Total Invested Assets and Related Net Investment Income (Tables)

12 Months Ended

Dec. 31, 2021

Fair Value Measurement [Abstract]

Summary of financial assets

The following table summarizes the financial assets included in our Consolidated Statements of Financial Position and the asset classifications applicable to these assets:

Cash, cash equivalents and short-term securities	FVTPL
Debt securities	FVTPL and AFS
Equity securities	FVTPL and AFS
Mortgages and loans	Loans and receivables
Other invested assets	FVTPL and AFS
Policy loans	Loans and receivables

The carrying values and fair values of our financial assets are shown in the following table:

As at	December 31, 2021				December 31, 2020
	Carrying value		Fair value		Carrying value		Fair value
Assets
Cash, cash equivalents and short-term securities	$	12,278	$	12,278	$	13,527	$	13,527
Debt securities - fair value through profit or loss	75,998		75,998		77,834		77,834
Debt securities - available-for-sale(1)	12,729		12,729		11,255		11,255
Equity securities - fair value through profit or loss	7,538		7,538		6,369		6,369
Equity securities - available-for-sale	1,575		1,575		262		262
Mortgages and loans(1)	51,692		55,756		49,946		56,231
Derivative assets	1,583		1,583		2,160		2,160
Other invested assets - fair value through profit or loss(2)	4,435		4,435		3,339		3,339
Other invested assets - available-for-sale(2)	781		781		828		828
Other invested assets - Collateralized Loan Obligations	1,865		1,855		—		—
Policy loans	3,261		3,261		3,265		3,265
Total financial assets(3)	$	173,735	$	177,789	$	168,785	$	175,070

(1)    As at December 31, 2021, the fair value of invested assets that have contractual cash flows that qualify as SPPI include $12,604 of Debt securities - AFS ($11,159 as at December 31, 2020), $51,249 of Mortgages and loans supporting insurance contract liabilities ($51,480 as at December 31, 2020), and $4,499 of Mortgages and loans not supporting insurance contract liabilities ($4,741 as at December 31, 2020).

(2)    Other invested assets (FVTPL and AFS) include our investments in segregated funds, mutual funds and limited partnerships.

(3)    Invested assets on our Consolidated Statements of Financial Position of $184,522 ($177,912 as at December 31, 2020) includes Total financial assets in this table, Investment properties of $9,109 ($7,516 as at December 31, 2020), Other invested assets - non-financial assets of $1,678 ($1,611 as at
December 31, 2020).

The following table provides a reconciliation of the beginning and ending balances for assets and liabilities that are categorized in Level 3:

For the years ended	Debt securities - fair value through profit or loss			Debt securities - available-for-sale			Equity securities - fair value through profit or loss			Equity securities - available-for-sale			Other  invested  assets			Investment  properties			Total  invested  assets  measured  at fair  value			Investments  for account  of segregated  fund holders			Total  assets  measured  at fair  value
December 31, 2021
Beginning balance		$	225		$	67		$	181		$	47		$	2,645		$	7,516		$	10,681		$	550		$	11,231
Included in net income(1)(2)(3)		(6)			—			10			5			392			1,032			1,433			23			1,456
Included in OCI(2)		—			(1)			—			33			13			—			45			—			45
Purchases		29			5			8			15			1,074			764			1,895			65			1,960
Sales / Payments		(9)			(13)			(25)			(26)			(469)			(197)			(739)			(9)			(748)
Settlements		(15)			(3)			(5)			—			—			—			(23)			(1)			(24)
Transfers (out) of Level 3(4)		(57)			(10)			(73)			—			—			—			(140)			—			(140)
Foreign currency translation(5)		(5)			(2)			—			—			(5)			(6)			(18)			(17)			(35)
Ending balance		$	162		$	43		$	96		$	74		$	3,650		$	9,109		$	13,134		$	611		$	13,745
Gains (losses) included in earnings relating to instruments still held at the reporting date(1)		$	(4)		$	—		$	11		$	5		$	382		$	1,038		$	1,432		$	27		$	1,459
December 31, 2020
Beginning balance		$	248		$	50		$	188		$	35		$	2,445		$	7,306		$	10,272		$	549		$	10,821
Included in net income(1)(2)(3)		11			—			—			—			(87)			(63)			(139)			(22)			(161)
Included in OCI(2)		—			2			—			—			19			—			21			—			21
Purchases		67			15			11			46			594			620			1,353			30			1,383
Sales / Payments		(10)			—			(2)			(33)			(304)			(325)			(674)			(14)			(688)
Settlements		(9)			(2)			(15)			—			—			—			(26)			(1)			(27)
Transfers into Level 3(4)		3			2			—			—			—			—			5			1			6
Transfers (out) of Level 3(4)		(88)			(1)			—			—			—			—			(89)			(1)			(90)
Foreign currency translation(5)		3			1			(1)			(1)			(22)			(22)			(42)			8			(34)
Ending balance		$	225		$	67		$	181		$	47		$	2,645		$	7,516		$	10,681		$	550		$	11,231
Gains (losses) included in earnings relating to instruments still held at the reporting date(1)		$	2		$	—		$	—		$	—		$	(68)		$	13		$	(53)		$	(23)		$	(76)

