XML 123 R15.htm IDEA: XBRL DOCUMENT
v2.4.0.6

Derivative Instruments and Hedging Activities | 12 Months Ended
--- | ---
Dec. 31, 2012
DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES | 6. DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES Volume of Activity The following tables set forth, by type of derivative, the Company's outstanding notional under its derivatives and the weighted average remaining term as of December 31, 2012, regardless of whether the derivative instruments are in designated and qualifying cash flow hedging relationships:
|  |  | December 31, 2012
|  |  | Current |  | Maximum(1) |  |  |  |
|  |  |  |  | Derivative |  |  |  | Derivative |  | Weighted |  | % of Debt
|  |  |  |  | Notional |  |  |  | Notional |  | Average |  | Currently
|  |  | Derivative |  | Translated |  | Derivative |  | Translated |  | Remaining |  | Hedged
Interest Rate and Cross Currency(1) |  | Notional |  | to USD |  | Notional |  | to USD |  | Term |  | by Index(2)
|  |  | (in millions) |  | (in years) |  |
Interest Rate Derivatives: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
LIBOR (U.S. Dollar) |  | 3,413 |  | $ | 3,413 |  | 4,272 |  | $ | 4,272 |  | 10 |  | 70%
EURIBOR (Euro) |  | 611 |  |  | 807 |  | 611 |  |  | 807 |  | 9 |  | 64%
LIBOR (British Pound Sterling) |  | 67 |  |  | 109 |  | 69 |  |  | 112 |  | 12 |  | 86%
Cross Currency Swaps: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Chilean Unidad de Fomento |  | 6 |  |  | 267 |  | 6 |  |  | 267 |  | 9 |  | 85%
(1) The Company's interest rate derivative instruments primarily include accreting and amortizing notionals. The maximum derivative notional represents the largest notional at any point between December 31, 2012 and the maturity of the derivative instrument, which includes forward starting derivative instruments. The interest rate and cross currency derivatives range in maturity through 20 30 and 2028, respectively. (2) The percentage of variable-rate debt currently hedged is based on the related index and excludes forecasted issuances of debt and variable-rate debt tied to other indices where the Company has no interest rate derivatives.
|  |  | December 31, 2012
|  |  |  |  |  |  |  | Weighted
|  |  |  | Notional |  |  | Average
|  |  |  | Translated |  |  | Remaining
Foreign Currency Derivatives |  | Notional(1) | to USD |  |  | Term(2)
|  | (in millions) |  |  | (in years)
Foreign Currency Options and Forwards: |  |  |  |  |  |  |
Euro |  | 98 | $ | 126 |  |  | <1
Chilean Peso |  | 52,575 |  | 108 |  |  | <1
Brazilian Real |  | 175 |  | 83 |  |  | <1
Colombian Peso |  | 89,928 |  | 49 |  |  | <1
British Pound |  | 17 |  | 27 |  |  | <1
Argentine Peso |  | 118 |  | 20 |  |  | 1
Embedded Foreign Currency Derivatives: |  |  |  |  |  |  |
Argentine Peso |  | 849 |  | 173 |  |  | 11
Kazakhstani Tenge |  | 1,195 |  | 8 |  |  | 4
Euro |  | 2 |  | 2 |  |  | 11
(1) Represents contractual notionals. The notionals for options have not been pr obability adjusted, which generally would decrease them. (2) Represents the remaining tenor of our foreign currency derivatives weighted by the corresponding notional. These options and forwards and these embedded derivative s range in maturity through 2014 and 2025, respectively.
|  | December 31, 2012
|  |  |  | Weighted Average
Commodity Derivatives |  | Notional |  | Remaining Term(1)
|  | (in millions) |  | (in years)
Aluminum (MWh)(2) |  | 14 |  | 7
Power (MWh) |  | 4 |  | 3
(1) Represent s the remaining tenor of our commodity and embedded derivatives weighted by the corresponding volume. These derivatives range in maturity through 2019. (2) Our exposure is to fluctuations in the price of aluminum while the notional is based on the amount of power we sell under the PPA. Accounting and Reporting Fair Value Hierarchy & Hedging Designation The following tables set forth the fair value of the Company's types of derivative instruments as of December 31, 2012 and 2011 by level within the fair value hierarchy then by whether or not they are designated hedging instruments.
