PICA Excerpts 4Q14

8/18/2019 PICA Excerpts 4Q14

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19

ANNUAL STATEMENT FOR THE YEAR 2014 OF THE PRUDENTIAL INSURANCE COMPANY OF AMERICA

NOTES TO FINANCIAL STATEMENTS

1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

1A. Accounting Practices

The Prudential Insurance Company of America (the “Company” or “PICA”), domiciled in the state of New Jersey, prepares itsstatutory financial statements in accordance with accounting practices prescribed or permitted by the New Jersey Department

of Banking and Insurance (the “Department”). Prescribed statutory accounting practices (“SAP”) include publications of the

National Association of Insurance Commissioners (“NAIC”), state laws, regulations and general administrative rules.

Permitted statutory accounting practices encompass all accounting practices not so prescribed, by the Department.

The Company records leasehold improvements as admitted assets. New Jersey law allows insurance companies domiciled in

New Jersey to admit leasehold improvements as admitted assets. NAIC statutory accounting practices require non-admittance

of leasehold improvements.

In 2004, one of the Company’s insurance subsidiaries, Prudential Retirement and Annuity Company (PRIAC), received

approval from its domiciliary insurance department (Connecticut) to record a deferred gain associated with an assumption

reinsurance agreements between Connecticut General Life Insurance Company and PRIAC in the Interest Maintenance

Reserve (“IMR”) and to amortize the deferred gain in a manner consistent with those relevant annual statement instructions.

Had the deferred gains been established as a liability limited to an amortization period of 10 years in accordance with the

guidance of SSAP No.61, “Life, Deposit-Type and Accident and Health Reinsurance” (“SSAP No.61”), and not included in theIMR, it would have created a material distortion in the analysis of the adequacy of statutory reserves conducted annually by

PRIAC’s Appointed Actuary. Therefore, the permitted practice for this PICA subsidiary impacts its carrying value on PICA’s

balance sheet as indicated in the reconciliation below.

A reconciliation of the Company’s net income and capital and surplus between NAIC SAP and practices prescribed and

permitted by the Department is shown below:

12/31/2014 12/31/2013

Net Income, New Jersey state basis $901,050,085 $1,357,803,185

State Prescribed Practices (Income) 0 0

State Permitted Practices (Income) 0 0

Net Income, NAIC SAP $901,050,085 $1,357,803,185

Statutory Surplus, New Jersey state basis $10,330,977,148 $9,382,581,507

State Prescribed Practices (Surplus)

Non-admit leasehold improvements ($29,260,004) ($32,542,612)

State Permitted Practices (Surplus) 0 0

Deferred gain amortization in insurance subsidiary 90,299,613 97,993,389

Statutory Surplus, NAIC SAP $10,392,016,757 $9,448,032,284

1B. Use of Estimates

The preparation of financial statements in conformity with SAP requires management to make estimates and assumptions that

affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial

statements and the reported amounts of revenue and expenses during the period. Actual results could differ from thoseestimates.

The most significant estimates include those used in determining measurement of any related impairment; valuation of

investments including derivatives (in the absence of quoted market values) and the recognition of other-than-temporary

impairments; aggregate reserves for life, accident, and health contracts including guarantees; pension and other postretirement

benefits; provision for income taxes and valuation of deferred tax assets; and goodwill; and reserves for contingent liabilities,

including reserves for losses in connection with unresolved legal matters.

1C. Accounting Policy

In addition, the Company uses the following accounting policies:

1) Cash includes cash on deposit and cash equivalents. Cash equivalents are short-term, highly liquid investments, with original

maturities of three months or less, that are both readily convertible to known amounts of cash and so near their maturity that

they represent insignificant risk of changes in value because of changes in interest rates.

Short-term investments primarily consist of money market funds and highly liquid debt instruments with a remaining maturity

of twelve months or less and greater than three months when purchased. They are stated at amortized cost, which approximates

fair value.

2)

Bonds, which consist of long-term bonds, are stated primarily at amortized cost in accordance with the valuation prescribed by

the Department and the NAIC. Bonds rated by the NAIC are classified into six categories ranging from highest quality bonds

to those in or near default. Bonds rated in the top five categories are generally valued at amortized cost while bonds rated at the

lowest category are valued at lower of amortized cost or fair market value. The Company follows both the prospective and

retrospective methods for amortizing bond premium and discount. See below for additional disclosure regarding the

prospective vs. retrospective methods. Both methods require the recalculation of the effective yield at each reporting date if

there has been a change in the underlying assumptions. For the prospective method, the recalculated yield will equate the

carrying amount of the investment to the present value of the anticipated future cash flows. The recalculated yield is then used

to accrue income on the investment balance for subsequent accounting periods. There are no accounting changes in the current

period unless the undiscounted anticipated cash flow is less than the carrying amount of the investment. For the retrospectivemethod, the recalculated yield is the rate that equates the present value of actual and anticipated future cash flows with the

original cost of the investment. The current balance of the investment is increased or decreased to the amount that would have


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19.1



resulted had the revised yield been applied since inception and investment income is correspondingly decreased or increased.For other than temporary impairments, the cost basis of the bond excluding loan-backed and structured securities is writtendown to fair market value as a new cost basis and the amount of the write down is accounted for as a realized loss.

3)

Common stocks include unaffiliated common stocks and investments in subsidiaries. See (7) below for information related toinvestments in subsidiaries. Unaffiliated common stocks are carried at fair value. Dividends are recognized in net investmentincome when earned.

4) Preferred stocks include unaffiliated preferred stocks and investments in subsidiaries. Preferred stocks rated by the NAIC areclassified into six categories ranging from highest quality preferred stocks to those in or near default. Preferred stocks rated inthe top three categories are generally valued at amortized cost while preferred stocks rated in the lower three categories aregenerally valued at lower of amortized cost or fair value. For other-than-temporary impairments, the cost basis of the

preferred stock is written down to fair market value as a new cost basis and the amount of the write down is recorded for as arealized loss.

5) Mortgage loans on real estate are stated primarily at unpaid principal balances, net of unamortized premiums and discounts andimpairments. Impaired loans are identified by management as loans when it is considered probable that all amounts dueaccording to the contractual terms of the loan agreement will not be collected. These loans are recorded based on the fair valueof the collateral less estimated costs to obtain and sell or a discounted cash flow model. The difference between the net valueof the collateral and the recorded investment in the mortgage loan is recognized as an impairment by creating a valuation

allowance with a corresponding charge to unrealized loss or by adjusting an existing valuation allowance for the impaired loanwith a corresponding charge or credit to unrealized gain or loss. Other than temporary impairments are then recognized as arealized loss in net income.

