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Fair Values of Assets and Liabilities (Tables) | 3 Months Ended
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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 Value |  | Valuation Technique |  | Unobservable Input |  | Range | 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 rate |  | 13.0% | 13.0%
|  |  |  |  | Constant prepayment rate |  | 10.0% | 10.0%
|  |  |  |  | Loss recovery |  | 63.6% | 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 bps | 85 bps
Fixed deferred indexed annuity embedded derivatives | $ | 52 |  |  | Discounted cash flow |  | Surrender rate (4) |  | 0.0 | % | – | 66.8% | 1.4%
|  |  |  |  | Nonperformance risk (3) |  | 85 bps | 85 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 bps | 85 bps
Structured variable annuity embedded derivatives | $ | 280 |  |  | Discounted cash flow |  | Surrender rate (4) |  | 0.8 | % | – | 40.0% | 0.9%
|  |  |  |  | Nonperformance risk (3) |  | 85 bps | 85 bps
Contingent consideration liabilities | $ | 62 |  |  | 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. (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 Value |  | Fair Value
| Level 1 |  | Level 2 |  | Level 3 |  | Total
| (in millions)
Financial Assets |  |  |  |  |  |  |  |  |
Mortgage loans, net | $ | 1,971 |  |  | $ | — |  |  | $ | 45 |  |  | $ | 1,890 |  |  | $ | 1,935 |
Policy loans | 833 |  |  | — |  |  | 833 |  |  | — |  |  | 833 |
Receivables | 10,482 |  |  | 178 |  |  | 1,744 |  |  | 8,357 |  |  | 10,279 |
Restricted and segregated cash | 2,069 |  |  | 2,069 |  |  | — |  |  | — |  |  | 2,069 |
Other investments and assets | 374 |  |  | — |  |  | 323 |  |  | 51 |  |  | 374 |
Financial Liabilities |  |  |  |  |  |  |  |  |
Policyholder account balances, future policy benefits and claims | $ | 12,841 |  |  | $ | — |  |  | $ | — |  |  | $ | 12,678 |  |  | $ | 12,678 |
Investment certificate reserves | 5,195 |  |  | — |  |  | — |  |  | 5,175 |  |  | 5,175 |
Banking and brokerage deposits | 16,853 |  |  | 16,853 |  |  | — |  |  | — |  |  | 16,853 |
Separate account liabilities — investment contracts | 5,368 |  |  | — |  |  | 5,368 |  |  | — |  |  | 5,368 |
Debt and other liabilities | 2,776 |  |  | 269 |  |  | 2,517 |  |  | 8 |  |  | 2,794 |
| 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):
| March 31, 2022 |
Level 1 |  | Level 2 |  | Level 3 |  | Total
(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 obligations | 1,160 |  |  | — |  |  | — |  |  | 1,160 |  |
Foreign government bonds and obligations | — |  |  | 82 |  |  | — |  |  | 82 |  |
Other securities | — |  |  | 76 |  |  | — |  |  | 76 |  |
Total Available-for-Sale securities | 1,160 |  |  | 30,554 |  |  | 616 |  |  | 32,330 |  |
Investments at net asset value (“NAV”) |  |  |  |  |  |  | 11 |  | (1)
Trading and other securities | 209 |  |  | 18 |  |  | — |  |  | 227 |  |
Separate account assets at NAV |  |  |  |  |  |  | 89,669 |  | (1)
Investments and cash equivalents segregated for regulatory purposes | 599 |  |  | — |  |  | — |  |  | 599 |  |
Receivables: |  |  |  |  |  |  |  |
Fixed deferred indexed annuity ceded embedded derivatives | — |  |  | — |  |  | 55 |  |  | 55 |  |
Other assets: |  |  |  |  |  |  |  |
Interest rate derivative contracts | 3 |  |  | 736 |  |  | — |  |  | 739 |  |
Equity derivative contracts | 149 |  |  | 3,707 |  |  | — |  |  | 3,856 |  |
Credit derivative contracts | — |  |  | 45 |  |  | — |  |  | 45 |  |
Foreign exchange derivative contracts | 2 |  |  | 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 contracts | 7 |  |  | 308 |  |  | — |  |  | 315 |  |
Equity derivative contracts | 259 |  |  | 3,525 |  |  | — |  |  | 3,784 |  |
Foreign exchange derivative contracts | — |  |  | 3 |  |  | — |  |  | 3 |  |
Other | 204 |  |  | 5 |  |  | 62 |  |  | 271 |  |
Total other liabilities | 470 |  |  | 3,841 |  |  | 62 |  |  | 4,373 |  |
Total liabilities at fair value | $ | 470 |  |  | $ | 3,848 |  |  | $ | 2,070 |  |  | $ | 6,388 |  |
| 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 |  | (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 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 $1.0 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 Securities |  | Receivables |
Corporate Debt 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) | (3) |  |
Other comprehensive income (loss) | (22) |  |  |  | — |  |  | — |  |  |  | (22) |  |  | — |  |
Purchases | 23 |  |  |  | 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 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 | (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 Securities |  | Residential Mortgage Backed Securities |  |  | Asset Backed Securities |  |  | Total |
| (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) |  |  |  |
Purchases | 46 |  |  | 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 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 | 4 |  | (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 Securities |  | Receivables |
Corporate Debt 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) | (3) |  |
Other comprehensive income (loss) | (22) |  |  |  | — |  |  | — |  |  |  | (22) |  |  | — |  |
Purchases | 23 |  |  |  | 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 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 | (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 Securities |  | Residential Mortgage Backed Securities |  |  | Asset Backed Securities |  |  | Total |
| (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) |  |  |  |
Purchases | 46 |  |  | 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 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 | 4 |  | (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.

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