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Fair Values of Assets and Liabilities (Tables) | 9 Months Ended
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Sep. 30, 2020
Fair Value Disclosures [Abstract] |
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:
| September 30, 2020 |
Level 1 |  | Level 2 |  | Level 3 |  | Total
(in millions)
Assets |  |  |  |  |  |  |  |
Cash equivalents | $ | 3,171 |  |  | $ | 3,115 |  |  | $ | — |  |  | $ | 6,286 |  |
Available-for-Sale securities: |  |  |  |  |  |  |  |
Corporate debt securities | — |  |  | 12,280 |  |  | 742 |  |  | 13,022 |  |
Residential mortgage backed securities | — |  |  | 10,208 |  |  | 50 |  |  | 10,258 |  |
Commercial mortgage backed securities | — |  |  | 6,212 |  |  | — |  |  | 6,212 |  |
Asset backed securities | — |  |  | 3,058 |  |  | 30 |  |  | 3,088 |  |
State and municipal obligations | — |  |  | 1,380 |  |  | — |  |  | 1,380 |  |
U.S. government and agency obligations | 1,680 |  |  | — |  |  | — |  |  | 1,680 |  |
Foreign government bonds and obligations | — |  |  | 267 |  |  | — |  |  | 267 |  |
Other securities | — |  |  | 52 |  |  | — |  |  | 52 |  |
Total Available-for-Sale securities | 1,680 |  |  | 33,457 |  |  | 822 |  |  | 35,959 |  |
Investments at net asset value (“NAV”) |  |  |  |  |  |  | 7 |  | (1)
Trading and other securities | 10 |  |  | 25 |  |  | — |  |  | 35 |  |
Separate account assets at NAV |  |  |  |  |  |  | 86,128 |  | (1)
Other assets: |  |  |  |  |  |  |  |
Interest rate derivative contracts | — |  |  | 2,015 |  |  | — |  |  | 2,015 |  |
Equity derivative contracts | 442 |  |  | 2,990 |  |  | — |  |  | 3,432 |  |
Credit derivative contracts | — |  |  | 5 |  |  | — |  |  | 5 |  |
Foreign exchange derivative contracts | — |  |  | 36 |  |  | — |  |  | 36 |  |
Total other assets | 442 |  |  | 5,046 |  |  | — |  |  | 5,488 |  |
Total assets at fair value | $ | 5,303 |  |  | $ | 41,643 |  |  | $ | 822 |  |  | $ | 133,903 |  |
Liabilities |  |  |  |  |  |  |  |
Policyholder account balances, future policy benefits and claims: |  |  |  |  |  |  |  |
Fixed deferred indexed annuity embedded derivatives | $ | — |  |  | $ | 3 |  |  | $ | 44 |  |  | $ | 47 |  |
IUL embedded derivatives | — |  |  | — |  |  | 926 |  |  | 926 |  |
GMWB and GMAB embedded derivatives | — |  |  | — |  |  | 2,943 |  |  | 2,943 |  | (2)
Structured variable annuity embedded derivatives | — |  |  | — |  |  | 9 |  |  | 9 |  |
Total policyholder account balances, future policy benefits and claims | — |  |  | 3 |  |  | 3,922 |  |  | 3,925 |  | (3)
Customer deposits | — |  |  | 8 |  |  | — |  |  | 8 |  |
Other liabilities: |  |  |  |  |  |  |  |
Interest rate derivative contracts | — |  |  | 934 |  |  | — |  |  | 934 |  |
Equity derivative contracts | 168 |  |  | 2,840 |  |  | — |  |  | 3,008 |  |
Foreign exchange derivative contracts | 2 |  |  | 5 |  |  | — |  |  | 7 |  |
Other | 2 |  |  | 7 |  |  | 40 |  |  | 49 |  |
Total other liabilities | 172 |  |  | 3,786 |  |  | 40 |  |  | 3,998 |  |
Total liabilities at fair value | $ | 172 |  |  | $ | 3,797 |  |  | $ | 3,962 |  |  | $ | 7,931 |  |
| December 31, 2019 |
Level 1 |  | Level 2 |  | Level 3 |  | Total
(in millions)
Assets |  |  |  |  |  |  |  |
Cash equivalents | $ | 267 |  |  | $ | 2,924 |  |  | $ | — |  |  | $ | 3,191 |  |
Available-for-Sale securities: |  |  |  |  |  |  |  |
