Ameriprise 2008 Annual Report Download - page 125

In evaluating potential other-than-temporary impairments, the Company considers the extent to which amortized cost
exceeds fair value and the duration of that difference. The following tables summarize the unrealized losses by ratio of fair
value to amortized cost:
December 31, 2008
Less than 12 months 12 months or more Total
Gross Gross Gross
Ratio of Fair Value Number of Fair Unrealized Number of Fair Unrealized Number of Fair Unrealized
to Amortized Cost Securities Value Losses Securities Value Losses Securities Value Losses
(in millions, except number of securities)
95% - 100% 328 $ 4,717 $ (100) 105 $ 1,392 $ (30) 433 $ 6,109 $ (130)
90% - 95% 169 1,980 (152) 64 1,117 (96) 233 3,097 (248)
80% - 90% 162 974 (156) 124 1,624 (297) 286 2,598 (453)
Less than 80% 108 648 (300) 281 1,758 (961) 389 2,406 (1,261)
Total 767 $ 8,319 $ (708) 574 $ 5,891 $ (1,384) 1,341 $ 14,210 $ (2,092)
December 31, 2007
Less than 12 months 12 months or more Total
Gross Gross Gross
Ratio of Fair Value Number of Fair Unrealized Number of Fair Unrealized Number of Fair Unrealized
to Amortized Cost Securities Value Losses Securities Value Losses Securities Value Losses
(in millions, except number of securities)
95% - 100% 316 $ 2,774 $ (39) 719 $ 12,682 $ (208) 1,035 $ 15,456 $ (247)
90% - 95% 89 732 (57) 54 849 (60) 143 1,581 (117)
80% - 90% 11 216 (32) 33 490 (70) 44 706 (102)
Less than 80% 2 9 (6) 12 97 (37) 14 106 (43)
Total 418 $ 3,731 $ (134) 818 $ 14,118 $ (375) 1,236 $ 17,849 $ (509)
As part of the Company’s ongoing monitoring process, management determined that a majority of the gross unrealized losses
on its Available-for-Sale securities are attributable to changes in interest rates and credit spreads across sectors. The primary
driver of increased unrealized losses during 2008 was the widening of credit spreads across sectors. A majority of the
unrealized losses for the year ended December 31, 2008 related to corporate debt securities and mortgage backed and asset
backed securities. From an overall perspective, the gross unrealized losses were not concentrated in any individual industries
or with any individual securities. The securities with a fair value to amortized cost ratio of 80-90% primarily related to the
banking, communications, energy, and utility industries. The total gross unrealized loss related to the banking industry was
$91 million. The securities with a fair value to amortized cost ratio of less than 80% primarily related to the consumer cyclical,
communications, real estate investment trusts, consumer non-cyclical, financial, and basic industries. The total gross
unrealized losses related to the consumer cyclical industry were $129 million. The largest unrealized loss associated with an
individual issuer, excluding GNMA, FNMA and FHLMC mortgage backed securities, was $41 million. The securities related to
this issuer have a fair value to amortized cost ratio of 54% and have been in an unrealized loss position for more than
12 months. The Company believes that it will collect all principal and interest due on all investments that have amortized cost
in excess of fair value. In addition, the Company has the ability and intent to hold these securities until anticipated recovery
which may not be until maturity.
The Company regularly reviews Available-for-Sale securities for impairments in value considered to be other-than-temporary.
See Note 2 for additional information regarding the Company’s evaluation of potential other-than-temporary impairments.
The Company’s total mortgage and asset backed exposure at December 31, 2008 was $8.9 billion, which included
$5.2 billion of residential mortgage backed securities and $2.7 billion of commercial mortgage backed securities. At
December 31, 2008, residential mortgage backed securities included $4.0 billion of agency-backed securities, $0.7 billion of
Alt-A securities and $0.5 billion of prime, non-agency securities. With respect to the Alt-A securities, the majority are rated
AAA. None of the structures are levered, and the majority of the AAA-rated holdings are ‘‘super senior’’ bonds, meaning they
have more collateral support or credit enhancement than required to receive a AAA rating. The prime, non-agency securities
are a seasoned portfolio, almost entirely 2005 and earlier production, with the vast majority AAA-rated. With regard to asset
backed securities, the Company’s exposure at December 31, 2008 was $1.0 billion, which included $0.2 billion of securities
backed by subprime collateral. These securities are predominantly AAA-rated bonds backed by seasoned, traditional, first lien
collateral. Holdings include both floating rate and short-duration, fixed securities. The Company has no other structured or
hedge fund investments with exposure to subprime residential mortgages.
The change in net unrealized securities gains (losses) in other comprehensive income (loss) 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
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