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	d367876dex991.htm
8-K - CURRENT REPORT - AMERICAN FINANCIAL GROUP INC	d367876d8k.htm

Exhibit 99.2


		American Financial Group, Inc.
		Investor Supplement - First Quarter 2017
		May 3, 2017
		American Financial Group, Inc.
		Corporate Headquarters
		Great American Insurance Group Tower
		301 E Fourth Street
		Cincinnati, OH 45202
		513 579 6739

American Financial Group, Inc.

Table of Contents - Investor Supplement - First Quarter 2017


Section	Page
Table of Contents - Investor Supplement - First Quarter 2017		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															Twelve Months Ended
	03/31/17			12/31/16			09/30/16			06/30/16			03/31/16			12/31/16			12/31/15
Highlights
Net earnings	$	153		$	385		$	109		$	54		$	101		$	649		$	352
Core net operating earnings		151			176			134			113			111			534			486
Total assets		57,464			55,072			54,845			52,733			51,038			55,072			49,837
Adjusted shareholders’ equity (a)		4,815			4,617			4,487			4,356			4,325			4,617			4,313
Property and Casualty net written premiums		1,027			1,083			1,268			1,056			979			4,386			4,327
Annuity statutory premiums		1,290			1,111			941			1,098			1,285			4,435			4,140
Per share data
Diluted earnings per share	$	1.72		$	4.33		$	1.23		$	0.62		$	1.14		$	7.33		$	3.94
Core net operating earnings per share		1.69			1.98			1.51			1.28			1.25			6.03			5.44
Adjusted book value per share (a)		54.98			53.11			51.68			50.16			49.72			53.11			49.32
Cash dividends per common share		0.3125			1.3125			0.2800			0.2800			0.2800			2.1525			2.0300
Financial ratios
Annualized return on equity (b)		13.3	%		34.4	%		9.9	%		5.1	%		9.4	%		14.8	%		8.3	%
Annualized core operating return on equity (b)		13.1	%		15.7	%		12.2	%		10.5	%		10.3	%		12.2	%		11.5	%
Property and Casualty combined ratio - Specialty:
Loss & LAE ratio		59.5	%		63.7	%		62.9	%		61.2	%		58.3	%		61.7	%		62.2	%
Underwriting expense ratio		32.7	%		26.7	%		30.3	%		32.7	%		33.0	%		30.6	%		30.9	%

Combined ratio - Specialty		92.2	%		90.4	%		93.2	%		93.9	%		91.3	%		92.3	%		93.1	%

Net spread on fixed annuities:
Net interest spread		2.58	%		2.70	%		2.85	%		2.84	%		2.54	%		2.73	%		2.69	%
Net spread earned:
Before impact of fair value accounting		1.31	%		1.42	%		1.46	%		1.45	%		1.20	%		1.39	%		1.35	%
Impact of fair value accounting (c)		(0.03	%)		0.40	%		0.01	%		(0.37	%)		(0.46	%)		(0.10	%)		(0.09	%)

After impact of fair value accounting		1.28	%		1.82	%		1.47	%		1.08	%		0.74	%		1.29	%		1.26	%

(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															Twelve Months Ended
	03/31/17			12/31/16			09/30/16			06/30/16			03/31/16			12/31/16			12/31/15
Property and Casualty Insurance
Underwriting profit	$	78		$	110		$	78		$	62		$	87		$	337		$	292
Net investment income		86			85			93			89			83			350			319
Other income (expense)		5			(15	)		(18	)		(12	)		(12	)		(57	)		(45	)

Property and Casualty Insurance operating earnings		169			180			153			139			158			630			566
Annuity earnings		96			132			107			76			53			368			331
Run-off Long-Term Care and Life earnings		—			2			1			—			(1	)		2			14
Interest expense of parent holding companies (a)		(21	)		(21	)		(19	)		(19	)		(18	)		(77	)		(73	)
Other expense (a)		(26	)		(29	)		(29	)		(19	)		(22	)		(99	)		(89	)

Pre-tax core operating earnings		218			264			213			177			170			824			749
Income tax expense		67			88			79			64			59			290			263

Core net operating earnings		151			176			134			113			111			534			486
Non-core items, net of tax:
Realized gains (losses) on securities		2			32			1			(10	)		(10	)		13			(12	)
Realized gain (loss) on sale of subsidiaries		—			—			—			1			—			1			(104	)
Gain on sale of hotel and apartment properties		—			—			—			15			—			15			36
Special A&E charges:
Property and Casualty Insurance run-off operations		—			—			(23	)		—			—			(23	)		(44	)
Former Railroad and Manufacturing operations		—			—			(3	)		—			—			(3	)		(8	)
Neon exited lines charge		—			—			—			(65	)		—			(65	)		—
Tax benefit related to National Interstate merger		—			66			—			—			—			66			—
Tax benefit related to Neon restructuring		—			111			—			—			—			111			—
Other		—			—			—			—			—			—			(2	)

Net earnings	$	153		$	385		$	109		$	54		$	101		$	649		$	352

(a)	December 2015 has 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													Twelve Months Ended
	03/31/17		12/31/16		09/30/16			06/30/16			03/31/16			12/31/16			12/31/15
Core net operating earnings	$	151	$	176	$	134		$	113		$	111		$	534		$	486

Net earnings	$	153	$	385	$	109		$	54		$	101		$	649		$	352

Average number of diluted shares		89.342		88.774		88.461			88.390			88.495			88.530			89.362
Diluted earnings per share:
Core net operating earnings per share	$	1.69	$	1.98	$	1.51		$	1.28		$	1.25		$	6.03		$	5.44
Realized gains (losses) on securities		0.03		0.36		0.02			(0.11	)		(0.11	)		0.16			(0.12	)
Realized gain (loss) on sale of subsidiaries		—		—		—			0.01			—			0.01			(1.17	)
Gain on sale of hotel and apartment properties		—		—		—			0.17			—			0.17			0.40
Special A&E charges:
Property and Casualty Insurance run-off operations		—		—		(0.26	)		—			—			(0.26	)		(0.49	)
Former Railroad and Manufacturing operations		—		—		(0.04	)		—			—			(0.04	)		(0.09	)
Neon exited lines charge		—		—		—			(0.73	)		—			(0.73	)		—
Tax benefit related to National Interstate merger		—		0.74		—			—			—			0.74			—
Tax benefit related to Neon restructuring		—		1.25		—			—			—			1.25			—
Other		—		—		—			—			—			—			(0.03	)

