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

Attached files

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8-K - 8-K - AMERICAN FINANCIAL GROUP INC	d31000d8k.htm
EX-99.1 - EX-99.1 - AMERICAN FINANCIAL GROUP INC	d31000dex991.htm

Exhibit 99.2


		American Financial Group, Inc. Investor Supplement - Second Quarter 2020 August 4, 2020 American Financial Group, Inc. Corporate Headquarters Great American Insurance Group Tower 301 E Fourth Street Cincinnati, OH 45202 513 579 6739

American Financial Group, Inc.

Table of Contents—Investor Supplement—Second Quarter 2020


Section	Page
Table of Contents—Investor Supplement—Second Quarter 2020		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		12a
Annuity Earnings—Alternative View		12b
Detail of Annuity Benefits Expense		13
Core Net Spread on Fixed Annuities		14
Statutory Annuity Premiums		15
Fixed Annuity Benefits Accumulated (GAAP)		16
Guaranteed Minimum Interest Rate Analysis		17
Annuity Non—Core Earnings (Losses)		18
Reconciliation from Core to GAAP Annuity Pretax Earnings 19

Consolidated Balance Sheet / Book Value / Debt
Consolidated Balance Sheet		20
Book Value Per Share and Price / Book Summary		21
Capitalization		22
Additional Supplemental Information		23

Consolidated Investment Supplement
Total Cash and Investments		24
Net Investment Income		25
Insurance Companies’ Alternative Investments		26
Fixed Maturities—By Security Type—AFG Consolidated		27
Fixed Maturities—By Security Type Portfolio		28
Fixed Maturities—Credit Rating		29
Mortgage—Backed Securities—AFG Consolidated		30
Mortgage—Backed Securities Portfolio		31

Appendix
A. Components of Core Operating Earnings As Reported		32
B. Fixed Maturities by Credit Rating & NAIC Designation by Type 6/30/2020		33
C. Fixed Maturities by Credit Rating & NAIC Designation by Type 12/31/2019		34
D. Corporate Securities by Credit Rating & NAIC Designation by Industry 6/30/2020		35
E. Corporate Securities by Credit Rating & NAIC Designation by Industry 12/31/2019		36
F. Asset—Backed Securities by Credit Rating & NAIC Designation by Collateral Type 6/30/2020		37
G. Asset—Backed Securities by Credit Rating & NAIC Designation by Collateral Type 12/31/2019		38
H. Real Estate Exposure 6/30/2020		39
I. Real Estate Exposure 12/31/2019		40

Page 2

American Financial Group, Inc.

Financial Highlights

(in millions, except per share information)


	Three Months Ended															Six Months Ended
	6/30/20			3/31/20			12/31/19			9/30/19			6/30/19			6/30/20			6/30/19
Highlights
Net earnings (loss)	$	177		$	(301	)	$	211		$	147		$	210		$	(124	)	$	539
Core net operating earnings		95			171			203			205			192			266			376
Total assets		70,867			67,643			70,130			69,067			67,697			70,867			67,697
Adjusted shareholders’ equity (a)		5,049			4,987			5,390			5,376			5,260			5,049			5,260
Property and Casualty net written premiums		1,123			1,165			1,313			1,618			1,264			2,288			2,411
Gross Annuity statutory premiums		687			1,210			1,139			1,077			1,349			1,897			2,744
Net Annuity statutory premiums		609			1,210			1,139			1,077			1,349			1,819			2,744
Per share data
Diluted earnings (loss) per share	$	1.97		$	(3.34	)	$	2.31		$	1.62		$	2.31		$	(1.38	)	$	5.94
Core net operating earnings per share		1.05			1.88			2.22			2.25			2.12			2.94			4.14
Adjusted book value per share (a)		56.95			55.52			59.70			59.65			58.49			56.95			58.49
Cash dividends per common share		0.4500			0.4500			2.2500			0.4000			1.9000			0.9000			2.3000
Financial ratios
Annualized return on equity (b)		14.1	%		(23.1	%)		15.6	%		11.0	%		16.0	%		(4.8	%)		21.0	%
Annualized core operating return on equity (b)		7.5	%		13.2	%		15.0	%		15.3	%		14.7	%		10.3	%		14.6	%
Property and Casualty combined ratio—Specialty:
Loss & LAE ratio		62.6	%		58.5	%		63.2	%		63.1	%		60.2	%		60.5	%		59.6	%
Underwriting expense ratio		32.6	%		33.7	%		30.3	%		30.9	%		34.8	%		33.2	%		34.2	%

Combined ratio—Specialty		95.2	%		92.2	%		93.5	%		94.0	%		95.0	%		93.7	%		93.8	%

Net interest spread on fixed annuities - before alternative investments marked to market		1.60	%		1.59	%		1.71	%		1.65	%		1.72	%		1.59	%		1.71	%
Alternative investments marked to market		(0.36	%)		(0.06	%)		0.23	%		0.28	%		0.33	%		(0.21	%)		0.32	%

Net interest spread on fixed annuities—including alternative investments marked to market		1.24	%		1.53	%		1.94	%		1.93	%		2.05	%		1.38	%		2.03	%

Net spread earned on fixed annuities:
Core operating—before alternative investments marked to market		0.80	%		0.81	%		0.87	%		0.80	%		0.80	%		0.81	%		0.81	%
Alternative investments marked to market, net of DAC		(0.41	%)		(0.12	%)		0.20	%		0.26	%		0.31	%		(0.27	%)		0.29	%

Core operating		0.39	%		0.69	%		1.07	%		1.06	%		1.11	%		0.54	%		1.10	%

(a)	Excludes unrealized gains related to fixed maturity investments, a reconciliation to the GAAP measure is on page 21.

(b)	Excludes accumulated other comprehensive income.

Page 3

American Financial Group, Inc.

Summary of Earnings

($ in millions)


	Three Months Ended															Six Months Ended
	6/30/20			3/31/20			12/31/19			9/30/19			6/30/19			6/30/20			6/30/19
Property and Casualty Insurance
Underwriting profit	$	52		$	88		$	88		$	72		$	59		$	140		$	146
Net investment income		72			99			120			124			124			171			228
Other expense		(8	)		(6	)		(9	)		(2	)		(8	)		(14	)		(14	)

Property and Casualty Insurance operating earnings		116			181			199			194			175			297			360
Annuity operating earnings		42			67			104			100			104			109			194
Interest expense of parent holding companies		(23	)		(17	)		(18	)		(17	)		(17	)		(40	)		(33	)
Other expense		(20	)		(20	)		(32	)		(22	)		(25	)		(40	)		(52	)

Pretax core operating earnings		115			211			253			255			237			326			469
Income tax expense		20			40			50			50			45			60			93

Core net operating earnings		95			171			203			205			192			266			376
Non-core items, net of tax:
Realized gains (losses) on securities		161			(435	)		51			(14	)		45			(274	)		190
Annuity non-core earnings (losses)		(47	)		(30	)		19			(21	)		(27	)		(77	)		(27	)
Special A&E charges:
Property and Casualty Insurance run-off operations		—			—			—			(14	)		—			—			—
Former Railroad and Manufacturing operations		—			—			—			(9	)		—			—			—
Neon exited lines		(32	)		(7	)		(58	)		—			—			(39	)		—
Other non-core items		—			—			(4	)		—			—			—			—

Net earnings (loss)	$	177		$	(301	)	$	211		$	147		$	210		$	(124	)	$	539

Page 4

American Financial Group, Inc.

Earnings Per Share Summary

(in millions, except per share information)


	Three Months Ended															Six Months Ended
	6/30/20			3/31/20			12/31/19			9/30/19			6/30/19			6/30/20			6/30/19
Core net operating earnings	$	95		$	171		$	203		$	205		$	192		$	266		$	376

Net earnings (loss)	$	177		$	(301	)	$	211		$	147		$	210		$	(124	)	$	539

Average number of diluted shares—core		89.997			91.138			91.274			91.137			90.981			90.567			90.839
Average number of diluted shares—net		89.997			90.295			91.274			91.137			90.981			89.980			90.839
Diluted earnings per share:
Core net operating earnings per share	$	1.05		$	1.88		$	2.22		$	2.25		$	2.12		$	2.94		$	4.14
Realized gains (losses) on securities		1.80			(4.81	)		0.56			(0.15	)		0.48			(3.03	)		2.09
Annuity non-core earnings (losses)		(0.52	)		(0.34	)		0.21			(0.23	)		(0.29	)		(0.86	)		(0.29	)
Special A&E charges:
Property and Casualty Insurance run-off operations		—			—			—			(0.15	)		—			—			—
Former Railroad and Manufacturing operations		—			—			—			(0.10	)		—			—			—
Neon exited lines		(0.36	)		(0.07	)		(0.64	)		—			—			(0.43	)		—
Other non-core items		—			—			(0.04	)		—			—			—			—

Diluted earnings (loss) per share	$	1.97		$	(3.34	)	$	2.31		$	1.62		$	2.31		$	(1.38	)	$	5.94

Page 5

American Financial Group, Inc.

Property and Casualty Insurance—Summary Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Six Months Ended
	6/30/20			3/31/20			12/31/19			9/30/19			6/30/19			6/30/20			6/30/19
Property and Transportation	$	33		$	27		$	(2	)	$	38		$	4		$	60		$	43
Specialty Casualty		27			52			69			23			47			79			83
Specialty Financial		—			17			32			26			21			17			34
Other Specialty		(6	)		(7	)		(10	)		1			(12	)		(13	)		(12	)

Underwriting profit—Specialty		54			89			89			88			60			143			148
Other core charges, included in loss and LAE		(2	)		(1	)		(1	)		(16	)		(1	)		(3	)		(2	)

Underwriting profit—Core		52			88			88			72			59			140			146
Special A&E charges, included in loss and LAE		—			—			—			(18	)		—			—			—
Neon exited lines		(43	)		(1	)		(76	)		—			—			(44	)		—

Underwriting profit (loss)—Property and Casualty Insurance	$	9		$	87		$	12		$	54		$	59		$	96		$	146

Included in results above:
COVID-19 related losses	$	105		$	10		$	—		$	—		$	—		$	115		$	—

Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	1		$	—		$	—		$	—		$	—
Catastrophe loss		26			9			14			22			12			35			24

Total current accident year catastrophe losses	$	26		$	9		$	15		$	22		$	12		$	35		$	24

Prior year loss reserve development (favorable) / adverse	$	(77)		$	(42	)	$	(45	)	$	(12	)	$	(41	)	$	(119	)	$	(86	)

Combined ratio:
Property and Transportation		91.7	%		92.9	%		100.4	%		93.5	%		99.1	%		92.3	%		94.2	%
Specialty Casualty		94.9	%		90.7	%		89.7	%		96.5	%		92.5	%		92.8	%		93.4	%
Specialty Financial		100.4	%		89.1	%		79.6	%		83.7	%		85.6	%		94.4	%		88.6	%
Other Specialty		114.2	%		117.7	%		122.5	%		98.5	%		135.1	%		115.8	%		116.7	%
Combined ratio—Specialty		95.2	%		92.2	%		93.5	%		94.0	%		95.0	%		93.7	%		93.8	%
Other core charges		0.2	%		0.1	%		0.1	%		1.1	%		0.1	%		0.1	%		0.1	%
Neon exited lines charge		3.8	%		0.5	%		5.5	%		0.0	%		0.0	%		2.2	%		0.0	%
Special A&E charges		0.0	%		0.0	%		0.0	%		1.2	%		0.0	%		0.0	%		0.0	%

Combined ratio		99.2	%		92.8	%		99.1	%		96.3	%		95.1	%		96.0	%		93.9	%

P&C combined ratio excl. COVID-19 related losses, catastrophe losses, and prior year loss reserve development		94.8	%		94.6	%		101.4	%		95.6	%		97.6	%		94.7	%		96.5	%

Loss and LAE components—property and casualty insurance
Current accident year, excluding COVID-19 related and catastrophe losses		60.7	%		60.3	%		66.0	%		64.6	%		62.7	%		60.5	%		62.3	%
COVID-19 related losses		8.8	%		0.8	%		0.0	%		0.0	%		0.0	%		4.8	%		0.0	%
Current accident year catastrophe losses		2.1	%		0.8	%		1.0	%		1.6	%		0.9	%		1.5	%		1.0	%
Prior accident year loss reserve development		(6.5	%)		(3.4	%)		(0.4	%)		(0.8	%)		(3.3	%)		(5.0	%)		(3.6	%)

Loss and LAE ratio		65.1	%		58.5	%		66.6	%		65.4	%		60.3	%		61.8	%		59.7	%

Page 6

American Financial Group, Inc.

