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Total Invested Assets and Related Net Investment Income (Tables) | 12 Months Ended
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Dec. 31, 2021
Fair Value Measurement [Abstract] |
Summary of financial assets | The following table summarizes the financial assets included in our Consolidated Statements of Financial Position and the asset classifications applicable to these assets:
Cash, cash equivalents and short-term securities | FVTPL
Debt securities | FVTPL and AFS
Equity securities | FVTPL and AFS
Mortgages and loans | Loans and receivables
Other invested assets | FVTPL and AFS
Policy loans | Loans and receivables
The carrying values and fair values of our financial assets are shown in the following table:
As at |  | December 31, 2021 |  | December 31, 2020
|  | Carrying value |  | Fair value |  | Carrying value |  | Fair value
Assets |  |  |  |  |  |  |  |
Cash, cash equivalents and short-term securities |  | $ | 12,278 |  |  | $ | 12,278 |  |  | $ | 13,527 |  |  | $ | 13,527 |
Debt securities - fair value through profit or loss |  | 75,998 |  |  | 75,998 |  |  | 77,834 |  |  | 77,834 |
Debt securities - available-for-sale(1) |  | 12,729 |  |  | 12,729 |  |  | 11,255 |  |  | 11,255 |
Equity securities - fair value through profit or loss |  | 7,538 |  |  | 7,538 |  |  | 6,369 |  |  | 6,369 |
Equity securities - available-for-sale |  | 1,575 |  |  | 1,575 |  |  | 262 |  |  | 262 |
Mortgages and loans(1) |  | 51,692 |  |  | 55,756 |  |  | 49,946 |  |  | 56,231 |
Derivative assets |  | 1,583 |  |  | 1,583 |  |  | 2,160 |  |  | 2,160 |
Other invested assets - fair value through profit or loss(2) |  | 4,435 |  |  | 4,435 |  |  | 3,339 |  |  | 3,339 |
Other invested assets - available-for-sale(2) |  | 781 |  |  | 781 |  |  | 828 |  |  | 828 |
Other invested assets - Collateralized Loan Obligations |  | 1,865 |  |  | 1,855 |  |  | — |  |  | — |
Policy loans |  | 3,261 |  |  | 3,261 |  |  | 3,265 |  |  | 3,265 |
Total financial assets(3) |  | $ | 173,735 |  |  | $ | 177,789 |  |  | $ | 168,785 |  |  | $ | 175,070 |
(1) As at December 31, 2021, the fair value of invested assets that have contractual cash flows that qualify as SPPI include $12,604 of Debt securities - AFS ($11,159 as at December 31, 2020), $51,249 of Mortgages and loans supporting insurance contract liabilities ($51,480 as at December 31, 2020), and $4,499 of Mortgages and loans not supporting insurance contract liabilities ($4,741 as at December 31, 2020). (2) Other invested assets (FVTPL and AFS) include our investments in segregated funds, mutual funds and limited partnerships. (3) Invested assets on our Consolidated Statements of Financial Position of $184,522 ($177,912 as at December 31, 2020) includes Total financial assets in this table, Investment properties of $9,109 ($7,516 as at December 31, 2020), Other invested assets - non-financial assets of $1,678 ($1,611 as at December 31, 2020). The following table provides a reconciliation of the beginning and ending balances for assets and liabilities that are categorized in Level 3:
For the years ended | Debt securities - fair value through profit or loss | Debt securities - available-for-sale | Equity securities - fair value through profit or loss | Equity securities - available-for-sale | Other invested assets | Investment properties | Total invested assets measured at fair value | Investments for account of segregated fund holders | Total assets measured at fair value
December 31, 2021 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Beginning balance |  | $ | 225 |  |  | $ | 67 |  |  | $ | 181 |  |  | $ | 47 |  |  | $ | 2,645 |  |  | $ | 7,516 |  |  | $ | 10,681 |  |  | $ | 550 |  |  | $ | 11,231 |
Included in net income(1)(2)(3) |  | (6) |  |  | — |  |  | 10 |  |  | 5 |  |  | 392 |  |  | 1,032 |  |  | 1,433 |  |  | 23 |  |  | 1,456 |
Included in OCI(2) |  | — |  |  | (1) |  |  | — |  |  | 33 |  |  | 13 |  |  | — |  |  | 45 |  |  | — |  |  | 45 |
Purchases |  | 29 |  |  | 5 |  |  | 8 |  |  | 15 |  |  | 1,074 |  |  | 764 |  |  | 1,895 |  |  | 65 |  |  | 1,960 |
Sales / Payments |  | (9) |  |  | (13) |  |  | (25) |  |  | (26) |  |  | (469) |  |  | (197) |  |  | (739) |  |  | (9) |  |  | (748) |
Settlements |  | (15) |  |  | (3) |  |  | (5) |  |  | — |  |  | — |  |  | — |  |  | (23) |  |  | (1) |  |  | (24) |
Transfers (out) of Level 3(4) |  | (57) |  |  | (10) |  |  | (73) |  |  | — |  |  | — |  |  | — |  |  | (140) |  |  | — |  |  | (140) |
Foreign currency translation(5) |  | (5) |  |  | (2) |  |  | — |  |  | — |  |  | (5) |  |  | (6) |  |  | (18) |  |  | (17) |  |  | (35) |
