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RISK MANAGEMENT AND FINANCIAL INSTRUMENTS (Tables)
 12 Months Ended
Dec. 31, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Summary of the Consolidated Statements of Financial Position location and carrying value of derivative instruments
December 31, 2017
Derivative
Instruments
Used as
Cash Flow Hedges

Derivative
Instruments
Used as Net
Investment Hedges

Derivative
Instruments
Used as
Fair Value Hedges

Non-
Qualifying
Derivative Instruments

Total Gross
Derivative
Instruments as Presented

Amounts
Available for Offset

Total Net
Derivative Instruments

(millions of Canadian dollars)
 

 

 
 

 

 

 

Accounts receivable and other
 

 

 
 

 

 

 

Foreign exchange contracts
1

4

—

138

143

(83
)
60

Interest rate contracts
6

—

2

—

8

(3
)
5

Commodity contracts
2

—

—

143

145

(64
)
81

 
9

4

2

281

296

(150
)
146

Deferred amounts and other assets
 

 

 
 

 
 

 
Foreign exchange contracts
1

1

—

143

145

(125
)
20

Interest rate contracts
7

—

6

—

13

(2
)
11

Commodity contracts
17

—

—

6

23

(19
)
4

 
25

1

6

149

181

(146
)
35

Accounts payable and other
 

 

 
 

 
 

 
Foreign exchange contracts
(5
)
(42
)
—

(312
)
(359
)
83

(276
)
Interest rate contracts
(140
)
—

(6
)
(183
)
(329
)
3

(326
)
Commodity contracts
—

—

—

(439
)
(439
)
64

(375
)
Other contracts
(1
)
—

—

(2
)
(3
)
—

(3
)
 
(146
)
(42
)
(6
)
(936
)
(1,130
)
150

(980
)
Other long-term liabilities
 

 

 
 

 
 

 
Foreign exchange contracts
(4
)
(9
)
—

(1,299
)
(1,312
)
125

(1,187
)
Interest rate contracts
(38
)
—

(2
)
—

(40
)
2

(38
)
Commodity contracts
—

—

—

(186
)
(186
)
19

(167
)
Other contracts
(1
)
—

—

—

(1
)
—

(1
)
 
(43
)
(9
)
(2
)
(1,485
)
(1,539
)
146

(1,393
)
Total net derivative asset/(liability)
 

 

 
 

 
 

 
Foreign exchange contracts
(7
)
(46
)
—

(1,330
)
(1,383
)
—

(1,383
)
Interest rate contracts
(165
)
—

—

(183
)
(348
)
—

(348
)
Commodity contracts
19

—

—

(476
)
(457
)
—

(457
)
Other contracts
(2
)
—

—

(2
)
(4
)
—

(4
)
 
(155
)
(46
)
—

(1,991
)
(2,192
)
—

(2,192
)
December 31, 2016
Derivative
Instruments
Used as
Cash Flow Hedges

Derivative
Instruments
Used as Net Investment Hedges

Non-
Qualifying
Derivative Instruments

Total Gross
Derivative
Instruments as Presented

Amounts
Available for Offset

Total Net
Derivative Instruments

(millions of Canadian dollars)
 

 

 

 

 

 

Accounts receivable and other
 

 

 

 

 

 

Foreign exchange contracts
101

3

5

109

(103
)
6

Interest rate contracts
3

—

—

3

(3
)
—

Commodity contracts
9

—

232

241

(125
)
116

 
113

3

237

353

(231
)
122

Deferred amounts and other assets
 

 

 

 
 

 
Foreign exchange contracts
1

3

69

73

(72
)
1

Interest rate contracts
8

—

—

8

(6
)
2

Commodity contracts
7

—

61

68

(22
)
46

Other contracts
1

—

1

2

—

2

 
17

3

131

151

(100
)
51

Accounts payable and other
 

 

 

 
 

 
Foreign exchange contracts
—

(268
)
(727
)
(995
)
103

(892
)
Interest rate contracts
(452
)
—

(131
)
(583
)
3

(580
)
Commodity contracts
—

—

(359
)
(359
)
125

(234
)
Other contracts
(1
)
—

(3
)
(4
)
—

(4
)
 
(453
)
(268
)
(1,220
)
(1,941
)
231

(1,710
)
Other long-term liabilities
 

 

 

 
 

