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RISK MANAGEMENT AND FINANCIAL INSTRUMENTS (Tables)

12 Months Ended

Dec. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summary of the Consolidated Statements of Financial Position location and carrying value of derivative instruments

The following table summarizes the maximum potential settlement amounts in the event of these specific circumstances. All amounts are presented gross in the Consolidated Statements of Financial Position.


December 31, 2021	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	—	—	—	259	259	(41)	218
Interest rate contracts	64	—	—	—	64	—	64
Commodity contracts	—	—	—	204	204	(129)	75
Other contracts	—	—	—	2	2	—	2
	64	—	—	465	529	(170)	359
Deferred amounts and other assets
Foreign exchange contracts	—	—	—	240	240	(61)	179
Interest rate contracts	88	—	—	—	88	(1)	87
Commodity contracts	—	—	—	29	29	(13)	16
Other contracts	—	—	—	3	3	—	3
	88	—	—	272	360	(75)	285
Accounts payable and other
Foreign exchange contracts	(15)	—	(112)	(176)	(303)	41	(262)
Interest rate contracts	(150)	—	—	—	(150)	—	(150)
Commodity contracts	(14)	—	—	(250)	(264)	129	(135)
Other contracts	—	—	—	—	—	—	—
	(179)	—	(112)	(426)	(717)	170	(547)
Other long-term liabilities
Foreign exchange contracts	—	—	—	(423)	(423)	61	(362)
Interest rate contracts	(1)	—	—	(23)	(24)	1	(23)
Commodity contracts	(17)	—	—	(67)	(84)	13	(71)
Other contracts	—	—	—	—	—	—	—
	(18)	—	—	(513)	(531)	75	(456)
Total net derivative asset/(liability)
Foreign exchange contracts	(15)	—	(112)	(100)	(227)	—	(227)
Interest rate contracts	1	—	—	(23)	(22)	—	(22)
Commodity contracts	(31)	—	—	(84)	(115)	—	(115)
Other contracts	—	—	—	5	5	—	5
	(45)	—	(112)	(202)	(359)	—	(359)


December 31, 2020	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	—	—	—	180	180	(28)	152
Interest rate contracts	—	—	—	—	—	—	—
Commodity contracts	—	—	—	143	143	(81)	62
Other contracts	—	—	—	—	—	—	—
	—	—	—	323	323	(109)	214
Deferred amounts and other assets
Foreign exchange contracts	14	—	—	452	466	(218)	248
Interest rate contracts	56	—	—	—	56	(25)	31
Commodity contracts	—	—	—	39	39	(9)	30
Other contracts	—	—	—	—	—	—	—
	70	—	—	491	561	(252)	309
Accounts payable and other
Foreign exchange contracts	(5)	—	(29)	(151)	(185)	28	(157)
Interest rate contracts	(423)	—	—	(2)	(425)	—	(425)
Commodity contracts	(2)	—	—	(278)	(280)	81	(199)
Other contracts	(1)	—	—	(3)	(4)	—	(4)
	(431)	—	(29)	(434)	(894)	109	(785)
Other long-term liabilities
Foreign exchange contracts	—	—	(87)	(673)	(760)	218	(542)
Interest rate contracts	(218)	—	—	(23)	(241)	25	(216)
Commodity contracts	(1)	—	—	(57)	(58)	9	(49)
Other contracts	—	—	—	—	—	—	—
	(219)	—	(87)	(753)	(1,059)	252	(807)
Total net derivative asset/(liability)
Foreign exchange contracts	9	—	(116)	(192)	(299)	—	(299)
Interest rate contracts	(585)	—	—	(25)	(610)	—	(610)
Commodity contracts	(3)	—	—	(153)	(156)	—	(156)
Other contracts	(1)	—	—	(3)	(4)	—	(4)
	(580)	—	(116)	(373)	(1,069)	—	(1,069)

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.


