XML 40 R31.htm IDEA: XBRL DOCUMENT v3.7.0.1
RISK MANAGEMENT AND FINANCIAL INSTRUMENTS (Tables)
 6 Months Ended
Jun. 30, 2017
RISK MANAGEMENT AND FINANCIAL INSTRUMENTS  
Summary of the Consolidated Statements of Financial Position location and carrying value of derivative instruments

 

 

Derivative

Derivative

Derivative

 

 

 

 

 

Instruments

Instruments

Instruments

Non-

Total Gross

 

 

 

Used as

Used as Net

Used as

Qualifying

Derivative

Amounts

Total Net

 

Cash Flow

Investment

Fair Value

Derivative

Instruments

Available

Derivative

June 30, 2017

Hedges

Hedges

Hedges

Instruments

as Presented

for Offset

Instruments

(millions of Canadian dollars)

 

 

 

 

 

 

 

Accounts receivable and other

 

 

 

 

 

 

 

Foreign exchange contracts
5
3

-
61
69
(59)
10

Interest rate contracts
1

-
4

-
5
(1)
4

Commodity contracts
7

-

-
185
192
(50)
142

 

 

 

 

 

 

 

 

 
13
3
4
246
266
(110)
156

 

 

 

 

 

 

 

 

Deferred amounts and other assets

 

 

 

 

 

 

 

Foreign exchange contracts
2
2

-
116
120
(111)
9

Interest rate contracts
2

-
19

-
21
(1)
20

Commodity contracts
17

-

-
23
40
(24)
16

 

 

 

 

 

 

 

 

 
21
2
19
139
181
(136)
45

 

 

 

 

 

 

 

 

Accounts payable and other

 

 

 

 

 

 

 

Foreign exchange contracts
(5)
(228)

-
(551)
(784)
59
(725)

Interest rate contracts
(315)

-

-
(133)
(448)
1
(447)

Commodity contracts

-

-

-
(139)
(139)
50
(89)

Other contracts
(1)

-

-
(6)
(7)

-
(7)

 

 

 

 

 

 

 

 

 
(321)
(228)

-
(829)
(1,378)
110
(1,268)

 

 

 

 

 

 

 

 

Other long-term liabilities

 

 

 

 

 

 

 

Foreign exchange contracts

-
(34)

-
(1,533)
(1,567)
111
(1,456)

Interest rate contracts
(266)

-
(9)
(193)
(468)
1
(467)

Commodity contracts

-

-

-
(164)
(164)
24
(140)

Other contracts
(1)

-

-
(1)
(2)

-
(2)

 

 

 

 

 

 

 

 

 
(267)
(34)
(9)
(1,891)
(2,201)
136
(2,065)

 

 

 

 

 

 

 

 

Total net derivative asset/(liability)

 

 

 

 

 

 

 

Foreign exchange contracts
2
(257)

-
(1,907)
(2,162)

-
(2,162)

Interest rate contracts
(578)

-
14
(326)
(890)

-
(890)

Commodity contracts
24

-

-
(95)
(71)

-
(71)

Other contracts
(2)

-

-
(7)
(9)

-
(9)

 

 

 

 

 

 

 

 

 
(554)
(257)
14
(2,335)
(3,132)

-
(3,132)

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

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

 

 

 

 

 

 

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

 

 

 

 

 

 

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

 

 

 

 

 

 

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)

 

 

 

 

 

 

 

 

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

 

June 30, 2017

 
2017
2018
2019
2020
2021

Thereafter

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

 
834
2
2
2

-

-

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

 
3,816
3,041
3,246
3,258
567
223

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

 
62
9

-

-

-

-

Foreign exchange contracts - GBP forwards - sell (millions of GBP)

 

-

-
89
25
27
177

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

 
123
256
340

-

-

-

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

 

-

-

-
35
152
952

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)

 
2,958
5,051
1,629
220
98
296

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

 
891
1,302
900
671
345
320

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

 
2,439
2,714
762

-

-

-

Equity contracts (millions of Canadian dollars)

 
48
40

-

-

-

-

Commodity contracts - natural gas (billions of cubic feet)

 
(81)
(62)
(10)

-
(1)

-

Commodity contracts - crude oil (millions of barrels)

 
(2)
(10)

-

-

-

-

Commodity contracts - NGL (millions of barrels)

 
(5)
(10)

