- Form 13F Holdings Report (13F-HR)

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM 13F

FORM 13F COVER PAGE

Report for the Quarter Ended September 30, 2011

AMERICAN FINANCIAL GROUP, INC.
One East Fourth Street, Cincinnati, Ohio 45202

(Name and Address of Institutional Investment Manager Filing this Report)

Form 13F File Number: 28-4389

The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this form.

Robert H. Ruffing Vice President and Controller (513) 579-2144
(Name, Title and Phone Number of Person Signing this Report on Behalf of Reporting Manager)

Signature:

/s/Robert H. Ruffing Cincinnati, Ohio November 14, 2011
-------------------------------
Robert H. Ruffing
Vice President and Controller

Report Type:
[X] 13F HOLDINGS REPORT.
[ ] 13F NOTICE.
[ ] 13F COMBINATION REPORT.

FORM 13F SUMMARY PAGE

Number of Other Included Managers: 1
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Form 13F Information Table Entry Total: 151
 -----------

Form 13F Information Table Value Total (thousands): $864,102
 -----------

Name and 13F file numbers of all Institutional Investment Managers with respect to which this schedule is filed (other than American Financial Group, Inc.):

Number 13F File Number Name of Subsidiary
------ --------------- ------------------------------------

 1. 28-498 Great American Insurance Company

 FORM 13F INFORMATION TABLE


 Column 4: Column 5: Column 8:
 Column 2: Market Shares or Column 6: Column 7: Voting Authority
 Column 1: Title of Column 3: Value Principal Investment Other ---------------------------
 Name of Issuer Class CUSIP (000's) Amount Discretion Managers Sole Shared None
 -------------- ---------------- ----------- --------- ------------ ---------- -------- ---------- ------ ---------


