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Derivative Instruments and Hedging Activities (Tables)

3 Months Ended

9 Months Ended

12 Months Ended

3 Months Ended

9 Months Ended

Sep. 30, 2011

Sep. 30, 2010

Sep. 30, 2011

Dec. 31, 2010

Sep. 30, 2011

DP&L [Member]

Sep. 30, 2010

DP&L [Member]

Sep. 30, 2011

DP&L [Member]

Sep. 30, 2010

DP&L [Member]

Schedule of Notional Amounts of Outstanding Derivative Positions

						Net Purchases/
	Accounting		Purchases	Sales		(Sales)
Commodity	Treatment	Unit	(in thousands)	(in thousands)		(in thousands)
FTRs ⁽¹⁾	Mark to Market	MWh	11.3	1.0		12.3
Heating Oil Futures ⁽¹⁾	Mark to Market	Gallons	3,654.0	-		3,654.0
Forward Power Contracts ⁽¹⁾	Cash Flow Hedge	MWh	974.9	(746.5	)	228.4
Forward Power Contracts ⁽¹⁾	Mark to Market	MWh	587.0	(570.7	)	16.3
Forward Power Contracts ⁽²⁾	Mark to Market	MWh	1,365.2	(1,350.1	)	15.1
NYMEX-quality Coal Contracts* ⁽¹⁾	Mark to Market	Tons	2,658.3	-		2,658.3
Interest Rate Swaps ⁽²⁾	Cash Flow Hedge	USD	160,000.0	-		160,000.0

*Includes our partners' share for the jointly-owned plants that DP&L operates.

⁽¹⁾	Reflected in both DPL's and DP&L's Condensed Consolidated Financial Statements.
⁽²⁾	Reflected in only DPL's Condensed Consolidated Financial Statements.


						Net Purchases/
	Accounting		Purchases	Sales		(Sales)
Commodity	Treatment	Unit	(in thousands)	(in thousands)		(in thousands)
FTRs ⁽¹⁾	Mark to Market	MWh	9.0	-		9.0
Heating Oil Futures ⁽¹⁾	Mark to Market	Gallons	6,216.0	-		6,216.0
Forward Power Contracts ⁽¹⁾	Cash Flow Hedge	MWh	580.8	(572.9	)	7.9
Forward Power Contracts ⁽¹⁾	Mark to Market	MWh	195.6	(108.5	)	87.1
NYMEX-quality Coal Contracts* ⁽¹⁾	Mark to Market	Tons	4,006.8	-		4,006.8
Interest Rate Swaps ⁽²⁾	Cash Flow Hedge	USD	360,000.0	-		360,000.0

*Includes our partners' share for the jointly-owned plants that DP&L operates.

⁽¹⁾Reflected in both DPL's and DP&L's Condensed Consolidated Financial Statements.

⁽²⁾Reflected in only DPL's Condensed Consolidated Financial Statements.

Gains or Losses Recognized in AOCI for the Cash Flow Hedges


		September 30,						September 30,
		2011						2010
					Interest					Interest
$ in millions (net of tax)		Power		Rate Hedge				Power		Rate Hedge

Beginning accumulated derivative
gain / (loss) in AOCI	$	(1.5	)	$	12.3		$	-		$	7.7

Net gains / (losses) associated with current
period hedging transactions		1.8			(49.8	)		(0.4	)		(8.9	)

Net (gains) / losses reclassified to earnings
Interest expense		-			1.4			-			(0.6	)
Revenues		0.1			-			0.8			-
Purchased power		-			-			-			-

Ending accumulated derivative
gain / (loss) in AOCI	$	0.4		$	(36.1	)	$	0.4		$	(1.8	)

Net (gains) / losses associated with the
ineffective portion of the hedging transaction
Interest expense		-			3.1
Revenues		-			-

Portion expected to be reclassified to
earnings in the next twelve months*	$	0.8		$	2.4

Maximum length of time that we are hedging
our exposure to variability in future cash flows
related to forecasted transactions (in months)		39			24

*	The actual amounts that we reclassify from AOCI to earnings related to power can differ from the estimate above due to market price changes.

