What changed in this filing

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Item 1. Financial Statements

2022-05-11 compared with 2021-11-10 · 722 added, 892 removed, 1234 unchanged (57% of the section changed)

2 unchanged sentences

Condensed Consolidated Balance Sheets

(Unaudited, in millions)

September 30, December 31,

Assets (Unaudited)

Debt Securities, available for sale, net of allowance for credit losses of $ 9.4 and $ 13.6 at September 30, 2021 and December 31, 2020, respectively (amortized cost:

(in millions, except per share data)

March 31, December 31,

Debt Securities, available-for-sale, net of allowance for credit losses of $ 32 and $ 9 at March 31, 2022 and December 31, 2021, respectively (amortized cost:

2022 $ 48,218 ;

4 unchanged sentences

Equity securities, at fair value 261 279

Mortgage loans, net of allowance for credit losses of $ 96.4 and $ 179.2 at September 30, 2021 and December 31, 2020, respectively

11,731.4 10,727.5

Policy loans (including $ 3,487.5 and $ 3,454.2 at fair value under the fair value option at September 30, 2021 and December 31, 2020, respectively)

Mortgage loans, net of allowance for credit losses of $ 84 and $ 94 at March 31, 2022 and December 31, 2021, respectively

11,430 11,482

Mortgage loans, at fair value under fair value option 190 —

Policy loans (including $ 3,472 and $ 3,467 at fair value under the fair value option at March 31, 2022 and December 31, 2021, respectively)

Freestanding derivative instruments 926 1,417

4 unchanged sentences

Deferred acquisition costs 14,037 14,249

Reinsurance recoverable, net of allowance for credit losses of $ 12.3 and $ 12.6 at September 30, 2021 and December 31, 2020, respectively

Reinsurance recoverable, net of allowance for credit losses of $ 12 and $ 12 at March 31, 2022 and December 31, 2021, respectively

32,402 33,126

6 unchanged sentences

Other contract holder funds 59,843 59,689

Funds withheld payable under reinsurance treaties (including $ 3,659.9 and $ 3,626.5 at fair value under the fair value option at September 30, 2021 and December 31, 2020, respectively)

Funds withheld payable under reinsurance treaties (including $ 3,640 and $ 3,639 at fair value under the fair value option at March 31, 2022 and December 31, 2021, respectively)

27,199 29,007

Short-term debt 1,601.7 —

Long-term debt 2,640 2,649

Securities lending payable 20.7 13.3

Repurchase agreements and securities lending payable 599 1,589

Collateral payable for derivative instruments 525 913

Freestanding derivative instruments 405 41

3 unchanged sentences

Commitments, Contingencies, and Guarantees (Note 13)

Common stock, (i) Class A common stock 900,000,000 shares authorized, $ 0.01 par value per share and 93,099,859 shares issued and outstanding at both September 30, 2021 and December 31, 2020, respectively and (ii) Class B common stock 100,000,000 shares authorized, $ 0.01 par value per share and 1,364,484 shares issued and outstanding at both September 30, 2021 and December 31, 2020, respectively (See Note 18)

Common stock, (i) Class A Common Stock 900,000,000 shares authorized, $ 0.01 par value per share and 85,263,608 and 88,046,833 shares issued and outstanding at March 31, 2022 and December 31, 2021, respectively and (ii) Class B Common Stock 100,000,000 shares authorized, $ 0.01 par value per share and nil and 638,861 shares issued and outstanding at March 31, 2022 and December 31, 2021, respectively (See Note 17)

Additional paid-in capital 6,081 6,051

Shares held in trust — ( 4.3 )

Equity compensation reserve 10.1 7.7

Accumulated other comprehensive income, net of tax expense of $ 275.4 in 2021 and $ 765.9 in 2020

Treasury stock, at cost;

9,203,441 and 5,778,649 shares at March 31, 2022 and December 31, 2021, respectively.

( 351 ) ( 211 )

Accumulated other comprehensive income (loss), net of tax expense (benefit) of $( 547 ) in 2022 and $ 194 in 2021

( 939 ) 1,744

Retained earnings 4,782 2,809

Total stockholders' equity 10,258.2 9,428.6

Total shareholders' equity 9,574 10,394

Noncontrolling interests 715 680

5 unchanged sentences

(Unaudited, in millions, except per share data)

Three Months Ended September 30, Nine Months Ended September 30,

2021 2020 2021 2020

Three Months Ended March 31,

Fee income $ 1,922 $ 1,816

Premium 35.1 46.5 100.3 134.0

Premiums 34 34

Net investment income 720 928

7 unchanged sentences

Operating costs and other expenses, net of deferrals 607 598

Cost of reinsurance — 6.2 — 2,520.1

Amortization of deferred acquisition and sales inducement costs 515 812

Total benefits and expenses 1,915 1,921

Pretax income (loss) before noncontrolling interests 251.7 ( 531.9 ) 3,298.7 ( 2,327.8 )

Pretax income (loss) 2,386 3,586

Income tax expense (benefit) 330 586

10 unchanged sentences

(Unaudited, in millions)

Three Months Ended September 30, Nine Months Ended September 30,

2021 2020 2021 2020

Three Months Ended March 31,

Net income (loss) $ 2,056 $ 3,000

Other comprehensive income (loss), net of tax:

Change in net unrealized gains (losses) on securities not impaired (net of tax expense (benefit) of:

$( 86.1 ) and $ 129.9 for the three months ended September 30, 2021 and 2020, respectively, and $( 429.8 ) and $ 553.3 for the nine months ended September 30, 2021 and 2020, respectively)

( 313.9 ) 488.6 ( 1,554.7 ) 2,081.4

Change in unrealized gains (losses) on securities for which an allowance for credit losses has been recorded (net of tax expense (benefit) of:

$ 0.1 and $ 0.2 for the three months ended September 30, 2021 and 2020, respectively, and $ 0.7 and $ 1.2 for the nine months ended September 30, 2021 and 2020, respectively)

0.3 0.4 2.5 4.3

Reclassification adjustment for gains (losses) included in net income (loss) (net of tax expense (benefit) of:

$( 8.6 ) and $( 18.1 ) for the three months ended September 30, 2021 and 2020, respectively, and $( 61.4 ) and $( 168.0 ) for the nine months ended September 30, 2021 and 2020, respectively)

Securities with no credit impairment net of tax expense (benefit) of:

$( 745 ) and $ 656 , for the three months ended March 31, 2022 and 2021, respectively

( 2,697 ) ( 2,380 )

Securities with credit impairment, net of tax expense (benefit) of:

$ 4 and nil for the three months ended March 31, 2022 and 2021, respectively

Total other comprehensive income (loss) ( 2,683 ) ( 2,378 )

7 unchanged sentences

(Unaudited, in millions)

Additional Shares Equity Other Total Non-

Common Paid-In Held Compensation Comprehensive Retained Stockholders' Controlling Total

Stock Capital In Trust Reserve Income Earnings Equity Interests Equity

Balances as of June 30, 2021 $ 0.9 $ 5,926.9 $ ( 4.3 ) $ 8.5 $ 2,390.2 $ 2,068.3 $ 10,390.5 $ 599.1 $ 10,989.6

Net income (loss) — — — — — 206.2 206.2 61.9 268.1

Change in unrealized investment gains and losses, net of tax — — — — ( 345.0 ) — ( 345.0 ) — ( 345.0 )

Change in equity of noncontrolling interests — — — — — — — ( 63.1 ) ( 63.1 )

Shares sold in connection with demerger — 0.6 4.3 — — — 4.9 — 4.9

Reserve for equity compensation plans — — — 1.6 — — 1.6 — 1.6

Balances as of September 30, 2021 $ 0.9 $ 5,927.5 $ — $ 10.1 $ 2,045.2 $ 2,274.5 $ 10,258.2 $ 597.9 $ 10,856.1

Additional Shares Equity Other Total Non-

Common Paid-In Held Compensation Comprehensive Retained Stockholder's Controlling Total

Stock Capital In Trust Reserve Income Earnings Equity Interests Equity

Balances as of June 30, 2020 $ 0.8 $ 5,427.0 $ ( 4.3 ) $ 0.5 $ 3,429.4 $ 5.2 $ 8,858.6 $ 438.3 $ 9,296.9

Net income (loss) — — — — — ( 396.6 ) ( 396.6 ) 21.7 ( 374.9 )

Change in unrealized investment gains and losses, net of tax — — — — 421.2 — 421.2 — 421.2

Change in equity of noncontrolling interests — — — — — — — 11.6 11.6

Common stock issuance - debt restructure — — — — — — — — —

Common stock issuance - Athene 0.1 499.9 — — — — 500.0 — 500.0

Change in accounting principle, net of tax — — — — — ( 7.4 ) ( 7.4 ) — ( 7.4 )

Balances as of September 30, 2020 $ 0.9 $ 5,926.9 $ ( 4.3 ) $ 0.5 $ 3,850.6 $ ( 398.8 ) $ 9,375.8 $ 471.6 $ 9,847.4

Additional Shares Equity Other Total Non-

Common Paid-In Held Compensation Comprehensive Retained Stockholders' Controlling Total

Stock Capital In Trust Reserve Income Earnings Equity Interests Equity

Additional Treasury Shares Equity Other Total Non-

Common Paid-In Stock Held Compensation Comprehensive Retained Shareholders' Controlling Total

Stock Capital at Cost In Trust Reserve Income Earnings Equity Interests Equity

Balances as of December 31, 2021 $ 1 $ 6,051 $ ( 211 ) $ — $ — $ 1,744 $ 2,809 $ 10,394 $ 680 $ 11,074

2 unchanged sentences

Change in equity of noncontrolling interests — — — — — — — — 4 4

Shares sold in connection with demerger — 0.6 4.3 — — — 4.9 — 4.9

Reserve for equity compensation plans — — — 2.4 — — 2.4 — 2.4

Balances as of September 30, 2021 $ 0.9 $ 5,927.5 $ — $ 10.1 $ 2,045.2 $ 2,274.5 $ 10,258.2 $ 597.9 $ 10,856.1

Additional Shares Equity Other Total Non-

Common Paid-In Held Compensation Comprehensive Retained Stockholder's Controlling Total

Stock Capital In Trust Reserve Income Earnings Equity Interests Equity

Treasury stock acquired in connection with share repurchases — — ( 140 ) — — — — ( 140 ) — ( 140 )

Dividends on common stock — — — — — — ( 52 ) ( 52 ) — ( 52 )

Share based compensation — 30 — — — — — 30 — 30

Balances as of March 31, 2022 $ 1 $ 6,081 $ ( 351 ) $ — $ — $ ( 939 ) $ 4,782 $ 9,574 $ 715 $ 10,289

Additional Treasury Shares Equity Other Total Non-

Common Paid-In Stock Held Compensation Comprehensive Retained Shareholders' Controlling Total

Stock Capital at Cost In Trust Reserve Income Earnings Equity Interests Equity

Balances as of December 31, 2020 $ 1 $ 5,927 $ — $ ( 4 ) $ 8 $ 3,821 $ ( 324 ) $ 9,429 $ 494 $ 9,923

2 unchanged sentences

Change in equity of noncontrolling interests — — — — — — — — 23 23

Common stock issuance - debt restructure 0.4 2,349.6 — — — — 2,350.0 — 2,350.0

Common stock issuance - Athene 0.1 499.9 — — — — 500.0 — 500.0

Change in accounting principle, net of tax — — — — — ( 55.4 ) ( 55.4 ) — ( 55.4 )

Balances as of September 30, 2020 $ 0.9 $ 5,926.9 $ ( 4.3 ) $ 0.5 $ 3,850.6 $ ( 398.8 ) $ 9,375.8 $ 471.6 $ 9,847.4

Reserve for equity compensation plans — — — — 2 — — 2 — 2

Balances as of March 31, 2021 $ 1 $ 5,927 $ — $ ( 4 ) $ 10 $ 1,443 $ 2,608 $ 9,985 $ 585 $ 10,570

See Notes to Condensed Consolidated Financial Statements.

2 unchanged sentences

(Unaudited, in millions)

Nine Months Ended September 30,

Three Months Ended March 31,

Cash flows from operating activities:

8 unchanged sentences

Deferred income tax expense (benefit) 353 638

Cash received (paid to) from reinsurance transaction — ( 31.7 )

Share-based compensation 71 —

Accrued investment income 18 31

Deferred acquisition costs and sales inducements 336 612

Funds withheld, net of reinsurance ( 100 ) ( 373 )

Other assets and liabilities, net ( 348 ) 48

12 unchanged sentences

Net cash provided by (used in) investing activities ( 202 ) ( 1,500 )

See Notes to Condensed Consolidated Financial Statements.

Jackson Financial Inc.

Condensed Consolidated Statements of Cash Flows (continued)

(Unaudited, in millions)

Three Months Ended March 31,

Cash flows from financing activities:

2 unchanged sentences

Withdrawals ( 6,730 ) ( 6,928 )

Net transfers to separate accounts 2,068.3 2,245.2

Proceeds from (payments on) repurchase agreements ( 794.0 ) —

Net transfers from (to) separate accounts 951 792

Proceeds from (payments on) repurchase agreements and securities lending ( 990 ) 942

Net proceeds from (payments on) Federal Home Loan Bank notes 500 90

Net proceeds from (payments on) long-term and short-term debt 2,345.7 ( 64.5 )

Disposition of shares held in trust at cost, net 4.9 —

Common stock issuance - Athene — 500.0

Net proceeds from (payments on) debt ( 8 ) ( 4 )

Dividends on common stock ( 52 ) —

Purchase of treasury stock ( 140 ) —

Net cash provided by (used in) financing activities ( 609 ) ( 290 )

Net increase (decrease) in cash and cash equivalents 463.1 ( 486.6 )

Cash and cash equivalents, beginning of period 2,018.7 1,934.5

Total cash and cash equivalents, end of period $ 2,481.8 $ 1,447.9

Net increase (decrease) in cash, cash equivalents, and restricted cash 49 ( 446 )

Cash, cash equivalents, and restricted cash at beginning of period 2,631 2,019

Total cash, cash equivalents, and restricted cash at end of period $ 2,680 $ 1,573

Supplemental cash flow information

Income taxes paid (received) $ 36.1 $ ( 1.3 )

Interest paid $ 9 $ 5

2 unchanged sentences

Other invested assets acquired from stock splits and stock distributions $ 32 $ 99

Non-cash financing activities

Non-cash debt restructuring transactions (1)

$ — $ ( 2,350.0 )

Shares issued in settlement of the debt restructuring (1)

$ — $ 2,350.0

(1) See Note 18 for further description of the debt restructuring transactions.

Reconciliation to Condensed Consolidated Balance Sheets

Cash and cash equivalents $ 2,674 $ 1,573

Restricted cash (included in Other assets) 6 —

Total cash, cash equivalents, and restricted cash $ 2,680 $ 1,573

See Notes to Condensed Consolidated Financial Statements.

3 unchanged sentences

Jackson Financial Inc.

(“Jackson Financial”) along with its subsidiaries (collectively, the “Company,” which also may be referred to as “we,” “our” or “us”), is a financial services company focused on helping Americans grow and protect their retirement savings and income to enable them to pursue financial freedom for life in the United States (“U.S.”).

Jackson Financial, domiciled in the U.S., was a majority-owned subsidiary of Prudential plc (“Prudential”), London, England and was the holding company for Prudential’s U.S.

Jackson Financial, domiciled in the United States (“U.S.”), was a majority-owned subsidiary of Prudential plc (“Prudential”), London, England and was the holding company for Prudential’s U.S.

As described below under "Other," the Company's demerger from Prudential was completed on September 13, 2021 ("Demerger"), and the Company is no longer a majority-owned subsidiary of Prudential.

Jackson Financial’s primary life insurance subsidiary, Jackson National Life Insurance Company and its insurance subsidiaries (“Jackson”), is licensed to sell group and individual annuity products (including immediate, index-linked, deferred fixed, and variable annuities), and individual life insurance products, including variable universal life, in all 50 states and the District of Columbia.

Jackson Financial’s primary life insurance subsidiary, Jackson National Life Insurance Company and its insurance subsidiaries (“Jackson”), is licensed to sell group and individual annuity products (including immediate, registered index-linked, deferred fixed, fixed index and variable annuities), and individual life insurance products, including variable universal life, in all 50 states and the District of Columbia.

Jackson also participates in the institutional products market through the issuance of guaranteed investment contracts (“GICs”), funding agreements and medium-term note funding agreements.

In addition to Jackson, Jackson Financial’s primary operating subsidiaries are as follows:

• PPM Holdings, Inc.

• PPM America, Inc.

(“PPM”), is the Company’s investment management operation that manages the life insurance companies’ general account investment funds.

3 unchanged sentences

• 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;

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 Life Distributors, LLC ("JNLD");

Jackson National Asset Management, LLC ("JNAM");

5 unchanged sentences

We refer to that effective Form 10 registration as the "Form 10." The Demerger transaction described in the Form 10 was consummated on September 13, 2021.

Post-demerger, Prudential retained a 19.9 percent remaining interest in the Company.

As of March 31, 2022, Prudential retained a 19.2 % remaining interest in the Company, after the Company repurchased a total of 2,242,516 shares of the Company’s Class A Common Stock subsequent to the Demerger, as further discussed in Note 17.

On September 9, 2021, the Company effected a 104,960.3836276 -for-1 stock split of its Class A Common Stock and Class B Common Stock by way of a reclassification of its Class A Common Stock and Class B Common Stock (the “stock split”).

3 unchanged sentences

(“Athene”) effective June 1, 2020 to reinsure on 100 % quota share basis, a block of Jackson’s in-force fixed and fixed-index annuity product liabilities in exchange for a $ 1.2 billion ceding commission.

In addition, we entered into an investment agreement with Athene Life Re Ltd., pursuant to which Athene invested $ 500.0 million of capital into the Company in return for a 9.9 % voting interest corresponding to a 11.1 % economic interest in the Company.

In addition, we entered into an investment agreement with Athene Life Re Ltd., pursuant to which Athene invested $ 500 million of capital in return for a 9.9 % voting interest corresponding to a 11.1 % economic interest in the Company.

That investment was completed on July 17, 2020.

In August 2020, the Company made a $ 500 million capital contribution to its subsidiary, Jackson.

As of March 31, 2022, Athene retained a 8.9 % voting interest and 8.9 % economic interest, after the Company repurchased a total of 1,884,767 shares of Class A Common Stock and a total of 1,364,484 shares of its Class B Common Stock automatically converted to Class A Common Stock on a one-for-one basis as further discussed in Note 17.

We continue to closely monitor developments related to the COVID-19 pandemic.

4 unchanged sentences

The Company has had employees, as needed or voluntarily, in our offices during this time, as permitted by local and state restrictions.

During the third quarter of 2021, the Company rolled out a broader return to office plan for all employees in waves over the remainder of 2021.

During 2021, the Company rolled out a broader “return to office plan” for all employees, with many associates in 2022 now working on an “office-centric” hybrid schedule between in-office and remote working arrangements.

Basis of Presentation

The accompanying unaudited condensed consolidated financial statements are prepared in accordance with U.S.

The accompanying unaudited Condensed Consolidated Financial Statements have been prepared in accordance with U.S.

generally accepted accounting principles (“GAAP”) for interim financial information.

Accordingly, certain financial information that is normally included in annual financial statements prepared in accordance with GAAP, but is not required for interim reporting purposes, has been condensed or omitted.

The information contained in the Notes to Consolidated Financial Statements for the year ended December 31, 2020 in the Company’s Form 10, should be read in connection with the reading of these interim unaudited condensed consolidated financial statements.

Certain accounting policies, which significantly affect the determination of financial condition, results of operations and cash flows, are summarized in the Company’s Notes to Consolidated Financial Statements for the year ended December 31, 2020 in the Company’s Form 10.

Accordingly, certain financial information that is normally included in annual financial statements prepared in accordance with GAAP, but not required for interim reporting purposes, has been condensed or omitted.

These Condensed Consolidated Financial Statements should be read in conjunction with the audited Consolidated Financial Statements and the related notes included in our Annual Report on Form 10-K for the year ended December 31, 2021, as filed with the SEC on March 7, 2022, (the "2021 Annual Report").

The condensed consolidated financial information as of December 31, 2021 included herein has been derived from the audited Consolidated Financial Statements in the 2021 Annual Report.

In the opinion of management, these financial statements include all normal recurring adjustments necessary for a fair presentation of the Company’s results.

Operating results for the three and nine months ended September 30, 2021, are not necessarily indicative of the results that may be expected for the full year ending December 31, 2021.

All material inter-company accounts and transactions have been eliminated in consolidation.

Operating results for the three months ended March 31, 2022, are not necessarily indicative of the results that may be expected for the full year ending December 31, 2022.

All material intercompany accounts and transactions have been eliminated in consolidation.

Certain amounts in the 2021 Condensed Consolidated Financial Statements and Notes have been reclassified to conform to the 2022 presentation.

Use of Estimates

3 unchanged sentences

• 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;

• 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;

• Assumptions used in calculating policy reserves and liabilities, including policyholder behavior, mortality rates, expenses, investment returns and policy crediting rates;

2 unchanged sentences

• 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;

• Value of guaranteed benefits;

• Value of business acquired, its recoverability and amortization.

• Assumptions used in calculating the value of guaranteed benefits.

These estimates and assumptions are based on management’s best estimates and judgments.

11 unchanged sentences

The Company will continue to evaluate the impacts of reference rate reform on contract modifications and other transactions through December 31, 2022.

In October 2020, the FASB issued ASU No.

2020-08, “Codification Improvements to Subtopic 310-20, Receivables—Nonrefundable Fees and Other Costs,” which clarifies an entity’s accounting responsibilities related to callable debt securities.

Effective January 1, 2021, the Company adopted ASU 2020-08, which did not have a material impact on the Company’s consolidated financial statements.

In December 2019, FASB issued ASU No.

2019-12, “Income Taxes (Topic 740):

Simplifying the Accounting for Income Taxes,” which includes changes to the accounting for income taxes by eliminating certain exceptions to the approach for intra-period allocation, the methodology for calculating income taxes in an interim period, and the recognition of deferred tax liabilities for outside basis differences.

