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Fair Values of Assets and Liabilities (Tables)
 9 Months Ended
Sep. 30, 2020
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: 
 September 30, 2020 
Level 1Level 2Level 3Total
(in millions)
Assets
Cash equivalents$3,171 $3,115 $— $6,286  
Available-for-Sale securities:
Corporate debt securities— 12,280 742 13,022  
Residential mortgage backed securities— 10,208 50 10,258  
Commercial mortgage backed securities— 6,212 — 6,212  
Asset backed securities— 3,058 30 3,088  
State and municipal obligations— 1,380 — 1,380  
U.S. government and agency obligations1,680 — — 1,680  
Foreign government bonds and obligations— 267 — 267  
Other securities— 52 — 52 
Total Available-for-Sale securities1,680 33,457 822 35,959  
Investments at net asset value (“NAV”)7 (1)
Trading and other securities10 25 — 35 
Separate account assets at NAV86,128 (1)
Other assets:
Interest rate derivative contracts— 2,015 — 2,015  
Equity derivative contracts442 2,990 — 3,432  
Credit derivative contracts— 5 — 5 
Foreign exchange derivative contracts— 36 — 36  
Total other assets 442 5,046 — 5,488  
Total assets at fair value$5,303 $41,643 $822 $133,903  
Liabilities
Policyholder account balances, future policy benefits and claims:
Fixed deferred indexed annuity embedded derivatives$— $3 $44 $47  
IUL embedded derivatives— — 926 926  
GMWB and GMAB embedded derivatives— — 2,943 2,943 (2)
Structured variable annuity embedded derivatives— — 9 9 
Total policyholder account balances, future policy benefits and claims— 3 3,922 3,925 (3)
Customer deposits— 8 — 8  
Other liabilities:
Interest rate derivative contracts— 934 — 934  
Equity derivative contracts168 2,840 — 3,008  
Foreign exchange derivative contracts2 5 — 7 
Other2 7 40 49  
Total other liabilities172 3,786 40 3,998  
Total liabilities at fair value$172 $3,797 $3,962 $7,931  
 December 31, 2019
 
