EX-99.2 3 fg4q2021financialsupplemen.htm EX-99.2 Document

Exhibit 99.2


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F&G Annuities & Life, Inc. (“F&G”) - An Operating Segment of Fidelity National Financial, Inc. (NYSE:FNF)         
Financial Supplement
December 31, 2021
(Year Ended December 31)

The financial statements and financial exhibits included herein are unaudited. F&G is an operating segment of FNF ("the Company") and these financial statements and exhibits should be read in conjunction with the Company's periodic reports on Form 10-K, Form 10-Q and Form 8-K.

F&G (formerly NYSE:FG) was acquired by FNF (the "Business Combination") on June 1, 2020 ("Closing Date"). As a result of the Business Combination, F&G delisted from the NYSE and became a subsidiary of FNF.

All dollar amounts are presented in millions.

Non-GAAP Financial Measures

Generally Accepted Accounting Principles (GAAP) is the term used to refer to the standard framework of guidelines for financial accounting. GAAP includes the standards, conventions, and rules accountants follow in recording and summarizing transactions and in the preparation of financial statements. In addition to reporting financial results in accordance with GAAP, this document includes non-GAAP financial measures, which the Company believes are useful to help investors better understand its financial performance, competitive position and prospects for the future. Management believes these non-GAAP financial measures may be useful in certain instances to provide additional meaningful comparisons between current results and results in prior operating periods. Our non-GAAP measures may not be comparable to similarly titled measures of other organizations because other organizations may not calculate such non-GAAP measures in the same manner as we do. The presentation of this financial information is not intended to be considered in isolation of or as a substitute for, or superior to, the financial information prepared and presented in accordance with GAAP. By disclosing these non-GAAP financial measures, the Company believes it offers investors a greater understanding of, and an enhanced level of transparency into, the means by which the Company’s management operates the Company. Any non-GAAP measures should be considered in context with the GAAP financial presentation and should not be considered in isolation or as a substitute for GAAP net earnings, net earnings attributable to common shareholders, or any other measures derived in accordance with GAAP as measures of operating performance or liquidity. Reconciliations of these non-GAAP financial measures to the most directly comparable GAAP measures are provided within.

1
F&G - An Operating Segment of FNF
Financial Supplement - December 31, 2021
(All periods are unaudited)
Page
Sales Results by Product
Reconciliation of Total Shareholders' Equity to Total Shareholders' Equity Excluding AOCI
Financial Strength Ratings
Total Product Net Investment Spread
FIA Net Investment Spread
 Assets Under Management Rollforward and Average Assets Under Management

2
F&G - An Operating Segment of FNF
Financial Supplement - December 31, 2021
(All periods are unaudited)

Consolidated Financial Highlights
Three months endedYear ended
December 31, 2021September 30, 2021June 30, 2021March 31, 2021December 31, 2020December 31, 2021
Select Income Statement Data:
Net earnings attributable to common shareholders121 373 82 289 137 865 
Adjusted net earnings attributable to common shareholders (a)90 101 92 78 128 361 
Select Metrics:
Average assets under management ("AAUM") (a)35,699 32,692 30,423 29,016 27,864 31,938 
Assets under management ("AUM") (a)36,494 34,665 31,760 29,700 28,553 36,494 
Net investment spread (a)2.89 %2.85 %2.95 %2.55 %2.55 %2.81 %
Adjusted return on assets (a) (b)1.13 %1.18 %1.14 %1.08 %1.47 %1.13 %
        
(a) Refer to "Non-GAAP Financial Measures Definitions"
(b) Adjusted return on assets is calculated on a year to date ("YTD") basis. As a result of the Business Combination, the amount presented for December 31, 2020 reflects the 7 month YTD period.


