| QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
| TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
| (State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer Identification No.) | |
(Address of principal executive offices) |
(Zip Code) | |
| Title of each class |
Trading Symbol(s) |
Name of exchange on | ||
| Large accelerated filer | ☐ | Accelerated filer | ☐ | |||
Non-accelerated filer |
☒ | Smaller reporting company | ||||
| Emerging growth company | ||||||
| 3 | ||||
| 4 | ||||
| 5 | ||||
| 6 | ||||
| 7 | ||||
| 8 | ||||
| 8 | ||||
| 10 | ||||
| 12 | ||||
| 26 | ||||
| 31 | ||||
| 47 | ||||
| 47 | ||||
| 50 | ||||
| 52 | ||||
| 55 | ||||
| 57 | ||||
| 57 | ||||
| 57 | ||||
| 62 | ||||
| 63 | ||||
| 63 | ||||
| 64 | ||||
| 64 | ||||
| 66 | ||||
| 67 | ||||
| 67 | ||||
| 68 | ||||
| 69 | ||||
| 70 | ||||
| 75 | ||||
| 82 | ||||
| 87 | ||||
| 98 | ||||
| 109 | ||||
| 114 | ||||
| 114 | ||||
| 117 | ||||
| 117 | ||||
| 118 | ||||
| 118 | ||||
| 118 | ||||
| 119 | ||||
SIGNATURES |
||||
| 120 | ||||
Item 1. |
Financial Statements |
June 30, |
December 31, |
|||||||
2021 |
2020 |
|||||||
(Unaudited) |
||||||||
Assets |
||||||||
Investments: |
||||||||
Debt Securities, available for sale, net of allowance for credit losses of $ December 31, 2020, respectively (amortized cost: 2021 $ |
$ | $ | ||||||
Debt Securities, at fair value under fair value option |
||||||||
Debt Securities, trading, at fair value |
||||||||
Equity securities, at fair value |
||||||||
Mortgage loans, net of allowance for credit losses of $ |
||||||||
Policy loans (including $ |
||||||||
Freestanding derivative instruments |
||||||||
Other invested assets |
||||||||
Total investments |
||||||||
Cash and cash equivalents |
||||||||
Accrued investment income |
||||||||
Deferred acquisition costs |
||||||||
Reinsurance recoverable, net of allowance for credit losses of $ |
||||||||
Deferred income taxes, net |
||||||||
Other assets |
||||||||
Separate account assets |
||||||||
Total assets |
$ | $ | ||||||
Liabilities and Equity |
||||||||
Liabilities |
||||||||
Reserves for future policy benefits and claims payable |
$ | $ | ||||||
Other contract holder funds |
||||||||
Funds withheld payable under reinsurance treaties (including $ |
||||||||
Debt |
||||||||
Securities lending payable |
||||||||
Freestanding derivative instruments |
||||||||
Other liabilities |
||||||||
Separate account liabilities |
||||||||
Total liabilities |
||||||||
Commitments, Contingencies, and Guarantees (Note 14) |
||||||||
Equity |
||||||||
Common stock, (i) Class A common stock (See Note 18) |
||||||||
Additional paid-in capital |
||||||||
Shares held in trust |
( |
) | ( |
) | ||||
Equity compensation reserve |
||||||||
Accumulated other comprehensive income, net of tax expense of $ |
||||||||
Retained earnings |
( |
) | ||||||
Total stockholders’ equity |
||||||||
Noncontrolling interests |
||||||||
Total equity |
||||||||
Total liabilities and equity |
$ | $ | ||||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
| Revenues |
||||||||||||||||
| Fee income |
$ | $ | $ | $ | ||||||||||||
| Premium |
||||||||||||||||
| Net investment income |
||||||||||||||||
| Net gains (losses) on derivatives and investments |
( |
) | ( |
) | ( |
) | ||||||||||
| Other income |
||||||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total revenues |
( |
) | ||||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Benefits and Expenses |
||||||||||||||||
| Death, other policy benefits and change in policy reserves, net of deferrals |
( |
) | ||||||||||||||
| Interest credited on other contract holder funds, net of deferrals |
||||||||||||||||
| Interest expense |
||||||||||||||||
| Operating costs and other expenses, net of deferrals |
( |
) | ( |
) | ||||||||||||
| Cost of reinsurance |
— |
— |
||||||||||||||
| Amortization of deferred acquisition and sales inducement costs |
( |
) | ( |
) | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total benefits and expenses |
||||||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Pretax income (loss) before noncontrolling interests |
( |
) | ( |
) | ( |
) | ||||||||||
| Income tax expense (benefit) |
( |
) | ( |
) | ( |
) | ||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Net income (loss) |
( |
) | ( |
) | ( |
) | ||||||||||
| Less: Net income (loss) attributable to noncontrolling interests |
$ | $ | ( |
) | $ | $ | ( |
) | ||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Net income (loss) attributable to Jackson Financial Inc. |
$ | ( |
) | $ | ( |
) | $ | $ | ( |
) | ||||||
| |
|
|
|
|
|
|
|
|||||||||
| Earnings per share |
||||||||||||||||
| Basic |
$ | ( |
) | $ | ( |
) | $ | $ | ( |
) | ||||||
| Diluted |
$ | ( |
) | $ | ( |
) | $ | $ | ( |
) | ||||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
Net income (loss) |
$ | ( |
) | $ | ( |
) | $ | $ | ( |
) | ||||||
Other comprehensive income (loss), net of tax: |
||||||||||||||||
Change in net unrealized gains (losses) on securities not impaired (net of tax expense (benefit) of: $ |
( |
) | ||||||||||||||
Change in unrealized gains (losses) on securities for which an allowance for credit losses has been recorded (net of tax expense (benefit) of: |
( |
) | ||||||||||||||
Reclassification adjustment for gains (losses) included in net income (loss) (net of tax expense (benefit) of: $( |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Total other comprehensive income (loss) |
( |
) | ||||||||||||||
Comprehensive income (loss) |
( |
) | ( |
) | ||||||||||||
Less: Comprehensive income (loss) attributable to noncontrolling interests |
( |
) | ( |
) | ||||||||||||
Comprehensive income (loss) attributable to Jackson Financial Inc. |
$ | $ | ( |
) | $ | $ | ( |
) | ||||||||
Common Stock |
Additional Paid-In Capital |
Shares Held In Trust |
Equity Compensation Reserve |
Accumulated Other Comprehensive Income |
Retained Earnings |
Total Stockholders’ Equity |
Non- Controlling Interests |
Total Equity |
||||||||||||||||||||||||||||
| Balances as of March 31, 2021 |
$ | $ | $ | ( |
) | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||
| Net income (loss) |
— |
— |
— |
— |
— |
( |
) | ( |
) | ( |
) | |||||||||||||||||||||||||
| Change in unrealized investment gains and losses, net of tax |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||||||||
| Change in equity of noncontrolling interests |
— |
— |
— |
— |
— |
— |
— |
( |
) | ( |
) | |||||||||||||||||||||||||
| Reserve for equity compensation plans |
— |
— |
— |
( |
) | — |
— |
( |
) | — |
( |
) | ||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Balances as of June 30, 2021 |
$ | $ | $ | ( |
) | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Common Stock |
Additional Paid-In Capital |
Shares Held In Trust |
Equity Compensation Reserve |
Accumulated Other Comprehensive Income |
Retained Earnings |
Total Stockholder’s Equity |
Non- Controlling Interests |
Total Equity |
||||||||||||||||||||||||||||
| Balances as of March 31, 2020 |
$ | $ | $ | ( |
) | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||
| Net income (loss) |
— |
— |
— |
— |
— |
( |
) | ( |
) | ( |
) | ( |
) | |||||||||||||||||||||||
| Change in unrealized investment gains and losses, net of tax |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||||||||
| Change in equity of noncontrolling interests |
— |
— |
— |
— |
— |
— |
— |
( |
) | ( |
) | |||||||||||||||||||||||||
| Common stock issuance - debt restructure |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||||||
| Change in accounting principle, net of tax |
— |
— |
— |
— |
— |
( |
) | ( |
) | — |
( |
) | ||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Balances as of June 30, 2020 |
$ | $ | $ | ( |
) | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Common Stock |
Additional Paid-In Capital |
Shares Held In Trust |
Equity Compensation Reserve |
Accumulated Other Comprehensive Income |
Retained Earnings |
Total Stockholders’ Equity |
Non- Controlling Interests |
Total Equity |
||||||||||||||||||||||||||||
| Balances as of December 31, 2020 |
$ | $ | $ | ( |
) | $ | $ | $ | ( |
) | $ | $ | $ | |||||||||||||||||||||||
| Net income (loss) |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||||||
| Change in unrealized investment gains and losses, net of tax |
— |
— |
— |
— |
( |
) | — |
( |
) | — |
( |
) | ||||||||||||||||||||||||
| Change in equity of noncontrolling interests |
— |
— |
— |
— |
— |
— |
— |
( |
) | ( |
) | |||||||||||||||||||||||||
| Reserve for equity compensation plans |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Balances as of June 30, 2021 |
$ | $ | $ | ( |
) | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Common Stock |
Additional Paid-In Capital |
Shares Held In Trust |
Equity Compensation Reserve |
Accumulated Other Comprehensive Income |
Retained Earnings |
Total Stockholder’s Equity |
Non- Controlling Interests |
Total Equity |
||||||||||||||||||||||||||||
| Balances as of December 31, 2019 |
$ | $ | $ | ( |
) | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||
| Net income (loss) |
— |
— |
— |
— |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||
| Change in unrealized investment gains and losses, net of tax |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||||||||
| Change in equity of noncontrolling interests |
— |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||||||||||
| Common stock issuance - debt restructure |
— |
— |
— |
— |
||||||||||||||||||||||||||||||||
| Change in accounting principle, net of tax |
— |
— |
— |
— |
— |
( |
) | ( |
) | — |
( |
) | ||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Balances as of June 30, 2020 |
$ | $ | $ | ( |
) | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Six Months Ended June 30, |
||||||||
2021 |
2020 |
|||||||
| Cash flows from operating activities: |
||||||||
| Net income (loss) |
$ | $ | ( |
) | ||||
| Adjustments to reconcile net income to net cash provided by operating activities: |
||||||||
| Net realized losses (gains) on investments |
( |
) | ( |
) | ||||
| Net losses (gains) on derivatives |
||||||||
| Net losses (gains) on funds withheld reinsurance |
( |
) | ( |
) | ||||
| Interest credited on other contract holder funds, gross |
||||||||
| Mortality, expense and surrender charges |
( |
) |
( |
) | ||||
| Amortization of discount and premium on investments |
||||||||
| Deferred income tax expense (benefit) |
( |
) | ||||||
| Share-based compensation |
||||||||
| Cash received (paid to) from reinsurance transaction |
— |
( |
) | |||||
| |
|
|
|
|
|
|
|
|
| Change in: |
||||||||
| |
|
|
|
|
|
|
|
|
| Accrued investment income |
||||||||
| Deferred acquisition costs and sales inducements |
( |
) | ||||||
| Other assets and liabilities, net |
( |
) | ||||||
| |
|
|
|
|||||
| Net cash provided by (used in) operating activities |
||||||||
| |
|
|
|
|||||
| Cash flows from investing activities: |
||||||||
| |
|
|
|
|
|
|
|
|
| Sales, maturities and repayments of: |
||||||||
| |
|
|
|
|
|
|
|
|
| Debt securities |
||||||||
| Equity securities |
||||||||
| Mortgage loans |
||||||||
| Purchases of: |
||||||||
| Debt securities |
( |
) | ( |
) | ||||
| Equity securities |
( |
) | ( |
) | ||||
| Mortgage loans |
( |
) | ( |
) | ||||
| Settlements related to derivatives and collateral on investments |
( |
) | ||||||
| Other investing activities |
( |
) | ||||||
| |
|
|
|
|||||
| Net cash provided by (used in) investing activities |
||||||||
| |
|
|
|
|||||
| Cash flows from financing activities: |
||||||||
| Policyholders’ account balances: |
||||||||
| Deposits |
||||||||
| Withdrawals |
( |
) | ( |
) | ||||
| Net transfers to separate accounts |
||||||||
| Net proceeds from (payments on) borrowings |
— |
|||||||
| Net proceeds from (payments on) Federal Home Loan Bank notes |
( |
) | ( |
) | ||||
| Net proceeds from (payments on) borrowings |
( |
) | ( |
) | ||||
| |
|
|
|
|||||
| Net cash provided by (used in) financing activities |
( |
) | ||||||
| |
|
|
|
|||||
| Net increase (decrease) in cash and cash equivalents |
$ | ( |
) | $ | ||||
| |
|
|
|
|
|
|
|
|
| Cash and cash equivalents, beginning of period |
||||||||
| |
|
|
|
|||||
| Total cash and cash equivalents, end of period |
$ | $ | ||||||
| |
|
|
|
|||||
| Supplemental cash flow information |
||||||||
| Income taxes paid |
$ | $ | ||||||
| Interest paid |
$ | $ | ||||||
| Non-cash investing activities |
||||||||
| Debt securities acquired from exchanges, payments-in-kind, and similar transactions |
$ | $ | ||||||
| Other invested assets acquired from stock splits and stock distributions |
$ | $ | ||||||
1. |
Business and Basis of Presentation |
• |
PPM Holdings, Inc. (“PPM”), is the Company’s investment management operation that manages the life insurance companies’ general account investment funds. PPM also provides investment services to other affiliated and unaffiliated institutional clients. |
• |
Brooke Life Insurance Company (“Brooke Life”), Jackson’s direct parent, is a life insurance company licensed to sell life insurance and annuity products in the state of Michigan. |
• |
Life insurers: Jackson National Life Insurance Company of New York (“JNY”), Squire Reassurance Company LLC (“Squire Re”), Squire Reassurance Company II, Inc. (“Squire Re II”), VFL International Life Company SPC, LTD and Jackson National Life (Bermuda) LTD; |
• |
Broker-dealer, investment management and investment advisor subsidiaries: Jackson National Life Distributors, LLC; Jackson National Asset Management, LLC (“JNAM”); |
• |
PGDS (US One) LLC (“PGDS”), which provides certain services to the Company and certain affiliates; and |
• |
Other insignificant wholly owned subsidiaries. |
1) |
Valuation of investments and derivative instruments, including fair values of securities deemed to be in an illiquid market and the determination of when an impairment is necessary; |
2) |
Assessments as to whether certain entities are variable interest entities, the existence of reconsideration events and the determination of which party, if any, should consolidate the entity; |
3) |
Assumptions impacting estimated future gross profits, including policyholder behavior, mortality rates, expenses, projected hedging costs, investment returns and policy crediting rates, used in the calculation of amortization of deferred acquisition costs and deferred sales inducements; |
4) |
Assumptions used in calculating policy reserves and liabilities, including policyholder behavior, mortality rates, expenses, investment returns and policy crediting rates; |
5) |
Assumptions as to future earnings levels being sufficient to realize deferred tax benefits; |
6) |
Estimates related to expectations of credit losses on certain financial assets and off balance sheet exposures; |
7) |
Assumptions and estimates associated with the Company’s tax positions, including an estimate of the dividends received deduction, which impact the amount of recognized tax benefits recorded by the Company; |
8) |
Value of guaranteed benefits; and, |
9) |
Value of business acquired, its recoverability and amortization. |
2. |
New Accounting Standards |
3. |
Investments |
| Investment Rating |
Percent of Total Debt Securities Carrying Value June 30, 2021 |
|||
| AAA |
% | |||
| AA |
% | |||
| A |
% | |||
| BBB |
% | |||
| |
|
|||
| Investment grade |
% | |||
| |
|
|||
| BB |
% | |||
| B and below |
% | |||
| |
|
|||
| Below investment grade |
% | |||
| |
|
|||
| Total debt securities |
% | |||
| |
|
|||
| June 30, 2021 |
Amortized Cost (1) |
Allowance for Credit Loss |
Gross Unrealized Gains |
Gross Unrealized Losses |
Fair Value |
|||||||||||||||
| U.S. government securities |
$ | $ | — |
$ | $ | $ | ||||||||||||||
| Other government securities |
— |
|||||||||||||||||||
| Public utilities |
— |
|||||||||||||||||||
| Corporate securities |
— |
|||||||||||||||||||
| Residential mortgage-backed |
||||||||||||||||||||
| Commercial mortgage-backed |
— |
|||||||||||||||||||
| Other asset-backed securities |
||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total debt securities |
$ | $ | $ | $ | $ | |||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| December 31, 2020 |
Amortized Cost (1) |
Allowance for Credit Loss |
Gross Unrealized Gains |
Gross Unrealized Losses |
Fair Value |
|||||||||||||||
| U.S. government securities |
$ | $ | — |
$ | $ | $ | ||||||||||||||
| Other government securities |
— |
|||||||||||||||||||
| Public utilities |
— |
|||||||||||||||||||
| Corporate securities |
— |
|||||||||||||||||||
| Residential mortgage-backed |
— |
|||||||||||||||||||
| Commercial mortgage-backed |
— |
|||||||||||||||||||
| Other asset-backed securities |
||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total debt securities |
$ | $ | $ | $ | $ | |||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
(1) |
Amortized cost, apart from the carrying value for securities carried at fair value under the fair value option and trading securities. |
Amortized (1) Cost |
Allowance for Credit Loss |
Gross Unrealized Gains |
Gross Unrealized Losses |
Fair Value |
||||||||||||||||
| Due in 1 year or less |
$ | $ | — |
$ | $ | — |
$ | |||||||||||||
| Due after 1 year through 5 years |
— |
|||||||||||||||||||
| Due after 5 years through 10 years |
— |
|||||||||||||||||||
| Due after 10 years through 20 years |
— |
|||||||||||||||||||
| Due after 20 years |
— |
|||||||||||||||||||
| Residential mortgage-backed |
||||||||||||||||||||
| Commercial mortgage-backed |
— |
|||||||||||||||||||
| Other asset-backed securities |
||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$ | $ | $ | $ | $ | |||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
(1) |
Amortized cost, apart from the carrying value for securities carried at fair value under the fair value option and trading securities. |
| June 30, 2021 |
Amortized Cost (1) |
Allowance for Credit Loss |
Gross Unrealized Gains |
Gross Unrealized Losses |
Fair Value |
|||||||||||||||
| Prime |
$ | $ | $ | $ | $ | |||||||||||||||
| Alt-A |
||||||||||||||||||||
| Subprime |
— |
— |
||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total non-agency RMBS |
$ | $ | $ | $ | $ | |||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| December 31, 2020 |
Amortized Cost (1) |
Allowance for Credit Loss |
Gross Unrealized Gains |
Gross Unrealized Losses |
Fair Value |
|||||||||||||||
| Prime |
$ | $ | — |
$ | $ | $ | ||||||||||||||
| Alt-A |
— |
|||||||||||||||||||
| Subprime |
— |
|||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total non-agency RMBS |
$ | $ | — |
$ | $ | $ | ||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
(1) |
Amortized cost, apart from carrying value for securities carried at fair value under the fair value option and trading securities. |
• |
Prime loan-backed securities are collateralized by mortgage loans made to the highest rated borrowers. |
• |