-

-

-

-

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

 
43
30
31
35
(3)
(43)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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 pay fixed rate (millions of Canadian dollars)

 
6,713
5,161
1,581
153
100
300

Interest rate contracts - long-term pay fixed rate (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 (MW/H)

 
40
30
31
35
(3)
(43)

 

 

 

 

 

 

 

 

 

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

 

 

 

Three months ended

June 30,

 

Six months ended

June 30,

 

 

 
2017

 

 
2016

 

 

 
2017

 

 
2016

 

(millions of Canadian dollars)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amount of unrealized gain/(loss) recognized in OCI

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash flow hedges

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign exchange contracts

 

 
3

 

 
2

 

 

 
1

 

 
(33

)

Interest rate contracts

 

 
(41)

 

 
(428

)

 

 
(55)

 

 
(1,004

)

Commodity contracts

 

 
(9)

 

 
(18

)

 

 
12

 

 
(2

)

Other contracts

 

 
(6)

 

 
6

 

 

 
(15)

 

 
37

 

Net investment hedges

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign exchange contracts

 

 
65

 

 
(12

)

 

 
73

 

 
72

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
12

 

 
(450

)

 

 
16

 

 
(930

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amount of (gain)/loss reclassified from AOCI to earnings

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(effective portion)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign exchange contracts1

 

 
(102)

 

 
(1

)

 

 
(101)

 

 
2

 

Interest rate contracts2

 

 
36

 

 
72

 

 

 
84

 

 
51

 

Commodity contracts3

 

 
(2)

 

 
2

 

 

 
(4)

 

 
(6

)

Other contracts4

 

 
4

 

 
(4

)

 

 
13

 

 
(30

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
(64)

 

 
69

 

 

 
(8)

 

 
17

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Amount of (gain)/loss reclassified from AOCI to earnings

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(ineffective portion and amount excluded from effectiveness testing)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts2

 

 
4

 

 
5

 

 

 
6

 

 
31

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
4

 

 
5

 

 

 
6

 

 
31

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1

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

2

Reported within Interest expense in the Consolidated Statements of Earnings.

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

 

 

 

Three months ended
June 30,

 

Six months ended
June 30,

 

 
2017

 

 
2016

 

 
2017

 

 
2016

 

(millions of Canadian dollars)

 

 

 

 

 

 

 

 

 

 

 

 

Foreign exchange contracts1

 
434

 

 
28

 

 
707

 

 
1,044

 

Interest rate contracts2

 
32

 

 
4

 

 
14

 

 
8

 

Commodity contracts3

 
19

 

 
(114

)

 
182

 

 
(298

)

Other contracts4

 
(5)

 

 
5

 

 
(5)

 

 
11

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 
480

 

 
(77

)

 
898

 

 
765

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1

For the respective six months ended periods, reported within Transportation and other services revenues (2017 - $398 million gain; 2016 - $564 million gain) and Other income/(expense) (2017 - $309 million gain; 2016 - $480 million gain) in the Consolidated Statements of Earnings.

2

Reported as a decrease within Interest expense in the Consolidated Statements of Earnings.

3

For the respective six months ended periods, reported within Transportation and other services revenues (2017 - $37 million loss; 2016 - $2 million gain), Commodity sales (2017 - $197 million gain; 2016 - $302 million loss), Commodity costs (2017 - $9 million gain; 2016 - $6 million gain) and Operating and administrative expense (2017 - $13 million gain; 2016 - $4 million loss) 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

 

 

 

June 30,
2017

 

 

December 31,
2016

 

(millions of Canadian dollars)

 

 

 

 

 

 

Canadian financial institutions

 
56

 

 
39

 

United States financial institutions

 
82

 

 
179

 

European financial institutions

 
133

 

 
106

 

Asian financial institutions

 
4

 

 
1

 

Other1

 
126

 

 
162

 

 

 

 

 

 

 

 

 

 
401

 

 
487

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

Total Gross

 

 

 

 

 

 

 

 

Derivative

June 30, 2017

 

Level 1

 

Level 2

 

Level 3

 

Instruments

(millions of Canadian dollars)

 

 

 

 

 

 

 

 

Financial assets

 

 

 

 

 

 

 

 

Current derivative assets

 

 

 

 

 

 

 

 

Foreign exchange contracts

 

-

 
69

 

-

 
69

Interest rate contracts

 

-

 
5

 

-

 
5

Commodity contracts

 
7

 
68

 
117

 
192

 

