Total Invested Assets and Related Net Investment Income (Tables)

12 Months Ended

Dec. 31, 2022

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, 2022				December 31, 2021
	Carrying value		Fair value		Carrying value		Fair value
Assets
Cash, cash equivalents and short-term securities	$	11,219	$	11,219	$	12,278	$	12,278
Debt securities - fair value through profit or loss	62,757		62,757		75,998		75,998
Debt securities - available-for-sale(1)	13,145		13,145		12,729		12,729
Equity securities - fair value through profit or loss	6,824		6,824		7,538		7,538
Equity securities - available-for-sale	324		324		1,575		1,575
Mortgages and loans(1)	56,261		51,850		51,692		55,756
Derivative assets	2,095		2,095		1,583		1,583
Other invested assets - fair value through profit or loss(2)	5,542		5,542		4,435		4,435
Other invested assets - available-for-sale(2)	996		996		781		781
Other invested assets - Collateralized Loan Obligations	3,044		2,880		1,865		1,855
Policy loans	3,350		3,350		3,261		3,261
Total financial assets(3)	$	165,557	$	160,982	$	173,735	$	177,789

(1)    As at December 31, 2022, the fair value of invested assets that have contractual cash flows that qualify as SPPI include $12,829 of Debt securities - AFS (December 31, 2021 — $12,604), $48,614 of Mortgages and loans supporting insurance contract liabilities (December 31, 2021 — $51,249), and $3,229 of Mortgages and loans not supporting insurance contract liabilities (December 31, 2021 — $4,499).

(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 $177,292 (December 31, 2021 — $184,522) includes Total financial assets in this table, Investment properties of $10,102 (December 31, 2021 — $9,109), Other invested assets - non-financial assets of $1,633 (December 31, 2021 — $1,678).

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, 2022
Beginning balance		$	162		$	43		$	96		$	74		$	3,650		$	9,109		$	13,134		$	611		$	13,745
Included in net income(1)(2)(3)		(31)			1			—			5			322			625			922			(32)			890
Included in OCI(2)		—			(4)			—			—			12			—			8			—			8
Purchases		321			75			6			1			1,843			664			2,910			78			2,988
Sales / Payments		—			(2)			(4)			(12)			(313)			(430)			(761)			(6)			(767)
Settlements		(1)			—			—			—			(47)			—			(48)			(1)			(49)
Transfers (out) of Level 3(4)		(59)			(64)			—			—			—			—			(123)			—			(123)
Foreign currency translation(5)		5			—			—			5			88			134			232			(19)			213
Ending balance		$	397		$	49		$	98		$	73		$	5,555		$	10,102		$	16,274		$	631		$	16,905
Gains (losses) included in earnings relating to instruments still held at the reporting date(1)		$	(31)		$	—		$	—		$	—		$	295		$	612		$	876		$	(20)		$	856
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

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

(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 $667 (2021 — $1,070), net of amortization of leasing commissions and tenant inducements of $42 (2021 — $38). As at December 31, 2022, we have used assumptions that reflect known changes in the property values including changes in expected future cash flows.

(4)    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,	2022			2021
Cash		$	3,068		$	2,297
Cash equivalents		6,310			5,529
Short-term securities		1,841			4,452
Cash, cash equivalents and short-term securities		11,219			12,278
Less: Bank overdraft, recorded in Other liabilities		6			133
Net cash, cash equivalents and short-term securities		$	11,213		$	12,145

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,	2022									2021
	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		$	27,816		$	4,861		$	32,677		$	33,028		$	5,135		$	38,163
United States		21,412			5,058			26,470			26,678			4,552			31,230
United Kingdom		2,914			583			3,497			4,196			562			4,758
Other		10,615			2,643			13,258			12,096			2,480			14,576
Total debt securities		$	62,757		$	13,145		$	75,902		$	75,998		$	12,729		$	88,727

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

As at December 31,	2022									2021
	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		$	3,881		$	1,730		$	5,611		$	4,798		$	2,303		$	7,101
Canadian provincial and municipal government		12,638			1,027			13,665			15,930			1,149			17,079
U.S. government and agency		808			729			1,537			1,642			771			2,413
Other foreign government		3,863			761			4,624			4,754			757			5,511
Total government issued or guaranteed debt securities		21,190			4,247			25,437			27,124			4,980			32,104
Corporate debt securities by industry sector:
Financials		9,377			1,978			11,355			10,258			1,690			11,948
Utilities		5,979			697			6,676			7,414			778			8,192
Industrials		4,762			813			5,575			5,791			805			6,596
Energy		3,069			273			3,342			3,992			287			4,279
Communication services		2,937			392			3,329			3,534			352			3,886
Real estate		1,920			586			2,506			2,334			354			2,688
Health care		1,682			352			2,034			2,081			346			2,427
Consumer staples		1,677			301			1,978			2,047			231			2,278
Consumer discretionary		1,395			441			1,836			1,814			306			2,120
Information technology		1,130			254			1,384			1,426			209			1,635
Materials		1,107			188			1,295			1,361			156			1,517
Total corporate debt securities		35,035			6,275			41,310			42,052			5,514			47,566
Asset-backed securities		6,532			2,623			9,155			6,822			2,235			9,057
Total debt securities		$	62,757		$	13,145		$	75,902		$	75,998		$	12,729		$	88,727

