Derivative Instruments

12 Months Ended

Dec. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The following table shows our derivative assets and derivative liabilities, along with their classification on our balance sheets. None of our derivatives are designated as hedging instruments, with the exception of our interest rate swaps, which have been designated as cash flow hedges.


	December 31, 2020				December 31, 2019
(in millions)	Derivative Assets		Derivative Liabilities		Derivative Assets		Derivative Liabilities
Other current
Natural gas contracts	$	13.0	$	12.9	$	3.4	$	21.8
FTRs	2.4		—		3.1		—
Coal contracts	1.6		0.8		0.2		0.2
Interest rate swaps	—		6.8		—		2.8
Total other current	17.0		20.5		6.7		24.8

Other long-term
Natural gas contracts	0.7		1.2		—		0.9
Coal contracts	0.2		0.4		0.2		—
Interest rate swaps	—		—		—		3.2
Total other long-term	0.9		1.6		0.2		4.1
Total	$	17.9	$	22.1	$	6.9	$	28.9

Realized gains (losses) on derivatives not designated as hedging instruments are primarily recorded in cost of sales on the income statements. Our estimated notional sales volumes and realized gains (losses) were as follows for the years ended:


	December 31, 2020			December 31, 2019			December 31, 2018
(in millions)	Volumes	Gains (Losses)		Volumes	Gains (Losses)		Volumes	Gains
Natural gas contracts	188.6 Dth	$	(54.1)	183.9 Dth	$	(27.1)	173.2 Dth	$	24.6
Petroleum products contracts	— gallons	—		— gallons	—		6.0 gallons	1.6
FTRs	29.8 MWh	4.1		31.2 MWh	16.3		30.5 MWh	15.9
Total		$	(50.0)		$	(10.8)		$	42.1

At December 31, 2020 and 2019, we had posted cash collateral of $18.9 million and $34.4 million, respectively, in our margin accounts.

The following table shows derivative assets and derivative liabilities if derivative instruments by counterparty were presented net on our balance sheets:


	December 31, 2020					December 31, 2019
(in millions)	Derivative Assets		Derivative Liabilities			Derivative Assets		Derivative Liabilities
Gross amount recognized on the balance sheet	$	17.9	$	22.1		$	6.9	$	28.9
Gross amount not offset on the balance sheet	(6.9)		(7.7)		(1)	(1.4)		(21.4)		(2)
Net amount	$	11.0	$	14.4		$	5.5	$	7.5

(1) Includes cash collateral posted of $0.8 million.

(2) Includes cash collateral posted of $20.0 million.

Cash Flow Hedges

As of December 31, 2020, we had two interest rate swaps with a combined notional value of $250.0 million to hedge the variable interest rate risk associated with our 2007 Junior Notes. The swaps provide a fixed interest rate of 4.9765% on $250.0 million of the $500.0 million of outstanding 2007 Junior Notes through November 15, 2021. As these swaps qualify for cash flow hedge accounting treatment, the related gains and losses are being deferred in accumulated other comprehensive loss and are being amortized to interest expense as interest is accrued on the 2007 Junior Notes.

We previously entered into forward interest rate swap agreements to mitigate the interest rate exposure associated with the issuance of long-term debt related to the acquisition of Integrys. These swap agreements were settled in 2015, and we continue to amortize amounts out of accumulated other comprehensive loss into interest expense over the periods in which the interest costs are recognized in earnings.

The table below shows the amounts related to these cash flow hedges recorded in other comprehensive loss and in earnings, along with our total interest expense on the income statements, for the years ended December 31:


(in millions)	2020		2019		2018
Derivative loss recognized in other comprehensive loss	$	(5.9)	$	(4.8)	$	(2.9)
Net derivative gain (loss) reclassified from accumulated other comprehensive loss to interest expense	(2.1)		1.1		1.6
Total interest expense line item on the income statements	493.7		501.5		445.1

We estimate that during the next twelve months $5.5 million will be reclassified from accumulated other comprehensive loss as an increase to interest expense.