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Derivative Instruments and Hedging Activities (Tables)
 9 Months Ended
Sep. 30, 2016
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Schedule of Notional Amounts of Outstanding Derivative Positions
At September 30, 2016, DPL had the following outstanding derivative instruments:
Commodity
 
Accounting Treatment (a)
 
Unit
 
Purchases
(in thousands)
 
Sales
(in thousands)
 
Net Purchases/ (Sales)
(in thousands)
FTRs
 
Not designated
 
MWh
 
2.8

 
—

 
2.8

Natural Gas Futures
 
Not designated
 
Dths
 
—

 
(20.0
)
 
(20.0
)
Forward power contracts
 
Designated
 
MWh
 
607.6

 
(10,699.9
)
 
(10,092.3
)
Forward power contracts
 
Not designated
 
MWh
 
2,866.9

 
(2,393.1
)
 
473.8



(a)    Refers to whether the derivative instruments have been designated as a cash flow hedge.

At December 31, 2015, DPL had the following outstanding derivative instruments:
Commodity
 
Accounting Treatment (a)
 
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
Gains or Losses Recognized in AOCI for the Cash Flow Hedges
The following table provides information for DPL concerning gains or losses recognized in AOCI for the cash flow hedges for the three and nine months ended September 30, 2016 and 2015:
 
 
Three months ended
 
Three months ended
 
 
September 30, 2016
 
September 30, 2015
 
 
 
 
Interest
 
 
 
Interest
$ in millions (net of tax)
 
Power
 
Rate Hedge
 
Power
 
Rate Hedge
Beginning accumulated derivative gains in AOCI
 
$
3.4

 
$
17.3

 
$
1.1

 
$
17.8

Net gains associated with current period hedging transactions
 
9.5

 
—

 
7.8

 
—

Net gains / (losses) reclassified to earnings
 
 
 
 
 
 
Interest expense
 
—

 
(0.1
)
 
—

 
(0.1
)
Revenues
 
(6.0
)
 
—

 
(2.5
)
 
—

Purchased power
 
0.6

 
—

 
0.6

 
—

Ending accumulated derivative gains in AOCI
 
$
7.5

 
$
17.2

 
$
7.0

 
$
17.7

 
 
 
 
 
 
 
 
 
 
 
Nine months ended
 
Nine months ended
 
 
September 30, 2016
 
September 30, 2015
 
 
 
 
Interest
 
 
 
Interest
$ in millions (net of tax)
 
Power
 
Rate Hedge
 
Power
 
Rate Hedge
Beginning accumulated derivative gains in AOCI
 
$
9.2

 
$
17.5

 
$
0.2

 
$
18.3

Net gains associated with current period hedging transactions
 
22.4

 
—

 
9.6

 
—

Net gains / (losses) reclassified to earnings
 
 
 
 
 
 
Interest expense
 
—

 
(0.3
)
 
—

 
(0.6
)
Revenues
 
(30.0
)
 
—

 
(4.5
)
 
—

Purchased power
 
5.9

 
—

 
1.7

 
—

Ending accumulated derivative gains in AOCI
 
$
7.5

 
$
17.2

 
$
7.0

 
$
17.7

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

 
$
0.6

 
 
 
 
Maximum length of time that we are hedging our exposure to variability in future cash flows related to forecasted transactions (in months)
 
15

 
0

 
 
 
 


(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 present the amount and classification within the Condensed Consolidated Statements of Operations or Condensed Consolidated Balance Sheets of the gains and losses on DPL’s derivatives not designated as hedging instruments for the three and nine months ended September 30, 2016 and 2015:
For the three months ended September 30, 2016
$ in millions
 
FTRs
 
Power
 
Natural Gas
 
Total
Change in unrealized gain / (loss)
 
$
—

 
$
1.2

 
$
(0.3
)
 
$
0.9

Realized gain / (loss)
 
(0.1
)
 
(2.4
)
 
