Investor Supplement

EX-99.2 3 d811906dex992.htm INVESTOR SUPPLEMENT Investor Supplement

Exhibit 99.2



		American Financial Group, Inc.
		Investor Supplement - Third Quarter 2014
		October 28, 2014
		American Financial Group, Inc.
		Corporate Headquarters
		Great American Insurance Group Tower
		301 E Fourth Street
		Cincinnati, OH 45202
		513 579 6739

American Financial Group, Inc.

Table of Contents - Investor Supplement - Third Quarter 2014


Section	Page

Table of Contents - Investor Supplement - Third Quarter 2014		2
Financial Highlights		3
Summary of Earnings		4
Earnings Per Share Summary		5

Property and Casualty Insurance Segment
Property and Casualty Insurance - Summary Underwriting Results (GAAP)		6
Specialty - Underwriting Results (GAAP)		7
Property and Transportation - Underwriting Results (GAAP)		8
Specialty Casualty - Underwriting Results (GAAP)		9
Specialty Financial - Underwriting Results (GAAP)		10
Other Specialty - Underwriting Results (GAAP)		11

Annuity Segment
Annuity Earnings (GAAP)		12
Detail of Annuity Benefits Expense (GAAP)		13
Net Spread on Fixed Annuities (GAAP)		14
Annuity Premiums (Statutory)		15
Fixed Annuity Benefits Accumulated (GAAP)		16

Consolidated Balance Sheet / Book Value / Debt
Consolidated Balance Sheet		17
Book Value Per Share and Price / Book Summary		18
Capitalization		19
Additional Supplemental Information		20

Consolidated Investment Supplement
Total Cash and Investments and Quarterly Net Investment Income		21
Fixed Maturities - By Security Type - AFG Consolidated		22
Fixed Maturities - By Security Type Portfolio		23
Fixed Maturities - Credit Rating and NAIC Designation		24
Mortgage-Backed Securities - AFG Consolidated		25
Mortgage-Backed Securities Portfolio		26
Mortgage-Backed Securities - Credit Rating and NAIC Designation		27

American Financial Group, Inc.

Financial Highlights

(in millions, except per share information)


	Three Months Ended															Nine Months Ended
	09/30/14			06/30/14			03/31/14			12/31/13			09/30/13			09/30/14			09/30/13

Highlights
Core net operating earnings	$	127		$	99		$	91		$	117		$	97		$	317		$	268
Net earnings		116			106			103			158			83			325			313
Total assets		46,552			45,355			42,770			42,087			40,947			46,552			40,947
Adjusted shareholders’ equity (a)		4,300			4,298			4,191			4,109			4,048			4,300			4,048
Property and Casualty net written premiums		1,242			998			755			821			1,067			2,995			2,520
Annuity statutory premiums		809			949			967			1,381			1,167			2,725			2,652

Per share data
Core net operating earnings per share	$	1.40		$	1.07		$	1.00		$	1.28		$	1.06		$	3.47		$	2.94
Diluted earnings per share		1.28			1.15			1.13			1.73			0.92			3.56			3.44
Adjusted book value per share (a)		48.59			47.95			46.79			45.90			45.36			48.59			45.36

Cash dividends per common share		0.220			0.220			0.220			1.220			0.195			0.660			0.585

Financial ratios
Annualized core operating return on equity (b)		12.3	%		9.6	%		9.1	%		11.8	%		10.0	%		10.3	%		9.4	%
Annualized return on equity (b)		11.1	%		10.3	%		10.3	%		16.0	%		8.6	%		10.6	%		11.0	%

Property and Casualty combined ratio - Specialty:
Loss & LAE ratio		67.1	%		64.6	%		56.9	%		62.4	%		66.1	%		63.6	%		61.5	%
Underwriting expense ratio		26.7	%		32.3	%		35.3	%		28.9	%		27.4	%		30.8	%		32.9	%

Combined ratio - Specialty		93.8	%		96.9	%		92.2	%		91.3	%		93.5	%		94.4	%		94.4	%


Net spread on fixed annuities:
Net interest spread		2.77	%		2.92	%		2.81	%		2.86	%		2.89	%		2.83	%		2.97	%
Net spread earned:
Before impact of fair value accounting		1.50	%		1.64	%		1.58	%		1.55	%		1.50	%		1.57	%		1.51	%
Impact of fair value accounting (c)		(0.02	%)		(0.18	%)		(0.28	%)		0.12	%		0.00	%		(0.16	%)		0.07	%

After impact of fair value accounting		1.48	%		1.46	%		1.30	%		1.67	%		1.50	%		1.41	%		1.58	%

(a)	Excludes appropriated retained earnings and unrealized gains related to fixed maturity investments.

(b)	Excludes appropriated retained earnings and accumulated other comprehensive income.

(c)	Change in fair value of derivatives offset by the estimated related adjustments to amortization of deferred sales inducements and deferred policy acquisition costs.

American Financial Group, Inc.

Summary of Earnings

($ in millions)


	Three Months Ended															Nine Months Ended
	09/30/14			06/30/14			03/31/14			12/31/13			09/30/13			09/30/14			09/30/13
Property and Casualty Insurance
Underwriting profit	$	70		$	29		$	58		$	75		$	62		$	157		$	124
Net investment income		76			76			67			67			65			219			196
Other expense		(16	)		(8	)		(17	)		(11	)		(14	)		(41	)		(29	)

Property and Casualty Insurance operating earnings		130			97			108			131			113			335			291

Annuity earnings		86			84			73			92			78			243			236
Run-off Long-Term Care and Life losses		1			(2	)		(2	)		(3	)		(4	)		(3	)		(7	)
Interest expense of parent holding companies		(17	)		(16	)		(17	)		(17	)		(17	)		(50	)		(51	)
Other expense		(13	)		(21	)		(24	)		(28	)		(22	)		(58	)		(72	)

Pre-tax core operating earnings		187			142			138			175			148			467			397

Income tax expense		60			43			47			58			51			150			129

Core net operating earnings		127			99			91			117			97			317			268

Non-core items, net of tax:
Realized gains		8			7			12			41			35			27			97
Significant A&E charges:
Property and Casualty Insurance run-off operations		(15	)		—			—			—			(35	)		(15	)		(35	)
Former Railroad and Manufacturing operations		(4	)		—			—			—			(14	)		(4	)		(14	)
ELNY guaranty fund assessments charge (a)		—			—			—			—			—			—			(3	)

Net earnings	$	116		$	106		$	103		$	158		$	83		$	325		$	313

(a)	The ELNY guaranty fund assessments charge represent guaranty fund assessments in connection with the insolvency and liquidation of Executive Life Insurance Company of New York, an unaffiliated life insurance company.

