Prudential 2015 Annual Report Download - page 191

PRUDENTIAL FINANCIAL, INC.
Notes to Consolidated Financial Statements
assess activity, approval of price source changes, price overrides, methodology changes and classification of fair value hierarchy levels. For
living benefit features of the Company’s variable annuity products, the actuarial valuation unit periodically tests contract input data and
actuarial assumptions are reviewed at least annually, and updated based upon emerging experience, future expectations and other data,
including any observable market data. The valuation policies and guidelines are reviewed and updated as appropriate.
Within the trading and investing functions, the Company has established policies and procedures that relate to the approval of all new
transaction types, transaction pricing sources and fair value hierarchy coding within the financial reporting system. For variable annuity
product changes or new launches of living benefit features, the actuarial valuation unit validates input logic and new product features and
agrees new input data directly to source documents.
Changes in Level 3 assets and liabilities––The following tables provide summaries of the changes in fair values of Level 3 assets
and liabilities as of the dates indicated, as well as the portion of gains or losses included in income attributable to unrealized gains or losses
related to those assets and liabilities still held at the end of their respective periods.
Year Ended December 31, 2015
Fixed Maturities Available-For-Sale
U.S.
States
Foreign
Government
U.S.
Corporate
Public
Securities
U.S.
Corporate
Private
Securities
Foreign
Corporate
Public
Securities
Foreign
Corporate
Private
Securities
(in millions)
Fair Value, beginning of period ..................................... $ 6 $ 2 $357 $523 $252 $171
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net ................... 0 0 0 (14) 0 (81)
Included in other comprehensive income (loss) ................. 0 (3) 1 (27) 6 27
Net investment income ........................................ 0 0 1 12 0 (27)
Purchases .................................................. 15 20 33 182 33 108
Sales ...................................................... (1) 0 (1) (43) (51) 0
Issuances ................................................... 0 0 0 0 0 0
Settlements ................................................. 0 0 (26) (110) (32) (59)
Foreign currency translation .................................... 0 (4) (3) 0 (5) 0
Other(1) ................................................... 0 0 0 (3) 0 0
Transfers into Level 3(2) ...................................... 0 129 23 209 0 140
Transfers out of Level 3(2) ..................................... (14) (21) (180) (35) (159) 0
Fair Value, end of period .......................................... $ 6 $123 $ 205 $ 694 $ 44 $279
Unrealized gains (losses) for assets still held(3):
Included in earnings:
Realized investment gains (losses), net ................... $ 0 $ 0 $ 0 $ (19) $ 0 $ (68)
Year Ended December 31, 2015
Fixed Maturities Available-For-Sale
Asset-
Backed(6)
Commercial
Mortgage-
Backed
Residential
Mortgage-
Backed
(in millions)
Fair Value, beginning of period ................................................................ $4,059 $ 43 $253
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net .............................................. 40 1 0
Included in other comprehensive income (loss) ............................................ (37) (1) (2)
Net investment income ................................................................... 21 0 (1)
Purchases ............................................................................. 1,234 44 0
Sales ................................................................................. (563) 0 (7)
Issuances .............................................................................. (4) 0 0
Settlements ............................................................................ (308) (6) (52)
Foreign currency translation ............................................................... (13) 0 (8)
Other(1) .............................................................................. 3 0 0
Transfers into Level 3(2) ................................................................. 2,555 2 0
Transfers out of Level 3(2) ................................................................ (2,939) (45) 0
Fair Value, end of period ..................................................................... $4,048 $ 38 $183
Unrealized gains (losses) for assets still held(3):
Included in earnings:
Realized investment gains (losses), net .............................................. $ 4 $ 0 $ 0
Prudential Financial, Inc. 2015 Annual Report 189