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Invested Assets and Investment Income (Tables)
 12 Months Ended
Dec. 31, 2023
Text block [abstract]  
Schedule of Carrying Values and Fair Values of Invested Assets
(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).
Schedule of Other Invested Assets Include Investments in Associates and Joint Ventures Accounted Using Equity Method
(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  
Schedule of Investment Income
(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  
Summary of Total Investment Expenses
(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  
Summary of Rental Income and Direct Operating Expenses of Investment Properties
(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  
Summary of Securitized Assets and Secured Borrowing Liabilities
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.
Summary of Invested Assets and Segregated Funds Net Assets, Measured at Fair Value
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.
Summary of Fair Values and the Fair Value Hierarchy
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. 
Summary of Invested Assets and Segregated Funds Net Assets Measured at Fair Value Using Significant Non-market Unobservable Inputs (Level 3)
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 )
 
Summary of Remaining Term To Maturity for Invested Assets
(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.