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, 2022	Canada			United States			United Kingdom			Other		Total
Mortgages:
Retail		$	1,546		$	1,455		$	—	$	—	$	3,001
Office		1,762			1,522			—		—		3,284
Multi-family residential		4,025			1,245			—		—		5,270
Industrial and land		1,779			1,104			—		—		2,883
Other		780			113			29		—		922
Total mortgages(1)		$	9,892		$	5,439		$	29	$	—	$	15,360
Loans		$	13,143		$	17,238		$	4,923	$	5,597	$	40,901
Total mortgages and loans		$	23,035		$	22,677		$	4,952	$	5,597	$	56,261

(1)    $4,174 of mortgages in Canada are insured by the CMHC.

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.

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,	2022									2021
	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		$	2,426		$	1,334		$	3,760		$	2,505		$	1,373		$	3,878
Due in years 2-5		10,972			5,919			16,891			10,475			4,971			15,446
Due in years 6-10		9,889			2,969			12,858			11,328			3,350			14,678
Due after 10 years		39,470			2,923			42,393			51,690			3,035			54,725
Total debt securities		$	62,757		$	13,145		$	75,902		$	75,998		$	12,729		$	88,727

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

As at December 31,	2022			2021
Due in 1 year or less		$	1,350		$	884
Due in years 2-5		6,312			6,172
Due in years 6-10		5,210			5,979
Due after 10 years		2,568			2,530
Total mortgages		$	15,440		$	15,565

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

As at December 31,	2022			2021
Due in 1 year or less		$	2,893		$	1,772
Due in years 2-5		7,237			7,108
Due in years 6-10		8,726			7,393
Due after 10 years		22,157			19,986
Total loans		$	41,013		$	36,259

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, 2022									December 31, 2021
		Level 1		Level 2		Level 3		Total			Level 1		Level 2		Level 3		Total
Assets
Cash, cash equivalents and short-term securities		$	10,622	$	597	$	—	$	11,219		$	10,923	$	1,355	$	—	$	12,278
Debt securities – fair value through profit or loss		699		61,661		397		62,757			1,503		74,333		162		75,998
Debt securities – available-for-sale		723		12,373		49		13,145			770		11,916		43		12,729
Equity securities – fair value through profit or loss		3,995		2,731		98		6,824			4,429		3,013		96		7,538
Equity securities – available-for-sale		138		113		73		324			1,414		87		74		1,575
Derivative assets		37		2,058		—		2,095			26		1,557		—		1,583
Other invested assets		789		194		5,555		6,538			1,189		377		3,650		5,216
Investment properties		—		—		10,102		10,102			—		—		9,109		9,109
Total invested assets measured at fair value		$	17,003	$	79,727	$	16,274	$	113,004		$	20,254	$	92,638	$	13,134	$	126,026
Investments for account of segregated fund holders		23,933		100,728		631		125,292			28,637		110,748		611		139,996
Total assets measured at fair value		$	40,936	$	180,455	$	16,905	$	238,296		$	48,891	$	203,386	$	13,745	$	266,022
Liabilities
Investment contract liabilities		$	—	$	—	$	10	$	10		$	—	$	—	$	9	$	9
Derivative liabilities		10		2,341		—		2,351			9		1,383		—		1,392
Other liabilities – obligations for securities borrowing		—		73		—		73			—		51		—		51
Total liabilities measured at fair value		$	10	$	2,414	$	10	$	2,434		$	9	$	1,434	$	9	$	1,452

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,	2022		2021
Fair value change:
Cash, cash equivalents and short-term securities	$	4	$	(3)
Debt securities	(15,959)		(3,892)
Equity securities	(1,125)		825
Derivative investments	(2,148)		191
Other invested assets	152		444
Other liabilities - obligations for securities borrowing	15		(2)
Total change in fair value through profit or loss assets and liabilities	(19,061)		(2,437)
Fair value changes on investment properties	667		1,070
Foreign exchange gains (losses)(1)	535		(418)
Realized gains (losses) on property and equipment(2)	100		—
Fair value and foreign currency changes on assets and liabilities	$	(17,759)	$	(1,785)

(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.

