Sun Life 2015 Annual Report Download - page 122

We do not offset financial instruments in our Consolidated Statements of Financial Position, as our rights of offset are conditional. The
following tables present the effect of conditional netting and similar arrangements. Similar arrangements include global master
repurchase agreements, security lending agreements, and any related rights to financial collateral.
Financial
instruments
presented in the
Consolidated
Statements of
Financial
Position(1)
Related amounts not set off in
the Consolidated Statements
of Financial Position
As at December 31, 2015
Financial
instruments
subject to
master netting
or similar
agreements
Financial
collateral
(received)
pledged(2) Net amount
Financial assets
Derivative assets (Note 6.A.v) $ 1,866 $ (900) $ (795) $ 171
Reverse repurchase agreements (Note 8) 289 (96) (193) –
Total financial assets $ 2,155 $ (996) $ (988) $ 171
Financial liabilities
Derivative liabilities $ (3,378) $ 900 $ 1,809 $ (669)
Repurchase agreements (Note 5.H.ii) (1,549) 96 1,453 –
Cash collateral on securities lent (Note 5.H.iii) (193) – 189 (4)
Total financial liabilities $ (5,120) $ 996 $ 3,451 $ (673)
(1) Net amounts of the financial instruments presented in our Consolidated Statements of Financial Position are the same as our gross recognized financial instruments, as we
do not offset financial instruments in our Consolidated Statements of Financial Position.
(2) Financial collateral excludes overcollateralization and for exchange-traded derivatives, initial margin. Total financial collateral, including initial margin and
overcollateralization, received on derivative assets was $1,087, received on reverse repurchase agreements was $289, pledged on derivative liabilities was $2,452, and
pledged on repurchase agreements was $1,549.
Financial
instruments
presented in the
Consolidated
Statements of
Financial
Position(1)
Related amounts not set off in
the Consolidated Statements
of Financial Position
As at December 31, 2014
Financial
instruments
subject to
master netting
or similar
agreements
Financial
collateral
(received)
pledged(2) Net amount
Financial assets
Derivative assets (Note 6.A.v) $ 1,839 $ (591) $ (1,014) $ 234
Reverse repurchase agreements (Note 8) 155 (3) (152) –
Total financial assets $ 1,994 $ (594) $ (1,166) $ 234
Financial liabilities
Derivative liabilities $ (1,603) $ 591 $ 659 $ (353)
Repurchase agreements (Note 5.H.ii) (1,333) 3 1,330 –
Cash collateral on securities lent (Note 5.H.iii) (155) – 152 (3)
Total financial liabilities $ (3,091) $ 594 $ 2,141 $ (356)
(1) Net amounts of the financial instruments presented in our Consolidated Statements of Financial Position are the same as our gross recognized financial instruments, as we
do not offset financial instruments in our Consolidated Statements of Financial Position.
(2) Financial collateral excludes overcollateralization and for exchange-traded derivatives, initial margin. Total financial collateral, including initial margin and
overcollateralization, received on derivative assets was $1,146, received on reverse repurchase agreements was $155, pledged on derivative liabilities was $819, and
pledged on repurchase agreements was $1,334.
6.A.iii Concentration Risk
Concentrations of credit risk arise from exposures to a single debtor, a group of related debtors, or groups of debtors that have similar
credit risk characteristics, such as groups of debtors in the same economic or geographic regions or in similar industries. Related
issuers may have similar economic characteristics so that their ability to meet contractual obligations may be impacted similarly by
changes in the economic or political conditions. We manage this risk by appropriately diversifying our investment portfolio through the
use of concentration limits. In particular, we maintain policies which set counterparty exposure limits to manage the credit exposure for
investments in any single issuer or to the same underlying credit. Exceptions exist for investments in securities which are issued or
guaranteed by the Government of Canada, U.S. or U.K. and issuers for which the Risk Review Committee have granted specific
approval. Mortgages are collateralized by the related property, and generally do not exceed 75% of the value of the property at the time
the original loan is made. Our mortgages and loans are diversified by type and location and, for mortgages, by borrower. Loans provide
diversification benefits (name, industry and geography) and often provide stronger covenants and collateral than public debt securities,
thereby providing both better credit protection and potentially higher recoveries in the event of default. The following tables provide
details of the debt securities, mortgages, and loans held by issuer country, geographic location and industry sector, where applicable.
120 Sun Life Financial Inc. Annual Report 2015 Notes to Consolidated Financial Statements