Fair Values of Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 2013

Schedule of assets and liabilities measured at fair value on a recurring basis

The following tables present the balances of assets and liabilities of Ameriprise Financial measured at fair value on a recurring basis:



	September 30, 2013
	Level 1		Level 2		Level 3			Total
	(in millions)
Assets
Cash equivalents	$	19	$	2,375	$	—		$	2,394
Available-for-Sale securities:
Corporate debt securities	—		15,870		1,632			17,502
Residential mortgage backed securities	—		5,655		288			5,943
Commercial mortgage backed securities	—		2,755		15			2,770
Asset backed securities	—		1,222		203			1,425
State and municipal obligations	—		2,123		—			2,123
U.S. government and agencies obligations	17		36		—			53
Foreign government bonds and obligations	—		252		—			252
Common stocks	5		6		5			16
Total Available-for-Sale securities	22		27,919		2,143			30,084
Trading securities	3		23		—			26
Separate account assets	—		77,788		—			77,788
Other assets:
Interest rate derivative contracts	—		1,642		—			1,642
Equity derivative contracts	385		1,133		—			1,518
Foreign currency derivative contracts	1		2		—			3
Total other assets	386		2,777		—			3,163
Total assets at fair value	$	430	$	110,882	$	2,143		$	113,455
Liabilities
Future policy benefits:
EIA embedded derivatives	$	—	$	4	$	—		$	4
IUL embedded derivatives	—		—		96			96
GMWB and GMAB embedded derivatives	—		—		(256		)	(256		)	⁽²⁾
Total future policy benefits	—		4		(160		)	(156		)	⁽¹⁾
Customer deposits	—		7		—			7
Other liabilities:
Interest rate derivative contracts	—		1,554		—			1,554
Equity derivative contracts	333		2,083		—			2,416
Credit derivative contracts	—		6		—			6
Foreign currency derivative contracts	1		—		—			1
Other	—		12		—			12
Total other liabilities	334		3,655		—			3,989
Total liabilities at fair value	$	334	$	3,666	$	(160	)	$	3,840

⁽¹⁾ The Company’s adjustment for nonperformance risk resulted in a $238 million cumulative increase to the embedded derivatives.

⁽²⁾The fair value of the GMWB and GMAB embedded derivatives was a net asset at September 30, 2013 and the amount is reported as a contra liability.



	December 31, 2012
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Cash equivalents	$	18	$	1,539	$	—	$	1,557
Available-for-Sale securities:
Corporate debt securities	—		17,051		1,764		18,815
Residential mortgage backed securities	—		5,145		284		5,429
Commercial mortgage backed securities	—		3,213		206		3,419
Asset backed securities	—		1,097		178		1,275
State and municipal obligations	—		2,239		—		2,239
U.S. government and agencies obligations	19		39		—		58
Foreign government bonds and obligations	—		224		—		224
Common stocks	3		4		6		13
Total Available-for-Sale securities	22		29,012		2,438		31,472
Trading securities	1		24		—		25
Separate account assets	—		72,397		—		72,397
Other assets:
Interest rate derivative contracts	—		2,358		—		2,358
Equity derivative contracts	285		973		—		1,258
Foreign currency derivative contracts	—		6		—		6
Commodity derivative contracts	—		1		—		1
Total other assets	285		3,338		—		3,623
Total assets at fair value	$	326	$	106,310	$	2,438	$	109,074
Liabilities
Future policy benefits:
EIA embedded derivatives	$	—	$	2	$	—	$	2
IUL embedded derivatives	—		—		45		45
GMWB and GMAB embedded derivatives	—		—		833		833
Total future policy benefits	—		2		878		880		⁽¹⁾
Customer deposits	—		8		—		8
Other liabilities:
Interest rate derivative contracts	—		1,486		—		1,486
Equity derivative contracts	258		1,565		—		1,823
Foreign currency derivative contracts	1		—		—		1
Other	1		3		—		4
Total other liabilities	260		3,054		—		3,314
Total liabilities at fair value	$	260	$	3,064	$	878	$	4,202

⁽¹⁾The Company’s adjustment for nonperformance risk resulted in a $398 million cumulative decrease to the embedded derivatives.