Interest received on impaired loans, including loans that were previously modified in a troubled debt restructuring, is generallyeither applied against the principal or reported as revenue, according to management’s judgment as to the collectability ofprincipal. Management discontinues accruing interest on impaired loans after the loans are 90 days delinquent as to principal

or interest, or earlier when management has substantial doubts about collectability. When this interest is deemed uncollectible,it is reversed against interest income on loans for the current period. Generally, a loan is restored to accrual status only after alldelinquent interest and principal are brought current and, in the case of loans where interest has been interrupted for asubstantial period, a regular payment performance has been established.

6)

Loan-backed and structured securities are primarily carried at amortized cost. For loan-backed and structured securities, theeffective yield is based on estimated cash flows, including prepayment assumptions based on data from widely accepted third-party data sources or internal estimates. For high credit quality loan-backed and structured securities (those rated AA or

above), cash flows are provided quarterly, and the amortized cost and effective yield of the security are adjusted as necessary toreflect historical prepayment experience and changes in estimated future prepayments. The adjustments to amortized cost forthose securities rated AA or above are recorded in accordance with the retrospective method. For loan-backed and structuredsecurities rated below AA, the effective yield is adjusted prospectively for any changes in estimated cash flows.

The NAIC designations for non-agency residential mortgage-backed securities (“RMBS”), including asset-backed securitiescollateralized by sub-prime mortgages, are based on security level expected losses as modeled by an independent third party(engaged by the NAIC) and the statutory carrying value of the security, including any purchase discounts or impairment

charges previously recognized. The model used in determining NAIC designations was updated at December 31, 2013, andutilized for reporting as of December 31, 2014 and December 31, 2013.

Similar to the change for RMBS, the NAIC designations for commercial mortgage-backed securities ("CMBS") are based on

security level expected losses as modeled by an independent third party (engaged by the NAIC) and the statutory carrying valueof the security, including any purchase discounts or impairment charges previously recognized. The model used in determiningNAIC designations was updated at December 31, 2013, and utilized for reporting as of December 31, 2014 and December 31,

2013.

7) Investments in subsidiaries are accounted for using the equity method as defined in SSAP No. 97, Investments in Subsidiary,Controlled and Affiliated Entities (“SCA”), a Replacement of SSAP No. 88 (“SSAP No. 97”). Investments in insurancesubsidiaries are recorded based on the underlying audited statutory equity of the respective entity's financial statements,

adjusted for unamortized goodwill as provided for in SSAP No. 68, Business Combinations and Goodwill (“SSAP No. 68”).Investments in non-insurance subsidiaries that do not engage in certain transactions or activities, per paragraph 8b ii of SSAPNo. 97 are recorded based on audited U.S. GAAP equity of the investee. The subsidiaries' change in net assets, excludingcapital contributions and distributions, is included in “Change in net unrealized capital gains (losses)”. Dividends or

distributions received from the investee are recognized in net investment income when declared to the extent they are not inexcess of undistributed accumulated earnings attributed to our investment. The subsidiaries are engaged principally in thebusiness of life insurance and annuities.

8)

Other invested assets include primarily the Company's investment in joint ventures, limited liability companies and other formsof partnerships. These investments are accounted for using an equity method as defined in SSAP No. 97. These entities are

valued based on the underlying audited U.S. GAAP equity of the investee, or permitted alternatives as defined in SSAP No. 48,“Joint Ventures, Partnerships and Limited Liability Companies,” (“SSAP No. 48”).

9) Derivatives used by the Company include swaps, futures, forwards, and options and may be exchange-traded or contracted inthe over-the-counter market. Derivatives are recorded at fair value either as assets, within "Derivatives," or as liabilities,surplus and other funds within "Derivatives" at their estimated fair value. To qualify for hedge accounting treatment, a

derivative must be highly effective in mitigating the designated risk of the hedged item. Effectiveness of the hedge is formallyassessed at inception and throughout the life of the hedging relationship.

(10) The Company considers anticipated investment income when calculating its premium deficiency reserves in accordance withSSAP No. 54, “Individual and Group Accident and Health Contracts” (“SSAP No. 54”).

(11) Accident and health reserves represent the estimated value of the future payments, adjusted for contingencies and interest. The

remaining reserves for active life reserves and unearned premiums are valued using the preliminary term method, grosspremium valuation method, or a pro rata portion of gross premiums. Reserves are also held for amounts not yet due on hospital

benefits and other coverages.

(12) The Company has not modified its capitalization policy from the prior period.


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(13) The Company does not have any pharmaceutical rebates receivable.

(14) Repurchase agreements and reverse repurchase agreements are agreements between a seller and a buyer, whereby the seller ofsecurities sells and simultaneously agrees to repurchase the same or substantially the same securities from the buyer at an

agreed upon price and, usually, at a stated date. Repurchase agreements (securities sold under agreements to repurchase) aregenerally accounted as secured borrowings. The assets transferred are not removed from the balance sheet, the cash collateralreceived is invested and reported on balance sheet and accounted for based on the type of investment. An offsetting liability isreported in “Aggregate write-ins for liabilities”. For reverse repurchase agreements (securities purchased under agreements to

resell), an asset is recorded in “Cash, cash equivalents, and short term” to reflect the receivable from the counterparty. Dollarrepurchase agreements and reverse dollar repurchase agreements involve debt instruments that are pay-through securitiescollateralized with GNMA, FNMA and FHLMC and similar securities. The Company typically uses "to be announced"("TBAs") securities in the dollar repurchase and reverse dollar repurchase agreements which are accounted for as derivatives.

Dollar repurchase and reverse dollar repurchase agreements are reported in "Aggregate write-ins for invested assets" with thechange in value reported as "Change in net unrealized capital gains". "Net realized capital gains (losses)" are recorded upon

termination of the agreements.

(15) Securities lending transactions are transactions where the Company loans securities to a third party, primarily large brokeragefirms. These transactions are accounted for as secured borrowings. Cash collateral received is invested and reported on thebalance sheet and accounted for based on the type of investment. An offsetting liability is reported in “Payable for securitieslending”.

