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RISK MANAGEMENT AND FINANCIAL INSTRUMENTS (Tables)

3 Months Ended

Mar. 31, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of the Consolidated Statements of Financial Position Location and Carrying Value of Derivative Instruments

The following tables summarize 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.


March 31, 2024	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	—	32	92	124	(26)	98
Interest rate contracts	51	—	51	102	(50)	52
Commodity contracts	—	—	241	241	(157)	84

	51	32	384	467	(233)	234
Deferred amounts and other assets
Foreign exchange contracts	—	—	124	124	(98)	26
Interest rate contracts	67	—	26	93	(7)	86
Commodity contracts	—	—	87	87	(40)	47

	67	—	237	304	(145)	159
Other current liabilities
Foreign exchange contracts	—	(43)	(195)	(238)	26	(212)
Interest rate contracts	(97)	—	(2)	(99)	50	(49)
Commodity contracts	(4)	—	(311)	(315)	157	(158)
Other contracts	—	—	(1)	(1)	—	(1)
	(101)	(43)	(509)	(653)	233	(420)
Other long-term liabilities
Foreign exchange contracts	—	(51)	(899)	(950)	98	(852)
Interest rate contracts	—	—	(22)	(22)	7	(15)
Commodity contracts	(2)	—	(164)	(166)	40	(126)

	(2)	(51)	(1,085)	(1,138)	145	(993)
Total net derivative asset/(liability)
Foreign exchange contracts	—	(62)	(878)	(940)	—	(940)
Interest rate contracts	21	—	53	74	—	74
Commodity contracts	(6)	—	(147)	(153)	—	(153)
Other contracts	—	—	(1)	(1)	—	(1)
	15	(62)	(973)	(1,020)	—	(1,020)


December 31, 2023	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	—	41	98	139	(32)	107
Interest rate contracts	31	—	34	65	(32)	33
Commodity contracts	—	—	418	418	(270)	148
Other contracts	—	—	1	1	(1)	—
	31	41	551	623	(335)	288
Deferred amounts and other assets
Foreign exchange contracts	—	16	319	335	(122)	213
Interest rate contracts	51	—	2	53	(21)	32
Commodity contracts	—	—	75	75	(41)	34

	51	16	396	463	(184)	279
Other current liabilities
Foreign exchange contracts	—	(44)	(84)	(128)	32	(96)
Interest rate contracts	(183)	—	(3)	(186)	32	(154)
Commodity contracts	(11)	—	(412)	(423)	270	(153)
Other contracts	—	—	(1)	(1)	1	—
	(194)	(44)	(500)	(738)	335	(403)
Other long-term liabilities
Foreign exchange contracts	—	(17)	(481)	(498)	122	(376)
Interest rate contracts	(3)	—	(85)	(88)	21	(67)
Commodity contracts	(7)	—	(159)	(166)	41	(125)

	(10)	(17)	(725)	(752)	184	(568)
Total net derivative liability
Foreign exchange contracts	—	(4)	(148)	(152)	—	(152)
Interest rate contracts	(104)	—	(52)	(156)	—	(156)
Commodity contracts	(18)	—	(78)	(96)	—	(96)
Other contracts	—	—	—	—	—	—
	(122)	(4)	(278)	(404)	—	(404)

Schedule 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, 2024	2024	2025	2026	2027	2028	Thereafter	Total
Foreign exchange contracts - US dollar forwards - purchase (millions of US dollars)	715	500	—	—	—	—	1,215
Foreign exchange contracts - US dollar forwards - sell (millions of US dollars)	5,368	5,327	4,697	4,091	3,162	888	23,533
Foreign exchange contracts - British pound (GBP) forwards - sell (millions of GBP)	25	30	28	32	—	—	115

Foreign exchange contracts - Euro forwards - sell (millions of Euro)	106	126	121	81	67	195	696
Foreign exchange contracts - Japanese yen forwards - purchase (millions of yen)	—	84,800	—	—	—	—	84,800
Interest rate contracts - short-term pay fixed rate (millions of Canadian dollars)	4,726	1,904	1,130	75	25	13	7,873
Interest rate contracts - short-term receive fixed rate (millions of Canadian dollars)	708	947	179	—	—	—	1,834
Interest rate contracts - long-term pay fixed rate (millions of Canadian dollars)1	5,436	588	—	—	—	—	6,024
Interest rate contracts - costless collar (millions of Canadian dollars)	—	1,382	53	—	—	—	1,435

Commodity contracts - natural gas (billions of cubic feet)	50	28	18	12	—	—	108
Commodity contracts - crude oil (millions of barrels)	13	—	—	—	—	—	13

Commodity contracts - power (megawatt per hour (MW/H))	51	(18)	(35)	(51)	(49)	(30)	(25)	2

1Represents the notional amount of long-term debt issuances hedged.

