COLI VUL-2 Series Account

of Great-West Life & Annuity

Insurance Company

Annual Statement as of and for the year ended

December 31, 2020 and Report of Independent

Registered Public Accounting Firm

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Contract Owners of COLI VUL-2 Series Account and the Board of Directors of Great-West Life & Annuity Insurance Company

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of the investment divisions listed in Appendix A of the COLI VUL-2 Series Account of Great-West Life & Annuity Insurance Company (the “Series Account”) as of December 31, 2020, the related statements of operations and changes in net assets for the periods indicated in Appendix A, and the related notes. In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the investment divisions constituting the Series Account as of December 31, 2020, and the results of their operations and the changes in their net assets for each of the periods indicated in Appendix A, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Series Account’s management. Our responsibility is to express an opinion on the Series Account’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Series Account in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Series Account is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Series Account’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020, by correspondence with mutual fund companies. We believe that our audits provide a reasonable basis for our opinion.

/s/ DELOITTE & TOUCHE LLP

Denver, Colorado

May 10, 2021

We have served as the auditor of one or more Great-West investment company separate accounts since 1981.

COLI VUL-2 SERIES ACCOUNT OF GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Report of Independent Registered Public Accounting Firm

APPENDIX A

Investment division	Statement of assets and liabilities	Statement of operations	Statements of changes in net assets
ALGER SMALL CAP GROWTH PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
AMERICAN CENTURY INVESTMENTS VP CAPITAL APPRECIATION FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
AMERICAN CENTURY INVESTMENTS VP INCOME & GROWTH FUND	N/A	N/A	For the period January 1, 2019 to November 25, 2019
AMERICAN CENTURY INVESTMENTS VP INFLATION PROTECTION FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
AMERICAN CENTURY INVESTMENTS VP INTERNATIONAL FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
AMERICAN CENTURY INVESTMENTS VP MID CAP VALUE FUND	December 31, 2020	For the year ended December 31, 2020	For the year ended December 31, 2020 and for the period March 13, 2019 to December 31, 2019
AMERICAN CENTURY INVESTMENTS VP ULTRA FUND	N/A	N/A	For the period November 26, 2019 to December 5, 2019
AMERICAN CENTURY INVESTMENTS VP VALUE FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
AMERICAN FUNDS IS GLOBAL SMALL CAPITALIZATION FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
AMERICAN FUNDS IS GROWTH FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
AMERICAN FUNDS IS GROWTH AND INCOME FUND	December 31, 2020	For the period of September 21, 2020 to December 31, 2020	For the period of September 21, 2020 to December 31, 2020
AMERICAN FUNDS IS INTERNATIONAL FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
AMERICAN FUNDS IS NEW WORLD FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
BLACKROCK GLOBAL ALLOCATION VI FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
BLACKROCK HIGH YIELD VI FUND	December 31, 2020	For the period of September 21, 2020 to December 31, 2020	For the period of September 21, 2020 to December 31, 2020
BNY MELLON STOCK INDEX FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
BNY MELLON VIF INTERNATIONAL EQUITY PORTFOLIO	N/A	For the period of January 1, 2020 to May 4, 2020	For the period of January 1, 2020 to May 4, 2020 and for the year ended December 31, 2019

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COLI VUL-2 SERIES ACCOUNT OF GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Report of Independent Registered Public Accounting Firm

APPENDIX A

CLEARBRIDGE VARIABLE MID CAP PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
CLEARBRIDGE VARIABLE SMALL CAP GROWTH PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
COLUMBIA VARIABLE PORTFOLIO - SMALL CAP VALUE FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
DAVIS FINANCIAL PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
DAVIS VALUE PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
DELAWARE VIP INTERNATIONAL SERIES	December 31, 2020	For the period of December 11, 2020 to December 31, 2020	For the period of December 11, 2020 to December 31, 2020
DELAWARE VIP INTERNATIONAL VALUE EQUITY SERIES	N/A	For the period of January 1, 2020 to December 11, 2020	For the period of January 1, 2020 to December 11, 2020 and for the year ended December 31, 2019
DELAWARE VIP SMALL CAP VALUE SERIES	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
DWS CROCI® U.S. VIP	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
DWS HIGH INCOME VIP	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
DWS SMALL CAP INDEX VIP	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
DWS SMALL MID CAP VALUE VIP	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
EATON VANCE VT FLOATING-RATE INCOME FUND	December 31, 2020	For the period of September 21, 2020 to December 31, 2020	For for the period of September 21, 2020 to December 31, 2020
FEDERATED HERMES KAUFMANN FUND II	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
FIDELITY VIP CONTRAFUND PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
FIDELITY VIP EMERGING MARKETS PORTFOLIO	December 31, 2020	For the period of September 21, 2020 to December 31, 2020	For the period of September 21, 2020 to December 31, 2020
FIDELITY VIP GROWTH PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
FIDELITY VIP INVESTMENT GRADE BOND PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
FIDELITY VIP MID CAP PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GOLDMAN SACHS VIT MID CAP VALUE FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020

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COLI VUL-2 SERIES ACCOUNT OF GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Report of Independent Registered Public Accounting Firm

APPENDIX A

GOLDMAN SACHS VIT MULTI-STRATEGY ALTERNATIVES PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For the year ended December 31, 2020 and for the period March 13, 2019 to December 31, 2019
GREAT-WEST AGGRESSIVE PROFILE FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST ARIEL MID CAP VALUE FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST BOND INDEX FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST CONSERVATIVE PROFILE FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST CORE BOND FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST EMERGING MARKETS EQUITY FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST GLOBAL BOND FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST GOVERNMENT MONEY MARKET FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST INFLATION-PROTECTED SECURITIES FUND	December 31, 2020	For the period of September 21, 2020 to December 31, 2020	For the period of September 21, 2020 to December 31, 2020
GREAT-WEST INTERNATIONAL INDEX FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST INTERNATIONAL VALUE FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST LARGE CAP GROWTH FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST LARGE CAP VALUE FUND INVESTOR II CLASS	December 31, 2020	For the year ended December 31, 2020	For the year ended December 31, 2020 and for the period October 28, 2019 to December 31, 2019
GREAT-WEST LIFETIME 2015 FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST LIFETIME 2020 FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST LIFETIME 2025 FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST LIFETIME 2030 FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST LIFETIME 2035 FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST LIFETIME 2040 FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST LIFETIME 2045 FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST LIFETIME 2050 FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST LIFETIME 2055 FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020

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COLI VUL-2 SERIES ACCOUNT OF GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Report of Independent Registered Public Accounting Firm

APPENDIX A

GREAT-WEST MID CAP VALUE FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST MODERATE PROFILE FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST MODERATELY AGGRESSIVE PROFILE FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST MODERATELY CONSERVATIVE PROFILE FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST MULTI-SECTOR BOND FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST REAL ESTATE INDEX FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST S&P MID CAP 400® INDEX FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST S&P SMALL CAP 600® INDEX FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST SHORT DURATION BOND FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST SMALL CAP VALUE FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST T. ROWE PRICE MID CAP GROWTH FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
GREAT-WEST T. ROWE PRICE EQUITY INCOME FUND	N/A	N/A	For the period January 1, 2019 to October 28, 2019
GREAT-WEST U.S. GOVERNMENT SECURITIES FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
INVESCO OPPENHEIMER V.I. MAIN STREET SMALL CAP FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
INVESCO V.I. CORE EQUITY FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
INVESCO V.I. GLOBAL REAL ESTATE FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
INVESCO V.I. HEALTH CARE FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
INVESCO V.I. INTERNATIONAL GROWTH FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
INVESCO V.I. MID CAP CORE EQUITY FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
INVESCO V.I. TECHNOLOGY FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
JANUS HENDERSON VIT BALANCED PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
JANUS HENDERSON VIT ENTERPRISE PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For the year ended December 31, 2020 and for the period June 5, 2019 to December 31, 2019

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COLI VUL-2 SERIES ACCOUNT OF GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Report of Independent Registered Public Accounting Firm

APPENDIX A

JANUS HENDERSON VIT FLEXIBLE BOND PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
JANUS HENDERSON VIT FORTY PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
JANUS HENDERSON VIT GLOBAL RESEARCH PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
JANUS HENDERSON VIT GLOBAL TECHNOLOGY AND INNOVATION PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
JANUS HENDERSON VIT OVERSEAS PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
LORD ABBETT SERIES DEVELOPING GROWTH PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
LORD ABBETT SERIES TOTAL RETURN PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For the year ended December 31, 2020 and for the period March 13, 2019 to December 31, 2019
MFS VIT GROWTH SERIES	December 31, 2020	For the year ended December 31, 2020	For the year ended December 31, 2020 and for the period January 17, 2019 to December 31, 2019
MFS VIT II INTERNATIONAL GROWTH PORTFOLIO	December 31, 2020	For the period of September 21, 2020 to December 31, 2020	For the period of September 21, 2020 to December 31, 2020
MFS VIT III BLENDED RESEARCH SMALL CAP EQUITY PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For the year ended December 31, 2020 and for the period March 13, 2019 to December 31, 2019
MFS VIT III GLOBAL REAL ESTATE PORTFOLIO	December 31, 2020	For the period of September 21, 2020 to December 31, 2020	For the period September 21, 2020 to December 31, 2020
MFS VIT III MID CAP VALUE PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
MFS VIT MID CAP GROWTH SERIES	December 31, 2020	For the period of April 21, 2020 to December 31, 2020	For the period April 21, 2020 to December 31, 2020 and for the period January 1, 2019 to January 17, 2019
MFS VIT RESEARCH SERIES	December 31, 2020	For the year ended December 31, 2020	For the year ended December 31, 2020 and for the period March 13, 2019 to December 31, 2019
MFS VIT TOTAL RETURN BOND SERIES	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
MFS VIT VALUE SERIES	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
NEUBERGER BERMAN AMT MID CAP GROWTH PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
NEUBERGER BERMAN AMT MID CAP INTRINSIC VALUE PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020

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COLI VUL-2 SERIES ACCOUNT OF GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Report of Independent Registered Public Accounting Firm

APPENDIX A

NEUBERGER BERMAN AMT SUSTAINABLE EQUITY PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
PIMCO VIT GLOBAL BOND OPPORTUNITIES PORTFOLIO (UNHEDGED)	December 31, 2020	For the year ended December 31, 2020	For the year ended December 31, 2020 and for the period March 13, 2019 to December 31, 2019
PIMCO VIT HIGH YIELD PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
PIMCO VIT LOW DURATION PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
PIMCO VIT REAL RETURN PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
PIMCO VIT TOTAL RETURN PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
PIONEER REAL ESTATE SHARES VCT PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
PUTNAM VT EQUITY INCOME FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
PUTNAM VT GLOBAL ASSET ALLOCATION FUND	December 31, 2020	For the year ended December 31, 2020	For the year ended December 31, 2020 and for the period April 8, 2019 to December 31, 2019
PUTNAM VT GLOBAL EQUITY FUND	December 31, 2020	For the year ended December 31, 2020	For the year ended December 31, 2020 and for the period March 13, 2019 to December 31, 2019
PUTNAM VT GROWTH OPPORTUNITIES FUND	December 31, 2020	For the year ended December 31, 2020	For the year ended December 31, 2020 and for the period June 5, 2019 to December 31, 2019
PUTNAM VT HIGH YIELD FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
PUTNAM VT INCOME FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
PUTNAM VT INTERNATIONAL VALUE FUND	December 31, 2020	For the period of April 16, 2020 to December 31, 2020	For the period April 16, 2020 to December 31, 2020
PUTNAM VT INTERNATIONAL GROWTH FUND	N/A	N/A	For the period January 1, 2019 to November 5, 2019
PUTNAM VT SMALL CAP VALUE FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
PUTNAM VT SUSTAINABLE FUTURE FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
ROYCE CAPITAL FUND - SMALL-CAP PORTFOLIO	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
T. ROWE PRICE BLUE CHIP GROWTH PORTFOLIO CLASS II	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
VAN ECK VIP EMERGING MARKETS FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020
VAN ECK VIP GLOBAL HARD ASSETS FUND	December 31, 2020	For the year ended December 31, 2020	For each of the two years in the period ended December 31, 2020

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COLI VUL-2 SERIES ACCOUNT OF GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Report of Independent Registered Public Accounting Firm

APPENDIX A

VICTORY RS SMALL CAP GROWTH EQUITY VIP December 31, 2020 For the year ended December 31, 2019 For each of the two years in the period ended December 31, 2020

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COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF ASSETS AND LIABILITIES

DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		ALGER SMALL     CAP GROWTH PORTFOLIO			AMERICAN CENTURY INVESTMENTS VP CAPITAL   APPRECIATION   FUND			AMERICAN CENTURY   INVESTMENTS   VP INFLATION PROTECTION FUND			AMERICAN CENTURY   INVESTMENTS VP   INTERNATIONAL FUND			AMERICAN CENTURY   INVESTMENTS   VP MID CAP VALUE FUND			AMERICAN CENTURY INVESTMENTS   VP VALUE FUND
ASSETS:
Investments at fair value (1)	$		736,857	$		485,564	$		3,523,604	$		67,321	$		1,640,791	$		1,234,435
Receivable Dividends and Other			-			0			-			-			-			-
Receivable Units of the Account Sold			0			0			0			0			0			0
Total assets			736,857			485,564			3,523,604			67,321			1,640,791			1,234,435
LIABILITIES:
Payable for investments purchased			1			0			0			0			0			0
Payable for policy-related transactions			0			0			0			0			0			0
Other payables			1			0			0			0			0			0
Total liabilities			2			0			0			0			0			0
NET ASSETS	$		736,855	$		485,564	$		3,523,604	$		67,321	$		1,640,791	$		1,234,435
NET ASSETS REPRESENTED BY:
Accumulation units	$		736,855	$		485,564	$		3,523,604	$		67,321	$		1,640,791	$		1,234,435
Contracts in payout phase
ACCUMULATION UNITS OUTSTANDING			2,058			18,984			291,551			3,400			133,123			24,143
UNIT VALUE (ACCUMULATION)	$		358.04	$		25.58	$		12.09	$		19.80	$		12.33	$		51.13
(1)   Cost of investments:	$		429,622	$		367,800	$		3,301,929	$		44,918	$		1,515,080	$		1,166,571
Shares of investments:			16,455			25,198			317,728			4,775			79,883			110,513

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF ASSETS AND LIABILITIES

DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		AMERICAN FUNDS IS GLOBAL SMALL   CAPITALIZATION   FUND			AMERICAN FUNDS IS   GROWTH FUND			AMERICAN FUNDS IS GROWTH AND   INCOME FUND			AMERICAN FUNDS   IS INTERNATIONAL FUND			AMERICAN   FUNDS IS NEW   WORLD FUND			BLACKROCK GLOBAL   ALLOCATION VI   FUND
ASSETS:
Investments at fair value (1)	$		200,720	$		4,621,743	$		329	$		1,131,611	$		2,149,769	$		158,069
Receivable Dividends and Other			0			-			-			0			-			-
Receivable Units of the Account Sold			0			782			0			690			3,547			0
Total assets			200,720			4,622,525			329			1,132,301			2,153,316			158,069
LIABILITIES:
Payable for investments purchased			0			1			0			1			0			0
Payable for policy-related transactions			0			0			0			0			0			0
Other payables			0			783			0			691			3,547			0
Total liabilities			0			783			0			692			3,547			0
NET ASSETS	$		200,720	$		4,621,742	$		329	$		1,131,609	$		2,149,769	$		158,069
NET ASSETS REPRESENTED BY:
Accumulation units	$		200,720	$		4,621,742	$		329	$		1,131,609	$		2,149,769	$		158,069
Contracts in payout phase
ACCUMULATION UNITS OUTSTANDING			8,208			95,076			24			64,416			68,639			10,145
UNIT VALUE (ACCUMULATION)	$		24.45	$		48.61	$		13.64	$		17.57	$		31.32	$		15.58
(1)   Cost of investments:	$		154,204	$		3,038,679	$		299	$		1,042,793	$		1,581,347	$		156,738
Shares of investments:			6,360			38,783			6			48,072			68,793			8,110

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF ASSETS AND LIABILITIES

DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		BLACKROCK   HIGH YIELD VI FUND			BNY MELLON   STOCK INDEX   FUND			CLEARBRIDGE VARIABLE MID   CAP PORTFOLIO			CLEARBRIDGE   VARIABLE SMALL CAP GROWTH PORTFOLIO			COLUMBIA VARIABLE PORTFOLIO - SMALL CAP   VALUE FUND			DAVIS FINANCIAL   PORTFOLIO
ASSETS:
Investments at fair value (1)	$		29,689	$		25,247,715	$		155,460	$		488,722	$		232,379	$		36,920
Receivable Dividends and Other			-			-			-			-			-			-
Receivable Units of the Account Sold			0			1,075			538			947			0			0
Total assets			29,689			25,248,790			155,998			489,668			232,379			36,920
LIABILITIES:
Payable for investments purchased			0			0			0			0			0			0
Payable for policy-related transactions			0			0			0			0			0			0
Other payables			0			1,075			538			947			0			0
Total liabilities			0			1,075			538			947			0			0
NET ASSETS	$		29,689	$		25,247,715	$		155,460	$		488,722	$		232,379	$		36,920
NET ASSETS REPRESENTED BY:
Accumulation units	$		29,689	$		25,247,715	$		155,460	$		488,722	$		232,379	$		36,920
Contracts in payout phase
ACCUMULATION UNITS OUTSTANDING			2,639			691,938			9,244			18,459			6,515			1,426
UNIT VALUE (ACCUMULATION)	$		11.25	$		36.49	$		16.82	$		26.48	$		35.67	$		25.89
(1)   Cost of investments:	$		29,650	$		18,855,844	$		129,701	$		408,255	$		182,527	$		36,792
Shares of investments:			3,927			392,838			6,068			13,353			14,371			3,145

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF ASSETS AND LIABILITIES

DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		DAVIS VALUE   PORTFOLIO			DELAWARE VIP   INTERNATIONAL   SERIES			DELAWARE VIP   SMALL CAP VALUE SERIES			DWS CROCI®   U.S. VIP			DWS HIGH   INCOME VIP
ASSETS:
Investments at fair value (1)	$		139,287	$		183,092	$		369,035	$		142,631	$		167,841
Receivable Dividends and Other			-			-			-			-			-
Receivable Units of the Account Sold			0			0			883			1			0
Total assets			139,287			183,092			369,918			142,631			167,841
LIABILITIES:
Payable for investments purchased			0			0			0			0			0
Payable for policy-related transactions			0			0			0			0			0
Other payables			0			0			883			0			0
Total liabilities			0			0			883			0			0
NET ASSETS	$		139,287	$		183,092	$		369,034	$		142,631	$		167,841
NET ASSETS REPRESENTED BY:
Accumulation units	$		139,287	$		183,092	$		369,034	$		142,631	$		167,841
Contracts in payout phase
ACCUMULATION UNITS OUTSTANDING			4,360			17,984			24,871			8,459			7,627
UNIT VALUE (ACCUMULATION)	$		31.95	$		10.18	$		14.84	$		16.86	$		22.01
(1)   Cost of investments:	$		134,554	$		182,348	$		335,382	$		153,728	$		161,033
Shares of investments:			15,189			9,556			10,860			11,040			26,941

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF ASSETS AND LIABILITIES

DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		DWS SMALL CAP   INDEX VIP			DWS SMALL MID   CAP VALUE VIP			EATON VANCE   VT FLOATING- RATE INCOME FUND			FEDERATED   HERMES KAUFMANN FUND II			FIDELITY VIP   CONTRAFUND   PORTFOLIO			FIDELITY VIP   EMERGING MARKETS PORTFOLIO
ASSETS:
Investments at fair value (1)	$		8,593,719	$		1,321,624	$		74,129	$		261,954	$		1,948,753	$		103,846
Receivable Dividends and Other			0			-			-			-			0			-
Receivable Units of the Account Sold			1,023			0			0			1			0			0
Total assets			8,594,742			1,321,624			74,129			261,955			1,948,753			103,846
LIABILITIES:
Payable for investments purchased			1			0			0			0			0			0
Payable for policy-related transactions			0			0			0			0			0			0
Other payables			1,023			0			0			0			0			0
Total liabilities			1,024			0			0			0			0			0
NET ASSETS	$		8,593,718	$		1,321,624	$		74,129	$		261,955	$		1,948,753	$		103,846
NET ASSETS REPRESENTED BY:
Accumulation units	$		8,593,718	$		1,321,624	$		74,129	$		261,955	$		1,948,753	$		103,846
Contracts in payout phase
ACCUMULATION UNITS OUTSTANDING			264,577			49,320			6,236			5,703			34,778			7369
UNIT VALUE (ACCUMULATION)	$		32.48	$		26.80	$		11.89	$		45.93	$		56.03	$		14.09
(1)   Cost of investments:	$		7,706,325	$		1,428,668	$		74,129	$		200,380	$		1,395,231	$		103,776
Shares of investments:			494,176			110,135			8,209			10,289			41,702			7,045

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF ASSETS AND LIABILITIES

DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		FIDELITY VIP   GROWTH PORTFOLIO			FIDELITY VIP INVESTMENT   GRADE BOND   PORTFOLIO			FIDELITY VIP   MID CAP PORTFOLIO			GOLDMAN   SACHS VIT MID   CAP VALUE FUND			GOLDMAN SACHS VIT MULTI- STRATEGY ALTERNATIVES PORTFOLIO			GREAT-WEST AGGRESSIVE   PROFILE FUND
ASSETS:
Investments at fair value (1)	$		48,362	$		393,994	$		519,142	$		75,557	$		8,914	$		617,757
Receivable Dividends and Other			-			-			0			-			-			-
Receivable Units of the Account Sold			0			0			0			0			0			0
Total assets			48,362			393,994			519,142			75,557			8,914			617,757
LIABILITIES:
Payable for investments purchased			0			0			0			0			0			0
Payable for policy-related transactions			0			0			0			0			0			0
Other payables			0			0			0			0			0			0
Total liabilities			0			0			0			0			0			0
NET ASSETS	$		48,362	$		393,994	$		519,142	$		75,557	$		8,914	$		617,757
NET ASSETS REPRESENTED BY:
Accumulation units	$		48,362	$		393,994	$		519,142	$		75,557	$		8,914	$		617,757
Contracts in payout phase
ACCUMULATION UNITS OUTSTANDING			1,085			15,314			7,614			3,864			768			43,284
UNIT VALUE (ACCUMULATION)	$		44.57	$		25.73	$		68.18	$		19.55	$		11.61	$		14.27
(1)   Cost of investments:	$		43,430	$		362,799	$		416,622	$		62,740	$		8,502	$		571,355
Shares of investments:			481			28,717			13,922			4,385			943			97,285

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF ASSETS AND LIABILITIES

DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		GREAT-WEST   ARIEL MID CAP   VALUE FUND			GREAT-WEST   BOND INDEX FUND			GREAT-WEST   CONSERVATIVE   PROFILE FUND			GREAT-WEST   CORE BOND FUND			GREAT-WEST EMERGING MARKETS   EQUITY FUND			GREAT-WEST   GLOBAL BOND   FUND
ASSETS:
Investments at fair value (1)	$		344,899	$		3,871,774	$		1,095,707	$		2,775,936	$		96,317	$		1,696,169
Receivable Dividends and Other			-			0			0			-			-			-
Receivable Units of the Account Sold			0			407			0			0			0			329
Total assets			344,899			3,872,181			1,095,707			2,775,936			96,317			1,696,498
LIABILITIES:
Payable for investments purchased			0			0			0			0			0			0
Payable for policy-related transactions			0			0			0			0			0			0
Other payables			0			407			0			0			0			328
Total liabilities			0			407			0			0			0			328
NET ASSETS	$		344,899	$		3,871,774	$		1,095,707	$		2,775,936	$		96,317	$		1,696,170
NET ASSETS REPRESENTED BY:
Accumulation units	$		344,899	$		3,871,774	$		1,095,707	$		2,775,936	$		96,317	$		1,696,170
Contracts in payout phase
ACCUMULATION UNITS OUTSTANDING			5,682			235,020			89,920			163,551			8,030			108,933
UNIT VALUE (ACCUMULATION)	$		60.70	$		16.47	$		12.19	$		16.97	$		11.99	$		15.57
(1)   Cost of investments:	$		323,032	$		3,712,199	$		1,049,700	$		2,615,736	$		87,150	$		1,645,879
Shares of investments:			28,766			256,070			132,013			240,341			8,740			201,206

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF ASSETS AND LIABILITIES

DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		GREAT-WEST GOVERNMENT   MONEY MARKET   FUND			GREAT-WEST   INFLATION- PROTECTED SECURITIES FUND			GREAT-WEST   INTERNATIONAL   INDEX FUND			GREAT-WEST   INTERNATIONAL   VALUE FUND			GREAT-WEST LARGE CAP   GROWTH FUND			GREAT-WEST LARGE CAP   VALUE FUND   INVESTOR II CLASS
ASSETS:
Investments at fair value (1)	$		23,576,721	$		660,044	$		3,266,900	$		5,286,269	$		179,522	$		2,403,427
Receivable Dividends and Other			6			-			-			-			0			-
Receivable Units of the Account Sold			983			0			323			0			546			0
Total assets			23,577,711			660,044			3,267,224			5,286,269			180,068			2,403,427
LIABILITIES:
Payable for investments purchased			0			0			0			0			0			0
Payable for policy-related transactions			0			0			0			0			0			0
Other payables			984			0			323			0			546			0
Total liabilities			984			0			323			0			546			0
NET ASSETS	$		23,576,727	$		660,044	$		3,266,900	$		5,286,269	$		179,522	$		2,403,427
NET ASSETS REPRESENTED BY:
Accumulation units	$		23,576,727	$		660,044	$		3,266,900	$		5,286,269	$		179,522	$		2,403,427
Contracts in payout phase
ACCUMULATION UNITS OUTSTANDING			1,744,168			57,941			224,701			339,634			2,956			216,382
UNIT VALUE (ACCUMULATION)	$		13.52	$		11.39	$		14.54	$		15.56	$		60.73	$		11.11
(1)   Cost of investments:	$		23,576,721	$		658,781	$		3,153,886	$		5,058,272	$		187,807	$		2,280,371
Shares of investments:			23,576,721			63,102			261,352			439,424			17,531			233,796

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF ASSETS AND LIABILITIES

DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		GREAT-WEST   LIFETIME 2015   FUND			GREAT-WEST   LIFETIME 2020   FUND			GREAT-WEST   LIFETIME 2025   FUND			GREAT-WEST   LIFETIME 2030   FUND			GREAT-WEST   LIFETIME 2035   FUND			GREAT-WEST   LIFETIME 2040   FUND
ASSETS:
Investments at fair value (1)	$		1,624,754	$		675,423	$		4,742,897	$		2,376,708	$		1,756,915	$		1,423,547
Receivable Dividends and Other			-			-			-			0			-			-
Receivable Units of the Account Sold			0			1,109			5,091			5,347			754			2,424
Total assets			1,624,754			676,532			4,747,988			2,382,055			1,757,669			1,425,971
LIABILITIES:
Payable for investments purchased			0			0			0			0			0			0
Payable for policy-related transactions			0			0			0			0			0			0
Other payables			0			1,109			5,091			5,347			754			2,424
Total liabilities			0			1,109			5,091			5,347			754			2,424
NET ASSETS	$		1,624,754	$		675,423	$		4,742,897	$		2,376,708	$		1,756,915	$		1,423,547
NET ASSETS REPRESENTED BY:
Accumulation units	$		1,624,754	$		675,423	$		4,742,897	$		2,376,708	$		1,756,915	$		1,423,547
Contracts in payout phase
ACCUMULATION UNITS OUTSTANDING			114,734			46,508			316,780			152,970			109,852			86,651
UNIT VALUE (ACCUMULATION)	$		14.16	$		14.52	$		14.97	$		15.54	$		15.99	$		16.43
(1)   Cost of investments:	$		1,512,412	$		649,845	$		4,337,227	$		2,230,003	$		1,628,070	$		1,337,505
Shares of investments:			110,004			58,377			305,993			199,054			115,815			119,726

