |  
|Natural gas futures contracts(1)                          |  | $                                                                                            | (4,257 | ) |                                                                              | $ | (9,295                                                                                                       | ) |  | Fuel              |  | $ | (3,304 | ) |  | $ | (1,049 | )
|Renewable energy credit sales                             |  |                                                                                              | 300    |   |                                                                              |   |                                                                                                             |   |  | Operating revenue |  |   |       |   |  |   |       |  
|Purchased power contracts                                 |  |                                                                                              |       |   |                                                                              |   |                                                                                                             |   |  | Purchased power   |  |   | 483    |   |  |   | (365   | )
|                                                          |  |                                                                                              |        |   |                                                                              |   |                                                                                                              |   |  |                   |  |   |        |   |  |   |        |  
|Total                                                     |  | $                                                                                            | (3,957 | ) |                                                                              | $ | (9,295                                                                                                       | ) |  |                   |  | $ | (2,821 | ) |  | $ | (1,414 | )
|                                                          |  |                                                                                              |        |   |                                                                              |   |                                                                                                              |   |  |                   |  |   |        |   |  |   |        |  



|(1) | For 2011, includes
$78.8 thousand of loss on natural gas futures contracts designated for April 2011 that were physically sold in March 2011 and the impact on the Condensed Consolidated Statements of Revenues, Expenses, and Patronage Capital has been deferred until
April 2011. For 2010, includes $77.4 thousand of loss on natural gas futures contracts designated for April 2010 that were physically sold in March 2010 and the impact on the Condensed Consolidated Statements of Revenues, Expenses, and Patronage
Capital was deferred until April 2010.
|--- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

Our hedging activities expose us to credit-related risks. We use
hedging instruments, including forwards, futures, financial transmission rights, and options, to manage our power market price risks. Because we rely substantially on the use of hedging instruments, we are exposed to the risk that counterparties
will default in performance of their obligations to us. Although we assess the creditworthiness of counterparties and other credit issues related to these purchases, and we may require our counterparties to post collateral with us, defaults may
still occur. Defaults may take the form of failure to physically deliver the purchased energy or failure to pay. If this occurs, we may be forced to enter into alternative contractual arrangements or purchase energy in the forward, short-term or
spot markets at then-current market prices that may be more or less than the prices previously agreed upon with the defaulting counterparty.



9



---

##### Table of Contents

|5. | Investments
|-- | -----------

Investments
were as follows at March 31, 2011 and December 31, 2010:



|                                     |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|------------------------------------ |  | ------------------ | ------ | -------------- | ------ | - | -------------------- | - | ------ | --------------------- | ------ | - | -------------------- | - | ------- | ------------- | ------- | - | ------- | - | ------ | 
|Description                          |  | Designation        |        | Cost           |        |   | GrossUnrealizedGains |   |        | GrossUnrealizedLosses |        |   | FairValue            |   |         | CarryingValue |        
|                                     |  |                    |        | (in thousands) |       
|March 31, 2011                       |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|                                     |  |                    |        |                |        |  
|Nuclear decommissioning trust(1)     |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|Debt securities                      |  | Available for sale |        | $              | 41,427 |   |                      | $ | 1,281  |                       |        | $ |                     |   |         | $             | 42,708  |   |         | $ | 42,708 | 
|Equity securities                    |  | Available for sale |        |                | 49,422 |   |                      |   | 11,544 |                       |        |   | (1,785               | ) |         |               | 59,181  |   |         |   | 59,181 | 
|Cash and other                       |  | Available for sale |        |                | 216    |   |                      |   |       |                       |        |   |                     |   |         |               | 216     |   |         |   | 216    | 
|                                     |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|Total Nuclear Decommissioning Trust  |  | $                  | 91,065 |                |        | $ | 12,825               |   |        | $                     | (1,785 | ) |                      | $ | 102,105 |               |         | $ | 102,105 |  
|                                     |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|                                     |  |                    |        |                |        |  
|Lease deposits(2)                    |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|Government obligations               |  | Held to maturity   |        | $              | 90,006 |   |                      | $ | 160    |                       |        | $ | (1,353               | ) |         | $             | 88,813  |   |         | $ | 90,006 | 
|                                     |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|Total Lease Deposits                 |  |                    |        | $              | 90,006 |   |                      | $ | 160    |                       |        | $ | (1,353               | ) |         | $             | 88,813  |   |         | $ | 90,006 | 
|                                     |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|                                     |  |                    |        |                |        |  
|Unrestricted investments(3)          |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|Debt securities                      |  | Trading securities |        | $              | 7,917  |   |                      | $ |       |                       |        | $ |                     |   |         | $             | 7,917   |   |         | $ | 7,917  | 
|Equity securities                    |  | Trading securities |        |                | 152    |   |                      |   |       |                       |        |   |                     |   |         |               | 152     |   |         |   | 152    | 
|                                     |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|Total Unrestricted Investments       |  |                    |        | $              | 8,069  |   |                      | $ |       |                       |        | $ |                     |   |         | $             | 8,069   |   |         | $ | 8,069  | 
|                                     |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|                                     |  |                    |        |                |        |  
|Other                                |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|Equity securities                    |  | Available for sale |        | $              | 78     |   |                      | $ | 7      |                       |        | $ |                     |   |         | $             | 85      |   |         | $ | 85     | 
|Non-marketable equity investments(4) |  | Equity             |        |                | 1,769  |   |                      |   |       |                       |        |   |                     |   |         |               | 1,769   |   |         |   | 1,769  | 
|                                     |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|Total Other                          |  |                    |        | $              | 1,847  |   |                      | $ | 7      |                       |        | $ |                     |   |         | $             | 1,854   |   |         | $ | 1,854  | 
|                                     |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|                                     |  |                    |        |                |        |   |                      |   |        |                       |        |   | Total Carrying Value |   |         | $             | 202,034 |  
|                                     |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|                                     |  |                    |        |                |        |  
|December 31, 2010                    |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|                                     |  |                    |        |                |        |  
|Nuclear decommissioning trust(1)     |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|Debt securities                      |  | Available for sale |        | $              | 41,049 |   |                      | $ | 839    |                       |        | $ |                     |   |         | $             | 41,888  |   |         | $ | 41,888 | 
|Equity securities                    |  | Available for sale |        |                | 48,522 |   |                      |   | 9,095  |                       |        |   | (2,211               | ) |         |               | 55,406  |   |         |   | 55,406 | 
|Cash and other                       |  | Available for sale |        |                | 237    |   |                      |   |       |                       |        |   |                     |   |         |               | 237     |   |         |   | 237    | 
|                                     |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|Total Nuclear Decommissioning Trust  |  | $                  | 89,808 |                |        | $ | 9,934                |   |        | $                     | (2,211 | ) |                      | $ | 97,531  |               |         | $ | 97,531  |  
|                                     |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|                                     |  |                    |        |                |        |  
|Lease deposits(2)                    |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|Government obligations               |  | Held to maturity   |        | $              | 89,355 |   |                      | $ | 185    |                       |        | $ | (405                 | ) |         | $             | 89,135  |   |         | $ | 89,355 | 
|                                     |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|Total Lease Deposits                 |  |                    |        | $              | 89,355 |   |                      | $ | 185    |                       |        | $ | (405                 | ) |         | $             | 89,135  |   |         | $ | 89,355 | 
|                                     |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|                                     |  |                    |        |                |        |  
|Unrestricted investments(5)          |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|Debt securities                      |  | Available for sale |        | $              | 7,723  |   |                      | $ |       |                       |        | $ |                     |   |         | $             | 7,723   |   |         | $ | 7,723  | 
|Equity securities                    |  | Available for sale |        |                | 139    |   |                      |   |       |                       |        |   |                     |   |         |               | 139     |   |         |   | 139    | 
|                                     |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|Total Unrestricted Investments       |  |                    |        | $              | 7,862  |   |                      | $ |       |                       |        | $ |                     |   |         | $             | 7,862   |   |         | $ | 7,862  | 
|                                     |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|                                     |  |                    |        |                |        |  
|Other                                |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|Equity securities                    |  | Available for sale |        | $              | 78     |   |                      | $ | 2      |                       |        | $ |                     |   |         | $             | 80      |   |         | $ | 80     | 
|Non-marketable equity investments(4) |  | Equity             |        |                | 1,769  |   |                      |   |       |                       |        |   |                     |   |         |               | 1,769   |   |         |   | 1,769  | 
|                                     |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|Total Other                          |  |                    |        | $              | 1,847  |   |                      | $ | 2      |                       |        | $ |                     |   |         | $             | 1,849   |   |         | $ | 1,849  | 
|                                     |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 
|                                     |  |                    |        |                |        |   |                      |   |        |                       |        |   | Total Carrying Value |   |         | $             | 196,597 |  
|                                     |  |                    |        |                |        |   |                      |   |        |                       |        |   |                      |   |         |               |         |   |         |   |        | 



