Derivatives (Tables)

9 Months Ended

Sep. 30, 2012

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives included in Balance Sheet at fair value

The following derivatives are included in AFG’s Balance Sheet at fair value (in millions):

		September 30, 2012				December 31, 2011
Derivative	Balance Sheet Line	Asset		Liability		Asset		Liability
MBS with embedded derivatives	Fixed maturities	$	96	$	—	$	99	$	—
Interest rate swaptions	Other investments	1		—		5		—
Fixed-indexed annuities (embedded derivative)	Annuity benefits accumulated	—		497		—		361
Equity index call options	Other investments	152		—		66		—
Reinsurance contracts (embedded derivative)	Other liabilities	—		18		—		23
		$	249	$	515	$	170	$	384

Summary of gain (loss) included in the Statement of Earnings for changes in the fair value of derivatives

The following table summarizes the gain (loss) included in the Statement of Earnings for changes in the fair value of these derivatives for the third quarter and first nine months of 2012 and 2011 (in millions):

		Three months ended						Nine months ended
		September 30,						September 30,
Derivative	Statement of Earnings Line	2012			2011			2012			2011
MBS with embedded derivatives	Realized gains	$	1		$	3		$	4		$	—
Interest rate swaptions	Realized gains	(1		)	(15		)	(4		)	(22		)
Fixed-indexed annuities (embedded derivative)	Annuity benefits	(41		)	32			(97		)	4
Equity index call options	Annuity benefits	30			(50		)	67			(30		)
Reinsurance contracts (embedded derivative)	Investment income	(4		)	(6		)	(7		)	(10		)
		$	(15	)	$	(36	)	$	(37	)	$	(58	)