
	Amortized Cost		Allowance for Expected Credit Losses		Gross Unrealized				Net Unrealized		Fair Value
					Gains		Losses
March 31, 2023
Fixed maturities:
U.S. government and government agencies	$	236	$	—	$	—	$	(11)	$	(11)	$	225
States, municipalities and political subdivisions	1,024		—		4		(35)		(31)		993
Foreign government	238		—		—		(12)		(12)		226
Residential MBS	1,743		2		23		(175)		(152)		1,589
Commercial MBS	80		—		—		(2)		(2)		78
Collateralized loan obligations	1,950		1		3		(53)		(50)		1,899
Other asset-backed securities	2,395		8		2		(148)		(146)		2,241
Corporate and other	2,917		5		22		(141)		(119)		2,793
Total fixed maturities	$	10,583	$	16	$	54	$	(577)	$	(523)	$	10,044

December 31, 2022
Fixed maturities:
U.S. government and government agencies	$	233	$	—	$	—	$	(14)	$	(14)	$	219
States, municipalities and political subdivisions	1,234		—		3		(51)		(48)		1,186
Foreign government	240		—		—		(14)		(14)		226
Residential MBS	1,757		2		23		(180)		(157)		1,598
Commercial MBS	88		—		—		(3)		(3)		85
Collateralized loan obligations	1,988		1		1		(67)		(66)		1,921
Other asset-backed securities	2,435		7		1		(184)		(183)		2,245
Corporate and other	2,761		1		11		(156)		(145)		2,615
Total fixed maturities	$	10,736	$	11	$	39	$	(669)	$	(630)	$	10,095


	March 31, 2023						December 31, 2022

	Actual Cost				Fair Value		Actual Cost				Fair Value
			Fair Value		over (under) Cost				Fair Value		over (under) Cost
Common stocks	$	595	$	579	$	(16)	$	556	$	553	$	(3)
Perpetual preferred stocks	434		429		(5)		436		457		21
Total equity securities carried at fair value	$	1,029	$	1,008	$	(21)	$	992	$	1,010	$	18


						Net Investment Income
	Carrying Value				Three months ended March 31,
	March 31, 2023		December 31, 2022			2023		2022
Real estate-related investments (*)	$	1,297	$	1,229		$	47	$	100
Private equity	401		438			8		33
Private debt	35		33			2		—
Total investments accounted for using the equity method	$	1,733	$	1,700		$	57	$	133

The earnings (losses) from these investments are generally reported on a quarter lag due to the timing required to obtain the necessary information from the funds. AFG regularly reviews and discusses fund performance with the fund managers to corroborate the reasonableness of the underlying reported asset values and to assess whether any events have occurred within the lag period that may materially affect the valuation of these investments.

The following table shows gross unrealized losses (dollars in millions) on available for sale fixed maturities 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 Months						Twelve Months or More
	Unrealized Loss		Fair Value		Fair Value as % of Cost		Unrealized Loss		Fair Value		Fair Value as % of Cost
March 31, 2023
Fixed maturities:
U.S. government and government agencies	$	(1)	$	43	98	%	$	(10)	$	173	95	%
States, municipalities and political subdivisions	(17)		468		96	%	(18)		240		93	%
Foreign government	(2)		14		88	%	(10)		209		95	%
Residential MBS	(18)		397		96	%	(157)		939		86	%
Commercial MBS	—		20		100	%	(2)		49		96	%
Collateralized loan obligations	(12)		697		98	%	(41)		908		96	%
Other asset-backed securities	(17)		600		97	%	(131)		1,457		92	%
Corporate and other	(39)		945		96	%	(102)		933		90	%
Total fixed maturities	$	(106)	$	3,184	97	%	$	(471)	$	4,908	91	%

December 31, 2022
Fixed maturities:
U.S. government and government agencies	$	(4)	$	111	97	%	$	(10)	$	107	91	%
States, municipalities and political subdivisions	(50)		967		95	%	(1)		15		94	%
Foreign government	(5)		90		95	%	(9)		134		94	%
Residential MBS	(115)		1,078		90	%	(65)		315		83	%
Commercial MBS	(2)		44		96	%	(1)		33		97	%
Collateralized loan obligations	(44)		1,224		97	%	(23)		587		96	%
Other asset-backed securities	(100)		1,361		93	%	(84)		740		90	%
Corporate and other	(105)		1,665		94	%	(51)		413		89	%
Total fixed maturities	$	(425)	$	6,540	94	%	$	(244)	$	2,344	91	%

At March 31, 2023, the gross unrealized losses on fixed maturities of $577 million relate to approximately 1,700 securities. Investment grade securities (as determined by nationally recognized rating agencies) represented approximately 94% of the gross unrealized loss and 95% of the fair value of securities with unrealized losses.

