Ameriprise 2012 Annual Report Download - page 163
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The Company uses derivatives as economic hedges and accounting hedges. The following table presents the balance sheet
location and the gross fair value of derivative instruments, including embedded derivatives:
Asset Liability
December 31, December 31,
Derivatives designated as Balance Sheet Balance Sheet
hedging instruments Location 2012 2011 Location 2012 2011
(in millions) (in millions)
Cash flow hedges
Interest on debt Other assets $ — $ — Other liabilities $ — $ 11
Fair value hedges
Fixed rate debt Other assets 167 157 Other liabilities — —
Total qualifying hedges 167 157 — 11
Derivatives not designated
as hedging instruments
GMWB and GMAB
Interest rate contracts Other assets 2,191 1,801 Other liabilities 1,486 1,198
Equity contracts Other assets 1,215 1,314 Other liabilities 1,792 1,031
Credit contracts Other assets — 1 Other liabilities — —
Foreign currency contracts Other assets 6 7 Other liabilities — 10
Embedded derivatives(1) N/A — — Future policy benefits 833 1,585
and claims
Total GMWB and GMAB 3,412 3,123 4,111 3,824
Other derivatives:
Equity
EIA embedded derivatives N/A — — Future policy benefits 2 2
and claims
IUL Other assets 6 1 Other liabilities 1 —
IUL embedded derivatives N/A — — Future policy benefits 45 3
and claims
Stock market certificates Other assets 37 34 Other liabilities 30 29
Stock market certificates embedded
derivatives N/A — — Customer deposits 8 6
Ameriprise Financial
Franchise Advisor Deferred
Compensation Plan Other assets — 2 Other liabilities — —
Seed money Other assets — — Other liabilities — 1
Foreign exchange
Foreign currency Other assets — — Other liabilities 1 3
Commodity
Seed money Other assets 1 2 Other liabilities — —
Total other 44 39 87 44
Total non-designated hedges 3,456 3,162 4,198 3,868
Total derivatives $ 3,623 $ 3,319 $ 4,198 $ 3,879
N/A Not applicable.
(1) The fair values of GMWB and GMAB embedded derivatives fluctuate based on changes in equity, interest rate and credit markets.
See Note 14 for additional information regarding the Company’s fair value measurement of derivative instruments.
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