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Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2019

14. Fair Value Measurements

Classification of the methodology used by the Company to fair value its derivatives

As at		December 31, 2019
millions of Canadian dollars		Level 1		Level 2		Level 3		Total
Assets
Regulatory deferral
Commodity swaps and forwards
Power purchases		23		-		-		23
Natural gas purchases and sales		-		2		-		2
Heavy fuel oil purchases		-		1		-		1
Foreign exchange forwards		-		2		-		2
		23		5		-		28
HFT derivatives
Power swaps and physical contracts		1		3		1		5
Natural gas swaps, futures, forwards, physical contracts and related transportation		(7)		46		14		53
		(6)		49		15		58
Other derivatives
Equity derivatives		1		-		-		1
		1		-		-		1
Total assets		18		54		15		87
Liabilities
Cash flow hedges
Foreign exchange forwards		-		1		-		1
		-		1		-		1
Regulatory deferral
Commodity swaps and forwards
Coal purchases		-		31		-		31
Power purchases		36		-		-		36
Natural gas purchases and sales		3		2		-		5
Foreign exchange forwards		-		6		-		6
		39		39		-		78
HFT derivatives
Power swaps and physical contracts		5		2		-		7
Natural gas swaps, futures, forwards and physical contracts		2		33		249		284
		7		35		249		291
Total liabilities		46		75		249		370
Net assets (liabilities)	$	(28)	$	(21)	$	(234)	$	(283)

As at		December 31, 2018
millions of Canadian dollars		Level 1		Level 2		Level 3		Total
Assets
Regulatory deferral
Commodity swaps and forwards
Coal purchases		-		70		-		70
Power purchases		2		-		-		2
Natural gas purchases and sales		-		2		-		2
Heavy fuel oil purchases		-		1		-		1
Foreign exchange forwards		-		29		-		29
		2		102		-		104
HFT derivatives
Power swaps and physical contracts		2		2		3		7
Natural gas swaps, futures, forwards, physical contracts and related transportation		1		36		18		55
		3		38		21		62
Other derivatives
Interest rate swap		-		1		-		1
		-		1		-		1
Total assets		5		141		21		167
Liabilities
Cash flow hedges
Foreign exchange forwards		-		5		-		5
		-		5		-		5
Regulatory deferral
Commodity swaps and forwards
Coal purchases		-		1		-		1
Power purchases		1		-		-		1
Heavy fuel oil purchases		-		1		-		1
Natural gas purchases and sales		3		-		-		3
		4		2		-		6
HFT derivatives
Power swaps and physical contracts		14		6		1		21
Natural gas swaps, futures, forwards and physical contracts		-		28		305		333
		14		34		306		354
Total liabilities		18		41		306		365
Net assets (liabilities)	$	(13)	$	100	$	(285)	$	(198)

Quantitative information about the significant unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy

The change in the fair value of the Level 3 financial assets for the year ended December 31, 2019 was as follows:
	HFT Derivatives
millions of Canadian dollars	Power		Naturalgas		Total
Balance, January 1, 2019	$	3	$	18	$	21
Total realized and unrealized gains (losses) included in non-regulated operating revenues		(2)		(4)		(6)
Balance, December 31, 2019	$	1	$	14	$	15

The change in the fair value of the Level 3 financial liabilities for the year ended December 31, 2019 was as follows:
	HFT Derivatives
millions of Canadian dollars	Power		Naturalgas		Total
Balance, January 1, 2019	$	1	$	305	$	306
Total realized and unrealized gains (losses) included in non-regulated operating revenues		(1)		(56)		(57)
Balance, December 31, 2019	$	-	$	249	$	249

