Sun Life 2015 Annual Report Download - page 126
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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, 2015
Under
1 Year
1to5
Years
Over 5
Years Total
Derivative assets $ 144 $ 268 $ 1,454 $ 1,866
Derivative liabilities $ (497) $ (689) $ (2,192) $ (3,378)
Term to maturity
As at December 31, 2014
Under
1 Year
1to5
Years
Over 5
Years Total
Derivative assets $ 158 $ 233 $ 1,448 $ 1,839
Derivative liabilities $ (138) $ (355) $ (1,110) $ (1,603)
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 97% investment grade based on
carrying value as at December 31, 2015 (97% as at December 31, 2014). The credit risk ratings were established in accordance with
the process described in the Credit Risk Management Governance and Control section.
The following tables summarize our debt securities by credit quality:
As at December 31, 2015
Fair value through
profit or loss
Available-
for-sale
Total debt
securities
Debt securities by credit rating:
AAA $ 8,684 $ 4,283 $ 12,967
AA 10,046 1,189 11,235
A19,526 3,709 23,235
BBB 16,974 3,316 20,290
BB and lower 1,555 614 2,169
Total debt securities $ 56,785 $ 13,111 $ 69,896
As at December 31, 2014
Fair value through
profit or loss
Available-
for-sale
Total debt
securities
Debt securities by credit rating:
AAA $ 7,317 $ 3,975 $ 11,292
AA 10,201 1,620 11,821
A 18,068 3,786 21,854
BBB 16,259 3,218 19,477
BB and lower 1,282 488 1,770
Total debt securities $ 53,127 $ 13,087 $ 66,214
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.
124 Sun Life Financial Inc. Annual Report 2015 Notes to Consolidated Financial Statements