AMERICAN FINANCIAL GROUP INC - FORM 8-K - EX-99.2 - INVESTOR SUPPLEMENT

Attached files

file	filename
EX-99.1 - EARNINGS RELEASE - AMERICAN FINANCIAL GROUP INC	d433700dex991.htm
8-K - CURRENT REPORT - AMERICAN FINANCIAL GROUP INC	d433700d8k.htm

Exhibit 99.2

American Financial Group, Inc.

Investor Supplement - Second Quarter 2017

August 1, 2017

American Financial Group, Inc.

Corporate Headquarters

Great American Insurance Group Tower

301 E Fourth Street

Cincinnati, OH 45202

513 579 6739

American Financial Group, Inc.

Table of Contents - Investor Supplement - Second Quarter 2017


Section	Page
Table of Contents - Investor Supplement - Second Quarter 2017		2
Financial Highlights		3
Summary of Earnings		4
Earnings Per Share Summary		5

Property and Casualty Insurance Segment
Property and Casualty Insurance - Summary Underwriting Results (GAAP)		6
Specialty - Underwriting Results (GAAP)		7
Property and Transportation - Underwriting Results (GAAP)		8
Specialty Casualty - Underwriting Results (GAAP)		9
Specialty Financial - Underwriting Results (GAAP)		10
Other Specialty - Underwriting Results (GAAP)		11

Annuity Segment
Annuity Earnings (GAAP)		12
Detail of Annuity Benefits Expense (GAAP)		13
Net Spread on Fixed Annuities (GAAP)		14
Annuity Premiums (Statutory)		15
Fixed Annuity Benefits Accumulated (GAAP)		16

Consolidated Balance Sheet / Book Value / Debt
Consolidated Balance Sheet		17
Book Value Per Share and Price / Book Summary		18
Capitalization		19
Additional Supplemental Information		20

Consolidated Investment Supplement
Total Cash and Investments		21
Net Investment Income		22
Fixed Maturities - By Security Type - AFG Consolidated		23
Fixed Maturities - By Security Type Portfolio		24
Fixed Maturities - Credit Rating		25
Mortgage-Backed Securities - AFG Consolidated		26
Mortgage-Backed Securities Portfolio		27
Mortgage-Backed Securities - Credit Rating		28

Appendix
A. Fixed Maturities - Credit Rating by Type		29

Page 2

American Financial Group, Inc.

Financial Highlights

(in millions, except per share information)


	Three Months Ended															Six Months Ended
	06/30/17			03/31/17			12/31/16			09/30/16			06/30/16			06/30/17			06/30/16
Highlights
Net earnings	$	145		$	153		$	385		$	109		$	54		$	298		$	155
Core net operating earnings		145			151			176			134			113			296			224
Total assets		58,618			57,464			55,072			54,845			52,733			58,618			52,733
Adjusted shareholders’ equity (a)		4,837			4,815			4,617			4,487			4,356			4,837			4,356
Property and Casualty net written premiums		1,130			1,027			1,083			1,268			1,056			2,157			2,035
Annuity statutory premiums		1,266			1,290			1,111			941			1,098			2,556			2,383

Per share data
Diluted earnings per share	$	1.61		$	1.72		$	4.33		$	1.23		$	0.62		$	3.32		$	1.76
Core net operating earnings per share		1.61			1.69			1.98			1.51			1.28			3.29			2.53
Adjusted book value per share (a)		54.97			54.98			53.11			51.68			50.16			54.97			50.16
Cash dividends per common share		1.8125			0.3125			1.3125			0.2800			0.2800			2.1250			0.5600

Financial ratios
Annualized return on equity (b)		12.3	%		13.3	%		34.4	%		9.9	%		5.1	%		12.8	%		7.2	%
Annualized core operating return on equity (b)		12.3	%		13.1	%		15.7	%		12.2	%		10.5	%		12.7	%		10.4	%
Property and Casualty combined ratio - Specialty:
Loss & LAE ratio		59.5	%		59.5	%		63.7	%		62.9	%		61.2	%		59.5	%		59.8	%
Underwriting expense ratio		33.7	%		32.7	%		26.7	%		30.3	%		32.7	%		33.2	%		32.9	%

Combined ratio - Specialty		93.2	%		92.2	%		90.4	%		93.2	%		93.9	%		92.7	%		92.7	%

Net spread on fixed annuities:
Net interest spread		2.61	%		2.58	%		2.70	%		2.85	%		2.84	%		2.59	%		2.69	%
Net spread earned:
Before impact of fair value accounting		1.32	%		1.31	%		1.42	%		1.46	%		1.45	%		1.31	%		1.33	%
Impact of fair value accounting (c)		(0.21	%)		(0.03	%)		0.40	%		0.01	%		(0.37	%)		(0.12	%)		(0.42	%)

After impact of fair value accounting		1.11	%		1.28	%		1.82	%		1.47	%		1.08	%		1.19	%		0.91	%

(a)	Excludes unrealized gains related to fixed maturity investments, a reconciliation to the GAAP measure is on page 18.

(b)	Excludes accumulated other comprehensive income.

(c)	Change in fair value of derivatives offset by the estimated related adjustments to amortization of deferred sales inducements and deferred policy acquisition costs.

Page 3

American Financial Group, Inc.

Summary of Earnings

($ in millions)


	Three Months Ended															Six Months Ended
	06/30/17			03/31/17			12/31/16			09/30/16			06/30/16			06/30/17			06/30/16
Property and Casualty Insurance
Underwriting profit	$	72		$	78		$	110		$	78		$	62		$	150		$	149
Net investment income		96			86			85			93			89			182			172
Other income (expense)		(5	)		5			(15	)		(18	)		(12	)		—			(24	)

Property and Casualty Insurance operating earnings		163			169			180			153			139			332			297
Annuity earnings		85			96			132			107			76			181			129
Run-off Long-Term Care and Life earnings		2			—			2			1			—			2			(1	)
Interest expense of parent holding companies		(23	)		(21	)		(21	)		(19	)		(19	)		(44	)		(37	)
Other expense		(23	)		(26	)		(29	)		(29	)		(19	)		(49	)		(41	)

Pre-tax core operating earnings		204			218			264			213			177			422			347
Income tax expense		59			67			88			79			64			126			123

Core net operating earnings		145			151			176			134			113			296			224
Non-core items, net of tax:
Realized gains (losses) on securities		5			2			32			1			(10	)		7			(20	)
Realized gain (loss) on sale of subsidiaries		—			—			—			—			1			—			1
Gain on sale of hotel and apartment properties		—			—			—			—			15			—			15
Special A&E charges:
Property and Casualty Insurance run-off operations		—			—			—			(23	)		—			—			—
Former Railroad and Manufacturing operations		—			—			—			(3	)		—			—			—
Neon exited lines charge		—			—			—			—			(65	)		—			(65	)
Tax benefit related to National Interstate merger		—			—			66			—			—			—			—
Tax benefit related to Neon restructuring		—			—			111			—			—			—			—
Loss on retirement of debt		(5	)		—			—			—			—			(5	)		—

Net earnings	$	145		$	153		$	385		$	109		$	54		$	298		$	155

Page 4

American Financial Group, Inc.

