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v3.23.1

Derivative Financial Instruments (Tables) | 3 Months Ended
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Mar. 31, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of 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 March 31, 2023
($ 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 |  | 6,842 |  |  | $ | 2 |  |  | $ | 2 |  |  | $ | — |
Equity and index contracts |  |  |  |  |  |  |  |  |  |  |
Futures | Other assets |  | n/a |  | 1,116 |  |  | 2 |  |  | 2 |  |  | — |
Foreign currency contracts |  |  |  |  |  |  |  |  |  |  |
Foreign currency forwards | Other investments |  | $ | 453 |  |  | n/a |  | (9) |  |  | 5 |  |  | (14) |
Contingent consideration | Other assets |  | 250 |  |  | n/a |  | 112 |  |  | 112 |  |  | — |
Credit default contracts |  |  |  |  |  |  |  |  |  |  |
Credit default swaps – buying protection | Other investments |  | 51 |  |  | n/a |  | — |  |  | 1 |  |  | (1) |
Total asset derivatives |  |  | $ | 754 |  |  | 7,958 |  |  | $ | 107 |  |  | $ | 122 |  |  | $ | (15) |
Liability derivatives |  |  |  |  |  |  |  |  |  |  |
Derivatives not designated as accounting hedging instruments |  |  |  |  |  |  |  |  |  |
Interest rate contracts |  |  |  |  |  |  |  |  |  |  |
Futures | Other liabilities & accrued expenses |  | n/a |  | 12,394 |  |  | $ | (3) |  |  | $ | — |  |  | $ | (3) |
Equity and index contracts |  |  |  |  |  |  |  |  |  |  |
Futures | Other liabilities & accrued expenses |  | n/a |  | 680 |  |  | (2) |  |  | — |  |  | (2) |
Foreign currency contracts |  |  |  |  |  |  |  |  |  |  |
Foreign currency forwards | Other liabilities & accrued expenses |  | $ | 176 |  |  | n/a |  | 3 |  |  | 4 |  |  | (1) |
Credit default contracts |  |  |  |  |  |  |  |  |  |  |
Credit default swaps – buying protection | Other liabilities & accrued expenses |  | 3 |  |  | n/a |  | — |  |  | — |  |  | — |
Total liability derivatives |  |  | 179 |  |  | 13,074 |  |  | (2) |  |  | $ | 4 |  |  | $ | (6) |
Total derivatives |  |  | $ | 933 |  |  | 21,032 |  |  | $ | 105 |  |  |  |  |
(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, 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 |  | 24,380 |  |  | $ | 3 |  |  | $ | 3 |  |  | $ | — |
Equity and index contracts |  |  |  |  |  |  |  |  |  |  |
Futures | Other assets |  | n/a |  | 343 |  |  | — |  |  | — |  |  | — |
Foreign currency contracts |  |  |  |  |  |  |  |  |  |  |
Foreign currency forwards | Other investments |  | $ | 354 |  |  | n/a |  | 1 |  |  | 14 |  |  | (13) |
Contingent consideration | Other assets |  | 250 |  |  | n/a |  | 103 |  |  | 103 |  |  | — |
Credit default contracts |  |  |  |  |  |  |  |  |  |  |
Credit default swaps – buying protection | Other investments |  | 24 |  |  | n/a |  | — |  |  | 1 |  |  | (1) |
Total asset derivatives |  |  | $ | 628 |  |  | 24,723 |  |  | $ | 107 |  |  | $ | 121 |  |  | $ | (14) |
Liability derivatives |  |  |  |  |  |  |  |  |  |  |
Derivatives not designated as accounting hedging instruments |  |  |  |  |  |  |  |  |  |
Interest rate contracts |  |  |  |  |  |  |  |  |  |  |
Futures | Other liabilities & accrued expenses |  | n/a |  | 1,624 |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Equity and index contracts |  |  |  |  |  |  |  |  |  |  |
Futures | Other liabilities & accrued expenses |  | n/a |  | 1,229 |  |  | (1) |  |  | — |  |  | (1) |
Foreign currency contracts |  |  |  |  |  |  |  |  |  |  |
Foreign currency forwards | Other liabilities & accrued expenses |  | $ | 283 |  |  | n/a |  | — |  |  | 7 |  |  | (7) |
Credit default contracts |  |  |  |  |  |  |  |  |  |  |