 
Foreign exchange contracts
—

(68
)
(1,961
)
(2,029
)
72

(1,957
)
Interest rate contracts
(268
)
—

(205
)
(473
)
6

(467
)
Commodity contracts
—

—

(211
)
(211
)
22

(189
)
 
(268
)
(68
)
(2,377
)
(2,713
)
100

(2,613
)
Total net derivative asset/(liability)
 

 

 

 
 

 
Foreign exchange contracts
102

(330
)
(2,614
)
(2,842
)
—

(2,842
)
Interest rate contracts
(709
)
—

(336
)
(1,045
)
—

(1,045
)
Commodity contracts
16

—

(277
)
(261
)
—

(261
)
Other contracts
—

—

(2
)
(2
)
—

(2
)
 
(591
)
(330
)
(3,229
)
(4,150
)
—

(4,150
)
Summary of the maturity and notional principal or quantity outstanding related to derivative instruments
The following table summarizes the maturity and notional principal or quantity outstanding related to our derivative instruments. 
 
2017
 
2016

 
As at December 31,
2018

2019

2020

2021

2022

Thereafter

 
Total

 
Foreign exchange contracts - United States dollar forwards - purchase (millions of United States dollars)
755

2

2

—

—

—

 
997

 
Foreign exchange contracts - United States dollar forwards - sell (millions of United States dollars)
4,478

3,246

3,258

1,689

1,676

1,820

 
13,591

 
Foreign exchange contracts - British pound (GBP) forwards - purchase (millions of GBP)
18

—

—

—

—

—

 
97

 
Foreign exchange contracts - GBP forwards - sell (millions of GBP)
—

89

25

27

28

149

 
285

 
Foreign exchange contracts - Euro forwards - purchase (millions of Euro)
280

375

—

—

—

—

 
—

 
Foreign exchange contracts - Euro forwards - sell (millions of Euro)
—

—

35

169

169

889

 
—

 
Foreign exchange contracts - Japanese yen forwards - purchase (millions of yen)
—

32,662

—

—

20,000

—

 
32,662

 
Interest rate contracts - short-term pay fixed rate (millions of Canadian dollars)
4,950

1,585

215

95

91

202

 
14,008

 
Interest rate contracts - long-term receive fixed rate (millions of Canadian dollars)
1,522

1,018

822

433

349

52

 
—

 
Interest rate contracts - long-term pay fixed rate (millions of Canadian dollars)
4,007

957

438

—

—

—

 
7,509

 
Equity contracts (millions of Canadian dollars)
45

37

8

—

—

—

 
88

 
Commodity contracts - natural gas (billions of cubic feet)
(59
)
(69
)
(20
)
(10
)
(1
)
—

 
(161
)
 
Commodity contracts - crude oil (millions of barrels)
(3
)
—

—

—

—

—

 
(20
)
 
Commodity contracts - NGL (millions of barrels)
(12
)
—

—

—

—

—

 
(14
)
 
Commodity contracts - power (megawatt per hour (MW/H))
42

51

55

(3
)
(43
)
(43
)
1 
(4
)
2 
1
As at December 31, 2017, thereafter includes an average net purchase/(sell) of power of (43) MW/H for 2023 through 2025.
2
As at December 31, 2016, the average net purchase/(sell) of power was (4) MW/H for 2017 through 2025 with a high of 40 MW/H and a low of (43) MW/H.

Schedule of effect of cash flow hedges and net investment hedges on consolidated earnings and consolidated comprehensive income, before income taxes
The following table presents the effect of cash flow hedges and net investment hedges on our consolidated earnings and consolidated comprehensive income, before the effect of income taxes:
 
2017

2016

2015

(millions of Canadian dollars)
 

 

 

Amount of unrealized gain/(loss) recognized in OCI
 

 

 

Cash flow hedges
 

 

 

Foreign exchange contracts
(5
)
(19
)
77

Interest rate contracts
6

(90
)
(275
)
Commodity contracts
11

14

9

Other contracts
1

39

(47
)
Net investment hedges
 

 

 

Foreign exchange contracts
284

22

(248
)
 
297

(34
)
(484
)
Amount of (gain)/loss reclassified from AOCI to earnings (effective portion)
 

 

 

Foreign exchange contracts1
(104
)
2

9

Interest rate contracts2,3
388

145

128

Commodity contracts4
(9
)
(12
)
(46
)
Other contracts5
8

(29
)
28

 
283

106

119

De-designation of qualifying hedges in connection with the Canadian Restructuring Plan
 