Specialty—Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Six Months Ended
	6/30/20			3/31/20			12/31/19			9/30/19			6/30/19			6/30/20			6/30/19
Gross written premiums	$	1,539		$	1,526		$	1,749		$	2,351		$	1,664		$	3,065		$	3,199
Ceded reinsurance premiums		(416	)		(361	)		(436	)		(733	)		(400	)		(777	)		(788	)

Net written premiums		1,123			1,165			1,313			1,618			1,264			2,288			2,411
Change in unearned premiums		—			(27	)		57			(176	)		(64	)		(27	)		(38	)

Net earned premiums		1,123			1,138			1,370			1,442			1,200			2,261			2,373
Loss and LAE		703			666			865			910			722			1,369			1,413
Underwriting expense		366			383			416			444			418			749			812

Underwriting profit	$	54		$	89		$	89		$	88		$	60		$	143		$	148

Included in results above:
COVID-19 related losses	$	85		$	10		$	—		$	—		$	—		$	95		$	—

Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	1		$	—		$	—		$	—		$	—
Catastrophe loss		26			9			14			22			12			35			24

Total current accident year catastrophe losses	$	26		$	9		$	15		$	22		$	12		$	35		$	24

Prior year loss reserve development (favorable) / adverse	$	(85	)	$	(48	)	$	(53	)	$	(46	)	$	(42	)	$	(133	)	$	(88	)

Combined ratio:
Loss and LAE ratio		62.6	%		58.5	%		63.2	%		63.1	%		60.2	%		60.5	%		59.6	%
Underwriting expense ratio		32.6	%		33.7	%		30.3	%		30.9	%		34.8	%		33.2	%		34.2	%

Combined ratio		95.2	%		92.2	%		93.5	%		94.0	%		95.0	%		93.7	%		93.8	%

Specialty combined ratio excl. COVID-19 related losses, catastrophe losses, and prior year loss reserve development		92.9	%		94.7	%		96.3	%		95.5	%		97.5	%		93.8	%		96.5	%

Loss and LAE components:
Current accident year, excluding COVID-19 related and catastrophe losses		60.3	%		61.0	%		66.0	%		64.6	%		62.7	%		60.6	%		62.3	%
COVID-19 related losses		7.6	%		0.9	%		0.0	%		0.0	%		0.0	%		4.2	%		0.0	%
Current accident year catastrophe losses		2.3	%		0.8	%		1.0	%		1.6	%		0.9	%		1.5	%		1.0	%
Prior accident year loss reserve development		(7.6	%)		(4.2	%)		(3.8	%)		(3.1	%)		(3.4	%)		(5.8	%)		(3.7	%)

Loss and LAE ratio		62.6	%		58.5	%		63.2	%		63.1	%		60.2	%		60.5	%		59.6	%

Page 7

American Financial Group, Inc.

Property and Transportation—Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Six Months Ended
	6/30/20			3/31/20			12/31/19			9/30/19			6/30/19			6/30/20			6/30/19
Gross written premiums	$	611		$	494		$	628		$	1,113		$	579		$	1,105		$	1,018
Ceded reinsurance premiums		(185	)		(108	)		(179	)		(452	)		(157	)		(293	)		(252	)

Net written premiums		426			386			449			661			422			812			766
Change in unearned premiums		(36	)		—			56			(78	)		(43	)		(36	)		(26	)

Net earned premiums		390			386			505			583			379			776			740
Loss and LAE		239			237			392			421			259			476			484
Underwriting expense		118			122			115			124			116			240			213

Underwriting profit	$	33		$	27		$	(2	)	$	38		$	4		$	60		$	43

Included in results above:
COVID-19 related losses	$	3		$	3		$	—		$	—		$	—		$	6		$	—

Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		15			8			7			8			8			23			17

Total current accident year catastrophe losses	$	15		$	8		$	7		$	8		$	8		$	23		$	17

Prior year loss reserve development (favorable) / adverse	$	(28)		$	(24	)	$	(18	)	$	(17	)	$	(6	)	$	(52	)	$	(32	)

Combined ratio:
Loss and LAE ratio		61.3	%		61.4	%		77.8	%		72.1	%		68.4	%		61.4	%		65.4	%
Underwriting expense ratio		30.4	%		31.5	%		22.6	%		21.4	%		30.7	%		30.9	%		28.8	%

Combined ratio		91.7	%		92.9	%		100.4	%		93.5	%		99.1	%		92.3	%		94.2	%

Combined ratio excl. COVID-19 related losses, catastrophe losses, and prior year loss reserve development		94.3	%		96.2	%		102.5	%		94.9	%		98.7	%		95.3	%		96.3	%

Loss and LAE components:
Current accident year, excluding COVID-19 related and catastrophe losses		63.9	%		64.7	%		79.9	%		73.5	%		68.0	%		64.4	%		67.5	%
COVID-19 related losses		0.8	%		0.6	%		0.0	%		0.0	%		0.0	%		0.7	%		0.0	%
Current accident year catastrophe losses		3.8	%		2.2	%		1.4	%		1.4	%		2.0	%		3.0	%		2.3	%
Prior accident year loss reserve development		(7.2	%)		(6.1	%)		(3.5	%)		(2.8	%)		(1.6	%)		(6.7	%)		(4.4	%)

Loss and LAE ratio		61.3	%		61.4	%		77.8	%		72.1	%		68.4	%		61.4	%		65.4	%

Page 8

American Financial Group, Inc.

Specialty Casualty—Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Six Months Ended
	6/30/20			3/31/20			12/31/19			9/30/19			6/30/19			6/30/20			6/30/19
Gross written premiums	$	752		$	849		$	929		$	1,031		$	896		$	1,601		$	1,808
Ceded reinsurance premiums		(241	)		(263	)		(260	)		(287	)		(234	)		(504	)		(520	)

Net written premiums		511			586			669			744			662			1,097			1,288
Change in unearned premiums		36			(30	)		7			(86	)		(28	)		6			(25	)

Net earned premiums		547			556			676			658			634			1,103			1,263
Loss and LAE		367			340			402			416			380			707			768
Underwriting expense		153			164			205			219			207			317			412

Underwriting profit	$	27		$	52		$	69		$	23		$	47		$	79		$	83

Included in results above:
COVID-19 related losses	$	52		$	7		$	—		$	—		$	—		$	59		$	—

Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	1		$	—		$	—		$	—		$	—
Catastrophe loss		6			—			5			10			1			6			2

Total current accident year catastrophe losses	$	6		$	—		$	6		$	10		$	1		$	6		$	2

Prior year loss reserve development (favorable) / adverse	$	(51)		$	(24	)	$	(25	)	$	(19	)	$	(31	)	$	(75	)	$	(44	)

Combined ratio:
Loss and LAE ratio		67.1	%		61.1	%		59.4	%		63.1	%		60.0	%		64.1	%		60.8	%
Underwriting expense ratio		27.8	%		29.6	%		30.3	%		33.4	%		32.5	%		28.7	%		32.6	%

Combined ratio		94.9	%		90.7	%		89.7	%		96.5	%		92.5	%		92.8	%		93.4	%

Combined ratio excl. COVID-19 related losses, catastrophe losses, and prior year loss reserve development		93.8	%		93.6	%		92.7	%		97.8	%		97.1	%		93.7	%		96.8	%

Loss and LAE components:
Current accident year, excluding COVID-19 related and catastrophe losses		66.0	%		64.0	%		62.4	%		64.4	%		64.6	%		65.0	%		64.2	%
COVID-19 related losses		9.5	%		1.3	%		0.0	%		0.0	%		0.0	%		5.3	%		0.0	%
Current accident year catastrophe losses		0.9	%		0.0	%		0.8	%		1.6	%		0.1	%		0.5	%		0.1	%
Prior accident year loss reserve development		(9.3	%)		(4.2	%)		(3.8	%)		(2.9	%)		(4.7	%)		(6.7	%)		(3.5	%)

Loss and LAE ratio		67.1	%		61.1	%		59.4	%		63.1	%		60.0	%		64.1	%		60.8	%

Page 9

American Financial Group, Inc.

Specialty Financial—Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Six Months Ended
	6/30/20			3/31/20			12/31/19			9/30/19			6/30/19			6/30/20			6/30/19
Gross written premiums	$	176		$	183		$	192		$	207		$	189		$	359		$	373
Ceded reinsurance premiums		(37	)		(34	)		(36	)		(40	)		(40	)		(71	)		(79	)

Net written premiums		139			149			156			167			149			288			294
Change in unearned premiums		5			7			(4	)		(6	)		2			12			3

Net earned premiums		144			156			152			161			151			300			297
Loss and LAE		65			59			40			47			49			124			105
Underwriting expense		79			80			80			88			81			159			158

Underwriting profit	$	—		$	17		$	32		$	26		$	21		$	17		$	34

Included in results above:
COVID-19 related losses	$	30		$	—		$	—		$	—		$	—		$	30		$	—

Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		5			1			2			3			3			6			5

Total current accident year catastrophe losses	$	5		$	1		$	2		$	3		$	3		$	6		$	5

Prior year loss reserve development (favorable) / adverse	$	(11	)	$	(2	)	$	(14	)	$	(9	)	$	(9	)	$	(13	)	$	(15	)

Combined ratio:
Loss and LAE ratio		44.9	%		38.0	%		26.1	%		29.7	%		32.3	%		41.2	%		35.3	%
Underwriting expense ratio		55.5	%		51.1	%		53.5	%		54.0	%		53.3	%		53.2	%		53.3	%

Combined ratio		100.4	%		89.1	%		79.6	%		83.7	%		85.6	%		94.4	%		88.6	%

Combined ratio excl. COVID-19 related losses, catastrophe losses, and prior year loss reserve development		83.7	%		89.5	%		87.7	%		87.2	%		89.7	%		86.7	%		92.1	%

Loss and LAE components:
Current accident year, excluding COVID-19 related and catastrophe losses		28.2	%		38.4	%		34.2	%		33.2	%		36.4	%		33.5	%		38.8	%
COVID-19 related losses		21.1	%		0.1	%		0.0	%		0.0	%		0.0	%		10.2	%		0.0	%
Current accident year catastrophe losses		3.6	%		0.6	%		1.1	%		2.0	%		1.8	%		2.0	%		1.6	%
Prior accident year loss reserve development		(8.0	%)		(1.1	%)		(9.2	%)		(5.5	%)		(5.9	%)		(4.5	%)		(5.1	%)

Loss and LAE ratio		44.9	%		38.0	%		26.1	%		29.7	%		32.3	%		41.2	%		35.3	%

Page 10

American Financial Group, Inc.

Other Specialty—Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Six Months Ended
	6/30/20			3/31/20			12/31/19			9/30/19			6/30/19			6/30/20			6/30/19
Gross written premiums	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Ceded reinsurance premiums		47			44			39			46			31			91			63

Net written premiums		47			44			39			46			31			91			63
Change in unearned premiums		(5	)		(4	)		(2	)		(6	)		5			(9	)		10

Net earned premiums		42			40			37			40			36			82			73
Loss and LAE		32			30			31			26			34			62			56
Underwriting expense		16			17			16			13			14			33			29

Underwriting profit (loss)	$	(6	)	$	(7	)	$	(10	)	$	1		$	(12	)	$	(13	)	$	(12	)

Included in results above:
COVID-19 related losses	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		—			—			—			1			—			—			—

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

Prior year loss reserve development (favorable) / adverse	$	5		$	2		$	4		$	(1	)	$	4		$	7		$	3

Combined ratio:
Loss and LAE ratio		76.9	%		73.9	%		83.5	%		64.0	%		96.0	%		75.4	%		77.6	%
Underwriting expense ratio		37.3	%		43.8	%		39.0	%		34.5	%		39.1	%		40.4	%		39.1	%

Combined ratio		114.2	%		117.7	%		122.5	%		98.5	%		135.1	%		115.8	%		116.7	%

Combined ratio excl. COVID-19 related losses, catastrophe losses, and prior year loss reserve development		100.3	%		113.4	%		113.4	%		99.0	%		123.4	%		106.6	%		111.9	%

Page 11

American Financial Group, Inc.

