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Total Invested Assets and Related Net Investment Income (Tables)
 12 Months Ended
Dec. 31, 2020
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 securitiesFVTPL
Debt securitiesFVTPL and AFS
Equity securitiesFVTPL and AFS
Mortgages and loansLoans and receivables
Other invested assetsFVTPL and AFS
Policy loansLoans and receivables
The carrying values and fair values of our financial assets are shown in the following table:
As atDecember 31, 2020December 31, 2019
Carrying
value		Fair
value		Carrying
value		Fair
value
Assets
Cash, cash equivalents and short-term securities$13,527 $13,527 $9,575 $9,575 
Debt securities - fair value through profit or loss77,834 77,834 67,894 67,894 
Debt securities - available-for-sale(1)
11,255 11,255 13,712 13,712 
Equity securities - fair value through profit or loss6,369 6,369 4,474 4,474 
Equity securities - available-for-sale262 262 313 313 
Mortgages and loans(1)
49,946 56,231 48,222 52,028 
Derivative assets2,160 2,160 1,548 1,548 
Other invested assets - fair value through profit or loss(2)
3,339 3,339 3,016 3,016 
Other invested assets - available-for-sale(2)
828 828 813 813 
Policy loans3,265 3,265 3,218 3,218 
Total financial assets(3)
$168,785 $175,070 $152,785 $156,591 

(1)    As at December 31, 2020, the fair value of invested assets that have contractual cash flows that qualify as SPPI include $11,159 of Debt securities - AFS ($13,602 as at December 31, 2019), $51,480 of Mortgages and loans supporting insurance contract liabilities ($47,398 as at December 31, 2019), and $4,741 of Mortgages and loans not supporting insurance contract liabilities ($4,315 as at December 31, 2019).
(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 $177,912 ($161,619 as at December 31, 2019) includes Total financial assets in this table, Investment properties of $7,516 ($7,306 as at December 31, 2019), and Other invested assets - non-financial assets of $1,611 ($1,528 as at December 31, 2019).
The following table provides a reconciliation of the beginning and ending balances for assets 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		InvestmentpropertiesTotal
invested
assets
measured
at fair
value		Investments
for account
of
segregated
fund holders		Total
assets
measured
at fair
value
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 
Purchases67 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)
December 31, 2019
Beginning balance $373 $43 $202 $36 $2,241 $7,157 $10,052 $1,596 $11,648 
Acquisitions— — — — 13 — 13 — 13 
Included in net income(1)(2)(3)
28 — (2)(23)(80)238 161 45 206 
Included in OCI(2)
— 4 — 2 13 — 19 — 19 
Purchases85 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)(6)
(159)(31)(4)— (110)— (304)(1,178)(1,482)
Foreign currency translation(5)
(5)(1)(4)(2)(31)(77)(120)(6)(126)
Ending balance$248 $50 $188 $35 $2,445 $7,306 $10,272 $549 $10,821 
Gains (losses) included in earnings relating to instruments still held at the reporting date(1)
$4 $— $(3)$— $(78)$272 $195 $25 $220 

(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 $19 ($305 in 2019), net of amortization of leasing commissions and tenant inducements of $82 ($67 in 2019). 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.
(6)    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.
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 31,20202019
Cash$2,498 $1,656 
Cash equivalents8,156 5,059 
Short-term securities2,873 2,860 
Cash, cash equivalents and short-term securities13,527 9,575 
Less: Bank overdraft, recorded in Other liabilities6 30 
Net cash, cash equivalents and short-term securities$13,521 $9,545 
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 31,20202019
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$34,005 $4,685 $38,690 $28,221 $5,031 $33,252 
United States27,183 3,984 31,167 24,224 5,822 30,046 
United Kingdom4,592 487 5,079 4,874 528 5,402 
Other12,054 2,099 14,153 10,575 2,331 12,906 
Balance$77,834 $11,255 $89,089 $67,894 $13,712 $81,606 
The carrying value of debt securities by issuer and industry sector is shown in the following table:
As at December 31,20202019
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$4,560 $1,929 $6,489 $3,890 $2,556 $6,446 
Canadian provincial and municipal government16,909 1,333 18,242 13,826 1,139 14,965 
U.S. government and agency1,678 797 2,475 1,748 1,363 3,111 
Other foreign government5,281 823 6,104 5,181 736 5,917 
Total government issued or guaranteed debt securities28,428 4,882 33,310 24,645 5,794 30,439 
Corporate debt securities by industry sector:
Financials10,644 1,212 11,856 9,341 1,585 10,926 
Utilities7,561 682 8,243 6,693 565 7,258 
Industrials5,659 567 6,226 4,800 629 5,429 
Energy4,452 350 4,802 3,867 365 4,232 
Communication services3,644 322 3,966 3,075 471 3,546 
Real estate2,438 329 2,767 2,595 368 2,963 
Health care1,986 186 2,172 1,886 236 2,122 
Consumer staples1,893 158 2,051 1,703 221 1,924 
Consumer discretionary1,606 165 1,771 1,268 219 1,487 
Materials1,473 152 1,625 1,331 212 1,543 
Information technology1,308 187 1,495 1,122 213 1,335 
Total corporate debt securities42,664 4,310 46,974 37,681 5,084 42,765 
Asset-backed securities6,742 2,063 8,805 5,568 2,834 8,402 
Total debt securities$77,834 $11,255 $89,089 $67,894 $13,712 $81,606 

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, 2020CanadaUnited StatesUnited KingdomOtherTotal
Mortgages:
  Retail$1,963 $1,747 $— $— $3,710 
  Office1,635 1,846 — — 3,481 
  Multi-family residential3,950 1,681 — — 5,631 
  Industrial and land996 949 — — 1,945 
  Other575 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.