|(1) | Investments in the nuclear decommissioning trust are restricted for the use of funding our share of the asset retirement obligations of the future
decommissioning of North Anna. See Note 3 of the Notes to Consolidated Financial Statements in our 2010 Annual Report on Form 10-K. Realized and unrealized gains and losses related to assets held in the nuclear decommissioning trust are deferred as
a regulatory asset or liability.
|--- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(2) | Investments in lease deposits are restricted for the use of funding our future lease obligations. See Note 8 of the Notes to Consolidated Financial
Statements in our 2010 Annual Report on Form 10-K.
|--- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(3) | Effective January 1, 2011, we began accounting for ARS as trading securities.
|--- | -----------------------------------------------------------------------------

|(4) | We believe the carrying value approximates fair value for our equity investments.
|--- | ---------------------------------------------------------------------------------

|(5) | The cost represents investments in ARS with a principal value of $16.8 million. The cost has been written down by $9.0 million due to the fair value
adjustment. During 2010, we amortized $3.4 million of the regulatory asset as loss on investment and we have deferred the remaining balance of $5.6 million as a regulatory asset in accordance with Accounting for Regulated Operations. See Note 10 of
the Notes to Consolidated Financial Statements in our 2010 Annual Report on Form 10-K.
|--- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



10



---

##### Table of Contents

Our investments by classification at March 31, 2011 and December 31, 2010, were as
follows:



|                   |  |                |         |  |                   |   |         |      |  |   |               |  |  |   |         | 
|------------------ |  | -------------- | ------- |  | ----------------- | - | ------- | ---- |  | - | ------------- |  |  | - | ------- | 
|                   |  | March 31, 2011 |         |  | December 31, 2010 |  
|Description        |  | Cost           |         |  | CarryingValue     |   |         | Cost |  |   | CarryingValue | 
|                   |  | (in thousands) |        
|Available for sale |  | $              | 91,143  |  |                   | $ | 102,190 |      |  | $ | 97,748        |  |  | $ | 105,473 | 
|Held to maturity   |  |                | 90,006  |  |                   |   | 90,006  |      |  |   | 89,355        |  |  |   | 89,355  | 
|Trading securities |  |                | 8,069   |  |                   |   | 8,069   |      |  |   |              |  |  |   |        | 
|Equity             |  |                | 1,769   |  |                   |   | 1,769   |      |  |   | 1,769         |  |  |   | 1,769   | 
|                   |  |                |         |  |                   |   |         |      |  |   |               |  |  |   |         | 
|                   |  | $              | 190,987 |  |                   | $ | 202,034 |      |  | $ | 188,872       |  |  | $ | 196,597 | 
|                   |  |                |         |  |                   |   |         |      |  |   |               |  |  |   |         | 



|6. | Other
|-- | -----

Indebtedness

On January 24, 2011, our Indenture of Mortgage and Deed of Trust, dated as of May 1, 1992, was terminated as the
result of the redemption of $1.0 million of outstanding obligations issued prior to September 1, 2001. Following the redemption of these obligations, the Amended and Restated Indenture, dated as of September 1, 2001 (the 2001
Indenture), became effective.

On January 26, 2011, we entered into the Second Amended and Restated Indenture of
Mortgage and Deed of Trust (the New Indenture) with Branch Banking and Trust Company, as trustee, and terminated the 2001 Indenture. The New Indenture subjects substantially all of our real property and tangible personal property and
some of our intangible personal property to a lien in favor of the trustee. The obligations outstanding under the New Indenture are secured equally and ratably with all of our other obligations issued under the indenture, including pre-existing
obligations issued under the indenture, as previously in effect.

In May 2010, we entered into an interest rate hedge
transaction to mitigate a portion of the exposure to fluctuations in long-term interest rates related to the issuance of long-term debt and the refinancing of our $215.0 million 2001 Series A Bonds. On January 21, 2011, we terminated the
interest rate hedge in accordance with the terms of the transaction, resulting in a settlement payment of $3.4 million, the fair value of the hedge as of that date. On April 7, 2011, we issued $350.0 million of first mortgage bonds in a private
placement. The bonds consist of $90.0 million of 4.83% First Mortgage Bonds, 2011 Series A due December 1, 2040; $165.0 million of 5.54% First Mortgage Bonds, 2011 Series B due December 1, 2040; and $95.0 million of 5.54% First Mortgage
Bonds, 2011 Series C due December 1, 2050. The $3.4 million settlement payment related to the interest rate hedge transaction was recorded as a regulatory asset and will be amortized over the life of the long-term debt we issued on
April 7, 2011. The proceeds of the issuances will be used to repay our $215.0 million First Mortgage Bonds, 2001 Series A due June 1, 2011 and for general corporate purposes.