The following table provides information for DPL concerning gains or losses recognized in AOCI for the cash flow hedges for the nine months ended September 30, 2011 and 2010:


		September 30,						September 30,
		2011						2010
					Interest						Interest
$ in millions (net of tax)		Power		Rate Hedge				Power		Rate Hedge

Beginning accumulated derivative
gain / (loss) in AOCI	$	(1.8	)	$	21.4		$	(1.4	)	$	14.7

Net gains / (losses) associated with current
period hedging transactions		0.8			(59.0	)		3.3			(14.7	)

Net (gains) / losses reclassified to earnings
Interest expense		-			1.5			-			(1.8	)
Revenues		0.8			-			(1.5	)		-
Purchased power		0.6			-			-			-

Ending accumulated derivative
gain / (loss) in AOCI	$	0.4		$	(36.1	)	$	0.4		$	(1.8	)

Net (gains) / losses associated with the
ineffective portion of the hedging transaction
Interest expense		-			5.1
Revenues		-			-

Portion expected to be reclassified to
earnings in the next twelve months*	$	0.8		$	2.4

Maximum length of time that we are hedging
our exposure to variability in future cash flows
related to forecasted transactions (in months)		39			24

*	The actual amounts that we reclassify from AOCI to earnings related to power can differ from the estimate above due to market price changes.


		September 30,						September 30,
		2011						2010
					Interest						Interest
$ in millions (net of tax)		Power		Rate Hedge				Power		Rate Hedge

Beginning accumulated derivative
gain / (loss) in AOCI	$	(1.5	)	$	11.0		$	-		$	13.5

Net gains / (losses) associated with current
period hedging transactions		1.8			-			(0.4	)		-

Net (gains) / losses reclassified to earnings
Interest expense		-			(0.6	)		-			(0.6	)
Revenues		0.1			-			0.8			-
Purchased power		-			-			-			-

Ending accumulated derivative
gain / (loss) in AOCI	$	0.4		$	10.4		$	0.4		$	12.9

Net (gains) / losses associated with the
ineffective portion of the hedging transaction
Interest expense		-			-
Revenues		-			-

Portion expected to be reclassified to
earnings in the next twelve months*	$	0.8		$	2.4

Maximum length of time that we are hedging
our exposure to variability in future cash flows
related to forecasted transactions (in months)		39			-

*The actual amounts that we reclassify from AOCI to earnings related to power can differ from the estimate above due to market price changes.

The following table provides information for DP&L concerning gains or losses recognized in AOCI for the cash flow hedges for the nine months ended September 30, 2011 and 2010:


		September 30,						September 30,
		2011						2010
					Interest						Interest
$ in millions (net of tax)		Power		Rate Hedge				Power		Rate Hedge

Beginning accumulated derivative
gain / (loss) in AOCI	$	(1.8	)	$	12.3		$	(1.4	)	$	14.7

Net gains / (losses) associated with current
period hedging transactions		0.8			-			3.3			-

Net (gains) / losses reclassified to earnings
Interest expense		-			(1.9	)		-			(1.8	)
Revenues		0.8			-			(1.5	)		-
Purchased power		0.6			-			-			-

Ending accumulated derivative
gain / (loss) in AOCI	$	0.4		$	10.4		$	0.4		$	12.9

Net (gains) / losses associated with the
ineffective portion of the hedging transaction
Interest expense		-			-
Revenues		-			-

Portion expected to be reclassified to
earnings in the next twelve months*	$	0.8		$	2.4

Maximum length of time that we are hedging
our exposure to variability in future cash flows
related to forecasted transactions (in months)		39			-

*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 Derivative Assets and Liabilities at Fair Value


Fair Values of Derivative Instruments Designated as Hedging Instruments
at September 30, 2011

DPL
									Fair Value on
$ in millions	Fair Value¹			Netting ²			Balance Sheet Location		Balance Sheet
Short-term Derivative Positions
Forward Power Contracts in an Asset position	$	0.3		$	(0.3	)	Other prepayments	$	-
							and current assets
Forward Power Contracts in a Liability position		(1.1	)		0.2		Other current liabilities		(0.9	)
Total short-term cash flow hedges	$	(0.8	)	$	(0.1	)		$	(0.9	)

