☒ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
☐ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
New Jersey | 22-2426091 | |||||||
(State or Other Jurisdiction of Incorporation or Organization) | (I.R.S. Employer Identification Number) |
Title of Each Class | Trading Symbol(s) | Name of Each Exchange on Which Registered | ||||||
Not Applicable | Not Applicable | Not Applicable |
Large Accelerated Filer | ☐ | Accelerated Filer | ☐ | ||||||||
Non-accelerated Filer | ☒ | Smaller Reporting Company | ☐ | ||||||||
Emerging Growth Company | ☐ |
Page Number | |||||||||
Item 1. | |||||||||
Item 2. | |||||||||
Item 3. | |||||||||
Item 4. | |||||||||
Item 1. | |||||||||
Item 1A. | |||||||||
Item 6. | |||||||||
March 31, 2021 | December 31, 2020 | ||||||||||
ASSETS | |||||||||||
Fixed maturities available for sale, at fair value (allowance for credit losses: 2021-$0; 2020-$0) (amortized cost: 2021-$1,691,841; 2020-$1,635,870) | $ | 1,824,338 | $ | 1,894,195 | |||||||
Fixed maturities, trading, at fair value (amortized cost: 2021-$17,718; 2020-$17,718) | 18,639 | 19,269 | |||||||||
Equity securities, at fair value (cost: 2021-$4,660; 2020-$4,660) | 5,978 | 6,218 | |||||||||
Policy loans | 211,807 | 212,163 | |||||||||
Commercial mortgage and other loans (net of $466 and $440 allowance for credit losses at March 31, 2021 and December 31, 2020, respectively) | 132,441 | 133,115 | |||||||||
Other invested assets (includes $15,487 and $17,581 of assets measured at fair value at March 31, 2021 and December 31, 2020, respectively) | 103,134 | 97,509 | |||||||||
Total investments | 2,296,337 | 2,362,469 | |||||||||
Cash and cash equivalents | 71,205 | 68,527 | |||||||||
Deferred policy acquisition costs | 253,609 | 224,425 | |||||||||
Accrued investment income | 21,678 | 21,248 | |||||||||
Reinsurance recoverables | 3,331,052 | 3,860,612 | |||||||||
Receivables from parent and affiliates | 33,384 | 31,061 | |||||||||
Income taxes receivable | 10,937 | 0 | |||||||||
Other assets | 18,777 | 23,007 | |||||||||
Separate account assets | 17,151,428 | 17,117,510 | |||||||||
TOTAL ASSETS | $ | 23,188,407 | $ | 23,708,859 | |||||||
LIABILITIES AND EQUITY | |||||||||||
LIABILITIES | |||||||||||
Policyholders’ account balances | $ | 2,596,465 | $ | 2,532,766 | |||||||
Future policy benefits | 2,431,120 | 2,976,575 | |||||||||
Cash collateral for loaned securities | 2,725 | 2,725 | |||||||||
Income taxes payable | 0 | 10,821 | |||||||||
Payables to parent and affiliates | 13,596 | 16,250 | |||||||||
Other liabilities | 192,841 | 187,620 | |||||||||
Separate account liabilities | 17,151,428 | 17,117,510 | |||||||||
Total liabilities | 22,388,175 | 22,844,267 | |||||||||
COMMITMENTS AND CONTINGENT LIABILITIES (See Note 10) | |||||||||||
EQUITY | |||||||||||
Common stock ($5 par value; 400,000 shares authorized, issued and outstanding) | 2,000 | 2,000 | |||||||||
Additional paid-in capital | 350,035 | 348,735 | |||||||||
Retained earnings | 352,588 | 328,450 | |||||||||
Accumulated other comprehensive income (loss) | 95,609 | 185,407 | |||||||||
Total equity | 800,232 | 864,592 | |||||||||
TOTAL LIABILITIES AND EQUITY | $ | 23,188,407 | $ | 23,708,859 |
June 30, 2020 | December 31, 2019 | ||||||
ASSETS | |||||||
Fixed maturities available for sale, at fair value (amortized cost: 2020 - $1,587,004; 2019–$1,437,796) | $ | 1,771,553 | $ | 1,550,096 | |||
Fixed maturities, trading, at fair value (amortized cost: 2020 - $14,221; 2019–$14,221) | 12,727 | 13,700 | |||||
Equity securities, at fair value (cost: 2020 - $5,065; 2019–$5,139) | 7,311 | 7,512 | |||||
Policy loans | 213,467 | 211,986 | |||||
Commercial mortgage and other loans (net of $457 and $165 allowance for credit losses at June 30, 2020 and December 31, 2019, respectively)(1) | 137,914 | 143,098 | |||||
Other invested assets (includes $37,189 and $24,726 of assets measured at fair value at June 30, 2020 and December 31, 2019, respectively) | 107,524 | 89,536 | |||||
Total investments | 2,250,496 | 2,015,928 | |||||
Cash and cash equivalents | 41,120 | 55,924 | |||||
Deferred policy acquisition costs | 203,125 | 178,813 | |||||
Accrued investment income | 20,984 | 19,539 | |||||
Reinsurance recoverables | 4,310,574 | 3,200,642 | |||||
Receivables from parent and affiliates | 39,848 | 32,820 | |||||
Income taxes receivable(1) | 1,827 | 6,268 | |||||
Other assets | 22,948 | 21,203 | |||||
Separate account assets | 15,290,949 | 15,904,208 | |||||
TOTAL ASSETS | $ | 22,181,871 | $ | 21,435,345 | |||
LIABILITIES AND EQUITY | |||||||
LIABILITIES | |||||||
Future policy benefits | $ | 3,425,560 | $ | 2,302,959 | |||
Policyholders’ account balances | 2,477,893 | 2,424,120 | |||||
Cash collateral for loaned securities | 2,700 | 2,481 | |||||
Short-term debt to affiliates | 0 | 89 | |||||
Payables to parent and affiliates | 26,632 | 24,958 | |||||
Other liabilities(1) | 156,347 | 140,628 | |||||
Separate account liabilities | 15,290,949 | 15,904,208 | |||||
Total liabilities | 21,380,081 | 20,799,443 | |||||
COMMITMENTS AND CONTINGENT LIABILITIES (See Note 10) | |||||||
EQUITY | |||||||
Common stock ($5 par value; 400,000 shares authorized, issued and outstanding) | 2,000 | 2,000 | |||||
Additional paid-in capital | 348,735 | 268,021 | |||||
Retained earnings | 304,986 | 280,246 | |||||
Accumulated other comprehensive income (loss) | 146,069 | 85,635 | |||||
Total equity | 801,790 | 635,902 | |||||
TOTAL LIABILITIES AND EQUITY | $ | 22,181,871 | $ | 21,435,345 |
Three Months Ended March 31, | |||||||||||||||||||||||
2021 | 2020 | ||||||||||||||||||||||
REVENUES | |||||||||||||||||||||||
Premiums | $ | 7,559 | $ | 5,194 | |||||||||||||||||||
Policy charges and fee income | 28,318 | 23,969 | |||||||||||||||||||||
Net investment income | 23,545 | 16,965 | |||||||||||||||||||||
Asset administration fees | 2,026 | 1,565 | |||||||||||||||||||||
Other income | (264) | (1,949) | |||||||||||||||||||||
Realized investment gains (losses), net | 15,832 | 13,065 | |||||||||||||||||||||
TOTAL REVENUES | 77,016 | 58,809 | |||||||||||||||||||||
BENEFITS AND EXPENSES | |||||||||||||||||||||||
Policyholders’ benefits | 18,835 | 16,686 | |||||||||||||||||||||
Interest credited to policyholders’ account balances | 10,711 | 10,191 | |||||||||||||||||||||
Amortization of deferred policy acquisition costs | 7,123 | 5,312 | |||||||||||||||||||||
General, administrative and other expenses | 14,084 | 10,374 | |||||||||||||||||||||
TOTAL BENEFITS AND EXPENSES | 50,753 | 42,563 | |||||||||||||||||||||
INCOME (LOSS) FROM OPERATIONS BEFORE INCOME TAXES | 26,263 | 16,246 | |||||||||||||||||||||
Income tax expense (benefit) | 2,125 | 1,701 | |||||||||||||||||||||
NET INCOME (LOSS) | $ | 24,138 | $ | 14,545 | |||||||||||||||||||
Other comprehensive income (loss), before tax: | |||||||||||||||||||||||
Foreign currency translation adjustments | (108) | (1) | |||||||||||||||||||||
Net unrealized investment gains (losses) | (113,561) | (20,968) | |||||||||||||||||||||
Total | (113,669) | (20,969) | |||||||||||||||||||||
Less: Income tax expense (benefit) related to other comprehensive income (loss) | (23,871) | (4,404) | |||||||||||||||||||||
Other comprehensive income (loss), net of taxes | (89,798) | (16,565) | |||||||||||||||||||||
Comprehensive income (loss) | $ | (65,660) | $ | (2,020) |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||
REVENUES | |||||||||||||||
Premiums | $ | 5,129 | $ | 3,281 | $ | 10,323 | $ | 6,619 | |||||||
Policy charges and fee income | 18,243 | 22,605 | 42,212 | 42,454 | |||||||||||
Net investment income | 20,683 | 19,472 | 37,648 | 38,213 | |||||||||||
Asset administration fees | 1,546 | 1,449 | 3,111 | 2,792 | |||||||||||
Other income | 1,640 | 1,329 | (309 | ) | 2,643 | ||||||||||
Realized investment gains (losses), net | (7,512 | ) | (5,056 | ) | 5,553 | (11,166 | ) | ||||||||
TOTAL REVENUES | 39,729 | 43,080 | 98,538 | 81,555 | |||||||||||
BENEFITS AND EXPENSES | |||||||||||||||
Policyholders’ benefits | 13,443 | 10,351 | 30,129 | 20,328 | |||||||||||
Interest credited to policyholders’ account balances | 11,987 | 10,005 | 22,178 | 19,058 | |||||||||||
Amortization of deferred policy acquisition costs | 1,967 | 6,174 | 7,279 | 7,399 | |||||||||||
General, administrative and other expenses | 10,395 | 6,858 | 20,769 | 13,956 | |||||||||||
TOTAL BENEFITS AND EXPENSES | 37,792 | 33,388 | 80,355 | 60,741 | |||||||||||
INCOME (LOSS) FROM OPERATIONS BEFORE INCOME TAXES | 1,937 | 9,692 | 18,183 | 20,814 | |||||||||||
Income tax expense (benefit) | (8,425 | ) | (805 | ) | (6,724 | ) | (228 | ) | |||||||
NET INCOME (LOSS) | $ | 10,362 | $ | 10,497 | $ | 24,907 | $ | 21,042 | |||||||
Other comprehensive income (loss), before tax: | |||||||||||||||
Foreign currency translation adjustments | 42 | 4 | 41 | 4 | |||||||||||
Net unrealized investment gains (losses) | 97,427 | 46,263 | 76,459 | 92,861 | |||||||||||
Total | 97,469 | 46,267 | 76,500 | 92,865 | |||||||||||
Less: Income tax expense (benefit) related to other comprehensive income (loss) | 20,470 | 9,715 | 16,066 | 19,501 | |||||||||||
Other comprehensive income (loss), net of taxes | 76,999 | 36,552 | 60,434 | 73,364 | |||||||||||
Comprehensive income (loss) | $ | 87,361 | $ | 47,049 | $ | 85,341 | $ | 94,406 |
Common Stock | Additional Paid-in Capital | Retained Earnings | Accumulated Other Comprehensive Income (Loss) | Total Equity | |||||||||||||||||||||||||
Balance, December 31, 2020 | $ | 2,000 | $ | 348,735 | $ | 328,450 | $ | 185,407 | $ | 864,592 | |||||||||||||||||||
Contributed capital | 1,300 | 1,300 | |||||||||||||||||||||||||||
Comprehensive income (loss): | |||||||||||||||||||||||||||||
Net income (loss) | 24,138 | 24,138 | |||||||||||||||||||||||||||
Other comprehensive income (loss), net of tax | (89,798) | (89,798) | |||||||||||||||||||||||||||
Total comprehensive income (loss) | (65,660) | ||||||||||||||||||||||||||||
Balance, March 31, 2021 | $ | 2,000 | $ | 350,035 | $ | 352,588 | $ | 95,609 | $ | 800,232 | |||||||||||||||||||
Common Stock | Additional Paid-in Capital | Retained Earnings | Accumulated Other Comprehensive Income (Loss) | Total Equity | Common Stock | Additional Paid-in Capital | Retained Earnings | Accumulated Other Comprehensive Income (Loss) | Total Equity | |||||||||||||||||||||||||||||||||||||||
Balance, December 31, 2019 | $ | 2,000 | $ | 268,021 | $ | 280,246 | $ | 85,635 | $ | 635,902 | Balance, December 31, 2019 | $ | 2,000 | $ | 268,021 | $ | 280,246 | $ | 85,635 | $ | 635,902 | |||||||||||||||||||||||||||
Cumulative effect of adoption of accounting changes(1) | (167 | ) | (167 | ) | Cumulative effect of adoption of accounting changes(1) | (167) | (167) | |||||||||||||||||||||||||||||||||||||||||
Contributed capital | 85,112 | 85,112 | Contributed capital | 85,112 | 85,112 | |||||||||||||||||||||||||||||||||||||||||||
Contributed (distributed) capital - parent/child asset transfers | (4,268 | ) | (4,268 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Comprehensive income (loss): | ||||||||||||||||||||||||||||||||||||||||||||||||
Contributed (distributed) capital-parent/child asset transfers | Contributed (distributed) capital-parent/child asset transfers | (4,268) | (4,268) | |||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | 14,545 | 14,545 | Net income (loss) | 14,545 | 14,545 | |||||||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss), net of tax | (16,565 | ) | (16,565 | ) | Other comprehensive income (loss), net of tax | (16,565) | (16,565) | |||||||||||||||||||||||||||||||||||||||||
Total comprehensive income (loss) | (2,020 | ) | Total comprehensive income (loss) | (2,020) | ||||||||||||||||||||||||||||||||||||||||||||
Balance, March 31, 2020 | $ | 2,000 | $ | 348,865 | $ | 294,624 | $ | 69,070 | $ | 714,559 | Balance, March 31, 2020 | $ | 2,000 | $ | 348,865 | $ | 294,624 | $ | 69,070 | $ | 714,559 | |||||||||||||||||||||||||||
Contributed capital | 0 | 0 | ||||||||||||||||||||||||||||||||||||||||||||||
Contributed (distributed) capital-parent/child asset transfers | (130 | ) | (130 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Comprehensive income (loss): | ||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | 10,362 | 10,362 | ||||||||||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss), net of taxes | 76,999 | 76,999 | ||||||||||||||||||||||||||||||||||||||||||||||
Total comprehensive income (loss) | 87,361 | |||||||||||||||||||||||||||||||||||||||||||||||
Balance, June 30, 2020 | $ | 2,000 | $ | 348,735 | $ | 304,986 | $ | 146,069 | $ | 801,790 |
Common Stock | Additional Paid-in Capital | Retained Earnings | Accumulated Other Comprehensive Income (Loss) | Total Equity | |||||||||||||||
Balance, December 31, 2018 | $ | 2,000 | $ | 213,261 | $ | 243,827 | $ | (14,367 | ) | $ | 444,721 | ||||||||
Cumulative effect of adoption of accounting changes(2) | (336 | ) | (336 | ) | |||||||||||||||
Contributed capital | 0 | 0 | |||||||||||||||||
Contributed (distributed) capital-parent/child asset transfers | 0 | 0 | |||||||||||||||||
Comprehensive income (loss): | |||||||||||||||||||
Net income (loss) | 10,545 | 10,545 | |||||||||||||||||
Other comprehensive income (loss), net of tax | 36,812 | 36,812 | |||||||||||||||||
Total comprehensive income (loss) | 47,357 | ||||||||||||||||||
Balance, March 31, 2019 | $ | 2,000 | $ | 213,261 | $ | 254,036 | $ | 22,445 | $ | 491,742 | |||||||||
Contributed capital | 0 | 0 | |||||||||||||||||
Contributed (distributed) capital-parent/child asset transfers | 0 | 0 | |||||||||||||||||
Comprehensive income (loss): | |||||||||||||||||||
Net income (loss) | 10,497 | 10,497 | |||||||||||||||||
Other comprehensive income (loss), net of tax | 36,552 | 36,552 | |||||||||||||||||
Total comprehensive income (loss) | 47,049 | ||||||||||||||||||
Balance, June 30, 2019 | $ | 2,000 | $ | 213,261 | $ | 264,533 | $ | 58,997 | $ | 538,791 |
2020 | 2019 | 2021 | 2020 | |||||||||||||||
CASH FLOWS FROM OPERATING ACTIVITIES: | CASH FLOWS FROM OPERATING ACTIVITIES: | |||||||||||||||||
Net income (loss) | $ | 24,907 | $ | 21,042 | Net income (loss) | $ | 24,138 | $ | 14,545 | |||||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||||||||||||||||
Policy charges and fee income (1) | (11,802 | ) | (9,068 | ) | ||||||||||||||
Policy charges and fee income | Policy charges and fee income | (10,959) | (8,571) | |||||||||||||||
Interest credited to policyholders’ account balances | 22,178 | 19,058 | Interest credited to policyholders’ account balances | 10,711 | 10,191 | |||||||||||||
Realized investment (gains) losses, net | (5,553 | ) | 11,166 | Realized investment (gains) losses, net | (15,832) | (13,065) | ||||||||||||
Amortization and other non-cash items | 2,238 | (7,220 | ) | Amortization and other non-cash items | (4,785) | 1,063 | ||||||||||||
Change in: | Change in: | |||||||||||||||||
Future policy benefits | 161,149 | 148,113 | Future policy benefits | 62,561 | 108,205 | |||||||||||||
Reinsurance recoverables | (143,500 | ) | (133,304 | ) | Reinsurance recoverables | (43,468) | (96,083) | |||||||||||
Accrued investment income | (1,445 | ) | (1,046 | ) | Accrued investment income | (430) | (731) | |||||||||||
Net payables to/receivables from parent and affiliates | (5,474 | ) | (1,306 | ) | Net payables to/receivables from parent and affiliates | (5,011) | (951) | |||||||||||
Deferred policy acquisition costs | (30,587 | ) | (7,803 | ) | Deferred policy acquisition costs | (18,981) | (12,994) | |||||||||||
Income taxes | (10,410 | ) | (8,684 | ) | Income taxes | 2,114 | 1,690 | |||||||||||
