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Derivative Instruments and Hedging Activities
 3 Months Ended
Mar. 31, 2016
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Derivative Instruments and Hedging Activities
Note 4 – Derivative Instruments and Hedging Activities

In the normal course of business, DPL enters into various financial arrangements, 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 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 normal purchase/normal sale, cash flow hedges or marked to market each reporting period.

At March 31, 2016, DPL had the following outstanding derivative instruments:
Commodity
 
Accounting Treatment
 
Unit
 
Purchases
(in thousands)
 
Sales
(in thousands)
 
Net Purchases/ (Sales)
(in thousands)
FTRs
 
Not designated
 
MWh
 
3.8

 
(1.5
)
 
2.3

Natural Gas Futures
 
Not designated
 
Dths
 
2,797.5

 
—

 
2,797.5

Forward power contracts
 
Designated
 
MWh
 
845.5

 
(8,554.2
)
 
(7,708.7
)
Forward power contracts
 
Not designated
 
MWh
 
4,016.6

 
(6,012.3
)
 
(1,995.7
)


At December 31, 2015, DPL had the following outstanding derivative instruments:
Commodity
 
Accounting Treatment
 
Unit
 
Purchases
(in thousands)
 
Sales
(in thousands)
 
Net Purchases/ (Sales)
(in thousands)
FTRs
 
Not designated
 
MWh
 
10.2

 
—

 
10.2

Forward power contracts
 
Designated
 
MWh
 
1,676.7

 
(7,795.8
)
 
(6,119.1
)
Forward power contracts
 
Not designated
 
MWh
 
5,049.9

 
(1,663.0
)
 
3,386.9



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 table provides information for DPL concerning gains or losses recognized in AOCI for the cash flow hedges for the three months ended March 31, 2016 and 2015:
 
 
Three months ended
 
Three months ended
 
 
March 31, 2016
 
March 31, 2015
 
 
 
 
Interest
 
 
 
Interest
$ in millions (net of tax)
 
Power
 
Rate Hedge
 
Power
 
Rate Hedge
Beginning accumulated derivative gains in AOCI
 
$
9.2

 
$
17.5

 
$
0.2

 
$
18.3

Net gains associated with current period hedging transactions
 
21.5

 
—

 
0.1

 
—

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

 
—

 
—

 
(0.1
)
Revenues
 
(11.0
)
 
—

 
(0.2
)
 
—

Purchased power
 
2.8

 
—

 
0.9

 
—

Ending accumulated derivative gains in AOCI
 
$
22.5

 
$
17.5

 
$
1.0

 
$
18.2

Portion expected to be reclassified to earnings in the next twelve months (a)
 
$
13.8

 
$
(0.6
)
 
 
 
 
Maximum length of time that we are hedging our exposure to variability in future cash flows related to forecasted transactions (in months)
 
33

 
0

 
 
 
 


(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.

Derivatives not designated as hedges
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 815. Accordingly, such contracts are recorded at fair value with changes in the fair value charged or credited to the Condensed Consolidated Statements 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, natural gas, 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 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. Therefore, a portion of the heating oil futures are assigned to the retail jurisdiction and 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. Beginning January 1, 2016, we no longer assign any portion of the heating oil futures to our retail jurisdiction as all of our SSO retail sales are sourced through the competitive bid process.

The following tables present the amount and classification within the Condensed Consolidated Statements of Operations or Condensed Consolidated Balance Sheets of the gains and losses on DPL’s derivatives not designated as hedging instruments for the three months ended March 31, 2016 and 2015:
For the three months ended March 31, 2016
$ in millions
 
Heating Oil
 
FTRs
 
Power
 
Natural Gas
 
Total
Change in unrealized gain / (loss)
 
$
—

 
$
0.1

 
$
(1.5
)
 
$
(0.2
)
 
$
(1.6
)
Realized gain / (loss)
 
—

 
0.2

 
(0.4
)
 
(0.2
)
 
(0.4
)
Total
 
$
—

 
$
0.3

 
$
(1.9
)
 
$
(0.4
)
 
$
(2.0
)
Recorded in Income Statement: gain / (loss)
 
 
Revenues
 
—

 
—

 
(1.1
)
 
—

 
(1.1
)
Purchased power
 
—

 
0.3

 
(0.8
)
 
(0.4
)
 
(0.9
)
Total
 
$
—

 
$
0.3

 
$
(1.9
)
 
$
(0.4
)
 
$
(2.0
)


For the three months ended March 31, 2015
$ in millions
 
Heating Oil
 
FTRs
 
Power
 
Natural Gas
 
Total
Change in unrealized loss
 
$
0.1

 
$
0.9

 
$
(2.9
)
 
$
0.1

 
$
(1.8
)
Realized gain / (loss)
 
