XML 39 R13.htm IDEA: XBRL DOCUMENT

Fair Value Measurements

9 Months Ended

Sep. 30, 2011

8. Fair Value Measurements

The fair values of our financial instruments are based on published sources for pricing when possible. We rely on valuation models only when no other methods exist. The fair value of our financial instruments represents estimates of possible value that may not be realized in the future. The table below presents the fair value and cost of our non-derivative instruments at September 30, 2011 and December 31, 2010. See also Note 9 of Notes to Condensed Consolidated Financial Statements for the fair values of our derivative instruments.


		At September 30,				At December 31,
		2011				2010
$ in millions		Cost	Fair Value			Cost	Fair Value
DPL
Assets
Money Market Funds	$	0.2	$	0.2	$	1.6	$	1.6
Equity Securities		3.9		4.0		3.8		4.4
Debt Securities		5.1		5.6		5.2		5.5
Multi-Strategy Fund		0.3		0.2		0.3		0.3
Total Master Trust Assets	$	9.5	$	10.0	$	10.9	$	11.8

Short-term Investments - VRDNs	$	-	$	-	$	54.2	$	54.2
Short-term Investments - Bonds		-		-		15.1		15.1
Total Short-term Investments	$	-	$	-	$	69.3	$	69.3

Total Assets	$	9.5	$	10.0	$	80.2	$	81.1

Liabilities
Debt	$	1,224.0	$	1,204.6	$	1,324.1	$	1,307.5


DP&L
Assets
Money Market Funds	$	0.2	$	0.2	$	1.6	$	1.6
Equity Securities ^(a)		17.3		33.5		17.5		30.2
Debt Securities		5.1		5.6		5.2		5.5
Multi-Strategy Fund		0.3		0.2		0.3		0.3
Total Master Trust Assets	$	22.9	$	39.5	$	24.6	$	37.6

Liabilities
Debt	$	903.4	$	884.2	$	884.1	$	850.6

^(a)

DPL stock held in the DP&L Master Trust is eliminated in consolidation.

Debt

Debt is shown at fair value based on current public market prices for disclosure purposes only. Unrealized gains or losses are not recognized in the Condensed Consolidated Financial Statements as debt is presented at amortized cost in the Condensed Consolidated Financial Statements. The debt amounts include the current portion payable in the next twelve months and have maturities that range from 2011 to 2061.

Master Trust Assets

DP&L established a Master Trust to hold assets for the benefit of directors and employees participating in employee benefit plans. These assets are not used for general operating purposes and are primarily comprised of open-ended mutual funds and DPL common stock. The DPL common stock held by the DP&L Master Trust is eliminated in consolidation and is not reflected in DPL's Condensed Consolidated Balance Sheets. The DPL common stock is valued using current public market prices, while the open-ended mutual funds are valued using the net asset value per unit. These investments are recorded at fair value within Other deferred assets on the balance sheets and classified as available for sale. Any unrealized gains or losses are recorded in AOCI until the securities are sold.

DPL had $0.5 million ($0.3 million after tax) in unrealized gains and $0.1 million ($0.1 million after tax) in unrealized losses on the Master Trust assets in AOCI at September 30, 2011 and $0.9 million ($0.6 million after tax) in unrealized gains and immaterial unrealized losses in AOCI at December 31, 2010.

DP&L had $16.6 million ($10.8 million after tax) in unrealized gains and $0.1 million ($0.1 million after tax) in unrealized losses on the Master Trust assets in AOCI at September 30, 2011 and $13.0 million ($8.5 million after tax) in unrealized gains and immaterial unrealized losses in AOCI at December 31, 2010.

Approximately $0.4 million in unrealized gains are expected to be transferred to earnings in the next twelve months.

Short-Term Investments

DPL from time to time utilizes VRDNs as part of its short-term investment strategy. The VRDNs are of high credit quality and are secured by irrevocable letters of credit from major financial institutions. VRDN investments have variable rates tied to short-term interest rates. Interest rates are reset every seven days and these VRDNs can be tendered for sale back to the financial institution upon notice. Although DPL's VRDN investments have original maturities over one year, they are frequently re-priced and trade at par. We account for these VRDNs as available-for-sale securities and record them as short-term investments at fair value, which approximates cost, since they are highly liquid and are readily available to support DPL's current operating needs.

