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Derivative and Hedging Instruments (Tables) | 12 Months Ended
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Dec. 31, 2023
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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, |  | 2023 |  |  |  |  |  | 2022 |
|  |  |  | 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 |  | $ | 184,309 |  |  | $ | 2,627 |  |  | $ | 3,044 |  |  |  |  |  |  | $ | – |  |  | $ | – |  |  | $ | – |
|  | Foreign currency swaps |  |  | 9,055 |  |  |  | 78 |  |  |  | 1,518 |  |  |  |  |  |  |  | 48 |  |  |  | 5 |  |  |  | – |
|  | Forward contracts |  |  | 23,461 |  |  |  | 165 |  |  |  | 2,672 |  |  |  |  |  |  |  | – |  |  |  | – |  |  |  | – |
Cash flow hedges |  | Interest rate swaps |  |  | 8,372 |  |  |  | 20 |  |  |  | 48 |  |  |  |  |  |  |  | – |  |  |  | – |  |  |  | – |
|  | Foreign currency swaps |  |  | 1,150 |  |  |  | 35 |  |  |  | 181 |  |  |  |  |  |  |  | 1,155 |  |  |  | 40 |  |  |  | 203 |
|  | Forward contracts |  |  | – |  |  |  | – |  |  |  | – |  |  |  |  |  |  |  | – |  |  |  | – |  |  |  | – |
|  | Equity contracts |  |  | 240 |  |  |  | 3 |  |  |  | – |  |  |  |  |  |  |  | 173 |  |  |  | 3 |  |  |  | – |
Net investment hedges |  | Forward contracts |  |  | 654 |  |  |  | – |  |  |  | 16 |  |  |  |  |  |  |  | 626 |  |  |  | – |  |  |  | 28 |
Total derivatives in qualifying hedge accounting relationships |  |  | 227,241 |  |  |  | 2,928 |  |  |  | 7,479 |  |  |  |  |  |  |  | 2,002 |  |  |  | 48 |  |  |  | 231 |
Derivatives not designated in qualifying hedge accounting relationships |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Interest rate swaps |  |  | 103,806 |  |  |  | 2,361 |  |  |  | 3,098 |  |  |  |  |  |  |  | 268,081 |  |  |  | 5,751 |  |  |  | 7,557 |
|  | Interest rate futures |  |  | 9,449 |  |  |  | – |  |  |  | – |  |  |  |  |  |  |  | 11,772 |  |  |  | – |  |  |  | – |
|  | Interest rate options |  |  | 5,841 |  |  |  | 33 |  |  |  | – |  |  |  |  |  |  |  | 6,090 |  |  |  | 98 |  |  |  | – |
|  | Foreign currency swaps |  |  | 33,148 |  |  |  | 1,873 |  |  |  | 398 |  |  |  |  |  |  |  | 39,667 |  |  |  | 2,029 |  |  |  | 1,579 |
|  | Currency rate futures |  |  | 2,581 |  |  |  | – |  |  |  | – |  |  |  |  |  |  |  | 2,319 |  |  |  | – |  |  |  | – |
|  | Forward contracts |  |  | 34,080 |  |  |  | 769 |  |  |  | 597 |  |  |  |  |  |  |  | 45,124 |  |  |  | 295 |  |  |  | 4,697 |
|  | Equity contracts |  |  | 19,760 |  |  |  | 579 |  |  |  | 115 |  |  |  |  |  |  |  | 16,930 |  |  |  | 363 |  |  |  | 225 |
|  | Credit default swaps |  |  | 131 |  |  |  | 3 |  |  |  | – |  |  |  |  |  |  |  | 159 |  |  |  | 4 |  |  |  | – |
|  | Equity futures |  |  | 4,040 |  |  |  | – |  |  |  | – |  |  |  |  |  |  |  | 3,813 |  |  |  | – |  |  |  | – |
Total derivatives not designated in qualifying hedge accounting relationships |  |  | 212,836 |  |  |  | 5,618 |  |  |  | 4,208 |  |  |  |  |  |  |  | 393,955 |  |  |  | 8,540 |  |  |  | 14,058 |
Total derivatives |  | $ | 440,077 |  |  | $ | 8,546 |  |  | $ | 11,687 |  |  |  |  |  |  | $ | 395,957 |  |  | $ | 8,588 |  |  | $ | 14,289 |
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 9 (g)).
