Derivative Instruments and Hedging Activities

6 Months Ended

Jun. 30, 2013

Derivative Instruments and Hedging Activities

9.  Derivative Instruments and Hedging Activities 

In the normal course of business, DPL enters into various financial instruments, including derivative financial instruments.  We use derivatives principally to manage the risk of changes in market prices for commodities and interest rate risk associated with our long-term debt.  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 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 cash flow hedges or marked to market each reporting period. 

At June 30, 2013,  DPL had the following outstanding derivative instruments:

Commodity	Accounting Treatment		Unit	Purchases (in thousands)		Sales (in thousands)		Net Purchases/ (Sales) (in thousands)
FTRs		Mark to Market	MWh		605.8		-		605.8
Heating oil futures		Mark to Market	Gallons		2,058.0		-		2,058.0
Forward power contracts		Cash Flow Hedge	MWh		595.6		(2,372.3)		(1,776.7)
Forward power contracts		Mark to Market	MWh		2,718.7		(9,527.6)		(6,808.9)
Interest rate swaps		Cash Flow Hedge	USD	$	160,000.0	$	-	$	160,000.0

At December 31, 2012,  DPL had the following outstanding derivative instruments:

Commodity	Accounting Treatment		Unit	Purchases (in thousands)		Sales (in thousands)		Net Purchases/ (Sales) (in thousands)
FTRs		Mark to Market	MWh		6.9		-		6.9
Heating oil futures		Mark to Market	Gallons		1,764.0		-		1,764.0
Forward power contracts		Cash Flow Hedge	MWh		1,021.0		(2,197.9)		(1,176.9)
Forward power contracts		Mark to Market	MWh		2,510.7		(4,760.4)		(2,249.7)
Interest rate swaps		Cash Flow Hedge	USD	$	160,000.0	$	-	$	160,000.0

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 is determined by observable market prices available as of the balance sheet dates and 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.  Our 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 do not hedge all interest rate exposure.  We reclassify gains and losses on interest rate derivative hedges related to debt financings from AOCI into earnings in those periods in which hedged interest payments occur.

The following tables provide information for DPL concerning gains or losses recognized in AOCI for the cash flow hedges for the three and six months ended June 30, 2013 and 2012: 

	Three months ended				Three months ended
	June 30, 2013				June 30, 2012
			Interest				Interest
$ in millions (net of tax)	Power		Rate Hedge		Power		Rate Hedge
Beginning accumulated derivative gain / (loss) in AOCI	$	(5.7)	$	4.6	$	(2.3)	$	8.5
Net gains / (losses) associated with current period hedging transactions		3.0		8.2		(0.2)		(13.2)
Net gains / (losses) reclassified to earnings
Interest expense		-		-		-		-
Revenues		1.3		-		-		-
Purchased eower		0.3		-		0.1		-
Ending accumulated derivative gain / (loss) in AOCI	$	(1.1)	$	12.8	$	(2.4)	$	(4.7)
Net gains / (losses) associated with the ineffective portion of the hedging transaction are presented in the following lines of the Condensed Consolidated Statements of Results of Operations:
Interest expense	$	-	$	1.3	$	-	$	2.3
Revenues	$	-	$	-	$	-	$	-
Purchased power	$	-	$	-	$	-	$	-
Portion expected to be reclassified to earnings in the next twelve months (a)	$	(3.4)	$	-
Maximum length of time that we are hedging our exposure to variability in future cash flows related to forecasted transactions (in months)		18		2

(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.

	Six months ended				Six months ended
	June 30, 2013				June 30, 2012
			Interest				Interest
$ in millions (net of tax)	Power		Rate Hedge		Power		Rate Hedge
Beginning accumulated derivative gain / (loss) in AOCI	$	(3.0)	$	0.5	$	0.3	$	(0.8)
Net gains / (losses) associated with current period hedging transactions		0.1		12.3		(1.6)		(4.2)
Net gains / (losses) reclassified to earnings
Interest expense		-		-		-		0.3
Revenues		0.9		-		(1.1)		-
Purchased power		0.9		-		-		-
Ending accumulated derivative gain / (loss) in AOCI	$	(1.1)	$	12.8	$	(2.4)	$	(4.7)
Net gains / (losses) associated with the ineffective portion of the hedging transaction are presented in the following lines of the Condensed Consolidated Statements of Results of Operations:
Interest expense	$	-	$	1.3	$	-	$	1.2
Revenues	$	-	$	-	$	-	$	-
Purchased power	$	-	$	-	$	-	$	-
Portion expected to be reclassified to earnings in the next twelve months (a)	$	(3.4)	$	-
Maximum length of time that we are hedging our exposure to variability in future cash flows related to forecasted transactions (in months)		18		2

(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.

