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Derivatives (Tables)

6 Months Ended

Jun. 30, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivatives Instruments Statements of Financial Performance and Financial Position, Location

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:

												June 30, 2024																		December 31, 2023
(Dollars in Millions)																		Estimated Fair Value																		Estimated Fair Value
Derivative Instrument						Primary Underlying Risk Exposure						Gross Notional Amount						Assets						Liabilities						Gross Notional Amount						Assets						Liabilities
Derivatives Designated as Hedging Instruments:
Treasury Futures						Interest Rate Risk						$	74.4					$	0.8					$	—					$	—					$	—					$	—
Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Treasury Futures						Interest Rate Risk						$	—					$	—					$	—					$	149.7					$	14.7					$	—

Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss)

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 three and six months ended June 30, 2024 and 2023.

						Three Months Ended									Six Months Ended
(Dollars in Millions)						Jun 30, 2024			Jun 30, 2023						Jun 30, 2024			Jun 30, 2023
Beginning of Period						$	0.2		$	(1.3)					$	—		$	(0.4)
(Losses) Gains Deferred in AOCI						(5.5)			—						(4.0)			—
Net Change in AOCI with Current Period Hedging Transactions						1.7			—						0.4			—
Gains (Losses) Reclassified into Income						—			1.3						—			0.4
Net Comprehensive Gains (Losses) from Cash Flow Hedges						$	(3.6)		$	—					$	(3.6)		$	—

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- References

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- Definition

Tabular disclosure of gain (loss) on derivative and nonderivative instruments designated and qualifying as cash flow hedge recorded in accumulated other comprehensive income (AOCI) and reclassified into earnings.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Topic 815
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 4C
-Subparagraph (c)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147480434/815-10-50-4C

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- Definition

Tabular disclosure of derivative instruments (including nonderivative instruments that are designated and qualify as hedging instruments) of (a) the location and amount of gains and losses reported in the statement of financial performance and (b) the location and fair value amounts of the instruments reported in the statement of financial position.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4A
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147480434/815-10-50-4A

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