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	d284566dex991.htm
8-K - CURRENT REPORT - AMERICAN FINANCIAL GROUP INC	d284566d8k.htm

Exhibit 99.2


		American Financial Group, Inc. Investor Supplement - Third Quarter 2016

		November 1, 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 - Third Quarter 2016


Section		Page

Table of Contents - Investor Supplement - Third 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															Nine Months Ended
	09/30/16			06/30/16			03/31/16			12/31/15			09/30/15			9/30/2016			9/30/2015

Highlights
Net earnings	$	109		$	54		$	101		$	129		$	63		$	264		$	223
Core net operating earnings		134			113			111			136			123			358			350
Total assets		54,845			52,733			51,038			49,837			50,540			54,845			50,540
Adjusted shareholders’ equity (a)		4,492			4,361			4,329			4,314			4,279			4,492			4,279
Property and Casualty net written premiums		1,268			1,056			979			1,056			1,319			3,303			3,271
Annuity statutory premiums		941			1,098			1,285			1,107			1,321			3,324			3,033

Per share data
Diluted earnings per share	$	1.23		$	0.62		$	1.14		$	1.45		$	0.71		$	2.98		$	2.49
Core net operating earnings per share		1.51			1.28			1.25			1.52			1.38			4.04			3.92
Adjusted book value per share (a)		51.73			50.22			49.77			49.33			49.01			51.73			49.01

Cash dividends per common share		0.280			0.280			0.280			1.280			0.250			0.840			0.750

Financial ratios
Annualized return on equity (b)		9.9	%		5.1	%		9.4	%		12.1	%		5.9	%		8.1	%		7.1	%
Annualized core operating return on equity (b)		12.2	%		10.5	%		10.3	%		12.7	%		11.6	%		11.0	%		11.1	%

Property and Casualty combined ratio - Specialty:
Loss & LAE ratio		62.9	%		61.2	%		58.3	%		61.8	%		64.5	%		61.0	%		62.2	%
Underwriting expense ratio		30.3	%		32.7	%		33.0	%		29.2	%		28.4	%		31.9	%		31.5	%

Combined ratio - Specialty		93.2	%		93.9	%		91.3	%		91.0	%		92.9	%		92.9	%		93.7	%

Net spread on fixed annuities:
Net interest spread		2.85	%		2.84	%		2.54	%		2.53	%		2.80	%		2.75	%		2.75	%
Net spread earned:
Before impact of fair value accounting		1.46	%		1.45	%		1.20	%		1.31	%		1.37	%		1.37	%		1.36	%
Impact of fair value accounting (c)		0.01	%		(0.37	%)		(0.46	%)		0.08	%		(0.35	%)		(0.27	%)		(0.15	%)

After impact of fair value accounting		1.47	%		1.08	%		0.74	%		1.39	%		1.02	%		1.10	%		1.21	%

(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															Nine Months Ended
	09/30/16			06/30/16			03/31/16			12/31/15			09/30/15			09/30/16			09/30/15
Property and Casualty Insurance
Underwriting profit	$	78		$	62		$	87		$	100		$	82		$	227		$	192
Net investment income		93			89			83			74			83			265			245
Other expense		(18	)		(12	)		(12	)		(11	)		(12	)		(42	)		(34	)

Property and Casualty Insurance operating earnings		153			139			158			163			153			450			403

Annuity earnings		107			76			53			101			67			236			230
Run-off Long-Term Care and Life earnings		1			—			(1	)		—			6			—			14
Interest expense of parent holding companies (a)		(19	)		(19	)		(18	)		(16	)		(18	)		(56	)		(57	)
Other expense (a)		(29	)		(19	)		(22	)		(29	)		(19	)		(70	)		(60	)

Pre-tax core operating earnings		213			177			170			219			189			560			530

Income tax expense		79			64			59			83			66			202			180

Core net operating earnings		134			113			111			136			123			358			350

Non-core items, net of tax:
Gain (loss) on sale of subsidiaries		—			1			—			(7	)		4			1			(101	)
Gain on sale of hotel and apartment properties		—			15			—			10			—			15			26
Realized gains (losses) on securities		1			(10	)		(10	)		(10	)		(10	)		(19	)		2
Neon exited lines charge		—			(65	)		—			—			—			(65	)		—
Significant A&E charges:
Property and Casualty Insurance run-off operations		(23	)		—			—			—			(44	)		(23	)		(44	)
Former Railroad and Manufacturing operations		(3	)		—			—			—			(8	)		(3	)		(8	)
Other		—			—			—			—			(2	)		—			(2	)

Net earnings	$	109		$	54		$	101		$	129		$	63		$	264		$	223

(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															Nine Months Ended
	09/30/16			06/30/16			03/31/16			12/31/15			09/30/15			09/30/16			09/30/15

Core net operating earnings	$	134		$	113		$	111		$	136		$	123		$	358		$	350


Net earnings	$	109		$	54		$	101		$	129		$	63		$	264		$	223


Average number of diluted shares		88.457			88.390			88.495			89.228			89.343			88.447			89.407

Diluted earnings per share:
Core net operating earnings per share	$	1.51		$	1.28		$	1.25		$	1.52		$	1.38		$	4.04		$	3.92

Gain (loss) on sale of subsidiaries		—			0.01			—			(0.03	)		0.04			0.01			(1.14	)
Gain on sale of hotel and apartment properties		—			0.17			—			0.11			—			0.17			0.29
Realized gains (losses) on securities		0.02			(0.11	)		(0.11	)		(0.15	)		(0.10	)		(0.21	)		0.03
Neon exited lines charge		—			(0.73	)		—			—			—			(0.73	)		—
Significant A&E charges:
Property and Casualty Insurance run-off operations		(0.26	)		—			—			—			(0.49	)		(0.26	)		(0.49	)
Former Railroad and Manufacturing operations		(0.04	)		—			—			—			(0.09	)		(0.04	)		(0.09	)
Other		—			—			—			—			(0.03	)		—			(0.03	)

Diluted earnings per share	$	1.23		$	0.62		$	1.14		$	1.45		$	0.71		$	2.98		$	2.49

Page 5

American Financial Group, Inc.

