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Financial Instruments and Derivatives (Tables)
 12 Months Ended
Dec. 31, 2019
Financial Instruments [Abstract]  
Disclosure of financial assets
The following table summarizes the carrying value of the Company's remaining financial assets and liabilities as compared to their respective fair values as at December 31, 2019:
 
2019 Carrying Value

 
2019 Fair Value

 
Quoted prices in active markets for identical assets
(Level 1)

 
Significant other observable inputs
(Level 2)

 
Significant unobservable inputs
 (Level 3)

 
($ millions)
 
 
 
Financial assets
 
 
 
 
 
 
 
 
 
 
Derivatives
327.9

 
327.9

 
—

 
327.9

 
—

 
Long-term investments (1)
6.7

 
6.7

 
6.7

 
—

 
—

 
 
334.6

 
334.6

 
6.7

 
327.9

 
—

 
Financial liabilities
 
 
 
 
 
 
 
 
 
 
Derivatives
18.4

 
18.4

 
—

 
18.4

 
—

 
Senior guaranteed notes (2)
2,098.8

 
2,120.1

 
—

 
2,120.1

 
—

 
 
2,117.2

 
2,138.5

 
—

 
2,138.5

 
—

 
(1)
Long-term investments are comprised of equity securities in public oil and gas companies.
(2)
The senior guaranteed notes are classified as financial liabilities at amortized cost and are reported at amortized cost. The notes denominated in US dollars are translated to Canadian dollars at the period end exchange rate. The fair value of the notes is calculated based on current interest rates and is not recorded in the financial statements.
The following table summarizes the carrying value of the Company's remaining financial assets and liabilities as compared to their respective fair values as at December 31, 2018:
 
2018 Carrying Value

 
2018 Fair Value

 
Quoted prices in active markets for identical assets
(Level 1)

 
Significant other observable inputs
(Level 2)

 
Significant unobservable inputs
(Level 3)

 
($ millions)
 
 
 
Financial assets
 
 
 
 
 
 
 
 
 
 
Derivatives
595.6

 
595.6

 
—

 
595.6

 
—

 
Long-term investments (1)
8.7

 
8.7

 
8.7

 
—

 
—

 
 
604.3

 
604.3

 
8.7

 
595.6

 
—

 
Financial liabilities
 
 
 
 
 
 
 
 
 
 
Senior guaranteed notes (2)
2,294.6

 
2,273.5

 
—

 
2,273.5

 
—

 
 
2,294.6

 
2,273.5

 
—

 
2,273.5

 
—

 
(1)
Long-term investments are comprised of equity securities in public oil and gas companies.
(2)
The senior guaranteed notes are classified as financial liabilities at amortized cost and are reported at amortized cost. The notes denominated in US dollars are translated to Canadian dollars at the period end exchange rate. The fair value of the notes is calculated based on current interest rates and is not recorded in the financial statements.
Disclosure of financial liabilities
The following table summarizes the carrying value of the Company's remaining financial assets and liabilities as compared to their respective fair values as at December 31, 2019:
 
2019 Carrying Value

 
2019 Fair Value

 
Quoted prices in active markets for identical assets
(Level 1)

 
Significant other observable inputs
(Level 2)

 
Significant unobservable inputs
 (Level 3)

 
($ millions)
 
 
 
Financial assets
 
 
 
 
 
 
 
 
 
 
Derivatives
327.9

 
327.9

 
—

 
327.9

 
—

 
Long-term investments (1)
6.7

 
6.7

 
6.7

 
—

 
—

 
 
334.6

 
334.6

 
6.7

 
327.9

 
—

 
Financial liabilities
 
 
 
 
 
 
 
 
 
 
Derivatives
18.4

 
18.4

 
—

 
18.4

 
—

 
Senior guaranteed notes (2)
2,098.8

 
2,120.1

 
—

 
2,120.1

 
—

 
 
2,117.2

 
2,138.5

 
—

 
2,138.5

 
—

 
(1)
Long-term investments are comprised of equity securities in public oil and gas companies.
(2)
The senior guaranteed notes are classified as financial liabilities at amortized cost and are reported at amortized cost. The notes denominated in US dollars are translated to Canadian dollars at the period end exchange rate. The fair value of the notes is calculated based on current interest rates and is not recorded in the financial statements.
The following table summarizes the carrying value of the Company's remaining financial assets and liabilities as compared to their respective fair values as at December 31, 2018:
 
