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Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 2023
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 dollars
2023
2022
2023
2022
Regulatory deferral:
 
Commodity swaps and forwards
$
 
16
$
 
186
$
 
76
$
 
42
 
FX forwards
 
3
 
18
 
3
 
1
 
Physical natural gas purchases and sales
-
 
 
52
-
 
-
 
 
19
 
256
 
79
 
43
HFT derivatives:
 
Power swaps and physical contracts
 
29
 
89
 
36
 
77
 
Natural gas swaps, futures, forwards, physical
 
 
contracts
 
319
 
340
 
531
 
1,224
 
348
 
429
 
567
 
1,301
Other derivatives:
 
Equity derivatives
 
 
4
-
 
-
 
 
5
 
FX forwards
 
18
 
5
 
7
 
23
 
22
 
5
 
7
 
28
Total gross current derivatives
 
389
 
690
 
653
 
1,372
Impact of master netting agreements:
 
Regulatory deferral
(3)
(18)
(3)
(18)
 
HFT derivatives
(146)
(276)
(146)
(276)
Total impact of master netting agreements
(149)
(294)
(149)
(294)
Total derivatives
$
 
240
$
 
396
$
 
504
$
 
1,078
Current
(1)
 
174
 
296
 
386
 
888
Long-term
(1)
 
66
 
100
 
118
 
190
Total derivatives
$
 
240
$
 
396
$
 
504
$
 
1,078
(1) Derivative assets and liabilities are classified as current or long-term based upon the maturities of the underlying
 
contracts.
Cash Flow Hedges Recorded in AOCI
For the
Year ended December 31
millions of dollars
2023
2022
Interest
Interest
rate hedge
rate hedge
Realized gain in interest expense, net
$
 
2
$
 
2
Total gains in net income
$
 
2
$
 
2
As at
December 31
December 31
millions of dollars
2023
2022
Interest
Interest
rate hedge
rate hedge
Total unrealized gain in AOCI – effective portion, net of tax
$
 
14
$
 
16
Changes in Realized and Unrealized Gains (Losses) on Derivatives
Physical
Commodity
Physical
Commodity
natural gas
swaps and
FX
natural gas
swaps and
FX
millions of dollars
purchases
forwards
forwards
purchases
forwards
forwards
For the year ended December 31
2023
2022
Unrealized gain (loss) in regulatory
assets
$
-
 
$
(109)
$
(3)
$
-
 
$
(69)
$
 
1
Unrealized gain (loss) in regulatory
liabilities
(3)
(73)
-
 
 
28
 
343
 
16
Realized (gain) loss in regulatory
assets
-
 
(5)
-
 
-
 
 
48
-
 
Realized (gain) loss in regulatory
liabilities
-
 
 
2
-
 
-
 
(41)
-
 
Realized (gain) loss in inventory
(1)
-
 
 
4
(10)
-
 
(121)
 
1
Realized (gain) in regulated fuel for
generation and purchased power
(2)
(49)
(9)
(4)
(64)
(146)
-
 
Other
-
 
(14)
-
 
-
 
-
 
-
 
Total change in derivative instruments
$
(52)
$
(204)
$
(17)
$
(36)
$
 
14
$
 
18
(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 dollars
2023
2022
Power swaps and physical contracts in non-regulated operating revenues
$
(6)
$
 
17
Natural gas swaps, forwards, futures and physical contracts in non-regulated
operating revenues
 
1,043
 
47
Total gains in net income
$
 
1,037
$
 
64
For the
Year ended December 31
millions of dollars
2023
2022
FX
Equity
FX
Equity
Forwards
Derivatives
Forwards
Derivatives
Unrealized gain (loss) in OM&G
$
-
 
$
 
4
$
-
 
$
(5)
Unrealized gain (loss) in other income, net
 
28
-
 
(18)
-
 
Realized loss in OM&G
-
 
(13)
-
 
(17)
Realized loss in other income, net
(11)
-
 
(6)
-
 
Total gains (losses) in net income
$
 
17
$
(9)
$
(24)
$
(22)
Notional Volumes of Outstanding Derivatives
millions
2024
2025-2026
Physical natural gas purchases:
Natural gas (MMBtu)
 
7
 
6
Commodity swaps and forwards purchases:
Natural gas (MMBtu)
 
16
 
10
Power (MWh)
 
1
 
1
Coal (metric tonnes)
 
1
-
 
FX swaps and forwards:
FX contracts (millions of USD)
$
 
241
$
 
70
Weighted average rate
 
1.3155
 
1.3197
% of USD requirements
63%
17%
2028 and
 
millions
 
2024
2025
2026
2027
thereafter
Natural gas purchases (Mmbtu)
 
296
 
80
 
50
 
38
 
30
Natural gas sales (Mmbtu)
 
338
 
86
 
16
 
6
 
4
Power purchases (MWh)
 
1
-
 
-
 
-
 
-
 
Power sales (MWh)
 
1
-
 
-
 
-
 
-
Summary of Concentration Risk
Concentration Risk
The Company's concentrations of risk consisted of the following:
As at
December 31, 2023
December 31, 2022
millions of
dollars
% of total
exposure
millions of
dollars
% of total
exposure
Receivables, net
Regulated utilities:
Residential
$
 
476
31%
$
 
455
19%
Commercial
 
194
13%
 
192
8%
Industrial
 
84
5%
 
121
5%
Other
 
103
7%
 
122
5%
Cash collateral
 
94
6%
-
0%
 
951
62%
 
890
37%
Trading group:
Credit rating of A- or above
 
47
3%
 
125
5%
Credit rating of BBB- to BBB+
 
33
2%
 
75
3%
Not rated
 
108
7%
 
307
13%
 
188
12%
 
507
21%
Other accounts receivable
 
151
10%
 
585
25%
 
1,290
84%
 
1,982
83%
Derivative Instruments
(current and long-term)
Credit rating of A- or above
 
138
9%
 
202
9%
Credit rating of BBB- to BBB+
 
7
1%
 
8
0%
Not rated
 
95
6%
 
186
8%
 
240
16%
 
396
17%
$
 
1,530
100%
$
 
2,378
100%
Cash Collateral Positions
As at
December 31
December 31
millions of dollars
2023
2022
Cash collateral provided to others
$
 
101
$
 
224
Cash collateral received from others
$
 
22
$
 
112