As at December 31, 2019CanadaUnited StatesUnited KingdomOtherTotal
Mortgages:
  Retail$1,981 $1,921 $— $— $3,902 
  Office1,854 2,068 — — 3,922 
  Multi-family residential3,900 1,791 — — 5,691 
  Industrial and land861 1,037 — — 1,898 
  Other714 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.
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 31,20202019
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$3,048 $721 $3,769 $2,094 $2,025 $4,119 
Due in years 2-510,526 3,549 14,075 9,692 3,954 13,646 
Due in years 6-1010,459 3,540 13,999 9,655 3,301 12,956 
Due after 10 years53,801 3,445 57,246 46,453 4,432 50,885 
Total debt securities$77,834 $11,255 $89,089 $67,894 $13,712 $81,606 

The carrying value of mortgages by scheduled maturity, before allowances for losses, is as follows:
As at December 31,2020 2019 
Due in 1 year or less$1,230 $1,099 
Due in years 2-55,465 5,255 
Due in years 6-105,884 6,787 
Due after 10 years2,915 3,154 
Total mortgages$15,494 $16,295 

The carrying value of loans by scheduled maturity, before allowances for losses, is as follows:
As at December 31,20202019 
Due in 1 year or less$2,192 $1,834 
Due in years 2-56,954 6,872 
Due in years 6-106,670 5,449 
Due after 10 years18,751 17,889 
Total loans$34,567 $32,044 
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 atDecember 31, 2020December 31, 2019
Level 1Level 2Level 3TotalLevel 1Level 2Level 3Total
Assets
Cash, cash equivalents and short-term securities$12,428 $1,099 $— $13,527 $9,044 $531 $— $9,575 
Debt securities - fair value through profit or loss1,537 76,072 225 77,834 1,641 66,005 248 67,894 
Debt securities - available-for-sale796 10,392 67 11,255 1,363 12,299 50 13,712 
Equity securities - fair value through profit or loss3,777 2,411 181 6,369 1,868 2,418 188 4,474 
Equity securities - available-for-sale144 71 47 262 152 126 35 313 
Derivative assets36 2,124 — 2,160 20 1,528 — 1,548 
Other invested assets1,094 428 2,645 4,167 1,000 384 2,445 3,829 
Investment properties— — 7,516 7,516 — — 7,306 7,306 
Total invested assets measured at fair value$19,812 $92,597 $10,681 $123,090 $15,088 $83,291 $10,272 $108,651 
Investments for account of segregated fund holders26,832 98,539 550 125,921 26,380 90,044 549 116,973 
Total assets measured at fair value$46,644 $191,136 $11,231 $249,011 $41,468 $173,335 $10,821 $225,624 
Liabilities
Investment contract liabilities$— $— $2 $2 $— $— $2 $2 
Derivative liabilities13 1,731 — 1,744 14 2,026 — 2,040 
Total liabilities measured at fair value$13 $1,731 $2 $1,746 $14 $2,026 $2 $2,042 
Fair value and foreign currency changes on assets and liabilities presented in our Consolidated Statements of Operations consist of the following:
For the years ended December 31,20202019
Fair value change:
Cash, cash equivalents and short-term securities$(10)$(2)
Debt securities5,209 5,686 
Equity securities357 629 
Derivative investments1,306 772 
Other invested assets(3)77 
Total change in fair value through profit or loss assets and liabilities6,859 7,162 
Fair value changes on investment properties19 305 
Foreign exchange gains (losses)(1)
(18)(349)
Fair value and foreign currency changes on assets and liabilities $6,860 $7,118 

(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 atDecember 31, 2020December 31, 2019
Level 1Level 2Level 3TotalLevel 1Level 2Level 3Total
Assets
Cash, cash equivalents and short-term securities$12,428 $1,099 $— $13,527 $9,044 $531 $— $9,575 
Debt securities - fair value through profit or loss1,537 76,072 225 77,834 1,641 66,005 248 67,894 
Debt securities - available-for-sale796 10,392 67 11,255 1,363 12,299 50 13,712 
Equity securities - fair value through profit or loss3,777 2,411 181 6,369 1,868 2,418 188 4,474 
Equity securities - available-for-sale144 71 47 262 152 126 35 313 
Derivative assets36 2,124 — 2,160 20 1,528 — 1,548 
Other invested assets1,094 428 2,645 4,167 1,000 384 2,445 3,829 
Investment properties— — 7,516 7,516 — — 7,306 7,306 
Total invested assets measured at fair value$19,812 $92,597 $10,681 $123,090 $15,088 $83,291 $10,272 $108,651 
Investments for account of segregated fund holders26,832 98,539 550 125,921 26,380 90,044 549 116,973 
Total assets measured at fair value$46,644 $191,136 $11,231 $249,011 $41,468 $173,335 $10,821 $225,624 
Liabilities
Investment contract liabilities$— $— $2 $2 $— $— $2 $2 
Derivative liabilities13 1,731 — 1,744 14 2,026 — 2,040 
Total liabilities measured at fair value$13 $1,731 $2 $1,746 $14 $2,026 $2 $2,042 

