Ameriprise 2013 Annual Report Download - page 139

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The following table presents the fair value and unpaid principal balance of loans and debt for which the fair value option
has been elected:
December 31,
2013 2012
(in millions)
Syndicated loans
Unpaid principal balance $ 4,628 $ 4,023
Excess unpaid principal over fair value (56) (101)
Fair value $ 4,572 $ 3,922
Fair value of loans more than 90 days past due $ 23 $ 34
Fair value of loans in nonaccrual status 23 34
Difference between fair value and unpaid principal of loans more than 90 days past due, loans in nonaccrual
status or both 33 38
Debt
Unpaid principal balance $ 5,032 $ 4,757
Excess unpaid principal over fair value (228) (307)
Fair value $ 4,804 $ 4,450
Interest income from syndicated loans, bonds and structured investments is recorded based on contractual rates in net
investment income. Gains and losses related to changes in the fair value of investments and gains and losses on sales of
investments are also recorded in net investment income. Interest expense on debt is recorded in interest and debt
expense with gains and losses related to changes in the fair value of debt recorded in net investment income.
Total net gains (losses) recognized in net investment income related to changes in the fair value of financial assets and
liabilities for which the fair value option was elected were $28 million, $(85) million and $(122) million for the years
ended December 31, 2013, 2012 and 2011, respectively. The majority of the syndicated loans and debt have floating
rates; as such, changes in their fair values are primarily attributable to changes in credit spreads.
Debt of the consolidated investment entities and the stated interest rates were as follows:
Carrying Value Weighted Average Interest Rate
December 31, December 31,
2013 2012 2013 2012
(in millions)
Debt of consolidated CDOs due 2016-2025 $ 4,804 $ 4,450 1.0% 0.9%
Floating rate revolving credit borrowings due 2014 305 309 2.6 2.6
Floating rate revolving credit borrowings due 2015 97 104 2.4 2.4
Floating rate revolving credit borrowings due 2017 120 118 4.5 4.5
Floating rate revolving credit borrowings due 2018 377 — 3.5 —
Floating rate revolving credit borrowings due 2019 33 — 3.0 —
Total $ 5,736 $ 4,981
The debt of the consolidated CDOs has both fixed and floating interest rates, which range from 0% to 9.2%. The interest
rates on the debt of CDOs are weighted average rates based on the outstanding principal and contractual interest rates.
The carrying value of the debt of the consolidated CDOs represents the fair value of the aggregate debt. The carrying value
of the floating rate revolving credit borrowings represents the outstanding principal amount of debt of certain consolidated
pooled investment vehicles managed by Threadneedle. The fair value of this debt was $932 million and $531 million as of
December 31, 2013 and 2012, respectively. The consolidated pooled investment vehicles have entered into interest rate
swaps and collars to manage the interest rate exposure on the floating rate revolving credit borrowings. The fair value of
these derivative instruments is recorded gross and was a liability of $5 million and $17 million at December 31, 2013 and
2012, respectively. The overall effective interest rate reflecting the impact of the derivative contracts was 4.2% and 4.8%
as of December 31, 2013 and 2012, respectively.
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