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Derivative Instruments and Hedging Activities

9 Months Ended

Sep. 30, 2011

Derivative Instruments and Hedging Activities

9. Derivative Instruments and Hedging Activities

In the normal course of business, DPL and DP&L enter into various financial instruments, including derivative financial instruments. We use derivatives principally to manage the risk of changes in market prices for commodities. The derivatives that we use to economically hedge these risks are governed by our risk management policies for forward and futures contracts. Our net positions are continually assessed within our structured hedging programs to determine whether new or offsetting transactions are required. The objective of the hedging program is generally to mitigate financial risks while ensuring that we have adequate resources to meet our requirements. We monitor and value derivative positions monthly as part of our risk management processes. We use published sources for pricing when possible to mark positions to market. All of our derivative instruments are used for risk management purposes and are designated as a cash flow hedge or marked to market each reporting period.

At September 30, 2011, DPL and DP&L had the following outstanding derivative instruments:


						Net Purchases/
	Accounting		Purchases	Sales		(Sales)
Commodity	Treatment	Unit	(in thousands)	(in thousands)		(in thousands)
FTRs ⁽¹⁾	Mark to Market	MWh	11.3	1.0		12.3
Heating Oil Futures ⁽¹⁾	Mark to Market	Gallons	3,654.0	-		3,654.0
Forward Power Contracts ⁽¹⁾	Cash Flow Hedge	MWh	974.9	(746.5	)	228.4
Forward Power Contracts ⁽¹⁾	Mark to Market	MWh	587.0	(570.7	)	16.3
Forward Power Contracts ⁽²⁾	Mark to Market	MWh	1,365.2	(1,350.1	)	15.1
NYMEX-quality Coal Contracts* ⁽¹⁾	Mark to Market	Tons	2,658.3	-		2,658.3
Interest Rate Swaps ⁽²⁾	Cash Flow Hedge	USD	160,000.0	-		160,000.0

*Includes our partners' share for the jointly-owned plants that DP&L operates.

⁽¹⁾	Reflected in both DPL's and DP&L's Condensed Consolidated Financial Statements.
⁽²⁾	Reflected in only DPL's Condensed Consolidated Financial Statements.

At December 31, 2010, DPL and DP&L had the following outstanding derivative instruments:


						Net Purchases/
	Accounting		Purchases	Sales		(Sales)
Commodity	Treatment	Unit	(in thousands)	(in thousands)		(in thousands)
FTRs ⁽¹⁾	Mark to Market	MWh	9.0	-		9.0
Heating Oil Futures ⁽¹⁾	Mark to Market	Gallons	6,216.0	-		6,216.0
Forward Power Contracts ⁽¹⁾	Cash Flow Hedge	MWh	580.8	(572.9	)	7.9
Forward Power Contracts ⁽¹⁾	Mark to Market	MWh	195.6	(108.5	)	87.1
NYMEX-quality Coal Contracts* ⁽¹⁾	Mark to Market	Tons	4,006.8	-		4,006.8
Interest Rate Swaps ⁽²⁾	Cash Flow Hedge	USD	360,000.0	-		360,000.0

*Includes our partners' share for the jointly-owned plants that DP&L operates.

⁽¹⁾	Reflected in both DPL's and DP&L's Condensed Consolidated Financial Statements.
⁽²⁾	Reflected in only DPL's Condensed Consolidated Financial Statements.

Cash Flow Hedges

As part of our risk management processes, we identify the relationships between hedging instruments and hedged items, as well as the risk management objective and strategy for undertaking various hedge transactions. The fair value of cash flow hedges as determined by current public market prices will continue to fluctuate with changes in market prices up to contract expiration. The effective portion of the hedging transaction is recognized in AOCI and transferred to earnings using specific identification of each contract when the forecasted hedged transaction takes place or when the forecasted hedged transaction is probable of not occurring. The ineffective portion of the cash flow hedge is recognized in earnings in the current period. All risk components were taken into account to determine the hedge effectiveness of the cash flow hedges.

We enter into forward power contracts to manage commodity price risk exposure related to our generation of electricity. We do not hedge all commodity price risk. We reclassify gains and losses on forward power contracts from AOCI into earnings in those periods in which the contracts settle.

We also enter into interest rate derivative contracts to manage interest rate exposure related to anticipated borrowings of fixed-rate debt. We do not hedge all interest rate exposure. As of September 30, 2011, we have outstanding interest rate hedging relationships with aggregate notional amounts of $160 million related to planned future borrowing activities in calendar year 2013. During the three months ended September 30, 2011, interest rate hedging relationships with a notional amount of $200 million settled resulting in DPL making a cash payment of $48.1 million ($31.3 million net of tax) during the period. As part of the Proposed Merger discussed in Note 16, DPL entered into a $425.0 million unsecured term loan agreement with a syndicated bank group on August 24, 2011, in part, to pay the approximately $297.4 million principal amount of DPL's 6.875% debt that was due in September 2011. The remainder will be used for other corporate purposes. This agreement is for a three year term expiring on August 24, 2014. See Note 5 for further information. As a result, some of the forecasted transactions originally being hedged are probable of not occurring and therefore approximately $3.1 million ($2.0 million net of tax) of the fair value of the derivative instrument associated with those forecasted transactions has been reclassified out of AOCI and reflected in earnings during the quarter ended September 30, 2011 and approximately $5.1 million ($3.3 million net of tax) has been reclassified during the nine months ended September 30, 2011. The remaining forecasted transactions associated with our 2013 anticipated fixed-rate debt offerings have a high probability of occurrence as the proceeds will be used to fund existing debt maturities and projected capital expenditures. We reclassify gains and losses on interest rate derivative hedges related to our debt financings from AOCI into earnings in those periods in which hedged interest payments occur.

The following table provides information for DPL concerning gains or losses recognized in AOCI for the cash flow hedges for the three months ended September 30, 2011 and 2010:


		September 30,						September 30,
		2011						2010
					Interest					Interest
$ in millions (net of tax)		Power		Rate Hedge				Power		Rate Hedge

Beginning accumulated derivative
gain / (loss) in AOCI	$	(1.5	)	$	12.3		$	-		$	7.7

Net gains / (losses) associated with current
period hedging transactions		1.8			(49.8	)		(0.4	)		(8.9	)

Net (gains) / losses reclassified to earnings
Interest expense		-			1.4			-			(0.6	)
Revenues		0.1			-			0.8			-
Purchased power		-			-			-			-

Ending accumulated derivative
gain / (loss) in AOCI	$	0.4		$	(36.1	)	$	0.4		$	(1.8	)

Net (gains) / losses associated with the
ineffective portion of the hedging transaction
Interest expense		-			3.1
Revenues		-			-

Portion expected to be reclassified to
earnings in the next twelve months*	$	0.8		$	2.4

Maximum length of time that we are hedging
our exposure to variability in future cash flows
related to forecasted transactions (in months)		39			24

*	The actual amounts that we reclassify from AOCI to earnings related to power can differ from the estimate above due to market price changes.

