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Financial Instrument Risk Management Financial Instrument Risk Management (Tables)
 12 Months Ended
Dec. 31, 2019
Financial Instruments [Abstract]  
Disclosure of maximum exposure to credit risk
The positive fair value of derivative assets is used to determine the credit risk exposure if the counterparties were to default. The credit risk exposure is the cost of replacing, at current market rates, all derivative contracts with a positive fair value. Additionally, we have credit exposure to items not on the Consolidated Statements of Financial Position as follows:
As at December 31,
2019
 
2018
 
Off-balance sheet item:
 
 
 
 
Loan commitments(1)
 
$
2,175

 
$
2,460


(1) Loan commitments include commitments to extend credit under commercial and multi-family residential mortgages and private debt securities not quoted in an active market. Commitments on debt securities contain provisions that allow for withdrawal of the commitment if there is deterioration in the credit quality of the borrower.
Disclosure of right of offset and collateral
We do not offset financial instruments in our Consolidated Statements of Financial Position, as our rights of offset are conditional. The following tables present the effect of conditional netting and similar arrangements. Similar arrangements include global master repurchase agreements, security lending agreements, and any related rights to financial collateral.
As at December 31,
2019
2018
 
Financial instruments presented in the Consolidated Statements of Financial Position(1)
 
Related amounts not set off in
the Consolidated Statements of Financial Position
 
 
Financial instruments presented in the Consolidated Statements of Financial Position(1)
 
Related amounts not set off in
the Consolidated Statements of Financial Position
 
 
 
Financial instruments subject to master netting or similar agreements
 
Financial collateral (received) pledged(2)
 
 
Net amount

Financial instruments subject to master netting or similar agreements
 
Financial collateral (received) pledged(2)
 
 
Net amount

Financial assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets (Note 6.A.v)
 
$
1,548

 
$
(737
)
 
$
(730
)
 
$
81

 
$
1,112

 
$
(768
)
 
$
(298
)
 
$
46

Reverse repurchase agreements (Note 8)
3

 
(3
)
 
—

 
—

 
17

 
(17
)
 
—

 
—

Total financial assets
 
$
1,551

 
$
(740
)

$
(730
)

$
81


$
1,129


$
(785
)

$
(298
)

$
46

Financial liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities
 
$
(2,040
)
 
$
737

 
$
937

 
$
(366
)
 
$
(2,295
)
 
$
768

 
$
1,132

 
$
(395
)
Repurchase agreements (Note 5.F.ii)
 
(1,850
)
 
3

 
1,847

 
—

 
(1,824
)
 
17

 
1,807

 
—

Total financial liabilities
 
$
(3,890
)
 
$
740


$
2,784


$
(366
)

$
(4,119
)

$
785


$
2,939


$
(395
)

(1) Net amounts of the financial instruments presented in our Consolidated Statements of Financial Position are the same as our gross recognized financial instruments, as we do not offset financial instruments in our Consolidated Statements of Financial Position.
(2) Financial collateral excludes overcollateralization and, for exchange-traded derivatives, initial margin. Total financial collateral, including initial margin and overcollateralization, received on derivative assets was $939 ($470 as at December 31, 2018), received on reverse repurchase agreements was $3 ($17 as at December 31, 2018), pledged on derivative liabilities was $1,706 ($1,726 as at December 31, 2018), and pledged on repurchase agreements was $1,850 ($1,824 as at December 31, 2018).
Disclosure 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 following table provides a reconciliation of the beginning and ending balances for assets and liabilities that are categorized in Level 3:
For the year 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
 
Put option liability
 
December 31, 2019
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Beginning balance
 
$
373

 
$
43

 
$
202

 
$
36

 
$
2,241

 
$
7,157

 
$
10,052

 
$
1,596

 
$
11,648

 
$
—

Acquisitions
 
—

 
—

 
—

 
—

 
13

 
—

 
13

 
—

 
13

 
951

Included in net income(1)(2)(3)
 
28

 
—

 
(2
)
 
(23
)
 
(80
)
 
