Prudential 2012 Annual Report Download - page 197

PRUDENTIAL FINANCIAL, INC.
Notes to Consolidated Financial Statements
20. FAIR VALUE OF ASSETS AND LIABILITIES (continued)
Derivative Fair Value Information
The following tables present the balance of derivative assets and liabilities measured at fair value on a recurring basis, as of the date
indicated, by primary underlying. These tables exclude embedded derivatives which are recorded with the associated host contract. The
derivative assets and liabilities shown below are included in “Other trading account assets,” “Other long-term investments” or “Other
liabilities” in the tables presented previously in this note, under the headings “Assets and Liabilities by Hierarchy Level” and “Changes in
Level 3 Assets and Liabilities.” The amounts in the Hierarchy Level columns below represent the gross fair value of derivative contracts
prior to taking into account the netting effects of master netting agreements and cash collateral held with the same counterparty. This
netting impact is reflected in the netting column below, as well as in the Consolidated Statement of Financial Position.
As of December 31, 2012
Level 1 Level 2 Level 3 Netting(1) Total
(in millions)
Derivative assets:
Interest Rate ................................................................ $ 11 $11,675 $ 5 $ $ 11,691
Currency ................................................................... 0 432 0 432
Credit ..................................................................... 0 19 0 19
Currency/Interest Rate ........................................................ 0 450 0 450
Equity ..................................................................... 63 518 19 600
Netting(1) .................................................................. (10,117) (10,117)
Total derivative assets ..................................................... $ 74 $13,094 $24 $(10,117) $ 3,075
Derivative liabilities:
Interest Rate ................................................................ $ 11 $ 6,783 $ 2 $ $ 6,796
Currency ................................................................... 0 517 0 517
Credit ..................................................................... 0 84 0 84
Currency/Interest Rate ........................................................ 0 578 0 578
Equity ..................................................................... 165 198 0 363
Netting(1) .................................................................. (8,031) (8,031)
Total derivative liabilities .................................................. $176 $ 8,160 $ 2 $ (8,031) $ 307
As of December 31, 2011
Level 1 Level 2 Level 3 Netting(1) Total
(in millions)
Derivative assets:
Interest Rate ................................................................ $ 10 $12,383 $ 5 $ $ 12,398
Currency ................................................................... 0 219 0 219
Credit ..................................................................... 0 56 1 57
Currency/Interest Rate ........................................................ 0 562 0 562
Equity ..................................................................... 149 365 83 597
Netting(1) .................................................................. (11,222) (11,222)
Total derivative assets ..................................................... $159 $13,585 $89 $(11,222) $ 2,611
Derivative liabilities:
Interest Rate ................................................................ $ 9 $ 6,587 $ 6 $ $ 6,602
Currency ................................................................... 0 297 0 297
Credit ..................................................................... 0 130 0 130
Currency/Interest Rate ........................................................ 0 928 0 928
Equity ..................................................................... 0 246 0 246
Netting(1) .................................................................. (7,854) (7,854)
Total derivative liabilities .................................................. $ 9 $ 8,188 $ 6 $ (7,854) $ 349
(1) “Netting” amounts represent cash collateral of $2,086 million and $3,368 million as of December 31, 2012 and 2011, respectively, and the impact of
offsetting asset and liability positions held with the same counterparty.
Prudential Financial, Inc. 2012 Annual Report 195