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Fair Values of Assets and Liabilities (Tables)
 3 Months Ended
Mar. 31, 2022
Fair Values of Assets and Liabilities  
Summary of significant unobservable inputs used in fair value measurements of Level 3 assets and liabilities
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, 2022
Fair ValueValuation TechniqueUnobservable InputRange Weighted Average
(in millions)
Corporate debt securities (private placements)$487 Discounted cash flow
Yield/spread to U.S. Treasuries (1)
0.9 %–3.0%1.3%
Asset backed securities$2 Discounted cash flow
Annual short-term default rate (2)
0.8%0.8%
Annual long-term default rate (2)
3.5%3.5%
Discount rate13.0%13.0%
Constant prepayment rate10.0%10.0%
Loss recovery63.6%63.6%
Fixed deferred indexed annuity ceded embedded derivatives$55 Discounted cash flow
Surrender rate (4)
0.0 %–66.8%1.4%
IUL embedded derivatives$848 Discounted cash flow
Nonperformance risk (3)
85 bps85 bps
Fixed deferred indexed annuity embedded derivatives$52 Discounted cash flow
Surrender rate (4)
0.0 %–66.8%1.4%
 
 
 
Nonperformance risk (3)
85 bps85 bps
GMWB and GMAB embedded derivatives$828 Discounted cash flow
Utilization of guaranteed withdrawals (5) (6)
0.0 %–48.0%10.6%
 
 
 
Surrender rate (4)
0.1 %–55.7%3.6%
 
 
 
Market volatility (7) (8)
4.3 %–16.5%10.9%
 
 
 
Nonperformance risk (3)
85 bps85 bps
Structured variable annuity embedded derivatives$280 Discounted cash flow
Surrender rate (4)
0.8 %–40.0%0.9%
Nonperformance risk (3)
85 bps85 bps
Contingent consideration liabilities$62 Discounted cash flow
Discount rate (9)
0.0 %–0.0%0.0%

 
December 31, 2021
Fair ValueValuation TechniqueUnobservable InputRangeWeighted Average
(in millions)
Corporate debt securities (private placements)$502 Discounted cash flow
Yield/spread to U.S. Treasuries (1)
0.8 %– 2.4%1.1%
Asset backed securities$2 Discounted cash flow
Annual short-term default rate (2)
0.8%0.8%
Annual long-term default rate (2)
3.5%3.5%
Discount rate12.0%12.0%
Constant prepayment rate10.0%10.0%
Loss recovery63.6%63.6%
Fixed deferred indexed annuity ceded embedded derivatives$59 Discounted cash flow
Surrender rate (4)
0.0 %–66.8%1.4%
IUL embedded derivatives$905 Discounted cash flow
Nonperformance risk (3)
65 bps65 bps
Fixed deferred indexed annuity embedded derivatives$56 Discounted cash flow
Surrender rate (4)
0.0 %– 66.8%1.4%
 
Nonperformance risk (3)
65 bps65 bps
GMWB and GMAB embedded derivatives$1,486 Discounted cash flow
Utilization of guaranteed withdrawals (5) (6)
0.0 %
–
48.0%10.6%
Surrender rate (4)
0.1 %
–
55.7%3.6%
 
 
 
Market volatility (7) (8)
4.3 %
–
16.8%10.8%
 
 
 