	2021								2020
As at December 31,	2022	2023	2024	2025	2026	Thereafter	Total		Total
Foreign exchange contracts - US dollar forwards - purchase (millions of US dollars)	2,508	—	—	—	—	—	2,508		3,522
Foreign exchange contracts - US dollar forwards - sell (millions of US dollars)	9,245	5,596	4,346	3,174	2,574	492	25,427		17,859
Foreign exchange contracts - British pound (GBP) forwards - sell (millions of GBP)	28	29	30	30	28	32	177		265
Foreign exchange contracts - Euro forwards - sell (millions of Euro)	104	92	91	86	85	343	801		885
Foreign exchange contracts - Japanese yen forwards - purchase (millions of yen)	72,500	—	—	—	—	—	72,500		72,500
Interest rate contracts - short-term pay fixed rate (millions of Canadian dollars)	395	47	35	30	26	64	597		4,635
Interest rate contracts - long-term pay fixed rate (millions of Canadian dollars)	2,363	1,784	1,132	—	—	—	5,279		5,396
Equity contracts (millions of Canadian dollars)	20	26	21	—	—	—	67		62
Commodity contracts - natural gas (billions of cubic feet)	165	18	5	11	—	—	199		173
Commodity contracts - crude oil (millions of barrels)	12	—	—	—	—	—	12		15

Commodity contracts - power (megawatt per hour (MW/H)	(43)	(43)	(43)	(43)	—	—	(43)	1	(35)	1

1Total is an average net purchase/(sell) of power.

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:


	2021	2020	2019
(millions of Canadian dollars)
Amount of unrealized gain/(loss) recognized in OCI
Cash flow hedges
Foreign exchange contracts	(29)	(1)	(19)
Interest rate contracts	252	(595)	(559)
Commodity contracts	(28)	2	(25)
Other contracts	1	(3)	10
Fair value hedges
Foreign exchange contracts	(5)	5	—
Net investment hedges
Foreign exchange contracts	—	13	2
	191	(579)	(591)
Amount of (gain)/loss reclassified from AOCI to earnings
Foreign exchange contracts1	5	5	5
Interest rate contracts2	296	253	157
Commodity contracts3	1	—	(1)
Other contracts4	2	(2)	(3)
	304	256	158

1Reported within Transportation and other services revenues and Net foreign currency gain/(loss) in the Consolidated Statements of Earnings.

2Reported within Interest expense in the Consolidated Statements of Earnings.

3Reported within Transportation and other services revenue, Commodity sales revenues, Commodity costs and Operating and administrative expense in the Consolidated Statements of Earnings.

4Reported within Operating and administrative expenses in the Consolidated Statements of Earnings.


Year ended December 31,	2021	2020
(millions of Canadian dollars)
Unrealized gain/(loss) on derivative	8	(116)
Unrealized gain/(loss) on hedged item	(15)	133
Realized loss on derivative	(41)	(12)
Realized gain on hedged item	45	—

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,	2021	2020	2019
(millions of Canadian dollars)
Foreign exchange contracts1	92	902	1,626
Interest rate contracts2	2	(25)	178
Commodity contracts3	71	(114)	(62)
Other contracts4	8	(7)	9
Total unrealized derivative fair value gain/(loss), net	173	756	1,751

1For the respective annual periods, reported within Transportation and other services revenue (2021 - $98 million gain; 2020 - $533 million gain; 2019 - $930 million gain) and Net foreign currency gain/(loss) (2021 - $6 million loss; 2020 - $369 million gain; 2019 - $696 million gain) in the Consolidated Statements of Earnings.

2Reported as an increase within Interest expense in the Consolidated Statements of Earnings.

3For the respective annual periods, reported within Transportation and other services revenue (2021 - $9 million gain; 2020 - $2 million loss; 2019 - $26 million loss), Commodity sales (2021 - $160 million gain; 2020 - $321 million loss; 2019 - $544 million loss), Commodity costs (2021 - $105 million loss; 2020 - $207 million gain; 2019 - $459 million gain) and Operating and administrative expense (2021 - $7 million gain; 2020 - $2 million gain; 2019 - $49 million gain) in the Consolidated Statements of Earnings.

4Reported 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:


December 31,	2021	2020
(millions of Canadian dollars)
Canadian financial institutions	424	481
US financial institutions	130	99
European financial institutions	181	28
Asian financial institutions	30	167
Other1	122	97
	887	872

1Other 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, 2021	Level 1	Level 2	Level 3	Total Gross Derivative Instruments
(millions of Canadian dollars)
Financial assets
Current derivative assets
Foreign exchange contracts	—	259	—	259
Interest rate contracts	—	64	—	64
Commodity contracts	38	71	95	204
Other contracts	—	2	—	2
	38	396	95	529
Long-term derivative assets
Foreign exchange contracts	—	240	—	240
Interest rate contracts	—	88	—	88
Commodity contracts	—	21	8	29
Other contracts	—	3	—	3
	—	352	8	360
Financial liabilities
Current derivative liabilities
Foreign exchange contracts	—	(303)	—	(303)
Interest rate contracts	—	(150)	—	(150)
Commodity contracts	(52)	(66)	(146)	(264)
Other contracts	—	—	—	—
	(52)	(519)	(146)	(717)
Long-term derivative liabilities
Foreign exchange contracts	—	(423)	—	(423)
Interest rate contracts	—	(24)	—	(24)
Commodity contracts	—	(19)	(65)	(84)
Other contracts	—	—	—	—
	—	(466)	(65)	(531)
Total net financial asset/(liability)
Foreign exchange contracts	—	(227)	—	(227)
Interest rate contracts	—	(22)	—	(22)
Commodity contracts	(14)	7	(108)	(115)
Other contracts	—	5	—	5
	(14)	(237)	(108)	(359)


