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Derivative Instruments (Tables) | 12 Months Ended
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Dec. 31, 2020
15. 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 |  | 2020 |  | 2019 |  | 2020 |  | 2019
Cash flow hedges |  |  |  |  |  |  |  |
Interest rate hedge | $ | 1 | $ | - | $ | - | $ | -
Foreign exchange forwards |  | - |  | - |  | - |  | 1
|  | 1 |  | - |  | - |  | 1
Regulatory deferral |  |  |  |  |  |  |  |
Commodity swaps and forwards |  |  |  |  |  |  |  |
Coal purchases |  | 1 |  | 8 |  | 6 |  | 39
Power purchases |  | 10 |  | 23 |  | 34 |  | 36
Natural gas purchases and sales |  | 4 |  | 2 |  | 2 |  | 5
Heavy fuel oil purchases |  | 1 |  | 1 |  | 5 |  | -
Foreign exchange forwards |  | - |  | 2 |  | 17 |  | 6
|  | 16 |  | 36 |  | 64 |  | 86
HFT derivatives |  |  |  |  |  |  |  |
Power swaps and physical contracts |  | 13 |  | 19 |  | 13 |  | 22
Natural gas swaps, futures, forwards, physical contracts |  | 139 |  | 151 |  | 346 |  | 381
|  | 152 |  | 170 |  | 359 |  | 403
Other derivatives |  |  |  |  |  |  |  |
Equity derivatives |  | - |  | 1 |  | 1 |  | -
Foreign exchange forwards |  | 15 |  | - |  | - |  | -
|  | 15 |  | 1 |  | 1 |  | -
Total gross current derivatives |  | 184 |  | 207 |  | 424 |  | 490
Impact of master netting agreements with intent to settle net or simultaneously |  | (86) |  | (120) |  | (86) |  | (120)
|  | 98 |  | 87 |  | 338 |  | 370
Current |  | 73 |  | 54 |  | 251 |  | 268
Long-term |  | 25 |  | 33 |  | 87 |  | 102
Total derivatives | $ | 98 | $ | 87 | $ | 338 | $ | 370
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 |  | 2020 |  | 2019 |  | 2020 |  | 2019
Regulatory deferral | $ | 2 | $ | 8 | $ | 2 | $ | 8
HFT derivatives |  | 84 |  | 112 |  | 84 |  | 112
Total impact of master netting agreements with intent to settle net or simultaneously | $ | 86 | $ | 120 | $ | 86 | $ | 120
Cash flow hedges recorded in income and AOCI |
For the | Year ended December 31
millions of Canadian dollars |  | 2020 |  | 2019
| Foreign | Interest | Foreign
| exchange | rate | exchange
| forwards | hedge | forwards
Realized gain (loss) in operating revenue – regulated | $ | (2) | $ | - | $ | (3)
Total gains (losses) in net income | $ | (2) | $ | - | $ | (3)
As at | December 31
millions of Canadian dollars |  | 2020 |  | 2019
| Foreign | Interest | Foreign
| exchange | rate | exchange
| forwards | hedge | forwards
Total unrealized gain (loss) in AOCI – effective portion, net of tax | $ | - | $ | 1 | $ | (1)
The Company expects $1 million of unrealized gains currently in AOCI to be reclassified into net income within the next 12 months, as the underlying hedged transactions settle.
As at December 31, 2020, the Company had the following notional volumes of outstanding derivatives designated as cash flow hedges that are expected to settle as outlined below:
millions |  | 2021
U.S. Treasury lock (USD) | $ | 350
Realized and unrealized gains (losses) with respect to derivatives |
For the | Year ended December 31
millions of Canadian dollars |  |  |  | 2020 |  |  |  | 2019
| Commodity swaps and forwards | Foreign exchange forwards | Commodity swaps and forwards |  | Foreign exchange forwards
Unrealized gain (loss) in regulatory assets | $ | (36) | $ | (11) | $ | (89) | $ | (6)
Unrealized gain (loss) in regulatory liabilities |  | 3 |  | 3 |  | 9 |  | (8)
Realized gain (loss) in regulatory assets |  | 2 |  | - |  | - |  | -
Realized (gain) loss in regulatory liabilities |  | 14 |  | - |  | (2) |  | -
Realized (gain) loss in inventory (1) |  | 8 |  | (2) |  | (36) |  | (11)
Realized (gain) loss in regulated fuel for generation and purchased power (2) |  | 24 |  | (3) |  | 3 |  | (8)
Total change derivative instruments | $ | 15 | $ | (13) | $ | (115) | $ | (33)
(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 and hedging relationships that have been terminated or the hedged transaction is no longer probable.
