XML 139 R121.htm IDEA: XBRL DOCUMENT v3.21.1
Fair Value Measurements (Quantitative Information Significant Unobservable Inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy) (Details)
Dec. 31, 2020
CAD ($)
Dec. 31, 2019
CAD ($)
Assets    
Total assets $ 98,000,000 $ 87,000,000
Liabilities    
Total liabilities 338,000,000 370,000,000
Fair Value, Measurements, Recurring    
Assets    
Total assets 98,000,000 87,000,000
Liabilities    
Total liabilities 338,000,000 370,000,000
Net assets (liabilities) (240,000,000) (283,000,000)
Not Designated as Hedging Instrument | Fair Value, Measurements, Recurring    
Assets    
Total assets 15,000,000 1,000,000
HFT derivatives | Fair Value, Measurements, Recurring    
Assets    
Total assets 68,000,000 58,000,000
Liabilities    
Total liabilities 275,000,000 291,000,000
HFT derivatives | Power | Fair Value, Measurements, Recurring    
Assets    
Total assets 7,000,000 5,000,000
Liabilities    
Total liabilities 7,000,000 7,000,000
Level 3 | Fair Value, Measurements, Recurring    
Assets    
Total assets 14,000,000 15,000,000
Liabilities    
Total liabilities 258,000,000 249,000,000
Net assets (liabilities) (244,000,000) (234,000,000)
Level 3 | Not Designated as Hedging Instrument | Fair Value, Measurements, Recurring    
Assets    
Total assets 0 0
Level 3 | HFT derivatives | Fair Value, Measurements, Recurring    
Assets    
Total assets 14,000,000 15,000,000
Liabilities    
Total liabilities 258,000,000 249,000,000
Net assets (liabilities) (244,000,000) (234,000,000)
Level 3 | HFT derivatives | Power | Fair Value, Measurements, Recurring    
Assets    
Total assets 2,000,000 1,000,000
Liabilities    
Total liabilities 1,000,000 0
Level 3 | HFT derivatives | Natural gas | Fair Value, Measurements, Recurring    
Assets    
Total assets 18,000,000 9,000,000
Liabilities    
Total liabilities 226,000,000 228,000,000
Level 3 | HFT derivatives | Energy Related derivative | Power | Fair Value, Measurements, Recurring    
Assets    
Total assets 1,000,000  
Liabilities    
Total liabilities 1,000,000  
Level 3 | HFT derivatives | Energy Related derivative | Natural gas | Fair Value, Measurements, Recurring    
Assets    
Total assets (6,000,000) 5,000,000
Liabilities    
Total liabilities 30,000,000 21,000,000
Level 3 | HFT derivatives | Range, Minimum | Power | Third-party pricing | Fair Value, Measurements, Recurring    
Assets    
Total assets $ 25.7 $ 24.31
Liabilities    
Unobservable Input, Liabilities 1.13  
Level 3 | HFT derivatives | Range, Minimum | Power | Probability of default | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 0.36 0.0001
Level 3 | HFT derivatives | Range, Minimum | Power | Discount rate | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 0.06 0.0015
Liabilities    
Unobservable Input, Liabilities 0.01  
Level 3 | HFT derivatives | Range, Minimum | Power | Correlation factor | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 100  
Level 3 | HFT derivatives | Range, Minimum | Power | Own credit risk | Fair Value, Measurements, Recurring    
Liabilities    
Unobservable Input, Liabilities 0.02  
Level 3 | HFT derivatives | Range, Minimum | Natural gas | Third-party pricing | Fair Value, Measurements, Recurring    
Assets    
Total assets $ 1.66 $ 1.63
Liabilities    
Total liabilities $ 1.44 $ 1.54
Level 3 | HFT derivatives | Range, Minimum | Natural gas | Probability of default | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 0.02 0.0001
Level 3 | HFT derivatives | Range, Minimum | Natural gas | Discount rate | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 0 0.0001
Liabilities    
Unobservable Input, Liabilities 0 0.0001
Level 3 | HFT derivatives | Range, Minimum | Natural gas | Own credit risk | Fair Value, Measurements, Recurring    
Liabilities    
Unobservable Input, Liabilities 0.0002 0.0001
Level 3 | HFT derivatives | Range, Minimum | Energy Related derivative | Power | Third-party pricing | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 20.5  
Liabilities    
Unobservable Input, Liabilities 37.25  
Level 3 | HFT derivatives | Range, Minimum | Energy Related derivative | Power | Probability of default | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 0.02  
Level 3 | HFT derivatives | Range, Minimum | Energy Related derivative | Power | Discount rate | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 0.01  
Liabilities    