American Financial Group, Inc.

Earnings Per Share Summary

(in millions, except per share information)


	Three Months Ended												Nine Months Ended
	09/30/14			06/30/14		03/31/14		12/31/13		09/30/13			09/30/14			09/30/13

Core net operating earnings	$	127		$	99	$	91	$	117	$	97		$	317		$	268


Net earnings	$	116		$	106	$	103	$	158	$	83		$	325		$	313


Average number of diluted shares		90.873			91.593		91.621		91.438		91.014			91.360			91.176

Diluted earnings per share:
Core net operating earnings per share	$	1.40		$	1.07	$	1.00	$	1.28	$	1.06		$	3.47		$	2.94

Realized gains		0.09			0.08		0.13		0.45		0.40			0.30			1.08
Significant A&E charges:
Property and Casualty Insurance run-off operations		(0.17	)		—		—		—		(0.39	)		(0.17	)		(0.39	)
Former Railroad and Manufacturing operations		(0.04	)		—		—		—		(0.15	)		(0.04	)		(0.15	)
ELNY guaranty fund assessments charge (a)		—			—		—		—		—			—			(0.04	)

Diluted earnings per share	$	1.28		$	1.15	$	1.13	$	1.73	$	0.92		$	3.56		$	3.44

(a)	The ELNY guaranty fund assessments charge represent guaranty fund assessments in connection with the insolvency and liquidation of Executive Life Insurance Company of New York, an unaffiliated life insurance company.

American Financial Group, Inc.

Property and Casualty Insurance - Summary Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Nine Months Ended
	09/30/14			06/30/14			03/31/14			12/31/13			09/30/13			09/30/14			09/30/13

Property and Transportation	$	11		$	(18	)	$	6		$	17		$	16		$	(1	)	$	(5	)
Specialty Casualty		32			30			38			32			19			100			70
Specialty Financial		21			15			10			17			22			46			50
Other Specialty		6			2			5			9			5			13			16

Underwriting profit - Specialty		70			29			59			75			62			158			131

Other charges, included in loss and LAE		—			—			1			—			—			1			7

Underwriting profit - Core		70			29			58			75			62			157			124

Special A&E charges, included in loss and LAE		(24	)		—			—			—			(54	)		(24	)		(54	)

Underwriting profit - Property and Casualty Insurance	$	46		$	29		$	58		$	75		$	8		$	133		$	70


Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	(1	)	$	—		$	—
Catastrophe loss		3			10			12			1			2			25			30

Total current accident year catastrophe losses	$	3		$	10		$	12		$	1		$	1		$	25		$	30


Prior year loss reserve development (favorable) / adverse	$	13		$	14		$	(31	)	$	(5	)	$	40		$	(4	)	$	(10	)


Combined ratio:
Property and Transportation		97.8	%		105.5	%		98.1	%		95.8	%		97.1	%		100.1	%		100.4	%
Specialty Casualty		93.3	%		93.6	%		87.8	%		89.7	%		93.4	%		92.1	%		91.5	%
Specialty Financial		81.6	%		87.6	%		91.0	%		85.2	%		82.3	%		86.7	%		85.8	%
Other Specialty		78.0	%		89.0	%		79.9	%		60.4	%		70.7	%		82.1	%		71.9	%
Combined ratio - Specialty		93.8	%		96.9	%		92.2	%		91.3	%		93.5	%		94.4	%		94.4	%

Other core charges		0.1	%		0.0	%		0.0	%		0.1	%		(0.1	%)		0.0	%		0.3	%
Special A&E charges		2.1	%		0.0	%		0.0	%		0.0	%		5.7	%		0.8	%		2.3	%

Combined ratio		96.0	%		96.9	%		92.2	%		91.4	%		99.1	%		95.2	%		97.0	%


Combined ratio excl. catastrophe and prior year development		94.5	%		94.4	%		94.8	%		91.7	%		94.8	%		94.5	%		96.2	%


Loss and LAE components - property and casualty insurance
Current accident year, excluding catastrophe loss		67.8	%		62.1	%		59.4	%		62.8	%		67.4	%		63.7	%		63.3	%
Prior accident year loss reserve development		1.2	%		1.4	%		(4.1	%)		(0.4	%)		4.2	%		(0.2	%)		(0.5	%)
Current accident year catastrophe loss		0.3	%		1.1	%		1.6	%		0.1	%		0.1	%		0.9	%		1.3	%

Loss and LAE ratio		69.3	%		64.6	%		56.9	%		62.5	%		71.7	%		64.4	%		64.1	%

American Financial Group, Inc.

Specialty - Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Nine Months Ended
	09/30/14			06/30/14			03/31/14			12/31/13			09/30/13			09/30/14			09/30/13

Gross written premiums	$	1,859		$	1,291		$	1,024		$	1,071		$	1,768		$	4,174		$	3,734
Ceded reinsurance premiums		(617	)		(293	)		(269	)		(250	)		(701	)		(1,179	)		(1,214	)

Net written premiums		1,242			998			755			821			1,067			2,995			2,520
Change in unearned premiums		(110	)		(67	)		(1	)		38			(118	)		(178	)		(175	)

Net earned premiums		1,132			931			754			859			949			2,817			2,345

Loss and LAE		760			602			428			537			626			1,790			1,442
Underwriting expense		302			300			267			247			261			869			772

Underwriting profit	$	70		$	29		$	59		$	75		$	62		$	158		$	131


Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	(1	)	$	—		$	—
Catastrophe loss		3			10			12			1			2			25			30

Total current accident year catastrophe losses	$	3		$	10		$	12		$	1		$	1		$	25		$	30


Prior year loss reserve development (favorable) / adverse	$	(11	)	$	14		$	(32	)	$	(5	)	$	(13	)	$	(29	)	$	(70	)


