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Derivative and Hedging Instruments (Tables)
 12 Months Ended
Dec. 31, 2023
Text block [abstract]  
Summary of Gross Notional Amount and Fair Value of Derivative Instruments
The following table presents gross notional amount and fair value of derivative instruments by the underlying risk exposure.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
As at December 31,
 
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 )