Our earnings, cash flows and other comprehensive income/(loss) (OCI) are subject to movements in foreign exchange rates, interest rates, commodity prices and our share price (collectively, market risks). Formal risk management policies, processes and systems have been designed to mitigate these risks.

We generate certain revenues, incur expenses and hold a number of investments and subsidiaries that are denominated in currencies other than Canadian dollars. As a result, our earnings, cash flows and OCI are exposed to fluctuations resulting from foreign exchange rate variability.

We employ financial derivative instruments to hedge foreign currency denominated earnings exposure. A combination of qualifying and non-qualifying derivative instruments is used to hedge anticipated foreign currency denominated revenues and expenses and to manage variability in cash flows. We hedge certain net investments in US dollar-denominated investments and subsidiaries using foreign currency derivatives and US dollar-denominated debt.

The foreign exchange risks inherent within the CTS framework are not present in the negotiated settlement. Accordingly, our foreign exchange hedging program related to the Canadian Mainline will no longer be required, and the related derivatives were terminated in the first quarter of 2023 for a realized loss of $638 million.

Our earnings and cash flows are exposed to short-term interest rate variability due to the regular repricing of our variable rate debt, primarily commercial paper. We monitor our debt portfolio mix of fixed and variable rate debt instruments to manage a consolidated portfolio of floating rate debt within the Board of Directors' approved policy limit of a maximum of 30% of floating rate debt as a percentage of total debt outstanding. We primarily use qualifying derivative instruments to manage interest rate risk. Pay fixed-receive floating interest rate swaps may be used to hedge against the effect of future interest rate movements. We have implemented a hedging program to partially mitigate the impact of short-term interest rate volatility on interest expense via the execution of floating-to-fixed interest rate swaps and costless collars. These swaps have an average fixed rate of 4.2%.

On March 8, 2023, we issued US$700 million three-year fixed rate notes, which include the right for us to call at par after the first year. A corresponding fix-to-floating cancellable swap was also executed which gives the swap counterparty a similar right to cancel the swap after the first year. This swap has a fixed rate of 6.0%.

Our earnings and cash flows are also exposed to variability in longer term interest rates ahead of anticipated fixed rate term debt issuances. Forward starting interest rate swaps are used to hedge against the effect of future interest rate movements. We have established a program including some of our subsidiaries to partially mitigate our exposure to long-term interest rate variability on forecasted term debt issuances via the execution of floating-to-fixed interest rate swaps with an average swap rate of 2.7%.

Our earnings and cash flows are exposed to changes in commodity prices as a result of our ownership interests in certain assets and investments, as well as through the activities of our energy services subsidiaries. These commodities include natural gas, crude oil, power and natural gas liquids (NGL). We employ financial and physical derivative instruments to fix a portion of the variable price exposures that arise from physical transactions involving these commodities. We use primarily non-qualifying derivative instruments to manage commodity price risk.

Equity price risk is the risk of earnings fluctuations due to changes in our share price. We have exposure to our own common share price through the issuance of various forms of stock-based compensation, which affect earnings through the revaluation of outstanding units every period. We use equity derivatives to manage the earnings volatility derived from one form of stock-based compensation, RSUs. We use a combination of qualifying and non-qualifying derivative instruments to manage equity price risk.

We generally have a policy of entering into individual International Swaps and Derivatives Association, Inc. (ISDA) agreements, or other similar derivative agreements, with the majority of our financial derivative counterparties. These agreements provide for the net settlement of derivative instruments outstanding with specific counterparties in the event of bankruptcy or other significant credit events and reduce our credit risk exposure on financial derivative asset positions outstanding with the counterparties in those circumstances.

The following table summarizes the Consolidated Statements of Financial Position location and carrying value of our derivative instruments, as well as the maximum potential settlement amounts, in the event of the specific circumstances described above. All amounts are presented gross in the Consolidated Statements of Financial Position.


