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Fair Values of Assets and Liabilities (Tables)
 3 Months Ended
Mar. 31, 2021
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: 
 March 31, 2021 
Level 1Level 2Level 3Total
(in millions)
Assets
Cash equivalents$1,875 $2,599 $— $4,474  
Available-for-Sale securities:
Corporate debt securities— 12,491 812 13,303  
Residential mortgage backed securities— 9,955 87 10,042  
Commercial mortgage backed securities— 6,037 — 6,037  
Asset backed securities— 3,455 30 3,485  
State and municipal obligations— 1,298 — 1,298  
U.S. government and agency obligations1,326 — — 1,326  
Foreign government bonds and obligations— 247 — 247  
Other securities— 94 — 94 
Total Available-for-Sale securities1,326 33,577 929 35,832  
Investments at net asset value (“NAV”)8 (1)
Trading and other securities61 17 — 78 
Separate account assets at NAV93,483 (1)
Investments and cash equivalents segregated for regulatory purposes815 — — 815 
Other assets:
Interest rate derivative contracts— 1,003 — 1,003  
Equity derivative contracts334 3,609 — 3,943  
Credit derivative contracts— 26 — 26 
Foreign exchange derivative contracts1 17 — 18  
Total other assets 335 4,655 — 4,990  
Total assets at fair value$4,412 $40,848 $929 $139,680  
Liabilities
Policyholder account balances, future policy benefits and claims:
Fixed deferred indexed annuity embedded derivatives$— $4 $52 $56  
IUL embedded derivatives— — 949 949  
GMWB and GMAB embedded derivatives— — 715 715 (2)
Structured variable annuity embedded derivatives— — 124 124 
Total policyholder account balances, future policy benefits and claims— 4 1,840 1,844 (3)
Customer deposits— 7 — 7  
Other liabilities:
Interest rate derivative contracts1 485 — 486  
Equity derivative contracts149 3,204 — 3,353  
Foreign exchange derivative contracts1 5 — 6 
Other3 7 43 53  
Total other liabilities154 3,701 43 3,898  
Total liabilities at fair value$154 $3,712 $1,883 $5,749  
 December 31, 2020
 
Level 1Level 2Level 3Total
(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 obligations1,456 — — 1,456  
Foreign government bonds and obligations— 262 — 262  
Other securities— 61 — 61 
Total Available-for-Sale securities1,456 34,014 813 36,283  
Investments at NAV$8 (1)
Trading and other securities61 27 — $88  
Separate account assets at NAV92,611 (1)
Investments and cash equivalents segregated for regulatory purposes600 — — 600 
Other assets:
Interest rate derivative contracts1 1,754 — 1,755  
Equity derivative contracts408 3,682 — 4,090  
Credit derivative contracts— 2 — 2 
Foreign exchange derivative contracts1 22 — 23  
Total other assets410 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 (4)
Structured variable annuity embedded derivatives— — 70 70 
Total policyholder account balances, future policy benefits and claims— 3 3,370 3,373 (5)
Customer deposits— 8 — 8  
Other liabilities:
Interest rate derivative contracts— 734 — 734  
Equity derivative contracts183 3,388 — 3,571  
Credit derivative contracts— 1 — 1 
Foreign exchange derivative contracts2 4 — 6 
Other2 3 43 48  
Total other liabilities187 4,130 43 4,360  
Total liabilities at fair value$187 $4,141 $3,413 $7,741  
(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 $980 million of individual contracts in a liability position and $265 million of individual contracts in an asset position (recorded as a contra liability) as of March 31, 2021.
(3) The Company’s adjustment for nonperformance risk resulted in a $500 million cumulative decrease to the embedded derivatives as of March 31, 2021.
(4) 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.
(5) The Company’s adjustment for nonperformance risk resulted in a $727 million cumulative decrease to the embedded derivatives as of December 31, 2020.
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, January 1, 2021
$772 $9 $32 $813 
Total gains (losses) included in:
Net income— — (1)(1)(1)
Other comprehensive income (loss)(5)— — (5)
Purchases46 78 — 124 
Settlements(1)— (1)(2)
Balance, March 31, 2021
$812 $87 $30 $929 
Changes in unrealized gains (losses) in net income relating to assets held at March 31, 2021
$— $— $(1)$(1)(1)
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at March 31, 2021
$(5)$— $— $(5)
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, January 1, 2021
$49 $935 $2,316 $70 $3,370 $43 
Total (gains) losses included in:
Net income4 (2)29 (2)(1,729)(3)75 (3)(1,621)— (4)
Issues— 5 90 (15)80 2 
Settlements(1)(20)38 (6)11 (2)
Balance, March 31, 2021
$52 $949 $715 $124 $1,840 $43 
Changes in unrealized (gains) losses in net income relating to liabilities held at March 31, 2021
$— $29 (2)$(1,705)(3)$— $(1,676)$— 
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)(1)
Other comprehensive income (loss)(6)— (1)(7)
Purchases5 — — 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 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(12)(2)(145)(2)2,420 (3)(3)(3)2,260 (2)(4)
Issues2 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 $— 
(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, 2021
Fair ValueValuation TechniqueUnobservable InputRange Weighted Average
(in millions)
Corporate debt securities (private placements)$812 Discounted cash flow
Yield/spread to U.S. Treasuries (1)
0.9 %–2.9%1.3%
Asset backed securities$1 Discounted cash flow
Annual short-term default rate (2)
5.5%5.5%
Annual long-term default rate (2)
4.0%4.0%
Discount rate13.0%13.0%
Constant prepayment rate10.0%10.0%
Loss recovery63.6%63.6%
IUL embedded derivatives$949 Discounted cash flow
Nonperformance risk (3)
65 bps65 bps
Fixed deferred indexed annuity embedded derivatives$52 Discounted cash flow
Surrender rate (4)
0.0 %
–
50.0%1.6%
 
