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RISK MANAGEMENT AND FINANCIAL INSTRUMENTS (Tables)

3 Months Ended

Mar. 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.

March 31, 2021			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)
Accounts receivable and other
Foreign exchange contracts			—						—			242			242						(36)			206
Commodity contracts			—						—			158			158						(93)			65
Other contracts			1						—			1			2						—			2
			1						—			401			402						(129)			273
Deferred amounts and other assets
Foreign exchange contracts			—						—			465			465						(211)			254
Interest rate contracts			247						—			—			247						(26)			221
Commodity contracts			—						—			47			47						(14)			33
Other contracts			1						—			1			2						—			2
			248						—			513			761						(251)			510
Accounts payable and other
Foreign exchange contracts			(10)						(120)			(119)			(249)						36			(213)
Interest rate contracts			(240)						—			—			(240)						—			(240)
Commodity contracts			(4)						—			(221)			(225)						93			(132)
			(254)						(120)			(340)			(714)						129			(585)
Other long-term liabilities
Foreign exchange contracts			—						—			(543)			(543)						211			(332)
Interest rate contracts			(79)						—			(23)			(102)						26			(76)
Commodity contracts			(4)						—			(66)			(70)						14			(56)
			(83)						—			(632)			(715)						251			(464)
Total net derivative assets/(liabilities)
Foreign exchange contracts			(10)						(120)			45			(85)						—			(85)
Interest rate contracts			(72)						—			(23)			(95)						—			(95)
Commodity contracts			(8)						—			(82)			(90)						—			(90)
Other contracts			2						—			2			4						—			4
			(88)						(120)			(58)			(266)						—			(266)

December 31, 2020			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)
Accounts receivable and other
Foreign exchange contracts			—						—			180			180						(28)			152
Commodity contracts			—						—			143			143						(81)			62
			—						—			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
			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)
			(219)						(87)			(753)			(1,059)						252			(807)
Total net derivative assets/(liabilities)
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.

March 31, 2021			2021			2022			2023			2024			2025			Thereafter			Total
Foreign exchange contracts - US dollar forwards - purchase (millions of US dollars)			1,237			1,750			—			—			—			—			2,987
Foreign exchange contracts - US dollar forwards - sell (millions of US dollars)			4,331			5,853			3,784			1,856			648			—			16,472
Foreign exchange contracts - British pound (GBP) forwards - sell (millions of GBP)			75			28			29			30			30			60			252
Foreign exchange contracts - Euro forwards - sell (millions of Euro)			85			94			92			91			86			428			876
Foreign exchange contracts - Japanese yen forwards - purchase (millions of yen)			—			72,500			—			—			—			—			72,500
Interest rate contracts - short-term debt pay fixed rate (millions of Canadian dollars)			2,960			394			47			35			30			90			3,556
Interest rate contracts - long-term debt pay fixed rate (millions of Canadian dollars)			2,060			1,980			1,328			—			—			—			5,368
Equity contracts (millions of Canadian dollars)			39			7			11			—			—			—			57
Commodity contracts - natural gas (billions of cubic feet)2			133			38			14			4			11			—			200
Commodity contracts - crude oil (millions of barrels)2			8			—			—			—			—			—			8
Commodity contracts - power (megawatt per hour) (MW/H)			(14)			(43)			(43)			(43)			(43)			—			(39)			1

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

2 Total is a net purchase/(sale) of underlying commodity.

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

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

			Three months ended March 31,
			2021			2020
(millions of Canadian dollars)
Unrealized gain/(loss) on derivative			(3)			218
Unrealized loss on hedged item			(4)			(203)
Realized loss on derivative			(39)			(12)
Realized gain on hedged item			45			—

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

			Three months ended March 31,
			2021			2020
(millions of Canadian dollars)
Amount of unrealized gain/(loss) recognized in OCI
Cash flow hedges
Foreign exchange contracts			(20)			19
Interest rate contracts			497			(715)
Commodity contracts			(8)			9
Other contracts			3			(7)
Fair value hedges
Foreign exchange contracts			(1)			3
Net investment hedges
Foreign exchange contracts			—			(7)
			471			(698)
Amount of loss reclassified from AOCI to earnings
Foreign exchange contracts1			1			1
Interest rate contracts2			63			43
Commodity contracts			1			—
Other contracts3			—			—
			65			44

