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

Attached files

file	filename
EX-99.1 - EARNINGS RELEASE - AMERICAN FINANCIAL GROUP INC	d222919dex991.htm
8-K - CURRENT REPORT - AMERICAN FINANCIAL GROUP INC	d222919d8k.htm

Exhibit 99.2


		American Financial Group, Inc. Investor Supplement - Second Quarter 2016 August 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 - Second Quarter 2016


Section	Page
Table of Contents - Investor Supplement - Second 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

Page 2


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


	Three Months Ended															Six Months Ended
	06/30/16			03/31/16			12/31/15			09/30/15			06/30/15			06/30/16			06/30/15
Highlights
Net earnings	$	54		$	101		$	129		$	63		$	141		$	155		$	160
Core net operating earnings		113			111			136			123			115			224			227
Total assets		52,733			51,038			49,837			50,540			49,403			52,733			49,403
Adjusted shareholders’ equity (a)		4,361			4,329			4,314			4,279			4,345			4,361			4,345
Property and Casualty net written premiums		1,056			979			1,056			1,319			1,026			2,035			1,952
Annuity statutory premiums		1,098			1,285			1,107			1,321			899			2,383			1,712
Per share data
Diluted earnings per share	$	0.62		$	1.14		$	1.45		$	0.71		$	1.57		$	1.76		$	1.79
Core net operating earnings per share		1.28			1.25			1.52			1.38			1.28			2.53			2.54
Adjusted book value per share (a)		50.22			49.77			49.33			49.01			49.63			50.22			49.63
Cash dividends per common share		0.280			0.280			1.280			0.250			0.250			0.560			0.500
Financial ratios
Annualized return on equity (b)		5.1	%		9.4	%		12.1	%		5.9	%		13.4	%		7.2	%		7.6	%
Annualized core operating return on equity (b)		10.5	%		10.3	%		12.7	%		11.6	%		10.9	%		10.4	%		10.9	%
Property and Casualty combined ratio - Specialty:
Loss & LAE ratio		61.2	%		58.3	%		61.8	%		64.5	%		61.0	%		59.8	%		60.9	%
Underwriting expense ratio		32.7	%		33.0	%		29.2	%		28.4	%		33.9	%		32.9	%		33.3	%

Combined ratio - Specialty		93.9	%		91.3	%		91.0	%		92.9	%		94.9	%		92.7	%		94.2	%

Net spread on fixed annuities:
Net interest spread		2.84	%		2.54	%		2.53	%		2.80	%		2.77	%		2.69	%		2.72	%
Net spread earned:
Before impact of fair value accounting		1.45	%		1.20	%		1.31	%		1.37	%		1.21	%		1.33	%		1.35	%
Impact of fair value accounting (c)		(0.37	%)		(0.46	%)		0.08	%		(0.35	%)		0.18	%		(0.42	%)		(0.05	%)

After impact of fair value accounting		1.08	%		0.74	%		1.39	%		1.02	%		1.39	%		0.91	%		1.30	%

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

(b)	Excludes accumulated other comprehensive income.

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

Page 3

American Financial Group, Inc.

Summary of Earnings

($ in millions)


	Three Months Ended															Six Months Ended
	06/30/16			03/31/16			12/31/15			09/30/15			06/30/15			06/30/16			06/30/15
Property and Casualty Insurance
Underwriting profit	$	62		$	87		$	100		$	82		$	50		$	149		$	110
Net investment income		89			83			74			83			83			172			162
Other expense		(12	)		(12	)		(11	)		(12	)		(12	)		(24	)		(22	)

Property and Casualty Insurance operating earnings		139			158			163			153			121			297			250
Annuity earnings		76			53			101			67			88			129			163
Run-off Long-Term Care and Life (losses)/earnings		—			(1	)		—			6			4			(1	)		8
Interest expense of parent holding companies (a)		(19	)		(18	)		(16	)		(18	)		(20	)		(37	)		(39	)
Other expense (a)		(19	)		(22	)		(29	)		(19	)		(19	)		(41	)		(41	)

Pre-tax core operating earnings		177			170			219			189			174			347			341
Income tax expense		64			59			83			66			59			123			114

Core net operating earnings		113			111			136			123			115			224			227
Non-core items, net of tax:
Gain (loss) on sale of subsidiaries		1			—			(3	)		—			—			1			(105	)
Gain on sale of hotel and apartment properties		15			—			10			—			26			15			26
Other realized gains (losses)		(10	)		(10	)		(14	)		(6	)		—			(20	)		12
Neon exited lines charge		(65	)		—			—			—			—			(65	)		—
Significant A&E charges:
Property and Casualty Insurance run-off operations		—			—			—			(44	)		—			—			—
Former Railroad and Manufacturing operations		—			—			—			(8	)		—			—			—
Other		—			—			—			(2	)		—			—			—

Net earnings	$	54		$	101		$	129		$	63		$	141		$	155		$	160

(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.

Page 4

American Financial Group, Inc.

Earnings Per Share Summary

(in millions, except per share information)


	Three Months Ended														Six Months Ended
	06/30/16			03/31/16			12/31/15			09/30/15			06/30/15		06/30/16			06/30/15
Core net operating earnings	$	113		$	111		$	136		$	123		$	115	$	224		$	227

Net earnings	$	54		$	101		$	129		$	63		$	141	$	155		$	160

Average number of diluted shares		88.390			88.495			89.228			89.343			89.503		88.443			89.440
Diluted earnings per share:
Core net operating earnings per share	$	1.28		$	1.25		$	1.52		$	1.38		$	1.28	$	2.53		$	2.54
Gain (loss) on sale of subsidiaries		0.01			—			(0.03	)		—			—		0.01			(1.18	)
Gain on sale of hotel and apartment properties		0.17			—			0.11			—			0.29		0.17			0.29
Other realized gains (losses)		(0.11	)		(0.11	)		(0.15	)		(0.06	)		—		(0.22	)		0.14
Neon exited lines charge		(0.73	)		—			—			—			—		(0.73	)		—
Significant A&E charges:
Property and Casualty Insurance run-off operations		—			—			—			(0.49	)		—		—			—
Former Railroad and Manufacturing operations		—			—			—			(0.09	)		—		—			—
Other		—			—			—			(0.03	)		—		—			—

Diluted earnings per share	$	0.62		$	1.14		$	1.45		$	0.71		$	1.57	$	1.76		$	1.79

Page 5

American Financial Group, Inc.