238

 
161

 
45

 
206

 
11

Included in OCI(2)
 
—

 
4

 
—

 
2

 
13

 
—

 
19

 
—

 
19

 
—

Purchases
 
85

 
35

 
5

 
22

 
521

 
689

 
1,357

 
152

 
1,509

 
—

Sales / Payments
 
(49
)
 
—

 
(9
)
 
—

 
(122
)
 
(701
)
 
(881
)
 
(59
)
 
(940
)
 
—

Settlements
 
(40
)
 
—

 
—

 
—

 
—

 
—

 
(40
)
 
(1
)
 
(41
)
 
—

Transfers into Level 3(4)
 
15

 
—

 
—

 
—

 
—

 
—

 
15

 
—

 
15

 
—

Transfers (out) of Level 3(4)(5)
 
(159
)
 
(31
)
 
(4
)
 
—

 
(110
)
 
—

 
(304
)
 
(1,178
)
 
(1,482
)
 
—

Foreign currency translation(6)
 
(5
)
 
(1
)
 
(4
)
 
(2
)
 
(31
)
 
(77
)
 
(120
)
 
(6
)
 
(126
)
 
(6
)
Ending balance
 
$
248


$
50


$
188

 
$
35


$
2,445


$
7,306


$
10,272


$
549

 
$
10,821

 
$
956

Gains (losses) included in earnings relating to instruments still held at the reporting date(1)
 
$
4

 
$
—

 
$
(3
)
 
$
—

 
$
(78
)
 
$
272

 
$
195

 
$
25

 
$
220

 
$
—

December 31, 2018
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Beginning balance
 
$
417

 
$
136

 
$
167

 
$
38

 
$
1,721

 
$
7,067

 
$
9,546

 
$
1,154

 
$
10,700

 
$
—

Included in net income(1)(2)(3)
 
(4
)
 
—

 
9

 
—

 
69

 
441

 
515

 
29

 
544

 
—

Included in OCI(2)
 
—

 
(5
)
 
—

 
(8
)
 
(9
)
 
—

 
(22
)
 
—

 
(22
)
 
—

Purchases
 
164

 
140

 
19

 
4

 
644

 
621

 
1,592

 
430

 
2,022

 
—

Sales / Payments
 
(49
)
 
(6
)
 
—

 
(1
)
 
(227
)
 
(1,113
)
 
(1,396
)
 
(31
)
 
(1,427
)
 
—

Settlements
 
(21
)
 
(4
)
 
—

 
(1
)
 
—

 
—

 
(26
)
 
(1
)
 
(27
)
 
—

Transfers into Level 3(4)
 
12

 
1

 
—

 
1

 
—

 
—

 
14

 
4

 
18

 
—

Transfers (out) of Level 3(4)
 
(159
)
 
(221
)
 
—

 
—

 
—

 
—

 
(380
)
 
(5
)
 
(385
)
 
—

Foreign currency translation(6)
 
13

 
2

 
7

 
3

 
43

 
141

 
209

 
16

 
225

 
—

Ending balance
 
$
373


$
43


$
202


$
36


$
2,241


$
7,157


$
10,052


$
1,596


$
11,648

 
$
—

Gains (losses) included in earnings relating to instruments still held at the reporting date(1)
 
$
5

 
$
—

 
$
9

 
$
—

 
$
69

 
$
331

 
$
414

 
$
27

 
$
441

 
$
—


(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 $305 ($529 in 2018), net of amortization of leasing commissions and tenant inducements of $67 ($88 in 2018).
(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) An update of certain specific criteria used to determine the leveling classification of the financial instruments was made in 2019 to align with industry practice. This resulted in transfers out of Level 3, including $1,178 for Investments for account of segregated fund holders as well as $110 for Other invested assets, and transferred into Level 2 based on the availability of observable inputs and other criteria.
(6) 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.
The carrying values and fair values of our financial assets are shown in the following table:
As at
 
December 31, 2019
 
December 31, 2018
 
 
Carrying value

 
Fair value

 
Carrying value

 
Fair value

Assets
 
 
 
