What changed in this filing

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Item 1. Financial Statements

2023-11-08 compared with 2023-08-08 · 426 added, 481 removed, 2571 unchanged (26% of the section changed)

3 unchanged sentences

(in millions, except share data)

June 30, December 31,

September 30, December 31,

2023 2022 (1)

Assets (Unaudited)

Debt Securities, available-for-sale, net of allowance for credit losses of $ 16 and $ 23 at June 30, 2023 and December 31, 2022, respectively (amortized cost:

Debt Securities, available-for-sale, net of allowance for credit losses of $ 26 and $ 23 at September 30, 2023 and December 31, 2022, respectively (amortized cost:

2023 $ 46,203 ;

4 unchanged sentences

Equity securities, at fair value 277 393

Mortgage loans, net of allowance for credit losses of $ 162 and $ 95 at June 30, 2023 and December 31, 2022, respectively

Mortgage loans, net of allowance for credit losses of $ 200 and $ 95 at September 30, 2023 and December 31, 2022, respectively

10,136 10,967

Mortgage loans, at fair value under fair value option 476 582

Policy loans (including $ 3,438 and $ 3,419 at fair value under the fair value option at June 30, 2023 and December 31, 2022, respectively)

Policy loans (including $ 3,432 and $ 3,419 at fair value under the fair value option at September 30, 2023 and December 31, 2022, respectively)

Freestanding derivative instruments 925 1,270

4 unchanged sentences

Deferred acquisition costs 12,447 12,923

Reinsurance recoverable, net of allowance for credit losses of $ 39 and $ 15 at June 30, 2023 and December 31, 2022, respectively

Reinsurance recoverable, net of allowance for credit losses of $ 33 and $ 15 at September 30, 2023 and December 31, 2022, respectively

26,212 29,046

9 unchanged sentences

Market risk benefit liabilities, at fair value 3,917 5,662

Funds withheld payable under reinsurance treaties (including $ 3,602 and $ 3,582 at fair value under the fair value option at June 30, 2023 and December 31, 2022, respectively)

Funds withheld payable under reinsurance treaties (including $ 3,599 and $ 3,582 at fair value under the fair value option at September 30, 2023 and December 31, 2022, respectively)

19,973 22,957

14 unchanged sentences

Common stock;

1,000,000,000 shares authorized, $ 0.01 par value per share and 81,910,831 and 82,690,098 shares issued and outstanding at June 30, 2023 and December 31, 2022, respectively (See Note 20)

1,000,000,000 shares authorized, $ 0.01 par value per share and 80,051,900 and 82,690,098 shares issued and outstanding at September 30, 2023 and December 31, 2022, respectively (See Note 20)

Additional paid-in capital 6,007 6,063

Treasury stock, at cost;

12,570,175 and 11,784,813 shares at June 30, 2023 and December 31, 2022, respectively

14,429,106 and 11,784,813 shares at September 30, 2023 and December 31, 2022, respectively

( 537 ) ( 443 )

Accumulated other comprehensive income (loss), net of tax expense (benefit) of $( 127 ) and $( 66 ) at June 30, 2023 and December 31, 2022, respectively

Accumulated other comprehensive income (loss), net of tax expense (benefit) of $( 354 ) and $( 66 ) at September 30, 2023 and December 31, 2022, respectively

( 5,187 ) ( 3,378 )

10 unchanged sentences

(Unaudited, in millions, except per share data)

Three Months Ended June 30, Six Months Ended June 30,

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

2023 2022 (1)

39 unchanged sentences

(Unaudited, in millions)

Three Months Ended June 30, Six Months Ended June 30,

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

2023 2022 (1)

3 unchanged sentences

Change in unrealized gains (losses) on securities with no credit impairment net of tax expense (benefit) of:

$( 34 ) and $( 390 ), for the three months ended June 30, 2023 and 2022, respectively, and $ 58 and $( 1,167 ) for the six months ended June 30, 2023 and 2022, respectively.

$( 62 ) and $( 347 ), for the three months ended September 30, 2023 and 2022, respectively, and $( 4 ) and $( 1,514 ) for the nine months ended September 30, 2023 and 2022, respectively.

( 1,223 ) ( 2,069 ) ( 787 ) ( 7,783 )

Change in unrealized gains (losses) on securities with credit impairment, net of tax expense (benefit) of:

$( 1 ) and $ 2 million for the three months ended June 30, 2023 and 2022, respectively, and $( 3 ) and $ 6 for the six months ended June 30, 2023 and 2022, respectively.

$( 4 ) and $( 5 ) million for the three months ended September 30, 2023 and 2022, respectively, and $( 7 ) and $ 1 for the nine months ended September 30, 2023 and 2022, respectively.

( 15 ) ( 18 ) ( 24 ) 4

Change in current discount rate related to reserve for future policy benefits, net of tax expense (benefit) of $ 21 and $ 128 for the three months ended June 30, 2023 and 2022, respectively, and $( 11 ) and $ 294 for the six months ended June 30, 2023 and 2022, respectively.

Change in current discount rate related to reserve for future policy benefits, net of tax expense (benefit) of $ 55 and $ 99 for the three months ended September 30, 2023 and 2022, respectively, and $ 44 and $ 393 for the nine months ended September 30, 2023 and 2022, respectively.

199 361 160 1,423

Change in non-performance risk on market risk benefits, net of tax expense (benefit) of $( 165 ) and $ 220 for the three months ended June 30, 2023 and 2022, respectively, and $( 105 ) and $ 422 for the six months ended June 30, 2023 and 2022, respectively.

Change in non-performance risk on market risk benefits, net of tax expense (benefit) of $( 216 ) and $ 120 for the three months ended September 30, 2023 and 2022, respectively, and $( 321 ) and $ 542 for the nine months ended September 30, 2023 and 2022, respectively.

( 783 ) 432 ( 1,158 ) 1,963

13 unchanged sentences

Stock Stock Capital at Cost Income Earnings Equity Interests Equity

Balances as of March 31, 2023 $ 533 $ 1 $ 6,070 $ ( 510 ) $ ( 2,308 ) $ 4,852 $ 8,638 $ 829 $ 9,467

Balances as of June 30, 2023 $ 533 $ 1 $ 5,997 $ ( 466 ) $ ( 3,365 ) $ 5,952 $ 8,652 $ 771 $ 9,423

Net income (loss) — — — — — 2,773 2,773 17 2,790

1 unchanged sentence

Change in equity of noncontrolling interests — — — — .

— — ( 13 ) ( 13 )

Dividends on preferred stock — — — — — ( 11 ) ( 11 ) — ( 11 )

2 unchanged sentences

Share based compensation — — 10 1 — ( 1 ) 10 — 10

Balances as of June 30, 2023 $ 533 $ 1 $ 5,997 $ ( 466 ) $ ( 3,365 ) $ 5,952 $ 8,652 $ 771 $ 9,423

Balances as of September 30, 2023 $ 533 $ 1 $ 6,007 $ ( 537 ) $ ( 5,187 ) $ 8,661 $ 9,478 $ 775 $ 10,253

Additional Treasury Other Total Non-

1 unchanged sentence

Stock Stock Capital at Cost Income Earnings Equity Interests Equity

Balances as of March 31, 2022 (1)

Balances as of June 30, 2022 (1)

$ — $ 1 $ 6,020 $ ( 371 ) $ ( 1,739 ) $ 5,795 $ 9,706 $ 747 $ 10,453

5 unchanged sentences

Share based compensation — — 16 — — — 16 — 16

Balances as of June 30, 2022 (1)

Balances as of September 30, 2022 (1)

$ — $ 1 $ 6,036 $ ( 410 ) $ ( 3,033 ) $ 7,625 $ 10,219 $ 729 $ 10,948

12 unchanged sentences

Share based compensation — — ( 56 ) 142 — ( 52 ) 34 — 34

Balances as of June 30, 2023 $ 533 $ 1 $ 5,997 $ ( 466 ) $ ( 3,365 ) $ 5,952 $ 8,652 $ 771 $ 9,423

Balances as of September 30, 2023 $ 533 $ 1 $ 6,007 $ ( 537 ) $ ( 5,187 ) $ 8,661 $ 9,478 $ 775 $ 10,253

Additional Treasury Other Total Non-

9 unchanged sentences

Share based compensation — — ( 15 ) 80 — — 65 — 65

Balances as of June 30, 2022 (1)

Balances as of September 30, 2022 (1)

$ — $ 1 $ 6,036 $ ( 410 ) $ ( 3,033 ) $ 7,625 $ 10,219 $ 729 $ 10,948

5 unchanged sentences

(Unaudited, in millions)

Six Months Ended June 30,

Nine Months Ended September 30,

2023 2022 (1)

35 unchanged sentences

(Unaudited, in millions)

Six Months Ended June 30,

Nine Months Ended September 30,

2023 2022 (1)

5 unchanged sentences

Proceeds from (payments on) repurchase agreements and securities lending ( 1,020 ) ( 1,563 )

Net proceeds from (payments on) Federal Home Loan Bank notes 180 —

Net proceeds from (payments on) debt ( 46 ) ( 784 )

31 unchanged sentences

Jackson Financial, domiciled in the state of Delaware 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 a stand-alone U.S.

The Company's demerger from Prudential was completed on September 13, 2021 ("Demerger"), and the Company is a stand-alone U.S.

public company.

19 unchanged sentences

JNAM manages and oversees those sub-advisers;

• Service provider:

PGDS (US One) LLC (“PGDS”), which provides certain services to the Company and certain former affiliates;

• Other insignificant wholly-owned subsidiaries.