The amendments also simplified other areas including the accounting for franchise taxes and enacted tax laws or rates and clarified the accounting for transactions that result in the step-up in the tax basis of goodwill.

Effective January 1, 2021, the Company adopted ASU 2019-12, which did not have a material impact on the Company’s consolidated financial statements.

Changes in Accounting Principles – Issued but Not Yet Adopted

In August 2018, the FASB issued ASU 2018-12, “Targeted Improvements to the Accounting for Long-Duration Contracts,” which includes changes to the existing recognition, measurement, presentation and disclosure requirements for long-duration contracts issued by an insurance entity.

2018-12 is effective for fiscal years beginning after December 15, 2022.

The amendments in ASU 2018-12 contain four significant changes:

1) for the calculation of the liability for future policy benefits of nonparticipating traditional and limited-payment insurance and reinsurance contracts, cash flow assumptions and discount rates will be required to be updated at least annually;

2) market risk benefits, a new term for certain contracts or features that provide for potential benefits in addition to the account balance which exposes the insurer to other than nominal market risk, will be measured at fair value;

3) deferred acquisition costs (“DAC”) will be amortized on a constant-level basis, independent of profitability;

and 4) enhanced disclosures, including quantitative information in rollforwards for balance sheet accounts, as well as information about significant inputs, judgments, assumptions and methods used in measurement will be required.

2018-12 is effective for fiscal years beginning after December 15, 2022, with required retrospective application to January 1, 2021, and early adoption is permitted.

The Company has begun its implementation efforts and is currently assessing the impact of the new guidance and does not plan to early adopt.

Market risk benefits:

market risk benefits, a new term for certain contracts or features that provide for potential benefits in addition to the account balance which expose us to other than nominal market risk (for example, certain guaranteed benefits on annuity contracts, including guaranteed minimum withdrawal benefits and guaranteed minimum death benefits on variable annuities), will be measured at fair value.

Changes in fair value will be recorded and presented separately within the income statement, with the exception of changes in fair value due to instrument-specific credit risk, which will be recognized in other comprehensive income (loss) (“OCI”)”).

See Note 10 for more information regarding guaranteed benefits;

Deferred acquisition costs:

deferred acquisition costs (“DAC”) will be amortized on a constant-level basis, independent of profitability on the underlying business;

Liability for future policy benefits:

annual review and, if necessary, update of cash flow assumptions used to measure the liability for future policy benefits for nonparticipating traditional and limited-payment insurance contracts will be required.

These liabilities will be discounted using an upper-medium grade fixed income instrument yield which will be updated quarterly, with related changes in the liability recognized in OCI;

Enhanced disclosures:

enhanced disclosures, including disaggregated roll-forwards of certain balance sheet accounts that provide information about expected cash flows, estimates, and assumptions, as well as information about significant inputs, judgments, assumptions and methods used in measurement, will be required.

The enhanced disclosures are intended to improve the ability of users of the financial statements to evaluate the timing, amount, and uncertainty of cash flows arising from long-duration contracts.

The Company will adopt the standard effective January 1, 2023, with a transition date of January 1, 2021, using a modified retrospective approach, except for market risk benefits for which we will apply a full retrospective transition approach.

Under the modified retrospective approach, the Company will apply the guidance to contracts in force on the transition date on the basis of their existing carrying value, using updated future cash flow assumptions, and eliminate certain related amounts in accumulated other comprehensive income (loss) (“AOCI”).

Under the full retrospective transition approach, the Company will apply the guidance as of the earliest period presented, using actual historical experience information as of contract inception, as if the principle had always been applied.

Given the nature and extent of the required changes, the adoption of this standard is expected to have a significant impact on the Company’s consolidated financial statements and disclosures.

In addition to

the initial balance sheet impact upon adoption, the Company also expects a change in the pattern of future profit emergence.

The impacts to the financial statements at adoption are highly sensitive to equity markets and interest rates, which can be volatile and unpredictable.

The most significant drivers of the transition adjustment are expected to be:

• changes to the measurement of certain benefits currently accounted for as insurance benefits (e.g., guaranteed minimum death benefits on variable annuities) which will be classified as market risk benefits upon adoption and remeasured at fair value, the impact of which is highly dependent on market conditions, including interest rates;

• changes to the discount rate used to measure liabilities for future policyholder benefits which will be remeasured using current upper-medium grade fixed-income instrument yields, which are generally considered to be those on single-A rated public corporate debt;

• the removal of certain balances recorded in AOCI related to changes in unrealized appreciation (depreciation) on investments.

In accordance with its established governance framework, the Company continues to progress with implementation efforts including determining significant accounting policy decisions, modifying actuarial valuation models, revising reporting processes, and updating internal controls over financial reporting.

In March 2022, the FASB issued ASU 2022-01, “Derivatives and Hedging (Topic 815):

Fair Value Hedging – Portfolio Layer Method.” The new guidance allows multiple hedged layers to be designated for a single closed portfolio of financial assets or one or more beneficial interests secured by a portfolio of financial instruments.

If multiple hedged layers are designated, an entity is required to perform an analysis to support its expectation that the aggregate amount of the hedged layers is anticipated to be outstanding for the designated hedge periods.

The amendments in this update are effective for fiscal years beginning after December 15, 2022, and interim periods within those fiscal years.

An entity may designate multiple hedged layers of a single closed portfolio solely on a prospective basis.

All entities are required to apply the amendments related to hedge basis adjustments under the portfolio layer method, except for those related to disclosures, on a modified retrospective basis by means of a cumulative-effect adjustment to the opening balance of retained earnings on the initial application date.

Early adoption is permitted.

The Company is evaluating the impact of the new guidance and does not plan to early adopt.

In March 2022, the FASB issued ASU 2022-02, “Financial Instruments – Credit Losses (Topic 326):

Troubled Debt Restructurings and Vintage Disclosures.” The new guidance eliminates the accounting guidance for troubled debt restructurings by creditors, and instead requires an entity to evaluate whether a modification represents a new loan or a continuation of an existing loan.

The amendments also enhance disclosure requirements for certain loan refinancings and restructurings by creditors when a borrower is experiencing financial difficulty.

New guidance for vintage disclosures requires that current-period gross write-offs be disclosed by year of origination for financing receivables and net investments in leases that fall within scope of the current expected credit loss model.

The amendments in this update are effective for fiscal years beginning after December 15, 2022, including interim periods within those fiscal years.

Updates should be applied prospectively.

However, an entity has the option to apply the modified retrospective method related to the recognition and measurements of troubled debt restructurings.

Early adoption is permitted.

The Company is evaluating the impact of the new guidance and does not plan to early adopt.

Segment Information

The Company has three reportable segments consisting of Retail Annuities, Institutional Products, Closed Life and Annuity Block, plus its Corporate and Other segment.

These segments reflect the manner by which the Company’s chief operating decision maker views and manages the business.

The following is a brief description of the Company’s reportable segments.

Retail Annuities

The Company’s Retail Annuities segment offers a variety of retirement income and savings products through its diverse suite of products, consisting primarily of variable annuities, fixed index annuities, fixed annuities, immediate payout annuities, and registered index-linked annuities ("RILA").

These products are distributed through various wirehouses, insurance brokers and independent broker-dealers, as well as through banks and financial institutions, primarily to high net worth investors and the mass and affluent markets.

The Company’s variable annuities represent an attractive option for retirees and soon-to-be retirees, providing access to equity market appreciation and add-on benefits, including guaranteed lifetime income.

A fixed index annuity is designed for investors who desire principal protection with the opportunity to participate in capped upside investment returns linked to a reference market index.

The Company also provides access to guaranteed lifetime income as an add-on benefit.

A fixed annuity is a guaranteed product designed to build wealth without market exposure, through a crediting rate that is likely to be superior to interest rates offered from banks or money market funds.

A RILA product offers customers exposure to market returns through market index-linked investment options, subject to a cap, and offers a variety of guarantees designed to modify or limit losses.

The financial results of the variable annuity business within the Company’s Retail Annuities segment are largely dependent on the performance of the contract holder account value, which impacts both the level of fees collected and the benefits paid to the contract holder.

The financial results of the Company’s fixed annuities, including the fixed portion of its variable annuity, RILA and fixed index annuities, are largely dependent on the Company’s ability to earn a spread between earned investment rates on general account assets and the interest credited to contract holders.

Institutional Products

The Company’s Institutional Products consist of traditional Guaranteed Investment Contracts (GICs), funding agreements (including agreements issued in conjunction with the Company’s participation in the U.S.

Federal Home Loan Bank ("FHLB") program) and medium-term note funding agreements.

The Company’s GIC products are marketed to defined contribution pension and profit-sharing retirement plans.

Funding agreements are marketed to institutional investors, including corporate cash accounts and securities lending funds, as well as money market funds, and are issued to the FHLB in connection with its program.

The financial results of the Company’s institutional products business are primarily dependent on the Company’s ability to earn spreads on general account assets.

Closed Life and Annuity Blocks

The Company's Closed Life and Annuity Blocks segment is primarily composed of blocks of business that have been acquired since 2004.

The segment includes various protection products, primarily whole life, universal life, variable universal life, and term life insurance products, as well as fixed, fixed index, and payout annuities.

The Closed Life and Annuity Blocks segment also includes a block of group payout annuities that we assumed from John Hancock Life Insurance Company (USA) (“John Hancock”) and John Hancock Life Insurance Company of New York (“John Hancock NY”) through reinsurance transactions in 2018 and 2019, respectively.

The Company historically offered traditional and interest-sensitive life insurance products but discontinued new sales of life insurance products in 2012, as we believe opportunistically acquiring mature blocks of life insurance policies is a more efficient means of diversifying our in-force business than selling new life insurance products.

The profitability of the Company’s Closed Life and Annuity Blocks segment is largely driven by its historical ability to appropriately price its products and purchase appropriately priced blocks of business, as realized through underwriting, expense and net gains (losses) on derivatives and investments, and the ability to earn an assumed rate of return on the assets supporting that business.

Corporate and Other

The Company’s Corporate and Other segment primarily consists of the operations of its investment management subsidiary, PPM, VIE’s, and unallocated corporate income and expenses.

The Corporate and Other segment also includes certain eliminations and consolidation adjustments.

Segment Performance Measurement

Segment operating revenues and pretax adjusted operating earnings are non-GAAP financial measures that management believes are critical to the evaluation of the financial performance of the Company’s segments.

The Company uses the same accounting policies and procedures to measure segment pretax adjusted operating earnings as used in its reporting of consolidated net income.

Its primary measure is pretax adjusted operating earnings, which is defined as net income recorded in accordance with GAAP, excluding certain items that may be highly variable from period to period due to accounting treatment under GAAP, or that are non-recurring in nature, as well as certain other revenues and expenses which are not considered to drive underlying performance.

Operating revenues and pretax adjusted operating earnings should not be used as a substitute for revenues and net income as calculated in accordance with GAAP.

Pretax adjusted operating earnings equals net income adjusted to eliminate the impact of the following items:

Guaranteed Benefits and Hedging Results:

the fees attributed to guaranteed benefits, the associated movements in optional guaranteed benefit liabilities and related claims and benefit payments are excluded from Adjusted Operating Earnings, as we believe this approach appropriately removes the impact to both revenue and related expenses associated with the guaranteed benefit features that are offered for certain of our variable annuities and fixed index annuities and gives investors a better picture of what is driving our underlying performance.

This adjustment includes the following components:

• Fees Attributable to Guarantee Benefits :

fees earned 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 adjusted 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 as 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 performance 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 as 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 performance 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;

• DAC and Deferred Sales Inducements ("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 on an annual basis;

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;

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 CLOs, but for which the consolidation effects are not aligned with our economic interest or exposure to those entities.

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.

Set forth in the tables below is certain information with respect to the Company’s segments, as described above (in millions):

Three Months Ended March 31, 2022 Retail Annuities Closed Life

Blocks Institutional

Products Corporate and

Operating Revenues

Fee income $ 1,016 $ 121 $ — $ 18 $ 1,155

Premiums — 37 — — 37

Net investment income 118 196 64 53 431

Income on operating derivatives 11 15 ( 1 ) 10 35

Other income 11 8 — 1 20

Total Operating Revenues 1,156 377 63 82 1,678

Operating Benefits and Expenses

Death, other policy benefits and change in policy

reserves, net of deferrals 16 242 — — 258

Interest credited on other contract holder funds, net

of deferrals 68 99 39 — 206

Interest expense 5 — — 15 20

Operating costs and other expenses, net of deferrals 504 40 1 61 606

Deferred acquisition and sales inducements

amortization 157 4 — 9 170

Total Operating Benefits and Expenses 750 385 40 85 1,260

Pretax Adjusted Operating Earnings $ 406 $ ( 8 ) $ 23 $ ( 3 ) $ 418

Three Months Ended March 31, 2021 Retail Annuities Closed Life

Blocks Institutional

Products Corporate and

Operating Revenues

Fee income $ 995 $ 125 $ — $ 21 $ 1,141

Premiums — 38 — — 38

Net investment income 205 257 64 12 538

Income on operating derivatives 14 20 — 4 38

Other income 12 9 — 2 23

Total Operating Revenues 1,226 449 64 39 1,778

Operating Benefits and Expenses

Death, other policy benefits and change in policy

reserves, net of deferrals 6 221 — — 227

Interest credited on other contract holder funds, net

of deferrals 67 103 52 — 222

Interest expense 5 — 1 — 6

Operating costs and other expenses, net of deferrals 476 41 1 56 574

Deferred acquisition and sales inducements

amortization 104 5 — 7 116

Total Operating Benefits and Expenses 658 370 54 63 1,145

Pretax Adjusted Operating Earnings $ 568 $ 79 $ 10 $ ( 24 ) $ 633

Intersegment eliminations in the above tables are included in the Corporate and Other segment.

These include the elimination of investment income between Retail Annuities and the Corporate and Other segments, as well as the elimination from fee income and investment income of investment fees paid by Jackson to its affiliate PPM, which was $ 14 million and $ 15 million for the three months ended March 31, 2022 and 2021 , respectively .

The following table summarizes the reconciling items from the non-GAAP measure of operating revenues to the GAAP measure of total revenues attributable to the Company (in millions):

Three Months Ended March 31,

Total operating revenues $ 1,678 $ 1,778

Fees attributed to variable annuity benefit reserves 764 672

Net gains (losses) on derivatives and investments 1,570 2,667

Net investment income (loss) related to noncontrolling interests 31 68

Consolidated investments ( 2 ) 31

Net investment income on funds withheld assets 260 291

Total revenues (1)

$ 4,301 $ 5,507

(1) Substantially all of the Company's revenues originated in the United States.

There were no individual customers that exceeded 10% of total revenues.

The following table summarizes the reconciling items from the non-GAAP measure of operating benefits and expenses to the GAAP measure of total benefits and expenses attributable to the Company (in millions):

Three Months Ended March 31,

Total operating benefits and expenses $ 1,260 $ 1,145

Benefits attributed to variable annuity benefit reserves 39 38

Amortization of DAC and DSI related to non-operating revenues and expenses 345 696

SOP 03-1 reserve movements 269 18

Other items 2 24

Total benefits and expenses $ 1,915 $ 1,921

The following table summarizes the reconciling items, net of deferred acquisition costs and deferred sales inducements, from the non-GAAP measure of pretax adjusted operating earnings to the GAAP measure of net income attributable to the Company (in millions):

Three Months Ended March 31,

Pretax adjusted operating earnings $ 418 $ 633

Non-operating adjustments (income) loss:

Guaranteed benefits and hedging results:

Fees attributable to guarantee benefit reserves 764 672

Net movement in freestanding derivatives ( 1,476 ) ( 3,031 )

Net reserve and embedded derivative movements 1,839 4,592

DAC and DSI impact ( 345 ) ( 696 )

Assumption changes — —

Total guaranteed benefits and hedging results 782 1,537

Net realized investment gains (losses) including change in fair value of funds withheld embedded derivative 898 1,050

Net investment income on funds withheld assets 260 291

Other items ( 3 ) 7

Pretax income (loss) attributable to Jackson Financial Inc.

Income tax expense (benefit) 330 586

Net income (loss) attributable to Jackson Financial, Inc.

$ 2,025 $ 2,932

Investments are comprised primarily of fixed-income securities and loans, primarily publicly-traded corporate and government bonds, asset-backed securities and mortgage loans.

3 unchanged sentences

Debt Securities

The following table sets forth the composition of the fair value of debt securities at September 30, 2021, classified by rating categories as assigned by nationally recognized statistical rating organizations (“NRSRO”), the National Association of Insurance Commissioners (“NAIC”), or if not rated by such organizations, the Company’s consolidated investment advisor, PPM.

The following table sets forth the composition of the fair value of debt securities at March 31, 2022 and December 31, 2021, classified by rating categories as assigned by nationally recognized statistical rating organizations (“NRSRO”), the National Association of Insurance Commissioners (“NAIC”), or if not rated by such organizations, the Company’s investment advisors.

The Company uses the second lowest rating by an NRSRO when NRSRO ratings are not equivalent and, for purposes of the table, if not otherwise rated by a NRSRO, the NAIC rating of a security is converted to an equivalent NRSRO-style rating.

At September 30, 2021, the carrying value of investments rated by the Company’s consolidated investment advisor totaled $ 141.9 million.

Percent of Total

Debt Securities

Carrying Value

At March 31, 2022 and December 31, 2021, the carrying value of investments rated by the Company’s consolidated investment advisor totaled $ 111 million and $ 13 million, respectively.

Percent of Total Debt

Securities Carrying Value

March 31, 2022 December 31, 2021

Investment Rating

September 30, 2021

12.2 % 14.5 %

29.4 % 28.5 %

41.4 % 40.9 %

Investment grade

92.9 % 93.5 %

Below investment grade

Total debt securities

At September 30, 2021, based on ratings by NRSROs, of the total carrying value of debt securities in an unrealized loss position, 74 % were investment grade, 11 % were below investment grade and 15 % were not rated.

100.0 % 100.0 %

At March 31, 2022, based on ratings by NRSROs, of the total carrying value of debt securities in an unrealized loss position, 74 % were investment grade, 4 % were below investment grade and 22 % were not rated.

Unrealized losses on debt securities that were below investment grade or not rated were approximately 19 % of the aggregate gross unrealized losses on available-for-sale debt securities.

At December 31, 2021, based on ratings by NRSROs, of the total carrying value of debt securities in an unrealized loss position, 76 % were investment grade, 2 % were below investment grade and 22 % were not rated.

Unrealized losses on debt securities that were below investment grade or not rated were approximately 16 % of the aggregate gross unrealized losses on available for sale debt securities.

Corporate securities in an unrealized loss position were diversified across industries.

As of September 30, 2021, the industries accounting for the largest percentage of unrealized losses included financial services ( 15 % of corporate gross unrealized losses) and consumer goods ( 15 %).

The largest unrealized loss related to a single corporate obligor was $ 20.3 million at September 30, 2021.

At September 30, 2021 and December 31, 2020, the amortized cost, gross unrealized gains and losses, fair value, and allowance for credit loss (“ACL”) of debt securities, including trading securities and securities carried at fair value under the fair value option, were as follows (in millions):

As of March 31, 2022, the industries accounting for the largest percentage of unrealized losses included healthcare ( 12 % of corporate gross unrealized losses) and financial services ( 11 %).

The largest unrealized loss related to a single corporate obligor was $ 40 million at March 31, 2022.

As of December 31, 2021, the industries accounting for the largest percentage of unrealized losses included financial services ( 16 % of corporate gross unrealized losses) and consumer goods ( 15 %).

The largest unrealized loss related to a single corporate obligor was $ 16 million at December 31, 2021.

At March 31, 2022 and December 31, 2021, the amortized cost, gross unrealized gains and losses, fair value, and ACL of debt securities, including trading securities and securities carried at fair value under the fair value option, were as follows (in millions):

Allowance Gross Gross

Amortized for Unrealized Unrealized Fair

September 30, 2021 Cost (1)

March 31, 2022 Cost (1)

Credit Loss Gains Losses Value

20 unchanged sentences

(1) Amortized cost, apart from the carrying value for securities carried at fair value under the fair value option and trading securities.

The amortized cost, allowance for credit losses, gross unrealized gains and losses, and fair value of debt securities at September 30, 2021, by contractual maturity, are shown below (in millions).

The amortized cost, allowance for credit losses, gross unrealized gains and losses, and fair value of debt securities at March 31, 2022, by contractual maturity, are shown below (in millions).

Actual maturities may differ from contractual maturities where securities can be called or prepaid with or without early redemption penalties.

Allowance Gross Gross

Amortized (1)

for Unrealized Unrealized Fair

Cost Credit Loss Gains Losses

Amortized for Unrealized Unrealized Fair

Credit Loss Gains Losses Value

Due in 1 year or less $ 946 $ — $ 7 $ 1 $ 952

8 unchanged sentences

(1) Amortized cost, apart from the carrying value for securities carried at fair value under the fair value option and trading securities.

Securities with a carrying value of $ 115.2 million and $ 123.4 million at September 30, 2021 and December 31, 2020, respectively, were on deposit with regulatory authorities, as required by law in various states in which business is conducted.

Securities with a carrying value of $ 106 million and $ 117 million at March 31, 2022 and December 31, 2021, respectively, were on deposit with regulatory authorities, as required by law in various states in which business is conducted.

Residential mortgage-backed securities (“RMBS”) include certain RMBS that are collateralized by residential mortgage loans and are neither explicitly nor implicitly guaranteed by U.S.

3 unchanged sentences

Amortized for Unrealized Unrealized Fair

September 30, 2021 Cost (1)

March 31, 2022 Cost (1)

Credit Loss Gains Losses Value

17 unchanged sentences

The following table summarizes the number of securities, fair value and the gross unrealized losses of debt securities, aggregated by investment category and length of time that individual debt securities have been in a continuous loss position (dollars in millions):

September 30, 2021 December 31, 2020

March 31, 2022 December 31, 2021

Less than 12 months Less than 12 months

35 unchanged sentences

(1) Certain corporate securities contain multiple lots and fit the criteria of both aging groups.

Debt securities in an unrealized loss position as of September 30, 2021 did not require an impairment recognized in earnings as the Company did not intend to sell these debt securities, it is not more likely than not that the Company will be required to sell these securities before recovery of their amortized cost basis and the difference in the fair value compared to the amortized cost was due to factors other than credit loss.

