Risk Management Activities | 9 Months Ended |
Sep. 30, 2013 |
Derivative Instruments and Hedges, Assets [Abstract] | ' |
Risk Management And Energy Marketing Activities | ' |
Risk Management Activities |
NiSource is exposed to certain risks relating to its ongoing business operations. The primary risks managed by using derivative instruments are commodity price risk and interest rate risk. Derivative natural gas contracts are entered into to manage the price risk associated with natural gas price volatility and to secure forward natural gas prices. Interest rate swaps are entered into to manage interest rate risk or fair value risk associated with NiSource’s borrowings. NiSource designates some of its commodity forward contracts as cash flow hedges of forecasted purchases of commodities and designates its interest rate swaps as fair value hedges of fixed-rate borrowings. Additionally, certain NiSource subsidiaries enter into forward physical contracts with various third parties to procure or sell natural gas or power. Certain forward physical contracts are derivatives which qualify for, and for which NiSource may elect, the normal purchase and normal sales exception which do not require mark-to-market accounting. |
Accounting Policy for Derivative Instruments. The ASC topic on accounting for derivatives and hedging requires an entity to recognize all derivatives as either assets or liabilities on the Condensed Consolidated Balance Sheets (unaudited) at fair value, unless such contracts are exempted, such as normal purchase and normal sale contracts under the provisions of the ASC topic. The accounting for changes in the fair value of a derivative depends on the intended use of the derivative and resulting designation. |
NiSource uses a variety of derivative instruments (exchange traded futures and options, physical forwards and options, commodity swaps, and interest rate swaps) to effectively manage its commodity price risk and interest rate risk exposure. If certain conditions are met, a derivative may be specifically designated as (a) a hedge of the exposure to changes in the fair value of a recognized asset or liability or an unrecognized firm commitment, or (b) a hedge of the exposure to variable cash flows of a forecasted transaction. In order for a derivative contract to be designated as a hedge, the relationship between the hedging instrument and the hedged item or transaction must be highly effective. The effectiveness test is performed at the inception of the hedge and each reporting period thereafter, throughout the period that the hedge is designated. Any amounts determined to be ineffective are recognized currently in earnings. For derivative contracts that qualify for the normal purchase and normal sales exception, a contract’s fair value is not recognized in the Condensed Consolidated Financial Statements (unaudited) until the contract is settled. |
Unrealized and realized gains and losses are recognized each period as components of AOCI, regulatory assets and liabilities or earnings depending on the designation of the derivative instrument and regulatory accounting treatment. For subsidiaries that utilize derivatives for cash flow hedges, the effective portions of the gains and losses are recorded to AOCI and are recognized in earnings concurrent with the disposition of the hedged risks. If a forecasted transaction corresponding to a cash flow hedge is no longer probable to occur, the accumulated gains or losses on the derivative are recognized currently in earnings. For fair value hedges, the gains and losses are recorded in earnings each period together with the change in the fair value of the hedged item. As a result of the rate-making process, the rate-regulated subsidiaries generally record gains and losses as regulatory liabilities or assets and recognize such gains or losses in earnings when both the contracts settle and the physical commodity flows. These gains and losses recognized in earnings are then subsequently recovered or passed back to customers in revenues through rates. When gains and losses are recognized in earnings, they are recognized in revenues or cost of sales for derivatives that correspond to commodity risk activities and are recognized in interest expense for derivatives that correspond to interest-rate risk activities. |