Schedule of changes in level 3 assets and liabilities measured at fair value on a recurring basis

The following tables provide a summary of changes in Level 3 assets and liabilities of Ameriprise Financial measured at fair value on a recurring basis:



	Available-for-Sale Securities																		Future Policy Benefits
	Corporate Debt Securities			Residential Mortgage Backed Securities			Commercial Mortgage Backed Securities			Asset Backed Securities			Common Stocks		Total				IUL Embedded Derivatives				GMWB and GMAB Embedded Derivatives				Total
	(in millions)
Balance, July 1, 2013	$	1,667		$	69		$	210		$	214		$	5	$	2,165			$	(76	)		$	(11	)		$	(87	)
Total gains (losses) included in:
Net income	(1		)	—			—			—			—		(1		)	⁽¹⁾	(2		)	⁽²⁾	322			⁽³⁾	320
Other comprehensive income	3			(1		)	—			(2		)	—		—				—				—				—
Purchases	—			245			—			29			—		274				—				—				—
Sales	—			—			—			—			—		—				—				—				—
Issues	—			—			—			—			—		—				(17		)		(60		)		(77		)
Settlements	(37		)	(6		)	(36		)	(1		)	—		(80		)		(1		)		5				4
Transfers into Level 3	—			—			—			—			—		—				—				—				—
Transfers out of Level 3	—			(19		)	(159		)	(37		)	—		(215		)		—				—				—
Balance, September 30, 2013	$	1,632		$	288		$	15		$	203		$	5	$	2,143			$	(96	)		$	256			$	160

Changes in unrealized gains (losses) relating to assets and liabilities held at September 30, 2013 included in:
Net investment income	$	(1	)	$	—		$	—		$	1		$	—	$	—			$	—			$	—			$	—
Interest credited to fixed accounts	—			—			—			—			—		—				(2		)		—				(2		)
Benefits, claims, losses and settlement expenses	—			—			—			—			—		—				—				321				321

⁽¹⁾ Included in net investment income in the Consolidated Statements of Operations.

⁽²⁾ Included in interest credited to fixed accounts in the Consolidated Statements of Operations.

⁽³⁾ Included in benefits, claims, losses and settlement expenses in the Consolidated Statements of Operations.



	Available-for-Sale Securities																		Future Policy Benefits
	Corporate Debt Securities			Residential Mortgage Backed Securities			Commercial Mortgage Backed Securities			Asset Backed Securities			Common Stocks		Total				IUL Embedded Derivatives				GMWB and GMAB Embedded Derivatives				Total
	(in millions)
Balance, July 1, 2012	$	1,485		$	238		$	69		$	185		$	5	$	1,982			$	—			$	(1,406	)		$	(1,406	)
Total gains (losses) included in:
Net income	(1		)	(31		)	1			1			—		(30		)	⁽¹⁾	1			⁽²⁾	321			⁽³⁾	322
Other comprehensive income	14			40			4			3			—		61				—				—				—
Purchases	139			54			—			—			—		193				—				—				—
Sales	—			(75		)	—			—			—		(75		)		—				—				—
Issues	—			—			—			—			—		—				(16		)		(49		)		(65		)
Settlements	(40		)	(8		)	(1		)	(4		)	—		(53		)		—				(8		)		(8		)
Transfers into Level 3	—			—			146			15			—		161				(22		)		—				(22		)
Transfers out of Level 3	—			(146		)	(7		)	—			—		(153		)		—				—				—
Balance, September 30, 2012	$	1,597		$	72		$	212		$	200		$	5	$	2,086			$	(37	)		$	(1,142	)		$	(1,179	)

Changes in unrealized gains (losses) relating to assets and liabilities held at September 30, 2012 included in:
Net investment income	$	(1	)	$	—		$	1		$	1		$	—	1				$	—			$	—			$	—
Interest credited to fixed accounts	—			—			—			—			—		—				1				—				1
Benefits, claims, losses and settlement expenses	—			—			—			—			—		—				—				310				310

⁽¹⁾ Included in net investment income in the Consolidated Statements of Operations.

⁽²⁾ Included in interest credited to fixed accounts in the Consolidated Statements of Operations.

⁽³⁾ Included in benefits, claims, losses and settlement expenses in the Consolidated Statements of Operations.



