Company: AFGC
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001042046-25-000035
Chunk: 32

Company: AMERICAN FINANCIAL GROUP INC
Filing Date: 2025-11-06
Form: 10-Q
Item: Part I, Item 1
Chunk 32
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 swapOther expenses6 5 12 11 Earnings (losses) on non-designated hedges11 14 20 20 Total earnings (losses) on derivatives$8 $8 $12 $— 

G.    Managed Investment Entities

AFG is the investment manager and it has investments ranging from 5.4% to 100% of the most subordinate debt tranche of twelve active CLOs, which are considered variable interest entities. AFG also owns portions of the senior debt tranches of certain of these CLOs. Upon formation, these entities issued securities in various senior and subordinate classes and invested the proceeds primarily in secured bank loans, which serve as collateral for the debt securities issued by each CLO. None of the collateral was purchased from AFG. AFG’s investments in the subordinate debt tranches of these entities receive residual income from the CLOs only after the CLOs pay expenses (including management fees to AFG) and interest on and returns of capital to senior levels of debt securities. There are no contractual requirements for AFG to provide additional funding for these entities. AFG has not provided and does not intend to provide any financial support to these entities.AFG’s maximum exposure to economic loss on the CLOs that it manages is limited to its investment in those CLOs, which had an aggregate fair value of $138 million (including $116 million invested in the most subordinate tranches and $8 million invested in a temporary warehousing entity) at September 30, 2025.In the first nine months of 2025, AFG formed two new CLOs, which issued $813 million face amount of liabilities (including $80 million face amount purchased by AFG). In the first nine months of 2024, AFG formed two new CLOs, which issued $813 million face amount of liabilities (including $73 million face amount purchased by AFG). In the first nine months of 2025, three CLOs were substantially liquidated in accordance with the CLO indentures.

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Table of ContentsAMERICAN FINANCIAL GROUP, INC. 10-QNOTES TO CONSOLIDATED FINANCIAL STATEMENTS — CONTINUED

The following table shows a progression of the fair value of AFG's investment in CLO tranches and temporary warehousing entities (in millions):Three months ended September 30,Nine months ended September 30