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Fair Values of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2020

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, 2020
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Cash equivalents	$	2,680	$	4,520	$	—	$	7,200
Available-for-Sale securities:
Corporate debt securities	—		10,960		734		11,694
Residential mortgage backed securities	—		9,698		17		9,715
Commercial mortgage backed securities	—		5,395		—		5,395
Asset backed securities	—		2,067		17		2,084
State and municipal obligations	—		1,330		—		1,330
U.S. government and agency obligations	1,376		—		—		1,376
Foreign government bonds and obligations	—		252		—		252
Total Available-for-Sale securities	1,376		29,702		768		31,846
Investments at net asset value (“NAV”)							7		⁽¹⁾
Trading and other securities	13		21		—		34
Separate account assets at NAV							75,305		⁽¹⁾
Investments and cash equivalents segregated for regulatory purposes	25		—		—		25
Other assets:
Interest rate derivative contracts	1		3,096		—		3,097
Equity derivative contracts	662		1,893		—		2,555
Credit derivative contracts	—		13		—		13
Foreign exchange derivative contracts	2		40		—		42
Total other assets	665		5,042		—		5,707
Total assets at fair value	$	4,759	$	39,285	$	768	$	120,124



Liabilities
Policyholder account balances, future policy benefits and claims:
Fixed deferred indexed annuity embedded derivatives	$	—	$	2	$	33		$	35
IUL embedded derivatives	—		—		725			725
GMWB and GMAB embedded derivatives	—		—		3,276			3,276			⁽²⁾
Structured annuity embedded derivatives	—		—		(9		)	(9		)
Total policyholder account balances, future policy benefits and claims	—		2		4,025			4,027			⁽³⁾
Customer deposits	—		5		—			5
Other liabilities:
Interest rate derivative contracts	—		1,238		—			1,238
Equity derivative contracts	296		1,944		—			2,240
Foreign exchange derivative contracts	3		16		—			19
Other	3		10		42			55
Total other liabilities	302		3,208		42			3,552
Total liabilities at fair value	$	302	$	3,215	$	4,067		$	7,584



	December 31, 2019
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Cash equivalents	$	267	$	2,924	$	—	$	3,191
Available-for-Sale securities:
Corporate debt securities	—		11,437		750		12,187
Residential mortgage backed securities	—		10,012		17		10,029
Commercial mortgage backed securities	—		5,563		—		5,563
Asset backed securities	—		1,987		19		2,006
State and municipal obligations	—		1,367		—		1,367
U.S. government and agency obligations	1,680		—		—		1,680
Foreign government bonds and obligations	—		271		—		271
Other securities	—		26		—		26
Total Available-for-Sale securities	1,680		30,663		786		33,129
Equity securities	1		—		—		1
Investments at NAV							6		⁽¹⁾
Trading and other securities	12		26		—		38
Separate account assets at NAV							87,488		⁽¹⁾
Investments and cash equivalents segregated for regulatory purposes	14		—		—		14
Other assets:
Interest rate derivative contracts	—		1,455		—		1,455
Equity derivative contracts	162		2,722		—		2,884
Credit derivative contracts	—		4		—		4
Foreign exchange derivative contracts	1		17		—		18
Total other assets	163		4,198		—		4,361
Total assets at fair value	$	2,137	$	37,811	$	786	$	128,228



Liabilities
Policyholder account balances, future policy benefits and claims:
Fixed deferred indexed annuity embedded derivatives	$	—	$	3	$	43	$	46
IUL embedded derivatives	—		—		881		881
GMWB and GMAB embedded derivatives	—		—		763		763		⁽⁴⁾
Total policyholder account balances, future policy benefits and claims	—		3		1,687		1,690		⁽⁵⁾
Customer deposits	—		14		—		14
Other liabilities:
Interest rate derivative contracts	—		418		—		418
Equity derivative contracts	36		3,062		—		3,098
Foreign exchange derivative contracts	1		8		—		9
Other	6		4		44		54
Total other liabilities	43		3,492		44		3,579
Total liabilities at fair value	$	43	$	3,509	$	1,731	$	5,283


⁽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 $3.3 billion of individual contracts in a liability position and $12 million of individual contracts in an asset position as of March 31, 2020.


⁽³⁾	The Company’s adjustment for nonperformance risk resulted in a $(2.7) billion cumulative increase (decrease) to the embedded derivatives as of March 31, 2020.


⁽⁴⁾	The fair value of the GMWB and GMAB embedded derivatives included $981 million of individual contracts in a liability position and $218 million of individual contracts in an asset position as of December 31, 2019.