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF ASSETS AND LIABILITIES

DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		GREAT-WEST   LIFETIME 2045   FUND			GREAT-WEST   LIFETIME 2050   FUND			GREAT-WEST   LIFETIME 2055   FUND			GREAT-WEST   MID CAP VALUE   FUND			GREAT-WEST MODERATE   PROFILE FUND			GREAT-WEST MODERATELY AGGRESSIVE   PROFILE FUND
ASSETS:
Investments at fair value (1)	$		1,169,931	$		415,345	$		394,324	$		105,139	$		338,360	$		82,569
Receivable Dividends and Other			-			-			-			-			-			-
Receivable Units of the Account Sold			1,440			2			0			199			0			0
Total assets			1,171,370			415,347			394,324			105,338			338,360			82,569
LIABILITIES:
Payable for investments purchased			0			0			0			0			0			0
Payable for policy-related transactions			0			0			0			0			0			0
Other payables			1,440			2			0			199			0			0
Total liabilities			1,440			2			0			199			0			0
NET ASSETS	$		1,169,931	$		415,345	$		394,324	$		105,139	$		338,360	$		82,569
NET ASSETS REPRESENTED BY:
Accumulation units	$		1,169,931	$		415,345	$		394,324	$		105,139	$		338,360	$		82,569
Contracts in payout phase
ACCUMULATION UNITS OUTSTANDING			71,070			24,981			23,964			7,557			25,583			6,070
UNIT VALUE (ACCUMULATION)	$		16.46	$		16.63	$		16.45	$		13.91	$		13.23	$		13.60
(1)   Cost of investments:	$		1,066,550	$		382,020	$		369,697	$		99,332	$		330,115	$		80,761
Shares of investments:			77,121			33,577			21,246			8,452			47,859			10,807

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF ASSETS AND LIABILITIES

DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		GREAT-WEST MODERATELY   CONSERVATIVE   PROFILE FUND			GREAT-WEST   MULTI-SECTOR   BOND FUND			GREAT-WEST   REAL ESTATE   INDEX FUND			GREAT-WEST   S&P MID CAP 400® INDEX FUND			GREAT-WEST   S&P SMALL CAP   600® INDEX FUND			GREAT-WEST SHORT   DURATION BOND   FUND
ASSETS:
Investments at fair value (1)	$		1,401,224	$		403,237	$		301,374	$		7,744,324	$		469,019	$		6,957,530
Receivable Dividends and Other			-			-			-			0			0			-
Receivable Units of the Account Sold			20			0			85			1,653			1,167			16
Total assets			1,401,244			403,237			301,460			7,745,976			470,187			6,957,546
LIABILITIES:
Payable for investments purchased			0			0			0			0			0			0
Payable for policy-related transactions			0			0			0			0			0			0
Other payables			20			0			85			1,653			1,167			16
Total liabilities			20			0			85			1,653			1,167			16
NET ASSETS	$		1,401,224	$		403,237	$		301,374	$		7,744,324	$		469,019	$		6,957,530
NET ASSETS REPRESENTED BY:
Accumulation units	$		1,401,224	$		403,237	$		301,374	$		7,744,324	$		469,019	$		6,957,530
Contracts in payout phase
ACCUMULATION UNITS OUTSTANDING			110,580			8,703			22,273			353,307			25,363			447,403
UNIT VALUE (ACCUMULATION)	$		12.67	$		46.33	$		13.53	$		21.92	$		18.49	$		15.55
(1)   Cost of investments:	$		1,356,310	$		377,120	$		306,009	$		7,361,985	$		431,159	$		6,689,774
Shares of investments:			156,561			27,676			27,751			436,546			36,671			646,010

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF ASSETS AND LIABILITIES

DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		GREAT-WEST SMALL CAP   VALUE FUND			GREAT-WEST T.   ROWE PRICE MID   CAP GROWTH FUND			GREAT-WEST U.S.   GOVERNMENT   SECURITIES FUND			INVESCO   OPPENHEIMER   V.I. MAIN STREET SMALL CAP FUND			INVESCO V.I.   CORE EQUITY   FUND			INVESCO V.I.   GLOBAL REAL   ESTATE FUND
ASSETS:
Investments at fair value (1)	$		1,031,759	$		2,881,634	$		3,947,080	$		345,905	$		24,951	$		1,418,213
Receivable Dividends and Other			-			0			-			0			0			-
Receivable Units of the Account Sold			0			0			0			0			0			0
Total assets			1,031,759			2,881,634			3,947,080			345,905			24,951			1,418,213
LIABILITIES:
Payable for investments purchased			0			0			0			0			0			0
Payable for policy-related transactions			0			0			0			0			0			0
Other payables			0			0			0			0			0			0
Total liabilities			0			0			0			0			0			0
NET ASSETS	$		1,031,759	$		2,881,634	$		3,947,080	$		345,905	$		24,950	$		1,418,213
NET ASSETS REPRESENTED BY:
Accumulation units	$		1,031,759	$		2,881,634	$		3,947,080	$		345,905	$		24,950	$		1,418,213
Contracts in payout phase
ACCUMULATION UNITS OUTSTANDING			22,846			41,686			158,661			20,176			796			35,603
UNIT VALUE (ACCUMULATION)	$		45.16	$		69.13	$		24.88	$		17.14	$		31.34	$		39.83
(1)   Cost of investments:	$		851,238	$		2,153,575	$		3,750,032	$		277,712	$		26,489	$		1,531,199
Shares of investments:			35,517			77,422			305,738			12,615			820			96,543

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF ASSETS AND LIABILITIES

DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		INVESCO V.I.   HEALTH CARE   FUND			INVESCO V.I.   INTERNATIONAL   GROWTH FUND			INVESCO V.I. MID   CAP CORE EQUITY   FUND			INVESCO V.I.   TECHNOLOGY   FUND			JANUS   HENDERSON VIT   BALANCED PORTFOLIO			JANUS   HENDERSON VIT   ENTERPRISE PORTFOLIO
ASSETS:
Investments at fair value (1)	$		70,716	$		3,912,685	$		395,227	$		128,922	$		3,426,074	$		775,992
Receivable Dividends and Other			0			0			-			0			0			-
Receivable Units of the Account Sold			0			1			0			0			0			99
Total assets			70,716			3,912,686			395,227			128,922			3,426,074			776,091
LIABILITIES:
Payable for investments purchased			1			0			0			0			0			0
Payable for policy-related transactions			0			0			0			0			0			0
Other payables			1			0			0			0			0			99
Total liabilities			1			0			0			0			0			99
NET ASSETS	$		70,714	$		3,912,686	$		395,227	$		128,922	$		3,426,074	$		775,992
NET ASSETS REPRESENTED BY:
Accumulation units	$		70,714	$		3,912,686	$		395,227	$		128,922	$		3,426,074	$		775,992
Contracts in payout phase
ACCUMULATION UNITS OUTSTANDING			1,517			175,150			12,817			2,638			79,056			41,255
UNIT VALUE (ACCUMULATION)	$		46.61	$		22.34	$		30.84	$		48.87	$		43.34	$		18.81
(1)   Cost of investments:	$		57,098	$		3,327,123	$		435,300	$		89,774	$		2,981,169	$		663,615
Shares of investments:			2,099			92,020			37,391			3,527			78,616			8,237

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF ASSETS AND LIABILITIES

DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		JANUS   HENDERSON VIT   FLEXIBLE BOND PORTFOLIO			JANUS   HENDERSON VIT   FORTY PORTFOLIO			JANUS   HENDERSON VIT   GLOBAL RESEARCH PORTFOLIO			JANUS HENDERSON VIT GLOBAL TECHNOLOGY   AND INNOVATION   PORTFOLIO			JANUS   HENDERSON VIT   OVERSEAS PORTFOLIO			LORD ABBETT   SERIES DEVELOPING GROWTH PORTFOLIO
ASSETS:
Investments at fair value (1)	$		2,760,057	$		2,763,301	$		318,961	$		2,347,486	$		70,414	$		221,769
Receivable Dividends and Other			0			-			-			-			-			-
Receivable Units of the Account Sold			0			0			0			836			0			0
Total assets			2,760,058			2,763,301			318,962			2,348,322			70,414			221,769
LIABILITIES:
Payable for investments purchased			0			0			0			0			0			0
Payable for policy-related transactions			0			0			0			0			0			0
Other payables			0			0			0			836			0			0
Total liabilities			0			0			0			836			0			0
NET ASSETS	$		2,760,058	$		2,763,301	$		318,962	$		2,347,486	$		70,414	$		221,769
NET ASSETS REPRESENTED BY:
Accumulation units	$		2,760,058	$		2,763,301	$		318,962	$		2,347,486	$		70,414	$		221,769
Contracts in payout phase
ACCUMULATION UNITS OUTSTANDING			86,566			31,742			15,925			25,413			1,928			8,377
UNIT VALUE (ACCUMULATION)	$		31.88	$		87.06	$		20.03	$		92.37	$		36.52	$		26.47
(1)   Cost of investments:	$		2,609,142	$		2,012,886	$		242,862	$		1,650,124	$		56,995	$		146,864
Shares of investments:			216,475			48,479			5,014			115,412			1,843			4,700

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF ASSETS AND LIABILITIES

DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		LORD ABBETT   SERIES TOTAL   RETURN PORTFOLIO			MFS VIT   GROWTH SERIES			MFS VIT II   INTERNATIONAL   GROWTH PORTFOLIO			MFS VIT III BLENDED RESEARCH   SMALL CAP   EQUITY PORTFOLIO			MFS VIT III   GLOBAL REAL   ESTATE PORTFOLIO			MFS VIT III MID   CAP VALUE PORTFOLIO
ASSETS:
Investments at fair value (1)	$		21,014	$		17,812	$		470,317	$		15,983	$		35,294	$		5,633
Receivable Dividends and Other			-			-			-			-			-			-
Receivable Units of the Account Sold			5			0			0			0			0			0
Total assets			21,019			17,812			470,317			15,983			35,294			5,633
LIABILITIES:
Payable for investments purchased			0			0			0			0			0			0
Payable for policy-related transactions			0			0			0			0			0			0
Other payables			5			0			0			0			0			0
Total liabilities			5			0			0			0			0			0
NET ASSETS	$		21,014	$		17,812	$		470,317	$		15,983	$		35,294	$		5,633
NET ASSETS REPRESENTED BY:
Accumulation units	$		21,014	$		17,812	$		470,317	$		15,983	$		35,294	$		5,633
Contracts in payout phase
ACCUMULATION UNITS OUTSTANDING			1,785			1,009			37,685			1,175			2,610			425
UNIT VALUE (ACCUMULATION)	$		11.77	$		17.65	$		12.48	$		13.60	$		13.52	$		13.25
(1)   Cost of investments:	$		20,962	$		15,126	$		442,612	$		15,438	$		32,574	$		5,125
Shares of investments:			1,211			241			29,230			1,465			2,356			656

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF ASSETS AND LIABILITIES

DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		MFS VIT MID   CAP GROWTH   SERIES			MFS VIT   RESEARCH   SERIES			MFS VIT TOTAL   RETURN BOND SERIES			MFS VIT VALUE   SERIES			NEUBERGER   BERMAN AMT   MID CAP GROWTH PORTFOLIO			NEUBERGER   BERMAN AMT   MID CAP INTRINSIC VALUE PORTFOLIO
ASSETS:
Investments at fair value (1)	$		482,217	$		63,561	$		4,348,168	$		520,469	$		16,296	$		207,746
Receivable Dividends and Other			-			-			-			-			-			0
Receivable Units of the Account Sold			4			0			11			0			0			0
Total assets			482,221			63,561			4,348,179			520,469			16,296			207,746
LIABILITIES:
Payable for investments purchased			0			0			0			0			0			0
Payable for policy-related transactions			0			0			0			0			0			0
Other payables			4			0			11			0			0			0
Total liabilities			4			0			11			0			0			0
NET ASSETS	$		482,217	$		63,561	$		4,348,168	$		520,469	$		16,296	$		207,746
NET ASSETS REPRESENTED BY:
Accumulation units	$		482,217	$		63,561	$		4,348,168	$		520,469	$		16,296	$		207,746
Contracts in payout phase
ACCUMULATION UNITS OUTSTANDING			21,812			3,274			359,044			32,983			389			8,265
UNIT VALUE (ACCUMULATION)	$		22.11	$		19.41	$		12.11	$		15.78	$		41.89	$		25.14
(1)   Cost of investments:	$		442,941	$		57,001	$		4,034,331	$		507,466	$		10,673	$		205,083
Shares of investments:			38,150			1,934			307,944			25,513			409			13,490

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF ASSETS AND LIABILITIES

DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		NEUBERGER BERMAN AMT   SUSTAINABLE   EQUITY PORTFOLIO			PIMCO VIT GLOBAL BOND   OPPORTUNITIES   PORTFOLIO (UNHEDGED)			PIMCO VIT HIGH   YIELD PORTFOLIO			PIMCO VIT LOW   DURATION PORTFOLIO			PIMCO VIT REAL   RETURN PORTFOLIO			PIMCO VIT   TOTAL RETURN   PORTFOLIO
ASSETS:
Investments at fair value (1)	$		149,704	$		317,558	$		313,151	$		8,295,890	$		499,006	$		4,802,577
Receivable Dividends and Other			0			-			-			-			-			0
Receivable Units of the Account Sold			0			0			0			0			10			0
Total assets			149,704			317,558			313,151			8,295,890			499,015			4,802,577
LIABILITIES:
Payable for investments purchased			0			0			0			0			0			0
Payable for policy-related transactions			0			0			0			0			0			0
Other payables			0			1			0			0			10			0
Total liabilities			0			1			0			0			10			0
NET ASSETS	$		149,704	$		317,558	$		313,151	$		8,295,890	$		499,006	$		4,802,577
NET ASSETS REPRESENTED BY:
Accumulation units	$		149,704	$		317,558	$		313,151	$		8,295,890	$		499,006	$		4,802,577
Contracts in payout phase
ACCUMULATION UNITS OUTSTANDING			3,168			27,025			11,015			510,292			23,871			208,750
UNIT VALUE (ACCUMULATION)	$		47.26	$		11.75	$		28.43	$		16.26	$		20.90	$		23.01
(1)     Cost of investments:	$		122,324	$		317,416	$		301,267	$		8,237,631	$		456,454	$		4,568,263
Shares of investments:			4,878			26,051			39,095			799,219			35,848			414,372

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF ASSETS AND LIABILITIES

DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		PIONEER REAL   ESTATE SHARES   VCT PORTFOLIO			PUTNAM VT   EQUITY INCOME   FUND			PUTNAM VT   GLOBAL ASSET   ALLOCATION FUND			PUTNAM VT   GLOBAL EQUITY   FUND			PUTNAM VT GROWTH   OPPORTUNITIES   FUND			PUTNAM VT   HIGH YIELD FUND
ASSETS:
Investments at fair value (1)	$		75,150	$		878,504	$		13,866	$		28,448	$		1,665,959	$		658,908
Receivable Dividends and Other			-			-			-			-			-			-
Receivable Units of the Account Sold			0			61			0			0			93			0
Total assets			75,150			878,565			13,866			28,448			1,666,052			658,908
LIABILITIES:
Payable for investments purchased			0			0			0			0			0			0
Payable for policy-related transactions			0			0			0			0			0			0
Other payables			0			61			0			0			93			0
Total liabilities			0			61			0			0			93			0
NET ASSETS	$		75,150	$		878,504	$		13,866	$		28,448	$		1,665,959	$		658,908
NET ASSETS REPRESENTED BY:
Accumulation units	$		75,150	$		878,504	$		13,866	$		28,448	$		1,665,959	$		658,908
Contracts in payout phase
ACCUMULATION UNITS OUTSTANDING			6,361			19,271			944			1,935			62,178			24,212
UNIT VALUE (ACCUMULATION)	$		11.81	$		45.59	$		14.69	$		14.70	$		26.79	$		27.21
(1)   Cost of investments:	$		106,241	$		793,191	$		12,232	$		23,710	$		1,599,071	$		652,153
Shares of investments:			9,849			34,064			761			1,321			111,734			104,589

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF ASSETS AND LIABILITIES

DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		PUTNAM VT   INCOME FUND			PUTNAM VT   INTERNATIONAL   VALUE FUND			PUTNAM VT SMALL CAP   VALUE FUND			PUTNAM VT   SUSTAINABLE   FUTURE FUND			ROYCE CAPITAL   FUND -  SMALL- CAP PORTFOLIO			T. ROWE PRICE   BLUE CHIP GROWTH PORTFOLIO CLASS II
ASSETS:
Investments at fair value (1)	$		8,587	$		247,390	$		3,549	$		239,827	$		74,073	$		2,250,138
Receivable Dividends and Other			-			-			0			-			-			-
Receivable Units of the Account Sold			152			12			0			0			0			331
Total assets			8,739			247,402			3,549			239,827			74,073			2,250,468
LIABILITIES:
Payable for investments purchased			1			0			0			0			0			0
Payable for policy-related transactions			0			0			0			0			0			0
Other payables			153			12			0			0			0			331
Total liabilities			154			12			0			0			0			331
NET ASSETS	$		8,585	$		247,390	$		3,549	$		239,827	$		74,073	$		2,250,138
NET ASSETS REPRESENTED BY:
Accumulation units	$		8,585	$		247,390	$		3,549	$		239,827	$		74,073	$		2,250,138
Contracts in payout phase
ACCUMULATION UNITS OUTSTANDING			682			18,732			263			3,541			3,719			89,785
UNIT VALUE (ACCUMULATION)	$		12.59	$		13.21	$		13.49	$		67.73	$		19.92	$		25.06
(1)   Cost of investments:	$		8,491	$		244,525	$		3,069	$		172,284	$		85,994	$		1,910,448
Shares of investments:			749			23,902			348			10,162			10,217			46,414

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF ASSETS AND LIABILITIES

DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		VAN ECK VIP EMERGING   MARKETS FUND			VAN ECK VIP   GLOBAL HARD   ASSETS FUND			VICTORY RS   SMALL CAP GROWTH EQUITY VIP
ASSETS:
Investments at fair value (1)	$		74,105	$		1,175,142	$		14,348
Receivable Dividends and Other			0			-			-
Receivable Units of the Account Sold			0			0			0
Total assets			74,105			1,175,142			14,348
LIABILITIES:
Payable for investments purchased			1			0			0
Payable for policy-related transactions			0			0			0
Other payables			1			0			0
Total liabilities			2			0			0
NET ASSETS	$		74,103	$		1,175,142	$		14,348
NET ASSETS REPRESENTED BY:
Accumulation units	$		74,103	$		1,175,142	$		14,348
Contracts in payout phase
ACCUMULATION UNITS OUTSTANDING			1,190			21,962			860
UNIT VALUE (ACCUMULATION)	$		62.27	$		53.51	$		16.68
(1)   Cost of investments:	$		56,704	$		944,526	$		13,587
Shares of investments:			4,387			52,275			721

The accompanying notes are an integral part of these financial statements. (Concluded)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF OPERATIONS

YEAR ENDED DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		ALGER SMALL   CAP GROWTH PORTFOLIO			AMERICAN CENTURY   INVESTMENTS   VP CAPITAL APPRECIATION FUND				AMERICAN CENTURY INVESTMENTS VP INFLATION   PROTECTION FUND			AMERICAN CENTURY INVESTMENTS VP   INTERNATIONAL   FUND			AMERICAN CENTURY   INVESTMENTS VP   MID CAP VALUE FUND			AMERICAN CENTURY INVESTMENTS   VP VALUE FUND
INVESTMENT INCOME:
Dividends	$		6,373	$		0		$		44,979	$		348	$		6,451	$		18,290
EXPENSES:
Mortality and expense risk
NET INVESTMENT INCOME (LOSS)			6,373			0				44,979			348			6,451			18,290
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on sale of fund shares			81,933			(131	)			16,468			1,956			833			(78,484	)
Realized gain distributions			42,755			39,785				-			1,049			-			26,929
Net realized gain (loss) on investments			124,689			39,653				16,468			3,005			833			(51,555	)
Change in net unrealized appreciation (depreciation) on investments			183,886			105,311				212,208			15,138			122,533			(52,636	)
Net realized and unrealized gain (loss) on investments			308,574			144,964				228,676			18,143			123,365			(104,191	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$		314,947	$		144,964		$		273,655	$		18,490	$		129,816	$		(85,901	)

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF OPERATIONS

YEAR ENDED DECEMBER 31, 2020

	INVESTMENT DIVISIONS
			AMERICAN FUNDS IS GLOBAL SMALL   CAPITALIZATION   FUND				AMERICAN FUNDS IS   GROWTH FUND			AMERICAN FUNDS IS GROWTH AND   INCOME FUND			AMERICAN FUNDS IS   INTERNATIONAL   FUND				AMERICAN   FUNDS IS NEW   WORLD FUND				BLACKROCK GLOBAL   ALLOCATION VI   FUND
										(1)
INVESTMENT INCOME:
Dividends	$			278		$		10,864	$		3	$		3,063		$		1,132		$		111
EXPENSES:
Mortality and expense risk														0				(0	)
NET INVESTMENT INCOME (LOSS)				278				10,864			3			3,063				1,132				111
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on sale of fund shares				(788	)			220,523			0			(14,865	)			37,617				58
Realized gain distributions				10,374				79,253			-			-				16,707				457
Net realized gain (loss) on investments				9,586				299,776			0			(14,865	)			54,324				515
Change in net unrealized appreciation (depreciation) on investments				35,617				1,199,160			30			77,418				327,225				1,160
Net realized and unrealized gain (loss) on investments				45,203				1,498,936			30			62,553				381,549				1,675
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$			45,480		$		1,509,800	$		33	$		65,616		$		382,682		$		1,786
		(1)  For the period of September, 21 2020 to December 31, 2020.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF OPERATIONS

YEAR ENDED DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		BLACKROCK   HIGH YIELD VI   FUND				BNY MELLON   STOCK INDEX   FUND				BNY MELLON VIF   INTERNATIONAL   EQUITY PORTFOLIO				CLEARBRIDGE VARIABLE MID   CAP PORTFOLIO				CLEARBRIDGE   VARIABLE SMALL CAP GROWTH PORTFOLIO				COLUMBIA VARIABLE PORTFOLIO - SMALL CAP   VALUE FUND
		(1)								(2)
INVESTMENT INCOME:
Dividends	$		-		$		455,139		$		165		$		367		$		(0	)	$		1,143
EXPENSES:
Mortality and expense risk
NET INVESTMENT INCOME (LOSS)							455,139				165				367				(0	)			1,143
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on sale of fund shares			(0	)			4,297,754				(5,022	)			(1,229	)			(20,842	)			(18,139	)
Realized gain distributions			-				2,040,039				-				1,935				30,747				7,874
Net realized gain (loss) on investments			(0	)			6,337,793				(5,022	)			706				9,905				(10,265	)
Change in net unrealized appreciation (depreciation) on investments			39				(1,745,622	)			(83	)			16,532				79,274				60,487
Net realized and unrealized gain (loss) on investments			39				4,592,171				(5,105	)			17,238				89,178				50,222
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$		39		$		5,047,310		$		(4,940	)	$		17,605		$		89,178		$		51,365
	(1)  For the period of September 21, 2020 to December 31, 2020.
	(2)  For the period of January 1, 2020 to May 4, 2020.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF OPERATIONS

YEAR ENDED DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		DAVIS   FINANCIAL   PORTFOLIO				DAVIS VALUE   PORTFOLIO				DELAWARE VIP   INTERNATIONAL   SERIES			DELAWARE VIP   INTERNATIONAL   VALUE EQUITY SERIES				DELAWARE VIP   SMALL CAP VALUE SERIES				DWS CROCI®   U.S. VIP
										(1)			(2)
INVESTMENT INCOME:
Dividends	$		496		$		882		$		-	$		4,217		$		1,493		$		3,042
EXPENSES:
Mortality and expense risk			0																			0
NET INVESTMENT INCOME (LOSS)			496				882							4,217				1,493				3,042
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on sale of fund shares			(8,468	)			(458	)			2,392			4,973				(31,421	)			(24,161	)
Realized gain distributions			2,157				3,528				-			5,945				8,515				6,881
Net realized gain (loss) on investments			(6,310	)			3,071				2,392			10,918				(22,906	)			(17,279	)
Change in net unrealized appreciation (depreciation) on investments			676				10,477				745			(1,393	)			33,629				(34,924	)
Net realized and unrealized gain (loss) on investments			(5,634	)			13,548				3,137			9,525				10,723				(52,203	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$		(5,138	)	$		14,430		$		3,137	$		13,742		$		12,217		$		(49,161	)
	(1)  For the period of December 11, 2020 to December 31, 2020.
	(2)  For the period January 1, 2020 to December 11, 2020.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF OPERATIONS

YEAR ENDED DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		DWS HIGH   INCOME VIP				DWS SMALL CAP   INDEX VIP				DWS SMALL MID   CAP VALUE VIP				EATON VANCE   VT FLOATING- RATE INCOME FUND				FEDERATED   HERMES KAUFMANN FUND II				FIDELITY VIP   CONTRAFUND   PORTFOLIO
														(1)
INVESTMENT INCOME:
Dividends	$		6,297		$		73,566		$		24,031		$		4		$		(0	)	$		1,108
EXPENSES:
Mortality and expense risk			0
NET INVESTMENT INCOME (LOSS)			6,297				73,566				24,031				4				(0	)			1,108
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on sale of fund shares			(529	)			(439,587	)			(200,294	)			(0	)			10,441				20,255
Realized gain distributions			-				680,790				139,676				-				20,889				7,674
Net realized gain (loss) on investments			(529	)			241,204				(60,618	)			(0	)			31,329				27,928
Change in net unrealized appreciation (depreciation) on investments			5,725				729,224				98,579				-				35,357				390,638
Net realized and unrealized gain (loss) on investments			5,195				970,427				37,961				(0	)			66,687				418,566
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$		11,492		$		1,043,993		$		61,993		$		4		$		66,687		$		419,674
	(1)  For the period of September 21, 2020 to December 31, 2020.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF OPERATIONS

YEAR ENDED DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		FIDELITY VIP   EMERGING MARKETS PORTFOLIO				FIDELITY VIP   GROWTH PORTFOLIO				FIDELITY VIP INVESTMENT   GRADE BOND   PORTFOLIO			FIDELITY VIP   MID CAP PORTFOLIO				GOLDMAN   SACHS VIT MID   CAP VALUE FUND				GOLDMAN SACHS VIT MULTI- STRATEGY   ALTERNATIVES   PORTFOLIO
		(1)
INVESTMENT INCOME:
Dividends	$		-		$		492		$		7,491	$		2,008		$		419		$		163
EXPENSES:
Mortality and expense risk							(0	)
NET INVESTMENT INCOME (LOSS)							492				7,491			2,008				419				163
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on sale of fund shares			(0	)			532,153				1,269			(17,108	)			(2,216	)			0
Realized gain distributions			-				99,438				138			-				1,063				-
Net realized gain (loss) on investments			(0	)			631,591				1,408			(17,108	)			(1,153	)			0
Change in net unrealized appreciation (depreciation) on investments			70				(198,477	)			21,665			85,041				6,740				418
Net realized and unrealized gain (loss) on investments			70				433,113				23,073			67,933				5,587				418
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$		70		$		433,605		$		30,564	$		69,941		$		6,006		$		581
	(1)  For the period of September 21, 2020 to December 31, 2020.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF OPERATIONS