Annuity Earnings

($ in millions)


	Three Months Ended												Six Months Ended
	6/30/20			3/31/20			12/31/19		9/30/19		6/30/19		6/30/20			6/30/19
Net investment income	$	421		$	428		$	435	$	421	$	420	$	849		$	826
Alternative investments marked to market through core operating earnings		(37	)		(6	)		23		27		31		(43	)		60
Guaranteed withdrawal benefit fees		17			17			17		17		17		34			33
Policy charges and other miscellaneous income (a)		13			18			13		14		13		31			25

Total revenues		414			457			488		479		481		871			944
Annuity benefits (a)		274			287			285		280		275		561			542
Acquisition expenses		62			71			65		64		67		133			127
Other expenses		36			32			34		35		35		68			70

Total costs and expenses		372			390			384		379		377		762			739

Pretax Annuity core operating earnings	$	42		$	67		$	104	$	100	$	104	$	109		$	205
Other amounts previously reported as core operating, net (b)		n/a			n/a			n/a		n/a		n/a		n/a			(11	)

Pretax Annuity core operating earnings—as reported	$	42		$	67		$	104	$	100	$	104	$	109		$	194

Components of Pretax Annuity Core Operating Earnings
Pretax annuity core operating earnings before items below	$	84		$	79		$	84	$	75	$	75	$	163		$	150
Other amounts previously reported as core operating, net (b)		n/a			n/a			n/a		n/a		n/a		n/a			(11	)

Pretax annuity core operating earnings before alternative investments marked to market		84			79			84		75		75		163			139
Alternative investments marked to market, net of DAC		(42	)		(12	)		20		25		29		(54	)		55

Pretax Annuity core operating earnings—as reported	$	42		$	67		$	104	$	100	$	104	$	109		$	194

(a)	Gains received on options in excess of index credits to policyholder are recorded through annuity benefits for GAAP. For the investor supplement presentation, these gains are shown in policy charges and other miscellaneous income.

(b)	“Other” primarily reflects (1) the impact of fair value accounting, (2) the impact of changes in the stock market on the liability for guaranteed benefits and DAC, and (3) unlocking.

Page 12a

American Financial Group, Inc.

Annuity Earnings—Alternative View

($ in millions)

LOGO


	Three Months Ended												Six Months Ended
	6/30/20			3/31/20			12/31/19		9/30/19		6/30/19		6/30/20			6/30/19
Net investment income (excluding alternative investments marked to market)	$	421		$	428		$	435	$	421	$	420	$	849		$	826
Guaranteed withdrawal benefit fees		17			17			17		17		17		34			33
Policy charges and other miscellaneous income (a)		13			18			13		14		13		31			25

Total revenues		451			463			465		452		450		914			884
Annuity benefits (a)		274			287			285		280		275		561			542
Acquisition expenses (excluding alternative investments marked to market)		57			65			62		62		65		122			122
Other expenses		36			32			34		35		35		68			70

Total costs and expenses		367			384			381		377		375		751			734

Pretax Annuity core operating earnings (excluding alternative investments marked to market)		84			79			84		75		75		163			150
Other amounts previously reported as core operating, net (b)		n/a			n/a			n/a		n/a		n/a		n/a			(11	)

Pretax annuity core operating earnings before alternative marked to market investments		84			79			84		75		75		163			139
Alternative investments marked to market, net of DAC		(42	)		(12	)		20		25		29		(54	)		55

Pretax Annuity core operating earnings—as reported	$	42		$	67		$	104	$	100	$	104	$	109		$	194

(a)	Gains received on options in excess of index credits to policyholder are recorded through annuity benefits for GAAP. For the investor supplement presentation, these gains are shown in policy charges and other miscellaneous income.

(b)	“Other” primarily reflects (1) the impact of fair value accounting, (2) the impact of changes in the stock market on the liability for guaranteed benefits and DAC, and (3) unlocking.

Page 12b

American Financial Group, Inc.

Detail of Annuity Benefits Expense

($ in millions)


	Three Months Ended															Six Months Ended
	6/30/20			3/31/20			12/31/19			9/30/19			6/30/19			6/30/20			6/30/19
Detail of annuity benefits expense:
Cost of funds:
Amortization of options (a)	$	148		$	150		$	150		$	149		$	146		$	298		$	287
Traditional fixed annuities		64			63			62			62			61			127			120
Fixed component of fixed-indexed annuities		26			25			25			24			23			51			45
Immediate annuities		6			6			6			6			6			12			12
Pension risk transfer		4			4			3			2			1			8			2
Federal Home Loan Bank		3			5			6			7			7			8			14

Total cost of funds		251			253			252			250			244			504			480
Guaranteed withdrawal benefit reserve		17			25			24			21			20			42			39
Amortization of sales inducements		2			2			3			3			4			4			8
Change in expected death and annuitization reserve and other		4			7			6			6			7			11			15

Total other annuity benefits		23			34			33			30			31			57			62

Total annuity benefits expense	$	274		$	287		$	285		$	280		$	275		$	561		$	542


(a) Amortizaton of options, net of DAC and reserve offsets:
Amortization of options	$	148		$	150		$	150		$	149		$	146		$	298		$	287
DAC and reserve offsets		(77	)		(77	)		(77	)		(74	)		(74	)		(154	)		(146	)

Amortization of options, net of DAC and reserve offsets	$	71		$	73		$	73		$	75		$	72		$	144		$	141

Page 13

American Financial Group, Inc.

Core Net Spread on Fixed Annuities

($ in millions)


	Three Months Ended															Six Months Ended
	6/30/20			3/31/20			12/31/19			9/30/19			6/30/19			6/30/20			6/30/19
Average fixed annuity investments (at amortized cost) (a)	$	40,570		$	40,073		$	39,316		$	38,650		$	37,907		$	40,322		$	37,449
Average annuity benefits accumulated		40,601			40,139			39,615			38,946			38,202			40,370			37,640

Annuity benefits accumulated in excess of investments (a)	$	(31	)	$	(66	)	$	(299	)	$	(296	)	$	(295	)	$	(48	)	$	(191	)

As % of average annuity benefits accumulated (except as noted)
Net investment income (excluding alternative investments marked to market) (as % of investments)		4.13	%		4.25	%		4.40	%		4.34	%		4.40	%		4.19	%		4.39	%
Cost of funds		(2.47	%)		(2.52	%)		(2.54	%)		(2.57	%)		(2.55	%)		(2.50	%)		(2.55	%)
Other annuity benefits, net of guaranteed withdrawal benefit fees		(0.06	%)		(0.14	%)		(0.15	%)		(0.12	%)		(0.13	%)		(0.10	%)		(0.13	%)

Core net interest spread on fixed annuities		1.60	%		1.59	%		1.71	%		1.65	%		1.72	%		1.59	%		1.71	%
Policy charges and other miscellaneous income		0.11	%		0.15	%		0.11	%		0.12	%		0.11	%		0.13	%		0.10	%
Acquisition expenses (excluding alternative investments marked to market)		(0.56	%)		(0.61	%)		(0.62	%)		(0.63	%)		(0.66	%)		(0.58	%)		(0.63	%)
Other expenses		(0.35	%)		(0.32	%)		(0.33	%)		(0.34	%)		(0.37	%)		(0.33	%)		(0.37	%)

Core net spread earned on fixed annuities (excluding alternative investments marked to market)		0.80	%		0.81	%		0.87	%		0.80	%		0.80	%		0.81	%		0.81	%
Alternative investments marked to market, net of DAC		(0.41	%)		(0.12	%)		0.20	%		0.26	%		0.31	%		(0.27	%)		0.29	%

Core net spread earned on fixed annuities		0.39	%		0.69	%		1.07	%		1.06	%		1.11	%		0.54	%		1.10	%
Net spread earned on items previously reported as core operating		n/a			n/a			n/a			n/a			n/a			n/a			(0.06	%)

Core net spread earned on fixed annuities—as reported		0.39	%		0.69	%		1.07	%		1.06	%		1.11	%		0.54	%		1.04	%

Average annuity benefits accumulated	$	40,601		$	40,139		$	39,615		$	38,946		$	38,202		$	40,370		$	37,640
Net spread earned on fixed annuities (excluding alternative investments marked to market)—core		0.80	%		0.81	%		0.87	%		0.80	%		0.80	%		0.81	%		0.81	%

Earnings on fixed annuity benefits accumulated—core	$	82		$	81		$	85		$	78		$	77		$	163		$	151
Annuity benefits accumulated in excess of investments	$	(31	)	$	(66	)	$	(299	)	$	(296	)	$	(295	)	$	(48	)	$	(191	)
Net investment income (excluding alternative investments marked to market) (as % of investments)		4.13	%		4.25	%		4.40	%		4.34	%		4.40	%		4.19	%		4.39	%

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

Pretax Annuity core operating earnings (excluding alternative investments marked to market)		84			79			84			75			75			163			150
Alternative investments marked to market, net of DAC		(42	)		(12	)		20			25			29			(54	)		55

Pretax Annuity core operating earnings		42			67			104			100			104			109			205
Other amounts previously reported as core operating, net		n/a			n/a			n/a			n/a			n/a			n/a			(11	)

Pretax Annuity core operating earnings—as reported	$	42		$	67		$	104		$	100		$	104		$	109		$	194

(a)	Excludes non-investment assets such as deferred acquisition costs, FIA options, accrued investment income and company owned life insurance.

Page 14

American Financial Group, Inc.

Statutory Annuity Premiums

($ in millions)


	Three Months Ended											Six Months Ended
	6/30/20			3/31/20		12/31/19		9/30/19		6/30/19		6/30/20			6/30/19
Financial institutions single premium annuities—indexed	$	258		$	424	$	359	$	325	$	429	$	682		$	853
Financial institutions single premium annuities—fixed		98			287		270		302		313		385			657
Retail single premium annuities—indexed		138			172		170		198		274		310			575
Retail single premium annuities—fixed		31			25		25		30		36		56			65
Broker dealer single premium annuities—indexed		100			138		107		134		189		238			416
Broker dealer single premium annuities—fixed		2			17		9		9		8		19			14
Pension risk transfer (PRT)		23			103		158		39		50		126			60
Education market—fixed and indexed annuities		32			39		36		35		44		71			93

Subtotal fixed annuity premiums		682			1,205		1,134		1,072		1,343		1,887			2,733
Variable annuities		5			5		5		5		6		10			11

Total gross annuity premiums	$	687		$	1,210	$	1,139	$	1,077	$	1,349	$	1,897		$	2,744
Less: Reinsurance		(78	)		—		—		—		—		(78	)		—

Total net annuity premiums	$	609		$	1,210	$	1,139	$	1,077	$	1,349	$	1,819		$	2,744

Summary by Distribution Channel:
Financial institutions	$	356		$	711	$	629	$	627	$	742	$	1,067		$	1,510
Retail		169			197		195		228		310		366			640
Broker dealer		102			155		116		143		197		257			430
Other		60			147		199		79		100		207			164

Total gross annuity premiums	$	687		$	1,210	$	1,139	$	1,077	$	1,349	$	1,897		$	2,744
Less: Reinsurance		(78	)		—		—		—		—		(78	)		—

Total net annuity premiums	$	609		$	1,210	$	1,139	$	1,077	$	1,349	$	1,819		$	2,744

Summary by Product Type:
Total indexed	$	512		$	753	$	655	$	675	$	917	$	1,265		$	1,897
Total fixed		170			452		479		397		426		622			836
Variable		5			5		5		5		6		10			11

Total gross annuity premiums	$	687		$	1,210	$	1,139	$	1,077	$	1,349	$	1,897		$	2,744
Less: Reinsurance		(78	)		—		—		—		—		(78	)		—

Total net annuity premiums	$	609		$	1,210	$	1,139	$	1,077	$	1,349	$	1,819		$	2,744

Page 15

American Financial Group, Inc.

