Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2015

Variable interest entities [Abstract]

Schedule of assets and liabilities held by consolidated investment entities measured at fair value on a recurring basis [Table Text Block]

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



	September 30, 2015
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Cash equivalents	$	82	$	2,306	$	—	$	2,388
Available-for-Sale securities:
Corporate debt securities	—		15,359		1,539		16,898
Residential mortgage backed securities	—		5,722		286		6,008
Commercial mortgage backed securities	—		2,494		5		2,499
Asset backed securities	—		1,180		122		1,302
State and municipal obligations	—		2,259		—		2,259
U.S. government and agencies obligations	37		35		—		72
Foreign government bonds and obligations	—		230		—		230
Common stocks	4		9		5		18
Total Available-for-Sale securities	41		27,288		1,957		29,286
Trading securities	5		27		—		32
Separate account assets	—		78,636		—		78,636
Investments segregated for regulatory purposes	325		—		—		325
Other assets:
Interest rate derivative contracts	—		2,314		—		2,314
Equity derivative contracts	285		1,447		—		1,732
Foreign exchange derivative contracts	5		36		—		41
Other derivative contracts	—		6		—		6
Total other assets	290		3,803		—		4,093
Total assets at fair value	$	743	$	112,060	$	1,957	$	114,760

Liabilities
Policyholder account balances, future policy benefits and claims:
EIA embedded derivatives	$	—	$	5	$	—	$	5
IUL embedded derivatives	—		—		317		317
GMWB and GMAB embedded derivatives	—		—		1,107		1,107		⁽¹⁾
Total policyholder account balances, future policy benefits and claims	—		5		1,424		1,429		⁽²⁾
Customer deposits	—		2		—		2
Other liabilities:
Interest rate derivative contracts	—		1,200		—		1,200
Equity derivative contracts	265		1,742		—		2,007
Credit derivative contracts	—		5		—		5
Foreign exchange derivative contracts	—		6		—		6
Other derivative contracts	—		92		—		92
Other	4		11		—		15
Total other liabilities	269		3,056		—		3,325
Total liabilities at fair value	$	269	$	3,063	$	1,424	$	4,756

⁽¹⁾ The fair value of the GMWB and GMAB embedded derivatives included $1.2 billion of individual contracts in a liability position and $112 million of individual contracts in an asset position.


⁽²⁾	The Company’s adjustment for nonperformance risk resulted in a $497 million cumulative decrease to the embedded derivatives.



	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		⁽¹⁾
Total policyholder account balances, future policy benefits and claims	—		6		721		727		⁽²⁾
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 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.


⁽²⁾	The Company’s adjustment for nonperformance risk resulted in a $311 million cumulative decrease to the embedded derivatives.

Schedule of fair value and unpaid principal balance of assets and liabilities carried at fair value under the fair value option [Table Text Block]

The following table presents the fair value and unpaid principal balance of loans and debt for which the fair value option has been elected:



	September 30, 2015			December 31, 2014
	(in millions)
Syndicated loans
Unpaid principal balance	$	6,816		$	5,871
Excess unpaid principal over fair value	(239		)	(100		)
Fair value	$	6,577		$	5,771
Fair value of loans more than 90 days past due	$	30		$	32
Fair value of loans in nonaccrual status	30			32
Difference between fair value and unpaid principal of loans more than 90 days past due, loans in nonaccrual status or both	62			25
Debt
Unpaid principal balance	$	7,302		$	6,248
Excess unpaid principal over fair value	(326		)	(218		)
Fair value	$	6,976		$	6,030

Schedule of debt of the consolidated investment entities and the stated interest rates [Table Text Block]

The balances and the stated interest rates of outstanding debt of Ameriprise Financial were as follows:



	Outstanding Balance						Stated Interest Rate
	September 30, 2015			December 31, 2014			September 30, 2015		December 31, 2014
	(in millions)
Long-term debt:
Senior notes due 2015	$	351	⁽¹⁾	$	358	⁽¹⁾	5.6	%	5.7	%
Senior notes due 2019	328		⁽¹⁾	326		⁽¹⁾	7.3		7.3
Senior notes due 2020	789		⁽¹⁾	786		⁽¹⁾	5.3		5.3
Senior notes due 2023	750			750			4.0		4.0
Senior notes due 2024	548			548			3.7		3.7
Junior subordinated notes due 2066	253			294			7.5		7.5
Total long-term debt	3,019			3,062
Short-term borrowings:
Federal Home Loan Bank (“FHLB”) advances	150			150			0.3		0.3
Repurchase agreements	50			50			0.5		0.4
Total short-term borrowings	200			200
Total	$	3,219		$	3,262

⁽¹⁾ Amounts include adjustments for fair value hedges on the Company’s long-term debt. See Note 12 for information on the Company’s fair value hedges.

Consolidated investment entities [Member]

Variable interest entities [Abstract]

Schedule of assets and liabilities held by consolidated investment entities measured at fair value on a recurring basis [Table Text Block]

The following tables present the balances of assets and liabilities held by consolidated investment entities measured at fair value on a recurring basis:



	September 30, 2015
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Investments:
Corporate debt securities	$	—	$	199	$	—	$	199
Common stocks	123		43		6		172
Other investments	4		25		—		29
Syndicated loans	—		6,123		454		6,577
Total investments	127		6,390		460		6,977
Receivables	—		65		—		65
Other assets	—		—		2,129		2,129
Total assets at fair value	$	127	$	6,455	$	2,589	$	9,171
Liabilities
Debt	$	—	$	—	$	6,976	$	6,976
Other liabilities	—		529		—		529
Total liabilities at fair value	$	—	$	529	$	6,976	$	7,505



	December 31, 2014
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Investments:
Corporate debt securities	$	—	$	171	$	—	$	171
Common stocks	130		40		7		177
Other investments	4		25		—		29
Syndicated loans	—		5,287		484		5,771
Total investments	134		5,523		491		6,148
Receivables	—		49		—		49
Other assets	—		1		1,935		1,936
Total assets at fair value	$	134	$	5,573	$	2,426	$	8,133
Liabilities
Debt	$	—	$	—	$	6,030	$	6,030
Other liabilities	—		193		—		193
Total liabilities at fair value	$	—	$	193	$	6,030	$	6,223

Schedule of changes in Level 3 assets and liabilities held by consolidated investment entities measured at fair value on a recurring basis [Table Text Block]

The following tables provide a summary of changes in Level 3 assets and liabilities held by consolidated investment entities measured at fair value on a recurring basis:



	Common Stocks				Syndicated Loans				Other Assets				Debt
	(in millions)
Balance, July 1, 2015	$	11			$	457			$	1,979			$	(6,487	)
Total gains (losses) included in:
Net income	—				(8		)	⁽¹⁾	24			⁽²⁾	67			⁽¹⁾
Other comprehensive income	—				—				(61		)		—
Purchases	—				101				193				—
Sales	—				(5		)		(6		)		—
Issues	—				—				—				(699		)
Settlements	—				(32		)		—				143
Transfers into Level 3	—				136				—				—
Transfers out of Level 3	(5		)		(195		)		—				—
Balance, September 30, 2015	$	6			$	454			$	2,129			$	(6,976	)
Changes in unrealized gains (losses) included in income relating to assets and liabilities held at September 30, 2015	$	—		⁽¹⁾	$	(9	)	⁽¹⁾	$	26		⁽²⁾	$	67		⁽¹⁾

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

⁽²⁾ Included in other revenues in the Consolidated Statements of Operations.