The following table provides information for DPL concerning gains or losses recognized in AOCI for the cash flow hedges for the nine months ended September 30, 2011 and 2010:


		September 30,						September 30,
		2011						2010
					Interest						Interest
$ in millions (net of tax)		Power		Rate Hedge				Power		Rate Hedge

Beginning accumulated derivative
gain / (loss) in AOCI	$	(1.8	)	$	21.4		$	(1.4	)	$	14.7

Net gains / (losses) associated with current
period hedging transactions		0.8			(59.0	)		3.3			(14.7	)

Net (gains) / losses reclassified to earnings
Interest expense		-			1.5			-			(1.8	)
Revenues		0.8			-			(1.5	)		-
Purchased power		0.6			-			-			-

Ending accumulated derivative
gain / (loss) in AOCI	$	0.4		$	(36.1	)	$	0.4		$	(1.8	)

Net (gains) / losses associated with the
ineffective portion of the hedging transaction
Interest expense		-			5.1
Revenues		-			-

Portion expected to be reclassified to
earnings in the next twelve months*	$	0.8		$	2.4

Maximum length of time that we are hedging
our exposure to variability in future cash flows
related to forecasted transactions (in months)		39			24

*	The actual amounts that we reclassify from AOCI to earnings related to power can differ from the estimate above due to market price changes.

The following table provides information for DP&L concerning gains or losses recognized in AOCI for the cash flow hedges for the three months ended September 30, 2011 and 2010:


		September 30,						September 30,
		2011						2010
					Interest						Interest
$ in millions (net of tax)		Power		Rate Hedge				Power		Rate Hedge

Beginning accumulated derivative
gain / (loss) in AOCI	$	(1.5	)	$	11.0		$	-		$	13.5

Net gains / (losses) associated with current
period hedging transactions		1.8			-			(0.4	)		-

Net (gains) / losses reclassified to earnings
Interest expense		-			(0.6	)		-			(0.6	)
Revenues		0.1			-			0.8			-
Purchased power		-			-			-			-

Ending accumulated derivative
gain / (loss) in AOCI	$	0.4		$	10.4		$	0.4		$	12.9

Net (gains) / losses associated with the
ineffective portion of the hedging transaction
Interest expense		-			-
Revenues		-			-

Portion expected to be reclassified to
earnings in the next twelve months*	$	0.8		$	2.4

Maximum length of time that we are hedging
our exposure to variability in future cash flows
related to forecasted transactions (in months)		39			-

*The actual amounts that we reclassify from AOCI to earnings related to power can differ from the estimate above due to market price changes.

The following table provides information for DP&L concerning gains or losses recognized in AOCI for the cash flow hedges for the nine months ended September 30, 2011 and 2010:


		September 30,						September 30,
		2011						2010
					Interest						Interest
$ in millions (net of tax)		Power		Rate Hedge				Power		Rate Hedge

Beginning accumulated derivative
gain / (loss) in AOCI	$	(1.8	)	$	12.3		$	(1.4	)	$	14.7

Net gains / (losses) associated with current
period hedging transactions		0.8			-			3.3			-

Net (gains) / losses reclassified to earnings
Interest expense		-			(1.9	)		-			(1.8	)
Revenues		0.8			-			(1.5	)		-
Purchased power		0.6			-			-			-

Ending accumulated derivative
gain / (loss) in AOCI	$	0.4		$	10.4		$	0.4		$	12.9

Net (gains) / losses associated with the
ineffective portion of the hedging transaction
Interest expense		-			-
Revenues		-			-

Portion expected to be reclassified to
earnings in the next twelve months*	$	0.8		$	2.4

Maximum length of time that we are hedging
our exposure to variability in future cash flows
related to forecasted transactions (in months)		39			-

*The actual amounts that we reclassify from AOCI to earnings related to power can differ from the estimate above due to market price changes.

The following tables show the fair value and balance sheet classification of DPL's derivative instruments designated as hedging instruments at September 30, 2011 and December 31, 2010.


Fair Values of Derivative Instruments Designated as Hedging Instruments
at September 30, 2011

DPL
									Fair Value on
$ in millions	Fair Value¹			Netting ²			Balance Sheet Location		Balance Sheet
Short-term Derivative Positions
Forward Power Contracts in an Asset position	$	0.3		$	(0.3	)	Other prepayments	$	-
							and current assets
Forward Power Contracts in a Liability position		(1.1	)		0.2		Other current liabilities		(0.9	)
Total short-term cash flow hedges	$	(0.8	)	$	(0.1	)		$	(0.9	)

Long-term derivative positions
Forward Power Contracts in an Asset position	$	1.4		$	(1.0	)	Other deferred assets	$	0.4
Forward Power Contracts in a Liability position		(0.2	)		0.1		Other deferred credits		(0.1	)
Interest Rate Hedges in a Liability position		(28.5	)		-		Other deferred credits		(28.5	)
Total long-term cash flow hedges	$	(27.3	)	$	(0.9	)		$	(28.2	)

Total cash flow hedges	$	(28.1	)	$	(1.0	)		$	(29.1	)

¹Includes credit valuation adjustment.

²Includes counterparty and collateral netting.


Fair Values of Derivative Instruments Designated as Hedging Instruments
at December 31, 2010

DPL
									Fair Value on
$ in millions	Fair Value¹			Netting ²			Balance Sheet Location		Balance Sheet
Short-term Derivative Positions
Forward Power Contracts in a Liability Position	$	(2.8	)	$	1.0		Other current liabilities	$	(1.8	)
Interest Rate Hedges in a Liability Position		(6.6	)		-		Other current liabilities		(6.6	)
Total short-term cash flow hedges	$	(9.4	)	$	1.0			$	(8.4	)

Long-term Derivative Positions
Forward Power Contracts in an Asset Position	$	0.2		$	(0.2	)	Other deferred assets	$	-
Forward Power Contracts in a Liability Position		(0.2	)		0.1		Other deferred credits		(0.1	)
Interest Rate Hedges in an Asset Position		20.7			-		Other deferred assets		20.7
Total long-term cash flow hedges	$	20.7		$	(0.1	)		$	20.6

Total cash flow hedges	$	11.3		$	0.9			$	12.2

¹Includes credit valuation adjustment.

²Includes counterparty and collateral netting.

The following tables show the fair value and balance sheet classification of DP&L's derivative instruments designated as hedging instruments at September 30, 2011 and December 31, 2010.


Fair Values of Derivative Instruments Designated as Hedging Instruments
at September 30, 2011

DP&L
									Fair Value on
$ in millions	Fair Value¹			Netting²			Balance Sheet Location		Balance Sheet
Short-term Derivative Positions
Forward Power Contracts in an Asset position	$	0.3		$	(0.3	)	Other prepayments	$	-
							and current assets
Forward Power Contracts in a Liability position		(1.1	)		0.2		Other current liabilities		(0.9	)

Total short-term cash flow hedges	$	(0.8	)	$	(0.1	)		$	(0.9	)

Long-term derivative positions
Forward Power Contracts in an Asset position	$	1.4		$	(1.0	)	Other deferred assets	$	0.4
Forward Power Contracts in a Liability position		(0.1	)		0.1		Other deferred credits		-

Total long-term cash flow hedges	$	1.3		$	(0.9	)		$	0.4

Total cash flow hedges	$	0.5		$	(1.0	)		$	(0.5	)

¹Includes credit valuation adjustment.

²Includes counterparty and collateral netting.


