Derivatives (Tables)

9 Months Ended

Sep. 30, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives included in the Balance Sheet at fair value

The following table presents the classification of derivative assets and liabilities included in AFG’s Balance Sheet at fair value (in millions):

		September 30, 2023				December 31, 2022
	Balance Sheet Line	Asset		Liability		Asset		Liability
Derivatives designated and qualifying as cash flow hedges:
Interest rate swaps	Other assets/Other liabilities	$	—	$	43	$	—	$	37
Derivatives not designated as hedging instruments:
Fixed maturities with embedded derivatives	Fixed maturities	80		—		40		—
Total return swap	Other assets/Other liabilities	—		5		—		5
		$	80	$	48	$	40	$	42

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 for the third quarter and nine months ended September 30, 2023 and 2022 (in millions):

		Three months ended September 30,				Nine months ended September 30,
	Statement of Earnings Line	2023		2022		2023		2022
Qualifying cash flow hedges - gains (losses) reclassified from AOCI to net earnings:
Interest rate swaps	Net investment income	$	(7)	$	1	$	(19)	$	3
Non-designated hedges - gains (losses) included in net earnings:
Fixed maturities with embedded derivatives	Realized gains (losses) on securities	(1)		(3)		(4)		(11)
Fixed maturities with embedded derivatives	Net investment income	(11)		—		(1)		—
Total return swap	Other expenses	(6)		(6)		3		(10)
Earnings (losses) on non-designated hedges		(18)		(9)		(2)		(21)
Total earnings (losses) on derivatives		$	(25)	$	(8)	$	(21)	$	(18)