⁽⁵⁾

The Company’s adjustment for nonperformance risk resulted in a $(502) million cumulative increase (decrease) to the embedded derivatives as of December 31, 2019.

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, January 1, 2020	$	750		$	17	$	19		$	786
Total gains (losses) included in:
Net income	—			—		(1		)	(1		)	⁽¹⁾
Other comprehensive income (loss)	(6		)	—		(1		)	(7		)
Purchases	5			—		—			5
Settlements	(15		)	—		—			(15		)
Balance, March 31, 2020	$	734		$	17	$	17		$	768

Changes in unrealized gains (losses) in net income relating to assets held at March 31, 2020	$	—		$	—	$	(1	)	$	(1	)	⁽¹⁾
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at March 31, 2020	$	(6	)	$	—	$	(1	)	$	(7	)



	Policyholder Account Balances, Future Policy Benefits and Claims																		Other Liabilities
	Fixed Deferred Indexed Annuity Embedded Derivatives				IUL Embedded Derivatives				GMWB and GMAB Embedded Derivatives			Structured Annuity Embedded Derivatives				Total			Other Liabilities
	(in millions)
Balance, January 1, 2020	$	43			$	881			$	763		$	—			$	1,687		$	44
Total (gains) losses included in:
Net income	(12		)	⁽²⁾	(145		)	⁽²⁾	2,420		⁽³⁾	(3		)	⁽³⁾	2,260			(2		)	⁽⁴⁾
Issues	2				8				88			(6		)		92			2
Settlements	—				(19		)		5			—				(14		)	(2		)
Balance, March 31, 2020	$	33			$	725			$	3,276		$	(9	)		$	4,025		$	42

Changes in unrealized (gains) losses in net income relating to liabilities held at March 31, 2020	$	—			$	(145	)	⁽²⁾	$	2,423	⁽³⁾	$	—			$	2,278		$	—



	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)	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) in net income relating to assets held at March 31, 2019	$	—		$	—		$	—		$	—	$	—



	Policyholder Account Balances, Future Policy Benefits and Claims														Other Liabilities
	Fixed Deferred 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	2		⁽²⁾	98			⁽²⁾	(230		)	⁽³⁾	(130		)	1		⁽⁴⁾
Issues	7			36				84				127			—
Settlements	—			(17		)		(2		)		(19		)	—
Balance, March 31, 2019	$	23		$	745			$	180			$	948		$	31

Changes in unrealized (gains) losses in net income relating to liabilities held at March 31, 2019	$	—		$	98		⁽²⁾	$	(230	)	⁽³⁾	$	(132	)	$	—

⁽¹⁾ Included in net investment income in the Consolidated Statements of Operations.

⁽²⁾ Included in interest credited to fixed accounts in the Consolidated Statements of Operations.

⁽³⁾ Included in benefits, claims, losses and settlement expenses in the Consolidated Statements of Operations.

⁽⁴⁾ Included in general and administrative expense in the Consolidated Statements of Operations.

Signficant unobservable inputs used in the fair value measurements [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, 2020
	Fair Value			Valuation Technique	Unobservable Input	Range				Weighted Average
	(in millions)
Corporate debt securities (private placements)	$	733		Discounted cash flow	Yield/spread to U.S. Treasuries ⁽¹⁾	1.8	%	–	6.0%	2.8	%
Asset backed securities	$	3		Discounted cash flow	Annual short-term default rate	8.0%				8.0	%
					Annual long-term default rate ⁽²⁾	3.0	%	–	3.5%	3.1	%
					Discount rate	20.0%				20.0	%
					Constant prepayment rate	10.0%				10.0	%
					Loss recovery	63.6%				63.6	%
IUL embedded derivatives	$	725		Discounted cash flow	Nonperformance risk ⁽³⁾	210 bps				210 bps
Fixed deferred indexed annuity embedded derivatives	$	33		Discounted cash flow	Surrender rate ⁽⁴⁾	0.0	%	–	50.0%	1.4	%
					Nonperformance risk ⁽³⁾	210 bps				210 bps
GMWB and GMAB embedded derivatives	$	3,276		Discounted cash flow	Utilization of guaranteed withdrawals ⁽⁵⁾ ⁽⁶⁾	0.0	%	–	36.0%	10.8	%
					Surrender rate ⁽⁴⁾	0.1	%	–	73.5%	3.4	%
					Market volatility ^{(7) (8)}	4.8	%	–	19.2%	12.6	%
					Nonperformance risk ⁽³⁾	210 bps				210 bps
Structured annuity embedded derivatives	$	(9	)	Discounted cash flow	Surrender rate ⁽⁴⁾	0.8	%	–	40.0%	0.9	%
					Nonperformance risk ⁽³⁾	210 bps				210 bps
Contingent consideration liabilities	$	42		Discounted cash flow	Discount rate	9.0%				9.0	%