Property and Casualty Insurance - Summary Underwriting Results (GAAP)

($ in millions)


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

Property and Transportation	$	44		$	15		$	32		$	34		$	20		$	91		$	14
Specialty Casualty		13			23			29			50			31			65			96
Specialty Financial		19			22			23			15			26			64			72
Other Specialty		2			3			2			1			7			7			13

Underwriting profit - Specialty		78			63			86			100			84			227			195

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

Underwriting profit - Core		78			62			87			100			82			227			192

Special A&E charges, included in loss and LAE		(36	)		—			—			—			(67	)		(36	)		(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	$	42		$	(3	)	$	87		$	100		$	15		$	126		$	125


Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		14			21			8			9			10			43			26

Total current accident year catastrophe losses	$	14		$	21		$	8		$	9		$	10		$	43		$	26


Prior year loss reserve development (favorable) / adverse	$	22		$	28		$	(28	)	$	(5	)	$	55		$	22		$	38


Combined ratio:
Property and Transportation		91.1	%		95.9	%		90.6	%		92.4	%		96.2	%		92.4	%		98.7	%
Specialty Casualty		97.4	%		95.3	%		94.3	%		90.2	%		93.8	%		95.7	%		93.6	%
Specialty Financial		86.4	%		84.4	%		82.6	%		88.7	%		80.6	%		84.5	%		81.0	%
Other Specialty		91.5	%		89.2	%		89.7	%		97.1	%		67.3	%		90.1	%		81.4	%
Combined ratio - Specialty		93.2	%		93.9	%		91.3	%		91.0	%		92.9	%		92.9	%		93.7	%

Other core charges		0.1	%		0.1	%		(0.1	%)		0.0	%		0.1	%		0.0	%		0.1	%
Neon exited lines charge, loss and LAE		0.0	%		5.5	%		0.0	%		0.0	%		0.0	%		1.8	%		0.0	%
Neon exited lines charge, underwriting expenses		0.0	%		0.8	%		0.0	%		0.0	%		0.0	%		0.2	%		0.0	%
Special A&E charges		3.0	%		0.0	%		0.0	%		0.0	%		5.7	%		1.1	%		2.2	%

Combined ratio		96.3	%		100.3	%		91.2	%		91.0	%		98.7	%		96.0	%		96.0	%


Combined ratio excl. catastrophe and prior year development		93.1	%		94.8	%		93.2	%		90.6	%		93.2	%		93.7	%		93.9	%


Loss and LAE components - property and casualty insurance
Current accident year, excluding catastrophe loss		62.8	%		62.1	%		60.2	%		61.4	%		64.8	%		61.8	%		62.4	%
Prior accident year loss reserve development		2.0	%		2.7	%		(2.8	%)		(0.4	%)		4.6	%		0.7	%		1.3	%
Current accident year catastrophe loss		1.2	%		2.0	%		0.8	%		0.8	%		0.9	%		1.3	%		0.8	%

Loss and LAE ratio		66.0	%		66.8	%		58.2	%		61.8	%		70.3	%		63.8	%		64.5	%

Page 6

American Financial Group, Inc.

Specialty - Underwriting Results (GAAP)

($ in millions)


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

Gross written premiums	$	1,899		$	1,398		$	1,243		$	1,356		$	1,962		$	4,540		$	4,476
Ceded reinsurance premiums		(631	)		(342	)		(264	)		(300	)		(643	)		(1,237	)		(1,205	)

Net written premiums		1,268			1,056			979			1,056			1,319			3,303			3,271
Change in unearned premiums		(109	)		(29	)		19			64			(146	)		(119	)		(167	)

Net earned premiums		1,159			1,027			998			1,120			1,173			3,184			3,104

Loss and LAE		729			629			582			693			756			1,940			1,932
Underwriting expense		352			335			330			327			333			1,017			977

Underwriting profit	$	78		$	63		$	86		$	100		$	84		$	227		$	195


Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		14			21			8			9			10			43			26

Total current accident year catastrophe losses	$	14		$	21		$	8		$	9		$	10		$	43		$	26


Prior year loss reserve development (favorable) / adverse	$	(14	)	$	(30	)	$	(27	)	$	(5	)	$	(14	)	$	(71	)	$	(32	)


Combined ratio:
Loss and LAE ratio		62.9	%		61.2	%		58.3	%		61.8	%		64.5	%		61.0	%		62.2	%
Underwriting expense ratio		30.3	%		32.7	%		33.0	%		29.2	%		28.4	%		31.9	%		31.5	%

Combined ratio		93.2	%		93.9	%		91.3	%		91.0	%		92.9	%		92.9	%		93.7	%


Combined ratio excl. catastrophe and prior year development		93.1	%		94.8	%		93.2	%		90.6	%		93.2	%		93.7	%		93.9	%


Loss and LAE components:
Current accident year, excluding catastrophe loss		62.8	%		62.1	%		60.2	%		61.4	%		64.8	%		61.8	%		62.4	%
Prior accident year loss reserve development		(1.1	%)		(2.9	%)		(2.7	%)		(0.4	%)		(1.2	%)		(2.1	%)		(1.0	%)
Current accident year catastrophe loss		1.2	%		2.0	%		0.8	%		0.8	%		0.9	%		1.3	%		0.8	%

Loss and LAE ratio		62.9	%		61.2	%		58.3	%		61.8	%		64.5	%		61.0	%		62.2	%

Page 7

American Financial Group, Inc.