Property and Casualty Insurance - Summary Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Six Months Ended
	06/30/16			03/31/16			12/31/15			09/30/15			06/30/15			06/30/16			06/30/15
Property and Transportation	$	15		$	32		$	34		$	20		$	(13	)	$	47		$	(6	)
Specialty Casualty		23			29			50			31			37			52			65
Specialty Financial		22			23			15			26			24			45			46
Other Specialty		3			2			1			7			3			5			6

Underwriting profit - Specialty		63			86			100			84			51			149			111
Other core charges, included in loss and LAE		1			(1	)		—			2			1			—			1

Underwriting profit - Core		62			87			100			82			50			149			110
Special A&E charges, included in loss and LAE		—			—			—			(67	)		—			—			—
Neon exited lines charge, included in loss and LAE		(57	)		—			—			—			—			(57	)		—
Neon exited lines charge, included in underwriting expenses		(8	)		—			—			—			—			(8	)		—

Underwriting profit (loss) - Property and Casualty Insurance	$	(3	)	$	87		$	100		$	15		$	50		$	84		$	110

Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		21			8			9			10			10			29			16

Total current accident year catastrophe losses	$	21		$	8		$	9		$	10		$	10		$	29		$	16

Prior year loss reserve development (favorable) / adverse	$	28		$	(28	)	$	(5	)	$	55		$	(10	)	$	—		$	(17	)

Combined ratio:
Property and Transportation		95.9	%		90.6	%		92.4	%		96.2	%		104.0	%		93.4	%		101.0	%
Specialty Casualty		95.3	%		94.3	%		90.2	%		93.8	%		92.7	%		94.8	%		93.4	%
Specialty Financial		84.4	%		82.6	%		88.7	%		80.6	%		81.0	%		83.5	%		81.4	%
Other Specialty		89.2	%		89.7	%		97.1	%		67.3	%		88.0	%		89.4	%		88.6	%
Combined ratio - Specialty		93.9	%		91.3	%		91.0	%		92.9	%		94.9	%		92.7	%		94.2	%
Other core charges		0.1	%		(0.1	%)		0.0	%		0.1	%		0.0	%		0.0	%		0.0	%
Neon exited lines charge, loss and LAE		5.5	%		0.0	%		0.0	%		0.0	%		0.0	%		2.8	%		0.0	%
Neon exited lines charge, underwriting expenses		0.8	%		0.0	%		0.0	%		0.0	%		0.0	%		0.4	%		0.0	%
Special A&E charges		0.0	%		0.0	%		0.0	%		5.7	%		0.0	%		0.0	%		0.0	%

Combined ratio		100.3	%		91.2	%		91.0	%		98.7	%		94.9	%		95.9	%		94.2	%

Combined ratio excl. catastrophe and prior year development		94.8	%		93.2	%		90.6	%		93.2	%		95.0	%		94.1	%		94.4	%

Loss and LAE components - property and casualty insurance
Current accident year, excluding catastrophe loss		62.1	%		60.2	%		61.4	%		64.8	%		61.1	%		61.2	%		61.1	%
Prior accident year loss reserve development		2.7	%		(2.8	%)		(0.4	%)		4.6	%		(1.1	%)		0.1	%		(1.0	%)
Current accident year catastrophe loss		2.0	%		0.8	%		0.8	%		0.9	%		1.0	%		1.4	%		0.8	%

Loss and LAE ratio		66.8	%		58.2	%		61.8	%		70.3	%		61.0	%		62.7	%		60.9	%

Page 6

American Financial Group, Inc.

Specialty - Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Six Months Ended
	06/30/16			03/31/16			12/31/15			09/30/15			06/30/15			06/30/16			06/30/15
Gross written premiums	$	1,398		$	1,243		$	1,356		$	1,962		$	1,318		$	2,641		$	2,514
Ceded reinsurance premiums		(342	)		(264	)		(300	)		(643	)		(292	)		(606	)		(562	)

Net written premiums		1,056			979			1,056			1,319			1,026			2,035			1,952
Change in unearned premiums		(29	)		19			64			(146	)		(41	)		(10	)		(21	)

Net earned premiums		1,027			998			1,120			1,173			985			2,025			1,931
Loss and LAE		629			582			693			756			600			1,211			1,176
Underwriting expense		335			330			327			333			334			665			644

Underwriting profit	$	63		$	86		$	100		$	84		$	51		$	149		$	111

Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		21			8			9			10			10			29			16

Total current accident year catastrophe losses	$	21		$	8		$	9		$	10		$	10		$	29		$	16

Prior year loss reserve development (favorable) / adverse	$	(30	)	$	(27	)	$	(5	)	$	(14	)	$	(11	)	$	(57	)	$	(18	)

Combined ratio:
Loss and LAE ratio		61.2	%		58.3	%		61.8	%		64.5	%		61.0	%		59.8	%		60.9	%
Underwriting expense ratio		32.7	%		33.0	%		29.2	%		28.4	%		33.9	%		32.9	%		33.3	%

Combined ratio		93.9	%		91.3	%		91.0	%		92.9	%		94.9	%		92.7	%		94.2	%

Combined ratio excl. catastrophe and prior year development		94.8	%		93.2	%		90.6	%		93.2	%		95.0	%		94.1	%		94.4	%

Loss and LAE components:
Current accident year, excluding catastrophe loss		62.1	%		60.2	%		61.4	%		64.8	%		61.1	%		61.2	%		61.1	%
Prior accident year loss reserve development		(2.9	%)		(2.7	%)		(0.4	%)		(1.2	%)		(1.1	%)		(2.8	%)		(1.0	%)
Current accident year catastrophe loss		2.0	%		0.8	%		0.8	%		0.9	%		1.0	%		1.4	%		0.8	%

Loss and LAE ratio		61.2	%		58.3	%		61.8	%		64.5	%		61.0	%		59.8	%		60.9	%

Page 7

American Financial Group, Inc.

