DERIVATIVE FINANCIAL INSTRUMENTS (Tables)

12 Months Ended

Dec. 31, 2022

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 as at December 31, 2022 and 2021 is as follows:

AS AT DEC. 31 (MILLIONS)	Note	2022		2021
Foreign exchange	(a)	$	50,361	$	63,083
Interest rates	(b)	60,600		55,899
Equity derivatives	(c)	1,942		4,448
Commodity instruments	(d)
Energy (GWh)		69,902		35,156
Natural gas (MMBtu – 000’s)		128,381		246,375

The company held the following foreign exchange contracts with notional amounts as at December 31, 2022 and 2021:

	Notional Amount (U.S. Dollars)				Average Exchange Rate
(MILLIONS)	2022		2021		2022	2021
Foreign exchange contracts
Canadian dollars	$	7,381	$	11,689	0.76	0.81
British pounds	6,880		12,089		1.12	1.19
European Union euros	10,074		9,939		1.01	1.14
Australian dollars	4,088		4,791		0.69	0.72
Indian rupee	3,921		3,281		73.72	78.90
Korean won1	923		756		1,293	1,151
Chinese yuan1	4,166		2,484		6.07	6.02
Japanese yen1	378		793		116.26	111.27
Colombian pesos1	355		740		4,800	3,937
Brazilian reais	1,371		1,291		0.16	0.16
Swedish krona	—		1,475		—	9.08
Other currencies	2,765		2,799		Various	Various
Cross currency interest rate swaps
Canadian dollars	5,673		5,566		0.77	0.63
European Union euros	—		848		—	1.06
Australian dollars	634		1,317		0.93	0.98
Japanese yen1	275		750		130.68	113.33
British pounds	243		298		1.21	1.48
Brazilian reais1	749		—		—	—
Foreign exchange futures
Brazilian reais	—		175		—	0.18
Foreign exchange options
European Union euros	—		1,430		—	1.11
Indian rupee	485		572		78.73	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, 2022 and 2021, for derivatives that are fair valued through profit or loss, and derivatives that qualify for hedge accounting:

(MILLIONS)	Unrealized Gains During 2022		Unrealized Losses During 2022		Net Change During 2022		Net Change During 2021
Foreign exchange derivatives	$	192	$	(169)	$	23	$	(53)
Interest rate derivatives	575		(156)		419		183
Equity derivatives	69		(365)		(296)		757
Commodity derivatives	177		(469)		(292)		(183)
	$	1,013	$	(1,159)	$	(146)	$	704

The following table presents the notional amounts underlying the company’s derivative instruments by term to maturity as at December 31, 2022 and 2021, for derivatives that are classified as fair value through profit or loss, and derivatives that qualify for hedge accounting:

	2022								2021
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	$	4,440	$	1,671	$	965	$	7,076	$	10,933
Interest rate derivatives	10,126		8,578		1,272		19,976		19,661
Equity derivatives	866		1,002		73		1,941		4,353
Commodity instruments
Energy (GWh)	3,456		21,743		26,571		51,770		17,403
Natural gas (MMBtu – 000’s)	50,703		9,875		—		60,578		152,753
Elected for hedge accounting
Foreign exchange derivatives	$	12,956	$	29,530	$	800	$	43,286	$	52,150
Interest rate derivatives	5,916		31,597		3,111		40,624		36,238
Equity derivatives	—		—		—		—		95
Commodity instruments
Energy (GWh)	6,574		8,868		2,691		18,133		17,754
Natural gas (MMBtu – 000’s)	52,168		15,635		—		67,803		93,623

Disclosure of derivatives elected for hedge accounting

The following table classifies derivatives elected for hedge accounting during the years ended December 31, 2022 and 2021 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:

	2022						2021
FOR THE YEARS ENDED DEC. 31 (MILLIONS)	Notional		Effective Portion		Ineffective Portion		Notional		Effective Portion		Ineffective Portion
Cash flow hedges1	$	47,860	$	2,081	$	13	$	43,776	$	582	$	24
Net investment hedges	35,198		2,998		—		43,997		407		(14)
	$	83,058	$	5,079	$	13	$	87,773	$	989	$	10

1.Notional amount does not include 18,133 GWh and 67,803 MMBtu – 000’s – of commodity derivatives as at December 31, 2022 (2021 – 17,753 GWh, 93,623 MMBtu – 000’s and 1,152 bbls – millions).