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Derivative Instruments and Hedging Activities (Tables)
 12 Months Ended
Dec. 31, 2015
Schedule of Notional Amounts of Outstanding Derivative Positions
At December 31, 2015, DPL had the following outstanding derivative instruments:
Commodity
 
Accounting Treatment
 
Unit
 
Purchases
(in thousands)
 
Sales
(in thousands)
 
Net Purchases/ (Sales)
(in thousands)
FTRs
 
Not designated
 
MWh
 
10.2

 
—

 
10.2

Forward Power Contracts
 
Designated
 
MWh
 
1,676.7

 
(7,795.8
)
 
(6,119.1
)
Forward Power Contracts
 
Not designated
 
MWh
 
5,049.9

 
(1,663.0
)
 
3,386.9



At December 31, 2014, DPL had the following outstanding derivative instruments:
Commodity
 
Accounting Treatment
 
Unit
 
Purchases
(in thousands)
 
Sales
(in thousands)
 
Net Purchases/ (Sales)
(in thousands)
FTRs
 
Not designated
 
MWh
 
10.5

 
—

 
10.5

Heating Oil Futures
 
Not designated
 
Gallons
 
378.0

 
—

 
378.0

Natural Gas Futures
 
Not designated
 
Dths
 
200.0

 
—

 
200.0

Forward Power Contracts
 
Designated
 
MWh
 
175.0

 
(2,991.0
)
 
(2,816.0
)
Forward Power Contracts
 
Not designated
 
MWh
 
1,725.2

 
(2,707.8
)
 
(982.6
)
Gains or Losses Recognized in AOCI for the Cash Flow Hedges
The following tables set forth the gains / (losses) recognized in AOCI and earnings related to the effective portion of derivative instruments and the gains / (losses) recognized in earnings related to the ineffective portion of derivative instruments in qualifying cash flow hedging relationships, as defined in the accounting standards for derivatives and hedging, for the periods indicated:
 
 
Years ended December 31,
 
 
2015
 
2014
 
2013
$ in millions (net of tax)
 
Power
 
Interest Rate
Hedges
 
Power
 
Interest Rate
Hedges
 
Power
 
Interest Rate
Hedges
Beginning accumulated derivative gain / (loss) in AOCI
 
$
0.2

 
$
18.3

 
$
1.4

 
$
19.2

 
$
(3.0
)
 
$
0.5

 
 
 
 
 
 
 
 
 
 
 
 
 
Net gains / (losses) associated with current period hedging transactions
 
18.2

 
—

 
(19.0
)
 
—

 
1.0

 
18.7

Net gains / (losses) reclassified to earnings:
 
 
 
 
 
 
 
 
 
 
 
 
Interest Expense
 
—

 
(0.8
)
 
—

 
(0.9
)
 
—

 
—

Revenues
 
(12.0
)
 
—

 
18.3

 
—

 
2.1

 
—

Purchased Power
 
2.8

 
—

 
(0.5
)
 
—

 
1.3

 
—

Ending accumulated derivative gain in AOCI
 
$
9.2

 
$
17.5

 
$
0.2

 
$
18.3

 
$
1.4

 
$
19.2

 
 
 
 
 
 
 
 
 
 
 
 
 
Net gains / (losses) associated with the ineffective portion of the hedging transaction
 
 
 
 
 
 
 
 
 
 
 
 
Interest Expense
 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
0.8

 
 
 
 
 
 
 
 
 
 
 
 
 
Portion expected to be reclassified to earnings in the next twelve months (a)
 
$
5.9

 
$
(0.8
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Maximum length of time that we are hedging our exposure to variability in future cash flows related to forecasted transactions (in months)
 
36

 
—

 
 
 
 
 
 
 
 