|  | Remaining term to maturity |  |  |  |
As at December 31, 2023 |  | Less than 1 year |  |  | 1 to 3 years |  |  | 3 to 5 years |  |  | Over 5 years |  |  | Total |
Derivative assets |  | $ | 1,189 |  |  | $ | 603 |  |  | $ | 573 |  |  | $ | 6,181 |  |  | $ | 8,546 |
Derivative liabilities |  |  | 1,561 |  |  |  | 1,982 |  |  |  | 717 |  |  |  | 7,427 |  |  |  | 11,687 |
|  | Remaining term to maturity |  |  |  |
As at December 31, 2022 |  | Less than 1 year |  |  | 1 to 3 years |  |  | 3 to 5 years |  |  | Over 5 years |  |  | Total |
Derivative assets |  | $ | 580 |  |  | $ | 556 |  |  | $ | 556 |  |  | $ | 6,896 |  |  | $ | 8,588 |
Derivative liabilities |  |  | 2,656 |  |  |  | 1,956 |  |  |  | 1,146 |  |  |  | 8,531 |  |  |  | 14,289 |
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, 2023 |  | Under 1 year |  |  | 1 to 5 years |  |  | Over 5 years |  |  | Total |  |  |  |  |  | Positive |  |  | Negative |  |  | Net |  |  | Credit equivalent amount (1) |
Interest rate contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
OTC swap contracts |  | $ | 4,645 |  |  | $ | 20,923 |  |  | $ | 106,445 |  |  | $ | 132,013 |  |  |  |  |  |  | $ | 5,295 |  |  | $ | (6,850 | ) |  | $ | (1,555 | ) |  | $ | 300 |  |  | $ | 7 |
Cleared swap contracts |  |  | 4,634 |  |  |  | 33,082 |  |  |  | 126,758 |  |  |  | 164,474 |  |  |  |  |  |  |  | 220 |  |  |  | (180 | ) |  |  | 40 |  |  |  | – |  |  |  | – |
Forward contracts |  |  | 17,809 |  |  |  | 16,182 |  |  |  | – |  |  |  | 33,991 |  |  |  |  |  |  |  | 771 |  |  |  | (2,986 | ) |  |  | (2,215 | ) |  |  | – |  |  |  | – |
Futures |  |  | 9,449 |  |  |  | – |  |  |  | – |  |  |  | 9,449 |  |  |  |  |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |
Options purchased |  |  | 795 |  |  |  | 1,362 |  |  |  | 3,684 |  |  |  | 5,841 |  |  |  |  |  |  |  | 33 |  |  |  | – |  |  |  | 33 |  |  |  | 8 |  |  |  | – |
Subtotal |  |  | 37,332 |  |  |  | 71,549 |  |  |  | 236,887 |  |  |  | 345,768 |  |  |  |  |  |  |  | 6,319 |  |  |  | (10,016 | ) |  |  | (3,697 | ) |  |  | 308 |  |  |  | 7 |
Foreign exchange |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swap contracts |  |  | 2,110 |  |  |  | 11,782 |  |  |  | 29,461 |  |  |  | 43,353 |  |  |  |  |  |  |  | 1,978 |  |  |  | (2,179 | ) |  |  | (201 | ) |  |  | 1,087 |  |  |  | 19 |
Forward contracts |  |  | 24,204 |  |  |  | – |  |  |  | – |  |  |  | 24,204 |  |  |  |  |  |  |  | 163 |  |  |  | (299 | ) |  |  | (136 | ) |  |  | 19 |  |  |  | – |
Futures |  |  | 2,581 |  |  |  | – |  |  |  | – |  |  |  | 2,581 |  |  |  |  |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |
Subtotal |  |  | 28,895 |  |  |  | 11,782 |  |  |  | 29,461 |  |  |  | 70,138 |  |  |  |  |  |  |  | 2,141 |  |  |  | (2,478 | ) |  |  | (337 | ) |  |  | 1,106 |  |  |  | 19 |
Credit derivatives |  |  | 14 |  |  |  | 117 |  |  |  | – |  |  |  | 131 |  |  |  |  |  |  |  | 4 |  |  |  | – |  |  |  | 4 |  |  |  | – |  |  |  | – |
Equity contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swap contracts |  |  | 1,452 |  |  |  | 723 |  |  |  | – |  |  |  | 2,175 |  |  |  |  |  |  |  | 18 |  |  |  | (78 | ) |  |  | (60 | ) |  |  | 32 |  |  |  | – |
Futures |  |  | 4,040 |  |  |  | – |  |  |  | – |  |  |  | 4,040 |  |  |  |  |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |
Options purchased |  |  | 14,830 |  |  |  | 2,995 |  |  |  | – |  |  |  | 17,825 |  |  |  |  |  |  |  | 562 |  |  |  | (28 | ) |  |  | 534 |  |  |  | 215 |  |  |  | 2 |
