XML 69 R40.htm IDEA: XBRL DOCUMENT v3.24.0.1
Risk Management (Tables)
 12 Months Ended
Dec. 31, 2023
Statement [LineItems]  
Summary of Potential Immediate Impacts on Contractual Service Margin, Net Income Attributed to Shareholders, Other Comprehensive Income Attributed to Shareholders, and Total Comprehensive Income Attributed to Shareholders from Changes in ALDA Market Values
Potential immediate impacts on contractual service margin, net income attributed to shareholders, other comprehensive income attributed to shareholders, and total comprehensive income attributed to shareholders from changes in ALDA market values
(1)
 
As at
 
 
 
 
December 31, 2023
 
 
 
 
 
December 31, 2022
 
(post-tax
except CSM)
 
  
 
 
-10%
 
 
+10%
 
 
 
 
 
-10%
 
 
+10%
 
CSM excluding NCI
 
 
 
    
$
(100
)
  
$
100
 
  
 
 
 
 
 $ (100 )    $ 100  
Net income attributed to shareholders
 
 
 
    
 
(2,400
)
    
2,400
 
  
 
 
 
 
   (2,500 )      2,500  
Other comprehensive income attributed to shareholders
 
 
 
    
 
(200
)
    
200
 
  
 
 
 
 
   (100 )      100  
Total comprehensive income attributed to shareholders
 
 
 
  
 
 
(2,600
)
    
2,600
 
  
 
 
 
 
   (2,600 )      2,600  
 
(1)
See “Caution related to sensitivities” above.
Summary of Investment Categories for Variable Contracts with Guarantees
Investment categories for variable contracts with guarantees
 
Variable contracts with guarantees, including variable annuities and variable life, are invested, at the policyholder’s discretion subject to contract limitations, in various fund types within the segregated fund accounts and other investments. The account balances by investment category are set out below.
 
 
 
 
 
 
 
 
 
 
 
As at December 31,
Investment category
  
2023
     2022  
Equity funds  
$
45,593
 
   $ 42,506  
Balanced funds
  
 
35,801
 
     36,290  
Bond funds
  
 
8,906
 
     9,336  
Money market funds
  
 
1,559
 
     1,924  
Other fixed interest rate investments
  
 
1,907
 
     2,029  
Total
  
$
 93,766
 
   $  92,085  
Summary of Potential Impacts on Contractual Service Margin, Net Income Attributed to Shareholders, Other Comprehensive Income Attributed to Shareholders, and Total Comprehensive Income Attributed to Shareholders of an Immediate Parallel Change in Interest Rates, Corporate Spreads or Swap Spreads Relative to Current Rates
Potential impacts on contractual service margin, net income attributed to shareholders, other comprehensive income attributed to shareholders, and total comprehensive income attributed to shareholders of an immediate parallel change in interest rates, corporate spreads or swap spreads relative to current rates
(1),(2),(3)
,(4)
 
As at December 31, 2023
 
Interest rates
 
 
 
 
 
Corporate spreads
 
 
 
 
 
Swap spreads
 
(post-tax
except CSM)
 
-50bp
 
 
+50bp
 
 
 
 
 
-50bp
 
 
+50bp
 
 
 
 
 
-20bp
 
 
+20bp
 
CSM
  
$
–
 
  
$
(100
)
          
$
–
 
  
$
(100
)
          
$
–
 
  
$
–
 
Net income attributed to shareholders
  
 
100
 
  
 
(100
)
          
 
–
 
  
 
–
 
          
 
100
 
  
 
(100
)
Other comprehensive income attributed to shareholders
  
 
(300
)
  
 
300
 
          
 
(200
)
  
 
300
 
          
 
(100
)
  
 
100
 
Total comprehensive income attributed to shareholders
  
 
(200
)
  
 
200
 
          
 
(200
)
  
 
300
 
          
 
–
 
  
 
–
 
             
As at December 31, 2022
   Interest rates           Corporate spreads           Swap spreads  
(
post-tax
except CSM)
   -50bp     +50bp           -50bp     +50bp           -20bp     +20bp  
CSM
   $ (100 )    $ –             $ (100 )    $ –             $       –     $       –  
Net income attributed to shareholders
     1,700       (1,500 )             –       –               –       –  
Other comprehensive income attributed to shareholders
     (1,900 )     1,600               –       –               –       –  
Total comprehensive income attributed to shareholders
     (200 )      100               –       –               –       –  
 
(1)
See “Caution related to sensitivities” above.
(2)
Estimates include changes to the net actuarial gains/losses with respect to the Company’s pension obligations as a result of changes in interest rates.
(3)
Includes guaranteed insurance and annuity products, including variable annuity contracts as well as adjustable benefit products where benefits are generally adjusted as interest rates and investment returns change, a portion of which have minimum credited rate guarantees. For adjustable benefit products subject to minimum rate guarantees, the sensitivities are based on the assumption that credited rates will be floored at the minimum.
(4)
 
The Company adopted IFRS 9 hedge accounting prospectively from January 1, 2023, as such the sensitivity results for 2023 and 2022 are based on different accounting basis in which 2023 includes the impacts of hedge accounting and 2022 does not.
Summary of Gross Carrying Amount of Financial Instruments Subject to Credit Exposure
The following table presents financial instruments subject to credit exposure, without considering any collateral held or other credit enhancements, and other significant credit risk exposures from loan commitments, with allowances, presenting separately Stage 1, Stage 2, and Stage 3 credit risk profiles. For each asset type presented in the table, amortized cost and FVOCI financial instruments are presented together. Amortized cost financial instruments are shown gross of the allowance for credit losses, which is shown separately. FVOCI financial instruments are shown at fair value with the allowance for credit losses shown separately.