(a)
The actual amounts that we reclassify from AOCI to earnings related to power can differ from the estimate above due to market price changes.
Schedule of Other Derivatives Not Designated as Hedging Instruments, Statements of Financial Performance and Financial Position, Location
The following tables show the amount and classification within the consolidated statements of results of operations or balance sheets of the gains and losses on DPL’s derivatives not designated as hedging instruments for the years ended December 31, 2015, 2014 and 2013:
 
 
Year ended December 31, 2015
$ in millions
 
Heating Oil
 
FTRs
 
Power
 
Natural Gas
 
Total
Derivatives not designated as hedging instruments
Change in unrealized loss
 
$
0.4

 
$
0.3

 
$
(6.4
)
 
$
0.1

 
$
(5.6
)
Realized gain / (loss)
 
(0.3
)
 
(0.2
)
 
(9.8
)
 
(0.1
)
 
(10.4
)
Total
 
$
0.1

 
$
0.1

 
$
(16.2
)
 
$
—

 
$
(16.0
)
Recorded on Balance Sheet:
Regulatory asset
 
$
0.1

 
$
—

 
$
—

 
$
—

 
$
0.1

Recorded in Income Statement: gain / (loss)
Purchased Power
 
—

 
0.1

 
(43.6
)
 
—

 
(43.5
)
Revenue
 
—

 
—

 
27.4

 
—

 
27.4

 
 
 
 
 
 
 
 
 
 
 
Total
 
$
0.1

 
$
0.1

 
$
(16.2
)
 
$
—

 
$
(16.0
)


 
 
Year ended December 31, 2014
$ in millions
 
Heating Oil
 
FTRs
 
Power
 
Natural Gas
 
Total
Derivatives not designated as hedging instruments
Change in unrealized gain
 
$
(0.6
)
 
$
(0.8
)
 
$
(1.5
)
 
$
(0.1
)
 
$
(3.0
)
Realized gain
 
(0.1
)
 
0.7

 
(3.6
)
 
(0.1
)
 
(3.1
)
Total
 
$
(0.7
)
 
$
(0.1
)
 
$
(5.1
)
 
$
(0.2
)
 
$
(6.1
)
Recorded on Balance Sheet:
Regulatory asset
 
$
(0.1
)
 
$
—

 
$
—

 
$
—

 
$
(0.1
)
Recorded in Income Statement: gain / (loss)
Purchased Power
 
—

 
(0.1
)
 
(5.1
)
 
(0.2
)
 
(5.4
)
Fuel
 
(0.6
)
 
—

 
—

 
—

 
(0.6
)
 
 
 
 
 
 
 
 
 
 
 
Total
 
$
(0.7
)
 
$
(0.1
)
 
$
(5.1
)
 
$
(0.2
)
 
$
(6.1
)

 
 
Year ended December 31, 2013
$ in millions  
 
Heating Oil
 
FTRs
 
Power
 
Total
Derivatives not designated as hedging instruments
Change in unrealized gain / (loss)
 
$
—

 
$
0.3

 
$
0.6

 
$
0.9

Realized gain / (loss)
 
0.1

 
1.2

 
1.1

 
2.4

Total
 
$
0.1

 
$
1.5

 
$
1.7

 
$
3.3

Recorded in Income Statement: gain / (loss)
Revenue
 
—

 
—

 
—

 
—

Purchased Power
 
—

 
1.5

 
1.7

 
3.2

Fuel
 
0.1

 
—

 
—

 
0.1

O&M
 
—

 
—

 
—

 
—

Total
 
$
0.1

 
$
1.5

 
$
1.7

 
$
3.3
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]
The following tables show the fair value, balance sheet classification and hedging designation of DPL’s derivative instruments at December 31, 2015 and 2014.
Fair Values of Derivative Instruments
December 31, 2015
 
 
 
 
 
 
Gross Amounts Not Offset in the Consolidated Balance Sheets
 
 
$ in millions
 
Hedging Designation
 
Gross Fair Value as presented in the Consolidated Balance Sheets (a)
 
Financial Instruments with Same Counterparty in Offsetting Position
 
Cash Collateral
 
Net Amount
Assets
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other current assets)
 
