Investments

9 Months Ended

Sep. 30, 2012

Investments.

Investments

4.  Investments

The following is a summary of Ameriprise Financial investments:

	September 30, 2012		December 31, 2011
	(in millions)
Available-for-Sale securities, at fair value	$	34,425	$	34,505
Commercial mortgage loans, net	2,541		2,589
Policy and certificate loans	752		742
Other investments	984		939
Total	$	38,702	$	38,775

The following is a summary of net investment income:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
	(in millions)
Investment income on fixed maturities	$	433		$	498		$	1,324		$	1,425
Net realized gains (losses)	(68		)	(2		)	(75		)	5
Affordable housing partnerships	(5		)	(9		)	(17		)	(24		)
Other	24			23			80			73
Consolidated investment entities	43			(65		)	118			(21		)
Total net investment income	$	427		$	445		$	1,430		$	1,458

Available-for-Sale securities distributed by type were as follows:

	September 30, 2012
Description of Securities	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value		Noncredit OTTI (1)
	(in millions)
Corporate debt securities	$	16,552	$	2,250	$	(15	)	$	18,787	$	—
Residential mortgage backed securities	6,746		321		(127		)	6,940		(67		)
Commercial mortgage backed securities	3,933		337		—			4,270		—
Asset backed securities	1,834		88		(18		)	1,904		(1		)
State and municipal obligations	2,022		246		(39		)	2,229		—
U.S. government and agencies obligations	52		9		—			61		—
Foreign government bonds and obligations	188		35		—			223		—
Common stocks	6		5		—			11		—
Total	$	31,333	$	3,291	$	(199	)	$	34,425	$	(68	)

	December 31, 2011
Description of Securities	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value		Noncredit OTTI (1)
	(in millions)
Corporate debt securities	$	16,380	$	1,741	$	(81	)	$	18,040	$	—
Residential mortgage backed securities	7,440		287		(331		)	7,396		(139		)
Commercial mortgage backed securities	4,430		291		(2		)	4,719		—
Asset backed securities	1,968		61		(44		)	1,985		(15		)
State and municipal obligations	2,026		162		(58		)	2,130		—
U.S. government and agencies obligations	61		10		—			71		—
Foreign government bonds and obligations	126		19		(1		)	144		—
Common stocks	5		4		—			9		—
Other debt obligations	11		—		—			11		—
Total	$	32,447	$	2,575	$	(517	)	$	34,505	$	(154	)

(1) Represents the amount of other-than-temporary impairment (“OTTI”) losses in accumulated other comprehensive income. Amount includes unrealized gains and losses on impaired securities subsequent to the initial impairment measurement date. These amounts are included in gross unrealized gains and losses as of the end of the period.

At both September 30, 2012 and December 31, 2011, fixed maturity securities comprised approximately 89% of Ameriprise Financial investments. Rating agency designations are based on the availability of ratings from Nationally Recognized Statistical Rating Organizations (“NRSROs”), including Moody’s Investors Service (“Moody’s”), Standard & Poor’s Ratings Services (“S&P”) and Fitch Ratings Ltd. (“Fitch”). The Company uses the median of available ratings from Moody’s, S&P and Fitch, or, if fewer than three ratings are available, the lower rating is used. When ratings from Moody’s, S&P and Fitch are unavailable, the Company may utilize ratings from other NRSROs or rate the securities internally. At September 30, 2012 and December 31, 2011, the Company’s internal analysts rated $1.5 billion and $1.2 billion, respectively, of securities, using criteria similar to those used by NRSROs. A summary of fixed maturity securities by rating was as follows:

	September 30, 2012						December 31, 2011
Ratings	Amortized Cost		Fair Value		Percent of Total Fair Value		Amortized Cost		Fair Value		Percent of Total Fair Value
	(in millions, except percentages)
AAA	$	10,410	$	11,093	32	%	$	11,510	$	12,105	35	%
AA	1,704		1,915		6		1,942		2,087		6
A	5,551		6,200		18		5,012		5,442		16
BBB	11,826		13,469		39		11,818		13,050		38
Below investment grade	1,836		1,737		5		2,160		1,812		5
Total fixed maturities	$	31,327	$	34,414	100	%	$	32,442	$	34,496	100	%

At September 30, 2012 and December 31, 2011, approximately 40% and 36%, respectively, of the securities rated AAA were GNMA, FNMA and FHLMC mortgage backed securities. No holdings of any other issuer were greater than 10% of total equity.

The following tables provide information about Available-for-Sale securities with gross unrealized losses and the length of time that individual securities have been in a continuous unrealized loss position:

	September 30, 2012
	Less than 12 months						12 months or more						Total
	Number of	Fair		Unrealized			Number of	Fair		Unrealized			Number of	Fair		Unrealized
Description of Securities	Securities	Value		Losses			Securities	Value		Losses			Securities	Value		Losses
	(in millions, except number of securities)
Corporate debt securities	28	$	339	$	(3	)	11	$	231	$	(12	)	39	$	570	$	(15	)
Residential mortgage backed securities	16	206		(2		)	128	690		(125		)	144	896		(127		)
Asset backed securities	6	44		—			25	153		(18		)	31	197		(18		)
State and municipal obligations	2	1		—			10	114		(39		)	12	115		(39		)
Total	52	$	590	$	(5	)	174	$	1,188	$	(194	)	226	$	1,778	$	(199	)