0.2

 
(2.3
)
Total
 
$
(0.1
)
 
$
(1.2
)
 
$
(0.1
)
 
$
(1.4
)
Recorded in Income Statement: gain / (loss)
 
 
Revenues
 
$
—

 
$
(10.4
)
 
$
—

 
$
(10.4
)
Purchased power
 
(0.1
)
 
9.2

 
(0.1
)
 
9.0

Total
 
$
(0.1
)
 
$
(1.2
)
 
$
(0.1
)
 
$
(1.4
)

For the three months ended September 30, 2015
$ in millions
 
Heating Oil
 
FTRs
 
Power
 
Total
Change in unrealized gain / (loss)
 
$
0.1

 
$
0.1

 
$
(3.2
)
 
$
(3.0
)
Realized loss
 
(0.2
)
 
(0.1
)
 
(4.3
)
 
(4.6
)
Total
 
$
(0.1
)
 
$
—

 
$
(7.5
)
 
$
(7.6
)
Recorded in Income Statement: gain / (loss)
Revenues
 
$
—

 
$
—

 
$
3.5

 
$
3.5

Purchased power
 
—

 
—

 
(11.0
)
 
(11.0
)
Fuel
 
(0.1
)
 
—

 
—

 
$
(0.1
)
Total
 
$
(0.1
)
 
$
—

 
$
(7.5
)
 
$
(7.6
)

For the nine months ended September 30, 2016
$ in millions
 
FTRs
 
Power
 
Natural Gas
 
Total
Change in unrealized gain
 
$
0.4

 
$
2.3

 
$
—

 
$
2.7

Realized gain / (loss)
 
(0.4
)
 
(5.3
)
 
0.7

 
(5.0
)
Total
 
$
—

 
$
(3.0
)
 
$
0.7

 
$
(2.3
)
Recorded in Income Statement: gain / (loss)
 
 
Revenues
 
$
—

 
$
(13.1
)
 
$
—

 
$
(13.1
)
Purchased power
 
—

 
10.1

 
0.7

 
10.8

Total
 
$
—

 
$
(3.0
)
 
$
0.7

 
$
(2.3
)


For the nine months ended September 30, 2015
$ in millions
 
Heating Oil
 
FTRs
 
Power
 
Natural Gas
 
Total
Change in unrealized gain / (loss)
 
$
0.4

 
$
0.2

 
$
(4.9
)
 
$
0.1

 
$
(4.2
)
Realized loss
 
(0.3
)
 
(0.1
)
 
(8.1
)
 
(0.1
)
 
(8.6
)
Total
 
$
0.1

 
$
0.1

 
$
(13.0
)
 
$
—

 
$
(12.8
)
Recorded on Balance Sheet: gain
 
 
 
 
 
 
 
 
 
 
Regulatory asset
 
$
0.1

 
$
—

 
$
—

 
$
—

 
$
0.1

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

 
—

 
8.9

 
—

 
8.9

Purchased power
 
—

 
0.1

 
(21.9
)
 
—

 
(21.8
)
Total
 
$
0.1

 
$
0.1

 
$
(13.0
)
 
$
—

 
$
(12.8
)
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value
The following tables summarize the derivative positions presented in the balance sheet where a right of offset exists under these arrangements and related cash collateral received or pledged. The following table presents the fair value and balance sheet classification of DPL’s derivative instruments at September 30, 2016:
Fair Values of Derivative Instruments
at September 30, 2016
 
 
 
 
 
 
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets
 
 
$ in millions
 
Hedging Designation
 
Gross Fair Value as presented in the Condensed Consolidated Balance Sheets
 
Financial Instruments with Same Counterparty in Offsetting Position
 
Cash Collateral
 
Net Balance Fair Value
Assets
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other prepayments and current assets)
 
 
Forward power contracts
 
Designated
 
$
15.6

 
$
(13.3
)
 