 
 
 
 
 
Forward power contracts
 
Designated
 
$
16.2

 
$
(7.1
)
 
$
—

 
$
9.1

Forward power contracts
 
Not designated
 
7.3

 
(5.5
)
 
—

 
1.8

FTRs
 
Not designated
 
0.2

 
(0.2
)
 
—

 
—

Long-term derivative positions (presented in Other deferred assets)
 
 

 
 

 
 

Forward power contracts
 
Designated
 
3.0

 
(2.4
)
 
—

 
0.6

Forward power contracts
 
Not designated
 
4.0

 
(2.7
)
 
—

 
1.3

Total assets
 
 
 
$
30.7

 
$
(17.9
)
 
$
—

 
$
12.8

Liabilities
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other current liabilities)
 
 
 
 
Forward power contracts
 
Designated
 
$
7.1

 
$
(7.1
)
 
$
—

 
$
—

Forward power contracts
 
Not designated
 
14.5

 
(5.5
)
 
(8.0
)
 
1.0

FTRs
 
Not designated
 
0.5

 
(0.2
)
 
—

 
0.3

Long-term derivative positions (presented in Other deferred liabilities)
 
 

 
 

Forward power contracts
 
Designated
 
2.7

 
(2.4
)
 
—

 
0.3

Forward power contracts
 
Not designated
 
2.7

 
(2.7
)
 
—

 
—

Total liabilities
 
 
 
$
27.5

 
$
(17.9
)
 
$
(8.0
)
 
$
1.6



(a)
Includes credit valuation adjustment.

Fair Values of Derivative Instruments
December 31, 2014
 
 
 
 
 
 
Gross Amounts Not Offset in the Consolidated Balance Sheets
 
 
$ in millions
 
Hedging Designation
 
Gross Fair Value as presented in the Consolidated Balance Sheets (a)
 
Financial Instruments with Same Counterparty in Offsetting Position
 
Cash Collateral
 
Net Amount
Assets
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other current assets)
 
 
 
 
 
 
Forward power contracts
 
Designated
 
$
5.6

 
$
(2.0
)
 
$
—

 
$
3.6

Forward power contracts
 
Not designated
 
5.5

 
(3.4
)
 
—

 
2.1

Long-term derivative positions (presented in Other deferred assets)
 
 

 
 

 
 

Forward power contracts
 
Designated
 
0.3

 
(0.3
)
 
—

 
—

Forward power contracts
 
Not designated
 
3.5

 
(0.9
)
 
—

 
2.6

Total assets
 
 
 
$
14.9

 
$
(6.6
)
 
$
—

 
$
8.3

Liabilities
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other current liabilities)
 
 
 
 
Forward power contracts
 
Designated
 
$
2.1

 
$
(2.0
)
 
$
—

 
$
0.1

Forward power contracts
 
Not designated
 
7.5

 
(3.4
)
 
(4.1
)
 
—

FTRs
 
Not designated
 
0.6

 
—

 
—

 
0.6

Heating Oil Futures
 
Not designated
 
0.4

 
—

 
(0.4
)
 
—

Natural Gas
 
Not designated
 
0.1

 
—

 
(0.1
)
 
—

Long-term derivative positions (presented in Other deferred liabilities)
 
 

 
 

Forward power contracts
 
Designated
 
0.6

 
(0.3
)
 
(0.3
)
 
—

Forward power contracts
 
Not designated
 
0.9

 
(0.9
)
 
—

 
—

Total liabilities
 
 
 
$
12.2

 
$
(6.6
)
 
$
(4.9
)
 
$
0.7



(a)
Includes credit valuation adjustment.
THE DAYTON POWER AND LIGHT COMPANY [Member]  
Schedule of Notional Amounts of Outstanding Derivative Positions
At December 31, 2015, DP&L had the following outstanding derivative instruments:
Commodity
 
