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Risk Management (Tables)
 12 Months Ended
Dec. 31, 2024
Disclosure of credit risk exposure [line items]  
Summary of Market Risks and Risk Management Strategies
Risk Management Strategy
Key Market & Liquidity Risk
Public
Equity Risk
Interest Rate
and Spread
Risk
ALDA
Risk
Foreign
Currency
Exchange Risk
Liquidity Risk
Product design and pricing
ü
ü
ü
ü
ü
Variable annuity guarantee dynamic hedging
ü
ü
ü
ü
Macro equity risk hedging
ü
ü
ü
Asset liability management
ü
ü
ü
ü
ü
Foreign currency exchange management
ü
ü
Liquidity risk management
ü
Summary of 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,
2024
2023
Investment category
Equity funds
$51,457
$45,593
Balanced funds
37,381
35,801
Bond funds
9,017
8,906
Money market funds
1,712
1,559
Other debt investments
2,082
1,907
Total
$101,649
$93,766
Summary of Potential Immediate Impact on Contractual Service Margin, Other Comprehensive Income to Shareholders and Total Comprehensive Income to Shareholders 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)
As at December 31, 2024
Interest rates
Corporate spreads
Swap spreads
(post-tax except CSM)
-50bp
+50bp
-50bp
+50bp
-20bp
+20bp
CSM
$100
$(200)
$-
$(100)
$-
$-
Net income attributed to shareholders
100
(100)
100
(100)
100
(100)
Other comprehensive income attributed to shareholders
(100)
200
(200)
300
(100)
100
Total comprehensive income attributed to shareholders
-
100
(100)
200
-
-
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
-
-
(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.
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, 2024
December 31, 2023
(post-tax except CSM)
-10%
+10%
-10%
+10%
CSM excluding NCI
$(200)
$200
$(100)
$100
Net income attributed to shareholders(2)
(2,500)
2,500
(2,400)
2,400
Other comprehensive income attributed to shareholders
(200)
200
(200)
200
Total comprehensive income attributed to shareholders
(2,700)
2,700
(2,600)
2,600
(1)See “Caution related to sensitivities” above.
(2)Net income attributed to shareholders includes core earnings and the amounts excluded from core earnings.
Summary of Gross Carrying Amount of Financial Instruments Subject to Credit Exposure Credit quality
The following tables present 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, 2024
Stage 1
Stage 2
Stage 3
Total
Debt securities, measured at FVOCI
Investment grade
$197,840
$1,338
$-
$199,178
Non-investment grade
5,625
363
-
5,988
Total carrying value
203,465
1,701
-
205,166
Allowance for credit losses
228
42
-
270
Debt securities, measured at amortized cost
Investment grade
1,496
-
-
1,496
Non-investment grade
-
-
-
-
Total
1,496
-
-
1,496
Allowance for credit losses
1
-
-
1
Total carrying value, net of allowance
1,495
-
-
1,495
Private placements, measured at FVOCI
Investment grade
41,796
721
-
42,517
Non-investment grade
5,004
1,133
148
6,285
Total carrying value
46,800
1,854
148
48,802
Allowance for credit losses
126
127
123
376
Commercial mortgages, measured at FVOCI
AAA
205
-
-
205
AA
7,234
-
-
7,234
A
14,035
-
-
14,035
BBB
5,679
873
-
6,552
BB
11
663
-
674
B and lower
-
21
71
92
Total carrying value
27,164
1,557
71
28,792
Allowance for credit losses
41
39
55
135
Commercial mortgages, measured at amortized cost
AAA
-
-
-
-
AA
-
-
-
-
A
225
15
-
240
BBB
-
-
-
-
BB
-
-
-
-
B and lower
112
5
5
122
Total
337
20
5
362
Allowance for credit losses