The Company's Condensed Consolidated Financial Statements also include other insignificant partnerships, limited liability companies (“LLCs”) and other variable interest entities (“VIEs”) in which the Company is deemed the primary beneficiary.

On August 6, 2021, the Company's Class A Common Stock was registered on a Form 10 registration statement filed with the U.S.

Securities and Exchange Commission (the "SEC") and became effective under the Securities Exchange Act of 1934, as amended.

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.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 1.

Business and Basis of Presentation

Basis of Presentation

6 unchanged sentences

The condensed consolidated financial information as of December 31, 2022, included herein, has been derived from the audited Consolidated Financial Statements, as so recast.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 1.

Business and Basis of Presentation

The Company adopted Accounting Standards Update (“ASU”) 2018-12, “Targeted Improvements to the Accounting for Long-Duration Contracts” (“LDTI”), effective January 1, 2023, with a transition date of January 1, 2021.

3 unchanged sentences

In the opinion of management, these Condensed Consolidated Financial Statements include all normal recurring adjustments necessary for a fair presentation of the Company’s results.

Operating results for the three and six months ended June 30, 2023, are not necessarily indicative of the results that may be expected for the full year ending December 31, 2023.

Operating results for the three and nine months ended September 30, 2023, are not necessarily indicative of the results that may be expected for the full year ending December 31, 2023.

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

2 unchanged sentences

GAAP requires the use of estimates and assumptions about future events that affect the amounts reported in the Condensed Consolidated Financial Statements and the accompanying notes.

Significant estimates or assumptions, as further discussed in the notes, include:

Significant estimates or assumptions, as further discussed in these notes, include:

• Valuation of investments and derivative instruments, including fair values of securities deemed to be in an illiquid market and the determination of when an impairment is necessary;

11 unchanged sentences

Changes in estimates, including those resulting from continuing changes in the economic environment, will be reflected in the Consolidated Financial Statements in the periods the estimates are changed.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 1.

Business and Basis of Presentation

Revision of Prior Period Financial Statements

In 2022, the Company identified errors related to the classification of certain balances and amounts in the line items of the Condensed Consolidated Balance Sheets and Condensed Consolidated Income Statements.

These errors resulted in the revision of balances and amounts related to deferred sales inducement assets, liabilities for certain life-contingent annuities, sub-advisor fee expenses, and other operating expense items that impacted previously issued Condensed Consolidated Financial Statements.

The impact of these errors to the prior periods' Condensed Consolidated Financial Statements were not considered to be material and had no impact on shareholders' equity or net income (loss).

However, to improve the consistency and comparability of the financial statements, management revised the financial statements and related disclosures in this quarterly report.

See Note 22 to the Notes to Condensed Consolidated Financial Statements for details of the revisions.

New Accounting Standards

7 unchanged sentences

In December 2022, the FASB issued ASU 2022-06, “Reference Rate Reform (Topic 848):

Deferral of the Sunset Date of Topic 848” which defers the sunset date of Topic 848 from December 31, 2022 to December 31, 2024, after which entities will no longer be permitted to apply the relief in Topic 848.

Deferral of the Sunset Date of Topic 848” which defers the sunset date of Topic 848 from December

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 2.

New Accounting Standards

31, 2022 to December 31, 2024, after which entities will no longer be permitted to apply the relief in Topic 848.

The amendments are effective for all entities as of December 21, 2022.

4 unchanged sentences

Under the full retrospective transition approach, the Company applied the guidance as of the transition date, using actual historical assumption information as of contract inception, as if the accounting principle had always been applied.

Amounts reported as of June 30, 2023 and December 31, 2022 and for the three and six months ended June 30, 2023 and 2022 within these Condensed Consolidated Financial Statements are accounted for and presented in accordance with U.S.

Amounts reported as of September 30, 2023 and December 31, 2022 and for the three and nine months ended September 30, 2023 and 2022 within these Condensed Consolidated Financial Statements are accounted for and presented in accordance with U.S.

GAAP reflecting the adoption of LDTI.

3 unchanged sentences

Changes in fair value are recorded and presented separately within the income statement, with the exception of changes in fair value due to non-performance risk, which are recognized in other comprehensive income (loss) (“OCI”);

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 2.

New Accounting Standards

Deferred acquisition costs:

10 unchanged sentences

The resulting change in the value of these benefits at the transition date, net of the related deferred tax effect, is recognized in retained earnings, with the exception of the cumulative effect of changes in non-performance risk, net of the related deferred tax effect, which is recognized in AOCI;

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 2.

New Accounting Standards

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

10 unchanged sentences

Total $ ( 2,603 ) $ ( 385 )

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 2.

New Accounting Standards

The following table presents amounts previously reported as of December 31, 2020, to reflect the effect of the change due to the adoption of LDTI, and the adjusted amounts as of January 1, 2021 (in millions):

21 unchanged sentences

Additionally, at transition, where net premiums exceeded gross premiums at the cohort level, the Company set net premiums equal to gross premiums and recognized the resulting increase in the liability for future policy benefits as an adjustment to opening retained earnings.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 2.

New Accounting Standards

The following table presents the impact of the adoption of LDTI, as of the transition date, on reserves for future policy benefits and claims payable (in millions):

13 unchanged sentences

(1) Includes variable annuity embedded derivatives that were reclassed to market risk benefits.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 2.

New Accounting Standards

The following table presents the impact of the adoption of LDTI, as of the transition date, on Closed Block Life additional liabilities for universal life-type contracts (in millions):

9 unchanged sentences

The remaining difference between the carrying value of these contract features under the insurance accrual model prior to transition to LDTI and the fair value measured at transition was recorded as an adjustment to retained earnings as of the transition date.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 2.

New Accounting Standards

The following table presents the impact of the adoption of LDTI, as of the transition date, on MRBs, net (in millions):

14 unchanged sentences

Balance, January 1, 2021 - Deferred acquisition costs $ 13,876 $ 167 $ 14,043

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 2.

New Accounting Standards

Reinsurance recoverable

12 unchanged sentences

Balance, January 1, 2021 - Reinsurance recoverable on market risk benefits at fair value $ 368 $ 103 $ 471

The adoption of LDTI resulted in an increase in net income attributable to Jackson Financial of $ 360 million and $ 529 million for the three and six months ended June 30, 2022, respectively, and also resulted in an increase in total equity of $ 223 million for the year ended December 31, 2022.

The adoption of LDTI resulted in an increase in net income attributable to Jackson Financial of $ 400 million and $ 929 million for the three and nine months ended September 30, 2022, respectively, and also resulted in an increase in total equity of $ 223 million for the year ended December 31, 2022.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 2.

New Accounting Standards

The following table presents amounts previously reported in the Consolidated Balance Sheets as of December 31, 2022, to reflect the effect of the change due to the adoption of LDTI, and the adjusted amounts as of December 31, 2022 (in millions):

18 unchanged sentences

Total liabilities and equity $ 311,058 $ 3,925 $ 314,983

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 2.

New Accounting Standards

The following table presents amounts previously reported in Condensed Consolidated Income Statements as revised ( see Note 22- Revision and Reclassifications of Prior Period Financial Statements for further details ) for the three and six months ended June 30, 2022, to reflect the effect of the change due to the adoption of LDTI, and the adjusted amounts (in millions):

As revised As Adjusted

The following table presents amounts previously reported in Condensed Consolidated Income Statements for the three and nine months ended September 30, 2022, to reflect the effect of the change due to the adoption of LDTI, and the adjusted amounts (in millions, except per share amounts):

As Previously Reported As Adjusted

Three Months Ended Effect of Three Months Ended

June 30, 2022 Changes June 30, 2022

September 30, 2022 Changes September 30, 2022

Total net gains (losses) on derivatives and investments $ 1,419 $ ( 1,060 ) $ 359

15 unchanged sentences

Diluted $ 16.83 $ 4.55 $ 21.38

As revised As Adjusted

Six Months Ended Effect of Six Months Ended

June 30, 2022 Changes June 30, 2022

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 2.

New Accounting Standards

As Previously Reported As Adjusted

Nine Months Ended Effect of Nine Months Ended

September 30, 2022 Changes September 30, 2022

Total net gains (losses) on derivatives and investments $ 6,891 $ ( 3,055 ) $ 3,836

15 unchanged sentences

Diluted $ 71.73 $ 10.40 $ 82.13

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 2.

New Accounting Standards

The following table presents amounts previously reported in Condensed Consolidated Statements of Comprehensive Income (Loss) as revised ( see Note 22- Revision and Reclassifications of Prior Period Financial Statements for further details ) for the three and six months ended June 30, 2022, to reflect the effect of the change due to the adoption of LDTI, and the adjusted amounts (in millions):

As Revised As Adjusted

The following table presents amounts previously reported in Condensed Consolidated Statements of Comprehensive Income (Loss) for the three and nine months ended September 30, 2022, to reflect the effect of the change due to the adoption of LDTI, and the adjusted amounts (in millions):

As Previously Reported As Adjusted

Three Months Ended Effect of Three Months Ended

June 30, 2022 Changes June 30, 2022

September 30, 2022 Changes September 30, 2022

Net income (loss) $ 1,468 $ 400 $ 1,868

6 unchanged sentences

$ ( 517 ) $ 1,102 $ 585

As Revised As adjusted

Six Months Ended Effect of Six Months Ended

June 30, 2022 Changes June 30, 2022

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 2.