Debt securities in an unrealized loss position as of March 31, 2022 did not require an impairment recognized in earnings as the Company did not intend to sell these debt securities, it is not more likely than not that the Company will be required to sell these securities before recovery of their amortized cost basis, and the difference in the fair value compared to the amortized cost was due to factors other than credit loss.

Based upon this evaluation, the Company believes it has the ability to generate adequate amounts of cash from normal operations to meet cash requirements with a reasonable margin of safety without requiring the sale of impaired securities.

As of September 30, 2021, unrealized losses associated with debt securities are primarily due to widening credit spreads or rising risk-free rates since purchase.

As of March 31, 2022, unrealized losses associated with debt securities are primarily due to widening credit spreads or rising risk-free rates since purchase.

The Company performed a detailed analysis of the financial performance of the underlying issues in an unrealized loss position and determined that recovery of the entire amortized cost of each impaired security is expected.

34 unchanged sentences

Accrued interest receivables that are determined to be uncollectible are written off with a corresponding reduction to net investment income.

No accrued interest was written off during the three and nine months ended September 30, 2021 and 2020.

Accrued interest of nil was written off both during the three months ended March 31, 2022 and 2021.

The rollforward of the allowance for credit loss for available-for-sale securities by sector is as follows (in millions):

Three Months Ended September 30, 2021 US

securities Other government securities Public

utilities Corporate securities Residential mortgage-backed Commercial mortgage-backed Other

asset-backed securities Total

Balance at July 1, 2021 $ — $ — $ — $ — $ 0.8 $ — $ 6.0 $ 6.8

Additions for which credit loss was not previously recorded — — — — 0.7 — — 0.7

Changes for securities with previously recorded credit loss — — — — 0.6 — 17.1 17.7

Additions for purchases of PCD debt securities (1)

— — — — — — — —

Reductions from charge-offs — — — — — — — —

Reductions for securities disposed — — — — ( 0.1 ) — ( 15.7 ) ( 15.8 )

Securities intended/required to be sold before recovery of amortized cost basis — — — — — — — —

Balance at September 30, 2021 (2)

$ — $ — $ — $ — $ 2.0 $ — $ 7.4 $ 9.4

Three Months Ended September 30, 2020 US

securities Other government securities Public

utilities Corporate securities Residential mortgage-backed Commercial mortgage-backed Other

asset-backed securities Total

Balance at July 1, 2020 $ — $ — $ — $ — $ 0.3 $ — $ 17.2 $ 17.5

Additions for which credit loss was not previously recorded — — — — — — — —

Changes for securities with previously recorded credit loss — — — — ( 0.3 ) — 0.2 ( 0.1 )

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 September 30, 2020 (2)

$ — $ — $ — $ — $ — $ — $ 17.4 $ 17.4

Nine Months Ended September 30, 2021 US

March 31, 2022 US

securities Other government securities Public

9 unchanged sentences

Securities intended/required to be sold before recovery of amortized cost basis — — — ( 5 ) — — — ( 5 )

Balance at September 30, 2021 (2)

Balance at March 31, 2022 (2)

$ — $ 6 $ — $ 22 $ 2 $ — $ 2 $ 32

Nine Months Ended September 30, 2020 US

March 31, 2021 US

securities Other government securities Public

9 unchanged sentences

Securities intended/required to be sold before recovery of amortized cost basis — — — — — — — —

Balance at September 30, 2020 (2)

Balance at March 31, 2021 (2)

$ — $ — $ — $ — $ 1 $ — $ 4 $ 5

(1) Represents purchased credit-deteriorated ("PCD") fixed maturity AFS securities.

(2) Accrued interest receivable on debt securities totaled $ 396.6 million and $ 492.3 million as of September 30, 2021 and 2020, respectively, and was excluded from the estimate of credit losses for the three and nine months ended September 30, 2021 and 2020.

(1) Represents purchased credit-deteriorated ("PCD") fixed maturity available-for-sale securities.

(2) Accrued interest receivable on debt securities totaled $ 385 million and $ 426 million as of March 31, 2022 and 2021, respectively, and was excluded from the determination of credit losses for the three months ended March 31, 2022 and 2021.

Net Investment Income

The sources of net investment income were as follows (in millions):

Three Months Ended September 30, Nine Months Ended September 30,

2021 2020 2021 2020

Three Months Ended March 31,

Debt securities (1)

10 unchanged sentences

Expenses related to consolidated entities (2)

( 7.5 ) ( 9.1 ) ( 24.1 ) ( 29.4 )

Other investment expenses (3)

( 0.8 ) ( 22.6 ) ( 45.3 ) ( 24.6 )

Total investment expenses ( 13 ) ( 34 )

Net investment income $ 720 $ 928

(1) Includes unrealized gains and losses on trading securities and includes $( 10 ) million and $ 38 million as of March 31, 2022 and 2021, respectively, related to the change in fair value for securities carried under the fair value option.

(2) Includes management fees, administrative fees, legal fees, and other expenses related to the consolidation of certain investments.

3 unchanged sentences

and other expenses.

Unrealized gains (losses) included in investment income that were recognized on equity securities held were $ 5.9 million and $ 21.3 million for the three and nine months ended September 30, 2021, respectively.

Investment income (expense) of $( 2.2 ) million and $ 34.7 million was recognized on securities carried at fair value recorded through income for the three and nine months ended September 30, 2021, respectively.

Unrealized gains (losses) included in investment income that were recognized on equity securities held were $ 2.3 million and $( 41.3 ) million for the three and nine months ended September 30, 2020, respectively.

Investment income (expense) of $ 94.7 million and $ 3.5 million was recognized on securities carried at fair value recorded through income for the three and nine months ended September 30, 2020, respectively.

Unrealized gains (losses) included in investment income that were recognized on equity securities held were $( 18 ) million and $ 5 million, for the three months ended March 31, 2022 and 2021, respectively.

Net Gains (Losses) on Derivatives and Investments

The following table summarizes net gains (losses) on derivatives and investments (in millions):

Three Months Ended September 30, Nine Months Ended September 30,

2021 2020 2021 2020

Three Months Ended March 31,

Available-for-sale securities

2 unchanged sentences

Credit loss income (expense) — 9

Gross impairments ( 0.1 ) ( 0.2 ) ( 0.1 ) ( 26.6 )

Credit loss income (expense) on mortgage loans 12 59

13.4 ( 41.1 ) 62.2 ( 38.8 )

Net gains (losses) excluding derivatives and funds withheld assets ( 130 ) 153

5 unchanged sentences

These gains (losses) are increased or decreased by changes in the embedded derivative liability related to the Athene Reinsurance Agreement and also include (i) changes in the related funds withheld payable, as all economic performance of the investments held in the segregated accounts inure to the benefit of the reinsurers under the respective reinsurance agreements with each reinsurer, and (ii) amortization of the difference between book value and fair value of the investments as of the effective date of the reinsurance agreements with each reinsurer.

The aggregate fair value of securities sold at a loss for the three and nine months ended September 30, 2021 was $ 160.7 million and $ 1,345.1 million, which was approximately 98 % and 95 % of book value, respectively.

The aggregate fair value of securities sold at a loss for the three and nine months ended September 30, 2020 was $ 107.0 million and $ 7,245.7 million, which was approximately 93 % and 97 % of book value, respectively.

Proceeds from sales of available-for-sale debt securities were $ 1.0 billion and $ 1.9 billion during the three months ended September 30, 2021 and 2020, respectively.

Proceeds from sales of available-for-sale debt securities were $ 6.6 billion and $ 17.4 billion during the nine months ended September 30, 2021 and 2020, respectively.

There are inherent uncertainties in assessing the fair values assigned to the Company’s investments and in determining whether a decline in fair value is other-than-temporary.

The aggregate fair value of securities sold at a loss for the three months ended March 31, 2022, and 2021 was $ 2,392 million and $ 297 million, which was approximately 92 % and 98 % of book value, respectively.

Proceeds from sales of available-for-sale debt securities were $ 4,013 million and $ 2,827 million during the three months ended March 31, 2022, and 2021, respectively.

There are inherent uncertainties in assessing the fair values assigned to the Company’s investments.

The Company’s reviews of net present value and fair value involve several criteria including economic conditions, credit loss experience, other issuer-specific developments and estimated future cash flows.

1 unchanged sentence

Factors such as market liquidity, the widening of bid/ask spreads and a change in the cash flow assumptions can contribute to future price volatility.

If actual experience differs negatively from the assumptions and other considerations used in the consolidated financial statements, unrealized losses currently reported in accumulated other comprehensive income may be recognized in the consolidated income statements in future periods.

If actual experience differs negatively from the assumptions and other considerations used in the consolidated financial statements, unrealized losses currently reported in accumulated other comprehensive income (loss) may be recognized in the consolidated income statements in future periods.

The Company currently has no intent to sell securities with unrealized losses considered to be temporary until they mature or recover in value and believes that it has the ability to do so.

However, if the specific facts and circumstances surrounding an individual security, or the outlook for its industry sector change, the Company may sell the security prior to its maturity or recovery and realize a loss.

Consolidated VIEs

In 2017, the Company funded PPM Loan Holding Management Company, LLC, an affiliated investment entity facilitating the issuance of collateralized loan obligations.

The Company concluded that PPM Loan Management Holding Company, LLC is a VIE and that the Company is the primary beneficiary as it has the power to direct the most significant activities affecting the performance of the fund as well as the obligation to absorb losses or the right to receive benefits that could potentially be significant to the fund.

In 2020, PPM Loan Holding Management Company, LLC sold the interest in one of the four CLO issuances resulting in the reduction of consolidated assets and liabilities.

The Company’s exposure to loss is limited to the capital invested and unfunded capital commitments related to PPM Loan Holding Management Company, LLC.

Private Equity Funds III – VII are limited partnership structures that invest the ownership capital in portfolios of various other limited partnership structures.

Consolidated Variable Interest Entities ("VIEs")

The Company funds affiliated limited liability companies to facilitate the issuance of collateralized loan obligations ("CLOs").

The Company concluded that these limited liability companies are VIEs and that the Company is the primary beneficiary as it has the power to direct the most significant activities affecting the performance of the entity as well as the obligation to absorb losses or the right to receive benefits that could potentially be significant to the entity.

In 2020, the Company sold the interest in one of the collateralized loan obligation issuances resulting in the reduction of consolidated assets and liabilities.

The Company’s exposure to loss is limited to the capital invested and unfunded capital commitments.

Private Equity Funds III – VIII are limited partnership structures that invest the ownership capital in portfolios of various other limited partnership structures.

The Company concluded that the Private Equity Funds are VIEs and that the Company is the primary beneficiary as it has the power to direct the most significant activities affecting the performance of the funds as well as the obligation to absorb losses or the right to receive benefits that could potentially be significant to the funds.

In the fourth quarter of 2021, the Company entered into a commitment to invest up to $ 300 million in the newly formed Private Equity Fund VIII.

The Company’s exposure to loss is limited to the capital invested and unfunded capital commitments related to Private Equity Funds III – VII.

In 2018, PPM created and began managing institutional share class mutual funds.

Jackson seeds new funds, or new share classes within a fund, when deemed necessary to develop the requisite track record prior to allowing investment by external parties.

The Company’s exposure to loss is limited to the capital invested and unfunded capital commitments.

PPM has created and managed institutional share class mutual funds, where Jackson seeds new funds, or new share classes within a fund, when deemed necessary to develop the requisite track record prior to allowing investment by external parties.

Jackson may sell its interest in the fund once opened to investment by external parties.

The Company concluded that these funds are VIEs and that the Company is the primary beneficiary as it has both the power to direct the most significant activities of the VIE as well as the obligation to absorb losses or the right to receive benefits that could potentially be significant to the VIE.

The Company’s exposure to loss related to these mutual funds is limited to the capital invested.

Asset and liability information for the consolidated VIEs included on the Condensed Consolidated Balance Sheets are as follows (in millions):

September 30, 2021 December 31, 2020

Debt securities, available for sale $ 1,350.7 $ 1,108.9

March 31, 2022 December 31, 2021

Debt securities, at fair value under fair value option $ 1,628 $ 1,546

Debt securities, trading 115 117

1 unchanged sentence

Limited partnerships 1,399 1,309

Cash 46.3 57.1

Cash and cash equivalents 63 120

Other assets 24 45

5 unchanged sentences

Total liabilities $ 1,758 $ 1,715

Noncontrolling equity $ 597.9 $ 493.6

Noncontrolling interests $ 715 $ 680

Unconsolidated VIEs

The Company invests in certain LPs and LLCs that it has concluded are VIEs.

The Company invests in certain limited partnerships ("LPs") and limited liability companies ("LLCs") that it has concluded are VIEs.

Based on the analysis of these entities, the Company is not the primary beneficiary of the VIEs as it does not have the power to direct the activities of the VIE that most significantly impact the VIE’s economic performance.

2 unchanged sentences

Unfunded capital commitments for these investments are detailed in Note 13.

The Company’s exposure to loss is limited to the capital invested and unfunded capital commitments related to the LPs/LLCs, for both consolidated and unconsolidated VIEs, which was $ 3,338.0 million and $ 2,976.4 million as of September 30, 2021 and December 31, 2020, respectively.

The Company’s exposure to loss is limited to the capital invested and unfunded capital commitments related to the LPs/LLCs, for both consolidated and unconsolidated VIEs, which was $ 4,261 million and $ 3,860 million as of March 31, 2022 and December 31, 2021, respectively.

The capital invested in an LP or LLC equals the original capital contributed, increased for additional capital contributed after the initial investment, and reduced for any returns of capital from the LP or LLC.

2 unchanged sentences

Based on the analysis of these entities, the Company is not the primary beneficiary of the VIEs.

Mutual funds for which the Company does not have the obligation to absorb losses or the right to receive benefits that could potentially be significant to the entities are recognized in equity securities on the consolidated balance sheets and were $ 31.1 million and $ 23.6 million as of September 30, 2021 and December 31, 2020, respectively.

Mutual funds for which the Company does not have the obligation to absorb losses or the right to receive benefits that could potentially be significant to the entities are recognized in equity securities on the Condensed Consolidated Balance Sheets and were $ 30 million and $ 33 million as of March 31, 2022 and December 31, 2021, respectively.

The Company’s maximum exposure to loss on these mutual funds is limited to the amortized cost for these investments.

The Company makes investments in structured debt securities issued by VIEs for which they are not the manager.

These structured debt securities include RMBS, CMBS, and ABS.

These structured debt securities include RMBS, Commercial Mortgage-Backed Securities ("CMBS"), and asset-backed securities ("ABS").

The Company does not consolidate the securitization trusts utilized in these transactions because they do not have the power to direct the activities that most significantly impact the economic performance of these securitization trusts.

3 unchanged sentences

The Company recognizes the variable interest in these VIEs at fair value on the consolidated balance sheets.

Commercial Mortgage Loans

Commercial mortgage loans of $ 10.8 billion and $ 10.2 billion at September 30, 2021 and December 31, 2020, respectively, are reported net of an allowance for credit losses of $ 86.0 million and $ 164.7 million at each date, respectively.

At September 30, 2021, commercial mortgage loans were collateralized by properties located in 38 states, the District of Columbia, and Europe.

Accrued interest receivable on commercial mortgage loans was $ 34.8 million and $ 32.3 million at September 30, 2021 and December 31, 2020, respectively.

Residential Mortgage Loans

Residential mortgage loans of $ 942.1 million and $ 448.6 million at September 30, 2021 and December 31, 2020, respectively, are reported net of an allowance for credit losses of $ 10.4 million and $ 14.5 million at each date, respectively.

Commercial and Residential Mortgage Loans

Commercial mortgage loans of $ 10.6 billion and $ 10.5 billion at March 31, 2022 and December 31, 2021, respectively, are reported net of an allowance for credit losses of $ 78 million and $ 85 million at each date, respectively.

At March 31, 2022, commercial mortgage loans were collateralized by properties located in 38 states, the District of Columbia, and Europe.

Accrued interest receivable on commercial mortgage loans was $ 33 million and $ 32 million at March 31, 2022 and December 31, 2021, respectively.

Residential mortgage loans of $ 1,039 million and $ 939 million at March 31, 2022 and December 31, 2021, respectively, are reported net of an allowance for credit losses of $ 6 million and $ 9 million at each date, respectively.

Loans were collateralized by properties located in 50 states, the District of Columbia, Mexico, and Europe.

Accrued interest receivable on residential mortgage loans was $ 13.6 million and $ 2.9 million at September 30, 2021 and December 31, 2020, respectively.

Accrued interest receivable on residential mortgage loans was $ 11 million and $ 13 million at March 31, 2022 and December 31, 2021, respectively.

Mortgage Loan Concessions

3 unchanged sentences

continues to accrue interest income on such loans that have deferred payment.

For some commercial mortgage loan borrowers (principally in the hotel and retail sectors), the Company granted concessions which were primarily interest and/or principal payment deferrals generally ranging from 6 to 14 months and, to a much lesser extent, maturity date extensions.

For some commercial mortgage loan borrowers (principally in the hotel and retail sectors), the Company granted concessions which were primarily interest and/

or principal payment deferrals generally ranging from 6 to 14 months and, to a much lesser extent, maturity date extensions.

Repayment periods are generally within one year but may extend until maturity date.

Deferred commercial mortgage loan interest and principal payments were $ 12.7 million at September 30, 2021.

Deferred commercial mortgage loan interest and principal payments were $ 10 million at March 31, 2022.

The concessions granted had no impact on the Company’s results of operations or financial position as the Company has not granted concessions that would have been disclosed and accounted for as troubled debt restructurings.

Evaluation for Credit Losses on Mortgage Loans

The Company reviews mortgage loans on a quarterly basis to estimate the ACL with changes in the ACL recorded in net gains (losses) on derivatives and investments.

The Company reviews mortgage loans that are not carried at fair value under the fair value option on a quarterly basis to estimate the ACL with changes in the ACL recorded in net gains (losses) on derivatives and investments.

Apart from an ACL recorded on individual mortgage loans where the borrower is experiencing financial difficulties, the Company records an ACL on the pool of mortgage loans based on lifetime expected credit losses.

The Company utilizes a third-party forecasting model to estimate lifetime expected credit losses at a loan level.

The Company utilizes a third-party forecasting model to estimate lifetime expected credit losses at a loan level for commercial mortgage loans.

The model forecasts net operating income and property values for the economic scenario selected.

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The following table provides a summary of the allowance for credit losses in the Company’s mortgage loan portfolios (in millions):

Three Months Ended September 30, 2021 Apartment Hotel Office Retail Warehouse Residential Mortgage (2)

Balance at July 1, 2021 $ 26.7 $ 33.0 $ 19.7 $ 22.7 $ 11.8 $ 21.4 $ 135.3

Charge offs, net of recoveries — — — — — — —

Additions from purchase of PCD

mortgage loans — — — — — — —

Provision ( 5.4 ) ( 17.5 ) 3.0 ( 6.8 ) ( 1.2 ) ( 11.0 ) ( 38.9 )

Balance at September 30, 2021 (1)

$ 21.3 $ 15.5 $ 22.7 $ 15.9 $ 10.6 $ 10.4 $ 96.4

Three Months Ended September 30, 2020 Apartment Hotel Office Retail Warehouse Total

Balance at July 1, 2020 $ 34.1 $ 11.4 $ 22.0 $ 18.0 $ 19.3 $ 104.8

Cumulative effect of change in

accounting principle —

Charge offs, net of recoveries — — — — — —

Additions from purchase of PCD

mortgage loans — — — — — —

Provision 20.0 19.8 0.2 6.1 8.1 54.2

Balance at September 30, 2020 (1)

$ 54.1 $ 31.2 $ 22.2 $ 24.1 $ 27.4 $ 159.0

Nine Months Ended September 30, 2021 Apartment Hotel Office Retail Warehouse Residential Mortgage (2)

March 31, 2022 Apartment Hotel Office Retail Warehouse Residential Mortgage Total

Balance at January 1, 2022 $ 19 $ 9 $ 28 $ 17 $ 12 $ 9 $ 94

Charge offs, net of recoveries — — — — — — —

Additions from purchase of PCD

mortgage loans — — — — — — —

Provision ( 36.6 ) ( 18.4 ) ( 2.2 ) ( 8.3 ) ( 13.2 ) ( 4.1 ) ( 82.8 )

Balance at September 30, 2021 (1)

Provision (release) 2 — ( 6 ) ( 3 ) — ( 3 ) ( 10 )

Balance at March 31, 2022 (1)

$ 21 $ 9 $ 22 $ 14 $ 12 $ 6 $ 84

Nine Months Ended September 30, 2020 Apartment Hotel Office Retail Warehouse Total

March 31, 2021 Apartment Hotel Office Retail Warehouse Residential Mortgage Total

Balance at January 1, 2021 $ 58 $ 34 $ 25 $ 24 $ 24 $ 14 $ 179

Cumulative effect of change in

accounting principle 23.6 5.0 7.8 10.3 15.3 62.0

Charge offs, net of recoveries — — — — — — —

Additions from purchase of PCD

mortgage loans — — — — — —

Provision 26.8 25.4 13.3 11.8 10.8 88.1

Balance at September 30, 2020 (1)

Provision (release) ( 31 ) ( 12 ) ( 9 ) ( 9 ) ( 10 ) 6 ( 65 )

Balance at March 31, 2021 (1)

$ 27 $ 22 $ 16 $ 15 $ 14 $ 20 $ 114

(1) Accrued interest receivable totaled $ 48.4 million and $ 29.9 million as of September 30, 2021 and 2020, respectively, and was excluded from the estimate of credit losses.

(2) During the three and nine months ended September 30, 2021, $ 178 thousand of accrued interest was written off relating to loans that were greater than 90 days delinquent or in the process of foreclosure.

(1) Accrued interest receivable totaled $ 44 million and $ 35 million as of March 31, 2022 and 2021, respectively, and was excluded from the determination of credit losses.

The Company’s mortgage loans that are current and in good standing are accruing interest.

1 unchanged sentence

Delinquency status is determined from the date of the first missed contractual payment.