Decision not to participate in an additional unit at the North Anna Nuclear Power Station (North Anna)

In February 2011, we made the determination not to participate in an additional nuclear-powered generating unit at North Anna as discussed
in a press release we issued on February 28, 2011. We are currently working with Virginia Electric and Power Company (Virginia Power) on the logistics of our withdrawal as a participant in the project. As of
December 31, 2010, we had $21.3 million of construction work in progress related to the potential additional unit at North Anna and had incurred approximately $1.8 million in financing-related costs that were included in deferred
chargesother. Through February 2011, we had recorded $23.2 million of construction work in progress related to the potential additional unit at North Anna. As of March 31, 2011, we established a regulatory asset and reclassified
the $23.2 million of construction work in progress to the regulatory asset due to the uncertainty of the recovery of these costs from Virginia Power. The $1.8 million in financing-related costs were expensed in the first quarter of 2011 as
administrative and general expense. We will continue to incur costs related to the additional unit at North Anna until our withdrawal is finalized. As of March 31, 2011, we have incurred approximately $1.3 million of additional costs since
our decision not to participate in the additional unit at North Anna and these costs have been recorded as accounts receivable, as we expect reimbursement from Virginia Power upon the finalization of our withdrawal. These amounts are not
expected to have a material impact on our financial position or results of operations due to our ability to collect such amounts through rates charged to our member distribution cooperatives.



11



---

##### Table of Contents

|7. | Subsequent Event
|-- | ----------------

On
April 13, 2011, our Board of Directors approved an increase to our fuel factor adjustment rate, resulting in an increase to our total energy rate of approximately 0.6%, effective April 1, 2011. This increase was implemented due to the
changes in our realized as well as projected energy costs.



12



---

##### Table of Contents

OLD DOMINION ELECTRIC COOPERATIVE

ITEM 2. MANAGEMENTS DISCUSSION AND ANALYSIS

OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

Caution Regarding Forward-Looking
Statements

Managements Discussion and Analysis of Financial Condition and Results of Operations contains forward
looking statements regarding matters that could have an impact on our business, financial condition, and future operations. These statements, based on our expectations and estimates, are not guarantees of future performance and are subject to risks,
uncertainties, and other factors that could cause actual results to differ materially from those expressed in the forward looking statements. These risks, uncertainties, and other factors include, but are not limited to, general business conditions,
demand for energy, federal and state legislative and regulatory actions and legal and administrative proceedings, changes in and compliance with environmental laws and policies, general credit and capital market conditions, weather conditions, the
cost of commodities used in our industry, and unanticipated changes in operating expenses and capital expenditures. Our actual results may vary materially from those discussed in the forward looking statements as a result of these and other factors.
Any forward looking statement speaks only as of the date on which the statement is made, and we undertake no obligation to update any forward looking statement or statements to reflect events or circumstances after the date on which the statement is
made even if new information becomes available or other events occur in the future.

Critical Accounting Policies

As of March 31, 2011, there have been no significant changes in our critical accounting policies as disclosed in our 2010 Annual
Report on Form 10-K. These policies include the accounting for rate regulation, deferred energy, margin stabilization plan, accounting for asset retirement obligations, and accounting for derivative contracts.

Basis of Presentation

The accompanying financial statements reflect the consolidated accounts of Old Dominion Electric Cooperative (ODEC or
we or our) and TEC Trading, Inc. (TEC). See Note 2Notes to Condensed Consolidated Financial Statements in Part 1, Item 1.

Overview

We are a not-for-profit power supply cooperative owned entirely
by our eleven Class A member distribution cooperatives and a Class B member, TEC. We supply our member distribution cooperatives power requirements, consisting of capacity requirements and energy requirements, through a portfolio of
resources including generating facilities, long-term and short-term physically-delivered forward power purchase contracts, and spot market purchases.

Our financial results for the three months ended March 31, 2011, were significantly impacted by:



| |  |  | Acquisition of additional service territory by two of our member distribution cooperatives on June 1, 2010;
| | - |  | -----------------------------------------------------------------------------------------------------------



| |  |  | Our decision not to participate in an additional nuclear-powered generating unit at the North Anna Nuclear Power Station (North Anna); and
| | - |  | --------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | Termination of an interest rate hedge transaction.
| | - |  | --------------------------------------------------

Factors Affecting Results

Formulary Rate

Our power sales are comprised of two power products  energy and capacity (also referred to as demand). Energy is the physical
electricity delivered through transmission and distribution facilities to customers. We must have sufficient committed energy available to us for delivery to our member distribution cooperatives to meet their maximum energy needs at any time, with
limited exceptions. This committed available energy is referred to as capacity.



13



---

##### Table of Contents

The rates we charge our member distribution cooperatives for sales of energy and capacity
are determined by a formulary rate accepted by the Federal Energy Regulatory Commission (FERC) which is intended to permit collection of revenues which will equal the sum of:



| |  |  | all of our costs and expenses;
| | - |  | ------------------------------



| |  |  | 20% of our total interest charges; and
| | - |  | --------------------------------------



| |  |  | additional equity contributions approved by our board of directors.
| | - |  | -------------------------------------------------------------------

The formulary rate has three main components: a demand rate, a base energy rate and a fuel factor adjustment rate. The formulary rate
identifies the cost components that we can collect through rates, but not the actual amounts to be collected. With limited minor exceptions, we can change our rates periodically to match the costs we have incurred and we expect to incur without
seeking FERC approval. For further discussion on our formulary rate, see Item 7 Managements Discussion and Analysis of Financial Condition and Results of Operations  Factors Affecting Results  Formulary Rate in our 2010 Annual
Report on Form 10-K.

Member Distribution CooperativesAcquisition of Additional Service Territory

On June 1, 2010, two of our member distribution cooperatives, Rappahannock Electric Cooperative (REC) and Shenandoah
Valley Electric Cooperative (SVEC), acquired the distribution assets and right to provide electric distribution services to approximately 102,000 customers (meters) previously owned by The Potomac Edison Company in Virginia
(Potomac Edison). On December 31, 2010, SVEC sold the distribution assets and rights to provide electric distribution services to approximately 2,500 customers (meters) in West Virginia. We estimate that in the aggregate, RECs
and SVECs acquisitions, net of the disposition noted above, will increase our megawatt hour (MWh) and megawatt (MW) sales to our member distribution cooperatives by approximately 35% to 40% on an annualized basis.

In accordance with the wholesale power contracts between ODEC and its member distribution cooperatives, ODEC is serving the
additional power requirements resulting from RECs and SVECs acquisitions. We were not a party to this transaction; however, we assumed power supply contracts previously entered into by Potomac Edison for the service territory to serve
the load of these customers. These contracts expire on June 30, 2011. A valuation of these contracts was performed as of June 1, 2010, and the value of the contracts approximated a fair value of zero.

In accordance with our load acquisition policy, we are paying a transition fee to REC and to SVEC that represents a portion of the
projected power cost savings related to these acquisitions. The aggregate transition fee totals approximately $66.7 million; approximately $3.2 million was recorded for the three months ended March 31, 2011, and approximately $10.6 million of
the $66.7 million has been paid to date. The transition fee is reflected as a credit on the monthly power invoices to REC and SVEC over 48 months as a reduction in sales and is being collected from our member distribution cooperatives through our
formulary rate.



