XML 49 R39.htm IDEA: XBRL DOCUMENT

Fair Values of Assets and Liabilities (Tables)

6 Months Ended

Jun. 30, 2019

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:



	June 30, 2019
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Cash equivalents	$	452	$	3,168	$	—	$	3,620
Available-for-Sale securities:
Corporate debt securities	—		11,851		809		12,660
Residential mortgage backed securities	—		7,322		448		7,770
Commercial mortgage backed securities	—		5,158		—		5,158
Asset backed securities	—		1,535		24		1,559
State and municipal obligations	—		1,443		—		1,443
U.S. government and agency obligations	1,763		—		—		1,763
Foreign government bonds and obligations	—		289		—		289
Total Available-for-Sale securities	1,763		27,598		1,281		30,642
Equity securities	1		—		—		1
Investments at net asset value (“NAV”)							6		⁽¹⁾
Trading securities	11		35		—		46
Separate account assets at NAV							84,926		⁽¹⁾
Investments and cash equivalents segregated for regulatory purposes	8		—		—		8
Other assets:
Interest rate derivative contracts	—		1,414		—		1,414
Equity derivative contracts	115		2,052		—		2,167
Foreign exchange derivative contracts	—		55		—		55
Total other assets	115		3,521		—		3,636
Total assets at fair value	$	2,350	$	34,322	$	1,281	$	122,885



Liabilities
Policyholder account balances, future policy benefits and claims:
Indexed annuity embedded derivatives	$	—	$	3	$	31	$	34
IUL embedded derivatives	—		—		819		819
GMWB and GMAB embedded derivatives	—		—		696		696		⁽²⁾
Total policyholder account balances, future policy benefits and claims	—		3		1,546		1,549		⁽³⁾
Customer deposits	—		13		—		13
Other liabilities:
Interest rate derivative contracts	—		410		—		410
Equity derivative contracts	22		2,815		—		2,837
Credit derivative contracts	—		12		—		12
Foreign exchange derivative contracts	—		39		—		39
Other	8		8		31		47
Total other liabilities	30		3,284		31		3,345
Total liabilities at fair value	$	30	$	3,300	$	1,577	$	4,907



	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
Investments 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 $927 million of individual contracts in a liability position and $231 million of individual contracts in an asset position as of June 30, 2019.


⁽³⁾	The Company’s adjustment for nonperformance risk resulted in a $(592) million cumulative increase (decrease) to the embedded derivatives as of June 30, 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			Asset Backed Securities		Total
	(in millions)
Balance, April 1, 2019	$	847		$	37		$	6	$	890
Total gains (losses) included in:
Other comprehensive income	13			—			—		13
Purchases	14			417			18		449
Settlements	(65		)	(2		)	—		(67		)
Transfers out of Level 3	—			(4		)	—		(4		)
Balance, June 30, 2019	$	809		$	448		$	24	$	1,281

Changes in unrealized gains (losses) relating to assets held at June 30, 2019	$	—		$	—		$	—	$	—



	Policyholder Account Balances, Future Policy Benefits and Claims														Other Liabilities
	Indexed Annuity Embedded Derivatives			IUL Embedded Derivatives				GMWB and GMAB Embedded Derivatives				Total			Other Liabilities
	(in millions)
Balance, April 1, 2019	$	23		$	745			$	180			$	948		$	31
Total (gains) losses included in:
Net income	1		⁽¹⁾	60			⁽¹⁾	433			⁽²⁾	494			—
Issues	7			31				86				124			—
Settlements	—			(17		)		(3		)		(20		)	—
Balance, June 30, 2019	$	31		$	819			$	696			$	1,546		$	31
Changes in unrealized (gains) losses relating to liabilities held at June 30, 2019	$	—		$	60		⁽¹⁾	$	430		⁽²⁾	$	490		$	—



	Available-for-Sale Securities														Other Derivatives Contracts
	Corporate Debt Securities			Residential Mortgage Backed Securities			Commercial Mortgage Backed Securities		Asset Backed Securities			Total			Other Derivatives Contracts
	(in millions)
Balance, April 1, 2018	$	1,095		$	146		$	—	$	17		$	1,258		$	—
Total gains (losses) included in:
Net income	—			—			—		—			—			(1		)	⁽²⁾
Other comprehensive loss	(12		)	3			—		—			(9		)	—
Purchases	15			—			52		22			89			3
Settlements	(58		)	(12		)	—		—			(70		)	—
Transfers into Level 3	—			—			—		2			2			—
Transfers out of Level 3	—			(17		)	—		(10		)	(27		)	—
Balance, June 30, 2018	$	1,040		$	120		$	52	$	31		$	1,243		$	2

Changes in unrealized gains (losses) relating to assets held at June 30, 2018	$	—		$	—		$	—	$	—		$	—		$	(1	)	⁽²⁾



	Policyholder Account Balances, Future Policy Benefits and Claims													Other Liabilities
	Indexed Annuity Embedded Derivatives		IUL Embedded Derivatives				GMWB and GMAB Embedded Derivatives				Total			Other Liabilities
	(in millions)
Balance, April 1, 2018	$	3	$	585			$	(329	)		$	259		$	28
Total (gains) losses included in:
Net income	—		26			⁽¹⁾	(175		)	⁽²⁾	(149		)	1		⁽³⁾
Issues	5		21				84				110			—
Settlements	—		(12		)		(5		)		(17		)	—
Balance, June 30, 2018	$	8	$	620			$	(425	)		$	203		$	29
Changes in unrealized (gains) losses relating to liabilities held at June 30, 2018	$	—	$	26		⁽¹⁾	$	(173	)	⁽²⁾	$	(147	)	$	—



