Lincoln Financial Group | |||||
December 31, 2007 | |||||
General Account Supplement | |||||
This document is dated February 4, 2008. The data contained in this document may not be accurate after such date and LNC does not undertake to update or keep it accurate after such date. |
Lincoln Financial Group | |||||||||||
Available For Sale (AFS) by Industry Classifications Amounts in Millions | |||||||||||
As of 12/31/2007 | As of 12/31/2006 | ||||||||||
Amortized | Unrealized | Unrealized | Fair | % Fair | Amortized | Unrealized | Unrealized | Fair | % Fair | ||
AFS - Fixed Maturities | Cost | Gains | (Losses) | Value | Value | Cost | Gains | (Losses) | Value | Value | |
Corporate | |||||||||||
Financial Services | 11,234 | 187 | (300) | 11,121 | 19.8% | 11,758 | 280 | (65) | 11,972 | 21.4% | |
Basic Industry | 2,148 | 52 | (35) | 2,165 | 3.8% | 2,587 | 58 | (22) | 2,623 | 4.7% | |
Capital Goods | 2,665 | 66 | (16) | 2,715 | 4.8% | 2,548 | 45 | (10) | 2,582 | 4.6% | |
Communications | 2,903 | 123 | (46) | 2,980 | 5.3% | 3,062 | 115 | (23) | 3,154 | 5.6% | |
Consumer Cyclical | 3,038 | 56 | (94) | 3,000 | 5.3% | 3,109 | 64 | (46) | 3,126 | 5.6% | |
Consumer Non-Cyclical | 3,898 | 101 | (25) | 3,974 | 7.1% | 3,987 | 66 | (26) | 4,027 | 7.2% | |
Energy | 2,688 | 121 | (14) | 2,795 | 5.0% | 2,781 | 86 | (15) | 2,851 | 5.1% | |
Technology | 660 | 15 | (5) | 670 | 1.2% | 641 | 13 | (5) | 649 | 1.2% | |
Transportation | 1,409 | 39 | (20) | 1,429 | 2.5% | 1,679 | 45 | (8) | 1,716 | 3.1% | |
Industrial Other | 710 | 22 | (6) | 726 | 1.3% | 720 | 16 | (5) | 731 | 1.3% | |
Utilities | 8,051 | 195 | (77) | 8,169 | 14.5% | 7,897 | 173 | (41) | 8,029 | 14.4% | |
ABS | |||||||||||
CDO / CLN [1] | 996 | 8 | (205) | 799 | 1.4% | 608 | 18 | (1) | 624 | 1.1% | |
CRE CDO | 42 | - | (3) | 38 | 0.1% | 42 | 0 | (0) | 42 | 0.1% | |
MBS CDO | 1 | - | - | 1 | 0.0% | 12 | 0 | (0) | 12 | 0.0% | |
Credit Card | 160 | 1 | (2) | 159 | 0.3% | 41 | 2 | - | 43 | 0.1% | |
Home Equity | 1,209 | 4 | (76) | 1,137 | 2.0% | 1,199 | 9 | (9) | 1,198 | 2.1% | |
Manufactured Housing | 161 | 7 | (5) | 163 | 0.3% | 171 | 8 | (1) | 178 | 0.3% | |
Auto Loan | 4 | - | (0) | 4 | 0.0% | 4 | - | (0) | 4 | 0.0% | |
Other | 235 | 4 | (1) | 238 | 0.4% | 257 | 7 | (1) | 263 | 0.5% | |
CMBS | |||||||||||
Non-Agency Backed | 2,711 | 49 | (70) | 2,689 | 4.8% | 2,691 | 47 | (19) | 2,719 | 4.9% | |
CMOs | |||||||||||
Agency Backed | 4,547 | 74 | (19) | 4,602 | 8.2% | 3,729 | 25 | (32) | 3,722 | 6.7% | |
Non-Agency Backed | 2,347 | 10 | (110) | 2,247 | 4.0% | 1,586 | 13 | (14) | 1,585 | 2.8% | |
Pass Thrus | |||||||||||
Agency Backed | 933 | 18 | (2) | 949 | 1.7% | 437 | 3 | (3) | 436 | 0.8% | |
Non-Agency Backed | 153 | 0 | (5) | 149 | 0.3% | 101 | 1 | (2) | 99 | 0.2% | |
Municipals | |||||||||||
Taxable | 133 | 5 | (0) | 138 | 0.2% | 139 | 5 | (1) | 143 | 0.3% | |
Tax-Exempt | 6 | 0 | (0) | 6 | 0.0% | 6 | 0 | - | 6 | 0.0% | |
Government/Gov Agencies | |||||||||||
United States | 1,261 | 106 | (4) | 1,364 | 2.4% | 1,379 | 64 | (9) | 1,434 | 2.6% | |
Foreign | 1,663 | 92 | (19) | 1,736 | 3.1% | 1,693 | 96 | (12) | 1,777 | 3.2% | |
Redeemable Preferred Stock | 103 | 9 | (1) | 111 | 0.2% | 99 | 9 | (0) | 108 | 0.2% | |
AFS - Fixed Maturities | 56,069 | 1,366 | (1,159) | 56,276 | 100.0% | 54,960 | 1,264 | (371) | 55,853 | 100.0% | |
AFS - Equities | 548 | 13 | (43) | 518 | 681 | 22 | (2) | 701 | |||
Total AFS Securities | 56,617 | 1,379 | (1,202) | 56,794 | 55,641 | 1,286 | (373) | 56,554 | |||
Trading Securities [2] | 2,512 | 265 | (47) | 2,730 | 2,809 | 253 | (26) | 3,036 | |||