Ending balance |  | $ | 162 |  |  | $ | 43 |  |  | $ | 96 |  |  | $ | 74 |  |  | $ | 3,650 |  |  | $ | 9,109 |  |  | $ | 13,134 |  |  | $ | 611 |  |  | $ | 13,745 |
Gains (losses) included in earnings relating to instruments still held at the reporting date(1) |  | $ | (4) |  |  | $ | — |  |  | $ | 11 |  |  | $ | 5 |  |  | $ | 382 |  |  | $ | 1,038 |  |  | $ | 1,432 |  |  | $ | 27 |  |  | $ | 1,459 |
December 31, 2020 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Beginning balance |  | $ | 248 |  |  | $ | 50 |  |  | $ | 188 |  |  | $ | 35 |  |  | $ | 2,445 |  |  | $ | 7,306 |  |  | $ | 10,272 |  |  | $ | 549 |  |  | $ | 10,821 |
Included in net income(1)(2)(3) |  | 11 |  |  | — |  |  | — |  |  | — |  |  | (87) |  |  | (63) |  |  | (139) |  |  | (22) |  |  | (161) |
Included in OCI(2) |  | — |  |  | 2 |  |  | — |  |  | — |  |  | 19 |  |  | — |  |  | 21 |  |  | — |  |  | 21 |
Purchases |  | 67 |  |  | 15 |  |  | 11 |  |  | 46 |  |  | 594 |  |  | 620 |  |  | 1,353 |  |  | 30 |  |  | 1,383 |
Sales / Payments |  | (10) |  |  | — |  |  | (2) |  |  | (33) |  |  | (304) |  |  | (325) |  |  | (674) |  |  | (14) |  |  | (688) |
Settlements |  | (9) |  |  | (2) |  |  | (15) |  |  | — |  |  | — |  |  | — |  |  | (26) |  |  | (1) |  |  | (27) |
Transfers into Level 3(4) |  | 3 |  |  | 2 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 5 |  |  | 1 |  |  | 6 |
Transfers (out) of Level 3(4) |  | (88) |  |  | (1) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (89) |  |  | (1) |  |  | (90) |
Foreign currency translation(5) |  | 3 |  |  | 1 |  |  | (1) |  |  | (1) |  |  | (22) |  |  | (22) |  |  | (42) |  |  | 8 |  |  | (34) |
Ending balance |  | $ | 225 |  |  | $ | 67 |  |  | $ | 181 |  |  | $ | 47 |  |  | $ | 2,645 |  |  | $ | 7,516 |  |  | $ | 10,681 |  |  | $ | 550 |  |  | $ | 11,231 |
Gains (losses) included in earnings relating to instruments still held at the reporting date(1) |  | $ | 2 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (68) |  |  | $ | 13 |  |  | $ | (53) |  |  | $ | (23) |  |  | $ | (76) |
(1) Included in Net investment income (loss) for Total invested assets measured at fair value in our Consolidated Statements of Operation. (2) Total gains and losses in net income (loss) and OCI are calculated assuming transfers into or out of Level 3 occur at the beginning of the period. For an asset or liability that transfers into Level 3 during the reporting period, the entire change in fair value for the period is included in the table above. For transfers out of Level 3 during the reporting period, the change in fair value for the period is excluded from the table above. (3) Investment properties included in net income is comprised of fair value changes on investment properties of $1,070 ($19 in 2020), net of amortization of leasing commissions and tenant inducements of $38 ($82 in 2020). As at December 31, 2020, we have used assumptions that reflect known changes in the property values including changes in expected future cash flows. (4) Transfers into Level 3 occur when the inputs used to price the assets and liabilities lack observable market data, and as a result, no longer meet the Level 1 or 2 definitions at the reporting date. Transfers out of Level 3 occur when the pricing inputs become more transparent and satisfy the Level 1 or 2 criteria and are primarily the result of observable market data being available at the reporting date, thus removing the requirement to rely on inputs that lack observability. (5) Foreign currency translation relates to the foreign exchange impact of translating Level 3 assets and liabilities of foreign subsidiaries from their functional currencies to Canadian dollars. Cash, cash equivalents and short-term securities presented in our Consolidated Statements of Financial Position and Net cash, cash equivalents and short-term securities presented in our Consolidated Statements of Cash Flows consist of the following:
As at December 31, |  |  |  |  |  | 2021 |  | 2020
Cash |  |  |  |  |  |  |  | $ | 2,297 |  |  | $ | 2,498 |
Cash equivalents |  |  |  |  |  |  |  | 5,529 |  |  | 8,156 |
Short-term securities |  |  |  |  |  |  |  | 4,452 |  |  | 2,873 |
Cash, cash equivalents and short-term securities |  |  |  |  |  |  |  | 12,278 |  |  | 13,527 |
Less: Bank overdraft, recorded in Other liabilities |  |  |  |  |  |  |  | 133 |  |  | 6 |
Net cash, cash equivalents and short-term securities |  |  |  |  |  |  |  | $ | 12,145 |  |  | $ | 13,521 |
The carrying value of debt securities by geographic location is shown in the following table. The geographic location is based on the country of the creditor's parent.