Combined ratio:
Loss and LAE ratio		67.1	%		64.6	%		56.9	%		62.4	%		66.1	%		63.6	%		61.5	%
Underwriting expense ratio		26.7	%		32.3	%		35.3	%		28.9	%		27.4	%		30.8	%		32.9	%

Combined ratio		93.8	%		96.9	%		92.2	%		91.3	%		93.5	%		94.4	%		94.4	%


Combined ratio excl. catastrophe and prior year development		94.5	%		94.4	%		94.8	%		91.7	%		94.8	%		94.5	%		96.2	%


Loss and LAE components:
Current accident year, excluding catastrophe loss		67.8	%		62.1	%		59.5	%		62.8	%		67.4	%		63.7	%		63.3	%
Prior accident year loss reserve development		(1.0	%)		1.4	%		(4.2	%)		(0.5	%)		(1.4	%)		(1.0	%)		(3.1	%)
Current accident year catastrophe loss		0.3	%		1.1	%		1.6	%		0.1	%		0.1	%		0.9	%		1.3	%

Loss and LAE ratio		67.1	%		64.6	%		56.9	%		62.4	%		66.1	%		63.6	%		61.5	%

American Financial Group, Inc.

Property and Transportation - Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Nine Months Ended
	09/30/14			06/30/14			03/31/14			12/31/13			09/30/13			09/30/14			09/30/13

Gross written premiums	$	995		$	489		$	376		$	447		$	1,147		$	1,860		$	1,945
Ceded reinsurance premiums		(439	)		(136	)		(92	)		(98	)		(553	)		(667	)		(747	)

Net written premiums		556			353			284			349			594			1,193			1,198
Change in unearned premiums		(52	)		(29	)		17			61			(77	)		(64	)		(87	)

Net earned premiums		504			324			301			410			517			1,129			1,111

Loss and LAE		407			248			201			307			407			856			835
Underwriting expense		86			94			94			86			94			274			281

Underwriting profit (loss)	$	11		$	(18	)	$	6		$	17		$	16		$	(1	)	$	(5	)


Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	(1	)	$	—		$	—
Catastrophe loss		1			8			9			—			—			18			27

Total current accident year catastrophe losses	$	1		$	8		$	9		$	—		$	(1	)	$	18		$	27


Prior year loss reserve development (favorable) / adverse	$	(5	)	$	22		$	(4	)	$	3		$	(1	)	$	13		$	(4	)


Combined ratio:
Loss and LAE ratio		80.7	%		76.4	%		67.0	%		74.9	%		78.8	%		75.8	%		75.1	%
Underwriting expense ratio		17.1	%		29.1	%		31.1	%		20.9	%		18.3	%		24.3	%		25.3	%

Combined ratio		97.8	%		105.5	%		98.1	%		95.8	%		97.1	%		100.1	%		100.4	%


Combined ratio excl. catastrophe and prior year development		98.5	%		96.2	%		96.4	%		95.0	%		97.4	%		97.3	%		98.4	%


Loss and LAE components:
Current accident year, excluding catastrophe loss		81.4	%		67.1	%		65.3	%		74.1	%		79.1	%		73.0	%		73.1	%
Prior accident year loss reserve development		(0.9	%)		6.6	%		(1.1	%)		0.8	%		(0.2	%)		1.2	%		(0.4	%)
Current accident year catastrophe loss		0.2	%		2.7	%		2.8	%		0.0	%		(0.1	%)		1.6	%		2.4	%

Loss and LAE ratio		80.7	%		76.4	%		67.0	%		74.9	%		78.8	%		75.8	%		75.1	%

American Financial Group, Inc.

Specialty Casualty - Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Nine Months Ended
	09/30/14			06/30/14			03/31/14			12/31/13			09/30/13			09/30/14			09/30/13

Gross written premiums	$	707		$	655		$	507		$	459		$	461		$	1,869		$	1,331
Ceded reinsurance premiums		(171	)		(156	)		(176	)		(138	)		(136	)		(503	)		(428	)

Net written premiums		536			499			331			321			325			1,366			903
Change in unearned premiums		(50	)		(32	)		(18	)		(11	)		(36	)		(100	)		(78	)

Net earned premiums		486			467			313			310			289			1,266			825

Loss and LAE		310			300			172			183			174			782			470
Underwriting expense		144			137			103			95			96			384			285

Underwriting profit	$	32		$	30		$	38		$	32		$	19		$	100		$	70


Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		1			1			1			—			1			3			1

Total current accident year catastrophe losses	$	1		$	1		$	1		$	—		$	1		$	3		$	1


Prior year loss reserve development (favorable) / adverse	$	7		$	(4	)	$	(24	)	$	2		$	(4	)	$	(21	)	$	(42	)


Combined ratio:
Loss and LAE ratio		63.7	%		64.3	%		55.0	%		59.0	%		60.3	%		61.8	%		57.1	%
Underwriting expense ratio		29.6	%		29.3	%		32.8	%		30.7	%		33.1	%		30.3	%		34.4	%

Combined ratio		93.3	%		93.6	%		87.8	%		89.7	%		93.4	%		92.1	%		91.5	%


Combined ratio excl. catastrophe and prior year development		91.6	%		94.3	%		95.1	%		89.2	%		94.5	%		93.5	%		96.4	%


Loss and LAE components:
Current accident year, excluding catastrophe loss		62.0	%		65.0	%		62.3	%		58.5	%		61.4	%		63.2	%		62.0	%
Prior accident year loss reserve development		1.3	%		(0.8	%)		(7.7	%)		0.5	%		(1.2	%)		(1.7	%)		(5.0	%)
Current accident year catastrophe loss		0.4	%		0.1	%		0.4	%		0.0	%		0.1	%		0.3	%		0.1	%

Loss and LAE ratio		63.7	%		64.3	%		55.0	%		59.0	%		60.3	%		61.8	%		57.1	%

American Financial Group, Inc.