Earnings Per Share Summary

(in millions, except per share information)


	Three Months Ended													Six Months Ended
	06/30/17			03/31/17		12/31/16		09/30/16			06/30/16			06/30/17			06/30/16
Core net operating earnings	$	145		$	151	$	176	$	134		$	113		$	296		$	224

Net earnings	$	145		$	153	$	385	$	109		$	54		$	298		$	155

Average number of diluted shares		89.799			89.342		88.774		88.461			88.390			89.572			88.443
Diluted earnings per share:
Core net operating earnings per share	$	1.61		$	1.69	$	1.98	$	1.51		$	1.28		$	3.29		$	2.53
Realized gains (losses) on securities		0.05			0.03		0.36		0.02			(0.11	)		0.08			(0.22	)
Realized gain (loss) on sale of subsidiaries		—			—		—		—			0.01			—			0.01
Gain on sale of hotel and apartment properties		—			—		—		—			0.17			—			0.17
Special A&E charges:
Property and Casualty Insurance run-off operations		—			—		—		(0.26	)		—			—			—
Former Railroad and Manufacturing operations		—			—		—		(0.04	)		—			—			—
Neon exited lines charge		—			—		—		—			(0.73	)		—			(0.73	)
Tax benefit related to National Interstate merger		—			—		0.74		—			—			—			—
Tax benefit related to Neon restructuring		—			—		1.25		—			—			—			—
Loss on retirement of debt		(0.05	)		—		—		—			—			(0.05	)		—

Diluted earnings per share	$	1.61		$	1.72	$	4.33	$	1.23		$	0.62		$	3.32		$	1.76

Page 5

American Financial Group, Inc.

Property and Casualty Insurance - Summary Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Six Months Ended
	06/30/17			03/31/17			12/31/16			09/30/16			06/30/16			06/30/17			06/30/16
Property and Transportation	$	21		$	43		$	75		$	44		$	15		$	64		$	47
Specialty Casualty		29			15			13			13			23			44			52
Specialty Financial		23			22			20			19			22			45			45
Other Specialty		—			(1	)		2			2			3			(1	)		5

Underwriting profit - Specialty		73			79			110			78			63			152			149
Other core charges, included in loss and LAE		1			1			—			—			1			2			—

Underwriting profit - Core		72			78			110			78			62			150			149
Special A&E charges, included in loss and LAE		—			—			—			(36	)		—			—			—
Neon exited lines charge, included in loss and LAE		—			—			—			—			(57	)		—			(57	)
Neon exited lines charge, included in underwriting expenses		—			—			—			—			(8	)		—			(8	)

Underwriting profit (loss) - Property and Casualty Insurance	$	72		$	78		$	110		$	42		$	(3	)	$	150		$	84

Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		18			7			12			14			21			25			29

Total current accident year catastrophe losses	$	18		$	7		$	12		$	14		$	21		$	25		$	29

Prior year loss reserve development (favorable) / adverse	$	(22	)	$	(28	)	$	10		$	22		$	28		$	(50	)	$	—

Combined ratio:
Property and Transportation		94.2	%		87.3	%		83.9	%		91.1	%		95.9	%		90.7	%		93.4	%
Specialty Casualty		94.7	%		97.0	%		97.4	%		97.4	%		95.3	%		95.8	%		94.8	%
Specialty Financial		84.4	%		85.0	%		86.0	%		86.4	%		84.4	%		84.8	%		83.5	%
Other Specialty		98.3	%		105.8	%		94.9	%		91.5	%		89.2	%		102.0	%		89.4	%
Combined ratio - Specialty		93.2	%		92.2	%		90.4	%		93.2	%		93.9	%		92.7	%		92.7	%
Other core charges		0.2	%		0.1	%		0.0	%		0.1	%		0.1	%		0.1	%		0.0	%
Neon exited lines charge, loss and LAE		0.0	%		0.0	%		0.0	%		0.0	%		5.5	%		0.0	%		2.8	%
Neon exited lines charge, underwriting expenses		0.0	%		0.0	%		0.0	%		0.0	%		0.8	%		0.0	%		0.4	%
Special A&E charges		0.0	%		0.0	%		0.0	%		3.0	%		0.0	%		0.0	%		0.0	%

Combined ratio		93.4	%		92.3	%		90.4	%		96.3	%		100.3	%		92.8	%		95.9	%

Combined ratio excl. catastrophe and prior year development		93.7	%		94.3	%		88.4	%		93.1	%		94.8	%		94.0	%		94.1	%

Loss and LAE components - property and casualty insurance
Current accident year, excluding catastrophe loss		60.0	%		61.6	%		61.7	%		62.8	%		62.1	%		60.8	%		61.2	%
Prior accident year loss reserve development		(2.0	%)		(2.7	%)		0.9	%		2.0	%		2.7	%		(2.4	%)		0.1	%
Current accident year catastrophe loss		1.7	%		0.7	%		1.1	%		1.2	%		2.0	%		1.2	%		1.4	%

Loss and LAE ratio		59.7	%		59.6	%		63.7	%		66.0	%		66.8	%		59.6	%		62.7	%

Page 6

American Financial Group, Inc.

Specialty - Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Six Months Ended
	06/30/17			03/31/17			12/31/16			09/30/16			06/30/16			06/30/17			06/30/16
Gross written premiums	$	1,503		$	1,324		$	1,441		$	1,899		$	1,398		$	2,827		$	2,641
Ceded reinsurance premiums		(373	)		(297	)		(358	)		(631	)		(342	)		(670	)		(606	)

Net written premiums		1,130			1,027			1,083			1,268			1,056			2,157			2,035
Change in unearned premiums		(65	)		(5	)		61			(109	)		(29	)		(70	)		(10	)

Net earned premiums		1,065			1,022			1,144			1,159			1,027			2,087			2,025
Loss and LAE		634			608			729			729			629			1,242			1,211
Underwriting expense		358			335			305			352			335			693			665

Underwriting profit	$	73		$	79		$	110		$	78		$	63		$	152		$	149

Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		18			7			12			14			21			25			29

Total current accident year catastrophe losses	$	18		$	7		$	12		$	14		$	21		$	25		$	29

Prior year loss reserve development (favorable) / adverse	$	(23	)	$	(29	)	$	10		$	(14	)	$	(30	)	$	(52	)	$	(57	)

Combined ratio:
Loss and LAE ratio		59.5	%		59.5	%		63.7	%		62.9	%		61.2	%		59.5	%		59.8	%
Underwriting expense ratio		33.7	%		32.7	%		26.7	%		30.3	%		32.7	%		33.2	%		32.9	%

Combined ratio		93.2	%		92.2	%		90.4	%		93.2	%		93.9	%		92.7	%		92.7	%

Combined ratio excl. catastrophe and prior year development		93.7	%		94.3	%		88.4	%		93.1	%		94.8	%		94.0	%		94.1	%

Loss and LAE components:
Current accident year, excluding catastrophe loss		60.0	%		61.6	%		61.7	%		62.8	%		62.1	%		60.8	%		61.2	%
Prior accident year loss reserve development		(2.2	%)		(2.8	%)		0.9	%		(1.1	%)		(2.9	%)		(2.5	%)		(2.8	%)
Current accident year catastrophe loss		1.7	%		0.7	%		1.1	%		1.2	%		2.0	%		1.2	%		1.4	%

Loss and LAE ratio		59.5	%		59.5	%		63.7	%		62.9	%		61.2	%		59.5	%		59.8	%

Page 7

American Financial Group, Inc.