1
1
-
2
Total carrying value, net of allowance
336
19
5
360
Residential mortgages, measured at amortized cost
Performing
22,870
1,151
-
24,021
Non-performing
-
-
41
41
Total
22,870
1,151
41
24,062
Allowance for credit losses
3
2
1
6
Total carrying value, net of allowance
22,867
1,149
40
24,056
Loans to Bank clients, measured at amortized cost
Performing
2,265
38
-
2,303
Non-performing
-
-
10
10
Total
2,265
38
10
2,313
Allowance for credit losses
1
1
1
3
Total carrying value, net of allowance
2,264
37
9
2,310
Other invested assets, measured at FVOCI
Investment grade
-
-
-
-
Non-investment grade
389
-
-
389
Total carrying value
389
-
-
389
Allowance for credit losses
22
-
-
22
Other invested assets, measured at amortized cost
Investment grade
4,302
-
-
4,302
Non-investment grade
-
-
-
-
Total
4,302
-
-
4,302
Allowance for credit losses
2
-
-
2
Total carrying value, net of allowance
4,300
-
-
4,300
Loan commitments
Allowance for credit losses
9
1
1
11
Total carrying value, net of allowance
$309,080
$6,317
$273
$315,670
As at December 31, 2023
Stage 1
Stage 2
Stage 3
Total
Debt securities, measured at FVOCI
Investment grade
$197,562
$2,252
$-
$199,814
Non-investment grade
5,367
596
-
5,963
Total carrying value
202,929
2,848
-
205,777
Allowance for credit losses
283
54
6
343
Debt securities, measured at amortized cost
Investment grade
1,373
-
-
1,373
Non-investment grade
-
-
-
-
Total
1,373
-
-
1,373
Allowance for credit losses
1
-
-
1
Total carrying value, net of allowance
1,372
-
-
1,372
Private placements, measured at FVOCI
Investment grade
37,722
1,644
-
39,366
Non-investment grade
5,210
295
81
5,586
Total carrying value
42,932
1,939
81
44,952
Allowance for credit losses
126
108
83
317
Commercial mortgages, measured at FVOCI
AAA
279
-
-
279
AA
6,815
-
-
6,815
A
14,111
86
-
14,197
BBB
5,513
984
-
6,497
BB
10
532
-
542
B and lower
-
36
107
143
Total carrying value
26,728
1,638
107
28,473
Allowance for credit losses
40
42
143
225
Commercial mortgages, measured at amortized cost
AAA
-
-
-
-
AA
-
-
-
-
A
148
48
-
196
BBB
-
-
-
-
BB
-
-
-
-
B and lower
145
35
-
180
Total
293
83
-
376
Allowance for credit losses
1
2
-
3
Total carrying value, net of allowance
292
81
-
373
Residential mortgages, measured at amortized cost
Performing
20,898
1,570
-
22,468
Non-performing
-
-
60
60
Total
20,898
1,570
60
22,528
Allowance for credit losses
4
2
2
8
Total carrying value, net of allowance
20,894
1,568
58
22,520
Loans to Bank clients, measured at amortized cost
Performing
2,387
44
-
2,431
Non-performing
-
-
8
8
Total
2,387
44
8
2,439
Allowance for credit losses
2
-
1
3
Total carrying value, net of allowance
2,385
44
7
2,436
Other invested assets, measured at FVOCI
Investment grade
-
-
-
-
Non-investment grade
360
-
-
360
Total carrying value
360
-
-
360
Allowance for credit losses
16
-
-
16
Other invested assets, measured at amortized cost
Investment grade
3,791
-
-
3,791
Non-investment grade
-
-
-
-
Total
3,791
-
-
3,791
Allowance for credit losses
1
-
-
1
Total carrying value, net of allowance
3,790
-
-
3,790
Loan commitments
Allowance for credit losses
9
1
2
12
Total carrying value, net of allowance
$301,682
$8,118
$253
$310,053
Summary of Allowance for Credit Losses by Stage Allowance for credit losses
The following tables provide details on the allowance for credit losses by stage as at and for the year ended December 31, 2024
and 2023.
