Investor Supplement

EX-99.2 3 d916684dex992.htm INVESTOR SUPPLEMENT Investor Supplement

Exhibit 99.2



		American Financial Group, Inc.
		Investor Supplement - First Quarter 2015
		April 27, 2015 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 2015


Section	Page

Table of Contents - Investor Supplement - First Quarter 2015		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 and Quarterly Net Investment Income		21
Fixed Maturities - By Security Type - AFG Consolidated		22
Fixed Maturities - By Security Type Portfolio		23
Fixed Maturities - Credit Rating and NAIC Designation		24
Mortgage-Backed Securities - AFG Consolidated		25
Mortgage-Backed Securities Portfolio		26
Mortgage-Backed Securities - Credit Rating and NAIC Designation		27


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


	Three Months Ended															Twelve Months Ended
	03/31/15			12/31/14			09/30/14			06/30/14			03/31/14			12/31/14			12/31/13

Highlights
Core net operating earnings	$	112		$	122		$	127		$	99		$	91		$	439		$	385
Net earnings		19			127			116			106			103			452			471
Total assets		48,307			47,535			46,552			45,355			42,770			47,535			42,087
Adjusted shareholders’ equity (a)		4,267			4,277			4,300			4,298			4,191			4,277			4,109
Property and Casualty net written premiums		926			1,025			1,242			998			755			4,020			3,341
Annuity statutory premiums		813			971			809			949			967			3,696			4,033

Per share data
Core net operating earnings per share	$	1.25		$	1.35		$	1.40		$	1.07		$	1.00		$	4.82		$	4.22
Diluted earnings per share		0.21			1.41			1.28			1.15			1.13			4.97			5.16
Adjusted book value per share (a)		48.55			48.76			48.59			47.95			46.79			48.76			45.90

Cash dividends per common share		0.250			1.250			0.220			0.220			0.220			1.910			1.805

Financial ratios
Annualized core operating return on equity (b)		10.8	%		11.7	%		12.3	%		9.6	%		9.1	%		10.7	%		10.0	%
Annualized return on equity (b)		1.8	%		12.1	%		11.1	%		10.3	%		10.3	%		11.0	%		12.3	%

Property and Casualty combined ratio - Specialty:
Loss & LAE ratio		60.8	%		64.0	%		67.1	%		64.6	%		56.9	%		63.7	%		61.7	%
Underwriting expense ratio		32.8	%		28.6	%		26.7	%		32.3	%		35.3	%		30.2	%		31.8	%

Combined ratio - Specialty		93.6	%		92.6	%		93.8	%		96.9	%		92.2	%		93.9	%		93.5	%


Net spread on fixed annuities:
Net interest spread		2.67	%		2.64	%		2.77	%		2.92	%		2.81	%		2.78	%		2.94	%
Net spread earned:
Before impact of fair value accounting		1.49	%		1.54	%		1.50	%		1.64	%		1.58	%		1.56	%		1.52	%
Impact of fair value accounting (c)		(0.28	%)		(0.14	%)		(0.02	%)		(0.18	%)		(0.28	%)		(0.15	%)		0.08	%

After impact of fair value accounting		1.21	%		1.40	%		1.48	%		1.46	%		1.30	%		1.41	%		1.60	%

(a)	Excludes appropriated retained earnings and unrealized gains related to fixed maturity investments.

(b)	Excludes appropriated retained earnings and 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.


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


	Three Months Ended															Twelve Months Ended
	03/31/15			12/31/14			09/30/14			06/30/14			03/31/14			12/31/14			12/31/13
Property and Casualty Insurance
Underwriting profit	$	60		$	79		$	70		$	29		$	58		$	236		$	199
Net investment income		79			75			76			76			67			294			263
Other expense		(10	)		(13	)		(16	)		(8	)		(17	)		(54	)		(40	)

Property and Casualty Insurance operating earnings		129			141			130			97			108			476			422

Annuity earnings		75			85			86			84			73			328			328
Run-off Long-Term Care and Life (losses)/earnings		4			(7	)		1			(2	)		(2	)		(10	)		(10	)
Interest expense of parent holding companies		(19	)		(19	)		(17	)		(16	)		(17	)		(69	)		(68	)
Other expense		(22	)		(16	)		(13	)		(21	)		(24	)		(74	)		(100	)

Pre-tax core operating earnings		167			184			187			142			138			651			572

Income tax expense		55			62			60			43			47			212			187

Core net operating earnings		112			122			127			99			91			439			385

Non-core items, net of tax:
Realized gains on securities		12			5			8			7			12			32			138
Loss on sale of subsidiaries		(105	)		—			—			—			—			—			—
Significant A&E charges:
Property and Casualty Insurance run-off operations		—			—			(15	)		—			—			(15	)		(35	)
Former Railroad and Manufacturing operations		—			—			(4	)		—			—			(4	)		(14	)
ELNY guaranty fund assessments charge (a)		—			—			—			—			—			—			(3	)

Net earnings	$	19		$	127		$	116		$	106		$	103		$	452		$	471

(a)	The ELNY guaranty fund assessments charge represent guaranty fund assessments in connection with the insolvency and liquidation of Executive Life Insurance Company of New York, an unaffiliated life insurance company.

American Financial Group, Inc.

