|
Derivatives and Hedging Activities (Tables)
|
12 Months Ended |
|
Dec. 31, 2012
|
| Derivatives and Hedging Activities |
|
| Schedule of estimated fair value of the Company's freestanding derivatives after considering the effect of master netting arrangements and collateral |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2012 |
|
December 31, 2011 |
|
|
|
Net Derivative
Assets |
|
Net Derivative
Liabilities |
|
Net Derivative
Assets |
|
Net Derivative
Liabilities |
|
|
|
(in millions)
|
|
|
Fair value of OTC derivatives after application of master netting agreements |
|
$ |
822 |
|
$ |
604 |
|
$ |
1,025 |
|
$ |
142 |
|
|
Cash collateral on OTC derivatives |
|
|
(428 |
) |
|
(67 |
) |
|
(767 |
) |
|
(34 |
) |
| |
|
|
|
|
|
|
|
|
|
|
Fair value of OTC derivatives after application of master netting agreements and cash collateral |
|
|
394 |
|
|
537 |
|
|
258 |
|
|
108 |
|
|
Securities collateral on OTC derivatives |
|
|
(355 |
) |
|
(531 |
) |
|
(186 |
) |
|
(95 |
) |
| |
|
|
|
|
|
|
|
|
|
|
Fair value of OTC derivatives after application of master netting agreements and cash and securities collateral |
|
|
39 |
|
|
6 |
|
|
72 |
|
|
13 |
|
|
Fair value of exchange-traded derivatives |
|
|
96 |
|
|
— |
|
|
155 |
|
|
— |
|
| |
|
|
|
|
|
|
|
|
|
|
Total fair value of derivatives after application of master netting agreements and cash and securities collateral |
|
$ |
135 |
|
$ |
6 |
|
$ |
227 |
|
$ |
13 |
|
| |
|
|
|
|
|
|
|
|
|
|
| Schedule of derivative liabilities as defined by the rule of guidance by FSOC |
|
|
|
|
|
|
|
|
|
|
December 31, |
|
|
|
2012 |
|
2011 |
|
|
|
(in millions)
|
|
|
Fair value of OTC derivative liabilities after application of master netting agreements and cash collateral |
|
$ |
537 |
|
$ |
108 |
|
|
Fair value of embedded derivative liabilities |
|
|
888 |
|
|
1,596 |
|
|
Fair value of CIE derivative liabilities |
|
|
17 |
|
|
20 |
|
| |
|
|
|
|
|
|
Fair value of derivative liabilities after application of master netting agreements and cash collateral |
|
$ |
1,442 |
|
$ |
1,724 |
|
| |
|
|
|
|
|
|
| Schedule of gross fair value of derivative instruments, including embedded derivatives |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset |
|
|
|
Liability |
|
|
|
|
|
December 31, |
|
|
|
December 31, |
|
|
|
Balance Sheet
Location |
|
Balance Sheet
Location |
|
|
Derivatives designated as
hedging instruments |
|
2012 |
|
2011 |
|
2012 |
|
2011 |
|
|
|
|
|
(in millions)
|
|
|
|
(in millions)
|
|
|
Cash flow hedges |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest on debt |
|
Other assets |
|
$ |
— |
|
$ |
— |
|
Other liabilities |
|
$ |
— |
|
$ |
11 |
|
|
Fair value hedges |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed rate debt |
|
Other assets |
|
|
167 |
|
|
157 |
|
Other liabilities |
|
|
— |
|
|
— |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total qualifying hedges |
|
|
|
|
167 |
|
|
157 |
|
|
|
|
— |
|
|
11 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives not designated
as hedging instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
GMWB and GMAB |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate contracts |
|
Other assets |
|
|
2,191 |
|
|
1,801 |
|
Other liabilities |
|
|
1,486 |
|
|
1,198 |
|
|
Equity contracts |
|
Other assets |
|
|
1,215 |
|
|
1,314 |
|
Other liabilities |
|
|
1,792 |
|
|
1,031 |
|
|
Credit contracts |
|
Other assets |
|
|
— |
|
|
1 |
|
Other liabilities |
|
|
— |
|
|
— |
|
|
Foreign currency contracts |
|
Other assets |
|
|
6 |
|
|
7 |
|
Other liabilities |
|
|
— |
|
|
10 |
|
|
Embedded derivatives(1) |
|
N/A |
|
|
— |
|
|
— |
|
Future policy benefits and claims |
|
|
833 |
|
|
1,585 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total GMWB and GMAB |
|
|
|
|
3,412 |
