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

Attached files

file	filename
8-K - CURRENT REPORT - AMERICAN FINANCIAL GROUP INC	d187531d8k.htm
EX-99.1 - EARNINGS RELEASE - AMERICAN FINANCIAL GROUP INC	d187531dex991.htm

Exhibit 99.2

American Financial Group, Inc.

Investor Supplement - First Quarter 2016

May 2, 2016

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 2016


Section	Page

Table of Contents - Investor Supplement - First Quarter 2016		2
Financial Highlights		3
Summary of Earnings		4
Earnings Per Share Summary		5

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

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

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

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

Appendix
A. Fixed Maturities - Credit Rating by Type		29

American Financial Group, Inc.

Financial Highlights

(in millions, except per share information)


	Three Months Ended															Twelve Months Ended
	03/31/16			12/31/15			09/30/15			06/30/15			03/31/15			12/31/15			12/31/14

Highlights
Core net operating earnings	$	111		$	136		$	123		$	115		$	112		$	486		$	439
Net earnings		101			129			63			141			19			352			452
Total assets		51,038			49,837			50,540			49,403			48,285			49,837			47,513
Adjusted shareholders’ equity (a)		4,329			4,314			4,279			4,345			4,267			4,314			4,277
Property and Casualty net written premiums		979			1,056			1,319			1,026			926			4,327			4,020
Annuity statutory premiums		1,285			1,107			1,321			899			813			4,140			3,696

Per share data
Core net operating earnings per share	$	1.25		$	1.52		$	1.38		$	1.28		$	1.25		$	5.44		$	4.82
Diluted earnings per share		1.14			1.45			0.71			1.57			0.21			3.94			4.97
Adjusted book value per share (a)		49.77			49.33			49.01			49.63			48.55			49.33			48.76

Cash dividends per common share		0.280			1.280			0.250			0.250			0.250			2.030			1.910

Financial ratios
Annualized core operating return on equity (b)		10.3	%		12.7	%		11.6	%		10.9	%		10.8	%		11.5	%		10.7	%
Annualized return on equity (b)		9.4	%		12.1	%		5.9	%		13.4	%		1.8	%		8.3	%		11.0	%

Property and Casualty combined ratio - Specialty:
Loss & LAE ratio		58.3	%		61.8	%		64.5	%		61.0	%		60.8	%		62.2	%		63.7	%
Underwriting expense ratio		33.0	%		29.2	%		28.4	%		33.9	%		32.8	%		30.9	%		30.2	%

Combined ratio - Specialty		91.3	%		91.0	%		92.9	%		94.9	%		93.6	%		93.1	%		93.9	%


Net spread on fixed annuities:
Net interest spread		2.54	%		2.53	%		2.80	%		2.77	%		2.67	%		2.69	%		2.78	%
Net spread earned:
Before impact of fair value accounting		1.20	%		1.31	%		1.37	%		1.21	%		1.49	%		1.35	%		1.56	%
Impact of fair value accounting (c)		(0.46	%)		0.08	%		(0.35	%)		0.18	%		(0.28	%)		(0.09	%)		(0.15	%)

After impact of fair value accounting		0.74	%		1.39	%		1.02	%		1.39	%		1.21	%		1.26	%		1.41	%

(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
	03/31/16			12/31/15			09/30/15			06/30/15			03/31/15			12/31/15			12/31/14
Property and Casualty Insurance
Underwriting profit	$	87		$	100		$	82		$	50		$	60		$	292		$	236
Net investment income		83			74			83			83			79			319			294
Other expense		(12	)		(11	)		(12	)		(12	)		(10	)		(45	)		(54	)

Property and Casualty Insurance operating earnings		158			163			153			121			129			566			476

Annuity earnings		53			101			67			88			75			331			328
Run-off Long-Term Care and Life (losses)/earnings		(1	)		—			6			4			4			14			(10	)
Interest expense of parent holding companies (a)		(18	)		(16	)		(18	)		(20	)		(19	)		(73	)		(70	)
Other expense (a)		(22	)		(29	)		(19	)		(19	)		(22	)		(89	)		(73	)

Pre-tax core operating earnings		170			219			189			174			167			749			651

Income tax expense		59			83			66			59			55			263			212

Core net operating earnings		111			136			123			115			112			486			439

Non-core items, net of tax:
Loss on sale of long-term care business		—			(3	)		—			—			(105	)		(108	)		—
Gain on sale of hotel and apartment property		—			10			—			26			—			36			—
Other realized gains (losses)		(10	)		(14	)		(6	)		—			12			(8	)		32
Significant A&E charges:
Property and Casualty Insurance run-off operations		—			—			(44	)		—			—			(44	)		(15	)
Former Railroad and Manufacturing operations		—			—			(8	)		—			—			(8	)		(4	)
Other		—			—			(2	)		—			—			(2	)		—

Net earnings	$	101		$	129		$	63		$	141		$	19		$	352		$	452

(a)	December 2015 and prior periods have been adjusted for adoption of FASB Accounting Standard Update 2015-03, which impacted the presentation of debt issue costs and long-term debt.

American Financial Group, Inc.

Earnings Per Share Summary

(in millions, except per share information)


	Three Months Ended														Twelve Months Ended
	03/31/16			12/31/15			09/30/15			06/30/15		03/31/15			12/31/15			12/31/14

Core net operating earnings	$	111		$	136		$	123		$	115	$	112		$	486		$	439


Net earnings	$	101		$	129		$	63		$	141	$	19		$	352		$	452


Average number of diluted shares		88.488			89.228			89.343			89.503		89.377			89.362			90.960

Diluted earnings per share:
Core net operating earnings per share	$	1.25		$	1.52		$	1.38		$	1.28	$	1.25		$	5.44		$	4.82

Loss on sale of long-term care business		—			(0.03	)		—			—		(1.18	)		(1.21	)		—
Gain on sale of hotel and apartment property		—			0.11			—			0.29		—			0.40			—
Other realized gains (losses)		(0.11	)		(0.15	)		(0.06	)		—		0.14			(0.08	)		0.36
Significant A&E charges:
Property and Casualty Insurance run-off operations		—			—			(0.49	)		—		—			(0.49	)		(0.17	)
Former Railroad and Manufacturing operations		—			—			(0.09	)		—		—			(0.09	)		(0.04	)
Other		—			—			(0.03	)		—		—			(0.03	)		—

Diluted earnings per share	$	1.14		$	1.45		$	0.71		$	1.57	$	0.21		$	3.94		$	4.97

American Financial Group, Inc.

