Consolidated Investment Entities (Tables)

3 Months Ended

Mar. 31, 2014

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:



	March 31, 2014
	Level 1		Level 2		Level 3			Total
	(in millions)
Assets
Cash equivalents	$	40	$	1,941	$	—		$	1,981
Available-for-Sale securities:
Corporate debt securities	—		15,898		1,566			17,464
Residential mortgage backed securities	—		6,003		87			6,090
Commercial mortgage backed securities	—		2,706		75			2,781
Asset backed securities	—		1,316		206			1,522
State and municipal obligations	—		2,298		—			2,298
U.S. government and agencies obligations	17		35		—			52
Foreign government bonds and obligations	—		252		—			252
Common stocks	5		8		6			19
Total Available-for-Sale securities	22		28,516		1,940			30,478
Trading securities	2		36		2			40
Separate account assets	—		81,872		—			81,872
Other assets:
Interest rate derivative contracts	—		1,545		—			1,545
Equity derivative contracts	306		1,330		—			1,636
Credit derivative contracts	—		1		—			1
Foreign currency derivative contracts	3		3		—			6
Total other assets	309		2,879		—			3,188
Total assets at fair value	$	373	$	115,244	$	1,942		$	117,559
Liabilities
Policyholder account balances, future policy benefits and claims:
EIA embedded derivatives	$	—	$	5	$	—		$	5
IUL embedded derivatives	—		—		154			154
GMWB and GMAB embedded derivatives	—		—		(471		)	(471		)	⁽²⁾
Total policyholder account balances, future policy benefits and claims	—		5		(317		)	(312		)	⁽¹⁾
Customer deposits	—		6		—			6
Other liabilities:
Interest rate derivative contracts	—		1,442		—			1,442
Equity derivative contracts	552		2,399		—			2,951
Foreign currency derivative contracts	2		—		—			2
Other	—		17		—			17
Total other liabilities	554		3,858		—			4,412
Total liabilities at fair value	$	554	$	3,869	$	(317	)	$	4,106

⁽¹⁾ The Company’s adjustment for nonperformance risk resulted in a $169 million cumulative increase to the embedded derivatives.

⁽²⁾The fair value of the GMWB and GMAB embedded derivatives was a net asset at March 31, 2014 and the amount is reported as a contra liability.



	December 31, 2013
	Level 1		Level 2		Level 3			Total
	(in millions)
Assets
Cash equivalents	$	12	$	1,841	$	—		$	1,853
Available-for-Sale securities:
Corporate debt securities	—		15,826		1,640			17,466
Residential mortgage backed securities	—		5,937		187			6,124
Commercial mortgage backed securities	—		2,711		30			2,741
Asset backed securities	—		1,244		260			1,504
State and municipal obligations	—		2,160		—			2,160
U.S. government and agencies obligations	17		35		—			52
Foreign government bonds and obligations	—		245		—			245
Common stocks	5		7		6			18
Total Available-for-Sale securities	22		28,165		2,123			30,310
Trading securities	3		32		2			37
Separate account assets	—		81,223		—			81,223
Other assets:
Interest rate derivative contracts	—		1,570		—			1,570
Equity derivative contracts	265		1,576		—			1,841
Credit derivative contracts	—		3		—			3
Foreign currency derivative contracts	2		2		—			4
Total other assets	267		3,151		—			3,418
Total assets at fair value	$	304	$	114,412	$	2,125		$	116,841
Liabilities
Policyholder account balances, future policy benefits and claims:
EIA embedded derivatives	$	—	$	5	$	—		$	5
IUL embedded derivatives	—		—		125			125
GMWB and GMAB embedded derivatives	—		—		(575		)	(575		)	⁽²⁾
Total policyholder account balances, future policy benefits and claims	—		5		(450		)	(445		)	⁽¹⁾
Customer deposits	—		7		—			7
Other liabilities:
Interest rate derivative contracts	—		1,693		—			1,693
Equity derivative contracts	550		2,565		—			3,115
Other	—		12		—			12
Total other liabilities	550		4,270		—			4,820
Total liabilities at fair value	$	550	$	4,282	$	(450	)	$	4,382

⁽¹⁾The Company’s adjustment for nonperformance risk resulted in a $150 million cumulative increase to the embedded derivatives.

⁽²⁾The fair value of the GMWB and GMAB embedded derivatives was a net asset at December 31, 2013 and the amount is reported as a contra liability.

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:



	March 31, 2014			December 31, 2013
	(in millions)
Syndicated loans
Unpaid principal balance	$	5,028		$	4,628
Excess unpaid principal over fair value	(49		)	(56		)
Fair value	$	4,979		$	4,572
Fair value of loans more than 90 days past due	$	27		$	23
Fair value of loans in nonaccrual status	27			23
Difference between fair value and unpaid principal of loans more than 90 days past due, loans in nonaccrual status or both	28			33
Debt
Unpaid principal balance	$	5,446		$	5,032
Excess unpaid principal over fair value	(221		)	(228		)
Fair value	$	5,225		$	4,804

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
	March 31, 2014			December 31, 2013			March 31, 2014		December 31, 2013
	(in millions)
Long-term debt:
Senior notes due 2015	$	364	⁽¹⁾	$	366	⁽¹⁾	5.7	%	5.7	%
Senior notes due 2019	327		⁽¹⁾	327		⁽¹⁾	7.3		7.3
Senior notes due 2020	784		⁽¹⁾	783		⁽¹⁾	5.3		5.3
Senior notes due 2023	750			750			4.0		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	2,719			2,720