YEAR ENDED DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		GREAT-WEST AGGRESSIVE   PROFILE FUND				GREAT-WEST   ARIEL MID CAP   VALUE FUND				GREAT-WEST   BOND INDEX FUND			GREAT-WEST   CONSERVATIVE   PROFILE FUND				GREAT-WEST CORE   BOND FUND			GREAT-WEST EMERGING MARKETS   EQUITY FUND
INVESTMENT INCOME:
Dividends	$		7,841		$		6,650		$		45,383	$		20,859		$		69,618	$		1,729
EXPENSES:
Mortality and expense risk
NET INVESTMENT INCOME (LOSS)			7,841				6,650				45,383			20,859				69,618			1,729
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on sale of fund shares			(39,574	)			(7,473	)			36,122			(2,634	)			6,379			4,246
Realized gain distributions			16,024				6,835				51,027			6,055				13,787			-
Net realized gain (loss) on investments			(23,550	)			(638	)			87,149			3,421				20,166			4,246
Change in net unrealized appreciation (depreciation) on investments			82,182				27,902				43,347			57,529				115,548			8,893
Net realized and unrealized gain (loss) on investments			58,632				27,264				130,496			60,950				135,714			13,139
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$		66,473		$		33,914		$		175,879	$		81,809		$		205,332	$		14,868

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF OPERATIONS

YEAR ENDED DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		GREAT-WEST   GLOBAL BOND   FUND				GREAT-WEST GOVERNMENT   MONEY MARKET   FUND				GREAT-WEST   INFLATION- PROTECTED SECURITIES FUND				GREAT-WEST   INTERNATIONAL   INDEX FUND			GREAT-WEST   INTERNATIONAL   VALUE FUND				GREAT-WEST LARGE CAP   GROWTH FUND
										(1)
INVESTMENT INCOME:
Dividends	$		19,098		$		39,781		$		-		$		46,604	$		46,481		$		3,681
EXPENSES:
Mortality and expense risk							0											0
NET INVESTMENT INCOME (LOSS)			19,098				39,781								46,604			46,481				3,681
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on sale of fund shares			(84,636	)			-				(0	)			2,334			(124,916	)			11,452
Realized gain distributions			-				-				-				13,024			58,459				39,576
Net realized gain (loss) on investments			(84,636	)							(0	)			15,358			(66,457	)			51,028
Change in net unrealized appreciation (depreciation) on investments			107,874				(0	)			1,262				113,043			477,433				(8,068	)
Net realized and unrealized gain (loss) on investments			23,239				(0	)			1,262				128,400			410,976				42,960
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$		42,337		$		39,781		$		1,262		$		175,005	$		457,457		$		46,640
	(1)  For the period of September 21, 2020 to December 31, 2020.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF OPERATIONS

YEAR ENDED DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		GREAT-WEST LARGE CAP   VALUE FUND   INVESTOR II CLASS				GREAT-WEST   LIFETIME 2015   FUND				GREAT-WEST   LIFETIME 2020   FUND				GREAT-WEST   LIFETIME 2025   FUND				GREAT-WEST   LIFETIME 2030   FUND			GREAT-WEST   LIFETIME 2035   FUND
INVESTMENT INCOME:
Dividends	$		24,248		$		25,765		$		11,670		$		78,029		$		42,618	$		26,962
EXPENSES:
Mortality and expense risk
NET INVESTMENT INCOME (LOSS)			24,248				25,765				11,670				78,029				42,618			26,962
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on sale of fund shares			(99,177	)			(3,620	)			(1,431	)			(107,401	)			109			(40,787	)
Realized gain distributions			81,864				23,963				18,397				114,284				83,477			58,146
Net realized gain (loss) on investments			(17,312	)			20,343				16,966				6,883				83,586			17,359
Change in net unrealized appreciation (depreciation) on investments			48,064				114,783				37,059				368,581				160,749			152,055
Net realized and unrealized gain (loss) on investments			30,752				135,126				54,025				375,464				244,335			169,414
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$		55,000		$		160,890		$		65,695		$		453,493		$		286,953	$		196,375

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF OPERATIONS

YEAR ENDED DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		GREAT-WEST   LIFETIME 2040   FUND				GREAT-WEST   LIFETIME 2045   FUND				GREAT-WEST   LIFETIME 2050   FUND				GREAT-WEST   LIFETIME 2055   FUND			GREAT-WEST   MID CAP VALUE   FUND
INVESTMENT INCOME:
Dividends	$		22,547		$		16,849		$		7,116		$		5,520	$		681
EXPENSES:
Mortality and expense risk
NET INVESTMENT INCOME (LOSS)			22,547				16,849				7,116				5,520			681
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on sale of fund shares			(52,521	)			(23,882	)			(7,395	)			12,441			(4,700	)
Realized gain distributions			46,330				40,287				17,937				19,656			42
Net realized gain (loss) on investments			(6,191	)			16,405				10,542				32,097			(4,658	)
Change in net unrealized appreciation (depreciation) on investments			104,751				97,041				32,318				24,903			2,734
Net realized and unrealized gain (loss) on investments			98,560				113,445				42,861				57,000			(1,924	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$		121,106		$		130,294		$		49,976		$		62,520	$		(1,243	)

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF OPERATIONS

YEAR ENDED DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		GREAT-WEST MODERATE PROFILE FUND				GREAT-WEST MODERATELY AGGRESSIVE PROFILE FUND				GREAT-WEST MODERATELY CONSERVATIVE PROFILE FUND				GREAT-WEST MULTI-SECTOR BOND FUND				GREAT-WEST REAL ESTATE INDEX FUND				GREAT-WEST S&P MID CAP 400® INDEX FUND
INVESTMENT INCOME:
Dividends	$		4,448		$		1,487		$		12,911		$		10,992		$		3,246		$		52,112
EXPENSES:
Mortality and expense risk
NET INVESTMENT INCOME (LOSS)			4,448				1,487				12,911				10,992				3,246				52,112
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on sale of fund shares			(5,027	)			(10,144	)			(14,997	)			7,952				(32,084	)			(205,688	)
Realized gain distributions			5,414				4,971				17,671				2,090				-				273,013
Net realized gain (loss) on investments			387				(5,173	)			2,674				10,042				(32,084	)			67,325
Change in net unrealized appreciation (depreciation) on investments			28,315				8,941				49,343				(2,849	)			(14,934	)			358,590
Net realized and unrealized gain (loss) on investments			28,702				3,768				52,017				7,193				(47,018	)			425,915
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$		33,150		$		5,255		$		64,929		$		18,185		$		(43,772	)	$		478,027

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF OPERATIONS

YEAR ENDED DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		GREAT-WEST   S&P SMALL CAP   600® INDEX FUND			GREAT-WEST SHORT   DURATION BOND   FUND			GREAT-WEST SMALL CAP   VALUE FUND				GREAT-WEST T.   ROWE PRICE MID   CAP GROWTH FUND			GREAT-WEST U.S. GOVERNMENT   SECURITIES FUND			INVESCO OPPENHEIMER V.I. MAIN   STREET SMALL   CAP FUND
INVESTMENT INCOME:
Dividends	$		2,899	$		136,776	$		(0	)	$		26	$		28,600	$		2,995
EXPENSES:
Mortality and expense risk
NET INVESTMENT INCOME (LOSS)			2,899			136,776			(0	)			26			28,600			2,995
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on sale of fund shares			15,946			34,935			(4,987	)			83,374			3,820			(165	)
Realized gain distributions			20,260			20,849			2,650				76,298			3,177			6,785
Net realized gain (loss) on investments			36,205			55,785			(2,337	)			159,671			6,996			6,620
Change in net unrealized appreciation (depreciation) on investments			37,589			136,896			87,234				253,316			154,398			69,224
Net realized and unrealized gain (loss) on investments			73,795			192,680			84,897				412,987			161,395			75,844
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$		76,694	$		329,456	$		84,897		$		413,013	$		189,995	$		78,840

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF OPERATIONS

YEAR ENDED DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		INVESCO V.I.   CORE EQUITY   FUND				INVESCO V.I.   GLOBAL REAL   ESTATE FUND				INVESCO V.I.   HEALTH CARE   FUND				INVESCO V.I.   INTERNATIONAL   GROWTH FUND			INVESCO V.I.   MID CAP CORE   EQUITY FUND				INVESCO V.I.   TECHNOLOGY   FUND
INVESTMENT INCOME:
Dividends	$		309		$		62,070		$		202		$		81,891	$		2,585		$		0
EXPENSES:
Mortality and expense risk							0				(0	)
NET INVESTMENT INCOME (LOSS)			309				62,070				202				81,891			2,585				0
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on sale of fund shares			(431	)			(1,264	)			1,058				4,925			(11,273	)			4,610
Realized gain distributions			5,330				34,669				1,536				78,896			73,180				9,380
Net realized gain (loss) on investments			4,899				33,405				2,593				83,820			61,906				13,989
Change in net unrealized appreciation (depreciation) on investments			(1,117	)			(211,828	)			6,344				282,282			(20,425	)			24,515
Net realized and unrealized gain (loss) on investments			3,782				(178,423	)			8,937				366,102			41,481				38,504
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$		4,091		$		(116,353	)	$		9,139		$		447,993	$		44,066		$		38,504

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF OPERATIONS

YEAR ENDED DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		JANUS   HENDERSON VIT   BALANCED PORTFOLIO				JANUS   HENDERSON VIT   ENTERPRISE PORTFOLIO				JANUS   HENDERSON VIT   FLEXIBLE BOND PORTFOLIO			JANUS HENDERSON VIT   FORTY PORTFOLIO			JANUS   HENDERSON VIT   GLOBAL RESEARCH PORTFOLIO				JANUS HENDERSON VIT GLOBAL TECHNOLOGY AND INNOVATION PORTFOLIO
INVESTMENT INCOME:
Dividends	$		63,154		$		645		$		69,087	$		21,507	$		4,624		$		64
EXPENSES:
Mortality and expense risk			(0	)																	(0	)
NET INVESTMENT INCOME (LOSS)			63,154				645				69,087			21,507			4,624				64
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on sale of fund shares			48,227				(13,822	)			80,698			264,432			135,018				200,634
Realized gain distributions			22,654				40,275				-			202,519			40,769				184,402
Net realized gain (loss) on investments			70,881				26,453				80,698			466,951			175,787				385,036
Change in net unrealized appreciation (depreciation) on investments			190,957				71,828				111,215			520,024			(45,828	)			451,940
Net realized and unrealized gain (loss) on investments			261,838				98,281				191,914			986,975			129,958				836,976
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$		324,992		$		98,926		$		261,000	$		1,008,482	$		134,582		$		837,040

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF OPERATIONS

YEAR ENDED DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		JANUS   HENDERSON VIT   OVERSEAS PORTFOLIO				LORD ABBETT   SERIES DEVELOPING GROWTH PORTFOLIO				LORD ABBETT   SERIES TOTAL   RETURN PORTFOLIO			MFS VIT   GROWTH SERIES			MFS VIT II   INTERNATIONAL   GROWTH PORTFOLIO			MFS VIT III BLENDED RESEARCH   SMALL CAP   EQUITY PORTFOLIO
																(1)
INVESTMENT INCOME:
Dividends	$		788		$		(0	)	$		484	$		-	$		-	$		113
EXPENSES:
Mortality and expense risk
NET INVESTMENT INCOME (LOSS)			788				(0	)			484									113
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on sale of fund shares			(65	)			2,401				153			204			5,862			(40	)
Realized gain distributions			-				19,655				385			1,073			-			1,029
Net realized gain (loss) on investments			(65	)			22,057				538			1,277			5,862			989
Change in net unrealized appreciation (depreciation) on investments			9,052				72,001				25			2,456			27,706			883
Net realized and unrealized gain (loss) on investments			8,986				94,058				562			3,733			33,567			1,871
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$		9,775		$		94,058		$		1,046	$		3,733	$		33,567	$		1,985
	(1)  For the period of September 21, 2020 to December 31, 2020.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF OPERATIONS

YEAR ENDED DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		MFS VIT III   GLOBAL REAL   ESTATE PORTFOLIO			MFS VIT III MID   CAP VALUE PORTFOLIO				MFS VIT MID CAP   GROWTH SERIES			MFS VIT   RESEARCH   SERIES			MFS VIT TOTAL   RETURN BOND SERIES				MFS VIT VALUE   SERIES
		(1)							(2)
INVESTMENT INCOME:
Dividends	$		-	$		66		$		-	$		433	$		145,934		$		7,379
EXPENSES:
Mortality and expense risk
NET INVESTMENT INCOME (LOSS)						66							433			145,934				7,379
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on sale of fund shares			1,010			(32	)			818			114			(1,764	)			(2,115	)
Realized gain distributions			-			224				115			2,389			-				20,680
Net realized gain (loss) on investments			1,010			192				933			2,503			(1,764	)			18,565
Change in net unrealized appreciation (depreciation) on investments			2,720			477				39,275			6,452			188,308				(11,585	)
Net realized and unrealized gain (loss) on investments			3,730			669				40,208			8,955			186,545				6,980
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$		3,730	$		735		$		40,208	$		9,389	$		332,479		$		14,358
	(1)  For the period of September 21, 2020 to December 31, 2020.
	(2)  For the period of April 21, 2020 to December 31, 2020.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF OPERATIONS

YEAR ENDED DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		NEUBERGER   BERMAN AMT   MID CAP GROWTH PORTFOLIO				NEUBERGER   BERMAN AMT   MID CAP INTRINSIC VALUE PORTFOLIO				NEUBERGER BERMAN AMT   SUSTAINABLE   EQUITY PORTFOLIO				PIMCO VIT GLOBAL BOND   OPPORTUNITIES   PORTFOLIO (UNHEDGED)			PIMCO VIT HIGH   YIELD PORTFOLIO				PIMCO VIT LOW   DURATION PORTFOLIO
INVESTMENT INCOME:
Dividends	$		(0	)	$		742		$		797		$		137	$		12,366		$		98,340
EXPENSES:
Mortality and expense risk											0
NET INVESTMENT INCOME (LOSS)			(0	)			742				797				137			12,366				98,340
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on sale of fund shares			1,649				(865	)			(611	)			5			(34	)			(5,147	)
Realized gain distributions			765				-				5,476				-			-				-
Net realized gain (loss) on investments			2,414				(865	)			4,866				5			(34	)			(5,147	)
Change in net unrealized appreciation (depreciation) on investments			4,018				9,864				20,663				81			3,727				147,464
Net realized and unrealized gain (loss) on investments			6,432				8,999				25,529				86			3,693				142,317
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$		6,432		$		9,741		$		26,326		$		223	$		16,059		$		240,657

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF OPERATIONS

YEAR ENDED DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		PIMCO VIT REAL   RETURN PORTFOLIO			PIMCO VIT   TOTAL RETURN   PORTFOLIO				PIONEER REAL   ESTATE SHARES   VCT PORTFOLIO				PUTNAM VT   EQUITY INCOME   FUND			PUTNAM VT   GLOBAL ASSET   ALLOCATION FUND			PUTNAM VT   GLOBAL EQUITY   FUND
INVESTMENT INCOME:
Dividends	$		5,766	$		93,330		$		1,203		$		10,154	$		107	$		124
EXPENSES:
Mortality and expense risk						(0	)
NET INVESTMENT INCOME (LOSS)			5,766			93,330				1,203				10,154			107			124
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on sale of fund shares			4,733			(1,702	)			(6,358	)			939			45			1,015
Realized gain distributions			-			48,083				16,613				35,371			97			263
Net realized gain (loss) on investments			4,733			46,381				10,255				36,310			142			1,278
Change in net unrealized appreciation (depreciation) on investments			32,865			211,006				(19,233	)			25,440			1,322			1,608
Net realized and unrealized gain (loss) on investments			37,598			257,387				(8,978	)			61,750			1,464			2,886
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$		43,364	$		350,717		$		(7,775	)	$		71,904	$		1,571	$		3,010

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF OPERATIONS

YEAR ENDED DECEMBER 31, 2020

	INVESTMENT DIVISIONS
			PUTNAM VT GROWTH   OPPORTUNITIES   FUND				PUTNAM VT   HIGH YIELD FUND				PUTNAM VT   INCOME FUND				PUTNAM VT   INTERNATIONAL   VALUE FUND			PUTNAM VT SMALL CAP   VALUE FUND				PUTNAM VT SUSTAINABLE   FUTURE FUND
															(1)
INVESTMENT INCOME:
Dividends	$			170		$		35,355		$		39,969		$		-	$		37		$		546
EXPENSES:
Mortality and expense risk
NET INVESTMENT INCOME (LOSS)				170				35,355				39,969							37				546
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on sale of fund shares				(402	)			(2,408	)			14,338				159			(92	)			3,074
Realized gain distributions				3,753				-				7,418				-			-				9,185
Net realized gain (loss) on investments				3,352				(2,408	)			21,756				159			(92	)			12,259
Change in net unrealized appreciation (depreciation) on investments				66,379				(1,605	)			(34,984	)			2,865			320				68,145
Net realized and unrealized gain (loss) on investments				69,731				(4,013	)			(13,228	)			3,024			229				80,403
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$			69,901		$		31,342		$		26,741		$		3,024	$		265		$		80,950
		(1)   For the period of April 16, 2020 to December 31, 2020

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF OPERATIONS

YEAR ENDED DECEMBER 31, 2020

	INVESTMENT DIVISIONS
		ROYCE CAPITAL FUND - SMALL-   CAP PORTFOLIO				T. ROWE PRICE   BLUE CHIP GROWTH PORTFOLIO CLASS II				VAN ECK VIP EMERGING   MARKETS FUND			VAN ECK VIP   GLOBAL HARD   ASSETS FUND				VICTORY RS SMALL CAP   GROWTH EQUITY   VIP
INVESTMENT INCOME:
Dividends	$		543		$		-		$		1,269	$		9,573		$		-
EXPENSES:
Mortality and expense risk
NET INVESTMENT INCOME (LOSS)			543								1,269			9,573
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on sale of fund shares			(33,778	)			308,780				93			(59,850	)			107
Realized gain distributions			1,157				69,090				1,906			-				1,979
Net realized gain (loss) on investments			(32,621	)			377,870				1,999			(59,850	)			2,086
Change in net unrealized appreciation (depreciation) on investments			(5,446	)			(13,258	)			8,322			300,382				2,166
Net realized and unrealized gain (loss) on investments			(38,068	)			364,613				10,321			240,532				4,252
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$		(37,525	)	$		364,613		$		11,590	$		250,105		$		4,252

The accompanying notes are an integral part of these financial statements. (Concluded)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

	INVESTMENT DIVISIONS
		ALGER SMALL CAP GROWTH PORTFOLIO								AMERICAN CENTURY INVESTMENTS VP CAPITAL APPRECIATION FUND								AMERICAN CENTURY INVESTMENTS VP INFLATION PROTECTION FUND
		2020				2019				2020				2019				2020				2019
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		6,373		$		-		$		0		$		52,133		$		44,979		$		16,110
Net realized gain (loss) on investments			124,689				26,213				39,653								16,468				(1,846	)
Change in net unrealized appreciation (depreciation) on investments			183,886				103,475				105,311				27,762				212,208				42,470
Increase (decrease) in net assets resulting from operations			314,947				129,688				144,964				79,895				273,655				56,734
CONTRACT TRANSACTIONS:
Proceeds from units sold			-				-				12				89,627				12				-
Transfers for contract benefits and terminations			(5,063	)			(5,332	)			(5,202	)			(16,548	)			(30,507	)			(8,005	)
Net transfers			(108,621	)			(44,080	)			(781	)			20,162				2,526,711				61,317
Contract maintenance charges							(168	)							(240	)							(326	)
Other, net			-				-				-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			(113,683	)			(49,580	)			(5,971	)			93,001				2,496,216				52,986
Total increase (decrease) in net assets			201,264				80,108				138,993				172,896				2,769,871				109,720
NET ASSETS:
Beginning of period			535,591				455,483				346,571				173,675				753,733				644,013
End of period	$		736,855		$		535,591		$		485,564		$		346,571		$		3,523,604		$		753,733
CHANGES IN UNITS OUTSTANDING:
Units issued			457				116				54				7,397				269,880				8,969
Units redeemed			(899	)			(366	)			(373	)			(1,208	)			(46,653	)			(4,220	)
Net increase (decrease)			(442	)			(250	)			(319	)			6,189				223,227				4,749

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

	INVESTMENT DIVISIONS
		AMERICAN CENTURY INVESTMENTS VP INTERNATIONAL FUND								AMERICAN CENTURY INVESTMENTS VP MID CAP VALUE FUND								AMERICAN CENTURY INVESTMENTS VP VALUE FUND							AMERICAN CENTURY INVESTMENTS VP ULTRA FUND			AMERICAN CENTURY INVESTMENTS VP INCOME & GROWTH FUND
		2020				2019				2020				2019				2020				2019			2019			2019
														(1)											(2)			(3)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		348		$		504		$		6,451		$		392		$		18,290		$		23,068
Net realized gain (loss) on investments			3,005				3,264				833				54				(51,555	)			86,208			5,446			(1	)
Change in net unrealized appreciation (depreciation) on investments			15,138				10,313				122,533				3,178				(52,636	)			139,548						2
Increase (decrease) in net assets resulting from operations			18,490				14,081				129,816				3,624				(85,901	)			248,824			5,446			1
CONTRACT TRANSACTIONS:
Proceeds from units sold			-				-				13,982				21,502				523,211				102,379
Transfers for contract benefits and terminations			(915	)			(1,135	)			(1,181	)			(1,003	)			(19,197	)			(20,989	)					(22	)
Net transfers			(9,488	)			(5,226	)			1,460,875				13,205				(385,489	)			73,532			(5,446	)
Contract maintenance charges							(22	)							(30	)			(47	)			(473	)
Other, net			-				-				-				-				-				(45,712	)
Increase (decrease) in net assets resulting from contract transactions			(10,403	)			(6,383	)			1,473,676				33,674				118,479				108,737			(5,446	)
Total increase (decrease) in net assets			8,088				7,698				1,603,493				37,298				32,577				357,561			-			(21	)
NET ASSETS:
Beginning of period			59,233				51,535				37,298				-				1,201,858				844,297						21
End of period	$		67,321		$		59,233		$		1,640,791		$		37,298		$		1,234,435		$		1,201,858			-			-
CHANGES IN UNITS OUTSTANDING:
Units issued			801				58				132,386				3,563				15,404				5,616			20,333
Units redeemed			(1,167	)			(500	)			(2,325	)			(500	)			(14,996	)			(3,062	)		(20,333	)		(1	)
Net increase (decrease)			(366	)			(442	)			130,060				3,063				408				2,554			-			(1	)
	(1)   For the period March 13, 2019 to December 31, 2019.
	(2)   For the period November 26, 2019 to December 5, 2019. (3)   For the period January 1, 2019 to November 25, 2019.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

	INVESTMENT DIVISIONS
			AMERICAN FUNDS IS GLOBAL SMALL CAPITALIZATION FUND								AMERICAN FUNDS IS GROWTH FUND								AMERICAN FUNDS IS GROWTH AND INCOME FUND
			2020				2019				2020				2019				2020
																			(1)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$			278		$		281		$		10,864		$		25,252		$		3
Net realized gain (loss) on investments				9,586				7,926				299,776				347,342				0
Change in net unrealized appreciation (depreciation) on investments				35,617				34,419				1,199,160				440,374				30
Increase (decrease) in net assets resulting from operations				45,480				42,626				1,509,800				812,968				33
CONTRACT TRANSACTIONS:
Proceeds from units sold				9,816				19,237				114,798				275,635				12
Transfers for contract benefits and terminations				(2,865	)			(3,791	)			(42,041	)			(483,843	)			(5	)
Net transfers				(28,687	)			(6,638	)			(612,258	)			659,721				289
Contract maintenance charges								(92	)							(1,336	)
Other, net				-				-				11,395				(17,243	)			-
Increase (decrease) in net assets resulting from contract transactions				(21,736	)			8,716				(528,105	)			432,934				296
Total increase (decrease) in net assets				23,744				51,342				981,695				1,245,902				329
NET ASSETS:
Beginning of period				176,976				125,634				3,640,047				2,394,145
End of period	$			200,720		$		176,976		$		4,621,742		$		3,640,047		$		329
CHANGES IN UNITS OUTSTANDING:
Units issued				1,313				3,461				21,551				39,326				25
Units redeemed				(2,493	)			(2,838	)			(40,354	)			(23,398	)			(1	)
Net increase (decrease)				(1,180	)			623				(18,803	)			15,928				24
		(1)  For the period of September 21, 2020 to December 31, 2020.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

	INVESTMENT DIVISIONS
		AMERICAN FUNDS IS INTERNATIONAL FUND								AMERICAN FUNDS IS NEW WORLD FUND								BLACKROCK GLOBAL ALLOCATION VI FUND
		2020				2019				2020				2019				2020				2019
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		3,063		$		7,764		$		1,132		$		14,618		$		111		$		63
Net realized gain (loss) on investments			(14,865	)			85,333				54,324				56,158				515				(1,007	)
Change in net unrealized appreciation (depreciation) on investments			77,418				110,512				327,225				337,019				1,160				2,745
Increase (decrease) in net assets resulting from operations			65,616				203,609				382,682				407,795				1,786				1,801
CONTRACT TRANSACTIONS:
Proceeds from units sold			585,352				118,771				137,139				54,426				153,988				-
Transfers for contract benefits and terminations			(5,252	)			(139,137	)			(21,103	)			(45,601	)			(203	)			(202	)
Net transfers			(19,253	)			(1,146,198	)			15,875				(348,676	)			(2,643	)			(17,343	)
Contract maintenance charges							(421	)							(518	)			(11	)			(9	)
Other, net			3,811				(4,130	)			1,905				(1,944	)			-				-
Increase (decrease) in net assets resulting from contract transactions			564,658				(1,171,115	)			133,816				(342,313	)			151,132				(17,554	)
Total increase (decrease) in net assets			630,274				(967,506	)			516,498				65,482				152,918				(15,753	)
NET ASSETS:
Beginning of period			501,335				1,468,841				1,633,271				1,567,789				5,151				20,904
End of period	$		1,131,609		$		501,335		$		2,149,769		$		1,633,271		$		158,069		$		5,151
CHANGES IN UNITS OUTSTANDING:
Units issued			41,306				15,342				15,271				4,633				9,798				1,309
Units redeemed			(9,416	)			(99,917	)			(11,078	)			(20,079	)			(53	)			(2,825	)
Net increase (decrease)			31,890				(84,575	)			4,193				(15,446	)			9,745				(1,516	)