Diluted earnings per share	$	1.72	$	4.33	$	1.23		$	0.62		$	1.14		$	7.33		$	3.94

Page 5


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


	Three Months Ended															Twelve Months Ended
	03/31/17			12/31/16			09/30/16			06/30/16			03/31/16			12/31/16			12/31/15
Property and Transportation	$	43		$	75		$	44		$	15		$	32		$	166		$	48
Specialty Casualty		15			13			13			23			29			78			146
Specialty Financial		22			20			19			22			23			84			87
Other Specialty		(1	)		2			2			3			2			9			14

Underwriting profit - Specialty		79			110			78			63			86			337			295
Other core charges, included in loss and LAE		1			—			—			1			(1	)		—			3

Underwriting profit - Core		78			110			78			62			87			337			292
Special A&E charges, included in loss and LAE		—			—			(36	)		—			—			(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	$	78		$	110		$	42		$	(3	)	$	87		$	236		$	225

Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		7			12			14			21			8			55			35

Total current accident year catastrophe losses	$	7		$	12		$	14		$	21		$	8		$	55		$	35

Prior year loss reserve development (favorable) / adverse	$	(28	)	$	10		$	22		$	28		$	(28	)	$	32		$	33

Combined ratio:
Property and Transportation		87.3	%		83.9	%		91.1	%		95.9	%		90.6	%		90.0	%		96.9	%
Specialty Casualty		97.0	%		97.4	%		97.4	%		95.3	%		94.3	%		96.1	%		92.7	%
Specialty Financial		85.0	%		86.0	%		86.4	%		84.4	%		82.6	%		84.9	%		83.1	%
Other Specialty		105.8	%		94.9	%		91.5	%		89.2	%		89.7	%		91.4	%		85.5	%
Combined ratio - Specialty		92.2	%		90.4	%		93.2	%		93.9	%		91.3	%		92.3	%		93.1	%
Other core charges		0.1	%		0.0	%		0.1	%		0.1	%		(0.1	%)		(0.1	%)		0.0	%
Neon exited lines charge, loss and LAE		0.0	%		0.0	%		0.0	%		5.5	%		0.0	%		1.3	%		0.0	%
Neon exited lines charge, underwriting expenses		0.0	%		0.0	%		0.0	%		0.8	%		0.0	%		0.2	%		0.0	%
Special A&E charges		0.0	%		0.0	%		3.0	%		0.0	%		0.0	%		0.8	%		1.6	%

Combined ratio		92.3	%		90.4	%		96.3	%		100.3	%		91.2	%		94.5	%		94.7	%

Combined ratio excl. catastrophe and prior year development		94.3	%		88.4	%		93.1	%		94.8	%		93.2	%		92.4	%		93.1	%

Loss and LAE components - property and casualty insurance
Current accident year, excluding catastrophe loss		61.6	%		61.7	%		62.8	%		62.1	%		60.2	%		61.8	%		62.2	%
Prior accident year loss reserve development		(2.7	%)		0.9	%		2.0	%		2.7	%		(2.8	%)		0.7	%		0.8	%
Current accident year catastrophe loss		0.7	%		1.1	%		1.2	%		2.0	%		0.8	%		1.3	%		0.8	%

Loss and LAE ratio		59.6	%		63.7	%		66.0	%		66.8	%		58.2	%		63.8	%		63.8	%

Page 6


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


	Three Months Ended															Twelve Months Ended
	03/31/17			12/31/16			09/30/16			06/30/16			03/31/16			12/31/16			12/31/15
Gross written premiums	$	1,324		$	1,441		$	1,899		$	1,398		$	1,243		$	5,981		$	5,832
Ceded reinsurance premiums		(297	)		(358	)		(631	)		(342	)		(264	)		(1,595	)		(1,505	)

Net written premiums		1,027			1,083			1,268			1,056			979			4,386			4,327
Change in unearned premiums		(5	)		61			(109	)		(29	)		19			(58	)		(103	)

Net earned premiums		1,022			1,144			1,159			1,027			998			4,328			4,224
Loss and LAE		608			729			729			629			582			2,669			2,625
Underwriting expense		335			305			352			335			330			1,322			1,304

Underwriting profit	$	79		$	110		$	78		$	63		$	86		$	337		$	295

Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		7			12			14			21			8			55			35

Total current accident year catastrophe losses	$	7		$	12		$	14		$	21		$	8		$	55		$	35

Prior year loss reserve development (favorable) / adverse	$	(29	)	$	10		$	(14	)	$	(30	)	$	(27	)	$	(61	)	$	(37	)

Combined ratio:
Loss and LAE ratio		59.5	%		63.7	%		62.9	%		61.2	%		58.3	%		61.7	%		62.2	%
Underwriting expense ratio		32.7	%		26.7	%		30.3	%		32.7	%		33.0	%		30.6	%		30.9	%

Combined ratio		92.2	%		90.4	%		93.2	%		93.9	%		91.3	%		92.3	%		93.1	%

Combined ratio excl. catastrophe and prior year development		94.3	%		88.4	%		93.1	%		94.8	%		93.2	%		92.4	%		93.1	%

Loss and LAE components:
Current accident year, excluding catastrophe loss		61.6	%		61.7	%		62.8	%		62.1	%		60.2	%		61.8	%		62.2	%
Prior accident year loss reserve development		(2.8	%)		0.9	%		(1.1	%)		(2.9	%)		(2.7	%)		(1.4	%)		(0.8	%)
Current accident year catastrophe loss		0.7	%		1.1	%		1.2	%		2.0	%		0.8	%		1.3	%		0.8	%

Loss and LAE ratio		59.5	%		63.7	%		62.9	%		61.2	%		58.3	%		61.7	%		62.2	%

Page 7


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


	Three Months Ended															Twelve Months Ended
	03/31/17			12/31/16			09/30/16			06/30/16			03/31/16			12/31/16			12/31/15
Gross written premiums	$	416		$	577		$	991		$	538		$	398		$	2,504		$	2,455
Ceded reinsurance premiums		(92	)		(183	)		(406	)		(156	)		(87	)		(832	)		(819	)

Net written premiums		324			394			585			382			311			1,672			1,636
Change in unearned premiums		18			71			(92	)		(17	)		28			(10	)		(37	)

Net earned premiums		342			465			493			365			339			1,662			1,599
Loss and LAE		208			319			339			245			211			1,114			1,159
Underwriting expense		91			71			110			105			96			382			392

Underwriting profit	$	43		$	75		$	44		$	15		$	32		$	166		$	48

Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		5			6			7			12			6			31			21

Total current accident year catastrophe losses	$	5		$	6		$	7		$	12		$	6		$	31		$	21

Prior year loss reserve development (favorable) / adverse	$	(17	)	$	13		$	(5	)	$	(12	)	$	(17	)	$	(21	)	$	15

