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Derivative and Hedging Instruments (Tables)
 12 Months Ended
Dec. 31, 2021
Text block [abstract]  
Summary of Gross Notional Amount and Fair Value of Derivative Instruments
The following table presents gross notional amount and fair value of derivative instruments by the underlying risk exposure.
 
As at December 31,
  
2021
           2020  
        Notional
amount		     Fair value           Notional
amount		     Fair value  
Type of hedge
   Instrument type   Assets     Liabilities           Assets     Liabilities  
Qualifying hedge accounting relationships
                                                        
Fair value hedges
   Interest rate swaps  
$
–
 
  
$
–
 
  
$
–
 
          
$
82
 
  
$
1
 
  
$
–
 
    Foreign currency swaps  
 
57
 
  
 
1
 
  
 
1
 
          
 
57
 
  
 
–
 
  
 
4
 
Cash flow hedges
   Foreign currency swaps  
 
1,251
 
  
 
5
 
  
 
379
 
          
 
1,756
 
  
 
24
 
  
 
468
 
    Equity contracts  
 
145
 
  
 
10
 
  
 
–
 
          
 
127
 
  
 
6
 
  
 
–
 
Net investment hedges
   Forward contracts  
 
671
 
  
 
9
 
  
 
–
 
          
 
628
 
  
 
1
 
  
 
10
 
Total derivatives in qualifying hedge accounting relationships
  
 
2,124
 
  
 
25
 
  
 
380
 
             2,650       32       482  
Derivatives not designated in qualifying hedge accounting relationships
                                                        
    Interest rate swaps  
 
300,556
 
  
 
11,832
 
  
 
7,347
 
          
 
287,182
 
  
 
21,332
 
  
 
12,190
 
    Interest rate futures  
 
11,944
 
  
 
–
 
  
 
–
 
          
 
16,750
 
  
 
–
 
  
 
–
 
    Interest rate options  
 
10,708
 
  
 
514
 
  
 
–
 
          
 
11,622
 
  
 
663
 
  
 
–
 
    Foreign currency swaps  
 
36,405
 
  
 
790
 
  
 
1,722
 
          
 
31,491
 
  
 
838
 
  
 
1,659
 
    Currency rate futures  
 
3,086
 
  
 
–
 
  
 
–
 
          
 
3,467
 
  
 
–
 
  
 
–
 
    Forward contracts  
 
45,295
 
  
 
2,674
 
  
 
562
 
          
 
38,853
 
  
 
3,833
 
  
 
565
 
    Equity contracts  
 
18,577
 
  
 
1,667
 
  
 
27
 
          
 
15,738
 
  
 
1,092
 
  
 
66
 
    Credit default swaps  
 
44
 
  
 
1
 
  
 
–
 
          
 
241
 
  
 
3
 
  
 
–
 
 
   Equity futures  
 
11,359
 
  
 
–
 
  
 
–
 
          
 
10,984
 
  
 
–
 
  
 
–
 
Total derivatives not designated in qualifying hedge accounting relationships
  
 
437,974
 
  
 
17,478
 
  
 
9,658
 
             416,328       27,761       14,480  
Total derivatives
  
$
  440,098
 
  
$
  17,503
 
  
$
  10,038
 
           $   418,978     $   27,793     $   14,962  
Summary of Gross Notional Amount by Remaining Term to Maturity, Total Fair Values (Including Accrued Interest), Credit Risk Equivalent and Risk Weighted Amount by Contract Type
The following table presents the fair values of the derivative instruments by the remaining term to maturity. Fair values disclosed below do not incorporate the impact of master netting agreements (refer to note 8).
 
    Remaining term to maturity        
As at December 31, 2021
  
Less than
1 year
    
1 to 3
years
    
3 to 5
years
    
Over 5
years
     Total  
Derivative assets
  
$
2,500
 
  
$
1,803
 
  
$
1,000
 
  
$
12,200
 
  
$
17,503
 
Derivative liabilities
  
 
294
 
  
 
387
 
  
 
379
 
  
 
8,978
 
  
 
10,038
 
     
    Remaining term to maturity        
As at December 31, 2020  
Less than
1 year
    
1 to 3
years
    
3 to 5
years
    
Over 5
years
     Total  
Derivative assets
   $   1,656     $   3,524     $   1,228     $   21,385     $   27,793  
Derivative liabilities
     386       250       555       13,771       14,962  
The following table presents gross notional amount by the remaining term to maturity, total fair value (including accrued interest), credit equivalent amount and capital requirement by contract type.
 