(16) Contract loans are stated at unpaid principal balances.

(17) Net realized capital gains/(losses) are computed using the specific identification method. Net realized investment gains andlosses are generated from numerous sources, including the sale of bonds, stocks, other type of investments, as well asadjustments to the cost basis of investments for other-than-temporary impairments. Realized investment gains and losses arealso generated from, the termination of derivatives that do not qualify for hedge accounting. In addition, when realized gains or

losses on interest-rate related derivatives are recognized, they are amortized through the IMR. Amortized cost of investments isadjusted for impairments considered other than temporary. All bonds, preferred stocks and common stocks with unrealizedlosses are subject to review to identify other-than-temporary impairments in value. Under SAP, several factors must beconsidered to determine whether a decline in value of a security is other than temporary, including:

a) the reasons for the decline in value (credit event, currency or interest related, including general spread widening);b) a company’s ability and intent to hold its investment for a period of time to allow for recovery of value;c) a company’s intent to sell its investment before recovery of the cost of the investment;

d)

the financial condition of and near-term prospects of the issuer; ande) for stocks, the extent and duration of the decline.

For stocks, when it is determined that there is an other-than-temporary impairment, the Company records a write down in theStatement of Operations and Changes in Capital and Surplus within "Net Realized Capital Gains (Losses)" to the estimated fair

value, which reduces the cost basis. The new cost basis of an impaired security is not adjusted for subsequent increases in theestimated fair value. Estimated fair values for publicly traded common stock are based on quoted market prices or pricesobtained from independent pricing services. Estimated fair values for privately traded common stock are determined usingvaluation and discounted cash flow models that require a substantial level of judgment.

For bonds, excluding loan-backed and structured securities, when it is determined that there is an other-than-temporaryimpairment, the Company records a write down to the estimated fair value of the bond, which reduces its amortized cost.

Credit event related impairments are recorded in the Statement of Operations and Changes in Surplus within "Net RealizedCapital Gains" and applied to the AVR, and interest related impairments are directly applied to the IMR, on a post tax basis.The AVR is used to stabilize surplus from fluctuations in the market value of bonds, stocks, mortgage loans, real estate, limited

partnerships and other investments. Changes in the AVR are accounted for as direct increases or decreases in surplus. TheIMR captures interest related realized gains and losses on sales (net of taxes) of bonds, preferred stocks, mortgage loans,interest related other-than-temporary impairments (net of taxes) and realized gains or losses (net of taxes) on terminated interestrate related derivatives, which are amortized into net income over the expected years to maturity of the investments sold or theitem being hedged by the derivative using the grouped method.

The new cost basis of an impaired bond is not adjusted for subsequent increases in estimated fair value. Estimated fair valuesfor bonds, other than private placement bonds, are generally based on quoted market prices or prices obtained fromindependent pricing services. Estimated fair values for private placement bonds are typically determined primarily by using adiscounted cash flow model, which relies upon the average of spread surveys collected from private market intermediaries who

are active in both primary and secondary transactions and takes into account, among other factors, the credit quality of theissuer and the reduced liquidity associated with private placements. In determining the fair value of certain securities, includingthose that are distressed, the discounted cash flow model may also use unobservable inputs, which reflect management’s ownassumptions about the inputs market participants would use in pricing the asset.

For loan-backed and structured securities, when an other-than-temporary impairment has occurred because the entity does not

expect to recover the entire amortized cost basis of the security, even if the entity has no intent to sell and the entity has theintent and ability to hold to recovery, the amount of the other-than-temporary impairment recognized as a realized loss shallequal the difference between the investment's amortized cost basis and the present value of cash flows expected to be collected,

discounted at the loan-backed or structured security's effective interest rate. Credit event related impairments are recorded inthe Statement of Operations and Changes in Surplus within "Net Realized Capital Gains" and applied to the AVR, and interestrelated impairments are directly applied to the IMR, on a post tax basis. Additionally, the amortized cost of the security, less

the other-than-temporary impairment recognized as a realized loss, shall become the new amortized cost basis of theinvestment. When the entity has the intent to sell or cannot assert ability and intent to hold to recovery, the security is impairedto its fair value basis.

(18) Separate account assets and liabilities are generally reported at estimated fair value and represent segregated funds, which areinvested for certain policyholders, pension funds and other customers. However, there are some separate account assets andliabilities that support products with guarantees and are carried at the same basis as the general account. The assets consist

primarily of common stocks, long-term bonds, real estate, mortgages and short-term investments. The assets of each accountare legally segregated and are not subject to claims that arise out of any other business of the Company. The liabilities includereserves established to meet withdrawal and future benefit payment contractual provisions. Investment risks associated with


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fair value changes are generally borne by the customers, except to the extent of minimum guarantees made by the Company

with respect to certain accounts. Mortality, policy administration and surrender charges on the accounts are included in

“Miscellaneous income.”

2. ACCOUNTING CHANGES AND CORRECTIONS OF ERRORS

The State of New Jersey requires that insurance companies domiciled in the State of New Jersey prepare their statutory basis financialstatements in accordance with the NAIC Accounting Practices and Procedures manual (the "Manual"), subject to any deviationsprescribed or permitted by the Department.

Accounting changes adopted to conform to the provisions of the Manual are reported as changes in accounting principles. Thecumulative effect of changes in accounting principles is reported as an adjustment to unassigned funds (surplus) in the period of thechange in accounting principle. The cumulative effect is the difference between the amount of capital and surplus at the beginning of theyear and the amount of capital and surplus that would have been reported at that date if the new accounting principles had been appliedretroactively for all prior periods.

The Company has assessed the non-insurance entities subject to SSAP No. 97, and, based upon the amount of capital that these entitiesrepresent and the Company’s strong capital position, the Company has decided not to obtain GAAP audits for 17 entities as of December31, 2014 The Company has therefore valued these entities for purposes of its financial statements at zero. At the end of future fiscal

years, the Company may decide to obtain U.S. GAAP audits for entities subject to SSAP No. 97 and thereby restore their equity value forpurposes of inclusion in capital and surplus.