For its commodity price risk programs, NiSource has elected not to net the fair value amounts of its derivative instruments or the fair value amounts recognized for its right to receive or obligation to pay cash collateral arising from those derivative instruments recognized at fair value, which are executed with the same counterparty under a master netting arrangement. NiSource discloses amounts recognized for the right to reclaim cash collateral within “Restricted cash” and amounts recognized for the obligation to return cash collateral within “Other accruals” on the Condensed Consolidated Balance Sheets (unaudited). |
Commodity Price Risk Programs. NiSource and NiSource’s utility customers are exposed to variability in cash flows associated with natural gas purchases and volatility in natural gas prices. NiSource purchases natural gas for sale and delivery to its retail, commercial and industrial customers, and for most customers the variability in the market price of gas is passed through in their rates. Some of NiSource’s utility subsidiaries offer programs where variability in the market price of gas is assumed by the respective utility. The objective of NiSource’s commodity price risk programs is to mitigate this gas cost variability, for NiSource or on behalf of its customers, associated with natural gas purchases or sales by economically hedging the various gas cost components by using a combination of futures, options, forward physical contracts or other derivative contracts. Northern Indiana also uses derivative contracts to minimize risk associated with power price volatility. These commodity price risk programs and their respective accounting treatment are described below. |
Northern Indiana, Columbia of Pennsylvania, Columbia of Kentucky and Columbia of Virginia use NYMEX futures and NYMEX options to minimize risk associated with gas price volatility. These derivative programs must be marked to fair value, but because these derivatives are used within the framework of the companies’ GCR or FAC mechanism, regulatory assets or liabilities are recorded to offset the change in the fair value of these derivatives. |
Northern Indiana and Columbia of Virginia offer a fixed price program as an alternative to the standard GCR mechanism. These services provide certain customers with the opportunity to either lock in their gas cost or place a cap on the gas costs that would be charged in future months. In order to hedge the anticipated physical purchases associated with these obligations, forward physical contracts, NYMEX futures and NYMEX options are used to secure forward gas prices. The accounting treatment elected for these contracts is varied in that certain of these contracts have been accounted for as cash flow hedges while some contracts are not. The accounting treatment is based on the election of the company. The normal purchase and normal sales exception is elected for forward physical contracts associated with these programs where delivery of the commodity is probable to occur. |
Northern Indiana also offers a DependaBill program to its customers as an alternative to the standard tariff rate that is charged to residential customers. The program allows Northern Indiana customers to fix their total monthly bill in future months at a flat rate regardless of gas usage or commodity cost. In order to hedge the anticipated physical purchases associated with these obligations, forward physical contracts, NYMEX futures and NYMEX options have been used to secure forward gas prices. The normal purchase and normal sales exception is elected for forward physical contracts associated with these programs where delivery of the commodity is probable to occur. |
Northern Indiana enters into gas purchase contracts at first of the month prices that give counterparties the daily option to either sell an additional package of gas at first of the month prices or recall the original volume to be delivered. Northern Indiana charges a fee for this option. The changes in the fair value of these options are primarily due to the changing expectations of the future intra-month volatility of gas prices. These written options are derivative instruments, must be marked to fair value and do not meet the requirement for hedge accounting treatment. However, Northern Indiana records the related gains and losses associated with these transactions as a regulatory asset or liability. |
