XML 40 R28.htm IDEA: XBRL DOCUMENT v3.21.1
Investments (Tables)
 3 Months Ended
Mar. 31, 2021
Investments, Debt and Equity Securities [Abstract]  
Available for sale fixed maturities
Available for sale fixed maturities held by AFG’s continuing operations at March 31, 2021 and December 31, 2020, consisted of the following (in millions):
Amortized
Cost		Allowance for Expected Credit LossesGross UnrealizedNet
Unrealized		Fair
Value
GainsLosses
March 31, 2021
Fixed maturities:
U.S. Government and government agencies
$212 $— $4 $(1)$3 $215 
States, municipalities and political subdivisions
2,076 — 91 — 91 2,167 
Foreign government
188 — 2 — 2 190 
Residential MBS
796 — 53 (2)51 847 
Commercial MBS
106 — 3 — 3 109 
Collateralized loan obligations
1,131 1 4 (3)1 1,131 
Other asset-backed securities
2,178 8 24 (6)18 2,188 
Corporate and other
2,372 1 75 (4)71 2,442 
Total fixed maturities$9,059 $10 $256 $(16)$240 $9,289 
December 31, 2020
Fixed maturities:
U.S. Government and government agencies
$192 $— $6 $— $6 $198 
States, municipalities and political subdivisions
2,196 — 116 — 116 2,312 
Foreign government
172 — 4 — 4 176 
Residential MBS
859 — 57 (1)56 915 
Commercial MBS
89 — 3 — 3 92 
Collateralized loan obligations
1,065 3 4 (4)— 1,062 
Other asset-backed securities
2,040 7 27 (13)14 2,047 
Corporate and other
2,199 2 88 (3)85 2,282 
Total fixed maturities$8,812 $12 $305 $(21)$284 $9,084 
Available for sale fixed maturities that are included in assets of discontinued annuity operations at March 31, 2021 and December 31, 2020, consisted of the following (in millions):
Amortized
Cost		Allowance for Expected Credit LossesGross UnrealizedNet
Unrealized		Fair
Value
GainsLosses
March 31, 2021
Fixed maturities:
U.S. Government and government agencies
$38 $— $4 $— $4 $42 
States, municipalities and political subdivisions
2,951 — 269 (4)265 3,216 
Foreign government
31 — 3 — 3 34 
Residential MBS
2,342 3 180 (6)174 2,513 
Commercial MBS
603 — 33 — 33 636 
Collateralized loan obligations
3,778 4 23 (9)14 3,788 
Other asset-backed securities
5,095 10 144 (25)119 5,204 
Corporate and other
18,015 1 1,367 (60)1,307 19,321 
Total fixed maturities$32,853 $18 $2,023 $(104)$1,919 $34,754 
December 31, 2020
Fixed maturities:
U.S. Government and government agencies
$39 $— $5 $— $5 $44 
States, municipalities and political subdivisions
3,053 — 370 (2)368 3,421 
Foreign government
31 — 4 — 4 35 
Residential MBS
1,953 3 194 (4)190 2,140 
Commercial MBS
659 — 40 (1)39 698 
Collateralized loan obligations
3,491 10 23 (13)10 3,491 
Other asset-backed securities
5,098 11 142 (53)89 5,176 
Corporate and other
17,272 4 1,874 (24)1,850 19,118 
Total fixed maturities$31,596 $28 $2,652 $(97)$2,555 $34,123 
Equity securities reported at fair value
Equity securities held by AFG’s continuing operations, which are reported at fair value with holding gains and losses recognized in net earnings, consisted of the following at March 31, 2021 and December 31, 2020 (in millions):
March 31, 2021December 31, 2020
Fair ValueFair Value
Actual Costover (under)Actual Costover (under)
Fair ValueCostFair ValueCost
Common stocks$467 $536 $69 $516 $510 $(6)
Perpetual preferred stocks371 408 37 369 379 10 
Total equity securities carried at fair value
$838 $944 $106 $885 $889 $4 
Investments accounted for using the equity method
Investments accounted for using the equity method held by AFG’s continuing operations, by category, carrying value and net investment income are as follows (in millions):
Carrying ValueNet Investment Income
March 31, 2021December 31, 2020Three months ended March 31,
20212020
Real estate-related investments (*)$985 $915 $54 $26 
Private equity284 266 21 (5)
Private debt55 54 3 2 
Total investments accounted for using the equity method$1,324 $1,235 $78 $23 
(*)Includes 88% invested in multi-family properties, 2% in single family properties and 10% in other property types as of March 31, 2021 and 87% invested in multi-family properties, 2% in single family properties and 11% in other property types as of December 31, 2020.