At September 30, 2021, there was $ 2.7 million of recorded investment, $ 2.9 million of unpaid principal balance, no related loan allowance, $ 1.0 million of average recorded investment, and no investment income recognized on impaired residential mortgage loans.

At December 31, 2020, there were no impaired mortgages.

The following tables provide information about the credit quality and vintage year of commercial mortgage loans (in millions):

September 30, 2021

At March 31, 2022, there was $ 19 million of recorded investment, $ 20 million of unpaid principal balance, no related loan allowance, $ 7 million of average recorded investment, and $ 1 million investment income recognized on impaired residential mortgage loans.

At December 31, 2021, there was $ 6 million of recorded investment, $ 7 million of unpaid principal balance, no related loan allowance, $ 2 million of average recorded investment, and no investment income recognized on impaired residential mortgage loans.

The following tables provide information about the credit quality and vintage year of mortgage loans (in millions):

March 31, 2022

2021 2020 2019 2018 2017 Prior Revolving

Loans Total % of

Commercial mortgage loans

Loan to value ratios:

3 unchanged sentences

Greater than 100% — — — — — 10 — 10 — %

Total $ 1,486.6 $ 1,378.5 $ 1,717.3 $ 1,760.1 $ 1,489.1 $ 2,953.6 $ 4.1 $ 10,789.3 100 %

Total commercial mortgage loans 186 1,695 1,381 1,614 1,572 4,129 4 10,581 100 %

Debt service coverage ratios:

2 unchanged sentences

Less than 1.00x — 198 143 18 272 295 — 926 9 %

Total $ 1,486.6 $ 1,378.5 $ 1,717.3 $ 1,760.1 $ 1,489.1 $ 2,953.6 $ 4.1 $ 10,789.3 100 %

Total commercial mortgage loans 186 1,695 1,381 1,614 1,572 4,129 4 10,581 100 %

Residential mortgage loans

Performing 90 303 45 41 17 401 — 897 86 %

Nonperforming (2)

— 4 22 13 14 89 — 142 14 %

Total residential mortgage loans 90 307 67 54 31 490 — 1,039 100 %

Total mortgage loans $ 276 $ 2,002 $ 1,448 $ 1,668 $ 1,603 $ 4,619 $ 4 $ 11,620 100 %

December 31, 2021

1 unchanged sentence

Loans Total % of

Commercial mortgage loans

Loan to value ratios:

3 unchanged sentences

Greater than 100% — — — — — 10 — 10 — %

Total $ 1,412.7 $ 1,754.8 $ 1,885.6 $ 1,805.5 $ 1,414.8 $ 2,001.5 $ 4.0 $ 10,278.9 100 %

Total commercial mortgage loans 1,615 1,381 1,631 1,656 1,390 2,866 4 10,543 100 %

Debt service coverage ratios:

2 unchanged sentences

Less than 1.00x 168 78 18 273 122 189 — 848 8 %

Total $ 1,412.7 $ 1,754.8 $ 1,885.6 $ 1,805.5 $ 1,414.8 $ 2,001.5 $ 4.0 $ 10,278.9 100 %

September 30, 2021

Total commercial mortgage loans 1,615 1,381 1,631 1,656 1,390 2,866 4 10,543 100 %

Residential mortgage loans

Performing 268 22 18 16 7 396 — 727 77 %

Nonperforming (2)

4 44 22 19 23 100 — 212 23 %

Total residential mortgage loans 272 66 40 35 30 496 — 939 100 %

Total mortgage loans $ 1,887 $ 1,447 $ 1,671 $ 1,691 $ 1,420 $ 3,362 $ 4 $ 11,482 100 %

March 31, 2022

In Good Standing (1)

19 unchanged sentences

Residential (2)

727 — 206 6 939

Total $ 11,270 $ — $ 206 $ 6 $ 11,482

(1) At September 30, 2021 and December 31, 2020, includes mezzanine loans of $ 206.1 million and $ 44.6 million in the Apartment category, $ 67.7 million and $ 33.4 million in the Hotel category, $ 249.3 million and $ 116.8 million in the Office category, $ 26.7 million and nil in the Retail category, and $ 32.2 million and $ 48.1 million in the Warehouse category, respectively.

(2) Includes $ 286.3 million of loans purchased when the loans were greater than 90 days delinquent and are supported with insurance or other guarantees provided by various governmental programs, and $ 0.7 million of loans in process of foreclosure.

As of September 30, 2021 and December 31, 2020, there were no commercial mortgage loans involved in troubled debt restructuring, and there were no stressed loans for which the Company is dependent, or expects to be dependent, on the underlying property to satisfy repayment.

(1) At March 31, 2022 and December 31, 2021, includes mezzanine loans of $ 343 million and $ 278 million in the Apartment category, $ 76 million and $ 75 million in the Hotel category, $ 254 million and $ 252 million in the Office category, $ 26 million and $ 27 million in the Retail category, and $ 36 million and $ 26 million in the Warehouse category, respectively.

(2) At March 31, 2022 and December 31, 2021, includes $ 119 million and $ 202 million of loans purchased when the loans were greater than 90 days delinquent and $ 17 million and $ 5 million of loans in process of foreclosure, and are supported with insurance or other guarantees provided by various governmental programs, respectively.

As of March 31, 2022 and December 31, 2021, there were no commercial mortgage loans involved in troubled debt restructuring, and stressed loans for which the Company is dependent, or expects to be dependent, on the underlying property to satisfy repayment were nil.

Other Invested Assets

Other invested assets primarily includes investments in limited partnerships (“LPs”), Federal Home Loan Bank ("FHLB") capital stock, and real estate.

At September 30, 2021 and December 31, 2020, investments in limited partnerships had carrying values of $ 2,400.7 million and $ 1,991.3 million, respectively.

At both September 30, 2021 and December 31, 2020, FHLB capital stock had carrying value of $ 125.4 million.

At September 30, 2021 and December 31, 2020, real estate totaling $ 244.3 million and $ 250.0 million, respectively, included foreclosed properties with a book value of $ 0.7 million at both September 30, 2021 and December 31, 2020.

In June 2021, the Company entered into an arrangement to sell $ 420.4 million of limited partnership investments, of which $ 235.8 million and $ 168.0 million was sold in second and third quarter of 2021, respectively, and the remainder is to be sold by January 2022.

The limited partnerships that are expected to be sold are carried at estimated sales price.

The Company expects to reinvest in new limited partnerships as attractive opportunities become available.

Other invested assets primarily include investments in Federal Home Loan Bank capital stock, limited partnerships (“LPs”), and real estate.

Federal Home Loan Bank capital stock is carried at cost and adjusted for any impairment.

At March 31, 2022 and December 31, 2021, FHLB capital stock had carrying value of $ 146 million and $ 125 million, respectively.

Real estate is carried at the lower of depreciated cost or fair value.

At March 31, 2022 and December 31, 2021, real estate totaling $ 242 million and $ 243 million, respectively, included foreclosed properties with a book value of $ 1 million at both March 31, 2022 and December 31, 2021.

Carrying values for limited partnership investments are generally determined by using the proportion of the Company’s investment in each fund (Net Asset Value (“NAV”) equivalent) as a practical expedient for fair value, and generally are recorded on a three-month lag, with changes in value included in net investment income.

At March 31, 2022 and December 31, 2021, investments in LPs had carrying values of $ 3,016 million and $ 2,831 million, respectively.

In June 2021, the Company entered into an arrangement to sell $ 420 million of limited partnership investments, of which $ 236 million and $ 168 million were sold in the second and third quarter of 2021, respectively, and the remainder was sold in January 2022.

The LPs sold were carried at estimated sales price.

The Company expects to reinvest in new LPs as attractive opportunities become available.

Securities Lending

The Company has entered into securities lending agreements with agent banks whereby blocks of securities are loaned to third parties, primarily major brokerage firms.

As of September 30, 2021 and December 31, 2020, the estimated fair value of loaned securities was $ 20.2 million and $ 12.9 million, respectively.

As of March 31, 2022 and December 31, 2021, the estimated fair value of loaned securities was $ 15 million and $ 17 million, respectively.

The agreements require a minimum of 102 percent of the fair value of the loaned securities to be held as collateral, calculated on a daily basis.

To further minimize the credit risks related to these programs, the financial condition of counterparties is monitored on a regular basis.

At September 30, 2021 and December 31, 2020, cash collateral received in the amount of $ 20.7 million and $ 13.3 million, respectively, was invested by the agent banks and included in cash and cash equivalents of the Company.

At March 31, 2022 and December 31, 2021, cash collateral received in the amount of $ 15 million and $ 17 million, respectively, was invested by the agent banks and included in cash and cash equivalents of the Company.

A securities lending payable for the overnight and continuous loans is included in liabilities in the amount of cash collateral received.

4 unchanged sentences

These agreements are accounted for as financing transactions, with the assets and associated liabilities included in the Condensed Consolidated Balance Sheets.

As of September 30, 2021 and December 31, 2020, short-term borrowings under such agreements averaged $ 1,734.3 million and $ 454.9 million, respectively, with weighted average interest rates of 0.08 %

and 0.16 %, respectively.

At September 30, 2021 and December 31, 2020, the outstanding repurchase agreement balance was $ 306.0 million and $ 1,100.0 million, respectively, collateralized with U.S.

Treasury notes and maturing within 30 days, and was included within other liabilities in the consolidated balance sheets.

Short-term borrowings under such agreements averaged $ 210 million for three months ended March 31, 2022 and $ 1,548 million for the year ended December 31, 2021, with weighted average interest rates of 0.15 % and 0.07 %, respectively.

At March 31, 2022 and December 31, 2021, the outstanding repurchase agreement balance was $ 584 million and $ 1,572 million, respectively, collateralized with U.S.

Treasury notes and corporate securities and maturing within 30 days, and was included within repurchase agreements and securities lending payable in the Condensed Consolidated Balance Sheets.

In the event of a decline in the fair value of the pledged collateral under these agreements, the Company may be required to transfer cash or additional securities as pledged collateral.

Interest expense totaled $ 0.4 million and $ 1.0 million for the three and nine months ended September 30, 2021, respectively, and $ 0.2 million and $ 0.4 million for the three and nine months ended September 30, 2020.

The highest level of short-term borrowings at any month end was $ 2,349.1 million and $ 1,485.6 million for the nine months ended September 30, 2021 and 2020, respectively.

Interest expense totaled nil during both the three months ended March 31, 2022, and 2021, respectively.

The highest level of short-term borrowings at any month end was $ 584 million and $ 2,042 million for the three months ended March 31, 2022, and 2021, respectively.

Derivative Instruments

5 unchanged sentences

A summary of the aggregate contractual or notional amounts and fair values of the Company’s freestanding and embedded derivative instruments are as follows (in millions):

September 30, 2021

Assets Liabilities

Contractual/ Contractual/ Net

Notional Fair Notional Fair Fair

Value Amount (1)

March 31, 2022

Contractual/ Assets Liabilities Net

Notional Fair Fair Fair Value

Value Value Asset (Liability)

Freestanding derivatives

2 unchanged sentences

Equity index futures (2)

— — 17,329.8 — —

Equity index put options 35,500 290 — 290

1 unchanged sentence

Interest rate swaps - cleared (2)

1,500.0 — — — —

Put-swaptions 22,000 — 343 ( 343 )

Treasury futures (2)

3,986.6 — 13.9 — —

Total freestanding derivatives 119,248 868 398 470

1 unchanged sentence

VA embedded derivatives (3)

N/A — N/A 3,091.6 ( 3,091.6 )

N/A — 452 ( 452 )

FIA embedded derivatives (4)

N/A — N/A 1,439.7 ( 1,439.7 )

Total embedded derivatives N/A — N/A 4,531.3 ( 4,531.3 )

N/A — 1,299 ( 1,299 )

RILA embedded derivatives (4)

N/A — 16 ( 16 )

Total embedded derivatives N/A — 1,767 ( 1,767 )

Derivatives related to funds withheld under reinsurance treaties

2 unchanged sentences

Funds withheld embedded derivative (5)

N/A — N/A 271.7 ( 271.7 )

N/A 1,161 — 1,161

Total derivatives related to funds withheld under reinsurance treaties 1,454 1,219 7 1,212

9 unchanged sentences

December 31, 2021

Assets Liabilities

Contractual/ Contractual/ Net

Notional Fair Notional Fair Fair

Value Amount (1)

Contractual/ Assets Liabilities Net

Notional Fair Fair Fair Value

Value Value Asset (Liability)

Freestanding derivatives

2 unchanged sentences

Equity index futures (2)

— — 27,651.0 — —

Equity index put options 27,500 150 — 150

1 unchanged sentence

Interest rate swaps - cleared (2)

— — 1,500.0 8.2 ( 8.2 )

Put-swaptions 19,000 133 — 133

Treasury futures (2)

8,520.5 — 3.8 — —

Credit default swaps 0.5 — — — —

Total freestanding derivatives 97,665 1,374 35 1,339

1 unchanged sentence

VA embedded derivatives (3)

N/A — N/A 5,592.1 ( 5,592.1 )

N/A — 2,626 ( 2,626 )

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 )

N/A — 1,439 ( 1,439 )

RILA embedded derivatives (4)

N/A — 6 ( 6 )

Total embedded derivatives N/A — 4,071 ( 4,071 )

Derivatives related to funds withheld under reinsurance treaties

2 unchanged sentences

Funds withheld embedded derivative (5)

N/A — N/A 826.6 ( 826.6 )

N/A — 120 ( 120 )

Total derivatives related to funds withheld under reinsurance treaties 1,277 43 126 ( 83 )

9 unchanged sentences

The following table reflects the results of the Company’s derivatives, including gains (losses) and change in fair value of freestanding derivative instruments and embedded derivatives (in millions):

Three Months Ended September 30, Nine Months Ended September 30,

2021 2020 2021 2020

Three Months Ended March 31,

Derivatives excluding funds withheld under reinsurance treaties

8 unchanged sentences

Fixed index annuity embedded derivatives 1 —

Registered index linked annuity embedded derivative 3 —

Variable annuity embedded derivatives 2,144 4,648

8 unchanged sentences

All of the Company’s trade agreements for freestanding, over-the-counter derivatives, contain credit downgrade provisions that allow a party to assign or terminate derivative transactions if the counterparty’s credit rating declines below an established limit.

At September 30, 2021 and December 31, 2020, the fair value of the Company’s net non-cleared, over-the-counter derivative assets by counterparty were $ 1,101.4 million and $ 2,184.7 million, respectively, and held collateral was $ 1,125.3 million and $ 2,124.2 million, respectively, related to these agreements.

At September 30, 2021 and December 31, 2020, the fair value of the Company’s net non-cleared, over-the-counter derivative liabilities by counterparty were nil and $ 13.1 million, respectively, and provided collateral was $ 0.9 million and $ 25.7 million, respectively, related to these agreements.

If all of the downgrade provisions had been triggered at September 30, 2021 and December 31, 2020, in aggregate, the Company would have had to disburse $ 23.0 million and nil , respectively, to counterparties, representing the net fair values of derivatives by counterparty, less collateral held.

At March 31, 2022 and December 31, 2021, the fair value of the Company’s net non-cleared, over-the-counter derivative assets by counterparty were $ 738 million and $ 1,376 million, respectively, and held collateral was $ 836 million and $ 1,576 million, respectively, related to these agreements.

At March 31, 2022 and December 31, 2021, the fair value of the Company’s net non-cleared, over-the-counter derivative liabilities by counterparty were $ 217 million and nil , respectively, and provided collateral was $ 324 million and nil , respectively, related to these agreements.

If all of the downgrade provisions had been triggered at March 31, 2022 and December 31, 2021, in aggregate, the Company would have had to disburse $ 98 million and $ 200 million, respectively, and would have been allowed to claim $ 107 million and nil , respectively.

Offsetting Assets and Liabilities

3 unchanged sentences

The following tables present the gross and net information about the Company’s financial instruments subject to master netting arrangements (in millions):

September 30, 2021

March 31, 2022

Recognized Gross

21 unchanged sentences

Recognized Gross

Offset in the Condensed

Offset in the

Condensed Consolidated

Balance Sheets Net Amounts

19 unchanged sentences

The actual amount of collateral may be greater than amounts presented in the tables.

The above tables exclude net embedded derivative liabilities of $ 4,531.3 million and $ 7,076.0 million as of September 30, 2021 and December 31, 2020, respectively, as these derivatives are not subject to master netting arrangements.

The above tables also exclude the funds withheld embedded derivative liability of $ 271.7 million and $ 826.6 million at September 30, 2021 and December 31, 2020.

In addition, repurchase agreements are presented within other liabilities in the condensed consolidated balance sheets.

The above tables exclude net embedded derivative liabilities of $ 1,767 million and $ 4,071 million as of March 31, 2022 and December 31, 2021, respectively, as these derivatives are not subject to master netting arrangements.

The above tables also exclude the funds withheld embedded derivative asset (liability) of $ 1,161 million $( 120 ) million at March 31, 2022 and December 31, 2021.

Fair Value Measurements

The following table summarizes the fair value and carrying value of the Company’s financial instruments (in millions):

September 30, 2021 December 31, 2020

March 31, 2022 December 31, 2021

Value Carrying

3 unchanged sentences

Mortgage loans (1)

11,620 11,638 11,482 11,910

Limited partnerships 3,016 3,016 2,831 2,831

16 unchanged sentences

27,199 27,199 29,007 29,007

Debt 2,670.2 2,746.9 322.0 412.3

Long-term debt 2,640 2,572 2,649 2,745

Securities lending payable 15 15 17 17

25 unchanged sentences

This process involves quantitative and qualitative analysis and is overseen by investment and accounting professionals.

Examples of procedures performed include, but are not limited to, initial and ongoing review of third-party pricing service methodologies, review of pricing statistics and trends, back testing recent trades and monitoring of trading volumes.

Examples of procedures performed include initial and ongoing review of third-party pricing service methodologies, review of pricing statistics and trends, back testing recent trades and monitoring of trading volumes.

In addition, the Company considers whether prices received from independent broker-dealers represent a reasonable estimate of fair value through the use of internal and external cash flow models, which are developed based on spreads and, when available, market indices.

As a result of this analysis, if the Company determines there is a more appropriate fair value based upon the available market data, the price received from the third party may be adjusted accordingly.

For those securities that were internally valued at September 30, 2021 and December 31, 2020, the pricing model used by the Company utilizes current spread levels of similarly rated securities to determine the market discount rate for the security.

For those securities that were internally valued at March 31, 2022 and December 31, 2021, the pricing model used by the Company utilizes current spread levels of similarly rated securities to determine the market discount rate for the security.

Furthermore, appropriate risk premiums for illiquidity and non-performance are incorporated in the discount rate.

5 unchanged sentences

Fair values for limited partnership interests, which are included in other invested assets, is generally determined using the proportion of the Company’s investment in the value of the net assets of each fund (“NAV equivalent”) as a practical expedient for fair value, and generally, are recorded on a three-month lag.

No adjustments to these amounts were deemed necessary at September 30, 2021 and December 31, 2020.

No adjustments to these amounts were deemed necessary at March 31, 2022 and December 31, 2021.

As a result of using the net asset value per share practical expedient, limited partnership interests are not classified in the fair value hierarchy.

1 unchanged sentence

The Company generally has the ability under the partnership agreements to sell its interest to another limited partner with the prior written consent of the general partner.

In cases when the Company expects to sell the limited partnership interest, the estimated sales price is used to determine the fair value.

In cases when the Company expects to sell the limited partnership interest, the estimated sales price is used to determine the fair value rather than the practical expedient.

These limited partnership interests are classified as Level 2 in the fair value hierarchy.

1 unchanged sentence

These investments are classified as Level 3 in the fair value hierarchy.

Mortgage Loans

Fair values are generally determined by discounting expected future cash flows at current market interest rates, inclusive of a credit spread, for similar quality loans.

For loans whose value is dependent upon the underlying property, fair value is determined to be the estimated value of the collateral.

Certain characteristics considered significant in determining the spread or collateral value may be based on internally developed estimates.

As a result, these investments have been classified as Level 3 within the fair value hierarchy.

Policy loans are funds provided to policyholders in return for a claim on the policies values and function like demand deposits which are redeemable upon repayment, death or surrender, and there is only one market price at which the transaction could be settled – the then current carrying value.

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Due to the collateralized nature of policy loans and unpredictable timing of payments, the Company believes the carrying value of policy loans approximates fair value.

Policy loans have been classified as Level 3 within the fair value hierarchy.

The reinsurance related component of policy loans at fair value under the fair value option have been classified as Level 3 within the fair value hierarchy.

Freestanding Derivative Instruments

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Freestanding derivatives priced using third party pricing services incorporate inputs that are predominantly observable in the market.

Inputs used to value derivatives include, but are not limited to, interest rate swap curves, credit spreads, interest rates, counterparty credit risk, equity volatility and equity index levels.

Inputs used to value derivatives include interest rate swap curves, credit spreads, interest rates, counterparty credit risk, equity volatility and equity index levels.

Freestanding derivative instruments classified as Level 1 include futures, which are traded on active exchanges.

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Freestanding derivative instruments classified as Level 3 include interest rate contingent options that are valued by third-party pricing services utilizing significant unobservable inputs.

FHLBI Capital Stock

FHLBI capital stock, which is included in other invested assets, can only be sold to FHLBI at a constant price of $ 100 per share.

Due to the lack of valuation uncertainty, the investment has been classified as Level 1.

Cash and Cash Equivalents

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Funds Withheld Payable Under Reinsurance Treaties

The funds withheld payable under reinsurance treaties includes both the funds withheld payable and the funds withheld embedded derivative.

Certain funds withheld payable are held at fair value under the fair value option.

The fair value of the funds withheld payable is equal to the fair value of the assets held as collateral, which primarily consists of debt and equity securities, mortgage loans, and policy loans.

The fair value of the assets generally use industry standard valuation techniques and the valuation of the embedded derivative also requires certain significant unobservable inputs.

The funds withheld payable are considered Level 2, while certain funds withheld payable at fair value under the fair value option and the funds withheld embedded derivative are considered Level 3, respectively, in the fair value hierarchy.