As at		December 31, 2019
millions of Canadian dollars		Fair Value	ValuationTechnique	Unobservable Input	Range	Weighted average
Assets
HFT derivatives –	$	1	Modelled pricing	Third-party pricing	$21.40-$74.05	$35.03
Power swaps and				Probability of default	0.01%-1.14%	0.21%
physical contracts				Discount rate	0.15%-6.65%	2.78%
HFT derivatives –		9	Modelled pricing	Third-party pricing	$1.63-$7.45	$2.37
Natural gas swaps, futures,				Probability of default	0.01%-2.31%	0.09%
forwards, physical contracts				Discount rate	0.01%-20.93%	1.55%
		5	Modelled pricing	Third-party pricing	$1.33-$8.76	$5.05
				Basis adjustment	$0.00-$1.31	$0.76
				Probability of default	0.01%-3.33%	0.28%
				Discount rate	0.01%-4.71%	0.91%
Total assets	$	15
Liabilities
HFT derivatives –		228	Modelled pricing	Third-party pricing	$1.54-$7.45	$4.07
Natural gas swaps, futures,				Own credit risk	0.01%-2.31%	0.12%
forwards and physical contracts				Discount rate	0.01%-18.63%	1.89%
		21	Modelled pricing	Third-party pricing	$1.36-$9.75	$5.45
				Basis adjustment	$0.00-$1.31	$0.91
				Own credit risk	0.01%-3.33%	0.06%
				Discount rate	0.01%-3.76%	0.81%
Total liabilities	$	249
Net assets (liabilities)	$	(234)

As at		December 31, 2018
millions of Canadian dollars		Fair Value	ValuationTechnique	Unobservable Input	Range	Weighted average
Assets
HFT derivatives –	$	3	Modelled pricing	Third-party pricing	$24.31 - $50.29	$31.43
Power swaps and				Probability of default	0.03% - 0.13%	0.13%
physical contracts				Discount rate	0.03% - 2.19%	1.45%
				Correlation factor	84.98% - 84.98%	84.98%
HFT derivatives –		8	Modelled pricing	Third-party pricing	$1.80 - $12.21	$4.75
Natural gas swaps,				Probability of default	0.01% - 2.94%	0.24%
futures, forwards,				Discount rate	0.01% - 30.62%	4.25%
physical contracts		10	Modelled pricing	Third-party pricing	$1.95 - $12.90	$8.68
and related transportation				Basis adjustment	$0.07 - $3.43	$1.88
				Probability of default	0.01% - 3.20%	0.57%
				Discount rate	0.01% - 7.61%	0.42%
Total assets	$	21
Liabilities
HFT derivatives –		1	Modelled pricing	Third-party pricing	$20.80 - $50.29	$26.38
Power swaps and				Correlation factor	84.98% - 84.98%	84.98%
physical contracts				Probability of default	0.08% - 0.29%	0.15%
				Discount rate	0.03% - 2.99%	1.65%
HFT derivatives –		286	Modelled pricing	Third-party pricing	$1.48 - $12.90	$5.75
Natural gas swaps, futures,				Own credit risk	0.01% - 2.94%	0.09%
forwards and physical contracts				Discount rate	0.01% - 11.96%	2.35%
		19	Modelled pricing	Third-party pricing	$2.15 - $13.18	$7.54
				Basis adjustment	$0.07 - $3.43	$2.67
				Own credit risk	0.01% - 2.76%	0.10%
				Discount rate	0.01% - 7.61%	1.38%
Total liabilities	$	306
Net assets (liabilities)	$	(285)

Financial assets and liabilities included on the Consolidated Balance Sheets that are not measured at fair value

The financial liabilities included on the Consolidated Balance Sheets that are not measured at fair value consisted of long-term debt, as follows:
As at
millions of Canadian dollars		Carrying Amount		Fair Value		Level 1		Level 2		Level 3		Total
December 31, 2019	$	14,180	$	16,049	$	-	$	15,598	$	451	$	16,049
December 31, 2018	$	15,411	$	15,908	$	-	$	14,991	$	917	$	15,908

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- Definition

Tabular disclosure of information about fair value of asset and liability not measured at fair value.

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2E
-URI http://asc.fasb.org/extlink&oid=117815213&loc=SL7498357-110258

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- Definition

Tabular disclosure of financial instrument classified as a derivative asset (liability) after deduction of derivative liability (asset) using recurring unobservable inputs that reflect the entity's own assumption about the assumptions market participants would use in pricing.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 3
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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

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-Publisher FASB
-Name Accounting Standards Codification
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-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

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