Prudential 2011 Annual Report Download - page 170

PRUDENTIAL FINANCIAL, INC.
Notes to Consolidated Financial Statements
4. INVESTMENTS (continued)
Trading Account Assets Supporting Insurance Liabilities
The following table sets forth the composition of “Trading account assets supporting insurance liabilities, at fair value” at
December 31:
December 31, 2011 December 31, 2010
Amortized
Cost
Fair
Value
Amortized
Cost
Fair
Value
(in millions)
Short-term investments and cash equivalents .................................. $ 951 $ 951 $ 697 $ 697
Fixed maturities:
Corporate securities ................................................. 10,297 11,036 9,581 10,118
Commercial mortgage-backed securities ................................. 2,157 2,247 2,352 2,407
Residential mortgage-backed securities(1) ................................ 1,786 1,844 1,350 1,363
Asset-backed securities(2) ............................................ 1,504 1,367 1,158 1,030
Foreign government bonds ............................................ 644 655 567 569
U.S. government authorities and agencies and obligations of U.S. states ........ 440 470 467 448
Total fixed maturities .................................................... 16,828 17,619 15,475 15,935
Equity securities ........................................................ 1,050 911 1,156 1,139
Total trading account assets supporting insurance liabilities .............. $18,829 $19,481 $17,328 $17,771
(1) Includes publicly traded agency pass-through securities and collateralized mortgage obligations.
(2) Includes credit tranched securities collateralized by sub-prime mortgages, auto loans, credit cards, education loans and other asset types.
The net change in unrealized gains (losses) from trading account assets supporting insurance liabilities still held at period end,
recorded within “Asset management fees and other income” was $209 million, $415 million and $1,794 million during the years ended
December 31, 2011, 2010 and 2009, respectively.
Other Trading Account Assets
The following table sets forth the composition of the “Other trading account assets” at December 31:
December 31, 2011 December 31, 2010
Amortized
Cost
Fair
Value
Amortized
Cost
Fair
Value
(in millions)
Short-term investments and cash equivalents .................................. $ 4 $ 3 $ 3 $ 3
Fixed maturities:
Asset-backed securities ............................................... 698 652 706 661
Residential mortgage-backed securities .................................. 186 96 301 181
Corporate securities ................................................. 557 555 319 318
Commercial mortgage-backed securities ................................. 155 110 144 103
U.S. government authorities and agencies and obligations of U.S. states ........ 41 31 212 214
Foreign government bonds ............................................ 47 47 25 25
Total fixed maturities .................................................... 1,684 1,491 1,707 1,502
Other ................................................................. 15 19 16 20
Equity securities(1) ...................................................... 1,682 1,621 548 561
Subtotal ........................................................... $3,385 $3,134 $2,274 $2,086
Derivative instruments ................................................... 2,411 2,139
Total other trading account assets .......................................... $3,385 $5,545 $2,274 $4,225
(1) During 2011, perpetual preferred stocks of $1.3 billion were reclassified from “Equity securities, available-for-sale.” Additionally, $17 million of gains
were reclassified from “Accumulated other comprehensive income (loss)” into “Asset management fees and other income.” Prior periods were not
restated.
The net change in unrealized gains (losses) from other trading account assets, excluding derivative instruments, still held at period
end, recorded within “Asset management fees and other income” was $63 million, $57 million and $101 million during the years ended
December 31, 2011, 2010 and 2009, respectively.
Concentrations of Financial Instruments
The Company monitors its concentrations of financial instruments on an on-going basis, and mitigates credit risk by maintaining a
diversified investment portfolio which limits exposure to any one issuer.
168 Prudential Financial, Inc. 2011 Annual Report