	December 31, 2019
	Fair Value		Valuation Technique	Unobservable Input	Range				Weighted Average
	(in millions)
Corporate debt securities (private placements)	$	749	Discounted cash flow	Yield/spread to U.S. Treasuries	0.8	%	–	2.8%	1.2	%
Asset backed securities	$	5	Discounted cash flow	Annual short-term default rate	3.3%
				Annual long-term default rate	3.0%
				Discount rate	12.0%
				Constant prepayment rate	5.0	%	–	10.0%	10.0	%
				Loss recovery	36.4	%	–	63.6%	63.6	%
IUL embedded derivatives	$	881	Discounted cash flow	Nonperformance risk ⁽³⁾	65 bps
Fixed deferred indexed annuity embedded derivatives	$	43	Discounted cash flow	Surrender rate	0.0	%	–	50.0%
				Nonperformance risk ⁽³⁾	65 bps
GMWB and GMAB embedded derivatives	$	763	Discounted cash flow	Utilization of guaranteed withdrawals ⁽⁵⁾	0.0	%	–	36.0%
				Surrender rate	0.1	%	–	73.5%
				Market volatility ⁽⁷⁾	3.7	%	–	15.9%
				Nonperformance risk ⁽³⁾	65 bps
Contingent consideration liabilities	$	44	Discounted cash flow	Discount rate	9.0%

⁽¹⁾The weighted average spread to U.S. Treasuries for corporate debt securities (private placements) is weighted based on the security’s market value as a percentage of the aggregate market value of the securities.

⁽²⁾The weighted average annual long-term default rate of asset backed securities is weighted based on the security’s market value as a percentage of the aggregate market value of the securities.


⁽³⁾	The nonperformance risk is the spread added to the observable interest rates used in the valuation of the embedded derivatives.

⁽⁴⁾The weighted average surrender rate is weighted based on the benefit base of each contract and represents the average assumption in the current year including the effect of a dynamic surrender formula.


⁽⁵⁾	The utilization of guaranteed withdrawals represents the percentage of contractholders that will begin withdrawing in any given year.


⁽⁶⁾	The weighted average utilization rate represents the average assumption for the current year, weighting each policy evenly. The calculation excludes policies that have already started taking withdrawals.


⁽⁷⁾	Market volatility is implied volatility of fund of funds and managed volatility funds.

⁽⁸⁾

The weighted average market volatility represents the average volatility across all contracts, weighted by the size of the guaranteed benefit.

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, 2020
	Carrying Value		Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
	(in millions)
Financial Assets
Mortgage loans, net	$	2,779	$	—	$	—	$	2,743	$	2,743
Policy loans	869		—		—		810		810
Receivables	3,104		100		862		2,044		3,006
Restricted and segregated cash	2,823		2,823		—		—		2,823
Other investments and assets	680		—		467		159		626

Financial Liabilities
Policyholder account balances, future policy benefits and claims	$	9,075	$	—	$	—	$	9,884	$	9,884
Investment certificate reserves	7,331		—		—		7,315		7,315
Banking and brokerage deposits	9,678		9,678		—		—		9,678
Separate account liabilities — investment contracts	4,731		—		4,731		—		4,731
Debt and other liabilities	2,644		129		2,569		16		2,714



	December 31, 2019
	Carrying Value		Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
	(in millions)
Financial Assets
Mortgage loans, net	$	2,778	$	—	$	—	$	2,833	$	2,833
Policy loans	868		—		—		810		810
Receivables	3,168		102		934		2,229		3,265
Restricted and segregated cash	2,372		2,372		—		—		2,372
Other investments and assets	671		—		626		46		672

Financial Liabilities
Policyholder account balances, future policy benefits and claims	$	9,110	$	—	$	—	$	10,061	$	10,061
Investment certificate reserves	7,508		—		—		7,497		7,497
Banking and brokerage deposits	6,929		6,929		—		—		6,929
Separate account liabilities — investment contracts	5,403		—		5,403		—		5,403
Debt and other liabilities	3,374		104		3,372		21		3,497