To evaluate fixed maturities for expected credit losses (impairment), management considers whether the unrealized loss is credit-driven or a result of changes in market interest rates, the extent to which fair value is less than cost basis, historical operating, balance sheet and cash flow data from the issuer, third party research and communications with industry specialists and discussions with issuer management.

AFG analyzes its MBS for expected credit losses (impairment) each quarter based upon expected future cash flows. Management estimates expected future cash flows based upon its knowledge of the MBS market, cash flow projections (which reflect loan to collateral values, subordination, vintage and geographic concentration) received from independent sources, implied cash flows inherent in security ratings and analysis of historical payment data.

Credit losses on available for sale fixed maturities are measured based on the present value of expected future cash flows compared to amortized cost. Impairment losses are recognized through an allowance and recoveries of previously impaired amounts are recorded as an immediate reversal of all or a portion of the allowance. In addition, the allowance on available for sale fixed maturities cannot cause the amortized cost net of the allowance to be below fair value. Accordingly, future changes in the fair value of an impaired security (when the allowance was limited by the fair value) due to reasons other than issuer credit (e.g. changes in market interest rates) result in increases or decreases in the allowance, which are recorded through realized gains (losses) on securities. A progression of the allowance for expected credit losses on fixed maturity securities is shown below (in millions):


	Structured Securities (*)		Corporate and Other		Total














Balance at January 1, 2023	$	10	$	1	$	11

Provision for expected credit losses on securities with no previous allowance	1		5		6
Additions (reductions) to previously recognized expected credit losses	—		(1)		(1)
Reductions due to sales or redemptions	—		—		—
Balance at March 31, 2023	$	11	$	5	$	16

Balance at January 1, 2022	$	8	$	1	$	9

Provision for expected credit losses on securities with no previous allowance	—		—		—
Additions (reductions) to previously recognized expected credit losses	(2)		—		(2)
Reductions due to sales or redemptions	—		—		—
Balance at March 31, 2022	$	6	$	1	$	7

The table below sets forth the scheduled maturities of AFG’s available for sale fixed maturities as of March 31, 2023 (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.


	Amortized		Fair Value
	Cost, net (*)		Amount		%
Maturity
One year or less	$	350	$	345	3	%
After one year through five years	2,633		2,514		25	%
After five years through ten years	1,043		1,008		10	%
After ten years	384		370		4	%
	4,410		4,237		42	%
Collateralized loan obligations and other ABS (average life of approximately 3 years)	4,336		4,140		41	%
MBS (average life of approximately 6 years)	1,821		1,667		17	%
Total	$	10,567	$	10,044	100	%

Certain risks are inherent in fixed maturity securities, including loss upon default, price volatility in reaction to changes in interest rates, and general market factors and risks associated with reinvestment of proceeds due to prepayments or redemptions in a period of declining interest rates.


	Three months ended March 31,
		2023		2022
Investment income:
Fixed maturities		$	122	$	80
Equity securities:
Dividends		9		7
Change in fair value (*)		16		7
Equity in earnings of partnerships and similar investments		57		133
Other		18		7
Gross investment income		222		234
Investment expenses		(5)		(4)
Net investment income		$	217	$	230

(*)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 limited partnerships and similar investments that do not qualify for equity method accounting and certain other securities classified at purchase as “fair value through net investment income.”












	Three months ended March 31, 2023								Three months ended March 31, 2022
	Realized gains (losses)								Realized gains (losses)
	Before Impairments		Impairment Allowance		Total		Change in Unrealized		Before Impairments		Impairment Allowance		Total		Change in Unrealized
Fixed maturities	$	(23)	$	(5)	$	(28)	$	107	$	(4)	$	2	$	(2)	$	(311)
Equity securities	(18)		—		(18)		—		(13)		—		(13)		—
Mortgage loans and other investments	—		—		—		—		—		—		—		—
Total pretax	(41)		(5)		(46)		107		(17)		2		(15)		(311)
Tax effects	8		1		9		(23)		3		—		3		66
Net of tax	$	(33)	$	(4)	$	(37)	$	84	$	(14)	$	2	$	(12)	$	(245)

All equity securities other than those accounted for under the equity method are carried at fair value through net earnings. AFG recorded net holding gains (losses) on equity securities during the first three months of 2023 and 2022 on securities that were still owned at March 31, 2023 and March 31, 2022 as follows (in millions):