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Fair Values of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2024

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:


	March 31, 2024
	Fair Value		Valuation Technique	Significant Inputs and Assumptions	Range			Weighted Average
	(in millions)










Market risk benefits	$	(629)	Discounted cash flow	Utilization of guaranteed withdrawals (1)	0.0%	–	48.0%	11.6%
				Surrender rate (2)	0.3%	–	75.0%	3.6%
				Market volatility (3)	0.0%	–	25.2%	10.5%
				Nonperformance risk (4)	75 bps			75 bps
				Mortality rate (5)	0.0%	–	41.6%	1.6%


	December 31, 2023
	Fair Value		Valuation Technique	Significant Inputs and Assumptions	Range			Weighted Average
	(in millions)










Market risk benefits	$	335	Discounted cash flow	Utilization of guaranteed withdrawals (1)	0.0%	–	48.0%	11.6%
				Surrender rate (2)	0.3%	–	75.0%	3.7%
				Market volatility (3)	0.0%	–	25.2%	10.6%
				Nonperformance risk (4)	85 bps			85 bps
				Mortality rate (5)	0.0%	–	41.6%	1.6%

(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:


	March 31, 2024
	Fair Value		Valuation Technique	Unobservable Input	Range			Weighted Average
	(in millions)
Corporate debt securities (private placements)	$	505	Discounted cash flow	Yield/spread to U.S. Treasuries (1)	0.9%	–	2.3%	1.3%
Asset backed securities	$	1	Discounted cash flow	Annual short-term default rate (2)	4.0%			4.0%
				Annual long-term default rate (2)	3.5%			3.5%
				Discount rate	27.0%			27.0%
				Constant prepayment rate	12.0%			12.0%
				Loss recovery	55.0%			55.0%
Fixed deferred indexed annuity ceded embedded derivatives	$	54	Discounted cash flow	Surrender rate (3)	0.0%	–	66.8%	1.4%
Fixed deferred indexed annuity embedded derivatives	$	52	Discounted cash flow	Surrender rate (3)	0.0%	–	66.8%	1.4%
				Nonperformance risk (4)	75 bps			75 bps
IUL embedded derivatives	$	888	Discounted cash flow	Nonperformance risk (4)	75 bps			75 bps




Structured variable annuity embedded derivatives	$	1,620	Discounted cash flow	Surrender rate (3)	0.5%	–	75.0%	2.6%
				Nonperformance risk (4)	75 bps			75 bps
Contingent consideration liabilities	$	71	Discounted cash flow	Discount rate (5)	0.0%	–	10.5%	2.9%


	December 31, 2023
	Fair Value		Valuation Technique	Unobservable Input	Range			Weighted Average
	(in millions)
Corporate debt securities (private placements)	$	469	Discounted cash flow	Yield/spread to U.S. Treasuries (1)	1.0%	–	2.4%	1.2%
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	29.0%			29.0%
				Constant prepayment rate	10.0%			10.0%
				Loss recovery	63.6%			63.6%
Fixed deferred indexed annuity ceded embedded derivatives	$	51	Discounted cash flow	Surrender rate (3)	0.0%	–	66.8%	1.4%
Fixed deferred indexed annuity embedded derivatives	$	49	Discounted cash flow	Surrender rate (3)	0.0%	–	66.8%	1.4%
				Nonperformance risk (4)	85 bps			85 bps
IUL embedded derivatives	$	873	Discounted cash flow	Nonperformance risk (4)	85 bps			85 bps




Structured variable annuity embedded derivatives	$	1,011	Discounted cash flow	Surrender rate (3)	0.5%	–	75.0%	2.6%
				Nonperformance risk (4)	85 bps			85 bps
Contingent consideration liabilities	$	76	Discounted cash flow	Discount rate (5)	0.0%	–	10.5%	2.9%

(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.