Property and Transportation - Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Six Months Ended
	06/30/17			03/31/17			12/31/16			09/30/16			06/30/16			06/30/17			06/30/16
Gross written premiums	$	573		$	416		$	577		$	991		$	538		$	989		$	936
Ceded reinsurance premiums		(180	)		(92	)		(183	)		(406	)		(156	)		(272	)		(243	)

Net written premiums		393			324			394			585			382			717			693
Change in unearned premiums		(36	)		18			71			(92	)		(17	)		(18	)		11

Net earned premiums		357			342			465			493			365			699			704
Loss and LAE		232			208			319			339			245			440			456
Underwriting expense		104			91			71			110			105			195			201

Underwriting profit	$	21		$	43		$	75		$	44		$	15		$	64		$	47

Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		11			5			6			7			12			16			18

Total current accident year catastrophe losses	$	11		$	5		$	6		$	7		$	12		$	16		$	18

Prior year loss reserve development (favorable) / adverse	$	(11	)	$	(17	)	$	13		$	(5	)	$	(12	)	$	(28	)	$	(29	)

Combined ratio:
Loss and LAE ratio		64.9	%		60.8	%		68.6	%		68.8	%		67.0	%		62.8	%		64.7	%
Underwriting expense ratio		29.3	%		26.5	%		15.3	%		22.3	%		28.9	%		27.9	%		28.7	%

Combined ratio		94.2	%		87.3	%		83.9	%		91.1	%		95.9	%		90.7	%		93.4	%

Combined ratio excl. catastrophe and prior year development		94.3	%		90.7	%		79.7	%		90.7	%		95.8	%		92.5	%		95.0	%

Loss and LAE components:
Current accident year, excluding catastrophe loss		65.0	%		64.2	%		64.4	%		68.4	%		66.9	%		64.6	%		66.3	%
Prior accident year loss reserve development		(3.1	%)		(4.8	%)		3.0	%		(1.2	%)		(3.2	%)		(4.0	%)		(4.1	%)
Current accident year catastrophe loss		3.0	%		1.4	%		1.2	%		1.6	%		3.3	%		2.2	%		2.5	%

Loss and LAE ratio		64.9	%		60.8	%		68.6	%		68.8	%		67.0	%		62.8	%		64.7	%

Page 8

American Financial Group, Inc.

Specialty Casualty - Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Six Months Ended
	06/30/17			03/31/17			12/31/16			09/30/16			06/30/16			06/30/17			06/30/16
Gross written premiums	$	756		$	744		$	684		$	722		$	688		$	1,500		$	1,386
Ceded reinsurance premiums		(195	)		(204	)		(174	)		(218	)		(185	)		(399	)		(364	)

Net written premiums		561			540			510			504			503			1,101			1,022
Change in unearned premiums		(24	)		(32	)		—			(7	)		(6	)		(56	)		(23	)

Net earned premiums		537			508			510			497			497			1,045			999
Loss and LAE		339			331			348			330			329			670			642
Underwriting expense		169			162			149			154			145			331			305

Underwriting profit	$	29		$	15		$	13		$	13		$	23		$	44		$	52

Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		2			1			4			2			3			3			4

Total current accident year catastrophe losses	$	2		$	1		$	4		$	2		$	3		$	3		$	4

Prior year loss reserve development (favorable) / adverse	$	(5	)	$	(6	)	$	3		$	(2	)	$	(10	)	$	(11	)	$	(14	)

Combined ratio:
Loss and LAE ratio		63.1	%		65.2	%		68.2	%		66.5	%		66.1	%		64.1	%		64.2	%
Underwriting expense ratio		31.6	%		31.8	%		29.2	%		30.9	%		29.2	%		31.7	%		30.6	%

Combined ratio		94.7	%		97.0	%		97.4	%		97.4	%		95.3	%		95.8	%		94.8	%

Combined ratio excl. catastrophe and prior year development		95.2	%		97.9	%		96.1	%		97.4	%		96.6	%		96.5	%		95.8	%

Loss and LAE components:
Current accident year, excluding catastrophe loss		63.6	%		66.1	%		66.9	%		66.5	%		67.4	%		64.8	%		65.2	%
Prior accident year loss reserve development		(0.9	%)		(1.1	%)		0.5	%		(0.3	%)		(2.0	%)		(1.0	%)		(1.4	%)
Current accident year catastrophe loss		0.4	%		0.2	%		0.8	%		0.3	%		0.7	%		0.3	%		0.4	%

Loss and LAE ratio		63.1	%		65.2	%		68.2	%		66.5	%		66.1	%		64.1	%		64.2	%

Page 9

American Financial Group, Inc.

Specialty Financial - Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Six Months Ended
	06/30/17			03/31/17			12/31/16			09/30/16			06/30/16			06/30/17			06/30/16
Gross written premiums	$	174		$	164		$	180		$	186		$	172		$	338		$	319
Ceded reinsurance premiums		(25	)		(23	)		(26	)		(37	)		(28	)		(48	)		(50	)

Net written premiums		149			141			154			149			144			290			269
Change in unearned premiums		(3	)		6			(13	)		(4	)		(5	)		3			2

Net earned premiums		146			147			141			145			139			293			271
Loss and LAE		49			52			46			45			42			101			87
Underwriting expense		74			73			75			81			75			147			139

Underwriting profit	$	23		$	22		$	20		$	19		$	22		$	45		$	45

Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		5			1			2			5			3			6			4

Total current accident year catastrophe losses	$	5		$	1		$	2		$	5		$	3		$	6		$	4

Prior year loss reserve development (favorable) / adverse	$	(8	)	$	(9	)	$	(6	)	$	(6	)	$	(7	)	$	(17	)	$	(11	)

Combined ratio:
Loss and LAE ratio		33.1	%		35.6	%		32.4	%		31.6	%		30.1	%		34.4	%		32.0	%
Underwriting expense ratio		51.3	%		49.4	%		53.6	%		54.8	%		54.3	%		50.4	%		51.5	%

Combined ratio		84.4	%		85.0	%		86.0	%		86.4	%		84.4	%		84.8	%		83.5	%

Combined ratio excl. catastrophe and prior year development		86.5	%		90.6	%		88.8	%		87.0	%		87.0	%		88.6	%		85.9	%

Loss and LAE components:
Current accident year, excluding catastrophe loss		35.2	%		41.2	%		35.2	%		32.2	%		32.7	%		38.2	%		34.4	%
Prior accident year loss reserve development		(5.4	%)		(6.4	%)		(4.5	%)		(3.9	%)		(4.6	%)		(5.8	%)		(4.0	%)
Current accident year catastrophe loss		3.3	%		0.8	%		1.7	%		3.3	%		2.0	%		2.0	%		1.6	%

Loss and LAE ratio		33.1	%		35.6	%		32.4	%		31.6	%		30.1	%		34.4	%		32.0	%

Page 10

American Financial Group, Inc.