Unobservable Input, Liabilities 0.01  
Level 3 | HFT derivatives | Range, Minimum | Energy Related derivative | Power | Correlation factor | Fair Value, Measurements, Recurring    
Liabilities    
Unobservable Input, Liabilities 100  
Level 3 | HFT derivatives | Range, Minimum | Energy Related derivative | Power | Own credit risk | Fair Value, Measurements, Recurring    
Liabilities    
Unobservable Input, Liabilities 0.36  
Level 3 | HFT derivatives | Range, Minimum | Energy Related derivative | Natural gas | Third-party pricing | Fair Value, Measurements, Recurring    
Assets    
Total assets $ 1.82 $ 1.33
Liabilities    
Total liabilities $ 1.54 $ 1.36
Level 3 | HFT derivatives | Range, Minimum | Energy Related derivative | Natural gas | Probability of default | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 0.0002 0.0001
Level 3 | HFT derivatives | Range, Minimum | Energy Related derivative | Natural gas | Discount rate | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 0 0.0001
Liabilities    
Unobservable Input, Liabilities 0 0.0001
Level 3 | HFT derivatives | Range, Minimum | Energy Related derivative | Natural gas | Basis adjustment | Fair Value, Measurements, Recurring    
Assets    
Total assets $ 0 $ 0
Liabilities    
Total liabilities $ 0 $ 0
Level 3 | HFT derivatives | Range, Minimum | Energy Related derivative | Natural gas | Own credit risk | Fair Value, Measurements, Recurring    
Liabilities    
Unobservable Input, Liabilities 0.0003 0.0001
Level 3 | HFT derivatives | Range, Maximum | Power | Third-party pricing | Fair Value, Measurements, Recurring    
Assets    
Total assets $ 36.05 $ 74.05
Liabilities    
Unobservable Input, Liabilities 62.45  
Level 3 | HFT derivatives | Range, Maximum | Power | Probability of default | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 0.85 0.0114
Level 3 | HFT derivatives | Range, Maximum | Power | Discount rate | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 0.41 0.0665
Liabilities    
Unobservable Input, Liabilities 0.73  
Level 3 | HFT derivatives | Range, Maximum | Power | Correlation factor | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 100  
Level 3 | HFT derivatives | Range, Maximum | Power | Own credit risk | Fair Value, Measurements, Recurring    
Liabilities    
Unobservable Input, Liabilities 6.85  
Level 3 | HFT derivatives | Range, Maximum | Natural gas | Third-party pricing | Fair Value, Measurements, Recurring    
Assets    
Total assets $ 6.22 $ 7.45
Liabilities    
Total liabilities $ 6.57 $ 7.45
Level 3 | HFT derivatives | Range, Maximum | Natural gas | Probability of default | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 2.52 0.0231
Level 3 | HFT derivatives | Range, Maximum | Natural gas | Discount rate | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 10.36 0.2093
Liabilities    
Unobservable Input, Liabilities 0.0879 0.1863
Level 3 | HFT derivatives | Range, Maximum | Natural gas | Own credit risk | Fair Value, Measurements, Recurring    
Liabilities    
Unobservable Input, Liabilities 0.0252 0.0231
Level 3 | HFT derivatives | Range, Maximum | Energy Related derivative | Power | Third-party pricing | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 62.45  
Liabilities    
Unobservable Input, Liabilities 62.45  
Level 3 | HFT derivatives | Range, Maximum | Energy Related derivative | Power | Probability of default | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 9.74  
Level 3 | HFT derivatives | Range, Maximum | Energy Related derivative | Power | Discount rate | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 0.73  
Liabilities    
Unobservable Input, Liabilities 0.4  
Level 3 | HFT derivatives | Range, Maximum | Energy Related derivative | Power | Correlation factor | Fair Value, Measurements, Recurring    
Liabilities    
Unobservable Input, Liabilities 100  
Level 3 | HFT derivatives | Range, Maximum | Energy Related derivative | Power | Own credit risk | Fair Value, Measurements, Recurring    
Liabilities    
Unobservable Input, Liabilities 1.28  
Level 3 | HFT derivatives | Range, Maximum | Energy Related derivative | Natural gas | Third-party pricing | Fair Value, Measurements, Recurring    
Assets    
Total assets $ 8.44 $ 8.76
Liabilities    
Total liabilities $ 8.44 $ 9.75
Level 3 | HFT derivatives | Range, Maximum | Energy Related derivative | Natural gas | Probability of default | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 0.1258 0.0333