Alt-A loan-backed securities are collateralized by mortgage loans made to borrowers who lack credit documentation or necessary requirements to obtain prime borrower rates. |
• |
Subprime loan-backed securities are collateralized by mortgage loans made to borrowers that have a FICO score of 680 or lower. |
June 30, 2021 |
December 31, 2020 |
|||||||||||||||||||||||
Less than 12 months |
Less than 12 months |
|||||||||||||||||||||||
Gross Unrealized Losses |
Fair Value |
# of securities |
Gross Unrealized Losses |
Fair Value |
# of securities |
|||||||||||||||||||
| U.S. government securities |
$ | $ | $ | $ | ||||||||||||||||||||
| Other government securities |
||||||||||||||||||||||||
| Public utilities |
||||||||||||||||||||||||
| Corporate securities |
||||||||||||||||||||||||
| Residential mortgage-backed |
||||||||||||||||||||||||
| Commercial mortgage-backed |
||||||||||||||||||||||||
| Other asset-backed securities |
||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total temporarily impaired securities |
$ | $ | $ | $ | ||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
12 months or longer |
12 months or longer |
|||||||||||||||||||||||
Gross Unrealized Losses |
Fair Value |
# of securities |
Gross Unrealized Losses |
Fair Value |
# of securities |
|||||||||||||||||||
| U.S. government securities |
$ | — |
$ | — |
— |
$ | — |
$ | — |
— |
||||||||||||||
| Other government securities |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
| Public utilities |
— |
— |
— |
— |
||||||||||||||||||||
| Corporate securities |
||||||||||||||||||||||||
| Residential mortgage-backed |
— | |||||||||||||||||||||||
| Commercial mortgage-backed |
— |
|||||||||||||||||||||||
| Other asset-backed securities |
||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total temporarily impaired securities |
$ | $ | |
$ | |
$ | |
|||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total |
Total |
|||||||||||||||||||||||
Gross Unrealized Losses |
Fair Value |
# of securities |
Gross Unrealized Losses |
Fair Value |
# of securities |
|||||||||||||||||||
| U.S. government securities |
$ | $ | $ | $ | ||||||||||||||||||||
| Other government securities |
||||||||||||||||||||||||
| Public utilities |
||||||||||||||||||||||||
| Corporate securities (1) |
||||||||||||||||||||||||
| Residential mortgage-backed |
||||||||||||||||||||||||
| Commercial mortgage-backed |
||||||||||||||||||||||||
| Other asset-backed securities |
||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total temporarily impaired securities |
$ | $ | $ | $ | ||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
(1) |
Certain corporate securities contain multiple lots and fit the criteria of both aging groups. |
Three Months Ended June 30, 2021 |
US government securities |
Other government securities |
Public utilities |
Corporate securities |
Residential mortgage- backed |
Commercial mortgage- backed |
Other asset- backed securities |
Total |
||||||||||||||||||||||||
| Balance at April 1, 2021 |
$ | — |
$ | — |
$ | — |
$ | — |
$ | $ | — |
$ | $ | |||||||||||||||||||
| Additions for which credit loss was not previously recorded |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||||
| Changes for securities with previously recorded credit loss |
— |
— |
— |
— |
( |
) | — |
|||||||||||||||||||||||||
| Additions for purchases of PCD debt securities (1) |
— |
— |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||
| Reductions from charge-offs |
— |
— |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||
| Reductions for securities disposed |
— |
— |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||
| Securities intended/required to be sold before recovery of amortized cost basis |
— |
— |
— |
— |
— |
— |
— |
— |
||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
| Balance at June 30, 2021 (2) |
$ | — |
$ | — |
$ | — |
$ | — |
$ | $ | — |
$ | $ | |||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Three Months Ended June 30, 2020 |
US government securities |
Other government securities |
Public utilities |
Corporate securities |
Residential mortgage- backed |
Commercial mortgage- backed |
Other asset- backed securities |
Total |
||||||||||||||||||||||||
| Balance at April 1, 2020 |
$ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
| Additions for which credit loss was not previously recorded |
— | — | — | — | — | |||||||||||||||||||||||||||
| Changes for securities with previously recorded credit loss |
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
| Additions for purchases of PCD debt securities (1) |
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
| Reductions from charge-offs |
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
| Reductions for securities disposed |
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
| Securities intended/required to be sold before recovery of amortized cost basis |
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Balance at June 30, 2020 (2) |
$ | — | $ | — | $ | — | $ | — | $ | $ | — | $ | $ | |||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Six Months Ended June 30, 2021 |
US government securities |
Other government securities |
Public utilities |
Corporate securities |
Residential mortgage- backed |
Commercial mortgage- backed |
Other asset- backed securities |
Total |
||||||||||||||||||||||||
| Balance at January 1, 2021 |
$ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | $ | ||||||||||||||||||
| Additions for which credit loss was not previously recorded |
— | — | — | — | — | — | ||||||||||||||||||||||||||
| Changes for securities with previously recorded credit loss |
— | — | — | — | ( |
) | — | ( |
) | ( |
) | |||||||||||||||||||||
| Additions for purchases of PCD debt securities (1) |
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
| Reductions from charge-offs |
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
| Reductions for securities disposed |
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
| Securities intended/required to be sold before recovery of amortized cost basis |
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Balance at June 30, 2021 (2) |
$ | — | $ | — | $ | — | $ | — | $ | $ | — | $ | $ | |||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
Six Months Ended June 30, 2020 |
US government securities |
Other government securities |
Public utilities |
Corporate securities |
Residential mortgage- backed |
Commercial mortgage- backed |
Other asset- backed securities |
Total |
||||||||||||||||||||||||
| Balance at January 1, 2020 |
$ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
| Additions for which credit loss was not previously recorded |
— | — | — | — | — | |||||||||||||||||||||||||||
| Changes for securities with previously recorded credit loss |
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
| Additions for purchases of PCD debt securities (1) |
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
| Reductions from charge-offs |
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
| Reductions for securities disposed |
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
| Securities intended/required to be sold before recovery of amortized cost basis |
— | — | — | — | — | — | — | — | ||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Balance at June 30, 2020 (2) |
$ | — | $ | — | $ | — | $ | — | $ | $ | — | $ | $ | |||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
(1) |
R e presents purchased credit-deteriorated (“PCD”) fixed maturity AFS securities. |
(2) |
Accrued interest receivable on debt securities totaled $ |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
Debt securities |
$ | $ | $ | $ | ||||||||||||
Equity securities |
( |
) | ||||||||||||||
Mortgage loans |
||||||||||||||||
Policy loans |
||||||||||||||||
Limited partnerships |
( |
) | ( |
) | ||||||||||||
Other investment income |
||||||||||||||||
Total investment income excluding funds withheld assets |
||||||||||||||||
Net investment income on funds withheld assets (see Note 7) |
||||||||||||||||
Investment expenses: |
||||||||||||||||
Derivative trading commission |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Depreciation on real estate |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Expenses related to consolidated entities (1) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Other investment expenses (2) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Total investment expenses |
$ | ( |
) | $ | ( |
) | ( |
) | ( |
) | ||||||
Net investment income |
$ | $ | $ | $ | ||||||||||||
(1) |
Includes management fees, administrative fees, legal fees, and other expenses related to the consolidation of certain investments. |
(2) |
Includes interest expense and market appreciation on deferred compensation; investment software expense, custodial fees, and other bank fees; institutional product issuance related expenses; and other expenses. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
| Available-for-sale |
||||||||||||||||
| Realized gains on sale |
$ | $ | $ | $ | ||||||||||||
| Realized losses on sale |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
| Credit loss income (expense) |
( |
) | ( |
) | ||||||||||||
| Gross impairments |
— |
( |
) | — |
( |
) | ||||||||||
| Credit loss income (expense) on mortgage loans |
( |
) | ( |
) | ||||||||||||
| Other (1) |
( |
) | ( |
) | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Net gains (losses) excluding derivatives and funds withheld assets |
||||||||||||||||
| Net gains (losses) on derivative instruments (see Note 4) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net gains (losses) on funds withheld reinsurance treaties (see Note 7) |
( |
) | ||||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total net gains (losses) on derivatives and investments |
$ | ( |
) | $ | ( |
) | $ | $ | ( |
) | ||||||
| |
|
|
|
|
|
|
|
|||||||||
(1) |
Includes the foreign currency gain or loss related to foreign denominated trust instruments supporting funding agreements. |
June 30, 2021 |
December 31, 2020 |
|||||||
| Assets |
||||||||
| Debt securities, available for sale |
$ | $ | ||||||
| Debt securities, trading |
||||||||
| Equity securities |
||||||||
| Limited partnerships |
||||||||
| Cash |
||||||||
| Other assets |
||||||||
| |
|
|
|
|||||
| Total assets |
$ | $ | ||||||
| |
|
|
|
|||||
| Liabilities |
||||||||
| Debt owed to non-controlling interests |
$ | $ | ||||||
| Other liabilities |
||||||||
| |
|
|
|
|||||
| Total other liabilities |
||||||||
| Securities lending payable |
— |
|||||||
| |
|
|
|
|||||
| Total liabilities |
$ | $ | ||||||
| |
|
|
|
|||||
| Equity |
||||||||
| Noncontrolling equity |
$ | $ | ||||||
| |
|
|
|
|||||
Three Months Ended June 30, 2021 |
Apartment |
Hotel |
Office |
Retail |
Warehouse |
Residential Mortgage (2) |
Total |
|||||||||||||||||||||
| Balance at April 1, 2021 |
$ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||
| Charge offs, net of recoveries |
— |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
| Additions from purchase of PCD |
— |
|||||||||||||||||||||||||||
| mortgage loans |
— |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
| Provision |
— |
( |
) | |||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Balance at June 30, 2021 (1) |
$ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Three Months Ended June 30, 2020 |
Apartment |
Hotel |
Office |
Retail |
Warehouse |
Total |
||||||||||||||||||
| Balance at April 1, 2020 |
$ |
$ |
$ |
$ |
$ |
$ |
||||||||||||||||||
| Cumulative effect of change in accounting principle |
— |
|||||||||||||||||||||||
| Charge offs, net of recoveries |
— |
— |
— |
— |
— |
— |
||||||||||||||||||
| Additions from purchase of PCD |
||||||||||||||||||||||||
| mortgage loans |
— | — | — | — | — | — | ||||||||||||||||||
| Provision |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Balance at June 30, 2020 (1) |
$ |
$ |
$ |
$ |
$ |
$ |
||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Six Months Ended June 30, 2021 |
Apartment |
Hotel |
Office |
Retail |
Warehouse |
Residential Mortgage (2) |
Total |
|||||||||||||||||||||
| Balance at January 1, 2021 |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||||||||
| Charge offs, net of recoveries |
— |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
| Additions from purchase of PCD |
— |
|||||||||||||||||||||||||||
| mortgage loans |
— |
— |
— |
— |
— |
— |
— |
|||||||||||||||||||||
| Provision |
( |
) |
( |
) |
( |
) |
( |
) |
( |
) |
( |
) | ||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Balance at June 30, 2021 (1) |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
|||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Six Months Ended June 30, 2020 |
Apartment |
Hotel |
Office |
Retail |
Warehouse |
Total |
||||||||||||||||||
| Balance at January 1, 2020 |
$ |
$ |
$ |
$ |
$ |
$ |
||||||||||||||||||
| Cumulative effect of change in accounting principle |
||||||||||||||||||||||||
| Charge offs, net of recoveries |
— | — | — | — | — | — | ||||||||||||||||||
| Additions from purchase of PCD |
||||||||||||||||||||||||
| mortgage loans |
— | — | — | — | — | — | ||||||||||||||||||
| Provision |
||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Balance at June 30, 2020 (1) |
$ |
$ |
$ |
$ |
$ |
$ |
||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
(1) |
Accrued interest receivable totaled $ |
(2) |
During the three and six months ended June 30, 2021, $ 90 days delinquent or in the process of foreclosure. |
June 30, 2021 |
||||||||||||||||||||||||||||||||||||
2021 |
2020 |
2019 |
2018 |
2017 |
Prior |
Revolving Loans |
Total |
% of Total |
||||||||||||||||||||||||||||
| Loan to value ratios: |
||||||||||||||||||||||||||||||||||||
| Less than 70% |
$ | $ | $ | $ | $ | $ | $ | $ | % | |||||||||||||||||||||||||||
| 70% - 80% |
— |
% | ||||||||||||||||||||||||||||||||||
| 80% - 100% |
— |
— |
— |
% | ||||||||||||||||||||||||||||||||
| Greater than 100% |
— |
— |
— |
— |
— |
% | ||||||||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total |
$ | $ | $ | $ | $ | $ | $ | $ | % | |||||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Debt service coverage ratios: |
||||||||||||||||||||||||||||||||||||
| Greater than 1.20x |
$ | $ | $ | $ | $ | $ | $ | $ | % | |||||||||||||||||||||||||||
| 1.00x - 1.20x |
— |
% | ||||||||||||||||||||||||||||||||||
| Less than 1.00x |
— |
— |
% | |||||||||||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total |
$ | $ | $ | $ | $ | $ | $ | $ | % | |||||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
December 31, 2020 |
||||||||||||||||||||||||||||||||||||
2020 |
2019 |
2018 |
2017 |
2016 |
Prior |
Revolving Loans |
Total |
% of Total |
||||||||||||||||||||||||||||
| Loan to value ratios: |
||||||||||||||||||||||||||||||||||||
| Less than 70% |
$ | $ | $ | $ | $ | $ | $ | $ | % | |||||||||||||||||||||||||||
| 70% - 80% |
— |
% | ||||||||||||||||||||||||||||||||||
| 80% - 100% |
— |
— |
— |
% | ||||||||||||||||||||||||||||||||
| Greater than 100% |
— |
— |
— |
— |
— |
— |
— |
— |
— |
% | ||||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total |
||||||||||||||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Debt service coverage ratios: |
||||||||||||||||||||||||||||||||||||
| Greater than 1.20x |
$ | $ | $ | $ | $ | $ | $ | $ | % | |||||||||||||||||||||||||||
| 1.00x - 1.20x |
— |
— |
% | |||||||||||||||||||||||||||||||||
| Less than 1.00x |
— |
— |
— |
% | ||||||||||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
| Total |
$ | $ | $ | $ | $ | $ | $ | $ | 100 | % | ||||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
June 30, 2021 |
||||||||||||||||||||
In Good Standing (1) |
Restructured |
Greater than 90 Days Delinquent |
In the Process of Foreclosure |
Total Carrying Value |
||||||||||||||||
| Apartment |
$ |
$ |
— |
$ |
— |
$ |
— |
$ |
||||||||||||
| Hotel |
— |
— |
— |
|||||||||||||||||
| Office |
— |
— |
— |
|||||||||||||||||
| Retail |
— |
— |
— |
|||||||||||||||||
| Warehouse |
— |
— |
— |
|||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total commercial |
$ |
$ |
— |
$ |
— |
$ |
— |
$ |
||||||||||||
| Residential (2) |
— |
(2) |
||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$ |
$ |
— |
$ |
$ |
$ |
||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
December 31, 2020 |
||||||||||||||||||||
In Good Standing (1) |
Restructured |
Greater than 90 Days Delinquent |
In the Process of Foreclosure |
Total Carrying Value |
||||||||||||||||
| Apartment |
$ |
$ |
— |
$ |
— |
$ |
— |
$ |
||||||||||||
| Hotel |
— |
— |
— |
|||||||||||||||||
| Office |
— |
— |
— |
|||||||||||||||||
| Retail |
— |
— |
— |
|||||||||||||||||
| Warehouse |
— |
— |
— |
|||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total commercial |
$ |
$ |
— |
$ |
— |
$ |
— |
$ |
||||||||||||
| Residential (2) |
— |
— |
— |
|||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$ |
$ |
— |
$ |
— |
$ |
— |
$ |
||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
(1) |
At June 30, 2021 and December 31, 2020, includes mezzanine loans of $ |
(2) |
Includes $ |
4. |
Derivative Instruments |
June 30, 2021 |
||||||||||||||||||||
Assets |
Liabilities |
|||||||||||||||||||
Contractual/ Notional Amount (1) |
Fair Value |
Contractual/ Notional Amount (1) |
Fair Value |
Net Fair Value |
||||||||||||||||
| Freestanding derivatives |
||||||||||||||||||||
| Cross-currency swaps |
$ | $ | $ | $ | $ | |||||||||||||||
| Equity index call options |
— |
— |
||||||||||||||||||
| Equity index futures (2) |
— |
— |
— |
— |
||||||||||||||||
| Equity index put options |
— |
— |
||||||||||||||||||
| Interest rate swaps |
— |
— |
||||||||||||||||||
| Interest rate swaps - cleared (2) |
— |
— |
||||||||||||||||||
| Put-swaptions |
||||||||||||||||||||
| Treasury futures (2) |
— |
— |
— |
|||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total freestanding derivatives |
||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Embedded derivatives-product liabilities |
||||||||||||||||||||
| VA embedded derivatives (3) |
N/A | — |
N/A | ( |
) | |||||||||||||||
| FIA embedded derivatives (4) |
N/A | — |
N/A | ( |
) | |||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total embedded derivatives |
N/A | — |
N/A | ( |
) | |||||||||||||||
| Derivatives related to funds withheld under reinsurance treaties |
||||||||||||||||||||
| Cross-currency swaps |
||||||||||||||||||||
| Cross-currency forwards |
||||||||||||||||||||
| Funds withheld embedded derivative (5) |
N/A | — |
N/A | ( |
) | |||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total derivatives related to funds withheld under reinsurance treaties |
( |
) | ||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$ | $ | $ | $ | $ | ( |
) | |||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
(1) |
The notional amount for swaps and swaptions represents the stated principal balance used as a basis for calculating payments. The contractual amount for futures and options represents the market exposure of open positions. |