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.  FTRs, heating oil futures, forward NYMEX-quality coal contracts and certain forward power contracts are currently marked to market. 

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 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 or loss that is probable of recovery in future rates should be deferred as a regulatory asset and revenue or a gain 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 six months ended June 30, 2013 and 2012. 

For the three months ended June 30, 2013
	NYMEX
$ in millions	Coal		Heating Oil		FTRs		Power		Total
Change in unrealized gain / (loss)	$	-	$	(0.3)	$	(0.9)	$	18.4	$	17.2
Realized gain / (loss)		-		-		0.6		0.9		1.5
Total	$	-	$	(0.3)	$	(0.3)	$	19.3	$	18.7
Recorded on Balance Sheet:
Partners' share of gain / (loss)	$	-	$	-	$	-	$	-	$	-
Regulatory (asset) / liability		-		(0.1)		-		-		(0.1)
Recorded in Income Statement:  gain / (loss)
Revenues		-		-		-		-		-
Purchased power		-		-		(0.3)		19.3		19.0
Fuel		-		(0.2)		-		-		(0.2)
O&M		-		-		-		-		-
Total	$	-	$	(0.3)	$	(0.3)	$	19.3	$	18.7

For the three months ended June 30, 2012
	NYMEX
$ in millions	Coal		Heating Oil		FTRs		Power		Total
Change in unrealized gain / (loss)	$	5.7	$	(1.3)	$	(0.2)	$	0.9	$	5.1
Realized gain / (loss)		(9.5)		0.5		0.7		(2.1)		(10.4)
Total	$	(3.8)	$	(0.8)	$	0.5	$	(1.2)	$	(5.3)
Recorded on Balance Sheet:
Partners' share of gain / (loss)	$	2.3	$	-	$	-	$	-	$	2.3
Regulatory (asset) / liability		0.8		(0.6)		-		-		0.2
Recorded in Income Statement:  gain / (loss)
Revenues		-		-		-		(2.7)		(2.7)
Purchased power		-		-		0.5		1.5		2.0
Fuel		(6.9)		(0.3)		-		-		(7.2)
O&M		-		0.1		-		-		0.1
Total	$	(3.8)	$	(0.8)	$	0.5	$	(1.2)	$	(5.3)

For the six months ended June 30, 2013
	NYMEX
$ in millions	Coal		Heating Oil		FTRs		Power		Total
Change in unrealized gain / (loss)	$	-	$	(0.3)	$	(0.9)	$	10.4	$	9.2
Realized gain / (loss)		-		-		1.2		1.3		2.5
Total	$	-	$	(0.3)	$	0.3	$	11.7	$	11.7
Recorded on Balance Sheet:
Partners' share of gain / (loss)	$	-	$	-	$	-	$	-	$	-
Regulatory (asset) / liability		-		(0.1)		-		-		(0.1)
Recorded in Income Statement:  gain / (loss)
Revenues		-		-		-		-		-
Purchased power		-		-		0.3		11.7		12.0
Fuel		-		(0.2)		-		-		(0.2)
O&M		-		-		-		-		-
Total	$	-	$	(0.3)	$	0.3	$	11.7	$	11.7

For the six months ended June 30, 2012
	NYMEX
$ in millions	Coal		Heating Oil		FTRs		Power		Total
Change in unrealized loss	$	(2.0)	$	(1.5)	$	(0.2)	$	2.3	$	(1.4)
Realized gain / (loss)		(14.5)		1.4		0.5		(4.4)		(17.0)
Total	$	(16.5)	$	(0.1)	$	0.3	$	(2.1)	$	(18.4)
Recorded on Balance Sheet:
Partners' share of gain / (loss)	$	(1.2)	$	-	$	-	$	-	$	(1.2)
Regulatory (asset) / liability		(0.3)		(0.6)		-		-		(0.9)
Recorded in Income Statement:  gain / (loss)
Revenues		-		-		-		0.7		0.7
Purchased power		-		-		0.3		(2.8)		(2.5)
Fuel		(15.0)		0.3		-		-		(14.7)
O&M		-		0.2		-		-		0.2
Total	$	(16.5)	$	(0.1)	$	0.3	$	(2.1)	$	(18.4)

