Fair Values of Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 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:



	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.

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 (losses) included in:
Net income	(2		)	—			—			1			—			(1		)	⁽¹⁾	(1		)	⁽¹⁾
Other comprehensive income	(9		)	(1		)	—			2			1			(7		)		—
Purchases	179			312			41			37			—			569				—
Settlements	(147		)	(36		)	(5		)	(22		)	—			(210		)		—
Transfers into Level 3	—			—			6			—			—			6				—
Transfers out of Level 3	—			(195		)	(128		)	(65		)	(2		)	(390		)		—
Balance, September 30, 2015	$	1,539		$	286		$	5		$	122		$	5		$	1,957			$	—

Changes in unrealized gains (losses) relating to assets held at September 30, 2015 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, 2015	$	242			$	479		$	721
Total losses included in:
Net income	13			⁽¹⁾	426		⁽²⁾	439
Issues	76				197			273
Settlements	(14		)		5			(9		)
Balance, September 30, 2015	$	317			$	1,107		$	1,424

Changes in unrealized losses relating to liabilities held at September 30, 2015 included in:
Interest credited to fixed accounts	$	13			$	—		$	13
Benefits, claims, losses and settlement expenses	—				438			438

⁽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.

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, 2015
	Fair Value		Valuation Technique	Unobservable Input	Range				Weighted Average
	(in millions)
Corporate debt securities (private placements)	$	1,525	Discounted cash flow	Yield/spread to U.S. Treasuries	1.2	%	–	4.0%	1.7%
IUL embedded derivatives	$	317	Discounted cash flow	Nonperformance risk⁽¹⁾	80			bps
GMWB and GMAB embedded derivatives	$	1,107	Discounted cash flow	Utilization of guaranteed withdrawals⁽²⁾	0.0	%	–	75.6%
				Surrender rate	0.0	%	–	59.1%
				Market volatility⁽³⁾	5.3	%	–	21.2%
				Nonperformance risk⁽¹⁾	80			bps



	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. As of September 30, 2015, the Company is no longer including this input in the fair value measurement.

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.



	September 30, 2015
	Carrying Value		Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
	(in millions)
Financial Assets
Mortgage loans, net	$	3,382	$	—	$	—	$	3,437	$	3,437
Policy and certificate loans	824		—		1		805		806
Receivables	1,612		274		1,335		4		1,613
Restricted and segregated cash	2,377		2,377		—		—		2,377
Other investments and assets	576		—		506		61		567

Financial Liabilities
Policyholder account balances, future policy benefits and claims	$	11,730	$	—	$	—	$	12,705	$	12,705
Investment certificate reserves	4,530		—		—		4,521		4,521
Brokerage customer deposits	3,516		3,516		—		—		3,516
Separate account liabilities	4,544		—		4,544		—		4,544
Debt and other liabilities	3,592		353		3,346		86		3,785



	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