Fair Values of Derivative Instruments Designated as Hedging Instruments
at December 31, 2010

DP&L
									Fair Value on
$ in millions	Fair Value¹			Netting²			Balance Sheet Location		Balance Sheet
Short-term Derivative Positions
Forward Power Contracts in a Liability Position	$	(2.8	)	$	1.0		Other current liabilities	$	(1.8	)
Total short-term cash flow hedges	$	(2.8	)	$	1.0			$	(1.8	)

Long-term Derivative Positions
Forward Power Contracts in an Asset Position	$	0.2		$	(0.2	)	Other deferred assets	$	-
Forward Power Contracts in a Liability Position		(0.2	)		0.1		Other deferred credits		(0.1	)
Total long-term cash flow hedges	$	-		$	(0.1	)		$	(0.1	)

Total cash flow hedges	$	(2.8	)	$	0.9			$	(1.9	)

¹Includes credit valuation adjustment.

²Includes counterparty and collateral netting.

Mark-to-Market Accounting

Certain derivative contracts are entered into on a regular basis as part of our risk management program but do not qualify for hedge accounting or the normal purchase and sales exceptions under FASC Topic 815. Accordingly, such contracts are recorded at fair value with changes in the fair value charged or credited to the Condensed Consolidated Statements of Results of Operations in the period in which the change occurred. This is commonly referred to as "MTM accounting." Contracts we enter into as part of our risk management program may be settled financially, by physical delivery or net settled with the counterparty. We currently mark-to-market Financial Transmission Rights (FTRs), heating oil futures, forward NYMEX-quality coal contracts and certain forward power contracts.

Certain qualifying derivative instruments have been designated as normal purchases or normal sales contracts, as provided under GAAP. Derivative contracts that have been designated as normal purchases or normal sales under GAAP are not subject to MTM accounting treatment and are recognized in the Condensed Consolidated Statements of Results of Operations on an accrual basis.

Regulatory Assets and Liabilities

In accordance with regulatory accounting under GAAP, a cost that is probable of recovery in future rates should be deferred as a regulatory asset and a revenue that is probable of being returned to customers should be deferred as a regulatory liability. Portions of the derivative contracts that are marked to market each reporting period and are related to the retail portion of DP&L's load requirements are included as part of the fuel and purchased power recovery rider approved by the PUCO which began January 1, 2010. Therefore, the Ohio retail customers' portion of the heating oil futures and the NYMEX-quality coal contracts are deferred as a regulatory asset or liability until the contracts settle. If these unrealized gains and losses are no longer deemed to be probable of recovery through our rates, they will be reclassified into earnings in the period such determination is made.

The following tables show the amount and classification within the Condensed Consolidated Statements of Results 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, 2011 and 2010.


For the three months ended September 30, 2011

	NYMEX			Heating
$ in millions		Coal			Oil			FTRs			Power			Total
Change in unrealized gain / (loss)	$	(27.9	)	$	(1.6	)	$	(0.1	)	$	(0.3	)	$	(29.9	)
Realized gain / (loss)		4.3			0.5			-			1.2			6.0
Total	$	(23.6	)	$	(1.1	)	$	(0.1	)	$	0.9		$	(23.9	)
Recorded on Balance Sheet:
Partner's share of gain / (loss)	$	(13.8	)	$	-		$	-		$	-		$	(13.8	)
Regulatory (asset) / liability		(4.0	)		(0.6	)		-			-			(4.6	)

Recorded in Income Statement: gain / (loss)
Retail Revenue	$	-		$	-		$	-		$	(1.6	)	$	(1.6	)
Purchased power		-			-			(0.1	)		2.5			2.4
Fuel		(5.8	)		(0.5	)		-			-			(6.3	)
O&M		-			-			-			-			-
Total	$	(23.6	)	$	(1.1	)	$	(0.1	)	$	0.9		$	(23.9	)


For the three months ended September 30, 2010

NYMEX
$ in millions		Coal		Heating Oil				FTRs			Power		Total
Change in unrealized gain / (loss)	$	(3.8	)	$	1.3		$	(0.1	)	$	0.5	$	(2.1	)
Realized gain / (loss)		0.6			(0.4	)		(0.4	)		-		(0.2	)
Total	$	(3.2	)	$	0.9		$	(0.5	)	$	0.5	$	(2.3	)
Recorded on Balance Sheet:
Partner's share of gain / (loss)	$	(1.6	)	$	-		$	-		$	-	$	(1.6	)
Regulatory (asset) / liability		(1.0	)		0.7			-			-		(0.3	)

Recorded in Income Statement: gain / (loss)

Purchased power	$	-		$	-		$	(0.5	)	$	0.5	$	-
Fuel		(0.6	)		0.2			-			-		(0.4	)
O&M		-			-			-			-		-
Total	$	(3.2	)	$	0.9		$	(0.5	)	$	0.5	$	(2.3	)


For the nine months ended September 30, 2011

	NYMEX			Heating
$ in millions		Coal			Oil		FTRs			Power			Total
Change in unrealized gain / (loss)	$	(41.6	)	$	-	$	(0.1	)	$	0.6		$	(41.1	)
Realized gain / (loss)		8.1			1.5		(0.6	)		(0.8	)		8.2
Total	$	(33.5	)	$	1.5	$	(0.7	)	$	(0.2	)	$	(32.9	)
Recorded on Balance Sheet:
Partner's share of gain / (loss)	$	(21.2	)	$	-	$	-		$	-		$	(21.2	)
Regulatory (asset) / liability		(5.9	)		0.1		-			-			(5.8	)

Recorded in Income Statement: gain / (loss)
Retail revenue	$	-		$	-	$	-		$	(6.3	)	$	(6.3	)
Purchased power		-			-		(0.7	)		6.1			5.4
Fuel		(6.4	)		1.3		-			-			(5.1	)
O&M		-			0.1		-			-			0.1
Total	$	(33.5	)	$	1.5	$	(0.7	)	$	(0.2	)	$	(32.9	)


For the nine months ended September 30, 2010

	NYMEX			Heating
$ in millions		Coal			Oil			FTRs			Power			Total
Change in unrealized gain / (loss)	$	(1.0	)	$	1.5		$	(0.4	)	$	0.7		$	0.8
Realized gain / (loss)		1.6			(1.5	)		(1.4	)		(0.1	)		(1.4	)
Total	$	0.6		$	-		$	(1.8	)	$	0.6		$	(0.6	)
Recorded on Balance Sheet:
Partner's share of gain / (loss)	$	0.2		$	-		$	-		$	-		$	0.2
Regulatory (asset) / liability		(0.6	)		0.6			-			-			-

Recorded in Income Statement: gain / (loss)
Wholesale revenue	$	-		$	-		$	-		$	(0.1	)	$	(0.1	)
Purchased power		-			-			(1.8	)		0.7			(1.1	)
Fuel		1.0			(0.5	)		-			-			0.5
O&M		-			(0.1	)		-			-			(0.1	)
Total	$	0.6		$	-		$	(1.8	)	$	0.6		$	(0.6	)

The following tables show the amount and classification within the Condensed Statements of Results of Operations or Condensed Balance Sheets of the gains and losses on DP&L's derivatives not designated as hedging instruments for the three and nine months ended September 30, 2011 and 2010.