Property and Casualty Insurance - Summary Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Twelve Months Ended
	03/31/16			12/31/15			09/30/15			06/30/15			03/31/15			12/31/15			12/31/14

Property and Transportation	$	32		$	34		$	20		$	(13	)	$	7		$	48		$	21
Specialty Casualty		29			50			31			37			28			146			136
Specialty Financial		23			15			26			24			22			87			64
Other Specialty		2			1			7			3			3			14			16

Underwriting profit - Specialty		86			100			84			51			60			295			237

Other core charges, included in loss and LAE		(1	)		—			2			1			—			3			1

Underwriting profit - Core		87			100			82			50			60			292			236

Special A&E charges, included in loss and LAE		—			—			(67	)		—			—			(67	)		(24	)

Underwriting profit - Property and Casualty Insurance	$	87		$	100		$	15		$	50		$	60		$	225		$	212


Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		8			9			10			10			6			35			28

Total current accident year catastrophe losses	$	8		$	9		$	10		$	10		$	6		$	35		$	28


Prior year loss reserve development (favorable) / adverse	$	(28	)	$	(5	)	$	55		$	(10	)	$	(7	)	$	33		$	6


Combined ratio:
Property and Transportation		90.6	%		92.4	%		96.2	%		104.0	%		97.7	%		96.9	%		98.7	%
Specialty Casualty		94.3	%		90.2	%		93.8	%		92.7	%		94.2	%		92.7	%		92.3	%
Specialty Financial		82.6	%		88.7	%		80.6	%		81.0	%		81.7	%		83.1	%		86.5	%
Other Specialty		89.7	%		97.1	%		67.3	%		88.0	%		89.3	%		85.5	%		83.4	%
Combined ratio - Specialty		91.3	%		91.0	%		92.9	%		94.9	%		93.6	%		93.1	%		93.9	%

Other core charges		(0.1	%)		0.0	%		0.1	%		0.0	%		0.1	%		0.0	%		0.0	%
Special A&E charges		0.0	%		0.0	%		5.7	%		0.0	%		0.0	%		1.6	%		0.6	%

Combined ratio		91.2	%		91.0	%		98.7	%		94.9	%		93.7	%		94.7	%		94.5	%


Combined ratio excl. catastrophe and prior year development		93.2	%		90.6	%		93.2	%		95.0	%		93.8	%		93.1	%		93.7	%


Loss and LAE components - property and casualty insurance
Current accident year, excluding catastrophe loss		60.2	%		61.4	%		64.8	%		61.1	%		61.0	%		62.2	%		63.5	%
Prior accident year loss reserve development		(2.8	%)		(0.4	%)		4.6	%		(1.1	%)		(0.7	%)		0.8	%		0.1	%
Current accident year catastrophe loss		0.8	%		0.8	%		0.9	%		1.0	%		0.6	%		0.8	%		0.7	%

Loss and LAE ratio		58.2	%		61.8	%		70.3	%		61.0	%		60.9	%		63.8	%		64.3	%

American Financial Group, Inc.

Specialty - Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Twelve Months Ended
	03/31/16			12/31/15			09/30/15			06/30/15			03/31/15			12/31/15			12/31/14

Gross written premiums	$	1,243		$	1,356		$	1,962		$	1,318		$	1,196		$	5,832		$	5,477
Ceded reinsurance premiums		(264	)		(300	)		(643	)		(292	)		(270	)		(1,505	)		(1,457	)

Net written premiums		979			1,056			1,319			1,026			926			4,327			4,020
Change in unearned premiums		19			64			(146	)		(41	)		20			(103	)		(142	)

Net earned premiums		998			1,120			1,173			985			946			4,224			3,878

Loss and LAE		582			693			756			600			576			2,625			2,469
Underwriting expense		330			327			333			334			310			1,304			1,172

Underwriting profit	$	86		$	100		$	84		$	51		$	60		$	295		$	237


Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		8			9			10			10			6			35			28

Total current accident year catastrophe losses	$	8		$	9		$	10		$	10		$	6		$	35		$	28


Prior year loss reserve development (favorable) / adverse	$	(27	)	$	(5	)	$	(14	)	$	(11	)	$	(7	)	$	(37	)	$	(19	)


Combined ratio:
Loss and LAE ratio		58.3	%		61.8	%		64.5	%		61.0	%		60.8	%		62.2	%		63.7	%
Underwriting expense ratio		33.0	%		29.2	%		28.4	%		33.9	%		32.8	%		30.9	%		30.2	%

Combined ratio		91.3	%		91.0	%		92.9	%		94.9	%		93.6	%		93.1	%		93.9	%


Combined ratio excl. catastrophe and prior year development		93.2	%		90.6	%		93.2	%		95.0	%		93.8	%		93.1	%		93.7	%


Loss and LAE components:
Current accident year, excluding catastrophe loss		60.2	%		61.4	%		64.8	%		61.1	%		61.0	%		62.2	%		63.5	%
Prior accident year loss reserve development		(2.7	%)		(0.4	%)		(1.2	%)		(1.1	%)		(0.8	%)		(0.8	%)		(0.5	%)
Current accident year catastrophe loss		0.8	%		0.8	%		0.9	%		1.0	%		0.6	%		0.8	%		0.7	%

Loss and LAE ratio		58.3	%		61.8	%		64.5	%		61.0	%		60.8	%		62.2	%		63.7	%

American Financial Group, Inc.

Property and Transportation - Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Twelve Months Ended
	03/31/16			12/31/15			09/30/15			06/30/15			03/31/15			12/31/15			12/31/14

Gross written premiums	$	398		$	515		$	1,064		$	500		$	376		$	2,455		$	2,342
Ceded reinsurance premiums		(87	)		(137	)		(456	)		(138	)		(88	)		(819	)		(776	)

Net written premiums		311			378			608			362			288			1,636			1,566
Change in unearned premiums		28			64			(91	)		(35	)		25			(37	)		(22	)

Net earned premiums		339			442			517			327			313			1,599			1,544

Loss and LAE		211			317			391			240			211			1,159			1,155
Underwriting expense		96			91			106			100			95			392			368

Underwriting profit (loss)	$	32		$	34		$	20		$	(13	)	$	7		$	48		$	21


Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		6			3			7			7			4			21			20

Total current accident year catastrophe losses	$	6		$	3		$	7		$	7		$	4		$	21		$	20


Prior year loss reserve development (favorable) / adverse	$	(17	)	$	8		$	(2	)	$	6		$	3		$	15		$	16


Combined ratio:
Loss and LAE ratio		62.2	%		71.7	%		75.7	%		73.2	%		67.5	%		72.4	%		74.9	%
Underwriting expense ratio		28.4	%		20.7	%		20.5	%		30.8	%		30.2	%		24.5	%		23.8	%

Combined ratio		90.6	%		92.4	%		96.2	%		104.0	%		97.7	%		96.9	%		98.7	%


Combined ratio excl. catastrophe and prior year development		94.1	%		89.9	%		95.1	%		100.2	%		95.4	%		94.7	%		96.4	%


Loss and LAE components:
Current accident year, excluding catastrophe loss		65.7	%		69.2	%		74.6	%		69.4	%		65.2	%		70.2	%		72.6	%
Prior accident year loss reserve development		(5.2	%)		1.8	%		(0.4	%)		1.7	%		1.1	%		0.9	%		1.0	%
Current accident year catastrophe loss		1.7	%		0.7	%		1.5	%		2.1	%		1.2	%		1.3	%		1.3	%

Loss and LAE ratio		62.2	%		71.7	%		75.7	%		73.2	%		67.5	%		72.4	%		74.9	%

American Financial Group, Inc.