Property and Transportation - Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Six Months Ended
	06/30/16			03/31/16			12/31/15			09/30/15			06/30/15			06/30/16			06/30/15
Gross written premiums	$	538		$	398		$	515		$	1,064		$	500		$	936		$	876
Ceded reinsurance premiums		(156	)		(87	)		(137	)		(456	)		(138	)		(243	)		(226	)

Net written premiums		382			311			378			608			362			693			650
Change in unearned premiums		(17	)		28			64			(91	)		(35	)		11			(10	)

Net earned premiums		365			339			442			517			327			704			640
Loss and LAE		245			211			317			391			240			456			451
Underwriting expense		105			96			91			106			100			201			195

Underwriting profit (loss)	$	15		$	32		$	34		$	20		$	(13	)	$	47		$	(6	)

Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		12			6			3			7			7			18			11

Total current accident year catastrophe losses	$	12		$	6		$	3		$	7		$	7		$	18		$	11

Prior year loss reserve development (favorable) / adverse	$	(12	)	$	(17	)	$	8		$	(2	)	$	6		$	(29	)	$	9

Combined ratio:
Loss and LAE ratio		67.0	%		62.2	%		71.7	%		75.7	%		73.2	%		64.7	%		70.5	%
Underwriting expense ratio		28.9	%		28.4	%		20.7	%		20.5	%		30.8	%		28.7	%		30.5	%

Combined ratio		95.9	%		90.6	%		92.4	%		96.2	%		104.0	%		93.4	%		101.0	%

Combined ratio excl. catastrophe and prior year development		95.8	%		94.1	%		89.9	%		95.1	%		100.2	%		95.0	%		97.9	%

Loss and LAE components:
Current accident year, excluding catastrophe loss		66.9	%		65.7	%		69.2	%		74.6	%		69.4	%		66.3	%		67.4	%
Prior accident year loss reserve development		(3.2	%)		(5.2	%)		1.8	%		(0.4	%)		1.7	%		(4.1	%)		1.4	%
Current accident year catastrophe loss		3.3	%		1.7	%		0.7	%		1.5	%		2.1	%		2.5	%		1.7	%

Loss and LAE ratio		67.0	%		62.2	%		71.7	%		75.7	%		73.2	%		64.7	%		70.5	%

Page 8

American Financial Group, Inc.

Specialty Casualty - Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Six Months Ended
	06/30/16			03/31/16			12/31/15			09/30/15			06/30/15			06/30/16			06/30/15
Gross written premiums	$	688		$	698		$	661		$	734		$	661		$	1,386		$	1,344
Ceded reinsurance premiums		(185	)		(179	)		(158	)		(189	)		(158	)		(364	)		(340	)

Net written premiums		503			519			503			545			503			1,022			1,004
Change in unearned premiums		(6	)		(17	)		12			(42	)		—			(23	)		(11	)

Net earned premiums		497			502			515			503			503			999			993
Loss and LAE		329			313			315			323			311			642			627
Underwriting expense		145			160			150			149			155			305			301

Underwriting profit	$	23		$	29		$	50		$	31		$	37		$	52		$	65

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

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

Prior year loss reserve development (favorable) / adverse	$	(10	)	$	(4	)	$	(7	)	$	3		$	(7	)	$	(14	)	$	(7	)

Combined ratio:
Loss and LAE ratio		66.1	%		62.4	%		61.1	%		64.2	%		61.9	%		64.2	%		63.1	%
Underwriting expense ratio		29.2	%		31.9	%		29.1	%		29.6	%		30.8	%		30.6	%		30.3	%

Combined ratio		95.3	%		94.3	%		90.2	%		93.8	%		92.7	%		94.8	%		93.4	%

Combined ratio excl. catastrophe and prior year development		96.6	%		94.9	%		91.4	%		92.9	%		94.0	%		95.8	%		94.0	%

Loss and LAE components:
Current accident year, excluding catastrophe loss		67.4	%		63.0	%		62.3	%		63.3	%		63.2	%		65.2	%		63.7	%
Prior accident year loss reserve development		(2.0	%)		(0.7	%)		(1.4	%)		0.6	%		(1.4	%)		(1.4	%)		(0.8	%)
Current accident year catastrophe loss		0.7	%		0.1	%		0.2	%		0.3	%		0.1	%		0.4	%		0.2	%

Loss and LAE ratio		66.1	%		62.4	%		61.1	%		64.2	%		61.9	%		64.2	%		63.1	%

Page 9

American Financial Group, Inc.

Specialty Financial - Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Six Months Ended
	06/30/16			03/31/16			12/31/15			09/30/15			06/30/15			06/30/16			06/30/15
Gross written premiums	$	172		$	147		$	179		$	164		$	157		$	319		$	294
Ceded reinsurance premiums		(28	)		(22	)		(27	)		(27	)		(21	)		(50	)		(43	)

Net written premiums		144			125			152			137			136			269			251
Change in unearned premiums		(5	)		7			(15	)		(6	)		(7	)		2			(2	)

Net earned premiums		139			132			137			131			129			271			249
Loss and LAE		42			45			46			36			36			87			72
Underwriting expense		75			64			76			69			69			139			131

Underwriting profit	$	22		$	23		$	15		$	26		$	24		$	45		$	46

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

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

Prior year loss reserve development (favorable) / adverse	$	(7	)	$	(4	)	$	(5	)	$	(8	)	$	(8	)	$	(11	)	$	(17	)

Combined ratio:
Loss and LAE ratio		30.1	%		34.0	%		32.8	%		27.7	%		27.7	%		32.0	%		29.0	%
Underwriting expense ratio		54.3	%		48.6	%		55.9	%		52.9	%		53.3	%		51.5	%		52.4	%

Combined ratio		84.4	%		82.6	%		88.7	%		80.6	%		81.0	%		83.5	%		81.4	%

Combined ratio excl. catastrophe and prior year development		87.0	%		84.8	%		88.8	%		85.8	%		85.2	%		85.9	%		86.8	%

Loss and LAE components:
Current accident year, excluding catastrophe loss		32.7	%		36.2	%		32.9	%		32.9	%		31.9	%		34.4	%		34.4	%
Prior accident year loss reserve development		(4.6	%)		(3.3	%)		(3.6	%)		(5.8	%)		(6.2	%)		(4.0	%)		(6.7	%)
Current accident year catastrophe loss		2.0	%		1.1	%		3.5	%		0.6	%		2.0	%		1.6	%		1.3	%

Loss and LAE ratio		30.1	%		34.0	%		32.8	%		27.7	%		27.7	%		32.0	%		29.0	%

Page 10

American Financial Group, Inc.