Effective January 1, 2013, the NAIC adopted SSAP No. 92, “Accounting for Postretirement Benefits Other Than Pensions, AReplacement of SSAP No. 14”, (“SSAP No. 92”) and SSAP No. 102, “Accounting for Pensions, A Replacement of SSAP No. 89”(“SSAP No. 102”). The disclosures required by SSAP No. 92 and SSAP No. 102 are included in footnote 12. The cumulative impact ofadopting these pronouncements was a $236 million charge to surplus as of January 1, 2013, which is reflected through the Summary ofOperations line 49, (Cumulative effect of changes in accounting principles).

Effective December 15, 2013, the NAIC adopted INT 13-03, “Clarification of Surplus Deferral in SSAP No. 92 and SSAP No. 102”,which clarified that the transition guidance in SSAP No. 92 and SSAP No. 102, was not intended to result in a more favorable subsequentpension and/or other postemployment benefit (OPEB) surplus position when there are remaining unrecognized liabilities as a result of thereporting entity’s initial election for surplus deferral. For any reductions in the benefit obligation due to settlement, curtailment, or planamendments, as well as net benefit obligation gains due to revisions in assumptions (e.g., discount rates), plan experience differing fromassumptions, or actual asset gains exceeding expected returns, a corresponding amount of the deferred surplus liability will be

recognized. Additionally, the deferred surplus liability must be recognized to the extent the plan reflects a prepaid cost.

Effective January 1, 2013, the NAIC adopted SSAP No. 103, “Accounting for Transfers and Servicing of Financial Assets andExtinguishments of Liabilities”, which superseded SSAP No. 91R, “Accounting for Transfers and Servicing of Financial Assets andExtinguishments of Liabilities”. The new pronouncement enhances the information that must be provided regarding security lending,repurchase agreements, and activity related to the transfer and servicing of financial assets.

In March, 2014, the NAIC adopted INT 13-04, "Accounting for the Risk Sharing Provisions of the Affordable Care Act". TheAffordable Care Act ("ACA") imposes fee and premium stabilization provisions on health insurers that offer commercial healthinsurance. INT 13-04 recommends accounting guidance for three programs known as risk adjustment, reinsurance, and risk corridorsthat take effect in 2014. The risk adjustment program, which impacts premium adjustments and user fees, will be accounted for inaccordance with the guidance in SSAP No. 54 and SSAP No. 35R, "Revised-Guaranty Fund and Other Assessments”, respectively. Thereinsurance program, which includes characteristics of traditional reinsurance, involuntary pools, and government assessments, will beaccounted for using provisions of both SSAP No. 61, "Revised-Life, Deposit-Type and Accident and Health Reinsurance", and SSAPNo. 63, "Underwriting Pools and Associations, Including Intercompany Pools". Finally, the risk corridors program will be accounted for

in accordance with SSAP No. 66, "Retrospectively Rated Contracts". The Company does not offer commercial health insurance so it isnot impacted by the risk sharing programs of ACA.

In the first quarter of 2014, the Company determined that accrued federal income taxes and deferred taxes were incorrectly reported as ofDecember 31, 2013 in the 2013 annual statement. A $5.8 million correction related to prior year was recorded through line 53 of theSummary of Operations in the first quarter of 2014. In the second quarter of 2014, the Company determined that it overstated its IMRliability in 2013. During the second quarter of 2014, the IMR liability was reduced and a $12.4 million adjustment was recorded to line53. Together, these two adjustments totaling $18.2 million are recorded on line 5302, “Aggregate write-ins for gains and losses to surplus– Correction related to prior year” in the Summary of Operations.

3. BUSINESS COMBINATIONS AND GOODWILL

3A. Statutory Purchase Method

Goodwill represents the excess of the amounts the Company paid to acquire subsidiaries and other businesses over the fairvalue of their net assets at the date of acquisition. When indication of impairment exists, management tests goodwill for theimpairment based upon estimates of the fair value of the acquired entity to which the goodwill relates and comparing thecarrying value of the acquired entity, including the recorded goodwill, to its estimated fair value at that date. Goodwill isconsidered impaired when the fair value of the investment in the acquired entity is less than the carrying value of theinvestment, including the recorded goodwill and the decline is considered other-than-temporary. Given changes in facts andcircumstances, this test could lead to reductions in goodwill that could have an adverse effect of the Company’s financialcondition.

In 2013, the Company acquired 80% ownership of Don CeSar Resort Hotel Ltd. from Rosada Grande LLC and Don CeSarInvestor LLC. Goodwill from this purchase was $43,721,085 as of December 31, 2014. Amortization was $6,245,869 for theperiod ended December 31, 2014. In addition, goodwill for the Company’s various other investment entities totaled$19,802,725 as of December 31, 2014. Amortization for these entities for the period ended December 31, 2014 was$1,300,898.


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19.4



3B. Statutory Merger

The Company had no statutory mergers during 2014 or 2013.

3C. Assumption Reinsurance

There was no goodwill resulting from assumption reinsurance during 2014 or 2013.

3D. Impairment Loss

The Company did not recognize impairment losses from business combinations or goodwill resulting from assumption

reinsurance during 2014 or 2013.

4. DISCONTINUED OPERATIONS

The Company did not have any material discontinued operations during 2014 or 2013.

5. INVESTMENTS

5A. Mortgage Loans

(1) The maximum and minimum lending rates for new mortgage loans as of December 31, 2014 were: Farm loans 5.70% and

3.08%; City loans 5.59% and 1.46%. There were no purchase money mortgages loaned during the year.

(2)

The maximum percentage of any one loan to the value of security at the time of the loan, exclusive of insured or guaranteedor purchase money mortgages is no greater than 80%, except loans made pursuant to title 17B, Chapter 20, Section 1h,

Revised Statutes of New Jersey. The mortgage loans are geographically dispersed or distributed throughout the United States,Mexico, and Europe with the largest concentrations in California (27.76%), New York (11.12%) and Texas (8.36%).

(3)

There were no taxes, assessments, or any amounts advanced not included in the mortgage loan total as of December 31, 2014.

