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RISK MANAGEMENT AND FINANCIAL INSTRUMENTS (Tables)
 12 Months Ended
Dec. 31, 2019
Risk Management and Financial Instruments [Abstract]  
Summary of Derivative Instruments
The notional amounts and fair value of U.S. dollar-denominated debt designated as a net investment hedge were as follows:
at December 31
 
2019
 
2018
(millions of Canadian $, unless otherwise noted)
 
 
 
 
 
 
Notional amount
 
29,300 (US 22,600)
 
31,000 (US 22,700)
Fair value
 
33,400 (US 25,700)
 
31,700 (US 23,200)

The maturity and notional amount or quantity outstanding related to the Company's derivative instruments excluding hedges of the net investment in foreign operations is as follows:
at December 31, 2019
Power

 
Natural Gas

 
Liquids

 
Foreign Exchange

 
Interest Rate

 
 
 
 
 
 
 
 
 
 
Purchases1
492

 
14

 
39

 
—

 
—

Sales1
2,089

 
22

 
53

 
—

 
—

Millions of U.S. dollars
—

 
—

 
—

 
3,153

 
1,600

Millions of Mexican pesos
—

 
—

 
—

 
800

 
—

Maturity dates
2020-2024

 
2020-2027

 
2020

 
2020

 
2020-2030

1
Volumes for power, natural gas and liquids derivatives are in GWh, Bcf and MMBbls respectively.
at December 31, 2018
Power

 
Natural Gas

 
Liquids

 
Foreign Exchange

 
Interest Rate

 
 
 
 
 
 
 
 
 
 
Purchases1
23,865

 
44

 
59

 
—

 
—

Sales1
17,689

 
56

 
79

 
—

 
—

Millions of U.S. dollars
—

 
—

 
—

 
3,862

 
1,650

Maturity dates
2019-2023

 
2019-2027

 
2019

 
2019

 
2019-2030

1
Volumes for power, natural gas and liquids derivatives are in GWh, Bcf and MMBbls respectively.
The fair values and notional amounts for the derivatives designated as a net investment hedge were as follows:
 
2019
 
2018
at December 31
Fair
Value1,2

 
Notional
Amount
 
Fair
Value1,2

 
Notional
Amount
(millions of Canadian $, unless otherwise noted)
 
 
 
 
 
 
 
 
U.S. dollar cross-currency interest rate swaps (maturing 2023)3
3

 
US 100
 
(43
)
 
US 300
U.S. dollar foreign exchange options (maturing 2020 to 2021)
10

 
US 3,000
 
(47
)
 
US 2,500
 
13

 
US 3,100
 
(90
)
 
US 2,800
1
Fair value equals carrying value.
2
No amounts have been excluded from the assessment of hedge effectiveness.
3
In 2019, Net income includes net realized gains of nil (2018 – gains of $2 million) related to the interest component of cross-currency swap settlements which are reported within Interest expense.
Schedule of Financial Instruments
The balance sheet classification of the fair value of derivative instruments as at December 31, 2019 is as follows:
at December 31, 2019
Cash Flow Hedges

 
Fair Value Hedges

 
Net Investment Hedges

 
Held for Trading

 
Total Fair Value of Derivative Instruments1

(millions of Canadian $)
 
 
 
 
 
 
 
 
 
 
Other current assets (Note 7)
 
 
 
 
 
 
 
 
 
Commodities2
—

 
—

 
—

 
118

 
118

Foreign exchange
—

 
—

 
10

 
61

 
71

Interest rate
—

 
1

 
—

 
—

 
1

 
—

 
1

 
10

 
179

 
190

Intangible and other assets (Note 13)
 
 
 
 
 
 
 
 
 
Foreign exchange
—

 
—

 
5

 
—

 
5

Interest rate
2

 
—

 
—

 
—

 
2

 
2

 
—

 
5

 
—

 
7

Total Derivative Assets
2

 
1

 
15

 
179

 
197

 
 
 
 
 
 
 
 
 
 
Accounts payable and other (Note 15)
 
 
 
 
 
 
 
 
 
Commodities2
(4
)
 
—

 
—

 
(104
)
 
(108
)
Foreign exchange
—

 
—

 
(1
)
 
(3
)
 
(4
)
Interest rate
(3
)
 
—

 
—

 
—

 
(3
)
 
(7
)
 
