MetLife 2003 Annual Report Download - page 68

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METLIFE, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — (Continued)
The following table presents the total assets of and maximum exposure to loss relating to VIEs for which the Company has concluded that (i) it is the
primary beneficiary and which will be consolidated in the Company’s financial statements beginning March 31, 2004, and (ii) it holds significant valuable
interests but it is not the primary beneficiary and which will not be consolidated:
December 31, 2003
Not Primary
Primary Beneficiary(1) Beneficiary
Maximum Maximum
Exposure Exposure
Total to Total to
Assets(2) Loss(3) Assets(2) Loss(3)
(Dollars in millions)
SPEs:
Asset-backed securitizations and Collateralized debt obligations ********************************** $ — $ — $2,400 $20
Non-SPEs:
Real estate joint ventures(4) **************************************************************** 617 238 42 59
Other limited partnerships(5) **************************************************************** 29 27 459 10
Total************************************************************************************ $646 $265 $2,901 $89
(1) Had the Company consolidated these VIEs at December 31, 2003, the transition adjustments would have been $10 million, net of income tax.
(2) The assets of the asset-backed securitizations and collateralized debt obligations are reflected at fair value as of December 31, 2003. The assets of
the real estate joint ventures and other limited partnerships are reflected at the carrying amounts at which such assets would have been reflected on
the Company’s balance sheet had the Company consolidated the VIE from the date of its initial investment in the entity.
(3) The maximum exposure to loss of the asset-backed securitizations and collateralized debt obligations is equal to the carrying amounts of retained
interests. In addition, the Company provides collateral management services for certain of these structures for which it collects a management fee.
The maximum exposure to loss relating to real estate joint ventures and other limited partnerships is equal to the carrying amounts plus any unfunded
commitments, reduced by amounts guaranteed by other partners.
(4) Real estate joint ventures include partnerships and other ventures, which engage in the acquisition, development, management and disposal of real
estate investments.
(5) Other limited partnerships include partnerships established for the purpose of investing in public and private debt and equity securities, as well as
limited partnerships established for the purpose of investing in low-income housing that qualifies for federal tax credits.
3. Derivative Financial Instruments
The table below provides a summary of notional amount and fair value of derivative financial instruments held at December 31, 2003 and 2002:
2003 2002
Current Market Current Market
or Fair Value or Fair Value
Notional Notional
Amount Assets Liabilities Amount Assets Liabilities
(Dollars in millions)
Financial futures ****************************************************** $ 1,348 $ 8 $ 30 $ 4 $ — $ —
Interest rate swaps **************************************************** 9,944 189 36 3,866 196 126
Floors *************************************************************** 325 5 — 325 9 —
Caps *************************************************************** 9,345 29 — 8,040 — —
Financial forwards ***************************************************** 1,310 2 3 1,945 — 12
Foreign currency swaps************************************************ 4,710 9 796 2,371 92 181
Options ************************************************************* 6,065 7 — 6,472 9 —
Foreign currency forwards ********************************************** 695 5 32 54 — 1
Credit default swaps ************************************************** 615 2 1 376 2 —
Total contractual commitments ************************************** $34,357 $256 $898 $23,453 $308 $320
MetLife, Inc. F-23