Prudential 2015 Annual Report Download - page 77

Trading Account Assets Supporting Insurance Liabilities
The following table sets forth the composition of the TAASIL portfolio attributable to PFI excluding the Closed Block division as of
the dates indicated.
December 31, 2015 December 31, 2014
Amortized
Cost
Fair
Value
Amortized
Cost
Fair
Value
(in millions)
Short-term investments and cash equivalents ................................................. $ 765 $ 765 $ 196 $ 196
Fixed maturities:
Corporate securities ................................................................ 12,797 12,851 11,922 12,439
Commercial mortgage-backed securities ................................................ 1,860 1,862 2,505 2,546
Residential mortgage-backed securities ................................................. 1,411 1,428 1,640 1,676
Asset-backed securities .............................................................. 1,295 1,299 1,180 1,198
Foreign government bonds ........................................................... 680 694 621 650
U.S. government authorities and agencies and obligations of U.S. states ....................... 326 369 303 372
Total fixed maturities ................................................................... 18,369 18,503 18,171 18,881
Equity securities ....................................................................... 1,030 1,254 896 1,186
Total trading account assets supporting insurance liabilities ............................. $20,164 $20,522 $19,263 $20,263
As a percentage of amortized cost, 77% and 75% of the portfolio was publicly-traded as of December 31, 2015 and 2014, respectively.
As of December 31, 2015 and 2014, 91% and 92%, respectively, of the fixed maturity portfolio was considered high or highest quality
based on NAIC or equivalent rating. As of December 31, 2015, $1.377 billion of the residential mortgage-backed securities were publicly-
traded agency pass-through securities, which are supported by implicit or explicit government guarantees, of which more than 99% have
credit ratings of A or higher. Collateralized mortgage obligations, including approximately $26 million secured by “ALT-A” mortgages,
represented the remaining $34 million of residential mortgage-backed securities, of which 51% have credit ratings of A or better and 49%
are BBB and below. For a discussion of this portfolio and changes in the fair value, see “—Experience-Rated Contractholder Liabilities,
Trading Account Assets Supporting Insurance Liabilities and Other Related Investments,” above.
Other Trading Account Assets
Other trading account assets consist primarily of certain financial instruments that contain an embedded derivative where we elected to
classify the entire instrument as a trading account asset rather than bifurcate. These instruments are carried at fair value, with realized and
unrealized gains (losses) reported in “Other income,” and excluded from adjusted operating income. Interest and dividend income from
these investments is reported in “Net investment income,” and is included in adjusted operating income.
The following table sets forth the composition of our other trading account assets attributable to PFI excluding the Closed Block
division as of the dates indicated.
December 31, 2015 December 31, 2014
Amortized
Cost
Fair
Value
Amortized
Cost
Fair
Value
(in millions)
Short-term investments and cash equivalents ................................................... $ 1 $ 1 $ 1 $ 1
Fixed maturities ......................................................................... 1,016 964 849 878
Equity securities(1) ....................................................................... 537 596 502 577
Total other trading account assets ....................................................... $1,554 $1,561 $1,352 $1,456
(1) Included in equity securities are perpetual preferred stock securities that have characteristics of both debt and equity securities.
Commercial Mortgage and Other Loans
Investment Mix
As of December 31, 2015 and 2014, we held approximately 12% and 11% of our general account investments attributable to PFI
excluding the Closed Block division in commercial mortgage and other loans, respectively. These percentages are net of a $95 million and
$99 million allowance for losses as December 31, 2015 and 2014, respectively.
The following table sets forth the composition of our commercial mortgage and other loans portfolio, before the allowance for losses,
attributable to PFI excluding the Closed Block division as of the dates indicated.
December 31, 2015 December 31, 2014
(in millions)
Commercial and agricultural mortgage loans .................................................... $39,002 $34,882
Uncollateralized loans ...................................................................... 966 1,045
Residential property loans ................................................................... 301 392
Other collateralized loans .................................................................... 312 318
Total commercial mortgage and other loans(1) ............................................... $40,581 $36,637
Prudential Financial, Inc. 2015 Annual Report 75