Corporate debt securities | — |  |  | 11,437 |  |  | 750 |  |  | 12,187 |  |
Residential mortgage backed securities | — |  |  | 10,012 |  |  | 17 |  |  | 10,029 |  |
Commercial mortgage backed securities | — |  |  | 5,563 |  |  | — |  |  | 5,563 |  |
Asset backed securities | — |  |  | 1,987 |  |  | 19 |  |  | 2,006 |  |
State and municipal obligations | — |  |  | 1,367 |  |  | — |  |  | 1,367 |  |
U.S. government and agency obligations | 1,680 |  |  | — |  |  | — |  |  | 1,680 |  |
Foreign government bonds and obligations | — |  |  | 271 |  |  | — |  |  | 271 |  |
Other securities | — |  |  | 26 |  |  | — |  |  | 26 |  |
Total Available-for-Sale securities | 1,680 |  |  | 30,663 |  |  | 786 |  |  | 33,129 |  |
Equity securities | 1 |  |  | — |  |  | — |  |  | 1 |  |
Investments at NAV |  |  |  |  |  |  | 6 |  | (1)
Trading and other securities | 12 |  |  | 26 |  |  | — |  |  | 38 |  |
Separate account assets at NAV |  |  |  |  |  |  | 87,488 |  | (1)
Investments and cash equivalents segregated for regulatory purposes | 14 |  |  | — |  |  | — |  |  | 14 |  |
Other assets: |  |  |  |  |  |  |  |
Interest rate derivative contracts | — |  |  | 1,455 |  |  | — |  |  | 1,455 |  |
Equity derivative contracts | 162 |  |  | 2,722 |  |  | — |  |  | 2,884 |  |
Credit derivative contracts | — |  |  | 4 |  |  | — |  |  | 4 |  |
Foreign exchange derivative contracts | 1 |  |  | 17 |  |  | — |  |  | 18 |  |
Total other assets | 163 |  |  | 4,198 |  |  | — |  |  | 4,361 |  |
Total assets at fair value | $ | 2,137 |  |  | $ | 37,811 |  |  | $ | 786 |  |  | $ | 128,228 |  |
Liabilities |  |  |  |  |  |  |  |
Policyholder account balances, future policy benefits and claims: |  |  |  |  |  |  |  |
Fixed deferred indexed annuity embedded derivatives | $ | — |  |  | $ | 3 |  |  | $ | 43 |  |  | $ | 46 |  |
IUL embedded derivatives | — |  |  | — |  |  | 881 |  |  | 881 |  |
GMWB and GMAB embedded derivatives | — |  |  | — |  |  | 763 |  |  | 763 |  | (4)
Total policyholder account balances, future policy benefits and claims | — |  |  | 3 |  |  | 1,687 |  |  | 1,690 |  | (5)
Customer deposits | — |  |  | 14 |  |  | — |  |  | 14 |  |
Other liabilities: |  |  |  |  |  |  |  |
Interest rate derivative contracts | — |  |  | 418 |  |  | — |  |  | 418 |  |
Equity derivative contracts | 36 |  |  | 3,062 |  |  | — |  |  | 3,098 |  |
Foreign exchange derivative contracts | 1 |  |  | 8 |  |  | — |  |  | 9 |  |
Other | 6 |  |  | 4 |  |  | 44 |  |  | 54 |  |
Total other liabilities | 43 |  |  | 3,492 |  |  | 44 |  |  | 3,579 |  |
Total liabilities at fair value | $ | 43 |  |  | $ | 3,509 |  |  | $ | 1,731 |  |  | $ | 5,283 |  |
(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 $3.0 billion of individual contracts in a liability position and $36 million of individual contracts in an asset position as of September 30, 2020. (3) The Company’s adjustment for nonperformance risk resulted in a $(1.0) billion cumulative increase (decrease) to the embedded derivatives as of September 30, 2020. (4) The fair value of the GMWB and GMAB embedded derivatives included $981 million of individual contracts in a liability position and $218 million of individual contracts in an asset position as of December 31, 2019. (5) The Company’s adjustment for nonperformance risk resulted in a $(502) million cumulative increase (decrease) to the embedded derivatives as of December 31, 2019.