Other Specialty - Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Six Months Ended
	06/30/16			03/31/16			12/31/15			09/30/15			06/30/15			06/30/16			06/30/15
Gross written premiums	$	—		$	—		$	1		$	—		$	—		$	—		$	—
Ceded reinsurance premiums		27			24			22			29			25			51			47

Net written premiums		27			24			23			29			25			51			47
Change in unearned premiums		(1	)		1			3			(7	)		1			—			2

Net earned premiums		26			25			26			22			26			51			49
Loss and LAE		13			13			15			6			13			26			26
Underwriting expense		10			10			10			9			10			20			17

Underwriting profit	$	3		$	2		$	1		$	7		$	3		$	5		$	6

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

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

Prior year loss reserve development (favorable) / adverse	$	(1	)	$	(2	)	$	(1	)	$	(7	)	$	(2	)	$	(3	)	$	(3	)

Combined ratio:
Loss and LAE ratio		52.5	%		52.1	%		61.0	%		29.4	%		52.4	%		52.3	%		53.4	%
Underwriting expense ratio		36.7	%		37.6	%		36.1	%		37.9	%		35.6	%		37.1	%		35.2	%

Combined ratio		89.2	%		89.7	%		97.1	%		67.3	%		88.0	%		89.4	%		88.6	%

Combined ratio excl. catastrophe and prior year development		86.4	%		96.0	%		98.1	%		97.6	%		93.2	%		91.1	%		94.8	%

Page 11

American Financial Group, Inc.

Annuity Earnings (GAAP)

($ in millions)


	Three Months Ended													Six Months Ended
	06/30/16			03/31/16			12/31/15		09/30/15			06/30/15		06/30/16			06/30/15
Net investment income	$	344		$	315		$	309	$	317		$	306	$	659		$	598
Guaranteed withdrawal benefit fees		13			12			12		11			10		25			20
Policy charges and other miscellaneous income		11			14			11		13			14		25			31

Total revenues		368			341			332		341			330		709			649
Annuity benefits expense		223			228			189		208			151		451			335
Acquisition expenses		40			34			20		44			62		74			99
Other expenses		29			26			22		22			29		55			52

Total costs and expenses		292			288			231		274			242		580			486

Annuity earnings before income taxes	$	76		$	53		$	101	$	67		$	88	$	129		$	163

Detail of Annuity earnings before income taxes
Earnings before income taxes and impact of fair value accounting	$	102		$	84		$	96	$	89		$	77	$	186		$	169
Impact of fair value accounting (a)		(26	)		(31	)		5		(22	)		11		(57	)		(6	)

Annuity earnings before income taxes	$	76		$	53		$	101	$	67		$	88	$	129		$	163

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

Page 12

American Financial Group, Inc.

Detail of Annuity Benefits Expense (GAAP)

($ in millions)


	Three Months Ended														Six Months Ended
	06/30/16			03/31/16		12/31/15			09/30/15			06/30/15			06/30/16		06/30/15
Detail of annuity benefits expense:
Interest credited - fixed	$	142		$	139	$	138		$	135		$	131		$	281	$	259
Interest credited - fixed component of variable annuities		2			1		1			2			2			3		3
Change in expected death and annuitization reserve		4			5		5			5			5			9		9
Amortization of sales inducements		6			5		6			6			7			11		14
Guaranteed withdrawal benefit reserve (a)		15			16		15			20			16			31		28
Change in other benefit reserves		8			5		5			3			12			13		14
Unlockings (b)		—			—		19			—			—			—		—

Subtotal before impact of fair value accounting		177			171		189			171			173			348		327
Embedded derivative mark-to-market (c)		62			17		88			(130	)		(19	)		79		31
Equity option mark-to-market		(16	)		40		(88	)		167			(3	)		24		(23	)

Subtotal impact of fair value accounting		46			57		—			37			(22	)		103		8

Total annuity benefits expense	$	223		$	228	$	189		$	208		$	151		$	451	$	335

(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 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 in 2015.

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

Page 13

American Financial Group, Inc.

Net Spread on Fixed Annuities (GAAP)

($ in millions)


	Three Months Ended															Six Months Ended
	06/30/16			03/31/16			12/31/15			09/30/15			06/30/15			06/30/16			06/30/15
Average fixed annuity investments (at amortized cost)	$	27,964		$	27,186		$	26,401		$	25,642		$	24,711		$	27,575		$	24,327
Average annuity benefits accumulated		27,861			26,935			26,048			25,316			24,474			27,398			24,113

Investments in excess of annuity benefits accumulated	$	103		$	251		$	353		$	326		$	237		$	177		$	214

As % of average annuity benefits accumulated (except as noted)
Net investment income (as % of investments)		4.88	%		4.60	%		4.65	%		4.92	%		4.91	%		4.74	%		4.87	%
Interest credited		(2.04	%)		(2.06	%)		(2.12	%)		(2.12	%)		(2.14	%)		(2.05	%)		(2.15	%)

Net interest spread on fixed annuities		2.84	%		2.54	%		2.53	%		2.80	%		2.77	%		2.69	%		2.72	%
Policy charges and other miscellaneous income		0.13	%		0.16	%		0.15	%		0.16	%		0.17	%		0.15	%		0.20	%
Other annuity benefit expenses, net		(0.30	%)		(0.27	%)		(0.31	%)		(0.36	%)		(0.49	%)		(0.28	%)		(0.37	%)
Acquisition expenses		(0.55	%)		(0.47	%)		(0.75	%)		(0.65	%)		(0.98	%)		(0.51	%)		(0.79	%)
Other expenses		(0.38	%)		(0.38	%)		(0.32	%)		(0.34	%)		(0.43	%)		(0.38	%)		(0.39	%)
Change in fair value of derivatives		(0.66	%)		(0.84	%)		0.02	%		(0.59	%)		0.35	%		(0.76	%)		(0.07	%)
Unlockings		0.00	%		0.00	%		0.07	%		0.00	%		0.00	%		0.00	%		0.00	%

