MetLife 2012 Annual Report Download - page 75

Sensitivity Analysis: Interest Rates. The table below provides additional detail regarding the potential loss in estimated fair value of our trading and
non-trading interest sensitive financial instruments at December 31, 2012 by type of asset or liability: December 31, 2012
Notional
Amount
Estimated
Fair
Value (1)
Assuming a
10% Increase in
the Yield Curve
(In millions)
Assets:
Fixed maturity securities .............................................................. $374,266 $(5,110)
Equity securities .................................................................... $ 2,891 —
Fair value option and trading securities .................................................. $ 883 (5)
Mortgage loans: ....................................................................
Held-for-investment ............................................................... $ 57,381 (220)
Held-for-sale ..................................................................... 414 —
Mortgage loans, net ............................................................. $ 57,795 (220)
Policy loans ....................................................................... $ 14,257 (112)
Short-term investments .............................................................. $ 16,906 (1)
Other invested assets ............................................................... $ 1,241 —
Cash and cash equivalents ........................................................... $ 15,738 —
Accrued investment income ........................................................... $ 4,374 —
Premiums, reinsurance and other receivables ............................................. $ 3,705 (236)
Other assets ....................................................................... $ 292 (6)
Net embedded derivatives within asset host contracts (2) .................................... $ 506 (22)
Total Assets .................................................................. $(5,712)
Liabilities: (3)
Policyholder account balances ........................................................ $150,497 $ 477
Payables for collateral under securities loaned and other transactions ........................... $ 33,687 —
Bank deposits ..................................................................... $ 6,416 —
Short-term debt .................................................................... $ 100 —
Long-term debt .................................................................... $ 18,978 225
Collateral financing arrangements ...................................................... $ 3,839 —
Junior subordinated debt securities ..................................................... $ 3,984 94
Other liabilities: .....................................................................
Trading liabilities .................................................................. $ 163 3
Other .......................................................................... $ 1,916 —
Net embedded derivatives within liability host contracts (2) ................................. $ 3,684 518
Total Liabilities ............................................................... $ 1,317
Commitments:
Mortgage loan commitments .......................................................... $ 2,969 $ 12 (20)
Commitments to fund bank credit facilities, bridge loans and private corporate bond investments ..... $ 1,243 $ 22 —
Total Commitments ........................................................... $ (20)
Derivative Instruments:
Interest rate swaps .................................................................. $92,289 $ 5,694 $(1,120)
Interest rate floors ................................................................... $56,246 $ 337 (29)
Interest rate caps ................................................................... $49,465 $ 74 17
Interest rate futures .................................................................. $11,684 $ (37) (92)
Interest rate options ................................................................. $16,328 $ 580 (206)
Interest rate forwards ................................................................ $ 675 $ 139 (44)
Synthetic GICs ..................................................................... $ 4,162 $ — —
Foreign currency swaps .............................................................. $20,433 $ (426) (9)
Foreign currency forwards ............................................................ $11,754 $ (280) —
Currency futures .................................................................... $ 1,408 $ 4 —
Currency options ................................................................... $ 4,504 $ 41 (2)
Credit default swaps ................................................................ $12,553 $ 51 —
Equity futures ...................................................................... $ 7,008 $ (118) —
Equity options ...................................................................... $22,920 $ 2,469 (101)
Variance swaps .................................................................... $19,830 $ (188) —
Total rate of return swaps ............................................................. $ 3,092 $ (99) —
Total Derivative Instruments ................................................... $(1,586)
Net Change ........................................................................ $(6,001)
MetLife, Inc. 69