Fair Values of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2015

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:



	March 31, 2015
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Cash equivalents	$	32	$	2,238	$	—	$	2,270
Available-for-Sale securities:
Corporate debt securities	—		15,692		1,526		17,218
Residential mortgage backed securities	—		5,990		280		6,270
Commercial mortgage backed securities	—		2,674		20		2,694
Asset backed securities	—		1,247		158		1,405
State and municipal obligations	—		2,243		—		2,243
U.S. government and agencies obligations	21		35		—		56
Foreign government bonds and obligations	—		245		—		245
Common stocks	5		7		7		19
Total Available-for-Sale securities	26		28,133		1,991		30,150
Trading securities	53		84		1		138
Separate account assets	—		84,243		—		84,243
Investments segregated for regulatory purposes	—		65		—		65
Other assets:
Interest rate derivative contracts	—		2,478		—		2,478
Equity derivative contracts	226		2,020		—		2,246
Foreign exchange derivative contracts	1		54		—		55
Other derivative contracts	—		6		—		6
Total other assets	227		4,558		—		4,785
Total assets at fair value	$	338	$	119,321	$	1,992	$	121,651
Liabilities
Policyholder account balances, future policy benefits and claims:
EIA embedded derivatives	$	—	$	6	$	—	$	6
IUL embedded derivatives	—		—		270		270
GMWB and GMAB embedded derivatives	—		—		827		827		⁽²⁾
Total policyholder account balances, future policy benefits and claims	—		6		1,097		1,103		⁽¹⁾
Customer deposits	—		5		—		5
Other liabilities:
Interest rate derivative contracts	—		1,244		—		1,244
Equity derivative contracts	303		2,413		—		2,716
Foreign exchange derivative contracts	1		5		—		6
Credit derivative contracts	—		3		—		3
Other derivative contracts	—		106		—		106
Other	—		14		—		14
Total other liabilities	304		3,785		—		4,089
Total liabilities at fair value	$	304	$	3,796	$	1,097	$	5,197

⁽¹⁾ The Company’s adjustment for nonperformance risk resulted in a $359 million cumulative decrease to the embedded derivatives.


⁽²⁾	The fair value of the GMWB and GMAB embedded derivatives included $979 million of individual contracts in a liability position and $152 million of individual contracts in an asset position.



	December 31, 2014
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Cash equivalents	$	27	$	1,930	$	—	$	1,957
Available-for-Sale securities:
Corporate debt securities	—		15,647		1,518		17,165
Residential mortgage backed securities	—		6,001		206		6,207
Commercial mortgage backed securities	—		2,539		91		2,630
Asset backed securities	—		1,301		169		1,470
State and municipal obligations	—		2,239		—		2,239
U.S. government and agencies obligations	12		35		—		47
Foreign government bonds and obligations	—		251		—		251
Common stocks	5		7		6		18
Total Available-for-Sale securities	17		28,020		1,990		30,027
Trading securities	54		28		1		83
Separate account assets	—		83,256		—		83,256
Other assets:
Interest rate derivative contracts	—		2,031		—		2,031
Equity derivative contracts	282		1,757		—		2,039
Foreign exchange derivative contracts	1		29		—		30
Other derivative contracts	—		1		—		1
Total other assets	283		3,818		—		4,101
Total assets at fair value	$	381	$	117,052	$	1,991	$	119,424
Liabilities
Policyholder account balances, future policy benefits and claims:
EIA embedded derivatives	$	—	$	6	$	—	$	6
IUL embedded derivatives	—		—		242		242
GMWB and GMAB embedded derivatives	—		—		479		479		⁽²⁾
Total policyholder account balances, future policy benefits and claims	—		6		721		727		⁽¹⁾
Customer deposits	—		6		—		6
Other liabilities:
Interest rate derivative contracts	—		1,136		—		1,136
Equity derivative contracts	376		2,326		—		2,702
Foreign exchange derivative contracts	1		2		—		3
Other derivative contracts	—		114		—		114
Other	—		12		—		12
Total other liabilities	377		3,590		—		3,967
Total liabilities at fair value	$	377	$	3,602	$	721	$	4,700


⁽¹⁾	The Company’s adjustment for nonperformance risk resulted in a $311 million cumulative decrease to the embedded derivatives.


⁽²⁾	The fair value of the GMWB and GMAB embedded derivatives included $700 million of individual contracts in a liability position and $221 million of individual contracts in an asset position.

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
	(in millions)
Balance, January 1, 2015	$	1,518		$	206		$	91		$	169		$	6	$	1,990		$	1
Total gains included in:
Other comprehensive loss	13			—			—			—			1		14			—
Purchases	15			115			—			23					153			—
Settlements	(20		)	(9		)	(1		)	(2		)	—		(32		)	—
Transfers into Level 3	—			—			6			—			—		6			—
Transfers out of Level 3	—			(32		)	(76		)	(32		)	—		(140		)	—
Balance, March 31, 2015	$	1,526		$	280		$	20		$	158		$	7	$	1,991		$	1

Changes in unrealized gains relating to assets held at March 31, 2015 included in:
Net investment income	$	—		$	—		$	—		$	—		$	—	$	—		$	—
Benefits, claims, losses and settlement expenses	—			—			—			—			—		—			—



