Sun Life 2012 Annual Report Download - page 117
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As at December 31, 2011
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
(losses)
Fair
value
Debt securities:
Canadian federal government $ 1,190 $ 5 $ (1) $ 1,194
Canadian provincial and municipal government 202 12 – 214
U.S. government and agency 932 31 – 963
Other foreign government 388 69 – 457
Corporate 7,516 506 (123) 7,899
Asset-backed securities:
Commercial mortgage-backed securities 200 17 (10) 207
Residential mortgage-backed securities 250 10 – 260
Collateralized debt obligations 32 – (10) 22
Other 87 – – 87
Total debt securities 10,797 650 (144) 11,303
Equity securities 797 88 (46) 839
Total AFS debt and equity securities $ 11,594 $ 738 $ (190) $ 12,142
5.F Derivative Financial Instruments and Hedging Activities
The fair values of derivative financial instruments by major class of derivatives are shown in the following table:
As at December 31, 2012 December 31, 2011
Fair value Fair value
Assets Liabilities Assets Liabilities
Interest rate contracts $ 1,601 $ (414) $ 2,118 $ (760)
Foreign exchange contracts 449 (137) 432 (174)
Other contracts 63 (43) 82 (125)
Total derivatives $ 2,113 $ (594) $ 2,632 $ (1,059)
The following table presents the fair values of derivative assets and liabilities categorized by derivatives designated as hedges for
accounting purposes and those not designated as hedges:
Total notional
amount
Fair value
As at December 31, 2012 Assets Liabilities
Derivative investments(1) $ 39,533 $ 1,936 $ (375)
Fair value hedges 991 – (204)
Cash flow hedges 104 9 (7)
Net investment hedges(2) 1,850 168 (8)
Total derivatives $ 42,478 $ 2,113 $ (594)
(1) Derivative investments are derivatives that have not been designated as hedges for accounting purposes.
(2) Fair value of non-derivative instruments designated as net investment hedges was $167. These non-derivative instruments are presented as Subordinated Debts on the
Consolidated Statements of Financial Position.
Total notional
amount
Fair value
As at December 31, 2011 Assets Liabilities
Derivative investments(1) $ 47,890 $ 2,494 $ (798)
Fair value hedges 1,011 – (228)
Cash flow hedges 108 2 (25)
Net investment hedges 1,850 136 (8)
Total derivatives $ 50,859 $ 2,632 $ (1,059)
(1) Derivative investments are derivatives that have not been designated as hedges for accounting purposes.
Notes to Consolidated Financial Statements Sun Life Financial Inc. Annual Report 2012 115