Subtotal |  |  | 20,336 |  |  |  | 3,835 |  |  |  | – |  |  |  | 24,171 |  |  |  |  |  |  |  | 584 |  |  |  | (106 | ) |  |  | 478 |  |  |  | 247 |  |  |  | 2 |
Subtotal including accrued interest |  |  | 86,563 |  |  |  | 87,166 |  |  |  | 266,348 |  |  |  | 440,077 |  |  |  |  |  |  |  | 9,044 |  |  |  | (12,600 | ) |  |  | (3,556 | ) |  |  | 1,661 |  |  |  | 28 |
Less accrued interest |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  |  |  |  |  | 498 |  |  |  | (913 | ) |  |  | (415 | ) |  |  | – |  |  |  | – |
Total |  | $ | 86,563 |  |  | $ | 87,166 |  |  | $ | 266,348 |  |  | $ | 440,077 |  |  |  |  |  |  | $ | 8,546 |  |  | $ | (11,687 | ) |  | $ | (3,141 | ) |  | $ | 1,661 |  |  | $ | 28 |
|  | Remaining term to maturity (notional amounts) |  |  |  |  |  | Fair value |  |  |  |  |  | Capital requirement (2) |
As at December 31, 2022 |  | Under 1 year |  |  | 1 to 5 years |  |  | Over 5 years |  |  | Total |  |  |  |  |  | Positive |  |  | Negative |  |  | Net |  |  | Credit equivalent amount (1) |
Interest rate contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
OTC swap contracts |  | $ | 8,817 |  |  | $ | 19,253 |  |  | $ | 98,380 |  |  | $ | 126,450 |  |  |  |  |  |  | $ | 5,992 |  |  | $ | (8,135 | ) |  | $ | (2,143 | ) |  | $ | 419 |  |  | $ | 9 |
Cleared swap contracts |  |  | 2,494 |  |  |  | 16,823 |  |  |  | 122,314 |  |  |  | 141,631 |  |  |  |  |  |  |  | 254 |  |  |  | (219 | ) |  |  | 35 |  |  |  | – |  |  |  | – |
Forward contracts |  |  | 14,290 |  |  |  | 13,926 |  |  |  | 198 |  |  |  | 28,414 |  |  |  |  |  |  |  | 70 |  |  |  | (4,468 | ) |  |  | (4,398 | ) |  |  | 8 |  |  |  | – |
Futures |  |  | 11,772 |  |  |  | – |  |  |  | – |  |  |  | 11,772 |  |  |  |  |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |
Options purchased |  |  | 1,199 |  |  |  | 1,069 |  |  |  | 3,822 |  |  |  | 6,090 |  |  |  |  |  |  |  | 98 |  |  |  | – |  |  |  | 98 |  |  |  | 64 |  |  |  | 4 |
Subtotal |  |  | 38,572 |  |  |  | 51,071 |  |  |  | 224,714 |  |  |  | 314,357 |  |  |  |  |  |  |  | 6,414 |  |  |  | (12,822 | ) |  |  | (6,408 | ) |  |  | 491 |  |  |  | 13 |
Foreign exchange |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swap contracts |  |  | 2,026 |  |  |  | 10,475 |  |  |  | 28,369 |  |  |  | 40,870 |  |  |  |  |  |  |  | 2,067 |  |  |  | (1,846 | ) |  |  | 221 |  |  |  | 1,166 |  |  |  | 23 |
Forward contracts |  |  | 17,336 |  |  |  | – |  |  |  | – |  |  |  | 17,336 |  |  |  |  |  |  |  | 226 |  |  |  | (258 | ) |  |  | (32 | ) |  |  | 89 |  |  |  | – |
Futures |  |  | 2,319 |  |  |  | – |  |  |  | – |  |  |  | 2,319 |  |  |  |  |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |
Subtotal |  |  | 21,681 |  |  |  | 10,475 |  |  |  | 28,369 |  |  |  | 60,525 |  |  |  |  |  |  |  | 2,293 |  |  |  | (2,104 | ) |  |  | 189 |  |  |  | 1,255 |  |  |  | 23 |
Credit derivatives |  |  | 15 |  |  |  | 144 |  |  |  | – |  |  |  | 159 |  |  |  |  |  |  |  | 4 |  |  |  | – |  |  |  | 4 |  |  |  | – |  |  |  | – |
Equity contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swap contracts |  |  | 547 |  |  |  | 396 |  |  |  | – |  |  |  | 943 |  |  |  |  |  |  |  | 26 |  |  |  | (7 | ) |  |  | 19 |  |  |  | 24 |  |  |  | – |
Futures |  |  | 3,813 |  |  |  | – |  |  |  | – |  |  |  | 3,813 |  |  |  |  |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |
Options purchased |  |  | 12,634 |  |  |  | 3,526 |  |  |  | – |  |  |  | 16,160 |  |  |  |  |  |  |  | 335 |  |  |  | (218 | ) |  |  | 117 |  |  |  | 232 |  |  |  | 2 |
Subtotal |  |  | 17,009 |  |  |  | 4,066 |  |  |  | – |  |  |  | 21,075 |  |  |  |  |  |  |  | 365 |  |  |  | (225 | ) |  |  | 140 |  |  |  | 256 |  |  |  | 2 |
Subtotal including accrued interest |  |  | 77,262 |  |  |  | 65,612 |  |  |  | 253,083 |  |  |  | 395,957 |  |  |  |  |  |  |  | 9,072 |  |  |  | (15,151 | ) |  |  | (6,079 | ) |  |  | 2,002 |  |  |  | 38 |
Less accrued interest |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  |  |  |  |  | 484 |  |  |  | (862 | ) |  |  | (378 | ) |  |  | – |  |  |  | – |
Total |  | $ | 77,262 |  |  | $ | 65,612 |  |  | $ | 253,083 |  |  | $ | 395,957 |  |  |  |  |  |  | $ | 8,588 |  |  | $ | (14,289 | ) |  | $ | (5,701 | ) |  | $ | 2,002 |  |  | $ | 38 |
(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 the Office of the Superintendent of Financial Institutions (“OSFI”).
(2) | Capital requirement represents the credit equivalent amount, weighted according to the creditworthiness of the counterparty, as prescribed by OSFI.
Summary of Average Rate of the Hedging Instruments in Hedge Relationships | The following table presents the average rate of the hedging instruments in hedge relationships that do not frequently reset:
As at December 31, 2023 |  |  |  |  |  |  |  | Remaining term to maturity (notional amounts) |  |  |  |  |  | Fair value |
Hedged item |  | Hedging instrument |  |  | Average rate |  |  | Under 1 year |  |  | 1 to 5 years |  |  | Over 5 years |  |  | Total |  |  |  |  |  | Positive |  |  | Negative |  |  | Net |
Inflation risk |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Inflation linked insurance liabilities |  |  | Interest rate swaps |  |  |  | CPI rate: 290.13 |  |  | $ | 87 |  |  | $ | 459 |  |  | $ | 7,826 |  |  | $ | 8,372 |  |  |  |  |  |  | $ | 20 |  |  | $ | (48 | ) |  | $ | (28 | )
Foreign exchange risk |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed rate liabilities |  |  | Foreign currency swaps |  |  |  | SGD/CAD: 0.93503 |  |  |  | 500 |  |  |  | – |  |  |  | – |  |  |  | 500 |  |  |  |  |  |  |  | 35 |  |  |  | – |  |  |  | 35 |
Foreign exchange and interest rate risk |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Floating rate foreign currency liabilities |  |  | Foreign currency swaps |  |  |  | CAD/USD: 0.86655 |  |  |  | – |  |  |  | – |  |  |  | 650 |  |  |  | 650 |  |  |  |  |  |  |  | – |  |  |  | (181 | ) |  |  | (181 | )
Debt securities at fair value through OCI |  |  | Foreign currency swaps |  |  |  | CAD/USD: 1.22914 |  |  |  | – |  |  |  | 46 |  |  |  | – |  |  |  | 46 |  |  |  |  |  |  |  | 5 |  |  |  | – |  |  |  | 5 |
Equity risk |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Stock-based compensation |  |  | Equity contracts |  |  |  | MFC price: $26.28 |  |  |  | 11 |  |  |  | 229 |  |  |  | – |  |  |  | 240 |  |  |  |  |  |  |  | 3 |  |  |  | – |  |  |  | 3 |
Total |  |  |  |  |  |  |  |  |  | $ | 598 |  |  | $ | 734 |  |  | $ | 8,476 |  |  | $ | 9,808 |  |  |  |  |  |  | $ | 63 |  |  | $ | (229 | ) |  | $ | (166 | )
As at December 31, 2022 |  |  |  |  |  |  |  | Remaining term to maturity (notional amounts) |  |  |  |  |  | Fair value |
Hedged item |  | Hedging instrument |  |  | Average rate |  |  | Under 1 year |  |  | 1 to 5 years |  |  | Over 5 years |  |  | Total |  |  |  |  |  | Positive |  |  | Negative |  |  | Net |
