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

Attached files

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EX-99.1 - EX-99.1 - AMERICAN FINANCIAL GROUP INC	d189421dex991.htm
8-K - FORM 8-K - AMERICAN FINANCIAL GROUP INC	d189421d8k.htm

Exhibit 99.2


		American Financial Group, Inc.
		Investor Supplement - First Quarter 2020
		May 11, 2020
		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 - First Quarter 2020


Section	Page
Table of Contents - Investor Supplement - First Quarter 2020		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		12
Annuity Earnings - Version 2		12a
Detail of Annuity Benefits Expense		13
Core Net Spread on Fixed Annuities		14
Statutory Annuity Premiums		15
Fixed Annuity Benefits Accumulated (GAAP)		16
Guaranteed Minimum Interest Rate Analysis		17
Annuity Non-Core Earnings (Losses)		18
Reconciliation from Core to GAAP Annuity Pretax Earnings		19

Consolidated Balance Sheet / Book Value / Debt
Consolidated Balance Sheet		20
Book Value Per Share and Price / Book Summary		21
Capitalization		22
Additional Supplemental Information		23

Consolidated Investment Supplement
Total Cash and Investments		24
Net Investment Income		25
Significant Investments Marked-to-Market Through Investment Income and Investments Accounted For Using the Equity Method		26
Fixed Maturities - By Security Type - AFG Consolidated		27
Fixed Maturities - By Security Type Portfolio		28
Fixed Maturities - Credit Rating		29
Mortgage-Backed Securities - AFG Consolidated		30
Mortgage-Backed Securities Portfolio		31
Mortgage-Backed Securities - Credit Rating		32

Appendix
A Components of Core Operating Earnings As Reported		33
B Fixed Maturities by Credit Rating & NAIC Designation by Type 3/31/2020		34
C Fixed Maturities by Credit Rating & NAIC Designation by Type 12/31/2019		35
D Corporate Securities by Credit Rating & NAIC Designation by Industry 3/31/2020		36
E Corporate Securities by Credit Rating & NAIC Designation by Industry 12/31/2019		37
F Asset-Backed Securities by Credit Rating & NAIC Designation by Collateral Type 3/31/2020		38
G Asset-Backed Securities by Credit Rating & NAIC Designation by Collateral Type 12/31/2019		39

Page 2


American Financial Group, Inc.
Financial Highlights
(in millions, except per share information)


	Three Months Ended															Twelve Months Ended
	3/31/20			12/31/19			9/30/19			6/30/19			3/31/19			12/31/19			12/31/18
Highlights
Net earnings (loss)	$	(301	)	$	211		$	147		$	210		$	329		$	897		$	530
Core net operating earnings		171			203			205			192			184			784			761
Total assets		67,643			70,130			69,067			67,697			66,132			70,130			63,456
Adjusted shareholders’ equity (a)		4,987			5,390			5,376			5,260			5,201			5,390			4,898
Property and Casualty net written premiums		1,165			1,313			1,618			1,264			1,147			5,342			5,023
Annuity statutory premiums		1,210			1,139			1,077			1,349			1,395			4,960			5,407

Per share data
Diluted earnings (loss) per share	$	(3.34	)	$	2.31		$	1.62		$	2.31		$	3.63		$	9.85		$	5.85
Core net operating earnings per share		1.88			2.22			2.25			2.12			2.02			8.62			8.40
Adjusted book value per share (a)		55.52			59.70			59.65			58.49			58.02			59.70			54.86
Cash dividends per common share		0.4500			2.2500			0.4000			1.9000			0.4000			4.9500			4.4500

Financial ratios
Annualized return on equity (b)		(23.1	%)		15.6	%		11.0	%		16.0	%		25.9	%		17.1	%		10.9	%
Annualized core operating return on equity (b)		13.2	%		15.0	%		15.3	%		14.7	%		14.5	%		14.9	%		15.6	%

Property and Casualty combined ratio - Specialty:
Loss & LAE ratio		58.5	%		63.2	%		63.1	%		60.2	%		58.9	%		61.5	%		61.3	%
Underwriting expense ratio		33.7	%		30.3	%		30.9	%		34.8	%		33.6	%		32.2	%		32.1	%

Combined ratio - Specialty		92.2	%		93.5	%		94.0	%		95.0	%		92.5	%		93.7	%		93.4	%

Net interest spread on fixed annuities - before investments marked to market		1.59	%		1.71	%		1.65	%		1.72	%		1.69	%		1.69	%		1.76	%
Investments marked to market		(0.06	%)		0.23	%		0.28	%		0.33	%		0.31	%		0.29	%		0.33	%

Net interest spread on fixed annuities - including marked to market		1.53	%		1.94	%		1.93	%		2.05	%		2.00	%		1.98	%		2.09	%

Net spread earned on fixed annuities:
Core operating - before investments marked to market		0.81	%		0.87	%		0.80	%		0.80	%		0.80	%		0.82	%		0.90	%
Investments marked to market, net of DAC		(0.12	%)		0.20	%		0.26	%		0.31	%		0.28	%		0.26	%		0.30	%

Core operating		0.69	%		1.07	%		1.06	%		1.11	%		1.08	%		1.08	%		1.20	%

Non-core:
Previously reported in core operating		n/a			n/a			n/a			n/a			(0.12	%)		(0.03	%)		(0.13	%)
Currently reported in non-core		(0.38	%)		0.24	%		(0.28	%)		(0.35	%)		n/a			(0.09	%)		n/a

(a)	Excludes unrealized gains related to fixed maturity investments, a reconciliation to the GAAP measure is on page 21.

(b)	Excludes accumulated other comprehensive income.

Page 3


American Financial Group, Inc. Summary of Earnings ($ in millions)


	Three Months Ended															Twelve Months Ended
	3/31/20			12/31/19			9/30/19			6/30/19			3/31/19			12/31/19			12/31/18
Property and Casualty Insurance
Underwriting profit	$	88		$	88		$	72		$	59		$	87		$	306		$	320
Net investment income		99			120			124			124			104			472			438
Other expense		(6	)		(9	)		(2	)		(8	)		(6	)		(25	)		(18	)

Property and Casualty Insurance operating earnings		181			199			194			175			185			753			740

Annuity operating earnings		67			104			100			104			90			398			361
Interest expense of parent holding companies		(17	)		(18	)		(17	)		(17	)		(16	)		(68	)		(62	)
Other expense		(20	)		(32	)		(22	)		(25	)		(27	)		(106	)		(94	)

		211			253			255			237			232			977			945
Income tax expense		40			50			50			45			48			193			184

Core net operating earnings		171			203			205			192			184			784			761

Non-core items, net of tax:
Realized gains (losses) on securities		(435	)		51			(14	)		45			145			227			(210	)
Annuity non-core earnings (losses)		(30	)		19			(21	)		(27	)		—			(29	)		—
Special A&E charges:
Property and Casualty Insurance run-off operations		—			—			(14	)		—			—			(14	)		(14	)
Former Railroad and Manufacturing operations		—			—			(9	)		—			—			(9	)		(7	)
Neon exited lines		(7	)		(58	)		—			—			—			(58	)		—
Other non-core items		—			(4	)		—			—			—			(4	)		—

Net earnings	$	(301	)	$	211		$	147		$	210		$	329		$	897		$	530

Page 4


American Financial Group, Inc. Earnings Per Share Summary (in millions, except per share information)


	Three Months Ended														Twelve Months Ended
	3/31/20			12/31/19			9/30/19			6/30/19			3/31/19		12/31/19			12/31/18
Core net operating earnings	$	171		$	203		$	205		$	192		$	184	$	784		$	761

Net earnings	$	(301	)	$	211		$	147		$	210		$	329	$	897		$	530

Average number of diluted shares - core		91.138			91.274			91.137			90.981			90.695		91.024			90.626
Average number of diluted shares - net		90.295			91.274			91.137			90.981			90.695		91.024			90.626

Diluted earnings per share:
Core net operating earnings per share	$	1.88		$	2.22		$	2.25		$	2.12		$	2.02	$	8.62		$	8.40

Realized gains (losses) on securities		(4.81	)		0.56			(0.15	)		0.48			1.61		2.47			(2.31	)
Annuity non-core earnings (losses)		(0.34	)		0.21			(0.23	)		(0.29	)		—		(0.31	)		—
Special A&E charges:
Property and Casualty Insurance run-off operations		—			—			(0.15	)		—			—		(0.15	)		(0.16	)
Former Railroad and Manufacturing operations		—			—			(0.10	)		—			—		(0.10	)		(0.08	)
Neon exited lines		(0.07	)		(0.64	)		—			—			—		(0.64	)		—
Other non-core items		—			(0.04	)		—			—			—		(0.04	)		—

Diluted earnings (loss) per share	$	(3.34	)	$	2.31		$	1.62		$	2.31		$	3.63	$	9.85		$	5.85

Page 5


American Financial Group, Inc.
Property and Casualty Insurance - Summary Underwriting Results (GAAP)
($ in millions)


	Three Months Ended															Twelve Months Ended
	3/31/20			12/31/19			9/30/19			6/30/19			3/31/19			12/31/19			12/31/18
Property and Transportation	$	27		$	(2	)	$	38		$	4		$	39		$	79		$	120
Specialty Casualty		52			69			23			47			36			175			141
Specialty Financial		17			32			26			21			13			92			66
Other Specialty		(7	)		(10	)		1			(12	)		—			(21	)		(5	)

Underwriting profit - Specialty		89			89			88			60			88			325			322
Other core charges, included in loss and LAE		(1	)		(1	)		(16	)		(1	)		(1	)		(19	)		(2	)

Underwriting profit - Core		88			88			72			59			87			306			320
Special A&E charges, included in loss and LAE		—			—			(18	)		—			—			(18	)		(18	)
Neon exited lines		(1	)		(76	)		—			—			—			(76	)		—

Underwriting profit (loss) - Property and Casualty Insurance	$	87		$	12		$	54		$	59		$	87		$	212		$	302

Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	1		$	—		$	—		$	—		$	1		$	2
Catastrophe loss		9			14			22			12			12			60			103

Total current accident year catastrophe losses	$	9		$	15		$	22		$	12		$	12		$	61		$	105

Prior year loss reserve development (favorable) / adverse	$	(42	)	$	(45	)	$	(12	)	$	(41	)	$	(45	)	$	(143	)	$	(192	)

Combined ratio:
Property and Transportation		92.9	%		100.4	%		93.5	%		99.1	%		89.0	%		95.7	%		93.1	%
Specialty Casualty		90.7	%		89.7	%		96.5	%		92.5	%		94.2	%		93.3	%		94.2	%
Specialty Financial		89.1	%		79.6	%		83.7	%		85.6	%		91.4	%		85.0	%		88.9	%
Other Specialty		117.7	%		122.5	%		98.5	%		135.1	%		98.9	%		113.3	%		103.7	%
Combined ratio - Specialty		92.2	%		93.5	%		94.0	%		95.0	%		92.5	%		93.7	%		93.4	%
Other core charges		0.1	%		0.1	%		1.1	%		0.1	%		0.1	%		0.4	%		0.0	%
Neon exited lines charge		0.5	%		5.5	%		0.0	%		0.0	%		0.0	%		1.4	%		0.0	%
Special A&E charges		0.0	%		0.0	%		1.2	%		0.0	%		0.0	%		0.3	%		0.4	%

Combined ratio		92.8	%		99.1	%		96.3	%		95.1	%		92.6	%		95.8	%		93.8	%

Specialty combined ratio excl. catastrophe and prior year development		95.6	%		96.3	%		95.5	%		97.5	%		95.4	%		96.2	%		95.7	%