Columbia of Kentucky, Columbia of Ohio and Columbia of Pennsylvania enter into contracts that allow counterparties the option to sell gas to them at first of the month prices for a particular month of delivery. These Columbia LDCs charge the counterparties a fee for this option. The changes in the fair value of the options are primarily due to the changing expectations of the future intra-month volatility of gas prices. These Columbia LDCs defer a portion of the change in the fair value of the options as either a regulatory asset or liability based on the regulatory customer sharing mechanisms in place, with the remaining changes in fair value recognized currently in earnings. |
As part of the MISO Day 2 initiative, Northern Indiana was allocated or has purchased FTRs. These FTRs help Northern Indiana offset congestion costs due to the MISO Day 2 activity. The FTRs are marked to fair value and are not accounted for as a hedge, but since congestion costs are recoverable through the fuel cost recovery mechanism, the related gains and losses associated with marking these derivatives to market are recorded as a regulatory asset or liability. In the second quarter of 2008, MISO changed its allocation procedures from an allocation of FTRs to an allocation of ARRs, whereby Northern Indiana was allocated ARRs based on its historical use of the MISO administered transmission system. ARRs entitle the holder to a stream of revenues or charges based on the price of the associated FTR in the FTR auction, so ARRs can be used to purchase FTRs in the FTR auction. ARRs are not derivatives. |
On September 1, 2013, NiSource sold the commercial and industrial natural gas portfolio of its unregulated natural gas marketing business. The sale included the physical contracts and associated financial hedges that comprise the portfolio, as well as the gas inventory and customer deposits of the business. The physical sales contracts marked-to-market had a fair value of approximately $35.4 million at December 31, 2012, while the financial derivative contracts marked-to-market had a fair value loss of $33.2 million at December 31, 2012. These amounts have been reclassified to held for sale as of December 31, 2012. Refer to Note 4, "Discontinued Operations and Assets and Liabilities Held for Sale" for additional information regarding the transaction. |
Commodity price risk program derivative contracted gross volumes are as follows: |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| September 30, 2013 | | December 31, 2012 | | | | | | | | | | | | | | |
Commodity Price Risk Program: | | | | | | | | | | | | | | | | | |
Gas price volatility program derivatives (MMDth) | 25.8 | | | 26.3 | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Price Protection Service program derivatives (MMDth) | 1 | | | 1.2 | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
DependaBill program derivatives (MMDth) | 0.3 | | | 0.3 | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Gas marketing program derivatives (MMDth)(1)(3) | — | | | 9.1 | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Gas marketing forward physical derivatives (MMDth)(2)(3) | — | | | 8.4 | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Electric energy program FTR derivatives (mw) | 1,218.20 | | | 8,927.30 | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | |
(1) Basis contract volumes not included in the above table were 8.2 MMDth as of December 31, 2012. |
(2) Basis contract volumes not included in the above table were 9.2 MMDth as of December 31, 2012. |
(3) Contract volumes are from NiSource's unregulated natural gas marketing business that was sold on September 1, 2013. |
Interest Rate Risk Activities. NiSource recognizes that the prudent and selective use of derivatives may help it to lower its cost of debt capital and manage its interest rate exposure. NiSource Finance has entered into various “receive fixed” and “pay floating” interest rate swap agreements which modify the interest rate characteristics of a portion of its outstanding long-term debt from fixed to variable rate. These interest rate swaps also serve to hedge the fair market value of NiSource Finance’s outstanding debt portfolio. As of September 30, 2013, NiSource had $7.2 billion of outstanding fixed rate debt, of which $500 million is subject to fluctuations in interest rates as a result of the fixed-to-variable interest rate swap transactions. These interest rate swaps are designated as fair value hedges. NiSource had no net gain or loss recognized in earnings due to hedging ineffectiveness for the nine months ended September 30, 2013 and 2012. |
