Sun Life 2010 Annual Report Download - page 98

The following table shows a reconciliation of the beginning and ending balances for financial instruments that are categorized in level 3
for the year ended December 31, 2010:
Beginning
balance
Included
in net
income
(loss)(1)(3)
Included
in OCI(3) Purchases Sales Settlements
Transfers
into
level 3(2)
Transfers
(out) of
level 3(2)
Ending
balance
Gains (losses)
included
in earnings
relating to
instruments
still held at
ending date
Financial assets
Bonds – held-for-trading
Canadian provincial and
municipal governments $ 110 $ – $– $ – $ – $ – $ – $ (68) $ 42 $ 3
U.S. Treasury and
agency securities – – – – – (1) 7 – 6 –
Other foreign government 76 (1) – 3 – – 3 (76) 5 (1)
Corporate securities 891 (17) – 56 (97) (38) 210 (135) 870 27
Asset-backed securities
Commercial mortgage-
backed securities 586 7 – 121 (77) (25) 14 (20) 606 11
Residential mortgage-
backed securities 163 7 – 1 (22) (14) 39 (83) 91 25
Collateralized debt
obligations 92 10 – 87 (51) (21) 3 (37) 83 18
Other 32 5 – 24 – (9) 34 (10) 76 8
Total bonds – held-for-trading $1,950 $ 11 $– $292 $(247) $(108) $310 $(429) $1,779 $ 91
Bonds – available-for-sale
Corporate securities $ 76 $ 1 $1 $ 3 $ (40) $ (1) $ 12 $ (13) $ 39 $ 1
Asset-backed securities
Commercial mortgage-
backed securities 40 (3) 2 4 (1) – – – 42 1
Residential mortgage-
backed securities –– –1– ––– 1 –
Collateralized debt
obligations 46 (10) 3 23 (33) – – – 29 4
Total bonds –
available-for-sale $ 162 $(12) $6 $ 31 $ (74) $ (1) $ 12 $ (13) $ 111 $ 6
Stocks – held-for-trading $ – $3 $– $66 $ – $ – $ – $ – $ 69 $3
Stocks – available-for-sale $ 8 $ (2) $2 $ 37 $ (2) $ (2) $ – $ – $ 41 $ 3
Derivative assets $ 11 $ (2) $– $ 14 $ – $ (9) $ – $ – $ 14 $ (1)
Other invested assets $ 146 $ (7) $– $ 28 $ (12) $ – $ – $ – $ 155 $ (3)
Total financial assets
measured at fair value $2,277 $ (9) $8 $468 $(335) $(120) $322 $(442) $2,169 $ 99
Financial liabilities(4)
Derivative liabilities $ 44 $(16) $– $ 1 $ – $ – $ 3 $ – $ 32 $(14)
Total financial liabilities
measured at fair value $ 44 $(16) $– $ 1 $ – $ – $ 3 $ – $ 32 $(14)
(1) Included within Net investment income (loss) in our Consolidated Statements of Operations.
(2) During 2010, transfers into level 3 occur when the inputs used to price the financial instrument lack observable market data and as a result, no longer meet the level 1 or 2
definition at the reporting date. In addition, transfers out of level 3 occur when the pricing inputs become more transparent and satisfy the level 1 or 2 criteria and are primarily
the result of observable market data being available at the reporting date, thus removing the requirement to rely on inputs that lack observability. If a financial instrument is
transferred into and out of level 3 during the same period, it is not included in the above table.
(3) Total gains and losses in net income (loss) and OCI are calculated assuming transfers into or out of level 3 occur at the beginning of the period. For a financial instrument that
transfers into level 3 during the reporting period, the entire change in fair value for the period is included in the table above. For transfers out of level 3 during the reporting
period, the change in fair value for the period is excluded from the table above.
(4) For liabilities, gains are indicated in negative numbers.
94 Sun Life Financial Inc. Annual Report 2010 Notes to the Consolidated Financial Statements