Prudential 2011 Annual Report Download - page 101

The following table sets forth our public fixed maturity portfolios by NAIC designation attributable to the Closed Block Business as of
the dates indicated.
Public Fixed Maturity Securities—Closed Block Business
(1) December 31, 2011 December 31, 2010
NAIC Designation
Amortized
Cost
Gross
Unrealized
Gains
Gross
Unrealized
Losses
Fair
Value
Amortized
Cost
Gross
Unrealized
Gains
Gross
Unrealized
Losses
Fair
Value
(in millions)
1 $21,098 $2,424 $ 381 $23,141 $21,965 $1,075 $ 551 $22,489
2 4,638 629 134 5,133 4,842 423 88 5,177
Subtotal High or Highest Quality Securities .............. 25,736 3,053 515 28,274 26,807 1,498 639 27,666
3 1,103 59 82 1,080 1,547 73 77 1,543
4 808 14 245 577 1,031 27 201 857
5 369 5 156 218 527 17 176 368
6 6610 14625820 1365
Subtotal Other Securities(2) ........................... 2,346 88 497 1,937 3,163 137 467 2,833
Total Public Fixed Maturities ..................... $28,082 $3,141 $1,012 $30,211 $29,970 $1,635 $1,106 $30,499
(1) Includes, as of December 31, 2011 and 2010, 11 securities with amortized cost of $11 million (fair value, $13 million) and 15 securities with amortized
cost of $9 million (fair value, $10 million), respectively, that have been categorized based on expected NAIC designations pending receipt of SVO
ratings.
(2) On an amortized cost basis, as of December 31, 2011, includes $290 million in securitized bank loans and $182 million in emerging markets securities.
Private Fixed Maturities—Credit Quality
The following table sets forth our private fixed maturity portfolios by NAIC designation attributable to the Financial Services
Businesses as of the dates indicated.
Private Fixed Maturity Securities—Financial Services Businesses
(1)(2) December 31, 2011 December 31, 2010
NAIC Designation
Amortized
Cost
Gross
Unrealized
Gains(3)
Gross
Unrealized
Losses(3)
Fair
Value
Amortized
Cost
Gross
Unrealized
Gains(3)
Gross
Unrealized
Losses(3)
Fair
Value
(in millions)
1 $ 7,018 $ 730 $ 84 $ 7,664 $ 6,226 $ 511 $ 90 $ 6,647
2 15,847 1,273 362 16,758 13,264 792 341 13,715
Subtotal High or Highest Quality Securities .............. 22,865 2,003 446 24,422 19,490 1,303 431 20,362
3 2,532 134 43 2,623 2,467 104 63 2,508
4 715 14 20 709 948 26 44 930
5 490 5 42 453 518 21 17 522
6 130 31 3 158 95 29 6 118
Subtotal Other Securities(4) ........................... 3,867 184 108 3,943 4,028 180 130 4,078
Total Private Fixed Maturities ..................... $26,732 $2,187 $554 $28,365 $23,518 $1,483 $561 $24,440
(1) Reflects equivalent ratings for investments of the international insurance operations.
(2) Includes, as of December 31, 2011 and 2010, 100 securities with amortized cost of $815 million (fair value, $840 million) and 160 securities with
amortized cost of $1,776 million (fair value, $1,800 million), respectively, that have been categorized based on expected NAIC designations pending
receipt of SVO ratings.
(3) Includes $63 million of gross unrealized gains and $1 million of gross unrealized losses as of December 31, 2011, compared to $47 million of gross
unrealized gains and $1 million of gross unrealized losses as of December 31, 2010 on securities classified as held-to-maturity.
(4) On an amortized cost basis, as December 31, 2011 includes $419 million in securitized bank loans and $244 million in commercial asset finance
securities.
Prudential Financial, Inc. 2011 Annual Report 99