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Fair Value

9 Months Ended

Sep. 30, 2022

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

FAIR VALUE

The fair value of current financial assets and liabilities approximate their reported carrying amounts. The estimated fair values of the Company's assets and liabilities have been determined using available market information. Because these amounts are estimates and based on hypothetical transactions to sell assets or transfer liabilities, the use of different market assumptions and/or estimation methodologies may have a material effect on the estimated fair value amounts. For further information on our valuation techniques and policies, see Note 4—Fair Value in Item 8.—Financial Statements and Supplementary Data of our Form 10-K.

Financial Assets

AES Ohio established a Master Trust to hold assets that could be used for the benefit of employees participating in employee benefit plans and these assets are not used for general operating purposes. These assets are primarily comprised of open-ended mutual funds, which are valued using the net asset value per unit. These investments are recorded at fair value within Other non-current assets on the Condensed Consolidated Balance Sheets and classified as equity investments. We recorded net unrealized gains / (losses) of $(0.4) million and $(0.1) million during the three months ended September 30, 2022 and 2021, respectively, and $(2.0) million and $0.4 million during the nine months ended September 30, 2022 and 2021, respectively. These amounts are included in "Other income / (expense)" in our Condensed Consolidated Statements of Operations.

Recurring Fair Value Measurements

The following table presents the fair value, carrying value and cost of our non-derivative instruments as of September 30, 2022 and December 31, 2021.


	September 30, 2022				December 31, 2021
$ in millions	Cost		Fair Value		Cost		Fair Value
Assets
Money market funds	$	0.4	$	0.4	$	0.4	$	0.4
Equity securities	1.8		3.6		1.9		5.1
Debt securities	3.7		3.2		3.8		3.9



Total	$	5.9	$	7.2	$	6.1	$	9.4

These financial instruments are not subject to master netting agreements or collateral requirements and, as such, are presented in the Condensed Consolidated Balance Sheets at their gross fair value.

We did not have any transfers of the fair values of our financial instruments between Level 1, Level 2 or Level 3 of the fair value hierarchy during the nine months ended September 30, 2022 or 2021.

The fair value of assets and liabilities as of September 30, 2022 and December 31, 2021 measured on a recurring basis and the respective category within the fair value hierarchy for DPL is as follows:


$ in millions	Fair value as of September 30, 2022								Fair value as of December 31, 2021
	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Assets
Master Trust assets
Money market funds	$	0.4	$	—	$	—	$	0.4	$	0.4	$	—	$	—	$	0.4
Equity securities	—		3.6		—		3.6		—		5.1		—		5.1
Debt securities	—		3.2		—		3.2		—		3.9		—		3.9








Total assets	$	0.4	$	6.8	$	—	$	7.2	$	0.4	$	9.0	$	—	$	9.4

Financial Instruments not Measured at Fair Value in the Condensed Consolidated Balance Sheets

The fair value of long-term debt is based on current public market prices for disclosure purposes only. These fair value inputs are considered Level 2 in the fair value hierarchy. As the Wright-Patterson Air Force Base note is not publicly traded, the fair value inputs are considered Level 3 in the fair value hierarchy as there are no observable inputs. Unrealized gains or losses are not recognized in the financial statements as long-term debt is presented at carrying value, net of unamortized premium or discount and unamortized deferred financing costs in the financial statements. The long-term debt amounts include the current portion payable in the next twelve months and have maturities that range from 2025 to 2061.

The following table presents the carrying amount, fair value, and fair value hierarchy of our financial liabilities that are not measured at fair value in the Condensed Consolidated Balance Sheets as of the periods indicated, but for which fair value is disclosed:


	Carrying Amount		Fair value as of September 30, 2022								Carrying Amount		Fair value as of December 31, 2021
$ in millions			Level 1		Level 2		Level 3		Total				Level 1		Level 2		Level 3		Total
Liabilities
Long-term debt	$	1,535.6	$	—	$	1,346.0	$	17.1	$	1,363.1	$	1,395.5	$	—	$	1,502.5	$	17.2	$	1,519.7

Subsidiaries [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value

FAIR VALUE

Financial Assets

AES Ohio established a Master Trust to hold assets that could be used for the benefit of employees participating in employee benefit plans and these assets are not used for general operating purposes. These assets are primarily comprised of open-ended mutual funds, which are valued using the net asset value per unit. These investments are recorded at fair value within Other non-current assets on the Condensed Balance Sheets and classified as equity investments. We recorded net unrealized gains / (losses) of $(0.4) million and $(0.1) million during the three months ended September 30, 2022 and 2021, respectively, and $(2.0) million and $0.4 million during the nine months ended September 30, 2022 and 2021, respectively. These amounts are included in "Other income / (expense)" in our Condensed Statements of Operations.

Recurring Fair Value Measurements

The following table presents the fair value, carrying value and cost of our non-derivative instruments as of September 30, 2022 and December 31, 2021.


	September 30, 2022				December 31, 2021
$ in millions	Cost		Fair Value		Cost		Fair Value
Assets
Money market funds	$	0.4	$	0.4	$	0.4	$	0.4
Equity securities	1.8		3.6		1.9		5.1
Debt securities	3.7		3.2		3.8		3.9



Total	$	5.9	$	7.2	$	6.1	$	9.4

These financial instruments are not subject to master netting agreements or collateral requirements and, as such, are presented in the Condensed Balance Sheets at their gross fair value.

We did not have any transfers of the fair values of our financial instruments between Level 1, Level 2 or Level 3 of the fair value hierarchy during the nine months ended September 30, 2022 or 2021.


$ in millions	Fair value as of September 30, 2022								Fair value as of December 31, 2021
	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Assets
Master Trust assets
Money market funds	$	0.4	$	—	$	—	$	0.4	$	0.4	$	—	$	—	$	0.4
Equity securities	—		3.6		—		3.6		—		5.1		—		5.1
Debt securities	—		3.2		—		3.2		—		3.9		—		3.9










Total assets	$	0.4	$	6.8	$	—	$	7.2	$	0.4	$	9.0	$	—	$	9.4

Financial Instruments not Measured at Fair Value in the Condensed Balance Sheets

The following table presents the carrying amount, fair value, and fair value hierarchy of our financial liabilities that are not measured at fair value in the Condensed Balance Sheets as of the periods indicated, but for which fair value is disclosed:


	Carrying Amount		Fair value as of September 30, 2022							Carrying Amount		Fair value as of December 31, 2021
$ in millions			Level 1		Level 2		Level 3	Total				Level 1		Level 2		Level 3		Total
Liabilities
Long-term debt	$	712.9	$	—	$	610.0	17.1	$	627.1	$	574.3	$	—	$	625.4	$	17.2	$	642.6

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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