Available for sale securities in a continuous unrealized loss position
The following table shows gross unrealized losses (dollars in millions) on available for sale fixed maturities held by AFG’s continuing operations by investment category and length of time that individual securities have been in a continuous unrealized loss position at the following balance sheet dates.
Less Than Twelve MonthsTwelve Months or More
Unrealized
Loss		Fair
Value		Fair Value as
% of Cost		Unrealized
Loss		Fair
Value		Fair Value as
% of Cost
March 31, 2021
Fixed maturities:
U.S. Government and government agencies
$(1)$105 99 %$— $— — %
States, municipalities and political subdivisions
— 29 100 %— 18 100 %
Foreign government— 35 100 %— — — %
Residential MBS(1)86 99 %(1)11 92 %
Commercial MBS— 14 100 %— 5 100 %
Collateralized loan obligations(1)113 99 %(2)354 99 %
Other asset-backed securities(3)382 99 %(3)187 98 %
Corporate and other(3)255 99 %(1)55 98 %
Total fixed maturities$(9)$1,019 99 %$(7)$630 99 %
December 31, 2020
Fixed maturities:
U.S. Government and government agencies
$— $23 100 %$— $— — %
States, municipalities and political subdivisions
— 39 100 %— 10 100 %
Foreign government— 7 100 %— — — %
Residential MBS(1)86 99 %— 7 100 %
Commercial MBS— 7 100 %— 5 100 %
Collateralized loan obligations(1)192 99 %(3)366 99 %
Other asset-backed securities(10)465 98 %(3)92 97 %
Corporate and other(2)133 99 %(1)17 94 %
Total fixed maturities$(14)$952 99 %$(7)$497 99 %
Roll forward of allowance for credit losses on fixed maturity securities A progression of the allowance for expected credit losses on fixed maturity securities held by AFG’s continuing operations is shown below (in millions):
Structured
Securities (*)		Corporate and OtherTotal
Balance at January 1, 2021$10 $2 $12 
Initial allowance for purchased securities with credit deterioration— — — 
Provision for expected credit losses on securities with no previous allowance— — — 
Additions (reductions) to previously recognized expected credit losses(1)— (1)
Reductions due to sales or redemptions— (1)(1)
Balance at March 31, 2021$9 $1 $10 
Balance at January 1, 2020$— $— $— 
Impact of adoption of new accounting policy— — — 
Provision for expected credit losses on securities with no previous allowance11 3 14 
Reductions due to sales or redemptions— — — 
Balance at March 31, 2020$11 $3 $14 
(*)Includes mortgage-backed securities, collateralized loan obligations and other asset-backed securities.
Available for sale fixed maturity securities by contractual maturity date
The table below sets forth the scheduled maturities of available for sale fixed maturities held by AFG’s continuing operations as of March 31, 2021 (dollars in millions). Securities with sinking funds are reported at average maturity. Actual maturities may differ from contractual maturities because certain securities may be called or prepaid by the issuers.
AmortizedFair Value
Cost, net (*)Amount%
Maturity
One year or less$974 $986 11 %
After one year through five years2,456 2,553 27 %
After five years through ten years1,126 1,174 13 %
After ten years291 301 3 %
4,847 5,014 54 %
Collateralized loan obligations and other ABS (average life of approximately 3-1/2 years)3,300 3,319 36 %
MBS (average life of approximately 3 years)902 956 10 %
Total$9,049 $9,289 100 %
(*)Amortized cost, net of allowance for expected credit losses.
