XML 43 R28.htm IDEA: XBRL DOCUMENT v3.7.0.1
Derivative Instruments and Hedging Activities (Tables)
 3 Months Ended
Mar. 31, 2017
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Schedule of Notional Amounts of Outstanding Derivative Positions
At March 31, 2017, DPL had the following outstanding derivative instruments:
Commodity
 
Accounting Treatment (a)
 
Unit
 
Purchases
(in thousands)
 
Sales
(in thousands)
 
Net Purchases/ (Sales)
(in thousands)
FTRs
 
Not designated
 
MWh
 
0.9

 
—

 
0.9

Natural gas futures
 
Not designated
 
Dths
 
17,127.5

 
—

 
17,127.5

Forward power contracts
 
Designated
 
MWh
 
1,276.6

 
(6,250.9
)
 
(4,974.3
)
Forward power contracts
 
Not designated
 
MWh
 
1,727.3

 
(2,052.6
)
 
(325.3
)
Interest rate swaps
 
Designated
 
USD
 
$
200,000.0

 
$
—

 
$
200,000.0



(a)    Refers to whether the derivative instruments have been designated as a cash flow hedge.

At December 31, 2016, DPL had the following outstanding derivative instruments:
Commodity
 
Accounting Treatment (a)
 
Unit
 
Purchases
(in thousands)
 
Sales
(in thousands)
 
Net Purchases/ (Sales)
(in thousands)
FTRs
 
Not designated
 
MWh
 
2.3

 
—

 
2.3

Natural gas futures
 
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
Gains or Losses Recognized in AOCI for the 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 March 31, 2017 and 2016:
 
 
Three months ended
 
Three months ended
 
 
March 31, 2017
 
March 31, 2016
 
 
 
 
Interest
 
 
 
Interest
$ in millions (net of tax)
 
Power
 
Rate Hedge
 
Power
 
Rate Hedge
Beginning accumulated derivative gains / (losses) in AOCI
 
$
(4.3
)
 
$
17.4

 
$
9.2

 
$
17.5

Net gains associated with current period hedging transactions
 
4.9

 
0.3

 
21.5

 
—

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

 
(0.2
)
 
—

 
—

Revenues
 
(0.9
)
 
—

 
(11.0
)
 
—

Purchased power
 
2.1

 
—

 
2.8

 
—

Ending accumulated derivative gains in AOCI
 
$
1.8

 
$
17.5

 
$
22.5

 
$
17.5

 
 
 
 
 
 
 
 
 
Portion expected to be reclassified to earnings in the next twelve months (a)
 
$
2.0

 
$
(0.2
)
 
 
 
 
Maximum length of time that we are hedging our exposure to variability in future cash flows related to forecasted transactions (in months)
 
17

 
41

 
 
 
 


(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 present the amount and classification within the Condensed Consolidated Statements of Operations of the gains and losses on DPL’s derivatives not designated as hedging instruments for the three months ended March 31, 2017 and 2016:
For the three months ended March 31, 2017
$ in millions
 
FTRs
 
Power
 
Natural Gas
 
Total
Change in unrealized loss
 
$
—

 
$
(0.1
)
 
$
(0.1
)
 
$
(0.2
)
Realized gain / (loss)
 
0.2

 
(2.6
)
 
(0.2
)
 
(2.6
)
Total
 
$
0.2

 
$
(2.7
)
 
$
(0.3
)
 
$
(2.8
)
Recorded in Income Statement: gain / (loss)
 
 
Revenues
 
$
—

 
$
(6.7
)
 
$
—

 
$
(6.7
)
Purchased power
 
0.2

 
4.0

 
(0.3
)
 
3.9

Total
 
$
0.2

 
$
(2.7
)
 
$
(0.3
)
 
$
(2.8
)


For the three months ended March 31, 2016
$ in millions
 
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)
Revenue
 
$
—

 
$
(1.1
)
 
$
—

 
$
(1.1
)
Purchased power
 
0.3

 
(0.8
)
 
(0.4
)
 
(0.9
)
Total
 
$
0.3

 
$
(1.9
)
 