14



---

##### Table of Contents

Power Supply Resources

We provide power to our members through a combination of our interests in the Clover Power Station (Clover), a coal-fired
generating facility; North Anna; our three combustion turbine facilities - Louisa, Marsh Run, and Rock Springs; distributed generation facilities; and physically-delivered forward power purchase contracts and spot purchases of power in the open
market. Our power supply resources for the three months ended March 31, 2011and 2010, were as follows:



|                       |  |                              |           |  |      |  |       |   |  |  |           |  |  |  |       |  
|---------------------- |  | ---------------------------- | --------- |  | ---- |  | ----- | - |  |  | --------- |  |  |  | ----- | -
|                       |  | Three Months Ended March 31, |          
|                       |  | 2011                         |           |  | 2010 | 
|                       |  | (in MWh and percentages)     |          
|Generated:             |  |                              |           |  |      |  |       |   |  |  |           |  |  |  |       |  
|Clover                 |  |                              | 788,875   |  |      |  | 22.0  | % |  |  | 860,424   |  |  |  | 34.2  | %
|North Anna             |  |                              | 475,314   |  |      |  | 13.3  |   |  |  | 429,729   |  |  |  | 17.1  |  
|Louisa                 |  |                              | 11,421    |  |      |  | 0.3   |   |  |  | 9,777     |  |  |  | 0.4   |  
|Marsh Run              |  |                              | 26,613    |  |      |  | 0.7   |   |  |  | 12,792    |  |  |  | 0.5   |  
|Rock Springs           |  |                              |          |  |      |  |      |   |  |  | 1,415     |  |  |  |      |  
|Distributed Generation |  |                              | 2         |  |      |  |      |   |  |  | 2         |  |  |  |      |  
|                       |  |                              |           |  |      |  |       |   |  |  |           |  |  |  |       |  
|Total Generated        |  |                              | 1,302,225 |  |      |  | 36.3  |   |  |  | 1,314,139 |  |  |  | 52.2  |  
|Purchased:             |  |                              |           |  |      |  |       |   |  |  |           |  |  |  |       |  
|Other than renewable   |  |                              | 2,147,279 |  |      |  | 59.8  |   |  |  | 1,166,842 |  |  |  | 46.4  |  
|Renewable(1)           |  |                              | 138,544   |  |      |  | 3.9   |   |  |  | 34,291    |  |  |  | 1.4   |  
|                       |  |                              |           |  |      |  |       |   |  |  |           |  |  |  |       |  
|Total Purchased        |  |                              | 2,285,823 |  |      |  | 63.7  |   |  |  | 1,201,133 |  |  |  | 47.8  |  
|                       |  |                              |           |  |      |  |       |   |  |  |           |  |  |  |       |  
|Total Available Energy |  |                              | 3,588,048 |  |      |  | 100.0 | % |  |  | 2,515,272 |  |  |  | 100.0 | %
|                       |  |                              |           |  |      |  |       |   |  |  |           |  |  |  |       |  



|(1) | Related to our contracts from renewable facilities for which we purchase renewable energy credits.
|--- | --------------------------------------------------------------------------------------------------

Generating Facilities

Our operating expenses, and consequently our rates to our member distribution cooperatives, are significantly affected by the operations of our baseload generating facilities, Clover and North Anna.
Baseload generating facilities, particularly nuclear power plants such as North Anna, generally have relatively high fixed costs. Nuclear facilities operate with relatively low variable costs due to lower fuel costs and technological efficiencies.
In addition, coal-fired facilities have relatively low variable costs, as compared to combustion turbine facilities such as Louisa, Marsh Run and Rock Springs. Our combustion turbine facilities have relatively low fixed costs and greater operational
flexibility; however, they are more expensive to operate and, as a result, we operate them only when the market price of energy makes their operation economical or when their operation is required by PJM Interconnection, LLC (PJM) for
system reliability purposes. For further discussion on PJM, see Item 1 Business  Power Supply Resources  PJM in our 2010 Annual Report on Form 10-K. Owners of power plants incur the fixed costs of these facilities whether or not the
units operate.

Our generating facilities are under dispatch control of PJM. Typically, nuclear facilities are almost always
dispatched and coal-fired facilities are dispatched based upon economic factors including the market price of energy. The operational availability of Clover for the three months ended March 31, 2011 and 2010, was as follows:



|         |  |                                    |       |   |      |  |      |  
|-------- |  | ---------------------------------- | ----- | - | ---- |  | ---- | -
|         |  | CloverThree Months 
EndedMarch 31, |      
|         |  | 2011                               |       |   | 2010 | 
|Unit 1   |  |                                    | 100.0 | % |      |  | 99.5 | %
|Unit 2   |  |                                    | 96.3  |   |      |  | 99.9 |  
|Combined |  |                                    | 98.2  |   |      |  | 99.7 |  



15



---

##### Table of Contents

The output of Clover and North Anna for the three months ended March 31, 2011 and 2010,
as a percentage of the maximum net dependable capacity rating of the facilities, was as follows:



|         |  |                             |      |   |                             |  |      |      |  |  |       |   |  |  |       |  
|-------- |  | --------------------------- | ---- | - | --------------------------- |  | ---- | ---- |  |  | ----- | - |  |  | ----- | -
|         |  | Clover                      |      |   | North Anna                  | 
|         |  | Three Months EndedMarch 31, |      |   | Three Months EndedMarch 31, | 
|         |  | 2011                        |      |   | 2010                        |  |      | 2011 |  |  | 2010  |  
|Unit 1   |  |                             | 86.1 | % |                             |  | 91.8 | %    |  |  | 101.5 | % |  |  | 101.4 | %
|Unit 2   |  |                             | 82.5 |   |                             |  | 91.6 |      |  |  | 102.7 |   |  |  | 88.6  |  
|Combined |  |                             | 84.3 |   |                             |  | 91.7 |      |  |  | 102.1 |   |  |  | 95.0  |  

The scheduled
maintenance outages and unscheduled outages for Clover for the three months ended March 31, 2011 and 2010, were as follows:



|         |  |                             |   |  |                             |  |   |      |  |  |      |  |  |  |     | 
|-------- |  | --------------------------- | - |  | --------------------------- |  | - | ---- |  |  | ---- |  |  |  | --- | 
|         |  | Scheduled Outages           |   |  | Unscheduled Outages         | 
|         |  | Three Months EndedMarch 31, |   |  | Three Months EndedMarch 31, | 
|         |  | 2011                        |   |  | 2010                        |  |   | 2011 |  |  | 2010 | 
|         |  | (in days)                   |   |  | (in days)                   | 
|Unit 1   |  |                             |  |  |                             |  |  |      |  |  |     |  |  |  | 0.1 | 
|Unit 2   |  |                             |  |  |                             |  |  |      |  |  | 3.4  |  |  |  | 0.4 | 
|         |  |                             |   |  |                             |  |   |      |  |  |      |  |  |  |     | 
|Combined |  |                             |  |  |                             |  |  |      |  |  | 3.4  |  |  |  | 0.5 | 
|         |  |                             |   |  |                             |  |   |      |  |  |      |  |  |  |     | 

