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Fair Values of Assets and Liabilities (Tables)

6 Months Ended

Jun. 30, 2023

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 inputs and assumptions used in the fair value measurements developed by the Company or reasonably available to the Company of market risk benefits:


	June 30, 2023
	Fair Value		Valuation Technique	Significant Inputs and Assumptions	Range			Weighted Average
	(in millions)










Market risk benefits	$	360	Discounted cash flow	Utilization of guaranteed withdrawals (1)	0.0%	–	48.0%	11.2%
				Surrender rate (2)	0.2%	–	55.7%	3.6%
				Market volatility (3)	0.0%	–	24.9%	10.5%
				Nonperformance risk (4)	100 bps			100 bps
				Mortality rate (5)	0.0%	–	41.6%	1.6%


	December 31, 2022
	Fair Value		Valuation Technique	Significant Inputs and Assumptions	Range			Weighted Average
	(in millions)










Market risk benefits	$	1,103	Discounted cash flow	Utilization of guaranteed withdrawals (1)	0.0%	–	48.0%	11.0%
				Surrender rate (2)	0.2%	–	45.6%	3.6%
				Market volatility (3)	0.0%	–	26.6%	12.1%
				Nonperformance risk (4)	95 bps			95 bps
				Mortality rate (5)	0.0%	–	41.6%	1.5%

(1) The utilization of guaranteed withdrawals represents the percentage of contractholders that will begin withdrawing in any given year. The weighted average utilization rate represents the average assumption, weighted based on the benefit base. The calculation excludes policies that have already started taking withdrawals.

(2) The weighted average surrender rate represents the average assumption weighted based on the account value of each contract.

(3) Market volatility represents the implied volatility of each contractholder’s mix of funds. The weighted average market volatility represents the average volatility across all contracts, weighted by the size of the guaranteed benefit.

(4) The nonperformance risk is the spread added to the U.S. Treasury curve.

(5) The weighted average mortality rate represents the average assumption weighted based on the account value of each contract.

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:


	June 30, 2023
	Fair Value		Valuation Technique	Unobservable Input	Range			Weighted Average
	(in millions)
Corporate debt securities (private placements)	$	446	Discounted cash flow	Yield/spread to U.S. Treasuries (1)	1.0%	–	2.8%	1.3%
Asset backed securities	$	1	Discounted cash flow	Annual short-term default rate (2)	3.0%			3.0%
				Annual long-term default rate (2)	3.5%			3.5%
				Discount rate	30.0%			30.0%
				Constant prepayment rate	10.0%			10.0%
				Loss recovery	63.6%			63.6%
Fixed deferred indexed annuity ceded embedded derivatives	$	49	Discounted cash flow	Surrender rate (3)	0.0%	–	66.8%	1.4%
Fixed deferred indexed annuity embedded derivatives	$	46	Discounted cash flow	Surrender rate (3)	0.0%	–	66.8%	1.4%
				Nonperformance risk (4)	100 bps			100 bps
IUL embedded derivatives	$	809	Discounted cash flow	Nonperformance risk (4)	100 bps			100 bps




Structured variable annuity embedded derivatives	$	557	Discounted cash flow	Surrender rate (3)	2.4%	–	50.2%	2.9%
				Nonperformance risk (4)	100 bps			100 bps
Contingent consideration liabilities	$	78	Discounted cash flow	Discount rate (5)	0.0%	–	10.5%	2.7%


	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




Structured variable annuity embedded derivatives	$	(137)	(6)	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 (5)	0.0%	–	10.5%	3.3%

(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 represents the average assumption weighted based on the account value of each contract.

(4) The nonperformance risk is the spread added to the U.S. Treasury curve.

(5) 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.

(6) 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:


	June 30, 2023
	Carrying Value		Fair Value
			Level 1		Level 2		Level 3		Total
	(in millions)
Financial Assets
Mortgage loans, net	$	2,033	$	—	$	183	$	1,667	$	1,850
Policy loans	874		—		874		—		874
Receivables	9,693		76		1,629		6,713		8,418
Restricted and segregated cash	950		950		—		—		950
Other investments and assets	348		—		299		48		347

Financial Liabilities
Policyholder account balances, future policy benefits and claims	$	15,347	$	—	$	—	$	13,109	$	13,109
Investment certificate reserves	12,060		—		—		11,986		11,986
Banking and brokerage deposits	23,538		23,538		—		—		23,538
Separate account liabilities — investment contracts	3,313		—		3,313		—		3,313
Debt and other liabilities	3,860		105		3,651		6		3,762


	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	$	14,450	$	—	$	—	$	12,470	$	12,470
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