$
(0.4
)
 
$
(2.0
)
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value
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, 2017:
Fair Values of Derivative Instruments
at March 31, 2017
 
 
 
 
 
 
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
 
$
12.7

 
$
(8.6
)
 
$
—

 
$
4.1

Forward power contracts
 
Not designated
 
6.1

 
(5.5
)
 
—

 
0.6

Natural gas futures
 
Not designated
 
0.3

 
(0.2
)
 
—

 
0.1

 
 
 
 
 
 
 
 
 
 
 
Long-term derivative positions (presented in Other deferred assets)
Interest rate swap
 
Designated
 
1.4

 
—

 
—

 
1.4

Forward power contracts
 
Not designated
 
0.1

 
(0.1
)
 
—

 
—

Total assets
 
 
 
$
20.6

 
$
(14.4
)
 
$
—

 
$
6.2

 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other current liabilities)
Forward power contracts
 
Designated
 
$
9.7

 
$
(8.6
)
 
$
—

 
$
1.1

Interest rate swap
 
Designated
 
0.3

 
—

 
—

 
0.3

Forward power contracts
 
Not designated
 
8.1

 
(5.5
)
 
(0.1
)
 
2.5

Natural gas futures
 
Not designated
 
0.2

 
(0.2
)
 
—

 
—

 
 
 
 
 
 
 
 
 
 
 
Long-term derivative positions (presented in Other deferred credits)
Forward power contracts
 
Designated
 
0.1

 
—

 
(0.1
)
 
—

Natural gas futures
 
Not designated
 
0.3

 
—

 
(0.3
)
 
—

Forward power contracts
 
Not designated
 
0.2

 
(0.1
)
 
—

 
0.1

Total liabilities
 
 
 
$
18.9

 
$
(14.4
)
 
$
(0.5
)
 
$
4.0



The following table presents the fair value and balance sheet classification of DPL’s derivative instruments at December 31, 2016:
Fair Values of Derivative Instruments
at December 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
 
$
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

Long-term derivative positions (presented in Other deferred credits)
 
 
 
 
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
THE DAYTON POWER AND LIGHT COMPANY [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Schedule of Notional Amounts of Outstanding Derivative Positions
At March 31, 2017, DP&L had the following outstanding derivative instruments:
Commodity
 
Accounting Treatment (a)
 
Unit
 
Purchases
(in thousands)
 
Sales
(in thousands)
 
Net Purchases/ (Sales)
(in thousands)
FTRs
 
Not designated
 
MWh
 
0.9

 
—

 
0.9

Natural gas futures
 
Not designated
 
Dths
 
17,127.5

 
—

 
17,127.5

Forward power contracts
 
Designated
 
MWh
 
1,276.6

 
(6,250.9
)
 
(4,974.3
)
Forward power contracts
 
Not designated
 
MWh
 
1,727.3

 
(2,057.9
)
 
(330.6
)
Interest rate swaps
 
Designated
 
USD
 
$
200,000.0

 
$
—

 
$
200,000.0



(a)    Refers to whether the derivative instruments have been designated as a cash flow hedge.

At December 31, 2016, DP&L had the following outstanding derivative instruments:
Commodity
 
Accounting Treatment (a)
 
Unit
 
Purchases
(in thousands)
 
Sales
(in thousands)
 
Net Purchases/ (Sales)
(in thousands)
FTRs
 
Not designated
 
MWh
 
2.3

 
—

 
2.3

Natural gas futures
 
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
Gains or Losses Recognized in AOCI for the Cash Flow Hedges
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, 2017 and 2016:
 
 
Three months ended
 
Three months ended
 
 
March 31, 2017
 
March 31, 2016
 
 
 
 
Interest
 
 
 
Interest
$ in millions (net of tax)
 
Power
 
Rate Hedge
 
Power
 
Rate Hedge
Beginning accumulated derivative gains / (losses) in AOCI
 
$
(4.3
)
 
$
1.6

 
$
9.2

 
$
2.0

Net gains associated with current period hedging transactions
 
4.9

 
0.3

 
21.5

 
—

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

 
(0.2
)
 