Fixed Annuity Benefits Accumulated (GAAP)

($ in millions)


	Three Months Ended															Six Months Ended
	6/30/20			3/31/20			12/31/19			9/30/19			6/30/19			6/30/20			6/30/19
Beginning fixed annuity reserves	$	40,260		$	40,018		$	39,212		$	38,680		$	37,724		$	40,018		$	36,431
Premiums		682			1,205			1,134			1,072			1,343			1,887			2,733
Federal Home Loan Bank (“FHLB”) advances (paydowns)		(40	)		200			—			—			—			160			—
Surrenders, benefits and other withdrawals		(768	)		(794	)		(829	)		(808	)		(862	)		(1,562	)		(1,623	)
Interest and other annuity benefit expenses:
Cost of funds		251			253			252			250			244			504			480
Embedded derivative marked to market		601			(647	)		276			111			251			(46	)		713
Unlockings		—			—			—			(75	)		—			—			—
Other		(44	)		25			(27	)		(18	)		(20	)		(19	)		(54	)

Ending fixed annuity reserves	$	40,942		$	40,260		$	40,018		$	39,212		$	38,680		$	40,942		$	38,680

Reconciliation to annuity benefits accumulated:
Ending fixed annuity reserves	$	40,942		$	40,260		$	40,018		$	39,212		$	38,680		$	40,942		$	38,680
Impact of unrealized investment gains on reserves		285			38			225			269			192			285			192
Fixed component of variable annuities		165			165			163			170			172			165			172

Annuity benefits accumulated per balance sheet	$	41,392		$	40,463		$	40,406		$	39,651		$	39,044		$	41,392		$	39,044

Annualized surrenders and other withdrawals as a % of beginning reserves		7.6	%		7.9	%		8.5	%		8.4	%		9.1	%		7.8	%		8.9	%
Rider reserves included in ending fixed annuity reserves above	$	680		$	690		$	625		$	611		$	491		$	680		$	491

Embedded Derivative liability included in ending fixed annuity reserves above	$	3,675		$	3,099		$	3,730		$	3,469		$	3,541		$	3,675		$	3,541

Page 16

American Financial Group, Inc.

Guaranteed Minimum Interest Rate (“GMIR”) Analysis

($ in millions)


GMIR (a)	6/30/20			3/31/20			12/31/19			9/30/19			6/30/19			3/31/19
1 - 1.99%		85	%		84	%		84	%		84	%		83	%		82	%
2 - 2.99%		3	%		3	%		3	%		3	%		4	%		4	%
3 - 3.99%		6	%		7	%		7	%		7	%		7	%		8	%
4.00% and above		6	%		6	%		6	%		6	%		6	%		6	%
Annuity Benefits Accumulated	$	41,392		$	40,463		$	40,406		$	39,651		$	39,044		$	38,006
Traditional Fixed and FIA Surrender Value (b) (c)	$	31,619		$	30,934		$	30,921		$	30,292		$	29,891		$	29,163
Ability to Lower Average Crediting Rates by (b) (d)		1.14	%		1.18	%		1.19	%		1.20	%		1.20	%		1.20	%
Pretax earnings impact of crediting guaranteed minimums (b)	$	360		$	365		$	368		$	363		$	359		$	350
(assumes net DAC impact over time = $0)

(a)	Excludes Federal Home Loan Bank (“FHLB”) advances, immediate reserves and certain other reserves.

(b)	Excludes Annuities with Guaranteed Withdrawal Benefits, FHLB advances, immediate reserves and certain other reserves.

(c)	FIA and VIA Surrender Value include Host + Embedded Derivatives + Fixed Account values.

(d)	Weighted Average Crediting Rate less GMIR

Page 17

American Financial Group, Inc.

Annuity Non-Core Earnings (Losses)

($ in millions)


	Three Months Ended															Six Months Ended
	6/30/20			3/31/20			12/31/19			9/30/19			6/30/19			6/30/20			6/30/19
Annuity Non-Core Earnings (Losses):
Stock market impact on:
Liability for guaranteed benefits (a)	$	22		$	(33	)	$	12		$	2		$	6		$	(11	)	$	20
DAC and sales inducements (b)		7			(10	)		4			1			1			(3	)		6
Fair Value (FV) accounting		9			(21	)		8			1			—			(12	)		14

Subtotal impact of changes in stock market		38			(64	)		24			4			7			(26	)		40
Impact of changes in interest rates on FV accounting		(100	)		29			(4	)		(30	)		(38	)		(71	)		(83	)
Other FIA items		3			(3	)		4			—			(2	)		—			(1	)
Unlockings		—			—			—			(1	)		—			—			—

Annuity Non-Core Earnings (Losses)	$	(59	)	$	(38	)	$	24		$	(27	)	$	(33	)	$	(97	)	$	(44	)

Reported as		Non-core			Non-core			Non-core			Non-core			Non-core			Q1 Core = ($11) Non-core Q2 Non-core = ($33)
Annuity Non-Core Earnings (Losses), net of taxes	$	(47	)	$	(30	)	$	19		$	(21	)	$	(27	)	$	(77	)	$	(27	)

Annuity Non-Core Net Spread Earned:
Stock market impact on:
Liability for guaranteed benefits (a)		0.22	%		(0.33	%)		0.12	%		0.02	%		0.06	%		(0.06	%)		0.11	%
DAC and sales inducements (b)		0.07	%		(0.10	%)		0.04	%		0.01	%		0.01	%		(0.01	%)		0.03	%
Fair Value (FV) accounting		0.09	%		(0.21	%)		0.08	%		0.01	%		0.00	%		(0.06	%)		0.07	%

Subtotal impact of changes in stock market		0.38	%		(0.64	%)		0.24	%		0.04	%		0.07	%		(0.13	%)		0.21	%
Impact of changes in interest rates on FV accounting		(0.99	%)		0.29	%		(0.04	%)		(0.31	%)		(0.40	%)		(0.35	%)		(0.44	%)
Other FIA items		0.03	%		(0.03	%)		0.04	%		0.00	%		(0.02	%)		0.00	%		(0.01	%)
Unlockings		0.00	%		0.00	%		0.00	%		(0.01	%)		0.00	%		0.00	%		0.00	%

Non-core net spread earned on fixed annuities		(0.58	%)		(0.38	%)		0.24	%		(0.28	%)		(0.35	%)		(0.48	%)		(0.24	%)

Reported as		Non-core			Non-core			Non-core			Non-core			Non-core			Q1 Core = (.06%) Non-core Q2 Non-core = (.18%)
(a) Reflects the impact of changes in the stock market on AFG’s liability for fixed-indexed annuities with guaranteed benefits. Increases in the stock market will generally have a favorable earnings impact; decreases in the stock market will generally have an unfavorable impact. (b) Reflects the impact of changes in the stock market on the current and projected lifetime profitability of AFG’s annuity business. Increases in the stock market will generally have a favorable earnings impact; decreases in the stock market will generally have an unfavorable impact.
S&P 500		3,100			2,585			3,231			2,977			2,942			3,100			2,942
Average 5 and 15 year Corp A2 rates		1.95	%		3.01	%		2.74	%		2.71	%		2.97	%		1.95	%		2.97	%
Non-core earnings sensitivities:
Incremental +/- 1% change in S&P 500										~+/-$	2mm to $3mm
Incremental +/- 10bps change in interest rates										~+/-$	6mm to $8mm
(Assumes parallel shift in rates (primarily Corporate A2 rates))

Page 18

American Financial Group, Inc.

Reconciliation from Core to GAAP Annuity Pretax Earnings

($ in millions)

LOGO


	Three Months Ended															Six Months Ended
	6/30/20			3/31/20			12/31/19			9/30/19			6/30/19			6/30/20			6/30/19
Annuity Earnings
Core annuity operating earnings—as reported (see page 12a)	$	42		$	67		$	104		$	100		$	104		$	109		$	194
Annuity non-core earnings (losses)		(59	)		(38	)		24			(27	)		(33	)		(97	)		(33	)

Earnings before income taxes—GAAP	$	(17	)	$	29		$	128		$	73		$	71		$	12		$	161

Policy Charges and Other Miscellaneous Income
Policy charges and other miscellaneous income (see page 12a)	$	13		$	18		$	13		$	14		$	13		$	31		$	25
Annuity non-core policy charges and other miscellaneous income		—			—			—			1			—			—			—

Policy Charges and Other Miscellaneous Income—GAAP	$	13		$	18		$	13		$	15		$	13		$	31		$	25

Annuity Benefit Expense
Annuity benefits expense (see page 13)	$	274		$	287		$	285		$	280		$	275		$	561		$	542
Annuity non-core annuity benefits		157			(3	)		(30	)		(26	)		67			154			112

Annuity Benefit Expense—GAAP	$	431		$	284		$	255		$	254		$	342		$	715		$	654

Acquisition Expenses
Acquisition expenses (see page 12a)	$	62		$	71		$	65		$	64		$	67		$	133		$	127
Annuity non-core acquisition expenses		(98	)		41			6			54			(34	)		(57	)		(68	)

Acquisition Expenses—GAAP	$	(36	)	$	112		$	71		$	118		$	33		$	76		$	59

Net Spread on Fixed Annuities
Core net spread earned on fixed annuities - as reported (see page 14)		0.39	%		0.69	%		1.07	%		1.06	%		1.11	%		0.54	%		1.04	%
Non-core net spread earned on fixed annuities		(0.58	%)		(0.38	%)		0.24	%		(0.28	%)		(0.35	%)		(0.48	%)		(0.18	%)

Net Spread on Fixed Annuities		(0.19	%)		0.31	%		1.31	%		0.78	%		0.76	%		0.06	%		0.86	%

Page 19

American Financial Group, Inc.

Consolidated Balance Sheet

($ in millions)


	6/30/20			3/31/20			12/31/19			9/30/19			6/30/19			3/31/19
Assets:
Total cash and investments	$	56,741		$	53,221		$	55,252		$	54,207		$	52,907		$	51,040
Recoverables from reinsurers		3,476			3,387			3,415			3,261			3,150			3,258
Prepaid reinsurance premiums		733			708			678			781			651			636
Agents’ balances and premiums receivable		1,366			1,302			1,335			1,403			1,398			1,283
Deferred policy acquisition costs		818			1,573			1,037			964			1,203			1,447
Assets of managed investment entities		4,393			4,026			4,736			4,702			4,781			4,786
Other receivables		880			981			975			1,187			999			1,011
Variable annuity assets (separate accounts)		577			497			628			601			616			610
Other assets		1,676			1,741			1,867			1,754			1,785			1,854
Goodwill		207			207			207			207			207			207

Total assets	$	70,867		$	67,643		$	70,130		$	69,067		$	67,697		$	66,132

Liabilities and Equity:
Unpaid losses and loss adjustment expenses	$	10,321		$	10,106		$	10,232		$	9,847		$	9,577		$	9,623
Unearned premiums		2,778			2,808			2,830			2,986			2,683			2,605
Annuity benefits accumulated		41,392			40,463			40,406			39,651			39,044			38,006
Life, accident and health reserves		606			607			612			613			619			632
Payable to reinsurers		746			779			814			867			755			730
Liabilities of managed investment entities		4,236			3,865			4,571			4,523			4,590			4,593
Long-term debt		1,912			1,473			1,473			1,423			1,423			1,423
Variable annuity liabilities (separate accounts)		577			497			628			601			616			610
Other liabilities		2,173			1,998			2,295			2,235			2,300			2,245

Total liabilities	$	64,741		$	62,596		$	63,861		$	62,746		$	61,607		$	60,467
Shareholders’ equity:
Common stock	$	89		$	90		$	90		$	90		$	90		$	90
Capital surplus		1,299			1,309			1,307			1,292			1,277			1,256
Retained earnings		3,685			3,616			4,009			4,022			3,914			3,875
Unrealized gains—fixed maturities		1,030			16			862			920			812			464
Unrealized gains (losses)—fixed maturity-related cash flow hedges		47			44			17			25			18			—
Other comprehensive income, net of tax		(24	)		(28	)		(16	)		(28	)		(21	)		(20	)

Total shareholders’ equity		6,126			5,047			6,269			6,321			6,090			5,665
Noncontrolling interests		—			—			—			—			—			—

Total liabilities and equity	$	70,867		$	67,643		$	70,130		$	69,067		$	67,697		$	66,132

Page 20

American Financial Group, Inc.