	Available-for-Sale Securities																			Future Policy Benefits
	Corporate Debt Securities			Residential Mortgage Backed Securities			Commercial Mortgage Backed Securities			Asset Backed Securities			Common Stocks			Total				IUL Embedded Derivatives				GMWB and GMAB Embedded Derivatives				Total
	(in millions)
Balance, January 1, 2013	$	1,764		$	284		$	206		$	178		$	6		$	2,438			$	(45	)		$	(833	)		$	(878	)
Total gains (losses) included in:
Net income	(2		)	—			—			1			—			(1		)	⁽¹⁾	(8		)	⁽²⁾	1,246			⁽³⁾	1,238
Other comprehensive loss	(34		)	(1		)	(6		)	5			—			(36		)		—				—				—
Purchases	74			307			10			200			—			591				—				—				—
Sales	—			—			—			—			—			—				—				—				—
Issues	—			—			—			—			—			—				(42		)		(163		)		(205		)
Settlements	(170		)	(7		)	(36		)	(4		)	—			(217		)		(1		)		6				5
Transfers into Level 3	—			—			—			8			—			8				—				—				—
Transfers out of Level 3	—			(295		)	(159		)	(185		)	(1		)	(640		)		—				—				—
Balance, September 30, 2013	$	1,632		$	288		$	15		$	203		$	5		$	2,143			$	(96	)		$	256			$	160

Changes in unrealized gains (losses) relating to assets and liabilities held at September 30, 2013 included in:
Net investment income	$	(2	)	$	—		$	—		$	1		$	—		$	(1	)		$	—			$	—			$	—
Interest credited to fixed accounts	—			—			—			—			—			—				(8		)		—				(8		)
Benefits, claims, losses and settlement expenses	—			—			—			—			—			—				—				1,229				1,229

⁽¹⁾ Included in net investment income in the Consolidated Statements of Operations.

⁽²⁾ Included in interest credited to fixed accounts in the Consolidated Statements of Operations.

⁽³⁾ Included in benefits, claims, losses and settlement expenses in the Consolidated Statements of Operations.



	Available-for-Sale Securities																			Future Policy Benefits
	Corporate Debt Securities			Residential Mortgage Backed Securities			Commercial Mortgage Backed Securities			Asset Backed Securities			Common Stocks			Total				IUL Embedded Derivatives				GMWB and GMAB Embedded Derivatives				Total
	(in millions)
Balance, January 1, 2012	$	1,355		$	215		$	50		$	189		$	5		$	1,814			$	—			$	(1,585	)		$	(1,585	)
Total gains (losses) included in:
Net income	(1		)	(45		)	1			2			—			(43		)	⁽¹⁾	1			⁽²⁾	577			⁽³⁾	578
Other comprehensive income	19			68			6			4			—			97				—				—				—
Purchases	349			99			9			—			1			458				—				—				—
Sales	—			(75		)	—			—			—			(75		)		—				—				—
Issues	—			—			—			—			—			—				(16		)		(131		)		(147		)
Settlements	(135		)	(38		)	(3		)	(17		)	—			(193		)		—				(3		)		(3		)
Transfers into Level 3	10			22			183			22			—			237				(22		)		—				(22		)
Transfers out of Level 3	—			(174		)	(34		)	—			(1		)	(209		)		—				—				—
Balance, September 30, 2012	$	1,597		$	72		$	212		$	200		$	5		$	2,086			$	(37	)		$	(1,142	)		$	(1,179	)

Changes in unrealized gains (losses) relating to assets and liabilities held at September 30, 2012 included in:
Net investment income	$	(1	)	$	—		$	1		$	1		$	—		$	1			$	—			$	—			$	—
Interest credited to fixed accounts	—			—			—			—			—			—				1				—				1
Benefits, claims, losses and settlement expenses	—			—			—			—			—			—				—				544				544

⁽¹⁾ Included in net investment income in the Consolidated Statements of Operations.

⁽²⁾ Included in interest credited to fixed accounts in the Consolidated Statements of Operations.

⁽³⁾ Included in benefits, claims, losses and settlement expenses in the Consolidated Statements of Operations.

Significant unobservable inputs used in the fair value measurements

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:



	September 30, 2013
	Fair Value			Valuation Technique	Unobservable Input	Range				Weighted Average
	(in millions)
Corporate debt securities (private placements)	$	1,583		Discounted cash flow	Yield/spread to U.S. Treasuries	1.0	%	–	5.5%	1.8%
IUL embedded derivatives	$	96		Discounted cash flow	Nonperformance risk⁽³⁾	95			bps
GMWB and GMAB embedded derivatives	$	(256	)	Discounted cash flow	Utilization of guaranteed withdrawals⁽¹⁾	0.0	%	–	51.1%
					Surrender rate	0.1	%	–	57.9%
					Market volatility⁽²⁾	5.1	%	–	19.1%
					Nonperformance risk⁽³⁾	95			bps
					Elective contractholder strategy allocations ⁽⁴⁾	0.0	%	–	50.0%



