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Derivative Instruments and Hedging Activities (Tables)
 3 Months Ended
Mar. 31, 2018
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Schedule of Notional Amounts of Outstanding Derivative Positions
At March 31, 2018, DPL's derivative instruments were as follows:
Commodity
 
Accounting Treatment (a)
 
Unit
 
Purchases
(in thousands)
 
Sales
(in thousands)
 
Net Purchases/ (Sales)
(in thousands)
FTRs
 
Not designated
 
MWh
 
0.1

 
—

 
0.1

Forward power contracts
 
Not designated
 
MWh
 
73.2

 
—

 
73.2

Interest rate swaps
 
Designated
 
USD
 
$
140,000.0

 
$
—

 
$
140,000.0



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

At December 31, 2017, DPL's derivative instruments were as follows:
Commodity
 
Accounting Treatment (a)
 
Unit
 
Purchases
(in thousands)
 
Sales
(in thousands)
 
Net Purchases/ (Sales)
(in thousands)
FTRs
 
Not designated
 
MWh
 
2.1

 
—

 
2.1

Natural gas futures
 
Not designated
 
Dths
 
3,322.5

 
(390.0
)
 
2,932.5

Forward power contracts
 
Designated
 
MWh
 
678.5

 
(1,667.0
)
 
(988.5
)
Forward power contracts
 
Not designated
 
MWh
 
871.0

 
(765.6
)
 
105.4

Interest rate swaps
 
Designated
 
USD
 
$
200,000.0

 
$
—

 
$
200,000.0



(a)
Refers to whether the derivative instruments have been designated as a cash flow hedge.
Gains or Losses Recognized in AOCI for the Cash Flow Hedges
The following tables provide information concerning gains or losses recognized in AOCI for the cash flow hedges for the three months ended March 31, 2018 and 2017:
 
 
Three months ended
 
Three months ended
 
 
March 31, 2018
 
March 31, 2017
 
 
 
 
Interest
 
 
 
Interest
$ in millions (net of tax)
 
Power
 
Rate Hedge
 
Power
 
Rate Hedge
Beginning accumulated derivative gains / (losses) in AOCI
 
$
(2.8
)
 
$
17.5

 
$
(4.3
)
 
$
17.4

Net gains associated with current period hedging transactions
 
—

 
0.9

 
4.9

 
0.3

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

 
(0.4
)
 
—

 
(0.2
)
Revenues
 
4.1

 
—

 
(0.9
)
 
—

Purchased power
 
(1.4
)
 
—

 
2.1

 
—

Ending accumulated derivative gains / (losses) in AOCI
 
$
(0.1
)
 
$
18.0

 
$
1.8

 
$
17.5

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

 
$
(0.4
)
 
 
 
 
Maximum length of time that we are hedging our exposure to variability in future cash flows related to forecasted transactions (in months)
 
0

 
29

 
 
 
 


(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 of the gains and losses on DPL’s derivatives not designated as hedging instruments for the three months ended March 31, 2018 and 2017:
For the three months ended March 31, 2018
$ in millions
 
FTRs
 
Power
 
Natural Gas
 
Total
Change in unrealized gain / (loss)
 
$
0.2

 
$
(0.1
)
 
$
(0.1
)
 
$
—

Realized gain / (loss)
 
0.2

 
(0.2
)
 
0.2

 
0.2

Total
 
$
0.4

 
$
(0.3
)
 
$
0.1

 
$
0.2

 
 

 

 

 

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

 
$
(1.5
)
 
$
—

 
$
(1.5
)
Purchased power
 
0.4

 
1.2

 
0.1

 
1.7

Total
 
$
0.4

 
$
(0.3
)
 
$
0.1

 
$
0.2

 
 
 
 
 
 
 
 
 
For the three months ended March 31, 2017
$ in millions
 
FTRs
 
Power
 
Natural Gas
 
Total
Change in unrealized gain / (loss)
 
$
—

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

 
(2.6
)
 
(0.2
)
 
(2.6
)
Total
 
$
0.2

 
$
(2.7
)
 
$
(0.3
)
 
$
(2.8
)
 
 

 

 

 

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

 
$
(6.7
)
 
$
—

 
$
(6.7
)
Purchased power
 
0.2

 
4.0

 
(0.3
)
 
3.9

Total
 
$
0.2

 
$
(2.7
)
 
$
(0.3
)
 
$
(2.8
)
 
 
 
 
 
 
 
 
 