As at December 31, 2023
 
Stage 1
 
 
Stage 2
 
 
Stage 3
 
 
Total
 
Debt securities
 
 
 
 
Investment grade
  
$
198,935
 
  
$
2,252
 
  
$
–
 
  
$
  201,187
 
Non-investment grade
  
 
5,367
 
  
 
596
 
  
 
–
 
  
 
5,963
 
Default
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
Total
  
 
204,302
 
  
 
2,848
 
  
 
–
 
  
 
207,150
 
Allowance for credit losses on assets measured at amortized cost
  
 
–
 
  
 
1
 
  
 
–
 
  
 
1
 
Net of allowance
  
 
204,302
 
  
 
2,847
 
  
 
–
 
  
 
207,149
 
Allowance for credit losses on assets measured at FVOCI
  
 
283
 
  
 
54
 
  
 
6
 
  
 
343
 
Private placements
                                
Investment grade
  
 
37,722
 
  
 
1,644
 
  
 
–
 
  
 
39,366
 
Non-investment grade
  
 
5,210
 
  
 
295
 
  
 
81
 
  
 
5,586
 
Total
  
 
42,932
 
  
 
1,939
 
  
 
81
 
  
 
44,952
 
Allowance for credit losses on assets measured at amortized cost
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
Net of allowance
  
 
42,932
 
  
 
1,939
 
  
 
81
 
  
 
44,952
 
Allowance for credit losses on assets measured at FVOCI
  
 
126
 
  
 
108
 
  
 
83
 
  
 
317
 
Commercial mortgages
                                
AAA
  
 
279
 
  
 
–
 
  
 
–
 
  
 
279
 
AA
  
 
6,815
 
  
 
–
 
  
 
–
 
  
 
6,815
 
A
  
 
14,259
 
  
 
134
 
  
 
–
 
  
 
14,393
 
BBB
  
 
5,513
 
  
 
984
 
  
 
–
 
  
 
6,497
 
BB
  
 
10
 
  
 
532
 
  
 
–
 
  
 
542
 
B and lower
  
 
145
 
  
 
71
 
  
 
107
 
  
 
323
 
Total
  
 
27,021
 
  
 
1,721
 
  
 
107
 
  
 
28,849
 
Allowance for credit losses on assets measured at amortized cost
  
 
1
 
  
 
2
 
  
 
–
 
  
 
3
 
Net of allowance
  
 
27,020
 
  
 
1,719
 
  
 
107
 
  
 
28,846
 
Allowance for credit losses on assets measured at FVOCI
  
 
40
 
  
 
42
 
  
 
143
 
  
 
225
 
Residential mortgages
 
 
 
 
Performing
    
20,898
 
    
1,570
 
    
–
 
    
22,468
 
Non-performing
  
 
–
 
  
 
–
 
  
 
60
 
  
 
60
 
Total
  
 
20,898
 
  
 
1,570
 
  
 
60
 
  
 
22,528
 
Allowance for credit losses on assets measured at amortized cost
  
 
4
 
  
 
2
 
  
 
2
 
  
 
8
 
Net of allowance
  
 
20,894
 
  
 
1,568
 
  
 
58
 
  
 
22,520
 
Allowance for credit losses on assets measured at FVOCI
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
Loans to Bank clients
                                
Performing
  
 
2,387
 
  
 
44
 
  
 
–
 
  
 
2,431
 
Non-performing
  
 
–
 
  
 
–
 
  
 
8
 
  
 
8
 
Total
  
 
2,387
 
  
 
44
 
  
 
8
 
  
 
2,439
 
Allowance for credit losses on assets measured at amortized cost
  
 
2
 
  
 
–
 
  
 
1
 
  
 
3
 
Net of allowance
  
 
2,385
 
  
 
44
 
  
 
7
 
  
 
2,436
 
Allowance for credit losses on assets measured at FVOCI
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
Other invested assets
                                
Investment grade
  
 
3,791
 
  
 
–
 
  
 
–
 
  
 
3,791
 
Below investment grade
  
 
360
 
  
 
–
 
  
 
–
 
  
 
360
 
Default
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
Total
  
 
4,151
 
  
 
–
 
  
 
–
 
  
 
4,151
 
Allowance for credit losses on assets measured at amortized cost
  
 
1
 
  
 
–
 
  
 
–
 
  
 
1
 
Net of allowance
  
 
4,150
 
  
 
–
 
  
 
–
 
  
 
4,150
 
Allowance for credit losses on assets measured at FVOCI
  
 
16
 
  
 
–
 
  
 
–
 
  
 
16
 
Loan commitments
                                
Allowance for credit losses
  
 
9
 
  
 
1
 
  
 
2
 
  
 
12
 
Net of allowance, total
  
$
301,683
 
  
$
8,117
 
  
$
253
 
  
$
310,053
 
Summary of Carrying Value of Past Due but Not Impaired and Impaired Financial Assets
The following table presents past due but not impaired and impaired financial assets as at December 31, 2022 under IAS 39.
 