|
|
3,123 |
|
|
|
|
4,111 |
|
|
3,824 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other derivatives: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EIA embedded derivatives |
|
N/A |
|
|
— |
|
|
— |
|
Future policy benefits and claims |
|
|
2 |
|
|
2 |
|
|
IUL |
|
Other assets |
|
|
6 |
|
|
1 |
|
Other liabilities |
|
|
1 |
|
|
— |
|
|
IUL embedded derivatives |
|
N/A |
|
|
— |
|
|
— |
|
Future policy benefits and claims |
|
|
45 |
|
|
3 |
|
|
Stock market certificates |
|
Other assets |
|
|
37 |
|
|
34 |
|
Other liabilities |
|
|
30 |
|
|
29 |
|
|
Stock market certificates embedded derivatives |
|
N/A |
|
|
— |
|
|
— |
|
Customer deposits |
|
|
8 |
|
|
6 |
|
|
Ameriprise Financial |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Franchise Advisor Deferred |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Compensation Plan |
|
Other assets |
|
|
— |
|
|
2 |
|
Other liabilities |
|
|
— |
|
|
— |
|
|
Seed money |
|
Other assets |
|
|
— |
|
|
— |
|
Other liabilities |
|
|
— |
|
|
1 |
|
|
Foreign exchange |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency |
|
Other assets |
|
|
— |
|
|
— |
|
Other liabilities |
|
|
1 |
|
|
3 |
|
|
Commodity |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Seed money |
|
Other assets |
|
|
1 |
|
|
2 |
|
Other liabilities |
|
|
— |
|
|
— |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total other |
|
|
|
|
44 |
|
|
39 |
|
|
|
|
87 |
|
|
44 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total non-designated hedges |
|
|
|
|
3,456 |
|
|
3,162 |
|
|
|
|
4,198 |
|
|
3,868 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total derivatives |
|
|
|
$ |
3,623 |
|
$ |
3,319 |
|
|
|
$ |
4,198 |
|
$ |
3,879 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
N/A Not applicable.
- (1)
- The fair values of GMWB and GMAB embedded derivatives fluctuate based on changes in equity, interest rate and credit markets.
|
| Schedule of payments to make and receive for options |
|
|
|
|
|
|
|
|
|
|
Premiums Payable |
|
Premiums Receivable |
|
|
|
(in millions)
|
|
|
2013 |
|
$ |
373 |
|
$ |
57 |
|
|
2014 |
|
|
348 |
|
|
55 |
|
|
2015 |
|
|
320 |
|
|
54 |
|
|
2016 |
|
|
289 |
|
|
46 |
|
|
2017 |
|
|
238 |
|
|
41 |
|
|
2018-2027 |
|
|
785 |
|
|
104 |
|
|
| Summary of unrealized derivatives gains (losses) included in accumulated other comprehensive income related to cash flow hedges |
|
|
|
|
|
|
|
|
|
|
|
|
|
2012 |
|
2011 |
|
2010 |
|
|
|
(in millions)
|
|
|
Net unrealized derivatives gains (losses) at January 1 |
|
$ |
(11 |
) |
$ |
18 |
|
$ |
3 |
|
|
Holding gains (losses) |
|
|
14 |
|
|
(10 |
) |
|
36 |
|
|
Reclassification of realized gains |
|
|
(1 |
) |
|
(34 |
) |
|
(13 |
) |
|
Income tax benefit (provision) |
|
|
(4 |
) |
|
15 |
|
|
(8 |
) |
| |
|
|
|
|
|
|
|
|
Net unrealized derivatives gains (losses) at December 31 |
|
$ |
(2 |
) |
$ |
(11 |
) |
$ |
18 |
|
| |
|
|
|
|
|
|
|
|
|
Not Designated as Hedges
|
|
| Derivative instruments |
|
| Schedule of gain (loss) on derivative instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amount of Gain (Loss) on
Derivatives Recognized in Income |
|
|
|
Location of Gain (Loss) on
Derivatives Recognized in Income |
|
|
Derivatives not designated as hedging
instruments |
|
2012 |
|
2011 |
|
2010 |
|
|
|
|
|
(in millions)
|
|
|
GMWB and GMAB |
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate contracts |
|
Benefits, claims, losses and settlement expenses |
|
$ |
17 |
|
$ |
709 |
|
$ |
95 |
|
|
Equity contracts |
|
Benefits, claims, losses and settlement expenses |
|
|
(1,218 |
) |
|
326 |
|
|
(370 |
) |
|
Credit contracts |
|
Benefits, claims, losses and settlement expenses |
|
|
(2 |
) |
|
(12 |
) |
|
(44 |
) |
|
Foreign currency contracts |
|
Benefits, claims, losses and settlement expenses |