DPL 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 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 shows the fair value and balance sheet classification of DPL’s derivative instruments at June 30, 2013: 

Fair Values of Derivative Instruments
at June 30, 2013
				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 Received		Net Amount
Assets
Short-term derivative positions (presented in Other current assets)
Forward power contracts	Cash Flow	$	2.3	$	(1.0)	$	-	$	1.3
Forward power contracts	MTM		7.8		(5.2)		-		2.6
FTRs	MTM		0.1		(0.1)		-		-
Long-term derivative positions (presented in Other deferred assets)
Forward power contracts	Cash Flow		0.5		(0.2)		-		0.3
Forward power contracts	MTM		11.6		(0.5)		-		11.1
Total assets		$	22.3	$	(7.0)	$	-	$	15.3
Liabilities
Short-term derivative positions (presented in Other current liabilities)
Forward power contracts	Cash Flow	$	4.9	$	(1.0)	$	(3.4)	$	0.5
Interest rate hedge	Cash Flow		9.5		-		-		9.5
Forward power contracts	MTM		6.8		(5.2)		(0.6)		1.0
FTRs	MTM		1.0		(0.1)		-		0.9
Heating oil	MTM		0.1		-		(0.1)		-
Long-term derivative positions (presented in Other deferred liabilities)
Forward power contracts	Cash Flow		0.8		(0.2)		(0.6)		-
Forward power contracts	MTM		0.8		(0.5)		-		0.3
Total liabilities		$	23.9	$	(7.0)	$	(4.7)	$	12.2

As of June 30, 2013, the table above includes Forward Power Contracts in a short-term asset position of $10.1 million and a long-term asset position of $11.7 million.  This table does not include an asset position of $3.5 million of Forward Power Contracts that had been, but no longer need to be, accounted for as derivatives at fair value that are to be amortized to earnings over the remaining term of the associated forward contracts. 

The following table shows the fair value and balance sheet classification of DPL’s derivative instruments at December 31, 2012: 

Fair Values of Derivative Instruments Not Designated as Hedging Instruments
at December 31, 2012
				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 Received		Net Amount
Assets
Short-term derivative positions (presented in Other current assets)
Forward power contracts	Cash Flow	$	0.5	$	(0.5)	$	-	$	-
Forward power contracts	MTM		2.7		(1.5)		-		1.2
Heating oil futures	MTM		0.2		-		(0.2)		-
Long-term derivative positions (presented in Other deferred assets)
Forward power contracts	Cash Flow		0.5		(0.5)		-		-
Forward power contracts	MTM		3.6		(0.6)		-		3.0
Total assets		$	7.5	$	(3.1)	$	(0.2)	$	4.2
Liabilities
Short-term derivative positions (presented in Other current liabilities)
Forward power contracts	Cash Flow	$	6.7	$	(0.5)	$	(2.1)	$	4.1
Interest rate hedge	Cash Flow		29.5		-		-		29.5
FTRs	MTM		0.1		-		-		0.1
Forward power contracts	MTM		4.1		(1.5)		(2.0)		0.6
Long-term derivative positions (presented in Other deferred liabilities)
Forward power contracts	Cash Flow		1.5		(0.5)		(0.9)		0.1
Forward power contracts	MTM		0.8		(0.6)		(0.1)		0.1
Total liabilities		$	42.7	$	(3.1)	$	(5.1)	$	34.5

As of December 31, 2012, the table above includes Forward power contracts in a short-term asset position of $2.7 million and a long-term asset position of $3.6 million.  This table does not include a short-term asset position of $7.2 million or a long-term asset position of $1.0 million of Forward power contracts that had been, but no longer need to be, accounted for as derivatives at fair value that are to be amortized to earnings over the remaining term of the associated forward contracts.