Property and Transportation - Underwriting Results (GAAP)

($ in millions)


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

Gross written premiums	$	991		$	538		$	398		$	515		$	1,064		$	1,927		$	1,940
Ceded reinsurance premiums		(406	)		(156	)		(87	)		(137	)		(456	)		(649	)		(682	)

Net written premiums		585			382			311			378			608			1,278			1,258
Change in unearned premiums		(92	)		(17	)		28			64			(91	)		(81	)		(101	)

Net earned premiums		493			365			339			442			517			1,197			1,157

Loss and LAE		339			245			211			317			391			795			842
Underwriting expense		110			105			96			91			106			311			301

Underwriting profit	$	44		$	15		$	32		$	34		$	20		$	91		$	14


Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		7			12			6			3			7			25			18

Total current accident year catastrophe losses	$	7		$	12		$	6		$	3		$	7		$	25		$	18


Prior year loss reserve development (favorable) / adverse	$	(5	)	$	(12	)	$	(17	)	$	8		$	(2	)	$	(34	)	$	7


Combined ratio:
Loss and LAE ratio		68.8	%		67.0	%		62.2	%		71.7	%		75.7	%		66.4	%		72.7	%
Underwriting expense ratio		22.3	%		28.9	%		28.4	%		20.7	%		20.5	%		26.0	%		26.0	%

Combined ratio		91.1	%		95.9	%		90.6	%		92.4	%		96.2	%		92.4	%		98.7	%


Combined ratio excl. catastrophe and prior year development		90.7	%		95.8	%		94.1	%		89.9	%		95.1	%		93.1	%		96.6	%


Loss and LAE components:
Current accident year, excluding catastrophe loss		68.4	%		66.9	%		65.7	%		69.2	%		74.6	%		67.1	%		70.6	%
Prior accident year loss reserve development		(1.2	%)		(3.2	%)		(5.2	%)		1.8	%		(0.4	%)		(2.8	%)		0.5	%
Current accident year catastrophe loss		1.6	%		3.3	%		1.7	%		0.7	%		1.5	%		2.1	%		1.6	%

Loss and LAE ratio		68.8	%		67.0	%		62.2	%		71.7	%		75.7	%		66.4	%		72.7	%

Page 8

American Financial Group, Inc.

Specialty Casualty - Underwriting Results (GAAP)

($ in millions)


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

Gross written premiums	$	722		$	688		$	698		$	661		$	734		$	2,108		$	2,078
Ceded reinsurance premiums		(218	)		(185	)		(179	)		(158	)		(189	)		(582	)		(529	)

Net written premiums		504			503			519			503			545			1,526			1,549
Change in unearned premiums		(7	)		(6	)		(17	)		12			(42	)		(30	)		(53	)

Net earned premiums		497			497			502			515			503			1,496			1,496

Loss and LAE		330			329			313			315			323			972			950
Underwriting expense		154			145			160			150			149			459			450

Underwriting profit	$	13		$	23		$	29		$	50		$	31		$	65		$	96


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

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


Prior year loss reserve development (favorable) / adverse	$	(2	)	$	(10	)	$	(4	)	$	(7	)	$	3		$	(16	)	$	(4	)


Combined ratio:
Loss and LAE ratio		66.5	%		66.1	%		62.4	%		61.1	%		64.2	%		65.0	%		63.5	%
Underwriting expense ratio		30.9	%		29.2	%		31.9	%		29.1	%		29.6	%		30.7	%		30.1	%

Combined ratio		97.4	%		95.3	%		94.3	%		90.2	%		93.8	%		95.7	%		93.6	%


Combined ratio excl. catastrophe and prior year development		97.4	%		96.6	%		94.9	%		91.4	%		92.9	%		96.4	%		93.6	%


Loss and LAE components:
Current accident year, excluding catastrophe loss		66.5	%		67.4	%		63.0	%		62.3	%		63.3	%		65.7	%		63.5	%
Prior accident year loss reserve development		(0.3	%)		(2.0	%)		(0.7	%)		(1.4	%)		0.6	%		(1.1	%)		(0.2	%)
Current accident year catastrophe loss		0.3	%		0.7	%		0.1	%		0.2	%		0.3	%		0.4	%		0.2	%

Loss and LAE ratio		66.5	%		66.1	%		62.4	%		61.1	%		64.2	%		65.0	%		63.5	%

Page 9

American Financial Group, Inc.

