MetLife 2002 Annual Report Download - page 67

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METLIFE, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — (Continued)
Net Unrealized Investment Gains
The components of net unrealized investment gains, included in accumulated other comprehensive income, were as follows:
Years Ended December 31,
2002 2001 2000
(Dollars in millions)
Fixed maturities*************************************************************************** $ 7,371 $ 3,110 $ 1,677
Equity securities ************************************************************************** 45 604 744
Derivatives ******************************************************************************* (24) 71 —
Other invested assets ********************************************************************* 17 59 58
Total ******************************************************************************** 7,409 3,844 2,479
Amounts allocable to:
Future policy benefit loss recognition ******************************************************* (1,269) (30) (284)
Deferred policy acquisition costs ********************************************************** (559) (21) 119
Participating contracts ******************************************************************* (153) (127) (133)
Policyholder dividend obligation *********************************************************** (1,882) (708) (385)
Deferred income taxes********************************************************************* (1,264) (1,079) (621)
Total ******************************************************************************** (5,127) (1,965) (1,304)
Net unrealized investment gains ***************************************************** $ 2,282 $ 1,879 $ 1,175
The changes in net unrealized investment gains were as follows:
Years Ended December 31,
2002 2001 2000
(Dollars in millions)
Balance at January 1 *********************************************************************** $ 1,879 $1,175 $ (297)
Unrealized investment gains during the year **************************************************** 3,565 1,365 3,279
Unrealized investment gains (losses) relating to:
Future policy benefit (loss) gain recognition *************************************************** (1,239) 254 (35)
Deferred policy acquisition costs *********************************************************** (538) (140) (590)
Participating contracts ******************************************************************** (26) 6 (15)
Policyholder dividend obligation ************************************************************ (1,174) (323) (385)
Deferred income taxes********************************************************************** (185) (458) (782)
Balance at December 31 ******************************************************************* $ 2,282 $1,879 $1,175
Net change in unrealized investment gains ***************************************************** $ 403 $ 704 $1,472
4. Derivative Instruments
The table below provides a summary of notional amount and fair value of derivative financial instruments held at December 31, 2002 and 2001:
2002 2001
Fair Value Fair Value
Notional Notional
Amount Assets Liabilities Amount Assets Liabilities
(Dollars in millions)
Financial futures ************************************************************** $ 4 $— $— $ — $— $—
Interest rate swaps ************************************************************ 3,866 196 126 1,823 73 9
Floors *********************************************************************** 325 9 — 325 11 —
Caps *********************************************************************** 8,040 — — 7,890 5 —
Financial forwards ************************************************************* 1,945 — 12 — — —
Foreign currency swaps******************************************************** 2,371 92 181 1,925 188 26
Options ********************************************************************* 78 9 — 1,880 8 12
Foreign currency forwards ****************************************************** 54 — 1 67 4 —
Written covered calls ********************************************************** —— — 40— —
Credit default swaps ********************************************************** 376 2 — 270 — —
Total contractual commitments ************************************************** $17,059 $308 $320 $14,220 $289 $47
MetLife, Inc. F-23