Consolidated Investment Entities (Tables)

6 Months Ended

Jun. 30, 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:



	June 30, 2014
	Level 1		Level 2		Level 3			Total
	(in millions)
Assets
Cash equivalents	$	44	$	1,615	$	—		$	1,659
Available-for-Sale securities:
Corporate debt securities	—		15,846		1,565			17,411
Residential mortgage backed securities	—		5,944		214			6,158
Commercial mortgage backed securities	—		2,753		15			2,768
Asset backed securities	—		1,321		185			1,506
State and municipal obligations	—		2,317		—			2,317
U.S. government and agencies obligations	12		35		—			47
Foreign government bonds and obligations	—		258		—			258
Common stocks	6		9		6			21
Total Available-for-Sale securities	18		28,483		1,985			30,486
Trading securities	52		31		1			84
Separate account assets	—		84,027		—			84,027
Other assets:
Interest rate derivative contracts	—		1,670		—			1,670
Equity derivative contracts	298		1,432		—			1,730
Credit derivative contracts	—		—		—			—
Foreign exchange contracts	2		3		—			5
Other derivative contracts	—		—		1			1
Total other assets	300		3,105		1			3,406
Total assets at fair value	$	414	$	117,261	$	1,987		$	119,662
Liabilities
Policyholder account balances, future policy benefits and claims:
EIA embedded derivatives	$	—	$	5	$	—		$	5
IUL embedded derivatives	—		—		184			184
GMWB and GMAB embedded derivatives	—		—		(347		)	(347		)	⁽²⁾
Total policyholder account balances, future policy benefits and claims	—		5		(163		)	(158		)	⁽¹⁾
Customer deposits	—		6		—			6
Other liabilities:
Interest rate derivative contracts	—		1,306		—			1,306
Equity derivative contracts	464		2,363		—			2,827
Foreign exchange contracts	1		—		—			1
Other derivative contracts	—		141		—			141
Other	—		10		—			10
Total other liabilities	465		3,820		—			4,285
Total liabilities at fair value	$	465	$	3,831	$	(163	)	$	4,133

⁽¹⁾ The Company’s adjustment for nonperformance risk resulted in a $162 million cumulative increase to the embedded derivatives.

⁽²⁾The fair value of the GMWB and GMAB embedded derivatives was a net asset at June 30, 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	—		1,566		—			1,566
Equity derivative contracts	265		1,576		—			1,841
Credit derivative contracts	—		3		—			3
Foreign exchange contracts	2		2		—			4
Other derivative contracts	—		4		—			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	—		1,672		—			1,672
Equity derivative contracts	550		2,447		—			2,997
Other derivative contracts	—		139		—			139
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:



	June 30, 2014			December 31, 2013
	(in millions)
Syndicated loans
Unpaid principal balance	$	5,277		$	4,628
Excess unpaid principal over fair value	(39		)	(56		)
Fair value	$	5,238		$	4,572
Fair value of loans more than 90 days past due	$	35		$	23
Fair value of loans in nonaccrual status	35			23
Difference between fair value and unpaid principal of loans more than 90 days past due, loans in nonaccrual status or both	21			33
Debt
Unpaid principal balance	$	5,724		$	5,032
Excess unpaid principal over fair value	(213		)	(228		)
Fair value	$	5,511		$	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
	June 30, 2014			December 31, 2013			June 30, 2014		December 31, 2013
	(in millions)
Long-term debt:
Senior notes due 2015	$	363	⁽¹⁾	$	366	⁽¹⁾	5.7	%	5.7	%
Senior notes due 2019	329		⁽¹⁾	327		⁽¹⁾	7.3		7.3
Senior notes due 2020	787		⁽¹⁾	783		⁽¹⁾	5.3		5.3
Senior notes due 2023	750			750			4.0		4.0
Senior notes due 2039	—			200			—		7.8
Junior subordinated notes due 2066	294			294			7.5		7.5
Total long-term debt	2,523			2,720

Short-term borrowings:
Federal Home Loan Bank (“FHLB”) advances	150			450			0.3		0.3
Repurchase agreements	50			50			0.3		0.3
Total short-term borrowings	200			500
Total	$	2,723		$	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:



	June 30, 2014
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Investments:
Corporate debt securities	$	—	$	154	$	—	$	154
Common stocks	144		47		7		198
Other investments	4		32		—		36
Syndicated loans	—		4,811		427		5,238
Total investments	148		5,044		434		5,626
Receivables	—		84		—		84
Other assets	—		1		2,389		2,390
Total assets at fair value	$	148	$	5,129	$	2,823	$	8,100
Liabilities
Debt	$	—	$	—	$	5,511	$	5,511
Other liabilities	—		457		—		457
Total liabilities at fair value	$	—	$	457	$	5,511	$	5,968