Fair Value Assets (Liabilities) Measured on Recurring Basis Unobservable Input Reconciliation | 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 |  |
| Corporate Debt Securities |  | Residential Mortgage Backed Securities |  |  |  | Asset Backed Securities |  |  |  | Total |  |
| (in millions)
Balance, July 1, 2020 | $ | 744 |  |  | $ | 205 |  |  |  |  | $ | 15 |  |  |  |  | $ | 964 |  |  |
Total gains (losses) included in: |  |  |  |  |  |  |  |  |  |  |  |  |
Other comprehensive income (loss) | 5 |  |  | — |  |  |  |  | 1 |  |  |  |  | 6 |  |  |
Purchases | 7 |  |  | 33 |  |  |  |  | — |  |  |  |  | 40 |  |  |
Settlements | (14) |  |  | — |  |  |  |  | 1 |  |  |  |  | (13) |  |  |
Transfers into Level 3 | — |  |  | — |  |  |  |  | 13 |  |  |  |  | 13 |  |  |
Transfers out of Level 3 | — |  |  | (188) |  |  |  |  | — |  |  |  |  | (188) |  |  |
Balance, September 30, 2020 | $ | 742 |  |  | $ | 50 |  |  |  |  | $ | 30 |  |  |  |  | $ | 822 |  |  |
Changes in unrealized gains (losses) in net income relating to assets held at September 30, 2020 | $ | — |  |  | $ | — |  |  |  |  | $ | — |  |  |  |  | $ | — |  |  |
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at September 30, 2020 | $ | 5 |  |  | $ | — |  |  |  |  | $ | 1 |  |  |  |  | $ | 6 |  |  |
| 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, July 1, 2020 | $ | 41 |  |  | $ | 882 |  |  | $ | 3,129 |  |  | $ | 9 |  |  | $ | 4,061 |  |  | $ | 48 |  |
Total (gains) losses included in: |  |  |  |  |  |  |  |  |  |  |  |
Net income | 3 |  | (1) | 50 |  | (1) | (296) |  | (2) | 3 |  | (2) | (240) |  |  | (11) |  | (3)
Issues | — |  |  | 15 |  |  | 93 |  |  | (3) |  |  | 105 |  |  | 5 |  |
Settlements | — |  |  | (21) |  |  | 17 |  |  | — |  |  | (4) |  |  | (2) |  |
Balance, September 30, 2020 | $ | 44 |  |  | $ | 926 |  |  | $ | 2,943 |  |  | $ | 9 |  |  | $ | 3,922 |  |  | $ | 40 |  |
Changes in unrealized (gains) losses in net income relating to liabilities held at September 30, 2020 | $ | — |  |  | $ | 50 |  | (1) | $ | (283) |  | (2) | $ | — |  |  | $ | (233) |  |  | $ | — |  |
| Available-for-Sale Securities |  |
| Corporate Debt Securities |  | Residential Mortgage Backed Securities |  |  |  | Asset Backed Securities |  |  |  | Total |  |
| (in millions)
Balance, July 1, 2019 | $ | 809 |  |  | $ | 448 |  |  |  |  | $ | 24 |  |  |  |  | $ | 1,281 |  |  |
Total gains (losses) included in: |  |  |  |  |  |  |  |  |  |  |  |
Net income | (1) |  |  | — |  |  |  |  | — |  |  |  |  | (1) |  | (4) |
Other comprehensive income (loss) | 4 |  |  | — |  |  |  |  | — |  |  |  |  | 4 |  |  |
Purchases | 21 |  |  | 60 |  |  |  |  | — |  |  |  |  | 81 |  |  |
Settlements | (39) |  |  | (6) |  |  |  |  | — |  |  |  |  | (45) |  |  |
Transfers into Level 3 | — |  |  | — |  |  |  |  | 14 |  |  |  |  | 14 |  |  |
Transfers out of Level 3 | — |  |  | (348) |  |  |  |  | (18) |  |  |  |  | (366) |  |  |