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

	INVESTMENT DIVISIONS
		BLACKROCK   HIGH YIELD VI FUND				BNY MELLON STOCK INDEX FUND								BNY MELLON   VIF INTERNATIONAL EQUITY PORTFOLIO
		2020				2020				2019				2020				2019
		(1)												(2)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$				$		455,139		$		484,400		$		165		$		268
Net realized gain (loss) on investments			(0	)			6,337,793				2,728,315				(5,022	)			(2,301	)
Change in net unrealized appreciation (depreciation) on investments			39				(1,745,622	)			4,306,226				(83	)			7,277
Increase (decrease) in net assets resulting from operations			39				5,047,310				7,518,941				(4,940	)			5,244
CONTRACT TRANSACTIONS:
Proceeds from units sold			30,807				2,527,221				500,836				465				4,610
Transfers for contract benefits and terminations			(1	)			(1,385,900	)			(1,646,026	)			(7,993	)			(489	)
Net transfers			(1,156	)			(11,512,107	)			(669,838	)			(17,412	)			(31,516	)
Contract maintenance charges							(120	)			(9,869	)			-				(10	)
Other, net			-				12,041				(121,779	)			-				-
Increase (decrease) in net assets resulting from contract transactions			29,650				(10,358,864	)			(1,946,676	)			(24,940	)			(27,405	)
Total increase (decrease) in net assets			29,689				(5,311,554	)			5,572,265				(29,880	)			(22,161	)
NET ASSETS:
Beginning of period							30,559,269				24,987,004				29,880				52,041
End of period	$		29,689		$		25,247,715		$		30,559,269		$		-		$		29,880
CHANGES IN UNITS OUTSTANDING:
Units issued			2,640				200,533				54,422				-				381
Units redeemed			(1	)			(496,918	)			(126,204	)			(1,237	)			(1,730	)
Net increase (decrease)			2,639				(296,385	)			(71,782	)			(1,237	)			(1,349	)
	(1) For the period of September 21, 2020 to December 31, 2020.
	(2) For the period of January 1, 2020 to May 4, 2020.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

	INVESTMENT DIVISIONS
		CLEARBRIDGE VARIABLE MID   CAP PORTFOLIO								CLEARBRIDGE VARIABLE SMALL   CAP GROWTH PORTFOLIO								COLUMBIA VARIABLE PORTFOLIO -   SMALL CAP VALUE FUND
		2020				2019				2020				2019				2020				2019
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		367		$		696		$		(0	)	$		-		$		1,143		$		742
Net realized gain (loss) on investments			706				4,020				9,905				12,693				(10,265	)			9,158
Change in net unrealized appreciation (depreciation) on investments			16,532				16,926				79,274				3,276				60,487				8,109
Increase (decrease) in net assets resulting from operations			17,605				21,642				89,178				15,969				51,365				18,009
CONTRACT TRANSACTIONS:
Proceeds from units sold			40,880				37,578				84,583				32,594				2,500				2,499
Transfers for contract benefits and terminations			(4,033	)			(4,099	)			(30,153	)			(22,917	)			(2,010	)			(1,681	)
Net transfers			(19,628	)			18,036				133,617				133,412				39,119				66,221
Contract maintenance charges							(65	)							(152	)							(17	)
Other, net			-				-				-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			17,219				51,450				188,047				142,937				39,609				67,022
Total increase (decrease) in net assets			34,824				73,092				277,225				158,906				90,974				85,031
NET ASSETS:
Beginning of period			120,636				47,544				211,497				52,591				141,405				56,374
End of period	$		155,460		$		120,636		$		488,722		$		211,497		$		232,379		$		141,405
CHANGES IN UNITS OUTSTANDING:
Units issued			4,938				6,126				20,184				1,402				3,856				2,528
Units redeemed			(3,969	)			(2,187	)			(13,169	)			(1,305	)			(1,654	)			(301	)
Net increase (decrease)			969				3,939				7,015				97				2,202				2,227

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

		INVESTMENT DIVISIONS
		DAVIS FINANCIAL PORTFOLIO								DAVIS VALUE PORTFOLIO								DELAWARE VIP   INTERNATIONAL   SERIES
		2020				2019				2020				2019				2020
																		(1)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		496		$		836		$		882		$		1,894		$
Net realized gain (loss) on investments			(6,310	)			2,239				3,071				5,544				2,392
Change in net unrealized appreciation (depreciation) on investments			676				8,917				10,477				23,003				745
Increase (decrease) in net assets resulting from operations			(5,138	)			11,992				14,430				30,441				3,137
CONTRACT TRANSACTIONS:
Proceeds from units sold			3,404				3,748				-				-				101,582
Transfers for contract benefits and terminations			(23,228	)			(878	)			(1,482	)			(2,038	)			-
Net transfers			4,019				2,285				(476	)			-				78,373
Contract maintenance charges							(68	)							(9	)
Other, net			-				-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			(15,805	)			5,087				(1,957	)			(2,047	)			179,955
Total increase (decrease) in net assets			(20,943	)			17,079				12,473				28,394				183,092
NET ASSETS:
Beginning of period			57,863				40,784				126,814				98,420
End of period	$		36,920		$		57,863		$		139,287		$		126,814		$		183,092
CHANGES IN UNITS OUTSTANDING:
Units issued			421				653				8				11				42,677
Units redeemed			(1,095	)			(416	)			(83	)			(91	)			(24,693	)
Net increase (decrease)			(674	)			237				(75	)			(80	)			17,984
	(1)   For the period of December 11, 2020 to December 31, 2020.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

		INVESTMENT DIVISIONS
		DELAWARE VIP INTERNATIONAL   VALUE EQUITY SERIES								DELAWARE VIP SMALL CAP VALUE   SERIES								DWS CROCI® U.S. VIP
		2020				2019				2020				2019				2020				2019
		(1)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		4,217		$		2		$		1,493		$		833		$		3,042		$		4,422
Net realized gain (loss) on investments			10,918				2,106				(22,906	)			7,978				(17,279	)			24,217
Change in net unrealized appreciation (depreciation) on investments			(1,393	)			1,409				33,629				7,434				(34,924	)			39,510
Increase (decrease) in net assets resulting from operations			13,742				3,517				12,217				16,245				(49,161	)			68,149
CONTRACT TRANSACTIONS:
Proceeds from units sold			6,957				11,748				187,909				82,831				-				-
Transfers for contract benefits and terminations			(2,473	)			(1,077	)			(4,190	)			(4,575	)			(1,810	)			(2,957	)
Net transfers			(58,598	)			26,119				30,877				16,327				(91,172	)			(61,798	)
Contract maintenance charges							(13	)			(166	)			(162	)							(99	)
Other, net			-				-				-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			(54,114	)			36,777				214,432				94,421				(92,982	)			(64,854	)
Total increase (decrease) in net assets			(40,372	)			40,294				226,648				110,666				(142,144	)			3,295
NET ASSETS:
Beginning of period			40,372				78				142,386				31,720				284,775				281,480
End of period	$		(0	)	$		40,372		$		369,034		$		142,386		$		142,631		$		284,775
CHANGES IN UNITS OUTSTANDING:
Units issued			22,470				5,310				23,355				7,311				1,112				10,112
Units redeemed			(25,693	)			(2,093	)			(7,872	)			(595	)			(7,489	)			(14,773	)
Net increase (decrease)			(3,224	)			3,217				15,483				6,716				(6,377	)			(4,661	)
	(1)   For the period January 1, 2020 to December 11, 2020

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

	INVESTMENT DIVISIONS
			DWS HIGH INCOME VIP								DWS SMALL CAP INDEX VIP								DWS SMALL MID CAP VALUE VIP								EATON VANCE VT   FLOATING-RATE INCOME FUND
			2020				2019				2020				2019				2020				2019				2020
																											(1)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$			6,297		$		5,506		$		73,566		$		71,549		$		24,031		$		11,703		$		4
Net realized gain (loss) on investments				(529	)			(175	)			241,204				626,580				(60,618	)			74,493				(0	)
Change in net unrealized appreciation (depreciation) on investments				5,725				6,661				729,224				775,876				98,579				226,805
Increase (decrease) in net assets resulting from operations				11,492				11,992				1,043,993				1,474,005				61,993				313,001				4
CONTRACT TRANSACTIONS:
Proceeds from units sold				14,890				29,501				371,779				39,450				7,138				6,625				76,999
Transfers for contract benefits and terminations				(2,213	)			(2,356	)			(220,814	)			(180,338	)			(15,500	)			(20,064	)			-
Net transfers				24,319				15,249				118,382				39,913				(499,966	)			(87,710	)			(2,874	)
Contract maintenance charges								(63	)							(5,589	)							(287	)
Other, net				-				-				-				-				-				-				-
Increase (decrease) in net assets resulting from contract transactions				36,997				42,331				269,347				(106,564	)			(508,328	)			(101,436	)			74,125
Total increase (decrease) in net assets				48,489				54,323				1,313,340				1,367,441				(446,335	)			211,565				74,129
NET ASSETS:
Beginning of period				119,352				65,029				7,280,378				5,912,937				1,767,959				1,556,394
End of period	$			167,841		$		119,352		$		8,593,718		$		7,280,378		$		1,321,624		$		1,767,959		$		74,129
CHANGES IN UNITS OUTSTANDING:
Units issued				2,796				2,278				55,793				16,715				19,641				4,089				6,237
Units redeemed				(930	)			(148	)			(58,909	)			(21,273	)			(35,771	)			(8,652	)			(1	)
Net increase (decrease)				1,866				2,130				(3,116	)			(4,558	)			(16,130	)			(4,563	)			6,236
		(1)   For the period of September 21, 2020 to December 31, 2020.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

	INVESTMENT DIVISIONS
		FEDERATED HERMES KAUFMANN FUND II								FIDELITY VIP CONTRAFUND PORTFOLIO								FIDELITY VIP   EMERGING MARKETS   PORTFOLIO
		2020				2019				2020				2019				2020
																		(1)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		(0	)	$				$		1,108		$		3,652		$
Net realized gain (loss) on investments			31,329				30,281				27,928				156,229				(0	)
Change in net unrealized appreciation (depreciation) on investments			35,357				21,824				390,638				366,533				70
Increase (decrease) in net assets resulting from operations			66,687				52,105				419,674				526,414				70
CONTRACT TRANSACTIONS:
Proceeds from units sold			-				-				2,820				227,067				107,795
Transfers for contract benefits and terminations			(2,926	)			(10,414	)			(18,591	)			(69,969	)			(1	)
Net transfers			(9,150	)			21,527				209,283				(2,007,215	)			(4,019	)
Contract maintenance charges							(212	)							(978	)
Other, net			-				-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			(12,076	)			10,901				193,512				(1,851,095	)			103,776
Total increase (decrease) in net assets			54,611				63,006				613,186				(1,324,681	)			103,846
NET ASSETS:
Beginning of period			207,344				144,338				1,335,567				2,660,248
End of period	$		261,955		$		207,344		$		1,948,753		$		1,335,567		$		103,846
CHANGES IN UNITS OUTSTANDING:
Units issued			1,161				2,517				6,312				12,164				7,370
Units redeemed			(1,272	)			(2,119	)			(2,576	)			(62,289	)			(1	)
Net increase (decrease)			(111	)			398				3,737				(50,125	)			7,369
	(1)   For the period of September 21, 2020 to December 31, 2020.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

	INVESTMENT DIVISIONS
		FIDELITY VIP GROWTH PORTFOLIO								FIDELITY VIP INVESTMENT GRADE BOND   PORTFOLIO								FIDELITY VIP MID CAP PORTFOLIO
		2020				2019				2020				2019				2020				2019
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		492		$		466		$		7,491		$		7,712		$		2,008		$		5,882
Net realized gain (loss) on investments			631,591				70,152				1,408				629				(17,108	)			28,202
Change in net unrealized appreciation (depreciation) on investments			(198,477	)			196,206				21,665				18,510				85,041				141,092
Increase (decrease) in net assets resulting from operations			433,605				266,824				30,564				26,851				69,941				175,176
CONTRACT TRANSACTIONS:
Proceeds from units sold			-								-				-				28,948				143,448
Transfers for contract benefits and terminations			(15,152	)			(13,547	)			(5,071	)			(5,564	)			(7,792	)			(194,889	)
Net transfers			(1,479,106	)			117,218				(1,011	)			67,862				(330,900	)			(249,445	)
Contract maintenance charges							(153	)							(97	)							(473	)
Other, net			-				-				-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			(1,494,257	)			103,518				(6,082	)			62,201				(309,744	)			(301,359	)
Total increase (decrease) in net assets			(1,060,652	)			370,342				24,481				89,052				(239,803	)			(126,183	)
NET ASSETS:
Beginning of period			1,109,014				738,672				369,513				280,461				758,945				885,128
End of period	$		48,362		$		1,109,014		$		393,994		$		369,513		$		519,142		$		758,945
CHANGES IN UNITS OUTSTANDING:
Units issued			5,269				6,102				2,747				3,381				1,373				8,228
Units redeemed			(39,883	)			(2,260	)			(3,112	)			(722	)			(6,879	)			(13,955	)
Net increase (decrease)			(34,615	)			3,842				(364	)			2,659				(5,506	)			(5,727	)

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

	INVESTMENT DIVISIONS
		GOLDMAN SACHS VIT MID CAP VALUE     FUND								GOLDMAN SACHS VIT MULTI-     STRATEGY ALTERNATIVES     PORTFOLIO								GREAT-WEST     AGGRESSIVE PROFILE FUND
		2020				2019				2020				2019				2020				2019
														(1)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		419		$		770		$		163		$		149		$		7,841		$		12,402
Net realized gain (loss) on investments			(1,153	)			2,782				0				170				(23,550	)			(56,509	)
Change in net unrealized appreciation (depreciation) on investments			6,740				19,154				418				(6	)			82,182				250,448
Increase (decrease) in net assets resulting from operations			6,006				22,706				581				313				66,473				206,341
CONTRACT TRANSACTIONS:
Proceeds from units sold			-				-				-				-				16,775				55,131
Transfers for contract benefits and terminations			(875	)			(1,499	)			(206	)			(153	)			(38,637	)			(653,145	)
Net transfers			(32,471	)			36,884				3,059				5,341				7,443				(125,513	)
Contract maintenance charges							(31	)			(11	)			(11	)							(694	)
Other, net			-				-				-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			(33,346	)			35,354				2,843				5,177				(14,420	)			(724,221	)
Total increase (decrease) in net assets			(27,340	)			58,060				3,424				5,490				52,054				(517,880	)
NET ASSETS:
Beginning of period			102,897				44,837				5,490				-				565,703				1,083,583
End of period	$		75,557		$		102,897		$		8,914		$		5,490		$		617,757		$		565,703
CHANGES IN UNITS OUTSTANDING:
Units issued			33				3,278				300				1,359				9,375				14,391
Units redeemed			(1,874	)			(843	)			(37	)			(854	)			(10,482	)			(77,223	)
Net increase (decrease)			(1,841	)			2,435				263				505				(1,106	)			(62,832	)
			(1)  For the period March 13, 2019 to December 31, 2019.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

	INVESTMENT DIVISIONS
		GREAT-WEST ARIEL MID CAP VALUE FUND								GREAT-WEST BOND INDEX FUND								GREAT-WEST CONSERVATIVE PROFILE     FUND
		2020				2019				2020				2019				2020				2019
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		6,650		$		3,170		$		45,383		$		24,856		$		20,859		$		14,851
Net realized gain (loss) on investments			(638	)			24,442				87,149				2,120				3,421				60,624
Change in net unrealized appreciation (depreciation) on investments			27,902				22,846				43,347				150,433				57,529				14,119
Increase (decrease) in net assets resulting from operations			33,914				50,458				175,879				177,409				81,809				89,594
CONTRACT TRANSACTIONS:
Proceeds from units sold			12				-				239,340				48,460				63,855				16,053
Transfers for contract benefits and terminations			(3,011	)			(10,306	)			(104,084	)			(63,700	)			(26,814	)			(80,778	)
Net transfers			51,799				25,406				1,182,365				240,916				(116,187	)			278,850
Contract maintenance charges							(187	)							(804	)			(1,296	)			(1,577	)
Other, net			-				-				-				-				6,988				(7,058	)
Increase (decrease) in net assets resulting from contract transactions			48,800				14,913				1,317,621				224,872				(73,453	)			205,490
Total increase (decrease) in net assets			82,715				65,371				1,493,499				402,281				8,356				295,084
NET ASSETS:
Beginning of period			262,184				196,813				2,378,275				1,975,994				1,087,351				792,267
End of period	$		344,899		$		262,184		$		3,871,774		$		2,378,275		$		1,095,707		$		1,087,351
CHANGES IN UNITS OUTSTANDING:
Units issued			1,946				1,480				106,856				24,244				13,905				95,149
Units redeemed			(975	)			(1,165	)			(26,557	)			(8,473	)			(20,545	)			(77,061	)
Net increase (decrease)			970				315				80,299				15,771				(6,640	)			18,088

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

	INVESTMENT DIVISIONS
		GREAT-WEST CORE BOND FUND								GREAT-WEST EMERGING MARKETS EQUITY FUND								GREAT-WEST GLOBAL BOND FUND
		2020				2019				2020				2019				2020				2019
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		69,618		$		60,612		$		1,729		$		25		$		19,098		$		106,348
Net realized gain (loss) on investments			20,166				(82	)			4,246				273				(84,636	)			(365,159	)
Change in net unrealized appreciation (depreciation) on investments			115,548				158,080				8,893				241				107,874				415,856
Increase (decrease) in net assets resulting from operations			205,332				218,610				14,868				539				42,337				157,045
CONTRACT TRANSACTIONS:
Proceeds from units sold			40,177				16,462				64,413				-				102,742				135,205
Transfers for contract benefits and terminations			(25,291	)			(29,468	)			(119	)			(86	)			(26,713	)			(47,755	)
Net transfers			15,080				(59,309	)			14,508				115				(1,117,830	)			(2,044,453	)
Contract maintenance charges							(118	)							(6	)			(282	)			(1,117	)
Other, net			-				-				-				-				-				(275,838	)
Increase (decrease) in net assets resulting from contract transactions			29,967				(72,433	)			78,802				23				(1,042,082	)			(2,233,958	)
Total increase (decrease) in net assets			235,298				146,177				93,670				562				(999,745	)			(2,076,913	)
NET ASSETS:
Beginning of period			2,540,638				2,394,461				2,647				2,085				2,695,915				4,772,828
End of period	$		2,775,936		$		2,540,638		$		96,317		$		2,647		$		1,696,170		$		2,695,915
CHANGES IN UNITS OUTSTANDING:
Units issued			9,190				4,838				11,305				558				30,753				32,295
Units redeemed			(7,330	)			(9,543	)			(3,539	)			(547	)			(104,197	)			(185,947	)
Net increase (decrease)			1,860				(4,705	)			7,766				11				(73,444	)			(153,652	)

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

		INVESTMENT DIVISIONS
		GREAT-WEST GOVERNMENT MONEY MARKET FUND								GREAT-WEST INFLATION- PROTECTED SECURITIES FUND				GREAT-WEST INTERNATIONAL INDEX FUND
		2020				2019				2020				2020				2019
										(1)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		39,781		$		215,933		$		-		$		46,604		$		30
Net realized gain (loss) on investments											(0	)			15,358				579
Change in net unrealized appreciation (depreciation) on investments			(0	)							1,262				113,043				2,707
Increase (decrease) in net assets resulting from operations			39,781				215,933				1,262				175,005				3,316
CONTRACT TRANSACTIONS:
Proceeds from units sold			5,993,505				4,129,581				691,554				130,503				4,529
Transfers for contract benefits and terminations			(964,171	)			(986,709	)			(1	)			(3,053	)			(11,143	)
Net transfers			4,305,835				2,162,463				(32,772	)			2,963,092				(49,500	)
Contract maintenance charges			(5,372	)			(6,291	)											(12	)
Other, net			-				-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			9,329,797				5,299,044				658,782				3,090,542				(56,126	)
Total increase (decrease) in net assets			9,369,577				5,514,977				660,044				3,265,546				(52,810	)
NET ASSETS:
Beginning of period			14,207,150				8,692,173								1,354				54,164
End of period	$		23,576,727		$		14,207,150		$		660,044		$		3,266,900		$		1,354
CHANGES IN UNITS OUTSTANDING:
Units issued			1,448,933				928,819				57,943				226,850				489
Units redeemed			(758,795	)			(530,985	)			(1	)			(2,250	)			(5,246	)
Net increase (decrease)			690,138				397,834				57,941				224,600				(4,757	)
	(1) For the period of September 21, 2020 to December 31, 2020.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

		INVESTMENT DIVISIONS
		GREAT-WEST INTERNATIONAL   VALUE FUND								GREAT-WEST LARGE CAP   GROWTH FUND								GREAT-WEST LARGE CAP VALUE   FUND INVESTOR II CLASS
		2020				2019				2020				2019				2020				2019
																						(1)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		46,481		$		63,726		$		3,681		$		137		$		24,248		$		14,251
Net realized gain (loss) on investments			(66,457	)			(122,553	)			51,028				20,053				(17,312	)			61,612
Change in net unrealized appreciation (depreciation) on investments			477,433				1,121,787				(8,068	)			33,113				48,064				74,984
Increase (decrease) in net assets resulting from operations			457,457				1,062,960				46,640				53,303				55,000				150,847
CONTRACT TRANSACTIONS:
Proceeds from units sold			68,990				71,368				25,226				15,205				9,591				2,105
Transfers for contract benefits and terminations			(55,110	)			(126,518	)			(2,454	)			(4,882	)			(18,555	)			(3,742	)
Net transfers			(334,526	)			(887,399	)			90,910				(251,334	)			(78,974	)			2,287,235
Contract maintenance charges			(35	)			(2,033	)			(80	)			(62	)							(79	)
Other, net			-				(33,287	)			-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			(320,681	)			(977,869	)			113,602				(241,073	)			(87,939	)			2,285,519
Total increase (decrease) in net assets			136,776				85,091				160,242				(187,770	)			(32,939	)			2,436,366
NET ASSETS:
Beginning of period			5,149,493				5,064,402				19,280				207,050				2,436,366				-
End of period	$		5,286,269		$		5,149,493		$		179,522		$		19,280		$		2,403,427		$		2,436,366
CHANGES IN UNITS OUTSTANDING:
Units issued			45,740				44,596				4,167				447				50,153				251,913
Units redeemed			(69,147	)			(117,375	)			(1,660	)			(6,564	)			(61,654	)			(24,030	)
Net increase (decrease)			(23,407	)			(72,779	)			2,507				(6,117	)			(11,501	)			227,883
	(1) For the period October 28, 2019 to December 31, 2019.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

		INVESTMENT DIVISIONS
		GREAT-WEST LIFETIME 2015 FUND								GREAT-WEST LIFETIME 2020 FUND								GREAT-WEST LIFETIME 2025 FUND
		2020				2019				2020				2019				2020				2019
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		25,765		$		19,844		$		11,670		$		9,329		$		78,029		$		56,905
Net realized gain (loss) on investments			20,343				(3,199	)			16,966				18,609				6,883				203,221
Change in net unrealized appreciation (depreciation) on investments			114,783				174,513				37,059				46,088				368,581				288,099
Increase (decrease) in net assets resulting from operations			160,890				191,158				65,695				74,026				453,493				548,225
CONTRACT TRANSACTIONS:
Proceeds from units sold			233,002				384,276				40,481				67,990				977,600				976,433
Transfers for contract benefits and terminations			(26,120	)			(37,046	)			(9,778	)			(23,854	)			(80,654	)			(101,182	)
Net transfers			(123,632	)			(804,097	)			88,159				(69,205	)			(681,530	)			493,575
Contract maintenance charges							(675	)			(753	)			(944	)							(2,443	)
Other, net			-				-				-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			83,249				(457,542	)			118,110				(26,013	)			215,416				1,366,383
Total increase (decrease) in net assets			244,140				(266,384	)			183,805				48,013				668,909				1,914,608
NET ASSETS:
Beginning of period			1,380,614				1,646,998				491,618				443,605				4,073,988				2,159,380
End of period	$		1,624,754		$		1,380,614		$		675,423		$		491,618		$		4,742,897		$		4,073,988
CHANGES IN UNITS OUTSTANDING:
Units issued			18,762				70,082				11,716				7,144				94,630				194,863
Units redeemed			(12,246	)			(110,541	)			(2,888	)			(9,055	)			(83,246	)			(80,488	)
Net increase (decrease)			6,515				(40,459	)			8,828				(1,911	)			11,384				114,375

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

		INVESTMENT DIVISIONS
		GREAT-WEST LIFETIME 2030 FUND								GREAT-WEST LIFETIME 2035 FUND								GREAT-WEST LIFETIME 2040 FUND
		2020				2019				2020				2019				2020				2019
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		42,618		$		29,491		$		26,962		$		16,493		$		22,547		$		13,719
Net realized gain (loss) on investments			83,586				91,082				17,359				(59,443	)			(6,191	)			50,158
Change in net unrealized appreciation (depreciation) on investments			160,749				131,020				152,055				264,079				104,751				79,625
Increase (decrease) in net assets resulting from operations			286,953				251,593				196,375				221,129				121,106				143,502
CONTRACT TRANSACTIONS:
Proceeds from units sold			663,767				69,019				526,105				138,852				182,101				28,510
Transfers for contract benefits and terminations			(48,641	)			(41,475	)			(156,007	)			(25,025	)			(14,334	)			(83,393	)
Net transfers			(160,502	)			149,034				(59,059	)			(633,445	)			364,017				102,809
Contract maintenance charges			(1,999	)			(1,969	)							(1,095	)							(610	)
Other, net			-				-				-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			452,625				174,609				311,040				(520,713	)			531,784				47,316
Total increase (decrease) in net assets			739,578				426,202				507,415				(299,584	)			652,890				190,818
NET ASSETS:
Beginning of period			1,637,130				1,210,928				1,249,500				1,549,084				770,657				579,839
End of period	$		2,376,708		$		1,637,130		$		1,756,915		$		1,249,500		$		1,423,547		$		770,657
CHANGES IN UNITS OUTSTANDING:
Units issued			85,169				31,239				43,845				41,645				60,706				13,421
Units redeemed			(50,858	)			(17,905	)			(22,505	)			(87,195	)			(27,343	)			(9,780	)
Net increase (decrease)			34,311				13,334				21,340				(45,550	)			33,363				3,641

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

		INVESTMENT DIVISIONS
		GREAT-WEST LIFETIME 2045 FUND								GREAT-WEST LIFETIME 2050 FUND								GREAT-WEST LIFETIME 2055 FUND
		2020				2019				2020				2019				2020				2019
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		16,849		$		9,525		$		7,116		$		4,136		$		5,520		$		4,739
Net realized gain (loss) on investments			16,405				34,183				10,542				23,206				32,097				21,122
Change in net unrealized appreciation (depreciation) on investments			97,041				88,330				32,318				26,565				24,903				19,089
Increase (decrease) in net assets resulting from operations			130,294				132,038				49,976				53,907				62,520				44,950
CONTRACT TRANSACTIONS:
Proceeds from units sold			316,209				155,887				16,959				6,852				54,940				24,261
Transfers for contract benefits and terminations			(129,586	)			(21,286	)			(4,169	)			(164,707	)			(10,749	)			(40,661	)
Net transfers			179,656				(76,136	)			139,364				89,140				(197,063	)			283,378
Contract maintenance charges			(1,263	)			(1,589	)							(136	)							(212	)
Other, net			-				-				-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			365,017				56,876				152,154				(68,851	)			(152,873	)			266,766
Total increase (decrease) in net assets			495,311				188,914				202,130				(14,944	)			(90,353	)			311,716
NET ASSETS:
Beginning of period			674,620				485,706				213,215				228,159				484,677				172,961
End of period	$		1,169,931		$		674,620		$		415,345		$		213,215		$		394,324		$		484,677
CHANGES IN UNITS OUTSTANDING:
Units issued			49,222				44,215				12,881				8,125				9,170				22,006
Units redeemed			(24,823	)			(39,407	)			(2,514	)			(13,031	)			(18,772	)			(3,376	)
Net increase (decrease)			24,399				4,808				10,367				(4,906	)			(9,602	)			18,630

