RISK MANAGEMENT AND FINANCIAL INSTRUMENTS (Tables)

12 Months Ended

Dec. 31, 2016

RISK MANAGEMENT AND FINANCIAL INSTRUMENTS

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

	Derivative		Derivative
	Instruments		Instruments		Non-		Total Gross
	Used as		Used as Net		Qualifying		Derivative		Amounts		Total Net
	Cash Flow		Investment		Derivative		Instruments		Available		Derivative
December 31, 2016	Hedges		Hedges		Instruments		as Presented		for Offset		Instruments
(millions of Canadian dollars)
Accounts receivable and other (Note 7)
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 (Note 13)
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 (Note 16)
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 (Note 18)
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	)

	Derivative		Derivative
	Instruments		Instruments		Non-		Total Gross
	Used as		Used as Net		Qualifying		Derivative		Amounts		Total Net
	Cash Flow		Investment		Derivative		Instruments		Available		Derivative
December 31, 2015	Hedges		Hedges		Instruments		as Presented		for Offset		Instruments
(millions of Canadian dollars)
Accounts receivable and other (Note 7)
Foreign exchange contracts	6		2		2		10		(3	)	7
Interest rate contracts	2		-		-		2		(2	)	-
Commodity contracts	7		-		772		779		(211	)	568

	15		2		774		791		(216	)	575

Deferred amounts and other assets (Note 13)
Foreign exchange contracts	114		4		10		128		(127	)	1
Interest rate contracts	18		-		-		18		(14	)	4
Commodity contracts	7		-		220		227		(77	)	150

	139		4		230		373		(218	)	155

Accounts payable and other (Note 16)
Foreign exchange contracts	(1	)	(106	)	(765	)	(872	)	3		(869	)
Interest rate contracts	(379	)	-		(185	)	(564	)	2		(562	)
Commodity contracts	-		-		(501	)	(501	)	194		(307	)
Other contracts	(2	)	-		(6	)	(8	)	-		(8	)

	(382	)	(106	)	(1,457	)	(1,945	)	199		(1,746	)

Other long-term liabilities (Note 18)
Foreign exchange contracts	-		(252	)	(2,796	)	(3,048	)	127		(2,921	)
Interest rate contracts	(405	)	-		(224	)	(629	)	14		(615	)
Commodity contracts	-		-		(260	)	(260	)	77		(183	)
Other contracts	(8	)	-		(5	)	(13	)	-		(13	)

	(413	)	(252	)	(3,285	)	(3,950	)	218		(3,732	)

Total net derivative asset/(liability)
Foreign exchange contracts	119		(352	)	(3,549	)	(3,782	)	-		(3,782	)
Interest rate contracts	(764	)	-		(409	)	(1,173	)	-		(1,173	)
Commodity contracts	14		-		231		245		(17	)1	228
Other contracts	(10	)	-		(11	)	(21	)	-		(21	)

	(641	)	(352	)	(3,738	)	(4,731	)	(17	)	(4,748	)

Amount available for offset includes $17 million of cash collateral.

Summary of the maturity and notional principal or quantity outstanding related to derivative instruments

December 31, 2016	2017		2018		2019		2020		2021		Thereafter
Foreign exchange contracts - United States dollar forwards - purchase (millions of United States dollars)	991		2		2		2		-		-
Foreign exchange contracts - United States dollar forwards - sell (millions of United States dollars)	4,369		2,768		2,943		2,722		566		223
Foreign exchange contracts - GBP forwards - purchase (millions of GBP)	91		6		-		-		-		-
Foreign exchange contracts - GBP forwards - sell (millions of GBP)	-		-		89		25		27		144
Foreign exchange contracts - Japanese yen forwards - purchase (millions of yen)	-		-		32,662		-		-		-
Interest rate contracts - short-term borrowings (millions of Canadian dollars)	6,713		5,161		1,581		153		100		300
Interest rate contracts - long-term debt (millions of Canadian dollars)	3,998		2,743		768		-		-		-
Equity contracts (millions of Canadian dollars)	48		40		-		-		-		-
Commodity contracts - natural gas (billions of cubic feet)	(93	)	(42	)	(17	)	(9	)	-		-
Commodity contracts - crude oil (millions of barrels)	(11	)	(9	)	-		-		-		-
Commodity contracts - NGL (millions of barrels)	(8	)	(6	)	-		-		-		-
Commodity contracts - power (megawatt hours (MWH))	40		30		31		35		(3	)	(43	)

December 31, 2015	2016		2017		2018		2019	2020	Thereafter
Foreign exchange contracts - United States dollar forwards - purchase (millions of United States dollars)	172		413		2		2	2	-
Foreign exchange contracts - United States dollar forwards - sell (millions of United States dollars)	3,059		3,213		3,133		2,630	2,303	787
Foreign exchange contracts - GBP forwards - purchase (millions of GBP)	70		77		6		-	-	-
Foreign exchange contracts - GBP forwards - sell (millions of GBP)	-		-		-		89	25	144
Interest rate contracts - short-term borrowings (millions of Canadian dollars)	8,382		7,604		4,536		1,574	156	406
Interest rate contracts - long-term debt (millions of Canadian dollars)	4,291		3,371		1,960		773	-	-
Equity contracts (millions of Canadian dollars)	51		48		-		-	-	-
Commodity contracts - natural gas (billions of cubic feet)	(126	)	(209	)	(17	)	2	1	-
Commodity contracts - crude oil (millions of barrels)	(6	)	(17	)	(9	)	-	-	-
Commodity contracts - NGL (millions of barrels)	(5	)	1		-		-	-	-
Commodity contracts - power (megawatt hours)	40		40		30		31	35	(35	)

Schedule of effect of cash flow hedges and net investment hedges on consolidated earnings and consolidated comprehensive income, before income taxes

