Fair Values of Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 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:



	September 30, 2016
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Cash equivalents	$	30	$	2,661	$	—	$	2,691
Available-for-Sale securities:
Corporate debt securities	—		15,210		1,342		16,552
Residential mortgage backed securities	—		6,577		285		6,862
Commercial mortgage backed securities	—		3,056		33		3,089
Asset backed securities	—		1,339		165		1,504
State and municipal obligations	—		2,488		—		2,488
U.S. government and agencies obligations	9		1		—		10
Foreign government bonds and obligations	—		275		—		275
Common stocks	4		10		—		14
Common stocks measured at NAV							5		⁽¹⁾
Total Available-for-Sale securities	13		28,956		1,825		30,799
Trading securities	5		28		—		33
Separate account assets measured at NAV							81,511		⁽¹⁾
Investments segregated for regulatory purposes	201		—		—		201
Other assets:
Interest rate derivative contracts	2		3,645		—		3,647
Equity derivative contracts	58		1,394		—		1,452
Credit derivative contracts	—		1		—		1
Foreign exchange derivative contracts	5		70		—		75
Other derivative contracts	—		3		—		3
Total other assets	65		5,113		—		5,178
Total assets at fair value	$	314	$	36,758	$	1,825	$	120,413



Liabilities
Policyholder account balances, future policy benefits and claims:
EIA embedded derivatives	$	—	$	5	$	—	$	5
IUL embedded derivatives	—		—		438		438
GMWB and GMAB embedded derivatives	—		—		1,756		1,756		⁽²⁾
Total policyholder account balances, future policy benefits and claims	—		5		2,194		2,199		⁽³⁾
Customer deposits	—		8		—		8
Other liabilities:
Interest rate derivative contracts	—		1,663		—		1,663
Equity derivative contracts	2		1,874		—		1,876
Foreign exchange derivative contracts	1		34		—		35
Other derivative contracts	1		103		—		104
Other	9		8		13		30
Total other liabilities	13		3,682		13		3,708
Total liabilities at fair value	$	13	$	3,695	$	2,207	$	5,915

⁽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 $1.8 billion of individual contracts in a liability position and $73 million of individual contracts in an asset position.


⁽³⁾	The Company’s adjustment for nonperformance risk resulted in a $764 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 at fair value and NAV	94		3,493		—		3,587
Total assets	$	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															Other Derivative Contracts
	Corporate Debt Securities			Residential Mortgage Backed Securities			Commercial Mortgage Backed Securities		Asset Backed Securities			Total				Other Derivative Contracts
	(in millions)
Balance, July 1, 2016	$	1,350		$	153		$	—	$	178		$	1,681			$	2
Total gains (losses) included in:
Net income	—			—			—		1			1			⁽¹⁾	(2		)	⁽²⁾
Other comprehensive loss	(2		)	1			—		1			—				—
Purchases	20			144			33		12			209				—
Settlements	(26		)	(14		)	—		—			(40		)		—
Transfers out of Level 3	—			1			—		(27		)	(26		)		—
Balance, September 30, 2016	$	1,342		$	285		$	33	$	165		$	1,825			$	—

Changes in unrealized losses relating to assets held at September 30, 2016 included in:
Benefits, claims, losses and settlement expenses	$	—		$	—		$	—	$	—		$	—			$	(2	)

⁽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											Other Liabilities
	IUL Embedded Derivatives				GMWB and GMAB Embedded Derivatives				Total			Other Liabilities
	(in millions)
Balance, July 1, 2016	$	408			$	1,965			$	2,373		$	—
Total (gains) losses included in:
Net income	12			⁽¹⁾	(280		)	⁽²⁾	(268		)	—
Issues	25				77				102			13
Settlements	(7		)		(6		)		(13		)	—
Balance, September 30, 2016	$	438			$	1,756			$	2,194		$	13

Changes in unrealized (gains) losses relating to liabilities held at September 30, 2016 included in:
Interest credited to fixed accounts	$	12			$	—			$	12		$	—
Benefits, claims, losses and settlement expenses	—				(267		)		(267		)	—

⁽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																Trading Securities
	Corporate Debt Securities			Residential Mortgage Backed Securities			Commercial Mortgage Backed Securities			Asset Backed Securities			Total				Trading Securities
	(in millions)
Balance, July 1, 2015	$	1,509		$	279		$	44		$	135		$	1,967			$	1
Total gains (losses) included in:
Net income	(1		)	—			—			1			—			⁽¹⁾	(1		)	⁽¹⁾
Other comprehensive loss	(3		)	(1		)	—			2			(2		)		—
Purchases	124			93			—			5			222				—
Settlements	(90		)	(14		)	(2		)	(8		)	(114		)		—
Transfers out of Level 3	—			(71		)	(37		)	(13		)	(121		)		—
Balance, September 30, 2015	$	1,539		$	286		$	5		$	122		$	1,952			$	—

