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v3.20.1

Derivative Instruments (Tables) | 12 Months Ended
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Dec. 31, 2019
13. Derivative Instruments |
Derivative assets and liabilities |
Derivative assets and liabilities relating to the foregoing categories consisted of the following:
|  | Derivative Assets |  | Derivative Liabilities
As at | December 31 | December 31 | December 31 | December 31
millions of Canadian dollars |  | 2019 |  | 2018 |  | 2019 |  | 2018
Cash flow hedges |  |  |  |  |  |  |  |
Foreign exchange forwards | $ | - | $ | - | $ | 1 | $ | 5
|  | - |  | - |  | 1 |  | 5
Regulatory deferral |  |  |  |  |  |  |  |
Commodity swaps and forwards |  |  |  |  |  |  |  |
Coal purchases |  | 8 |  | 71 |  | 39 |  | 1
Power purchases |  | 23 |  | 2 |  | 36 |  | 1
Natural gas purchases and sales |  | 2 |  | 2 |  | 5 |  | 4
Heavy fuel oil purchases |  | 1 |  | 1 |  | - |  | 1
Foreign exchange forwards |  | 2 |  | 29 |  | 6 |  | -
|  | 36 |  | 105 |  | 86 |  | 7
HFT derivatives |  |  |  |  |  |  |  |
Power swaps and physical contracts |  | 19 |  | 62 |  | 22 |  | 76
Natural gas swaps, futures, forwards, physical contracts |  | 151 |  | 125 |  | 381 |  | 403
|  | 170 |  | 187 |  | 403 |  | 479
Other derivatives |  |  |  |  |  |  |  |
Equity derivatives and interest rate swaps |  | 1 |  | 1 |  | - |  | -
|  | 1 |  | 1 |  | - |  | -
Total gross current derivatives |  | 207 |  | 293 |  | 490 |  | 491
Impact of master netting agreements with intent to settle net or simultaneously |  | (120) |  | (126) |  | (120) |  | (126)
|  | 87 |  | 167 |  | 370 |  | 365
Current |  | 54 |  | 148 |  | 268 |  | 260
Long-term |  | 33 |  | 19 |  | 102 |  | 105
Total derivatives | $ | 87 | $ | 167 | $ | 370 | $ | 365
Derivative assets and liabilities are classified as current or long-term based upon the maturities of the underlying contracts.
Details of master netting agreements |
Details of master netting agreements, shown net on the Consolidated Balance Sheets, are summarized in the following table:
|  | Derivative Assets |  | Derivative Liabilities
As at | December 31 | December 31 | December 31 | December 31
millions of Canadian dollars |  | 2019 |  | 2018 |  | 2019 |  | 2018
Regulatory deferral | $ | 8 | $ | 1 | $ | 8 | $ | 1
HFT derivatives |  | 112 |  | 125 |  | 112 |  | 125
Total impact of master netting agreements with intent to settle net or simultaneously | $ | 120 | $ | 126 | $ | 120 | $ | 126
Cash flow hedges recorded in income and AOCI |
For the | Year ended December 31
millions of Canadian dollars |  | 2019 |  |  |  | 2018
| Foreign |  |  | Foreign
exchange | Power | exchange
forwards | swaps | forwards
Realized gain (loss) in operating revenue – regulated |  | (3) |  | - |  | 5
Realized gain (loss) in non-regulated fuel for generation and purchased power |  | - |  | 1 |  | -
Total gains (losses) in Net income | $ | (3) | $ | 1 | $ | 5
As at | December 31
millions of Canadian dollars |  | 2019 |  |  |  | 2018
| Foreign |  | Foreign
exchange | Power | exchange
forwards | swaps | forwards
Total unrealized gain (loss) in AOCI – effective portion, net of tax | $ | (1) | $ | (1) | $ | (6)
The Company expects $1 million of unrealized losses currently in AOCI to be reclassified into net income within the next twelve months, as the underlying hedged transactions settle.
As at December 31, 2019, the Company had the following notional volumes of outstanding derivatives designated as cash flow hedges that are expected to settle as outlined below:
millions |  | 2020
Foreign exchange forwards (USD) sales | $ | 30
Realized and unrealized gains (losses) with respect to derivatives |
For the | Year ended December 31
millions of Canadian dollars |  |  |  | 2019 |  |  |  | 2018
| Commodity swaps and forwards | Foreign exchange forwards | Commodity swaps and forwards |  | Foreign exchange forwards
Unrealized gain (loss) in regulatory assets | $ | (89) | $ | (6) | $ | (34) | $ | 4
Unrealized gain (loss) in regulatory liabilities |  | 9 |  | (8) |  | 29 |  | 24
Realized (gain) loss in regulatory liabilities |  | (2) |  | - |  | (8) |  | -
Realized (gain) loss in inventory (1) |  | (36) |  | (11) |  | (55) |  | (18)
Realized (gain) loss in regulated fuel for generation and purchased power (2) |  | 3 |  | (8) |  | (2) |  | (9)
Total change derivative instruments | $ | (115) | $ | (33) | $ | (70) | $ | 1
(1) Realized (gains) losses will be recognized in fuel for generation and purchased power when the hedged item is consumed.
