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Fair Values of Assets and Liabilities (Tables)
 6 Months Ended
Jun. 30, 2021
Fair Values of Assets and Liabilities  
Summary of significant unobservable inputs used in fair value measurements of Level 3 assets and liabilities
 
June 30, 2021
Fair ValueValuation TechniqueUnobservable InputRange Weighted Average
(in millions)
Corporate debt securities (private placements)$391 Discounted cash flow
Yield/spread to U.S. Treasuries (1)
0.8 %–2.3%1.1%
Asset backed securities$1 Discounted cash flow
Annual short-term default rate (2)
5.4%5.4%
Annual long-term default rate (2)
 4.00 % 4.00 %
Discount rate 13.00 % 13.00 %
Constant prepayment rate 10.00 % 10.00 %
Loss recovery 63.60 % 63.60 %
IUL embedded derivatives$928 Discounted cash flow
Nonperformance risk (3)
60 bps60 bps
Fixed deferred indexed annuity embedded derivatives$54 Discounted cash flow
Surrender rate (4)
0.0 %
–
66.8%1.9%
 
 
 
Nonperformance risk (3)
60 bps60 bps
GMWB and GMAB embedded derivatives$1,373 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)
4.0 %–16.6%10.3%
 
 
 
Nonperformance risk (3)
60 bps60 bps
Structured variable annuity embedded derivatives$214 Discounted cash flow
Surrender rate (4)
0.8 %–40.0%0.9%
Nonperformance risk (3)
60 bps60 bps
Contingent consideration liabilities$44 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 estimated fair value of financial instruments not reported at fair value
 June 30, 2021
Carrying ValueFair Value
Level 1Level 2Level 3Total
(in millions)
Financial Assets
Mortgage loans, net$2,576 $— $983 $1,694 $2,677 
Policy loans840 — 840 — 840 
Receivables 3,732 107 1,481 2,356 3,944 
Restricted and segregated cash1,617 1,617 — — 1,617 
Other investments and assets415 — 380 37 417 
Financial Liabilities
Policyholder account balances, future policy benefits and claims
$11,143 $— $— $12,300 $12,300 
Investment certificate reserves5,743 — — 5,740 5,740 
Banking and brokerage deposits12,054 12,054 — — 12,054 
Separate account liabilities — investment contracts5,623 — 5,623 — 5,623 
Debt and other liabilities3,164 155 3,195 11 3,361 
 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 
Ameriprise Financial  
Fair Values of Assets and Liabilities  
Schedule of balances of assets and liabilities measured at fair value on a recurring basis
 June 30, 2021 
Level 1Level 2Level 3Total
(in millions)
Assets
Cash equivalents$2,359 $3,642 $— $6,001  
Available-for-Sale securities:
Corporate debt securities— 13,285 391 13,676  
Residential mortgage backed securities— 9,682 — 9,682  
Commercial mortgage backed securities— 6,178 — 6,178  
Asset backed securities— 3,642 6 3,648  
State and municipal obligations— 1,319 — 1,319  
U.S. government and agency obligations1,326 — — 1,326  
Foreign government bonds and obligations— 223 — 223  
Other securities— 94 — 94 
Total Available-for-Sale securities1,326 34,423 397 36,146  
Investments at net asset value (“NAV”)8 (1)
Trading and other securities20 31 — 51 
Separate account assets at NAV96,854 (1)
Investments and cash equivalents segregated for regulatory purposes765 — — 765 
Other assets:
Interest rate derivative contracts2 1,415 — 1,417  
Equity derivative contracts448 4,230 — 4,678  
Credit derivative contracts— 1 — 1 
Foreign exchange derivative contracts2 22 — 24  
Total other assets 452 5,668 — 6,120  
Total assets at fair value$4,922 $43,764 $397 $145,945  
Liabilities
Policyholder account balances, future policy benefits and claims:
Fixed deferred indexed annuity embedded derivatives$— $4 $54 $58  
IUL embedded derivatives— — 928 928  
GMWB and GMAB embedded derivatives— — 1,373 1,373 (2)
Structured variable annuity embedded derivatives— — 214 214 
Total policyholder account balances, future policy benefits and claims— 4 2,569 2,573 (3)
Customer deposits— 6 — 6  
Other liabilities:
Interest rate derivative contracts— 558 — 558  
Equity derivative contracts160 3,790 — 3,950  
Credit derivative contracts— 7 — 7 
Foreign exchange derivative contracts1 5 — 6 
Other8 3 44 55  
Total other liabilities169 4,363 44 4,576  
Total liabilities at fair value$169 $4,373 $2,613 $7,155  
 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 NAV8 (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 $1.5 billion of individual contracts in a liability position and $154 million of individual contracts in an asset position (recorded as a contra liability) as of June 30, 2021.
(3) The Company’s adjustment for nonperformance risk resulted in a $547 million cumulative decrease to the embedded derivatives as of June 30, 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.
Summary of changes in Level 3 assets measured at fair value on a recurring basis
Available-for-Sale Securities
Corporate Debt SecuritiesResidential Mortgage Backed SecuritiesAsset Backed SecuritiesTotal
(in millions)
Balance, April 1, 2021