Accounting Treatment
 
Unit
 
Purchases
(in thousands)
 
Sales
(in thousands)
 
Net Purchases/ (Sales)
(in thousands)
FTRs
 
Not designated
 
MWh
 
10.2

 
—

 
10.2

Forward Power Contracts
 
Designated
 
MWh
 
1,676.7

 
(7,795.8
)
 
(6,119.1
)
Forward Power Contracts
 
Not designated
 
MWh
 
5,049.9

 
(1,665.7
)
 
3,384.2



At December 31, 2014, DP&L had the following outstanding derivative instruments:
Commodity
 
Accounting Treatment
 
Unit
 
Purchases
(in thousands)
 
Sales
(in thousands)
 
Net Purchases/ (Sales)
(in thousands)
FTRs
 
Not designated
 
MWh
 
10.5

 
—

 
10.5

Heating Oil Futures
 
Not designated
 
Gallons
 
378.0

 
—

 
378.0

Natural Gas
 
Not designated
 
Dths
 
200.0

 
 
 
200.0

Forward Power Contracts
 
Designated
 
MWh
 
175.0

 
(2,991.0
)
 
(2,816.0
)
Forward Power Contracts
 
Not designated
 
MWh
 
1,725.2

 
(2,804.0
)
 
(1,078.8
)
Gains or Losses Recognized in AOCI for the Cash Flow Hedges
 
 
Years ended December 31,
 
 
2015
 
2015
 
2014
 
2014
 
2013
 
2013
$ in millions (net of tax)
 
Power
 
Interest Rate
Hedge
 
Power
 
Interest Rate
Hedge
 
Power
 
Interest Rate
Hedge
Beginning accumulated derivative gain / (loss) in AOCI
 
$
0.2

 
$
2.6

 
$
1.0

 
$
5.2

 
$
(4.7
)
 
$
7.3

 
 
 
 
 
 
 
 
 
 
 
 
 
Net gains / (losses) associated with current period hedging transactions
 
18.2

 
—

 
(18.8
)
 
—

 
1.0

 
—

Net gains / (losses) reclassified to earnings:
 
 
 
 
 
 
 
 
 
 
 
 
Interest Expense
 
—

 
(0.6
)
 
—

 
(2.6
)
 
—

 
(2.1
)
Revenues
 
(12.0
)
 
—

 
18.2

 
—

 
1.4

 
—

Purchased Power
 
2.8

 
—

 
(0.2
)
 
—

 
3.3

 
—

Ending accumulated derivative gain in AOCI
 
$
9.2

 
$
2.0

 
$
0.2

 
$
2.6

 
$
1.0

 
$
5.2

 
 
 
 
 
 
 
 
 
 
 
 
 
Net gains or losses associated with the ineffective portion of the hedging transactions were immaterial in the periods presented.
 
 
 
 
 
 
 
 
 
 
 
 
 
Portion expected to be reclassified to earnings in the next twelve months (a)
 
$
5.9

 
$
(0.6
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Maximum length of time that we are hedging our exposure to variability in future cash flows related to forecasted transactions (in months)
 
36

 
—

 
 
 
 
 
 
 
 


(a)
The actual amounts that we reclassify from AOCI to earnings related to power can differ from the estimate above due to market price changes.
Schedule of Other Derivatives Not Designated as Hedging Instruments, Statements of Financial Performance and Financial Position, Location
The following tables show the amount and classification within the statements of results of operations or balance sheets of the gains and losses on DP&L’s derivatives not designated as hedging instruments for the years ended December 31, 2015, 2014 and 2013.
 