Combined ratio:
Loss and LAE ratio		60.8	%		68.6	%		68.8	%		67.0	%		62.2	%		67.0	%		72.4	%
Underwriting expense ratio		26.5	%		15.3	%		22.3	%		28.9	%		28.4	%		23.0	%		24.5	%

Combined ratio		87.3	%		83.9	%		91.1	%		95.9	%		90.6	%		90.0	%		96.9	%

Combined ratio excl. catastrophe and prior year development		90.7	%		79.7	%		90.7	%		95.8	%		94.1	%		89.3	%		94.7	%

Loss and LAE components:
Current accident year, excluding catastrophe loss		64.2	%		64.4	%		68.4	%		66.9	%		65.7	%		66.3	%		70.2	%
Prior accident year loss reserve development		(4.8	%)		3.0	%		(1.2	%)		(3.2	%)		(5.2	%)		(1.2	%)		0.9	%
Current accident year catastrophe loss		1.4	%		1.2	%		1.6	%		3.3	%		1.7	%		1.9	%		1.3	%

Loss and LAE ratio		60.8	%		68.6	%		68.8	%		67.0	%		62.2	%		67.0	%		72.4	%

Page 8


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


	Three Months Ended															Twelve Months Ended
	03/31/17			12/31/16			09/30/16			06/30/16			03/31/16			12/31/16			12/31/15
Gross written premiums	$	744		$	684		$	722		$	688		$	698		$	2,792		$	2,739
Ceded reinsurance premiums		(204	)		(174	)		(218	)		(185	)		(179	)		(756	)		(687	)

Net written premiums		540			510			504			503			519			2,036			2,052
Change in unearned premiums		(32	)		—			(7	)		(6	)		(17	)		(30	)		(41	)

Net earned premiums		508			510			497			497			502			2,006			2,011
Loss and LAE		331			348			330			329			313			1,320			1,265
Underwriting expense		162			149			154			145			160			608			600

Underwriting profit	$	15		$	13		$	13		$	23		$	29		$	78		$	146

Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		1			4			2			3			1			10			4

Total current accident year catastrophe losses	$	1		$	4		$	2		$	3		$	1		$	10		$	4

Prior year loss reserve development (favorable) / adverse	$	(6	)	$	3		$	(2	)	$	(10	)	$	(4	)	$	(13	)	$	(11	)

Combined ratio:
Loss and LAE ratio		65.2	%		68.2	%		66.5	%		66.1	%		62.4	%		65.8	%		62.9	%
Underwriting expense ratio		31.8	%		29.2	%		30.9	%		29.2	%		31.9	%		30.3	%		29.8	%

Combined ratio		97.0	%		97.4	%		97.4	%		95.3	%		94.3	%		96.1	%		92.7	%

Combined ratio excl. catastrophe and prior year development		97.9	%		96.1	%		97.4	%		96.6	%		94.9	%		96.3	%		93.0	%

Loss and LAE components:
Current accident year, excluding catastrophe loss		66.1	%		66.9	%		66.5	%		67.4	%		63.0	%		66.0	%		63.2	%
Prior accident year loss reserve development		(1.1	%)		0.5	%		(0.3	%)		(2.0	%)		(0.7	%)		(0.7	%)		(0.5	%)
Current accident year catastrophe loss		0.2	%		0.8	%		0.3	%		0.7	%		0.1	%		0.5	%		0.2	%

Loss and LAE ratio		65.2	%		68.2	%		66.5	%		66.1	%		62.4	%		65.8	%		62.9	%

Page 9


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


	Three Months Ended															Twelve Months Ended
	03/31/17			12/31/16			09/30/16			06/30/16			03/31/16			12/31/16			12/31/15
Gross written premiums	$	164		$	180		$	186		$	172		$	147		$	685		$	637
Ceded reinsurance premiums		(23	)		(26	)		(37	)		(28	)		(22	)		(113	)		(97	)

Net written premiums		141			154			149			144			125			572			540
Change in unearned premiums		6			(13	)		(4	)		(5	)		7			(15	)		(23	)

Net earned premiums		147			141			145			139			132			557			517
Loss and LAE		52			46			45			42			45			178			154
Underwriting expense		73			75			81			75			64			295			276

Underwriting profit	$	22		$	20		$	19		$	22		$	23		$	84		$	87

Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		1			2			5			3			1			11			9

Total current accident year catastrophe losses	$	1		$	2		$	5		$	3		$	1		$	11		$	9

Prior year loss reserve development (favorable) / adverse	$	(9	)	$	(6	)	$	(6	)	$	(7	)	$	(4	)	$	(23	)	$	(30	)

Combined ratio:
Loss and LAE ratio		35.6	%		32.4	%		31.6	%		30.1	%		34.0	%		32.0	%		29.7	%
Underwriting expense ratio		49.4	%		53.6	%		54.8	%		54.3	%		48.6	%		52.9	%		53.4	%

Combined ratio		85.0	%		86.0	%		86.4	%		84.4	%		82.6	%		84.9	%		83.1	%

Combined ratio excl. catastrophe and prior year development		90.6	%		88.8	%		87.0	%		87.0	%		84.8	%		86.9	%		87.1	%

Loss and LAE components:
Current accident year, excluding catastrophe loss		41.2	%		35.2	%		32.2	%		32.7	%		36.2	%		34.0	%		33.7	%
Prior accident year loss reserve development		(6.4	%)		(4.5	%)		(3.9	%)		(4.6	%)		(3.3	%)		(4.0	%)		(5.7	%)
Current accident year catastrophe loss		0.8	%		1.7	%		3.3	%		2.0	%		1.1	%		2.0	%		1.7	%

Loss and LAE ratio		35.6	%		32.4	%		31.6	%		30.1	%		34.0	%		32.0	%		29.7	%

Page 10


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


	Three Months Ended															Twelve Months Ended
	03/31/17			12/31/16			09/30/16			06/30/16			03/31/16			12/31/16			12/31/15
Gross written premiums	$	—		$	—		$	—		$	—		$	—		$	—		$	1
Ceded reinsurance premiums		22			25			30			27			24			106			98

Net written premiums		22			25			30			27			24			106			99
Change in unearned premiums		3			3			(6	)		(1	)		1			(3	)		(2	)

Net earned premiums		25			28			24			26			25			103			97
Loss and LAE		17			16			15			13			13			57			47
Underwriting expense		9			10			7			10			10			37			36

Underwriting profit	$	(1	)	$	2		$	2		$	3		$	2		$	9		$	14

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

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

Prior year loss reserve development (favorable) / adverse	$	3		$	—		$	(1	)	$	(1	)	$	(2	)	$	(4	)	$	(11	)

