DERIVATIVE FINANCIAL INSTRUMENTS (Tables)

12 Months Ended

Dec. 31, 2020

Disclosure of detailed information about financial instruments [abstract]

Disclosure of detailed information about financial instruments [text block]

The aggregate notional amount of the company’s derivative positions at December 31, 2020 and 2019 is as follows:

AS AT DEC. 31 (MILLIONS)	Note	2020		2019
Foreign exchange	(a)	$	39,284	$	37,334
Interest rates	(b)	61,111		51,619
Credit default swaps	(c)	—		39
Equity derivatives	(d)	2,081		2,517
Commodity instruments	(e)	2020		2019
Energy (GWh)		27,564		25,136
Natural gas (MMBtu – 000’s)		121,468		78,364

The company held the following foreign exchange contracts with notional amounts at December 31, 2020 and 2019:

	Notional Amount (U.S. Dollars)				Average Exchange Rate
(MILLIONS)	2020		2019		2020	2019
Foreign exchange contracts
Canadian dollars	$	7,539	$	6,839	0.76	0.75
British pounds	3,986		7,874		1.31	1.27
European Union euros	4,561		2,069		1.17	1.16
Australian dollars	2,632		3,989		0.69	0.71
Indian rupee	1,288		240		77.56	73.55
Chilean peso	159		548		770.89	722.08
Korean won1	700		687		1,175	1,173
Chinese yuan1	1,633		1,862		7.05	5.42
Japanese yen1	212		111		105.82	104.58
Colombian pesos1	96		534		3,621	3,416
Brazilian reais	276		484		0.19	0.24
Swedish krona	1,647		1,578		8.58	9.10
Other currencies	903		584		Various	Various
Cross currency interest rate swaps
Canadian dollars	6,868		4,493		0.77	0.77
European Union euros	1,914		103		1.06	1.09
Australian dollars	1,374		2,033		0.53	0.98
Japanese yen1	750		18		113.33	110.00
British pounds	275		267		1.49	1.49
Colombian pesos1	88		100		3,880.00	3,463
Foreign exchange futures
Brazilian reais	105		38		0.19	0.25
Foreign exchange options
British pounds	—		1,338		—	1.43
Canadian dollars	2,030		—		0.74	—
European Union euros	245		1,544		1.17	1.12

1.Average rate is quoted using USD as base currency.

The following table presents the change in fair values of the company’s derivative positions during the years ended December 31, 2020 and 2019, for derivatives that are fair valued through profit or loss, and derivatives that qualify for hedge accounting:

(MILLIONS)	Unrealized Gains During 2020		Unrealized Losses During 2020		Net Change During 2020		Net Change During 2019
Foreign exchange derivatives	$	419	$	(460)	$	(41)	$	201
Interest rate derivatives	110		(337)		(227)		(221)
Credit default swaps	—		—		—		(1)
Equity derivatives	1,161		(311)		850		13
Commodity derivatives	44		(86)		(42)		27
	$	1,734	$	(1,194)	$	540	$	19

The following table presents the notional amounts underlying the company’s derivative instruments by term to maturity as at December 31, 2020 and 2019, for derivatives that are classified as fair value through profit or loss, and derivatives that qualify for hedge accounting:

	2020								2019
AS AT DEC. 31 (MILLIONS)	<1 Year		1 to 5 Years		>5 Years		Total Notional Amount		Total Notional Amount
Fair value through profit or loss
Foreign exchange derivatives	$	6,891	$	5,158	$	129	$	12,178	$	7,946
Interest rate derivatives	13,158		12,308		1,614		27,080		22,731
Credit default swaps	—		—		—		—		39
Equity derivatives	1,216		865		—		2,081		2,517
Commodity instruments
Energy (GWh)	4,406		9,207		—		13,613		10,652
Natural gas (MMBtu – 000’s)	34,572		4,233		—		38,805		66,200
Elected for hedge accounting
Foreign exchange derivatives	$	13,498	$	12,086	$	1,522	$	27,106	$	29,387
Interest rate derivatives	7,738		22,054		4,240		34,032		28,888
Equity derivatives	—		—		—		—		—
Commodity instruments
Energy (GWh)	5,562		5,066		3,322		13,950		14,485
Natural gas (MMBtu – 000’s)	51,034		31,630		—		82,664		12,164

Disclosure of derivatives elected for hedge accounting

The following table classifies derivatives elected for hedge accounting during the years ended December 31, 2020 and 2019 as either cash flow hedges or net investment hedges. Changes in the fair value of the effective portion of the hedge are recorded in either other comprehensive income or net income, depending on the hedge classification, whereas changes in the fair value of the ineffective portion of the hedge are recorded in net income:

	2020						2019
FOR THE YEARS ENDED DEC. 31 (MILLIONS)	Notional		Effective Portion		Ineffective Portion		Notional		Effective Portion		Ineffective Portion
Cash flow hedges1	$	39,128	$	(479)	$	10	$	32,709	$	(89)	$	20
Net investment hedges	17,788		182		10		22,790		(433)		16
	$	56,916	$	(297)	$	20	$	55,499	$	(522)	$	36

1.Notional amount does not include 13,950 GWh, 82,663 MMBtu – 000’s and 1,302 bbls – millions of commodity derivatives at December 31, 2020 (2019 – 14,485 GWh, 12,164 MMBtu – 000’s and 2,273 bbls – millions).