 

 

 

 

 

 

 

 

 

 
7

 
142

 
117

 
266

 

 

 

 

 

 

 

 

 

Long-term derivative assets

 

 

 

 

 

 

 

 

Foreign exchange contracts

 

-

 
120

 

-

 
120

Interest rate contracts

 

-

 
21

 

-

 
21

Commodity contracts

 

-

 
5

 
35

 
40

 

 

 

 

 

 

 

 

 

 

 

-

 
146

 
35

 
181

 

 

 

 

 

 

 

 

 

Financial liabilities

 

 

 

 

 

 

 

 

Current derivative liabilities

 

 

 

 

 

 

 

 

Foreign exchange contracts

 

-

 
(784)

 

-

 
(784)

Interest rate contracts

 

-

 
(448)

 

-

 
(448)

Commodity contracts

 
(4)

 
(37)

 
(98)

 
(139)

Other contracts

 

-

 
(7)

 

-

 
(7)

 

 

 

 

 

 

 

 

 

 

 
(4)

 
(1,276)

 
(98)

 
(1,378)

 

 

 

 

 

 

 

 

 

Long-term derivative liabilities

 

 

 

 

 

 

 

 

Foreign exchange contracts

 

-

 
(1,567)

 

-

 
(1,567)

Interest rate contracts

 

-

 
(468)

 

-

 
(468)

Commodity contracts

 

-

 
(6)

 
(158)

 
(164)

Other

 

-

 
(2)

 

-

 
(2)

 

 

 

 

 

 

 

 

 

 

 

-

 
(2,043)

 
(158)

 
(2,201)

 

 

 

 

 

 

 

 

 

Total net financial asset/(liability)

 

 

 

 

 

 

 

 

Foreign exchange contracts

 

-

 
(2,162)

 

-

 
(2,162)

Interest rate contracts

 

-

 
(890)

 

-

 
(890)

Commodity contracts

 
3

 
30

 
(104)

 
(71)

Other contracts

 

-

 
(9)

 

-

 
(9)

 

 

 

 

 

 

 

 

 

 

 
3

 
(3,031)

 
(104)

 
(3,132)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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)

 

 

 

 

 

 

 

 

 

 

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

 

June 30, 2017

 

Fair
Value

 

Unobservable
Input

 

Minimum
Price/Volatility

 

Maximum
Price/Volatility

 

Weighted
Average Price

 

Unit of
Measurement

(fair value in millions of Canadian dollars)

 

 

 

 

 

 

 

 

 

 

 

 

Commodity contracts - financial1

 

 

 

 

 

 

 

 

 

 

 

 

Natural gas

 
11

 

Forward gas price

 
3.09

 
4.53

 
3.84

 

$/mmbtu3

Crude

 
1

 

Forward crude price

 
40.91

 
47.61

 
44.83

 

$/barrel

NGL

 

-

 

Forward NGL price

 
0.33

 
1.38

 
1.04

 

$/gallon

Power

 
(135

)

Forward power price

 
27.95

 
67.03

 
47.15

 

$/MW/H

Commodity contracts - physical1

 

 

 

 

 

 

 

 

 

 

 

 

Natural gas

 
(30

)

Forward gas price

 
2.30

 
8.95

 
3.47

 

$/mmbtu3

Crude

 
39

 

Forward crude price

 
39.51

 
72.27

 
56.50

 

$/barrel

NGL

 
6

 

Forward NGL price

 
0.32

 
1.96

 
0.98

 

$/gallon

Commodity options2

 

 

 

 

 

 

 

 

 

 

 

 

Crude

 
3

 

Option volatility

 
23%

 
31%

 
26%

 

 

NGL

 

-

 

Option volatility

 
32%

 
87%

 
56%

 

 

Power

 
1

 

Option volatility

 
26%

 
45%

 
33%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
(104

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1

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

2

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

3

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

 

 

 

Six months ended
June 30,

 

 
2017

 

 
2016

 

(millions of Canadian dollars)

 

 

 

 

 

 

Level 3 net derivative asset/(liability) at beginning of period

 
(295)

 

 
54

 

Total gain/(loss)

 

 

 

 

 

 

Included in earnings1

 
101

 

 
(96

)

Included in OCI

 
8

 

 
(8

)

Settlements

 
82

 

 
(126

)

Level 3 net derivative liability at end of period

 
(104)

 

 
(176

)

 

1

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