For the three months ended September 30, 2011

	NYMEX			Heating
$ in millions		Coal			Oil			FTRs			Power			Total
Change in unrealized gain / (loss)	$	(27.9	)	$	(1.6	)	$	(0.1	)	$	0.3		$	(29.3	)
Realized gain / (loss)		4.3			0.5			-			(0.3	)		4.5
Total	$	(23.6	)	$	(1.1	)	$	(0.1	)	$	-		$	(24.8	)
Recorded on Balance Sheet:
Partner's share of gain / (loss)	$	(13.8	)	$	-		$	-		$	-		$	(13.8	)
Regulatory (asset) / liability		(4.0	)		(0.6	)		-			-			(4.6	)

Recorded in Income Statement: gain / (loss)
Retail revenue	$	-		$	-		$	-		$	(0.1	)	$	(0.1	)
Purchased power		-			-			(0.1	)		0.1			-
Fuel		(5.8	)		(0.5	)		-			-			(6.3	)
O&M		-			-			-			-			-
Total	$	(23.6	)	$	(1.1	)	$	(0.1	)	$	-		$	(24.8	)


For the three months ended September 30, 2010

	NYMEX			Heating
$ in millions		Coal			Oil			FTRs			Power		Total
Change in unrealized gain / (loss)	$	(3.8	)	$	1.3		$	(0.1	)	$	0.5	$	(2.1	)
Realized gain / (loss)		0.6			(0.4	)		(0.4	)		-		(0.2	)
Total	$	(3.2	)	$	0.9		$	(0.5	)	$	0.5	$	(2.3	)
Recorded on Balance Sheet:
Partner's share of gain / (loss)	$	(1.6	)	$	-		$	-		$	-	$	(1.6	)
Regulatory (asset) / liability		(1.0	)		0.7			-			-		(0.3	)

Recorded in Income Statement: gain / (loss)
Purchased power	$	-		$	-		$	(0.5	)	$	0.5	$	-
Fuel		(0.6	)		0.2			-			-		(0.4	)
O&M		-			-			-			-		-
Total	$	(3.2	)	$	0.9		$	(0.5	)	$	0.5	$	(2.3	)


For the nine months ended September 30, 2011

	NYMEX			Heating
$ in millions		Coal			Oil		FTRs			Power			Total
Change in unrealized gain / (loss)	$	(41.6	)	$	-	$	(0.1	)	$	-		$	(41.7	)
Realized gain / (loss)		8.1			1.5		(0.6	)		(0.8	)		8.2
Total	$	(33.5	)	$	1.5	$	(0.7	)	$	(0.8	)	$	(33.5	)
Recorded on Balance Sheet:
Partner's share of gain / (loss)	$	(21.2	)	$	-	$	-		$	-		$	(21.2	)
Regulatory (asset) / liability		(5.9	)		0.1		-			-			(5.8	)

Recorded in Income Statement: gain / (loss)
Retail revenue	$	-		$	-	$	-		$	(0.2	)	$	(0.2	)
Purchased power		-			-		(0.7	)		(0.6	)		(1.3	)
Fuel		(6.4	)		1.3		-			-			(5.1	)
O&M		-			0.1		-			-			0.1
Total	$	(33.5	)	$	1.5	$	(0.7	)	$	(0.8	)	$	(33.5	)


For the nine months ended September 30, 2010

	NYMEX			Heating
$ in millions		Coal			Oil			FTRs			Power			Total
Change in unrealized gain / (loss)	$	(1.0	)	$	1.5		$	(0.4	)	$	0.7		$	0.8
Realized gain / (loss)		1.6			(1.5	)		(1.4	)		(0.1	)		(1.4	)
Total	$	0.6		$	-		$	(1.8	)	$	0.6		$	(0.6	)
Recorded on Balance Sheet:
Partner's share of gain / (loss)	$	0.2		$	-		$	-		$	-		$	0.2
Regulatory (asset) / liability		(0.6	)		0.6			-			-			-

Recorded in Income Statement: gain / (loss)
Wholesale revenue	$	-		$	-		$	-		$	(0.1	)	$	(0.1	)
Purchased power		-			-			(1.8	)		0.7			(1.1	)
Fuel		1.0			(0.5	)		-			-			0.5
O&M		-			(0.1	)		-			-			(0.1	)
Total	$	0.6		$	-		$	(1.8	)	$	0.6		$	(0.6	)

The following tables show the fair value and balance sheet classification of DPL's derivative instruments not designated as hedging instruments at September 30, 2011.


Fair Values of Derivative Instruments Not Designated as Hedging Instruments
at September 30, 2011

								Fair Value on
$ in millions	Fair Value¹			Netting²			Balance Sheet Location	Balance Sheet
Short-term Derivative Positions
FTRs in an Asset position	$	0.1		$	-		Other prepayments and current assets	$	0.1
Forward Power Contracts in an Asset position		6.4			(0.4	)	Other prepayments and current assets		6.0
Forward Power Contracts in a Liability position		(3.8	)		1.4		Other current liabilities		(2.4	)

NYMEX-Quality Coal Forwards in an Asset position		1.6			(1.0	)	Other prepayments and current assets		0.6

NYMEX-Quality Coal Forwards in a Liability position		(1.8	)		1.8		Other current liabilities		-
Heating Oil Futures in an Asset position		1.7			(1.7	)	Other prepayments and current assets		-
Total short-term derivative MTM positions	$	4.2		$	0.1			$	4.3

Long-term Derivative Positions
Forward Power Contracts in an Asset position	$	4.7		$	(0.3	)	Other deferred assets	$	4.4
Forward Power Contracts in a Liability position		(1.5	)		0.9		Other deferred credits		(0.6	)

NYMEX-Quality Coal Forwards in an Asset position		0.7			(0.2	)	Other deferred assets		0.5

NYMEX-Quality Coal Forwards in a Liability position		(4.5	)		4.5		Other deferred credits		-
Total long-term derivative MTM positions	$	(0.6	)	$	4.9			$	4.3

Total MTM Position	$	3.6		$	5.0			$	8.6

¹Includes credit valuation adjustment.

²Includes counterparty and collateral netting.

The following tables show the fair value and balance sheet classification of DP&L's derivative instruments not designated as hedging instruments at September 30, 2011.


Fair Values of Derivative Instruments Not Designated as Hedging Instruments
at September 30, 2011

								Fair Value on
$ in millions	Fair Value¹			Netting²			Balance Sheet Location	Balance Sheet
Short-term Derivative Positions
FTRs in an Asset position	$	0.1		$	-		Other prepayments and current assets	$	0.1
Forward Power Contracts in an Asset position		0.7			(0.6	)	Other prepayments and current assets		0.1
Forward Power Contracts in a Liability position		(0.7	)		0.6		Other current liabilities		(0.1	)

NYMEX-Quality Coal Forwards in an Asset position		1.6			(0.9	)	Other prepayments and current assets		0.7

NYMEX-Quality Coal Forwards in a Liability position		(1.8	)		1.8		Other current liabilities		-
Heating Oil Futures in an Asset position		1.7			(1.7	)	Other prepayments and current assets		-
Total short-term derivative MTM positions	$	1.6		$	(0.8	)		$	0.8

Long-term Derivative Positions
Forward Power Contracts in an Asset position	$	0.8		$	(0.5	)	Other deferred assets	$	0.3
Forward Power Contracts in a Liability position		(0.9	)		0.5		Other deferred credits		(0.4	)

NYMEX-Quality Coal Forwards in an Asset position		0.7			(0.3	)	Other deferred assets		0.4

NYMEX-Quality Coal Forwards in a Liability position		(4.5	)		4.5		Other deferred credits		-
Total long-term derivative MTM positions	$	(3.9	)	$	4.2			$	0.3

Total MTM Position	$	(2.3	)	$	3.4			$	1.1

¹Includes credit valuation adjustment.