Changes in unrealized gains (losses) relating to assets held at September 30, 2015 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, 2015	$	292			$	235			$	527
Total (gains) losses included in:
Net income	(1		)	⁽¹⁾	805			⁽²⁾	804
Issues	31				69				100
Settlements	(5		)		(2		)		(7		)
Balance, September 30, 2015	$	317			$	1,107			$	1,424

Changes in unrealized (gains) losses relating to liabilities held at September 30, 2015 included in:
Interest credited to fixed accounts	$	(1	)		$	—			$	(1	)
Benefits, claims, losses and settlement expenses	—				811				811

⁽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																Other Derivative Contracts
	Corporate Debt Securities			Residential Mortgage Backed Securities			Commercial Mortgage Backed Securities			Asset Backed Securities			Total				Other Derivative Contracts
	(in millions)
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	(2		)	—			—			—			(2		)	⁽¹⁾	(2		)	⁽²⁾
Other comprehensive income	29			—			—			(5		)	24				—
Purchases	34			144			42			28			248				2
Settlements	(144		)	(53		)	(3		)	(1		)	(201		)		—
Transfers into Level 3	—			—			—			12			12				—
Transfers out of Level 3	—			(24		)	(9		)	(52		)	(85		)		—
Balance, September 30, 2016	$	1,342		$	285		$	33		$	165		$	1,825			$	—

Changes in unrealized losses relating to assets held at September 30, 2016 included in:
Net investment income	$	(1	)	$	—		$	—		$	—		$	(1	)		$	—
Benefits, claims, losses and settlement expenses	—			—			—			—			—				(2		)

⁽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											Other Liabilities
	IUL Embedded Derivatives				GMWB and GMAB Embedded Derivatives				Total			Other Liabilities
	(in millions)
Balance, January 1, 2016	$	364			$	851			$	1,215		$	—
Total losses included in:
Net income	8			⁽¹⁾	708			⁽²⁾	716			—
Issues	86				215				301			13
Settlements	(20		)		(18		)		(38		)	—
Balance, September 30, 2016	$	438			$	1,756			$	2,194		$	13

Changes in unrealized losses relating to liabilities held at September 30, 2016 included in:
Interest credited to fixed accounts	$	8			$	—			$	8		$	—
Benefits, claims, losses and settlement expenses	—				830				830			—

⁽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																			Trading 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 (losses) included in:
Net income	(2		)	—			—			1			—			(1		)	⁽¹⁾	(1		)	⁽¹⁾
Other comprehensive loss	(9		)	(1		)	—			2			—			(8		)		—
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		$	—		$	1,952			$	—

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.

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, 2016
	Fair Value		Valuation Technique	Unobservable Input	Range				Weighted Average
	(in millions)
Corporate debt securities (private placements)	$	1,339	Discounted cash flow	Yield/spread to U.S. Treasuries	1.0	%	–	3.0%	1.4%
Asset backed securities	$	14	Discounted cash flow	Annual short-term default rate	4.8%
				Annual long-term default rate	2.5%
				Discount rate	14.0%
				Constant prepayment rate	5.0	%	–	10.0%	9.8%
				Loss recovery	36.4	%	–	63.6%	62.7%
IUL embedded derivatives	$	438	Discounted cash flow	Nonperformance risk⁽¹⁾	89 bps
GMWB and GMAB embedded derivatives	$	1,756	Discounted cash flow	Utilization of guaranteed withdrawals⁽²⁾	0.0	%	–	75.6%
				Surrender rate	0.1	%	–	66.4%
				Market volatility⁽³⁾	5.4	%	–	21.6%
				Nonperformance risk⁽¹⁾	89 bps
Contingent consideration liability	$	13	Discounted cash flow	Discount rate	9.0%



	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:



	September 30, 2016
	Carrying Value		Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
	(in millions)
Financial Assets
Mortgage loans, net	$	2,974	$	—	$	—	$	3,090	$	3,090
Policy and certificate loans	835		—		—		810		810
Receivables	1,468		115		1,358		3		1,476
Restricted and segregated cash	2,761		2,761		—		—		2,761
Other investments and assets	525		1		468		54		523

Financial Liabilities
Policyholder account balances, future policy benefits and claims	$	11,071	$	—	$	—	$	12,083	$	12,083
Investment certificate reserves	5,639		—		—		5,632		5,632
Brokerage customer deposits	3,806		3,806		—		—		3,806
Separate account liabilities measured at NAV	4,397								4,397		⁽¹⁾
Debt and other liabilities	3,391		183		3,298		156		3,637



	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.