Short-term borrowings:
Federal Home Loan Bank (“FHLB”) advances	250			450			0.3		0.3
Repurchase agreements	50			50			0.3		0.3
Total short-term borrowings	300			500
Total	$	3,019		$	3,220

⁽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:



	March 31, 2014
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Investments:
Corporate debt securities	$	—	$	152	$	13	$	165
Common stocks	166		40		10		216
Other investments	4		33		—		37
Syndicated loans	—		4,595		384		4,979
Total investments	170		4,820		407		5,397
Receivables	—		36		—		36
Other assets	—		2		1,993		1,995
Total assets at fair value	$	170	$	4,858	$	2,400	$	7,428
Liabilities
Debt	$	—	$	—	$	5,225	$	5,225
Other liabilities	—		238		—		238
Total liabilities at fair value	$	—	$	238	$	5,225	$	5,463



	December 31, 2013
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Investments:
Corporate debt securities	$	—	$	200	$	2	$	202
Common stocks	147		31		14		192
Other investments	3		33		—		36
Syndicated loans	—		4,204		368		4,572
Total investments	150		4,468		384		5,002
Receivables	—		32		—		32
Other assets	—		13		1,936		1,949
Total assets at fair value	$	150	$	4,513	$	2,320	$	6,983
Liabilities
Debt	$	—	$	—	$	4,804	$	4,804
Other liabilities	—		193		—		193
Total liabilities at fair value	$	—	$	193	$	4,804	$	4,997

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)
Balance, January 1, 2014	$	2			$	14			$	368			$	1,936			$	(4,804	)
Total gains (losses) included in:
Net income	1			⁽¹⁾	2			⁽¹⁾	4			⁽¹⁾	80			⁽²⁾	(10		)	⁽¹⁾
Other comprehensive income (loss)	—				—				—				15				—
Purchases	2				—				96				19				—
Sales	(2		)		—				—				(68		)		—
Issues	—				—				—				—				(456		)
Settlements	—				—				(12		)		—				45
Transfers into Level 3	10				6				146				11				—
Transfers out of Level 3	—				(12		)		(218		)		—				—
Balance, March 31, 2014	$	13			$	10			$	384			$	1,993			$	(5,225	)
Changes in unrealized gains (losses) included in income relating to assets and liabilities held at March 31, 2014	$	1		⁽¹⁾	$	2		⁽¹⁾	$	3		⁽¹⁾	$	78		⁽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, 2013	$	3	$	14		$	202		$	1,214			$	(4,450	)
Total losses included in:
Net income	—		—			—			(6		)	⁽²⁾	(24		)	⁽¹⁾
Other comprehensive income (loss)	—		—			—			(77		)		—
Purchases	—		—			76			51				—
Sales	—		—			(18		)	(6		)		—
Issues	—		—			—			—				(410		)
Settlements	—		—			(13		)	—				289
Transfers into Level 3	—		2			51			—				—
Transfers out of Level 3	—		(8		)	(93		)	—				—
Balance, March 31, 2013	$	3	$	8		$	205		$	1,176			$	(4,595	)
Changes in unrealized losses included in income relating to assets and liabilities held at March 31, 2013	$	—	$	—		$	—		$	(5	)	⁽²⁾	$	(24	)	⁽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:



	March 31, 2014
	Fair Value		Valuation Technique	Unobservable Input	Range					Weighted Average
	(in millions)
Other assets	$	1,993	Discounted cash flow/ market comparables	Equivalent yield	4.6	%	–	11.9	%	7.2	%
				Expected rental value (per square foot)	$5		–	$374		$33
Debt	$	5,225	Discounted cash flow	Annual default rate	2.5	%	–	2.5	%	2.5	%
				Discount rate	1.4	%	–	7.5	%	2.6	%
				Constant prepayment rate	5.0	%	–	10.0	%	9.8	%
				Loss recovery	36.4	%	–	63.6	%	62.6	%



	December 31, 2013
	Fair Value		Valuation Technique	Unobservable Input	Range					Weighted Average
	(in millions)
Other assets	$	1,936	Discounted cash flow/ market comparables	Equivalent yield	4.4	%	–	12.4	%	7.4	%
				Expected rental value (per square foot)	$5		–	$373		$33
Debt	$	4,804	Discounted cash flow	Annual default rate	2.5	%	–	2.5	%	2.5	%
				Discount rate	1.5	%	–	8.3	%	2.7	%
				Constant prepayment rate	5.0	%	–	10.0	%	9.8	%
				Loss recovery	36.4	%	–	63.6	%	62.3	%

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
	March 31, 2014		December 31, 2013		March 31, 2014		December 31, 2013
	(in millions)
Debt of consolidated CDOs due 2016-2026	$	5,225	$	4,804	1.1	%	1.0	%
Floating rate revolving credit borrowings due 2014	267		305		2.6		2.6
Floating rate revolving credit borrowings due 2015	98		97		2.4		2.4
Floating rate revolving credit borrowings due 2017	121		120		4.6		4.5
Floating rate revolving credit borrowings due 2018	403		377		3.6		3.5
Floating rate revolving credit borrowings due 2019	33		33		3.0		3.0
Total	$	6,147	$	5,736

- 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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