Derivatives, net | (292 | ) | (1,378 | ) | Derivatives, net | 5,046 | (251) | |||||||||||
Other, net | (1,756 | ) | (16,605 | ) | Other, net | 14,388 | 1,313 | |||||||||||
Cash flows from (used in) operating activities | (347 | ) | 12,965 | Cash flows from (used in) operating activities | 19,492 | 4,361 | ||||||||||||
CASH FLOWS FROM INVESTING ACTIVITIES: | CASH FLOWS FROM INVESTING ACTIVITIES: | |||||||||||||||||
Proceeds from the sale/maturity/prepayment of: | Proceeds from the sale/maturity/prepayment of: | |||||||||||||||||
Fixed maturities, available-for-sale | 19,910 | 33,123 | Fixed maturities, available-for-sale | 14,508 | 13,664 | |||||||||||||
Equity securities | 84 | 3,298 | ||||||||||||||||
Policy loans | 13,902 | 12,885 | Policy loans | 7,377 | 6,512 | |||||||||||||
Ceded policy loans | (693 | ) | (713 | ) | Ceded policy loans | (742) | (297) | |||||||||||
Commercial mortgage and other loans | 6,794 | 6,576 | Commercial mortgage and other loans | 483 | 5,457 | |||||||||||||
Other invested assets | 1,391 | 1,161 | Other invested assets | 390 | 857 | |||||||||||||
Payments for the purchase/origination of: | Payments for the purchase/origination of: | |||||||||||||||||
Fixed maturities, available-for-sale | (90,832 | ) | (111,939 | ) | Fixed maturities, available-for-sale | (50,946) | (28,895) | |||||||||||
Fixed maturities, trading | 0 | (3,045 | ) | |||||||||||||||
Equity securities | 0 | (50 | ) | |||||||||||||||
Policy loans | (13,334 | ) | (12,010 | ) | Policy loans | (4,537) | (8,623) | |||||||||||
Ceded policy loans | 3,077 | 1,036 | Ceded policy loans | 334 | 2,474 | |||||||||||||
Commercial mortgage and other loans | (2,552 | ) | (10,557 | ) | Commercial mortgage and other loans | 0 | (2,198) | |||||||||||
Other invested assets | (6,758 | ) | (8,939 | ) | Other invested assets | (4,149) | (3,452) | |||||||||||
Notes receivable from parent and affiliates, net | 145 | 6,127 | Notes receivable from parent and affiliates, net | (8) | 75 | |||||||||||||
Derivatives, net | (1,252 | ) | 25 | Derivatives, net | (136) | (416) | ||||||||||||
Other, net | 98 | (139 | ) | Other, net | (104) | 7 | ||||||||||||
Cash flows from (used in) investing activities | (70,020 | ) | (83,161 | ) | Cash flows from (used in) investing activities | (37,530) | (14,835) | |||||||||||
CASH FLOWS FROM FINANCING ACTIVITIES: | CASH FLOWS FROM FINANCING ACTIVITIES: | |||||||||||||||||
Policyholders’ account deposits | 272,218 | 284,528 | Policyholders’ account deposits | 108,982 | 136,986 | |||||||||||||
Ceded policyholders’ account deposits | (179,733 | ) | (172,340 | ) | Ceded policyholders’ account deposits | (79,213) | (91,138) | |||||||||||
Policyholders’ account withdrawals (1) | (166,760 | ) | (173,074 | ) | ||||||||||||||
Policyholders’ account withdrawals | Policyholders’ account withdrawals | (72,274) | (73,651) | |||||||||||||||
Ceded policyholders’ account withdrawals | 125,471 | 113,527 | Ceded policyholders’ account withdrawals | 57,352 | 57,603 | |||||||||||||
Net change in securities sold under agreement to repurchase and cash collateral for loaned securities | 219 | (256 | ) | Net change in securities sold under agreement to repurchase and cash collateral for loaned securities | 0 | 106 | ||||||||||||
Contributed (distributed) capital - parent/child asset transfers | (5,567 | ) | 0 | |||||||||||||||
Net change in all other financing arrangements (maturities 90 days or less) | (89 | ) | 0 | Net change in all other financing arrangements (maturities 90 days or less) | 0 | (89) | ||||||||||||
Drafts outstanding | 4,456 | (2,054 | ) | Drafts outstanding | (542) | 5,000 | ||||||||||||
Other, net (1) | 5,348 | (4,935 | ) | |||||||||||||||
Other, net | Other, net | 6,411 | 4,518 | |||||||||||||||
Cash flows from (used in) financing activities | 55,563 | 45,396 | Cash flows from (used in) financing activities | 20,716 | 39,335 | |||||||||||||
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS | (14,804 | ) | (24,800 | ) | NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS | 2,678 | 28,861 | |||||||||||
CASH AND CASH EQUIVALENTS, BEGINNING OF YEAR | 55,924 | 70,441 | CASH AND CASH EQUIVALENTS, BEGINNING OF YEAR | 68,527 | 55,924 | |||||||||||||
CASH AND CASH EQUIVALENTS, END OF PERIOD | $ | 41,120 | $ | 45,641 | CASH AND CASH EQUIVALENTS, END OF PERIOD | $ | 71,205 | $ | 84,785 |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
ASU 2018-12 Amended Topic | Description | Method of adoption | Effect on the financial statements or other significant matters | |||||||||||||||||
Cash flow assumptions used to measure the liability for future policy benefits for non-participating traditional and limited-pay insurance products | Requires an entity to review, and if necessary, update the cash flow assumptions used to measure the liability for future policy benefits, for both changes in future assumptions and actual experience, at least annually using a retrospective update method with a cumulative catch-up adjustment recorded in a separate line item in the Statements of Operations. | An entity may choose one of two adoption methods for the liability for future policy benefits: (1) a modified retrospective transition method whereby the entity | The options for method of adoption and the impacts of such methods are under assessment. | |||||||||||||||||
Discount rate assumption used to measure the liability for future policy benefits for non-participating traditional and limited-pay insurance products | Requires discount rate assumptions to be based on an upper-medium grade fixed income instrument yield, | As noted above, an entity may choose either a modified retrospective transition method or full retrospective transition method for the liability for future policy benefits. Under either method, for balance sheet remeasurement purposes, the liability for future policy benefits will be remeasured using current discount rates as of either the beginning of the prior year (if early adoption is elected) or the beginning of the earliest period presented with the impact recorded as a cumulative effect adjustment to AOCI. | Upon adoption, under either transition method, there will be an adjustment to AOCI as a result of remeasuring in force contract liabilities using current upper-medium grade fixed income instrument yields. The adjustment upon adoption will largely reflect the difference between | |||||||||||||||||
Amortization of DAC and other balances | Requires DAC and other balances, such as unearned revenue reserves and deferred sales inducements ("DSI"), to be amortized on a constant level basis over the expected term of the related contract, independent of expected profitability. | An entity may apply one of two adoption methods: (1) a modified retrospective transition method whereby the entity | The options for method of adoption and the impacts of such methods are under assessment. Under the modified retrospective transition method, the Company would not expect a significant impact to the balance sheet, other than the impact of the removal of any related amounts in AOCI. | |||||||||||||||||
Market Risk Benefits ("MRB") | Requires an entity to measure all market risk benefits (e.g., living benefit and death benefit guarantees associated with variable annuities) at fair value, and record | An entity shall adopt the guidance for market risk benefits using the retrospective transition method which includes a cumulative-effect adjustment on the balance sheet as of either the beginning of prior year (if early adoption is elected) or the beginning of the earliest period presented. An entity shall maximize the use of relevant observable information and minimize the use of unobservable information in determining the balance of the market risk benefits upon adoption. | Upon adoption, the Company expects an impact to retained earnings for the difference between the fair value and carrying value of benefits not currently measured at fair value (e.g., guaranteed minimum death benefits on variable annuities) and an impact from reclassifying the cumulative effect of changes in NPR from retained earnings to AOCI. The magnitude of such adjustments is currently being assessed. |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
March 31, 2021 | |||||||||||||||||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Allowance for Credit Losses | Fair Value | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Fixed maturities, available-for-sale: | |||||||||||||||||||||||||||||
U.S. Treasury securities and obligations of U.S. government authorities and agencies | $ | 10,581 | $ | 883 | $ | 0 | $ | 0 | $ | 11,464 | |||||||||||||||||||
Obligations of U.S. states and their political subdivisions | 162,123 | 16,339 | 0 | 0 | 178,462 | ||||||||||||||||||||||||
Foreign government bonds | 98,897 | 6,352 | 1,753 | 0 | 103,496 | ||||||||||||||||||||||||
U.S. public corporate securities | 819,642 | 82,750 | 9,962 | 0 | 892,430 | ||||||||||||||||||||||||
U.S. private corporate securities | 219,742 | 14,690 | 432 | 0 | 234,000 | ||||||||||||||||||||||||
Foreign public corporate securities | 74,570 | 5,823 | 1,388 | 0 | 79,005 | ||||||||||||||||||||||||
Foreign private corporate securities | 146,199 | 10,526 | 1,280 | 0 | 155,445 | ||||||||||||||||||||||||
Asset-backed securities(1) | 16,540 | 681 | 1 | 0 | 17,220 | ||||||||||||||||||||||||
Commercial mortgage-backed securities | 140,516 | 8,796 | 0 | 0 | 149,312 | ||||||||||||||||||||||||
Residential mortgage-backed securities(2) | 3,031 | 473 | 0 | 0 | 3,504 | ||||||||||||||||||||||||
Total fixed maturities, available-for-sale | $ | 1,691,841 | $ | 147,313 | $ | 14,816 | $ | 0 | $ | 1,824,338 |
June 30, 2020 | |||||||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Allowance for Credit Losses | Fair Value | |||||||||||||||
(in thousands) | |||||||||||||||||||
Fixed maturities, available-for-sale: | |||||||||||||||||||
U.S. Treasury securities and obligations of U.S. government authorities and agencies | $ | 14,775 | $ | 1,277 | $ | 0 | $ | 0 | $ | 16,052 | |||||||||
Obligations of U.S. states and their political subdivisions | 162,428 | 17,662 | 0 | 0 | 180,090 | ||||||||||||||
Foreign government bonds | 69,664 | 9,164 | 34 | 0 | 78,794 | ||||||||||||||
U.S. public corporate securities | 734,382 | 123,756 | 1,687 | 0 | 856,451 | ||||||||||||||
U.S. private corporate securities | 225,446 | 16,527 | 1,367 | 0 | 240,606 | ||||||||||||||
Foreign public corporate securities | 52,922 | 6,584 | 326 | 0 | 59,180 | ||||||||||||||
Foreign private corporate securities | 162,044 | 5,135 | 4,892 | 0 | 162,287 | ||||||||||||||
Asset-backed securities(1) | 18,020 | 545 | 128 | 0 | 18,437 | ||||||||||||||
Commercial mortgage-backed securities | 143,676 | 11,698 | 0 | 0 | 155,374 | ||||||||||||||
Residential mortgage-backed securities(2) | 3,647 | 635 | 0 | 0 | 4,282 | ||||||||||||||
Total fixed maturities, available-for-sale | $ | 1,587,004 | $ | 192,983 | $ | 8,434 | $ | 0 | $ | 1,771,553 |
December 31, 2019 | |||||||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | OTTI in AOCI(3) | |||||||||||||||
(in thousands) | |||||||||||||||||||
Fixed maturities, available-for-sale: | |||||||||||||||||||
U.S. Treasury securities and obligations of U.S. government authorities and agencies | $ | 14,983 | $ | 1,032 | $ | 0 | $ | 16,015 | $ | 0 | |||||||||
Obligations of U.S. states and their political subdivisions | 123,505 | 10,172 | 0 | �� | 133,677 | 0 | |||||||||||||
Foreign government bonds | 70,287 | 6,993 | 0 | 77,280 | 0 | ||||||||||||||
U.S. public corporate securities | 627,880 | 70,167 | 527 | 697,520 | 0 | ||||||||||||||
U.S. private corporate securities | 222,952 | 10,416 | 153 | 233,215 | 0 | ||||||||||||||
Foreign public corporate securities | 53,115 | 4,958 | 80 | 57,993 | 0 | ||||||||||||||
Foreign private corporate securities | 161,597 | 4,505 | 2,210 | 163,892 | 0 | ||||||||||||||
Asset-backed securities(1) | 17,816 | 753 | 27 | 18,542 | 0 | ||||||||||||||
Commercial mortgage-backed securities | 141,593 | 5,796 | 0 | 147,389 | 0 | ||||||||||||||
Residential mortgage-backed securities(2) | 4,068 | 509 | 4 | 4,573 | (50 | ) | |||||||||||||
Total fixed maturities, available-for-sale | $ | 1,437,796 | $ | 115,301 | $ | 3,001 | $ | 1,550,096 | $ | (50 | ) |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
December 31, 2020 | |||||||||||||||||||||||||||||
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Allowance for Credit Losses | Fair Value | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Fixed maturities, available-for-sale: | |||||||||||||||||||||||||||||
U.S. Treasury securities and obligations of U.S. government authorities and agencies | $ | 10,638 | $ | 1,017 | $ | 0 | $ | 0 | $ | 11,655 | |||||||||||||||||||
Obligations of U.S. states and their political subdivisions | 162,227 | 20,399 | 0 | 0 | 182,626 | ||||||||||||||||||||||||
Foreign government bonds | 79,318 | 13,347 | 29 | 0 | 92,636 | ||||||||||||||||||||||||
U.S. public corporate securities | 791,616 | 158,087 | 118 | 0 | 949,585 | ||||||||||||||||||||||||
U.S. private corporate securities | 222,279 | 23,564 | 225 | 0 | 245,618 | ||||||||||||||||||||||||
Foreign public corporate securities | 60,376 | 10,022 | 51 | 0 | 70,347 | ||||||||||||||||||||||||
Foreign private corporate securities | 148,103 | 17,892 | 640 | 0 | 165,355 | ||||||||||||||||||||||||
Asset-backed securities(1) | 16,535 | 666 | 12 | 0 | 17,189 | ||||||||||||||||||||||||
Commercial mortgage-backed securities | 141,564 | 13,854 | 0 | 0 | 155,418 | ||||||||||||||||||||||||
Residential mortgage-backed securities(2) | 3,214 | 552 | 0 | 0 | 3,766 | ||||||||||||||||||||||||
Total fixed maturities, available-for-sale | $ | 1,635,870 | $ | 259,400 | $ | 1,075 | $ | 0 | $ | 1,894,195 |
March 31, 2021 | |||||||||||||||||||||||||||||||||||
Less Than Twelve Months | Twelve Months or More | Total | |||||||||||||||||||||||||||||||||
Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | ||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||||
Fixed maturities, available-for-sale: | |||||||||||||||||||||||||||||||||||
Foreign government bonds | $ | 29,269 | $ | 1,753 | $ | 0 | $ | 0 | $ | 29,269 | $ | 1,753 | |||||||||||||||||||||||
U.S. public corporate securities | 151,096 | 9,962 | 0 | 0 | 151,096 | 9,962 | |||||||||||||||||||||||||||||
U.S. private corporate securities | 15,403 | 262 | 5,180 | 170 | 20,583 | 432 | |||||||||||||||||||||||||||||
Foreign public corporate securities | 23,302 | 1,388 | 0 | 0 | 23,302 | 1,388 | |||||||||||||||||||||||||||||
Foreign private corporate securities | 11,241 | 208 | 11,585 | 1,072 | 22,826 | 1,280 | |||||||||||||||||||||||||||||
Asset-backed securities | 490 | 1 | 1,012 | 0 | 1,502 | 1 | |||||||||||||||||||||||||||||
Total fixed maturities, available-for-sale | $ | 230,801 | $ | 13,574 | $ | 17,777 | $ | 1,242 | $ | 248,578 | $ | 14,816 |
June 30, 2020 | |||||||||||||||||||||||
Less Than Twelve Months | Twelve Months or More | Total | |||||||||||||||||||||
Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | ||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Fixed maturities, available-for-sale: | |||||||||||||||||||||||
Foreign government bonds | $ | 1,977 | $ | 34 | $ | 0 | $ | 0 | $ | 1,977 | $ | 34 | |||||||||||
U.S. public corporate securities | 34,409 | 1,687 | 0 | 0 | 34,409 | 1,687 | |||||||||||||||||
U.S. private corporate securities | 24,994 | 1,367 | 0 | 0 | 24,994 | 1,367 | |||||||||||||||||
Foreign public corporate securities | 4,989 | 326 | 0 | 0 | 4,989 | 326 | |||||||||||||||||
Foreign private corporate securities | 19,719 | 728 | 33,253 | 4,164 | 52,972 | 4,892 | |||||||||||||||||
