Company: AFGC
Filing Date: 2025-02-25
Form Type: 10-K
Source: 0001042046-25-000011
Chunk: 41

Company: AMERICAN FINANCIAL GROUP INC
Filing Date: 2025-02-25
Form: 10-K
Item: Item 9C
Chunk 41
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Earnings (losses) on non-designated hedges25 7 (17)Total earnings (losses) on derivatives$1 $(19)$(17)

G.    Managed Investment Entities

AFG is the investment manager and it has investments ranging from 13.3% to 100% of the most subordinate debt tranche of thirteen active collateralized loan obligation entities (“CLOs”), which are considered variable interest entities. AFG also owns portions of the senior debt tranches of certain of these CLOs. Upon formation between 2012 and 2024, 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 $175 million (including $115 million invested in the most subordinate tranches and $49 million invested in a temporary warehousing entity) at December 31, 2024.In 2024, AFG formed two new CLOs, which issued an aggregate $813 million face amount of liabilities (including $73 million face amount purchased by AFG). In 2023, AFG formed one new CLO, which issued $407 million face amount of liabilities (including $16 million face amount purchased by AFG). In 2022, AFG formed two new CLOs, which issued an aggregate $754 million face amount of liabilities (including $48 million face amount purchased by AFG). In 2024 and 2023, one and four CLOs were substantially liquidated in accordance with the CLO indentures, respectively.The following table shows a progression of the fair value of AFG's investment in CLO tranches (in millions):202420232022Balance at beginning of period$137 $112 $76 Purchases62 32