Derivative Instruments and Hedging Activities (Tables)
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6 Months Ended |
Jun. 30, 2015 |
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| Fair Values of Derivative Instruments by Balance Sheet Location |
The tables below identify the balance sheet location and fair
values of derivative instruments as of June 30, 2015 and
December 31, 2014:
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As of June 30, 2015 |
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Balance Sheet Caption
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Derivatives
Designated
as Hedging
Instruments |
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Other
Derivative
Instruments |
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|
Gross
Derivative
Instruments |
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|
Effects of
Cash
Collateral
and
Netting |
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Net
Derivative
Instruments |
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| |
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(millions of
dollars) |
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Derivative assets (current assets)
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$ |
— |
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$ |
3 |
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$ |
3 |
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$ |
— |
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$ |
3 |
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Derivative liabilities (current liabilities)
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— |
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(1 |
) |
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(1 |
) |
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1 |
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— |
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Net Derivative asset
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$ |
— |
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$ |
2 |
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$ |
2 |
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$ |
1 |
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$ |
3 |
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As of December 31,
2014 |
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Balance Sheet Caption
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Derivatives
Designated
as Hedging
Instruments |
|
|
Other
Derivative
Instruments |
|
|
Gross
Derivative
Instruments |
|
|
Effects of
Cash
Collateral
and
Netting |
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|
Net
Derivative
Instruments |
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| |
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(millions of
dollars) |
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Derivative assets (current assets)
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$ |
— |
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$ |
3 |
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$ |
3 |
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$ |
— |
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$ |
3 |
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Derivative liabilities (current liabilities)
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— |
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(4 |
) |
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(4 |
) |
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4 |
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— |
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Net Derivative (liability) asset
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$ |
— |
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$ |
(1 |
) |
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$ |
(1 |
) |
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$ |
4 |
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$ |
3 |
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| Schedule of Cash Collateral Offset Against Derivative Positions |
The amount of cash collateral that was offset against these
derivative positions is as follows:
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June 30,
2015 |
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December 31,
2014 |
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(millions of
dollars) |
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Cash collateral pledged to counterparties with the right to reclaim
(a)
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$ |
1 |
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$ |
4 |
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| (a) |
Includes cash deposits on commodity
brokerage accounts. |
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| Cash Flow Hedges Included in Accumulated Other Comprehensive Loss |
The data in the following tables indicate the cumulative net loss
after-tax related to terminated cash flow hedges by contract type
included in AOCL, the portion of AOCL expected to be reclassified
to income during the next 12 months, and the maximum hedge or
deferral term:
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Contracts
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As of June 30, 2015 |
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Maximum
Term |
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Accumulated
Other
Comprehensive Loss
After-tax |
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Portion Expected
to be Reclassified
to Income during
the Next 12 Months |
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(millions of
dollars) |
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Interest rate
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$ |
9 |
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$ |
1 |
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206 months |
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Total
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$ |
9 |
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$ |
1 |
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Contracts
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As of June 30, 2014 |
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Maximum
Term |
| |
Accumulated
Other
Comprehensive Loss
After-tax |
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Portion Expected to
be Reclassified
to Income during
the Next 12 Months |
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(millions of
dollars) |
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Interest rate
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$ |
9 |
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$ |
1 |
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218 months |
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Total
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$ |
9 |
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$ |
1 |
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| Net Unrealized and Realized Derivative Gains (Losses) Deferred as Regulatory Liabilities and Regulatory Assets |
The following table shows the net unrealized and net realized
derivative gains and losses arising during the period associated