 
Year ended December 31, 2015
$ in millions
 
Heating Oil
 
FTRs
 
Power
 
Natural Gas
 
Total
Derivatives not designated as hedging instruments
Change in unrealized loss
 
$
0.4

 
$
0.3

 
$
(6.3
)
 
$
0.1

 
$
(5.5
)
Realized gain / (loss)
 
(0.3
)
 
(0.2
)
 
(9.9
)
 
(0.1
)
 
(10.5
)
Total
 
$
0.1

 
$
0.1

 
$
(16.2
)
 
$
—

 
$
(16.0
)
Recorded on Balance Sheet:
 
 
 
 
 
 
 
 
 
 
Regulatory asset
 
$
0.1

 
$
—

 
$
—

 
$
—

 
$
0.1

Recorded in Income Statement: gain / (loss)
 
 
 
 
 
 
 
 
Revenue
 
—

 
—

 
27.4

 
—

 
27.4

Purchased Power
 
—

 
0.1

 
(43.6
)
 
—

 
(43.5
)
Fuel
 
—

 
—

 
—

 
—

 
—

 
 
 
 
 
 
 
 
 
 
 
Total
 
$
0.1

 
$
0.1

 
$
(16.2
)
 
$
—

 
$
(16.0
)


 
 
Year ended December 31, 2014
$ in millions
 
Heating Oil
 
FTRs
 
Power
 
Natural Gas
 
Total
Derivatives not designated as hedging instruments
 
 
 
 
 
 
 
 
 
 
Change in unrealized gain / (loss)
 
$
(0.6
)
 
$
(0.8
)
 
$
(1.5
)
 
$
(0.1
)
 
$
(3.0
)
Realized gain / (loss)
 
(0.1
)
 
0.7

 
(3.0
)
 
(0.1
)
 
(2.5
)
Total
 
$
(0.7
)
 
$
(0.1
)
 
$
(4.5
)
 
$
(0.2
)
 
$
(5.5
)
Recorded on Balance Sheet:
 
 
 
 
 
 
 
 
 
 
Regulatory asset
 
$
(0.1
)
 
$
—

 
$
—

 
$
—

 
$
(0.1
)
Recorded in Income Statement: gain / (loss)
 
 
 
 
 
 
 
 
Revenue
 
$
—

 
$
—

 
$
0.7

 
$
—

 
$
0.7

Purchased Power
 
—

 
(0.1
)
 
(5.2
)
 
(0.2
)
 
(5.5
)
Fuel
 
(0.6
)
 
—

 
—

 
—

 
(0.6
)
 
 
 
 
 
 
 
 
 
 
 
Total
 
$
(0.7
)
 
$
(0.1
)
 
$
(4.5
)
 
$
(0.2
)
 
$
(5.5
)


 
 
Year ended December 31, 2013
$ in millions
 
NYMEX
Coal
 
Heating Oil
 
FTRs
 
Power
 
Total
Derivatives not designated as hedging instruments
 
 
 
 
 
 
 
 
Change in unrealized gain / (loss)
 
$
—

 
$
—

 
$
0.3

 
$
(1.2
)
 
$
(0.9
)
Realized gain / (loss)
 
—

 
0.1

 
1.2

 
1.6

 
2.9

Total
 
$
—

 
$
0.1

 
$
1.5

 
$
0.4

 
$
2.0

Recorded on Balance Sheet:
 
 
 
 
 
 
 
 
 
 
Partners' share of gain
 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

Regulatory (asset) / liability
 
—

 
—

 
—

 
—

 
—

 
 
 
 
 
 
 
 
 
 
 
Recorded in Income Statement: gain / (loss)
 
 
 
 
 
 
 
 
Revenue
 
—

 
—

 
—

 
0.2

 
0.2

Purchased Power
 
—

 
—

 
1.5

 
0.2

 
1.7

Fuel
 
—

 
0.1

 
—

 
—

 
0.1

O&M
 
—

 
—

 
—

 
—

 
—

Total
 
$
—

 
$
0.1

 
$
1.5

 
$
0.4

 
$
2.0
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]
The following tables show the fair value, balance sheet classification and hedging designation of DP&L’s derivative instruments at December 31, 2015 and 2014.
Fair Values of Derivative Instruments
December 31, 2015
 
 
 
 
 
