Ameriprise 2010 Annual Report Download - page 130

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The following table presents the fair value and unpaid principal balance of assets and liabilities carried at fair value under
the fair value option as of December 31, 2010:
(in millions)
Syndicated loans
Unpaid principal balance $ 5,107
Excess unpaid principal over fair value (240)
Fair value $ 4,867
Fair value of loans more than 90 days past due $71
Fair value of loans in non-accrual status $71
Difference between fair value and unpaid principal of loans more than 90 days past due, loans in non-accrual status or
both $62
Debt
Unpaid principal balance $ 5,893
Excess unpaid principal over fair value (722)
Carrying value at estimated fair value $ 5,171
Interest income from syndicated loans, bonds and structured investments is recorded based on contractual rates in net
investment income. Gains and losses related to changes in the fair value of investments and gains and losses on sales of
investments are recorded in net investment income. Interest expense on debt is recorded in interest and debt expense
with gains and losses related to changes in the fair value of debt recorded in net investment income.
Total net gains recognized in net investment income related to changes in the fair value of financial assets and liabilities
for which the fair value option was elected were $58 million for the year ended December 31, 2010. The majority of the
syndicated loans and debt have floating rates; as such, changes in their fair values are primarily attributable to changes in
credit spreads.
Debt of the consolidated investment entities and the stated interest rates as of December 31, 2010 were as follows:
Carrying Value Stated Interest Rate
(in millions)
Debt of consolidated CDOs due 2012-2021 $ 5,171 1.0%
Floating rate revolving credit borrowings due 2014 191 5.9
Floating rate revolving credit borrowings due 2014 138 5.1
Floating rate revolving credit borrowings due 2015 28 5.0
Floating rate revolving credit borrowings due 2015 7 6.0
Total $ 5,535
The debt of the consolidated CDOs has both fixed and floating interest rates. The stated interest rate of the debt of
consolidated CDOs is a weighted average rate based on the principal and stated interest rate according to the terms of
each CDO structure, which range from 0% to 14.1%. The carrying value of the debt of the consolidated CDOs represents
the fair value of the aggregate debt as of December 31, 2010. The carrying value of the floating rate revolving credit
borrowings represents the outstanding principal amount of debt of certain consolidated pooled investment vehicles
managed by Threadneedle. The fair value of this debt was $364 million as of December 31, 2010.
At December 31, 2010, future maturities of debt were as follows:
(in millions)
2011 $—
2012 10
2013 94
2014 329
2015 379
Thereafter 5,445
Total future maturities $ 6,257
114