Prudential 2007 Annual Report Download - page 71

The following table sets forth our public fixed maturity portfolios by NAIC rating attributable to the Closed Block Business as of the
dates indicated.
(1) December 31, 2007 December 31, 2006
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 ............................. $27,437 $618 $578 $27,477 $27,181 $ 582 $161 $27,602
2 Baa................................... 5,915 199 101 6,013 6,332 264 69 6,527
Subtotal Investment Grade ................ 33,352 817 679 33,490 33,513 846 230 34,129
3 Ba ................................... 1,992 46 61 1,977 2,367 103 17 2,453
4 B .................................... 1,588 23 58 1,553 2,003 63 20 2,046
5 C and lower ............................ 131 5 8 128 105 3 3 105
6 In or near default ........................ 19 1 — 20 17 3 1 19
Subtotal Below Investment Grade ........... 3,730 75 127 3,678 4,492 172 41 4,623
Total Public Fixed Maturities .............. $37,082 $892 $806 $37,168 $38,005 $1,018 $271 $38,752
(1) Includes, as of December 31, 2007 and December 31, 2006, respectively, 14 securities with amortized cost of $45 million (fair value, $47 million) and 6
securities with amortized cost of $19 million (fair value, $19 million) that have been categorized based on expected NAIC designations pending receipt
of SVO ratings.
Private Fixed Maturities—Credit Quality
The following table sets forth our private fixed maturity portfolios by NAIC rating attributable to the Financial Services Businesses as
of the dates indicated.
(1) (2) December 31, 2007 December 31, 2006
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 ........................... $ 7,139 $230 $ 84 $ 7,285 $ 6,214 $248 $ 49 $ 6,413
2 Baa ................................. 10,595 344 118 10,821 9,463 377 73 9,767
Subtotal Investment Grade ............... 17,734 574 202 18,106 15,677 625 122 16,180
3 Ba .................................. 1,637 49 26 1,660 1,422 50 11 1,461
4 B ................................... 738 6 12 732 645 12 7 650
5 C and lower ........................... 319 8 4 323 321 18 4 335
6 In or near default ....................... 147 23 — 170 139 11 1 149
Subtotal Below Investment Grade ......... 2,841 86 42 2,885 2,527 91 23 2,595
Total Private Fixed Maturities ............ $20,575 $660 $244 $20,991 $18,204 $716 $145 $18,775
(1) Reflects equivalent ratings for investments of the international insurance operations that are not rated by U.S. insurance regulatory authorities.
(2) Includes, as of December 31, 2007 and December 31, 2006, respectively, 182 securities with amortized cost of $2,257 million (fair value, $2,273
million) and 221 securities with amortized cost of $3,465 million (fair value, $3,537 million) that have been categorized based on expected NAIC
designations pending receipt of SVO ratings.
(3) Includes $11 million of gross unrealized gains and $2 million of gross unrealized losses as of December 31, 2007, compared to $2 million of gross
unrealized gains and $6 million of gross unrealized losses as of December 31, 2006 on securities classified as held to maturity that are not reflected in
other comprehensive income.
Prudential Financial 2007 Annual Report 69