—

 
(1
)
 
(107
)
 
(115
)
Other long-term liabilities (Note 16)
 
 
 
 
 
 
 
 
 
Commodities2
(6
)
 
—

 
—

 
(11
)
 
(17
)
Foreign exchange
—

 
—

 
(1
)
 
—

 
(1
)
Interest rate
(63
)
 
—

 
—

 
—

 
(63
)
 
(69
)
 
—


(1
)
 
(11
)
 
(81
)
Total Derivative Liabilities
(76
)
 
—

 
(2
)
 
(118
)
 
(196
)
Total Derivatives
(74
)
 
1

 
13

 
61

 
1

1
Fair value equals carrying value.
2
Includes purchases and sales of power, natural gas and liquids.
The balance sheet classification of the fair value of derivative instruments as at December 31, 2018 is as follows:
at December 31, 2018
Cash Flow Hedges

 
Fair Value Hedges

 
Net Investment Hedges

 
Held for Trading

 
Total Fair Value of Derivative Instruments1

(millions of Canadian $)
 
 
 
 
 
 
 
 
 
 
Other current assets (Note 7)
 
 
 
 
 
 
 
 
 
Commodities2
1

 
—

 
—

 
716

 
717

Foreign exchange
—

 
—

 
16

 
1

 
17

Interest rate
3

 
—

 
—

 
—

 
3

 
4

 
—

 
16

 
717

 
737

Intangible and other assets (Note 13)
 
 
 
 
 
 
 
 
 
Commodities2
1

 
—

 
—

 
50

 
51

Foreign exchange
—

 
—

 
1

 
—

 
1

Interest rate
8

 
1

 
—

 
—

 
9

 
9

 
1

 
1

 
50

 
61

Total Derivative Assets
13

 
1

 
17

 
767

 
798

 
 
 
 
 
 
 
 
 
 
Accounts payable and other (Note 15)
 
 
 
 
 
 
 
 
 
Commodities2
(4
)
 
—

 
—

 
(622
)
 
(626
)
Foreign exchange
—

 
—

 
(105
)
 
(188
)
 
(293
)
Interest rate
—

 
(3
)
 
—

 
—

 
(3
)
 
(4
)
 
(3
)
 
(105
)
 
(810
)
 
(922
)
Other long-term liabilities (Note 16)
 
 
 
 
 
 
 
 
 
Commodities2
—

 
—

 
—

 
(28
)
 
(28
)
Foreign exchange
—

 
—

 
(2
)
 
—

 
(2
)
Interest rate
(11
)
 
(1
)
 
—

 
—

 
(12
)
 
(11
)
 
(1
)
 
(2
)
 
(28
)
 
(42
)
Total Derivative Liabilities
(15
)
 
(4
)
 
(107
)
 
(838
)
 
(964
)
Total Derivatives
(2
)
 
(3
)
 
(90
)
 
(71
)
 
(166
)
1
Fair value equals carrying value.
2
Includes purchases and sales of power, natural gas and liquids.
The following table details the fair value of non-derivative financial instruments, excluding those where carrying amounts approximate fair value, and would be classified in Level II of the fair value hierarchy:
 
2019
 
2018
at December 31
Carrying
Amount

 
Fair
Value

 
Carrying
Amount

 
Fair
Value

(millions of Canadian $)
 
 
 
 
 
 
 
 
Long-term debt, including current portion1,2 (Note 18)
(36,985
)
 
(43,187
)
 
(39,971
)
 
(42,284
)
Junior subordinated notes (Note 19)
(8,614
)
 
(8,777
)
 
(7,508
)
 
(6,665
)
 
(45,599
)
 
(51,964
)
 
(47,479
)
 
(48,949
)

1
Long-term debt is recorded at amortized cost, except for US$200 million (2018 – US$750 million) that is attributed to hedged risk and recorded at fair value.
2
Net income in 2019 included unrealized losses of $3 million (2018 – $2 million) for fair value adjustments attributable to the hedged interest rate risk associated with interest rate swap fair value hedging relationships on US$200 million of long-term debt at December 31, 2019 (2018 – US$750 million). There were no other unrealized gains or losses from fair value adjustments to the non-derivative financial instruments.
Available-for-Sale Assets Summary
The following tables summarize additional information about the Company's restricted investments that are classified as available-for-sale assets:
 
