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Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2020

16. Fair Value Measurements

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

As at		December 31, 2020
millions of Canadian dollars		Level 1		Level 2		Level 3		Total
Assets
Cash flow hedges
Interest rate hedge	$	1	$	-	$	-	$	1
		1		-		-		1
Regulatory deferral
Commodity swaps and forwards
Power purchases		9		-		-		9
Natural gas purchases and sales		2		1		-		3
Heavy fuel oil purchases		-		2		-		2
		11		3		-		14
HFT derivatives
Power swaps and physical contracts		3		2		2		7
Natural gas swaps, futures, forwards, physical contracts and related transportation		1		48		12		61
		4		50		14		68
Other derivatives
Foreign exchange forwards		-		15		-		15
		-		15		-		15
Total assets		16		68		14		98
Liabilities
Regulatory deferral
Commodity swaps and forwards
Coal purchases		-		4		-		4
Power purchases		33		-		-		33
Heavy fuel oil purchases		3		3		-		6
Natural gas purchases and sales		-		2		-		2
Foreign exchange forwards		-		17		-		17
		36		26		-		62
HFT derivatives
Power swaps and physical contracts		4		2		1		7
Natural gas swaps, futures, forwards and physical contracts		1		10		257		268
		5		12		258		275
Other derivatives
Equity derivatives		1		-		-		1
		1		-		-		1
Total liabilities		42		38		258		338
Net assets (liabilities)	$	(26)	$	30	$	(244)	$	(240)

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 purchased 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)

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, 2020 was as follows:
	HFT Derivatives
millions of Canadian dollars	Power		Naturalgas		Total
Balance, January 1, 2020	$	1	$	14	$	15
Total realized and unrealized gains (losses) included in non-regulated operating revenues		3		(2)		1
Net transfers out of Level 3		(2)		-		(2)
Balance, December 31, 2020	$	2	$	12	$	14

The change in the fair value of the Level 3 financial liabilities for the year ended December 31, 2020 was as follows:
	HFT Derivatives
millions of Canadian dollars	Power		Naturalgas		Total
Balance, January 1, 2020	$	-	$	249	$	249
Total realized and unrealized gains included in non-regulated operating revenues		2		8		10
Net transfers out of Level 3		(1)		-		(1)
Balance, December 31, 2020	$	1	$	257	$	258

As at		December 31, 2020
millions of Canadian dollars		Fair Value	ValuationTechnique	Unobservable Input	Range	Weighted average (1)
Assets
HFT derivatives –	$	1	Modelled pricing	Third-party pricing	$20.50 - $62.45	$31.14
Power swaps and				Probability of default	0.02% - 9.74%	2.52%
physical contracts				Discount rate	0.01% - 0.73%	0.25%
		1	Modelled pricing	Third-party pricing	$25.70 - $36.05	$29.53
				Probability of default	0.36% - 0.85%	0.60%
				Discount rate	0.06% - 0.41%	0.28%
				Correlation factor	100% - 100%	100%
HFT derivatives –		18	Modelled pricing	Third-party pricing	$1.66 - $6.22	$2.52
Natural gas swaps, futures,				Probability of default	0.02% - 2.52%	0.40%
forwards and physical contracts				Discount rate	0.00% - 10.36%	0.75%
		(6)	Modelled pricing	Third-party pricing	$1.82 - $8.44	$4.66
				Basis adjustment	$0.00 - $1.33	$0.44
				Probability of default	0.02% - 12.58%	$1.95
				Discount rate	0.00% - 0.67%	0.13%
Total assets	$	14
Liabilities
HFT derivatives –	$	1	Modelled pricing	Third-party pricing	$1.13 - $62.45	$36.90
Power swaps and				Own credit risk	0.02% - 6.85%	2.02%
physical contracts				Discount rate	0.01% - 0.73%	0.34%
		1	Modelled pricing	Third-party pricing	$37.25 - $62.45	$55.00
				Own credit risk	0.36% - 1.28%	0.83%
				Discount rate	0.01% - 0.40%	0.31%
				Correlation factor	100% - 100%	100%
HFT derivatives –		226	Modelled pricing	Third-party pricing	$1.44 - $6.57	$3.68
Natural gas swaps, futures,				Own credit risk	0.02% - 2.52%	0.10%
forwards and physical contracts				Discount rate	0.00% - 8.79%	0.43%
		30	Modelled pricing	Third-party pricing	$1.54 - $8.44	$4.69
				Basis adjustment	$0.00 - $1.33	$0.87
				Own credit risk	0.03% - 12.58%	0.10%
				Discount rate	0.00% - 0.67%	0.16%
Total liabilities	$	258
Net assets (liabilities)	$	(244)
(1) Unobservable inputs were weighted by the relative fair value of the instruments

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, and 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)

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

Long-term debt is a financial liability not measured at fair value on the Consolidated Balance Sheets. The balance consisted of the following:
As at
millions of Canadian dollars		Carrying Amount		Fair Value		Level 1		Level 2		Level 3		Total
December 31, 2020	$	13,721	$	16,487	$	-	$	16,020	$	467	$	16,487
December 31, 2019	$	14,180	$	16,049	$	-	$	15,598	$	451	$	16,049

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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
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258

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-Publisher FASB
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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
-Topic 820
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-Section 50
-Paragraph 2
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

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