As at December 31, 2024
Stage 1
Stage 2
Stage 3
Total
Balance, beginning of year
$483
$209
$237
$929
Net re-measurement due to transfers
4
(22)
18
-
Transfer to stage 1
12
(12)
-
-
Transfer to stage 2
(7)
7
-
-
Transfer to stage 3
(1)
(17)
18
-
Net originations, purchases, disposals and repayments
36
(8)
(159)
(131)
Changes to risk, parameters, and models
(107)
21
81
(5)
Foreign exchange and other adjustments
18
13
4
35
Balance, end of year
$434
$213
$181
$828
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, disposals and repayments
45
8
(23)
30
Changes to risk, parameters, and models
(71)
48
233
210
Foreign exchange and other adjustments
(6)
6
(35)
(35)
Balance, end of year
$483
$209
$237
$929
Summary of Macroeconomic Variables Used to Measure Allowance for Credit Losses Significant judgements and estimates
The following tables show 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, 2024
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
$1,983
1.8%
2.0%
3.3%
2.3%
(2.0)%
2.3%
(3.9)%
2.2%
Unemployment rate
6.7%
6.8%
6.3%
6.5%
5.8%
8.1%
8.2%
8.5%
10.0%
NYMEX Light Sweet Crude Oil, in
U.S. dollars, per barrel
$76.0
$75.0
$72.0
$79.0
$74.0
$59.0
$66.0
$50.0
$61.0
U.S.
Gross Domestic Product (GDP), in
U.S. $ billions
$23,534
2.1%
2.2%
3.6%
2.3%
(2.0)%
2.7%
(4.2)%
2.5%
Unemployment rate
4.2%
4.1%
4.0%
3.3%
3.3%
7.3%
6.1%
7.8%
8.1%
7-10 Year BBB U.S. Corporate Index
5.5%
6.1%
6.1%
5.9%
6.2%
5.4%
5.6%
6.0%
5.4%
Japan
Gross Domestic Product (GDP), in
JPY billions
¥563,281
0.9%
0.7%
2.8%
0.8%
(3.6)%
1.0%
(7.1)%
1.6%
Unemployment rate
2.5%
2.5%
2.2%
2.4%
2.1%
3.1%
2.9%
3.2%
3.5%
Hong Kong
Unemployment rate
3.0%
2.9%
3.0%
2.5%
2.7%
4.1%
3.8%
4.6%
4.6%
Hang Seng Index
19,448
7.0%
4.1%
18.1%
3.7%
(19.7)%
9.9%
(37.0)%
13.5%
China
Gross Domestic Product (GDP), in
CNY billions
¥114,931
4.0%
4.1%
6.5%
4.3%
(3.0)%
4.6%
(5.7)%
3.9%
FTSE Xinhua A200 Index
10,938
(0.6)%
4.8%
13.8%
2.8%
(31.1)%
11.7%
(40.5)%
13.5%
(IV)
Summary of Estimated Expected Credit Losses From All Macroeconomic Scenarios Sensitivity to changes in economic assumptions
The following table shows the ECL allowance balance which resulted 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 an ECL allowance resulting from only the baseline scenario.
As at December 31,
2024
2023
Probability-weighted ECL
$828
$929
Baseline ECL
$629
$659
Difference - in amount
$199
$270
Difference - in percentage
24.03%
29.06%
Summary of Effect of Conditional Master Netting and Similar Arrangements The following tables 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, 2024
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
$9,048
$(6,633)
$(1,986)
$429
$429
Securities lending
1,021
-
(1,021)
-
-
Reverse repurchase agreements
1,594
(569)
(1,025)
-
-
Total financial assets
$11,663
$(7,202)
$(4,032)
$429
$429
Financial liabilities
Derivative liabilities
$(15,026)
$6,633
$8,305
$(88)
$(15)
Repurchase agreements
(668)
569
99
-
-
Total financial liabilities
$(15,694)
$7,202
$8,404
$(88)
$(15)
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)
(1)Financial assets and liabilities include accrued interest of $388 and $779 respectively (2023 – $502 and $913 respectively).
(2)Financial and cash collateral exclude over-collateralization. As at December 31, 2024, 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 $641, $2,472, $35 and $nil respectively
(2023 – $424, $1,420, $20 and $nil respectively). As at December 31, 2024, 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 17.
