Fair Value (Tables)

12 Months Ended

Dec. 31, 2014

Fair value hierarchy for recurring measurements table

The following table sets forth, by level within the fair value hierarchy, as described in Note 1 - General and Summary of Significant Accounting Policies, the Company’s financial assets and liabilities that were measured at fair value on a recurring basis as of the periods indicated:



	December 31, 2014								December 31, 2013
	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	$	—	$	501	$	—	$	501	$	—	$	435	$	—	$	435
Certificates of deposit	—		151		—		151		—		151		—		151
Government debt securities	—		57		—		57		—		25		—		25
Subtotal	—		709		—		709		—		611		—		611
Equity securities:
Mutual funds	—		25		—		25		—		44		—		44
Subtotal	—		25		—		25		—		44		—		44
Total available for sale	—		734		—		734		—		655		—		655
TRADING:
Equity securities:
Mutual funds	15		—		—		15		13		—		—		13
Total trading	15		—		—		15		13		—		—		13
DERIVATIVES:
Interest rate derivatives	—		—		—		—		—		98		—		98
Cross currency derivatives	—		—		—		—		—		5		—		5
Foreign currency derivatives	—		18		218		236		—		15		98		113
Commodity derivatives	—		37		7		44		—		18		6		24
Total derivatives	—		55		225		280		—		136		104		240
TOTAL ASSETS	$	15	$	789	$	225	$	1,029	$	13	$	791	$	104	$	908
Liabilities
DERIVATIVES:
Interest rate derivatives	$	—	$	206	$	210	$	416	$	—	$	221	$	101	$	322
Cross currency derivatives	—		29		—		29		—		11		—		11
Foreign currency derivatives	—		43		9		52		—		16		5		21
Commodity derivatives	—		16		1		17		—		15		2		17
Total derivatives	—		294		220		514		—		263		108		371
TOTAL LIABILITIES	$	—	$	294	$	220	$	514	$	—	$	263	$	108	$	371

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⁽¹⁾	Amortized cost approximated fair value at December 31, 2014 and 2013.

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, 2014 and 2013 (presented net by type of derivative). 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, 2014
	Interest Rate			Foreign Currency			Commodity			Total
	(in millions)
Balance at January 1	$	(101	)	$	93		$	4		$	(4	)
Total gains (losses) (realized and unrealized):
Included in earnings	2			134			1			137
Included in other comprehensive income - derivative activity	(154		)	(2		)	—			(156		)
Included in other comprehensive income - foreign currency translation activity	13			(25		)	—			(12		)
Included in regulatory (assets) liabilities	—			—			16			16
Settlements	30			(4		)	(15		)	11
Transfers of assets (liabilities) into Level 3	—			10			—			10
Transfers of (assets) liabilities out of Level 3	—			3			—			3
Balance at December 31	$	(210	)	$	209		$	6		$	5
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	$	2		$	130		$	(1	)	$	131



	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

Significant unobservable inputs, recurring

The following table summarizes the significant unobservable inputs used for the Level 3 derivative assets (liabilities) as of December 31, 2014:



Type of Derivative	Fair Value			Unobservable Input	Amount or Range (Weighted Average)
	(in millions)
Interest rate	$	(210	)	Subsidiaries’ credit spreads	3.75%-8.24% (5.70%)
Foreign currency:
Derivative — Argentine Peso	208			Argentine Peso to U.S. Dollar currency exchange rate after 1 year	8.75 - 33.66 (21.31)
Embedded derivative — Euro	1			Subsidiary and counterparty credit spreads	5.43%-8.24% (6.84%)
Commodity:
Other	6
Total	$	5

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, 2014
	Carrying Amount ⁽¹⁾		Fair Value						Pretax Loss
			Level 1		Level 2		Level 3
	(in millions)
Assets
Long-lived assets held and used:⁽²⁾
DP&L (East Bend)	$	14	$	—	$	2	$	—	$	12
Ebute	103		—		—		36		67
UK Wind (Newfield)	11		—		—		—		11
Discontinued operations and held-for-sale businesses:⁽³⁾
Cameroon businesses	372		—		334		—		38
Equity method investments ⁽⁴⁾
Silver Ridge Power	315		—		—		273		42
Entek	211		—		125		—		86
Goodwill
DPLER	136		—		—		—		136
Buffalo Gap	28		—		—		—		28



	Year Ended December 31, 2013
	Carrying Amount ⁽¹⁾		Fair Value						Pretax Loss
			Level 1		Level 2		Level 3
	(in millions)
Assets
Long-lived assets held and used:⁽²⁾
Itabo (San Lorenzo)	$	23	$	—	$	—	$	7	$	16
Beaver Valley	61		—		—		15		46
DP&L (Conesville)	26		—		—		—		26
Long-lived assets held for sale:⁽²⁾
U.S. wind turbines	25		—		25		—		—
Discontinued operations and held-for-sale businesses:⁽³⁾
Cameroon	414		—		351		—		63
Saurashtra	19		—		7		—		12
Ukraine utilities	164		—		120		—		44
Poland wind projects	79		—		14		—		65
U.S. wind projects	77		—		30		—		47
Equity method investments ⁽⁴⁾	240		—		—		111		129
Goodwill
DP&L	623		—		—		316		307
Ebute	58		—		—		—		58
Mountain View	7		—		—		—		7

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⁽¹⁾	Represents the carrying value at the date of measurement, before fair value adjustment.


⁽²⁾	See Note 21—Asset Impairment Expense and Note 24—Dispositions for further information.


⁽³⁾	See Note 23—Discontinued Operations and Held-For-Sale Businesses for further information. Fair value of long-lived assets held-for-sale exclude costs to sell.


⁽⁴⁾	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, 2014:



	Fair Value		Valuation Technique	Unobservable Input	Range (Weighted Average)
	(in millions)				($ in millions)
Long-lived assets held and used:
Ebute	36		Discounted cash flow	Annual revenue growth	0% to 1% (1%)
				Annual pretax operating margin	0% to 56% (25%)
Equity method investment:
Silver Ridge Power	273		Discounted cash flow	Annual revenue growth	-57% to 1% (-4%)
				Annual pretax operating margin	-115% to 50% (6%)
				Cost of equity	13% to 16% (14%)
Total	$	309

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 consolidated balance sheets as of December 31, 2014 and 2013, but for which fair value is disclosed.



	Carrying Amount		Fair Value
	Carrying Amount		Total		Level 1		Level 2		Level 3
	(in millions)
December 31, 2014
Assets
Accounts receivable — noncurrent⁽¹⁾	$	257	$	246	$	—	$	—	$	246
Liabilities
Non-recourse debt	15,600		16,008		—		12,538		3,470
Recourse debt	5,258		5,552		—		5,552		—
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		—

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⁽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 $36 million and $46 million at December 31, 2014 and 2013, respectively.