(1)    Included in Net investment income (loss) for Total invested assets measured at fair value in our Consolidated Statements of Operation.

(2)    Total gains and losses in net income (loss) and OCI are calculated assuming transfers into or out of Level 3 occur at the beginning of the period. For an asset or liability that transfers into Level 3 during the reporting period, the entire change in fair value for the period is included in the table above. For transfers out of Level 3 during the reporting period, the change in fair value for the period is excluded from the table above.

(3)    Investment properties included in net income is comprised of fair value changes on investment properties of $1,070 ($19 in 2020), net of amortization of leasing commissions and tenant inducements of $38 ($82 in 2020). As at December 31, 2020, we have used assumptions that reflect known changes in the property values including changes in expected future cash flows.

(4)    Transfers into Level 3 occur when the inputs used to price the assets and liabilities lack observable market data, and as a result, no longer meet the Level 1 or 2 definitions at the reporting date. Transfers out of Level 3 occur when the pricing inputs become more transparent and satisfy the Level 1 or 2 criteria and are primarily the result of observable market data being available at the reporting date, thus removing the requirement to rely on inputs that lack observability.

(5)    Foreign currency translation relates to the foreign exchange impact of translating Level 3 assets and liabilities of foreign subsidiaries from their functional currencies to Canadian dollars.

Cash, cash equivalents and short-term securities presented in our Consolidated Statements of Financial Position and Net cash, cash equivalents and short-term securities presented in our Consolidated Statements of Cash Flows consist of the following:

As at December 31,	2021		2020
Cash	$	2,297	$	2,498
Cash equivalents	5,529		8,156
Short-term securities	4,452		2,873
Cash, cash equivalents and short-term securities	12,278		13,527
Less: Bank overdraft, recorded in Other liabilities	133		6
Net cash, cash equivalents and short-term securities	$	12,145	$	13,521

The carrying value of debt securities by geographic location is shown in the following table. The geographic location is based on the country of the creditor's parent.

As at December 31,	2021									2020
	Fair value through profit or loss			Available- for-sale			Total debt securities			Fair value through profit or loss			Available- for-sale			Total debt securities
Canada		$	33,028		$	5,135		$	38,163		$	34,005		$	4,685		$	38,690
United States		26,678			4,552			31,230			27,183			3,984			31,167
United Kingdom		4,196			562			4,758			4,592			487			5,079
Other		12,096			2,480			14,576			12,054			2,099			14,153
Total debt securities		$	75,998		$	12,729		$	88,727		$	77,834		$	11,255		$	89,089

The carrying value of debt securities by issuer and industry sector is shown in the following table:

As at December 31,	2021									2020
	Fair value through profit or loss			Available- for-sale			Total debt securities			Fair value through profit or loss			Available- for-sale			Total debt securities
Debt securities issued or guaranteed by:
Canadian federal government		$	4,798		$	2,303		$	7,101		$	4,560		$	1,929		$	6,489
Canadian provincial and municipal government		15,930			1,149			17,079			16,909			1,333			18,242
U.S. government and agency		1,642			771			2,413			1,678			797			2,475
Other foreign government		4,754			757			5,511			5,281			823			6,104
Total government issued or guaranteed debt securities		27,124			4,980			32,104			28,428			4,882			33,310
Corporate debt securities by industry sector:
Financials		10,258			1,690			11,948			10,644			1,212			11,856
Utilities		7,414			778			8,192			7,561			682			8,243
Industrials		5,791			805			6,596			5,659			567			6,226
Energy		3,992			287			4,279			4,452			350			4,802
Communication services		3,534			352			3,886			3,644			322			3,966
Real estate		2,334			354			2,688			2,438			329			2,767
Health care		2,081			346			2,427			1,986			186			2,172
Consumer staples		2,047			231			2,278			1,893			158			2,051
Consumer discretionary		1,814			306			2,120			1,606			165			1,771
Information technology		1,426			209			1,635			1,308			187			1,495
Materials		1,361			156			1,517			1,473			152			1,625
Total corporate debt securities		42,052			5,514			47,566			42,664			4,310			46,974
Asset-backed securities		6,822			2,235			9,057			6,742			2,063			8,805
Total debt securities		$	75,998		$	12,729		$	88,727		$	77,834		$	11,255		$	89,089

The carrying value of mortgages and loans by geographic location and type is shown in the following tables. The geographic location for mortgages is based on location of property, while for corporate loans it is based on the country of the creditor's parent.