As at December 31, | 2021 | 2020
| Fair value through profit or loss | Available- for-sale | Total debt securities | Fair value through profit or loss | Available- for-sale | Total debt securities
Canada |  | $ | 33,028 |  |  | $ | 5,135 |  |  | $ | 38,163 |  |  | $ | 34,005 |  |  | $ | 4,685 |  |  | $ | 38,690 |
United States |  | 26,678 |  |  | 4,552 |  |  | 31,230 |  |  | 27,183 |  |  | 3,984 |  |  | 31,167 |
United Kingdom |  | 4,196 |  |  | 562 |  |  | 4,758 |  |  | 4,592 |  |  | 487 |  |  | 5,079 |
Other |  | 12,096 |  |  | 2,480 |  |  | 14,576 |  |  | 12,054 |  |  | 2,099 |  |  | 14,153 |
Total debt securities |  | $ | 75,998 |  |  | $ | 12,729 |  |  | $ | 88,727 |  |  | $ | 77,834 |  |  | $ | 11,255 |  |  | $ | 89,089 |
The carrying value of debt securities by issuer and industry sector is shown in the following table:
As at December 31, | 2021 | 2020
| Fair value through profit or loss | Available- for-sale | Total debt securities | Fair value through profit or loss | Available- for-sale | Total debt securities
Debt securities issued or guaranteed by: |  |  |  |  |  |  |  |  |  |  |  |
Canadian federal government |  | $ | 4,798 |  |  | $ | 2,303 |  |  | $ | 7,101 |  |  | $ | 4,560 |  |  | $ | 1,929 |  |  | $ | 6,489 |
Canadian provincial and municipal government |  | 15,930 |  |  | 1,149 |  |  | 17,079 |  |  | 16,909 |  |  | 1,333 |  |  | 18,242 |
U.S. government and agency |  | 1,642 |  |  | 771 |  |  | 2,413 |  |  | 1,678 |  |  | 797 |  |  | 2,475 |
Other foreign government |  | 4,754 |  |  | 757 |  |  | 5,511 |  |  | 5,281 |  |  | 823 |  |  | 6,104 |
Total government issued or guaranteed debt securities |  | 27,124 |  |  | 4,980 |  |  | 32,104 |  |  | 28,428 |  |  | 4,882 |  |  | 33,310 |
Corporate debt securities by industry sector: |  |  |  |  |  |  |  |  |  |  |  |
Financials |  | 10,258 |  |  | 1,690 |  |  | 11,948 |  |  | 10,644 |  |  | 1,212 |  |  | 11,856 |
Utilities |  | 7,414 |  |  | 778 |  |  | 8,192 |  |  | 7,561 |  |  | 682 |  |  | 8,243 |
Industrials |  | 5,791 |  |  | 805 |  |  | 6,596 |  |  | 5,659 |  |  | 567 |  |  | 6,226 |
Energy |  | 3,992 |  |  | 287 |  |  | 4,279 |  |  | 4,452 |  |  | 350 |  |  | 4,802 |
Communication services |  | 3,534 |  |  | 352 |  |  | 3,886 |  |  | 3,644 |  |  | 322 |  |  | 3,966 |
Real estate |  | 2,334 |  |  | 354 |  |  | 2,688 |  |  | 2,438 |  |  | 329 |  |  | 2,767 |
Health care |  | 2,081 |  |  | 346 |  |  | 2,427 |  |  | 1,986 |  |  | 186 |  |  | 2,172 |
Consumer staples |  | 2,047 |  |  | 231 |  |  | 2,278 |  |  | 1,893 |  |  | 158 |  |  | 2,051 |
Consumer discretionary |  | 1,814 |  |  | 306 |  |  | 2,120 |  |  | 1,606 |  |  | 165 |  |  | 1,771 |
Information technology |  | 1,426 |  |  | 209 |  |  | 1,635 |  |  | 1,308 |  |  | 187 |  |  | 1,495 |
Materials |  | 1,361 |  |  | 156 |  |  | 1,517 |  |  | 1,473 |  |  | 152 |  |  | 1,625 |
Total corporate debt securities |  | 42,052 |  |  | 5,514 |  |  | 47,566 |  |  | 42,664 |  |  | 4,310 |  |  | 46,974 |
Asset-backed securities |  | 6,822 |  |  | 2,235 |  |  | 9,057 |  |  | 6,742 |  |  | 2,063 |  |  | 8,805 |
Total debt securities |  | $ | 75,998 |  |  | $ | 12,729 |  |  | $ | 88,727 |  |  | $ | 77,834 |  |  | $ | 11,255 |  |  | $ | 89,089 |
The carrying value of mortgages and loans by geographic location and type is shown in the following tables. The geographic location for mortgages is based on location of property, while for corporate loans it is based on the country of the creditor's parent.