Loss and LAE components - property and casualty insurance
Current accident year, excluding catastrophe loss		61.2	%		66.0	%		64.6	%		62.7	%		61.8	%		64.0	%		63.6	%
Prior accident year loss reserve development		(3.5	%)		(0.4	%)		(0.8	%)		(3.3	%)		(3.9	%)		(2.2	%)		(4.0	%)
Current accident year catastrophe loss		0.8	%		1.0	%		1.6	%		0.9	%		1.1	%		1.2	%		2.1	%

Loss and LAE ratio		58.5	%		66.6	%		65.4	%		60.3	%		59.0	%		63.0	%		61.7	%

Page 6


American Financial Group, Inc. Specialty - Underwriting Results (GAAP) ($ in millions)


	Three Months Ended															Twelve Months Ended
	3/31/20			12/31/19			9/30/19			6/30/19			3/31/19			12/31/19			12/31/18
Gross written premiums	$	1,526		$	1,749		$	2,351		$	1,664		$	1,535		$	7,299		$	6,840
Ceded reinsurance premiums		(361	)		(436	)		(733	)		(400	)		(388	)		(1,957	)		(1,817	)

Net written premiums		1,165			1,313			1,618			1,264			1,147			5,342			5,023
Change in unearned premiums		(27	)		57			(176	)		(64	)		26			(157	)		(158	)

Net earned premiums		1,138			1,370			1,442			1,200			1,173			5,185			4,865
Loss and LAE		666			865			910			722			691			3,188			2,983
Underwriting expense		383			416			444			418			394			1,672			1,560

Underwriting profit	$	89		$	89		$	88		$	60		$	88		$	325		$	322

Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	1		$	—		$	—		$	—		$	1		$	2
Catastrophe loss		9			14			22			12			12			60			103

Total current accident year catastrophe losses	$	9		$	15		$	22		$	12		$	12		$	61		$	105

Prior year loss reserve development (favorable) / adverse	$	(48	)	$	(53	)	$	(46	)	$	(42	)	$	(46	)	$	(187	)	$	(212	)

Combined ratio:
Loss and LAE ratio		58.5	%		63.2	%		63.1	%		60.2	%		58.9	%		61.5	%		61.3	%
Underwriting expense ratio		33.7	%		30.3	%		30.9	%		34.8	%		33.6	%		32.2	%		32.1	%

Combined ratio		92.2	%		93.5	%		94.0	%		95.0	%		92.5	%		93.7	%		93.4	%

Combined ratio excl. catastrophe and prior year development		95.6	%		96.3	%		95.5	%		97.5	%		95.4	%		96.2	%		95.7	%

Loss and LAE components:
Current accident year, excluding catastrophe loss		61.9	%		66.0	%		64.6	%		62.7	%		61.8	%		64.0	%		63.6	%
Prior accident year loss reserve development		(4.2	%)		(3.8	%)		(3.1	%)		(3.4	%)		(4.0	%)		(3.7	%)		(4.4	%)
Current accident year catastrophe loss		0.8	%		1.0	%		1.6	%		0.9	%		1.1	%		1.2	%		2.1	%

Loss and LAE ratio		58.5	%		63.2	%		63.1	%		60.2	%		58.9	%		61.5	%		61.3	%

Page 7


American Financial Group, Inc. Property and Transportation - Underwriting Results (GAAP) ($ in millions)


	Three Months Ended															Twelve Months Ended
	3/31/20			12/31/19			9/30/19			6/30/19			3/31/19			12/31/19			12/31/18
Gross written premiums	$	494		$	628		$	1,113		$	579		$	439		$	2,759		$	2,645
Ceded reinsurance premiums		(108	)		(179	)		(452	)		(157	)		(95	)		(883	)		(891	)

Net written premiums		386			449			661			422			344			1,876			1,754
Change in unearned premiums		—			56			(78	)		(43	)		17			(48	)		(25	)

Net earned premiums		386			505			583			379			361			1,828			1,729

Loss and LAE		237			392			421			259			225			1,297			1,192
Underwriting expense		122			115			124			116			97			452			417

Underwriting profit	$	27		$	(2	)	$	38		$	4		$	39		$	79		$	120

Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		8			7			8			8			9			32			26

Total current accident year catastrophe losses	$	8		$	7		$	8		$	8		$	9		$	32		$	26

Prior year loss reserve development (favorable) / adverse	$	(24	)	$	(18	)	$	(17	)	$	(6	)	$	(26	)	$	(67	)	$	(50	)

Combined ratio:
Loss and LAE ratio		61.4	%		77.8	%		72.1	%		68.4	%		62.2	%		71.0	%		69.0	%
Underwriting expense ratio		31.5	%		22.6	%		21.4	%		30.7	%		26.8	%		24.7	%		24.1	%

Combined ratio		92.9	%		100.4	%		93.5	%		99.1	%		89.0	%		95.7	%		93.1	%

Combined ratio excl. catastrophe and prior year development		96.9	%		102.5	%		94.9	%		98.7	%		93.6	%		97.5	%		94.4	%

Loss and LAE components:
Current accident year, excluding catastrophe loss		65.4	%		79.9	%		73.5	%		68.0	%		66.8	%		72.8	%		70.3	%
Prior accident year loss reserve development		(6.2	%)		(3.5	%)		(2.8	%)		(1.6	%)		(7.2	%)		(3.6	%)		(2.8	%)
Current accident year catastrophe loss		2.2	%		1.4	%		1.4	%		2.0	%		2.6	%		1.8	%		1.5	%

Loss and LAE ratio		61.4	%		77.8	%		72.1	%		68.4	%		62.2	%		71.0	%		69.0	%

Page 8


American Financial Group, Inc. Specialty Casualty - Underwriting Results (GAAP) ($ in millions)


	Three Months Ended															Twelve Months Ended
	3/31/20			12/31/19			9/30/19			6/30/19			3/31/19			12/31/19			12/31/18
Gross written premiums	$	849		$	929		$	1,031		$	896		$	912		$	3,768		$	3,445
Ceded reinsurance premiums		(263	)		(260	)		(287	)		(234	)		(286	)		(1,067	)		(936	)

Net written premiums		586			669			744			662			626			2,701			2,509
Change in unearned premiums		(30	)		7			(86	)		(28	)		3			(104	)		(106	)

Net earned premiums		556			676			658			634			629			2,597			2,403

Loss and LAE		340			402			416			380			388			1,586			1,476
Underwriting expense		164			205			219			207			205			836			786

Underwriting profit	$	52		$	69		$	23		$	47		$	36		$	175		$	141

Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	1		$	—		$	—		$	—		$	1		$	1
Catastrophe loss		—			5			10			1			1			17			45

Total current accident year catastrophe losses	$	—		$	6		$	10		$	1		$	1		$	18		$	46

Prior year loss reserve development (favorable) / adverse	$	(24	)	$	(25	)	$	(19	)	$	(31	)	$	(13	)	$	(88	)	$	(139	)

Combined ratio:
Loss and LAE ratio		61.1	%		59.4	%		63.1	%		60.0	%		61.6	%		61.1	%		61.5	%
Underwriting expense ratio		29.6	%		30.3	%		33.4	%		32.5	%		32.6	%		32.2	%		32.7	%

Combined ratio		90.7	%		89.7	%		96.5	%		92.5	%		94.2	%		93.3	%		94.2	%

Combined ratio excl. catastrophe and prior year development		95.0	%		92.7	%		97.8	%		97.1	%		96.3	%		96.0	%		98.1	%

Loss and LAE components:
Current accident year, excluding catastrophe loss		65.4	%		62.4	%		64.4	%		64.6	%		63.7	%		63.8	%		65.4	%
Prior accident year loss reserve development		(4.3	%)		(3.8	%)		(2.9	%)		(4.7	%)		(2.2	%)		(3.4	%)		(5.8	%)
Current accident year catastrophe loss		0.0	%		0.8	%		1.6	%		0.1	%		0.1	%		0.7	%		1.9	%

Loss and LAE ratio		61.1	%		59.4	%		63.1	%		60.0	%		61.6	%		61.1	%		61.5	%

Page 9


American Financial Group, Inc. Specialty Financial - Underwriting Results (GAAP) ($ in millions)


	Three Months Ended															Twelve Months Ended
	3/31/20			12/31/19			9/30/19			6/30/19			3/31/19			12/31/19			12/31/18
Gross written premiums	$	183		$	192		$	207		$	189		$	184		$	772		$	750
Ceded reinsurance premiums		(34	)		(36	)		(40	)		(40	)		(39	)		(155	)		(148	)

Net written premiums		149			156			167			149			145			617			602
Change in unearned premiums		7			(4	)		(6	)		2			1			(7	)		(4	)

Net earned premiums		156			152			161			151			146			610			598

Loss and LAE		59			40			47			49			56			192			225
Underwriting expense		80			80			88			81			77			326			307

Underwriting profit	$	17		$	32		$	26		$	21		$	13		$	92		$	66

Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	1
Catastrophe loss		1			2			3			3			2			10			28

Total current accident year catastrophe losses	$	1		$	2		$	3		$	3		$	2		$	10		$	29

Prior year loss reserve development (favorable) / adverse	$	(2	)	$	(14	)	$	(9	)	$	(9	)	$	(6	)	$	(38	)	$	(26	)

Combined ratio:
Loss and LAE ratio		38.0	%		26.1	%		29.7	%		32.3	%		38.2	%		31.5	%		37.6	%
Underwriting expense ratio		51.1	%		53.5	%		54.0	%		53.3	%		53.2	%		53.5	%		51.3	%

Combined ratio		89.1	%		79.6	%		83.7	%		85.6	%		91.4	%		85.0	%		88.9	%

Combined ratio excl. catastrophe and prior year development		89.7	%		87.7	%		87.2	%		89.7	%		94.3	%		89.7	%		88.6	%

Loss and LAE components:
Current accident year, excluding catastrophe loss		38.6	%		34.2	%		33.2	%		36.4	%		41.1	%		36.2	%		37.3	%
Prior accident year loss reserve development		(1.2	%)		(9.2	%)		(5.5	%)		(5.9	%)		(4.3	%)		(6.3	%)		(4.4	%)
Current accident year catastrophe loss		0.6	%		1.1	%		2.0	%		1.8	%		1.4	%		1.6	%		4.7	%

Loss and LAE ratio		38.0	%		26.1	%		29.7	%		32.3	%		38.2	%		31.5	%		37.6	%

Page 10


American Financial Group, Inc. Other Specialty - Underwriting Results (GAAP) ($ in millions)


	Three Months Ended															Twelve Months Ended
	3/31/20			12/31/19			9/30/19			6/30/19			3/31/19			12/31/19			12/31/18
Gross written premiums	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Ceded reinsurance premiums		44			39			46			31			32			148			158

Net written premiums		44			39			46			31			32			148			158
Change in unearned premiums		(4	)		(2	)		(6	)		5			5			2			(23	)

Net earned premiums		40			37			40			36			37			150			135

Loss and LAE		30			31			26			34			22			113			90
Underwriting expense		17			16			13			14			15			58			50

Underwriting profit (loss)	$	(7	)	$	(10	)	$	1		$	(12	)	$	—		$	(21	)	$	(5	)

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

Total current accident year catastrophe losses	$	—		$	—		$	1		$	—		$	—		$	1		$	4

Prior year loss reserve development (favorable) / adverse	$	2		$	4		$	(1	)	$	4		$	(1	)	$	6		$	3

Combined ratio:
Loss and LAE ratio		73.9	%		83.5	%		64.0	%		96.0	%		59.7	%		75.4	%		66.4	%
Underwriting expense ratio		43.8	%		39.0	%		34.5	%		39.1	%		39.2	%		37.9	%		37.3	%