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

		INVESTMENT DIVISIONS
		GREAT-WEST MID CAP VALUE FUND								GREAT-WEST MODERATE     PROFILE FUND								GREAT-WEST MODERATELY     AGGRESSIVE PROFILE FUND
		2020				2019				2020				2019				2020				2019
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		681		$		111		$		4,448		$		6,065		$		1,487		$		1,541
Net realized gain (loss) on investments			(4,658	)			(5,731	)			387				17,211				(5,173	)			6,818
Change in net unrealized appreciation (depreciation) on investments			2,734				20,354				28,315				25,023				8,941				7,923
Increase (decrease) in net assets resulting from operations			(1,243	)			14,734				33,150				48,299				5,255				16,282
CONTRACT TRANSACTIONS:
Proceeds from units sold			35,909				25,458				3,012				3,035				5,220				3,247
Transfers for contract benefits and terminations			(2,771	)			(2,746	)			(6,603	)			(48,181	)			(22,818	)			(1,584	)
Net transfers			(5,610	)			(39,929	)			(2,339	)			24,998				(14,560	)			14,410
Contract maintenance charges							(36	)							(220	)							(82	)
Other, net			-				-				-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			27,528				(17,253	)			(5,929	)			(20,368	)			(32,157	)			15,991
Total increase (decrease) in net assets			26,285				(2,519	)			27,220				27,931				(26,901	)			32,273
NET ASSETS:
Beginning of period			78,854				81,373				311,140				283,209				109,470				77,197
End of period	$		105,139		$		78,854		$		338,360		$		311,140		$		82,569		$		109,470
CHANGES IN UNITS OUTSTANDING:
Units issued			4,614				3,267				2,170				4,514				1,030				2,677
Units redeemed			(2,706	)			(4,642	)			(2,758	)			(6,338	)			(3,953	)			(1,316	)
Net increase (decrease)			1,908				(1,375	)			(588	)			(1,824	)			(2,923	)			1,361

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

		INVESTMENT DIVISIONS
		GREAT-WEST MODERATELY     CONSERVATIVE PROFILE FUND								GREAT-WEST MULTI- SECTOR     BOND FUND								GREAT-WEST REAL ESTATE     INDEX FUND
		2020				2019				2020				2019				2020				2019
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		12,911		$		2,214		$		10,992		$		10,602		$		3,246		$		2,297
Net realized gain (loss) on investments			2,674				5,577				10,042				10,535				(32,084	)			11,269
Change in net unrealized appreciation (depreciation) on investments			49,343				6,457				(2,849	)			43,427				(14,934	)			29,951
Increase (decrease) in net assets resulting from operations			64,929				14,248				18,185				64,564				(43,772	)			43,517
CONTRACT TRANSACTIONS:
Proceeds from units sold			1,272,873				4,142				10,518				51,998				148,559				64,092
Transfers for contract benefits and terminations			(57,154	)			(2,070	)			(9,233	)			(11,813	)			(5,329	)			(21,984	)
Net transfers			(10,535	)			29,612				(181,697	)			56,656				(67,445	)			(10,892	)
Contract maintenance charges			(2,103	)			(70	)			(108	)			(308	)							(106	)
Other, net			-				-				-				(102,406	)			-				-
Increase (decrease) in net assets resulting from contract transactions			1,203,082				31,614				(180,520	)			(5,873	)			75,785				31,110
Total increase (decrease) in net assets			1,268,010				45,862				(162,335	)			58,691				32,013				74,627
NET ASSETS:
Beginning of period			133,214				87,352				565,572				506,881				269,361				194,734
End of period	$		1,401,224		$		133,214		$		403,237		$		565,572		$		301,374		$		269,361
CHANGES IN UNITS OUTSTANDING:
Units issued			165,178				3,941				3,583				3,209				16,300				8,179
Units redeemed			(66,119	)			(1,068	)			(8,197	)			(3,228	)			(11,626	)			(6,153	)
Net increase (decrease)			99,059				2,873				(4,614	)			(19	)			4,674				2,026

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

		INVESTMENT DIVISIONS
		GREAT-WEST S&P MID CAP  400®     INDEX FUND								GREAT-WEST S&P SMALL CAP 600®     INDEX FUND								GREAT-WEST SHORT DURATION     BOND FUND
		2020				2019				2020				2019				2020				2019
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		52,112		$		5,349		$		2,899		$		158		$		136,776		$		166,840
Net realized gain (loss) on investments			67,325				79,708				36,205				2,641				55,785				8,303
Change in net unrealized appreciation (depreciation) on investments			358,590				267,556				37,589				990				136,896				246,673
Increase (decrease) in net assets resulting from operations			478,027				352,613				76,694				3,789				329,456				421,816
CONTRACT TRANSACTIONS:
Proceeds from units sold			275,617				168,557				115,735				7,710				108,245				82,625
Transfers for contract benefits and terminations			(60,483	)			(277,963	)			(4,014	)			(138	)			(210,829	)			(165,913	)
Net transfers			5,430,308				(9,160	)			240,501				14,694				(1,211,527	)			246,765
Contract maintenance charges							(865	)							(30	)			(286	)			(1,891	)
Other, net			-				-				-				-				-				(286,165	)
Increase (decrease) in net assets resulting from contract transactions			5,645,442				(119,431	)			352,223				22,236				(1,314,397	)			(124,579	)
Total increase (decrease) in net assets			6,123,469				233,182				428,916				26,025				(984,941	)			297,237
NET ASSETS:
Beginning of period			1,620,855				1,387,673				40,103				14,078				7,942,471				7,645,234
End of period	$		7,744,324		$		1,620,855		$		469,019		$		40,103		$		6,957,530		$		7,942,471
CHANGES IN UNITS OUTSTANDING:
Units issued			346,723				26,802				33,157				2,559				18,681				27,648
Units redeemed			(77,049	)			(33,020	)			(10,199	)			(1,243	)			(105,708	)			(35,428	)
Net increase (decrease)			269,674				(6,218	)			22,958				1,316				(87,027	)			(7,780	)

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

		INVESTMENT DIVISIONS
		GREAT-WEST SMALL CAP     VALUE FUND								GREAT-WEST T. ROWE PRICE MID CAP     GROWTH FUND								GREAT-WEST T. ROWE PRICE EQUITY INCOME FUND
		2020				2019				2020				2019				2019
																		(1)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		(0	)	$		5		$		26		$		360		$		17,586
Net realized gain (loss) on investments			(2,337	)			2,961				159,671				459,466				215,912
Change in net unrealized appreciation (depreciation) on investments			87,234				185,440				253,316				544,169				77,207
Increase (decrease) in net assets resulting from operations			84,897				188,406				413,013				1,003,995				310,705
CONTRACT TRANSACTIONS:
Proceeds from units sold			15,514				21,410				104,568				101,991				11,232
Transfers for contract benefits and terminations			(8,737	)			(11,466	)			(91,994	)			(782,859	)			(19,022	)
Net transfers			(40,219	)			26,418				(991,369	)			(637,112	)			(1,927,128	)
Contract maintenance charges							(256	)							(1,573	)			(386	)
Other, net			-				-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			(33,442	)			36,106				(978,795	)			(1,319,553	)			(1,935,304	)
Total increase (decrease) in net assets			51,454				224,512				(565,782	)			(315,558	)			(1,624,599	)
NET ASSETS:
Beginning of period			980,305				755,793				3,447,416				3,762,974				1,624,599
End of period	$		1,031,759		$		980,305		$		2,881,634		$		3,447,416		$		-
CHANGES IN UNITS OUTSTANDING:																			.
Units issued			6,309				2,108				11,500				13,754				10,422
Units redeemed			(5,864	)			(1,238	)			(31,709	)			(40,552	)			(71,172	)
Net increase (decrease)			445				870				(20,209	)			(26,798	)			(60,750	)
	(1) For the period January 1, 2019 to October 28, 2019.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

		INVESTMENT DIVISIONS
		GREAT-WEST U.S. GOVERNMENT     SECURITIES FUND								INVESCO OPPENHEIMER V.I. MAIN STREET SMALL CAP FUND								INVESCO V.I. CORE     EQUITY FUND
		2020				2019				2020				2019				2020				2019
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		28,600		$		49,314		$		2,995		$		2,140		$		309		$		199
Net realized gain (loss) on investments			6,996				(4,174	)			6,620				(43,563	)			4,899				2,249
Change in net unrealized appreciation (depreciation) on investments			154,398				141,489				69,224				213,464				(1,117	)			2,905
Increase (decrease) in net assets resulting from operations			189,995				186,629				78,840				172,041				4,091				5,353
CONTRACT TRANSACTIONS:
Proceeds from units sold			578,251				18				30,469				40,911				-				-
Transfers for contract benefits and terminations			(32,682	)			(41,410	)			(7,961	)			(624,851	)			(339	)			(442	)
Net transfers			(67,958	)			171,195				(226,054	)			(30,134	)			(852	)			(2,241	)
Contract maintenance charges							(762	)							(403	)							(8	)
Other, net			-				-				-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			477,610				129,041				(203,546	)			(614,477	)			(1,191	)			(2,691	)
Total increase (decrease) in net assets			667,605				315,670				(124,707	)			(442,436	)			2,900				2,662
NET ASSETS:
Beginning of period			3,279,475				2,963,805				470,612				913,048				22,050				19,388
End of period	$		3,947,080		$		3,279,475		$		345,905		$		470,612		$		24,950		$		22,050
CHANGES IN UNITS OUTSTANDING:
Units issued			26,797				12,980				9,560				10,950				145				2
Units redeemed			(7,700	)			(7,268	)			(22,304	)			(58,805	)			(150	)			(109	)
Net increase (decrease)			19,096				5,712				(12,744	)			(47,855	)			(5	)			(107	)

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

		INVESTMENT DIVISIONS
		INVESCO V.I. GLOBAL REAL     ESTATE FUND								INVESCO V.I. HEALTH CARE FUND								INVESCO V.I. INTERNATIONAL GROWTH FUND
		2020				2019				2020				2019				2020				2019
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		62,070		$		51,335		$		202		$		24		$		81,891		$		56,572
Net realized gain (loss) on investments			33,405				45,367				2,593				3,054				83,820				280,885
Change in net unrealized appreciation (depreciation) on investments			(211,828	)			181,368				6,344				16,074				282,282				522,499
Increase (decrease) in net assets resulting from operations			(116,353	)			278,070				9,139				19,152				447,993				859,956
CONTRACT TRANSACTIONS:
Proceeds from units sold			78,153				2,063				-				-				26,335				27,838
Transfers for contract benefits and terminations			(9,317	)			(23,959	)			(678	)			(4,668	)			(33,410	)			(80,766	)
Net transfers			240,636				(501,696	)			(1,352	)			(31,850	)			(317,059	)			(95,843	)
Contract maintenance charges							(326	)			(53	)			(80	)			(23	)			(1,133	)
Other, net			1,270				(1,371	)			-				-				-				(21,660	)
Increase (decrease) in net assets resulting from contract transactions			310,742				(525,289	)			(2,083	)			(36,598	)			(324,157	)			(171,564	)
Total increase (decrease) in net assets			194,388				(247,219	)			7,055				(17,446	)			123,836				688,392
NET ASSETS:
Beginning of period			1,223,825				1,471,044				63,659				81,105				3,788,850				3,100,458
End of period	$		1,418,213		$		1,223,825		$		70,714		$		63,659		$		3,912,686		$		3,788,850
CHANGES IN UNITS OUTSTANDING:
Units issued			9,532				1,595				138				97				19,034				15,589
Units redeemed			(868	)			(14,484	)			(184	)			(1,173	)			(37,228	)			(25,666	)
Net increase (decrease)			8,664				(12,889	)			(46	)			(1,076	)			(18,194	)			(10,077	)

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

		INVESTMENT DIVISIONS
		INVESCO V.I. MID CAP CORE     EQUITY FUND								INVESCO V.I. TECHNOLOGY FUND								JANUS HENDERSON VIT BALANCED     PORTFOLIO
		2020				2019				2020				2019				2020				2019
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		2,585		$		1,144		$		0		$				$		63,154		$		52,949
Net realized gain (loss) on investments			61,906				24,800				13,989				34,636				70,881				203,778
Change in net unrealized appreciation (depreciation) on investments			(20,425	)			23,477				24,515				3,669				190,957				270,574
Increase (decrease) in net assets resulting from operations			44,066				49,421				38,504				38,305				324,992				527,301
CONTRACT TRANSACTIONS:
Proceeds from units sold			-				-				-				-				142,010				365,901
Transfers for contract benefits and terminations			(2,686	)			(2,141	)			(1,159	)			(8,049	)			(74,533	)			(842,819	)
Net transfers			106,491				4,024				(1,991	)			(66,019	)			333,518				451,466
Contract maintenance charges							(129	)							(130	)							(1,618	)
Other, net			-				-				-				-				2,537				(3,106	)
Increase (decrease) in net assets resulting from contract transactions			103,805				1,754				(3,149	)			(74,198	)			403,533				(30,176	)
Total increase (decrease) in net assets			147,871				51,175				35,355				(35,893	)			728,525				497,125
NET ASSETS:
Beginning of period			247,356				196,181				93,567				129,460				2,697,549				2,200,424
End of period	$		395,227		$		247,356		$		128,922		$		93,567		$		3,426,074		$		2,697,549
CHANGES IN UNITS OUTSTANDING:
Units issued			5,735				563				309				167				28,754				29,670
Units redeemed			(1,682	)			(506	)			(468	)			(2,629	)			(20,851	)			(29,668	)
Net increase (decrease)			4,054				57				(159	)			(2,462	)			7,902				2

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

			INVESTMENT DIVISIONS
			JANUS HENDERSON VIT ENTERPRISE     PORTFOLIO								JANUS HENDERSON VIT FLEXIBLE     BOND PORTFOLIO								JANUS HENDERSON VIT FORTY     PORTFOLIO
			2020				2019				2020				2019				2020				2019
							(1)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$			645		$		483		$		69,087		$		72,438		$		21,507		$		4,164
Net realized gain (loss) on investments				26,453				129				80,698				64,587				466,951				160,363
Change in net unrealized appreciation (depreciation) on investments				71,828				40,549				111,215				53,752				520,024				603,413
Increase (decrease) in net assets resulting from operations				98,926				41,161				261,000				190,777				1,008,482				767,940
CONTRACT TRANSACTIONS:
Proceeds from units sold				70,357				29,592				162				8,999				80,817				78,082
Transfers for contract benefits and terminations				(10,400	)			(5,207	)			(41,890	)			(51,335	)			(35,854	)			(91,647	)
Net transfers				6,587				545,102				687,423				1,152				(831,016	)			(468,424	)
Contract maintenance charges								(125	)			(107	)			(934	)							(1,854	)
Other, net				-				-				-				(100,111	)			-				-
Increase (decrease) in net assets resulting from contract transactions				66,543				569,362				645,589				(142,229	)			(786,053	)			(483,843	)
Total increase (decrease) in net assets				165,469				610,523				906,590				48,548				222,429				284,097
NET ASSETS:
Beginning of period				610,523				-				1,853,468				1,804,920				2,540,872				2,256,775
End of period	$			775,992		$		610,523		$		2,760,058		$		1,853,468		$		2,763,301		$		2,540,872
CHANGES IN UNITS OUTSTANDING:
Units issued				21,030				39,259				64,983				51,740				7,849				18,778
Units redeemed				(18,555	)			(481	)			(42,643	)			(56,044	)			(16,793	)			(27,658	)
Net increase (decrease)				2,475				38,778				22,340				(4,304	)			(8,945	)			(8,880	)
		(1) For the period June 5, 2019 to December 31, 2019.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

	INVESTMENT DIVISIONS
		JANUS HENDERSON VIT GLOBAL     RESEARCH PORTFOLIO								JANUS HENDERSON VIT GLOBAL     TECHNOLOGY AND INNOVATION PORTFOLIO								JANUS HENDERSON VIT OVERSEAS     PORTFOLIO
		2020				2019				2020				2019				2020				2019
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		4,624		$		7,948		$		64		$		5,840		$		788		$		1,057
Net realized gain (loss) on investments			175,787				127,563				385,036				159,955				(65	)			(92	)
Change in net unrealized appreciation (depreciation) on investments			(45,828	)			71,321				451,940				311,658				9,052				12,246
Increase (decrease) in net assets resulting from operations			134,582				206,832				837,040				477,453				9,775				13,211
CONTRACT TRANSACTIONS:
Proceeds from units sold			-				-				235,341				304,584				-				-
Transfers for contract benefits and terminations			(8,961	)			(20,342	)			(37,910	)			(70,040	)			(712	)			(979	)
Net transfers			(540,503	)			(209,631	)			(451,108	)			131,147				(235	)			-
Contract maintenance charges							(321	)							(782	)							(4	)
Other, net			-				-				-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			(549,465	)			(230,294	)			(253,677	)			364,909				(947	)			(983	)
Total increase (decrease) in net assets			(414,882	)			(23,462	)			583,362				842,362				8,828				12,228
NET ASSETS:
Beginning of period			733,844				757,306				1,764,124				921,762				61,586				49,358
End of period	$		318,962		$		733,844		$		2,347,486		$		1,764,124		$		70,414		$		61,586
CHANGES IN UNITS OUTSTANDING:
Units issued			6,479				7,707				8,053				11,449				4				5
Units redeemed			(34,544	)			(22,298	)			(11,515	)			(4,477	)			(37	)			(40	)
Net increase (decrease)			(28,065	)			(14,591	)			(3,462	)			6,972				(33	)			(35	)

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

	INVESTMENT DIVISIONS
		LORD ABBETT SERIES DEVELOPING     GROWTH PORTFOLIO								LORD ABBETT SERIES TOTAL RETURN     PORTFOLIO								MFS VIT GROWTH SERIES
		2020				2019				2020				2019				2020				2019
														(1)								(2)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		(0)		$				$		484		$		181		$		-		$		1,669
Net realized gain (loss) on investments			22,057				12,687				538				155				1,277
Change in net unrealized appreciation (depreciation) on investments			72,001				15,193				25				28				2,456				230
Increase (decrease) in net assets resulting from operations			94,058				27,880				1,046				364				3,733				1,899
CONTRACT TRANSACTIONS:
Proceeds from units sold			-				-				1,061				-				12				-
Transfers for contract benefits and terminations			(1,857	)			(1,836	)			(426	)			(168	)			(375	)			(253	)
Net transfers			(1,417	)			24,458				12,444				6,725				5,781				7,053
Contract maintenance charges							(38	)			(20	)			(12	)			(20	)			(18	)
Other, net			-				-				-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			(3,274	)			22,584				13,059				6,545				5,398				6,782
Total increase (decrease) in net assets			90,784				50,464				14,105				6,909				9,131				8,681
NET ASSETS:
Beginning of period			130,985				80,521				6,909				-				8,681
End of period	$		221,769		$		130,985		$		21,014		$		6,909		$		17,812		$		8,681
CHANGES IN UNITS OUTSTANDING:
Units issued			442				1,770				1,502				1,871				476				1,697
Units redeemed			(605	)			(147	)			(350	)			(1,241	)			(115	)			(1,048	)
Net increase (decrease)			(163	)			1,623				1,152				630				361				649
	(1)  For the period March 13, 2019 to December 31, 2019.
	(2)  For the period January 17, 2019 to December 31, 2019.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

	INVESTMENT DIVISIONS
		MFS VIT II INTERNATIONAL GROWTH PORTFOLIO				MFS VIT III BLENDED RESEARCH SMALL CAP EQUITY PORTFOLIO								MFS VIT III GLOBAL REAL ESTATE PORTFOLIO
		2020				2020				2019				2020
		(1)								(2)				(3)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		-		$		113		$		38		$		-
Net realized gain (loss) on investments			5,862				989				897				1,010
Change in net unrealized appreciation (depreciation) on investments			27,706				883				(337	)			2,720
Increase (decrease) in net assets resulting from operations			33,567				1,985				598				3,730
CONTRACT TRANSACTIONS:
Proceeds from units sold			262,737				274				12				25,582
Transfers for contract benefits and terminations			(1	)			(236	)			(157	)			(1	)
Net transfers			174,013				7,587				5,943				5,983
Contract maintenance charges							(12	)			(11	)
Other, net			-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			436,750				7,613				5,787				31,564
Total increase (decrease) in net assets			470,317				9,598				6,385				35,294
NET ASSETS:
Beginning of period							6,385				-
End of period	$		470,317		$		15,983		$		6,385		$		35,294
CHANGES IN UNITS OUTSTANDING:
Units issued			46,597				789				1,166				3,820
Units redeemed			(8,912	)			(94	)			(686	)			(1,210	)
Net increase (decrease)			37,685				695				480				2,610
	(1) For the period of September 21, 2020 to December 31, 2020.
	(2) For the period March 13, 2019 to December 31, 2019.
	(3) For the period of September 21, 2020 to December 31, 2020.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

	INVESTMENT DIVISIONS
		MFS VIT III MID CAP VALUE PORTFOLIO								MFS VIT MID CAP GROWTH SERIES								MFS VIT RESEARCH SERIES
		2020				2019				2020				2019				2020				2019
										(1)				(2)								(3)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		66		$		31		$		-		$		-		$		433		$		390
Net realized gain (loss) on investments			192				699				933				228				2,503				9,951
Change in net unrealized appreciation (depreciation) on investments			477				(34	)			39,275				(107	)			6,452				108
Increase (decrease) in net assets resulting from operations			735				696				40,208				121				9,389				10,449
CONTRACT TRANSACTIONS:
Proceeds from units sold			12				-				248,153				-				12				-
Transfers for contract benefits and terminations			(108	)			(72	)			(42	)			-				(1,727	)			(1,585	)
Net transfers			2,365				(446	)			193,898				(2,441	)			1,936				45,292
Contract maintenance charges							(5	)							-				(94	)			(111	)
Other, net			-				-				-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			2,269				(523	)			442,009				(2,441	)			127				43,596
Total increase (decrease) in net assets			3,004				173				482,217				(2,320	)			9,516				54,045
NET ASSETS:
Beginning of period			2,629				2,456								2,320				54,045				-
End of period	$		5,633		$		2,629		$		482,217		$		-		$		63,561		$		54,045
CHANGES IN UNITS OUTSTANDING:
Units issued			277				538				25,652								401				8,798
Units redeemed			(58	)			(585	)			(3,840	)			(199	)			(373	)			(5,552	)
Net increase (decrease)			219				(47	)			21,812				(199	)			28				3,246
	(1) For the period of April 21, 2020 to December 31, 2020.
	(2) For the period January 1, 2019 to January 17, 2019.
	(3) For the period March 13, 2019 to December 31, 2019.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

	INVESTMENT DIVISIONS
		MFS VIT TOTAL RETURN BOND SERIES								MFS VIT VALUE SERIES								NEUBERGER BERMAN AMT MID CAP GROWTH PORTFOLIO
		2020				2019				2020				2019				2020				2019
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		145,934		$		140,342		$		7,379		$		10,212		$		(0	)	$
Net realized gain (loss) on investments			(1,764	)			(7,856	)			18,565				25,029				2,414				1,211
Change in net unrealized appreciation (depreciation) on investments			188,308				186,609				(11,585	)			73,394				4,018				2,798
Increase (decrease) in net assets resulting from operations			332,479				319,095				14,358				108,635				6,432				4,009
CONTRACT TRANSACTIONS:
Proceeds from units sold			12,008				9,212				28,046				39,490				-				-
Transfers for contract benefits and terminations			(50,944	)			(186,343	)			(6,744	)			(108,871	)			(232	)			(288	)
Net transfers			(173,133	)			3,178,917				48,932				40,796				(4,543	)			(2,064	)
Contract maintenance charges							(971	)							(306	)							(5	)
Other, net			-				-				-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			(212,069	)			3,000,815				70,234				(28,891	)			(4,775	)			(2,357	)
Total increase (decrease) in net assets			120,410				3,319,910				84,592				79,744				1,656				1,652
NET ASSETS:
Beginning of period			4,227,758				907,848				435,877				356,133				14,640				12,988
End of period	$		4,348,168		$		4,227,758		$		520,469		$		435,877		$		16,296		$		14,640
CHANGES IN UNITS OUTSTANDING:
Units issued			25,916				315,066				7,169				10,448				90				1
Units redeemed			(45,535	)			(26,014	)			(2,768	)			(12,178	)			(190	)			(88	)
Net increase (decrease)			(19,619	)			289,052				4,401				(1,730	)			(100	)			(87	)

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

	INVESTMENT DIVISIONS
		NEUBERGER BERMAN AMT MID CAP INTRINSIC VALUE PORTFOLIO								NEUBERGER BERMAN AMT SUSTAINABLE EQUITY PORTFOLIO								PIMCO VIT GLOBAL BOND OPPORTUNITIES PORTFOLIO (UNHEDGED)
		2020				2019				2020				2019				2020				2019
																						(1)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		742		$		455		$		797		$		749		$		137		$		94
Net realized gain (loss) on investments			(865	)			(33,231	)			4,866				10,230				5				27
Change in net unrealized appreciation (depreciation) on investments			9,864				134,311				20,663				17,077				81				61
Increase (decrease) in net assets resulting from operations			9,741				101,535				26,326				28,056				223				182
CONTRACT TRANSACTIONS:
Proceeds from units sold			12				-				12				-				329,804				-
Transfers for contract benefits and terminations			(424	)			(73,922	)			(1,829	)			(5,920	)			(137	)			(130	)
Net transfers			126,086				(667,392	)			(202	)			(1,233	)			(17,667	)			5,291
Contract maintenance charges							(62	)							(126	)							(9	)
Other, net			7,623				(9,195	)			-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			133,297				(750,571	)			(2,019	)			(7,279	)			312,001				5,152
Total increase (decrease) in net assets			143,038				(649,036	)			24,307				20,777				312,224				5,334
NET ASSETS:
Beginning of period			64,708				713,744				125,397				104,620				5,334				-
End of period	$		207,746		$		64,708		$		149,704		$		125,397		$		317,558		$		5,334
CHANGES IN UNITS OUTSTANDING:
Units issued			5,866				5,180				500				1,766				26,876				1,474
Units redeemed			(108	)			(34,953	)			(505	)			(2,024	)			(351	)			(974	)
Net increase (decrease)			5,758				(29,773	)			(5	)			(258	)			26,525				500
	(1) For the period March 13, 2019 to December 31, 2019.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