Long-term derivative positions
Forward Power Contracts in an Asset position	$	1.4		$	(1.0	)	Other deferred assets	$	0.4
Forward Power Contracts in a Liability position		(0.2	)		0.1		Other deferred credits		(0.1	)
Interest Rate Hedges in a Liability position		(28.5	)		-		Other deferred credits		(28.5	)
Total long-term cash flow hedges	$	(27.3	)	$	(0.9	)		$	(28.2	)

Total cash flow hedges	$	(28.1	)	$	(1.0	)		$	(29.1	)

¹Includes credit valuation adjustment.

²Includes counterparty and collateral netting.


Fair Values of Derivative Instruments Designated as Hedging Instruments
at December 31, 2010

DPL
									Fair Value on
$ in millions	Fair Value¹			Netting ²			Balance Sheet Location		Balance Sheet
Short-term Derivative Positions
Forward Power Contracts in a Liability Position	$	(2.8	)	$	1.0		Other current liabilities	$	(1.8	)
Interest Rate Hedges in a Liability Position		(6.6	)		-		Other current liabilities		(6.6	)
Total short-term cash flow hedges	$	(9.4	)	$	1.0			$	(8.4	)

Long-term Derivative Positions
Forward Power Contracts in an Asset Position	$	0.2		$	(0.2	)	Other deferred assets	$	-
Forward Power Contracts in a Liability Position		(0.2	)		0.1		Other deferred credits		(0.1	)
Interest Rate Hedges in an Asset Position		20.7			-		Other deferred assets		20.7
Total long-term cash flow hedges	$	20.7		$	(0.1	)		$	20.6

Total cash flow hedges	$	11.3		$	0.9			$	12.2

¹Includes credit valuation adjustment.

²Includes counterparty and collateral netting.

Fair Values of Derivative Instruments Designated as Hedging Instruments
at September 30, 2011

DP&L
									Fair Value on
$ in millions	Fair Value¹			Netting²			Balance Sheet Location		Balance Sheet
Short-term Derivative Positions
Forward Power Contracts in an Asset position	$	0.3		$	(0.3	)	Other prepayments	$	-
							and current assets
Forward Power Contracts in a Liability position		(1.1	)		0.2		Other current liabilities		(0.9	)

Total short-term cash flow hedges	$	(0.8	)	$	(0.1	)		$	(0.9	)

Long-term derivative positions
Forward Power Contracts in an Asset position	$	1.4		$	(1.0	)	Other deferred assets	$	0.4
Forward Power Contracts in a Liability position		(0.1	)		0.1		Other deferred credits		-

Total long-term cash flow hedges	$	1.3		$	(0.9	)		$	0.4

Total cash flow hedges	$	0.5		$	(1.0	)		$	(0.5	)

¹Includes credit valuation adjustment.

²Includes counterparty and collateral netting.


Fair Values of Derivative Instruments Designated as Hedging Instruments
at December 31, 2010

DP&L
									Fair Value on
$ in millions	Fair Value¹			Netting²			Balance Sheet Location		Balance Sheet
Short-term Derivative Positions
Forward Power Contracts in a Liability Position	$	(2.8	)	$	1.0		Other current liabilities	$	(1.8	)
Total short-term cash flow hedges	$	(2.8	)	$	1.0			$	(1.8	)

Long-term Derivative Positions
Forward Power Contracts in an Asset Position	$	0.2		$	(0.2	)	Other deferred assets	$	-
Forward Power Contracts in a Liability Position		(0.2	)		0.1		Other deferred credits		(0.1	)
Total long-term cash flow hedges	$	-		$	(0.1	)		$	(0.1	)

Total cash flow hedges	$	(2.8	)	$	0.9			$	(1.9	)

¹Includes credit valuation adjustment.

²Includes counterparty and collateral netting.