²Includes counterparty and collateral netting.

The following tables show the fair value and balance sheet classification of DPL's and DP&L's derivative instruments not designated as hedging instruments at December 31, 2010.


Fair Values of Derivative Instruments Not Designated as Hedging Instruments
at December 31, 2010

									Fair Value on
$ in millions	Fair Value¹				Netting²		Balance Sheet Location		Balance Sheet
Short-term Derivative Positions
FTRs in an Asset position	$	0.3		$	-		Other prepayments and current assets	$	0.3
Forward Power Contracts in a Liability position		(0.1	)		-		Other current liabilities		(0.1	)
NYMEX-Quality Coal Forwards in an Asset position		14.0			(7.4	)	Other prepayments and current assets		6.6
Heating Oil Futures in an Asset position		0.5			(0.5	)	Other current liabllities		-

Total short-term derivative MTM positions	$	14.7		$	(7.9	)		$	6.8

Long-term Derivative Positions
NYMEX-Quality Coal Forwards in an Asset position	$	23.5		$	(14.5	)	Other deferred assets	$	9.0
Heating Oil Futures in an Asset position		1.1			(1.1	)	Other deferred assets		-
Total long-term derivative MTM positions	$	24.6		$	(15.6	)		$	9.0

Total MTM Position	$	39.3		$	(23.5	)		$	15.8

¹Includes credit valuation adjustment.

²Includes counterparty and collateral netting.

Certain of our OTC commodity derivative contracts are under master netting agreements that contain provisions that require our debt to maintain an investment grade credit rating from credit rating agencies. If our debt were to fall below investment grade, we would be in violation of these provisions, and the counterparties to the derivative instruments could request immediate payment or demand immediate and ongoing full overnight collateralization of the MTM loss. The changes in our credit ratings in April 2011 have not triggered the provisions discussed above; however, there is a possibility of further downgrades related to the Proposed Merger with AES that could trigger such provisions. See Note 16 of Notes to Condensed Consolidated Financial Statements.

The aggregate fair value of DPL's derivative instruments that are in a MTM loss position at September 30, 2011 is $13.1 million. This amount is offset by $6.9 million of collateral posted directly with third parties and in a broker margin account which offsets our loss positions on the forward power contracts. This liability position is further offset by the asset position of counterparties with master netting agreements of $2.1 million. If our debt were to fall below investment grade, we would have to post collateral for the remaining $4.1 million.

The aggregate fair value of DP&L's derivative instruments that are in a MTM loss position at September 30, 2011 is $8.5 million. This amount is offset by $5.2 million in a broker margin account which offsets our loss positions on the forward power contracts. This liability position is further offset by the asset position of counterparties with master netting agreements of $2.1 million. If DP&L debt were to fall below investment grade, DP&L would have to post collateral for the remaining $1.2 million.

DP&L [Member]

Derivative Instruments and Hedging Activities

9. Derivative Instruments and Hedging Activities

At September 30, 2011, DPL and DP&L had the following outstanding derivative instruments:


						Net Purchases/
	Accounting		Purchases	Sales		(Sales)
Commodity	Treatment	Unit	(in thousands)	(in thousands)		(in thousands)
FTRs ⁽¹⁾	Mark to Market	MWh	11.3	1.0		12.3
Heating Oil Futures ⁽¹⁾	Mark to Market	Gallons	3,654.0	-		3,654.0
Forward Power Contracts ⁽¹⁾	Cash Flow Hedge	MWh	974.9	(746.5	)	228.4
Forward Power Contracts ⁽¹⁾	Mark to Market	MWh	587.0	(570.7	)	16.3
Forward Power Contracts ⁽²⁾	Mark to Market	MWh	1,365.2	(1,350.1	)	15.1
NYMEX-quality Coal Contracts* ⁽¹⁾	Mark to Market	Tons	2,658.3	-		2,658.3
Interest Rate Swaps ⁽²⁾	Cash Flow Hedge	USD	160,000.0	-		160,000.0

*Includes our partners' share for the jointly-owned plants that DP&L operates.

⁽¹⁾	Reflected in both DPL's and DP&L's Condensed Consolidated Financial Statements.
⁽²⁾	Reflected in only DPL's Condensed Consolidated Financial Statements.

At December 31, 2010, DPL and DP&L had the following outstanding derivative instruments:


						Net Purchases/
	Accounting		Purchases	Sales		(Sales)
Commodity	Treatment	Unit	(in thousands)	(in thousands)		(in thousands)
FTRs ⁽¹⁾	Mark to Market	MWh	9.0	-		9.0
Heating Oil Futures ⁽¹⁾	Mark to Market	Gallons	6,216.0	-		6,216.0
Forward Power Contracts ⁽¹⁾	Cash Flow Hedge	MWh	580.8	(572.9	)	7.9
Forward Power Contracts ⁽¹⁾	Mark to Market	MWh	195.6	(108.5	)	87.1
NYMEX-quality Coal Contracts* ⁽¹⁾	Mark to Market	Tons	4,006.8	-		4,006.8
Interest Rate Swaps ⁽²⁾	Cash Flow Hedge	USD	360,000.0	-		360,000.0

*Includes our partners' share for the jointly-owned plants that DP&L operates.

⁽¹⁾	Reflected in both DPL's and DP&L's Condensed Consolidated Financial Statements.
⁽²⁾	Reflected in only DPL's Condensed Consolidated Financial Statements.

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 months ended September 30, 2011 and 2010:


		September 30,						September 30,
		2011						2010
					Interest					Interest
$ in millions (net of tax)		Power		Rate Hedge				Power		Rate Hedge

Beginning accumulated derivative
gain / (loss) in AOCI	$	(1.5	)	$	12.3		$	-		$	7.7

Net gains / (losses) associated with current
period hedging transactions		1.8			(49.8	)		(0.4	)		(8.9	)

Net (gains) / losses reclassified to earnings
Interest expense		-			1.4			-			(0.6	)
Revenues		0.1			-			0.8			-
Purchased power		-			-			-			-

Ending accumulated derivative
gain / (loss) in AOCI	$	0.4		$	(36.1	)	$	0.4		$	(1.8	)

Net (gains) / losses associated with the
ineffective portion of the hedging transaction
Interest expense		-			3.1
Revenues		-			-

Portion expected to be reclassified to
earnings in the next twelve months*	$	0.8		$	2.4

Maximum length of time that we are hedging
our exposure to variability in future cash flows
related to forecasted transactions (in months)		39			24

*	The actual amounts that we reclassify from AOCI to earnings related to power can differ from the estimate above due to market price changes.