Net spread earned on fixed annuities		1.08	%		0.74	%		1.39	%		1.02	%		1.39	%		0.91	%		1.30	%

Average annuity benefits accumulated	$	27,861		$	26,935		$	26,048		$	25,316		$	24,474		$	27,398		$	24,113
Net spread earned on fixed annuities		1.08	%		0.74	%		1.39	%		1.02	%		1.39	%		0.91	%		1.30	%

Earnings on fixed annuity benefits accumulated	$	75		$	50		$	91		$	65		$	85		$	125		$	157
Investments in excess of annuity benefits accumulated	$	103		$	251		$	353		$	326		$	237		$	177		$	214
Net investment income (as % of investments)		4.88	%		4.60	%		4.65	%		4.92	%		4.91	%		4.74	%		4.87	%

Earnings on investments in excess of annuity benefits accumulated	$	1		$	3		$	4		$	4		$	3		$	4		$	5
Variable annuity earnings		—			—			6			(2	)		—			—			1

Earnings before income taxes	$	76		$	53		$	101		$	67		$	88		$	129		$	163

Detail of net spread earned on fixed annuities
Net spread earned - before impact of fair value accounting		1.45	%		1.20	%		1.31	%		1.37	%		1.21	%		1.33	%		1.35	%
Impact of fair value accounting (a)		(0.37	%)		(0.46	%)		0.08	%		(0.35	%)		0.18	%		(0.42	%)		(0.05	%)

Net spread earned - after impact of fair value accounting		1.08	%		0.74	%		1.39	%		1.02	%		1.39	%		0.91	%		1.30	%

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

Page 14

American Financial Group

Annuity Premiums (Statutory)

($ in millions)


	Three Months Ended										Six Months Ended
	06/30/16		03/31/16		12/31/15		09/30/15		06/30/15		06/30/16		06/30/15
Retail single premium annuities - indexed	$	413	$	546	$	494	$	617	$	404	$	959	$	753
Retail single premium annuities - fixed		22		20		18		22		18		42		30
Financial institutions single premium annuities - indexed		507		534		462		554		369		1,041		725
Financial institutions single premium annuities - fixed		100		119		72		71		48		219		86
Education market - fixed and indexed annuities		45		57		51		47		49		102		96

Subtotal fixed annuity premiums		1,087		1,276		1,097		1,311		888		2,363		1,690
Variable annuities		11		9		10		10		11		20		22

Total annuity premiums	$	1,098	$	1,285	$	1,107	$	1,321	$	899	$	2,383	$	1,712

Page 15

American Financial Group, Inc.

Fixed Annuity Benefits Accumulated (GAAP)

($ in millions)


	Three Months Ended															Six Months Ended
	06/30/16			03/31/16			12/31/15			09/30/15			06/30/15			06/30/16			06/30/15
Beginning fixed annuity reserves	$	27,499		$	26,371		$	25,725		$	24,906		$	24,042		$	26,371		$	23,462
Premiums		1,087			1,276			1,097			1,311			888			2,363			1,690
Federal Home Loan Bank advances		—			150			45			—			300			150			300
Surrenders, benefits and other withdrawals		(596	)		(483	)		(515	)		(526	)		(471	)		(1,079	)		(891	)
Sale of subsidiaries		—			—			(261	)		—			—			—			—
Interest and other annuity benefit expenses:
Interest credited		142			139			138			135			131			281			259
Embedded derivative mark-to-market		62			17			88			(130	)		(19	)		79			31
Change in other benefit reserves		28			29			31			29			35			57			55
Unlockings		—			—			23			—			—			—			—

Ending fixed annuity reserves	$	28,222		$	27,499		$	26,371		$	25,725		$	24,906		$	28,222		$	24,906

Reconciliation to annuity benefits accumulated:
Ending fixed annuity reserves	$	28,222		$	27,499		$	26,371		$	25,725		$	24,906		$	28,222		$	24,906
Impact of unrealized investment gains on reserves		188			127			64			113			107			188			107
Fixed component of variable annuities		186			186			187			188			190			186			190

Annuity benefits accumulated per balance sheet	$	28,596		$	27,812		$	26,622		$	26,026		$	25,203		$	28,596		$	25,203

Annualized surrenders and other withdrawals as a % of beginning reserves		8.7	%		7.3	%		8.0	%		8.4	%		7.8	%		8.2	%		7.6	%

Page 16

American Financial Group, Inc.

Consolidated Balance Sheet

($ in millions)


	06/30/16			03/31/16			12/31/15			09/30/15			06/30/15			03/31/15
Assets:
Total cash and investments	$	40,639		$	39,437		$	37,736		$	38,132		$	37,644		$	37,384
Recoverables from reinsurers		2,576			2,561			2,636			3,151			3,075			3,046
Prepaid reinsurance premiums		521			475			480			604			499			475
Agents’ balances and premiums receivable		992			936			937			976			959			864
Deferred policy acquisition costs		881			1,055			1,184			993			965			756
Assets of managed investment entities		4,410			3,906			4,047			3,613			3,629			3,279
Other receivables		788			693			820			1,241			660			641
Variable annuity assets (separate accounts)		595			595			608			595			655			667
Other assets (a)		1,132			1,181			1,190			1,034			1,116			972
Goodwill		199			199			199			201			201			201

