Ameriprise 2014 Annual Report Download - page 140

See Note 14 for a description of the Company’s determination of the fair value of corporate debt securities,
U.S. government and agencies obligations, common stocks and other investments.
Receivables
For receivables of the consolidated CLOs, the carrying value approximates fair value as the nature of these assets has
historically been short term and the receivables have been collectible. The fair value of these receivables is classified as
Level 2.
Other Assets
Other assets consist primarily of real estate held in property funds managed by Threadneedle. The fair value of these
properties is calculated by a third party appraisal service by discounting future cash flows generated by the expected
market rental value for the property using the equivalent yield of a similar investment property. Inputs used in determining
the equivalent yield and expected rental value of the property may include: rental cash flows, current occupancy, historical
vacancy rates, tenant history and assumptions regarding how quickly the property can be occupied and at what rental
rates. Management reviews the valuation report and assumptions used to ensure that the valuation was performed in
accordance with applicable independence, appraisal and valuation standards. Given the significance of the unobservable
inputs to these measurements, these assets are classified as Level 3.
The CLOs hold an immaterial amount of warrants recorded in other assets. Loans within the CLOs may default and go
through a restructuring that can result in the CLO receiving warrants for the issuer’s equity securities. Warrants are
classified as Level 2 when the price is derived from observable market data. Warrants from an issuer whose securities are
not priced in active markets are classified as Level 3.
Liabilities
Debt
The fair value of the CLOs’ debt is determined using a discounted cash flow model. Inputs used to determine the expected
cash flows include assumptions about default, discount, prepayment and recovery rates of the CLOs’ underlying assets.
Given the significance of the unobservable inputs to this fair value measurement, the fair value of the CLOs’ debt is
classified as Level 3.
Other Liabilities
Other liabilities consist primarily of securities purchased but not yet settled held by consolidated CLOs. The carrying value
approximates fair value as the nature of these liabilities has historically been short term. The fair value of these liabilities is
classified as Level 2.
Fair Value Option
The Company has elected the fair value option for the financial assets and liabilities of the consolidated CLOs.
Management believes that the use of the fair value option better matches the changes in fair value of assets and liabilities
related to the CLOs.
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,
2014 2013
(in millions)
Syndicated loans
Unpaid principal balance $ 5,871 $ 4,628
Excess unpaid principal over fair value (100) (56)
Fair value $ 5,771 $ 4,572
Fair value of loans more than 90 days past due $ 32 $ 23
Fair value of loans in nonaccrual status 32 23
Difference between fair value and unpaid principal of loans more than 90 days past due, loans in nonaccrual
status or both 25 33
Debt
Unpaid principal balance $ 6,248 $ 5,032
Excess unpaid principal over fair value (218) (228)
Fair value $ 6,030 $ 4,804
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