Sales Results by Product

The table below provides a summary of sales, which are not affected by the June 1, 2020 Business Combination, and are comparable to prior period data.
Three months endedYear endedYear ended
December 31, 2021September 30, 2021June 30, 2021March 31, 2021December 31, 2020December 31, 2021December 31, 2020
Sales (a)
Fixed indexed annuities (FIA)1,055 1,073 1,135 1,047 947 4,310 3,459 
Fixed rate annuities (MYGA)301 458 512 467 362 1,738 776 
Total annuity1,356 1,531 1,647 1,514 1,309 6,048 4,235 
Indexed universal life (IUL)28 24 20 15 13 87 50 
Funding agreements (FABN/FHLB)35 1,150 1,000 125 100 2,310 200 
Pension risk transfer (PRT)776 371 — — — 1,147 — 
Flow reinsurance— — — — 37 — — 352 
Total Sales$2,195 $3,076 $2,667 $1,654 $1,459 $9,592 $4,837 
(a) Refer to "Non-GAAP Financial Measures Definitions"





3
F&G - An Operating Segment of FNF
Financial Supplement - December 31, 2021
(All periods are unaudited)
            
Condensed Consolidated Balance Sheets
December 31, 2021September 30, 2021June 30, 2021March 31, 2021December 31, 2020
Assets
Investments:
Fixed maturity securities available for sale, at fair value, net of allowance for credit losses of $8 at December 31, 2021$29,962 $28,550 $27,616 $25,768 $25,499 
Preferred securities, at fair value1,028 870 882 908 965 
Equity securities, at fair value143 156 176 141 82 
Derivative investments816 581 691 542 548 
Mortgage loans, net of allowance for credit losses of $31 at December 31, 20213,749 3,484 2,794 2,374 2,031 
Investments in unconsolidated affiliates (a)2,350 2,022 1,667 1,281 1,156 
Other long-term investments489 454 448 447 449 
Short-term investments373 258 356 72 456 
Total investments$38,910 $36,375 $34,630 $31,533 $31,186 
Cash and cash equivalents1,533 2,320 1,016 995 889 
Trade and notes receivables3 11 11 11 10 
Reinsurance recoverable, net of allowance for credit losses of $20 at December 31, 2021 (a)3,610 3,492 3,297 3,404 3,174 
Goodwill (a)1,756 1,756 1,756 1,751 1,751 
Prepaid expenses and other assets613 662 415 470 413 
Lease assets8 8 8 8 8 
Other intangible assets, net (a)2,234 2,086 2,060 2,061 1,918 
Property and equipment, net13 13 13 13 11 
Income taxes receivable50 — — — 15 
Deferred tax asset (a)— — 51 130 44 
Assets of discontinued operations— — — 311 327 
Total assets$48,730 $46,723 $43,257 $40,687 $39,746 
(a) These line items included adjustments that were recorded during the remeasurement period subsequent to the June 1, 2020 acquisition. The following adjustments were recorded as of the opening balance sheet at June 1, 2020 during the quarter ending December 31, 2020: Goodwill, $20, Other intangible assets, net, ($56), Reinsurance recoverable, $47, and Deferred tax asset, $10. The following adjustments were recorded as of the opening balance sheet at June 1, 2020 during the quarter ending June 30, 2021: Reinsurance recoverable, ($289), Goodwill, $5, Other intangible assets, net, $61, and Deferred tax asset, $1.
4
F&G - An Operating Segment of FNF
Financial Supplement - December 31, 2021
(All periods are unaudited)
Condensed Consolidated Balance Sheets (continued)
December 31, 2021September 30, 2021June 30, 2021March 31, 2021December 31, 2020
Liabilities and Shareholders' Equity
Contractholder funds (b)$35,525 $33,988 $32,166 $29,592 $28,718 
Future policy benefits (b)4,732 3,985 3,670 3,959 4,010 
Accounts payable and accrued liabilities (b)1,297 1,670 1,276 1,368 1,174 
Income taxes payable— 3 17 5 — 
Deferred tax liability24 9 — — — 
Notes payable977 979 589 589 589 
Funds withheld for reinsurance liabilities1,676 1,508 1,271 1,026 806 
Lease liabilities14 14 14 14 14 
Liabilities of discontinued operations— — — 339 361 
Total liabilities$44,245 $42,156 $39,003 $36,892 $35,672 
Shareholders' equity:
Additional paid-in-capital2,750 2,748 2,746 2,744 2,741 
Retained earnings1,001 880 507 425 136 
Accumulated other comprehensive income ("AOCI")734 939 1,001 626 1,197 
Total shareholders' equity$4,485 $4,567 $4,254 $3,795 $4,074 
Total liabilities and shareholders' equity$48,730 $46,723 $43,257 $40,687 $39,746 
        