Total assets	$	52,733		$	51,038		$	49,837		$	50,540		$	49,403		$	48,285

Liabilities and Equity:
Unpaid losses and loss adjustment expenses	$	8,203		$	8,108		$	8,127		$	8,061		$	7,744		$	7,636
Unearned premiums		2,109			2,051			2,060			2,238			2,004			1,936
Annuity benefits accumulated		28,596			27,812			26,622			26,026			25,203			24,411
Life, accident and health reserves		702			708			705			2,159			2,156			2,195
Payable to reinsurers		588			501			591			724			511			494
Liabilities of managed investment entities		4,192			3,656			3,781			3,287			3,309			2,952
Long-term debt (a)		998			998			998			863			1,003			1,039
Variable annuity liabilities (separate accounts)		595			595			608			595			655			667
Other liabilities		1,557			1,672			1,575			1,681			1,834			1,855

Total liabilities	$	47,540		$	46,101		$	45,067		$	45,634		$	44,419		$	43,185
Shareholders’ equity:
Common stock	$	87		$	87		$	87		$	87		$	88		$	88
Capital surplus		1,228			1,218			1,214			1,195			1,183			1,173
Unappropriated retained earnings		3,016			3,002			2,987			2,981			2,968			2,886
Unrealized gains - fixed maturities		639			426			278			445			457			656
Unrealized gains - equities		45			40			54			44			130			143
Other comprehensive income, net of tax		(15	)		(18	)		(28	)		(28	)		(24	)		(23	)

Total shareholders’ equity		5,000			4,755			4,592			4,724			4,802			4,923
Noncontrolling interests		193			182			178			182			182			177

Total liabilities and equity	$	52,733		$	51,038		$	49,837		$	50,540		$	49,403		$	48,285

(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.

Page 17

American Financial Group, Inc.

Book Value Per Share and Price / Book Summary

(in millions, except per share information)


	06/30/16			03/31/16			12/31/15			09/30/15			06/30/15			03/31/15
Shareholders’ equity	$	5,000		$	4,755		$	4,592		$	4,724		$	4,802		$	4,923
Unrealized (gains) on fixed maturities		(639	)		(426	)		(278	)		(445	)		(457	)		(656	)

Adjusted shareholders’ equity		4,361			4,329			4,314			4,279			4,345			4,267
Goodwill		(199	)		(199	)		(199	)		(201	)		(201	)		(201	)
Intangibles		(46	)		(47	)		(49	)		(51	)		(53	)		(55	)

Tangible adjusted shareholders’ equity	$	4,116		$	4,083		$	4,066		$	4,027		$	4,091		$	4,011

Common shares outstanding		86.850			86.966			87.474			87.327			87.540			87.886
Book value per share:
Book value per share	$	57.57		$	54.67		$	52.50		$	54.10		$	54.86		$	56.01
Adjusted (a)		50.22			49.77			49.33			49.01			49.63			48.55
Tangible, adjusted (b)		47.41			46.94			46.49			46.12			46.73			45.63
Market capitalization
AFG’s closing common share price	$	73.93		$	70.37		$	72.08		$	68.91		$	65.04		$	64.15
Market capitalization	$	6,421		$	6,120		$	6,305		$	6,018		$	5,694		$	5,638
Price / Adjusted book value ratio		1.47			1.41			1.46			1.41			1.31			1.32

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

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

Page 18

American Financial Group, Inc.

Capitalization

($ in millions)


	06/30/16			03/31/16			12/31/15			09/30/15			06/30/15			03/31/15
AFG senior obligations (a)	$	708		$	708		$	708		$	708		$	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		$	720		$	852		$	852
AFG subordinated debentures		300			300			300			150			150			150
Obligations of subsidiaries - secured by real estate		—			—			—			10			22			59

Total principal amount of long-term debt	$	1,020		$	1,020		$	1,020		$	880		$	1,024		$	1,061
Shareholders’ equity		5,000			4,755			4,592			4,724			4,802			4,923
Noncontrolling interests		193			182			178			182			182			177
Less:
Unrealized gains related to fixed maturity investments		(639	)		(426	)		(278	)		(445	)		(457	)		(656	)

Total adjusted capital	$	5,574		$	5,531		$	5,512		$	5,341		$	5,551		$	5,505

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

Total adjusted capital excluding obligations secured by real estate	$	5,574		$	5,531		$	5,512		$	5,331		$	5,529		$	5,446

Ratio of debt to total adjusted capital:
Including subordinated debt & debt secured by real estate		18.3	%		18.4	%		18.5	%		16.5	%		18.4	%		19.3	%
Excluding subordinated debt & debt secured by real estate		12.9	%		13.0	%		13.1	%		13.5	%		15.4	%		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.

Page 19

American Financial Group, Inc.

Additional Supplemental Information

($ in millions)


	Three Months Ended										Six Months Ended
	06/30/16		03/31/16		12/31/15		09/30/15		06/30/15		06/30/16		06/30/15
Property and Casualty Insurance
Paid Losses (GAAP)	$	586	$	547	$	675	$	585	$	526	$	1,133	$	1,143

	06/30/16		03/31/16		12/31/15		09/30/15		06/30/15		03/31/15
Statutory Surplus
Property and Casualty Insurance	$	2,601	$	2,574	$	2,488	$	2,356	$	2,399	$	2,340
AFG’s principal annuity subsidiaries (total adjusted capital)	$	2,089	$	2,032	$	1,918	$	1,816	$	1,911	$	1,861
Allowable dividends without regulatory approval
Property and Casualty Insurance	$	434	$	434	$	434	$	315	$	315	$	315
Annuity and Run-off		375		375		375		358		358		358

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

Page 20

American Financial Group, Inc.

Total Cash and Investments

($ in millions)


	Carrying Value - June 30, 2016
	Property and					Parent and							% of
	Casualty		Annuity and			Other Non-		Consolidate			Total AFG		Investment
	Insurance		Run-off			Insurance		CLOs			Consolidated		Portfolio
Total cash and investments:
Cash and cash equivalents	$	866	$	440		$	242	$	—		$	1,548		4	%
Fixed maturities - Available for sale		6,891		27,733			14		—			34,638		85	%
Fixed maturities - Trading		154		117			—		—			271		1	%
Equity securities		1,058		452			48		—			1,558		4	%
Policy loans		—		195			—		—			195		0	%
Mortgage loans		258		901			—		—			1,159		3	%
Real estate and other investments		503		969			15		(217	)		1,270		3	%

Total cash and investments	$	9,730	$	30,807		$	319	$	(217	)	$	40,639		100	%

Unrealized gain/(loss) on equity securities	$	68	$	4		$	—	$	—		$	72


	Carrying Value - December 31, 2015
	Property and					Parent and							% of
	Casualty		Annuity and			Other Non-		Consolidate			Total AFG		Investment
	Insurance		Run-off			Insurance		CLOs			Consolidated		Portfolio
Total cash and investments:
Cash and cash equivalents	$	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

Page 21

American Financial Group, Inc.

