MetLife 2009 Annual Report Download - page 139
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The following table presents the notional amount and estimated fair value of derivatives that are not designated or do not qualify as hedging
instruments by derivative type at:
Derivatives Not Designated or Not
Qualifying as Hedging Instruments Notional
Amount Assets Liabilities Notional
Amount Assets Liabilities
Estimated
Fair
Value
Estimated
Fair
Value
2009 2008
December 31,
(In millions)
Interest rate swaps . . . . . . . . . . . . . . . . . . . . . $ 31,588 $1,070 $1,132 $ 29,633 $ 3,279 $1,309
Interest rate floors . . . . . . . . . . . . . . . . . . . . . 23,691 461 37 48,517 1,748 —
Interestratecaps...................... 28,409 283 — 24,643 11 —
Interestratefutures .................... 7,563 8 10 13,851 44 117
Interestrateoptions.................... 4,050 117 57 2,365 939 35
Interest rate forwards . . . . . . . . . . . . . . . . . . . 9,921 66 27 16,616 49 70
SyntheticGICs ....................... 4,352 — — 4,260 — —
Foreign currency swaps . . . . . . . . . . . . . . . . . 7,964 533 913 9,399 1,022 935
Foreign currency forwards . . . . . . . . . . . . . . . . 4,605 56 44 3,497 121 79
Currencyoptions...................... 822 18 — 932 73 —
Swapspreadlocks..................... — — — 2,338 — 99
Credit default swaps . . . . . . . . . . . . . . . . . . . . 6,723 74 130 5,219 152 69
Equityfutures ........................ 7,405 44 21 6,057 1 88
Equity options . . . . . . . . . . . . . . . . . . . . . . . . 27,175 1,712 1,018 5,153 2,150 —
Varianceswaps....................... 13,654 181 58 9,222 416 —
Totalrateofreturnswaps ................ 376 — 47 250 — 101
Total non-designated or non-qualifying
derivatives . . . . . . . . . . . . . . . . . . . . . . . . . $178,298 $4,623 $3,494 $181,952 $10,005 $2,902
The following table presents the settlement payments recorded in income for the:
2009 2008 2007
Years Ended December 31,
(In millions)
Qualifying hedges:
Netinvestmentincome ............................................. $ 49 $ 19 $ 29
Interestcreditedtopolicyholderaccountbalances............................ 220 105 (34)
Otherexpenses .................................................. (3) (9) 1
Non-qualifying hedges:
Netinvestmentincome ............................................. (2) 1 (5)
Netinvestmentgains(losses) ......................................... 91 49 278
Otherrevenues .................................................. 77 3 —
Total ......................................................... $432 $168 $269
Fair Value Hedges
The Company designates and accounts for the following as fair value hedges when they have met the requirements of fair value hedging:
(i) interest rate swaps to convert fixed rate investments to floating rate investments; (ii) interest rate swaps to convert fixed rate liabilities to
floating rate liabilities; and (iii) foreign currency swaps to hedge the foreign currency fair value exposure of foreign currency denominated
investments and liabilities.
F-55MetLife, Inc.
MetLife, Inc.
Notes to the Consolidated Financial Statements — (Continued)