	Policyholder Account Balances, Future Policy Benefits and Claims
	IUL Embedded Derivatives				GMWB and GMAB Embedded Derivatives			Total
	(in millions)
Balance, January 1, 2015	$	242			$	479		$	721
Total losses included in:
Net income	14			⁽¹⁾	280		⁽²⁾	294
Issues	19				64			83
Settlements	(5		)		4			(1		)
Balance, March 31, 2015	$	270			$	827		$	1,097

Changes in unrealized losses relating to liabilities held at March 31, 2015 included in:
Interest credited to fixed accounts	$	14			$	—		$	14
Benefits, claims, losses and settlement expenses	—				278			278

⁽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
	(in millions)
Balance, January 1, 2014	$	1,640		$	187		$	30		$	260		$	6	$	2,123		$	2
Total gains included in:
Other comprehensive income	4			—			—			—			—		4			—
Purchases	76			82			60			21			—		239			—
Sales	(11		)	—			—			—			—		(11		)
Settlements	(143		)	(3		)	—			(6		)	—		(152		)	—
Transfers out of Level 3	—			(179		)	(15		)	(69		)	—		(263		)	—
Balance, March 31, 2014	$	1,566		$	87		$	75		$	206		$	6	$	1,940		$	2

Changes in unrealized losses relating to assets held at March 31, 2014 included in:
Net investment income	$	(1	)	$	—		$	—		$	—		$	—	$	(1	)	$	—



	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	6			⁽¹⁾	52			⁽²⁾	58
Issues	24				59				83
Settlements	(1		)		(7		)		(8		)
Balance, March 31, 2014	$	154			$	(471	)		$	(317	)

Changes in unrealized losses relating to liabilities held at March 31, 2014 included in:
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.

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, 2015
	Fair Value		Valuation Technique	Unobservable Input	Range				Weighted Average
	(in millions)
Corporate debt securities (private placements)	$	1,497	Discounted cash flow	Yield/spread to U.S. Treasuries	1.0	%	–	3.5%	1.4%
IUL embedded derivatives	$	270	Discounted cash flow	Nonperformance risk⁽¹⁾	63			bps
GMWB and GMAB embedded derivatives	$	827	Discounted cash flow	Utilization of guaranteed withdrawals⁽²⁾	0.0	%	–	51.1%
				Surrender rate	0.0	%	–	59.1%
				Market volatility⁽³⁾	5.4	%	–	21.6%
				Nonperformance risk⁽¹⁾	63			bps
				Elective contractholder strategy allocations⁽⁴⁾	0.0	%	–	3.0%



	December 31, 2014
	Fair Value		Valuation Technique	Unobservable Input	Range				Weighted Average
	(in millions)
Corporate debt securities (private placements)	$	1,476	Discounted cash flow	Yield/spread to U.S. Treasuries	1.0	%	–	3.9%	1.5%
IUL embedded derivatives	$	242	Discounted cash flow	Nonperformance risk⁽¹⁾	65			bps
GMWB and GMAB embedded derivatives	$	479	Discounted cash flow	Utilization of guaranteed withdrawals⁽²⁾	0.0	%	–	51.1%
				Surrender rate	0.0	%	–	59.1%
				Market volatility⁽³⁾	5.2	%	–	20.9%
				Nonperformance risk⁽¹⁾	65			bps
				Elective contractholder strategy allocations⁽⁴⁾	0.0	%	–	3.0%


⁽¹⁾	The nonperformance risk is the spread added to the observable interest rates used in the valuation of the embedded derivatives.


⁽²⁾	The utilization of guaranteed withdrawals represents the percentage of contractholders that will begin withdrawing in any given year.


⁽³⁾	Market volatility is implied volatility of fund of funds and managed volatility funds.


⁽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 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 tables with balances of assets and liabilities Ameriprise Financial measured at fair value on a recurring basis.



	March 31, 2015
	Carrying Value		Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
	(in millions)
Financial Assets
Mortgage loans, net	$	3,368	$	—	$	—	$	3,453	$	3,453
Policy and certificate loans	813		—		1		796		797
Receivables	1,485		262		1,222		4		1,488
Restricted and segregated cash	2,649		2,649		—		—		2,649
Other investments and assets	542		—		483		60		543
Financial Liabilities
Policyholder account balances, future policy benefits and claims	$	12,495	$	—	$	—	$	13,720	$	13,720
Investment certificate reserves	4,303		—		—		4,294		4,294
Brokerage customer deposits	3,575		3,575		—		—		3,575
Separate account liabilities	4,408		—		4,408		—		4,408
Debt and other liabilities	3,664		353		3,483		118		3,954



	December 31, 2014
	Carrying Value		Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
	(in millions)
Financial Assets
Mortgage loans, net	$	3,440	$	—	$	—	$	3,512	$	3,512
Policy and certificate loans	806		—		1		793		794
Receivables	1,418		215		1,200		3		1,418
Restricted and segregated cash	2,614		2,614		—		—		2,614
Other investments and assets	551		—		460		84		544
Financial Liabilities
Policyholder account balances, future policy benefits and claims	$	12,979	$	—	$	—	$	13,996	$	13,996
Investment certificate reserves	4,201		—		—		4,195		4,195
Brokerage customer deposits	3,465		3,465		—		—		3,465
Separate account liabilities	4,478		—		4,478		—		4,478
Debt and other liabilities	3,576		261		3,446		121		3,828

- 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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