Net Investment Income

($ in millions)


	Three Months Ended															Six Months Ended
	06/30/16			03/31/16			12/31/15			09/30/15			06/30/15			06/30/16			06/30/15
Property and Casualty Insurance:
Gross Investment Income
Fixed maturities - Available for sale	$	66		$	64		$	63		$	62		$	62		$	130		$	123
Fixed maturities - Trading		1			1			—			—			—			2			4
Equity securities		12			13			14			12			12			25			22
Equity in investees		2			6			(1	)		7			3			8			4
Other investments		10			1			—			4			8			11			13

Gross investment income		91			85			76			85			85			176			166
Investment expenses		(2	)		(2	)		(2	)		(2	)		(2	)		(4	)		(4	)

Total net investment income	$	89		$	83		$	74		$	83		$	83		$	172		$	162

Average cash and investments (a)	$	9,465		$	9,366		$	9,113		$	8,984		$	8,956		$	9,397		$	8,851

Average yield (b)		3.76	%		3.54	%		3.25	%		3.70	%		3.71	%		3.66	%		3.66	%

Fixed Annuity:
Gross Investment Income
Fixed maturities - Available for sale	$	307		$	294		$	294		$	288		$	277		$	601		$	544
Fixed maturities - Trading		—			—			—			—			—			—			—
Equity securities		6			5			6			5			5			11			10
Equity in investees		2			5			2			11			1			7			3
Other investments		29			11			7			14			23			40			41

Gross investment income		344			315			309			318			306			659			598
Investment expenses		(2	)		(3	)		(2	)		(3	)		(2	)		(5	)		(5	)

Total net investment income	$	342		$	312		$	307		$	315		$	304		$	654		$	593

Average cash and investments (a)	$	27,964		$	27,186		$	26,401		$	25,642		$	24,711		$	27,575		$	24,327

Average yield (b)		4.88	%		4.60	%		4.65	%		4.92	%		4.91	%		4.74	%		4.87	%

AFG consolidated net investment income:
Property & Casualty	$	89		$	83		$	74		$	83		$	83		$	172		$	162
Annuity and Run-off:
Fixed Annuity		342			312			307			315			304			654			593
Variable Annuity		2			3			2			2			2			5			5
Run-off		5			5			19			20			21			10			41
Other		4			1			3			2			(1	)		5			(1	)
Consolidate CLOs		(19	)		7			11			3			(5	)		(12	)		(8	)

Total net investment income	$	423		$	411		$	416		$	425		$	404		$	834		$	792

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

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

Page 22

American Financial Group, Inc.

Fixed Maturities - By Security Type - AFG Consolidated

($ in millions)


												% of
	Amortized					Unrealized			% of			Investment
June 30, 2016	Cost			Fair Value		Gain (Loss)			Fair Value			Portfolio
US Government and government agencies	$	345		$	351	$	6			1	%		1	%
States, municipalities and political subdivisions		6,657			7,169		512			20	%		18	%
Foreign government		224			232		8			1	%		1	%
Residential mortgage-backed securities		3,482			3,751		269			11	%		9	%
Commercial mortgage-backed securities		1,949			2,042		93			6	%		5	%
Asset-backed securities		5,491			5,501		10			16	%		13	%
Corporate and other bonds		15,005			15,863		858			45	%		39	%

Total AFG consolidated	$	33,153		$	34,909	$	1,756			100	%		86	%

Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		4.62	%
Net of investment expense (a)		4.57	%
Approximate average life and duration:
Approximate average life		6.5 years
Approximate duration		5 years

												% of
	Amortized					Unrealized			% of			Investment
December 31, 2015	Cost			Fair Value		Gain (Loss)			Fair Value			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.

Page 23

American Financial Group, Inc.

Fixed Maturities - By Security Type Portfolio

($ in millions)


	June 30, 2016											December 31, 2015
	Amortized					Unrealized			% of			Amortized					Unrealized			% of
	Cost			Fair Value		Gain (Loss)			Fair Value			Cost			Fair Value		Gain (Loss)			Fair Value
Property and Casualty Insurance:
US Government and government agencies	$	291		$	295	$	4			4	%	$	255		$	257	$	2			4	%
States, municipalities and political subdivisions		2,693			2,819		126			40	%		2,807			2,891		84			42	%
Foreign government		213			219		6			3	%		213			219		6			3	%
Residential mortgage-backed securities		987			1,025		38			15	%		893			932		39			13	%
Commercial mortgage-backed securities		197			202		5			3	%		209			213		4			3	%
Asset-backed securities		1,503			1,502		(1	)		21	%		1,453			1,442		(11	)		21	%
Corporate and other bonds		958			983		25			14	%		979			970		(9	)		14	%

Property and Casualty Insurance	$	6,842		$	7,045	$	203			100	%	$	6,809		$	6,924	$	115			100	%

Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		3.91	%										3.82	%
Net of investment expense (a)		3.80	%										3.71	%
Tax equivalent, net of investment expense (b)		4.33	%										4.31	%
Approximate average life and duration:
Approximate average life		5 years											5 years
Approximate duration		3.5 years											4 years

	June 30, 2016											December 31, 2015
	Amortized					Unrealized			% of			Amortized					Unrealized			% of
	Cost			Fair Value		Gain (Loss)			Fair Value			Cost			Fair Value		Gain (Loss)			Fair Value
Annuity and Run-off:
US Government and government agencies	$	53		$	55	$	2			0	%	$	62		$	62	$	—			0	%
States, municipalities and political subdivisions		3,964			4,350		386			16	%		3,864			3,994		130			15	%
Foreign government		11			13		2			0	%		12			13		1			0	%
Residential mortgage-backed securities		2,494			2,713		219			10	%		2,347			2,590		243			10	%
Commercial mortgage-backed securities		1,752			1,840		88			7	%		1,903			1,975		72			8	%
Asset-backed securities		3,988			3,999		11			14	%		3,508			3,492		(16	)		14	%
Corporate and other bonds		14,047			14,880		833			53	%		13,311			13,474		163			53	%

Total Annuity and Run-off	$	26,309		$	27,850	$	1,541			100	%	$	25,007		$	25,600	$	593			100	%

Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		4.80	%										4.98	%
Net of investment expense (a)		4.77	%										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.

