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Total Invested Assets and Related Net Investment Income (Tables)
 12 Months Ended
Dec. 31, 2019
Fair Value Measurement [Abstract]  
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.
Schedule of liabilities carried at fair value
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,
 
2019

 
2018

Fair value change:
 
 
 
 
Cash, cash equivalents and short-term securities
 
$
(2
)
 
$
8

Debt securities
 
5,686

 
(2,704
)
Equity securities
 
629

 
(401
)
Derivative investments
 
772

 
(1,295
)
Other invested assets
 
77

 
16

Total change in fair value through profit or loss assets and liabilities
 
7,162

 
(4,376
)
Fair value changes on investment properties
 
305

 
529

Foreign exchange gains (losses)(1)
 
(349
)
 
446

Realized gains (losses) on property and equipment(2)
 
—

 
28

Fair value and foreign currency changes on assets and liabilities
 
$
7,118

 
$
(3,373
)

(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 2018, we sold and leased back a property in Waterloo, Ontario. The transaction qualified as a sale and operating lease and as a result, we recognized a gain of $28.
Our assets and liabilities that are carried at fair value on a recurring basis by hierarchy level are as follows:
As at
December 31, 2019
December 31, 2018
 
 
Level 1

 
Level 2

 
Level 3

 
Total

 
Level 1

 
Level 2

 
Level 3

 
Total

Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Cash, cash equivalents and short-term securities
 
$
9,044

 
$
531

 
$
—

 
$
9,575

 
$
8,926

 
$
580

 
$
—

 
$
9,506

Debt securities – fair value through profit or loss
 
1,641

 
66,005

 
248

 
67,894

 
1,253

 
59,776

 
373

 
61,402

Debt securities – available-for-sale
 
1,363

 
12,299

 
50

 
13,712

 
1,513

 
11,485

 
43

 
13,041

Equity securities – fair value through profit or loss
 
1,868

 
2,418

 
188

 
4,474

 
1,967

 
1,845

 
202

 
4,014

Equity securities – available-for-sale
 
152

 
126

 
35

 
313

 
398

 
186

 
36

 
620

Derivative assets
 
20

 
1,528

 
—

 
1,548

 
27

 
1,085

 
—

 
1,112

Other invested assets
 
1,000

 
384

 
2,445

 
3,829

 
898

 
183

 
2,241

 
3,322

Investment properties
 
—

 
—

 
7,306

 
7,306

 
—

 
—

 
7,157

 
7,157

Total invested assets measured at fair value
 
$
15,088


$
83,291

 
$
10,272

 
$
108,651

 
$
14,982

 
$
75,140

 
$
10,052

 
$
100,174

Investments for account of segregated fund holders
26,380

 
90,044

 
549

 
116,973

 
24,705

 
76,761

 
1,596

 
103,062

Total assets measured at fair value
 
$
41,468


$
173,335


$
10,821


$
225,624

 
$
39,687

 
$
151,901

 
$
11,648

 
$
203,236

Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Investment contract liabilities
 
$
—

 
$
—

 
$
2

 
$
2

 
$
—

 
$
—

 
$
3

 
$
3

Derivative liabilities
 
14

 
2,026

 
—

 
2,040

 
11

 
2,284

 
—

 
2,295

Put option liability
 
—

 
—

 
956

 
956

 
—

 
—

 
—

 
—

Total liabilities measured at fair value
 
$
14


$
2,026


$
958


$
2,998

 
$
11


$
2,284


$
3


$
2,298
Disclosure of sensitivity analysis of fair value measurement to changes in unobservable inputs, liabilities [text block]
Sensitivity Analysis
The following table represents the sensitivity analysis of key assumptions relating to the Put option liability for 2019:
Change in EBITDA
10% decrease
 
10% increase
 
Potential impact on net income (loss)
 
$
130

 
$
(141
)
Schedule of assets carried at fair value
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,
 
2019

 
2018

Fair value change:
 
 
 
 
Cash, cash equivalents and short-term securities
 
$
(2
)
 
