Company: AFGC
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001042046-25-000035
Chunk: 31

Company: AMERICAN FINANCIAL GROUP INC
Filing Date: 2025-11-06
Form: 10-Q
Item: Part I, Item 1
Chunk 31
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 amount at issuance). Amounts reclassified from AOCI to net investment income were losses of $3 million and $6 million in the third quarter of 2025 and 2024 and losses of $8 million and $20 million in the first nine months of 2025 and 2024, respectively. Based on forward interest rate curves at September 30, 2025, management estimates that it will reclassify approximately $4 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 $12 million and $27 million at September 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 STATEMENTS — CONTINUED

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. AFG’s Balance Sheet includes a $2 million liability to return collateral related to the swap (included in other liabilities) and a $4 million receivable for collateral posted related to the swap (included in other assets) at September 30, 2025 and December 31, 2024, respectively.The following table summarizes the gains (losses) included in AFG’s Statement of Earnings for changes in the fair value of derivatives (in millions):Three months ended September 30,Nine months ended September 30,Statement of Earnings Line2025202420252024Qualifying cash flow hedges:Interest rate swapsNet investment income$(3)$(6)$(8)$(20)Non-designated hedges:Fixed maturities with embedded derivativesRealized gains (losses) on securities1 3 2 2 Fixed maturities with embedded derivativesNet investment income4 6 6 7 Total return