The aggregate fair value of DPL’s commodity derivative instruments that are in a MTM loss position at June 30, 2013 is $14.4 million.  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 does not maintain an investment grade credit rating, our counterparties to the derivative instruments could request immediate payment or immediate and full overnight collateralization of the MTM loss.  The MTM loss positions at June 30, 2013 are offset by $4.7 million of collateral posted directly with third parties and in a broker margin account which offsets our loss positions on the forward contracts.  This liability position is further offset by the asset position of counterparties with master netting agreements of $7.0 million.  If our counterparties were to call for collateral, we could have to post collateral for the remaining $2.8 million.

DP&L [Member]

Derivative Instruments and Hedging Activities

9.  Derivative Instruments and Hedging Activities 

In the normal course of business, DP&L enters into various financial instruments, including derivative financial instruments.  We use derivatives principally to manage the risk of changes in market prices for commodities and interest rate risk associated with our long-term debt.  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 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 cash flow hedges or marked to market each reporting period. 

At June 30, 2013,  DP&L had the following outstanding derivative instruments:

Commodity	Accounting Treatment		Unit	Purchases (in thousands)		Sales (in thousands)		Net Purchases/ (Sales) (in thousands)
FTRs		Mark to Market	MWh		605.8		-		605.8
Heating oil futures		Mark to Market	Gallons		2,058.0		-		2,058.0
Forward power contracts		Cash Flow Hedge	MWh		595.6		(2,372.3)		(1,776.7)
Forward power contracts		Mark to Market	MWh		2,645.4		(9,601.0)		(6,955.6)

At December 31, 2012,  DP&L had the following outstanding derivative instruments:

Commodity	Accounting Treatment		Unit	Purchases (in thousands)		Sales (in thousands)		Net Purchases/ (Sales) (in thousands)
FTRs		Mark to Market	MWh		6.9		-		6.9
Heating oil futures		Mark to Market	Gallons		1,764.0		-		1,764.0
Forward power contracts		Cash Flow Hedge	MWh		1,021.0		(2,197.9)		(1,176.9)
Forward power contracts		Mark to Market	MWh		2,296.6		(4,760.4)		(2,463.8)

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 is determined by observable market prices available as of the balance sheet dates and 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. 

The following tables provide information for DP&L concerning gains or losses recognized in AOCI for the cash flow hedges for the three and six months endedJune 30, 2013 and2012: 

	Three months ended				Three months ended
	June 30, 2013				June 30, 2012
			Interest				Interest
$ in millions (net of tax)	Power		Rate Hedge		Power		Rate Hedge
Beginning accumulated derivative gain / (loss) in AOCI	$	(6.9)	$	6.7	$	(3.4)	$	9.2
Net gains / (losses) associated with current period hedging transactions		3.1		-		(0.1)		-
Net gains / (losses) reclassified to earnings
Interest expense		-		(0.6)		-		(0.6)
Revenues		1.4		-		-		-
Purchased power		0.5		-		0.1		-
Ending accumulated derivative gain / (loss) in AOCI	$	(1.9)	$	6.1	$	(3.4)	$	8.6
Net gains / (losses) associated with the ineffective portion of the hedging transaction are presented in the following lines of the Condensed Statements of Results of Operations:
Interest expense	$	-	$	-	$	-	$	-
Revenues	$	-	$	-	$	-	$	-
Purchased power	$	-	$	-	$	-	$	-
Portion expected to be reclassified to earnings in the next twelve months (a)	$	(2.8)	$	(2.5)
Maximum length of time that we are hedging our exposure to variability in future cash flows related to forecasted transactions (in months)		18		-

(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.

	Six months ended				Six months ended
	June 30, 2013				June 30, 2012
			Interest				Interest
$ in millions (net of tax)	Power		Rate Hedge		Power		Rate Hedge
Beginning accumulated derivative gain / (loss) in AOCI	$	(4.7)	$	7.3	$	(0.7)	$	9.8
Net gains / (losses) associated with current period hedging transactions		0.5		-		(1.6)		-
Net gains / (losses) reclassified to earnings
Interest expense		-		(1.2)		-		(1.2)
Revenues		1.1		-		0.1		-
Purchased power		1.2		-		(1.2)		-
Ending accumulated derivative gain / (loss) in AOCI	$	(1.9)	$	6.1	$	(3.4)	$	8.6
Net gains / (losses) associated with the ineffective portion of the hedging transaction are presented in the following lines of the Condensed Statements of Results of Operations:
Interest expense	$	-	$	-	$	-	$	-
Revenues	$	-	$	-	$	-	$	-
Purchased power	$	-	$	-	$	-	$	-
Portion expected to be reclassified to earnings in the next twelve months (a)	$	(2.8)	$	(2.5)
Maximum length of time that we are hedging our exposure to variability in future cash flows related to forecasted transactions (in months)		18		-

(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.

