Derivatives (Tables)

9 Months Ended

Sep. 30, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives included in Balance Sheet at fair value

The following derivatives that do not qualify for hedge accounting under GAAP are included in AFG’s Balance Sheet at fair value (in millions):

		September 30, 2019				December 31, 2018
Derivative	Balance Sheet Line	Asset		Liability		Asset		Liability
MBS with embedded derivatives	Fixed maturities	$	118	$	—	$	109	$	—
Public company warrants	Equity securities	—		—		—		—
Fixed-indexed and variable-indexed annuities (embedded derivative)	Annuity benefits accumulated	—		3,469		—		2,720
Equity index call options	Equity index call options	750		—		184		—
Equity index put options	Other liabilities	—		1		—		1
Reinsurance contracts (embedded derivative)	Other liabilities	—		4		—		2
		$	868	$	3,474	$	293	$	2,723

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

The following table summarizes the gains (losses) included in AFG’s Statement of Earnings for changes in the fair value of derivatives that do not qualify for hedge accounting for the third quarter and first nine months of 2019 and 2018 (in millions): 

		Three months ended September 30,						Nine months ended September 30,
Derivative	Statement of Earnings Line	2019			2018			2019			2018
MBS with embedded derivatives	Realized gains (losses) on securities	$	3		$	(3	)	$	15		$	(8	)
Public company warrants	Realized gains (losses) on securities	(1		)	1			(1		)	—
Fixed-indexed and variable-indexed annuities (embedded derivative) (*)	Annuity benefits	70			(223		)	(643		)	(286		)
Equity index call options	Annuity benefits	30			219			544			271
Equity index put options	Annuity benefits	—			—			1			—
Reinsurance contract (embedded derivative)	Net investment income	—			—			(2		)	2
		$	102		$	(6	)	$	(86	)	$	(21	)