Earnings Per Share Summary

(in millions, except per share information)


	Three Months Ended												Twelve Months Ended
	03/31/15			12/31/14		09/30/14			06/30/14		03/31/14		12/31/14			12/31/13

Core net operating earnings	$	112		$	122	$	127		$	99	$	91	$	439		$	385


Net earnings	$	19		$	127	$	116		$	106	$	103	$	452		$	471


Average number of diluted shares		89.377			89.772		90.873			91.593		91.621		90.960			91.242

Diluted earnings per share:
Core net operating earnings per share	$	1.25		$	1.35	$	1.40		$	1.07	$	1.00	$	4.82		$	4.22

Realized gains on securities		0.14			0.06		0.09			0.08		0.13		0.36			1.52
Loss on sale of subsidiaries		(1.18	)		—		—			—		—		—			—
Significant A&E charges:
Property and Casualty Insurance run-off operations		—			—		(0.17	)		—		—		(0.17	)		(0.39	)
Former Railroad and Manufacturing operations		—			—		(0.04	)		—		—		(0.04	)		(0.15	)
ELNY guaranty fund assessments charge (a)		—			—		—			—		—		—			(0.04	)

Diluted earnings per share	$	0.21		$	1.41	$	1.28		$	1.15	$	1.13	$	4.97		$	5.16

(a)	The ELNY guaranty fund assessments charge represent guaranty fund assessments in connection with the insolvency and liquidation of Executive Life Insurance Company of New York, an unaffiliated life insurance company.


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


	Three Months Ended															Twelve Months Ended
	03/31/15			12/31/14			09/30/14			06/30/14			03/31/14			12/31/14			12/31/13

Property and Transportation	$	7		$	22		$	11		$	(18	)	$	6		$	21		$	12
Specialty Casualty		28			36			32			30			38			136			102
Specialty Financial		22			18			21			15			10			64			67
Other Specialty		3			3			6			2			5			16			25

Underwriting profit - Specialty		60			79			70			29			59			237			206

Other core charges, included in loss and LAE		—			—			—			—			1			1			7

Underwriting profit - Core		60			79			70			29			58			236			199

Special A&E charges, included in loss and LAE		—			—			(24	)		—			—			(24	)		(54	)

Underwriting profit - Property and Casualty Insurance	$	60		$	79		$	46		$	29		$	58		$	212		$	145


Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		6			3			3			10			12			28			31

Total current accident year catastrophe losses	$	6		$	3		$	3		$	10		$	12		$	28		$	31


Prior year loss reserve development (favorable) / adverse	$	(7	)	$	10		$	13		$	14		$	(31	)	$	6		$	(15	)


Combined ratio:
Property and Transportation		97.7	%		94.6	%		97.8	%		105.5	%		98.1	%		98.7	%		99.2	%
Specialty Casualty		94.2	%		92.9	%		93.3	%		93.6	%		87.8	%		92.3	%		90.9	%
Specialty Financial		81.7	%		85.6	%		81.6	%		87.6	%		91.0	%		86.5	%		85.6	%
Other Specialty		89.3	%		86.9	%		78.0	%		89.0	%		79.9	%		83.4	%		68.8	%
Combined ratio - Specialty		93.6	%		92.6	%		93.8	%		96.9	%		92.2	%		93.9	%		93.5	%

Other core charges		0.1	%		0.0	%		0.1	%		0.0	%		0.0	%		0.0	%		0.3	%
Special A&E charges		0.0	%		0.0	%		2.1	%		0.0	%		0.0	%		0.6	%		1.7	%

Combined ratio		93.7	%		92.6	%		96.0	%		96.9	%		92.2	%		94.5	%		95.5	%


Combined ratio excl. catastrophe and prior year development		93.8	%		91.4	%		94.5	%		94.4	%		94.8	%		93.7	%		94.9	%


Loss and LAE components - property and casualty insurance
Current accident year, excluding catastrophe loss		61.0	%		62.8	%		67.8	%		62.1	%		59.4	%		63.5	%		63.1	%
Prior accident year loss reserve development		(0.7	%)		1.0	%		1.2	%		1.4	%		(4.1	%)		0.1	%		(0.4	%)
Current accident year catastrophe loss		0.6	%		0.2	%		0.3	%		1.1	%		1.6	%		0.7	%		1.0	%

Loss and LAE ratio		60.9	%		64.0	%		69.3	%		64.6	%		56.9	%		64.3	%		63.7	%


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


	Three Months Ended															Twelve Months Ended
	03/31/15			12/31/14			09/30/14			06/30/14			03/31/14			12/31/14			12/31/13

Gross written premiums	$	1,196		$	1,303		$	1,859		$	1,291		$	1,024		$	5,477		$	4,805
Ceded reinsurance premiums		(270	)		(278	)		(617	)		(293	)		(269	)		(1,457	)		(1,464	)

Net written premiums		926			1,025			1,242			998			755			4,020			3,341
Change in unearned premiums		20			36			(110	)		(67	)		(1	)		(142	)		(137	)

Net earned premiums		946			1,061			1,132			931			754			3,878			3,204

Loss and LAE		576			679			760			602			428			2,469			1,979
Underwriting expense		310			303			302			300			267			1,172			1,019

Underwriting profit	$	60		$	79		$	70		$	29		$	59		$	237		$	206


Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		6			3			3			10			12			28			31

Total current accident year catastrophe losses	$	6		$	3		$	3		$	10		$	12		$	28		$	31


Prior year loss reserve development (favorable) / adverse	$	(7	)	$	10		$	(11	)	$	14		$	(32	)	$	(19	)	$	(75	)


Combined ratio:
Loss and LAE ratio		60.8	%		64.0	%		67.1	%		64.6	%		56.9	%		63.7	%		61.7	%
Underwriting expense ratio		32.8	%		28.6	%		26.7	%		32.3	%		35.3	%		30.2	%		31.8	%

Combined ratio		93.6	%		92.6	%		93.8	%		96.9	%		92.2	%		93.9	%		93.5	%


Combined ratio excl. catastrophe and prior year development		93.8	%		91.4	%		94.5	%		94.4	%		94.8	%		93.7	%		94.9	%


Loss and LAE components:
Current accident year, excluding catastrophe loss		61.0	%		62.8	%		67.8	%		62.1	%		59.5	%		63.5	%		63.1	%
Prior accident year loss reserve development		(0.8	%)		1.0	%		(1.0	%)		1.4	%		(4.2	%)		(0.5	%)		(2.4	%)
Current accident year catastrophe loss		0.6	%		0.2	%		0.3	%		1.1	%		1.6	%		0.7	%		1.0	%