(0.1
)
 
(0.1
)
 
(2.3
)
 
(0.1
)
 
(2.6
)
Total
 
$
—

 
$
0.8

 
$
(5.2
)
 
$
—

 
$
(4.4
)
Recorded in Income Statement: loss
Revenues
 
—

 
—

 
(0.3
)
 
—

 
(0.3
)
Purchased power
 
$
—

 
$
0.8

 
$
(4.9
)
 
$
—

 
$
(4.1
)
Total
 
$
—

 
$
0.8

 
$
(5.2
)
 
$
—

 
$
(4.4
)


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 presents the fair value and balance sheet classification of DPL’s derivative instruments at March 31, 2016:
Fair Values of Derivative Instruments
at March 31, 2016
 
 
 
 
 
 
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
 
Net Balance Fair Value
Assets
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other prepayments and current assets)
 
 
Forward power contracts
 
Designated
 
$
27.1

 
$
(6.9
)
 
$
—

 
$
20.2

Forward power contracts
 
Not designated
 
18.5

 
(9.1
)
 
(3.7
)
 
5.7

FTRs
 
Not designated
 
0.1

 
(0.1
)
 
—

 
—

 
 
 
 
 
 
 
 
 
 
 
Long-term derivative positions (presented in Other deferred assets)
Forward power contracts
 
Designated
 
6.7

 
(2.0
)
 
—

 
4.7

Forward power contracts
 
Not designated
 
8.4

 
(4.8
)
 
(0.6
)
 
3.0

Total assets
 
 
 
$
60.8

 
$
(22.9
)
 
$
(4.3
)
 
$
33.6

 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other current liabilities)
Forward power contracts
 
Designated
 
$
7.2

 
$
(6.9
)
 
$
—

 
$
0.3

Forward power contracts
 
Not designated
 
28.6

 
(9.1
)
 
(16.1
)
 
3.4

Natural gas futures
 
Not designated
 
0.2

 
—

 
(0.2
)
 
—

FTRs
 
Not designated
 
0.2

 
(0.1
)
 
—

 
0.1

 
 
 
 
 
 
 
 
 
 
 
Long-term derivative positions (presented in Other deferred credits)
Forward power contracts
 
Designated
 
2.0

 
(2.0
)
 
—

 
—

Forward power contracts
 
Not designated
 
5.7

 
(4.8
)
 
—

 
0.9

Total liabilities
 
 
 
$
43.9

 
$
(22.9
)
 
$
(16.3
)
 
$
4.7



The following table presents the fair value and balance sheet classification of DPL’s derivative instruments at December 31, 2015:
Fair Values of Derivative Instruments
at December 31, 2015
 
 
 
 
 
 
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
 
Net Balance Fair Value
Assets
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other prepayments and current assets)
 
 
 
 
Forward power contracts
 
Designated
 
$
16.2

 
$
(7.1
)
 
$
—

 
$
9.1

Forward power contracts
 
Not designated
 
7.3

 
(5.5
)
 
—

 
1.8

FTRs
 
Not designated
 
0.2

 
(0.2
)
 
—

 
—

 
 
 
 
 
 
 
 
 
 
 
Long-term derivative positions (presented in Other deferred assets)
Forward power contracts
 
Designated
 
3.0

 
(2.4
)
 
—

 
0.6

Forward power contracts
 
Not designated
 
4.0

 
(2.7
)
 
—

 
1.3

Total assets
 
 
 
$
30.7

 
$
(17.9
)
 
$
—

 
$
12.8

 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other current liabilities)
 
 
 
 
Forward power contracts
 
Designated
 
$
7.1

 
$
(7.1
)
 
$
—

 
$
—

Forward power contracts
 
Not designated
 
14.5

 
(5.5
)
 
(8.0
)
 
1.0

FTRs
 
Not designated
 
0.5

 
(0.2
)
 
—

 
0.3

 
 
 
 
 
 
 
 
 
 
 
Long-term derivative positions (presented in Other deferred credits)
 
 

 
 
Forward power contracts
 
Designated
 
2.7

 
(2.4
)
 
—

 
0.3

Forward power contracts
 
Not designated
 
2.7

 
(2.7
)
 
—

 
—

Total liabilities
 
 
 
$
27.5

 
$
(17.9
)
 
$
(8.0
)
 
$
1.6



Credit risk-related contingent features
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. Since our debt has fallen below investment grade, we are 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. Some of our counterparties to the derivative instruments have requested collateralization of the MTM loss.

The aggregate fair value of DPL’s commodity derivative instruments that were in a MTM loss position at March 31, 2016 was $43.9 million. $16.3 million of collateral was 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 $22.9 million. Since our debt is below investment grade, we could have to post collateral for the remaining $4.7 million.
THE DAYTON POWER AND LIGHT COMPANY [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Derivative Instruments and Hedging Activities
Note 4 – Derivative Instruments and Hedging Activities

In the normal course of business, DP&L enters into various financial arrangements, 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 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 normal purchase/normal sale, cash flow hedges or marked to market each reporting period.