    Remaining term to maturity (notional amounts)           Fair value          
Capital
requirement
(2)
  
As at December 31, 2021
  
Under 1
year
     1 to 
5 years		     Over
 5 years		     Total            Positive     Negative     Net    
Credit
equivalent
amount
(1)
  
Interest rate contracts
                                                                                
OTC swap contracts
  
$
4,554
 
  
$
21,884
 
  
$
90,592
 
  
$
117,030
 
          
$
12,112
 
  
$
(7,717
) 
  
$
4,395
 
  
$
1,582
 
  
$
29
 
Cleared swap contracts
  
 
21,722
 
  
 
27,665
 
  
 
134,139
 
  
 
183,526
 
          
 
441
 
  
 
(453
) 
  
 
(12
) 
  
 
–
 
  
 
–
 
Forward contracts
  
 
14,636
 
  
 
15,791
 
  
 
741
 
  
 
31,168
 
          
 
2,625
 
  
 
(483
) 
  
 
2,142
 
  
 
299
 
  
 
5
 
Futures
  
 
11,944
 
  
 
–
 
  
 
–
 
  
 
11,944
 
          
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
Options purchased
  
 
1,406
 
  
 
2,789
 
  
 
6,513
 
  
 
10,708
 
  
 
 
 
  
 
515
 
  
 
–
 
  
 
515
 
  
 
113
 
  
 
9
 
Subtotal
  
 
54,262
 
  
 
68,129
 
  
 
231,985
 
  
 
354,376
 
          
 
15,693
 
  
 
(8,653
) 
  
 
7,040
 
  
 
1,994
 
  
 
43
 
Foreign exchange
                                                                                
Swap contracts
  
 
1,941
 
  
 
8,869
 
  
 
26,903
 
  
 
37,713
 
          
 
801
 
  
 
(2,181
) 
  
 
(1,380
) 
  
 
1,302
 
  
 
25
 
Forward contracts
  
 
14,798
 
  
 
–
 
  
 
–
 
  
 
14,798
 
          
 
58
 
  
 
(79
) 
  
 
(21
) 
  
 
85
 
  
 
–
 
Futures
  
 
3,086
 
  
 
–
 
  
 
–
 
  
 
3,086
 
          
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
Credit derivatives
  
 
11
 
  
 
33
 
  
 
–
 
  
 
44
 
          
 
1
 
  
 
–
 
  
 
1
 
  
 
–
 
  
 
–
 
Equity contracts
                                                                                
Swap contracts
  
 
669
 
  
 
323
 
  
 
–
 
  
 
992
 
          
 
57
 
  
 
(10
) 
  
 
47
 
  
 
29
 
  
 
–
 
Futures
  
 
11,359
 
  
 
–
 
  
 
–
 
  
 
11,359
 
          
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
Options purchased
  
 
10,974
 
  
 
6,716
 
  
 
40
 
  
 
17,730
 
  
 
 
 
  
 
1,616
 
  
 
(17
) 
  
 
1,599
 
  
 
766
 
  
 
8
 
Subtotal including accrued interest
  
 
97,100
 
  
 
84,070
 
  
 
258,928
 
  
 
440,098
 
          
 
18,226
 
  
 
(10,940
) 
  
 
7,286
 
  
 
4,176
 
  
 
76
 
Less accrued interest
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
  
 
 
 
  
 
723
 
  
 
(902
) 
  
 
(179
) 
  
 
–
 
  
 
–
 
Total
  
$
  97,100
 
  
$
  84,070
 
  
$
  258,928
 
  
$
  440,098
 
  
 
 
 
  
$
  17,503
 
  
$
  (10,038)
 
  
$
  7,465
 
  
$
  4,176
 
  
$
  76
 
           
    Remaining term to maturity (notional amounts)           Fair value           Capital
requirement
(2)
  
As at December 31, 2020  
Under 1
year
     1 to
5 years		    

Over
5 years
     Total            Positive     Negative     Net    
Credit
equivalent
amount
(1)
  
Interest rate contracts
                                                                                
OTC swap contracts
   $ 7,567     $ 20,852     $ 110,166     $ 138,585             $ 21,803     $ (12,816 )    $ 8,987     $ 2,607     $ 73  
Cleared swap contracts
     2,314       18,784       127,581       148,679               432       (424 )      8       –       –  
Forward contracts
     11,092       18,355       1,259       30,706               3,739       (462 )      3,277       629       12  
Futures
     16,750       –       –       16,750               –       –       –       –       –  
Options purchased
     1,572       3,922       6,128       11,622    
 