The following table provides information for DPL concerning gains or losses recognized in AOCI for the cash flow hedges for the nine months ended September 30, 2011 and 2010:


		September 30,						September 30,
		2011						2010
					Interest						Interest
$ in millions (net of tax)		Power		Rate Hedge				Power		Rate Hedge

Beginning accumulated derivative
gain / (loss) in AOCI	$	(1.8	)	$	21.4		$	(1.4	)	$	14.7

Net gains / (losses) associated with current
period hedging transactions		0.8			(59.0	)		3.3			(14.7	)

Net (gains) / losses reclassified to earnings
Interest expense		-			1.5			-			(1.8	)
Revenues		0.8			-			(1.5	)		-
Purchased power		0.6			-			-			-

Ending accumulated derivative
gain / (loss) in AOCI	$	0.4		$	(36.1	)	$	0.4		$	(1.8	)

Net (gains) / losses associated with the
ineffective portion of the hedging transaction
Interest expense		-			5.1
Revenues		-			-

Portion expected to be reclassified to
earnings in the next twelve months*	$	0.8		$	2.4

Maximum length of time that we are hedging
our exposure to variability in future cash flows
related to forecasted transactions (in months)		39			24

*	The actual amounts that we reclassify from AOCI to earnings related to power can differ from the estimate above due to market price changes.

The following table provides information for DP&L concerning gains or losses recognized in AOCI for the cash flow hedges for the three months ended September 30, 2011 and 2010:


		September 30,						September 30,
		2011						2010
					Interest						Interest
$ in millions (net of tax)		Power		Rate Hedge				Power		Rate Hedge

Beginning accumulated derivative
gain / (loss) in AOCI	$	(1.5	)	$	11.0		$	-		$	13.5

Net gains / (losses) associated with current
period hedging transactions		1.8			-			(0.4	)		-

Net (gains) / losses reclassified to earnings
Interest expense		-			(0.6	)		-			(0.6	)
Revenues		0.1			-			0.8			-
Purchased power		-			-			-			-

Ending accumulated derivative
gain / (loss) in AOCI	$	0.4		$	10.4		$	0.4		$	12.9

Net (gains) / losses associated with the
ineffective portion of the hedging transaction
Interest expense		-			-
Revenues		-			-

Portion expected to be reclassified to
earnings in the next twelve months*	$	0.8		$	2.4

Maximum length of time that we are hedging
our exposure to variability in future cash flows
related to forecasted transactions (in months)		39			-

*The actual amounts that we reclassify from AOCI to earnings related to power can differ from the estimate above due to market price changes.

The following table provides information for DP&L concerning gains or losses recognized in AOCI for the cash flow hedges for the nine months ended September 30, 2011 and 2010:


		September 30,						September 30,
		2011						2010
					Interest						Interest
$ in millions (net of tax)		Power		Rate Hedge				Power		Rate Hedge

Beginning accumulated derivative
gain / (loss) in AOCI	$	(1.8	)	$	12.3		$	(1.4	)	$	14.7

Net gains / (losses) associated with current
period hedging transactions		0.8			-			3.3			-

Net (gains) / losses reclassified to earnings
Interest expense		-			(1.9	)		-			(1.8	)
Revenues		0.8			-			(1.5	)		-
Purchased power		0.6			-			-			-

Ending accumulated derivative
gain / (loss) in AOCI	$	0.4		$	10.4		$	0.4		$	12.9

Net (gains) / losses associated with the
ineffective portion of the hedging transaction
Interest expense		-			-
Revenues		-			-

Portion expected to be reclassified to
earnings in the next twelve months*	$	0.8		$	2.4

Maximum length of time that we are hedging
our exposure to variability in future cash flows
related to forecasted transactions (in months)		39			-

*The actual amounts that we reclassify from AOCI to earnings related to power can differ from the estimate above due to market price changes.

The following tables show the fair value and balance sheet classification of DPL's derivative instruments designated as hedging instruments at September 30, 2011 and December 31, 2010.


Fair Values of Derivative Instruments Designated as Hedging Instruments
at September 30, 2011

DPL
									Fair Value on
$ in millions	Fair Value¹			Netting ²			Balance Sheet Location		Balance Sheet
Short-term Derivative Positions
Forward Power Contracts in an Asset position	$	0.3		$	(0.3	)	Other prepayments	$	-
							and current assets
Forward Power Contracts in a Liability position		(1.1	)		0.2		Other current liabilities		(0.9	)
Total short-term cash flow hedges	$	(0.8	)	$	(0.1	)		$	(0.9	)

Long-term derivative positions
Forward Power Contracts in an Asset position	$	1.4		$	(1.0	)	Other deferred assets	$	0.4
Forward Power Contracts in a Liability position		(0.2	)		0.1		Other deferred credits		(0.1	)
Interest Rate Hedges in a Liability position		(28.5	)		-		Other deferred credits		(28.5	)
Total long-term cash flow hedges	$	(27.3	)	$	(0.9	)		$	(28.2	)

Total cash flow hedges	$	(28.1	)	$	(1.0	)		$	(29.1	)

¹Includes credit valuation adjustment.

²Includes counterparty and collateral netting.


Fair Values of Derivative Instruments Designated as Hedging Instruments
at December 31, 2010

DPL
									Fair Value on
$ in millions	Fair Value¹			Netting ²			Balance Sheet Location		Balance Sheet
Short-term Derivative Positions
Forward Power Contracts in a Liability Position	$	(2.8	)	$	1.0		Other current liabilities	$	(1.8	)
Interest Rate Hedges in a Liability Position		(6.6	)		-		Other current liabilities		(6.6	)
Total short-term cash flow hedges	$	(9.4	)	$	1.0			$	(8.4	)

Long-term Derivative Positions
Forward Power Contracts in an Asset Position	$	0.2		$	(0.2	)	Other deferred assets	$	-
Forward Power Contracts in a Liability Position		(0.2	)		0.1		Other deferred credits		(0.1	)
Interest Rate Hedges in an Asset Position		20.7			-		Other deferred assets		20.7
Total long-term cash flow hedges	$	20.7		$	(0.1	)		$	20.6

Total cash flow hedges	$	11.3		$	0.9			$	12.2

¹Includes credit valuation adjustment.

²Includes counterparty and collateral netting.

The following tables show the fair value and balance sheet classification of DP&L's derivative instruments designated as hedging instruments at September 30, 2011 and December 31, 2010.


Fair Values of Derivative Instruments Designated as Hedging Instruments
at September 30, 2011

DP&L
									Fair Value on
$ in millions	Fair Value¹			Netting²			Balance Sheet Location		Balance Sheet
Short-term Derivative Positions
Forward Power Contracts in an Asset position	$	0.3		$	(0.3	)	Other prepayments	$	-
							and current assets
Forward Power Contracts in a Liability position		(1.1	)		0.2		Other current liabilities		(0.9	)

Total short-term cash flow hedges	$	(0.8	)	$	(0.1	)		$	(0.9	)

Long-term derivative positions
Forward Power Contracts in an Asset position	$	1.4		$	(1.0	)	Other deferred assets	$	0.4
Forward Power Contracts in a Liability position		(0.1	)		0.1		Other deferred credits		-

Total long-term cash flow hedges	$	1.3		$	(0.9	)		$	0.4

Total cash flow hedges	$	0.5		$	(1.0	)		$	(0.5	)

¹Includes credit valuation adjustment.

²Includes counterparty and collateral netting.


