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FV Measurements
 12 Months Ended
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).