Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2026

Derivative Financial Instruments

Derivative Financial Instruments, Exposure (Table)


		June 30, 2026			December 31, 2025

		(in millions)
Notional amounts of derivative instruments
Interest rate contracts:
Interest rate swaps		$	63,019.9		$	60,267.1
Interest rate options			4,528.0			3,578.0
Interest rate futures			2,504.7			1,994.7
Interest rate forwards			1,837.0			1,687.0
Foreign exchange contracts:
Currency swaps			4,205.4			3,538.7
Currency forwards			1,177.4			914.6
Equity contracts:
Equity options			8,523.5			7,449.3
Equity futures			2,135.5			1,699.1
Equity total return swaps			829.9			499.6
Credit contracts:
Credit default swaps			611.9			531.0
Credit total return swaps			500.0			500.0
Other contracts:
Embedded derivatives			24,534.9			24,650.7
Total notional amounts at end of period		$	114,408.1		$	107,309.8

Credit exposure of derivative instruments
Interest rate contracts:
Interest rate options		$	11.2		$	4.0
Interest rate swaps			7.9			13.2
Interest rate forwards			2.6			1.1
Foreign exchange contracts:
Currency swaps			233.1			190.0
Currency forwards			29.2			30.0
Equity contracts:
Equity options			1,441.1			971.5
Total return swaps			6.4			—
Credit contracts:
Total return swaps			26.3			18.8
Credit default swaps			2.6			3.4
Total gross credit exposure			1,760.4			1,232.0
Less: collateral received			1,441.1			923.7
Net credit exposure		$	319.3		$	308.3

Derivative Financial Instruments, Fair Value Disclosures (Table)


		Derivative assets (1)						Derivative liabilities (2)
		June 30, 2026			December 31, 2025			June 30, 2026			December 31, 2025

		(in millions)
Derivatives designated as hedging instruments
Interest rate contracts		$	—		$	—		$	74.3		$	69.8
Foreign exchange contracts			182.9			144.6			110.3			138.8
Total derivatives designated as hedging instruments		$	182.9		$	144.6		$	184.6		$	208.6

Derivatives not designated as hedging instruments
Interest rate contracts		$	20.5		$	16.9		$	136.0		$	136.0
Foreign exchange contracts			73.1			70.3			10.7			9.4
Equity contracts			1,447.0			971.5			185.8			191.6
Credit contracts			27.8			21.2			9.4			6.4
Other contracts			—			—			(563.9)			(1,223.2)
Total derivatives not designated as hedging instruments			1,568.4			1,079.9			(222.0)			(879.8)

Total derivative instruments		$	1,751.3		$	1,224.5		$	(37.4)		$	(671.2)

(1)	The fair value of derivative assets is reported with other investments on the consolidated statements of financial position.

(2)

The fair value of derivative liabilities is reported with other liabilities on the consolidated statements of financial position, with the exception of certain embedded derivative liabilities. Embedded derivatives with a net liability fair value of $2,142.5 million and $1,410.2 million as of June 30, 2026 and December 31, 2025, respectively, are reported with contractholder funds on the consolidated statements of financial position. Embedded derivatives with a net (asset) liability fair value of $(2,706.4) million and $(2,633.4) million as of June 30, 2026 and December 31, 2025, respectively, are reported with funds withheld payable on the consolidated statements of financial position.

Credit Derivatives Sold (Table)


		June 30, 2026
											Weighted
								Maximum			average
		Notional			Fair			future			expected life
		amount			value			payments			(in years)

		(in millions)
Single name credit default swaps
Corporate debt
AA		$	117.6		$	0.6		$	117.6		6.1
A			157.1			(5.7)			157.1		6.4
BBB			252.2			0.2			252.2		4.7
Total single name credit default swaps			526.9			(4.9)			526.9		5.5

Single name total return swaps
Government/municipalities
AAA			40.0			1.6			40.0		29.1
AA			195.0			6.7			195.0		20.0
A			210.0			13.7			210.0		21.1
BBB			55.0			2.8			55.0		14.8
Total single name total return swaps			500.0			24.8			500.0		20.6