Asset-backed securities | 2,955 | 42 | 3,407 | 86 | 6,362 | 128 | |||||||||||||||||
Residential mortgage-backed securities | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||
Total fixed maturities, available-for-sale | $ | 89,043 | $ | 4,184 | $ | 36,660 | $ | 4,250 | $ | 125,703 | $ | 8,434 |
December 31, 2019 | |||||||||||||||||||||||
Less Than Twelve Months | Twelve Months or More | Total | |||||||||||||||||||||
Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | ||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Fixed maturities, available-for-sale: | |||||||||||||||||||||||
Foreign government bonds | $ | 0 | $ | 0 | $ | 400 | $ | 0 | $ | 400 | $ | 0 | |||||||||||
U.S. public corporate securities | 16,892 | 190 | 1,073 | 337 | 17,965 | 527 | |||||||||||||||||
U.S. private corporate securities | 7,350 | 140 | 4,757 | 13 | 12,107 | 153 | |||||||||||||||||
Foreign public corporate securities | 2,054 | 23 | 2,427 | 57 | 4,481 | 80 | |||||||||||||||||
Foreign private corporate securities | 10,659 | 281 | 27,048 | 1,929 | 37,707 | 2,210 | |||||||||||||||||
Asset-backed securities | 1,488 | 12 | 2,985 | 15 | 4,473 | 27 | |||||||||||||||||
Residential mortgage-backed securities | 91 | 4 | 0 | 0 | 91 | 4 | |||||||||||||||||
Total fixed maturities, available-for-sale | $ | 38,534 | $ | 650 | $ | 38,690 | $ | 2,351 | $ | 77,224 | $ | 3,001 |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
December 31, 2020 | |||||||||||||||||||||||||||||||||||
Less Than Twelve Months | Twelve Months or More | Total | |||||||||||||||||||||||||||||||||
Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | ||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||||
Fixed maturities, available-for-sale: | |||||||||||||||||||||||||||||||||||
Foreign government bonds | $ | 2,122 | $ | 29 | $ | 0 | $ | 0 | $ | 2,122 | $ | 29 | |||||||||||||||||||||||
U.S. public corporate securities | 10,416 | 118 | 0 | 0 | 10,416 | 118 | |||||||||||||||||||||||||||||
U.S. private corporate securities | 9,635 | 225 | 0 | 0 | 9,635 | 225 | |||||||||||||||||||||||||||||
Foreign public corporate securities | 1,611 | 51 | 0 | 0 | 1,611 | 51 | |||||||||||||||||||||||||||||
Foreign private corporate securities | 0 | 0 | 12,017 | 640 | 12,017 | 640 | |||||||||||||||||||||||||||||
Asset-backed securities | 988 | 2 | 3,941 | 10 | 4,929 | 12 | |||||||||||||||||||||||||||||
Residential mortgage-backed securities | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||
Total fixed maturities, available-for-sale | $ | 24,772 | $ | 425 | $ | 15,958 | $ | 650 | $ | 40,730 | $ | 1,075 |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
March 31, 2021 | |||||||||||
Amortized Cost | Fair Value | ||||||||||
(in thousands) | |||||||||||
Fixed maturities, available-for-sale: | |||||||||||
Due in one year or less | $ | 45,685 | $ | 45,656 | |||||||
Due after one year through five years | 237,943 | 252,705 | |||||||||
Due after five years through ten years | 149,055 | 160,579 | |||||||||
Due after ten years | 1,099,071 | 1,195,362 | |||||||||
Asset-backed securities | 16,540 | 17,220 | |||||||||
Commercial mortgage-backed securities | 140,516 | 149,312 | |||||||||
Residential mortgage-backed securities | 3,031 | 3,504 | |||||||||
Total fixed maturities, available-for-sale | $ | 1,691,841 | $ | 1,824,338 |
June 30, 2020 | |||||||
Amortized Cost | Fair Value | ||||||
(in thousands) | |||||||
Fixed maturities, available-for-sale: | |||||||
Due in one year or less | $ | 48,076 | $ | 48,656 | |||
Due after one year through five years | 206,128 | 213,023 | |||||
Due after five years through ten years | 207,481 | 216,827 | |||||
Due after ten years | 959,976 | 1,114,954 | |||||
Asset-backed securities | 18,020 | 18,437 | |||||
Commercial mortgage-backed securities | 143,676 | 155,374 | |||||
Residential mortgage-backed securities | 3,647 | 4,282 | |||||
Total fixed maturities, available-for-sale | $ | 1,587,004 | $ | 1,771,553 |
Three Months Ended March 31, | |||||||||||||||||||||||
2021 | 2020 | ||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Fixed maturities, available-for-sale: | |||||||||||||||||||||||
Proceeds from sales(1) | $ | 2,922 | $ | 1,410 | |||||||||||||||||||
Proceeds from maturities/prepayments | 10,086 | 12,254 | |||||||||||||||||||||
Gross investment gains from sales and maturities | 25 | 24 | |||||||||||||||||||||
Gross investment losses from sales and maturities | (167) | 0 | |||||||||||||||||||||
Write-downs recognized in earnings(2) | 0 | (625) | |||||||||||||||||||||
(Addition to) release of allowance for credit losses | 0 | 0 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||
(in thousands) | |||||||||||||||
Fixed maturities, available-for-sale: | |||||||||||||||
Proceeds from sales(1) | $ | 885 | $ | 8,383 | $ | 2,295 | $ | 11,639 | |||||||
Proceeds from maturities/prepayments | 5,361 | 19,043 | 17,615 | 22,206 | |||||||||||
Gross investment gains from sales and maturities | 2 | 40 | 26 | 143 | |||||||||||
Gross investment losses from sales and maturities | (44 | ) | (424 | ) | (44 | ) | (459 | ) | |||||||
OTTI recognized in earnings(2) | N/A | 0 | N/A | (3,163 | ) | ||||||||||
Write-downs recognized in earnings(3) | 0 | N/A | (625 | ) | N/A | ||||||||||
(Addition to) release of allowance for credit losses(4) | 0 | N/A | 0 | N/A |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
March 31, 2021 | December 31, 2020 | ||||||||||||||||||||||
Amount (in thousands) | % of Total | Amount (in thousands) | % of Total | ||||||||||||||||||||
Commercial mortgage and agricultural property loans by property type: | |||||||||||||||||||||||
Apartments/Multi-Family | $ | 46,534 | 35.0 | % | $ | 46,755 | 35.0 | % | |||||||||||||||
Hospitality | 14,031 | 10.6 | 14,031 | 10.5 | |||||||||||||||||||
Industrial | 13,884 | 10.4 | 13,936 | 10.4 | |||||||||||||||||||
Office | 23,524 | 17.7 | 23,649 | 17.7 | |||||||||||||||||||
Other | 16,801 | 12.6 | 16,929 | 12.7 | |||||||||||||||||||
Retail | 15,772 | 11.9 | 15,857 | 11.9 | |||||||||||||||||||
Total commercial mortgage loans | 130,546 | 98.2 | 131,157 | 98.2 | |||||||||||||||||||
Agricultural property loans | 2,361 | 1.8 | 2,398 | 1.8 | |||||||||||||||||||
Total commercial mortgage and agricultural property loans | 132,907 | 100.0 | % | 133,555 | 100.0 | % | |||||||||||||||||
Allowance for credit losses | (466) | (440) | |||||||||||||||||||||
Total net commercial mortgage and other loans | $ | 132,441 | $ | 133,115 |
June 30, 2020 | December 31, 2019 | ||||||||||||
Amount (in thousands) | % of Total | Amount (in thousands) | % of Total | ||||||||||
Commercial mortgage and agricultural property loans by property type: | |||||||||||||
Apartments/Multi-Family | $ | 47,170 | 34.1 | % | $ | 47,568 | 33.2 | % | |||||
Hospitality | 14,160 | 10.2 | 14,266 | 10.0 | |||||||||
Industrial | 16,479 | 11.9 | 18,907 | 13.2 | |||||||||
Office | 23,290 | 16.8 | 24,035 | 16.7 | |||||||||
Other | 18,775 | 13.6 | 18,853 | 13.2 | |||||||||
Retail | 16,025 | 11.6 | 16,174 | 11.3 | |||||||||
Total commercial mortgage loans | 135,899 | 98.2 | 139,803 | 97.6 | |||||||||
Agricultural property loans | 2,472 | 1.8 | 3,460 | 2.4 | |||||||||
Total commercial mortgage and agricultural property loans by property type | 138,371 | 100.0 | % | 143,263 | 100.0 | % | |||||||
Allowance for credit losses | (457 | ) | (165 | ) | |||||||||
Total commercial mortgage and other loans | $ | 137,914 | $ | 143,098 |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
Commercial Mortgage Loans | Agricultural Property Loans | Total | |||||||||
(in thousands) | |||||||||||
Balance at December 31, 2018 | $ | 150 | $ | 1 | $ | 151 | |||||
Addition to (release of) allowance for credit losses | 14 | 0 | 14 | ||||||||
Balance at December 31, 2019 | 164 | 1 | 165 | ||||||||
Cumulative effect of adoption of ASU 2016-13 | 204 | 0 | 204 | ||||||||
Addition to (release of) allowance for expected losses | 89 | (1 | ) | 88 | |||||||
Balance at June 30, 2020 | $ | 457 | $ | 0 | $ | 457 |
Three Months Ended March 31, | |||||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | ||||||||||||||||||||||||||||||||||||||||||||||
Commercial Mortgage Loans | Agricultural Property Loans | Total | Commercial Mortgage Loans | Agricultural Property Loans | Total | ||||||||||||||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||||||||||||||||
Allowance, beginning of period | $ | 440 | $ | 0 | $ | 440 | $ | 164 | $ | 1 | $ | 165 | |||||||||||||||||||||||||||||||||||
Cumulative effect of adoption of ASU 2016-13 | 0 | 0 | 0 | 204 | 0 | 204 | |||||||||||||||||||||||||||||||||||||||||
Addition to (release of) allowance for expected losses | 26 | 0 | 26 | 73 | 0 | 73 | |||||||||||||||||||||||||||||||||||||||||
Allowance, end of period | $ | 466 | $ | 0 | $ | 466 | $ | 441 | $ | 1 | $ | 442 | |||||||||||||||||||||||||||||||||||
June 30, 2020 | |||||||||||||||||||||||||||||||
Amortized Cost by Origination Year | |||||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | Prior | Revolving Loans | Total | ||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||
Loan-to-Value Ratio: | |||||||||||||||||||||||||||||||
Commercial mortgage loans | |||||||||||||||||||||||||||||||
0%-59.99% | $ | 0 | $ | 10,307 | $ | 0 | $ | 8,804 | $ | 9,771 | $ | 58,521 | $ | 0 | $ | 87,403 | |||||||||||||||
60%-69.99% | 2,198 | 20,727 | 1,498 | 3,946 | 3,192 | 13,886 | 0 | 45,447 | |||||||||||||||||||||||
70%-79.99% | 0 | 3,049 | 0 | 0 | 0 | 0 | 0 | 3,049 | |||||||||||||||||||||||
80% or greater | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
Subtotal | 2,198 | 34,083 | 1,498 | 12,750 | 12,963 | 72,407 | 0 | 135,899 | |||||||||||||||||||||||
Agricultural property loans | |||||||||||||||||||||||||||||||
0%-59.99% | 0 | 0 | 0 | 0 | 0 | 2,472 | 0 | 2,472 | |||||||||||||||||||||||
60%-69.99% | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
70%-79.99% | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
80% or greater | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
Subtotal | 0 | 0 | 0 | 0 | 0 | 2,472 | 0 | 2,472 | |||||||||||||||||||||||
Total commercial mortgage and agricultural property loans | |||||||||||||||||||||||||||||||
0%-59.99% | 0 | 10,307 | 0 | 8,804 | 9,771 | 60,993 | 0 | 89,875 | |||||||||||||||||||||||
60%-69.99% | 2,198 | 20,727 | 1,498 | 3,946 | 3,192 | 13,886 | 0 | 45,447 | |||||||||||||||||||||||
70%-79.99% | 0 | 3,049 | 0 | 0 | 0 | 0 | 0 | 3,049 | |||||||||||||||||||||||
80% or greater | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
Total commercial mortgage and agricultural property loans | $ | 2,198 | $ | 34,083 | $ | 1,498 | $ | 12,750 | $ | 12,963 | $ | 74,879 | $ | 0 | $ | 138,371 |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
March 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||
Amortized Cost by Origination Year | ||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | Prior | Total | ||||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||
Commercial Mortgage Loans | ||||||||||||||||||||||||||||||||||||||||||||
Loan-to-Value Ratio: | ||||||||||||||||||||||||||||||||||||||||||||
0%-59.99% | $ | 0 | $ | 0 | $ | 6,246 | $ | 1,466 | $ | 10,713 | $ | 64,251 | $ | 82,676 | ||||||||||||||||||||||||||||||
60%-69.99% | 0 | 2,198 | 27,745 | 0 | 1,016 | 12,153 | 43,112 | |||||||||||||||||||||||||||||||||||||
70%-79.99% | 0 | 0 | 1,870 | 0 | 0 | 1,914 | 3,784 | |||||||||||||||||||||||||||||||||||||
80% or greater | 0 | 0 | 0 | 0 | 974 | 0 | 974 | |||||||||||||||||||||||||||||||||||||
Total | $ | 0 | $ | 2,198 | $ | 35,861 | $ | 1,466 | $ | 12,703 | $ | 78,318 | $ | 130,546 | ||||||||||||||||||||||||||||||
Debt Service Coverage Ratio: | ||||||||||||||||||||||||||||||||||||||||||||
Greater or Equal to 1.2x | $ | 0 | $ | 2,198 | $ | 31,493 | $ | 1,466 | $ | 11,729 | $ | 72,099 | $ | 118,985 | ||||||||||||||||||||||||||||||
1.0 - 1.2x | 0 | 0 | 3,364 | 0 | 974 | 6,219 | 10,557 | |||||||||||||||||||||||||||||||||||||
Less than 1.0x | 0 | 0 | 1,004 | 0 | 0 | 0 | 1,004 | |||||||||||||||||||||||||||||||||||||
Total | $ | 0 | $ | 2,198 | $ | 35,861 | $ | 1,466 | $ | 12,703 | $ | 78,318 | $ | 130,546 | ||||||||||||||||||||||||||||||
Agricultural Property Loans | ||||||||||||||||||||||||||||||||||||||||||||
Loan-to-Value Ratio: | ||||||||||||||||||||||||||||||||||||||||||||
0%-59.99% | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 2,361 | $ | 2,361 | ||||||||||||||||||||||||||||||
60%-69.99% | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||||||||||
70%-79.99% | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||||||||||
80% or greater | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||||||||||
Total | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 2,361 | $ | 2,361 | ||||||||||||||||||||||||||||||
Debt Service Coverage Ratio: | ||||||||||||||||||||||||||||||||||||||||||||
Greater or Equal to 1.2x | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 2,361 | $ | 2,361 | ||||||||||||||||||||||||||||||
1.0 - 1.2x | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||||||||||
Less than 1.0x | 0 | 0 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||||||||||
Total | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 2,361 | $ | 2,361 |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||
Amortized Cost by Origination Year | |||||||||||||||||||||||||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | Prior | Total | |||||||||||||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||||||||||||||||
Commercial Mortgage Loans | |||||||||||||||||||||||||||||||||||||||||||||||
Loan-to-Value Ratio: | |||||||||||||||||||||||||||||||||||||||||||||||
0%-59.99% | $ | 0 | $ | 6,285 | $ | 0 | $ | 6,349 | $ | 9,731 | $ | 45,261 | $ | 67,626 | |||||||||||||||||||||||||||||||||
60%-69.99% | 2,198 | 27,970 | 1,478 | 5,381 | 3,191 | 18,533 | 58,751 | ||||||||||||||||||||||||||||||||||||||||
70%-79.99% | 0 | 1,870 | 0 | 0 | 0 | 1,931 | 3,801 | ||||||||||||||||||||||||||||||||||||||||
80% or greater | 0 | 0 | 0 | 979 | 0 | 0 | 979 | ||||||||||||||||||||||||||||||||||||||||
Total | $ | 2,198 | $ | 36,125 | $ | 1,478 | $ | 12,709 | $ | 12,922 | $ | 65,725 | $ | 131,157 | |||||||||||||||||||||||||||||||||
Debt Service Coverage Ratio: | |||||||||||||||||||||||||||||||||||||||||||||||
Greater or Equal to 1.2x | $ | 2,198 | $ | 31,751 | $ | 1,478 | $ | 11,730 | $ | 11,872 | $ | 60,499 | $ | 119,528 | |||||||||||||||||||||||||||||||||
1.0 - 1.2x | 0 | 3,364 | 0 | 979 | 1,050 | 5,226 | 10,619 | ||||||||||||||||||||||||||||||||||||||||
Less than 1.0x | 0 | 1,010 | 0 | 0 | 0 | 0 | 1,010 | ||||||||||||||||||||||||||||||||||||||||
Total | $ | 2,198 | $ | 36,125 | $ | 1,478 | $ | 12,709 | $ | 12,922 | $ | 65,725 | $ | 131,157 | |||||||||||||||||||||||||||||||||
Agricultural Property Loans | |||||||||||||||||||||||||||||||||||||||||||||||
Loan-to-Value Ratio: | |||||||||||||||||||||||||||||||||||||||||||||||
0%-59.99% | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 2,398 | $ | 2,398 | |||||||||||||||||||||||||||||||||
60%-69.99% | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||||||||||||||
70%-79.99% | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||||||||||||||
80% or greater | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||||||||||||||
Total | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 2,398 | $ | 2,398 | |||||||||||||||||||||||||||||||||
Debt Service Coverage Ratio: | |||||||||||||||||||||||||||||||||||||||||||||||
Greater or Equal to 1.2x | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 2,398 | $ | 2,398 | |||||||||||||||||||||||||||||||||
