Company: AFGC
Filing Date: 2025-02-25
Form Type: 10-K
Source: 0001042046-25-000011
Chunk: 40

Company: AMERICAN FINANCIAL GROUP INC
Filing Date: 2025-02-25
Form: 10-K
Item: Item 9C
Chunk 40
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2024 ($20 million notional amount at issuance). Amounts reclassified from AOCI to net earnings were losses of $24 million and $26 million in 2024 and 2023, respectively, and income of less than $1 million (net) in 2022. Based on forward interest rate curves at December 31, 2024, management estimates that it will reclassify approximately $8 million of pre-tax net losses on interest rate swaps in AOCI to net investment income over the next twelve months. The actual amount will vary based on changes in SOFR. A collateral receivable supporting these swaps of $27 million and $48 million at December 31, 2024 and December 31, 2023, respectively, is included in other assets in AFG’s Balance Sheet.The fixed maturities with embedded derivatives consist of convertible fixed maturity securities and interest-only and principal-only MBS. AFG records the change in the fair value of these securities in net earnings. These investments are part of AFG’s overall investment strategy and represent a small component of AFG’s overall investment portfolio.AFG is exposed to fair value changes from certain equity and fixed maturity market-based exposures related to its deferred compensation obligations to certain employees. To mitigate this risk, AFG entered into a total return swap in 2022. AFG’s Balance Sheet includes a $4 million receivable for collateral posted related to the swap (included in other assets) at December 31, 2024, and a $5 million liability to return collateral related to the swap (included in other liabilities) at December 31, 2023.

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

The following table summarizes the gains (losses) included in AFG’s Statement of Earnings for changes in the fair value of derivatives for 2024, 2023 and 2022 (in millions):Statement of Earnings Line202420232022Qualifying cash flow hedges:Interest rate swapsNet investment income$(24)$(26)$— Non-designated hedges:Fixed maturities with embedded derivativesRealized gains (losses) on securities(1)(2)(12)Fixed maturities with embedded derivativesNet investment income17 (4)— Total return swapOther expenses9 13 (5)