XML 41 R27.htm IDEA: XBRL DOCUMENT v3.20.4
Fair Value Measurements
12 Months Ended
Dec. 31, 2020
Fair Value Disclosures [Abstract]  
FAIR VALUE MEASUREMENTS FAIR VALUE MEASUREMENTS
The following tables summarize our financial assets and liabilities that were accounted for at fair value on a recurring basis, categorized by level within the fair value hierarchy:
December 31, 2020
(in millions)Level 1Level 2Level 3Total
Derivative assets
Natural gas contracts$11.7 $2.0 $ $13.7 
FTRs  2.4 2.4 
Coal contracts 1.8  1.8 
Total derivative assets$11.7 $3.8 $2.4 $17.9 
Investments held in rabbi trust $79.6 $ $ $79.6 
Derivative liabilities
Natural gas contracts$7.7 $6.4 $ $14.1 
Coal contracts 1.2  1.2 
Interest rate swaps 6.8  6.8 
Total derivative liabilities$7.7 $14.4 $ $22.1 
December 31, 2019
(in millions)Level 1Level 2Level 3Total
Derivative assets
Natural gas contracts$1.4 $2.0 $— $3.4 
FTRs— — 3.1 3.1 
Coal contracts— 0.4 — 0.4 
Total derivative assets$1.4 $2.4 $3.1 $6.9 
Investments held in rabbi trust $85.3 $— $— $85.3 
Derivative liabilities
Natural gas contracts$21.4 $1.3 $— $22.7 
Coal contracts— 0.2 — 0.2 
Interest rate swaps— 6.0 — 6.0 
Total derivative liabilities$21.4 $7.5 $— $28.9 

The derivative assets and liabilities listed in the tables above include options, swaps, futures, physical commodity contracts, and other instruments used to manage market risks related to changes in commodity prices and interest rates. They also include FTRs, which are used to manage electric transmission congestion costs in the MISO Energy Markets.

We hold investments in the Integrys rabbi trust. These investments are restricted as they can only be withdrawn from the trust to fund participants' benefits under the Integrys deferred compensation plan and certain Integrys non-qualified pension plans. These investments are included in other long-term assets on our balance sheets. For the years ended December 31, 2020 and 2019, the net unrealized gains included in earnings related to the investments held at the end of the period were $6.3 million and $18.7 million, respectively. The net unrealized gains included in earnings for the year ended December 31, 2018 were not significant.

The following table summarizes the changes to derivatives classified as Level 3 in the fair value hierarchy at December 31:
(in millions)202020192018
Balance at the beginning of the period$3.1 $7.4 $4.4 
Purchases7.6 12.8 18.4 
Settlements(8.3)(17.1)(15.4)
Balance at the end of the period$2.4 $3.1 $7.4 

Fair Value of Financial Instruments

The following table shows the financial instruments included on our balance sheets that are not recorded at fair value at December 31:
20202019
(in millions)Carrying AmountFair ValueCarrying AmountFair Value
Preferred stock of subsidiary$30.4 $32.3 $30.4 $29.5 
Long-term debt, including current portion (1)
12,450.5 14,343.2 11,858.3 13,035.9 

(1)    The carrying amount of long-term debt excludes finance lease obligations of $63.4 million and $45.9 million at December 31, 2020 and 2019, respectively.

The fair values of our long-term debt and preferred stock are categorized within Level 2 of the fair value hierarchy.