(2) |
Variation margin is considered settlement resulting in the netting of cash received/paid for variation margin against the fair value of the trades. |
(3) |
Included within reserves for future policy benefits and claims payable on the condensed consolidated balance sheets. The nonperformance risk adjustment is included in the balance above. |
(4) |
Included within other contract holder funds on the condensed consolidated balance sheets. The nonperformance risk adjustment is included in the balance above. |
(5) |
Included within funds withheld payable under reinsurance treaties on the condensed consolidated balance sheets. |
December 31, 2020 |
||||||||||||||||||||
Assets |
Liabilities |
|||||||||||||||||||
Contractual/ Notional Amount (1) |
Fair Value |
Contractual/ Notional Amount (1) |
Fair Value |
Net Fair Value |
||||||||||||||||
| Freestanding derivatives |
||||||||||||||||||||
| Cross-currency swaps |
$ | $ | $ | $ | $ | |||||||||||||||
| Equity index call options |
— | — | ||||||||||||||||||
| Equity index futures (2) |
— | — | — | — | ||||||||||||||||
| Equity index put options |
— | — | ||||||||||||||||||
| Interest rate swaps |
||||||||||||||||||||
| Interest rate swaps - cleared (2) |
— | — | ( |
) | ||||||||||||||||
| Put-swaptions |
— | — | ||||||||||||||||||
| Treasury futures (2) |
— | — | — | |||||||||||||||||
| Credit default swaps |
— | — | — | — | ||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total freestanding derivatives |
||||||||||||||||||||
| Embedded derivatives |
||||||||||||||||||||
| VA embedded derivatives (3) |
N/A | — | N/A | ( |
) | |||||||||||||||
| FIA embedded derivatives (4) |
N/A | — | N/A | ( |
) | |||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total embedded derivatives |
N/A | — | N/A | ( |
) | |||||||||||||||
| Derivatives related to funds withheld under reinsurance treaties |
||||||||||||||||||||
| Cross-currency swaps |
— | ( |
) | |||||||||||||||||
| Cross-currency forwards |
( |
) | ||||||||||||||||||
| Funds withheld embedded derivative (5) |
N/A | — | N/A | $ | $ | ( |
) | |||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total derivatives related to funds withheld under reinsurance treaties |
( |
) | ||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$ | $ | $ | $ | $ | ( |
) | |||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
(1) |
The notional amount for swaps and swaptions represents the stated principal balance used as a basis for calculating payments. The contractual amount for futures and options represents the market exposure of open positions. |
(2) |
Variation margin is considered settlement resulting in the netting of cash received/paid for variation margin against the fair value of the trades. |
(3) |
Included within reserves for future policy benefits and claims payable on the condensed consolidated balance sheets. The nonperformance risk adjustment is included in the balance above. |
(4) |
Included within other contract holder funds on the condensed consolidated balance sheets. The nonperformance risk adjustment is included in the balance above. |
(5) |
Included within funds withheld payable under reinsurance treaties on the condensed consolidated balance sheets. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
| Derivatives excluding funds withheld under reinsurance treaties |
||||||||||||||||
| Cross-currency swaps |
$ | $ | $ | ( |
) | $ | ||||||||||
| Equity index call options |
||||||||||||||||
| Equity index futures |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
| Equity index put options |
( |
) | ( |
) | ( |
) | ||||||||||
| Interest rate swaps |
( |
) | ||||||||||||||
| Interest rate swaps - cleared |
— | ( |
) | — | ||||||||||||
| Put-swaptions |
||||||||||||||||
| Treasury futures |
( |
) | ( |
) | ||||||||||||
| Fixed index annuity embedded derivatives |
( |
) | ( |
) | ( |
) | ||||||||||
| Variable annuity embedded derivatives |
( |
) | ( |
) | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total net gains (losses) on derivative instruments excluding derivative instruments related to funds withheld under reinsurance treaties |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
| Derivatives related to funds withheld under reinsurance treaties |
||||||||||||||||
| Cross-currency swaps |
— | — | ||||||||||||||
| Cross-currency forwards |
( |
) | — | — | ||||||||||||
| Treasury futures |
— | ( |
) | — | ( |
) | ||||||||||
| Funds withheld embedded derivative |
( |
) | ( |
) | ( |
) | ||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total net gains (losses) on derivative instruments related to funds withheld under reinsurance treaties |
( |
) | ( |
) | ( |
) | ||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total net gains (losses) on derivative instruments including derivative instruments related to funds withheld under reinsurance treaties |
$ | ( |
) | $ | ( |
) | $ | $ | ( |
) | ||||||
| |
|
|
|
|
|
|
|
|||||||||
June 30, 2021 |
||||||||||||||||||||||||||||
Gross Amounts Recognized |
Gross Amounts Offset in the Condensed Consolidated Balance Sheets |
Net Amounts Presented in the Condensed Consolidated Balance Sheets |
||||||||||||||||||||||||||
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets |
||||||||||||||||||||||||||||
Financial Instruments (1) |
Cash Collateral |
Securities Collateral (2) |
Net Amount |
|||||||||||||||||||||||||
| Financial Assets: |
||||||||||||||||||||||||||||
| Freestanding derivative assets |
$ | $ | — | $ | $ | $ | $ | $ | ||||||||||||||||||||
| Financial Liabilities: |
||||||||||||||||||||||||||||
| Freestanding derivative liabilities |
$ | $ | — | $ | $ | $ | — | $ | — | $ | — | |||||||||||||||||
| Securities loaned |
— | — | — | — | ||||||||||||||||||||||||
| Repurchase agreements |
— | — | — | — | ||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Total financial liabilities |
$ | $ | — | $ | $ | $ | $ | $ | — | |||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
(1) |
Represents the amount that could be offset under master netting or similar arrangements that management elects not to offset on the condensed consolidated balance sheet s . |
(2) |
Excludes initial margin amounts for exchange-traded derivatives. |
December 31, 2020 |
||||||||||||||||||||||||||||
Gross Amounts Recognized |
Gross Amounts Offset in the Condensed Consolidated Balance Sheets |
Net Amounts Presented in the Condensed Consolidated Balance Sheets |
||||||||||||||||||||||||||
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets |
||||||||||||||||||||||||||||
Financial Instruments (1) |
Cash Collateral |
Securities Collateral (2) |
Net Amount |
|||||||||||||||||||||||||
| Financial Assets: |
||||||||||||||||||||||||||||
| Freestanding derivative assets |
$ | $ | — | $ | $ | $ | $ | $ | ||||||||||||||||||||
| Financial Liabilities: |
||||||||||||||||||||||||||||
| Freestanding derivative liabilities |
$ | $ | — | $ | $ | $ | $ | — | $ | |||||||||||||||||||
| Securities loaned |
— | — | — | — | ||||||||||||||||||||||||
| Repurchase agreements |
— | — | — | — | ||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Total financial liabilities |
$ | $ | — | $ | $ | $ | $ | $ | ||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
(1) |
R epresents the amount that could be offset under master netting or similar arrangements that management elects not to offset on the condensed consolidated balance sheets. |
(2) |
Excludes initial margin amounts for exchange-traded derivatives. |
5. |
Fair Value Measurements |
June 30, 2021 |
December 31, 2020 |
|||||||||||||||
Carrying Value |
Fair Value |
Carrying Value |
Fair Value |
|||||||||||||
| Assets |
||||||||||||||||
| Debt securities (1) |
$ | $ | $ | $ | ||||||||||||
| Equity securities |
||||||||||||||||
| Mortgage loans |
||||||||||||||||
| Limited partnerships |
||||||||||||||||
| Policy loans (1) |
||||||||||||||||
| Freestanding derivative instruments |
||||||||||||||||
| Federal Home Loan Bank of Indianapolis (“FHLBI”) capital stock |
||||||||||||||||
| Cash and cash equivalents |
||||||||||||||||
| GMIB reinsurance recoverable |
||||||||||||||||
| Separate account assets |
||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
||||||||||||||||
| Annuity reserves (2) |
$ | $ | $ | $ | ||||||||||||
| Reserves for guaranteed investment contracts (3) |
||||||||||||||||
| Trust instruments supported by funding agreements (3) |
||||||||||||||||
| Federal Home Loan Bank funding agreements (3) |
||||||||||||||||
| Funds withheld payable under reinsurance treaties (1) |
||||||||||||||||
| Debt |
||||||||||||||||
| Securities lending payable |
||||||||||||||||
| Freestanding derivative instruments |
||||||||||||||||
| Repurchase agreements |
||||||||||||||||
| Federal Home Loan Bank advances |
||||||||||||||||
| Separate account liabilities |
||||||||||||||||
(1) |
Includes items carried at fair value under the fair value option and trading securities. |
(2) |
Annuity reserves represent only the components of other contract holder funds and reserves for future policy benefits and claims payable that are considered to be financial instruments. |
(3) |
Included as a component of other contract holder funds on the condensed consolidated balance sheets. |
June 30, 2021 |
||||||||||||||||
Total |
Level 1 |
Level 2 |
Level 3 |
|||||||||||||
| Assets |
||||||||||||||||
| Debt securities |
||||||||||||||||
| U.S. government securities |
$ | $ | $ | — | $ | — | ||||||||||
| Other government securities |
— | — | ||||||||||||||
| Public utilities |
— | — | ||||||||||||||
| Corporate securities |
— | |||||||||||||||
| Residential mortgage-backed |
— | — | ||||||||||||||
| Commercial mortgage-backed |
— | — | ||||||||||||||
| Other asset-backed securities |
— | |||||||||||||||
| Equity securities |
||||||||||||||||
| Limited partnerships |
— | |||||||||||||||
| Policy loans |
— | — | ||||||||||||||
| Freestanding derivative instruments |
— | — | ||||||||||||||
| Cash and cash equivalents |
— | — | ||||||||||||||
| GMIB reinsurance recoverable |
— | — | ||||||||||||||
| Separate account assets |
— | — | ||||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total |
$ | $ | $ | $ | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Liabilities |
||||||||||||||||
| Embedded derivative liabilities (1) |
$ | $ | — | $ | $ | |||||||||||
| Funds withheld payable under reinsurance treaties (2) |
— | — | ||||||||||||||
| Freestanding derivative instruments |
— | — | ||||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total |
$ | $ | — | $ | $ | |||||||||||
| |
|
|
|
|
|
|
|
|||||||||
(1) |
Includes the embedded derivative liabilities of $ |
(2) |
Includes the Athene embedded derivative liability of $ |
December 31, 2020 |
||||||||||||||||
Total |
Level 1 |
Level 2 |
Level 3 |
|||||||||||||
| Assets |
||||||||||||||||
| Debt securities |
||||||||||||||||
| U.S. government securities |
$ | $ | $ | — | $ | — | ||||||||||
| Other government securities |
— | — | ||||||||||||||
| Public utilities |
— | — | ||||||||||||||
| Corporate securities |
— | |||||||||||||||
| Residential mortgage-backed |
— | — | ||||||||||||||
| Commercial mortgage-backed |
— | — | ||||||||||||||
| Other asset-backed securities |
— | |||||||||||||||
| Equity securities |
||||||||||||||||
| Limited partnerships |
— | — | ||||||||||||||
| Policy loans |
— | — | ||||||||||||||
| Freestanding derivative instruments |
— | — | ||||||||||||||
| Cash and cash equivalents |
— | — | ||||||||||||||
| GMIB reinsurance recoverable |
— | — | ||||||||||||||
| Separate account assets |
— | — | ||||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total |
$ | $ | $ | $ | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Liabilities |
||||||||||||||||
| Embedded derivative liabilities (1) |
$ | $ | — | $ | $ | |||||||||||
| Funds withheld payable under reinsurance treaties (2) |
— | — | ||||||||||||||
| Freestanding derivative instruments |
— | — | ||||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total |
$ | $ | — | $ | $ | |||||||||||
| |
|
|
|
|
|
|
|
|||||||||
(1) |
Includes the embedded derivative liabilities of $ |
(2) |
Includes the Athene embedded derivative liability of $ |
June 30, 2021 |
||||||||||||
Total |
Internal |
External |
||||||||||
| Asset s |
|
|
|
|
|
|
|
|
|
|
|
|
| Debt securities: |
||||||||||||
| Corporate |
$ | $ | — |
$ | ||||||||
| Other asset-backed securities |
— |
|||||||||||
| Equity securities |
||||||||||||
| Limited partnerships |
— |
|||||||||||
| Policy loans |
— |
|||||||||||
| GMIB reinsurance recoverable |
— |
|||||||||||
| |
|
|
|
|
|
|||||||
| Total |
$ | $ | $ | |||||||||
| |
|
|
|
|
|
|||||||
| Liabilities |
||||||||||||
| Embedded derivative liabilities (1) |
$ | $ | $ | — |
||||||||
| Funds withheld payable under reinsurance treaties |
— |
|||||||||||
| |
|
|
|
|
|
|||||||
| Total |
$ | $ | $ | — |
||||||||
| |
|
|
|
|
|
|||||||
(1) |
Includes the embedded derivative related to GMWB reserves. |
December 31, 2020 |
||||||||||||
Total |
Internal |
External |
||||||||||
| Asset s |
|
|
|
|
|
|
|
|
|
|
|
|
| Debt securities: |
||||||||||||
| Corporate |
$ | $ | — |
$ | ||||||||
| Other asset-backed securities |
— |
|||||||||||
| Equity securities |
||||||||||||
| Limited partnerships |
— |
|||||||||||
| Policy loans |
— |
|||||||||||
| GMIB reinsurance recoverable |
— |
|||||||||||
| |
|
|
|
|
|
|||||||
| Total |
$ | $ | $ | |||||||||
| |
|
|
|
|
|
|||||||
| Liabilities |
||||||||||||
| Embedded derivative liabilities (1) |
$ | $ | $ | — |
||||||||
| Funds withheld payable under reinsurance treaties |
— |
|||||||||||
| |
|
|
|
|
|
|||||||
| Total |
$ | $ | $ | — |
||||||||
| |
|
|
|
|
|
|||||||
(1) |
Includes the embedded derivative related to GMWB reserves. |
As of June 30, 2021 |
||||||||||||||||||
Fair Value |
Valuation Technique(s) |
Significant Unobservable Input(s) |
Assumption or Input Range |
Impact of Increase in Input on Fair Value |
||||||||||||||
| Assets |
|
|
|
|
| |||||||||||||
| GMIB reinsurance recoverable |
$ | |
Discounted cash flow | Mortality (1) |
|
|
|
Decrease | | |||||||||
| |
Lapse (2) |
|
|
|
Decrease | | ||||||||||||
| |
Utilization (3) |
|
|
|
Increase | | ||||||||||||
| |
Withdrawal (4) |
|
|
|
Increase | | ||||||||||||
| |
Nonperformance risk (5) |
|
|
|
Decrease | | ||||||||||||
| |
Long-term Equity Volatility (6) |
|
|
|
Increase | | ||||||||||||
| Liabilities |
|
|
|
|
| |||||||||||||
| Embedded derivative liabilities |
$ | |
Discounted cash flow | Mortality (1) |
|
|
|
Decrease | | |||||||||
| |
Lapse (2) |
|
|
|
Decrease | | ||||||||||||
| |
Utilization (3) |
|
|
|
Increase | | ||||||||||||
| |
Withdrawal (4) |
|
|
|
Increase | | ||||||||||||
| |
Nonperformance risk (5) |
|
|
|
Decrease | | ||||||||||||
| |
Long-term Equity Volatility (6) |
|
|
|
Increase | | ||||||||||||
(1) |
Mortality rates vary by attained age, tax qualification status, GMWB benefit election, and duration. The range displayed reflects ages from the minimum issue age for the benefit through age 95, which corresponds to the typical maturity age. A mortality improvement assumption is also applied. |
(2) |
Base lapse rates vary by contract-level factors, such as product type, surrender charge schedule and optional benefits election. Lapse rates are further adjusted based on the degree to which a guaranteed benefit is in-the-money, in-the-money. |
(3) |
The utilization rate represents the expected percentage of contracts that will utilize the benefit through annuitization (GMIB) or commencement of withdrawals (GMWB). Utilization may vary by benefit type, attained age, duration, tax qualification status, benefit provision, and degree to which the guaranteed benefit is in-the-money. |
(4) |
The withdrawal rate represents the utilization rate of the contract’s free partial withdrawal provision (GMIB) or the percentage of annual withdrawal assumed relative to the maximum allowable withdrawal amount (GMWB). Withdrawal rates on contracts with a GMIB vary based on the product type and duration. Withdrawal rates on contracts with a GMWB vary based on attained age, tax qualification status, GMWB type and GMWB benefit provisions. |
(5) |
Nonperformance risk spread varies by duration. |
(6) |
Long-term equity volatility represents the equity volatility beyond the period for which observable equity volatilities are available. |
As of December 31, 2020 |
||||||||||||||||||
Fair Value |
Valuation Technique(s) |
Significant Unobservable Input(s) |
Assumption or Input Range |
Impact of Increase in Input on Fair Value |
||||||||||||||
| Assets |
||||||||||||||||||
| GMIB reinsurance recoverable |
$ |
|
Discounted cash flow | Mortality (1) |
|
|
|
|
Decrease | | ||||||||
| |
|
Lapse (2) |
|
|
|
|
Decrease | | ||||||||||
| |
|
Utilization (3) |
|
|
|
|
Increase | | ||||||||||
| |
|
Withdrawal (4) |
|
|
|
|
Increase | | ||||||||||
| |
|
Nonperformance risk (5) |
|
|
|
|
Decrease | | ||||||||||
| |
|
Long-term Equity Volatility (6) |
|
|
|
|
Increase | | ||||||||||
| Liabilities |
||||||||||||||||||
| Embedded derivative liabilities |
$ |
|
Discounted cash flow | Mortality (1) |
|
|
|
|
Decrease | | ||||||||
| |
|
Lapse (2) |
|
|
|
|
Decrease | | ||||||||||
| |
|
Utilization (3) |
|
|
|
|
Increase | | ||||||||||
| |
|
Withdrawal (4) |
|
|
|
|
Increase | | ||||||||||
| |
|
Nonperformance risk (5) |
|
|
|
|
Decrease | | ||||||||||
| |
|
Long-term Equity Volatility(6) |
|
|
|
|
Increase | | ||||||||||
(1) |
Mortality rates vary by attained age, tax qualification status, GMWB benefit election, and duration. The range displayed reflects ages from the minimum issue age for the benefit through age 95, which corresponds to the typical maturity age. A mortality improvement assumption is also applied. |
(2) |
Base lapse rates vary by contract-level factors, such as product type, surrender charge schedule and optional benefits election. Lapse rates are further adjusted based on the degree to which a guaranteed benefit is in-the-money, in-the-money. |
(3) |
The utilization rate represents the expected percentage of contracts that will utilize the benefit through annuitization (GMIB) or commencement of withdrawals (GMWB). Utilization may vary by benefit type, attained age, duration, tax qualification status, benefit provision, and degree to which the guaranteed benefit is in-the-money. |
(4) |
The withdrawal rate represents the utilization rate of the contract’s free partial withdrawal provision (GMIB) or the percentage of annual withdrawal assumed relative to the maximum allowable withdrawal amount (GMWB). Withdrawal rates on contracts with a GMIB vary based on the product type and duration. Withdrawal rates on contracts with a GMWB vary based on attained age, tax qualification status, GMWB type and GMWB benefit provisions. |
(5) |
Nonperformance risk spread varies by duration. |
(6) |
Long-term equity volatility represents the equity volatility beyond the period for which observable equity volatilities are available. |