2018 Carrying Value

 
2018 Fair Value

 
Quoted prices in active markets for identical assets
(Level 1)

 
Significant other observable inputs
(Level 2)

 
Significant unobservable inputs
(Level 3)

 
($ millions)
 
 
 
Financial assets
 
 
 
 
 
 
 
 
 
 
Derivatives
595.6

 
595.6

 
—

 
595.6

 
—

 
Long-term investments (1)
8.7

 
8.7

 
8.7

 
—

 
—

 
 
604.3

 
604.3

 
8.7

 
595.6

 
—

 
Financial liabilities
 
 
 
 
 
 
 
 
 
 
Senior guaranteed notes (2)
2,294.6

 
2,273.5

 
—

 
2,273.5

 
—

 
 
2,294.6

 
2,273.5

 
—

 
2,273.5

 
—

 
(1)
Long-term investments are comprised of equity securities in public oil and gas companies.
(2)
The senior guaranteed notes are classified as financial liabilities at amortized cost and are reported at amortized cost. The notes denominated in US dollars are translated to Canadian dollars at the period end exchange rate. The fair value of the notes is calculated based on current interest rates and is not recorded in the financial statements.
Disclosure of derivative assets and liabilities
The following table summarizes the fair value as at December 31, 2019 and the change in fair value for the year ended December 31, 2019:
($ millions)
Commodity contracts (1)

 
Interest contracts

 
CCS
contracts (2)

 
Foreign exchange contracts

 
Total

 
Derivative assets, beginning of year
147.0

 
5.5

 
434.7

 
8.4

 
595.6

 
Disposed
(16.2
)
 
—

 
—

 
—

 
(16.2
)
 
Unrealized change in fair value
(104.4
)
 
(2.7
)
 
(160.7
)
 
(1.8
)
 
(269.6
)
 
Foreign exchange
(0.3
)
 
—

 
—

 
—

 
(0.3
)
 
Derivative assets, end of year
26.1


2.8


274.0


6.6


309.5

 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets, end of year
26.1

 
2.8

 
292.2

 
6.8

 
327.9

 
Derivative liabilities, end of year
—

 
—

 
(18.2
)
 
(0.2
)
 
(18.4
)
 
(1)
Includes oil and gas contracts.
(2)
Includes mark-to-market on principal and interest.
The following table summarizes the fair value as at December 31, 2018 and the change in fair value for the year ended December 31, 2018:
($ millions)
Commodity contracts (1)

 
Interest contracts

 
CCS
contracts

 
Foreign exchange contracts

 
Total

 
Derivative assets / (liabilities), beginning of year
(53.8
)
 
9.5

 
198.0

 
5.1

 
158.8

 
Unrealized change in fair value
203.4

 
(4.0
)
 
236.7

 
3.3

 
439.4

 
Foreign exchange
(2.6
)
 
—

 
—

 
—

 
(2.6
)
 
Derivative assets, end of year
147.0

 
5.5

 
434.7

 
8.4

 
595.6

 
(1)
Includes oil and gas contracts.
Disclosure of offsetting of financial assets and liabilities
The following table summarizes the gross asset and liability positions of the Company's financial derivatives by contract that are offset on the balance sheet as at December 31, 2019 and December 31, 2018:
 
2019
 
 
2018
 
 
($ millions)
Asset

 
Liability

 
Net

 
Asset

 
Liability

 
Net

 
Gross amount
334.5

 
(25.0
)
 
309.5

 
595.6

 
—

 
595.6

 
Amount offset
(6.6
)
 
6.6

 
—

 
—

 
—

 
—

 
Net amount
327.9

 
(18.4
)
 
309.5

 
595.6

 
—

 
595.6

 
Sensitivity analysis for types of market risk
The following table summarizes the unrealized gains (losses) on the Company's interest derivative contracts and the resulting impact on income before tax due to the respective changes in the applicable forward interest rates, with all other variables held constant:
 
Impact on Income Before Tax
 
 
Impact on Income Before Tax
 
 
($ millions)
Year ended December 31, 2019
 
 
Year ended December 31, 2018
 
 
Forward interest rates
Increase 10%

 
Decrease 10%

 
Increase 10%

 
Decrease 10%

 
Interest rate swaps
0.5

 
(0.5
)
 