The fair value of embedded derivatives associated with funds withheld reinsurance contracts is determined based upon a total return swap

technique referencing the fair value of the investments held under the reinsurance contract and included in the Company’s condensed consolidated balance sheet.

Separate Account Assets and Liabilities

The funds withheld payable under reinsurance treaties includes both the funds withheld payable which are held at fair value under the fair value option and the funds withheld embedded derivative liability.

The fair value of the funds withheld payable which are held at fair value under the fair value option is equal to the fair value of the assets held as collateral, which primarily consists of policy loans using industry standard valuation techniques.

The funds withheld embedded derivative liability is determined based upon a total return swap technique referencing the fair value of the investments held under the reinsurance contract and requires certain significant unobservable inputs.

The funds withheld payable which are held at fair value under the fair value option and the funds withheld embedded derivative are considered Level 3 in the fair value hierarchy.

Separate Account Assets

Separate account assets are comprised of investments in mutual funds that transact regularly, but do not trade in active markets as they are not publicly available, and, are categorized as Level 2 assets.

The values of separate account liabilities are set equal to the values of separate account assets.

Other Contract Holder Funds

Fair values for immediate annuities without mortality features are derived by discounting the future estimated cash flows using current market interest rates for similar maturities.

Fair values for deferred annuities, including fixed index annuities, are determined using projected future cash flows discounted at current market interest rates.

The fair value of the fixed index annuities embedded option, incorporating such factors as the volatility of returns, the level of interest rates and the time remaining until the option expires, is calculated using the closed form Black-Scholes Option Pricing model or Monte Carlo simulations, as appropriate for the type of option.

Additionally, assumed withdrawal rates are used to estimate the expected volume of embedded options that will be realized by policyholders.

Fair values for guaranteed investment contracts are based on the present value of future cash flows discounted at current market interest rates.

Fair values for trust instruments supported by funding agreements are based on the present value of future cash flows discounted at current market interest rates.

Fair values of the FHLBI funding agreements are based on the present value of future cash flows discounted at current market interest rates.

Variable Annuity Guarantees

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Volatility assumptions are based on a weighting of available market data for implied market volatility for durations up to 10 years, grading to a historical volatility level by year 15, where such long-term historical volatility levels contain an explicit risk margin.

Additionally, non-performance risk is incorporated into the calculation through the use of discount rates based on a blend of observed market yields on debt for life insurers with similar credit ratings to the Company and matrix pricing data for expected yields on Jackson Financial debt (either actual debt issuance or indicative quotes) adjusted to operating company levels.

Additionally, non-performance risk is incorporated into the calculation through the use of discount rates based on a blend of yields on similarly-rated peer debt and yields on JFI debt (adjusted to operating company levels).

Risk margins are also incorporated into the model assumptions, particularly for policyholder behavior.

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However, the ultimate settlement amount of the asset or liability, which is currently unknown, could likely be significantly different than this fair value.

Fair values for the Company’s surplus notes and short-term and long-term debt are generally determined by prices obtained from independent broker dealers or discounted cash flow models.

Such prices are derived from market observable inputs and are classified as Level 2.

Securities Lending Payable

The Company’s securities lending payable is set equal to the cash collateral received.

Due to the short-term nature of the loans, carrying value is a reasonable estimate of fair value and is classified as Level 2.

Repurchase Agreements

Carrying value of the Company’s repurchase agreements, which are included in other liabilities, is considered a reasonable estimate of fair value due to their short-term maturities and are classified as Level 2.

FHLB Advances

Carrying value of the Company’s FHLB advances, which are included in other liabilities, is considered a reasonable estimate of fair value due to their short-term maturities and are classified as Level 2.

Fixed Index Annuities

Additionally, assumed withdrawal rates are used to estimate the expected volume of embedded options that will be realized by policyholders.

The fair value of the RILA embedded option, incorporating such factors as the volatility of returns, the level of interest rates and the time remaining until the option expires, is calculated using the closed form Black-Scholes Option Pricing model.

Additionally, assumed withdrawal rates are used to estimate the expected volume of embedded options that will be realized by policyholders.

Fair Value Option

The Company has elected the fair value option for certain funds withheld assets, which are held as collateral for reinsurance, totaling $ 3,634 million and $ 3,632 million at March 31, 2022 and December 31, 2021, respectively, as discussed above.

The Company elected the fair value option for debt securities related to certain consolidated investments totaling $ 1,628 million and $ 1,546 million at March 31, 2022 and December 31, 2021, respectively.

These debt securities are reflected on the Company’s Condensed Consolidated Balance Sheets as debt securities, at fair value under the fair value option.

The Company elected the fair value option for certain mortgage loans held under the funds withheld reinsurance agreement.

The fair value option was elected for these mortgage loans, purchased or funded after December 31, 2021, to mitigate inconsistency in earnings that would otherwise result between these mortgage loan assets and the funds withheld liability, including the associated embedded derivative, and are valued using third-party pricing services.

Changes in fair value are reflected in net investment income on the Condensed Consolidated Income Statements.

The fair value and aggregate contractual principal for mortgage loans where the fair value option was elected after December 31, 2021 were as follows (in millions):

Fair value $ 190

Aggregate contractual principal 191

As of March 31, 2022, no loans for which the fair value option was elected were in non-accrual status, and no loans were more than 90 days past due and still accruing interest.

Income and changes in unrealized gains and losses on other assets for which the Company has elected the fair value option are immaterial to the Company’s Condensed Consolidated Financial Statements.

Assets and Liabilities Measured at Fair Value on a Recurring Basis

The following tables summarize the Company’s assets and liabilities that are carried at fair value by hierarchy levels (in millions):

September 30, 2021

March 31, 2022

Total Level 1 Level 2 Level 3

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Equity securities 261 72 74 115

Mortgage loans 190 — — 190

Limited partnerships (1)

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$ 4,651 $ — $ 1,720 $ 2,931

(1) Includes the embedded derivative liabilities of $ 3,091.6 million related to GMWB reserves included in reserves for future policy benefits and claims payable and $ 1,439.7 million of fixed index annuities included in other contract holder funds on the condensed consolidated balance sheets.

(2) Includes the Athene embedded derivative liability of $ 271.7 million and funds withheld payable under reinsurance treaties at fair value under the fair value option.

(1) Excludes $ 3,015 million of limited partnership investments measured at NAV.

(2) Includes the embedded derivative liabilities of $ 452 million related to GMWB reserves included in reserves for future policy benefits and claims payable, $ 16 million of RILA and $ 1,299 million of fixed index annuities, both included in other contract holder funds on the Condensed Consolidated Balance Sheets.

(3) Includes the Athene embedded derivative asset of $ 1,161 million and funds withheld payable under reinsurance treaties at fair value under the fair value option.

December 31, 2021

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$ 7,871 $ — $ 1,486 $ 6,385

(1) Includes the embedded derivative liabilities of $ 5,592.1 million related to GMWB reserves included in reserves for future policy benefits and claims payable and $ 1,483.9 million of fixed index annuities included in other contract holder funds on the condensed consolidated balance sheets.

(1) Excludes $ 2,813 million of limited partnership investments measured at NAV.

(2) Includes the embedded derivative liabilities of $ 2,626 million related to GMWB reserves included in reserves for future policy benefits and claims payable, $ 6 million of RILA and $ 1,439 million of fixed index annuities, both included in other contract holder funds on the consolidated balance sheets.

(3) Includes the Athene embedded derivative liability of $ 120 million and funds withheld payable under reinsurance treaties at fair value under the fair value option.

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The table below presents the balances of Level 3 assets and liabilities measured at fair value with their corresponding pricing sources (in millions):

September 30, 2021

March 31, 2022

Assets Total Internal External

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$ 14 $ — $ 14

Other asset-backed securities

Equity securities

109.8 1.2 108.6

Mortgage loans 190 — 190

Limited partnerships

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$ 4,024 $ 3,706 $ 318

$ 3,884.2 $ 3,768.1 $ 116.1

Embedded derivative liabilities (1)

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(1) Includes the embedded derivative related to GMWB reserves.

(2) Includes the Athene embedded derivative liability.

(2) Includes the Athene embedded derivative asset of $ 1,161 million and funds withheld payable under reinsurance treaties at fair value under the fair value option.

December 31, 2021

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Debt securities:

$ 28.7 $ — $ 28.7

Other asset-backed securities

Equity securities

103.6 1.2 102.4

Limited partnerships

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$ 3,851 $ 3,731 $ 120

$ 3,927.8 $ 3,796.6 $ 131.2

Embedded derivative liabilities (1)

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(1) Includes the embedded derivative related to GMWB reserves.

(2) Includes the Athene embedded derivative liability.

(2) Includes the Athene embedded derivative liability of $ 120 million and funds withheld payable under reinsurance treaties at fair value under the fair value option.

External pricing sources for securities represent unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available.

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The table below presents quantitative information on significant internally-priced Level 3 assets and liabilities (in millions):

As of September 30, 2021

As of March 31, 2022

Value Valuation Technique(s) Significant Unobservable Input(s) Assumption or Input Range Impact of Increase in Input on Fair Value

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(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, with lower lapse applying when contracts are more in-the-money.

Lapse rates are further adjusted based on the degree to which a guaranteed benefit is in-the-money, with lower lapse applying when benefits are more in-the-money.

Lapse rates are also adjusted to reflect lower lapse expectations when GMWB benefits are utilized.

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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.

(5) Nonperformance risk spread varies by projection year.

(6) Long-term equity volatility represents the equity volatility beyond the period for which observable equity volatilities are available.

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(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, with lower lapse applying when contracts are more in-the-money.

Lapse rates are further adjusted based on the degree to which a guaranteed benefit is in-the-money, with lower lapse applying when benefits are more in-the-money.

Lapse rates are also adjusted to reflect lower lapse expectations when GMWB benefits are utilized.

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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.

(5) Nonperformance risk spread varies by projection year.

(6) Long-term equity volatility represents the equity volatility beyond the period for which observable equity volatilities are available.

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The following is a general description of sensitivities of significant unobservable inputs and their impact on the fair value measurement for the assets and liabilities reflected in the tables above.

At both September 30, 2021 and December 31, 2020, securities of $ 2.0 million are fair valued using techniques incorporating unobservable inputs and are classified in Level 3 of the fair value hierarchy.

At both March 31, 2022 and December 31, 2021, securities of $ 2 million are fair valued using techniques incorporating unobservable inputs and are classified in Level 3 of the fair value hierarchy.

For these assets, their unobservable inputs and ranges of possible inputs do not materially affect their fair valuations and have been excluded from the quantitative information in the tables above.

Policy loans that support funds withheld reinsurance agreements that are held at fair value under the fair value option on the Company’s condensed consolidated balance sheet are excluded from the tables above.

Policy loans that support funds withheld reinsurance agreements that are held at fair value under the fair value option on the Company’s Condensed Consolidated Balance Sheets are excluded from the tables above.

These policy loans do not have a stated maturity and the balances, plus accrued investment income, are repaid either by the policyholder or with proceeds from the policy.

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The fair value of Funds withheld payable under reinsurance treaties, excluding the Athene embedded derivative, is determined based upon the fair value of the investments held by the Company related to the Company’s funds withheld payable under reinsurance treaties.

The fair value of these underlying assets is generally based on market observable inputs using industry standard valuation techniques.

The Athene embedded derivative utilizes a total return swap technique which incorporates the fair value of the invested assets supporting the reinsurance agreement as a component of the valuation.

In addition, these valuations for the funds withheld payable under reinsurance treaties and the Athene embedded derivative also require certain significant inputs which are generally not observable and, accordingly, the valuation is considered Level 3 in the fair value hierarchy.

As a result, these valuations for the funds withheld payable under reinsurance treaties and the Athene embedded derivative require certain significant inputs which are generally not observable and, accordingly, the valuation is considered Level 3 in the fair value hierarchy.

The GMIB reinsurance recoverable fair value calculation is based on the present value of future cash flows comprised of future expected reinsurance benefit receipts, less future attributed premium payments to reinsurers, over the lives of the contracts.

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The more significant policyholder behavior actuarial assumptions include benefit utilization, fund allocation, lapse, and mortality.

The tables below provide rollforwards for the three and nine months ended September 30, 2021 and 2020 of the financial instruments for which significant unobservable inputs (Level 3) are used in the fair value measurement.

The tables below provide rollforwards for the three months ended March 31, 2022, and 2021 of the financial instruments for which significant unobservable inputs (Level 3) are used in the fair value measurement.

Gains and losses in the tables below include changes in fair value due partly to observable and unobservable factors.

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Total Realized/Unrealized Gains (Losses) Included in

Three Months Ended September 30, 2021 Fair Value as of July 1, 2021

Net Income Other Comprehensive Income Purchases, Sales, Issuances and Settlements Transfers in and/or (out of) Level 3 Fair Value as of September 30, 2021

Debt securities

Corporate securities $ 31.2 $ — $ — $ 2.7 $ ( 26.4 ) $ 7.5

Other asset-backed securities 0.1 — — — — 0.1

Equity securities 103.2 6.0 — 0.6 — 109.8

Limited partnerships 0.7 — — — — 0.7

GMIB reinsurance recoverable 267.2 11.4 — — — 278.6

Policy Loans 3,537.8 ( 135.9 ) — 85.6 — 3,487.5

Embedded derivative liabilities $ ( 2,235.7 ) $ ( 855.9 ) $ — $ — $ — $ ( 3,091.6 )

Funds withheld payable under reinsurance treaties ( 4,081.5 ) 235.6 0.5 ( 86.2 ) — ( 3,931.6 )

Total Realized/Unrealized Gains (Losses) Included in

Three Months Ended September 30, 2020 Fair Value as of July 1, 2020

Net Income Other Comprehensive Income Purchases, Sales, Issuances and Settlements Transfers in and/or (out of) Level 3 Fair Value as of September 30, 2020

Debt securities

Corporate securities $ 50.9 $ 5.0 $ — $ 13.4 $ ( 28.4 ) $ 40.9

Equity securities 118.8 1.0 — ( 0.3 ) — 119.5

Limited partnerships 0.9 — — ( 0.1 ) — 0.8

GMIB reinsurance recoverable 435.5 ( 27.6 ) — — — 407.9

Policy loans 3,605.0 ( 140.2 ) — ( 17.1 ) — 3,447.7

Embedded derivative liabilities $ ( 9,067.8 ) $ 1,370.8 $ — $ — $ — $ ( 7,697.0 )

Funds withheld payable under reinsurance treaties ( 4,055.3 ) 885.6 1.3 16.4 — ( 3,152.0 )

Total Realized/Unrealized Gains (Losses) Included in

Nine Months Ended September 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 September 30, 2021

Fair Value Sales, Transfers Fair Value

as of Other Issuances in and/or as of

January 1, Net Comprehensive and (out of) March 31,

March 31, 2022 2022 Income Income Settlements Level 3 2022

Debt securities

Corporate securities $ 9 $ — $ — $ 2 $ 3 $ 14

Other asset-backed securities 0.1 — — — — 0.1

Equity securities 112 3 — — — 115

Mortgage loans — 2 — 188 — 190

Limited partnerships 1 — — — — 1

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Total Realized/Unrealized Gains (Losses) Included in

Nine Months Ended September 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 September 30, 2020

Fair Value Sales, Transfers Fair Value

as of Other Issuances in and/or as of

January 1, Net Comprehensive and (out of) March 31,

March 31, 2021 2021 Income Income Settlements Level 3 2021

Debt securities

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Funds withheld payable under reinsurance treaties ( 4,453 ) 914 2 51 — ( 3,486 )

The components of the amounts included in purchases, sales, issuances and settlements for the three and nine months ended September 30, 2021 and 2020 shown above are as follows (in millions):

Three Months Ended September 30, 2021 Purchases Sales Issuances Settlements Total

Debt securities

Corporate securities $ 2.7 $ — $ — $ — $ 2.7

Equity securities 0.8 ( 0.2 ) — — 0.6

Limited partnerships — — — — —

Policy loans — — 155.4 ( 69.8 ) 85.6

Total $ 3.5 $ ( 0.2 ) $ 155.4 $ ( 69.8 ) $ 88.9

Funds withheld payable under reinsurance treaties $ — $ — $ ( 187.0 ) $ 100.8 $ ( 86.2 )

Three Months Ended September 30, 2020 Purchases Sales Issuances Settlements Total

Debt securities

Corporate securities $ 30.3 $ ( 16.9 ) $ — $ — $ 13.4

Equity securities — ( 0.3 ) — — ( 0.3 )

Limited partnerships — ( 0.1 ) — — ( 0.1 )

Policy loans — — 153.6 ( 170.7 ) ( 17.1 )

Total $ 30.3 $ ( 17.3 ) $ 153.6 $ ( 170.7 ) $ ( 4.1 )

Funds withheld payable under reinsurance treaties $ — $ — $ ( 158.4 ) $ 174.8 $ 16.4

Nine Months Ended September 30, 2021 Purchases Sales Issuances Settlements Total

The components of the amounts included in purchases, sales, issuances and settlements for the three months ended March 31, 2022, and 2021 shown above are as follows (in millions):

March 31, 2022 Purchases Sales Issuances Settlements Total

Debt securities

Corporate securities $ 2 $ — $ — $ — $ 2

Equity securities 0.8 ( 7.7 ) — — ( 6.9 )

Limited partnerships — ( 0.1 ) — — ( 0.1 )

Mortgage loans 188 — — — 188

Policy loans — — 30 ( 85 ) ( 55 )

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Funds withheld payable under reinsurance treaties $ — $ — $ ( 31 ) $ 91 $ 60

Nine Months Ended September 30, 2020 Purchases Sales Issuances Settlements Total

March 31, 2021 Purchases Sales Issuances Settlements Total

Debt securities

Corporate securities $ 2 $ — $ — $ — $ 2

Equity securities 1.6 ( 32.8 ) — — ( 31.2 )

Limited partnerships — ( 0.1 ) — — ( 0.1 )

Policy loans — — 28 ( 51 ) ( 23 )

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Funds withheld payable under reinsurance treaties $ — $ — $ ( 83 ) $ 134 $ 51

For the three and nine months ended September 30, 2021 and 2020, there were no transfers from Level 3 to NAV equivalent.

For the three and nine months ended September 30, 2021, transfers from Level 3 to Level 2 of the fair value hierarchy were $ 28.9 million and $ 51.8 million, respectively, and transfers from Level 2 to Level 3 were $ 2.5 million and $ 20.7 million, respectively.

For the three and nine months ended September 30, 2020, transfers from Level 3 to Level 2 of the fair value hierarchy were $ 36.3 million and $ 36.4 million, respectively, and transfers from Level 2 to Level 3 were $ 7.9 million and $ 46.8 million, respectively.

The portion of gains (losses) included in net income or other comprehensive income ("OCI") attributable to the change in unrealized gains and losses on Level 3 financial instruments still held was as follows (in millions):

Three Months Ended September 30,

Net Income Included in OCI Included in

Net Income Included in OCI

Debt securities

Corporate securities $ 0.1 $ — $ 4.8 $ —

Equity securities 6.0 — 1.0 —

Limited partnerships — — — —

GMIB reinsurance recoverable 11.4 — ( 27.6 ) —

Funds withheld reinsurance assets ( 135.9 ) — ( 140.2 ) —

Embedded derivative liabilities $ ( 855.9 ) $ — $ 1,370.8 $ —

Funds withheld payable under reinsurance treaties 109.8 — 763.9 —

Nine Months Ended September 30,

For the three months ended March 31, 2022, and 2021, there were no transfers from Level 3 to NAV.

For the three months ended March 31, 2022, transfers from Level 3 to Level 2 of the fair value hierarchy were $ 4 million and transfers from Level 2 to Level 3 were $ 7 million.

For the three months ended March 31, 2021, transfers from Level 3 to Level 2 of the fair value hierarchy were $ 18 million and transfers from Level 2 to Level 3 were $ 5 million.

The portion of gains (losses) included in net income (loss) or other comprehensive income (loss) ("OCI") attributable to the change in unrealized gains and losses on Level 3 financial instruments still held was as follows (in millions):

Three Months Ended March 31,

Net Income Included in OCI Included in

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Equity securities 3 — ( 2 ) —

Limited partnerships — — ( 0.2 ) —

Mortgage loans 2 — — —

GMIB reinsurance recoverable ( 30 ) — ( 74 ) —

Funds withheld reinsurance assets ( 10.8 ) — ( 19.3 ) —

Policy loans 60 — — —

Embedded derivative liabilities $ 2,174 $ — $ 4,723 $ —

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Fair Value of Financial Instruments Carried at Other Than Fair Value

Mortgage Loans

Fair values are generally determined by discounting expected future cash flows at current market interest rates, inclusive of a credit spread, for similar quality loans.

For loans whose value is dependent upon the underlying property, fair value is determined to be the estimated value of the collateral.

Certain characteristics considered significant in determining the spread or collateral value may be based on internally developed estimates.

As a result, these investments have been classified as Level 3 within the fair value hierarchy.

Mortgage loans held under the funds withheld reinsurance agreement are valued using third-party pricing services, which may use economic inputs, geographical information, and property specific assumptions in deriving the fair value price.

The Company reviews the valuations from these pricing providers to ensure they are reasonable.

Due to lack of observable inputs, these investments have been classified as Level 3 within the fair value hierarchy.

The funds provided are limited to the cash surrender value of the underlying policy.

The nature of policy loans is to have a negligible default risk as the loans are fully collateralized by the value of the policy.

Policy loans do not have a stated maturity and the balances and accrued interest are repaid either by the policyholder or with proceeds from the policy.

Due to the collateralized nature of policy loans and unpredictable timing of payments, the Company believes the carrying value of policy loans approximates fair value.

The non-reinsurance related component of policy loans has been classified as Level 3 within the fair value hierarchy.

FHLBI Capital Stock

FHLBI capital stock, which is included in other invested assets, can only be sold to FHLBI at a constant price of $ 100 per share.

Due to the lack of valuation uncertainty, the investment has been classified as Level 1.

Other Contract Holder Funds

Fair values for immediate annuities without mortality features are derived by discounting the future estimated cash flows using current market interest rates for similar maturities.

Fair values for deferred annuities, including the fixed option on variable annuities, fixed annuities, fixed index annuities and RILAs, are determined using projected future cash flows discounted at current market interest rates.

