Fair Values of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2019

Fair Value Disclosures [Abstract]

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, 2019
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Cash equivalents	$	199	$	2,656	$	—	$	2,855
Available-for-Sale securities:
Corporate debt securities	—		12,091		847		12,938
Residential mortgage backed securities	—		6,264		37		6,301
Commercial mortgage backed securities	—		4,801		—		4,801
Asset backed securities	—		1,297		6		1,303
State and municipal obligations	—		1,424		—		1,424
U.S. government and agency obligations	1,710		—		—		1,710
Foreign government bonds and obligations	—		287		—		287
Total Available-for-Sale securities	1,710		26,164		890		28,764
Equity securities	—		1		—		1
Equity securities at net asset value (“NAV”)							6		(1)
Trading securities	11		44		—		55
Separate account assets at NAV							83,571		(1)
Investments and cash equivalents segregated for regulatory purposes	232		—		—		232
Other assets:
Interest rate derivative contracts	3		933		—		936
Equity derivative contracts	84		1,941		—		2,025
Foreign exchange derivative contracts	5		46		—		51
Total other assets	92		2,920		—		3,012
Total assets at fair value	$	2,244	$	31,785	$	890	$	118,496

Liabilities
Policyholder account balances, future policy benefits and claims:
Indexed annuity embedded derivatives	$	—	$	3	$	23	$	26
IUL embedded derivatives	—		—		745		745
GMWB and GMAB embedded derivatives	—		—		180		180		(2)
Total policyholder account balances, future policy benefits and claims	—		3		948		951		(3)
Customer deposits	—		13		—		13
Other liabilities:
Interest rate derivative contracts	—		366		—		366
Equity derivative contracts	34		2,591		—		2,625
Credit derivative contracts	—		21		—		21
Foreign exchange derivative contracts	1		32		—		33
Other	10		7		31		48
Total other liabilities	45		3,017		31		3,093
Total liabilities at fair value	$	45	$	3,033	$	979	$	4,057

	December 31, 2018
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Cash equivalents	$	155	$	2,350	$	—	$	2,505
Available-for-Sale securities:
Corporate debt securities	—		13,153		913		14,066
Residential mortgage backed securities	—		6,193		136		6,329
Commercial mortgage backed securities	—		4,857		20		4,877
Asset backed securities	—		1,392		6		1,398
State and municipal obligations	—		2,345		—		2,345
U.S. government and agency obligations	1,745		—		—		1,745
Foreign government bonds and obligations	—		298		—		298
Total Available-for-Sale securities	1,745		28,238		1,075		31,058
Equity securities	—		1		—		1
Equity securities at NAV							6		(1)
Trading securities	36		38		—		74
Separate account assets at NAV							77,925		(1)
Investments and cash equivalents segregated for regulatory purposes	301		—		—		301
Other assets:
Interest rate derivative contracts	—		796		—		796
Equity derivative contracts	191		1,527		—		1,718
Foreign exchange derivative contracts	5		55		—		60
Total other assets	196		2,378		—		2,574
Total assets at fair value	$	2,433	$	33,005	$	1,075	$	114,444

 

Liabilities
Policyholder account balances, future policy benefits and claims:
Indexed annuity embedded derivatives	$	—	$	3	$	14	$	17
IUL embedded derivatives	—		—		628		628
GMWB and GMAB embedded derivatives	—		—		328		328		(4)
Total policyholder account balances, future policy benefits and claims	—		3		970		973		(5)
Customer deposits	—		6		—		6
Other liabilities:
Interest rate derivative contracts	—		424		—		424
Equity derivative contracts	78		2,076		—		2,154
Credit derivative contracts	—		18		—		18
Foreign exchange derivative contracts	4		31		—		35
Other	13		6		30		49
Total other liabilities	95		2,555		30		2,680
Total liabilities at fair value	$	95	$	2,564	$	1,000	$	3,659

 

⁽¹⁾ Amounts are comprised of certain financial instruments 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.