On July 22, 2003, NiSource Finance entered into fixed-to-variable interest rate swap agreements in a notional amount of $500 million with four counterparties which will expire on July 15, 2014. NiSource Finance receives payments based upon a fixed 5.40% interest rate and pays a floating interest amount based on U.S. 6-month BBA LIBOR plus an average of 0.78% per annum. There was no exchange of premium at the initial date of the swaps. |
Contemporaneously with the issuance on September 16, 2005 of $1 billion of its 5.25% and 5.45% notes, maturing September 15, 2017 and 2020, respectively, NiSource Finance settled $900 million of forward starting interest rate swap agreements with six counterparties. NiSource paid an aggregate settlement payment of $35.5 million which is being amortized from AOCI to interest expense over the term of the underlying debt, resulting in an effective interest rate of 5.67% and 5.88%, respectively. As of September 30, 2013, AOCI includes $8.6 million related to forward starting interest rate swap settlement, net of tax. These derivative contracts are accounted for as a cash flow hedge. |
As of September 30, 2013, NiSource holds a 47.5% interest in Millennium. As NiSource reports Millennium as an equity method investment, NiSource is required to recognize a proportional share of Millennium’s OCI. NiSource’s proportionate share of the remaining unrecognized loss associated with settled interest rate swaps is $17.9 million, net of tax, as of September 30, 2013. Millennium is amortizing the losses related to these terminated interest rate swaps into earnings using the effective interest method through interest expense as interest payments are made. NiSource records its proportionate share of the amortization as Equity Earnings in Unconsolidated Affiliates in the Condensed Statements of Consolidated Income (unaudited). |
NiSource’s location and fair value of derivative instruments on the Condensed Consolidated Balance Sheets (unaudited) were: |
|
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
Asset Derivatives (in millions) | September 30, | | December 31, | | | | | | | | | | | | |
2013 | 2012 | | | | | | | | | | | | |
Balance Sheet Location | Fair Value | | Fair Value | | | | | | | | | | | | |
Derivatives designated as hedging instruments | | | | | | | | | | | | | | | |
Interest rate risk activities | | | | | | | | | | | | | | | |
Price risk management assets (current) | $ | 21 | | | $ | — | | | | | | | | | | | | | |
| | | | | | | | | | | |
Price risk management assets (noncurrent) | — | | | 40.4 | | | | | | | | | | | | | |
| | | | | | | | | | | |
Total derivatives designated as hedging instruments | $ | 21 | | | $ | 40.4 | | | | | | | | | | | | | |
| | | | | | | | | | | |
Derivatives not designated as hedging instruments | | | | | | | | | | | | | | | |
Commodity price risk programs | | | | | | | | | | | | | | | |
Price risk management assets (current) | $ | 0.1 | | | $ | 0.5 | | | | | | | | | | | | | |
| | | | | | | | | | | |
Price risk management assets (noncurrent) | — | | | 0.3 | | | | | | | | | | | | | |
| | | | | | | | | | | |
Assets held for sale (current)(1) | — | | | 107 | | | | | | | | | | | | | |
| | | | | | | | | | | |
Total derivatives not designated as hedging instruments | $ | 0.1 | | | $ | 107.8 | | | | | | | | | | | | | |
| | | | | | | | | | | |
Total Asset Derivatives | $ | 21.1 | | | $ | 148.2 | | | | | | | | | | | | | |
| | | | | | | | | | | |
|
(1) Prior to the classification as "Assets held for sale," $15.3 million was classified as noncurrent. |
|
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
Liability Derivatives (in millions) | September 30, | | December 31, | | | | | | | | | | | | |
2013 | 2012 | | | | | | | | | | | | |
Balance Sheet Location | Fair Value | | Fair Value | | | | | | | | | | | | |
Derivatives designated as hedging instruments | | | | | | | | | | | | | | | |
Commodity price risk programs | | | | | | | | | | | | | | | |
Price risk management liabilities (current) | $ | 0.1 | | | $ | 0.1 | | | | | | | | | | | | | |
| | | | | | | | | | | |
Price risk management liabilities (noncurrent) | — | | | — | | | | | | | | | | | | | |
| | | | | | | | | | | |
Total derivatives designated as hedging instruments | $ | 0.1 | | | $ | 0.1 | | | | | | | | | | | | | |
| | | | | | | | | | | |
Derivatives not designated as hedging instruments | | | | | | | | | | | | | | | |
Commodity price risk programs | | | | | | | | | | | | | | | |
Price risk management liabilities (current) | $ | 8.7 | | | $ | 8.1 | | | | | | | | | | | | | |
| | | | | | | | | | | |
Price risk management liabilities (noncurrent) | 1.5 | | | 2.6 | | | | | | | | | | | | | |
| | | | | | | | | | | |
