XML 55 R36.htm IDEA: XBRL DOCUMENT v3.8.0.1
Derivative Instruments and Hedging Activities (Tables)
 12 Months Ended
Dec. 31, 2017
Schedule of Notional Amounts of Outstanding Derivative Positions
At December 31, 2017, DPL's outstanding derivative instruments were as follows:
Commodity
 
Accounting Treatment (a)
 
Unit
 
Purchases
(in thousands)
 
Sales
(in thousands)
 
Net Purchases/ (Sales)
(in thousands)
FTRs
 
Not designated
 
MWh
 
2.1

 
—

 
2.1

Natural Gas
 
Not designated
 
Dths
 
3,322.5

 
(390.0
)
 
2,932.5

Forward Power Contracts
 
Designated
 
MWh
 
678.5

 
(1,667.0
)
 
(988.5
)
Forward Power Contracts
 
Not designated
 
MWh
 
871.0

 
(765.6
)
 
105.4

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's outstanding derivative instruments were as follows:
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
 
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



(a)
Refers to whether the derivative instruments have been designated as a cash flow hedge.
Gains or Losses Recognized in AOCI for the Cash Flow Hedges
The following tables provide information on gains or losses recognized in AOCI for the cash flow hedges for the periods indicated:
 
 
Years ended December 31,
 
 
2017
 
2016
 
2015
$ in millions (net of tax)
 
Power
 
Interest Rate
Hedges
 
Power
 
Interest Rate
Hedges
 
Power
 
Interest Rate
Hedges
Beginning accumulated derivative gain / (loss) in AOCI
 
$
(4.3
)
 
$
17.4

 
$
9.2

 
$
17.5

 
$
0.2

 
$
18.3

 
 
 
 
 
 
 
 
 
 
 
 
 
Net gains / (losses) associated with current period hedging transactions
 
8.8

 
0.8

 
15.7

 
0.4

 
18.2

 
—

Net gains / (losses) reclassified to earnings:
 
 
 
 
 
 
 
 
 
 
 
 
Interest Expense
 
—

 
(0.7
)
 
—

 
(0.5
)
 
—

 
(0.8
)
Revenues
 
(9.8
)
 
—

 
(35.6
)
 
—

 
(12.0
)
 
—

Purchased Power
 
2.5

 
—

 
6.4

 
—

 
2.8

 
—

Ending accumulated derivative gain / (loss) in AOCI
 
$
(2.8
)
 
$
17.5

 
$
(4.3
)
 
$
17.4

 
$
9.2

 
$
17.5

 
 
 
 
 
 
 
 
 
 
 
 
 
Portion expected to be reclassified to earnings in the next twelve months (a)
 
$
(2.7
)
 
$
(0.7
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Maximum length of time that we are hedging our exposure to variability in future cash flows related to forecasted transactions (in months)
 
3

 
32

 
 
 
 
 
 
 
 


(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, 2017, 2016 and 2015:
 
 
Year ended December 31, 2017
$ in millions
 
FTRs
 
Power
 
Natural Gas
 
Total
Change in unrealized gain / (loss)
 
$
(0.4
)
 
$
1.9

 
$
0.1

 
$
1.6

Realized gain / (loss)
 
0.8

 
(0.7
)
 
1.5

 
1.6

Total
 
$
0.4

 
$
1.2

 
$
1.6

 
$
3.2

 
 

 

 

 

Recorded on Balance Sheet:
 
 
 
 
 
 
 
 
Regulatory asset
 
$
—

 
$
—

 
$
—

 
$
—

Recorded in Statement of Operations: gain / (loss)
Revenue
 
—

 
(1.2
)
 
—

 
(1.2
)
Purchased Power
 
0.4

 
2.4

 
1.6

 
4.4

Total
 
$
0.4

 
$
1.2

 
$
1.6

 
$
3.2



 
 
Year ended December 31, 2016
$ in millions
 
FTRs
 
Power
 
Natural Gas
 
Total
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
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)
Fuel
 
—

 
—

 
27.4

 
—

 
27.4

Purchased Power
 
—

 
0.1

 
(43.6
)
 
