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Risk Management (Tables)

12 Months Ended

Dec. 31, 2021

Summary of Gross Carrying Amount of Financial Instruments Subject to Credit Exposure

The following table presents the gross carrying amount of financial instruments subject to credit exposure, without considering any collateral held or other credit enhancements.


As at December 31,	2021		2020
Debt securities
FVTPL	$	189,722	$	183,061
AFS		33,097		35,663
Other		1,320		–
Mortgages		52,014		50,207
Private placements		42,842		40,756
Policy loans		6,397		6,398
Loans to Bank clients		2,506		1,976
Derivative assets		17,503		27,793
Accrued investment income		2,641		2,523
Reinsurance assets		44,579		45,836
Other financial assets		6,242		6,156
Total	$	398,863	$	400,369

Summary of Credit Quality and Carrying Value of Commercial Mortgages and Private Placements

The following table presents the credit quality of commercial mortgages and private placements.


As at December 31, 2021	AAA		AA		A		BBB		BB		B and lower		Total
Commercial mortgages
Retail	$	113	$	1,340	$	5,179	$	1,936	$	228	$	2	$	8,798
Office		56		1,256		6,004		1,291		87		40		8,734
Multi-family residential		557		1,869		3,771		767		32		–		6,996
Industrial		47		376		2,808		328		–		–		3,559
Other		212		1,010		787		956		47		–		3,012
Total commercial mortgages		985		5,851		18,549		5,278		394		42		31,099
Agricultural mortgages		–		–		119		242		–		–		361
Private placements		976		5,720		16,147		16,220		1,161		2,618		42,842
Total	$	1,961	$	11,571	$	34,815	$	21,740	$	1,555	$	2,660	$	74,302

As at December 31, 2020	AAA		AA		A		BBB		BB		B and lower		Total
Commercial mortgages
Retail	$	110	$	1,339	$	4,761	$	2,242	$	168	$	1	$	8,621
Office		66		1,297		5,948		1,174		164		20		8,669
Multi-family residential		613		1,675		2,896		582		33		–		5,799
Industrial		25		320		2,353		259		3		–		2,960
Other		238		966		914		984		355		7		3,464
Total commercial mortgages		1,052		5,597		16,872		5,241		723		28		29,513
Agricultural mortgages		–		–		127		77		106		–		310
Private placements		1,061		4,829		15,585		15,825		1,206		2,250		40,756
Total	$	2,113	$	10,426	$	32,584	$	21,143	$	2,035	$	2,278	$	70,579

Summary of Carrying Value of Past Due but Not Impaired and Impaired Financial Assets

The following table presents past due but not impaired and impaired fin

ncial assets.


	Past due but not impaired
As at December 31, 2021	Less than 90 days		90 days and greater		Total		Total impaired
Debt securities
FVTPL	$	20	$	–	$	20	$	2
AFS		–		–		–		–
Private placements		63		–		63		175
Mortgages and loans to Bank clients		61		–		61		51
Other financial assets		261		47		308		–
Total	$	405	$	47	$	452	$	228

	Past due but not impaired
As at December 31, 2020	Less than 90 days		90 days and greater		Total		Total impaired
Debt securities
FVTPL	$	–	$	–	$	–	$	54
AFS		–		–		–		1
Private placements		30		–		30		170
Mortgages and loans to Bank clients		66		–		66		69
Other financial assets		56		58		114		2
Total	$	152	$	58	$	210	$	296

Summary of Company's Loans That are Considered Impaired

The following table presents gross carrying value and allowances for loan losses for impaired loans.


As at December 31, 2021	Gross carrying value		Allowances for loan losses		Net carrying value
Private placements	$	197	$	22	$	175
Mortgages and loans to Bank clients		73		22		51
Total	$	270	$	44	$	226

As at December 31, 2020	Gross carrying value		Allowances for loan losses		Net carrying value
Private placements	$	249	$	79	$	170
Mortgages and loans to Bank clients		97		28		69
Total	$	346	$	107	$	239

Summary of Reconciliation of Allowance for Loan Losses

The following table presents movement of allowance for loan losses during the year.