HOLDINGS OF GREAT AMERICAN INSURANCE COMPANY
--------------------------------------------
ABBOTT LABS COM 002824 10 0 4,858 95,000SH Defined 1 95,000
AIR PRODS & CHEMS INC COM 009158 10 6 10,507 137,584SH Defined " 137,584
AMERICAN RAILCAR INDS INC COM 02916P 10 3 1,046 68,000SH Defined " 68,000
ANWORTH MORTGAGE ASSET CP COM 037347 10 1 850 125,000SH Defined " 125,000
ARCH COAL INC COM 039380 10 0 7,582 520,000SH Defined " 520,000
BANK OF AMERICA CORPORATION COM 060505 10 4 3,722 608,120SH Defined " 608,120
CALAMP CORP COM 128126 10 9 449 139,750SH Defined " 139,750
CAMPBELL SOUP CO COM 134429 10 9 3,237 100,000SH Defined " 100,000
CAPITOL FED FINL INC COM 14057J 10 1 380 36,000SH Defined " 36,000
CHEVRON CORP NEW COM 166764 10 0 11,694 126,300SH Defined " 126,300
CITIGROUP INC COM NEW 172967 42 4 10,886 425,000SH Defined " 425,000
COMCAST CORP NEW CL A 20030N 10 1 8,441 403,500SH Defined " 403,500
COMPUTER SCIENCES CORP COM 205363 10 4 4,565 170,000SH Defined " 170,000
CUMULUS MEDIA INC CL A 231082 10 8 50 17,777SH Defined " 17,777
DELTA AIR LINES INC DEL COM NEW 247361 70 2 309 41,216SH Defined " 41,216
DISH NETWORK CORP CL A 25470M 10 9 944 37,675SH Defined " 37,675
ECHOSTAR CORP CL A 278768 10 6 560 24,786SH Defined " 24,786
ELLINGTON FINANCIAL LLC COM 288522 30 3 5,154 300,000SH Defined " 300,000
EMERSON ELEC CO COM 291011 10 4 9,088 220,000SH Defined " 220,000
FIRST FINL BANCORP OH COM 320209 10 9 3,036 220,000SH Defined " 220,000
FLAGSTAR BANCORP INC COM NEW 337930 50 7 8 16,500SH Defined " 16,500
FULL HOUSE RESORTS INC COM 359678 10 9 97 35,331SH Defined " 35,331
GENERAL ELECTRIC CO COM 369604 10 3 10,274 675,000SH Defined " 675,000
HCA HOLDINGS INC COM 40412C 10 1 5,846 290,000SH Defined " 290,000
HEINZ H J CO COM 423074 10 3 10,487 207,750SH Defined " 207,750
HEWLETT PACKARD CO COM 428236 10 3 10,956 488,000SH Defined " 488,000
INSTEEL INDUSTRIES INC COM 45774W 10 8 248 24,609SH Defined " 24,609
INTEL CORP COM 458140 10 0 11,286 529,000SH Defined " 529,000
INTERNATIONAL BUSINESS MACHS COM 459200 10 1 13,246 75,750SH Defined " 75,750
JPMORGAN CHASE & CO COM 46625H 10 0 10,241 340,000SH Defined " 340,000
JOHNSON & JOHNSON COM 478160 10 4 15,349 241,000SH Defined " 241,000
KELLOGG CO COM 487836 10 8 11,641 218,850SH Defined " 218,850
KIMBERLY CLARK CORP COM 494368 10 3 14,202 200,000SH Defined " 200,000
KOHLS CORP COM 500255 10 4 11,293 230,000SH Defined " 230,000
KRAFT FOODS INC CL A 50075N 10 4 15,892 473,250SH Defined " 473,250
LEUCADIA NATL CORP COM 527288 10 4 173 7,633SH Defined " 7,633
LINCOLN NATL CORP IND COM 534187 10 9 782 50,000SH Defined " 50,000
LOCKHEED MARTIN CORP COM 539830 10 9 5,484 75,500SH Defined " 75,500
LOWES COS INC COM 548661 10 7 4,545 235,000SH Defined " 235,000
MYR GROUP INC DEL COM 55405W 10 4 6,785 384,615SH Defined " 384,615
MCDONALDS CORP COM 580135 10 1 14,446 164,500SH Defined " 164,500
MCGRAW HILL COS INC COM 580645 10 9 4,920 120,000SH Defined " 120,000
MEDTRONIC INC COM 585055 10 6 3,989 120,000SH Defined " 120,000
MERCK & CO INC NEW COM 58933Y 10 5 8,208 251,000SH Defined " 251,000
METLIFE INC COM 59156R 10 8 3,571 127,500SH Defined " 127,500
MICROSOFT CORP COM 594918 10 4 15,967 641,500SH Defined " 641,500
MOTRICITY INC COM 620107 10 2 96 56,525SH Defined " 56,525
NATIONAL INTERSTATE CORP COM 63654U 10 0 224,196 10,200,000SH Defined " 10,200,000
NEW YORK CMNTY BANCORP INC COM 649445 10 3 4,165 350,000SH Defined " 350,000
O'CHARLEYS INC COM 670823 10 3 175 29,500SH Defined " 29,500
OMEROS CORP COM 682143 10 2 413 102,040SH Defined " 102,040
PATTERSON UTI ENERGY INC COM 703481 10 1 694 40,000SH Defined " 40,000
PEOPLES UNITED FINANCIAL INC COM 712704 10 5 9,462 830,000SH Defined " 830,000
PEPSICO INC COM 713448 10 8 13,312 215,050SH Defined " 215,050
PFIZER INC COM 717081 10 3 7,390 418,000SH Defined " 418,000
PROCTER & GAMBLE CO COM 742718 10 9 8,213 130,000SH Defined " 130,000
PRUDENTIAL FINL INC COM 744320 10 2 1,640 35,000SH Defined " 35,000
RAYTHEON CO COM NEW 755111 50 7 3,086 75,500SH Defined " 75,500
STAPLES INC COM 855030 10 2 1,995 150,000SH Defined " 150,000
TARGET CORP COM 87612E 10 6 13,731 280,000SH Defined " 280,000
3M CO COM 88579Y 10 1 11,594 161,500SH Defined " 161,500
TIME WARNER INC COM NEW 887317 30 3 5,656 188,716SH Defined " 188,716
TORTOISE ENERGY CAP CORP COM 89147U 10 0 604 25,800SH Defined " 25,800
VERISK ANALYTICS INC CL A 92345Y 10 6 45,066 1,296,115SH Defined " 1,296,115
VIRGIN MEDIA INC COM 92769L 10 1 17,966 737,807SH Defined " 737,807
WAL MART STORES INC COM 931142 10 3 9,861 190,000SH Defined " 190,000
WASTE MGMT INC DEL COM 94106L 10 9 14,974 459,900SH Defined " 459,900
WALGREEN CO COM 931422 10 9 8,107 246,500SH Defined " 246,500
WELLS FARGO & CO NEW COM 949746 10 1 8,201 340,000SH Defined " 340,000

