Prudential 2015 Annual Report Download - page 199

PRUDENTIAL FINANCIAL, INC.
Notes to Consolidated Financial Statements
As of December 31, 2014
Level 1 Level 2 Level 3 Netting(1) Total
(in millions)
Derivative assets:
Interest Rate ................................................................ $ 5 $10,584 $ 6 $ 10,595
Currency ................................................................... 0 865 0 865
Credit ..................................................................... 0 7 0 7
Currency/Interest Rate ........................................................ 0 1,885 0 1,885
Equity ..................................................................... 5 562 5 572
Commodity ................................................................. 1 0 0 1
Netting(1) .................................................................. (12,332) (12,332)
Total derivative assets ..................................................... $11 $13,903 $11 $(12,332) $ 1,593
Derivative liabilities:
Interest Rate ................................................................ $ 3 $ 4,948 $ 3 $ 4,954
Currency ................................................................... 0 1,025 0 1,025
Credit ..................................................................... 0 30 0 30
Currency/Interest Rate ........................................................ 0 307 0 307
Equity ..................................................................... 0 503 0 503
Commodity ................................................................. 0 0 0 0
Netting(1) .................................................................. (6,661) (6,661)
Total derivative liabilities .................................................. $ 3 $ 6,813 $ 3 $ (6,661) $ 158
(1) “Netting” amounts represent cash collateral and the impact of offsetting asset and liability positions held with the same counterparty.
Changes in Level 3 derivative assets and liabilities—The following tables provide a summary of the changes in fair value of Level
3 derivative assets and liabilities for the year ended December 31, 2015, as well as the portion of gains or losses included in income for the
year ended December 31, 2015, attributable to unrealized gains or losses related to those assets and liabilities still held at December 31,
2015.
Year Ended December 31, 2015
Derivative Assets–
Equity
Derivative
Assets–
Interest Rate
(in millions)
Fair Value, beginning of period .................................................................... $ 6 $3
Total gains (losses) (realized/unrealized):
Included in earnings:
Realized investment gains (losses), net ................................................... 20 2
Other income ....................................................................... 0 0
Purchases .................................................................................. 9 0
Sales ..................................................................................... (2) 0
Issuances .................................................................................. 0 0
Settlements ................................................................................ 0 0
Transfers into Level 3(1) ...................................................................... 0 0
Transfers out of Level 3(1) .................................................................... (1) 0
Fair Value, end of period .......................................................................... $32 $5
Unrealized gains (losses) for the period relating to those Level 3 assets that were still held at the end of the period:
Included in earnings:
Realized investment gains (losses), net ................................................... $20 $2
Other income ....................................................................... $ 0 $0
Prudential Financial, Inc. 2015 Annual Report 197