Derivative Instruments and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2017

Derivative Instruments and Hedging Activities Disclosures [Line Items]

Schedule of Notional Amounts of Outstanding Derivative Positions

At September 30, 2017, DPL's derivative instruments were as follows:



Commodity	Accounting Treatment ^(a)	Unit	Purchases (in thousands)		Sales (in thousands)			Net Purchases/ (Sales) (in thousands)
FTRs	Not designated	MWh	3.4		—			3.4
Natural gas futures	Not designated	Dths	6,625.0		(390.0		)	6,235.0
Forward power contracts	Designated	MWh	649.0		(2,478.9		)	(1,829.9		)
Forward power contracts	Not designated	MWh	1,082.8		(1,060.0		)	22.8
Interest rate swaps	Designated	USD	$	200,000.0	$	—		$	200,000.0

(a) Refers to whether the derivative instruments have been designated as a cash flow hedge.

At December 31, 2016, DPL's derivative instruments were as follows:



Commodity	Accounting Treatment ^(a)	Unit	Purchases (in thousands)		Sales (in thousands)			Net Purchases/ (Sales) (in thousands)
FTRs	Not designated	MWh	2.3		—			2.3
Natural gas futures	Not designated	Dths	1,590.0		—			1,590.0
Forward power contracts	Designated	MWh	342.9		(9,974.5		)	(9,631.6		)
Forward power contracts	Not designated	MWh	2,568.3		(2,020.9		)	547.4
Interest rate swaps	Designated	USD	$	200,000.0	$	—		$	200,000.0

Gains or Losses Recognized in AOCI for the Cash Flow Hedges

The following tables provide information concerning gains or losses recognized in AOCI for the cash flow hedges for the three and nine months ended September 30, 2017 and 2016:



	Three months ended						Three months ended
	September 30, 2017						September 30, 2016
				Interest						Interest
$ in millions (net of tax)	Power			Rate Hedge			Power			Rate Hedge
Beginning accumulated derivative gains in AOCI	$	3.0		$	17.2		$	3.4		$	17.3
Net gains associated with current period hedging transactions	1.3			0.1			9.5			—
Net gains / (losses) reclassified to earnings
Interest expense	—			(0.2		)	—			(0.1		)
Revenues	(2.7		)	—			(6.0		)	—
Purchased power	0.5			—			0.6			—
Ending accumulated derivative gains in AOCI	$	2.1		$	17.1		$	7.5		$	17.2

	Nine months ended						Nine months ended
	September 30, 2017						September 30, 2016
				Interest						Interest
$ in millions (net of tax)	Power			Rate Hedge			Power			Rate Hedge
Beginning accumulated derivative gains / (losses) in AOCI	$	(4.3	)	$	17.4		$	9.2		$	17.5
Net gains associated with current period hedging transactions	11.9			0.2			22.4			—
Net gains / (losses) reclassified to earnings
Interest expense	—			(0.5		)	—			(0.3		)
Revenues	(8.1		)	—			(30.0		)	—
Purchased power	2.6			—			5.9			—
Ending accumulated derivative gains in AOCI	$	2.1		$	17.1		$	7.5		$	17.2

Portion expected to be reclassified to earnings in the next twelve months ^(a)	$	1.5		$	(0.4	)
Maximum length of time that we are hedging our exposure to variability in future cash flows related to forecasted transactions (in months)	6			37

(a)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 Other Derivatives Not Designated as Hedging Instruments, Statements of Financial Performance and Financial Position, Location

The following tables present the amount and classification within the Condensed Consolidated Statements of Operations of the gains and losses on DPL’s derivatives not designated as hedging instruments for the three and nine months ended September 30, 2017 and 2016:



For the three months ended September 30, 2017
$ in millions	FTRs			Power			Natural Gas			Total
Change in unrealized gain / (loss)	$	0.2		$	(1.4	)	$	—		$	(1.2	)
Realized gain / (loss)	0.2			1.9			(0.2		)	1.9
Total	$	0.4		$	0.5		$	(0.2	)	$	0.7

Recorded in Income Statement: gain / (loss)
Revenues	$	—		$	3.3		$	—		$	3.3
Purchased power	0.4			(2.8		)	(0.2		)	(2.6		)
Total	$	0.4		$	0.5		$	(0.2	)	$	0.7

For the three months ended September 30, 2016
$ in millions	FTRs			Power			Natural Gas			Total
Change in unrealized gain / (loss)	$	—		$	1.2		$	(0.3	)	$	0.9
Realized gain / (loss)	(0.1		)	(2.4		)	0.2			(2.3		)
Total	$	(0.1	)	$	(1.2	)	$	(0.1	)	$	(1.4	)