    Past due but not impaired        
As at December 31, 2022   Less than
90 days		     90 days
and greater		     Total     Total
impaired		  
Debt securities
(1),(2)
                                
FVTPL
   $ 2,059     $ 71     $ 2,130     $ 9  
AFS
     922       –       922       –  
Private placements
(1)
     317       152       469       229  
Mortgages and loans to Bank clients
     103       –       103       74  
Other financial assets
     36       34       70       1  
Total
   $   3,437     $   257     $   3,694     $   313  
 
(1)
 
Payments of $12 on $3,297 of financial assets past due less than 90 days were delayed.
(2)
 
Payments of $4 on $224 of financial assets past due greater than 90 days were delayed.
Summary of Macroeconoic Variables Used to Measure Allowance for Credit Losses
The following table shows certain key macroeconomic variables used to estimate the ECL allowances by market. For the base case, upside and downside scenarios, the projections are provided for the next 12 months and then for the remaining forecast period, which represents a medium-term view.
 
 
 
 
 
 
Base case scenario
 
 
 
 
 
Upside scenario
 
 
 
 
 
Downside scenario 1
 
 
 
 
 
Downside scenario 2
 
As at December 31, 2023
 
Current
quarter
 
 
Next 12
months
 
 
Ensuing 4
years
 
 
  
 
 
Next 12
months
 
 
Ensuing 4
years
 
 
  
 
 
Next 12
months
 
 
Ensuing 4
years
 
 
  
 
 
Next 12
months
 
 
Ensuing 4
years
 
Canada
 
 
 
 
 
 
 
 
 
Gross Domestic Product (GDP), in U.S. $ billions
 
  
$  1,448
 
 
 
1.6%
 
 
 
2.0%
 
 
 
 
3.6%
 
 
 
2.3%
 
 
 
 
(2.1%)
 
 
 
2.2%
 
 
 
 
(4.1%)
 
 
 
2.1%
 
Unemployment rate
 
 
5.8%
 
 
 
6.0%
 
 
 
5.8%
 
 
 
 
5.3%
 
 
 
4.9%
 
 
 
 
7.9%
 
 
 
7.7%
 
 
 
 
9.2%
 
 
 
9.3%
 
NYMEX Light Sweet Crude Oil (in U.S. dollars, per barrel)
 
  
$   85.7
 
 
 
82.8
 
 
 
71.4
 
 
 
 
85.3
 
 
 
71.7
 
 
 
 
68.0
 
 
 
64.8
 
 
 
 
58.9
 
 
 
58.6
 
U.S.
 
 
 
 
 
 
 
 
 
Gross Domestic Product (GDP), in U.S. $ billions
 
  
$ 22,531
 
 
 
1.3%
 
 
 
2.3%
 
 
 
 
3.6%
 
 
 
2.4%
 
 
 
 
(2.5%)
 
 
 
2.6%
 
 
 
 
(4.2%)
 
 
 
2.5%
 
Unemployment rate
 
 
3.9%
 
 
 
3.9%
 
 
 
4.0%
 
 
 
 
3.2%
 
 
 
3.3%
 
 
 
 
6.5%
 
 
 
5.8%
 
 
 
 
6.9%
 
 
 
7.6%
 
7-10 Year BBB U.S. Corporate Index
 
 
6.6%
 
 
 
6.5%
 
 
 
6.0%
 
 
 
 
6.2%
 
 
 
6.1%
 
 
 
 
6.0%
 
 
 
5.4%
 
 
 
 
6.6%
 
 
 
5.3%
 
Japan
 
 
 
 
 
 
 
 
 
Gross Domestic Product (GDP), in JPY billions
 
 
¥559,492
 
 
 
0.4%
 
 
 
0.8%
 
 
 
 
2.5%
 
 
 
1.0%
 
 
 
 
(4.6%)
 
 
 
1.1%
 
 
 
 
(8.3%)
 
 
 
1.7%
 
Unemployment rate
 
 
2.7%
 
 
 
2.7%
 
 
 
2.4%
 
 
 
 
2.6%
 
 
 
2.2%
 
 
 
 
3.2%
 
 
 
3.1%
 
 
 
 
3.3%
 
 
 
3.7%
 
Hong Kong
 
 
 
 
 
 
 
 
 
Unemployment rate
 
 
2.8%
 
 
 
2.9%
 
 
 
3.2%
 
 
 
 
2.6%
 
 
 
2.8%
 
 
 
 
4.0%
 
 
 
4.0%
 
 
 
 
4.4%
 
 
 
4.8%
 
Hang Seng Index
 
 
19,316
 
 
 
20.9%
 
 
 
5.1%
 
 
 
 
35.4%
 
 
 
4.7%
 
 
 
 
(13.6%)
 
 
 
11.3%
 
 
 
 
(34.1%)
 
 
 
14.8%
 
China
 
 
 
 
 
 
 
 
 
Gross Domestic Product (GDP), in CNY billions
 
 
$108,251
 
 
 
6.0%
 
 
 
4.3%
 
 
 
 
9.5%
 
 
 
4.4%
 
 
 
 
(1.2%)
 
 
 
4.6%
 
 
 
 
(4.7%)
 
 
 
3.9%
 
FTSE Xinhua A200 Index
 
 
9,852
 
 
 
7.3%
 
 
 
5.0%
 
 
 
 
 
 
 
26.6%
 
 
 
3.0%
 
 
 
 
 
 
 
(31.4%)
 
 
 
11.9%
 
 
 
 
 
 
 
(42.0%)
 
 
 
13.4%
 
Summary of Estimated Expected Credit Losses From All Macoreconomic Scenarios
The following table shows the ECL allowance resulting from all four macroeconomic scenarios (including the more heavily weighted best estimate baseline scenario, one upside and two downside scenarios) weighted by probability of occurrence and shows the ECL allowance resulting from only the baseline scenario.
 