December 31, 2022	Derivative Instruments Used as Cash Flow 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)
Other current assets
Foreign exchange contracts	—	—	46	46	(41)	5
Interest rate contracts	649	—	11	660	—	660
Commodity contracts	—	—	302	302	(182)	120
Other contracts	—	—	7	7	—	7
	649	—	366	1,015	(223)	792
Deferred amounts and other assets
Foreign exchange contracts	—	156	153	309	(138)	171
Interest rate contracts	254	—	—	254	—	254
Commodity contracts	—	—	61	61	(25)	36
Other contracts	1	—	2	3	—	3
	255	156	216	627	(163)	464
Other current liabilities
Foreign exchange contracts	—	(42)	(524)	(566)	41	(525)

Commodity contracts	(48)	—	(284)	(332)	182	(150)

	(48)	(42)	(808)	(898)	223	(675)
Other long-term liabilities
Foreign exchange contracts	—	—	(1,116)	(1,116)	138	(978)
Interest rate contracts	(3)	—	(1)	(4)	—	(4)
Commodity contracts	(37)	—	(133)	(170)	25	(145)

	(40)	—	(1,250)	(1,290)	163	(1,127)
Total net derivative asset/(liability)
Foreign exchange contracts	—	114	(1,441)	(1,327)	—	(1,327)
Interest rate contracts	900	—	10	910	—	910
Commodity contracts	(85)	—	(54)	(139)	—	(139)
Other contracts	1	—	9	10	—	10
	816	114	(1,476)	(546)	—	(546)


September 30, 2023	2023	2024	2025	2026	2027	Thereafter	Total
Foreign exchange contracts - US dollar forwards - purchase (millions of US dollars)	114	1,000	500	—	—	—	1,614
Foreign exchange contracts - US dollar forwards - sell (millions of US dollars)	1,593	5,440	4,955	4,325	3,647	2,886	22,846
Foreign exchange contracts - British pound (GBP) forwards - sell (millions of GBP)	7	30	30	28	32	—	127

Foreign exchange contracts - Euro forwards - sell (millions of Euro)	27	91	86	85	81	262	632
Foreign exchange contracts - Japanese yen forwards - purchase (millions of yen)	—	—	84,800	—	—	—	84,800
Interest rate contracts - short-term debt pay fixed rate (millions of Canadian dollars)	2,656	5,645	1,364	1,097	75	39	10,876
Interest rate contracts - short-term debt receive fixed rate (millions of Canadian dollars)	229	946	946	179	—	—	2,300
Interest rate contracts - long-term debt pay fixed rate (millions of Canadian dollars)	1,726	400	588	—	—	—	2,714
Interest rate contracts - costless collar (millions of Canadian dollars)	—	—	394	11	—	—	405
Equity contracts (millions of Canadian dollars)	—	33	12	—	—	—	45
Commodity contracts - natural gas (billions of cubic feet)	6	45	27	9	7	—	94
Commodity contracts - crude oil (millions of barrels)	5	(3)	—	—	—	—	2

Commodity contracts - power (megawatt per hour) (MW/H)	61	3	(42)	(49)	(53)	(50)	(33)	1

For foreign exchange derivative instruments that are designated and qualify as fair value hedges, the gain or loss on the derivative is included in Other income/(expense) or Interest expense in the Consolidated Statements of Earnings. The offsetting loss or gain on the hedged item attributable to the hedged risk is included in Other income/(expense) in the Consolidated Statements of Earnings. Any excluded components are included in the Consolidated Statements of Comprehensive Income.


	Three months ended September 30,		Nine months ended September 30,
	2023	2022	2023	2022
(millions of Canadian dollars)
Unrealized gain/(loss) on derivative	35	122	(107)	221
Unrealized gain/(loss) on hedged item	(35)	(122)	106	(211)
Realized loss on derivative	(11)	(5)	(34)	(101)
Realized gain on hedged item	—	—	—	85


	Three months ended September 30,		Nine months ended September 30,
	2023	2022	2023	2022
(millions of Canadian dollars)
Amount of unrealized gain/(loss) recognized in OCI
Cash flow hedges
Foreign exchange contracts	—	1	—	3
Interest rate contracts	313	230	423	1,087
Commodity contracts	20	(16)	56	(27)
Other contracts	(1)	(4)	(3)	(4)
Fair value hedges
Foreign exchange contracts	2	(33)	11	(38)


	334	178	487	1,021
Amount of loss reclassified from AOCI to earnings
Foreign exchange contracts1	—	—	—	13
Interest rate contracts2	40	45	63	187
Commodity contracts3	1	—	—	—
Other contracts4	—	1	1	3
	41	46	64	203

We estimate that a gain of $20 million from AOCI related to cash flow hedges will be reclassified to earnings in the next 12 months. Actual amounts reclassified to earnings depend on the foreign exchange rates, interest rates and commodity prices in effect when derivative contracts that are currently outstanding mature. For all forecasted transactions, the maximum term over which we are hedging exposures to the variability of cash flows is 27 months as at September 30, 2023.


