Ameriprise says most of its nonagency RMBS now re-REMICs

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Related Companies Ameriprise Financial (AMP)

Related Documents 10-Q Ameriprise Financial 9/30/2009, filed on 11/3/2009

Related Issues in Focus Reduce, Reuse, Re-REMIC

Resecuritizations of real estate mortgage investment conduits represented more than half the nonagency residential mortgage-backed securities held by Ameriprise Financial Inc. at the end of the third quarter, the company disclosed in a Form 10-Q filed Nov. 3.

According to Ameriprise, it held $2.48 billion of re-REMICs at Sept. 30, representing 60.5% of its book of nonagency residential mortgage-backed and asset-backed securities backed by subprime, Alt-A or prime mortgage loans.

By fair value, Ameriprise held $4.10 billion of nonagency RMBS at the end of the quarter, including $2.90 billion rated AAA, $258 million rated AA, $196 million rated A, $158 million rated BBB and $590 million rated BB and below.

The subprime re-REMICs included $21 million of AAA-rated securities backed by subprime collateral and $22 million BBB-rated subprime RMBS. The bulk of the re-REMICs consisted of AAA-rated securities backed by prime mortgage collateral, which Ameriprise values at $2.44 billion, or $2.34 billion on an amortized cost basis.

Ameriprise said in its filing that the re-REMICs were "prior vintages with cash flows structured into senior and subordinated bonds."

"Credit enhancement on senior bonds is increased through the Re-Remic process. Total exposure to subordinate tranches was nil as of September 30, 2009," the company said.