Specialty Financial - Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Nine Months Ended
	09/30/14			06/30/14			03/31/14			12/31/13			09/30/13			09/30/14			09/30/13

Gross written premiums	$	157		$	147		$	141		$	164		$	160		$	445		$	458
Ceded reinsurance premiums		(36	)		(27	)		(25	)		(32	)		(36	)		(88	)		(104	)

Net written premiums		121			120			116			132			124			357			354
Change in unearned premiums		(6	)		(4	)		1			(13	)		(3	)		(9	)		(4	)

Net earned premiums		115			116			117			119			121			348			350

Loss and LAE		32			40			45			42			37			117			116
Underwriting expense		62			61			62			60			62			185			184

Underwriting profit	$	21		$	15		$	10		$	17		$	22		$	46		$	50


Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		—			1			2			1			1			3			2

Total current accident year catastrophe losses	$	—		$	1		$	2		$	1		$	1		$	3		$	2


Prior year loss reserve development (favorable) / adverse	$	(10	)	$	(2	)	$	(1	)	$	(4	)	$	(4	)	$	(13	)	$	(10	)


Combined ratio:
Loss and LAE ratio		27.7	%		35.3	%		37.9	%		34.2	%		31.2	%		33.6	%		33.3	%
Underwriting expense ratio		53.9	%		52.3	%		53.1	%		51.0	%		51.1	%		53.1	%		52.5	%

Combined ratio		81.6	%		87.6	%		91.0	%		85.2	%		82.3	%		86.7	%		85.8	%


Combined ratio excl. catastrophe and prior year development		90.3	%		88.6	%		90.2	%		87.7	%		84.8	%		89.7	%		88.1	%


Loss and LAE components:
Current accident year, excluding catastrophe loss		36.4	%		36.3	%		37.1	%		36.7	%		33.7	%		36.6	%		35.6	%
Prior accident year loss reserve development		(9.0	%)		(1.8	%)		(0.7	%)		(3.2	%)		(3.2	%)		(3.9	%)		(2.9	%)
Current accident year catastrophe loss		0.3	%		0.8	%		1.5	%		0.7	%		0.7	%		0.9	%		0.6	%

Loss and LAE ratio		27.7	%		35.3	%		37.9	%		34.2	%		31.2	%		33.6	%		33.3	%

American Financial Group, Inc.

Other Specialty - Underwriting Results (GAAP)

($ in millions)


	Three Months Ended															Nine Months Ended
	09/30/14			06/30/14			03/31/14			12/31/13			09/30/13			09/30/14			09/30/13

Gross written premiums	$	—		$	—		$	—		$	1		$	—		$	—		$	—
Ceded reinsurance premiums		29			26			24			18			24			79			65

Net written premiums		29			26			24			19			24			79			65
Change in unearned premiums		(2	)		(2	)		(1	)		1			(2	)		(5	)		(6	)

Net earned premiums		27			24			23			20			22			74			59

Loss and LAE		11			14			10			5			8			35			21
Underwriting expense		10			8			8			6			9			26			22

Underwriting profit	$	6		$	2		$	5		$	9		$	5		$	13		$	16


Included in results above:
Current accident year catastrophe losses:
Catastrophe reinstatement premium	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Catastrophe loss		1			—			—			—			—			1			—

Total current accident year catastrophe losses	$	1		$	—		$	—		$	—		$	—		$	1		$	—


Prior year loss reserve development (favorable) / adverse	$	(3	)	$	(2	)	$	(3	)	$	(6	)	$	(4	)	$	(8	)	$	(14	)


Combined ratio:
Loss and LAE ratio		43.4	%		53.2	%		45.8	%		28.3	%		35.0	%		47.3	%		34.6	%
Underwriting expense ratio		34.6	%		35.8	%		34.1	%		32.1	%		35.7	%		34.8	%		37.3	%

Combined ratio		78.0	%		89.0	%		79.9	%		60.4	%		70.7	%		82.1	%		71.9	%


Combined ratio excl. catastrophe and prior year development		85.6	%		97.1	%		91.4	%		87.5	%		90.1	%		91.1	%		95.8	%

American Financial Group, Inc.

Annuity Earnings (GAAP)

($ in millions)


	Three Months Ended													Nine Months Ended
	09/30/14			06/30/14			03/31/14			12/31/13		09/30/13		09/30/14			09/30/13

Net investment income	$	287		$	289		$	275		$	270	$	259	$	851		$	764
Guaranteed withdrawal benefit fees		9			8			8			7		7		25			18
Policy charges and other miscellaneous income		11			11			10			14		10		32			28


Total revenues		307			308			293			291		276		908			810

Annuity benefits expense		157			166			168			137		140		491			394
Acquisition expenses		41			37			31			35		35		109			114
Other expenses		23			21			21			27		23		65			66


Total costs and expenses		221			224			220			199		198		665			574


Core Annuity earnings before income taxes		86			84			73			92		78		243			236

ELNY guaranty fund assessments charge before income tax (a)		—			—			—			—		—		—			(5	)


Annuity earnings before income taxes	$	86		$	84		$	73		$	92	$	78	$	243		$	231


Detail of core Annuity earnings before income taxes
Core earnings before income taxes and impact of fair value accounting	$	87		$	94		$	88		$	86	$	78	$	269		$	227
Impact of fair value accounting (b)		(1	)		(10	)		(15	)		6		—		(26	)		9

Core Annuity earnings before income taxes	$	86		$	84		$	73		$	92	$	78	$	243		$	236

(a)	The ELNY guaranty fund assessments charge represent guaranty fund assessments in connection with the insolvency and liquidation of Executive Life Insurance Company of New York, an unaffiliated life insurance company.

(b)	Change in fair value of derivatives offset by the estimated related adjustments to amortization of deferred sales inducements and deferred policy acquisition costs.

American Financial Group, Inc.

Detail of Annuity Benefits Expense (GAAP)

($ in millions)


	Three Months Ended															Nine Months Ended
	09/30/14			06/30/14			03/31/14			12/31/13			09/30/13			09/30/14			09/30/13

Detail of annuity benefits expense:
Interest credited - fixed	$	126		$	123		$	121		$	118		$	113		$	370		$	333
Interest credited - fixed component of variable annuities		2			2			1			1			2			5			5
Change in expected death and annuitization reserve		5			5			4			5			4			14			14
Amortization of sales inducements		7			6			7			7			8			20			23
Guaranteed withdrawal benefit reserve		12			10			8			10			10			30			28
Change in other benefit reserves		3			5			3			1			2			11			6
Unlockings		—			—			—			6			—			—			—

Subtotal before impact of fair value accounting		155			151			144			148			139			450			409

Embedded derivative mark-to-market		21			78			54			74			33			153			110
Equity option mark-to-market		(19	)		(63	)		(30	)		(85	)		(32	)		(112	)		(125	)

Subtotal impact of fair value accounting		2			15			24			(11	)		1			41			(15	)


Total annuity benefits expense	$	157		$	166		$	168		$	137		$	140		$	491		$	394

American Financial Group, Inc.