Specialty Casualty - Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Twelve Months Ended
	03/31/16			12/31/15			09/30/15			06/30/15			03/31/15			12/31/15			12/31/14

Gross written premiums	$	698		$	661		$	734		$	661		$	683		$	2,739		$	2,529
Ceded reinsurance premiums		(179	)		(158	)		(189	)		(158	)		(182	)		(687	)		(665	)

Net written premiums		519			503			545			503			501			2,052			1,864
Change in unearned premiums		(17	)		12			(42	)		—			(11	)		(41	)		(99	)

Net earned premiums		502			515			503			503			490			2,011			1,765

Loss and LAE		313			315			323			311			316			1,265			1,107
Underwriting expense		160			150			149			155			146			600			522

Underwriting profit	$	29		$	50		$	31		$	37		$	28		$	146		$	136


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

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


Prior year loss reserve development (favorable) / adverse	$	(4	)	$	(7	)	$	3		$	(7	)	$	—		$	(11	)	$	(7	)


Combined ratio:
Loss and LAE ratio		62.4	%		61.1	%		64.2	%		61.9	%		64.4	%		62.9	%		62.7	%
Underwriting expense ratio		31.9	%		29.1	%		29.6	%		30.8	%		29.8	%		29.8	%		29.6	%

Combined ratio		94.3	%		90.2	%		93.8	%		92.7	%		94.2	%		92.7	%		92.3	%


Combined ratio excl. catastrophe and prior year development		94.9	%		91.4	%		92.9	%		94.0	%		93.9	%		93.0	%		92.5	%


Loss and LAE components:
Current accident year, excluding catastrophe loss		63.0	%		62.3	%		63.3	%		63.2	%		64.1	%		63.2	%		62.9	%
Prior accident year loss reserve development		(0.7	%)		(1.4	%)		0.6	%		(1.4	%)		0.0	%		(0.5	%)		(0.4	%)
Current accident year catastrophe loss		0.1	%		0.2	%		0.3	%		0.1	%		0.3	%		0.2	%		0.2	%

Loss and LAE ratio		62.4	%		61.1	%		64.2	%		61.9	%		64.4	%		62.9	%		62.7	%

American Financial Group, Inc.

Specialty Financial - Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Twelve Months Ended
	03/31/16			12/31/15			09/30/15			06/30/15			03/31/15			12/31/15			12/31/14

Gross written premiums	$	147		$	179		$	164		$	157		$	137		$	637		$	605
Ceded reinsurance premiums		(22	)		(27	)		(27	)		(21	)		(22	)		(97	)		(117	)

Net written premiums		125			152			137			136			115			540			488
Change in unearned premiums		7			(15	)		(6	)		(7	)		5			(23	)		(19	)

Net earned premiums		132			137			131			129			120			517			469

Loss and LAE		45			46			36			36			36			154			159
Underwriting expense		64			76			69			69			62			276			246

Underwriting profit	$	23		$	15		$	26		$	24		$	22		$	87		$	64


Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		1			5			1			2			1			9			3

Total current accident year catastrophe losses	$	1		$	5		$	1		$	2		$	1		$	9		$	3


Prior year loss reserve development (favorable) / adverse	$	(4	)	$	(5	)	$	(8	)	$	(8	)	$	(9	)	$	(30	)	$	(17	)


Combined ratio:
Loss and LAE ratio		34.0	%		32.8	%		27.7	%		27.7	%		30.4	%		29.7	%		33.9	%
Underwriting expense ratio		48.6	%		55.9	%		52.9	%		53.3	%		51.3	%		53.4	%		52.6	%

Combined ratio		82.6	%		88.7	%		80.6	%		81.0	%		81.7	%		83.1	%		86.5	%


Combined ratio excl. catastrophe and prior year development		84.8	%		88.8	%		85.8	%		85.2	%		88.5	%		87.1	%		89.5	%


Loss and LAE components:
Current accident year, excluding catastrophe loss		36.2	%		32.9	%		32.9	%		31.9	%		37.2	%		33.7	%		36.9	%
Prior accident year loss reserve development		(3.3	%)		(3.6	%)		(5.8	%)		(6.2	%)		(7.3	%)		(5.7	%)		(3.7	%)
Current accident year catastrophe loss		1.1	%		3.5	%		0.6	%		2.0	%		0.5	%		1.7	%		0.7	%

Loss and LAE ratio		34.0	%		32.8	%		27.7	%		27.7	%		30.4	%		29.7	%		33.9	%

American Financial Group, Inc.

Other Specialty - Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Twelve Months Ended
	03/31/16			12/31/15			09/30/15			06/30/15			03/31/15			12/31/15			12/31/14

Gross written premiums	$	—		$	1		$	—		$	—		$	—		$	1		$	1
Ceded reinsurance premiums		24			22			29			25			22			98			101

Net written premiums		24			23			29			25			22			99			102
Change in unearned premiums		1			3			(7	)		1			1			(2	)		(2	)

Net earned premiums		25			26			22			26			23			97			100

Loss and LAE		13			15			6			13			13			47			48
Underwriting expense		10			10			9			10			7			36			36

Underwriting profit	$	2		$	1		$	7		$	3		$	3		$	14		$	16


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

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


Prior year loss reserve development (favorable) / adverse	$	(2	)	$	(1	)	$	(7	)	$	(2	)	$	(1	)	$	(11	)	$	(11	)


Combined ratio:
Loss and LAE ratio		52.1	%		61.0	%		29.4	%		52.4	%		54.4	%		49.4	%		47.9	%
Underwriting expense ratio		37.6	%		36.1	%		37.9	%		35.6	%		34.9	%		36.1	%		35.5	%

Combined ratio		89.7	%		97.1	%		67.3	%		88.0	%		89.3	%		85.5	%		83.4	%


Combined ratio excl. catastrophe and prior year development		96.0	%		98.1	%		97.6	%		93.2	%		96.6	%		96.4	%		92.8	%

American Financial Group, Inc.

