Ameriprise 2009 Annual Report Download - page 90

The following table presents, as of December 31, 2009, our non-agency residential mortgage backed and asset backed securities backed by
sub-prime, Alt-A or prime mortgage loans by credit rating and vintage year:
AAA AA A BBB BB & Below Total
Amortized Fair Amortized Fair Amortized Fair Amortized Fair Amortized Fair Amortized Fair
Cost Value Cost Value Cost Value Cost Value Cost Value Cost Value
(in millions)
Sub-prime
2003 & prior $ 2 $ 1 $ — $ — $ — $ — $ — $ — $ — $ — $ 2 $ 1
2004 14 14 7 2 7 7 — — 10 6 38 29
2005 55 53 51 46 17 17 9 8 18 11 150 135
2006 — — 9 8 6 6 19 18 53 34 87 66
2007 — — — — 6 6 — — 6 1 12 7
2008 — — 7 6 — — — — — — 7 6
Re-Remic(1) 42 42 — — — — 19 19 — — 61 61
Total Sub-prime $ 113 $ 110 $ 74 $ 62 $ 36 $ 36 $ 47 $ 45 $ 87 $ 52 $ 357 $ 305
Alt-A
2003 & prior $ 21 $ 21 $ — $ — $ — $ — $ — $ — $ — $ — $ 21 $ 21
2004 13 12 62 54 26 19 11 5 17 8 129 98
2005 5 3 59 36 32 17 13 8 258 169 367 233
2006 — — 3 3 — — — — 187 123 190 126
2007 — — — — — — — — 221 120 221 120
2008 — — — — — — — — — — — —
Total Alt-A $ 39 $ 36 $ 124 $ 93 $ 58 $ 36 $ 24 $ 13 $ 683 $420 $ 928 $ 598
Prime
2003 & prior $ 282 $ 273 $ — $ — $ — $ — $ — $ — $ — $ — $ 282 $ 273
2004 52 52 46 39 34 31 19 16 19 8 170 146
2005 17 19 59 59 80 78 72 58 136 79 364 293
2006 21 22 — — 6 2 35 34 4 3 66 61
2007 43 44 — — — — — — 15 11 58 55
2008 — — — — — — — — — — — —
Re-Remic(1) 2,443 2,534 — — — — — — — — 2,443 2,534
Total Prime $2,858 $ 2,944 $ 105 $ 98 $ 120 $ 111 $ 126 $ 108 $ 174 $ 101 $3,383 $ 3,362
Grand Total $3,010 $3,090 $ 303 $ 253 $ 214 $ 183 $ 197 $ 166 $ 944 $ 573 $4,668 $ 4,265
(1) Re-Remics of mortgage backed securities are prior vintages with cash flows structured into senior and subordinated bonds. Credit enhancement on
senior bonds is increased through the Re-Remic process. Total exposure to subordinate tranches was nil as of December 31, 2009.
Fair Value of Liabilities and Nonperformance Risk
Companies are required to measure the fair value of liabilities at the price that would be received to transfer the liability to a market
participant (an exit price). Since there is not a market for our obligations of our variable annuity riders, we consider the assumptions
participants in a hypothetical market would make to reflect an exit price. As a result, we adjust the valuation of variable annuity riders by
updating certain contractholder assumptions, adding explicit margins to provide for profit, risk and expenses, and adjusting the rates
used to discount expected cash flows to reflect a current market estimate of our nonperformance risk. The nonperformance risk
adjustment is based on broker quotes for credit default swaps that are adjusted to estimate the risk of our life insurance company
subsidiaries not fulfilling these liabilities. Consistent with general market conditions, this estimate resulted in a spread over the LIBOR
swap curve as of December 31, 2009. As our estimate of this spread widens or tightens, the liability will decrease or increase. If this
nonperformance credit spread moves to a zero spread over the LIBOR swap curve, the reduction to net income would be approximately
$28 million, net of DAC and DSIC amortization and income taxes, based on December 31, 2009 credit spreads.
ANNUAL REPORT 2009 75