(2) Realized (gains) losses on derivative instruments settled and consumed in the period; hedging relationships that have been terminated or the hedged transaction is no longer probable.
For the | Year ended December 31
millions of Canadian dollars |  | 2019 |  | 2018
Power swaps and physical contracts in non-regulated operating revenues | $ | 1 | $ | (12)
Natural gas swaps, forwards, futures and physical contracts in non-regulated operating revenues |  | 281 |  | 205
Power swaps, forwards, futures and physical contracts in non-regulated fuel for generation and purchased power |  | (6) |  | 2
| $ | 276 | $ | 195
For the |  | Year ended December 31
millions of Canadian dollars | 2019 |  | 2018
| Equity | Interest rate
| derivatives | swaps
Unrealized gain in operating, maintenance and general | $ | 1 | $ | -
Unrealized gain (loss) in interest expense, net |  | - |  | (1)
Realized gain in operating, maintenance and general |  | 27 |  | -
Total gains (losses) in net income | $ | 28 | $ | (1)
Notional volumes of derivatives designated for regulatory deferral that are expected to settle as outlined |
| 2020 | 2021-2022
millions | Purchases | Purchases
Coal (metric tonnes) | - | 1
Natural Gas (Mmbtu) | 12 | 21
Heavy fuel oil (bbls) | - | 1
Power (MWh) | 1 | 3
| 2020 | 2021-2022
Foreign exchange contracts (millions of US dollars) | $ | 173 | $ | 148
Weighted average rate |  | 1.3148 |  | 1.3264
% of USD requirements |  | 85% |  | 39%
The Company reassesses foreign exchange forecasted periodically and will enter into additional hedges or unwind existing hedges, as required.
millions |  | 2020 |  | 2021 |  | 2022 |  | 2023 |  | 2024
Natural gas purchases (Mmbtu) |  | 424 |  | 84 |  | 56 |  | 41 |  | 26
Natural gas sales (Mmbtu) |  | 345 |  | 33 |  | 9 |  | 2 |  | 2
Power purchases (MWh) |  | 1 |  | - |  | - |  | - |  | -
Power sales (MWh) |  | 1 |  | - |  | - |  | - |  | -
Concentration Risk |
Concentration Risk |  |  |  |  |  |
The Company's concentrations of risk consisted of the following:
As at | December 31, 2019 | December 31, 2018
| millions of Canadian dollars | % of total exposure | millions of Canadian dollars | % of total exposure
Receivables, net |  |  |  |  |  |
Regulated utilities |  |  |  |  |  |
Residential | $ | 344 | 31% | $ | 384 | 28%
Commercial |  | 170 | 15% |  | 182 | 13%
Industrial |  | 66 | 6% |  | 57 | 4%
Other |  | 131 | 12% |  | 84 | 6%
|  | 711 | 64% |  | 707 | 51%
Trading group |  |  |  |  |  |
Credit rating of A- or above |  | 38 | 3% |  | 49 | 4%
Credit rating of BBB- to BBB+ |  | 59 | 5% |  | 70 | 5%
Credit rating of CCC- to CCC+ |  | - | 0% |  | 8 | 0%
Not rated |  | 95 | 9% |  | 108 | 8%
|  | 192 | 17% |  | 235 | 17%
Other accounts receivable |  | 184 | 16% |  | 273 | 20%
Classification as assets held for sale (1) |  | (55) | -5% |  | - | 0%
|  | 1,032 | 92% |  | 1,215 | 88%
Derivative Instruments (current and long-term) |  |  |  |  |  |
Credit rating of A- or above |  | 47 | 4% |  | 130 | 9%
Credit rating of BBB- to BBB+ |  | 8 | 1% |  | 9 | 1%
Not rated |  | 32 | 3% |  | 28 | 2%
|  | 87 | 8% |  | 167 | 12%
| $ | 1,119 | 100% | $ | 1,382 | 100%
(1) Emera Maine’s assets and liabilities are classified as held for sale. Refer to note 4 for further details.
Cash Collateral |
As at | December 31 | December 31
millions of Canadian dollars |  | 2019 |  | 2018
Cash collateral provided to others | $ | 101 | $ | 103
Cash collateral received from others |  | 2 |  | 77

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