 
Gross Amounts Not Offset in the Balance Sheets
 
 
$ in millions
 
Hedging Designation
 
Gross Fair Value as presented in the Balance Sheets
 
Financial Instruments with Same Counterparty in Offsetting Position
 
Cash Collateral
 
Net Amount
Assets
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other current assets)
 
 
 
 
 
 
Forward power contracts
 
Designated
 
$
16.2

 
$
(7.1
)
 
$
—

 
$
9.1

Forward power contracts
 
Not designated
 
7.4

 
(5.5
)
 
—

 
1.9

FTRs
 
 
 
0.2

 
(0.2
)
 
—

 
—

Long-term derivative positions (presented in Other deferred assets)
 
 

 
 

 
 

Forward power contracts
 
Designated
 
3.0

 
(2.4
)
 
—

 
0.6

Forward power contracts
 
Not designated
 
4.0

 
(2.7
)
 
—

 
1.3

Total assets
 
 
 
$
30.8

 
$
(17.9
)
 
$
—

 
$
12.9

Liabilities
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other current liabilities)
 
 
 
 
Forward power contracts
 
Designated
 
$
7.1

 
$
(7.1
)
 
$
—

 
$
—

Forward power contracts
 
Not designated
 
14.5

 
(5.5
)
 
(8.0
)
 
1.0

FTRs
 
Not designated
 
0.5

 
(0.2
)
 
—

 
0.3

Long-term derivative positions (presented in Other deferred liabilities)
 
 

 
 

Forward power contracts
 
Designated
 
2.7

 
(2.4
)
 
—

 
0.3

Forward power contracts
 
Not designated
 
2.7

 
(2.7
)
 
—

 
—

Total liabilities
 
 
 
$
27.5

 
$
(17.9
)
 
$
(8.0
)
 
$
1.6


Fair Values of Derivative Instruments
December 31, 2014
 
 
 
 
 
 
Gross Amounts Not Offset in the Balance Sheets
 
 
$ in millions
 
Hedging Designation
 
Gross Fair Value as presented in the Balance Sheets
 
Financial Instruments with Same Counterparty in Offsetting Position
 
Cash Collateral
 
Net Amount
Assets
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other current assets)
 
 
 
 
 
 
Forward power contracts
 
Designated
 
$
5.6

 
$
(2.0
)
 
$
—

 
$
3.6

Forward power contracts
 
Not designated
 
5.6

 
(3.4
)
 
—

 
2.2

FTRs
 
Not designated
 
—

 
—

 
—

 
—

Heating oil futures
 
Not designated
 
—

 
—

 
—

 
—

Long-term derivative positions (presented in Other deferred assets)
 
 

 
 

 
 

Forward power contracts
 
Designated
 
0.3

 
(0.3
)
 
—

 
—

Forward power contracts
 
Not designated
 
3.6

 
(0.9
)
 
—

 
2.7

Total assets
 
 
 
$
15.1

 
$
(6.6
)
 
$
—

 
$
8.5

Liabilities
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other current liabilities)
 
 
 
 
Forward power contracts
 
Designated
 
$
2.1

 
$
(2.0
)
 
$
—

 
0.1

Forward power contracts
 
Not designated
 
7.5

 
(3.4
)
 
(4.1
)
 
—

FTRs
 
Not designated
 
0.6

 
—

 
—

 
0.6

Heating oil futures
 
Not designated
 
0.4

 
—

 
(0.4
)
 
—

Natural gas futures
 
Not designated
 
0.1

 
—

 
(0.1
)
 
—

Long-term derivative positions (presented in Other deferred liabilities)
 
 

 
 

Forward power contracts
 
Designated
 
0.6

 
(0.3
)
 
(0.3
)
 
—

Forward power contracts
 
Not designated
 
1.0

 
(0.9
)
 
—

 
0.1

Total liabilities
 
 
 
$
12.3

 
$
(6.6
)
 
$
(4.9
)
 
$
0.8