The scheduled maintenance and refueling outages and unscheduled outages for North Anna for the three months
ended March 31, 2011 and 2010, were as follows:



|         |  |                              |   |  |                              |  |      |      |  |  |      |  |  |  |   | 
|-------- |  | ---------------------------- | - |  | ---------------------------- |  | ---- | ---- |  |  | ---- |  |  |  | - | 
|         |  | Scheduled Outages            |   |  | Unscheduled Outages          | 
|         |  | Three Months EndedMarch 
31, |   |  | Three Months EndedMarch 
31, | 
|         |  | 2011                         |   |  | 2010                         |  |      | 2011 |  |  | 2010 | 
|         |  | (in days)                    |   |  | (in days)                    | 
|Unit 1   |  |                              |  |  |                              |  |     |      |  |  |     |  |  |  |  | 
|Unit 2   |  |                              |  |  |                              |  | 11.0 |      |  |  |     |  |  |  |  | 
|         |  |                              |   |  |                              |  |      |      |  |  |      |  |  |  |   | 
|Combined |  |                              |  |  |                              |  | 11.0 |      |  |  |     |  |  |  |  | 
|         |  |                              |   |  |                              |  |      |      |  |  |      |  |  |  |   | 

During the three months ended March 31, 2011 and 2010, the operational availability of our Louisa,
Marsh Run, and Rock Springs combustion turbine facilities was as follows:



|             |  |                             |       |   |      |  |       |  
|------------ |  | --------------------------- | ----- | - | ---- |  | ----- | -
|             |  | Three Months EndedMarch 31, |      
|             |  | 2011                        |       |   | 2010 | 
|Louisa       |  |                             | 98.2  | % |      |  | 100.0 | %
|Marsh Run    |  |                             | 96.1  |   |      |  | 100.0 |  
|Rock Springs |  |                             | 100.0 |   |      |  | 99.1  |  

Sales to Member
Distribution Cooperatives

Revenues from sales to our member distribution cooperatives are a function of our formulary rate
for sales of power to our member distribution cooperatives and our member distribution cooperatives consumers requirements for power. Our formulary rate is based on our cost of service in meeting these requirements. See
Factors Affecting ResultsFormulary Rate.

Sales to TEC

In accordance with Consolidation Accounting, TEC is considered a variable interest entity for which ODEC is the primary beneficiary. The
financial statements of TEC are consolidated and the inter-company balances are eliminated in consolidation. TECs sales to third parties are reflected as non-member revenues.



16



---

##### Table of Contents

Sales to Non-Members

Sales to non-members consist of sales of excess purchased and generated energy. We primarily sell excess energy to PJM at the prevailing
market price at the time of sale. Excess energy is the result of changes in our purchased power portfolio, differences between actual and forecasted needs, as well as changes in market conditions.

Results of Operations

Operating Revenues

Our operating revenues are derived from power sales to our member distribution cooperatives and non-members. Our operating revenues by type of purchaser for the three months ended March 31, 2011 and
2010, were as follows:



|                                                              |  |                             |         |  |      |   |         | 
|------------------------------------------------------------- |  | --------------------------- | ------- |  | ---- | - | ------- | 
|                                                              |  | Three Months EndedMarch 31, |        
|                                                              |  | 2011                        |         |  | 2010 |  
|                                                              |  | (in thousands)              |        
|Revenues from sales to:                                       |  |                             |         |  |      |   |         | 
|Member distribution cooperatives                              |  |                             |         |  |      |   |         | 
|Base energy revenues                                          |  | $                           | 59,390  |  |      | $ | 44,213  | 
|Fuel factor adjustment revenues                               |  |                             | 87,570  |  |      |   | 68,996  | 
|                                                              |  |                             |         |  |      |   |         | 
|Total energy revenues                                         |  |                             | 146,960 |  |      |   | 113,209 | 
|Demand (capacity) revenues                                    |  |                             | 78,971  |  |      |   | 61,827  | 
|                                                              |  |                             |         |  |      |   |         | 
|Total revenues from sales to member distribution cooperatives |  |                             | 225,931 |  |      |   | 175,036 | 
|Non-members                                                   |  |                             | 6,164   |  |      |   | 621     | 
|                                                              |  |                             |         |  |      |   |         | 
|Total operating revenues                                      |  | $                           | 232,095 |  |      | $ | 175,657 | 
|                                                              |  |                             |         |  |      |   |         | 
|                                                              |  |                            
|Average costs to member distribution cooperatives (per MWh)   |  | $                           | 67.44   |  |      | $ | 70.70   | 

Our energy sales in
megawatt hours (MWh) to our member distribution cooperatives and non-members for the three months ended March 31, 2011 and 2010, were as follows:



|                                                 |  |                                                          |           |  |      |  |           | 
|------------------------------------------------ |  | -------------------------------------------------------- | --------- |  | ---- |  | --------- | 
|                                                 |  | Energy and DemandSales
VolumeThree Months EndedMarch 31, |          
|                                                 |  | 2011                                                     |           |  | 2010 | 
|                                                 |  | (in MWh)                                                 |          
|Energy sales to:                                 |  |                                                          |           |  |      |  |           | 
|Member distribution cooperatives                 |  |                                                          | 3,350,082 |  |      |  | 2,475,681 | 
|Non-members                                      |  |                                                          | 175,901   |  |      |  | 19,404    | 
|                                                 |  |                                                          |           |  |      |  |           | 
|Total energy sales                               |  |                                                          | 3,525,983 |  |      |  | 2,495,085 | 
|                                                 |  |                                                          |           |  |      |  |           | 
|                                                 | 
|                                                 |  | (in MW)                                                  |          
|Demand sales to Member distribution cooperatives |  |                                                          | 6,642     |  |      |  | 4,821     | 
|                                                 |  |                                                          |           |  |      |  |           | 

In 2011, our energy sales in MWh and demand sales in MW to our member distribution cooperatives were 35.3%
and 37.8% higher, respectively, as compared to 2010, primarily as a result of the service territory acquisition by two of our member distribution cooperatives as of June 1, 2010. The additional service territory increased our energy and demand
sales to our member distribution cooperatives approximately 34.5% and 35.1%, respectively, in 2011.

In 2011, our energy sales
in MWh to non-members were 806.5% higher as compared to 2010. Sales to non-members consist of sales of excess purchased and generated energy.

In 2011, total revenues from sales to our member distribution cooperatives increased $50.9 million, or 29.1%, as compared to 2010. The increase in total revenues is related to the additional service
territory, partially offset by a 4.1% decrease in our total energy rate (our total energy rate includes our base energy rate and our fuel factor adjustment rate).



17



---

##### Table of Contents

In 2011, the capacity costs we incurred, and thus the capacity-related revenues we
reflected, were 27.7% higher as compared to 2010, primarily due an increase in the amount of capacity we purchased. The increased amount of purchased capacity was primarily related to the additional service territory.

In 2011, our average cost per MWh to member distribution cooperatives decreased $3.26 per MWh, or 4.6%, as compared to 2010, as a result
of the decrease in our total energy rate and a greater increase in the MWh volume as compared to the increase in demand revenues.

Non-member revenue increased $5.5 million, or 892.6%, in 2011 as compared to 2010 due to an 806.5% increase in the volume of excess energy sales and an increase in the average price.