Other Specialty - Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Six Months Ended
	06/30/17			03/31/17			12/31/16			09/30/16			06/30/16			06/30/17			06/30/16
Gross written premiums	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Ceded reinsurance premiums		27			22			25			30			27			49			51

Net written premiums		27			22			25			30			27			49			51
Change in unearned premiums		(2	)		3			3			(6	)		(1	)		1			—

Net earned premiums		25			25			28			24			26			50			51
Loss and LAE		14			17			16			15			13			31			26
Underwriting expense		11			9			10			7			10			20			20

Underwriting profit	$	—		$	(1	)	$	2		$	2		$	3		$	(1	)	$	5

Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		—			—			—			—			3			—			3

Total current accident year catastrophe losses	$	—		$	—		$	—		$	—		$	3		$	—		$	3

Prior year loss reserve development (favorable) / adverse	$	1		$	3		$	—		$	(1	)	$	(1	)	$	4		$	(3	)

Combined ratio:
Loss and LAE ratio		62.0	%		68.0	%		59.5	%		55.2	%		52.5	%		64.9	%		52.3	%
Underwriting expense ratio		36.3	%		37.8	%		35.4	%		36.3	%		36.7	%		37.1	%		37.1	%

Combined ratio		98.3	%		105.8	%		94.9	%		91.5	%		89.2	%		102.0	%		89.4	%

Combined ratio excl. catastrophe and prior year development		93.5	%		93.4	%		93.7	%		95.1	%		86.4	%		93.5	%		91.1	%

Page 11

American Financial Group, Inc.

Annuity Earnings (GAAP)

($ in millions)


	Three Months Ended													Six Months Ended
	06/30/17			03/31/17			12/31/16		09/30/16		06/30/16			06/30/17			06/30/16
Net investment income	$	360		$	347		$	346	$	351	$	344		$	707		$	659
Guaranteed withdrawal benefit fees		14			14			14		14		13			28			25
Policy charges and other miscellaneous income		12			13			13		12		11			25			25

Total revenues		386			374			373		377		368			760			709
Annuity benefits expense		224			196			160		189		223			420			451
Acquisition expenses		47			52			54		53		40			99			74
Other expenses		30			30			27		28		29			60			55

Total costs and expenses		301			278			241		270		292			579			580

Annuity earnings before income taxes	$	85		$	96		$	132	$	107	$	76		$	181		$	129


Detail of Annuity earnings before income taxes
Earnings before income taxes and impact of fair value accounting	$	101		$	98		$	103	$	106	$	102		$	199		$	186
Impact of fair value accounting (a)		(16	)		(2	)		29		1		(26	)		(18	)		(57	)

Annuity earnings before income taxes	$	85		$	96		$	132	$	107	$	76		$	181		$	129

(a)	Change in fair value of derivatives offset by the estimated related adjustments to amortization of deferred sales inducements and deferred policy acquisition costs.

Page 12

American Financial Group, Inc.

Detail of Annuity Benefits Expense (GAAP)

($ in millions)


	Three Months Ended															Six Months Ended
	06/30/17			03/31/17			12/31/16			09/30/16			06/30/16			06/30/17			06/30/16
Detail of annuity benefits expense:
Interest credited - fixed	$	157		$	152		$	148		$	145		$	142		$	309		$	281
Interest credited - fixed component of variable annuities		2			1			1			1			2			3			3
Change in expected death and annuitization reserve		4			4			4			5			4			8			9
Amortization of sales inducements		4			6			7			6			6			10			11
Guaranteed withdrawal benefit reserve		17			16			20			18			15			33			31
Change in other benefit reserves		9			11			11			10			8			20			13
Unlockings (a)		—			—			23			—			—			—			—

Subtotal before impact of fair value accounting		193			190			214			185			177			383			348
Embedded derivative mark-to-market (b)		112			147			6			109			62			259			79
Equity option mark-to-market		(81	)		(141	)		(60	)		(105	)		(16	)		(222	)		24

Subtotal impact of fair value accounting		31			6			(54	)		4			46			37			103

Total annuity benefits expense	$	224		$	196		$	160		$	189		$	223		$	420		$	451

(a)

Includes unlockings for fixed indexed annuity embedded derivative reserves, sales inducement asset and other reserves. Does not include unlocking income of $24 million in 2016 for deferred policy acquisition costs and unearned revenue reserves. These unlockings are included in acquisition expenses and other income. In total, AFG recorded an unlocking expense reduction of $1 million in 2016.

(b)	Excludes unlocking impact of $17 million in 2016.

Page 13

American Financial Group, Inc.

Net Spread on Fixed Annuities (GAAP)

($ in millions)


	Three Months Ended															Six Months Ended
	06/30/17			03/31/17			12/31/16			09/30/16			06/30/16			06/30/17			06/30/16
Average fixed annuity investments (at amortized cost)	$	30,988		$	30,055		$	29,192		$	28,548		$	27,964		$	30,522		$	27,575
Average annuity benefits accumulated		31,212			30,183			29,250			28,538			27,861			30,698			27,398

Investments in excess of annuity benefits accumulated	$	(224	)	$	(128	)	$	(58	)	$	10		$	103		$	(176	)	$	177

As % of average annuity benefits accumulated (except as noted)
Net investment income (as % of investments)		4.62	%		4.59	%		4.72	%		4.88	%		4.88	%		4.60	%		4.74	%
Interest credited		(2.01	%)		(2.01	%)		(2.02	%)		(2.03	%)		(2.04	%)		(2.01	%)		(2.05	%)

Net interest spread on fixed annuities		2.61	%		2.58	%		2.70	%		2.85	%		2.84	%		2.59	%		2.69	%
Policy charges and other miscellaneous income		0.12	%		0.14	%		0.15	%		0.14	%		0.13	%		0.13	%		0.15	%
Other annuity benefit expenses, net		(0.27	%)		(0.31	%)		(0.38	%)		(0.36	%)		(0.30	%)		(0.29	%)		(0.28	%)
Acquisition expenses		(0.58	%)		(0.67	%)		(1.06	%)		(0.72	%)		(0.55	%)		(0.62	%)		(0.51	%)
Other expenses		(0.38	%)		(0.38	%)		(0.35	%)		(0.39	%)		(0.38	%)		(0.38	%)		(0.38	%)
Change in fair value of derivatives		(0.39	%)		(0.08	%)		0.73	%		(0.05	%)		(0.66	%)		(0.24	%)		(0.76	%)
Unlockings		0.00	%		0.00	%		0.03	%		0.00	%		0.00	%		0.00	%		0.00	%

Net spread earned on fixed annuities		1.11	%		1.28	%		1.82	%		1.47	%		1.08	%		1.19	%		0.91	%

Average annuity benefits accumulated	$	31,212		$	30,183		$	29,250		$	28,538		$	27,861		$	30,698		$	27,398
Net spread earned on fixed annuities		1.11	%		1.28	%		1.82	%		1.47	%		1.08	%		1.19	%		0.91	%

Earnings on fixed annuity benefits accumulated	$	87		$	96		$	133		$	105		$	75		$	183		$	125
Investments in excess of annuity benefits accumulated	$	(224	)	$	(128	)	$	(58	)	$	10		$	103		$	(176	)	$	177
Net investment income (as % of investments)		4.62	%		4.59	%		4.72	%		4.88	%		4.88	%		4.60	%		4.74	%

Earnings on investments in excess of annuity benefits accumulated	$	(3	)	$	(1	)	$	—		$	—		$	1		$	(4	)	$	4
Variable annuity earnings		1			1			(1	)		2			—			2			—

Earnings before income taxes - core	$	85		$	96		$	132		$	107		$	76		$	181		$	129


Detail of net spread earned on fixed annuities - core
Net spread earned core - before impact of fair value accounting		1.32	%		1.31	%		1.42	%		1.46	%		1.45	%		1.31	%		1.33	%
Change in fair value of derivatives		(0.39	%)		(0.08	%)		0.73	%		(0.05	%)		(0.66	%)		(0.24	%)		(0.76	%)
Estimated net offsets to deferred sales inducements and deferred policy acquisition costs		0.18	%		0.05	%		(0.33	%)		0.06	%		0.29	%		0.12	%		0.34	%

Net spread earned core - after impact of fair value accounting		1.11	%		1.28	%		1.82	%		1.47	%		1.08	%		1.19	%		0.91	%

Page 14

American Financial Group, Inc.