|  |  |  |  | December 31, 2012 |  | December 31, 2011
|  |  |  |  | Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
|  |  |  |  | (in millions) |  | (in millions)
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Interest rate derivatives |  | $ | - |  | $ | 2 |  | $ | - |  | $ | 2 |  | $ | - |  | $ | - |  | $ | - |  | $ | -
| Cross currency derivatives |  |  | - |  |  | 6 |  |  | - |  |  | 6 |  |  | - |  |  | - |  |  | 1 |  |  | 1
| Foreign currency derivatives |  |  | - |  |  | 2 |  |  | 79 |  |  | 81 |  |  | - |  |  | 27 |  |  | 62 |  |  | 89
| Commodity and other derivatives |  |  | - |  |  | 8 |  |  | 3 |  |  | 11 |  |  | 2 |  |  | 25 |  |  | 3 |  |  | 30
|  |  | Total assets |  | $ | - |  |  | 18 |  | $ | 82 |  | $ | 100 |  | $ | 2 |  | $ | 52 |  | $ | 66 |  | $ | 120
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Interest rate derivatives |  | $ | - |  | $ | 153 |  | $ | 412 |  | $ | 565 |  | $ | - |  | $ | 431 |  | $ | 128 |  | $ | 559
| Cross currency derivatives |  |  | - |  |  | 6 |  |  | - |  |  | 6 |  |  | - |  |  | - |  |  | 19 |  |  | 19
| Foreign currency derivatives |  |  | - |  |  | 7 |  |  | 7 |  |  | 14 |  |  | - |  |  | 15 |  |  | 11 |  |  | 26
| Commodity and other derivatives |  |  | - |  |  | 13 |  |  | 59 |  |  | 72 |  |  | - |  |  | 30 |  |  | 56 |  |  | 86
|  |  | Total liabilities |  | $ | - |  | $ | 179 |  | $ | 478 |  | $ | 657 |  | $ | - |  | $ | 476 |  | $ | 214 |  | $ | 690
|  |  |  |  | December 31, 2012 |  | December 31, 2011
|  |  |  |  |  |  | Not |  |  |  |  |  | Not |  |
|  |  |  |  | Designated |  | Designated |  |  |  |  | Designated |  | Designated |  |  |
|  |  |  |  | as Hedging |  | as Hedging |  |  |  | as Hedging |  | as Hedging |  |
|  |  |  |  | Instruments |  | Instruments |  | Total |  | Instruments |  | Instruments |  | Total
|  |  |  |  | (in millions) |  |  |  |  | (in millions) |  |  |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Interest rate derivatives |  | $ | - |  | $ | 2 |  | $ | 2 |  | $ | - |  | $ | - |  | $ | -
| Cross currency derivatives |  |  | 6 |  |  | - |  |  | 6 |  |  | 1 |  |  | - |  |  | 1
| Foreign currency derivatives |  |  | - |  |  | 81 |  |  | 81 |  |  | 13 |  |  | 76 |  |  | 89
| Commodity and other derivatives |  |  | 2 |  |  | 9 |  |  | 11 |  |  | 2 |  |  | 28 |  |  | 30
Total assets |  | $ | 8 |  | $ | 92 |  | $ | 100 |  | $ | 16 |  | $ | 104 |  | $ | 120
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Interest rate derivatives |  | $ | 544 |  | $ | 21 |  | $ | 565 |  | $ | 535 |  | $ | 24 |  | $ | 559
| Cross currency derivatives |  |  | 6 |  |  | - |  |  | 6 |  |  | 19 |  |  | - |  |  | 19
| Foreign currency derivatives |  |  | 7 |  |  | 7 |  |  | 14 |  |  | 1 |  |  | 25 |  |  | 26
| Commodity and other derivatives |  |  | 8 |  |  | 64 |  |  | 72 |  |  | 3 |  |  | 83 |  |  | 86
Total liabilities |  | $ | 565 |  | $ | 92 |  | $ | 657 |  | $ | 558 |  | $ | 132 |  | $ | 690
As of December 31, 2012 and 2011, these tabl es include current assets of $14 million and $49 million, respec tively, noncurrent assets of $86 million and $71 million, respecti vely, current liabilities of $186 million and $153 million, respectively, and noncur rent liabilities of $471 million and $537 million, respectively. These tables do not include the following balances that had been, but no longer need to be, accounted for as derivatives at fair value that are to be amortized to earnings over the remaining term of the associated PPA: $186 million and $163 million of assets as of December 31, 2012 and 2011, respectively and $191 million of liab ilities as of December 31, 2012. The amortization is included in the table below under “Not Designated for Hedge Accounting”. Effective Portion of Cash Flow Hedges The following table sets forth the pre-tax gains (losses) recognized in AOCL and earnings related to the effective portion of derivative instruments in qualifying cash flow hedging relationships (including amounts that were reclassified from AOCL to interest expense related to interest rate derivative instruments that previously, but no longer, qualify for cash flow hedge accounting), as defined in the accounting standards for derivatives and hedging, for the years ended December 31, 2012, 2011 and 2010:
|  |  | Gains (Losses) |  |  |  |  | Gains (Losses) Reclassified
|  |  | Recognized in AOCL |  | Consolidated |  | from AOCL into Earnings
|  |  | 2012 |  | 2011 |  | 2010 |  | Statement of Operations |  | 2012 |  | 2011 |  | 2010
|  |  | (in millions) |  |  |  |  | (in millions)
Interest rate derivatives |  | $ | (175) |  | $ | (475) |  | $ | (288) |  | Interest expense |  | $ | (135) |  | $ | (125) |  | $ | (110)
|  |  |  |  |  |  |  |  |  |  |  | Non-regulated cost of sales |  |  | (6) |  |  | (3) |  |  | (3)
|  |  |  |  |  |  |  |  |  |  |  | Net equity in earnings of |  |  |  |  |  |  |  |  |
