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Fair Value of Assets and Liabilities Fair Value of Assets and Liabilities (Tables)

12 Months Ended

Dec. 31, 2020

Schedule of balances of assets and liabilities measured at fair value on a recurring basis[Table Text Block]

The following tables present the balances of assets and liabilities of Ameriprise Financial measured at fair value on a recurring basis:


	December 31, 2020
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Cash equivalents	$	2,935	$	2,506	$	—	$	5,441
Available-for-Sale securities:
Corporate debt securities	—		12,902		772		13,674
Residential mortgage backed securities	—		10,020		9		10,029
Commercial mortgage backed securities	—		6,088		—		6,088
Asset backed securities	—		3,297		32		3,329
State and municipal obligations	—		1,384		—		1,384
U.S. government and agency obligations	1,456		—		—		1,456
Foreign government bonds and obligations	—		262		—		262
Other securities	—		61		—		61
Total Available-for-Sale securities	1,456		34,014		813		36,283

Investments at NAV							8		(1)
Trading and other securities	61		27		—		88
Separate account assets at NAV							92,611		(1)
Investments and cash equivalents segregated for regulatory purposes	600		—		—		600
Other assets:
Interest rate derivative contracts	1		1,754		—		1,755
Equity derivative contracts	408		3,682		—		4,090
Credit derivative contracts	—		2		—		2
Foreign exchange derivative contracts	1		22		—		23
Total other assets	410		5,460		—		5,870
Total assets at fair value	$	5,462	$	42,007	$	813	$	140,901

Liabilities
Policyholder account balances, future policy benefits and claims:
Fixed deferred indexed annuity embedded derivatives	$	—	$	3	$	49	$	52
IUL embedded derivatives	—		—		935		935
GMWB and GMAB embedded derivatives	—		—		2,316		2,316		(2)
Structured variable annuity embedded derivatives	—		—		70		70
Total policyholder account balances, future policy benefits and claims	—		3		3,370		3,373		(3)
Customer deposits	—		8		—		8
Other liabilities:
Interest rate derivative contracts	—		734		—		734
Equity derivative contracts	183		3,388		—		3,571
Credit derivative contracts	—		1		—		1
Foreign exchange derivative contracts	2		4		—		6
Other	2		3		43		48
Total other liabilities	187		4,130		43		4,360
Total liabilities at fair value	$	187	$	4,141	$	3,413	$	7,741


	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 $2.4 billion of individual contracts in a liability position and $67 million of individual contracts in an asset position (recorded as a contra liability) as of December 31, 2020.

(3) The Company’s adjustment for nonperformance risk resulted in a $727 million cumulative decrease to the embedded derivatives as of December 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 (recorded as a contra liability) as of December 31, 2019.

(5) The Company’s adjustment for nonperformance risk resulted in a $502 million cumulative 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 [Table Text Block]

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)	15		1		(1)		15
Purchases	62		220		—		282


Settlements	(54)		—		—		(54)
Transfers into Level 3	—		—		14		14
Transfers out of Level 3	—		(229)		—		(229)
Balance, December 31, 2020	$	772	$	9	$	32	$	813

Changes in unrealized gains (losses) relating to assets held at December 31, 2020	$	(1)	$	—	$	(1)	$	(2)	(1)
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at December 31, 2020	$	16	$	1	$	(1)	$	16


	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	4		(2)	76		(2)	1,152		(3)	91		(3)	1,323		(12)		(4)
Issues	3			61			362			(21)			405		20
Settlements	(1)			(83)			39			—			(45)		(9)
Balance, December 31, 2020	$	49		$	935		$	2,316		$	70		$	3,370	$	43

Changes in unrealized (gains) losses relating to liabilities held at December 31, 2020	$	—		$	76	(2)	$	1,206	(3)	$	—		$	1,282	$	—


	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:
Net income	(1)		—		—		—		(1)		(1)
Other comprehensive income (loss)	31		—		—		(1)		30
Purchases	55		477		—		18		550
Settlements	(248)		(12)		—		—		(260)
Transfers into Level 3	—		—		—		14		14
Transfers out of Level 3	—		(584)		(20)		(18)		(622)
Balance, December 31, 2019	$	750	$	17	$	—	$	19	$	786

Changes in unrealized gains (losses) relating to assets held at December 31, 2019	$	(1)	$	—	$	—	$	—	$	(1)	(1)