| |
|
|
|
|
Total Realized/Unrealized Gains (Losses) Included in |
|
|
|
|
|
|
|
|
|
| |||||||||
| Three Months Ended June 30, 2021 |
Fair of April 1, 2021 |
Net Income |
Other Comprehensive Income |
Purchases, Sales, Issuances and Settlements |
Transfers in and/or (out of) Level 3 |
Fair Value as of June 30, 2021 |
||||||||||||||||||
| Assets |
||||||||||||||||||||||||
| Debt securities |
||||||||||||||||||||||||
| Corporate securities |
$ | $ | $ | — |
$ | $ | $ | |||||||||||||||||
| Other asset-backed securities |
— |
— |
— |
— |
||||||||||||||||||||
| Equity securities |
— |
( |
) | |||||||||||||||||||||
| Limited partnerships |
— |
— |
( |
) | — |
|||||||||||||||||||
| GMIB reinsurance recoverable |
— |
— |
— |
|||||||||||||||||||||
| Policy Loans |
— |
( |
) | — |
||||||||||||||||||||
| Liabilities |
||||||||||||||||||||||||
| Embedded derivative liabilities |
$ | ( |
) | $ | ( |
) | $ | — |
$ | — |
$ | — |
$ | ( |
) | |||||||||
| Funds withheld payable under reinsurance treaties |
( |
) | ( |
) | ( |
) | — |
( |
) | |||||||||||||||
| |
|
|
|
|
Total Realized/Unrealized Gains (Losses) Included in |
|
|
|
|
|
|
|
|
|
| |||||||||
| Three Months Ended June 30, 2020 |
Fair Value as of April 1, 2020 |
Net Income |
Other Comprehensive Income |
Purchases, Sales, Issuances and Settlements |
Transfers in and/or (out of) Level 3 |
Fair Value as of June 30, 2020 |
||||||||||||||||||
| Assets |
||||||||||||||||||||||||
| Debt securities |
||||||||||||||||||||||||
| Corporate securities |
$ | $ | ( |
) | $ | — |
$ | $ | ( |
) | $ | |||||||||||||
| Equity securities |
( |
) | — |
( |
) | ( |
) | |||||||||||||||||
| Limited partnerships |
( |
) | — |
— |
— |
|||||||||||||||||||
| GMIB reinsurance recoverable |
( |
) | — |
— |
— |
|||||||||||||||||||
| Policy loans |
— |
( |
) | — |
||||||||||||||||||||
| Liabilities |
||||||||||||||||||||||||
| Embedded derivative liabilities |
$ | ( |
) | $ | $ | — |
$ | — |
$ | — |
$ | ( |
) | |||||||||||
| Funds withheld payable under reinsurance |
( |
) | ( |
) | — |
( |
) | |||||||||||||||||
| |
|
|
|
|
Total Realized/Unrealized Gains (Losses) Included in |
|
|
|
|
|
|
|
|
|
| |||||||||
| Six Months Ended June 30, 2021 |
Fair Value as of January 1, 2021 |
Net Income |
Other Comprehensive Income |
Purchases, Sales, Issuances and Settlements |
Transfers in and/or (out of) Level 3 |
Fair Value as of June 30, 2021 |
||||||||||||||||||
| Assets |
||||||||||||||||||||||||
| Debt securities |
||||||||||||||||||||||||
| Corporate securities |
$ | $ | $ | — |
$ | $ | ( |
) | $ | |||||||||||||||
| Other asset-backed securities |
— |
— |
— |
— |
||||||||||||||||||||
| Equity securities |
— |
( |
) | |||||||||||||||||||||
| Limited partnerships |
— |
— |
( |
) | — |
|||||||||||||||||||
| GMIB reinsurance recoverable |
( |
) | — |
— |
— |
|||||||||||||||||||
| Policy loans |
— |
( |
) | — |
||||||||||||||||||||
| Liabilities |
||||||||||||||||||||||||
| Embedded derivative liabilities |
$ | ( |
) | $ | $ | — |
$ | — |
$ | — |
$ | ( |
) | |||||||||||
| Funds withheld payable under reinsurance treaties |
( |
) | — |
( |
) | |||||||||||||||||||
| |
|
|
|
|
Total Realized/Unrealized Gains (Losses) Included in |
|
|
|
|
|
|
|
|
|
| |||||||||
| Six Months Ended June 30, 2020 |
Fair Value as of January 1, 2020 |
Net Income |
Other Comprehensive Income |
Purchases, Sales, Issuances and Settlements |
Transfers in and/or (out of) Level 3 |
Fair Value as of June 30, 2020 |
||||||||||||||||||
| Assets |
||||||||||||||||||||||||
| Debt securities |
||||||||||||||||||||||||
| Corporate securities |
$ | — |
$ | ( |
) | $ | — |
$ | $ | $ | ||||||||||||||
| Equity securities |
( |
) | — |
( |
) | ( |
) | |||||||||||||||||
| Limited partnerships |
( |
) | — |
— |
— |
|||||||||||||||||||
| GMIB reinsurance recoverable |
— |
— |
— |
|||||||||||||||||||||
| Policy loans |
— |
( |
) | — |
||||||||||||||||||||
| Liabilities |
||||||||||||||||||||||||
| Embedded derivative liabilities |
$ | ( |
) | $ | ( |
) | $ | — |
$ | — |
$ | — |
$ | ( |
) | |||||||||
| Funds withheld payable under reinsurance treaties |
( |
) | ( |
) | ( |
) | — |
( |
) | |||||||||||||||
| Three Months Ended June 30, 2021 |
Purchases |
Sales |
Issuances |
Settlements |
Total |
|||||||||||||||
| Assets |
||||||||||||||||||||
| Debt securities |
||||||||||||||||||||
| Corporate securities |
$ | $ | ( |
) | $ | — | $ | — | $ | |||||||||||
| Equity securities |
— |
( |
) | — | — | ( |
) | |||||||||||||
| Limited partnerships |
— |
( |
) | — | — | ( |
) | |||||||||||||
| Policy loans |
— | — | ( |
) | ( |
) | ||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$ | $ | ( |
) | $ | $ | ( |
) | $ | ( |
) | |||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Liabilities |
||||||||||||||||||||
| Funds withheld payable under reinsurance treaties |
$ | — | $ | — | $ | ( |
) | $ | $ | ( |
) | |||||||||
| Three Months Ended June 30, 2020 |
Purchases |
Sales |
Issuances |
Settlements |
Total |
|||||||||||||||
| Assets |
||||||||||||||||||||
| Debt securities |
||||||||||||||||||||
| Corporate securities |
$ | $ | ( |
) | $ | — | $ | — | $ | |||||||||||
| Equity securities |
( |
) | — | — | ( |
) | ||||||||||||||
| Policy loans |
— | — | ( |
) | ( |
) | ||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$ | $ | ( |
) | $ | $ | ( |
) | $ | ( |
) | |||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Liabilities |
||||||||||||||||||||
| Funds withheld payable under reinsurance treaties |
$ | — | $ | — | $ | ( |
) | $ | $ | |||||||||||
| Six Months Ended June 30, 2021 |
Purchases |
Sales |
Issuances |
Settlements |
Total |
|||||||||||||||
| Assets |
||||||||||||||||||||
| Debt securities |
||||||||||||||||||||
| Corporate securities |
$ | $ | ( |
) | $ | — | $ | — | $ | |||||||||||
| Equity securities |
— | ( |
) | — | — | ( |
) | |||||||||||||
| Limited partnerships |
— | ( |
) | — | — | ( |
) | |||||||||||||
| Policy loans |
— | — | ( |
) | ( |
) | ||||||||||||||
| Total |
$ | $ | ( |
) | $ | $ | ( |
) | $ | ( |
) | |||||||||
| Liabilities |
||||||||||||||||||||
| Funds withheld payable under reinsurance treaties |
$ | — | $ | — | $ | ( |
) | $ | $ | |||||||||||
| Six Months Ended June 30, 2020 |
Purchases |
Sales |
Issuances |
Settlements |
Total |
|||||||||||||||
| Assets |
||||||||||||||||||||
| Debt securities |
||||||||||||||||||||
| Corporate securities |
$ | $ | ( |
) | $ | — | $ | — | $ | |||||||||||
| Equity securities |
( |
) | — | — | ( |
) | ||||||||||||||
| Policy loans |
— | — | ( |
) | ( |
) | ||||||||||||||
| Total |
$ | $ | ( |
) | $ | $ | ( |
) | $ | ( |
) | |||||||||
| Liabilities |
||||||||||||||||||||
| Funds withheld payable under reinsurance treaties |
$ | — | $ | — | $ | ( |
) | $ | $ | |||||||||||
Three Months Ended June 30, |
||||||||||||||||
2021 |
2020 |
|||||||||||||||
Included in Net Income |
Included in OCI |
Included in Net Income |
Included in OCI |
|||||||||||||
| Assets |
||||||||||||||||
| Debt securities |
||||||||||||||||
| Corporate securities |
$ | $ | — | $ | ( |
) | $ | — | ||||||||
| Other asset-backed securities |
— | — | — | — | ||||||||||||
| Equity securities |
— | ( |
) | — | ||||||||||||
| Limited partnerships |
— | — | ( |
) | — | |||||||||||
| GMIB reinsurance recoverable |
— | ( |
) | — | ||||||||||||
| Funds withheld reinsurance assets |
— | — | ||||||||||||||
| Liabilities |
||||||||||||||||
| Embedded derivative liabilities |
$ | ( |
) | $ | — | $ | $ | — | ||||||||
| Funds withheld payable under reinsurance treaties |
( |
) | — | ( |
) | — | ||||||||||
Six Months Ended June 30, |
||||||||||||||||
2021 |
2020 |
|||||||||||||||
Included in Net Income |
Included in OCI |
Included in Net Income |
Included in OCI |
|||||||||||||
| Assets |
||||||||||||||||
| Debt securities |
||||||||||||||||
| Corporate securities |
$ | $ | — | $ | ( |
) | $ | — | ||||||||
| Other asset-backed securities |
— | — | — | — | ||||||||||||
| Equity securities |
— | ( |
) | — | ||||||||||||
| Limited partnerships |
— | — | ( |
) | — | |||||||||||
| GMIB reinsurance recoverable |
( |
) | — | — | ||||||||||||
| Funds withheld reinsurance assets |
— | — | ||||||||||||||
| Liabilities |
||||||||||||||||
| Embedded derivative liabilities |
$ | $ | — | $ | ( |
) | $ | — | ||||||||
| Funds withheld payable under reinsurance treaties |
— | ( |
) | — | ||||||||||||
June 30, 2021 |
December 31, 2020 |
|||||||||||||||||||
Fair Value Hierarchy Level |
Carrying Value |
Fair Value |
Carrying Value |
Fair Value |
||||||||||||||||
| Assets |
|
|
||||||||||||||||||
| Mortgage loans |
|
Level 3 | |
$ | $ | $ | $ | |||||||||||||
| Policy loans |
|
Level 3 | |
|||||||||||||||||
| FHLB capital stock |
|
Level 1 | |
|||||||||||||||||
| Liabilities |
|
|
||||||||||||||||||
| Annuity reserves (1) |
|
Level 3 | |
$ | $ | $ | $ | |||||||||||||
| Reserves for guaranteed investment contracts (2) |
|
Level 3 | |
|||||||||||||||||
| Trust instruments supported by funding agreements (2) |
|
Level 3 | |
|||||||||||||||||
| Federal Home Loan Bank funding agreements (2) |
|
Level 3 | |
|||||||||||||||||
| Funds withheld payable under reinsurance treaties |
|
Level 2 | |
|||||||||||||||||
| Debt- all other |
|
Level 2 | |
|||||||||||||||||
| Securities lending payable |
|
Level 2 | |
|||||||||||||||||
| Federal Home Loan Bank advances |
|
Level 2 | |
|||||||||||||||||
| Repurchase agreements |
|
Level 2 | |
|||||||||||||||||
| Separate account liabilities (3) |
|
Level 2 | |
|||||||||||||||||
(1) |
Annuity reserves represent only the components of other contract holder funds that are considered to be financial instruments. |
(2) |
Included as a component of other contract holder funds on the condensed consolidated balance sheets. |
(3) |
The values of separate account liabilities are set equal to the values of separate account assets. |
6. |
Deferred Acquisition Costs |
Six Months Ended June 30, |
||||||||
2021 |
2020 |
|||||||
| Balance, beginning of period |
$ | $ | ||||||
| Deferrals of acquisition costs |
||||||||
| Amortization related to: |
||||||||
| Operating amortization |
( |
) | ( |
) | ||||
| Non-operating amortization |
( |
) | ||||||
| Write-off related to Athene transaction |
— | ( |
) | |||||
| |
|
|
|
|||||
| Total amortization (expense) benefit |
( |
) | ( |
) | ||||
| Unrealized investment (gains) losses |
||||||||
| |
|
|
|
|||||
| Balance, end of period |
$ | $ | ||||||
| |
|
|
|
|||||
7. |
Reinsurance |
June 30, 2021 |
December 31, 2020 |
|||||||
Assets |
||||||||
Debt securities |
$ | $ | ||||||
Equity securities |
||||||||
Mortgage loans |
||||||||
Policy loans |
||||||||
Derivative instruments, net |
( |
) | ||||||
Limited partnerships |
||||||||
Cash and cash equivalents |
||||||||
Accrued investment income |
||||||||
Other assets and liabilities, net |
||||||||
Total assets (2) |
$ | $ | ||||||
Liabilities |
||||||||
Funds held under reinsurance treaties (1) |
||||||||
Total liabilities |
$ | $ | ||||||
(1) |
Includes funds withheld embedded derivative of $ |
(2) |
Certain assets are reported at amortized cost while the fair value of those assets are reported in the embedded derivative in the funds withheld liability. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
Debt securities |
$ | $ | $ | $ | ||||||||||||
Equity securities |
— |
— | ||||||||||||||
Mortgage loans |
||||||||||||||||
Policy loans |
||||||||||||||||
Limited partnerships |
( |
) | — |
— |
||||||||||||
Other investment income |
— |
|||||||||||||||
Total investment income on funds withheld assets |
||||||||||||||||
Other investment expenses on funds withheld assets (1) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Total net investment income on funds withheld reinsurance treaties |
$ | $ | $ | $ | ||||||||||||
(1) |
Includes management fees. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
Available-for-sale |
||||||||||||||||
Realized gains on sale |
$ | $ | $ | $ | ||||||||||||
Realized losses on sale |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Credit loss expense |
( |
) | — |
( |
) | — |
||||||||||
Gross impairments |
— |
( |
) | — | ( |
) | ||||||||||
Credit loss expense on mortgage loans |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Other |
( |
) | — |
( |
) | — |
||||||||||
Net gains (losses) on non-derivative investments |
||||||||||||||||
Net gains (losses) on derivative instruments |
( |
) | ( |
) | ||||||||||||
Net gains (losses) on funds withheld payable under reinsurance treaties (1) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Total net gains (losses) on derivatives and investments |
$ | ( |
) | $ | $ | $ | ||||||||||
(1) |
Includes the Athene embedded derivative gain (loss) of $( |
June 30, 2021 |
December 31, 2020 |
|||||||
Reserves: |
||||||||
Life |
$ | $ | ||||||
Accident and health |
||||||||
Guaranteed minimum income benefits |
||||||||
Other annuity benefits (1) |
||||||||
Claims liability and other |
||||||||
Total |
$ | $ | ||||||
(1) |
Other annuity benefits primarily attributable to fixed and fixed index annuities reinsured with Athene. |
8. |
Reserves for Future Policy Benefits and Claims Payable and Other Contract Holder Funds |
June 30, 2021 |
December 31, 2020 |
|||||||
| Traditional life |
$ | |
|
$ | ||||
| Guaranteed benefits (1) |
||||||||
| Claims payable |
||||||||
| Accident and health |
||||||||
| Group payout annuities |
||||||||
| Other |
||||||||
| |
|
|
|
|||||
| Total |
$ | $ | ||||||
| |
|
|
|
|||||
(1) |
Primarily includes the embedded derivative liabilities related to the GMWB reserve. |
June 30, 2021 |
December 2020 |
|||||||
| Interest-sensitive life |
$ | $ | ||||||
| Variable annuity fixed option |
||||||||
| Fixed annuity |
||||||||
| Fixed index annuity (1) |
||||||||
| GICs, funding agreements and FHLB advances |
||||||||
| |
|
|
|
|||||
| Total |
$ | $ | ||||||
| |
|
|
|
|||||
(1) |
Includes the embedded derivative liabilities related to fixed index annuity of $ |
| June 30, 2021 Account Value |
||||||||||||||||
| Minimum Guaranteed Interest Rate |
Fixed |
Fixed Index |
Variable |
Total |
||||||||||||
| 1.0% |
$ | $ | $ | $ | ||||||||||||
| >1.0% - 2.0% |
||||||||||||||||
| >2.0% - 3.0% |
||||||||||||||||
| >3.0% - 4.0% |
— | — | ||||||||||||||
| >4.0% - 5.0% |
— | — | ||||||||||||||
| >5.0% - 5.5% |
— | — | ||||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Subtotal |
||||||||||||||||
| Ceded reinsurance |
— | |||||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total |
$ | $ | $ |
$ | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| December 31, 2020 Account Value |
||||||||||||||||
| Minimum Guaranteed Interest Rate |
Fixed |
Fixed Index |
Variable |
Total |
||||||||||||
| 1.0% |
$ | $ | $ | $ | ||||||||||||
| >1.0% - 2.0% |
||||||||||||||||
| >2.0% - 3.0% |
||||||||||||||||
| >3.0% - 4.0% |
— | — | ||||||||||||||
| >4.0% - 5.0% |
— | — | ||||||||||||||
| >5.0% - 5.5% |
— | — | ||||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Subtotal |
||||||||||||||||
| Ceded reinsurance |
— | |||||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total |
$ | $ | $ | $ | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
June 30, 2021 |
December 31, 2020 |
|||||||
| |
|
|
|
|||||
| Minimum Guaranteed Interest Rate |
Account Value - Interest Sensitive Life |
|||||||
| >2.0% - 3.0% |
$ | $ | ||||||
| >3.0% - 4.0% |
||||||||
| >4.0% - 5.0% |
||||||||
| >5.0% - 6.0% |
||||||||
| |
|
|
|
|||||
| Subtotal |
||||||||
| Retro treaties |
||||||||
| |
|
|
|
|||||
| Total |
$ | $ | ||||||
| |
|
|
|
|||||
9. |
Certain Nontraditional Long-Duration Contracts and Variable Annuity Guarantees |
June 30, 2021 |
Minimum Return |
Account Value |
Net Amount at Risk |
Weighted Average Attained Age |
Average Period until Expected Annuitization |
|||||||||||||||
| Return of net deposits plus a minimum return |
||||||||||||||||||||
| GMDB |
% | $ | $ | |||||||||||||||||
| GMWB - Premium only |
% | |||||||||||||||||||
| GMWB |
%* | |||||||||||||||||||
| GMAB - Premium only |
% | — | — | |||||||||||||||||
| Highest specified anniversary account value minus withdrawals post-anniversary |
||||||||||||||||||||
| GMDB |
||||||||||||||||||||
| GMWB - Highest anniversary only |
||||||||||||||||||||
| GMWB |
||||||||||||||||||||
| Combination net deposits plus minimum return, highest specified anniversary account value minus withdrawals post-anniversary |
||||||||||||||||||||
| GMDB |
% | |||||||||||||||||||
| GMIB |
% | |||||||||||||||||||
| GMWB |
%* | |||||||||||||||||||
December 31, 2020 |
Minimum Return |
Account Value |
Net Amount at Risk |
Weighted Average Attained Age |
Average Period until Expected Annuitization |
|||||||||||||||
| Return of net deposits plus a minimum return |
||||||||||||||||||||
| GMDB |
% | $ | $ | |||||||||||||||||
| GMWB - Premium only |
% | |||||||||||||||||||
| GMWB |
%* | |||||||||||||||||||
| GMAB - Premium only |
% | — | ||||||||||||||||||
| Highest specified anniversary account value minus withdrawals post-anniversary |
||||||||||||||||||||
| GMDB |
||||||||||||||||||||
| GMWB - Highest anniversary only |
||||||||||||||||||||
| GMWB |
||||||||||||||||||||
| Combination net deposits plus minimum return, highest specified anniversary account value minus withdrawals post-anniversary |
||||||||||||||||||||
| GMDB |
% | |||||||||||||||||||
| GMIB |
% | |||||||||||||||||||
| GMWB |
%* | |||||||||||||||||||
* |
R a nges shown based on simple interest. The upper limits of 5 % or 8 % simple interest are approximately equal to bonus period. The combination GMWB category also includes benefits with a defined increase in the withdrawal percentage under pre-defined non-market conditions. |
June 30, |
December 31, |
|||||||
2021 |
2020 |
|||||||
| Fund type: |
||||||||
| Equity |
$ | $ | ||||||
| Bond |
||||||||
| Balanced |
||||||||
| Money market |
||||||||
| |
|
|
|
|||||
| Total |
$ | $ | ||||||
| |
|
|
|
|||||
Six Months Ended June 30, |
||||||||
2021 |
2020 |
|||||||
| Balance as of beginning of period |
$ | $ | ||||||
| Incurred guaranteed benefits |
||||||||
| Paid guaranteed benefits |
( |
) | ( |
) | ||||
| |
|
|
|
|||||
| Balance as of end of period |
$ | $ | ||||||
| |
|
|
|
|||||
| 1) | Use of a series of stochastic investment performance scenarios, based on historical average market volatility. |
| 2) | Mean investment performance assumption of |
| 3) | Mortality equal to |
| 4) | Lapse rates varying by contract type, duration and degree the benefit is in-the-money |
| 5) | Discount rates: |
June 30, 2021 |
December 31, 2020 |
|||||||||||||||||||||||
| Benefit Type |
Liability (in millions) |
Net Amount at Risk (in millions) |
Weighted Average Attained Age |
Liability (in millions) |
Net Amount at Risk (in millions) |
Weighted Average Attained Age |
||||||||||||||||||
| Insurance benefits * |
$ | $ | $ | $ | ||||||||||||||||||||
| Account balance adjustments |
N/A | N/A | N/A | N/A | ||||||||||||||||||||