1.0 - 1.2x | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||||||||||||||
Less than 1.0x | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||||||||||||||
Total | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 2,398 | $ | 2,398 |
June 30, 2020 | December 31, 2019 | ||||||||||||||
Commercial Mortgage Loans | Agricultural Property Loans | Commercial Mortgage Loans | Agricultural Property Loans | ||||||||||||
(in thousands) | |||||||||||||||
Debt Service Coverage Ratio: | |||||||||||||||
Greater or equal to 1.2x | $ | 131,469 | $ | 2,472 | $ | 135,276 | $ | 3,460 | |||||||
1.0 - 1.2x | 4,430 | 0 | 4,527 | 0 | |||||||||||
Less than 1.0x | 0 | 0 | 0 | 0 | |||||||||||
Total | $ | 135,899 | $ | 2,472 | $ | 139,803 | $ | 3,460 |
March 31, 2021 | |||||||||||||||||||||||||||||||||||
Current | 30-59 Days Past Due | 60-89 Days Past Due | 90 Days or More Past Due(1) | Total Loans | Non-Accrual Status(2) | ||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||||
Commercial mortgage loans | $ | 130,546 | $ | 0 | $ | 0 | $ | 0 | $ | 130,546 | $ | 0 | |||||||||||||||||||||||
Agricultural property loans | 2,361 | 0 | 0 | 0 | 2,361 | 0 | |||||||||||||||||||||||||||||
Total | $ | 132,907 | $ | 0 | $ | 0 | $ | 0 | $ | 132,907 | $ | 0 |
June 30, 2020 | |||||||||||||||||||||||
Current | 30-59 Days Past Due | 60-89 Days Past Due | 90 Days or More Past Due(1) | Total Loans | Non-Accrual Status(2) | ||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Commercial mortgage loans | $ | 135,899 | $ | 0 | $ | 0 | $ | 0 | $ | 135,899 | $ | 0 | |||||||||||
Agricultural property loans | 2,472 | 0 | 0 | 0 | 2,472 | 0 | |||||||||||||||||
Total | $ | 138,371 | $ | 0 | $ | 0 | $ | 0 | $ | 138,371 | $ | 0 |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | |||
December 31, 2020 | |||||||||||||||||||||||||||||||||||
Current | 30-59 Days Past Due | 60-89 Days Past Due | 90 Days or More Past Due(1) | Total Loans | Non-Accrual Status(2) | ||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||||
Commercial mortgage loans | $ | 131,157 | $ | 0 | $ | 0 | $ | 0 | $ | 131,157 | $ | 0 | |||||||||||||||||||||||
Agricultural property loans | 2,398 | 0 | 0 | 0 | 2,398 | 0 | |||||||||||||||||||||||||||||
Total | $ | 133,555 | $ | 0 | $ | 0 | $ | 0 | $ | 133,555 | $ | 0 |
December 31, 2019 | |||||||||||||||||||||||
Current | 30-59 Days Past Due | 60-89 Days Past Due | 90 Days or More Past Due(1) | Total Loans | Non-Accrual Status(2) | ||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Commercial mortgage loans | $ | 139,803 | $ | 0 | $ | 0 | $ | 0 | $ | 139,803 | $ | 0 | |||||||||||
Agricultural property loans | 3,460 | 0 | 0 | 0 | 3,460 | 0 | |||||||||||||||||
Total | $ | 143,263 | $ | 0 | $ | 0 | $ | 0 | $ | 143,263 | $ | 0 |
March 31, 2021 | December 31, 2020 | ||||||||||
(in thousands) | |||||||||||
Company’s investment in separate accounts | $ | 3,373 | $ | 3,269 | |||||||
LPs/LLCs: | |||||||||||
Equity method: | |||||||||||
Private equity | 45,304 | 38,261 | |||||||||
Hedge funds | 34,050 | 33,773 | |||||||||
Real estate-related | 4,920 | 4,625 | |||||||||
Subtotal equity method | 84,274 | 76,659 | |||||||||
Fair value: | |||||||||||
Private equity | 567 | 590 | |||||||||
Hedge funds | 56 | 69 | |||||||||
Real estate-related | 2,208 | 2,141 | |||||||||
Subtotal fair value | 2,831 | 2,800 | |||||||||
Total LPs/LLCs | 87,105 | 79,459 | |||||||||
Derivative instruments | 12,656 | 14,781 | |||||||||
Total other invested assets | $ | 103,134 | $ | 97,509 |
June 30, 2020 | December 31, 2019 | ||||||
(in thousands) | |||||||
Company’s investment in separate accounts | $ | 3,320 | $ | 3,418 | |||
LPs/LLCs: | |||||||
Equity method: | |||||||
Private equity | 31,380 | 26,609 | |||||
Hedge funds | 31,169 | 30,629 | |||||
Real estate-related | 4,466 | 4,154 | |||||
Subtotal equity method | 67,015 | 61,392 | |||||
Fair value: | |||||||
Private equity | 567 | 774 | |||||
Hedge funds | 69 | 78 | |||||
Real estate-related | 2,305 | 2,490 | |||||
Subtotal fair value | 2,941 | 3,342 | |||||
Total LPs/LLCs | 69,956 | 64,734 | |||||
Derivative instruments | 34,248 | 21,384 | |||||
Total other invested assets | $ | 107,524 | $ | 89,536 |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
March 31, 2021 | December 31, 2020 | ||||||||||
(in thousands) | |||||||||||
Fixed maturities | $ | 15,458 | $ | 15,178 | |||||||
Equity securities | 92 | 1 | |||||||||
Commercial mortgage and other loans | 373 | 372 | |||||||||
Policy loans | 5,748 | 5,688 | |||||||||
Short-term investments and cash equivalents | 7 | 9 | |||||||||
Total accrued investment income | $ | 21,678 | $ | 21,248 |
June 30, 2020 | |||
(in thousands) | |||
Fixed maturities | $ | 14,881 | |
Equity securities | 1 | ||
Commercial mortgage and other loans | 384 | ||
Policy loans | 5,702 | ||
Short-term investments and cash equivalents | 16 | ||
Total accrued investment income | $ | 20,984 |
Three Months Ended March 31, | |||||||||||||||||||||||
2021 | 2020 | ||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Fixed maturities, available-for-sale | $ | 15,966 | $ | 14,162 | |||||||||||||||||||
Fixed maturities, trading | 167 | 121 | |||||||||||||||||||||
Equity securities | 91 | 91 | |||||||||||||||||||||
Commercial mortgage and other loans | 1,267 | 1,402 | |||||||||||||||||||||
Policy loans | 2,827 | 2,876 | |||||||||||||||||||||
Other invested assets | 4,243 | (1,045) | |||||||||||||||||||||
Short-term investments and cash equivalents | 22 | 303 | |||||||||||||||||||||
Gross investment income | 24,583 | 17,910 | |||||||||||||||||||||
Less: investment expenses | (1,038) | (945) | |||||||||||||||||||||
Net investment income | $ | 23,545 | $ | 16,965 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||
(in thousands) | |||||||||||||||
Fixed maturities, available-for-sale | $ | 15,681 | $ | 14,248 | $ | 29,843 | $ | 27,806 | |||||||
Fixed maturities, trading | 121 | 86 | 242 | 163 | |||||||||||
Equity securities | 91 | 91 | 182 | 182 | |||||||||||
Commercial mortgage and other loans | 1,442 | 1,324 | 2,844 | 2,501 | |||||||||||
Policy loans | 2,885 | 2,846 | 5,761 | 5,580 | |||||||||||
Other invested assets | 1,370 | 1,414 | 325 | 3,096 | |||||||||||
Short-term investments and cash equivalents | 56 | 322 | 359 | 602 | |||||||||||
Gross investment income | 21,646 | 20,331 | 39,556 | 39,930 | |||||||||||
Less: investment expenses | (963 | ) | (859 | ) | (1,908 | ) | (1,717 | ) | |||||||
Net investment income | $ | 20,683 | $ | 19,472 | $ | 37,648 | $ | 38,213 |
Three Months Ended March 31, | |||||||||||||||||||||||
2021 | 2020 | ||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Fixed maturities(1) | $ | (142) | $ | (601) | |||||||||||||||||||
Commercial mortgage and other loans | (26) | (73) | |||||||||||||||||||||
Other invested assets | 34 | (60) | |||||||||||||||||||||
Derivatives | 15,970 | 13,871 | |||||||||||||||||||||
Short term investments and cash equivalents | (4) | (72) | |||||||||||||||||||||
Realized investment gains (losses), net | $ | 15,832 | $ | 13,065 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||
(in thousands) | |||||||||||||||
Fixed maturities(1) | $ | (42 | ) | $ | (384 | ) | $ | (643 | ) | $ | (3,479 | ) | |||
Commercial mortgage and other loans | (15 | ) | 21 | (88 | ) | 33 | |||||||||
Other invested assets | 1 | 0 | (59 | ) | 11 | ||||||||||
Derivatives | (7,493 | ) | (4,689 | ) | 6,378 | (7,733 | ) | ||||||||
Short term investments and cash equivalents | 37 | (4 | ) | (35 | ) | 2 | |||||||||
Realized investment gains (losses), net | $ | (7,512 | ) | $ | (5,056 | ) | $ | 5,553 | $ | (11,166 | ) |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
March 31, 2021 | December 31, 2020 | ||||||||||
(in thousands) | |||||||||||
Fixed maturity securities, available-for-sale without an allowance | $ | 132,497 | $ | 258,325 | |||||||
Derivatives designated as cash flow hedges(1) | (1,453) | (2,998) | |||||||||
Affiliated notes, available-for-sale | 212 | 254 | |||||||||
Other investments | 307 | 143 | |||||||||
Net unrealized gains (losses) on investments | $ | 131,563 | $ | 255,724 |
June 30, 2020 | December 31, 2019 | ||||||
(in thousands) | |||||||
Fixed maturity securities, available-for-sale — with OTTI(1) | $ N/A | $ | 51 | ||||
Fixed maturity securities, available-for-sale — all other(1) | N/A | 112,249 | |||||
Fixed maturity securities, available-for-sale with an allowance | 0 | N/A | |||||
Fixed maturity securities, available-for-sale without an allowance | 184,549 | N/A | |||||
Derivatives designated as cash flow hedges(2) | 13,596 | 3,193 | |||||
Affiliated notes | 508 | 480 | |||||
Other investments | 39 | 66 | |||||
Net unrealized gains (losses) on investments | $ | 198,692 | $ | 116,039 |
March 31, 2021 | December 31, 2020 | ||||||||||||||||||||||||||||||||||
Remaining Contractual Maturities of the Agreements | Remaining Contractual Maturities of the Agreements | ||||||||||||||||||||||||||||||||||
Overnight & Continuous | Up to 30 Days | Total | Overnight & Continuous | Up to 30 Days | Total | ||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||||
Foreign public corporate securities | $ | 2,725 | $ | 0 | $ | 2,725 | $ | 2,725 | $ | 0 | $ | 2,725 | |||||||||||||||||||||||
Total cash collateral for loaned securities(1) | $ | 2,725 | $ | 0 | $ | 2,725 | $ | 2,725 | $ | 0 | $ | 2,725 |
June 30, 2020 | December 31, 2019 | ||||||||||||||||||||||
Remaining Contractual Maturities of the Agreements | Remaining Contractual Maturities of the Agreements | ||||||||||||||||||||||
Overnight & Continuous | Up to 30 Days | Total | Overnight & Continuous | Up to 30 Days | Total | ||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Foreign public corporate securities | $ | 2,700 | $ | 0 | $ | 2,700 | $ | 2,481 | $ | 0 | $ | 2,481 | |||||||||||
Total cash collateral for loaned securities(1) | $ | 2,700 | $ | 0 | $ | 2,700 | $ | 2,481 | $ | 0 | $ | 2,481 |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
March 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||
Primary Underlying Risk/Instrument Type | Fair Value | Fair Value | ||||||||||||||||||||||||||||||||||||
Gross Notional | Assets | Liabilities | Gross Notional | Assets | Liabilities | |||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||
Derivatives Designated as Hedge Accounting Instruments: | ||||||||||||||||||||||||||||||||||||||
Currency/Interest Rate | ||||||||||||||||||||||||||||||||||||||
Foreign Currency Swaps | $ | 126,312 | $ | 2,685 | $ | (5,670) | $ | 126,806 | $ | 2,404 | $ | (7,017) | ||||||||||||||||||||||||||
Total Derivatives Designated as Hedge Accounting Instruments: | $ | 126,312 | $ | 2,685 | $ | (5,670) | $ | 126,806 | $ | 2,404 | $ | (7,017) | ||||||||||||||||||||||||||
Derivatives Not Qualifying as Hedge Accounting Instruments: | ||||||||||||||||||||||||||||||||||||||
Interest Rate | ||||||||||||||||||||||||||||||||||||||
Interest Rate Swaps | $ | 30,200 | $ | 3,409 | $ | 0 | $ | 30,200 | $ | 4,535 | $ | 0 | ||||||||||||||||||||||||||
Credit | ||||||||||||||||||||||||||||||||||||||
Credit Default Swaps | 0 | 0 | 0 | 713 | 0 | (6) | ||||||||||||||||||||||||||||||||
Currency/Interest Rate | ||||||||||||||||||||||||||||||||||||||
Foreign Currency Swaps | 33,224 | 2,230 | (1,648) | 33,224 | 2,374 | (1,650) | ||||||||||||||||||||||||||||||||
Foreign Currency | ||||||||||||||||||||||||||||||||||||||
Foreign Currency Forwards | 3,466 | 127 | (2) | 3,087 | 0 | (96) | ||||||||||||||||||||||||||||||||
Equity | ||||||||||||||||||||||||||||||||||||||
Equity Options | 454,675 | 41,498 | (29,973) | 441,725 | 41,582 | (27,350) | ||||||||||||||||||||||||||||||||
Total Derivatives Not Qualifying as Hedge Accounting Instruments: | $ | 521,565 | $ | 47,264 | $ | (31,623) | $ | 508,949 | $ | 48,491 | $ | (29,102) | ||||||||||||||||||||||||||
Total Derivatives(1)(2) | $ | 647,877 | $ | 49,949 | $ | (37,293) | $ | 635,755 | $ | 50,895 | $ | (36,119) |
June 30, 2020 | December 31, 2019 | |||||||||||||||||||||||
Primary Underlying Risk/Instrument Type | Fair Value | Fair Value | ||||||||||||||||||||||
Gross Notional | Assets | Liabilities | Gross Notional | Assets | Liabilities | |||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||
Derivatives Designated as Hedge Accounting Instruments: | ||||||||||||||||||||||||
Currency/Interest Rate | ||||||||||||||||||||||||
Foreign Currency Swaps | $ | 133,255 | $ | 14,212 | $ | 0 | $ | 131,212 | $ | 4,653 | $ | (1,504 | ) | |||||||||||
Total Derivatives Designated as Hedge Accounting Instruments: | $ | 133,255 | $ | 14,212 | $ | 0 | $ | 131,212 | $ | 4,653 | $ | (1,504 | ) | |||||||||||
Derivatives Not Qualifying as Hedge Accounting Instruments: | ||||||||||||||||||||||||
Interest Rate | ||||||||||||||||||||||||
Interest Rate Swaps | $ | 30,200 | $ | 5,177 | $ | 0 | $ | 32,075 | $ | 3,005 | $ | (5 | ) | |||||||||||
Credit | ||||||||||||||||||||||||
Credit Default Swaps | 713 | 9 | 0 | 0 | 0 | 0 | ||||||||||||||||||
Currency/Interest Rate | ||||||||||||||||||||||||
Foreign Currency Swaps | 33,224 | 5,447 | 0 | 33,224 | 2,691 | (579 | ) | |||||||||||||||||
Foreign Currency | ||||||||||||||||||||||||
Foreign Currency Forwards | 2,249 | 1 | (66 | ) | 1,858 | 0 | (36 | ) | ||||||||||||||||
Equity | ||||||||||||||||||||||||
Equity Options | 416,175 | 17,868 | (8,391 | ) | 379,350 | 24,064 | (10,919 | ) | ||||||||||||||||
Total Derivatives Not Qualifying as Hedge Accounting Instruments: | $ | 482,561 | $ | 28,502 | $ | (8,457 | ) | $ | 446,507 | $ | 29,760 | $ | (11,539 | ) | ||||||||||
Total Derivatives(1)(2) | $ | 615,816 | $ | 42,714 | $ | (8,457 | ) | $ | 577,719 | $ | 34,413 | $ | (13,043 | ) |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
March 31, 2021 | |||||||||||||||||||||||||||||
Gross Amounts of Recognized Financial Instruments | Gross Amounts Offset in the Statements of Financial Position | Net Amounts Presented in the Statements of Financial Position | Financial Instruments/ Collateral(1) | Net Amount | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Offsetting of Financial Assets: | |||||||||||||||||||||||||||||
Derivatives(1) | $ | 49,949 | $ | (37,293) | $ | 12,656 | $ | (12,656) | $ | 0 | |||||||||||||||||||
Securities purchased under agreements to resell | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
Total Assets | $ | 49,949 | $ | (37,293) | $ | 12,656 | $ | (12,656) | $ | 0 | |||||||||||||||||||
Offsetting of Financial Liabilities: | |||||||||||||||||||||||||||||
Derivatives(1) | $ | 37,293 | $ | (37,293) | $ | 0 | $ | 0 | $ | 0 | |||||||||||||||||||
Securities sold under agreements to repurchase | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
Total Liabilities | $ | 37,293 | $ | (37,293) | $ | 0 | $ | 0 | $ | 0 |
June 30, 2020 | |||||||||||||||||||
Gross Amounts of Recognized Financial Instruments | Gross Amounts Offset in the Statements of Financial Position | Net Amounts Presented in the Statements of Financial Position | Financial Instruments/ Collateral(1) | Net Amount | |||||||||||||||
(in thousands) | |||||||||||||||||||
Offsetting of Financial Assets: | |||||||||||||||||||
Derivatives(1) | $ | 42,714 | $ | (8,466 | ) | $ | 34,248 | $ | (34,232 | ) | $ | 16 | |||||||
Securities purchased under agreements to resell | 0 | 0 | 0 | 0 | 0 | ||||||||||||||
Total Assets | $ | 42,714 | $ | (8,466 | ) | $ | 34,248 | $ | (34,232 | ) | $ | 16 | |||||||
Offsetting of Financial Liabilities: | |||||||||||||||||||
Derivatives(1) | $ | 8,457 | $ | (8,457 | ) | $ | 0 | $ | 0 | $ | 0 | ||||||||
Securities sold under agreements to repurchase | 0 | 0 | 0 | 0 | 0 | ||||||||||||||
Total Liabilities | $ | 8,457 | $ | (8,457 | ) | $ | 0 | $ | 0 | $ | 0 |