with these derivatives that were recognized in the consolidated
statements of income (through Fuel and purchased energy expense)
and that were also deferred as Regulatory liabilities and
Regulatory assets, respectively, for the three and six months ended
June 30, 2015 and 2014:
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Three Months Ended
June 30, |
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Six Months Ended
June 30, |
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2015 |
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2014 |
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2015 |
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2014 |
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(millions of
dollars) |
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Net unrealized (loss) gain arising during the period
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$ |
— |
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$ |
— |
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$ |
(1 |
) |
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$ |
2 |
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Net realized (loss) gain recognized during the period
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(1 |
) |
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1 |
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(4 |
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3 |
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| Net Outstanding Commodity Forward Contracts That Did Not Qualify for Hedge Accounting |
As of June 30, 2015 and December 31, 2014, the quantities
and positions of DPL’s net outstanding natural gas commodity
forward contracts that did not qualify for hedge accounting
were:
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June 30, 2015 |
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December 31, 2014 |
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Commodity
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Quantity |
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Net Position |
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Quantity |
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Net Position |
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DPL – Natural gas (One Million British Thermal Units)
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3,200,000 |
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Long |
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3,892,500 |
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Long |
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| Delmarva Power & Light Co/De [Member] |
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| Fair Values of Derivative Instruments by Balance Sheet Location |
The tables below identify the balance sheet location and fair
values of derivative instruments as of June 30, 2015 and
December 31, 2014:
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As of June 30, 2015 |
|
|
Balance Sheet Caption
|
|
Derivatives
Designated
as Hedging
Instruments |
|
|
Other
Derivative
Instruments |
|
|
Gross
Derivative
Instruments |
|
|
Effects of
Cash
Collateral
and
Netting |
|
|
Net
Derivative
Instruments |
|
| |
|
(millions of
dollars) |
|
|
Derivative liabilities (current liabilities)
|
|
$ |
— |
|
|
$ |
(1 |
) |
|
$ |
(1 |
) |
|
$ |
1 |
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|
$ |
— |
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| |
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As of December 31, 2014 |
|
|
Balance Sheet Caption
|
|
Derivatives
Designated
as Hedging
Instruments |
|
|
Other
Derivative
Instruments |
|
|
Gross
Derivative
Instruments |
|
|
Effects of
Cash
Collateral
and
Netting |
|
|
Net
Derivative
Instruments |
|
| |
|
(millions of
dollars) |
|
|
Derivative liabilities (current liabilities)
|
|
$ |
— |
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|
$ |
(4 |
) |
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$ |
(4 |
) |
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$ |
4 |
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|
$ |
— |
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| Schedule of Cash Collateral Offset Against Derivative Positions |
The amount of cash collateral that was offset against these
derivative positions is as follows:
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| |
|
June 30,
2015 |
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December 31,
2014 |
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|
(millions of
dollars) |
|
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Cash collateral pledged to counterparties with the right to reclaim
(a)
|
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$ |
1 |
|
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$ |
4 |
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| (a) |
Includes cash deposits on commodity
brokerage accounts. |
|
| Net Unrealized and Realized Derivative Gains (Losses) Deferred as Regulatory Liabilities and Regulatory Assets |
The following table shows the net unrealized and net realized
derivative gains and losses arising during the period associated
with these derivatives that were recognized in the statements of
income (through Purchased energy and Gas purchased expense) and
that were also deferred as Regulatory liabilities and Regulatory
assets, respectively, for the three and six months ended
June 30, 2015 and 2014:
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Three Months Ended
June 30, |
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Six Months Ended
June 30, |
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|
2015 |
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2014 |
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|
2015 |
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|
2014 |
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(millions of
dollars) |
|
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Net unrealized (loss) gain arising during the period
|
|
$ |
— |
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|
$ |
— |
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$ |
(1 |
) |
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$ |
2 |
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Net realized (loss) gain recognized during the period
|
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|
(1 |
) |
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|
1 |
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(4 |
) |
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|
3 |
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| Net Outstanding Commodity Forward Contracts That Did Not Qualify for Hedge Accounting |
As of June 30, 2015 and December 31, 2014, the quantities
and positions of DPL’s net outstanding natural gas commodity
forward contracts that did not qualify for hedge accounting
were:
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|
|
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| |
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June 30, 2015 |
|
December 31, 2014 |
|
Commodity
|
|
Quantity |
|
|
Net Position |
|
Quantity |
|
|
Net Position |
|
Natural gas (One Million British Thermal Units)
|
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|
3,200,000 |
|
|
Long |
|
|
3,892,500 |
|
|
Long |
|