	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	8		(2)	209		(2)	80		(3)	297		(3)		(4)
Issues	21			113			361			495		18
Settlements	—			(69)			(6)			(75)		(1)
Balance, December 31, 2019	$	43		$	881		$	763		$	1,687	$	44

Changes in unrealized (gains) losses relating to liabilities held at December 31, 2019	$	—		$	209	(2)	$	82	(3)	$	291	$	—


	Available-for-Sale Securities											Other Derivative Contracts
	Corporate Debt Securities		Residential Mortgage Backed Securities		Commercial 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)		(1)	(3)		(3)
Other comprehensive income (loss)	(26)		1		—		1		(24)			—
Purchases	15		70		72		32		189			3

Settlements	(214)		(29)		—		(1)		(244)			—
Transfers into Level 3	—		—		—		2		2			—
Transfers out of Level 3	—		(61)		(52)		(35)		(148)			—
Balance, December 31, 2018	$	913	$	136	$	20	$	6	$	1,075		$	—

Changes in unrealized gains (losses) relating to assets held at December 31, 2018	$	(1)	$	—	$	—	$	—	$	(1)	(1)	$	—


	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, 2018	$	—		$	601		$	(49)		$	552	$	28
Total (gains) losses included in:
Net income	(3)		(2)	(9)		(2)	49		(3)	37		2		(4)
Issues	17			90			350			457		—
Settlements	—			(54)			(22)			(76)		—
Balance, December 31, 2018	$	14		$	628		$	328		$	970	$	30

Changes in unrealized (gains) losses relating to liabilities held at December 31, 2018	$	—		$	(9)	(2)	$	47	(3)	$	38	$	—

(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.

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:


	December 31, 2020
	Fair Value		Valuation Technique	Unobservable Input	Range			Weighted Average
	(in millions)
Corporate debt securities (private placements)	$	772	Discounted cash flow	Yield/spread to U.S. Treasuries (1)	1.0%	–	3.3%	1.5	%
Asset backed securities	$	3	Discounted cash flow	Annual short-term default rate (2)	2.9%	–	3.0%	2.9	%
				Annual long-term default rate (2)	3.5%	–	4.5%	3.8	%
				Discount rate	13.0%			13.0	%
				Constant prepayment rate	10.0%			10.0	%
				Loss recovery	63.6%			63.6	%
IUL embedded derivatives	$	935	Discounted cash flow	Nonperformance risk (3)	65 bps			65	bps
Fixed deferred indexed annuity embedded derivatives	$	49	Discounted cash flow	Surrender rate (4)	0.0%	–	50.0%	1.2	%
				Nonperformance risk (3)	65 bps			65	bps
GMWB and GMAB embedded derivatives	$	2,316	Discounted cash flow	Utilization of guaranteed withdrawals (5) (6)	0.0%	–	48.0%	10.6	%
				Surrender rate (4)	0.1%	–	73.5%	3.8	%
				Market volatility (7) (8)	4.3%	–	17.1%	11.0	%
				Nonperformance risk (3)	65 bps			65	bps
Structured variable annuity embedded derivatives	$	70	Discounted cash flow	Surrender rate (4)	0.8%	–	40.0%	0.9	%
				Nonperformance risk (3)	65 bps			65	bps
Contingent consideration liabilities	$	43	Discounted cash flow	Discount rate (9)	0.0%	–	9.0%	3.1	%


	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 default rates 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 [Table Text Block]

The following tables provide the carrying value and the estimated fair value of financial instruments that are not reported at fair value:


	December 31, 2020
	Carrying Value		Fair Value
			Level 1		Level 2		Level 3		Total
	(in millions)
Financial Assets
Mortgage loans, net	$	2,718	$	—	$	22	$	2,852	$	2,874
Policy loans	846		—		846		—		846		(1)
Receivables	3,563		147		1,258		2,398		3,803
Restricted and segregated cash	1,958		1,958		—		—		1,958
Other investments and assets	732		—		672		62		734

Financial Liabilities
Policyholder account balances, future policy benefits and claims	$	9,990	$	—	$	—	$	11,686	$	11,686
Investment certificate reserves	6,752		—		—		6,752		6,752
Banking and brokerage deposits	10,891		10,891		—		—		10,891
Separate account liabilities — investment contracts	5,406		—		5,406		—		5,406
Debt and other liabilities	3,214		205		3,253		11		3,469


	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		—		868		—		868		(1)
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
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

(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.