Total credit derivatives sold		$	1,026.9		$	19.9		$	1,026.9		12.9


		December 31, 2025
											Weighted
								Maximum			average
		Notional			Fair			future			expected life
		amount			value			payments			(in years)

		(in millions)
Single name credit default swaps
Corporate debt
AA		$	96.7		$	1.0		$	96.7		6.4
A			219.3			(3.2)			219.3		7.2
BBB			130.0			2.3			130.0		1.5
Total single name credit default swaps			446.0			0.1			446.0		5.3

Single name total return swaps
Government/municipalities
AAA			40.0			1.2			40.0		29.6
AA			195.0			3.5			195.0		20.5
A			210.0			9.5			210.0		21.6
BBB			55.0			1.8			55.0		15.3
Total single name total return swaps			500.0			16.0			500.0		21.1

Total credit derivatives sold		$	946.0		$	16.1		$	946.0		13.7

Fair Value Hedges (Table)


								Cumulative amount of fair
								value hedging basis adjustment
Line item in the consolidated statements								increase/(decrease) included in the
of financial position in which the		Carrying amount of hedged item						carrying amount of the hedged item
hedged item is included		June 30, 2026			December 31, 2025			June 30, 2026			December 31, 2025

		(in millions)
Fixed maturities, available-for-sale (1):
Active hedging relationships		$	2,860.1		$	2,741.8		$	(29.5)		$	(15.8)
Discontinued hedging relationships			481.6			782.9			(4.7)			(6.2)
Total fixed maturities, available-for-sale in active or discontinued hedging relationships		$	3,341.7		$	3,524.7		$	(34.2)		$	(22.0)

Mortgage loans (2):
Active hedging relationships		$	1,366.0		$	1,471.5		$	(6.9)		$	(3.6)
Discontinued hedging relationships			299.3			345.0			1.0			1.2
Total mortgage loans in active or discontinued hedging relationships		$	1,665.3		$	1,816.5		$	(5.9)		$	(2.4)

Investment contracts:
Active hedging relationships		$	5,145.2		$	3,743.8		$	29.4		$	35.4
Total investment contracts in active or discontinued hedging relationships		$	5,145.2		$	3,743.8		$	29.4		$	35.4

(1)

These amounts include the amortized cost basis of closed portfolios used to designate portfolio layer hedging relationships in which the hedged layer amount is expected to remain at the end of the hedging relationship. As of June 30, 2026 and December 31, 2025, the amortized cost basis of the closed portfolios used in these hedging relationships was $2,438.5 million and $2,303.5 million, respectively, the cumulative basis adjustments associated with these hedging relationships was $(23.7) million and $(16.9) million, respectively, and the amount of the designated hedged items were $924.0 million and $970.0 million, respectively.

(2)

These amounts include the amortized cost basis of closed portfolios used to designate portfolio layer hedging relationships in which the hedged layer amount is expected to remain at the end of the hedging relationship. As of June 30, 2026 and December 31, 2025, the amortized cost basis of the closed portfolios used in these hedging relationships was $1,366.0 million and $1,471.5 million, respectively, the cumulative basis adjustments associated with these hedging relationships was $(6.9) million and $(3.7) million, respectively, and the amount of the designated hedged items were $192.5 million and $220.0 million, respectively.

Cash Flow Hedges (Table)

Amount of gain (loss) recognized

in AOCI on derivatives

For the three months ended

For the six months ended

Derivatives in cash

June 30,

June 30,

flow hedging relationships

 

Related hedged item

 

2026

 

2025

 

2026

 

2025

(in millions)

Interest rate contracts

Fixed maturities, available-for-sale

$

0.8

$

4.0

$

(14.4)

$

10.5

Foreign exchange contracts

Fixed maturities, available-for-sale

(27.1)

(209.5)

56.4

(198.6)

Total

$

(26.3)

$

(205.5)

$

42.0

$

(188.1)

Effect of Fair Value and Cash Flow Hedges on Consolidated Statements of Operations (Table)