Annuity Premiums (Statutory)

($ in millions)


	Three Months Ended										Six Months Ended
	06/30/17		03/31/17		12/31/16		09/30/16		06/30/16		06/30/17		06/30/16
Retail single premium annuities - indexed	$	474	$	469	$	415	$	340	$	413	$	943	$	959
Retail single premium annuities - fixed		22		20		22		18		22		42		42
Financial institutions single premium annuities - indexed		500		487		474		435		507		987		1,041
Financial institutions single premium annuities - fixed		215		262		152		97		100		477		219
Education market - fixed and indexed annuities		47		45		40		42		45		92		102

Subtotal fixed annuity premiums		1,258		1,283		1,103		932		1,087		2,541		2,363
Variable annuities		8		7		8		9		11		15		20

Total annuity premiums	$	1,266	$	1,290	$	1,111	$	941	$	1,098	$	2,556	$	2,383

Page 15

American Financial Group, Inc.

Fixed Annuity Benefits Accumulated (GAAP)

($ in millions)


	Three Months Ended															Six Months Ended
	06/30/17			03/31/17			12/31/16			09/30/16			06/30/16			06/30/17			06/30/16
Beginning fixed annuity reserves	$	30,719		$	29,647		$	28,853		$	28,222		$	27,499		$	29,647		$	26,371
Premiums		1,258			1,283			1,103			932			1,087			2,541			2,363
Federal Home Loan Bank advances		—			—			—			—			—			—			150
Surrenders, benefits and other withdrawals		(571	)		(539	)		(524	)		(586	)		(596	)		(1,110	)		(1,079	)
Interest and other annuity benefit expenses:
Interest credited		157			152			148			145			142			309			281
Embedded derivative mark-to-market		112			147			6			109			62			259			79
Change in other benefit reserves		29			29			34			31			28			58			57
Unlockings		—			—			27			—			—			—			—

Ending fixed annuity reserves	$	31,704		$	30,719		$	29,647		$	28,853		$	28,222		$	31,704		$	28,222

Reconciliation to annuity benefits accumulated:
Ending fixed annuity reserves	$	31,704		$	30,719		$	29,647		$	28,853		$	28,222		$	31,704		$	28,222
Impact of unrealized investment gains on reserves		128			100			76			180			188			128			188
Fixed component of variable annuities		182			183			184			189			186			182			186

Annuity benefits accumulated per balance sheet	$	32,014		$	31,002		$	29,907		$	29,222		$	28,596		$	32,014		$	28,596

Annualized surrenders and other withdrawals as a % of beginning reserves		7.4	%		7.3	%		7.3	%		8.3	%		8.7	%		7.5	%		8.2	%

Page 16

American Financial Group, Inc.

Consolidated Balance Sheet

($ in millions)


	06/30/17			03/31/17			12/31/16			09/30/16			06/30/16			03/31/16
Assets:
Total cash and investments	$	44,779		$	43,350		$	41,433		$	41,805		$	40,639		$	39,437
Recoverables from reinsurers		2,839			2,735			2,737			2,814			2,576			2,561
Prepaid reinsurance premiums		587			533			539			634			521			475
Agents’ balances and premiums receivable		1,124			989			997			1,029			992			936
Deferred policy acquisition costs		1,156			1,205			1,239			867			881			1,055
Assets of managed investment entities		4,873			5,331			4,765			4,312			4,410			3,906
Other receivables		923			875			908			1,391			788			693
Variable annuity assets (separate accounts)		620			614			600			606			595			595
Other assets		1,518			1,633			1,655			1,188			1,132			1,181
Goodwill		199			199			199			199			199			199

Total assets	$	58,618		$	57,464		$	55,072		$	54,845		$	52,733		$	51,038

Liabilities and Equity:
Unpaid losses and loss adjustment expenses	$	8,730		$	8,621		$	8,563		$	8,661		$	8,203		$	8,108
Unearned premiums		2,294			2,174			2,171			2,328			2,109			2,051
Annuity benefits accumulated		32,014			31,002			29,907			29,222			28,596			27,812
Life, accident and health reserves		676			687			691			700			702			708
Payable to reinsurers		681			621			634			835			588			501
Liabilities of managed investment entities		4,685			5,101			4,549			4,067			4,192			3,656
Long-term debt		1,405			1,283			1,283			1,300			998			998
Variable annuity liabilities (separate accounts)		620			614			600			606			595			595
Other liabilities		2,201			2,166			1,755			1,768			1,557			1,672

Total liabilities	$	53,306		$	52,269		$	50,153		$	49,487		$	47,540		$	46,101
Shareholders’ equity:
Common stock	$	88		$	88		$	87		$	87		$	87		$	87
Capital surplus		1,158			1,138			1,111			1,242			1,228			1,218
Unappropriated retained earnings		3,451			3,466			3,343			3,079			3,016			3,002
Unrealized gains - equities		158			145			98			103			46			40
Unrealized gains - fixed maturities		481			384			306			669			639			426
Unrealized gains (losses) - fixed maturity-related cash flow hedges		(6	)		(8	)		(7	)		5			5			4
Other comprehensive income, net of tax		(18	)		(22	)		(22	)		(24	)		(21	)		(22	)

Total shareholders’ equity		5,312			5,191			4,916			5,161			5,000			4,755
Noncontrolling interests		—			4			3			197			193			182

Total liabilities and equity	$	58,618		$	57,464		$	55,072		$	54,845		$	52,733		$	51,038

Page 17

American Financial Group, Inc.

Book Value Per Share and Price / Book Summary

(in millions, except per share information)


	06/30/17			03/31/17			12/31/16			09/30/16			06/30/16			03/31/16
Shareholders’ equity	$	5,312		$	5,191		$	4,916		$	5,161		$	5,000		$	4,755
Unrealized (gains) related to fixed maturities		(475	)		(376	)		(299	)		(674	)		(644	)		(430	)

Adjusted shareholders’ equity		4,837			4,815			4,617			4,487			4,356			4,325
Goodwill		(199	)		(199	)		(199	)		(199	)		(199	)		(199	)
Intangibles		(30	)		(32	)		(34	)		(44	)		(46	)		(47	)

Tangible adjusted shareholders’ equity	$	4,608		$	4,584		$	4,384		$	4,244		$	4,111		$	4,079

Common shares outstanding		88.007			87.592			86.924			86.813			86.850			86.966
Book value per share:
Book value per share	$	60.36		$	59.26		$	56.55		$	59.45		$	57.57		$	54.67
Adjusted (a)		54.97			54.98			53.11			51.68			50.16			49.72
Tangible, adjusted (b)		52.36			52.34			50.43			48.89			47.34			46.90
Market capitalization
AFG’s closing common share price	$	99.37		$	95.42		$	88.12		$	75.00		$	73.93		$	70.37
Market capitalization	$	8,745		$	8,358		$	7,660		$	6,511		$	6,421		$	6,120
Price / Adjusted book value ratio		1.81			1.74			1.66			1.45			1.47			1.42

(a)	Excludes unrealized gains related to fixed maturity investments.

