MetLife 2013 Annual Report Download - page 84

(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, fair value option and trading securities and long-term
debt exclude $1.6 billion, $23 million and $1.5 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 $203.2 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 increased by $787 million, or 13%, to $6.8 billion at December 31, 2013 from $6.0 billion at December 31, 2012. This change was
primarily due to an increase in interest rates across the swap and U.S. Treasury curves of $1.2 billion and was offset by the use of derivatives by the
Company of $442 million during the year ended December 31, 2013.
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, 2013 by type of asset or liability:
December 31, 2013
Notional
Amount
Estimated
Fair
Value (1)
Assuming a
10% Increase
in the Foreign
Exchange Rate
(In millions)
Assets:
Fixed maturity securities ........................................................ $350,187 $ (8,590)
Equity securities .............................................................. $ 3,402 (100)
Fair value option and trading securities ............................................. $ 1,289 (5)
Mortgage loans:
Held-for-investment ......................................................... $ 58,259 (644)
Held-for-sale ............................................................... 3 —
Mortgage loans, net ....................................................... $ 58,262 (644)
Policy loans ................................................................. $ 13,206 (168)
Short-term investments ........................................................ $ 13,955 (228)
Other invested assets .......................................................... $ 1,103 (102)
Cash and cash equivalents ..................................................... $ 7,585 (293)
Accrued investment income ..................................................... $ 4,255 (70)
Premiums, reinsurance and other receivables ....................................... $ 3,110 (60)
Other assets ................................................................. $ 352 (7)
Net embedded derivatives within asset host contracts (2) .............................. $ 285 (12)
Total assets .......................................................... $(10,279)
Liabilities: (3)
Policyholder account balances ................................................... $137,773 $ 2,649
Payables for collateral under securities loaned and other transactions ..................... $ 30,411 121
Long-term debt .............................................................. $ 18,564 137
Other liabilities ............................................................... $ 2,502 13
Net embedded derivatives within liability host contracts (2) ............................. $ (969) 130
Total liabilities ........................................................ $ 3,050
Derivative Instruments:
Interest rate swaps ............................................................ $116,894 $ 2,709 $ (31)
Interest rate floors ............................................................. $ 63,064 $ 105 —
Interest rate caps ............................................................. $ 39,460 $ 177 —
Interest rate futures ............................................................ $ 6,011 $ — 1
Interest rate options ........................................................... $ 40,978 $ 12 (7)
Interest rate forwards .......................................................... $ 450 $ — —
Synthetic GICs ............................................................... $ 4,409 $ — —
Foreign currency swaps ........................................................ $ 24,472 $ (693) 668
Foreign currency forwards ...................................................... $ 17,428 $ (332) (209)
Currency futures .............................................................. $ 1,316 $ — (112)
Currency options ............................................................. $ 9,627 $ 323 361
Credit default swaps ........................................................... $ 12,780 $ 121 —
Equity futures ................................................................ $ 5,157 $ (42) 5
Equity options ................................................................ $ 37,411 $ 276 (15)
Variance swaps .............................................................. $ 21,636 $ (403) 1
Total rate of return swaps ....................................................... $ 3,802 $ (179) —
Total derivative instruments ............................................ $ 662
Net Change .................................................................. $ (6,567)
(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
76 MetLife, Inc.