Book Value Per Share and Price / Book Summary

(in millions, except per share information)


	6/30/20			3/31/20			12/31/19			9/30/19			6/30/19			3/31/19
Shareholders’ equity	$	6,126		$	5,047		$	6,269		$	6,321		$	6,090		$	5,665
Unrealized (gains) related to fixed maturities		(1,077	)		(60	)		(879	)		(945	)		(830	)		(464	)

Adjusted shareholders’ equity		5,049			4,987			5,390			5,376			5,260			5,201
Goodwill		(207	)		(207	)		(207	)		(207	)		(207	)		(207	)
Intangibles		(37	)		(40	)		(43	)		(45	)		(48	)		(51	)

Tangible adjusted shareholders’ equity	$	4,805		$	4,740		$	5,140		$	5,124		$	5,005		$	4,943

Common shares outstanding		88.659			89.827			90.304			90.127			89.918			89.638
Book value per share:
Book value per share	$	69.10		$	56.18		$	69.43		$	70.14		$	67.72		$	63.20
Adjusted (a)		56.95			55.52			59.70			59.65			58.49			58.02
Tangible, adjusted (b)		54.20			52.77			56.93			56.84			55.65			55.14
Market capitalization
AFG’s closing common share price	$	63.46		$	70.08		$	109.65		$	107.85		$	102.47		$	96.21
Market capitalization	$	5,626		$	6,295		$	9,902		$	9,720		$	9,214		$	8,624
Price / Adjusted book value ratio		1.11			1.26			1.84			1.81			1.75			1.66

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

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

Page 21

American Financial Group, Inc.

Capitalization

($ in millions)


	6/30/20			3/31/20			12/31/19			9/30/19			6/30/19			3/31/19
AFG senior obligations	$	1,318		$	1,018		$	1,018		$	1,018		$	1,018		$	1,018
Borrowings drawn under credit facility		—			—			—			—			—			—

Debt excluding subordinated debt	$	1,318		$	1,018		$	1,018		$	1,018		$	1,018		$	1,018
AFG subordinated debentures		625			475			475			425			425			425

Total principal amount of long-term debt	$	1,943		$	1,493		$	1,493		$	1,443		$	1,443		$	1,443
Shareholders’ equity		6,126			5,047			6,269			6,321			6,090			5,665
Noncontrolling interests (including redeemable NCI)		—			—			—			—			—			—
Less:
Unrealized (gains) related to fixed maturity investments		(1,077	)		(60	)		(879	)		(945	)		(830	)		(464	)

Total adjusted capital	$	6,992		$	6,480		$	6,883		$	6,819		$	6,703		$	6,644

Ratio of debt to total adjusted capital:
Including subordinated debt		27.8	%		23.0	%		21.7	%		21.2	%		21.5	%		21.7	%
Excluding subordinated debt		18.9	%		15.7	%		14.8	%		14.9	%		15.2	%		15.3	%

Page 22

American Financial Group, Inc.

Additional Supplemental Information

($ in millions)


	Three Months Ended										Six Months Ended
	6/30/20		3/31/20		12/31/19		9/30/19		6/30/19		6/30/20		6/30/19
Property and Casualty Insurance
Paid Losses (GAAP)	$	601	$	751	$	727	$	769	$	666	$	1,352	$	1,370


	6/30/20			3/31/20			12/31/19			9/30/19			6/30/19			3/31/19
GAAP Equity (excluding AOCI)
Property and Casualty Insurance	$	3,945		$	3,800		$	4,043		$	4,094		$	3,959		$	3,868
Annuity		2,579			2,512			2,715			2,613			2,612			2,553
Parent and other subsidiaries		(1,451	)		(1,297	)		(1,352	)		(1,303	)		(1,290	)		(1,200	)

AFG GAAP Equity (excluding AOCI)	$	5,073		$	5,015		$	5,406		$	5,404		$	5,281		$	5,221

Allowable dividends without regulatory approval
Property and Casualty Insurance	$	565		$	565		$	565		$	529		$	529		$	529
Annuity and Run-off		287			287			287			768			768			768

Total	$	852		$	852		$	852		$	1,297		$	1,297		$	1,297

Page 23

American Financial Group, Inc.

Total Cash and Investments

($ in millions)


	Carrying Value—June 30, 2020
	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	$	1,445	$	743	$	510	$	—		$	2,698		5	%
Fixed maturities—Available for sale		8,631		39,406		9		—			48,046		85	%
Fixed maturities—Trading		50		47		—		—			97		0	%
Equity securities—common stocks		424		400		61		—			885		2	%
Equity securities—perpetual preferred		379		338		—		—			717		1	%
Investments accounted for using the equity method		755		1,026		—		—			1,781		3	%
Mortgage loans		328		1,147		—		—			1,475		3	%
Policy loans		—		158		—		—			158		0	%
Equity index call options		—		605		—		—			605		1	%
Real estate and other investments		113		271		52		(157	)		279		0	%

Total cash and investments	$	12,125	$	44,141	$	632	$	(157	)	$	56,741		100	%


	Carrying Value—December 31, 2019
	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	$	1,387	$	746	$	181	$	—		$	2,314		4	%
Fixed maturities—Available for sale		8,596		37,899		10		—			46,505		84	%
Fixed maturities—Trading		59		54		—		—			113		0	%
Equity securities—common stocks		664		553		66		—			1,283		3	%
Equity securities—perpetual preferred		397		257		—		—			654		1	%
Investments accounted for using the equity method		703		985		—		—			1,688		3	%
Mortgage loans		262		1,067		—		—			1,329		2	%
Policy loans		—		164		—		—			164		0	%
Equity index call options		—		924		—		—			924		2	%
Real estate and other investments		122		265		55		(164	)		278		1	%

Total cash and investments	$	12,190	$	42,914	$	312	$	(164	)	$	55,252		100	%

Page 24

American Financial Group, Inc.

Net Investment Income

($ in millions)


	Three Months Ended															Six Months Ended
	6/30/20			3/31/20			12/31/19			9/30/19			6/30/19			6/30/20			6/30/19
Property and Casualty Insurance:
Gross Investment Income
Fixed maturities—Available for sale	$	75		$	81		$	79		$	75		$	79		$	156		$	156
Fixed maturities—Trading		—			1			—			1			1			1			2
Equity securities—dividends		8			10			11			12			13			18			26
Equity securities—MTM		2			3			(1	)		7			1			5			3
Equity in investees		(15	)		11			21			20			20			(4	)		23
AFG managed CLOs		—			(11	)		(2	)		(2	)		2			(11	)		5
Other investments (a)		3			6			13			12			10			9			17

Gross investment income		73			101			121			125			126			174			232
Investment expenses		(1	)		(2	)		(1	)		(1	)		(2	)		(3	)		(4	)

Total net investment income	$	72		$	99		$	120		$	124		$	124		$	171		$	228

Average cash and investments (b)	$	11,454		$	11,457		$	11,744		$	11,387		$	11,193		$	11,509		$	11,084

Average yield (c)		2.51	%		3.46	%		4.09	%		4.36	%		4.43	%		2.97	%		4.11	%

Fixed Annuity
Gross Investment Income
Fixed maturities—Available for sale	$	402		$	403		$	406		$	393		$	391		$	805		$	775
Equity securities—dividends		8			7			8			9			8			15			17
Equity securities—MTM		—			5			4			7			3			5			6
Equity in investees		(39	)		14			24			23			25			(25	)		43
AFG managed CLOs		2			(25	)		(5	)		(3	)		3			(23	)		11
Other investments (a)		14			19			23			21			22			33			37

Gross investment income		387			423			460			450			452			810			889
Investment expenses		(5	)		(3	)		(4	)		(4	)		(4	)		(8	)		(8	)

Total net investment income	$	382		$	420		$	456		$	446		$	448		$	802		$	881

Average cash and investments (b)	$	40,570		$	40,073		$	39,316		$	38,650		$	37,907		$	40,322		$	37,449

Average yield (c)		3.77	%		4.19	%		4.63	%		4.62	%		4.73	%		3.98	%		4.71	%

AFG consolidated net investment income:
Property & Casualty core	$	72		$	99		$	120		$	124		$	124		$	171		$	228
Neon exited lines non-core		—			(6	)		—			—			—			(6	)		—
Annuity:
Fixed Annuity		382			420			456			446			448			802			881
Variable Annuity		2			2			2			2			3			4			5
Parent & other		14			(7	)		8			11			10			7			24
Consolidate CLOs		(2	)		36			7			5			(5	)		34			(16	)

Total net investment income	$	468		$	544		$	593		$	588		$	580		$	1,012		$	1,122

(a)	Includes income from mortgage loans, real estate, policy loans, short-term investments, and cash equivalents.

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

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

Page 25

American Financial Group, Inc.

Insurance Companies’ Alternative Investments

($ in millions)


	Three Months Ended															Six Months Ended
	6/30/20			3/31/20			12/31/19			9/30/19			6/30/19			6/30/20			6/30/19
Property and Casualty Insurance:
Net Investment Income
Equity securities MTM through investment income (a)	$	2		$	3		$	(1	)	$	7		$	1		$	5		$	3
Investments accounted for using the equity method (b)		(15	)		11			21			20			20			(4	)		23
AFG managed CLOs (eliminated in consolidation)		—			(11	)		(2	)		(2	)		2			(11	)		5

Total Property & Casualty	$	(13)		$	3		$	18		$	25		$	23		$	(10	)	$	31

Investments
Equity securities MTM through investment income (a)	$	95		$	86		$	71		$	63		$	44		$	95		$	44
Investments accounted for using the equity method (b)		755			736			703			625			614			755			614
AFG managed CLOs (eliminated in consolidation)		39			40			48			53			56			39			56

Total Property & Casualty	$	889		$	862		$	822		$	741		$	714		$	889		$	714

Annualized Yield—Property & Casualty		(5.9	%)		1.4	%		9.2	%		13.7	%		13.3	%		(2.3	%)		9.1	%
Fixed Annuity:
Net Investment Income
Equity securities MTM through investment income (a)	$	—		$	5		$	4		$	7		$	3		$	5		$	6
Investments accounted for using the equity method (b)		(39	)		14			24			23			25			(25	)		43
AFG managed CLOs (eliminated in consolidation)		2			(25	)		(5	)		(3	)		3			(23	)		11

Total Fixed Annuity	$	(37)		$	(6	)	$	23		$	27		$	31		$	(43	)	$	60

Investments
Equity securities MTM through investment income (a)	$	168		$	160		$	142		$	120		$	101		$	168		$	101
Investments accounted for using the equity method (b)		1,026			1,027			985			910			892			1,026			892
AFG managed CLOs (eliminated in consolidation)		118			120			116			125			135			118			135

Total Fixed Annuity	$	1,312		$	1,307		$	1,243		$	1,155		$	1,128		$	1,312		$	1,128

Annualized Yield—Fixed Annuity		(11.3	%)		(1.9	%)		7.7	%		9.5	%		11.2	%		(6.7	%)		11.1	%
Combined:
Net Investment Income
Equity securities MTM through investment income (a)	$	2		$	8		$	3		$	14		$	4		$	10		$	9
Investments accounted for using the equity method (b)		(54	)		25			45			43			45			(29	)		66
AFG managed CLOs (eliminated in consolidation)		2			(36	)		(7	)		(5	)		5			(34	)		16

Total Combined (including Parent)	$	(50)		$	(3	)	$	41		$	52		$	54		$	(53	)	$	91

Investments
Equity securities MTM through investment income (a)	$	263		$	246		$	213		$	183		$	145		$	263		$	145
Investments accounted for using the equity method (b)		1,781			1,763			1,688			1,535			1,506			1,781			1,506
AFG managed CLOs (eliminated in consolidation)		157			160			164			178			191			157			191

Total Combined (including Parent)	$	2,201		$	2,169		$	2,065		$	1,896		$	1,842		$	2,201		$	1,842

Annualized Yield—Combined		(9.2	%)		(0.6	%)		8.3	%		11.1	%		12.0	%		(4.9	%)		10.3	%

(a)	AFG carries the small portion of its equity securities previously classified as “trading” and investments in limited partnerships and similar investments that aren’t accounted for using the equity method at fair value through net investment income.