(4) Age Analysis of Mortgage Loans:

Farm

Residential Commercial

Mezzanine TotalInsured All Other Insured All Other

a. Current Year

1.Recorded Investment (All)

(a) Current $1,904,045,909 $0 $327,465 $0 $23,578,259,117 $0 $25,482,632,491

(b) 30-59 days Past Due 0 0 2,456,017 0 0 0 2,456,017

(c) 60-89 Days Past Due 0 0 235,807 0 0 0 235,807

(d) 90-179 Days Past Due 0 0 294,358 0 0 0 294,358

(e) 180+ Days Past Due 0 0 500,073 0 0 0 500,073

2.Accruing Interest 90-179 Days Past Due

(a) Recorded Investment $0 $0 $0 $0 $0 $0 $0

(b) Interest Accrued 0 0 0 0 0 0 0

3.Accruing Interest 180+ Days Past Due



4.Interest Reduced

(a) Recorded Investment $15,000,000 $0 $138,838 $0 $0 $0 $15,138,838

(b) Number of Loans 1 0 1 0 0 0 2

(c) Percent Reduced 0.25% 0.00% 6.28% 0.00% 0.00% 0.00% 6.53%

b. Prior Year

1.Recorded Investment (All)

(a) Current $1,735,697,432 $0 $572,128 $0 $22,051,724,213 $0 $23,787,993,773

(b) 30-59 days Past Due 0 0 2,844,562 0 0 0 2,844,562

(c) 60-89 Days Past Due 0 0 161,600 0 0 0 161,600

(d) 90-179 Days Past Due 206,628 0 309,756 0 0 0 516,384

(e) 180+ Days Past Due 0 0 520,822 0 0 0 520,822

2.Accruing Interest 90-179 Days Past Due

(a) Recorded Investment $0 $0 $192,248 $0 $0 $0 $192,248

(b) Interest Accrued 0 0 4,665 0 0 0 4,665

3.Accruing Interest 180+ Days Past Due



4.Interest Reduced

(a) Recorded Investment $0 $0 $0 $0 $21,861,680 $0 $21,861,680

(b) Number of Loans 0 0 0 0 1 0 1

(c) Percent Reduced 0.000% 0.000% 0.000% 0.000% 2.000% 0.000% 2.000%


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19.5



(5) Investment in impaired Loans With or Without Allowance for Credit Losses:

Farm



a. Current Year

1.With Allowance for Credit Losses $0 $0 $0 $0$32,807,486 $0 $32,807,486

2.No Allowance for Credit Losses 0 0 0 0 0 0 0

b. Prior Year

1.With Allowance for Credit Losses $0 $0 $0 $0 $4,734,726 $0 $4,734,726

2.No Allowance for Credit Losses 0 0 0 0 0 0 0

(6) Investment in Impaired Loans - Average Recorded Investment, Interest Income Recognized, Recorded Investment

on Interest Income Recognized Using a Cash-Basis Method of Accounting:

Farm



a. Current Year

1.Average Recorded Investment $0 $0 $0 $0 $16,815,318 $0 $16,815,318

2.Interest Income Recognized 0 0 0 0 1,604,041 0 1,604,041

3.Recorded Investments on NonaccrualStatus 0 0 0 0 32,807,486 0 32,807,486

4.Amount of Interest Income RecognizedUsing a Cash-Basis Method of Accounting

0 0 0 0 1,678,284 0 1,678,284

b. Prior Year

1.Average Recorded Investment $0 $0 $0 $0 $3,564,369 $0 $3,564,369

2.Interest Income Recognized 0 0 0 0 251,680 0 251,680

3.Recorded Investments on NonaccrualStatus 0 0 0 0 4,734,726 0 4,734,726

4.Amount of Interest Income RecognizedUsing a Cash-Basis Method of Accounting

0 0 0 0 274,890 0 274,890

(7) Allowance for Credit Losses: 12/31/2014 12/31/2013

a. Balance at beginning of period $276,654 $2,400,447

b. Additions charged to operations 4,497,712 276,654

c. Direct write-downs charged against the allowance 0 688,387

d. Recoveries of amounts previously charged off 0 1,712,060

e. Balance at end of period $4,774,366 $276,654

(8) Please refer to Note 1C (5) for the Company's policy for recognizing interest income on impaired loans.

5B. Debt Restructuring

Restructured mortgage loans were as follows:

12/31/2014 12/31/2013

(1) Total recorded investment in restructuring loans $28,277,112 $32,714,813

(2) Total related realized capital losses $0 $0

(3) Total contractual commitments to extend credit to debtors owning

receivables whose terms have been modified in trouble debt restructurings $0 $0

(4) The Company accrues interest income on impaired loans to the extent it is deemed collectible (delinquent less than 90 days)and the loan continues to perform under its original or restructured contractual terms. Interest income on non-performingloans is generally recognized on a cash basis.

5C. Reverse Mortgages

The Company did not have reverse mortgages during 2014 or 2013.

5D. Loan-Backed Securities

(1)

The Company has elected to use the book value as of January 1, 1994 as the cost for applying the retrospective adjustment method

to securities purchased prior to that date. Prepayment assumptions for loan-backed and structured securities were obtained from

broker dealer survey values or internal estimates.


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19.6



(2) As of December 31, 2014, the following aggregate totals represent loan-backed securities, within the scope of SSAP No. 43R, with a

recognized other-than-temporary impairment, classified on the basis of either, a) intent to sell or b) inability or lack of intent to retain the

investment in the security for a period of time sufficient to recover the amortized cost basis:

1

Amortized Cost BasisBefore Other-than-

Temporary Impairment

2

Other-than-Temporary ImpairmentRecognized in Loss

3

Fair Value1 - (2a + 2b)

2a.

Interest 2b.

Non-Interest

OTTI recognized 1st Quarter

a. Intent to sell $0 $0 $0 $0

b. Inability or lack of intent to retain the investment

in the security for a period of time sufficient to

recover the amortized cost basis 0 0 0 $0

c. Total 1st Quarter 0 0 0 $0

OTTI recognized 2nd Quarter

d. Intent to sell 0 0 0 $0

e. Inability or lack of intent to retain the investment



f. Total 2nd Quarter 0 0 0 $0

OTTI recognized 3rd Quarter

g. Intent to sell 0 0 0 $0

h. Inability or lack of intent to retain the investment



i. Total 3rd Quarter 0 0 0 $0

OTTI recognized 4th Quarter

j. Intent to sell 2,780,610,597 77,793,864 0 $2,702,816,733

k. Inability or lack of intent to retain the investment



l. Total 4th Quarter 2,780,610,597 77,793,864 0 $2,702,816,733

m. Annual Aggregate Total $2,780,610,597 $77,793,864 $0 $2,702,816,733

(3) The amounts in the table below, listed in Column 4, represent the "Net realized capital gains/(losses)" recorded in compliance withSSAP No. 43R for the year ended December 31, 2014.