Loss and LAE ratio		60.8	%		64.0	%		67.1	%		64.6	%		56.9	%		63.7	%		61.7	%


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


	Three Months Ended															Twelve Months Ended
	03/31/15			12/31/14			09/30/14			06/30/14			03/31/14			12/31/14			12/31/13

Gross written premiums	$	376		$	482		$	995		$	489		$	376		$	2,342		$	2,392
Ceded reinsurance premiums		(88	)		(109	)		(439	)		(136	)		(92	)		(776	)		(845	)

Net written premiums		288			373			556			353			284			1,566			1,547
Change in unearned premiums		25			42			(52	)		(29	)		17			(22	)		(26	)

Net earned premiums		313			415			504			324			301			1,544			1,521

Loss and LAE		211			299			407			248			201			1,155			1,142
Underwriting expense		95			94			86			94			94			368			367

Underwriting profit (loss)	$	7		$	22		$	11		$	(18	)	$	6		$	21		$	12


Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		4			2			1			8			9			20			27

Total current accident year catastrophe losses	$	4		$	2		$	1		$	8		$	9		$	20		$	27


Prior year loss reserve development (favorable) / adverse	$	3		$	3		$	(5	)	$	22		$	(4	)	$	16		$	(1	)


Combined ratio:
Loss and LAE ratio		67.5	%		72.2	%		80.7	%		76.4	%		67.0	%		74.9	%		75.1	%
Underwriting expense ratio		30.2	%		22.4	%		17.1	%		29.1	%		31.1	%		23.8	%		24.1	%

Combined ratio		97.7	%		94.6	%		97.8	%		105.5	%		98.1	%		98.7	%		99.2	%


Combined ratio excl. catastrophe and prior year development		95.4	%		93.7	%		98.5	%		96.2	%		96.4	%		96.4	%		97.5	%


Loss and LAE components:
Current accident year, excluding catastrophe loss		65.2	%		71.3	%		81.4	%		67.1	%		65.3	%		72.6	%		73.4	%
Prior accident year loss reserve development		1.1	%		0.6	%		(0.9	%)		6.6	%		(1.1	%)		1.0	%		(0.1	%)
Current accident year catastrophe loss		1.2	%		0.3	%		0.2	%		2.7	%		2.8	%		1.3	%		1.8	%

Loss and LAE ratio		67.5	%		72.2	%		80.7	%		76.4	%		67.0	%		74.9	%		75.1	%


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


	Three Months Ended															Twelve Months Ended
	03/31/15			12/31/14			09/30/14			06/30/14			03/31/14			12/31/14			12/31/13

Gross written premiums	$	683		$	660		$	707		$	655		$	507		$	2,529		$	1,790
Ceded reinsurance premiums		(182	)		(162	)		(171	)		(156	)		(176	)		(665	)		(566	)

Net written premiums		501			498			536			499			331			1,864			1,224
Change in unearned premiums		(11	)		1			(50	)		(32	)		(18	)		(99	)		(89	)

Net earned premiums		490			499			486			467			313			1,765			1,135

Loss and LAE		316			325			310			300			172			1,107			653
Underwriting expense		146			138			144			137			103			522			380

Underwriting profit	$	28		$	36		$	32		$	30		$	38		$	136		$	102


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

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


Prior year loss reserve development (favorable) / adverse	$	—		$	14		$	7		$	(4	)	$	(24	)	$	(7	)	$	(40	)


Combined ratio:
Loss and LAE ratio		64.4	%		65.1	%		63.7	%		64.3	%		55.0	%		62.7	%		57.5	%
Underwriting expense ratio		29.8	%		27.8	%		29.6	%		29.3	%		32.8	%		29.6	%		33.4	%

Combined ratio		94.2	%		92.9	%		93.3	%		93.6	%		87.8	%		92.3	%		90.9	%


Combined ratio excl. catastrophe and prior year development		93.9	%		89.9	%		91.6	%		94.3	%		95.1	%		92.5	%		94.4	%


Loss and LAE components:
Current accident year, excluding catastrophe loss		64.1	%		62.1	%		62.0	%		65.0	%		62.3	%		62.9	%		61.0	%
Prior accident year loss reserve development		0.0	%		2.9	%		1.3	%		(0.8	%)		(7.7	%)		(0.4	%)		(3.6	%)
Current accident year catastrophe loss		0.3	%		0.1	%		0.4	%		0.1	%		0.4	%		0.2	%		0.1	%

Loss and LAE ratio		64.4	%		65.1	%		63.7	%		64.3	%		55.0	%		62.7	%		57.5	%


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


	Three Months Ended															Twelve Months Ended
	03/31/15			12/31/14			09/30/14			06/30/14			03/31/14			12/31/14			12/31/13

Gross written premiums	$	137		$	160		$	157		$	147		$	141		$	605		$	622
Ceded reinsurance premiums		(22	)		(29	)		(36	)		(27	)		(25	)		(117	)		(136	)

Net written premiums		115			131			121			120			116			488			486
Change in unearned premiums		5			(10	)		(6	)		(4	)		1			(19	)		(17	)

Net earned premiums		120			121			115			116			117			469			469

Loss and LAE		36			42			32			40			45			159			158
Underwriting expense		62			61			62			61			62			246			244

Underwriting profit	$	22		$	18		$	21		$	15		$	10		$	64		$	67


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

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


Prior year loss reserve development (favorable) / adverse	$	(9	)	$	(4	)	$	(10	)	$	(2	)	$	(1	)	$	(17	)	$	(14	)


Combined ratio:
Loss and LAE ratio		30.4	%		34.5	%		27.7	%		35.3	%		37.9	%		33.9	%		33.5	%
Underwriting expense ratio		51.3	%		51.1	%		53.9	%		52.3	%		53.1	%		52.6	%		52.1	%

Combined ratio		81.7	%		85.6	%		81.6	%		87.6	%		91.0	%		86.5	%		85.6	%


Combined ratio excl. catastrophe and prior year development		88.5	%		88.8	%		90.3	%		88.6	%		90.2	%		89.5	%		88.0	%


Loss and LAE components:
Current accident year, excluding catastrophe loss		37.2	%		37.7	%		36.4	%		36.3	%		37.1	%		36.9	%		35.9	%
Prior accident year loss reserve development		(7.3	%)		(3.3	%)		(9.0	%)		(1.8	%)		(0.7	%)		(3.7	%)		(3.0	%)
Current accident year catastrophe loss		0.5	%		0.1	%		0.3	%		0.8	%		1.5	%		0.7	%		0.6	%

Loss and LAE ratio		30.4	%		34.5	%		27.7	%		35.3	%		37.9	%		33.9	%		33.5	%

American Financial Group, Inc.