Fair values for guaranteed investment contracts are based on the present value of future cash flows discounted at current market interest rates.

Fair values for trust instruments supported by funding agreements are based on the present value of future cash flows discounted at current market interest rates.

Fair values of the FHLB funding agreements are based on the present value of future cash flows discounted at current market interest rates.

Funds Withheld Payable Under Reinsurance Treaties

The fair value of the funds withheld payable is equal to the fair value of the assets held as collateral, which primarily consists of bonds, mortgages, limited partnerships, and cash and cash equivalents.

The fair value of the assets generally use industry standard valuation techniques as described above and the funds withheld payable components are valued consistent with the assets in the fair value hierarchy.

Fair values for the Company’s surplus notes and long-term debt are generally determined by prices obtained from independent broker dealers or discounted cash flow models.

Such prices are derived from market observable inputs and are classified as Level 2.

Securities Lending Payable

The Company’s securities lending payable is set equal to the cash collateral received.

Due to the short-term nature of the loans, carrying value is a reasonable estimate of fair value and is classified as Level 2.

FHLB Advances

Repurchase Agreements

Carrying value of the Company’s repurchase agreements is considered a reasonable estimate of fair value due to their short-term maturities and are classified as Level 2.

Separate Account Liabilities

The values of separate account liabilities are set equal to the values of separate account assets, which are comprised of investments in mutual funds that transact regularly, but do not trade in active markets as they are not publicly available, and, are categorized as Level 2.

The table below presents the carrying amount and fair value by fair value hierarchy level of certain financial instruments that are not reported at fair value (in millions).

September 30, 2021 December 31, 2020

Fair Value Hierarchy Level Carrying

Value Carrying

Mortgage loans Level 3 $ 11,731.4 $ 12,211.7 $ 10,727.5 $ 11,348.9

Policy loans Level 3 1,024.4 1,024.4 1,069.3 1,069.3

FHLBI capital stock Level 1 125.4 125.4 125.4 125.4

March 31, 2022

Value Total Level 1 Level 2 Level 3

Mortgage loans $ 11,430 $ 11,448 $ — $ — $ 11,448

Policy loans 991 991 — — 991

FHLBI capital stock 146 146 146 — —

Annuity reserves (1)

Level 3 $ 37,012.3 $ 44,560.8 $ 38,562.8 $ 46,929.7

$ 36,397 $ 37,927 $ — $ — $ 37,927

Reserves for guaranteed investment contracts (2)

Level 3 994.4 1,032.8 1,275.5 1,332.1

1,052 1,050 — — 1,050

Trust instruments supported by funding agreements (2)

Level 3 6,322.3 6,564.2 8,383.9 8,701.8

6,121 6,084 — — 6,084

FHLB funding agreements (2)

Level 3 1,521.8 1,550.9 1,478.4 1,421.3

Funds held under reinsurance treaties Level 2 25,839.7 25,839.7 27,518.4 27,518.4

Debt Level 2 2,670.2 2,746.9 322.0 412.3

Securities lending payable Level 2 20.7 20.7 13.3 13.3

FHLB advances Level 2 — — 380.0 380.0

Repurchase agreements Level 2 306.0 306.0 1,100.0 1,100.0

2,000 1,956 — — 1,956

Funds withheld payable under reinsurance treaties (3)(4)

23,867 23,867 524 18,365 4,978

Debt 2,640 2,572 — 2,572 —

Securities lending payable 15 15 — 15 —

FHLB advances 500 500 — 500 —

Repurchase agreements 584 584 — 584 —

Separate Account Liabilities (5)

Level 2 237,096.2 237,096.2 219,062.9 219,062.9

231,198 231,198 — 231,198 —

December 31, 2021

Value Total Level 1 Level 2 Level 3

Mortgage loans $ 11,482 $ 11,910 $ — $ — $ 11,910

Policy loans 1,008 1,008 — — 1,008

FHLBI capital stock 125 125 125 — —

Annuity reserves (1)

$ 36,318 $ 46,045 $ — $ — $ 46,045

Reserves for guaranteed investment contracts (2)

894 923 — — 923

Trust instruments supported by funding agreements (2)

5,986 6,175 — — 6,175

FHLB funding agreements (2)

1,950 1,938 — — 1,938

Funds withheld payable under reinsurance treaties (3)

24,533 24,533 537 19,127 4,869

Debt 2,649 2,745 — 2,745 —

Securities lending payable 17 17 — 17 —

FHLB advances — — — — —

Repurchase agreements 1,572 1,572 — 1,572 —

Separate Account Liabilities (5)

248,949 248,949 — 248,949 —

(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) Excludes $ 742 million and $ 715 million of limited partnership investments measured at NAV at March 31, 2022 and December 31, 2021, respectively.

(4) Excludes $ 111 million of non-financial instruments at March 31, 2022.

(5) The values of separate account liabilities are set equal to the values of separate account assets.

Fair Value Option

The Company has elected the fair value option for certain funds withheld assets, which are held as collateral for reinsurance, totaling $ 3,654.3 million and $ 3,622.0 million at September 30, 2021 and December 31, 2020, respectively, as discussed above.

PPM America is a related-party of Jackson.

As necessary, Jackson seeds new collateralized loan obligation issuances, or new share classes within these funds, in order to develop the requisite track record prior to allowing investment by external parties.

Jackson may sell its interest in the fund once opened to investment by external parties.

The Company concluded that these funds are VIEs and that the Company is the primary beneficiary as they have both the power to direct the most significant activities of the VIE as well as the obligation to absorb losses or the right to receive benefits that could potentially be significant to the VIE.

As such, the assets within these funds are consolidated into the Company’s statement of financial position.

The Company elected the fair value option for debt securities within these funds, totaling $ 1,350.7 million and $ 1,108.9 million at September 30, 2021 and December 31, 2020, respectively.

These debt securities are reflected on the Company’s condensed consolidated balance sheet as debt securities, at fair value under the fair value option.

Income and changes in unrealized gains and losses on other assets for which the Company has elected the fair value option are immaterial to the Company’s condensed consolidated financial statements.

Deferred Acquisition Costs

The balances of, and changes, in deferred acquisition costs were as follows (in millions):

Nine Months Ended September 30,

Three Months Ended March 31,

Balance, beginning of period $ 14,249 $ 13,897

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Amortization ( 515 ) ( 812 )

Write-off of amortization related to Athene transaction — ( 625.8 )

Unrealized investment (gains) losses 124 108

Balance, end of period $ 14,037 $ 13,392

See Note 7 of Notes to Consolidated Financial Statements in Part II, Item 8, Financial Statements and Supplementary Data of the Company’s annual report on Form 10-K for the year ended December 31, 2021, for more information regarding deferred acquisition costs.

The Company assumes and cedes reinsurance from and to other insurance companies in order to limit losses from large exposures.

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These include both direct and assumed accident and health business, direct and assumed life insurance business, and certain institutional annuities.

As indicated in Note 1, on June 18, 2020, the Company’s subsidiary, Jackson, entered into a funds withheld coinsurance agreement with Athene effective June 1, 2020 to reinsure on 100 % quota share basis, a block of Jackson’s in-force fixed and fixed-index annuity product liabilities in exchange for a $ 1.2 billion ceding commission, which was subject to a post-closing adjustment.

Jackson allocated investments with a statutory book value of approximately $ 25.6 billion in support of reserves associated with the transaction to a segregated custody account, which investments are subject to an investment management agreement between Jackson and Apollo Insurance Solutions Group, LP ("Apollo"), an Athene affiliate.

To further support its obligations under the coinsurance agreement, Athene procured $ 1.2 billion in letters of credit for Jackson’s benefit and has established a trust account for Jackson’s benefit funded with assets with a book value of approximately $ 260.0 million at September 30, 2021.

In September 2020, the post-closing settlement resulted in ceded premium of $ 6.3 million and a decrease of $ 28.5 million in ceding commission.

Pursuant to the Athene coinsurance agreement, the Company holds certain assets as collateral.

At September 30, 2021 and December 31, 2020, assets held as collateral in the segregated custody account were $ 29.8 billion and $ 28.3 billion, respectively.

The Company’s GMIBs are reinsured with an unrelated party and due to the net settlement provisions of the reinsurance agreement, meet the definition of a derivative.

Accordingly, the GMIB reinsurance agreement is recorded at fair value on the Company’s consolidated balance sheets, with changes in fair value recorded in net gains (losses) on derivatives and investments.

GMIB reinsured benefits are subject to aggregate annual claim limits.

Deductibles also apply on reinsurance of GMIB business issued since March 1, 2005.

The Company has three retro treaties with Swiss Reinsurance Company Ltd.

Athene Reinsurance

The Company entered into a funds withheld coinsurance agreement with Athene effective June 1, 2020 to reinsure on 100 % quota share basis, a block of Jackson’s in-force fixed and fixed-index annuity product liabilities in exchange for a $ 1.2 billion ceding commission.

The coinsurance with funds withheld agreement required Jackson to establish a segregated account in which the investments supporting the ceded obligations are maintained.

While the economic benefits of the investments flow to Athene, Jackson retains physical possession and legal ownership of the investments supporting the reserve.

Further, the investments in the segregated account are not available to settle any policyholder obligations other than those specifically covered by the coinsurance agreement and are not available to settle obligations to general creditors of Jackson.

The profit and loss with respect to obligations ceded to Athene are included in periodic net settlements pursuant to the coinsurance agreement.

To further support its obligations under the coinsurance agreement, Athene procured $ 1.2 billion in letters of credit for Jackson’s benefit and established a trust account for Jackson’s benefit, which had a book value of approximately $ 360 million at March 31, 2022.

Swiss Re Reinsurance

The Company has three retrocession reinsurance agreements (“retro treaties”) with Swiss Reinsurance Company Ltd.

Pursuant to these retro treaties, the Company ceded to SRZ on a 100 % coinsurance basis, subject to pre-existing reinsurance with other parties, certain blocks of business.

These blocks of business include disability income and accident and health business, a mix of life and annuity insurance business, and corporate owned life insurance business.

The following assets and liabilities were held in support of reserves associated with the Company’s funds withheld reinsurance agreements and were reported in the respective financial statement line items in the Condensed Consolidated Balance Sheets (in millions):

September 30, 2021 December 31, 2020

Debt securities $ 20,617.7 $ 24,642.4

March 31, December 31,

Debt securities, available-for-sale $ 17,128 $ 19,094

Debt securities, at fair value under the fair value option 158 164

Equity securities 99 116

Mortgage loans 4,666 4,739

Mortgage loans, at fair value under the fair value option

Policy loans 3,490 3,483

Derivative instruments, net 38.4 ( 13.1 )

Limited partnerships 537.8 124.9

Freestanding derivative instruments, net 51 37

Other invested assets 793 715

Cash and cash equivalents 450 438

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Total liabilities $ 27,199 $ 29,007

(1) Includes funds withheld embedded derivative of $ 271.7 million and 826.6 million at September 30, 2021 and December 31, 2020, respectively.

(1) Certain assets are reported at amortized cost while the fair value of those assets is reported in the embedded derivative in the funds withheld liability.

The sources of income related to funds withheld under reinsurance treaties reported in net investment income in the consolidated income statements were as follows (in millions):

Three Months Ended September 30, Nine Months Ended September 30,

2021 2020 2021 2020

(2) Includes funds withheld embedded derivative asset (liability) of $ 1,161 million and $( 120 ) million at March 31, 2022 and December 31, 2021, respectively.

The sources of income related to funds withheld under reinsurance treaties reported in net investment income in the Condensed Consolidated Income Statements were as follows (in millions):

Three Months Ended March 31,

Debt securities (1)

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Limited partnerships 16 3

Other investment income — 1.4 0.2 1.5

Total investment income on funds withheld assets 282 321

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Total net investment income on funds withheld reinsurance treaties $ 260 $ 291

(1) Includes $( 6 ) million and $( 1 ) as of March 31, 2022 and 2021, respectively, related to the change in fair value for securities carried under the fair value option.

(2) Includes $ 2 million and nil as of March 31, 2022 and 2021, respectively, related to the change in fair value for mortgage loans carried under the fair value option.

(3) Includes management fees.

The gains and losses on funds withheld reinsurance treaties as a component of net gains (losses) on derivatives and investments in the Condensed Consolidated Income Statements were as follows (in millions):

Three Months Ended September 30, Nine Months Ended September 30,

2021 2020 2021 2020

Three Months Ended March 31,

Available-for-sale securities

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Credit loss expense ( 28 ) —

Gross impairments — — — ( 1.6 )

Credit loss expense on mortgage loans ( 2 ) 7

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Net gains (losses) on funds withheld payable under reinsurance treaties (1)

( 233.2 ) ( 422.7 ) ( 350.5 ) ( 626.4 )

Total net gains (losses) on derivatives and investments $ 1,028 $ 898

(1) Includes the Athene embedded derivative gain (loss) of $ 101.2 million and $ 554.9 million for the three and nine months ended September 30, 2021, respectively, and $( 189.6 ) million and $( 468.6 ) million for the three and nine months ended September 30, 2020, respectively.

(1) Includes the Athene embedded derivative gain (loss) of $ 1,281 million and $ 998 million for the three months ended March 31, 2022, and 2021, respectively.

While the economic benefits of the funds withheld assets flow to the respective reinsurers, Jackson retains physical possession and legal ownership of the investments supporting the reserves.

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Components of the Company’s reinsurance recoverable were as follows (in millions):

September 30, December 31,

March 31, December 31,

Life $ 5,764 $ 5,829

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Reserves for Future Policy Benefits and Claims Payable and Other Contract Holder Funds

For traditional life insurance contracts, which include term and whole life, reserves for future policy benefits are determined using the net level premium method and assumptions as of the issue date or acquisition date as to mortality, interest, lapse and expenses, plus provisions for adverse deviations.

These assumptions are not unlocked unless the reserve is determined to be deficient.

Interest rate assumptions range from 2.5 % to 6.0 %.

Lapse, mortality, and expense assumptions for recoverability are based primarily on Company experience.

The Company’s liability for future policy benefits also includes net liabilities for guaranteed benefits related to certain nontraditional long-duration life and annuity contracts, which are further discussed in Note 10.

Group payout annuities consist of a closed block of defined benefit annuity plans.

The liability for future benefits for these limited payment contracts is calculated using assumptions as of the acquisition date as to mortality and expense plus provisions for adverse deviation.

In conjunction with a prior acquisition, the Company recorded a fair value adjustment at acquisition related to certain annuity and interest sensitive liability blocks of business to reflect the cost of the interest guarantees within the in-force liabilities, based on the difference between the guaranteed interest rate and an assumed new money guaranteed interest rate at acquisition.

This adjustment was recorded in reserves for future policy benefits and claims payable.

This reserve is reassessed at the end of each period, taking into account changes in the in-force block.

Any resulting change in the reserve is recorded as a change in policy reserve through the consolidated income statements.

The following table sets forth the Company’s reserves for future policy benefits and claims payable balances (in millions):

September 30, December 31,

March 31, December 31,

Traditional life $ 4,127 $ 4,187

Guaranteed benefits (1)

6,039.0 8,508.5

Claims payable 1,135 1,050

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(1) Primarily i ncludes the embedded derivative liabilities related to the GMWB reserve.

For traditional life insurance contracts, which include term and whole life, reserves are determined using the net level premium method and assumptions as of the issue date or acquisition date as to mortality, interest rates, lapse and expenses plus provisions for adverse deviation.

These assumptions are not unlocked unless the reserve is determined to be deficient.

The Company’s liability for future policy benefits also includes liabilities for guaranteed benefits related to certain nontraditional long-duration life and annuity contracts, which are further discussed in Note 9.

The following table sets forth the Company’s liabilities for other contract holder funds balances (in millions):

September 30, December 31,

March 31, December 31,

Interest-sensitive life $ 11,438 $ 11,570

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Total $ 59,843 $ 59,689

(1) Includes the embedded derivative liabilities related to fixed index annuity of $ 1,439.7 million and $ 1,483.9 million at September 30, 2021 and December 31, 2020, respectively.

(1) Includes the embedded derivative liabilities related to RILA of $ 16 million and $ 6 million at March 31, 2022 and December 31, 2021, respectively.

(2) Includes the embedded derivative liabilities related to fixed index annuity of $ 1,299 million and $ 1,439 million at March 31, 2022 and December 31, 2021, respectively.

For interest-sensitive life contracts, liabilities approximate the policyholder’s account value, plus the remaining balance of the fair value adjustment related to previously acquired business, which is further discussed below.

The liability for fixed index annuities is based on three components, 1) the imputed value of the underlying guaranteed host contract, 2) the fair value of the embedded option component of the contract, and 3) the liability for guaranteed benefits related to the optional lifetime income rider.

For fixed annuities, variable annuity fixed option, and other investment contracts, as included in the above table, the liability is the policyholder’s account value, plus the unamortized balance of the fair value adjustment related to previously acquired business.

The liability for fixed index annuities and registered index linked annuities is based on three components, 1) the imputed value of the underlying guaranteed host contract, 2) the fair value of the embedded option component of the contract, and 3) the liability for guaranteed benefits related to the optional lifetime income rider.

For fixed annuities, variable annuity fixed option, and other investment contracts, as included in the above table, the liability is the account value, plus the unamortized balance of the fair value adjustment related to previously acquired business.

For payout annuities, as included in the above table, reserves are determined under the methodology for limited-payment contracts (for those with significant life contingencies) or using a constant yield method and assumptions as of the issue date for mortality, interest rates, lapse and expenses plus provisions for adverse deviations.

At September 30, 2021, the Company had interest sensitive life business with minimum guaranteed interest rates ranging from 2.5 % to 6.0 % with a 4.68 % average guaranteed rate and fixed interest rate annuities with minimum guaranteed rates ranging from 1.0 % to 5.5 % and a 2.01 % average guaranteed rate.

The Company recorded a fair value adjustment at acquisition related to certain annuity and interest sensitive liability blocks of business to reflect the cost of the interest guarantees within the in-force liabilities, based on the difference between the guaranteed interest rate and an assumed new money guaranteed interest rate at acquisition.

This adjustment was recorded in reserves for future policy benefits and claims payable.

This reserve is reassessed at the end of each period, taking into

account changes in the in-force block.

Any resulting change in the reserve is recorded as a change in reserve through the condensed consolidated income statements.

At both September 30, 2021 and December 31, 2020, approximately 95 % of the Company’s annuity account values correspond to crediting rates that are at the minimum guaranteed interest rates.

The following tables show the distribution of the fixed interest rate annuities’ account values within the presented ranges of minimum guaranteed interest rates (in millions):

September 30, 2021

At March 31, 2022, the Company had interest sensitive life business with minimum guaranteed interest rates ranging from 2.5 % to 6.0 % with a 4.68 % average guaranteed rate and fixed interest rate annuities with minimum guaranteed rates ranging from 1.0 % to 5.5 % and a 1.99 % average guaranteed rate.

At March 31, 2022 and December 31, 2021, approximately 93 % and 94 %, respectively, of the Company’s annuity account values correspond to crediting rates that are at the minimum guaranteed interest rates.

The following tables show the distribution of the annuity account values within the presented ranges of minimum guaranteed interest rates, excluding the reinsured business (in millions):

March 31,2022

Guaranteed Interest Rate Account Value

Fixed Fixed Index Variable Total

Fixed Fixed Index RILA Variable Total

1.0% $ 162 $ 295 $ 4 $ 6,304 $ 6,765

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Guaranteed Interest Rate Account Value

Fixed Fixed Index Variable Total

Fixed Fixed Index RILA Variable Total

1.0% $ 156 $ 279 $ 1 $ 5,988 $ 6,424

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Total $ 14,354 $ 13,333 $ 1 $ 9,456 $ 37,144

At September 30, 2021 and December 31, 2020, approximately 80 % of the Company’s interest sensitive life business account values correspond to crediting rates that are at the minimum guaranteed interest rates.

At both March 31, 2022 and December 31, 2021, approximately 80 % of the Company’s interest sensitive life business account values correspond to crediting rates that are at the minimum guaranteed interest rates.

The following table shows the distribution of the interest sensitive life business account values within the presented ranges of minimum guaranteed interest rates, excluding the business that is subject to the previously mentioned retro treaties (in millions):

Guaranteed Interest Rate September 30, 2021 December 31, 2020

March 31, December 31,

Guaranteed Interest Rate 2022 2021

Account Value - Interest Sensitive Life

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Total $ 11,438 $ 11,570

The Company has established a $ 23.0 billion aggregate Global Medium Term Note program.

Jackson National Life Global Funding was formed as a statutory business trust, solely for the purpose of issuing Medium Term Note instruments to institutional investors, the proceeds of which are deposited with the Company and secured by the issuance of funding

The carrying values at September 30, 2021 and December 31, 2020 totaled $ 6.3 billion and $ 8.4 billion, respectively.

The Company has established a $ 23 billion aggregate Global Medium Term Note ("MTN") program.

The carrying values at March 31, 2022 and December 31, 2021 totaled $ 6.1 billion and $ 6.0 billion, respectively.

Those Medium-Term Note instruments issued in a foreign currency have been hedged for changes in exchange rates using cross-currency swaps.

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Foreign currency translation gains and losses are included in net gains (losses) on derivatives and investments.

Jackson and Squire Re are members of the FHLBI primarily for the purpose of participating in the bank’s mortgage-collateralized loan advance program with short-term and long-term funding facilities.

Advances are in the form of short-term or long-term notes or funding agreements issued to FHLBI.

At both September 30, 2021 and December 31, 2020, the Company held $ 125.4 million of FHLBI capital stock, supporting $ 1.6 billion and $ 1.9 billion in funding agreements, short-term and long-term borrowings at September 30, 2021 and December 31, 2020, respectively.

Jackson and Squire Re are members of the FHLBI primarily for the purpose of participating in the bank’s mortgage-collateralized loan advance program with long-term funding facilities.

Advances are in the form of long-term notes or funding agreements issued to FHLBI.

At March 31, 2022 and December 31, 2021, the Company held $ 146 million and $ 125 million of FHLBI capital stock, respectively, supporting $ 2.6 billion and $ 2.0 billion in funding agreements and long-term borrowings at March 31, 2022 and December 31, 2021, respectively.