As at December 31, 2021	Canada			United States			United Kingdom			Other		Total
Mortgages:
Retail		$	1,765		$	1,623		$	—	$	—	$	3,388
Office		1,892			1,639			—		—		3,531
Multi-family residential		4,138			1,589			—		—		5,727
Industrial and land		1,094			941			—		—		2,035
Other		680			115			9		—		804
Total mortgages(1)		$	9,569		$	5,907		$	9	$	—	$	15,485
Loans		$	12,885		$	14,596		$	4,111	$	4,615	$	36,207
Total mortgages and loans		$	22,454		$	20,503		$	4,120	$	4,615	$	51,692

(1)    $4,218 of mortgages in Canada are insured by the CMHC.

As at December 31, 2020	Canada			United States			United Kingdom			Other		Total
Mortgages:
Retail		$	1,963		$	1,747		$	—	$	—	$	3,710
Office		1,635			1,846			—		—		3,481
Multi-family residential		3,950			1,681			—		—		5,631
Industrial and land		996			949			—		—		1,945
Other		575			86			—		—		661
Total mortgages(1)		$	9,119		$	6,309		$	—	$	—	$	15,428
Loans		$	13,107		$	13,773		$	3,798	$	3,840	$	34,518
Total mortgages and loans		$	22,226		$	20,082		$	3,798	$	3,840	$	49,946

(1)    $4,008 of mortgages in Canada are insured by the CMHC.

The contractual maturities of debt securities are shown in the following table. Actual maturities could differ from contractual maturities because of the borrower's right to call or extend or right to prepay obligations, with or without prepayment penalties.

As at December 31,	2021									2020
	Fair value through profit or loss			Available- for-sale			Total debt securities			Fair value through profit or loss			Available- for-sale			Total debt securities
Due in 1 year or less		$	2,505		$	1,373		$	3,878		$	3,048		$	721		$	3,769
Due in years 2-5		10,475			4,971			15,446			10,526			3,549			14,075
Due in years 6-10		11,328			3,350			14,678			10,459			3,540			13,999
Due after 10 years		51,690			3,035			54,725			53,801			3,445			57,246
Total debt securities		$	75,998		$	12,729		$	88,727		$	77,834		$	11,255		$	89,089

The carrying value of mortgages by scheduled maturity, before allowances for losses, is as follows:

As at December 31,	2021			2020
Due in 1 year or less		$	884		$	1,230
Due in years 2-5		6,172			5,465
Due in years 6-10		5,979			5,884
Due after 10 years		2,530			2,915
Total mortgages		$	15,565		$	15,494

The carrying value of loans by scheduled maturity, before allowances for losses, is as follows:

As at December 31,	2021			2020
Due in 1 year or less		$	1,772		$	2,192
Due in years 2-5		7,108			6,954
Due in years 6-10		7,393			6,670
Due after 10 years		19,986			18,751
Total loans		$	36,259		$	34,567

Schedule of liabilities carried at fair value

Our assets and liabilities that are carried at fair value on a recurring basis by hierarchy level are as follows:

As at	December 31, 2021									December 31, 2020
		Level 1		Level 2		Level 3		Total			Level 1		Level 2		Level 3		Total
Assets
Cash, cash equivalents and short-term securities		$	10,923	$	1,355	$	—	$	12,278		$	12,428	$	1,099	$	—	$	13,527
Debt securities – fair value through profit or loss		1,503		74,333		162		75,998			1,537		76,072		225		77,834
Debt securities – available-for-sale		770		11,916		43		12,729			796		10,392		67		11,255
Equity securities – fair value through profit or loss		4,429		3,013		96		7,538			3,777		2,411		181		6,369
Equity securities – available-for-sale		1,414		87		74		1,575			144		71		47		262
Derivative assets		26		1,557		—		1,583			36		2,124		—		2,160
Other invested assets		1,189		377		3,650		5,216			1,094		428		2,645		4,167
Investment properties		—		—		9,109		9,109			—		—		7,516		7,516
Total invested assets measured at fair value		$	20,254	$	92,638	$	13,134	$	126,026		$	19,812	$	92,597	$	10,681	$	123,090
Investments for account of segregated fund holders		28,637		110,748		611		139,996			26,832		98,539		550		125,921
Total assets measured at fair value		$	48,891	$	203,386	$	13,745	$	266,022		$	46,644	$	191,136	$	11,231	$	249,011
Liabilities
Investment contract liabilities		$	—	$	—	$	9	$	9		$	—	$	—	$	2	$	2
Derivative liabilities		9		1,383		—		1,392			13		1,731		—		1,744
Other liabilities – obligations for securities borrowing		—		51		—		51			—		—		—		—
Total liabilities measured at fair value		$	9	$	1,434	$	9	$	1,452		$	13	$	1,731	$	2	$	1,746

