Ameriprise 2012 Annual Report Download - page 164

Derivatives Not Designated as Hedges
The following table presents a summary of the impact of derivatives not designated as hedging instruments on the
Consolidated Statements of Operations for the years ended December 31:
Amount of Gain (Loss) on
Derivatives Recognized in Income
Derivatives not designated as hedging Location of Gain (Loss) on
instruments Derivatives Recognized in Income 2012 2011 2010
(in millions)
GMWB and GMAB
Interest rate contracts Benefits, claims, losses and settlement expenses $ 17 $ 709 $ 95
Equity contracts Benefits, claims, losses and settlement expenses (1,218) 326 (370)
Credit contracts Benefits, claims, losses and settlement expenses (2) (12) (44)
Foreign currency contracts Benefits, claims, losses and settlement expenses (1) (2) —
Embedded derivatives(1) Benefits, claims, losses and settlement expenses 752 (1,165) (121)
Total GMWB and GMAB (452) (144) (440)
Other derivatives:
Interest rate
Bank assets Net investment income (7) — —
Tax hedge Net investment income 1 — —
Interest rate lock commitments Other revenues — (1) —
Equity
GMDB Benefits, claims, losses and settlement expenses — — (4)
IUL Interest credited to fixed accounts 1 1 —
IUL embedded derivatives Interest credited to fixed accounts (4) (3) —
EIA Interest credited to fixed accounts 1 (1) 2
EIA embedded derivatives Interest credited to fixed accounts 1 1 7
Stock market certificates Banking and deposit interest expense 6 1 9
Stock market certificates embedded
derivatives Banking and deposit interest expense (5) — (10)
Seed money Net investment income (6) 4 (5)
Ameriprise Financial
Franchise Advisor Deferred
Compensation Plan Distribution expenses 5 (4) 9
Foreign exchange
Seed money General and administrative expense — (1) 1
Foreign currency Net investment income — (3) (1)
Commodity
Seed money Net investment income — 1 —
Total other (7) (5) 8
Total derivatives $ (459) $ (149) $ (432)
(1) The fair values of GMWB and GMAB embedded derivatives fluctuate based on changes in equity, interest rate and credit markets.
The Company holds derivative instruments that either do not qualify or are not designated for hedge accounting treatment.
These derivative instruments are used as economic hedges of equity, interest rate, credit and foreign currency exchange
rate risk related to various products and transactions of the Company.
Certain annuity contracts contain GMWB or GMAB provisions, which guarantee the right to make limited partial withdrawals
each contract year regardless of the volatility inherent in the underlying investments or guarantee a minimum accumulation
value of consideration received at the beginning of the contract period, after a specified holding period, respectively. The
Company economically hedges the exposure related to non-life contingent GMWB and GMAB provisions primarily using
various futures, options, interest rate swaptions, interest rate swaps, total return swaps, variance swaps and credit default
swaps. At December 31, 2012 and 2011, the gross notional amount of derivative contracts for the Company’s GMWB and
GMAB provisions was $142.1 billion and $104.7 billion, respectively.
147