EX-99.3 4 ex99-3.htm EXHIBIT 99.3 ex99-3.htm

Lincoln Financial Group
December 31, 2007
General Account Supplement
           
           
           
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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.