DPL also from time to time utilizes investment-grade fixed income corporate securities in its short-term investment portfolio. These securities are accounted for as held-to-maturity investments.

Net Asset Value (NAV) per Unit

The following table discloses the fair value and redemption frequency for those assets whose fair value is estimated using the NAV per unit as of September 30, 2011 and December 31, 2010. These assets are part of the Master Trust and exclude DPL common stock which is valued using quoted market prices and not the NAV. Fair values estimated using the NAV per unit are considered Level 2 inputs within the fair value hierarchy, unless they cannot be redeemed at the NAV on the reporting date. Investments that have restrictions on the redemption of the investments are Level 3 inputs. As of September 30, 2011, DPL did not have any investments for sale at a price different than the NAV per unit.


		Fair Value Estimated using Net Asset Value per Unit
		Fair Value at		Fair Value at		Unfunded	Redemption
$ in millions		September 30, 2011	December 31, 2010			Commitments	Frequency
Money Market Fund (a)	$	0.2	$	1.6	$	-	Immediate
Equity Securities (b)		4.0		4.4		-	Immediate
Debt Securities (c)		5.6		5.5		-	Immediate
Multi-Strategy Fund (d)		0.2		0.3		-	Immediate
Total	$	10.0	$	11.8	$	-

(a)	This category includes investments in high-quality, short-term securities. Investments in this category can be redeemed immediately at the current net asset value per unit.
(b)	This category includes investments in funds representing an S&P 500 Index and the Morgan Stanley Capital International (MSCI) U.S. Small Cap 1750 Index. Investments in this category can be redeemed immediately at the current net asset value per unit.
(c)	This category includes funds holding investments in U.S. Treasury obligations and U.S. investment grade bonds. Investments in this category can be redeemed immediately at the current net asset value per unit.
(d)	This category includes a mix of actively managed funds holding investments in stocks, bonds and short-term investments in a mix of actively managed funds. Investments in this category can be redeemed immediately at the current net asset value per unit.

Fair Value Hierarchy

Fair value is defined as the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. The fair value hierarchy requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. These inputs are then categorized as Level 1 (quoted prices in active markets for identical assets or liabilities); Level 2 (observable inputs such as quoted prices for similar assets or liabilities or quoted prices in markets that are not active); or Level 3 (unobservable inputs).

Valuations of assets and liabilities reflect the value of the instrument including the values associated with counterparty risk. We include our own credit risk and our counterparty's credit risk in our calculation of fair value using global average default rates based on an annual study conducted by a large rating agency.

We did not have any transfers of the fair values of our financial instruments between Level 1 and Level 2 of the fair value hierarchy during the three and nine months ended September 30, 2011.

The fair value of assets and liabilities at September 30, 2011 and December 31, 2010 measured on a recurring basis and the respective category within the fair value hierarchy for DPL was determined as follows:


DPL
					Assets and Liabilities Measured at Fair Value on a Recurring Basis
					Level 1	Level 2			Level 3
														Fair Value on
	Fair Value at				Based on Quoted	Other				Collateral and			Balance Sheet at
	September 30,				Prices in Active	Observable Unobservable Counterparty September 30,
$ in millions	2011	*			Markets	Inputs			Inputs		Netting			2011
Assets
Master Trust Assets
Money Market Funds	$		0.2	$	-	$	0.2	$	-	$	-		$	0.2
Equity Securities			4.0		-		4.0		-		-			4.0
Debt Securities			5.6		-		5.6		-		-			5.6
Multi-Strategy Fund			0.2		-		0.2		-		-			0.2
Total Master Trust Assets	$		10.0	$	-	$	10.0	$	-	$	-		$	10.0

Derivative Assets
FTRs	$		0.1	$	-	$	0.1	$	-	$	-		$	0.1
Heating Oil Futures			1.7		1.7		-		-		(1.7	)		-
Forward NYMEX Coal Contracts			2.3		-		2.3		-		(1.2	)		1.1
Forward Power Contracts			12.8		-		12.8		-		(2.0	)		10.8
Total Derivative Assets	$		16.9	$	1.7	$	15.2	$	-	$	(4.9	)	$	12.0

Short-term Investments - Bonds			-		-		-		-		-			-
Total Short-term investments	$		-	$	-	$	-	$	-	$	-		$	-

Total Assets	$		26.9	$	1.7	$	25.2	$	-	$	(4.9	)	$	22.0

Liabilities
Derivative Liabilities
Interest Rate Hedge	$		28.5	$	-	$	28.5	$	-	$	-		$	28.5
Forward NYMEX Coal Contracts			6.3		-		6.3		-		(6.3)			-
Forward Power Contracts			6.6		-		6.6		-		(2.6)			4.0
Total Derivative Liabilities	$		41.4	$	-	$	41.4	$	-	$	(8.9)		$	32.5

Total Liabilities	$		41.4	$	-	$	41.4	$	-	$	(8.9)		$	32.5

*Includes credit valuation adjustments for counterparty risk.