As at
 
December 31, 2023
 
Probability-weighted ECLs
  
$
929
 
Base ECLs
  
$
659
 
Difference – in amount
  
$
270
 
Difference – in percentage
  
 
29.08
%
 
Summary of Reconciliation of Allowance for Loan Losses
The following table provides details on the allowance for credit losses by stage as at and for the year ended December 31, 2023 under IFRS 9.
 
As at December 31, 2023
 
Stage 1
 
 
Stage 2
 
 
Stage 3
 
 
Total
 
Balance, beginning of year
  
$
511
 
  
$
141
 
  
$
72
 
  
$
724
 
Net re
-
measurement due to transfers
  
 
4
 
  
 
6
 
  
 
(10
)
  
 
–
 
Transfer to stage 1
  
 
12
 
  
 
(11
)
  
 
(1
)
  
 
–
 
Transfer to stage 2
  
 
(6
)
 
 
28
 
 
 
(22
)
  
 
–
 
Transfer to stage 3
  
 
(2
)
 
 
(11
)
 
 
13
 
  
 
–
 
Net originations, purchases and disposals
  
 
45
 
  
 
8
 
  
 
(23
)
  
 
30
 
Repayments
  
 
–
 
  
 
–
 
  
 
–
 
  
 
–
 
Changes to risk, parameters, and models
  
 
(71
)
  
 
48
 
  
 
233
 
  
 
210
 
Foreign exchange and other adjustments
  
 
(7
)
  
 
7
 
  
 
(35
)
  
 
(35
)
Balance, end of year
  
$
  482
 
  
$
  210
 
  
$
 237
 
  
$
  929
 
Summary of Effect of Conditional Master Netting and Similar Arrangements
The following table presents the effect of conditional master netting and similar arrangements. Similar arrangements may include global master repurchase agreements, global master securities lending agreements, and any related rights to financial collateral pledged or received.
 
          Related amounts not set off in the
Consolidated Statements of
Financial Position		              
As at December 31, 2023
   Gross amounts of
financial instruments
(1)
     Amounts subject to
an enforceable
master netting
arrangement or
similar agreements		     Financial
and cash
collateral
pledged
(received)
(2)
     Net
amounts
including
financing
entity
(3)
     Net
amounts
excluding
financing
entity		  
Financial assets
                                        
Derivative assets
  
$
9,044
 
  
$
(6,516
)
  
$
(2,374
)
  
$
154
 
  
$
154
 
Securities lending
  
 
626
 
  
 
–
 
  
 
(626
)
  
 
–
 
  
 
–
 
Reverse repurchase agreements
  
 
466
 
  
 
(202
)
  
 
(264
)
  
 
–
 
  
 
–
 
Total financial assets
  
$
10,136
 
  
$
(6,718
)
  
$
(3,264
)
  
$
154
 
  
$
154
 
Financial liabilities
                                        
Derivative liabilities
  
$
(12,600
)
  
$
6,516
 
  
$
5,958
 
  
$
(126
)
  
$
(57
)
Repurchase agreements
  
 
(202
)
  
 
202
 
  
 
–
 
  
 
–
 
  
 
–
 
Total financial liabilities
  
$
(12,802
)
  
$
6,718
 
  
$
5,958
 
  
$
(126
)
  
$
(57
)
         
          Related amounts not set off in the
Consolidated Statements of
Financial Position		              
As at December 31, 2022   Gross amounts of
financial instruments
(1)
     Amounts subject to
an enforceable
master netting
arrangement or
similar agreements		     Financial
and cash
collateral
pledged
(received)
(2)
     Net
amounts
including
financing
entity
(3)
     Net
amounts
excluding
financing
entity		  
Financial assets
                                        
Derivative assets
   $ 9,072     $ (7,170 )    $ (1,687 )    $ 215     $ 215  
Securities lending
     723       –       (723 )      –       –  
Reverse repurchase agreements
     895       (779 )      (116 )      –       –  
Total financial assets
   $    10,690     $ (7,949 )   $ (2,526 )   $    215     $    215  
Financial liabilities
                                        
Derivative liabilities
   $ (15,151 )    $    7,170     $    7,834     $ (147 )   $ (103 ) 
Repurchase agreements
     (895 )      779       116       –       –  
Total financial liabilities
   $ (16,046 )   $ 7,949     $ 7,950     $ (147 )    $ (103 ) 
 
(1)
 
Financial assets and liabilities include accrued interest of $502 and $913 respectively (2022 – $488 and $862 respectively).
(2)
 
Financial and cash collateral exclude over-collateralization. As at December 31, 2023, the Company was over-collateralized on OTC derivative assets, OTC derivative liabilities, securities lending and reverse repurchase agreements and repurchase agreements in the amounts of $424, $1,420
,
$20 
and $nil
respectively (2022 – $507, $1,528, $63 and $nil respectively). As at December 31, 2023, collateral pledged (received) does not include collateral-in-transit on OTC instruments or initial margin on exchange traded contracts or cleared contracts.
(3)
 
Includes derivative contracts entered between the Company and its unconsolidated financing entity. The Company does not exchange collateral on derivative contracts entered with this entity. Refer to note 18.
Summary of the Effect of Unconditional Netting The following table presents the effect of unconditional netting.
 