$
8

Debt securities
 
5,686

 
(2,704
)
Equity securities
 
629

 
(401
)
Derivative investments
 
772

 
(1,295
)
Other invested assets
 
77

 
16

Total change in fair value through profit or loss assets and liabilities
 
7,162

 
(4,376
)
Fair value changes on investment properties
 
305

 
529

Foreign exchange gains (losses)(1)
 
(349
)
 
446

Realized gains (losses) on property and equipment(2)
 
—

 
28

Fair value and foreign currency changes on assets and liabilities
 
$
7,118

 
$
(3,373
)

(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 2018, we sold and leased back a property in Waterloo, Ontario. The transaction qualified as a sale and operating lease and as a result, we recognized a gain of $28.
Our assets and liabilities that are carried at fair value on a recurring basis by hierarchy level are as follows:
As at
December 31, 2019
December 31, 2018
 
 
Level 1

 
Level 2

 
Level 3

 
Total

 
Level 1

 
Level 2

 
Level 3

 
Total

Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Cash, cash equivalents and short-term securities
 
$
9,044

 
$
531

 
$
—

 
$
9,575

 
$
8,926

 
$
580

 
$
—

 
$
9,506

Debt securities – fair value through profit or loss
 
1,641

 
66,005

 
248

 
67,894

 
1,253

 
59,776

 
373

 
61,402

Debt securities – available-for-sale
 
1,363

 
12,299

 
50

 
13,712

 
1,513

 
11,485

 
43

 
13,041

Equity securities – fair value through profit or loss
 
1,868

 
2,418

 
188

 
4,474

 
1,967

 
1,845

 
202

 
4,014

Equity securities – available-for-sale
 
152

 
126

 
35

 
313

 
398

 
186

 
36

 
620

Derivative assets
 
20

 
1,528

 
—

 
1,548

 
27

 
1,085

 
—

 
1,112

Other invested assets
 
1,000

 
384

 
2,445

 
3,829

 
898

 
183

 
2,241

 
3,322

Investment properties
 
—

 
—

 
7,306

 
7,306

 
—

 
—

 
7,157

 
7,157

Total invested assets measured at fair value
 
$
15,088


$
83,291

 
$
10,272

 
$
108,651

 
$
14,982

 
$
75,140

 
$
10,052

 
$
100,174

Investments for account of segregated fund holders
26,380

 
90,044

 
549

 
116,973

 
24,705

 
76,761

 
1,596

 
103,062

Total assets measured at fair value
 
$
41,468


$
173,335


$
10,821


$
225,624

 
$
39,687

 
$
151,901

 
$
11,648

 
$
203,236

Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Investment contract liabilities
 
$
—

 
$
—

 
$
2

 
$
2

 
$
—

 
$
—

 
$
3

 
$
3

Derivative liabilities
 
14

 
2,026

 
—

 
2,040

 
11

 
2,284

 
—

 
2,295

Put option liability
 
—

 
—

 
956

 
956

 
—

 
—

 
—

 
—

Total liabilities measured at fair value
 
$
14


$
2,026


$
958


$
2,998

 
$
11


$
2,284


$
3


$
2,298


Debt securities – fair value through profit or loss consist of the following:
As at
December 31, 2019
December 31, 2018
 
 
Level 1

 
Level 2

 
Level 3

 
Total

 
Level 1

 
Level 2

 
Level 3

 
Total

Canadian federal government
 
$
—

 
$
3,875

 
$
15

 
$
3,890

 
$
—

 
$
3,815

 
$
15

 
$
3,830

Canadian provincial and municipal government
 
—

 
13,811

 
15

 
13,826

 
—

 
11,852

 
14

 
11,866

U.S. government and agency
 
1,641

 
106

 
1

 
1,748

 
1,253

 
125

 
2

 
1,380

Other foreign government
 
—

 
5,172

 
9

 
5,181

 
—

 
4,895

 
34

 
4,929

Corporate
 
—

 
37,508

 
173

 
37,681

 
—

 
34,665

 
205

 
34,870

Asset-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Commercial mortgage-backed securities
 
