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5.E Gross Unrealized Gains and Gross Unrealized Losses on Available-For-Sale Debt
and Equity Securities
Gross unrealized gains and gross unrealized losses included in accumulated OCI on AFS debt and equity securities consist of the
following:
As at December 31, 2015
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
(losses) Fair value
Debt securities:
Canadian federal government $ 1,563 $ 74 $ – $ 1,637
Canadian provincial and municipal government 805 33 (2) 836
U.S. government and agency 432 1 (3) 430
Other foreign government 675 86 (23) 738
Corporate 7,467 223 (164) 7,526
Asset-backed securities:
Commercial mortgage-backed securities 937 16 (13) 940
Residential mortgage-backed securities 305 5 (2) 308
Collateralized debt obligations 224 – (3) 221
Other 488 1 (14) 475
Total debt securities 12,896 439 (224) 13,111
Equity securities 675 224 (12) 887
Total AFS debt and equity securities $ 13,571 $ 663 $ (236) $ 13,998
As at December 31, 2014
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
(losses) Fair value
Debt securities:
Canadian federal government $ 1,656 $ 61 $ – $ 1,717
Canadian provincial and municipal government 740 28 – 768
U.S. government and agency 392 15 (1) 406
Other foreign government 441 96 (1) 536
Corporate 7,681 379 (32) 8,028
Asset-backed securities:
Commercial mortgage-backed securities 910 35 (3) 942
Residential mortgage-backed securities 208 7 – 215
Collateralized debt obligations 137 – (1) 136
Other 337 4 (2) 339
Total debt securities 12,502 625 (40) 13,087
Equity securities 627 247 (8) 866
Total AFS debt and equity securities $ 13,129 $ 872 $ (48) $ 13,953
5.F Derivative Financial Instruments and Hedging Activities
The fair values of derivative financial instruments by major class of derivatives are as follows:
As at December 31, 2015 2014
Fair value Fair value
Assets Liabilities Assets Liabilities
Interest rate contracts $ 1,707 $ (437) $ 1,657 $ (346)
Foreign exchange contracts 71 (2,925) 67 (1,240)
Other contracts 88 (16) 115 (17)
Total derivatives $ 1,866 $ (3,378) $ 1,839 $ (1,603)
116 Sun Life Financial Inc. Annual Report 2015 Notes to Consolidated Financial Statements