MetLife 2012 Annual Report Download - page 77

Sensitivity Analysis: Foreign Currency Exchange Rates. The table below provides additional detail regarding the potential loss in estimated fair
value of our portfolio due to a 10% change in foreign currency exchange rates 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 Foreign
Exchange Rate
(In millions)
Assets:
Fixed maturity securities ........................................................... $374,266 $ (8,654)
Equity securities ................................................................. $ 2,891 (156)
Fair value option and trading securities ............................................... $ 883 (19)
Mortgage loans: .................................................................
Held-for-investment ............................................................ $ 57,381 (535)
Held-for-sale ................................................................. 414 —
Mortgage loans, net .......................................................... $ 57,795 (535)
Policy loans .................................................................... $ 14,257 (203)
Short-term investments ........................................................... $ 16,906 (195)
Other invested assets ............................................................ $ 1,241 (152)
Cash and cash equivalents ........................................................ $ 15,738 (392)
Accrued investment income ....................................................... $ 4,374 (43)
Premiums, reinsurance and other receivables .......................................... $ 3,705 (36)
Other assets ................................................................... $ 292 (7)
Total Assets ............................................................ $(10,392)
Liabilities: (2)
Policyholder account balances ..................................................... $150,497 $ 2,761
Payable for collateral under securities loaned and other transactions ........................ $ 33,687 47
Bank deposits .................................................................. $ 6,416 —
Long-term debt ................................................................. $ 18,978 137
Other liabilities .................................................................. $ 1,916 4
Net embedded derivatives within liability host contracts (3) ................................ $ 3,684 258
Total Liabilities .......................................................... $ 3,207
Derivative Instruments:
Interest rate swaps .............................................................. $92,289 $ 5,694 $ (35)
Interest rate floors ............................................................... $56,246 $ 337 —
Interest rate caps ................................................................ $49,465 $ 74 —
Interest rate futures .............................................................. $11,684 $ (37) —
Interest rate options .............................................................. $16,328 $ 580 (1)
Interest rate forwards ............................................................. $ 675 $ 139 —
Synthetic GICs ................................................................. $ 4,162 $ — —
Foreign currency swaps .......................................................... $20,433 $ (426) 697
Foreign currency forwards ......................................................... $11,754 $ (280) 31
Currency futures ................................................................ $ 1,408 $ 4 (115)
Currency options ................................................................ $ 4,504 $ 41 142
Credit default swaps ............................................................. $12,553 $ 51 —
Equity futures ................................................................... $ 7,008 $ (118) 10
Equity options .................................................................. $22,920 $ 2,469 (116)
Variance swaps ................................................................. $19,830 $ (188) —
Total rate of return swaps ......................................................... $ 3,092 $ (99) —
Total Derivative Instruments .............................................. $ 613
Net Change .................................................................... $ (6,572)
(1) Does not necessarily represent those financial instruments solely subject to foreign currency exchange rate risk. Separate account assets and
liabilities and contractholder-directed unit-linked investments and associated PABs, which are foreign currency exchange rate sensitive, are not
included herein as any foreign currency exchange 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 Consolidated Financial Statements for information regarding CSEs.
(2) 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 foreign currency exchange rates.
(3) Embedded derivatives are recognized in the consolidated balance sheet in the same caption as the host contract.
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