Fair Values of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2014

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:



	March 31, 2014
	Level 1		Level 2		Level 3			Total
	(in millions)
Assets
Cash equivalents	$	40	$	1,941	$	—		$	1,981
Available-for-Sale securities:
Corporate debt securities	—		15,898		1,566			17,464
Residential mortgage backed securities	—		6,003		87			6,090
Commercial mortgage backed securities	—		2,706		75			2,781
Asset backed securities	—		1,316		206			1,522
State and municipal obligations	—		2,298		—			2,298
U.S. government and agencies obligations	17		35		—			52
Foreign government bonds and obligations	—		252		—			252
Common stocks	5		8		6			19
Total Available-for-Sale securities	22		28,516		1,940			30,478
Trading securities	2		36		2			40
Separate account assets	—		81,872		—			81,872
Other assets:
Interest rate derivative contracts	—		1,545		—			1,545
Equity derivative contracts	306		1,330		—			1,636
Credit derivative contracts	—		1		—			1
Foreign currency derivative contracts	3		3		—			6
Total other assets	309		2,879		—			3,188
Total assets at fair value	$	373	$	115,244	$	1,942		$	117,559
Liabilities
Policyholder account balances, future policy benefits and claims:
EIA embedded derivatives	$	—	$	5	$	—		$	5
IUL embedded derivatives	—		—		154			154
GMWB and GMAB embedded derivatives	—		—		(471		)	(471		)	⁽²⁾
Total policyholder account balances, future policy benefits and claims	—		5		(317		)	(312		)	⁽¹⁾
Customer deposits	—		6		—			6
Other liabilities:
Interest rate derivative contracts	—		1,442		—			1,442
Equity derivative contracts	552		2,399		—			2,951
Foreign currency derivative contracts	2		—		—			2
Other	—		17		—			17
Total other liabilities	554		3,858		—			4,412
Total liabilities at fair value	$	554	$	3,869	$	(317	)	$	4,106

⁽¹⁾ The Company’s adjustment for nonperformance risk resulted in a $169 million cumulative increase to the embedded derivatives.

⁽²⁾The fair value of the GMWB and GMAB embedded derivatives was a net asset at March 31, 2014 and the amount is reported as a contra liability.



	December 31, 2013
	Level 1		Level 2		Level 3			Total
	(in millions)
Assets
Cash equivalents	$	12	$	1,841	$	—		$	1,853
Available-for-Sale securities:
Corporate debt securities	—		15,826		1,640			17,466
Residential mortgage backed securities	—		5,937		187			6,124
Commercial mortgage backed securities	—		2,711		30			2,741
Asset backed securities	—		1,244		260			1,504
State and municipal obligations	—		2,160		—			2,160
U.S. government and agencies obligations	17		35		—			52
Foreign government bonds and obligations	—		245		—			245
Common stocks	5		7		6			18
Total Available-for-Sale securities	22		28,165		2,123			30,310
Trading securities	3		32		2			37
Separate account assets	—		81,223		—			81,223
Other assets:
Interest rate derivative contracts	—		1,570		—			1,570
Equity derivative contracts	265		1,576		—			1,841
Credit derivative contracts	—		3		—			3
Foreign currency derivative contracts	2		2		—			4
Total other assets	267		3,151		—			3,418
Total assets at fair value	$	304	$	114,412	$	2,125		$	116,841
Liabilities
Policyholder account balances, future policy benefits and claims:
EIA embedded derivatives	$	—	$	5	$	—		$	5
IUL embedded derivatives	—		—		125			125
GMWB and GMAB embedded derivatives	—		—		(575		)	(575		)	⁽²⁾
Total policyholder account balances, future policy benefits and claims	—		5		(450		)	(445		)	⁽¹⁾
Customer deposits	—		7		—			7
Other liabilities:
Interest rate derivative contracts	—		1,693		—			1,693
Equity derivative contracts	550		2,565		—			3,115
Other	—		12		—			12
Total other liabilities	550		4,270		—			4,820
Total liabilities at fair value	$	550	$	4,282	$	(450	)	$	4,382

⁽¹⁾The Company’s adjustment for nonperformance risk resulted in a $150 million cumulative increase to the embedded derivatives.

⁽²⁾The fair value of the GMWB and GMAB embedded derivatives was a net asset at December 31, 2013 and the amount is reported as a contra liability.

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																			Policyholder Account Balances, Future Policy Benefits and Claims
	Corporate Debt Securities			Residential Mortgage Backed Securities			Commercial Mortgage Backed Securities			Asset Backed Securities			Common Stocks		Total			Trading Securities		IUL Embedded Derivatives				GMWB and GMAB Embedded Derivatives				Total
	(in millions)
Balance, January 1, 2014	$	1,640		$	187		$	30		$	260		$	6	$	2,123		$	2	$	(125	)		$	575			$	450
Total gains (losses) included in:
Net income	—			—			—			—			—		—			—		(6		)	⁽¹⁾	(52		)	⁽²⁾	(58		)
Other comprehensive income	4			—			—			—			—		4			—		—				—				—
Purchases	76			82			60			21			—		239			—		—				—				—
Sales	(11		)	—			—			—			—		(11		)	—		—				—				—
Issues	—			—			—			—			—		—			—		(24		)		(59		)		(83		)
Settlements	(143		)	(3		)	—			(6		)	—		(152		)	—		1				7				8
Transfers out of Level 3	—			(179		)	(15		)	(69		)	—		(263		)	—		—				—				—
Balance, March 31, 2014	$	1,566		$	87		$	75		$	206		$	6	$	1,940		$	2	$	(154	)		$	471			$	317

Changes in unrealized losses relating to assets and liabilities held at March 31, 2014 included in:
Net investment income	$	(1	)	$	—		$	—		$	—		$	—	$	(1	)	$	—	$	—			$	—			$	—
Interest credited to fixed accounts	—			—			—			—			—		—			—		(6		)		—				(6		)
Benefits, claims, losses and settlement expenses	—			—			—			—			—		—			—		—				(52		)		(52		)

⁽¹⁾ Included in interest credited to fixed accounts in the Consolidated Statements of Operations.