At March 31, 2016, DP&L had the following outstanding derivative instruments:
Commodity
 
Accounting Treatment
 
Unit
 
Purchases
(in thousands)
 
Sales
(in thousands)
 
Net Purchases/ (Sales)
(in thousands)
FTRs
 
Not designated
 
MWh
 
3.8

 
(1.5
)
 
2.3

Natural gas futures
 
Not designated
 
Dths
 
2,797.5

 
—

 
2,797.5

Forward power contracts
 
Designated
 
MWh
 
845.5

 
(8,554.2
)
 
(7,708.7
)
Forward power contracts
 
Not designated
 
MWh
 
4,016.6

 
(6,057.6
)
 
(2,041.0
)


At December 31, 2015, DP&L had the following outstanding derivative instruments:
Commodity
 
Accounting Treatment
 
Unit
 
Purchases
(in thousands)
 
Sales
(in thousands)
 
Net Purchases/ (Sales)
(in thousands)
FTRs
 
Not designated
 
MWh
 
10.2

 
—

 
10.2

Forward power contracts
 
Designated
 
MWh
 
1,676.7

 
(7,795.8
)
 
(6,119.1
)
Forward power contracts
 
Not designated
 
MWh
 
5,049.9

 
(1,665.7
)
 
3,384.2



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 table provides information for DP&L concerning gains or losses recognized in AOCI for the cash flow hedges for the three months ended March 31, 2016 and 2015:
 
 
Three months ended
 
Three months ended
 
 
March 31, 2016
 
March 31, 2015
 
 
 
 
Interest
 
 
 
Interest
$ in millions (net of tax)
 
Power
 
Rate Hedge
 
Power
 
Rate Hedge
Beginning accumulated derivative gains in AOCI
 
$
9.2

 
$
2.0

 
$
0.2

 
$
2.6

Net gains associated with current period hedging transactions
 
21.5

 
—

 
0.1

 
—

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

 
(0.2
)
 
—

 
(0.2
)
Revenues
 
(11.0
)
 
—

 
(0.2
)
 
—

Purchased power
 
2.8

 
—

 
0.9

 
—

Ending accumulated derivative gains in AOCI
 
$
22.5

 
$
1.8

 
$
1.0

 
$
2.4

 
 
 
 
 
 
 
 
 
Portion expected to be reclassified to earnings in the next twelve months (a)
 
$
13.8

 
$
(0.8
)
 
 
 
 
 
 
 
 
 
 
 
 
 
Maximum length of time that we are hedging our exposure to variability in future cash flows related to forecasted transactions (in months)
 
33

 
0

 
 
 
 


(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.

Derivatives not designated as hedges
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 815. Accordingly, such contracts are recorded at fair value with changes in the fair value charged or credited to the Condensed Statements 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, natural gas, 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 Statements 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. Therefore, a portion of the heating oil futures are assigned to the retail jurisdiction and 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. Beginning January 1, 2016, we no longer assign any portion of the heating oil futures to our retail jurisdiction as all of our SSO retail sales are sourced through the competitive bid process.

The following tables present the amount and classification within the Condensed Statements of Operations or Condensed Balance Sheets of the gains and losses on DPL’s derivatives not designated as hedging instruments for the three months ended March 31, 2016 and 2015:
For the three months ended March 31, 2016
$ in millions
 
Heating Oil
 
FTRs
 
Power
 
Natural Gas
 
Total
Change in unrealized gain / (loss)
 
$
—

 
$
0.1

 
$
(1.9
)
 
$
(0.2
)
 
$
(2.0
)
Realized loss
 
—

 
0.2

 
(0.3
)
 
(0.2
)
 
(0.3
)
Total
 
$
—

 
$
0.3

 
$
(2.2
)
 
$
(0.4
)
 
$
(2.3
)
 
 
 
 
 
 
 
 
 
 
 
Recorded in Income Statement: gain / (loss)
 
 
Revenues
 
—

 
—

 
(1.4
)
 
—

 
(1.4
)
Purchased power
 
—

 
0.3

 
(0.8
)
 
(0.4
)
 
(0.9
)
Total
 
$
—

 
$
0.3

 
$
(2.2
)
 
$
(0.4
)
 
$
(2.3
)


For the three months ended March 31, 2015
$ in millions
 
Heating Oil
 
FTRs
 
Power
 
Natural Gas
 
Total
Change in unrealized loss
 
$
0.1

 
$
0.9

 
$
(2.9
)
 