Credit default swaps – buying protection | Other liabilities & accrued expenses |  | 525 |  |  | n/a |  | (3) |  |  | 1 |  |  | (4) |
Total liability derivatives |  |  | 808 |  |  | 2,853 |  |  | (4) |  |  | $ | 8 |  |  | $ | (12) |
Total derivatives |  |  | $ | 1,436 |  |  | 27,576 |  |  | $ | 103 |  |  |  |  |
(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
March 31, 2023 |  |  |  |  |  |  |  |  |  |  |  |
Asset derivatives |  | $ | 10 |  |  | $ | (19) |  |  | $ | 19 |  |  | $ | 10 |  |  | $ | — |  |  | $ | 10 |
Liability derivatives |  | (16) |  |  | 19 |  |  | (3) |  |  | — |  |  | — |  |  | — |
December 31, 2022 |  |  |  |  |  |  |  |  |  |  |  |
Asset derivatives |  | $ | 23 |  |  | $ | (22) |  |  | $ | — |  |  | $ | 1 |  |  | $ | — |  |  | $ | 1 |
Liability derivatives |  | (22) |  |  | 22 |  |  | (1) |  |  | (1) |  |  | — |  |  | (1) |
(1)All OTC derivatives are subject to enforceable master netting agreements.
Schedule of 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 March 31, 2023 |  |  |  |  |  |
Interest rate contracts |  | $ | (35) |  |  | $ | — |  |  | $ | (35) |
Equity and index contracts |  | 4 |  |  | 8 |  |  | 12 |
Contingent consideration |  | — |  |  | 9 |  |  | 9 |
Foreign currency contracts |  | (7) |  |  | — |  |  | (7) |
Credit default contracts |  | (14) |  |  | — |  |  | (14) |
Total |  | $ | (52) |  |  | $ | 17 |  |  | $ | (35) |
Three months ended March 31, 2022 |  |  |  |  |  |
Interest rate contracts |  | $ | 316 |  |  | $ | — |  |  | $ | 316 |
Equity and index contracts |  | 3 |  |  | (13) |  |  | (10) |
Contingent consideration |  | — |  |  | 12 |  |  | 12 |
Foreign currency contracts |  | 7 |  |  | — |  |  | 7 |
Credit default contracts |  | (8) |  |  | — |  |  | (8) |
Total |  | $ | 318 |  |  | $ | (1) |  |  | $ | 317 |
Schedule of OTC cash and securities collateral pledged |
OTC cash and securities collateral pledged
($ in millions) |  | March 31, 2023
Pledged by the Company |  | $ | 19 |
Pledged to the Company (1) |  | 3 |
(1)$1 million of collateral was posted under MNAs for contracts containing credit-risk-contingent provisions that are in a liability provision.
Schedule of counterparty credit exposure by counterparty credit rating |
OTC derivatives counterparty credit exposure by counterparty credit rating
($ in millions) |  | March 31, 2023 |  | December 31, 2022
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 |  |  | $ | 176 |  |  | $ | 3 |  |  | $ | — |  |  | 1 |  |  | $ | 128 |  |  | $ | 5 |  |  | $ | — |
A |  | — |  |  | — |  |  | — |  |  | — |  |  | 1 |  |  | 192 |  |  | 7 |  |  | — |
Total |  | 1 |  |  | $ | 176 |  |  | $ | 3 |  |  | $ | — |  |  | 2 |  |  | $ | 320 |  |  | $ | 12 |  |  | $ | — |
(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) |  | March 31, 2023
Pledged by the Company |  | $ | 146 |
Received by the Company |  | — |
Schedule of 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) |  | March 31, 2023 |  | December 31, 2022
Gross liability fair value of contracts containing credit-risk-contingent features |  | $ | 4 |  |  | $ | 21 |
Gross asset fair value of contracts containing credit-risk-contingent features and subject to MNAs |  | (3) |  |  | (11) |
Collateral posted under MNAs for contracts containing credit-risk-contingent features |  | (1) |  |  | (10) |
Maximum amount of additional exposure for contracts with credit-risk-contingent features if all features were triggered concurrently |  | $ | — |  |  | $ | — |

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- Definition Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624163-113959 + Details
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