MetLife 2010 Annual Report Download - page 84
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Sensitivity Analysis: Foreign Currency Exchange Rates. The table below provides additional detail regarding the potential loss in estimated
fair value of the Company’s portfolio due to a 10% change in foreign currency exchange rates at December 31, 2010 by type of asset or
liability:
Notional
Amount
Estimated
Fair
Value (1)
Assuming a
10% Increase
in the Foreign
Exchange Rate
December 31, 2010
(In millions)
Assets:
Fixedmaturitysecurities .............................................. $327,284 $(6,516)
Equitysecurities ................................................... 3,606 (74)
Tradingandothersecurities............................................ 18,589 (346)
Mortgage loans:
Held-for-investment................................................ 60,846 (414)
Held-for-sale .................................................... 3,321 —
Mortgageloans,net.............................................. 64,167 (414)
Policyloans ...................................................... 13,406 (199)
Short-terminvestments............................................... 9,387 (200)
Other invested assets:
Mortgageservicingrights............................................ 950 —
Other......................................................... 1,490 (143)
Cashandcashequivalents ............................................ 13,046 (139)
Accruedinvestmentincome............................................ 4,381 (11)
Premiums,reinsuranceandotherreceivables ................................ 4,048 (16)
Total Assets ................................................... $(8,058)
Liabilities:
Policyholderaccountbalances.......................................... $152,850 $3,255
Bankdeposits..................................................... 10,371 —
Long-termdebt.................................................... 21,892 37
Otherliabilities .................................................... 2,777 9
Netembeddedderivativeswithinliabilityhostcontracts(2) ........................ 2,634 437
Total Liabilities ................................................. $3,738
Derivative Instruments:
Interestrateswaps ................................................. $54,083 $ 1,138 $ (17)
Interestratefloors .................................................. $23,866 564 —
Interestratecaps .................................................. $35,412 175 —
Interestratefutures ................................................. $ 9,385 26 (2)
Interestrateoptions................................................. $ 8,761 121 (2)
Interestrateforwards ................................................ $10,374 (29) —
SyntheticGICs .................................................... $ 4,397 — —
Foreigncurrencyswaps .............................................. $17,626 334 271
Foreigncurrencyforwards............................................. $10,443 28 73
Currencyfutures................................................... $ 493 2 (49)
Currencyoptions................................................... $ 5,426 50 107
Non-derivativehedginginstruments....................................... $ 169 (185) —
Creditdefaultswaps ................................................ $10,957 69 —
Creditforwards.................................................... $ 90 (1) —
Equityfutures..................................................... $ 8,794 12 2
Equityoptions..................................................... $33,688 646 (77)
Varianceswaps.................................................... $18,022 80 (1)
Totalrateofreturnswaps ............................................. $ 1,547 — —
Total Derivative Instruments ........................................ $ 305
Net Change ....................................................... $(4,015)
(1) Estimated fair value presented in the table above represents the estimated fair value of all financial instruments within this financial
statement caption not necessarily those solely subject to foreign exchange risk.
(2) Embedded derivatives are recognized in the consolidated balance sheet in the same caption as the host contract.
Foreign currency exchange rate risk increased by $3,124 million, to $4,015 million at December 31, 2010 from $891 million at
December 31, 2009. Excluding the Acquisition which increased risk by $2,646 million, the foreign currency exchange risk has increased
81MetLife, Inc.