AMP · 10-Q · 2026Q2 · Full report
Derivative Risk Exposure
AMERIPRISE FINANCIAL INC · 2026-08-04 · Importance 59 · Surprise 48 · Contradicted
Total derivative notional exposure increased to $184.335 billion at June 30, 2026 from $174.357 billion at December 31, 2025, while gross derivative assets increased 25.1% to $16.495 billion and liabilities increased 22.9% to $16.222 billion. Equity contract notional exposure rose to $143.275 billion from $132.590 billion, with related gross assets of $16.256 billion and liabilities of $9.850 billion at June 30, 2026. Structured variable annuity embedded-derivative liabilities increased to $4.948 billion from $3.879 billion, and total embedded-derivative liabilities increased to $6.089 billion from $4.983 billion. Investment securities pledged for derivative obligations increased to $1.9 billion from $1.7 billion, while collateral received increased to $4.7 billion from $2.8 billion; the Company had not sold, pledged, or rehypothecated any accepted collateral.
Key facts
- Notional equity contracts: $143,275 million as of June 30, 2026 and $132,590 million as of December 31, 2025; equity contract gross fair value assets $16,256 million and liabilities $9,850 million as of June 30, 2026. source
- Total notional value of derivatives not designated as hedging instruments: $184,335 million as of June 30, 2026 and $174,357 million as of December 31, 2025. source
- Equity derivative contracts included in Other assets (Level 1) fair value: $15,912 million as of June 30, 2026 and $12,722 million as of December 31, 2025. source
- Total fair value of freestanding derivative assets (Other assets) was $16,441 million as of June 30, 2026 and $13,122 million as of December 31, 2025 (gross amount of recognized assets noted in offsetting table). source
- Gross amounts of recognized OTC derivative assets: $16,133 million as of June 30, 2026 and $12,908 million as of December 31, 2025. source
- Total derivatives fair value: assets $16,495 million and liabilities $16,222 million as of June 30, 2026; assets $13,181 million and liabilities $13,200 million as of December 31, 2025. source
- Other liabilities - equity derivative contracts (Level 2) fair value: $9,243 million as of June 30, 2026 and $7,651 million as of December 31, 2025. source
- Gross amounts of recognized OTC derivative liabilities: $10,005 million as of June 30, 2026 and $8,146 million as of December 31, 2025. source
Impact estimates
| metric | direction | stage | expected | basis |
|---|---|---|---|---|
| assets | positive | realized | +2.4% | As of June 30, 2026, investment securities with fair value of $1.9 billion were pledged to meet derivative contractual obligations and… |
| liability | negative | realized | -1.5% | Total derivatives fair value: assets $16,495 million and liabilities $16,222 million as of June 30, 2026; assets $13,181 million and… |
| assets | negative | realized | -1.0% | As of June 30, 2026, investment securities with fair value of $1.9 billion were pledged to meet derivative contractual obligations and… |
| liability | negative | realized | -0.9% | Gross amounts of recognized OTC derivative liabilities: $10,005 million as of June 30, 2026 and $8,146 million as of December 31, 2025. |
| liability | negative | realized | -0.8% | Other liabilities - equity derivative contracts (Level 2) fair value: $9,243 million as of June 30, 2026 and $7,651 million as of December… |
| cash | positive | contingent | +0.2% | Of the $4.7 billion received as derivative collateral as of June 30, 2026, $4.1 billion may be sold, pledged or rehypothecated by the… |
| liability | negative | realized | — | Total liabilities at fair value as of June 30, 2026: $17,748 million (Level 1: $1,001 million; Level 2: $9,536 million; Level 3: $7,211… |