DERIVATIVE FINANCIAL INSTRUMENTS (Tables)

12 Months Ended

Dec. 31, 2021

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, 2021 and 2020 is as follows:

AS AT DEC. 31 (MILLIONS)	Note	2021		2020
Foreign exchange	(a)	$	63,083	$	39,284
Interest rates	(b)	55,899		61,111
Equity derivatives	(c)	4,448		2,081
Commodity instruments	(d)
Energy (GWh)		35,156		27,564
Natural gas (MMBtu – 000’s)		246,375		121,468

The company held the following foreign exchange contracts with notional amounts at December 31, 2021 and 2020:

	Notional Amount (U.S. Dollars)				Average Exchange Rate
(MILLIONS)	2021		2020		2021	2020
Foreign exchange contracts
Canadian dollars	$	11,689	$	7,539	0.81	0.76
British pounds	12,089		3,986		1.19	1.31
European Union euros	9,939		4,561		1.14	1.17
Australian dollars	4,791		2,632		0.72	0.69
Indian rupee	3,281		1,288		78.90	77.56
Chilean peso	—		159		—	770.89
Korean won1	756		700		1,151	1,175
Chinese yuan1	2,484		1,633		6.02	7.05
Japanese yen1	793		212		111.27	105.82
Colombian pesos1	740		96		3,937	3,621
Brazilian reais	1,291		276		0.16	0.19
Swedish krona	1,475		1,647		9.08	8.58
Other currencies	2,799		903		Various	Various
Cross currency interest rate swaps
Canadian dollars	5,566		6,868		0.63	0.77
European Union euros	848		1,914		1.06	1.06
Australian dollars	1,317		1,374		0.98	0.53
Japanese yen1	750		750		113.33	113.33
British pounds	298		275		1.48	1.49
Colombian pesos1	—		88		—	3,880
Foreign exchange futures
Brazilian reais	175		105		0.18	0.19
Foreign exchange options
Canadian dollars	—		2,030		—	0.74
European Union euros	1,430		245		1.11	1.17
Indian rupee	572		—		74.56	—

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, 2021 and 2020, for derivatives that are fair valued through profit or loss, and derivatives that qualify for hedge accounting:

(MILLIONS)	Unrealized Gains During 2021		Unrealized Losses During 2021		Net Change During 2021		Net Change During 2020
Foreign exchange derivatives	$	191	$	(244)	$	(53)	$	(41)
Interest rate derivatives	332		(149)		183		(227)
Equity derivatives	788		(31)		757		850
Commodity derivatives	44		(227)		(183)		(42)
	$	1,355	$	(651)	$	704	$	540

The following table presents the notional amounts underlying the company’s derivative instruments by term to maturity as at December 31, 2021 and 2020, for derivatives that are classified as fair value through profit or loss, and derivatives that qualify for hedge accounting:

	2021								2020
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	$	8,836	$	1,829	$	268	$	10,933	$	12,178
Interest rate derivatives	9,409		10,012		240		19,661		27,080
Equity derivatives	3,334		1,019		—		4,353		2,081
Commodity instruments
Energy (GWh)	2,335		12,602		2,466		17,403		13,613
Natural gas (MMBtu – 000’s)	134,298		18,455		—		152,753		38,805
Elected for hedge accounting
Foreign exchange derivatives	$	16,494	$	34,763	$	893	$	52,150	$	27,106
Interest rate derivatives	11,494		22,846		1,898		36,238		34,032
Equity derivatives	95		—		—		95		—
Commodity instruments
Energy (GWh)	6,165		7,780		3,809		17,754		13,950
Natural gas (MMBtu – 000’s)	58,741		34,882		—		93,623		82,664

Disclosure of derivatives elected for hedge accounting

The following table classifies derivatives elected for hedge accounting during the years ended December 31, 2021 and 2020 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:

	2021						2020
FOR THE YEARS ENDED DEC. 31 (MILLIONS)	Notional		Effective Portion		Ineffective Portion		Notional		Effective Portion		Ineffective Portion
Cash flow hedges1	$	43,776	$	582	$	24	$	39,128	$	(479)	$	10
Net investment hedges	43,997		407		(14)		17,788		182		10
	$	87,773	$	989	$	10	$	56,916	$	(297)	$	20

1.Notional amount does not include 17,753 GWh, 93,623 MMBtu – 000’s and 1,152 bbls – millions of commodity derivatives at December 31, 2021 (2020 – 13,950 GWh, 82,663 MMBtu – 000’s and 1,302 bbls – millions).