For the | Year ended December 31
millions of Canadian dollars |  | 2020 |  | 2019
Power swaps and physical contracts in non-regulated operating revenues | $ | (1) | $ | 1
Natural gas swaps, forwards, futures and physical contracts in non-regulated operating revenues |  | 205 |  | 281
Power swaps, forwards, futures and physical contracts in non-regulated fuel for generation and purchased power |  | (4) |  | (6)
| $ | 200 | $ | 276
For the |  |  |  | Year ended December 31
millions of Canadian dollars |  |  | 2020 |  |  |  | 2019
| Foreign |  |  | Foreign |  |
| Exchange | Equity | Exchange | Equity
| Forwards | Derivatives | Forwards | Derivatives
Unrealized gain (loss) in operating, maintenance and general | $ | - | $ | (1) | $ | - | $ | 1
Unrealized gain (loss) in other income (expense), net |  | 15 |  | - |  | - |  | -
Realized gain (loss) in operating, maintenance and general |  | - |  | (3) |  | - |  | 27
Realized gain (loss) in other income (expense) |  | (2) |  | - |  | - |  | -
Total gains (losses) in net income | $ | 13 | $ | (4) | $ | - | $ | 28
Notional volumes of derivatives designated for regulatory deferral that are expected to settle as outlined |
| 2021 | 2022-2023
millions | Purchases | Purchases
Natural Gas (Mmbtu) | 5 | 7
Power (MWh) | 2 | 2
Heavy fuel oil (bbls) | - | 1
Coal (metric tonnes) | - | 1
| 2021 | 2022-2023
Foreign exchange contracts (millions of US dollars) | $ | 160 | $ | 135
Weighted average rate |  | 1.3339 |  | 1.3266
% of USD requirements |  | 78% |  | 37%
The Company reassesses foreign exchange forecasted periodically and will enter into additional hedges or unwind existing hedges, as required.
millions |  | 2021 |  | 2022 |  | 2023 |  | 2024 |  | 2025
Natural gas purchases (Mmbtu) |  | 387 |  | 61 |  | 45 |  | 26 |  | 26
Natural gas sales (Mmbtu) |  | 412 |  | 50 |  | 17 |  | 2 |  | 2
Power purchases (MWh) |  | 2 |  | - |  | - |  | - |  | -
Power sales (MWh) |  | 1 |  | - |  | - |  | - |  | -
Concentration Risk |
Concentration Risk |  |  |  |  |  |
The Company's concentrations of risk consisted of the following:
As at | December 31, 2020 | December 31, 2019
| millions of Canadian dollars | % of total exposure | millions of Canadian dollars | % of total exposure
Receivables, net |  |  |  |  |  |
Regulated utilities |  |  |  |  |  |
Residential | $ | 341 | 32% | $ | 344 | 31%
Commercial |  | 143 | 14% |  | 170 | 15%
Industrial |  | 49 | 5% |  | 66 | 6%
Other |  | 96 | 9% |  | 131 | 12%
|  | 629 | 60% |  | 711 | 64%
Trading group |  |  |  |  |  |
Credit rating of A- or above |  | 54 | 5% |  | 38 | 3%
Credit rating of BBB- to BBB+ |  | 41 | 4% |  | 59 | 5%
Not rated |  | 75 | 7% |  | 95 | 9%
|  | 170 | 16% |  | 192 | 17%
Other accounts receivable |  | 159 | 15% |  | 184 | 16%
Classification as assets held for sale (1) |  | - | 0% |  | (55) | -5%
|  | 958 | 91% |  | 1,032 | 92%
Derivative Instruments (current and long-term) |  |  |  |  |  |
Credit rating of A- or above |  | 60 | 6% |  | 47 | 4%
Credit rating of BBB- to BBB+ |  | 13 | 1% |  | 8 | 1%
Not rated |  | 25 | 2% |  | 32 | 3%
|  | 98 | 9% |  | 87 | 8%
| $ | 1,056 | 100% | $ | 1,119 | 100%
(1) Emera Maine’s assets and liabilities were classified as held for sale at December 31, 2019. On March 24, 2020, Emera completed the sale of Emera Maine. Refer to note 4 for further detail.
Cash Collateral |
As at | December 31 | December 31
millions of Canadian dollars |  | 2020 |  | 2019
Cash collateral provided to others | $ | 69 | $ | 101
Cash collateral received from others |  | 6 |  | 2

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