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Risk Management (Tables)
 12 Months Ended
Dec. 31, 2020
Statement [LineItems]  
Summary of Gross Carrying Amount of Financial Instruments Subject to Credit Exposure
The following table presents the gross carrying amount of financial instruments subject to credit exposure, without considering any collateral held or other credit enhancements.
 
As at December 31,
 
2020
  2019 
Debt securities
        
FVTPL
 
$
  183,061
 
 $166,307 
AFS
 
 
35,663
 
  31,815 
Mortgages
 
 
50,207
 
  49,376 
Private placements
 
 
40,756
 
  37,979 
Policy loans
 
 
6,398
 
  6,471 
Loans to Bank clients
 
 
1,976
 
  1,740 
Derivative assets
 
 
27,793
 
  19,449 
Accrued investment income
 
 
2,523
 
  2,416 
Reinsurance assets
 
 
45,836
 
  41,446 
Other financial assets
 
 
6,156
 
  5,628 
Total
 
$
400,369
 
 $  362,627 
Summary of Credit Quality and Carrying Value of Commercial Mortgages and Private Placements
The following table presents the credit quality of commercial mortgages and private placements. 
 
As at December 31, 2020
 AAA  AA  A  BBB  BB  B and lower  Total 
Commercial mortgages
                            
Retail
 
$
110
 
 
$
1,339
 
 
$
4,761
 
 
$
2,242
 
 
$
168
 
 
$
1
 
 
$
8,621
 
Office
 
 
66
 
 
 
1,297
 
 
 
5,948
 
 
 
1,174
 
 
 
164
 
 
 
20
 
 
 
8,669
 
Multi-family residential
 
 
613
 
 
 
1,675
 
 
 
2,896
 
 
 
582
 
 
 
33
 
 
 
–
 
 
 
5,799
 
Industrial
 
 
25
 
 
 
320
 
 
 
2,353
 
 
 
259
 
 
 
3
 
 
 
–
 
 
 
2,960
 
Other
 
 
238
 
 
 
966
 
 
 
914
 
 
 
984
 
 
 
355
 
 
 
7
 
 
 
3,464
 
Total commercial mortgages
 
 
1,052
 
 
 
5,597
 
 
 
16,872
 
 
 
5,241
 
 
 
723
 
 
 
28
 
 
 
29,513
 
Agricultural mortgages
 
 
–
 
 
 
–
 
 
 
127
 
 
 
77
 
 
 
106
 
 
 
–
 
 
 
310
 
Private placements
 
 
1,061
 
 
 
4,829
 
 
 
15,585
 
 
 
15,825
 
 
 
1,206
 
 
 
2,250
 
 
 
40,756
 
Total
 
$
2,113
 
 
$
10,426
 
 
$
32,584
 
 
$
21,143
 
 
$
  2,035
 
 
$
2,278
 
 
$
70,579
 
        
As at December 31, 2019 AAA  AA  A  BBB  BB  B and lower  Total 
Commercial mortgages
                            
Retail
 $132  $1,374  $5,285  $2,039  $10  $–  $8,840 
Office
  77   1,540   5,808   1,402   26   18   8,871 
Multi-family residential
  640   1,585   2,397   714   35   –   5,371 
Industrial
  38   364   1,820   237   10   –   2,469 
Other
  260   739   976   1,290   –   8   3,273 
Total commercial mortgages
  1,147   5,602   16,286   5,682   81   26   28,824 
Agricultural mortgages
  –   27   137   312   –   –   476 
Private placements
  1,098   5,513   14,311   14,139   823   2,095   37,979 
Total
 $  2,245  $  11,142  $  30,734  $  20,133  $  904  $  2,121  $  67,279 
Summary of Carrying Value of Past Due but Not Impaired and Impaired Financial Assets
The following table presents past due but not impaired and impaired financial assets.
 