Debt securities - fair value through profit or loss consist of the following:
As atDecember 31, 2020December 31, 2019
Level 1Level 2Level 3TotalLevel 1Level 2Level 3Total
Canadian federal government$— $4,546 $14 $4,560 $— $3,875 $15 $3,890 
Canadian provincial and municipal government— 16,909 — 16,909 — 13,811 15 13,826 
U.S. government and agency1,537 141 — 1,678 1,641 106 1 1,748 
Other foreign government— 5,274 7 5,281 — 5,172 9 5,181 
Corporate— 42,507 157 42,664 — 37,508 173 37,681 
Asset-backed securities:
Commercial mortgage-backed securities— 2,199 6 2,205 — 1,753 6 1,759 
Residential mortgage-backed securities— 2,459 — 2,459 — 2,176 — 2,176 
Collateralized debt obligations— 389 — 389 — 157 — 157 
Other— 1,648 41 1,689 — 1,447 29 1,476 
Total debt securities - fair value through profit or loss$1,537 $76,072 $225 $77,834 $1,641 $66,005 $248 $67,894 

Debt securities - available-for-sale consist of the following:
As atDecember 31, 2020December 31, 2019
Level 1Level 2Level 3TotalLevel 1Level 2Level 3Total
Canadian federal government$— $1,929 $— $1,929 $— $2,556 $— $2,556 
Canadian provincial and municipal government— 1,333 — 1,333 — 1,139 — 1,139 
U.S. government and agency796 1 — 797 1,363 — — 1,363 
Other foreign government— 822 1 823 — 735 1 736 
Corporate— 4,258 52 4,310 — 5,039 45 5,084 
Asset-backed securities:
Commercial mortgage-backed securities— 750 2 752 — 777 — 777 
Residential mortgage-backed securities— 292 — 292 — 362 — 362 
Collateralized debt obligations— 531 — 531 — 730 — 730 
Other— 476 12 488 — 961 4 965 
Total debt securities - available-for-sale$796 $10,392 $67 $11,255 $1,363 $12,299 $50 $13,712 
Fair value and foreign currency changes on assets and liabilities presented in our Consolidated Statements of Operations consist of the following:
For the years ended December 31,20202019
Fair value change:
Cash, cash equivalents and short-term securities$(10)$(2)
Debt securities5,209 5,686 
Equity securities357 629 
Derivative investments1,306 772 
Other invested assets(3)77 
Total change in fair value through profit or loss assets and liabilities6,859 7,162 
Fair value changes on investment properties19 305 
Foreign exchange gains (losses)(1)
(18)(349)
Fair value and foreign currency changes on assets and liabilities $6,860 $7,118 

(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 31,20202019
Interest income:
Cash, cash equivalents and short-term securities$71 $164 
Debt securities - fair value through profit or loss2,485 2,395 
Debt securities - available-for-sale317 411 
Mortgages and loans2,189 2,208 
Derivative investments46 30 
Policy loans188 188 
Total interest income5,296 5,396 
Equity securities - dividends on fair value through profit or loss165 137 
Equity securities - dividends on available-for-sale4 8 
Investment properties rental income(1)
551 575 
Investment properties expenses(243)(252)
Other income(154)196 
Investment expenses and taxes(212)(205)
Total interest and other investment income$5,407 $5,855 

(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 31,20202019
Fair valueFair value
AssetsLiabilitiesAssetsLiabilities
Interest rate contracts$1,409 $(340)$1,198 $(517)
Foreign exchange contracts659 (1,382)242 (1,516)
Other contracts92 (22)108 (7)
Total derivatives$2,160 $(1,744)$1,548 $(2,040)

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 31,20202019
Total notional amountFair valueTotal notional amountFair value
AssetsLiabilitiesAssetsLiabilities
Derivative investments(1)
$61,680 $2,140 $(1,722)$60,707 $1,517 $(1,831)
Fair value hedges278 5 (2)616 — (208)
Cash flow hedges834 15 (20)808 31 (1)
Total derivatives$62,792 $2,160 $(1,744)$62,131 $1,548 $(2,040)

(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 31,20202019
Fair value hedging ineffectiveness:
Gains (losses) on the hedged items attributable to the hedged risk$(209)$71 
Gains (losses) on the hedging derivatives207 (64)
Net ineffectiveness on fair value hedges$(2)$7