v3.25.4
Derivatives
 12 Months Ended
Dec. 31, 2025
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivatives DERIVATIVES
The Company’s earnings, cash flows, and financial position are subject to fluctuations due to changes in prevailing interest rates.
The Company entered into derivative agreements with maturity dates throughout 2025. Derivative instruments are carried at fair value on the Consolidated Balance Sheets. Derivative instruments in a gain position are presented within Other Investments and those in a loss position are included in Accrued Expenses and Other Liabilities. Changes in the fair values of derivatives which do not qualify for hedge accounting treatment are recorded on the Consolidated Statements of Income (Loss) within Net Realized Investment Gains (Losses). Changes in the fair values of derivatives which qualify for hedge accounting treatment are recorded within Accumulated Other Comprehensive Loss along with the corresponding change in the designated hedge assets.
Interest Rate Risk
The Company’s debt securities valuations utilize the Treasury designated benchmark rate, exposing the Company to variability due to changes in interest rates.
NOTE 12. DERIVATIVES (Continued).
Ultra-Long Treasury Futures
Prior to fourth quarter 2025, the Company entered into exchange-traded ultra-long Treasury futures (“Treasury Futures”) in order to manage exposure to upcoming changes in the benchmark (Treasury) interest rate of forecasted transactions. These derivatives expired quarterly and qualified for hedge accounting as a cash flow hedge. The Company utilized a rollover hedging strategy that involved continuously establishing short-term derivatives in consecutive contract months to hedge the underlying risk exposure. Under this strategy, the complete set of derivatives were not acquired at hedge inception; rather, short-term derivatives were acquired throughout the hedging period such that maturing derivatives were replaced with new short-term derivatives. As of December 31, 2025, the Company held no derivatives.

Primary Risks Managed by Derivatives
The following table presents the Company’s Ultra-Long Treasury Futures derivatives, primary underlying risk exposure, gross notional amount, and estimated fair value of these derivatives:
Dec 31, 2025Dec 31, 2024
(Dollars in Millions)Estimated Fair ValueEstimated Fair Value
Derivative InstrumentPrimary Underlying Risk ExposureGross Notional AmountAssetsLiabilitiesGross Notional AmountAssetsLiabilities
Derivatives Designated as Hedging Instruments:
Treasury FuturesInterest Rate Risk$— $— $— $75.0 $— $(3.7)
The below table reflects the amounts of Gains (Losses) deferred into AOCI before taxes, net changes in amounts in AOCI associated with current hedging transactions, and amounts subsequently reclassified into Net Income (Loss) through Net Investment Income for Ultra-Long Treasury Futures qualifying as cash flow hedges for the years ended December 31, 2025 and 2024:
Year Ended
(Dollars in Millions)Dec 31, 2025Dec 31, 2024
Beginning of Year$(6.3)$— 
Gains (Losses) Deferred in AOCI(2.2)(4.4)
Net Change in AOCI with Current Period Hedging Transaction3.7 (3.7)
Gains (Losses) Reclassified into Income0.3 1.8 
Net Comprehensive Gains (Losses) from Cash Flow Hedges$(4.5)$(6.3)
Treasury Locks
During the fourth quarter of 2016 and the first quarter of 2022, in anticipation of debt issuances shortly thereafter and for risk management purposes, the Company entered into derivative transactions (the “2016 Treasury Lock” and “2022 Treasury Lock,” together the “Treasury Locks”) to hedge the risk of changes in the debt cash flows attributable to changes in the benchmark U.S. Treasury interest rate during the period leading up to the debt issuance.
The Treasury Locks have no remaining gross notional amount or fair value as the hedging relationships have been previously discontinued with the issuance of the associated debt (Senior Notes due February 15, 2025 for the 2016 Treasury Lock and Senior Notes due February 23, 2032 for the 2022 Treasury Lock). The effective portion of the gain (loss) before taxes on the derivative instruments upon discontinuance was a $4.5 million loss for the 2016 Treasury Lock and a $5.9 million gain on the 2022 Treasury Lock. The gain or loss upon discontinuance is reported as a component of Accumulated Other Comprehensive Loss. Beginning with the issuance of the associated debt, such gain or loss is amortized into earnings and reported in Interest Expense in the same periods that the hedged items affect earnings.
During the first quarter of 2025, in conjunction with the redemption of the Senior Notes due February 15, 2025, the Company amortized the remaining $0.1 million of pre-tax derivative loss on the 2016 Treasury Lock into earnings. Amortization of the
NOTE 12. DERIVATIVES (Continued).
pre-tax derivative loss on the 2016 Treasury Lock was $1.5 million and $0.5 million for the years ended December 31, 2024 and 2023, respectively.
Amortization of the pre-tax derivative gain on the 2022 Treasury Lock was $0.6 million for the years ended December 31, 2025, 2024 and 2023, respectively. As of December 31, 2025, the remaining amount of pre-tax derivative gain on the 2022 Treasury Lock within AOCI to be amortized into earnings was $3.6 million.