Prudential 2011 Annual Report Download - page 233

PRUDENTIAL FINANCIAL, INC.
Notes to Consolidated Financial Statements
20. FAIR VALUE OF ASSETS AND LIABILITIES (continued)
As of December 31, 2010(4)
Level 1 Level 2 Level 3 Netting(1) Total
(in millions)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies ........ $ 0 $ 11,298 $ 0 $ $ 11,298
Obligations of U.S. states and their political subdivisions ............................... 0 2,231 0 2,231
Foreign government bonds ....................................................... 0 50,212 27 50,239
Corporate securities ............................................................ 5 97,025 1,187 98,217
Asset-backed securities .......................................................... 0 9,238 1,753 10,991
Commercial mortgage-backed securities ............................................ 0 11,907 130 12,037
Residential mortgage-backed securities ............................................. 0 9,947 23 9,970
Subtotal .................................................................. 5 191,858 3,120 194,983
Trading account assets supporting insurance liabilities:
U.S. Treasury securities and obligations of U.S. government authorities and agencies ........ 0 266 0 266
Obligations of U.S. states and their political subdivisions ............................... 0 182 0 182
Foreign government bonds ....................................................... 0 569 0 569
Corporate securities ............................................................ 0 10,036 82 10,118
Asset-backed securities .......................................................... 0 804 226 1,030
Commercial mortgage-backed securities ............................................ 0 2,402 5 2,407
Residential mortgage-backed securities ............................................. 0 1,345 18 1,363
Equity securities ............................................................... 935 200 4 1,139
Short-term investments and cash equivalents ......................................... 606 91 0 697
Subtotal .................................................................. 1,541 15,895 335 17,771
Other trading account assets:
U.S. Treasury securities and obligations of U.S. government authorities and agencies ........ 0 96 0 96
Obligations of U.S. states and their political subdivisions ............................... 118 0 0 118
Foreign government bonds ....................................................... 1 24 0 25
Corporate securities ............................................................ 14 269 35 318
Asset-backed securities .......................................................... 0 607 54 661
Commercial mortgage-backed securities ............................................ 0 84 19 103
Residential mortgage-backed securities ............................................. 0 163 18 181
Equity securities ............................................................... 393 142 26 561
All other(2) ................................................................... 33 7,899 134 (5,904) 2,162
Subtotal .................................................................. 559 9,284 286 (5,904) 4,225
Equity securities, available-for-sale ................................................ 4,458 2,928 355 7,741
Commercial mortgage and other loans .............................................. 0 136 212 348
Other long-term investments ..................................................... 37 129 768 934
Short-term investments .......................................................... 3,307 1,669 0 4,976
Cash equivalents ............................................................... 2,475 6,661 0 9,136
Other assets ................................................................... 2,785 0 9 2,794
Subtotal excluding separate account assets ...................................... 15,167 228,560 5,085 (5,904) 242,908
Separate account assets(3) ....................................................... 43,273 148,711 15,792 207,776
Total assets ............................................................... $58,440 $377,271 $20,877 $(5,904) $450,684
Future policy benefits ........................................................... $ 0 $ 0 $ (204) $ $ (204)
Other liabilities ................................................................ 1 6,736 3 (5,712) 1,028
Total liabilities ............................................................ $ 1 $ 6,736 $ (201) $(5,712) $ 824
(1) “Netting” amounts represent cash collateral of $3,369 million and $192 million as of December 31, 2011 and December 31, 2010 and the impact of
offsetting asset and liability positions held with the same counterparty.
(2) Primarily represents derivative assets.
(3) Separate account assets represent segregated funds that are invested for certain customers. Investment risks associated with market value changes are
borne by the customers, except to the extent of minimum guarantees made by the Company with respect to certain accounts. Separate account assets
classified as Level 3 consist primarily of real estate and real estate investment funds. Separate account liabilities are not included in the above table as
they are reported at contract value and not fair value in the Company’s Consolidated Statement of Financial Position.
(4) Includes reclassifications to conform to current period presentation.
The methods and assumptions the Company uses to estimate the fair value of assets and liabilities measured at fair value on a
recurring basis are summarized below. Information regarding separate account assets is excluded as the risk associated with these assets is
primarily borne by the Company’s customers and policyholders.
Prudential Financial, Inc. 2011 Annual Report 231