Prudential 2007 Annual Report Download - page 127

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PRUDENTIAL FINANCIAL, INC.
Notes to Consolidated Financial Statements
4. INVESTMENTS (continued)
The table below presents unrealized gains (losses) on investments by asset class at December 31:
2007 2006 2005
(in millions)
Fixed maturities, available for sale ............................................................ $2,025 $3,988 $5,728
Equity securities, available for sale ............................................................ 685 1,279 896
Derivatives designated as cash flow hedges(1) ................................................... (267) (191) (122)
Other investments ......................................................................... 582 27 (3)
Net unrealized gains on investments ........................................................... $3,025 $5,103 $6,499
(1) See Note 19 for more information on cash flow hedges.
Duration of Gross Unrealized Loss Positions for Fixed Maturities
The following table shows the fair value and gross unrealized losses aggregated by investment category and length of time that
individual fixed maturity securities have been in a continuous unrealized loss position, at December 31:
2007
Less than twelve months Twelve months or more Total
Fair Value
Unrealized
Losses Fair Value
Unrealized
Losses Fair Value
Unrealized
Losses
(in millions)
Fixed maturities(1)
U.S. Treasury securities and obligations of U.S.
government corporations and agencies ...... $ 5,577 $ 2 $ 22 $— $ 5,599 $ 2
Obligations of U.S. states and their political
subdivisions ........................... 529 — 20 — 549 —
Foreign government bonds .................. 3,633 50 1,430 51 5,063 101
Corporate securities ....................... 65,577 1,025 9,091 397 74,668 1,422
Commercial mortgage-backed securities ....... 8,703 27 1,519 20 10,222 47
Asset-backed securities .................... 15,711 1,031 3,139 198 18,850 1,229
Residential mortgage-backed securities ........ 10,068 22 2,692 44 12,760 66
Total ............................... $109,798 $2,157 $17,913 $710 $127,711 $2,867
(1) Includes $2,019 million of fair value and $41 million of gross unrealized losses at December 31, 2007 on securities classified as held to maturity, which
are not reflected in accumulated other comprehensive income.
2006
Less than twelve months Twelve months or more Total
Fair Value
Unrealized
Losses Fair Value
Unrealized
Losses Fair Value
Unrealized
Losses
(in millions)
Fixed maturities(1)
U.S. Treasury securities and obligations of U.S.
government corporations and agencies ...... $ 2,484 $ 43 $ 204 $ 9 $ 2,688 $ 52
Obligations of U.S. states and their political
subdivisions ........................... 44 — 276 1 320 1
Foreign government bonds .................. 4,844 42 797 30 5,641 72
Corporate securities ....................... 14,420 228 12,528 461 26,948 689
Commercial mortgage-backed securities ....... 4,274 28 1,497 40 5,771 68
Asset-backed securities .................... 3,485 9 1,324 35 4,809 44
Residential mortgage-backed securities ........ 1,762 12 3,069 80 4,831 92
Total ............................... $31,313 $362 $19,695 $656 $51,008 $1,018
(1) Includes $2,266 million of fair value and $52 million of gross unrealized losses at December 31, 2006 on securities classified as held to maturity, which
are not reflected in accumulated other comprehensive income.
Prudential Financial 2007 Annual Report 125