Balance, September 30, 2019 | $ | 794 |  |  | $ | 154 |  |  |  |  | $ | 20 |  |  |  |  | $ | 968 |  |  |
Changes in unrealized gains (losses) in net income relating to assets held at September 30, 2019 | $ | — |  |  | $ | — |  |  |  |  | $ | — |  |  |  |  | $ | — |  |  |
| Policyholder Account Balances, Future Policy Benefits and Claims |  | Other Liabilities |
Fixed Deferred Indexed Annuity Embedded Derivatives |  | IUL Embedded Derivatives |  | GMWB and GMAB Embedded Derivatives |  |  |  | Total
(in millions) |
Balance, July 1, 2019 | $ | 31 |  |  | $ | 819 |  |  | $ | 696 |  |  |  |  | $ | 1,546 |  |  | $ | 31 |  |
Total (gains) losses included in: |  |  |  |  |  |  |  |  |  |  |  |
Net income | — |  |  | (5) |  | (1) | 663 |  | (2) |  |  | 658 |  |  | (5) |  | (3)
Issues | 6 |  |  | 25 |  |  | 96 |  |  |  |  | 127 |  |  | — |  |
Settlements | — |  |  | (17) |  |  | (3) |  |  |  |  | (20) |  |  | — |  |
Balance, September 30, 2019 | $ | 37 |  |  | $ | 822 |  |  | $ | 1,452 |  |  |  |  | $ | 2,311 |  |  | $ | 26 |  |
Changes in unrealized (gains) losses in net income relating to liabilities held at September 30, 2019 | $ | — |  |  | $ | (5) |  | (1) | $ | 660 |  | (2) |  |  | $ | 655 |  |  | $ | — |  |
| Available-for-Sale Securities |  |
Corporate Debt Securities |  | Residential Mortgage Backed Securities |  |  |  | Asset Backed Securities |  |  |  | Total |
| (in millions) |  |
Balance, January 1, 2020 | $ | 750 |  |  | $ | 17 |  |  |  |  | $ | 19 |  |  |  |  | $ | 786 |  |  |
Total gains (losses) included in: |  |  |  |  |  |  |  |  |  |  |  |
Net income | (1) |  |  | — |  |  |  |  | (1) |  |  |  |  | (2) |  | (4) |
Other comprehensive income (loss) | 13 |  |  | 1 |  |  |  |  | (1) |  |  |  |  | 13 |  |  |
Purchases | 12 |  |  | 220 |  |  |  |  | — |  |  |  |  | 232 |  |  |
Settlements | (32) |  |  | — |  |  |  |  | — |  |  |  |  | (32) |  |  |
Transfers into Level 3 | — |  |  | — |  |  |  |  | 13 |  |  |  |  | 13 |  |  |
Transfers out of Level 3 | — |  |  | (188) |  |  |  |  | — |  |  |  |  | (188) |  |  |
Balance, September 30, 2020 | $ | 742 |  |  | $ | 50 |  |  |  |  | $ | 30 |  |  |  |  | $ | 822 |  |  |
Changes in unrealized gains (losses) in net income relating to assets held at September 30, 2020 | $ | (1) |  |  | $ | — |  |  |  |  | $ | (1) |  |  |  |  | $ | (2) |  | (4) |
Changes in unrealized gains (losses) in other comprehensive income (loss) relating to assets held at September 30, 2020 | $ | 13 |  |  | $ | 1 |  |  |  |  | $ | (1) |  |  |  |  | $ | 13 |  |  |
| 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 Annuity Embedded Derivatives |  | Total
(in millions) |
Balance, January 1, 2020 | $ | 43 |  |  | $ | 881 |  |  | $ | 763 |  |  | $ | — |  |  | $ | 1,687 |  |  | $ | 44 |  |
Total gains (losses) included in: |  |  |  |  |  |  |  |  |  |  |  |
Net income | (2) |  | (1) | 53 |  | (1) | 1,900 |  | (2) | 16 |  | (2) | 1,967 |  |  | (12) |  | (3)
Issues | 3 |  |  | 53 |  |  | 267 |  |  | (7) |  |  | 316 |  |  | 15 |  |