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):


	June 30, 2023
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Cash equivalents	$	929	$	4,054	$	—	$	4,983
Available-for-Sale securities:
Corporate debt securities	—		10,513		446		10,959
Residential mortgage backed securities	—		19,029		—		19,029
Commercial mortgage backed securities	—		6,275		—		6,275
Asset backed securities	—		8,082		3		8,085
State and municipal obligations	—		797		—		797
U.S. government and agency obligations	1,967		390		—		2,357
Foreign government bonds and obligations	—		26		—		26
Other securities	—		59		—		59
Total Available-for-Sale securities	1,967		45,171		449		47,587

Investments at net asset value (“NAV”)							10		(1)
Trading and other securities	241		30		—		271
Separate account assets at NAV							76,874		(1)
Investments and cash equivalents segregated for regulatory purposes	662		—		—		662
Market risk benefits	—		—		1,346		1,346		(2)
Receivables:
Fixed deferred indexed annuity ceded embedded derivatives	—		—		49		49
Other assets:
Interest rate derivative contracts	3		260		—		263
Equity derivative contracts	137		4,051		—		4,188
Credit derivative contracts	—		23		—		23
Foreign exchange derivative contracts	—		19		—		19
Total other assets	140		4,353		—		4,493
Total assets at fair value	$	3,939	$	53,608	$	1,844	$	136,275

Liabilities
Policyholder account balances, future policy benefits and claims:
Fixed deferred indexed annuity embedded derivatives	$	—	$	4	$	46	$	50
IUL embedded derivatives	—		—		809		809
Structured variable annuity embedded derivatives	—		—		557		557
Total policyholder account balances, future policy benefits and claims	—		4		1,412		1,416		(3)
Market risk benefits	—		—		1,706		1,706		(2)
Customer deposits	—		9		—		9
Other liabilities:
Interest rate derivative contracts	4		371		—		375
Equity derivative contracts	139		2,955		—		3,094
Credit derivative contracts	—		1		—		1
Foreign exchange derivative contracts	6		6		—		12
Other	236		4		78		318
Total other liabilities	385		3,337		78		3,800
Total liabilities at fair value	$	385	$	3,350	$	3,196	$	6,931


	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 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
Market risk benefits	—		—		1,015		1,015		(2)
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	$	1,474	$	124,841

Liabilities
Policyholder account balances, future policy benefits and claims:
Fixed deferred indexed annuity embedded derivatives	$	—	$	3	$	44	$	47
IUL embedded derivatives	—		—		739		739
Structured variable annuity embedded derivatives	—		—		(137)		(137)		(4)
Total policyholder account balances, future policy benefits and claims	—		3		646		649		(5)
Market risk benefits	—		—		2,118		2,118		(2)
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	$	2,826	$	5,791

(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) See Note 11 for additional information related to market risk benefits, including the balances of and changes in market risk benefits as well as the significant inputs and assumptions used in the fair value measurements of market risk benefits.

(3) The Company’s adjustment for nonperformance risk resulted in a $205 million cumulative decrease to the embedded derivatives as of June 30, 2023.

(4) 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.

(5) The Company’s adjustment for nonperformance risk resulted in a $139 million cumulative decrease to the embedded derivatives as of December 31, 2022.

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		Asset Backed Securities			Total			Fixed Deferred Indexed Annuity Ceded Embedded Derivatives
	(in millions)
Balance at April 1, 2023	$	440	$	5		$	445			$	48
Total gains (losses) included in:
Net income	—		—			—		(1)		2
Other comprehensive income (loss)	(7)		—			(7)				—
Purchases	23		—			23				—


Settlements	(10)		(2)			(12)				(1)


Balance at June 30, 2023	$	446	$	3		$	449			$	49


Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at June 30, 2023	$	(7)	$	—		$	(7)			$	—



	Policyholder Account Balances, Future Policy Benefits and Claims									Other Liabilities
	Fixed Deferred Indexed Annuity Embedded Derivatives			IUL Embedded Derivatives			Structured Variable Annuity Embedded Derivatives							Total
	(in millions)
Balance at April 1, 2023	$	44		$	771		$	142		$	957	$	70
Total (gains) losses included in:
Net income	2		(2)	54		(2)	426		(3)	482		1		(4)

Issues	—			16			19			35		19
Settlements	—			(32)			(30)			(62)		(12)
Balance at June 30, 2023	$	46		$	809		$	557		$	1,412	$	78

Changes in unrealized (gains) losses in net income relating to liabilities held at June 30, 2023	$	—		$	54	(2)	$	426	(3)	$	480	$	—