  Past due but not impaired    
As at December 31, 2020
 Less than
90 days		  90 days
and greater		  Total  Total
impaired		 
Debt securities
                
FVTPL
 
$
–
 
 
$
–
 
 
$
–
 
 
$
54
 
AFS
 
 
–
 
 
 
–
 
 
 
–
 
 
 
1
 
Private placements
 
 
30
 
 
 
–
 
 
 
30
 
 
 
170
 
Mortgages and loans to Bank clients
 
 
66
 
 
 
–
 
 
 
66
 
 
 
69
 
Other financial assets
 
 
56
 
 
 
58
 
 
 
114
 
 
 
2
 
Total
 
$
152
 
 
$
58
 
 
$
210
 
 
$
296
 
   
  Past due but not impaired    
As at December 31, 2019 Less than
90 days		  90 days
and greater		  Total  Total
impaired		 
Debt securities
                
FVTPL
 $11  $–  $11  $167 
AFS
  4   1   5   – 
Private placements
  215   –   215   7 
Mortgages and loans to Bank clients
  61   –   61   59 
Other financial assets
  60   42   102   1 
Total
 $  351  $  43  $  394  $  234 
Summary of Company's Loans That are Considered Impaired
The following table presents gross carrying
value
and allowances for loan losses for impaired loans.
 
As at December 31, 2020
 Gross
carrying value		  Allowances
for loan losses		  Net carrying
value		 
Private placements
 
$
249
 
 
$
79
 
 
$
170
 
Mortgages and loans to Bank clients
 
 
97
 
 
 
28
 
 
 
69
 
Total
 
$
  346
 
 
$
  107
 
 
$
  239
 
    
As at December 31, 2019 Gross
carrying value		  Allowances
for loan losses		  Net carrying
value		 
Private placements
 $11  $4  $7 
Mortgages and loans to Bank clients
  75   16   59 
Total
 $  86  $  20  $  66 
Summary of Reconciliation of Allowance for Loan Losses
The following table presents movement of allowance for loan losses during the year.
 
  
2020
     2019 
For the years ended December 31,
 Private
placements		  Mortgages
and loans to
Bank clients		  Total     Private
placements		  Mortgages
and loans to
Bank clients		  Total 
Balance, January 1
 
$
4
 
 
$
16
 
 
$
20
 
     $  43  $  52  $  95 
Provisions
 
 
94
 
 
 
31
 
 
 
125
 
      35   15   50 
Recoveries
 
 
(6
) 
 
 
(6
) 
 
 
(12
) 
      –   (46)   (46) 
Write-offs
(1)
 
 
(13
) 
 
 
(13
) 
 
 
(26
) 
      (74)   (5)   (79) 
Balance, December 31
 
$
  79
 
 
$
  28
 
 
$
  107
 
     $4  $16  $20 
 
(1)
Includes disposals and impact of changes in foreign exchange rates.
Summary of Credit Default Swap Protection Sold
The following table presents details of the credit default swap protection sold by type of contract and external agency rating for the underlying reference security.
 
As at December 31, 2020
 Notional
amount
(1)
  Fair value  
Weighted
average maturity
(in years)
(2)
 
Single name CDS
(3)
– Corporate debt
            
A
 
$
136
 
 
$
2
 
  
  1
 
BBB
 
 
105
 
 
 
1
 
 
 
2
 
Total single name CDS
 
$
241
 
 
$
3
 
 
 
1
 
Total CDS protection sold
 
$
241
 
 
$
  3
 
 
 
1
 
    
As at December
 31, 2019
 Notional
amount
(1)
  Fair value  
Weighted
average
maturity
(in years)
(2)
 
Single name CDS
(3)
– Corporate debt
            
AA
 $24  $  –   1 
A
  371   5   1 
BBB
  107   1   2 
Total single name CDS
 $502  $6   1 
Total CDS protection sold
 $  502  $6   1 
 
(1)
Notional amounts represent the maximum future payments the Company would have to pay its counterparties assuming a default of the underlying credit and zero recovery on the underlying issuer obligation.
(2)
The weighted average maturity of the CDS is weighted based on notional amounts.
(3)
Standard & Poor’s assigned credit ratings are used where available followed by Moody’s, DBRS, and Fitch. If no external rating is available, an internally developed rating is used.
Summary of Effect of Conditional Master Netting and Similar Arrangements
The following table presents the effect of conditional master netting and similar arrangements. Similar arrangements may include global master repurchase agreements, global master securities lending agreements, and any related rights to financial collateral.
 