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 purchases and sales exceptions under FASC 815.  Accordingly, such contracts are recorded at fair value with changes in the fair value charged or credited to the 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.  FTRs, heating oil futures, forward NYMEX-quality coal contracts and certain forward power contracts are marked to market. 

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 and are recognized in the statements of results of operations on an accrual basis. 

Regulatory Assets and Liabilities 

In accordance with regulatory accounting under GAAP, a cost or loss that is probable of recovery in future rates should be deferred as a regulatory asset and revenue or a gain 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 statements of results of operations or balance sheets of the gains and losses on DP&L’s derivatives not designated as hedging instruments for the three and six months endedJune 30, 2013 and 2012:

For the three months ended June 30, 2013
	NYMEX
$ in millions	Coal		Heating Oil		FTRs		Power		Total
Change in unrealized gain / (loss)	$	-	$	(0.3)	$	(0.9)	$	17.8	$	16.6
Realized gain / (loss)		-		-		0.6		1.2		1.8
Total	$	-	$	(0.3)	$	(0.3)	$	19.0	$	18.4
Recorded on Balance Sheet:
Partners' share of gain / (loss)	$	-	$	-	$	-	$	-	$	-
Regulatory (asset) / liability		-		(0.1)		-		-		(0.1)
Recorded in Income Statement: gain / (loss)
Revenues		-		-		-		(0.1)		(0.1)
Purchased power		-		-		(0.3)		19.1		18.8
Fuel		-		(0.2)		-		-		(0.2)
O&M		-		-		-		-		-
Total	$	-	$	(0.3)	$	(0.3)	$	19.0	$	18.4

For the three months ended June 30, 2012
	NYMEX
$ in millions	Coal		Heating Oil		FTRs		Power		Total
Change in unrealized gain / (loss)	$	5.7	$	(1.3)	$	(0.2)	$	0.9	$	5.1
Realized gain / (loss)		(9.5)		0.5		0.7		-		(8.3)
Total	$	(3.8)	$	(0.8)	$	0.5	$	0.9	$	(3.2)
Recorded on Balance Sheet:
Partners' share of gain / (loss)	$	2.3	$	-	$	-	$	-	$	2.3
Regulatory (asset) / liability		0.8		(0.6)		-		-		0.2
Recorded in Income Statement: gain / (loss)
Revenues		-		-		0.5		0.9		1.4
Purchased power		-		-		-		-		-
Fuel		(6.9)		(0.3)		-		-		(7.2)
O&M		-		0.1		-		-		0.1
Total	$	(3.8)	$	(0.8)	$	0.5	$	0.9	$	(3.2)

For the six months ended June 30, 2013
	NYMEX
$ in millions	Coal		Heating Oil		FTRs		Power		Total
Change in unrealized gain / (loss)	$	-	$	(0.3)	$	(0.9)	$	9.1	$	7.9
Realized gain / (loss)		-		-		1.2		1.9		3.1
Total	$	-	$	(0.3)	$	0.3	$	11.0	$	11.0
Recorded on Balance Sheet:
Partners' share of gain / (loss)	$	-	$	-	$	-	$	-	$	-
Regulatory (asset) / liability		-		(0.1)		-		-		(0.1)
Recorded in Income Statement: gain / (loss)
Revenues		-		-		-		0.3		0.3
Purchased power		-		-		0.3		10.7		11.0
Fuel		-		(0.2)		-		-		(0.2)
O&M		-		-		-		-		-
Total	$	-	$	(0.3)	$	0.3	$	11.0	$	11.0

