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FV Measurements (Tables)
12 Months Ended
Dec. 31, 2023
FV Measurements [Abstract]  
Classification of Fair Value of Derivatives
As at
December 31, 2023
millions of dollars
Level 1
Level 2
Level 3
Total
Assets
Regulatory deferral:
 
Commodity swaps and forwards
$
 
7
$
 
6
$
-
 
$
 
13
 
FX forwards
-
 
 
3
-
 
 
3
 
7
 
9
-
 
 
16
HFT derivatives:
 
Power swaps and physical contracts
(5)
 
23
-
 
 
18
 
Natural gas swaps, futures, forwards, physical
 
 
contracts and related transportation
 
42
 
108
 
34
 
184
 
37
 
131
 
34
 
202
Other derivatives:
 
FX forwards
-
 
 
18
-
 
 
18
 
Equity derivatives
 
 
4
-
 
-
 
 
4
 
4
 
18
-
 
 
22
Total assets
 
48
 
158
 
34
 
240
Liabilities
Regulatory deferral:
 
Commodity swaps and forwards
 
43
 
30
-
 
 
73
 
FX forwards
-
 
 
3
-
 
 
3
 
43
 
33
-
 
 
76
HFT derivatives:
 
Power swaps and physical contracts
-
 
 
24
-
 
 
24
 
Natural gas swaps, futures, forwards and physical
 
 
contracts
 
13
 
19
 
365
 
397
 
13
 
43
 
365
 
421
Other derivatives:
 
FX forwards
-
 
 
7
-
 
 
7
-
 
 
7
-
 
 
7
Total liabilities
 
56
 
83
 
365
 
504
Net assets (liabilities)
 
$
(8)
$
 
75
$
(331)
$
(264)
As at
December 31, 2022
millions of dollars
Level 1
Level 2
Level 3
Total
Assets
Regulatory deferral:
 
Commodity swaps and forwards
$
 
120
$
 
48
$
-
 
$
 
168
 
FX forwards
-
 
 
18
-
 
 
18
 
Physical natural gas purchases and sales
-
 
-
 
 
52
 
52
 
120
 
66
 
52
 
238
HFT derivatives:
 
Power swaps and physical contracts
 
9
 
31
 
4
 
44
 
Natural gas swaps, futures, forwards, physical
 
 
contracts and related transportation
 
3
 
72
 
34
 
109
 
12
 
103
 
38
 
153
Other derivatives:
 
FX forwards
-
 
 
5
-
 
 
5
Total assets
 
132
 
174
 
90
 
396
Liabilities
Regulatory deferral:
 
Commodity swaps and forwards
 
15
 
9
-
 
 
24
 
FX forwards
-
 
 
1
-
 
 
1
 
15
 
10
-
 
 
25
HFT derivatives:
 
Power swaps and physical contracts
 
2
 
28
 
1
 
31
 
Natural gas swaps, futures, forwards and physical
 
 
contracts
 
51
 
118
 
825
 
994
 
53
 
146
 
826
 
1,025
Other derivatives:
 
FX forwards
-
 
 
23
-
 
 
23
 
Equity derivatives
 
5
-
 
-
 
 
5
Total liabilities
 
73
 
179
 
826
 
1,078
Net assets (liabilities)
$
 
59
$
(5)
$
(736)
$
(682)
Change in Fair Value of Level 3 Financial Assets
The change in the FV of the Level 3 financial assets for the year ended December 31, 2023 was as
follows:
Regulatory Deferral
HFT Derivatives
Physical natural
Natural
 
millions of dollars
gas purchases
Power
 
gas
Total
Balance, January 1, 2023
$
 
52
$
 
4
$
 
34
$
 
90
Realized gains (losses) included in fuel for generation
and purchased power
(49)
-
 
-
 
(49)
Unrealized gains (losses) included in regulatory
assets and liabilities
(3)
-
 
-
 
(3)
Total realized and unrealized gains (losses) included
in non-regulated operating revenues
-
 
(4)
-
 
(4)
Balance, December 31, 2023
$
-
 
$
-
 
$
 
34
$
 
34
Change in Fair Value of Level 3 Financial Liabilities
The change in the FV of the Level 3 financial liabilities for the year ended December 31, 2023 was as
follows:
 
HFT Derivatives
Natural
millions of dollars
Power
 
gas
Total
Balance, January 1, 2023
$
 
1
$
 
825
$
 
826
Total realized and unrealized gains included in non-
regulated operating revenues
(1)
(460)
(461)
Balance, December 31, 2023
 
$
-
 
$
 
365
$
 
365
Quantitative Information About Significant Unobservable Inputs Used in Level 3 Measurements
Significant
Weighted
 
millions of dollars
FV
Unobservable Input
Low
High
average
(1)
Assets
Liabilities
As at December 31, 2023
HFT derivatives – Natural
 
34
365
Third-party pricing
$1.27
$16.25
$4.85
gas swaps, futures, forwards
 
and physical contracts
 
Total
$
34
$
365
Net liability
$
331
As at December 31, 2022
Regulatory deferral –
Physical
$
52
$
-
Third-party pricing
$5.79
$31.85
$12.27
natural gas purchases
HFT derivatives – Power
 
4
1
Third-party pricing
$43.24
$269.10
$138.79
swaps and physical contracts
HFT derivatives – Natural
 
34
825
Third-party pricing
$2.45
$33.88
$12.01
gas swaps, futures, forwards
 
and physical contracts
 
Total
$
90
$
826
Net liability
$
736
(1) Unobservable inputs were weighted by the relative FV of the instruments.
Financial Liabilities not Measured at Fair Value on Consolidated Balance Sheets
Long-term debt is a financial liability not measured at FV on the Consolidated Balance Sheets. The
balance consisted of the following:
As at
Carrying
millions of dollars
Amount
FV
Level 1
Level 2
Level 3
Total
December 31, 2023
$
 
18,365
$
 
16,621
$
-
 
$
 
16,363
$
 
258
$
 
16,621
December 31, 2022
$
 
16,318
$
 
14,670
$
-
 
$
 
14,284
$
 
386
$
 
14,670