| * | Amounts for the universal life benefits are for the total of the plans containing any policies having projected non-zero excess benefits, and thus may include some policies with zero projected excess benefits. |
| 1) | Use of a series of deterministic premium persistency scenarios. |
| 2) | Other experience assumptions similar to those used in amortization of deferred acquisition costs. |
| 3) | Discount rates equal to credited interest rates, approximately |
10. |
Debt |
June 30, |
December 31, |
|||||||
2021 |
2020 |
|||||||
| Surplus note s |
$ |
$ |
||||||
| FHLBI bank loans |
||||||||
| |
|
|
|
|||||
| Total |
$ |
$ |
||||||
| |
|
|
|
|||||
11. |
Federal Home Loan Bank Advances |
12. |
Income Taxes |
13. |
Segment Information |
| • | Fees attributable to guarantee benefits: fees paid in conjunction with guaranteed benefit features offered for certain of the Company’s variable annuities and fixed index annuities are set at a level intended to mitigate the cost of hedging and funding the liabilities associated with such guaranteed benefit features. The full amount of the fees attributable to guarantee benefit features have been excluded from pretax adjusted operating earnings as the related net movements in freestanding derivatives and net reserve and embedded derivative movements, as described below, have been excluded from pretax adjusted operating earnings. This presentation of earnings is intended to directly align revenue and related expenses associated with the guaranteed benefit features; |
| • | Net movement in freestanding derivatives, except earned income (periodic settlements and changes in settlement accruals) on derivatives that are hedges of investments, but do not qualify for hedge accounting treatment: changes in the fair value of freestanding derivatives used to manage the risk associated with life and annuity reserves, including those arising from the guaranteed benefit features offered for certain variable annuities and fixed index annuities. Net movements in freestanding derivatives have been excluded from pretax adjusted operating earnings because the market value of these derivatives may vary significantly from period to period as a result of near-term market conditions and therefore are not directly comparable or reflective of the underlying profitability of the business; |
| • | Net reserve and embedded derivative movements: changes in the valuation of certain life and annuity reserves, a portion of which are accounted for as embedded derivative instruments and which primarily comprise of variable and fixed index annuity reserves, including those guaranteed benefit features offered for certain of the Company’s variable annuities. Net reserve and embedded derivative movements have been excluded from pretax adjusted operating earnings because the carrying values of these derivatives may vary significantly from period to period as the result of near-term market conditions and policyholder behavior-related inputs and therefore are not directly comparable or reflective of the underlying profitability of the business. Movements in reserves attributable to the current period claims and benefit payments in excess of a customer’s account value on these policies are also excluded from pretax adjusted operating earnings as these benefit payments are affected by near-term market conditions and policyholder behavior-related inputs and therefore may vary significantly from period to period; |
| • | Net Realized Investment Gains and Losses including change in fair value of funds withheld embedded derivative: Realized investment gains and losses associated with the periodic sales or disposals of securities, excluding those held within our trading portfolio, as well as impairments of securities, after adjustment for the non-credit component of the impairment charges and change in fair value of funds withheld embedded derivative related to the Athene Reinsurance transaction; |
| • | DAC and DSI impact: amortization of deferred acquisition costs and deferred sales inducements associated with the items excluded from pretax adjusted operating earnings; |
| • | Net investment income on funds withheld assets: Includes net investment income on funds withheld assets related to the reinsurance transaction; |
| • | Other items: one-time or other non-recurring items, such as costs relating to the Company’s separation from its parent, Prudential, the impact of discontinued operations and investments that are consolidated on the financial statements due to U.S. GAAP accounting requirements, such as investments in collateralized loan obligations, but for which the consolidation effects are not aligned with the Company’s economic interest or exposure to those entities; and |
| • | Income taxes. |
| Three Months Ended June 30, 2021 |
Retail Annuities |
Closed Life and Annuity Blocks |
Institutional Products |
Corporate and Other |
Intersegment Eliminations |
Total Consolidated |
||||||||||||||||||
| Operating Revenues |
||||||||||||||||||||||||
| Fee income |
$ | $ | $ | — | $ | $ | ( |
) | $ | |||||||||||||||
| Premium |
— | — | — | — | ||||||||||||||||||||
| Net investment income |
( |
) | ||||||||||||||||||||||
| Income on operating derivatives |
— | — | ||||||||||||||||||||||
| Other income |
— | — | ||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Operating Revenues |
||||||||||||||||||||||||
| Operating Benefits and Expenses |
||||||||||||||||||||||||
| Death, other policy benefits and change in policy reserves, net of deferrals |
— | — | — | |||||||||||||||||||||
| Interest credited on other contract holder funds, net of deferrals |
— | — | ||||||||||||||||||||||
| Interest expense |
— | — | — | |||||||||||||||||||||
| Operating costs and other expenses, net of deferrals |
— | |||||||||||||||||||||||
| Deferred acquisition and sales inducements amortization |
( |
) | — | — | ( |
) | ||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Operating Benefits and Expenses |
||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Pretax Adjusted Operating Earnings |
$ | $ | $ | $ | ( |
) | $ | $ | ||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Three Months Ended June 30, 2020 |
Retail Annuities |
Closed Life and Annuity Blocks |
Institutional Products |
Corporate and Other |
Intersegment Eliminations |
Total Consolidated |
||||||||||||||||||
| Operating Revenues |
||||||||||||||||||||||||
| Fee income |
$ | $ | $ | — | $ | $ | ( |
) | $ | |||||||||||||||
| Premium |
— | — | — | — | ||||||||||||||||||||
| Net investment income |
( |
) | ||||||||||||||||||||||
| Income on operating derivatives |
— | — | ||||||||||||||||||||||
| Other income |
— | — | ||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Operating Revenues |
( |
) | ||||||||||||||||||||||
| Operating Benefits and Expenses |
||||||||||||||||||||||||
| Death, other policy benefits and change in policy reserves, net of deferrals |
— | — | — | |||||||||||||||||||||
| Interest credited on other contract holder funds, net of deferrals |
— | — | ||||||||||||||||||||||
| Interest expense |
— | — | ||||||||||||||||||||||
| Operating costs and other expenses, net of deferrals |
— | |||||||||||||||||||||||
| Deferred acquisition and sales inducements amortization |
( |
) | — | — | ( |
) | ||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Operating Benefits and Expenses |
||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Pretax Adjusted Operating Earnings |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Six Months Ended June 30, 2021 |
Retail Annuities |
Closed Life and Annuity Blocks |
Institutional Products |
Corporate and Other |
Intersegment Eliminations |
Total Consolidated |
||||||||||||||||||
| Operating Revenues |
||||||||||||||||||||||||
| Fee income |
$ | $ | $ | — | $ | $ | ( |
) | $ | |||||||||||||||
| Premium |
— | — | — | — | ||||||||||||||||||||
| Net investment income |
( |
) | ||||||||||||||||||||||
| Income on operating derivatives |
— | — | ||||||||||||||||||||||
| Other income |
— | — | ||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Operating Revenues |
||||||||||||||||||||||||
| Operating Benefits and Expenses |
||||||||||||||||||||||||
| Death, other policy benefits and change in policy reserves, net of deferrals |
— | — | — | |||||||||||||||||||||
| Interest credited on other contract holder funds, net of deferrals |
— | — | ||||||||||||||||||||||
| Interest expense |
— | — | — | |||||||||||||||||||||
| Operating costs and other expenses, net of deferrals |
— | |||||||||||||||||||||||
| Deferred acquisition and sales inducements amortization |
— | — | ||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Operating Benefits and Expenses |
||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Pretax Adjusted Operating Earnings |
$ |
$ |
$ |
$ |
( |
) |
$ |
$ |
||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Six Months Ended June 30, 2020 |
Retail Annuities |
Closed Life and Annuity Blocks |
Institutional Products |
Corporate and Other |
Intersegment Eliminations |
Total Consolidated |
||||||||||||||||||
| Operating Revenues |
||||||||||||||||||||||||
| Fee income |
$ | $ | $ | — | $ | $ | ( |
) | $ | |||||||||||||||
| Premium |
— | — | — | — | ||||||||||||||||||||
| Net investment income |
( |
) | ||||||||||||||||||||||
| Income on operating derivatives |
— | — | ||||||||||||||||||||||
| Other income |
— | |||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Operating Revenues |
||||||||||||||||||||||||
| Operating Benefits and Expenses |
||||||||||||||||||||||||
| Death, other policy benefits and change in policy reserves, net of deferrals |
— | — | — | |||||||||||||||||||||
| Interest credited on other contract holder funds, net of deferrals |
— | — | ||||||||||||||||||||||
| Interest expense |
— | — | ||||||||||||||||||||||
| Operating costs and other expenses, net of deferrals |
— | |||||||||||||||||||||||
| Deferred acquisition and sales inducements amortization |
— | — | ||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total Operating Benefits and Expenses |
||||||||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Pretax Adjusted Operating Earnings |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
Total operating revenues |
$ | $ | $ | $ | ||||||||||||
Fees attributed to variable annuity benefit reserves |
||||||||||||||||
Net gains (losses) on derivatives and investments |
( |
) | ( |
) | ( |
) | ||||||||||
Net investment income related to noncontrolling interests |
( |
) | ( |
) | ||||||||||||
Consolidated investments |
( |
) | ( |
) | ||||||||||||
Net investment income on funds withheld assets |
||||||||||||||||
Total revenues |
$ | $ | ( |
) | $ | $ | ||||||||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
Total operating benefits and expenses |
$ | $ | $ | $ | ||||||||||||
Benefits attributed to variable annuity benefit reserves |
||||||||||||||||
Amortization of DAC and DSI related to non-operating revenues and expenses |
( |
) | ( |
) | ( |
) | ||||||||||
SOP 03-1 reserve movements |
( |
) | ( |
) | ( |
) | ||||||||||
Athene reinsurance transaction |
— | — | ||||||||||||||
Other items |
||||||||||||||||
Total benefits and expenses |
$ | $ | $ | $ | ||||||||||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
Pretax adjusted operating earnings |
$ | $ | $ | $ | ||||||||||||
Non-operating adjustments (income) loss: |
||||||||||||||||
Fees attributable to guarantee benefit reserves |
||||||||||||||||
Net movement in freestanding derivatives |
( |
) | ( |
) | ( |
) | ||||||||||
Net reserve and embedded derivative movements |
( |
) | ( |
) | ||||||||||||
DAC and DSI impact |
( |
) | ||||||||||||||
Net realized investment gains (losses) including change in fair value of funds withheld embedded derivative |
( |
) | ||||||||||||||
Loss on funds withheld reinsurance transaction |
— | ( |
) | — | ( |
) | ||||||||||
Net investment income on funds withheld assets |
||||||||||||||||
Other items |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
Pretax income (loss) attributable to Jackson Financial Inc. |
( |
) | ( |
) | ( |
) | ||||||||||
Income tax expense (benefit) |
( |
) | ( |
) | ( |
) | ||||||||||
Net income (loss) attributable to Jackson Financial, Inc. |
$ | ( |
) | $ | ( |
) | $ | $ | ( |
) | ||||||
14. |
Commitments, Contingencies, and Guarantees |
15. |
Other Related Party Transactions |
16. |
Operating Costs and Other Expenses |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
| Asset-based commission expenses |
$ | $ | $ | $ | ||||||||||||
| Other commission expenses |
||||||||||||||||
| Athene ceding commission (1) |
— | ( |
) | — | ( |
) | ||||||||||
| General and administrative expenses |
||||||||||||||||
| Deferral of acquisition costs |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total operating costs and other expenses |
$ | $ | ( |
) | $ | $ | ( |
) | ||||||||
| |
|
|
|
|
|
|
|
|||||||||
(1) |
See Note 7 for further information |
17. |
Accumulated Other Comprehensive Income |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
| Balance, beginning of period (1) |
$ | $ | $ | $ | ||||||||||||
| OCI before reclassifications |
( |
) | ||||||||||||||
| Amounts reclassified from AOCI |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Balance, end of period (1) |
$ | $ | $ | $ | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
(1) |
Includes $ |
| AOCI Components |
Amounts Reclassified from AOCI |
Affected Line Item in the Consolidated Income Statement | ||||||||
Three Months Ended June 30, |
||||||||||
2021 |
2020 |
|||||||||
| Net unrealized investment gain (loss): |
||||||||||
| Net realized gain (loss) on investments |
$ | ( |
) | $ | ( |
) | Net gains (losses) on derivatives and investments | |||
| Other impaired securities |
— | Net gains (losses) on derivatives and investments | ||||||||
| |
|
|
|
|||||||
| Net unrealized gain (loss), before income taxes |
( |
) | ( |
) | ||||||
| Income tax expense (benefit) |
( |
) | ( |
) | ||||||
| |
|
|
|
|||||||
| Reclassifications, net of income taxes |
$ | ( |
) | $ | ( |
) | ||||
| |
|
|
|
|||||||
| AOCI Components |
Amounts Reclassified from AOCI |
Affected Line Item in the Consolidated Income Statement | ||||||||
Six Months Ended June 30, |
||||||||||
2021 |
2020 |
|||||||||
| Net unrealized investment gain (loss): |
||||||||||
| Net realized gain (loss) on investments |
$ | ( |
) | $ | ( |
) | Net gains (losses) on derivatives and investments | |||
| Other impaired securities |
— | Net gains (losses) on derivatives and investments | ||||||||
| |
|
|
|
|||||||
| Net unrealized gain (loss), before income taxes |
( |
) | ( |
) | ||||||
| Income tax expense (benefit) |
( |
) | ( |
) | ||||||
| |
|
|
|
|||||||
| Reclassifications, net of income taxes |
$ | ( |
) | $ | ( |
) | ||||
| |
|
|
|
|||||||
18. |
Equity |
19. |
Earnings Per Share |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
| (in millions, except share and per share data) | ||||||||||||||||
| Net income (loss) attributable to Jackson Financial Inc. |
$ | ( |
) | $ | ( |
) | $ | $ | ( |
) | ||||||
| |
|
|
|
|
|
|
|
|||||||||
| Weighted average shares of common stock outstanding - basic |
||||||||||||||||
| Weighted average shares of common stock outstanding - diluted |
||||||||||||||||
| Earnings per share—common stock |
||||||||||||||||
| Basic |
$ | ( |
) | $ | ( |
) | $ | $ | ( |
) | ||||||
| Diluted |
$ | ( |
) | $ | ( |
) | $ | $ | ( |
) | ||||||
Item 2. |
Management’s Discussion and Analysis of Financial Condition and Results of Operations. |
| • | general conditions in the global capital markets and the economy; |
| • | adverse capital and credit market conditions, including volatility in interest rates and credit spreads, prolonged periods of low interest rates, volatile equity markets and decreased liquidity and credit capacity; |
| • | adverse impacts on our results of operations and capitalization as a result of optional guarantee benefits within certain of our annuities; |
| • | unavailability of hedging instruments and inadequacy of our hedging and reinsurance programs to protect us against the full extent of the exposure or losses we seek to mitigate; |
| • | variance in the performance of our hedge assets and customer funds, also referred to as basis risk; |
| • | disruptions in our business functions as a result of adverse outcomes from our operational risks and those of our material outsourcing partners; |
| • | operational failures, failure of our information technology systems, and the failure to protect the confidentiality of customer information or proprietary business information; |
| • | inability to recruit, motivate and retain experienced and productive employees; |
| • | misconduct by our employees or business partners; |
| • | difficulty in marketing and distributing products; |
| • | Jackson Financial’s dependence on the ability of its subsidiaries to transfer funds to meet Jackson Financial’s obligations and liquidity needs; |
| • | risks arising from acquisitions or other strategic transactions; |
| • | risks related to natural and man-made disasters and catastrophes, diseases, epidemics, pandemics (including COVID-19), malicious acts, cyberattacks, terrorist acts, civil unrest and climate change; |
| • | the degree to which we are leveraged and our inability to refinance our indebtedness; |
| • | deterioration of the credit quality of the securities and loans in our investment portfolio; |
| • | failure to adequately describe and administer, or meet any of the complex product and regulatory requirements relating to, the many complex features and options contained in our annuities; |
| • | our counterparties’ requirements to pledge collateral or make payments related to declines in estimated fair value of specified assets and changes in the actual or perceived soundness or condition of other financial institutions and market participants; |
| • | inadequate reserves due to differences between our actual experience and management’s estimates and assumptions; |
| • | significant deviations from our assumptions regarding the probabilities that our annuity contracts will remain in force from one period to the next; |
| • | changes in the levels of amortization of deferred acquisition costs (“DAC”); |
| • | changes in accounting standards; |
| • | models that rely on a number of estimates, assumptions, sensitivities and projections that are inherently uncertain and which may contain misjudgments and errors; |
| • | a downgrade in our financial strength or credit ratings; |
| • | competition from other insurance companies, banks, asset managers and other financial institutions; |
| • | failure of our risk management policies and procedures to adequately identify, monitor and manage risks, which could leave us exposed to unidentified or unanticipated risks; |
| • | changes in U.S. federal income or other tax laws or the interpretation of tax laws; |
| • | changes in U.S. federal, state and other securities and state insurance laws and regulations; and |