	December 31, 2012
	Fair Value		Valuation Technique	Unobservable Input	Range				Weighted Average
	(in millions)
Corporate debt securities (private placements)	$	1,712	Discounted cash flow	Yield/spread to U.S. Treasuries	1.1	%	–	8.5%	2.1%
IUL embedded derivatives	$	45	Discounted cash flow	Nonperformance risk ⁽³⁾	97			bps
GMWB and GMAB embedded derivatives	$	833	Discounted cash flow	Utilization of guaranteed withdrawals ⁽¹⁾	0.0	%	–	56.4%
				Surrender rate	0.0	%	–	56.3%
				Market volatility ⁽²⁾	5.6	%	–	21.2%
				Nonperformance risk ⁽³⁾	97			bps
⁽¹⁾ The utilization of guaranteed withdrawals represents the percentage of policyholders that will begin withdrawing in any given year. ⁽²⁾ Market volatility is implied volatility of fund of funds and portfolio stabilizer funds. ⁽³⁾ The nonperformance risk is the spread added to the observable interest rates used in the valuation of the embedded derivatives. ⁽⁴⁾ The elective allocation represents the percentage of contractholders that are assumed to electively switch their investment allocation to a different allocation model.

Schedule of carrying value and estimated fair value of financial instruments

The following tables provide the carrying value and the estimated fair value of financial instruments that are not reported at fair value. All other financial instruments that are reported at fair value have been included above in the table with balances of assets and liabilities Ameriprise Financial measured at fair value on a recurring basis.



	September 30, 2013
	Carrying Value		Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
	(in millions)
Financial Assets
Mortgage loans, net	$	3,524	$	—	$	—	$	3,544	$	3,544
Policy and certificate loans	769		—		1		756		757
Receivables	1,092		95		989		8		1,092
Restricted and segregated cash	2,259		2,259		—		—		2,259
Other investments and assets	362		—		294		69		363

Financial Liabilities
Policyholder account balances, future policy benefits and claims	$	14,283	$	—	$	—	$	14,853	$	14,853
Investment certificate reserves	3,869		—		—		3,878		3,878
Brokerage customer deposits	2,868		2,868		—		—		2,868
Separate account liabilities	3,654		—		3,654		—		3,654
Debt and other liabilities	3,554		131		3,632		82		3,845



	December 31, 2012
	Carrying Value		Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
	(in millions)
Financial Assets
Mortgage loans, net	$	3,609	$	—	$	—	$	3,694	$	3,694
Policy and certificate loans	754		—		2		725		727
Receivables	1,067		135		926		12		1,073
Restricted and segregated cash	2,538		2,538		—		—		2,538
Other investments and assets	390		—		333		60		393

Financial Liabilities
Policyholder account balances, future policy benefits and claims	$	14,701	$	—	$	—	$	15,982	$	15,982
Investment certificate reserves	3,494		—		—		3,494		3,494
Brokerage customer deposits	3,024		3,024		—		—		3,024
Separate account liabilities	3,362		—		3,362		—		3,362
Debt and other liabilities	3,033		145		3,109		142		3,396

- Definition

Tabular disclosure of the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments, assets, and liabilities. Such certain disclosures about the financial instruments, assets, and liabilities include: (1) the fair value of the required items together with their carrying amounts (as appropriate) and (2) the methodology and assumptions used in developing such estimates of fair value.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 107

-Paragraph 15

-Subparagraph b-d

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 2: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 159

-Paragraph 18

-Subparagraph c(2), d, e, f

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 3: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 157

-Paragraph 32

-Subparagraph a, c(1), c(2), c(3), d

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

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-Publisher FASB

-Name Accounting Standards Codification

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-Section 50

-Paragraph 2

-Subparagraph (a)

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-Publisher FASB

-Name Accounting Standards Codification

-Topic 825

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-Topic 825

-SubTopic 10

-Section 50

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Reference 8: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 107

-Paragraph 10

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-Name Accounting Standards Codification

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-SubTopic 10

-Section 50

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-Subparagraph (a)

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Reference 10: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 107

-Paragraph 14

-Subparagraph a

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-Name Accounting Standards Codification

-Topic 825

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-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 159

-Paragraph 19

-Subparagraph a, b, c(1), d(1)

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

+ Details