MetLife 2012 Annual Report Download - page 76
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(1) Separate account assets and liabilities and contractholder-directed unit-linked investments and associated PABs, which are interest rate sensitive,
are not included herein as any interest rate risk is borne by the contractholder. Mortgage loans and long-term debt exclude $2.7 billion and $2.5
billion, respectively, related to CSEs. See Note 8 of the Notes to the Consolidated Financial Statements for information regarding CSEs.
(2) Embedded derivatives are recognized in the consolidated balance sheet in the same caption as the host contract.
(3) Excludes $207.8 billion of liabilities at carrying value pursuant to insurance contracts reported within future policy benefits and other policy-related
balances. These liabilities would economically offset a significant portion of the net change in fair value of our financial instruments resulting from a
10% increase in the yield curve.
Interest rate risk has increased by $1.7 billion, or 40%, to $6.0 billion at December 31, 2012 from $4.3 billion at December 31, 2011. The increase
in risk is primarily driven by increases in net embedded derivatives within liability host contracts of $1.2 billion, the net asset and liability bases of $311
million, the overall yield impact of $102 million and the impact of derivatives of $57 million.
70 MetLife, Inc.