(b) Contractholder funds, Future policy benefits, and Accounts payable and accrued liabilities included ($5), ($7), and $33 adjustments as of the opening balance sheet at June 1, 2020, respectively, during the quarter ending December 31, 2020; Additionally, Future policy benefits and Accounts payable and accrued liabilities included ($228) and $6 adjustments as of the opening balance sheet at June 1, 2020, respectively, during the quarter ending June 30, 2021




Reconciliation of Total Shareholders' Equity to Total Shareholders' Equity Excluding AOCI
December 31, 2021September 30, 2021June 30, 2021March 31, 2021December 31, 2020
Total shareholders' equity$4,485 $4,567 $4,254 $3,795 $4,074 
AOCI734 939 1,001 626 1,197 
Total shareholders' equity excluding AOCI (c)$3,751 $3,628 $3,253 $3,169 $2,877 
(c) Refer to "Non-GAAP Financial Measures Definitions"


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F&G - An Operating Segment of FNF
Financial Supplement - December 31, 2021
(All periods are unaudited)
Condensed Consolidated Statements of Operations
Three months endedYear ended
December 31, 2021September 30, 2021June 30, 2021March 31, 2021December 31, 2020December 31, 2021
Revenues:
Life insurance premiums and other fees (a)$838 $431 $62 $64 $58 $1,395 
Interest and investment income511 481 487 373 327 1,852 
Recognized gains and losses, net345 15 253 102 282 715 
      Total revenues1,694 927 802 539 667 3,962 
Benefits and expenses:
Benefits and other changes in policy reserves1,404 185 575 (26)460 2,138 
Personnel costs36 32 32 29 33 129 
Other operating expenses29 22 26 28 30 105 
Depreciation and amortization65 210 65 144 64 484 
Interest expense8 6 7 8 8 29 
      Total benefits and expenses1,542 455 705 183 595 2,885 
Pre-tax earnings152 472 97 356 72 1,077 
Income tax expense(31)(96)(21)(72)67 (220)
Net earnings121 376 76 284 139 857 
   (Loss) earnings from discontinued operations, net of tax— (3)6 5 (2)8 
Net earnings attributable to common shareholders$121 $373 $82 $289 $137 $865 
(a) Included within "Escrow, title-related and other fees" in FNF 10-K/ 10-Q
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F&G - An Operating Segment of FNF
Financial Supplement - December 31, 2021
(All periods are unaudited)

Reconciliation from Net Earnings (Loss) to Adjusted Net Earnings (a)
Three months endedYear ended
December 31, 2021September 30, 2021June 30, 2021March 31, 2021December 31, 2020December 31, 2021
Net earnings$121 $376 $76 $284 $139 $857 
Non-GAAP adjustments (a):
Recognized (gains), net(76)(98)(63)(82)(76)(319)
Indexed product related derivatives32 26 75 (185)54 (52)
Purchase price amortization6 7 6 7 7 26 
Transaction costs— 1 2 2 4 5 
Other non-recurring items (b)— (284)— — — (284)
Income taxes on non-GAAP adjustments7 73 (4)52 — 128 
Adjusted net earnings attributable to common shareholders (a)$90 $101 $92 $78 $128 $361 