DPL
				Assets and Liabilities Measured at Fair Value on a Recurring Basis
					Level 1		Level 2		Level 3
														Fair Value on
		Fair Value at		Based on Quoted			Other			Collateral and				Balance Sheet at
		December 31, Prices in Active				Observable Unobservable Counterparty								December 31,
$ in millions		2010	*		Markets		Inputs		Inputs		Netting			2010
Assets
Master Trust Assets
Money Market Funds	$	1.6		$	-	$	1.6	$	-	$	-		$	1.6
Equity Securities		4.4			-		4.4		-		-			4.4
Debt Securities		5.5			-		5.5		-		-			5.5
Multi-Strategy Fund		0.3			-		0.3		-		-			0.3
Total Master Trust Assets	$	11.8		$	-	$	11.8	$	-	$	-		$	11.8

Derivative Assets
FTRs	$	0.3		$	-	$	0.3	$	-	$	-		$	0.3
Heating Oil Futures		1.6			1.6		-		-		(1.6	)		-
Interest Rate Hedge		20.7			-		20.7		-		-			20.7
Forward NYMEX Coal Contracts		37.5			-		37.5		-		(21.9	)		15.6
Forward Power Contracts		0.2			-		0.2		-		(0.2	)		-
Total Derivative Assets	$	60.3		$	1.6	$	58.7	$	-	$	(23.7	)	$	36.6

Short-term Investments - VRDNs	$	54.2		$	-	$	54.2	$	-	$	-		$	54.2
Short-term Investments - Bonds		15.1			-		15.1		-		-			15.1
Total Short-term investments	$	69.3		$	-	$	69.3	$	-	$	-		$	69.3

Total Assets	$	141.4		$	1.6	$	139.8	$	-	$	(23.7	)	$	117.7

Liabilities
Derivative Liabilities
Interest Rate Hedge	$	6.6		$	-	$	6.6	$	-	$	-		$	6.6
Forward Power Contracts		3.1			-		3.1		-		(1.1	)		2.0
Total Derivative Liabilities	$	9.7		$	-	$	9.7	$	-	$	(1.1	)	$	8.6

Total Liabilities	$	9.7		$	-	$	9.7	$	-	$	(1.1	)	$	8.6

*Includes credit valuation adjustments for counterparty risk.


DP&L
				Assets and Liabilities Measured at Fair Value on a Recurring Basis
					Level 1	Level 2			Level 3
														Fair Value on
	Fair Value at			Based on Quoted		Other				Collateral and			Balance Sheet at
	September 30, Prices in Active					Observable Unobservable Counterparty September 30,
$ in millions	2011	*			Markets	Inputs			Inputs		Netting			2011
Assets
Master Trust Assets
Money Market Funds	$		0.2	$	-	$	0.2	$	-	$	-		$	0.2
Equity Securities (a)			33.5		29.5		4.0		-		-			33.5
Debt Securities			5.6		-		5.6		-		-			5.6
Multi-Strategy Fund			0.2		-		0.2		-		-			0.2
Total Master Trust Assets	$		39.5	$	29.5	$	10.0	$	-	$	-		$	39.5

Derivative Assets
FTRs	$		0.1	$	-	$	0.1	$	-	$	-		$	0.1
Heating Oil Futures			1.7		1.7		-		-		(1.7	)		-
Forward NYMEX Coal Contracts			2.3		-		2.3		-		(1.2	)		1.1
Forward Power Contracts			3.2		-		3.2		-		(2.4	)		0.8
Total Derivative Assets	$		7.3	$	1.7	$	5.6	$	-	$	(5.3	)	$	2.0

Total Assets	$		46.8	$	31.2	$	15.6	$	-	$	(5.3	)	$	41.5

Liabilities
Derivative Liabilities
Forward NYMEX Coal Contracts	$		6.3	$	-	$	6.3	$	-	$	(6.3)		$	-
Forward Power Contracts			2.8		-		2.8		-		(1.4)			1.4
Total Derivative Liabilities	$		9.1	$	-	$	9.1	$	-	$	(7.7)		$	1.4

Total Liabilities	$		9.1	$	-	$	9.1	$	-	$	(7.7)		$	1.4

*Includes credit valuation adjustments for counterparty risk.

