Sun Life 2015 Annual Report Download - page 113

Level 2: Fair value is based on quoted prices for similar assets or liabilities traded in active markets, or prices from valuation
techniques that use significant observable inputs, or inputs that are derived principally from or corroborated with observable market
data through correlation or other means. The types of assets and liabilities classified as Level 2 generally include Canadian federal,
provincial and municipal government, other foreign government and corporate debt securities, certain asset-backed securities, OTC
derivatives, and certain segregated and mutual fund units held for account of segregated fund holders.
Level 3: Fair value is based on valuation techniques that require one or more significant inputs that are not based on observable
market inputs. These unobservable inputs reflect our expectations about the assumptions market participants would use in pricing the
asset or liability. The types of assets and liabilities classified as Level 3 generally include certain corporate bonds, certain other
invested assets, and investment properties.
Our assets and liabilities that are carried at fair value on a recurring basis by hierarchy level are as follows:
As at December 31, 2015 Level 1 Level 2 Level 3 Total
Assets
Cash, cash equivalents and short-term securities $ 8,233 $ 750 $ – $ 8,983
Debt securities – fair value through profit or loss 1,205 55,053 527 56,785
Debt securities – available-for-sale 430 12,576 105 13,111
Equity securities – fair value through profit or loss 2,562 1,694 170 4,426
Equity securities – available-for-sale 709 178 – 887
Derivative assets 30 1,836 – 1,866
Other invested assets 888 144 1,106 2,138
Investment properties – – 6,540 6,540
Total invested assets measured at fair value $ 14,057 $ 72,231 $ 8,448 $ 94,736
Investments for account of segregated fund holders $ 27,714 $ 62,961 $ 765 $ 91,440
Total assets measured at fair value $ 41,771 $ 135,192 $ 9,213 $ 186,176
Liabilities
Investment contract liabilities $–$–$4$4
Derivative liabilities 8 3,370 – 3,378
Total liabilities measured at fair value $ 8 $ 3,370 $ 4 $ 3,382
Debt securities – fair value through profit or loss consist of the following:
As at December 31, 2015 Level 1 Level 2 Level 3 Total
Canadian federal government $ – $ 2,342 $ 41 $ 2,383
Canadian provincial and municipal government – 10,516 39 10,555
U.S. government and agency 1,205 59 8 1,272
Other foreign government – 5,883 33 5,916
Corporate – 33,325 343 33,668
Asset-backed securities:
Commercial mortgage-backed securities – 1,516 1 1,517
Residential mortgage-backed securities – 1,052 8 1,060
Collateralized debt obligations –342862
Other – 326 26 352
Total debt securities – fair value through profit or loss $ 1,205 $ 55,053 $ 527 $ 56,785
Debt securities – available-for-sale consist of the following:
As at December 31, 2015 Level 1 Level 2 Level 3 Total
Canadian federal government $ – $ 1,637 $ – $ 1,637
Canadian provincial and municipal government – 836 – 836
U.S. government and agency 430 – – 430
Other foreign government – 737 1 738
Corporate – 7,463 63 7,526
Asset-backed securities:
Commercial mortgage-backed securities – 940 – 940
Residential mortgage-backed securities – 308 – 308
Collateralized debt obligations – 221 – 221
Other – 434 41 475
Total debt securities – available-for-sale $ 430 $ 12,576 $ 105 $ 13,111
During 2015, we did not have any significant transfers between Level 1 and Level 2.
Notes to Consolidated Financial Statements Sun Life Financial Inc. Annual Report 2015 111