HOLDINGS OF OTHER ENTITIES
EACH HAVING LESS THAN
$100 MILLION IN 13F SECURITIES
------------------------------
ACE LTD SHS H0023R 10 5 3,818 63,000SH Sole 63,000
ABBOTT LABS COM 002824 10 0 465 9,100SH Defined 1 9,100
ACTUATE CORP COM 00508B 10 2 90 16,313SH Defined " 16,313
AIR PRODS & CHEMS INC COM 009158 10 6 4,200 55,000SH Defined 55,000
AMERICAN RAILCAR INDS INC COM 02916P 10 3 1,039 67,581SH Defined 67,581
ANNALY CAP MGMT INC COM 035710 40 9 1,330 80,000SH Defined 80,000
ANWORTH MORTGAGE ASSET CP COM 037347 10 1 850 125,000SH Defined 125,000
AT&T INC COM 00206R 10 2 585 20,500SH Defined 1 20,500
BANK OF AMERICA CORPORATION COM 060505 10 4 2,745 448,480SH Defined " 448,480
BERKLEY W R CORP COM 084423 10 2 3,474 117,000SH Sole 117,000
BLDRS INDEX FDS TR EMER MK 50 ADR 09348R 30 0 1,382 38,308SH Defined 1 38,308
BRISTOL MYERS SQUIBB CO COM 110122 10 8 628 20,000SH Defined " 20,000
CALAMP CORP COM 128126 10 9 452 140,750SH Defined 140,750
CAMPBELL SOUP CO COM 134429 10 9 388 12,000SH Defined 1 12,000
CARDINAL FINL CORP COM 14149F 10 9 89 10,296SH Defined " 10,296
CENTRAL EUROPEAN DIST CORP COM 153435 10 2 94 13,479SH Defined " 13,479
CHUBB CORP COM 171232 10 1 4,259 71,000SH Sole 71,000
CITIGROUP INC COM NEW 172967 42 4 5,379 210,000SH Defined 210,000
COMCAST CORP NEW CL A 20030N 10 1 7,740 370,000SH Defined 370,000
CONOCOPHILLIPS COM 20825C 10 4 443 7,000SH Defined 7,000
CUMULUS MEDIA INC CL A 231082 10 8 88 31,032SH Defined 31,032
DELTA AIR LINES INC DEL COM NEW 247361 70 2 299 39,832SH Defined 1 39,832
DEX ONE CORP COM 25212W 10 0 6 10,772SH Defined 10,772
DISH NETWORK CORP CL A 25470M 10 9 1,416 56,512SH Defined 56,512
EATON VANCE TAX MNG GBL DV E COM 27829F 10 8 320 40,000SH Defined 1 40,000
ECHOSTAR CORP CL A 278768 10 6 841 37,179SH Defined 37,179
ENTERPRISE PRODS PARTNERS L COM 293792 10 7 4,709 117,276SH Defined 117,276
ELLINGTON FINANCIAL LLC COM 288522 30 3 11,609 675,753SH Defined 675,753
FIRST FINL BANCORP OH COM 320209 10 9 66 4,784SH Defined 1 4,784
FLAGSTAR BANCORP INC COM NEW 337930 50 7 8 16,500SH Defined 16,500
FULL HOUSE RESORTS INC COM 359678 10 9 87 31,617SH Defined 31,617
GENERAL ELECTRIC CO COM 369604 10 3 7,762 510,000SH Defined 1 510,000
GENERAL MLS INC COM 370334 10 4 577 15,000SH Defined " 15,000
HEWLETT PACKARD CO COM 428236 10 3 2,739 122,000SH Defined 122,000
INDEXIQ ETF TR IQ GLB RES ETF 45409B 88 3 755 27,906SH Defined 1 27,906
INSTEEL INDUSTRIES INC COM 45774W 10 8 224 22,216SH Defined 22,216
INTEL CORP COM 458140 10 0 533 25,000SH Defined 1 25,000
ISHARES TR MSCI EAFE INDEX 464287 46 5 1,772 37,094SH Defined " 37,094
ISHARES TR s&P MIDSAP 400 462487 50 7 804 10,312SH Defined " 10,312
JOHNSON & JOHNSON COM 478160 10 4 427 6,700SH Defined " 6,700
JPMORGAN CHASE & CO COM 46625H 10 0 2,711 90,000SH Defined 90,000
KEYCORP NEW COM 493267 10 8 310 52,222SH Defined 1 52,222
