MetLife 2010 Annual Report Download - page 152

The following table presents the gross notional amount and estimated fair value of derivatives that were 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
2010 2009
December 31,
(In millions)
Interest rate swaps . . . . . . . . . . . . . . . . . . . . . $ 46,133 $1,729 $1,231 $ 31,588 $1,070 $1,132
Interest rate floors . . . . . . . . . . . . . . . . . . . . . . 23,866 630 66 23,691 461 37
Interest rate caps . . . . . . . . . . . . . . . . . . . . . . 35,412 176 1 28,409 283 —
Interestratefutures ..................... 9,385 43 17 7,563 8 10
Interest rate options . . . . . . . . . . . . . . . . . . . . . 8,761 144 23 4,050 117 57
Interest rate forwards . . . . . . . . . . . . . . . . . . . . 9,234 106 28 9,921 66 27
SyntheticGICs ........................ 4,397 — — 4,352 — —
Foreign currency swaps . . . . . . . . . . . . . . . . . . 7,546 496 790 7,964 533 913
Foreign currency forwards . . . . . . . . . . . . . . . . . 8,508 110 65 4,605 56 44
Currencyfutures....................... 493 2 — — — —
Currencyoptions....................... 5,426 50 — 822 18 —
Credit default swaps . . . . . . . . . . . . . . . . . . . . 10,957 173 104 6,723 74 130
Equityfutures......................... 8,794 21 9 7,405 44 21
Equity options . . . . . . . . . . . . . . . . . . . . . . . . . 33,688 1,843 1,197 27,175 1,712 1,018
Variance swaps . . . . . . . . . . . . . . . . . . . . . . . . 18,022 198 118 13,654 181 58
Totalrateofreturnswaps ................. 1,547 — — 376 — 47
Total non-designated or non-qualifying
derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . $232,169 $5,721 $3,649 $178,298 $4,623 $3,494
Net Derivative Gains (Losses)
The components of net derivative gains (losses) were as follows:
2010 2009 2008
Years Ended December 31,
(In millions)
Derivativesandhedginggains(losses)(1) ............................... $122 $(6,624) $6,560
Embeddedderivatives............................................ (387) 1,758 (2,650)
Totalnetderivativegains(losses)................................... $(265) $(4,866) $3,910
(1) Includes foreign currency transaction gains (losses) on hedged items in cash flow and non-qualifying hedge relationships, which are not
presented elsewhere in this note.
The following table presents the settlement payments recorded in income for the:
2010 2009 2008
Years Ended December 31,
(In millions)
Qualifying hedges:
Netinvestmentincome ............................................. $ 83 $ 49 $ 19
Interestcreditedtopolicyholderaccountbalances............................ 233 220 105
Otherexpenses .................................................. (6) (3) (9)
Non-qualifying hedges:
Netinvestmentincome ............................................. (3) (2) 1
Netderivativegains(losses) .......................................... 65 91 49
Otherrevenues .................................................. 108 77 3
Total ......................................................... $480 $432 $168
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-63MetLife, Inc.
MetLife, Inc.
Notes to the Consolidated Financial Statements — (Continued)