Fair Value (Tables)

12 Months Ended

Dec. 31, 2013

Fair value hierarchy for recurring measurements table

The following table sets forth, by level within the fair value hierarchy, the Company’s financial assets and liabilities that were measured at fair value on a recurring basis as of December 31, 2013 and 2012:



	December 31, 2013								December 31, 2012
	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
	(in millions)
Assets
AVAILABLE-FOR-SALE:⁽¹⁾
Debt securities:
Unsecured debentures	$	—	$	435	$	—	$	435	$	—	$	448	$	—	$	448
Certificates of deposit	—		151		—		151		—		143		—		143
Government debt securities	—		25		—		25		—		34		—		34
Subtotal	—		611		—		611		—		625		—		625
Equity securities:
Mutual funds	—		44		—		44		—		56		—		56
Subtotal	—		44		—		44		—		56		—		56
Total available-for-sale	—		655		—		655		—		681		—		681
TRADING:
Equity securities:
Mutual funds	13		—		—		13		12		—		—		12
Total trading	13		—		—		13		12		—		—		12
DERIVATIVES:
Interest rate derivatives	—		98		—		98		—		2		—		2
Cross currency derivatives	—		5		—		5		—		6		—		6
Foreign currency derivatives	—		15		98		113		—		2		79		81
Commodity derivatives	—		18		6		24		—		8		3		11
Total derivatives	—		136		104		240		—		18		82		100
TOTAL ASSETS	$	13	$	791	$	104	$	908	$	12	$	699	$	82	$	793
Liabilities
DERIVATIVES:
Interest rate derivatives	$	—	$	221	$	101	$	322	$	—	$	153	$	412	$	565
Cross currency derivatives	—		11		—		11		—		6		—		6
Foreign currency derivatives	—		16		5		21		—		7		7		14
Commodity derivatives	—		15		2		17		—		13		4		17
Total derivatives	—		263		108		371		—		179		423		602
TOTAL LIABILITIES	$	—	$	263	$	108	$	371	$	—	$	179	$	423	$	602

_____________________________


⁽¹⁾	Amortized cost approximated fair value at December 31, 2013 and 2012.

Derivatives Level 3 Rollforward Table

The following tables present a reconciliation of net derivative assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the years ended December 31, 2013 and 2012 (presented net by type of derivative where any foreign currency impacts are presented as part of gains (losses) in earnings or other comprehensive income as appropriate). Transfers between Level 3 and Level 2 are determined as of the end of the reporting period and principally result from changes in the significance of unobservable inputs used to calculate the credit valuation adjustment.



	Year Ended December 31, 2013
	Interest Rate			Foreign Currency			Commodity			Total
	(in millions)
Balance at January 1	$	(412	)	$	72		$	(1	)	$	(341	)
Total gains (losses) (realized and unrealized):
Included in earnings	13			53			4			70
Included in other comprehensive income - derivative activity	93			—			—			93
Included in other comprehensive income - foreign currency translation activity	(4		)	(23		)	—			(27		)
Included in regulatory (assets) liabilities	—			—			2			2
Settlements	100			(5		)	(1		)	94
Transfers of (assets) liabilities out of Level 3	109			(4		)				105
Balance at December 31	$	(101	)	$	93		$	4		$	(4	)
Total gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to assets and liabilities held at the end of the period	$	10		$	53		$	1		$	64



	Year Ended December 31, 2012
	Interest Rate			Cross Currency			Foreign Currency			Commodity			Total
	(in millions)
Balance at January 1	$	(128	)	$	(18	)	$	50		$	2		$	(94	)
Total gains (losses) (realized and unrealized):
Included in earnings	(2		)	—			32			(5		)	25
Included in other comprehensive income - derivative activity	(28		)	3			—			—			(25		)
Included in other comprehensive income - foreign currency translation activity	(1		)	—			(7		)	—			(8		)
Included in regulatory (assets) liabilities	—			—			—			9			9
Settlements	26			15			(3		)	(7		)	31
Transfers of assets (liabilities) into Level 3	(285		)	—			—			—			(285		)
Transfers of (assets) liabilities out of Level 3	6			—			—			—			6
Balance at December 31	$	(412	)	$	—		$	72		$	(1	)	$	(341	)
Total gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to assets and liabilities held at the end of the period	$	(1	)	$	—		$	28		$	(3	)	$	24

Significant unobservable inputs, recurring

The following table summarizes the significant unobservable inputs used for the Level 3 derivative assets (liabilities) as of December 31, 2013:



Type of Derivative	Fair Value			Unobservable Input	Amount or Range (Weighted Average)
	(in millions)
Interest rate	$	(101	)	Subsidiaries’ credit spreads	4.44%-5.87% (4.69%)
Foreign currency:
Embedded derivative — Argentine Peso	98			Argentine Peso to U.S. Dollar currency exchange rate after 1 year	9.94 - 21.11 (16.35)
Embedded derivative — Euro	(4		)	Subsidiaries’ credit spreads	4.44	%
Other	(1		)
Commodity:
Other	4
Total	$	(4	)

