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Fair Values of Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 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:


	September 30, 2022
	Fair Value			Valuation Technique	Unobservable Input	Range			Weighted Average
	(in millions)
Corporate debt securities (private placements)	$	403		Discounted cash flow	Yield/spread to U.S. Treasuries (1)	1.0%	–	3.6%	1.5%
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 rate	17.0%			17.0%
					Constant prepayment rate	10.0%			10.0%
					Loss recovery	63.6%			63.6%
Fixed deferred indexed annuity ceded embedded derivatives	$	47		Discounted cash flow	Surrender rate (4)	0.0%	–	66.8%	1.4%
IUL embedded derivatives	$	689		Discounted cash flow	Nonperformance risk (3)	125 bps			125 bps
Fixed deferred indexed annuity embedded derivatives	$	43		Discounted cash flow	Surrender rate (4)	0.0%	–	66.8%	1.4%
					Nonperformance risk (3)	125 bps			125 bps
GMWB and GMAB embedded derivatives	$	932		Discounted cash flow	Utilization of guaranteed withdrawals (5) (6)	0.0%	–	48.0%	10.9%
					Surrender rate (4)	0.1%	–	55.7%	3.4%
					Market volatility (7) (8)	5.0%	–	17.5%	12.1%
					Nonperformance risk (3)	125 bps			125 bps
Structured variable annuity embedded derivatives	$	(513)	(10)	Discounted cash flow	Surrender rate (4)	0.8%	–	40.0%	0.9%
					Nonperformance risk (3)	125 bps			125 bps
Contingent consideration liabilities	$	63		Discounted cash flow	Discount rate (9)	0.0%	–	0.0%	0.0%


	December 31, 2021
	Fair Value		Valuation Technique	Unobservable Input	Range			Weighted 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 rate	12.0%			12.0%
				Constant prepayment rate	10.0%			10.0%
				Loss recovery	63.6%			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 bps			65 bps
Fixed deferred indexed annuity embedded derivatives	$	56	Discounted cash flow	Surrender rate (4)	0.0%	–	66.8%	1.4%
				Nonperformance risk (3)	65 bps			65 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 bps			65 bps
Structured variable annuity embedded derivatives	$	406	Discounted cash flow	Surrender rate (4)	0.8%	–	40.0%	0.9%
				Nonperformance risk (3)	65 bps			65 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. During the third quarter of 2022, the Company changed to using a U.S. Treasury curve as its observable discount rate curve reflecting the evolution of LIBOR discontinuation as an observable reference rate used by market participants.

(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.

(10) The fair value of the structured variable annuity embedded derivatives was a net asset as of September 30, 2022 and the amount is presented as a contra 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:


	September 30, 2022
	Carrying Value		Fair Value
			Level 1		Level 2		Level 3		Total
	(in millions)
Financial Assets
Mortgage loans, net	$	1,986	$	—	$	66	$	1,724	$	1,790
Policy loans	838		—		838		—		838
Receivables	10,533		177		1,893		7,085		9,155
Restricted and segregated cash	1,597		1,597		—		—		1,597
Other investments and assets	363		—		310		49		359

Financial Liabilities
Policyholder account balances, future policy benefits and claims	$	14,041	$	—	$	—	$	12,048	$	12,048
Investment certificate reserves	6,200		—		—		6,151		6,151
Banking and brokerage deposits	21,939		21,939		—		—		21,939
Separate account liabilities — investment contracts	3,833		—		3,833		—		3,833
Debt and other liabilities	3,237		230		2,892		7		3,129


	December 31, 2021
	Carrying Value		Fair Value
			Level 1		Level 2		Level 3		Total
	(in millions)
Financial Assets
Mortgage loans, net	$	1,953	$	—	$	49	$	1,990	$	2,039
Policy loans	835		—		835		—		835
Receivables	10,509		135		1,669		9,404		11,208
Restricted and segregated cash	2,195		2,195		—		—		2,195
Other investments and assets	368		—		319		49		368

Financial Liabilities
Policyholder account balances, future policy benefits and claims	$	12,342	$	—	$	—	$	13,264	$	13,264
Investment certificate reserves	5,297		—		—		5,290		5,290
Banking and brokerage deposits	14,931		14,931		—		—		14,931
Separate account liabilities — investment contracts	5,657		—		5,657		—		5,657
Debt and other liabilities	3,214		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):


	September 30, 2022
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Cash equivalents	$	1,369	$	3,593	$	—	$	4,962
Available-for-Sale securities:
Corporate debt securities	—		8,496		403		8,899
Residential mortgage backed securities	—		14,158		246		14,404
Commercial mortgage backed securities	—		5,606		—		5,606
Asset backed securities	—		5,384		24		5,408
State and municipal obligations	—		810		—		810
U.S. government and agency obligations	1,173		—		—		1,173
Foreign government bonds and obligations	—		43		—		43
Other securities	—		43		—		43
Total Available-for-Sale securities	1,173		34,540		673		36,386

