Prudential 2011 Annual Report Download - page 168

PRUDENTIAL FINANCIAL, INC.
Notes to Consolidated Financial Statements
4. INVESTMENTS (continued)
December 31, 2010
Amortized
Cost
Gross
Unrealized
Gains
Gross
Unrealized
Losses
Fair
Value
Other-than-
temporary
Impairments
in AOCI(3)
(in millions)
Fixed maturities, available-for-sale
U.S. Treasury securities and obligations of U.S. government
authorities and agencies ............................. $ 10,930 $ 663 $ 295 $ 11,298 $ 0
Obligations of U.S. states and their political subdivisions ..... 2,254 43 66 2,231 0
Foreign government bonds ............................. 47,414 2,920 95 50,239 0
Corporate securities .................................. 93,703 6,503 1,989 98,217 (30)
Asset-backed securities(1) ............................. 12,459 214 1,682 10,991 (1,413)
Commercial mortgage-backed securities .................. 11,443 663 69 12,037 1
Residential mortgage-backed securities(2) ................. 9,551 491 72 9,970 (13)
Total fixed maturities, available-for-sale .................. $187,754 $11,497 $4,268 $194,983 $(1,455)
Equity securities, available-for-sale .................... $ 6,469 $ 1,393 $ 121 $ 7,741
(1) Includes credit tranched securities collateralized by sub-prime mortgages, auto loans, credit cards, education loans, and other asset types.
(2) Includes publicly traded agency pass-through securities and collateralized mortgage obligations.
(3) Represents the amount of other-than-temporary impairment losses in “Accumulated other comprehensive income (loss),” or “AOCI,” which were not
included in earnings. Amount excludes $606 million of net unrealized gains on impaired securities relating to changes in the value of such securities
subsequent to the impairment measurement date.
December 31, 2010
Amortized
Cost
Gross
Unrealized
Gains
Gross
Unrealized
Losses
Fair
Value
Other-than-
temporary
Impairments
in AOCI(3)
(in millions)
Fixed maturities, held-to-maturity
Foreign government bonds ............................... $1,199 $ 84 $ 0 $1,283 $0
Corporate securities .................................... 1,059 12 67 1,004 0
Asset-backed securities(1) ............................... 1,179 48 1 1,226 0
Commercial mortgage-backed securities .................... 475 106 0 581 0
Residential mortgage-backed securities(2) ................... 1,314 69 0 1,383 0
Total fixed maturities, held-to-maturity ..................... $5,226 $319 $68 $5,477 $0
(1) Includes credit tranched securities collateralized by auto loans, credit cards, education loans, and other asset types.
(2) Includes publicly traded agency pass-through securities and collateralized mortgage obligations.
(3) Represents the amount of other-than-temporary impairment losses in “Accumulated other comprehensive income (loss),” or “AOCI,” which were not
included in earnings.
The amortized cost and fair value of fixed maturities by contractual maturities at December 31, 2011, are as follows:
Available-for-Sale Held-to-Maturity
Amortized
Cost
Fair
Value
Amortized
Cost
Fair
Value
(in millions)
Due in one year or less ................................................... $ 8,173 $ 8,192 $ 0 $ 0
Due after one year through five years ....................................... 47,775 48,372 59 60
Due after five years through ten years ....................................... 55,112 58,167 422 427
Due after ten years(1) .................................................... 96,095 107,288 1,936 1,981
Asset-backed securities ................................................... 12,346 10,693 1,213 1,275
Commercial mortgage-backed securities ..................................... 11,519 12,080 428 497
Residential mortgage-backed securities ...................................... 9,404 9,856 1,049 1,114
Total ............................................................. $240,424 $254,648 $5,107 $5,354
(1) Excludes notes with amortized cost of $500 million (fair value, $519 million) which have been offset with the associated payables under a netting
agreement.
Actual maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations. Asset-
backed, commercial mortgage-backed, and residential mortgage-backed securities are shown separately in the table above, as they are not
due at a single maturity date.
166 Prudential Financial, Inc. 2011 Annual Report