	Three months ended September 30,		Nine months ended September 30,
	2023	2022	2023	2022
(millions of Canadian dollars)
Foreign exchange contracts1	(650)	(1,379)	415	(1,752)
Interest rate contracts2	17	17	72	1
Commodity contracts3	(229)	89	(206)	59
Other contracts4	(3)	(3)	(11)	1
Total unrealized derivative fair value gain/(loss), net	(865)	(1,276)	270	(1,691)

1For the respective nine months ended periods, reported within Transportation and other services revenues (2023 - $645 million gain; 2022 - $375 million loss) and Other income/(expense) (2023 - $230 million loss; 2022 - $1,377 million loss) in the Consolidated Statements of Earnings.

3For the respective nine months ended periods, reported within Transportation and other services revenues (2023 - $85 million loss; 2022 - $12 million gain), Commodity sales (2023 - $75 million gain; 2022 - $151 million gain), Commodity costs (2023 - $136 million loss; 2022 - $116 million loss) and Operating and administrative expense (2023 - $60 million loss; 2022 - $12 million gain) in the Consolidated Statements of Earnings.

Liquidity risk is the risk that we will not be able to meet our financial obligations, including commitments and guarantees, as they become due. In order to mitigate this risk, we forecast cash requirements over a 12-month rolling time period to determine whether sufficient funds will be available and maintain substantial capacity under our committed bank lines of credit to address any contingencies. Our primary sources of liquidity and capital resources are funds generated from operations, the issuance of commercial paper and draws under committed credit facilities and long-term debt, which includes debentures and medium-term notes. Our shelf prospectuses with securities regulators enable ready access to either the Canadian or US public capital markets, subject to market conditions. In addition, we maintain sufficient liquidity through committed credit facilities with a diversified group of banks and institutions which, if necessary, enables us to fund all anticipated requirements for approximately one year without accessing the capital markets. We were in compliance with all the terms and conditions of our committed credit facility agreements and term debt indentures as at September 30, 2023. As a result, all credit facilities are available to us and the banks are obligated to fund us under the terms of the facilities.

Entering into derivative instruments may result in exposure to credit risk from the possibility that a counterparty will default on its contractual obligations. In order to mitigate this risk, we enter into risk management transactions primarily with institutions that possess strong investment grade credit ratings. Credit risk relating to derivative counterparties is mitigated through the maintenance and monitoring of credit exposure limits and contractual requirements, netting arrangements and ongoing monitoring of counterparty credit exposure using external credit rating services and other analytical tools.

As at September 30, 2023, we did not provide any letters of credit in lieu of providing cash collateral to our counterparties pursuant to the terms of the relevant ISDA agreements. We held no cash collateral on derivative asset exposures as at September 30, 2023 and December 31, 2022.

Gross derivative balances have been presented without the effects of collateral posted. Derivative assets are adjusted for non-performance risk of our counterparties using their credit default swap spread rates and are reflected at fair value. For derivative liabilities, our non-performance risk is considered in the valuation.

Credit risk also arises from trade and other long-term receivables, and is mitigated through credit exposure limits and contractual requirements, the assessment of credit ratings and netting arrangements. Within Enbridge Gas, credit risk is mitigated by the utility's large and diversified customer base and the ability to recover an estimate for expected credit losses through the ratemaking process. We actively monitor the financial strength of large industrial customers and, in select cases, have obtained additional security to minimize the risk of default on receivables. Generally, we utilize a loss allowance matrix which contemplates historical credit losses by age of receivables, adjusted for any forward-looking information and management expectations to measure lifetime expected credit losses of receivables. The maximum exposure to credit risk related to non-derivative financial assets is their carrying value.

Our financial assets and liabilities measured at fair value on a recurring basis include derivatives and other financial instruments. We also disclose the fair value of other financial instruments not measured at fair value. The fair value of financial instruments reflects our best estimates of market value based on generally accepted valuation techniques or models and is supported by observable market prices and rates. When such values are not available, we use discounted cash flow analysis from applicable yield curves based on observable market inputs to estimate fair value.