|  |  |  |  |  |  |  |  |  |  |  |  | affiliates |  |  | (7) |  |  | (4) |  |  | (1)
|  |  |  |  |  |  |  |  |  |  |  | Income (loss) from |  |  |  |  |  |  |  |  |
|  |  |  |  |  |  |  |  |  |  |  | discontinued operations |  |  | - |  |  | - |  |  | (113)
|  |  |  |  |  |  |  |  |  |  |  | Asset impairment expense |  |  | (6) |  |  | - |  |  | -
|  |  |  |  |  |  |  |  |  |  |  | Gain on sale of investments |  |  | (96) |  |  | - |  |  | -
Cross currency derivatives |  |  | 4 |  |  | (36) |  |  | 15 |  | Interest expense |  |  | (12) |  |  | (10) |  |  | (4)
|  |  |  |  |  |  |  |  |  |  |  | Foreign currency transaction |  |  |  |  |  |  |  |  |
|  |  |  |  |  |  |  |  |  |  |  |  | gains (losses) |  |  | 26 |  |  | (16) |  |  | 25
Foreign currency derivatives |  |  | 10 |  |  | 24 |  |  | (16) |  | Foreign currency transaction |  |  |  |  |  |  |  |  |
|  |  |  |  |  |  |  |  |  |  |  |  | gains (losses) |  |  | 5 |  |  | 1 |  |  | (8)
Commodity and other |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| derivatives |  |  | (8) |  |  | - |  |  | (9) |  | Non-regulated revenue |  |  | (2) |  |  | - |  |  | 1
|  |  |  |  |  |  |  |  |  |  |  | Non-regulated cost of sales |  |  | - |  |  | (2) |  |  | -
|  |  |  |  |  |  |  |  |  |  |  | Income (loss) from |  |  |  |  |  |  |  |  |
|  |  |  |  |  |  |  |  |  |  |  | discontinued operations |  |  | - |  |  | - |  |  | 10
Total |  | $ | (169) |  | $ | (487) |  | $ | (298) |  |  |  |  | $ | (233) |  | $ | (159) |  | $ | (203)
For the years ended December 31, 2012, 2011 and 2010, the above table includes pre-tax gains (losses) of $(10) million, $0 million, and $(1) million, respectively, that were reclassified into earnings as a result of the discontinuance of a cash flow hedge because it was probable that the forecasted transaction would not occur by the end of the originally specified time period (as documented at the inception of the hedging relationship) or within an additional two-month time period thereafter. The pre-tax accumulated other comprehensive income (loss) expected to be recognized as an increase (decrease) to income from continuing operations before income taxes over the next twelve months as of December 31, 2012 is $(110) million for interest rate hedges, $9 million for cross currency swaps, $(3) million for foreign currency hedges, and $(7) million for commodity and other hedges. Ineffective Portion of Cash Flow Hedges The following table sets forth the pre-tax gains (losses) recognized in earnings related to the ineffective portion of derivative instruments in qualifying cash flow hedging relationships, as defined in the accounting standards for derivatives and hedging, for the year s ended December 31, 2012, 2011 and 2010:
|  |  |  |  | Gains (Losses)
|  | Classification in |  | Recognized in Earnings
|  | Consolidated Statement of Operations |  | 2012 |  | 2011 |  | 2010
|  |  |  |  | (in millions)
Interest rate derivatives |  | Interest expense |  | $ | (2) |  | $ | (6) |  | $ | (15)
|  | Net equity in earnings of affiliates |  |  | (1) |  |  | (2) |  |  | -
Cross currency derivatives |  | Interest expense |  |  | (1) |  |  | (4) |  |  | 5
Total |  |  |  |  | $ | (4) |  | $ | (12) |  | $ | (10)
Not Designated for Hedge Accounting The following table sets forth the gains (losses) recognized in earnings related to derivative instruments not designated as hedging instruments under the accounting standards for derivatives and hedging, for the year s ended December 31, 2012, 2011 and 2010:
|  | Classification |  | Gains (Losses)
|  | in Consolidated |  | Recognized in Earnings
|  | Statement of Operations |  | 2012 |  | 2011 |  | 2010
|  |  |  |  | (in millions)
Interest rate derivatives |  | Interest expense |  | $ | (5) |  | $ | (4) |  | $ | (9)
Foreign currency derivatives |  | Foreign currency transaction |  |  |  |  |  |  |  |  |
|  |  | gains (losses) |  |  | (141) |  |  | 60 |  |  | (35)
|  | Net equity in earnings of affiliates |  |  | - |  |  | - |  |  | (2)
Commodity and other derivatives |  | Non-regulated revenue |  |  | 20 |  |  | (63) |  |  | 29
|  | Regulated revenue |  |  | (10) |  |  | 1 |  |  | -
|  | Non-regulated cost of sales |  |  | 2 |  |  | (9) |  |  | 5
|  | Regulated cost of sales |  |  | (15) |  |  | (5) |  |  | -
Total |  |  |  |  | $ | (149) |  | $ | (20) |  | $ | (12)