	2021									2020
For the years ended December 31,	Private placements			Mortgages and loans to Bank clients			Total			Private placements			Mortgages and loans to Bank clients			Total
Balance, January 1	$	79		$	28		$	107		$	4		$	16		$	20
Provisions		14			12			26			94			31			125
Recoveries		(58	)		(16	)		(74	)		(6	)		(6)			(12	)
Write-offs (1)		(13	)		(2	)		(15	)		(13	)		(13	)		(26	)
Balance, December 31	$	22		$	22		$	44		$	79		$	28		$	107

(1)	Includes disposals and impact of changes in foreign exchange rates.

Summary of Credit Default Swap Protection Sold

The following table presents details of the credit default swap protection sold by type of contract and external agency rating for the underlying reference security.


As at December 31, 2021	Notional amount (1)		Fair value		Weighted average maturity (in years) (2)
Single name CDS (3) – Corporate debt
A	$	16	$	–		1
BBB		28		1		2
Total single name CDS	$	44	$	1		2
Total CDS protection sold	$	44	$	1		2

As at December 31, 2020	Notional amount (1)		Fair value		Weighted average maturity (in years) (2)
Single name CDS (3) – Corporate debt
A	$	136	$	2		1
BBB		105		1		2
Total single name CDS	$	241	$	3		1
Total CDS protection sold	$	241	$	3		1

(1)	Notional amounts represent the maximum future payments the Company would have to pay its counterparties assuming a default of the underlying credit and zero recovery on the underlying issuer obligations.

(2)	The weighted average maturity of the CDS is weighted based on notional amounts.

(3)	Ratings are based on S&P where available followed by Moody’s, DBRS, and Fitch. If no rating is available from a rating agency, an internally developed rating is used.

Summary of Effect of Conditional Master Netting and Similar Arrangements

The following table presents the effect of conditional master netting and similar arrangements. Similar arrangements may include global master repurchase agreements, global master securities lending agreements, and any related rights to financial collateral.


				Related amounts not set off in the Consolidated Statements of Financial Position
As at December 31, 2021	Gross amounts of financial instruments (1)			Amounts subject to an enforceable master netting arrangement or similar agreements			Financial and cash collateral pledged (received) (2)			Net amount including financing entities (3)			Net amounts excluding financing entities
Financial assets
Derivative assets	$	18,226		$	(8,410	)	$	(9,522	)	$	294		$	294
Securities lending		564			–			(564	)		–			–
Reverse repurchase agreements		1,490			(183	)		(1,307	)		–			–
Total financial assets	$	20,280		$	(8,593	)	$	(11,393	)	$	294		$	294
Financial liabilities
Derivative liabilities	$	(10,940	)	$	8,410		$	2,250		$	(280	)	$	(79	)
Repurchase agreements		(536	)		183			353			–			–
Total financial liabilities	$	(11,476	)	$	8,593		$	2,603		$	(280	)	$	(79	)

				Related amounts not set off in the Consolidated Statements of Financial Position
As at December 31, 2020	Gross amounts of financial instruments (1)			Amounts subject to an enforceable master netting arrangement or similar agreements			Financial and cash collateral pledged (received) (2)			Net amount including financing entities (3)			Net amounts excluding financing entities
Financial assets
Derivative assets	$	28,685		$	(13,243	)	$	(15,323	)	$	119		$	119
Securities lending		889			–			(889	)		–			–
Reverse repurchase agreements		716			–			(715	)		1			1
Total financial assets	$	30,290		$	(13,243	)	$	(16,927	)	$	120		$	120
Financial liabilities
Derivative liabilities	$	(16,076	)	$	13,243		$	2,482		$	(351	)	$	(71	)
Repurchase agreements		(353	)		–			353			–			–
Total financial liabilities	$	(16,429	)	$	13,243		$	2,835		$	(351	)	$	(71	)

(1)	Financial assets and liabilities include accrued interest of $725 and $902, respectively (2020 – $892 and $1,114, respectively).

(2)

Financial and cash collateral exclude over-collateralization. As at December 31, 2021, the Company was over-collateralized on OTC derivative assets, OTC derivative liabilities, securities lending and reverse repurchase agreements and repurchase agreements in the amounts of $599, $875, $36 and $2, respectively (2020 – $1,373, $627, $74 and $nil, respectively). As at December 31, 2021, collateral pledged (received) does not include

collateral-in-transit

on OTC instruments or initial margin on exchange traded contracts or cleared contracts.