Specialty Financial - Underwriting Results (GAAP)

($ in millions)


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

Gross written premiums	$	186		$	172		$	147		$	179		$	164		$	505		$	458
Ceded reinsurance premiums		(37	)		(28	)		(22	)		(27	)		(27	)		(87	)		(70	)

Net written premiums		149			144			125			152			137			418			388
Change in unearned premiums		(4	)		(5	)		7			(15	)		(6	)		(2	)		(8	)

Net earned premiums		145			139			132			137			131			416			380

Loss and LAE		45			42			45			46			36			132			108
Underwriting expense		81			75			64			76			69			220			200

Underwriting profit	$	19		$	22		$	23		$	15		$	26		$	64		$	72


Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		5			3			1			5			1			9			4

Total current accident year catastrophe losses	$	5		$	3		$	1		$	5		$	1		$	9		$	4


Prior year loss reserve development (favorable) / adverse	$	(6	)	$	(7	)	$	(4	)	$	(5	)	$	(8	)	$	(17	)	$	(25	)


Combined ratio:
Loss and LAE ratio		31.6	%		30.1	%		34.0	%		32.8	%		27.7	%		31.8	%		28.5	%
Underwriting expense ratio		54.8	%		54.3	%		48.6	%		55.9	%		52.9	%		52.7	%		52.5	%

Combined ratio		86.4	%		84.4	%		82.6	%		88.7	%		80.6	%		84.5	%		81.0	%


Combined ratio excl. catastrophe and prior year development		87.0	%		87.0	%		84.8	%		88.8	%		85.8	%		86.3	%		86.4	%


Loss and LAE components:
Current accident year, excluding catastrophe loss		32.2	%		32.7	%		36.2	%		32.9	%		32.9	%		33.6	%		33.9	%
Prior accident year loss reserve development		(3.9	%)		(4.6	%)		(3.3	%)		(3.6	%)		(5.8	%)		(4.0	%)		(6.5	%)
Current accident year catastrophe loss		3.3	%		2.0	%		1.1	%		3.5	%		0.6	%		2.2	%		1.1	%

Loss and LAE ratio		31.6	%		30.1	%		34.0	%		32.8	%		27.7	%		31.8	%		28.5	%

Page 10

American Financial Group, Inc.

Other Specialty - Underwriting Results (GAAP)

($ in millions)


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

Gross written premiums	$	—		$	—		$	—		$	1		$	—		$	—		$	—
Ceded reinsurance premiums		30			27			24			22			29			81			76

Net written premiums		30			27			24			23			29			81			76
Change in unearned premiums		(6	)		(1	)		1			3			(7	)		(6	)		(5	)

Net earned premiums		24			26			25			26			22			75			71

Loss and LAE		15			13			13			15			6			41			32
Underwriting expense		7			10			10			10			9			27			26

Underwriting profit	$	2		$	3		$	2		$	1		$	7		$	7		$	13


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

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


Prior year loss reserve development (favorable) / adverse	$	(1	)	$	(1	)	$	(2	)	$	(1	)	$	(7	)	$	(4	)	$	(10	)


Combined ratio:
Loss and LAE ratio		55.2	%		52.5	%		52.1	%		61.0	%		29.4	%		53.2	%		45.3	%
Underwriting expense ratio		36.3	%		36.7	%		37.6	%		36.1	%		37.9	%		36.9	%		36.1	%

Combined ratio		91.5	%		89.2	%		89.7	%		97.1	%		67.3	%		90.1	%		81.4	%


Combined ratio excl. catastrophe and prior year development		95.1	%		86.4	%		96.0	%		98.1	%		97.6	%		92.5	%		95.7	%

Page 11

American Financial Group, Inc.

Annuity Earnings (GAAP)

($ in millions)


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

Net investment income	$	351	$	344		$	315		$	309	$	317		$	1,010		$	915
Guaranteed withdrawal benefit fees		14		13			12			12		11			39			31
Policy charges and other miscellaneous income		12		11			14			11		13			37			44


Total revenues		377		368			341			332		341			1,086			990

Annuity benefits expense		189		223			228			189		208			640			543
Acquisition expenses		53		40			34			20		44			127			143
Other expenses		28		29			26			22		22			83			74


Total costs and expenses		270		292			288			231		274			850			760


Annuity earnings before income taxes	$	107	$	76		$	53		$	101	$	67		$	236		$	230



Detail of Annuity earnings before income taxes
Earnings before income taxes and impact of fair value accounting	$	106	$	102		$	84		$	96	$	89		$	292		$	258
Impact of fair value accounting (a)		1		(26	)		(31	)		5		(22	)		(56	)		(28	)

Annuity earnings before income taxes	$	107	$	76		$	53		$	101	$	67		$	236		$	230

(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														Nine Months Ended
	09/30/16			06/30/16			03/31/16		12/31/15			09/30/15			09/30/16			09/30/15
Detail of annuity benefits expense:
Interest credited - fixed	$	145		$	142		$	139	$	138		$	135		$	426		$	394
Interest credited - fixed component of variable annuities		1			2			1		1			2			4			5
Change in expected death and annuitization reserve		5			4			5		5			5			14			14
Amortization of sales inducements		6			6			5		6			6			17			20
Guaranteed withdrawal benefit reserve		18			15			16		15			20			49			48
Change in other benefit reserves		10			8			5		5			3			23			17
Unlockings (a)		—			—			—		19			—			—			—

Subtotal before impact of fair value accounting		185			177			171		189			171			533			498

Embedded derivative mark-to-market (b)		109			62			17		88			(130	)		188			(99	)
Equity option mark-to-market		(105	)		(16	)		40		(88	)		167			(81	)		144

Subtotal impact of fair value accounting		4			46			57		—			37			107			45


Total annuity benefits expense	$	189		$	223		$	228	$	189		$	208		$	640		$	543

(a)

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.