| • | adverse outcomes of legal or regulatory actions. |
| • | Fee income derived from our annuities and investment management products; |
| • | Net investment income from our investment portfolio; |
| • | Premiums from certain of our life insurance and annuity products, as well as premiums from reinsurance transactions; |
| • | Net realized gains (losses) on investments, including trading activity within our investment portfolio and risk management related derivative activities; and |
| • | Other income, which primarily represents expense allowances associated with our reinsurance agreements. |
| • | Death, other policy benefits and change in policy reserves, net of deferrals; |
| • | Interest credited on contract holder funds, net of deferrals; |
| • | Operating costs and other expenses, net of deferrals; |
| • | Interest expense; and |
| • | Amortization of deferred acquisition and sales inducement costs. |
| • | Our investment portfolio is predominantly composed of fixed income securities. In the near term, we expect the yields we earn on new investments will be materially lower than yields we earned on maturing investments due to the low interest rate environment. |
| • | A prolonged low interest rate environment could subject us to increased hedging costs or an increase in the amount of statutory reserves that our insurance subsidiaries are required to hold for optional guarantee benefits, decreasing statutory surplus, which would adversely affect their ability to pay dividends. Certain inputs to the statutory models rely on prescribed interest rates, which are, in turn, determined using a historical interest rate perspective with a mean reversion path over the longer term. If rates remain at the current low levels, we expect these prescribed rates to continue to decline as the NAIC updates the calculations each year, which would adversely impact our statutory capital. In addition, low interest rates could also increase the perceived value of optional guarantee benefits features to our customers, which in turn could lead to a higher utilization of withdrawal or annuitization features of annuity policies and higher persistency of those products over time. Finally, low interest rates could continue to cause an acceleration of DAC amortization or reserve increase due to loss recognition for annuities and interest-sensitive life insurance. A gradual rise in interest rates would have benefits that are offsetting to risks previously described. Those potential benefits include increased new money investment yields, a reduction in hedging requirements and more attractive product features. |
| • | Some of our annuities have a guaranteed minimum interest crediting rate. These guaranteed minimum interest crediting rates may not be lowered, even if earnings on our investment portfolio decline, resulting in net investment spread compression that negatively impacts earnings. In addition, we expect more customers to hold policies with comparatively high guaranteed minimum interest crediting rates longer in a low interest rate environment, resulting in lower than previously expected lapse rates. Conversely, a rise in the average yield on our investment portfolio should positively impact earnings. Similarly, we expect customers would be less likely to hold policies if existing guaranteed minimum interest crediting rates are perceived to have less value as interest rates rise, resulting in higher than previously expected lapse rates. |
| • | Fees Attributable to Guarantee Benefits: fees paid in conjunction with guaranteed benefit features offered for certain of our variable annuities and fixed index annuities are set at a level intended to mitigate the cost of hedging and funding the liabilities associated with such guaranteed benefit features. The full amount of the fees attributable to guaranteed benefit features have been excluded from Adjusted Operating Earnings as the related net movements in freestanding derivatives and net reserve and embedded derivative movements, as described below, have been excluded from Adjusted Operating Earnings. This presentation of our earnings is intended to directly align revenue and related expenses associated with the guaranteed benefit features; |
| • | Net Movement in Freestanding Derivatives, except earned income (periodic settlements and changes in settlement accruals) on derivatives that are hedges of investments, but do not qualify for hedge accounting treatment: changes in the fair value of our freestanding derivatives used to manage the risk associated with our life and annuity reserves, including those arising from the guaranteed benefit features offered for certain of our variable annuities and fixed index annuities. Net movements in freestanding derivatives have been excluded from Adjusted Operating Earnings because the market value of these derivatives may vary significantly from period to period as a result of near-term market conditions and therefore are not directly comparable or reflective of the underlying profitability of our business; |
| • | Net Reserve and Embedded Derivative Movements: changes in the valuation of certain life and annuity reserves, a portion of which are accounted for as embedded derivative instruments, and which are primarily composed of variable and fixed index annuity reserves, including those arising from the guaranteed benefit features offered for certain of our variable annuities. Net reserve and embedded derivative movements have been excluded from Adjusted Operating Earnings because the carrying values of these derivatives may vary significantly from period to period as the result of near-term market conditions and policyholder behavior-related inputs and therefore are not directly comparable or reflective of the underlying profitability of our business. Movements in reserves attributable to the current period claims and benefit payments in excess of a customer’s account value on these policies are also excluded from Adjusted Operating Earnings as these benefit payments are affected by near-term market conditions and policyholder behavior-related inputs and therefore may vary significantly from period to period; |
| • | Net Realized Investment Gains and Losses including change in fair value of funds withheld embedded derivative: Realized investment gains and losses associated with the periodic sales or disposals of securities, excluding those held within our trading portfolio, as well as impairments of securities, after adjustment for the non-credit component of the impairment charges and change in fair value of funds withheld embedded derivative related to the Athene Reinsurance Transaction; |
| • | DAC and DSI Impact: amortization of deferred acquisition costs and deferred sales inducements associated with the items excluded from Adjusted Operating Earnings; |
| • | Assumption changes: the impact on the valuation of Net Derivative and Reserve Movements, including amortization on DAC, arising from changes in underlying actuarial assumptions; |
| • | Loss on Athene Reinsurance Transaction: includes contractual ceding commission, cost of reinsurance write-off and DAC and DSI write-off related to the Athene Reinsurance Transaction; |
| • | Net investment income on funds withheld assets: includes net investment income on funds withheld assets related to funds withheld reinsurance transactions; |
| • | Other items: one-time or other non-recurring items, such as costs relating to the Demerger and our separation from Prudential, the impact of discontinued operations and investments that are consolidated on our financial statements due to U.S. GAAP accounting requirements, such as our investments in collateralized loan obligations, but for which the consolidation effects are not aligned with our economic interest or exposure to those entities; and |
| • | Operating income taxes are calculated using the prevailing corporate federal income tax rate of 21% while taking into account any items recognized differently in our financial statements and federal income tax returns, including the dividends received deduction and other tax credits. For interim reporting periods, the company uses an estimated annual effective tax rate in computing its tax provision including consideration of discrete items. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
| |
|
|
|
|||||||||||||
| (in millions) | ||||||||||||||||
| Net income (loss) attributable to Jackson Financial, Inc. |
$ | (540.0 | ) | $ | (3,109.3 | ) | $ | 2,391.5 | $ | (1,312.6 | ) | |||||
| Income tax expense (benefit) |
(54.5 | ) | (457.0 | ) | 531.1 | (423.8 | ) | |||||||||
| Pretax income (loss) attributable to Jackson Financial Inc |
(594.5 | ) | (3,566.3 | ) | 2,922.6 | (1,736.4 | ) | |||||||||
| Non-operating adjustments (income) loss: |
||||||||||||||||
| Fees attributable to guarantee benefit reserves |
(701.0 | ) | (617.7 | ) | (1,372.6 | ) | (1,224.6 | ) | ||||||||
| Net movement in freestanding derivatives |
442.2 | 9,340.3 | 3,472.9 | (2,717.9 | ) | |||||||||||
| Net reserve and embedded derivative movements |
1,373.7 | (3,715.9 | ) | (3,218.5 | ) | 6,536.7 | ||||||||||
| DAC and DSI impact |
(242.8 | ) | (1,264.6 | ) | 453.1 | (631.8 | ) | |||||||||
| Net realized investment gains (losses) including change in fair value of funds withheld embedded derivative |
752.4 | (1,629.8 | ) | (297.8 | ) | (1,329.9 | ) | |||||||||
| Loss on Athene Reinsurance Transaction |
— | 2,046.7 | — | 2,046.7 | ||||||||||||
| Net investment income on funds withheld assets |
(293.8 | ) | (144.2 | ) | (584.9 | ) | (228.9 | ) | ||||||||
| Other items |
24.6 | 60.9 | 19.2 | 70.9 | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total non-operating adjustments |
1,355.3 | 4,075.7 | (1,528.6 | ) | 2,521.2 | |||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Pretax Adjusted Operating Earnings |
760.8 | 509.4 | 1,394.0 | 784.8 | ||||||||||||
| Operating income taxes |
124.4 | 134.5 | 189.5 | 96.9 | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Adjusted Operating Earnings |
$ | 636.4 | $ | 374.9 | $ | 1,204.5 | $ | 687.9 | ||||||||
| |
|
|
|
|
|
|
|
|||||||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
| |
|
|
|
|||||||||||||
| (in millions) | ||||||||||||||||
| Total stockholder’s equity |
$ | 10,390.5 | $ | 8,858.6 | $ | 10,390.5 | $ | 8,858.6 | ||||||||
| Adjustments to total stockholders’ equity: |
||||||||||||||||
| Exclude accumulated other comprehensive income attributable to Jackson Financial Inc. (1) |
(1,758.1 | ) | (2,321.5 | ) | $ | (1,758.1 | ) | $ | (2,321.5 | ) | ||||||
| |
|
|
|
|
|
|
|
|||||||||
| Adjusted Book Value |
$ | 8,632.4 | $ | 6,537.1 | $ | 8,632.4 | $ | 6,537.1 | % | |||||||
| ROE |
(21.2 | )% | (146.2 | )% | 48.3 | % | (33.5 | ) % | ||||||||
| Adjusted Operating ROE on average equity |
29.2 | % | 23.6 | % | 31.2 | % | 20.6 | % | ||||||||
(1) |
Excludes $632.1 million and $1,107.9 million related to the investments held within the funds withheld account related to the Athene Reinsurance Transaction as of June 30, 2021 and June 30, 2020, respectively. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
| |
|
|
|
|||||||||||||
| (in millions) | ||||||||||||||||
| Sales |
||||||||||||||||
| Variable annuities |
$ | 4,820.7 | $ | 3,297.7 | $ | 9,495.0 | $ | 7,299.1 | ||||||||
| Fixed Index Annuities |
32.5 | 139.8 | 72.3 | 891.8 | ||||||||||||
| Fixed Annuities |
5.9 | 30.3 | 16.1 | 303.0 | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total Retail Annuity Sales |
4,859.1 | 3,467.8 | 9,583.4 | 8,493.9 | ||||||||||||
| Total Institutional Product Sales |
— | — | — | 1,284.2 | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total Sales |
$ | 4,859.1 | $ | 3,467.8 | $ | 9,583.4 | $ | 9,778.1 | ||||||||
| |
|
|
|
|
|
|
|
|||||||||
As of June 30, |
||||||||
2021 |
2020 |
|||||||
| |
|
|||||||
| (in millions) | ||||||||
| Account Value |
||||||||
| GMWB For Life |
$ | 181,968.8 | $ | 139,444.1 | ||||
| GMWB |
7,249.6 | 5,944.2 | ||||||
| Other Guarantees - Living Benefits |
1,864.5 | 1,685.1 | ||||||
| No Living Benefits |
57,858.4 | 45,649.3 | ||||||
| |
|
|
|
|||||
| Total Variable Annuity Account Value |
248,941.3 | 192,722.7 | ||||||
| Fixed Index Annuity (1) |
243.2 | 61.7 | ||||||
| Fixed Annuity (1) |
1,080.9 | 1,043.6 | ||||||
| |
|
|
|
|||||
| Total Fixed & Fixed Index Annuity Account Value |
1,324.1 | 1,105.3 | ||||||
| Total Retail Annuities Account Value |
$ | 250,265.4 | $ | 193,828.0 | ||||
| |
|
|
|
|||||
| Total Institutional Products Account Value |
$ | 8,910.0 | $ | 12,325.0 | ||||
| Total Closed Life and Annuity Blocks Account Value (2) |
$ | 8,929.7 | $ | 9,259.9 | ||||
(1) |
Substantially all of our in-force fixed and fixed index annuity product liabilities were reinsured to Athene, effective June 1, 2020. |
(2) |
Excludes payout annuities and traditional life insurance without account value. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
| |
|
|
|
|||||||||||||
| (in millions) | ||||||||||||||||
| Net Flows: |
||||||||||||||||
| Variable Annuity |
$ | (324.8 | ) | $ | 463.0 | $ | (565.4 | ) | $ | 304.7 | ||||||
| Fixed Index Annuity (1) |
(325.0 | ) | (141.8 | ) | (651.1 | ) | 247.6 | |||||||||
| Fixed Annuity (1) |
(234.2 | ) | (243.5 | ) | (536.1 | ) | (380.2 | ) | ||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total Retail Annuities Net Flows |
$ | (884.0 | ) | $ | 77.7 | $ | (1,752.6 | ) | $ | 172.1 | ||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total Institutional Products Net Flows |
$ | (1,735.2 | ) | $ | (742.6 | ) | $ | (2,280.6 | ) | $ | (108.4 | ) | ||||
| Total Closed Life and Annuity Blocks Net Flows (2) |
$ | (61.2 | ) | $ | (71.6 | ) | $ | (144.5 | ) | $ | (156.5 | ) | ||||
(1) |
Gross of reinsurance to Athene. |
(2) |
Excludes payout annuities and traditional life insurance without account value. |
June 30, 2021 |
December 31, 2020 |
|||||||||||||||
Account Value |
Benefit Base |
Account Value |
Benefit Base |
|||||||||||||
| |
|
|
|
|||||||||||||
| (in millions) | ||||||||||||||||
| No Living Benefits |
$ | 57,858.4 | N/A | $ | 53,021.6 | N/A | ||||||||||
| By Guaranteed Living Benefits: |
||||||||||||||||
| GMWB for Life |
181,968.8 | $ | 171,681.3 | 167,007.2 | $ | 160,225.7 | ||||||||||
| GMWB |
7,249.6 | 5,764.4 | 6,807.4 | 5,557.7 | ||||||||||||
| GMIB (1) |
1,864.5 | 2,130.8 | 1,826.5 | 2,216.3 | ||||||||||||
| GMAB |
— | — | 49.2 | 7.2 | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 248,941.3 | $ | 179,576.5 | $ | 228,711.9 | $ | 168,006.9 | ||||||||
| |
|
|
|
|
|
|
|
|||||||||
| By Guaranteed Death Benefit: |
||||||||||||||||
| Return of AV (No GMDB) |
$ | 28,842.3 | N/A | $ | 26,368.6 | N/A | ||||||||||
| Return of Premium |
190,529.9 | 131,863.0 | 174,678.2 | 128,481.5 | ||||||||||||
| Highest Anniversary Value |
15,333.7 | 14,270.8 | 14,322.9 | 13,175.2 | ||||||||||||
| Rollup |
4,235.0 | 4,945.0 | 4,061.8 | 5,005.5 | ||||||||||||
| Combination HAV/Rollup |
10,000.4 | 10,095.1 | 9,280.4 | 9,447.0 | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 248,941.3 | $ | 161,173.9 | $ | 228,711.9 | $ | 156,109.2 | ||||||||
| |
|
|
|
|
|
|
|
|||||||||
(1) |
Substantially all of our GMIB benefits are reinsured. |
June 30, 2021 |
December 31, 2020 |
|||||||
| |
|
|||||||
| (in millions) | ||||||||
| Jackson Invested Assets |
$ | 44,330.1 | $ | 49,832.2 | ||||
| Prudential Affiliates Invested Assets |
26,468.1 | 31,009.4 | ||||||
| Former Prudential Affiliates Invested Assets |
3,545.3 | 22,882.1 | ||||||
| Other Third Party Invested Assets |
2,656.2 | 2,253.9 | ||||||
| |
|
|
|
|||||
| Total PPM AUM |
76,999.7 | 105,977.6 | ||||||
| Total JNAM AUM |
271,914.0 | 255,668.7 | ||||||
| |
|
|
|
|||||
| Total AUM |
$ | 348,913.7 | $ | 361,646.3 | ||||
| |
|
|
|
|||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
| |
|
|
|
|||||||||||||
| (in millions) | ||||||||||||||||
| Revenues |
||||||||||||||||
| Fee income |
$ | 1,895.6 | $ | 1,563.2 | $ | 3,711.6 | $ | 3,181.4 | ||||||||
| Premium |
30.7 | 20.9 | 65.2 | 87.5 | ||||||||||||
| Net investment income |
795.9 | 436.4 | 1,723.6 | 1,224.2 | ||||||||||||
| Net gains (losses) on derivatives and investments |
(2,520.7 | ) | (4,371.3 | ) | 184.9 | (2,012.9 | ) | |||||||||
| Other income |
30.4 | 17.9 | 53.6 | 14.1 | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total revenues |
231.9 | $ | (2,332.9 | ) | 5,738.9 | 2,494.3 | ||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Benefits and Expenses |
||||||||||||||||
| Death, other policy benefits and change in policy reserves, net of deferrals |
210.3 | (140.9 | ) | 493.0 | 847.2 | |||||||||||
| Interest credited on other contract holder funds, net of deferrals |
217.5 | 342.9 | 440.0 | 749.0 | ||||||||||||
| Interest expense |
6.6 | 31.4 | 12.7 | 73.2 | ||||||||||||
| Operating costs and other expenses, net of deferrals |
599.6 | (729.2 | ) | 1,197.9 | (206.1 | ) | ||||||||||
| Cost of reinsurance |
— | 2,513.9 | — | 2,513.9 | ||||||||||||
| Amortization of deferred acquisition and sales inducement costs |
(263.7 | ) | (731.0 | ) | 548.3 | 313.0 | ||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total benefits and expenses |
770.3 | 1,287.1 | 2,691.9 | 4,290.2 | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Pretax income (loss) before noncontrolling interests |
(538.4 | ) | (3,620.0 | ) | 3,047.0 | (1,795.9 | ) | |||||||||
| Income tax expense (benefit) |
(54.5 | ) | (457.0 | ) | 531.1 | (423.8 | ) | |||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Net income (loss) |
(483.9 | ) | (3,163.0 | ) | 2,515.9 | (1,372.1 | ) | |||||||||
| Less: Net income (loss) attributable to noncontrolling interests |
56.1 | (53.7 | ) | 124.4 | (59.5 | ) | ||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Net income (loss) attributable to Jackson Financial Inc. |
$ | (540.0 | ) | $ | (3,109.3 | ) | $ | 2,391.5 | $ | (1,312.6 | ) | |||||
| |
|
|
|
|
|
|
|
|||||||||
| Adjusted Operating Earnings |
||||||||||||||||
| Net income (loss) attributable to Jackson Financial, Inc. |
$ | (540.0 | ) | $ | (3,109.3 | ) | $ | 2,391.5 | $ | (1,312.6 | ) | |||||
| Income tax expense (benefit) |
(54.5 | ) | (457.0 | ) | 531.1 | (423.8 | ) | |||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Pretax income (loss) attributable to Jackson Financial Inc |
(594.5 | ) | (3,566.3 | ) | 2,922.6 | (1,736.4 | ) | |||||||||
| Non-operating adjustments (income) loss: |
||||||||||||||||
| Fees attributable to guarantee benefit reserves |
(701.0 | ) | (617.7 | ) | (1,372.6 | ) | (1,224.6 | ) | ||||||||
| Net movement in freestanding derivatives |
442.2 | 9,340.3 | 3,472.9 | (2,717.9 | ) | |||||||||||
| Net reserve and embedded derivative movements |
1,373.7 | (3,715.9 | ) | (3,218.5 | ) | 6,536.7 | ||||||||||
| DAC and DSI impact |
(242.8 | ) | (1,264.6 | ) | 453.1 | (631.8 | ) | |||||||||
| Net realized investment gains (losses) including change in fair value of funds withheld embedded derivative |
