Derivatives (Tables)

3 Months Ended

Mar. 31, 2021

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):

		March 31, 2021				December 31, 2020
Derivative	Balance Sheet Line	Asset		Liability		Asset		Liability
MBS with embedded derivatives	Fixed maturities	$	67	$	—	$	37	$	—
Discontinued Annuity Operations:
MBS with embedded derivatives	Assets of discontinued annuity operations	152		—		137		—
Fixed-indexed and variable-indexed annuities (embedded derivative)	Liabilities of discontinued annuity operations	—		3,954		—		3,933
Equity index call options	Assets of discontinued annuity operations	813		—		825		—
Equity index put options	Liabilities of discontinued annuity operations	—		6		—		5
Reinsurance contract (embedded derivative)	Liabilities of discontinued annuity operations	—		4		—		5
		$	1,032	$	3,964	$	999	$	3,943

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 first three months of 2021 and 2020 (in millions):

		Three months ended March 31,
Derivative	Statement of Earnings Line	2021		2020
MBS with embedded derivatives	Realized gains (losses) on securities	$	(2)	$	1
Discontinued Annuity Operations:
MBS with embedded derivatives - discontinued operations	Net earnings (loss) from discontinued operations	—		3
Fixed-indexed and variable-indexed annuities (embedded derivative)	Net earnings (loss) from discontinued operations	(40)		647
Equity index call options	Net earnings (loss) from discontinued operations	114		(628)
Equity index put options	Net earnings (loss) from discontinued operations	2		(6)
Reinsurance contract (embedded derivative)	Net earnings (loss) from discontinued operations	1		2
		$	75	$	19