Unrealized losses having loss of less than twenty percent

Notes to Condensed Consolidated Financial Statements  


|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Gross unrealized losses and fair value by type and length of time held in a continuous unrealized loss position |
| ($ in millions) |  | Less than 12 months |  | 12 months or more |  | Totalunrealizedlosses |
|  | Numberof issues |  | Fairvalue |  | Unrealizedlosses |  | Numberof issues |  | Fairvalue |  | Unrealizedlosses |  |
| September 30, 2022 |  |   |  |   |  |   |  |   |  |   |  |   |  |   |
| Fixed income securities |  |   |  |   |  |   |  |   |  |   |  |   |  |   |
| U.S. government and agencies |  | 137  |  |  | $ | 6,980  |  |  | $ | (231) |  |  | 53  |  |  | $ | 1,428  |  |  | $ | (82) |  |  | $ | (313) |  |
| Municipal |  | 3,880  |  |  | 5,508  |  |  | (400) |  |  | 289  |  |  | 341  |  |  | (61) |  |  | (461) |  |
| Corporate |  | 2,611  |  |  | 21,603  |  |  | (2,305) |  |  | 515  |  |  | 2,879  |  |  | (580) |  |  | (2,885) |  |
| Foreign government |  | 80  |  |  | 744  |  |  | (27) |  |  | 42  |  |  | 141  |  |  | (16) |  |  | (43) |  |
| ABS |  | 269  |  |  | 1,484  |  |  | (58) |  |  | 62  |  |  | 36  |  |  | (5) |  |  | (63) |  |
| Total fixed income securities |  | 6,977  |  |  | $ | 36,319  |  |  | $ | (3,021) |  |  | 961  |  |  | $ | 4,825  |  |  | $ | (744) |  |  | $ | (3,765) |  |
| Investment grade fixed income securities |  | 6,313  |  |  | $ | 32,385  |  |  | $ | (2,346) |  |  | 902  |  |  | $ | 4,474  |  |  | $ | (643) |  |  | $ | (2,989) |  |
| Below investment grade fixed income securities |  | 664  |  |  | 3,934  |  |  | (675) |  |  | 59  |  |  | 351  |  |  | (101) |  |  | (776) |  |
| Total fixed income securities |  | 6,977  |  |  | $ | 36,319  |  |  | $ | (3,021) |  |  | 961  |  |  | $ | 4,825  |  |  | $ | (744) |  |  | $ | (3,765) |  |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| December 31, 2021 |  |   |  |   |  |   |  |   |  |   |  |   |  |   |
| Fixed income securities |  |   |  |   |  |   |  |   |  |   |  |   |  |   |
| U.S. government and agencies |  | 112  |  |  | $ | 5,451  |  |  | $ | (24) |  |  | 4  |  |  | $ | 72  |  |  | $ | (2) |  |  | $ | (26) |  |
| Municipal |  | 767  |  |  | 1,213  |  |  | (15) |  |  | 2  |  |  | 14  |  |  | (1) |  |  | (16) |  |
| Corporate |  | 1,197  |  |  | 9,725  |  |  | (176) |  |  | 22  |  |  | 130  |  |  | (16) |  |  | (192) |  |
| Foreign government |  | 51  |  |  | 415  |  |  | (6) |  |  | 4  |  |  | 3  |  |  | —  |  |  | (6) |  |
| ABS |  | 80  |  |  | 500  |  |  | (2) |  |  | 53  |  |  | 8  |  |  | —  |  |  | (2) |  |
| Total fixed income securities |  | 2,207  |  |  | $ | 17,304  |  |  | $ | (223) |  |  | 85  |  |  | $ | 227  |  |  | $ | (19) |  |  | $ | (242) |  |
| Investment grade fixed income securities |  | 1,993  |  |  | $ | 15,391  |  |  | $ | (188) |  |  | 71  |  |  | $ | 183  |  |  | $ | (8) |  |  | $ | (196) |  |
| Below investment grade fixed income securities |  | 214  |  |  | 1,913  |  |  | (35) |  |  | 14  |  |  | 44  |  |  | (11) |  |  | (46) |  |
| Total fixed income securities |  | 2,207  |  |  | $ | 17,304  |  |  | $ | (223) |  |  | 85  |  |  | $ | 227  |  |  | $ | (19) |  |  | $ | (242) |  |



|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Gross unrealized losses by unrealized loss position and credit quality as of September 30, 2022 |
| ($ in millions) |  | Investment grade |  | Below investment grade |  | Total |
| Fixed income securities with unrealized loss position less than 20% of amortized cost, net (1) (2) |  | $ | (2,422) |  |  | $ | (439) |  |  | $ | (2,861) |  |
| Fixed income securities with unrealized loss position greater than or equal to 20% of amortized cost, net (3) (4) |  | (567) |  |  | (337) |  |  | (904) |  |
| Total unrealized losses |  | $ | (2,989) |  |  | $ | (776) |  |  | $ | (3,765) |  |

(1)Below investment grade fixed income securities include $419 million that have been in an unrealized loss position for less than twelve months.(2)Related to securities with an unrealized loss position less than 20% of amortized cost, net, the degree of which suggests that these securities do not pose a high risk of having credit losses.(3)No below investment grade fixed income securities have been in an unrealized loss position for a period of twelve or more consecutive months.(4)Evaluated based on factors such as discounted cash flows and the financial condition and near-term and long-term prospects of the issue or issuer and were determined to have adequate resources to fulfill contractual obligations.Investment grade is defined as a security having a National Association of Insurance Commissioners (“NAIC”) designation of 1 or 2, which is comparable to a rating of Aaa, Aa, A or Baa from Moody’s or AAA, AA, A or BBB from S&P Global Ratings (“S&P”), or a comparable internal rating if an externally provided rating is not available. Market prices for certain securities may have credit spreads which imply higher or lower credit quality than the current third-party rating. Unrealized losses on investment grade securities are principally related to an increase in market yields which may include increased risk-free interest rates or wider credit spreads since the time of initial purchase. The unrealized losses are expected to reverse as the securities approach maturity.ABS in an unrealized loss position were evaluated based on actual and projected collateral losses relative to the securities’ positions in the respective securitization trusts, security specific expectations of cash flows, and credit ratings. This evaluation also takes into consideration credit enhancement, measured in terms of (i) subordination from other classes of securities in the trust that are contractually obligated to absorb losses before the class of security the Company owns, and (ii) the expected impact of other structural features embedded in the securitization trust beneficial to the class of securities 18 www.allstate.com