Level 1Level 2Level 3Total
(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 obligations1,680 — — 1,680  
Foreign government bonds and obligations— 271 — 271  
Other securities— 26 — 26 
Total Available-for-Sale securities1,680 30,663 786 33,129  
Equity securities1 — — 1 
Investments at NAV6 (1)
Trading and other securities12 26 — 38  
Separate account assets at NAV87,488 (1)
Investments and cash equivalents segregated for regulatory purposes14 — — 14 
Other assets:
Interest rate derivative contracts— 1,455 — 1,455  
Equity derivative contracts162 2,722 — 2,884  
Credit derivative contracts— 4 — 4 
Foreign exchange derivative contracts1 17 — 18  
Total other assets163 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 contracts36 3,062 — 3,098  
Foreign exchange derivative contracts1 8 — 9 
Other6 4 44 54  
Total other liabilities43 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 $3.0 billion of individual contracts in a liability position and $36 million of individual contracts in an asset position as of September 30, 2020.
(3) The Company’s adjustment for nonperformance risk resulted in a $(1.0) billion cumulative increase (decrease) to the embedded derivatives as of September 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 SecuritiesResidential Mortgage Backed SecuritiesAsset Backed SecuritiesTotal
(in millions)
Balance, July 1, 2020
$744 $205 $15 $964 
Total gains (losses) included in:
Other comprehensive income (loss)5 — 1 6 
Purchases7 33 — 40 
Settlements(14)— 1 (13)
Transfers into Level 3— — 13 13 
Transfers out of Level 3— (188)— (188)
Balance, September 30, 2020
$742 $50 $30 $822 
Changes in unrealized gains (losses) in net income relating to assets held at September 30, 2020
$— $— $— $— 
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at September 30, 2020
$5 $— $1 $6 
Policyholder Account Balances, Future Policy Benefits and ClaimsOther Liabilities
Fixed Deferred Indexed Annuity Embedded DerivativesIUL Embedded DerivativesGMWB and GMAB Embedded DerivativesStructured Variable Annuity Embedded DerivativesTotal
(in millions)
Balance, July 1, 2020
$41 $882 $3,129 $9 $4,061 $48 
Total (gains) losses included in:
Net income3 (1)50 (1)(296)(2)3 (2)(240)(11)(3)
Issues— 15 93 (3)105 5 
Settlements— (21)17 — (4)(2)
Balance, September 30, 2020
$44 $926 $2,943 $9 $3,922 $40 
Changes in unrealized (gains) losses in net income relating to liabilities held at September 30, 2020
$— $50 (1)$(283)(2)$— $(233)$— 
Available-for-Sale Securities
Corporate Debt SecuritiesResidential Mortgage Backed SecuritiesAsset Backed SecuritiesTotal
(in millions)
Balance, July 1, 2019
$809 $448 $24 $1,281 
Total gains (losses) included in:
Net income(1)— — (1)(4)
Other comprehensive income (loss)4 — — 4 
Purchases21 60 — 81 
Settlements(39)(6)— (45)
Transfers into Level 3— — 14 14 
Transfers out of Level 3— (348)(18)(366)
Balance, September 30, 2019
$794 $154 $20 $968 
Changes in unrealized gains (losses) in net income relating to assets held at September 30, 2019
$— $— $— $— 
Policyholder Account Balances, Future Policy Benefits and ClaimsOther Liabilities
Fixed Deferred Indexed Annuity Embedded DerivativesIUL Embedded DerivativesGMWB and GMAB Embedded DerivativesTotal
(in millions)
Balance, July 1, 2019
$31 $819 $696 $1,546 $31 
Total (gains) losses included in:
Net income— (5)(1)663 (2)658 (5)(3)
Issues6 25 96 127 — 
Settlements— (17)(3)(20)— 
Balance, September 30, 2019
$37 $822 $1,452 $2,311 $26 
Changes in unrealized (gains) losses in net income relating to liabilities held at September 30, 2019
$— $(5)(1)$660 (2)$655 $— 
Available-for-Sale Securities
Corporate Debt SecuritiesResidential Mortgage Backed SecuritiesAsset Backed SecuritiesTotal
(in millions)
Balance, January 1, 2020
$750 $17 $19 $786 
Total gains (losses) included in:
Net income(1)— (1)(2)(4)
Other comprehensive income (loss)13 1 (1)13 
Purchases12 220 — 232 
Settlements(32)— — (32)
Transfers into Level 3— — 13 13 
Transfers out of Level 3— (188)— (188)
Balance, September 30, 2020
$742 $50 $30 $822 
Changes in unrealized gains (losses) in net income relating to assets held at September 30, 2020
$(1)$— $(1)$(2)(4)
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at September 30, 2020
$13 $1 $(1)$13 
Policyholder Account Balances, Future Policy Benefits and ClaimsOther Liabilities
Fixed Deferred Indexed Annuity Embedded DerivativesIUL Embedded DerivativesGMWB and GMAB Embedded DerivativesStructured Annuity Embedded DerivativesTotal
(in millions)
Balance, January 1, 2020
$43 $881 $763 $— $1,687 $44 
Total gains (losses) included in:
Net income(2)(1)53 (1)1,900 (2)16 (2)1,967 (12)(3)
Issues3 53 267 (7)316 15 
Settlements— (61)13 — (48)(7)
Balance, September 30, 2020
$44 $926 $2,943 $9 $3,922 $40 
Changes in unrealized gains (losses) in net income relating to liabilities held at September 30, 2020
$— $53 (1)$1,936 (2)$— $1,989 $— 
Available-for-Sale Securities
Corporate Debt SecuritiesResidential Mortgage Backed SecuritiesCommercial Mortgage Backed SecuritiesAsset Backed SecuritiesTotal
(in millions)
Balance, January 1, 2019
$913 $136 $20 $6 $1,075 
Total gains (losses) included in:
Net income(1)— — — (1)(4)
Other comprehensive income (loss)32 — — — 32 
Purchases35 477 — 18 530 
Settlements(185)(12)— — (197)
Transfers into Level 3— — — 14 14 
Transfers out of Level 3— (447)(20)(18)(485)
Balance, September 30, 2019
$794 $154 $— $20 $968 
Changes in unrealized gains (losses)
in net income relating to assets held at September 30, 2019
$(1)$— $— $— $(1)(4)
Policyholder Account Balances, Future Policy Benefits and ClaimsOther Liabilities
Fixed Deferred Indexed Annuity Embedded DerivativesIUL Embedded DerivativesGMWB and GMAB Embedded DerivativesTotal
(in millions)
Balance, January 1, 2019
$14 $628 $328 $970 $30 
Total gains (losses) included in:
Net income3 (1)153 (1)866 (2)1,022 (4)(3)
Issues20 92 266 378 — 
Settlements— (51)(8)(59)— 
Balance, September 30, 2019
$37 $822 $1,452 $2,311 $26 
Changes in unrealized gains (losses) in net income relating to liabilities held at September 30, 2019
$— $153 (1)$859 (2)$1,012 $— 
(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.
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:
 