Combined ratio:
Loss and LAE ratio		68.0	%		59.5	%		55.2	%		52.5	%		52.1	%		54.9	%		49.4	%
Underwriting expense ratio		37.8	%		35.4	%		36.3	%		36.7	%		37.6	%		36.5	%		36.1	%

Combined ratio		105.8	%		94.9	%		91.5	%		89.2	%		89.7	%		91.4	%		85.5	%

Combined ratio excl. catastrophe and prior year development		93.4	%		93.7	%		95.1	%		86.4	%		96.0	%		92.8	%		96.4	%

Page 11


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


	Three Months Ended													Twelve Months Ended
	03/31/17			12/31/16		09/30/16		06/30/16			03/31/16			12/31/16			12/31/15
Net investment income	$	347		$	346	$	351	$	344		$	315		$	1,356		$	1,224
Guaranteed withdrawal benefit fees		14			14		14		13			12			53			43
Policy charges and other miscellaneous income		13			13		12		11			14			50			55

Total revenues		374			373		377		368			341			1,459			1,322
Annuity benefits expense		196			160		189		223			228			800			732
Acquisition expenses		52			54		53		40			34			181			163
Other expenses		30			27		28		29			26			110			96

Total costs and expenses		278			241		270		292			288			1,091			991

Annuity earnings before income taxes	$	96		$	132	$	107	$	76		$	53		$	368		$	331

Detail of Annuity earnings before income taxes
Earnings before income taxes and impact of fair value accounting	$	98		$	103	$	106	$	102		$	84		$	395		$	354
Impact of fair value accounting (a)		(2	)		29		1		(26	)		(31	)		(27	)		(23	)

Annuity earnings before income taxes	$	96		$	132	$	107	$	76		$	53		$	368		$	331

(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														Twelve Months Ended
	03/31/17			12/31/16			09/30/16			06/30/16			03/31/16		12/31/16			12/31/15
Detail of annuity benefits expense:
Interest credited - fixed	$	152		$	148		$	145		$	142		$	139	$	574		$	532
Interest credited - fixed component of variable annuities		1			1			1			2			1		5			6
Change in expected death and annuitization reserve		4			4			5			4			5		18			19
Amortization of sales inducements		6			7			6			6			5		24			26
Guaranteed withdrawal benefit reserve		16			20			18			15			16		69			63
Change in other benefit reserves		11			11			10			8			5		34			22
Unlockings (a)		—			23			—			—			—		23			19

Subtotal before impact of fair value accounting		190			214			185			177			171		747			687
Embedded derivative mark-to-market (b)		147			6			109			62			17		194			(11	)
Equity option mark-to-market		(141	)		(60	)		(105	)		(16	)		40		(141	)		56

Subtotal impact of fair value accounting		6			(54	)		4			46			57		53			45

Total annuity benefits expense	$	196		$	160		$	189		$	223		$	228	$	800		$	732

(a)

Includes unlockings for fixed indexed annuity embedded derivative reserves, sales inducement asset and other reserves. Does not include unlocking income of $24 million in 2016 and $29 million in 2015 for deferred policy acquisition costs and unearned revenue reserves. These unlockings are included in acquisition expenses and other income. In total, AFG recorded an unlocking expense reduction of $1 million in 2016 and $10 million in 2015.

(b)	Excludes unlocking impact of $17 million in 2016 and $28 million in 2015.

Page 13


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


	Three Months Ended															Twelve Months Ended
	03/31/17			12/31/16			09/30/16			06/30/16			03/31/16			12/31/16			12/31/15
Average fixed annuity investments (at amortized cost)	$	30,055		$	29,192		$	28,548		$	27,964		$	27,186		$	28,223		$	25,174
Average annuity benefits accumulated		30,183			29,250			28,538			27,861			26,935			28,146			24,898

Investments in excess of annuity benefits accumulated	$	(128	)	$	(58	)	$	10		$	103		$	251		$	77		$	276

As % of average annuity benefits accumulated (except as noted)
Net investment income (as % of investments)		4.59	%		4.72	%		4.88	%		4.88	%		4.60	%		4.77	%		4.83	%
Interest credited		(2.01	%)		(2.02	%)		(2.03	%)		(2.04	%)		(2.06	%)		(2.04	%)		(2.14	%)

Net interest spread on fixed annuities		2.58	%		2.70	%		2.85	%		2.84	%		2.54	%		2.73	%		2.69	%
Policy charges and other miscellaneous income		0.14	%		0.15	%		0.14	%		0.13	%		0.16	%		0.15	%		0.18	%
Other annuity benefit expenses, net		(0.31	%)		(0.38	%)		(0.36	%)		(0.30	%)		(0.27	%)		(0.33	%)		(0.35	%)
Acquisition expenses		(0.67	%)		(1.06	%)		(0.72	%)		(0.55	%)		(0.47	%)		(0.70	%)		(0.74	%)
Other expenses		(0.38	%)		(0.35	%)		(0.39	%)		(0.38	%)		(0.38	%)		(0.38	%)		(0.36	%)
Change in fair value of derivatives		(0.08	%)		0.73	%		(0.05	%)		(0.66	%)		(0.84	%)		(0.19	%)		(0.18	%)
Unlockings		0.00	%		0.03	%		0.00	%		0.00	%		0.00	%		0.01	%		0.02	%

Net spread earned on fixed annuities		1.28	%		1.82	%		1.47	%		1.08	%		0.74	%		1.29	%		1.26	%

Average annuity benefits accumulated	$	30,183		$	29,250		$	28,538		$	27,861		$	26,935		$	28,146		$	24,898
Net spread earned on fixed annuities		1.28	%		1.82	%		1.47	%		1.08	%		0.74	%		1.29	%		1.26	%

Earnings on fixed annuity benefits accumulated	$	96		$	133		$	105		$	75		$	50		$	363		$	313
Investments in excess of annuity benefits accumulated	$	(128	)	$	(58	)	$	10		$	103		$	251		$	77		$	276
Net investment income (as % of investments)		4.59	%		4.72	%		4.88	%		4.88	%		4.60	%		4.77	%		4.83	%

Earnings on investments in excess of annuity benefits accumulated	$	(1	)	$	—		$	—		$	1		$	3		$	4		$	13
Variable annuity earnings		1			(1	)		2			—			—			1			5

Earnings before income taxes	$	96		$	132		$	107		$	76		$	53		$	368		$	331

Detail of net spread earned on fixed annuities - core
Net spread earned core - before impact of fair value accounting		1.31	%		1.42	%		1.46	%		1.45	%		1.20	%		1.39	%		1.35	%
Change in fair value of derivatives		(0.08	%)		0.73	%		(0.05	%)		(0.66	%)		(0.84	%)		(0.19	%)		(0.18	%)
Estimated net offsets to deferred sales inducements and deferred policy acquisition costs		0.05	%		(0.33	%)		0.06	%		0.29	%		0.38	%		0.09	%		0.09	%