(2)    In June 2022, we sold and leased back our Wellesley office in the U.S. The transaction qualified as a sale and operating lease and as a result, we recognized a pre-tax gain of $100 for the year ended December 31, 2022

Schedule of assets carried at fair value

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

As at	December 31, 2022									December 31, 2021
		Level 1		Level 2		Level 3		Total			Level 1		Level 2		Level 3		Total
Canadian federal government		$	—	$	3,869	$	12	$	3,881		$	—	$	4,783	$	15	$	4,798
Canadian provincial and municipal government		—		12,638		—		12,638			—		15,930		—		15,930
U.S. government and agency		699		109		—		808			1,503		139		—		1,642
Other foreign government		—		3,852		11		3,863			—		4,747		7		4,754
Corporate		—		34,747		288		35,035			—		41,914		138		42,052
Asset-backed securities:
Commercial mortgage-backed securities		—		2,028		56		2,084			—		2,221		2		2,223
Residential mortgage-backed securities		—		2,226		—		2,226			—		2,565		—		2,565
Collateralized debt obligations		—		538		—		538			—		351		—		351
Other		—		1,654		30		1,684			—		1,683		—		1,683
Total		$	699	$	61,661	$	397	$	62,757		$	1,503	$	74,333	$	162	$	75,998

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

As at	December 31, 2022									December 31, 2021
		Level 1		Level 2		Level 3		Total			Level 1		Level 2		Level 3		Total
Canadian federal government		$	—	$	1,730	$	—	$	1,730		$	—	$	2,303	$	—	$	2,303
Canadian provincial and municipal government		—		1,027		—		1,027			—		1,149		—		1,149
U.S. government and agency		723		6		—		729			770		1		—		771
Other foreign government		—		761		—		761			—		756		1		757
Corporate		—		6,234		41		6,275			—		5,473		41		5,514
Asset-backed securities:
Commercial mortgage-backed securities		—		793		—		793			—		761		1		762
Residential mortgage-backed securities		—		819		—		819			—		522		—		522
Collateralized debt obligations		—		508		—		508			—		505		—		505
Other		—		495		8		503			—		446		—		446
Total		$	723	$	12,373	$	49	$	13,145		$	770	$	11,916	$	43	$	12,729

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,	2022		2021
Fair value change:
Cash, cash equivalents and short-term securities	$	4	$	(3)
Debt securities	(15,959)		(3,892)
Equity securities	(1,125)		825
Derivative investments	(2,148)		191
Other invested assets	152		444
Other liabilities - obligations for securities borrowing	15		(2)
Total change in fair value through profit or loss assets and liabilities	(19,061)		(2,437)
Fair value changes on investment properties	667		1,070
Foreign exchange gains (losses)(1)	535		(418)
Realized gains (losses) on property and equipment(2)	100		—
Fair value and foreign currency changes on assets and liabilities	$	(17,759)	$	(1,785)

(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.

(2)    In June 2022, we sold and leased back our Wellesley office in the U.S. The transaction qualified as a sale and operating lease and as a result, we recognized a pre-tax gain of $100 for the year ended December 31, 2022

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,	2022		2021
Interest income:
Cash, cash equivalents and short-term securities	$	166	$	25
Debt securities - fair value through profit or loss	2,596		2,429
Debt securities - available-for-sale	341		256
Mortgages and loans	2,234		2,117
Derivative investments	115		107
Policy loans	167		160
Total interest income	5,619		5,094
Equity securities - dividends on fair value through profit or loss	236		209
Equity securities - dividends on available-for-sale	8		5
Investment properties rental income(1)	593		543
Investment properties expenses	(248)		(235)
Other income	235		922
Investment expenses and taxes	(291)		(266)
Total interest and other investment income	$	6,152	$	6,272

(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,	2022					2021
	Fair value					Fair value
	Assets		Liabilities			Assets		Liabilities
Interest rate contracts	$	704		$	(1,138)	$	942	$	(366)
Foreign exchange contracts	1,300			(1,203)		527		(1,018)
Other contracts	91			(10)		114		(8)
Total derivatives	$	2,095		$	(2,351)	$	1,583	$	(1,392)

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,	2022								2021
	Total notional amount			Fair value					Total notional amount			Fair value
				Assets		Liabilities						Assets		Liabilities
Derivative investments(1)		$	68,417	$	2,077		$	(2,330)		$	64,761	$	1,536		$	(1,390)
Fair value hedges		59		—			(1)			414		1			(2)
Cash flow hedges		1,292		18			(20)			791		46			—
Total derivatives		$	69,768	$	2,095		$	(2,351)		$	65,966	$	1,583		$	(1,392)

(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,	2022		2021
Gains (losses) on the hedged items attributable to the hedged risk	$	(2)	$	(6)
Gains (losses) on the hedging derivatives	3		8
Net ineffectiveness on fair value hedges	$	1	$	2