		For the three months ended June 30, 2026
					Net realized
		Net investment			capital gains			Benefits, claims
		income related			(losses) related to			and settlement
		to hedges of			hedges of fixed			expenses related
		fixed maturities,			maturities,			to hedges of
		available-for-sale			available-			investment
		and mortgage loans			for-sale			contracts

		(in millions)
Total amounts of consolidated statement of operations line items in which the effects of fair value and cash flow hedges are reported		$	1,301.8		$	109.7		$	1,992.1

Gains on fair value hedging relationships:
Interest rate contracts:
Gain (loss) recognized on hedged item		$	(8.0)		$	—		$	36.8
Gain (loss) recognized on derivatives			6.9			—			(33.9)
Amortization of hedged item basis adjustments			1.7			—			—
Amounts related to periodic settlements on derivatives			5.2			—			0.5

Foreign exchange contracts:
Loss recognized on hedged item			—			(2.0)			—
Gain recognized on derivatives			—			2.0			—
Amounts related to periodic settlements on derivatives			0.7			—			—
Total gain recognized for fair value hedging relationships		$	6.5		$	—		$	3.4

Gains (losses) on cash flow hedging relationships:
Interest rate contracts:
Loss reclassified from AOCI on derivatives		$	—		$	—		$	(0.1)
Amounts related to periodic settlements on derivatives			(0.2)			—			—

Foreign exchange contracts:
Amounts related to periodic settlements on derivatives			9.0			—			—
Total gain (loss) recognized for cash flow hedging relationships		$	8.8		$	—		$	(0.1)


		For the three months ended June 30, 2025
					Net realized
		Net investment			capital gains			Benefits, claims
		income related			(losses) related to			and settlement
		to hedges of			hedges of fixed			expenses related
		fixed maturities,			maturities,			to hedges of
		available-for-sale			available-			investment
		and mortgage loans			for-sale			contracts

		(in millions)
Total amounts of consolidated statement of operations line items in which the effects of fair value and cash flow hedges are reported		$	1,162.8		$	5.4		$	1,839.9

Gains (losses) on fair value hedging relationships:
Interest rate contracts:
Gain recognized on hedged item		$	15.0		$	—		$	16.2
Loss recognized on derivatives			(16.4)			—			(20.6)
Amortization of hedged item basis adjustments			1.3			—			—
Amounts related to periodic settlements on derivatives			10.0			—			(5.0)

Foreign exchange contracts:
Gain recognized on hedged item			—			17.2			—
Loss recognized on derivatives			—			(17.2)			—
Amounts related to periodic settlements on derivatives			0.8			—			—
Total gain (loss) recognized for fair value hedging relationships		$	10.7		$	—		$	(9.4)

Gains on cash flow hedging relationships:
Interest rate contracts:
Gain reclassified from AOCI on derivatives		$	0.6		$	—		$	—
Amounts related to periodic settlements on derivatives			(0.2)			—			—

Foreign exchange contracts:
Gain reclassified from AOCI on derivatives			—			2.7			—
Amounts related to periodic settlements on derivatives			9.1			—			—
Total gain recognized for cash flow hedging relationships		$	9.5		$	2.7		$	—


		For the six months ended June 30, 2026
		Net investment
		income related to			Net realized capital			Benefits, claims and
		hedges of fixed			gains (losses)			settlement expenses
		maturities,			related to hedges of			related to hedges of
		available-for-sale			fixed maturities,			investment
		and mortgage loans			available-for-sale			contracts

		(in millions)
Total amounts of consolidated statement of operations line items in which the effects of fair value and cash flow hedges are reported		$	2,500.8		$	(12.4)		$	3,603.2

Gains on fair value hedging relationships:
Interest rate contracts:
Gain (loss) recognized on hedged item		$	(10.7)		$	—		$	64.9
Gain (loss) recognized on derivatives			10.1			—			(62.6)
Amortization of hedged item basis adjustments			2.3			—			—
Amounts related to periodic settlements on derivatives			10.9			—			0.6

Foreign exchange contracts:
Loss recognized on hedged item			—			(7.5)			—
Gain recognized on derivatives			—			7.5			—
Amounts related to periodic settlements on derivatives			1.5			—			—
Total gain recognized for fair value hedging relationships		$	14.1		$	—		$	2.9

