Derivative Instruments and Hedging Activities (Tables)

12 Months Ended

Dec. 31, 2016

Schedule of Notional Amounts of Outstanding Derivative Positions

At December 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	2.3	—		2.3
Natural Gas	Not designated	Dths	1,590.0	—		1,590.0
Forward Power Contracts	Designated	MWh	342.9	(9,974.5	)	(9,631.6	)
Forward Power Contracts	Not designated	MWh	2,568.3	(2,020.9	)	547.4
Interest Rate Swaps	Designated	USD	200,000.0	—		200,000.0

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

Gains or Losses Recognized in AOCI for the Cash Flow Hedges

The following tables set forth the gains / (losses) recognized in AOCI and earnings related to the effective portion of derivative instruments and the gains / (losses) recognized in earnings related to the ineffective portion of derivative instruments in qualifying cash flow hedging relationships, as defined in the accounting standards for derivatives and hedging, for the periods indicated:

	Years ended December 31,
	2016						2015						2014
$ in millions (net of tax)	Power			Interest Rate Hedges			Power			Interest Rate Hedges			Power			Interest Rate Hedges
Beginning accumulated derivative gain in AOCI	$	9.2		$	17.5		$	0.2		$	18.3		$	1.4		$	19.2
Net gains / (losses) associated with current period hedging transactions	15.7			0.4			18.2			—			(19.0		)	—
Net gains / (losses) reclassified to earnings:
Interest Expense	—			(0.5		)	—			(0.8		)	—			(0.9		)
Revenues	(35.6		)	—			(12.0		)	—			18.3			—
Purchased Power	6.4			—			2.8			—			(0.5		)	—
Ending accumulated derivative gain / (loss) in AOCI	$	(4.3	)	$	17.4		$	9.2		$	17.5		$	0.2		$	18.3
Net gains or losses associated with the ineffective portion of the hedging transactions were immaterial in the periods presented.
Portion expected to be reclassified to earnings in the next twelve months (a)	$	(3.5	)	$	(0.5	)
Maximum length of time that we are hedging our exposure to variability in future cash flows related to forecasted transactions (in months)	15			44

(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.

Schedule of Other Derivatives Not Designated as Hedging Instruments, Statements of Financial Performance and Financial Position, Location

The following tables show the amount and classification within the consolidated statements of operations or balance sheets of the gains and losses on DPL’s derivatives not designated as hedging instruments for the years ended December 31, 2016, 2015 and 2014:

	Year ended December 31, 2016
$ in millions	Heating Oil		FTRs			Power			Natural Gas		Total
Derivatives not designated as hedging instruments
Change in unrealized gain / (loss)	$	—	$	0.3		$	4.0		$	—	$	4.3
Realized gain / (loss)	—		(0.6		)	(7.2		)	2.6		(5.2		)
Total	$	—	$	(0.3	)	$	(3.2	)	$	2.6	$	(0.9	)
Recorded on Balance Sheet:
Regulatory asset	$	—	$	—		$	—		$	—	$	—
Recorded in Statement of Operations: gain / (loss)
Revenue	—		—			(17.3		)	—		(17.3		)
Purchased Power	—		(0.3		)	14.1			2.6		16.4
Total	$	—	$	(0.3	)	$	(3.2	)	$	2.6	$	(0.9	)

	Year ended December 31, 2015
$ in millions	Heating Oil			FTRs			Power			Natural Gas			Total
Derivatives not designated as hedging instruments
Change in unrealized gain / (loss)	$	0.4		$	0.3		$	(6.4	)	$	0.1		$	(5.6	)
Realized gain / (loss)	(0.3		)	(0.2		)	(9.8		)	(0.1		)	(10.4		)
Total	$	0.1		$	0.1		$	(16.2	)	$	—		$	(16.0	)
Recorded on Balance Sheet:
Regulatory asset	$	0.1		$	—		$	—		$	—		$	0.1
Recorded in Statement of Operations: gain / (loss)
Revenue	—			—			27.4			—			27.4
Purchased Power	—			0.1			(43.6		)	—			(43.5		)
Total	$	0.1		$	0.1		$	(16.2	)	$	—		$	(16.0	)

	Year ended December 31, 2014
$ in millions	Heating Oil			FTRs			Power			Natural Gas			Total
Derivatives not designated as hedging instruments
Change in unrealized gain / (loss)	$	(0.6	)	$	(0.8	)	$	(1.5	)	$	(0.1	)	$	(3.0	)
Realized gain / (loss)	(0.1		)	0.7			(3.6		)	(0.1		)	(3.1		)
Total	$	(0.7	)	$	(0.1	)	$	(5.1	)	$	(0.2	)	$	(6.1	)
Recorded on Balance Sheet
Regulatory asset	$	(0.1	)	$	—		$	—		$	—		$	(0.1	)
Recorded in Statement of Operations: gain / (loss)
Fuel	(0.6		)	—			—			—			(0.6		)
Purchased Power	—			(0.1		)	(5.1		)	(0.2		)	(5.4		)
Total	$	(0.7	)	$	(0.1	)	$	(5.1	)	$	(0.2	)	$	(6.1	)

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]

The following tables show the fair value, balance sheet classification and hedging designation of DPL’s derivative instruments at December 31, 2016 and 2015.