New Accounting Standards

As Previously Reported As adjusted

Nine Months Ended Effect of Nine Months Ended

September 30, 2022 Changes September 30, 2022

Net income (loss) $ 6,458 $ 929 $ 7,387

6 unchanged sentences

$ ( 1,055 ) $ 3,998 $ 2,943

The adoption of LDTI did not affect the previously reported as revised ( see Note 22- Revision and Reclassifications of Prior Period Financial Statements for further details ) totals for net cash flows provided by (used in) operating, investing, or financing activities, but did affect the following components of net cash flows provided by (used in) operating activities:

As Revised As Adjusted

Six Months Ended Effect of Six Months Ended

June 30, 2022 Changes June 30, 2022

The adoption of LDTI did not affect the previously reported totals for net cash flows provided by (used in) operating, investing, or financing activities, but did affect the following components of net cash flows provided by (used in) operating activities:

As Previously Reported As Adjusted

Nine Months Ended Effect of Nine Months Ended

September 30, 2022 Changes September 30, 2022

Cash flows from operating activities:

11 unchanged sentences

Net cash provided by (used in) operating activities $ 2,941 $ — $ 2,941

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 2.

New Accounting Standards

In addition, information regarding periods ended on or before December 31, 2022 presented in the following Notes to the Condensed Consolidated Financial Statements has been recast to reflect the adoption of LDTI:

8 unchanged sentences

Effective January 1, 2023, the Company adopted ASU 2022-02, which did not have a material impact to the Condensed Consolidated Financial Statements.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 3.

Segment Information

The Company has three reportable segments:

13 unchanged sentences

The financial results of the Company’s fixed annuities, including the fixed option on variable annuities, 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.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 3.

Segment Information

Institutional Products

8 unchanged sentences

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) and John Hancock Life Insurance Company of New York 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 was a more efficient means of diversifying our in-force business than selling new life insurance products.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 3.

Segment Information

insurance policies was 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.

2 unchanged sentences

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

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 3.

Segment Information

Segment Performance Measurement

5 unchanged sentences

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

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

Pretax adjusted operating earnings equals net income adjusted to eliminate the impact of the items described in the following numbered paragraphs.

These items are excluded from pretax adjusted operating earnings as they may vary significantly from period to period due to near-term market conditions and therefore are not directly comparable or reflective of the underlying performance of our business.

We believe these exclusions provide investors a better picture of the drivers of our underlying performance.

Net Hedging Results:

5 unchanged sentences

and (v) the impact on the valuation of Guaranteed Benefits and Net Hedging Results arising from changes in underlying actuarial assumptions.

We believe this approach appropriately removes the impact to both revenue and related expenses associated with Guaranteed Benefits and Net Hedging Results and provides investors a better picture of the drivers of our underlying performance.

We believe excluding these items removes the impact to both revenue and related expenses associated with Guaranteed Benefits and Net Hedging Results.

Net Realized Investment Gains and Losses:

2 unchanged sentences

and (ii) impairments of securities, after adjustment for the non-credit component of the impairment charges.

We believe this approach provides investors a better picture of the drivers of our underlying performance.

Change in Value of Funds Withheld Embedded Derivative and Net Investment Income on Funds Withheld Assets:

2 unchanged sentences

and (ii) net investment income on funds withheld assets related to funds withheld reinsurance transactions.

These items are excluded from pretax adjusted operating earnings as they are not reflective of the underlying performance of our business.

We believe this approach provides investors a better picture of the drivers of our underlying performance.

Comprised of:

1 unchanged sentence

GAAP accounting requirements, such as our investments in collateralized loan obligations ("CLOs"), but for which the consolidation effects are not consistent with our economic interest or exposure to those entities, and (ii) one-time or other non-recurring items.

These items are excluded from pretax adjusted operating earnings as they are not reflective of the underlying performance of our business.

We believe this approach provides investors a better picture of the drivers of our underlying performance.

Income taxes.

2 unchanged sentences

Set forth in the tables below is certain information with respect to the Company’s segments, as described above (in millions, 2022 information recast for the adoption of LDTI):

Three Months Ended June 30, 2023 Retail Annuities Institutional

Three Months Ended September 30, 2023 Retail Annuities Institutional

Products Closed Life

19 unchanged sentences

Pretax Adjusted Operating Earnings $ 354 $ 21 $ 6 $ ( 26 ) $ 355

Three Months Ended June 30, 2022 Retail Annuities Institutional

Three Months Ended September 30, 2022 Retail Annuities Institutional

Products Closed Life

20 unchanged sentences

Segment Information

Six Months Ended June 30, 2023 Retail Annuities Institutional

Nine Months Ended September 30, 2023 Retail Annuities Institutional

Products Closed Life

19 unchanged sentences

Pretax Adjusted Operating Earnings $ 1,038 $ 47 $ ( 7 ) $ ( 116 ) $ 962

Six Months Ended June 30, 2022 Retail Annuities Institutional

Nine Months Ended September 30, 2022 Retail Annuities Institutional

Products Closed Life

19 unchanged sentences

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 were $ 19 million and $ 18 million for the three months ended June 30, 2023 and 2022, respectively, and $ 37 million and $ 34 million for the six months ended June 30, 2023 and 2022, respectively .

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 Financial and its subsidiaries to its affiliate PPM, which were $ 20 million and $ 18 million for the three months ended September 30, 2023 and 2022, respectively, and $ 57 million and $ 52 million for the nine months ended September 30, 2023 and 2022, respectively .

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 3.

Segment Information

The following table summarizes the reconciling items from the non-GAAP measure of operating revenues to the U.S.

The following table summarizes the reconciling items from the non-GAAP measure of total operating revenues to the U.S.

GAAP measure of total revenues attributable to the Company (in millions, 2022 information recast for the adoption of LDTI):

Three Months Ended June 30, Six Months Ended June 30,

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

2023 2022 2023 2022

9 unchanged sentences

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 U.S.

The following table summarizes the reconciling items from the non-GAAP measure of total operating benefits and expenses to the U.S.

GAAP measure of total benefits and expenses attributable to the Company (in millions, 2022 information recast for the adoption of LDTI):

Three Months Ended June 30, Six Months Ended June 30,

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

2023 2022 2023 2022

7 unchanged sentences

GAAP measure of net income attributable to the Company (in millions, 2022 information recast for the adoption of LDTI):

Three Months Ended June 30, Six Months Ended June 30,

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

2023 2022 2023 2022

12 unchanged sentences

Pretax income (loss) attributable to Jackson Financial Inc.

3,485 2,536 2,892 9,226

Income tax expense (benefit) 712 657 399 1,890

Net income (loss) attributable to Jackson Financial Inc.

2,773 1,879 2,493 7,336

Dividends on preferred stock 11 — 24 —

Net income (loss) attributable to Jackson Financial Inc common shareholders $ 1,204 $ 3,263 $ ( 293 ) $ 5,457

Net income (loss) attributable to Jackson Financial Inc.

common shareholders $ 2,762 $ 1,879 $ 2,469 $ 7,336

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 4.

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

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

Asset-backed securities include mortgage-backed and other structured securities.

The Company generates the majority of its general account deposits from interest-sensitive individual annuity contracts, life insurance products and institutional products on which it has committed to pay a declared rate of interest.

The Company's strategy of investing in fixed-income securities and loans aims to ensure matching of the asset yield with the amounts credited to the interest-sensitive liabilities and to earn a stable return on its investments.

The Company's strategy of investing in fixed-income securities and loans seeks the matching of the asset yield with the amounts credited to the interest-sensitive liabilities and to earn a stable return on its investments.

Debt Securities

The following table sets forth the composition of the fair value of debt securities at June 30, 2023 and December 31, 2022, classified by rating categories as assigned by a nationally recognized statistical rating organization (“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 June 30, 2023 and December 31, 2022, the carrying value of investments rated by the Company’s consolidated investment advisor totaled $ 492 million and $ 32 million, respectively.

The following table sets forth the composition of the fair value of debt securities at September 30, 2023 and December 31, 2022, classified by rating categories as assigned by a nationally recognized statistical rating organization (a “rating agency”), 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 a rating agency when rating agencies ratings are not equivalent and, for purposes of the table, if not otherwise rated by a rating agency, the NAIC rating of a security is converted to an equivalent rating agency rating.

At September 30, 2023 and December 31, 2022, the carrying value of investments rated by the Company’s consolidated investment advisor totaled $ 422 million and $ 32 million, respectively.

Percent of Total Debt

Securities Carrying Value

June 30, 2023 December 31, 2022

September 30, 2023 December 31, 2022

Investment Rating

15.6 % 17.9 %

government securities 8.9 % 11.6 %

31.4 % 29.8 %

5 unchanged sentences

100.0 % 100.0 %

At June 30, 2023, of the total carrying value of debt securities in an unrealized loss position, 77 % were investment grade, 2 % were below investment grade and 21 % were not rated.

Unrealized losses on debt securities that were below investment grade or not rated were approximately 21 % of the aggregate gross unrealized losses on available-for-sale debt securities.

At December 31, 2022, of the total carrying value of debt securities in an unrealized loss position, 78 % were investment grade, 2 % were below investment grade and 20 % were not rated.

Unrealized losses on debt securities that were below investment grade or not rated were approximately 21 % of the aggregate gross unrealized losses on available-for-sale debt securities.

At September 30, 2023 and December 31, 2022, the total carrying value of debt securities in an unrealized loss position consisted of:

September 30, 2023 December 31, 2022

Investment grade securities 79 % 78 %

Below investment grade securities 2 % 2 %

Not rated securities 19 % 20 %

Unrealized losses on debt securities that were below investment grade or not rated were approximately 20 % and 21 % of the aggregate gross unrealized losses on available-for-sale debt securities at September 30, 2023 and December 31, 2022, respectively.

