Company: AFGC
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001042046-25-000035
Chunk: 93

Company: AMERICAN FINANCIAL GROUP INC
Filing Date: 2025-11-06
Form: 10-Q
Item: Part I, Item 8
Chunk 93
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 or offers, reference data, and measures of volatility. Included in the pricing of structured securities are estimates of the rate of future prepayments and defaults of principal over the remaining life of the underlying collateral. Due to the lack of transparency in the process that brokers use to develop prices, valuations that are based on brokers’ prices are classified as Level 3 in the GAAP hierarchy unless the price can be corroborated, for example, by comparison to similar securities priced using observable inputs.

Valuation techniques utilized by pricing services and prices obtained from external sources are reviewed by AFG’s internal investment professionals who are familiar with the securities being priced and the markets in which they trade to ensure the fair value determination is representative of an exit price. To validate the appropriateness of the prices obtained, these investment managers consider widely published indices (as benchmarks), recent trades, changes in interest rates, general economic conditions and the credit quality of the specific issuers. In addition, AFG communicates directly with 

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Table of ContentsAMERICAN FINANCIAL GROUP, INC. 10-QManagement’s Discussion and Analysis of Financial Condition and Results of Operations — Continued

pricing services regarding the methods and assumptions used in pricing, including verifying, on a test basis, the inputs used by the services to value specific securities.

In general, the fair value of AFG’s fixed maturity investments is inversely correlated to changes in interest rates. The following table demonstrates the sensitivity of such fair values to reasonably likely changes in interest rates by illustrating the estimated effect on AFG’s fixed maturity portfolio that an immediate increase of 100 basis points in the interest rate yield curve would have had at September 30, 2025 (dollars in millions). Effects of increases or decreases from the 100 basis points illustrated would be approximately proportional.

Fair value of fixed maturity portfolio$10,598 Percentage impact on fair value of 100 bps increase in interest rates(3.0%)Pretax impact on fair value of fixed maturity portfolio$(318)

Approximately 96% of the fixed maturities held by AFG at September 30, 2025, were rated “investment grade” (credit rating of AAA to BBB) by nationally recognized rating agencies, 2% were rated “non-investment grade” and 2% were not rated. Investment grade securities generally bear lower yields and lower degrees of risk than those that are unrated and non-investment grade. Management believes that the high-quality investment portfolio should generate a stable and predictable investment return.