Fair Values of Derivative Instruments
December 31, 2016
				Gross Amounts Not Offset in the Consolidated Balance Sheets
$ in millions	Hedging Designation	Gross Fair Value as presented in the Consolidated Balance Sheets (a)		Financial Instruments with Same Counterparty in Offsetting Position			Cash Collateral			Net Amount
Assets
Short-term derivative positions (presented in Other current assets)
Forward power contracts	Designated	$	11.0	$	(10.5	)	$	—		$	0.5
Forward power contracts	Not designated	6.0		(4.7		)	—			1.3
FTRs	Not designated	0.1		—			—			0.1
Long-term derivative positions (presented in Other deferred assets)
Interest Rate Swaps	Designated	1.2		—			—			1.2
Forward power contracts	Designated	0.6		(0.6		)	—			—
Forward power contracts	Not designated	1.9		(1.0		)	—			0.9
Total assets		$	20.8	$	(16.8	)	$	—		$	4.0
Liabilities
Short-term derivative positions (presented in Other current liabilities)
Interest Rate Swaps	Designated	$	0.7	$	—		$	—		$	0.7
Forward power contracts	Designated	$	16.4	$	(10.5	)	$	(5.5	)	$	0.4
Forward power contracts	Not designated	7.7		(4.7		)	—			3.0
FTRs	Not designated	—		—			—			—
Long-term derivative positions (presented in Other deferred liabilities)
Forward power contracts	Designated	2.4		(0.6		)	(0.8		)	1.0
Forward power contracts	Not designated	2.0		(1.0		)	—			1.0
Total liabilities		$	29.2	$	(16.8	)	$	(6.3	)	$	6.1

(a) Includes credit valuation adjustment.

Fair Values of Derivative Instruments
December 31, 2015
				Gross Amounts Not Offset in the Consolidated Balance Sheets
$ in millions	Hedging Designation	Gross Fair Value as presented in the Consolidated Balance Sheets (a)		Financial Instruments with Same Counterparty in Offsetting Position			Cash Collateral			Net Amount
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	7.3		(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 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

(a) Includes credit valuation adjustment.

THE DAYTON POWER AND LIGHT COMPANY [Member]

Schedule of Notional Amounts of Outstanding Derivative Positions

At December 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	2.3	—		2.3
Natural Gas	Not designated	Dths	1,590.0	—		1,590.0
Forward Power Contracts	Designated	MWh	342.9	(9,974.5	)	(9,631.6	)
Forward Power Contracts	Not designated	MWh	2,568.3	(2,037.5	)	530.8
Interest Rate Swaps	Designated	USD	200,000.0	—		200,000.0

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

Gains or Losses Recognized in AOCI for the Cash Flow Hedges

The following tables set forth the gains / (losses) recognized in AOCI and earnings related to the effective portion of derivative instruments and the gains / (losses) recognized in earnings related to the ineffective portion of derivative instruments in qualifying cash flow hedging relationships, as defined in the accounting standards for derivatives and hedging, for the periods indicated:

	Years ended December 31,
	2016						2015						2014
$ in millions (net of tax)	Power			Interest Rate Hedges			Power			Interest Rate Hedges			Power			Interest Rate Hedges
Beginning accumulated derivative gain in AOCI	$	9.2		$	2.0		$	0.2		$	2.6		$	1.0		$	5.2
Net gains / (losses) associated with current period hedging transactions	15.7			0.4			18.2			—			(18.8		)	—
Net gains / (losses) reclassified to earnings:
Interest Expense	—			(0.8		)	—			(0.6		)	—			(2.6		)
Revenues	(35.6		)	—			(12.0		)	—			18.2			—
Purchased Power	6.4			—			2.8			—			(0.2		)	—
Ending accumulated derivative gain / (loss) in AOCI	$	(4.3	)	$	1.6		$	9.2		$	2.0		$	0.2		$	2.6
Net gains or losses associated with the ineffective portion of the hedging transactions were immaterial in the periods presented.
Portion expected to be reclassified to earnings in the next twelve months (a)	$	(3.5	)	$	(0.8	)
Maximum length of time that we are hedging our exposure to variability in future cash flows related to forecasted transactions (in months)	15			44

(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.

Schedule of Other Derivatives Not Designated as Hedging Instruments, Statements of Financial Performance and Financial Position, Location

The following tables show the amount and classification within the statements of operations or balance sheets of the gains and losses on DP&L’s derivatives not designated as hedging instruments for the years ended December 31, 2016, 2015 and 2014.

