MetLife 2011 Annual Report Download - page 85

Sensitivity Analysis: Interest Rates. The table below provides additional detail regarding the potential loss in fair value of the Company’s trading and
non-trading interest sensitive financial instruments at December 31, 2011 by type of asset or liability:
December 31, 2011
Notional
Amount
Estimated
Fair
Value(3)
Assuming a
10% Increase
in the Yield
Curve
(In millions)
Assets:
Fixed maturity securities .................................................................... $350,271 $(4,941)
Equity securities .......................................................................... 3,023 —
Trading and other securities ................................................................ 18,268 (5)
Mortgage loans:
Held-for-investment ..................................................................... 59,560 (220)
Held-for-sale .......................................................................... 7,526 (35)
Mortgage loans, net ................................................................... 67,086 (255)
Policy loans ............................................................................. 14,213 (125)
Real estate joint ventures(1) ................................................................. 183 —
Other limited partnership interests(1) .......................................................... 1,656 —
Short-term investments .................................................................... 17,310 (1)
Other invested assets: .....................................................................
Mortgage servicing rights ................................................................. 666 54
Other ................................................................................ 1,434 —
Cash and cash equivalents ................................................................. 10,461 (1)
Accrued investment income ................................................................ 4,344 —
Premiums, reinsurance and other receivables ................................................... 5,232 (227)
Other assets ............................................................................ 308 (10)
Net embedded derivatives within asset host contracts(2) .......................................... 363 (17)
Mortgage loan commitments ................................................................ $ 4,129 3 (2)
Commitments to fund bank credit facilities, bridge loans and private corporate bond investments ........... $ 1,432 51 —
Total Assets ......................................................................... $(5,530)
Liabilities:
Policyholder account balances .............................................................. $153,304 $ 740
Payables for collateral under securities loaned and other transactions ................................ 33,716 —
Bank deposits ........................................................................... 10,507 —
Short-term debt .......................................................................... 686 —
Long-term debt .......................................................................... 22,514 186
Collateral financing arrangements ............................................................ 4,136 —
Junior subordinated debt securities ........................................................... 3,491 105
Other liabilities: ...........................................................................
Trading liabilities ........................................................................ 127 2
Other ................................................................................ 4,087 25
Net embedded derivatives within liability host contracts(2) ......................................... 4,584 1,677
Total Liabilities ....................................................................... $ 2,735
Derivative Instruments:
Interest rate swaps ....................................................................... $79,733 $ 6,042 $(1,049)
Interest rate floors ........................................................................ $23,866 1,081 (89)
Interest rate caps ......................................................................... $49,665 102 25
Interest rate futures ....................................................................... $14,965 6 (103)
Interest rate options ....................................................................... $16,988 890 (200)
Interest rate forwards ...................................................................... $14,033 195 (31)
Synthetic GICs ........................................................................... $ 4,454 — —
Foreign currency swaps ................................................................... $16,461 112 14
Foreign currency forwards .................................................................. $10,149 140 1
Currency futures ......................................................................... $ 633 — —
Currency options ......................................................................... $ 1,321 6 —
Credit default swaps ...................................................................... $13,136 213 —
Credit forwards .......................................................................... $ 20 4 —
Equity futures ............................................................................ $ 7,053 16 —
Equity options ........................................................................... $17,099 3,084 (90)
Variance swaps .......................................................................... $18,801 322 (7)
Total rate of return swaps .................................................................. $ 1,644 (24) —
Total Derivative Instruments ........................................................... $(1,529)
Net Change .............................................................................. $(4,324)
(1) Represents only those investments accounted for using the cost method.
(2) Embedded derivatives are recognized in the consolidated balance sheet in the same caption as the host contract.
(3) Separate account assets and liabilities which are interest rate sensitive are not included herein as any interest rate risk is borne by the holder of the
separate account.
MetLife, Inc. 81