Investments at net asset value (“NAV”)							9		(1)
Trading and other securities	184		16		—		200
Separate account assets at NAV							71,722		(1)
Investments and cash equivalents segregated for regulatory purposes	746		—		—		746
Receivables:
Fixed deferred indexed annuity ceded embedded derivatives	—		—		47		47
Other assets:
Interest rate derivative contracts	15		362		—		377
Equity derivative contracts	137		2,525		—		2,662
Credit derivative contracts	—		76		—		76
Foreign exchange derivative contracts	1		96		—		97
Total other assets	153		3,059		—		3,212
Total assets at fair value	$	3,625	$	41,208	$	720	$	117,284

Liabilities
Policyholder account balances, future policy benefits and claims:
Fixed deferred indexed annuity embedded derivatives	$	—	$	3	$	43	$	46
IUL embedded derivatives	—		—		689		689
GMWB and GMAB embedded derivatives	—		—		932		932		(2)
Structured variable annuity embedded derivatives	—		—		(513)		(513)		(3)
Total policyholder account balances, future policy benefits and claims	—		3		1,151		1,154		(4)
Customer deposits	—		2		—		2
Other liabilities:
Interest rate derivative contracts	3		582		—		585
Equity derivative contracts	155		2,360		—		2,515
Credit derivative contracts	—		3		—		3
Foreign exchange derivative contracts	2		22		—		24
Other	180		7		63		250
Total other liabilities	340		2,974		63		3,377
Total liabilities at fair value	$	340	$	2,979	$	1,214	$	4,533


	December 31, 2021
	Level 1		Level 2		Level 3		Total
	(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 obligations	1,301		—		—		1,301
Foreign government bonds and obligations	—		92		—		92
Other securities	—		49		—		49
Total Available-for-Sale securities	1,301		30,205		544		32,050

Investments at NAV							11		(1)
Trading and other securities	217		25		—		242
Separate account assets at NAV							97,491		(1)
Investments and cash equivalents segregated for regulatory purposes	600		—		—		600
Receivables:
Fixed deferred indexed annuity ceded embedded derivatives	—		—		59		59
Other assets:
Interest rate derivative contracts	1		1,251		—		1,252
Equity derivative contracts	158		4,135		—		4,293
Credit derivative contracts	—		9		—		9
Foreign exchange derivative contracts	1		19		—		20
Total other assets	160		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		(5)
Structured variable annuity embedded derivatives	—		—		406		406
Total policyholder account balances, future policy benefits and claims	—		5		2,853		2,858		(6)
Customer deposits	—		4		—		4
Other liabilities:
Interest rate derivative contracts	1		467		—		468
Equity derivative contracts	101		3,653		—		3,754

Foreign exchange derivative contracts	1		—		—		1
Other	212		4		61		277
Total other liabilities	315		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 $1.2 billion of individual contracts in a liability position and $224 million of individual contracts in an asset position (recorded as a contra liability) as of September 30, 2022.

(3) The fair value of the structured variable annuity embedded derivatives was a net asset as of September 30, 2022 and the amount is presented as a contra liability.

(4) The Company’s adjustment for nonperformance risk resulted in a $778 million cumulative decrease to the embedded derivatives as of September 30, 2022.

(5) 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.

(6) 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 Securities						Receivables
	Corporate Debt Securities		Residential Mortgage Backed Securities		Asset Backed Securities		Total		Fixed Deferred Indexed Annuity Ceded Embedded Derivatives
	(in millions)
Balance at July 1, 2022	$	458	$	139	$	21	$	618		$	49
Total gains (losses) included in:
Net income	—		—		—		—			(2)
Other comprehensive income (loss)	(13)		(4)		—		(17)			—
Purchases	16		250		17		283			—


Settlements	(58)		—		—		(58)			—

Transfers out of Level 3	—		(139)		(14)		(153)			—
Balance at September 30, 2022	$	403	$	246	$	24	$	673		$	47


Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at September 30, 2022	$	(13)	$	(4)	$	—	$	(17)		$	—


	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 at July 1, 2022	$	45		$	719		$	1,006		$	(362)	(5)	$	1,408	$	61
Total (gains) losses included in:
Net income	(1)		(2)	(22)		(2)	(152)		(3)	(173)		(3)	(348)		—
Other comprehensive income (loss)	—			—			—			—			—		(2)
Issues	—			18			89			19			126		12
Settlements	(1)			(26)			(11)			3			(35)		(8)
Balance at September 30, 2022	$	43		$	689		$	932		$	(513)	(5)	$	1,151	$	63

Changes in unrealized (gains) losses in net income relating to liabilities held at September 30, 2022	$	—		$	(22)	(2)	$	(146)	(3)	$	(173)	(3)	$	(341)	$	—