Combined ratio		117.7	%		122.5	%		98.5	%		135.1	%		98.9	%		113.3	%		103.7	%

Combined ratio excl. catastrophe and prior year development		113.4	%		113.4	%		99.0	%		123.4	%		100.8	%		108.9	%		99.0	%

Page 11


American Financial Group, Inc. Annuity Earnings ($ in millions)


	Three Months Ended												Twelve Months Ended
	3/31/20			12/31/19		9/30/19		6/30/19		3/31/19			12/31/19			12/31/18
Net investment income	$	428		$	435	$	421	$	420	$	406		$	1,682		$	1,524
Investments marked to market through core operating earnings		(6	)		23		27		31		29			110			114
Guaranteed withdrawal benefit fees		17			17		17		17		16			67			65
Policy charges and other miscellaneous income (a)		18			13		14		13		12			52			61

Total revenues		457			488		479		481		463			1,911			1,764

Annuity benefits (a)		287			285		280		275		267			1,107			982
Acquisition expenses		71			65		64		67		60			256			242
Other expenses		32			34		35		35		35			139			131

Total costs and expenses		390			384		379		377		362			1,502			1,355

Pretax Annuity core operating earnings	$	67		$	104	$	100	$	104	$	101		$	409		$	409

Other amounts previously reported as core operating, net (b)		n/a			n/a		n/a		n/a		(11	)		(11	)		(48	)

Pretax Annuity core operating earnings - as reported	$	67		$	104	$	100	$	104	$	90		$	398		$	361

Components of Pretax Annuity Core Operating Earnings

Pretax annuity core operating earnings before items below		79			84		75		75		75			309			305
Other amounts previously reported as core operating, net (b)		n/a			n/a		n/a		n/a		(11	)		(11	)		(48	)

Pretax annuity core operating earnings before mark to market investments		79			84		75		75		64			298			257
Mark to market investment income (loss), net of DAC		(12	)		20		25		29		26			100			104

Pretax Annuity core operating earnings - as reported	$	67		$	104	$	100	$	104	$	90		$	398		$	361

(a)	Gains received on options in excess of index credits to policyholder are recorded through annuity benefits for GAAP. For the investor supplement presentation, these gains are shown in policy charges and other miscellaneous income.

(b)	“Other” primarily reflects (1) the impact of fair value accounting, (2) the impact of changes in the stock market on the liability for guaranteed benefits and DAC, and (3) unlocking.

Page 12


American Financial Group, Inc. Annuity Earnings - Version 2 ($ in millions)


	Three Months Ended												Twelve Months Ended
	3/31/20			12/31/19		9/30/19		6/30/19		3/31/19			12/31/19			12/31/18
Net investment income (excluding investments marked to market)	$	428		$	435	$	421	$	420	$	406		$	1,682		$	1,524
Guaranteed withdrawal benefit fees		17			17		17		17		16			67			65
Policy charges and other miscellaneous income (a)		18			13		14		13		12			52			61

Total revenues		463			465		452		450		434			1,801			1,650

Annuity benefits (a)		287			285		280		275		267			1,107			982
Acquisition expenses (excluding investments marked to market)		65			62		62		65		57			246			232
Other expenses		32			34		35		35		35			139			131

Total costs and expenses		384			381		377		375		359			1,492			1,345

Pretax Annuity core operating earnings (excluding investments marked to market)		79			84		75		75		75			309			305

Other amounts previously reported as core operating, net (b)		n/a			n/a		n/a		n/a		(11	)		(11	)		(48	)

Pretax annuity core operating earnings before mark to market investments		79			84		75		75		64			298			257

Investments marked to market, net of DAC		(12	)		20		25		29		26			100			104

Pretax Annuity core operating earnings - as reported	$	67		$	104	$	100	$	104	$	90		$	398		$	361

(a)	Gains received on options in excess of index credits to policyholder are recorded through annuity benefits for GAAP. For the investor supplement presentation, these gains are shown in policy charges and other miscellaneous income.

(b)	“Other” primarily reflects (1) the impact of fair value accounting, (2) the impact of changes in the stock market on the liability for guaranteed benefits and DAC, and (3) unlocking.

Page 12a


American Financial Group, Inc. Detail of Annuity Benefits Expense ($ in millions)


	Three Months Ended										Twelve Months Ended
	3/31/20		12/31/19		9/30/19		6/30/19		3/31/19		12/31/19		12/31/18
Detail of annuity benefits expense:
Cost of funds:
Amortization of options	$	150	$	150	$	149	$	146	$	141	$	586	$	506
Traditional fixed annuities		63		62		62		61		59		244		234
Fixed component of fixed-indexed annuities		25		25		24		23		22		94		78
Immediate annuities		6		6		6		6		6		24		24
Pension risk transfer (PRT)		4		3		2		1		1		7		1
Federal Home Loan Bank		5		6		7		7		7		27		20

Total cost of funds		253		252		250		244		236		982		863
Guaranteed withdrawal benefit reserve		25		24		21		20		19		84		74
Amortization of sales inducements		2		3		3		4		4		14		19
Change in expected death and annuitization reserve and other		7		6		6		7		8		27		26

Total other annuity benefits		34		33		30		31		31		125		119

Total annuity benefits expense	$	287	$	285	$	280	$	275	$	267	$	1,107	$	982

Page 13


American Financial Group, Inc. Core Net Spread on Fixed Annuities ($ in millions)


	Three Months Ended															Twelve Months Ended
	3/31/20			12/31/19			9/30/19			6/30/19			3/31/19			12/31/19			12/31/18
Average fixed annuity investments (at amortized cost) (a)	$	40,073		$	39,316		$	38,650		$	37,907		$	36,991		$	38,216		$	34,471
Average annuity benefits accumulated		40,139			39,615			38,946			38,202			37,078			38,460			34,706

Annuity benefits accumulated in excess of investments (a)	$	(66	)	$	(299	)	$	(296	)	$	(295	)	$	(87	)	$	(244	)	$	(235	)

As % of average annuity benefits accumulated (except as noted)
Net investment income (excluding investments marked to market) (as % of investments)		4.25	%		4.40	%		4.34	%		4.40	%		4.37	%		4.38	%		4.40	%
Cost of funds		(2.52	%)		(2.54	%)		(2.57	%)		(2.55	%)		(2.54	%)		(2.55	%)		(2.49	%)
Other annuity benefits, net of guaranteed withdrawal benefit fees		(0.14	%)		(0.15	%)		(0.12	%)		(0.13	%)		(0.14	%)		(0.14	%)		(0.15	%)

Core net interest spread on fixed annuities		1.59	%		1.71	%		1.65	%		1.72	%		1.69	%		1.69	%		1.76	%
Policy charges and other miscellaneous income		0.15	%		0.11	%		0.12	%		0.11	%		0.09	%		0.11	%		0.15	%
Acquisition expenses (excluding investments marked to market)		(0.61	%)		(0.62	%)		(0.63	%)		(0.66	%)		(0.62	%)		(0.63	%)		(0.64	%)
Other expenses		(0.32	%)		(0.33	%)		(0.34	%)		(0.37	%)		(0.36	%)		(0.35	%)		(0.37	%)

Core net spread earned on fixed annuities (excluding investments marked to market)		0.81	%		0.87	%		0.80	%		0.80	%		0.80	%		0.82	%		0.90	%
Investments marked to market, net of DAC		(0.12	%)		0.20	%		0.26	%		0.31	%		0.28	%		0.26	%		0.30	%

Core net spread earned on fixed annuities		0.69	%		1.07	%		1.06	%		1.11	%		1.08	%		1.08	%		1.20	%
Net spread earned on items previously reported as core operating		n/a			n/a			n/a			n/a			(0.12	%)		(0.03	%)		(0.13	%)

Core net spread earned on fixed annuities - as reported		0.69	%		1.07	%		1.06	%		1.11	%		0.96	%		1.05	%		1.07	%

Average annuity benefits accumulated	$	40,139		$	39,615		$	38,946		$	38,202		$	37,078		$	38,460		$	34,706
Net spread earned on fixed annuities (excluding investments marked to market) - core		0.81	%		0.87	%		0.80	%		0.80	%		0.80	%		0.82	%		0.90	%

Earnings on fixed annuity benefits accumulated - core	$	81		$	85		$	78		$	77		$	74		$	314		$	314
Annuity benefits accumulated in excess of investments	$	(66	)	$	(299	)	$	(296	)	$	(295	)	$	(87	)	$	(244	)	$	(235	)
Net investment income (excluding investments marked to market) (as % of investments)		4.25	%		4.40	%		4.34	%		4.40	%		4.37	%		4.38	%		4.40	%

Earnings/(loss) on annuity benefits accumulated in excess of investments	$	(1	)	$	(3	)	$	(3	)	$	(3	)	$	(1	)	$	(10	)	$	(11	)
Variable annuity earnings		(1	)		2			—			1			2			5			2

Pretax Annuity core operating earnings (excluding investments marked to market)		79			84			75			75			75			309			305
Investments marked to market, net of DAC		(12	)		20			25			29			26			100			104

Pretax Annuity core operating earnings		67			104			100			104			101			409			409
Other amounts previously reported as core operating, net		n/a			n/a			n/a			n/a			(11	)		(11	)		(48	)

Pretax Annuity core operating earnings - as reported	$	67		$	104		$	100		$	104		$	90		$	398		$	361

(a)	Excludes non-investment assets such as deferred acquisition costs, FIA options, accrued investment income and company owned life insurance.

Page 14


American Financial Group, Inc. Statutory Annuity Premiums ($ in millions)


	Three Months Ended										Twelve Months Ended
	3/31/20		12/31/19		9/30/19		6/30/19		3/31/19		12/31/19		12/31/18
Financial institutions single premium annuities - indexed	$	424	$	359	$	325	$	429	$	424	$	1,537	$	1,776
Financial institutions single premium annuities - fixed		287		270		302		313		344		1,229		492
Retail single premium annuities - indexed		172		170		198		274		301		943		1,418
Retail single premium annuities - fixed		25		25		30		36		29		120		87
Broker dealer single premium annuities - indexed		138		107		134		189		227		657		1,271
Broker dealer single premium annuities - fixed		17		9		9		8		6		32		14
Pension risk transfer (PRT)		103		158		39		50		10		257		132
Education market - fixed and indexed annuities		39		36		35		44		49		164		192

Subtotal fixed annuity premiums		1,205		1,134		1,072		1,343		1,390		4,939		5,382

Variable annuities		5		5		5		6		5		21		25

Total annuity premiums	$	1,210	$	1,139	$	1,077	$	1,349	$	1,395	$	4,960	$	5,407

Summary by Distribution Channel:
Financial institutions	$	711	$	629	$	627	$	742	$	768	$	2,766	$	2,268
Retail		197		195		228		310		330		1,063		1,505
Broker dealer		155		116		143		197		233		689		1,285
Other		147		199		79		100		64		442		349

Total annuity premiums	$	1,210	$	1,139	$	1,077	$	1,349	$	1,395	$	4,960	$	5,407

Summary by Product Type:
Total indexed	$	753	$	655	$	675	$	917	$	980	$	3,227	$	4,580
Total fixed		452		479		397		426		410		1,712		802
Variable		5		5		5		6		5		21		25

Total annuity premiums	$	1,210	$	1,139	$	1,077	$	1,349	$	1,395	$	4,960	$	5,407

Page 15


American Financial Group, Inc. Fixed Annuity Benefits Accumulated (GAAP) ($ in millions)