Settlements | — |  |  | (61) |  |  | 13 |  |  | — |  |  | (48) |  |  | (7) |  |
Balance, September 30, 2020 | $ | 44 |  |  | $ | 926 |  |  | $ | 2,943 |  |  | $ | 9 |  |  | $ | 3,922 |  |  | $ | 40 |  |
Changes in unrealized gains (losses) in net income relating to liabilities held at September 30, 2020 | $ | — |  |  | $ | 53 |  | (1) | $ | 1,936 |  | (2) | $ | — |  |  | $ | 1,989 |  |  | $ | — |  |
| Available-for-Sale Securities |  |
Corporate Debt Securities |  | Residential Mortgage Backed Securities |  | Commercial Mortgage Backed Securities |  | Asset Backed Securities |  |  |  | Total |
| (in millions) |  |
Balance, January 1, 2019 | $ | 913 |  |  | $ | 136 |  |  | $ | 20 |  |  | $ | 6 |  |  |  |  | $ | 1,075 |  |  |
Total gains (losses) included in: |  |  |  |  |  |  |  |  |  |  |  |
Net income | (1) |  |  | — |  |  | — |  |  | — |  |  |  |  | (1) |  | (4) |
Other comprehensive income (loss) | 32 |  |  | — |  |  | — |  |  | — |  |  |  |  | 32 |  |  |
Purchases | 35 |  |  | 477 |  |  | — |  |  | 18 |  |  |  |  | 530 |  |  |
Settlements | (185) |  |  | (12) |  |  | — |  |  | — |  |  |  |  | (197) |  |  |
Transfers into Level 3 | — |  |  | — |  |  | — |  |  | 14 |  |  |  |  | 14 |  |  |
Transfers out of Level 3 | — |  |  | (447) |  |  | (20) |  |  | (18) |  |  |  |  | (485) |  |  |
Balance, September 30, 2019 | $ | 794 |  |  | $ | 154 |  |  | $ | — |  |  | $ | 20 |  |  |  |  | $ | 968 |  |  |
Changes in unrealized gains (losses) in net income relating to assets held at September 30, 2019 | $ | (1) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | (1) |  | (4) |
| Policyholder Account Balances, Future Policy Benefits and Claims |  | Other Liabilities |
Fixed Deferred Indexed Annuity Embedded Derivatives |  | IUL Embedded Derivatives |  | GMWB and GMAB Embedded Derivatives |  |  |  | Total
(in millions) |
Balance, January 1, 2019 | $ | 14 |  |  | $ | 628 |  |  | $ | 328 |  |  |  |  | $ | 970 |  |  | $ | 30 |  |
Total gains (losses) included in: |  |  |  |  |  |  |  |  |  |  |  |
Net income | 3 |  | (1) | 153 |  | (1) | 866 |  | (2) |  |  | 1,022 |  |  | (4) |  | (3)
Issues | 20 |  |  | 92 |  |  | 266 |  |  |  |  | 378 |  |  | — |  |
Settlements | — |  |  | (51) |  |  | (8) |  |  |  |  | (59) |  |  | — |  |
Balance, September 30, 2019 | $ | 37 |  |  | $ | 822 |  |  | $ | 1,452 |  |  |  |  | $ | 2,311 |  |  | $ | 26 |  |
Changes in unrealized gains (losses) in net income relating to liabilities held at September 30, 2019 | $ | — |  |  | $ | 153 |  | (1) | $ | 859 |  | (2) |  |  | $ | 1,012 |  |  | $ | — |  |
(1) Included in interest credited to fixed accounts in the Consolidated Statements of Operations. (2) Included in benefits, claims, losses and settlement expenses in the Consolidated Statements of Operations. (3) Included in general and administrative expense in the Consolidated Statements of Operations. (4) Included in net investment income in the Consolidated Statements of Operations.