Net spread earned core - after impact of fair value accounting		1.28	%		1.82	%		1.47	%		1.08	%		0.74	%		1.29	%		1.26	%

Page 14


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


	Three Months Ended										Twelve Months Ended
	03/31/17		12/31/16		09/30/16		06/30/16		03/31/16		12/31/16		12/31/15
Retail single premium annuities - indexed	$	469	$	415	$	340	$	413	$	546	$	1,714	$	1,864
Retail single premium annuities - fixed		20		22		18		22		20		82		70
Financial institutions single premium annuities - indexed		487		474		435		507		534		1,950		1,741
Financial institutions single premium annuities - fixed		262		152		97		100		119		468		229
Education market - fixed and indexed annuities		45		40		42		45		57		184		194

Subtotal fixed annuity premiums		1,283		1,103		932		1,087		1,276		4,398		4,098
Variable annuities		7		8		9		11		9		37		42

Total annuity premiums	$	1,290	$	1,111	$	941	$	1,098	$	1,285	$	4,435	$	4,140

Page 15


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


	Three Months Ended															Twelve Months Ended
	03/31/17			12/31/16			09/30/16			06/30/16			03/31/16			12/31/16			12/31/15
Beginning fixed annuity reserves	$	29,647		$	28,853		$	28,222		$	27,499		$	26,371		$	26,371		$	23,462
Premiums		1,283			1,103			932			1,087			1,276			4,398			4,098
Federal Home Loan Bank advances		—			—			—			—			150			150			345
Surrenders, benefits and other withdrawals		(539	)		(524	)		(586	)		(596	)		(483	)		(2,189	)		(1,932	)
Sale of subsidiaries		—			—			—			—			—			—			(261	)
Interest and other annuity benefit expenses:
Interest credited		152			148			145			142			139			574			532
Embedded derivative mark-to-market		147			6			109			62			17			194			(11	)
Change in other benefit reserves		29			34			31			28			29			122			115
Unlockings		—			27			—			—			—			27			23

Ending fixed annuity reserves	$	30,719		$	29,647		$	28,853		$	28,222		$	27,499		$	29,647		$	26,371

Reconciliation to annuity benefits accumulated:
Ending fixed annuity reserves	$	30,719		$	29,647		$	28,853		$	28,222		$	27,499		$	29,647		$	26,371
Impact of unrealized investment gains on reserves		100			76			180			188			127			76			64
Fixed component of variable annuities		183			184			189			186			186			184			187

Annuity benefits accumulated per balance sheet	$	31,002		$	29,907		$	29,222		$	28,596		$	27,812		$	29,907		$	26,622

Annualized surrenders and other withdrawals as a % of beginning reserves		7.3	%		7.3	%		8.3	%		8.7	%		7.3	%		8.3	%		8.2	%

Page 16

American Financial Group, Inc.

Consolidated Balance Sheet

($ in millions)


	03/31/17			12/31/16			09/30/16			06/30/16			03/31/16			12/31/15
Assets:
Total cash and investments	$	43,350		$	41,433		$	41,805		$	40,639		$	39,437		$	37,736
Recoverables from reinsurers		2,735			2,737			2,814			2,576			2,561			2,636
Prepaid reinsurance premiums		533			539			634			521			475			480
Agents’ balances and premiums receivable		989			997			1,029			992			936			937
Deferred policy acquisition costs		1,205			1,239			867			881			1,055			1,184
Assets of managed investment entities		5,331			4,765			4,312			4,410			3,906			4,047
Other receivables		875			908			1,391			788			693			820
Variable annuity assets (separate accounts)		614			600			606			595			595			608
Other assets (a)		1,633			1,655			1,188			1,132			1,181			1,190
Goodwill		199			199			199			199			199			199

Total assets	$	57,464		$	55,072		$	54,845		$	52,733		$	51,038		$	49,837

Liabilities and Equity:
Unpaid losses and loss adjustment expenses	$	8,621		$	8,563		$	8,661		$	8,203		$	8,108		$	8,127
Unearned premiums		2,174			2,171			2,328			2,109			2,051			2,060
Annuity benefits accumulated		31,002			29,907			29,222			28,596			27,812			26,622
Life, accident and health reserves		687			691			700			702			708			705
Payable to reinsurers		621			634			835			588			501			591
Liabilities of managed investment entities		5,101			4,549			4,067			4,192			3,656			3,781
Long-term debt (a)		1,283			1,283			1,300			998			998			998
Variable annuity liabilities (separate accounts)		614			600			606			595			595			608
Other liabilities		2,166			1,755			1,768			1,557			1,672			1,575

Total liabilities	$	52,269		$	50,153		$	49,487		$	47,540		$	46,101		$	45,067
Shareholders’ equity:
Common stock	$	88		$	87		$	87		$	87		$	87		$	87
Capital surplus		1,138			1,111			1,242			1,228			1,218			1,214
Unappropriated retained earnings		3,466			3,343			3,079			3,016			3,002			2,987
Unrealized gains—equities		145			98			103			46			40			54
Unrealized gains—fixed maturities		384			306			669			639			426			278
Unrealized gains (losses)—fixed maturity-related cash flow hedges		(8	)		(7	)		5			5			4			1
Other comprehensive income, net of tax		(22	)		(22	)		(24	)		(21	)		(22	)		(29	)

Total shareholders’ equity		5,191			4,916			5,161			5,000			4,755			4,592
Noncontrolling interests		4			3			197			193			182			178

Total liabilities and equity	$	57,464		$	55,072		$	54,845		$	52,733		$	51,038		$	49,837

(a)	December 2015 has 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)


	03/31/17			12/31/16			09/30/16			06/30/16			03/31/16			12/31/15
Shareholders’ equity	$	5,191		$	4,916		$	5,161		$	5,000		$	4,755		$	4,592
Unrealized (gains) related to fixed maturities		(376	)		(299	)		(674	)		(644	)		(430	)		(279	)

Adjusted shareholders’ equity		4,815			4,617			4,487			4,356			4,325			4,313
Goodwill		(199	)		(199	)		(199	)		(199	)		(199	)		(199	)
Intangibles		(32	)		(34	)		(44	)		(46	)		(47	)		(49	)

Tangible adjusted shareholders’ equity	$	4,584		$	4,384		$	4,244		$	4,111		$	4,079		$	4,065