(b)	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															Nine Months Ended
	09/30/16			06/30/16			03/31/16			12/31/15			09/30/15			09/30/16			09/30/15

Average fixed annuity investments (at amortized cost)	$	28,548		$	27,964		$	27,186		$	26,401		$	25,642		$	27,899		$	24,765
Average annuity benefits accumulated		28,538			27,861			26,935			26,048			25,316			27,778			24,514

Investments in excess of annuity benefits accumulated	$	10		$	103		$	251		$	353		$	326		$	121		$	251


As % of average annuity benefits accumulated (except as noted)
Net investment income (as % of investments)		4.88	%		4.88	%		4.60	%		4.65	%		4.92	%		4.79	%		4.89	%
Interest credited		(2.03	%)		(2.04	%)		(2.06	%)		(2.12	%)		(2.12	%)		(2.04	%)		(2.14	%)

Net interest spread on fixed annuities		2.85	%		2.84	%		2.54	%		2.53	%		2.80	%		2.75	%		2.75	%

Policy charges and other miscellaneous income		0.14	%		0.13	%		0.16	%		0.15	%		0.16	%		0.14	%		0.19	%
Other annuity benefit expenses, net		(0.36	%)		(0.30	%)		(0.27	%)		(0.31	%)		(0.36	%)		(0.31	%)		(0.36	%)
Acquisition expenses		(0.72	%)		(0.55	%)		(0.47	%)		(0.75	%)		(0.65	%)		(0.58	%)		(0.74	%)
Other expenses		(0.39	%)		(0.38	%)		(0.38	%)		(0.32	%)		(0.34	%)		(0.39	%)		(0.38	%)
Change in fair value of derivatives		(0.05	%)		(0.66	%)		(0.84	%)		0.02	%		(0.59	%)		(0.51	%)		(0.25	%)
Unlockings		0.00	%		0.00	%		0.00	%		0.07	%		0.00	%		0.00	%		0.00	%

Net spread earned on fixed annuities		1.47	%		1.08	%		0.74	%		1.39	%		1.02	%		1.10	%		1.21	%


Average annuity benefits accumulated	$	28,538		$	27,861		$	26,935		$	26,048		$	25,316		$	27,778		$	24,514
Net spread earned on fixed annuities		1.47	%		1.08	%		0.74	%		1.39	%		1.02	%		1.10	%		1.21	%

Earnings on fixed annuity benefits accumulated	$	105		$	75		$	50		$	91		$	65		$	230		$	222

Investments in excess of annuity benefits accumulated	$	10		$	103		$	251		$	353		$	326		$	121		$	251
Net investment income (as % of investments)		4.88	%		4.88	%		4.60	%		4.65	%		4.92	%		4.79	%		4.89	%

Earnings on investments in excess of annuity benefits accumulated	$	—		$	1		$	3		$	4		$	4		$	4		$	9

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

Earnings before income taxes	$	107		$	76		$	53		$	101		$	67		$	236		$	230



Detail of net spread earned on fixed annuities
Net spread earned - before impact of fair value accounting		1.46	%		1.45	%		1.20	%		1.31	%		1.37	%		1.37	%		1.36	%
Impact of fair value accounting (a)		0.01	%		(0.37	%)		(0.46	%)		0.08	%		(0.35	%)		(0.27	%)		(0.15	%)

Net spread earned - after impact of fair value accounting		1.47	%		1.08	%		0.74	%		1.39	%		1.02	%		1.10	%		1.21	%

(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										Nine Months Ended
	09/30/16		06/30/16		03/31/16		12/31/15		09/30/15		09/30/16		09/30/15

Retail single premium annuities - indexed	$	340	$	413	$	546	$	494	$	617	$	1,299	$	1,370
Retail single premium annuities - fixed		18		22		20		18		22		60		52
Financial institutions single premium annuities - indexed		435		507		534		462		554		1,476		1,279
Financial institutions single premium annuities - fixed		97		100		119		72		71		316		157
Education market - fixed and indexed annuities		42		45		57		51		47		144		143

Subtotal fixed annuity premiums		932		1,087		1,276		1,097		1,311		3,295		3,001

Variable annuities		9		11		9		10		10		29		32

Total annuity premiums	$	941	$	1,098	$	1,285	$	1,107	$	1,321	$	3,324	$	3,033

Page 15

American Financial Group, Inc.

Fixed Annuity Benefits Accumulated (GAAP)

($ in millions)


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

Beginning fixed annuity reserves	$	28,222		$	27,499		$	26,371		$	25,725		$	24,906		$	26,371		$	23,462
Premiums		932			1,087			1,276			1,097			1,311			3,295			3,001
Federal Home Loan Bank advances		—			—			150			45			—			150			300
Surrenders, benefits and other withdrawals		(586	)		(596	)		(483	)		(515	)		(526	)		(1,665	)		(1,417	)
Sale of subsidiaries		—			—			—			(261	)		—			—			—
Interest and other annuity benefit expenses:
Interest credited		145			142			139			138			135			426			394
Embedded derivative mark-to-market		109			62			17			88			(130	)		188			(99	)
Change in other benefit reserves		31			28			29			31			29			88			84
Unlockings		—			—			—			23			—			—			—

Ending fixed annuity reserves	$	28,853		$	28,222		$	27,499		$	26,371		$	25,725		$	28,853		$	25,725


Reconciliation to annuity benefits accumulated:
Ending fixed annuity reserves	$	28,853		$	28,222		$	27,499		$	26,371		$	25,725		$	28,853		$	25,725
Impact of unrealized investment gains on reserves		180			188			127			64			113			180			113
Fixed component of variable annuities		189			186			186			187			188			189			188

Annuity benefits accumulated per balance sheet	$	29,222		$	28,596		$	27,812		$	26,622		$	26,026		$	29,222		$	26,026


Annualized surrenders and other withdrawals as a % of beginning reserves		8.3	%		8.7	%		7.3	%		8.0	%		8.4	%		8.4	%		8.1	%

Page 16

American Financial Group, Inc.