1.1

 
(1.1
)
 
The following table summarizes the unrealized gains (losses) on the Company's commodity financial derivative contracts and the resulting impact on income before tax due to fluctuations in commodity prices, with all other variables held constant:
 
Impact on Income Before Tax
 
 
Impact on Income Before Tax
 
 
($ millions)
Year ended December 31, 2019
 
 
Year ended December 31, 2018
 
 
 
Increase 10%

 
Decrease 10%

 
Increase 10%

 
Decrease 10%

 
Commodity price
 
 
 
 
 
 
 
 
Crude oil
(117.1
)
 
104.2

 
(75.6
)
 
61.6

 
Natural gas
—

 
—

 
(0.7
)
 
0.7

 
The following table summarizes the resulting unrealized gains (losses) impacting income before tax due to the respective changes in the period end and applicable foreign exchange rates, with all other variables held constant:
 
 
Impact on Income Before Tax
 
 
Impact on Income Before Tax
 
 
($ millions)
Exchange Rate
Year ended December 31, 2019
 
 
Year ended December 31, 2018
 
 
Cdn$ relative to US$
 
Increase 10%

 
Decrease 10%

 
Increase 10%

 
Decrease 10%

 
US dollar long-term debt
Period End
254.8

 
(254.8
)
 
394.2

 
(394.2
)
 
Cross currency swaps
Forward
(264.6
)
 
264.6

 
(402.3
)
 
402.3

 
Foreign exchange swaps
Forward
(2.0
)
 
2.0

 
(9.4
)
 
9.4

 
Disclosure of undiscounted cash outflows to non-derivative financial liabilities
The timing of undiscounted cash outflows relating to the financial liabilities outstanding as at December 31, 2019 is outlined in the table below:
($ millions)
1 year

 
2 to 3 years

 
4 to 5 years

 
More than 5 years

 
Total

 
Accounts payable and accrued liabilities
479.4

 
—

 
—

 
—

 
479.4

 
Senior guaranteed notes (1)
234.6

 
532.3

 
829.2

 
500.5

 
2,096.6

 
Bank credit facilities (2)
39.9

 
916.8

 
—

 
—

 
956.7

 
(1)
These amounts include the notional principal and interest payments pursuant to the CCS and foreign exchange swap related to the senior guaranteed notes, which fix the amounts due in Canadian dollars.
(2)
These amounts include interest based on debt outstanding and interest rates effective as at December 31, 2019 and includes undiscounted cash outflows pursuant to the CCS related to LIBOR loans. The current maturity date of the Company's facilities is October 25, 2023. The Company expects that the facilities will continue to be renewed and extended prior to their maturity dates.
The timing of undiscounted cash outflows relating to the financial liabilities outstanding as at December 31, 2018 is outlined in the table below:
($ millions)
1 year

 
2 to 3 years

 
4 to 5 years

 
More than 5 years

 
Total

 
Accounts payable and accrued liabilities
549.4

 
—

 
—

 
—

 
549.4

 
Senior guaranteed notes (1)
156.9

 
486.7

 
767.0

 
843.1

 
2,253.7

 
Bank credit facilities (2)
108.2

 
2,128.7

 
—

 
—

 
2,236.9

 
(1)
These amounts include the notional principal and interest payments pursuant to the CCS and foreign exchange swap related to the senior guaranteed notes, which fix the amounts due in Canadian dollars.
(2)
These amounts include interest based on debt outstanding and interest rates effective as at December 31, 2018 and includes undiscounted cash outflows pursuant to the CCS related to LIBOR loans.
Disclosure of undiscounted cash outflows to derivative financial liabilities
The timing of undiscounted cash outflows relating to the financial liabilities outstanding as at December 31, 2019 is outlined in the table below:
($ millions)
1 year