Total AFS & Trading Securities | 59,129 | 1,644 | (1,249) | 59,524 | 58,450 | 1,539 | (399) | 59,590 | |||
[1] Includes amortized cost of $850 million as of 12/31/2007, related to Credit-Linked Notes. For additional information, see "Credit-Linked Notes (CLN)" disclosure starting on page 16 of the third quarter 2007 10Q. | |||||||||||
[2] The trading securities support our Modco reinsurance agreements and the investment results are passed directly to the reinsurers. |
Lincoln Financial Group | ||||||||||
AFS - Exposure to Residential MBS and Related Collateral As of 12/31/2007 | ||||||||||
Amounts in Millions | ||||||||||
Total | Agency | Prime/Non-Agency | Alt-A | Subprime | ||||||
Fair | Amortized | Fair | Amortized | Fair | Amortized | Fair | Amortized | Fair | Amortized | |
Type | Value | Cost | Value | Cost | Value | Cost | Value | Cost | Value | Cost |
CMOs/Pass Thrus | 7,947 | 7,980 | 5,453 | 5,378 | 1,549 | 1,603 | 945 | 999 | - | - |
ABS Home Equity | 1,137 | 1,209 | - | - | - | - | 402 | 419 | 735 | 790 |
MBS CDO | 1 | 1 | - | - | - | - | - | - | 1 | 1 |
Total | 9,085 | 9,190 | 5,453 | 5,378 | 1,549 | 1,603 | 1,347 | 1,418 | 736 | 791 |
Rating | ||||||||||
AAA | 8,308 | 8,313 | 5,411 | 5,337 | 1,204 | 1,219 | 1,070 | 1,105 | 623 | 652 |
AA | 598 | 668 | 21 | 21 | 299 | 331 | 229 | 259 | 50 | 57 |
A | 98 | 117 | 21 | 21 | 15 | 19 | 26 | 31 | 35 | 47 |
BBB | 54 | 66 | - | - | 12 | 16 | 16 | 17 | 26 | 33 |
BB and below | 27 | 26 | - | - | 19 | 18 | 6 | 6 | 2 | 2 |
Total | 9,085 | 9,190 | 5,453 | 5,378 | 1,549 | 1,603 | 1,347 | 1,418 | 736 | 791 |
Origination Year | ||||||||||
2004 and prior | 4,399 | 4,408 | 3,174 | 3,145 | 445 | 453 | 418 | 430 | 362 | 380 |
2005 | 1,500 | 1,536 | 649 | 648 | 290 | 297 | 319 | 333 | 242 | 258 |
2006 | 1,125 | 1,192 | 223 | 220 | 290 | 309 | 480 | 510 | 132 | 153 |
2007 | 2,060 | 2,055 | 1,407 | 1,366 | 523 | 544 | 130 | 145 | - | - |
Total | 9,085 | 9,190 | 5,453 | 5,378 | 1,549 | 1,603 | 1,347 | 1,418 | 736 | 791 |
Note: | This table does not include the fair value of trading securities totaling $225 million which support our Modco reinsurance agreements since investment results for these agreements are passed directly to the reinsurers. |
The $225 million in trading securities consisted of $165 million prime, $41 million alt-a, and $19 million subprime. |
Lincoln Financial Group | |||||||
AFS - Asset Backed Securities - Consumer Loan | |||||||
As of 12/31/2007 | |||||||
Amounts in Millions | |||||||
Total | Credit Card [1] | Auto Loans | |||||
Fair | Amortized | Fair | Amortized | Fair | Amortized | ||
Value | Cost | Value | Cost | Value | Cost | ||
Total | 163 | 164 | 159 | 160 | 4 | 4 | |
Rating | |||||||
AAA | 130 | 132 | 126 | 128 | 4 | 4 | |
BBB | 33 | 33 | 33 | 33 | |||
Total | 163 | 164 | 159 | 160 | 4 | 4 |
[1] | Additional indirect credit card exposure through structured securities is excluded from this table. See "Credit-Linked Notes (CLN)" disclosure starting on page 16 of the third quarter 2007 10-Q. |
Note: | This table does not include the fair value of trading securities totaling $5 million which support our Modco reinsurance agreements since investment results for these agreements are passed directly to the reinsurers.The $5 million in trading securities consisted of $5 million credit card securities. |
Lincoln Financial Group |
AFS - Commercial Mortgage Backed Securities |
As of 12/31/2007 |
Amounts in Millions |
Total | Multiple Property | Single Property | CRE CDOs | |||||
Fair | Amortized | Fair | Amortized | Fair | Amortized | Fair | Amortized | |
Type | Value | Cost | Value | Cost | Value | Cost | Value | Cost |
