Fair Value Disclosures (Tables)

9 Months Ended

Sep. 30, 2011

Fair Value Of Financial Assets And Liabilities Measured On A Recurring Basis


	Fair Value Measurements at September 30, 2011
Description	Total		Quoted Prices in Active Markets for Identical Instruments (Level 1) (a)		Significant Other Observable Inputs (Level 2) (a)		Significant Unobservable Inputs (Level 3)
	*(millions of dollars)*
ASSETS
Derivative instruments (b)
Electricity (c)	$	5	$	—	$	5	$	—
Natural Gas (d)		2		—		—		2
Cash equivalents
Treasury Fund		113		113		—		—
Executive deferred compensation plan assets
Money Market Funds		18		18		—		—
Life Insurance Contracts		60		—		43		17

	$	198	$	131	$	48	$	19

LIABILITIES
Derivative instruments (b)
Electricity (c)	$	41	$	—	$	41	$	—
Natural Gas (d)		66		46		1		19
Capacity		1		—		1		—
Executive deferred compensation plan liabilities
Life Insurance Contracts		29		—		29		—

	$	137	$	46	$	72	$	19

(a)	There were no significant transfers of instruments between level 1 and level 2 valuation categories.

(b)	The fair value of derivative assets and liabilities reflect netting by counterparty before the impact of collateral.

(c)	Represents wholesale electricity futures and swaps that are used mainly as part of Pepco Energy Services' retail energy supply business.

(d)	Level 1 instruments represent wholesale gas futures and swaps that are used mainly as part of Pepco Energy Services' retail energy supply business and level 3 instruments primarily represent natural gas options purchased by DPL as part of a natural gas hedging program approved by the DPSC.


	Fair Value Measurements at December 31, 2010
Description	Total		Quoted Prices in Active Markets for Identical Instruments (Level 1) (a)		Significant Other Observable Inputs (Level 2) (a)		Significant Unobservable Inputs (Level 3)
	*(millions of dollars)*
ASSETS
Derivative instruments (b)
Electricity (c)	$	22	$	—	$	22	$	—
Cash equivalents
Treasury Fund		17		17		—		—
Executive deferred compensation plan assets
Money Market Funds		9		9		—		—
Life Insurance Contracts		66		—		47		19

	$	114	$	26	$	69	$	19

LIABILITIES
Derivative instruments (b)
Electricity (c)	$	88	$	—	$	88	$	—
Natural Gas (d)		98		75		—		23
Executive deferred compensation plan liabilities
Life Insurance Contracts		30		—		30		—

	$	216	$	75	$	118	$	23

(a)	There were no significant transfers of instruments between level 1 and level 2 valuation categories.

(b)	The fair value of derivative assets and liabilities reflect netting by counterparty before the impact of collateral.

(c)	Represents wholesale electricity futures and swaps that are used mainly as part of Pepco Energy Service's retail energy supply business.

(d)	Level 1 instruments represent wholesale gas futures and swaps that are used mainly as part of Pepco Energy Service's retail energy supply business and level 3 instruments represent natural gas options purchased by DPL as part of a natural gas hedging program approved by the DPSC.

Reconciliations Of Fair Value Measurements Using Significant Unobservable Inputs (Level 3)


Nine Months Ended September 30, 2011
	Natural Gas			Life Insurance Contracts
	*(millions of dollars)*
Beginning balance as of January 1	$	(23	)	$	19
Total gains or (losses) (realized and unrealized)
Included in income		—			5
Included in accumulated other comprehensive loss		—			—
Included in regulatory assets		(6	)		—
Purchases		—			—
Issuances		—			(3	)
Settlements		11			(4	)
Transfers in (out) of level 3		1			—

Ending balance as of September 30	$	(17	)	$	17


	Nine Months Ended September 30, 2010
	Natural Gas			Life Insurance Contracts
	*(millions of dollars)*
Beginning balance as of January 1	$	(29	)	$	19
Total gains or (losses) (realized and unrealized)
Included in income		—			3
Included in accumulated other comprehensive loss		—			—
Included in regulatory assets		(21	)		—
Purchases		—			—
Issuances		—			(3	)
Settlements		18			—
Transfers in (out) of level 3		—			—

Ending balance as of September 30	$	(32	)	$	19

Gains Or Losses Reported In Other Income And Other Operation And Maintnance Expense


	Nine Months Ended September 30,
	2011		2010
	*(millions of dollars)*
Total gains included in income for the period	$	5	$	3

Change in unrealized gains relating to assets still held at reporting date	$	2	$	3

Estimated Fair Values Of Debt And Equity Instruments


	September 30, 2011				December 31, 2010
	*(millions of dollars)*
	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Long-Term Debt	$	3,866	$	4,520	$	3,665	$	4,045
Transition Bonds issued by ACE Funding		343		392		367		406
Long-Term Project Funding		18		18		19		19
Redeemable Serial Preferred Stock		—		—		6		5

- Definition

Tabular disclosure of the total amount of gains or losses for the period which are included in earnings or resulted in a change to net assets which gains or losses have arisen from the use of significant unobservable inputs (Level 3) to measure the fair value of assets and liabilities. Such gains or losses are attributable to the change in unrealized gains or losses relating to those assets and liabilities so valued which are still held at the reporting date and which change are also considered for disclosure; it may be expected that a description of where those unrealized gains or losses are reported in the statement of income or the statement of financial position would also be disclosed.

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- Definition

Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issuances, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

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- Definition

Tabular disclosure of long-debt instruments or arrangements, including identification, terms, features, collateral requirements and other information necessary to a fair presentation. These are debt arrangements that originally required repayment more than twelve months after issuance or greater than the normal operating cycle of the entity, if longer.

+ References

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