	INVESTMENT DIVISIONS
		PIMCO VIT HIGH YIELD PORTFOLIO								PIMCO VIT LOW DURATION PORTFOLIO								PIMCO VIT REAL RETURN PORTFOLIO
		2020				2019				2020				2019				2020				2019
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		12,366		$		11,061		$		98,340		$		206,181		$		5,766		$		6,804
Net realized gain (loss) on investments			(34	)			1,330				(5,147	)			(16,492	)			4,733				(3,595	)
Change in net unrealized appreciation (depreciation) on investments			3,727				16,486				147,464				100,737				32,865				30,780
Increase (decrease) in net assets resulting from operations			16,059				28,877				240,657				290,426				43,364				33,989
CONTRACT TRANSACTIONS:
Proceeds from units sold			68,293				35,098				30,808				-				35,891				865
Transfers for contract benefits and terminations			(5,528	)			(6,188	)			(85,791	)			(250,635	)			(4,029	)			(62,828	)
Net transfers			15,547				(19,362	)			73,579				1,876,969				5,425				(63,747	)
Contract maintenance charges							(134	)							(3,021	)							(152	)
Other, net			-				-				-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			78,311				9,414				18,595				1,623,313				37,287				(125,862	)
Total increase (decrease) in net assets			94,370				38,291				259,253				1,913,739				80,651				(91,873	)
NET ASSETS:
Beginning of period			218,781				180,490				8,036,637				6,122,898				418,355				510,228
End of period	$		313,151		$		218,781		$		8,295,890		$		8,036,637		$		499,006		$		418,355
CHANGES IN UNITS OUTSTANDING:
Units issued			3,205				2,047				17,943				124,793				7,885				3,708
Units redeemed			(328	)			(1,611	)			(16,780	)			(19,173	)			(6,370	)			(10,918	)
Net increase (decrease)			2,877				436				1,163				105,620				1,516				(7,210	)

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

	INVESTMENT DIVISIONS
		PIMCO VIT TOTAL RETURN PORTFOLIO								PIONEER REAL ESTATE SHARES VCT     PORTFOLIO								PUTNAM VT     INTERNATIONAL     GROWTH FUND
		2020				2019				2020				2019				2019
																		(1)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		93,330		$		120,776		$		1,203		$		1,575		$		-
Net realized gain (loss) on investments			46,381				(14,051	)			10,255				15,861				(3,873	)
Change in net unrealized appreciation (depreciation) on investments			211,006				210,626				(19,233	)			(1,839	)			11,607
Increase (decrease) in net assets resulting from operations			350,717				317,351				(7,775	)			15,597				7,734
CONTRACT TRANSACTIONS:
Proceeds from units sold			264,980				60,944				18,051				14,039				-
Transfers for contract benefits and terminations			(54,454	)			(269,198	)			(2,027	)			(1,993	)			(576	)
Net transfers			30,662				557,013				(3,922	)			(5,984	)			(51,941	)
Contract maintenance charges							(820	)							(44	)			(13	)
Other, net			8,259				(7,846	)			-				-				-
Increase (decrease) in net assets resulting from contract transactions			249,447				340,093				12,102				6,018				(52,530	)
Total increase (decrease) in net assets			600,164				657,444				4,327				21,615				(44,796	)
NET ASSETS:
Beginning of period			4,202,413				3,544,969				70,823				49,208				44,796
End of period	$		4,802,577		$		4,202,413		$		75,150		$		70,823		$		-
CHANGES IN UNITS OUTSTANDING:
Units issued			24,547				31,594				1,781				2,283				4
Units redeemed			(14,257	)			(14,534	)			(974	)			(1,674	)			(2,269	)
Net increase (decrease)			10,290				17,060				806				609				(2,265	)
			(1) For the period of January 1, 2019 to November 5, 2019.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

	INVESTMENT DIVISIONS
		PUTNAM VT EQUITY INCOME FUND								PUTNAM VT GLOBAL ASSET     ALLOCATION FUND								PUTNAM VT GLOBAL EQUITY FUND
		2020				2019				2020				2019				2020				2019
														(1)								(2)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		10,154		$		7,598		$		107		$		-		$		124		$		-
Net realized gain (loss) on investments			36,310				38,818				142				171				1,278				593
Change in net unrealized appreciation (depreciation) on investments			25,440				65,168				1,322				313				1,608				3,131
Increase (decrease) in net assets resulting from operations			71,904				111,584				1,571				484				3,010				3,724
CONTRACT TRANSACTIONS:
Proceeds from units sold			125,231				102,521				12				-				12				19,001
Transfers for contract benefits and terminations			(9,958	)			(48,556	)			(247	)			(142	)			(709	)			(1,164	)
Net transfers			158,635				27,549				7,403				4,808				(6,704	)			11,367
Contract maintenance charges							(247	)			(14	)			(10	)			(40	)			(49	)
Other, net			3,805				(4,985	)			-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			277,713				76,282				7,155				4,656				(7,441	)			29,155
Total increase (decrease) in net assets			349,618				187,866				8,726				5,140				(4,431	)			32,879
NET ASSETS:
Beginning of period			528,886				341,020				5,140				-				32,879				-
End of period	$		878,504		$		528,886		$		13,866		$		5,140		$		28,448		$		32,879
CHANGES IN UNITS OUTSTANDING:
Units issued			9,796				3,918				616				1,042				457				4,192
Units redeemed			(2,829	)			(1,986	)			(66	)			(648	)			(989	)			(1,725	)
Net increase (decrease)			6,967				1,932				550				394				(532	)			2,467
			(1) For the period April 8, 2019 to December 31, 2019.
			(2) For the period March 13, 2019 to December 31, 2019.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

	INVESTMENT DIVISIONS
		PUTNAM VT GROWTH OPPORTUNITIES FUND								PUTNAM VT HIGH YIELD FUND								PUTNAM VT INCOME FUND
		2020				2019				2020				2019				2020				2019
						(1)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		170		$				$		35,355		$		11,061		$		39,969		$		19,807
Net realized gain (loss) on investments			3,352				145				(2,408	)			1,330				21,756				5,206
Change in net unrealized appreciation (depreciation) on investments			66,379				507				(1,605	)			16,486				(34,984	)			36,995
Increase (decrease) in net assets resulting from operations			69,901				652				31,342				28,877				26,741				62,008
CONTRACT TRANSACTIONS:
Proceeds from units sold			60,527				3,553				5,960				35,098				232,880				229,331
Transfers for contract benefits and terminations			(4,028	)			(307	)			(5,233	)			(6,188	)			(16,728	)			(19,020	)
Net transfers			1,533,603				2,238				25,213				(19,362	)			(872,257	)			230,626
Contract maintenance charges			(126	)			(54	)							(134	)							(86	)
Other, net			-				-				3,811				-				-				-
Increase (decrease) in net assets resulting from contract transactions			1,589,976				5,430				29,750				9,414				(656,104	)			440,851
Total increase (decrease) in net assets			1,659,877				6,082				61,092				38,291				(629,364	)			502,859
NET ASSETS:
Beginning of period			6,082				-				218,781				180,490				637,949				135,090
End of period	$		1,665,959		$		6,082		$		279,873		$		218,781		$		8,585		$		637,949
CHANGES IN UNITS OUTSTANDING:
Units issued			65,407				483				2,776				2,047				39,387				47,871
Units redeemed			(3,545	)			(167	)			(1,740	)			(1,611	)			(92,319	)			(6,959	)
Net increase (decrease)			61,862				316				1,036				436				(52,932	)			40,912
			(1) For the period June 5, 2019 to December 31, 2019.

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

	INVESTMENT DIVISIONS
		PUTNAM VT     INTERNATIONAL     VALUE FUND				PUTNAM VT     SMALL CAP VALUE FUND								PUTNAM VT     SUSTAINABLE FUTURE FUND
		2020				2020				2019				2020				2019
		(1)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		-		$		37		$		26		$		546		$		868
Net realized gain (loss) on investments			159				(92	)			(33,381	)			12,259				23,233
Change in net unrealized appreciation (depreciation) on investments			2,865				320				42,499				68,145				3,659
Increase (decrease) in net assets resulting from operations			3,024				265				9,144				80,950				27,760
CONTRACT TRANSACTIONS:
Proceeds from units sold			379				12				-				34,650				23,448
Transfers for contract benefits and terminations			(33	)			(31	)			(22,076	)			(1,969	)			(2,134	)
Net transfers			244,021				1,510				(63,704	)			(13,599	)			2,810
Contract maintenance charges											(7	)							(36	)
Other, net			-				-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			244,366				1,492				(85,787	)			19,082				24,088
Total increase (decrease) in net assets			247,390				1,757				(76,643	)			100,032				51,848
NET ASSETS:
Beginning of period							1,792				78,435				139,795				87,947
End of period	$		247,390		$		3,549		$		1,792		$		239,827		$		139,795
CHANGES IN UNITS OUTSTANDING:
Units issued			18,844				168				140				1,143				810
Units redeemed			(114	)			(43	)			(7,548	)			(760	)			(241	)
Net increase (decrease)			18,731				125				(7,408	)			383				569
	(1)   For the period of April 16, 2020 to December 31, 2020

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

	INVESTMENT DIVISIONS
		ROYCE CAPITAL FUND -     SMALL-CAP PORTFOLIO								T. ROWE PRICE BLUE CHIP GROWTH     PORTFOLIO CLASS II								VAN ECK VIP EMERGING MARKETS     FUND
		2020				2019				2020				2019				2020				2019
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		543		$		652		$		-		$		-		$		1,269		$		238
Net realized gain (loss) on investments			(32,621	)			(132,075	)			377,870				168,416				1,999				1,261
Change in net unrealized appreciation (depreciation) on investments			(5,446	)			272,278				(13,258	)			317,302				8,322				12,579
Increase (decrease) in net assets resulting from operations			(37,525	)			140,855				364,613				485,718				11,590				14,078
CONTRACT TRANSACTIONS:
Proceeds from units sold			-				-				332,771				41,731				2,500				2,500
Transfers for contract benefits and terminations			(1,352	)			(5,512	)			(45,222	)			(32,925	)			(850	)			(1,054	)
Net transfers			(49,386	)			(950,696	)			(534,863	)			52,291				(240	)			-
Contract maintenance charges			(29	)			(91	)							(563	)							(7	)
Other, net			-				(29,880	)			-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			(50,768	)			(986,179	)			(247,313	)			60,534				1,410				1,439
Total increase (decrease) in net assets			(88,293	)			(845,324	)			117,300				546,252				12,999				15,517
NET ASSETS:
Beginning of period			162,366				1,007,690				2,132,838				1,586,586				61,104				45,587
End of period	$		74,073		$		162,366		$		2,250,138		$		2,132,838		$		74,103		$		61,104
CHANGES IN UNITS OUTSTANDING:
Units issued			10				42				57,523				25,706				64				55
Units redeemed			(3,846	)			(48,023	)			(81,708	)			(21,592	)			(25	)			(25	)
Net increase (decrease)			(3,836	)			(47,981	)			(24,185	)			4,114				40				30

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

STATEMENT OF CHANGES IN NET ASSETS

YEARS ENDED DECEMBER 31, 2020 AND 2019

	INVESTMENT DIVISIONS
		VAN ECK VIP GLOBAL HARD ASSETS     FUND								VICTORY RS SMALL CAP     GROWTH EQUITY VIP
		2020				2019				2020				2019
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss)	$		9,573		$		-		$		-		$		-
Net realized gain (loss) on investments			(59,850	)			(7,843	)			2,086				4,955
Change in net unrealized appreciation (depreciation) on investments			300,382				105,758				2,166				(1,822	)
Increase (decrease) in net assets resulting from operations			250,105				97,915				4,252				3,133
CONTRACT TRANSACTIONS:
Proceeds from units sold			7,132				13,020				12				-
Transfers for contract benefits and terminations			(8,437	)			(10,485	)			(356	)			(358	)
Net transfers			(86,140	)			132,763				(401	)
Contract maintenance charges							(229	)			(19	)			(25	)
Other, net			-				-				-				-
Increase (decrease) in net assets resulting from contract transactions			(87,445	)			135,069				(763	)			(383	)
Total increase (decrease) in net assets			162,660				232,984				3,488				2,750
NET ASSETS:
Beginning of period			1,012,482				779,498				9,009				6,259
End of period	$		1,175,142		$		1,012,482		$		12,497		$		9,009
CHANGES IN UNITS OUTSTANDING:
Units issued			4,543				3,813				131				1,776
Units redeemed			(5,120	)			(686	)			(170	)			(1,596	)
Net increase (decrease)			(577	)			3,127				(39	)			180

The accompanying notes are an integral part of these financial statements. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

NOTES TO FINANCIAL STATEMENTS

YEAR ENDED DECEMBER 31, 2020

1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

The COLI VUL-2 Series Account (the Series Account), a variable life separate account of Great-West Life & Annuity Insurance Company (the Company), is registered as a unit investment trust under the Investment Company Act of 1940, as amended, and exists in accordance with regulations of the Colorado Division of Insurance. It is a funding vehicle for variable life insurance policies. The Series Account consists of numerous investment divisions (Investment Divisions), each being treated as an individual accounting entity for financial reporting purposes, and each investing all of its investible assets in the named underlying mutual fund.

Under applicable insurance law, the assets and liabilities of each of the Investment Divisions of the Series Account are clearly identified and distinguished from the Company’s other assets and liabilities. The portion of the Series Account’s assets applicable to the reserves and other contract liabilities with respect to the Series Account is not chargeable with liabilities arising out of any other business the Company may conduct.

The outbreak of the novel strain of coronavirus, specifically identified as ‘COVID-19’, has resulted in governments worldwide enacting emergency measures to combat the spread of the virus. These measures, which include the implementation of travel bans, self-imposed quarantine periods and social distancing, have caused material disruption to businesses globally resulting in an economic slowdown. Global equity markets have experienced significant volatility and weakness. Governments and central banks have reacted with significant monetary and fiscal interventions designed to stabilize economic conditions. The duration and impact of the COVID-19 outbreak is unknown at this time, as is the efficacy of the government and central bank interventions. It is not possible to reliably estimate the length and severity of these developments and the impact on the financial results and condition of the Investment Divisions in future periods.

The preparation of financial statements and financial highlights of each of the Investment Divisions in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent liabilities at the date of the financial statements and financial highlights and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates. The Series Account is an investment company and, therefore, applies specialized accounting guidance in accordance with the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 “Financial Services – Investment Companies” (ASC Topic 946). The following is a summary of the significant accounting policies of the Series Account.

Security Valuation

Mutual fund investments held by the Investment Divisions are valued at the reported net asset values of such underlying mutual funds, which value their investment securities at fair value.

The Series Account classifies its valuations into three levels based upon the observability of inputs to the valuation of the Series Account’s investments. The valuation levels are not necessarily an indication of the risk or liquidity associated with the underlying investment. Classification is based on the lowest level of input significant to the fair value measurement. The three levels are defined as follows:

Level 1 – Unadjusted quoted prices for identical securities in active markets.

Level 2 – Inputs other than quoted prices included in Level 1 that are observable either directly or indirectly. These may include quoted prices for similar assets in active markets.

Level 3 – Unobservable inputs to the extent observable inputs are not available and may include prices obtained from single broker quotes. Unobservable inputs reflect the reporting entity’s own assumptions and would be based on the best information available under the circumstances.

As of December 31, 2020, the only investments of each of the Investment Divisions of the Series Account were in underlying mutual funds that are actively traded, therefore 100% of the investments are valued using Level 1 inputs.

Fund of Funds Structure Risk

Since the Series Account invests directly in underlying funds, all risks associated with the eligible underlying funds apply to the Series Account. To the extent the Series Account invests more of its assets in one underlying fund than another, the Series Account will have greater exposure to the risks of the underlying fund.

Security Transactions and Investment Income

Transactions are recorded on the trade date. Realized gains and losses on sales of investments are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date and the amounts distributed to the Investment Division for its share of dividends are reinvested in additional full and fractional shares of the related mutual funds.

Federal Income Taxes

The operations of each of the Investment Divisions of the Series Account are included in the federal income tax return of the Company, which is taxed as a life insurance company under the provisions of the Internal Revenue Code (IRC). The Company is included in the consolidated federal tax return of Great-West Lifeco U.S. Inc. Under the current provisions of the IRC, the Company does not expect to incur federal income taxes on the earnings of each of the Investment Divisions of the Series Account to the extent the earnings are credited under the contracts. Based on this, no charge is being made currently to the Series Account for federal income taxes. The Company will periodically review the status of the federal income tax policy in the event of changes in the tax law. A charge may be made in future years for any federal income taxes that would be attributable to the contracts.

Proceeds from Units Sold

Proceeds from Units Sold from contract owners by the Company are credited as accumulation units, and are reported as Contract Transactions on the Statement of Changes in Net Assets of the applicable Investment Divisions.

Net Transfers

Net transfers include transfers between Investment Divisions of the Series Account as well as transfers between other investment options of the Company, not included in the Series Account.

Other, Net

The amount reported as Other, Net on the Statement of Changes in Net Assets of the applicable Investment Divisions consist of loans from participant accounts less the loan origination fee, and loan repayments to participant accounts.

2. PURCHASES AND SALES OF INVESTMENTS

The cost of purchases and proceeds from sales of investments for the year ended December 31, 2020 were as follows:

Investment Division	Purchases		Sales
Alger Small Cap Growth Portfolio	$	108,714	$	222,396
American Century Investments VP Capital Appreciation Fund		39,799		5,986
American Century Investments VP Inflation Protection Fund		3,040,521		521,583
American Century Investments VP International Fund		10,216		19,222
American Century Investments VP Mid Cap Value Fund		1,500,310		25,670
American Century Investments VP Ultra Fund		12		13
American Century Investments VP Value Fund		760,531		600,875
American Funds IS Global Small Capitalization Fund		33,216		44,318
American Funds IS Growth and Income Fund		305		8
American Funds IS Growth Fund		849,359		1,290,393
American Funds IS International Fund		695,021		129,653
American Funds IS New World Fund		418,567		266,912
Blackrock Global Allocation VI Fund		151,945		722
Blackrock High Yield VII		29,663		12
BNY Mellon Stock Index Fund, Inc.		7,981,067		15,935,607
BNY Mellon VIF International Equity Portfolio		2,896		27,670
Clearbridge Variable Mid Cap Portfolio		67,367		48,213
Clearbridge Variable Small Cap Growth Portfolio		410,644		219,130
Columbia Variable Portfolio - Small Cap Value Fund		85,657		37,030
Davis Financial Portfolio		8,311		24,116
Davis Value Portfolio		0		1,958
Delaware VIP International Series		429,278		249,323
Delaware VIP International Value Equity Series		285,415		336,749
Delaware VIP Small Cap Value Series		313,137		88,623
DWS CROCI® U.S. VIP		25,994		109,053
DWS High Income VIP		60,919		17,626
DWS Small Cap Index VIP		2,300,352		1,276,648
DWS Small Mid Cap Value VIP		522,636		867,256
Eaton Vance VT Floating Rate Income		74,137		11
Federated Kaufmann Fund II		61,235		52,422
Fidelity VIP Contrafund Portfolio		317,912		116,535
Fidelity VIP Emerging Markets Portfolio		103,788		12
Fidelity VIP Growth Portfolio		256,897		1,651,746
Fidelity VIP Investment Grade Bond Portfolio		67,054		71,608
Fidelity VIP Mid Cap Portfolio		70,933		379,768
Goldman Sachs VIT Mid Cap Value Fund		321		33,668
Goldman Sachs VIT Multi-Strategy Alternatives Portfolio		3,234		391
Great-West Aggressive Profile Fund		129,300		119,854
Great-West Ariel Mid Cap Value Fund		104,638		47,177
Great-West Bond Index Fund		1,752,790		414,945

Investment Division	Purchases		Sales
Great-West Conservative Profile Fund		173,608		226,758
Great-West Core Bond Fund		196,439		113,440
Great-West Emerging Markets Equity Fund		120,183		41,382
Great-West Global Bond Fund		456,403		1,479,386
Great-West Government Money Market Fund		19,163,461		9,793,953
Great-West Inflation Protected Securities Investor		658,794		12
Great-West International Index Fund		3,115,798		24,986
Great-West International Value Fund		579,194		866,671
Great-West Large Cap Growth Fund		205,943		85,968
Great-West Large Cap Value Fund Investor II Class		468,226		527,642
Great-West Lifetime 2015 Fund		267,373		149,314
Great-West Lifetime 2020 Fund		166,764		33,001
Great-West Lifetime 2025 Fund		1,324,785		991,340
Great-West Lifetime 2030 Fund		1,192,150		672,023
Great-West Lifetime 2035 Fund		627,941		269,313
Great-West Lifetime 2040 Fund		910,365		348,860
Great-West Lifetime 2045 Fund		695,034		299,415
Great-West Lifetime 2050 Fund		194,335		28,706
Great-West Lifetime 2055 Fund		119,609		255,932
Great-West Mid Cap Value Fund		57,594		29,824
Great-West Moderate Profile Fund		34,808		30,876
Great-West Moderately Aggressive Profile Fund		14,601		44,503
Great-West Moderately Conservative Profile Fund		1,964,409		735,600
Great-West Multi-Sector Bond Fund		162,476		337,252
Great-West Real Estate Index Fund		209,089		131,028
Great-West S&P Mid Cap 400® Index Fund		6,892,448		1,229,139
Great-West S&P Small Cap 600® Index Fund		506,043		151,922
Great-West Short Duration Bond Fund		342,812		1,564,932
Great-West Small Cap Growth		12		13
Great-West Small Cap Value Fund		192,095		222,887
Great-West T. Rowe Price Mid Cap Growth Fund		602,667		1,574,284
Great-West U.S. Government Securities Fund		688,198		181,974
Invesco Oppenheimer V.I. Main Street Small Cap Fund		113,162		316,709
Invesco V.I. Core Equity Fund		2,885		4,077
Invesco V.I. Global Real Estate Fund		341,498		30,757
Invesco V.I. Health Care Fund		5,091		7,209
Invesco V.I. International Growth Fund		326,695		650,853
Invesco V.I. Mid Cap Core Equity Fund		146,080		42,276
Invesco V.I. Technology Fund		12,930		16,140
Janus Henderson VIT Balanced Portfolio		1,180,468		719,107
Janus Henderson VIT Enterprise Portfolio		364,583		257,120

Investment Division	Purchases		Sales
Janus Henderson VIT Flexible Bond Portfolio		1,943,203		1,260,323
Janus Henderson VIT Forty Portfolio		717,537		1,279,564
Janus Henderson VIT Global Research Portfolio		132,906		637,974
Janus Henderson VIT Global Technology Portfolio		778,336		847,548
Janus Henderson VIT Overseas Portfolio		377		947
Lord Abbett Series Developing Growth Portfolio		6,272		9,545
Lord Abbett Series Total Return Portfolio		16,937		3,878
MFS VIT Growth Series		8,333		1,862
MFS VIT II International Growth Portfolio		545,231		108,481
MFS VIT III Blended Research Small Cap Equity Portfolio		9,829		1,074
MFS VIT III Global Real Estate Portfolio		47,660		16,096
MFS VIT III Mid Cap Value Portfolio		3,226		666
MFS VIT Mid Cap Growth Series		519,452		77,328
MFS VIT Research Series		9,391		6,441
MFS VIT Total Return Bond Series		433,634		499,768
MFS VIT Value Series		131,083		32,791
Neuberger Berman AMT Mid Cap Growth Portfolio		1,955		6,731
Neuberger Berman AMT Mid Cap Intrinsic Value Portfolio		135,400		2,103
Neuberger Berman AMT Sustainable Equity Portfolio		16,012		18,032
Pimco VIT Global Bond Opportunities Portfolio (Unhedged)		315,877		3,773
Pimco VIT High Yield Portfolio		92,964		5,545
Pimco VIT Low Duration Portfolio		351,682		248,843
Pimco VIT Real Return Portfolio		161,120		119,914
Pimco VIT Total Return Portfolio		671,880		302,727
Pioneer Real Estate Shares VCT Portfolio		38,641		9,003
Putnam VT Research IA		12		13
Putnam VT Equity Income Fund		429,437		106,169
Putnam VT Global Asset Allocation Fund		8,235		876
Putnam VT Global Equity Fund		6,094		13,148
Putnam VT Growth Opportunities Fund		1,657,989		64,091
Putnam VT High Yield Fund		102,729		37,624
Putnam VT Income Fund		508,567		1,117,283
Putnam VT International Value Fund		245,593		1,227
Putnam VT Small Cap Value Fund		1,933		405
Putnam VT Sustainable Future Fund		67,325		38,512
Royce Capital Fund - Small-Cap Portfolio		0		50,768
T. Rowe Price Blue Chip Growth Portfolio II		1,285,527		1,532,840
Van Eck VIP Emerging Markets Fund		5,508		921
Van Eck VIP Global Hard Assets Fund		141,251		219,123
Victory RS Small Cap Growth Equity VIP		1,641		2,404

3. EXPENSES AND RELATED PARTY TRANSACTIONS

Cost of Insurance

The Company deducts from each participant’s account an amount to pay for the insurance provided on each life. This charge varies based on individual characteristics of the policy holder and is recorded as Transfers for contract benefits and terminations on the Statement of Changes in Net Assets of the applicable Investment Divisions.

Charges Incurred for Partial Surrenders

The Company deducts from each participant’s account a maximum administrative fee of $25 for all partial withdrawals after the first made during the same policy year. This charge is recorded as Transfers for contract benefits and terminations on the Statement of Changes in Net Assets of the applicable Investment Divisions.

Charges Incurred for Change of Death Benefit Option Fee

The Company deducts from each participant’s account a maximum fee of $100 for each change of death benefit option. This charge is recorded as Transfers for contract benefits and terminations on the Statement of Changes in Net Assets of the applicable Investment Divisions.

Transfer Fees

The Company deducts from each participant’s account a fee of $10 for each transfer between Investment Divisions in excess of 12 transfers in any calendar year. This charge is recorded as Transfers for contract benefits and terminations on the Statement of Changes in Net Assets of the applicable Investment Divisions.

Service Charge

The Company deducts from each participant’s account an amount equal to a maximum of $10 per month. This charge compensates the Company for certain administrative costs and is recorded as Contract maintenance charges on the Statement of Changes in Net Assets of the applicable Investment Divisions.

Deductions for Assumption of Mortality and Expense Risks

The Company deducts an amount, computed and accrued daily, from each participant’s account equal to an annual rate that will not exceed 0.90% annually. Currently, the charge is 0.28% for Policy Years 1 through 20 and 0.10% thereafter. These charges compensate the Company for its assumption of certain mortality, death benefit and expense risks. These charges are recorded as Transfers for contract benefits and terminations on the Statement of Changes in Net Assets of the applicable Investment Divisions.

If the above charges prove insufficient to cover actual costs and assumed risks, the loss will be borne by the Company; conversely, if the amounts deducted prove more than sufficient, the excess will be a profit to the Company.

Expense Charges Applied to Premium

The Company deducts a maximum charge of 10% from each premium payment received. A maximum of 6.5% of this charge will be deducted as sales load to compensate the Company in part for sales and promotional expenses in connection with selling the policies.

A maximum of 3.5% of this charge will be used to cover premium taxes and certain federal income tax obligations resulting from the receipt of premiums. This charge is netted with Purchase payments received on

the Statement of Changes in Net Assets of the applicable Investment Divisions.

Supplemental Benefit Charges

The Company deducts from each participant’s account an amount to pay for certain riders selected by the policy holder. This charge varies based on individual characteristics of the policy holder when the rider is added to the policy and is recorded as Transfers for contract benefits and terminations on the Statement of Changes in Net Assets of the applicable Investment Divisions.

Related Party Transactions

Great-West Funds, Inc., funds of which are underlying certain Investment Divisions, is a registered investment company affiliated with the Company. Great-West Capital Management, LLC (GWCM), a wholly owned subsidiary of the Company, serves as investment adviser to Great-West Funds, Inc. Fees are assessed against the average daily net assets of the portfolios of Great-West Funds, Inc. to compensate GWCM for investment advisory services.

4. SUBSEQUENT EVENTS

Management has reviewed all events subsequent to December 31, 2020 including the estimates inherent in the process of preparing these financial statements through the date the financial statements were issued, May 10, 2021. No subsequent events requiring adjustments or disclosures have occurred.