Notable Items
Each quarterly reporting period, we identify notable items that help explain the trends in our Net earnings (loss) attributable to common shareholders and Adjusted net earnings (loss) attributable to common shareholders as we believe these items provide further clarity to the financial performance of the business.
Three months endedYear ended
December 31, 2021September 30, 2021June 30, 2021March 31, 2021December 31, 2020December 31, 2021
Adjusted net earnings attributable to common shareholders (a)$90 $101 $92 $78 $128 $361 
Notable items [(unfavorable)/favorable]
Single premium immediate annuities ("SPIA") mortality & other reserve adjustments (c)(7)7 3 7 — 10 
Assumption review and unlocking (d)— — 8 — — 8 
Other notable items (e)10 20 11 5 68 46 
(a) Refer to "Non-GAAP Financial Measures Definitions"
(b) Reflects adjustments to benefits and other changes in policy reserves and depreciation and amortization resulting from the implementation of a new actuarial valuation system.
(c) The release of annuity reserves associated with mortality of annuitants, which varies due to timing, volume and severity of experience, and other reserve adjustments.
(d) Reflects unlocking from updating our DAC, VOBA, DSI and cost of reinsurance amortization models for actual experience and equity market fluctuations.
(e) Costs incurred during research and exploration of potential merger or acquisition of a business or a group of insurance policies via asset acquisition or (inforce) reinsurance agreement, income from bond prepayment and CLO redemptions, changes in tax valuation and other net activity.


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F&G - An Operating Segment of FNF
Financial Supplement - December 31, 2021
(All periods are unaudited)


Adjusted Net Earnings Statement (a)
Three months endedYear ended
December 31, 2021September 30, 2021June 30, 2021March 31, 2021December 31, 2020December 31, 2021
Revenues:
      Life insurance premiums and other fees (b) (i)$840 $430 $62 $64 $61 $1,396 
      Interest and investment income (c)431 381 377 333 315 1,522 
      Recognized gains and losses, net (d)— — — — — — 
          Total revenues1,271 811 439 397 376 2,918 
Benefits and expenses:
      Benefits and other changes in policy reserves (e) (i)1,023 577 214 188 202 2,002 
      Personnel costs36 32 32 29 33 129 
      Other operating expenses (f)29 22 24 26 25 101 
      Depreciation and amortization (g)61 49 46 48 46 204 
      Interest expense9 6 7 8 8 30 
         Total benefits and expenses1,158 686 323 299 314 2,466 
Pre-tax earnings113 125 116 98 62 452 
 Income tax expense(23)(24)(24)(20)66 (91)
Adjusted net earnings attributable to common shareholders (a)$90 $101 $92 $78 $128 $361 
Notable items included in adjusted net earnings attributable to common shareholders (h)$3 $27 $22 $12 $68 $64 

(a) Refer to "Non-GAAP Financial Measures Definitions."
(b) Life insurance premiums and other fees are included within "Escrow, title-related and other fees" in FNF 10-K/ 10-Q, and have been adjusted here to remove the effect of cost of reinsurance.
(c) Interest and investment income has been adjusted to remove the market volatility on the alternative investment portfolio that differ from management's expectation of returns over the life of these assets.
(d) Recognized gains and losses (net) have been adjusted to remove the effect of recognized (gains) losses including changes in allowance for expected credit losses and OTTI; changes in fair values of indexed product related derivatives and embedded derivatives, net of hedging costs; and the change in fair value of the reinsurance related embedded derivative.
(e) Benefits and other changes in policy reserves has been adjusted to remove the effects of the changes in fair values of indexed product embedded derivatives, changes in allowance for expected credit losses on reinsurance recoverables, the fair value impacts of assumed reinsurance, those resulting from the implementation of a new actuarial system at September 30, 2021, and changes in the SOP 03-1 reserve resulting from the adjustments above, as applicable.
(f) Other operating expenses have been adjusted to remove the effects of transaction costs.
(g) Depreciation and amortization has been adjusted to remove the impact on DAC, VOBA, and DSI of the adjustments above, as applicable, purchase price amortization and those resulting from the implementation of a new actuarial valuation system at September 30, 2021.
(h) Refer to page 7 "Notable Items" for further detail of notable items.
(i) Includes premiums from agreements related to our new PRT business beginning in the three months ended September 30, 2021.







