Fair Values of Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 2014

Schedule of balances 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, 2014
	Level 1		Level 2		Level 3			Total
	(in millions)
Assets
Cash equivalents	$	29	$	2,404	$	—		$	2,433
Available-for-Sale securities:
Corporate debt securities	—		15,756		1,566			17,322
Residential mortgage backed securities	—		5,959		273			6,232
Commercial mortgage backed securities	—		2,544		93			2,637
Asset backed securities	—		1,295		193			1,488
State and municipal obligations	—		2,257		—			2,257
U.S. government and agencies obligations	12		35		—			47
Foreign government bonds and obligations	—		253		—			253
Common stocks	6		9		5			20
Total Available-for-Sale securities	18		28,108		2,130			30,256
Trading securities	114		81		1			196
Separate account assets	—		82,420		—			82,420
Other assets:
Interest rate derivative contracts	—		1,587		—			1,587
Equity derivative contracts	314		1,552		—			1,866
Credit derivative contracts	—		4		—			4
Foreign exchange derivative contracts	2		4		—			6
Other derivative contracts	—		—		1			1
Other	1		—		—			1
Total other assets	317		3,147		1			3,465
Total assets at fair value	$	478	$	116,160	$	2,132		$	118,770
Liabilities
Policyholder account balances, future policy benefits and claims:
EIA embedded derivatives	$	—	$	6	$	—		$	6
IUL embedded derivatives	—		—		202			202
GMWB and GMAB embedded derivatives	—		—		(77		)	(77		)	⁽²⁾
Total policyholder account balances, future policy benefits and claims	—		6		125			131			⁽¹⁾
Customer deposits	—		6		—			6
Other liabilities:
Interest rate derivative contracts	—		1,208		—			1,208
Equity derivative contracts	472		2,205		—			2,677
Other derivative contracts	—		117		—			117
Other	—		17		—			17
Total other liabilities	472		3,547		—			4,019
Total liabilities at fair value	$	472	$	3,559	$	125		$	4,156

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

⁽²⁾The fair value of the GMWB and GMAB embedded derivatives was a net asset at September 30, 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	—		1,566		—			1,566
Equity derivative contracts	265		1,576		—			1,841
Credit derivative contracts	—		3		—			3
Foreign exchange derivative contracts	2		2		—			4
Other derivative contracts	—		4		—			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	—		1,672		—			1,672
Equity derivative contracts	550		2,447		—			2,997
Other derivative contracts	—		139		—			139
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.

Summary of changes in Level 3 assets and liabilities measured at fair value on a recurring basis



	Available-for-Sale Securities
	Corporate Debt Securities			Residential Mortgage Backed Securities			Commercial Mortgage Backed Securities		Asset Backed Securities			Common Stocks			Total			Trading Securities		Other Derivative Contracts
	(in millions)
Balance, July 1, 2014	$	1,565		$	214		$	15	$	185		$	6		$	1,985		$	1	$	1
Total losses included in:
Net income	—			—			—		—			—			—			—		(1		)	⁽¹⁾
Other comprehensive loss	(12		)	—			—		(1		)	—			(13		)	—		—
Purchases	37			170			—		11			—			218			—		1
Settlements	(24		)	(6		)	—		(2		)	—			(32		)	—		—
Transfers into Level 3	—			—			78		—			—			78			—		—
Transfers out of Level 3	—			(105		)	—		—			(1		)	(106		)	—		—
Balance, September 30, 2014	$	1,566		$	273		$	93	$	193		$	5		$	2,130		$	1	$	1

Changes in unrealized losses relating to assets held at September 30, 2014 included in:
Net investment income	$	(1	)	$	—		$	—	$	—		$	—		$	(1	)	$	—	$	—
Benefits, claims, losses and settlement expenses	—			—			—		—			—			—			—		(1		)

⁽¹⁾ Included in benefits, claims, losses and settlement expenses in the Consolidated Statements of Operations.