Operating Expenses

The following is a summary of the components of our operating expenses for the three months ended March 31, 2011 and 2010:



|                                                  |  |                             |         |   |      |   |         | 
|------------------------------------------------- |  | --------------------------- | ------- | - | ---- | - | ------- | 
|                                                  |  | Three Months EndedMarch 31, |        
|                                                  |  | 2011                        |         |   | 2010 |  
|                                                  |  | (in thousands)              |        
|Fuel                                              |  | $                           | 35,215  |   |      | $ | 28,423  | 
|Purchased power                                   |  |                             | 161,259 |   |      |   | 91,524  | 
|Deferred energy                                   |  |                             | (11,562 | ) |      |   | 8,071   | 
|Operations and maintenance                        |  |                             | 8,276   |   |      |   | 8,898   | 
|Administrative and general                        |  |                             | 10,030  |   |      |   | 12,605  | 
|Depreciation, amortization and decommissioning    |  |                             | 10,331  |   |      |   | 10,334  | 
|Amortization of regulatory asset/(liability), net |  |                             | 1,084   |   |      |   | 967     | 
|Accretion of asset retirement obligations         |  |                             | 885     |   |      |   | 809     | 
|Taxes, other than income taxes                    |  |                             | 2,227   |   |      |   | 2,081   | 
|                                                  |  |                             |         |   |      |   |         | 
|Total Operating Expenses                          |  | $                           | 217,745 |   |      | $ | 163,712 | 
|                                                  |  |                             |         |   |      |   |         | 

Our operating expenses are comprised of the costs that we incur to generate and purchase power to meet the
needs of our member distribution cooperatives, and the costs associated with any sales of power to non-members. Our energy costs generally are variable and include fuel expense as well as the energy portion of our purchased power expense. Our
capacity or demand costs generally are fixed and include depreciation, amortization, and decommissioning expenses, as well as the capacity portion of our purchased power expense. Additionally, all non-operating expenses and income items, including
interest charges and investment income, are components of our capacity costs. See Factors Affecting ResultsFormulary Rate.

In 2011, total operating expenses increased $54.0 million, or 33.0%, as compared to 2010, primarily due to increases in purchased power and fuel expenses partially offset by the decrease in deferred
energy expense.



| |  |  | Purchased power expense, which includes the cost of purchased energy and capacity, increased $69.7 million, or 76.2%, due to a 90.3% increase in the
volume of purchased power primarily due to the acquisition of the additional service territory partially offset by a 7.4% decrease in the average cost of purchased power.
| | - |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | Fuel expense increased $6.8 million, or 23.9%, primarily due to the increase in the average price of natural gas and coal.
| | - |  | --------------------------------------------------------------------------------------------------------------------------



| |  |  | Deferred energy expense decreased $19.6 million, or 243.3%. During 2011, we under-collected $11.6 million in energy costs; whereas in 2010, we
over-collected $8.1 million in energy costs. Our deferred energy balance was a net over-collection of energy costs of $45.4 million at December 31, 2010, as compared to a net over-collection of energy costs of $33.8 million at March 31,
2011.
| | - |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



18



---

##### Table of Contents

Other Items

Amortization of Loss on Auction Rate Securities Recorded as a Regulatory Asset

As of December 31, 2010, we had an unrealized loss of $5.6 million related to the decline in the fair value of five securities, all of which were originally issued as auction rate securities and one
of which has converted to preferred stock (ARS), which was recorded as a regulatory asset in accordance with Accounting for Regulated Operations. In 2011, we amortized $1.4 million of this regulatory asset which was recorded as loss on
investments. See Liquidity and Capital ResourcesAuction Rate Securities and Related Preferred Stock below.

Gain on Investment

In 2011, we had a gain of $0.2 million related to the increase in the fair value of the ARS which was recorded as gain on investments. See Liquidity and Capital ResourcesAuction Rate
Securities and Related Preferred Stock below.

Investment Income

Investment income increased in 2011 by $0.1 million, or 6.9%, primarily due to slightly higher investment balances.

Interest Charges, Net

The primary factors affecting our interest charges, net are scheduled payments of principal on our indebtedness, interest related to the Norfolk Southern Railway Company (Norfolk Southern)
settlement, interest charges related to our credit facilities, and capitalized interest. We settled our dispute with Norfolk Southern in 2009. The major components of interest charges, net for the three months ended March 31, 2011 and 2010,
were as follows:



|                                                      |  |                             |         |   |      |   |         |  
|----------------------------------------------------- |  | --------------------------- | ------- | - | ---- | - | ------- | -
|                                                      |  | Three Months EndedMarch 31, |        
|                                                      |  | 2011                        |         |   | 2010 |  
|                                                      |  | (in thousands)              |        
|Interest expense on long-term debt                    |  | $                           | (11,248 | ) |      | $ | (11,579 | )
|Interest charges related to Norfolk Southern          |  |                             |        |   |      |   | 1,261   |  
|Other                                                 |  |                             | (692    | ) |      |   | (632    | )
|                                                      |  |                             |         |   |      |   |         |  
|Total Interest Charges                                |  |                             | (11,940 | ) |      |   | (10,950 | )
|Allowance for borrowed funds used during construction |  |                             | 245     |   |      |   | 312     |  
|                                                      |  |                             |         |   |      |   |         |  
|Interest Charges, net                                 |  | $                           | (11,695 | ) |      | $ | (10,638 | )
|                                                      |  |                             |         |   |      |   |         |  

In 2011, interest charges, net increased $1.1 million, or 9.9%, as compared to 2010. In 2010, interest
charges, net were lower due to the amortization of the regulatory liability related to settlement of our dispute with Norfolk Southern. This was fully amortized by December 31, 2010.

Net Margin

In 2011, our net margin, which is a function of our total interest charges plus any additional equity contributions approved by our board of directors, increased $0.2 million, or 9.0%, as compared to 2010
due to higher interest charges.

Financial Condition

The principal changes in our financial condition from December 31, 2010 to March 31, 2011, were caused by decreases in long-term debt due within one year (offset by increases in long-term debt),
accounts receivablemembers, accounts payable, accounts payablemembers, construction work in progress, accounts receivable, deferred energy, and interest rate hedge, partially offset by increases in long-term debt, accrued expenses and
regulatory assets.



| |  |  | Long-term debt due within one year decreased $216.0 million primarily due to the reclassification of the $215.0 million maturity of our 2001 Series A
Bonds on June 1, 2011 from long-term debt due within one year to long-term debt. On April 7, 2011, we issued $350.0 million of debt which will provide funding to repay the maturing debt.
| | - |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | Accounts receivablemembers decreased $53.9 million as a result of lower sales to members in March 2011 as compared to December 2010 and a $3.7
million decrease in member extension balances.
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