As at December 31, 2023
 
Gross amounts of
financial instruments
 
 
Amounts subject to
an enforceable
netting arrangement
 
 
Net amounts of
financial instruments
 
Credit linked note
(1)
  
$
1,276
 
  
$
(1,276
)
  
$
–
 
Variable surplus note
  
 
(1,276
)
  
 
1,276
 
  
 
–
 
       
As at December 31, 2022   Gross amounts of
financial instruments		     Amounts subject to
an enforceable
netting arrangement		     Net amounts of
financial instruments		  
Credit linked note
(1)
   $ 1,242       $ (1,242 )    $   –  
Variable surplus note
       (1,242 )      1,242       –  
 
(1)
 
As at December 31, 2023 and 2022, the Company had no fixed surplus notes outstanding
.
R
efer to note 19 (
g
).
Schedule of Distribution of Debt Securities and Private Placements Portfolio by Sector and Industry
The following table presents debt securities and private placements portfolio by sector and industry.
 
 
 
2023
 
 
 
 
 
2022
 
As at December 31,
 
Carrying value
 
 
% of total
 
 
 
 
 
Carrying value
 
 
% of total
 
Government and agency
  
$
   84,739
 
  
 
33
 
           $ 77,236       31  
Utilities
  
 
45,952
 
  
 
18
 
             46,315       18  
Financial
  
 
39,069
 
  
 
15
 
             38,808       15  
Consumer
  
 
31,181
 
  
 
12
 
             31,556       13  
Energy
  
 
15,782
 
  
 
6
 
             16,314       7  
Industrial
  
 
24,209
 
  
 
9
 
             23,823       9  
Other
  
 
16,823
 
  
 
7
 
             16,909       7  
Total
  
$
257,755
 
  
 
100
 
           $   250,961       100  
Schedule of Geographic Concentration of Insurance and Investment Contract Liabilities, Including Embedded Derivatives
The geographic concentration of the Company’s insurance and investment contract liabilities, including embedded derivatives, is shown below. The disclosure is based on the countries in which the business is written.
 
As at December 31, 2023
 
Insurance
contract liabilities
 
 
Investment
contract liabilities
 
 
Reinsurance
assets
 
 
Net liabilities
 
U.S. and Canada
  
$
327,458
 
  
$
260,046
 
  
$
(39,080
)
  
$
548,424
 
Asia and Other
  
 
154,536
 
  
 
15,171
 
  
 
(1,169
)
  
 
168,538
 
Total
  
$
481,994
 
  
$
275,217
 
  
$
 (40,249
)
  
$
 716,962
  
As at December 31, 2022
 
Insurance
contract liabilities
 
 
Investment
contract liabilities
 
 
Reinsurance
assets
 
 
Net liabilities
 
U.S. and Canada
   $ 322,265     $ 233,460     $ (42,573 )   $ 513,152  
Asia and Other
     142,127       14,965       (1,480 )     155,612  
Total
   $  464,392     $ 248,425     $ (44,053
)

   $  668,764  
IFRS 7 [Member]  
Statement [LineItems]  
Schedule of Maturity of Financial Liabilities
The
following table outlines the maturity of the Company’s significant financial liabilities.
Maturity of financial liabilities
(1)
 
As at December 31, 2023
 
Less than
1 year
 
 
1 to 3
years
 
 
3 to 5
years
 
 
Over 5
years
 
 
Total
 
Long-term debt
 
$
–
 
 
$
 1,672
 
 
$
920
 
 
$
3,479
 
 
$
  6,071
 
Capital instruments
 
 
594
 
 
 
–
 
 
 
–
 
 
 
6,073
 
 
 
6,667
 
Derivatives
 
 
1,561
 
 
 
1,982
 
 
 
717
 
 
 
 7,427
 
 
 
11,687
 
Deposits from Bank clients
(2)
 
 
 16,814
 
 
 
2,963
 
 
 
 1,839
 
 
 
–
 
 
 
21,616
 
Lease liabilities
 
 
100
 
 
 
133
 
 
 
68
 
 
 
49
 
 
 
350
 
(1)
 The amounts shown above are net of the related unamortized deferred issue costs.
(2) 
Carrying value and fair value of deposits from Bank clients as at December 31, 2023 was $21,616 and $21,518, respectively (2022 – $22,507 and $22,271 respectively). Fair value is determined by discounting contractual cash flows, using market interest rates currently offered for deposits with similar terms and conditions. All deposits from Bank clients were categorized in Level 2 of the fair value hierarchy (2022 – Level 2).
  
