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Invested Assets and Investment Income | 12 Months Ended
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Dec. 31, 2023
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Invested Assets and Investment Income | Note 4 Invested Assets and Investment Income (a) Carrying values and fair values of invested assets
As at December 31, 2023 |  | FVTPL (1) |  |  | FVOCI (2) |  |  | Other (3) |  |  | Total carrying value |  |  | Total fair value (4) |
Cash and short-term securities (5) |  | $ | 1 |  |  | $ | 13,993 |  |  | $ | 6,344 |  |  | $ | 20,338 |  |  | $ | 20,338 |
Debt securities (6),(7) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Canadian government and agency |  |  | 1,219 |  |  |  | 19,769 |  |  |  | – |  |  |  | 20,988 |  |  |  | 20,988 |
U.S. government and agency |  |  | 1,303 |  |  |  | 26,287 |  |  |  | 888 |  |  |  | 28,478 |  |  |  | 28,251 |
Other government and agency |  |  | 90 |  |  |  | 30,576 |  |  |  | – |  |  |  | 30,666 |  |  |  | 30,666 |
Corporate |  |  | 2,372 |  |  |  | 127,190 |  |  |  | 484 |  |  |  | 130,046 |  |  |  | 129,899 |
Mortgage / asset-backed securities |  |  | 16 |  |  |  | 1,955 |  |  |  | – |  |  |  | 1,971 |  |  |  | 1,971 |
Public equities (FVTPL mandatory) |  |  | 25,531 |  |  |  | – |  |  |  | – |  |  |  | 25,531 |  |  |  | 25,531 |
Mortgages |  |  | 1,055 |  |  |  | 28,473 |  |  |  | 22,893 |  |  |  | 52,421 |  |  |  | 52,310 |
Private placements (7) |  |  | 654 |  |  |  | 44,952 |  |  |  | – |  |  |  | 45,606 |  |  |  | 45,606 |
Loans to Bank clients |  |  | – |  |  |  | – |  |  |  | 2,436 |  |  |  | 2,436 |  |  |  | 2,411 |
Real estate |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Own use property (8),(9) |  |  | – |  |  |  | – |  |  |  | 2,591 |  |  |  | 2,591 |  |  |  | 2,716 |
Investment property |  |  | – |  |  |  | – |  |  |  | 10,458 |  |  |  | 10,458 |  |  |  | 10,458 |
Other invested assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Alternative long-duration assets (10) |  |  | 29,671 |  |  |  | 360 |  |  |  | 11,403 |  |  |  | 41,434 |  |  |  | 42,313 |
Various other (11) |  |  | 126 |  |  |  | – |  |  |  | 4,120 |  |  |  | 4,246 |  |  |  | 4,246 |
Total invested assets |  | $ | 62,038 |  |  | $ | 293,555 |  |  | $ | 61,617 |  |  | $ | 417,210 |  |  | $ | 417,704 |
As at December 31, 2022 |  | FVTPL (1) |  |  | FVOCI (2) |  |  | Other (3) |  |  | Total carrying value |  |  | Total fair value (4) |
Cash and short-term securities (5) |  | $ | – |  |  | $ | 12,859 |  |  | $ | 6,294 |  |  | $ | 19,153 |  |  | $ | 19,153 |
Debt securities (6),(7) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Canadian government and agency |  |  | 987 |  |  |  | 20,279 |  |  |  | – |  |  |  | 21,266 |  |  |  | 21,266 |
U.S. government and agency |  |  | 1,378 |  |  |  | 22,446 |  |  |  | 912 |  |  |  | 24,736 |  |  |  | 24,494 |
Other government and agency |  |  | 159 |  |  |  | 26,314 |  |  |  | – |  |  |  | 26,473 |  |  |  | 26,473 |
Corporate |  |  | 2,209 |  |  |  | 126,371 |  |  |  | 499 |  |  |  | 129,079 |  |  |  | 128,910 |
Mortgage / asset-backed securities |  |  | 22 |  |  |  | 2,266 |  |  |  | – |  |  |  | 2,288 |  |  |  | 2,288 |
Public equities (FVTPL mandatory) |  |  | 23,519 |  |  |  | – |  |  |  | – |  |  |  | 23,519 |  |  |  | 23,519 |
Mortgages |  |  | 1,138 |  |  |  | 28,621 |  |  |  | 22,006 |  |  |  | 51,765 |  |  |  | 51,372 |
Private placements (7) |  |  | 516 |  |  |  | 41,494 |  |  |  | – |  |  |  | 42,010 |  |  |  | 42,010 |
Loans to Bank clients |  |  | – |  |  |  | – |  |  |  | 2,781 |  |  |  | 2,781 |  |  |  | 2,760 |
Real estate |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Own use property (8),(9) |  |  | – |  |  |  | – |  |  |  | 2,852 |  |  |  | 2,852 |  |  |  | 3,008 |
Investment property |  |  | – |  |  |  | – |  |  |  | 11,417 |  |  |  | 11,417 |  |  |  | 11,417 |
Other invested assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Alternative long-duration assets (10) |  |  | 26,938 |  |  |  | 296 |  |  |  | 11,226 |  |  |  | 38,460 |  |  |  | 39,225 |
Various other (11) |  |  | 130 |  |  |  | – |  |  |  | 4,213 |  |  |  | 4,343 |  |  |  | 4,343 |
Total invested assets |  | $ | 56,996 |  |  | $ | 280,946 |  |  | $ | 62,200 |  |  | $ | 400,142 |  |  | $ | 400,238 |
(1) | FVTPL classification was elected for debt instruments backing certain insurance contract liabilities to substantially reduce any accounting mismatch arising from changes in the fair value of these assets, or changes in the carrying value of the related insurance contract liabilities.
(2) | FVOCI classification for debt instruments backing certain insurance contract liabilities inherently reduces any accounting mismatch arising from changes in the fair value of these assets, or changes in the carrying value of the related insurance contract liabilities.
(3) | Other includes mortgages and loans to Bank clients held at amortized cost, own use properties, investment properties, equity method accounted investments, and leveraged leases. Also includes debt securities, which qualify as having SPPI, are held to collect contractual cash flows and are carried at amortized cost.
(4) | Invested assets above include debt securities, mortgages, private placements and approximately $ 360 (2022 – $ 302 ) of other invested assets, which primarily qualify as SPPI. Invested assets which do not have SPPI qualifying cash flows as at December 31, 2023 include debt securities, private placements and other invested assets with fair values of $ nil , $ 115 and $ 539 , respectively (2022 – $nil, $ 98 and $ 507 , respectively). The change in the fair value of these invested assets for the year ended December 31, 2023 was $ 49 increase (20 2 2 – $ 94 decrease). The methodologies used in determining fair values of invested assets are described in note 1 (c) and note 4 (g).
(5) | Includes short-term securities with maturities of less than one year at acquisition amounting to $ 6,162 (2022 – $ 4,148 ), cash equivalents with maturities of less than 90 days at acquisition amounting to $ 7,832 (2022 – $ 8,711 ) and cash of $ 6,344 (2022 – $ 6,294 ).
(6) | Debt securities include securities which were acquired with maturities of less than one year and less than 90 days of $ 1,294 and $ 1,413 , respectively (2022 – $ 1,787 and $ 870 , respectively).