Schedule of Gains and Losses on Derivatives Not Designated as Hedging Instruments


For the three months ended September 30, 2011

	NYMEX			Heating
$ in millions		Coal			Oil			FTRs			Power			Total
Change in unrealized gain / (loss)	$	(27.9	)	$	(1.6	)	$	(0.1	)	$	(0.3	)	$	(29.9	)
Realized gain / (loss)		4.3			0.5			-			1.2			6.0
Total	$	(23.6	)	$	(1.1	)	$	(0.1	)	$	0.9		$	(23.9	)
Recorded on Balance Sheet:
Partner's share of gain / (loss)	$	(13.8	)	$	-		$	-		$	-		$	(13.8	)
Regulatory (asset) / liability		(4.0	)		(0.6	)		-			-			(4.6	)

Recorded in Income Statement: gain / (loss)
Retail Revenue	$	-		$	-		$	-		$	(1.6	)	$	(1.6	)
Purchased power		-			-			(0.1	)		2.5			2.4
Fuel		(5.8	)		(0.5	)		-			-			(6.3	)
O&M		-			-			-			-			-
Total	$	(23.6	)	$	(1.1	)	$	(0.1	)	$	0.9		$	(23.9	)


For the three months ended September 30, 2010

NYMEX
$ in millions		Coal		Heating Oil				FTRs			Power		Total
Change in unrealized gain / (loss)	$	(3.8	)	$	1.3		$	(0.1	)	$	0.5	$	(2.1	)
Realized gain / (loss)		0.6			(0.4	)		(0.4	)		-		(0.2	)
Total	$	(3.2	)	$	0.9		$	(0.5	)	$	0.5	$	(2.3	)
Recorded on Balance Sheet:
Partner's share of gain / (loss)	$	(1.6	)	$	-		$	-		$	-	$	(1.6	)
Regulatory (asset) / liability		(1.0	)		0.7			-			-		(0.3	)

Recorded in Income Statement: gain / (loss)

Purchased power	$	-		$	-		$	(0.5	)	$	0.5	$	-
Fuel		(0.6	)		0.2			-			-		(0.4	)
O&M		-			-			-			-		-
Total	$	(3.2	)	$	0.9		$	(0.5	)	$	0.5	$	(2.3	)


For the nine months ended September 30, 2011

	NYMEX			Heating
$ in millions		Coal			Oil		FTRs			Power			Total
Change in unrealized gain / (loss)	$	(41.6	)	$	-	$	(0.1	)	$	0.6		$	(41.1	)
Realized gain / (loss)		8.1			1.5		(0.6	)		(0.8	)		8.2
Total	$	(33.5	)	$	1.5	$	(0.7	)	$	(0.2	)	$	(32.9	)
Recorded on Balance Sheet:
Partner's share of gain / (loss)	$	(21.2	)	$	-	$	-		$	-		$	(21.2	)
Regulatory (asset) / liability		(5.9	)		0.1		-			-			(5.8	)

Recorded in Income Statement: gain / (loss)
Retail revenue	$	-		$	-	$	-		$	(6.3	)	$	(6.3	)
Purchased power		-			-		(0.7	)		6.1			5.4
Fuel		(6.4	)		1.3		-			-			(5.1	)
O&M		-			0.1		-			-			0.1
Total	$	(33.5	)	$	1.5	$	(0.7	)	$	(0.2	)	$	(32.9	)


For the three months ended September 30, 2011

	NYMEX			Heating
$ in millions		Coal			Oil			FTRs			Power			Total
Change in unrealized gain / (loss)	$	(27.9	)	$	(1.6	)	$	(0.1	)	$	0.3		$	(29.3	)
Realized gain / (loss)		4.3			0.5			-			(0.3	)		4.5
Total	$	(23.6	)	$	(1.1	)	$	(0.1	)	$	-		$	(24.8	)
Recorded on Balance Sheet:
Partner's share of gain / (loss)	$	(13.8	)	$	-		$	-		$	-		$	(13.8	)
Regulatory (asset) / liability		(4.0	)		(0.6	)		-			-			(4.6	)