2019
 
2018
at December 31
LMCI Restricted Investments

 
Other Restricted Investments1

 
LMCI Restricted Investments

 
Other Restricted Investments1

(millions of Canadian $)
 
 
 
 
 
 
 
 
Fair value of fixed income securities2
 
 
 
 
 
 
 
Maturing within 1 year
—

 
6

 
—

 
22

Maturing within 1-5 years
26

 
100

 
—

 
110

Maturing within 5-10 years
801

 
—

 
140

 
—

Maturing after 10 years
61

 
—

 
952

 
—

Fair value of equity securities2
556

 
—

 
—

 
—

 
1,444

 
106

 
1,092

 
132

1
Other restricted investments have been set aside to fund insurance claim losses to be paid by the Company's wholly-owned captive insurance subsidiary.
2
Available-for-sale assets are recorded at fair value and included in Other current assets and Restricted investments on the Company's Consolidated balance sheet.
Unrealized Gain (Loss) on Investments
 
2019
 
2018
 
2017
year ended December 31
(millions of Canadian $)
LMCI restricted investments1

 
Other restricted investments2

 
LMCI restricted investments1

 
Other restricted investments2

 
LMCI restricted investments1

 
Other restricted investments2

 
 
 
 
 
 
 
 
 
 
 
 
Net unrealized gains/(losses)
32

 
3

 
11

 
—

 
(3
)
 
1

Net realized gains/(losses)3
60

 
—

 
(4
)
 
—

 
(1
)
 
—


1
Gains and losses arising from changes in the fair value of LMCI restricted investments impact the subsequent amounts to be collected through tolls to cover future pipeline abandonment costs. As a result, the Company records these gains and losses as regulatory assets or liabilities.
2
Gains and losses on other restricted investments are included in Interest income and other in the Company's Consolidated statement of income.
3
Realized gains and losses on the sale of LMCI restricted investments are determined using the average cost basis.
Realized Gain (Loss) on Investments
 
2019
 
2018
 
2017
year ended December 31
(millions of Canadian $)
LMCI restricted investments1

 
Other restricted investments2

 
LMCI restricted investments1

 
Other restricted investments2

 
LMCI restricted investments1

 
Other restricted investments2

 
 
 
 
 
 
 
 
 
 
 
 
Net unrealized gains/(losses)
32

 
3

 
11

 
—

 
(3
)
 
1

Net realized gains/(losses)3
60

 
—

 
(4
)
 
—

 
(1
)
 
—


1
Gains and losses arising from changes in the fair value of LMCI restricted investments impact the subsequent amounts to be collected through tolls to cover future pipeline abandonment costs. As a result, the Company records these gains and losses as regulatory assets or liabilities.
2
Gains and losses on other restricted investments are included in Interest income and other in the Company's Consolidated statement of income.
3
Realized gains and losses on the sale of LMCI restricted investments are determined using the average cost basis.
Derivative Instruments - Balance Sheet and Income Statement Information
Derivatives in fair value hedging relationships
The following table details amounts recorded on the Consolidated balance sheet in relation to cumulative adjustments for fair value hedges included in the carrying amount of the hedged liabilities:
at December 31
 
Carrying amount
 
Fair value hedging adjustments1
(millions of Canadian $)
2019

 
2018

 
2019

 
2018

 
 
 
 
 
 
 
 
 
Current portion of long-term debt
 
—

 
(748
)
 
—

 
3

Long-term debt
 
(260
)
 
(273
)
 
(1
)
 
—

 
 
(260
)
 
(1,021
)
 
(1
)
 
3

1
At December 31, 2019 and 2018, adjustments for discontinued hedging relationships included in these balances were nil.
The following summary does not include hedges of the net investment in foreign operations.
year ended December 31
2019

 
2018

 
2017

(millions of Canadian $)
 
 
 
 
 
 
Derivative instruments held for trading1
 
 
 
 
 
Amount of unrealized (losses)/gains in the year
 
 
 
 
 
Commodities2
(111
)
 
28

 
62

Foreign exchange
245

 
(248
)
 
88

Interest rate
—

 
—

 
(1
)
Amount of realized gains/(losses) in the year
 
 
 
 
 
Commodities
378

 
351

 
(107
)
Foreign exchange
(70
)
 
(24
)
 
18

Interest rate
—

 
—

 
1

Derivative instruments in hedging relationships
 
 
 