For the six months ended June 30, 2012
	NYMEX
$ in millions	Coal		Heating Oil		FTRs		Power		Total
Change in unrealized loss	$	(2.0)	$	(1.5)	$	(0.2)	$	0.9	$	(2.8)
Realized gain / (loss)		(14.5)		1.4		0.5		0.1		(12.5)
Total	$	(16.5)	$	(0.1)	$	0.3	$	1.0	$	(15.3)
Recorded on Balance Sheet:
Partners' share of gain / (loss)	$	(1.2)	$	-	$	-	$	-	$	(1.2)
Regulatory (asset) / liability		(0.3)		(0.6)		-		-		(0.9)
Recorded in Income Statement: gain / (loss)
Revenues		-		-		0.3		(0.8)		(0.5)
Purchased power		-		-		-		1.8		1.8
Fuel		(15.0)		0.3		-		-		(14.7)
O&M		-		0.2		-		-		0.2
Total	$	(16.5)	$	(0.1)	$	0.3	$	1.0	$	(15.3)

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 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 shows the fair value and balance sheet classification of DP&L’s derivative instruments at June 30, 2013:

Fair Values of Derivative Instruments
at June 30, 2013
				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 Received		Net Amount
Assets
Short-term derivative positions (presented in Other current assets)
Forward power contracts	Cash Flow	$	2.3	$	(1.0)	$	-	$	1.3
Forward power contracts	MTM		8.0		(5.2)		-		2.8
Heating oil futures	MTM		-		-		-		-
FTRs	MTM		0.1		(0.1)		-		-
Long-term derivative positions (presented in Other deferred assets)
Forward power contracts	Cash Flow		0.5		(0.2)		-		0.3
Forward power contracts	MTM		11.6		(0.5)		-		11.1
Total assets		$	22.5	$	(7.0)	$	-	$	15.5
Liabilities
Short-term derivative positions (presented in Other current liabilities)
Forward power contracts	Cash Flow	$	4.9	$	(1.0)	$	(3.4)	$	0.5
Forward power contracts	MTM		6.5		(5.2)		(0.2)		1.1
Heating oil futures	MTM		0.1		-		(0.1)		-
FTRs	MTM		1.0		(0.1)		-		0.9
Long-term derivative positions (presented in Other deferred liabilities)
Forward power contracts	Cash Flow		0.8		(0.2)		(0.6)		-
Forward power contracts	MTM		0.8		(0.5)		-		0.3
Total liabilities		$	14.1	$	(7.0)	$	(4.3)	$	2.8

The following table shows the fair value and balance sheet classification of DP&L’s derivative instruments at December 31, 2012:

Fair Values of Derivative Instruments
at December 31, 2012
				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 Received		Net Amount
Assets
Short-term derivative positions (presented in Other current assets)
Forward power contracts	Cash Flow	$	0.5	$	(0.5)	$	-	$	-
Forward power contracts	MTM		2.8		(1.5)		-		1.3
Heating oil futures	MTM		0.2		-		(0.2)		-
Long-term derivative positions (presented in Other deferred assets)
Forward power contracts	Cash Flow		0.5		(0.5)		-		-
Forward power contracts	MTM		3.6		(0.6)		-		3.0
Total assets		$	7.6	$	(3.1)	$	(0.2)	$	4.3
Liabilities
Short-term derivative positions (presented in Other current liabilities)
Forward power contracts	Cash Flow	$	6.7	$	(0.5)	$	(2.1)	$	4.1
FTRs	MTM		0.1		-		-		0.1
Forward power contracts	MTM		2.7		(1.5)		(0.5)		0.7
Long-term derivative positions (presented in Other deferred liabilities)
Forward power contracts	Cash Flow		1.5		(0.5)		(0.9)		0.1
Forward power contracts	MTM		0.7		(0.6)		-		0.1
Total liabilities		$	11.7	$	(3.1)	$	(3.5)	$	5.1

The aggregate fair value of DP&L’s commodity derivative instruments that are in a MTM loss position at June 30, 2013 is $14.1 million.  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 does not maintain an investment grade credit rating, our counterparties to the derivative instruments could request immediate payment or immediate and full overnight collateralization of the MTM loss.  The MTM loss positions at June 30, 2013 are offset by $4.3 million of collateral posted directly with third parties and in a broker margin account which offsets our loss positions on the forward contracts.  This liability position is further offset by the asset position of counterparties with master netting agreements of $7.0 million.  If our counterparties were to call for collateral, DP&L could be required to post collateral for the remaining $2.8 million.