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

As of June 30, 2023, the industries accounting for the largest percentage of unrealized losses included utility ( 16 % of corporate gross unrealized losses) and healthcare ( 10 %).

The largest unrealized loss related to a single corporate obligor was $ 53 million at June 30, 2023.

As of September 30, 2023, the industries accounting for the largest percentage of unrealized losses included utility ( 18 % of corporate gross unrealized losses) and healthcare ( 10 %).

The largest unrealized loss related to a single corporate obligor was $ 63 million at September 30, 2023.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 4.

As of December 31, 2022, the industries accounting for the largest percentage of unrealized losses included utility ( 16 % of corporate gross unrealized losses) and healthcare ( 10 %).

The largest unrealized loss related to a single corporate obligor was $ 57 million at December 31, 2022.

At June 30, 2023 and December 31, 2022, the amortized cost, allowance for credit loss ("ACL"), gross unrealized gains and losses, and fair value of debt securities, including trading securities and securities carried at fair value under the fair value option, were as follows (in millions):

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 4.

At September 30, 2023 and December 31, 2022, the amortized cost, allowance for credit loss ("ACL"), gross unrealized gains and losses, and fair value 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

June 30, 2023 Cost (1)

September 30, 2023 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, ACL, gross unrealized gains and losses, and fair value of debt securities at June 30, 2023, by contractual maturity, are shown below (in millions).

The amortized cost, ACL, gross unrealized gains and losses, and fair value of debt securities at September 30, 2023, 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.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 4.

Allowance Gross Gross

11 unchanged sentences

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

As required by law in various states in which business is conducted, securities with a carrying value of $ 93 million and $ 90 million at June 30, 2023 and December 31, 2022, respectively, were on deposit with regulatory authorities.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 4.

As required by law in various states in which business is conducted, securities with a carrying value of $ 99 million and $ 90 million at September 30, 2023 and December 31, 2022, respectively, were on deposit with regulatory authorities.

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

3 unchanged sentences

Amortized for Unrealized Unrealized Fair

June 30, 2023 Cost (1)

September 30, 2023 Cost (1)

Credit Loss Gains Losses Value

18 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):

June 30, 2023 December 31, 2022

September 30, 2023 December 31, 2022

Less than 12 months Less than 12 months

35 unchanged sentences

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

Debt securities in an unrealized loss position as of June 30, 2023 did not require an impairment recognized in earnings as (i) the Company did not intend to sell these debt securities, (ii) 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 (iii) 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 September 30, 2023 did not require an impairment recognized in earnings as (i) the Company did not intend to sell these debt securities, (ii) 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 (iii) 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.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 4.

As of June 30, 2023, 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.

In addition, mortgage-backed and asset-backed securities were assessed for credit impairment using a cash flow model that incorporates key assumptions including default rates, severities, and prepayment rates.

The Company estimated losses for a security by forecasting performance in the underlying loans in each transaction.

The forecasted loan performance was used to project cash flows to the various tranches in the structure, as applicable.

The forecasted cash flows also considered, as applicable, independent industry analyst reports and forecasts, and other independent market data.

Based upon this assessment of the expected credit losses of the security given the performance of the underlying collateral compared to subordination or other credit enhancement, the Company expects to recover the entire amortized cost of each impaired security.

As of September 30, 2023, unrealized losses associated with debt securities are primarily due to widening credit spreads or rising risk-free rates since purchase.

As described below, the Company performed analyses 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.

Evaluation of Available-for-Sale Debt Securities for Credit Loss

1 unchanged sentence

If either criterion is met, the amortized cost is written down to fair value through net gains (losses) on derivatives and investments as an impairment.

Debt securities in an unrealized loss position for which the Company does not have the intent to sell or is not more likely than not to sell the security before recovery to amortized cost are further evaluated to determine if the cause of the decline in fair value resulted from credit losses or other factors, which includes estimates about the operations of the issuer and future earnings potential.

The credit loss evaluation may consider the following:

If neither criterion is met, the securities are further evaluated to determine if the cause of the decline in fair value resulted from credit losses or other factors, such as estimates about issuer operations and future earnings potential.

The credit loss evaluation for a security may consider the following:

the extent to which the fair value is below amortized cost;

changes in ratings of the security;

whether a significant covenant related to the security has been breached;

whether an issuer has filed or indicated a possibility of filing for bankruptcy, has missed or announced it intends to miss a scheduled interest or principal payment, or has experienced a specific material adverse change that may impair its creditworthiness;

judgments about an obligor’s current and projected financial position;

an issuer’s current and projected ability to service and repay its debt obligations;

changes in ratings;

whether a significant covenant has been breached;

assessments of the issuer’s ability to make scheduled debt payments based upon judgments related to its current and projected financial position, including whether it has filed or indicated a possibility of filing for bankruptcy, has missed or announced it intends to miss a scheduled debt service payment, or has experienced a specific material adverse change that may impair its creditworthiness;

the existence of, and realizable value of, any collateral backing the obligations;

and the macro-economic and micro-economic outlooks for specific industries and issuers.

In addition to the above, the credit loss review of investments in asset-backed securities includes the review of future estimated cash flows, including expected and stress case scenarios, to identify potential shortfalls in contractual payments.

These estimated cash flows are developed using available performance indicators from the underlying assets including current and projected default or delinquency rates, levels of credit enhancement, current subordination levels, vintage, expected loss severity and other relevant characteristics.

These estimates reflect a combination of data derived by third parties and internally developed assumptions.

Where possible, this data is benchmarked against third-party sources.

and the macro-economic and micro-economic outlooks for the issuer and its industry.

In addition to the above, the credit loss review of asset-backed securities includes an assessment of future estimated cash flows under expected and stress case scenarios, to identify potential shortfalls in contractual payments.

These estimated cash flows are developed using available performance indicators from the underlying assets, such as current and projected default or delinquency rates, levels of credit enhancement, current subordination levels, vintage, expected loss severity and other relevant characteristics.

For mortgage-backed securities, credit losses are assessed using a cash flow model that estimates the cash flows on the underlying mortgages, using the security-specific collateral characteristics and transaction structure.

The model estimates cash flows from the underlying mortgage loans and distributes those cash flows to various tranches of securities, considering the transaction structure and any subordination and credit enhancements existing in that structure.

The model estimates cash flows from the underlying mortgage loans and distributes those cash flows to various tranches of securities based on the transaction structure and any existing subordination and credit enhancements.

The cash flow model incorporates actual cash flows on the mortgage-backed securities through the current period and then projects the remaining cash flows using a number of assumptions, including prepayment timing, default rates and loss severity.

5 unchanged sentences

Any remaining unrealized loss after recording the allowance for credit loss is the non-credit amount and is recorded to other comprehensive income.

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.

These assessments are based on the best available information at the time.

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 (loss) may be recognized in the Consolidated Income Statements in future periods.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 4.

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.

The allowance for credit loss for specific debt securities may be increased or reversed in subsequent periods due to changes in the assessment of the present value of cash flows that are expected to be collected.

1 unchanged sentence

When all, or a portion, of a security is deemed uncollectible, the uncollectible portion is written-off with an adjustment to amortized cost and a corresponding reduction to the allowance for credit losses.

Accrued interest receivable s are presented separate from the amortized cost basis of debt securities.

Accrued interest receivables are presented separate from the amortized cost basis of debt securities.

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

Accrued interest of nil was written off during the three and six months ended June 30, 2023 and 2022.

Accrued interest written off was $ 1 million and nil during the three and nine months ended September 30, 2023 and three and nine months ended September 30, 2022, respectively.

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

Three Months Ended June 30, 2023 US

Three Months Ended September 30, 2023 US

securities Other government securities Public

1 unchanged sentence

asset-backed securities Total

Balance at April 1, 2023 $ — $ 3 $ — $ 21 $ 5 $ — $ — $ 29

Balance at July 1, 2023 $ — $ 3 $ — $ 7 $ 6 $ — $ — $ 16

Additions for which credit loss was not previously recorded — 2 — 15 — 9 — 26

5 unchanged sentences

Securities intended/required to be sold before recovery of amortized cost basis — ( 2 ) — ( 6 ) — ( 9 ) — ( 17 )

Balance at June 30, 2023 (2)

Balance at September 30, 2023 (2)

$ — $ 3 $ — $ 17 $ 6 $ — $ — $ 26

Three Months Ended June 30, 2022 US

Three Months Ended September 30, 2022 US

securities Other government securities Public

1 unchanged sentence

asset-backed securities Total

Balance at April 1, 2022 $ — $ 6 $ — $ 22 $ 2 $ — $ 2 $ 32

Balance at July 1, 2022 $ — $ 6 $ 1 $ 30 $ 6 $ — $ — $ 43

Additions for which credit loss was not previously recorded — — — 12 1 — — 13

5 unchanged sentences

Securities intended/required to be sold before recovery of amortized cost basis — — — ( 11 ) — — — ( 11 )

Balance at June 30, 2022 (2)

Balance at September 30, 2022 (2)

$ — $ 3 $ — $ 23 $ 5 $ — $ — $ 31

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 4.