Level 1 includes financial instruments measured at fair value based on unadjusted quoted prices for identical assets and liabilities in active markets that are accessible at the measurement date. An active market for a financial instrument is considered to be a market where transactions occur with sufficient frequency and volume to provide pricing information on an ongoing basis. Our Level 1 instruments consist primarily of exchange-traded derivatives used to mitigate the risk of crude oil price fluctuations, US and Canadian treasury bills, investments in exchange-traded funds held by our captive insurance subsidiaries, as well as restricted long-term investments in exchange-traded funds that are held in trust in accordance with the CER's regulatory requirements under the Land Matters Consultation Initiative (LMCI).

Level 2 includes financial instrument valuations determined using directly or indirectly observable inputs other than quoted prices included within Level 1. Financial instruments in this category are valued using models or other industry standard valuation techniques derived from observable market data. Such valuation techniques include inputs such as quoted forward prices, time value, volatility factors and broker quotes that can be observed or corroborated in the market for the entire duration of the financial instrument. Derivatives valued using Level 2 inputs include non-exchange traded derivatives such as over-the-counter foreign exchange forward and cross-currency swap contracts, interest rate swaps, physical forward commodity contracts, as well as commodity swaps and options for which observable inputs can be obtained.

We have also categorized the fair value of our long-term debt, investments in debt securities held by our captive insurance subsidiaries, and restricted long-term investments in Canadian government bonds held in trust in accordance with the CER's regulatory requirements under the LMCI as Level 2. The fair value of our long-term debt is based on quoted market prices for instruments of similar yield, credit risk and tenor. When possible, the fair value of our restricted long-term investments is based on quoted market prices for similar instruments and, if not available, based on broker quotes.

Level 3 includes derivative valuations based on inputs which are less observable, unavailable or where the observable data does not support a significant portion of the derivatives' fair value. Generally, Level 3 derivatives are longer dated transactions, occur in less active markets, occur at locations where pricing information is not available or have no binding broker quote to support Level 2 classification. We have developed methodologies, benchmarked against industry standards, to determine fair value for these derivatives based on the extrapolation of observable future prices and rates. Derivatives valued using Level 3 inputs primarily include long-dated derivative power, NGL and natural gas contracts, basis swaps, commodity swaps, and power and energy swaps, as well as physical forward commodity contracts. We do not have any other financial instruments categorized in Level 3.

We use the most observable inputs available to estimate the fair value of our derivatives. When possible, we estimate the fair value of our derivatives based on quoted market prices. If quoted market prices are not available, we use estimates from third party brokers. For non-exchange traded derivatives classified in Levels 2 and 3, we use standard valuation techniques to calculate the estimated fair value. These methods include discounted cash flows for forwards and swaps and Black-Scholes-Merton pricing models for options. Depending on the type of derivative and nature of the underlying risk, we use observable market prices (interest, foreign exchange, commodity and share price) and volatility as primary inputs to these valuation techniques. Finally, we consider our own credit default swap spread, as well as the credit default swap spreads associated with our counterparties, in our estimation of fair value.


September 30, 2023	Level 1	Level 2	Level 3	Total Gross Derivative Instruments
(millions of Canadian dollars)
Financial assets
Current derivative assets
Foreign exchange contracts	—	103	—	103
Interest rate contracts	—	384	—	384
Commodity contracts	58	36	112	206

	58	523	112	693
Long-term derivative assets
Foreign exchange contracts	—	140	—	140
Interest rate contracts	—	149	—	149
Commodity contracts	—	16	41	57

	—	305	41	346
Financial liabilities
Current derivative liabilities
Foreign exchange contracts	—	(212)	—	(212)
Interest rate contracts	—	(3)	—	(3)
Commodity contracts	(93)	(50)	(219)	(362)
Other contracts	—	(2)	—	(2)
	(93)	(267)	(219)	(579)
Long-term derivative liabilities
Foreign exchange contracts	—	(1,040)	—	(1,040)
Interest rate contracts	—	(2)	—	(2)
Commodity contracts	—	(20)	(156)	(176)
Other contracts	—	(2)	—	(2)
	—	(1,064)	(156)	(1,220)
Total net financial asset/(liability)
Foreign exchange contracts	—	(1,009)	—	(1,009)
Interest rate contracts	—	528	—	528
Commodity contracts	(35)	(18)	(222)	(275)
Other contracts	—	(4)	—	(4)
	(35)	(503)	(222)	(760)


