
	Amortized Cost		Allowance for Expected Credit Losses		Gross Unrealized				Net Unrealized		Fair Value
					Gains		Losses
September 30, 2023
Fixed maturities:
U.S. government and government agencies	$	240	$	—	$	—	$	(11)	$	(11)	$	229
States, municipalities and political subdivisions	986		—		1		(76)		(75)		911
Foreign government	228		—		—		(10)		(10)		218
Residential MBS	1,816		3		18		(212)		(194)		1,619
Commercial MBS	78		—		—		(2)		(2)		76
Collateralized loan obligations	1,756		2		8		(39)		(31)		1,723
Other asset-backed securities	2,443		7		2		(161)		(159)		2,277
Corporate and other	3,063		8		3		(180)		(177)		2,878
Total fixed maturities	$	10,610	$	20	$	32	$	(691)	$	(659)	$	9,931

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


	September 30, 2023						December 31, 2022
	Actual Cost		Fair Value		Fair Value Over (Under) Cost		Actual Cost		Fair Value		Fair Value Over (Under) Cost
Common stocks	$	562	$	588	$	26	$	556	$	553	$	(3)
Perpetual preferred stocks	419		419		—		436		457		21
Total equity securities carried at fair value	$	981	$	1,007	$	26	$	992	$	1,010	$	18


					Net Investment Income
	Carrying Value				Three months ended September 30,				Nine months ended September 30,
	September 30, 2023		December 31, 2022		2023		2022		2023		2022
Real estate-related investments (*)	$	1,321	$	1,229	$	11	$	40	$	86	$	209
Private equity	451		438		5		(2)		12		36
Private debt	35		33		1		(1)		4		1
Total investments accounted for using the equity method	$	1,807	$	1,700	$	17	$	37	$	102	$	246

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
September 30, 2023
Fixed maturities:
U.S. government and government agencies	$	—	$	36	100	%	$	(11)	$	192	95	%
States, municipalities and political subdivisions	(12)		232		95	%	(64)		565		90	%
Foreign government	—		7		100	%	(10)		211		95	%
Residential MBS	(7)		318		98	%	(205)		1,121		85	%
Commercial MBS	—		—		—	%	(2)		63		97	%
Collateralized loan obligations	—		39		100	%	(39)		1,026		96	%
Other asset-backed securities	(6)		402		99	%	(155)		1,677		92	%
Corporate and other	(34)		1,085		97	%	(146)		1,473		91	%
Total fixed maturities	$	(59)	$	2,119	97	%	$	(632)	$	6,328	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 September 30, 2023, the gross unrealized losses on fixed maturities of $691 million relate to approximately 1,900 securities. Investment grade securities (as determined by nationally recognized rating agencies) represented approximately 95% 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.


	Structured Securities (*)		Corporate and Other		Total
Balance at June 30, 2023	$	11	$	5	$	16

Provision for expected credit losses on securities with no previous allowance	—		3		3
Additions (reductions) to previously recognized expected credit losses	1		—		1
Reductions due to sales or redemptions	—		—		—
Balance at September 30, 2023	$	12	$	8	$	20

Balance at June 30, 2022	$	7	$	—	$	7

Provision for expected credit losses on securities with no previous allowance	2		—		2
Additions (reductions) to previously recognized expected credit losses	—		—		—
Reductions due to sales or redemptions	—		—		—
Balance at September 30, 2022	$	9	$	—	$	9

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

Provision for expected credit losses on securities with no previous allowance	1		8		9
Additions (reductions) to previously recognized expected credit losses	1		(1)		—
Reductions due to sales or redemptions	—		—		—
Balance at September 30, 2023	$	12	$	8	$	20

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

Provision for expected credit losses on securities with no previous allowance	3		—		3
Additions (reductions) to previously recognized expected credit losses	(2)		—		(2)
Reductions due to sales or redemptions	—		(1)		(1)
Balance at September 30, 2022	$	9	$	—	$	9

The table below sets forth the scheduled maturities of AFG’s available for sale fixed maturities as of September 30, 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	$	413	$	404	4	%
After one year through five years	2,649		2,495		25	%
After five years through ten years	1,099		1,022		11	%
After ten years	348		315		3	%
	4,509		4,236		43	%
Collateralized loan obligations and other ABS (average life of approximately 3 years)	4,190		4,000		40	%
MBS (average life of approximately 6.5 years)	1,891		1,695		17	%
Total	$	10,590	$	9,931	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 September 30,				Nine months ended September 30,
	2023		2022		2023		2022
Investment income:
Fixed maturities:
Interest and amortization	$	126	$	98	$	369	$	263
Change in fair value (a)	(11)		—		(1)		—
Equity securities:
Dividends	8		9		26		24
Change in fair value (b)	7		(6)		36		(8)
Equity in earnings of partnerships and similar investments	17		37		102		246
Other	24		17		64		37
Gross investment income	171		155		596		562
Investment expenses	(3)		(4)		(13)		(13)
Net investment income	$	168	$	151	$	583	$	549

(b)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 related investments.


	Three months ended September 30, 2023								Three months ended September 30, 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	$	(7)	$	(4)	$	(11)	$	(72)	$	(6)	$	(2)	$	(8)	$	(288)
Equity securities	(8)		—		(8)		—		(27)		—		(27)		—
Mortgage loans and other investments	—		—		—		—		—		—		—		—
Total pretax	(15)		(4)		(19)		(72)		(33)		(2)		(35)		(288)
Tax effects	3		1		4		15		7		—		7		60
Net of tax	$	(12)	$	(3)	$	(15)	$	(57)	$	(26)	$	(2)	$	(28)	$	(228)

	Nine months ended September 30, 2023								Nine months ended September 30, 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	$	(35)	$	(9)	$	(44)	$	(29)	$	(20)	$	(1)	$	(21)	$	(874)
Equity securities	(23)		—		(23)		—		(122)		—		(122)		—
Mortgage loans and other investments	—		—		—		—		—		—		—		—
Total pretax	(58)		(9)		(67)		(29)		(142)		(1)		(143)		(874)
Tax effects	12		2		14		5		30		—		30		184
Net of tax	$	(46)	$	(7)	$	(53)	$	(24)	$	(112)	$	(1)	$	(113)	$	(690)

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 third quarter and first nine months of 2023 and 2022 on securities that were still owned at September 30, 2023 and September 30, 2022 as follows (in millions):