752.4 | (1,629.8 | ) | (297.8 | ) | (1,329.9 | ) | |||||||||
| Loss on Athene Reinsurance Transaction |
— | 2,046.7 | — | 2,046.7 | ||||||||||||
| Net investment income on funds withheld assets |
(293.8 | ) | (144.2 | ) | (584.9 | ) | (228.9 | ) | ||||||||
| Other items |
24.6 | 60.9 | 19.2 | 70.9 | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total non-operating adjustments |
1,355.3 | 4,075.7 | (1,528.6 | ) | 2,521.2 | |||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Pretax Adjusted Operating Earnings |
760.8 | 509.4 | 1,394.0 | 784.8 | ||||||||||||
| Operating income taxes |
124.4 | 134.5 | 189.5 | 96.9 | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Adjusted Operating Earnings |
$ | 636.4 | $ | 374.9 | $ | 1,204.5 | $ | 687.9 | ||||||||
| |
|
|
|
|
|
|
|
|||||||||
Three Months Ended June 30, |
||||||||
2021 |
2020 |
|||||||
| |
|
|||||||
| (in millions, except percentages) | ||||||||
| Net gains (losses) excluding derivatives and funds withheld assets |
$ | 15.0 | $ | 376.4 | ||||
| Net gains (losses) on freestanding derivatives |
(401.9 | ) | (9,309.7 | ) | ||||
| Net gains (losses) on embedded derivatives (excluding funds withheld reinsurance) |
(1,366.4 | ) | 3,308.6 | |||||
| |
|
|
|
|||||
| Net gains (losses) on derivative instruments |
(1,768.3 | ) | (6,001.1 | ) | ||||
| Net gains (losses) on funds withheld reinsurance |
(767.4 | ) | 1,253.4 | |||||
| |
|
|
|
|||||
| Total net gains (losses) on derivatives and investments |
$ | (2,520.7 | ) | $ | (4,371.3 | ) | ||
| |
|
|
|
|||||
Six Months Ended June 30, |
||||||||
2021 |
2020 |
|||||||
| Net gains (losses) excluding derivatives and funds withheld assets |
$ | 167.5 | $ | 161.2 | ||||
| Net gains (losses) on freestanding derivatives |
(3,394.2 | ) | 2,770.0 | |||||
| Net gains (losses) on embedded derivatives (excluding funds withheld reinsurance) |
3,281.3 | (6,112.8 | ) | |||||
| |
|
|
|
|||||
| Net gains (losses) on derivative instruments |
(112.9 | ) | $ | (3,342.8 | ) | |||
| Net gains (losses) on funds withheld reinsurance |
130.3 | $ | 1,168.7 | |||||
| |
|
|
|
|||||
| Total net gains (losses) on derivatives and investments |
$ | 184.9 | $ | (2,012.9 | ) | |||
| |
|
|
|
|||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| (in millions) | ||||||||||||||||
| Retail Annuities: |
||||||||||||||||
| Operating Revenues |
||||||||||||||||
| Fee income |
$ | 1,050.0 | $ | 792.2 | $ | 2,045.7 | $ | 1,649.7 | ||||||||
| Net investment income |
143.6 | 230.1 | 348.7 | 626.8 | ||||||||||||
| Income on operating derivatives |
14.6 | 14.7 | 28.6 | 25.7 | ||||||||||||
| Other income |
12.0 | 4.4 | 23.6 | 4.5 | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total Operating Revenues |
1,220.2 |
1,041.4 |
2,446.6 |
2,306.7 |
||||||||||||
| Operating Benefits and Expenses |
||||||||||||||||
| Death, other policy benefits and change in policy reserves |
11.5 | 9.5 | 17.5 | 17.8 | ||||||||||||
| Interest credited on other contract holder funds |
66.3 | 173.8 | 133.6 | 398.0 | ||||||||||||
| Interest expense |
5.6 | 7.0 | 10.8 | 15.8 | ||||||||||||
| Operating costs and other expenses, net of deferrals |
484.6 | 406.2 | 960.0 | 849.3 | ||||||||||||
| Amortization of deferred acquisition costs and deferred sales inducement costs |
(31.0 | ) | (241.3 | ) | 73.2 | 163.8 | ||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total Operating Benefits and Expenses |
537.0 |
355.2 |
1,195.1 |
1,444.7 |
||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Pretax Adjusted Operating Earnings |
$ |
683.2 |
$ |
686.2 |
$ |
1,251.5 |
$ |
862.0 |
||||||||
| |
|
|
|
|
|
|
|
|||||||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| (in millions) | ||||||||||||||||
| Retail Annuities: |
||||||||||||||||
| Balance as of beginning of period |
$ | 264,110.9 | $ | 194,404.4 | $ | 256,740.4 | $ | 230,931.8 | ||||||||
| Premiums and deposits |
4,902.6 | 3,500.8 | 9,674.5 | 8,547.6 | ||||||||||||
| Surrenders, withdrawals, and benefits |
(5,786.6 | ) | (3,423.1 | ) | (11,427.1 | ) | (8,375.5 | ) | ||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Net flows |
(884.0 | ) | 77.7 | (1,752.6 | ) | 172.1 | ||||||||||
| Credited Interest/Investment performance |
13,631.7 | 27,454.1 | 22,511.3 | (8,581.6 | ) | |||||||||||
| Policy Charges and other |
(673.6 | ) | (602.5 | ) | (1,314.1 | ) | (1,188.6 | ) | ||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Balance as of end of period |
276,185.0 | 221,333.7 | 276,185.0 | 221,333.7 | ||||||||||||
| Ceded reinsurance |
(25,919.6 | ) | (27,505.7 | ) | (25,919.6 | ) | (27,505.7 | ) | ||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Balance as of end of period, net of ceded reinsurance |
$ | 250,265.4 | $ | 193,828.0 | $ | 250,265.4 | $ | 193,828.0 | ||||||||
| |
|
|
|
|
|
|
|
|||||||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| (in millions) | ||||||||||||||||
| Institutional Products: |
||||||||||||||||
| Operating Revenues |
||||||||||||||||
| Net investment income |
$ | 56.7 | $ | 84.5 | $ | 120.4 | $ | 196.8 | ||||||||
| Other income |
— | — | — | 1.6 | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total Operating Revenues |
56.7 |
84.5 |
120.4 |
198.4 |
||||||||||||
| Operating Benefits and Expenses |
||||||||||||||||
| Interest credited on other contract holder funds |
48.2 | 62.8 | 99.8 | 136.4 | ||||||||||||
| Interest expense |
1.0 | 4.2 | 1.9 | 12.8 | ||||||||||||
| Operating costs and other expenses, net of deferrals |
1.2 | 1.3 | 2.5 | 2.6 | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total Operating Benefits and Expenses |
50.4 |
68.3 |
104.2 |
151.8 |
||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Pretax Adjusted Operating Earnings |
$ |
6.3 |
$ |
16.2 |
$ |
16.2 |
$ |
46.6 |
||||||||
| |
|
|
|
|
|
|
|
|||||||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| (in millions) | ||||||||||||||||
| Institutional Products: |
||||||||||||||||
| Balance as of beginning of period |
$ | 10,578.6 | $ | 12,948.3 | $ | 11,137.8 | $ | 12,287.1 | ||||||||
| Premiums and deposits |
— | — | — | 1,284.2 | ||||||||||||
| Surrenders, withdrawals, and benefits |
(1,735.2 | ) | (742.6 | ) | (2,280.6 | ) | (1,392.6 | ) | ||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Net flows |
(1,735.2 | ) | (742.6 | ) | (2,280.6 | ) | (108.4 | ) | ||||||||
| Credited Interest |
49.2 | 67.1 | 101.7 | 149.3 | ||||||||||||
| Policy Charges and other |
17.3 | 52.2 | (49.0 | ) | (3.0 | ) | ||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Balance as of end of period |
$ | 8,909.9 | $ | 12,325.0 | $ | 8,909.9 | $ | 12,325.0 | ||||||||
| |
|
|
|
|
|
|
|
|||||||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
| |
|
|
|
|||||||||||||
| (in millions) | ||||||||||||||||
| Closed Life and Annuity Blocks: |
||||||||||||||||
| Operating Revenues |
||||||||||||||||
| Fee income |
$ | 122.8 | $ | 128.5 | $ | 248.0 | $ | 258.5 | ||||||||
| Premium |
33.8 | 24.0 | 71.3 | 93.9 | ||||||||||||
| Net investment income |
204.9 | 105.8 | 461.4 | 298.3 | ||||||||||||
| Income on operating derivatives |
17.5 | 10.5 | 37.7 | 17.8 | ||||||||||||
| Other income |
12.0 | 12.4 | 21.7 | 5.7 | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total Operating Revenues |
391.0 |
281.2 |
840.1 |
674.2 |
||||||||||||
| Operating Benefits and Expenses |
||||||||||||||||
| Death, other policy benefits and change in policy reserves |
191.5 | 256.8 | 412.7 | 405.5 | ||||||||||||
| Interest credited on other contract holder funds |
103.0 | 106.3 | 206.6 | 214.6 | ||||||||||||
| Operating costs and other expenses, net of deferrals |
37.9 | 36.6 | 78.6 | 76.3 | ||||||||||||
| Amortization of deferred acquisition costs and deferred sales inducement costs |
2.2 | 4.0 | 7.0 | 7.8 | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total Operating Benefits and Expenses |
334.6 |
403.7 |
704.9 |
704.2 |
||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Pretax Adjusted Operating Earnings |
$ |
56.4 |
$ |
(122.5 |
) |
$ |
135.2 |
$ |
(30.0 |
) | ||||||
| |
|
|
|
|
|
|
|
|||||||||
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
| |
|
|
|
|||||||||||||
| (in millions) | ||||||||||||||||
| Corporate and Other: |
||||||||||||||||
| Operating Revenues |
||||||||||||||||
| Fee income |
$ | 18.8 | $ | 21.5 | $ | 39.2 | $ | 42.1 | ||||||||
| Net investment income |
39.9 | (18.2 | ) | 52.5 | (0.2 | ) | ||||||||||
| Income on operating derivatives |
8.1 | 5.3 | 12.4 | 8.5 | ||||||||||||
| Other income |
6.4 | 1.2 | 8.3 | 2.3 | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total Operating Revenues |
73.2 |
9.8 |
112.4 |
52.7 |
||||||||||||
| Operating Benefits and Expenses |
||||||||||||||||
| Interest expense |
— | 20.2 | — | 44.6 | ||||||||||||
| Operating costs and other expenses, net of deferrals |
50.5 | 54.1 | 106.4 | 92.8 | ||||||||||||
| Amortization of deferred acquisition costs and deferred sales inducement costs |
7.8 | 5.9 | 14.9 | 9.1 | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total Operating Benefits and Expenses |
58.3 |
80.2 |
121.3 |
146.5 |
||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Pretax Adjusted Operating Earnings |
$ |
14.9 |
$ |
(70.4 |
) |
$ |
(8.9 |
) |
$ |
(93.8 |
) | |||||
| |
|
|
|
|
|
|
|
|||||||||
| June 30, 2021 |
December 31, 2020 |
|||||||
| |
|
|||||||
| (in millions) | ||||||||
| Available-for-sale |
$ | 52,472.6 | $ | 59,075.0 | ||||
| Debt Securities, at fair value under fair value option |
1,433.5 | 1,276.7 | ||||||
| Debt securities, at fair value option |
114.7 | 105.7 | ||||||
| Equity securities, at fair value |
239.3 | 193.1 | ||||||
| Mortgage loans, net of allowance |
11,649.1 | 10,727.5 | ||||||
| Policy loans |
4,581.1 | 4,523.5 | ||||||
| Derivative instruments |
1,482.9 | 2,219.8 | ||||||
| Other invested assets |
2,763.1 | 2,366.7 | ||||||
| |
|
|
|
|||||
| Total investments |
$ | 74,736.3 | $ | 80,488.0 | ||||
| |
|
|
|
|||||
June 30, 2021 |
Amortized Cost |
Allowance for Credit Loss |
Gross Unrealized Gains |
Gross Unrealized Losses |
Fair Value |
|||||||||||||||
| U.S. government securities |
$ | 4,783.9 | $ | — | $ | 88.0 | $ | 403.4 | $ | 4,468.5 | ||||||||||
| Other government securities |
1,510.5 | — | 152.3 | 13.8 | 1,649.0 | |||||||||||||||
| Corporate securities |
||||||||||||||||||||
| Utilities |
5,892.8 | — | 770.0 | 16.3 | 6,646.5 | |||||||||||||||
| Energy |
3,156.0 | — | 303.4 | 17.3 | 3,442.1 | |||||||||||||||
| Banking |
1,723.3 | — | 125.4 | 6.3 | 1,842.4 | |||||||||||||||
| Healthcare |
3,082.3 | — | 229.9 | 17.6 | 3,294.6 | |||||||||||||||
| Finance/Insurance |
3,978.1 | — | 309.6 | 34.5 | 4,253.2 | |||||||||||||||
| Technology/Telecom |
2,302.8 | — | 163.4 | 21.8 | 2,444.4 | |||||||||||||||
| Consumer goods |
2,490.3 | — | 161.9 | 29.0 | 2,623.2 | |||||||||||||||
| Industrial |
2,229.7 | — | 181.9 | 6.1 | 2,405.5 | |||||||||||||||
| Capital goods |
2,100.3 | — | 172.8 | 4.8 | 2,268.3 | |||||||||||||||
| Real estate |
1,786.7 | — | 121.7 | 6.0 | 1,902.4 | |||||||||||||||
| Media |
1,227.6 | — | 108.8 | 9.7 | 1,326.7 | |||||||||||||||
| Transportation |
1,892.9 | — | 143.8 | 10.0 | 2,026.7 | |||||||||||||||
| Retail |
1,430.8 | — | 99.7 | 13.1 | 1,517.4 | |||||||||||||||
| Other (1) |
2,316.3 | — | 185.0 | 3.7 | 2,497.6 | |||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Corporate Securities |
35,609.9 | — | 3,077.3 | 196.2 | 38,491.0 | |||||||||||||||
| Residential mortgage-backed |
770.5 | 0.8 | 66.6 | 1.7 | 834.6 | |||||||||||||||
| Commercial mortgage-backed |
2,702.2 | — | 171.0 | 2.2 | 2,871.0 | |||||||||||||||
| Other asset-backed securities |
5,624.4 | 6.0 | 106.4 | 18.1 | 5,706.7 | |||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Debt Securities |
$ | 51,001.4 | $ | 6.8 | $ | 3,661.6 | $ | 635.4 | $ | 54,020.8 | ||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
(1) |
No single remaining industry exceeds 3% of the portfolio. |
December 31, 2020 |
Amortized Cost |
Allowance for Credit Loss |
Gross Unrealized Gains |
Gross Unrealized Losses |
Fair Value |
|||||||||||||||
| U.S. government securities |
$ | 5,078.9 | $ | 162.0 | $ | 114.9 | $ | 5,126.0 | ||||||||||||
| Other government securities |
1,497.1 | 200.6 | 0.8 | 1,696.9 | ||||||||||||||||
| Corporate securities |
||||||||||||||||||||
| Utilities |
6,270.4 | 1029.2 | 1.9 | 7,297.7 | ||||||||||||||||
| Energy |
3,430.2 | 351.1 | 8.2 | 3,773.1 | ||||||||||||||||
| Banking |
2,341.6 | 206.4 | 0.4 | 2,547.6 | ||||||||||||||||
| Healthcare |
3,729.4 | 357.6 | 1.6 | 4,085.4 | ||||||||||||||||
| Finance/Insurance |
3,586.0 | 390.6 | 15.9 | 3,960.7 | ||||||||||||||||
| Technology/Telecom |
2,765.7 | 279.2 | 5.8 | 3,039.1 | ||||||||||||||||
| Consumer goods |
2,508.1 | 277 | 0.3 | 2,784.8 | ||||||||||||||||
| Industrial |
2,582.5 | 279.9 | 0.6 | 2,861.8 | ||||||||||||||||
| Capital goods |
2,384.6 | 230.8 | 1.5 | 2,613.9 | ||||||||||||||||
| Real estate |
2,113.2 | 169.5 | 1.3 | 2,281.4 | ||||||||||||||||
| Media |
1,352.9 | 148.9 | 0.9 | 1,500.9 | ||||||||||||||||
| Transportation |
2,011.2 | 184.4 | 3.8 | 2,191.8 | ||||||||||||||||
| Retail |
1,749.4 | 181.1 | 0.3 | 1,930.2 | ||||||||||||||||
| Other (1) |
2,625.5 | 245.1 | 1.3 | 2,869.3 | ||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Corporate Securities |
39,450.7 | — | 4,330.8 | 43.8 | 43,737.7 | |||||||||||||||
| Residential mortgage-backed |
911.7 | — | 74.4 | 1.2 | 984.9 | |||||||||||||||
| Commercial mortgage-backed |
3,077.6 | 248.5 | 3.5 | 3,322.6 | ||||||||||||||||
| Other asset-backed securities |
5,507.4 | 13.6 | 100.2 | 4.7 | 5,589.3 | |||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Debt Securities |
$ | 55,523.4 | $ | 13.6 | $ | 5,116.5 | $ | 168.9 | $ | 60,457.4 | ||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
(1) |
No single remaining industry exceeds 3% of the portfolio. |
Percent of Total Debt Securities Carrying Value as of |
||||||||
June 30, |
December 31, |
|||||||
| Investment Rating |
2021 |
2020 |
||||||
| AAA |
16.8 | % | 18.8 | % | ||||
| AA |
9.0 | % | 8.1 | % | ||||
| A |
29.1 | % | 30.5 | % | ||||
| BBB |
39.2 | % | 37.7 | % | ||||
| |
|
|
|
|||||
| Investment grade |
94.1 | % | 95.1 | % | ||||
| |
|
|
|
|||||
| BB |
3.3 | % | 2.9 | % | ||||
| B and below |
2.6 | % | 2.0 | % | ||||
| |
|
|
|
|||||
| Below investment grade |
5.9 | % | 4.9 | % | ||||
| |
|
|
|
|||||
| Total debt securities |
100.0 | % | 100.0 | % | ||||
| |
|
|
|
|||||
June 30, 2021 |
December 31, 2020 |
|||||||||||||||||||||||
Less than 12 months |
Less than 12 months |
|||||||||||||||||||||||
Gross Unrealized Losses |
Fair Value |
# of securities |
Gross Unrealized Losses |
Fair Value |
# of securities |
|||||||||||||||||||
| U.S. government securities |
$ | 403.4 | $ | 3,407.2 | 20 | $ | 114.9 | $ | 3,944.7 | 7 | ||||||||||||||
| Other government securities |
13.8 | 231.0 | 25 | 0.8 | 89.4 | 7 | ||||||||||||||||||
| Public utilities |
16.3 | 436.8 | 56 | 1.8 | 146.5 | 8 | ||||||||||||||||||
| Corporate securities |
173.7 | 4,499.6 | 438 | 41.5 | 1,391.1 | 161 | ||||||||||||||||||
| Residential mortgage-backed |
1.6 | 137.0 | 78 | 1.2 | 35.4 | 28 | ||||||||||||||||||
| Commercial mortgage-backed |
2.2 | 162.5 | 15 | 3.2 | 151.9 | 13 | ||||||||||||||||||
| Other asset-backed securities |
10.4 | 1,150.2 | 157 | 1.4 | 796.4 | 91 | ||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total temporarily impaired securities |
$ | 621.4 | $ | 10,024.3 | 789 | $ | 164.8 | $ | 6,555.4 | 315 | ||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
12 months or longer |
12 months or longer |
|||||||||||||||||||||||
Gross Unrealized Losses |
Fair Value |
# of securities |
Gross Unrealized Losses |
Fair Value |
# of securities |
|||||||||||||||||||
| U.S. government securities |
$ | — | $ | — | — | $ | — | $ | — | — | ||||||||||||||
| Other government securities |
— | — | — | — | — | — | ||||||||||||||||||
| Public utilities |
— | 0.5 | 2 | — | — | — | ||||||||||||||||||
| Corporate securities |
6.2 | 164.9 | 23 | 0.5 | 2.9 | 3 | ||||||||||||||||||
| Residential mortgage-backed |
0.1 | 3.0 | 11 | — | 1.8 | 4 | ||||||||||||||||||
| Commercial mortgage-backed |
— | 19.9 | 2 | 0.3 | 9.7 | 1 | ||||||||||||||||||
| Other asset-backed securities |
7.7 | 19.3 | 4 | 3.3 | 29.8 | 4 | ||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total temporarily impaired securities |
$ | 14.0 | $ | 207.6 | 42 | $ | 4.1 | $ | 44.2 | 12 | ||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total |
Total |
|||||||||||||||||||||||
Gross Unrealized Losses |
Fair Value |
# of securities |
Gross Unrealized Losses |
Fair Value |
# of securities |
|||||||||||||||||||
| U.S. government securities |
$ | 403.4 | $ | 3,407.2 | 20 | $ | 114.9 | $ | 3,944.7 | 7 | ||||||||||||||
| Other government securities |
13.8 | 231.0 | 25 | 0.8 | 89.4 | 7 | ||||||||||||||||||
| Public utilities |
16.3 | 437.3 | 58 | 1.8 | 146.5 | 8 | ||||||||||||||||||
| Corporate securities (1) |
179.9 | 4,664.5 | 453 | 42.0 | 1,394.0 | 164 | ||||||||||||||||||
| Residential mortgage-backed |
1.7 | 140.0 | 89 | 1.2 | 37.2 | 32 | ||||||||||||||||||
| Commercial mortgage-backed |
2.2 | 182.4 | 16 | 3.5 | 161.6 | 14 | ||||||||||||||||||
| Other asset-backed securities |
18.1 | 1,169.5 | 161 | 4.7 | 826.2 | 95 | ||||||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Total temporarily impaired securities |
$ | 635.4 | $ | 10,231.9 | 822 | $ | 168.9 | $ | 6,599.6 | 327 | ||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
(1) |
Certain corporate securities contain multiple lots and fit the criteria of both aging groups. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
| Available-for-sale |
||||||||||||||||
| Realized gains on sale |
$ | 95.7 | $ | 358.3 | $ | 120.8 | $ | 420.0 | ||||||||
| Realized losses on sale |
(51.7 | ) | (57.7 | ) | (57.7 | ) | (183.7 | ) | ||||||||
| Credit loss income (expense) |
(1.4 | ) | 0.4 | 7.2 | (17.1 | ) | ||||||||||
| Gross impairments |
— | (1.0 | ) | — | (26.4 | ) | ||||||||||
| Credit loss income (expense) on mortgage loans |
(10.1 | ) | 14.6 | 48.4 | (33.9 | ) | ||||||||||
| Other (1) |
(17.5 | ) | (48.8 | ) | 48.8 | 2.3 | ||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Net gains (losses) excluding derivatives and funds withheld assets |
15.0 | 265.8 | 167.5 | 161.2 | ||||||||||||
| Net gains (losses) on derivative instruments (see Note 4) |
(1,768.3 | ) | (5,890.5 | ) | (112.9 | ) | (3,342.8 | ) | ||||||||
| Net gains (losses) on funds withheld reinsurance treaties (see Note 7) |
(767.4 | ) | 1,253.4 | 130.3 | 1,168.7 | |||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total net gains (losses) on derivatives and investments |
$ | (2,520.7 | ) | $ | (4,371.3 | ) | $ | 184.9 | $ | (2,012.9 | ) | |||||
| |
|
|
|
|
|
|
|
|||||||||
(1) |
Includes the foreign currency gain or loss related to foreign denominated mortgage loans and trust instruments supporting funding agreements. |
June 30, |
December 31, |
|||||||
2021 |
2020 |
|||||||
| |
|
|
|