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F&G - An Operating Segment of FNF
Financial Supplement - December 31, 2021
(All periods are unaudited)
Financial Strength Ratings
A.M. BestS&PFitchMoody's
Holding Company Ratings
F&G Annuities & Life, Inc.
Issuer Credit / Default RatingNot RatedBBB-BBBBa2
OutlookStableStablePositive
CF Bermuda Holdings Limited
Issuer Credit / Default RatingNot RatedBBB-BBBBa1
OutlookStableStablePositive
Fidelity & Guaranty Life Holdings, Inc.
Issuer Credit / Default Ratingbbb-BBB-BBBNot Rated
OutlookStableStableStable
Senior Unsecured Notesbbb-BBBBBBBaa2
OutlookStableStable
Operating Subsidiary Ratings
Fidelity & Guaranty Life Insurance Company
Financial Strength RatingA-A-A-Baa1
OutlookStableStableStablePositive
Fidelity & Guaranty Life Insurance Company of New York
Financial Strength RatingA-A- A-Not Rated
OutlookStableStableStable
F&G Life Re Ltd
Financial Strength RatingNot RatedA-A-Baa1
OutlookStableStablePositive
F&G Cayman Re Ltd
Financial Strength RatingNot RatedNot RatedA-Not Rated
OutlookStable
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F&G - An Operating Segment of FNF
Financial Supplement - December 31, 2021
(All periods are unaudited)
Total Product Net Investment Spread
Three months endedYear ended
December 31, 2021September 30, 2021June 30, 2021March 31, 2021December 31, 2020December 31, 2021
Net investment income$511 $481 $487 $373 $327 $1,852 
AAUM (a)35,699 32,692 30,423 29,016 27,864 31,938 
Yield on AAUM (a)5.73 %5.89 %6.40 %5.15 %4.69 %5.80 %
Alternative investment yield adjustment (a)(0.90)%(1.23)%(1.43)%(0.56)%(0.17)%(1.04)%
Adjusted Yield on AAUM (a)4.83 %4.66 %4.97 %4.59 %4.52 %4.76 %
Interest credits$77 $63 $73 $74 $67 $287 
Option & futures costs80 75 70 65 63 290 
Total interest credited and option costs$157 $138 $143 $139 $130 $577 
   Average account value32,340 30,469 28,273 27,252 26,450 29,632 
  Interest credited & option cost1.94 %1.81 %2.02 %2.04 %1.97 %1.95 %
   Net investment spread (a)2.89 %2.85 %2.95 %2.55 %2.55 %2.81 %
(a) Refer to "Non-GAAP Financial Measures Definitions."



















10
F&G - An Operating Segment of FNF
Financial Supplement - December 31, 2021
(All periods are unaudited)
FIA Net Investment Spread
Three months endedYear ended
December 31, 2021September 30, 2021June 30, 2021March 31, 2021December 31, 2020December 31, 2021
Net investment income (a)$367 $368 $377 $276 $235 $1,388 
AAUM (a)22,824 22,146 20,896 20,217 19,097 21,487 
Yield on AAUM (a)6.43 %6.65 %7.22 %5.46 %4.92 %6.46 %
Alternative investment yield adjustment (a) (1.19)%(1.81)%(2.20)%(0.81)%(0.25)%(1.51)%
Adjusted Yield on AAUM (a)5.24 %4.84 %5.02 %4.65 %4.67 %4.95 %
Interest credits$9 $2 $13 $15 $13 $39 
Option & futures costs80 75 70 65 63 290 
Total interest credited and option costs$89 $77 $83 $80 $76 $329 
   Average account value21,513 20,680 19,842 19,028 18,442 20,271 
  Interest credited & option cost1.65 %1.49 %1.67 %1.67 %1.65 %1.62 %
   Net investment spread (a)3.59 %3.35 %3.35 %2.98 %3.02 %3.33 %

(a) Refer to "Non-GAAP Financial Measures Definitions."