Recorded in Income Statement: gain / (loss)
Retail revenue	$	-		$	-		$	-		$	(0.1	)	$	(0.1	)
Purchased power		-			-			(0.1	)		0.1			-
Fuel		(5.8	)		(0.5	)		-			-			(6.3	)
O&M		-			-			-			-			-
Total	$	(23.6	)	$	(1.1	)	$	(0.1	)	$	-		$	(24.8	)


For the three months ended September 30, 2010

	NYMEX			Heating
$ in millions		Coal			Oil			FTRs			Power		Total
Change in unrealized gain / (loss)	$	(3.8	)	$	1.3		$	(0.1	)	$	0.5	$	(2.1	)
Realized gain / (loss)		0.6			(0.4	)		(0.4	)		-		(0.2	)
Total	$	(3.2	)	$	0.9		$	(0.5	)	$	0.5	$	(2.3	)
Recorded on Balance Sheet:
Partner's share of gain / (loss)	$	(1.6	)	$	-		$	-		$	-	$	(1.6	)
Regulatory (asset) / liability		(1.0	)		0.7			-			-		(0.3	)

Recorded in Income Statement: gain / (loss)
Purchased power	$	-		$	-		$	(0.5	)	$	0.5	$	-
Fuel		(0.6	)		0.2			-			-		(0.4	)
O&M		-			-			-			-		-
Total	$	(3.2	)	$	0.9		$	(0.5	)	$	0.5	$	(2.3	)


For the nine months ended September 30, 2011

	NYMEX			Heating
$ in millions		Coal			Oil		FTRs			Power			Total
Change in unrealized gain / (loss)	$	(41.6	)	$	-	$	(0.1	)	$	-		$	(41.7	)
Realized gain / (loss)		8.1			1.5		(0.6	)		(0.8	)		8.2
Total	$	(33.5	)	$	1.5	$	(0.7	)	$	(0.8	)	$	(33.5	)
Recorded on Balance Sheet:
Partner's share of gain / (loss)	$	(21.2	)	$	-	$	-		$	-		$	(21.2	)
Regulatory (asset) / liability		(5.9	)		0.1		-			-			(5.8	)

Recorded in Income Statement: gain / (loss)
Retail revenue	$	-		$	-	$	-		$	(0.2	)	$	(0.2	)
Purchased power		-			-		(0.7	)		(0.6	)		(1.3	)
Fuel		(6.4	)		1.3		-			-			(5.1	)
O&M		-			0.1		-			-			0.1
Total	$	(33.5	)	$	1.5	$	(0.7	)	$	(0.8	)	$	(33.5	)


For the nine months ended September 30, 2010

	NYMEX			Heating
$ in millions		Coal			Oil			FTRs			Power			Total
Change in unrealized gain / (loss)	$	(1.0	)	$	1.5		$	(0.4	)	$	0.7		$	0.8
Realized gain / (loss)		1.6			(1.5	)		(1.4	)		(0.1	)		(1.4	)
Total	$	0.6		$	-		$	(1.8	)	$	0.6		$	(0.6	)
Recorded on Balance Sheet:
Partner's share of gain / (loss)	$	0.2		$	-		$	-		$	-		$	0.2
Regulatory (asset) / liability		(0.6	)		0.6			-			-			-

Recorded in Income Statement: gain / (loss)
Wholesale revenue	$	-		$	-		$	-		$	(0.1	)	$	(0.1	)
Purchased power		-			-			(1.8	)		0.7			(1.1	)
Fuel		1.0			(0.5	)		-			-			0.5
O&M		-			(0.1	)		-			-			(0.1	)
Total	$	0.6		$	-		$	(1.8	)	$	0.6		$	(0.6	)

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


Fair Values of Derivative Instruments Not Designated as Hedging Instruments
at September 30, 2011

								Fair Value on
$ in millions	Fair Value¹			Netting²			Balance Sheet Location	Balance Sheet
Short-term Derivative Positions
FTRs in an Asset position	$	0.1		$	-		Other prepayments and current assets	$	0.1
Forward Power Contracts in an Asset position		0.7			(0.6	)	Other prepayments and current assets		0.1
Forward Power Contracts in a Liability position		(0.7	)		0.6		Other current liabilities		(0.1	)

