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Fair Values of Assets and Liabilities (Tables)

6 Months Ended

Jun. 30, 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:


	June 30, 2020
			Level 1			Level 2			Level 3			Total
			(in millions)
Assets
Cash equivalents	$	3,838		$	3,117		$	—		$	6,955
Available-for-Sale securities:
Corporate debt securities	—			11,953			744			12,697
Residential mortgage backed securities	—			9,751			205			9,956
Commercial mortgage backed securities	—			5,880			—			5,880
Asset backed securities	—			2,798			15			2,813
State and municipal obligations	—			1,365			—			1,365
U.S. government and agency obligations	1,465			—			—			1,465
Foreign government bonds and obligations	—			266			—			266
Total Available-for-Sale securities	1,465			32,013			964			34,442

Investments at net asset value (“NAV”)										7		(1)
Trading and other securities	13			27			—			40
Separate account assets at NAV										83,698		(1)

Other assets:
Interest rate derivative contracts	—			3,096			—			3,096
Equity derivative contracts	388			2,254			—			2,642
Credit derivative contracts	—			3			—			3
Foreign exchange derivative contracts	1			35			—			36
Total other assets	389			5,388			—			5,777
Total assets at fair value	$	5,705		$	40,545		$	964		$	130,919


Liabilities
Policyholder account balances, future policy benefits and claims:
Fixed deferred indexed annuity embedded derivatives	$	—	$	3	$	41	$	44
IUL embedded derivatives	—		—		882		882
GMWB and GMAB embedded derivatives	—		—		3,129		3,129		(2)
Structured variable annuity embedded derivatives	—		—		9		9
Total policyholder account balances, future policy benefits and claims	—		3		4,061		4,064		(3)
Customer deposits	—		8		—		8
Other liabilities:
Interest rate derivative contracts	—		1,032		—		1,032
Equity derivative contracts	182		2,376		—		2,558
Credit derivative contracts	—		10		—		10
Foreign exchange derivative contracts	3		12		—		15
Other	2		10		48		60
Total other liabilities	187		3,440		48		3,675
Total liabilities at fair value	$	187	$	3,451	$	4,109	$	7,747


	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 $3.2 billion of individual contracts in a liability position and $25 million of individual contracts in an asset position as of June 30, 2020.

⁽³⁾The Company’s adjustment for nonperformance risk resulted in a $(1.2) billion cumulative increase (decrease) to the embedded derivatives as of June 30, 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.

Fair Value Assets (Liabilities) Measured on Recurring Basis Unobservable Input Reconciliation

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, 2020	$	734		$	17		$	17		$	768
Total gains (losses) included in:
Net income	(1)			—			—			(1)		(1)
Other comprehensive income (loss)	14			1			(1)			14
Purchases	—			187			—			187


Settlements	(3)			—			(1)			(4)


Balance, June 30, 2020	$	744		$	205		$	15		$	964

Changes in unrealized gains (losses) in net income relating to assets held at June 30, 2020	$	(1)		$	—		$	—		$	(1)	(1)
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at June 30, 2020	$	14		$	1		$	(1)		$	14


	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 Variable Annuity Embedded Derivatives			Total
			(in millions)
Balance, April 1, 2020	$	33		$	725		$	3,276		$	(9)		$	4,025		$	42
Total (gains) losses included in:
Net income	7		(2)	148		(2)	(224)		(3)	16		(3)	(53)			1		(4)
Issues	1			30			86			2			119			8
Settlements	—			(21)			(9)			—			(30)			(3)
Balance, June 30, 2020	$	41		$	882		$	3,129		$	9		$	4,061		$	48

Changes in unrealized (gains) losses in net income relating to liabilities held at June 30, 2020	$	—		$	148	(2)	$	(204)	(3)	$	—		$	(56)		$	—


	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 (loss)	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) in net income relating to assets held at June 30, 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
			(in millions)
Balance, April 1, 2019	$	23		$	745		$	180		$	948		$	31
Total (gains) losses included in:
Net income	1		(2)	60		(2)	433		(3)	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 in net income relating to liabilities held at June 30, 2019	$	—		$	60	(2)	$	430	(3)	$	490		$	—


	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)			(2)		(1)
Other comprehensive income (loss)	8			1			(2)			7
Purchases	5			187			—			192