Nonperformance risk (3)
65 bps65 bps
Structured variable annuity embedded derivatives$406 Discounted cash flow
Surrender rate (4)
0.8 %–40.0%0.9%
Nonperformance risk (3)
65 bps65 bps
Contingent consideration liabilities$61 Discounted cash flow
Discount rate (9)
0.0 %–0.0%0.0%
(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 represents the 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
The following tables provide the carrying value and the estimated fair value of financial instruments that are not reported at fair value:
 March 31, 2022
Carrying ValueFair Value
Level 1Level 2Level 3Total
(in millions)
Financial Assets
Mortgage loans, net$1,971 $— $45 $1,890 $1,935 
Policy loans833 — 833 — 833 
Receivables 10,482 178 1,744 8,357 10,279 
Restricted and segregated cash2,069 2,069 — — 2,069 
Other investments and assets374 — 323 51 374 
Financial Liabilities
Policyholder account balances, future policy benefits and claims
$12,841 $— $— $12,678 $12,678 
Investment certificate reserves5,195 — — 5,175 5,175 
Banking and brokerage deposits16,853 16,853 — — 16,853 
Separate account liabilities — investment contracts5,368 — 5,368 — 5,368 
Debt and other liabilities2,776 269 2,517 8 2,794 
 December 31, 2021
Carrying ValueFair Value
Level 1Level 2Level 3Total
(in millions)
Financial Assets
Mortgage loans, net$1,953 $— $49 $1,990 $2,039 
Policy loans835 — 835 — 835 
Receivables10,509 135 1,669 9,404 11,208 
Restricted and segregated cash2,195 2,195 — — 2,195 
Other investments and assets368 — 319 49 368 
Financial Liabilities
Policyholder account balances, future policy benefits and claims$12,342 $— $— $13,264 $13,264 
Investment certificate reserves5,297 — — 5,290 5,290 
Banking and brokerage deposits14,931 14,931 — — 14,931 
Separate account liabilities — investment contracts5,657 — 5,657 — 5,657 
Debt and other liabilities3,214 206 3,129 9 3,344 
Ameriprise Financial  
Fair Values of Assets and Liabilities  
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 (See Note 4 for the balances of assets and liabilities for consolidated investment entities): 
 March 31, 2022 
Level 1Level 2Level 3Total
(in millions)
Assets
Cash equivalents$1,824 $2,525 $— $4,349  
Available-for-Sale securities:
Corporate debt securities— 8,885 497 9,382  
Residential mortgage backed securities— 11,695 — 11,695  
Commercial mortgage backed securities— 5,184 112 5,296  
Asset backed securities— 3,631 7 3,638  
State and municipal obligations— 1,001 — 1,001  
U.S. government and agency obligations1,160 — — 1,160  
Foreign government bonds and obligations— 82 — 82  
Other securities— 76 — 76 
Total Available-for-Sale securities1,160 30,554 616 32,330  
Investments at net asset value (“NAV”)11 (1)
Trading and other securities209 18 — 227 
Separate account assets at NAV89,669 (1)
Investments and cash equivalents segregated for regulatory purposes599 — — 599 
Receivables:
Fixed deferred indexed annuity ceded embedded derivatives— — 55 55 
Other assets:
Interest rate derivative contracts3 736 — 739  
Equity derivative contracts149 3,707 — 3,856  
Credit derivative contracts— 45 — 45 
Foreign exchange derivative contracts2 28 — 30  
Total other assets 154 4,516 — 4,670  
Total assets at fair value$3,946 $37,613 $671 $131,910  
Liabilities
Policyholder account balances, future policy benefits and claims:
Fixed deferred indexed annuity embedded derivatives$— $5 $52 $57  
IUL embedded derivatives— — 848 848  
GMWB and GMAB embedded derivatives— — 828 828 (2)
Structured variable annuity embedded derivatives— — 280 280 
Total policyholder account balances, future policy benefits and claims— 5 2,008 2,013 (3)
Customer deposits— 2 — 2  
Other liabilities:
Interest rate derivative contracts7 308 — 315  
Equity derivative contracts259 3,525 — 3,784  
Foreign exchange derivative contracts— 3 — 3 
Other204 5 62 271  
Total other liabilities470 3,841 62 4,373  
Total liabilities at fair value$470 $3,848 $2,070 $6,388  
 December 31, 2021
 