December 31, 2020 | |||||||||||||||||||||||||||||
Gross Amounts of Recognized Financial Instruments | Gross Amounts Offset in the Statements of Financial Position | Net Amounts Presented in the Statements of Financial Position | Financial Instruments/ Collateral(1) | Net Amount | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Offsetting of Financial Assets: | |||||||||||||||||||||||||||||
Derivatives(1) | $ | 50,895 | $ | (36,114) | $ | 14,781 | $ | (14,572) | $ | 209 | |||||||||||||||||||
Securities purchased under agreements to resell | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
Total Assets | $ | 50,895 | $ | (36,114) | $ | 14,781 | $ | (14,572) | $ | 209 | |||||||||||||||||||
Offsetting of Financial Liabilities: | |||||||||||||||||||||||||||||
Derivatives(1) | $ | 36,119 | $ | (36,119) | $ | 0 | $ | 0 | $ | 0 | |||||||||||||||||||
Securities sold under agreements to repurchase | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||
Total Liabilities | $ | 36,119 | $ | (36,119) | $ | 0 | $ | 0 | $ | 0 |
December 31, 2019 | |||||||||||||||||||
Gross Amounts of Recognized Financial Instruments | Gross Amounts Offset in the Statements of Financial Position | Net Amounts Presented in the Statements of Financial Position | Financial Instruments/ Collateral(1) | Net Amount | |||||||||||||||
(in thousands) | |||||||||||||||||||
Offsetting of Financial Assets: | |||||||||||||||||||
Derivatives(1) | $ | 34,413 | $ | (13,029 | ) | $ | 21,384 | $ | (21,384 | ) | $ | 0 | |||||||
Securities purchased under agreements to resell | 0 | 0 | 0 | 0 | 0 | ||||||||||||||
Total Assets | $ | 34,413 | $ | (13,029 | ) | $ | 21,384 | $ | (21,384 | ) | $ | 0 | |||||||
Offsetting of Financial Liabilities: | |||||||||||||||||||
Derivatives(1) | $ | 13,043 | $ | (13,043 | ) | $ | 0 | $ | 0 | $ | 0 | ||||||||
Securities sold under agreements to repurchase | 0 | 0 | 0 | 0 | 0 | ||||||||||||||
Total Liabilities | $ | 13,043 | $ | (13,043 | ) | $ | 0 | $ | 0 | $ | 0 |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
Three Months Ended March 31, 2021 | |||||||||||||||||||||||
Realized Investment Gains (Losses) | Net Investment Income | Other Income | AOCI(1) | ||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Derivatives Designated as Hedge Accounting Instruments: | |||||||||||||||||||||||
Cash flow hedges | |||||||||||||||||||||||
Currency/Interest Rate | $ | (8) | $ | 401 | $ | 159 | $ | 1,545 | |||||||||||||||
Total cash flow hedges | (8) | 401 | 159 | 1,545 | |||||||||||||||||||
Derivatives Not Qualifying as Hedge Accounting Instruments: | |||||||||||||||||||||||
Interest Rate | (827) | 0 | 0 | 0 | |||||||||||||||||||
Currency | 111 | 0 | 0 | 0 | |||||||||||||||||||
Currency/Interest Rate | 3 | 0 | (6) | 0 | |||||||||||||||||||
Credit | (3) | 0 | 0 | 0 | |||||||||||||||||||
Equity | 1,965 | 0 | 0 | 0 | |||||||||||||||||||
Embedded Derivatives | 14,729 | 0 | 0 | 0 | |||||||||||||||||||
Total Derivatives Not Qualifying as Hedge Accounting Instruments: | 15,978 | 0 | (6) | 0 | |||||||||||||||||||
Total | $ | 15,970 | $ | 401 | $ | 153 | $ | 1,545 |
Three Months Ended June 30, 2020 | |||||||||||||||
Realized Investment Gains (Losses) | Net Investment Income | Other Income | AOCI (1) | ||||||||||||
(in thousands) | |||||||||||||||
Derivatives Designated as Hedge Accounting Instruments: | |||||||||||||||
Cash flow hedges | |||||||||||||||
Currency/Interest Rate | $ | 0 | $ | 488 | $ | (324 | ) | $ | (5,608 | ) | |||||
Total cash flow hedges | 0 | 488 | (324 | ) | (5,608 | ) | |||||||||
Derivatives Not Qualifying as Hedge Accounting Instruments: | |||||||||||||||
Interest Rate | 254 | 0 | 0 | 0 | |||||||||||
Currency | (42 | ) | 0 | 0 | 0 | ||||||||||
Currency/Interest Rate | (963 | ) | 0 | 1 | 0 | ||||||||||
Credit | (69 | ) | 0 | 0 | 0 | ||||||||||
Equity | 5,727 | 0 | 0 | 0 | |||||||||||
Embedded Derivatives | (12,400 | ) | 0 | 0 | 0 | ||||||||||
Total Derivatives Not Qualifying as Hedge Accounting Instruments: | (7,493 | ) | 0 | 1 | 0 | ||||||||||
Total | $ | (7,493 | ) | $ | 488 | $ | (323 | ) | $ | (5,608 | ) |
Three Months Ended March 31, 2020 | |||||||||||||||||||||||
Realized Investment Gains (Losses) | Net Investment Income | Other Income | AOCI(1) | ||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Derivatives Designated as Hedge Accounting Instruments: | |||||||||||||||||||||||
Cash flow hedges | |||||||||||||||||||||||
Currency/Interest Rate | $ | 26 | $ | 478 | $ | 1,005 | $ | 16,011 | |||||||||||||||
Total cash flow hedges | 26 | 478 | 1,005 | 16,011 | |||||||||||||||||||
Derivatives Not Qualifying as Hedge Accounting Instruments: | |||||||||||||||||||||||
Interest Rate | 1,839 | 0 | 0 | 0 | |||||||||||||||||||
Currency | 73 | 0 | 0 | 0 | |||||||||||||||||||
Currency/Interest Rate | 4,527 | 0 | 19 | 0 | |||||||||||||||||||
Credit | 0 | 0 | 0 | 0 | |||||||||||||||||||
Equity | (10,384) | 0 | 0 | 0 | |||||||||||||||||||
Embedded Derivatives | 17,790 | 0 | 0 | 0 | |||||||||||||||||||
Total Derivatives Not Qualifying as Hedge Accounting Instruments: | 13,845 | 0 | 19 | 0 | |||||||||||||||||||
Total | $ | 13,871 | $ | 478 | $ | 1,024 | $ | 16,011 |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
Six Months Ended June 30, 2020 | |||||||||||||||
Realized Investment Gains (Losses) | Net Investment Income | Other Income | AOCI (1) | ||||||||||||
(in thousands) | |||||||||||||||
Derivatives Designated as Hedge Accounting Instruments: | |||||||||||||||
Cash flow hedges | |||||||||||||||
Currency/Interest Rate | $ | 26 | $ | 966 | $ | 681 | $ | 10,403 | |||||||
Total cash flow hedges | 26 | 966 | 681 | 10,403 | |||||||||||
Derivatives Not Qualifying as Hedge Accounting Instruments: | |||||||||||||||
Interest Rate | 2,093 | 0 | 0 | 0 | |||||||||||
Currency | 31 | 0 | 0 | 0 | |||||||||||
Currency/Interest Rate | 3,564 | 0 | 20 | 0 | |||||||||||
Credit | (69 | ) | 0 | 0 | 0 | ||||||||||
Equity | (4,657 | ) | 0 | 0 | 0 | ||||||||||
Embedded Derivatives | 5,390 | 0 | 0 | 0 | |||||||||||
Total Derivatives Not Qualifying as Hedge Accounting Instruments: | 6,352 | 0 | 20 | 0 | |||||||||||
Total | $ | 6,378 | $ | 966 | $ | 701 | $ | 10,403 |
Three Months Ended June 30, 2019 | |||||||||||||||
Realized Investment Gains (Losses) | Net Investment Income | Other Income | AOCI(1) | ||||||||||||
(in thousands) | |||||||||||||||
Derivatives Designated as Hedge Accounting Instruments: | |||||||||||||||
Cash flow hedges | |||||||||||||||
Currency/Interest Rate | $ | 0 | $ | 411 | $ | 235 | $ | 1,543 | |||||||
Total cash flow hedges | 0 | 411 | 235 | 1,543 | |||||||||||
Derivatives Not Qualifying as Hedge Accounting Instruments: | |||||||||||||||
Interest Rate | 850 | 0 | 0 | 0 | |||||||||||
Currency | 9 | 0 | 0 | 0 | |||||||||||
Currency/Interest Rate | 492 | 0 | 2 | 0 | |||||||||||
Credit | 0 | 0 | 0 | 0 | |||||||||||
Equity | 1,839 | 0 | 0 | 0 | |||||||||||
Embedded Derivatives | (7,879 | ) | 0 | 0 | 0 | ||||||||||
Total Derivatives Not Qualifying as Hedge Accounting Instruments: | (4,689 | ) | 0 | 2 | 0 | ||||||||||
Total | $ | (4,689 | ) | $ | 411 | $ | 237 | $ | 1,543 |
Six Months Ended June 30, 2019 | |||||||||||||||
Realized Investment Gains (Losses) | Net Investment Income | Other Income | AOCI(1) | ||||||||||||
(in thousands) | |||||||||||||||
Derivatives Designated as Hedge Accounting Instruments: | |||||||||||||||
Cash flow hedges | |||||||||||||||
Currency/Interest Rate | $ | (10 | ) | $ | 808 | $ | 26 | $ | 1,326 | ||||||
Total cash flow hedges | (10 | ) | 808 | 26 | 1,326 | ||||||||||
Derivatives Not Qualifying as Hedge Accounting Instruments: | |||||||||||||||
Interest Rate | 1,359 | 0 | 0 | 0 | |||||||||||
Currency | 15 | 0 | 0 | 0 | |||||||||||
Currency/Interest Rate | 602 | 0 | 0 | 0 | |||||||||||
Credit | (1 | ) | 0 | 0 | 0 | ||||||||||
Equity | 5,979 | 0 | 0 | 0 | |||||||||||
Embedded Derivatives | (15,677 | ) | 0 | 0 | 0 | ||||||||||
Total Derivatives Not Qualifying as Hedge Accounting Instruments: | (7,723 | ) | 0 | 0 | 0 | ||||||||||
Total | $ | (7,733 | ) | $ | 808 | $ | 26 | $ | 1,326 |
(in thousands) | |||||
Balance, December 31, 2020 | $ | (2,998) | |||
Amount recorded in AOCI | |||||
Currency/Interest Rate | 2,097 | ||||
Total amount recorded in AOCI | 2,097 | ||||
Amount reclassified from AOCI to income | |||||
Currency/Interest Rate | (552) | ||||
Total amount reclassified from AOCI to income | (552) | ||||
Balance, March 31, 2021 | $ | (1,453) |
(in thousands) | |||
Balance, December 31, 2019 | $ | 3,193 | |
Amount recorded in AOCI | |||
Currency/Interest Rate | 12,076 | ||
Total amount recorded in AOCI | 12,076 | ||
Amount reclassified from AOCI to income | |||
Currency/Interest Rate | (1,673 | ) | |
Total amount reclassified from AOCI to income | (1,673 | ) | |
Balance, June 30, 2020 | $ | 13,596 |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
As of June 30, 2020 | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Netting(1) | Total | |||||||||||||||
(in thousands) | |||||||||||||||||||
Fixed maturities, available-for-sale: | |||||||||||||||||||
U.S. Treasury securities and obligations of U.S. government authorities and agencies | $ | 0 | $ | 16,052 | $ | 0 | $ | 0 | $ | 16,052 | |||||||||
Obligations of U.S. states and their political subdivisions | 0 | 180,090 | 0 | 0 | 180,090 | ||||||||||||||
Foreign government bonds | 0 | 78,794 | 0 | 0 | 78,794 | ||||||||||||||
U.S. corporate public securities | 0 | 856,451 | 0 | 0 | 856,451 | ||||||||||||||
U.S. corporate private securities | 0 | 240,303 | 303 | 0 | 240,606 | ||||||||||||||
Foreign corporate public securities | 0 | 59,180 | 0 | 0 | 59,180 | ||||||||||||||
Foreign corporate private securities | 0 | 142,358 | 19,929 | 0 | 162,287 | ||||||||||||||
Asset-backed securities(2) | 0 | 18,437 | 0 | 0 | 18,437 | ||||||||||||||
Commercial mortgage-backed securities | 0 | 155,374 | 0 | 0 | 155,374 | ||||||||||||||
Residential mortgage-backed securities | 0 | 4,282 | 0 | 0 | 4,282 | ||||||||||||||
Subtotal | 0 | 1,751,321 | 20,232 | 0 | 1,771,553 | ||||||||||||||
Fixed maturities, trading | 0 | 12,727 | 0 | 0 | 12,727 | ||||||||||||||
Equity securities | 0 | 124 | 7,187 | 0 | 7,311 | ||||||||||||||
Cash equivalents | 0 | 35,939 | 0 | 0 | 35,939 | ||||||||||||||
Other invested assets(3) | 0 | 42,714 | 0 | (8,466 | ) | 34,248 | |||||||||||||
Reinsurance recoverables | 0 | 0 | 1,741,924 | 0 | 1,741,924 | ||||||||||||||
Receivables from parent and affiliates | 0 | 2,316 | 0 | 0 | 2,316 | ||||||||||||||
Subtotal excluding separate account assets | 0 | 1,845,141 | 1,769,343 | (8,466 | ) | 3,606,018 | |||||||||||||
Separate account assets(4)(5) | 0 | 13,415,971 | 0 | 0 | 13,415,971 | ||||||||||||||
Total assets | $ | 0 | $ | 15,261,112 | $ | 1,769,343 | $ | (8,466 | ) | $ | 17,021,989 | ||||||||
Future policy benefits(6) | $ | 0 | $ | 0 | $ | 1,741,924 | $ | 0 | $ | 1,741,924 | |||||||||
Policyholders' account balances | 0 | 0 | 143,242 | 0 | 143,242 | ||||||||||||||
Payables to parent and affiliates | 0 | 8,457 | 0 | (8,457 | ) | 0 | |||||||||||||
Total liabilities | $ | 0 | $ | 8,457 | $ | 1,885,166 | $ | (8,457 | ) | $ | 1,885,166 |
March 31, 2021 | |||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Netting(1) | Total | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Fixed maturities, available-for-sale: | |||||||||||||||||||||||||||||
U.S. Treasury securities and obligations of U.S. government authorities and agencies | $ | 0 | $ | 11,464 | $ | 0 | $ | $ | 11,464 | ||||||||||||||||||||
Obligations of U.S. states and their political subdivisions | 0 | 178,462 | 0 | 178,462 | |||||||||||||||||||||||||
Foreign government bonds | 0 | 103,496 | 0 | 103,496 | |||||||||||||||||||||||||
U.S. corporate public securities | 0 | 892,430 | 0 | 892,430 | |||||||||||||||||||||||||
U.S. corporate private securities | 0 | 233,567 | 433 | 234,000 | |||||||||||||||||||||||||
Foreign corporate public securities | 0 | 79,005 | 0 | 79,005 | |||||||||||||||||||||||||
Foreign corporate private securities | 0 | 133,547 | 21,898 | 155,445 | |||||||||||||||||||||||||
Asset-backed securities(2) | 0 | 17,220 | 0 | 17,220 | |||||||||||||||||||||||||
Commercial mortgage-backed securities | 0 | 149,312 | 0 | 149,312 | |||||||||||||||||||||||||
Residential mortgage-backed securities | 0 | 3,504 | 0 | 3,504 | |||||||||||||||||||||||||
Subtotal | 0 | 1,802,007 | 22,331 | 1,824,338 | |||||||||||||||||||||||||
Fixed maturities, trading | 0 | 18,639 | 0 | 18,639 | |||||||||||||||||||||||||
Equity securities | 0 | 121 | 5,857 | 5,978 | |||||||||||||||||||||||||
Cash equivalents | 0 | 63,555 | 0 | 63,555 | |||||||||||||||||||||||||
Other invested assets(3) | 0 | 49,949 | 0 | (37,293) | 12,656 | ||||||||||||||||||||||||
Reinsurance recoverables | 0 | 0 | 660,533 | 660,533 | |||||||||||||||||||||||||
Receivables from parent and affiliates | 0 | 782 | 0 | 782 | |||||||||||||||||||||||||
Subtotal excluding separate account assets | 0 | 1,935,053 | 688,721 | (37,293) | 2,586,481 | ||||||||||||||||||||||||
Separate account assets(4)(5) | 0 | 15,041,532 | 0 | 15,041,532 | |||||||||||||||||||||||||
Total assets | $ | 0 | $ | 16,976,585 | $ | 688,721 | $ | (37,293) | $ | 17,628,013 | |||||||||||||||||||
Future policy benefits(6) | $ | 0 | $ | 0 | $ | 660,533 | $ | $ | 660,533 | ||||||||||||||||||||
Policyholders' account balances | 0 | 0 | 136,773 | 136,773 | |||||||||||||||||||||||||
Payables to parent and affiliates | 0 | 37,293 | 0 | (37,293) | 0 | ||||||||||||||||||||||||
Total liabilities | $ | 0 | $ | 37,293 | $ | 797,306 | $ | (37,293) | $ | 797,306 |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
December 31, 2020 | |||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Netting(1) | Total | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Fixed maturities, available-for-sale: | |||||||||||||||||||||||||||||
U.S. Treasury securities and obligations of U.S. government authorities and agencies | $ | 0 | $ | 11,655 | $ | 0 | $ | $ | 11,655 | ||||||||||||||||||||
Obligations of U.S. states and their political subdivisions | 0 | 182,626 | 0 | 182,626 | |||||||||||||||||||||||||
Foreign government bonds | 0 | 92,636 | 0 | 92,636 | |||||||||||||||||||||||||
U.S. corporate public securities | 0 | 949,585 | 0 | 949,585 | |||||||||||||||||||||||||
U.S. corporate private securities | 0 | 245,194 | 424 | 245,618 | |||||||||||||||||||||||||
Foreign corporate public securities | 0 | 70,347 | 0 | 70,347 | |||||||||||||||||||||||||
Foreign corporate private securities | 0 | 141,734 | 23,621 | 165,355 | |||||||||||||||||||||||||
Asset-backed securities(2) | 0 | 17,189 | 0 | 17,189 | |||||||||||||||||||||||||
Commercial mortgage-backed securities | 0 | 155,418 | 0 | 155,418 | |||||||||||||||||||||||||
Residential mortgage-backed securities | 0 | 3,766 | 0 | 3,766 | |||||||||||||||||||||||||
Subtotal | 0 | 1,870,150 | 24,045 | 1,894,195 | |||||||||||||||||||||||||
Fixed maturities, trading | 0 | 19,269 | 0 | 19,269 | |||||||||||||||||||||||||
Equity securities | 0 | 123 | 6,095 | 6,218 | |||||||||||||||||||||||||
Cash equivalents | 0 | 60,879 | 0 | 60,879 | |||||||||||||||||||||||||
Other invested assets(3) | 0 | 50,895 | 0 | (36,114) | 14,781 | ||||||||||||||||||||||||
Reinsurance recoverables | 0 | 0 | 1,195,469 | 1,195,469 | |||||||||||||||||||||||||
Receivables from parent and affiliates | 0 | 815 | 0 | 815 | |||||||||||||||||||||||||
Subtotal excluding separate account assets | 0 | 2,002,131 | 1,225,609 | (36,114) | 3,191,626 | ||||||||||||||||||||||||
Separate account assets(4)(5) | 0 | 15,044,796 | 0 | 15,044,796 | |||||||||||||||||||||||||