As at December 31, 2021 | Canada | United States | United Kingdom |  | Other |  | Total
Mortgages: |  |  |  |  |  |  |  |  |  |
Retail |  | $ | 1,765 |  |  | $ | 1,623 |  |  | $ | — |  |  | $ | — |  |  | $ | 3,388 |
Office |  | 1,892 |  |  | 1,639 |  |  | — |  |  | — |  |  | 3,531 |
Multi-family residential |  | 4,138 |  |  | 1,589 |  |  | — |  |  | — |  |  | 5,727 |
Industrial and land |  | 1,094 |  |  | 941 |  |  | — |  |  | — |  |  | 2,035 |
Other |  | 680 |  |  | 115 |  |  | 9 |  |  | — |  |  | 804 |
Total mortgages(1) |  | $ | 9,569 |  |  | $ | 5,907 |  |  | $ | 9 |  |  | $ | — |  |  | $ | 15,485 |
Loans |  | $ | 12,885 |  |  | $ | 14,596 |  |  | $ | 4,111 |  |  | $ | 4,615 |  |  | $ | 36,207 |
Total mortgages and loans | $ | 22,454 |  |  | $ | 20,503 |  |  | $ | 4,120 |  |  | $ | 4,615 |  |  | $ | 51,692 |
(1) $4,218 of mortgages in Canada are insured by the CMHC.
As at December 31, 2020 | Canada | United States | United Kingdom |  | Other |  | Total
Mortgages: |  |  |  |  |  |  |  |  |  |
Retail |  | $ | 1,963 |  |  | $ | 1,747 |  |  | $ | — |  |  | $ | — |  |  | $ | 3,710 |
Office |  | 1,635 |  |  | 1,846 |  |  | — |  |  | — |  |  | 3,481 |
Multi-family residential |  | 3,950 |  |  | 1,681 |  |  | — |  |  | — |  |  | 5,631 |
Industrial and land |  | 996 |  |  | 949 |  |  | — |  |  | — |  |  | 1,945 |
Other |  | 575 |  |  | 86 |  |  | — |  |  | — |  |  | 661 |
Total mortgages(1) |  | $ | 9,119 |  |  | $ | 6,309 |  |  | $ | — |  |  | $ | — |  |  | $ | 15,428 |
Loans |  | $ | 13,107 |  |  | $ | 13,773 |  |  | $ | 3,798 |  |  | $ | 3,840 |  |  | $ | 34,518 |
Total mortgages and loans | $ | 22,226 |  |  | $ | 20,082 |  |  | $ | 3,798 |  |  | $ | 3,840 |  |  | $ | 49,946 |
(1) $4,008 of mortgages in Canada are insured by the CMHC. The contractual maturities of debt securities are shown in the following table. Actual maturities could differ from contractual maturities because of the borrower's right to call or extend or right to prepay obligations, with or without prepayment penalties.
