Fair Values of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2016

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, 2016
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Cash equivalents	$	72	$	2,295	$	—	$	2,367
Available-for-Sale securities:
Corporate debt securities	—		15,192		1,411		16,603
Residential mortgage backed securities	—		5,964		174		6,138
Commercial mortgage backed securities	—		2,607		10		2,617
Asset backed securities	—		1,219		170		1,389
State and municipal obligations	—		2,385		—		2,385
U.S. government and agencies obligations	24		35		—		59
Foreign government bonds and obligations	—		272		—		272
Common stocks	4		8		—		12
Common stocks measured at NAV							5		⁽¹⁾
Total Available-for-Sale securities	28		27,682		1,765		29,480
Trading securities	7		23		—		30
Separate account assets measured at NAV							80,182		⁽¹⁾
Investments segregated for regulatory purposes	351		—		—		351
Other assets:
Interest rate derivative contracts	—		3,168		—		3,168
Equity derivative contracts	79		1,369		—		1,448
Foreign exchange derivative contracts	1		67		—		68
Other derivative contracts	—		4		—		4
Total other assets	80		4,608		—		4,688
Total assets at fair value	$	538	$	34,608	$	1,765	$	117,098



Liabilities
Policyholder account balances, future policy benefits and claims:
EIA embedded derivatives	$	—	$	5	$	—	$	5
IUL embedded derivatives	—		—		382		382
GMWB and GMAB embedded derivatives	—		—		1,515		1,515		⁽²⁾
Total policyholder account balances, future policy benefits and claims	—		5		1,897		1,902		⁽³⁾
Customer deposits	—		5		—		5
Other liabilities:
Interest rate derivative contracts	—		1,609		—		1,609
Equity derivative contracts	39		1,888		—		1,927
Credit derivative contracts	—		5		—		5
Foreign exchange derivative contracts	2		23		—		25
Other derivative contracts	—		97		—		97
Other	6		8		—		14
Total other liabilities	47		3,630		—		3,677
Total liabilities at fair value	$	47	$	3,640	$	1,897	$	5,584

⁽¹⁾ Amounts are comprised of certain investments that are measured at fair value using the NAV per share (or its equivalent) as a practical expedient and have not been classified in the fair value hierarchy. See Note 2 for further information.

⁽²⁾ The fair value of the GMWB and GMAB embedded derivatives included $1.6 billion of individual contracts in a liability position and $75 million of individual contracts in an asset position.


⁽³⁾	The Company’s adjustment for nonperformance risk resulted in a $634 million cumulative decrease to the embedded derivatives.



	December 31, 2015
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Cash equivalents	$	80	$	1,918	$	—	$	1,998
Available-for-Sale securities:
Corporate debt securities	—		14,923		1,425		16,348
Residential mortgage backed securities	—		5,755		218		5,973
Commercial mortgage backed securities	—		2,453		3		2,456
Asset backed securities	—		1,134		162		1,296
State and municipal obligations	—		2,290		—		2,290
U.S. government and agencies obligations	33		35		—		68
Foreign government bonds and obligations	—		224		—		224
Common stocks	5		8		—		13
Common stocks measured at NAV							5		⁽¹⁾
Total Available-for-Sale securities	38		26,822		1,808		28,673
Trading securities	6		18		—		24
Separate account assets measured at NAV							80,349		⁽¹⁾
Investments segregated for regulatory purposes	401		—		—		401
Other assets:
Interest rate derivative contracts	—		1,940		—		1,940
Equity derivative contracts	92		1,495		—		1,587
Credit derivative contracts	—		2		—		2
Foreign exchange derivative contracts	2		54		—		56
Other derivative contracts	—		2		—		2
Total other assets	94		3,493		—		3,587
Total assets at fair value	$	619	$	32,251	$	1,808	$	115,032



Liabilities
Policyholder account balances, future policy benefits and claims:
EIA embedded derivatives	$	—	$	5	$	—	$	5
IUL embedded derivatives	—		—		364		364
GMWB and GMAB embedded derivatives	—		—		851		851		⁽²⁾
Total policyholder account balances, future policy benefits and claims	—		5		1,215		1,220		⁽³⁾
Customer deposits	—		4		—		4
Other liabilities:
Interest rate derivative contracts	—		969		—		969
Equity derivative contracts	47		1,946		—		1,993
Foreign exchange derivative contracts	2		16		—		18
Other derivative contracts	—		96		—		96
Other	1		12		—		13
Total other liabilities	50		3,039		—		3,089
Total liabilities at fair value	$	50	$	3,048	$	1,215	$	4,313


⁽²⁾	The fair value of the GMWB and GMAB embedded derivatives included $994 million of individual contracts in a liability position and $143 million of individual contracts in an asset position.


⁽³⁾	The Company’s adjustment for nonperformance risk resulted in a $398 million cumulative decrease to the embedded derivatives.