Recorded in Income Statement: gain / (loss)
Revenues	$	—		$	(10.4	)	$	—		$	(10.4	)
Purchased power	(0.1		)	9.2			(0.1		)	9.0
Total	$	(0.1	)	$	(1.2	)	$	(0.1	)	$	(1.4	)

For the nine months ended September 30, 2017
$ in millions	FTRs			Power			Natural Gas			Total
Change in unrealized gain / (loss)	$	(0.5	)	$	2.3		$	(0.8	)	$	1.0
Realized gain / (loss)	0.5			(1.4		)	(0.3		)	(1.2		)
Total	$	—		$	0.9		$	(1.1	)	$	(0.2	)

Recorded in Income Statement: gain / (loss)
Revenues	$	—		$	(2.6	)	$	—		$	(2.6	)
Purchased power	—			3.5			(1.1		)	2.4
Total	$	—		$	0.9		$	(1.1	)	$	(0.2	)

For the nine months ended September 30, 2016
$ in millions	FTRs			Power			Natural Gas			Total
Change in unrealized gain / (loss)	$	0.4		$	2.3		$	—		$	2.7
Realized gain / (loss)	(0.4		)	(5.3		)	0.7			(5.0		)
Total	$	—		$	(3.0	)	$	0.7		$	(2.3	)

Recorded in Income Statement: gain / (loss)
Revenues	$	—		$	(13.1	)	$	—		$	(13.1	)
Purchased power	—			10.1			0.7			10.8
Total	$	—		$	(3.0	)	$	0.7		$	(2.3	)

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The following tables summarize the derivative positions presented in the balance sheet where a right of offset exists under these arrangements and related cash collateral received or pledged, as well as the fair value, balance sheet classification and hedging designation of DPL’s derivative instruments:



Fair Values of Derivative Instruments
at September 30, 2017
				Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets
$ in millions	Hedging Designation	Gross Fair Value as presented in the Consolidated Balance Sheets ^(a)		Financial Instruments with Same Counterparty in Offsetting Position			Cash Collateral			Net Fair Value
Assets
Short-term derivative positions (presented in Other prepayments and current assets)
Forward power contracts	Designated	$	7.0	$	(4.6	)	$	—		$	2.4
Forward power contracts	Not designated	3.5		(2.7		)	—			0.8
Natural gas futures	Not designated	—		—			—			—

Long-term derivative positions (presented in Other deferred assets)
Interest rate swap	Designated	0.9		—			—			0.9
Natural gas futures	Not designated	—		—			—			—
Forward power contracts	Not designated	0.3		—			—			0.3
Total assets		$	11.7	$	(7.3	)	$	—		$	4.4

Liabilities
Short-term derivative positions (presented in Other current liabilities)
Forward power contracts	Designated	$	4.6	$	(4.6	)	$	—		$	—
Interest rate swap	Designated	—		—			—			—
Forward power contracts	Not designated	3.5		(2.7		)	(0.7		)	0.1
Natural gas futures	Not designated	0.8		—			(0.8		)	—
FTRs	Not designated	0.5		—			—			0.5

Long-term derivative positions (presented in Other deferred credits)
Natural gas futures	Not designated	—		—			—			—
Total liabilities		$	9.4	$	(7.3	)	$	(1.5	)	$	0.6

(a) includes credit valuation adjustment



Fair Values of Derivative Instruments
at December 31, 2016
				Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets
$ in millions	Hedging Designation	Gross Fair Value as presented in the Consolidated Balance Sheets ^(a)		Financial Instruments with Same Counterparty in Offsetting Position			Cash Collateral			Net Fair Value
Assets
Short-term derivative positions (presented in Other prepayments and current assets)
Forward power contracts	Designated	$	11.0	$	(10.5	)	$	—		$	0.5
Forward power contracts	Not designated	6.0		(4.7		)	—			1.3
FTRs	Not designated	0.1		—			—			0.1

Long-term derivative positions (presented in Other deferred assets)
Interest rate swaps	Designated	1.2		—			—			1.2
Forward power contracts	Designated	0.6		(0.6		)	—			—
Forward power contracts	Not designated	1.9		(1.0		)	—			0.9
Total assets		$	20.8	$	(16.8	)	$	—		$	4.0

Liabilities
Short-term derivative positions (presented in Other current liabilities)
Interest rate swaps	Designated	$	0.7	$	—		$	—		$	0.7
Forward power contracts	Designated	16.4		(10.5		)	(5.5		)	0.4
Forward power contracts	Not designated	7.7		(4.7		)	—			3.0

Long-term derivative positions (presented in Other deferred credits)
Forward power contracts	Designated	2.4		(0.6		)	(0.8		)	1.0
Forward power contracts	Not designated	2.0		(1.0		)	—			1.0
Total liabilities		$	29.2	$	(16.8	)	$	(6.3	)	$	6.1

THE DAYTON POWER AND LIGHT COMPANY [Member]