⁽²⁾ The fair value of the GMWB and GMAB embedded derivatives included $557 million of individual contracts in a liability position and $377 million of individual contracts in an asset position as of March 31, 2019.

⁽³⁾  The Company’s adjustment for nonperformance risk resulted in a $(536) million cumulative increase (decrease) to the embedded derivatives as of March 31, 2019.

⁽⁴⁾  The fair value of the GMWB and GMAB embedded derivatives included $646 million of individual contracts in a liability position and $318 million of individual contracts in an asset position as of December 31, 2018.

⁽⁵⁾  The Company’s adjustment for nonperformance risk resulted in a $(726) million cumulative increase (decrease) to the embedded derivatives as of December 31, 2018.

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
	(in millions)
Balance, January 1, 2019	$	913			$	136			$	20			$	6		$	1,075
Total gains (losses) included in:
Other comprehensive income	15				—				—				—			15
Settlements	(81		)		(4		)		—				—			(85		)
Transfers out of Level 3	—				(95		)		(20		)		—			(115		)
Balance, March 31, 2019	$	847			$	37			$	—			$	6		$	890
Changes in unrealized gains (losses) relating to assets held at March 31, 2019	$	—			$	—			$	—			$	—		$	—
	Policyholder Account Balances, Future Policy Benefits and Claims															Other Liabilities
	Indexed Annuity Embedded Derivatives				IUL Embedded Derivatives				GMWB and GMAB Embedded Derivatives				Total
	(in millions)
Balance, January 1, 2019	$	14			$	628			$	328			$	970		$	30
Total (gains) losses included in:
Net income	2			(1)	98			(1)	(230		)	(2)	(130		)	1			(3)
Issues	7				36				84				127			—
Settlements	—				(17		)		(2		)		(19		)	—
Balance, March 31, 2019	$	23			$	745			$	180			$	948		$	31
Changes in unrealized (gains) losses relating to liabilities held at March 31, 2019	$	—			$	98		(1)	$	(230	)	(2)	$	(132	)	$	—
					Available-for-Sale Securities
					Corporate Debt Securities				Residential Mortgage Backed Securities				Asset Backed Securities			Total
					(in millions)
Balance, January 1, 2018					$	1,139			$	155			$	7		$	1,301
Total gains (losses) included in:
Net income					(1		)		—				—			(1		)	(4)
Other comprehensive loss					(14		)		(2		)		—			(16		)
Purchases					—				—				10			10
Settlements					(29		)		(7		)		—			(36		)
Balance, March 31, 2018					$	1,095			$	146			$	17		$	1,258
Changes in unrealized gains (losses) relating to assets held at March 31, 2018					$	(1	)		$	—			$	—		$	(1	)	(4)

	Policyholder Account Balances, Future Policy Benefits and Claims													Other Liabilities
	Indexed Annuity Embedded Derivatives		IUL Embedded Derivatives				GMWB and GMAB Embedded Derivatives				Total
	(in millions)
Balance, January 1, 2018	$	—	$	601			$	(49	)		$	552		$	28
Total (gains) losses included in:
Net income	—		(25		)	(1)	(356		)	(2)	(381		)	—
Issues	3		20				83				106			—
Settlements	—		(11		)		(7		)		(18		)	—
Balance, March 31, 2018	$	3	$	585			$	(329	)		$	259		$	28
Changes in unrealized (gains) losses relating to liabilities held at March 31, 2018	$	—	$	(25	)	(1)	$	(348	)	(2)	$	(373	)	$	—

⁽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.

⁽³⁾ Included in general and administrative expense in the Consolidated Statements of Operations.