⁽²⁾ Included in benefits, claims, losses and settlement expenses in the Consolidated Statements of Operations.



	Available-for-Sale Securities																		Policyholder Account Balances, Future Policy Benefits and Claims
	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	—			—			—			—			—			—			(4		)	⁽¹⁾	618			⁽²⁾	614
Other comprehensive income	—			—			(2		)	5			—			3			—				—				—
Purchases	54			—			—			139			—			193			—				—				—
Issues	—			—			—			—			—			—			(12		)		(50		)		(62		)
Settlements	(54		)	—			—			(1		)	—			(55		)	—				(1		)		(1		)
Transfers out of Level 3	—			(276		)	—			—			(1		)	(277		)	—				—				—
Balance, March 31, 2013	$	1,764		$	8		$	204		$	321		$	5		$	2,302		$	(61	)		$	(266	)		$	(327	)

Changes in unrealized gains relating to assets and liabilities held at March 31, 2013 included in:
Interest credited to fixed accounts	$	—		$	—		$	—		$	—		$	—		$	—		$	(4	)		$	—			$	(4	)
Benefits, claims, losses and settlement expenses	—			—			—			—			—			—			—				609				609

⁽¹⁾ Included in interest credited to fixed accounts in the Consolidated Statements of Operations.

⁽²⁾ 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:



	March 31, 2014
	Fair Value			Valuation Technique	Unobservable Input	Range				Weighted Average
	(in millions)
Corporate debt securities (private placements)	$	1,520		Discounted cash flow	Yield/spread to U.S. Treasuries	0.8	%	–	4.8%	1.4%
IUL embedded derivatives	$	154		Discounted cash flow	Nonperformance risk ⁽³⁾	70			bps
GMWB and GMAB embedded derivatives	$	(471	)	Discounted cash flow	Utilization of guaranteed withdrawals⁽¹⁾	0.0	%	–	51.1%
					Surrender rate	0.1	%	–	57.9%
					Market volatility⁽²⁾	4.7	%	–	17.8%
					Nonperformance risk⁽³⁾	70			bps
					Elective contractholder strategy allocations ⁽⁴⁾	0.0	%	–	50.0%



	December 31, 2013
	Fair Value			Valuation Technique	Unobservable Input	Range				Weighted Average
	(in millions)
Corporate debt securities (private placements)	$	1,589		Discounted cash flow	Yield/spread to U.S. Treasuries	0.9	%	–	5.3%	1.5%
IUL embedded derivatives	$	125		Discounted cash flow	Nonperformance risk⁽³⁾	74			bps
GMWB and GMAB embedded derivatives	$	(575	)	Discounted cash flow	Utilization of guaranteed withdrawals⁽¹⁾	0.0	%	–	51.1%
					Surrender rate	0.1	%	–	57.9%
					Market volatility⁽²⁾	4.9	%	–	18.8%
					Nonperformance risk⁽³⁾	74			bps
					Elective contractholder strategy allocations⁽⁴⁾	0.0	%	–	50.0%

⁽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 managed volatility 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.



	March 31, 2014
	Carrying Value		Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
	(in millions)
Financial Assets
Mortgage loans, net	$	3,487	$	—	$	—	$	3,498	$	3,498
Policy and certificate loans	780		—		1		769		770
Receivables	1,258		158		1,092		7		1,257
Restricted and segregated cash	2,391		2,391		—		—		2,391
Other investments and assets	478		—		407		72		479
Financial Liabilities
Policyholder account balances, future policy benefits and claims	$	13,791	$	—	$	—	$	14,459	$	14,459
Investment certificate reserves	4,066		—		—		4,061		4,061
Brokerage customer deposits	3,148		3,148		—		—		3,148
Separate account liabilities	4,232		—		4,232		—		4,232
Debt and other liabilities	3,271		209		3,199		117		3,525



	December 31, 2013
	Carrying Value		Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
	(in millions)
Financial Assets
Mortgage loans, net	$	3,510	$	—	$	—	$	3,490	$	3,490
Policy and certificate loans	774		—		1		765		766
Receivables	1,141		107		1,026		8		1,141
Restricted and segregated cash	2,360		2,360		—		—		2,360
Other investments and assets	440		—		368		73		441
Financial Liabilities
Policyholder account balances, future policy benefits and claims	$	14,106	$	—	$	—	$	14,724	$	14,724
Investment certificate reserves	3,977		—		—		3,982		3,982
Brokerage customer deposits	3,088		3,088		—		—		3,088
Separate account liabilities	4,007		—		4,007		—		4,007
Debt and other liabilities	3,416		137		3,372		134		3,643

- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

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