Derivative Instruments and Hedging Activities

9 Months Ended

Sep. 30, 2020

Derivative Instruments and Hedging Activities Disclosures [Line Items]

Derivative Instruments and Hedging Activities

For further information on our derivative and hedge accounting policies, See Note 1 – Overview and Summary of Significant Accounting Policies – Financial Derivatives and Note 6 - Derivative Instruments and Hedging Activities of Item 8 – Financial Statements and Supplementary Data in our Form 10-K.

Cash Flow Hedges

In August 2020, the two interest rate swaps to hedge the variable interest on the $140.0 million variable interest rate tax-exempt First Mortgage Bonds expired, as the associated debt reached maturity. The interest rate swaps had a combined notional amount of $140.0 million and settled monthly based on a one-month LIBOR. The AOCL associated with the swaps was amortized out of AOCL into interest expense over the life of the underlying debt.

We had previously entered into interest rate derivative contracts to manage interest rate exposure related to anticipated borrowings of fixed-rate debt. These interest rate derivative contracts were settled in 2013 and we continue to amortize amounts out of AOCL into interest expense.

The following tables provide information concerning gains or losses recognized in AOCL for the cash flow hedges for the three and nine months ended September 30, 2020 and 2019:


	Three months ended
	September 30, 2020		September 30, 2019
	Interest		Interest
$ in millions (net of tax)	Rate Hedge		Rate Hedge		Power
Beginning accumulated derivative gains in AOCL	$	13.9	$	15.3	$	0.4
Net gains / (losses) associated with current period hedging transactions	0.1		(0.2)		—
Net gains reclassified to earnings
Interest expense	(0.3)		(0.4)		—
Income from discontinued operations	—		—		(0.4)
Ending accumulated derivative gains in AOCL	$	13.7	$	14.7	$	—


	Nine months ended
	September 30, 2020		September 30, 2019
	Interest		Interest
$ in millions (net of tax)	Rate Hedge		Rate Hedge		Power
Beginning accumulated derivative gains in AOCL	$	14.5	$	16.6	$	0.4
Net losses associated with current period hedging transactions	—		(1.0)		—
Net gains reclassified to earnings
Interest expense	(0.8)		(0.9)		—
Income from discontinued operations	—		—		(0.4)
Ending accumulated derivative gains in AOCL	$	13.7	$	14.7	$	—

Portion expected to be reclassified to earnings in the next twelve months	$	(0.1)
Maximum length of time that we are hedging our exposure to variability in future cash flows related to forecasted transactions (in months)	0

Financial Statement Effect

DPL 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. The fair value derivative position of DPL's interest rate swaps are as follows:

$ in millions (net of tax)

Hedging Designation

Balance sheet classification

September 30, 2020

December 31, 2019

Interest rate swap

Cash Flow Hedge

Prepayments and other current assets

—

0.1

Subsidiaries [Member]