Fair Values of Derivative Instruments Designated as Hedging Instruments
at December 31, 2010

DP&L
									Fair Value on
$ in millions	Fair Value¹			Netting²			Balance Sheet Location		Balance Sheet
Short-term Derivative Positions
Forward Power Contracts in a Liability Position	$	(2.8	)	$	1.0		Other current liabilities	$	(1.8	)
Total short-term cash flow hedges	$	(2.8	)	$	1.0			$	(1.8	)

Long-term Derivative Positions
Forward Power Contracts in an Asset Position	$	0.2		$	(0.2	)	Other deferred assets	$	-
Forward Power Contracts in a Liability Position		(0.2	)		0.1		Other deferred credits		(0.1	)
Total long-term cash flow hedges	$	-		$	(0.1	)		$	(0.1	)

Total cash flow hedges	$	(2.8	)	$	0.9			$	(1.9	)

¹Includes credit valuation adjustment.

²Includes counterparty and collateral netting.

Mark-to-Market Accounting

Regulatory Assets and Liabilities


For the three months ended September 30, 2011

	NYMEX			Heating
$ in millions		Coal			Oil			FTRs			Power			Total
Change in unrealized gain / (loss)	$	(27.9	)	$	(1.6	)	$	(0.1	)	$	(0.3	)	$	(29.9	)
Realized gain / (loss)		4.3			0.5			-			1.2			6.0
Total	$	(23.6	)	$	(1.1	)	$	(0.1	)	$	0.9		$	(23.9	)
Recorded on Balance Sheet:
Partner's share of gain / (loss)	$	(13.8	)	$	-		$	-		$	-		$	(13.8	)
Regulatory (asset) / liability		(4.0	)		(0.6	)		-			-			(4.6	)

Recorded in Income Statement: gain / (loss)
Retail Revenue	$	-		$	-		$	-		$	(1.6	)	$	(1.6	)
Purchased power		-			-			(0.1	)		2.5			2.4
Fuel		(5.8	)		(0.5	)		-			-			(6.3	)
O&M		-			-			-			-			-
Total	$	(23.6	)	$	(1.1	)	$	(0.1	)	$	0.9		$	(23.9	)


For the three months ended September 30, 2010

NYMEX
$ in millions		Coal		Heating Oil				FTRs			Power		Total
Change in unrealized gain / (loss)	$	(3.8	)	$	1.3		$	(0.1	)	$	0.5	$	(2.1	)
Realized gain / (loss)		0.6			(0.4	)		(0.4	)		-		(0.2	)
Total	$	(3.2	)	$	0.9		$	(0.5	)	$	0.5	$	(2.3	)
Recorded on Balance Sheet:
Partner's share of gain / (loss)	$	(1.6	)	$	-		$	-		$	-	$	(1.6	)
Regulatory (asset) / liability		(1.0	)		0.7			-			-		(0.3	)

Recorded in Income Statement: gain / (loss)

Purchased power	$	-		$	-		$	(0.5	)	$	0.5	$	-
Fuel		(0.6	)		0.2			-			-		(0.4	)
O&M		-			-			-			-		-
Total	$	(3.2	)	$	0.9		$	(0.5	)	$	0.5	$	(2.3	)


For the nine months ended September 30, 2011

	NYMEX			Heating
$ in millions		Coal			Oil		FTRs			Power			Total
Change in unrealized gain / (loss)	$	(41.6	)	$	-	$	(0.1	)	$	0.6		$	(41.1	)
Realized gain / (loss)		8.1			1.5		(0.6	)		(0.8	)		8.2
Total	$	(33.5	)	$	1.5	$	(0.7	)	$	(0.2	)	$	(32.9	)
Recorded on Balance Sheet:
Partner's share of gain / (loss)	$	(21.2	)	$	-	$	-		$	-		$	(21.2	)
Regulatory (asset) / liability		(5.9	)		0.1		-			-			(5.8	)

Recorded in Income Statement: gain / (loss)
Retail revenue	$	-		$	-	$	-		$	(6.3	)	$	(6.3	)
Purchased power		-			-		(0.7	)		6.1			5.4
Fuel		(6.4	)		1.3		-			-			(5.1	)
O&M		-			0.1		-			-			0.1
Total	$	(33.5	)	$	1.5	$	(0.7	)	$	(0.2	)	$	(32.9	)


For the nine months ended September 30, 2010

	NYMEX			Heating
$ in millions		Coal			Oil			FTRs			Power			Total
Change in unrealized gain / (loss)	$	(1.0	)	$	1.5		$	(0.4	)	$	0.7		$	0.8
Realized gain / (loss)		1.6			(1.5	)		(1.4	)		(0.1	)		(1.4	)
Total	$	0.6		$	-		$	(1.8	)	$	0.6		$	(0.6	)
Recorded on Balance Sheet:
Partner's share of gain / (loss)	$	0.2		$	-		$	-		$	-		$	0.2
Regulatory (asset) / liability		(0.6	)		0.6			-			-			-

Recorded in Income Statement: gain / (loss)
Wholesale revenue	$	-		$	-		$	-		$	(0.1	)	$	(0.1	)
Purchased power		-			-			(1.8	)		0.7			(1.1	)
Fuel		1.0			(0.5	)		-			-			0.5
O&M		-			(0.1	)		-			-			(0.1	)
Total	$	0.6		$	-		$	(1.8	)	$	0.6		$	(0.6	)


For the three months ended September 30, 2011

	NYMEX			Heating
$ in millions		Coal			Oil			FTRs			Power			Total
Change in unrealized gain / (loss)	$	(27.9	)	$	(1.6	)	$	(0.1	)	$	0.3		$	(29.3	)
Realized gain / (loss)		4.3			0.5			-			(0.3	)		4.5
Total	$	(23.6	)	$	(1.1	)	$	(0.1	)	$	-		$	(24.8	)
Recorded on Balance Sheet:
Partner's share of gain / (loss)	$	(13.8	)	$	-		$	-		$	-		$	(13.8	)
Regulatory (asset) / liability		(4.0	)		(0.6	)		-			-			(4.6	)

Recorded in Income Statement: gain / (loss)
Retail revenue	$	-		$	-		$	-		$	(0.1	)	$	(0.1	)
Purchased power		-			-			(0.1	)		0.1			-
Fuel		(5.8	)		(0.5	)		-			-			(6.3	)
O&M		-			-			-			-			-
Total	$	(23.6	)	$	(1.1	)	$	(0.1	)	$	-		$	(24.8	)


For the three months ended September 30, 2010

	NYMEX			Heating
$ in millions		Coal			Oil			FTRs			Power		Total
Change in unrealized gain / (loss)	$	(3.8	)	$	1.3		$	(0.1	)	$	0.5	$	(2.1	)
Realized gain / (loss)		0.6			(0.4	)		(0.4	)		-		(0.2	)
Total	$	(3.2	)	$	0.9		$	(0.5	)	$	0.5	$	(2.3	)
Recorded on Balance Sheet:
Partner's share of gain / (loss)	$	(1.6	)	$	-		$	-		$	-	$	(1.6	)
Regulatory (asset) / liability		(1.0	)		0.7			-			-		(0.3	)

Recorded in Income Statement: gain / (loss)
Purchased power	$	-		$	-		$	(0.5	)	$	0.5	$	-
Fuel		(0.6	)		0.2			-			-		(0.4	)
O&M		-			-			-			-		-
Total	$	(3.2	)	$	0.9		$	(0.5	)	$	0.5	$	(2.3	)