Six Months Ended June 30, 2023 US

Nine Months Ended September 30, 2023 US

securities Other government securities Public

9 unchanged sentences

Securities intended/required to be sold before recovery of amortized cost basis — ( 2 ) — ( 23 ) — ( 9 ) — ( 34 )

Balance at June 30, 2023 (2)

Balance at September 30, 2023 (2)

$ — $ 3 $ — $ 17 $ 6 $ — $ — $ 26

Six Months Ended June 30, 2022 US

Nine Months Ended September 30, 2022 US

securities Other government securities Public

9 unchanged sentences

Securities intended/required to be sold before recovery of amortized cost basis — — — ( 16 ) — — — ( 16 )

Balance at June 30, 2022 (2)

Balance at September 30, 2022 (2)

$ — $ 3 $ — $ 23 $ 5 $ — $ — $ 31

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

(2) Accrued interest receivable on debt securities totaled $ 429 million and $ 382 million as of June 30, 2023 and 2022, respectively, and was excluded from the determination of credit losses for the three and six months ended June 30, 2023 and 2022.

(2) Accrued interest receivable on debt securities totaled $ 416 million and $ 414 million as of September 30, 2023 and 2022, respectively, and was excluded from the determination of credit losses for the three and nine months ended September 30, 2023 and 2022.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 4.

1 unchanged sentence

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

Three Months Ended June 30, Six Months Ended June 30,

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

2023 2022 2023 2022

11 unchanged sentences

Net investment income $ 782 $ 640 $ 2,176 $ 2,022

(1) Includes unrealized gains (losses) on trading securities and includes $( 35 ) million and $( 8 ) million for the three and six months ended June 30, 2023, respectively, and $( 95 ) million and $( 85 ) million for the three and six months ended June 30, 2022, respectively, related to the change in fair value for securities carried under the fair value option.

Unrealized gains (losses) included in investment income that were recognized on equity securities held were $( 8 ) million and $( 13 ) million, for the three months ended June 30, 2023 and 2022, respectively, and $( 22 ) million and $( 31 ) million, for the six months ended June 30, 2023 and 2022, respectively.

(1) Includes unrealized gains (losses) on trading securities and includes $ 51 million and $ 43 million for the three and nine months ended September 30, 2023, respectively, and $( 8 ) million and $( 103 ) million for the three and nine months ended September 30, 2022, respectively, related to the change in fair value for securities carried under the fair value option.

Unrealized gains (losses) included in investment income that were recognized on equity securities held were $( 16 ) million and $( 17 ) million, for the three months ended September 30, 2023 and 2022, respectively, and $( 38 ) million and $( 48 ) million, for the nine months ended September 30, 2023 and 2022, respectively.

Net Gains (Losses) on Derivatives and Investments

The following table summarizes net gains (losses) on derivatives and investments (in millions, 2022 information recast for the adoption of LDTI):

Three Months Ended June 30, Six Months Ended June 30,

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

2023 2022 2023 2022

4 unchanged sentences

Credit loss income (expense) on mortgage loans ( 28 ) ( 5 ) ( 88 ) ( 2 )

( 11 ) 71 — 83

Net gains (losses) excluding derivatives and funds withheld assets ( 127 ) ( 6 ) ( 235 ) ( 131 )

4 unchanged sentences

(1) Includes the foreign currency gain or loss related to foreign denominated trust instruments supporting funding agreements.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 4.

Net gains (losses) on funds withheld reinsurance treaties represents income (loss) from the sale of investments held in segregated funds withheld accounts in support of reinsurance agreements for which Jackson retains legal ownership of the underlying investments.

These gains (losses) are increased or decreased by changes in the embedded derivative liability related to the Athene funds withheld coinsurance 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.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 4.

The aggregate fair value of securities sold at a loss for the three and six months ended June 30, 2023 was $ 356 million and $ 2,153 million, which was approximately 93 % and 96 % of book value, respectively.

The aggregate fair value of securities sold at a loss for the three and six months ended June 30, 2022 was $ 506 million and $ 2,898 million, which was approximately 93 % and 92 % of book value, respectively.

Proceeds from sales of available-for-sale debt securities were $ 1.3 billion and $ 3.3 billion during the three and six months ended June 30, 2023, respectively, and $ 0.8 billion and $ 4.9 billion during the three and six months ended June 30, 2022, respectively.

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

These assessments are based on the best available information at the time.

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.

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.

The aggregate fair value of securities sold at a loss for the three and nine months ended September 30, 2023 was $ 756 million and $ 2,909 million, which was approximately 88 % and 94 % of book value, respectively.

The aggregate fair value of securities sold at a loss for the three and nine months ended September 30, 2022 was $ 1,068 million and $ 3,966 million, which was approximately 94 % and 93 % of book value, respectively.

Proceeds from sales of available-for-sale debt securities were $ 0.9 billion and $ 4.2 billion during the three and nine months ended September 30, 2023, respectively, and $ 1.4 billion and $ 6.3 billion during the three and nine months ended September 30, 2022, respectively.

Consolidated Variable Interest Entities ("VIEs")

The Company concluded that the following entities 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.

In each case, the Company’s exposure to loss is limited to the capital invested plus, in the cases of the limited liability companies and the Private Equity Funds, unfunded capital commitments.

• 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 April 2022, the Company reinvested in CLO issuances resulting in an increase of consolidated assets and liabilities.

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

In December 2022, a consolidated VIE issued $ 276 million par, net of the Company’s holding of CLOs.

The Company’s policy is to record the consolidation of VIEs on a one-month lag due to the timing of when information is available from the VIE.

Therefore, the VIE's issuance of this CLO is not reflected in the Company’s Consolidated Balance Sheet as of December 31, 2022 but would not materially impact the financial position of the Company as a result of the offsetting changes to assets and liabilities.

Therefore, the VIE's issuance of this CLO is not reflected in the Company’s Consolidated Balance Sheet as of December 31, 2022 but its inclusion would not materially impact the financial position of the Company as a result of the offsetting changes to assets and liabilities.

• 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.

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

The Company intends to divest its investment in certain private equity funds.

While there are multiple scenarios for how the divestiture may be completed, it is probable that the divestiture will result in a loss due to the illiquidity discount that market participants require.

The Company estimates that the loss will approximate $ 50 million and has recognized this amount in Net Investment Income as of June 30, 2023.

The Company estimated a loss of approximately $ 93 million which it recognized in Net Investment Income for the nine months ended September 30, 2023, and which approximates the ultimate loss incurred upon the sale in October 2023.

• 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.

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

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 4.

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

June 30, 2023 December 31, 2022

September 30, 2023 December 31, 2022

Debt securities, at fair value under fair value option $ 2,101 $ 2,014

12 unchanged sentences

Unconsolidated 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.

In addition, the Company does not have the obligation to absorb losses or the right to receive benefits that could potentially be significant to the entities.

Therefore, the Company does not consolidate these VIEs and the carrying amounts of the Company’s investments in these LPs and LLCs are recognized in other invested assets on the Condensed Consolidated Balance Sheets.

The Company has concluded the following entities are VIEs but does not consolidate them.

Based on analysis of the limited partnerships, limited liability companies and the mutual funds, the Company is not the primary beneficiary of the VIE because the Company lacks the power to direct the activities of the VIE that most significantly impact the VIE's performance or lacks the obligation to absorb losses or the right to receive benefits that could potentially be significant to the entities, or both.

• The Company invests in certain limited partnerships ("LPs") and limited liability companies ("LLCs").

The carrying amounts of the Company’s investments in these LPs and LLCs are recognized in other invested assets on the Condensed Consolidated Balance Sheets.

Unfunded capital commitments for these investments are detailed in Note 16 of the Notes to Condensed Consolidated Financial Statements.

The Company’s exposure to loss is limited to the capital invested and unfunded capital commitments related to the LPs/LLCs, which was $ 3,016 million and $ 3,285 million as of June 30, 2023 and December 31, 2022, respectively.

The Company’s exposure to loss is limited to the capital invested and unfunded capital commitments related to the LPs/LLCs, which was $ 2,908 million and $ 3,285 million as of September 30, 2023 and December 31, 2022, 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.

LPs and LLCs are carried at fair value.

The Company invests in certain mutual funds that it has concluded are VIEs.

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 Condensed Consolidated Balance Sheets and were $ 19 million and $ 28 million as of June 30, 2023 and December 31, 2022, respectively.

• The Company invests in certain mutual funds.

Mutual funds are recognized in equity securities on the Condensed Consolidated Balance Sheets and were $ 19 million and $ 28 million as of September 30, 2023 and December 31, 2022, respectively.

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

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 4.

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

4 unchanged sentences

The Company does not have any further contractual obligations to the VIE.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 4.

Company recognizes the variable interest in these VIEs at fair value on the Condensed Consolidated Balance Sheets.

The Company recognizes the variable interest in these VIEs at fair value on the Condensed Consolidated Balance Sheets.

Commercial and Residential Mortgage Loans

Commercial mortgage loans of $ 9.7 billion and $ 10.2 billion at June 30, 2023 and December 31, 2022, respectively, are reported net of an allowance for credit losses of $ 154 million and $ 91 million at each date, respectively.

At June 30, 2023, commercial mortgage loans were collateralized by properties located in 37 states, the District of Columbia, and Europe.

Accrued interest receivable on commercial mortgage loans was $ 37 million and $ 39 million at June 30, 2023 and December 31, 2022, respectively.

Residential mortgage loans of $ 1.1 billion and $ 1.3 billion at June 30, 2023 and December 31, 2022, respectively, are reported net of an allowance for credit losses of $ 8 million and $ 4 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 $ 7 million and $ 9 million at June 30, 2023 and December 31, 2022, respectively.

