Exhibit 99.3
Lincoln Financial Group | |||||
June 30, 2008 | |||||
General Account Supplement | |||||
This document is dated July 29, 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 06/30/2008 | As of 03/31/2008 | ||||||||||
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 | 10,896 | 82 | (681) | 10,297 | 18.9% | 11,095 | 194 | (572) | 10,716 | 19.3% | |
Basic Industry | 2,195 | 33 | (81) | 2,147 | 3.9% | 2,148 | 58 | (67) | 2,138 | 3.8% | |
Capital Goods | 2,683 | 42 | (58) | 2,667 | 4.9% | 2,685 | 80 | (40) | 2,725 | 4.9% | |
Communications | 2,803 | 63 | (100) | 2,766 | 5.1% | 2,865 | 85 | (100) | 2,849 | 5.1% | |
Consumer Cyclical | 2,933 | 36 | (159) | 2,810 | 5.2% | 3,048 | 59 | (130) | 2,978 | 5.4% | |
Consumer Non-Cyclical | 4,110 | 54 | (76) | 4,088 | 7.5% | 4,010 | 122 | (44) | 4,088 | 7.3% | |
Energy | 2,886 | 71 | (43) | 2,914 | 5.3% | 2,679 | 143 | (25) | 2,797 | 5.0% | |
Technology | 744 | 11 | (11) | 744 | 1.4% | 656 | 18 | (6) | 668 | 1.2% | |
Transportation | 1,291 | 25 | (54) | 1,262 | 2.3% | 1,351 | 49 | (44) | 1,356 | 2.4% | |
Industrial Other | 675 | 11 | (15) | 671 | 1.2% | 712 | 24 | (8) | 728 | 1.3% | |
Utilities | 8,391 | 125 | (202) | 8,314 | 15.3% | 8,262 | 254 | (114) | 8,402 | 15.1% | |
Asset-Backed Securities ("ABS") | |||||||||||
Collaterized Debt Obligations ("CDO")/ Credit-Linked Notes ("CLN") [1] | 1,049 | 9 | (418) | 640 | 1.2% | 1,050 | 9 | (441) | 617 | 1.1% | |
Commercial Real Estate ("CRE") CDO | 62 | - | (8) | 54 | 0.1% | 62 | - | (9) | 53 | 0.1% | |
Credit Card | 172 | 1 | (11) | 162 | 0.3% | 160 | - | (14) | 146 | 0.3% | |
Home Equity | 1,185 | 1 | (251) | 935 | 1.7% | 1,195 | 5 | (177) | 1,023 | 1.8% | |
Manufactured Housing | 154 | 4 | (8) | 150 | 0.3% | 158 | 7 | (5) | 160 | 0.3% | |
Auto Loan | 1 | - | - | 1 | - | 3 | - | - | 3 | - | |
Other | 223 | 4 | (7) | 220 | 0.4% | 228 | 8 | (7) | 230 | 0.4% | |
Commercial Mortgage-Backed Securities ("CMBS") | |||||||||||
Non-Agency Backed | 2,628 | 21 | (182) | 2,467 | 4.5% | 2,637 | 30 | (181) | 2,485 | 4.5% | |
Collaterized Mortgage Obligations ("CMO") | |||||||||||
Agency Backed | 4,643 | 66 | (37) | 4,672 | 8.6% | 4,686 | 126 | (28) | 4,785 | 8.6% | |
Non-Agency Backed | 2,245 | 1 | (381) | 1,865 | 3.4% | 2,328 | 4 | (301) | 2,030 | 3.6% | |
Mortgage Pass Throughs | |||||||||||
Agency Backed | 1,438 | 13 | (10) | 1,441 | 2.6% | 1,120 | 28 | (2) | 1,146 | 2.1% | |
Non-Agency Backed | 149 | - | (17) | 132 | 0.2% | 151 | - | (19) | 132 | 0.2% | |
Municipals | |||||||||||
Taxable | 125 | 4 | (1) | 128 | 0.2% | 131 | 6 | - | 138 | 0.2% | |
Tax-Exempt | 5 | - | - | 5 | - | 6 | - | - | 6 | 0.0% | |
Government/Government Agencies | |||||||||||
United States | 1,195 | 93 | (7) | 1,281 | 2.3% | 1,255 | 137 | (2) | 1,390 | 2.5% | |
Foreign | 1,570 | 64 | (48) | 1,586 | 2.9% | 1,667 | 101 | (31) | 1,737 | 3.1% | |
Redeemable Preferred Stock | 102 | 2 | (5) | 99 | 0.2% | 102 | 2 | (7) | 97 | 0.2% | |
AFS - Fixed Maturities | 56,553 | 836 | (2,871) | 54,518 | 100.0% | 56,448 | 1,549 | (2,375) | 55,623 | 100.0% | |
AFS - Equities | 617 | 39 | (192) | 464 | 556 | 7 | (89) | 474 | |||
Total AFS Securities | 57,170 | 875 | (3,063) | 54,982 | 57,005 | 1,557 | (2,464) | 56,098 | |||
Trading Securities [2] | 2,423 | 222 | (95) | 2,550 | 2,506 | 288 | (80) | 2,714 | |||
Total AFS & Trading Securities | 59,593 | 1,097 | (3,158) | 57,532 | 59,510 | 1,844 | (2,544) | 58,811 | |||