	December 31, 2011
	Less than 12 months						12 months or more						Total
	Number of	Fair		Unrealized			Number of	Fair		Unrealized			Number of	Fair		Unrealized
Description of Securities	Securities	Value		Losses			Securities	Value		Losses			Securities	Value		Losses
	(in millions, except number of securities)
Corporate debt securities	124	$	1,647	$	(40	)	10	$	259	$	(41	)	134	$	1,906	$	(81	)
Residential mortgage backed securities	105	1,269		(33		)	141	717		(298		)	246	1,986		(331		)
Commercial mortgage backed securities	14	182		(2		)	5	29		—			19	211		(2		)
Asset backed securities	49	543		(11		)	33	155		(33		)	82	698		(44		)
State and municipal obligations	—	—		—			53	229		(58		)	53	229		(58		)
Foreign government bonds and obligations	6	28		(1		)	—	—		—			6	28		(1		)
Total	298	$	3,669	$	(87	)	242	$	1,389	$	(430	)	540	$	5,058	$	(517	)

As part of Ameriprise Financial’s ongoing monitoring process, management determined that a majority of the gross unrealized losses on its Available-for-Sale securities are attributable to movement in credit spreads. The following table presents a rollforward of the cumulative amounts recognized in the Consolidated Statements of Operations for other-than-temporary impairments related to credit losses on securities for which a portion of the securities’ total other-than-temporary impairments was recognized in other comprehensive income:

	Three Months Ended September 30,					Nine Months Ended September 30,
	2012			2011		2012			2011
	(in millions)
Beginning balance	$	294		$	299	$	303		$	297
Credit losses for which an other-than-temporary impairment was not previously recognized	1			1		2			14
Credit losses for which an other-than-temporary impairment was previously recognized	12			4		25			9
Reductions for securities sold during the period (realized)	(125		)	—		(148		)	(16		)
Ending balance	$	182		$	304	$	182		$	304

The change in net unrealized securities gains (losses) in other comprehensive income includes three components, net of tax: (i) unrealized gains (losses) that arose from changes in the market value of securities that were held during the period; (ii) (gains) losses that were previously unrealized, but have been recognized in current period net income due to sales of Available-for-Sale securities and due to the reclassification of noncredit other-than-temporary impairment losses to credit losses; and (iii) other items primarily consisting of adjustments in asset and liability balances, such as DAC, DSIC, benefit reserves and reinsurance recoverables, to reflect the expected impact on their carrying values had the unrealized gains (losses) been realized as of the respective balance sheet dates.

The following table presents a rollforward of the net unrealized securities gains on Available-for-Sale securities included in accumulated other comprehensive income:

							Accumulated Other
	Net Unrealized						Comprehensive Income
	Securities			Deferred			Related to Net Unrealized
	Gains			Income Tax			Securities Gains
	(in millions)
Balance at January 1, 2011	$	946		$	(331	)	$	615
Cumulative effect of accounting change	131			(46		)	85		(1)
Net unrealized securities gains arising during the period (2)	518			(178		)	340
Reclassification of net securities losses included in net income	2			(1		)	1
Impact of DAC, DSIC, benefit reserves and reinsurance recoverables	(335		)	117			(218		)
Balance at September 30, 2011	$	1,262		$	(439	)	$	823	(3)
Balance at January 1, 2012	$	1,358		$	(475	)	$	883	(1)
Net unrealized securities gains arising during the period (2)	959			(344		)	615
Reclassification of net securities losses included in net income	75			(26		)	49
Impact of DAC, DSIC, benefit reserves and reinsurance recoverables	(268		)	94			(174		)
Balance at September 30, 2012	$	2,124		$	(751	)	$	1,373	(3)

(1)	The Company retrospectively adopted a new accounting standard on January 1, 2012 for DAC. See Note 1 and Note 2 for additional information on the adoption impact.
(2)	Includes other-than-temporary impairment losses on Available-for-Sale securities related to factors other than credit that were recognized in other comprehensive income during the period.
(3)	Includes $27 million and $71 million of noncredit related impairments on securities and net unrealized securities losses on previously impaired securities at September 30, 2012 and 2011, respectively.

Net realized gains and losses on Available-for-Sale securities, determined using the specific identification method, recognized in earnings were as follows:

	Three Months Ended September 30,						Nine Months Ended September 30,
	2012			2011			2012			2011
	(in millions)
Gross realized gains	$	11		$	—		$	19		$	39
Gross realized losses	(64		)	—			(65		)	(18		)
Other-than-temporary impairments	(15		)	(5		)	(29		)	(23		)
Total	$	(68	)	$	(5	)	$	(75	)	$	(2	)

Other-than-temporary impairments for the three months and nine months ended September 30, 2012 and 2011 primarily related to credit losses on non-agency residential mortgage backed securities. The majority of the gross realized losses for the third quarter of 2012 were from the sale of securities associated with the Ameriprise Bank transition.

Available-for-Sale securities by contractual maturity at September 30, 2012 were as follows:

	Amortized Cost		Fair Value
	(in millions)
Due within one year	$	1,495	$	1,521
Due after one year through five years	5,904		6,245
Due after five years through 10 years	6,781		7,799
Due after 10 years	4,634		5,735
	18,814		21,300
Residential mortgage backed securities	6,746		6,940
Commercial mortgage backed securities	3,933		4,270
Asset backed securities	1,834		1,904
Common stocks	6		11
Total	$	31,333	$	34,425

Actual maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations. Residential mortgage backed securities, commercial mortgage backed securities and asset backed securities are not due at a single maturity date. As such, these securities, as well as common stocks, were not included in the maturities distribution.