Company: AFGC
Filing Date: 2025-08-07
Form Type: 10-Q
Source: 0001042046-25-000024
Chunk: 71

Company: AMERICAN FINANCIAL GROUP INC
Filing Date: 2025-08-07
Form: 10-Q
Item: Part I, Item 8
Chunk 71
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 liabilities$1 $7 $1 $14 Derivatives not designated as hedging instruments:Fixed maturities with embedded derivativesFixed maturities75 — 81 — Total return swapOther assets/Other liabilities5 — — 4 $81 $7 $82 $18 AFG’s interest rate swaps are designated and qualify as highly effective cash flow hedges to mitigate interest rate risk related to certain floating-rate securities included in AFG’s portfolio of fixed maturity securities. The purpose of each of these swaps is to effectively convert a portion of AFG’s floating-rate fixed maturity securities to fixed rates by offsetting the variability in cash flows attributable to changes in the applicable Secured Overnight Financing Rate (“SOFR”).Under the terms of the swaps, AFG receives fixed-rate interest payments in exchange for variable interest payments based on SOFR. The notional amounts of the interest rate swaps generally decline over each swap’s respective life (the swaps expire between July 2025 and October 2034) in anticipation of the expected decline in AFG’s portfolio of fixed maturity securities with floating interest rates based on SOFR. The total outstanding notional amount of AFG’s interest rate swaps was $768 million at June 30, 2025 compared to $1.05 billion at December 31, 2024, reflecting scheduled amortization, partially offset by one new swap entered into in the first six months of 2025 ($12 million notional amount at issuance). Amounts reclassified from AOCI to net earnings were losses of $2 million and $7 million in the second quarter of 2025 and 2024 and losses of $5 million and $14 million in the first six months of 2025 and 2024, respectively. Based on forward interest rate curves at June 30, 2025, management estimates that it will reclassify approximately $6 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 $17 million and $27 million at June 30, 2025 and December 31, 2024, respectively, is included in other assets in AFG’s Balance Sheet.

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Table of ContentsAMERICAN FINANCIAL GROUP, INC. 10-QNOTES TO CONSOLIDATED FINANCIAL STATE