	Corporate Debt Securities		Common Stocks			Syndicated Loans				Other Assets				Debt
	(in millions)
Balance, July 1, 2014	$	—	$	7		$	427			$	2,389			$	(5,511	)
Total gains (losses) included in:
Net income	—		—			(1		)	⁽¹⁾	144			⁽²⁾	(7		)	⁽¹⁾
Other comprehensive loss	—		—			—				(151		)		—
Purchases	—		—			41				23				—
Sales	—		—			(14		)		(388		)		—
Settlements	—		—			(38		)		—				52
Transfers into Level 3	—		1			84				—				—
Transfers out of Level 3	—		(1		)	(185		)		—				—
Balance, September 30, 2014	$	—	$	7		$	314			$	2,017			$	(5,466	)
Changes in unrealized gains (losses) included in income relating to assets and liabilities held at September 30, 2014	$	—	$	—		$	(1	)	⁽¹⁾	$	95		⁽²⁾	$	(7	)	⁽¹⁾

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

⁽²⁾ Included in other revenues in the Consolidated Statements of Operations.

Significant unobservable inputs used in the fair value measurements of assets and liabilities held by consolidated investment entities [Table Text Block]

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 held by consolidated investment entities:



	September 30, 2015
	Fair Value		Valuation Technique	Unobservable Input	Range				Weighted Average
	(in millions)
Other assets (property funds)	$	2,124	Discounted cash flow/ market comparables	Equivalent yield	2.8	%	–	11.6%	5.9	%
				Expected rental value (per square foot)	$5		–	$173	$50
CLO debt	$	6,976	Discounted cash flow	Annual default rate	2.5%
				Discount rate	1.7	%	–	9.0%	2.9	%
				Constant prepayment rate	5.0	%	–	10.0%	9.8	%
				Loss recovery	36.4	%	–	63.6%	62.7	%



	December 31, 2014
	Fair Value		Valuation Technique	Unobservable Input	Range				Weighted Average
	(in millions)
Other assets (property funds)	$	1,935	Discounted cash flow/ market comparables	Equivalent yield	4.4	%	–	12.0%	6.5	%
				Expected rental value (per square foot)	$3		–	$94	$34
CLO debt	$	6,030	Discounted cash flow	Annual default rate	2.5%
				Discount rate	1.2	%	–	8.3%	2.4	%
				Constant prepayment rate	5.0	%	–	10.0%	9.8	%
				Loss recovery	36.4	%	–	63.6%	62.7	%

Schedule of debt of the consolidated investment entities and the stated interest rates [Table Text Block]

Debt of the consolidated investment entities and the stated interest rates were as follows:



	Carrying Value				Weighted Average Interest Rate
	September 30, 2015		December 31, 2014		September 30, 2015		December 31, 2014
	(in millions)
Debt of consolidated CLOs due 2016-2026	$	6,976	$	6,030	1.5	%	1.3	%
Floating rate revolving credit borrowings due 2016-2020	950		837		2.8		2.7
Total	$	7,926	$	6,867

- Definition

Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, provide the aggregate carrying amount of ineligible items included in each line item in the balance sheet, if any; (b) the difference between the aggregate fair value and the aggregate unpaid principal balance (assuming contractual principal amounts and fair value option elected) of: (i) loans and long-term receivables (other than securities otherwise reported at fair value) and (ii) long-term debt instruments; (c) for loans held as assets for which the fair value option has been elected: (i) the aggregate fair value of loans that are 90 days or more past due, (ii) if the policy is to recognize interest income separately from other changes in fair value, the aggregate fair value of loans in nonaccrual status, and (iii) the difference between the aggregate fair value and the aggregate unpaid principal balance for loans that are 90 days or more past due, in nonaccrual status, or both; (2) for items included in the income statement: (a) the amounts of gains and losses from fair value changes included in earnings and in which line in the income statement those gains and losses are reported whether or not combined with gains and losses from items required to be accounted for at fair value; (b) for loans and other receivables held as assets, the estimated amount of gains or losses included in earnings attributable to changes in instrument-specific credit risk; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk, the estimated amount of gains and losses from fair value changes included in earnings that are attributable to changes in the instrument-specific credit risk; and (3) certain other disclosures as required or determined to be provided.

+ References + Details