Components of the net unrealized gain on securities, included in Accumulated Other Comprehensive Income
The following table shows (in millions) the components of the net unrealized gain on securities that is included in AOCI in AFG’s Balance Sheet.
PretaxDeferred TaxNet
March 31, 2021
Net unrealized gain on fixed maturities held by continuing operations$240 $(51)$189 
Discontinued operations:
Net unrealized gain on fixed maturities$1,919 $(403)$1,516 
Deferred policy acquisition costs — annuity segment(661)139 (522)
Annuity benefits accumulated(283)59 (224)
Life, accident and health reserves(3)1 (2)
Unearned revenue8 (2)6 
Total net unrealized gain from discontinued operations980 (206)774 
Total net unrealized gain on fixed maturity securities$1,220 $(257)$963 
December 31, 2020
Net unrealized gain on fixed maturities held by continuing operations$284 $(60)$224 
Discontinued operations:
Net unrealized gain on fixed maturities$2,555 $(536)$2,019 
Deferred policy acquisition costs — annuity segment(934)196 (738)
Annuity benefits accumulated(324)68 (256)
Life, accident and health reserves(3)— (3)
Unearned revenue11 (2)9 
Total net unrealized gain from discontinued operations1,305 (274)1,031 
Total net unrealized gain on fixed maturity securities$1,589 $(334)$1,255 
Net investment income earned and investment expenses incurred The following table shows (in millions) investment income earned and investment expenses incurred in AFG’s continuing operations.
Three months ended March 31,
20212020
Investment income:
Fixed maturities$72 $82 
Equity securities:
Dividends8 10 
Change in fair value (a) (b)26 (17)
Equity in earnings of partnerships and similar investments
78 23 
Other6 8 
Gross investment income190 106 
Investment expenses(2)(2)
Net investment income (b)$188 $104 
(a)Although the change in the fair value of the majority of AFG’s equity securities is recorded in realized gains (losses) on securities, AFG records holding gains and losses in net investment income on equity securities classified as “trading” under previous guidance and on a small portfolio of limited partnership and similar investments that do not qualify for the equity method of accounting.
(b)Net investment income in the first three months of 2020 includes losses of $6 million on investments held by the companies that comprise the Neon exited lines due primarily to the $7 million loss recorded on equity securities that are carried at fair value through net investment income.
Realized gains (losses) and changes in unrealized appreciation (depreciation) related to fixed maturity and equity security investments
Realized gains (losses) and changes in unrealized appreciation (depreciation) from continuing operations included in AOCI related to fixed maturity securities are summarized as follows (in millions):
Three months ended March 31, 2021Three months ended March 31, 2020
Realized gains (losses)Realized gains (losses)
Before ImpairmentsImpairment AllowanceTotalChange in UnrealizedBefore ImpairmentsImpairmentsTotalChange in Unrealized
Fixed maturities$(1)$1 $— $(44)$3 $(14)$(11)$(277)
Equity securities77 — 77 — (318)— (318)— 
Mortgage loans and other investments
— — — — 1 — 1 — 
Total pretax76 1 77 (44)(314)(14)(328)(277)
Tax effects(16)— (16)9 66 3 69 58 
Net of tax
$60 $1 $61 $(35)$(248)$(11)$(259)$(219)
Holding gains (losses) on equity securities still held AFG recorded net holding gains (losses) on equity securities from continuing operations during the first quarter and first three months of 2021 and 2020 on securities that were still owned at March 31, 2021 and March 31, 2020 as follows (in millions):
Three months ended March 31,
20212020
Included in realized gains (losses)$67 $(321)
Included in net investment income26 (10)
$93 $(331)
Gross realized gains and losses on available for sale fixed maturity and equity security investments
Gross realized gains and losses (excluding impairment charges and mark-to-market of derivatives) on available for sale fixed maturity investment transactions from continuing operations consisted of the following (in millions):
Three months ended March 31,
20212020
Gross gains$2 $3 
Gross losses(1)(1)