CMBS | 2,689 | 2,711 | 2,532 | 2,542 | 157 | 169 | - | - |
CRE CDOs | 38 | 42 | - | - | - | - | 38 | 42 |
Total | 2,728 | 2,752 | 2,532 | 2,542 | 157 | 169 | 38 | 42 |
Rating | ||||||||
AAA | 1,868 | 1,858 | 1,755 | 1,742 | 78 | 79 | 35 | 38 |
AA | 468 | 475 | 452 | 455 | 13 | 17 | 3 | 3 |
A | 275 | 291 | 213 | 224 | 62 | 67 | - | - |
BBB | 94 | 107 | 90 | 100 | 4 | 6 | - | - |
BB and below | 22 | 21 | 22 | 21 | - | - | - | - |
Total | 2,728 | 2,752 | 2,532 | 2,542 | 157 | 169 | 38 | 42 |
Origination Year | ||||||||
2004 and prior | 1,933 | 1,908 | 1,846 | 1,822 | 84 | 83 | 3 | 3 |
2005 | 423 | 443 | 356 | 367 | 54 | 61 | 13 | 15 |
2006 | 242 | 268 | 201 | 220 | 19 | 25 | 21 | 23 |
2007 | 130 | 133 | 130 | 133 | - | - | - | - |
Total | 2,728 | 2,752 | 2,532 | 2,542 | 157 | 169 | 38 | 42 |
Note: | This table does not include the fair value of trading securities totaling $111 million which support our Modco reinsurance agreements since investment results for these agreements are passed directly to the reinsurers. The $111 million in trading securities consisted of $107 million CMBS and $4 million CRE CDOs. |
Lincoln Financial Group |
Commercial Mortgage Loan Portfolio Net of Reserves |
As of 12/31/07 |
Amounts in Millions |
LNC MORTGAGE LOAN DISTRIBUTION | |||||||
Property Type | Amt $ | % | State Exposure | Amt $ | % | ||
Apartment | 756 | 10% | CA | 1,514 | 20% | ||
Retail | 1,819 | 25% | TX | 638 | 9% | ||
Office Building | 2,548 | 34% | MD | 395 | 5% | ||
Industrial | 1,816 | 24% | VA | 329 | 4% | ||
Hotel/Motel | 336 | 5% | AZ | 317 | 4% | ||
Mixed Use | 41 | 1% | WA | 304 | 4% | ||
Other Commercial | 106 | 1% | FL | 299 | 4% | ||
Total | 7,423 | 100% | IL | 294 | 4% | ||
TN | 286 | 4% | |||||
NC | 278 | 4% | |||||
Geographic Region | Amt $ | % | PA | 267 | 4% | ||
New England | 192 | 3% | GA | 249 | 3% | ||
Middle Atlantic | 503 | 7% | NV | 213 | 3% | ||
East North Central | 817 | 11% | OH | 202 | 3% | ||
West North Central | 454 | 6% | IN | 193 | 3% | ||
South Atlantic | 1,668 | 22% | MN | 153 | 2% | ||
East South Central | 398 | 5% | NJ | 147 | 2% | ||
West South Central | 691 | 9% | MA | 128 | 2% | ||
Mountain | 738 | 10% | MO | 112 | 2% | ||
Pacific | 1,961 | 26% | Other States Under 1% | 1,105 | 15% | ||
Total | 7,423 | 100% | Total | 7,423 | 100% |
Lincoln Financial Group |
Additional Disclosure of Insured Bonds and Direct Exposure |
As of 12/31/2007 |
Amounts in Millions |
Insured | Total | Total | Total | Total | ||
Monoline Name | Direct Exposure | Bonds [1] | Amortized Cost | Unrealized Gain | Unrealized (Loss) | Market Value |
AMBAC | 117 | 117 | 3 | (2) | 118 | |
CAPMAC | 4 | 4 | 0 | (0) | 4 | |
CMAC | 0 | 0 | 0 | (0) | 0 | |
FGIC | 26 | 55 | 81 | 1 | (9) | 72 |
FSA | 41 | 41 | 1 | (0) | 42 | |
MBIA | 12 | 78 | 90 | 3 | (2) | 91 |
MGIC | 11 | 8 | 19 | 0 | (2) | 18 |
PMI GROUP INC | 27 | 27 | 0 | (5) | 23 | |
RADIAN GROUP INC | 19 | 19 | 0 | (3) | 16 | |
XL CAPITAL LTD | 92 | 65 | 157 | 2 | (11) | 148 |
Total | 187 | 368 | 555 | 9 | (33) | 532 |
[1] | Additional indirect insured exposure through structured securities is excluded from this table. |
See "Credit-Linked Notes (CLN)" disclosure starting on page 16 of the third quarter 2007 10-Q. | |
Note: | This table does not include the fair value of trading securities totaling $36 million which support our Modco reinsurance agreements since investment results for these agreements are passed directly to the reinsurers. |
The $36 million in trading securities consisted of $13 million of Direct Exposure and $23 million of Insured Exposure. | |