Derivative Financial Instruments and Off-balance sheet Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2020

Derivative Financial Instruments and Off-balance sheet Financial Instruments

Volume and fair value positions of derivative instruments and location in the Consolidated Statement of Financial Position

Summary of the volume and fair value positions of derivative instruments as of December 31, 2020
		Volume (1)
($ in millions, except number of contracts)	Balance sheet location	Notional amount		Number of contracts	Fair value, net		Gross asset		Gross liability
Asset derivatives
Derivatives designated as fair value accounting hedging instruments
Other	Other assets	$	3	n/a	$	—	$	—	$	—
Derivatives not designated as accounting hedging instruments
Interest rate contracts
Interest rate cap agreements	Other investments	13		n/a	—		—		—
Futures	Other assets	n/a		602	—		—		—
Equity and index contracts
Options	Other investments	n/a		2,887	190		190		—
Futures	Other assets	n/a		951	1		1		—
Total return index contracts
Total return swap agreements - equity index	Other investments	8		n/a	1		1		—
Foreign currency contracts
Foreign currency forwards	Other investments	404		n/a	5		13		(8)
Embedded derivative financial instruments
Other embedded derivative financial instruments	Other investments	750		n/a	—		—		—
Credit default contracts
Credit default swaps – buying protection	Other investments	77		n/a	(4)		—		(4)
Credit default swaps – selling protection	Other investments	754		n/a	13		13		—
Subtotal		2,006		4,440	206		218		(12)
Total asset derivatives		$	2,009	4,440	$	206	$	218	$	(12)
Liability derivatives
Derivatives not designated as accounting hedging instruments
Interest rate contracts
Interest rate cap agreements	Other liabilities & accrued expenses	$	19	n/a	$	—	$	—	$	—
Futures	Other liabilities & accrued expenses	n/a		730	—		—		—
Equity and index contracts
Options	Other liabilities & accrued expenses	n/a		2,712	(110)		—		(110)
Futures	Other liabilities & accrued expenses	n/a		666	—		—		—
Total return index contracts
Total return swap agreements - fixed income	Other liabilities & accrued expenses	50		n/a	—		—		—
Foreign currency contracts
Foreign currency forwards	Other liabilities & accrued expenses	367		n/a	(13)		2		(15)
Embedded derivative financial instruments
Guaranteed accumulation benefits	Contractholder funds	128		n/a	(18)		—		(18)
Guaranteed withdrawal benefits	Contractholder funds	190		n/a	(15)		—		(15)
Equity-indexed and forward starting options in life and annuity product contracts	Contractholder funds	1,785		n/a	(483)		—		(483)
Credit default contracts
Credit default swaps – buying protection	Other liabilities & accrued expenses	638		n/a	(16)		—		(16)
Credit default swaps – selling protection	Other liabilities & accrued expenses	5		n/a	—		—		—
Total liability derivatives		3,182		4,108	(655)		$	2	$	(657)
Total derivatives		$	5,191	8,548	$	(449)

(1)Volume for OTC and cleared derivative contracts is represented by their notional amounts. Volume for exchange traded derivatives is represented by the number of contracts, which is the basis on which they are traded. (n/a = not applicable)

Summary of the volume and fair value positions of derivative instruments as of December 31, 2019
		Volume
($ in millions, except number of contracts)	Balance sheet location	Notional amount		Number of contracts	Fair value, net		Gross asset		Gross liability
Asset derivatives
Derivatives designated as fair value accounting hedging instruments
Other	Other assets	$	2	n/a	$	—	$	—	$	—
Derivatives not designated as accounting hedging instruments
Interest rate contracts
Futures	Other assets	n/a		3,668	—		—		—
Equity and index contracts
Options	Other investments	n/a		5,539	140		140		—
Futures	Other assets	n/a		1,533	1		1		—
Total return index contracts
Total return swap agreements - fixed income	Other investments	56		n/a	1		1		—
Credit default contracts
Credit default swaps – buying protection	Other investments	17		n/a	—		—		—
Subtotal		73		10,740	142		142		—
Total asset derivatives		$	75	10,740	$	142	$	142	$	—
Liability derivatives
Derivatives not designated as accounting hedging instruments
Interest rate contracts
Interest rate cap agreements	Other liabilities & accrued expenses	$	34	n/a	$	—	$	—	$	—
Futures	Other liabilities & accrued expenses	n/a		1,089	—		—		—
Equity and index contracts
Options	Other liabilities & accrued expenses	n/a		5,400	(68)		—		(68)
Futures	Other liabilities & accrued expenses	n/a		3	—		—		—
Total return index contracts
Total return swap agreements - fixed income	Other liabilities & accrued expenses	119		n/a	—		—		—
Total return swap agreements - equity index	Other liabilities & accrued expenses	187		n/a	11		11		—
Foreign currency contracts
Foreign currency forwards	Other liabilities & accrued expenses	745		n/a	19		28		(9)
Embedded derivative financial instruments
Guaranteed accumulation benefits	Contractholder funds	161		n/a	(18)		—		(18)
Guaranteed withdrawal benefits	Contractholder funds	205		n/a	(14)		—		(14)
Equity-indexed and forward starting options in life and annuity product contracts	Contractholder funds	1,791		n/a	(430)		—		(430)
Credit default contracts
Credit default swaps – buying protection	Other liabilities & accrued expenses	152		n/a	(7)		—		(7)
Credit default swaps – selling protection	Other liabilities & accrued expenses	9		n/a	—		—		—
Total liability derivatives		3,403		6,492	(507)		$	39	$	(546)
Total derivatives		$	3,478	17,232	$	(365)