(3)	Includes derivative contracts entered between the Company and its financing entity which it does not consolidate. The Company does not exchange collateral on derivative contracts entered with this entity. Refer to note 17.

Summary of the Effect of Unconditional Netting

The following table presents the effect of unconditional netting.


As at December 31, 2021	Gross amounts of financial instruments			Amounts subject to an enforceable netting arrangement			Net amounts of financial instruments
Credit linked note (1)	$	1,054		$	(1,054	)	$	–
Variable surplus note		(1,054	)		1,054			–


As at December 31, 2020	Gross amounts of financial instruments			Amounts subject to an enforceable netting arrangement			Net amounts of financial instruments
Credit linked note (1)	$	932		$	(932	)	$	–
Variable surplus note		(932	)		932			–

(1)	As at December 31, 2021 and 2020, the Company had no fixed surplus notes outstanding, refer to note 18(g).

Schedule of Distribution of Debt Securities and Private Placements Portfolio by Sector and Industry

The following table presents debt securities and private placements portfolio by sector and industry.


	2021				2020
As at December 31,	Carrying value		% of total		Carrying value		% of total
Government and agency	$	84,244		32	$	85,357		33
Utilities		48,372		18		47,902		18
Financial		38,905		15		35,656		15
Consumer		32,671		12		29,684		11
Energy		19,637		7		20,963		8
Industrial		24,727		9		22,070		9
Other		18,425		7		17,850		6
Total	$	266,981		100	$	259,482		100

Schedule of Geographic Concentration of Insurance and Investment Contract Liabilities, Including Embedded Derivatives

The geographic concentration of the Company’s insurance and investment contract liabilities, including embedded derivatives, is shown below. The disclosure is based on the countries in which the business is written.


As at December 31, 2021	Gross liabilities		Reinsurance assets			Net liabilities
U.S. and Canada	$	271,090	$	(42,806	)	$	228,284
Asia and Other		124,398		(1,773	)		122,625
Total	$	395,488	$	(44,579	)	$	350,909

As at December 31, 2020	Gross liabilities		Reinsurance assets			Net liabilities
U.S. and Canada	$	273,848	$	(44,645)		$	229,203
Asia and Other		114,878		(1,191	)		113,687
Total	$	388,726	$	(45,836	)	$	342,890

Asset classes and individual investment risks [Member]

Statement [LineItems]

Schedule of Risk Concentrations


As at December 31,	2021		2020
Debt securities and private placements rated as investment grade BBB or higher (1)		97%		97%
Government debt securities as a per cent of total debt securities		36%		37%
Government private placements as a per cent of total private placements		11%		11%
Highest exposure to a single non-government debt security and private placement issuer	$	1,167	$	1,148
Largest single issuer as a per cent of the total equity portfolio		2%		2%
Income producing commercial office properties (2021 – 47% of real estate, 2020 – 53%)	$	6,244	$	6,745
Largest concentration of mortgages and real estate (2) – Ontario , Canada (2021 – 28%, 2020 – 28%)	$	18,253	$	17,367

(1)	Investment grade debt securities and private placements include 39% rated A, 17% rated AA and 15% rated AAA (2020 – 40%, 16% and 16%) investments based on external ratings where available.

(2)	Mortgages and real estate investments are diversified geographically and by property type.

Residential mortgages and loans to bank clients [Member]

Statement [LineItems]

Summary of Carrying Value of Residential Mortgages and Loans to Bank Clients

The following table presents credit quality of residential mortgages and loans to Bank clients.


	2021						2020
As at December 31,	Insured		Uninsured		Total		Insured		Uninsured		Total
Residential mortgages
Performing	$	7,264	$	13,272	$	20,536	$	6,349	$	13,980	$	20,329
Non-performing (1)		6		12		18		9		46		55
Loans to Bank clients
Performing		n/a		2,506		2,506		n/a		1,976		1,976
Non-performing (1)		n/a		–		–		n/a		–		–
Total	$	7,270	$	15,790	$	23,060	$	6,358	$	16,002	$	22,360

(1)	Non-performing refers to payments that are 90 days or more past due.