 
 
Summary of Variable Annuity and Segregated Fund Guarantees, Net of Reinsurance
The table below shows selected information regarding the Company’s variable annuity and segregated fund investment-related guarantees gross and net of reinsurance.
 
Variable annuity and segregated fund guarantees, net of
reinsurance
 
 
 
2023
 
 
 
 
 
2022
 
As at December 31,
 
Guarantee
value
(1)
 
 
Fund
value
 
 
Net
amount at
risk
(1),(2),(3)
 
 
 
 
 
Guarantee
value
(1)
 
 
Fund value
 
 
Net
amount at
risk
(1),(2),(3)
 
Guaranteed minimum income benefit
 
$
3,864
 
 
$
2,735
 
 
$
1,156
 
 
 
$
4,357
 
 
$
2,723
 
 
$
1,639
 
Guaranteed minimum withdrawal benefit
 
 
34,833
 
 
 
33,198
 
 
 
4,093
 
 
 
 
38,319
 
 
 
34,203
 
 
 
5,734
 
Guaranteed minimum accumulation benefit
 
 
18,996
 
 
 
19,025
 
 
 
116
 
 
 
 
20,035
 
 
 
19,945
 
 
 
221
 
Gross living benefits
(4)
 
 
57,693
 
 
 
54,958
 
 
 
5,365
 
 
 
 
62,711
 
 
 
56,871
 
 
 
7,594
 
Gross death benefits
(5)
 
 
9,133
 
 
 
17,279
 
 
 
975
 
 
 
 
10,465
 
 
 
15,779
 
 
 
2,156
 
Total gross of reinsurance
 
 
66,826
 
 
 
72,237
 
 
 
6,340
 
 
 
 
73,176
 
 
 
72,650
 
 
 
9,750
 
Living benefits reinsured
 
 
24,208
 
 
 
23,146
 
 
 
3,395
 
 
 
 
26,999
 
 
 
23,691
 
 
 
4,860
 
Death benefits reinsured
 
 
3,400
 
 
 
2,576
 
 
 
482
 
 
 
 
3,923
 
 
 
2,636
 
 
 
1,061
 
Total reinsured
 
 
27,608
 
 
 
25,722
 
 
 
3,877
 
 
 
 
30,922
 
 
 
26,327
 
 
 
5,921
 
Total, net of reinsurance
 
$
 39,218
 
 
$
 46,515
 
 
$
 2,463
 
 
 
$
 42,254
 
 
$
 46,323
 
 
$
 3,829
 
 
(1)
 
Guarantee Value and Net Amount at Risk in respect of guaranteed minimum withdrawal business in Canada and the U.S. reflect the time value of money of these claims.
(2) 
Amount at risk
(in-the-money
amount) is the excess of guarantee values over fund values on all policies where the guarantee value exceeds the fund value. For guaranteed minimum death benefit, the amount at risk is defined as the current guaranteed minimum death benefit in excess of the current account balance and assumes that all claims are immediately payable. In practice, guaranteed death benefits are contingent and only payable upon the eventual death of policyholders if fund values remain below guarantee values. For guaranteed minimum withdrawal benefit, the amount at risk assumes that the benefit is paid as a lifetime annuity commencing at the earliest contractual income start age. These benefits are also contingent and only payable at scheduled maturity/income start dates in the future, if the policyholders are still living and have not terminated their policies and fund values remain below guarantee values. For all guarantees, the amount at risk is floored at zero at the single contract level.
(3) 
The amount at risk net of reinsurance at December 31, 2023 was $2,463 (2022 – $3,829) of which: US$391 (2022 – US$737) was on the Company’s U.S. business, $1,559 (2022 – $2,154) was on
the Company’s 
Canadian business, US$140 (2022 – US$275) was on
the Company’s 
Japan business and US$155 (2022 – US$224) was related to Asia (other than Japan) and
the Company’s
 
run-off
reinsurance business.
(4) 
Where a policy includes both living and death benefits, the guarantee in excess of the living benefit is included in the death benefit category as outlined in footnote 5.
(5) 
Death benefits include standalone guarantees and guarantees in excess of living benefit guarantees where both death and living benefits are provided on a policy.
Schedule of Potential Immediate Impact on Net Income Attributed to Shareholders Arising from Changes to Public Equity Returns
Potential immediate impact on net income attributed to shareholders arising from changes to public equity returns
(1)
 
  
 
Net income attributed to shareholders
 
As at December 31, 2023
 
-30%
 
 
-20%
 
 
-10%
 
 
+10%
 
 
+20%
 
 
+30%
 
Underlying sensitivity
 
 
 
 
 
 
Variable annuity guarantees
(2)
 
$
(2,370
) 
 
$
(1,460
) 
 
$
(670
) 
 
$
550
 
 
$
1,010
 
 
$
1,390
 
General fund equity investments
(3)
 
 
(1,170
) 
 
 
(770
) 
 
 
(390
) 
 
 
380
 
 
 
760
 
 
 
1,140
 
Total underlying sensitivity before hedging
 
 
(3,540
) 
 
 
(2,230
) 
 
 
(1,060
) 
 
 
930
 
 
 
1,770
 
 
 
2,530
 
Impact of macro and dynamic hedge assets
(4)
 
 
880
 
 
 
530
 
 
 
240
 
 
 
(190
) 
 
 
(340
) 
 