 
 
 
 
 
Cash, cash equivalents and short-term securities
 
$
9,575

 
$
9,575

 
$
9,506

 
$
9,506

Debt securities – fair value through profit or loss
 
67,894

 
67,894

 
61,402

 
61,402

Debt securities – available-for-sale(1)
 
13,712

 
13,712

 
13,041

 
13,041

Equity securities – fair value through profit or loss
 
4,474

 
4,474

 
4,014

 
4,014

Equity securities – available-for-sale
 
313

 
313

 
620

 
620

Mortgages and loans(1)
 
48,222

 
52,028

 
46,822

 
48,434

Derivative assets
 
1,548

 
1,548

 
1,112

 
1,112

Other invested assets – fair value through profit or loss(2)
 
3,016

 
3,016

 
2,701

 
2,701

Other invested assets – available-for-sale(2)
 
813

 
813

 
621

 
621

Policy loans
 
3,218

 
3,218

 
3,222

 
3,222

Total financial assets(3)
 
$
152,785

 
$
156,591

 
$
143,061


$
144,673


(1) As at December 31, 2019, the fair value of invested assets that have contractual cash flows that qualify as SPPI include $13,602 of Debt securities – AFS ($12,914 as at December 31, 2018), $47,398 of Mortgages and loans supporting insurance contract liabilities ($43,826 as at December 31, 2018), and $4,315 of Mortgages and loans not supporting insurance contract liabilities ($4,410 as at December 31, 2018).
(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 $161,619 ($151,726 as at December 31, 2018) includes Total financial assets in this table, Investment properties of $7,306 ($7,157 as at December 31, 2018), and Other invested assets – non-financial assets of $1,528 ($1,508 as at December 31, 2018).

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,
2019
 
2018
 
Cash
 
$
1,656

 
$
2,089

Cash equivalents
 
5,059

 
5,209

Short-term securities
 
2,860

 
2,208

Cash, cash equivalents and short-term securities
 
9,575

 
9,506

Less: Bank overdraft, recorded in Other liabilities
 
30

 
104

Net cash, cash equivalents and short-term securities
 
$
9,545

 
$
9,402


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, 2019
Canada
 
United States
 
United Kingdom
 
 
Other

 
Total

Mortgages:
 
 
 
 
 
 
 
 
 
 
  Retail
 
$
1,981

 
$
1,921

 
$
—

 
$
—

 
$
3,902

  Office
 
1,854

 
2,068

 
—

 
—

 
3,922

  Multi-family residential
 
3,900

 
1,791

 
—

 
—

 
5,691

  Industrial and land
 
861

 
1,037

 
—

 
—

 
1,898

  Other
 
714

 
98

 
—

 
—

 
812

Total mortgages(1)
 
$
9,310

 
$
6,915

 
$
—

 
$
—

 
$
16,225

Loans
 
$
13,249

 
$
11,994

 
$
3,297

 
$
3,457

 
$
31,997

Total mortgages and loans
$
22,559

 
$
18,909

 
$
3,297

 
$
3,457

 
$
48,222


(1) $3,966 of mortgages in Canada are insured by the CMHC.
As at December 31, 2018
Canada
 
United States
 
United Kingdom
 
 
Other

 
Total

Mortgages:
 
 
 
 
 
 
 
 
 
 
  Retail
 
$
1,921

 
$
2,281

 
$
—

 
$
—

 
$
4,202

  Office
 
1,811

 
2,417

 
—

 
—

 
4,228

  Multi-family residential
 
3,455

 
1,920

 
—

 
—

 
5,375

  Industrial and land
 
752

 
1,154

 
—

 
—

 
1,906

  Other
 
618

 
104

 
—

 
—

 
722

Total mortgages(1)
 
$
8,557

 
$
7,876

 
$
—

 
$
—

 
$
16,433

Loans
 
$
13,238

 
$
11,458

 
$
2,547

 
$
3,146

 
$
30,389

Total mortgages and loans
$
21,795

 
$
19,334

 
$
2,547

 
$
3,146

 
$
46,822


(1) $3,537 of mortgages in Canada are insured by the CMHC.
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,
2019
2018
 