(b)	The majority of AFG’s investments accounted for using the equity method mark their underlying assets to market through net income.

Page 26

American Financial Group, Inc.

Fixed Maturities—By Security Type—AFG Consolidated

($ in millions )


June 30, 2020	Book Value (b)			Fair Value		Unrealized Gain (Loss)			% of Fair Value			% of Investment Portfolio
US Government and government agencies	$	199		$	213	$	14			0	%		0	%
States, municipalities and political subdivisions		6,391			6,969		578			14	%		12	%
Foreign government		210			218		8			1	%		0	%
Residential mortgage-backed securities		2,996			3,223		227			7	%		6	%
Commercial mortgage-backed securities		852			889		37			2	%		2	%
Collateralized loan obligations		4,605			4,507		(98	)		9	%		8	%
Other asset-backed securities		7,386			7,315		(71	)		15	%		13	%
Corporate and other bonds		23,067			24,809		1,742			52	%		44	%

Total AFG consolidated	$	45,706		$	48,143	$	2,437			100	%		85	%

Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		4.21	%
Net of investment expense (a)		4.16	%
Approximate average life and duration:
Approximate average life		5.5 years
Approximate duration		4 years


December 31, 2019	Book Value			Fair Value		Unrealized Gain (Loss)			% of Fair Value			% of Investment Portfolio
US Government and government agencies	$	203		$	213	$	10			1	%		0	%
States, municipalities and political subdivisions		6,628			6,987		359			15	%		12	%
Foreign government		209			211		2			0	%		0	%
Residential mortgage-backed securities		2,901			3,161		260			7	%		6	%
Commercial mortgage-backed securities		896			927		31			2	%		2	%
Collateralized loan obligations		4,307			4,280		(27	)		9	%		8	%
Other asset-backed securities		6,992			7,128		136			15	%		13	%
Corporate and other bonds		22,501			23,711		1,210			51	%		43	%

Total AFG consolidated	$	44,637		$	46,618	$	1,981			100	%		84	%

Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		4.48	%
Net of investment expense (a)		4.44	%
Approximate average life and duration:
Approximate average life		5.5 years
Approximate duration		4 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)	Book Value is amortized cost, net of allowance for expected credit losses.

Page 27

American Financial Group, Inc.

Fixed Maturities—By Security Type Portfolio

($ in millions )


	June 30, 2020											December 31, 2019
Property and Casualty Insurance:	Book Value			Fair Value		Unrealized Gain (Loss)			% of Fair Value			Book Value			Fair Value		Unrealized Gain (Loss)			% of Fair Value
US Government and government agencies	$	161		$	168	$	7			2	%	$	165		$	167	$	2			2	%
States, municipalities and political subdivisions		2,418			2,536		118			29	%		2,524			2,614		90			30	%
Foreign government		179			183		4			2	%		178			177		(1	)		2	%
Residential mortgage-backed securities		936			984		48			11	%		990			1,051		61			12	%
Commercial mortgage-backed securities		86			88		2			1	%		89			92		3			1	%
Collateralized loan obligations		935			913		(22	)		11	%		906			901		(5	)		11	%
Other asset-backed securities		1,828			1,810		(18	)		21	%		1,727			1,741		14			20	%
Corporate and other bonds		1,943			1,999		56			23	%		1,861			1,912		51			22	%

Property and Casualty Insurance	$	8,486		$	8,681	$	195			100	%	$	8,440		$	8,655	$	215			100	%

Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		3.53	%										3.94	%
Net of investment expense (a)		3.46	%										3.90	%
Tax equivalent, net of investment expense (b)		3.61	%										4.05	%
Approximate average life and duration:
Approximate average life		4 years											4.5 years
Approximate duration		3 years											3 years


	June 30, 2020											December 31, 2019
Annuity and Run-off:	Book Value			Fair Value		Unrealized Gain (Loss)			% of Fair Value			Book Value			Fair Value		Unrealized Gain (Loss)			% of Fair Value
US Government and government agencies	$	38		$	45	$	7			0	%	$	38		$	46	$	8			0	%
States, municipalities and political subdivisions		3,973			4,433		460			11	%		4,104			4,373		269			12	%
Foreign government		31			35		4			0	%		31			34		3			0	%
Residential mortgage-backed securities		2,058			2,230		172			6	%		1,909			2,100		191			6	%
Commercial mortgage-backed securities		766			801		35			2	%		807			835		28			2	%
Collateralized loan obligations		3,670			3,594		(76	)		9	%		3,401			3,379		(22	)		9	%
Other asset-backed securities		5,558			5,505		(53	)		14	%		5,265			5,387		122			14	%
Corporate and other bonds		21,124			22,810		1,686			58	%		20,640			21,799		1,159			57	%

Total Annuity and Run-off	$	37,218		$	39,453	$	2,235			100	%	$	36,195		$	37,953	$	1,758			100	%

Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		4.37	%										4.59	%
Net of investment expense (a)		4.32	%										4.55	%
Approximate average life and duration:
Approximate average life		5.5 years											6 years
Approximate duration		4 years											4.5 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 28

American Financial Group, Inc.

Fixed Maturities - Credit Rating

($ in millions)


	June 30, 2020
By Credit Rating (a)	Book Value		Fair Value		Unrealized Gain (Loss)			% of Fair Value
Investment grade
AAA	$	9,757	$	9,959	$	202			21	%
AA		7,938		8,352		414			17	%
A		9,836		10,533		697			22	%
BBB		13,907		14,883		976			31	%

Subtotal - Investment grade		41,438		43,727		2,289			91	%
BB		909		875		(34	)		2	%
B		258		257		(1	)		1	%
Other (b)		3,101		3,284		183			6	%

Subtotal - Non-Investment grade		4,268		4,416		148			9	%

Total	$	45,706	$	48,143	$	2,437			100	%

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


	December 31, 2019
By Credit Rating (a)	Book Value		Fair Value		Unrealized Gain (Loss)			% of Fair Value
Investment grade
AAA	$	8,854	$	9,010	$	156			19	%
AA		8,615		8,957		342			19	%
A		10,456		10,983		527			24	%
BBB		12,759		13,465		706			29	%

Subtotal - Investment grade		40,684		42,415		1,731			91	%
BB		714		724		10			2	%
B		186		183		(3	)		0	%
Other (b)		3,053		3,296		243			7	%

Subtotal - Non-Investment grade		3,953		4,203		250			9	%

Total	$	44,637	$	46,618	$	1,981			100	%

98% 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 pages 33 and 34 for more information.

Page 29

American Financial Group, Inc.

Mortgage-Backed Securities—AFG Consolidated

($ in millions)


June 30, 2020	Book Value		Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Investment Portfolio
Residential
Agency	$	437	$	445	$	8		11	%		1	%
Prime (Non-Agency)		1,330		1,435		105		35	%		2	%
Alt-A		843		929		86		22	%		2	%
Subprime		386		414		28		10	%		1	%
Commercial		852		889		37		22	%		2	%

Total AFG consolidated	$	3,848	$	4,112	$	264		100	%		8	%

•

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 88%; Alt-A 80%; Subprime 86%; CMBS 99%.

•

The average FICO score of our residential MBS securities is—Prime 747; Alt-A 693; Subprime 631.

•

94% of our Commercial MBS portfolio is investment-grade rated (83% AAA) and the average subordination for this group of assets is 36%.

•

The approximate average life by collateral type is—Residential 4 years; Commercial 3 years.


December 31, 2019	Book Value		Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Investment Portfolio
Residential
Agency	$	549	$	552	$	3		13	%		1	%
Prime (Non-Agency)		1,157		1,264		107		31	%		2	%
Alt-A		897		1,015		118		25	%		2	%
Subprime		298		330		32		8	%		1	%
Commercial		896		927		31		23	%		2	%

Total AFG consolidated	$	3,797	$	4,088	$	291		100	%		8	%

Page 30

American Financial Group, Inc.

Mortgage-Backed Securities Portfolio

($ in millions)


Property and Casualty Insurance:	June 30, 2020
By Asset Type	Book Value		Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Inv Portfolio
Residential
Agency	$	227	$	232	$	5		22	%		2	%
Prime (Non-Agency)		311		325		14		30	%		3	%
Alt-A		234		255		21		24	%		2	%
Subprime		164		172		8		16	%		1	%
Commercial		86		88		2		8	%		1	%

Total	$	1,022	$	1,072	$	50		100	%		9	%


	December 31, 2019
By Asset Type	Book Value		Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Inv Portfolio
Residential
Agency	$	315	$	317	$	2		28	%		3	%
Prime (Non-Agency)		279		292		13		26	%		2	%
Alt-A		265		299		34		26	%		2	%
Subprime		131		143		12		12	%		1	%
Commercial		89		92		3		8	%		1	%

Total	$	1,079	$	1,143	$	64		100	%		9	%


Annuity and Run-off:	June 30, 2020
By Asset Type	Book Value		Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Inv Portfolio
Residential
Agency	$	210	$	213	$	3		7	%		0	%
Prime (Non-Agency)		1,017		1,101		84		37	%		2	%
Alt-A		609		674		65		22	%		2	%
Subprime		222		242		20		8	%		1	%
Commercial		766		801		35		26	%		2	%

Total	$	2,824	$	3,031	$	207		100	%		7	%


	December 31, 2019
By Asset Type	Book Value		Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Inv Portfolio
Residential
Agency	$	234	$	235	$	1		8	%		1	%
Prime (Non-Agency)		876		962		86		33	%		2	%
Alt-A		632		716		84		25	%		2	%
Subprime		167		187		20		6	%		0	%
Commercial		807		835		28		28	%		2	%

Total	$	2,716	$	2,935	$	219		100	%		7	%

Page 31

Appendix A

American Financial Group, Inc.

Components of Core Operating Earnings As Reported

($ in millions)


	Three Months Ended															Six Months Ended
	6/30/20			3/31/20			12/31/19			9/30/19			6/30/19			6/30/20			6/30/19
Core operating earnings before alternative investments marked to market
Property and Casualty Insurance core operating earnings before alternative investments marked to market	$	129		$	178		$	181		$	169		$	152		$	307		$	329
Annuity Pretax core operating earnings before alternative investments marked to market		84			79			84			75			75			163			139
Interest expense of parent holding companies		(23	)		(17	)		(18	)		(17	)		(17	)		(40	)		(33	)
Other expense		(20	)		(20	)		(32	)		(22	)		(25	)		(40	)		(51	)

Pre-tax core operating earnings before alternative investments marked to market		170			220			215			205			185			390			384
Income tax expense		31			42			42			39			34			73			76

Core net operating earnings before alternative investments marked to market	$	139		$	178		$	173		$	166		$	151		$	317		$	308

Alternative investments marked to market through core operating earnings, net of DAC
Property and Casualty Insurance alternative investments marked to market	$		(13)	$	3		$	18		$	25		$	23		$	(10	)	$	31
Annuity alternative investments marked to market, net of DAC		(42	)		(12	)		20			25			29			(54	)		55

Core pre-tax alternative investments marked to market, net of DAC		(55	)		(9	)		38			50			52			(64	)		86
Income tax expense		(11	)		(2	)		8			11			11			(13	)		18

Alternative investments marked to market through core operating earnings, net of DAC	$		(44)	$	(7	)	$	30		$	39		$	41		$	(51	)	$	68

Core operating earnings as reported
Property and Casualty Insurance operating earnings	$	116		$	181		$	199		$	194		$	175		$	297		$	360
Annuity operating earnings		42			67			104			100			104			109			194
Interest expense of parent holding companies		(23	)		(17	)		(18	)		(17	)		(17	)		(40	)		(33	)
Other expense		(20	)		(20	)		(32	)		(22	)		(25	)		(40	)		(51	)

Pre-tax core operating earnings as reported		115			211			253			255			237			326			470
Income tax expense		20			40			50			50			45			60			94

Core net operating earnings as reported		$95		$	171		$	203		$	205		$	192		$	266		$	376

Average number of diluted shares		89.997			91.138			91.274			91.137			90.981			90.567			90.839
Diluted core net operating earnings per share:
Core net operating earnings before alternative investments marked to market per share	$	1.53		$	1.96		$	1.90		$	1.82		$	1.66		$	3.50		$	3.39
Core alternative investments marked to market through core operating earnings, net of DAC per share		(0.48	)		(0.08	)		0.32			0.43			0.46			(0.56	)		0.75

Core net operating earnings as reported per share	$	1.05		$	1.88		$	2.22		$	2.25		$	2.12		$	2.94		$	4.14

Page 32

Appendix B

American Financial Group, Inc.

