Fair Value (Tables)

12 Months Ended

Dec. 31, 2015

Fair value hierarchy for recurring measurements table

The following table presents, 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 (in millions) that were measured at fair value on a recurring basis as of the periods indicated:



	December 31, 2015								December 31, 2014
	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Assets
AVAILABLE FOR SALE:
Debt securities:⁽¹⁾
Unsecured debentures	$	—	$	327	$	—	$	327	$	—	$	501	$	—	$	501
Certificates of deposit	—		135		—		135		—		151		—		151
Government debt securities	—		28		—		28		—		57		—		57
Subtotal	—		490		—		490		—		709		—		709
Equity securities:
Mutual funds	—		15		—		15		—		25		—		25
Subtotal	—		15		—		15		—		25		—		25
Total available for sale	—		505		—		505		—		734		—		734
TRADING:
Equity securities:
Mutual funds	15		—		—		15		15		—		—		15
Total trading	15		—		—		15		15		—		—		15
DERIVATIVES:
Foreign currency derivatives	—		35		292		327		—		18		218		236
Commodity derivatives	—		41		7		48		—		37		7		44
Total derivatives	—		76		299		375		—		55		225		280
TOTAL ASSETS	$	15	$	581	$	299	$	895	$	15	$	789	$	225	$	1,029
Liabilities
DERIVATIVES:
Interest rate derivatives	$	—	$	54	$	304	$	358	$	—	$	206	$	210	$	416
Cross currency derivatives	—		43		—		43		—		29		—		29
Foreign currency derivatives	—		41		15		56		—		43		9		52
Commodity derivatives	—		29		4		33		—		16		1		17
Total derivatives	—		167		323		490		—		294		220		514
TOTAL LIABILITIES	$	—	$	167	$	323	$	490	$	—	$	294	$	220	$	514

_____________________________


⁽¹⁾	Amortized cost approximated fair value at December 31, 2015 and 2014.

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, 2015 and 2014 (presented net by type of derivative in millions). 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, 2015	Interest Rate			Foreign Currency			Commodity			Total
Balance at January 1	$	(210	)	$	209		$	6		$	5
Total gains (losses) (realized and unrealized):
Included in earnings	(1		)	198			(1		)	196
Included in other comprehensive income - derivative activity	(31		)	—			—			(31		)
Included in other comprehensive income - foreign currency translation activity	9			(103		)	—			(94		)
Included in regulatory (assets) liabilities	—			—			(18		)	(18		)
Settlements	24			(7		)	16			33
Transfers of assets (liabilities) into Level 3	(95		)	(1		)	—			(96		)
Transfers of (assets) liabilities out of Level 3	—			(19		)	—			(19		)
Balance at December 31	$	(304	)	$	277		$	3		$	(24	)
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	$	—		$	187		$	(1	)	$	186



Year Ended December 31, 2014	Interest Rate			Foreign Currency			Commodity			Total
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

Significant unobservable inputs, recurring

The following table summarizes the significant unobservable inputs used for the Level 3 derivative assets (liabilities) as of December 31, 2015:



Type of Derivative	Fair Value			Unobservable Input	Amount or Range (Weighted Average)
	(in millions)
Interest rate	$	(304	)	Subsidiaries’ credit spreads	2.88%-8.88% (5.42%)
Foreign currency:
Argentine Peso	291			Argentine Peso to U.S. Dollar currency exchange rate after 1 year	17.51 - 35.44 (26.05)
Euro	(14		)	Subsidiary's credit spread	8.88	%
Commodity:
Other	3
Total	$	(24	)

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 (in millions):



	Measurement Date	Carrying Amount		Fair Value						Pretax Loss
Year Ended December 31, 2015	Measurement Date	Carrying Amount		Level 1		Level 2		Level 3		Pretax Loss
Assets
Long-lived assets held and used:⁽¹⁾
Kilroot	08/28/2015	$	191	$	—	$	—	$	70	$	121
Buffalo Gap III	09/30/2015	234		—		—		118		116
U.K. Wind (Development Projects)	06/30/2015	38		—		1		—		37
Other	Various	32		—		21		—		11
Equity method investments ⁽³⁾
Solar Spain	02/09/2015	29		—		—		29		—
Goodwill⁽⁵⁾
DP&L	10/01/2015	317		—		—		—		317



	Measurement Date	Carrying Amount		Fair Value						Pretax Loss
Year Ended December 31, 2014	Measurement Date	Carrying Amount		Level 1		Level 2		Level 3		Pretax Loss
Assets
Long-lived assets held and used:⁽¹⁾
DP&L (East Bend)	03/31/2014	$	14	$	—	$	2	$	—	$	12
Ebute	06/30/2014	99		—		—		47		52
Ebute	09/30/2014	51		—		—		36		15
U.K. Wind (Newfield)	06/06/2014	12		—		—		—		12
Discontinued operations:⁽²⁾
Cameroon businesses	03/31/2014	372		—		334		—		38
Equity method investments ⁽⁴⁾
Silver Ridge Power	06/30/2014	315		—		—		273		42
Entek	09/25/2014	211		—		125		—		86
Goodwill⁽⁵⁾
DPLER	02/28/2014	136		—		—		—		136
Buffalo Gap	03/31/2014	28		—		—		—		28

_____________________________


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


⁽²⁾	See Note 23—Discontinued Operations for further information. Fair value of long-lived assets held-for-sale is presented net of costs to sell.


⁽³⁾	See Note 8—Investments In and Advances to Affiliates for further information.


⁽⁴⁾	See Note 9—Other Non-Operating Expense for further information.


⁽⁵⁾	See Note 10—Goodwill and Other Intangible Assets 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 and equity method investments during the year ended December 31, 2015:



	Fair Value		Valuation Technique	Unobservable Input	Range (Weighted Average)
	(in millions)				($ in millions)
Long-lived assets held and used:
Kilroot	$	70	Discounted cash flow	Annual revenue growth	-88% to 6% (-7%)
				Annual pretax operating margin	-74% to 10% (0%)
				Weighted Average Cost of Capital	6%
Buffalo Gap	118		Discounted cash flow	Annual revenue growth	-2% to 19% (3%)
				Annual pretax operating margin	-282% to 58% (24%)
				Weighted Average Cost of Capital	9%
Equity method investment:
Solar Spain	29		Discounted cash flow	Annual revenue growth	-3% to 0% (0%)
				Annual pretax operating margin	-13% to 56% (24%)
				Cost of equity	12%
Total	$	217

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

The following table presents in millions 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, 2015 and 2014, but for which fair value is disclosed.



	Carrying Amount		Fair Value
	Carrying Amount		Total		Level 1		Level 2		Level 3
December 31, 2015
Assets
Accounts receivable — noncurrent⁽¹⁾	$	270	$	342	$	—	$	20	$	322
Liabilities
Non-recourse debt	15,792		15,939		—		13,672		2,267
Recourse debt	5,015		4,696		—		4,696		—
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		—

_____________________________


⁽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 $27 million and $36 million at December 31, 2015 and 2014, respectively.