As at December 31, | 2021 | 2020
| Fair value through profit or loss | Available- for-sale | Total debt securities | Fair value through profit or loss | Available- for-sale | Total debt securities
Due in 1 year or less |  | $ | 2,505 |  |  | $ | 1,373 |  |  | $ | 3,878 |  |  | $ | 3,048 |  |  | $ | 721 |  |  | $ | 3,769 |
Due in years 2-5 |  | 10,475 |  |  | 4,971 |  |  | 15,446 |  |  | 10,526 |  |  | 3,549 |  |  | 14,075 |
Due in years 6-10 |  | 11,328 |  |  | 3,350 |  |  | 14,678 |  |  | 10,459 |  |  | 3,540 |  |  | 13,999 |
Due after 10 years |  | 51,690 |  |  | 3,035 |  |  | 54,725 |  |  | 53,801 |  |  | 3,445 |  |  | 57,246 |
Total debt securities |  | $ | 75,998 |  |  | $ | 12,729 |  |  | $ | 88,727 |  |  | $ | 77,834 |  |  | $ | 11,255 |  |  | $ | 89,089 |
The carrying value of mortgages by scheduled maturity, before allowances for losses, is as follows:
As at December 31, | 2021 |  | 2020 |
Due in 1 year or less |  | $ | 884 |  |  | $ | 1,230 |
Due in years 2-5 |  | 6,172 |  |  | 5,465 |
Due in years 6-10 |  | 5,979 |  |  | 5,884 |
Due after 10 years |  | 2,530 |  |  | 2,915 |
Total mortgages |  | $ | 15,565 |  |  | $ | 15,494 |
The carrying value of loans by scheduled maturity, before allowances for losses, is as follows:
As at December 31, | 2021 | 2020 |
Due in 1 year or less |  | $ | 1,772 |  |  | $ | 2,192 |
Due in years 2-5 |  | 7,108 |  |  | 6,954 |
Due in years 6-10 |  | 7,393 |  |  | 6,670 |
Due after 10 years |  | 19,986 |  |  | 18,751 |
Total loans |  | $ | 36,259 |  |  | $ | 34,567 |
Schedule of liabilities carried at fair value | Our assets and liabilities that are carried at fair value on a recurring basis by hierarchy level are as follows:
As at | December 31, 2021 | December 31, 2020
|  | Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash, cash equivalents and short-term securities |  | $ | 10,923 |  |  | $ | 1,355 |  |  | $ | — |  |  | $ | 12,278 |  |  | $ | 12,428 |  |  | $ | 1,099 |  |  | $ | — |  |  | $ | 13,527 |
Debt securities – fair value through profit or loss |  | 1,503 |  |  | 74,333 |  |  | 162 |  |  | 75,998 |  |  | 1,537 |  |  | 76,072 |  |  | 225 |  |  | 77,834 |
Debt securities – available-for-sale |  | 770 |  |  | 11,916 |  |  | 43 |  |  | 12,729 |  |  | 796 |  |  | 10,392 |  |  | 67 |  |  | 11,255 |
Equity securities – fair value through profit or loss |  | 4,429 |  |  | 3,013 |  |  | 96 |  |  | 7,538 |  |  | 3,777 |  |  | 2,411 |  |  | 181 |  |  | 6,369 |
Equity securities – available-for-sale |  | 1,414 |  |  | 87 |  |  | 74 |  |  | 1,575 |  |  | 144 |  |  | 71 |  |  | 47 |  |  | 262 |
Derivative assets |  | 26 |  |  | 1,557 |  |  | — |  |  | 1,583 |  |  | 36 |  |  | 2,124 |  |  | — |  |  | 2,160 |
Other invested assets |  | 1,189 |  |  | 377 |  |  | 3,650 |  |  | 5,216 |  |  | 1,094 |  |  | 428 |  |  | 2,645 |  |  | 4,167 |
Investment properties |  | — |  |  | — |  |  | 9,109 |  |  | 9,109 |  |  | — |  |  | — |  |  | 7,516 |  |  | 7,516 |
Total invested assets measured at fair value |  | $ | 20,254 |  |  | $ | 92,638 |  |  | $ | 13,134 |  |  | $ | 126,026 |  |  | $ | 19,812 |  |  | $ | 92,597 |  |  | $ | 10,681 |  |  | $ | 123,090 |
Investments for account of segregated fund holders | 28,637 |  |  | 110,748 |  |  | 611 |  |  | 139,996 |  |  | 26,832 |  |  | 98,539 |  |  | 550 |  |  | 125,921 |
Total assets measured at fair value |  | $ | 48,891 |  |  | $ | 203,386 |  |  | $ | 13,745 |  |  | $ | 266,022 |  |  | $ | 46,644 |  |  | $ | 191,136 |  |  | $ | 11,231 |  |  | $ | 249,011 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment contract liabilities |  | $ | — |  |  | $ | — |  |  | $ | 9 |  |  | $ | 9 |  |  | $ | — |  |  | $ | — |  |  | $ | 2 |  |  | $ | 2 |
Derivative liabilities |  | 9 |  |  | 1,383 |  |  | — |  |  | 1,392 |  |  | 13 |  |  | 1,731 |  |  | — |  |  | 1,744 |
Other liabilities – obligations for securities borrowing | — |  |  | 51 |  |  | — |  |  | 51 |  |  | — |  |  | — |  |  | — |  |  | — |
Total liabilities measured at fair value |  | $ | 9 |  |  | $ | 1,434 |  |  | $ | 9 |  |  | $ | 1,452 |  |  | $ | 13 |  |  | $ | 1,731 |  |  | $ | 2 |  |  | $ | 1,746 |
Fair value and foreign currency changes on assets and liabilities presented in our Consolidated Statements of Operations consist of the following:
For the years ended December 31, |  |  |  |  |  |  |  |  |  |  | 2021 |  | 2020
Fair value change: |  |  |  |  |  |  |  |  |  |  |  |  |
Cash, cash equivalents and short-term securities |  |  |  |  |  |  |  |  |  |  | $ | (3) |  |  | $ | (10) |
Debt securities |  |  |  |  |  |  |  |  |  |  | (3,892) |  |  | 5,209 |
Equity securities |  |  |  |  |  |  |  |  |  |  | 825 |  |  | 357 |
Derivative investments |  |  |  |  |  |  |  |  |  |  | 191 |  |  | 1,306 |
Other invested assets |  |  |  |  |  |  |  |  |  |  | 444 |  |  | (3) |
Other liabilities - obligations for securities borrowing |  |  |  |  |  |  |  |  |  |  | (2) |  |  | — |
Total change in fair value through profit or loss assets and liabilities |  |  |  |  |  |  |  |  |  |  | (2,437) |  |  | 6,859 |
Fair value changes on investment properties |  |  |  |  |  |  |  |  |  |  | 1,070 |  |  | 19 |
Foreign exchange gains (losses)(1) |  |  |  |  |  |  |  |  |  |  | (418) |  |  | (18) |
Fair value and foreign currency changes on assets and liabilities |  |  |  |  |  |  |  |  |  |  | $ | (1,785) |  |  | $ | 6,860 |
(1) Primarily arises from the translation of foreign currency denominated AFS monetary assets and mortgage and loans. Any offsetting amounts arising from foreign currency derivatives are included in the fair value change on derivative investments.