 
2 to 3 years

 
4 to 5 years

 
More than 5 years

 
Total

 
Accounts payable and accrued liabilities
479.4

 
—

 
—

 
—

 
479.4

 
Senior guaranteed notes (1)
234.6

 
532.3

 
829.2

 
500.5

 
2,096.6

 
Bank credit facilities (2)
39.9

 
916.8

 
—

 
—

 
956.7

 
(1)
These amounts include the notional principal and interest payments pursuant to the CCS and foreign exchange swap related to the senior guaranteed notes, which fix the amounts due in Canadian dollars.
(2)
These amounts include interest based on debt outstanding and interest rates effective as at December 31, 2019 and includes undiscounted cash outflows pursuant to the CCS related to LIBOR loans. The current maturity date of the Company's facilities is October 25, 2023. The Company expects that the facilities will continue to be renewed and extended prior to their maturity dates.
The timing of undiscounted cash outflows relating to the financial liabilities outstanding as at December 31, 2018 is outlined in the table below:
($ millions)
1 year

 
2 to 3 years

 
4 to 5 years

 
More than 5 years

 
Total

 
Accounts payable and accrued liabilities
549.4

 
—

 
—

 
—

 
549.4

 
Senior guaranteed notes (1)
156.9

 
486.7

 
767.0

 
843.1

 
2,253.7

 
Bank credit facilities (2)
108.2

 
2,128.7

 
—

 
—

 
2,236.9

 
(1)
These amounts include the notional principal and interest payments pursuant to the CCS and foreign exchange swap related to the senior guaranteed notes, which fix the amounts due in Canadian dollars.
(2)
These amounts include interest based on debt outstanding and interest rates effective as at December 31, 2018 and includes undiscounted cash outflows pursuant to the CCS related to LIBOR loans.
Disclosure of derivative contracts
The following is a summary of the derivative contracts in place as at December 31, 2019:
Financial WTI Crude Oil Derivative Contracts – Canadian Dollar (1)
 
Swap
 
Three-way Collar
 
Term
Volume
(bbls/d)

 
Average Price
($/bbl)

 
Volume
(bbls/d)

Average
Sold
Call Price
($/bbl)

 
Average Bought
Put Price
($/bbl)

 
Average
Sold
Put Price
($/bbl)

 
2020
14,249

 
75.52

 
39,730

82.67

 
76.48

 
62.72

 
2021 January - March
—

 
—

 
5,000

78.87

 
73.50

 
63.50

 
(1)
The volumes and prices reported are the weighted average volumes and prices for the period.
Financial Interest Rate Derivative Contracts – Canadian Dollar
 
Notional Principal
($ millions)
 
Fixed Rate (%)
 
Term
Contract
 
 
January 2020 - August 2020
Swap
50.0
 
1.16
 
January 2020 - August 2020
Swap
50.0
 
1.16
 
January 2020 - August 2020
Swap
100.0
 
1.15
 
January 2020 - September 2020
Swap
50.0
 
1.14
 
January 2020 - September 2020
Swap
50.0
 
1.11
 
Financial Cross Currency Derivative Contracts
 
 
 
 
 
Term
Contract
Receive Notional Principal
(US$ millions)

 
Fixed Rate (US%)

 
Pay Notional Principal
(Cdn$ millions)

 
Fixed Rate (Cdn%)

 
January 2020
Swap
555.0

 
3.50

 
737.4

 
3.31

 
January 2020 - March 2020
Swap
155.0

 
6.03

 
158.3

 
6.45

 
January 2020 - April 2021
Swap
82.0

 
5.13

 
79.0

 
5.83

 
January 2020 - June 2021
Swap
52.5

 
3.29

 
56.3

 
3.59

 
January 2020 - May 2022
Swap
170.0

 
4.00

 
166.9

 
5.03

 
January 2020 - April 2023
Swap
61.5

 
4.12

 
80.3

 
3.71

 
January 2020 - June 2023
Swap
270.0

 
3.78

 
274.7

 
4.32

 
January 2020 - June 2024
Swap
257.5

 
3.75

 
276.4

 
4.03

 
January 2020 - April 2025
Swap
82.0

 
4.30

 
107.0

 
3.98

 
January 2020 - April 2025
Swap
230.0

 
4.08

 
291.1

 
4.13

 
January 2020 - April 2027
Swap
20.0

 
4.18

 
25.3

 
4.25

 
Financial Foreign Exchange Forward Derivative Contracts
 
 
 
 
Settlement Date
Contract
 
Receive Notional Principal
(US$ millions)

 
Pay Notional Principal
(Cdn$ millions)

 
January 2020
Swap
 
15.0

 
19.7

 
May 2022
Swap
 
30.0

 
32.2