Gains (losses) on cash flow hedging relationships:
Interest rate contracts:
Loss reclassified from AOCI on derivatives		$	—		$	—		$	(0.1)
Amounts related to periodic settlements on derivatives			(0.3)			—			—

Foreign exchange contracts:
Loss reclassified from AOCI on derivatives			—			(0.1)			—
Amounts related to periodic settlements on derivatives			17.4			—			—
Total gain (loss) recognized for cash flow hedging relationships		$	17.1		$	(0.1)		$	(0.1)


		For the six months ended June 30, 2025
		Net investment
		income related to			Net realized capital			Benefits, claims and
		hedges of fixed			gains (losses)			settlement expenses
		maturities,			related to hedges of			related to hedges of
		available-for-sale			fixed maturities,			investment
		and mortgage loans			available-for-sale			contracts

		(in millions)
Total amounts of consolidated statement of operations line items in which the effects of fair value and cash flow hedges are reported		$	2,328.5		$	(111.7)		$	4,059.9

Gains (losses) on fair value hedging relationships:
Interest rate contracts:
Gain recognized on hedged item		$	42.4		$	—		$	51.7
Loss recognized on derivatives			(42.5)			—			(56.6)
Amortization of hedged item basis adjustments			1.9			—			—
Amounts related to periodic settlements on derivatives			20.1			—			(9.8)

Foreign exchange contracts:
Gain recognized on hedged item			—			25.0			—
Loss recognized on derivatives			—			(25.0)			—
Amounts related to periodic settlements on derivatives			1.5			—			—
Total gain (loss) recognized for fair value hedging relationships		$	23.4		$	—		$	(14.7)

Gains (losses) on cash flow hedging relationships:
Interest rate contracts:
Gain (loss) reclassified from AOCI on derivatives		$	1.3		$	—		$	(0.1)
Amounts related to periodic settlements on derivatives			(0.3)			—			—

Foreign exchange contracts:
Gain reclassified from AOCI on derivatives			—			2.7			—
Amounts related to periodic settlements on derivatives			17.6			—			—
Total gain (loss) recognized for cash flow hedging relationships		$	18.6		$	2.7		$	(0.1)

Net Investment Hedges (Table)

 

Amount of loss

Amount of loss recognized

reclassified from AOCI into

in AOCI on derivatives

net realized capital gains (losses)

for the three months ended

for the three months ended

June 30,

June 30,

Derivatives in net investment hedging relationships

2026

2025

2026

2025

(in millions)

Foreign exchange contracts

$

(0.4)

$

(2.5)

$

(0.2)

$

—

Total

$

(0.4)

$

(2.5)

$

(0.2)

$

—

Amount of loss

Amount of loss recognized

reclassified from AOCI into

in AOCI on derivatives

net realized capital gains (losses)

for the six months ended

for the six months ended

June 30,

June 30,

Derivatives in net investment hedging relationships

 

2026

 

2025

2026

 

2025

(in millions)

Foreign exchange contracts

$

(0.1)

$

(3.6)

$

(0.2)

$

—

Total

$

(0.1)

$

(3.6)

$

(0.2)

$

—

Derivatives Not Designated as Hedging Instruments (Table)

Amount of gain (loss) recognized in

Amount of gain (loss) recognized in

net income on derivatives for the

net income on derivatives for the

three months ended June 30,

six months ended June 30,

Derivatives not designated as hedging instruments

 

2026

 

2025

 

2026

 

2025

(in millions)

Interest rate contracts

$

7.8

$

(148.0)

$

2.8

$

(186.6)

Foreign exchange contracts

(3.8)

(5.0)

13.5

16.0

Equity contracts

637.3

162.6

478.7

22.3

Credit contracts

24.2

(12.1)

8.3

(28.1)

Other contracts (1)

(889.2)

(320.6)

(659.3)

(474.6)

Total

$

(223.7)

$

(323.1)

$

(156.0)

$

(651.0)

(1)	Includes the change in fair value of the funds withheld embedded derivative.

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

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