5. FINANCIAL HIGHLIGHTS

For each Investment Division, the accumulation units outstanding, net assets, investment income ratio, expense ratio (excluding expenses of the underlying funds), total return and accumulation unit fair values for each year or period ended December 31 are included on the following pages. The unit values in the Financial Highlights are calculated based on the net assets and accumulation units outstanding as of December 31 of each year presented and may differ from the unit value reflected on the Statement of Assets and Liabilities due to rounding.

The Expense Ratio represents the annualized contract expenses of the respective Investment Divisions of the Series Account, consisting of mortality and expense charges, for each period indicated. The ratios include only those expenses that result in a direct reduction to unit values. Charges made directly to contract owner accounts through the redemption of units and expenses of the underlying fund have been excluded.

The Total Return amounts represent the total return for the periods indicated, including changes in the value of the underlying fund, and expenses assessed through the reduction of unit values. These returns do not include any expenses assessed through the redemption of units. Investment Divisions with a date notation indicate the effective date that the investment option was available in the Series Account. The total returns are calculated for each 12-month period indicated or from the effective date through the end of the reporting period and are not annualized for periods less than one year. When a new Investment Division is added to the Series Account, the calculation of the total return begins on the day it is added even though it may not have had operations for all or some of the same period. Unit values and returns for bands or Investment Divisions that had no operations activity during the reporting period are not shown. As the total returns for the Investment Divisions are presented as a range of minimum to maximum values, based on the product grouping representing the minimum and maximum expense ratio amounts, some individual contract total returns are not within the ranges presented.

The Investment Income Ratio represents the dividends, excluding distributions of capital gains, received by the Investment Division from the underlying mutual fund divided by average net assets during the period. It is not annualized for periods less than one year. The ratio excludes those expenses, such as mortality and expense charges, that result in direct reductions in the unit values. The recognition of investment income by the Investment Division is affected by the timing of the declaration of dividends by the underlying fund in which the Investment Division invest.

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

FINANCIAL HIGHLIGHTS	At December 31							For the year or period ended December 31
INVESTMENT DIVISIONS	Units (000s)			Unit Fair Value		Net Assets (000s)		Investment      Income Ratio		Expense Ratio		Total Return
ALGER SMALL CAP GROWTH PORTFOLIO
2020		21			$              358.01		$                737		1.12 %		0.00 %		67.18  %
2019		3			$              214.15		$                536		0.00 %		0.00 %		29.34  %
2018		3			$              165.57		$                455		0.00 %		0.00 %		1.44  %
2017		3			$              163.24		$                428		0.00 %		0.00 %		28.73  %
2016		3			$              126.82		$                339		0.00 %		0.00 %		6.24  %
AMERICAN CENTURY INVESTMENTS VP CAPITAL APPRECIATION FUND
2020		19			$                25.58		$                486		0.00 %		0.00 %		42.42  %
2019		19			$                17.96		$                347		0.00 %		0.00 %		35.56  %
2018		13			$                13.24		$                174		0.00 %		0.00 %		(5.20) %
2017		6			$                13.97		$                  89		0.00 %		0.00 %		21.79  %
2016		10			$                11.47		$                119		0.00 %		0.00 %		3.23  %
AMERICAN CENTURY INVESTMENTS VP INFLATION PROTECTION FUND
2020		292			$                12.09		$             3,524		1.88 %		0.00 %		9.57  %
2019		68			$                11.03		$                754		2.34 %		0.00 %		8.90  %
2018		64			$                10.13		$                644		2.92 %		0.00 %		(2.82) %
2017		56			$                10.42		$                582		2.73 %		0.00 %		3.67  %
2016		43			$                10.05		$                433		0.72 %		0.00 %		4.39  %
AMERICAN CENTURY INVESTMENTS VP INTERNATIONAL FUND
2020		3			$                19.80		$                 67		0.60 %		0.00 %		25.89  %
2019		4			$                15.73		$                 59		0.89 %		0.00 %		28.42  %
2018		4			$                12.25		$                  52		1.24 %		0.00 %		(15.22) %
2017		4			$                14.45		$                 55		0.94 %		0.00 %		31.20  %
2016		5			$                11.01		$                 50		0.98 %		0.00 %		(5.49) %
AMERICAN CENTURY INVESTMENTS VP MID CAP VALUE FUND
(Effective date 04/28/2017)
2020		133			$                12.33		$            1,641		2.97 %		0.00 %		1.19  %
2019		3			$                12.18		$                 37		1.58 %		0.00 %		29.15  %
AMERICAN CENTURY INVESTMENTS VP VALUE FUND 2020		24			$                51.13		$            1,234		2.20 %		0.00 %		0.97  %
2019		24			$                50.64		$            1,202		2.12 %		0.00 %		27.03  %
2018		21			$                39.86		$               844		1.70 %		0.00 %		(9.15) %
2017		18			$                43.87		$               782		1.74 %		0.00 %		8.75  %
2016		13			$                40.35		$               511		1.74 %		0.00 %		20.48  %
AMERICAN FUNDS IS GLOBAL SMALL CAPITALIZATION FUND
2020		8			$                24.46		$                201		0.18 %		0.00 %		29.74  %
2019		9			$                18.85		$                177		0.18 %		0.00 %		31.52  %
2018		9			$                14.33		$                126		0.09 %		0.00 %		(10.55) %
2017		0	*		$                16.03		$                    4		0.15 %		0.00 %		25.90  %
2016		3			$                12.73		$                  42		0.21 %		0.00 %		2.09  %
AMERICAN FUNDS IS GROWTH FUND
2020		95			$                48.61		$             4,622		0.32 %		0.00 %		52.10  %
2019		114			$                31.96		$             3,640		0.83 %		0.00 %		30.77  %
2018		98			$                24.44		$             2,394		0.44 %		0.00 %		(0.25) %
2017		93			$                24.50		$             2,269		0.48 %		0.00 %		28.29  %
2016		106			$                19.10		$             2,017		0.71 %		0.00 %		9.49  %

*The Investment Division has units that round to less than 1,000 units. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

FINANCIAL HIGHLIGHTS	At December 31							For the year or period ended December 31
INVESTMENT DIVISIONS	Units (000s)			Unit Fair Value		Net Assets (000s)		Investment      Income Ratio		Expense Ratio		Total Return
AMERICAN FUNDS IS GROWTH AND INCOME FUND
(Effective date 4/30/2018)
2020		0	*		$            13.65		$                   3		1.46 %		0.00 %		13.55  %
AMERICAN FUNDS IS INTERNATIONAL FUND
2020		64			$            17.57		$            1,132		0.77 %		0.00 %		14.00  %
2019		33			$            15.41		$               501		1.06 %		0.00 %		22.89  %
2018		117			$            12.54		$            1,469		1.68 %		0.00 %		(13.14) %
2017		124			$            14.44		$            1,790		1.26 %		0.00 %		32.15  %
2016		135			$            10.93		$            1,475		1.47 %		0.00 %		3.53  %
AMERICAN FUNDS IS NEW WORLD FUND
2020		69			$            31.32		$            2,150		0.08 %		0.00 %		23.60  %
2019		64			$            25.34		$            1,633		0.94 %		0.00 %		29.14  %
2018		80			$            19.62		$            1,568		0.86 %		0.00 %		(14.04) %
2017		80			$            22.83		$            1,823		0.95 %		0.00 %		29.45  %
2016		76			$            17.64		$            1,336		0.81 %		0.00 %		5.26  %
BLACKROCK GLOBAL ALLOCATION VI FUND
(Effective date 04/29/2016)
2020		10			$            15.58		$               158		1.56 %		0.00 %		20.96  %
2019		0	*		$            12.88		$                   5		1.11 %		0.00 %		17.99  %
2018		2			$            10.91		$                 21		0.99 %		0.00 %		(7.34) %
BLACKROCK HIGH YIELD V.I. I
(Effective date 06/20/2019)
2020		3			$            11.26		$                 30		0.00 %		0.00 %		7.30  %
BNY MELLON STOCK INDEX FUND
2020		692			$            36.49		$          25,248		1.66 %		0.00 %		18.01  %
2019		988			$            30.92		$          30,559		1.72 %		0.00 %		31.18  %
2018		1,060			$            23.57		$          24,987		1.67 %		0.00 %		(4.64) %
2017		1,048			$            24.72		$          25,895		1.72 %		0.00 %		21.54  %
2016		1,044			$            20.34		$          21,227		2.02 %		0.00 %		11.71  %
CLEARBRIDGE VARIABLE MID CAP PORTFOLIO
(Effective date 04/29/2016)
2020		9			$            16.82		$               155		0.31 %		0.00 %		15.34  %
2019		8			$            14.58		$               121		0.85 %		0.00 %		32.95  %
2018		4			$            10.96		$                 48		0.65 %		0.00 %		(12.52) %
2017		1			$            12.54		$                 14		0.43 %		0.00 %		12.80  %
CLEARBRIDGE VARIABLE SMALL CAP GROWTH PORTFOLIO
(Effective date 04/29/2016)
2020		18			$            26.47		$               489		0.00 %		0.00 %		43.26  %
2019		11			$            18.48		$               211		0.00 %		0.00 %		26.87  %
2018		4			$            14.56		$                 53		0.00 %		0.00 %		3.44  %
2017		4			$            14.08		$                 49		0.00 %		0.00 %		24.27  %
COLUMBIA VARIABLE PORTFOLIO - SMALL CAP VALUE FUND
2020		7			$            35.67		$               154		0.74 %		0.00 %		8.79  %
2019		4			$            32.79		$               141		0.64 %		0.00 %		21.34  %
2018		2			$            27.02		$                 56		0.41 %		0.00 %		(18.01) %
2017		2			$            32.96		$                 68		0.63 %		0.00 %		14.31  %
2016		4			$            28.83		$               120		0.72 %		0.00 %		33.05  %
DAVIS FINANCIAL PORTFOLIO
2020		1			$            25.89		$                 37		1.57 %		0.00 %		(5.99) %
2019		2			$            27.54		$                 58		1.57 %		0.00 %		25.86  %
2018		2			$            21.88		$                 41		1.35 %		0.00 %		(10.67) %
2017		2			$            24.50		$                 41		1.05 %		0.00 %		21.42  %
2016		0	*		$            20.18		$                   6		0.85 %		0.00 %		14.25  %

*The Investment Division has units that round to less than 1,000 units. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

FINANCIAL HIGHLIGHTS	At December 31						For the year or period ended December 31
INVESTMENT DIVISIONS	Units (000s)		Unit Fair Value		Net Assets (000s)		Investment    Income Ratio		Expense Ratio		Total Return
DAVIS VALUE PORTFOLIO
2020		4		$            31.94		$               139		0.81 %		0.00 %		11.73  %
2019		4		$            28.59		$               127		1.65 %		0.00 %		31.16  %
2018		5		$            21.80		$                 98		0.87 %		0.00 %		(13.60) %
2017		5		$            25.23		$               116		0.62 %		0.00 %		22.63  %
2016		16		$            20.57		$               338		1.21 %		0.00 %		11.88  %
DELAWARE VIP INTERNATIONAL SERIES
(Effective date 12/11/2020)
2020		18		$            10.18		$               183		0.00 %		0.00 %		1.81  %
DELAWARE VIP SMALL CAP VALUE SERIES
2020		25		$            14.84		$               369		1.10 %		0.00 %		(2.19) %
2019		9		$            15.17		$               142		0.90 %		0.00 %		27.72  %
2018		3		$            11.88		$                 32		0.61 %		0.00 %		(16.95) %
2017		4		$            14.30		$                 52		0.53 %		0.00 %		11.76  %
2016		1		$            12.79		$                 14		0.73 %		0.00 %		31.07  %
DWS CROCI® U.S. VIP
2020		8		$            16.86		$               143		2.02 %		0.00 %		(12.14) %
2019		15		$            19.19		$               285		1.97 %		0.00 %		32.95  %
2018		19		$            14.44		$               281		2.62 %		0.00 %		(10.50) %
2017		19		$            16.13		$               309		1.41 %		0.00 %		22.88  %
2016		24		$            13.13		$               311		1.10 %		0.00 %		(4.38) %
DWS HIGH INCOME VIP
2020		8		$            22.01		$               168		5.16 %		0.00 %		6.22  %
2019		6		$            20.72		$               119		6.03 %		0.00 %		15.69  %
2018		4		$            17.91		$                 65		8.15 %		0.00 %		(2.52) %
2017		3		$            18.37		$                 55		6.64 %		0.00 %		7.50  %
2016		3		$            17.09		$                 46		5.09 %		0.00 %		12.87  %
DWS SMALL CAP INDEX VIP
2020		265		$            32.48		$            8,594		1.30 %		0.00 %		19.42  %
2019		268		$            27.20		$            7,280		1.06 %		0.00 %		25.22  %
2018		272		$            21.72		$            5,913		0.95 %		0.00 %		(11.23) %
2017		268		$            24.47		$            6,559		0.72 %		0.00 %		14.33  %
2016		144		$            21.40		$            3,089		1.07 %		0.00 %		21.03  %
DWS SMALL MID CAP VALUE VIP
2020		49		$            26.80		$            1,322		1.61 %		0.00 %		(0.79) %
2019		65		$            27.01		$            1,768		0.72 %		0.00 %		21.51  %
2018		70		$            22.23		$            1,556		1.37 %		0.00 %		(16.01) %
2017		64		$            26.47		$            1,695		0.73 %		0.00 %		10.52  %
2016		64		$            23.95		$            1,544		0.60 %		0.00 %		16.89  %
EATON VANCE VT FLOATING-RATE INCOME FUND
(Effective date 04/29/2016)
2020		6		$            11.89		$                 74		0.27 %		0.00 %		2.02  %
FEDERATED HERMES KAUFMANN FUND II
2020		6		$            45.93		$               262		0.00 %		0.00 %		28.81  %
2019		6		$            35.66		$               207		0.00 %		0.00 %		33.82  %
2018		5		$            26.65		$               144		0.00 %		0.00 %		3.84  %
2017		5		$            25.66		$               136		0.00 %		0.00 %		28.33  %
2016		3		$            20.00		$                 65		0.00 %		0.00 %		3.66  %
FIDELITY VIP CONTRAFUND PORTFOLIO
2020		35		$            56.03		$             1,949		0.04 %		0.08 %		30.22  %
2019		31		$            43.03		$             1,336		0.23 %		0.00 %		31.28  %
2018		81		$            32.78		$             2,660		0.44 %		0.00 %		(6.64) %
2017		82		$            35.11		$             2,872		0.81 %		0.00 %		21.59  %
2016		81		$            28.87		$             2,336		0.62 %		0.00 %		7.73  %

*The Investment Division has units that round to less than 1,000 units. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

FINANCIAL HIGHLIGHTS	At December 31						For the year or period ended December 31
INVESTMENT DIVISIONS	Units (000s)		Unit Fair Value		Net Assets (000s)		Investment    Income Ratio		Expense Ratio		Total Return
FIDELITY VIP EMERGING MARKETS PORTFOLIO
(Effective date 06/20/2019)
2020		7		$            14.09		$               104		0.00 %		0.00 %		30.88  %
FIDELITY VIP GROWTH PORTFOLIO
2020		1		$            44.59		$                 48		0.05 %		0.00 %		43.53  %
2019		36		$            31.07		$            1,109		0.05 %		0.00 %		33.98  %
2018		32		$            23.19		$               739		0.03 %		0.00 %		(0.43) %
2017		34		$            23.29		$               791		0.10 %		0.00 %		34.82  %
2016		55		$            17.27		$               952		0.00 %		0.00 %		0.55  %
FIDELITY VIP INVESTMENT GRADE BOND PORTFOLIO
2020		15		$            25.73		$               394		2.21 %		0.00 %		9.16  %
2019		16		$            23.57		$               370		2.54 %		0.00 %		9.40  %
2018		13		$            21.54		$               280		2.33 %		0.00 %		(0.79) %
2017		23		$            21.71		$               496		1.93 %		0.00 %		3.99  %
2016		38		$            20.88		$               793		2.27 %		0.00 %		4.48  %
FIDELITY VIP MID CAP PORTFOLIO
2020		8		$            68.18		$               519		0.36 %		0.00 %		17.86  %
2019		13		$            57.85		$               759		0.56 %		0.00 %		23.17  %
2018		19		$            46.96		$               885		0.42 %		0.00 %		(14.77) %
2017		17		$            55.10		$               952		0.50 %		0.00 %		20.54  %
2016		21		$            45.71		$               965		0.33 %		0.00 %		11.92  %
GOLDMAN SACHS VIT MID CAP VALUE FUND
2020		4		$            19.55		$                 76		0.68 %		0.00 %		8.38  %
2019		6		$            18.04		$               103		0.78 %		0.00 %		31.52  %
2018		3		$            13.71		$                 45		1.57 %		0.00 %		(10.46) %
2017		1		$            15.32		$                 21		0.97 %		0.00 %		11.07  %
2016		1		$            13.79		$                 10		1.28 %		0.00 %		13.53  %
GOLDMAN SACHS VIT MULTI-STRATEGY ALTERNATIVES PORTFOLIO
(Effective date 04/29/2016)
2020		1		$            11.61		$                   9		2.58 %		0.00 %		6.72  %
2019		1		$            10.87		$                   5		2.67 %		0.00 %		8.82  %
GREAT-WEST AGGRESSIVE PROFILE FUND
(Effective date 04/28/2017)
2020		43		$            14.27		$               618		1.71 %		0.00 %		12.03  %
2019		44		$            12.74		$               566		1.29 %		0.00 %		26.10  %
2018		107		$            10.11		$            1,084		2.98 %		0.00 %		(10.41) %
2017		59		$            11.28		$               666		2.00 %		0.00 %		12.80  %
GREAT-WEST ARIEL MID CAP VALUE FUND
2020		6		$            60.70		$               345		2.85 %		0.00 %		9.09  %
2019		5		$            55.64		$               262		1.32 %		0.00 %		24.32  %
2018		4		$            44.76		$               197		0.69 %		0.00 %		(14.40) %
2017		8		$            52.29		$               398		2.07 %		0.00 %		15.01  %
2016		13		$            45.47		$               596		1.42 %		0.00 %		13.05  %
GREAT-WEST BOND INDEX FUND
2020		235		$            16.47		$            3,872		1.81 %		0.00 %		7.18  %
2019		155		$            15.37		$            2,378		1.08 %		0.00 %		8.09  %
2018		139		$            14.22		$            1,976		1.33 %		0.00 %		(0.41) %
2017		145		$            14.28		$            2,070		1.04 %		0.00 %		3.05  %
2016		142		$            13.86		$            1,963		0.96 %		0.00 %		1.94  %

(Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

FINANCIAL HIGHLIGHTS	At December 31							For the year or period ended December 31
INVESTMENT DIVISIONS	Units (000s)			Unit Fair Value		Net Assets (000s)		Investment    Income Ratio		Expense Ratio		Total Return
GREAT-WEST CONSERVATIVE PROFILE FUND
(Effective date 04/28/2017)
2020		90			$            12.19		$              1,096		2.14 %		0.00 %		8.22  %
2019		97			$            11.26		$              1,087		1.72 %		0.00 %		11.54  %
2018		78			$            10.10		$                 792		8.65 %		0.00 %		(3.15) %
2017		9			$            10.42		$                   96		1.81 %		0.00 %		4.24  %
GREAT-WEST CORE BOND FUND
2020		164			$            16.97		$              2,776		2.80 %		0.00 %		8.04  %
2019		162			$            15.71		$              2,541		2.43 %		0.00 %		9.19  %
2018		166			$            14.39		$              2,394		2.39 %		0.00 %		(1.21) %
2017		163			$            14.57		$              2,376		1.95 %		0.00 %		3.89  %
2016		168			$            14.02		$              2,349		3.06 %		0.00 %		4.70  %
GREAT-WEST EMERGING MARKETS EQUITY FUND
(Effective date 04/30/2018)
2020		8			$            12.00		$                   96		9.53 %		0.00 %		19.59  %
2019		0	*		$            10.03		$                     3		0.98 %		0.00 %		21.67  %
2018		0	*		$              8.24		$                     2		0.82 %		0.00 %		(17.55) %
GREAT-WEST GLOBAL BOND FUND
2020		109			$            15.57		$              1,696		1.02 %		0.00 %		5.35  %
2019		182			$            14.78		$              2,696		3.22 %		0.00 %		4.07  %
2018		336			$            14.20		$              4,773		2.55 %		0.00 %		(0.27) %
2017		352			$            14.24		$              5,014		1.77 %		0.00 %		1.95  %
2016		304			$            13.97		$              4,248		1.33 %		0.00 %		2.98  %
GREAT-WEST GOVERNMENT MONEY MARKET FUND
2020		1,744			$            13.52		$            23,577		0.23 %		0.00 %		0.28  %
2019		1,054			$            13.48		$            14,207		1.72 %		0.00 %		1.76  %
2018		656			$            13.25		$              8,692		1.37 %		0.00 %		1.39  %
2017		829			$            13.07		$            10,837		0.38 %		0.00 %		0.41  %
2016		1,015			$            13.01		$            13,203		0.00 %		0.00 %		0.00  %
GREAT-WEST INFLATION-PROTECTED SECURITIES FUND
(Effective date 04/30/2018)
2020		58			$            11.39		$                 660		0.00 %		0.00 %		7.57  %
GREAT-WEST INTERNATIONAL INDEX FUND
2020		225			$            14.54		$              3,267		17.50 %		0.00 %		7.52  %
2019		0	*		$            13.54		$                     1		0.50 %		0.00 %		21.25  %
2018		5			$            11.15		$                   54		2.16 %		0.00 %		(13.84) %
2017		4			$            12.94		$                   49		2.03 %		0.00 %		24.62  %
2016		0	*		$            10.39		$                     4		0.34 %		0.00 %		0.66  %
GREAT-WEST INTERNATIONAL VALUE FUND
2020		340			$            15.56		$              5,286		1.06 %		0.00 %		9.76  %
2019		363			$            14.18		$              5,149		1.25 %		0.00 %		22.07  %
2018		436			$            11.62		$              5,064		1.55 %		0.00 %		(15.58) %
2017		308			$            13.76		$              4,235		1.03 %		0.00 %		26.46  %
2016		328			$            10.88		$              3,567		0.57 %		0.00 %		3.88  %
GREAT-WEST LARGE CAP GROWTH FUND
2020		3			$            60.76		$                 180		4.14 %		0.00 %		41.45  %
2019		0	*		$            42.94		$                   19		0.09 %		0.00 %		36.21  %
2018		7			$            31.53		$                 207		0.25 %		0.00 %		0.05  %
2017		7			$            31.51		$                 224		0.78 %		0.00 %		30.05  %
2016		7			$            24.23		$                 158		0.17 %		0.00 %		1.01  %

*The Investment Division has units that round to less than 1,000 units. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

FINANCIAL HIGHLIGHTS	At December 31						For the year or period ended December 31
INVESTMENT DIVISIONS	Units (000s)		Unit Fair Value		Net Assets (000s)		Investment    Income Ratio		Expense Ratio		Total Return
GREAT-WEST LARGE CAP VALUE FUND INVESTOR II CLASS
(Effective date 10/25/2019)
2020		216		$            11.11		$            2,403		1.26 %		0.00 %		3.90  %
2019		228		$            10.69		$            2,436		0.60 %		0.00 %		6.91  %
GREAT-WEST LIFETIME 2015 FUND
(Effective date 04/21/2016)
2020		115		$            14.16		$            1,625		1.99 %		0.00 %		10.98  %
2019		108		$            12.76		$            1,381		1.35 %		0.00 %		15.17  %
2018		149		$            11.08		$            1,647		2.48 %		0.00 %		(4.41) %
2017		62		$            11.59		$               724		1.90 %		0.00 %		11.12  %
2016		22		$            10.43		$               227		2.01 %		0.00 %		4.29  %
GREAT-WEST LIFETIME 2020 FUND
(Effective date 04/29/2016)
2020		47		$            14.52		$               675		2.33 %		0.00 %		11.29  %
2019		38		$            13.05		$               492		1.84 %		0.00 %		16.44  %
2018		40		$            11.20		$               444		2.91 %		0.00 %		(4.95) %
2017		6		$            11.79		$                 69		4.04 %		0.00 %		12.44  %
GREAT-WEST LIFETIME 2025 FUND
(Effective date 04/21/2016)
2020		317		$            14.97		$            4,743		2.09 %		0.00 %		12.24  %
2019		305		$            13.34		$            4,074		1.60 %		0.00 %		18.01  %
2018		191		$            11.30		$            2,159		2.12 %		0.00 %		(5.74) %
2017		151		$            11.99		$            1,806		2.00 %		0.00 %		14.14  %
2016		86		$            10.51		$               901		2.20 %		0.00 %		5.06  %
GREAT-WEST LIFETIME 2030 FUND
(Effective date 04/29/2016)
2020		153		$            15.54		$            2,377		2.38 %		0.00 %		12.59  %
2019		119		$            13.80		$            1,637		2.07 %		0.00 %		20.01  %
2018		105		$            11.50		$            1,211		2.91 %		0.00 %		(6.73) %
2017		66		$            12.33		$               820		4.73 %		0.00 %		16.17  %
2016		9		$            10.61		$                 93		1.18 %		0.00 %		6.11  %
GREAT-WEST LIFETIME 2035 FUND
(Effective date 04/21/2016)
2020		110		$            15.99		$            1,757		2.31 %		0.00 %		13.27  %
2019		89		$            14.12		$            1,250		1.50 %		0.00 %		22.17  %
2018		134		$            11.55		$            1,549		2.30 %		0.00 %		(7.86) %
2017		44		$            12.54		$               552		2.16 %		0.00 %		18.36  %
2016		23		$            10.60		$               249		2.11 %		0.00 %		5.96  %
GREAT-WEST LIFETIME 2040 FUND
(Effective date 04/29/2016)
2020		87		$            16.43		$            1,424		2.85 %		0.00 %		13.61  %
2019		53		$            14.46		$               771		1.95 %		0.00 %		23.82  %
2018		50		$            11.68		$               580		2.75 %		0.00 %		(8.75) %
2017		37		$            12.80		$               477		5.96 %		0.00 %		19.53  %
2016		8		$            10.71		$                 88		2.39 %		0.00 %		7.09  %
GREAT-WEST LIFETIME 2045 FUND
(Effective date 04/21/2016)
2020		71		$            16.46		$            1,170		2.47 %		0.00 %		13.92  %
2019		47		$            14.45		$               675		1.58 %		0.00 %		24.59  %
2018		42		$            11.60		$               486		1.88 %		0.00 %		(9.36) %
2017		26		$            12.80		$               337		2.03 %		0.00 %		20.43  %
2016		13		$            10.63		$               138		1.82 %		0.00 %		6.29  %

*The Investment Division has units that round to less than 1,000 units. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