NYMEX-Quality Coal Forwards in an Asset position		1.6			(0.9	)	Other prepayments and current assets		0.7

NYMEX-Quality Coal Forwards in a Liability position		(1.7	)		1.7		Other current liabilities		-
Heating Oil Futures in an Asset position		1.7			(1.7	)	Other prepayments and current assets		-
Total short-term derivative MTM positions	$	1.7		$	(0.9	)		$	0.8

Long-term Derivative Positions
Forward Power Contracts in an Asset position	$	0.8		$	(0.5	)	Other deferred assets	$	0.3
Forward Power Contracts in a Liability position		(0.9	)		0.5		Other deferred credits		(0.4	)

NYMEX-Quality Coal Forwards in an Asset position		0.7			(0.2	)	Other deferred assets		0.5

NYMEX-Quality Coal Forwards in a Liability position		(4.5	)		4.5		Other deferred credits		-
Total long-term derivative MTM positions	$	(3.9	)	$	4.3			$	0.4

Total MTM Position	$	(2.2	)	$	3.4			$	1.2

¹Includes credit valuation adjustment.

²Includes counterparty and collateral netting.


Fair Values of Derivative Instruments Not Designated as Hedging Instruments
at December 31, 2010

										Fair Value on
$ in millions	Fair Value¹				Netting²			Balance Sheet Location		Balance Sheet
Short-term Derivative Positions
FTRs in an Asset position	$	0.3			$	-		Other prepayments and current assets	$	0.3
Forward Power Contracts in a Liability position		(0.1	)			-		Other current liabilities		(0.1	)
NYMEX-Quality Coal Forwards in an Asset position		14.0				(7.4	)	Other prepayments and current assets		6.6
Heating Oil Futures in an Asset position		0.5				(0.5	)	Other current liabllities		-

Total short-term derivative MTM positions	$	14.7			$	(7.9	)		$	6.8

Long-term Derivative Positions
NYMEX-Quality Coal Forwards in an Asset position	$	23.5		$	(14.5		)	Other deferred assets	$	9.0
Heating Oil Futures in an Asset position		1.1				(1.1	)	Other deferred assets		-

Total long-term derivative MTM positions	$	24.6		$	(15.6		)		$	9.0

Total MTM Position	$	39.3		$	(23.5		)		$	15.8

¹Includes credit valuation adjustment.
²Includes counterparty and collateral netting.


Fair Values of Derivative Instruments Not Designated as Hedging Instruments
at September 30, 2011

								Fair Value on
$ in millions	Fair Value¹			Netting²			Balance Sheet Location	Balance Sheet
Short-term Derivative Positions
FTRs in an Asset position	$	0.1		$	-		Other prepayments and current assets	$	0.1
Forward Power Contracts in an Asset position		0.7			(0.6	)	Other prepayments and current assets		0.1
Forward Power Contracts in a Liability position		(0.7	)		0.6		Other current liabilities		(0.1	)

NYMEX-Quality Coal Forwards in an Asset position		1.6			(0.9	)	Other prepayments and current assets		0.7

NYMEX-Quality Coal Forwards in a Liability position		(1.8	)		1.8		Other current liabilities		-
Heating Oil Futures in an Asset position		1.7			(1.7	)	Other prepayments and current assets		-
Total short-term derivative MTM positions	$	1.6		$	(0.8	)		$	0.8

Long-term Derivative Positions
Forward Power Contracts in an Asset position	$	0.8		$	(0.5	)	Other deferred assets	$	0.3
Forward Power Contracts in a Liability position		(0.9	)		0.5		Other deferred credits		(0.4	)

NYMEX-Quality Coal Forwards in an Asset position		0.7			(0.3	)	Other deferred assets		0.4

NYMEX-Quality Coal Forwards in a Liability position		(4.5	)		4.5		Other deferred credits		-
Total long-term derivative MTM positions	$	(3.9	)	$	4.2			$	0.3

Total MTM Position	$	(2.3	)	$	3.4			$	1.1