	Year ended December 31, 2016
$ in millions	Heating Oil		FTRs			Power			Natural Gas		Total
Derivatives not designated as hedging instruments
Change in unrealized gain / (loss)	$	—	$	0.3		$	3.9		$	—	$	4.2
Realized gain / (loss)	—		(0.6		)	(7.9		)	2.6		(5.9		)
Total	$	—	$	(0.3	)	$	(4.0	)	$	2.6	$	(1.7	)
Recorded on Balance Sheet:
Regulatory asset	$	—	$	—		$	—		$	—	$	—
Recorded in Statement of Operations: gain / (loss)
Revenue	—		—			(18.1		)	—		(18.1		)
Purchased Power	—		(0.3		)	14.1			2.6		16.4
Total	$	—	$	(0.3	)	$	(4.0	)	$	2.6	$	(1.7	)

	Year ended December 31, 2015
$ in millions	Heating Oil			FTRs			Power			Natural Gas			Total
Derivatives not designated as hedging instruments
Change in unrealized gain / (loss)	$	0.4		$	0.3		$	(6.3	)	$	0.1		$	(5.5	)
Realized gain / (loss)	(0.3		)	(0.2		)	(9.9		)	(0.1		)	(10.5		)
Total	$	0.1		$	0.1		$	(16.2	)	$	—		$	(16.0	)
Recorded on Balance Sheet:
Regulatory asset	$	0.1		$	—		$	—		$	—		$	0.1
Recorded in Statement of Operations: gain / (loss)
Revenue	—			—			27.4			—			27.4
Purchased Power	—			0.1			(43.6		)	—			(43.5		)
Total	$	0.1		$	0.1		$	(16.2	)	$	—		$	(16.0	)

	Year ended December 31, 2014
$ in millions	Heating Oil			FTRs			Power			Natural Gas			Total
Derivatives not designated as hedging instruments
Change in unrealized loss	$	(0.6	)	$	(0.8	)	$	(1.5	)	$	(0.1	)	$	(3.0	)
Realized gain / (loss)	(0.1		)	0.7			(3.0		)	(0.1		)	(2.5		)
Total	$	(0.7	)	$	(0.1	)	$	(4.5	)	$	(0.2	)	$	(5.5	)
Recorded on Balance Sheet:
Regulatory (asset) / liability	$	(0.1	)	$	—		$	—		$	—		$	(0.1	)
Recorded in Statement of Operations: gain / (loss)
Revenue	—			—			0.7			—			0.7
Fuel	(0.6		)	—			—			—			(0.6		)
Purchased Power	—			(0.1		)	(5.2		)	(0.2		)	(5.5		)
Total	$	(0.7	)	$	(0.1	)	$	(4.5	)	$	(0.2	)	$	(5.5	)

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]

The following tables show the fair value, balance sheet classification and hedging designation of DP&L’s derivative instruments at December 31, 2016 and 2015.

Fair Values of Derivative Instruments
December 31, 2016
				Gross Amounts Not Offset in the Balance Sheets
$ in millions	Hedging Designation	Gross Fair Value as presented in the Balance Sheets		Financial Instruments with Same Counterparty in Offsetting Position			Cash Collateral			Net Amount
Assets
Short-term derivative positions (presented in Other current assets)
Forward power contracts	Designated	$	11.0	$	(10.5	)	$	—		$	0.5
Forward power contracts	Not designated	6.0		(4.7		)	—			1.3
FTRs	Not designated	0.1		—			—			0.1
Long-term derivative positions (presented in Other deferred assets)
Forward power contracts	Designated	0.6		(0.6		)	—			—
Interest Rate Swaps	Designated	1.2		—			—			1.2
Forward power contracts	Not designated	1.9		(1.0		)	—			0.9
Total assets		$	20.8	$	(16.8	)	$	—		$	4.0
Liabilities
Short-term derivative positions (presented in Other current liabilities)
Forward power contracts	Designated	$	16.4	$	(10.5	)	$	(5.5	)	$	0.4
Interest Rate Swaps	Designated	0.7		—			—			0.7
Forward power contracts	Not designated	7.7		(4.7		)	—			3.0
FTRs	Not designated	—		—			—			—
Long-term derivative positions (presented in Other deferred liabilities)
Forward power contracts	Designated	2.4		(0.6		)	(0.8		)	1.0
Forward power contracts	Not designated	2.0		(1.0		)	—			1.0
Total liabilities		$	29.2	$	(16.8	)	$	(6.3	)	$	6.1

(a) Includes credit valuation adjustment.

Fair Values of Derivative Instruments
December 31, 2015
				Gross Amounts Not Offset in the Balance Sheets
$ in millions	Hedging Designation	Gross Fair Value as presented in the Balance Sheets		Financial Instruments with Same Counterparty in Offsetting Position			Cash Collateral			Net Amount
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

(a) Includes credit valuation adjustment.