	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 (loss)	28			—			—			—		28
Purchases	14			417			—			18		449
Settlements	(146		)	(6		)	—			—		(152		)
Transfers out of Level 3	—			(99		)	(20		)	—		(119		)
Balance, June 30, 2019	$	809		$	448		$	—		$	24	$	1,281

Changes in unrealized gains (losses) relating to assets held at June 30, 2019	$	—		$	—		$	—		$	—	$	—



	Policyholder Account Balances, Future Policy Benefits and Claims														Other Liabilities
	Indexed Annuity Embedded Derivatives			IUL Embedded Derivatives				GMWB and GMAB Embedded Derivatives				Total			Other Liabilities
	(in millions)
Balance, January 1, 2019	$	14		$	628			$	328			$	970		$	30
Total (gains) losses included in:
Net income	3		⁽¹⁾	158			⁽¹⁾	203			⁽²⁾	364			1		⁽³⁾
Issues	14			67				170				251			—
Settlements	—			(34		)		(5		)		(39		)	—
Balance, June 30, 2019	$	31		$	819			$	696			$	1,546		$	31
Changes in unrealized (gains) losses relating to liabilities held at June 30, 2019	$	—		$	158		⁽¹⁾	$	200		⁽²⁾	$	358		$	—



	Available-for-Sale Securities															Other Derivatives Contracts
	Corporate Debt Securities			Residential Mortgage Backed Securities			Commercial Mortgage Backed Securities		Asset Backed Securities			Total				Other Derivatives Contracts
	(in millions)
Balance, January 1, 2018	$	1,139		$	155		$	—	$	7		$	1,301			$	—
Total gains (losses) included in:
Net income	(1		)	—			—		—			(1		)	⁽⁴⁾	(1		)	⁽²⁾
Other comprehensive income (loss)	(26		)	1			—		—			(25		)		—
Purchases	15			—			52		32			99				3
Settlements	(87		)	(19		)	—		—			(106		)		—
Transfers into Level 3	—			—			—		2			2				—
Transfers out of Level 3	—			(17		)	—		(10		)	(27		)		—
Balance, June 30, 2018	$	1,040		$	120		$	52	$	31		$	1,243			$	2

Changes in unrealized gains (losses) relating to assets held at June 30, 2018	$	(1	)	$	—		$	—	$	—		$	(1	)	⁽⁴⁾	$	(1	)	⁽²⁾



	Policyholder Account Balances, Future Policy Benefits and Claims													Other Liabilities
	Indexed Annuity Embedded Derivatives		IUL Embedded Derivatives				GMWB and GMAB Embedded Derivatives				Total			Other Liabilities
	(in millions)
Balance, January 1, 2018	$	—	$	601			$	(49	)		$	552		$	28
Total (gains) losses included in:
Net income	—		1			⁽¹⁾	(531		)	⁽²⁾	(530		)	1		⁽³⁾
Issues	8		41				167				216			—
Settlements	—		(23		)		(12		)		(35		)	—
Balance, June 30, 2018	$	8	$	620			$	(425	)		$	203		$	29
Changes in unrealized (gains) losses relating to liabilities held at June 30, 2018	$	—	$	1		⁽¹⁾	$	(521	)	⁽²⁾	$	(520	)	$	—

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

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:



	June 30, 2019
	Fair Value		Valuation Technique	Unobservable Input	Range				Weighted Average
	(in millions)
Corporate debt securities (private placements)	$	808	Discounted cash flow	Yield/spread to U.S. Treasuries	0.8	%	–	2.9%	1.3	%
Asset backed securities	$	6	Discounted cash flow	Annual short-term default rate	2.8%
				Annual long-term default rate	2.5	%	–	3.0%	2.6	%
				Discount rate	11.0%
				Constant prepayment rate	5.0	%	–	10.0%	10.0	%
				Loss recovery	36.4	%	–	63.6%	63.6	%
IUL embedded derivatives	$	819	Discounted cash flow	Nonperformance risk ⁽¹⁾	78 bps
Indexed annuity embedded derivatives	$	31	Discounted cash flow	Surrender rate	0.0	%	–	50.0%
				Nonperformance risk ⁽¹⁾	78 bps
GMWB and GMAB embedded derivatives	$	696	Discounted cash flow	Utilization of guaranteed withdrawals ⁽²⁾	0.0	%	–	36.0%
				Surrender rate	0.1	%	–	73.4%
				Market volatility ⁽³⁾	3.8	%	–	15.6%
				Nonperformance risk ⁽¹⁾	78 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:



	June 30, 2019
	Carrying Value		Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
	(in millions)
Financial Assets
Mortgage loans, net	$	2,662	$	—	$	—	$	2,725	$	2,725
Policy and certificate loans	861		—		—		807		807
Receivables	3,212		89		978		2,227		3,294
Restricted and segregated cash	2,369		2,369		—		—		2,369
Other investments and assets	582		—		535		43		578

Financial Liabilities
Policyholder account balances, future policy benefits and claims	$	9,331	$	—	$	—	$	10,065	$	10,065
Investment certificate reserves	7,938		—		—		7,920		7,920
Banking and brokerage deposits	5,341		5,341		—		—		5,341
Separate account liabilities — investment contracts	5,125		—		5,125		—		5,125
Debt and other liabilities	3,381		100		3,360		31		3,491



	December 31, 2018
	Carrying Value		Fair Value
	Carrying 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 deposits	3,660		3,660		—		—		3,660
Separate account liabilities — investment contracts	4,843		—		4,843		—		4,843		⁽¹⁾
Debt and other liabilities	3,296		188		3,059		57		3,304

⁽¹⁾ The fair value of separate account liabilities - investment contracts as of December 31, 2018 was previously incorrectly omitted from the fair value hierarchy based on use of NAV per share as a practical expedient.