Net Spread on Fixed Annuities (GAAP)

($ in millions)


	Three Months Ended															Nine Months Ended
	09/30/14			06/30/14			03/31/14			12/31/13			09/30/13			09/30/14			09/30/13

Average fixed annuity investments (at amortized cost)	$	22,730		$	22,098		$	21,402		$	20,524		$	19,519		$	22,077		$	18,693
Average annuity benefits accumulated		22,475			21,829			21,066			20,092			19,035			21,790			18,231

Investments in excess of annuity benefits accumulated	$	255		$	269		$	336		$	432		$	484		$	287		$	462


As % of average annuity benefits accumulated (except as noted)
Net investment income (as % of investments)		5.01	%		5.18	%		5.10	%		5.21	%		5.27	%		5.09	%		5.40	%
Interest credited		(2.24	%)		(2.26	%)		(2.29	%)		(2.35	%)		(2.38	%)		(2.26	%)		(2.43	%)

Net interest spread on fixed annuities		2.77	%		2.92	%		2.81	%		2.86	%		2.89	%		2.83	%		2.97	%

Policy charges and other miscellaneous income		0.14	%		0.14	%		0.13	%		0.22	%		0.15	%		0.13	%		0.14	%
Other annuity benefit expenses, net		(0.33	%)		(0.33	%)		(0.27	%)		(0.31	%)		(0.38	%)		(0.30	%)		(0.39	%)
Acquisition expenses		(0.69	%)		(0.64	%)		(0.55	%)		(0.75	%)		(0.72	%)		(0.63	%)		(0.80	%)
Other expenses		(0.37	%)		(0.36	%)		(0.37	%)		(0.53	%)		(0.44	%)		(0.37	%)		(0.45	%)
Change in fair value of derivatives		(0.04	%)		(0.27	%)		(0.45	%)		0.22	%		0.00	%		(0.25	%)		0.11	%
Unlockings		0.00	%		0.00	%		0.00	%		(0.04	%)		0.00	%		0.00	%		0.00	%

Net spread earned on fixed annuities - core		1.48	%		1.46	%		1.30	%		1.67	%		1.50	%		1.41	%		1.58	%


Average annuity benefits accumulated	$	22,475		$	21,829		$	21,066		$	20,092		$	19,035		$	21,790		$	18,231
Net spread earned on fixed annuities		1.48	%		1.46	%		1.30	%		1.67	%		1.50	%		1.41	%		1.58	%

Earnings on fixed annuity benefits accumulated	$	83		$	80		$	68		$	84		$	72		$	231		$	216

Investments in excess of annuity benefits accumulated	$	255		$	269		$	336		$	432		$	484		$	287		$	462
Net investment income (as % of investments)		5.01	%		5.18	%		5.10	%		5.21	%		5.27	%		5.09	%		5.40	%

Earnings on investments in excess of annuity benefits accumulated	$	3		$	3		$	5		$	6		$	6		$	11		$	18

Variable annuity earnings		—			1			—			2			—			1			2

Earnings before income taxes - core	$	86		$	84		$	73		$	92		$	78		$	243		$	236


Detail of net spread earned on fixed annuities - core
Net spread earned core - before impact of fair value accounting		1.50	%		1.64	%		1.58	%		1.55	%		1.50	%		1.57	%		1.51	%
Impact of fair value accounting (a)		(0.02	%)		(0.18	%)		(0.28	%)		0.12	%		0.00	%		(0.16	%)		0.07	%

Net spread earned core - after impact of fair value accounting		1.48	%		1.46	%		1.30	%		1.67	%		1.50	%		1.41	%		1.58	%

(a)	Change in fair value of derivatives offset by the estimated related adjustments to amortization of deferred sales inducements and deferred policy acquisition costs.

American Financial Group

Annuity Premiums (Statutory)

($ in millions)


	Three Months Ended										Nine months ended
	09/30/14		06/30/14		03/31/14		12/31/13		09/30/13		09/30/14		09/30/13

Retail single premium annuities - indexed	$	339	$	403	$	386	$	565	$	509	$	1,128	$	1,314
Retail single premium annuities - fixed		18		25		39		53		48		82		112
Financial institutions single premium annuities - indexed		333		364		366		498		352		1,063		604
Financial institutions single premium annuities - fixed		62		95		114		201		198		271		427
Education market - 403(b) fixed and indexed annuities		46		49		50		51		49		145		156

Subtotal fixed annuity premiums		798		936		955		1,368		1,156		2,689		2,613

Variable annuities		11		13		12		13		11		36		39

Total annuity premiums	$	809	$	949	$	967	$	1,381	$	1,167	$	2,725	$	2,652

American Financial Group, Inc.

Fixed Annuity Benefits Accumulated (GAAP)

($ in millions)


	Three Months Ended															Nine Months Ended
	09/30/14			06/30/14			03/31/14			12/31/13			09/30/13			09/30/14			09/30/13

Beginning fixed annuity reserves	$	22,205		$	21,453		$	20,679		$	19,505		$	18,564		$	20,679		$	17,274
Premiums		798			936			955			1,368			1,156			2,689			2,613
Federal Home Loan Bank advances		—			—			—			—			—			—			200
Surrenders, benefits and other withdrawals		(426	)		(408	)		(375	)		(408	)		(381	)		(1,209	)		(1,085	)
Interest and other annuity benefit expenses:
Interest credited		126			123			121			118			113			370			333
Embedded derivative mark-to-market		21			78			54			74			33			153			110
Change in other benefit reserves		21			23			19			18			20			63			60
Unlockings		—			—			—			4			—			—			—

Ending fixed annuity reserves	$	22,745		$	22,205		$	21,453		$	20,679		$	19,505		$	22,745		$	19,505


Reconciliation to annuity benefits accumulated:
Ending fixed annuity reserves	$	22,745		$	22,205		$	21,453		$	20,679		$	19,505		$	22,745		$	19,505
Impact of unrealized investment gains on reserves		107			117			97			71			84			107			84
Fixed component of variable annuities		192			194			194			194			196			192			196

Annuity benefits accumulated per balance sheet	$	23,044		$	22,516		$	21,744		$	20,944		$	19,785		$	23,044		$	19,785


Annualized surrenders and other withdrawals as a % of beginning reserves		7.7	%		7.6	%		7.3	%		8.4	%		8.2	%		7.8	%		8.4	%

American Financial Group, Inc.

