Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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 September 30, 2022
($ in millions, except number of contracts)		Volume (1)
	Balance sheet location	Notional amount		Number of contracts	Fair value, net		Gross asset		Gross liability
Asset derivatives
Derivatives not designated as accounting hedging instruments
Interest rate contracts
Futures	Other assets	n/a		45,626	$	14	$	14	$	—
Equity and index contracts
Options	Other investments	n/a		1,309	44		44		—
Futures	Other assets	n/a		336	—		—		—
Foreign currency contracts
Foreign currency forwards	Other investments	$	39	n/a	(4)		—		(4)
Embedded derivative financial instruments	Other investments	750		n/a	—		—		—
Contingent consideration	Other assets	250		n/a	104		104		—
Credit default contracts
Credit default swaps – buying protection	Other investments	79		n/a	3		3		—
Total asset derivatives		$	1,118	47,271	$	161	$	165	$	(4)
Liability derivatives
Derivatives not designated as accounting hedging instruments
Interest rate contracts
Futures	Other liabilities & accrued expenses	n/a		2,969	$	(1)	$	—	$	(1)
Equity and index contracts
Options	Other liabilities & accrued expenses	n/a		1,210	(16)		—		(16)
Futures	Other liabilities & accrued expenses	n/a		3,674	(8)		—		(8)
Foreign currency contracts
Foreign currency forwards	Other liabilities & accrued expenses	$	689	n/a	49		60		(11)
Credit default contracts
Credit default swaps – buying protection	Other liabilities & accrued expenses	55		n/a	(1)		—		(1)
Total liability derivatives		744		7,853	23		$	60	$	(37)
Total derivatives		$	1,862	55,124	$	184

(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, 2021
($ in millions, except number of contracts)		Volume (1)
	Balance sheet location	Notional amount		Number of contracts	Fair value, net		Gross asset		Gross liability
Asset derivatives
Derivatives not designated as accounting hedging instruments
Interest rate contracts
Futures	Other assets	n/a		1,181	$	1	$	1	$	—
Equity and index contracts
Options	Other investments	n/a		61	5		5		—
Futures	Other assets	n/a		113	—		—		—
Foreign currency contracts
Foreign currency forwards	Other investments	$	2	n/a	—		—		—
Embedded derivative financial instruments	Other investments	750		n/a	—		—		—
Contingent consideration	Other assets	250		n/a	65		65		—
Credit default contracts
Credit default swaps – buying protection	Other investments	33		n/a	(1)		—		(1)
Credit default swaps – selling protection	Other investments	250		n/a	6		6		—
Total asset derivatives		$	1,285	1,355	$	76	$	77	$	(1)
Liability derivatives
Derivatives not designated as accounting hedging instruments
Interest rate contracts
Futures	Other liabilities & accrued expenses	n/a		36,668	$	(2)	$	—	$	(2)
Equity and index contracts
Futures	Other liabilities & accrued expenses	n/a		1,260	(1)		—		(1)
Foreign currency contracts
Foreign currency forwards	Other liabilities & accrued expenses	$	715	n/a	16		23		(7)
Credit default contracts
Credit default swaps – buying protection	Other liabilities & accrued expenses	70		n/a	(4)		—		(4)
Credit default swaps – selling protection	Other liabilities & accrued expenses	5		n/a	—		—		—
Total liability derivatives		790		37,928	9		$	23	$	(14)
Total derivatives		$	2,075	39,283	$	85

(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)

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)
($ in millions)			Offsets
	Gross amount		Counter-party netting		Cash collateral (received) pledged		Net amount on balance sheet		Securities collateral (received) pledged		Net amount
September 30, 2022
Asset derivatives	$	60	$	(64)	$	5	$	1	$	—	$	1
Liability derivatives	(16)		64		(71)		(23)		—		(23)
December 31, 2021
Asset derivatives	$	23	$	(24)	$	2	$	1	$	—	$	1
Liability derivatives	(10)		24		(17)		(3)		—		(3)

(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)	Net gains (losses) on investments and derivatives		Operating costs and expenses		Total gain (loss) recognized in net income on derivatives
Three months ended September 30, 2022
Interest rate contracts	$	260	$	—	$	260
Equity and index contracts	9		(8)		1
Contingent consideration	—		(4)		(4)
Foreign currency contracts	40		(6)		34
Credit default contracts	(10)		—		(10)
Other contracts	—		(1)		(1)
Total	$	299	$	(19)	$	280
Nine months ended September 30, 2022
Interest rate contracts	$	734	$	—	$	734
Equity and index contracts	65		(55)		10
Contingent consideration	—		39		39
Foreign currency contracts	84		(8)		76
Credit default contracts	6		—		6
Other contracts	—		(1)		(1)
Total	$	889	$	(25)	$	864
Three months ended September 30, 2021
Interest rate contracts	$	18	$	—	$	18
Equity and index contracts	10		(3)		7
Foreign currency contracts	15		—		15
Credit default contracts	1		—		1
Total return swaps - fixed income	2		—		2
Total	$	46	$	(3)	$	43
Nine months ended September 30, 2021
Interest rate contracts	$	19	$	—	$	19
Equity and index contracts	2		27		29
Foreign currency contracts	23		—		23
Credit default contracts	6		—		6
Total return swaps - fixed income	4		—		4
Total	$	54	$	27	$	81

Schedule of OTC cash and securities collateral pledged

OTC cash and securities collateral pledged
($ in millions)	September 30, 2022
Pledged by the Company	$	5
Pledged to the Company (1)	71

(1)No collateral was posted under MNA’s for contracts containing credit-risk-contingent provisions that are in a liability provision.

Counterparty credit exposure by counterparty credit rating

OTC derivatives counterparty credit exposure by counterparty credit rating
($ in millions)	September 30, 2022							December 31, 2021
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+	4	$	500	$	25	$	—	1	$	199	$	7	$	—
A	1	232		24		—		1	367		9		—
Total	5	$	732	$	49	$	—	2	$	566	$	16	$	—

(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.

Schedule of exchange traded and cleared margin deposits

Exchange traded and cleared margin deposits
($ in millions)	September 30, 2022
Pledged by the Company	$	162
Received by the Company	3

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

The following table summarizes the fair value of derivative instruments with termination, cross-default or collateral credit-risk-contingent features that are in a liability position, as well as the fair value of assets and collateral that are netted against the liability in accordance with provisions within legally enforceable MNAs.

($ in millions)	September 30, 2022		December 31, 2021
Gross liability fair value of contracts containing credit-risk-contingent features	$	11	$	8
Gross asset fair value of contracts containing credit-risk-contingent features and subject to MNAs	(11)		(7)
Collateral posted under MNAs for contracts containing credit-risk-contingent features	—		—
Maximum amount of additional exposure for contracts with credit-risk-contingent features if all features were triggered concurrently	$	—	$	1

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
($ in millions)	Notional amount
	AAA		AA		A		BBB		BB and lower		Total		Fair value
December 31, 2021
Single name
Corporate debt	$	—	$	—	$	—	$	—	$	5	$	5	$	—
Index
Corporate debt	2		4		46		190		8		250		6
Total	$	2	$	4	$	46	$	190	$	13	$	255	$	6