Foreign exchange risk |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed rate liabilities |  |  | Foreign currency swaps |  |  |  | SGD/CAD: 0.93503 |  |  | $ | – |  |  | $ | 505 |  |  | $ | – |  |  | $ | 505 |  |  |  |  |  |  | $ | 40 |  |  | $ | – |  |  | $ | 40 |
Foreign exchange and interest rate risk |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Floating rate foreign currency liabilities |  |  | Foreign currency swaps |  |  |  | CAD/USD: 0.86655 |  |  |  | – |  |  |  | – |  |  |  | 650 |  |  |  | 650 |  |  |  |  |  |  |  | – |  |  |  | (203 | ) |  |  | (203 | )
Debt securities at fair value through OCI |  |  | Foreign currency swaps |  |  |  | CAD/USD: 1.22914 |  |  |  | – |  |  |  | 48 |  |  |  | – |  |  |  | 48 |  |  |  |  |  |  |  | 5 |  |  |  | – |  |  |  | 5 |
Equity risk |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Stock-based compensation |  |  | Equity contracts |  |  |  | MFC price: $25.39 |  |  |  | 9 |  |  |  | 164 |  |  |  | – |  |  |  | 173 |  |  |  |  |  |  |  | 3 |  |  |  | – |  |  |  | 3 |
Total |  |  |  |  |  |  |  |  |  | $ | 9 |  |  | $ | 717 |  |  | $ | 650 |  |  | $ | 1,376 |  |  |  |  |  |  | $ | 48 |  |  | $ | (203 | ) |  | $ | (155 | )
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, 2023 |  | Fair value |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |
Derivative assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate contracts |  | $ | 5,813 |  |  | $ | – |  |  | $ | 5,262 |  |  | $ | 551 |
Foreign exchange contracts |  |  | 2,148 |  |  |  | – |  |  |  | 2,148 |  |  |  | – |
Equity contracts |  |  | 582 |  |  |  | – |  |  |  | 572 |  |  |  | 10 |
Credit default swaps |  |  | 3 |  |  |  | – |  |  |  | 3 |  |  |  | – |
Total derivative assets |  | $ | 8,546 |  |  | $ | – |  |  | $ | 7,985 |  |  | $ | 561 |
Derivative liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate contracts |  | $ | 9,176 |  |  | $ | – |  |  | $ | 6,451 |  |  | $ | 2,725 |
Foreign exchange contracts |  |  | 2,396 |  |  |  | – |  |  |  | 2,395 |  |  |  | 1 |
Equity contracts |  |  | 115 |  |  |  | – |  |  |  | 114 |  |  |  | 1 |
Total derivative liabilities |  | $ | 11,687 |  |  | $ | – |  |  | $ | 8,960 |  |  | $ | 2,727 |
As at December 31, 2022 |  | Fair value |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |
Derivative assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate contracts |  | $ | 5,919 |  |  | $ | – |  |  | $ | 5,766 |  |  | $ | 153 |
Foreign exchange contracts |  |  | 2,299 |  |  |  | – |  |  |  | 2,298 |  |  |  | 1 |
Equity contracts |  |  | 366 |  |  |  | – |  |  |  | 361 |  |  |  | 5 |
Credit default swaps |  |  | 4 |  |  |  | – |  |  |  | 4 |  |  |  | – |
Total derivative assets |  | $ | 8,588 |  |  | $ | – |  |  | $ | 8,429 |  |  | $ | 159 |
Derivative liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate contracts |  | $ | 12,025 |  |  | $ | – |  |  | $ | 8,689 |  |  | $ | 3,336 |
Foreign exchange contracts |  |  | 2,039 |  |  |  | – |  |  |  | 2,037 |  |  |  | 2 |
Equity contracts |  |  | 225 |  |  |  | – |  |  |  | 216 |  |  |  | 9 |
Total derivative liabilities |  | $ | 14,289 |  |  | $ | – |  |  | $ | 10,942 |  |  | $ | 3,347 |
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 total investment result. These investment gains (losses) are shown in the following table.