 
 
     664       –       664       138       4  
Subtotal
     39,295       61,913       245,134       346,342               26,638       (13,702 )      12,936       3,374       89  
Foreign exchange
                                                                                
Swap contracts
     1,670       8,490       23,144       33,304               855       (2,195 )      (1,340 )      1,112       23  
Forward contracts
     8,741       34       –       8,775               95       (113 )      (18 )      56       –  
Futures
     3,467       –       –       3,467               –       –       –       –       –  
Credit derivatives
     192       49       –       241               3       –       3       –       –  
Equity contracts
                                                                                
Swap contracts
     1,227       289       –       1,516               43       (51 )      (8 )      27       –  
Futures
     10,984       –       –       10,984               –       –       –       –       –  
Options purchased
     8,168       6,181       –       14,349    
 
 
 
     1,051       (15 )      1,036       500       5  
Subtotal including accrued interest
     73,744       76,956       268,278       418,978               28,685       (16,076 )      12,609       5,069       117  
Less accrued interest
     –       –       –       –    
 
 
 
     892       (1,114 )      (222 )      –       –  
Total
   $   73,744     $   76,956     $   268,278     $   418,978    
 
 
 
   $   27,793     $   (14,962 )    $   12,831     $   5,069     $   117  
 
(1)
Credit equivalent amount is the sum of replacement cost and the potential future credit exposure less any collateral held. Replacement cost represents the current cost of replacing all contracts with a positive fair value. The amounts take into consideration legal contracts that permit offsetting of positions. The potential future credit exposure is calculated based on a formula prescribed by OSFI.
(2)
Capital requirement represents the credit equivalent amount, weighted according to the creditworthiness of the counterparty, as prescribed by OSFI.
Summary of Fair Value and the Fair Value Hierarchy of Derivative Instruments
Fair value and the fair value hierarchy of derivative instruments
 
As at December 31, 2021
   Fair value     Level 1     Level 2     Level 3  
Derivative assets
                                
Interest rate contracts
  
$
14,971
 
  
$
–
 
  
$
12,510
 
  
$
2,461
 
Foreign exchange contracts
  
 
854
 
  
 
–
 
  
 
854
 
  
 
–
 
Equity contracts
  
 
1,677
 
  
 
–
 
  
 
1,616
 
  
 
61
 
Credit default swaps
  
 
1
 
  
 
–
 
  
 
1
 
  
 
–
 
Total derivative assets
  
$
17,503
 
  
$
–
 
  
$
14,981
 
  
$
2,522
 
Derivative liabilities
                                
Interest rate contracts
  
$
7,829
 
  
$
–
 
  
$
7,419
 
  
$
410
 
Foreign exchange contracts
  
 
2,182
 
  
 
–
 
  
 
2,181
 
  
 
1
 
Equity contracts
  
 
27
 
  
 
–
 
  
 
17
 
  
 
10
 
Total derivative liabilities
  
$
  10,038
 
  
$
  –
 
  
$
  9,617
 
  
$
  421
 
         
As at December 31, 2020   Fair value     Level 1     Level 2     Level 3  
Derivative assets
                                
Interest rate contracts
   $ 25,735     $ –     $ 21,902     $ 3,833  
Foreign exchange contracts
     957       –       957       –  
Equity contracts
     1,098       –       1,051       47  
Credit default swaps
     3       –       3       –  
Total derivative assets
   $ 27,793     $ –     $ 23,913     $ 3,880  
Derivative liabilities
                                
Interest rate contracts
   $ 12,652     $ –     $ 12,271     $ 381  
Foreign exchange contracts
     2,244       –       2,239       5  
Equity contracts
     66       –       15       51  
Total derivative liabilities
   $   14,962     $   –     $   14,525     $   437  
Summary of Recognized Gains Losses on Derivatives and Hedged Items in Fair Value Hedges in Investment Income
The Company recognizes gains and losses on derivatives and the related hedged items in fair value hedges in investment income. These investment gains (losses) are shown in the following table.
 
For the year ended December 31, 2021
  
Hedged items in qualifying
fair value hedging
relationships
   Gains (losses)
recognized on
derivatives		     Gains (losses)
recognized for
hedged items		     Ineffectiveness
recognized in
investment
income		  
Interest rate swaps
  
Fixed rate liabilities
  
$
–
 
  
$
–
 
  
$
–
 
Foreign currency swaps
  
Fixed rate assets
  
 
4
 
  
 
(2
) 
  
 
2
 
Total
  
 
  
$
4
 
  
$
(2
) 
  
$
2
 
         
For the year ended December 31, 2020  
Hedged items in qualifying
fair value hedging
relationships
   Gains (losses)
recognized on
derivatives		     Gains (losses)
recognized for
hedged items		     Ineffectiveness
recognized in
investment
income		  
Interest rate swaps
  
Fixed rate liabilities
   $ 4     $ (2 )    $ 2  
Foreign currency swaps
  
Fixed rate assets
     (2 )      3       1  
Total
  
 
   $   2     $   1     $   3  
Summary of Effects of Derivatives in Cash Flow Hedging Relationships
The effects of derivatives in cash flow hedging relationships on the Consolidated Statements of Income and the Consolidated Statements of Comprehensive Income are shown in the following table.
 
For the year ended December 31, 2021
   Hedged items in qualifying
cash flow hedging
relationships		   Gains (losses)
deferred in
AOCI on
derivatives		     Gains (losses)
reclassified
from AOCI into
investment
income		     Ineffectiveness
recognized in
investment
income		  
Foreign currency swaps
  
Fixed rate assets
  
$
(1
) 
  
$
(1
) 
  
$
–
 
   
Floating rate liabilities
  
 
89
 
  
 
3
 
  
 
–
 
   
Fixed rate liabilities
  
 
(19
) 
  
 
(21
) 
  
 
–
 
Equity contracts
  
Stock-based compensation
  
 
5
 
  
 
5
 
  
 
–
 
Total
  
 
  
$
  74
 
  
$
  (14)
 
  
$
  –
 
         
For the year ended December 31, 2020   Hedged items in qualifying
cash flow hedging
relationships		   Gains (losses)
deferred in
AOCI on
derivatives		     Gains (losses)
reclassified
from AOCI into
investment
income		     Ineffectiveness
recognized in
investment
income		  
Foreign currency swaps
  
Fixed rate assets
   $ 1     $ –     $ –  
   
Floating rate liabilities
     (64 )      14       –  
   
Fixed rate liabilities
     (14 )      (2 )      –  
Equity contracts
  
Stock-based compensation
     (2 )      16       –  
Total
  
 
   $   (79 )    $   28     $   –  
Summary of Effects of Net Investment Hedging Relationships
The effects of net investment hedging relationships on the Consolidated Statements of Income and the Consolidated Statements of Other Comprehensive Income are shown in the following table.
 
For the year ended December 31, 2021
   Gains (losses)
deferred in AOCI		     Gains (losses)
reclassified from
AOCI into
investment income		     Ineffectiveness
recognized in
investment
income		  
Non-functional
currency denominated debt
  
$
61
 
  
$
–
 
  
$
–
 
Forward contracts
  
 
59
 
  
 
–
 
  
 
–
 
Total
  
$
  120
 
  
$
  –
 
  
$
  –
 
For the year ended December 31, 2020   Gains (losses)
deferred in AOCI		     Gains (losses)
reclassified from
AOCI into
investment income		     Ineffectiveness
recognized in
investment
income		  
Non-functional
currency denominated debt
   $ 161     $ –     $ –  
Forward contracts
     (53 )      –       –  
Total
   $   108     $   –     $   –  
Summary of Investment Income on Derivatives Not Designated in Qualifying Hedge Accounting Relationships
Investment income on derivatives not designated in qualifying hedge accounting relationships
 
For the years ended December 31,
  
2021
     2020  
Interest rate swaps
  
$
(1,986
) 
   $ 2,423  
Interest rate futures
  
 
(687
) 
     894  
Interest rate options
  
 
(133
) 
     291  
Foreign currency swaps
  
 
(166
) 
     (55 ) 
Currency rate futures
  
 
66
 
     (47 ) 
Forward contracts
  
 
(1,751
) 
     3,785  
Equity futures
  
 
(2,140
) 
     (1,111 ) 
Equity contracts
  
 
871
 
     322  
Credit default swaps
  
 
(2
) 
     (4 ) 
Total
  
$
  (5,928)
 
   $   6,498