$812 $87 $30 $929 
Total gains (losses) included in:
Other comprehensive income (loss)2 — — 2 
Purchases21 — — 21 
Settlements(28)— — (28)
Transfers out of Level 3(416)(87)(24)(527)
Balance, June 30, 2021
$391 $— $6 $397 
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at June 30, 2021
$2 $— $— $2 
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, April 1, 2021
$52 $949 $715 $124 $1,840 $43 
Total (gains) losses included in:
Net income2 (2)8 (2)525 (3)101 (3)636 1 (4)
Issues— (1)89 (1)87 4 
Settlements— (28)44 (10)6 (4)
Balance, June 30, 2021
$54 $928 $1,373 $214 $2,569 $44 
Changes in unrealized (gains) losses in net income relating to liabilities held at June 30, 2021
$— $8 (2)$529 (3)$— $537 $— 
Available-for-Sale Securities
Corporate Debt SecuritiesResidential Mortgage Backed SecuritiesAsset Backed SecuritiesTotal
(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 ClaimsOther Liabilities
Fixed Deferred Indexed Annuity Embedded DerivativesIUL Embedded DerivativesGMWB and GMAB Embedded DerivativesStructured Variable Annuity Embedded DerivativesTotal
(in millions)
Balance, April 1, 2020
$33 $725 $3,276 $(9)$4,025 $42 
Total (gains) losses included in:
Net income7 (2)148 (2)(224)(3)16 (3)(53)1 (4)
Issues1 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 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)(3)— — (3)
Purchases67 78 — 145 
Settlements(29)— (1)(30)
Transfers out of Level 3(416)(87)(24)(527)
Balance, June 30, 2021
$391 $— $6 $397 
Changes in unrealized gains (losses) in net income relating to assets held at June 30, 2021
$— $— $(1)$(1)(1)
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 income6 (2)37 (2)(1,204)(3)175 (3)(986)1 (4)
Issues— 4 179 (15)168 6 
Settlements(1)(48)82 (16)17 (6)
Balance, June 30, 2021
$54 $928 $1,373 $214 $2,569 $44 
Changes in unrealized (gains) losses in net income relating to liabilities held at June 30, 2021
$— $37 (2)$(1,176)(3)$— $(1,139)$— 
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)(1)
Other comprehensive income (loss)8 1 (2)7 
Purchases5 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 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(5)(2)3 (2)2,196 (3)13 (3)2,207 (1)(4)
Issues3 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 $— 
(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.
Summary of changes in Level 3 liabilities measured at fair value on a recurring basis
Available-for-Sale Securities
Corporate Debt SecuritiesResidential Mortgage Backed SecuritiesAsset Backed SecuritiesTotal
(in millions)
Balance, April 1, 2021
$812 $87 $30 $929 
Total gains (losses) included in:
Other comprehensive income (loss)2 — — 2 
Purchases21 — — 21 
Settlements(28)— — (28)
Transfers out of Level 3(416)(87)(24)(527)
Balance, June 30, 2021
$391 $— $6 $397 
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at June 30, 2021
$2 $— $— $2 
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, April 1, 2021
$52 $949 $715 $124 $1,840 $43 
Total (gains) losses included in:
Net income2 (2)8 (2)525 (3)101 (3)636 1 (4)
Issues— (1)89 (1)87 4 
Settlements— (28)44 (10)6 (4)
Balance, June 30, 2021
$54 $928 $1,373 $214 $2,569 $44 
Changes in unrealized (gains) losses in net income relating to liabilities held at June 30, 2021
$— $8 (2)$529 (3)$— $537 $— 
Available-for-Sale Securities
Corporate Debt SecuritiesResidential Mortgage Backed SecuritiesAsset Backed SecuritiesTotal
(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 ClaimsOther Liabilities
Fixed Deferred Indexed Annuity Embedded DerivativesIUL Embedded DerivativesGMWB and GMAB Embedded DerivativesStructured Variable Annuity Embedded DerivativesTotal
(in millions)
Balance, April 1, 2020
$33 $725 $3,276 $(9)$4,025 $42 
Total (gains) losses included in:
Net income7 (2)148 (2)(224)(3)16 (3)(53)1 (4)
Issues1 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 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)(3)— — (3)
Purchases67 78 — 145 
Settlements(29)— (1)(30)
Transfers out of Level 3(416)(87)(24)(527)
Balance, June 30, 2021
$391 $— $6 $397 
Changes in unrealized gains (losses) in net income relating to assets held at June 30, 2021
$— $— $(1)$(1)(1)
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 income6 (2)37 (2)(1,204)(3)175 (3)(986)1 (4)
Issues— 4 179 (15)168 6 
Settlements(1)(48)82 (16)17 (6)
Balance, June 30, 2021
$54 $928 $1,373 $214 $2,569 $44 
Changes in unrealized (gains) losses in net income relating to liabilities held at June 30, 2021
$— $37 (2)$(1,176)(3)$— $(1,139)$— 
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)(1)
Other comprehensive income (loss)8 1 (2)7 
Purchases5 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 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(5)(2)3 (2)2,196 (3)13 (3)2,207 (1)(4)
Issues3 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 $— 
(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.