For the year ended December 31, 2023 |  | Change in value of the hedged item for ineffectiveness measurement |  |  | Change in value of the hedging instrument for ineffectiveness measurement |  |  | Ineffectiveness recognized in Total investment result |  |  | Carrying amount for hedged items (1) |  |  | Accumulated fair value adjustments on hedged items |  |  | Accumulated fair value adjustments on de-designated hedged items |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate risk |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Debt securities at FVOCI |  | $ | – |  |  | $ | – |  |  | $ | – |  |  | $ | – |  |  | $ | – |  |  | $ | 241 |
Foreign currency and interest rate risk |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Debt securities at FVOCI |  |  | 742 |  |  |  | (778 | ) |  |  | (36 | ) |  |  | 9,191 |  |  |  | 576 |  |  |  | (405 | )
Total assets |  | $ | 742 |  |  | $ | (778 | ) |  | $ | (36 | ) |  | $ | 9,191 |  |  | $ | 576 |  |  | $ | (164 | )
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate risk |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Insurance contract liabilities |  | $ | (53 | ) |  | $ | 185 |  |  | $ | 132 |  |  | $ | 29,133 |  |  | $ | (2,658 | ) |  | $ | 2,642 |
Total liabilities |  | $ | (53 | ) |  | $ | 185 |  |  | $ | 132 |  |  | $ | 29,133 |  |  | $ | (2,658 | ) |  | $ | 2,642 |
For the year ended December 31, 2022 |  | Change in value of the hedged item for ineffectiveness measurement |  |  | Change in value of the hedging instrument for ineffectiveness measurement |  |  | Ineffectiveness recognized in Total investment result |  |  | Carrying amount for hedged items |  |  | Accumulated fair value adjustments on hedged items |  |  | Accumulated fair value adjustments on de-designated hedged items |
Assets (2) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate risk |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Debt securities at FVOCI |  | $ | – |  |  | $ | – |  |  | $ | – |  |  | $ | – |  |  | $ | – |  |  | $ | 265 |
Foreign currency and interest rate risk |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Debt securities at FVOCI |  |  | 7 |  |  |  | (5 | ) |  |  | 2 |  |  |  | 31 |  |  |  | 7 |  |  |  | – |
Total assets |  | $ | 7 |  |  | $ | (5 | ) |  | $ | 2 |  |  | $ | 31 |  |  | $ | 7 |  |  | $ | 265 |
Total liabilities |  | $ | – |  |  | $ | – |  |  | $ | – |  |  | $ | – |  |  | $ | – |  |  | $ | – |
(1) | The carrying amounts for hedged items presented are related to hedged items in active hedging relationships as at the reporting date. Out of the $ 9,191 related to assets, $ 9,160 relates to new hedge relationships designated under IFRS 9 and accordingly , no amounts related to these new hedge relationships are presented for the comparative period. Further, $ 29,133 related to liabilities are new hedge relationships designated under IFRS 9 and accordingly , no amounts related to these new hedge relationships are presented for the comparative period.
(2) | Represents hedge relationships previously designated under IAS 39.