Schedule of gross and net amount for the Company's OTC derivatives subject to enforceable master netting arrangements

Gross and net amounts for OTC derivatives (1)
			Offsets
($ in millions)	Gross amount		Counter- party netting		Cash collateral (received) pledged		Net amount on balance sheet		Securities collateral (received) pledged		Net amount
December 31, 2020
Asset derivatives	$	16	$	(14)	$	(1)	$	1	$	—	$	1
Liability derivatives	(28)		14		13		(1)		—		(1)
December 31, 2019
Asset derivatives	$	40	$	(39)	$	(1)	$	—	$	—	$	—
Liability derivatives	(16)		39		(27)		(4)		—		(4)

(1)All OTC derivatives are subject to enforceable master netting agreements.

Gains and losses from valuation, settlements, and hedge ineffectiveness, fair value hedges and derivatives not designated as hedges

Gains (losses) from valuation and settlements reported on derivatives not designated as accounting hedges
($ in millions)	Realized capital gains (losses)		Life contract benefits		Interest credited to contractholder funds		Operating costs and expenses		Total gain (loss) recognized in net income on derivatives
2020
Interest rate contracts	$	40	$	—	$	—	$	—	$	40
Equity and index contracts	21		—		22		29		72
Embedded derivative financial instruments	—		(1)		(53)		—		(54)
Foreign currency contracts	(20)		—		—		—		(20)
Credit default contracts	7		—		—		—		7
Total return swaps - fixed income	1		—		—		—		1
Total return swaps - equity index	4		—		—		—		4
Total	$	53	$	(1)	$	(31)	$	29	$	50
2019
Interest rate contracts	$	51	$	—	$	—	$	—	$	51
Equity and index contracts	(116)		—		63		40		(13)
Embedded derivative financial instruments	—		7		(70)		—		(63)
Foreign currency contracts	8		—		—		—		8
Credit default contracts	(8)		—		—		—		(8)
Total return swaps - fixed income	14		—		—		—		14
Total return swaps - equity index	36		—		—		—		36
Total	$	(15)	$	7	$	(7)	$	40	$	25
2018
Interest rate contracts	$	(2)	$	—	$	—	$	—	$	(2)
Equity and index contracts	21		—		(24)		(21)		(24)
Embedded derivative financial instruments	—		(5)		67		—		62
Foreign currency contracts	29		—		—		(1)		28
Credit default contracts	2		—		—		—		2
Total return swaps - fixed income	(1)		—		—		—		(1)
Total return swaps - equity	(6)		—		—		—		(6)
Total	$	43	$	(5)	$	43	$	(22)	$	59

Counterparty credit exposure by counterparty credit rating

OTC derivatives counterparty credit exposure by counterparty credit rating
($ in millions)	2020							2019
Rating (1)	Number of counter-parties	Notional amount (2)		Credit exposure (2)		Exposure, net of collateral (2)		Number of counter-parties	Notional amount (2)		Credit exposure (2)		Exposure, net of collateral (2)
A+	3	$	280	$	7	$	—	6	$	868	$	29	$	—
Total	3	$	280	$	7	$	—	6	$	868	$	29	$	—

(1)Allstate uses the lower of S&P’s or Moody’s long-term debt issuer ratings.

(2)Only OTC derivatives with a net positive fair value are included for each counterparty.

Derivative instruments with credit features in a liability position, including fair value of assets and collateral netted against the liability

($ in millions)	2020		2019
Gross liability fair value of contracts containing credit-risk-contingent features	$	27	$	16
Gross asset fair value of contracts containing credit-risk-contingent features and subject to MNAs	(9)		(11)
Collateral posted under MNAs for contracts containing credit-risk-contingent features	(17)		(3)
Maximum amount of additional exposure for contracts with credit-risk-contingent features if all features were triggered concurrently	$	1	$	2

Schedule of derivative CDS notional amount by credit rating and fair value of protection sold

CDS notional amounts by credit rating and fair value of protection sold
	Notional amount
($ in millions)	AAA		AA		A		BBB		BB and lower		Total		Fair value
December 31, 2020
Single name
Corporate debt	$	—	$	—	$	—	$	—	$	9	$	9	$	—
Index
Corporate debt	6		12		156		492		84		750		13
Total	$	6	$	12	$	156	$	492	$	93	$	759	$	13
December 31, 2019
Single name
Corporate debt	$	—	$	—	$	—	$	—	$	9	$	9	$	—
Total	$	—	$	—	$	—	$	—	$	9	$	9	$	—

Contractual amounts of off-balance-sheet financial instruments

Contractual amounts of off-balance sheet financial instruments
	As of December 31,
($ in millions)	2020		2019
Commitments to invest in limited partnership interests	$	2,933	$	2,837
Private placement commitments	36		68
Other loan commitments	92		189