Sun Life 2015 Annual Report Download - page 125
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Notional amounts of derivative financial instruments are the basis for calculating payments and are generally not the actual amounts
exchanged. The following tables provide the notional amounts of derivative instruments outstanding by type of derivative and term to
maturity:
Term to maturity
As at December 31, 2015
Under
1 Year
1to5
Years
Over 5
Years Total
Over-the-counter contracts:
Interest rate contracts:
Forward contracts $ 1,371 $ – $ – $ 1,371
Swap contracts 689 3,397 18,047 22,133
Options purchased 980 2,781 3,938 7,699
Options written(1) 277 1,557 505 2,339
Foreign exchange contracts:
Forward contracts 4,862 219 – 5,081
Swap contracts 1,793 3,542 7,086 12,421
Other contracts:
Options purchased 33–6
Forward contracts 96 111 – 207
Swap contracts 310 – – 310
Credit derivatives(2) 29 512 326 867
Exchange-traded contracts:
Interest rate contracts:
Futures contracts 2,397 – – 2,397
Foreign exchange contracts:
Futures contracts 83 – – 83
Equity contracts:
Futures contracts 2,649 – – 2,649
Options purchased 195 – – 195
Options written 87 – – 87
Total notional amount $ 15,821 $ 12,122 $ 29,902 $ 57,845
(1) These are covered short derivative positions that may include interest rate options, swaptions, or floors.
(2) Our credit default swap program consists entirely of contracts based on investment grade underlying reference securities.
Term to maturity
As at December 31, 2014
Under
1 Year
1to5
Years
Over 5
Years Total
Over-the-counter contracts:
Interest rate contracts:
Forward contracts $ 11 $ – $ – $ 11
Swap contracts 1,348 3,022 12,492 16,862
Options purchased 1,295 2,636 3,766 7,697
Options written(1) 518 1,104 860 2,482
Foreign exchange contracts:
Forward contracts 3,859 184 – 4,043
Swap contracts 1,240 3,876 7,035 12,151
Other contracts:
Options purchased –5–5
Forward contracts 88 111 – 199
Swap contracts 341 – – 341
Credit derivatives(2) – 151 217 368
Exchange-traded contracts:
Interest rate contracts:
Futures contracts 1,372 – – 1,372
Foreign exchange contracts:
Futures contracts 173 – – 173
Equity contracts:
Futures contracts 2,227 – – 2,227
Options purchased 174 – – 174
Options written 106 – – 106
Total notional amount $ 12,752 $ 11,089 $ 24,370 $ 48,211
(1) These are covered short derivative positions that may include interest rate options, swaptions, or floors.
(2) Our credit default swap program consists entirely of contracts based on investment grade underlying reference securities.
Notes to Consolidated Financial Statements Sun Life Financial Inc. Annual Report 2015 123