	Three Months Ended															Twelve Months Ended
	3/31/20			12/31/19			9/30/19			6/30/19			3/31/19			12/31/19			12/31/18
Beginning fixed annuity reserves	$	40,018		$	39,212		$	38,680		$	37,724		$	36,431		$	36,431		$	33,005
Premiums		1,205			1,134			1,072			1,343			1,390			4,939			5,382
Federal Home Loan Bank (“FHLB”) advances (paydowns)		200			—			—			—			—			—			225
Surrenders, benefits and other withdrawals		(794	)		(829	)		(808	)		(862	)		(761	)		(3,260	)		(2,836	)
Interest and other annuity benefit expenses:
Cost of funds		253			252			250			244			236			982			863
Embedded derivative marked to market		(647	)		276			111			251			462			1,100			(248	)
Unlockings		—			—			(75	)		—			—			(75	)		59
Other		25			(27	)		(18	)		(20	)		(34	)		(99	)		(19	)

Ending fixed annuity reserves	$	40,260		$	40,018		$	39,212		$	38,680		$	37,724		$	40,018		$	36,431

Reconciliation to annuity benefits accumulated:
Ending fixed annuity reserves	$	40,260		$	40,018		$	39,212		$	38,680		$	37,724		$	40,018		$	36,431
Impact of unrealized investment gains on reserves		38			225			269			192			108			225			10
Fixed component of variable annuities		165			163			170			172			174			163			175

Annuity benefits accumulated per balance sheet	$	40,463		$	40,406		$	39,651		$	39,044		$	38,006		$	40,406		$	36,616

Annualized surrenders and other withdrawals as a % of beginning reserves		7.9	%		8.5	%		8.4	%		9.1	%		8.4	%		8.9	%		8.6	%

Rider reserves included in ending fixed annuity reserves above	$	690		$	625		$	611		$	491		$	478		$	625		$	472

Embedded Derivative liability included in ending fixed annuity reserves above	$	3,099		$	3,730		$	3,469		$	3,541		$	3,247		$	3,730		$	2,720

Page 16


American Financial Group, Inc. Guaranteed Minimum Interest Rate (“GMIR”) Analysis ($ in millions)


GMIR (a)	3/31/20			12/31/19			9/30/19			6/30/19			3/31/19			12/31/18
1 - 1.99%		83	%		83	%		82	%		82	%		81	%		80	%
2 - 2.99%		3	%		3	%		3	%		3	%		4	%		4	%
3 - 3.99%		7	%		7	%		7	%		8	%		8	%		8	%
4.00% and above		7	%		7	%		8	%		7	%		7	%		8	%

Annuity Benefits Accumulated	$	40,463		$	40,406		$	39,651		$	39,044		$	38,006		$	36,616

Traditional Fixed and FIA Surrender Value (b) (c)	$	30,934		$	30,921		$	30,292		$	29,891		$	29,163		$	27,842

Ability to Lower Average Crediting Rates by (b) (d)		1.18	%		1.19	%		1.20	%		1.20	%		1.20	%		1.19	%

Pretax earnings impact of crediting guaranteed minimums (b)	$	365		$	368		$	363		$	359		$	350		$	331
(assumes net DAC impact over time = $0)

(a)	Excludes FHLB advances, immediate reserves and certain other reserves.

(b)	Excludes Annuities with Guaranteed Withdrawal Benefits, FHLB advances, immediate reserves and certain other reserves.

(c)	FIA and VIA Surrender Value include Host + Embedded Derivatives + Fixed Account values.

(d)	Weighted Average Crediting Rate less GMIR

Page 17


American Financial Group, Inc. Annuity Non-Core Earnings (Losses) ($ in millions)


	Reported in												Reported in
	Non-Core Earnings												Core Earnings
	Three Months Ended												Three Months Ended				Twelve Months Ended
	3/31/20			12/31/19			9/30/19			6/30/19			3/31/19				12/31/19			12/31/18
Annuity Non-Core Earnings (Losses):
Stock market impact on:
Liability for guaranteed benefits (a)	$	(33	)	$	12		$	2		$	6		$	14			$	34		$	(14	)
DAC and sales inducements (b)		(10	)		4			1			1			5				11			(4	)
Fair Value (FV) accounting		(21	)		8			1			—			14				23			(11	)

Subtotal impact of changes in stock market		(64	)		24			4			7			33				68			(29	)
Impact of changes in interest rates on FV accounting		29			(4	)		(30	)		(38	)		(45	)			(117	)		33
Other FIA items		(3	)		4			—			(2	)		1				3			(21	)
Unlockings		—			—			(1	)		—			—				(1	)		(31	)

Annuity Non-Core Earnings (Losses)	$	(38	)	$	24		$	(27	)	$	(33	)	$	(11	)		$	(47	)	$	(48	)

																Q1 Core = ($11)
Reported as		Non-core			Non-core			Non-core			Non-core			Core		Q2/Q3/Q4 Non-core = ($36)					Core
Annuity Non-Core Earnings (Losses), net of taxes	$	(30	)	$	19		$	(21	)	$	(27	)	$	—			$	(29	)	$	—

Annuity Non-Core Net Spread Earned:
Stock market impact on:
Liability for guaranteed benefits (a)		(0.33	%)		0.12	%		0.02	%		0.06	%		0.15	%			0.09	%		(0.04	%)
DAC and sales inducements (b)		(0.10	%)		0.04	%		0.01	%		0.01	%		0.06	%			0.03	%		(0.01	%)
Fair Value (FV) accounting		(0.21	%)		0.08	%		0.01	%		0.00	%		0.15	%			0.06	%		(0.03	%)

Subtotal impact of changes in stock market		(0.64	%)		0.24	%		0.04	%		0.07	%		0.36	%			0.18	%		(0.08	%)
Impact of changes in interest rates on FV accounting		0.29	%		(0.04	%)		(0.31	%)		(0.40	%)		(0.49	%)			(0.31	%)		0.10	%
Other FIA items		(0.03	%)		0.04	%		0.00	%		(0.02	%)		0.01	%			0.01	%		(0.06	%)
Unlockings		0.00	%		0.00	%		(0.01	%)		0.00	%		0.00	%			0.00	%		(0.09	%)

Non-core net spread earned on fixed annuities		(0.38	%)		0.24	%		(0.28	%)		(0.35	%)		(0.12	%)			(0.12	%)		(0.13	%)

																Q1 Core = (.03%)
Reported as		Non-core			Non-core			Non-core			Non-core			Core		Q2/Q3/Q4 Non-core = (.09%)					Core
(a) Reflects the impact of changes in the stock market on AFG’s liability for fixed-indexed annuities with guaranteed benefits. Increases in the stock market will generally have a favorable earnings impact; decreases in the stock market will generally have an unfavorable impact. (b) Reflects the impact of changes in the stock market on the current and projected lifetime profitability of AFG’s annuity business. Increases in the stock market will generally have a favorable earnings impact; decreases in the stock market will generally have an unfavorable impact.
S&P 500		2,585			3,231			2,977			2,942			2,834				3,231			2,507
Average 5 and 15 year Corp A2 rates		3.01	%		2.74	%		2.71	%		2.97	%		3.41	%			2.74	%		3.90	%
Non-core earnings sensitivities:
Incremental +/- 1% change in S&P 500								~ +/-$1mm to $2mm
Incremental +/- 10bps change in interest rates								~ +/-$7mm to $8mm
(Assumes parallel shift in rates (primarily Corporate A2 rates))

Page 18


American Financial Group, Inc. Reconciliation from Core to GAAP Annuity Pretax Earnings ($ in millions)


	Three Months Ended															Twelve Months Ended
	3/31/20			12/31/19			9/30/19			6/30/19			3/31/19			12/31/19			12/31/18
Annuity Earnings
Core annuity operating earnings - as reported (see page 12)	$	67		$	104		$	100		$	104		$	90		$	398		$	361
Annuity non-core earnings (losses)		(38	)		24			(27	)		(33	)		—			(36	)		—

Earnings before income taxes - GAAP	$	29		$	128		$	73		$	71		$	90		$	362		$	361

Policy Charges and Other Miscellaneous Income
Policy charges and other miscellaneous income (see page 12)	$	18		$	13		$	14		$	13		$	12		$	52		$	61
Annuity non-core policy charges and other miscellaneous income		—			—			1			—			—			1			(1	)

Policy Charges and Other Miscellaneous Income - GAAP	$	18		$	13		$	15		$	13		$	12		$	53		$	60

Annuity Benefit Expense
Annuity benefits expense (see page 13)	$	287		$	285		$	280		$	275		$	267		$	1,107		$	982
Annuity non-core annuity benefits		(3	)		(30	)		(26	)		67			45			56			34

Annuity Benefit Expense - GAAP	$	284		$	255		$	254		$	342		$	312		$	1,163		$	1,016

Acquisition Expenses
Acquisition expenses (see page 12)	$	71		$	65		$	64		$	67		$	60		$	256		$	242
Annuity non-core acquisition expenses		41			6			54			(34	)		(34	)		(8	)		13

Acquisition Expenses - GAAP	$	112		$	71		$	118		$	33		$	26		$	248		$	255

Net Spread on Fixed Annuities
Core net spread earned on fixed annuities - as reported (see page 14)		0.69	%		1.07	%		1.06	%		1.11	%		0.96	%		1.05	%		1.07	%
Non-core net spread earned on fixed annuities		(0.38	%)		0.24	%		(0.28	%)		(0.35	%)		0.00	%		(0.09	%)		0.00	%

Net Spread on Fixed Annuities		0.31	%		1.31	%		0.78	%		0.76	%		0.96	%		0.96	%		1.07	%

Page 19


American Financial Group, Inc. Consolidated Balance Sheet ($ in millions)


	3/31/20			12/31/19			9/30/19			6/30/19			3/31/19			12/31/18
Assets:
Total cash and investments	$	53,221		$	55,252		$	54,207		$	52,907		$	51,040		$	48,498
Recoverables from reinsurers		3,387			3,415			3,261			3,150			3,258			3,349
Prepaid reinsurance premiums		708			678			781			651			636			610
Agents’ balances and premiums receivable		1,302			1,335			1,403			1,398			1,283			1,234
Deferred policy acquisition costs		1,573			1,037			964			1,203			1,447			1,682
Assets of managed investment entities		4,026			4,736			4,702			4,781			4,786			4,700
Other receivables		981			975			1,187			999			1,011			1,090
Variable annuity assets (separate accounts)		497			628			601			616			610			557
Other assets		1,741			1,867			1,754			1,785			1,854			1,529
Goodwill		207			207			207			207			207			207

Total assets	$	67,643		$	70,130		$	69,067		$	67,697		$	66,132		$	63,456

Liabilities and Equity:
Unpaid losses and loss adjustment expenses	$	10,106		$	10,232		$	9,847		$	9,577		$	9,623		$	9,741
Unearned premiums		2,808			2,830			2,986			2,683			2,605			2,595
Annuity benefits accumulated		40,463			40,406			39,651			39,044			38,006			36,616
Life, accident and health reserves		607			612			613			619			632			635
Payable to reinsurers		779			814			867			755			730			752
Liabilities of managed investment entities		3,865			4,571			4,523			4,590			4,593			4,512
Long-term debt		1,473			1,473			1,423			1,423			1,423			1,302
Variable annuity liabilities (separate accounts)		497			628			601			616			610			557
Other liabilities		1,998			2,295			2,235			2,300			2,245			1,774

Total liabilities	$	62,596		$	63,861		$	62,746		$	61,607		$	60,467		$	58,484

Shareholders’ equity:
Common stock	$	90		$	90		$	90		$	90		$	90		$	89
Capital surplus		1,309			1,307			1,292			1,277			1,256			1,245
Retained earnings		3,616			4,009			4,022			3,914			3,875			3,588
Unrealized gains - fixed maturities		16			862			920			812			464			83
Unrealized gains (losses) - fixed maturity-related cash flow hedges		44			17			25			18			—			(11	)
Other comprehensive income, net of tax		(28	)		(16	)		(28	)		(21	)		(20	)		(24	)

