Ameriprise 2012 Annual Report Download - page 135

Corporate Other
Debt Common Structured Other
Securities Stocks Investments Assets Debt
(in millions)
Balance, January 1, 2010 $ — $ — $ — $ 831 $ —
Cumulative effect of accounting change 15 — 5 — (4,962)
Total gains (losses) included in:
Net income — 4(1) 1(1) 67(2) (339)(1)
Other comprehensive income — — — (35) —
Purchases, sales, issues and settlements, net (9) — 12 24 130
Transfers into Level 3 — 7 4 — —
Balance, December 31, 2010 $ 6 $ 11 $ 22 $ 887 $ (5,171)
Changes in unrealized gains (losses) included in income relating to
assets and liabilities held at December 31, 2010 $ — $ 4(1) $1
(1) $40 (3) $ (339)(1)
(1) Included in net investment income in the Consolidated Statements of Operations.
(2) Represents a $69 million gain included in other revenues and a $2 million loss included in net investment income in the
Consolidated Statements of Operations.
(3) Represents a $42 million gain included in other revenues and a $2 million loss included in net investment income in the
Consolidated Statements of Operations.
Securities and loans transferred from Level 2 to Level 3 represent assets with fair values that are now based on a single
non-binding broker quote. Securities and loans transferred from Level 3 to Level 2 represent assets with fair values that
are now obtained from a third party pricing service with observable inputs. During the years ended December 31, 2012,
2011 and 2010, there were no transfers between Level 1 and Level 2.
The following table provides a summary of the significant unobservable inputs used in the fair value measurements
developed by the Company or reasonably available to the Company of Level 3 assets and liabilities held by consolidated
investment entities at December 31, 2012:
Fair Value Valuation Technique Unobservable Input Range (Weighted Average)
(in millions)
Other assets $ 1,214 Discounted cash flow/market Equivalent yield 4.1% - 12.9% (7.2%)
comparables Expected rental value $4 - $309 ($32)
(per square foot)
Debt $ 4,450 Discounted cash flow Annual default rate 2.5% - 4.5% (2.5%)
Discount rate 1.6% - 30.0% (1.8%)
Constant prepayment rate 5.0% - 10.0% (9.6%)
Loss recovery 36.4% - 63.6% (62.0%)
Level 3 measurements not included in the table above are obtained from non-binding broker quotes where unobservable
inputs are not reasonably available to the Company.
Sensitivity of Fair Value Measurements to Changes in Unobservable Inputs
Generally, a significant increase (decrease) in the expected rental value used in the fair value measurement of properties
held by consolidated investment entities in isolation would result in a significantly higher (lower) fair value measurement
and a significant increase (decrease) in the equivalent yield in isolation would result in a significantly lower (higher) fair
value measurement.
Generally, a significant increase (decrease) in the annual default rate and discount rate used in the fair value
measurement of the CDO’s debt in isolation would result in a significantly lower (higher) fair value measurement and a
significant increase (decrease) in loss recovery in isolation would result in a significantly higher (lower) fair value
measurement. A significant increase (decrease) in the constant prepayment rate in isolation would result in a significantly
higher (lower) fair value measurement.
Determination of Fair Value
Assets
Investments
The fair value of syndicated loans obtained from third party pricing services with multiple non-binding broker quotes as the
underlying valuation source is classified as Level 2. The fair value of syndicated loans obtained from third party pricing
services with a single non-binding broker quote as the underlying valuation source is classified as Level 3. The underlying
inputs used in non-binding broker quotes are not readily available to the Company.
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