MetLife 2006 Annual Report Download - page 80

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The table below provides additional detail regarding the potential loss in fair value of the Company’s non-trading interest sensitive
financial instruments by type of asset or liability:
Notional
Amount Estimated
Fair Value
Assuming a
10% increase
in the yield
curve
December 31, 2006
(In millions)
Assets
Fixedmaturitysecurities............................................... $243,428 $(6,034)
Equitysecurities .................................................... 5,131 —
Mortgageandconsumerloans........................................... 42,451 (733)
Policyloans....................................................... 10,228 (307)
Short-terminvestments................................................ 2,709 (36)
Cashandcashequivalents ............................................. 7,107 —
Mortgageloancommitments ............................................ $ 4,022 4 (12)
Commitmentstofundbankcreditfacilitiesandbridgeloans........................ $ 1,908 — —
Totalassets...................................................... $(7,122)
Liabilities
Policyholderaccountbalances........................................... $108,318 $ 833
Short-termdebt .................................................... 1,449 —
Long-termdebt..................................................... 10,149 364
Juniorsubordinateddebtsecurities........................................ 3,759 60
Sharessubjecttomandatoryredemption .................................... 357 —
Payablesforcollateralundersecuritiesloanedandothertransactions.................. 45,846 —
Totalliabilities .................................................... $1,257
Other
Derivative instruments (designated hedges or otherwise)
Interestrateswaps................................................. $27,148 $ 489 $ (37)
Interestratefloors.................................................. 37,437 279 (100)
Interestratecaps.................................................. 26,468 125 70
Financialfutures................................................... 8,432 25 84
Foreigncurrencyswaps.............................................. 19,627 (188) (95)
Foreigncurrencyforwards ............................................ 2,934 4 (1)
Options ........................................................ 587 298 (31)
Financialforwards.................................................. 3,800 (28) —
Creditdefaultswaps................................................ 6,357 (16) —
SyntheticGICs.................................................... 3,739 — —
Other.......................................................... 250 56 —
Totalother ..................................................... $ (110)
Net change ........................................................ $(5,975)
This quantitative measure of risk has increased by $452 million, or 8%, at December 31, 2006, from $5,523 million at December 31,
2005. This change was due to an increase of $540 million due to an increase in the yield curve, an increase of $550 million due to asset
growth and $72 million of other. These increases are partially offset by a decrease of $140 million due to growth in derivative usage and a
decrease of $570 million due to a decline in asset duration.
In addition to the analysis above, as part of its asset liability management program, the Company also performs an analysis of the
sensitivity to changes in interest rates, including both insurance liabilities and financial instruments. As of December 31, 2006, a
hypothetical instantaneous 10% decrease in interest rates applied to the Company’s liabilities, insurance and associated asset portfolios
would reduce the fair value of equity by $350 million. Management does not expect that this sensitivity would produce a liquidity strain on
the Company.
77MetLife, Inc.