Other Specialty - Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Twelve Months Ended
	03/31/15			12/31/14			09/30/14			06/30/14			03/31/14			12/31/14			12/31/13

Gross written premiums	$	—		$	1		$	—		$	—		$	—		$	1		$	1
Ceded reinsurance premiums		22			22			29			26			24			101			83

Net written premiums		22			23			29			26			24			102			84
Change in unearned premiums		1			3			(2	)		(2	)		(1	)		(2	)		(5	)

Net earned premiums		23			26			27			24			23			100			79

Loss and LAE		13			13			11			14			10			48			26
Underwriting expense		7			10			10			8			8			36			28

Underwriting profit	$	3		$	3		$	6		$	2		$	5		$	16		$	25


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

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


Prior year loss reserve development (favorable) / adverse	$	(1	)	$	(3	)	$	(3	)	$	(2	)	$	(3	)	$	(11	)	$	(20	)


Combined ratio:
Loss and LAE ratio		54.4	%		49.6	%		43.4	%		53.2	%		45.8	%		47.9	%		32.9	%
Underwriting expense ratio		34.9	%		37.3	%		34.6	%		35.8	%		34.1	%		35.5	%		35.9	%

Combined ratio		89.3	%		86.9	%		78.0	%		89.0	%		79.9	%		83.4	%		68.8	%


Combined ratio excl. catastrophe and prior year development		96.6	%		97.4	%		85.6	%		97.1	%		91.4	%		92.8	%		93.6	%

American Financial Group, Inc.

Annuity Earnings (GAAP)

($ in millions)


	Three Months Ended															Twelve Months Ended
	03/31/15			12/31/14			09/30/14			06/30/14			03/31/14			12/31/14			12/31/13

Net investment income	$	292		$	285		$	287		$	289		$	275		$	1,136		$	1,034
Guaranteed withdrawal benefit fees		10			9			9			8			8			34			25
Policy charges and other miscellaneous income		14			12			11			11			10			44			42


Total revenues		316			306			307			308			293			1,214			1,101

Annuity benefits expense		184			157			157			166			168			648			531
Acquisition expenses		34			47			41			37			31			156			149
Other expenses		23			17			23			21			21			82			93


Total costs and expenses		241			221			221			224			220			886			773


Core Annuity earnings before income taxes		75			85			86			84			73			328			328

ELNY guaranty fund assessments charge before income tax (a)		—			—			—			—			—			—			(5	)


Annuity earnings before income taxes	$	75		$	85		$	86		$	84		$	73		$	328		$	323


Detail of core Annuity earnings before income taxes
Core earnings before income taxes and impact of fair value accounting	$	92		$	93		$	87		$	94		$	88		$	362		$	313
Impact of fair value accounting (b)		(17	)		(8	)		(1	)		(10	)		(15	)		(34	)		15

Core Annuity earnings before income taxes	$	75		$	85		$	86		$	84		$	73		$	328		$	328

(a)	The ELNY guaranty fund assessments charge represent guaranty fund assessments in connection with the insolvency and liquidation of Executive Life Insurance Company of New York, an unaffiliated life insurance company.

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

American Financial Group, Inc.

Detail of Annuity Benefits Expense (GAAP)

($ in millions)


	Three Months Ended															Twelve Months Ended
	03/31/15			12/31/14			09/30/14			06/30/14			03/31/14			12/31/14			12/31/13

Detail of annuity benefits expense:
Interest credited - fixed	$	128		$	127		$	126		$	123		$	121		$	497		$	451
Interest credited - fixed component of variable annuities		1			1			2			2			1			6			6
Change in expected death and annuitization reserve		4			4			5			5			4			18			19
Amortization of sales inducements		7			6			7			6			7			26			30
Guaranteed withdrawal benefit reserve		12			11			12			10			8			41			38
Change in other benefit reserves		2			1			3			5			3			12			7
Unlockings (a)		—			(11	)		—			—			—			(11	)		6

Subtotal before impact of fair value accounting		154			139			155			151			144			589			557

Embedded derivative mark-to-market (b)		50			87			21			78			54			240			184
Equity option mark-to-market		(20	)		(69	)		(19	)		(63	)		(30	)		(181	)		(210	)

Subtotal impact of fair value accounting		30			18			2			15			24			59			(26	)


Total annuity benefits expense	$	184		$	157		$	157		$	166		$	168		$	648		$	531

(a)

Includes unlockings for fixed indexed annuity embedded derivative reserves, sales inducement asset and other reserves. Does not include unlocking charge of $10mm in 2014 and income of $4mm in 2013 for deferred policy acquisition costs and unearned revenue reserves. These unlockings are included in acquisition expenses. In total AFG recorded an unlocking expense reduction of $1mm in 2014 and an unlocking charge of $2mm in 2013.

(b)	Excludes unlocking impact of ($58) million in 2014 and ($2) million in 2013.

American Financial Group, Inc.

