Prudential 2005 Annual Report Download - page 59

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The following table sets forth our public fixed maturities included in our trading account assets supporting insurance liabilities
portfolio by NAIC rating as of the dates indicated.
(1)(2) December 31, 2005 December 31, 2004
NAIC
Designation Rating Agency Equivalent
Amortized
Cost
Gross
Unrealized
Gains(3)
Gross
Unrealized
Losses(3)
Fair
Value
Amortized
Cost
Gross
Unrealized
Gains(3)
Gross
Unrealized
Losses(3)
Fair
Value
(in millions)
1 Aaa, Aa, A ........................... $6,990 $ 14 $170 $6,834 $4,929 $ 23 $67 $4,886
2 Baa ................................. 2,049 3 65 1,987 2,454 9 31 2,431
Subtotal Investment Grade ............... 9,039 17 235 8,821 7,383 32 98 7,317
3 Ba .................................. 42 — 5 37 16 — — 16
4 B ................................... 2 — — 2 14 1 — 15
5 C and lower ........................... 2 — — 2 2 — — 2
6 In or near default ....................... — — — — — — — —
Subtotal Below Investment ...............
Grade ................................ 46 — 5 41 32 1 — 33
Total Public Trading Account Assets
Supporting Insurance Liabilities ......... $9,085 $ 17 $240 $8,862 $7,415 $ 33 $98 $7,350
(1) See “—Fixed Maturity Securities Credit Quality” above for a discussion on NAIC designations.
(2) Reflects equivalent ratings for investments of the international insurance operations that are not rated by U.S. insurance regulatory authorities.
(3) Amounts are reported in “Asset management fees and other income.”
The following table sets forth our private fixed maturities included in our trading account assets supporting insurance liabilities
portfolio by NAIC rating as of the dates indicated.
(1)(2) December 31, 2005 December 31, 2004
NAIC
Designation Rating Agency Equivalent
Amortized
Cost
Gross
Unrealized
Gains
Gross
Unrealized
Losses
Fair
Value
Amortized
Cost
Gross
Unrealized
Gains
Gross
Unrealized
Losses
Fair
Value
(in millions)
1 Aaa, Aa, A ........................... $1,087 $ 2 $ 28 $1,061 $1,168 $ 3 $ 24 $1,147
2 Baa ................................. 2,564 10 66 2,508 2,852 20 51 2,821
Subtotal Investment Grade ............... 3,651 12 94 3,569 4,020 23 75 3,968
3 Ba .................................. 276 2 9 269 165 4 1 168
4 B ................................... 31 — 1 30 45 2 — 47
5 C and lower ........................... 99 — 1 98 22 1 1 22
6 In or near default ....................... 8 5 — 13 8 3 — 11
Subtotal Below Investment Grade ......... 414 7 11 410 240 10 2 248
Total Private Trading Account Assets
Supporting Insurance Liabilities ......... $4,065 $ 19 $105 $3,979 $4,260 $33 $ 77 $4,216
(1) See “—Fixed Maturity Securities Credit Quality” above for a discussion on NAIC designations.
(2) Reflects equivalent ratings for investments of the international insurance operations that are not rated by U.S. insurance regulatory authorities.
(3) Amounts are reported in “Asset management fees and other income.”
Commercial Loans
Investment Mix
We originate domestic commercial mortgages using dedicated investment staff and a network of independent companies through our
various regional offices across the country. All loans are underwritten consistently to our standards using a proprietary quality rating
system that has been developed from our experience in real estate and mortgage lending. Our loan portfolio strategy emphasizes
diversification by property type and geographic location.
Consumer loans are loans extended by Gibraltar Life to individuals for financing purchases of consumer goods and services and are
guaranteed by third party guarantor companies.
Ongoing surveillance of the portfolio is performed and loans are placed on watch list status based on a predefined set of criteria. We
place loans on early warning status in cases where we detect that the physical condition of the property, the financial situation of the
borrower or tenant or other market factors could lead to a loss of principal or interest. We classify loans as closely monitored when there is
a collateral deficiency or other credit events that will lead to a potential loss of principal or interest. Loans not in good standing are those
Prudential Financial 2005 Annual Report 57