Prudential 2012 Annual Report Download - page 73

The following tables set forth the amortized cost and fair value of our asset-backed securities attributable to the Financial Services
Businesses as of the dates indicated, by credit quality, and for asset-backed securities collateralized by sub-prime mortgages, by year of
issuance (vintage).
Asset-Backed Securities at Amortized Cost—Financial Services Businesses
December 31, 2012
Lowest Rating Agency Rating
Vintage AAA AA A BBB
BB and
below
Total
Amortized
Cost
Total
December 31,
2011
(in millions)
Collateralized by sub-prime mortgages:
2012—2008 ................................................... $ 0 $ 0$0$ 0 $ 0 $ 0 $ 0
2007 ......................................................... 1 0 0 0 429 430 497
2006 ......................................................... 5 0 49 49 725 828 1,019
2005 ......................................................... 0 3 8 17 265 293 343
2004 & Prior .................................................. 0 24 34 50 583 691 775
Total collateralized by sub-prime mortgages(1) ................... 6 27 91 116 2,002 2,242 2,634
Other asset-backed securities:
Externally-managed investments in the European market ............... 0 0 0 108 0 108 452
Collateralized by auto loans ....................................... 693 0 0 0 1 694 841
Collateralized by credit cards ..................................... 500 5 48 142 0 695 761
Collateralized by non-sub-prime mortgages .......................... 1,344 63 7 22 8 1,444 1,707
Other asset-backed securities(2) ................................... 1,479 1,270 113 23 141 3,026 1,924
Total asset-backed securities(3) ................................ $4,022 $1,365 $259 $ 411 $2,152 $8,209 $8,319
(1) Included within the $2.2 billion of asset-backed securities collateralized by sub-prime mortgages as of December 31, 2012, are $30 million of securities
collateralized by second-lien exposures.
(2) As of December 31, 2012, includes collateralized loan obligations with amortized cost of $1,858 million, with none secured by sub-prime mortgages.
Also includes asset-backed securities collateralized by education loans, aircraft, equipment leases, franchises, and timeshares.
(3) Excluded from the table above are asset-backed securities held outside the general account in other entities and operations. Also excluded from the table
above are asset-backed securities classified as trading.
Asset-Backed Securities at Fair Value—Financial Services Businesses
December 31, 2012
Lowest Rating Agency Rating
Vintage AAA AA A BBB
BB and
below
Total
Fair Value
Total
December 31,
2011
(in millions)
Collateralized by sub-prime mortgages:
2012—2008 ................................................... $ 0 $ 0 $ 0 $ 0 $ 0 $ 0 $ 0
2007 ......................................................... 1 0 0 0 338 339 283
2006 ......................................................... 4 0 42 41 611 698 664
2005 ......................................................... 0 3 7 17 224 251 238
2004 & Prior ................................................... 0 22 33 45 494 594 546
Total collateralized by sub-prime mortgages ...................... 5 25 82 103 1,667 1,882 1,731
Other asset-backed securities:
Externally-managed investments in the European market ................ 0 0 0 126 0 126 471
Collateralized by auto loans ....................................... 700 0 0 1 1 702 842
Collateralized by credit cards ...................................... 521 5 48 140 0 714 783
Collateralized by non-sub-prime mortgages ........................... 1,424 64 7 21 8 1,524 1,776
Other asset-backed securities(1) .................................... 1,487 1,276 116 24 153 3,056 1,878
Total asset-backed securities(2) ................................ $4,137 $1,370 $253 $415 $1,829 $8,004 $7,481
(1) As of December 31, 2012, includes collateralized loan obligations with fair value of $1,871 million, with none secured by sub-prime mortgages. Also
includes asset-backed securities collateralized by education loans, aircraft, franchises, equipment leases, and timeshares.
(2) Excluded from the table above are asset-backed securities held outside the general account in other entities and operations. Also excluded from the table
above are asset-backed securities classified as trading.
The tables above provide ratings as assigned by nationally recognized rating agencies as of December 31, 2012, including Standard &
Poor’s, Moody’s and Fitch. In making our investment decisions, rather than relying solely on the rating agencies’ evaluations, we assign
internal ratings to our asset-backed securities based upon our dedicated asset-backed securities unit’s independent evaluation of the
underlying collateral and securitization structure, including any guarantees from monoline bond insurers.
On an amortized cost basis, asset-backed securities collateralized by sub-prime mortgages attributable to the Financial Services
Businesses decreased from $2.634 billion as of December 31, 2011, to $2.242 billion as of December 31, 2012, primarily reflecting sales,
principal paydowns and other-than-temporary impairments recognized. Gross unrealized losses related to our asset-backed securities
Prudential Financial, Inc. 2012 Annual Report 71