AFG is the investment manager and it has investments ranging from 5.4% to 100% of the most subordinate debt tranche of thirteen active CLOs, which are considered variable interest entities. AFG also owns portions of the senior debt tranches of certain of these CLOs. Upon formation, these entities issued securities in various senior and subordinate classes and invested the proceeds primarily in secured bank loans, which serve as collateral for the debt securities issued by each CLO. None of the collateral was purchased from AFG. AFG’s investments in the subordinate debt tranches of these entities receive residual income from the CLOs only after the CLOs pay expenses (including management fees to AFG) and interest on and returns of capital to senior levels of debt securities. There are no contractual requirements for AFG to provide additional funding for these entities. AFG has not provided and does not intend to provide any financial support to these entities.

AFG’s maximum exposure to economic loss on the CLOs that it manages is limited to its investment in those CLOs, which had an aggregate fair value of $148 million (including $101 million invested in the most subordinate tranches and $30 million invested in temporary warehousing entities) at June 30, 2025.

In February 2025, AFG formed one new CLO, which issued $406 million face amount of liabilities (including $40 million face amount purchased by AFG). In the first six months of 2024, AFG formed two new CLOs, which issued $813 million face amount of liabilities (including $73 million face amount purchased by AFG). In the first six months of 2025, one CLO was substantially liquidated in accordance with the CLO indenture.

The following table shows a progression of the fair value of AFG's investment in CLO tranches and temporary warehousing entities (in millions):


	Three months ended June 30,				Six months ended June 30,
	2025		2024		2025		2024
Balance at beginning of period	$	122	$	201	$	175	$	177
Purchases	40		45		75		84
Sales	(9)		(81)		(88)		(100)
Distributions	(7)		(15)		(18)		(25)
CLO earnings attributable to AFG	2		9		4		23
Balance at end of period	$	148	$	159	$	148	$	159

The revenues and expenses of the CLOs are separately identified in AFG’s Statement of Earnings, after the elimination of management fees and earnings attributable to AFG as measured by the change in the fair value of AFG’s investments in the CLOs. Selected financial information related to the CLOs is shown below (in millions):


	Three months ended June 30,				Six months ended June 30,
	2025		2024		2025		2024
Gains (losses) on change in fair value of assets/liabilities (*):
Assets	$	12	$	(15)	$	(45)	$	(3)
Liabilities	(16)		19		38		17
Management fees paid to AFG	2		3		5		6
CLO earnings attributable to AFG	2		9		4		23

The aggregate unpaid principal balance of the CLOs’ fixed maturity investments exceeded the fair value of the investments by $73 million and $66 million at June 30, 2025 and December 31, 2024, respectively. The aggregate unpaid principal balance of the CLOs’ debt exceeded its carrying value by $198 million and $172 million at those dates, respectively. At June 30, 2025, the CLOs assets did not include any loans in default for which the CLOs are not accruing interest compared to an aggregate fair value of $3 million of loans in default (with an aggregate unpaid principal balance of $5 million) at December 31, 2024.

In addition to the CLOs that it manages, AFG had investments in CLOs that are managed by third parties (therefore not consolidated), which are included in available for sale fixed maturity securities and had a fair value of $1.09 billion at June 30, 2025 and $1.24 billion December 31, 2024.