1

Cusip 2

Book/Adj Carrying

Value Amortized

Cost Before

Current Period

OTTI

3

Presented Value

of Projected

Cash Flows

4

Recognized

Other-than-

Temporary

Impairment

5

Amortized Cost

After Other-than-

Temporary

Impairment

6

Fair Value at

time of OTTI

7

Date of Financial

Statement where

Reported

00075QAF9 $4,883 $2,949 $1,934 $2,949 $2,558 1Q14

00075QAS1 47,953,114 47,827,518 125,596 47,827,518 42,601,054 1Q14

00442EAF2 2,955,844 2,936,161 19,683 2,936,161 2,627,334 1Q14

00764MAC1 3,470,811 3,357,740 113,072 3,357,740 3,459,095 1Q14

04013BAB8 1,832,161 1,830,352 1,809 1,830,352 1,687,302 1Q14

073879KD9 890,741 882,269 8,471 882,269 692,500 1Q14

12489WGD0 949,280 948,452 828 948,452 943,220 1Q14

12625VAL5 1,628,804 1,358,526 270,278 1,358,526 1,358,526 1Q14

126673W24 955,142 954,621 521 954,621 954,203 1Q14

35729PMF4 6,128,327 6,034,619 93,708 6,034,619 5,138,566 1Q14

362334PK4 11,805,318 11,623,767 181,551 11,623,767 8,834,101 1Q14

40430FAD4 2,968,394 2,949,212 19,183 2,949,212 2,522,745 1Q14

40430RAB2 2,849,293 2,624,689 224,604 2,624,689 2,494,695 1Q14

46628TAC5 1,414,610 1,412,800 1,810 1,412,800 1,253,189 1Q14


33/218

19.7



1

Cusip

2

Book/Adj Carrying

Value Amortized

Cost Before

Current Period

OTTI

3

Presented Value

of Projected

Cash Flows

4

Recognized

Other-than-

Temporary

Impairment

5

Amortized Cost

After Other-than-

Temporary

Impairment

6

Fair Value at

time of OTTI

7

Date of Financial

Statement where

Reported

57643LAL0 2,718,765 2,631,684 87,081 2,631,684 2,625,268 1Q14

59020U4M4 18,628,353 18,490,916 137,437 18,490,916 16,856,591 1Q14

590238AA9 6,641,824 6,524,690 117,134 6,524,690 5,815,131 1Q14

61746RDN8 385,217 385,146 71 385,146 383,482 1Q14

61750FAD2 868,918 867,637 1,281 867,637 769,232 1Q14

617526AE8 1,841,808 1,801,653 40,155 1,801,653 1,745,624 1Q14

61752UAB1 15,627,558 13,784,879 1,842,679 13,784,879 12,593,570 1Q14

61753EAD2 4,520,986 4,516,466 4,520 4,516,466 4,138,174 1Q14

63703#AA2 916,540 565,578 350,963 565,578 36,316 1Q14

760985YC9 2,259,044 2,235,350 23,694 2,235,350 2,385,263 1Q14

81375WJU1 1,679,680 1,609,624 70,056 1,609,624 1,471,661 1Q14

84752BAC3 3,201,167 2,933,661 267,506 2,933,661 2,881,687 1Q14

86358R6A0 1,372,235 1,349,018 23,217 1,349,018 1,223,007 1Q14

00075QAF9 1,297 677 620 677 422 2Q14

073879KD9 851,580 849,826 1,754 849,826 796,430 2Q14

12489WGD0 922,110 895,963 26,148 895,963 919,876 2Q14

12489WNN0 1,472,341 1,451,050 21,291 1,451,050 1,460,328 2Q14

12558MAF9 1,138,832 1,137,073 1,759 1,137,073 1,125,533 2Q14

12667F5M3 787,821 736,806 51,015 736,806 784,746 2Q14

17307GKN7 176,455 176,239 216 176,239 146,734 2Q14

20847TBK6 816,125 815,960 165 815,960 792,055 2Q14

294751DF6 1,051,601 1,034,627 16,974 1,034,627 1,033,148 2Q14

40430RAB2 2,316,460 2,304,110 12,350 2,304,110 2,154,942 2Q14

44328BAD0 3,566,539 3,514,384 52,155 3,514,384 3,371,284 2Q14

589929J58 2,175,872 2,168,975 6,898 2,168,975 2,063,451 2Q14

61746RCS8 680,914 678,564 2,350 678,564 564,906 2Q14

61750FAD2 856,449 835,861 20,587 835,861 783,674 2Q14

61750MAD7 1,691,635 1,530,165 161,470 1,530,165 1,506,422 2Q14

73932#AB2 38,742,282 36,017,006 2,725,276 36,017,006 36,017,006 2Q14

759950AQ1 732,519 730,288 2,231 730,288 684,145 2Q14

988758AF5 479,713 643 479,070 643 37,946 2Q14

00075QAF9 112 102 10 102 60 3Q14

61746RCS8 629,016 626,062 2,954 626,062 613,135 3Q14

61750FAD2 821,309 816,484 4,825 816,484 792,445 3Q14

61750MAD7 1,396,675 1,226,649 170,026 1,226,649 1,166,050 3Q14

759950AQ1 698,132 694,141 3,991 694,141 654,493 3Q14

05948KPW3 316,231 306,376 9,855 306,376 308,498 3Q14

12506YCM9 66,139 65,014 1,125 65,014 59,126 3Q14

29445FAD0 333,797 333,321 476 333,321 298,701 3Q14

40430YAC5 6,463,406 6,453,643 9,762 6,453,643 6,393,831 3Q14

40431MAJ5 19,694,132 19,668,677 25,455 19,668,677 19,291,698 3Q14

57643LBZ8 8,366,612 8,343,386 23,226 8,343,386 8,129,615 3Q14

59001FAD3 1,257,535 1,247,893 9,642 1,247,893 1,241,610 3Q14

61746RBM2 881,542 881,416 126 881,416 813,244 3Q14

61751QAB1 5,366,994 5,363,368 3,626 5,363,368 5,113,235 3Q14

759950CG1 1,383,257 1,350,153 33,104 1,350,153 1,182,888 3Q14

92978YAF7 993,013 990,503 2,510 990,503 978,045 3Q14

00084QAA9 6,000,141 5,898,238 101,902 5,898,238 5,898,398 4Q14