Summary 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
	Corporate Debt Securities			Residential Mortgage Backed Securities			Commercial Mortgage Backed Securities			Asset Backed Securities			Total

Balance, January 1, 2016	$	1,425		$	218		$	3		$	162		$	1,808
Cumulative effect of change in accounting policies	—			—			—			21			21
Total gains (losses) included in:
Net income	(1		)	—			—			(1		)	(2		)	⁽¹⁾
Other comprehensive income	18			(3		)	—			(3		)	12
Purchases	—			—			9			1			10
Settlements	(31		)	(16		)	(2		)	—			(49		)
Transfers out of Level 3	—			(25		)	—			(10		)	(35		)
Balance, March 31, 2016	$	1,411		$	174		$	10		$	170		$	1,765
Changes in unrealized losses relating to assets held at March 31, 2016 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, January 1, 2016	$	364			$	851			$	1,215
Total losses (gains) included in:
Net income	(8		)	⁽¹⁾	602			⁽²⁾	594
Issues	32				68				100
Settlements	(6		)		(6		)		(12		)
Balance, March 31, 2016	$	382			$	1,515			$	1,897
Changes in unrealized losses (gains) relating to liabilities held at March 31, 2016 included in:
Interest credited to fixed accounts	$	(8	)		$	—			$	(8	)
Benefits, claims, losses and settlement expenses	—				616				616

⁽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, 2015	$	1,518		$	206		$	91		$	169		$	2	$	1,986		$	1
Total gains included in:
Other comprehensive income	13			—			—			—			—		13			—
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		$	2	$	1,986		$	1
Changes in unrealized gains relating to assets held at March 31, 2015 included in:
Net investment income	$	—		$	—		$	—		$	—		$	—	$	—		$	—



	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:
Net investment income	$	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.

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, 2016
	Fair Value		Valuation Technique	Unobservable Input	Range				Weighted Average
	(in millions)
Corporate debt securities (private placements)	$	1,397	Discounted cash flow	Yield/spread to U.S. Treasuries	1.2	%	–	4.3%	1.7%
Asset backed securities	$	16	Discounted cash flow	Annual short-term default rate	4.8%
				Annual long-term default rate	2.5%
				Discount rate	16.5%
				Constant prepayment rate	5.0	%	–	10.0%	9.8%
				Loss recovery	36.4	%	–	63.6%	62.6%
IUL embedded derivatives	$	382	Discounted cash flow	Nonperformance risk⁽¹⁾	85			bps
GMWB and GMAB embedded derivatives	$	1,515	Discounted cash flow	Utilization of guaranteed withdrawals⁽²⁾	0.0	%	–	75.6%
				Surrender rate	0.0	%	–	59.1%
				Market volatility⁽³⁾	5.4	%	–	21.6%
				Nonperformance risk⁽¹⁾	85			bps



	December 31, 2015
	Fair Value		Valuation Technique	Unobservable Input	Range				Weighted Average
	(in millions)
Corporate debt securities (private placements)	$	1,411	Discounted cash flow	Yield/spread to U.S. Treasuries	1.1	%	–	3.8%	1.6%
IUL embedded derivatives	$	364	Discounted cash flow	Nonperformance risk⁽¹⁾	68			bps
GMWB and GMAB embedded derivatives	$	851	Discounted cash flow	Utilization of guaranteed withdrawals⁽²⁾	0.0	%	–	75.6%
				Surrender rate	0.0	%	–	59.1%
				Market volatility⁽³⁾	5.4	%	–	21.5%
				Nonperformance risk⁽¹⁾	68			bps


⁽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.

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:



	March 31, 2016
	Carrying Value		Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
	(in millions)
Financial Assets
Mortgage loans, net	$	3,055	$	—	$	—	$	3,154	$	3,154
Policy and certificate loans	828		—		1		802		803
Receivables	1,508		187		1,322		3		1,512
Restricted and segregated cash	2,549		2,549		—		—		2,549
Other investments and assets	570		1		500		54		555

Financial Liabilities
Policyholder account balances, future policy benefits and claims	$	11,352	$	—	$	—	$	12,353	$	12,353
Investment certificate reserves	5,183		—		—		5,173		5,173
Brokerage customer deposits	3,694		3,694		—		—		3,694
Separate account liabilities measured at NAV	4,685								4,685		⁽¹⁾
Debt and other liabilities	3,144		249		2,974		114		3,337



	December 31, 2015
	Carrying Value		Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
	(in millions)
Financial Assets
Mortgage loans, net	$	3,359	$	—	$	—	$	3,372	$	3,372
Policy and certificate loans	824		—		1		803		804
Receivables	1,471		148		1,322		3		1,473
Restricted and segregated cash	2,548		2,548		—		—		2,548
Other investments and assets	583		1		510		54		565

Financial Liabilities
Policyholder account balances, future policy benefits and claims	$	11,523	$	—	$	—	$	12,424	$	12,424
Investment certificate reserves	4,831		—		—		4,823		4,823
Brokerage customer deposits	3,802		3,802		—		—		3,802
Separate account liabilities measured at NAV	4,704								4,704		⁽¹⁾
Debt and other liabilities	3,173		202		2,958		113		3,273


⁽¹⁾	Amounts are comprised of certain investments that are measured at fair value using the NAV per share (or its equivalent) as a practical expedient. See Note 2 for further information.