Summary of the Effect of Unconditional Netting The following tables
present the effect of unconditional netting.
As at December 31, 2024
Gross amounts
of financial
instruments
Amounts subject to
an enforceable
netting arrangement
Net amounts of
financial
instruments
Credit linked note(1)
$1,392
$(1,392)
$-
Variable surplus note
(1,392)
1,392
-
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
-
(1)As at December 31, 2024 and 2023, the Company had no fixed surplus notes outstanding. Refer to note 18 (g).
Summary of Debt Securities and Private Placements Portfolio by Sector and Industry Explanatory The following table presents debt securities and private placements portfolio by sector and industry.
2024
2023
As at December 31,
Carrying
value
% of total
Carrying
value
% of total
Government and agency
$88,376
34%
$84,739
33%
Utilities
45,812
18%
45,952
18%
Financial
38,656
15%
39,069
15%
Consumer
31,529
12%
31,181
12%
Energy
15,840
6%
15,782
6%
Industrial
24,233
9%
24,209
9%
Other
15,843
6%
16,823
7%
Total
$260,289
100%
$257,755
100%
Summary 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, 2024
Insurance
contract
liabilities
Investment
contract
liabilities
Reinsurance
assets
Net liabilities
U.S. and Canada
$342,146
$305,563
$(52,055)
$595,654
Asia and Other
180,698
17,378
(6,294)
191,782
Total
$522,844
$322,941
$(58,349)
$787,436
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
Asset classes and individual investment risks  
Disclosure of credit risk exposure [line items]  
Schedule of Risk Concentrations
As at December 31,
2024
2023
Debt securities and private placements rated as investment grade BBB or higher(1)
96%
95%
Government debt securities as a per cent of total debt securities
40%
38%
Government private placements as a per cent of total private placements
9%
10%
Highest exposure to a single non-government debt security or private placement issuer
$1,121
$1,131
Largest single issuer as a per cent of the total equity portfolio
2%
2%
Income producing commercial office properties (2024 – 35% of real estate, 2023 – 37%)
$4,696
$4,829
Largest concentration of mortgages and real estate(2) – Ontario Canada (2024 – 28%, 2023 – 29%)
$19,052
$19,003
(1)Investment grade debt securities and private placements include 37% rated A, 17% rated AA and 15% rated AAA (2023 – 38%, 17% and 15%) investments based
on external ratings where available.
(2)Mortgages and real estate investments are diversified geographically and by property type.
AA  
Disclosure of credit risk exposure [line items]  
Summary of Credit Default Swap Protection Sold The following tables present 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, 2024
Notional
amount(1)
Fair value
Weighted
average
maturity
(in years)(2)
Single name CDS(3),(4) – Corporate debt
AA
$23
$1
3
A
68
1
3
BBB
23
-
2
Total single name CDS
$114
$2
3
Total CDS protection sold
$114
$2
3
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
(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, Morningstar 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, 2024 and 2023.
IFRS 7  
Disclosure of credit risk exposure [line items]  
Summary of Significant Financial Liabilities Maturity of financial liabilities(1)
As at December 31, 2024
Less than
1 year
1 to 3
years
3 to 5
years
Over 5
years
Total
Long-term debt
$-
$2,829
$-
$3,800
$6,629
Capital instruments
-
-
-
7,532
7,532
Derivatives
2,320
2,304
1,244
8,379
14,247
Deposits from Bank clients(2)
15,690
3,774
2,599
-
22,063
Lease liabilities
105
151
52
47
355
(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, 2024 were $22,063 and $22,270, respectively (2023 – $21,616 and $21,518
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 (2023 – Level 2).