Consolidated Balance Sheet

($ in millions)


	09/30/16			06/30/16			03/31/16			12/31/15			09/30/15			06/30/15
Assets:
Total cash and investments	$	41,805		$	40,639		$	39,437		$	37,736		$	38,132		$	37,644
Recoverables from reinsurers		2,814			2,576			2,561			2,636			3,151			3,075
Prepaid reinsurance premiums		634			521			475			480			604			499
Agents’ balances and premiums receivable		1,029			992			936			937			976			959
Deferred policy acquisition costs		867			881			1,055			1,184			993			965
Assets of managed investment entities		4,312			4,410			3,906			4,047			3,613			3,629
Other receivables		1,391			788			693			820			1,241			660
Variable annuity assets (separate accounts)		606			595			595			608			595			655
Other assets (a)		1,188			1,132			1,181			1,190			1,034			1,116
Goodwill		199			199			199			199			201			201

Total assets	$	54,845		$	52,733		$	51,038		$	49,837		$	50,540		$	49,403


Liabilities and Equity:
Unpaid losses and loss adjustment expenses	$	8,661		$	8,203		$	8,108		$	8,127		$	8,061		$	7,744
Unearned premiums		2,328			2,109			2,051			2,060			2,238			2,004
Annuity benefits accumulated		29,222			28,596			27,812			26,622			26,026			25,203
Life, accident and health reserves		700			702			708			705			2,159			2,156
Payable to reinsurers		835			588			501			591			724			511
Liabilities of managed investment entities		4,067			4,192			3,656			3,781			3,287			3,309
Long-term debt (a)		1,300			998			998			998			863			1,003
Variable annuity liabilities (separate accounts)		606			595			595			608			595			655
Other liabilities		1,768			1,557			1,672			1,575			1,681			1,834

Total liabilities	$	49,487		$	47,540		$	46,101		$	45,067		$	45,634		$	44,419

Shareholders’ equity:
Common stock	$	87		$	87		$	87		$	87		$	87		$	88
Capital surplus		1,242			1,228			1,218			1,214			1,195			1,183
Unappropriated retained earnings		3,079			3,016			3,002			2,987			2,981			2,968
Unrealized gains - fixed maturities		669			639			426			278			445			457
Unrealized gains - equities		103			45			40			54			44			130
Other comprehensive income, net of tax		(19	)		(15	)		(18	)		(28	)		(28	)		(24	)

Total shareholders’ equity		5,161			5,000			4,755			4,592			4,724			4,802

Noncontrolling interests		197			193			182			178			182			182

Total liabilities and equity	$	54,845		$	52,733		$	51,038		$	49,837		$	50,540		$	49,403

(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)


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

Shareholders’ equity	$	5,161		$	5,000		$	4,755		$	4,592		$	4,724		$	4,802
Unrealized (gains) on fixed maturities		(669	)		(639	)		(426	)		(278	)		(445	)		(457	)

Adjusted shareholders’ equity		4,492			4,361			4,329			4,314			4,279			4,345
Goodwill		(199	)		(199	)		(199	)		(199	)		(201	)		(201	)
Intangibles		(44	)		(46	)		(47	)		(49	)		(51	)		(53	)

Tangible adjusted shareholders’ equity	$	4,249		$	4,116		$	4,083		$	4,066		$	4,027		$	4,091


Common shares outstanding		86.813			86.850			86.966			87.474			87.327			87.540

Book value per share:
Book value per share	$	59.45		$	57.57		$	54.67		$	52.50		$	54.10		$	54.86
Adjusted (a)		51.73			50.22			49.77			49.33			49.01			49.63
Tangible, adjusted (b)		48.94			47.41			46.94			46.49			46.12			46.73

Market capitalization

AFG’s closing common share price	$	75.00		$	73.93		$	70.37		$	72.08		$	68.91		$	65.04

Market capitalization	$	6,511		$	6,421		$	6,120		$	6,305		$	6,018		$	5,694

Price / Adjusted book value ratio		1.45			1.47			1.41			1.46			1.41			1.31

(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)


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

AFG senior obligations (a)	$	1,008		$	708		$	708		$	708		$	708		$	840
Borrowings drawn under credit facility		—			—			—			—			—			—
Obligations of subsidiaries - other		18			12			12			12			12			12

Debt excluding subordinated debt & debt secured by real estate	$	1,026		$	720		$	720		$	720		$	720		$	852

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

Total principal amount of long-term debt	$	1,326		$	1,020		$	1,020		$	1,020		$	880		$	1,024

Shareholders’ equity		5,161			5,000			4,755			4,592			4,724			4,802
Noncontrolling interests		197			193			182			178			182			182
Less:
Unrealized gains related to fixed maturity investments		(669	)		(639	)		(426	)		(278	)		(445	)		(457	)

Total adjusted capital	$	6,015		$	5,574		$	5,531		$	5,512		$	5,341		$	5,551


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

Total adjusted capital excluding obligations secured by real estate	$	6,015		$	5,574		$	5,531		$	5,512		$	5,331		$	5,529


Ratio of debt to total adjusted capital:
Including subordinated debt & debt secured by real estate		22.0	%		18.3	%		18.4	%		18.5	%		16.5	%		18.4	%
Excluding subordinated debt & debt secured by real estate		17.1	%		12.9	%		13.0	%		13.1	%		13.5	%		15.4	%

(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										Nine Months Ended
	09/30/16		06/30/16		03/31/16		12/31/15		09/30/15		09/30/16		09/30/15
Property and Casualty Insurance

Paid Losses (GAAP)	$	537	$	586	$	547	$	675	$	585	$	1,670	$	1,728


	09/30/16		06/30/16		03/31/16		12/31/15		09/30/15		6/30/2015
Statutory Surplus

Property and Casualty Insurance	$	3,038	$	2,601	$	2,574	$	2,488	$	2,356	$	2,399

AFG’s principal annuity subsidiaries (total adjusted capital)	$	2,216	$	2,089	$	2,032	$	1,918	$	1,816	$	1,911

Allowable dividends without regulatory approval

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

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

Page 20

American Financial Group, Inc.