19



---

##### Table of Contents

| |  |  | Accounts payable decreased $40.2 million due to decreased natural gas and purchased power requirements in March 2011 as compared to December 2010.
| | - |  | --------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | Accounts payablemembers decreased $26.9 million due to the $16.2 million decrease in member prepayments and the $10.7 million decrease in the
margin stabilization adjustment as compared to December 2010.
| | - |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | Accounts receivable decreased $20.2 million related to decreased sales of excess power to non-members in March 2011 as compared to December 2010.
| | - |  | -------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | Construction work in progress decreased $19.7 million due to the reclassification of $23.2 million of costs, of which $1.9 million was incurred in
2011, to a regulatory asset. See Decision not to participate in an additional unit at North Anna below.
| | - |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | Deferred energy decreased $11.6 million as a result of the under-collection of our energy costs in 2011.
| | - |  | --------------------------------------------------------------------------------------------------------



| |  |  | Interest rate hedge decreased $10.9 million. On January 21, 2011, we terminated our interest rate hedge in accordance with the terms of the
transaction. See Liquidity and Capital ResourcesInterest Rate Hedge below.
| | - |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | Accrued expenses increased $12.2 million primarily as a result of increased interest payable related to our long-term debt.
| | - |  | ---------------------------------------------------------------------------------------------------------------------------



| |  |  | Regulatory assets increased $9.8 million as a result of the establishment of a $23.2 million regulatory asset to recover construction work in progress
we incurred prior to our decision not to participate in the development and ownership of the additional nuclear unit at North Anna, partially offset by the decrease of $10.9 million related to the termination of the interest rate hedge transaction.
See Liquidity and Capital ResourcesInterest Rate Hedge below.
| | - |  | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

Decision Not to Participate in an
Additional Unit at North Anna

In February 2011, we made the determination not to participate in an additional
nuclear-powered generating unit at North Anna as discussed in a press release we issued on February 28, 2011. We are currently working with Virginia Electric and Power Company (Virginia Power) on the logistics of our withdrawal
as a participant in the project. As of December 31, 2010, we had $21.3 million of construction work in progress related to the potential additional unit at North Anna and had incurred approximately $1.8 million in financing-related costs
that were included in deferred chargesother. Through February 2011, we had recorded $23.2 million of construction work in progress related to the potential additional unit at North Anna. As of March 31, 2011, we established a
regulatory asset and reclassified the $23.2 million of construction work in progress to the regulatory asset due to the uncertainty of the recovery of these costs from Virginia Power. The $1.8 million in financing-related costs were expensed in
the first quarter of 2011 as administrative and general expense. We will continue to incur costs related to the additional unit at North Anna until our withdrawal is finalized. As of March 31, 2011, we have incurred approximately $1.3
million of additional costs since our decision not to participate in the additional unit at North Anna and these costs have been recorded as accounts receivable, as we expect reimbursement from Virginia Power upon the finalization of our
withdrawal. These amounts are not expected to have a material impact on our financial position or results of operations due to our ability to collect such amounts through rates charged to our member distribution cooperatives.

Liquidity and Capital Resources

Sources

Cash generated by our operations and periodically, borrowings
under our credit facilities provide our sources of liquidity and capital. In the past, we have also issued long-term indebtedness in the capital markets.

Operations

Historically, our operating cash flows generally have been
sufficient to meet our short- and long-term capital expenditures related to our existing generating facilities, our debt service requirements, and our ordinary business operations. During the first three months of 2011 and 2010, our operating
activities provided cash flows of $22.8 million and $40.6 million, respectively. Operating activities in 2011 were primarily impacted by the following:



| |  |  | Current assets changed $72.4 million primarily due to the $53.9 million decrease in accounts receivablemembers and the $20.2 million decrease in
accounts receivable.
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------



20



---

##### Table of Contents

| |  |  | Current liabilities changed by $54.9 million primarily due to the $40.2 million decrease in accounts payable and the $26.9 million decrease in accounts
payablemembers, partially offset by the $12.2 million increase in accrued expenses.
| | - |  | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

Auction Rate
Securities and Related Preferred Stock

As of March 31, 2011 and December 31, 2010, we had $16.8 million of
principal invested in ARS. The estimated fair value of our ARS was $8.1 million and $7.9 million as of March 31, 2011 and December 31, 2010, respectively.

ARS pay variable rates of interest which reset periodically in connection with the auction to purchase or sell the securities. Generally, the periodic auctions provide owners of ARS the opportunity to
liquidate their investment at par value. In the event auctions are not fully subscribed, which auction agents describe as failed auctions, these securities are typically illiquid, as is the case with our ARS.

In the absence of liquidity provided by auctions, we rely on a third party to establish the estimated fair values of our ARS. The
estimated fair values of our ARS are determined with a valuation model that utilizes expected cash flow streams, assessments of credit quality, discount rates, and overall credit market liquidity, among other things.

The following represents changes in our ARS for the three months ended March 31, 2011:



|                                       |  |                |        |  |           |   |       |                        |  |   |              |   |  |                |       |  |  |   |      |  
|-------------------------------------- |  | -------------- | ------ |  | --------- | - | ----- | ---------------------- |  | - | ------------ | - |  | -------------- | ----- |  |  | - | ---- | -
|                                       |  | Principal      |        |  | FairValue |   |       | RegulatoryAsset
(3)(4) |  |   | RealizedLoss |   |  | UnrealizedGain |      
|                                       |  | (in thousands) |       
|ARS at December 31, 2010(1)            |  | $              | 16,820 |  |           | $ | 7,862 |                        |  | $ | 5,575        |   |  | $              |      |  |  | $ |     |  
|Change in fair value(2)                |  |                |       |  |           |   | 207   |                        |  |   |             |   |  |                |      |  |  |   | (207 | )
|Amortization of regulatory asset(3)(4) |  |                |       |  |           |   |      |                        |  |   | (1,394       | ) |  |                | 1,394 |  |  |   |     |  
|                                       |  |                |        |  |           |   |       |                        |  |   |              |   |  |                |       |  |  |   |      |  
|ARS at March 31, 2011(1)(2)(3)         |  | $              | 16,820 |  |           | $ | 8,069 |                        |  | $ | 4,181        |   |  | $              | 1,394 |  |  | $ | (207 | )
|                                       |  |                |        |  |           |   |       |                        |  |   |              |   |  |                |       |  |  |   |      |  



|(1) | Recorded on our Condensed Consolidated Balance Sheet in investmentsunrestricted investments and other, and classified as available for sale at
December 31, 2010 and as trading securities at March 31, 2011.
|--- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(2) | Beginning in 2011, the change in fair value is recorded in other expense, net in our Condensed Consolidated Statements of Revenues, Expenses, and
Patronage Capital.
|--- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(3) | Recorded as realized loss in other expense, net in our Condensed Consolidated Statements of Revenues, Expenses, and Patronage Capital.
|--- | --------------------------------------------------------------------------------------------------------------------------------------

|(4) | Amortization of regulatory asset began in 2010 and the remaining balance of the regulatory asset will be amortized and recorded as a realized loss in
2011.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------

We accounted for the difference between the principal of our ARS and the estimated fair value of our
ARS as a regulatory asset in accordance with Accounting for Regulated Operations through 2010. In 2010, we began amortizing the regulatory asset which resulted in a recognized loss of $3.4 million. The remaining balance in the regulatory asset, $5.6
million, will be amortized in 2011 and $1.4 million was amortized during the three months ended March 31, 2011. Beginning in 2011, we classified the ARS as trading securities and began recording the change in fair value in other expense, net in
our Condensed Consolidated Statements of Revenues, Expenses, and Patronage Capital. The estimated fair value of our ARS are included in investmentsunrestricted investments and other on our Consolidated Balance Sheet and are classified as
trading securities.