(b)	Excludes unrealized gains related to fixed maturity investments, goodwill and intangibles.

Page 18

American Financial Group, Inc.

Capitalization

($ in millions)


	06/30/17			03/31/17			12/31/16			09/30/16			06/30/16			03/31/16
AFG senior obligations	$	1,128		$	1,008		$	1,008		$	1,008		$	708		$	708
Borrowings drawn under credit facility		—			—			—			—			—			—
Obligations of subsidiaries - other		—			—			—			18			12			12

Debt excluding subordinated debt	$	1,128		$	1,008		$	1,008		$	1,026		$	720		$	720
AFG subordinated debentures		300			300			300			300			300			300

Total principal amount of long-term debt	$	1,428		$	1,308		$	1,308		$	1,326		$	1,020		$	1,020
Shareholders’ equity		5,312			5,191			4,916			5,161			5,000			4,755
Noncontrolling interests		—			4			3			197			193			182
Less:
Unrealized (gains) - fixed maturity investments		(481	)		(384	)		(306	)		(669	)		(639	)		(426	)

Total adjusted capital	$	6,259		$	6,119		$	5,921		$	6,015		$	5,574		$	5,531

Ratio of debt to total adjusted capital:
Including subordinated debt		22.8	%		21.4	%		22.1	%		22.0	%		18.3	%		18.4	%
Excluding subordinated debt		18.0	%		16.5	%		17.0	%		17.1	%		12.9	%		13.0	%

Page 19

American Financial Group, Inc.

Additional Supplemental Information

($ in millions)


	Three Months Ended										Six Months Ended
	06/30/17		03/31/17		12/31/16		09/30/16		06/30/16		06/30/17		06/30/16
Property and Casualty Insurance
Paid Losses (GAAP)	$	652	$	554	$	683	$	537	$	586	$	1,206	$	1,133


	06/30/17		03/31/17		12/31/16		09/30/16		06/30/16		03/31/16
Statutory Surplus
Property and Casualty Insurance	$	2,882	$	3,013	$	2,939	$	3,038	$	2,601	$	2,574
AFG’s principal annuity subsidiaries (total adjusted capital)	$	2,389	$	2,341	$	2,234	$	2,216	$	2,089	$	2,032
Allowable dividends without regulatory approval
Property and Casualty Insurance	$	496	$	496	$	496	$	434	$	434	$	434
Annuity and Run-off		197		197		197		375		375		375

Total	$	693	$	693	$	693	$	809	$	809	$	809

Page 20

American Financial Group, Inc.

Total Cash and Investments

($ in millions)


	Carrying Value - June 30, 2017
	Property and				Parent and							% of
	Casualty		Annuity and		Other Non-		Consolidate			Total AFG		Investment
	Insurance		Run-off		Insurance		CLOs			Consolidated		Portfolio
Total cash and investments:
Cash and cash equivalents	$	1,024	$	740	$	443	$	—		$	2,207		5	%
Fixed maturities - Available for sale		7,152		30,338		14		—			37,504		84	%
Fixed maturities - Trading		222		117		—		—			339		1	%
Equity securities		1,050		537		53		—			1,640		4	%
Policy loans		—		188		—		—			188		0	%
Mortgage loans		256		928		—		—			1,184		2	%
Equity index call options		—		589		—		—			589		1	%
Real estate and other investments		504		766		46		(188	)		1,128		3	%

Total cash and investments	$	10,208	$	34,203	$	556	$	(188	)	$	44,779		100	%

Unrealized gain/(loss) on equity securities	$	155	$	88	$	—	$	—		$	243


	Carrying Value - December 31, 2016
	Property and				Parent and							% of
	Casualty		Annuity and		Other Non-		Consolidate			Total AFG		Investment
	Insurance		Run-off		Insurance		CLOs			Consolidated		Portfolio
Total cash and investments:
Cash and cash equivalents	$	1,383	$	511	$	213	$	—		$	2,107		5	%
Fixed maturities - Available for sale		6,510		28,021		13		—			34,544		83	%
Fixed maturities - Trading		242		117		—		—			359		1	%
Equity securities		1,013		496		49		—			1,558		4	%
Policy loans		—		192		—		—			192		0	%
Mortgage loans		261		886		—		—			1,147		3	%
Equity index call options		—		492		—		—			492		1	%
Real estate and other investments		497		705		48		(216	)		1,034		3	%

Total cash and investments	$	9,906	$	31,420	$	323	$	(216	)	$	41,433		100	%

Unrealized gain/(loss) on equity securities	$	102	$	49	$	—	$	—		$	151

Page 21

American Financial Group, Inc.

Net Investment Income

($ in millions)


	Three Months Ended															Six Months Ended
	06/30/17			03/31/17			12/31/16			09/30/16			06/30/16			06/30/17			06/30/16
Property and Casualty Insurance:
Gross Investment Income
Fixed maturities - Available for sale	$	65		$	63		$	64		$	63		$	66		$	128		$	130
Fixed maturities - Trading		2			1			(1	)		2			1			3			2
Equity securities		12			14			13			13			12			26			25
Equity in investees		11			4			7			7			2			15			8
Other investments		8			6			6			10			10			14			11

Gross investment income		98			88			89			95			91			186			176
Investment expenses		(2	)		(2	)		(4	)		(2	)		(2	)		(4	)		(4	)

Total net investment income	$	96		$	86		$	85		$	93		$	89		$	182		$	172

Average cash and investments (a)	$	9,947		$	9,855		$	9,779		$	9,647		$	9,465		$	9,872		$	9,397

Average yield (b)		3.86	%		3.49	%		3.48	%		3.86	%		3.76	%		3.69	%		3.66	%

Fixed Annuity:
Gross Investment Income
Fixed maturities - Available for sale	$	322		$	318		$	315		$	307		$	307		$	640		$	601
Fixed maturities - Trading		—			—			—			—			—			—			—
Equity securities		5			5			7			6			6			10			11
Equity in investees		10			6			6			9			2			16			7
Other investments		22			19			20			27			29			41			40

Gross investment income		359			348			348			349			344			707			659
Investment expenses		(2	)		(3	)		(4	)		(1	)		(2	)		(5	)		(5	)

Total net investment income	$	357		$	345		$	344		$	348		$	342		$	702		$	654

Average cash and investments (a)	$	30,988		$	30,055		$	29,192		$	28,548		$	27,964		$	30,522		$	27,575

Average yield (b)		4.62	%		4.59	%		4.72	%		4.88	%		4.88	%		4.60	%		4.74	%

AFG consolidated net investment income:
Property & Casualty	$	96		$	86		$	85		$	93		$	89		$	182		$	172
Annuity and Run-off:
Fixed Annuity		357			345			344			348			342			702			654
Variable Annuity		3			2			2			3			2			5			5
Run-off		5			5			6			5			5			10			10
Other		4			3			—			1			4			7			5
Consolidate CLOs		(5	)		(6	)		(8	)		(17	)		(19	)		(11	)		(12	)

Total net investment income	$	460		$	435		$	429		$	433		$	423		$	895		$	834

(a)	Average cash and investments is the average of the beginning and ending quarter balances, or the average of the five quarters balances.