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, 2024
	Carrying Value		Fair Value
			Level 1		Level 2		Level 3		Total
	(in millions)
Financial Assets
Mortgage loans, net	$	2,155	$	—	$	308	$	1,699	$	2,007
Policy loans	926		—		926		—		926
Receivables	9,415		281		1,583		6,368		8,232
Restricted and segregated cash	814		814		—		—		814
Other investments and assets	332		—		282		51		333

Financial Liabilities
Policyholder account balances, future policy benefits and claims	$	17,404	$	—	$	—	$	14,938	$	14,938
Investment certificate reserves	13,202		—		—		13,152		13,152
Banking and brokerage deposits	23,806		23,806		—		—		23,806
Separate account liabilities — investment contracts	3,069		—		3,069		—		3,069
Debt and other liabilities	3,912		309		3,572		4		3,885


	December 31, 2023
	Carrying Value		Fair Value
			Level 1		Level 2		Level 3		Total
	(in millions)
Financial Assets
Mortgage loans, net	$	2,118	$	—	$	280	$	1,692	$	1,972
Policy loans	912		—		912		—		912
Receivables	9,453		146		1,621		6,577		8,344
Restricted and segregated cash	936		936		—		—		936
Other investments and assets	338		—		283		55		338

Financial Liabilities
Policyholder account balances, future policy benefits and claims	$	16,641	$	—	$	—	$	14,243	$	14,243
Investment certificate reserves	13,461		—		—		13,420		13,420
Banking and brokerage deposits	23,886		23,886		—		—		23,886
Separate account liabilities — investment contracts	3,155		—		3,155		—		3,155
Debt and other liabilities	3,769		166		3,610		5		3,781

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, 2024
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Cash equivalents	$	740	$	3,800	$	—	$	4,540
Available-for-Sale securities:
Corporate debt securities	—		12,349		505		12,854
Residential mortgage backed securities	—		21,417		25		21,442
Commercial mortgage backed securities	—		6,023		—		6,023
Asset backed securities	—		8,155		1		8,156
State and municipal obligations	—		758		—		758
U.S. government and agency obligations	2,982		—		—		2,982
Foreign government bonds and obligations	—		18		—		18
Other securities	—		13		—		13
Total Available-for-Sale securities	2,982		48,733		531		52,246

Investments at net asset value (“NAV”)							10		(1)
Trading and other securities	292		23		—		315
Separate account assets at NAV							79,753		(1)
Investments and cash equivalents segregated for regulatory purposes	777		—		—		777
Market risk benefits	—		—		1,964		1,964		(2)
Receivables:
Fixed deferred indexed annuity ceded embedded derivatives	—		—		54		54
Other assets:
Interest rate derivative contracts	—		189		—		189
Equity derivative contracts	92		6,731		—		6,823


Foreign exchange derivative contracts	—		25		—		25
Total other assets	92		6,945		—		7,037
Total assets at fair value	$	4,883	$	59,501	$	2,549	$	146,696

Liabilities
Policyholder account balances, future policy benefits and claims:
Fixed deferred indexed annuity embedded derivatives	$	—	$	4	$	52	$	56
IUL embedded derivatives	—		—		888		888
Structured variable annuity embedded derivatives	—		—		1,620		1,620
Total policyholder account balances, future policy benefits and claims	—		4		2,560		2,564		(3)
Market risk benefits	—		—		1,335		1,335		(2)
Customer deposits	—		9		—		9
Other liabilities:
Interest rate derivative contracts	—		347		—		347
Equity derivative contracts	147		4,445		—		4,592
Credit derivative contracts	—		16		—		16

Foreign exchange derivative contracts	—		4		—		4
Other	283		4		71		358
Total other liabilities	430		4,816		71		5,317
Total liabilities at fair value	$	430	$	4,829	$	3,966	$	9,225