Net Spread on Fixed Annuities (GAAP)

($ in millions)


	Three Months Ended															Twelve Months Ended
	03/31/15			12/31/14			09/30/14			06/30/14			03/31/14			12/31/14			12/31/13

Average fixed annuity investments (at amortized cost)	$	23,943		$	23,334		$	22,730		$	22,098		$	21,402		$	22,391		$	19,151
Average annuity benefits accumulated		23,752			23,104			22,475			21,829			21,066			22,119			18,696

Investments in excess of annuity benefits accumulated	$	191		$	230		$	255		$	269		$	336		$	272		$	455


As % of average annuity benefits accumulated (except as noted)
Net investment income (as % of investments)		4.83	%		4.85	%		5.01	%		5.18	%		5.10	%		5.03	%		5.35	%
Interest credited		(2.16	%)		(2.21	%)		(2.24	%)		(2.26	%)		(2.29	%)		(2.25	%)		(2.41	%)

Net interest spread on fixed annuities		2.67	%		2.64	%		2.77	%		2.92	%		2.81	%		2.78	%		2.94	%

Policy charges and other miscellaneous income		0.20	%		0.14	%		0.14	%		0.14	%		0.13	%		0.14	%		0.16	%
Other annuity benefit expenses, net		(0.25	%)		(0.20	%)		(0.33	%)		(0.33	%)		(0.27	%)		(0.28	%)		(0.37	%)
Acquisition expenses		(0.55	%)		(0.61	%)		(0.69	%)		(0.64	%)		(0.55	%)		(0.63	%)		(0.79	%)
Other expenses		(0.36	%)		(0.28	%)		(0.37	%)		(0.36	%)		(0.37	%)		(0.34	%)		(0.46	%)
Change in fair value of derivatives		(0.50	%)		(0.31	%)		(0.04	%)		(0.27	%)		(0.45	%)		(0.27	%)		0.13	%
Unlockings		0.00	%		0.02	%		0.00	%		0.00	%		0.00	%		0.01	%		(0.01	%)

Net spread earned on fixed annuities - core		1.21	%		1.40	%		1.48	%		1.46	%		1.30	%		1.41	%		1.60	%


Average annuity benefits accumulated	$	23,752		$	23,104		$	22,475		$	21,829		$	21,066		$	22,119		$	18,696
Net spread earned on fixed annuities		1.21	%		1.40	%		1.48	%		1.46	%		1.30	%		1.41	%		1.60	%

Earnings on fixed annuity benefits accumulated	$	72		$	81		$	83		$	80		$	68		$	312		$	300

Investments in excess of annuity benefits accumulated	$	191		$	230		$	255		$	269		$	336		$	272		$	455
Net investment income (as % of investments)		4.83	%		4.85	%		5.01	%		5.18	%		5.10	%		5.03	%		5.35	%

Earnings on investments in excess of annuity benefits accumulated	$	2		$	3		$	3		$	3		$	5			14			24

Variable annuity earnings		1			1			—			1			—			2			4

Earnings before income taxes - core	$	75		$	85		$	86		$	84		$	73		$	328		$	328


Detail of net spread earned on fixed annuities - core
Net spread earned core - before impact of fair value accounting		1.49	%		1.54	%		1.50	%		1.64	%		1.58	%		1.56	%		1.52	%
Impact of fair value accounting (a)		(0.28	%)		(0.14	%)		(0.02	%)		(0.18	%)		(0.28	%)		(0.15	%)		0.08	%

Net spread earned core - after impact of fair value accounting		1.21	%		1.40	%		1.48	%		1.46	%		1.30	%		1.41	%		1.60	%

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

American Financial Group

Annuity Premiums (Statutory)

($ in millions)


	Three Months Ended										Twelve Months Ended
	03/31/15		12/31/14		09/30/14		06/30/14		03/31/14		12/31/14		12/31/13

Retail single premium annuities - indexed	$	349	$	405	$	339	$	403	$	386	$	1,533	$	1,879
Retail single premium annuities - fixed		12		19		18		25		39		101		165
Financial institutions single premium annuities - indexed		356		426		333		364		366		1,489		1,102
Financial institutions single premium annuities - fixed		38		61		62		95		114		332		628
Education market - fixed and indexed annuities		47		49		46		49		50		194		207

Subtotal fixed annuity premiums		802		960		798		936		955		3,649		3,981

Variable annuities		11		11		11		13		12		47		52

Total annuity premiums	$	813	$	971	$	809	$	949	$	967	$	3,696	$	4,033

American Financial Group, Inc.

Fixed Annuity Benefits Accumulated (GAAP)

($ in millions)


	Three Months Ended															Twelve Months Ended
	03/31/15			12/31/14			09/30/14			06/30/14			03/31/14			12/31/14			12/31/13

Beginning fixed annuity reserves	$	23,462		$	22,745		$	22,205		$	21,453		$	20,679		$	20,679		$	17,274
Premiums		802			960			798			936			955			3,649			3,981
Federal Home Loan Bank advances		—			—			—			—			—			—			200
Surrenders, benefits and other withdrawals		(420	)		(464	)		(426	)		(408	)		(375	)		(1,673	)		(1,493	)
Interest and other annuity benefit expenses:
Interest credited		128			127			126			123			121			497			451
Embedded derivative mark-to-market		50			87			21			78			54			240			184
Change in other benefit reserves		20			18			21			23			19			81			78
Unlockings		—			(11	)		—			—			—			(11	)		4

Ending fixed annuity reserves	$	24,042		$	23,462		$	22,745		$	22,205		$	21,453		$	23,462		$	20,679


Reconciliation to annuity benefits accumulated:
Ending fixed annuity reserves	$	24,042		$	23,462		$	22,745		$	22,205		$	21,453		$	23,462		$	20,679
Impact of unrealized investment gains on reserves		179			111			107			117			97			111			71
Fixed component of variable annuities		190			191			192			194			194			191			194

Annuity benefits accumulated per balance sheet	$	24,411		$	23,764		$	23,044		$	22,516		$	21,744		$	23,764		$	20,944


Annualized surrenders and other withdrawals as a % of beginning reserves		7.2	%		8.2	%		7.7	%		7.6	%		7.3	%		8.1	%		8.6	%

American Financial Group, Inc.