00248PAA4 48,943,210 48,501,036 442,174 48,501,036 48,501,562 4Q14

004427AX8 884,076 787,335 96,741 787,335 787,425 4Q14

004427BM1 485,530 458,059 27,471 458,059 458,104 4Q14

00442VAE7 2,754,371 2,640,099 114,272 2,640,099 2,640,902 4Q14

00764MBT3 3,070,101 2,976,550 93,552 2,976,550 2,976,873 4Q14

00764MCS4 1,163,757 1,151,875 11,882 1,151,875 1,151,933 4Q14

00764MFC6 8,001,020 7,128,748 872,272 7,128,748 7,129,008 4Q14

00900AAA6 30,000,266 29,820,551 179,715 29,820,551 29,820,735 4Q14

02377UAB0 3,377,665 3,358,284 19,381 3,358,284 3,362,326 4Q14

03072SCW3 805,127 804,713 414 804,713 750,770 4Q14

03072SEY7 10,468,163 9,879,539 588,623 9,879,539 9,880,553 4Q14

03072SGQ2 5,653,948 5,586,963 66,985 5,586,963 5,545,060 4Q14

03072SJG1 3,480,915 3,298,116 182,798 3,298,116 3,298,454 4Q14


34/218

19.8



1

Cusip

2

Book/Adj Carrying

Value Amortized

Cost Before

Current Period

OTTI

3

Presented Value

of Projected

Cash Flows

4

Recognized

Other-than-

Temporary

Impairment

5

Amortized Cost

After Other-than-

Temporary

Impairment

6

Fair Value at

time of OTTI

7

Date of Financial

Statement where

Reported

03072SJW6 771,843 724,710 47,133 724,710 724,787 4Q14

03072SLN3 1,979,378 1,884,456 94,922 1,884,456 1,884,714 4Q14

03072SLV5 617,604 584,305 33,299 584,305 583,838 4Q14

03072SMX0 1,314,873 1,206,258 108,614 1,206,258 1,206,373 4Q14

033292AA1 14,884,620 14,740,217 144,403 14,740,217 14,740,605 4Q14

03329PAA0 7,697,926 7,692,433 5,494 7,692,433 7,692,453 4Q14

040104DQ1 7,712,089 7,465,480 246,609 7,465,480 7,465,133 4Q14

040104DR9 123,802 117,456 6,346 117,456 116,343 4Q14

040104EA5 10,169,804 9,781,841 387,963 9,781,841 9,782,879 4Q14

04014JAA2 6,417,779 6,371,205 46,574 6,371,205 6,371,403 4Q14

04015BAA8 9,399,932 9,355,816 44,115 9,355,816 9,355,985 4Q14

042809AA1 23,762,014 23,509,705 252,309 23,509,705 23,510,199 4Q14

04280TAA7 2,994,793 2,967,231 27,562 2,967,231 2,967,267 4Q14

04541GCG5 4,054,030 3,858,600 195,430 3,858,600 3,858,932 4Q14

04541GDS8 345,831 337,720 8,110 337,720 337,757 4Q14

04541GFM9 3,542,039 3,416,956 125,083 3,416,956 3,417,328 4Q14

04541GHL9 2,956,566 2,838,941 117,625 2,838,941 2,839,236 4Q14

04541GJT0 6,214,346 5,817,186 397,159 5,817,186 5,817,799 4Q14

04541GPJ5 8,051,152 7,313,111 738,042 7,313,111 7,314,903 4Q14

04541GTL6 5,077,223 5,034,104 43,120 5,034,104 5,034,307 4Q14

04542BCL4 1,851,751 1,624,374 227,377 1,624,374 1,624,587 4Q14

04542BJP8 1,343,221 1,255,134 88,087 1,255,134 1,255,256 4Q14

04941RAA2 39,731,203 39,501,101 230,102 39,501,101 39,501,507 4Q14

05377RBV5 25,794,121 25,759,824 34,297 25,759,824 25,798,658 4Q14

05949AH86 3,923,693 3,871,706 51,987 3,871,706 3,871,594 4Q14

05950XAB2 2,691,316 2,686,062 5,254 2,686,062 2,685,621 4Q14

07131LAA8 9,742,967 9,645,904 97,063 9,645,904 9,645,349 4Q14

07131RAA5 13,455,251 13,361,499 93,752 13,361,499 13,361,688 4Q14

07131UAA8 14,967,919 14,889,107 78,811 14,889,107 14,889,251 4Q14

07131XAA2 39,963,177 39,861,283 101,894 39,861,283 39,861,548 4Q14

073879CC0 126,277 119,743 6,533 119,743 119,757 4Q14

073879CV8 1,934,325 1,852,699 81,626 1,852,699 1,852,988 4Q14

073879EU8 3,583,786 3,342,253 241,533 3,342,253 3,342,628 4Q14

073879HF8 1,765,104 1,547,616 217,489 1,547,616 1,547,768 4Q14

073879KD9 740,217 701,765 38,453 701,765 701,835 4Q14

08179XAA3 12,964,894 12,776,314 188,579 12,776,314 12,776,641 4Q14

08180KAC4 19,750,342 19,683,001 67,342 19,683,001 19,682,826 4Q14

114521AB3 7,500,188 7,364,984 135,204 7,364,984 7,365,197 4Q14

12489WEQ3 337,533 316,827 20,706 316,827 316,852 4Q14

12506YAS8 327,196 308,728 18,468 308,728 308,754 4Q14

12506YAT6 314,840 70,864 243,977 70,864 70,915 4Q14

12506YAY5 1,805,096 1,708,329 96,767 1,708,329 1,708,488 4Q14

12506YBE8 3,243,358 3,042,288 201,071 3,042,288 3,042,554 4Q14

12558MAF9 1,136,844 1,136,415 428 1,136,415 1,125,130 4Q14

12558MAG7 2,182,104 2,140,523 41,581 2,140,523 2,140,153 4Q14

12591TAB2 12,621,166 12,598,540 22,626 12,598,540 12,617,085 4Q14

12623SAD2 19,150,626 18,409,211 741,415 18,409,211 18,450,805 4Q14

12624QAP8 8,113,701 8,020,231 93,470 8,020,231 8,021,992 4Q14

12625EAL3 8,796,950 8,621,350 175,600 8,621,350 8,621,350 4Q14

12625FAD8 20,327,101 20,138,996 188,105 20,138,996 20,186,148 4Q14