Total shareholders’ equity		5,047			6,269			6,321			6,090			5,665			4,970

Noncontrolling interests		—			—			—			—			—			2

Total liabilities and equity	$	67,643		$	70,130		$	69,067		$	67,697		$	66,132		$	63,456

Page 20


American Financial Group, Inc. Book Value Per Share and Price / Book Summary (in millions, except per share information)


	3/31/20			12/31/19			9/30/19			6/30/19			3/31/19			12/31/18
Shareholders’ equity	$	5,047		$	6,269		$	6,321		$	6,090		$	5,665		$	4,970
Unrealized (gains) related to fixed maturities		(60	)		(879	)		(945	)		(830	)		(464	)		(72	)

Adjusted shareholders’ equity		4,987			5,390			5,376			5,260			5,201			4,898
Goodwill		(207	)		(207	)		(207	)		(207	)		(207	)		(207	)
Intangibles		(40	)		(43	)		(45	)		(48	)		(51	)		(54	)

Tangible adjusted shareholders’ equity	$	4,740		$	5,140		$	5,124		$	5,005		$	4,943		$	4,637

Common shares outstanding		89.827			90.304			90.127			89.918			89.638			89.292

Book value per share:
Book value per share	$	56.18		$	69.43		$	70.14		$	67.72		$	63.20		$	55.66
Adjusted (a)		55.52			59.70			59.65			58.49			58.02			54.86
Tangible, adjusted (b)		52.77			56.93			56.84			55.65			55.14			51.93

Market capitalization

AFG’s closing common share price	$	70.08		$	109.65		$	107.85		$	102.47		$	96.21		$	90.53

Market capitalization	$	6,295		$	9,902		$	9,720		$	9,214		$	8,624		$	8,084

Price / Adjusted book value ratio		1.26			1.84			1.81			1.75			1.66			1.65

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

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

Page 21


American Financial Group, Inc. Capitalization ($ in millions)


	3/31/20			12/31/19			9/30/19			6/30/19			3/31/19			12/31/18
AFG senior obligations	$	1,018		$	1,018		$	1,018		$	1,018		$	1,018		$	1,018
Borrowings drawn under credit facility		—			—			—			—			—			—

Debt excluding subordinated debt	$	1,018		$	1,018		$	1,018		$	1,018		$	1,018		$	1,018

AFG subordinated debentures		475			475			425			425			425			300

Total principal amount of long-term debt	$	1,493		$	1,493		$	1,443		$	1,443		$	1,443		$	1,318

Shareholders’ equity		5,047			6,269			6,321			6,090			5,665			4,970
Noncontrolling interests (including redeemable NCI)		—			—			—			—			—			2
Less:
Unrealized (gains) related to fixed maturity investments		(60	)		(879	)		(945	)		(830	)		(464	)		(72	)

Total adjusted capital	$	6,480		$	6,883		$	6,819		$	6,703		$	6,644		$	6,218
Ratio of debt to total adjusted capital:
Including subordinated debt		23.0	%		21.7	%		21.2	%		21.5	%		21.7	%		21.2	%
Excluding subordinated debt		15.7	%		14.8	%		14.9	%		15.2	%		15.3	%		16.4	%

Page 22


American Financial Group, Inc. Additional Supplemental Information ($ in millions)


	Three Months Ended															Twelve Months Ended
	3/31/20			12/31/19			9/30/19			6/30/19			3/31/19			12/31/19			12/31/18
Property and Casualty Insurance
Paid Losses (GAAP)	$	751		$	727		$	769		$	666		$	704		$	2,866		$	2,602


	3/31/20			12/31/19			9/30/19			6/30/19			3/31/19			12/31/18
GAAP Equity (excluding AOCI)
Property and Casualty Insurance	$	3,800		$	4,043		$	4,094		$	3,959		$	3,868		$	3,638
Annuity		2,512			2,715			2,613			2,612			2,553			2,443
Parent and other subsidiaries		(1,297	)		(1,352	)		(1,303	)		(1,290	)		(1,200	)		(1,159	)

AFG GAAP Equity (excluding AOCI)	$	5,015		$	5,406		$	5,404		$	5,281		$	5,221		$	4,922

Allowable dividends without regulatory approval
Property and Casualty Insurance	$	565		$	565		$	529		$	529		$	529		$	529
Annuity and Run-off		287			287			768			768			768			768

Total	$	852		$	852		$	1,297		$	1,297		$	1,297		$	1,297

Page 23


American Financial Group, Inc. Total Cash and Investments ($ in millions)


	Carrying Value - March 31, 2020
	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	$	1,089	$	378	$	206	$	—		$	1,673		3	%
Fixed maturities - Available for sale		8,502		37,623		9		—			46,134		87	%
Fixed maturities - Trading		50		46		—		—			96		0	%
Equity securities - common stocks		449		417		53		—			919		2	%
Equity securities - perpetual preferred		367		273		—		—			640		1	%
Investments accounted for using the equity method		736		1,027		—		—			1,763		3	%
Mortgage loans		268		1,078		—		—			1,346		3	%
Policy loans		—		161		—		—			161		0	%
Equity index call options		—		209		—		—			209		0	%
Real estate and other investments		113		274		53		(160	)		280		1	%

Total cash and investments	$	11,574	$	41,486	$	321	$	(160	)	$	53,221		100	%


	Carrying Value - December 31, 2019
	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	$	1,387	$	746	$	181	$	—		$	2,314		4	%
Fixed maturities - Available for sale		8,596		37,899		10		—			46,505		84	%
Fixed maturities - Trading		59		54		—		—			113		0	%
Equity securities - common stocks		664		553		66		—			1,283		3	%
Equity securities - perpetual preferred		397		257		—		—			654		1	%
Investments accounted for using the equity method		703		985		—		—			1,688		3	%
Mortgage loans		262		1,067		—		—			1,329		2	%
Policy loans		—		164		—		—			164		0	%
Equity index call options		—		924		—		—			924		2	%
Real estate and other investments		122		265		55		(164	)		278		1	%

Total cash and investments	$	12,190	$	42,914	$	312	$	(164	)	$	55,252		100	%

Page 24


American Financial Group, Inc. Net Investment Income ($ in millions)


	Three Months Ended															Twelve Months Ended
	3/31/20			12/31/19			9/30/19			6/30/19			3/31/19			12/31/19			12/31/18
Property and Casualty Insurance:
Gross Investment Income
Fixed maturities - Available for sale	$	81		$	79		$	75		$	79		$	77		$	310		$	284
Fixed maturities - Trading		1			—			1			1			1			3			3
Equity securities - dividends		10			11			12			13			13			49			48
Equity securities - MTM		3			(1	)		7			1			2			9			13
Equity in investees		11			21			20			20			3			64			65
AFG managed CLOs		(11	)		(2	)		(2	)		2			3			1			2
Other investments (a)		6			13			12			10			7			42			32

Gross investment income		101			121			125			126			106			478			447
Investment expenses		(2	)		(1	)		(1	)		(2	)		(2	)		(6	)		(9	)

Total net investment income	$	99		$	120		$	124		$	124		$	104		$	472		$	438

Average cash and investments (b)	$	11,457		$	11,744		$	11,387		$	11,193		$	10,997		$	11,348		$	10,497

Average yield (c)		3.46	%		4.09	%		4.36	%		4.43	%		3.78	%		4.16	%		4.17	%

Fixed Annuity
Gross Investment Income
Fixed maturities - Available for sale	$	403		$	406		$	393		$	391		$	384		$	1,574		$	1,425
Equity securities - dividends		7			8			9			8			9			34			30
Equity securities - MTM		5			4			7			3			3			17			13
Equity in investees		14			24			23			25			18			90			96
AFG managed CLOs		(25	)		(5	)		(3	)		3			8			3			5
Other investments (a)		19			23			21			22			15			81			73

Gross investment income		423			460			450			452			437			1,799			1,642
Investment expenses		(3	)		(4	)		(4	)		(4	)		(4	)		(16	)		(13	)

Total net investment income	$	420		$	456		$	446		$	448		$	433		$	1,783		$	1,629

Average cash and investments (b)	$	40,073		$	39,316		$	38,650		$	37,907		$	36,991		$	38,216		$	34,471

Average yield (c)		4.19	%		4.63	%		4.62	%		4.73	%		4.68	%		4.67	%		4.73	%

AFG consolidated net investment income:
Property & Casualty core	$	99		$	120		$	124		$	124		$	104		$	472		$	438
Neon exited lines non-core		(6	)		—			—			—			—			—			—
Annuity:
Fixed Annuity		420			456			446			448			433			1,783			1,629
Variable Annuity		2			2			2			3			2			9			9
Parent & other		(7	)		8			11			10			14			43			25
Consolidate CLOs		36			7			5			(5	)		(11	)		(4	)		(7	)

Total net investment income	$	544		$	593		$	588		$	580		$	542		$	2,303		$	2,094

(a)	Includes income from mortgage loans, real estate, policy loans, short-term investments, and cash equivalents.

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

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

Page 25


American Financial Group, Inc. Significant Investments Marked-to-Market Through Investment Income and Investments Accounted For Using the Equity Method ($ in millions)


	Three Months Ended															Twelve Months Ended
	3/31/20			12/31/19			9/30/19			6/30/19			3/31/19			12/31/19			12/31/18
Property and Casualty Insurance:
Net Investment Income
Equity securities MTM through investment income (a)	$	3		$	(1	)	$	7		$	1		$	2		$	9		$	13
Investments accounted for using the equity method (b)		11			21			20			20			3			64			65
AFG managed CLOs (eliminated in consolidation)		(11	)		(2	)		(2	)		2			3			1			2

Total Property & Casualty	$	3		$	18		$	25		$	23		$	8		$	74		$	80

Investments
Equity securities MTM through investment income (a)	$	93		$	85		$	77		$	57		$	52		$	85		$	50
Investments accounted for using the equity method (b)		736			703			625			614			578			703			557
AFG managed CLOs (eliminated in consolidation)		40			48			53			56			57			48			56

Total Property & Casualty	$	869		$	836		$	755		$	727		$	687		$	836		$	663

Annualized Yield - Property & Casualty		1.4	%		9.1	%		13.5	%		13.0	%		4.7	%		10.1	%		13.9	%

Fixed Annuity:
Net Investment Income
Equity securities MTM through investment income (a)	$	5		$	4		$	7		$	3		$	3		$	17		$	13
Investments accounted for using the equity method (b)		14			24			23			25			18			90			96
AFG managed CLOs (eliminated in consolidation)		(25	)		(5	)		(3	)		3			8			3			5

Total Fixed Annuity	$	(6	)	$	23		$	27		$	31		$	29		$	110		$	114

Investments
Equity securities MTM through investment income (a)	$	160		$	142		$	120		$	101		$	88		$	142		$	84
Investments accounted for using the equity method (b)		1,027			985			910			892			862			985			817
AFG managed CLOs (eliminated in consolidation)		120			116			125			135			136			116			132

Total Fixed Annuity	$	1,307		$	1,243		$	1,155		$	1,128		$	1,086		$	1,243		$	1,033

Annualized Yield - Fixed Annuity		(1.9	%)		7.7	%		9.5	%		11.2	%		10.9	%		9.7	%		12.4	%

Combined (includes Parent amounts not shown above):
Net Investment Income
Equity securities MTM through investment income (a)	$	(5	)	$	3		$	17		$	8		$	11		$	39		$	22
Investments accounted for using the equity method (b)		25			45			43			45			21			154			161
AFG managed CLOs (eliminated in consolidation)		(36	)		(7	)		(5	)		5			11			4			7

Total Combined (including Parent)	$	(16	)	$	41		$	55		$	58		$	43		$	197		$	190

Investments
Equity securities MTM through investment income (a)	$	306		$	294		$	262		$	220		$	198		$	294		$	187
Investments accounted for using the equity method (b)		1,763			1,688			1,535			1,506			1,440			1,688			1,374
AFG managed CLOs (eliminated in consolidation)		160			164			178			191			193			164			188

Total Combined (including Parent)	$	2,229		$	2,146		$	1,975		$	1,917		$	1,831		$	2,146		$	1,749

Annualized Yield - Combined		(2.9	%)		8.0	%		11.3	%		12.4	%		9.6	%		10.2	%		12.2	%

(a)	AFG carries the small portion of its equity securities previously classified as “trading” and investments in limited partnerships and similar investments that aren’t accounted for using the equity method at fair value through net investment income.

