Ameriprise 2012 Annual Report Download - page 98

securities. As a part of our risk management process, an internal rating system is used in conjunction with market data as
the basis of analysis to assess the likelihood that we will not receive all contractual principal and interest payments for
these investments. For the investments that are more at risk for impairment, we perform our own assessment of projected
cash flows incorporating assumptions about default rates, prepayment speeds and loss severity to determine if an
other-than-temporary impairment should be recognized.
The following table presents, as of December 31, 2012, our non-agency residential mortgage backed securities backed by
sub-prime, Alt-A or prime mortgage loans by credit rating and vintage year:
AAA AA A BBB BB & Below Total
Amortized Fair Amortized Fair Amortized Fair Amortized Fair Amortized Fair Amortized Fair
Cost Value Cost Value Cost Value Cost Value Cost Value Cost Value
(in millions)
Sub-prime
2003 & prior $ — $ — $ 1 $ 1 $ 6 $ 6 $ — $ — $ — $ — $ 7 $ 7
2004 1 1 5 5 4 4 2 2 12 10 24 22
2005 3 3 21 20 12 12 — — 24 22 60 57
2006 — — — — 2 2 — — — — 2 2
2007 — — — — 1 1 — — 5 — 6 1
2008 — — 5 5 — — — — — — 5 5
2012 8 8 — — — — — — — — 8 8
Re-Remic(1) — ———2211—— 3 3
Total Sub-prime $ 12 $ 12 $ 32 $ 31 $ 27 $ 27 $ 3 $ 3 $ 41 $ 32 $ 115 $ 105
Alt-A
2003 & prior $ — $ — $ — $ — $ 9 $ 10 $ 1 $ 2 $ 2 $ 2 $ 12 $ 14
2004 — — — — 1 1 24 29 68 61 93 91
2005 — — 1 1 1 1 15 15 207 175 224 192
2006 — — — — — — — — 23 19 23 19
2007 — — — — — — — — 52 35 52 35
2010 23 23 — — — — — — — — 23 23
Re-Remic(1) 57 57 9 9 67 67 12 12 — — 145 145
Total Alt-A $ 80 $ 80 $ 10 $ 10 $ 78 $ 79 $ 52 $ 58 $ 352 $ 292 $ 572 $ 519
Prime
2003 & prior $ — $ — $ 16 $ 17 $ 84 $ 85 $ 35 $ 37 $ 4 $ 4 $ 139 $ 143
2004 — — 6 7 12 12 22 23 77 69 117 111
2005 — — 2 3 — — 15 17 189 185 206 205
2006 — — — — 12 13 — — 25 26 37 39
2007 — — — — — — — — 45 46 45 46
Re-Remic(1) 887 944 253 268 462 471 — — 30 37 1,632 1,720
Total Prime $ 887 $ 944 $ 277 $ 295 $ 570 $ 581 $ 72 $ 77 $ 370 $ 367 $ 2,176 $ 2,264
Grand Total $ 979 $ 1,036 $ 319 $ 336 $ 675 $ 687 $ 127 $ 138 $ 763 $ 691 $ 2,863 $ 2,888
(1) Re-Remics of mortgage backed securities are prior vintages with cash flows structured into senior and subordinated bonds. Credit
enhancement has been increased through the Re-Remic process on the securities we own.
European Exposure
The following table presents, as of December 31, 2012, our exposure to European debt by country segregated between
sovereign and non-sovereign (financial and non-financial corporate debt) exposure:
Sovereign Financials Non-Financials Total
% of
Amortized Fair Amortized Fair Amortized Fair Amortized Fair Invested
Cost Value Cost Value Cost Value Cost Value Assets(1)
(in millions)
Greece $ — $ — $ — $ — $ — $ — $ — $ — —
Italy — — — — 131 135 131 135 0.3%
Ireland — — — — 40 40 40 40 0.1
Portugal — — — — — — — — 0.0
Spain — — — — 174 183 174 183 0.5
Subtotal — — — — 345 358 345 358 0.9
Other European exposure 49 58 363 373 1,261 1,357 1,673 1,788 4.6
Total $ 49 $ 58 $ 363 $ 373 $ 1,606 $ 1,715 $ 2,018 $ 2,146 5.5%
(1) Invested assets include cash and cash equivalents and investments.
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