XML 49 R31.htm IDEA: XBRL DOCUMENT v3.19.1
RISK MANAGEMENT AND FINANCIAL INSTRUMENTS (Tables)
 3 Months Ended
Mar. 31, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Summary of the Consolidated Statements of Financial Position location and carrying value of derivative instruments

March 31, 2019
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
—

—

26

26

(26
)
—

Interest rate contracts
7

—

—

7

—

7

Commodity contracts
1

—

171

172

(77
)
95

 
8

—

197

205

(103
)
102

Deferred amounts and other assets
 
 
 
 
 
 
Foreign exchange contracts
13

—

37

50

(36
)
14

Interest rate contracts
—

—

—

—

—

—

Commodity contracts
17

—

18

35

(22
)
13

Other contracts
1

—

1

2

—

2

 
31

—

56

87

(58
)
29

Accounts payable and other
 
 
 
 
 
 
Foreign exchange contracts
(5
)
—

(501
)
(506
)
26

(480
)
Interest rate contracts
(150
)
—

—

(150
)
—

(150
)
Commodity contracts
—

—

(289
)
(289
)
77

(212
)
Other contracts
—

—

(1
)
(1
)
—

(1
)
 
(155
)
—

(791
)
(946
)
103

(843
)
Other long-term liabilities
 
 
 
 
 
 
Foreign exchange contracts
—

(14
)
(1,666
)
(1,680
)
36

(1,644
)
Interest rate contracts
(374
)
—

—

(374
)
—

(374
)
Commodity contracts
—

—

(152
)
(152
)
22

(130
)
Other contracts
—

—

—

—

—

—

 
(374
)
(14
)
(1,818
)
(2,206
)
58

(2,148
)
Total net derivative asset/(liability)
 
 
 
 
 
 
Foreign exchange contracts
8

(14
)
(2,104
)
(2,110
)
—

(2,110
)
Interest rate contracts
(517
)
—

—

(517
)
—

(517
)
Commodity contracts
18

—

(252
)
(234
)
—

(234
)
Other contracts
1

—

—

1

—

1

 
(490
)
(14
)
(2,356
)
(2,860
)
—

(2,860
)
 
December 31, 2018
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
—

—

47

47

(37
)
10

Interest rate contracts
22

—

—

22

(2
)
20

Commodity contracts
2

—

427

429

(114
)
315

 
24

—

474

498

(153
)
345

Deferred amounts and other assets
 
 
 
 
 
 
Foreign exchange contracts
23

—

39

62

(39
)
23

Interest rate contracts
5

—

—

5

—

5

Commodity contracts
19

—

33

52

(21
)
31

 
47

—

72

119

(60
)
59

Accounts payable and other
 
 
 
 
 
 
Foreign exchange contracts
(5
)
—

(610
)
(615
)
37

(578
)
Interest rate contracts
(163
)
—

(178
)
(341
)
2

(339
)
Commodity contracts
—

—

(273
)
(273
)
114

(159
)
Other contracts
(1
)
—

(4
)
(5
)
—

(5
)
 
(169
)
—

(1,065
)
(1,234
)
153

(1,081
)
Other long-term liabilities
 
 
 
 
 
 
Foreign exchange contracts
(1
)
(15
)
(2,196
)
(2,212
)
39

(2,173
)
Interest rate contracts
(201
)
—

—

(201
)
—

(201
)
Commodity contracts
—

—

(178
)
(178
)
21

(157
)
Other contracts
(1
)
—

(1
)
(2
)
—

(2
)
 
(203
)
(15
)
(2,375
)
(2,593
)
60

(2,533
)
Total net derivative asset/(liability)
 
 
 
 
 
 
Foreign exchange contracts
17

(15
)
(2,720
)
(2,718
)
—

(2,718
)
Interest rate contracts
(337
)
—

(178
)
(515
)
—

(515
)
Commodity contracts
21

—

9

30

—

30

Other contracts
(2
)
—

(5
)
(7
)
—

(7
)
 
(301
)
(15
)
(2,894
)
(3,210
)
—

(3,210
)
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.
March 31, 2019
2019

2020

2021

2022

2023

Thereafter1

Foreign exchange contracts - United States dollar forwards - purchase (millions of United States dollars)
895

1

—

—

—

—

Foreign exchange contracts - United States dollar forwards - sell (millions of United States dollars)
3,839

4,893

3,608

1,944

1,804

1,856

Foreign exchange contracts - British pound (GBP) forwards - sell (millions of GBP)
86

