Ameriprise 2012 Annual Report Download - page 178

December 31, 2011
Asset Category Level 1 Level 2 Level 3 Total
(in millions)
Equity securities:
U.S. large cap stocks $ 75 $ 9 $ — $ 84
U.S. small cap stocks 38 1 — 39
Non-U.S. large cap stocks 14 23 — 37
Emerging markets 10 15 — 25
Debt securities:
U.S. investment grade bonds 17 15 — 32
U.S. high yield bonds — 11 — 11
Non-U.S. investment grade bonds — 16 — 16
Real estate investment trusts — — 11 11
Hedge funds — — 12 12
Pooled pension funds — 80 — 80
Cash equivalents 15 — — 15
Total $ 169 $ 170 $ 23 $ 362
Equity securities are managed to track the performance of common market indices for both U.S. and non-U.S. securities,
primarily across large cap, small cap and emerging market asset classes. Debt securities are managed to track the
performance of common market indices for both U.S. and non-U.S. investment grade bonds as well as a pool of U.S. high
yield bonds. Real estate investment trusts are managed to track the performance of a broad population of investment
grade non-agricultural income producing properties. The Company’s investments in hedge funds include investments in a
multi-strategy fund and an off-shore fund managed to track the performance of broad fund of fund indices. Pooled pension
funds are managed to return 1.5% in excess of a common index of similar pooled pension funds on a rolling three year
basis. Cash equivalents consist of holdings in a money market fund that seeks to equal the return of the three month U.S.
Treasury bill.
The fair value of real estate investment trusts is based primarily on the underlying cash flows of the properties within the
trusts which are significant unobservable inputs and classified as Level 3. The fair value of the hedge funds is based on
the proportionate share of the underlying net assets of the funds, which are significant unobservable inputs and classified
as Level 3. The fair value of pooled pension funds and equity securities held in collective trust funds is based on the fund’s
NAV and classified as Level 2 as they trade in principal-to-principal markets. Equity securities and mutual funds traded in
active markets are classified as Level 1. For debt securities and cash equivalents, the valuation techniques and
classifications are consistent with those used for the Company’s own investments as described in Note 14.
The following table provides a summary of changes in Level 3 assets measured at fair value on a recurring basis:
Real Estate Hedge
Asset Category Investment Trusts Funds
Balance at January 1, 2010 $5 $—
Actual return on plan assets:
Relating to assets still held at the reporting date 1 —
Purchases 29
Balance at December 31, 2010 89
Actual return on plan assets:
Relating to assets still held at the reporting date 1 —
Purchases 211
Sales —(8)
Balance at December 31, 2011 11 12
Actual return on plan assets:
Relating to assets still held at the reporting date — 1
Purchases 15
Balance at December 31, 2012 $12 $18
The Company’s pension plans expect to make benefit payments to retirees as follows:
(in millions)
2013 $53
2014 58
2015 57
2016 58
2017 62
2018-2022 282
161