Settlements	(18)			—			(1)			(19)


Balance, June 30, 2020	$	744		$	205		$	15		$	964

Changes in unrealized gains (losses) in net income relating to assets held at June 30, 2020	$	(1)		$	—		$	(1)		$	(2)	(1)
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at June 30, 2020	$	8		$	1		$	(2)		$	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 Variable Annuity Embedded Derivatives			Total
			(in millions)
Balance, January 1, 2020	$	43		$	881		$	763		$	—		$	1,687		$	44
Total gains (losses) included in:
Net income	(5)		(2)	3		(2)	2,196		(3)	13		(3)	2,207			(1)		(4)
Issues	3			38			174			(4)			211			10
Settlements	—			(40)			(4)			—			(44)			(5)
Balance, June 30, 2020	$	41		$	882		$	3,129		$	9		$	4,061		$	48

Changes in unrealized gains (losses) in net income relating to liabilities held at June 30, 2020	$	—		$	3	(2)	$	2,219	(3)	$	—		$	2,222		$	—


	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) in net income relating to assets held at June 30, 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
			(in millions)
Balance, January 1, 2019	$	14		$	628		$	328		$	970		$	30
Total gains (losses) included in:
Net income	3		(2)	158		(2)	203		(3)	364			1		(4)
Issues	14			67			170			251			—
Settlements	—			(34)			(5)			(39)			—
Balance, June 30, 2019	$	31		$	819		$	696		$	1,546		$	31

Changes in unrealized gains (losses) in net income relating to liabilities held at June 30, 2019	$	—		$	158	(2)	$	200	(3)	$	358		$	—

⁽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:


	June 30, 2020
	Fair Value		Valuation Technique	Unobservable Input	Range						Weighted Average
	(in millions)
Corporate debt securities (private placements)	$	743	Discounted cash flow	Yield/spread to U.S. Treasuries ⁽¹⁾		1.4	%	–	5.3%	2.2%
Asset backed securities	$	2	Discounted cash flow	Annual short-term default rate		8.5%						8.5%
				Annual long-term default rate ⁽²⁾		3.5	%	–	4.0%	3.6%
				Discount rate		20.0%						20.0%
				Constant prepayment rate		10.0%						10.0%
				Loss recovery		63.6%						63.6%
IUL embedded derivatives	$	882	Discounted cash flow	Nonperformance risk ⁽³⁾		95 bps						95 bps
Fixed deferred indexed annuity embedded derivatives	$	41	Discounted cash flow	Surrender rate ⁽⁴⁾		0.0	%	–	50.0%	1.4%
				Nonperformance risk ⁽³⁾		95 bps						95 bps
GMWB and GMAB embedded derivatives	$	3,129	Discounted cash flow	Utilization of guaranteed withdrawals ⁽⁵⁾ ⁽⁶⁾		0.0	%	–	36.0%	11.0%
				Surrender rate ⁽⁴⁾		0.1	%	–	73.5%	3.6%
				Market volatility ^{(7) (8)}		4.6	%	–	18.0%	11.9%
				Nonperformance risk ⁽³⁾		95 bps						95 bps
Structured variable annuity embedded derivatives	$	9	Discounted cash flow	Surrender rate ⁽⁴⁾		0.8	%	–	40.0%	0.9%
				Nonperformance risk ⁽³⁾		95 bps						95 bps
Contingent consideration liabilities	$	48	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 for the 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:


	June 30, 2020
	Carrying Value		Fair Value
					Level 1		Level 2		Level 3		Total
	(in millions)
Financial Assets
Mortgage loans, net	$	2,809	$	—	$	22	$	2,823	$	2,845
Policy loans	856		—		—		824		824
Receivables	3,224		179		911		2,188		3,278
Restricted and segregated cash	2,416		2,416		—		—		2,416
Other investments and assets	671		—		575		72		647

Financial Liabilities
Policyholder account balances, future policy benefits and claims	$	9,272	$	—	$	—	$	10,927	$	10,927
Investment certificate reserves	7,442		—		—		7,444		7,444
Banking and brokerage deposits	8,630		8,630		—		—		8,630
Separate account liabilities — investment contracts	4,954		—		4,954		—		4,954
Debt and other liabilities	3,232		219		3,245		16		3,480


	December 31, 2019
	Carrying Value		Fair 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