December 31, 2022	Level 1	Level 2	Level 3	Total Gross Derivative Instruments
(millions of Canadian dollars)
Financial assets
Current derivative assets
Foreign exchange contracts	—	46	—	46
Interest rate contracts	—	660	—	660
Commodity contracts	65	90	147	302
Other contracts	—	7	—	7
	65	803	147	1,015
Long-term derivative assets
Foreign exchange contracts	—	309	—	309
Interest rate contracts	—	254	—	254
Commodity contracts	—	17	44	61
Other contracts	—	3	—	3
	—	583	44	627
Financial liabilities
Current derivative liabilities
Foreign exchange contracts	—	(566)	—	(566)

Commodity contracts	(60)	(77)	(195)	(332)

	(60)	(643)	(195)	(898)
Long-term derivative liabilities
Foreign exchange contracts	—	(1,116)	—	(1,116)
Interest rate contracts	—	(4)	—	(4)
Commodity contracts	—	(38)	(132)	(170)

	—	(1,158)	(132)	(1,290)
Total net financial asset/(liability)
Foreign exchange contracts	—	(1,327)	—	(1,327)
Interest rate contracts	—	910	—	910
Commodity contracts	5	(8)	(136)	(139)
Other contracts	—	10	—	10
	5	(415)	(136)	(546)


September 30, 2023	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	(20)	Forward gas price	1.69	10.93	4.67	$/mmbtu2
Crude	(32)	Forward crude price	83.38	120.51	98.08	$/barrel

Power	(77)	Forward power price	30.75	160.92	65.98	$/MW/H
Commodity contracts - physical1
Natural gas	(13)	Forward gas price	1.58	23.92	5.04	$/mmbtu2
Crude	(19)	Forward crude price	84.35	128.65	107.59	$/barrel

Power	(61)	Forward power price	24.47	164.58	61.70	$/MW/H
	(222)

If adjusted, the significant unobservable inputs disclosed in the table above would have a direct impact on the fair value of our Level 3 derivative instruments. The significant unobservable inputs used in the fair value measurement of Level 3 derivative instruments include forward commodity prices. Changes in forward commodity prices could result in significantly different fair values for our Level 3 derivatives.


	Nine months ended September 30,
	2023	2022
(millions of Canadian dollars)
Level 3 net derivative liability at beginning of period	(136)	(108)
Total gain/(loss)
Included in earnings1	(205)	41
Included in OCI	—	(28)
Settlements	119	(2)
Level 3 net derivative liability at end of period	(222)	(97)

During the nine months ended September 30, 2023 and 2022, we recognized unrealized foreign exchange gains of $86 million and losses of $1,191 million, respectively, on the translation of US dollar-denominated debt, in OCI. No unrealized gains or losses on the change in fair value of our outstanding foreign exchange forward contracts were recognized in OCI during the nine months ended September 30, 2023 and 2022. No realized gains or losses associated with the settlement of foreign exchange forward contracts were recognized in OCI during the nine months ended September 30, 2023 and 2022. During the nine months ended September 30, 2023 and 2022, we recognized a realized loss of $44 million and nil, respectively, associated with the settlement of US dollar-denominated debt that had matured during the period, in OCI.

Certain long-term investments in other entities with no actively quoted prices are classified as Fair Value Measurement Alternative (FVMA) investments and are recorded at cost less impairment. The carrying value of FVMA investments totaled $209 million and $102 million as at September 30, 2023 and December 31, 2022, respectively.

As at September 30, 2023, we had investments with a fair value of $635 million included in Restricted long-term investments in the Consolidated Statements of Financial Position (December 31, 2022 - $593 million). These securities are classified as available-for-sale and represent restricted funds which are collected from customers and held in trust for the purpose of funding pipeline abandonment in accordance with the CER's regulatory requirements.

We had restricted long-term investments held in trust totaling $252 million as at September 30, 2023, which are classified as Level 1 in the fair value hierarchy (December 31, 2022 - $236 million). We also had restricted long-term investments held in trust totaling $383 million (cost basis - $474 million) and $357 million (cost basis - $437 million) as at September 30, 2023 and December 31, 2022, respectively, which are classified as Level 2 in the fair value hierarchy. There were unrealized holding losses of $44 million and $7 million on these investments for the three and nine months ended September 30, 2023, respectively (2022 - gains of $11 million and losses of $120 million, respectively).