Common shares outstanding		87.592			86.924			86.813			86.850			86.966			87.474
Book value per share:
Book value per share	$	59.26		$	56.55		$	59.45		$	57.57		$	54.67		$	52.50
Adjusted (a)		54.98			53.11			51.68			50.16			49.72			49.32
Tangible, adjusted (b)		52.34			50.43			48.89			47.34			46.90			46.49
Market capitalization
AFG’s closing common share price	$	95.42		$	88.12		$	75.00		$	73.93		$	70.37		$	72.08
Market capitalization	$	8,358		$	7,660		$	6,511		$	6,421		$	6,120		$	6,305
Price / Adjusted book value ratio		1.74			1.66			1.45			1.47			1.42			1.46

(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)


	03/31/17			12/31/16			09/30/16			06/30/16			03/31/16			12/31/15
AFG senior obligations (a)	$	1,008		$	1,008		$	1,008		$	708		$	708		$	708
Borrowings drawn under credit facility		—			—			—			—			—			—
Obligations of subsidiaries—other		—			—			18			12			12			12

Debt excluding subordinated debt & debt secured by real estate	$	1,008		$	1,008		$	1,026		$	720		$	720		$	720
AFG subordinated debentures		300			300			300			300			300			300

Total principal amount of long-term debt	$	1,308		$	1,308		$	1,326		$	1,020		$	1,020		$	1,020
Shareholders’ equity		5,191			4,916			5,161			5,000			4,755			4,592
Noncontrolling interests		4			3			197			193			182			178
Less:
Unrealized (gains)—fixed maturity investments		(384	)		(306	)		(669	)		(639	)		(426	)		(278	)

Total adjusted capital	$	6,119		$	5,921		$	6,015		$	5,574		$	5,531		$	5,512

Ratio of debt to total adjusted capital:
Including subordinated debt		21.4	%		22.1	%		22.0	%		18.3	%		18.4	%		18.5	%
Excluding subordinated debt		16.5	%		17.0	%		17.1	%		12.9	%		13.0	%		13.1	%

(a)	December 2015 has 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										Twelve Months Ended
	03/31/17		12/31/16		09/30/16		06/30/16		03/31/16		12/31/16		12/31/15
Property and Casualty Insurance
Paid Losses (GAAP)	$	554	$	683	$	537	$	586	$	547	$	2,353	$	2,403


	03/31/17		12/31/16		09/30/16		06/30/16		03/31/16		12/31/15
Statutory Surplus
Property and Casualty Insurance	$	3,013	$	2,939	$	3,038	$	2,601	$	2,574	$	2,488
AFG’s principal annuity subsidiaries (total adjusted capital)	$	2,341	$	2,234	$	2,216	$	2,089	$	2,032	$	1,918
Allowable dividends without regulatory approval
Property and Casualty Insurance	$	496	$	496	$	434	$	434	$	434	$	434
Annuity and Run-off		197		197		375		375		375		375

Total	$	693	$	693	$	809	$	809	$	809	$	809

Page 20

American Financial Group, Inc.

Total Cash and Investments

($ in millions)


	Carrying Value - March 31, 2017
	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	$	1,106	$	562	$	222	$	—		$	1,890		4	%
Fixed maturities—Available for sale		7,069		29,373		14		—			36,456		84	%
Fixed maturities—Trading		242		117		—		—			359		1	%
Equity securities		1,061		524		52		—			1,637		4	%
Policy loans		—		190		—		—			190		0	%
Mortgage loans		260		899		—		—			1,159		3	%
Equity index call options		—		573		—		—			573		1	%
Real estate and other investments		507		761		47		(229	)		1,086		3	%

Total cash and investments	$	10,245	$	32,999	$	335	$	(229	)	$	43,350		100	%

Unrealized gain/(loss) on equity securities	$	147	$	76	$	—	$	—		$	223


	Carrying Value - December 31, 2016
	Property and Casualty Insurance		Annuity and Run-off		Parent and Other Non- Insurance		Consolidate CLOs			Total AFG Consolidated		% of Investment Portfolio
Total cash and investments:
Cash and cash equivalents	$	1,383	$	511	$	213	$	—		$	2,107		5	%
Fixed maturities—Available for sale		6,510		28,021		13		—			34,544		83	%
Fixed maturities—Trading		242		117		—		—			359		1	%
Equity securities		1,013		496		49		—			1,558		4	%
Policy loans		—		192		—		—			192		0	%
Mortgage loans		261		886		—		—			1,147		3	%
Equity index call options		—		492		—		—			492		1	%
Real estate and other investments		497		705		48		(216	)		1,034		3	%

Total cash and investments	$	9,906	$	31,420	$	323	$	(216	)	$	41,433		100	%

Unrealized gain/(loss) on equity securities	$	102	$	49	$	—	$	—		$	151

Page 21

American Financial Group, Inc.

Net Investment Income

($ in millions)


	Three Months Ended															Twelve Months Ended
	03/31/17			12/31/16			09/30/16			06/30/16			03/31/16			12/31/16			12/31/15
Property and Casualty Insurance:
Gross Investment Income
Fixed maturities—Available for sale	$	63		$	64		$	63		$	66		$	64		$	257		$	248
Fixed maturities—Trading		1			(1	)		2			1			1			3			4
Equity securities		14			13			13			12			13			51			48
Equity in investees		4			7			7			2			6			22			11
Other investments		6			6			10			10			1			27			16

Gross investment income		88			89			95			91			85			360			327
Investment expenses		(2	)		(4	)		(2	)		(2	)		(2	)		(10	)		(8	)

Total net investment income	$	86		$	85		$	93		$	89		$	83		$	350		$	319

Average cash and investments (a)	$	9,855		$	9,779		$	9,647		$	9,465		$	9,366		$	9,550		$	8,956

Average yield (b)		3.49	%		3.48	%		3.86	%		3.76	%		3.54	%		3.66	%		3.56	%

Fixed Annuity:
Gross Investment Income
Fixed maturities—Available for sale	$	318		$	315		$	307		$	307		$	294		$	1,223		$	1,126
Fixed maturities—Trading		—			—			—			—			—			—			—
Equity securities		5			7			6			6			5			24			21
Equity in investees		6			6			9			2			5			22			16
Other investments		19			20			27			29			11			87			62

Gross investment income		348			348			349			344			315			1,356			1,225
Investment expenses		(3	)		(4	)		(1	)		(2	)		(3	)		(10	)		(10	)

Total net investment income	$	345		$	344		$	348		$	342		$	312		$	1,346		$	1,215

Average cash and investments (a)	$	30,055		$	29,192		$	28,548		$	27,964		$	27,186		$	28,223		$	25,174