Fair value hierarchy for nonrecurring measurements table

The following table summarizes major categories of assets and liabilities measured at fair value on a nonrecurring basis during the period and their level within the fair value hierarchy:



	Year Ended December 31, 2013
	Carrying Amount	Fair Value			Gross Loss
	Carrying Amount	Level 1	Level 2	Level 3	Gross Loss
	(in millions)
Assets
Long-lived assets held and used:⁽¹⁾
Itabo (San Lorenzo)	23	—	—	7	16
Beaver Valley	61	—	—	15	46
DP&L (Conesville)	26	—	—	—	26
Long-lived assets held for sale:⁽¹⁾
U.S. wind turbines	25	—	25	—	—
Discontinued operations and held-for-sale businesses:⁽²⁾
Cameroon	414	—	356	—	63
Saurashtra	19	—	7	—	12
Ukraine utilities	164	—	124	—	44
Poland wind projects	79	—	14	—	65
U.S. wind projects	77	—	30	—	47
Equity method investments ⁽³⁾	240	—	—	111	129
Goodwill
DP&L	623	—	—	316	307
Ebute	58	—	—	—	58
MountainView	7	—	—	—	7



	Year Ended December 31, 2012
	Carrying Amount		Fair Value						Gross Loss
			Level 1		Level 2		Level 3
	(in millions)
Assets
Long-lived assets held and used:⁽¹⁾
Kelanitissa	$	29	$	—	$	—	$	10	$	19
U.S. wind projects	21		—		—		—		21
Long-lived assets held for sale:⁽¹⁾
U.S. wind turbines	45		—		—		25		20
St. Patrick	33		—		22		—		11
Discontinued operations and held-for-sale businesses:⁽²⁾
Tisza II	105		—		14		—		91
Equity method investments ⁽³⁾	205		—		155		—		50
Goodwill
DP&L	2,440		—		—		623		1,817

_____________________________


⁽¹⁾	See Note 21 — Asset Impairment Expense for further information.


⁽²⁾	See Note 23 — Discontinued Operations and Held-For-Sale Businesses for further information. Also, the gross loss equals the carrying amount of the disposal group less its fair value less costs to sell.


⁽³⁾	See Note 9 — Other Non-Operating Expense for further information.

Significant unobservable inputs, nonrecurring

The following table summarizes the significant unobservable inputs used in the Level 3 measurement of long-lived assets during the year ended December 31, 2013:



	Fair Value		Valuation Technique	Unobservable Input	Range (Weighted Average)
	(in millions)				($ in millions)
Long-lived assets held and used:
Beaver Valley	$	15	Discounted cash flow	Annual revenue growth	3% to 45% (19%)
				Annual pretax operating margin	-42% to 41% (25%)
				Weighted-average cost of capital	7	%
DPL (Conesville)	—		Discounted cash flow	Annual revenue growth	-31% to 18% (0%)
				Annual pretax operating margin	-9% to 18% (10%)
				Weighted-average cost of capital	8	%
Itabo (San Lorenzo)	7		Market approach	Broker quote	7
Equity method investment:
Elsta	111		Discounted cash flow	Annual revenue growth	-66% to 24% (0%)
				Annual pretax operating margin	15% to 68% (40%)
				Cost of equity	7.8% to 9.8% (8.4%)
Total	$	133

Financial instruments not measured at fair value in the condensed consolidated balance sheets

The following table sets forth the carrying amount, fair value and fair value hierarchy of the Company’s financial assets and liabilities that are not measured at fair value in the condensed consolidated balance sheets as of December 31, 2013 and 2012, but for which fair value is disclosed.



	Carrying Amount		Fair Value
	Carrying Amount		Total		Level 1		Level 2		Level 3
	(in millions)
December 31, 2013
Assets
Accounts receivable — noncurrent⁽¹⁾	$	260	$	194	$	—	$	—	$	194
Liabilities
Non-recourse debt	15,380		15,620		—		13,397		2,223
Recourse debt	5,669		6,164		—		6,164		—
December 31, 2012
Assets
Accounts receivable — noncurrent⁽¹⁾	$	304	$	188	$	—	$	—	$	188
Liabilities
Non-recourse debt	14,759		15,481		—		13,266		2,215
Recourse debt	5,962		6,628		—		6,628		—

_____________________________


⁽¹⁾	These accounts receivable principally relate to amounts due from CAMMESA, the administrator of the wholesale electricity market in Argentina, and are included in “Noncurrent assets — Other” in the accompanying consolidated balance sheets. The fair value of these accounts receivable excludes value-added tax of $46 million and $55 million at December 31, 2013 and 2012, respectively.