Credit Facilities

In addition to liquidity from our operating activities, we currently maintain a total of $410.0 million in unsecured committed credit facilities to cover our short-term and medium-term funding needs. At
March 31, 2011, we did not have any short-term borrowings outstanding and at December 31, 2010, we had $7.0 million of short-term borrowings outstanding. We expect that we will renew the majority of these credit facilities as they expire.



21



---

##### Table of Contents

As of March 31, 2011, our credit facilities were as follows:



|                                                   |  |               |       |  |                 |                 
|-------------------------------------------------- |  | ------------- | ----- |  | --------------- | ----------------
|Lender                                             |  | Amount        |       |  | Expiration Date
|                                                   |  | (in millions) |       |  |                
|Branch Banking and Trust Company                   |  | $             | 25.0  |  |                 | May 31, 2011(1) 
|National Rural Utilities Cooperative Finance Corp. |  |               | 75.0  |  |                 | April 15, 2012  
|JPMorgan Chase Bank, National Association          |  |               | 70.0  |  |                 | June 1, 2012    
|Wells Fargo Bank, N.A.                             |  |               | 70.0  |  |                 | August 31, 2012 
|CoBank, ACB                                        |  |               | 100.0 |  |                 | June 18, 2013   
|Bank of America, N.A.                              |  |               | 70.0  |  |                 | November 5, 2013
|                                                   |  |               |       |  |                 |                 
|                                                   |  | $             | 410.0 |  |                 |                 
|                                                   |  |               |       |  |                 |                 



|(1) | We are currently in the process of renewing this facility.
|--- | ----------------------------------------------------------

Financings

We fund the portion of our capital expenditures that we are not
able to supply from operations through financings in the debt capital markets. Since 1983, these capital expenditures have consisted primarily of the costs related to the acquisition of our interest in North Anna, our share of the costs to construct
Clover, and the development and construction of our three combustion turbine facilities. In the second quarter of 2011, we issued $350.0 million of long-term debt to refinance the $215.0 million of Series A Bonds due June 1, 2011 and for
general corporate purposes.

On January 24, 2011, our Indenture of Mortgage and Deed of Trust, dated as of May 1,
1992, was terminated as the result of the redemption of $1.0 million of outstanding obligations issued prior to September 1, 2001. Following the redemption of these obligations, the Amended and Restated Indenture, dated as of September 1,
2001 (the 2001 Indenture), became effective.

On January 26, 2011, we entered into the Second Amended and
Restated Indenture of Mortgage and Deed of Trust (the New Indenture) with Branch Banking and Trust Company, as trustee, and terminated the 2001 Indenture. The New Indenture subjects substantially all of our real property and tangible
personal property and some of our intangible personal property to a lien in favor of the trustee. The obligations outstanding under the New Indenture are secured equally and ratably with all of our other obligations issued under the indenture,
including pre-existing obligations issued under the indenture, as previously in effect.

Uses

Our uses of liquidity and capital relate to funding our working capital needs, investment activities and financing activities.
Substantially all of our investment activities relate to capital expenditures in connection with our generating facilities. We expect that cash flows from our operations, our existing credit facilities, and potential long-term borrowings will be
sufficient to meet our currently anticipated operational and capital requirements.

Interest Rate Hedge

We are exposed to fluctuations in long-term interest rates related to the issuance of long-term debt and the refinancing of our $215.0
million 2001 Series A Bonds. To mitigate a portion of this exposure, on May 14, 2010, we entered into an interest rate hedge. At December 31, 2010, the fair value of this interest rate hedge was a $10.9 million liability, which was
recorded as a current liability on our balance sheet. On January 21, 2011, we terminated the interest rate hedge in accordance with the terms of the transaction, resulting in a settlement payment of $3.4 million, the fair value of the hedge as
of that date. The settlement payment will be amortized over the life of the long-term debt we issued on April 7, 2011.



22



---

##### Table of Contents

ITEM 3. QUANTITATIVE AND QUALITATIVE

DISCLOSURES ABOUT MARKET RISK

No material changes occurred in our exposure to market risk during the first quarter of 2011.

ITEM 4. CONTROLS AND PROCEDURES

As of the
end of the period covered by this report, our management, including the President and Chief Executive Officer, and Senior Vice President and Chief Financial Officer conducted an evaluation of the effectiveness of our disclosure controls and
procedures. Based upon that evaluation, the President and Chief Executive Officer, and Senior Vice President and Chief Financial Officer concluded that our disclosure controls and procedures are effective in ensuring that all material information
required to be filed in this report has been made known to them in a timely matter. We have established a Disclosure Assessment Committee comprised of members from senior and middle management to assist in this evaluation. There have been no
material changes in our internal controls over financial reporting or in other factors that could significantly affect such controls during the past fiscal quarter.



23



---

##### Table of Contents

OLD DOMINION ELECTRIC COOPERATIVE

PART II. OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS

Other Matters

Other than legal proceedings arising out of the ordinary course of business, which management believes will not have a material adverse
impact on our results of operations or financial condition, there is no other litigation pending or threatened against us.

ITEM 1A. RISK FACTORS

In addition to the other information set forth in this report, you should carefully
consider the factors discussed in Risk Factors in Part I, Item 1A of our 2010 Annual Report on Form 10-K, which could affect our business, financial condition or future results. The risks described in our Annual Report on Form 10-K
are not the only risks facing us. Additional risks and uncertainties not currently known to us or that we currently deem to be immaterial also may materially adversely affect our business, financial condition and/or operating results.



24



---

##### Table of Contents

ITEM 6. EXHIBITS



|     |  |                                                                          
|---- |  | -------------------------------------------------------------------------
|31.1 |  | Certification of the Chief Executive Officer pursuant to Rule 13a-14(a)  
|     | 
|31.2 |  | Certification of the Chief Financial Officer pursuant to Rule 13a-14(a)  
|     | 
|32.1 |  | Certification of the Chief Executive Officer pursuant to 18 U.S.C. § 1350
|     | 
|32.2 |  | Certification of the Chief Financial Officer pursuant to 18 U.S.C. § 1350



25



---

##### Table of Contents

SIGNATURE

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.



|                   |  |                                                  
|------------------ |  | -------------------------------------------------
|                   |  | OLD DOMINION ELECTRIC COOPERATIVE                
|                   |  | Registrant                                       
|                   | 
|Date: May 11, 2011 |  | /s/ Robert L. Kees                               
|                   |  | Robert L. Kees                                   
|                   |  | Senior Vice President and Chief Financial Officer
|                   |  | (Principal financial officer)                    



26



---

##### Table of Contents

EXHIBIT INDEX



|              |  |                                                                          
|------------- |  | -------------------------------------------------------------------------
|ExhibitNumber |  | Description of Exhibit                                                   
|              | 
|31.1          |  | Certification of the Chief Executive Officer pursuant to Rule 13a-14(a)  
|              | 
|31.2          |  | Certification of the Chief Financial Officer pursuant to Rule 13a-14(a)  
|              | 
|32.1          |  | Certification of the Chief Executive Officer pursuant to 18 U.S.C. § 1350
|              | 
|32.2          |  | Certification of the Chief Financial Officer pursuant to 18 U.S.C. § 1350



27