Sun Life 2012 Annual Report Download - page 114

Debt securities – AFS consist of the following:
As at December 31, 2011 Level 1 Level 2 Level 3 Total
Canadian federal government $ – $ 1,194 $ – $ 1,194
Canadian provincial and municipal government – 214 – 214
U.S. government and agency 902 61 – 963
Other foreign government – 457 – 457
Corporate – 7,868 31 7,899
Asset-backed securities:
Commercial mortgage-backed securities – 180 27 207
Residential mortgage-backed securities – 260 – 260
Collateralized debt obligations – – 22 22
Other – 49 38 87
Total debt securities – available-for-sale $ 902 $ 10,283 $ 118 $ 11,303
The following table provides a reconciliation of the beginning and ending balances for financial instruments that are categorized in
Level 3 for the year ended December 31, 2012:
Beginning
balance
Included
in net
income(1)(3)
Included
in OCI(3) Purchases Sales Settlements
Transfers
into
level 3(2)
Transfers
(out) of
level 3(2)
Foreign
currency
translation(4)
Transferred
to held for
sale(6)
Ending
balance
Gains (losses)
included
in earnings
relating to
instruments
still held at the
reporting date(1)
Assets
Debt securities – fair
value through
profit or loss $ 1,521 $ 39 $ (1) $ 77 $ (63) $ (159) $ 331 $ (276) $ (5) $ (323) $ 1,141 $ 34
Debt securities –
available-for-sale 118 8 6 56 (19) (26) 25 (32) – (13) 123 6
Equity securities –
fair value through
profit or loss 126 10 – 31 (31) – – – (3) (23) 110 9
Derivative assets 13 (1) – – – (5) – – – – 7 –
Other invested
assets 595 (4) (8) 118 (129) – – – (4) (21) 547 (11)
Total invested assets $ 2,373 $ 52 $ (3) $ 282 $ (242) $ (190) $ 356 $ (308) $ (12) $ (380) $ 1,928 $ 38
Investments for account
of segregated fund
holders $ 656 $ 27 $ – $ 311 $ (313) $ (35) $ 17 $ (58) $ (13) $ (442) $ 150 $ –
Total Financial assets
measured at fair value $ 3,029 $ 79 $ (3) $ 593 $ (555) $ (225) $ 373 $ (366) $ (25) $ (822) $ 2,078 $ 38
Liabilities(5)
Investment contract
liabilities $ 912 $ 17 $ – $ – $ – $ (8) $ – $ – $ (24) $ (890) $ 7 $ –
Derivative liabilities 49 (26) – – – (5) – – (1) (1) 16 –
Investment contracts
for account of
segregated fund-
holders 19 (1) – 2 (4) – – (2) – – 14 –
Total financial liabilities
measured at fair value $ 980 $ (10) $ – $ 2 $ (4) $ (13) $ – $ (2) $ (25) $ (891) $ 37 $ –
(1) Included within Net investment income (loss) in our Consolidated Statements of Operations.
(2) 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 definitions 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) Foreign currency translation relates to the foreign exchange impact of translating from functional currencies of Level 3 financial instruments in foreign subsidiaries to
Canadian dollars.
(5) For liabilities, gains are indicated in negative numbers.
(6) See Note 3.
112 Sun Life Financial Inc. Annual Report 2012 Notes to Consolidated Financial Statements