The following table shows commercial mortgage loans, residential mortgage loans, and the respective accrued interest thereon at September 30, 2023 and December 31, 2022 (in millions):

September 30, 2023 December 31, 2022

Commercial mortgage loans (1)

$ 9,594 $ 10,241

Accrued interest receivable on commercial mortgage loans 38 39

Residential mortgage loans (2)

Accrued interest receivable on residential mortgage loans 7 9

(1) Net of an allowance for credit losses of $ 195 million and $ 91 million at each date, respectively.

(2) Net of an allowance for credit losses of $ 5 million and $ 4 million at each date, respectively.

At September 30, 2023, commercial mortgage loans were collateralized by properties located in 37 states, the District of Columbia, and Europe, while residential mortgage loans were collateralized by properties located in 50 states, the District of Columbia, Mexico, and Europe.

Mortgage Loan Concessions

4 unchanged sentences

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

Deferred commercial mortgage loan interest and principal payments were $ 9 million at June 30, 2023.

Deferred commercial mortgage loan interest and principal payments were $ 9 million at September 30, 2023.

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.

5 unchanged sentences

The debt service coverage ratios (“DSCR”) and loan to values (“LTV”) are calculated over the forecastable period by comparing the projected net operating income and property valuations to the loan payment and principal amounts of each loan.

The model utilizes historical mortgage loan performance based on DSCRs and LTV to derive probability of default and expected losses based on the economic scenario that is similar to the Company’s expectations of economic factors such as unemployment, gross domestic product growth, and interest rates.

The model utilizes historical mortgage loan

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 4.

performance based on DSCRs and LTV to derive probability of default and expected losses based on the economic scenario that is similar to the Company’s expectations of economic factors such as unemployment, gross domestic product growth, and interest rates.

The Company determined the forecastable period to be reasonable and supportable for a period of two years beyond the end of the reporting period.

3 unchanged sentences

Credit loss estimates are pooled by property type and the Company does not include accrued interest in the determination of ACL.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 4.

For individual loans or for types of loans for which the third-party model is deemed not suitable, the Company utilizes relevant current market data, industry data, and publicly available historical loss rates to calculate an estimate of the lifetime expected credit loss.

2 unchanged sentences

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

Three Months Ended June 30, 2023 Apartment Hotel Office Retail Warehouse Residential Mortgage Total

Balance at April 1, 2023 $ 20 $ 19 $ 67 $ 22 $ 11 $ 7 $ 146

Three Months Ended September 30, 2023 Apartment Hotel Office Retail Warehouse Residential Mortgage Total

Balance at July 1, 2023 $ 18 $ 7 $ 91 $ 26 $ 12 $ 8 $ 162

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

Provision (release) 9 ( 1 ) 30 — 3 ( 3 ) 38

Balance at June 30, 2023 (1) (2)

Balance at September 30, 2023 (1)

$ 27 $ 6 $ 121 $ 26 $ 15 $ 5 $ 200

Three Months Ended June 30, 2022 Apartment Hotel Office Retail Warehouse Residential Mortgage Total

Balance at April 1, 2022 $ 21 $ 9 $ 22 $ 14 $ 12 $ 6 $ 84

Three Months Ended September 30, 2022 Apartment Hotel Office Retail Warehouse Residential Mortgage Total

Balance at July 1, 2022 $ 21 $ 18 $ 16 $ 13 $ 9 $ 3 $ 80

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

Provision (release) ( 5 ) ( 1 ) ( 3 ) 8 — — ( 1 )

Balance at June 30, 2022 (1) (2)

Balance at September 30, 2022 (1)

$ 16 $ 17 $ 13 $ 21 $ 9 $ 3 $ 79

Six Months Ended June 30, 2023 Apartment Hotel Office Retail Warehouse Residential Mortgage Total

Nine Months Ended September 30, 2023 Apartment Hotel Office Retail Warehouse Residential Mortgage Total

Balance at January 1, 2023 $ 18 $ 20 $ 15 $ 22 $ 16 $ 4 $ 95

1 unchanged sentence

Provision (release) 9 ( 14 ) 106 4 ( 1 ) 1 105

Balance at June 30, 2023 (1) (2)

Balance at September 30, 2023 (1)

$ 27 $ 6 $ 121 $ 26 $ 15 $ 5 $ 200

Six Months Ended June 30, 2022 Apartment Hotel Office Retail Warehouse Residential Mortgage Total

Nine Months Ended September 30, 2022 Apartment Hotel Office Retail Warehouse Residential Mortgage Total

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

1 unchanged sentence

Provision (release) ( 3 ) 8 ( 15 ) 4 ( 3 ) ( 6 ) ( 15 )

Balance at June 30, 2022 (1) (2)

Balance at September 30, 2022 (1)

$ 16 $ 17 $ 13 $ 21 $ 9 $ 3 $ 79

(1) Accrued interest receivable totaled $ 44 million and $ 44 million as of June 30, 2023 and 2022, respectively, and was excluded from the determination of credit losses.

(2) Accrued interest amounting to $ 2 million and nil were written off as of June 30, 2023 and 2022, respectively, relating to loans that were greater than 90 days delinquent or in the process of foreclosure.

(1) Accrued interest receivable totaled $ 45 million and $ 46 million as of September 30, 2023 and 2022, respectively, and was excluded from the determination of credit losses.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 4.

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 June 30, 2023, there was $ 13 million of recorded investment, $ 14 million of unpaid principal balance, no related loan allowance, $ 15 million of average recorded investment, and no investment income recognized on impaired residential mortgage loans.

Accrued interest amounting to $ 2 million and nil were written off as of September 30, 2023 and 2022, respectively, relating to loans that were greater than 90 days delinquent or in the process of foreclosure.

At September 30, 2023, there was $ 23 million of recorded investment, $ 26 million of unpaid principal balance, no related loan allowance, $ 17 million of average recorded investment, and no investment income recognized on impaired residential mortgage loans.

At December 31, 2022, there was $ 15 million of recorded investment, $ 16 million of unpaid principal balance, no related loan allowance, $ 18 million of average recorded investment, and no investment income recognized on impaired residential mortgage loans.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 4.

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

June 30, 2023

September 30, 2023

2023 2022 2021 2020 2019 Prior Revolving

17 unchanged sentences

Total mortgage loans $ 711 $ 1,173 $ 1,454 $ 859 $ 1,419 $ 4,992 $ 4 $ 10,612 100 %

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 4.

December 31, 2022

18 unchanged sentences

Total mortgage loans $ 1,315 $ 1,927 $ 1,260 $ 1,554 $ 1,511 $ 3,978 $ 4 $ 11,549 100 %

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 4.

June 30, 2023

September 30, 2023

In Good Standing (1)

21 unchanged sentences

Total $ 11,471 $ — $ 63 $ 15 $ 11,549

(1) At June 30, 2023 and December 31, 2022, includes mezzanine and bridge loans of $ 377 million and $ 410 million in the Apartment category, $ 29 million and $ 41 million in the Hotel category, $ 171 million and $ 236 million in the Office category, $ 31 million and $ 43 million in the Retail category, and $ 253 million and $ 140 million in the Warehouse category, respectively.

(2) At June 30, 2023 and December 31, 2022, includes $ 28 million and $ 41 million of loans purchased when the loans were greater than 90 days delinquent and $ 9 million and $ 12 million of loans in process of foreclosure, and are supported with insurance or other guarantees provided by various governmental programs, respectively.

As of June 30, 2023 and December 31, 2022, there were no commercial mortgage loans involved in troubled debt restructuring, and stressed mortgage loans for which the Company is dependent, or expects to be dependent, on the underlying property to satisfy repayment were $ 3 million and $ 3 million, respectively.

Policy loans are loans the Company issues to contract holders that use the cash surrender value of their life insurance policy or annuity contract as collateral.

At both June 30, 2023 and December 31, 2022, $ 3.4 billion of these loans were carried at fair value, which the Company believes is equal to unpaid principal balances, plus accrued investment income.

At both June 30, 2023 and December 31, 2022, the Company had $ 1.0 billion of policy loans not held as collateral for reinsurance, which were carried at the unpaid principal balances.

(1) At September 30, 2023 and December 31, 2022, includes mezzanine and bridge loans of $ 389 million and $ 410 million in the Apartment category, $ 21 million and $ 41 million in the Hotel category, $ 166 million and $ 236 million in the Office category, $ 31 million and $ 43 million in the Retail category, and $ 295 million and $ 140 million in the Warehouse category, respectively.

(2) At September 30, 2023 and December 31, 2022, includes $ 26 million and $ 41 million of loans purchased when the loans were greater than 90 days delinquent and $ 7 million and $ 12 million of loans in process of foreclosure, and are supported with insurance or other guarantees provided by various governmental programs, respectively.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 4.

The following table provides information about the mortgage loans modified to borrowers experiencing financial difficulty (in millions, except for percentage information):

Term Extension

Amortized Cost Basis

at September 30, 2023 Percent of

Commercial mortgage loans $ 17 0.18 %

The following table describes the financial effect of the modifications made to borrowers experiencing financial difficulty:

Term Extension

Financial Effect

Commercial mortgage loans Granted extension of term for three -years and required partial principal repayment at extension of the loan.

The Company closely monitors the performance of the loans that are modified to borrowers experiencing financial difficulty to understand the effectiveness of its modification efforts.