$
—

 
$
2.3

Forward power contracts
 
Not designated
 
8.7

 
(7.6
)
 
—

 
1.1

FTRs
 
Not designated
 
0.1

 
—

 
—

 
0.1

 
 
 
 
 
 
 
 
 
 
 
Long-term derivative positions (presented in Other deferred assets)
Forward power contracts
 
Designated
 
7.4

 
(1.1
)
 
—

 
6.3

Forward power contracts
 
Not designated
 
1.4

 
(0.7
)
 
—

 
0.7

Total assets
 
 
 
$
33.2

 
$
(22.7
)
 
$
—

 
$
10.5

 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other current liabilities)
Forward power contracts
 
Designated
 
$
16.1

 
$
(13.3
)
 
$
(2.7
)
 
$
0.1

Forward power contracts
 
Not designated
 
12.8

 
(7.6
)
 
(2.4
)
 
2.8

 
 
 
 
 
 
 
 
 
 
 
Long-term derivative positions (presented in Other deferred credits)
Forward power contracts
 
Designated
 
1.1

 
(1.1
)
 
—

 
—

Forward power contracts
 
Not designated
 
0.9

 
(0.7
)
 
—

 
0.2

Total liabilities
 
 
 
$
30.9

 
$
(22.7
)
 
$
(5.1
)
 
$
3.1



The following table presents the fair value and balance sheet classification of DPL’s derivative instruments at December 31, 2015:
Fair Values of Derivative Instruments
at December 31, 2015
 
 
 
 
 
 
Gross Amounts Not Offset in the Condensed Consolidated
Balance Sheets
 
 
$ in millions
 
Hedging Designation
 
Gross Fair Value as presented in the Condensed Consolidated Balance Sheets
 
Financial Instruments with Same Counterparty in Offsetting Position
 
Cash Collateral
 
Net Balance Fair Value
Assets
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other prepayments and 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 credits)
 
 

 
 
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
THE DAYTON POWER AND LIGHT COMPANY [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Schedule of Notional Amounts of Outstanding Derivative Positions
At September 30, 2016, DP&L had the following outstanding derivative instruments:
Commodity
 
Accounting Treatment (a)
 
Unit
 
Purchases
(in thousands)
 
Sales
(in thousands)
 
Net Purchases/ (Sales)
(in thousands)
FTRs
 
Not designated
 
MWh
 
2.8

 
—

 
2.8

Natural gas futures
 
Not designated
 
Dths
 
—

 
(20.0
)
 
(20.0
)
Forward power contracts
 
Designated
 
MWh
 
607.6

 
(10,699.9
)
 
(10,092.3
)
Forward power contracts
 
Not designated
 
MWh
 
2,866.9

 
(2,419.8
)
 
447.1


    
(a)    Refers to whether the derivative instruments have been designated as a cash flow hedge.

At December 31, 2015, DP&L had the following outstanding derivative instruments:
Commodity
 
Accounting Treatment (a)
 
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
Gains or Losses Recognized in AOCI for the Cash Flow Hedges
The following table provides information for DP&L concerning gains or losses recognized in AOCI for the cash flow hedges for the three and nine months ended September 30, 2016 and 2015:
 
 
Three months ended
 
Three months ended
 
 
September 30, 2016
 
September 30, 2015
 
 
 
 
Interest
 
 
 
Interest
$ in millions (net of tax)
 
Power
 
Rate Hedge
 
Power
 
Rate Hedge
Beginning accumulated derivative gains in AOCI
 
$
3.4

 
$
1.6

 
$
1.1

 
$
2.2

Net gains associated with current period hedging transactions
 
9.5

 
—

 
7.8

 
—

Net gains / (losses) reclassified to earnings
 
 
 
 
 
 
 
 
Interest expense
 
—

 
(0.2
)
 
—

 
(0.1
)
Revenues
 
(6.0
)
 
—

 
(2.5
)
 