Consolidated Balance Sheet

($ in millions)


	09/30/14			06/30/14			03/31/14			12/31/13			09/30/13		06/30/13
Assets:
Total cash and investments	$	35,151		$	34,843		$	32,727		$	31,313		$	29,921	$	29,262
Recoverables from reinsurers		3,134			3,107			2,969			3,157			3,138		3,044
Prepaid reinsurance premiums		587			489			438			408			662		520
Agents’ balances and premiums receivable		901			902			735			739			801		754
Deferred policy acquisition costs		858			806			890			975			867		818
Assets of managed investment entities		2,946			2,799			2,723			2,888			2,779		2,973
Other receivables		1,140			527			524			854			1,078		422
Variable annuity assets (separate accounts)		649			681			666			665			629		608
Other assets		985			1,001			913			903			887		828
Goodwill		201			200			185			185			185		185

Total assets	$	46,552		$	45,355		$	42,770		$	42,087		$	40,947	$	39,414


Liabilities and Equity:
Unpaid losses and loss adjustment expenses	$	7,645		$	7,370		$	6,134		$	6,410		$	6,441	$	6,098
Unearned premiums		2,114			1,911			1,788			1,757			2,047		1,789
Annuity benefits accumulated		23,044			22,516			21,744			20,944			19,785		18,848
Life, accident and health reserves		2,098			2,082			2,039			2,008			2,011		2,017
Payable to reinsurers		673			445			400			508			601		367
Liabilities of managed investment entities		2,625			2,499			2,413			2,567			2,429		2,603
Long-term debt		1,062			912			913			913			913		949
Variable annuity liabilities (separate accounts)		649			681			666			665			629		608
Other liabilities		1,564			1,781			1,700			1,546			1,381		1,497

Total liabilities	$	41,474		$	40,197		$	37,797		$	37,318		$	36,237	$	34,776

Shareholders’ equity:
Common stock	$	88		$	90		$	90		$	90		$	89	$	89
Capital surplus		1,150			1,152			1,138			1,123			1,109		1,088
Appropriated retained earnings		2			31			49			49			45		33
Unappropriated retained earnings		2,946			2,913			2,842			2,777			2,729		2,664
Unrealized gains - fixed maturities		602			656			556			441			449		462
Unrealized gains - equities		124			149			129			121			119		138
Other comprehensive income, net of tax		(8	)		(6	)		(8	)		(2	)		2		(1	)

Total shareholders’ equity		4,904			4,985			4,796			4,599			4,542		4,473

Noncontrolling interests		174			173			177			170			168		165

Total liabilities and equity	$	46,552		$	45,355		$	42,770		$	42,087		$	40,947	$	39,414

American Financial Group, Inc.

Book Value Per Share and Price / Book Summary

(in millions, except per share information)


	09/30/14			06/30/14			03/31/14			12/31/13			09/30/13			06/30/13

Shareholders’ equity	$	4,904		$	4,985		$	4,796		$	4,599		$	4,542		$	4,473
Appropriated retained earnings		(2	)		(31	)		(49	)		(49	)		(45	)		(33	)

Shareholders’ equity, excluding appropriated retained earnings		4,902			4,954			4,747			4,550			4,497			4,440
Unrealized (gains) on fixed maturities		(602	)		(656	)		(556	)		(441	)		(449	)		(462	)

Adjusted shareholders’ equity		4,300			4,298			4,191			4,109			4,048			3,978
Goodwill		(201	)		(200	)		(185	)		(185	)		(185	)		(185	)
Intangibles		(63	)		(66	)		(27	)		(22	)		(26	)		(29	)

Tangible adjusted shareholders’ equity	$	4,036		$	4,032		$	3,979		$	3,902		$	3,837		$	3,764


Common shares outstanding		88.491			89.618			89.589			89.513			89.224			88.821

Book value per share:
Excluding appropriated retained earnings (a)	$	55.39		$	55.27		$	52.99		$	50.83		$	50.40		$	49.98
Adjusted (b)		48.59			47.95			46.79			45.90			45.36			44.78
Tangible, adjusted (c)		45.61			44.99			44.42			43.59			43.00			42.38

Market capitalization

AFG’s closing common share price	$	57.89		$	59.56		$	57.71		$	57.72		$	54.06		$	48.91

Market capitalization	$	5,123		$	5,338		$	5,170		$	5,167		$	4,823		$	4,344

Price / Adjusted book value ratio		1.19			1.24			1.23			1.26			1.19			1.09

(a)	Excludes appropriated retained earnings.

(b)	Excludes appropriated retained earnings and unrealized gains related to fixed maturity investments.

(c)	Excludes appropriated retained earnings, unrealized gains related to fixed maturity investments, goodwill and intangibles.

American Financial Group, Inc.

Capitalization

($ in millions)


	09/30/14			06/30/14			03/31/14			12/31/13			09/30/13			06/30/13

AFG senior obligations	$	840		$	840		$	840		$	840		$	840		$	840
Borrowings drawn under credit facility		—			—			—			—			—			—
Obligations of subsidiaries - other		12			12			12			12			12			27

Debt excluding subordinated debt & debt secured by real estate	$	852		$	852		$	852		$	852		$	852		$	867

AFG subordinated debentures		150			—			—			—			—			—
Obligations of subsidiaries - secured by real estate		60			60			61			61			61			62
Payable to subsidiary trusts - subordinated		—			—			—			—			—			20

Total Long-term debt	$	1,062		$	912		$	913		$	913		$	913		$	949

Shareholders’ equity		4,904			4,985			4,796			4,599			4,542			4,473
Noncontrolling interests		174			173			177			170			168			165
Less:
Appropriated retained earnings		(2	)		(31	)		(49	)		(49	)		(45	)		(33	)
Unrealized gains related to fixed maturity investments		(602	)		(656	)		(556	)		(441	)		(449	)		(462	)

Total adjusted capital	$	5,536		$	5,383		$	5,281		$	5,192		$	5,129		$	5,092


Less:
Obligations of subsidiaries - secured by real estate		(60	)		(60	)		(61	)		(61	)		(61	)		(62	)

Total adjusted capital excluding obligations secured by real estate	$	5,476		$	5,323		$	5,220		$	5,131		$	5,068		$	5,030


Ratio of debt to total adjusted capital:
Including subordinated debt & debt secured by real estate		19.2	%		16.9	%		17.3	%		17.6	%		17.8	%		18.6	%
Excluding subordinated debt & debt secured by real estate		15.6	%		16.0	%		16.3	%		16.6	%		16.8	%		17.2	%

American Financial Group, Inc.