Consolidated Balance Sheet

($ in millions)


	03/31/15			12/31/14			09/30/14			06/30/14			03/31/14			12/31/13
Assets:
Total cash and investments	$	37,384		$	36,210		$	35,151		$	34,843		$	32,727		$	31,313
Recoverables from reinsurers		3,046			3,238			3,134			3,107			2,969			3,157
Prepaid reinsurance premiums		475			469			587			489			438			408
Agents’ balances and premiums receivable		864			889			901			902			735			739
Deferred policy acquisition costs		756			821			858			806			890			975
Assets of managed investment entities		3,279			3,108			2,946			2,799			2,723			2,888
Other receivables		641			910			1,140			527			524			854
Variable annuity assets (separate accounts)		667			662			649			681			666			665
Other assets		994			1,027			985			1,001			913			903
Goodwill		201			201			201			200			185			185

Total assets	$	48,307		$	47,535		$	46,552		$	45,355		$	42,770		$	42,087


Liabilities and Equity:
Unpaid losses and loss adjustment expenses	$	7,636		$	7,872		$	7,645		$	7,370		$	6,134		$	6,410
Unearned premiums		1,936			1,956			2,114			1,911			1,788			1,757
Annuity benefits accumulated		24,411			23,764			23,044			22,516			21,744			20,944
Life, accident and health reserves		2,195			2,175			2,098			2,082			2,039			2,008
Payable to reinsurers		494			645			673			445			400			508
Liabilities of managed investment entities		2,952			2,819			2,625			2,499			2,413			2,567
Long-term debt		1,061			1,061			1,062			912			913			913
Variable annuity liabilities (separate accounts)		667			662			649			681			666			665
Other liabilities		1,855			1,527			1,564			1,781			1,700			1,546

Total liabilities	$	43,207		$	42,481		$	41,474		$	40,197		$	37,797		$	37,318

Shareholders’ equity:
Common stock	$	88		$	88		$	88		$	90		$	90		$	90
Capital surplus		1,173			1,152			1,150			1,152			1,138			1,123
Appropriated retained earnings		—			(2	)		2			31			49			49
Unappropriated retained earnings		2,886			2,914			2,946			2,913			2,842			2,777
Unrealized gains - fixed maturities		656			604			602			656			556			441
Unrealized gains - equities		143			139			124			149			129			121
Other comprehensive income, net of tax		(23	)		(16	)		(8	)		(6	)		(8	)		(2	)

Total shareholders’ equity		4,923			4,879			4,904			4,985			4,796			4,599

Noncontrolling interests		177			175			174			173			177			170

Total liabilities and equity	$	48,307		$	47,535		$	46,552		$	45,355		$	42,770		$	42,087

American Financial Group, Inc.

Book Value Per Share and Price / Book Summary

(in millions, except per share information)


	03/31/15			12/31/14			09/30/14			06/30/14			03/31/14			12/31/13

Shareholders’ equity	$	4,923		$	4,879		$	4,904		$	4,985		$	4,796		$	4,599
Appropriated retained earnings		—			2			(2	)		(31	)		(49	)		(49	)

Shareholders’ equity, excluding appropriated retained earnings		4,923			4,881			4,902			4,954			4,747			4,550
Unrealized (gains) on fixed maturities		(656	)		(604	)		(602	)		(656	)		(556	)		(441	)

Adjusted shareholders’ equity		4,267			4,277			4,300			4,298			4,191			4,109
Goodwill		(201	)		(201	)		(201	)		(200	)		(185	)		(185	)
Intangibles		(55	)		(57	)		(63	)		(66	)		(27	)		(22	)

Tangible adjusted shareholders’ equity	$	4,011		$	4,019		$	4,036		$	4,032		$	3,979		$	3,902


Common shares outstanding		87.886			87.709			88.491			89.618			89.589			89.513

Book value per share:
Excluding appropriated retained earnings (a)	$	56.01		$	55.65		$	55.39		$	55.27		$	52.99		$	50.83
Adjusted (b)		48.55			48.76			48.59			47.95			46.79			45.90
Tangible, adjusted (c)		45.63			45.82			45.61			44.99			44.42			43.59

Market capitalization

AFG’s closing common share price	$	64.15		$	60.72		$	57.89		$	59.56		$	57.71		$	57.72

Market capitalization	$	5,638		$	5,326		$	5,123		$	5,338		$	5,170		$	5,167

Price / Adjusted book value ratio		1.32			1.25			1.19			1.24			1.23			1.26

(a)	Excludes appropriated retained earnings.

(b)	Excludes appropriated retained earnings and unrealized gains related to fixed maturity investments.

(c)	Excludes appropriated retained earnings, unrealized gains related to fixed maturity investments, goodwill and intangibles.

American Financial Group, Inc.

Capitalization

($ in millions)


	03/31/15			12/31/14			09/30/14			06/30/14			03/31/14			12/31/13

AFG senior obligations	$	840		$	840		$	840		$	840		$	840		$	840
Borrowings drawn under credit facility		—			—			—			—			—			—
Obligations of subsidiaries - other		12			12			12			12			12			12

Debt excluding subordinated debt & debt secured by real estate	$	852		$	852		$	852		$	852		$	852		$	852

AFG subordinated debentures		150			150			150			—			—			—
Obligations of subsidiaries - secured by real estate		59			59			60			60			61			61
Payable to subsidiary trusts - subordinated		—			—			—			—			—			—

Total Long-term debt	$	1,061		$	1,061		$	1,062		$	912		$	913		$	913

Shareholders’ equity		4,923			4,879			4,904			4,985			4,796			4,599
Noncontrolling interests		177			175			174			173			177			170
Less:
Appropriated retained earnings		—			2			(2	)		(31	)		(49	)		(49	)
Unrealized gains related to fixed maturity investments		(656	)		(604	)		(602	)		(656	)		(556	)		(441	)

Total adjusted capital	$	5,505		$	5,513		$	5,536		$	5,383		$	5,281		$	5,192


Less:
Obligations of subsidiaries - secured by real estate		(59	)		(59	)		(60	)		(60	)		(61	)		(61	)

Total adjusted capital excluding obligations secured by real estate	$	5,446		$	5,454		$	5,476		$	5,323		$	5,220		$	5,131


Ratio of debt to total adjusted capital:
Including subordinated debt & debt secured by real estate		19.3	%		19.2	%		19.2	%		16.9	%		17.3	%		17.6	%
Excluding subordinated debt & debt secured by real estate		15.6	%		15.6	%		15.6	%		16.0	%		16.3	%		16.6	%

American Financial Group, Inc.