Derivative Instruments and Hedging Activities Disclosures [Line Items]

Schedule of Notional Amounts of Outstanding Derivative Positions

At September 30, 2017, DP&L's derivative instruments were as follows:



Commodity	Accounting Treatment ^(a)	Unit	Purchases (in thousands)		Sales (in thousands)			Net Purchases/ (Sales) (in thousands)
FTRs	Not designated	MWh	3.4		—			3.4
Natural gas futures	Not designated	Dths	6,625.0		(390.0		)	6,235.0
Forward power contracts	Designated	MWh	649.0		(2,478.9		)	(1,829.9		)
Forward power contracts	Not designated	MWh	1,082.8		(1,060.0		)	22.8
Interest rate swaps	Designated	USD	$	200,000.0	$	—		$	200,000.0

(a) Refers to whether the derivative instruments have been designated as a cash flow hedge.

At December 31, 2016, DP&L's derivative instruments were as follows:



Commodity	Accounting Treatment ^(a)	Unit	Purchases (in thousands)		Sales (in thousands)			Net Purchases/ (Sales) (in thousands)
FTRs	Not designated	MWh	2.3		—			2.3
Natural gas futures	Not designated	Dths	1,590.0		—			1,590.0
Forward power contracts	Designated	MWh	342.9		(9,974.5		)	(9,631.6		)
Forward power contracts	Not designated	MWh	2,568.3		(2,037.5		)	530.8
Interest rate swaps	Designated	USD	$	200,000.0	$	—		$	200,000.0

Gains or Losses Recognized in AOCI for the Cash Flow Hedges

The following tables provide information concerning gains or losses recognized in AOCI for the cash flow hedges for the three and nine months ended September 30, 2017 and 2016:



	Three months ended						Three months ended
	September 30, 2017						September 30, 2016
				Interest						Interest
$ in millions (net of tax)	Power			Rate Hedge			Power			Rate Hedge
Beginning accumulated derivative gains in AOCI	$	3.0		$	1.4		$	3.4		$	1.6
Net gains associated with current period hedging transactions	1.3			0.1			9.5			—
Net gains / (losses) reclassified to earnings
Interest expense	—			(0.2		)	—			(0.2		)
Revenues	(2.7		)	—			(6.0		)	—
Purchased power	0.5			—			0.6			—
Ending accumulated derivative gains in AOCI	$	2.1		$	1.3		$	7.5		$	1.4

	Nine months ended						Nine months ended
	September 30, 2017						September 30, 2016
				Interest						Interest
$ in millions (net of tax)	Power			Rate Hedge			Power			Rate Hedge
Beginning accumulated derivative gains / (losses) in AOCI	$	(4.3	)	$	1.6		$	9.2		$	2.0
Net gains associated with current period hedging transactions	11.9			0.2			22.5			—
Net gains / (losses) reclassified to earnings
Interest expense	—			(0.5		)	—			(0.6		)
Revenues	(8.1		)	—			(30.1		)	—
Purchased power	2.6			—			5.9			—
Ending accumulated derivative gains in AOCI	$	2.1		$	1.3		$	7.5		$	1.4

Portion expected to be reclassified to earnings in the next twelve months ^(a)	$	1.5		$	(0.4	)
Maximum length of time that we are hedging our exposure to variability in future cash flows related to forecasted transactions (in months)	6			37


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

Net gains or losses associated with the ineffective portion of the hedging transactions were immaterial in the periods presented.

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

The following tables present the amount and classification within the Condensed Statements of Operations of the gains and losses on DP&L's derivatives not designated as hedging instruments for the three and nine months ended September 30, 2017 and 2016:



For the three months ended September 30, 2017
$ in millions	FTRs			Power			Natural Gas			Total
Change in unrealized gain / (loss)	$	0.2		$	(1.4	)	$	—		$	(1.2	)
Realized gain / (loss)	0.2			1.9			(0.2		)	1.9
Total	$	0.4		$	0.5		$	(0.2	)	$	0.7

Recorded in Income Statement: gain / (loss)
Revenues	$	—		$	3.3		$	—		$	3.3
Purchased power	0.4			(2.8		)	(0.2		)	(2.6		)
Total	$	0.4		$	0.5		$	(0.2	)	$	0.7

For the three months ended September 30, 2016
$ in millions	FTRs			Power			Natural Gas			Total
Change in unrealized gain / (loss)	$	—		$	1.2		$	(0.3	)	$	0.9
Realized gain / (loss)	(0.1		)	(2.4		)	0.2			(2.3		)
Total	$	(0.1	)	$	(1.2	)	$	(0.1	)	$	(1.4	)