Signficant unobservable inputs used in the fair value measurements [Table Text Block] | 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:
| September 30, 2020
| Fair Value | Valuation Technique | Unobservable Input |  | Range | Weighted Average
| (in millions)
Corporate debt securities (private placements) | $ | 734 |  | Discounted cash flow | Yield/spread to U.S. Treasuries (1) | 1.2 | % | – | 4.5% | 1.9%
Asset backed securities | $ | 2 |  | Discounted cash flow | Annual short-term default rate | 8.5% | 8.5%
|  |  | Annual long-term default rate (2) | 3.5 | % | – | 4.0% | 3.6%
|  |  | Discount rate | 15.0% | 15.0%
|  |  | Constant prepayment rate | 10.0% | 10.0%
|  |  | Loss recovery | 63.6% | 63.6%
IUL embedded derivatives | $ | 926 |  | Discounted cash flow | Nonperformance risk (3) | 85 bps | 85 bps
Fixed deferred indexed annuity embedded derivatives | $ | 44 |  | Discounted cash flow | Surrender rate (4) | 0.0 | % | – | 50.0% | 1.2%
|  |  | Nonperformance risk (3) | 85 bps | 85 bps
GMWB and GMAB embedded derivatives | $ | 2,943 |  | Discounted cash flow | Utilization of guaranteed withdrawals (5) (6) | 0.0 | % | – | 48.0% | 10.5%
|  |  | Surrender rate (4) | 0.1 | % | – | 73.5% | 3.6%
|  |  | Market volatility (7) (8) | 4.6 | % | – | 17.9% | 11.8%
|  |  | Nonperformance risk (3) | 85 bps | 85 bps
Structured variable annuity embedded derivatives | $ | 9 |  | Discounted cash flow | Surrender rate (4) | 0.8 | % | – | 40.0% | 0.9%
|  |  | Nonperformance risk (3) | 85 bps | 85 bps
Contingent consideration liabilities | $ | 40 |  | Discounted cash flow | Discount rate (9) | 0.0 | % | – | 9.0 | % | 3.3%
| December 31, 2019
| Fair Value |  | Valuation Technique |  | Unobservable Input |  | Range | Weighted Average
| (in millions)
Corporate debt securities (private placements) | $ | 749 |  | Discounted cash flow | Yield/spread to U.S. Treasuries | 0.8 | % | – | 2.8% |  | 1.2%
Asset backed securities | $ | 5 |  | Discounted cash flow | Annual short-term default rate | 3.3% |
|  |  | Annual long-term default rate | 3.0% |
|  |  | Discount rate | 12.0% |
|  |  | Constant prepayment rate | 5.0 | % | – | 10.0% |  | 10.0%
|  |  | Loss recovery | 36.4 | % | – | 63.6% |  | 63.6%
IUL embedded derivatives | $ | 881 |  | Discounted cash flow | Nonperformance risk (3) | 65 bps |
Fixed deferred indexed annuity embedded derivatives | $ | 43 |  | Discounted cash flow | Surrender rate | 0.0 | % | – | 50.0% |  |
|  |  | Nonperformance risk (3) | 65 bps |
GMWB and GMAB embedded derivatives | $ | 763 |  | Discounted cash flow | Utilization of guaranteed withdrawals (5) | 0.0 | % | – | 36.0% |  |
|  |  | Surrender rate | 0.1 | % | – | 73.5% |  |
|  |  | Market volatility (7) | 3.7 | % | – | 15.9% |  |
|  |  | Nonperformance risk (3) | 65 bps |
Contingent consideration liabilities | $ | 44 |  | Discounted cash flow | Discount rate | 9.0% |
(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 long-term default rate 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 is 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 the estimated fair value of financial instruments that are 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:
| September 30, 2020 |
| Carrying Value |  | Fair Value |
| Level 1 |  | Level 2 |  | Level 3 |  | Total |
| (in millions) |
Financial Assets |  |  |  |  |  |  |  |  |  |
Mortgage loans, net | $ | 2,770 |  |  | $ | — |  |  | $ | 22 |  |  | $ | 2,875 |  |  | $ | 2,897 |  |
Policy loans | 849 |  |  | — |  |  | 849 |  |  | — |  |  | 849 |  | (1)
Receivables | 3,175 |  |  | 57 |  |  | 972 |  |  | 2,360 |  |  | 3,389 |  |
Restricted and segregated cash | 2,551 |  |  | 2,551 |  |  | — |  |  | — |  |  | 2,551 |  |
Other investments and assets | 750 |  |  | — |  |  | 642 |  |  | 96 |  |  | 738 |  |
Financial Liabilities |  |  |  |  |  |  |  |  |  |
Policyholder account balances, future policy benefits and claims | $ | 9,600 |  |  | $ | — |  |  | $ | — |  |  | $ | 11,300 |  |  | $ | 11,300 |  |
Investment certificate reserves | 7,156 |  |  | — |  |  | — |  |  | 6,350 |  |  | 6,350 |  |
Banking and brokerage deposits | 9,666 |  |  | 9,666 |  |  | — |  |  | — |  |  | 9,666 |  |
Separate account liabilities — investment contracts | 5,103 |  |  | — |  |  | 5,103 |  |  | — |  |  | 5,103 |  |
Debt and other liabilities | 3,115 |  |  | 103 |  |  | 3,257 |  |  | 15 |  |  | 3,375 |  |
| December 31, 2019 |
| Carrying Value |  | Fair Value |
| Level 1 |  | Level 2 |  | Level 3 |  | Total |
| (in millions) |
Financial Assets |  |  |  |  |  |  |  |  |  |
Mortgage loans, net | $ | 2,778 |  |  | $ | — |  |  | $ | — |  |  | $ | 2,833 |  |  | $ | 2,833 |  |
Policy loans | 868 |  |  | — |  |  | 868 |  |  | — |  |  | 868 |  | (1)
Receivables | 3,168 |  |  | 102 |  |  | 934 |  |  | 2,229 |  |  | 3,265 |  |
Restricted and segregated cash | 2,372 |  |  | 2,372 |  |  | — |  |  | — |  |  | 2,372 |  |
Other investments and assets | 671 |  |  | — |  |  | 626 |  |  | 46 |  |  | 672 |  |
Financial Liabilities |  |  |  |  |  |  |  |  |  |
Policyholder account balances, future policy benefits and claims | $ | 9,110 |  |  | $ | — |  |  | $ | — |  |  | $ | 10,061 |  |  | $ | 10,061 |  |
Investment certificate reserves | 7,508 |  |  | — |  |  | — |  |  | 7,497 |  |  | 7,497 |  |
Banking and brokerage deposits | 6,929 |  |  | 6,929 |  |  | — |  |  | — |  |  | 6,929 |  |
Separate account liabilities — investment contracts | 5,403 |  |  | — |  |  | 5,403 |  |  | — |  |  | 5,403 |  |
Debt and other liabilities | 3,374 |  |  | 104 |  |  | 3,372 |  |  | 21 |  |  | 3,497 |  |
(1) During the third quarter of 2020, management changed the fair value methodology for policy loans from estimating future expected cash flows and discounting the cash flows at a rate based on the U.S. Treasury curve to using the carrying value as an approximation of fair value as the policy loans are fully collateralized by the cash surrender value of the underlying policies. As a result, policy loans were reclassified from Level 3 to Level 2 in the valuation hierarchy. For comparability and consistency purposes, prior period amounts were revised to reflect the current methodology and classification.

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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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