(7) | Floating rate invested assets above which are subject to interest rate benchmark reform, but have not yet transitioned to replacement reference rates, include debt securities benchmarked to CDOR and AUD BBSW of $ 167 and $ 16 , respectively (2022 – $ 173 and $ 15 , respectively), and private placements benchmarked to AUD BBSW and NZD BKBM of $ 198 and $ 61 , respectively (2022 – $ 199 and $ 43 , respectively). USD LIBOR was decommissioned on June 30, 2023. Exposures indexed to CDOR represent floating rate invested assets with maturity dates beyond June 28, 2024. The interest rate benchmark reform is expected to have an impact on the valuation of invested assets whose value is tied to the affected interest rate benchmarks. The Company has assessed its exposure at the contract level, by benchmark and instrument type. The Company is monitoring market developments with respect to alternative reference rates and the time horizon during which they will evolve. As at December 31, 2023, the interest rate benchmark reform has not resulted in significant changes in the Company’s risk management strategy.
(8) | Includes accumulated depreciation of $57 (2022 – $411).
( 9 ) | Own use property of $ 2,430 as at December 31, 2023 (December 31, 2022 – $ 2,682 ), are underlying items for insurance contracts with direct participating features and are measured at fair value as if they were investment properties, as permitted by IAS 16. Own use property of $161 (December 31, 2022 – $170) is carried at cost less accumulated depreciation and any accumulated impairment losses.
(1 0 ) | ALDA include investments in private equity of $ 15,445 , infrastructure of $ 14,950 , timber and agriculture of $ 5,719 , energy of $ 1,859 and various other ALDA of $ 3,461 (2022 – $ 14,153 , $ 12,751 , $ 5,979 , $ 2,347 and $ 3,230 , respectively).
(1 1 ) | Includes $ 3,790 (2022 – $ 3,840 ) of leveraged leases. Refer to note 1 (e).
(b) Equity method accounted invested assets Other invested assets include investments in associates and joint ventures which are accounted for using the equity method of accounting as presented in the following table.
|  | 2023 |  |  |  |  |  | 2022 |
As at December 31, |  | Carrying value |  |  | % of total |  |  |  |  |  | Carrying value |  |  | % of total |
Leveraged leases |  | $ | 3,790 |  |  |  | 35 |  |  |  |  |  |  | $ | 3,840 |  |  |  | 37 |
Infrastructure |  |  | 3,942 |  |  |  | 37 |  |  |  |  |  |  |  | 3,298 |  |  |  | 32 |
Timber and agriculture |  |  | 854 |  |  |  | 8 |  |  |  |  |  |  |  | 822 |  |  |  | 8 |
Real estate |  |  | 1,704 |  |  |  | 16 |  |  |  |  |  |  |  | 1,876 |  |  |  | 18 |
Other |  |  | 443 |  |  |  | 4 |  |  |  |  |  |  |  | 487 |  |  |  | 5 |
Total |  | $ | 10,733 |  |  |  | 100 |  |  |  |  |  |  | $ | 10,323 |  |  |  | 100 |
The Company’s share of profit from these investments for the year ended December 31, 2023 was $399 (2022 – $852 ). (c) Investment income
For the year ended December 31, 2023 |  | FVTPL |  |  | FVOCI |  |  | Other (1) |  |  | Total |
Cash and short-term securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest income |  | $ | – |  |  | $ | 837 |  |  | $ | – |  |  | $ | 837 |
Gains (losses) (2) |  |  | – |  |  |  | 10 |  |  |  | – |  |  |  | 10 |
Debt securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest income |  |  | 212 |  |  |  | 7,437 |  |  |  | 28 |  |  |  | 7,677 |
Gains (losses) (2) |  |  | 152 |  |  |  | 262 |  |  |  | – |  |  |  | 414 |
Impairment loss, net (3) |  |  | – |  |  |  | (4 | ) |  |  | – |  |  |  | (4 | )
Public equities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Dividend income |  |  | 625 |  |  |  | – |  |  |  | – |  |  |  | 625 |
Gains (losses) (2) |  |  | 2,255 |  |  |  | – |  |  |  | – |  |  |  | 2,255 |
Impairment loss, net (3) |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |
Mortgages |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest income |  |  | – |  |  |  | 2,290 |  |  |  | – |  |  |  | 2,290 |
Gains (losses) (2) |  |  | 99 |  |  |  | – |  |  |  | – |  |  |  | 99 |
Provision, net |  |  | – |  |  |  | – |  |  |  | (150 | ) |  |  | (150 | )
Private placements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest income |  |  | – |  |  |  | 2,318 |  |  |  | – |  |  |  | 2,318 |
Gains (losses) (2) |  |  | 20 |  |  |  | 355 |  |  |  | – |  |  |  | 375 |
Impairment loss, net (3) |  |  | – |  |  |  | (72 | ) |  |  | – |  |  |  | (72 | )
Loans to Bank clients |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest income |  |  | – |  |  |  | – |  |  |  | 201 |  |  |  | 201 |
Provision, net |  |  | – |  |  |  | – |  |  |  | (3 | ) |  |  | (3 | )
Real estate |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Rental income, net of depreciation (4) |  |  | – |  |  |  | – |  |  |  | 496 |  |  |  | 496 |
Gains (losses) (2) |  |  | – |  |  |  | – |  |  |  | (1,286 | ) |  |  | (1,286 | )
Impairment loss, net (3) |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |
Derivatives |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest income, net |  |  | (561 | ) |  |  | – |  |  |  | – |  |  |  | (561 | )
Gains (losses) (2) |  |  | 1,147 |  |  |  | – |  |  |  | – |  |  |  | 1,147 |
Other invested assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest income |  |  | 17 |  |  |  | 23 |  |  |  | – |  |  |  | 40 |
Energy, timber, agriculture and other income |  |  | 2,197 |  |  |  | – |  |  |  | – |  |  |  | 2,197 |
Gains (losses) (2) |  |  | 487 |  |  |  | – |  |  |  | 1 |  |  |  | 488 |
Impairment loss, net (3) |  |  | (74 | ) |  |  | – |  |  |  | (1 | ) |  |  | (75 | )
Total investment income (loss) |  | $ | 6,576 |  |  | $ | 13,456 |  |  | $ | (714 | ) |  | $ | 19,318 |
Investment income |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest income |  | $ | (332 | ) |  | $ | 12,905 |  |  | $ | 229 |  |  | $ | 12,802 |
Dividends, rental income and other income |  |  | 2,822 |  |  |  | – |  |  |  | 496 |  |  |  | 3,318 |
Impairments, provisions and recoveries, net (3) |  |  | (74 | ) |  |  | (76 | ) |  |  | (154 | ) |  |  | (304 | )
Other |  |  | 372 |  |  |  | (12 | ) |  |  | 4 |  |  |  | 364 |
|  |  | 2,788 |  |  |  | 12,817 |  |  |  | 575 |  |  |  | 16,180 |
Realized and unrealized gains (losses) on assets supporting insurance and investment contract liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Debt securities |  |  | 153 |  |  |  | 277 |  |  |  | – |  |  |  | 430 |
Public equities |  |  | 2,157 |  |  |  | – |  |  |  | – |  |  |  | 2,157 |
Mortgages |  |  | 99 |  |  |  | – |  |  |  | – |  |  |  | 99 |
Private placements |  |  | 20 |  |  |  | 355 |  |  |  | – |  |  |  | 375 |
Real estate |  |  | – |  |  |  | – |  |  |  | (1,289 | ) |  |  | (1,289 | )
Other invested assets |  |  | 484 |  |  |  | 7 |  |  |  | – |  |  |  | 491 |
Derivatives |  |  | 875 |  |  |  | – |  |  |  | – |  |  |  | 875 |
|  |  | 3,788 |  |  |  | 639 |  |  |  | (1,289 | ) |  |  | 3,138 |
Total investment income (loss) |  | $ | 6,576 |  |  | $ | 13,456 |  |  | $ | (714 | ) |  | $ | 19,318 |
Investment expenses |  |  |  |  |  |  |  |  |  |  |  |  |  |  | (1,297 | )
Net investment income (loss) |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 18,021 |
(1) | Primarily includes investment income on loans carried at amortized cost, own use real estate properties, investment real estate properties, derivative and hedging instruments in cash flow hedging relationships, equity method accounted investments, energy investments and leveraged leases.