 

 

Interest rate contracts2
—

—

338

 
—

—

338

Amount of (gain)/loss reclassified from AOCI to earnings (ineffective portion and amount excluded from effectiveness testing)
 

 

 

Interest rate contracts2, 3
(4
)
61

21

Commodity contracts4
—

—

5

 
(4
)
61

26

1
Reported within Transportation and other services revenues and Other income/(expense) in the Consolidated Statements of Earnings.
2
Reported within Interest expense in the Consolidated Statements of Earnings.
3
For the year ended December 31, 2017, includes settlements of $296 million loss related to the termination of long-term interest rate swaps as not highly probable to issue long-term debt.
4
Reported within Transportation and other services revenues, Commodity sales revenues, Commodity costs and Operating and administrative expense in the Consolidated Statements of Earnings.
5
Reported within Operating and administrative expense in the Consolidated Statements of Earnings.
Schedule of unrealized gains and losses associated with changes in the fair value of non-qualifying derivatives
The following table presents the unrealized gains and losses associated with changes in the fair value of our non-qualifying derivatives:
Year ended December 31,
2017

2016

2015

(millions of Canadian dollars)
 

 

 

Foreign exchange contracts1
1,284

935

(2,187
)
Interest rate contracts2
157

73

(363
)
Commodity contracts3
(199
)
(508
)
199

Other contracts4
—

9

(22
)
Total unrealized derivative fair value gain/(loss), net
1,242

509

(2,373
)
1
For the respective annual periods, reported within Transportation and other services revenues (2017 - $800 million gain; 2016 - $497 million gain; 2015 - $1,383 million loss) and Other income/(expense) (2017 - $484 million gain; 2016 - $438 million gain; 2015 - $804 million loss) in the Consolidated Statements of Earnings.
2
Reported as an (increase)/decrease within Interest expense in the Consolidated Statements of Earnings.
3
For the respective annual periods, reported within Transportation and other services revenues (2017 - $104 million loss; 2016 - $52 million loss; 2015 - $328 million gain), Commodity sales (2017 - $90 million gain 2016 - $474 million loss; 2015 - $226 million loss), Commodity costs (2017 - $223 million loss; 2016 - $38 million gain; 2015 - $99 million gain) and Operating and administrative expense (2017 - $38 million gain; 2016 - $20 million loss; 2015 - $2 million loss) in the Consolidated Statements of Earnings.
4
Reported within Operating and administrative expense in the Consolidated Statements of Earnings
Schedule of group credit concentrations and maximum credit exposure, with respect to derivative instruments
We have group credit concentrations and maximum credit exposure, with respect to derivative instruments, in the following counterparty segments:
December 31,
2017

2016

(millions of Canadian dollars)
 

 

Canadian financial institutions
82

39

United States financial institutions
19

179

European financial institutions
145

106

Asian financial institutions
2

1

Other1
137

162

 
385

487

1
Other is comprised of commodity clearing house and physical natural gas and crude oil counterparties.
Schedule of derivative assets and liabilities measured at fair value
We have categorized our derivative assets and liabilities measured at fair value as follows:
December 31, 2017
Level 1

Level 2

Level 3

Total Gross Derivative Instruments

(millions of Canadian dollars)
 

 

 

 

Financial assets
 

 

 

 

Current derivative assets
 

 

 

 

Foreign exchange contracts
—

143

—

143

Interest rate contracts
—

8

—

8

Commodity contracts
1

30

114

145

 
1

181

114

296

Long-term derivative assets
 

 

 

 
Foreign exchange contracts
—

145

—

145

Interest rate contracts
—

13

—

13

Commodity contracts
—

2

21

23

 
—

160

21

181

Financial liabilities
 

 

 

 
Current derivative liabilities
 

 

 

 
Foreign exchange contracts
—

(359
)
—

(359
)
Interest rate contracts
—

(329
)
—

(329
)
Commodity contracts
(13
)
(87
)
(339
)
(439
)
Other contracts
—

(3
)
—

(3
)
 
(13
)
(778
)
(339
)
(1,130
)
Long-term derivative liabilities
 

 

 

 
Foreign exchange contracts
—

(1,312
)
—

(1,312
)
Interest rate contracts
—

(40
)
—

(40
)
Commodity contracts
—

(3
)
(183
)
(186
)
Other contracts
—

(1
)
—

(1
)
 