 
(460
) 
Net potential impact on net income attributed to shareholders after impact of hedging and before impact
of reinsurance
 
 
(2,660
) 
 
 
(1,700
) 
 
 
(820
) 
 
 
740
 
 
 
1,430
 
 
 
2,070
 
Impact of reinsurance
 
 
1,470
 
 
 
900
 
 
 
420
 
 
 
(350
) 
 
 
(650
) 
 
 
(910
) 
Net potential impact on net income attributed to shareholders after impact of hedging and reinsurance
 
$
(1,190
) 
 
$
(800
) 
 
$
(400
) 
 
$
390
 
 
$
780
 
 
$
1,160
 
  
 
Net income attributed to shareholders
 
As at December 31, 2022
 
-30%
 
 
-20%
 
 
-10%
 
 
+10%
 
 
+20%
 
 
+30%
 
Underlying sensitivity
 
 
 
 
 
 
Variable annuity guarantees
(2)
 
$
(2,110
)
 
$
(1,310
)
 
$
(610
)
 
$
530
 
 
$
980
 
 
$
1,360
 
General fund equity investments
(3)
 
 
(1,450
) 
 
 
(920
) 
 
 
(420
) 
 
 
400
 
 
 
780
 
 
 
1,170
 
Total underlying sensitivity before hedging
 
 
(3,560
) 
 
 
(2,230
) 
 
 
(1,030
) 
 
 
930
 
 
 
1,760
 
 
 
2,530
 
Impact of macro and dynamic hedge assets
(4)
 
 
930
 
 
 
570
 
 
 
260
 
 
 
(220
) 
 
 
(400
) 
 
 
(540
) 
Net potential impact on net income attributed to shareholders after impact of hedging and before impact of reinsurance
 
 
(2,630
) 
 
 
(1,660
) 
 
 
(770
) 
 
 
710
 
 
 
1,360
 
 
 
1,990
 
Impact of reinsurance
 
 
1,170
 
 
 
740
 
 
 
350
 
 
 
(310
) 
 
 
(580
) 
 
 
(810
) 
Net potential impact on net income attributed to shareholders after impact of hedging and reinsurance
 
$
(1,460
) 
 
$
(920
) 
 
$
(420
) 
 
$
400
 
 
$
780
 
 
$
1,180
 
(1)
See “Caution related to sensitivities” above.
(2)
For variable annuity contracts measured under VFA the impact of financial risk and changes in interest rates adjusts CSM, unless the risk mitigation option applies. The Company has elected to apply risk mitigation and therefore a portion of the impact is reported in net income attributed to shareholders instead of adjusting the CSM. If the CSM for a group of variable annuity contracts is exhausted the full impact is reported in net income attributed to shareholders.
(3)
This impact for general fund equity investments includes general fund investments supporting the Company’s insurance contract liabilities, investment in seed money investments (in segregated and mutual funds made by Global WAM segment) and the impact on insurance contract liabilities related to the projected future fee income on variable universal life and other unit linked products. The impact does not include any potential impact on public equity weightings. The participating policy funds are largely self-supporting and generate no material impact on net income attributed to shareholders as a result of changes in equity markets.
(4)
Includes the impact of assumed rebalancing of equity hedges in the macro and dynamic hedging program. The impact of dynamic hedge represents the impact of equity hedges offsetting 95% of the dynamically hedged variable annuity liability movement that occurs as a result of market changes, but does not include any impact in respect of other sources of hedge accounting ineffectiveness (e.g.
,
fund tracking, realized volatility and equity, interest rate correlations different from expected among other factors).
Summary of Potential Immediate Impact on Contractual Service Margin, Other Comprehensive Income to Shareholders, Total Comprehensive Income to Shareholders and MLI's LICAT Ratio from Changes to Public Equity Market Values
Potential immediate impact on contractual service margin, other comprehensive income to shareholders and total comprehensive income to shareholders
(1),(2),(3)

 
As at December 31, 2023
 
-30%
 
 
-20%
 
 
-10%
 
 
+10%
 
 
+20%
 
 
+30%
 
Variable annuity guarantees reported in CSM
  
$
(3,810
)
  
$
(2,370
)
  
$
(1,100
)
  
$
940
 
  
$
1,760
 
  
$
2,470
 
Impact of risk mitigation—hedging
(4)
  
 
1,150
 
  
 
700
 
  
 
310
 
  
 
(250
)
  
 
(450
)
  
 
(600
)
Impact of risk mitigation—reinsurance
(4)
  
 
1,850
 
 
 
1,140
 
  
 
530
 
  
 
(450
)
  
 
(830
)
  
 
(1,150
)
VA net of risk mitigation
  
 
(810
)
  
 
(530
)
  
 
(260
)
  
 
240
 
  
 
480
 
  
 
720
 
General fund equity
  
 
(940
)
  
 
(610
)
  
 
(300
)
  
 
290
 
  
 
590
 
  
 
870
 
Contractual service margin
(pre-tax)
  
$
(1,750
)
  
$
(1,140
)
  
$
(560
)
  
$
530
 
  
$
1,070
 
  
$
1,590
 
Other comprehensive income attributed to shareholders
(post-tax)
(5)
  
$
(730
)
  
$
(490
)
  
$
(240
)
  