Fair value and foreign currency changes on assets and liabilities presented in our Consolidated Statements of Operations consist of the following:

For the years ended December 31,	2021		2020
Fair value change:
Cash, cash equivalents and short-term securities	$	(3)	$	(10)
Debt securities	(3,892)		5,209
Equity securities	825		357
Derivative investments	191		1,306
Other invested assets	444		(3)
Other liabilities - obligations for securities borrowing	(2)		—
Total change in fair value through profit or loss assets and liabilities	(2,437)		6,859
Fair value changes on investment properties	1,070		19
Foreign exchange gains (losses)(1)	(418)		(18)
Fair value and foreign currency changes on assets and liabilities	$	(1,785)	$	6,860

(1)    Primarily arises from the translation of foreign currency denominated AFS monetary assets and mortgage and loans. Any offsetting amounts arising from foreign currency derivatives are included in the fair value change on derivative investments.

Schedule of assets carried at fair value

Our assets and liabilities that are carried at fair value on a recurring basis by hierarchy level are as follows:

As at	December 31, 2021									December 31, 2020
		Level 1		Level 2		Level 3		Total			Level 1		Level 2		Level 3		Total
Assets
Cash, cash equivalents and short-term securities		$	10,923	$	1,355	$	—	$	12,278		$	12,428	$	1,099	$	—	$	13,527
Debt securities – fair value through profit or loss		1,503		74,333		162		75,998			1,537		76,072		225		77,834
Debt securities – available-for-sale		770		11,916		43		12,729			796		10,392		67		11,255
Equity securities – fair value through profit or loss		4,429		3,013		96		7,538			3,777		2,411		181		6,369
Equity securities – available-for-sale		1,414		87		74		1,575			144		71		47		262
Derivative assets		26		1,557		—		1,583			36		2,124		—		2,160
Other invested assets		1,189		377		3,650		5,216			1,094		428		2,645		4,167
Investment properties		—		—		9,109		9,109			—		—		7,516		7,516
Total invested assets measured at fair value		$	20,254	$	92,638	$	13,134	$	126,026		$	19,812	$	92,597	$	10,681	$	123,090
Investments for account of segregated fund holders		28,637		110,748		611		139,996			26,832		98,539		550		125,921
Total assets measured at fair value		$	48,891	$	203,386	$	13,745	$	266,022		$	46,644	$	191,136	$	11,231	$	249,011
Liabilities
Investment contract liabilities		$	—	$	—	$	9	$	9		$	—	$	—	$	2	$	2
Derivative liabilities		9		1,383		—		1,392			13		1,731		—		1,744
Other liabilities – obligations for securities borrowing		—		51		—		51			—		—		—		—
Total liabilities measured at fair value		$	9	$	1,434	$	9	$	1,452		$	13	$	1,731	$	2	$	1,746

Debt securities - fair value through profit or loss consist of the following:

As at	December 31, 2021									December 31, 2020
		Level 1		Level 2		Level 3		Total			Level 1		Level 2		Level 3		Total
Canadian federal government		$	—	$	4,783	$	15	$	4,798		$	—	$	4,546	$	14	$	4,560
Canadian provincial and municipal government		—		15,930		—		15,930			—		16,909		—		16,909
U.S. government and agency		1,503		139		—		1,642			1,537		141		—		1,678
Other foreign government		—		4,747		7		4,754			—		5,274		7		5,281
Corporate		—		41,914		138		42,052			—		42,507		157		42,664
Asset-backed securities:
Commercial mortgage-backed securities		—		2,221		2		2,223			—		2,199		6		2,205
Residential mortgage-backed securities		—		2,565		—		2,565			—		2,459		—		2,459
Collateralized debt obligations		—		351		—		351			—		389		—		389
Other		—		1,683		—		1,683			—		1,648		41		1,689
Total debt securities – fair value through profit or loss		$	1,503	$	74,333	$	162	$	75,998		$	1,537	$	76,072	$	225	$	77,834

