Ameriprise 2015 Annual Report Download - page 167

See Note 15 for additional information regarding the estimated fair value of the Company’s freestanding derivatives after
considering the effect of master netting arrangements and collateral.
The Company uses derivatives as economic hedges and accounting hedges. The following table presents the notional value
and gross fair value of derivative instruments, including embedded derivatives:
December 31, 2015 December 31, 2014
Gross Fair Value Gross Fair Value
Notional Assets(1) Liabilities(2)(3) Notional Assets(1) Liabilities(2)(3)
(in millions)
Derivatives designated as hedging
instruments
Interest rate contracts $ 675 $ 58 $ — $ 1,025 $ 76 $ —
Total qualifying hedges 675 58 — 1,025 76 —
Derivatives not designated as hedging
instruments
Interest rate contracts 63,798 1,882 969 61,849 1,955 1,136
Equity contracts 70,238 1,587 1,993 69,805 2,039 2,702
Credit contracts 600 2 — 616 — —
Foreign exchange contracts 4,408 56 18 2,029 30 3
Other contracts 3,760 2 96 2,744 1 114
Total non-designated hedges 142,804 3,529 3,076 137,043 4,025 3,955
Embedded derivatives
GMWB and GMAB(4) N/A — 851 N/A — 479
IUL N/A — 364 N/A — 242
EIA N/A — 5 N/A — 6
SMC N/A — 4 N/A — 6
Total embedded derivatives N/A — 1,224 N/A — 733
Total derivatives $ 143,479 $ 3,587 $ 4,300 $ 138,068 $ 4,101 $ 4,688
N/A Not applicable.
(1) The fair value of freestanding derivative assets is included in Other assets on the Consolidated Balance Sheets.
(2) The fair value of freestanding derivative liabilities is included in Other liabilities on the Consolidated Balance Sheets. The fair value of
GMWB and GMAB, IUL, and EIA embedded derivatives is included in Policyholder account balances, future policy benefits and claims
on the Consolidated Balance Sheets. The fair value of the SMC embedded derivative liability is included in Customer deposits on the
Consolidated Balance Sheets.
(3) The fair value of the Company’s derivative liabilities after considering the effects of master netting arrangements, cash collateral held
by the same counterparty and the fair value of net embedded derivatives was $1.6 billion and $1.5 billion at December 31, 2015
and 2014, respectively. See Note 15 for additional information related to master netting arrangements and cash collateral. See
Note 4 for information about derivatives held by consolidated VIEs.
(4) The fair value of the GMWB and GMAB embedded derivatives at December 31, 2015 included $994 million of individual contracts in
a liability position and $143 million of individual contracts in an asset position. 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.
See Note 14 for additional information regarding the Company’s fair value measurement of derivative instruments.
At December 31, 2015 and 2014, investment securities with a fair value of $323 million and $435 million, respectively,
were received as collateral to meet contractual obligations under derivative contracts, of which $193 million and
$151 million, respectively, may be sold, pledged or rehypothecated by the Company. At December 31, 2015 and 2014,
the Company had not sold, pledged or rehypothecated any securities that were accepted as collateral. In addition, at
December 31, 2015 and 2014, non-cash collateral accepted was held in separate custodial accounts and was not
included in the Company’s Consolidated Balance Sheets.
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