(b)	The majority of AFG’s investments accounted for using the equity method mark their underlying assets to market through net income.

Page 26


American Financial Group, Inc. Fixed Maturities - By Security Type - AFG Consolidated ($ in millions )


												% of
						Unrealized			% of			Investment
March 31, 2020	Book Value (b)			Fair Value		Gain (Loss)			Fair Value			Portfolio
US Government and government agencies	$	194		$	209	$	15			0	%		0	%
States, municipalities and political subdivisions		6,544			6,924		380			15	%		13	%
Foreign government		199			205		6			0	%		0	%
Residential mortgage-backed securities		3,073			3,132		59			7	%		6	%
Commercial mortgage-backed securities		892			907		15			2	%		2	%
Collateralized loan obligations		4,439			4,138		(301	)		9	%		8	%
Other asset-backed securities		7,055			6,758		(297	)		15	%		13	%
Corporate and other bonds		23,740			23,957		217			52	%		45	%

Total AFG consolidated	$	46,136		$	46,230	$	94			100	%		87	%

Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		4.33	%
Net of investment expense (a)		4.29	%

Approximate average life and duration:
Approximate average life		5.5 years
Approximate duration		4 years

												% of
						Unrealized			% of			Investment
December 31, 2019	Book Value			Fair Value		Gain (Loss)			Fair Value			Portfolio
US Government and government agencies	$	203		$	213	$	10			1	%		0	%
States, municipalities and political subdivisions		6,628			6,987		359			15	%		12	%
Foreign government		209			211		2			0	%		0	%
Residential mortgage-backed securities		2,901			3,161		260			7	%		6	%
Commercial mortgage-backed securities		896			927		31			2	%		2	%
Collateralized loan obligations		4,307			4,280		(27	)		9	%		8	%
Other asset-backed securities		6,992			7,128		136			15	%		13	%
Corporate and other bonds		22,501			23,711		1,210			51	%		43	%

Total AFG consolidated	$	44,637		$	46,618	$	1,981			100	%		84	%

Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		4.48	%
Net of investment expense (a)		4.44	%

Approximate average life and duration:
Approximate average life		5.5 years
Approximate duration		4 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)	Book Value is amortized cost, net of allowance for expected credit losses.

Page 27


American Financial Group, Inc. Fixed Maturities - By Security Type Portfolio ($ in millions )


	March 31, 2020											December 31, 2019
						Unrealized			% of								Unrealized			% of
	Book Value			Fair Value		Gain (Loss)			Fair Value			Book Value			Fair Value		Gain (Loss)			Fair Value
Property and Casualty Insurance:
US Government and government agencies	$	156		$	163	$	7			2	%	$	165		$	167	$	2			2	%
States, municipalities and political subdivisions		2,487			2,586		99			30	%		2,524			2,614		90			30	%
Foreign government		168			170		2			2	%		178			177		(1	)		2	%
Residential mortgage-backed securities		990			997		7			12	%		990			1,051		61			12	%
Commercial mortgage-backed securities		83			83		—			1	%		89			92		3			1	%
Collateralized loan obligations		936			873		(63	)		10	%		906			901		(5	)		11	%
Other asset-backed securities		1,770			1,680		(90	)		20	%		1,727			1,741		14			20	%
Corporate and other bonds		2,024			2,000		(24	)		23	%		1,861			1,912		51			22	%

Property and Casualty Insurance	$	8,614		$	8,552	$	(62	)		100	%	$	8,440		$	8,655	$	215			100	%

Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		3.81	%										3.94	%
Net of investment expense (a)		3.75	%										3.90	%
Tax equivalent, net of investment expense (b)		3.89	%										4.05	%

Approximate average life and duration:
Approximate average life		4 years											4.5 years
Approximate duration		3 years											3 years

	March 31, 2020											December 31, 2019
						Unrealized			% of								Unrealized			% of
	Book Value			Fair Value		Gain (Loss)			Fair Value			Book Value			Fair Value		Gain (Loss)			Fair Value
Annuity and Run-off:
US Government and government agencies	$	38		$	46	$	8			0	%	$	38		$	46	$	8			0	%
States, municipalities and political subdivisions		4,057			4,338		281			12	%		4,104			4,373		269			12	%
Foreign government		31			35		4			0	%		31			34		3			0	%
Residential mortgage-backed securities		2,081			2,126		45			6	%		1,909			2,100		191			6	%
Commercial mortgage-backed securities		809			824		15			2	%		807			835		28			2	%
Collateralized loan obligations		3,503			3,265		(238	)		9	%		3,401			3,379		(22	)		9	%
Other asset-backed securities		5,285			5,078		(207	)		13	%		5,265			5,387		122			14	%
Corporate and other bonds		21,716			21,957		241			58	%		20,640			21,799		1,159			57	%

Total Annuity and Run-off	$	37,520		$	37,669	$	149			100	%	$	36,195		$	37,953	$	1,758			100	%

Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		4.44	%										4.59	%
Net of investment expense (a)		4.41	%										4.55	%

Approximate average life and duration:
Approximate average life		6 years											6 years
Approximate duration		4 years											4.5 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 28


American Financial Group, Inc. Fixed Maturities - Credit Rating ($ in millions)


	March 31, 2020
					Unrealized			% of
By Credit Rating (a)	Book Value		Fair Value		Gain (Loss)			Fair Value
Investment grade
AAA	$	9,578	$	9,466	$	(112	)		21	%
AA		8,197		8,356		159			18	%
A		10,460		10,607		147			23	%
BBB		13,469		13,452		(17	)		29	%

Subtotal - Investment grade		41,704		41,881		177			91	%
BB		1,171		1,027		(144	)		2	%
B		209		193		(16	)		1	%
Other (b)		3,052		3,129		77			6	%

Subtotal - Non-Investment grade		4,432		4,349		(83	)		9	%

Total	$	46,136	$	46,230	$	94			100	%

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


	December 31, 2019
					Unrealized			% of
By Credit Rating (a)	Book Value		Fair Value		Gain (Loss)			Fair Value
Investment grade
AAA	$	8,854	$	9,010	$	156			19	%
AA		8,615		8,957		342			19	%
A		10,456		10,983		527			24	%
BBB		12,759		13,465		706			29	%

Subtotal - Investment grade		40,684		42,415		1,731			91	%
BB		714		724		10			2	%
B		186		183		(3	)		0	%
Other (b)		3,053		3,296		243			7	%

Subtotal - Non-Investment grade		3,953		4,203		250			9	%

Total	$	44,637	$	46,618	$	1,981			100	%

98% 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 pages 34 and 35 for more information.

Page 29


American Financial Group, Inc. Mortgage-Backed Securities - AFG Consolidated ($ in millions)


										% of
					Unrealized		% of			Investment
March 31, 2020	Book Value		Fair Value		Gain (Loss)		Fair Value			Portfolio
Residential
Agency	$	494	$	506	$	12		13	%		1	%
Prime (Non-Agency)		1,359		1,383		24		34	%		2	%
Alt-A		904		918		14		23	%		2	%
Subprime		316		325		9		8	%		1	%
Commercial		892		907		15		22	%		2	%

Total AFG consolidated	$	3,965	$	4,039	$	74		100	%		8	%

•

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 88%; Alt-A 81%; Subprime 82%; CMBS 99%.

•

The average FICO score of our residential MBS securities is - Prime 748; Alt-A 694; Subprime 630.

•

96% of our Commercial MBS portfolio is investment-grade rated (82% AAA) and the average subordination for this group of assets is 35%.

•

The approximate average life by collateral type is - Residential 4 years; Commercial 3 years.


										% of
					Unrealized		% of			Investment
December 31, 2019	Book Value		Fair Value		Gain (Loss)		Fair Value			Portfolio
Residential
Agency	$	549	$	552	$	3		13	%		1	%
Prime (Non-Agency)		1,157		1,264		107		31	%		2	%
Alt-A		897		1,015		118		25	%		2	%
Subprime		298		330		32		8	%		1	%
Commercial		896		927		31		23	%		2	%

Total AFG consolidated	$	3,797	$	4,088	$	291		100	%		8	%

Page 30


American Financial Group, Inc. Mortgage-Backed Securities Portfolio ($ in millions)


Property and Casualty Insurance:	March 31, 2020
					Unrealized			% of			% of Inv
By Asset Type	Book Value		Fair Value		Gain (Loss)			Fair Value			Portfolio
Residential
Agency	$	269	$	277	$	8			26	%		2	%
Prime (Non-Agency)		332		328		(4	)		30	%		3	%
Alt-A		257		258		1			24	%		2	%
Subprime		132		134		2			12	%		1	%
Commercial		83		83		—			8	%		1	%

Total	$	1,073	$	1,080	$	7			100	%		9	%


	December 31, 2019
					Unrealized			% of			% of Inv
By Asset Type	Book Value		Fair Value		Gain (Loss)			Fair Value			Portfolio
Residential
Agency	$	315	$	317	$	2			28	%		3	%
Prime (Non-Agency)		279		292		13			26	%		2	%
Alt-A		265		299		34			26	%		2	%
Subprime		131		143		12			12	%		1	%
Commercial		89		92		3			8	%		1	%

Total	$	1,079	$	1,143	$	64			100	%		9	%


Annuity and Run-off:	March 31, 2020
					Unrealized			% of			% of Inv
By Asset Type	Book Value		Fair Value		Gain (Loss)			Fair Value			Portfolio
Residential
Agency	$	225	$	229	$	4			8	%		0	%
Prime (Non-Agency)		1,025		1,046		21			35	%		3	%
Alt-A		647		660		13			23	%		2	%
Subprime		184		191		7			6	%		0	%
Commercial		809		824		15			28	%		2	%

Total	$	2,890	$	2,950	$	60			100	%		7	%


	December 31, 2019
					Unrealized			% of			% of Inv
By Asset Type	Book Value		Fair Value		Gain (Loss)			Fair Value			Portfolio
Residential
Agency	$	234	$	235	$	1			8	%		1	%
Prime (Non-Agency)		876		962		86			33	%		2	%
Alt-A		632		716		84			25	%		2	%
Subprime		167		187		20			6	%		0	%
Commercial		807		835		28			28	%		2	%

Total	$	2,716	$	2,935	$	219			100	%		7	%

Page 31


American Financial Group, Inc. Mortgage-Backed Securities - Credit Rating ($ in millions)


	March 31, 2020
					Unrealized			% of
By Credit Rating (a)	Book Value		Fair Value		Gain (Loss)			Fair Value
Investment grade
AAA	$	2,051	$	2,061	$	10			51	%
AA		175		175		—			4	%
A		293		288		(5	)		7	%
BBB		157		161		4			4	%

Subtotal - investment grade		2,676		2,685		9			66	%
BB		96		91		(5	)		2	%
B		112		107		(5	)		3	%
Other (b)		1,081		1,156		75			29	%

Total	$	3,965	$	4,039	$	74			100	%

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


	December 31, 2019
					Unrealized		% of
By Credit Rating (a)	Book Value		Fair Value		Gain (Loss)		Fair Value
Investment grade
AAA	$	1,921	$	1,957	$	36		48	%
AA		144		151		7		4	%
A		248		266		18		6	%
BBB		181		193		12		5	%

Subtotal - investment grade		2,494		2,567		73		63	%
BB		105		106		1		3	%
B		102		102		—		2	%
Other (b)		1,096		1,313		217		32	%

Total	$	3,797	$	4,088	$	291		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.