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
 
$
28,221

 
$
5,031

 
$
33,252

 
$
25,091

 
$
4,217

 
$
29,308

United States
 
24,224

 
5,822

 
30,046

 
21,329

 
5,917

 
27,246

United Kingdom
 
4,874

 
528

 
5,402

 
5,092

 
565

 
5,657

Other
 
10,575

 
2,331

 
12,906

 
9,890

 
2,342

 
12,232

Balance
 
$
67,894

 
$
13,712

 
$
81,606

 
$
61,402


$
13,041


$
74,443

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,
2019
2018
 
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
 
$
2,094

 
$
2,025

 
$
4,119

 
$
2,189

 
$
1,175

 
$
3,364

Due in years 2-5
 
9,692

 
3,954

 
13,646

 
9,307

 
4,865

 
14,172

Due in years 6-10
 
9,655

 
3,301

 
12,956

 
10,080

 
2,580

 
12,660

Due after 10 years
 
46,453

 
4,432

 
50,885

 
39,826

 
4,421

 
44,247

Total debt securities
 
$
67,894

 
$
13,712

 
$
81,606

 
$
61,402

 
$
13,041

 
$
74,443


The carrying value of mortgages by scheduled maturity, before allowances for losses, is as follows:
As at December 31,
2019
 
2018
 
Due in 1 year or less
 
$
1,099

 
$
968

Due in years 2-5
 
5,255

 
5,118

Due in years 6-10
 
6,787

 
7,351

Due after 10 years
 
3,154

 
3,021

Total mortgages
 
$
16,295

 
$
16,458


The carrying value of loans by scheduled maturity, before allowances for losses, is as follows:
As at December 31,
2019
 
2018
 
Due in 1 year or less
 
$
1,834

 
$
1,425

Due in years 2-5
 
6,872

 
6,968

Due in years 6-10
 
5,449

 
5,183

Due after 10 years
 
17,889

 
16,863

Total loans
 
$
32,044

 
$
30,439

The carrying value of debt securities by issuer and industry sector is shown in the following table:
As at December 31,
2019
2018
 
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
 
$
3,890

 
$
2,556

 
$
6,446

 
$
3,830

 
$
1,746

 
$
5,576

Canadian provincial and municipal government
 
13,826

 
1,139

 
14,965

 
11,866

 
1,199

 
13,065

U.S. government and agency
 
1,748

 
1,363

 
3,111

 
1,380

 
1,527

 
2,907

Other foreign government
 
5,181

 
736

 
5,917

 
4,929

 
717

 
5,646

Total government issued or guaranteed debt securities
 
24,645

 
5,794

 
30,439

 
22,005

 
5,189

 
27,194

Corporate debt securities by industry sector:
 
 
 
 
 
 
 
 
 
 
 
 
Financials
 
9,341

 
1,585

 
10,926

 
8,390

 
1,470

 
9,860

Utilities
 
6,693

 
565

 
7,258

 
6,353

 
528

 
6,881

Industrials
 
4,800

 
629

 
5,429

 
4,053

 
590

 
4,643

Energy
 
3,867

 
365

 
4,232

 
3,628

 
340

 
3,968

Communication services(1)
 
3,075

 
471

 
3,546

 
2,826

 
481

 
3,307

Real estate
 
2,595

 
368

 
2,963

 
2,640

 
376

 
3,016

Health care
 
1,886

 
236

 
2,122

 
1,734

 
299

 
2,033

Consumer staples
 
1,703

 
221

 
1,924

 
1,625

 
257

 
1,882

Materials
 
1,331

 
212

 
1,543

 
1,225

 
256

 
1,481

Consumer discretionary(1)
 
1,268

 
219

 
1,487

 
1,372

 
209

 
1,581

Information technology(1)
 