	December 31, 2023
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Cash equivalents	$	704	$	4,325	$	—	$	5,029
Available-for-Sale securities:
Corporate debt securities	—		12,107		469		12,576
Residential mortgage backed securities	—		21,066		—		21,066
Commercial mortgage backed securities	—		6,050		—		6,050
Asset backed securities	—		8,318		1		8,319
State and municipal obligations	—		760		—		760
U.S. government and agency obligations	2,740		—		—		2,740
Foreign government bonds and obligations	—		18		—		18
Other securities	—		33		—		33
Total Available-for-Sale securities	2,740		48,352		470		51,562

Investments at NAV							10		(1)
Trading and other securities	265		25		—		290
Separate account assets at NAV							77,457		(1)
Investments and cash equivalents segregated for regulatory purposes	699		—		—		699
Market risk benefits	—		—		1,427		1,427		(2)
Receivables:
Fixed deferred indexed annuity ceded embedded derivatives	—		—		51		51
Other assets:
Interest rate derivative contracts	1		184		—		185
Equity derivative contracts	66		4,968		—		5,034
Credit derivative contracts	—		4		—		4

Foreign exchange derivative contracts	1		21		—		22
Total other assets	68		5,177		—		5,245
Total assets at fair value	$	4,476	$	57,879	$	1,948	$	141,770

Liabilities
Policyholder account balances, future policy benefits and claims:
Fixed deferred indexed annuity embedded derivatives	$	—	$	3	$	49	$	52
IUL embedded derivatives	—		—		873		873
Structured variable annuity embedded derivatives	—		—		1,011		1,011
Total policyholder account balances, future policy benefits and claims	—		3		1,933		1,936		(4)
Market risk benefits	—		—		1,762		1,762		(2)
Customer deposits	—		9		—		9
Other liabilities:
Interest rate derivative contracts	1		304		—		305
Equity derivative contracts	96		3,368		—		3,464
Credit derivative contracts	—		107		—		107

Foreign exchange derivative contracts	1		6		—		7
Other	259		3		76		338
Total other liabilities	357		3,788		76		4,221
Total liabilities at fair value	$	357	$	3,800	$	3,771	$	7,928

(1) Amounts are comprised of 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 10 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 $197 million cumulative decrease to the embedded derivatives as of March 31, 2024.

(4) The Company’s adjustment for nonperformance risk resulted in a $195 million cumulative decrease to the embedded derivatives as of December 31, 2023.

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 January 1, 2024	$	469	$	—	$	1		$	470		$	51
Total gains (losses) included in:
Net income	—		—		—			—		(1)	4
Other comprehensive income (loss)	(3)		—		—			(3)			—
Purchases	52		25		—			77			—


Settlements	(13)		—		—			(13)			(1)


Balance at March 31, 2024	$	505	$	25	$	1		$	531		$	54


Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at March 31, 2024	$	(3)	$	—	$	—		$	(3)		$	—


	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, 2024	$	49		$	873		$	1,011		$	1,933	$	76
Total (gains) losses included in:
Net income	4		(2)	42		(2)	628		(3)	674		—		(4)

Issues	—			6			37			43		3
Settlements	(1)			(33)			(56)			(90)		(8)
Balance at March 31, 2024	$	52		$	888		$	1,620		$	2,560	$	71

Changes in unrealized (gains) losses in net income relating to liabilities held at March 31, 2024	$	—		$	42	(2)	$	628	(3)	$	670	$	—


	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:

Other comprehensive income (loss)	8		—		8		—
Purchases	55		—		55		—


Settlements	(28)		(1)		(29)		—


Balance at March 31, 2023	$	440	$	5	$	445	$	48


Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at March 31, 2023	$	8	$	—	$	8	$	—


	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	1		(2)	38		(2)	263		(3)	302		—		(4)
Other comprehensive income (loss)	—			—			—			—		1
Issues	—			24			12			36		14
Settlements	(1)			(30)			4			(27)		(7)
Balance at March 31, 2023	$	44		$	771		$	142		$	957	$	70

Changes in unrealized (gains) losses in net income relating to liabilities held at March 31, 2023	$	—		$	38	(2)	$	263	(3)	$	301	$	—

(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 the amount is presented as a contra liability.

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