—

(1,356
)
(183
)
(1,539
)
Total net financial asset/(liability)
 

 

 

 
Foreign exchange contracts
—

(1,383
)
—

(1,383
)
Interest rate contracts
—

(348
)
—

(348
)
Commodity contracts
(12
)
(58
)
(387
)
(457
)
Other contracts
—

(4
)
—

(4
)
 
(12
)
(1,793
)
(387
)
(2,192
)
December 31, 2016
Level 1

Level 2

Level 3

Total Gross Derivative Instruments

(millions of Canadian dollars)
 

 

 

 

Financial assets
 

 

 

 

Current derivative assets
 

 

 

 

Foreign exchange contracts
—

109

—

109

Interest rate contracts
—

3

—

3

Commodity contracts
2

86

153

241

 
2

198

153

353

Long-term derivative assets
 

 

 

 
Foreign exchange contracts
—

73

—

73

Interest rate contracts
—

8

—

8

Commodity contracts
—

43

25

68

Other contracts
—

2

—

2

 
—

126

25

151

Financial liabilities
 

 

 

 
Current derivative liabilities
 

 

 

 
Foreign exchange contracts
—

(995
)
—

(995
)
Interest rate contracts
—

(583
)
—

(583
)
Commodity contracts
(12
)
(75
)
(272
)
(359
)
Other contracts
—

(4
)
—

(4
)
 
(12
)
(1,657
)
(272
)
(1,941
)
Long-term derivative liabilities
 

 

 

 
Foreign exchange contracts

—

(2,029
)
—

(2,029
)
Interest rate contracts
—

(473
)
—

(473
)
Commodity contracts
—

(10
)
(201
)
(211
)
 
—

(2,512
)
(201
)
(2,713
)
Total net financial asset/(liability)
 

 

 

 
Foreign exchange contracts
—

(2,842
)
—

(2,842
)
Interest rate contracts
—

(1,045
)
—

(1,045
)
Commodity contracts
(10
)
44

(295
)
(261
)
Other contracts
—

(2
)
—

(2
)
 
(10
)
(3,845
)
(295
)
(4,150
)
Schedule of significant unobservable inputs used in the fair value measurement of Level 3 derivative instruments
The significant unobservable inputs used in the fair value measurement of Level 3 derivative instruments were as follows:
December 31, 2017
Fair Value

Unobservable Input
Minimum Price/Volatility

Maximum Price/Volatility

Weighted Average Price/Volatility

Unit of Measurement
(fair value in millions of Canadian dollars)
 

 
 

 

 

 
Commodity contracts - financial1
 

 
 

 

 

 
Natural gas
(1
)
Forward gas price
2.67

5.52

3.38

$/mmbtu3
Crude
(4
)
Forward crude price
43.76

65.60

51.03

$/barrel
NGL
(12
)
Forward NGL price
0.30

1.83

1.32

$/gallon
Power
(110
)
Forward power price
15.39

71.41

50.72

$/MW/H 
Commodity contracts - physical1
 

 
 

 

 

 
Natural gas
(114
)
Forward gas price
2.51

7.57

2.93

$/mmbtu3
Crude
(148
)
Forward crude price
34.38

80.56

69.01

$/barrel 
NGL
3

Forward NGL price
0.28

1.94

0.93

$/gallon 
Commodity options2
 

 
 

 

 

 
Crude
(1
)
Option volatility
15
%
24
%
22
%
 
Power
—

Option volatility
29
%
55
%
35
%
 
 
(387
)
 
 

 

 

 
1
Financial and physical forward commodity contracts are valued using a market approach valuation technique.
2
Commodity options contracts are valued using an option model valuation technique.
3
One million British thermal units (mmbtu).
Schedule of changes in net fair value of derivative assets and liabilities classified as Level 3 in the fair value hierarchy
Changes in net fair value of derivative assets and liabilities classified as Level 3 in the fair value hierarchy were as follows:
Year ended December 31,
2017

2016

(millions of Canadian dollars)
 

 

Level 3 net derivative asset/(liability) at beginning of period
(295
)
54

Total gain/(loss)
 

 

Included in earnings1
(184
)
(113
)
Included in OCI
4

3

Settlements
88

(239
)
Level 3 net derivative liability at end of period
(387
)
(295
)
1
Reported within Transportation and other services revenues, Commodity costs and Operating and administrative expense in the Consolidated Statements of Earnings.