MetLife 2000 Annual Report Download - page 49

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METLIFE, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — (Continued)
3. Derivative Instruments
The table below provides a summary of the carrying value, notional amount and current market or fair value of derivative financial instruments held at
December 31, 2000 and 1999:
2000 1999
Current Market Current Market
or Fair Value or Fair Value
Carrying Notional Carrying Notional
Value Amount Assets Liabilities Value Amount Assets Liabilities
(Dollars in millions)
Financial futures ********************************************** $23 $ 254 $ 23 $ — $ 27 $ 3,140 $37 $ 10
Interest rate swaps******************************************** 41 1,549 49 1 (32) 1,316 11 40
Floors******************************************************* — 325 3 — — — — —
Caps ******************************************************* — 9,950 — — 1 12,376 3 —
Foreign currency swaps *************************************** (1) 1,469 267 85 — 4,002 26 103
Exchange traded options*************************************** 110—1————
Total contractual commitments ********************************** $64 $13,557 $342 $ 87 $ (4) $20,834 $77 $153
The following is a reconciliation of the notional amounts by derivative type and strategy at December 31, 2000 and 1999:
December 31, 1999 Terminations/ December 31, 2000
Notional Amount Additions Maturities Notional Amount
(Dollars in millions)
BY DERIVATIVE TYPE
Financial futures *************************************************** $ 3,140 $14,255 $17,141 $ 254
Financial forwards************************************************** —1212 —
Interest rate swaps************************************************* 1,316 1,605 1,372 1,549
Floors************************************************************ — 325 — 325
Caps ************************************************************ 12,376 1,000 3,426 9,950
Foreign currency swaps ******************************************** 4,002 687 3,220 1,469
Exchange traded options******************************************** —4131 10
Total contractual commitments *************************************** $20,834 $17,925 $25,202 $13,557
BY STRATEGY
Liability hedging *************************************************** $12,571 $ 2,876 $ 3,830 $11,617
Invested asset hedging ********************************************* 4,215 781 3,310 1,686
Portfolio hedging*************************************************** 2,021 14,255 16,022 254
Anticipated transaction hedging ************************************** 2,027 13 2,040 —
Total contractual commitments *************************************** $20,834 $17,925 $25,202 $13,557
The following table presents the notional amounts of derivative financial instruments by maturity at December 31, 2000:
Remaining Life
After One After Five
One Year Year Through Years Through After Ten
or Less Five Years Ten Years Years Total
(Dollars in millions)
Financial futures ***************************************************** $ 254 $ — $ — $ — $ 254
Interest rate swaps*************************************************** 243 714 268 324 1,549
Floors************************************************************** — — 325 — 325
Caps ************************************************************** 5,210 4,740 — — 9,950
Foreign currency swaps *********************************************** 91 508 685 185 1,469
Exchange traded options ********************************************** 10 — — — 10
Total contractual commitments ****************************************** $5,808 $5,962 $1,278 $509 $13,557
MetLife, Inc.
F-18