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, as well as the fair value, balance sheet classification and hedging designation of DPL’s derivative instruments:
Fair Values of Derivative Instruments
at March 31, 2018
 
 
 
 
 
 
Gross Amounts Not Offset in the Condensed 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 Fair Value
Assets
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other prepayments and current assets)
Interest rate swap
 
Designated
 
$
0.5

 
$
—

 
$
—

 
$
0.5

 
 
 
 
 
 
 
 
 
 
 
Long-term derivative positions (presented in Other deferred assets)
Interest rate swap
 
Designated
 
1.4

 
—

 
—

 
1.4

Total assets
 
 
 
$
1.9

 
$
—

 
$
—

 
$
1.9

 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other current liabilities)
Forward power contracts
 
Not designated
 
0.1

 
—

 
(0.1
)
 
—

FTRs
 
Not designated
 
0.1

 
—

 
—

 
0.1

Total liabilities
 
 
 
$
0.2

 
$
—

 
$
(0.1
)
 
$
0.1



(a)
includes credit valuation adjustment
Fair Values of Derivative Instruments
at December 31, 2017
 
 
 
 
 
 
Gross Amounts Not Offset in the Condensed 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 Fair Value
Assets
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other prepayments and current assets)
Forward power contracts
 
Designated
 
$
4.9

 
$
(4.9
)
 
$
—

 
$
—

Forward power contracts
 
Not designated
 
5.3

 
(3.7
)
 
—

 
1.6

FTRs
 
Not designated
 
0.2

 
(0.1
)
 
—

 
0.1

 
 
 
 
 
 
 
 
 
 
 
Long-term derivative positions (presented in Other deferred assets)
Interest rate swaps
 
Designated
 
1.8

 
—

 
—

 
1.8

Forward power contracts
 
Not designated
 
0.6

 
—

 
—

 
0.6

Total assets
 
 
 
$
12.8

 
$
(8.7
)
 
$
—

 
$
4.1

 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other current liabilities)
Forward power contracts
 
Designated
 
$
9.0

 
$
(4.9
)
 
$
(1.4
)
 
$
2.7

Forward power contracts
 
Not designated
 
5.9

 
(3.7
)
 
—

 
2.2

FTRs
 
Not designated
 
0.3

 
—

 
—

 
0.3

Natural gas
 
Not designated
 
0.1

 
(0.1
)
 
—

 
—

Total liabilities
 
 
 
$
15.3

 
$
(8.7
)
 
$
(1.4
)
 
$
5.2



(a)
includes credit valuation adjustment
THE DAYTON POWER AND LIGHT COMPANY [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Gains or Losses Recognized in AOCI for the Cash Flow Hedges
The following tables provide information concerning gains or losses recognized in AOCI for the cash flow hedges for the three months ended March 31, 2018 and 2017:
 
 
Three months ended
 
Three months ended
 
 
March 31, 2018
 
March 31, 2017
 
 
 
 
Interest
 
 
 
Interest
$ in millions (net of tax)
 
Power
 
Rate Hedge
 
Power
 
Rate Hedge
Beginning accumulated derivative gains / (losses) in AOCI
 
$
—

 
$
1.4

 
$
(4.3
)
 
$
1.6

Net gains associated with current period hedging transactions
 
—

 
0.5

 
—

 
0.3

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

 
(0.3
)
 
—

 
(0.2
)
Loss from discontinued operations
 
—

 
—

 
6.1

 
—

Ending accumulated derivative gains in AOCI
 
$
—

 
$
1.6

 
$
1.8

 
$
1.7

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

 
$
(0.3
)
 
 
 
 
Maximum length of time that we are hedging our exposure to variability in future cash flows related to forecasted transactions (in months)
 
0

 
29

 
 
 
 


(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
DP&L has elected not to offset derivative assets and liabilities and not to offset net derivative positions against the right to reclaim cash collateral pledged (an asset) or the obligation to return cash collateral received (a liability) under derivative agreements. The fair value derivative position of DP&L's interest rate swaps are as follows:
 
Hedging Designation
 
Balance sheet classification
 
March 31, 2018
 
December 31, 2017
Interest Rate Hedges in an Asset Position
Cash Flow Hedge
 
Other Deferred Assets
 
 
 
 
Gross Fair Value as presented in the Balance Sheets
 
 
 
 
$
1.9

 
$
1.8



Any ineffectiveness on the interest rate hedges and the monthly settlement of the interest rate hedges is recorded in interest expense within the Condensed Statements of Operations.