2Total is an average net purchase/(sale) 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 foreign exchange derivative instruments that are designated and qualify as fair value hedges. The realized and unrealized 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 March 31,
		2024	2023
(millions of Canadian dollars)
Unrealized loss on derivative		(63)	(11)
Unrealized gain on hedged item		74	11
Realized gain/(loss) on derivative		59	(11)
Realized loss on hedged item		(79)	—

The following table presents the effect of cash flow hedges and fair value hedges on our consolidated earnings and comprehensive income, before the effect of income taxes:


	Three months ended March 31,
		2024	2023
(millions of Canadian dollars)
Amount of unrealized gain/(loss) recognized in OCI
Cash flow hedges

Interest rate contracts		138	(105)
Commodity contracts		12	34
Other contracts		1	(2)
Fair value hedges
Foreign exchange contracts		(15)	7


		136	(66)
Amount of loss reclassified from AOCI to earnings
Foreign exchange contracts1		19	—
Interest rate contracts2		—	8

Other contracts3		—	1
		19	9

1Reported within Other income/(expense) in the Consolidated Statements of Earnings.

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

3Reported 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,
		2024	2023
(millions of Canadian dollars)
Foreign exchange contracts1		(730)	556
Interest rate contracts2		105	10
Commodity contracts3		(67)	(39)
Other contracts4		(1)	(7)
Total unrealized derivative fair value gain/(loss), net		(693)	520

1For the respective three months ended periods, reported within Transportation and other services revenues (2024 - nil; 2023 - $645 million gain) and Other income/(expense) (2024 - $730 million loss; 2023 - $89 million loss) in the Consolidated Statements of Earnings.

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

3For the respective three months ended periods, reported within Transportation and other services revenues (2024 - $35 million loss; 2023 - $6 million gain), Commodity sales (2024 - $37 million loss; 2023 - $69 million gain), Commodity costs (2024 - $23 million gain; 2023 - $75 million loss) and Operating and administrative expense (2024 - $18 million loss; 2023 - $39 million loss) 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:


	March 31, 2024	December 31, 2023
(millions of Canadian dollars)
Canadian financial institutions	353	457
US financial institutions	91	252
European financial institutions	69	107
Asian financial institutions	85	121
Other1	119	125
	717	1,062

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:


March 31, 2024	Level 1	Level 2	Level 3	Total Gross Derivative Instruments
(millions of Canadian dollars)
Financial assets
Current derivative assets
Foreign exchange contracts	—	124	—	124
Interest rate contracts	—	102	—	102
Commodity contracts	35	82	124	241

	35	308	124	467
Long-term derivative assets
Foreign exchange contracts	—	124	—	124
Interest rate contracts	—	93	—	93
Commodity contracts	—	14	73	87

	—	231	73	304
Financial liabilities
Current derivative liabilities
Foreign exchange contracts	—	(238)	—	(238)
Interest rate contracts	—	(99)	—	(99)
Commodity contracts	(63)	(78)	(174)	(315)
Other contracts	—	(1)	—	(1)
	(63)	(416)	(174)	(653)
Long-term derivative liabilities
Foreign exchange contracts	—	(950)	—	(950)
Interest rate contracts	—	(22)	—	(22)
Commodity contracts	—	(16)	(150)	(166)

	—	(988)	(150)	(1,138)
Total net financial asset/(liability)
Foreign exchange contracts	—	(940)	—	(940)
Interest rate contracts	—	74	—	74
Commodity contracts	(28)	2	(127)	(153)
Other contracts	—	(1)	—	(1)
	(28)	(865)	(127)	(1,020)


December 31, 2023	Level 1	Level 2	Level 3	Total Gross Derivative Instruments
(millions of Canadian dollars)
Financial assets
Current derivative assets
Foreign exchange contracts	—	139	—	139
Interest rate contracts	—	65	—	65
Commodity contracts	142	103	173	418
Other contracts	—	1	—	1
	142	308	173	623
Long-term derivative assets
Foreign exchange contracts	—	335	—	335
Interest rate contracts	—	53	—	53
Commodity contracts	—	24	51	75

	—	412	51	463
Financial liabilities
Current derivative liabilities
Foreign exchange contracts	—	(128)	—	(128)
Interest rate contracts	—	(186)	—	(186)
Commodity contracts	(136)	(76)	(211)	(423)
Other contracts	—	(1)	—	(1)
	(136)	(391)	(211)	(738)
Long-term derivative liabilities
Foreign exchange contracts	—	(498)	—	(498)
Interest rate contracts	—	(88)	—	(88)
Commodity contracts	—	(22)	(144)	(166)

	—	(608)	(144)	(752)
Total net financial asset/(liability)
Foreign exchange contracts	—	(152)	—	(152)
Interest rate contracts	—	(156)	—	(156)
Commodity contracts	6	29	(131)	(96)
Other contracts	—	—	—	—
	6	(279)	(131)	(404)

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, 2024	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	(8)	Forward gas price	1.73	8.97	3.72	$/mmbtu2
Crude	(7)	Forward crude price	84.20	105.12	100.91	$/barrel

Power	(72)	Forward power price	23.64	163.57	61.76	$/MW/H
Commodity contracts - physical1
Natural gas	18	Forward gas price	0.83	12.95	3.39	$/mmbtu2
Crude	12	Forward crude price	79.56	115.53	99.80	$/barrel

Power	(70)	Forward power price	19.59	184.82	63.68	$/MW/H
	(127)

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 the 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,
	2024	2023
(millions of Canadian dollars)
Level 3 net derivative liability at beginning of period	(131)	(136)
Total gain/(loss), unrealized
Included in earnings1	(17)	(44)
Included in OCI	12	33
Settlements	9	(1)
Level 3 net derivative liability at end of period	(127)	(148)

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

- 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