Annuity Earnings (GAAP)

($ in millions)


	Three Months Ended													Twelve Months Ended
	03/31/16			12/31/15		09/30/15			06/30/15		03/31/15			12/31/15			12/31/14

Net investment income	$	315		$	309	$	317		$	306	$	292		$	1,224		$	1,136
Guaranteed withdrawal benefit fees		12			12		11			10		10			43			34
Policy charges and other miscellaneous income		14			11		13			14		17			55			63


Total revenues		341			332		341			330		319			1,322			1,233

Annuity benefits expense		228			189		208			151		184			732			648
Acquisition expenses		34			20		44			62		37			163			175
Other expenses		26			22		22			29		23			96			82


Total costs and expenses		288			231		274			242		244			991			905


Core Annuity earnings before income taxes	$	53		$	101	$	67		$	88	$	75		$	331		$	328


Detail of core Annuity earnings before income taxes
Core earnings before income taxes and impact of fair value accounting	$	84		$	96	$	89		$	77	$	92		$	354		$	362
Impact of fair value accounting (a)		(31	)		5		(22	)		11		(17	)		(23	)		(34	)

Core Annuity earnings before income taxes	$	53		$	101	$	67		$	88	$	75		$	331		$	328

(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, Inc.

Detail of Annuity Benefits Expense (GAAP)

($ in millions)


	Three Months Ended														Twelve Months Ended
	03/31/16		12/31/15			09/30/15			06/30/15			03/31/15			12/31/15			12/31/14

Detail of annuity benefits expense:
Interest credited - fixed	$	139	$	138		$	135		$	131		$	128		$	532		$	497
Interest credited - fixed component of variable annuities		1		1			2			2			1			6			6
Change in expected death and annuitization reserve		5		5			5			5			4			19			18
Amortization of sales inducements		5		6			6			7			7			26			26
Guaranteed withdrawal benefit reserve (a)		16		15			20			16			12			63			41
Change in other benefit reserves		5		5			3			12			2			22			12
Unlockings (b)		—		19			—			—			—			19			(11	)

Subtotal before impact of fair value accounting		171		189			171			173			154			687			589

Embedded derivative mark-to-market (c)		17		88			(130	)		(19	)		50			(11	)		240
Equity option mark-to-market		40		(88	)		167			(3	)		(20	)		56			(181	)

Subtotal impact of fair value accounting		57		—			37			(22	)		30			45			59


Total annuity benefits expense	$	228	$	189		$	208		$	151		$	184		$	732		$	648

(a)	Relates to a significant change in the stock market.

(b)

Includes unlockings for fixed indexed annuity embedded derivative reserves, sales inducement asset and other reserves. Does not include unlocking income of $29 million in 2015 and charge of $10 million in 2014 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 $10 million and $1 million in 2015 and 2014, respectively.

(c)	Excludes unlocking impact of $28 million in 2015 and ($58) million in 2014.

American Financial Group, Inc.

Net Spread on Fixed Annuities (GAAP)

($ in millions)


	Three Months Ended															Twelve Months Ended
	03/31/16			12/31/15			09/30/15			06/30/15			03/31/15			12/31/15			12/31/14

Average fixed annuity investments (at amortized cost)	$	27,186		$	26,401		$	25,642		$	24,711		$	23,943		$	25,174		$	22,391
Average annuity benefits accumulated		26,935			26,048			25,316			24,474			23,752			24,898			22,119

Investments in excess of annuity benefits accumulated	$	251		$	353		$	326		$	237		$	191		$	276		$	272


As % of average annuity benefits accumulated (except as noted)
Net investment income (as % of investments)		4.60	%		4.65	%		4.92	%		4.91	%		4.83	%		4.83	%		5.03	%
Interest credited		(2.06	%)		(2.12	%)		(2.12	%)		(2.14	%)		(2.16	%)		(2.14	%)		(2.25	%)

Net interest spread on fixed annuities		2.54	%		2.53	%		2.80	%		2.77	%		2.67	%		2.69	%		2.78	%

Policy charges and other miscellaneous income		0.16	%		0.15	%		0.16	%		0.17	%		0.24	%		0.18	%		0.18	%
Other annuity benefit expenses, net		(0.27	%)		(0.31	%)		(0.36	%)		(0.49	%)		(0.25	%)		(0.35	%)		(0.28	%)
Acquisition expenses		(0.47	%)		(0.75	%)		(0.65	%)		(0.98	%)		(0.59	%)		(0.74	%)		(0.67	%)
Other expenses		(0.38	%)		(0.32	%)		(0.34	%)		(0.43	%)		(0.36	%)		(0.36	%)		(0.34	%)
Change in fair value of derivatives		(0.84	%)		0.02	%		(0.59	%)		0.35	%		(0.50	%)		(0.18	%)		(0.27	%)
Unlockings		0.00	%		0.07	%		0.00	%		0.00	%		0.00	%		0.02	%		0.01	%

Net spread earned on fixed annuities - core		0.74	%		1.39	%		1.02	%		1.39	%		1.21	%		1.26	%		1.41	%


Average annuity benefits accumulated	$	26,935		$	26,048		$	25,316		$	24,474		$	23,752		$	24,898		$	22,119
Net spread earned on fixed annuities		0.74	%		1.39	%		1.02	%		1.39	%		1.21	%		1.26	%		1.41	%

Earnings on fixed annuity benefits accumulated	$	50		$	91		$	65		$	85		$	72		$	313		$	312

Investments in excess of annuity benefits accumulated	$	251		$	353		$	326		$	237		$	191		$	276		$	272
Net investment income (as % of investments)		4.60	%		4.65	%		4.92	%		4.91	%		4.83	%		4.83	%		5.03	%

Earnings on investments in excess of annuity benefits accumulated	$	3		$	4		$	4		$	3		$	2			13			14

Variable annuity earnings		—			6			(2	)		—			1			5			2

Earnings before income taxes - core	$	53		$	101		$	67		$	88		$	75		$	331		$	328


Detail of net spread earned on fixed annuities - core
Net spread earned core - before impact of fair value accounting		1.20	%		1.31	%		1.37	%		1.21	%		1.49	%		1.35	%		1.56	%
Impact of fair value accounting (a)		(0.46	%)		0.08	%		(0.35	%)		0.18	%		(0.28	%)		(0.09	%)		(0.15	%)

Net spread earned core - after impact of fair value accounting		0.74	%		1.39	%		1.02	%		1.39	%		1.21	%		1.26	%		1.41	%

(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
	03/31/16		12/31/15		09/30/15		06/30/15		03/31/15		12/31/15		12/31/14

Retail single premium annuities - indexed	$	546	$	494	$	617	$	404	$	349	$	1,864	$	1,533
Retail single premium annuities - fixed		20		18		22		18		12		70		101
Financial institutions single premium annuities - indexed		534		462		554		369		356		1,741		1,489
Financial institutions single premium annuities - fixed		119		72		71		48		38		229		332
Education market - fixed and indexed annuities		57		51		47		49		47		194		194

Subtotal fixed annuity premiums		1,276		1,097		1,311		888		802		4,098		3,649

Variable annuities		9		10		10		11		11		42		47

Total annuity premiums	$	1,285	$	1,107	$	1,321	$	899	$	813	$	4,140	$	3,696

American Financial Group, Inc.