—

Purchased power
 
0.6

 
—

 
0.6

 
—

Ending accumulated derivative gains in AOCI
 
$
7.5

 
$
1.4

 
$
7.0

 
$
2.1

 
 
 
 
 
 
 
 
 
 
 
Nine months ended
 
Nine months ended
 
 
September 30, 2016
 
September 30, 2015
 
 
 
 
Interest
 
 
 
Interest
$ in millions (net of tax)
 
Power
 
Rate Hedge
 
Power
 
Rate Hedge
Beginning accumulated derivative gains in AOCI
 
$
9.2

 
$
2.0

 
$
0.2

 
$
2.6

Net gains associated with current period hedging transactions
 
22.5

 
—

 
9.6

 
—

Net gains / (losses) reclassified to earnings
 
 
 
 
 
 
 
 
Interest expense
 
—

 
(0.6
)
 
—

 
(0.5
)
Revenues
 
(30.1
)
 
—

 
(4.5
)
 
—

Purchased power
 
5.9

 
—

 
1.7

 
—

Ending accumulated derivative gains in AOCI
 
$
7.5

 
$
1.4

 
$
7.0

 
$
2.1

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

 
$
(0.7
)
 
 
 
 
 
 
 
 
 
 
 
 
 
Maximum length of time that we are hedging our exposure to variability in future cash flows related to forecasted transactions (in months)
 
15

 
0

 
 
 
 


(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 present the amount and classification within the Condensed Statements of Operations or Condensed Balance Sheets of the gains and losses on DPL’s derivatives not designated as hedging instruments for the three and nine months ended September 30, 2016 and 2015:
For the three months ended September 30, 2016
$ in millions
 
FTRs
 
Power
 
Natural Gas
 
Total
Change in unrealized gain / (loss)
 
$
—

 
$
1.2

 
$
(0.3
)
 
$
0.9

Realized gain / (loss)
 
(0.1
)
 
(2.4
)
 
0.2

 
(2.3
)
Total
 
$
(0.1
)
 
$
(1.2
)
 
$
(0.1
)
 
$
(1.4
)
Recorded in Income Statement: gain / (loss)
 
 
Revenues
 
$
—

 
$
(10.4
)
 
$
—

 
$
(10.4
)
Purchased power
 
(0.1
)
 
9.2

 
(0.1
)
 
9.0

Total
 
$
(0.1
)
 
$
(1.2
)
 
$
(0.1
)
 
$
(1.4
)

For the three months ended September 30, 2015
$ in millions
 
Heating Oil
 
FTRs
 
Power
 
Total
Change in unrealized gain / (loss)
 
$
0.1

 
$
0.1

 
$
(3.3
)
 
$
(3.1
)
Realized loss
 
(0.2
)
 
(0.1
)
 
(4.3
)
 
(4.6
)
Total
 
$
(0.1
)
 
$
—

 
$
(7.6
)
 
$
(7.7
)
Recorded in Income Statement: gain / (loss)
 
 
Revenues
 
$
—

 
$
—

 
$
3.4

 
$
3.4

Purchased power
 
—

 
—

 
(11.0
)
 
(11.0
)
Fuel
 
(0.1
)
 
—

 
—

 
(0.1
)
Total
 
$
(0.1
)
 
$
—

 
$
(7.6
)
 
$
(7.7
)

For the nine months ended September 30, 2016
$ in millions
 
FTRs
 
Power
 
Natural Gas
 
Total
Change in unrealized gain
 
$
0.4

 
$
2.3

 
$
—

 
$
2.7

Realized gain / (loss)
 
(0.4
)
 
(5.3
)
 
0.7

 
(5.0
)
Total
 
$
—

 
$
(3.0
)
 
$
0.7

 
$
(2.3
)
Recorded in Income Statement: gain / (loss)
 
 
Revenues
 
$
—

 
$
(13.1
)
 