	2016		2015		2014
(millions of Canadian dollars)
Amount of unrealized gains/(loss) recognized in OCI
Cash flow hedges
Foreign exchange contracts	(19	)	77		8
Interest rate contracts	(90	)	(275	)	(1,086	)
Commodity contracts	14		9		50
Other contracts	39		(47	)	13
Net investment hedges

Foreign exchange contracts	22		(248	)	(113	)

	(34	)	(484	)	(1,128	)

Amount of (gains)/loss reclassified from AOCI to earnings (effective portion)
Foreign exchange contracts1	2		9		8
Interest rate contracts2	145		128		101
Commodity contracts3	(12	)	(46	)	4

Other contracts4	(29	)	28		(7	)

	106		119		106

De-designation of qualifying hedges in connection with the Canadian Restructuring Plan
Interest rate contracts 2	-		338		-

	-		338		-

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

Interest rate contracts2	61		21		216

Commodity contracts3	-		5		(6	)

	61		26		210

Reported within Transportation and other services revenues and Other income/(expense) in the Consolidated Statements of Earnings.

Reported within Interest expense in the Consolidated Statements of Earnings.

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

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

Year ended December 31,	2016		2015		2014
(millions of Canadian dollars)
Foreign exchange contracts1	935		(2,187	)	(936	)
Interest rate contracts2	73		(363	)	4
Commodity contracts3	(508	)	199		1,031
Other contracts4	9		(22	)	7

Total unrealized derivative fair value gain/(loss), net	509		(2,373	)	106

Reported within Transportation and other services revenues (2016 - $497 million gain; 2015 - $1,383 million loss; 2014 - $496 million loss) and Other income/(expense) (2016 - $438 million gain; 2015 - $804 million loss; 2014 - $440 million loss) in the Consolidated Statements of Earnings.

Reported as an (increase)/decrease within Interest expense in the Consolidated Statements of Earnings.

Reported within Transportation and other services revenues (2016 - $52 million loss; 2015 - $328 million gain; 2014 - $741 million gain), Commodity sales (2016 - $474 million loss; 2015 - $226 million loss; 2014 - nil), Commodity costs (2016 - $38 million gain; 2015 - $99 million gain; 2014 - $303 million gain) and Operating and administrative expense (2016 - $20 million loss; 2015 - $2 million loss; 2014 - $13 million loss) in the Consolidated Statements of Earnings.

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

December 31,	2016	2015
(millions of Canadian dollars)
Canadian financial institutions	39	47
United States financial institutions	179	450
European financial institutions	106	95
Asian financial institutions	1	4
Other1	162	213

	487	809

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

							Total Gross
							Derivative
December 31, 2016	Level 1		Level 2		Level 3		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	)

							Total Gross
							Derivative
December 31, 2015	Level 1		Level 2		Level 3		Instruments
(millions of Canadian dollars)
Financial assets
Current derivative assets
Foreign exchange contracts	-		10		-		10
Interest rate contracts	-		2		-		2
Commodity contracts	14		210		555		779

	14		222		555		791

Long-term derivative assets
Foreign exchange contracts	-		128		-		128
Interest rate contracts	-		18		-		18
Commodity contracts	-		121		106		227

	-		267		106		373

Financial liabilities
Current derivative liabilities
Foreign exchange contracts	-		(872	)	-		(872	)
Interest rate contracts	-		(564	)	-		(564	)
Commodity contracts	(3	)	(130	)	(368	)	(501	)
Other contracts	-		(8	)	-		(8	)

	(3	)	(1,574	)	(368	)	(1,945	)

Long-term derivative liabilities
Foreign exchange contracts	-		(3,048	)	-		(3,048	)
Interest rate contracts	-		(629	)	-		(629	)
Commodity contracts	-		(21	)	(239	)	(260	)
Other contracts	-		(13	)	-		(13	)

	-		(3,711	)	(239	)	(3,950	)

Total net financial asset/(liability)
Foreign exchange contracts	-		(3,782	)	-		(3,782	)
Interest rate contracts	-		(1,173	)	-		(1,173	)
Commodity contracts	11		180		54		245
Other contracts	-		(21	)	-		(21	)

	11		(4,796	)	54		(4,731	)

Schedule of significant unobservable inputs used in the fair value measurement of Level 3 derivative instruments

			Unobservable	Minimum	Maximum	Weighted
December 31, 2016	Fair Value		Input	Price/Volatility	Price/Volatility	Average Price/Volatility
(fair value in millions of Canadian dollars)
Commodity contracts - financial1
Natural gas	30		Forward gas price	3.65	5.62	4.77	$/mmbtu3
NGL	1		Forward NGL price	0.37	1.66	1.14	$/gallon
Power	(159	)	Forward power price	26.00	78.70	48.32	$/MWH
Commodity contracts - physical1
Natural gas	(72	)	Forward gas price	2.10	11.05	4.24	$/mmbtu3
Crude	(91	)	Forward crude price	40.97	78.94	68.58	$/barrel
NGL	4		Forward NGL price	0.37	1.75	1.06	$/gallon
Commodity options2
Crude	4		Option volatility	22%	33%	25%
NGL	(13	)	Option volatility	32%	103%	57%
Power	1		Option volatility	22%	51%	23%

	(295	)

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

Commodity options contracts are valued using an option model valuation technique.

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

Year ended December 31,	2016		2015
(millions of Canadian dollars)
Level 3 net derivative asset at beginning of period	54		149
Total loss
Included in earnings1	(113	)	136
Included in OCI	3		(1	)
Settlements	(239	)	(230	)

Level 3 net derivative liability at end of period	(295	)	54

Reported within Transportation and other services revenues, Commodity costs and Operating and administrative expense 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