⁽⁴⁾ 

Fair Value Measurement Inputs and Valuation Techniques [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:

	March 31, 2019
	Fair Value		Valuation Technique	Unobservable Input	Range				Weighted Average
	(in millions)
Corporate debt securities (private placements)	$	846	Discounted cash flow	Yield/spread to U.S. Treasuries	0.8	%	–	2.8%	1.3	%
Asset backed securities	$	6	Discounted cash flow	Annual short-term default rate	2.8%
				Annual long-term default rate	2.5%
				Discount rate	11.5%
				Constant prepayment rate	5.0	%	–	10.0%	10.0	%
				Loss recovery	36.4	%	–	63.6%	63.6	%
IUL embedded derivatives	$	745	Discounted cash flow	Nonperformance risk (1)	85 bps
Indexed annuity embedded derivatives	$	23	Discounted cash flow	Surrender rate	0.0	%	–	50.0%
				Nonperformance risk (1)	85 bps
GMWB and GMAB embedded derivatives	$	180	Discounted cash flow	Utilization of guaranteed withdrawals (2)	0.0	%	–	36.0%
				Surrender rate	0.1	%	–	73.4%
				Market volatility (3)	3.9	%	–	15.4%
				Nonperformance risk (1)	85 bps
Contingent consideration liabilities	$	31	Discounted cash flow	Discount rate	9.0%

	December 31, 2018
	Fair Value		Valuation Technique	Unobservable Input	Range				Weighted Average
	(in millions)
Corporate debt securities (private placements)	$	912	Discounted cash flow	Yield/spread to U.S. Treasuries	1.0	%	–	3.6%	1.5	%
Asset backed securities	$	6	Discounted cash flow	Annual short-term default rate	2.3%
				Annual long-term default rate	2.5	%	–	3.0%	2.9	%
				Discount rate	11.5%
				Constant prepayment rate	5.0	%	–	10.0%	10.0	%
				Loss recovery	36.4	%	–	63.6%	63.6	%
IUL embedded derivatives	$	628	Discounted cash flow	Nonperformance risk (1)	119 bps
Indexed annuity embedded derivatives	$	14	Discounted cash flow	Surrender rate	0.0	%	–	50.0%
				Nonperformance risk (1)	119 bps
GMWB and GMAB embedded derivatives	$	328	Discounted cash flow	Utilization of guaranteed withdrawals (2)	0.0	%	–	36.0%
				Surrender rate	0.1	%	–	73.4%
				Market volatility (3)	4.0	%	–	16.1%
				Nonperformance risk (1)	119 bps
Contingent consideration liabilities	$	30	Discounted cash flow	Discount rate	9.0%

⁽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.

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, 2019
	Carrying Value		Fair Value
			Level 1		Level 2		Level 3		Total
	(in millions)
Financial Assets
Mortgage loans, net	$	2,644	$	—	$	—	$	2,657	$	2,657
Policy and certificate loans	854		—		—		802		802
Receivables	3,209		86		958		2,125		3,169
Restricted and segregated cash	2,332		2,332		—		—		2,332
Other investments and assets	590		—		522		61		583
Financial Liabilities
Policyholder account balances, future policy benefits and claims	$	9,456	$	—	$	—	$	9,867	$	9,867
Investment certificate reserves	8,126		—		—		8,099		8,099
Brokerage customer deposits	3,397		3,397		—		—		3,397
Separate account liabilities at NAV	5,098								5,098		(1)
Debt and other liabilities	3,695		105		3,617		40		3,762

	December 31, 2018
	Carrying Value		Fair Value
			Level 1		Level 2		Level 3		Total
	(in millions)
Financial Assets
Mortgage loans, net	$	2,696	$	—	$	—	$	2,661	$	2,661
Policy and certificate loans	861		—		—		810		810
Receivables	1,677		179		965		489		1,633
Restricted and segregated cash	2,609		2,609		—		—		2,609
Other investments and assets	572		—		491		60		551
Financial Liabilities
Policyholder account balances, future policy benefits and claims	$	9,609	$	—	$	—	$	9,672	$	9,672
Investment certificate reserves	7,886		—		—		7,845		7,845
Brokerage customer deposits	3,660		3,660		—		—		3,660
Separate account liabilities at NAV	4,843								4,843		(1)
Debt and other liabilities	3,296		188		3,059		57		3,304

⁽¹⁾ Amounts are comprised of certain financial instruments 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.