(2) | Includes net realized and unrealized gains (losses) for financial instruments at FVTPL, investment real estate properties, and other invested assets measured at fair value. Also includes net realized gains (losses) for financial instruments at FVOCI and other invested assets carried at amortized cost.
(3) | The Company adopted IFRS 9’s ECL impairment requirements as at January 1, 2023 without restating the comparative period. Impairments for 2023 are based on IFRS 9’s ECL requirements and impairments for 2022 are based on IAS 39’s incurred loss impairment requirements.
(4) | Rental income from investment real estate properties is net of direct operating expenses.
For the year ended December 31, 2022 |  | FVTPL |  |  | FVOCI |  |  | Other (1) |  |  | Total |
Cash and short-term securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest income |  | $ | – |  |  | $ | 313 |  |  | $ | – |  |  | $ | 313 |
Gains (losses) (2) |  |  | – |  |  |  | 121 |  |  |  | – |  |  |  | 121 |
Debt securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest income |  |  | 139 |  |  |  | 6,990 |  |  |  | 26 |  |  |  | 7,155 |
Gains (losses) (2) |  |  | – |  |  |  | (1,050 | ) |  |  | – |  |  |  | (1,050 | )
Impairment loss, net (3) |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |
Public equities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Dividend income |  |  | 548 |  |  |  | – |  |  |  | – |  |  |  | 548 |
Gains (losses) (2) |  |  | (3,995 | ) |  |  | – |  |  |  | – |  |  |  | (3,995 | )
Impairment loss, net (3) |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |
Mortgages |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest income |  |  | – |  |  |  | 1,914 |  |  |  | – |  |  |  | 1,914 |
Gains (losses) (2) |  |  | – |  |  |  | (52 | ) |  |  | – |  |  |  | (52 | )
Provision, net |  |  | – |  |  |  | – |  |  |  | 1 |  |  |  | 1 |
Private placements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest income |  |  | – |  |  |  | 2,008 |  |  |  | – |  |  |  | 2,008 |
Gains (losses) (2) |  |  | – |  |  |  | 233 |  |  |  | – |  |  |  | 233 |
Impairment loss, net (3) |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |
Loans to Bank clients |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest income |  |  | – |  |  |  | – |  |  |  | 138 |  |  |  | 138 |
Provision, net |  |  | – |  |  |  | – |  |  |  | (4 | ) |  |  | (4 | )
Real estate |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Rental income, net of depreciation (4) |  |  | – |  |  |  | – |  |  |  | 490 |  |  |  | 490 |
Gains (losses) (2) |  |  | – |  |  |  | – |  |  |  | (591 | ) |  |  | (591 | )
Impairment loss, net (3) |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |
Derivatives |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest income, net |  |  | 515 |  |  |  | – |  |  |  | – |  |  |  | 515 |
Gains (losses) (2) |  |  | (10,639 | ) |  |  | – |  |  |  | – |  |  |  | (10,639 | )
Other invested assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest income |  |  | 14 |  |  |  | 6 |  |  |  | – |  |  |  | 20 |
Energy, timber, agriculture and other income |  |  | 2,862 |  |  |  | – |  |  |  | – |  |  |  | 2,862 |
Gains (losses) (2) |  |  | 1,641 |  |  |  | 4 |  |  |  | – |  |  |  | 1,645 |
Impairment loss, net (3) |  |  | (74 | ) |  |  | – |  |  |  | – |  |  |  | (74 | )
Total investment income (loss) |  | $ | (8,989 | ) |  | $ | 10,487 |  |  | $ | 60 |  |  | $ | 1,558 |
Investment income |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest income |  | $ | 668 |  |  | $ | 11,231 |  |  | $ | 164 |  |  | $ | 12,063 |
Dividend, rental and other income |  |  | 3,410 |  |  |  | – |  |  |  | 490 |  |  |  | 3,900 |
Impairments, provisions and recoveries, net (3) |  |  | (74 | ) |  |  | – |  |  |  | (3 | ) |  |  | (77 | )
Other |  |  | (121 | ) |  |  | (548 | ) |  |  | (13 | ) |  |  | (682 | )
|  |  | 3,883 |  |  |  | 10,683 |  |  |  | 638 |  |  |  | 15,204 |
Realized and unrealized gains (losses) on assets supporting insurance and investment contract liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Debt securities |  |  | – |  |  |  | (504 | ) |  |  | – |  |  |  | (504 | )
Public equities |  |  | (3,825 | ) |  |  | – |  |  |  | – |  |  |  | (3,825 | )
Mortgages |  |  | – |  |  |  | (52 | ) |  |  | – |  |  |  | (52 | )
Private placements |  |  | – |  |  |  | 234 |  |  |  | – |  |  |  | 234 |
Real estate |  |  | – |  |  |  | – |  |  |  | (578 | ) |  |  | (578 | )
Other invested assets |  |  | 1,665 |  |  |  | 126 |  |  |  | – |  |  |  | 1,791 |
Derivatives |  |  | (10,712 | ) |  |  | – |  |  |  | – |  |  |  | (10,712 | )
|  |  | (12,872 | ) |  |  | (196 | ) |  |  | (578 | ) |  |  | (13,646 | )
Total investment income (loss) |  | $ | (8,989 | ) |  | $ | 10,487 |  |  | $ | 60 |  |  | $ | 1,558 |
Investment expenses |  |  |  |  |  |  |  |  |  |  |  |  |  |  | (1,221 | )
Net investment income (loss) |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 337 |
Note: For footnotes (1) to (4), refer to the “Investment income” table for the year ended December 31, 2023 above. (d) Investment expenses The following table presents total investment expenses.
For the years ended December 31, |  | 2023 |  |  | 2022 |
Related to invested assets |  | $ | 720 |  |  | $ | 679 |
Related to segregated, mutual and other funds |  |  | 577 |  |  |  | 542 |
Total investment expenses |  | $ | 1,297 |  |  | $ | 1,221 |
(e) Investment properties The following table presents the rental income and direct operating expenses of investment properties.