Schedule of assets carried at fair value | Our assets and liabilities that are carried at fair value on a recurring basis by hierarchy level are as follows:
As at | December 31, 2021 | December 31, 2020
|  | Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash, cash equivalents and short-term securities |  | $ | 10,923 |  |  | $ | 1,355 |  |  | $ | — |  |  | $ | 12,278 |  |  | $ | 12,428 |  |  | $ | 1,099 |  |  | $ | — |  |  | $ | 13,527 |
Debt securities – fair value through profit or loss |  | 1,503 |  |  | 74,333 |  |  | 162 |  |  | 75,998 |  |  | 1,537 |  |  | 76,072 |  |  | 225 |  |  | 77,834 |
Debt securities – available-for-sale |  | 770 |  |  | 11,916 |  |  | 43 |  |  | 12,729 |  |  | 796 |  |  | 10,392 |  |  | 67 |  |  | 11,255 |
Equity securities – fair value through profit or loss |  | 4,429 |  |  | 3,013 |  |  | 96 |  |  | 7,538 |  |  | 3,777 |  |  | 2,411 |  |  | 181 |  |  | 6,369 |
Equity securities – available-for-sale |  | 1,414 |  |  | 87 |  |  | 74 |  |  | 1,575 |  |  | 144 |  |  | 71 |  |  | 47 |  |  | 262 |
Derivative assets |  | 26 |  |  | 1,557 |  |  | — |  |  | 1,583 |  |  | 36 |  |  | 2,124 |  |  | — |  |  | 2,160 |
Other invested assets |  | 1,189 |  |  | 377 |  |  | 3,650 |  |  | 5,216 |  |  | 1,094 |  |  | 428 |  |  | 2,645 |  |  | 4,167 |
Investment properties |  | — |  |  | — |  |  | 9,109 |  |  | 9,109 |  |  | — |  |  | — |  |  | 7,516 |  |  | 7,516 |
Total invested assets measured at fair value |  | $ | 20,254 |  |  | $ | 92,638 |  |  | $ | 13,134 |  |  | $ | 126,026 |  |  | $ | 19,812 |  |  | $ | 92,597 |  |  | $ | 10,681 |  |  | $ | 123,090 |
Investments for account of segregated fund holders | 28,637 |  |  | 110,748 |  |  | 611 |  |  | 139,996 |  |  | 26,832 |  |  | 98,539 |  |  | 550 |  |  | 125,921 |
Total assets measured at fair value |  | $ | 48,891 |  |  | $ | 203,386 |  |  | $ | 13,745 |  |  | $ | 266,022 |  |  | $ | 46,644 |  |  | $ | 191,136 |  |  | $ | 11,231 |  |  | $ | 249,011 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment contract liabilities |  | $ | — |  |  | $ | — |  |  | $ | 9 |  |  | $ | 9 |  |  | $ | — |  |  | $ | — |  |  | $ | 2 |  |  | $ | 2 |
Derivative liabilities |  | 9 |  |  | 1,383 |  |  | — |  |  | 1,392 |  |  | 13 |  |  | 1,731 |  |  | — |  |  | 1,744 |
Other liabilities – obligations for securities borrowing | — |  |  | 51 |  |  | — |  |  | 51 |  |  | — |  |  | — |  |  | — |  |  | — |
Total liabilities measured at fair value |  | $ | 9 |  |  | $ | 1,434 |  |  | $ | 9 |  |  | $ | 1,452 |  |  | $ | 13 |  |  | $ | 1,731 |  |  | $ | 2 |  |  | $ | 1,746 |
Debt securities - fair value through profit or loss consist of the following:
As at | December 31, 2021 | December 31, 2020
|  | Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Canadian federal government |  | $ | — |  |  | $ | 4,783 |  |  | $ | 15 |  |  | $ | 4,798 |  |  | $ | — |  |  | $ | 4,546 |  |  | $ | 14 |  |  | $ | 4,560 |
Canadian provincial and municipal government |  | — |  |  | 15,930 |  |  | — |  |  | 15,930 |  |  | — |  |  | 16,909 |  |  | — |  |  | 16,909 |
U.S. government and agency |  | 1,503 |  |  | 139 |  |  | — |  |  | 1,642 |  |  | 1,537 |  |  | 141 |  |  | — |  |  | 1,678 |
Other foreign government |  | — |  |  | 4,747 |  |  | 7 |  |  | 4,754 |  |  | — |  |  | 5,274 |  |  | 7 |  |  | 5,281 |
Corporate |  | — |  |  | 41,914 |  |  | 138 |  |  | 42,052 |  |  | — |  |  | 42,507 |  |  | 157 |  |  | 42,664 |
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial mortgage-backed securities |  | — |  |  | 2,221 |  |  | 2 |  |  | 2,223 |  |  | — |  |  | 2,199 |  |  | 6 |  |  | 2,205 |