Recorded in Income Statement: gain / (loss)
Revenues	$	—		$	(10.4	)	$	—		$	(10.4	)
Purchased power	(0.1		)	9.2			(0.1		)	9.0
Total	$	(0.1	)	$	(1.2	)	$	(0.1	)	$	(1.4	)

For the nine months ended September 30, 2017
$ in millions	FTRs			Power			Natural Gas			Total
Change in unrealized gain / (loss)	$	(0.5	)	$	2.2		$	(0.8	)	$	0.9
Realized gain / (loss)	0.5			(1.5		)	(0.3		)	(1.3		)
Total	$	—		$	0.7		$	(1.1	)	$	(0.4	)

Recorded in Income Statement: gain / (loss)
Revenues	$	—		$	(2.7	)	$	—		$	(2.7	)
Purchased power	—			3.4			(1.1		)	2.3
Total	$	—		$	0.7		$	(1.1	)	$	(0.4	)

For the nine months ended September 30, 2016
$ in millions	FTRs			Power			Natural Gas			Total
Change in unrealized gain / (loss)	$	0.4		$	2.3		$	—		$	2.7
Realized gain / (loss)	(0.4		)	(5.3		)	0.7			(5.0		)
Total	$	—		$	(3.0	)	$	0.7		$	(2.3	)

Recorded in Income Statement: gain / (loss)
Revenues	$	—		$	(13.1	)	$	—		$	(13.1	)
Purchased power	—			10.1			0.7			10.8
Total	$	—		$	(3.0	)	$	0.7		$	(2.3	)

DP&L has elected not to offset derivative assets and liabilities and not to offset net derivative positions against the right to reclaim cash collateral pledged (an asset) or the obligation to return cash collateral received (a liability) under derivative agreements.

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value



Fair Values of Derivative Instruments
at September 30, 2017
				Gross Amounts Not Offset in the Condensed Balance Sheets
$ in millions	Hedging Designation	Gross Fair Value as presented in the Balance Sheets ^(a)		Financial Instruments with Same Counterparty in Offsetting Position			Cash Collateral			Net Fair Value
Assets
Short-term derivative positions (presented in Other prepayments and current assets)
Forward power contracts	Designated	$	7.0	$	(4.6	)	$	—		$	2.4
Forward power contracts	Not designated	3.5		(2.7		)	—			0.8
Natural gas futures	Not designated	—		—			—			—

Long-term derivative positions (presented in Other deferred assets)
Interest rate swap	Designated	0.9		—			—			0.9
Natural gas futures	Not designated	—		—			—			—
Forward power contracts	Not designated	0.3		—			—			0.3
Total assets		$	11.7	$	(7.3	)	$	—		$	4.4

Liabilities
Short-term derivative positions (presented in Other current liabilities)
Forward power contracts	Designated	$	4.6	$	(4.6	)	$	—		$	—
Interest rate swaps	Designated	—		—			—			—
Forward power contracts	Not designated	3.5		(2.7		)	(0.7		)	0.1
Natural gas futures	Not designated	0.8		—			(0.8		)	—
FTRs	Not designated	0.5		—			—			0.5

Long-term derivative positions (presented in Other deferred credits)
Natural gas futures	Not designated	—		—			—			—
Total liabilities		$	9.4	$	(7.3	)	$	(1.5	)	$	0.6

(a) includes credit valuation adjustment



Fair Values of Derivative Instruments
at December 31, 2016
				Gross Amounts Not Offset in the Condensed Balance Sheets
$ in millions	Hedging Designation	Gross Fair Value as presented in the Balance Sheets ^(a)		Financial Instruments with Same Counterparty in Offsetting Position			Cash Collateral			Net Fair Value
Assets
Short-term derivative positions (presented in Other prepayments and current assets)
Forward power contracts	Designated	$	11.0	$	(10.5	)	$	—		$	0.5
Forward power contracts	Not designated	6.0		(4.7		)	—			1.3
FTRs	Not designated	0.1		—			—			0.1

Long-term derivative positions (presented in Other deferred assets)
Interest rate swaps	Designated	1.2		—			—			1.2
Forward power contracts	Designated	0.6		(0.6		)	—			—
Forward power contracts	Not designated	1.9		(1.0		)	—			0.9
Total assets		$	20.8	$	(16.8	)	$	—		$	4.0

Liabilities
Short-term derivative positions (presented in Other current liabilities)
Forward power contracts	Designated	$	16.4	$	(10.5	)	$	(5.5	)	$	0.4
Interest rate swaps	Designated	0.7		—			—			0.7
Forward power contracts	Not designated	7.7		(4.7		)	—			3.0

Long-term derivative positions (presented in Other deferred credits)
Forward power contracts	Designated	2.4		(0.6		)	(0.8		)	1.0
Forward power contracts	Not designated	2.0		(1.0		)	—			1.0
Total liabilities		$	29.2	$	(16.8	)	$	(6.3	)	$	6.1