The following table depicts the performance of loans that have been modified in the last 12 months (in millions):

Payment Status (Amortized Cost Basis)

Current 30-89 Days Past Due 90+ Days Past Due

Commercial mortgage loans $ 17 $ — $ —

As of September 30, 2023 and December 31, 2022, there were no commercial mortgage loans involved in troubled debt restructuring, and stressed mortgage loans for which the Company is dependent, or expects to be dependent, on the underlying property to satisfy repayment were $ 16 million and $ 3 million, respectively.

Policy loans are loans the Company issues to contract holders that use the cash surrender value of their life insurance policy or annuity contract as collateral.

At both September 30, 2023 and December 31, 2022, $ 3.4 billion of these loans were carried at fair value, which the Company believes is equal to unpaid principal balances, plus accrued investment income.

At September 30, 2023 and December 31, 2022, the Company had $ 0.9 billion and $ 1.0 billion, respectively, of policy loans not held as collateral for reinsurance, which were carried at the unpaid principal balances.

Other Invested Assets

1 unchanged sentence

FHLBI capital stock is carried at cost and adjusted for any impairment.

At both June 30, 2023 and December 31, 2022, FHLB capital stock had carrying value of $ 146 million, respectively.

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

At June 30, 2023 and December 31, 2022, real estate totaling $ 234 million and $ 237 million, respectively, included foreclosed properties with a book value of $ 1 million and nil at June 30, 2023 and December 31, 2022, respectively.

At September 30, 2023 and December 31, 2022, FHLB capital stock had a carrying value of $ 108 million and $ 146 million, respectively.

Real estate is carried at the lower of depreciated cost or fair value and real estate occupied by the Company is carried at depreciated cost.

At September 30, 2023 and December 31, 2022, real estate totaling $ 224 million and $ 237 million, respectively, included foreclosed properties with a book value of $ 2 million and nil at September 30, 2023 and December 31, 2022, respectively.

Carrying values for LP 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 June 30, 2023 and December 31, 2022, investments in LPs had carrying values of $ 3,123 million and $ 3,212 million, respectively.

At September 30, 2023 and December 31, 2022, investments in LPs had carrying values of $ 3,221 million and $ 3,212 million, respectively.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 4.

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 June 30, 2023 and December 31, 2022, the estimated fair value of loaned securities was $ 51 million and $ 35 million, respectively.

As of September 30, 2023 and December 31, 2022, the estimated fair value of loaned securities was $ 27 million and $ 35 million, respectively.

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

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

At June 30, 2023 and December 31, 2022, cash collateral received in the amount of $ 52 million and $ 36 million, respectively, was invested by the agent banks and included in cash and cash equivalents of the Company.

At September 30, 2023 and December 31, 2022, cash collateral received in the amount of $ 28 million and $ 36 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.

Short-term borrowings under such agreements averaged $ 1,051 million and $ 271 million with weighted average interest rates of 4.71 % and 0.19 % for the six months ended June 30, 2023 and 2022, respectively.

At June 30, 2023 and December 31, 2022, the outstanding repurchase agreement balance was $ 1,626 million and $ 1,012 million, respectively, collateralized with U.S.

The following table present information regard these transactions for the nine months ended September 30, 2023 and 2022 (in millions, except percentage data):

Nine Months Ended September 30,

Highest level of short-term borrowings at any month end $ 1,660 $ 584

Average short-term borrowing 1,172 186

Weighted average interest rate 4.66 % 0.24 %

At September 30, 2023 and December 31, 2022, the outstanding repurchase agreement balance was nil and $ 1,012 million, respectively, collateralized with U.S.

Treasury notes and corporate securities 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 $ 17 million and $ 25 million for the three and six months ended June 30, 2023, respectively, and nil for both the three and six months ended June 30, 2022, respectively.

The highest level of short-term borrowings at any month end was $ 1,626 million and $ 584 million for the six months ended June 30, 2023 and 2022, respectively.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 5.

Derivative Instruments

Interest expense totaled $ 16 million and $ 41 million for the three and nine months ended September 30, 2023, respectively, and nil for both the three and nine months ended September 30, 2022, 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, 2022 information recast for the adoption of LDTI):

June 30, 2023

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 5.

Derivative Instruments

September 30, 2023

Contractual/ Assets Liabilities Net

70 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, 2022 information recast for the adoption of LDTI):

Three Months Ended June 30, Six Months Ended June 30,

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

2023 2022 2023 2022

19 unchanged sentences

All 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 June 30, 2023 and December 31, 2022, the fair value of the Company’s net non-cleared, over-the-counter derivative assets by counterparty were $ 581 million and $ 885 million, respectively, and held collateral was $ 519 million and $ 858 million, respectively, related to these agreements.

At June 30, 2023 and December 31, 2022, the fair value of the Company’s net non-cleared, over-the-counter derivative liabilities by counterparty were $ 1,451 million and $ 1,680 million, respectively, and provided collateral was $ 1,652 million and $ 1,650 million, respectively, related to these agreements.

If all the downgrade provisions had been triggered at June 30, 2023 and December 31, 2022, in aggregate, the Company would have had to disburse nil and $ 30 million, respectively, and would have been allowed to claim $ 263 million and $ 27 million, respectively.

At September 30, 2023 and December 31, 2022, the fair value of the Company’s net non-cleared, over-the-counter derivative assets by counterparty were $ 554 million and $ 885 million, respectively, and held collateral was $ 502 million and $ 858 million, respectively, related to these agreements.

At September 30, 2023 and December 31, 2022, the fair value of the Company’s net non-cleared, over-the-counter derivative liabilities by counterparty were $ 2,177 million and $ 1,680 million, respectively, and provided collateral was $ 2,399 million and $ 1,650 million, respectively, related to these agreements.

If all the downgrade provisions had been triggered at September 30, 2023 and December 31, 2022, in aggregate, the Company would have had to disburse nil and $ 30 million, respectively, and would have been allowed to claim $ 274 million and $ 27 million, respectively.

Offsetting Assets and Liabilities

5 unchanged sentences

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

June 30, 2023

September 30, 2023

Recognized Gross

44 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 $ 1,609 million and $ 1,136 million as of June 30, 2023 and December 31, 2022, respectively, as these derivatives are not subject to master netting arrangements.

The above tables also exclude the funds withheld embedded derivative asset (liability) of $ 2,901 million and $ 3,158 million at June 30, 2023 and December 31, 2022.

The above tables exclude net embedded derivative liabilities of $ 1,632 million and $ 1,136 million as of September 30, 2023 and December 31, 2022, respectively, as these derivatives are not subject to master netting arrangements.

The above tables also exclude the funds withheld embedded derivative asset (liability) of $ 3,352 million and $ 3,158 million at September 30, 2023 and December 31, 2022.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 6.

2 unchanged sentences

The following table summarizes the fair value and carrying value of the Company’s financial instruments (in millions, 2022 information recast for the adoption of LDTI):

June 30, 2023 December 31, 2022

September 30, 2023 December 31, 2022

Value Carrying

29 unchanged sentences

Repurchase agreements — — 1,012 1,012

FHLB advances 180 180 — —

Separate account liabilities 202,903 202,903 195,906 195,906

8 unchanged sentences

Typical inputs used by these three pricing methods include reported trades, benchmark yields, credit spreads, liquidity premiums and/or estimated cash flows based on default and prepayment assumptions.

As a result of typical trading volumes and the lack of specific quoted market prices for most debt securities, independent pricing services will normally derive the security prices through recently reported trades for identical or similar securities, making adjustments through the reporting date based upon available market observable information as outlined above.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 6.

Fair Value Measurements

there are no recently reported trades, the independent pricing services and broker-dealers may use matrix or pricing model processes to develop a security price where future cash flow expectations are developed based upon collateral performance and discounted at relevant market rates.

making adjustments through the reporting date based upon available market observable information as outlined above.

If there are no recently reported trades, the independent pricing services and broker-dealers may use matrix or pricing model processes to develop a security price where future cash flow expectations are developed based upon collateral performance and discounted at relevant market rates.

Certain securities are priced using broker-dealer quotes, which may utilize proprietary inputs and models.

12 unchanged sentences

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 June 30, 2023 and December 31, 2022, 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 September 30, 2023 and December 31, 2022, 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.

4 unchanged sentences

Limited Partnerships

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 June 30, 2023 and December 31, 2022.

Fair values for limited partnership interests, which are included in other invested assets, are 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, 2023 and December 31, 2022.

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

2 unchanged sentences

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.

Limited partnership interests expected to be sold are classified as Level 2 in the fair value hierarchy.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 6.

13 unchanged sentences

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.

Freestanding derivative instruments classified as Level 2 include interest rate swaps, cross currency swaps, cross-currency forwards, credit default swaps, total return swaps, put-swaptions and certain equity index call and put options.

Freestanding derivative instruments classified as:

• Level 1 include futures, which are traded on active exchanges.

• Level 2 include interest rate swaps, cross currency swaps, cross-currency forwards, credit default swaps, total return swaps, put-swaptions and certain equity index call and put options.

These derivative valuations are determined by third-party pricing services using pricing models with inputs that are observable in the market or can be derived principally from, or corroborated by, observable market data.

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

• Level 3 include interest rate contingent options that are valued by third-party pricing services utilizing significant unobservable inputs.

Cash and Cash Equivalents

3 unchanged sentences

Funds Withheld Payable Under Reinsurance Treaties

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

The funds withheld payable under reinsurance treaties includes both the funds withheld payable that are held at fair value under the fair value option and the funds withheld embedded derivative and are both considered Level 3 in the fair value hierarchy.

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

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 6.

5 unchanged sentences

Variable annuity contracts issued by the Company may include various guaranteed minimum death, withdrawal, income and accumulation benefits, which are classified as MRBs and measured at fair value.

