INFORMATION ABOUT PRUDENTIAL FINANCIAL, INC.'S INVESTMENTS, AS OF 09/30/07
Published on
Exhibit 99.2
Prudential Financial, Inc.
Financial Services Businesses
Mortgage-Backed and Asset-Backed Securities - September 30, 2007
($ millions)
| Amortized Cost |
Gross Unrealized Gains |
Gross Unrealized Losses |
Fair Value | |||||
| Residential Mortgage-backed securities (a) |
8,109 | 38 | 77 | 8,070 | ||||
| Asset-backed securities |
14,219 | 112 | 369 | 13,962 |
Supplemental information for asset-backed securities:
| LOWEST RATING AGENCY RATING | |||||||||||||||||||||||||||
| Vintage |
AAA | AA | A | BBB | BB and below |
Total Amortized Cost |
Total Fair Value |
||||||||||||||||||||
| Collateralized by sub-prime mortgages: |
|||||||||||||||||||||||||||
| Enhanced Short-term portfolio |
|||||||||||||||||||||||||||
| 2007.............. | 767 | — | — | — | — | 767 | 755 | ||||||||||||||||||||
| 2006.............. | 2,851 | — | — | — | — | 2,851 | 2,818 | ||||||||||||||||||||
| 2005.............. | 219 | — | — | — | — | 219 | 218 | ||||||||||||||||||||
| 2004.............. | — | — | — | — | — | — | — | ||||||||||||||||||||
| 2003 and prior ....... | — | — | — | — | — | — | — | ||||||||||||||||||||
| Total Enhanced Short-term portfolio (b) |
3,837 | — | — | — | — | 3,837 | 3,791 | ||||||||||||||||||||
| All Other portfolios |
|||||||||||||||||||||||||||
| 2007.............. | 441 | 33 | — | — | — | 474 | 450 | ||||||||||||||||||||
| 2006.............. | 1,412 | 393 | 36 | 8 | — | 1,849 | 1,739 | ||||||||||||||||||||
| 2005.............. | 77 | 421 | 120 | 10 | 1 | 629 | 595 | ||||||||||||||||||||
| 2004.............. | 51 | 412 | 315 | 5 | — | 783 | 742 | ||||||||||||||||||||
| 2003 and prior ........ | 67 | 270 | 263 | 86 | 7 | 693 | 648 | ||||||||||||||||||||
| Total of All Other portfolios |
2,048 | 1,529 | 734 | 109 | 8 | 4,428 | 4,174 | ||||||||||||||||||||
| Total collateralized by sub-prime mortgages |
5,885 | 1,529 | 734 | 109 | 8 | 8,265 | 7,965 | ||||||||||||||||||||
| Other asset-backed securities (c) |
2,484 | 381 | 1,540 | 1,304 | 245 | 5,954 | 5,997 | ||||||||||||||||||||
| Total asset-backed securities |
8,369 | 1,910 | 2,274 | 1,413 | 253 | 14,219 | 13,962 | ||||||||||||||||||||
| (a) | As of September 30, 2007, 95% of the residential mortgage-backed securities in the Financial Services Businesses were publicly traded agency pass-through securities, which are supported by implicit or explicit government guarantees and have credit ratings of AA or AAA. Collateralized mortgage obligations, including approximately $79 million secured by “ALT-A” mortgages, represented the remaining 5% of residential mortgage-backed securities; virtually all have credit ratings of AA or AAA. |
| (b) | 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. |
| (c) | Primarily includes externally managed investments in the European market of $1.8 billion, and securities collateralized by credit card receivables and automobile loans. Also included are collateralized debt obligations with amortized cost of $142 million and fair value of $155 million, none secured by sub-prime mortgages. |
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Prudential Financial, Inc.
Closed Block Business
Mortgage-Backed and Asset-Backed Securities - September 30, 2007
($ millions)
| Amortized Cost |
Gross Unrealized Gains |
Gross Unrealized Losses |
Fair Value | |||||
| Residential Mortgage-backed securities (a) |
5,433 | 20 | 47 | 5,406 | ||||
| Asset-backed securities |
8,260 | 13 | 210 | 8,063 |
Supplemental information for asset-backed securities:
| LOWEST RATING AGENCY RATING | |||||||||||||||||||||||||||
| Vintage | AAA | AA | A | BBB | BB and below |
Total Amortized Cost |
Total Fair Value |
||||||||||||||||||||
| Collateralized by sub-prime mortgages: |
|||||||||||||||||||||||||||
| Enhanced Short-term portfolio |
|||||||||||||||||||||||||||
| 2007.............. | 794 | — | — | — | — | 794 | 782 | ||||||||||||||||||||
| 2006.............. | 2,950 | — | — | — | — | 2,950 | 2,917 | ||||||||||||||||||||
| 2005.............. | 226 | — | — | — | — | 226 | 225 | ||||||||||||||||||||
| 2004.............. | — | — | — | — | — | — | — | ||||||||||||||||||||
| 2003 and prior....... | — | — | — | — | — | — | — | ||||||||||||||||||||
| Total Enhanced Short-term portfolio (b) |
3,970 | — | — | — | — | 3,970 | 3,924 | ||||||||||||||||||||
| All Other portfolios |
|||||||||||||||||||||||||||
| 2007.............. | 200 | — | — | — | — | 200 | 193 | ||||||||||||||||||||
| 2006.............. | 1,115 | 23 | — | — | — | 1,138 | 1,085 | ||||||||||||||||||||
| 2005.............. | 32 | 404 | 5 | — | — | 441 | 419 | ||||||||||||||||||||
| 2004.............. | 9 | 309 | 52 | — | — | 370 | 352 | ||||||||||||||||||||
| 2003 and prior...... | 47 | 447 | 87 | 16 | 4 | 601 | 566 | ||||||||||||||||||||
| Total of All Other portfolios |
1,403 | 1,183 | 144 | 16 | 4 | 2,750 | 2,615 | ||||||||||||||||||||
| Total collateralized by sub-prime mortgages |
5,373 | 1,183 | 144 | 16 | 4 | 6,720 | 6,539 | ||||||||||||||||||||
| Other asset-backed securities (c) |
541 | 116 | 333 | 503 | 47 | 1,540 | 1,524 | ||||||||||||||||||||
| Total asset-backed securities |
5,914 | 1,299 | 477 | 519 | 51 | 8,260 | 8,063 | ||||||||||||||||||||
| (a) | As of September 30, 2007, 85% of the residential mortgage-backed securities in the Closed Block Business were publicly traded agency pass-through securities, which are supported by implicit or explicit government guarantees and have credit ratings of AA or AAA. Collateralized mortgage obligations, including approximately $142 million secured by “ALT-A” mortgages, represented the remaining 15% of residential mortgage-backed securities and virtually all have credit ratings of AAA. |
| (b) | 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. |
| (c) | Primarily includes externally managed investments in the European market of $0.3 billion, and securities collateralized by credit card receivables and automobile loans. Also included are collateralized debt obligations with amortized cost of $45 million and fair value of $51 million, none secured by sub-prime mortgages. |
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