12626LAB8 21,748,730 21,721,883 26,847 21,721,883 21,752,151 4Q14

1266713K0 287,676 281,945 5,731 281,945 281,688 4Q14

1266713Z7 4,408,669 4,171,380 237,289 4,171,380 4,171,683 4Q14

1266714T0 1,393,093 1,332,166 60,927 1,332,166 1,332,257 4Q14

126671F84 2,554,275 2,407,698 146,577 2,407,698 2,407,616 4Q14

126671S72 7,360,033 7,151,337 208,695 7,151,337 6,653,657 4Q14

126671XT8 1,204,312 1,106,116 98,196 1,106,116 1,106,362 4Q14

126671Z33 667,877 615,426 52,451 615,426 615,485 4Q14

126673B50 3,158,386 3,143,899 14,487 3,143,899 3,143,884 4Q14

126673B68 9,840,325 9,704,523 135,802 9,704,523 9,704,916 4Q14

126673DQ2 1,664,267 1,626,814 37,453 1,626,814 1,626,565 4Q14


35/218

19.9



1

Cusip

2

Book/Adj Carrying

Value Amortized

Cost Before

Current Period

OTTI

3

Presented Value

of Projected

Cash Flows

4

Recognized

Other-than-

Temporary

Impairment

5

Amortized Cost

After Other-than-

Temporary

Impairment

6

Fair Value at

time of OTTI

7

Date of Financial

Statement where

Reported

126673EF5 2,500,068 2,412,740 87,328 2,412,740 2,412,950 4Q14

126673GQ9 1,535,068 1,519,020 16,049 1,519,020 1,519,085 4Q14

126673NV0 12,916,835 12,679,953 236,882 12,679,953 12,680,726 4Q14

126673WZ1 2,000,071 1,986,327 13,744 1,986,327 1,986,356 4Q14

14308LAA1 7,250,039 7,222,324 27,715 7,222,324 7,222,378 4Q14

144531AE0 1,484,322 1,359,221 125,101 1,359,221 1,359,296 4Q14

14889DAA6 4,992,479 4,975,051 17,428 4,975,051 4,975,085 4Q14

14889HAA7 25,000,185 24,806,987 193,198 24,806,987 24,807,130 4Q14

14916RAD6 24,445,642 24,172,980 272,662 24,172,980 24,323,894 4Q14

14918JAA8 20,951,147 20,801,750 149,396 20,801,750 20,802,010 4Q14

14954TAA1 2,000,031 1,977,940 22,090 1,977,940 1,977,975 4Q14

152314DS6 541,567 409,802 131,765 409,802 386,300 4Q14

152314GD6 219,093 174,698 44,395 174,698 174,718 4Q14

152314HE3 169,240 151,308 17,933 151,308 151,322 4Q14

152314KR0 1,339,284 1,063,850 275,434 1,063,850 1,063,897 4Q14

152314LQ1 1,853,516 1,649,624 203,892 1,649,624 1,649,807 4Q14

152314NB2 2,998,506 2,704,181 294,326 2,704,181 2,704,443 4Q14

161630AE8 9,048,788 8,881,811 166,977 8,881,811 8,881,811 4Q14

17029PAA3 10,171,572 8,459,072 1,712,501 8,459,072 8,608,013 4Q14

17029RAA9 3,072,306 2,359,459 712,847 2,359,459 2,359,459 4Q14

17318UAC8 6,101,482 6,036,945 64,538 6,036,945 6,048,042 4Q14

17320DAE8 26,517,956 25,917,526 600,430 25,917,526 25,978,298 4Q14

20048EAX9 31,753,083 30,777,614 975,469 30,777,614 30,848,013 4Q14

20847TAZ4 1,014,963 966,089 48,874 966,089 966,138 4Q14

20847TBK6 1,740,480 1,699,431 41,048 1,699,431 1,671,409 4Q14

22540VUK6 1,967,114 1,854,412 112,702 1,854,412 1,854,512 4Q14

22540VXC1 5,252,326 5,034,349 217,977 5,034,349 5,034,836 4Q14

22541NAG4 7,236,724 6,755,904 480,820 6,755,904 6,756,447 4Q14

22541NCU1 2,129,707 1,995,709 133,998 1,995,709 1,995,874 4Q14

22541NQM4 11,634,338 11,125,084 509,255 11,125,084 11,126,128 4Q14

22541QDV1 223,732 212,356 11,375 212,356 212,378 4Q14

22541QNK4 1,646,045 1,557,543 88,501 1,557,543 1,557,638 4Q14

251528AA3 2,150,000 2,085,500 64,500 2,085,500 2,085,500 4Q14

26249BAA9 49,742,229 49,165,528 576,701 49,165,528 49,166,600 4Q14

26249EAA3 11,924,167 11,898,803 25,364 11,898,803 11,898,929 4Q14

26249GAA8 37,000,114 36,898,057 102,057 36,898,057 36,898,195 4Q14

26250JAA8 23,500,241 23,336,032 164,209 23,336,032 23,336,313 4Q14

26250UAC9 7,600,200 7,451,669 148,531 7,451,669 7,451,894 4Q14

26251BAB2 24,969,854 24,462,204 507,650 24,462,204 24,462,950 4Q14

26829BAA7 3,955,868 3,933,826 22,042 3,933,826 3,933,881 4Q14

29445FCP1 4,000,397 3,735,953 264,444 3,735,953 3,736,272 4Q14

29445FCQ9 3,154,712 2,662,788 491,924 2,662,788 2,663,136 4Q14

294751DF6 1,375,906 1,354,131 21,775 1,354,131 1,352,135 4Q14

294751DV1 557,119 497,036 60,083 497,036 498,081 4Q14

294751EK4 2,212,208 2,176,168 36,040 2,176,168 2,176,168 4Q14

294751EZ1 1,557,449 1,490,909 66,540 1,490,909 1,490,310 4Q14

301965CE7 399,213 384,390 14,823 384,390 384,539 4Q14

3137B1B27 856,942 842,407 14,535 842,407 842,636 4Q14

31398QHC4 862,426 848,532 13,894 848,532 848,839 4Q14

31398VJA5 890,799 885,718 5,080 885,718 886,136 4Q14

32027EAE1 9,927,780 9,819,686 108,094 9,819,686 9

PICA Excerpts 4Q14

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