	Available-for-Sale Securities				Receivables
	Corporate Debt Securities		Asset Backed Securities			Total			Fixed Deferred Indexed Annuity Ceded Embedded Derivatives
	(in millions)
Balance at July 1, 2021	$	391	$	6		$	397			$	—
Total gains (losses) included in:
Net income	(1)		1			—		(1)		—
Other comprehensive income (loss)	(3)		—			(3)				—
Purchases	9		—			9				—
Sales	—		(1)			(1)				—
Issues	—		—			—				57
Settlements	(44)		(1)			(45)				(1)
Transfers into Level 3	168		2			170				—

Balance at September 30, 2021	$	520	$	7		$	527			$	56


Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at September 30, 2021	$	(4)	$	—		$	(4)			$	—


	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 at July 1, 2021	54			$	928		$	1,373		$	214		$	2,569	$	44
Total (gains) losses included in:
Net income	1		(2)	14		(2)	(69)		(3)	17		(3)	(37)		(5)		(4)
Issues	—			—			95			(7)			88		5
Settlements	(1)			(25)			37			(7)			4		(4)
Balance at September 30, 2021	$	54		$	917		$	1,436		$	217		$	2,624	$	40

Changes in unrealized (gains) losses in net income relating to liabilities held at September 30, 2021	$	—		$	14	(2)	$	(60)	(3)	$	—		$	(46)	$	—


	Available-for-Sale Securities										Receivables
	Corporate Debt Securities		Residential Mortgage Backed Securities		Commercial Mortgage Backed Securities		Asset Backed Securities		Total			Fixed 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)		—		—		—		(1)		(1)	(10)
Other comprehensive income (loss)	(46)		(4)		—		—		(50)			—
Purchases	39		389		112		31		571			—


Settlements	(91)		—		—		—		(91)			(2)

Transfers out of Level 3	—		(139)		(147)		(14)		(300)			—
Balance at September 30, 2022	$	403	$	246	$	—	$	24	$	673		$	47

Changes in unrealized gains (losses) in net income relating to assets held at September 30, 2022	$	(1)	$	—	$	—	$	—	$	(1)	(1)	$	—
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at September 30, 2022	$	(45)	$	(4)	$	—	$	—	$	(49)		$	—


	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 at January 1, 2022	$	56		$	905		$	1,486		$	406		$	2,853	$	61
Total (gains) losses included in:
Net income	(10)		(2)	(162)		(2)	(727)		(3)	(939)		(3)	(1,838)		—
Other comprehensive income (loss)	—			—			—			—			—		(5)
Issues	—			26			260			37			323		26
Settlements	(3)			(80)			(87)			(17)			(187)		(19)
Balance at September 30, 2022	$	43		$	689		$	932		$	(513)	(5)	$	1,151	$	63

Changes in unrealized (gains) losses in net income relating to liabilities held at September 30, 2022	$	—		$	(162)	(2)	$	(709)	(3)	$	(939)	(3)	$	(1,810)	$	—


	Available-for-Sale Securities								Receivables
	Corporate Debt Securities		Residential Mortgage Backed Securities		Asset Backed Securities		Total			Fixed Deferred Indexed Annuity Ceded Embedded Derivatives
	(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)	(6)		—		—		(6)				—
Purchases	76		78		—		154				—
Sales	—		—		(1)		(1)				—
Issues	—		—		—		—				57
Settlements	(73)		—		(2)		(75)				(1)
Transfers into Level 3	168		—		2		170				—
Transfers out of Level 3	(416)		(87)		(24)		(527)				—
Balance at September 30, 2021	$	520	$	—	$	7	$	527			$	56

Changes in unrealized gains (losses) in net income relating to assets held at September 30, 2021	$	—	$	—	$	(1)	$	(1)	(1)		$	—
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at September 30, 2021	$	(4)	$	—	$	—	$	(4)			$	—


	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 at January 1, 2021	$	49		$	935		$	2,316		$	70		$	3,370	$	43
Total (gains) losses included in:
Net income	7		(2)	51		(2)	(1,273)		(3)	192		(3)	(1,023)		(4)		(4)
Issues	—			4			274			(22)			256		11
Settlements	(2)			(73)			119			(23)			21		(10)
Balance at September 30, 2021	$	54		$	917		$	1,436		$	217		$	2,624	$	40

Changes in unrealized (gains) losses in net income relating to liabilities held at September 30, 2021	$	—		$	51	(2)	$	(1,236)	(3)	$	—		$	(1,185)	$	—

(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.

(5) The fair value of the structured variable annuity embedded derivatives was a net asset as of both June 30, 2022 and September 30, 2022 and the amounts are presented as contra liabilities.

Summary of changes in Level 3 liabilities measured at fair value on a recurring basis