(a) DPL stock in the Master Trust is eliminated in consolidation.


DP&L
				Assets and Liabilities Measured at Fair Value on a Recurring Basis
					Level 1	Level 2			Level 3
														Fair Value on
	Fair Value at			Based on Quoted		Other				Collateral and			Balance Sheet at
	December 31, Prices in Active					Observable Unobservable Counterparty December 31,
$ in millions	2010	*			Markets	Inputs			Inputs		Netting			2010
Assets
Master Trust Assets
Money Market Funds	$		1.6	$	-	$	1.6	$	-	$	-		$	1.6
Equity Securities (a)			30.2		25.8		4.4		-		-			30.2
Debt Securities			5.5		-		5.5		-		-			5.5
Multi-Strategy Fund			0.3		-		0.3		-		-			0.3
Total Master Trust Assets	$		37.6	$	25.8	$	11.8	$	-	$	-		$	37.6
Derivative Assets
FTRs	$		0.3	$	-	$	0.3	$	-	$	-		$	0.3
Heating Oil Futures			1.6		1.6		-		-		(1.6	)		-
Forward NYMEX Coal Contracts			37.5		-		37.5		-		(21.9	)		15.6
Forward Power Contracts			0.2		-		0.2		-		(0.2	)		-
Total Derivative Assets	$		39.6	$	1.6	$	38.0	$	-	$	(23.7	)	$	15.9
Total Assets	$		77.2	$	27.4	$	49.8	$	-	$	(23.7	)	$	53.5

Liabilities
Derivative Liabilities
Forward Power Contracts	$		3.1	$	-	$	3.1	$	-	$	(1.1	)	$	2.0
Total Derivative Liabilities	$		3.1	$	-	$	3.1	$	-	$	(1.1	)	$	2.0

Total Liabilities	$		3.1	$	-	$	3.1	$	-	$	(1.1	)	$	2.0

*Includes credit valuation adjustments for counterparty risk.

(a) DPL stock in the Master Trust is eliminated in consolidation.

We use the market approach to value our financial instruments. Level 1 inputs are used for DPL common stock held by the Master Trust and for derivative contracts such as heating oil futures. The fair value is determined by reference to quoted market prices and other relevant information generated by market transactions. Level 2 inputs are used to value derivatives such as financial transmission rights (where the quoted prices are from a relatively inactive market) and forward power contracts and NYMEX-quality coal contracts (which are traded on the OTC market but which are valued using prices on the NYMEX for similar contracts on the OTC market). VRDNs and bonds are considered Level 2 because they are priced using recent transactions for similar assets. Other Level 2 assets include open-ended mutual funds that are in the Master Trust, which are valued using the end of day NAV per unit and interest rate hedges, which use observable inputs to populate a pricing model.

Approximately 98% and 87% of the inputs to the fair value of our derivative instruments are from quoted market prices for DPL and DP&L, respectively.

Non-recurring fair value measurements

We use the cost approach to determine the fair value of our AROs which are estimated by discounting expected cash outflows to their present value at the initial recording of the liability. Cash outflows are based on the approximate future disposal cost as determined by market information, historical information or other management estimates. These inputs to the fair value of the AROs would be considered Level 3 inputs under the fair value hierarchy. There were no additions to our existing AROs during the three or nine months ended September 30, 2011.

Cash Equivalents

DPL had no money in money market funds at September 30, 2011 and $29.9 million in money market funds at December 31, 2010 classified as cash and cash equivalents in its Condensed Consolidated Balance Sheets. The money market funds have quoted prices that are generally equivalent to par.

