Company: ENBSF
Filing Date: 2025-05-09
Form Type: 10-Q
Source: 0000895728-25-000012
Chunk: 49

Company: ENBRIDGE INC
Filing Date: 2025-05-09
Form: 10-Q
Item: Item 1
Chunk 49
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 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:March 31, 2025Level 1Level 2Level 3Total GrossDerivativeInstruments(millions of Canadian dollars)Financial assetsCurrent derivative assetsForeign exchange contracts— 26 — 26 Interest rate contracts— 21 — 21 Commodity contracts30 76 328 434  30 123 328 481 Long-term derivative assets   Foreign exchange contracts— 68 — 68 Interest rate contracts— 107 — 107 Commodity contracts— 17 179 196  — 192 179 371 Financial liabilitiesCurrent derivative liabilitiesForeign exchange contracts— (744)— (744)Interest rate contracts— (36)— (36)Commodity contracts(49)(113)(321)(483) (49)(893)(321)(1,263)Long-term derivative liabilitiesForeign exchange contracts— (1,523)— (1,523)Interest rate contracts— (113)— (113)Commodity contracts— (33)(129)(162) — (1,669)(129)(1,798)Total net financial asset/(liability)Foreign exchange contracts— (2,173)— (2,173)Interest rate contracts— (21)— (21)Commodity contracts(19)(53)57 (15) (19)(2,247)57 (2,209)

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December 31, 2024Level 1Level 2Level 3Total GrossDerivativeInstruments(millions of Canadian dollars)    Financial assets    Current derivative assets    Foreign exchange contracts— 125 — 125 Interest rate contracts— 67