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F&G - An Operating Segment of FNF
Financial Supplement - December 31, 2021
(All periods are unaudited)


Assets Under Management Rollforward and Average Assets Under Management

Three months endedYear ended
December 31, 2021September 30, 2021June 30, 2021March 31, 2021December 31, 2020December 31, 2021
AUM at beginning of period (a)$34,665 $31,760 $29,700 $28,553 $27,366 $28,553 
Net new business asset flows2,050 2,747 2,327 1,269 1,187 8,393 
Net reinsurance and other transactions(221)158 (267)(122)— (452)
AUM at end of period (a)$36,494 $34,665 $31,760 $29,700 $28,553 $36,494 
AAUM (a)$35,699 $32,692 $30,423 $29,016 $27,864 $31,938 

Annuity Account Balance Rollforward (b)
Three months endedYear ended
December 31, 2021September 30, 2021June 30, 2021March 31, 2021December 31, 2020December 31, 2021
Account balances at beginning of period:$25,662 $24,774 $23,803 $22,992 $22,106 $22,992 
Net deposits1,321 1,311 1,390 1,265 1,305 5,287 
Surrenders, withdrawals, deaths, etc.(517)(625)(628)(585)(533)(2,355)
Net flows804 686 762 680 772 2,932 
Premium and interest bonuses23 20 21 18 20 82 
Fixed interest credited and index credits226 217 225 148 131 816 
Guaranteed product rider fees(42)(35)(37)(35)(37)(149)
Account balance at end of period$26,673 $25,662 $24,774 $23,803 $22,992 $26,673 
(a) Refer to "Non-GAAP Financial Measures Definitions."
(b) The rollforward reflects the vested account balance of our fixed index annuities and fixed rate annuities, net of reinsurance.
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F&G - An Operating Segment of FNF
Financial Supplement - December 31, 2021
(All periods are unaudited)

Annuity Liability Characteristics
Fixed Annuities Account ValueFixed Index Annuities Account Value
December 31, 2021
SURRENDER CHARGE PERCENTAGES:
No surrender charge$338 $2,532 
0.0% < 2.0%12 110 
2.0% < 4.0%40 785 
4.0% < 6.0%658 1,821 
6.0% < 8.0%1,736 3,515 
8.0% < 10.0%1,892 7,777 
10.0% or greater— 5,457 
$4,676 $21,997 
Fixed Annuities Account ValueFixed Index Annuities Account Value
December 31, 2021
CREDITED RATE (INCLUDING BONUS INTEREST) VS. ULTIMATE MINIMUM GUARANTEED RATE DIFFERENTIAL:
No differential$489 $1,389 
0.0% - 1.0%696 1,186 
1.0% - 2.0%1,693 6 
2.0% - 3.0%1,798 — 
Allocated to index strategies— 19,416 
$4,676 $21,997 









13
F&G - An Operating Segment of FNF
Financial Supplement - December 31, 2021
(All periods are unaudited)

Summary of Invested Assets by Asset Class
December 31, 2021December 31, 2020
Amortized CostFair ValuePercentAmortized CostFair ValuePercent
Fixed maturity securities, available for sale:
United States Government full faith and credit$50 $50 — %$45 $45 — %
United States Government sponsored entities74 74 — %105 106 — %
United States municipalities, states and territories1,386 1,441 4 %1,243 1,309 4 %
Foreign Governments197 205 1 %128 140 — %
Corporate securities:
Finance, insurance and real estate4,881 5,109 13 %4,267 4,572 15 %
Manufacturing, construction and mining880 932 2 %839 936 3 %
Utilities, energy and related sectors2,881 2,987 8 %2,532 2,762 9 %
Wholesale/retail trade2,503 2,627 7 %1,900 2,106 7 %
Services, media and other3,227 3,349 8 %2,568 2,793 9 %
Hybrid securities812 881 2 %888 963 3 %
Non-agency residential mortgage-backed securities648 648 2 %677 694 2 %
Commercial mortgage-backed securities2,669 2,964 7 %2,468 2,806 9 %
Asset-backed securities4,514 4,550 12 %1,920 1,999 6 %
CLO securities4,002 4,145 11 %4,021 4,268 14 %
Total fixed maturity securities, available for sale$28,724 $29,962 77 %$23,601 $25,499 81 %
Equity securities1,135 1,171 3 %959 1,047 3 %
Alternative investments:
Private equity1,181 1,181 3 %614 614 2 %
Real assets339 340 1 %280 288 1 %
Credit829 829 2 %254 254 1 %
Commercial mortgage loans2,168 2,265 6 %903 926 3 %
Residential mortgage loans1,581 1,549 4 %1,128 1,123 4 %
Other (primarily derivatives and company owned life insurance)971 1,305 3 %815 997 4 %
Short term investments373 373 1 %456 456 1 %
Total (a)$37,301 $38,975 100 %$29,010 $31,204 100 %
(a) Asset duration of 6.4 years and 6.8 years vs. liability duration of 7.1 years and 6.7 years for the periods ending December 31, 2021 and December 31, 2020, respectively.