Summary of Variable Annuity and Segregated Fund Investment-Related Guarantees Gross and Net of Reinsurance Variable annuity and segregated fund guarantees, net of reinsurance
2024
2023
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
$3,628
$2,780
$918
$3,864
$2,735
$1,156
Guaranteed minimum withdrawal benefit
33,473
33,539
3,339
34,833
33,198
4,093
Guaranteed minimum accumulation benefit
18,987
19,097
70
18,996
19,025
116
Gross living benefits(4)
56,088
55,416
4,327
57,693
54,958
5,365
Gross death benefits(5)
8,612
19,851
644
9,133
17,279
975
Total gross of reinsurance
64,700
75,267
4,971
66,826
72,237
6,340
Living benefits reinsured
23,768
23,965
3,016
24,208
23,146
3,395
Death benefits reinsured
3,430
2,776
289
3,400
2,576
482
Total reinsured
27,198
26,741
3,305
27,608
25,722
3,877
Total, net of reinsurance
$37,502
$48,526
$1,666
$39,218
$46,515
$2,463
(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, 2024 was $1,666 (December 31, 2023 – $2,463) of which: US$293 (December 31, 2023 – US$391) was
on the Company’s U.S. business, $1,021 (December 31, 2023 – $1,559) was on the Company’s Canadian business, US$100 (December 31, 2023 – US$140) was
on the Company’s Japan business, and US$56 (December 31, 2023 – US$155) 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 stand-alone guarantees and guarantees in excess of living benefit guarantees where both death and living benefits are provided on a
policy.
Summary of Potential Immediate Impact on Net Income Attributed to Shareholders by Changes to Public Equity Returns Explanatory 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, 2024
-30%
-20%
-10%
+10%
+20%
+30%
Underlying sensitivity
Variable annuity and segregated fund guarantees(2)
$(2,050)
$(1,240)
$(560)
$470
$860
$1,190
General fund equity investments(3)
(1,240)
(820)
(400)
390
780
1,180
Total underlying sensitivity before hedging
(3,290)
(2,060)
(960)
860
1,640
2,370
Impact of macro and dynamic hedge assets(4)
720
430
190
(150)
(260)
(360)
Net potential impact on net income attributed to
shareholders after impact of hedging and before impact
of reinsurance
(2,570)
(1,630)
(770)
710
1,380
2,010
Impact of reinsurance
1,320
810
370
(320)
(590)
(830)
Net potential impact on net income attributed to
shareholders after impact of hedging and
reinsurance
$(1,250)
$(820)
$(400)
$390
$790
$1,180
Net income attributed to shareholders
As at December 31, 2023
-30%
-20%
-10%
+10%
+20%
+30%
Underlying sensitivity
Variable annuity and segregated fund 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
(1)See “Caution related to sensitivities” above.
(2)For variable annuity contracts measured under the VFA approach, 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 hedging 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 and interest rate correlations different from
expected among other factors).
Summary of Potential Immediate Impact on Contractual Service Margin, Other Comprehensive Income to Shareholders and Total Comprehensive Income to Shareholders Potential immediate impact on contractual service margin, other comprehensive income to shareholders and total
comprehensive income to shareholders from changes to public equity market values(1),(2),(3)
As at December 31, 2024
-30%
-20%
-10%
+10%
+20%
+30%
Variable annuity and segregated fund guarantees
reported in CSM
$(3,420)
$(2,110)
$(970)
$840
$1,580
$2,250
Impact of risk mitigation - hedging(4)
940
560
250
(190)
(350)
(470)
Impact of risk mitigation - reinsurance(4)
1,670
1,020
470
(400)
(740)
(1,050)
VA net of risk mitigation
(810)
(530)
(250)
250
490
730
General fund equity
(1,140)
(740)
(370)
370
750
1,110
Contractual service margin (pre-tax)
$(1,950)
$(1,270)
$(620)
$620
$1,240
$1,840
Other comprehensive income attributed to
shareholders (post-tax)(5)
$(840)
$(560)
$(280)
$270
$530
$790
Total comprehensive income attributed to
shareholders (post-tax)
$(2,090)
$(1,380)
$(680)
$660
$1,320
$1,970
As at December 31, 2023
-30%
-20%
-10%
+10%
+20%
+30%
Variable annuity and segregated fund 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
(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 and segregated fund 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.