December 31, 2020	Level 1	Level 2	Level 3	Total Gross Derivative Instruments
(millions of Canadian dollars)
Financial assets
Current derivative assets
Foreign exchange contracts	—	180	—	180
Interest rate contracts	—	—	—	—
Commodity contracts	43	33	67	143
Other contracts	—	—	—	—
	43	213	67	323
Long-term derivative assets
Foreign exchange contracts	—	466	—	466
Interest rate contracts	—	56	—	56
Commodity contracts	1	24	14	39
Other contracts	—	—	—	—
	1	546	14	561
Financial liabilities
Current derivative liabilities
Foreign exchange contracts	—	(185)	—	(185)
Interest rate contracts	—	(425)	—	(425)
Commodity contracts	(39)	(18)	(223)	(280)
Other contracts	—	(4)	—	(4)
	(39)	(632)	(223)	(894)
Long-term derivative liabilities
Foreign exchange contracts	—	(760)	—	(760)
Interest rate contracts	—	(241)	—	(241)
Commodity contracts	(1)	(8)	(49)	(58)
Other contracts	—	—	—	—
	(1)	(1,009)	(49)	(1,059)
Total net financial asset/(liability)
Foreign exchange contracts	—	(299)	—	(299)
Interest rate contracts	—	(610)	—	(610)
Commodity contracts	4	31	(191)	(156)
Other contracts	—	(4)	—	(4)
	4	(882)	(191)	(1,069)

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, 2021	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	(19)	Forward gas price	3.12	9.05	4.49	$/mmbtu2
Crude	3	Forward crude price	76.02	98.99	91.73	$/barrel

Power	(60)	Forward power price	31.00	125.13	76.23	$/MW/H
Commodity contracts - physical1
Natural gas	(56)	Forward gas price	2.65	9.25	4.63	$/mmbtu2
Crude	24	Forward crude price	68.66	97.00	87.97	$/barrel

	(108)

1Financial and physical forward commodity contracts are valued using a market approach valuation technique.

2One 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,	2021	2020
(millions of Canadian dollars)
Level 3 net derivative liability at beginning of period	(191)	(69)
Total gain/(loss)
Included in earnings1	(39)	(123)
Included in OCI	(29)	2
Settlements	151	(1)
Level 3 net derivative liability at end of period	(108)	(191)

1Reported within Transportation and other services revenue, Commodity costs and Operating and administrative expenses in the Consolidated Statements of Earnings.

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References + Details

- Definition

Tabular disclosure of all significant concentrations of risk, including credit risk and market risk, arising from all financial instruments (as defined), whether from an individual counterparty or groups of counterparties. The disclosure concerning concentrations of risk may consist of the following information: (1) for concentrations of credit risk disclosure may include: (a) information about the (shared) activity, region, or economic characteristic that identifies the concentration, (b) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the entity would incur if parties to the financial instruments that make up the concentration failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the entity, (c) the policy of requiring collateral or other security to support financial instruments subject to credit risk, information about the entity's access to that collateral or other security, and the nature and a brief description of the collateral or other security supporting those financial instruments, and (d) the policy of entering into master netting arrangements to mitigate the credit risk of financial instruments, information about the arrangements for which the entity is a party, and a brief description of the terms of those arrangements, including the extent to which they would reduce the entity's maximum amount of loss due to credit risk and (2) for disclosure of quantitative information about the market risks of financial instruments that is consistent with the way the company manages or adjusts those risks, disclosure may include: (a) more details about current positions and perhaps activity during the period, (b) the hypothetical effects on comprehensive income (or net assets), or annual income, of several possible changes in market prices, (c) a gap analysis of interest rate re-pricing or maturity dates, (d) the duration of the financial instruments, (e) the entity's value at risk from derivatives and from other positions at the end of the reporting period and the average value at risk during the year, or (f) other ways of reporting quantitative information as internally developed.

+ References + Details