 
 
Amount of realized (losses)/gains in the year
 
 
 
 
 
Commodities
(6
)
 
(1
)
 
23

Foreign exchange
—

 
—

 
5

Interest rate
2

 
(1
)
 
1

1
Realized and unrealized gains and losses on held-for-trading derivative instruments used to purchase and sell commodities are included on a net basis in Revenues. Realized and unrealized gains and losses on interest rate and foreign exchange held-for-trading derivative instruments are included on a net basis in Interest expense and Interest income and other, respectively.
2
In 2019, 2018 and 2017, there were no gains or losses included in Net Income relating to discontinued cash flow hedges where it was probable that the anticipated transaction would not occur.
The following table details amounts presented in the Consolidated statement of income in which the effects of fair value or cash flow hedging relationships are recorded.
year ended December 31
 
2019

 
2018

 
2017

(millions of Canadian $)
 
 
 
 
 
 
 
 
 
 
Fair Value Hedges
 
 
 
 
 
 
Interest rate contracts1
 
 
 
 
 
 
Hedged items
 
(19
)
 
(71
)
 
(74
)
Derivatives designated as hedging instruments
 
1

 
(4
)
 
1

Cash Flow Hedges
 
 
 
 
 
 
Reclassification of (losses)/gains on derivative instruments from AOCI to net income2,3
 
 
 
 
 
 
Interest rate contracts1
 
(12
)
 
(22
)
 
(17
)
Commodity contracts4
 
(7
)
 
(5
)
 
20

1
Presented within Interest expense in the Consolidated statement of income.
2
Refer to Note 23, Other comprehensive (loss)/income and accumulated other comprehensive loss, for the components of OCI related to derivatives in cash flow hedging relationships including the portion attributable to non-controlling interests.
3
There are no amounts recognized in earnings that were excluded from effectiveness testing.
4
Presented within Revenues (Power and Storage) in the Consolidated statement of income.
Schedule of Components of OCI related to Derivatives in Cash Flow Hedging Relationships
The components of OCI (Note 23) related to derivatives in cash flow hedging relationships including the portion attributable to non-controlling interests are as follows:
year ended December 31
2019

 
2018

 
2017

(millions of Canadian $, pre-tax)
 
 
 
 
 
 
 
Change in fair value of derivative instruments recognized in OCI1
 
 
 
 
 
Commodities
(15
)
 
(1
)
 
(1
)
Interest rate
(63
)
 
(13
)
 
4

 
(78
)
 
(14
)
 
3

1
No amounts have been excluded from the assessment of hedge effectiveness. Amounts in parentheses indicate losses recorded to OCI and AOCI.
Schedule of Offsetting Assets The following tables show the impact on the presentation of the fair value of derivative instrument assets and liabilities had the Company elected to present these contracts on a net basis:
at December 31, 2019
Gross Derivative Instruments

 
Amounts Available for Offset1

 
Net Amounts

(millions of Canadian $)
 
 
 
 
 
 
Derivative instrument assets
 
 
 
 
 
Commodities
118

 
(76
)
 
42

Foreign exchange
76

 
(5
)
 
71

Interest rate
3

 
(1
)
 
2

 
197

 
(82
)
 
115

Derivative instrument liabilities
 
 
 
 
 
Commodities
(125
)
 
76

 
(49
)
Foreign exchange
(5
)
 
5

 
—

Interest rate
(66
)
 
1

 
(65
)
 
(196
)
 
82

 
(114
)
1
Amounts available for offset do not include cash collateral pledged or received.
at December 31, 2018
Gross Derivative Instruments

 
Amounts Available for Offset1

 
Net Amounts

(millions of Canadian $)
 
 
 
 
 
 
Derivative instrument assets
 
 
 
 
 
Commodities
768

 
(626
)
 
142

Foreign exchange
18

 
(18
)
 
—

Interest rate
12

 
(4
)
 
8

 
798

 
(648
)
 
150

Derivative instrument liabilities
 
 
 
 
 
Commodities
(654
)
 
626

 
(28
)
Foreign exchange
(295
)
 
18

 
(277
)
Interest rate
(15
)
 
4

 
(11
)
 
(964
)
 
648

 
(316
)