1,122

 
213

 
1,335

 
1,024

 
207

 
1,231

Total corporate debt securities
 
37,681

 
5,084

 
42,765

 
34,870

 
5,013

 
39,883

Asset-backed securities
 
5,568

 
2,834

 
8,402

 
4,527

 
2,839

 
7,366

Total debt securities
 
$
67,894

 
$
13,712

 
$
81,606

 
$
61,402

 
$
13,041

 
$
74,443


(1) Our grouping of debt securities by sector is based on the Global Industry Classification Standard and S&P Dow Jones Indices. During 2018, certain
Consumer discretionary and Information technology debt securities were moved to the Communication services sector.
Disclosure of notional amounts of derivative instruments by type and maturity
Notional amounts of derivative financial instruments are the basis for calculating payments and are generally not the actual amounts exchanged. The following table provides the notional amounts of derivative instruments outstanding by type of derivative and term to maturity:
As at December 31,
2019
2018
 
Term to maturity
Term to maturity
 
Under
1 Year
 
1 to 5
Years
 
Over 5
Years
 
 
Total

Under
1 Year
 
1 to 5
Years
 
Over 5
Years
 
 
Total

Over-the-counter contracts:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Forward contracts
 
$
50

 
$
—

 
$
—

 
$
50

 
$
—

 
$
—

 
$
—

 
$
—

Swap contracts
 
1,906

 
3,052

 
14,649

 
19,607

 
1,101

 
3,506

 
16,685

 
21,292

Options purchased
 
617

 
3,279

 
2,850

 
6,746

 
1,198

 
2,898

 
3,737

 
7,833

Options written(1)
 
357

 
474

 
—

 
831

 
477

 
648

 
225

 
1,350

Foreign exchange contracts:
 
 
 
 
 
 
 

 
 
 
 
 
 
 

Forward contracts
 
5,289

 
4,137

 
—

 
9,426

 
6,529

 
15

 
—

 
6,544

Swap contracts
 
867

 
3,723

 
12,366

 
16,956

 
532

 
4,451

 
9,210

 
14,193

Other contracts:
 
 
 
 
 
 
 

 
 
 
 
 
 
 

Options purchased
 
1,164

 
—

 
—

 
1,164

 
—

 
—

 
—

 
—

Forward contracts
 
128

 
176

 
—

 
304

 
127

 
158

 
—

 
285

Swap contracts
 
178

 
1

 
—

 
179

 
112

 
1

 
—

 
113

Credit derivatives
 
343

 
878

 
6

 
1,227

 
—

 
1,329

 
27

 
1,356

Exchange-traded contracts:
 
 
 
 
 
 
 

 
 
 
 
 
 
 

Interest rate contracts:
 
 
 
 
 
 
 

 
 
 
 
 
 
 

Futures contracts
 
2,917

 
—

 
—

 
2,917

 
3,669

 
—

 
—

 
3,669

Equity contracts:
 
 
 
 
 
 
 

 
 
 
 
 
 
 

Futures contracts
 
2,507

 
—

 
—

 
2,507

 
2,377

 
—

 
—

 
2,377

Options purchased
 
200

 
—

 
—

 
200

 
186

 
—

 
—

 
186

Options written
 
17

 
—

 
—

 
17

 
—

 
—

 
—

 
—

Total notional amount
 
$
16,540


$
15,720


$
29,871


$
62,131

 
$
16,308

 
$
13,006

 
$
29,884

 
$
59,198


(1) These are covered short derivative positions that may include interest rate options, swaptions, or floors.

The following table provides the fair value of derivative instruments outstanding by term to maturity:
As at December 31,
2019
2018
 
 
Term to maturity
 
Term to maturity
 
Under
1 Year
 
1 to 5
 Years
 
Over 5
 Years
 
 
Total

Under
1 Year
 
1 to 5
 Years
 
Over 5
 Years
 
 
Total

Derivative assets
 
$
180

 
$
231

 
$
1,137

 
$
1,548

 
$
100

 
$
150

 
$
862

 
$
1,112

Derivative liabilities
 
$
(73
)
 
$
(377
)
 
$
(1,590
)
 
$
(2,040
)
 
$
(240
)
 