[1] Includes amortized cost of $850 million as of 6/30/08 and 3/31/2008, related to credit-linked notes. For additional information, see the CLN disclosure starting on page 113 of the 2007 Form 10-K. | |||||||||||
[2] The trading securities support our modified coinsurance arrangements ("Modco") and the investment results are passed directly to the reinsurers. |
Lincoln Financial Group | ||||||||||
AFS - Exposure to Residential MBS ("RMBS") and Related Collateral | ||||||||||
As of 6/30/2008 | ||||||||||
Amounts in Millions |
Total | Prime/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 |
RMBS | 8,110 | 8,474 | 6,030 | 5,989 | 1,343 | 1,546 | 737 | 940 | - | - |
ABS | 935 | 1,185 | - | - | 15 | 15 | 334 | 406 | 586 | 764 |
Total | 9,045 | 9,659 | 6,030 | 5,989 | 1,358 | 1,561 | 1,071 | 1,346 | 586 | 764 |
Rating | ||||||||||
AAA | 8,434 | 8,707 | 5,990 | 5,949 | 1,108 | 1,201 | 913 | 1,063 | 423 | 494 |
AA | 423 | 577 | 20 | 21 | 209 | 275 | 107 | 151 | 87 | 130 |
A | 70 | 99 | 20 | 19 | 17 | 27 | 12 | 20 | 21 | 33 |
BBB | 60 | 113 | - | - | 10 | 19 | - | - | 50 | 94 |
BB and below | 58 | 164 | - | - | 14 | 39 | 39 | 112 | 5 | 13 |
Total | 9,045 | 9,660 | 6,030 | 5,989 | 1,358 | 1,561 | 1,071 | 1,346 | 586 | 764 |
Origination Year | ||||||||||
2004 and prior | 4,192 | 4,306 | 3,131 | 3,098 | 402 | 441 | 362 | 409 | 297 | 358 |
2005 | 1,553 | 1,697 | 806 | 819 | 252 | 279 | 291 | 345 | 204 | 254 |
2006 | 1,019 | 1,282 | 342 | 344 | 249 | 307 | 343 | 480 | 85 | 152 |
2007 and forward | 2,281 | 2,373 | 1,751 | 1,728 | 455 | 534 | 75 | 112 | - | - |
Total | 9,045 | 9,658 | 6,030 | 5,989 | 1,358 | 1,561 | 1,071 | 1,346 | 586 | 764 |
Note: This table does not include the fair value of trading securities totaling $195 million which support our Modco reinsurance agreements |
since investment results for these agreements are passed directly to the reinsurers. The $195 million in trading securities consisted of |
$152 million prime, $27 million Alt-A, and $16 million subprime. |
Lincoln Financial Group | |||||||
AFS - Asset-Backed Securities - Consumer Loan | |||||||
As of 6/30/2008 | |||||||
Amounts in Millions |
Total | Credit Card [1] | Auto Loans | |||||
Fair | Amortized | Fair | Amortized | Fair | Amortized | ||
Value | Cost | Value | Cost | Value | Cost | ||
Rating | |||||||
AAA | 130 | 139 | 130 | 139 | - | - | |
AA | 1 | 1 | - | - | 1 | 1 | |
BBB | 32 | 33 | 32 | 33 | - | - | |
Total | 163 | 173 | 162 | 172 | 1 | 1 |
[1] - Additional indirect credit card exposure through structured securities is excluded from this table. | |||||||
See the CLN disclosure starting on page 113 of the 2007 Form 10-K. | |||||||
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 6/30/2008 | ||||||||
Amounts in Millions |
Total | Multiple Property | Single Property | CRE CDO | |||||
Fair | Amortized | Fair | Amortized | Fair | Amortized | Fair | Amortized | |
Type | Value | Cost | Value | Cost | Value | Cost | Value | Cost |
CMBS | 2,467 | 2,628 | 2,331 | 2,461 | 136 | 167 | - | - |
CRE CDO | 54 | 62 | - | - | - | - | 54 | 62 |
Total | 2,521 | 2,690 | 2,331 | 2,461 | 136 | 167 | 54 | 62 |
Rating | ||||||||
AAA | 1,772 | 1,815 | 1,666 | 1,700 | 75 | 77 | 31 | 38 |
AA | 406 | 445 | 396 | 424 | 7 | 17 | 3 | 4 |
A | 230 | 281 | 158 | 194 | 52 | 67 | 20 | 20 |
BBB | 88 | 110 | 86 | 104 | 2 | 6 | - | - |
BB and below | 25 | 39 | 25 | 39 | - | - | - | - |
Total | 2,521 | 2,690 | 2,331 | 2,461 | 136 | 167 | 54 | 62 |
Origination Year | ||||||||
2004 and prior | 1,776 | 1,810 | 1,673 | 1,705 | 80 | 81 | 23 | 24 |