     Related amounts not set off in the
Consolidated Statements of
Financial Position		       
As at December 31, 2020
 Gross amounts of
financial instruments
(1)
  Amounts subject to
an enforceable
master netting
arrangement or
similar agreements		  Financial
and cash
collateral
pledged
(received)
(2)
  Net
amount
including
financing
entities
(3)
  Net
amounts
excluding
financing
entities		 
Financial assets
                    
Derivative assets
 
$
  28,685
 
 
$
(13,243
) 
 
$
(15,323
) 
 
$
  119
 
 
$
  119
 
Securities lending
 
 
889
 
 
 
–
 
 
 
(889
) 
 
 
–
 
 
 
–
 
Reverse repurchase agreements
 
 
716
 
 
 
–
 
 
 
(715
) 
 
 
1
 
 
 
1
 
Total financial assets
 
$
  30,290
 
 
$
(13,243
) 
 
$
(16,927
) 
 
$
  120
 
 
$
  120
 
Financial liabilities
                    
Derivative liabilities
 
$
(16,076
) 
 
$
  13,243
 
 
$
  2,482
 
 
$
(351
) 
 
$
(71
) 
Repurchase agreements
 
 
(353
) 
 
 
–
 
 
 
353
 
 
 
–
 
 
 
–
 
Total financial liabilities
 
$
(16,429
) 
 
$
13,243
 
 
$
  2,835
 
 
$
(351
) 
 
$
(71
) 
     
     Related amounts not set off in the
Consolidated Statements of
Financial Position		       
As at December 31, 2019 Gross amounts of
financial instruments
(1)
  Amounts subject to
an enforceable
master netting
arrangement or
similar agreements		  Financial
and cash
collateral
pledged
(received)
(2)
  Net
amount
including
financing
entities
(3)
  Net
amounts
excluding
financing
entities		 
Financial assets
                    
Derivative assets
 $  20,144  $(9,188)  $(10,889)  $67  $    67 
Securities lending
  558   –   (558)   –   – 
Reverse repurchase agreements
  990   –   (989)          1   1 
Total financial assets
 $21,692  $(9,188)  $(12,436)  $68  $68 
Financial liabilities
                    
Derivative liabilities
 $(11,345)  $  9,188  $     1,903  $(254)  $(53) 
Repurchase agreements
  (333)   –   330   (3)   (3) 
Total financial liabilities
 $(11,678)  $9,188  $2,233  $(257)  $(56) 
 
(1)
Financial assets and liabilities include accrued interest of $892 and $
1,114,
respectively (2019 – $696 and $1,061, respectively).
(2)
Financial and cash collateral exclude over-collateralization. As at December 31, 2020, the Company was over-collateralized on OTC derivative assets, OTC derivative liabilities, securities lending and reverse purchase agreements and repurchase agreements in the amounts of $1,373, $627, $74 and $nil, respectively (2019 – $1,149, $526, $44 and $nil, respectively). As at December 31, 2020, collateral pledged (received) does not include
collateral-in-transit
on OTC instruments or initial margin on exchange traded contracts or cleared contracts.
(3)
Includes derivative contracts entered between the Company and its financing trusts which it does not consolidate. The Company does not exchange collateral on derivative contracts entered with these trusts. Refer to note 17.
Summary of the Effect of Unconditional Netting The following table presents the effect of unconditional netting.
As at December 31, 2020
 Gross amounts of
financial instruments		  Amounts subject to
an enforceable
netting arrangement		  Net amounts of
financial instruments		 
Credit linked note
(1)
 
$
  932
 
 
$
(932
) 
 
$
–
 
Variable surplus note
 
 
(932
) 
 
 
  932
 
 
 
    –
 
 
As at December 31, 2019  Gross amounts of
financial instruments		  Amounts subject to
an enforceable
netting arrangement		  Net amounts of
financial instruments		 
Credit linked note
(1)
  $   782  $(782)  $  – 
Variable surplus note
   (782)      782   – 
 
(1)
As at December 31, 2020 and 2019, the Company had no fixed surplus notes outstanding, refer to
note 18(g).
Schedule of Distribution of Debt Securities and Private Placements Portfolio by Sector and Industry
The following table presents debt securities and private placements portfolio by sector and industry.
 
