Received by the Company

Notes to Condensed Consolidated Financial Statements  


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| OTC derivatives counterparty credit exposure by counterparty credit rating |
| ($ in millions) |  | September 30, 2022 |  | December 31, 2021 |
| Rating (1) |  | Number ofcounter-parties |  | Notionalamount (2) |  | Creditexposure (2) |  | Exposure, net of collateral (2) |  | Number ofcounter-parties |  | Notionalamount (2) |  | Creditexposure (2) |  | Exposure, net of collateral (2) |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| A+ |  | 4  |  |  | $ | 500  |  |  | $ | 25  |  |  | $ | —  |  |  | 1  |  |  | $ | 199  |  |  | $ | 7  |  |  | $ | —  |  |
| A |  | 1  |  |  | 232  |  |  | 24  |  |  | —  |  |  | 1  |  |  | 367  |  |  | 9  |  |  | —  |  |
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|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| 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.For certain exchange traded and cleared derivatives, margin deposits are required as well as daily cash settlements of margin accounts. 

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

Market risk is the risk that the Company will incur losses due to adverse changes in market rates and prices. Market risk exists for all of the derivative financial instruments the Company currently holds, as these instruments may become less valuable due to adverse changes in market conditions. To limit this risk, the Company’s senior management has established risk control limits. In addition, changes in fair value of the derivative financial instruments that the Company uses for risk management purposes are generally offset by the change in the fair value or cash flows of the hedged risk component of the related assets, liabilities or forecasted transactions.Certain of the Company’s derivative transactions contain credit-risk-contingent termination events and cross-default provisions. Credit-risk-contingent termination events allow the counterparties to terminate the derivative agreement or a specific trade on certain dates if AIC’s financial strength credit ratings by Moody’s or S&P fall below a certain level. Credit-risk-contingent cross-default provisions allow the counterparties to terminate the derivative agreement if the Company defaults by pre-determined threshold amounts on certain debt instruments. 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.

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| ($ 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  |  |

Credit derivatives - selling protectionA credit default swap (“CDS”) is a derivative instrument, representing an agreement between two parties to exchange the credit risk of a specified entity (or a group of entities), or an index based on the credit risk of a group of entities (all commonly referred to as the “reference entity” or a portfolio of “reference entities”), in return for a periodic premium. In selling protection, CDS are used to replicate fixed income securities and to complement the cash market when credit exposure to certain issuers is not available or when the derivative alternative is less expensive than the cash market alternative. CDS typically have a five-year term. As of September 30, 2022, there were no open CDS positions.32 www.allstate.com