$
—

 
$
(13.1
)
Purchased power
 
—

 
10.1

 
0.7

 
10.8

Total
 
$
—

 
$
(3.0
)
 
$
0.7

 
$
(2.3
)


For the nine months ended September 30, 2015
$ in millions
 
Heating Oil
 
FTRs
 
Power
 
Natural Gas
 
Total
Change in unrealized gain / (loss)
 
$
0.4

 
$
0.2

 
$
(5.0
)
 
0.1

 
$
(4.3
)
Realized loss
 
(0.3
)
 
(0.1
)
 
(8.1
)
 
(0.1
)
 
(8.6
)
Total
 
$
0.1

 
$
0.1

 
$
(13.1
)
 
$
—

 
$
(12.9
)
Recorded in Balance Sheet:
 
 
 
 
 
 
 
 
 
 
Regulatory asset
 
$
0.1

 
$
—

 
$
—

 
$
—

 
$
0.1

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

 
0.1

 
(21.9
)
 
—

 
(21.8
)
Fuel
 
—

 
—

 
8.8

 
—

 
8.8

Total
 
$
0.1

 
$
0.1

 
$
(13.1
)
 
$
—

 
$
(12.9
)
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value
DP&L’s derivative instruments at September 30, 2016:
Fair Values of Derivative Instruments
at September 30, 2016
 
 
 
 
 
 
Gross Amounts Not Offset in the Condensed Balance Sheets
 
 
$ in millions
 
Hedging Designation
 
Gross Fair Value as presented in the Condensed Balance Sheets
 
Financial Instruments with Same Counterparty in Offsetting Position
 
Cash Collateral
 
Net Balance Fair Value
Assets
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other prepayments and current assets)
Forward power contracts
 
Designated
 
$
15.6

 
$
(13.3
)
 
$
—

 
$
2.3

Forward power contracts
 
Not designated
 
8.8

 
(7.7
)
 
—

 
1.1

FTRs
 
Not designated
 
0.1

 
—

 
—

 
0.1

 
 
 
 
 
 
 
 
 
 
 
Long-term derivative positions (presented in Other deferred assets)
Forward power contracts
 
Designated
 
7.4

 
(1.1
)
 
—

 
6.3

Forward power contracts
 
Not designated
 
1.4

 
(0.7
)
 
—

 
0.7

Total assets
 
 
 
$
33.3

 
$
(22.8
)
 
$
—

 
$
10.5

 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other current liabilities)
Forward power contracts
 
Designated
 
$
16.1

 
$
(13.3
)
 
$
(2.7
)
 
$
0.1

Forward power contracts
 
Not designated
 
12.9

 
(7.7
)
 
(2.4
)
 
2.8

 
 
 
 
 
 
 
 
 
 
 
Long-term derivative positions (presented in Other deferred credits)
Forward power contracts
 
Designated
 
1.1

 
(1.1
)
 
—

 
—

Forward power contracts
 
Not designated
 
0.9

 
(0.7
)
 
—

 
0.2

Total liabilities
 
 
 
$
31.0

 
$
(22.8
)
 
$
(5.1
)
 
$
3.1



The following table presents the fair value and balance sheet classification of DP&L’s derivative instruments at December 31, 2015:
Fair Values of Derivative Instruments
at December 31, 2015
 
 
 
 
 
 
Gross Amounts Not Offset in the Condensed Balance Sheets
 
 
$ in millions
 
Hedging Designation
 
Gross Fair Value as presented in the Condensed Balance Sheets
 
Financial Instruments with Same Counterparty in Offsetting Position
 
Cash Collateral
 
Net Balance Fair Value
Assets
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other prepayments and current assets)
Forward power contracts
 
Designated
 
$
16.2

 
$
(7.1
)
 
$
—

 
$
9.1

Forward power contracts
 
Not designated
 
7.4

 
(5.5
)
 
—

 
1.9

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
 
 
 
$
30.8

 
$
(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 credits)
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