Summary of Detailed Information About Movement in the Entity Cash Flow Hedge Reserve | The table below details the balances in the Company’s cash flow hedge reserve.
As at December 31, |  | 2023 |  |  | 2022 |
Balances in the cash flow hedge reserve for continuing hedges |  | $ | (149 | ) |  | $ | (107 | )
Balances remaining in the cash flow hedge reserve on de-designated hedges |  |  | – |  |  |  | – |
Total |  | $ | (149 | ) |  | $ | (107 | )
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, 2023 |  | Change in fair value of hedged items for ineffectiveness measurement |  |  | Change in fair value of hedging instruments for ineffectiveness measurement |  |  | Gains (losses) deferred in AOCI |  |  | Gains (losses) reclassified from AOCI into Total investment result |  |  | Ineffectiveness recognized in Total investment result |
Non-functional currency denominated debt |  | $ | (195 | ) |  | $ | 195 |  |  | $ | 195 |  |  | $ | – |  |  | $ | – |
Forward currency contracts |  |  | (1 | ) |  |  | 1 |  |  |  | 1 |  |  |  | – |  |  |  | – |
Total |  | $ | (196 | ) |  | $ | 196 |  |  | $ | 196 |  |  | $ | – |  |  | $ | – |
For the year ended December 31, 2022 |  | Change in fair value of hedged items for ineffectiveness measurement |  |  | Change in fair value of hedging instruments for ineffectiveness measurement |  |  | Gains (losses) deferred in AOCI |  |  | Gains (losses) reclassified from AOCI into Total investment result |  |  | Ineffectiveness recognized in Total investment result |
Non-functional currency denominated debt |  | $ | 458 |  |  | $ | (458 | ) |  | $ | (458 | ) |  | $ | – |  |  | $ | – |
Forward currency contracts |  |  | (14 | ) |  |  | 14 |  |  |  | 14 |  |  |  | – |  |  |  | – |
Total |  | $ | 444 |  |  | $ | (444 | ) |  | $ | (444 | ) |  | $ | – |  |  | $ | – |
Summary of Detailed Information about Movement in the Entity Net Investment Hedge Reserve | The table below details the balances in the Company’s net investment hedge reserve.
As at December 31, |  | 2023 |  |  | 2022 |
Balances in the foreign currency translation reserve for continuing hedges |  | $ | 59 |  |  | $ | (137 | )
Balances remaining in the net investment hedge reserve on de-designated hedges |  |  | – |  |  |  | – |
Total |  | $ | 59 |  |  | $ | (137 | )
Summary of Detailed Information About Reconciliation of Accumulated Other Comprehensive Income Loss Related to Cash Flow Hedges | Reconciliation of accumulated other comprehensive income (loss) related to cash flow hedges
For the year ended December 31, 2023 |  | Accumulated other comprehensive income (loss), beginning of the year |  |  | Hedging gains (losses) recognized in AOCI during the year |  |  | Reclassification from AOCI to income |  |  | Accumulated other comprehensive income (loss), end of the year |  |  | Reclassification adjustment related to de-designated hedges as hedged item affects income |  |  | Reclassification adjustment related to items for which the hedged future cash flows are no longer expected to occur |
Interest rate risk |  | $ | – |  |  | $ | 1 |  |  | $ | – |  |  | $ | 1 |  |  | $ | – |  |  | $ | – |
Interest rate and foreign exchange risk |  |  | (114 | ) |  |  | 23 |  |  |  | 16 |  |  |  | (107 | ) |  |  | – |  |  |  | – |
Foreign exchange translation risk |  |  | 5 |  |  |  | (10 | ) |  |  | (8 | ) |  |  | 3 |  |  |  | – |  |  |  | – |
CPI risk |  |  | – |  |  |  | (4 | ) |  |  | 81 |  |  |  | (85 | ) |  |  | – |  |  |  | – |
Equity price risk |  |  | 2 |  |  |  | 40 |  |  |  | 3 |  |  |  | 39 |  |  |  | – |  |  |  | – |
Total |  | $ | (107 | ) |  | $ | 50 |  |  | $ | 92 |  |  | $ | (149 | ) |  | $ | – |  |  | $ | – |
