Company: AFGC
Filing Date: 2025-08-07
Form Type: 10-Q
Source: 0001042046-25-000024
Chunk: 60

Company: AMERICAN FINANCIAL GROUP INC
Filing Date: 2025-08-07
Form: 10-Q
Item: Part I, Item 8
Chunk 60
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 (such as optional early redemption). Internally developed Level 3 asset fair values represent approximately 85% ($897 million) of the total fair value of Level 3 assets at June 30, 2025. Approximately 67% ($605 million) of these internally developed Level 3 assets are priced using a pricing model that uses a discounted cash flow approach to estimate the fair value of fixed maturity securities. The credit spread applied by management is the significant unobservable input of the pricing model. In instances where the security is currently callable at par value and the pricing 

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Table of ContentsAMERICAN FINANCIAL GROUP, INC. 10-QNOTES TO CONSOLIDATED FINANCIAL STATEMENTS — CONTINUED

model suggests a higher price, management caps the fair value at par value. The remainder of the internally developed Level 3 investments ($292 million) are priced using internal models or inputs from third parties that are not market observable. Management believes that any justifiable changes in unobservable inputs used to determine internally developed fair values would not have resulted in a material change in AFG’s financial position.Approximately 11% ($118 million) of the Level 3 assets were investments whose prices were determined based on financial information provided by third party asset managers. Approximately 4% ($47 million) of Level 3 assets were priced using non-binding broker quotes or pricing services, for which there is a lack of transparency as to the inputs used to determine fair value.Changes in balances of Level 3 financial assets and liabilities carried at fair value during the second quarter and first six months of 2025 and 2024 are presented below (in millions). The transfers into and out of Level 3 were due to changes in the availability of market observable inputs. All transfers are reflected in the table at fair value as of the end of the reporting period.Total realized/unrealizedgains (losses) included inBalance at March 31, 2025Netearnings (loss)Other comprehensive income (loss)PurchasesandissuancesSales andsettlementsTransferintoLevel 3Transferout ofLevel 3Balance at June 30, 2025AFS fixed maturities:State and municipal$4 $— $— $— $— $2 $— $6 Residential MBS1 — — — — — — 1 Collateralized loan obligations— —