Fixed Annuity Benefits Accumulated (GAAP)

($ in millions)


	Three Months Ended															Twelve Months Ended
	03/31/16			12/31/15			09/30/15			06/30/15			03/31/15			12/31/15			12/31/14

Beginning fixed annuity reserves	$	26,371		$	25,725		$	24,906		$	24,042		$	23,462		$	23,462		$	20,679
Premiums		1,276			1,097			1,311			888			802			4,098			3,649
Federal Home Loan Bank advances		150			45			—			300			—			345			—
Surrenders, benefits and other withdrawals		(483	)		(515	)		(526	)		(471	)		(420	)		(1,932	)		(1,673	)
Sale of subsidiaries		—			(261	)		—			—			—			(261	)		—
Interest and other annuity benefit expenses:
Interest credited		139			138			135			131			128			532			497
Embedded derivative mark-to-market		17			88			(130	)		(19	)		50			(11	)		240
Change in other benefit reserves		29			31			29			35			20			115			81
Unlockings		—			23			—			—			—			23			(11	)

Ending fixed annuity reserves	$	27,499		$	26,371		$	25,725		$	24,906		$	24,042		$	26,371		$	23,462


Reconciliation to annuity benefits accumulated:
Ending fixed annuity reserves	$	27,499		$	26,371		$	25,725		$	24,906		$	24,042		$	26,371		$	23,462
Impact of unrealized investment gains on reserves		127			64			113			107			179			64			111
Fixed component of variable annuities		186			187			188			190			190			187			191

Annuity benefits accumulated per balance sheet	$	27,812		$	26,622		$	26,026		$	25,203		$	24,411		$	26,622		$	23,764


Annualized surrenders and other withdrawals as a % of beginning reserves		7.3	%		8.0	%		8.4	%		7.8	%		7.2	%		8.2	%		8.1	%

American Financial Group, Inc.

Consolidated Balance Sheet

($ in millions)


	03/31/16			12/31/15			09/30/15			06/30/15			03/31/15			12/31/14
Assets:
Total cash and investments	$	39,437		$	37,736		$	38,132		$	37,644		$	37,384		$	36,210
Recoverables from reinsurers		2,561			2,636			3,151			3,075			3,046			3,238
Prepaid reinsurance premiums		475			480			604			499			475			469
Agents’ balances and premiums receivable		936			937			976			959			864			889
Deferred policy acquisition costs		1,055			1,184			993			965			756			821
Assets of managed investment entities		3,906			4,047			3,613			3,629			3,279			3,108
Other receivables		693			820			1,241			660			641			910
Variable annuity assets (separate accounts)		595			608			595			655			667			662
Other assets (a)		1,181			1,190			1,034			1,116			972			1,005
Goodwill		199			199			201			201			201			201

Total assets	$	51,038		$	49,837		$	50,540		$	49,403		$	48,285		$	47,513


Liabilities and Equity:
Unpaid losses and loss adjustment expenses	$	8,108		$	8,127		$	8,061		$	7,744		$	7,636		$	7,872
Unearned premiums		2,051			2,060			2,238			2,004			1,936			1,956
Annuity benefits accumulated		27,812			26,622			26,026			25,203			24,411			23,764
Life, accident and health reserves		708			705			2,159			2,156			2,195			2,175
Payable to reinsurers		501			591			724			511			494			645
Liabilities of managed investment entities		3,656			3,781			3,287			3,309			2,952			2,819
Long-term debt (a)		998			998			863			1,003			1,039			1,039
Variable annuity liabilities (separate accounts)		595			608			595			655			667			662
Other liabilities		1,672			1,575			1,681			1,834			1,855			1,527

Total liabilities	$	46,101		$	45,067		$	45,634		$	44,419		$	43,185		$	42,459

Shareholders’ equity:
Common stock	$	87		$	87		$	87		$	88		$	88		$	88
Capital surplus		1,218			1,214			1,195			1,183			1,173			1,152
Appropriated retained earnings		—			—			—			—			—			(2	)
Unappropriated retained earnings		3,002			2,987			2,981			2,968			2,886			2,914
Unrealized gains - fixed maturities		426			278			445			457			656			604
Unrealized gains - equities		40			54			44			130			143			139
Other comprehensive income, net of tax		(18	)		(28	)		(28	)		(24	)		(23	)		(16	)

Total shareholders’ equity		4,755			4,592			4,724			4,802			4,923			4,879

Noncontrolling interests		182			178			182			182			177			175

Total liabilities and equity	$	51,038		$	49,837		$	50,540		$	49,403		$	48,285		$	47,513

(a)	December 2015 and prior periods have been adjusted for adoption of FASB Accounting Standard Update 2015-03, which impacted the presentation of debt issue costs and long-term debt.

American Financial Group, Inc.

Book Value Per Share and Price / Book Summary

(in millions, except per share information)


	03/31/16			12/31/15			09/30/15			06/30/15			03/31/15			12/31/14

Shareholders’ equity	$	4,755		$	4,592		$	4,724		$	4,802		$	4,923		$	4,879
Appropriated retained earnings		—			—			—			—			—			2

Shareholders’ equity, excluding appropriated retained earnings		4,755			4,592			4,724			4,802			4,923			4,881
Unrealized (gains) on fixed maturities		(426	)		(278	)		(445	)		(457	)		(656	)		(604	)

Adjusted shareholders’ equity		4,329			4,314			4,279			4,345			4,267			4,277
Goodwill		(199	)		(199	)		(201	)		(201	)		(201	)		(201	)
Intangibles		(47	)		(49	)		(51	)		(53	)		(55	)		(57	)

Tangible adjusted shareholders’ equity	$	4,083		$	4,066		$	4,027		$	4,091		$	4,011		$	4,019


Common shares outstanding		86.966			87.474			87.327			87.540			87.886			87.709

Book value per share:
Excluding appropriated retained earnings (a)	$	54.67		$	52.50		$	54.10		$	54.86		$	56.01		$	55.65
Adjusted (b)		49.77			49.33			49.01			49.63			48.55			48.76
Tangible, adjusted (c)		46.94			46.49			46.12			46.73			45.63			45.82

