Aflac 2009 Annual Report Download - page 46

Occasionally, a debt or perpetual security will be split rated.
This occurs when one rating agency rates the security as
investment grade while another rating agency rates the
same security as below investment grade. Our policy is to
review each issue on a case-by-case basis to determine if a
split-rated security should be classied as investment grade
or below investment grade. Our review includes evaluating
the issuer’s credit position as well as current market pricing
and other factors, such as the issuer’s or security’s inclusion
on a credit rating downgrade watch list. As of December
31, 2009, none of our CDOs were split rated. Split-rated
securities as of December 31, 2009, were as follows:
Other-than-temporary Impairment
See Note 3 of the Notes to the Consolidated Financial
Statements for a discussion of our impairment policy.
Gross Realized Investment Losses
Gross realized pretax investment losses on debt and
perpetual securities, as a result of sales and impairment
charges, for the year ended December 31, 2009, appear in
the table at the top of the following page.
Below-Investment-Grade Securities
2009 2008
Par Amortized Fair Par Amortized Fair
(In millions) Value Cost Value Value Cost Value
Lloyds Banking Group PLC
(includes HBOS)** $ 896 $ 597 $ 612 $ * $ * $ *
Investcorp Capital Limited 452 452 223 * * *
Irish Life and Permanent PLC** 402 204 197 * * *
Takefuji Corporation 363 194 194 * * *
UPM-Kymmene 337 337 224 * * *
Royal Bank of Scotland** 329 134 132 * * *
Ford Motor Credit Company 326 326 302 329 329 143
Dexia SA (includes Dexia Bank Belgium
and Dexia Overseas)** 326 233 233 * * *
CSAV (Tollo Shipping Co. S.A.) 261 261 135 264 264 157
Hella KG Hueck & Co. 239 238 148 * * *
KBC Group NV (includes KBL European
Private Bankers S.A.)** 217 121 182 * * *
Dresdner Funding Bank AG (part of
Commerzbank) (Tier I only) 216 218 172 * * *
Morgan Stanley Aces 2008-6**** 200 200 102 * * *
Aiful Corporation 175 175 74 * * *
BAWAG** 152 131 114 154 133 88
Swedbank (Tier I only)** 152 117 119 * * *
IKB Deutsche Industriebank 141 141 73 143 143 47
Various CWHL CMOs*** 129 114 82 * * *
Ford Motor Company – – – 111 57 31
Beryl Finance Limited 2008-7**** – – – 110 110 116
Terra 2008-01 A13**** 109 109 86 * * *
Finance for Danish Industry 109 109 81 * * *
Beryl Finance Limited 2007-14**** – – – 82 53 53
Morgan Stanley Aces 2007-38**** 81 8 39 * * *
Investkredit Funding II Ltd.** 76 46 46 * * *
Morgan Stanley Aces 2006-31**** 65 11 26 * * *
Beryl Finance Limited 2006-15**** – – – 55 43 43
Beryl Finance Limited 2007-5**** – – – 55 44 44
Eirles Two Limited 310 A**** 54 20 28 * * *
Morgan Stanley Aces 2007-29**** 54 12 28 * * *
Morgan Stanley Aces 2007-21**** 54 4 31 55 3 3
May Department Stores Co. 53 58 50 * * *
Various WFMBS CMOs*** 52 44 38 * * *
Various RFMSI CMOs*** 47 40 34 * * *
DP World Ltd. 45 44 35 * * *
Rinker Materials Corp. (part of Cemex) 43 42 33 43 42 23
First Industrial LP 37 40 27 * * *
Morgan Stanley Aces 2007-19**** – – – 30 4 4
Sprint Capital Corp. 23 24 21 22 24 16
Academica Charter Schools Finance LLC 22 24 15 22 24 17
Weyerhaeuser Co. 20 21 19 * * *
Terra CDO SPC LTD 2007-3 A1**** 20 5 9 * * *
Bank of America Corp. (Tier I only) 18 18 18 * * *
MBIA Inc. 16 17 6 * * *
American General Capital II (part of AIG) 15 19 11 * * *
Allied Capital Corp. 12 12 11 * * *
Tiers Georgia**** – – – 11 1 1
RAST 2005-A10 A5*** 10 8 7 * * *
Morgan Stanley Aces 2006-23**** 10 2 4 * * *
BOAMS 2007-1 1A30*** 6 6 3 * * *
CMSI 2007-5 1A3*** 5 5 3 * * *
MSM 2007-1XS 2A4A*** 5 3 3 * * *
LMT 2006-3 1A5*** 4 3 1 * * *
America West Airlines 3 3 2 * * *
Total $ 6,381 $ 4,950 $ 4,033 $ 1,486 $ 1,274 $ 786
* Investment grade at respective reporting date *** Collateralized mortgage obligation
** Perpetual security **** Collateralized debt obligation
Split-Rated Securities*
Amortized Moody’s S&P Fitch Investment-Grade
(In millions) Cost Rating Rating Rating Status
SLM Corp. $ 356 Ba1 BBB- BBB- Investment Grade
SEB AB** 271 A2 BB+ A Investment Grade
Rohm & Haas Company 234 Ba1 BBB- BBB Investment Grade
Dresdner Funding Trust IV 163 Baa3 CCC CCC Below Investment Grade
Swedbank**,**** 163 Baa2 BB – Investment Grade
Dexia Overseas Limited** 163 Baa2 B A Investment Grade
Arch Finance Limited 2007-1 134 Ba1 BBB- BBB- Investment Grade
May Department Stores Co. 58 Ba2 BB BBB- Below Investment Grade
Dresdner Funding Trust I 55 Baa3 CCC CCC Below Investment Grade
Morton International 37 Ba1 BBB- – Investment Grade
Mead Corp. 36 Ba1 BBB – Investment Grade
Tennessee Gas Pipeline 31 Baa3 BB BBB- Investment Grade
WFMBS 2006-8 A10*** 27 Ba1 AA+ CCC Below Investment Grade
Weyerhaeuser Co. 21 Ba1 BBB- BB+ Below Investment Grade
CHASE 2005-S3 A10*** 19 Baa2 – B Investment Grade
Peco Energy Capital Trust IV 17 Baa1 BB+ BBB+ Investment Grade
Transamerica Capital II 14 Baa3 BBB BB Investment Grade
BankAmerica Instit-A 13 Baa3 BB BB Below Investment Grade
Union Carbide Chemicals and Plastic 11 Ba2 BBB- BBB- Investment Grade
America West Airlines**** 11 Ba3 BBB- – Investment Grade
Keycorp Capital VII 7 Baa2 BB BBB Investment Grade
WFMBS 2006-3 A5*** 6 B1 – A Investment Grade
NB Capital Trust 4 5 Baa3 BB BB Below Investment Grade
WFMBS 2007-13 A6*** 4 – AA B Investment Grade
Union Carbide Corp. 4 Ba2 BBB- BBB- Investment Grade
Regions Financial Corp. 1 Ba1 BBB- BBB Investment Grade
Total $ 1,861
* Split-rated securities represented 2.6% of total debt and perpetual securities at amortized cost at December 31,
2009.
** Perpetual security
*** Collateralized mortgage obligation
**** Separate securities from those reported in the Below-Investment-Grade Securities table from the same issuer
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