$
230
 
  
$
460
 
  
$
680
 
Total comprehensive income attributed to shareholders
(post-tax)
  
$
(1,920
)
  
$
(1,290
)
  
$
(640
)
  
$
620
 
  
$
1,240
 
  
$
1,840
 
             
As at December 31, 2022
  
-30%
     -20%     -10%     +10%     +20%     +30%  
Variable annuity guarantees reported in CSM
   $ (3,410 )    $ (2,140 )    $ (1,010 )    $ 890     $ 1,670     $ 2,360  
Impact of risk mitigation—hedging
(4)
     1,200       740       340       (280 )      (510 )      (690 ) 
Impact of risk mitigation—reinsurance
(4)
     1,480       930       440       (390 )      (730 )      (1,030 ) 
VA net of risk mitigation
     (730 )      (470 )      (230 )      220       430       640  
General fund equity
     (520 )      (370 )      (210 )      240       490       730  
Contractual service margin
(pre-tax)
   $ (1,250 )    $ (840 )    $ (440 )    $ 460     $ 920     $ 1,370  
Other comprehensive income attributed to shareholders
(post-tax)
(5)
   $ (620 )    $ (410 )    $ (210 )    $ 210     $ 400     $ 600  
Total comprehensive income attributed to shareholders
(post-tax)
   $ (2,080 )    $ (1,330 )    $ (630 )    $ 610     $ 1,180     $ 1,780  
 
(1)
See “Caution related to sensitivities” above.
(2)
This estimate assumes that the performance of the dynamic hedging program would not completely offset the gain/loss from the dynamically hedged variable annuity guarantee liabilities. It assumes that the hedge assets are based on the actual position at the period end, and that equity hedges in the dynamic program offset 95% of the hedged variable annuity liability movement that occur as a result of market changes.
(3)
OSFI rules for segregated fund guarantees reflect full capital impacts of shocks over 20 quarters within a prescribed range. As such, the deterioration in equity markets could lead to further increases in capital requirements after the initial shock.
(4)
For variable annuity contracts measured under VFA the impact of financial risk and changes in interest rates adjusts CSM, unless the risk mitigation option applies. The Company has elected to apply risk mitigation and therefore a portion of the impact is reported in net income attributed to shareholders instead of adjusting the CSM. If the CSM for a group of variable annuity contracts is exhausted the full impact is reported in net income attributed to shareholders.
(5)
The impact of financial risk and changes to interest rates for variable annuity contracts is not expected to generate sensitivity in Other Comprehensive Income.
AA Credit Grade [Member]  
Statement [LineItems]  
Summary of Credit Default Swap Protection Sold
The following table presents details of the credit default swap protection sold by type of contract and external agency rating for the underlying reference security.
 
As at December 31, 2023
   Notional
amount
(1)
     Fair value    
Weighted
average maturity
(in years)
(2)
  
Single name CDS
(3),(4)
 
– Corporate debt
                        
AA
  
$
23
 
  
$
1
 
  
 
4
 
A
  
 
94
 
  
 
2
 
  
 
3
 
BBB
  
 
14
 
  
 
–
 
  
 
1
 
Total single name CDS
  
$
131
 
  
$
3
 
  
 
3
 
Total CDS protection sold
  
$
131
 
  
$
   3
 
  
 
3
 
As at December 31, 2022   Notional
amount
(1)
     Fair value    
Weighted
average maturity
(in years)
(2)
  
Single name CDS
(3),(4)
 
– Corporate debt
                        
AA
   $ –     $ –       –  
A
     133       4       4  
BBB
     26       –       1  
Total single name CDS
   $   159     $ 4       4  
Total CDS protection sold
   $ 159     $ 4       4  
 
(1)
 
Notional amounts represent the maximum future payments the Company would have to pay its counterparties assuming a default of the underlying credit and zero recovery on the underlying issuer obligations.
(2)
 
The weighted average maturity of the CDS is weighted based on notional amounts.
(3)
 
Ratings are based on S&P where available followed by Moody’s, DBRS, and Fitch. If no rating is available from a rating agency, an internally developed rating is used.
(4)
 
The Company held no purchased credit protection as at December 31, 2023 and December 31, 2022.
Asset classes and individual investment risks [Member]  
Statement [LineItems]  
Schedule of Risk Concentrations
As at December 31,
 
2023
 
 
2022
 
Debt securities and private placements rated as investment grade BBB or higher
(1)
  
 
95%
       96%  
Government debt securities as a per cent of total debt securities
  
 
38%
       36%  
Government private placements as a per cent of total private placements
  
 
10%
       10%  
Highest exposure to a single non-government debt security and private placement issuer
  
$
1,131
     $ 1,006  
Largest single issuer as a per cent of the total equity portfolio
  
 
  2%
       2%  
Income producing commercial office properties (2023 – 37% of real estate, 2022 – 41%)
  
$
4,829
 
   $ 5,486  
Largest concentration of mortgages and real estate
(2)
– Ontario Canada (2023 – 29%, 2022 – 27%)
  
$
  19,003
 
   $   18,343  
 
(1)
 
Investment grade debt securities and private placements include 38% rated A, 17% rated AA and 15% rated AAA (2022 – 39%, 17% and 14%) investments based on external ratings where available.
(2)
 
Mortgages and real estate investments are diversified geographically and by property type.