Debt securities - available-for-sale consist of the following:

As at	December 31, 2021									December 31, 2020
		Level 1		Level 2		Level 3		Total			Level 1		Level 2		Level 3		Total
Canadian federal government		$	—	$	2,303	$	—	$	2,303		$	—	$	1,929	$	—	$	1,929
Canadian provincial and municipal government		—		1,149		—		1,149			—		1,333		—		1,333
U.S. government and agency		770		1		—		771			796		1		—		797
Other foreign government		—		756		1		757			—		822		1		823
Corporate		—		5,473		41		5,514			—		4,258		52		4,310
Asset-backed securities:
Commercial mortgage-backed securities		—		761		1		762			—		750		2		752
Residential mortgage-backed securities		—		522		—		522			—		292		—		292
Collateralized debt obligations		—		505		—		505			—		531		—		531
Other		—		446		—		446			—		476		12		488
Total debt securities – available-for-sale		$	770	$	11,916	$	43	$	12,729		$	796	$	10,392	$	67	$	11,255

During 2021 and 2020, we did not have any significant transfers between Level 1 and Level 2.

Fair value and foreign currency changes on assets and liabilities presented in our Consolidated Statements of Operations consist of the following:

For the years ended December 31,	2021		2020
Fair value change:
Cash, cash equivalents and short-term securities	$	(3)	$	(10)
Debt securities	(3,892)		5,209
Equity securities	825		357
Derivative investments	191		1,306
Other invested assets	444		(3)
Other liabilities - obligations for securities borrowing	(2)		—
Total change in fair value through profit or loss assets and liabilities	(2,437)		6,859
Fair value changes on investment properties	1,070		19
Foreign exchange gains (losses)(1)	(418)		(18)
Fair value and foreign currency changes on assets and liabilities	$	(1,785)	$	6,860

(1)    Primarily arises from the translation of foreign currency denominated AFS monetary assets and mortgage and loans. Any offsetting amounts arising from foreign currency derivatives are included in the fair value change on derivative investments.

Schedule of interest and other investment income

Interest and other investment income presented in our Consolidated Statements of Operations consist of the following:

For the years ended December 31,	2021		2020
Interest income:
Cash, cash equivalents and short-term securities	$	25	$	71
Debt securities - fair value through profit or loss	2,429		2,485
Debt securities - available-for-sale	256		317
Mortgages and loans	2,117		2,189
Derivative investments	107		46
Policy loans	160		188
Total interest income	5,094		5,296
Equity securities - dividends on fair value through profit or loss	209		165
Equity securities - dividends on available-for-sale	5		4
Investment properties rental income(1)	543		551
Investment properties expenses	(235)		(243)
Other income	922		(154)
Investment expenses and taxes	(266)		(212)
Total interest and other investment income	$	6,272	$	5,407

(1)    Includes operating lease rental income from investment properties.

Schedule of fair values of derivative assets and liabilities by type of hedge

The fair values of derivative financial instruments by major class of derivatives are as follows:

As at December 31,	2021					2020
	Fair value					Fair value
	Assets		Liabilities			Assets		Liabilities
Interest rate contracts	$	942		$	(366)	$	1,409	$	(340)
Foreign exchange contracts	527			(1,018)		659		(1,382)
Other contracts	114			(8)		92		(22)
Total derivatives	$	1,583		$	(1,392)	$	2,160	$	(1,744)

The following table presents the fair values of derivative assets and liabilities categorized by type of hedge for accounting purposes and derivative investments:

As at December 31,	2021								2020
	Total notional amount			Fair value					Total notional amount			Fair value
				Assets		Liabilities						Assets		Liabilities
Derivative investments(1)		$	64,761	$	1,536		$	(1,390)		$	61,680	$	2,140		$	(1,722)
Fair value hedges		414		1			(2)			278		5			(2)
Cash flow hedges		791		46			—			834		15			(20)
Total derivatives		$	65,966	$	1,583		$	(1,392)		$	62,792	$	2,160		$	(1,744)

(1)    Derivative investments are derivatives that have not been designated as hedges for accounting purposes.

Schedule of hedge ineffectiveness

Hedge ineffectiveness recognized in Interest and other investment income consists of the following:

For the years ended December 31,	2021		2020
Gains (losses) on the hedged items attributable to the hedged risk	$	(6)	$	(209)
Gains (losses) on the hedging derivatives	8		207
Net ineffectiveness on fair value hedges	$	2	$	(2)