Market capitalization

AFG’s closing common share price	$	70.37		$	72.08		$	68.91		$	65.04		$	64.15		$	60.72

Market capitalization	$	6,120		$	6,305		$	6,018		$	5,694		$	5,638		$	5,326

Price / Adjusted book value ratio		1.41			1.46			1.41			1.31			1.32			1.25

(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)


	03/31/16			12/31/15			09/30/15			06/30/15			03/31/15			12/31/14

AFG senior obligations (a)	$	708		$	708		$	708		$	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	$	720		$	720		$	720		$	852		$	852		$	852

AFG subordinated debentures		300			300			150			150			150			150
Obligations of subsidiaries - secured by real estate		—			—			10			22			59			59

Total principal amount of long-term debt	$	1,020		$	1,020		$	880		$	1,024		$	1,061		$	1,061

Shareholders’ equity		4,755			4,592			4,724			4,802			4,923			4,879
Noncontrolling interests		182			178			182			182			177			175
Less:
Appropriated retained earnings		—			—			—			—			—			2
Unrealized gains related to fixed maturity investments		(426	)		(278	)		(445	)		(457	)		(656	)		(604	)

Total adjusted capital	$	5,531		$	5,512		$	5,341		$	5,551		$	5,505		$	5,513


Less:
Obligations of subsidiaries - secured by real estate		—			—			(10	)		(22	)		(59	)		(59	)

Total adjusted capital excluding obligations secured by real estate	$	5,531		$	5,512		$	5,331		$	5,529		$	5,446		$	5,454


Ratio of debt to total adjusted capital:
Including subordinated debt & debt secured by real estate		18.4	%		18.5	%		16.5	%		18.4	%		19.3	%		19.2	%
Excluding subordinated debt & debt secured by real estate		13.0	%		13.1	%		13.5	%		15.4	%		15.6	%		15.6	%

(a)	December 2015 and prior periods have been adjusted for adoption of FASB Accounting Standard Update 2015-03, which impacted the presentation of debt issue costs and long-term debt.

American Financial Group, Inc.

Additional Supplemental Information

($ in millions)


	Three Months Ended										Twelve Months Ended
	03/31/16		12/31/15		09/30/15		06/30/15		03/31/15		12/31/15		12/31/14
Property and Casualty Insurance

Paid Losses (GAAP)	$	547	$	675	$	585	$	526	$	617	$	2,403	$	2,130


	03/31/16		12/31/15		09/30/15		06/30/15		03/31/15		12/31/2014
Statutory Surplus

Property and Casualty Insurance	$	2,574	$	2,488	$	2,356	$	2,399	$	2,340	$	2,286

AFG’s principal annuity subsidiaries (total adjusted capital)	$	2,032	$	1,918	$	1,816	$	1,911	$	1,861	$	1,822

Allowable dividends without regulatory approval

Property and Casualty Insurance	$	434	$	434	$	315	$	315	$	315	$	315
Annuity and Run-off		375		375		358		358		358		358

Total	$	809	$	809	$	673	$	673	$	673	$	673

American Financial Group, Inc.

Total Cash and Investments

($ in millions)


	Carrying Value - March 31, 2016
	Property and Casualty Insurance		Annuity and Run-off			Parent and Other Non- Insurance		Consolidate CLOs			Total AFG Consolidated		% of Investment Portfolio
Total cash and investments:
Cash and cash equivalents	$	727	$	305		$	199	$	—		$	1,231		3	%
Fixed maturities - Available for sale		7,021		26,886			14		—			33,921		85	%
Fixed maturities - Trading		134		115			—		—			249		1	%
Equity securities		1,107		495			46		—			1,648		4	%
Policy loans		—		198			—		—			198		1	%
Mortgage loans		198		899			—		—			1,097		3	%
Real estate and other investments		479		845			17		(248	)		1,093		3	%

Total cash and investments	$	9,666	$	29,743		$	276	$	(248	)	$	39,437		100	%


Unrealized gain/(loss) on equity securities	$	56	$	5		$	—				$	61

	Carrying Value - December 31, 2015
	Property and Casualty Insurance		Annuity and Run-off			Parent and Other Non- Insurance		Consolidate CLOs			Total AFG Consolidated		% of Investment Portfolio
Total cash and investments:
Cash and cash equivalents	$	708	$	282		$	230	$	—		$	1,220		3	%
Fixed maturities - Available for sale		6,784		25,486			14		—			32,284		85	%
Fixed maturities - Trading		140		114			—		—			254		1	%
Equity securities		1,182		488			49		—			1,719		5	%
Policy loans		—		201			—		—			201		0	%
Mortgage loans		191		876			—		—			1,067		3	%
Real estate and other investments		457		781			18		(265	)		991		3	%

Total cash and investments	$	9,462	$	28,228		$	311	$	(265	)	$	37,736		100	%


Unrealized gain/(loss) on equity securities	$	87	$	(3	)	$	—				$	84

American Financial Group, Inc.

Net Investment Income

($ in millions)


	Three Months Ended															Twelve Months Ended
	03/31/16			12/31/15			09/30/15			06/30/15			03/31/15			12/31/15			12/31/14
Property and Casualty Insurance:
Gross Investment Income
Fixed maturities - Available for sale	$	64		$	63		$	62		$	62		$	61		$	248		$	223
Fixed maturities - Trading		1			—			—			—			4			4			8
Equity securities		13			14			12			12			10			48			40
Equity in investees		6			(1	)		7			3			1			10			8
Other investments		1			—			4			8			5			17			22

Gross investment income		85			76			85			85			81			327			301
Investment expenses		(2	)		(2	)		(2	)		(2	)		(2	)		(8	)		(7	)

Total net investment income	$	83		$	74		$	83		$	83		$	79		$	319		$	294


Average cash and investments (a)	$	9,366		$	9,113		$	8,984		$	8,956		$	8,775		$	8,956		$	7,849


Average yield (b)		3.54	%		3.25	%		3.70	%		3.71	%		3.60	%		3.56	%		3.75	%

Fixed Annuity:
Gross Investment Income
Fixed maturities - Available for sale	$	294		$	294		$	288		$	277		$	267		$	1,126		$	1,037
Fixed maturities - Trading		—			—			—			—			—			—			—
Equity securities		5			6			5			5			5			21			16
Equity in investees		5			2			11			1			2			16			68
Other investments		11			7			14			23			18			62			9

Gross investment income		315			309			318			306			292			1,225			1,130
Investment expenses		(3	)		(2	)		(3	)		(2	)		(3	)		(10	)		(4	)

Total net investment income	$	312		$	307		$	315		$	304		$	289		$	1,215		$	1,126


Average cash and investments (a)	$	27,186		$	26,401		$	25,642		$	24,711		$	23,943		$	25,174		$	22,391


Average yield (b)		4.60	%		4.65	%		4.92	%		4.91	%		4.83	%		4.83	%		5.03	%

AFG consolidated net investment income:
Property & Casualty	$	83		$	74		$	83		$	83		$	79		$	319		$	294
Annuity and Run-off:
Fixed Annuity		312			307			315			304			289			1,215			1,126
Variable Annuity		3			2			2			2			3			9			10
Run-off		5			19			20			21			20			80			82
Other		1			3			2			(1	)		—			4			6
Consolidate CLOs		7			11			3			(5	)		(3	)		6			(17	)

Total net investment income	$	411		$	416		$	425		$	404		$	388		$	1,633		$	1,501

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

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

American Financial Group, Inc.

