Company: AFGC
Filing Date: 2025-05-08
Form Type: 10-Q
Source: 0001042046-25-000020
Chunk: 26

Company: AMERICAN FINANCIAL GROUP INC
Filing Date: 2025-05-08
Form: 10-Q
Item: Part I, Item 1
Chunk 26
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ization. Amounts reclassified from AOCI to net earnings were losses of $3 million and $7 million in the first three months of 2025 and 2024, respectively. Based on forward interest rate curves at March 31, 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 $21 million and $27 million at March 31, 2025 and December 31, 2024, respectively, is included in other assets in AFG’s Balance Sheet.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 in 2022. AFG’s Balance Sheet includes a $5 million and a $4 million receivable for collateral posted related to the swap (included in other assets) at March 31, 2025 and December 31, 2024, respectively.

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

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 March 31,Statement of Earnings Line20252024Qualifying cash flow hedges:Interest rate swapsNet investment income$(3)$(7)Non-designated hedges:Fixed maturities with embedded derivativesRealized gains on securities1 (1)Fixed maturities with embedded derivativesNet investment income(5)— Total return swapOther expenses(3)6 Earnings (losses) on non-designated hedges(7)5 Total earnings (losses) on derivatives$(10)$(2)

F.    Managed Investment Entities

AFG is the investment manager and it has investments ranging from 6.0%