Average yield (b)		4.59	%		4.72	%		4.88	%		4.88	%		4.60	%		4.77	%		4.83	%

AFG consolidated net investment income:
Property & Casualty	$	86		$	85		$	93		$	89		$	83		$	350		$	319
Annuity and Run-off:
Fixed Annuity		345			344			348			342			312			1,346			1,215
Variable Annuity		2			2			3			2			3			10			9
Run-off		5			6			5			5			5			21			80
Other		3			—			1			4			1			6			4
Consolidate CLOs		(6	)		(8	)		(17	)		(19	)		7			(37	)		6

Total net investment income	$	435		$	429		$	433		$	423		$	411		$	1,696		$	1,633

(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 )


March 31, 2017	Amortized Cost			Fair Value		Unrealized Gain (Loss)			% of Fair Value			% of Investment Portfolio
US Government and government agencies	$	320		$	319	$	(1	)		1	%		1	%
States, municipalities and political subdivisions		6,762			6,927		165			19	%		16	%
Foreign government		265			270		5			1	%		0	%
Residential mortgage-backed securities		3,435			3,719		284			10	%		9	%
Commercial mortgage-backed securities		1,211			1,253		42			3	%		3	%
Asset-backed securities		6,549			6,593		44			18	%		15	%
Corporate and other bonds		17,262			17,734		472			48	%		41	%

Total AFG consolidated	$	35,804		$	36,815	$	1,011			100	%		85	%

Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		4.47	%
Net of investment expense (a)		4.42	%
Approximate average life and duration:
Approximate average life		6.5 years
Approximate duration		5 years

December 31, 2016	Amortized Cost			Fair Value		Unrealized Gain (Loss)			% of Fair Value			% of Investment Portfolio
US Government and government agencies	$	348		$	348	$	—			1	%		1	%
States, municipalities and political subdivisions		6,677			6,808		131			19	%		16	%
Foreign government		256			261		5			1	%		1	%
Residential mortgage-backed securities		3,371			3,639		268			11	%		9	%
Commercial mortgage-backed securities		1,446			1,493		47			4	%		3	%
Asset-backed securities		5,962			5,959		(3	)		17	%		14	%
Corporate and other bonds		16,034			16,395		361			47	%		40	%

Total AFG consolidated	$	34,094		$	34,903	$	809			100	%		84	%

Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		4.56	%
Net of investment expense (a)		4.48	%
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)


	March 31, 2017											December 31, 2016
	Amortized					Unrealized			% of			Amortized					Unrealized			% of
Property and Casualty Insurance:	Cost			Fair Value		Gain (Loss)			Fair Value			Cost			Fair Value		Gain (Loss)			Fair Value
US Government and government agencies	$	269		$	269	$	—			4	%	$	295		$	295	$	—			4	%
States, municipalities and political subdivisions		2,650			2,681		31			37	%		2,588			2,605		17			39	%
Foreign government		253			257		4			3	%		245			249		4			4	%
Residential mortgage-backed securities		990			1,041		51			14	%		980			1,026		46			15	%
Commercial mortgage-backed securities		125			128		3			2	%		142			144		2			2	%
Asset-backed securities		1,593			1,594		1			22	%		1,445			1,440		(5	)		21	%
Corporate and other bonds		1,320			1,341		21			18	%		976			993		17			15	%

Property and Casualty Insurance	$	7,200		$	7,311	$	111			100	%	$	6,671		$	6,752	$	81			100	%

Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		3.78	%										3.88	%
Net of investment expense (a)		3.66	%										3.67	%
Tax equivalent, net of investment expense (b)		4.17	%										4.20	%
Approximate average life and duration:
Approximate average life		4.5 years											4.5 years
Approximate duration		3.5 years											3.5 years

	March 31, 2017											December 31, 2016
	Amortized					Unrealized			% of			Amortized					Unrealized			% of
Annuity and Run-off:	Cost			Fair Value		Gain (Loss)			Fair Value			Cost			Fair Value		Gain (Loss)			Fair Value
US Government and government agencies	$	50		$	49	$	(1	)		0	%	$	52		$	52	$	—			0	%
States, municipalities and political subdivisions		4,112			4,246		134			14	%		4,089			4,203		114			15	%
Foreign government		12			13		1			0	%		11			12		1			0	%
Residential mortgage-backed securities		2,444			2,665		221			9	%		2,390			2,601		211			9	%
Commercial mortgage-backed securities		1,086			1,125		39			4	%		1,304			1,349		45			5	%
Asset-backed securities		4,956			4,999		43			17	%		4,517			4,519		2			16	%
Corporate and other bonds		15,942			16,393		451			56	%		15,058			15,402		344			55	%

Total Annuity and Run-off	$	28,602		$	29,490	$	888			100	%	$	27,421		$	28,138	$	717			100	%

Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		4.64	%										4.72	%
Net of investment expense (a)		4.60	%										4.67	%
Approximate average life and duration:
Approximate average life		6.5 years											6.5 years
Approximate duration		5 years											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)


	March 31, 2017
	Amortized				Unrealized			% of
By Credit Rating (a)	Cost		Fair Value		Gain (Loss)			Fair Value
Investment grade
AAA	$	6,047	$	6,125	$	78			17	%
AA		7,735		7,918		183			21	%
A		8,594		8,799		205			24	%
BBB		9,750		10,021		271			27	%

Subtotal—Investment grade		32,126		32,863		737			89	%
BB		695		706		11			2	%
B		424		426		2			1	%
Other (b)		2,559		2,820		261			8	%

Subtotal—Non-Investment grade		3,678		3,952		274			11	%

Total	$	35,804	$	36,815	$	1,011			100	%


98% of the fixed maturity portfolio is NAIC designated 1 or 2.

	December 31, 2016
	Amortized				Unrealized			% of
By Credit Rating (a)	Cost		Fair Value		Gain (Loss)			Fair Value
Investment grade
AAA	$	6,117	$	6,189	$	72			18	%
AA		7,123		7,257		134			21	%
A		8,323		8,487		164			24	%
BBB		8,999		9,193		194			26	%

Subtotal—Investment grade		30,562		31,126		564			89	%
BB		687		695		8			2	%
B		446		445		(1	)		1	%
Other (b)		2,399		2,637		238			8	%

Subtotal—Non-Investment grade		3,532		3,777		245			11	%

Total	$	34,094	$	34,903	$	809			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
March 31, 2017	Cost		Fair Value		Gain (Loss)		Fair Value			Portfolio
Residential
Agency	$	237	$	237	$	—		5	%		0	%
Prime (Non-Agency)		1,447		1,601		154		32	%		4	%
Alt-A		1,108		1,196		88		24	%		3	%
Subprime		643		685		42		14	%		2	%
Commercial		1,211		1,253		42		25	%		3	%

Total AFG consolidated	$	4,646	$	4,972	$	326		100	%		12	%

•

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 86%; CMBS 99%.