$
(555
)
 
$
(1,500
)
 
$
(2,295
)
Disclosure of debt securities, mortgages, and loans by credit quality
The following table summarizes our debt securities by credit quality:
As at December 31,
2019
2018
 
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 by credit rating:
 
 
 
 
 
 
 
 
 
 
 
 
AAA
 
$
11,097

 
$
6,630

 
$
17,727

 
$
9,728

 
$
5,919

 
$
15,647

AA
 
10,503

 
1,670

 
12,173

 
14,208

 
2,044

 
16,252

A
 
27,341

 
3,037

 
30,378

 
19,089

 
2,447

 
21,536

BBB
 
18,339

 
2,248

 
20,587

 
17,646

 
2,483

 
20,129

BB and lower
 
614

 
127

 
741

 
731

 
148

 
879

Total debt securities
 
$
67,894

 
$
13,712

 
$
81,606

 
$
61,402

 
$
13,041

 
$
74,443

The table below presents the distribution of Reinsurance assets by credit rating:
As at December 31,
2019
2018
 
Gross exposure
 
Collateral
 
Net exposure
 
Gross exposure
 
Collateral
 
Net exposure
 
Reinsurance assets by credit rating:
 
 
 
 
 
 
 
 
 
 
 
 
AA
 
$
2,131

 
$
5

 
$
2,126

 
$
1,442

 
$
6

 
$
1,436

A
 
1,170

 
68

 
1,102

 
1,760

 
83

 
1,677

BBB
 
200

 
128

 
72

 
203

 
132

 
71

BB
 
1,707

 
1,663

 
44

 
1,677

 
1,617

 
60

CCC
 
181

 
168

 
13

 
252

 
72

 
180

Not rated
 
78

 
67

 
11

 
79

 
75

 
4

Total
 
$
5,467

 
$
2,099

 
$
3,368

 
$
5,413

 
$
1,985

 
$
3,428

Less: Negative reinsurance assets
 
1,443

 
 
 
 
 
1,272

 
 
 
 
Total Reinsurance assets
 
$
4,024

 
 
 
 
 
$
4,141

 
 
 
 
The following table provides a summary of the credit default swap protection sold by credit rating of the underlying reference security:
As at December 31,
2019
2018
 
Notional amount
 
Fair value
 
Notional amount
 
Fair value
 
Single name credit default swap contracts:
 
 
 
 
 
 
 
 
AA
 
$
45

 
$
1

 
$
48

 
$
1

A
 
574

 
9

 
611

 
9

BBB
 
608

 
19

 
674

 
13

Total single name credit default swap contracts
 
$
1,227

 
$
29

 
$
1,333

 
$
23

Credit default swap index contracts
 
$
—

 
$
—

 
$
23

 
$
—

Total credit default swap contracts sold
 
$
1,227

 
$
29

 
$
1,356

 
$
23

The following table shows the OTC derivative financial instruments with a positive fair value split by counterparty credit rating:
As at December 31,
2019
2018
 
Gross positive replacement cost(2)
 
Impact of master netting agreements(3)
 
  Net replacement cost(4)
 
Gross positive replacement cost(2)
 
Impact of master netting agreements(3)
 
  Net replacement cost(4)
 
Over-the-counter contracts:
 
 
 
 
 
 
 
 
 
 
 
 
AA
 
$
439

 
$
(210
)
 
$
229

 
$
289

 
$
(252
)
 
$
37

A
 
1,008

 
(517
)
 
491

 
750

 
(507
)
 
243

BBB
 
82

 
(10
)
 
72

 
46

 
(9
)
 
37

Total over-the-counter derivatives(1)
 
$
1,529

 
$
(737
)
 
$
792

 
$
1,085

 
$
(768
)
 