Fixed Maturities - By Security Type - AFG Consolidated

($ in millions)


March 31, 2016	Amortized Cost			Fair Value		Unrealized Gain (Loss)			% of Fair Value			% of Investment Portfolio
US Government and government agencies	$	345		$	350	$	5			1	%		1	%
States, municipalities and political subdivisions		6,720			7,081		361			21	%		18	%
Foreign government		214			222		8			1	%		1	%
Residential mortgage-backed securities		3,513			3,777		264			11	%		10	%
Commercial mortgage-backed securities		2,046			2,136		90			6	%		5	%
Asset-backed securities		5,172			5,130		(42	)		15	%		13	%
Corporate and other bonds		14,988			15,474		486			45	%		38	%

Total AFG consolidated	$	32,998		$	34,170	$	1,172			100	%		86	%


Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		4.52	%
Net of investment expense (a)		4.47	%

Approximate average life and duration:
Approximate average life		6.5 years
Approximate duration		5 years
December 31, 2015	Amortized Cost			Fair Value		Unrealized Gain (Loss)			% of Fair Value			% of Investment Portfolio
US Government and government agencies	$	319		$	321	$	2			1	%		1	%
States, municipalities and political subdivisions		6,671			6,885		214			21	%		18	%
Foreign government		225			232		7			1	%		1	%
Residential mortgage-backed securities		3,241			3,534		293			11	%		9	%
Commercial mortgage-backed securities		2,112			2,188		76			7	%		6	%
Asset-backed securities		4,961			4,934		(27	)		15	%		13	%
Corporate and other bonds		14,290			14,444		154			44	%		38	%

Total AFG consolidated	$	31,819		$	32,538	$	719			100	%		86	%


Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		4.74	%
Net of investment expense (a)		4.69	%

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

($ in millions)


	March 31, 2016											December 31, 2015
	Amortized Cost			Fair Value		Unrealized Gain (Loss)			% of Fair Value			Amortized Cost			Fair Value		Unrealized Gain (Loss)			% of Fair Value
Property and Casualty Insurance:
US Government and government agencies	$	282		$	286	$	4			4	%	$	255		$	257	$	2			4	%
States, municipalities and political subdivisions		2,799			2,901		102			40	%		2,807			2,891		84			42	%
Foreign government		203			209		6			3	%		213			219		6			3	%
Residential mortgage-backed securities		1,017			1,050		33			15	%		893			932		39			13	%
Commercial mortgage-backed securities		205			210		5			3	%		209			213		4			3	%
Asset-backed securities		1,503			1,488		(15	)		21	%		1,453			1,442		(11	)		21	%
Corporate and other bonds		1,007			1,011		4			14	%		979			970		(9	)		14	%

Property and Casualty Insurance	$	7,016		$	7,155	$	139			100	%	$	6,809		$	6,924	$	115			100	%


Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		3.76	%										3.82	%
Net of investment expense (a)		3.66	%										3.71	%
Tax equivalent, net of investment expense (b)		4.23	%										4.31	%

Approximate average life and duration:
Approximate average life		5 years											5 years
Approximate duration		3.5 years											4 years

	March 31, 2016											December 31, 2015
	Amortized Cost			Fair Value		Unrealized Gain (Loss)			% of Fair Value			Amortized Cost			Fair Value		Unrealized Gain (Loss)			% of Fair Value
Annuity and Run-off:
US Government and government agencies	$	61		$	62	$	1			0	%	$	62		$	62	$	—			0	%
States, municipalities and political subdivisions		3,921			4,180		259			16	%		3,864			3,994		130			15	%
Foreign government		11			13		2			0	%		12			13		1			0	%
Residential mortgage-backed securities		2,495			2,715		220			10	%		2,347			2,590		243			10	%
Commercial mortgage-backed securities		1,841			1,926		85			7	%		1,903			1,975		72			8	%
Asset-backed securities		3,669			3,642		(27	)		13	%		3,508			3,492		(16	)		14	%
Corporate and other bonds		13,981			14,463		482			54	%		13,311			13,474		163			53	%

Total Annuity and Run-off	$	25,979		$	27,001	$	1,022			100	%	$	25,007		$	25,600	$	593			100	%


Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		4.73	%										4.98	%
Net of investment expense (a)		4.69	%										4.94	%

Approximate average life and duration:
Approximate average life		7 years											6.5 years
Approximate duration		5.5 years											5.5 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

($ in millions)


	March 31, 2016
By Credit Rating (a)	Amortized Cost		Fair Value		Unrealized Gain (Loss)			% of Fair Value
Investment grade
AAA	$	6,577	$	6,776	$	199			20	%
AA		6,893		7,197		304			21	%
A		7,954		8,265		311			24	%
BBB		7,684		7,886		202			23	%

Subtotal - Investment grade		29,108		30,124		1,016			88	%

BB		957		919		(38	)		3	%
B		485		453		(32	)		1	%
Other (b)		2,448		2,674		226			8	%

Subtotal - Non-Investment grade		3,890		4,046		156			12	%

Total	$	32,998	$	34,170	$	1,172			100	%

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


	December 31, 2015
By Credit Rating (a)	Amortized Cost		Fair Value		Unrealized Gain (Loss)			% of Fair Value
Investment grade
AAA	$	6,519	$	6,655	$	136			20	%
AA		6,785		6,954		169			22	%
A		7,780		7,969		189			25	%
BBB		7,478		7,507		29			23	%

Subtotal - Investment grade		28,562		29,085		523			90	%

BB		790		765		(25	)		2	%
B		438		417		(21	)		1	%
Other (b)		2,029		2,271		242			7	%

Subtotal - Non-Investment grade		3,257		3,453		196			10	%

Total	$	31,819	$	32,538	$	719			100	%

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

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

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

American Financial Group, Inc.

