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Fair Value of Assets and Liabilities (Tables)

12 Months Ended

Dec. 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:


	December 31, 2022
	Fair Value			Valuation Technique	Unobservable Input	Range				Weighted Average
	(in millions)
Corporate debt securities (private placements)	$	404		Discounted cash flow	Yield/spread to U.S. Treasuries (1)	1.1%		–	2.3%	1.4%
Asset backed securities	$	1		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	27.0%				27.0%
					Constant prepayment rate	10.0%				10.0%
					Loss recovery	63.6%				63.6%
Fixed deferred indexed annuity ceded embedded derivatives	$	48		Discounted cash flow	Surrender rate (3)	0.0%		–	66.8%	1.4%
Fixed deferred indexed annuity embedded derivatives	$	44		Discounted cash flow	Surrender rate (3)	0.0%		–	66.8%	1.4%
					Nonperformance risk (4)	95 bps				95 bps
IUL embedded derivatives	$	739		Discounted cash flow	Nonperformance risk (4)	95 bps				95 bps
GMWB and GMAB embedded derivatives	$	608		Discounted cash flow	Utilization of guaranteed withdrawals (5) (6)	0.0%		–	48.0%	11.0%
					Surrender rate (3)	0.1%		–	55.7%	3.4%
					Market volatility (7) (8)	5.0%		–	17.4%	11.7%
					Nonperformance risk (4)	95 bps				95 bps
Structured variable annuity embedded derivatives	$	(137)	(10)	Discounted cash flow	Surrender rate (3)	0.8%		–	40.0%	0.9%
					Nonperformance risk (4)	95 bps				95 bps
Contingent consideration liabilities	$	62		Discounted cash flow	Discount rate (9)	0.0	%	–	10.5%	3.3%


	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 (3)	0.0%		–	66.8%	1.4%
Fixed deferred indexed annuity embedded derivatives	$	56	Discounted cash flow	Surrender rate (3)	0.0%		–	66.8%	1.4%
				Nonperformance risk (4)	65 bps				65 bps
IUL embedded derivatives	$	905	Discounted cash flow	Nonperformance risk (4)	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 (3)	0.1%		–	55.7%	3.6%
				Market volatility (7) (8)	4.3%		–	16.8%	10.8%
				Nonperformance risk (4)	65 bps				65 bps
Structured variable annuity embedded derivatives	$	406	Discounted cash flow	Surrender rate (3)	0.8%		–	40.0%	0.9%
				Nonperformance risk (4)	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 yield/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 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.

(4) 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.

(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 December 31, 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:


	December 31, 2022
	Carrying Value		Fair Value
			Level 1		Level 2		Level 3		Total
	(in millions)
Financial Assets
Mortgage loans, net	$	1,987	$	—	$	105	$	1,695	$	1,800
Policy loans	847		—		847		—		847
Receivables	10,287		199		1,742		6,996		8,937
Restricted and segregated cash	1,583		1,583		—		—		1,583
Other investments and assets	375		—		323		51		374

Financial Liabilities
Policyholder account balances, future policy benefits and claims	$	14,518	$	—	$	—	$	12,521	$	12,521
Investment certificate reserves	9,310		—		—		9,253		9,253
Banking and brokerage deposits	21,474		21,474		—		—		21,474
Separate account liabilities — investment contracts	3,383		—		3,383		—		3,383
Debt and other liabilities	3,242		234		2,909		7		3,150


	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 5 for the balances of assets and liabilities for consolidated investment entities):


	December 31, 2022
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Cash equivalents	$	1,268	$	3,835	$	—	$	5,103
Available-for-Sale securities:
Corporate debt securities	—		9,293		405		9,698
Residential mortgage backed securities	—		15,703		—		15,703
Commercial mortgage backed securities	—		6,212		—		6,212
Asset backed securities	—		6,258		6		6,264
State and municipal obligations	—		797		—		797
U.S. government and agency obligations	2,079		—		—		2,079
Foreign government bonds and obligations	—		41		—		41
Other securities	—		17		—		17
Total Available-for-Sale securities	2,079		38,321		411		40,811

Investments at net asset value (“NAV”)							9		(1)
Trading and other securities	211		16		—		227
Separate account assets at NAV							73,962		(1)
Investments and cash equivalents segregated for regulatory purposes	646		—		—		646
Receivables:
Fixed deferred indexed annuity ceded embedded derivatives	—		—		48		48
Other assets:
Interest rate derivative contracts	7		260		—		267
Equity derivative contracts	129		2,575		—		2,704
Credit derivative contracts	—		13		—		13
Foreign exchange derivative contracts	—		36		—		36
Total other assets	136		2,884		—		3,020
Total assets at fair value	$	4,340	$	45,056	$	459	$	123,826