•

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

•

97% of our Commercial MBS portfolio is investment-grade rated (81% AAA) and the average subordination for this group of assets is 37%.

•

The approximate average life by collateral type is—Residential 4.5 years; Commercial 4.5 years.


										% of
	Amortized				Unrealized		% of			Investment
December 31, 2016	Cost		Fair Value		Gain (Loss)		Fair Value			Portfolio
Residential
Agency	$	243	$	243	$	—		5	%		0	%
Prime (Non-Agency)		1,406		1,557		151		30	%		4	%
Alt-A		1,093		1,170		77		23	%		3	%
Subprime		629		669		40		13	%		2	%
Commercial		1,446		1,493		47		29	%		3	%

Total AFG consolidated	$	4,817	$	5,132	$	315		100	%		11	%

Page 26


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


Property and Casualty Insurance:	March 31, 2017
	Amortized				Unrealized			% of			% of Inv
By Asset Type	Cost		Fair Value		Gain (Loss)			Fair Value			Portfolio
Residential
Agency	$	187	$	186	$	(1	)		16	%		2	%
Prime (Non-Agency)		208		223		15			19	%		2	%
Alt-A		336		359		23			31	%		4	%
Subprime		259		273		14			23	%		3	%
Commercial		125		128		3			11	%		1	%

Total	$	1,115	$	1,169	$	54			100	%		12	%


	December 31, 2016
	Amortized				Unrealized			% of			% of Inv
By Asset Type	Cost		Fair Value		Gain (Loss)			Fair Value			Portfolio
Residential
Agency	$	192	$	191	$	(1	)		17	%		2	%
Prime (Non-Agency)		187		202		15			17	%		2	%
Alt-A		342		361		19			31	%		4	%
Subprime		259		272		13			23	%		3	%
Commercial		142		144		2			12	%		1	%

Total	$	1,122	$	1,170	$	48			100	%		12	%


Annuity and Run-off:	March 31, 2017
	Amortized				Unrealized			% of			% of Inv
By Asset Type	Cost		Fair Value		Gain (Loss)			Fair Value			Portfolio
Residential
Agency	$	50	$	51	$	1			1	%		0	%
Prime (Non-Agency)		1,238		1,365		127			36	%		4	%
Alt-A		772		837		65			22	%		3	%
Subprime		384		412		28			11	%		1	%
Commercial		1,086		1,125		39			30	%		3	%

Total	$	3,530	$	3,790	$	260			100	%		11	%


	December 31, 2016
	Amortized				Unrealized			% of			% of Inv
By Asset Type	Cost		Fair Value		Gain (Loss)			Fair Value			Portfolio
Residential
Agency	$	51	$	52	$	1			1	%		0	%
Prime (Non-Agency)		1,218		1,343		125			34	%		4	%
Alt-A		751		809		58			21	%		3	%
Subprime		370		397		27			10	%		1	%
Commercial		1,304		1,349		45			34	%		5	%

Total	$	3,694	$	3,950	$	256			100	%		13	%

Page 27


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


	March 31, 2017
	Amortized				Unrealized		% of
By Credit Rating (a)	Cost		Fair Value		Gain (Loss)		Fair Value
Investment grade
AAA	$	1,457	$	1,502	$	45		30	%
AA		139		144		5		3	%
A		242		253		11		5	%
BBB		318		333		15		7	%

Subtotal—investment grade		2,156		2,232		76		45	%
BB		219		220		1		5	%
B		312		316		4		6	%
Other		1,959		2,204		245		44	%

Total	$	4,646	$	4,972	$	326		100	%


97% of the mortgage-backed security portfolio has an NAIC 1 designation.


	December 31, 2016
	Amortized				Unrealized		% of
By Credit Rating (a)	Cost		Fair Value		Gain (Loss)		Fair Value
Investment grade
AAA	$	1,668	$	1,720	$	52		34	%
AA		164		169		5		3	%
A		256		268		12		5	%
BBB		274		288		14		6	%

Subtotal—investment grade		2,362		2,445		83		48	%
BB		211		212		1		4	%
B		330		333		3		6	%
Other		1,914		2,142		228		42	%

Total	$	4,817	$	5,132	$	315		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 - March 31, 2017
By Credit Rating (a)	US Gov		Munis		Frgn gov		RMBS		CMBS		ABS		Corp/Oth		Total		% Total
Investment grade
AAA	$	279	$	1,797	$	190	$	492	$	1,010	$	2,140	$	217	$	6,125		17	%
AA		40		4,484		30		116		28		1,895		1,325		7,918		21	%
A		—		462		45		159		94		1,637		6,402		8,799		24	%
BBB		—		67		5		253		80		826		8,790		10,021		27	%

Subtotal—Investment grade		319		6,810		270		1,020		1,212		6,498		16,734		32,863		89	%
BB		—		4		—		204		16		13		469		706		2	%
B		—		8		—		291		25		—		102		426		1	%
CCC, CC, C		—		10		—		971		—		3		32		1,016		3	%
D		—		—		—		714		—		—		—		714		2	%

Subtotal—Non-Investment grade		—		22		—		2,180		41		16		603		2,862		8	%
Not Rated		—		95		—		519		—		79		397		1,090		3	%

Total	$	319	$	6,927	$	270	$	3,719	$	1,253	$	6,593	$	17,734	$	36,815		100	%


	Fair Value - December 31, 2016
By Credit Rating (a)	US Gov		Munis		Frgn gov		RMBS		CMBS		ABS		Corp/Oth		Total		% Total
Investment grade
AAA	$	299	$	1,727	$	171	$	508	$	1,213	$	2,053	$	218	$	6,189		18	%
AA		41		4,388		30		127		42		1,480		1,149		7,257		21	%
A		—		501		55		170		98		1,593		6,070		8,487		24	%
BBB		—		69		5		202		86		813		8,018		9,193		26	%

Subtotal—Investment grade		340		6,685		261		1,007		1,439		5,939		15,455		31,126		88	%
BB		—		4		—		184		29		16		462		695		2	%
B		—		8		—		307		25		1		104		445		1	%
CCC, CC, C		—		11		—		963		—		3		32		1,009		3	%
D		—		—		—		679		—		—		—		679		2	%

Subtotal—Non-Investment grade		—		23		—		2,133		54		20		598		2,828		8	%
Not Rated		8		100		—		499		—		—		342		949		3	%

Total	$	348	$	6,808	$	261	$	3,639	$	1,493	$	5,959	$	16,395	$	34,903		100	%

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

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