For the years ended December 31, |  | 2023 |  |  | 2022 |
Rental income from investment properties |  | $ | 840 |  |  | $ | 825 |
Direct operating expenses of rental investment properties |  |  | (473 | ) |  |  | (458 | )
Total |  | $ | 367 |  |  | $ | 367 |
(f) Mortgage securitization The Company securitizes certain insured and uninsured fixed and variable rate residential mortgages and Home Equity Lines of Credit (“HELOC”) through creation of mortgage-backed securities under the Canadian Mortgage Bond Program (“CMB”), and the HELOC securitization program. Benefits received from these securitizations include interest spread between the assets and associated liabilities. There is no credit exposure from securitized mortgages under the Canada Mortgage and Housing Corporation (“CMHC”) sponsored CMB securitization program as they are insured by CMHC and other third-party insurance programs against borrowers’ default. Mortgages securitized in the Platinum Canadian Mortgage Trust II (“PCMT II”) program are uninsured. Cash flows received from the underlying securitized assets/mortgages are used to settle the related secured borrowing liabilities. For CMB transactions, receipts of principal are deposited into a trust account for settlement of the liabilities at time of maturity. These transferred assets and related cash flows cannot be further transferred or used for other purposes by the Company. For HELOC transactions, investors are entitled to periodic interest payments, and the remaining cash receipts of principal are allocated to the Company (the “Seller”) during the revolving periods of the transactions and are accumulated for settlement during accumulation periods or repaid to the investors monthly during reduction periods, based on the terms of the notes. Securitized assets and secured borrowing liabilities
As at December 31, 2023 |  | Securitized assets |  |  |  |  |  |  |
Securitization program |  | Securitized mortgages |  |  | Restricted cash and short-term securities |  |  | Total |  |  | Secured borrowing liabilities (2) |  |  | Net |
HELOC securitization (1) |  | $ | 2,880 |  |  | $ | 32 |  |  | $ | 2,912 |  |  | $ | 2,750 |  |  | $ | 162 |
CMB securitization (3) |  |  | 2,900 |  |  |  | – |  |  |  | 2,900 |  |  |  | 2,806 |  |  |  | 94 |
Total |  | $ | 5,780 |  |  | $ | 32 |  |  | $ | 5,812 |  |  | $ | 5,556 |  |  | $ | 256 |
As at December 31, 2022 |  | Securitized assets |  |  |  |  |  |  |
Securitization program |  | Securitized mortgages |  |  | Restricted cash and short-term securities |  |  | Total |  |  | Secured borrowing liabilities (2) |  |  | Net |
HELOC securitization (1) |  | $ | 2,880 |  |  | $ | 44 |  |  | $ | 2,924 |  |  | $ | 2,750 |  |  | $ | 174 |
CMB securitization (3) |  |  | 2,318 |  |  |  | – |  |  |  | 2,318 |  |  |  | 2,273 |  |  |  | 45 |
Total |  | $ | 5,198 |  |  | $ | 44 |  |  | $ | 5,242 |  |  | $ | 5,023 |  |  | $ | 219 |
(1) | Manulife Bank, a subsidiary, securitizes a portion of its HELOC receivables through PCMT II. PCMT II funds the purchase of the co-ownership interests from Manulife Bank by issuing term notes collateralized by an underlying pool of uninsured HELOCs to institutional investors. The restricted cash balance for the HELOC securitization reflects a cash reserve fund established in relation to the transactions. The reserve will be drawn upon only in the event of insufficient cash flows from the underlying HELOCs to satisfy the secured borrowing liabilities.
(2) | The PCMT II notes payable have floating rates of interest and are secured by the PCMT II assets. Under the terms of the agreements, principal of $27 is expected to be repaid within one year, $1,973 within 1-3 years, $750 within 3-5 years and $nil beyond 5 years , respectively (2022 – $nil, $1,209, $1,049 and $492 , r espectively). There is no specific maturity date for the contractual agreements. Under the terms of the notes, additional collateral must be provided to the series as added credit protection and the Series Purchase Agreements govern the amount of over-collateralization for each of the term notes outstanding.
(3) | Manulife Bank also securitizes insured amortizing mortgages under the National Housing Act Mortgage-Backed Securities (“NHA MBS”) program sponsored by CMHC. Manulife Bank participates in CMB programs by selling NHA MBS securities to Canada Housing Trust (“CHT”), as a source of fixed rate funding.
As at December 31, 2023, the fair value of securitized assets and associated liabilities were $5,782 and $5,456, respectively (2022 – $5,167 and $4,865, respectively). (g) Fair value measurement The following table presents fair values and the fair value hierarchy of invested assets and segregated funds net assets measured at fair value in the Consolidated Statements of Financial Position.
As at December 31, 2023 |  | Total fair value |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |
Cash and short-term securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FVOCI |  | $ | 13,993 |  |  | $ | – |  |  | $ | 13,993 |  |  | $ | – |
FVTPL |  |  | 1 |  |  |  | – |  |  |  | 1 |  |  |  | – |
Other |  |  | 6,343 |  |  |  | 6,343 |  |  |  | – |  |  |  | – |
Debt securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FVOCI |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Canadian government and agency |  |  | 19,769 |  |  |  | – |  |  |  | 19,769 |  |  |  | – |
U.S. government and agency |  |  | 26,287 |  |  |  | – |  |  |  | 26,287 |  |  |  | – |
Other government and agency |  |  | 30,576 |  |  |  | – |  |  |  | 30,566 |  |  |  | 10 |
Corporate |  |  | 127,190 |  |  |  | – |  |  |  | 126,959 |  |  |  | 231 |
Residential mortgage-backed securities |  |  | 6 |  |  |  | – |  |  |  | 6 |  |  |  | – |
Commercial mortgage-backed securities |  |  | 370 |  |  |  | – |  |  |  | 370 |  |  |  | – |
Other asset-backed securities |  |  | 1,579 |  |  |  | – |  |  |  | 1,558 |  |  |  | 21 |
FVTPL |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Canadian government and agency |  |  | 1,219 |  |  |  | – |  |  |  | 1,219 |  |  |  | – |
U.S. government and agency |  |  | 1,303 |  |  |  | – |  |  |  | 1,303 |  |  |  | – |
Other government and agency |  |  | 90 |  |  |  | – |  |  |  | 90 |  |  |  | – |
Corporate |  |  | 2,372 |  |  |  | – |  |  |  | 2,372 |  |  |  | – |
Commercial mortgage-backed securities |  |  | 1 |  |  |  | – |  |  |  | 1 |  |  |  | – |
Other asset-backed securities |  |  | 15 |  |  |  | – |  |  |  | 15 |  |  |  | – |
Private placements (1) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FVOCI |  |  | 44,952 |  |  |  | – |  |  |  | 37,270 |  |  |  | 7,682 |
FVTPL |  |  | 654 |  |  |  | – |  |  |  | 575 |  |  |  | 79 |
Mortgages |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FVOCI |  |  | 28,473 |  |  |  | – |  |  |  | – |  |  |  | 28,473 |
FVTPL |  |  | 1,055 |  |  |  | – |  |  |  | – |  |  |  | 1,055 |
Public equities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FVTPL |  |  | 25,531 |  |  |  | 25,423 |  |  |  | 67 |  |  |  | 41 |
Real estate (2) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment property |  |  | 10,458 |  |  |  | – |  |  |  | – |  |  |  | 10,458 |
Own use property |  |  | 2,430 |  |  |  | – |  |  |  | – |  |  |  | 2,430 |
Other invested assets (3) |  |  | 33,653 |  |  |  | 68 |  |  |  | – |  |  |  | 33,585 |
Segregated funds net assets (4) |  |  | 377,544 |  |  |  | 343,061 |  |  |  | 30,991 |  |  |  | 3,492 |
Total |  | $ | 755,864 |  |  | $ | 374,895 |  |  | $ | 293,412 |  |  | $ | 87,557 |
(1) | Fair value of private placements is determined through an internal valuation methodology using both observable and non-market observable inputs. Non-market observable inputs include credit assumptions and liquidity spread adjustments. Private placements are classified within Level 2 unless the liquidity adjustment constitutes a significant price impact, in which case the securities are classified as Level 3.