1
Amounts available for offset do not include cash collateral pledged or received.
Schedule of Offsetting Liabilities The following tables show the impact on the presentation of the fair value of derivative instrument assets and liabilities had the Company elected to present these contracts on a net basis:
at December 31, 2019
Gross Derivative Instruments

 
Amounts Available for Offset1

 
Net Amounts

(millions of Canadian $)
 
 
 
 
 
 
Derivative instrument assets
 
 
 
 
 
Commodities
118

 
(76
)
 
42

Foreign exchange
76

 
(5
)
 
71

Interest rate
3

 
(1
)
 
2

 
197

 
(82
)
 
115

Derivative instrument liabilities
 
 
 
 
 
Commodities
(125
)
 
76

 
(49
)
Foreign exchange
(5
)
 
5

 
—

Interest rate
(66
)
 
1

 
(65
)
 
(196
)
 
82

 
(114
)
1
Amounts available for offset do not include cash collateral pledged or received.
at December 31, 2018
Gross Derivative Instruments

 
Amounts Available for Offset1

 
Net Amounts

(millions of Canadian $)
 
 
 
 
 
 
Derivative instrument assets
 
 
 
 
 
Commodities
768

 
(626
)
 
142

Foreign exchange
18

 
(18
)
 
—

Interest rate
12

 
(4
)
 
8

 
798

 
(648
)
 
150

Derivative instrument liabilities
 
 
 
 
 
Commodities
(654
)
 
626

 
(28
)
Foreign exchange
(295
)
 
18

 
(277
)
Interest rate
(15
)
 
4

 
(11
)
 
(964
)
 
648

 
(316
)

1
Amounts available for offset do not include cash collateral pledged or received.
Schedule of Fair Value of Assets and Liabilities Measured on a Recurring Basis
The fair value of the Company's derivative assets and liabilities measured on a recurring basis, including both current and non-current portions, are categorized as follows:
at December 31, 2019
Quoted Prices in Active Markets
(Level I)

 
Significant Other Observable Inputs (Level II)1

 
Significant Unobservable Inputs
(Level III)1

 
Total

(millions of Canadian $)
 
 
 
 
 
 
 
 
Derivative Instrument Assets
 
 
 
 
 
 

Commodities
81

 
37

 
—

 
118

Foreign exchange
—

 
76

 
—

 
76

Interest rate
—

 
3

 
—

 
3

Derivative Instrument Liabilities
 
 
 
 
 
 
 
Commodities
(77
)
 
(41
)
 
(7
)
 
(125
)
Foreign exchange
—

 
(5
)
 
—

 
(5
)
Interest rate
—

 
(66
)
 
—

 
(66
)
 
4

 
4

 
(7
)
 
1

1
There were no transfers from Level II to Level III for the year ended December 31, 2019.
at December 31, 2018
Quoted Prices in Active Markets
(Level I)

 
Significant Other Observable Inputs (Level II)1

 
Significant Unobservable Inputs
(Level III)1

 
Total

(millions of Canadian $)
 
 
 
 
 
 
 
 
Derivative Instrument Assets
 
 
 
 
 
 
 
Commodities
581

 
187

 
—

 
768

Foreign exchange
—

 
18

 
—

 
18

Interest rate
—

 
12

 
—

 
12

Derivative Instrument Liabilities
 
 
 
 
 
 
 
Commodities
(555
)
 
(95
)
 
(4
)
 
(654
)
Foreign exchange
—

 
(295
)
 
—

 
(295
)
Interest rate
—

 
(15
)
 
—

 
(15
)
 
26

 
(188
)
 
(4
)
 
(166
)
1
There were no transfers from Level II to Level III for the year ended December 31, 2018.
Schedule of Net Change in the Level III Fair Value Category
The following table presents the net change in fair value of derivative assets and liabilities classified in Level III of the fair value hierarchy:
(millions of Canadian $, pre-tax)
2019

 
2018

 
 
 
 
Balance at beginning of year
(4
)
 
(7
)
Transfers out of Level III
4

 
5

Total (losses)/gains included in Net income
(3
)
 
8

Total losses included in OCI
(4
)
 
—

Settlements
—

 
(9
)
Foreign exchange
—

 
(1
)
Balance at end of year1
(7
)
 
(4
)
1
Revenues include unrealized losses of $3 million attributed to derivatives in the Level III category that were still held at December 31, 2019 (2018 – unrealized losses of $5 million).