Mortgage-Backed Securities - AFG Consolidated

($ in millions)


March 31, 2016	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Investment Portfolio
Residential
Agency	$	203	$	209	$	6		4	%		1	%
Prime (Non-Agency)		1,566		1,721		155		29	%		4	%
Alt-A		991		1,060		69		18	%		3	%
Subprime		753		787		34		13	%		2	%
Commercial		2,046		2,136		90		36	%		5	%

Total AFG consolidated	$	5,559	$	5,913	$	354		100	%		15	%

•

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

•

The average amortized cost as a percent of par is - Prime 82%; Alt-A 78%; Subprime 85%; CMBS 99%.

•

The average FICO score of our residential MBS securities is - Prime 740; Alt-A 712; Subprime 640.

•

99% of our Commercial MBS portfolio is investment-grade rated (84% AAA) and the average subordination for this group of assets is 40%.

•

The approximate average life by collateral type is - Residential 5 years; Commercial 3 years.


December 31, 2015	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Investment Portfolio
Residential
Agency	$	260	$	269	$	9		5	%		1	%
Prime (Non-Agency)		1,489		1,651		162		29	%		4	%
Alt-A		794		872		78		15	%		2	%
Subprime		698		742		44		13	%		2	%
Commercial		2,112		2,188		76		38	%		6	%

Total AFG consolidated	$	5,353	$	5,722	$	369		100	%		15	%

American Financial Group, Inc.

Mortgage-Backed Securities Portfolio

($ in millions)


Property and Casualty Insurance:	March 31, 2016
By Asset Type	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Inv Portfolio
Residential
Agency	$	144	$	148	$	4		12	%		2	%
Prime (Non-Agency)		244		255		11		20	%		3	%
Alt-A		320		333		13		26	%		3	%
Subprime		309		314		5		25	%		3	%
Commercial		205		210		5		17	%		2	%

Total	$	1,222	$	1,260	$	38		100	%		13	%


	December 31, 2015
By Asset Type	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Inv Portfolio
Residential
Agency	$	151	$	153	$	2		13	%		2	%
Prime (Non-Agency)		218		231		13		20	%		2	%
Alt-A		241		257		16		23	%		3	%
Subprime		283		291		8		25	%		3	%
Commercial		209		213		4		19	%		2	%

Total	$	1,102	$	1,145	$	43		100	%		12	%


Annuity and Run-off:	March 31, 2016
By Asset Type	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Inv Portfolio
Residential
Agency	$	59	$	61	$	2		1	%		0	%
Prime (Non-Agency)		1,321		1,454		133		31	%		5	%
Alt-A		671		727		56		16	%		2	%
Subprime		444		473		29		10	%		2	%
Commercial		1,841		1,926		85		42	%		6	%

Total	$	4,336	$	4,641	$	305		100	%		15	%


	December 31, 2015
By Asset Type	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Inv Portfolio
Residential
Agency	$	109	$	116	$	7		3	%		0	%
Prime (Non-Agency)		1,270		1,408		138		31	%		5	%
Alt-A		553		615		62		13	%		2	%
Subprime		415		451		36		10	%		2	%
Commercial		1,903		1,975		72		43	%		7	%

Total	$	4,250	$	4,565	$	315		100	%		16	%

American Financial Group, Inc.

Mortgage-Backed Securities - Credit Rating

($ in millions)


	March 31, 2016
By Credit Rating (a)	Amortized Cost		Fair Value		Unrealized Gain (Loss)			% of Fair Value
Investment grade
AAA	$	2,255	$	2,357	$	102			40	%
AA		254		261		7			5	%
A		354		372		18			6	%
BBB		230		246		16			4	%

Subtotal - investment grade		3,093		3,236		143			55	%

BB		281		282		1			5	%
B		312		311		(1	)		5	%
Other		1,873		2,084		211			35	%

Total	$	5,559	$	5,913	$	354			100	%

98% of the mortgage-backed security portfolio has an NAIC 1 designation.


	December 31, 2015
By Credit Rating (a)	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value
Investment grade
AAA	$	2,409	$	2,494	$	85		43	%
AA		255		263		8		5	%
A		329		345		16		6	%
BBB		272		292		20		5	%

Subtotal - investment grade		3,265		3,394		129		59	%

BB		253		258		5		5	%
B		305		311		6		5	%
Other		1,530		1,759		229		31	%

Total	$	5,353	$	5,722	$	369		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.

Appendix A

American Financial Group, Inc.

Fixed Maturities - Credit Rating by Type

($ in millions)


	Fair Value - March 31, 2016
By Credit Rating (a)	US Gov		Munis		Frgn gov		RMBS		CMBS		ABS		Corp/Oth		Total		% Total
Investment grade
AAA	$	301	$	1,698	$	140	$	561	$	1,796	$	2,086	$	194	$	6,776		20	%
AA		46		4,621		22		168		93		1,283		964		7,197		21	%
A		—		546		60		202		170		1,304		5,983		8,265		24	%
BBB		—		92		—		197		49		410		7,138		7,886		23	%

Subtotal - Investment grade		347		6,957		222		1,128		2,108		5,083		14,279		30,124		88	%

BB		—		4		—		260		22		14		619		919		3	%
B		—		8		—		305		6		2		132		453		1	%
CCC, CC, C		—		8		—		936		—		4		32		980		3	%
D		—		—		—		753		—		—		3		756		2	%

Subtotal - Non-Investment grade		—		20		—		2,254		28		20		786		3,108		9	%

Not Rated		3		104		—		395		—		27		409		938		3	%


Total	$	350	$	7,081	$	222	$	3,777	$	2,136	$	5,130	$	15,474	$	34,170		100	%


	Fair Value - December 31, 2015
By Credit Rating (a)	US Gov		Munis		Frgn gov		RMBS		CMBS		ABS		Corp/Oth		Total		% Total
Investment grade
AAA	$	262	$	1,607	$	138	$	640	$	1,854	$	1,986	$	168	$	6,655		20	%
AA		44		4,488		32		151		112		1,239		888		6,954		21	%
A		—		569		62		173		172		1,252		5,741		7,969		25	%
BBB		—		92		—		248		44		429		6,694		7,507		23	%

Subtotal - Investment grade		306		6,756		232		1,212		2,182		4,906		13,491		29,085		89	%

BB		—		20		—		258		—		14		473		765		3	%
B		—		—		—		306		6		2		103		417		1	%
CCC, CC, C		—		9		—		894		—		4		11		918		3	%
D		—		—		—		445		—		—		3		448		1	%

Subtotal - Non-Investment grade		—		29		—		1,903		6		20		590		2,548		8	%

Not Rated		15		100		—		419		—		8		363		905		3	%


Total	$	321	$	6,885	$	232	$	3,534	$	2,188	$	4,934	$	14,444	$	32,538		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.

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AMERICAN FINANCIAL GROUP INC Reports