14
F&G - An Operating Segment of FNF
Financial Supplement - December 31, 2021
(All periods are unaudited)
Credit Quality of Fixed Maturity Securities
December 31, 2021
NAIC DesignationFair ValuePercent
1$15,848 54 %
211,441 38 %
31,850 6 %
4669 2 %
593 — %
661 — %
$29,962 100 %

December 31, 2021
Rating Agency RatingFair ValuePercent
AAA$660 2 %
AA2,181 7 %
A7,667 26 %
BBB10,462 35 %
Not rated6,642 22 %
Total investment grade27,612 92 %
BB1,372 5 %
B and below432 1 %
Not rated546 2 %
Total below investment grade2,350 8 %
$29,962 100 %

15
F&G - An Operating Segment of FNF
Financial Supplement - December 31, 2021
(All periods are unaudited)
Summary of Residential Mortgage Backed Securities by Collateral Type and NAIC Designation
December 31, 2021
Total by collateral typeAmortized CostFair Value
Government Agency$75 $75 
Prime518 517 
Subprime55 55 
Alt-A74 75 
$722 $722 
December 31, 2021
Total by NAIC designationAmortized CostFair Value
1$707 $707 
25 5 
35 5 
41 1 
54 4 
$722 $722 
    


Top 5 Reinsurers

December 31, 2021
Financial Strength Rating
Parent Company/Principal ReinsurersReinsurance Recoverable (a)AM BestS&PFitchMoody's
Wilton Re$1,269 A+not ratedA+not rated
Aspida Life Re Ltd873 A-not ratedBBBnot rated
Somerset Reinsurance Ltd780 A-BBB+not ratednot rated
London Life Reinsurance Co.102 A+not ratednot ratednot rated
Security Life of Denver102 not ratedA-A-Baa1
(a) Reinsurance recoverables do not include unearned ceded premiums that would be recovered in the event of early termination of certain traditional life policies.