(2) | For real estate properties, the significant non-market observable inputs are capitalization rates ranging from 2.72 % to 10.75 % during the year ended December 31, 2023 (2022 – ranging from 2.25 % to 9.00 %), terminal capitalization rates ranging from 3.00 % to 10.00 % during the year ended December 31, 2023 (2022 – ranging from 3.25 % to 9.50 %) and discount rates ranging from 3.20 % to 14.00 % during the year ended December 31, 2023 (2022 – ranging from 3.30 % to 11.00 %). Holding other factors constant, a lower capitalization or terminal capitalization rate will tend to increase the fair value of an investment property. Changes in fair value based on variations in non-market observable inputs generally cannot be extrapolated because the relationship between the directional changes of each input is not usually linear.
(3) | Other invested assets measured at fair value are held in infrastructure and timber sectors and include fund investments of $27,532 recorded at net asset value. The significant inputs used in the valuation of the Company’s infrastructure investments are primarily future distributable cash flows, terminal values and discount rates. Holding other factors constant, an increase to future distributable cash flows or terminal values would tend to increase the fair value of an infrastructure investment, while an increase in the discount rate would have the opposite effect. Discount rates during the year ended December 31, 2023 ranged from 7.35 % to 15.60 % (2022 – ranged from 7.15 % to 15.60 %). Disclosure of distributable cash flow and terminal value ranges are not meaningful given the disparity in estimates by project. The significant inputs used in the valuation of the Company’s investments in timberland properties are timber prices and discount rates. Holding other factors constant, an increase to timber prices would tend to increase the fair value of a timberland investment, while an increase in the discount rates would have the opposite effect. Discount rates during the year ended December 31, 2023 ranged from 4.00% to 7.00% (2022 – ranged from 4.25% to 7.00%). A range of prices for timber is not meaningful as the market price depends on factors such as property location and proximity to markets and export yards.
(4) | Segregated funds net assets are measured at fair value. The Company’s Level 3 segregated funds underlying assets are predominantly investment properties and timberland properties valued as described above.
As at December 31, 2022 |  | Total fair value |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |
Cash and short-term securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FVOCI |  | $ | 12,859 |  |  | $ | – |  |  | $ | 12,859 |  |  | $ | – |
Other |  |  | 6,294 |  |  |  | 6,294 |  |  |  | – |  |  |  | – |
Debt securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FVOCI |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Canadian government and agency |  |  | 20,279 |  |  |  | – |  |  |  | 20,279 |  |  |  | – |
U.S. government and agency |  |  | 22,446 |  |  |  | – |  |  |  | 22,446 |  |  |  | – |
Other government and agency |  |  | 26,314 |  |  |  | – |  |  |  | 26,305 |  |  |  | 9 |
Corporate |  |  | 126,371 |  |  |  | – |  |  |  | 126,339 |  |  |  | 32 |
Residential mortgage-backed securities |  |  | 7 |  |  |  | – |  |  |  | 7 |  |  |  | – |
Commercial mortgage-backed securities |  |  | 589 |  |  |  | – |  |  |  | 589 |  |  |  | – |
Other asset-backed securities |  |  | 1,670 |  |  |  | – |  |  |  | 1,644 |  |  |  | 26 |
FVTPL |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Canadian government and agency |  |  | 987 |  |  |  | – |  |  |  | 987 |  |  |  | – |
U.S. government and agency |  |  | 1,378 |  |  |  | – |  |  |  | 1,378 |  |  |  | – |
Other government and agency |  |  | 159 |  |  |  | – |  |  |  | 159 |  |  |  | – |
Corporate |  |  | 2,209 |  |  |  | – |  |  |  | 2,209 |  |  |  | – |
Commercial mortgage-backed securities |  |  | 6 |  |  |  | – |  |  |  | 6 |  |  |  | – |
Other asset-backed securities |  |  | 16 |  |  |  | – |  |  |  | 16 |  |  |  | – |
Private placements (1) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FVOCI |  |  | 41,494 |  |  |  | – |  |  |  | 33,666 |  |  |  | 7,828 |
FVTPL |  |  | 516 |  |  |  | – |  |  |  | 485 |  |  |  | 31 |
Mortgages |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FVOCI |  |  | 28,621 |  |  |  | – |  |  |  | – |  |  |  | 28,621 |
FVTPL |  |  | 1,138 |  |  |  | – |  |  |  | – |  |  |  | 1,138 |
Public equities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FVTPL |  |  | 23,519 |  |  |  | 23,448 |  |  |  | – |  |  |  | 71 |
Real estate (2) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment property |  |  | 11,417 |  |  |  | – |  |  |  | – |  |  |  | 11,417 |
Own use property |  |  | 2,682 |  |  |  | – |  |  |  | – |  |  |  | 2,682 |
Other invested assets (3) |  |  | 31,095 |  |  |  | 26 |  |  |  | – |  |  |  | 31,069 |
Segregated funds net assets (4) |  |  | 348,562 |  |  |  | 314,436 |  |  |  | 30,141 |  |  |  | 3,985 |
Total |  | $ | 710,628 |  |  | $ | 344,204 |  |  | $ | 279,515 |  |  | $ | 86,909 |
Note: For footnotes (1) to (4), refer to the “Fair value measurement” table as at December 31, 2023 above. The following table presents fair value of invested assets not measured at fair value by the fair value hierarchy.
