Prudential 2007 Annual Report Download - page 68

See above for a description of asset-backed securities collateralized by sub-prime mortgages. The following tables set forth the
amortized cost and fair value of our asset-backed securities attributable to the Closed Block Business as of December 31, 2007 by credit
quality, and for asset-backed securities collateralized by sub-prime mortgages, by year of issuance (vintage).
Amortized Cost as of December 31, 2007
Lowest Rating Agency Rating
Vintage AAA AA A BBB
BB and
below
Total
Amortized
Cost
(in millions)
Collateralized by sub-prime mortgages:
Enhanced short-term portfolio(1)
2007 ................................................................ $ 768 $ — $— $— $— $ 768
2006 ................................................................ 2,735 — — — — 2,735
2005 ................................................................ 148 — — — — 148
2004 ................................................................ — — — — — —
2003 & Prior ......................................................... — — — — — —
Total enhanced short-term portfolio ............................................. 3,651 — — — — 3,651
All other portfolios
2007 ................................................................ 201 10 — — — 211
2006 ................................................................ 1,052 22 — — — 1,074
2005 ................................................................ 31 420 5 — — 456
2004 ................................................................ 10 307 53 — — 370
2003 & Prior ......................................................... 56 365 124 16 7 568
Total all other portfolios ...................................................... 1,350 1,124 182 16 7 2,679
Total collateralized by sub-prime mortgages(2) .................................. 5,001 1,124 182 16 7 6,330
Other asset-backed securities(3) .................................................. 775 53 394 504 35 1,761
Total asset-backed securities ............................................. $5,776 $1,177 $576 $520 $ 42 $8,091
Fair Value as of December 31, 2007
Lowest Rating Agency Rating
Vintage AAA AA A BBB
BB and
below
Total Fair
Value
(in millions)
Collateralized by sub-prime mortgages:
Enhanced short-term portfolio(1)
2007 ................................................................ $ 721 $ — $— $— $— $ 721
2006 ................................................................ 2,640 — — — — 2,640
2005 ................................................................ 147 — — — — 147
2004 ................................................................ — — — — — —
2003 & Prior ......................................................... — — — — — —
Total enhanced short-term portfolio ............................................. 3,508 — — — — 3,508
All other portfolios
2007 ................................................................ 167 8 — — — 175
2006 ................................................................ 907 19 — — — 926
2005 ................................................................ 29 379 4 — — 412
2004 ................................................................ 9 286 49 — — 344
2003 & Prior ......................................................... 55 339 105 13 6 518
Total all other portfolios ...................................................... 1,167 1,031 158 13 6 2,375
Total collateralized by sub-prime mortgages ..................................... 4,675 1,031 158 13 6 5,883
Other asset-backed securities(3) .................................................. 778 52 396 480 38 1,744
Total asset-backed securities ............................................. $5,453 $1,083 $554 $493 $ 44 $7,627
(1) Our enhanced short-term portfolio is used primarily to invest cash proceeds of securities lending and repurchase activities, and cash generated from
certain trading and operating activities. The investment policy statement of this portfolio requires that securities purchased for this portfolio have a
remaining expected average life of 2 years or less when acquired.
(2) Included within the $5.0 billion of asset-backed securities collateralized by sub-prime mortgages with AAA credit ratings are $1.1 billion of securities
supported by guarantees from monoline bond insurers, of which $0.9 billion are collateralized by second-lien exposures. See “—Fixed Maturity
Securities Credit Quality” for additional information regarding guarantees from monoline bond insurers.
(3) Includes collateralized debt obligations with amortized cost of $27 million and fair value of $31 million, with none secured by sub-prime mortgages.
The tables above provide ratings as assigned by nationally recognized rating agencies as of December 31, 2007. In making our
investment decisions we assign internal ratings to our asset-backed securities based upon our dedicated asset-backed securities unit’s
independent evaluation of the underlying collateral and securitization structure, including any guarantees from monoline bond insurers. See
“—Fixed Maturity Securities Credit Quality” for additional information regarding guarantees from monoline bond insurers.
66 Prudential Financial 2007 Annual Report