Company: AFGC
Filing Date: 2025-02-25
Form Type: 10-K
Source: 0001042046-25-000011
Chunk: 39

Company: AMERICAN FINANCIAL GROUP INC
Filing Date: 2025-02-25
Form: 10-K
Item: Item 9C
Chunk 39
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F-24

Table of ContentsAMERICAN FINANCIAL GROUP, INC. AND SUBSIDIARIES    NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — CONTINUED

Gross realized gains and losses (excluding changes in impairment allowance and mark-to-market of derivatives) on available for sale fixed maturity investment transactions consisted of the following (in millions):202420232022Gross gains$1 $5 $3 Gross losses(5)(38)(18)

F.    Derivatives

As discussed under “Derivatives” in Note A — “Accounting Policies,” AFG uses derivatives to mitigate certain market risks related to its investment portfolio and deferred compensation obligations to employees.The following table presents the classification of derivative assets and liabilities included in AFG’s Balance Sheet at fair value (in millions):December 31, 2024December 31, 2023Balance Sheet LineAssetLiabilityAssetLiabilityDerivatives designated and qualifying as cash flow hedges:Interest rate swapsOther assets/Other liabilities$1 $14 $1 $22 Derivatives not designated as hedging instruments:Fixed maturities with embedded derivativesFixed maturities81 — 81 — Total return swapOther assets/Other liabilities— 4 5 — $82 $18 $87 $22 AFG’s interest rate swaps are designated and qualify as highly effective cash flow hedges to mitigate interest rate risk related to certain floating-rate securities included in AFG’s portfolio of fixed maturity securities. The purpose of each of these swaps is to effectively convert a portion of AFG’s floating-rate fixed maturity securities to fixed rates by offsetting the variability in cash flows attributable to changes in the applicable Secured Overnight Financing Rate (“SOFR”).Under the terms of the swaps, AFG receives fixed-rate interest payments in exchange for variable interest payments based on SOFR. The notional amounts of the interest rate swaps generally decline over each swap’s respective life (the swaps expire between January 2025 and October 2029) in anticipation of the expected decline in AFG’s portfolio of fixed maturity securities with floating interest rates based on SOFR. The total outstanding notional amount of AFG’s interest rate swaps was $1.05 billion at December 31, 2024 compared to $1.30 billion at December 31, 2023, reflecting scheduled amortization, partially offset by one new swap in