For the nine months ended September 30, 2011

	NYMEX			Heating
$ in millions		Coal			Oil		FTRs			Power			Total
Change in unrealized gain / (loss)	$	(41.6	)	$	-	$	(0.1	)	$	-		$	(41.7	)
Realized gain / (loss)		8.1			1.5		(0.6	)		(0.8	)		8.2
Total	$	(33.5	)	$	1.5	$	(0.7	)	$	(0.8	)	$	(33.5	)
Recorded on Balance Sheet:
Partner's share of gain / (loss)	$	(21.2	)	$	-	$	-		$	-		$	(21.2	)
Regulatory (asset) / liability		(5.9	)		0.1		-			-			(5.8	)

Recorded in Income Statement: gain / (loss)
Retail revenue	$	-		$	-	$	-		$	(0.2	)	$	(0.2	)
Purchased power		-			-		(0.7	)		(0.6	)		(1.3	)
Fuel		(6.4	)		1.3		-			-			(5.1	)
O&M		-			0.1		-			-			0.1
Total	$	(33.5	)	$	1.5	$	(0.7	)	$	(0.8	)	$	(33.5	)


For the nine months ended September 30, 2010

	NYMEX			Heating
$ in millions		Coal			Oil			FTRs			Power			Total
Change in unrealized gain / (loss)	$	(1.0	)	$	1.5		$	(0.4	)	$	0.7		$	0.8
Realized gain / (loss)		1.6			(1.5	)		(1.4	)		(0.1	)		(1.4	)
Total	$	0.6		$	-		$	(1.8	)	$	0.6		$	(0.6	)
Recorded on Balance Sheet:
Partner's share of gain / (loss)	$	0.2		$	-		$	-		$	-		$	0.2
Regulatory (asset) / liability		(0.6	)		0.6			-			-			-

Recorded in Income Statement: gain / (loss)
Wholesale revenue	$	-		$	-		$	-		$	(0.1	)	$	(0.1	)
Purchased power		-			-			(1.8	)		0.7			(1.1	)
Fuel		1.0			(0.5	)		-			-			0.5
O&M		-			(0.1	)		-			-			(0.1	)
Total	$	0.6		$	-		$	(1.8	)	$	0.6		$	(0.6	)

The following tables show the fair value and balance sheet classification of DPL's derivative instruments not designated as hedging instruments at September 30, 2011.


Fair Values of Derivative Instruments Not Designated as Hedging Instruments
at September 30, 2011

								Fair Value on
$ in millions	Fair Value¹			Netting²			Balance Sheet Location	Balance Sheet
Short-term Derivative Positions
FTRs in an Asset position	$	0.1		$	-		Other prepayments and current assets	$	0.1
Forward Power Contracts in an Asset position		6.4			(0.4	)	Other prepayments and current assets		6.0
Forward Power Contracts in a Liability position		(3.8	)		1.4		Other current liabilities		(2.4	)

NYMEX-Quality Coal Forwards in an Asset position		1.6			(1.0	)	Other prepayments and current assets		0.6

NYMEX-Quality Coal Forwards in a Liability position		(1.8	)		1.8		Other current liabilities		-
Heating Oil Futures in an Asset position		1.7			(1.7	)	Other prepayments and current assets		-
Total short-term derivative MTM positions	$	4.2		$	0.1			$	4.3

Long-term Derivative Positions
Forward Power Contracts in an Asset position	$	4.7		$	(0.3	)	Other deferred assets	$	4.4
Forward Power Contracts in a Liability position		(1.5	)		0.9		Other deferred credits		(0.6	)

NYMEX-Quality Coal Forwards in an Asset position		0.7			(0.2	)	Other deferred assets		0.5

NYMEX-Quality Coal Forwards in a Liability position		(4.5	)		4.5		Other deferred credits		-
Total long-term derivative MTM positions	$	(0.6	)	$	4.9			$	4.3

Total MTM Position	$	3.6		$	5.0			$	8.6

¹Includes credit valuation adjustment.

²Includes counterparty and collateral netting.

The following tables show the fair value and balance sheet classification of DP&L's derivative instruments not designated as hedging instruments at September 30, 2011.


Fair Values of Derivative Instruments Not Designated as Hedging Instruments
at September 30, 2011

								Fair Value on
$ in millions	Fair Value¹			Netting²			Balance Sheet Location	Balance Sheet
Short-term Derivative Positions
FTRs in an Asset position	$	0.1		$	-		Other prepayments and current assets	$	0.1
Forward Power Contracts in an Asset position		0.7			(0.6	)	Other prepayments and current assets		0.1
Forward Power Contracts in a Liability position		(0.7	)		0.6		Other current liabilities		(0.1	)

NYMEX-Quality Coal Forwards in an Asset position		1.6			(0.9	)	Other prepayments and current assets		0.7

NYMEX-Quality Coal Forwards in a Liability position		(1.8	)		1.8		Other current liabilities		-
Heating Oil Futures in an Asset position		1.7			(1.7	)	Other prepayments and current assets		-
Total short-term derivative MTM positions	$	1.6		$	(0.8	)		$	0.8

Long-term Derivative Positions
Forward Power Contracts in an Asset position	$	0.8		$	(0.5	)	Other deferred assets	$	0.3
Forward Power Contracts in a Liability position		(0.9	)		0.5		Other deferred credits		(0.4	)

NYMEX-Quality Coal Forwards in an Asset position		0.7			(0.3	)	Other deferred assets		0.4

NYMEX-Quality Coal Forwards in a Liability position		(4.5	)		4.5		Other deferred credits		-
Total long-term derivative MTM positions	$	(3.9	)	$	4.2			$	0.3

Total MTM Position	$	(2.3	)	$	3.4			$	1.1

¹Includes credit valuation adjustment.

²Includes counterparty and collateral netting.

The following tables show the fair value and balance sheet classification of DPL's and DP&L's derivative instruments not designated as hedging instruments at December 31, 2010.


Fair Values of Derivative Instruments Not Designated as Hedging Instruments
at December 31, 2010

									Fair Value on
$ in millions	Fair Value¹				Netting²		Balance Sheet Location		Balance Sheet
Short-term Derivative Positions
FTRs in an Asset position	$	0.3		$	-		Other prepayments and current assets	$	0.3
Forward Power Contracts in a Liability position		(0.1	)		-		Other current liabilities		(0.1	)
NYMEX-Quality Coal Forwards in an Asset position		14.0			(7.4	)	Other prepayments and current assets		6.6
Heating Oil Futures in an Asset position		0.5			(0.5	)	Other current liabllities		-

Total short-term derivative MTM positions	$	14.7		$	(7.9	)		$	6.8

Long-term Derivative Positions
NYMEX-Quality Coal Forwards in an Asset position	$	23.5		$	(14.5	)	Other deferred assets	$	9.0
Heating Oil Futures in an Asset position		1.1			(1.1	)	Other deferred assets		-
Total long-term derivative MTM positions	$	24.6		$	(15.6	)		$	9.0

Total MTM Position	$	39.3		$	(23.5	)		$	15.8

¹Includes credit valuation adjustment.

²Includes counterparty and collateral netting.

- Definition

The entire disclosure for the entity's entire derivative instruments and hedging activities. Describes an entity's risk management strategies, derivatives in hedging activities and non-hedging derivative instruments, the assets, obligations, liabilities, revenues and expenses arising therefrom, and the amounts of and methodologies and assumptions used in determining the amounts of such items.

+ References

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+ Details