Fixed Maturities by Credit Rating & NAIC Designation by Type

6/30/2020

($ in millions)


	Fair Value by Type
By Credit Rating (a)	US Gov		Munis		Frgn Gov		RMBS		CMBS		CLOs		ABS		Corp/Oth		Total		% Total
Investment grade
AAA	$	203	$	2,061	$	157	$	1,348	$	738	$	3,261	$	2,031	$	160	$	9,959		21	%
AA		10		4,360		44		135		10		981		1,721		1,091		8,352		17	%
A		—		393		1		249		14		228		1,766		7,882		10,533		22	%
BBB		—		94		3		62		73		25		800		13,826		14,883		31	%

Subtotal—Investment grade		213		6,908		205		1,794		835		4,495		6,318		22,959		43,727		91	%
BB		—		9		—		73		32		—		8		753		875		2	%
B		—		—		—		103		—		—		4		150		257		1	%
CCC, CC, C		—		—		—		512		5		—		3		42		562		1	%
D		—		—		—		179		—		—		—		1		180		0	%

Subtotal—Non-Investment grade		—		9		—		867		37		—		15		946		1,874		4	%
Not Rated (b)		—		52		13		562		17		12		982		904		2,542		5	%

Total	$	213	$	6,969	$	218	$	3,223	$	889	$	4,507	$	7,315	$	24,809	$	48,143		100	%


	Fair Value by type
NAIC designation	US Gov		Munis		Frgn gov		RMBS		CMBS		CLOs		ABS		Corp/Oth		Total		% Total
1	$	196	$	6,865	$	184	$	3,115	$	840	$	4,468	$	6,481	$	9,760	$	31,909		68	%
2		—		94		—		22		14		25		807		13,948		14,910		29	%

Subtotal		196		6,959		184		3,137		854		4,493		7,288		23,708		46,819		97	%
3		—		9		—		21		32		—		8		770		840		2	%
4		—		—		—		28		—		—		3		226		257		1	%
5		—		—		—		21		3		13		4		86		127		0	%
6		15		—		—		6		—		—		5		5		31		0	%

Subtotal		15		9		—		76		35		13		20		1,087		1,255		3	%
No designation (c)		2		1		34		10		—		1		7		14		69		0	%

Total	$	213	$	6,969	$	218	$	3,223	$	889	$	4,507	$	7,315	$	24,809	$	48,143		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.

(b)	For ABS, 99% are NAIC 1.

For Corp/Oth, 78% are NAIC 1, 6% NAIC 2, 4% NAIC 3, 8% NAIC 4, 4% NAIC 5.

For Total, 90% are NAIC 1, 2% NAIC 2, 2% NAIC 3, 3% NAIC 4, 3% NAIC 5.

(c)	Primarily relates to securities held by non-insurance companies.

Page 33

Appendix C

American Financial Group, Inc.

Fixed Maturities by Credit Rating & NAIC Designation by Type

12/31/2019

($ in millions)


	Fair Value by Type
By Credit Rating (a)	US Gov		Munis		Frgn Gov		RMBS		CMBS		CLOs		ABS		Corp/Oth		Total		% Total
Investment grade
AAA	$	204	$	2,086	$	134	$	1,184	$	773	$	2,921	$	1,529	$	179	$	9,010		19	%
AA		9		4,325		52		131		20		1,074		1,779		1,567		8,957		19	%
A		—		418		8		250		16		241		1,983		8,067		10,983		24	%
BBB		—		95		3		115		78		27		742		12,405		13,465		29	%

Subtotal—Investment grade		213		6,924		197		1,680		887		4,263		6,033		22,218		42,415		91	%
BB		—		9		—		74		32		—		13		596		724		2	%
B		—		—		1		97		5		—		4		76		183		0	%
CCC, CC, C		—		—		—		544		3		—		4		42		593		1	%
D		—		—		—		185		—		—		—		1		186		0	%

Subtotal—Non-Investment grade		—		9		1		900		40		—		21		715		1,686		3	%
Not Rated (b)		—		54		13		581		—		17		1,074		778		2,517		6	%

Total	$	213	$	6,987	$	211	$	3,161	$	927	$	4,280	$	7,128	$	23,711	$	46,618		100	%


	Fair Value by type
NAIC designation	US Gov		Munis		Frgn gov		RMBS		CMBS		CLOs		ABS		Corp/Oth		Total		% Total
1	$	191	$	6,875	$	172	$	3,030	$	883	$	4,232	$	6,308	$	10,310	$	32,001		69	%
2		—		95		—		29		9		26		770		12,518		13,447		29	%

Subtotal		191		6,970		172		3,059		892		4,258		7,078		22,828		45,448		98	%
3		—		9		—		29		32		—		13		601		684		2	%
4		—		—		—		16		—		—		4		146		166		0	%
5		—		—		—		21		3		18		4		92		138		0	%
6		15		—		—		5		—		—		15		5		40		0	%

Subtotal		15		9		—		71		35		18		36		844		1,028		2	%
No designation (c)		7		8		39		31		—		4		14		39		142		0	%

Total	$	213	$	6,987	$	211	$	3,161	$	927	$	4,280	$	7,128	$	23,711	$	46,618		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.

(b)	87% are NAIC 1, 4% NAIC 2, 2% NAIC 3, 3% NAIC 4, 3% NAIC 5 and 1% NAIC 6.

(c)	Primarily relates to securities held by non-insurance companies.

Page 34

Appendix D

American Financial Group, Inc.

Corporate Securities by Credit Rating & NAIC Designation by Industry

6/30/2020

($ in millions)


	Fair Value By Industry
																																	Restaurants,
Credit Rating (a)	Banking		Insurance		Other Financials		Technology		Asset Managers		Energy		Healthcare		Consumer		REITs		Utilities		Capital Goods		Basic Industry		Media		Autos		Communicat ions		Retailers		Hospitality & Leisure		Aviation		Other		Total		% Total
Investment Grade
AAA	$	—	$	—	$	—	$	26	$	—	$	—	$	21	$	32	$	—	$	—	$	—	$	—	$	—	$	—	$	79	$	—	$	—	$	—	$	2	$	160		1	%
AA		86		129		97		112		184		179		90		110		—		—		1		—		—		—		—		23		18		—		62		1,091		4	%
A		2,122		1,079		364		549		710		208		353		261		315		549		377		75		228		148		171		83		19		96		175		7,882		32	%
BBB		3,228		1,135		756		1,047		734		1,026		895		594		654		383		449		631		442		487		335		294		234		164		338		13,826		56	%

Subtotal		5,436		2,343		1,217		1,734		1,628		1,413		1,359		997		969		932		827		706		670		635		585		400		271		260		577		22,959		93	%
BB		42		22		30		67		10		145		55		84		77		10		18		24		3		66		3		40		40		16		1		753		3	%
B		—		1		—		5		—		14		21		22		66		—		—		10		—		—		—		1		5		5		—		150		1	%
CCC, CC, C		—		—		1		8		—		4		1		12		—		—		—		3		—		—		—		5		8		—		—		42		0	%
D		—		—		—		—		—		—		—		—		—		—		—		—		—		—		—		—		1		—		—		1		0	%

Subtotal		42		23		31		80		10		163		77		118		143		10		18		37		3		66		3		46		54		21		1		946		4	%
Not Rated (b)		23		13		570		24		5		2		29		100		27		—		4		11		52		—		—		21		10		—		13		904		3	%

Total	$	5,501	$	2,379	$	1,818	$	1,838	$	1,643	$	1,578	$	1,465	$	1,215	$	1,139	$	942	$	849	$	754	$	725	$	701	$	588	$	467	$	335	$	281	$	591	$	24,809		100	%


	Fair Value By Industry
NAIC designation	Banking		Insurance		Other Financials		Technology		Asset Managers		Energy		Healthcare		Consumer		REITs		Utilities		Capital Goods		Basic Industry		Media		Autos		Communicat ions		Retailers		Restaurants, Hospitality & Leisure		Aviation		Other		Total		% Total
1	$	2,201	$	1,214	$	989	$	704	$	899	$	387	$	483	$	456	$	333	$	549	$	378	$	75	$	228	$	148	$	250	$	127	$	18	$	96	$	225	$	9,760		40	%
2		3,250		1,133		775		1,051		734		1,026		910		611		654		383		453		641		442		487		335		294		254		164		351		13,948		56	%

Subtotal		5,451		2,347		1,764		1,755		1,633		1,413		1,393		1,067		987		932		831		716		670		635		585		421		272		260		576		23,708		96	%
3		50		22		29		58		10		145		50		91		86		10		17		24		3		66		3		40		49		16		1		770		3	%
4		—		10		14		6		—		14		21		30		66		—		—		10		44		—		—		1		5		5		—		226		1	%
5		—		—		11		18		—		3		1		27		—		—		1		4		8		—		—		5		8		—		—		86		0	%
6		—		—		—		1		—		3		—		—		—		—		—		—		—		—		—		—		1		—		—		5		0	%

Subtotal		50		32		54		83		10		165		72		148		152		10		18		38		55		66		3		46		63		21		1		1,087		4	%
No designation (c)		—		—		—		—		—		—		—		—		—		—		—		—		—		—		—		—		—		—		14		14		0	%

Total	$	5,501	$	2,379	$	1,818	$	1,838	$	1,643	$	1,578	$	1,465	$	1,215	$	1,139	$	942	$	849	$	754	$	725	$	701	$	588	$	467	$	335	$	281	$	591	$	24,809		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.

(b)	For Other Financials, 94% are NAIC 1 and 96% are NAIC 1 or 2. For the Total, 78% are NAIC 1, 6% NAIC 2, 4% NAIC 3, 8% NAIC 4, 4% NAIC 5.

(c)	Primarily relates to securities held by non-insurance companies.

Page 35

Appendix E

American Financial Group, Inc.