	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, April 1, 2014	$	13		$	10		$	384			$	1,993			$	(5,225	)
Total gains (losses) included in:
Net income	—			—			2			⁽¹⁾	106			⁽²⁾	(15		)	⁽¹⁾
Other comprehensive income	—			—			—				52				—
Purchases	—			—			142				240				—
Sales	(7		)	(2		)	(27		)		(2		)		—
Issues	—			—			—				—				(608		)
Settlements	—			—			(26		)		—				337
Transfers into Level 3	—			5			98				—				—
Transfers out of Level 3	(6		)	(6		)	(146		)		—				—
Balance, June 30, 2014	$	—		$	7		$	427			$	2,389			$	(5,511	)
Changes in unrealized gains included in income relating to assets and liabilities held at June 30, 2014	$	—		$	—		$	1		⁽¹⁾	$	108		⁽²⁾	$	19		⁽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, April 1, 2013	$	3		$	8			$	205			$	1,176			$	(4,595	)
Total gains (losses) included in:
Net income	—			1			⁽¹⁾	1			⁽¹⁾	8			⁽²⁾	(61		)	⁽¹⁾
Other comprehensive loss	—			—				—				3				—
Purchases	1			—				117				144				—
Sales	(1		)	(3		)		(26		)		(17		)		—
Issues	—			—				—				—				(518		)
Settlements	—			—				(20		)		—				497
Transfers into Level 3	—			13				76				8				—
Transfers out of Level 3	—			(3		)		(61		)		—				—
Balance, June 30, 2013	$	3		$	16			$	292			$	1,322			$	(4,677	)
Changes in unrealized gains (losses) included in income relating to assets and liabilities held at June 30, 2013	$	—		$	(1	)	⁽¹⁾	$	—			$	12		⁽²⁾	$	(34	)	⁽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, 2014	$	2			$	14			$	368			$	1,936			$	(4,804	)
Total gains (losses) included in:
Net income	1			⁽¹⁾	2			⁽¹⁾	6			⁽¹⁾	186			⁽²⁾	(25		)	⁽¹⁾
Other comprehensive income	—				—				—				67				—
Purchases	2				—				238				259				—
Sales	(9		)		(2		)		(27		)		(70		)		—
Issues	—				—				—				—				(1,064		)
Settlements	—				—				(38		)		—				382
Transfers into Level 3	10				11				244				11				—
Transfers out of Level 3	(6		)		(18		)		(364		)		—				—
Balance, June 30, 2014	$	—			$	7			$	427			$	2,389			$	(5,511	)
Changes in unrealized gains included in income relating to assets and liabilities held at June 30, 2014	$	—			$	1		⁽¹⁾	$	2		⁽¹⁾	$	186		⁽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 gains (losses) included in:
Net income	—			1			⁽¹⁾	1			⁽¹⁾	2			⁽²⁾	(88		)	⁽¹⁾
Other comprehensive loss	—			—				—				(74		)		—
Purchases	1			—				193				195				—
Sales	(1		)	(3		)		(44		)		(23		)		—
Issues	—			—				—				—				(926		)
Settlements	—			—				(33		)		—				787
Transfers into Level 3	—			15				127				8				—
Transfers out of Level 3	—			(11		)		(154		)		—				—
Balance, June 30, 2013	$	3		$	16			$	292			$	1,322			$	(4,677	)
Changes in unrealized gains (losses) included in income relating to assets and liabilities held at June 30, 2013	$	—		$	(1	)	⁽¹⁾	$	1		⁽¹⁾	$	7		⁽²⁾	$	(59	)	⁽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:



	June 30, 2014
	Fair Value		Valuation Technique	Unobservable Input	Range				Weighted Average
	(in millions)
Other assets	$	2,378	Discounted cash flow/ market comparables	Equivalent yield	3.7	%	–	12.5%	6.8	%
				Expected rental value (per square foot)	$3		–	$108	$35
Debt	$	5,511	Discounted cash flow	Annual default rate	2.5%
				Discount rate	1.3	%	–	7.0%	2.5	%
				Constant prepayment rate	5.0	%	–	10.0%	9.8	%
				Loss recovery	36.4	%	–	63.6%	62.7	%



	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)⁽¹⁾	$3		–	$165	$27
Debt	$	4,804	Discounted cash flow	Annual default rate	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
	June 30, 2014		December 31, 2013		June 30, 2014		December 31, 2013
	(in millions)
Debt of consolidated CDOs due 2016-2026	$	5,511	$	4,804	1.2	%	1.0	%
Floating rate revolving credit borrowings due 2014	347		305		2.3		2.6
Floating rate revolving credit borrowings due 2015	105		97		2.4		2.4
Floating rate revolving credit borrowings due 2017	123		120		4.6		4.5
Floating rate revolving credit borrowings due 2018	428		377		2.7		3.5
Floating rate revolving credit borrowings due 2019	158		33		3.3		3.0
Total	$	6,672	$	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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