(b)	Average yield is calculated by dividing investment income for the quarter by the average cash and investment balance over the quarter.

Page 22

American Financial Group, Inc.

Fixed Maturities - By Security Type - AFG Consolidated

($ in millions )


										% of
	Amortized			Unrealized			% of			Investment
June 30, 2017	Cost	Fair Value		Gain (Loss)			Fair Value			Portfolio
US Government and government agencies	$314	$	314	$	—			1	%		1	%
States, municipalities and political subdivisions	6,837		7,056		219			19	%		16	%
Foreign government	256		260		4			1	%		1	%
Residential mortgage-backed securities	3,254		3,567		313			9	%		8	%
Commercial mortgage-backed securities	1,041		1,085		44			3	%		2	%
Asset-backed securities	7,108		7,191		83			19	%		16	%
Corporate and other bonds	17,760		18,370		610			48	%		41	%

Total AFG consolidated	$36,570	$	37,843	$	1,273			100	%		85	%

Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)	4.40%
Net of investment expense (a)	4.36%
Approximate average life and duration:
Approximate average life	6.5 years
Approximate duration	5 years

										% of
	Amortized			Unrealized			% of			Investment
December 31, 2016	Cost	Fair Value		Gain (Loss)			Fair Value			Portfolio
US Government and government agencies	$348	$	348	$	—			1	%		1	%
States, municipalities and political subdivisions	6,677		6,808		131			19	%		16	%
Foreign government	256		261		5			1	%		1	%
Residential mortgage-backed securities	3,371		3,639		268			11	%		9	%
Commercial mortgage-backed securities	1,446		1,493		47			4	%		3	%
Asset-backed securities	5,962		5,959		(3	)		17	%		14	%
Corporate and other bonds	16,034		16,395		361			47	%		40	%

Total AFG consolidated	$34,094	$	34,903	$	809			100	%		84	%

Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)	4.56%
Net of investment expense (a)	4.48%
Approximate average life and duration:
Approximate average life	6.5 years
Approximate duration	5 years

(a)	Annualized yield is calculated by dividing investment income for the quarter by the average cost over the quarter. Average cost is the average of the beginning and ending quarter asset balances.

Page 23

American Financial Group, Inc.

Fixed Maturities - By Security Type Portfolio

($ in millions )


	June 30, 2017										December 31, 2016
	Amortized Cost			Fair Value		Unrealized Gain (Loss)		% of Fair Value			Amortized Cost			Fair Value		Unrealized Gain (Loss)			% of Fair Value
Property and Casualty Insurance:
US Government and government agencies	$	264		$	264	$	—		4	%	$	295		$	295	$	—			4	%
States, municipalities and political subdivisions		2,677			2,725		48		37	%		2,588			2,605		17			39	%
Foreign government		245			247		2		3	%		245			249		4			4	%
Residential mortgage-backed securities		943			1,003		60		14	%		980			1,026		46			15	%
Commercial mortgage-backed securities		107			110		3		1	%		142			144		2			2	%
Asset-backed securities		1,640			1,648		8		22	%		1,445			1,440		(5	)		21	%
Corporate and other bonds		1,351			1,377		26		19	%		976			993		17			15	%

Property and Casualty Insurance	$	7,227		$	7,374	$	147		100	%	$	6,671		$	6,752	$	81			100	%

Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		3.75	%									3.88	%
Net of investment expense (a)		3.65	%									3.67	%
Tax equivalent, net of investment expense (b)		4.15	%									4.20	%
Approximate average life and duration:
Approximate average life		5 years										4.5 years
Approximate duration		4 years										3.5 years


	June 30, 2017										December 31, 2016
	Amortized Cost			Fair Value		Unrealized Gain (Loss)		% of Fair Value			Amortized Cost			Fair Value		Unrealized Gain (Loss)		% of Fair Value
Annuity and Run-off:
US Government and government agencies	$	49		$	49	$	—		0	%	$	52		$	52	$	—		0	%
States, municipalities and political subdivisions		4,160			4,331		171		14	%		4,089			4,203		114		15	%
Foreign government		11			13		2		0	%		11			12		1		0	%
Residential mortgage-backed securities		2,310			2,551		241		9	%		2,390			2,601		211		9	%
Commercial mortgage-backed securities		934			975		41		3	%		1,304			1,349		45		5	%
Asset-backed securities		5,468			5,543		75		18	%		4,517			4,519		2		16	%
Corporate and other bonds		16,409			16,993		584		56	%		15,058			15,402		344		55	%

Total Annuity and Run-off	$	29,341		$	30,455	$	1,114		100	%	$	27,421		$	28,138	$	717		100	%

Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		4.54	%									4.72	%
Net of investment expense (a)		4.52	%									4.67	%
Approximate average life and duration:
Approximate average life		7 years										6.5 years
Approximate duration		5 years										5 years

(a)	Annualized yield is calculated by dividing investment income for the quarter by the average cost over the quarter.

Average cost is the average of the beginning and ending quarter asset balances.

(b)	Adjusts the yield on tax-exempt bonds to the fully taxable equivalent yield.

Page 24

American Financial Group, Inc.

Fixed Maturities - Credit Rating

($ in millions)


	June 30, 2017
By Credit Rating (a)	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value
Investment grade
AAA	$	6,144	$	6,250	$	106		17	%
AA		8,064		8,303		239		22	%
A		8,905		9,193		288		24	%
BBB		9,939		10,284		345		27	%

Subtotal - Investment grade		33,052		34,030		978		90	%
BB		652		664		12		2	%
B		353		357		4		1	%
Other (b)		2,513		2,792		279		7	%

Subtotal - Non-Investment grade		3,518		3,813		295		10	%

Total	$	36,570	$	37,843	$	1,273		100	%

98% of the fixed maturity portfolio is NAIC designated 1 or 2.


	December 31, 2016
By Credit Rating (a)	Amortized Cost		Fair Value		Unrealized Gain (Loss)			% of Fair Value
Investment grade
AAA	$	6,117	$	6,189	$	72			18	%
AA		7,123		7,257		134			21	%
A		8,323		8,487		164			24	%
BBB		8,999		9,193		194			26	%

Subtotal - Investment grade		30,562		31,126		564			89	%
BB		687		695		8			2	%
B		446		445		(1	)		1	%
Other (b)		2,399		2,637		238			8	%

Subtotal - Non-Investment grade		3,532		3,777		245			11	%

Total	$	34,094	$	34,903	$	809			100	%

97% of the fixed maturity portfolio is NAIC designated 1 or 2.

(a)	If two agencies rate a security, the rating displayed above is the lower of the two; if three or more agencies rate a security, the rating displayed is the second lowest.

(b)	See page 28 and 29 for more information.

Page 25

American Financial Group, Inc.

