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Fair Value | 3 Months Ended
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Mar. 31, 2017
Fair Value Disclosures [Abstract] |
Fair Value | Fair Value A. Fair Value Measurements Recurring Fair Value Measurements. The following tables present financial assets and liabilities measured and recorded at fair value on NiSource’s Condensed Consolidated Balance Sheets (unaudited) on a recurring basis and their level within the fair value hierarchy as of March 31, 2017 and December 31, 2016:
Recurring Fair Value Measurements March 31, 2017 (in millions) | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Balance as of March 31, 2017
Assets |  |  |  |  |  |  |
Risk management assets | $ | 1.5 |  |  | $ | 37.0 |  |  | $ | 0.4 |  |  | $ | 38.9 |
Available-for-sale securities | — |  |  | 128.2 |  |  | — |  |  | 128.2 |
Total | $ | 1.5 |  |  | $ | 165.2 |  |  | $ | 0.4 |  |  | $ | 167.1 |
Liabilities |  |  |  |  |  |  |
Risk management liabilities | $ | 1.8 |  |  | $ | 63.5 |  |  | $ | — |  |  | $ | 65.3 |
Total | $ | 1.8 |  |  | $ | 63.5 |  |  | $ | — |  |  | $ | 65.3 |
Recurring Fair Value Measurements December 31, 2016 (in millions) | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Balance as of December 31, 2016
Assets |  |  |  |  |  |  |
Risk management assets | $ | 5.4 |  |  | $ | 43.6 |  |  | $ | — |  |  | $ | 49.0 |
Available-for-sale securities | — |  |  | 131.5 |  |  | — |  |  | 131.5 |
Total | $ | 5.4 |  |  | $ | 175.1 |  |  | $ | — |  |  | $ | 180.5 |
Liabilities |  |  |  |  |  |  |
Risk management liabilities | $ | 1.2 |  |  | $ | 58.9 |  |  | $ | 1.2 |  |  | $ | 61.3 |
Total | $ | 1.2 |  |  | $ | 58.9 |  |  | $ | 1.2 |  |  | $ | 61.3 |
Risk management assets and liabilities include interest rate swaps, exchange-traded NYMEX futures and NYMEX options and non-exchange-based forward purchase contracts. Exchange-traded derivative contracts are based on unadjusted quoted prices in active markets and are classified within Level 1. These financial assets and liabilities are secured with cash on deposit with the exchange; therefore, nonperformance risk has not been incorporated into these valuations. Certain non-exchange-traded derivatives are valued using broker or over-the-counter, on-line exchanges. In such cases, these non-exchange-traded derivatives are classified within Level 2. Non-exchange-based derivative instruments include swaps, forwards and options. In certain instances, these instruments may utilize models to measure fair value. NiSource uses a similar model to value similar instruments. Valuation models utilize various inputs that include quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, other observable inputs for the asset or liability and market-corroborated inputs, (i.e., inputs derived principally from or corroborated by observable market data by correlation or other means). Where observable inputs are available for substantially the full term of the asset or liability, the instrument is categorized within Level 2. Certain derivatives trade in less active markets with a lower availability of pricing information and models may be utilized in the valuation. When such inputs have a significant impact on the measurement of fair value, the instrument is categorized within Level 3. Credit risk is considered in the fair value calculation of derivative instruments that are not exchange-traded. Credit exposures are adjusted to reflect collateral agreements which reduce exposures. As of March 31, 2017 and December 31, 2016, there were no material transfers between fair value hierarchies. Additionally, there were no changes in the method or significant assumptions used to estimate the fair value of NiSource’s financial instruments. NiSource Finance has entered into forward-starting interest rate swaps to hedge the interest rate risk on coupon payments of forecasted issuances of long-term debt. These swaps are designated as cash flow hedges. Credit risk is considered in the fair value calculation of each interest rate swap. As they are based on observable data and valuations of similar instruments, the interest rate swaps are categorized within Level 2 of the fair value hierarchy. There was no exchange of premium at the initial date of the swaps, and NiSource can settle the swaps at any time. For additional information see Note 6, "Risk Management Activities." Available-for-sale securities are investments pledged as collateral for trust accounts related to NiSource’s wholly-owned insurance company. Available-for-sale securities are included within “Other investments” in the Condensed Consolidated Balance Sheets (unaudited). NiSource values U.S. Treasury, corporate debt and mortgage-backed securities using a matrix pricing model that incorporates market-based information. These securities trade less frequently and are classified within Level 2. Total unrealized gains and losses from available-for-sale securities are included in other comprehensive income (loss). The amortized cost, gross unrealized gains and losses and fair value of available-for-sale securities at March 31, 2017 and December 31, 2016 were:
March 31, 2017 (in millions) | Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Fair Value
Available-for-sale securities |  |  |  |  |  |  |
U.S. Treasury debt securities | $ | 33.8 |  |  | $ | — |  |  | $ | (0.1 | ) |  | $ | 33.7 |
Corporate/Other debt securities | 94.8 |  |  | 0.4 |  |  | (0.7 | ) |  | 94.5 |
Total | $ | 128.6 |  |  | $ | 0.4 |  |  | $ | (0.8 | ) |  | $ | 128.2 |
December 31, 2016 (in millions) | Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Fair Value
Available-for-sale securities |  |  |  |  |  |  |
U.S. Treasury debt securities | $ | 35.0 |  |  | $ | 0.1 |  |  | $ | (0.6 | ) |  | $ | 34.5 |
Corporate/Other debt securities | 98.7 |  |  | 0.3 |  |  | (2.0 | ) |  | 97.0 |
Total | $ | 133.7 |  |  | $ | 0.4 |  |  | $ | (2.6 | ) |  | $ | 131.5 |
For the three months ended March 31, 2017, the net realized loss on the sale of available-for-sale U.S. Treasury debt securities was $0.3 million. For the three months ended March 31, 2017, the net realized gain on the sale of available-for-sale Corporate/Other debt securities was $0.1 million. There were no net realized gains or losses on the sale of available-for-sale securities during the three months ended March 31, 2016. The cost of maturities sold is based upon specific identification. At March 31, 2017, approximately $11.6 million of U.S. Treasury securities and approximately $5.5 million of Corporate/Other debt securities have maturities of less than a year. There are no material items in the fair value reconciliation of Level 3 assets and liabilities measured at fair value on a recurring basis for the three months ended March 31, 2017 and 2016.
Non-recurring Fair Value Measurements. There were no significant non-recurring fair value measurements recorded during the three months ended March 31, 2017. B. Other Fair Value Disclosures for Financial Instruments. The carrying amount of cash and cash equivalents, restricted cash, customer deposits and short-term borrowings is a reasonable estimate of fair value due to their liquid or short-term nature. NiSource’s long-term borrowings are recorded at historical amounts. The following method and assumptions were used to estimate the fair value of each class of financial instruments. Long-term Debt. The fair value of outstanding long-term debt is estimated based on the quoted market prices for the same or similar securities. Certain premium costs associated with the early settlement of long-term debt are not taken into consideration in determining fair value. These fair value measurements are classified within Level 2 of the fair value hierarchy. For the three months ended March 31, 2017 there was no change in the method or significant assumptions used to estimate the fair value of long-term debt. The carrying amount and estimated fair values of these financial instruments were as follows:
(in millions) | Carrying Amount as of March 31, 2017 |  | Estimated Fair Value as of March 31, 2017 |  | Carrying Amount as of Dec. 31, 2016 |  | Estimated Fair Value as of Dec. 31, 2016
Long-term debt (including current portion) | $ | 6,400.0 |  |  | $ | 7,040.8 |  |  | $ | 6,421.3 |  |  | $ | 7,064.1 |

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 30 -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14172-108612 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 28 -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14064-108612 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 21 -URI http://asc.fasb.org/extlink&oid=73719730&loc=d3e13537-108611 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 16 -URI http://asc.fasb.org/extlink&oid=73719730&loc=d3e13504-108611 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 10 -URI http://asc.fasb.org/extlink&oid=73719730&loc=d3e13433-108611 + Details
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