MetLife 2013 Annual Report Download - page 83

The table below illustrates the potential loss in estimated fair value for each market risk exposure of our market sensitive assets and liabilities at
December 31, 2013:
December 31, 2013
(In millions)
Non-trading:
Interest rate risk ........................................................................... $6,777
Foreign currency exchange rate risk ........................................................... $6,562
Equity market risk ......................................................................... $ 95
Trading:
Interest rate risk ........................................................................... $ 11
Foreign currency exchange rate risk ........................................................... $ 5
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, 2013 by type of asset or liability: December 31, 2013
Notional
Amount
Estimated
Fair
Value (1)
Assuming a
10% Increase in
the Yield Curve
(In millions)
Assets:
Fixed maturity securities .............................................................. $350,187 $(6,684)
Equity securities .................................................................... $ 3,402 —
Fair value option and trading securities .................................................. $ 1,289 (11)
Mortgage loans:
Held-for-investment ............................................................... $ 58,259 (380)
Held-for-sale ..................................................................... 3 —
Mortgage loans, net ............................................................. $ 58,262 (380)
Policy loans ....................................................................... $ 13,206 (135)
Short-term investments .............................................................. $ 13,955 (2)
Other invested assets ............................................................... $ 1,103 —
Cash and cash equivalents ........................................................... $ 7,585 —
Accrued investment income ........................................................... $ 4,255 —
Premiums, reinsurance and other receivables ............................................. $ 3,110 (155)
Other assets ....................................................................... $ 352 (5)
Net embedded derivatives within asset host contracts (2) .................................... $ 285 (22)
Total assets .................................................................. $(7,394)
Liabilities: (3)
Policyholder account balances ........................................................ $137,773 $ 597
Payables for collateral under securities loaned and other transactions ........................... $ 30,411 —
Short-term debt .................................................................... $ 175 —
Long-term debt .................................................................... $ 18,564 363
Collateral financing arrangements ...................................................... $ 3,984 —
Junior subordinated debt securities ..................................................... $ 3,789 133
Other liabilities: .....................................................................
Trading liabilities .................................................................. $ 262 5
Other .......................................................................... $ 2,240 124
Net embedded derivatives within liability host contracts (2) ................................... $ (969) 528
Total liabilities ................................................................ $ 1,750
Derivative Instruments:
Interest rate swaps .................................................................. $116,894 $ 2,709 $ (935)
Interest rate floors ................................................................... $ 63,064 $ 105 (16)
Interest rate caps ................................................................... $ 39,460 $ 177 52
Interest rate futures .................................................................. $ 6,011 $ — 5
Interest rate options ................................................................. $ 40,978 $ 12 (127)
Interest rate forwards ................................................................ $ 450 $ — (30)
Synthetic GICs ..................................................................... $ 4,409 $ — —
Foreign currency swaps .............................................................. $ 24,472 $ (693) (15)
Foreign currency forwards ............................................................ $ 17,428 $ (332) (2)
Currency futures .................................................................... $ 1,316 $ — —
Currency options ................................................................... $ 9,627 $ 323 (7)
Credit default swaps ................................................................ $ 12,780 $ 121 —
Equity futures ...................................................................... $ 5,157 $ (42) —
Equity options ...................................................................... $ 37,411 $ 276 (72)
Variance swaps .................................................................... $ 21,636 $ (403) 3
Total rate of return swaps ............................................................. $ 3,802 $ (179) —
Total derivative instruments .................................................... $(1,144)
Net Change ........................................................................ $(6,788)
MetLife, Inc. 75