September 30, 2020
Fair ValueValuation TechniqueUnobservable InputRange 
Weighted Average
(in millions)
Corporate debt securities (private placements)
$734 
Discounted cash flow
Yield/spread to U.S. Treasuries (1)
1.2 %–4.5%1.9%
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
15.0%15.0%
Constant prepayment rate
10.0%10.0%
Loss recovery
63.6%63.6%
IUL embedded derivatives
$926 
Discounted cash flow
Nonperformance risk (3)
85 bps85 bps
Fixed deferred indexed annuity embedded derivatives
$44 
Discounted cash flow
Surrender rate (4)
0.0 %
–
50.0%1.2%
 
 
 
Nonperformance risk (3)
85 bps85 bps
GMWB and GMAB embedded derivatives
$2,943 
Discounted cash flow
Utilization of guaranteed withdrawals (5) (6)
0.0 %–48.0%10.5%
 
 
 
Surrender rate (4)
0.1 %–73.5%3.6%
 
 
 
Market volatility (7) (8)
4.6 %–17.9%11.8%
 
 
 
Nonperformance risk (3)
85 bps85 bps
Structured variable annuity embedded derivatives
$9 
Discounted cash flow
Surrender rate (4)
0.8 %–40.0%0.9%
Nonperformance risk (3)
85 bps85 bps
Contingent consideration liabilities
$40 
Discounted cash flow
Discount rate (9)
0.0 %–9.0 %3.3%

 
December 31, 2019
Fair ValueValuation TechniqueUnobservable InputRangeWeighted 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.
(9) The weighted average discount rate represents the average discount rate across all contingent consideration liabilities, weighted based on the size of the contingent consideration liability.
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, 2020
Carrying ValueFair Value
Level 1Level 2Level 3Total
(in millions)
Financial Assets
Mortgage loans, net$2,770 $— $22 $2,875 $2,897 
Policy loans849 — 849 — 849 (1)
Receivables 3,175 57 972 2,360 3,389 
Restricted and segregated cash2,551 2,551 — — 2,551 
Other investments and assets750 — 642 96 738 
Financial Liabilities
Policyholder account balances, future policy benefits and claims
$9,600 $— $— $11,300 $11,300 
Investment certificate reserves7,156 — — 6,350 6,350 
Banking and brokerage deposits9,666 9,666 — — 9,666 
Separate account liabilities — investment contracts5,103 — 5,103 — 5,103 
Debt and other liabilities3,115 103 3,257 15 3,375 
 December 31, 2019
Carrying ValueFair Value
Level 1Level 2Level 3Total
(in millions)
Financial Assets
Mortgage loans, net$2,778 $— $— $2,833 $2,833 
Policy loans868 — 868 — 868 (1)
Receivables3,168 102 934 2,229 3,265 
Restricted and segregated cash2,372 2,372 — — 2,372 
Other investments and assets671 — 626 46 672 
Financial Liabilities
Policyholder account balances, future policy benefits and claims$9,110 $— $— $10,061 $10,061 
Investment certificate reserves7,508 — — 7,497 7,497 
Banking and brokerage deposits6,929 6,929 — — 6,929 
Separate account liabilities — investment contracts5,403 — 5,403 — 5,403 
Debt and other liabilities3,374 104 3,372 21 3,497 
(1) During the third quarter of 2020, management changed the fair value methodology for policy loans from estimating future expected cash flows and discounting the cash flows at a rate based on the U.S. Treasury curve to using the carrying value as an approximation of fair value as the policy loans are fully collateralized by the cash surrender value of the underlying policies. As a result, policy loans were reclassified from Level 3 to Level 2 in the valuation hierarchy. For comparability and consistency purposes, prior period amounts were revised to reflect the current methodology and classification.