(b)	See pages 34 and 35 for more information.

Page 32


Appendix A American Financial Group, Inc. Components of Core Operating Earnings As Reported ($ in millions)


	Three Months Ended															Twelve Months Ended
	3/31/20			12/31/19			9/30/19			6/30/19			3/31/19			12/31/19			12/31/18
Core operating earnings before mark to market
Property and Casualty Insurance core operating earnings before mark to market	$	178		$	181		$	169		$	152		$	177		$	679		$	660
Annuity Pretax core operating earnings before mark to market		79			84			75			75			64			298			257
Interest expense of parent holding companies		(17	)		(18	)		(17	)		(17	)		(16	)		(68	)		(62	)
Other expense		(20	)		(32	)		(22	)		(25	)		(27	)		(106	)		(94	)

Pre-tax core operating earnings before mark to market		220			215			205			185			198			803			761
Income tax expense		42			42			39			34			41			156			145

Core net operating earnings before mark to market	$	178		$	173		$	166		$	151		$	157		$	647		$	616

Core mark to market investments, net of DAC
Property and Casualty Insurance mark to market investments	$	3		$	18		$	25		$	23		$	8		$	74		$	80
Annuity mark to market investments, Net of DAC		(12	)		20			25			29			26			100			104

Core pre-tax mark to market investments, net of DAC		(9	)		38			50			52			34			174			184
Income tax expense		(2	)		8			11			11			7			37			39

Core mark to market investments, net of DAC	$	(7	)	$	30		$	39		$	41		$	27		$	137		$	145

Core operating earnings as reported
Property and Casualty Insurance operating earnings	$	181		$	199		$	194		$	175		$	185		$	753		$	740
Annuity operating earnings		67			104			100			104			90			398			361
Interest expense of parent holding companies		(17	)		(18	)		(17	)		(17	)		(16	)		(68	)		(62	)
Other expense		(20	)		(32	)		(22	)		(25	)		(27	)		(106	)		(94	)

Pre-tax core operating earnings as reported		211			253			255			237			232			977			945
Income tax expense		40			50			50			45			48			193			184

Core net operating earnings as reported	$	171		$	203		$	205		$	192		$	184		$	784		$	761

Average number of diluted shares		91.138			91.274			91.137			90.981			90.695			91.024			90.626

Diluted core net operating earnings per share:
Core net operating earnings before mark to market per share	$	1.96		$	1.90		$	1.82		$	1.66		$	1.73		$	7.11		$	6.80
Core mark to market investments, net of DAC per share		(0.08	)		0.32			0.43			0.46			0.29			1.51			1.60

Core net operating earnings as reported per share	$	1.88		$	2.22		$	2.25		$	2.12		$	2.02		$	8.62		$	8.40

Page 33


Appendix B American Financial Group, Inc. Fixed Maturities by Credit Rating & NAIC Designation by Type 3/31/2020 ($ in millions)


	Fair Value by Type
By Credit Rating (a)	US Gov		Munis		Frgn Gov		RMBS		CMBS		CLOs		Other ABS		Corp/Oth		Total		% Total
Investment grade
AAA	$	199	$	2,077	$	137	$	1,316	$	745	$	2,981	$	1,855	$	156	$	9,466		21	%
AA		10		4,297		51		156		19		912		1,708		1,203		8,356		18	%
A		—		396		2		275		13		212		1,762		7,947		10,607		23	%
BBB		—		92		3		66		95		22		702		12,472		13,452		29	%

Subtotal - Investment grade		209		6,862		193		1,813		872		4,127		6,027		21,778		41,881		91	%
BB		—		9		—		61		30		—		6		921		1,027		2	%
B		—		—		—		107		—		—		4		82		193		1	%
CCC, CC, C		—		—		—		459		5		—		8		34		506		1	%
D		—		—		—		159		—		—		—		1		160		0	%

Subtotal - Non-Investment grade		—		9		—		786		35		—		18		1,038		1,886		4	%
Not Rated (b)		—		53		12		533		—		11		713		1,141		2,463		5	%

Total	$	209	$	6,924	$	205	$	3,132	$	907	$	4,138	$	6,758	$	23,957	$	46,230		100	%


	Fair Value by type
NAIC designation	US Gov		Munis		Frgn gov		RMBS		CMBS		CLOs		Other ABS		Corp/Oth		Total		% Total
1	$	207	$	6,821	$	170	$	3,004	$	861	$	4,104	$	6,022	$	10,249	$	31,438		68	%
2		—		93		—		39		13		22		711		12,530		13,408		29	%

Subtotal		207		6,914		170		3,043		874		4,126		6,733		22,779		44,846		97	%
3		—		9		—		21		30		—		6		943		1,009		2	%
4		—		—		—		32		—		—		3		148		183		1	%
5		—		—		—		21		3		11		4		69		108		0	%
6		—		—		—		5		—		—		5		4		14		0	%

Subtotal		—		9		—		79		33		11		18		1,164		1,314		3	%
No designation (c)		2		1		35		10		—		1		7		14		70		0	%

Total	$	209	$	6,924	$	205	$	3,132	$	907	$	4,138	$	6,758	$	23,957	$	46,230		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.

(b)	89% are NAIC 1, 3% NAIC 2, 2% NAIC 3, 3% NAIC 4, 2% NAIC 5 and 1% NAIC 6.

(c)	Primarily relates to securities held by non-insurance companies.

Page 34


Appendix C American Financial Group, Inc. Fixed Maturities by Credit Rating & NAIC Designation by Type 12/31/2019 ($ in millions)


	Fair Value by Type
By Credit Rating (a)	US Gov		Munis		Frgn Gov		RMBS		CMBS		CLOs		Other ABS		Corp/Oth		Total		% Total
Investment grade
AAA	$	204	$	2,086	$	134	$	1,184	$	773	$	2,921	$	1,529	$	179	$	9,010		19	%
AA		9		4,325		52		131		20		1,074		1,779		1,567		8,957		19	%
A		—		418		8		250		16		241		1,983		8,067		10,983		24	%
BBB		—		95		3		115		78		27		742		12,405		13,465		29	%

Subtotal - Investment grade		213		6,924		197		1,680		887		4,263		6,033		22,218		42,415		91	%
BB		—		9		—		74		32		—		13		596		724		2	%
B		—		—		1		97		5		—		4		76		183		0	%
CCC, CC, C		—		—		—		544		3		—		4		42		593		1	%
D		—		—		—		185		—		—		—		1		186		0	%

Subtotal - Non-Investment grade		—		9		1		900		40		—		21		715		1,686		3	%
Not Rated (b)		—		54		13		581		—		17		1,074		778		2,517		6	%

Total	$	213	$	6,987	$	211	$	3,161	$	927	$	4,280	$	7,128	$	23,711	$	46,618		100	%


	Fair Value by type
NAIC designation	US Gov		Munis		Frgn gov		RMBS		CMBS		CLOs		Other ABS		Corp/Oth		Total		% Total
1	$	191	$	6,875	$	172	$	3,030	$	883	$	4,232	$	6,308	$	10,310	$	32,001		69	%
2		—		95		—		29		9		26		770		12,518		13,447		29	%

Subtotal		191		6,970		172		3,059		892		4,258		7,078		22,828		45,448		98	%
3		—		9		—		29		32		—		13		601		684		2	%
4		—		—		—		16		—		—		4		146		166		0	%
5		—		—		—		21		3		18		4		92		138		0	%
6		15		—		—		5		—		—		15		5		40		0	%

Subtotal		15		9		—		71		35		18		36		844		1,028		2	%
No designation (c)		7		8		39		31		—		4		14		39		142		0	%

Total	$	213	$	6,987	$	211	$	3,161	$	927	$	4,280	$	7,128	$	23,711	$	46,618		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.

(b)	87% are NAIC 1, 4% NAIC 2, 2% NAIC 3, 3% NAIC 4, 3% NAIC 5 and 1% NAIC 6.

(c)	Primarily relates to securities held by non-insurance companies.

Page 35


Appendix D American Financial Group, Inc. Corporate Securities by Credit Rating & NAIC Designation by Industry 3/31/2020 ($ in millions)


	Fair Value By Industry
Credit Rating (a)	Banking		Insurance		Other Financials		Technology		Asset Managers		Energy		Healthcare		Consumer		REITs		Utilities		Capital Goods		Basic Industry		Media		Autos		Communi- cations		Retailers		Restaurants, Hospitality & Leisure		Aviation		Other		Total		% Total
Investment Grade
AAA	$	—	$	—	$	—	$	25	$	—	$	—	$	20	$	29	$	—	$	—	$	—	$	—	$	—	$	—	$	81	$	—	$	—	$	—	$	1	$	156		1	%
AA		148		128		99		108		197		176		90		111		—		—		—		—		—		—		—		22		19		30		75		1,203		5	%
A		2,066		1,068		345		520		729		217		364		270		329		541		357		69		218		311		165		82		18		110		168		7,947		33	%
BBB		2,969		1,033		691		877		598		929		891		564		672		343		435		577		423		265		284		276		247		139		259		12,472		52	%

Subtotal		5,183		2,229		1,135		1,530		1,524		1,322		1,365		974		1,001		884		792		646		641		576		530		380		284		279		503		21,778		91	%
BB		49		18		29		72		10		152		60		160		154		14		17		49		8		61		3		11		32		19		3		921		4	%
B		—		1		—		4		—		10		22		28		—		—		—		10		4		—		—		—		3		—		—		82		0	%
CCC, CC, C		—		—		1		8		—		1		2		5		—		—		—		2		—		—		—		8		7		—		—		34		0	%
D		—		—		—		—		—		1		—		—		—		—		—		—		—		—		—		—		—		—		—		1		0	%

Subtotal		49		19		30		84		10		164		84		193		154		14		17		61		12		61		3		19		42		19		3		1,038		4	%
Not Rated (b)		25		13		849		16		4		2		34		93		16		—		5		10		50		—		2		13		8		—		1		1,141		5	%

Total	$	5,257	$	2,261	$	2,014	$	1,630	$	1,538	$	1,488	$	1,483	$	1,260	$	1,171	$	898	$	814	$	717	$	703	$	637	$	535	$	412	$	334	$	298	$	507	$	23,957		100	%


	Fair Value By Industry
NAIC designation	Banking		Insurance		Other Financials		Technology		Asset Managers		Energy		Healthcare		Consumer		REITs		Utilities		Capital Goods		Basic Industry		Media		Autos		Communi- cations		Retailers		Restaurants, Hospitality & Leisure		Aviation		Other		Total		% Total
1	$	2,223	$	1,200	$	1,258	$	668	$	931	$	395	$	495	$	474	$	337	$	541	$	357	$	69	$	218	$	310	$	246	$	117	$	37	$	140	$	233	$	10,249		43	%
2		2,985		1,033		703		877		597		928		904		569		672		343		439		586		423		265		284		276		249		139		258		12,530		52	%

Subtotal		5,208		2,233		1,961		1,545		1,528		1,323		1,399		1,043		1,009		884		796		655		641		575		530		393		286		279		491		22,779		95	%
3		49		18		29		71		10		152		60		169		162		14		18		49		7		61		3		11		38		19		3		943		4	%
4		—		10		13		4		—		11		22		28		—		—		—		10		47		—		—		—		3		—		—		148		1	%
5		—		—		11		8		—		—		2		20		—		—		—		3		8		—		2		8		7		—		—		69		0	%
6		—		—		—		2		—		2		—		—		—		—		—		—		—		—		—		—		—		—		—		4		0	%

Subtotal		49		28		53		85		10		165		84		217		162		14		18		62		62		61		5		19		48		19		3		1,164		5	%
No designation (c)		—		—		—		—		—		—		—		—		—		—		—		—		—		1		—		—		—		—		13		14		0	%

Total	$	5,257	$	2,261	$	2,014	$	1,630	$	1,538	$	1,488	$	1,483	$	1,260	$	1,171	$	898	$	814	$	717	$	703	$	637	$	535	$	412	$	334	$	298	$	507	$	23,957		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.