$
317


(1) Exchange-traded derivatives with a positive fair value of $19 in 2019 ($27 in 2018) are excluded from the table above, as they are subject to daily margining requirements. Our credit exposure on these derivatives is with the exchanges and clearinghouses.
(2) Used to determine the credit risk exposure if the counterparties were to default. The credit risk exposure is the cost of replacing, at current market rates, all contracts with a positive fair value.
(3) The credit risk associated with derivative assets subject to master netting arrangements is reduced by derivative liabilities due to the same counterparty in the event of default or early termination. Our overall exposure to credit risk reduced through master netting arrangements may change substantially following the reporting date as the exposure is affected by each transaction subject to the arrangement.
(4) Net replacement cost is positive replacement cost less the impact of master netting agreements
The following tables summarize our mortgages and loans by credit quality indicator:
As at December 31,
2019
 
2018
 
Mortgages by credit rating:
 
 
 
 
Insured
 
$
3,966

 
$
3,537

AAA
 
1

 
3

AA
 
2,087

 
2,209

A
 
5,481

 
4,841

BBB
 
3,943

 
4,925

BB and lower
 
670

 
912

Impaired
 
77

 
6

Total mortgages
 
$
16,225

 
$
16,433

As at December 31,
2019
 
2018
 
Loans by credit rating:
 
 
 
 
AAA
 
$
224

 
$
341

AA
 
5,044

 
4,659

A
 
12,516

 
11,483

BBB
 
12,920

 
12,766

BB and lower
 
1,207

 
1,097

Impaired
 
86

 
43

Total loans
 
$
31,997

 
$
30,389
Disclosure of mortgages and loans past due or impaired
The distribution of mortgages and loans past due or impaired is shown in the following tables:
 
 
Gross carrying value
 
Allowance for losses
As at December 31, 2019
Mortgages
 
Loans
 
 
Total

Mortgages
 
 
Loans

 
Total

Not past due
 
 
$
16,148

 
$
31,911

 
$
48,059

 
 
$
—

 
$
—

 
$
—

Impaired
 
 
147

 
133

 
280

 
 
70

 
47

 
117

Total
 
 
$
16,295

 
$
32,044

 
$
48,339

 
 
$
70

 
$
47

 
$
117

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross carrying value
 
Allowance for losses
As at December 31, 2018
Mortgages
 
Loans
 
 
Total

Mortgages
 
 
Loans

 
Total

Not past due
 
 
$
16,427

 
$
30,332

 
$
46,759

 
 
$
—

 
$
—

 
$
—

Past due:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Past due less than 90 days
 
 
—

 
14

 
14

 
 
—

 
—

 
—

Impaired
 
 
31

 
93

 
124

 
 
25

 
50

 
75

Total
 
 
$
16,458

 
$
30,439

 
$
46,897

 
 
$
25

 
$
50

 
$
75
Disclosure of changes in allowance for losses
The changes in the allowances for losses are as follows:
 
Mortgages
 
 
Loans

 
Total

Balance, January 1, 2018
 
$
22

 
$
28

 
$
50

Provision for (reversal of) losses
 
3

 
19

 
22

Write-offs, net of recoveries, and other adjustments
 
(2
)
 
—

 
(2
)
Foreign exchange rate movements
 
2

 
3

 
5

Balance, December 31, 2018
 
$
25

 
$
50

 
$
75

Provision for (reversal of) losses
 
46

 
(1
)
 
45

Foreign exchange rate movements
 
(1
)
 
(2
)
 
(3
)
Balance, December 31, 2019
 
$
70

 
$
47

 
$
117
Disclosure of equities by issue country
The carrying value of equities by issuer country is shown in the following table:
As at December 31,
2019
2018
 
Fair value through
profit or loss
 
Available-
for-sale
 
Total equities
 
Fair value through
profit or loss
 
Available-
for-sale
 
Total equities
 
Canada
 
$
2,813

 
$
22

 
$
2,835

 
$
2,651

 
$
15

 
$
2,666

United States
 
550

 
137

 
687

 
508

 
388

 
896

United Kingdom
 
132

 
5

 
137

 
121

 
5

 
126

Other
 
979

 
149

 
1,128

 
734

 
212

 
946

Total equities
 
$
4,474

 
$
313

 
$
4,787

 
$
4,014

 
$
620

 
$
4,634