Ameriprise 2006 Annual Report Download - page 80

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The following table presents the components of the change in
net unrealized securities gains (losses), net of tax, included in
other comprehensive income:
Years Ended December 31,
2006 2005 2004
(in millions)
Net unrealized securities gains
(losses) at January 1 $ (129) $ 425 $ 502
Holding gains (losses), net of tax of
$54, $303 and $12, respectively (101) (562) 22
Reclassification of realized gains,
net of tax of $17, $18 and
$15, respectively (33) (34) (27)
DAC, DSIC and annuity liabilities, net of
tax of $41, $30 and $30, respectively 76 55 (56)
Net realized securities losses related
to discontinued operations, net of tax
of nil, $7 and $9, respectively —(13) (16)
Net unrealized securities gains (losses)
at December 31 $ (187) $ (129) $ 425
Available-for-Sale securities by maturity at December 31, 2006
were as follows:
Amortized Fair
Cost Value
(in millions)
Due within one year $ 820 $ 822
Due after one year through five years 8,031 7,978
Due after five years through 10 years 7,711 7,545
Due after 10 years 2,023 2,099
18,585 18,444
Mortgage and other asset-backed securities 12,524 12,330
Structured investments 46 46
Common and preferred stocks 53 60
Total $ 31,208 $ 30,880
The expected payments on mortgage and other asset-backed
securities and structured investments may not coincide with
their contractual maturities. As such, these securities, as well
as common and preferred stocks, were not included in the
maturities distribution.
Net realized gains and losses on Available-for-Sale securities, deter-
mined using the specific identification method, were as follows:
Years Ended December 31,
2006 2005 2004
(in millions)
Gross realized gains from sales $66 $ 137 $ 65
Gross realized losses from sales (14) (64) (21)
Other-than-temporary impairments (2) (21) (2)
The $2 million of other-than-temporary impairments in 2006
related to a corporate bond held in the consolidated CDO. The
$21 million of other-than-temporary impairments in 2005 primarily
related to corporate debt securities within the auto industry which
were downgraded in 2005 and subsequently deteriorated through-
out the year in terms of their fair value to amortized cost ratio.
The $2 million of other-than-temporary impairments in 2004
related to four issuers within corporate debt securities.
The consolidated CDO included corporate debt securities with
a fair value at December 31, 2006 and 2005 of $160 million
and $214 million, respectively. The debt securities are largely
high-yield bonds and, although they are in the Available-for-Sale
category, they are not available for the general use of the
Company as they are for the benefit of CDO debt holders.
As of December 31, 2004, the Company held retained interests
in a nonconsolidated CDO securitization to which it transferred
a majority of its rated CDO securities. The retained interests
had a carrying value of $705 million, of which $523 million was
considered investment grade. The Company sold all of its
retained interests in the CDO securitization during 2005
generating a $36 million net gain.
Commercial Mortgage Loans on Real Estate, Net
The following is a summary of commercial mortgage loans on
real estate:
December 31,
2006 2005
(in millions)
Commercial mortgage loans on real estate $ 3,096 $ 3,190
Less: allowance for loan losses (40) (44)
Commercial mortgage loans on
real estate, net $ 3,056 $ 3,146
Commercial mortgage loans are first mortgages on real estate.
The Company holds the mortgage documents, which gives it the
right to take possession of the property if the borrower fails to
perform according to the terms of the agreements.
At December 31, 2006 and 2005, the Company’s recorded
investment in impaired commercial mortgage loans on real
estate was nil and $14 million, respectively, with related
allowances for loan losses of nil and $4 million, respectively.
During 2006 and 2005, the average recorded investment in
impaired commercial mortgage loans on real estate was
$3 million and $8 million, respectively. For the years ended
December 31, 2006, 2005 and 2004, the Company recognized
interest income related to impaired commercial mortgage loans
on real estate of nil, nil and $1 million, respectively.
78 Ameriprise Financial, Inc. 2006 Annual Report