Ameriprise 2015 Annual Report Download - page 138

The following tables provide a summary of the significant unobservable inputs used in the fair value measurements
developed by the Company or reasonably available to the Company of Level 3 assets and liabilities held by consolidated
investment entities:
December 31, 2015
Fair Value Valuation Technique Unobservable Input Range Weighted Average
(in millions)
Other assets $ 2,060 Discounted cash flow/ Equivalent yield 2.6% - 11.5% 5.8%
(property funds) market comparables
Expected rental value (per $3 - $159 $ 51
square foot)
CLO debt $ 6,630 Discounted cash flow Annual default rate 2.5%
Discount rate 2.0% - 11.8% 3.4%
Constant prepayment rate 5.0% - 10.0% 9.9%
Loss recovery 36.4% - 63.6% 62.9%
December 31, 2014
Fair Value Valuation Technique Unobservable Input Range Weighted Average
(in millions)
Other assets $ 1,935 Discounted cash flow/ Equivalent yield 4.4% - 12.0% 6.5%
(property funds) market comparables
Expected rental value (per $3 - $94 $ 34
square foot)
CLO debt $ 6,030 Discounted cash flow Annual default rate 2.5%
Discount rate 1.2% - 8.3% 2.4%
Constant prepayment rate 5.0% - 10.0% 9.8%
Loss recovery 36.4% - 63.6% 62.7%
Level 3 measurements not included in the tables above are obtained from non-binding broker quotes where unobservable
inputs are not reasonably available to the Company.
Sensitivity of Fair Value Measurements to Changes in Unobservable Inputs
Generally, a significant increase (decrease) in the expected rental value used in the fair value measurement of properties
held by property funds in isolation would result in a significantly higher (lower) fair value measurement and a significant
increase (decrease) in the equivalent yield in isolation would result in a significantly lower (higher) fair value measurement.
Generally, a significant increase (decrease) in the annual default rate and discount rate used in the fair value
measurement of the CLO’s debt in isolation would result in a significantly lower (higher) fair value measurement and a
significant increase (decrease) in loss recovery in isolation would result in a significantly higher (lower) fair value
measurement. A significant increase (decrease) in the constant prepayment rate in isolation would result in a significantly
higher (lower) fair value measurement.
Determination of Fair Value
Assets
Investments
The fair value of syndicated loans obtained from third party pricing services with multiple non-binding broker quotes as the
underlying valuation source is classified as Level 2. The fair value of syndicated loans obtained from third party pricing
services with a single non-binding broker quote as the underlying valuation source is classified as Level 3. The underlying
inputs used in non-binding broker quotes are not readily available to the Company.
In consideration of the above, management is responsible for the fair values recorded on the financial statements. Prices
received from third party pricing services are subjected to exception reporting that identifies loans with significant daily
price movements as well as no movements. The Company reviews the exception reporting and resolves the exceptions
through reaffirmation of the price or recording an appropriate fair value estimate. The Company also performs subsequent
transaction testing. The Company performs annual due diligence of the third party pricing services. The Company’s due
diligence procedures include assessing the vendor’s valuation qualifications, control environment, analysis of asset-class
specific valuation methodologies and understanding of sources of market observable assumptions and unobservable
assumptions, if any, employed in the valuation methodology. The Company also considers the results of its exception
reporting controls and any resulting price challenges that arise.
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.
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