Derivatives (Tables)

9 Months Ended

Sep. 30, 2020

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, 2020				December 31, 2019
Derivative	Balance Sheet Line	Asset		Liability		Asset		Liability
MBS with embedded derivatives	Fixed maturities	$	172	$	—	$	102	$	—
Public company warrants	Equity securities	—		—		—		—
Fixed-indexed and variable-indexed annuities (embedded derivative)	Annuity benefits accumulated	—		3,657		—		3,730
Equity index call options	Equity index call options	697		—		924		—
Equity index put options	Other liabilities	—		4		—		1
Reinsurance contracts (embedded derivative)	Other liabilities	—		4		—		4
		$	869	$	3,665	$	1,026	$	3,735

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 2020 and 2019 (in millions):

		Three months ended September 30,				Nine months ended September 30,
Derivative	Statement of Earnings Line	2020		2019		2020		2019
MBS with embedded derivatives	Realized gains (losses) on securities	$	(5)	$	3	$	2	$	15
Public company warrants	Realized gains (losses) on securities	—		(1)		—		(1)
Fixed-indexed and variable-indexed annuities (embedded derivative) (*)	Annuity benefits	(5)		70		41		(643)
Equity index call options	Annuity benefits	203		30		(42)		544
Equity index put options	Annuity benefits	2		—		1		1
Reinsurance contract (embedded derivative)	Net investment income	1		—		—		(2)
		$	196	$	102	$	2	$	(86)

(*)The change in fair value of the embedded derivative includes a favorable adjustment related to the unlocking of actuarial assumptions of $240 million in the third quarter of 2020 and $181 million in the third quarter of 2019.