The Company’s institutional products business is comprised of the traditional guaranteed investment contracts, medium-term funding agreement-backed notes and funding agreements (including agreements issued in conjunction with the Company’s participation in the U.S.

Federal Home Loan Bank ("FHLB") program) described above.

Certain Nontraditional Long-Duration Contracts and Variable Annuity Guarantees

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Separate account net investment income, net investment realized and unrealized gains and losses, and the related liability changes are offset within the same line item in the Condensed Consolidated Income Statements.

At September 30, 2021 and December 31, 2020, the Company provided variable annuity contracts with guarantees, for which the net amount at risk is defined as the amount of guaranteed benefit in excess of current account value, as follows (dollars in millions):

At March 31, 2022 and December 31, 2021, the Company provided variable annuity contracts with guarantees, for which the net amount at risk is defined as the amount of guaranteed benefit in excess of current account value, as follows (dollars in millions):

Minimum Return Account

Value Net Amount at Risk Weighted Average Attained Age Average Period until Expected Annuitization

September 30, 2021

March 31, 2022

Return of net deposits plus a minimum return

2 unchanged sentences

GMWB 0 - 5 %*

GMAB - Premium only 0 % — —

Highest specified anniversary account value

18 unchanged sentences

GMWB 0 - 5 %*

GMAB - Premium only 0 % 39.4 —

Highest specified anniversary account value

2 unchanged sentences

GMWB - Highest anniversary only 3,919 33

GMWB 646.0 55.4

Combination net deposits plus minimum return,

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Account balances of contracts with guarantees were invested in variable separate accounts as follows (in millions):

September 30, December 31,

$ 145,386.1 $ 132,213.0

20,211.3 20,202.9

41,708.4 39,626.1

1,830.0 1,861.6

$ 209,135.8 $ 193,903.6

March 31, December 31,

Equity $ 142,087 $ 154,368

Bond 18,803 20,207

Balanced 40,466 43,185

Money market 1,886 1,564

Total $ 203,242 $ 219,324

GMDB liabilities reflected in the general account were as follows (in millions):

Nine Months Ended September 30,

Three Months Ended March 31,

Balance as of beginning of period $ 1,370 $ 1,418

$ 1,418.3 $ 1,282.9

Incurred guaranteed benefits 255 44

Paid guaranteed benefits ( 36 ) ( 32 )

( 78.3 ) ( 110.0 )

Balance as of end of period $ 1,589 $ 1,430

$ 1,513.4 $ 1,487.9

The GMDB liability is determined by estimating the expected value of death benefits in excess of the projected account balance and recognizing the excess ratably over the accumulation period based on total expected assessments.

The Company regularly evaluates estimates used and adjusts the liability balance through the condensed consolidated income statement, within death, other policy benefits and change in policy reserves, if actual experience or other evidence suggests that earlier assumptions should be revised.

The following assumptions and methodology were used to determine the GMDB liability at both September 30, 2021 and December 31, 2020 (except where otherwise noted):

The Company regularly evaluates estimates used and adjusts the liability balance through the Condensed Consolidated Income Statements, within death, other policy benefits and change in policy reserves, if actual experience or other evidence suggests that earlier assumptions should be revised.

The following assumptions and methodology were used to determine the GMDB liability at both March 31, 2022 and December 31, 2021 (except where otherwise noted):

• Use of a series of stochastic investment performance scenarios, based on historical average market volatility.

• Mean investment performance assumption of 7.15 %, after investment management fees, but before external investment advisory fees and mortality and expense charges.

• Mortality equal to 38 % to 100 % of the IAM 2012 basic table improved using Scale G through 2019.

• Mortality equal to 38 % to 100 % of the 2012 Individual Annuity Mortality ("IAM") basic table improved using Scale G2 through 2020.

• Lapse rates varying by contract type, duration and degree the benefit is in-the-money and ranging from 0.3 % to 27.9 % (before application of dynamic adjustments).

3 unchanged sentences

The fair value of these liabilities is determined using stochastic modeling and inputs as further described in Note 6.

The fair valued GMWB had a reserve liability of $ 3,091.6 million and $ 5,592.1 million at September 30, 2021 and December 31, 2020, respectively, and was reported in reserves for future policy benefits and claims payable.

The fair valued GMWB had a reserve liability of $ 452 million and $ 2,626 million at March 31, 2022 and December 31, 2021, respectively, and was reported in reserves for future policy benefits and claims payable.

The Company has also issued certain GMWB products that guarantee payments over a lifetime.

Reserves for the portion of these benefits after the point where the guaranteed withdrawal balance is exhausted are calculated using assumptions and methodology similar to the GMDB liability.

At September 30, 2021 and December 31, 2020, these GMWB reserves totaled

$ 196.6 million and $ 181.3 million, respectively, and were reported in reserves for future policy benefits and claims payable.

GMAB benefits were offered on some variable annuity plans.

At March 31, 2022 and December 31, 2021, these GMWB reserves totaled $ 223 million and $ 196 million, respectively, and were reported in reserves for future policy benefits and claims payable.

GMAB benefits were offered on some variable annuity products.

However, the Company no longer offers these benefits and all have expired as of June 30, 2021.

The GMAB had an asset value that was immaterial to the consolidated financial statements at December 31, 2020.

The direct GMIB liability is determined at each period end by estimating the expected value of the annuitization benefits in excess of the projected account balance at the date of annuitization and recognizing the excess ratably over the accumulation period based on total expected assessments.

The assumptions used for calculating the direct GMIB liability are consistent with those used for calculating the GMDB liability.

At September 30, 2021 and December 31, 2020, GMIB reserves before reinsurance totaled $ 82.3 million and $ 86.9 million, respectively.

At March 31, 2022 and December 31, 2021, GMIB reserves before reinsurance totaled $ 97 million and $ 78 million, respectively.

Other Liabilities – Insurance and Annuitization Benefits

1 unchanged sentence

Liabilities for these benefits, as established according to the methodologies described below, are as follows:

September 30, 2021 December 31, 2020

March 31, 2022 December 31, 2021

Benefit Type Liability

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• Other experience assumptions similar to those used in amortization of deferred acquisition costs.

• Discount rates equal to credited interest rates, approximately 3.0 % to 5.5 % at both September 30, 2021 and December 31, 2020.

• Discount rates equal to credited interest rates, approximately 3.0 % to 5.5 % at both March 31, 2022 and December 31, 2021.

The Company also has a small closed block of two-tier annuities, where different crediting rates are used for annuitization and surrender benefit calculations.

A liability is established to cover future annuitization benefits in excess of surrender values and was immaterial to the condensed consolidated financial statements at both September 30, 2021 and December 31, 2020.

A liability is established to cover future annuitization benefits in excess of surrender values and was immaterial to the Condensed Consolidated Financial Statements at both March 31, 2022 and December 31, 2021, respectively.

The Company also offers an optional lifetime income rider with certain of its fixed index annuities.

The liability established for this rider before reinsurance was $ 30.4 million and $ 18.1 million at September 30, 2021 and December 31, 2020, respectively.

Short-Term and Long-Term Debt

The aggregate carrying value of short-term and long-term debt were as follows (in millions):

September 30, December 31,

Short-Term Debt

Term loan due 2022 1,601.7 —

Long-Term Debt

Term loan due 2023 $ 750.8 $ —

Surplus notes 249.7 249.7

FHLBI bank loans 68.0 72.3

Total long-term debt $ 1,068.5 $ 322.0

Scheduled Maturities of Debt

Due in less than 1 year $ 1,601.7

Due in more than 1 to 5 years 750.8

Due after 5 years 317.7

Total $ 2,670.2

On February 22, 2021, the Company entered into loan facilities including a $ 1.0 billion revolving credit facility (the “Revolving Facility”), a $ 1.7 billion senior unsecured delayed draw term loan facility that matures in May 2022 (the “2022 DDTL Facility”) and a $ 1.0 billion senior unsecured delayed draw term loan facility that matures in February 2023 (the “2023 DDTL Facility”, and together with the Revolving Facility and the 2022 DDTL Facility, the “Credit Facilities”) with a syndicate of banks.

The Revolving Facility provides liquidity backstop.

On September 10, 2021, the Company borrowed an aggregate principal amount of $ 2.35 billion under the term loan facilities as follows:

$ 1.6 billion under the 2022 DDTL Facility and $ 750.0 million under the 2023 DDTL Facility.

The proceeds of those borrowings were used for general corporate purposes, including liquidity at the holding company and capitalization of the insurance subsidiaries.

Under the terms of the credit agreement for the DDTL Facilities, subject to certain exceptions, 100% of the net cash proceeds from any debt issuance, preferred equity issuance or hybrid instrument issuance by the Company or its subsidiaries is required to be applied (i) first to prepay the then outstanding principal amount and accrued interest thereon, if any, under the 2022 DDTL Facility and (ii) thereafter, to prepay the then outstanding principal amount and accrued interest thereon, if any, under the 2023 DDTL Facility.

Surplus Notes

Under Michigan Insurance Law, for statutory reporting purposes, the surplus notes are not part of the legal liabilities of the Company and are considered surplus funds.

Payments of interest or principal may only be made with the prior approval of the commissioner of insurance of the state of Michigan and only out of surplus earnings which the commissioner determines to be available for such payments under Michigan Insurance Law.

On March 15, 1997, the Company, through its subsidiary, Jackson, issued 8.15 % surplus notes in the principal amount of $ 250.0 million due March 15, 2027.

These surplus notes were issued pursuant to Rule 144A under the Securities Act of 1933, as amended, and are unsecured and subordinated to all present and future indebtedness, policy claims and other creditor claims and may not be redeemed at the option of the Company or any holder prior to maturity.

Interest is payable semi-annually on March 15th and September 15th of each year.

Interest expense on the notes was $ 5.1 million and $ 15.3 million for the three and nine months ended September 30, 2021, respectively.

Interest expense on the notes was $ 5.2 million and $ 15.4 million for the three and nine months ended September 30, 2020, respectively.

On November 6, 2019, the Company, through its subsidiary, Brooke Life, issued a 4.5 % surplus note payable to its ultimate parent, Prudential plc, in the principal amount of $ 2.0 billion due November 6, 2059.

In exchange, the Company remitted a return of capital of $ 2.0 billion to Prudential, plc.

In June 2020, Prudential transferred this note to the Company’s newly

formed subsidiary, Jackson Finance, LLC (“Jackson Finance”).

As settlement, the Company issued shares as further described in Note 18.

As a result of the transfer, this note is considered intercompany and is eliminated in consolidation.

This surplus note was issued pursuant to Rule 144A under the Securities Act of 1933, as amended, and is unsecured and subordinated to all present and future indebtedness, policy claims and other creditor claims.

This note may be redeemed subject to prior approval of the Michigan Department of Insurance and Financial Services and at the mutual agreement of the Company and the holder after the thirtieth anniversary of the note’s issuance.

Interest is payable semi-annually on March 15th and September 15th of each year.

Interest expense on the notes was nil and $ 41.0 million for the three and nine months ended September 30, 2020.

The Company received loans of $ 50.0 million from the FHLBI under its community investment program in both 2015 and 2014, which amortize on a straight-line basis over the loan term.

The weighted average interest rate on these loans was 0.10 % and 0.58 % for the for the nine months ended September 30, 2021 and 2020.

The outstanding balance on these loans was $ 68.1 million and $ 72.3 million at September 30, 2021 and December 31, 2020, respectively.

At September 30, 2021, the loans were collateralized by mortgage-related securities and commercial mortgage loans with a carrying value of $ 92.7 million.

On November 7, 2019, the Company, issued a $ 350.0 million short-term note payable to Standard Chartered Bank, which was guaranteed by the Company’s ultimate parent, Prudential plc.

In exchange, the Company paid a dividend of $ 350.0 million to Prudential.

This note accrued interest at LIBOR plus 0.20 % per annum and was due November 7, 2020.

In 2020, the Company transferred this note, plus all outstanding interest due, to Prudential and in turn the Company issued shares as further described in Note 18.

Interest expense on the notes was nil and $ 3.6 million for the three and nine months ended September 30, 2020, respectively.

The liability established for this rider before reinsurance was $ 41 million and $ 37 million at March 31, 2022 and December 31, 2021, respectively.

Federal Home Loan Bank Advances

The Company, through its subsidiary, Jackson, entered into a short-term advance program with the FHLBI in which interest rates were either fixed or variable based on the FHLBI cost of funds or market rates.

Advances of nil and $ 380.0 million were outstanding at September 30, 2021 and December 31, 2020, respectively, and were recorded in other liabilities.

On March 27, 2020, H.R.

748, the Coronavirus Aid, Relief, and Economic Security Act (the "CARES Act”) was signed into law and included a tax provision allowing a five-year carryback of net operating losses for years 2018 through 2020.

As a result of this provision, the Company recognized a tax benefit of $ 19.0 million and $ 35.3 million during the three and nine months ended September 30, 2020, respectively.

The Company, through its subsidiary, Jackson, entered into an advance program with the FHLBI in which interest rates were either fixed or variable based on the FHLBI cost of funds or market rates.

Advances of $ 500 million and nil were outstanding at March 31, 2022 and December 31, 2021, respectively, and were recorded in other liabilities.

The Company uses the estimated annual effective tax rate (“ETR”) method in computing the interim tax provision.

Certain items, including those deemed unusual, infrequent, or that cannot be reliably estimated, are treated as discrete items and excluded from the estimated annual ETR.

The actual tax expense or benefit is reported in the same period as the related item.

In these cases, the actual tax expense or benefit is reported in the same period as the related item.

Certain tax effects are also not reflected in the estimated annual ETR, primarily certain changes in the realizability of deferred tax assets and uncertain tax positions and are recorded in the period in which the change occurs.

The estimated annual ETR is revised, as necessary, at the end of successive interim reporting periods.

The Company’s effective income tax rate was ( 8.6 )% and 16.5 % for the three and nine months ended September 30, 2021, compared with 28.3 % and 25.4 % for the same periods in 2020.

The effective tax rate differs from the statutory rate of 21% primarily due to the dividends received deduction and utilization of tax credits.

The reduction in the effective tax rate for the three months ended September 30, 2021 was due to the relationship of taxable income to consolidated pre-tax income and the impact of the provision-to-return adjustments recorded in the current quarter.

The reduction in the effective tax rate for the nine months ended September 30, 2021 was due to the relationship of taxable income to consolidated pre-tax income, the impact of the CARES Act recorded in 2020, offset by the impact of the provision-to-return adjustments recorded in the current quarter.

The Company's effective income tax rate of 16.5 % for the nine months ended

September 30, 2021 differs from the effective tax rate of 34.3 % for the full year-ended December 31, 2020 due to the relationship of taxable income to consolidated pre-tax income, the provision-to-return adjustments recorded in the current quarter compared to the provision-to-return adjustments recorded in 2020, true-ups related to prior years, and the impact of the CARES Act recorded in 2020.

Segment Information

The Company has three reportable segments consisting of Retail Annuities, Institutional Products, Closed Life and Annuity Block, plus its Corporate and Other segment.

These segments reflect the manner by which the Company’s chief operating decision maker views and manages the business.

The following is a brief description of the Company’s reportable segments.

Retail Annuities

A fixed index annuity is designed for investors who desire principal protection with the opportunity to participate in capped upside investment returns linked to a reference market index.

The Company also provides access to guaranteed lifetime income as an add-on benefit.

The financial results of the Company’s fixed annuities, including the fixed portion of its variable annuity account values and fixed index annuities, are largely dependent on the Company’s ability to earn a spread between earned investment rates on general account assets and the interest credited to contract holders.

Institutional Products

The Company’s Institutional Products consist of traditional GICs, funding agreements (including agreements issued in conjunction with the Company’s participation in the U.S.

FHLBI program) and medium-term note funding agreements.

The Company’s GIC products are marketed to defined contribution pension and profit sharing retirement plans.

The financial results of the Company’s institutional products business are primarily dependent on the Company’s ability to earn spreads on general account assets.

Closed Life and Annuity Blocks

Although the Company historically offered traditional life insurance products, it discontinued new sales of life insurance products in 2012.

The Company’s Closed Life and Annuity Blocks segment includes life insurance products offered through that point, including various protection products, such as whole life, universal life, variable universal life and term life insurance products that provide financial safety for individuals and their families.

This segment distributed these products primarily through independent insurance agents;

independent broker-dealers;

regional broker-dealers;

registered investment advisers;

and banks, credit unions and other financial institutions, primarily to the mass market.

This segment also includes acquired closed blocks consisting primarily of life insurance.

The Company’s Closed Life and Annuity Blocks segment also includes group pay-out annuities, consisting of a closed block of defined benefit annuity plans assumed from John Hancock USA and John Hancock Life Insurance Company of New York through a reinsurance agreement.

A single premium payment from an employer (contract holder) funds the

pension benefits for its employees (participants).

The contracts are tailored to meet the requirements of the specific pension plan being covered.

Corporate and Other

The Company’s Corporate and Other segment primarily consists of the operations of its investment management company, VIE’s and unallocated corporate income and expenses.

The Corporate and Other segment also includes certain eliminations and consolidation adjustments.

Segment Performance Measurement

The Company uses the same accounting policies and procedures to measure segment pretax adjusted operating earnings as used in its reporting of consolidated net income.

Operating revenues and pretax adjusted operating earnings should not be used as a substitute for net income as calculated in accordance with GAAP.

Pretax adjusted operating earnings equals net income adjusted to eliminate the impact of the following items:

• 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:

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 former 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;

• Income taxes.

As detailed above, the fees attributed to guaranteed benefits, the associated movements in optional guaranteed benefit liabilities, and related claims and benefit payments are excluded from pretax adjusted operating earnings, as the Company believes this approach appropriately removes the impact to both revenue and expenses associated with the guaranteed benefit features that are offered for certain variable annuities and fixed index annuities.

Set forth in the tables below is certain information with respect to the Company’s segments, as described above (in millions):

Three Months Ended September 30, 2021 Retail Annuities Closed Life

Blocks Institutional

Products Corporate

Other Intersegment Eliminations Total

Operating Revenues

Fee income $ 1,089.9 $ 122.5 $ — $ 32.4 $ ( 14.1 ) $ 1,230.7

Premium — 38.2 — — — 38.2

Net investment income 180.7 244.4 68.7 ( 55.2 ) 48.8 487.4

Income on operating derivatives 13.3 18.4 ( 1.1 ) 7.9 — 38.5

Other income 11.8 7.6 — ( 2.8 ) — 16.6

Total Operating Revenues 1,295.7 431.1 67.6 ( 17.7 ) 34.7 1,811.4

Operating Benefits and Expenses

Death, other policy benefits and change in policy

reserves, net of deferrals 24.6 218.2 — — — 242.8

Interest credited on other contract holder funds, net

of deferrals (1)

66.3 103.0 47.3 — — 216.6

Interest expense (1)

5.7 — ( 1.9 ) 2.5 — 6.3

Operating costs and other expenses, net of deferrals 512.5 37.6 1.1 49.9 — 601.1

Deferred acquisition and sales inducements

amortization 159.4 4.0 — — 10.0 173.4

Total Operating Benefits and Expenses 768.5 362.8 46.5 52.4 10.0 1,240.2

Pretax Adjusted Operating Earnings $ 527.2 $ 68.3 $ 21.1 $ ( 70.1 ) $ 24.7 $ 571.2

Three Months Ended September 30, 2020 Retail Annuities Closed Life

Blocks Institutional

Products Corporate

Other Intersegment Eliminations Total

Operating Revenues

Fee income $ 881.0 $ 127.3 $ — $ 39.2 $ ( 17.8 ) $ 1,029.7

Premium — 49.7 — — — 49.7

Net investment income 135.3 245.6 87.6 ( 26.4 ) 49.8 491.9

Income on operating derivatives 10.2 21.4 — 6.6 — 38.2

Other income 12.9 7.6 — 1.0 — 21.5

Total Operating Revenues 1,039.4 451.6 87.6 20.4 32.0 1,631.0

Operating Benefits and Expenses

Death, other policy benefits and change in policy

reserves, net of deferrals 22.4 237.0 — — — 259.4

Interest credited on other contract holder funds, net

of deferrals 65.1 107.2 58.0 — — 230.3

Interest expense 5.8 — 2.0 — — 7.8

Operating costs and other expenses, net of deferrals 464.2 39.3 1.3 32.7 — 537.5

Deferred acquisition and sales inducements

amortization ( 61.0 ) 3.2 — — 8.1 ( 49.7 )

Total Operating Benefits and Expenses 496.5 386.7 61.3 32.7 8.1 985.3

Pretax Adjusted Operating Earnings $ 542.9 $ 64.9 $ 26.3 $ ( 12.3 ) $ 23.9 $ 645.7

Nine Months Ended September 30, 2021 Retail Annuities Closed Life

Blocks Institutional

Products Corporate

Other Intersegment Eliminations Total

Operating Revenues

Fee income $ 3,135.6 $ 370.5 $ — $ 101.3 $ ( 43.8 ) $ 3,563.6

Premium — 109.5 — — — 109.5

Net investment income 529.4 705.8 189.1 ( 99.8 ) 145.9 1,470.4

Income on operating derivatives 41.9 56.1 ( 1.1 ) 20.3 — 117.2

Other income 35.4 29.3 — 5.5 — 70.2

Total Operating Revenues 3,742.3 1,271.2 188.0 27.3 102.1 5,330.9

Operating Benefits and Expenses

Death, other policy benefits and change in policy

reserves, net of deferrals 42.1 630.9 — — — 673.0

Interest credited on other contract holder funds, net

of deferrals (1)

199.9 309.6 147.1 — — 656.6

Interest expense (1)

16.5 — — 2.5 — 19.0

Operating costs and other expenses, net of deferrals 1,472.5 116.1 3.6 156.3 — 1,748.5

Deferred acquisition and sales inducements

amortization 232.6 11.0 — — 24.9 268.5

Total Operating Benefits and Expenses 1,963.6 1,067.6 150.7 158.8 24.9 3,365.6

Pretax Adjusted Operating Earnings $ 1,778.7 $ 203.6 $ 37.3 $ ( 131.5 ) $ 77.2 $ 1,965.3

Nine Months Ended September 30, 2020 Retail Annuities Closed Life

Blocks Institutional

Products Corporate

Other Intersegment Eliminations Total

Operating Revenues

Fee income $ 2,530.7 $ 385.8 $ — $ 126.3 $ ( 62.8 ) $ 2,980.0

Premium — 143.6 — — — 143.6

Net investment income 762.1 543.9 284.4 ( 103.8 ) 127.0 1,613.6

Income on operating derivatives 35.9 39.2 — 15.1 — 90.2

Other income 17.3 13.4 1.6 3.3 — 35.6

Total Operating Revenues 3,346.0 1,125.9 286.0 40.9 64.2 4,863.0

Operating Benefits and Expenses

Death, other policy benefits and change in policy

reserves, net of deferrals 40.2 642.5 — — — 682.7

Interest credited on other contract holder funds,

net of deferrals 463.1 321.8 194.4 — — 979.3

Interest expense 21.5 — 14.9 44.6 — 81.0

Operating costs and other expenses,

net of deferrals 1,313.5 115.7 3.9 125.5 — 1,558.6

Deferred acquisition and sales inducements

amortization 102.8 10.9 — — 17.2 130.9

Total Operating Benefits and Expenses 1,941.1 1,090.9 213.2 170.1 17.2 3,432.5

Pretax Adjusted Operating Earnings $ 1,404.9 $ 35.0 $ 72.8 $ ( 129.2 ) $ 47.0 $ 1,430.5

(1) At September 30, 2021, interest expense recorded for certain funding agreements has been reclassified to interest credited on other contract holder funds for Institutional Products, prospectively.