Residential mortgage-backed securities |  | — |  |  | 2,565 |  |  | — |  |  | 2,565 |  |  | — |  |  | 2,459 |  |  | — |  |  | 2,459 |
Collateralized debt obligations |  | — |  |  | 351 |  |  | — |  |  | 351 |  |  | — |  |  | 389 |  |  | — |  |  | 389 |
Other |  | — |  |  | 1,683 |  |  | — |  |  | 1,683 |  |  | — |  |  | 1,648 |  |  | 41 |  |  | 1,689 |
Total debt securities – fair value through profit or loss |  | $ | 1,503 |  |  | $ | 74,333 |  |  | $ | 162 |  |  | $ | 75,998 |  |  | $ | 1,537 |  |  | $ | 76,072 |  |  | $ | 225 |  |  | $ | 77,834 |
Debt securities - available-for-sale consist of the following:
As at | December 31, 2021 | December 31, 2020
|  | Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Canadian federal government |  | $ | — |  |  | $ | 2,303 |  |  | $ | — |  |  | $ | 2,303 |  |  | $ | — |  |  | $ | 1,929 |  |  | $ | — |  |  | $ | 1,929 |
Canadian provincial and municipal government |  | — |  |  | 1,149 |  |  | — |  |  | 1,149 |  |  | — |  |  | 1,333 |  |  | — |  |  | 1,333 |
U.S. government and agency |  | 770 |  |  | 1 |  |  | — |  |  | 771 |  |  | 796 |  |  | 1 |  |  | — |  |  | 797 |
Other foreign government |  | — |  |  | 756 |  |  | 1 |  |  | 757 |  |  | — |  |  | 822 |  |  | 1 |  |  | 823 |
Corporate |  | — |  |  | 5,473 |  |  | 41 |  |  | 5,514 |  |  | — |  |  | 4,258 |  |  | 52 |  |  | 4,310 |
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Commercial mortgage-backed securities |  | — |  |  | 761 |  |  | 1 |  |  | 762 |  |  | — |  |  | 750 |  |  | 2 |  |  | 752 |
Residential mortgage-backed securities |  | — |  |  | 522 |  |  | — |  |  | 522 |  |  | — |  |  | 292 |  |  | — |  |  | 292 |
Collateralized debt obligations |  | — |  |  | 505 |  |  | — |  |  | 505 |  |  | — |  |  | 531 |  |  | — |  |  | 531 |
Other |  | — |  |  | 446 |  |  | — |  |  | 446 |  |  | — |  |  | 476 |  |  | 12 |  |  | 488 |
Total debt securities – available-for-sale |  | $ | 770 |  |  | $ | 11,916 |  |  | $ | 43 |  |  | $ | 12,729 |  |  | $ | 796 |  |  | $ | 10,392 |  |  | $ | 67 |  |  | $ | 11,255 |
During 2021 and 2020, we did not have any significant transfers between Level 1 and Level 2. Fair value and foreign currency changes on assets and liabilities presented in our Consolidated Statements of Operations consist of the following:
For the years ended December 31, |  |  |  |  |  |  |  |  |  |  | 2021 |  | 2020
Fair value change: |  |  |  |  |  |  |  |  |  |  |  |  |
Cash, cash equivalents and short-term securities |  |  |  |  |  |  |  |  |  |  | $ | (3) |  |  | $ | (10) |
Debt securities |  |  |  |  |  |  |  |  |  |  | (3,892) |  |  | 5,209 |
Equity securities |  |  |  |  |  |  |  |  |  |  | 825 |  |  | 357 |
Derivative investments |  |  |  |  |  |  |  |  |  |  | 191 |  |  | 1,306 |
Other invested assets |  |  |  |  |  |  |  |  |  |  | 444 |  |  | (3) |
Other liabilities - obligations for securities borrowing |  |  |  |  |  |  |  |  |  |  | (2) |  |  | — |
Total change in fair value through profit or loss assets and liabilities |  |  |  |  |  |  |  |  |  |  | (2,437) |  |  | 6,859 |
Fair value changes on investment properties |  |  |  |  |  |  |  |  |  |  | 1,070 |  |  | 19 |
Foreign exchange gains (losses)(1) |  |  |  |  |  |  |  |  |  |  | (418) |  |  | (18) |
Fair value and foreign currency changes on assets and liabilities |  |  |  |  |  |  |  |  |  |  | $ | (1,785) |  |  | $ | 6,860 |
(1) Primarily arises from the translation of foreign currency denominated AFS monetary assets and mortgage and loans. Any offsetting amounts arising from foreign currency derivatives are included in the fair value change on derivative investments.