Liabilities
Policyholder account balances, future policy benefits and claims:
Fixed deferred indexed annuity embedded derivatives	$	—	$	3	$	44	$	47
IUL embedded derivatives	—		—		739		739
GMWB and GMAB embedded derivatives	—		—		608		608		(2)
Structured variable annuity embedded derivatives	—		—		(137)		(137)		(3)
Total policyholder account balances, future policy benefits and claims	—		3		1,254		1,257		(4)
Customer deposits	—		4		—		4
Other liabilities:
Interest rate derivative contracts	4		351		—		355
Equity derivative contracts	139		2,238		—		2,377
Credit derivative contracts	—		2		—		2
Foreign exchange derivative contracts	6		8		—		14
Other	205		5		62		272
Total other liabilities	354		2,604		62		3,020
Total liabilities at fair value	$	354	$	2,611	$	1,316	$	4,281


	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 $911 million of individual contracts in a liability position and $303 million of individual contracts in an asset position (recorded as a contra liability) as of December 31, 2022.

(3) The fair value of the structured variable annuity embedded derivatives was a net asset as of December 31, 2022 and the amount is presented as a contra liability.

(4) The Company’s adjustment for nonperformance risk resulted in a $510 million cumulative decrease to the embedded derivatives as of December 31, 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		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)		(8)
Other comprehensive income (loss)	(44)		(4)		—		(1)		(49)				—
Purchases	39		389		112		32		572				—


Settlements	(91)		—		—		—		(91)				(3)

Transfers out of Level 3	—		(385)		(147)		(32)		(564)				—
Balance at December 31, 2022	$	405	$	—	$	—	$	6	$	411			$	48

Changes in unrealized gains (losses) in net income relating to assets held at December 31, 2022	$	(1)	$	—	$	—	$	—	$	(1)	(1)		$	—
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at December 31, 2022	$	(42)	$	—	$	—	$	(1)	$	(43)			$	—


	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	(9)		(2)	(105)		(2)	(1,127)		(3)	(633)		(3)	(1,874)		—		(4)
Other comprehensive income (loss)	—			—			—			—			—		(3)
Issues	—			51			350			90			491		37
Settlements	(3)			(112)			(101)			—			(216)		(33)
Balance at December 31, 2022	$	44		$	739		$	608		$	(137)	(5)	$	1,254	$	62

Changes in unrealized (gains) losses in net income relating to liabilities held at December 31, 2022	$	—		$	(105)	(2)	$	(1,098)	(3)	$	(633)	(3)	$	(1,836)	$	—


	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, 2021	$	772	$	9	$	—	$	32	$	813		$	—
Total gains (losses) included in:
Net income	(1)		—		—		—		(1)		(1)	3
Other comprehensive income (loss)	(10)		—		—		—		(10)			—
Purchases	108		78		35		—		221			—
Sales	—		—		—		(1)		(1)			—
Issues	—		—		—		—		—			57
Settlements	(119)		—		—		(2)		(121)			(1)
Transfers into Level 3	168		—		—		2		170			—
Transfers out of Level 3	(416)		(87)		—		(24)		(527)			—
Balance at December 31, 2021	$	502	$	—	$	35	$	7	$	544		$	59

Changes in unrealized gains (losses) in net income relating to assets held at December 31, 2021	$	(1)	$	—	$	—	$	(1)	$	(2)	(1)	$	—
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at December 31, 2021	$	(8)	$	—	$	—	$	1	$	(7)		$	—


	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	10		(2)	68		(2)	(1,344)		(3)	393		(3)	(873)		(13)		(4)
Issues	—			—			369			(28)			341		45
Settlements	(3)			(98)			145			(29)			15		(14)
Balance at December 31, 2021	$	56		$	905		$	1,486		$	406		$	2,853	$	61

Changes in unrealized (gains) losses in net income relating to liabilities held at December 31, 2021	$	—		$	68	(2)	$	(1,299)	(3)	$	—		$	(1,231)	$	—


	Available-for-Sale Securities
	Corporate Debt Securities		Residential Mortgage Backed Securities		Asset Backed Securities				Total
	(in millions)
Balance at 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 at December 31, 2020	$	772	$	9	$	32	$	813

Changes in unrealized gains (losses) in net income 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 at 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 at December 31, 2020	$	49		$	935		$	2,316		$	70		$	3,370	$	43

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

(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 December 31, 2022 and the amount is presented as a contra liability.

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