—

 
(43.5
)
Total
 
$
0.1

 
$
0.1

 
$
(16.2
)
 
$
—

 
$
(16.0
)
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]
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; as well as the fair value, balance sheet classification and hedging designation of DPL’s derivative instruments.
Fair Values of Derivative Instruments
December 31, 2017
 
 
 
 
 
 
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
 
$
4.9

 
$
(4.9
)
 
$
—

 
$
—

Forward power contracts
 
Not designated
 
5.3

 
(3.7
)
 
—

 
1.6

Natural gas
 
Not designated
 
0.2

 
(0.1
)
 
—

 
0.1

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

 
 

 
 

Interest Rate Swaps
 
Designated
 
1.8

 
—

 
—

 
1.8

Forward power contracts
 
Designated
 
—

 
—

 
—

 
—

Forward power contracts
 
Not designated
 
0.6

 
—

 
—

 
0.6

Total assets
 
 
 
$
12.8

 
$
(8.7
)
 
$
—

 
$
4.1

 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
Short-term derivative positions (presented in Other current liabilities)
 
 
 
 
Forward power contracts
 
Designated
 
$
9.0

 
$
(4.9
)
 
$
(1.4
)
 
$
2.7

Forward power contracts
 
Not designated
 
5.9

 
(3.7
)
 
—

 
2.2

Natural gas
 
Not designated
 
0.1

 
(0.1
)
 
—

 
—

FTRs
 
Not designated
 
0.3

 
—

 
—

 
0.3

Total liabilities
 
 
 
$
15.3

 
$
(8.7
)
 
$
(1.4
)
 
$
5.2



(a)
Includes credit valuation adjustment.

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

 
 
 
 
 
 
 
 
 
 
 
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.
Schedule of Interest Rate Derivatives [Table Text Block]
The fair value derivative position of DP&L's interest rate swaps are as follows:
 
 
 
 
 
December 31,
 
Hedging Designation
 
Balance sheet classification
 
2017
 
2016
Interest Rate Hedges in an Asset Position
Cash Flow Hedge
 
Other Deferred Assets
 
 
 
 
Gross Fair Value as presented in the Balance Sheets
 
 
 
 
$
1.8

 
$
1.2

 
 
 
 
 
 
 
 
Interest Rate Hedges in a Liability Position
Cash Flow Hedge
 
Other Current Liabilities
 
 
 
 
Gross Fair Value as presented in the Balance Sheets
 
 
 
 
$
—

 
$
0.7
THE DAYTON POWER AND LIGHT COMPANY [Member]  
Gains or Losses Recognized in AOCI for the Cash Flow Hedges
The following tables provide information on gains or losses recognized in AOCI for the cash flow hedges for the periods indicated:
 
 
Years ended December 31,
 
 
 
 
2017
 
2016
 
2015
$ in millions (net of tax)
 
Power
 
Interest Rate
Hedges
 
Power
 
Interest Rate
Hedges
 
Power
 
Interest Rate
Hedges
Beginning accumulated derivative gain / (loss) in AOCI
 
$
(4.3
)
 
$
1.6

 
$
9.2

 
$
2.0

 
$
0.2

 
$
2.6

 
 
 
 
 
 
 
 
 
 
 
 
 
Net gains / (losses) associated with current period hedging transactions
 
10.7

 
1.7

 
15.7

 
0.4

 
18.2

 
—

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

 
(0.7
)
 
—

 
(0.8
)
 
—

 
(0.6
)
Loss from discontinued operations
 
(5.5
)
 
—

 
(29.2
)
 
—

 
(9.2
)
 
—

Transfer of generation assets to subsidiary of parent
 
$
(2.1
)
 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

Ending accumulated derivative gain / (loss) in AOCI
 
$
(1.2
)
 
$
2.6

 
$
(4.3
)
 
$
1.6

 
$
9.2

 
$
2.0

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Portion expected to be reclassified to earnings in the next twelve months
 

 
$
(0.7
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Maximum length of time that we are hedging our exposure to variability in future cash flows related to forecasted transactions (in months)
 

 
32