	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 April 1, 2022	$	497	$	—	$	112	$	7	$	616			$	55
Total gains (losses) included in:
Net income	(1)		—		—		—		(1)		(1)		(5)
Other comprehensive income (loss)	(11)		—		—		—		(11)				—
Purchases	—		139		—		14		153				—


Settlements	(27)		—		—		—		(27)				(1)

Transfers out of Level 3	—		—		(112)		—		(112)				—
Balance at June 30, 2022	$	458	$	139	$	—	$	21	$	618			$	49

Changes in unrealized gains (losses) in net income relating to assets held at June 30, 2022	$	(1)	$	—	$	—	$	—	$	(1)	(1)		$	—
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at June 30, 2022	$	(11)	$	—	$	—	$	—	$	(11)			$	—



	Policyholder Account Balances, Future Policy Benefits and Claims									Other Liabilities
	Fixed Deferred Indexed Annuity Embedded Derivatives			IUL Embedded Derivatives			Structured Variable Annuity Embedded Derivatives							Total
	(in millions)
Balance at April 1, 2022	$	52		$	848		$	280		$	1,180	$	62
Total (gains) losses included in:
Net income	(6)		(2)	(108)		(2)	(642)		(3)	(756)		—		(4)
Other comprehensive income (loss)	—			—			—			—		(2)
Issues	—			8			14			22		6
Settlements	(1)			(29)			(14)			(44)		(5)
Balance at June 30, 2022	$	45		$	719		$	(362)	(5)	$	402	$	61

Changes in unrealized (gains) losses in net income relating to liabilities held at June 30, 2022	$	—		$	(108)	(2)	$	(642)	(3)	$	(750)	$	—


	Available-for-Sale Securities		Receivables
	Corporate Debt Securities		Asset Backed Securities		Total			Fixed Deferred Indexed Annuity Ceded Embedded Derivatives
	(in millions)
Balance at January 1, 2023	$	405	$	6	$	411		$	48
Total gains (losses) included in:
Net income	—		—		—		(1)	2
Other comprehensive income (loss)	1		—		1			—
Purchases	78		—		78			—


Settlements	(38)		(3)		(41)			(1)


Balance at June 30, 2023	$	446	$	3	$	449		$	49


Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at June 30, 2023	$	1	$	—	$	1		$	—


	Policyholder Account Balances, Future Policy Benefits and Claims									Other Liabilities
	Fixed Deferred Indexed Annuity Embedded Derivatives			IUL Embedded Derivatives			Structured Variable Annuity Embedded Derivatives							Total
	(in millions)
Balance at January 1, 2023	$	44		$	739		$	(137)	(5)	$	646	$	62
Total (gains) losses included in:
Net income	3		(2)	92		(2)	689		(3)	784		1		(4)
Other comprehensive income (loss)	—			—			—			—		1
Issues	—			40			31			71		33
Settlements	(1)			(62)			(26)			(89)		(19)
Balance at June 30, 2023	$	46		$	809		$	557		$	1,412	$	78

Changes in unrealized (gains) losses in net income relating to liabilities held at June 30, 2023	$	—		$	92	(2)	$	689	(3)	$	781	$	—


	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)	(33)		—		—		—		(33)			—
Purchases	23		139		112		14		288			—


Settlements	(33)		—		—		—		(33)			(2)

Transfers out of Level 3	—		—		(147)		—		(147)			—
Balance at June 30, 2022	$	458	$	139	$	—	$	21	$	618		$	49

Changes in unrealized gains (losses) in net income relating to assets held at June 30, 2022	$	(1)	$	—	$	—	$	—	$	(1)	(1)	$	—
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at June 30, 2022	$	(32)	$	—	$	—	$	—	$	(32)		$	—


	Policyholder Account Balances, Future Policy Benefits and Claims									Other Liabilities
	Fixed Deferred Indexed Annuity Embedded Derivatives			IUL Embedded Derivatives			Structured Variable Annuity Embedded Derivatives							Total
	(in millions)
Balance at January 1, 2022	$	56		$	905		$	406		$	1,367	$	61
Total (gains) losses included in:
Net income	(9)		(2)	(140)		(2)	(766)		(3)	(915)		—		(4)
Other comprehensive income (loss)	—			—			—			—		(3)
Issues	—			8			18			26		14
Settlements	(2)			(54)			(20)			(76)		(11)
Balance at June 30, 2022	$	45		$	719		$	(362)	(5)	$	402	$	61

Changes in unrealized (gains) losses in net income relating to liabilities held at June 30, 2022	$	—		$	(140)	(2)	$	(766)	(3)	$	(906)	$	—

(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 January 1, 2023 and June 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