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

12 Months Ended

Dec. 31, 2021

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, 2021
		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 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	—		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)

Summary of the volume and fair value positions of derivative instruments as of December 31, 2020
		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 not designated as accounting hedging instruments
Interest rate contracts
Futures	Other assets	n/a		290	$	—	$	—	$	—
Equity and index contracts
Options	Other investments	n/a		56	6		6		—
Futures	Other assets	n/a		905	1		1		—
Foreign currency contracts
Foreign currency forwards	Other investments	$	291	n/a	4		9		(5)
Embedded derivative financial instruments	Other investments	750		n/a	—		—		—
Credit default contracts
Credit default swaps – buying protection	Other investments	60		n/a	(3)		—		(3)
Credit default swaps – selling protection	Other investments	750		n/a	13		13		—
Assets held for sale		158		3,189	185		189		(4)
Total asset derivatives		$	2,009	4,440	$	206	$	218	$	(12)
Liability derivatives
Derivatives not designated as accounting hedging instruments
Interest rate contracts
Futures	Other liabilities & accrued expenses	n/a		705	$	—	$	—	$	—
Equity and index contracts
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	250		n/a	(9)		1		(10)
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	4		n/a	—		—		—
Liabilities held for sale		2,240		2,737	(630)		1		(631)
Total liability derivatives		3,182		4,108	(655)		$	2	$	(657)
Total derivatives		$	5,191	8,548	$	(449)

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, 2021
Asset derivatives	$	23	$	(24)	$	2	$	1	$	—	$	1
Liability derivatives	(10)		24		(17)		(3)		—		(3)
December 31, 2020
Asset derivatives	$	10	$	(9)	$	—	$	1	$	—	$	1
Liability derivatives	(19)		9		9		(1)		—		(1)

(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		Accident and health insurance policy benefits and interest credited to contractholder funds		Operating costs and expenses		(Loss) income from discontinued operations		Total gain (loss) recognized in net income on derivatives
2021
Interest rate contracts	$	22	—		$	—	—		$	22
Equity and index contracts	(7)		27		45		—		65
Contingent consideration	—		—		—		65		65
Foreign currency contracts	32		—		—		—		32
Credit default contracts	7		—		—		—		7
Total return swaps - fixed income	4		—		—		—		4
Total	$	58	$	27	$	45	$	65	$	195
2020
Interest rate contracts	$	36	$	—	$	—	$	—	$	36
Equity and index contracts	15		—		29		—		44
Foreign currency contracts	(13)		—		—		—		(13)
Credit default contracts	6		—		—		—		6
Total return swaps - fixed income	1		—		—		—		1
Total return swaps - equity index	4		—		—		—		4
Total	$	49	$	—	$	29	$	—	$	78
2019
Interest rate contracts	$	51	$	—	$	—	$	—	$	51
Equity and index contracts	(121)		—		40		—		(81)
Foreign currency contracts	5		—		—		—		5
Credit default contracts	(7)		—		—		—		(7)
Total return swaps - fixed income	13		—		—		—		13
Total return swaps - equity	33		—		—		—		33
Total	$	(26)	$	—	$	40	$	—	$	14

OTC cash and securities collateral pledged

OTC cash and securities collateral pledged
($ in millions)	December 31, 2021
Pledged by the Company	$	2
Pledged to the Company (1)	17

(1)Includes no collateral 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)	2021							2020
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+	1	$	199	$	7	$	—	1	$	186	$	4	$	—
A	1	367		9		—		—	—		—		—
Total	2	$	566	$	16	$	—	1	$	186	$	4	$	—

(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.

Exchange traded and cleared margin deposits

Exchange traded and cleared margin deposits
($ in millions)	December 31, 2021
Pledged by the Company	$	73
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

($ in millions)	2021		2020
Gross liability fair value of contracts containing credit-risk-contingent features	$	8	$	19
Gross asset fair value of contracts containing credit-risk-contingent features and subject to MNAs	(7)		(6)
Collateral posted under MNAs for contracts containing credit-risk-contingent features	—		(13)
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
	Notional amount
($ in millions)	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
December 31, 2020
Single name
Corporate debt	$	—	$	—	$	—	$	—	$	4	$	4	$	—
Index
Corporate debt	6		12		156		492		84		750		13
Total	$	6	$	12	$	156	$	492	$	88	$	754	$	13

Contractual amounts of off-balance-sheet financial instruments

Contractual amounts of off-balance sheet financial instruments
	As of December 31,
($ in millions)	2021		2020
Commitments to invest in limited partnership interests	$	2,720	$	2,015
Private placement commitments	104		36
Other loan commitments	16		17