DP&L [Member]

Fair Value Measurements

8. Fair Value Measurements


		At September 30,				At December 31,
		2011				2010
$ in millions		Cost	Fair Value			Cost	Fair Value
DPL
Assets
Money Market Funds	$	0.2	$	0.2	$	1.6	$	1.6
Equity Securities		3.9		4.0		3.8		4.4
Debt Securities		5.1		5.6		5.2		5.5
Multi-Strategy Fund		0.3		0.2		0.3		0.3
Total Master Trust Assets	$	9.5	$	10.0	$	10.9	$	11.8

Short-term Investments - VRDNs	$	-	$	-	$	54.2	$	54.2
Short-term Investments - Bonds		-		-		15.1		15.1
Total Short-term Investments	$	-	$	-	$	69.3	$	69.3

Total Assets	$	9.5	$	10.0	$	80.2	$	81.1

Liabilities
Debt	$	1,224.0	$	1,204.6	$	1,324.1	$	1,307.5


DP&L
Assets
Money Market Funds	$	0.2	$	0.2	$	1.6	$	1.6
Equity Securities ^(a)		17.3		33.5		17.5		30.2
Debt Securities		5.1		5.6		5.2		5.5
Multi-Strategy Fund		0.3		0.2		0.3		0.3
Total Master Trust Assets	$	22.9	$	39.5	$	24.6	$	37.6

Liabilities
Debt	$	903.4	$	884.2	$	884.1	$	850.6

^(a)

DPL stock held in the DP&L Master Trust is eliminated in consolidation.

Debt

Master Trust Assets

Approximately $0.4 million in unrealized gains are expected to be transferred to earnings in the next twelve months.

Short-Term Investments

DPL also from time to time utilizes investment-grade fixed income corporate securities in its short-term investment portfolio. These securities are accounted for as held-to-maturity investments.

Net Asset Value (NAV) per Unit


		Fair Value Estimated using Net Asset Value per Unit
		Fair Value at		Fair Value at		Unfunded	Redemption
$ in millions		September 30, 2011	December 31, 2010			Commitments	Frequency
Money Market Fund (a)	$	0.2	$	1.6	$	-	Immediate
Equity Securities (b)		4.0		4.4		-	Immediate
Debt Securities (c)		5.6		5.5		-	Immediate
Multi-Strategy Fund (d)		0.2		0.3		-	Immediate
Total	$	10.0	$	11.8	$	-

(a)	This category includes investments in high-quality, short-term securities. Investments in this category can be redeemed immediately at the current net asset value per unit.
(b)	This category includes investments in funds representing an S&P 500 Index and the Morgan Stanley Capital International (MSCI) U.S. Small Cap 1750 Index. Investments in this category can be redeemed immediately at the current net asset value per unit.
(c)	This category includes funds holding investments in U.S. Treasury obligations and U.S. investment grade bonds. Investments in this category can be redeemed immediately at the current net asset value per unit.
(d)	This category includes a mix of actively managed funds holding investments in stocks, bonds and short-term investments in a mix of actively managed funds. Investments in this category can be redeemed immediately at the current net asset value per unit.

Fair Value Hierarchy

We did not have any transfers of the fair values of our financial instruments between Level 1 and Level 2 of the fair value hierarchy during the three and nine months ended September 30, 2011.


DPL
					Assets and Liabilities Measured at Fair Value on a Recurring Basis
					Level 1	Level 2			Level 3
														Fair Value on
	Fair Value at				Based on Quoted	Other				Collateral and			Balance Sheet at
	September 30,				Prices in Active	Observable Unobservable Counterparty September 30,
$ in millions	2011	*			Markets	Inputs			Inputs		Netting			2011
Assets
Master Trust Assets
Money Market Funds	$		0.2	$	-	$	0.2	$	-	$	-		$	0.2
Equity Securities			4.0		-		4.0		-		-			4.0
Debt Securities			5.6		-		5.6		-		-			5.6
Multi-Strategy Fund			0.2		-		0.2		-		-			0.2
Total Master Trust Assets	$		10.0	$	-	$	10.0	$	-	$	-		$	10.0

Derivative Assets
FTRs	$		0.1	$	-	$	0.1	$	-	$	-		$	0.1
Heating Oil Futures			1.7		1.7		-		-		(1.7	)		-
Forward NYMEX Coal Contracts			2.3		-		2.3		-		(1.2	)		1.1
Forward Power Contracts			12.8		-		12.8		-		(2.0	)		10.8
Total Derivative Assets	$		16.9	$	1.7	$	15.2	$	-	$	(4.9	)	$	12.0

Short-term Investments - Bonds			-		-		-		-		-			-
Total Short-term investments	$		-	$	-	$	-	$	-	$	-		$	-