As at December 31, 2023 |  | Carrying value |  |  | Total fair value |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |
Short-term securities |  | $ | 1 |  |  | $ | 1 |  |  | $ | – |  |  | $ | 1 |  |  | $ | – |
Mortgages (1) |  |  | 22,893 |  |  |  | 22,782 |  |  |  | – |  |  |  | – |  |  |  | 22,782 |
Loans to Bank clients (2) |  |  | 2,436 |  |  |  | 2,411 |  |  |  | – |  |  |  | 2,411 |  |  |  | – |
Real estate – own use property (3) |  |  | 161 |  |  |  | 286 |  |  |  | – |  |  |  | – |  |  |  | 286 |
Public bonds held at amortized cost |  |  | 1,372 |  |  |  | 998 |  |  |  | – |  |  |  | 998 |  |  |  | – |
Other invested assets (4) |  |  | 12,027 |  |  |  | 12,906 |  |  |  | 240 |  |  |  | – |  |  |  | 12,666 |
Total invested assets disclosed at fair value |  | $ | 38,890 |  |  | $ | 39,384 |  |  | $ | 240 |  |  | $ | 3,410 |  |  | $ | 35,734 |
As at December 31, 2022 |  | Carrying value |  |  | Total fair value |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |
Mortgages (1) |  | $ | 22,006 |  |  | $ | 21,613 |  |  | $ | – |  |  | $ | – |  |  | $ | 21,613 |
Loans to Bank clients (2) |  |  | 2,781 |  |  |  | 2,760 |  |  |  | – |  |  |  | 2,760 |  |  |  | – |
Real estate – own use property (3) |  |  | 170 |  |  |  | 326 |  |  |  | – |  |  |  | – |  |  |  | 326 |
Public bonds held at amortized cost |  |  | 1,411 |  |  |  | 1,000 |  |  |  | – |  |  |  | 1,000 |  |  |  | – |
Other invested assets(4) |  |  | 11,708 |  |  |  | 12,473 |  |  |  | 72 |  |  |  | – |  |  |  | 12,401 |
Total invested assets disclosed at fair value |  | $ | 38,076 |  |  | $ | 38,172 |  |  | $ | 72 |  |  | $ | 3,760 |  |  | $ | 34,340 |
(1) | Fair value of commercial mortgages is determined through an internal valuation methodology using both observable and non-market observable inputs. Non-market observable inputs include credit assumptions and liquidity spread adjustments. Fair value of fixed-rate residential mortgages is determined using the discounted cash flow method. Inputs used for valuation are primarily comprised of prevailing interest rates and prepayment rates, if applicable. Fair value of variable-rate residential mortgages is assumed to be their carrying value.
(2) | Fair value of fixed-rate loans to Bank clients is determined using the discounted cash flow method. Inputs used for valuation are primarily comprised of current interest rates. Fair value of variable-rate loans is assumed to be their carrying value.
(3) | Fair value of own use real estate and the fair value hierarchy are determined in accordance with the methodologies described for real estate – investment property in note 1(e).
(4) | Primarily includes leveraged leases of $3,790 (2022 – $3,840 ), and equity method accounted other invested assets. Fair value of leveraged leases is disclosed at their carrying values as fair value is not routinely calculated on these investments. Fair value for energy properties is determined using external appraisals based on discounted cash flow methodology. Inputs used in valuation are primarily comprised of forecasted price curves, planned production, as well as capital expenditures, and operating costs. Fair value of equity method accounted other invested assets is determined using a variety of valuation techniques including discounted cash flows and market comparable approaches. Inputs vary based on the specific investment.
Transfers between Level 1 and Level 2 The Company records transfers of assets and liabilities between Level 1 and Level 2 at their fair values as at the end of each reporting period, consistent with the date of the determination of fair value. Assets are transferred out of Level 1 when they are no longer transacted with sufficient frequency and volume in an active market. Conversely, assets are transferred from Level 2 to Level 1 when transaction volume and frequency are indicative of an active market. During the year ended December 31, 2023, the Company had $nil of transfers between Level 1 and Level 2 (2022 – $nil). For segregated funds net assets, during the year ended December 31, 2023, the Company had $nil transfers from Level 1 to Level 2 (2022 – $nil). During the year ended December 31, 2023, the Company had $nil transfers from Level 2 to Level 1 (2022 – $nil). Invested assets and segregated funds net assets measured at fair value using significant non-market observable inputs (Level 3) The Company classifies fair values of invested assets and segregated funds net assets as Level 3 if there are no observable markets for these assets or, in the absence of active markets, significant non-market observable inputs are used to determine fair value. The Company prioritizes the use of market-based inputs over non-market observable inputs in determining Level 3 fair values. The gains and losses in the table below include the changes in fair value due to both observable and non-market observable factors. The following table presents the movement in invested assets, net derivatives and segregated funds net assets measured at fair value using significant non-market observable inputs (Level 3) for the year ended December 31, 2023 and 2022.
For the year ended December 31, 2023 |  | Balance, January 1, 2023 |  |  | Total gains (losses) included in net income (1) |  |  | Total gains (losses) included in AOCI (2) |  |  | Purchases |  |  | Sales |  |  | Settlements |  |  | Transfer in (3) |  |  | Transfer out (3),(4) |  |  | Currency movement |  |  | Balance, December 31, 2023 |  |  | Change in unrealized gains (losses) on assets still held |
Debt instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FVOCI |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other government & agency |  | $ | 9 |  |  | $ | – |  |  | $ | – |  |  | $ | 2 |  |  | $ | – |  |  | $ | – |  |  | $ | – |  |  | $ | – |  |  | $ | (1 | ) |  | $ | 10 |  |  | $ | – |
Corporate |  |  | 32 |  |  |  | – |  |  |  | 3 |  |  |  | 178 |  |  |  | – |  |  |  | (7 | ) |  |  | 25 |  |  |  | – |  |  |  | – |  |  |  | 231 |  |  |  | – |
Other securitized assets |  |  | 26 |  |  |  | – |  |  |  | 1 |  |  |  | – |  |  |  | – |  |  |  | (5 | ) |  |  | – |  |  |  | – |  |  |  | (1 | ) |  |  | 21 |  |  |  | – |
Public equities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FVTPL |  |  | 71 |  |  |  | – |  |  |  | – |  |  |  | 37 |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | (67 | ) |  |  | – |  |  |  | 41 |  |  |  | – |
Private placements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FVOCI |  |  | 7,828 |  |  |  | (4 | ) |  |  | 258 |  |  |  | 1,942 |  |  |  | (497 | ) |  |  | (1,172 | ) |  |  | 2,546 |  |  |  | (2,907 | ) |  |  | (312 | ) |  |  | 7,682 |  |  |  | – |
FVTPL |  |  | 31 |  |  |  | 44 |  |  |  | – |  |  |  | 17 |  |  |  | – |  |  |  | (1 | ) |  |  | 34 |  |  |  | (47 | ) |  |  | 1 |  |  |  | 79 |  |  |  | 44 |
Mortgages |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FVOCI |  |  | 28,621 |  |  |  | 65 |  |  |  | 830 |  |  |  | 1,984 |  |  |  | (1,626 | ) |  |  | (856 | ) |  |  | – |  |  |  | – |  |  |  | (545 | ) |  |  | 28,473 |  |  |  | – |
FVTPL |  |  | 1,138 |  |  |  | 37 |  |  |  | – |  |  |  | 160 |  |  |  | (239 | ) |  |  | (39 | ) |  |  | – |  |  |  | – |  |  |  | (2 | ) |  |  | 1,055 |  |  |  | – |
Investment property |  |  | 11,417 |  |  |  | (1,054 | ) |  |  | – |  |  |  | 416 |  |  |  | (122 | ) |  |  | – |  |  |  | – |  |  |  | – |  |  |  | (199 | ) |  |  | 10,458 |  |  |  | (1,055 | )
Own use property |  |  | 2,682 |  |  |  | (234 | ) |  |  | – |  |  |  | 20 |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | (38 | ) |  |  | 2,430 |  |  |  | (234 | )
Other invested assets |  |  | 31,069 |  |  |  | 423 |  |  |  | 7 |  |  |  | 4,760 |  |  |  | (522 | ) |  |  | (1,219 | ) |  |  | – |  |  |  | (68 | ) |  |  | (865 | ) |  |  | 33,585 |  |  |  | 647 |
Total invested assets |  |  | 82,924 |  |  |  | (723 | ) |  |  | 1,099 |  |  |  | 9,516 |  |  |  | (3,006 | ) |  |  | (3,299 | ) |  |  | 2,605 |  |  |  | (3,089 | ) |  |  | (1,962 | ) |  |  | 84,065 |  |  |  | (598 | )
Derivatives, net |  |  | (3,188 | ) |  |  | (144 | ) |  |  | – |  |  |  | – |  |  |  | – |  |  |  | 960 |  |  |  | – |  |  |  | 165 |  |  |  | 41 |  |  |  | (2,166 | ) |  |  | 17 |
Segregated funds net assets |  |  | 3,985 |  |  |  | (97 | ) |  |  | – |  |  |  | 110 |  |  |  | (466 | ) |  |  | 24 |  |  |  | – |  |  |  | (15 | ) |  |  | (49 | ) |  |  | 3,492 |  |  |  | 32 |
Total |  | $ | 83,721 |  |  | $ | (964 | ) |  | $ | 1,099 |  |  | $ | 9,626 |  |  | $ | (3,472 | ) |  | $ | (2,315 | ) |  | $ | 2,605 |  |  | $ | (2,939 | ) |  | $ | (1,970 | ) |  | $ | 85,391 |  |  | $ | (549 | )
(1) | These amounts are included in net investment income on the Consolidated Statements of Income except for the amount related to segregated funds net assets, where the amount is recorded in Investment income related to segregated funds net assets. Refer to notes 1 (h) and 23.