|
|
(1 |
) |
|
(2 |
) |
|
— |
|
|
Embedded derivatives(1) |
|
Benefits, claims, losses and settlement expenses |
|
|
752 |
|
|
(1,165 |
) |
|
(121 |
) |
| |
|
|
|
|
|
|
|
|
|
|
Total GMWB and GMAB |
|
|
|
|
(452 |
) |
|
(144 |
) |
|
(440 |
) |
| |
|
|
|
|
|
|
|
|
|
|
Other derivatives: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate |
|
|
|
|
|
|
|
|
|
|
|
|
|
Bank assets |
|
Net investment income |
|
|
(7 |
) |
|
— |
|
|
— |
|
|
Tax hedge |
|
Net investment income |
|
|
1 |
|
|
— |
|
|
— |
|
|
Interest rate lock commitments |
|
Other revenues |
|
|
— |
|
|
(1 |
) |
|
— |
|
|
Equity |
|
|
|
|
|
|
|
|
|
|
|
|
|
GMDB |
|
Benefits, claims, losses and settlement expenses |
|
|
— |
|
|
— |
|
|
(4 |
) |
|
IUL |
|
Interest credited to fixed accounts |
|
|
1 |
|
|
1 |
|
|
— |
|
|
IUL embedded derivatives |
|
Interest credited to fixed accounts |
|
|
(4 |
) |
|
(3 |
) |
|
— |
|
|
EIA |
|
Interest credited to fixed accounts |
|
|
1 |
|
|
(1 |
) |
|
2 |
|
|
EIA embedded derivatives |
|
Interest credited to fixed accounts |
|
|
1 |
|
|
1 |
|
|
7 |
|
|
Stock market certificates |
|
Banking and deposit interest expense |
|
|
6 |
|
|
1 |
|
|
9 |
|
|
Stock market certificates embedded derivatives |
|
Banking and deposit interest expense |
|
|
(5 |
) |
|
— |
|
|
(10 |
) |
|
Seed money |
|
Net investment income |
|
|
(6 |
) |
|
4 |
|
|
(5 |
) |
|
Ameriprise Financial |
|
|
|
|
|
|
|
|
|
|
|
|
|
Franchise Advisor Deferred |
|
|
|
|
|
|
|
|
|
|
|
|
|
Compensation Plan |
|
Distribution expenses |
|
|
5 |
|
|
(4 |
) |
|
9 |
|
|
Foreign exchange |
|
|
|
|
|
|
|
|
|
|
|
|
|
Seed money |
|
General and administrative expense |
|
|
— |
|
|
(1 |
) |
|
1 |
|
|
Foreign currency |
|
Net investment income |
|
|
— |
|
|
(3 |
) |
|
(1 |
) |
|
Commodity |
|
|
|
|
|
|
|
|
|
|
|
|
|
Seed money |
|
Net investment income |
|
|
— |
|
|
1 |
|
|
— |
|
| |
|
|
|
|
|
|
|
|
|
|
Total other |
|
|
|
|
(7 |
) |
|
(5 |
) |
|
8 |
|
| |
|
|
|
|
|
|
|
|
|
|
Total derivatives |
|
|
|
$ |
(459 |
) |
$ |
(149 |
) |
$ |
(432 |
) |
| |
|
|
|
|
|
|
|
|
|
- (1)
- The fair values of GMWB and GMAB embedded derivatives fluctuate based on changes in equity, interest rate and credit markets.
|
|
Cash flow hedges
|
|
| Derivative instruments |
|
| Schedule of gain (loss) on derivative instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
Amount of Gain (Loss) Recognized in Other
Comprehensive Income on Derivatives |
|
Derivatives designated as hedging
instruments |
|
| |
2012 |
|
2011 |
|
2010 |
|
|
|
(in millions)
|
|
|
Interest on debt |
|
$ |
14 |
|
$ |
(11 |
) |
$ |
16 |
|
|
Asset-based distribution fees |
|
|
— |
|
|
1 |
|
|
20 |
|
| |
|
|
|
|
|
|
|
|
Total |
|
$ |
14 |
|
$ |
(10 |
) |
$ |
36 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amount of Gain (Loss) Reclassified from
Accumulated Other Comprehensive
Income into Income |
|
Location of Gain (Loss) Reclassified
from Accumulated Other
Comprehensive Income into Income |
|
| |
2012 |
|
2011 |
|
2010 |
|
|
|
(in millions)
|
|
|
Distribution fees |
|
$ |
— |
|
$ |
9 |
|
$ |
11 |
|
|
Net investment income |
|
|
(6 |
) |
|
(6 |
) |
|
(6 |
) |
|
Other revenues |
|
|
3 |
|
|
27 |
|
|
— |
|
|
Interest and debt expense |
|
|
4 |
|
|
4 |
|
|
8 |
|
| |
|
|
|
|
|
|
|
|
Total |
|
$ |
1 |
|
$ |
34 |
|
$ |
13 |
|
| |
|
|
|
|
|
|
|
|
|
Fair value hedges
|
|
| Derivative instruments |
|
| Schedule of gain (loss) on derivative instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amount of Gain Recognized
in Income on Derivatives |
|
Derivatives designated as hedging
instruments |
|
Location of Gain Recorded into Income |
|
| |
2012 |
|
2011 |
|
2010 |
|
|
|
|
|
(in millions)
|
|
|
Fixed rate debt |
|
Interest and debt expense |
|
$ |
37 |
|
$ |
41 |
|
$ |
36 |
|
|