Sun Life 2012 Annual Report Download - page 124
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The following tables provide the fair value of derivative instruments outstanding by term to maturity:
Term to maturity
As at December 31, 2012
Under
1 Year
1to5
Years
Over 5
Years Total
Derivative assets $ 78 $ 582 $ 1,453 $ 2,113
Derivative liabilities $ (76) $ (124) $ (394) $ (594)
Term to maturity
As at December 31, 2011
Under
1 Year
1to5
Years
Over 5
Years Total
Derivative assets $ 146 $ 499 $ 1,987 $ 2,632
Derivative liabilities $ (60) $ (276) $ (723) $ (1,059)
6.A.v Asset Quality
The following sections describe our assessment of the credit quality of our financial assets. We monitor credit quality based on internal
risk ratings as well as ratings assigned by external rating agencies where available.
Debt Securities by Credit Rating
Investment grade debt securities are those rated BBB and above. Our debt security portfolio was 98% investment grade based on
carrying value as at December 31, 2012 (97% as at December 31, 2011). The carrying value of debt securities by credit rating is shown
in the following tables:
As at December 31, 2012
Fair value through
profit or loss
Available-
for-sale debt
Total debt
securities
Debt securities by credit rating(1)
AAA $ 6,284 $ 2,342 $ 8,626
AA 9,506 1,179 10,685
A14,641 4,065 18,706
BBB 12,527 2,839 15,366
BB and lower 815 164 979
Total debt securities $ 43,773 $ 10,589 $ 54,362
As at December 31, 2011
Fair value through
profit or loss
Available-
for-sale debt
Total debt
securities
Debt securities by credit rating(1)
AAA $ 9,098 $ 2,853 $ 11,951
AA 10,369 1,156 11,525
A 15,667 3,886 19,553
BBB 14,857 3,214 18,071
BB and lower 1,636 194 1,830
Total debt securities $ 51,627 $ 11,303 $ 62,930
(1) Local currency denominated sovereign debts of certain developing countries, used in backing local liabilities, have been classified as investment grade.
Mortgages and Loans by Credit Rating
The credit quality of mortgages and loans is evaluated internally through regular monitoring of credit related exposures. We use
judgment and experience to determine what factors should be considered when assigning an internal credit rating, which is validated
through the use of credit scoring models, to a particular mortgage or corporate loan. The internal credit ratings reflect the credit quality
of the borrower as well as the value of any collateral held as security.
122 Sun Life Financial Inc. Annual Report 2012 Notes to Consolidated Financial Statements