25

27

28

29

120

Foreign exchange contracts - Euro forwards - purchase (millions of Euro)
168

—

—

—

—

—

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

23

94

94

92

606

Foreign exchange contracts - Japanese yen forwards - purchase (millions of yen)
32,662

—

—

20,000

—

—

Interest rate contracts - short-term pay fixed rate (millions of Canadian dollars)
6,629

6,178

4,142

407

48

156

Interest rate contracts - long-term receive fixed rate (millions of Canadian dollars)
—

—

—

—

—

—

Interest rate contracts - long-term debt pay fixed rate (millions of Canadian dollars)
2,537

3,142

1,584

—

—

—

Equity contracts (millions of Canadian dollars)
32

20

—

—

—

—

Commodity contracts - natural gas (billions of cubic feet)
(75
)
(15
)
—

(84
)
1

—

Commodity contracts - crude oil (millions of barrels)
4

(2
)
—

—

—

—

Commodity contracts - NGL (millions of barrels)
1

—

—

—

—

—

Commodity contracts - power (megawatt per hour) (MW/H))
98

80

(3
)
(43
)
(43
)
(43
)

1 As at March 31, 2019, thereafter includes an average net purchase/(sell) of power of (43) MW/H for 2024 through 2025.
Schedule of effect of cash flow hedges and net investment hedges on consolidated earnings and consolidated comprehensive income, before income taxes
 
Three months ended
March 31,
 
20191

2018

(millions of Canadian dollars)
 
 
Unrealized gain/(loss) on derivative
—

(8
)
Unrealized gain/(loss) on hedged item
—

8

Realized gain/(loss) on derivative
—

(3
)
Realized gain/(loss) on hedged item
—

3


1.
For the three months ended March 31, 2019, there are no outstanding fair value hedges.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:
 
Three months ended
March 31,
 
2019

2018

(millions of Canadian dollars)
 
 
Amount of unrealized gain/(loss) recognized in OCI
 
 
Cash flow hedges
 
 
Foreign exchange contracts
(10
)
21

Interest rate contracts
(296
)
100

Commodity contracts
(3
)
(2
)
Other contracts
12

(14
)
Net investment hedges
 
 
Foreign exchange contracts
1

16

 
(296
)
121

Amount of (gain)/loss reclassified from AOCI to earnings
 
 
Foreign exchange contracts1
2

(1
)
Interest rate contracts2
32

40

Commodity contracts3
—

(1
)
Other contracts4
(9
)
9

 
25

47

1
Reported within Transportation and other services revenues and Net foreign currency gain/(loss) in the Consolidated Statements of Earnings.
2
Reported within Interest expense in the Consolidated Statements of Earnings. Effective January 1, 2019 hedge ineffectiveness will no longer be measured or recorded. See Note 2 Changes in Accounting Policies.
3
Reported within Transportation and other services revenues, Commodity sales revenues, Commodity costs and Operating and administrative expense in the Consolidated Statements of Earnings.
4
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:
 
Three months ended
March 31,
 
2019

2018

(millions of Canadian dollars)
 
 
Foreign exchange contracts1
616

(424
)
Interest rate contracts2
178

(2
)
Commodity contracts3
(261
)
175

Other contracts4
5

(9
)
Total unrealized derivative fair value gain/(loss), net
538

(260
)
1
For the respective three months ended periods, reported within Transportation and other services revenues (2019 - $352 million gain; 2018 - $297 million loss) and Net foreign currency gain/(loss) (2019 - $264 million gain; 2018 - $127 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 three months ended periods, reported within Transportation and other services revenues (2019 - $26 million loss; 2018 - $1 million loss), Commodity sales (2019 - $642 million loss; 2018 - $82 million gain), Commodity costs (2019 - $398 million gain; 2018 - $84 million gain) and Operating and administrative expense (2019 - $9 million gain; 2018 - $10 million gain) 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 credit concentrations and credit exposure, with respect to derivative instruments, in the following counterparty segments:
 
March 31,
2019

December 31,
2018

(millions of Canadian dollars)
 
 
Canadian financial institutions
21

28

United States financial institutions
51

107

European financial institutions
58

84

Asian financial institutions
—

6

Other1
132

337

 
262

562

 
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:
March 31, 2019
Level 1

Level 2

Level 3

Total Gross
Derivative
Instruments

(millions of Canadian dollars)
 

 

 

 

Financial assets
 

 

 

 

Current derivative assets
 

 

 

 

