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Derivative Instruments and Hedging Activities (Tables)
6 Months Ended
Jun. 30, 2015
Fair Values of Derivative Instruments by Balance Sheet Location

The tables below identify the balance sheet location and fair values of derivative instruments as of June 30, 2015 and December 31, 2014:

 

     As of June 30, 2015  

Balance Sheet Caption

   Derivatives
Designated
as Hedging
Instruments
     Other
Derivative
Instruments
    Gross
Derivative
 Instruments 
    Effects of
Cash
Collateral
and
Netting
     Net
Derivative
 Instruments 
 
     (millions of dollars)  

Derivative assets (current assets)

   $ —        $ 3     $ 3     $ —        $ 3  

Derivative liabilities (current liabilities)

     —          (1 )     (1 )     1        —    
  

 

 

    

 

 

   

 

 

   

 

 

    

 

 

 

Net Derivative asset

$ —     $ 2   $ 2   $ 1   $ 3  
  

 

 

    

 

 

   

 

 

   

 

 

    

 

 

 

 

     As of December 31, 2014  

Balance Sheet Caption

   Derivatives
Designated
as Hedging
Instruments
     Other
Derivative
Instruments
    Gross
Derivative
Instruments
    Effects of
Cash
Collateral
and
Netting
     Net
Derivative
Instruments
 
     (millions of dollars)  

Derivative assets (current assets)

   $ —        $ 3     $ 3     $ —        $ 3  

Derivative liabilities (current liabilities)

     —           (4     (4     4         —     
  

 

 

    

 

 

   

 

 

   

 

 

    

 

 

 

Net Derivative (liability) asset

$ —     $ (1 ) $ (1 ) $ 4   $ 3  
  

 

 

    

 

 

   

 

 

   

 

 

    

 

 

 
Schedule of Cash Collateral Offset Against Derivative Positions

The amount of cash collateral that was offset against these derivative positions is as follows:

 

     June 30,
2015
     December 31,
2014
 
     (millions of dollars)  

Cash collateral pledged to counterparties with the right to reclaim (a)

   $ 1       $ 4  

 

(a) Includes cash deposits on commodity brokerage accounts.
Cash Flow Hedges Included in Accumulated Other Comprehensive Loss

The data in the following tables indicate the cumulative net loss after-tax related to terminated cash flow hedges by contract type included in AOCL, the portion of AOCL expected to be reclassified to income during the next 12 months, and the maximum hedge or deferral term:

 

Contracts

   As of June 30, 2015      Maximum
Term
   Accumulated
Other
Comprehensive Loss
After-tax
     Portion Expected
to be Reclassified
to Income during
the Next 12 Months
    
     (millions of dollars)       

Interest rate

   $ 9      $ 1       206 months
  

 

 

    

 

 

    

Total

$ 9   $ 1  
  

 

 

    

 

 

    

 

Contracts

   As of June 30, 2014      Maximum
Term
   Accumulated
Other
Comprehensive Loss
After-tax
     Portion Expected to
be Reclassified
to Income during
the Next 12 Months
    
     (millions of dollars)       

Interest rate

   $ 9      $ 1       218 months
  

 

 

    

 

 

    

Total

$ 9   $ 1  
  

 

 

    

 

 

    
Net Unrealized and Realized Derivative Gains (Losses) Deferred as Regulatory Liabilities and Regulatory Assets

The following table shows the net unrealized and net realized derivative gains and losses arising during the period associated with these derivatives that were recognized in the consolidated statements of income (through Fuel and purchased energy expense) and that were also deferred as Regulatory liabilities and Regulatory assets, respectively, for the three and six months ended June 30, 2015 and 2014:

 

     Three Months Ended
June 30,
     Six Months Ended
June 30,
 
     2015      2014      2015      2014  
     (millions of dollars)  

Net unrealized (loss) gain arising during the period

   $ —        $ —        $ (1 )    $ 2  

Net realized (loss) gain recognized during the period

     (1 )      1        (4 )      3  

 

Net Outstanding Commodity Forward Contracts That Did Not Qualify for Hedge Accounting

As of June 30, 2015 and December 31, 2014, the quantities and positions of DPL’s net outstanding natural gas commodity forward contracts that did not qualify for hedge accounting were:

 

     June 30, 2015    December 31, 2014

Commodity

   Quantity      Net Position    Quantity      Net Position

DPL – Natural gas (One Million British Thermal Units)

     3,200,000       Long      3,892,500       Long
Delmarva Power & Light Co/De [Member]  
Fair Values of Derivative Instruments by Balance Sheet Location

The tables below identify the balance sheet location and fair values of derivative instruments as of June 30, 2015 and December 31, 2014:

 

     As of June 30, 2015  

Balance Sheet Caption

   Derivatives
Designated
as Hedging
Instruments
     Other
Derivative
Instruments
    Gross
Derivative
Instruments
    Effects of
Cash
Collateral
and
Netting
     Net
Derivative
Instruments
 
     (millions of dollars)  

Derivative liabilities (current liabilities)

   $  —         $ (1 )   $ (1 )   $ 1      $  —    
  

 

 

    

 

 

   

 

 

   

 

 

    

 

 

 
     As of December 31, 2014  

Balance Sheet Caption

   Derivatives
Designated
as Hedging
Instruments
     Other
Derivative
Instruments
    Gross
Derivative
Instruments
    Effects of
Cash
Collateral
and
Netting
     Net
Derivative
Instruments
 
     (millions of dollars)  

Derivative liabilities (current liabilities)

   $  —        $ (4 )   $ (4 )   $ 4      $  —    
  

 

 

    

 

 

   

 

 

   

 

 

    

 

 

 
Schedule of Cash Collateral Offset Against Derivative Positions

The amount of cash collateral that was offset against these derivative positions is as follows:

 

     June 30,
2015
     December 31,
2014
 
     (millions of dollars)  

Cash collateral pledged to counterparties with the right to reclaim (a)

   $ 1      $ 4  

 

(a) Includes cash deposits on commodity brokerage accounts.
Net Unrealized and Realized Derivative Gains (Losses) Deferred as Regulatory Liabilities and Regulatory Assets

 The following table shows the net unrealized and net realized derivative gains and losses arising during the period associated with these derivatives that were recognized in the statements of income (through Purchased energy and Gas purchased expense) and that were also deferred as Regulatory liabilities and Regulatory assets, respectively, for the three and six months ended June 30, 2015 and 2014:

 

     Three Months Ended
June 30,
     Six Months Ended
June 30,
 
     2015      2014      2015      2014  
     (millions of dollars)  

Net unrealized (loss) gain arising during the period

   $  —        $  —        $ (1 )    $ 2  

Net realized (loss) gain recognized during the period

     (1 )      1        (4 )      3  

Net Outstanding Commodity Forward Contracts That Did Not Qualify for Hedge Accounting

As of June 30, 2015 and December 31, 2014, the quantities and positions of DPL’s net outstanding natural gas commodity forward contracts that did not qualify for hedge accounting were:

 

     June 30, 2015    December 31, 2014

Commodity

   Quantity      Net Position    Quantity      Net Position

Natural gas (One Million British Thermal Units)

     3,200,000       Long      3,892,500       Long