  
2020
     2019 
As at December 31,
 Carrying value  % of total     Carrying value  % of total 
Government and agency
 
$
85,357
 
 
 
33
 
     $77,883   33 
Utilities
 
 
47,902
 
 
 
18
 
      44,426   19 
Financial
 
 
35,656
 
 
 
15
 
      31,929   13 
Consumer
 
 
29,684
 
 
 
11
 
      25,931   11 
Energy
 
 
20,963
 
 
 
8
 
      20,196   9 
Industrial
 
 
22,070
 
 
 
9
 
      19,024   8 
Other
 
 
17,850
 
 
 
6
 
      16,712   7 
Total
 
$
  259,482
 
 
 
  100
 
     $  236,101   100 
Schedule of Geographic Concentration of Insurance and Investment Contract Liabilities, Including Embedded Derivatives
The geographic concentration of the Company’s insurance and investment contract liabilities, including embedded derivatives, is shown below. The disclosure is based on the countries in which the business is written.
 
As at December 31, 2020
 Gross
liabilities		  Reinsurance
assets		  Net liabilities 
U.S. and Canada
 
$
  273,848
 
 
$
(44,645
) 
 
$
  229,203
 
Asia and Other
 
 
114,878
 
 
 
(1,191
) 
 
 
113,687
 
Total
 
$
  388,726
 
 
$
(45,836
) 
 
$
  342,890
 
    
As at December 31, 2019 Gross
liabilities		  Reinsurance
assets		  Net liabilities 
U.S. and Canada
 $  255,999  $  (40,944)  $215,055 
Asia and Other
  98,237   (502)   97,735 
Total
 $354,236   $(41,446)  $  312,790 
Asset classes and individual investment risks [Member]  
Statement [LineItems]  
Schedule of Risk Concentrations
As at December 31,
 
2020
  2019 
Debt securities and private placements rated as investment grade BBB or higher
(1)
 
 
97%
 
  98% 
Government debt securities as a per cent of total debt securities
 
 
37%
 
  37% 
Government private placements as a per cent of total private placements
 
 
11%
 
  12% 
Highest exposure to a single
non-government
debt security and private placement issuer
 
$
  1,148
 
 $1,083 
Largest single issuer as a per cent of the total equity portfolio
 
 
2%
 
  2% 
Income producing commercial office properties (2020 –
53
% of real estate, 2019 –
56
%)
 
$
6,745
 
 $7,279 
Largest concentration of mortgages and real estate
(2)
– Ontario Canada (2020 –
28
%, 2019 –
27
%)
 
$
  17,367
 
 $  17,038 
 
(1)
Investment grade debt securities and private placements include 40% rated A, 16% rated AA and 16% rated AAA (2019 – 41%, 17% and 16%) investments based on external ratings where available.
(2)
Mortgages and real estate investments are diversified geographically and by property type.
Residential mortgages and loans to bank clients [Member]  
Statement [LineItems]  
Summary of Carrying Value of Residential Mortgages and Loans to Bank Clients
The following table presents credit quality of residential mortgages and loans to Bank clients.
 
  
 
2020
  
    
  
2019
 
As at December 31,
 Insured  Uninsured  Total     Insured  Uninsured  Total 
Residential mortgages
                            
Performing
 
$
  6,349
 
 
$
  13,980
 
 
$
  20,329
 
     $6,613  $13,411  $20,024 
Non-performing
(1)
 
 
9
 
 
 
46
 
 
 
55
 
      25   27   52 
Loans to Bank clients
                            
Performing
 
 
n/a
 
 
 
1,976
 
 
 
1,976
 
      n/a   1,740   1,740 
Non-performing
(1)
 
 
  n/a
 
 
 
–
 
 
 
–
 
      n/a   –   – 
Total
 
$
6,358
 
 
$
16,002
 
 
$
22,360
 
     $  6,638  $  15,178  $  21,816 
 
(1)
Non-performing
refers to assets that are 90 days or more past due.