Additional Supplemental Information

($ in millions)


	Three Months Ended										Twelve Months Ended
	03/31/15		12/31/14		09/30/14		06/30/14		03/31/14		12/31/14		12/31/13
Property and Casualty Insurance

Paid Losses (GAAP)	$	617	$	562	$	528	$	530	$	510	$	2,130	$	1,871


	03/31/15		12/31/14		09/30/14		06/30/14		03/31/14		12/31/2013
Statutory Surplus

Property and Casualty Insurance	$	2,340	$	2,286	$	2,206	$	2,227	$	1,981	$	1,896

AFG’s principal annuity subsidiaries (total adjusted capital)	$	1,861	$	1,822	$	1,818	$	1,751	$	1,688	$	1,661

Allowable dividends without regulatory approval

Property and Casualty Insurance	$	315	$	315	$	335	$	335	$	335	$	335
Annuity and Run-off		358		358		275		275		275		275

Total	$	673	$	673	$	610	$	610	$	610	$	610

American Financial Group, Inc.

Total Cash and Investments and Quarterly Net Investment Income

March 31, 2015

($ in millions)


	Carrying Value
	Property and Casualty Insurance		Annuity and Run-off*		Other		Consolidate CLOs			Total AFG Consolidated		% of Investment Portfolio
Total cash and investments:
Cash and cash equivalents	$	659	$	249	$	304	$	—		$	1,212		3	%
Fixed maturities - Available for sale		6,671		25,283		14		—			31,968		85	%
Fixed maturities - Trading		147		126		—		—			273		1	%
Equity securities		1,160		504		46		—			1,710		5	%
Policy loans		—		226		—		—			226		1	%
Mortgage loans		230		861		—		—			1,091		3	%
Real estate and other investments		419		792		18		(325	)		904		2	%

Total cash and investments	$	9,286	$	28,041	$	382	$	(325	)	$	37,384		100	%

*	Total cash and investments in Annuity and Run-off segment includes $1.40 billion in cash and investments held by AFG’s two long-term care insurance subsidiaries, which are being sold.


	Property and Casualty Insurance			Annuity and Run-off			Other		Consolidate CLOs			Total AFG Consolidated
Total quarterly net investment income:
Fixed maturities - Available for sale	$	61		$	285		$	—	$	—		$	346
Fixed maturities - Trading		4			2			—		—			6
Equity securities		10			7			—		—			17
Equity in investees		1			2			—		—			3
Other investments		5			19			—		(3	)		21

Gross investment income		81			315			—		(3	)		393

Investment expenses		(2	)		(3	)		—		—			(5	)

Total net investment income	$	79		$	312		$	—	$	(3	)	$	388


	Equity Securities
	Cost		Fair Value		Unrealized Gain (Loss)

Annuity and Run-off	$	442	$	504	$	62
Property and Casualty Insurance		998		1,160		162
Other		46		46		—

Total AFG consolidated	$	1,486	$	1,710	$	224

American Financial Group, Inc.

Fixed Maturities - By Security Type - AFG Consolidated

March 31, 2015

($ in millions )


	Amortized Cost			Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Investment Portfolio
US Government and government agencies	$	338		$	345	$	7		1	%		1	%
States, municipalities and political subdivisions		6,744			7,137		393		22	%		19	%
Foreign government		256			268		12		1	%		1	%
Residential mortgage-backed securities		3,941			4,332		391		13	%		12	%
Commercial mortgage-backed securities		2,251			2,407		156		7	%		6	%
Asset-backed securities		4,176			4,225		49		13	%		11	%
Corporate bonds
Manufacturing		2,286			2,447		161		8	%		6	%
Banks, lending and credit institutions		2,774			2,944		170		9	%		8	%
Gas and electric services		1,330			1,461		131		5	%		4	%
Insurance and insurance related		931			1,009		78		3	%		3	%
Other corporate		5,336			5,666		330		18	%		15	%

Total AFG consolidated	$	30,363		$	32,241	$	1,878		100	%		86	%


Annuity and Run-off	$	23,758		$	25,409		1,651		79	%		68	%
Property and Casualty Insurance		6,602			6,818		216		21	%		18	%
Other		3			14		11		0	%		0	%

Total AFG consolidated	$	30,363		$	32,241	$	1,878		100	%		86	%


Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		4.68	%
Net of investment expense (a)		4.62	%

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.

American Financial Group, Inc.

