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Derivative Instruments (Tables)

12 Months Ended

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 withintent 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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