Foreign exchange contracts
—

26

—

26

Interest rate contracts
—

7

—

7

Commodity contracts
3

10

159

172

 
3

43

159

205

Long-term derivative assets
 

 

 

 

Foreign exchange contracts
—

50

—

50

Commodity contracts
—

13

22

35

Other contracts
—

2

—

2

 
—

65

22

87

Financial liabilities
 

 

 

 

Current derivative liabilities
 

 

 

 

Foreign exchange contracts
—

(506
)
—

(506
)
Interest rate contracts
—

(150
)
—

(150
)
Commodity contracts
(7
)
(16
)
(266
)
(289
)
Other contracts
—

(1
)
—

(1
)
 
(7
)
(673
)
(266
)
(946
)
Long-term derivative liabilities
 

 

 

 

Foreign exchange contracts
—

(1,680
)
—

(1,680
)
Interest rate contracts
—

(374
)
—

(374
)
Commodity contracts
—

(15
)
(137
)
(152
)
 
—

(2,069
)
(137
)
(2,206
)
Total net financial liabilities
 

 

 

 

Foreign exchange contracts
—

(2,110
)
—

(2,110
)
Interest rate contracts
—

(517
)
—

(517
)
Commodity contracts
(4
)
(8
)
(222
)
(234
)
Other contracts
—

1

—

1

 
(4
)
(2,634
)
(222
)
(2,860
)
December 31, 2018
Level 1

Level 2

Level 3

Total Gross
Derivative
Instruments

(millions of Canadian dollars)
 

 

 

 

Financial assets
 

 

 

 

Current derivative assets
 

 

 

 

Foreign exchange contracts
—

47

—

47

Interest rate contracts
—

22

—

22

Commodity contracts
24

45

360

429

 
24

114

360

498

Long-term derivative assets
 

 

 

 

Foreign exchange contracts
—

62

—

62

Interest rate contracts
—

5

—

5

Commodity contracts
—

30

22

52

 
—

97

22

119

Financial liabilities
 

 

 

 

Current derivative liabilities
 

 

 

 

Foreign exchange contracts
—

(615
)
—

(615
)
Interest rate contracts
—

(341
)
—

(341
)
Commodity contracts
(7
)
(28
)
(238
)
(273
)
Other contracts
—

(5
)
—

(5
)
 
(7
)
(989
)
(238
)
(1,234
)
Long-term derivative liabilities
 

 

 

 

Foreign exchange contracts
—

(2,212
)
—

(2,212
)
Interest rate contracts
—

(201
)
—

(201
)
Commodity contracts
—

(23
)
(155
)
(178
)
Other contracts
—

(2
)
—

(2
)
 
—

(2,438
)
(155
)
(2,593
)
Total net financial liabilities
 

 

 

 

Foreign exchange contracts
—

(2,718
)
—

(2,718
)
Interest rate contracts
—

(515
)
—

(515
)
Commodity contracts
17

24

(11
)
30

Other contracts
—

(7
)
—

(7
)
 
17

(3,216
)
(11
)
(3,210
)
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:
March 31, 2019
Fair
Value

Unobservable
Input
Minimum
Price

Maximum
Price

Weighted
Average Price

Unit of
Measurement
(fair value in millions of Canadian dollars)
 
 
 
 
 
 
Commodity contracts - financial1
 
 
 
 
 
 
Natural gas
(18
)
Forward gas price
2.55

5.17

3.47

$/mmbtu2
Crude
38

Forward crude price
42.96

166.19

69.21

$/barrel
Power
(82
)
Forward power price
30.79

71.28

50.21

$/MW/H
Commodity contracts - physical1
 
 
 
 
 
 
Natural gas
(125
)
Forward gas price
1.22

5.17

2.25

$/mmbtu2
Crude
(37
)
Forward crude price
33.12

127.36

76.83

$/barrel
NGL
2

Forward NGL price
0.17

1.11

0.37

$/gallon
 
(222
)
 
 
 
 
 
1
Financial and physical forward commodity contracts are valued using a market approach valuation technique.
2
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:
 
Three months ended
March 31,
 
2019

2018

(millions of Canadian dollars)
 

 

Level 3 net derivative liability at beginning of period
(11
)
(387
)
Total gain/(loss)
 

 

Included in earnings1
(52
)
31

Included in OCI
(3
)
(3
)
Settlements
(156
)
154

Level 3 net derivative liability at end of period
(222
)
(205
)
1
Reported within Transportation and other services revenues, Commodity costs and Operating and administrative expense in the Consolidated Statements of Earnings.