Liabilities held for sale (current)(2) | — | | | 104.7 | | | | | | | | | | | | | |
| | | | | | | | | | | |
Total derivatives not designated as hedging instruments | $ | 10.2 | | | $ | 115.4 | | | | | | | | | | | | | |
| | | | | | | | | | | |
Total Liability Derivatives | $ | 10.3 | | | $ | 115.5 | | | | | | | | | | | | | |
| | | | | | | | | | | |
|
(2) Prior to the classification as "Liabilities held for sale," $17.7 million was classified as noncurrent. |
|
As noted in NiSource's accounting policy for derivative instruments, above, for its commodity price risk programs, NiSource has elected not to net fair value amounts for its derivative instruments or the fair value amounts recognized for its right to receive cash collateral or obligation to pay cash collateral arising from those derivative instruments recognized at fair value, which are executed with the same counterparty under a master netting arrangement. |
|
The tables below represent the amounts subject to an enforceable master netting arrangement not otherwise disclosed: |
|
| | | | | | | | | | | | | | | | | | | |
Offsetting of Derivative Assets (in millions) |
As of September 30, 2013 | | | | | | | | |
| Gross Amounts of Recognized Assets | | Gross Amounts Offset in the Statement of Financial Position | | Net Amounts of Assets Presented in the Statement of Financial Position | | Gross Amounts Not Offset in the Statement in the Statement of Financial Position | | Net Amount |
| | | | |
| | | | |
Counterparty A (1) | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
|
| | | | | | | | | |
Counterparty B | 0.1 | | | — | | | 0.1 | | | (10.3 | ) | | (10.2 | ) |
|
| | | | | | | | | |
Other (2) | 21 | | | — | | | 21 | | | — | | | 21 | |
|
| | | | | | | | | |
Total | $ | 21.1 | | | $ | — | | | $ | 21.1 | | | $ | (10.3 | ) | | $ | 10.8 | |
|
|
| | | | | | | | | | | | | | | | | | | |
Offsetting of Derivative Liabilities (in millions) |
As of September 30, 2013 | | | | | | | | |
| Gross Amounts of Recognized Liabilities | | Gross Amounts Offset in the Statement of Financial Position | | Net Amounts of Liabilities Presented in the Statement of Financial Position | | Gross Amounts Not Offset in the Statement in the Statement of Financial Position | | Net Amount |
| | | | |
| | | | |
Counterparty A (1) | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
|
| | | | | | | | | |
Counterparty B | (10.3 | ) | | — | | | (10.3 | ) | | 10.3 | | | — | |
|
| | | | | | | | | |
Other (2) | — | | | — | | | — | | | — | | | — | |
|
| | | | | | | | | |
Total | $ | (10.3 | ) | | $ | — | | | $ | (10.3 | ) | | $ | 10.3 | | | $ | — | |
|
|
| | | | | | | | | | | | | | | | | | | |
Offsetting of Derivative Assets (in millions) |
As of December 31, 2012 |
| Gross Amounts of Recognized Assets | | Gross Amounts Offset in the Statement of Financial Position | | Net Amounts of Assets Presented in the Statement of Financial Position | | Gross Amounts Not Offset in the Statement in the Statement of Financial Position | | Net Amount |
| | | | |
| | | | |
Counterparty A (1) | $ | 71.8 | | | $ | — | | | $ | 71.8 | | | $ | (71.8 | ) | | $ | — | |
|
| | | | | | | | | |
Counterparty B | 0.9 | | | — | | | 0.9 | | | (0.9 | ) | | — | |
|
| | | | | | | | | |
Other (2) | 75.5 | | | — | | | 75.5 | | | — | | | 75.5 | |
|
| | | | | | | | | |
Total | $ | 148.2 | | | $ | — | | | $ | 148.2 | | | $ | (72.7 | ) | | $ | 75.5 | |
|
|
| | | | | | | | | | | | | | | | | | | |
Offsetting of Derivative Liabilities (in millions) |
As of December 31, 2012 |
| Gross Amounts of Recognized Liabilities | | Gross Amounts Offset in the Statement of Financial Position | | Net Amounts of Liabilities Presented in the Statement of Financial Position | | Gross Amounts Not Offset in the Statement in the Statement of Financial Position | | Net Amount |
| | | | |
| | | | |
Counterparty A (1) | $ | (103.4 | ) | | $ | — | | | $ | (103.4 | ) | | $ | 71.8 | | | $ | (31.6 | ) |
|
| | | | | | | | | |
Counterparty B | (10.8 | ) | | — | | | (10.8 | ) | | 0.9 | | | (9.9 | ) |
|
| | | | | | | | | |
Other (2) | (1.3 | ) | | — | | | (1.3 | ) | | — | | | (1.3 | ) |
|
| | | | | | | | | |
Total | $ | (115.5 | ) | | $ | — | | | $ | (115.5 | ) | | $ | 72.7 | | | $ | (42.8 | ) |
|
(1) Amounts in "Counterparty A" are balances from the commercial and industrial natural gas portfolio of NiSource's unregulated natural gas marketing business which was sold on September 1, 2013, and are included in assets and liabilities held for sale. Refer to Note 4, "Discontinued Operations and Assets and Liabilities Held for Sale" for additional information regarding the transaction. |