Corporate Securities by Credit Rating & NAIC Designation by Industry

12/31/2019

($ in millions)


	Fair Value By Industry
Credit Rating (a)	Banking		Insurance		Other Financials		Technology		Asset Managers		Energy		Healthcare		Consumer		REITs		Utilities		Capital Goods		Basic Industry		Media		Autos		Communicat ions		Retailers		Restaurants, Hospitality & Leisure		Aviation		Other		Total		% Total
Investment Grade
AAA	$	—	$	—	$	—	$	48	$	—	$	—	$	20	$	29	$	—	$	—	$	—	$	—	$	—	$	—	$	78	$	—	$	—	$	—	$	4	$	179		1	%
AA		219		308		72		146		205		204		98		114		—		—		1		—		—		35		—		22		20		46		77		1,567		7	%
A		2,482		921		326		471		775		260		425		258		352		450		333		44		112		278		176		89		18		166		131		8,067		34	%
BBB		2,691		1,034		656		862		576		1,199		753		673		845		291		424		556		454		334		264		209		206		133		245		12,405		52	%

Subtotal		5,392		2,263		1,054		1,527		1,556		1,663		1,296		1,074		1,197		741		758		600		566		647		518		320		244		345		457		22,218		94	%
BB		3		15		29		75		17		102		50		89		75		19		11		46		3		4		4		—		44		10		—		596		3	%
B		—		1		—		4		—		—		18		22		—		—		—		16		5		—		—		—		10		—		—		76		0	%
CCC, CC, C		—		—		1		9		—		1		—		2		—		—		—		—		—		—		—		12		17		—		—		42		0	%
D		—		—		—		—		—		1		—		—		—		—		—		—		—		—		—		—		—		—		—		1		0	%

Subtotal		3		16		30		88		17		104		68		113		75		19		11		62		8		4		4		12		71		10		—		715		3	%
Not Rated (b)		33		14		486		1		7		2		34		97		20		—		5		8		50		—		2		13		4		—		2		778		3	%

Total	$	5,428	$	2,293	$	1,570	$	1,616	$	1,580	$	1,769	$	1,398	$	1,284	$	1,292	$	760	$	774	$	670	$	624	$	651	$	524	$	345	$	319	$	355	$	459	$	23,711		100	%


	Fair Value By Industry
NAIC designation	Banking		Insurance		Other Financials		Technology		Asset Managers		Energy		Healthcare		Consumer		REITs		Utilities		Capital Goods		Basic Industry		Media		Autos		Communicat ions		Retailers		Restaurants, Hospitality & Leisure		Aviation		Other		Total		% Total
1	$	2,712	$	1,235	$	842	$	663	$	950	$	440	$	562	$	448	$	349	$	449	$	330	$	64	$	112	$	348	$	253	$	124	$	22	$	213	$	194	$	10,310		43	%
2		2,712		1,031		675		862		606		1,222		767		688		859		291		428		552		454		298		263		209		224		129		248		12,518		53	%

Subtotal		5,424		2,266		1,517		1,525		1,556		1,662		1,329		1,136		1,208		740		758		616		566		646		516		333		246		342		442		22,828		96	%
3		3		15		28		66		17		103		50		98		84		19		10		38		3		4		4		—		46		13		—		601		3	%
4		—		11		13		6		—		—		16		27		—		—		—		16		47		—		—		—		10		—		—		146		1	%
5		—		—		11		16		7		1		2		17		—		—		1		—		7		—		2		11		17		—		—		92		0	%
6		—		—		—		1		—		3		—		—		—		—		—		—		—		—		—		1		—		—		—		5		0	%

Subtotal		3		26		52		89		24		107		68		142		84		19		11		54		57		4		6		12		73		13		—		844		4	%
No designation (c)		1		1		1		2		—		—		1		6		—		1		5		—		1		1		2		—		—		—		17		39		0	%

Total	$	5,428	$	2,293	$	1,570	$	1,616	$	1,580	$	1,769	$	1,398	$	1,284	$	1,292	$	760	$	774	$	670	$	624	$	651	$	524	$	345	$	319	$	355	$	459	$	23,711		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.

(b)	74% are NAIC 1, 9% NAIC 2, 3% NAIC 3, 8% NAIC 4, 6% NAIC 5.

(c)	Primarily relates to securities held by non-insurance companies.

Page 36

Appendix F

American Financial Group, Inc.

Asset-Backed Securities by Credit Rating & NAIC Designation by Collateral Type 6/30/2020

($ in millions)


	Fair Value By Collateral Type
Credit Rating (a)	Secured Financing (c)		TruPS		Whole Business		Railcar		Commercial Real Estate		Single Family Rental		Aircraft		Mortgage Servicer Receivables		Consumer Loans		Life Ins/ Structured Settlements		Other		Total		% Total
Investment Grade
AAA	$	—	$	—	$	—	$	—	$	913	$	472	$	—	$	159	$	48	$	157	$	282	$	2,031		28	%
AA		308		917		145		—		37		127		—		29		99		—		59		1,721		24	%
A		78		341		22		599		—		11		297		—		11		3		404		1,766		24	%
BBB		10		41		587		12		—		—		44		37		—		2		67		800		11	%

Subtotal		396		1,299		754		611		950		610		341		225		158		162		812		6,318		87	%
BB		—		1		—		—		—		—		2		—		—		5		—		8		0	%
B		—		—		—		—		—		—		—		—		—		—		4		4		0	%
CCC, CC, C		—		—		—		—		—		—		—		—		—		2		1		3		0	%
D		—		—		—		—		—		—		—		—		—		—		—		—		0	%

Subtotal		—		1		—		—		—		—		2		—		—		7		5		15		0	%
Not Rated (b)		970		—		—		—		—		—		12		—		—		—		—		982		13	%

Total	$	1,366	$	1,300	$	754	$	611	$	950	$	610	$	355	$	225	$	158	$	169	$	817	$	7,315		100	%


	Fair Value By Collateral Type
NAIC designation	Secured Financing (c)		TruPS		Whole Business		Railcar		Commercial Real Estate		Single Family Rental		Aircraft		Mortgage Servicer Receivables		Consumer Loans		Life Ins/ Structured Settlements		Other		Total		% Total
1	$	1,356	$	1,258	$	167	$	599	$	950	$	610	$	290	$	188	$	158	$	159	$	746	$	6,481		89	%
2		10		41		587		12		—		—		51		37		—		2		67		807		11	%

Subtotal		1,366		1,299		754		611		950		610		341		225		158		161		813		7,288		100	%
3		—		1		—		—		—		—		2		—		—		5		—		8		0	%
4		—		—		—		—		—		—		—		—		—		—		3		3		0	%
5		—		—		—		—		—		—		—		—		—		3		1		4		0	%
6		—		—		—		—		—		—		5		—		—		—		—		5		0	%

Subtotal		—		1		—		—		—		—		7		—		—		8		4		20		0	%
No designation (d)		—		—		—		—		—		—		7		—		—		—		—		7		0	%

Total	$	1,366	$	1,300	$	754	$	611	$	950	$	610	$	355	$	225	$	158	$	169	$	817	$	7,315		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.

(b)	99% of not rated securities are NAIC 1.

(c)	Secured Financings are privately placed funding agreements secured by assets including Single Family Rental properties, Bank Loans, Bank Trust Preferreds, Commercial and Residential Mortgages.

(d)	Primarily relates to securities held by non-insurance companies.

Page 37

Appendix G

American Financial Group, Inc.

Asset-Backed Securities by Credit Rating & NAIC Designation by Collateral Type 12/31/2019

($ in millions)


	Fair Value By Collateral Type
Credit Rating (a)	Secured Financing (c)		TruPS		Whole Business		Railcar		Commercial Real Estate		Single Family Rental		Aircraft		Mortgage Servicer Receivables		Consumer Loans		Life Ins/ Structured Settlements		Other		Total		% Total
Investment Grade
AAA	$	—	$	—	$	—	$	—	$	460	$	367	$	—	$	167	$	64	$	157	$	314	$	1,529		22	%
AA		311		990		92		—		52		106		—		34		110		—		84		1,779		25	%
A		78		326		22		602		—		11		442		—		17		3		482		1,983		28	%
BBB		10		53		599		—		—		—		—		38		—		1		41		742		10	%

Subtotal		399		1,369		713		602		512		484		442		239		191		161		921		6,033		85	%
BB		—		1		—		—		—		—		7		—		—		5		—		13		0	%
B		—		—		—		—		—		—		—		—		—		—		4		4		0	%
CCC, CC, C		—		—		—		—		—		—		—		—		—		3		1		4		0	%
D		—		—		—		—		—		—		—		—		—		—		—		—		0	%

Subtotal		—		1		—		—		—		—		7		—		—		8		5		21		0	%
Not Rated (b)		1,060		—		—		—		—		—		14		—		—		—		—		1,074		15	%

Total	$	1,459	$	1,370	$	713	$	602	$	512	$	484	$	463	$	239	$	191	$	169	$	926	$	7,128		100	%


	Fair Value By Collateral Type
NAIC designation	Secured Financing (c)		TruPS		Whole Business		Railcar		Commercial Real Estate		Single Family Rental		Aircraft		Mortgage Servicer Receivables		Consumer Loans		Life Ins/ Structured Settlements		Other		Total		% Total
1	$	1,421	$	1,314	$	114	$	601	$	511	$	482	$	442	$	201	$	189	$	159	$	874	$	6,308		89	%
2		38		53		599		—		—		—		—		38		—		2		40		770		11	%

Subtotal		1,459		1,367		713		601		511		482		442		239		189		161		914		7,078		100	%
3		—		1		—		—		—		—		7		—		—		5		—		13		0	%
4		—		—		—		—		—		—		—		—		—		—		4		4		0	%
5		—		—		—		—		—		—		—		—		—		3		1		4		0	%
6		—		—		—		—		—		—		14		—		—		—		1		15		0	%

Subtotal		—		1		—		—		—		—		21		—		—		8		6		36		0	%
No designation (d)		—		2		—		1		1		2		—		—		2		—		6		14		0	%

Total	$	1,459	$	1,370	$	713	$	602	$	512	$	484	$	463	$	239	$	191	$	169	$	926	$	7,128		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.

(b)	99% of not rated securities are NAIC 1 or 2.

(c)	Secured Financings are privately placed funding agreements secured by assets including Single Family Rental properties, Bank Loans, Bank Trust Preferreds, Commercial and Residential Mortgages.

(d)	Primarily relates to securities held by non-insurance companies.

Page 38

Appendix H

American Financial Group, Inc.

Real Estate Exposure

6/30/2020

($ in millions)

Investments accounted for using equity method (Real Estate Funds/Investments) (a)


Investment Type	Book Value		% of Book Value			Occupancy (b)			Collection Rate (c)
Multi-family	$	727		80	%		95	%		98	%
Fund Investments		100		11	%
Student Housing		28		3	%		77	%		94	%
Land—Development		22		2	%
QOZ Fund—Development		16		2	%
Office		15		2	%		89	%		100	%

Total	$	908		100	%

Real Estate


Property Type	Book Value		% of Book Value			Debt
Marinas	$	63		38	%	$	—
Resort & Marina		57		34	%		—
Hotel		23		14	%		—
Office Building		19		11	%		—
Land		5		3	%		—

Total	$	167		100	%	$	—

Mortgage Loans


Property Type	Book Value		% of Book Value			Loan To Value (d)
Hospitality		608		41	%		55	%
Multifamily		510		35	%		64	%
Office		251		17	%		64	%
Retail		60		4	%		58	%
Other		46		3	%		49	%

Total	$	1,475		100	%		60	%

Currently, mortgage loans totaling $193 million are under forbearance agreements.

(a)	Total investments accounted for using the equity method is $1.78 billion, the amounts presented in this table only relate to real estate funds/investments.

(b)	Occupancy as of 6/30/20

(c)	Collections for April—June

(d)	Based on most recent property appraisals, the vast majority of which are prior to March 2020.

Page 39

Appendix I

American Financial Group, Inc.

Real Estate Exposure

12/31/2019

($ in millions)

Investments accounted for using equity method (Real Estate Funds/Investments) (a)


Investment Type	Book Value		% of Book Value			Occupancy (b)			Collection Rate (c)
Multi-family	$	589		77	%		96	%		99	%
Fund Investments		100		13	%
Student Housing		30		4	%		94	%		98	%
Land—Development		20		2	%
QOZ Fund—Development		16		2	%
Office		14		2	%		90	%		100	%

Total	$	769		100	%

Real Estate


Property Type	Book Value		% of Book Value			Debt
Marinas	$	63		37	%	$	—
Resort & Marina		59		35	%		—
Hotel		22		13	%		—
Office Building		20		12	%		—
Land		5		3	%		—

Total	$	169		100	%	$	—

Mortgage Loans


Property Type	Book Value		% of Book Value			Loan To Value
Hospitality		575		43	%		56	%
Multifamily		392		30	%		62	%
Office		253		19	%		65	%
Retail		61		4	%		59	%
Other		48		4	%		50	%

Total	$	1,329		100	%		59	%

(a)	Total investments accounted for using the equity method is $1.69 billion, the amounts presented in this table only relate to real estate funds/investments.

(b)	Occupancy as of 12/31/19

(c)	Collections for October—December

Page 40

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