Level 1Level 2Level 3Total
(in millions)
Assets
Cash equivalents$2,341 $3,478 $— $5,819  
Available-for-Sale securities:
Corporate debt securities— 9,430 502 9,932  
Residential mortgage backed securities— 10,944 — 10,944  
Commercial mortgage backed securities— 4,951 35 4,986  
Asset backed securities— 3,647 7 3,654  
State and municipal obligations— 1,092 — 1,092  
U.S. government and agency obligations1,301 — — 1,301  
Foreign government bonds and obligations— 92 — 92  
Other securities— 49 — 49 
Total Available-for-Sale securities1,301 30,205 544 32,050  
Investments at NAV11 (1)
Trading and other securities217 25 — 242  
Separate account assets at NAV97,491 (1)
Investments and cash equivalents segregated for regulatory purposes600 — — 600 
Receivables:
Fixed deferred indexed annuity ceded embedded derivatives— — 59 59 
Other assets:
Interest rate derivative contracts1 1,251 — 1,252  
Equity derivative contracts158 4,135 — 4,293  
Credit derivative contracts— 9 — 9 
Foreign exchange derivative contracts1 19 — 20  
Total other assets160 5,414 — 5,574  
Total assets at fair value$4,619 $39,122 $603 $141,846  
Liabilities
Policyholder account balances, future policy benefits and claims:
Fixed deferred indexed annuity embedded derivatives$— $5 $56 $61  
IUL embedded derivatives— — 905 905  
GMWB and GMAB embedded derivatives— — 1,486 1,486 (4)
Structured variable annuity embedded derivatives— — 406 406 
Total policyholder account balances, future policy benefits and claims— 5 2,853 2,858 (5)
Customer deposits— 4 — 4  
Other liabilities:
Interest rate derivative contracts1 467 — 468  
Equity derivative contracts101 3,653 — 3,754  
Foreign exchange derivative contracts1 — — 1 
Other212 4 61 277  
Total other liabilities315 4,124 61 4,500  
Total liabilities at fair value$315 $4,133 $2,914 $7,362  
(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 $1.0 billion of individual contracts in a liability position and $204 million of individual contracts in an asset position (recorded as a contra liability) as of March 31, 2022.
(3) The Company’s adjustment for nonperformance risk resulted in a $607 million cumulative decrease to the embedded derivatives as of March 31, 2022.
(4) The fair value of the GMWB and GMAB embedded derivatives included $1.6 billion of individual contracts in a liability position and $133 million of individual contracts in an asset position (recorded as a contra liability) as of December 31, 2021.
(5) The Company’s adjustment for nonperformance risk resulted in a $598 million cumulative decrease to the embedded derivatives as of December 31, 2021.
Summary of changes in Level 3 assets measured at fair value on a recurring basis
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 SecuritiesReceivables
Corporate Debt SecuritiesCommercial Mortgage Backed SecuritiesAsset Backed SecuritiesTotalFixed Deferred Indexed Annuity Ceded Embedded Derivatives
(in millions)
Balance at January 1, 2022
$502 $35 $7 $544 $59 
Total gains (losses) included in:
Net income— — — — (1)(3)
Other comprehensive income (loss)(22)— — (22)— 
Purchases23 112 — 135 — 
Settlements(6)— — (6)(1)
Transfers out of Level 3— (35)— (35)— 
Balance at March 31, 2022
$497 $112 $7 $616 $55 
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at March 31, 2022
$(21)$— $— $(21)$— 
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 at January 1, 2022
$56 $905 $1,486 $406 $2,853 $61 
Total (gains) losses included in:
Net income(3)(2)(32)(2)(679)(3)(124)(3)(838)— (4)
Other comprehensive income (loss)— — — — — (1)
Issues— — 87 4 91 8 
Settlements(1)(25)(66)(6)(98)(6)
Balance at March 31, 2022
$52 $848 $828 $280 $2,008 $62 
Changes in unrealized (gains) losses in net income relating to liabilities held at March 31, 2022
$— $(32)(2)$(671)(3)$— $(703)$— 
Available-for-Sale Securities
Corporate Debt SecuritiesResidential Mortgage Backed SecuritiesAsset Backed SecuritiesTotal
(in millions)
Balance at 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 at 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 at 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 at 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)$— $(1,676)$— 
(1) Included in Net investment income.
(2) Included in Interest credited to fixed accounts.
(3) Included in Benefits, claims, losses and settlement expenses.
(4) Included in General and administrative expense.
Summary of changes in Level 3 liabilities measured at fair value on a recurring basis
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 SecuritiesReceivables
Corporate Debt SecuritiesCommercial Mortgage Backed SecuritiesAsset Backed SecuritiesTotalFixed Deferred Indexed Annuity Ceded Embedded Derivatives
(in millions)
Balance at January 1, 2022
$502 $35 $7 $544 $59 
Total gains (losses) included in:
Net income— — — — (1)(3)
Other comprehensive income (loss)(22)— — (22)— 
Purchases23 112 — 135 — 
Settlements(6)— — (6)(1)
Transfers out of Level 3— (35)— (35)— 
Balance at March 31, 2022
$497 $112 $7 $616 $55 
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at March 31, 2022
$(21)$— $— $(21)$— 
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 at January 1, 2022
$56 $905 $1,486 $406 $2,853 $61 
Total (gains) losses included in:
Net income(3)(2)(32)(2)(679)(3)(124)(3)(838)— (4)
Other comprehensive income (loss)— — — — — (1)
Issues— — 87 4 91 8 
Settlements(1)(25)(66)(6)(98)(6)
Balance at March 31, 2022
$52 $848 $828 $280 $2,008 $62 
Changes in unrealized (gains) losses in net income relating to liabilities held at March 31, 2022
$— $(32)(2)$(671)(3)$— $(703)$— 
Available-for-Sale Securities
Corporate Debt SecuritiesResidential Mortgage Backed SecuritiesAsset Backed SecuritiesTotal
(in millions)
Balance at 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 at 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 at 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 at 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)$— $(1,676)$— 
(1) Included in Net investment income.
(2) Included in Interest credited to fixed accounts.
(3) Included in Benefits, claims, losses and settlement expenses.
(4) Included in General and administrative expense.