Total Assets	$		26.9	$	1.7	$	25.2	$	-	$	(4.9	)	$	22.0

Liabilities
Derivative Liabilities
Interest Rate Hedge	$		28.5	$	-	$	28.5	$	-	$	-		$	28.5
Forward NYMEX Coal Contracts			6.3		-		6.3		-		(6.3)			-
Forward Power Contracts			6.6		-		6.6		-		(2.6)			4.0
Total Derivative Liabilities	$		41.4	$	-	$	41.4	$	-	$	(8.9)		$	32.5

Total Liabilities	$		41.4	$	-	$	41.4	$	-	$	(8.9)		$	32.5

*Includes credit valuation adjustments for counterparty risk.


DPL
				Assets and Liabilities Measured at Fair Value on a Recurring Basis
					Level 1		Level 2		Level 3
														Fair Value on
		Fair Value at		Based on Quoted			Other			Collateral and				Balance Sheet at
		December 31, Prices in Active				Observable Unobservable Counterparty								December 31,
$ in millions		2010	*		Markets		Inputs		Inputs		Netting			2010
Assets
Master Trust Assets
Money Market Funds	$	1.6		$	-	$	1.6	$	-	$	-		$	1.6
Equity Securities		4.4			-		4.4		-		-			4.4
Debt Securities		5.5			-		5.5		-		-			5.5
Multi-Strategy Fund		0.3			-		0.3		-		-			0.3
Total Master Trust Assets	$	11.8		$	-	$	11.8	$	-	$	-		$	11.8

Derivative Assets
FTRs	$	0.3		$	-	$	0.3	$	-	$	-		$	0.3
Heating Oil Futures		1.6			1.6		-		-		(1.6	)		-
Interest Rate Hedge		20.7			-		20.7		-		-			20.7
Forward NYMEX Coal Contracts		37.5			-		37.5		-		(21.9	)		15.6
Forward Power Contracts		0.2			-		0.2		-		(0.2	)		-
Total Derivative Assets	$	60.3		$	1.6	$	58.7	$	-	$	(23.7	)	$	36.6

Short-term Investments - VRDNs	$	54.2		$	-	$	54.2	$	-	$	-		$	54.2
Short-term Investments - Bonds		15.1			-		15.1		-		-			15.1
Total Short-term investments	$	69.3		$	-	$	69.3	$	-	$	-		$	69.3

Total Assets	$	141.4		$	1.6	$	139.8	$	-	$	(23.7	)	$	117.7

Liabilities
Derivative Liabilities
Interest Rate Hedge	$	6.6		$	-	$	6.6	$	-	$	-		$	6.6
Forward Power Contracts		3.1			-		3.1		-		(1.1	)		2.0
Total Derivative Liabilities	$	9.7		$	-	$	9.7	$	-	$	(1.1	)	$	8.6

Total Liabilities	$	9.7		$	-	$	9.7	$	-	$	(1.1	)	$	8.6

*Includes credit valuation adjustments for counterparty risk.


DP&L
				Assets and Liabilities Measured at Fair Value on a Recurring Basis
					Level 1	Level 2			Level 3
														Fair Value on
	Fair Value at			Based on Quoted		Other				Collateral and			Balance Sheet at
	September 30, Prices in Active					Observable Unobservable Counterparty September 30,
$ in millions	2011	*			Markets	Inputs			Inputs		Netting			2011
Assets
Master Trust Assets
Money Market Funds	$		0.2	$	-	$	0.2	$	-	$	-		$	0.2
Equity Securities (a)			33.5		29.5		4.0		-		-			33.5
Debt Securities			5.6		-		5.6		-		-			5.6
Multi-Strategy Fund			0.2		-		0.2		-		-			0.2
Total Master Trust Assets	$		39.5	$	29.5	$	10.0	$	-	$	-		$	39.5

Derivative Assets
FTRs	$		0.1	$	-	$	0.1	$	-	$	-		$	0.1
Heating Oil Futures			1.7		1.7		-		-		(1.7	)		-
Forward NYMEX Coal Contracts			2.3		-		2.3		-		(1.2	)		1.1
Forward Power Contracts			3.2		-		3.2		-		(2.4	)		0.8
Total Derivative Assets	$		7.3	$	1.7	$	5.6	$	-	$	(5.3	)	$	2.0

Total Assets	$		46.8	$	31.2	$	15.6	$	-	$	(5.3	)	$	41.5

Liabilities
Derivative Liabilities
Forward NYMEX Coal Contracts	$		6.3	$	-	$	6.3	$	-	$	(6.3)		$	-
Forward Power Contracts			2.8		-		2.8		-		(1.4)			1.4
Total Derivative Liabilities	$		9.1	$	-	$	9.1	$	-	$	(7.7)		$	1.4

Total Liabilities	$		9.1	$	-	$	9.1	$	-	$	(7.7)		$	1.4

*Includes credit valuation adjustments for counterparty risk.