(2) Amounts in "Other" include physical positions with counterparties that are part of NiSource's unregulated natural gas marketing business as well as fixed-to-variable interest rate swap agreements entered into by NiSource. |
The effect of derivative instruments on the Condensed Statements of Consolidated Income (unaudited) was: |
Derivatives in Cash Flow Hedging Relationships |
| | |
| | | | | | | | | | | | | | | | | | | |
Three Months Ended (in millions) | | | | | | | | | | |
| Amount of Gain | | Location of Loss | | Amount of Loss | | |
Recognized in OCI on | Reclassified from AOCI | Reclassified from AOCI | | |
Derivative (Effective | into Income (Effective | into Income (Effective | | |
Portion) | Portion) | Portion) | | |
Derivatives in Cash Flow | September 30, | | September 30, 2012 | | | | September 30, | | September 30, 2012 | | |
Hedging Relationships | 2013 | | 2013 | | |
Commodity price risk programs | $ | — | | | $ | 0.2 | | | Cost of Sales | | $ | — | | | $ | — | | | |
| |
Interest rate risk activities | — | | | 0.4 | | | Interest expense, net | | (0.4 | ) | | (0.7 | ) | | |
| |
Total | $ | — | | | $ | 0.6 | | | | | $ | (0.4 | ) | | $ | (0.7 | ) | | |
| |
| | | | | | | | | | | |
Nine Months Ended (in millions) | | | | | | | | | | |
| Amount of Gain | | Location of Gain (Loss) | | Amount of Gain (Loss) | | |
Recognized in OCI on | Reclassified from AOCI | Reclassified from AOCI | | |
Derivative (Effective | into Income (Effective | into Income (Effective | | |
Portion) | Portion) | Portion) | | |
Derivatives in Cash Flow | September 30, | | September 30, 2012 | | | September 30, | | September 30, 2012 | | |
Hedging Relationships | 2013 | | 2013 | | |
Commodity price risk programs | $ | — | | | $ | 0.8 | | | Cost of Sales | | $ | 0.1 | | | $ | (0.8 | ) | | |
| |
Interest rate risk activities | — | | | 1.2 | | | Interest expense, net | | (1.2 | ) | | (2.0 | ) | | |
| |
Total | $ | — | | | $ | 2 | | | | | $ | (1.1 | ) | | $ | (2.8 | ) | | |
| |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
There was no income statement recognition of gains or losses for the ineffective portion and amounts excluded from effectiveness testing for derivatives in cash flow hedging relationships for the three and nine months ended September 30, 2013 and 2012. |
It is anticipated that during the next twelve months the expiration and settlement of cash flow hedge contracts will result in income statement recognition of amounts currently classified in AOCI of approximately $0.1 million of loss, net of taxes. |
Derivatives in Fair Value Hedging Relationships |
|
| | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
Three Months Ended (in millions) | | | | | | | | | | | | | | | |
Derivatives in Fair Value Hedging | Location of Loss Recognized in | | Amount of Loss Recognized | | | | | | | | | | |
Relationships | Income on Derivatives | in Income on Derivatives | | | | | | | | | | |
| | September 30, 2013 | | September 30, 2012 | | | | | | | | | | |
Interest rate risk activities | Interest expense, net | | $ | (9.9 | ) | | $ | (8.3 | ) | | | | | | | | | | |
Total | | | $ | (9.9 | ) | | $ | (8.3 | ) | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Nine Months Ended (in millions) | | | | | | | | | | | | | | |
Derivatives in Fair Value Hedging | Location of Loss Recognized in | | Amount of Loss Recognized | | | | | | | | | | |
Relationships | Income on Derivatives | in Income on Derivatives | | | | | | | | | | |
| | September 30, 2013 | | September 30, 2012 | | | | | | | | | | |
Interest rate risk activities | Interest expense, net | | $ | (19.4 | ) | | $ | (16.5 | ) | | | | | | | | | | |
Total | | | $ | (19.4 | ) | | $ | (16.5 | ) | | | | | | | | | | |
|
| | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
Three Months Ended (in millions) | | | | | | | | | | | | | | | |
Hedged Item in Fair Value Hedge | Location of Gain Recognized in | | Amount of Gain Recognized | | | | | | | | | | |
Relationships | Income on Related Hedged Item | in Income on Related Hedged Items | | | | | | | | | | |
| | September 30, 2013 | | September 30, 2012 | | | | | | | | | | |
Fixed-rate debt | Interest expense, net | | $ | 9.9 | | | $ | 8.3 | | | | | | | | | | | |
| | | | | | | | | |
Total | | | $ | 9.9 | | | $ | 8.3 | | | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | | | | | | | |
Nine Months Ended (in millions) | | | | | | | | | | | | | | |
Hedged Item in Fair Value Hedge | Location of Gain Recognized in | | Amount of Gain Recognized | | | | | | | | | | |