Additional Supplemental Information

($ in millions)


	Three Months Ended										Nine months ended
	09/30/14		06/30/14		03/31/14		12/31/13		09/30/13		09/30/14		09/30/13
Property and Casualty Insurance

Paid Losses (GAAP)	$	528	$	530	$	510	$	577	$	417	$	1,568	$	1,294


	09/30/14		06/30/14		03/31/14		12/31/13		09/30/13		6/30/2013
Statutory Surplus

Property and Casualty Insurance	$	2,206	$	2,227	$	1,981	$	1,896	$	2,133	$	2,096

AFG’s principal annuity subsidiaries (total adjusted capital)	$	1,818	$	1,751	$	1,688	$	1,661	$	1,590	$	1,517

Allowable dividends without regulatory approval

Property and Casualty Insurance	$	335	$	335	$	335	$	335	$	237	$	237
Annuity and Run-off		275		275		275		275		158		158

Total	$	610	$	610	$	610	$	610	$	395	$	395

American Financial Group, Inc.

Total Cash and Investments and Quarterly Net Investment Income

September 30, 2014

($ in millions)


	Carrying Value
	Property and Casualty Insurance		Annuity and Run-off		Other		Consolidate CLOs			Total AFG Consolidated		% of Investment Portfolio
Total cash and investments:
Cash and cash equivalents	$	657	$	260	$	393	$	—		$	1,310		4	%
Fixed maturities - Available for sale		6,241		23,712		12		—			29,965		85	%
Fixed maturities - Trading		214		128		—		—			342		1	%
Equity securities		1,008		423		43		—			1,474		4	%
Policy loans		—		230		—		—			230		1	%
Mortgage loans		213		851		—		—			1,064		3	%
Real estate and other investments		351		723		10		(318	)		766		2	%

Total cash and investments	$	8,684	$	26,327	$	458	$	(318	)	$	35,151		100	%


	Property and Casualty Insurance			Annuity and Run-off			Other		Consolidate CLOs			Total AFG Consolidated
Total quarterly net investment income:
Fixed maturities - Available for sale	$	59		$	280		$	—	$	—		$	339
Fixed maturities - Trading		1			2			—		—			3
Equity securities		11			5			—		—			16
Equity in investees		1			1			—		—			2
Other investments		6			20			—		(6	)		20

Gross investment income		78			308			—		(6	)		380

Investment expenses		(2	)		(1	)		—		—			(3	)

Total net investment income	$	76		$	307		$	—	$	(6	)	$	377


	Equity Securities
	Cost		Fair Value		Unrealized Gain (Loss)

Annuity and Run-off	$	384	$	423	$	39
Property and Casualty Insurance		852		1,008		156
Other		43		43		—

Total AFG consolidated	$	1,279	$	1,474	$	195

American Financial Group, Inc.

Fixed Maturities - By Security Type - AFG Consolidated

September 30, 2014

($ in millions)


	Amortized Cost			Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Investment Portfolio
US Government and government agencies	$	392		$	397	$	5		1	%		1	%
States, municipalities and political subdivisions		6,132			6,399		267		21	%		18	%
Foreign government		334			343		9		1	%		1	%
Residential mortgage-backed securities		4,198			4,598		400		15	%		13	%
Commercial mortgage-backed securities		2,333			2,496		163		8	%		7	%
Asset-backed securities		3,604			3,621		17		12	%		10	%
Corporate bonds
Manufacturing		2,303			2,431		128		8	%		7	%
Banks, lending and credit institutions		2,516			2,637		121		9	%		8	%
Gas and electric services		1,308			1,430		122		5	%		4	%
Insurance and insurance related		839			901		62		3	%		3	%
Other corporate		4,792			5,054		262		17	%		14	%

Total AFG consolidated	$	28,751		$	30,307	$	1,556		100	%		86	%


Annuity and Run-off	$	22,496		$	23,840	$	1,344		79	%		68	%
Property and Casualty Insurance		6,254			6,455		201		21	%		18	%
Other		1			12		11		0	%		0	%

Total AFG consolidated	$	28,751		$	30,307	$	1,556		100	%		86	%


Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		4.87	%
Net of investment expense (a)		4.84	%

Approximate average life and duration:
Approximate average life		6.5 years
Approximate duration		5 years

(a)	Annualized yield is calculated by dividing investment income for the quarter by the average cost over the quarter. Average cost is the average of the beginning and ending quarter asset balances.

American Financial Group, Inc.

Fixed Maturities - By Security Type Portfolio

September 30, 2014

($ in millions)


	Amortized Cost			Fair Value		Unrealized Gain (Loss)			% of Fair Value
Annuity and Run-off:
US Government and government agencies	$	90		$	91	$	1			0	%
States, municipalities and political subdivisions		3,574			3,747		173			17	%
Foreign government		17			19		2			0	%
Residential mortgage-backed securities		3,234			3,567		333			15	%
Commercial mortgage-backed securities		2,088			2,241		153			9	%
Asset-backed securities		2,638			2,656		18			11	%
Corporate debt		10,855			11,519		664			48	%

Total Annuity and Run-off	$	22,496		$	23,840	$	1,344			100	%


Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		5.09	%
Net of investment expense (a)		5.07	%

Approximate average life and duration:
Approximate average life		7 years
Approximate duration		5 years

	Amortized Cost			Fair Value		Unrealized Gain (Loss)			% of Fair Value
Property and Casualty Insurance:
US Government and government agencies	$	302		$	306	$	4			5	%
States, municipalities and political subdivisions		2,558			2,652		94			41	%
Foreign government		317			324		7			5	%
Residential mortgage-backed securities		963			1,019		56			16	%
Commercial mortgage-backed securities		245			255		10			4	%
Asset-backed securities		966			965		(1	)		15	%
Corporate debt		903			934		31			14	%

Property and Casualty Insurance	$	6,254		$	6,455	$	201			100	%


Annualized yield on available for sale fixed maturities:
Excluding investment expense (a)		4.05	%
Net of investment expense (a)		3.95	%
Tax equivalent, net of investment expense (b)		4.61	%

Approximate average life and duration:
Approximate average life		4.5 years
Approximate duration		3.5 years

(a)	Annualized yield is calculated by dividing investment income for the quarter by the average cost over the quarter. Average cost is the average of the beginning and ending quarter asset balances.