KIMBERLY CLARK CORP COM 494368 10 3 579 8,150SH Defined " 8,150
KRATOS DEFENSE & SEC SOLUTIO COM NEW 50077B 20 7 90 13,419SH Defined " 13,419
LEAPFROG ENTERPRISES INC CL A 52186N 10 6 75 22,209SH Defined " 22,209
LEGGETT & PLATT INC COM 524660 10 7 564 28,500SH Defined " 28,500
LEUCADIA NATL CORP COM 527288 10 4 201 8,841SH Defined " 8,841
LILLY ELI & CO COM 532457 10 8 592 16,000SH Defined " 16,000
LINCOLN NATL CORP IND COM 534187 10 9 2,657 170,000SH Defined 170,000
LOCKHEED MARTIN CORP COM 539830 10 9 588 8,100SH Defined 1 8,100
LTX-CREDENCE CORP COM NEW 502403 20 7 91 17,169SH Defined " 17,169
MANAGED HIGH YIELD PLUS FD I COM 561911 10 8 19 10,000SH Defined " 10,000
MARATHON OIL CORP COM 565849 10 6 5,827 270,000SH Defined 270,000
MEADOWBROOK INS GROUP INC COM 58319P 10 8 114 12,741SH Defined 1 12,741
MERCK & CO INC NEW COM 58933Y 10 5 654 20,000SH Defined 20,000
METLIFE INC COM 59156R 10 8 8,058 287,700SH Defined 287,700
MOTRICITY INC COM 620107 10 2 143 84,787SH Defined 84,787
O CHARLEYS INC COM 670823 10 3 265 44,654SH Defined 44,654
OMEROS CORP COM 682143 10 2 620 153,061SH Defined 153,061
ORACLE CORP COM 68389X 10 5 4,167 145,000SH Defined 145,000
PATTERSON UTI ENERGY INC COM 703481 10 1 694 40,000SH Defined 40,000
PFIZER INC COM 717081 10 3 354 20,000SH Defined 20,000
PLAINS ALL AMERN PIPELINE L UNIT LTD PARTN 726503 10 5 9,722 165,000SH Defined 165,000
POWERSHARES ETF TRUST DYNAMIC MKT PT 73935X 10 4 932 25,305SH Defined 1 25,305
POWERSHARES ETF TRUST HI YLD EQ DVDN 73935X 30 2 219 26,728SH Defined " 26,728
PROCTER & GAMBLE CO COM 742718 10 9 593 9,391SH Defined " 9,391
PRUDENTIAL FINL INC COM 744320 10 2 3,749 80,000SH Defined 80,000
RAYTHEON CO COM NEW 755111 50 7 495 12,100SH Defined 1 12,100
REDWOOD TR INC COM 758075 40 2 2,234 200,000SH Defined 200,000
REVENUESHARES EFT TR SMALL CAP FD 761396 30 8 569 20,932SH Defined 1 20,932
SPDR S&P 500 ETF TR TR UNIT 78462F 10 3 2,687 23,749SH Defined " 23,749
SELECT SECTOR SPDR TR SBI MATERIALS 81369Y 10 0 224 7,628SH Defined " 7,628
SELECT SECTOR SPDR TR SBI CONS STPLS 81369Y 30 8 298 10,052SH Defined " 10,052
SYSCO CORP COM 871829 10 7 492 19,000SH Defined " 19,000
TARGET CORP COM 87612E 10 6 1,471 30,000SH Defined 30,000
TELECOMMUNICATION SYS INC CL A 87929J 10 3 68 19,736SH Defined 1 19,736
THOMSON REUTERS CORP COM 884903 10 5 324 12,000SH Defined " 12,000
TORTOISE ENERGY CAP CORP COM 89147U 10 0 2,010 85,900SH Defined 85,900
VANGUARD INDEX FDS REIT EFT 922908 55 3 993 19,524SH Defined 1 19,524
VIRGIN MEDIA INC COM 92769L 10 1 24,372 1,000,888SH Defined 1,000,888
WAL MART STORES INC COM 931142 10 3 519 10,000SH Defined 10,000
WISCONSIN ENERGY CORP COM 976657 10 6 375 12,000SH Defined 1 12,000


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 REPORT TOTAL $864,102
 ==========

American Financial (NYSE:AFG)
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