2005 | 385 | 446 | 331 | 370 | 44 | 61 | 10 | 15 |
2006 | 235 | 290 | 202 | 242 | 12 | 25 | 21 | 23 |
2007 | 125 | 144 | 125 | 144 | - | - | - | - |
Total | 2,521 | 2,690 | 2,331 | 2,461 | 136 | 167 | 54 | 62 |
Note: This table does not include the fair value of trading securities totaling $102 million which support our Modco | ||||||||
reinsurance agreements since investment results for these agreements are passed directly to the reinsurers. | ||||||||
The $102 million in trading securities consisted of $99 million CMBS and $3 million CRE CDOs. |
Lincoln Financial Group | ||||||
Commercial Mortgage Loan Portfolio, Net of Reserves | ||||||
As of 6/30/2008 | ||||||
Amounts in Millions |
LNC MORTGAGE LOAN DISTRIBUTION | ||||||
Property Type | Amt $ | % | State | Amt $ | % | |
Apartment | 742 | 10% | CA | 1,614 | 21% | |
Retail | 1,852 | 24% | TX | 628 | 8% | |
Office Building | 2,559 | 33% | MD | 437 | 6% | |
Industrial | 1,988 | 26% | FL | 339 | 4% | |
Hotel/Motel | 297 | 4% | TN | 325 | 4% | |
Mixed Use | 132 | 2% | AZ | 323 | 4% | |
Other Commercial | 108 | 1% | NC | 320 | 4% | |
Total | 7,678 | 100% | VA | 319 | 4% | |
WA | 302 | 4% | ||||
IL | 290 | 4% | ||||
Geographic Region | Amt $ | % | PA | 261 | 3% | |
New England | 193 | 3% | GA | 244 | 3% | |
Middle Atlantic | 512 | 7% | OH | 221 | 3% | |
East North Central | 832 | 11% | NV | 211 | 3% | |
West North Central | 421 | 5% | IN | 196 | 3% | |
South Atlantic | 1,806 | 23% | NJ | 148 | 2% | |
East South Central | 426 | 5% | MN | 139 | 2% | |
West South Central | 680 | 9% | SC | 136 | 2% | |
Mountain | 752 | 10% | MA | 134 | 2% | |
Pacific | 2,056 | 27% | Other states under 1% | 1,091 | 14% | |
Total | 7,678 | 100% | Total | 7,678 | 100% |
Lincoln Financial Group | ||||||
Additional Disclosure of Insured Bonds and Direct Exposure | ||||||
As of 6/30/2008 | ||||||
Amounts in Millions | ||||||
Insured | Total | Total | Total | Total | ||
Monoline Name | Direct Exposure | Bonds [1],[2] | Amortized Cost | Unrealized Gain | Unrealized (Loss) | Fair Value |
AMBAC | - | 275 | 275 | 3 | (48) | 230 |
ASSURED GUARANTY LTD | 30 | - | 30 | - | - | 30 |
CAPMAC | - | 3 | 3 | - | - | 3 |
CMAC | - | - | - | - | - | - |
FGIC | 3 | 101 | 104 | - | (31) | 73 |
FSA | - | 71 | 71 | 1 | (5) | 67 |
MBIA | 12 | 137 | 149 | 2 | (15) | 136 |
MGIC | 12 | 7 | 19 | - | (2) | 17 |
PMI GROUP INC | 27 | - | 27 | - | (7) | 20 |
RADIAN GROUP INC | 19 | - | 19 | - | (9) | 10 |
SECURITY CAPITAL ASSURANCE LTD | 1 | - | 1 | - | - | 1 |
XL CAPITAL LTD | 72 | 74 | 146 | 2 | (19) | 129 |
Total | 176 | 668 | 844 | 8 | (136) | 716 |
[1] - The second quarter amounts include insured bonds not previously reported. These insured bonds had an amortized cost of $318 | ||||||
million and a fair value of $242 million as of June 30, 2008. | ||||||
[2] - Additional indirect insured exposure through structured securities is excluded from this table. See the CLN disclosure starting on | ||||||
page 113 of the 2007 Form 10-K. | ||||||
Note: This table does not include the fair value of trading securities totaling $33 million which support our Modco reinsurance agreements | ||||||
since investment results for these agreements are passed directly to the reinsurers. The $33 million in trading securities consisted | ||||||
of $9 million of direct exposure and $24 million of insured exposure. This table also excludes insured exposure totaling $16 million | ||||||
for a guaranteed investment tax credit partnership. |