(b)	Adjusts the yield on tax-exempt bonds to the fully taxable equivalent yield.

American Financial Group, Inc.

Fixed Maturities - Credit Rating and NAIC Designation

September 30, 2014

($ in millions)


	GAAP Data
By Credit Rating	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value
Investment grade
AAA	$	6,542	$	6,766	$	224		22	%
AA		5,857		6,081		224		20	%
A		7,443		7,847		404		26	%
BBB		5,153		5,480		327		18	%

Subtotal - Investment grade		24,995		26,174		1,179		86	%

BB		751		787		36		3	%
B		460		477		17		2	%
Other		2,545		2,869		324		9	%

Total	$	28,751	$	30,307	$	1,556		100	%

If two agencies rate a security, the rating displayed above is the lower of the two; if three or more agencies rate a security, the rating displayed is the second lowest.


	Statutory Data
By NAIC Designation	Carrying Value		% of Carrying Value			Amortized Cost		Fair Value		Unrealized Gain (Loss)
NAIC 1	$	22,332		79	%	$	22,333	$	23,561	$	1,228
NAIC 2		5,236		18	%		5,236		5,558		322

		27,568		97	%		27,569		29,119		1,550

NAIC 3		540		2	%		540		562		22
NAIC 4		220		1	%		220		231		11
NAIC 5		33		0	%		33		40		7
NAIC 6		56		0	%		60		79		19

Total	$	28,417		100	%	$	28,422	$	30,031	$	1,609

American Financial Group, Inc.

Mortgage-Backed Securities - AFG Consolidated

September 30, 2014

($ in millions)


By Asset Type	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Investment Portfolio
Residential
Agency	$	326	$	334	$	8		5	%		1	%
Prime (Non-Agency)		2,000		2,215		215		31	%		6	%
Alt-A		972		1,081		109		15	%		3	%
Subprime		900		968		68		14	%		3	%

Subtotal - Residential		4,198		4,598		400		65	%		13	%
Commercial		2,333		2,496		163		35	%		7	%

Total AFG consolidated	$	6,531	$	7,094	$	563		100	%		20	%


Annuity and Run-off	$	5,322	$	5,808	$	486		82	%		16	%
Property and Casualty Insurance		1,208		1,274		66		18	%		4	%
Other		1		12		11		0	%		0	%

Total AFG consolidated	$	6,531	$	7,094	$	563		100	%		20	%

•

Substantially all of AFG’s MBS securities are either senior tranches of securitizations or collateralized by senior tranches of securitizations.

•

The average amortized cost as a percent of par is - Prime 84%; Alt-A 78%; Subprime 86%; CMBS 99%.

•

The average FICO score of our residential MBS securities is - Prime 740; Alt-A 712; Subprime 639.

•

99.7% of our Commercial MBS portfolio is investment-grade rated (85% AAA) and the average subordination for this group assets is 39%.

•

The approximate average life by collateral type is - Residential 5 years; Commercial 4 years.

American Financial Group, Inc.

Mortgage-Backed Securities Portfolio

September 30, 2014

($ in millions)


Annuity and Run-off: By Asset Type	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Investment Portfolio
Residential
Agency	$	133	$	139	$	6		2	%		1	%
Prime (Non-Agency)		1,772		1,959		187		34	%		7	%
Alt-A		724		812		88		14	%		3	%
Subprime		605		657		52		11	%		2	%

Subtotal - Residential		3,234		3,567		333		61	%		13	%
Commercial		2,088		2,241		153		39	%		9	%

Total Annuity and Run-off	$	5,322	$	5,808	$	486		100	%		22	%


Property and Casualty Insurance: By Asset Type	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value			% of Investment Portfolio
Residential
Agency	$	193	$	195	$	2		15	%		2	%
Prime (Non-Agency)		227		244		17		19	%		3	%
Alt-A		248		269		21		21	%		3	%
Subprime		295		311		16		25	%		4	%

Subtotal - Residential		963		1,019		56		80	%		12	%
Commercial		245		255		10		20	%		3	%

Total Property and Casualty Insurance	$	1,208	$	1,274	$	66		100	%		15	%

American Financial Group, Inc.

Mortgage-Backed Securities - Credit Rating and NAIC Designation

September 30, 2014

($ in millions)


	GAAP data
By Credit Rating	Amortized Cost		Fair Value		Unrealized Gain (Loss)		% of Fair Value
Investment grade
AAA	$	2,840	$	3,004	$	164		42	%
AA		345		363		18		5	%
A		510		539		29		8	%
BBB		228		248		20		3	%

Subtotal - investment grade		3,923		4,154		231		58	%

BB		337		350		13		5	%
B		396		411		15		6	%
Other		1,875		2,179		304		31	%

Total	$	6,531	$	7,094	$	563		100	%

If two agencies rate a security, the rating displayed above is the lower of the two; if three or more agencies rate a security, the rating displayed is the second lowest.


	Statutory data
By NAIC Designation	Carrying Value		% of Carrying Value			Amortized Cost		Fair Value		Unrealized Gain (Loss)
NAIC 1	$	6,140		95	%	$	6,141	$	6,755	$	614
NAIC 2		122		2	%		122		124		2

		6,262		97	%		6,263		6,879		616

NAIC 3		44		1	%		44		47		3
NAIC 4		106		2	%		106		114		8
NAIC 5		4		0	%		4		11		7
NAIC 6		25		0	%		26		42		16

Total	$	6,441		100	%	$	6,443	$	7,093	$	650