Relationships | Income on Related Hedged Item | in Income on Related Hedged Items | | | | | | | | | | |
| | September 30, 2013 | | September 30, 2012 | | | | | | | | | | |
Fixed-rate debt | Interest expense, net | | $ | 19.4 | | | $ | 16.5 | | | | | | | | | | | |
| | | | | | | | | |
Total | | | $ | 19.4 | | | $ | 16.5 | | | | | | | | | | | |
| | | | | | | | | |
Derivatives not designated as hedging instruments |
|
| | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
Three Months Ended (in millions) | | | | | | | | | | | | | | |
Derivatives Not Designated as Hedging | Location of Gain (Loss) | | Amount of Realized/Unrealized Gain | | | | | | | | | | |
Instruments | Recognized in | (Loss) Recognized in Income on | | | | | | | | | | |
| Income on Derivatives | Derivatives * | | | | | | | | | | |
| | September 30, 2013 | | September 30, 2012 | | | | | | | | | | |
Commodity price risk programs | Gas Distribution revenues | | $ | — | | | $ | — | | | | | | | | | | | |
| | | | | | | | | |
Commodity price risk programs | Other revenues | | — | | | — | | | | | | | | | | | |
| | | | | | | | | |
Commodity price risk programs | Cost of Sales | | 6.6 | | | 6.8 | | | | | | | | | | | |
| | | | | | | | | |
Commodity price risk programs | (Loss) Income from Discontinued Operations - net of taxes | | (1.2 | ) | | 0.6 | | | | | | | | | | | |
| | | | | | | | | |
Total | | | $ | 5.4 | | | $ | 7.4 | | | | | | | | | | | |
| | | | | | | | | |
* For the amounts of realized/unrealized gain (loss) recognized in income on derivatives disclosed in the table above, gains of $6.7 million and $6.8 million for the three months ended September 30, 2013 and 2012, respectively, were deferred as allowed per regulatory orders. These amounts will be amortized to income over future periods of up to twelve months as specified in a regulatory order. |
|
| | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
Nine Months Ended (in millions) | | | | | | | | | | | | | | |
Derivatives Not Designated as Hedging | Location of Gain (Loss) | | Amount of Realized/Unrealized Gain | | | | | | | | | | |
Instruments | Recognized in | (Loss) Recognized in Income on | | | | | | | | | | |
| Income on Derivatives | Derivatives * | | | | | | | | | | |
| | September 30, 2013 | | September 30, 2012 | | | | | | | | | | |
Commodity price risk programs | Gas Distribution revenues | | $ | — | | | $ | 0.3 | | | | | | | | | | | |
| | | | | | | | | |
Commodity price risk programs | Other revenues | | — | | | — | | | | | | | | | | | |
| | | | | | | | | |
Commodity price risk programs | Cost of Sales | | 7.5 | | | (8.6 | ) | | | | | | | | | | |
| | | | | | | | | |
Commodity price risk programs | (Loss) Income from Discontinued Operations - net of taxes | | (0.8 | ) | | 2.8 | | | | | | | | | | | |
| | | | | | | | | |
Total | | | $ | 6.7 | | | $ | (5.5 | ) | | | | | | | | | | |
| | | | | | | | | |
* For the amounts of realized/unrealized gain (loss) recognized in income on derivatives disclosed in the table above, a gain of $7.6 million for the nine months ended September 30, 2013 and a loss of $8.3 million for the nine months ended 2012 were deferred as allowed per regulatory orders. These amounts will be amortized to income over future periods of up to twelve months as specified in a regulatory order. |
|
NiSource’s derivative instruments measured at fair value as of September 30, 2013 and December 31, 2012 do not contain any credit-risk-related contingent features. |
Certain NiSource affiliates have physical commodity purchase agreements that contain “ratings triggers” that require increases in collateral if the credit rating of NiSource or certain of its affiliates are rated below BBB- by Standard & Poor’s or below Baa3 by Moody’s. These agreements are primarily for the physical purchase or sale of natural gas and electricity. The collateral requirement from a downgrade below the ratings trigger levels would amount to approximately $0.8 million. In addition to agreements with ratings triggers, there are some agreements that contain “adequate assurance” or “material adverse change” provisions that could result in additional credit support such as letters of credit and cash collateral to transact business. |
NiSource had $13.5 million and $45.7 million of cash on deposit with brokers for margin requirements associated with open derivative positions reflected within “Restricted cash” on the Condensed Consolidated Balance Sheets (unaudited) as of September 30, 2013 and December 31, 2012, respectively. |