Fixed Maturities - By Security Type Portfolio

March 31, 2015

($ in millions )


	Amortized Cost			Fair Value		Unrealized Gain (Loss)		% of Fair Value
Annuity and Run-off:
US Government and government agencies	$	83		$	85	$	2		0	%
States, municipalities and political subdivisions		4,030			4,326		296		17	%
Foreign government		17			20		3		0	%
Residential mortgage-backed securities		2,960			3,283		323		13	%
Commercial mortgage-backed securities		2,011			2,157		146		9	%
Asset-backed securities		2,946			2,987		41		12	%
Corporate debt		11,711			12,551		840		49	%

Total Annuity and Run-off	$	23,758		$	25,409	$	1,651		100	%


Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		4.91	%
Net of investment expense (a)		4.86	%

Approximate average life and duration:
Approximate average life		7 years
Approximate duration		5 years

	Amortized Cost			Fair Value		Unrealized Gain (Loss)		% of Fair Value
Property and Casualty Insurance:
US Government and government agencies	$	253		$	258	$	5		4	%
States, municipalities and political subdivisions		2,714			2,811		97		41	%
Foreign government		239			248		9		4	%
Residential mortgage-backed securities		980			1,037		57		15	%
Commercial mortgage-backed securities		240			250		10		4	%
Asset-backed securities		1,230			1,238		8		18	%
Corporate debt		946			976		30		14	%

Property and Casualty Insurance	$	6,602		$	6,818	$	216		100	%


Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		3.84	%
Net of investment expense (a)		3.72	%
Tax equivalent, net of investment expense (b)		4.34	%

Approximate average life and duration:
Approximate average life		4.5 years
Approximate duration		3.5 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.

American Financial Group, Inc.

Fixed Maturities - Credit Rating and NAIC Designation

March 31, 2015

($ in millions)


	GAAP Data
By Credit Rating	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value
Investment grade
AAA	$	6,655	$	6,930	$	275		22	%
AA		6,447		6,792		345		21	%
A		7,614		8,132		518		25	%
BBB		5,750		6,129		379		19	%

Subtotal - Investment grade		26,466		27,983		1,517		87	%

BB		835		868		33		3	%
B		440		448		8		1	%
Other		2,622		2,942		320		9	%

Total	$	30,363	$	32,241	$	1,878		100	%

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.


	Statutory Data
By NAIC Designation	Carrying Value		% of Carrying Value			Amortized Cost		Fair Value		Unrealized Gain (Loss)
NAIC 1	$	23,340		78	%	$	23,341	$	24,813	$	1,472
NAIC 2		5,792		19	%		5,792		6,167		375

		29,132		97	%		29,133		30,980		1,847

NAIC 3		695		2	%		695		720		25
NAIC 4		191		1	%		194		195		1
NAIC 5		49		0	%		51		61		10
NAIC 6		34		0	%		37		54		17

Total	$	30,101		100	%	$	30,110	$	32,010	$	1,900

American Financial Group, Inc.

Mortgage-Backed Securities - AFG Consolidated

March 31, 2015

($ in millions)


By Asset Type	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Investment Portfolio
Residential
Agency	$	311	$	326	$	15		5	%		1	%
Prime (Non-Agency)		1,835		2,043		208		30	%		5	%
Alt-A		920		1,022		102		15	%		3	%
Subprime		875		941		66		14	%		3	%

Subtotal - Residential		3,941		4,332		391		64	%		12	%
Commercial		2,251		2,407		156		36	%		6	%

Total AFG consolidated	$	6,192	$	6,739	$	547		100	%		18	%


Annuity and Run-off	$	4,971	$	5,440	$	469		81	%		15	%
Property and Casualty Insurance		1,220		1,287		67		19	%		3	%
Other		1		12		11		0	%		0	%

Total AFG consolidated	$	6,192	$	6,739	$	547		100	%		18	%

•

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 83%; Alt-A 78%; Subprime 86%; CMBS 99%.

•

The average FICO score of our residential MBS securities is - Prime 741; Alt-A 712; Subprime 638.

•

99.7% of our Commercial MBS portfolio is investment-grade rated (85% AAA) and the average subordination for this group assets is 38%.

•

The approximate average life by collateral type is - Residential 5.0 years; Commercial 3.5 years.

American Financial Group, Inc.

Mortgage-Backed Securities Portfolio

March 31, 2015

($ in millions)

Annuity and Run-off:


By Asset Type	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Investment Portfolio
Residential
Agency	$	131	$	141	$	10		2	%		1	%
Prime (Non-Agency)		1,605		1,786		181		33	%		6	%
Alt-A		677		760		83		14	%		3	%
Subprime		547		596		49		11	%		2	%

Subtotal - Residential		2,960		3,283		323		60	%		12	%
Commercial		2,011		2,157		146		40	%		8	%

Total Annuity and Run-off	$	4,971	$	5,440	$	469		100	%		20	%


Property and Casualty Insurance:

By Asset Type	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Investment Portfolio
Residential
Agency	$	180	$	185	$	5		14	%		2	%
Prime (Non-Agency)		229		245		16		19	%		3	%
Alt-A		243		262		19		20	%		3	%
Subprime		328		345		17		27	%		4	%

Subtotal - Residential		980		1,037		57		80	%		12	%
Commercial		240		250		10		20	%		3	%

Total Property and Casualty Insurance	$	1,220	$	1,287	$	67		100	%		15	%

American Financial Group, Inc.

Mortgage-Backed Securities - Credit Rating and NAIC Designation

March 31, 2015

($ in millions)


	GAAP data
By Credit Rating	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value
Investment grade
AAA	$	2,669	$	2,841	$	172		42	%
AA		327		342		15		5	%
A		464		490		26		7	%
BBB		230		249		19		4	%

Subtotal - investment grade		3,690		3,922		232		58	%

BB		307		321		14		5	%
B		356		366		10		5	%
Other		1,839		2,130		291		32	%

Total	$	6,192	$	6,739	$	547		100	%

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.


	Statutory data
By NAIC Designation	Carrying Value		% of Carrying Value			Amortized Cost		Fair Value		Unrealized Gain (Loss)
NAIC 1	$	5,908		97	%	$	5,909	$	6,477	$	568
NAIC 2		61		1	%		61		63		2

		5,969		98	%		5,970		6,540		570

NAIC 3		48		1	%		48		49		1
NAIC 4		68		1	%		68		72		4
NAIC 5		22		0	%		22		35		13
NAIC 6		2		0	%		2		17		15

Total	$	6,109		100	%	$	6,110	$	6,713	$	603