Total assets | $ | 0 | $ | 17,046,927 | $ | 1,225,609 | $ | (36,114) | $ | 18,236,422 | |||||||||||||||||||
Future policy benefits(6) | $ | 0 | $ | 0 | $ | 1,195,469 | $ | $ | 1,195,469 | ||||||||||||||||||||
Policyholders' account balances | 0 | 0 | 153,937 | 153,937 | |||||||||||||||||||||||||
Payables to parent and affiliates | 0 | 36,119 | 0 | (36,119) | 0 | ||||||||||||||||||||||||
Total liabilities | $ | 0 | $ | 36,119 | $ | 1,349,406 | $ | (36,119) | $ | 1,349,406 |
As of December 31, 2019 | |||||||||||||||||||
Level 1 | Level 2 | Level 3 | Netting(1) | Total | |||||||||||||||
(in thousands) | |||||||||||||||||||
Fixed maturities, available-for-sale: | |||||||||||||||||||
U.S. Treasury securities and obligations of U.S. government authorities and agencies | $ | 0 | $ | 16,015 | $ | 0 | $ | 0 | $ | 16,015 | |||||||||
Obligations of U.S. states and their political subdivisions | 0 | 133,677 | 0 | 0 | 133,677 | ||||||||||||||
Foreign government bonds | 0 | 77,280 | 0 | 0 | 77,280 | ||||||||||||||
U.S. corporate public securities | 0 | 697,520 | 0 | 0 | 697,520 | ||||||||||||||
U.S. corporate private securities | 0 | 232,903 | 312 | 0 | 233,215 | ||||||||||||||
Foreign corporate public securities | 0 | 57,993 | 0 | 0 | 57,993 | ||||||||||||||
Foreign corporate private securities | 0 | 163,026 | 866 | 0 | 163,892 | ||||||||||||||
Asset-backed securities(2) | 0 | 18,542 | 0 | 0 | 18,542 | ||||||||||||||
Commercial mortgage-backed securities | 0 | 147,389 | 0 | 0 | 147,389 | ||||||||||||||
Residential mortgage-backed securities | 0 | 4,573 | 0 | 0 | 4,573 | ||||||||||||||
Subtotal | 0 | 1,548,918 | 1,178 | 0 | 1,550,096 | ||||||||||||||
Fixed maturities, trading | 0 | 13,700 | 0 | 0 | 13,700 | ||||||||||||||
Equity securities | 0 | 207 | 7,305 | 0 | 7,512 | ||||||||||||||
Cash equivalents | 0 | 55,896 | 0 | 0 | 55,896 | ||||||||||||||
Other invested assets(3) | 0 | 34,413 | 0 | (13,029 | ) | 21,384 | |||||||||||||
Reinsurance recoverables | 0 | 0 | 760,558 | 0 | 760,558 | ||||||||||||||
Receivables from parent and affiliates | 0 | 2,433 | 0 | 0 | 2,433 | ||||||||||||||
Subtotal excluding separate account assets | 0 | 1,655,567 | 769,041 | (13,029 | ) | 2,411,579 | |||||||||||||
Separate account assets(4)(5) | 0 | 13,927,275 | 0 | 0 | 13,927,275 | ||||||||||||||
Total assets | $ | 0 | $ | 15,582,842 | $ | 769,041 | $ | (13,029 | ) | $ | 16,338,854 | ||||||||
Future policy benefits(6) | $ | 0 | $ | 0 | $ | 760,558 | $ | 0 | $ | 760,558 | |||||||||
Policyholders' account balances | 0 | 0 | 133,793 | 0 | 133,793 | ||||||||||||||
Payables to parent and affiliates | 0 | 13,043 | 0 | (13,043 | ) | 0 | |||||||||||||
Total liabilities | $ | 0 | $ | 13,043 | $ | 894,351 | $ | (13,043 | ) | $ | 894,351 |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
March 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | Valuation Techniques | Unobservable Inputs | Minimum | Maximum | Weighted Average | Impact of Increase in Input on Fair Value(1) | ||||||||||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate securities(2) | $ | 22,331 | Discounted cash flow | Discount rate | 2.31 | % | 5.06 | % | 2.71 | % | Decrease | |||||||||||||||||||||||||||||||||||||||
Reinsurance recoverables | $ | 660,533 | Fair values are determined using the same unobservable inputs as future policy benefits. | |||||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Future policy benefits(3) | $ | 660,533 | Discounted cash flow | Lapse rate(5) | 1 | % | 20 | % | Decrease | |||||||||||||||||||||||||||||||||||||||||
Spread over LIBOR(6) | 0.09 | % | 1.14 | % | Decrease | |||||||||||||||||||||||||||||||||||||||||||||
Utilization rate(7) | 39 | % | 96 | % | Increase | |||||||||||||||||||||||||||||||||||||||||||||
Withdrawal rate | See table footnote (8) below. | |||||||||||||||||||||||||||||||||||||||||||||||||
Mortality rate (9) | 0 | % | 15 | % | Decrease | |||||||||||||||||||||||||||||||||||||||||||||
Equity volatility curve | 17 | % | 25 | % | Increase | |||||||||||||||||||||||||||||||||||||||||||||
Policyholders' account balances(4) | $ | 136,773 | Discounted cash flow | Lapse rate(5) | 1 | % | 6 | % | Decrease | |||||||||||||||||||||||||||||||||||||||||
Spread over LIBOR(6) | 0.09 | % | 1.14 | % | Decrease | |||||||||||||||||||||||||||||||||||||||||||||
Mortality rate (9) | 0 | % | 24 | % | Decrease | |||||||||||||||||||||||||||||||||||||||||||||
Equity volatility curve | 14 | % | 27 | % | Increase |
As of June 30, 2020 | |||||||||||||||||||||
Fair Value | Valuation Techniques | Unobservable Inputs | Minimum | Maximum | Weighted Average | Impact of Increase in Input on Fair Value(1) | |||||||||||||||
(in thousands) | |||||||||||||||||||||
Assets: | |||||||||||||||||||||
Corporate securities(2) | $ | 20,232 | Discounted cash flow | Discount rate | 2.28 | % | 2.58 | % | 2.45 | % | Decrease | ||||||||||
Reinsurance recoverables | $ | 1,741,924 | Fair values are determined using the same unobservable inputs as future policy benefits. | ||||||||||||||||||
Liabilities: | |||||||||||||||||||||
Future policy benefits(3) | $ | 1,741,924 | Discounted cash flow | Lapse rate(5) | 1 | % | 20 | % | Decrease | ||||||||||||
Spread over LIBOR(6) | 0.17 | % | 1.69 | % | Decrease | ||||||||||||||||
Utilization rate(7) | 39 | % | 96 | % | Increase | ||||||||||||||||
Withdrawal rate | See table footnote (8) below. | ||||||||||||||||||||
Mortality rate (9) | 0 | % | 15 | % | Decrease | ||||||||||||||||
Equity volatility curve | 18 | % | 29 | % | Increase | ||||||||||||||||
Policyholders' account balances(4) | $ | 143,242 | Discounted cash flow | Lapse rate(5) | 1 | % | 6 | % | Decrease | ||||||||||||
Spread over LIBOR(6) | 0.17 | % | 1.69 | % | Decrease | ||||||||||||||||
Mortality rate (9) | 0 | % | 24 | % | Decrease | ||||||||||||||||
Equity volatility curve | 18 | % | 35 | % | Increase |
As of December 31, 2019 | ||||||||||||||||||||
Fair Value | Valuation Techniques | Unobservable Inputs | Minimum | Maximum | Weighted Average | Impact of Increase in Input on Fair Value(1) | ||||||||||||||
(in thousands) | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Reinsurance recoverables | $ | 760,558 | Fair values are determined using the same unobservable inputs as future policy benefits. | |||||||||||||||||
Liabilities: | ||||||||||||||||||||
Future policy benefits(3) | $ | 760,558 | Discounted cash flow | Lapse rate(5) | 1 | % | 18 | % | Decrease | |||||||||||
Spread over LIBOR(6) | 0.10 | % | 1.23 | % | Decrease | |||||||||||||||
Utilization rate(7) | 43 | % | 97 | % | Increase | |||||||||||||||
Withdrawal rate | See table footnote(8) below. | |||||||||||||||||||
Mortality rate(9) | 0 | % | 15 | % | Decrease | |||||||||||||||
Equity volatility curve | 13 | % | 23 | % | Increase | |||||||||||||||
Policyholders' account balances(4) | $ | 133,793 | Discounted cash flow | Lapse rate(5) | 1 | % | 6 | % | Decrease | |||||||||||
Spread over LIBOR(6) | 0.10 | % | 1.23 | % | Decrease | |||||||||||||||
Mortality rate (9) | 0 | % | 24 | % | Decrease | |||||||||||||||
Equity volatility curve | 10 | % | 23 | % | Increase |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | Valuation Techniques | Unobservable Inputs | Minimum | Maximum | Weighted Average | Impact of Increase in Input on Fair Value(1) | ||||||||||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate securities(2) | $ | 24,045 | Discounted cash flow | Discount rate | 1.84 | % | 6.55 | % | 2.32 | % | Decrease | |||||||||||||||||||||||||||||||||||||||
Reinsurance recoverables | $ | 1,195,469 | Fair values are determined using the same unobservable inputs as future policy benefits. | |||||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Future policy benefits(3) | $ | 1,195,469 | Discounted cash flow | Lapse rate(5) | 1 | % | 20 | % | Decrease | |||||||||||||||||||||||||||||||||||||||||
Spread over LIBOR(6) | 0.06 | % | 1.17 | % | Decrease | |||||||||||||||||||||||||||||||||||||||||||||
Utilization rate(7) | 39 | % | 96 | % | Increase | |||||||||||||||||||||||||||||||||||||||||||||
Withdrawal rate | See table footnote(8) below. | |||||||||||||||||||||||||||||||||||||||||||||||||
Mortality rate(9) | 0 | % | 15 | % | Decrease | |||||||||||||||||||||||||||||||||||||||||||||
Equity volatility curve | 18 | % | 26 | % | Increase | |||||||||||||||||||||||||||||||||||||||||||||
Policyholders' account balances(4) | $ | 153,937 | Discounted cash flow | Lapse rate(5) | 1 | % | 6 | % | Decrease | |||||||||||||||||||||||||||||||||||||||||
Spread over LIBOR(6) | 0.06 | % | 1.17 | % | Decrease | |||||||||||||||||||||||||||||||||||||||||||||
Mortality rate (9) | 0 | % | 24 | % | Decrease | |||||||||||||||||||||||||||||||||||||||||||||
Equity volatility curve | 15 | % | 30 | % | Increase |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | |||
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
Three Months Ended March 31, 2021 | |||||||||||||||||||||||||||||||||||
Fair Value, beginning of period | Total realized and unrealized gains (losses)(1) | Purchases | Sales | Issuances | Settlements | Other | Transfers into Level 3 | Transfers out of Level 3 | Fair Value, end of period | Unrealized gains (losses) for assets still held(2) | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||||
Fixed maturities, available-for-sale: | |||||||||||||||||||||||||||||||||||
Corporate securities(3) | $ | 24,045 | $ | (1,714) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 22,331 | $ | (1,713) | |||||||||||||
Other assets: | |||||||||||||||||||||||||||||||||||
Equity securities | 6,095 | (238) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 5,857 | (238) | ||||||||||||||||||||||||
Reinsurance recoverables | 1,195,469 | (562,720) | 27,784 | 0 | 0 | 0 | 0 | 0 | 0 | 660,533 | (551,773) | ||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||
Future policy benefits | (1,195,469) | 562,720 | 0 | 0 | (27,784) | 0 | 0 | 0 | 0 | (660,533) | 551,773 | ||||||||||||||||||||||||
Policyholders' account balances(4) | (153,937) | 14,042 | 0 | 0 | 0 | 3,122 | 0 | 0 | 0 | (136,773) | 16,277 | ||||||||||||||||||||||||
Three Months Ended March 31, 2021 | ||||||||||||||||||||||||||||||||
Total realized and unrealized gains (losses) | Unrealized gains (losses) for assets still held(2) | |||||||||||||||||||||||||||||||
Realized investment gains (losses), net(1) | Other income (loss) | Included in other comprehensive income (loss) | Net investment income | Realized investment gains (losses), net | Other income (loss) | Included in other comprehensive income (loss) | ||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||
Fixed maturities, available-for-sale | $ | 0 | $ | 0 | $ | (1,714) | $ | 0 | $ | 0 | $ | 0 | $ | (1,713) | ||||||||||||||||||
Other assets: | ||||||||||||||||||||||||||||||||
Equity securities | 0 | (238) | 0 | 0 | 0 | (238) | 0 | |||||||||||||||||||||||||
Reinsurance recoverables | (562,720) | 0 | 0 | 0 | (551,773) | 0 | 0 | |||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Future policy benefits | 562,720 | 0 | 0 | 0 | 551,773 | 0 | 0 | |||||||||||||||||||||||||
Policyholders' account balances | 14,042 | 0 | 0 | 0 | 16,277 | 0 | 0 | |||||||||||||||||||||||||
Three Months Ended June 30, 2020 | |||||||||||||||||||||||||||||||||
Fair Value, beginning of period | Total realized and unrealized gains (losses)(1) | Purchases | Sales | Issuances | Settlements | Other | Transfers into Level 3 | Transfers out of Level 3 | Fair Value, end of period | Unrealized gains (losses) for assets still held(2) | |||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||
Fixed maturities, available-for-sale: | |||||||||||||||||||||||||||||||||
Corporate securities(3) | $ | 18,274 | $ | 1,959 | $ | 0 | $ | (1 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 20,232 | $ | 1,959 | ||||||||||
Structured securities(4) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||
Other assets: | |||||||||||||||||||||||||||||||||
Equity securities | 6,840 | 347 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 7,187 | 348 | ||||||||||||||||||||||
Reinsurance recoverables | 1,868,539 | (153,382 | ) | 26,767 | 0 | 0 | 0 | 0 | 0 | 0 | 1,741,924 | (141,848 | ) | ||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||
Future policy benefits | (1,868,539 | ) | 153,382 | 0 | 0 | (26,767 | ) | 0 | 0 | 0 | 0 | (1,741,924 | ) | 141,848 | |||||||||||||||||||
Policyholders' account balances(5) | (123,608 | ) | (11,691 | ) | 0 | 0 | (7,943 | ) | 0 | 0 | 0 | 0 | (143,242 | ) | (12,621 | ) |
Three Months Ended June 30, 2020 | ||||||||||||||||||||||
Total realized and unrealized gains (losses) | Unrealized gains (losses) for assets still held(2) | |||||||||||||||||||||
Realized investment gains (losses), net(1) | Other income (loss) | Included in other comprehensive income (loss) | Net investment income | Realized investment gains (losses), net | Other income (loss) | Included in other comprehensive income (loss)(6) | ||||||||||||||||
(in thousands) | ||||||||||||||||||||||
Fixed maturities, available-for-sale | $ | 0 | $ | 0 | $ | 1,959 | $ | 0 | $ | 0 | $ | 0 | $ | 1,959 | ||||||||
Other assets: | ||||||||||||||||||||||
Equity securities | 0 | 347 | 0 | 0 | 0 | 348 | 0 | |||||||||||||||
Reinsurance recoverables | (153,382 | ) | 0 | 0 | 0 | (141,848 | ) | 0 | 0 | |||||||||||||
Liabilities: | ||||||||||||||||||||||
Future policy benefits | 153,382 | 0 | 0 | 0 | 141,848 | 0 | 0 | |||||||||||||||
Policyholders' account balances | (11,691 | ) | 0 | 0 | 0 | (12,621 | ) | 0 | 0 |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
Three Months Ended March 31, 2020 | |||||||||||||||||||||||||||||||||||
Fair Value, beginning of period | Total realized and unrealized gains (losses)(1) | Purchases | Sales | Issuances | Settlements | Other | Transfers into Level 3 | Transfers out of Level 3 | Fair Value, end of period | Unrealized gains (losses) for assets still held(2) | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||||
Fixed maturities, available-for-sale: | |||||||||||||||||||||||||||||||||||
Corporate securities(3) | $ | 1,178 | $ | (1,774) | $ | 0 | $ | (860) | $ | 0 | $ | 0 | $ | 0 | $ | 19,730 | $ | 0 | $ | 18,274 | $ | (1,769) | |||||||||||||
Other assets: | |||||||||||||||||||||||||||||||||||
Equity securities | 7,305 | (465) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 6,840 | (465) | ||||||||||||||||||||||||
Reinsurance recoverables | 760,558 | 1,081,663 | 26,318 | 0 | 0 | 0 | 0 | 0 | 0 | 1,868,539 | 1,089,808 | ||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||
Future policy benefits | (760,558) | (1,081,663) | 0 | 0 | (26,318) | 0 | 0 | 0 | 0 | (1,868,539) | (1,089,808) | ||||||||||||||||||||||||
Policyholders' account balances(4) | (133,793) | 16,940 | 0 | 0 | (6,755) | 0 | 0 | 0 | 0 | (123,608) | 17,660 | ||||||||||||||||||||||||
Three Months Ended March 31, 2020 | |||||||||||||||||||||||||||||
Total realized and unrealized gains (losses) | Unrealized gains (losses) for assets still held(2) | ||||||||||||||||||||||||||||
Realized investment gains (losses), net(1) | Other income (loss) | Included in other comprehensive income (loss) | Net investment income | Realized investment gains (losses), net | Other income (loss) | Included in other comprehensive income (loss) | |||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Fixed maturities, available-for-sale | $ | 32 | $ | 0 | $ | (1,814) | $ | 8 | $ | 0 | $ | 0 | $ | (1,769) | |||||||||||||||
Other assets: | |||||||||||||||||||||||||||||
Equity securities | 0 | (465) | 0 | 0 | 0 | (465) | 0 | ||||||||||||||||||||||