Schedule of interest and other investment income | Interest and other investment income presented in our Consolidated Statements of Operations consist of the following:
For the years ended December 31, |  | 2021 |  | 2020
Interest income: |  |  |  |
Cash, cash equivalents and short-term securities |  | $ | 25 |  |  | $ | 71 |
Debt securities - fair value through profit or loss |  | 2,429 |  |  | 2,485 |
Debt securities - available-for-sale |  | 256 |  |  | 317 |
Mortgages and loans |  | 2,117 |  |  | 2,189 |
Derivative investments |  | 107 |  |  | 46 |
Policy loans |  | 160 |  |  | 188 |
Total interest income |  | 5,094 |  |  | 5,296 |
Equity securities - dividends on fair value through profit or loss |  | 209 |  |  | 165 |
Equity securities - dividends on available-for-sale |  | 5 |  |  | 4 |
Investment properties rental income(1) |  | 543 |  |  | 551 |
Investment properties expenses |  | (235) |  |  | (243) |
Other income |  | 922 |  |  | (154) |
Investment expenses and taxes |  | (266) |  |  | (212) |
Total interest and other investment income |  | $ | 6,272 |  |  | $ | 5,407 |
(1) Includes operating lease rental income from investment properties.
Schedule of fair values of derivative assets and liabilities by type of hedge | The fair values of derivative financial instruments by major class of derivatives are as follows:
As at December 31, |  | 2021 |  | 2020
|  | Fair value |  | Fair value
|  | Assets | Liabilities |  | Assets |  | Liabilities
Interest rate contracts |  | $ | 942 |  |  | $ | (366) |  |  | $ | 1,409 |  |  | $ | (340) |
Foreign exchange contracts |  | 527 |  |  | (1,018) |  |  | 659 |  |  | (1,382) |
Other contracts |  | 114 |  |  | (8) |  |  | 92 |  |  | (22) |
Total derivatives |  | $ | 1,583 |  |  | $ | (1,392) |  |  | $ | 2,160 |  |  | $ | (1,744) |
The following table presents the fair values of derivative assets and liabilities categorized by type of hedge for accounting purposes and derivative investments:
As at December 31, | 2021 | 2020
| Total notional amount |  | Fair value | Total notional amount |  | Fair value
|  | Assets | Liabilities |  | Assets | Liabilities
Derivative investments(1) |  | $ | 64,761 |  |  | $ | 1,536 |  |  | $ | (1,390) |  |  | $ | 61,680 |  |  | $ | 2,140 |  |  | $ | (1,722) |
Fair value hedges |  | 414 |  |  | 1 |  |  | (2) |  |  | 278 |  |  | 5 |  |  | (2) |
Cash flow hedges |  | 791 |  |  | 46 |  |  | — |  |  | 834 |  |  | 15 |  |  | (20) |
Total derivatives |  | $ | 65,966 |  |  | $ | 1,583 |  |  | $ | (1,392) |  |  | $ | 62,792 |  |  | $ | 2,160 |  |  | $ | (1,744) |
(1) Derivative investments are derivatives that have not been designated as hedges for accounting purposes.
Schedule of hedge ineffectiveness | Hedge ineffectiveness recognized in Interest and other investment income consists of the following:
For the years ended December 31, |  | 2021 |  | 2020
Gains (losses) on the hedged items attributable to the hedged risk |  | $ | (6) |  |  | $ | (209) |
Gains (losses) on the hedging derivatives |  | 8 |  |  | 207 |
Net ineffectiveness on fair value hedges |  | $ | 2 |  |  | $ | (2) |

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