0.1

 
$
(1.8
)
Realized gain / (loss)
 
(0.1
)
 
(0.1
)
 
(2.3
)
 
(0.1
)
 
(2.6
)
Total
 
$
—

 
$
0.8

 
$
(5.2
)
 
$
—

 
$
(4.4
)
 
 
 
 
 
 
 
 
 
 
 
Recorded in Income Statement: gain / (loss)
 
 
Revenues
 
—

 
—

 
(0.3
)
 
—

 
(0.3
)
Purchased power
 
—

 
0.8

 
(4.9
)
 
—

 
(4.1
)
Total
 
$
—

 
$
0.8

 
$
(5.2
)
 
—

 
$
(4.4
)


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 presents the fair value and balance sheet classification of DP&L’s derivative instruments at March 31, 2016:

Fair Values of Derivative Instruments
at March 31, 2016
 
 
 
 
 
 
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
 
Net Balance Fair Value
Assets
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other current assets)
Forward power contracts
 
Designated
 
$
27.1

 
$
(6.9
)
 
$
—

 
$
20.2

Forward power contracts
 
Not designated
 
18.8

 
(9.1
)
 
(3.7
)
 
6.0

FTRs
 
Not designated
 
0.1

 
(0.1
)
 
—

 
—

 
 
 
 
 
 
 
 
 
 
 
Long-term derivative positions (presented in Other deferred assets)
Forward power contracts
 
Designated
 
6.7

 
(2.0
)
 
—

 
4.7

Forward power contracts
 
Not designated
 
8.4

 
(4.8
)
 
(0.6
)
 
3.0

Total assets
 
 
 
$
61.1

 
$
(22.9
)
 
$
(4.3
)
 
$
33.9

 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other current liabilities)
Forward power contracts
 
Designated
 
$
7.2

 
$
(6.9
)
 
$
—

 
$
0.3

Forward power contracts
 
Not designated
 
28.6

 
(9.1
)
 
(16.1
)
 
3.4

Natural gas futures
 
Not designated
 
0.2

 
—

 
(0.2
)
 
—

FTRs
 
Not designated
 
0.2

 
(0.1
)
 
—

 
0.1

 
 
 
 
 
 
 
 
 
 
 
Long-term derivative positions (presented in Other deferred liabilities)
Forward power contracts
 
Designated
 
2.0

 
(2.0
)
 
—

 
—

Forward power contracts
 
Not designated
 
5.7

 
(4.8
)
 
—

 
0.9

Total liabilities
 
 
 
$
43.9

 
$
(22.9
)
 
$
(16.3
)
 
$
4.7



The following table presents the fair value and balance sheet classification of DP&L’s derivative instruments at December 31, 2015:
Fair Values of Derivative Instruments
at December 31, 2015
 
 
 
 
 
 
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
 
Net Balance Fair Value
Assets
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other current assets)
Forward power contracts
 
Designated
 
$
16.2

 
$
(7.1
)
 
$
—

 
$
9.1

Forward power contracts
 
Not designated
 
7.4

 
(5.5
)
 
—

 
1.9

FTRs
 
Not designated
 
0.2

 
(0.2
)
 
—

 
—

 
 
 
 
 
 
 
 
 
 
 
Long-term derivative positions (presented in Other deferred assets)
Forward power contracts
 
Designated
 
3.0

 
(2.4
)
 
—

 
0.6

Forward power contracts
 
Not designated
 
4.0

 
(2.7
)
 
—

 
1.3

Total assets
 
 
 
$
30.8

 
$
(17.9
)
 
$
—

 
$
12.9

 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other current liabilities)
Forward power contracts
 
Designated
 
$
7.1

 
$
(7.1
)
 
$
—

 
$
—

Forward power contracts
 
Not designated
 
14.5

 
(5.5
)
 
(8.0
)
 
1.0

FTRs
 
Not designated
 
0.5

 
(0.2
)
 
—

 
0.3

 
 
 
 
 
 
 
 
 
 
 
Long-term derivative positions (presented in Other deferred liabilities)
Forward power contracts
 
Designated
 
2.7

 
(2.4
)
 
—

 
0.3

Forward power contracts
 
Not designated
 
2.7

 
(2.7
)
 
—

 
—

Total liabilities
 
 
 
$
27.5

 
$
(17.9
)
 
$
(8.0
)
 
$
1.6



Credit risk-related contingent features
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. Since our debt has fallen below investment grade, we are 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. Some of our counterparties to the derivative instruments have requested collateralization of the MTM loss.

The aggregate fair value of DP&L’s commodity derivative instruments that were in a MTM loss position at March 31, 2016 was $43.9 million. $16.3 million of collateral was 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 $22.9 million. Since our debt is below investment grade, we could have to post collateral for the remaining $4.7 million.