(a) DPL stock in the Master Trust is eliminated in consolidation.


DP&L
				Assets and Liabilities Measured at Fair Value on a Recurring Basis
					Level 1	Level 2			Level 3
														Fair Value on
	Fair Value at			Based on Quoted		Other				Collateral and			Balance Sheet at
	December 31, Prices in Active					Observable Unobservable Counterparty December 31,
$ in millions	2010	*			Markets	Inputs			Inputs		Netting			2010
Assets
Master Trust Assets
Money Market Funds	$		1.6	$	-	$	1.6	$	-	$	-		$	1.6
Equity Securities (a)			30.2		25.8		4.4		-		-			30.2
Debt Securities			5.5		-		5.5		-		-			5.5
Multi-Strategy Fund			0.3		-		0.3		-		-			0.3
Total Master Trust Assets	$		37.6	$	25.8	$	11.8	$	-	$	-		$	37.6
Derivative Assets
FTRs	$		0.3	$	-	$	0.3	$	-	$	-		$	0.3
Heating Oil Futures			1.6		1.6		-		-		(1.6	)		-
Forward NYMEX Coal Contracts			37.5		-		37.5		-		(21.9	)		15.6
Forward Power Contracts			0.2		-		0.2		-		(0.2	)		-
Total Derivative Assets	$		39.6	$	1.6	$	38.0	$	-	$	(23.7	)	$	15.9
Total Assets	$		77.2	$	27.4	$	49.8	$	-	$	(23.7	)	$	53.5

Liabilities
Derivative Liabilities
Forward Power Contracts	$		3.1	$	-	$	3.1	$	-	$	(1.1	)	$	2.0
Total Derivative Liabilities	$		3.1	$	-	$	3.1	$	-	$	(1.1	)	$	2.0

Total Liabilities	$		3.1	$	-	$	3.1	$	-	$	(1.1	)	$	2.0

*Includes credit valuation adjustments for counterparty risk.

(a) DPL stock in the Master Trust is eliminated in consolidation.

Approximately 98% and 87% of the inputs to the fair value of our derivative instruments are from quoted market prices for DPL and DP&L, respectively.

Non-recurring fair value measurements

Cash Equivalents

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 820

-SubTopic 10

-Section 50

-Paragraph 5

-URI http://asc.fasb.org/extlink&oid=6925170&loc=d3e19296-110258

Reference 2: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 159

-Paragraph 17-22, 27, 28

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 3: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 825

-SubTopic 10

-Section 50

-Paragraph 10

-URI http://asc.fasb.org/extlink&oid=6947722&loc=d3e13433-108611

Reference 4: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 107

-Paragraph 15C, 15D

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 5: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 825

-SubTopic 10

-Section 50

-Paragraph 28

-URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14064-108612

Reference 6: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 825

-SubTopic 10

-Section 50

-Paragraph 16

-URI http://asc.fasb.org/extlink&oid=6947722&loc=d3e13504-108611

Reference 7: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 107

-Paragraph 15A

-Subparagraph a-d

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 8: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 825

-SubTopic 10

-Section 50

-Paragraph 21

-URI http://asc.fasb.org/extlink&oid=6947722&loc=d3e13537-108611

Reference 9: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 133

-Paragraph 44A, 44B

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 10: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 820

-SubTopic 10

-Section 50

-Paragraph 2

-URI http://asc.fasb.org/extlink&oid=6925170&loc=d3e19207-110258

Reference 11: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 825

-SubTopic 10

-Section 50

-Paragraph 30

-URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14172-108612

Reference 12: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 107

-Paragraph 3, 10, 14, 15

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 13: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 107

-Paragraph 15B

-Subparagraph a, b

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 14: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 157

-Paragraph 32, 33, 34

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

+ Details