 
 
Nonperformance risk (3)
65 bps65 bps
GMWB and GMAB embedded derivatives$715 Discounted cash flow
Utilization of guaranteed withdrawals (5) (6)
0.0 %–48.0%10.6%
 
 
 
Surrender rate (4)
0.1 %–73.5%3.9%
 
 
 
Market volatility (7) (8)
4.2 %–17.0%10.8%
 
 
 
Nonperformance risk (3)
65 bps65 bps
Structured variable annuity embedded derivatives$124 Discounted cash flow
Surrender rate (4)
0.8 %–40.0%0.9%
Nonperformance risk (3)
65 bps65 bps
Contingent consideration liabilities$43 Discounted cash flow
Discount rate (9)
0.0 %–9.0%3.2%
 
December 31, 2020
Fair ValueValuation TechniqueUnobservable InputRangeWeighted 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 rate13.0%13.0%
Constant prepayment rate10.0%10.0%
Loss recovery63.6%63.6%
IUL embedded derivatives$935 Discounted cash flow
Nonperformance risk (3)
65 bps65 bps
Fixed deferred indexed annuity embedded derivatives$49 Discounted cash flow
Surrender rate (4)
0.0 %– 50.0%1.2%
 
Nonperformance risk (3)
65 bps65 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 bps65 bps
Structured variable annuity embedded derivatives$70 Discounted cash flow
Surrender rate (4)
0.8 %–40.0%0.9%
Nonperformance risk (3)
65 bps65 bps
Contingent consideration liabilities$43 Discounted cash flow
Discount rate (9)
0.0%–9.0%3.1%
(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
The following tables provide the carrying value and the estimated fair value of financial instruments that are not reported at fair value:
 March 31, 2021
Carrying ValueFair Value
Level 1Level 2Level 3Total
(in millions)
Financial Assets
Mortgage loans, net$2,684 $— $22 $2,751 $2,773 
Policy loans838 — 838 — 838 
Receivables 3,748 257 1,337 2,340 3,934 
Restricted and segregated cash1,699 1,699 — — 1,699 
Other investments and assets694 — 633 61 694 
Financial Liabilities
Policyholder account balances, future policy benefits and claims
$10,499 $— $— $11,630 $11,630 
Investment certificate reserves6,251 — — 6,248 6,248 
Banking and brokerage deposits11,370 11,370 — — 11,370 
Separate account liabilities — investment contracts5,420 — 5,420 — 5,420 
Debt and other liabilities3,331 322 3,199 11 3,532 
 December 31, 2020
Carrying ValueFair Value
Level 1Level 2Level 3Total
(in millions)
Financial Assets
Mortgage loans, net$2,718 $— $22 $2,852 $2,874 
Policy loans846 — 846 — 846 
Receivables3,563 147 1,258 2,398 3,803 
Restricted and segregated cash1,958 1,958 — — 1,958 
Other investments and assets732 — 672 62 734 
Financial Liabilities
Policyholder account balances, future policy benefits and claims$9,990 $— $— $11,686 $11,686 
Investment certificate reserves6,752 — — 6,752 6,752 
Banking and brokerage deposits10,891 10,891 — — 10,891 
Separate account liabilities — investment contracts5,406 — 5,406 — 5,406 
Debt and other liabilities3,214 205 3,253 11 3,469