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Given the current credit market turmoil, I ran a screen for Ameriprise Financial's (AMP) CDO/MBS/CMO balance sheet exposure.

Basic Stats of AMP:

  • Price: $55.72
  • Shares Out: 231.89m
  • Market Cap: 12.89B
  • Short Interest: 3.49m

Here are a few excerpts from the 10K that caught my eye:

1. Some of our investments are relatively illiquid

We invest a portion of our owned assets in certain privately placed fixed income securities, mortgage loans, policy loans, limited partnership interests, collateralized debt obligations and restricted investments held by securitization trusts, among others, all of which are relatively illiquid. These asset classes represented 14% of the carrying value of our investment portfolio as of December 31, 2006. If we require significant amounts of cash on short notice in excess of our normal cash requirements, we may have difficulty selling these investments in a timely manner, or be forced to sell them for an amount less than we would otherwise have been able to realize, or both, which could have an adverse effect on our financial condition and results of operations.

2. Management of Collateralized Debt Obligations ("CDOs")

We provide collateral management services to special purpose vehicles that issue CDOs through a dedicated team of investment professionals located in Los Angeles and Minneapolis. CDOs are securities collateralized by a pool of assets, usually primarily syndicated bank loans and, to a lesser extent, high yield bonds. Multiple tranches of securities are issued by a CDO, offering investors various maturity and credit risk characteristics. Scheduled payments to investors are based on the performance of the CDO's collateral pool. For collateral management of CDOs, we earn fees based on managed assets and, in certain instances, may also receive performance-based fees. At December 31, 2006, we managed $7.6 billion of assets related to CDOs.

3. Available-for-Sale investments

Our Available-for-Sale investments primarily include corporate debt securities and mortgage and other asset-backed securities, which had fair values of $16.8 billion and $12.3 billion, respectively, at December 31, 2006 compared to $18.6 billion and $13.9 billion, respectively, at December 31, 2005. Our Available-for-Sale corporate debt securities comprise a diverse portfolio, with the largest concentrations of the portfolio in the following industries: 34% in banking and finance, 21% in utilities and 13% in media. Investments also included $3.1 billion of commercial mortgage loans on real estate as of both December 31, 2006 and 2005. At December 31, 2006 and 2005, 69% and 70%, respectively, of our Available-for-Sale investment portfolio was rated A or better, while 7% of our Available-for-Sale investment portfolio was below investment grade at both dates.

4. 10K Investment section shows the following:

  • Total Investments = $35,553
  • Available For Sale Securities($30,880) is a large part of Total Investments.
  • Commercial Mortgage loans on Real estate represents $3,056 of Total Investments
  • Major chunks of Available-for-Sale securities were as follows:
  • Corporate Debt Securities: 17,026
  • Mortgage and other Asset backed securities: 12,524

Now, holding these types of instruments on the books itself does not make a company a short; but given the current economic situation, this does not look too great a book of securities to me. AMP has broken its 200DMA support line and the short interest is relatively low.

Disclosure: Author has a short position in AMP

Source: Shorting Ameriprise Financial in Light of Current Economic Situation