—

 
1,753

 
6

 
1,759

 
—

 
1,464

 
3

 
1,467

Residential mortgage-backed securities
 
—

 
2,176

 
—

 
2,176

 
—

 
1,961

 
—

 
1,961

Collateralized debt obligations
 
—

 
157

 
—

 
157

 
—

 
143

 
—

 
143

Other
 
—

 
1,447

 
29

 
1,476

 
—

 
856

 
100

 
956

Total debt securities – fair value through profit or loss
 
$
1,641

 
$
66,005

 
$
248

 
$
67,894

 
$
1,253


$
59,776


$
373


$
61,402


Debt securities – available-for-sale consist of the following:
As at
December 31, 2019
December 31, 2018
 
 
Level 1

 
Level 2

 
Level 3

 
Total

 
Level 1

 
Level 2

 
Level 3

 
Total

Canadian federal government
 
$
—

 
$
2,556

 
$
—

 
$
2,556

 
$
—

 
$
1,746

 
$
—

 
$
1,746

Canadian provincial and municipal government
 
—

 
1,139

 
—

 
1,139

 
—

 
1,199

 
—

 
1,199

U.S. government and agency
 
1,363

 
—

 
—

 
1,363

 
1,513

 
14

 
—

 
1,527

Other foreign government
 
—

 
735

 
1

 
736

 
—

 
716

 
1

 
717

Corporate
 
—

 
5,039

 
45

 
5,084

 
—

 
4,971

 
42

 
5,013

Asset-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Commercial mortgage-backed securities
 
—

 
777

 
—

 
777

 
—

 
766

 
—

 
766

Residential mortgage-backed securities
 
—

 
362

 
—

 
362

 
—

 
386

 
—

 
386

Collateralized debt obligations
 
—

 
730

 
—

 
730

 
—

 
804

 
—

 
804

Other
 
—

 
961

 
4

 
965

 
—

 
883

 
—

 
883

Total debt securities – available-for-sale
 
$
1,363

 
$
12,299

 
$
50

 
$
13,712

 
$
1,513


$
11,485


$
43

 
$
13,041
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,
 
2019

 
2018

Interest income:
 
 
 
 
Cash, cash equivalents and short-term securities
 
$
164

 
$
131

Debt securities – fair value through profit or loss
 
2,395

 
2,312

Debt securities – available-for-sale
 
411

 
384

Mortgages and loans
 
2,208

 
2,050

Derivative investments
 
30

 
45

Policy loans
 
188

 
175

Total interest income
 
5,396

 
5,097

Equity securities – dividends on fair value through profit or loss
 
137

 
160

Equity securities – dividends on available-for-sale
 
8

 
14

Investment properties rental income(1)
 
575

 
594

Investment properties expenses
 
(252
)
 
(259
)
Other income
 
196

 
242

Investment expenses and taxes
 
(205
)
 
(207
)
Total interest and other investment income
 
$
5,855

 
$
5,641


(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,
 
2019
 
2018
 
 
Fair value
 
Fair value
 
 
Assets

Liabilities
 
 
Assets

 
Liabilities

Interest rate contracts
 
$
1,198

 
$
(517
)
 
$
922

 
$
(440
)
Foreign exchange contracts
 
242

 
(1,516
)
 
130

 
(1,820
)
Other contracts
 
108

 
(7
)
 
60

 
(35
)
Total derivatives
 
$
1,548

 
$
(2,040
)
 
$
1,112

 
$
(2,295
)

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,
2019
2018
 
Total notional amount
 
 
Fair value
Total notional amount
 
 
Fair value
 
 
Assets

Liabilities
 
 
Assets

Liabilities
 
Derivative investments(1)
 
$
60,707

 
$
1,517

 
$
(1,831
)
 
$
58,268

 
$
1,101

 
$
(2,134
)
Fair value hedges
 
616

 
—

 
(208
)
 
779

 
—

 
(153
)
Cash flow hedges
 
808

 
31

 
(1
)
 
151

 
11

 
(8
)
Total derivatives
 
$
62,131

 
$
1,548

 
$
(2,040
)
 
$
59,198


$
1,112


$
(2,295
)

(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,
 
2019

 
2018

Fair value hedging ineffectiveness:
 
 
 
 
Gains (losses) on the hedged items attributable to the hedged risk
 
$
71

 
$
(41
)
Gains (losses) on the hedging derivatives
 
(64
)
 
40

Net ineffectiveness on fair value hedges
 
$
7

 
$
(1
)