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

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

3    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

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,
			2021			2020
(millions of Canadian dollars)
Foreign exchange contracts1			236			(2,003)
Interest rate contracts2			2			(18)
Commodity contracts3			72			473
Other contracts4			5			(8)
Total unrealized derivative fair value gain/(loss), net			315			(1,556)

1    For the respective three months ended periods, reported within Transportation and other services revenues (2021 - $154 million gain; 2020 - $1,061 million loss) and Net foreign currency gain/(loss) (2021 - $82 million gain; 2020 - $942 million loss) in the Consolidated Statements of Earnings.

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

3    For the respective three months ended periods, reported within Transportation and other services revenues (2021 - $3 million loss; 2020 - $34 million gain), Commodity sales (2021 - $171 million gain; 2020 - $1,493 million gain), Commodity costs (2021 - $100 million loss; 2020 - $1,045 million loss) and Operating and administrative expense (2021 - $4 million gain; 2020 - $9 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

We have credit concentrations and credit exposure, with respect to derivative instruments, in the following counterparty segments:

			March 31, 2021			December 31, 2020
(millions of Canadian dollars)
Canadian financial institutions			617			481
US financial institutions			188			99
European financial institutions			—			28
Asian financial institutions			235			167
Other1			118			97
			1,158			872

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

We have categorized our derivative assets and liabilities measured at fair value as follows:

March 31, 2021			Level 1			Level 2			Level 3			Total Gross Derivative Instruments
(millions of Canadian dollars)
Financial assets
Current derivative assets
Foreign exchange contracts			—			242			—			242
Commodity contracts			55			37			66			158
Other contracts			—			2			—			2
			55			281			66			402
Long-term derivative assets
Foreign exchange contracts			—			465			—			465
Interest rate contracts			—			247			—			247
Commodity contracts			8			27			12			47
Other contracts			—			2			—			2
			8			741			12			761
Financial liabilities
Current derivative liabilities
Foreign exchange contracts			—			(249)			—			(249)
Interest rate contracts			—			(240)			—			(240)
Commodity contracts			(55)			(25)			(145)			(225)
			(55)			(514)			(145)			(714)
Long-term derivative liabilities
Foreign exchange contracts			—			(543)			—			(543)
Interest rate contracts			—			(102)			—			(102)
Commodity contracts			(11)			(7)			(52)			(70)
			(11)			(652)			(52)			(715)
Total net financial assets/(liabilities)
Foreign exchange contracts			—			(85)			—			(85)
Interest rate contracts			—			(95)			—			(95)
Commodity contracts			(3)			32			(119)			(90)
Other contracts			—			4			—			4
			(3)			(144)			(119)			(266)

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
Commodity contracts			43			33			67			143
			43			213			67			323
Long-term derivative assets
Foreign exchange contracts			—			466			—			466
Interest rate contracts			—			56			—			56
Commodity contracts			1			24			14			39
			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)
			(1)			(1,009)			(49)			(1,059)
Total net financial assets/(liabilities)
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:

March 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			(6)			Forward gas price			2.70			4.11			3.21			$/mmbtu2
Crude			2			Forward crude price			51.88			74.36			62.08			$/barrel
Power			(47)			Forward power price			19.15			76.00			60.25			$/MW/H
Commodity contracts - physical1
Natural gas			11			Forward gas price			2.06			5.43			3.10			$/mmbtu2
Crude			(81)			Forward crude price			53.92			76.25			55.05			$/barrel
NGL			2			Forward NGL price			0.50			1.21			0.80			$/gallon
			(119)

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

2    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

Changes in 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,
			2021			2020
(millions of Canadian dollars)
Level 3 net derivative liability at beginning of period			(191)			(69)
Total gain/(loss)
Included in earnings1			(72)			349
Included in OCI			(5)			9
Settlements			149			39
Level 3 net derivative (liability)/asset at end of period			(119)			328

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

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