For the year ended December 31, 2022 |  | Accumulated other comprehensive income (loss), beginning of the year |  |  | Hedging gains (losses) recognized in AOCI during the year |  |  | Reclassification from AOCI to income |  |  | Accumulated other comprehensive income (loss), end of the year |  |  | Reclassification adjustment related to de-designated hedges as hedged item affects income |  |  | Reclassification adjustment related to items for which the hedged future cash flows are no longer expected to occur |
Interest rate risk |  | $ | – |  |  | $ | – |  |  | $ | – |  |  | $ | – |  |  | $ | – |  |  | $ | – |
Interest rate and foreign exchange risk |  |  | (313 | ) |  |  | 175 |  |  |  | (49 | ) |  |  | (89 | ) |  |  | – |  |  |  | – |
Foreign exchange translation risk |  |  | 3 |  |  |  | 33 |  |  |  | 34 |  |  |  | 2 |  |  |  | – |  |  |  | – |
CPI risk |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |  |  |  | – |
Equity price risk |  |  | 6 |  |  |  | 2 |  |  |  | 6 |  |  |  | 2 |  |  |  | – |  |  |  | – |
Total |  | $ | (304 | ) |  | $ | 210 |  |  | $ | (9 | ) |  | $ | (85 | ) |  | $ | – |  |  | $ | – |
Summary of Detailed Information about Reconciliation of Accumulated other Comprehensive Income Loss Related to Net Investment Hedges | Reconciliation of accumulated other comprehensive income (loss) related to net investment hedges
For the year ended December 31, 2023 |  | Accumulated other comprehensive income (loss), beginning of the year |  |  | Hedging gains (losses) recognized in AOCI during the year |  |  | Reclassification from AOCI to income |  |  | Accumulated other comprehensive income (loss), end of the year |  |  | Reclassification adjustment related to de- designated hedges as hedged item affects income |  |  | Reclassification adjustment related to items for which the hedged future cash flows are no longer expected to occur |
Foreign exchange translation risk |  | $ | (137 | ) |  | $ | 196 |  |  | $ | – |  |  | $ | 59 |  |  | $ | – |  |  | $ | – |
For the year ended December 31, 2022 |  | Accumulated other comprehensive income (loss), beginning of the year |  |  | Hedging gains (losses) recognized in AOCI during the year |  |  | Reclassification from AOCI to income |  |  | Accumulated other comprehensive income (loss), end of the year |  |  | Reclassification adjustment related to de- designated hedges as hedged item affects income |  |  | Reclassification adjustment related to items for which the hedged future cash flows are no longer expected to occur |
Foreign exchange translation risk |  | $ | 307 |  |  | $ | (444 | ) |  | $ | – |  |  | $ | (137 | ) |  | $ | – |  |  | $ | – |
Summary of Detailed Information About Cost of Hedging | The following table provides details of the movement in the cost of hedging by hedged risk category.
|  | For the year ended December 31, 2023 |
Foreign exchange risk |  |  |  |
Balance, beginning of year |  | $ | (3 | )
Changes in fair value |  |  | 5 |
Amount reclassified to profit or loss |  |  | 2 |
Balance, end of year |  | $ | – |
Foreign exchange and interest rate risk |  |  |  |
Balance, beginning of year |  | $ | 25 |
Changes in fair value |  |  | (8 | )
Amount reclassified to profit or loss |  |  | (1 | )
Balance, end of year |  | $ | 18 |
Summary of Investment Income on Derivatives Not Designated in Qualifying Hedge Accounting Relationships | Investment income (loss) on derivatives not designated in qualifying hedge accounting relationships
For the years ended December 31, |  | 2023 |  |  | 2022 |
Interest rate swaps |  | $ | 667 |  |  | $ | (3,428 | )
Interest rate futures |  |  | 57 |  |  |  | (431 | )
Interest rate options |  |  | (13 | ) |  |  | (258 | )
Foreign currency swaps |  |  | (4 | ) |  |  | 1,171 |
Currency rate futures |  |  | (22 | ) |  |  | (103 | )
Forward contracts |  |  | 612 |  |  |  | (7,561 | )
Equity futures |  |  | (449 | ) |  |  | 794 |
Equity contracts |  |  | 325 |  |  |  | (818 | )
Total |  | $ | 1,173 |  |  | $ | (10,634 | )

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