(2) | These amounts are included in AOCI on the Consolidated Statements of Financial Position.
(3) | The Company uses fair values of the assets at the beginning of the year for assets transferred into and out of Level 3 except for derivatives, where the Company uses fair value at the end of the year and at the beginning of the year, respectively.
(4) | Private placement bonds of $1,771 with maturity dates beyond 30 years were reclassed from Level 3 to Level 2 in the current period to align with the fair value leveling treatment of public bonds.
For the year ended December 31, 2022 |  | Balance, January 1, 2022 |  |  | Total gains (losses) included in net income (1) |  |  | Total gains (losses) included in AOCI (2) |  |  | Purchases |  |  | Sales |  |  | Settlements |  |  | Transfer in (3) |  |  | Transfer out (3) |  |  | Currency movement |  |  | Balance, December 31, 2022 |  |  | Change in unrealized gains (losses) on assets still held |
Debt instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FVOCI |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other government & agency |  | $ | – |  |  | $ | – |  |  | $ | – |  |  | $ | – |  |  | $ | – |  |  | $ | – |  |  | $ | 9 |  |  | $ | – |  |  | $ | – |  |  | $ | 9 |  |  | $ | – |
Corporate |  |  | 41 |  |  |  | – |  |  |  | (1 | ) |  |  | 27 |  |  |  | – |  |  |  | (1 | ) |  |  | 6 |  |  |  | (42 | ) |  |  | 2 |  |  |  | 32 |  |  |  | – |
Other securitized assets |  |  | 28 |  |  |  | – |  |  |  | 2 |  |  |  | – |  |  |  | – |  |  |  | (4 | ) |  |  | – |  |  |  | – |  |  |  | – |  |  |  | 26 |  |  |  | – |
Public equities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FVTPL |  |  | – |  |  |  | (6 | ) |  |  | – |  |  |  | 69 |  |  |  | (84 | ) |  |  | – |  |  |  | 87 |  |  |  | – |  |  |  | 5 |  |  |  | 71 |  |  |  | (13 | )
Private placements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FVOCI |  |  | 5,136 |  |  |  | (9 | ) |  |  | (1,453 | ) |  |  | 1,697 |  |  |  | (89 | ) |  |  | (188 | ) |  |  | 2,876 |  |  |  | (362 | ) |  |  | 220 |  |  |  | 7,828 |  |  |  | – |
FVTPL |  |  | 30 |  |  |  | (7 | ) |  |  | – |  |  |  | – |  |  |  | – |  |  |  | (1 | ) |  |  | 9 |  |  |  | – |  |  |  | – |  |  |  | 31 |  |  |  | (7 | )
Mortgages |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FVOCI |  |  | 31,798 |  |  |  | (76 | ) |  |  | (4,692 | ) |  |  | 3,511 |  |  |  | (2,411 | ) |  |  | (757 | ) |  |  | – |  |  |  | – |  |  |  | 1,248 |  |  |  | 28,621 |  |  |  | – |
FVTPL |  |  | 1,203 |  |  |  | (117 | ) |  |  | – |  |  |  | 110 |  |  |  | (22 | ) |  |  | (38 | ) |  |  | – |  |  |  | – |  |  |  | 2 |  |  |  | 1,138 |  |  |  | – |
Investment property |  |  | 11,443 |  |  |  | (443 | ) |  |  | – |  |  |  | 312 |  |  |  | (237 | ) |  |  | – |  |  |  | 17 |  |  |  | – |  |  |  | 325 |  |  |  | 11,417 |  |  |  | (445 | )
Own use property |  |  | 2,661 |  |  |  | (120 | ) |  |  | – |  |  |  | 20 |  |  |  | – |  |  |  | – |  |  |  | (15 | ) |  |  | – |  |  |  | 136 |  |  |  | 2,682 |  |  |  | (120 | )
Other invested assets |  |  | 24,884 |  |  |  | 1,934 |  |  |  | 5 |  |  |  | 4,938 |  |  |  | (668 | ) |  |  | (1,519 | ) |  |  | 248 |  |  |  | – |  |  |  | 1,247 |  |  |  | 31,069 |  |  |  | 2,057 |
Total invested assets |  |  | 77,224 |  |  |  | 1,156 |  |  |  | (6,139 | ) |  |  | 10,684 |  |  |  | (3,511 | ) |  |  | (2,508 | ) |  |  | 3,237 |  |  |  | (404 | ) |  |  | 3,185 |  |  |  | 82,924 |  |  |  | 1,472 |
Derivatives, net |  |  | 2,101 |  |  |  | (5,429 | ) |  |  | (7 | ) |  |  | (109 | ) |  |  | – |  |  |  | 775 |  |  |  | – |  |  |  | (356 | ) |  |  | (163 | ) |  |  | (3,188 | ) |  |  | (3,527 | )
Segregated funds net assets |  |  | 4,281 |  |  |  | 475 |  |  |  | – |  |  |  | 246 |  |  |  | (1,113 | ) |  |  | (46 | ) |  |  | – |  |  |  | (1 | ) |  |  | 143 |  |  |  | 3,985 |  |  |  | 79 |
Total |  | $ | 83,606 |  |  | $ | (3,798 | ) |  | $ | (6,146 | ) |  | $ | 10,821 |  |  | $ | (4,624 | ) |  | $ | (1,779 | ) |  | $ | 3,237 |  |  | $ | (761 | ) |  | $ | 3,165 |  |  | $ | 83,721 |  |  | $ | (1,976 | )
Note: For footnotes (1) to (4), refer to the “Invested assets and segregated funds net assets measured at fair value using significant non-market observable inputs (Level 3)” table for the year ended December 31, 2023 above. Transfers into Level 3 primarily result from securities that were impaired during the periods or securities where a lack of observable market data (versus the previous period) resulted in reclassifying assets into Level 3. Transfers from Level 3 primarily result from observable market data becoming available for the entire term structure of the debt security. (h) Remaining term to maturity The following table presents remaining term to maturity for invested assets.