Level 3 | HFT derivatives | Range, Maximum | Energy Related derivative | Natural gas | Discount rate | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 0.0067 0.0471
Liabilities    
Unobservable Input, Liabilities 0.0067 0.0376
Level 3 | HFT derivatives | Range, Maximum | Energy Related derivative | Natural gas | Basis adjustment | Fair Value, Measurements, Recurring    
Assets    
Total assets $ 1.33 $ 1.31
Liabilities    
Total liabilities $ 1.33 $ 1.31
Level 3 | HFT derivatives | Range, Maximum | Energy Related derivative | Natural gas | Own credit risk | Fair Value, Measurements, Recurring    
Liabilities    
Unobservable Input, Liabilities 0.1258 0.0333
Level 3 | HFT derivatives | Weighted average | Power | Third-party pricing | Fair Value, Measurements, Recurring    
Assets    
Total assets $ 29.53 $ 35.03
Liabilities    
Unobservable Input, Liabilities 36.9  
Level 3 | HFT derivatives | Weighted average | Power | Probability of default | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 0.6 0.0021
Level 3 | HFT derivatives | Weighted average | Power | Discount rate | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 0.28 0.0278
Liabilities    
Unobservable Input, Liabilities 0.34  
Level 3 | HFT derivatives | Weighted average | Power | Correlation factor | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 100  
Level 3 | HFT derivatives | Weighted average | Power | Own credit risk | Fair Value, Measurements, Recurring    
Liabilities    
Unobservable Input, Liabilities 2.02  
Level 3 | HFT derivatives | Weighted average | Natural gas | Third-party pricing | Fair Value, Measurements, Recurring    
Assets    
Total assets $ 2.52 $ 2.37
Liabilities    
Total liabilities $ 3.68 $ 4.07
Level 3 | HFT derivatives | Weighted average | Natural gas | Probability of default | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 0.4 0.0009
Level 3 | HFT derivatives | Weighted average | Natural gas | Discount rate | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 0.75 0.0155
Liabilities    
Unobservable Input, Liabilities 0.0043 0.0189
Level 3 | HFT derivatives | Weighted average | Natural gas | Own credit risk | Fair Value, Measurements, Recurring    
Liabilities    
Unobservable Input, Liabilities 0.001 0.0012
Level 3 | HFT derivatives | Weighted average | Energy Related derivative | Power | Third-party pricing | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 31.14  
Liabilities    
Unobservable Input, Liabilities 55  
Level 3 | HFT derivatives | Weighted average | Energy Related derivative | Power | Probability of default | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 2.52  
Level 3 | HFT derivatives | Weighted average | Energy Related derivative | Power | Discount rate | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 0.25  
Liabilities    
Unobservable Input, Liabilities 0.31  
Level 3 | HFT derivatives | Weighted average | Energy Related derivative | Power | Correlation factor | Fair Value, Measurements, Recurring    
Liabilities    
Unobservable Input, Liabilities 100  
Level 3 | HFT derivatives | Weighted average | Energy Related derivative | Power | Own credit risk | Fair Value, Measurements, Recurring    
Liabilities    
Unobservable Input, Liabilities 0.83  
Level 3 | HFT derivatives | Weighted average | Energy Related derivative | Natural gas | Third-party pricing | Fair Value, Measurements, Recurring    
Assets    
Total assets $ 4.66 $ 5.05
Liabilities    
Total liabilities $ 4.69 $ 5.45
Level 3 | HFT derivatives | Weighted average | Energy Related derivative | Natural gas | Probability of default | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 0.0195 0.0028
Level 3 | HFT derivatives | Weighted average | Energy Related derivative | Natural gas | Discount rate | Fair Value, Measurements, Recurring    
Assets    
Unobservable Input, Assets 0.0013 0.0091
Liabilities    
Unobservable Input, Liabilities 0.0016 0.0081
Level 3 | HFT derivatives | Weighted average | Energy Related derivative | Natural gas | Basis adjustment | Fair Value, Measurements, Recurring    
Assets    
Total assets $ 0.44 $ 0.76
Liabilities    
Total liabilities $ 0.87 $ 0.91
Level 3 | HFT derivatives | Weighted average | Energy Related derivative | Natural gas | Own credit risk | Fair Value, Measurements, Recurring    
Liabilities    
Unobservable Input, Liabilities 0.001 0.0006