MetLife 2012 Annual Report Download - page 154

MetLife, Inc.
Notes to the Consolidated Financial Statements — (Continued)
Valuation Techniques Significant Unobservable Inputs Range Weighted Average
Fixed maturity securities:
U.S. corporate and foreign corporate • Matrix pricing • Delta spread adjustments (1) (50) — 500 90
• Illiquidity premium (1) 30 — 30
• Spreads from below investment grade
curves (1) (157) — 876 205
• Offered quotes (2) — — 348
• Market pricing • Quoted prices (2) (1,416) — 830 132
• Consensus pricing • Offered quotes (2) — — 555
Foreign government
• Matrix pricing
• Spreads from below investment grade
curves (1) (58) — 150 72
• Market pricing • Quoted prices (2) 77 146 99
• Consensus pricing • Offered quotes (2) 82 — 200
RMBS • Matrix pricing and discounted
cash flow
• Spreads from below investment grade
curves (1) 9 — 2,980 521
• Market pricing • Quoted prices (2) 13 — 109 100
• Consensus pricing • Offered quotes (2) 28 — 100
CMBS • Matrix pricing and discounted
cash flow
• Spreads from below investment grade
curves (1) 1 — 9,164 374
• Market pricing • Quoted prices (2) 1 — 106 99
ABS • Matrix pricing and discounted
cash flow
• Spreads from below investment grade
curves (1) — — 1,829 109
• Market pricing • Quoted prices (2) 40 — 105 100
• Consensus pricing • Offered quotes (2) — — 111
Derivatives:
Interest rate • Present value techniques • Swap yield (1) 186 — 353
Foreign currency exchange rate • Present value techniques • Swap yield (1) 228 — 795
• Currency correlation 43% — 57%
Credit • Present value techniques • Credit spreads (1) 100 — 100
• Consensus pricing • Offered quotes (3)
Equity market • Present value techniques • Volatility 13% — 32%
or option pricing models • Correlation 65% — 65%
Embedded derivatives:
Direct and assumed guaranteed
minimum benefits • Option pricing techniques • Mortality rates:
Ages 0 - 40 0% — 0.14%
Ages 41 - 60 0.05% — 0.88%
Ages 61 - 115 0.26% — 100%
• Lapse rates:
Durations 1 - 10 0.50% — 100%
Durations 11 - 20 2% — 100%
Durations 21 - 116 2% — 100%
• Utilization rates (4) 20% — 50%
• Withdrawal rates 0.07% — 20%
• Long-term equity volatilities 15.18% — 40%
• Nonperformance risk spread 0.10% — 1.72%
(1) For this unobservable input, range and weighted average are presented in basis points.
(2) For this unobservable input, range and weighted average are presented in accordance with the market convention for fixed maturity securities of
dollars per hundred dollars of par.
(3) At December 31, 2012, independent non-binding broker quotations were used in the determination of less than 1% of the total net derivative
estimated fair value.
(4) This range is attributable to certain GMIB and lifetime withdrawal benefits.
The following is a summary of the valuation techniques and significant unobservable inputs used in the fair value measurement for other assets and
liabilities classified within Level 3. These assets and liabilities are subject to the controls described under “—Investments – Valuation Controls and
Procedures.” Generally, all other classes of securities including those within separate account assets use the same valuation techniques and significant
unobservable inputs as previously described for Level 3 fixed maturity securities. This includes matrix pricing and discounted cash flow methodologies,
inputs such as quoted prices for identical or similar securities that are less liquid and based on lower levels of trading activity than securities classified in
Level 2, as well as independent non-binding broker quotations. Mortgage loans held-for-sale are valued using independent non-binding broker
148 MetLife, Inc.