Page 24

American Financial Group, Inc.

Fixed Maturities - Credit Rating

($ in millions)


	June 30, 2016
	Amortized				Unrealized			% of
By Credit Rating (a)	Cost		Fair Value		Gain (Loss)			Fair Value
Investment grade
AAA	$	6,482	$	6,751	$	269			19	%
AA		6,912		7,352		440			21	%
A		8,136		8,572		436			25	%
BBB		7,893		8,277		384			24	%

Subtotal - Investment grade		29,423		30,952		1,529			89	%
BB		801		801		—			2	%
B		497		481		(16	)		1	%
Other (b)		2,432		2,675		243			8	%

Subtotal - Non-Investment grade		3,730		3,957		227			11	%

Total	$	33,153	$	34,909	$	1,756			100	%

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


	December 31, 2015
	Amortized				Unrealized			% of
By Credit Rating (a)	Cost		Fair Value		Gain (Loss)			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.

Page 25

American Financial Group, Inc.

Mortgage-Backed Securities - AFG Consolidated

($ in millions)


										% of
	Amortized				Unrealized		% of			Investment
June 30, 2016	Cost		Fair Value		Gain (Loss)		Fair Value			Portfolio
Residential
Agency	$	194	$	200	$	6		3	%		0	%
Prime (Non-Agency)		1,490		1,649		159		29	%		4	%
Alt-A		1,080		1,149		69		20	%		3	%
Subprime		718		753		35		13	%		2	%
Commercial		1,949		2,042		93		35	%		5	%

Total AFG consolidated	$	5,431	$	5,793	$	362		100	%		14	%

•

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.

•

97% of our Commercial MBS portfolio is investment-grade rated (83% 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.


										% of
	Amortized				Unrealized		% of			Investment
December 31, 2015	Cost		Fair Value		Gain (Loss)		Fair Value			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	%

Page 26

American Financial Group, Inc.

Mortgage-Backed Securities Portfolio

($ in millions)


Property and Casualty Insurance:	June 30, 2016
	Amortized				Unrealized		% of			% of Inv
By Asset Type	Cost		Fair Value		Gain (Loss)		Fair Value			Portfolio
Residential
Agency	$	136	$	140	$	4		11	%		2	%
Prime (Non-Agency)		205		218		13		18	%		2	%
Alt-A		356		369		13		30	%		4	%
Subprime		290		298		8		24	%		3	%
Commercial		197		202		5		18	%		2	%

Total	$	1,184	$	1,227	$	43		100	%		13	%


	December 31, 2015
	Amortized				Unrealized		% of			% of Inv
By Asset Type	Cost		Fair Value		Gain (Loss)		Fair Value			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:	June 30, 2016
	Amortized				Unrealized		% of			% of Inv
By Asset Type	Cost		Fair Value		Gain (Loss)		Fair Value			Portfolio
Residential
Agency	$	58	$	60	$	2		1	%		0	%
Prime (Non-Agency)		1,284		1,418		134		31	%		5	%
Alt-A		724		780		56		17	%		3	%
Subprime		428		455		27		10	%		1	%
Commercial		1,752		1,840		88		41	%		6	%

Total	$	4,246	$	4,553	$	307		100	%		15	%


	December 31, 2015
	Amortized				Unrealized		% of			% of Inv
By Asset Type	Cost		Fair Value		Gain (Loss)		Fair Value			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	%

Page 27

American Financial Group, Inc.

Mortgage-Backed Securities - Credit Rating

($ in millions)


	June 30, 2016
	Amortized				Unrealized		% of
By Credit Rating (a)	Cost		Fair Value		Gain (Loss)		Fair Value
Investment grade
AAA	$	2,120	$	2,230	$	110		38	%
AA		231		238		7		4	%
A		311		326		15		6	%
BBB		216		230		14		4	%

Subtotal – investment grade		2,878		3,024		146		52	%
BB		286		289		3		5	%
B		343		343		—		6	%
Other		1,924		2,137		213		37	%

Total	$	5,431	$	5,793	$	362		100	%

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


	December 31, 2015
	Amortized				Unrealized		% of
By Credit Rating (a)	Cost		Fair Value		Gain (Loss)		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.

Page 28

Appendix A

American Financial Group, Inc.

Fixed Maturities - Credit Rating by Type

($ in millions)


	Fair Value - June 30, 2016
By Credit Rating (a)	US Gov		Munis		Frgn gov		RMBS		CMBS		ABS		Corp/Oth		Total		% Total
Investment grade
AAA	$	297	$	1,781	$	152	$	537	$	1,693	$	2,104	$	187	$	6,751		19	%
AA		46		4,648		23		159		80		1,379		1,017		7,352		21	%
A		—		508		57		177		148		1,469		6,213		8,572		25	%
BBB		—		92		—		168		62		530		7,425		8,277		24	%

Subtotal - Investment grade		343		7,029		232		1,041		1,983		5,482		14,842		30,952		89	%
BB		—		4		—		245		44		13		495		801		2	%
B		—		8		—		328		15		2		128		481		1	%
CCC, CC, C		—		9		—		909		—		4		24		946		3	%
D		—		—		—		780		—		—		7		787		2	%

Subtotal - Non-Investment grade		—		21		—		2,262		59		19		654		3,015		8	%
Not Rated		8		119		—		448		—		—		367		942		3	%

Total	$	351	$	7,169	$	232	$	3,751	$	2,042	$	5,501	$	15,863	$	34,909		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.

Page 29

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