Reinsurance recoverables | 1,081,663 | 0 | 0 | 0 | 1,089,808 | 0 | 0 | ||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||
Future policy benefits | (1,081,663) | 0 | 0 | 0 | (1,089,808) | 0 | 0 | ||||||||||||||||||||||
Policyholders' account balances | 16,940 | 0 | 0 | 0 | 17,660 | 0 | 0 | ||||||||||||||||||||||
Six Months Ended June 30, 2020 | |||||||||||||||||||||||||||||||||
Fair Value, beginning of period | Total realized and unrealized gains (losses)(1) | Purchases | Sales | Issuances | Settlements | Other | Transfers into Level 3 | Transfers out of Level 3 | Fair Value, end of period | Unrealized gains (losses) for assets still held(2) | |||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||
Fixed maturities, available-for-sale: | |||||||||||||||||||||||||||||||||
Corporate securities(3) | $ | 1,178 | $ | 185 | $ | 0 | $ | (861 | ) | $ | 0 | $ | 0 | $ | 0 | $ | 19,730 | $ | 0 | $ | 20,232 | $ | 190 | ||||||||||
Structured securities(4) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||
Other assets: | |||||||||||||||||||||||||||||||||
Equity securities | 7,305 | (118 | ) | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 7,187 | (118 | ) | ||||||||||||||||||||
Reinsurance recoverables | 760,558 | 928,281 | 53,085 | 0 | 0 | 0 | 0 | 0 | 0 | 1,741,924 | 940,465 | ||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||
Future policy benefits | (760,558 | ) | (928,281 | ) | 0 | 0 | (53,085 | ) | 0 | 0 | 0 | 0 | (1,741,924 | ) | (940,465 | ) | |||||||||||||||||
Policyholders' account balances(5) | (133,793 | ) | 5,249 | 0 | 0 | (14,698 | ) | 0 | 0 | 0 | 0 | (143,242 | ) | 5,039 |
Six Months Ended June 30, 2020 | ||||||||||||||||||||||
Total realized and unrealized gains (losses) | Unrealized gains (losses) for assets still held(2) | |||||||||||||||||||||
Realized investment gains (losses), net(1) | Other income (loss) | Included in other comprehensive income (loss) | Net investment income | Realized investment gains (losses), net | Other income (loss) | Included in other comprehensive income (loss)(6) | ||||||||||||||||
(in thousands) | ||||||||||||||||||||||
Fixed maturities, available-for-sale | $ | 32 | $ | 0 | $ | 145 | $ | 8 | $ | 0 | $ | 0 | $ | 190 | ||||||||
Other assets: | ||||||||||||||||||||||
Equity securities | 0 | (118 | ) | 0 | 0 | 0 | (118 | ) | 0 | |||||||||||||
Reinsurance recoverables | 928,281 | 0 | 0 | 0 | 940,465 | 0 | 0 | |||||||||||||||
Liabilities: | ||||||||||||||||||||||
Future policy benefits | (928,281 | ) | 0 | 0 | 0 | (940,465 | ) | 0 | 0 | |||||||||||||
Policyholders' account balances | 5,249 | 0 | 0 | 0 | 5,039 | 0 | 0 |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
Three Months Ended June 30, 2019 | |||||||||||||||||||||||||||||||||
Fair Value, beginning of period | Total realized and unrealized gains (losses)(1) | Purchases | Sales | Issuances | Settlements | Other | Transfers into Level 3 | Transfers out of Level 3 | Fair Value, end of period | Unrealized gains (losses) for assets still held(2) | |||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||
Fixed maturities, available-for-sale: | |||||||||||||||||||||||||||||||||
Corporate securities(3) | $ | 2,344 | $ | (310 | ) | $ | 0 | $ | 0 | $ | 0 | $ | (638 | ) | $ | 0 | $ | 639 | $ | 0 | $ | 2,035 | $ | 0 | |||||||||
Structured securities(4) | 25,324 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | (25,324 | ) | 0 | 0 | |||||||||||||||||||||
Other assets: | |||||||||||||||||||||||||||||||||
Equity securities | 6,576 | 630 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 7,206 | 630 | ||||||||||||||||||||||
Reinsurance recoverables | 571,117 | 162,593 | 23,526 | 0 | 0 | 0 | 0 | 0 | 0 | 757,236 | 167,330 | ||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||
Future policy benefits | (571,117 | ) | (162,593 | ) | 0 | 0 | (23,526 | ) | 0 | 0 | 0 | 0 | (757,236 | ) | (167,330 | ) | |||||||||||||||||
Policyholders' account balances(5) | (7,529 | ) | (98,831 | ) | 0 | 0 | (6,057 | ) | 0 | 0 | 0 | 0 | (112,417 | ) | (98,831 | ) |
Three Months Ended June 30, 2019 | |||||||||||||||||||
Total realized and unrealized gains (losses) | Unrealized gains (losses) for assets still held(2) | ||||||||||||||||||
Realized investment gains (losses), net(1) | Other income (loss) | Included in other comprehensive income (loss) | Net investment income | Realized investment gains (losses), net | Other income (loss) | ||||||||||||||
(in thousands) | |||||||||||||||||||
Fixed maturities, available-for-sale | $ | 0 | $ | 0 | $ | (447 | ) | $ | 137 | $ | 0 | $ | 0 | ||||||
Other assets: | |||||||||||||||||||
Equity securities | 0 | 630 | 0 | 0 | 0 | 630 | |||||||||||||
Reinsurance recoverables | 162,593 | 0 | 0 | 0 | 167,330 | 0 | |||||||||||||
Liabilities: | |||||||||||||||||||
Future policy benefits | (162,593 | ) | 0 | 0 | 0 | (167,330 | ) | 0 | |||||||||||
Policyholders' account balances | (98,831 | ) | 0 | 0 | 0 | (98,831 | ) | 0 |
Six Months Ended June 30, 2019 | |||||||||||||||||||||||||||||||||
Fair Value, beginning of period | Total realized and unrealized gains (losses)(1) | Purchases | Sales | Issuances | Settlements | Other | Transfers into Level 3 | Transfers out of Level 3 | Fair Value, end of period | Unrealized gains (losses) for assets still held(2) | |||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||
Fixed maturities, available-for-sale: | |||||||||||||||||||||||||||||||||
Corporate securities(3) | $ | 2,882 | $ | (1,096 | ) | $ | 248 | $ | 0 | $ | 0 | $ | (638 | ) | $ | 0 | $ | 639 | $ | 0 | $ | 2,035 | $ | (3,163 | ) | ||||||||
Structured securities(4) | 0 | 432 | 0 | 0 | 0 | (68 | ) | 0 | 24,960 | (25,324 | ) | 0 | 0 | ||||||||||||||||||||
Other assets: | |||||||||||||||||||||||||||||||||
Equity securities | 6,622 | 584 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 7,206 | 584 | ||||||||||||||||||||||
Reinsurance recoverables | 488,825 | 222,383 | 46,028 | 0 | 0 | 0 | 0 | 0 | 0 | 757,236 | 229,926 | ||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||
Future policy benefits | (488,825 | ) | (222,383 | ) | 0 | 0 | (46,028 | ) | 0 | 0 | 0 | 0 | (757,236 | ) | (229,926 | ) | |||||||||||||||||
Policyholders' account balances(5) | (1,949 | ) | (103,508 | ) | 0 | 0 | (6,960 | ) | 0 | 0 | 0 | 0 | (112,417 | ) | (103,504 | ) |
Six Months Ended June 30, 2019 | |||||||||||||||||||
Total realized and unrealized gains (losses) | Unrealized gains (losses) for assets still held(2) | ||||||||||||||||||
Realized investment gains (losses), net(1) | Other income (loss) | Included in other comprehensive income (loss) | Net investment income | Realized investment gains (losses), net | Other income (loss) | ||||||||||||||
(in thousands) | |||||||||||||||||||
Fixed maturities, available-for-sale | $ | (3,163 | ) | $ | 0 | $ | 2,353 | $ | 146 | $ | (3,163 | ) | $ | 0 | |||||
Other assets: | |||||||||||||||||||
Equity securities | 0 | 584 | 0 | 0 | 0 | 584 | |||||||||||||
Reinsurance recoverables | 222,383 | 0 | 0 | 0 | 229,926 | 0 | |||||||||||||
Liabilities: | |||||||||||||||||||
Future policy benefits | (222,383 | ) | 0 | 0 | 0 | (229,926 | ) | 0 | |||||||||||
Policyholders' account balances | (103,508 | ) | 0 | 0 | 0 | (103,504 | ) | 0 |
March 31, 2021 | |||||||||||||||||||||||||||||
Fair Value | Carrying Amount(1) | ||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | Total | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||
Commercial mortgage and other loans | $ | 0 | $ | 0 | $ | 139,514 | $ | 139,514 | $ | 132,441 | |||||||||||||||||||
Policy loans | 0 | 0 | 211,807 | 211,807 | 211,807 | ||||||||||||||||||||||||
Cash and cash equivalents | 7,650 | 0 | 0 | 7,650 | 7,650 | ||||||||||||||||||||||||
Accrued investment income | 0 | 21,678 | 0 | 21,678 | 21,678 | ||||||||||||||||||||||||
Reinsurance recoverables | 0 | 0 | 28,123 | 28,123 | 27,309 | ||||||||||||||||||||||||
Receivables from parent and affiliates | 0 | 32,602 | 0 | 32,602 | 32,602 | ||||||||||||||||||||||||
Other assets | 0 | 3,086 | 0 | 3,086 | 3,086 | ||||||||||||||||||||||||
Total assets | $ | 7,650 | $ | 57,366 | $ | 379,444 | $ | 444,460 | $ | 436,573 | |||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||
Policyholders’ account balances - investment contracts | $ | 0 | $ | 226,881 | $ | 40,410 | $ | 267,291 | $ | 266,477 | |||||||||||||||||||
Cash collateral for loaned securities | 0 | 2,725 | 0 | 2,725 | 2,725 | ||||||||||||||||||||||||
Payables to parent and affiliates | 0 | 13,596 | 0 | 13,596 | 13,596 | ||||||||||||||||||||||||
Other liabilities | 0 | 69,271 | 0 | 69,271 | 69,271 | ||||||||||||||||||||||||
Total liabilities | $ | 0 | $ | 312,473 | $ | 40,410 | $ | 352,883 | $ | 352,069 |
June 30, 2020 | |||||||||||||||||||
Fair Value | Carrying Amount(1) | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | Total | |||||||||||||||
(in thousands) | |||||||||||||||||||
Assets: | |||||||||||||||||||
Commercial mortgage and other loans | $ | 0 | $ | 0 | $ | 145,067 | $ | 145,067 | $ | 137,914 | |||||||||
Policy loans | 0 | 0 | 213,467 | 213,467 | 213,467 | ||||||||||||||
Cash and cash equivalents | 5,181 | 0 | 0 | 5,181 | 5,181 | ||||||||||||||
Accrued investment income | 0 | 20,984 | 0 | 20,984 | 20,984 | ||||||||||||||
Reinsurance recoverables | 0 | 0 | 28,020 | 28,020 | 27,465 | ||||||||||||||
Receivables from parent and affiliates | 0 | 37,532 | 0 | 37,532 | 37,532 | ||||||||||||||
Other assets | 0 | 4,725 | 0 | 4,725 | 4,725 | ||||||||||||||
Total assets | $ | 5,181 | $ | 63,241 | $ | 386,554 | $ | 454,976 | $ | 447,268 | |||||||||
Liabilities: | |||||||||||||||||||
Policyholders’ account balances - investment contracts | $ | 0 | $ | 209,012 | $ | 41,192 | $ | 250,204 | $ | 249,648 | |||||||||
Cash collateral for loaned securities | 0 | 2,700 | 0 | 2,700 | 2,700 | ||||||||||||||
Short-term debt to affiliates | 0 | 0 | 0 | 0 | 0 | ||||||||||||||
Payables to parent and affiliates | 0 | 26,632 | 0 | 26,632 | 26,632 | ||||||||||||||
Other liabilities | 0 | 38,502 | 0 | 38,502 | 38,502 | ||||||||||||||
Total liabilities | $ | 0 | $ | 276,846 | $ | 41,192 | $ | 318,038 | $ | 317,482 |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
December 31, 2020 | |||||||||||||||||||||||||||||
Fair Value | Carrying Amount(1) | ||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | Total | |||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||
Commercial mortgage and other loans | $ | 0 | $ | 0 | $ | 140,921 | $ | 140,921 | $ | 133,115 | |||||||||||||||||||
Policy loans | 0 | 0 | 212,163 | 212,163 | 212,163 | ||||||||||||||||||||||||
Cash and cash equivalents | 7,648 | 0 | 0 | 7,648 | 7,648 | ||||||||||||||||||||||||
Accrued investment income | 0 | 21,248 | 0 | 21,248 | 21,248 | ||||||||||||||||||||||||
Reinsurance recoverables | 0 | 0 | 28,654 | 28,654 | 26,915 | ||||||||||||||||||||||||
Receivables from parent and affiliates | 0 | 30,246 | 0 | 30,246 | 30,246 | ||||||||||||||||||||||||
Other assets | 0 | 6,205 | 0 | 6,205 | 6,205 | ||||||||||||||||||||||||
Total assets | $ | 7,648 | $ | 57,699 | $ | 381,738 | $ | 447,085 | $ | 437,540 | |||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||
Policyholders’ account balances - investment contracts | $ | 0 | $ | 220,527 | $ | 41,341 | $ | 261,868 | $ | 260,128 | |||||||||||||||||||
Cash collateral for loaned securities | 0 | 2,725 | 0 | 2,725 | 2,725 | ||||||||||||||||||||||||
Payables to parent and affiliates | 0 | 16,250 | 0 | 16,250 | 16,250 | ||||||||||||||||||||||||
Other liabilities | 0 | 50,335 | 0 | 50,335 | 50,335 | ||||||||||||||||||||||||
Total liabilities | $ | 0 | $ | 289,837 | $ | 41,341 | $ | 331,178 | $ | 329,438 |
December 31, 2019 | |||||||||||||||||||
Fair Value | Carrying Amount(1) | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | Total | |||||||||||||||
(in thousands) | |||||||||||||||||||
Assets: | |||||||||||||||||||
Commercial mortgage and other loans | $ | 0 | $ | 0 | $ | 148,855 | $ | 148,855 | $ | 143,098 | |||||||||
Policy loans | 0 | 0 | 211,986 | 211,986 | 211,986 | ||||||||||||||
Cash and cash equivalents | 28 | 0 | 0 | 28 | 28 | ||||||||||||||
Accrued investment income | 0 | 19,539 | 0 | 19,539 | 19,539 | ||||||||||||||
Reinsurance recoverables | 0 | 0 | 26,400 | 26,400 | 26,286 | ||||||||||||||
Receivables from parent and affiliates | 0 | 30,387 | 0 | 30,387 | 30,387 | ||||||||||||||
Other assets | 0 | 3,071 | 0 | 3,071 | 3,071 | ||||||||||||||
Total assets | $ | 28 | $ | 52,997 | $ | 387,241 | $ | 440,266 | $ | 434,395 | |||||||||
Liabilities: | |||||||||||||||||||
Policyholders’ account balances - investment contracts | $ | 0 | $ | 192,239 | $ | 40,475 | $ | 232,714 | $ | 232,600 | |||||||||
Cash collateral for loaned securities | 0 | 2,481 | 0 | 2,481 | 2,481 | ||||||||||||||
Short-term debt to affiliates | 0 | 89 | 0 | 89 | 89 | ||||||||||||||
Payables to parent and affiliates | 0 | 24,958 | 0 | 24,958 | 24,958 | ||||||||||||||
Other liabilities | 0 | 41,310 | 0 | 41,310 | 41,310 | ||||||||||||||
Total liabilities | $ | 0 | $ | 261,077 | $ | 40,475 | $ | 301,552 | $ | 301,438 |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
March 31, 2021 | December 31, 2020 | ||||||||||
(in thousands) | |||||||||||
Reinsurance recoverables | $ | 3,331,052 | $ | 3,860,612 | |||||||
Policy loans | (21,220) | (21,466) | |||||||||
Deferred policy acquisition costs | (682,421) | (661,732) | |||||||||
Deferred sales inducements | (39,703) | (40,980) | |||||||||
Other assets | 14,025 | 15,172 | |||||||||
Other liabilities | 117,088 | 127,234 |
June 30, 2020 | December 31, 2019 | ||||||
(in thousands) | |||||||
Reinsurance recoverables(1) | $ | 4,310,574 | $ | 3,200,642 | |||
Policy loans | (21,366 | ) | (18,627 | ) | |||
Deferred policy acquisition costs | (692,414 | ) | (736,575 | ) | |||
Deferred sales inducements | (42,906 | ) | (47,423 | ) | |||
Other assets | 16,629 | 16,540 | |||||
Other liabilities | 110,493 | 93,557 |
March 31, 2021 | December 31, 2020 | ||||||||||
(in thousands) | |||||||||||
Prudential Insurance | $ | 1,183,676 | $ | 1,726,545 | |||||||
PAR U | 1,136,200 | 1,119,545 | |||||||||
PARCC | 442,630 | 448,884 | |||||||||
PAR Term | 238,713 | 236,561 | |||||||||
Term Re | 235,709 | 232,398 | |||||||||
DART | 68,162 | 69,268 | |||||||||
Pruco Life | 22,253 | 24,744 | |||||||||
Unaffiliated | 3,709 | 2,667 | |||||||||
Total reinsurance recoverables | $ | 3,331,052 | $ | 3,860,612 |
June 30, 2020 | December 31, 2019 | ||||||
(in thousands) | |||||||
Prudential Insurance | $ | 2,265,669 | $ | 1,245,450 | |||
PAR U | 1,073,143 | 1,027,304 | |||||
PARCC | 461,524 | 458,441 | |||||
PAR Term | 232,857 | 219,757 | |||||
Term Re | 212,540 | 190,633 | |||||
DART | 49,662 | 38,651 | |||||
Pruco Life | 14,196 | 16,428 | |||||
Unaffiliated | 983 | 3,978 | |||||
Total reinsurance recoverables | $ | 4,310,574 | $ | 3,200,642 |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
Three Months Ended March 31, | |||||||||||||||||||||||
2021 | 2020 | ||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||
Premiums: | |||||||||||||||||||||||
Direct | $ | 64,350 | $ | 64,633 | |||||||||||||||||||
Ceded | (56,791) | (59,439) | |||||||||||||||||||||
Net premiums | 7,559 | 5,194 | |||||||||||||||||||||
Policy charges and fee income: | |||||||||||||||||||||||
Direct | 107,538 | 109,072 | |||||||||||||||||||||
Ceded(1) | (79,220) | (85,103) | |||||||||||||||||||||
Net policy charges and fee income | 28,318 | 23,969 | |||||||||||||||||||||
Net investment income: | |||||||||||||||||||||||
Direct | 23,753 | 17,192 | |||||||||||||||||||||
Ceded | (208) | (227) | |||||||||||||||||||||
Net investment income | 23,545 | 16,965 | |||||||||||||||||||||
Asset administration fees: | |||||||||||||||||||||||
