Company: ENBSF
Filing Date: 2025-02-14
Form Type: 10-K
Source: 0000895728-25-000006
Chunk: 141

Company: ENBRIDGE INC
Filing Date: 2025-02-14
Form: 10-K
Item: Item 8
Chunk 141
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 unavailable or where the observable data does not support a significant portion of the derivative's fair value. Generally, Level 3 derivatives are longer dated transactions, occur in less active markets, occur at locations where pricing information is not available or have no binding broker quote to support Level 2 classification. We have developed methodologies, benchmarked against industry standards, to determine fair value for these derivatives based on the extrapolation of observable future prices and rates. Derivatives valued using Level 3 inputs primarily include long-dated derivative power, NGL and natural gas contracts, basis swaps, commodity swaps, and power and energy swaps, physical forward commodity contracts, as well as options. We do not have any other financial instruments categorized in Level 3.We use the most observable inputs available to estimate the fair value of our derivatives. When possible, we estimate the fair value of our derivatives based on quoted market prices. If quoted market prices are not available, we use estimates from third-party brokers. For non-exchange traded derivatives classified in Levels 2 and 3, we use standard valuation techniques to calculate the estimated fair value. These methods include discounted cash flows for forwards and swaps and Black-Scholes-Merton pricing models for options. Depending on the type of derivative and nature of the underlying risk, we use observable market prices (interest, foreign exchange, commodity and share price) and volatility as primary inputs to these valuation techniques. Finally, we consider our own credit default swap spread, as well as the credit default swap spreads associated with our counterparties, in our estimation of fair value.

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Fair Value of DerivativesWe have categorized our derivative assets and liabilities measured at fair value as follows:December 31, 2024Level 1Level 2Level 3Total Gross Derivative Instruments(millions of Canadian dollars)    Financial assets    Current derivative assets    Foreign exchange contracts— 125 — 125 Interest rate contracts— 67 — 67 Commodity contracts34 72 256 362 Other contracts— 3 — 3  34 267 256 557 Long-term derivative assets   Foreign exchange contracts— 83 — 83 Interest rate contracts— 146 — 146 Commodity contracts1 14 182 197 Other contracts— — — —  1 243 182 426 Financial liabilities   Current derivative liabilities   Foreign exchange contracts— (804)— (804)Interest rate contracts—