The Company discontinued offering guaranteed minimum interest benefits (“GMIB”) in 2009 and guaranteed minimum accumulation benefits (“GMAB”) in 2011.

Our MRB assets and MRB liabilities are reported separately on our Condensed Consolidated Balance Sheets.

51 unchanged sentences

Notes Issued by Consolidated VIEs

These notes, at fair value under the fair value option, are based on the fair values of corresponding fixed maturity collateral.

These notes are issued by CLOs and are carried at fair value under the fair value option based on the fair values of corresponding fixed maturity collateral.

The CLO liabilities are also reduced by the fair value of the beneficial interest the Company retains in the CLO and the carrying value of any beneficial interests that represent compensation for services.

1 unchanged sentence

Fair Value Option

The Company elected the fair value option for debt securities related to certain consolidated investments totaling $ 2,049 million and $ 2,014 million at June 30, 2023 and December 31, 2022, respectively.

The Company elected the fair value option for debt securities related to certain consolidated investments totaling $ 2,101 million and $ 2,014 million at September 30, 2023 and December 31, 2022, 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 has elected the fair value option for certain funds withheld assets, which are held as collateral for reinsurance, totaling $ 4,108 million and $ 4,160 million at June 30, 2023 and December 31, 2022, respectively, as discussed above, and includes mortgage loans as discussed below.

The Company has elected the fair value option for certain funds withheld assets, which are held as collateral for reinsurance, totaling $ 4,052 million and $ 4,160 million at September 30, 2023 and December 31, 2022, respectively, as discussed above, and includes mortgage loans as discussed below.

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

2 unchanged sentences

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):

June 30, December 31,

September 30, December 31,

Fair value $ 476 $ 582

Aggregate contractual principal 490 591

As of June 30, 2023, no loans in good standing 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.

The Company elected the fair value option for notes issued by consolidated VIEs totaling $ 1,996 million and $ 1,732 million at June 30, 2023 and December 31, 2022, respectively.

As of September 30, 2023, no loans in good standing 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.

The Company elected the fair value option for notes issued by consolidated VIEs totaling $ 2,011 million and $ 1,732 million at September 30, 2023 and December 31, 2022, respectively.

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.

3 unchanged sentences

The following tables summarize the Company’s assets and liabilities that are carried at fair value by hierarchy levels (in millions, 2022 information recast for the adoption of LDTI):

June 30, 2023

September 30, 2023

Total Level 1 Level 2 Level 3

65 unchanged sentences

The table below presents the balances of Level 3 assets and liabilities measured at fair value with their corresponding pricing sources (in millions, 2022 information recast for the adoption of LDTI):

June 30, 2023

September 30, 2023

Assets Total Internal External

32 unchanged sentences

The table below presents quantitative information on internally-priced Level 3 assets and liabilities that use significant unobservable inputs (in millions, 2022 information recast for the adoption of LDTI):

As of June 30, 2023

As of September 30, 2023

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

97 unchanged sentences

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 June 30, 2023 and December 31, 2022, securities of $ 1 million and $ 9 million are fair valued using techniques incorporating unobservable inputs and are classified in Level 3 of the fair value hierarchy, respectively.

At September 30, 2023 and December 31, 2022, securities of $ 2 million and $ 9 million, respectively, 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.

15 unchanged sentences

Fair Value Measurements

The tables below, 2022 information recast for the adoption of LDTI, provide roll-forwards for the three and six months ended June 30, 2023 and 2022 of the financial instruments for which significant unobservable inputs (Level 3) are used in the fair value measurement.

The tables below, 2022 information recast for the adoption of LDTI, provide roll-forwards for the three and nine months ended September 30, 2023 and 2022 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.

5 unchanged sentences

as of Net Other Issuances in and/or as of

April 1, Income Comprehensive and (out of) June 30,

Three Months Ended June 30, 2023 2023 (Loss) Income (Loss) Settlements Level 3 2023

July 1, Income Comprehensive and (out of) September 30,

Three Months Ended September 30, 2023 2023 (Loss) Income (Loss) Settlements Level 3 2023

Debt securities

11 unchanged sentences

as of Net Other Issuances in and/or as of

April 1, Income Comprehensive and (out of) June 30,

Three Months Ended June 30, 2022 2022 (Loss) Income (Loss) Settlements Level 3 2022

July 1, Income Comprehensive and (out of) September 30,

Three Months Ended September 30, 2022 2022 (Loss) Income (Loss) Settlements Level 3 2022

Debt securities

13 unchanged sentences

as of Net Other Issuances in and/or as of

January 1, Income Comprehensive and (out of) June 30,

Six Months Ended June 30, 2023 2023 (Loss) Income (Loss) Settlements Level 3 2023

January 1, Income Comprehensive and (out of) September 30,

Nine Months Ended September 30, 2023 2023 (Loss) Income (Loss) Settlements Level 3 2023

Debt securities

11 unchanged sentences

as of Net Other Issuances in and/or as of

January 1, Income Comprehensive and (out of) June 30,

Six Months Ended June 30, 2022 2022 (Loss) Income (Loss) Settlements Level 3 2022

January 1, Income Comprehensive and (out of) September 30,

Nine Months Ended September 30, 2022 2022 (Loss) Income (Loss) Settlements Level 3 2022

Debt securities

10 unchanged sentences

Fair Value Measurements

The components of the amounts included in purchases, sales, issuances and settlements for the three and six months ended June 30, 2023 and 2022 shown above are as follows (in millions):

Three Months Ended June 30, 2023 Purchases Sales Issuances Settlements Total

The components of the amounts included in purchases, sales, issuances and settlements for the three and nine months ended September 30, 2023 and 2022 shown above are as follows (in millions):

Three Months Ended September 30, 2023 Purchases Sales Issuances Settlements Total

Debt securities

6 unchanged sentences

Funds withheld payable under reinsurance treaties $ — $ — $ ( 96 ) $ 69 $ ( 27 )

Three Months Ended June 30, 2022 Purchases Sales Issuances Settlements Total

Three Months Ended September 30, 2022 Purchases Sales Issuances Settlements Total

Debt securities

5 unchanged sentences

Funds withheld payable under reinsurance treaties $ — $ — $ ( 79 ) $ 49 $ ( 30 )

Six Months Ended June 30, 2023 Purchases Sales Issuances Settlements Total

Nine Months Ended September 30, 2023 Purchases Sales Issuances Settlements Total

Debt securities

6 unchanged sentences

Funds withheld payable under reinsurance treaties $ — $ — $ ( 132 ) $ 190 $ 58

Six Months Ended June 30, 2022 Purchases Sales Issuances Settlements Total

Nine Months Ended September 30, 2022 Purchases Sales Issuances Settlements Total

Debt securities

7 unchanged sentences

Fair Value Measurements

For the three and six months ended June 30, 2023, transfers from Level 3 to Level 2 of the fair value hierarchy were $( 6 ) million and $ 31 million, respectively, transfers from Level 2 to Level 3 were $( 3 ) million and $ 8 million, respectively, and transfers from Level 3 to NAV were nil and $ 7 million, respectively.

For the three and six months ended June 30, 2022, transfers from Level 3 to Level 2 of the fair value hierarchy were $ 1 million and $ 5 million, respectively, and transfers from Level 2 to Level 3 were $ 28 million and $ 35 million, respectively, and no transfers from Level 3 to NAV.

For the three and nine months ended September 30, 2023, transfers from Level 3 to Level 2 of the fair value hierarchy were $( 12 ) million and $ 19 million, respectively, transfers from Level 2 to Level 3 were $( 9 ) million and $( 1 ) million, respectively, and transfers from Level 3 to NAV were $( 29 ) million and $( 22 ) million, respectively.

For the three and nine months ended September 30, 2022, transfers from Level 3 to Level 2 of the fair value hierarchy were $ 4 million and $ 9 million, respectively, and transfers from Level 2 to Level 3 were $ 30 million and $ 65 million, respectively, and no transfers from Level 3 to NAV.

The portion of gains (losses) included in net income (loss) or OCI attributable to the change in unrealized gains and losses on Level 3 financial instruments still held was as follows (in millions, 2022 information recast for the adoption of LDTI):

Three Months Ended June 30,

Three Months Ended September 30,

Net Income Included in OCI Included in

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Market risk benefit liabilities 1,545 ( 999 ) 255 552

Six Months Ended June 30,

Nine Months Ended September 30,

Net Income Included in OCI Included in

13 unchanged sentences

Fair Value of Financial Instruments Carried at Other Than Fair Value

The following is a discussion of the methodologies used to determine fair values of the financial instruments measured on a nonrecurring basis reported in the following table.

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 on the underlying property, fair value is 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.

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.

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, trust instruments supported by funding agreements and 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 uses industry standard valuation techniques as described above and the funds withheld payable components are valued consistent with the assets in the fair value hierarchy.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 6.

Fair Value Measurements

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

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.

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.

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 6.

Fair Value Measurements

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):

June 30, 2023

September 30, 2023

Value Total Level 1 Level 2 Level 3

13 unchanged sentences

Securities lending payable 28 28 — 28 —

FHLB advances 180 180 — 180 —

Repurchase agreements — — — — —

24 unchanged sentences

Item 1 | Notes to Condensed Consolidated Financial Statements (Unaudited) | 6.

Deferred Acquisition Costs

Fair Value Measurements

The following is a discussion of the methodologies used to determine fair values of the financial instruments measured on a nonrecurring basis reported in the table above.