	Policyholder Account Balances, Future Policy Benefits and Claims
	IUL Embedded Derivatives			GMWB and GMAB Embedded Derivatives				Total
	(in millions)
Balance, July 1, 2014	$	184		$	(347	)		$	(163	)
Total losses included in:
Net income	—			207			⁽¹⁾	207
Issues	21			65				86
Settlements	(3		)	(2		)		(5		)
Balance, September 30, 2014	$	202		$	(77	)		$	125

Changes in unrealized losses relating to liabilities held at September 30, 2014 included in:
Benefits, claims, losses and settlement expenses	$	—		$	208			$	208

⁽¹⁾ Included in benefits, claims, losses and settlement expenses in the Consolidated Statements of Operations.



	Available-for-Sale Securities
	Corporate Debt Securities			Residential Mortgage Backed Securities			Commercial Mortgage Backed Securities			Asset Backed Securities			Common Stocks		Total
	(in millions)
Balance, July 1, 2013	$	1,667		$	69		$	210		$	214		$	5	$	2,165
Total gains (losses) included in:
Net income	(1		)	—			—			—			—		(1		)	⁽¹⁾
Other comprehensive income	3			(1		)	—			(2		)	—		—
Purchases	—			245			—			29			—		274
Settlements	(37		)	(6		)	(36		)	(1		)	—		(80		)
Transfers out of Level 3	—			(19		)	(159		)	(37		)	—		(215		)
Balance, September 30, 2013	$	1,632		$	288		$	15		$	203		$	5	$	2,143

Changes in unrealized gains (losses) relating to assets held at September 30, 2013 included in:
Net investment income	$	(1	)	$	—		$	—		$	1		$	—	$	—

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



	Policyholder Account Balances, Future Policy Benefits and Claims
	IUL Embedded Derivatives			GMWB and GMAB Embedded Derivatives				Total
	(in millions)
Balance, July 1, 2013	$	76		$	11			$	87
Total (gains) losses included in:
Net income	2		⁽¹⁾	(322		)	⁽²⁾	(320		)
Issues	17			60				77
Settlements	1			(5		)		(4		)
Balance, September 30, 2013	$	96		$	(256	)		$	(160	)

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

⁽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
	Corporate Debt Securities			Residential Mortgage Backed Securities			Commercial Mortgage Backed Securities			Asset Backed Securities			Common Stocks			Total				Trading Securities			Other Derivative Contracts
	(in millions)
Balance, January 1, 2014	$	1,640		$	187		$	30		$	260		$	6		$	2,123			$	2		$	—
Total gains (losses) included in:
Net income	(1		)	—			—			1			—			—			⁽¹⁾	—			(1		)	⁽²⁾
Other comprehensive income	4			—			—			(1		)	—			3				—			—
Purchases	159			388			60			32			—			639				1			2
Sales	(11		)	—			—			—			—			(11		)		(2		)	—
Settlements	(225		)	(18		)	—			(10		)	—			(253		)		—			—
Transfers into Level 3	—			—			78			—			—			78				—			—
Transfers out of Level 3	—			(284		)	(75		)	(89		)	(1		)	(449		)		—			—
Balance, September 30, 2014	$	1,566		$	273		$	93		$	193		$	5		$	2,130			$	1		$	1

Changes in unrealized gains (losses) relating to assets held at September 30, 2014 included in:
Net investment income	$	(2	)	$	—		$	—		$	1		$	—		$	(1	)		$	—		$	—
Benefits, claims, losses and settlement expenses	—			—			—			—			—			—				—			(1		)

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

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



	Policyholder Account Balances, Future Policy Benefits and Claims
	IUL Embedded Derivatives				GMWB and GMAB Embedded Derivatives				Total
	(in millions)
Balance, January 1, 2014	$	125			$	(575	)		$	(450	)
Total losses included in:
Net income	14			⁽¹⁾	327			⁽²⁾	341
Issues	69				184				253
Settlements	(6		)		(13		)		(19		)
Balance, September 30, 2014	$	202			$	(77	)		$	125

Changes in unrealized losses relating to liabilities held at September 30, 2014 included in:
Interest credited to fixed accounts	$	14			$	—			$	14
Benefits, claims, losses and settlement expenses	—				327				327