Included in the intersegment eliminations in the above tables, is the elimination from fee income and investment income of investment fees paid by Jackson to PPM, and the elimination of investment income between Retail Annuities and the Corporate and Other segments.

The following table summarizes the reconciling items from the non-GAAP measure of operating revenues to the GAAP measure of total revenues attributable to the Company (in millions):

Three Months Ended September 30, Nine Months Ended September 30,

2021 2020 2021 2020

Total operating revenues $ 1,811.4 $ 1,631.0 $ 5,330.9 $ 4,863.0

Fees attributed to variable annuity benefit reserves 728.1 633.7 2,100.7 1,858.3

Net gains (losses) on derivatives and investments ( 1,417.9 ) ( 2,542.9 ) ( 1,311.7 ) ( 4,608.0 )

Net investment income related to noncontrolling interests 61.9 21.7 186.3 ( 37.8 )

Consolidated investments 3.2 90.5 34.5 23.9

Net investment income on funds withheld assets 299.6 277.1 884.5 506.0

Total revenues $ 1,486.3 $ 111.1 $ 7,225.2 $ 2,605.4

Three Months Ended September 30, Nine Months Ended September 30,

2021 2020 2021 2020

Total operating benefits and expenses $ 1,240.2 $ 985.3 $ 3,365.6 $ 3,432.5

Benefits attributed to variable annuity benefit reserves 25.0 32.0 91.4 121.9

Amortization of DAC and DSI related to non-operating revenues and expenses ( 169.4 ) ( 349.0 ) 283.7 ( 980.7 )

SOP 03-1 reserve movements 126.4 ( 67.4 ) 122.8 266.7

Athene reinsurance transaction — 34.9 — 2,081.6

Other items 12.4 7.2 63.0 11.2

Total benefits and expenses $ 1,234.6 $ 643.0 $ 3,926.5 $ 4,933.2

Three Months Ended September 30, Nine Months Ended September 30,

2021 2020 2021 2020

Pretax adjusted operating earnings $ 571.2 $ 645.7 $ 1,965.3 $ 1,430.5

Non-operating adjustments (income) loss:

Fees attributable to guarantee benefit reserves 728.1 633.7 2,100.7 1,858.3

Net movement in freestanding derivatives ( 493.3 ) ( 3,530.3 ) ( 3,966.3 ) ( 812.4 )

Net reserve and embedded derivative movements ( 996.7 ) 1,378.1 2,221.8 ( 5,158.6 )

DAC and DSI impact 169.3 349.1 ( 283.8 ) 980.9

Net realized investment gains (losses) including change in fair value of funds withheld embedded derivative ( 79.1 ) ( 355.4 ) 218.7 974.5

Loss on funds withheld reinsurance transaction — ( 34.9 ) — ( 2,081.6 )

Net investment income on funds withheld assets 299.6 277.1 884.5 506.0

Other items ( 9.3 ) 83.3 ( 28.5 ) 12.4

Pretax income (loss) attributable to Jackson Financial Inc.

189.8 ( 553.6 ) 3,112.4 ( 2,290.0 )

Income tax expense (benefit) ( 16.4 ) ( 157.0 ) 514.7 ( 580.8 )

Net income (loss) attributable to Jackson Financial, Inc.

$ 206.2 $ ( 396.6 ) $ 2,597.7 $ ( 1,709.2 )

Commitments, Contingencies, and Guarantees

The Company’s effective income tax rate was 14.0 % for the three months ended March 31, 2022, compared with 16.7 % for the same period in 2021.

The effective tax rate differs from the statutory rate of 21% primarily due to the dividends received deduction and utilization of foreign tax credits.

The effective tax rate differs for the three months ended March 31, 2022 and March 31, 2021 due to the relationship of taxable income to consolidated pre-tax income.

The effective tax rate differs for the three months ended March 31, 2022 from the full year-ended December 31, 2021 effective tax rate of 15.9 % due to the relationship of taxable income to consolidated pre-tax income, the provision-to-return adjustments recorded in 2021 and the net interest related to income taxes recorded in 2021 .

Commitments and Contingencies

The Company and its subsidiaries are involved in litigation arising in the ordinary course of business.

It is the opinion of management that the ultimate disposition of such litigation will not have a material adverse effect on the Company's

financial condition.

It is the opinion of management that the ultimate disposition of such litigation will not have a material adverse effect on the Company's financial condition.

Jackson has been named in civil litigation proceedings, which appear to be substantially similar to other class action litigation brought against many life insurers including allegations of misconduct in the sale of insurance products.

The Company accrues for legal contingencies once the contingency is deemed to be probable and reasonably estimable.

At September 30, 2021, the Company had unfunded commitments related to its investments in limited partnerships and limited liability companies totaling $ 1,489.1 million.

At September 30, 2021, unfunded commitments related to fixed-rate commercial mortgage loans and other debt securities totaled $ 1,555.3 million.

At March 31, 2022, the Company had unfunded commitments related to its investments in limited partnerships and limited liability companies totaling $ 1,807 million.

At March 31, 2022, unfunded commitments related to fixed-rate mortgage loans and other debt securities totaled $ 1,956 million.

Other Related Party Transactions

The Company's investment management operation, PPM, provides investment services to certain Prudential affiliated entities.

The Company recognized $ 9.4 million and $ 9.8 million of revenue during the three months ended September 30, 2021 and 2020, and $ 28.1 million and $ 26.9 million of revenue during the nine months ended September 30, 2021 and 2020, associated with these investment services.

This revenue is included in fee income in the accompanying consolidated income statements.

The Company, through its PGDS subsidiary, provides various information security and technology services to certain Prudential affiliated entities.

The Company recognized $ 0.8 million and $ 0.4 million of revenue during the three months ended September 30, 2021 and 2020, and $ 3.4 million and $ 1.1 million of revenue during the nine months ended September 30, 2021 and 2020, associated with these services.

This revenue is included in other income in the accompanying consolidated income statements and is substantially equal to the costs incurred to provide the services, which are reported in operating costs and other expenses in the consolidated income statements.

As a result of the previously mentioned investment management agreement between Jackson and Apollo, an affiliate of Athene, the Company pays Apollo management fees which are calculated and paid monthly in arrears.

The Company incurred $ 25.7 million and $ 27.4 million during the three months ended September 30, 2021 and 2020, and $ 79.6 million and $ 31.5 million during the nine months ended September 30, 2021 and 2020, associated with these services.

The Company recognized $ 9 million and $ 10 million of revenue during the three months ended March 31, 2022, and 2021, associated with these investment services.

This revenue was included in fee income in the accompanying Condensed Consolidated Income Statements.

The investments in the segregated account related to the coinsurance agreement with Athene are subject to an investment management agreement between Jackson and Apollo Insurance Solutions Group LP (“Apollo”), which merged with Athene in 2022.

Apollo management fees, which are calculated and paid monthly in arrears, are paid directly from the funds withheld account, administered by Athene.

These payments were $ 22 million and $ 28 million during the three months ended March 31, 2022, and 2021, associated with these services.

Operating Costs and Other Expenses

The following table is a summary of the Company’s operating costs and other expenses (in millions):

Three Months Ended September 30, Nine Months Ended September 30,

2021 2020 2021 2020

Three Months Ended March 31,

Asset-based commission expenses $ 275 $ 267

Other commission expenses 240 266

262.9 261.4 792.4 744.8

Athene ceding commission (1)

— 28.5 — ( 1,202.6 )

General and administrative expenses 271 264

1 unchanged sentence

Total operating costs and other expenses $ 607 $ 598

(1) See Note 7 for further information

Accumulated Other Comprehensive Income

The following table represents changes in the balance of accumulated other comprehensive income (" AOCI"), net of income tax, related to unrealized investment gains (losses) (in millions):

Three Months Ended September 30, Nine Months Ended September 30,

2021 2020 2021 2020

Accumulated Other Comprehensive Income (Loss)

The following table represents changes in the balance of AOCI, net of income tax, related to unrealized investment gains (losses) (in millions):

Three Months Ended March 31,

Balance, beginning of period (1)

$ 1,744 $ 3,821

OCI before reclassifications ( 313.6 ) 489.0 ( 1,552.2 ) 2,085.7

Amounts reclassified from AOCI ( 31.4 ) ( 67.8 ) ( 223.2 ) ( 631.8 )

Change in unrealized appreciation (depreciation) of investments ( 3,581 ) ( 3,092 )

Change in unrealized appreciation (depreciation) - other 171 155

Change in deferred tax asset 738 636

Other comprehensive income (loss) before reclassifications ( 2,672 ) ( 2,301 )

Reclassifications from AOCI, net of tax ( 11 ) ( 77 )

Other comprehensive income (loss) ( 2,683 ) ( 2,378 )

Balance, end of period (1)

$ ( 939 ) $ 1,443

(1) Includes $ 481.3 million, $ 1,212.8 million, and $ 1,213.9 million related to the investments held within the funds withheld account related to the Athene Reinsurance Transaction as of September 30, 2021, December 31, 2020, and September 30, 2020, respectively.

(1) Includes $( 686 ) million and $ 287 million related to the investments held within the funds withheld account related to the Athene Reinsurance Transaction as of March 31, 2022 and December 31, 2021, respectively.

The following table represents amounts reclassified out of AOCI (in millions):

AOCI Components Amounts

Reclassified from AOCI Affected Line Item in the

Consolidated Income Statement

Three Months Ended September 30,

Net unrealized investment gain (loss):

Net realized gain (loss) on investments $ ( 40.0 ) $ ( 87.2 ) Net gains (losses) on derivatives and investments

Other impaired securities — 1.3 Net gains (losses) on derivatives and investments

Net unrealized gain (loss), before income taxes ( 40.0 ) ( 85.9 )

Income tax expense (benefit) ( 8.6 ) ( 18.1 )

Reclassifications, net of income taxes $ ( 31.4 ) $ ( 67.8 )

AOCI Components Amounts

Reclassified from AOCI Affected Line Item in the

Reclassified from AOCI Affected Line Item in the Condensed

Consolidated Income Statement

Nine Months Ended September 30,

Three Months Ended March 31,

Net unrealized investment gain (loss):

1 unchanged sentence

Other impaired securities 18 — Net gains (losses) on derivatives and investments

Net unrealized gain (loss), before income taxes ( 284.6 ) ( 799.8 )

Net unrealized gain (loss) ( 13 ) ( 102 )

Amortization of deferred acquisition costs ( 2 ) 5

Reclassifications, before income taxes ( 15 ) ( 97 )

Income tax expense (benefit) ( 4 ) ( 20 )

6 unchanged sentences

Except for voting rights, the Company’s Class A Common Stock and Class B Common Stock have the same dividend rights, are equal in all respects, and are otherwise treated as if they were one class of shares.

At both September 30, 2021 and December 31, 2020, the Company was authorized to issue up to 900 million shares of Class A stock and 100 million shares of Class B stock.

On September 9, 2021, the Company effected a 104,960.3836276 -for-1 stock split of its Class A common stock and Class B common stock by way of a reclassification of its Class A common stock and Class B common stock.

The incremental par value of the newly issued shares was recorded with the offset to additional paid-in capital.

All share and earnings per share information presented herein have been retroactively adjusted to reflect the stock split.

At both September 30, 2021 and December 31, 2020, there were 93,099,859 shares of Class A common stock and 1,364,484 shares of Class B common stock issued and outstanding, as all share information presented herein has been retroactively adjusted to reflect the stock split.

In June 2020, the Company formed a new subsidiary, Jackson Finance, LLC (“Jackson Finance”), a Michigan limited liability company.

Subsequently, Prudential and Jackson Finance entered into an Assignment and Assumption Agreement, whereby Prudential assigned to Jackson Finance all of its right, title, and interest in a $ 2.0 billion surplus note issued by Brooke Life, an affiliate of the Company, to Prudential in exchange for Jackson Finance giving an undertaking to Prudential to pay the $ 2.0 billion principal plus accrued interest (“JF Receivable”).

Subsequently, the Company issued 39,255,183 shares of Class A common stock to a Prudential affiliate, adjusted for the effect of the stock split, pursuant to a share subscription and accepted the JF Receivable in settlement of the share subscription, ultimately resulting in a cashless transaction in which the surplus note was contributed to Jackson Finance.

On June 24, 2020, the Company entered into a Supplemental Agreement in respect to its outstanding $ 350.0 million loan with Standard Chartered Bank, pursuant to which the Company transferred the loan to its ultimate parent, Prudential, the former guarantor of the loan.

The Company established a payable to Prudential for the $ 350.0 million, plus all outstanding interest due, and Prudential, in turn, set up a receivable, which was contributed to the Company’s parent.

Subsequently, the Company issued 6,927,385 shares of Class A common stock to Prudential, adjusted for the effect of the stock split, pursuant to a subscription agreement and accepted the receivable in settlement of the share subscription under a deed of assignment and settlement, ultimately resulting in a cashless transaction.

On June 18, 2020, the Company entered into an investment agreement with Athene Life Re Ltd., pursuant to which Athene invested $ 500.0 million of capital into the Company in return for a 9.9 percent voting interest corresponding to a 11.1 percent economic interest in the Company.

The investment was completed on July 17, 2020 and the Company issued 9,131,553 shares of Class A common stock and 1,364,484 shares of Class B common stock to Athene, adjusted for the effect of the stock split.

Subsequently, in August 2020, the Company ultimately made a $ 500.0 million capital contribution to its insurance company subsidiary, Jackson.

Effective July 17, 2020, the 83,968,306 split-adjusted shares of Class A common stock issued to the Company’s parent, Prudential, with a par value of $ 125.00 per share, were reclassified and converted into Class A common stock with a par value of $ 0.01 per share.

At March 31, 2022 and December 31, 2021, the Company was authorized to issue up to 900 million shares of Class A Common Stock and 100 million shares of Class B Common Stock.

Share Repurchases

On February 28, 2022, our Board of Directors authorized an increase of $ 300 million in our existing share repurchase authorization of JFI's Class A Common Stock.

As of May 4, 2022, the Company had remaining authority to purchase $ 230 million of its common shares.

The Company expects to repurchase shares from time to time in the open market or in privately negotiated transactions.

The timing, form and amount of the share repurchases under the program are at the discretion of management and will depend on a variety of factors, including funds available at the parent company, other potential uses for such funds, market conditions, the Company's capital position, legal requirements and other factors.

The repurchase program may be modified, extended or terminated by the Board at any time.

It does not have an expiration date.

The following table represents share repurchase activities:

Period Number of Shares Repurchased Total Payments

(in millions) Average Price Paid Per Share

2021(October 1 - December 31) 5,778,649 $ 211 $ 36.51

Total 2021 5,778,649 211 36.51

2022 (January 1- March 31) 3,433,610 140 40.84

2022 (April 1- May 4) 433,299 19 43.37

Total 2022 3,866,909 $ 159 $ 41.12

The following table represents changes in the balance of common shares outstanding:

Common Stock Treasury Stock Total Common Stock Outstanding

Shares outstanding at December 31, 2021 94,464,343 ( 5,778,649 ) 88,685,694

Share-based compensation programs (1)

2,706 8,818 11,524

Shares repurchased under repurchase program — ( 3,433,610 ) ( 3,433,610 )

Shares outstanding at March 31, 2022 94,467,049 ( 9,203,441 ) 85,263,608

(1) Represents net shares issued from treasury pursuant to the Company’s share-based compensation programs.

On December 13, 2021, we repurchased 2,242,516 shares of our Class A Common Stock from Prudential and 1,134,767 shares of our Class A Common Stock from Athene.

The price per share in the repurchase was $ 37.01 .

On December 13, 2021, Athene converted a total of 725,623 shares of its Class B common stock to Class A Common Stock on a one-for-one basis.

On February 1, 2022, Athene converted the remaining 638,861 shares of its Class B Common Stock to Class A Common Stock on a one-for-one basis.

On March 12, 2022, we repurchased 750,000 shares of our Class A Common Stock from Athene.

The price per share in the repurchase was $ 37.89 .

Dividends to Shareholders

There were no dividends declared or paid to the Company’s stockholders for three and nine months ended September 30, 2021 and 2020, respectively.

Incentive Stock Plan

In April 2021, the Company’s board of directors adopted, and the Company’s stockholders approved, the Jackson Financial Inc.

2021 Omnibus Incentive Plan (the “Incentive Plan”).

This Incentive Plan became effective following the completion of the Demerger, and replaces the Prudential PLTIP and Retention Share Plans.

The outstanding unvested awards previously issued under the Prudential PLTIP and Retention Share Plans were exchanged for equivalent awards over shares of JFI’s Class A common stock under the Incentive Plan, with a grant date of October 4, 2021.

Additionally on October 4, 2021, the Company granted awards for the 2021 plan year which were delayed pending completion of the Demerger.

The incremental compensation cost resulting from the modifications will be recognized ratably over the remaining requisite service period of each award.

Cumulative Effect of Changes in Accounting Principles

In 2020, the Company adopted ASU No.

2016-13 and all related amendments with a cumulative effect pre-tax adjustment at September 30, 2020 of $ 70.2 million to reduce retained earnings primarily related to the Company’s commercial mortgage loans.

Any declaration of cash dividends will be at the discretion of JFI’s Board of Directors and will depend on our financial condition, earnings, liquidity and capital requirements, regulatory constraints, level of indebtedness, contractual restrictions with respect to paying cash dividends, restrictions imposed by Delaware law, general business conditions and any other factors that JFI’s Board of Directors deems relevant in making any such determination.

Therefore, there can be no assurance that we will pay any cash dividends to holders of our common stock or approve any stock repurchase program, or as to the amount of any such cash dividends or stock repurchases.

The following table presents declaration date, record date, payment date and dividends paid on per JFI’s Class A and Class B common shares:

Three Months Ended Declaration Date Record Date Payment Date Dividends Paid Per Share

03/31/2022 February 28, 2022 March 14, 2022 March 23, 2022 $ 0.55

03/31/2021 N/A N/A N/A N/A

Earnings Per Share

Basic earnings per share is calculated by dividing net income (loss) attributable to Jackson Financial Inc.

stockholders by the weighted-average number of Class A and Class B common shares outstanding during the period.

Diluted earnings per share would be calculated by dividing the net income (loss) attributable to Jackson Financial Inc.

stockholders, by the weighted-average number of shares of Class A common stock and Class B common stock outstanding for the period, plus shares representing the dilutive effect of share-based awards.

For the three and nine months ended September 30, 2021 and 2020, the Company did not have any outstanding share-based awards involving the issuance of the Company’s equity and, therefore, no impact to the diluted earnings per share calculation.

On October 4, 2021, the Company granted share-based awards totaling approximately 7.2 million shares subject to vesting provisions of the Incentive Plan, which will have a dilutive effect.

shareholders by the weighted-average number of Class A and Class B common shares outstanding during the period.

Diluted earnings per share is calculated by dividing the net income (loss) attributable to Jackson Financial Inc.

shareholders, by the weighted-average number of shares of Class A Common Stock and Class B Common Stock outstanding for the period, plus shares representing the dilutive effect of share-based awards.

For the three months ended March 31, 2021, the Company did not have any outstanding share-based awards involving the issuance of the Company’s equity and, therefore, no impact to the diluted earnings per share calculation.

The Company grants share-based awards subject to vesting provisions as provided in the Company's 2021 Omnibus Incentive Plan, which have a dilutive effect.

See Note 16 for further description of share-based awards in the Company's Annual Report on Form 10-K for year ended December 31, 2021.

The following table sets forth the calculation of earnings per common share:

Three Months Ended September 30, Nine Months Ended September 30,

2021 2020 2021 2020

Three Months Ended March 31,

(in millions, except share and per share data)

2 unchanged sentences

Weighted average shares of common stock outstanding - basic 86,352,586 94,464,343

Dilutive common shares 3,607,276 —

Weighted average shares of common stock outstanding - diluted 89,959,862 94,464,343

3 unchanged sentences

Subsequent Events

The Company has evaluated events through November 10, 2021, which is the date the condensed consolidated financial statements were available to be issued.

The Company has evaluated subsequent events through the date these Condensed Consolidated Financial Statements were issued.

Dividends Declared to Shareholders

On November 8, 2021, our Board of Directors approved the commencement of a regular quarterly cash dividend and declared a fourth quarter cash dividend on JFI's Class A and Class B common stock of $ 0.50 per share, payable on December 9, 2021 to shareholders of record on November 19, 2021.

Share Repurchase Authorization

On November 8, 2021, our Board of Directors authorized a share repurchase authorization of JFI's Class A common stock of $ 300 million.

On May 9, 2022, our Board of Directors approved a second quarter cash dividend on JFI's Class A Common Stock of $ 0.55 per share, payable on June 16, 2022 to shareholders of record on June 2, 2022.

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 1. Financial Statements