Company: AFGC
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001042046-25-000020
Chunk: 27

Company: AMERICAN FINANCIAL GROUP INC
Filing Date: 2025-05-08
Form: 10-Q
Item: Part I, Item 1
Chunk 27
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 to 100% of the most subordinate debt tranche of thirteen active CLOs, which are considered variable interest entities. AFG also owns portions of the senior debt tranches of certain of these CLOs. Upon formation between 2013 and 2025, 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 $122 million (including $112 million invested in the most subordinate tranches) at March 31, 2025.In February 2025, AFG formed one new CLO, which issued $406 million face amount of liabilities (including $40 million face amount purchased by AFG). In February 2024, AFG formed one new CLO, which issued $406 million face amount of liabilities (including $32 million face amount purchased by AFG). In the first three months of 2025, one CLO was substantially liquidated in accordance with the CLO indenture.

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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 (in millions):Three months ended March 31,20252024Balance at beginning of period$125 $137 Purchases35 28 Sales(30)— Distributions(9)(9)Change in fair value— 13 Change in accrued interest1 — Balance at end of period (*)$122 $169 (*)Excludes $30 million invested in a temporary warehousing entity at March 31, 2024 that was established to provide AFG the ability to form a new CLO.The revenues and expenses of the