(b)	84% are NAIC 1, 5% NAIC 2, 2% NAIC 3, 6% NAIC 4, 3% NAIC 5.

(c)	Primarily relates to securities held by non-insurance companies.

Page 36


Appendix E American Financial Group, Inc. Corporate Securities by Credit Rating & NAIC Designation by Industry 12/31/2019 ($ in millions)


	Fair Value By Industry
Credit Rating (a)	Banking		Insurance		Other Financials		Technology		Asset Managers		Energy		Healthcare		Consumer		REITs		Utilities		Capital Goods		Basic Industry		Media		Autos		Communi- cations		Retailers		Restaurants, Hospitality & Leisure		Aviation		Other		Total		% Total
Investment Grade
AAA	$	—	$	—	$	—	$	48	$	—	$	—	$	20	$	29	$	—	$	—	$	—	$	—	$	—	$	—	$	78	$	—	$	—	$	—	$	4	$	179		1	%
AA		219		308		72		146		205		204		98		114		—		—		1		—		—		35		—		22		20		46		77		1,567		7	%
A		2,482		921		326		471		775		260		425		258		352		450		333		44		112		278		176		89		18		166		131		8,067		34	%
BBB		2,691		1,034		656		862		576		1,199		753		673		845		291		424		556		454		334		264		209		206		133		245		12,405		52	%

Subtotal		5,392		2,263		1,054		1,527		1,556		1,663		1,296		1,074		1,197		741		758		600		566		647		518		320		244		345		457		22,218		94	%
BB		3		15		29		75		17		102		50		89		75		19		11		46		3		4		4		—		44		10		—		596		3	%
B		—		1		—		4		—		—		18		22		—		—		—		16		5		—		—		—		10		—		—		76		0	%
CCC, CC, C		—		—		1		9		—		1		—		2		—		—		—		—		—		—		—		12		17		—		—		42		0	%
D		—		—		—		—		—		1		—		—		—		—		—		—		—		—		—		—		—		—		—		1		0	%

Subtotal		3		16		30		88		17		104		68		113		75		19		11		62		8		4		4		12		71		10		—		715		3	%
Not Rated (b)		33		14		486		1		7		2		34		97		20		—		5		8		50		—		2		13		4		—		2		778		3	%

Total	$	5,428	$	2,293	$	1,570	$	1,616	$	1,580	$	1,769	$	1,398	$	1,284	$	1,292	$	760	$	774	$	670	$	624	$	651	$	524	$	345	$	319	$	355	$	459	$	23,711		100	%


	Fair Value By Industry
NAIC designation	Banking		Insurance		Other Financials		Technology		Asset Managers		Energy		Healthcare		Consumer		REITs		Utilities		Capital Goods		Basic Industry		Media		Autos		Communi- cations		Retailers		Restaurants, Hospitality & Leisure		Aviation		Other		Total		% Total
1	$	2,712	$	1,235	$	842	$	663	$	950	$	440	$	562	$	448	$	349	$	449	$	330	$	64	$	112	$	348	$	253	$	124	$	22	$	213	$	194	$	10,310		43	%
2		2,712		1,031		675		862		606		1,222		767		688		859		291		428		552		454		298		263		209		224		129		248		12,518		53	%

Subtotal		5,424		2,266		1,517		1,525		1,556		1,662		1,329		1,136		1,208		740		758		616		566		646		516		333		246		342		442		22,828		96	%
3		3		15		28		66		17		103		50		98		84		19		10		38		3		4		4		—		46		13		—		601		3	%
4		—		11		13		6		—		—		16		27		—		—		—		16		47		—		—		—		10		—		—		146		1	%
5		—		—		11		16		7		1		2		17		—		—		1		—		7		—		2		11		17		—		—		92		0	%
6		—		—		—		1		—		3		—		—		—		—		—		—		—		—		—		1		—		—		—		5		0	%

Subtotal		3		26		52		89		24		107		68		142		84		19		11		54		57		4		6		12		73		13		—		844		4	%
No designation (c)		1		1		1		2		—		—		1		6		—		1		5		—		1		1		2		—		—		—		17		39		0	%

Total	$	5,428	$	2,293	$	1,570	$	1,616	$	1,580	$	1,769	$	1,398	$	1,284	$	1,292	$	760	$	774	$	670	$	624	$	651	$	524	$	345	$	319	$	355	$	459	$	23,711		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.

(b)	74% are NAIC 1, 9% NAIC 2, 3% NAIC 3, 8% NAIC 4, 6% NAIC 5.

(c)	Primarily relates to securities held by non-insurance companies.

Page 37


Appendix F American Financial Group, Inc. Asset-Backed Securities by Credit Rating & NAIC Designation by Collateral Type 3/31/2020 ($ in millions)


	Fair Value By Collateral Type
Credit Rating (a)	CLOs		Secured Financing (c)		TruPS		Whole Business		Railcar		Commercial Real Estate		Single Family Rental		Aircraft		Mortgage Servicer Receivables		Consumer Loans		Life Ins/ Structured Settlements		Other		Total		% Total
Investment Grade
AAA	$	2,981	$	—	$	—	$	—	$	—	$	717	$	456	$	—	$	152	$	50	$	146	$	334	$	4,836		44	%
AA		912		318		929		97		—		48		120		—		29		101		—		66		2,620		24	%
A		212		78		294		22		591		—		10		306		—		14		3		444		1,974		18	%
BBB		22		10		47		580		12		—		—		—		29		—		1		23		724		7	%

Subtotal		4,127		406		1,270		699		603		765		586		306		210		165		150		867		10,154		93	%
BB		—		—		1		—		—		—		—		—		—		—		5		—		6		0	%
B		—		—		—		—		—		—		—		—		—		—		—		4		4		0	%
CCC, CC, C		—		—		—		—		—		—		—		5		—		—		3		—		8		0	%
D		—		—		—		—		—		—		—		—		—		—		—		—		—		0	%

Subtotal		—		—		1		—		—		—		—		5		—		—		8		4		18		0	%
Not Rated (b)		11		706		—		—		—		—		—		6		—		—		—		1		724		7	%

Total	$	4,138	$	1,112	$	1,271	$	699	$	603	$	765	$	586	$	317	$	210	$	165	$	158	$	872	$	10,896		100	%


	Fair Value By Collateral Type
NAIC designation	CLOs		Secured Financing (c)		TruPS		Whole Business		Railcar		Commercial Real Estate		Single Family Rental		Aircraft		Mortgage Servicer Receivables		Consumer Loans		Life Ins/ Structured Settlements		Other		Total		% Total
1	$	4,104	$	1,102	$	1,223	$	119	$	591	$	765	$	585	$	306	$	181	$	165	$	149	$	836	$	10,126		93	%
2		22		10		47		580		12		—		—		—		29		—		1		32		733		7	%

Subtotal		4,126		1,112		1,270		699		603		765		585		306		210		165		150		868		10,859		100	%
3		—		—		1		—		—		—		—		—		—		—		5		—		6		0	%
4		—		—		—		—		—		—		—		—		—		—		—		3		3		0	%
5		11		—		—		—		—		—		—		—		—		—		3		1		15		0	%
6		—		—		—		—		—		—		—		5		—		—		—		—		5		0	%

Subtotal		11		—		1		—		—		—		—		5		—		—		8		4		29		0	%
No designation (d)		1		—		—		—		—		—		1		6		—		—		—		—		8		0	%

Total	$	4,138	$	1,112	$	1,271	$	699	$	603	$	765	$	586	$	317	$	210	$	165	$	158	$	872	$	10,896		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.

(b)	98% of not rated securities are NAIC 1 or 2.

(c)	Secured Financings are privately placed funding agreements secured by assets including Single Family Rental properties, Bank Loans, Bank Trust Preferreds, Commercial and Residential Mortgages.

(d)	Primarily relates to securities held by non-insurance companies.

Page 38


Appendix G American Financial Group, Inc. Asset-Backed Securities by Credit Rating & NAIC Designation by Collateral Type 12/31/2019 ($ in millions)


	Fair Value By Collateral Type
Credit Rating (a)	CLOs		Secured Financing (c)		TruPS		Whole Business		Railcar		Commercial Real Estate		Single Family Rental		Aircraft		Mortgage Servicer Receivables		Consumer Loans		Life Ins/ Structured Settlements		Other		Total		% Total
Investment Grade
AAA	$	2,921	$	—	$	—	$	—	$	—	$	460	$	367	$	—	$	167	$	64	$	157	$	314	$	4,450		39	%
AA		1,074		311		990		92		—		52		106		—		34		110		—		84		2,853		25	%
A		241		78		326		22		602		—		11		442		—		17		3		482		2,224		19	%
BBB		27		10		53		599		—		—		—		—		38		—		1		41		769		7	%

Subtotal		4,263		399		1,369		713		602		512		484		442		239		191		161		921		10,296		90	%
BB		—		—		1		—		—		—		—		7		—		—		5		—		13		0	%
B		—		—		—		—		—		—		—		—		—		—		—		4		4		0	%
CCC, CC, C		—		—		—		—		—		—		—		—		—		—		3		1		4		0	%
D		—		—		—		—		—		—		—		—		—		—		—		—		—		0	%

Subtotal		—		—		1		—		—		—		—		7		—		—		8		5		21		0	%
Not Rated (b)		17		1,060		—		—		—		—		—		14		—		—		—		—		1,091		10	%

Total	$	4,280	$	1,459	$	1,370	$	713	$	602	$	512	$	484	$	463	$	239	$	191	$	169	$	926	$	11,408		100	%


	Fair Value By Collateral Type
NAIC designation	CLOs		Secured Financing (c)		TruPS		Whole Business		Railcar		Commercial Real Estate		Single Family Rental		Aircraft		Mortgage Servicer Receivables		Consumer Loans		Life Ins/ Structured Settlements		Other		Total		% Total
1	$	4,232	$	1,421	$	1,314	$	114	$	601	$	511	$	482	$	442	$	201	$	189	$	159	$	874	$	10,540		93	%
2		26		38		53		599		—		—		—		—		38		—		2		40		796		7	%

Subtotal		4,258		1,459		1,367		713		601		511		482		442		239		189		161		914		11,336		100	%
3		—		—		1		—		—		—		—		7		—		—		5		—		13		0	%
4		—		—		—		—		—		—		—		—		—		—		—		4		4		0	%
5		18		—		—		—		—		—		—		—		—		—		3		1		22		0	%
6		—		—		—		—		—		—		—		14		—		—		—		1		15		0	%

Subtotal		18		—		1		—		—		—		—		21		—		—		8		6		54		0	%
No designation (d)		4		—		2		—		1		1		2		—		—		2		—		6		18		0	%

Total	$	4,280	$	1,459	$	1,370	$	713	$	602	$	512	$	484	$	463	$	239	$	191	$	169	$	926	$	11,408		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.

(b)	97% of not rated securities are NAIC 1 or 2.

(c)	Secured Financings are privately placed funding agreements secured by assets including Single Family Rental properties, Bank Loans, Bank Trust Preferreds, Commercial and Residential Mortgages.

(d)	Primarily relates to securities held by non-insurance companies.

Page 39

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