—

 
(0.2
)
Revenues
 
(0.9
)
 
—

 
(11.0
)
 
—

Purchased power
 
2.1

 
—

 
2.8

 
—

Ending accumulated derivative gains in AOCI
 
$
1.8

 
$
1.7

 
$
22.5

 
$
1.8

 
 
 
 
 
 
 
 
 
Portion expected to be reclassified to earnings in the next twelve months (a)
 
$
2.0

 
$
(0.2
)
 
 
 
 
 
 
 
 
 
 
 
 
 
Maximum length of time that we are hedging our exposure to variability in future cash flows related to forecasted transactions (in months)
 
17

 
41

 
 
 
 


(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 present the amount and classification within the Condensed Statements of Operations of the gains and losses on DP&L's derivatives not designated as hedging instruments for the three months ended March 31, 2017 and 2016:
For the three months ended March 31, 2017
$ in millions
 
FTRs
 
Power
 
Natural Gas
 
Total
Change in unrealized loss
 
$
—

 
$
(0.1
)
 
$
(0.1
)
 
$
(0.2
)
Realized gain / (loss)
 
0.2

 
(2.6
)
 
(0.2
)
 
(2.6
)
Total
 
$
0.2

 
$
(2.7
)
 
$
(0.3
)
 
$
(2.8
)
Recorded in Income Statement: gain / (loss)
 
 
Revenues
 
$
—

 
$
(6.7
)
 
$
—

 
$
(6.7
)
Purchased power
 
0.2

 
4.0

 
(0.3
)
 
3.9

Total
 
$
0.2

 
$
(2.7
)
 
$
(0.3
)
 
$
(2.8
)


For the three months ended March 31, 2016
$ in millions
 
FTRs
 
Power
 
Natural Gas
 
Total
Change in unrealized gain / (loss)
 
$
0.1

 
$
(1.9
)
 
(0.2
)
 
$
(2.0
)
Realized gain / (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
)
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value
DP&L’s derivative instruments at March 31, 2017:
Fair Values of Derivative Instruments
at March 31, 2017
 
 
 
 
 
 
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 prepayments and current assets)
Forward power contracts
 
Designated
 
$
12.7

 
$
(8.6
)
 
$
—

 
$
4.1

Forward power contracts
 
Not designated
 
6.2

 
(5.5
)
 
—

 
0.7

Natural gas futures
 
Not designated
 
0.3

 
(0.2
)
 
—

 
0.1

 
 
 
 
 
 
 
 
 
 
 
Long-term derivative positions (presented in Other deferred assets)
Interest rate swaps
 
Designated
 
1.4

 
—

 
—

 
1.4

Forward power contracts
 
Not designated
 
0.1

 
(0.1
)
 
—

 
—

Total assets
 
 
 
$
20.7

 
$
(14.4
)
 
$
—

 
$
6.3

 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other current liabilities)
Forward power contracts
 
Designated
 
$
9.7

 
$
(8.6
)
 
$
—

 
$
1.1

Interest rate swaps
 
Designated
 
0.3

 
—

 
—

 
0.3

Forward power contracts
 
Not designated
 
8.1

 
(5.5
)
 
(0.1
)
 
2.5

Natural gas futures
 
Not designated
 
0.2

 
(0.2
)
 
—

 
—

 
 
 
 
 
 
 
 
 
 
 
Long-term derivative positions (presented in Other deferred credits)
Forward power contracts
 
Designated
 
0.1

 
—

 
(0.1
)
 
—

Natural gas futures
 
Not designated
 
0.3

 
—

 
(0.3
)
 
—

Forward power contracts
 
Not designated
 
0.2

 
(0.1
)
 
—

 
0.1

Total liabilities
 
 
 
$
18.9

 
$
(14.4
)
 
$
(0.5
)
 
$
4.0



The following table presents the fair value and balance sheet classification of DP&L’s derivative instruments at December 31, 2016:
Fair Values of Derivative Instruments
at December 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 prepayments and 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)
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

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