Total Cash and Investments

($ in millions)


	Carrying Value - September 30, 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	$	1,281	$	175		$	183	$	—		$	1,639		4	%
Fixed maturities - Available for sale		6,791		28,590			13		—			35,394		85	%
Fixed maturities - Trading		222		126			—		—			348		1	%
Equity securities		1,110		482			47		—			1,639		4	%
Policy loans		—		194			—		—			194		0	%
Mortgage loans		280		900			—		—			1,180		3	%
Real estate and other investments		472		1,132			51		(244	)		1,411		3	%

Total cash and investments	$	10,156	$	31,599		$	294	$	(244	)	$	41,805		100	%


Unrealized gain/(loss) on equity securities	$	122	$	39		$	—	$	—		$	161


	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

Page 21

American Financial Group, Inc.

Net Investment Income

($ in millions)


	Three Months Ended															Nine Months Ended
	09/30/16			06/30/16			03/31/16			12/31/15			09/30/15			09/30/16			09/30/15
Property and Casualty Insurance:
Gross Investment Income
Fixed maturities - Available for sale	$	63		$	66		$	64		$	63		$	62		$	193		$	185
Fixed maturities - Trading		2			1			1			—			—			4			4
Equity securities		13			12			13			14			12			38			34
Equity in investees		7			2			6			(1	)		7			15			11
Other investments		10			10			1			—			4			21			17

Gross investment income		95			91			85			76			85			271			251
Investment expenses		(2	)		(2	)		(2	)		(2	)		(2	)		(6	)		(6	)

Total net investment income	$	93		$	89		$	83		$	74		$	83		$	265		$	245


Average cash and investments (a)	$	9,647		$	9,465		$	9,366		$	9,113		$	8,984		$	9,507		$	8,880


Average yield (b)		3.86	%		3.76	%		3.54	%		3.25	%		3.70	%		3.72	%		3.68	%


Fixed Annuity:
Gross Investment Income
Fixed maturities - Available for sale	$	307		$	307		$	294		$	294		$	288		$	908		$	832
Fixed maturities - Trading		—			—			—			—			—			—			—
Equity securities		6			6			5			6			5			17			15
Equity in investees		9			2			5			2			11			16			15
Other investments		27			29			11			7			14			67			54

Gross investment income		349			344			315			309			318			1,008			916
Investment expenses		(1	)		(2	)		(3	)		(2	)		(3	)		(6	)		(8	)

Total net investment income	$	348		$	342		$	312		$	307		$	315		$	1,002		$	908


Average cash and investments (a)	$	28,548		$	27,964		$	27,186		$	26,401		$	25,642		$	27,899		$	24,765


Average yield (b)		4.88	%		4.88	%		4.60	%		4.65	%		4.92	%		4.79	%		4.89	%


AFG consolidated net investment income:
Property & Casualty	$	93		$	89		$	83		$	74		$	83		$	265		$	245
Annuity and Run-off:
Fixed Annuity		348			342			312			307			315			1,002			908
Variable Annuity		3			2			3			2			2			8			7
Run-off		5			5			5			19			20			15			61
Other		1			4			1			3			2			6			1
Consolidate CLOs		(17	)		(19	)		7			11			3			(29	)		(5	)

Total net investment income	$	433		$	423		$	411		$	416		$	425		$	1,267		$	1,217

(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)


September 30, 2016	Amortized Cost			Fair Value		Unrealized Gain (Loss)			% of Fair Value			% of Investment Portfolio
US Government and government agencies	$	342		$	346	$	4			1	%		1	%
States, municipalities and political subdivisions		6,626			7,076		450			20	%		17	%
Foreign government		264			271		7			1	%		1	%
Residential mortgage-backed securities		3,534			3,820		286			11	%		9	%
Commercial mortgage-backed securities		1,763			1,848		85			5	%		4	%
Asset-backed securities		5,845			5,890		45			16	%		14	%
Corporate and other bonds		15,560			16,491		931			46	%		40	%

Total AFG consolidated	$	33,934		$	35,742	$	1,808			100	%		86	%


Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		4.53	%
Net of investment expense (a)		4.48	%

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.

Page 23

American Financial Group, Inc.

Fixed Maturities - By Security Type Portfolio

($ in millions)


	September 30, 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	$	289		$	291	$	2		4	%	$	255		$	257	$	2			4	%
States, municipalities and political subdivisions		2,596			2,697		101		38	%		2,807			2,891		84			42	%
Foreign government		253			258		5		4	%		213			219		6			3	%
Residential mortgage-backed securities		1,013			1,062		49		15	%		893			932		39			13	%
Commercial mortgage-backed securities		183			188		5		3	%		209			213		4			3	%
Asset-backed securities		1,514			1,520		6		22	%		1,453			1,442		(11	)		21	%
Corporate and other bonds		966			997		31		14	%		979			970		(9	)		14	%

Property and Casualty Insurance	$	6,814		$	7,013	$	199		100	%	$	6,809		$	6,924	$	115			100	%


Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		3.81	%									3.82	%
Net of investment expense (a)		3.71	%									3.71	%
Tax equivalent, net of investment expense (b)		4.24	%									4.31	%

Approximate average life and duration:
Approximate average life		4.5 years										5 years
Approximate duration		3.5 years										4 years


	September 30, 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	$	52		$	54	$	2		0	%	$	62		$	62	$	—			0	%
States, municipalities and political subdivisions		4,030			4,379		349		15	%		3,864			3,994		130			15	%
Foreign government		11			13		2		0	%		12			13		1			0	%
Residential mortgage-backed securities		2,520			2,746		226		10	%		2,347			2,590		243			10	%
Commercial mortgage-backed securities		1,580			1,660		80		6	%		1,903			1,975		72			8	%
Asset-backed securities		4,331			4,370		39		15	%		3,508			3,492		(16	)		14	%
Corporate and other bonds		14,594			15,494		900		54	%		13,311			13,474		163			53	%

Total Annuity and Run-off	$	27,118		$	28,716	$	1,598		100	%	$	25,007		$	25,600	$	593			100	%


Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		4.70	%									4.98	%
Net of investment expense (a)		4.67	%									4.94	%

Approximate average life and duration:
Approximate average life		6.5 years										6.5 years
Approximate duration		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)


	September 30, 2016
By Credit Rating (a)	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value
Investment grade
AAA	$	6,394	$	6,634	$	240		19	%
AA		7,046		7,454		408		21	%
A		8,206		8,643		437		24	%
BBB		8,554		9,012		458		25	%

Subtotal - Investment grade		30,200		31,743		1,543		89	%

BB		717		723		6		2	%
B		476		476		—		1	%
Other (b)		2,541		2,800		259		8	%

Subtotal - Non-Investment grade		3,734		3,999		265		11	%

Total	$	33,934	$	35,742	$	1,808		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.

Page 25

American Financial Group, Inc.

Mortgage-Backed Securities - AFG Consolidated

($ in millions)


September 30, 2016	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Investment Portfolio
Residential
Agency	$	236	$	240	$	4		4	%		0	%
Prime (Non-Agency)		1,475		1,637		162		29	%		4	%
Alt-A		1,148		1,226		78		21	%		3	%
Subprime		675		717		42		13	%		2	%
Commercial		1,763		1,848		85		33	%		4	%

Total AFG consolidated	$	5,297	$	5,668	$	371		100	%		13	%

•

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

•

The average amortized cost as a percent of par is - Prime 82%; Alt-A 79%; Subprime 85%; CMBS 99%.

•

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

•

96% of our Commercial MBS portfolio is investment-grade rated (81% AAA) and the average subordination for this group of assets is 38%.

•

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

Page 26

American Financial Group, Inc.

Mortgage-Backed Securities Portfolio

($ in millions)


Property and Casualty Insurance:	September 30, 2016
By Asset Type	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Inv Portfolio
Residential
Agency	$	180	$	183	$	3		15	%		2	%
Prime (Non-Agency)		201		216		15		17	%		2	%
Alt-A		357		375		18		30	%		3	%
Subprime		275		288		13		23	%		3	%
Commercial		183		188		5		15	%		2	%

Total	$	1,196	$	1,250	$	54		100	%		12	%


	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:	September 30, 2016
By Asset Type	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Inv Portfolio
Residential
Agency	$	56	$	57	$	1		1	%		0	%
Prime (Non-Agency)		1,273		1,409		136		32	%		5	%
Alt-A		791		851		60		19	%		3	%
Subprime		400		429		29		10	%		1	%
Commercial		1,580		1,660		80		38	%		5	%

Total	$	4,100	$	4,406	$	306		100	%		14	%


	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	%

Page 27

American Financial Group, Inc.

Mortgage-Backed Securities - Credit Rating

($ in millions)


	September 30, 2016
By Credit Rating (a)	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value
Investment grade
AAA	$	1,937	$	2,038	$	101		36	%
AA		197		203		6		4	%
A		301		315		14		5	%
BBB		264		280		16		5	%

Subtotal - investment grade		2,699		2,836		137		50	%

BB		237		238		1		4	%
B		334		336		2		6	%
Other		2,027		2,258		231		40	%

Total	$	5,297	$	5,668	$	371		100	%

96% 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.

Page 28

Appendix A

American Financial Group, Inc.

Fixed Maturities - Credit Rating by Type

($ in millions)


	Fair Value - September 30, 2016
By Credit Rating (a)	US Gov		Munis		Frgn gov		RMBS		CMBS		ABS		Corp/Oth		Total		% Total
Investment grade
AAA	$	296	$	1,765	$	179	$	543	$	1,495	$	2,127	$	229	$	6,634		19	%
AA		42		4,592		31		140		63		1,463		1,123		7,454		21	%
A		—		516		57		169		146		1,647		6,108		8,643		24	%
BBB		—		76		3		204		76		599		8,054		9,012		25	%

Subtotal - Investment grade		338		6,949		270		1,056		1,780		5,836		15,514		31,743		89	%

BB		—		7		—		196		42		16		462		723		2	%
B		—		9		—		310		26		1		130		476		1	%
CCC, CC, C		—		9		—		953		—		4		13		979		3	%
D		—		—		—		827		—		—		—		827		2	%

Subtotal - Non-Investment grade		—		25		—		2,286		68		21		605		3,005		8	%

Not Rated		8		102		1		478		—		33		372		994		3	%


Total	$	346	$	7,076	$	271	$	3,820	$	1,848	$	5,890	$	16,491	$	35,742		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		88	%

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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AMERICAN FINANCIAL GROUP INC Reports