⁽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
	Corporate Debt Securities			Residential Mortgage Backed Securities			Commercial Mortgage Backed Securities			Asset Backed Securities			Common Stocks			Total
	(in millions)
Balance, January 1, 2013	$	1,764		$	284		$	206		$	178		$	6		$	2,438
Total gains (losses) included in:
Net income	(2		)	—			—			1			—			(1		)	⁽¹⁾
Other comprehensive loss	(34		)	(1		)	(6		)	5			—			(36		)
Purchases	74			307			10			200			—			591
Settlements	(170		)	(7		)	(36		)	(4		)	—			(217		)
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

Changes in unrealized gains (losses) relating to assets held at September 30, 2013 included in:
Net investment income	$	(2	)	$	—		$	—		$	1		$	—		$	(1	)

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



	Policyholder Account Balances, Future Policy Benefits and Claims
	IUL Embedded Derivatives			GMWB and GMAB Embedded Derivatives				Total
	(in millions)
Balance, January 1, 2013	$	45		$	833			$	878
Total (gains) losses included in:
Net income	8		⁽¹⁾	(1,246		)	⁽²⁾	(1,238		)
Issues	42			163				205
Settlements	1			(6		)		(5		)
Balance, September 30, 2013	$	96		$	(256	)		$	(160	)

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

⁽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:



	September 30, 2014
	Fair Value			Valuation Technique	Unobservable Input	Range				Weighted Average
	(in millions)
Corporate debt securities (private placements)	$	1,509		Discounted cash flow	Yield/spread to U.S. Treasuries	0.9	%	–	3.5%	1.2%
Other derivative contracts	$	1		Option pricing model	Correlation ⁽¹⁾	(3.0	)%	–	(84.0)%	(60.0)%
IUL embedded derivatives	$	202		Discounted cash flow	Nonperformance risk ⁽²⁾	69			bps
GMWB and GMAB embedded derivatives	$	(77	)	Discounted cash flow	Utilization of guaranteed withdrawals⁽³⁾	0.0	%	–	51.1%
					Surrender rate	0.0	%	–	59.1%
					Market volatility⁽⁴⁾	4.9	%	–	19.4%
					Nonperformance risk⁽²⁾	69			bps
					Elective contractholder strategy allocations ⁽⁵⁾	0.0	%	–	31.0%



	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⁽²⁾	74			bps
GMWB and GMAB embedded derivatives	$	(575	)	Discounted cash flow	Utilization of guaranteed withdrawals⁽³⁾	0.0	%	–	51.1%
					Surrender rate	0.1	%	–	57.9%
					Market volatility⁽⁴⁾	4.9	%	–	18.8%
					Nonperformance risk⁽²⁾	74			bps
					Elective contractholder strategy allocations⁽⁵⁾	0.0	%	–	50.0%


⁽¹⁾	Represents the correlation between equity returns and interest rates used in the valuation of the derivative contract.


⁽²⁾	The nonperformance risk is the spread added to the observable interest rates used in the valuation of the embedded derivatives.


⁽³⁾	The utilization of guaranteed withdrawals represents the percentage of contractholders that will begin withdrawing in any given year.


⁽⁴⁾	Market volatility is implied volatility of fund of funds and managed volatility funds.


⁽⁵⁾	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 the estimated fair value of financial instruments that are not reported at fair value

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, 2014
	Carrying Value		Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
	(in millions)
Financial Assets
Mortgage loans, net	$	3,457	$	—	$	—	$	3,495	$	3,495
Policy and certificate loans	805		—		1		788		789
Receivables	1,357		174		1,176		6		1,356
Restricted and segregated cash	2,382		2,382		—		—		2,382
Other investments and assets	537		—		460		74		534
Financial Liabilities
Policyholder account balances, future policy benefits and claims	$	13,203	$	—	$	—	$	13,819	$	13,819
Investment certificate reserves	4,225		—		—		4,218		4,218
Brokerage customer deposits	3,290		3,290		—		—		3,290
Separate account liabilities	4,500		—		4,500		—		4,500
Debt and other liabilities	3,536		249		3,440		94		3,783



	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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