|  | Remaining terms to maturities (1) |
As at December 31, 2023 |  | Less than 1 year |  |  | 1 to 3 years |  |  | 3 to 5 years |  |  | 5 to 10 years |  |  | Over 10 years |  |  | With no specific maturity |  |  | Total |
Cash and short-term securities |  | $ | 20,338 |  |  | $ | – |  |  | $ | – |  |  | $ | – |  |  | $ | – |  |  | $ | – |  |  | $ | 20,338 |
Debt securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Canadian government and agency |  |  | 657 |  |  |  | 1,435 |  |  |  | 1,580 |  |  |  | 3,656 |  |  |  | 13,660 |  |  |  | – |  |  |  | 20,988 |
U.S. government and agency |  |  | 297 |  |  |  | 725 |  |  |  | 744 |  |  |  | 4,504 |  |  |  | 22,208 |  |  |  | – |  |  |  | 28,478 |
Other government and agency |  |  | 412 |  |  |  | 1,052 |  |  |  | 1,892 |  |  |  | 3,864 |  |  |  | 23,446 |  |  |  | – |  |  |  | 30,666 |
Corporate |  |  | 8,475 |  |  |  | 15,512 |  |  |  | 18,548 |  |  |  | 33,361 |  |  |  | 54,100 |  |  |  | 50 |  |  |  | 130,046 |
Mortgage / asset-backed securities |  |  | 106 |  |  |  | 153 |  |  |  | 279 |  |  |  | 556 |  |  |  | 877 |  |  |  | – |  |  |  | 1,971 |
Public equities |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | 25,531 |  |  |  | 25,531 |
Mortgages |  |  | 3,363 |  |  |  | 12,076 |  |  |  | 10,181 |  |  |  | 7,690 |  |  |  | 9,644 |  |  |  | 9,467 |  |  |  | 52,421 |
Private placements |  |  | 1,418 |  |  |  | 3,486 |  |  |  | 4,704 |  |  |  | 9,137 |  |  |  | 26,790 |  |  |  | 71 |  |  |  | 45,606 |
Loans to Bank clients |  |  | 39 |  |  |  | 23 |  |  |  | 1 |  |  |  | – |  |  |  | – |  |  |  | 2,373 |  |  |  | 2,436 |
Real estate |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Own use property |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | 2,591 |  |  |  | 2,591 |
Investment property |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | 10,458 |  |  |  | 10,458 |
Other invested assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Alternative long-duration assets |  |  | – |  |  |  | 67 |  |  |  | 22 |  |  |  | 82 |  |  |  | 732 |  |  |  | 40,531 |  |  |  | 41,434 |
Various other (2) |  |  | – |  |  |  | – |  |  |  | 19 |  |  |  | 1,528 |  |  |  | 2,242 |  |  |  | 457 |  |  |  | 4,246 |
Total invested assets |  | $ | 35,105 |  |  | $ | 34,529 |  |  | $ | 37,970 |  |  | $ | 64,378 |  |  | $ | 153,699 |  |  | $ | 91,529 |  |  | $ | 417,210 |
(1) | Represents contractual maturities. Actual maturities may differ due to prepayment privileges in the applicable contract.
(2) | Primarily includes equity method accounted investments and leveraged leases.
|  | Remaining terms to maturities (1) |
As at December 31, 2022 |  | Less than 1 year |  |  | 1 to 3 years |  |  | 3 to 5 years |  |  | 5 to 10 years |  |  | Over 10 years |  |  | With no specific maturity |  |  | Total |
Cash and short-term securities |  | $ | 19,153 |  |  | $ | – |  |  | $ | – |  |  | $ | – |  |  | $ | – |  |  | $ | – |  |  | $ | 19,153 |
Debt securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Canadian government and agency |  |  | 738 |  |  |  | 1,242 |  |  |  | 2,536 |  |  |  | 3,811 |  |  |  | 12,939 |  |  |  | – |  |  |  | 21,266 |
U.S. government and agency |  |  | 380 |  |  |  | 775 |  |  |  | 505 |  |  |  | 3,560 |  |  |  | 19,516 |  |  |  | – |  |  |  | 24,736 |
Other government and agency |  |  | 457 |  |  |  | 753 |  |  |  | 1,490 |  |  |  | 3,801 |  |  |  | 19,972 |  |  |  | – |  |  |  | 26,473 |
Corporate |  |  | 8,599 |  |  |  | 14,542 |  |  |  | 16,767 |  |  |  | 36,778 |  |  |  | 52,392 |  |  |  | 1 |  |  |  | 129,079 |
Mortgage / asset-backed securities |  |  | 6 |  |  |  | 89 |  |  |  | 265 |  |  |  | 574 |  |  |  | 1,354 |  |  |  | – |  |  |  | 2,288 |
Public equities |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | 23,519 |  |  |  | 23,519 |
Mortgages |  |  | 3,288 |  |  |  | 7,838 |  |  |  | 10,911 |  |  |  | 7,906 |  |  |  | 11,629 |  |  |  | 10,193 |  |  |  | 51,765 |
Private placements |  |  | 1,485 |  |  |  | 2,962 |  |  |  | 4,090 |  |  |  | 7,958 |  |  |  | 25,440 |  |  |  | 75 |  |  |  | 42,010 |
Loans to Bank clients |  |  | 40 |  |  |  | 18 |  |  |  | 5 |  |  |  | – |  |  |  | 2 |  |  |  | 2,716 |  |  |  | 2,781 |
Real estate |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Own use property |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | 2,852 |  |  |  | 2,852 |
Investment property |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | 11,417 |  |  |  | 11,417 |
Other invested assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Alternative long-duration assets |  |  | 1 |  |  |  | 46 |  |  |  | 22 |  |  |  | 35 |  |  |  | 674 |  |  |  | 37,682 |  |  |  | 38,460 |
Various other (2) |  |  | 105 |  |  |  | – |  |  |  | 19 |  |  |  | 509 |  |  |  | 3,206 |  |  |  | 504 |  |  |  | 4,343 |
Total invested assets |  | $ | 34,252 |  |  | $ | 28,265 |  |  | $ | 36,610 |  |  | $ | 64,932 |  |  | $ | 147,124 |  |  | $ | 88,959 |  |  | $ | 400,142 |
Note: For footnotes (1) to (2), refer to the “Remaining term to maturity” table as at December 31, 2023 above.

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