|||||
| (in millions) | ||||||||
| Common Stock |
$ | 76.3 | $ | 71.9 | ||||
| Preferred Stock |
131.7 | 97.6 | ||||||
| Mutual Funds |
31.3 | 23.6 | ||||||
| |
|
|
|
|||||
| Total |
$ | 239.3 | $ | 193.1 | ||||
| |
|
|
|
|||||
June 30, |
December 31, |
|||||||
2021 |
2020 |
|||||||
| |
|
|
|
|||||
| (in millions) | ||||||||
| Commercial: |
||||||||
| Apartment |
$ | 4,217.3 | $ | 3,905.3 | ||||
| Hotel |
1,043.7 | 882.7 | ||||||
| Office |
1,966.3 | 1,569.7 | ||||||
| Retail |
2,132.8 | 1,942.4 | ||||||
| Warehouse |
1,717.2 | 1,978.8 | ||||||
| |
|
|
|
|||||
| Total Commercial |
$ | 11,077.3 | $ | 10,278.9 | ||||
| Residential |
571.8 | 448.6 | ||||||
| |
|
|
|
|||||
| Total |
$ | 11,649.1 | $ | 10,727.5 | ||||
| |
|
|
|
|||||
June 30, |
December 31, |
|||||||
2021 |
2020 |
|||||||
| |
|
|
|
|||||
| (in millions) | ||||||||
| East North Central |
$ | 1,183.4 | $ | 1,211.4 | ||||
| East South Central |
523.1 | 452.7 | ||||||
| Middle Atlantic |
1,544.3 | 1,275.8 | ||||||
| Mountain |
686.7 | 840.0 | ||||||
| New England |
475.3 | 476.2 | ||||||
| Pacific |
2,800.1 | 2,588.6 | ||||||
| South Atlantic |
2,463.8 | 2,529.9 | ||||||
| West North Central |
551.5 | 379.3 | ||||||
| West South Central |
861.9 | 811.8 | ||||||
| Foreign |
559.0 | 161.8 | ||||||
| |
|
|
|
|||||
| Total |
$ | 11,649.1 | $ | 10,727.5 | ||||
| |
|
|
|
|||||
June 30, |
December 31, |
|||||||
2021 |
2020 |
|||||||
| |
|
|
|
|||||
| (in millions) | ||||||||
| Loan-to-Value |
||||||||
| < 70% |
$ | 10,008.1 | $ | 9,263.8 | ||||
| 70% - 80% |
842.9 | 845.0 | ||||||
| 80% - 100% |
141.9 | 170.1 | ||||||
| > 100% |
84.4 | — | ||||||
| |
|
|
|
|||||
| Total |
$ | 11,077.3 | $ | 10,278.9 | ||||
| |
|
|
|
|||||
June 30, |
||||||||
2021 |
2020 |
|||||||
| |
|
|
|
|||||
| (in millions) | ||||||||
| Balance at beginning of period |
$ | 179.2 | $ | 8.9 | ||||
| Cumulative effect of change in accounting principle |
— | 62.0 | ||||||
| Charge offs, net of recoveries |
— | — | ||||||
| Additions from purchase of purchased credit -deteriorated mortgage loans |
— | — | ||||||
| Provision (release) |
(43.9 | ) | 48.5 | |||||
| |
|
|
|
|||||
| Balance at end of period |
$ | 135.3 | $ | 119.4 | ||||
| |
|
|
|
|||||
June 30, 2021 |
||||||||||||||||||||
Assets |
Liabilities |
|||||||||||||||||||
Contractual/ |
Contractual/ |
Net |
||||||||||||||||||
Notional |
Fair |
Notional |
Fair |
Fair |
||||||||||||||||
Amount (1) |
Value |
Amount (1) |
Value |
Value |
||||||||||||||||
| Freestanding derivatives |
||||||||||||||||||||
| Cross-currency swaps |
$ | 1,113.3 | $ | 45.7 | $ | 654.1 | $ | 34.3 | $ | 11.4 | ||||||||||
| Equity index call options |
19,000.0 | 597.6 | — | — | 597.6 | |||||||||||||||
| Equity index futures (2) |
— | — | 15,900.0 | — | — | |||||||||||||||
| Equity index put options |
35,000.0 | 127.2 | — | — | 127.2 | |||||||||||||||
| Interest rate swaps |
7,978.1 | 516.5 | — | — | 516.5 | |||||||||||||||
| Interest rate swaps - cleared (2) |
1,500.0 | — | — | — | — | |||||||||||||||
| Put-swaptions |
16,000.0 | 179.1 | 2,000.0 | 17.5 | 161.6 | |||||||||||||||
| Treasury futures (2) |
1,611.7 | — | 10.6 | — | — | |||||||||||||||
| Credit default swaps |
— | — | — | — | — | |||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total freestanding derivatives |
82,203.1 | 1,466.1 | 18,564.7 | 51.8 | 1,414.3 | |||||||||||||||
| Embedded derivatives-product liabilities |
||||||||||||||||||||
| VA embedded derivatives (3) |
N/A | — | N/A | 2,235.7 | (2,235.7 | ) | ||||||||||||||
| FIA embedded derivatives (4) |
N/A | — | N/A | 1,489.9 | (1,489.9 | ) | ||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total embedded derivatives |
N/A | — | N/A | 3,725.6 | (3,725.6 | ) | ||||||||||||||
| Derivatives related to funds withheld under reinsurance treaties |
||||||||||||||||||||
| Cross-currency swaps |
$ | 73.0 | $ | 3.4 | $ | 84.9 | $ | 3.3 | $ | 0.1 | ||||||||||
| Cross-currency forwards |
1,039.3 | 13.4 | 76.1 | 0.1 | 13.3 | |||||||||||||||
| Funds withheld embedded derivative (5) |
N/A | — | N/A | 372.9 | (372.9 | ) | ||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total derivatives related to funds withheld under reinsurance treaties |
$ | 1,112.3 | $ | 16.8 | $ | 161.0 | $ | 376.3 | $ | (359.5 | ) | |||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$ | 83,315.4 | $ | 1,482.9 | $ | 18,725.7 | $ | 4,153.7 | $ | (2,670.8 | ) | |||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
(1) |
The notional amount for swaps and swaptions represents the stated principal balance used as a basis for calculating payments. The contractual amount for futures and options represents the market exposure of open positions. |
(2) |
Variation margin is considered settlement resulting in the netting of cash received/paid for variation margin against the fair value of the trades. |
(3) |
Included within reserves for future policy benefits and claims payable on the condensed consolidated balance sheets. The nonperformance risk adjustment is included in the balance above. |
(4) |
Included within other contract holder funds on the condensed consolidated balance sheets. The nonperformance risk adjustment is included in the balance above. |
December 31, 2020 |
||||||||||||||||||||
Assets |
Liabilities |
|||||||||||||||||||
Contractual/ |
Contractual/ |
Net |
||||||||||||||||||
Notional |
Fair |
Notional |
Fair |
Fair |
||||||||||||||||
Amount (1) |
Value |
Amount (1) |
Value |
Value |
||||||||||||||||
| Freestanding derivatives |
||||||||||||||||||||
| Cross-currency swaps |
$ | 1,228.1 | $ | 93.0 | $ | 516.0 | $ | 34.0 | $ | 59.0 | ||||||||||
| Equity index call options |
26,300.0 | 1,127.3 | — | — | 1,127.3 | |||||||||||||||
| Equity index futures (2) |
— | — | 27,651.0 | — | — | |||||||||||||||
| Equity index put options |
27,000.0 | 178.0 | — | — | 178.0 | |||||||||||||||
| Interest rate swaps |
4,250.0 | 721.8 | 500.0 | 0.9 | 720.9 | |||||||||||||||
| Interest rate swaps - cleared (2) |
— | — | 1,500.0 | 8.2 | (8.2 | ) | ||||||||||||||
| Put-swaptions |
1,000.0 | 99.5 | — | — | 99.5 | |||||||||||||||
| Treasury futures (2) |
8,520.5 | — | 3.8 | — | — | |||||||||||||||
| Credit default swaps |
0.5 | — | — | — | — | |||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total freestanding derivatives |
68,299.1 | 2,219.6 | 30,170.8 | 43.1 | 2,176.5 | |||||||||||||||
| Embedded derivatives |
||||||||||||||||||||
| VA embedded derivatives (3) |
N/A | — | N/A | 5,592.1 | (5,592.1 | ) | ||||||||||||||
| FIA embedded derivatives (4) |
N/A | — | N/A | 1,483.9 | (1,483.9 | ) | ||||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total embedded derivatives |
N/A | — | N/A | 7,076.0 | (7,076.0 | ) | ||||||||||||||
| Derivatives related to funds withheld under reinsurance treaties |
||||||||||||||||||||
| Cross-currency swaps |
$ | 7.4 | $ | — | $ | 100.7 | $ | 5.2 | $ | (5.2 | ) | |||||||||
| Cross-currency forwards |
75.3 | 0.2 | 668.3 | 8.1 | (7.9 | ) | ||||||||||||||
| Funds withheld embedded derivative (5) |
N/A | — | N/A | |
826.6 |
(826.6 | ) | |||||||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total derivatives related to funds withheld under reinsurance treaties |
$ | 82.7 | $ | 0.2 | $ | 769.0 | $ | 839.9 | $ | (839.7 | ) | |||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$ | 68,381.8 | $ | 2,219.8 | $ | 30,939.8 | $ | 7,959.0 | $ | (5,739.2 | ) | |||||||||
| |
|
|
|
|
|
|
|
|
|
|||||||||||
(1) |
The notional amount for swaps and swaptions represents the stated principal balance used as a basis for calculating payments. The contractual amount for futures and options represents the market exposure of open positions. | |
(2) |
Variation margin is considered settlement resulting in the netting of cash received/paid for variation margin against the fair value of the trades. | |
(3) |
Included within reserves for future policy benefits and claims payable on the condensed consolidated balance sheets. The nonperformance risk adjustment is included in the balance above. | |
(4) |
Included within other contract holder funds on the condensed consolidated balance sheets. The nonperformance risk adjustment is included in the balance above. |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2021 |
2020 |
2021 |
2020 |
|||||||||||||
| Debt securities |
$ | 277.2 | $ | 404.6 | $ | 600.5 | $ | 921.9 | ||||||||
| Equity securities |
7.0 | 1.7 | 6.6 | (13.7 | ) | |||||||||||
| Mortgage loans |
80.3 | 91.1 | 162.1 | 201.7 | ||||||||||||
| Policy loans |
17.0 | 17.1 | 35.7 | 37.9 | ||||||||||||
| Limited partnerships |
150.0 | (168.8 | ) | 392.9 | (139.3 | ) | ||||||||||
| Other investment income |
4.6 | 6.6 | 8.1 | 17.7 | ||||||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total investment income excluding funds withheld assets |
536.1 | 352.3 | 1,205.9 | 1,026.2 | ||||||||||||
| Net investment income on funds withheld assets (see Note 7) |
293.8 | 144.2 | 584.9 | 228.9 | ||||||||||||
| Investment expenses: |
||||||||||||||||
| Derivative trading commission |
(0.5 | ) | (1.5 | ) | (1.3 | ) | (3.1 | ) | ||||||||
| Depreciation on real estate |
(2.0 | ) | (2.8 | ) | (4.8 | ) | (5.5 | ) | ||||||||
| Expenses related to consolidated entities (1) |
(9.0 | ) | (11.1 | ) | (16.6 | ) | (20.3 | ) | ||||||||
| Other investment expenses (2) |
(22.5 | ) | (44.7 | ) | (44.5 | ) | (2.0 | ) | ||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Total investment expenses |
(34.0 | ) | (60.1 | ) | (67.2 | ) | (30.9 | ) | ||||||||
| |
|
|
|
|
|
|
|
|||||||||
| Net investment income |
$ | 795.9 | $ | 436.4 | $ | 1,723.6 | $ | 1,224.2 | ||||||||
| |
|
|
|
|
|
|
|
|||||||||
(1) |
Includes management fees, administrative fees, legal fees, and other expenses related to the consolidation of certain investments. |
(2) |
Includes interest expense and market appreciation on deferred compensation; investment software expense, custodial fees, and other bank fees; institutional product issuance related expenses; and other expenses. |
Six Months Ended June 30, |
||||||||
2021 |
2020 |
|||||||
| |
|
|
|
|||||
| (in millions) | ||||||||
| Net cash provided by (used in) operating activities |
$ | 2,147.4 | $ | 1,426.7 | ||||
| Net cash provided by (used in) investing activities |
580.0 | 5,234.0 | ||||||
| Net cash provided by (used in) financing activities |
(3,211.5 | ) | 215.8 | |||||
| |
|
|
|
|||||
| Net increase (decrease) in cash and cash equivalents |
(484.1 | ) | 6,876.5 | |||||
| Cash and cash equivalents, beginning of period |
2,018.7 | 1,934.5 | ||||||
| |
|
|
|
|||||
| Total cash and cash equivalents, end of period |
$ | 1,534.6 | $ | 8,811.0 | ||||
| |
|
|
|
|||||
Company |
A.M. Best |
Fitch |
Moody’s |
S&P |
||||||||||||
| Jackson |
||||||||||||||||
| Rating |
A | A | A2 | A | ||||||||||||
| Outlook |
stable | stable | negative | stable | ||||||||||||
| • | deferred acquisition costs and deferred sales inducements |
| • | reserves for future policy benefits and claims payable and other contract holder funds |
| • | accounting for reinsurance |
| • | valuation and impairment of investments |
| • | valuation of freestanding derivative instruments |
| • | valuation of embedded derivatives |
| • | income taxes |
| • | value of business acquired |
| • | consolidation of variable interest entities |
| we, us, our and the Company | Jackson Financial Inc. and its consolidated subsidiaries, unless the context refers only to Jackson Financial Inc. as a corporate entity (which we refer to as “JFI”) | |
| Jackson | Jackson National Life Insurance Company, a Company subsidiary. | |
| Jackson Finance | Jackson Finance, LLC, a Company subsidiary. | |
| PPM | PPM Holdings, Inc., a Company subsidiary. | |
| ACL | Allowance for credit loss | |
| Account value or account balance | The amount of money in a customer’s account. For example, the value increases with additional premiums and investment gains, and it decreases with withdrawals, investment losses and fees. | |
| Athene | Athene Life Re Ltd. and its affiliates and permitted transferees, including Athene Co-Invest Reinsurance Affiliate 1A Ltd. | |
| Athene Equity Investment | The July 2020 investment of $500 million by Athene in JFI for Class A common stock and Class B common stock, representing approximately 9.9% of the total combined voting power and approximately 11.1% of the total common stock of the Company | |
| Athene Reinsurance Transaction | The funds withheld coinsurance agreement entered into with Athene on June 18, 2020, effective June 1, 2020, to reinsure a 100% quota share of a block of our in-force fixed and fixed index annuity liabilities in exchange for approximately $1.2 billion in ceding commissions | |
| Athene Transactions | The Athene Reinsurance Transaction and the Athene Equity Investment, together | |
| AUM (Assets under management) | General account investments and separate account assets. | |
| Benefit base | A notional amount (not actual cash value) used to calculate the owner’s guaranteed benefits within an annuity contract. The death benefit and living benefit within the same contract may have different benefit bases. | |
| CMBS | Commercial mortgage-backed securities | |
| DAC (Deferred acquisition costs) | Represent the incremental costs related directly to the successful acquisition of new and certain renewal insurance policies and annuity contracts and which have been deferred on the balance sheet as an asset. | |
| DDTL Facility | Delayed Draw Term Loan Facility | |
| Deferred tax asset or Deferred tax liability | Assets or liabilities that are recorded for the difference between book basis and tax basis of an asset or a liability. | |
| DSI (Deferred sales inducements) | Represent amounts that are credited to a policyholder’s account balance that are higher than the expected crediting rates on similar contracts without such an inducement and that are an incentive to purchase a contract and also meet the accounting criteria to be deferred as an asset that is amortized over the life of the contract. | |
| Fixed Annuity | An annuity that guarantees a set annual rate of return with interest at rates we determine, subject to specified minimums. Credited interest rates are guaranteed not to change for certain limited periods of time. | |
| Fixed Index Annuity | An annuity with an ability to share in the upside from certain financial markets such as equity indices. | |
| Form 10 | Form 10 registration statement registering the Company’s Class A common stock under the Securities Exchange Act of 1934, as amended, which became effective on August 6, 2021. | |
| General account assets | The assets held in the general accounts of our insurance companies. | |
| GIC | Guaranteed investment contract | |
| Guarantee Fees | Fees charged on annuities for optional benefit guarantees | |
| GMAB (Guaranteed minimum accumulation benefit) | An add-on benefit (available for an additional cost) which entitles an owner to a minimum payment, typically in lump-sum, after a set period of time, typically referred to as the accumulation period. The minimum payment is based on the benefit base, which could be greater than the underlying account value. | |
| GMDB (Guaranteed minimum death benefit) | An add-on benefit that guarantees an owner’s beneficiaries are entitled to a minimum payment based on the benefit base, which could be greater than the underlying account value, upon the death of the owner. | |
| GMIB (Guaranteed minimum income benefit) | An add-on benefit (available for an additional cost) where an owner is entitled to annuitize the policy and receive a minimum payment stream based on the benefit base, which could be greater than the payment stream resulting from current annuitization of the underlying account value. | |
| GMWB (Guaranteed minimum withdrawal benefit) | An add-on benefit (available for an additional cost) where an owner is entitled to withdraw a maximum amount of their benefit base each year, for which cumulative payments to the owner could be greater than the underlying account value. | |
| GMWB for Life (Guaranteed minimum withdrawal benefit for life) | An add-on benefit (available for an additional cost) where an owner is entitled to withdraw the guaranteed annual withdrawal amount each year, for the duration of the policyholder’s life, regardless of account performance. | |
| NAIC | National Association of Insurance Commissioners | |
| NAV | Net asset value | |
| Net flows | Net flows represent the net change in customer account balances during a period, including gross premiums, surrenders, withdrawals and benefits. Net flows exclude investment performance, interest credited to customer accounts and policy charges. | |
| RBC (Risk-based capital) | Rules to determine insurance company statutory capital requirements. It is based on rules published by the NAIC. | |
| RMBS | Residential mortgage-backed securities | |
| Variable annuity | A type of annuity that offers tax-deferred investment into a range of asset classes and a variable return, which offers insurance features related to potential future income payments. | |
| VIE | Variable interest entity | |
Item 3. |
Quantitative and Qualitative Disclosures about Market Risk |
Item 4. |
Controls and Procedures |
Item 1. |
Legal Proceedings. |
Item 1A. |
Risk Factors. |
Item 2. |
Unregistered Sales of Equity Securities and Use of Proceeds. |
Item 6. |
Exhibits. |
| Number |
Description | |
| 31.1* | Certification of the Chief Executive Officer pursuant to Rule 13a-14(a) of the Securities and Exchange Act of 1934, as amended, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |
| 31.2* | Certification of the Chief Financial Officer pursuant to Rule 13a-14(a) of the Securities and Exchange Act of 1934, as amended, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | |
| 32.1** | Certification of the Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | |
| 32.2** | Certification of the Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | |
| 101.INS* | Inline XBRL Instance Document – The instance document does not appear in the interactive data file because its XBRL tags are embedded within the Inline XBRL document | |
| 101.SCH* | Inline XBRL Taxonomy Extension Schema Document | |
| 101.CAL* | Inline XBRL Taxonomy Extension Calculation Linkbase Document | |
| 101.LAB* | Inline XBRL Taxonomy Extension Label Linkbase Document | |
| 101.PRE* | Inline XBRL Taxonomy Extension Presentation Linkbase Document | |
| 101.DEF* | Inline XBRL Taxonomy Extension Definition Linkbase Document | |
| 104* | The cover page from this Quarterly Report on Form 10-Q for the quarter ended June 30, 2021, formatted in Inline XBRL (included with Exhibit 101 attachments). | |
| * | Filed herewith |
JACKSON FINANCIAL INC. | ||||||
| (Registrant) | ||||||
| Date: September 20, 2021 | By: | /s/ Marcia Wadsten | ||||
| Marcia Wadsten | ||||||
| Executive Vice President and Chief Financial Officer | ||||||
| (Principal Financial Officer) | ||||||