Ameriprise 2014 Annual Report Download - page 169
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The Company uses derivatives as economic hedges and accounting hedges. The following table presents the balance sheet
location and the gross fair value of derivative instruments, including embedded derivatives:
Assets Liabilities
December 31, December 31,
Derivatives designated as Balance Sheet Balance Sheet
hedging instruments Location 2014 2013 Location 2014 2013
(in millions) (in millions)
Fair value hedges
Fixed rate debt Other assets $ 76 $ 82 Other liabilities $ — $ —
Total qualifying hedges 76 82 — —
Derivatives not designated
as hedging instruments
GMWB and GMAB
Interest rate contracts Other assets 1,955 1,484 Other liabilities 1,136 1,672
Equity contracts Other assets 1,954 1,741 Other liabilities 2,650 2,918
Credit contracts Other assets — 3 Other liabilities — —
Foreign exchange contracts Other assets 29 2 Other liabilities 2 —
Embedded derivatives(1) N/A — — Policyholder account 479 (575)
balances, future
policy benefits and
claims(2)
Total GMWB and GMAB 3,938 3,230 4,267 4,015
Other derivatives:
Equity
EIA embedded derivatives N/A — — Policyholder account 6 5
balances, future
policy benefits and
claims
IUL Other assets 39 27 Other liabilities 12 13
IUL embedded derivatives N/A — — Policyholder account 242 125
balances, future
policy benefits and
claims
Stock market certificates Other assets 46 73 Other liabilities 40 66
Stock market certificates
embedded derivatives N/A — — Customer deposits 6 7
Foreign exchange
Foreign currency Other assets 1 2 Other liabilities — —
Seed money Other assets — — Other liabilities 1 —
Other
Macro hedge program Other assets 1 4 Other liabilities 114 139
Total other derivatives 87 106 421 355
Total non-designated hedges 4,025 3,336 4,688 4,370
Total derivatives $ 4,101 $ 3,418 $ 4,688 $ 4,370
N/A Not applicable.
(1) The fair values of GMWB and GMAB embedded derivatives fluctuate based on changes in equity, interest rate and credit markets.
(2) The fair value of the GMWB and GMAB embedded derivatives at December 31, 2014 included $700 million of individual contracts in
a liability position and $221 million of individual contracts in an asset position. The fair value of the GMWB and GMAB embedded
derivatives was a net asset at December 31, 2013 reported as a contra liability, including $742 million of individual contracts in an
asset position and $167 million of individual contracts in a liability position.
See Note 14 for additional information regarding the Company’s fair value measurement of derivative instruments.
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