Credit Risk-Related Contingent Features O ur generation business i n Chile has cross currency swap agreements that contain credit contingent provisions which would permit the counterparties with which Gener is in a net liability position to require collateral credit support when the mark-to-market value of the derivatives exceeds the unsecured thresholds established in the agreements. If Gener's credit rating were to fall below the minimum threshold, the counterparties can demand immediate collateralization of the entire mark-to-market loss of the swaps (fair value excluding credit valuation adjustments), which was $2 million and $18 million at December 31, 2012 and 2011, respectively. Credit Risk-Related Contingent Features O ur generation business i n Chile has cross currency swap agreements that contain credit contingent provisions which would permit the counterparties with which Gener is in a net liability position to require collateral credit support when the mark-to-market value of the derivatives exceeds the unsecured thresholds established in the agreements. If Gener's credit rating were to fall below the minimum threshold, the counterparties can demand immediate collateralization of the entire mark-to-market loss of the swaps (fair value excluding credit valuation adjustments), which was $2 million and $18 million at December 31, 2012 and 2011, respectively. DPL, our utility in Ohio, has certain over-the-counter commodity derivative contracts under master netting agreements that contain provisions that require its debt to maintain an investment-grade credit rating from credit rating agencies. If its debt were to fall below investment grade, the business would be in violation of these provisions and the counterparties to the derivative contracts could request immediate payment or demand immediate and ongoing full overnight collateralization of the mark-to-market loss (fair value excluding credit valuation adjustments), which was $13 million and $28 million as of December 31, 2012 and 2011, respectively. As of December 31, 2012 and 2011, DPL had posted $5 million and $16 million, respectively, of cash collateral directly with third parties or in a broker mar gin account and DPL held $0 mi llion and $3 million, respectively, of cash collateral that it rec eived from counterparties to its derivative instrument s that were in an asset position.

X
- Definition The entire disclosure for the entity's entire derivative instruments and hedging activities. Describes an entity's risk management strategies, derivatives in hedging activities and non-hedging derivative instruments, the assets, obligations, liabilities, revenues and expenses arising therefrom, and the amounts of and methodologies and assumptions used in determining the amounts of such items. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 30 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=7668309&loc=d3e80784-113994 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5624171-113959 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4E -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5624181-113959 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4K -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5708775-113959 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5579245-113959 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.4-08.(n)) -URI http://asc.fasb.org/extlink&oid=6881521&loc=d3e23780-122690 Reference 7: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=7476318&loc=d3e41641-113959 Reference 8: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5579240-113959 Reference 9: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 30 -Section 45 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=6441202&loc=d3e80720-113993 Reference 10: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=7476318&loc=d3e41638-113959 Reference 11: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=7476318&loc=d3e41635-113959 Reference 12: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 133 -Paragraph 44 -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 13: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=7476318&loc=d3e41620-113959 Reference 14: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4D -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5624177-113959 Reference 15: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 25 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=6886632&loc=d3e76258-113986 Reference 16: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4H -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5624258-113959 Reference 17: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4J -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5708773-113959 Reference 18: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5580258-113959 Reference 19: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5624163-113959 Reference 20: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 133 -Paragraph 45 -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 21: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4A -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5618551-113959 Reference 22: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 30 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=7668309&loc=d3e80748-113994 + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration