Consolidated Investment Entities (Tables)

9 Months Ended

Sep. 30, 2013

Schedule of assets and liabilities held by consolidated investment entities measured at fair value on a recurring basis

The following tables present the balances of assets and liabilities of Ameriprise Financial measured at fair value on a recurring basis:



	September 30, 2013
	Level 1		Level 2		Level 3			Total
	(in millions)
Assets
Cash equivalents	$	19	$	2,375	$	—		$	2,394
Available-for-Sale securities:
Corporate debt securities	—		15,870		1,632			17,502
Residential mortgage backed securities	—		5,655		288			5,943
Commercial mortgage backed securities	—		2,755		15			2,770
Asset backed securities	—		1,222		203			1,425
State and municipal obligations	—		2,123		—			2,123
U.S. government and agencies obligations	17		36		—			53
Foreign government bonds and obligations	—		252		—			252
Common stocks	5		6		5			16
Total Available-for-Sale securities	22		27,919		2,143			30,084
Trading securities	3		23		—			26
Separate account assets	—		77,788		—			77,788
Other assets:
Interest rate derivative contracts	—		1,642		—			1,642
Equity derivative contracts	385		1,133		—			1,518
Foreign currency derivative contracts	1		2		—			3
Total other assets	386		2,777		—			3,163
Total assets at fair value	$	430	$	110,882	$	2,143		$	113,455
Liabilities
Future policy benefits:
EIA embedded derivatives	$	—	$	4	$	—		$	4
IUL embedded derivatives	—		—		96			96
GMWB and GMAB embedded derivatives	—		—		(256		)	(256		)	⁽²⁾
Total future policy benefits	—		4		(160		)	(156		)	⁽¹⁾
Customer deposits	—		7		—			7
Other liabilities:
Interest rate derivative contracts	—		1,554		—			1,554
Equity derivative contracts	333		2,083		—			2,416
Credit derivative contracts	—		6		—			6
Foreign currency derivative contracts	1		—		—			1
Other	—		12		—			12
Total other liabilities	334		3,655		—			3,989
Total liabilities at fair value	$	334	$	3,666	$	(160	)	$	3,840

⁽¹⁾ The Company’s adjustment for nonperformance risk resulted in a $238 million cumulative increase to the embedded derivatives.

⁽²⁾The fair value of the GMWB and GMAB embedded derivatives was a net asset at September 30, 2013 and the amount is reported as a contra liability.



	December 31, 2012
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Cash equivalents	$	18	$	1,539	$	—	$	1,557
Available-for-Sale securities:
Corporate debt securities	—		17,051		1,764		18,815
Residential mortgage backed securities	—		5,145		284		5,429
Commercial mortgage backed securities	—		3,213		206		3,419
Asset backed securities	—		1,097		178		1,275
State and municipal obligations	—		2,239		—		2,239
U.S. government and agencies obligations	19		39		—		58
Foreign government bonds and obligations	—		224		—		224
Common stocks	3		4		6		13
Total Available-for-Sale securities	22		29,012		2,438		31,472
Trading securities	1		24		—		25
Separate account assets	—		72,397		—		72,397
Other assets:
Interest rate derivative contracts	—		2,358		—		2,358
Equity derivative contracts	285		973		—		1,258
Foreign currency derivative contracts	—		6		—		6
Commodity derivative contracts	—		1		—		1
Total other assets	285		3,338		—		3,623
Total assets at fair value	$	326	$	106,310	$	2,438	$	109,074
Liabilities
Future policy benefits:
EIA embedded derivatives	$	—	$	2	$	—	$	2
IUL embedded derivatives	—		—		45		45
GMWB and GMAB embedded derivatives	—		—		833		833
Total future policy benefits	—		2		878		880		⁽¹⁾
Customer deposits	—		8		—		8
Other liabilities:
Interest rate derivative contracts	—		1,486		—		1,486
Equity derivative contracts	258		1,565		—		1,823
Foreign currency derivative contracts	1		—		—		1
Other	1		3		—		4
Total other liabilities	260		3,054		—		3,314
Total liabilities at fair value	$	260	$	3,064	$	878	$	4,202

⁽¹⁾The Company’s adjustment for nonperformance risk resulted in a $398 million cumulative decrease to the embedded derivatives.

Schedule of fair value and unpaid principal balance of assets and liabilities carried at fair value under the fair value option

The following table presents the fair value and unpaid principal balance of loans and debt for which the fair value option has been elected:



	September 30, 2013			December 31, 2012
	(in millions)
Syndicated loans
Unpaid principal balance	$	4,261		$	4,023
Excess unpaid principal over fair value	(55		)	(101		)
Fair value	$	4,206		$	3,922
Fair value of loans more than 90 days past due	$	24		$	34
Fair value of loans in nonaccrual status	24			34
Difference between fair value and unpaid principal of loans more than 90 days past due, loans in nonaccrual status or both	34			38
Debt
Unpaid principal balance	$	4,696		$	4,757
Excess unpaid principal over fair value	(237		)	(307		)
Fair value	$	4,459		$	4,450

Schedule of debt of the consolidated investment entities and the stated interest rates

The balances and the stated interest rates of outstanding debt of Ameriprise Financial were as follows:



	Outstanding Balance						Stated Interest Rate
	September 30, 2013			December 31, 2012			September 30, 2013		December 31, 2012
	(in millions)
Long-term debt:
Senior notes due 2015	$	736	⁽¹⁾	$	750	⁽¹⁾	5.7	%	5.7	%
Senior notes due 2019	331		⁽¹⁾	347		⁽¹⁾	7.3		7.3
Senior notes due 2020	789		⁽¹⁾	812		⁽¹⁾	5.3		5.3
Senior notes due 2023	597			—			4.0		—
Senior notes due 2039	200			200			7.8		7.8
Junior subordinated notes due 2066	294			294			7.5		7.5
Total long-term debt	2,947			2,403

Short-term borrowings:
Federal Home Loan Bank (“FHLB”) advances	350			—			0.3		—
Repurchase agreements	150			501			0.3		0.4
Total short-term borrowings	500			501
Total	$	3,447		$	2,904

⁽¹⁾ Amounts include adjustments for fair value hedges on the Company’s long-term debt. See Note 12 for information on the Company’s fair value hedges.

Consolidated Investment Entities

Consolidated Investment Entities.

Schedule of assets and liabilities held by consolidated investment entities measured at fair value on a recurring basis

The following tables present the balances of assets and liabilities held by consolidated investment entities measured at fair value on a recurring basis:



	September 30, 2013
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Investments:
Corporate debt securities	$	—	$	217	$	2	$	219
U.S. government and agencies obligations	3		—		—		3
Common stocks	136		32		7		175
Other structured investments	—		33		—		33
Syndicated loans	—		3,904		302		4,206
Total investments	139		4,186		311		4,636
Receivables	—		26		—		26
Other assets	—		9		1,591		1,600
Total assets at fair value	$	139	$	4,221	$	1,902	$	6,262
Liabilities
Debt	$	—	$	—	$	4,459	$	4,459
Other liabilities	—		94		—		94
Total liabilities at fair value	$	—	$	94	$	4,459	$	4,553



	December 31, 2012
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Investments:
Corporate debt securities	$	—	$	251	$	3	$	254
Common stocks	91		32		14		137
Other structured investments	—		57		—		57
Syndicated loans	—		3,720		202		3,922
Total investments	91		4,060		219		4,370
Receivables	—		77		—		77
Other assets	—		2		1,214		1,216
Total assets at fair value	$	91	$	4,139	$	1,433	$	5,663
Liabilities
Debt	$	—	$	—	$	4,450	$	4,450
Other liabilities	—		166		—		166
Total liabilities at fair value	$	—	$	166	$	4,450	$	4,616

Schedule of changes in Level 3 assets and liabilities held by consolidated investment entities measured at fair value on a recurring basis

The following tables provide a summary of changes in Level 3 assets and liabilities held by consolidated investment entities measured at fair value on a recurring basis:



	Corporate Debt Securities			Common Stocks				Syndicated Loans				Other Assets				Debt
	(in millions)
#VALUE!	$	3		$	16			$	292			$	1,322			$	(4,677	)
Total gains (losses) included in:
Net income	—			(1		)	⁽¹⁾	(1		)	⁽¹⁾	20			⁽²⁾	50			⁽¹⁾
Other comprehensive income	—			—				—				73				—
Purchases	—			—				72				239				—
Sales	—			—				(8		)		(54		)		—
Issues	—			—				—				—				—
Settlements	(1		)	—				(13		)		—				168
Transfers into Level 3	—			—				105				—				—
Transfers out of Level 3	—			(8		)		(145		)		(9		)		—
Balance, September 30, 2013	$	2		$	7			$	302			$	1,591			$	(4,459	)
Changes in unrealized gains (losses) included in income relating to assets and liabilities held at September 30, 2013	$	—		$	(1	)	⁽¹⁾	$	(2	)	⁽¹⁾	$	(1	)	⁽²⁾	$	50		⁽¹⁾

⁽¹⁾ Included in net investment income in the Consolidated Statements of Operations.

⁽²⁾ Included in other revenues in the Consolidated Statements of Operations.



	Corporate Debt Securities		Common Stocks		Syndicated Loans				Other Assets				Debt
	(in millions)
#VALUE!	$	4	$	12	$	169			$	1,080			$	(4,726	)
Total gains (losses) included in:
Net income	—		—		2			⁽¹⁾	(27		)	⁽²⁾	(82		)	⁽¹⁾
Other comprehensive income	—		—		—				21				—
Purchases	—		—		26				146				—
Sales	—		—		(2		)		(62		)		—
Settlements	—		—		(22		)		—				117
Transfers into Level 3	—		1		59				—				—
Transfers out of Level 3	—		—		(49		)		—				—
Balance, September 30, 2012	$	4	$	13	$	183			$	1,158			$	(4,691	)
Changes in unrealized gains (losses) included in income relating to assets and liabilities held at September 30, 2012	$	—	$	—	$	1		⁽¹⁾	$	(39	)	⁽²⁾	$	(81	)	⁽¹⁾

⁽¹⁾ Included in net investment income in the Consolidated Statements of Operations.

⁽²⁾ Included in other revenues in the Consolidated Statements of Operations.



	Corporate Debt Securities			Common Stocks				Syndicated Loans				Other Assets				Debt
	(in millions)
Balance, January 1, 2013	$	3		$	14			$	202			$	1,214			$	(4,450	)
Total gains (losses) included in:
Net income	—			—				—				22			⁽²⁾	(38		)	⁽¹⁾
Other comprehensive income (loss)	—			—				—				(1		)		—
Purchases	1			—				265				434				—
Sales	(1		)	(3		)		(52		)		(77		)		—
Issues	—			—				—				—				(926		)
Settlements	(1		)	—				(46		)		—				955
Transfers into Level 3	—			15				232				8				—
Transfers out of Level 3	—			(19		)		(299		)		(9		)		—
Balance, September 30, 2013	$	2		$	7			$	302			$	1,591			$	(4,459	)
Changes in unrealized gains (losses) included in income relating to assets and liabilities held at September 30, 2013	—			(2		)	⁽¹⁾	(1		)	⁽¹⁾	5			⁽²⁾	(10		)	⁽¹⁾

⁽¹⁾ Included in net investment income in the Consolidated Statements of Operations.

⁽²⁾ Included in other revenues in the Consolidated Statements of Operations.



	Corporate Debt Securities		Common Stocks				Syndicated Loans				Other Assets				Debt
	(in millions)
Balance, January 1, 2012	$	4	$	13			$	342			$	1,108			$	(4,712	)
Total gains (losses) included in:
Net income	—		(1		)	⁽¹⁾	6			⁽¹⁾	(64		)	⁽²⁾	(223		)	⁽¹⁾
Other comprehensive income	—		—				—				20				—
Purchases	—		6				59				254				—
Sales	—		(4		)		(8		)		(160		)		—
Issues	—		—				—				—				—
Settlements	—		—				(84		)		—				244
Transfers into Level 3	—		14				186				—				—
Transfers out of Level 3	—		(15		)		(318		)		—				—
Balance, September 30, 2012	$	4	$	13			$	183			$	1,158			$	(4,691	)
Changes in unrealized losses included in income relating to assets and liabilities held at September 30, 2012	$	—	$	—			$	—			$	(86	)	⁽²⁾	$	(221	)	⁽¹⁾

⁽¹⁾ Included in net investment income in the Consolidated Statements of Operations.

⁽²⁾ Included in other revenues in the Consolidated Statements of Operations.

Significant unobservable inputs used in the fair value measurements of assets and liabilities held by consolidated investment entities

The following tables provide a summary of the significant unobservable inputs used in the fair value measurements developed by the Company or reasonably available to the Company of Level 3 assets and liabilities held by consolidated investment entities:



	September 30, 2013
	Fair Value		Valuation Technique	Unobservable Input	Range				Weighted Average
	(in millions)
Other assets	$	1,591	Discounted cash flow/ market comparables	Equivalent yield	3.5	%	–	12.5%	7.6	%
				Expected rental value (per square foot)	$5		–	$308	$29

Debt	$	4,459	Discounted cash flow	Annual default rate	2.5	%	–	2.5%	2.5	%
				Discount rate	1.5	%	–	9.3%	2.8	%
				Constant prepayment rate	5.0	%	–	10.0%	9.7	%
				Loss recovery	36.4	%	–	63.6%	62.5	%



	December 31, 2012
	Fair Value		Valuation Technique	Unobservable Input	Range				Weighted Average
	(in millions)
Other assets	$	1,214	Discounted cash flow/ market comparables	Equivalent yield	4.1	%	–	12.9%	7.2	%
				Expected rental value (per square foot)	$4		–	$309	$32

Debt	$	4,450	Discounted cash flow	Annual default rate	2.5	%	–	4.5%	2.5	%
				Discount rate	1.6	%	–	30.0%	2.9	%
				Constant prepayment rate	5.0	%	–	10.0%	9.6	%
				Loss recovery	36.4	%	–	63.6%	62.0	%

Schedule of debt of the consolidated investment entities and the stated interest rates

Debt of the consolidated investment entities and the stated interest rates were as follows:



	Carrying Value				Weighted Average Interest Rate
	September 30, 2013		December 31, 2012		September 30, 2013		December 31, 2012
	(in millions)
Debt of consolidated CDOs due 2016-2025	$	4,459	$	4,450	1.0	%	0.9	%
Floating rate revolving credit borrowings due 2014	302		309		2.6		2.6
Floating rate revolving credit borrowings due 2015	95		104		2.4		2.4
Floating rate revolving credit borrowings due 2017	118		118		4.5		4.5
Floating rate revolving credit borrowings due 2018	268		—		3.5		—
Total	$	5,242	$	4,981

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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