Mortgage-Backed Securities - AFG Consolidated

($ in millions)


June 30, 2017	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Investment Portfolio
Residential
Agency	$	230	$	230	$	—		5	%		1	%
Prime (Non-Agency)		1,370		1,533		163		33	%		3	%
Alt-A		1,104		1,209		105		26	%		3	%
Subprime		550		595		45		13	%		1	%
Commercial		1,041		1,085		44		23	%		2	%

Total AFG consolidated	$	4,295	$	4,652	$	357		100	%		10	%

•

Substantially all of AFG’s MBS securities are either senior tranches of securitizations or collateralized by senior tranches of securitizations.

•

The average amortized cost as a percent of par is - Prime 82%; Alt-A 79%; Subprime 86%; CMBS 99%.

•

The average FICO score of our residential MBS securities is - Prime 740; Alt-A 710; Subprime 641.

•

95% of our Commercial MBS portfolio is investment-grade rated (80% AAA) and the average subordination for this group of assets is 32%.

•

The approximate average life by collateral type is - Residential 4.5 years; Commercial 5 years.


December 31, 2016	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Investment Portfolio
Residential
Agency	$	243	$	243	$	—		5	%		0	%
Prime (Non-Agency)		1,406		1,557		151		30	%		4	%
Alt-A		1,093		1,170		77		23	%		3	%
Subprime		629		669		40		13	%		2	%
Commercial		1,446		1,493		47		29	%		3	%

Total AFG consolidated	$	4,817	$	5,132	$	315		100	%		12	%

Page 26

American Financial Group, Inc.

Mortgage-Backed Securities Portfolio

($ in millions)


Property and Casualty Insurance:	June 30, 2017
By Asset Type	Amortized Cost		Fair Value		Unrealized Gain (Loss)			% of Fair Value			% of Inv Portfolio
Residential
Agency	$	184	$	183	$	(1	)		16	%		2	%
Prime (Non-Agency)		195		212		17			19	%		2	%
Alt-A		333		362		29			33	%		4	%
Subprime		231		246		15			22	%		2	%
Commercial		107		110		3			10	%		1	%

Total	$	1,050	$	1,113	$	63			100	%		11	%


	December 31, 2016
By Asset Type	Amortized Cost		Fair Value		Unrealized Gain (Loss)			% of Fair Value			% of Inv Portfolio
Residential
Agency	$	192	$	191	$	(1	)		17	%		2	%
Prime (Non-Agency)		187		202		15			17	%		2	%
Alt-A		342		361		19			31	%		4	%
Subprime		259		272		13			23	%		3	%
Commercial		142		144		2			12	%		1	%

Total	$	1,122	$	1,170	$	48			100	%		12	%


Annuity and Run-off:	June 30, 2017
By Asset Type	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Inv Portfolio
Residential
Agency	$	46	$	47	$	1		1	%		0	%
Prime (Non-Agency)		1,174		1,308		134		37	%		4	%
Alt-A		771		847		76		24	%		2	%
Subprime		319		349		30		10	%		1	%
Commercial		934		975		41		28	%		3	%

Total	$	3,244	$	3,526	$	282		100	%		10	%


	December 31, 2016
By Asset Type	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Inv Portfolio
Residential
Agency	$	51	$	52	$	1		1	%		0	%
Prime (Non-Agency)		1,218		1,343		125		34	%		4	%
Alt-A		751		809		58		21	%		3	%
Subprime		370		397		27		10	%		1	%
Commercial		1,304		1,349		45		34	%		5	%

Total	$	3,694	$	3,950	$	256		100	%		13	%

Page 27

American Financial Group, Inc.

Mortgage-Backed Securities - Credit Rating

($ in millions)


	June 30, 2017
By Credit Rating (a)	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value
Investment grade
AAA	$	1,320	$	1,368	$	48		29	%
AA		107		111		4		2	%
A		253		267		14		6	%
BBB		254		269		15		6	%

Subtotal - investment grade		1,934		2,015		81		43	%
BB		206		209		3		4	%
B		271		278		7		6	%
Other		1,884		2,150		266		47	%

Total	$	4,295	$	4,652	$	357		100	%

96% of the mortgage-backed security portfolio has an NAIC 1 designation.


	December 31, 2016
By Credit Rating (a)	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value
Investment grade
AAA	$	1,668	$	1,720	$	52		34	%
AA		164		169		5		3	%
A		256		268		12		5	%
BBB		274		288		14		6	%

Subtotal - investment grade		2,362		2,445		83		48	%
BB		211		212		1		4	%
B		330		333		3		6	%
Other		1,914		2,142		228		42	%

Total	$	4,817	$	5,132	$	315		100	%

97% of the mortgage-backed security portfolio has an NAIC 1 designation.

(a)	If two agencies rate a security, the rating displayed above is the lower of the two; if three or more agencies rate a security, the rating displayed is the second lowest.

Page 28

Appendix A

American Financial Group, Inc.

Fixed Maturities - Credit Rating by Type

($ in millions)


	Fair Value - June 30, 2017
By Credit Rating (a)	US Gov		Munis		Frgn gov		RMBS		CMBS		ABS		Corp/Oth		Total		% Total
Investment grade
AAA	$	270	$	1,811	$	157	$	499	$	869	$	2,418	$	226	$	6,250		17	%
AA		36		4,563		85		93		18		2,150		1,358		8,303		22	%
A		—		522		14		206		61		1,705		6,685		9,193		24	%
BBB		—		51		4		183		86		838		9,122		10,284		27	%

Subtotal - Investment grade		306		6,947		260		981		1,034		7,111		17,391		34,030		90	%
BB		—		4		—		185		24		1		450		664		2	%
B		—		5		—		266		12		—		74		357		1	%
CCC, CC, C		—		8		—		989		4		3		25		1,029		3	%
D		—		—		—		552		—		—		—		552		1	%

Subtotal - Non-Investment grade		—		17		—		1,992		40		4		549		2,602		7	%
Not Rated		8		92		—		594		11		76		430		1,211		3	%

Total	$	314	$	7,056	$	260	$	3,567	$	1,085	$	7,191	$	18,370	$	37,843		100	%


	Fair Value - December 31, 2016
By Credit Rating (a)	US Gov		Munis		Frgn gov		RMBS		CMBS		ABS		Corp/Oth		Total		% Total
Investment grade
AAA	$	299	$	1,727	$	171	$	508	$	1,213	$	2,053	$	218	$	6,189		18	%
AA		41		4,388		30		127		42		1,480		1,149		7,257		21	%
A		—		501		55		170		98		1,593		6,070		8,487		24	%
BBB		—		69		5		202		86		813		8,018		9,193		26	%

Subtotal - Investment grade		340		6,685		261		1,007		1,439		5,939		15,455		31,126		89	%
BB		—		4		—		184		29		16		462		695		2	%
B		—		8		—		307		25		1		104		445		1	%
CCC, CC, C		—		11		—		963		—		3		32		1,009		3	%
D		—		—		—		679		—		—		—		679		2	%

Subtotal - Non-Investment grade		—		23		—		2,133		54		20		598		2,828		8	%
Not Rated		8		100		—		499		—		—		342		949		3	%

Total	$	348	$	6,808	$	261	$	3,639	$	1,493	$	5,959	$	16,395	$	34,903		100	%

(a)	If two agencies rate a security, the rating displayed above is the lower of the two; if three or more agencies rate a security, the rating displayed is the second lowest.

Page 29

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AMERICAN FINANCIAL GROUP INC Reports