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FV Measurements | 12 Months Ended
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Dec. 31, 2024
FV Measurements [Abstract] |
Fair Value Measurements | 17. FV MEASUREMENTS The Company is required to determine the FV of all derivatives except those which qualify for the NPNS exemption (see note 1) and uses a market approach to do so. The three levels of the FV hierarchy are defined as follows: Level 1 – Where possible, the Company bases the fair valuation of its financial assets and liabilities on quoted prices in active markets (“quoted prices”) for identical assets and liabilities. Level 2 – Where quoted prices for identical assets and liabilities are not available, the valuation of certain contracts must be based on quoted prices for similar assets and liabilities with an adjustment related to location differences. Also, certain derivatives are valued using quotes from over-the-counter clearing houses. Level 3 – Where the information required for a Level 1 or Level 2 valuation is not available, derivatives must be valued using unobservable or internally developed inputs. The primary reasons for a Level 3 classification are as follows: ● While valuations were based on quoted prices, significant assumptions were necessary to reflect seasonal or monthly shaping and locational basis differentials. ● The term of certain transactions extends beyond the period when quoted prices are available and, accordingly, assumptions were made to extrapolate prices from the last quoted period through the end of the transaction term. ● The valuations of certain transactions were based on internal models, although quoted prices were utilized in the valuations. Derivative assets and liabilities are classified in their entirety, based on the lowest level of input that is significant to the FV measurement. The following tables set out the classification of the methodology used by the Company to FV its derivatives: As at December 31, 2024 millions of dollars Level 1 Level 2 Level 3 Total Assets Regulatory deferral: Commodity swaps and forwards $ 15 $ 3 $ - $ 18 FX forwards - 27 - 27 15 30 - 45 HFT derivatives: Power swaps and physical contracts 2 23 5 30 Natural gas swaps, futures, forwards, physical contracts and related transportation 13 52 27 92 15 75 32 122 Less: Derivatives classified as held for sale (1) - (1) - (1) Total assets 30 104 32 166 Liabilities Regulatory deferral: Commodity swaps and forwards $ 18 $ 19 $ - $ 37 FX forwards - 3 - 3 18 22 - 40 HFT derivatives: Power swaps and physical contracts 2 21 4 27 Natural gas swaps, futures, forwards and physical contracts (11) 89 437 515 (9) 110 441 542 Other derivatives: FX forwards - 34 - 34 Equity derivatives 2 - - 2 2 34 - 36 Less: Derivatives classified as held for sale (1) - (1) - (1) Total liabilities 11 165 441 617 Net assets (liabilities) $ 19 $ (61) $ (409) $ (451) (1) On August 5, 2024, Emera announced an agreement to sell NMGC. As at December 31, 2024, NMGC's assets and liabilities were classified as held for sale. For further details on the pending transaction, refer to note 4 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) The change in the FV of the Level 3 financial assets and liabilities for the year ended December 31, 2024 was as follows: HFT Derivatives millions of dollars Power Natural gas Total Assets Balance, beginning of period $ - $ 34 $ 34 Total realized and unrealized gains (losses) included in non-regulated operating revenues 5 (7) (2) Balance, December 31, 2024 $ 5 $ 27 $ 32 Liabilities Balance, beginning of period $ - $ 365 $ 365 Total realized and unrealized gains (losses) included in non-regulated operating revenues 4 72 76 Balance, December 31, 2024 $ 4 $ 437 $ 441 Significant unobservable inputs used in the FV measurement of Emera’s natural gas and power derivatives include third-party sourced pricing for instruments based on illiquid markets. Significant increases (decreases) in any of these inputs in isolation would result in a significantly lower (higher) FV measurement. Other unobservable inputs used include internally developed correlation factors and basis differentials; own credit risk; and discount rates. Internally developed correlations and basis differentials are reviewed on a quarterly basis based on statistical analysis of the spot markets in the various illiquid term markets. Discount rates may include a risk premium for those long-term forward contracts with illiquid future price points to incorporate the inherent uncertainty of these points. Any risk premiums for long-term contracts are evaluated by observing similar industry practices and in discussion with industry peers. The Company uses a modelled pricing valuation technique for determining the FV of Level 3 derivative instruments. The following table outlines quantitative information about the significant unobservable inputs used in the FV measurements categorized within Level 3 of the FV hierarchy: Significant Weighted millions of dollars FV Unobservable Input Low High average (1) Assets Liabilities As at December 31, 2024 HFT derivatives – Power 5 4 Third-party pricing $25.60 $139.65 $82.63 swaps and physical contracts HFT derivatives – Natural 27 437 Third-party pricing $2.20 $17.54 $8.57 gas swaps, futures, forwards and physical contracts Total $ 32 $ 441 Net liability $ 409 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 (1) Unobservable inputs were weighted by the relative FV of the instruments. 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, 2024 $ 18,407 $ 17,941 $ - $ 17,688 $ 253 $ 17,941 December 31, 2023 $ 18,365 $ 16,621 $ - $ 16,363 $ 258 $ 16,621 The Company has designated $ 1.2 billion USD denominated Hybrid Notes as a hedge of the foreign currency exposure of its ne t investment in USD denominated operations. The Company’s Hybrid Notes are contingently convertible into preferred shares in the event of bankruptcy or other related events. A redemption option on or after June 15, 2026 is available and at the control of the Company. The Hybrid Notes are classified as Level 2 financial assets. As at December 31, 2024, the FV of the Hybrid Notes was $ 1.2 billion (2023 – $ 1.2 billion). An after-tax foreign currency loss of $ 139 million was recorded in AOCI for the year ended December 31, 2024 (2023 – $ 38 million after-tax gain).

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 107 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-107 Reference 2: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 100 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-100 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c)(3) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2E -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2E Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 7: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 8: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (e) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 9: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 10: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 11: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (g) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 12: http://www.xbrl.org/2003/role/disclosureRef -Topic 940 -SubTopic 820 -Name Accounting Standards Codification -Section 50 -Paragraph 1 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478119/940-820-50-1 + Details
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