Prudential 2012 Annual Report Download - page 77
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AAA Rated Commercial Mortgage-Backed Securities—Amortized Cost by Type and Vintage—Financial Services Businesses
December 31, 2012
Super Senior AAA Structures Other AAA
Vintage
Super
Senior
(shorter
duration
tranches)
Super
Senior
(longest
duration
tranches) Mezzanine Junior
Other
Senior
Other
Subordinate Other
Total AAA
Securities at
Amortized
Cost
(in millions)
2012—2008 ............................ $ 298 $ 0 $0 $ 0 $ 0 $ 0 $ 0 $ 298
2007 .................................. 1,148 0 0 0 0 0 0 1,148
2006 .................................. 1,285 1,379 0 0 0 0 12 2,676
2005 .................................. 320 1,705 0 5 0 5 1 2,036
2004 & Prior ........................... 21 196 0 52 237 99 0 605
Total .................................. $3,072 $3,280 $0 $57 $237 $104 $13 $6,763
The following tables set forth the amortized cost and fair value of our commercial mortgage-backed securities attributable to the
Closed Block Business as of the dates indicated, by credit quality and by year of issuance (vintage).
Commercial Mortgage-Backed Securities at Amortized Cost—Closed Block Business
December 31, 2012
Lowest Rating Agency Rating(1)
Vintage AAA AA A BBB
BB and
below
Total
Amortized
Cost
Total
December 31,
2011
(in millions)
2012—2008 ..................................................... $ 321 $526 $0 $0 $0 $ 847 $ 61
2007 ........................................................... 506 42 0 0 4 552 831
2006 ........................................................... 1,170 131 0 0 0 1,301 933
2005 ........................................................... 1,066 25 0 0 0 1,091 1,307
2004 & Prior .................................................... 203 27 0 5 3 238 427
Total commercial mortgage-backed securities(2)(3) ...................... $3,266 $751 $0 $5 $7 $4,029 $3,559
(1) The table above provides ratings as assigned by nationally recognized rating agencies as of December 31, 2012, including Standard & Poor’s, Moody’s,
Fitch and Realpoint.
(2) Included in the table above, as of December 31, 2012, are downgraded super senior securities with amortized cost of $156 million in AA.
(3) Included in the table above, as of December 31, 2012, are agency commercial mortgage-backed securities with amortized cost of $568 million, all rated AA.
Commercial Mortgage-Backed Securities at Fair Value—Closed Block Business
December 31, 2012
Lowest Rating Agency Rating(1)
Vintage AAA AA A BBB
BB and
below
Total
Fair Value
Total
December 31,
2011
(in millions)
2012—2008 ..................................................... $ 330 $539 $0 $0 $ 0 $ 869 $ 66
2007 ........................................................... 521 45 0 0 13 579 860
2006 ........................................................... 1,235 140 0 0 0 1,375 986
2005 ........................................................... 1,113 28 0 0 0 1,141 1,365
2004 & Prior .................................................... 207 27 0 5 3 242 438
Total commercial mortgage-backed securities(2) ........................ $3,406 $779 $0 $5 $16 $4,206 $3,715
(1) The table above provides ratings as assigned by nationally recognized rating agencies as of December 31, 2012, including Standard & Poor’s, Moody’s,
Fitch and Realpoint.
(2) Included in the table above, as of December 31, 2012, are agency commercial mortgage-backed securities with fair value of $584 million, all rated AA.
The following table sets forth the amortized cost of our AAA commercial mortgage-backed securities attributable to the Closed Block
Business as of the dates indicated, by type and by year of issuance (vintage).
AAA Rated Commercial Mortgage-Backed Securities—Amortized Cost by Type and Vintage—Closed Block Business
December 31, 2012
Super Senior AAA Structures Other AAA
Vintage
Super
Senior
(shorter
duration
tranches)
Super
Senior
(longest
duration
tranches) Mezzanine Junior
Other
Senior
Other
Subordinate Other
Total AAA
Securities at
Amortized
Cost
(in millions)
2012—2008 ............................ $ 321 $ 0 $0 $0 $ 0 $ 0 $0 $ 321
2007 .................................. 506 0 0 0 0 0 0 506
2006 .................................. 479 688 0 0 0 0 3 1,170
2005 .................................. 542 524 0 0 0 0 0 1,066
2004 & Prior ........................... 39 14 0 0 125 25 0 203
Total .................................. $1,887 $1,226 $0 $0 $125 $25 $3 $3,266
Prudential Financial, Inc. 2012 Annual Report 75