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F&G - An Operating Segment of FNF
Financial Supplement - December 31, 2021
(All periods are unaudited)
Non-GAAP Financial Measures Definitions
The following represents the definitions of non-GAAP measures used by F&G, as an operating segment of FNF:
Adjusted Net Earnings Attributable to Common Shareholders (Adjusted Net Earnings)
Adjusted net earnings attributable to common shareholders ("adjusted net earnings") is a non-GAAP economic measure we use to evaluate financial performance each period. Adjusted net earnings is calculated by adjusting net earnings (loss) from continuing operations attributable to common shareholders to eliminate:
(i) Recognized (gains) and losses, net: the impact of net investment gains/losses, including changes in allowance for expected credit losses and other than temporary impairment ("OTTI") losses, recognized in operations; the impact of market volatility on the alternative asset portfolio that differ from management's expectation of returns over the life of these assets; and the effect of changes in fair value of the reinsurance related embedded derivative;
(ii) Indexed product related derivatives: the impacts related to changes in the fair value, including both realized and unrealized gains and losses, of index product related derivatives and embedded derivatives, net of hedging cost;
(iii) Purchase price amortization: the impacts related to the amortization of certain intangibles (internally developed software, trademarks and value of distribution asset ("VODA")) recognized as a result of acquisition activities;
(iv) Transaction costs: the impacts related to acquisition, integration and merger related items; and
(v) Other "non-recurring", "infrequent" or "unusual items": Management excludes certain items determined to be “non-recurring”, “infrequent” or “unusual” from adjusted net earnings when incurred if it is determined these expenses are not a reflection of the core business and when the nature of the item is such that it is not reasonably likely to recur within two years and/or there was not a similar item in the preceding two years.
Adjustments to adjusted net earnings are net of the corresponding impact on amortization of intangibles, as appropriate. The income tax impact related to these adjustments is measured using an effective tax rate, as appropriate by tax jurisdiction. While these adjustments are an integral part of the overall performance of F&G, market conditions and/or the non-operating nature of these items can overshadow the underlying performance of the core business. Accordingly, management considers this to be a useful measure internally and to investors and analysts in analyzing the trends of our operations. Adjusted net earnings should not be used as a substitute for net earnings (loss). However, we believe the adjustments made to net earnings (loss) in order to derive adjusted net earnings provide an understanding of our overall results of operations.
Total Shareholders’ Equity Excluding AOCI
Total Shareholders’ Equity Excluding AOCI is based on Total Shareholders' Equity excluding the effect of AOCI. Since AOCI fluctuates from quarter to quarter due to unrealized changes in the fair value of available for sale investments, Management considers this non-GAAP financial measure to provide useful supplemental information internally and to investors and analysts assessing the level of earned equity on Total Shareholders' equity.
Assets Under Management (AUM)
AUM is calculated as the sum of:
(i) total invested assets at amortized cost, excluding derivatives;
(ii) related party loans and investments;
(iii) accrued investment income;
(iv) the net payable/receivable for the purchase/sale of investments, and
(v) cash and cash equivalents excluding derivative collateral at the beginning of the period and the end of each month in the period, divided by the total number of months in the period plus one.
Management considers this non-GAAP financial measure to be useful internally and to investors and analysts when assessing the rate of return on assets available for reinvestment.
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F&G - An Operating Segment of FNF
Financial Supplement - December 31, 2021
(All periods are unaudited)
Non-GAAP Financial Measures Definitions (continued)
Average Assets Under Management (AAUM)
AAUM is calculated as AUM at the beginning of the period and the end of each month in the period, divided by the total number of months in the period plus one.
Management considers this non-GAAP financial measure to be useful internally and to investors and analysts when assessing the rate of return on assets available for reinvestment.
Yield on AAUM
Yield on AAUM is calculated by dividing annualized net investment income by AAUM. Management considers this non-GAAP financial measure to be useful internally and to investors and analysts when assessing the level of return earned on AAUM.
Alternative Investment Yield Adjustment
Alternative investment yield adjustment is the current period yield impact of market volatility on the alternative investment portfolio that differ from management's expectation of returns over the life of these assets. Management considers this non-GAAP financial measure to be useful internally and to investors and analysts when assessing the level of return earned on AAUM.
Adjusted Yield on AAUM
Adjusted Yield on AAUM is calculated by dividing annualized net investment income by AAUM, plus or minus the alternative investment yield adjustment. Management considers this non-GAAP financial measure to be useful internally and to investors and analysts when assessing the level of return earned on AAUM.
Net Investment Spread
Net investment spread is the excess of net investment income, adjusted for market volatility on the alternative asset investment portfolio, earned over the sum of interest credited to policyholders and the cost of hedging our risk on indexed product policies. Management considers this non-GAAP financial measure to be useful internally and to investors and analysts when assessing the performance of the Company’s invested assets against the level of investment return provided to policyholders, inclusive of hedging costs.
Adjusted Return on Assets
Adjusted Return on Assets is calculated by dividing annualized adjusted net earnings by year-to-date AAUM. Management considers this non-GAAP financial measure to be useful internally and to investors and analysts when assessing financial performance and profitability earned on AAUM.
Sales
Annuity, IUL and funding agreement sales are not derived from any specific GAAP income statement accounts or line items and should not be viewed as a substitute for any financial measure determined in accordance with GAAP. Sales from these products are recorded as deposit liabilities (i.e. contractholder funds) within the Company's consolidated financial statements in accordance with GAAP. PRT sales are recorded as premiums in revenues within the consolidated financial statements. Management believes that presentation of sales, as measured for management purposes, enhances the understanding of our business and helps depict longer term trends that may not be apparent in the results of operations due to the timing of sales and revenue recognition.

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