Direct | 10,806 | 9,725 | |||||||||||||||||||||
Ceded | (8,780) | (8,160) | |||||||||||||||||||||
Net asset administration fees | 2,026 | 1,565 | |||||||||||||||||||||
Realized investment gains (losses), net: | |||||||||||||||||||||||
Direct | 577,847 | (1,069,448) | |||||||||||||||||||||
Ceded | (562,015) | 1,082,513 | |||||||||||||||||||||
Realized investment gains (losses), net | 15,832 | 13,065 | |||||||||||||||||||||
Policyholders’ benefits (including change in reserves): | |||||||||||||||||||||||
Direct | 110,163 | 131,286 | |||||||||||||||||||||
Ceded(2) | (91,328) | (114,600) | |||||||||||||||||||||
Net policyholders’ benefits (including change in reserves) | 18,835 | 16,686 | |||||||||||||||||||||
Interest credited to policyholders’ account balances: | |||||||||||||||||||||||
Direct | 21,312 | 22,258 | |||||||||||||||||||||
Ceded | (10,601) | (12,067) | |||||||||||||||||||||
Net interest credited to policyholders’ account balances | 10,711 | 10,191 | |||||||||||||||||||||
Reinsurance expense allowances and general and administrative expenses, net of capitalization and amortization | (36,429) | (75,533) |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||
(in thousands) | |||||||||||||||
Premiums: | |||||||||||||||
Direct | $ | 62,975 | $ | 61,930 | $ | 127,608 | $ | 124,944 | |||||||
Ceded | (57,846 | ) | (58,649 | ) | (117,285 | ) | (118,325 | ) | |||||||
Net premiums | 5,129 | 3,281 | 10,323 | 6,619 | |||||||||||
Policy charges and fee income: | |||||||||||||||
Direct | 94,937 | 118,884 | 204,009 | 212,504 | |||||||||||
Ceded(1) | (76,694 | ) | (96,279 | ) | (161,797 | ) | (170,050 | ) | |||||||
Net policy charges and fee income | 18,243 | 22,605 | 42,212 | 42,454 | |||||||||||
Net investment income: | |||||||||||||||
Direct | 20,874 | 19,634 | 38,066 | 38,543 | |||||||||||
Ceded | (191 | ) | (162 | ) | (418 | ) | (330 | ) | |||||||
Net investment income | 20,683 | 19,472 | 37,648 | 38,213 | |||||||||||
Asset administration fees: | |||||||||||||||
Direct | 9,290 | 9,394 | 19,015 | 18,273 | |||||||||||
Ceded | (7,744 | ) | (7,945 | ) | (15,904 | ) | (15,481 | ) | |||||||
Net asset administration fees | 1,546 | 1,449 | 3,111 | 2,792 | |||||||||||
Realized investment gains (losses), net: | |||||||||||||||
Direct | 146,576 | (165,057 | ) | (922,872 | ) | (227,900 | ) | ||||||||
Ceded | (154,088 | ) | 160,001 | 928,425 | 216,734 | ||||||||||
Realized investment gains (losses), net | (7,512 | ) | (5,056 | ) | 5,553 | (11,166 | ) | ||||||||
Policyholders’ benefits (including change in reserves): | |||||||||||||||
Direct | 126,289 | 131,279 | 257,575 | 203,307 | |||||||||||
Ceded(2) | (112,846 | ) | (120,928 | ) | (227,446 | ) | (182,979 | ) | |||||||
Net policyholders’ benefits (including change in reserves) | 13,443 | 10,351 | 30,129 | 20,328 | |||||||||||
Interest credited to policyholders’ account balances: | |||||||||||||||
Direct | 16,061 | 17,271 | 38,319 | 32,488 | |||||||||||
Ceded | (4,074 | ) | (7,266 | ) | (16,141 | ) | (13,430 | ) | |||||||
Net interest credited to policyholders’ account balances | 11,987 | 10,005 | 22,178 | 19,058 | |||||||||||
Reinsurance expense allowances and general and administrative expenses, net of capitalization and amortization | (24,163 | ) | (58,171 | ) | (99,696 | ) | (97,673 | ) |
2021 | 2020 | ||||||||||
(in thousands) | |||||||||||
Direct gross life insurance face amount in force | $ | 154,519,117 | $ | 149,522,280 | |||||||
Reinsurance ceded | (139,942,682) | (136,956,945) | |||||||||
Net life insurance face amount in force | $ | 14,576,435 | $ | 12,565,335 |
2020 | 2019 | ||||||
(in thousands) | |||||||
Direct gross life insurance face amount in force | $ | 151,576,594 | $ | 145,001,035 | |||
Reinsurance ceded | (138,189,156 | ) | (132,123,416 | ) | |||
Net life insurance face amount in force | $ | 13,387,438 | $ | 12,877,619 |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
Accumulated Other Comprehensive Income (Loss) | |||||||||||||||||
Foreign Currency Translation Adjustment | Net Unrealized Investment Gains (Losses)(1) | Total Accumulated Other Comprehensive Income (Loss) | |||||||||||||||
(in thousands) | |||||||||||||||||
Balance, December 31, 2020 | $ | (783) | $ | 186,190 | $ | 185,407 | |||||||||||
Change in OCI before reclassifications | (108) | (113,151) | (113,259) | ||||||||||||||
Amounts reclassified from AOCI | 0 | (410) | (410) | ||||||||||||||
Income tax benefit (expense) | 23 | 23,848 | 23,871 | ||||||||||||||
Balance, March 31, 2021 | $ | (868) | $ | 96,477 | $ | 95,609 |
Accumulated Other Comprehensive Income (Loss) | |||||||||||
Foreign Currency Translation Adjustment | Net Unrealized Investment Gains (Losses)(1) | Total Accumulated Other Comprehensive Income (Loss) | |||||||||
(in thousands) | |||||||||||
Balance, December 31, 2019 | $ | (981 | ) | $ | 86,616 | $ | 85,635 | ||||
Change in OCI before reclassifications | 41 | 77,489 | 77,530 | ||||||||
Amounts reclassified from AOCI | 0 | (1,030 | ) | (1,030 | ) | ||||||
Income tax benefit (expense) | (9 | ) | (16,057 | ) | (16,066 | ) | |||||
Balance, June 30, 2020 | $ | (949 | ) | $ | 147,018 | $ | 146,069 |
Accumulated Other Comprehensive Income (Loss) | |||||||||||||||||
Foreign Currency Translation Adjustment | Net Unrealized Investment Gains (Losses)(1) | Total Accumulated Other Comprehensive Income (Loss) | |||||||||||||||
(in thousands) | |||||||||||||||||
Balance, December 31, 2019 | $ | (981) | $ | 86,616 | $ | 85,635 | |||||||||||
Change in OCI before reclassifications | (1) | (20,060) | (20,061) | ||||||||||||||
Amounts reclassified from AOCI | 0 | (908) | (908) | ||||||||||||||
Income tax benefit (expense) | 0 | 4,404 | 4,404 | ||||||||||||||
Balance, March 31, 2020 | $ | (982) | $ | 70,052 | $ | 69,070 |
Accumulated Other Comprehensive Income (Loss) | |||||||||||
Foreign Currency Translation Adjustment | Net Unrealized Investment Gains (Losses)(1) | Total Accumulated Other Comprehensive Income (Loss) | |||||||||
(in thousands) | |||||||||||
Balance, December 31, 2018 | $ | (989 | ) | $ | (13,378 | ) | $ | (14,367 | ) | ||
Change in OCI before reclassifications | 4 | 88,557 | 88,561 | ||||||||
Amounts reclassified from AOCI | 0 | 4,304 | 4,304 | ||||||||
Income tax benefit (expense) | (1 | ) | (19,500 | ) | (19,501 | ) | |||||
Balance, June 30, 2019 | $ | (986 | ) | $ | 59,983 | $ | 58,997 |
Three Months Ended March 31, | |||||||||||||||||||||||||||||||||||
2021 | 2020 | ||||||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||||
Amounts reclassified from AOCI (1)(2): | |||||||||||||||||||||||||||||||||||
Net unrealized investment gains (losses): | |||||||||||||||||||||||||||||||||||
Cash flow hedges - Currency/ Interest rate(3) | $ | 552 | $ | 1,509 | |||||||||||||||||||||||||||||||
Net unrealized investment gains (losses) on available-for-sale securities | (142) | (601) | |||||||||||||||||||||||||||||||||
Total net unrealized investment gains (losses)(4) | 410 | 908 | |||||||||||||||||||||||||||||||||
Total reclassifications for the period | $ | 410 | $ | 908 |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||||
(in thousands) | |||||||||||||||
Amounts reclassified from AOCI (1)(2): | |||||||||||||||
Net unrealized investment gains (losses): | |||||||||||||||
Cash flow hedges - Currency/ Interest rate(3) | $ | 164 | $ | (646 | ) | $ | 1,673 | $ | (825 | ) | |||||
Net unrealized investment gains (losses) on available-for-sale securities | (41 | ) | (384 | ) | (643 | ) | (3,479 | ) | |||||||
Total net unrealized investment gains (losses)(4) | 123 | (1,030 | ) | 1,030 | (4,304 | ) | |||||||||
Total reclassifications for the period | $ | 123 | $ | (1,030 | ) | $ | 1,030 | $ | (4,304 | ) |
Net Unrealized Gains (Losses) on Investments | DAC and Other Costs(2) | Future Policy Benefits, Policyholders' Account Balances and Other Liabilities(3) | Deferred Income Tax (Liability) Benefit | Accumulated Other Comprehensive Income (Loss) Related To Net Unrealized Investment Gains (Losses) | |||||||||||||||
(in thousands) | |||||||||||||||||||
Balance, December 31, 2019(1) | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||||
Net investment gains (losses) on investments arising during the period | 0 | 0 | 0 | 0 | 0 | ||||||||||||||
Reclassification adjustment for (gains) losses included in net income | 0 | 0 | 0 | 0 | 0 | ||||||||||||||
Increase (decrease) due to non-credit related losses recognized in AOCI during the period | 0 | 0 | 0 | 0 | 0 | ||||||||||||||
Impact of net unrealized investment (gains) losses on DAC and other costs | 0 | 4 | 0 | (1 | ) | 3 | |||||||||||||
Impact of net unrealized investment (gains) losses on future policy benefits, policyholders' account balances and other liabilities | 0 | 0 | 50 | (10 | ) | 40 | |||||||||||||
Balance, June 30, 2020 | $ | 0 | $ | 4 | $ | 50 | $ | (11 | ) | $ | 43 |
Net Unrealized Gains (Losses) on Investments(1) | DAC and Other Costs(2) | Future Policy Benefits, Policyholders' Account Balances and Other Liabilities(3) | Deferred Income Tax (Liability) Benefit | Accumulated Other Comprehensive Income (Loss) Related To Net Unrealized Investment Gains (Losses) | ||||||||||||||||||||||||||||
Balance, December 31, 2020 | $ | 255,724 | $ | 28,241 | $ | (48,283) | $ | (49,492) | $ | 186,190 | ||||||||||||||||||||||
Net investment gains (losses) on investments arising during the period | (123,751) | 0 | 0 | 25,988 | (97,763) | |||||||||||||||||||||||||||
Reclassification adjustment for (gains) losses included in net income | (410) | 0 | 0 | 86 | (324) | |||||||||||||||||||||||||||
Impact of net unrealized investment (gains) losses on DAC and other costs | 0 | (8,631) | 0 | 1,813 | (6,818) | |||||||||||||||||||||||||||
Impact of net unrealized investment (gains) losses on future policy benefits, policyholders' account balances and other liabilities | 0 | 0 | 19,231 | (4,039) | 15,192 | |||||||||||||||||||||||||||
Balance, March 31, 2021 | $ | 131,563 | $ | 19,610 | $ | (29,052) | $ | (25,644) | $ | 96,477 |
Net Unrealized Gains (Losses) on Investments(1) | DAC and Other Costs(3) | Future Policy Benefits, Policyholders' Account Balances and Other Liabilities(4) | Deferred Income Tax (Liability) Benefit | Accumulated Other Comprehensive Income (Loss) Related To Net Unrealized Investment Gains (Losses) | |||||||||||||||
(in thousands) | |||||||||||||||||||
Balance, December 31, 2019(2) | $ | 116,039 | $ | 8,973 | $ | (15,373 | ) | $ | (23,023 | ) | $ | 86,616 | |||||||
Net investment gains (losses) on investments arising during the period | 83,683 | 0 | 0 | (17,574 | ) | 66,109 | |||||||||||||
Reclassification adjustment for (gains) losses included in net income | (1,030 | ) | 0 | 0 | 216 | (814 | ) | ||||||||||||
Reclassification due to allowance for credit losses recorded during the period | 0 | 0 | 0 | 0 | 0 | ||||||||||||||
Impact of net unrealized investment (gains) losses on DAC and other costs | 0 | 15,723 | 0 | (3,302 | ) | 12,421 | |||||||||||||
Impact of net unrealized investment (gains) losses on future policy benefits, policyholders' account balances and other liabilities | 0 | 0 | (21,971 | ) | 4,614 | (17,357 | ) | ||||||||||||
Balance, June 30, 2020 | $ | 198,692 | $ | 24,696 | $ | (37,344 | ) | $ | (39,069 | ) | $ | 146,975 |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | |||
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
Maturity Date | Interest Rates | March 31, 2021 | December 31, 2020 | ||||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||||
U.S. dollar fixed rate notes | 2027 | 0.00% | - | 14.85 | % | $ | 782 | $ | 815 | ||||||||||||||||||||||||||
Total long-term notes receivable - affiliated(1) | $ | 782 | $ | 815 |
Maturity Dates | Interest Rates | June 30, 2020 | December 31, 2019 | |||||||||||||
(in thousands) | ||||||||||||||||
U.S. dollar fixed rate notes | 2026 | - | 2027 | 0.00% | - | 14.85 | % | $ | 2,316 | $ | 2,433 | |||||
Total notes receivable - affiliated(1) | $ | 2,316 | $ | 2,433 |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
Affiliate | Date | Transaction | Security Type | Fair Value | Book Value | APIC, Net of Tax Increase/(Decrease) | Realized Investment Gain (Loss) | |||||||||||||||||||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Prudential Insurance | April 2020 | Purchase | Fixed Maturities | $ | 3,485 | $ | 3,320 | $ | (130) | $ | 0 |
Affiliate | Date | Transaction | Security Type | Fair Value | Book Value | APIC, Net of Tax Increase/(Decrease) | Realized Investment Gain (Loss) | |||||||||||||||
(in thousands) | ||||||||||||||||||||||
Prudential Annuities Life Assurance Corporation | April 2019 | Sale | Equity Securities | $ | 3,293 | $ | 2,995 | $ | 0 | $ | 298 | |||||||||||
Prudential Insurance | April 2020 | Purchase | Fixed Maturities | $ | 3,485 | $ | 3,320 | $ | (130 | ) | $ | 0 |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
Six Months Ended June 30, 2019 | |||||||||||
As Previously Reported | Revision | As Revised | |||||||||
(in thousands) | |||||||||||
CASH FLOWS FROM OPERATING ACTIVITIES: | |||||||||||
Policy charges and fee income | $ | (25,026 | ) | $ | 15,958 | $ | (9,068 | ) | |||
Cash flows from (used in) operating activities | (2,993 | ) | 15,958 | 12,965 | |||||||
CASH FLOWS FROM FINANCING ACTIVITIES: | |||||||||||
Policyholders' account withdrawals | (162,051 | ) | (11,023 | ) | (173,074 | ) | |||||
Other, net | 0 | (4,935 | ) | (4,935 | ) | ||||||
Cash flows from (used in) financing activities | 61,354 | (15,958 | ) | 45,396 |
•Outlook. We expect COVID-19 to continue to contribute to elevated levels of mortality, resulting in increased life insurance claims in the near-term. In addition, while we have seen strong sales of key products, social distancing associated with COVID-19 could adversely impact sales prospects in the near-term. •Results of Operations. For the three months ended March 31, 2021 we reported a net income of $24 million. See “Results of Operations” for a discussion of results for the first quarter of 2021. •Risk Factors. The COVID-19 pandemic has adversely impacted our results of operations, financial position, investment portfolio, new business opportunities and operations, and these impacts are expected to continue. For additional information on the risks to our business posed by the COVID-19 pandemic, see “Risk Factors” included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2020. •Business Continuity. Throughout the COVID-19 pandemic, we have been executing Prudential Financial Inc.'s ("Prudential Financial") and our business continuity protocols to ensure our employees are safe and able to serve our customers. This included effectively transitioning the vast majority of our employees to remote work arrangements. |
PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY | ||
Notes to Unaudited Interim Financial Statements—(Continued) |
EXHIBIT INDEX | ||
101.INS - XBRL Instance Document - the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document. | ||
101.SCH - XBRL Taxonomy Extension Schema Document. | ||
101.CAL - XBRL Taxonomy Extension Calculation Linkbase Document | ||
101.LAB - XBRL Taxonomy Extension Label Linkbase Document | ||
101.PRE - XBRL Taxonomy Extension Presentation Linkbase Document | ||
101.DEF - XBRL Taxonomy Extension Definition Linkbase Document | ||
104.Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101) |
Pruco Life Insurance Company of New Jersey | |||||||||||
By: | /s/ Susan M. Mann | ||||||||||
Name: | Susan M. Mann | ||||||||||
Vice President and Chief Financial Officer | |||||||||||
(Authorized Signatory and Principal Financial Officer) |