FINANCIAL HIGHLIGHTS	At December 31							For the year or period ended December 31
INVESTMENT DIVISIONS	Units (000s)			Unit Fair Value		Net Assets (000s)		Investment    Income Ratio		Expense Ratio		Total Return
GREAT-WEST LIFETIME 2050 FUND
(Effective date 04/29/2016)
2020		25			$            16.63		$               415		2.33 %		0.00 %		13.96  %
2019		15			$            14.59		$               213		1.53 %		0.00 %		24.82  %
2018		20			$            11.69		$               228		2.77 %		0.00 %		(9.53) %
2017		15			$            12.92		$               196		3.54 %		0.00 %		20.59  %
GREAT-WEST LIFETIME 2055 FUND
(Effective date 04/21/2016)
2020		24			$            16.45		$               394		1.19 %		0.00 %		13.95  %
2019		34			$            14.44		$               485		2.24 %		0.00 %		24.69  %
2018		15			$            11.58		$               173		1.61 %		0.00 %		(9.74) %
2017		11			$            12.83		$               143		1.82 %		0.00 %		20.80  %
2016		5			$            10.62		$                 56		1.71 %		0.00 %		6.21  %
GREAT-WEST SMALL CAP VALUE FUND
2020		23			$            45.16		$            1,032		0.00 %		0.00 %		3.20  %
2019		22			$            43.76		$               980		0.00 %		0.00 %		24.67  %
2018		22			$            35.10		$               756		0.00 %		0.00 %		(16.20) %
2017		20			$            41.89		$               831		0.08 %		0.00 %		9.74  %
2016		19			$            38.17		$               735		0.08 %		0.00 %		25.83  %
GREAT-WEST MID CAP VALUE FUND
2020		8			$            13.91		$               105		0.92 %		0.00 %		(0.35) %
2019		6			$            13.96		$                 79		0.17 %		0.00 %		20.49  %
2018		7			$            11.58		$                 81		4.81 %		0.00 %		(12.31) %
2017		4			$            13.21		$                 50		13.64 %		0.00 %		16.99  %
2016		0	*		$            11.24		$                   1		1.56 %		0.00 %		20.29  %
GREAT-WEST MODERATE PROFILE FUND
(Effective date 04/28/2017)
2020		26			$            13.23		$               338		1.59 %		0.00 %		11.23  %
2019		26			$            11.89		$               311		2.04 %		0.00 %		17.52  %
2018		28			$            10.12		$               283		3.33 %		0.00 %		(6.29) %
2017		6			$            10.80		$                 67		1.51 %		0.00 %		7.96  %
GREAT-WEST MODERATELY AGGRESSIVE PROFILE FUND
(Effective date 04/28/2017)
2020		6			$            13.60		$                 83		2.01 %		0.00 %		11.77  %
2019		9			$            12.17		$               109		1.69 %		0.00 %		20.35  %
2018		8			$            10.11		$                 77		3.06 %		0.00 %		(7.63) %
2017		2			$            10.95		$                 20		1.15 %		0.00 %		9.49  %
GREAT-WEST MODERATELY CONSERVATIVE PROFILE FUND
(Effective date 04/28/2017)
2020		111			$            12.67		$            1,401		1.78 %		0.00 %		9.52  %
2019		12			$            11.57		$               133		1.97 %		0.00 %		14.45  %
2018		9			$            10.10		$                 87		2.97 %		0.00 %		(4.72) %
2017		5			$            10.61		$                 54		1.43 %		0.00 %		6.06  %
GREAT-WEST MULTI-SECTOR BOND FUND
2020		9			$            46.33		$               403		2.88 %		0.00 %		9.09  %
2019		13			$            42.47		$               566		1.72 %		0.00 %		11.74  %
2018		13			$            38.01		$               507		2.44 %		0.00 %		(3.11) %
2017		15			$            39.23		$               573		1.66 %		0.00 %		6.27  %
2016		21			$            36.91		$               790		2.33 %		0.00 %		11.38  %

*The Investment Division has units that round to less than 1,000 units. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

FINANCIAL HIGHLIGHTS	At December 31						For the year or period ended December 31
INVESTMENT DIVISIONS	Units (000s)		Unit Fair Value		Net Assets (000s)		Investment    Income Ratio		Expense Ratio		Total Return
GREAT-WEST REAL ESTATE INDEX FUND
2020		22		$            13.53		$               301		1.62 %		0.00 %		(11.57) %
2019		18		$            15.30		$               269		0.95 %		0.00 %		22.40  %
2018		16		$            12.50		$               195		2.17 %		0.00 %		(4.85) %
2017		5		$            13.14		$                 63		0.84 %		0.00 %		3.10  %
GREAT-WEST S&P MID CAP 400® INDEX FUND
2020		353		$            21.92		$            7,744		3.45 %		0.00 %		13.10  %
2019		84		$            19.38		$            1,621		0.32 %		0.00 %		25.49  %
2018		90		$            15.44		$            1,388		0.69 %		0.00 %		(11.57) %
2017		65		$            17.46		$            1,141		0.66 %		0.00 %		15.65  %
2016		28		$            15.10		$               420		0.61 %		0.00 %		19.96  %
GREAT-WEST S&P SMALL CAP 600® INDEX FUND
(Effective date 02/29/2016)
2020		25		$            18.49		$               469		2.82 %		0.00 %		10.93  %
2019		2		$            16.67		$                 40		0.89 %		0.00 %		22.36  %
2018		1		$            12.92		$                 14		1.20 %		0.00 %		(8.99) %
2017		9		$            14.97		$               142		1.51 %		0.00 %		12.75  %
2016		10		$            13.28		$               129		1.00 %		0.00 %		32.77  %
GREAT-WEST SHORT DURATION BOND FUND
2020		447		$            15.55		$            6,957		1.96 %		0.00 %		4.65  %
2019		534		$            14.86		$            7,942		2.07 %		0.00 %		5.40  %
2018		542		$            14.10		$            7,645		1.83 %		0.00 %		0.63  %
2017		684		$            14.01		$            9,588		1.15 %		0.00 %		1.96  %
2016		527		$            13.74		$            7,238		1.52 %		0.00 %		1.70  %
GREAT-WEST T. ROWE PRICE MID CAP GROWTH FUND
2020		42		$            69.13		$            2,882		0.00 %		0.00 %		24.10  %
2019		62		$            55.70		$            3,447		0.01 %		0.00 %		31.28  %
2018		89		$            42.43		$            3,763		0.09 %		0.00 %		(2.33) %
2017		72		$            43.44		$            3,121		0.34 %		0.00 %		24.43  %
2016		86		$            34.91		$            3,009		0.06 %		0.00 %		6.18  %
GREAT-WEST U.S. GOVERNMENT SECURITIES FUND
2020		3,947		$            24.88		$            3,947		0.91 %		0.00 %		5.86  %
2019		140		$            23.50		$            3,279		1.55 %		0.00 %		6.12  %
2018		134		$            22.14		$            2,964		1.90 %		0.00 %		0.46  %
2017		162		$            22.04		$            3,567		1.35 %		0.00 %		2.22  %
2016		178		$            21.56		$            3,841		1.71 %		0.00 %		1.22  %
INVESCO OPPENHEIMER V.I. MAIN STREET SMALL CAP FUND
2020		346		$            17.14		$               346		0.76 %		0.00 %		19.89  %
2019		33		$            14.30		$               471		0.25 %		0.00 %		26.47  %
2018		81		$            11.30		$               913		0.34 %		0.00 %		(10.32) %
2017		53		$            12.60		$               664		1.25 %		0.00 %		14.16  %
2016		23		$            11.04		$               253		0.01 %		0.00 %		18.05  %
INVESCO V.I. CORE EQUITY FUND
2020		25		$            31.35		$                 25		1.44 %		0.00 %		13.87  %
2019		1		$            27.53		$                 22		0.94 %		0.00 %		28.96  %
2018		1		$            21.35		$                 19		0.91 %		0.00 %		(9.40) %
2017		7		$            23.57		$               160		0.95 %		0.00 %		13.17  %
2016		7		$            20.82		$               147		0.76 %		0.00 %		10.26  %
INVESCO V.I. GLOBAL REAL ESTATE FUND
2020		1,418		$            39.83		$            1,418		5.94 %		0.00 %		(12.32) %
2019		27		$            45.43		$            1,224		4.23 %		0.00 %		23.00  %
2018		40		$            36.93		$            1,471		3.70 %		0.00 %		(6.15) %
2017		44		$            39.36		$            1,713		3.23 %		0.00 %		13.05  %
2016		43		$            34.81		$            1,494		1.60 %		0.00 %		2.04  %

(Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

FINANCIAL HIGHLIGHTS	At December 31						For the year or period ended December 31
INVESTMENT DIVISIONS	Units (000s)		Unit Fair Value		Net Assets (000s)		Investment    Income Ratio			Expense Ratio		Total Return
INVESCO V.I. HEALTH CARE FUND
2020		71	$	46.61	$	58		0.35	%		0.00 %		14.44  %
2019		2	$	40.73	$	64		0.03	%		0.00 %		32.50  %
2018		3	$	30.73	$	81		0.00	%		0.00 %		0.91  %
2017		3	$	30.46	$	88		0.37	%		0.00 %		15.83  %
2016		4	$	26.30	$	112		0.00	%		0.00 %		(11.46) %
INVESCO V.I. INTERNATIONAL GROWTH FUND
2020		175	$	22.34	$	3,913		2.55	%		0.00 %		13.98  %
2019		193	$	19.60	$	3,789		1.61	%		0.00 %		28.57  %
2018		203	$	15.24	$	3,100		2.18	%		0.00 %		(14.97) %
2017		191	$	17.93	$	3,432		1.46	%		0.00 %		23.00  %
2016		191	$	14.57	$	2,779		1.43	%		0.00 %		(0.45) %
INVESCO V.I. MID CAP CORE EQUITY FUND
2020		13	$	30.84	$	395		0.87	%		0.00 %		9.27  %
2019		9	$	28.22	$	247		0.51	%		0.00 %		25.28  %
2018		9	$	22.53	$	196		0.57	%		0.00 %		(11.35) %
2017		7	$	25.41	$	180		0.36	%		0.00 %		14.92  %
2016		19	$	22.12	$	412		0.07	%		0.00 %		13.43  %
INVESCO V.I. TECHNOLOGY FUND
2020		3	$	48.87	$	129		0.00	%		0.00 %		46.10  %
2019		3	$	33.45	$	94		0.00	%		0.00 %		35.88  %
2018		5	$	24.62	$	129		0.00	%		0.00 %		(0.45) %
2017		7	$	24.73	$	169		0.00	%		0.00 %		35.13  %
2016		9	$	18.30	$	171		0.00	%		0.00 %		(0.75) %
JANUS HENDERSON VIT BALANCED PORTFOLIO
2020		79	$	43.34	$	3,426		2.68	%		0.00 %		14.32  %
2019		71	$	37.91	$	2,698		2.00	%		0.00 %		22.59  %
2018		71	$	30.93	$	2,200		2.09	%		0.00 %		0.68  %
2017		75	$	30.72	$	2,294		1.69	%		0.00 %		18.43  %
2016		46	$	25.94	$	1,183		2.26	%		0.00 %		4.61  %
JANUS HENDERSON VIT ENTERPRISE PORTFOLIO
(Effective date 04/28/2017)
2020		41	$	18.81	$	776		0.13	%		0.00 %		19.50  %
2019		39	$	15.74	$	611		0.13	%		0.00 %		35.48  %
JANUS HENDERSON VIT FLEXIBLE BOND PORTFOLIO
2020		87	$	31.88	$	2,760		3.27	%		0.00 %		10.48  %
2019		64	$	28.86	$	1,853		3.61	%		0.00 %		9.57  %
2018		69	$	26.34	$	1,805		3.63	%		0.00 %		(1.00) %
2017		60	$	26.60	$	1,597		3.13	%		0.00 %		3.62  %
2016		77	$	25.68	$	1,989		2.55	%		0.00 %		2.47  %
JANUS HENDERSON VIT FORTY PORTFOLIO
2020		32	$	87.05	$	2,763		0.80	%		0.00 %		39.40  %
2019		41	$	62.45	$	2,541		0.16	%		0.00 %		37.16  %
2018		50	$	45.53	$	2,257		1.39	%		0.00 %		1.98  %
2017		39	$	44.64	$	1,732		0.00	%		0.00 %		30.31  %
2016		94	$	34.26	$	3,231		0.00	%		0.00 %		2.20  %
JANUS HENDERSON VIT GLOBAL RESEARCH PORTFOLIO
2020		16	$	20.03	$	319		0.70	%		0.00 %		20.08  %
2019		44	$	16.68	$	734		0.95	%		0.00 %		29.04  %
2018		59	$	12.93	$	757		1.15	%		0.00 %		(6.87) %
2017		58	$	13.88	$	800		0.85	%		0.00 %		27.03  %
2016		56	$	10.93	$	615		1.10	%		0.00 %		2.06  %

(Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

FINANCIAL HIGHLIGHTS	At December 31							For the year or period ended December 31
INVESTMENT DIVISIONS	Units (000s)			Unit Fair Value		Net Assets (000s)		Investment    Income Ratio		Expense Ratio		Total Return
JANUS HENDERSON VIT GLOBAL TECHNOLOGY AND INNOVATION PORTFOLIO
2020		25			$            92.37		$            2,347		0.00 %		0.00 %		51.18  %
2019		29			$            61.10		$            1,764		0.41 %		0.00 %		45.17  %
2018		22			$            42.08		$               922		1.00 %		0.00 %		1.19  %
2017		8			$            41.59		$               334		0.47 %		0.00 %		45.09  %
2016		4			$            28.67		$               114		0.19 %		0.00 %		14.21  %
JANUS HENDERSON VIT OVERSEAS PORTFOLIO
2020		2			$            36.52		$                 70		1.50 %		0.00 %		16.28  %
2019		2			$            31.41		$                 62		1.92 %		0.00 %		27.02  %
2018		2			$            24.73		$                 49		1.76 %		0.00 %		(14.94) %
2017		2			$            29.07		$                 59		1.64 %		0.00 %		31.12  %
2016		3			$            22.17		$                 56		4.48 %		0.00 %		(6.45) %
LORD ABBETT SERIES DEVELOPING GROWTH PORTFOLIO
2020		8			$            26.47		$               222		0.00 %		0.00 %		72.57  %
2019		9			$            15.34		$               131		0.00 %		0.00 %		31.77  %
2018		7			$            11.64		$                 81		0.00 %		0.00 %		4.88  %
2017		2			$            11.10		$                 27		0.00 %		0.00 %		29.92  %
2016		2			$              8.54		$                 21		0.00 %		0.00 %		(2.61) %
LORD ABBETT SERIES TOTAL RETURN PORTFOLIO
(Effective date 04/30/2018)
2020		2			$            11.77		$                 21		3.76 %		0.00 %		7.43  %
2019		1			$            10.97		$                   7		3.00 %		0.00 %		8.41  %
MFS VIT GROWTH SERIES
(Effective date 04/30/2018)
2020		1			$            17.65		$                 18		0.00 %		0.00 %		31.90  %
2019		1			$            13.38		$                   9		0.00 %		0.00 %		38.15  %
MFS VIT II INTERNATIONAL GROWTH PORTFOLIO
(Effective date 06/20/2019)
2020		38			$            12.48		$               470		0.00 %		0.00 %		15.84  %
MFS VIT III BLENDED RESEARCH SMALL CAP EQUITY PORTFOLIO
(Effective date 04/28/2017)
2020		1			$            13.60		$                 16		1.31 %		0.62 %		2.23  %
2019		0	*		$            13.30		$                   6		0.66 %		0.00 %		26.77  %
MFS VIT III GLOBAL REAL ESTATE PORTFOLIO
(Effective date 06/20/2019)
2020		3			$            13.52		$                 35		0.00 %		0.00 %		1.49  %
MFS VIT III MID CAP VALUE PORTFOLIO
(Effective date 04/28/2017)
2020		0	*		$            13.25		$                   6		1.99 %		0.00 %		3.87  %
2019		0	*		$            12.76		$                   3		1.42 %		0.00 %		31.11  %
2018		0	*		$              9.71		$                   2		0.00 %		0.00 %		(11.45) %
MFS VIT MID CAP GROWTH SERIES
(Effective date 04/28/2017)
2020		22			$            22.11		$               482		0.00 %		0.00 %		36.48  %
MFS VIT RESEARCH SERIES
2020		3			$            19.41		$                 64		0.84 %		0.00 %		16.59  %
2019		3			$            16.65		$                 54		0.68 %		0.00 %		32.95 %
MFS VIT TOTAL RETURN BOND SERIES
(Effective date 04/28/2017)
2020		359			$            12.11		$            4,348		3.69 %		0.00 %		8.52  %
2019		379			$            11.16		$            4,228		4.05 %		0.00 %		10.21  %
2018		90			$            10.13		$               908		3.33 %		0.00 %		(1.08) %
2017		85			$            10.24		$               866		3.32 %		0.00 %		2.42  %

*The Investment Division has units that round to less than 1,000 units. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

FINANCIAL HIGHLIGHTS	At December 31							For the year or period ended December 31
INVESTMENT DIVISIONS	Units (000s)			Unit Fair Value		Net Assets (000s)		Investment    Income Ratio		Expense Ratio		Total Return
MFS VIT VALUE SERIES
2020		33			$            15.78		$               520		1.69 %		0.00 %		3.48  %
2019		29			$            15.25		$               436		2.34 %		0.00 %		29.80  %
2018		30			$            11.75		$               356		1.61 %		0.00 %		(10.09) %
2017		26			$            13.07		$               337		2.02 %		0.00 %		17.66  %
2016		15			$            11.11		$               170		3.25 %		0.00 %		14.08  %
NEUBERGER BERMAN AMT MID CAP GROWTH PORTFOLIO
2020		0	*		$            41.89		$                 16		0.00 %		0.00 %		39.98  %
2019		0	*		$            29.94		$                 15		0.00 %		0.00 %		32.75  %
2018		1			$            22.55		$                 13		0.00 %		0.00 %		(6.41) %
2017		6			$            24.09		$               139		0.00 %		0.00 %		25.29  %
2016		12			$            19.23		$               237		0.00 %		0.00 %		4.39  %
NEUBERGER BERMAN AMT MID CAP INTRINSIC VALUE PORTFOLIO
2020		8			$            25.14		$               208		1.15 %		0.00 %		(2.61) %
2019		3			$            25.81		$                 65		0.21 %		0.00 %		16.75  %
2018		32			$            22.11		$               714		0.63 %		0.00 %		(15.28) %
2017		56			$            26.10		$            1,462		1.18 %		0.00 %		16.74  %
2016		32			$            22.36		$               712		0.67 %		0.00 %		16.17  %
NEUBERGER BERMAN AMT SUSTAINABLE EQUITY PORTFOLIO
2020		3			$            47.25		$               150		0.69 %		0.36 %		19.57  %
2019		3			$            39.52		$               125		0.63 %		0.00 %		25.88  %
2018		2			$            31.40		$                 77		0.49 %		0.00 %		(5.72) %
2017		2			$            33.31		$                 77		0.32 %		0.00 %		18.43  %
2016		0	*		$            28.09		$                   7		0.00 %		0.00 %		9.86  %
PIMCO VIT GLOBAL BOND OPPORTUNITIES PORTFOLIO (UNHEDGED)
(Effective date 04/28/2017)
2020		27			$            11.75		$               318		2.69 %		0.00 %		10.13  %
2019		1			$            10.67		$                   5		2.03 %		0.00 %		6.14  %
PIMCO VIT HIGH YIELD PORTFOLIO
2020		11			$            28.43		$               313		5.30 %		0.00 %		5.76  %
2019		8			$            26.88		$               219		4.94 %		0.00 %		14.73  %
2018		8			$            23.43		$               180		5.08 %		0.00 %		(2.65) %
2017		11			$            24.07		$               254		4.87 %		0.00 %		6.60  %
2016		21			$            22.58		$               483		5.22 %		0.00 %		12.44  %
PIMCO VIT LOW DURATION PORTFOLIO
2020		510			$            16.26		$            8,296		1.30 %		0.00 %		2.96  %
2019		509			$            15.79		$            8,037		2.76 %		0.00 %		4.03  %
2018		404			$            15.17		$            6,123		1.93 %		0.00 %		0.34  %
2017		380			$            15.12		$            5,744		1.33 %		0.00 %		1.35  %
2016		326			$            14.92		$            4,862		1.44 %		0.00 %		1.41  %
PIMCO VIT REAL RETURN PORTFOLIO
2020		24			$            20.90		$               499		1.53 %		0.00 %		11.73  %
2019		22			$            18.71		$               418		1.64 %		0.00 %		8.44  %
2018		30			$            17.26		$               510		2.26 %		0.00 %		(2.21) %
2017		65			$            17.65		$            1,141		2.57 %		0.00 %		3.66  %
2016		36			$            17.02		$               619		2.27 %		0.00 %		5.19  %
PIMCO VIT TOTAL RETURN PORTFOLIO
2020		209			$            23.01		$            4,803		2.31 %		0.00 %		8.62  %
2019		198			$            21.18		$            4,202		3.01 %		0.00 %		8.35  %
2018		181			$            19.54		$            3,545		2.54 %		0.00 %		(0.53) %
2017		187			$            19.65		$            3,673		2.02 %		0.00 %		4.91  %
2016		185			$            18.73		$            3,456		2.14 %		0.00 %		2.68  %

*The Investment Division has units that round to less than 1,000 units. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

FINANCIAL HIGHLIGHTS	At December 31							For the year or period ended December 31
INVESTMENT DIVISIONS	Units (000s)			Unit Fair Value		Net Assets (000s)		Investment      Income Ratio		Expense Ratio		Total Return
PIONEER REAL ESTATE SHARES VCT PORTFOLIO
(Effective date 04/29/2016)
2020		6		$	11.81	$	75		1.88  %		0.00  %		(7.34) %
2019		6		$	12.75	$	71		2.32  %		0.00  %		28.17  %
2018		5		$	9.95	$	49		2.89  %		0.00  %		(7.24) %
2017		3		$	10.72	$	35		2.71  %		0.00  %		3.50  %
2016		0	*	$	10.38	$	2		1.07  %		0.00  %		3.61  %
PUTNAM VT EQUITY INCOME FUND
2020		19		$	45.59	$	879		1.89  %		0.00  %		6.07  %
2019		12		$	42.98	$	529		1.77  %		0.00  %		30.73  %
2018		10		$	32.88	$	341		0.89  %		0.00  %		(8.27) %
2017		13		$	35.84	$	453		1.74  %		0.00  %		19.06  %
2016		11		$	30.11	$	333		1.91  %		0.00  %		13.96  %
PUTNAM VT GLOBAL ASSET ALLOCATION FUND
(Effective date 5/1/2015)
2020		1		$	14.68	$	14		1.34  %		0.00  %		12.58  %
2019		0	*	$	13.05	$	5		0.00  %		0.00  %		17.41  %
PUTNAM VT GLOBAL EQUITY FUND
(Effective date 5/1/2015)
2020		2		$	14.70	$	28		0.45  %		0.00  %		10.29  %
2019		2		$	13.33	$	33		0.00  %		0.00  %		26.92  %
PUTNAM VT GROWTH OPPORTUNITIES FUND
(Effective date 5/1/2015)
2020		62		$	26.79	$	1,666		0.15  %		0.00  %		39.09  %
2019		0	*	$	19.25	$	6		0.00  %		0.00  %		37.12  %
PUTNAM VT HIGH YIELD FUND
2020		24		$	27.21	$	659		6.33  %		0.00  %		5.52  %
2019		23		$	25.79	$	598		5.99  %		0.00  %		14.55  %
2018		32		$	22.52	$	722		6.17  %		0.00  %		(3.59) %
2017		36		$	23.36	$	831		5.72  %		0.00  %		7.22  %
2016		29		$	21.78	$	623		6.12  %		0.00  %		15.66  %
PUTNAM VT INCOME FUND
2020		1		$	12.58	$	9		10.14  %		0.00  %		5.72  %
2019		54		$	11.90	$	638		3.45  %		0.00  %		11.90  %
2018		13		$	10.63	$	135		2.96  %		0.00  %		0.20  %
2017		2		$	10.61	$	22		0.00  %		0.00  %		5.59  %
PUTNAM VT INTERNATIONAL VALUE FUND
(Effective date 4/29/2016)
2020		19		$	13.21	$	247		0.00  %		0.00  %		4.23  %
PUTNAM VT SMALL CAP VALUE FUND
2020		0	*	$	13.49	$	4		1.42  %		0.00  %		4.23  %
2019		0	*	$	12.99	$	2		0.30  %		0.00  %		24.52  %
2018		8		$	10.39	$	78		0.63  %		0.00  %		(19.69) %
2017		7		$	12.94	$	93		0.88  %		0.00  %		8.15  %
PUTNAM VT SUSTAINABLE FUTURE FUND
2020		4		$	67.72	$	240		0.36  %		0.00  %		52.98  %
2019		3		$	44.27	$	140		0.77  %		0.00  %		30.32  %
2018		3		$	33.97	$	88		0.90  %		0.00  %		(4.64) %
2017		3		$	35.62	$	115		0.87  %		0.00  %		10.94  %
2016		2		$	32.11	$	73		0.69  %		0.00  %		13.23  %
ROYCE CAPITAL FUND - SMALL-CAP PORTFOLIO
2020		4		$	19.92	$	74		0.70  %		0.00  %		(7.33) %
2019		8		$	21.49	$	162		0.18  %		0.00  %		18.43  %
2018		56		$	18.14	$	1,008		0.31  %		0.00  %		(8.50) %
2017		55		$	19.83	$	1,094		0.82  %		0.00  %		5.10  %
2016		60		$	18.87	$	1,124		1.70  %		0.00  %		20.54  %

*The Investment Division has units that round to less than 1,000 units. (Continued)

COLI VUL-2 SERIES ACCOUNT OF

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

FINANCIAL HIGHLIGHTS	At December 31						For the year or period ended December 31
INVESTMENT DIVISIONS	Units (000s)		Unit Fair Value		Net Assets (000s)		Investment      Income Ratio		Expense Ratio		Total Return
T. ROWE PRICE BLUE CHIP GROWTH PORTFOLIO II
2020		90	$	25.06	$	2,250		0.00  %		0.00  %		33.92  %
2019		114	$	18.71	$	2,133		0.00  %		0.00  %		29.58  %
2018		110	$	14.44	$	1,587		0.00  %		0.00  %		1.65  %
2017		72	$	14.21	$	1,025		0.00  %		0.00  %		35.83  %
2016		6	$	10.46	$	67		0.00  %		0.00  %		0.53  %
VAN ECK VIP EMERGING MARKETS FUND
2020		1	$	62.26	$	74		2.28  %		0.00  %		17.26  %
2019		1	$	53.09	$	61		0.43  %		0.00  %		30.59  %
2018		1	$	40.67	$	46		0.28  %		0.00  %		(23.49) %
2017		1	$	53.15	$	58		0.40  %		0.00  %		51.03  %
2016		1	$	35.20	$	37		0.44  %		0.00  %		0.10  %
VAN ECK VIP GLOBAL HARD ASSETS FUND
2020		22	$	53.51	$	1,175		1.06  %		0.00  %		19.11  %
2019		23	$	44.92	$	1,012		0.00  %		0.00  %		11.87  %
2018		19	$	40.16	$	779		0.00  %		0.00  %		(28.28) %
2017		16	$	55.98	$	921		0.00  %		0.00  %		(1.70) %
2016		13	$	56.95	$	752		0.43  %		0.00  %		43.71  %
VICTORY RS SMALL CAP GROWTH EQUITY VIP
(Effective date 04/30/2018)
2020		14	$	16.67	$	14		0.00  %		0.00  %		38.04  %
2019		1	$	12.08	$	11		0.00  %		0.00  %		38.78  %
2018		1	$	8.71	$	6		0.00  %		0.00  %		(12.97) %

(Concluded)

AUDITED FINANCIAL REPORT

Great-West Life & Annuity

Audited Annual Statutory Report

Statutory Statements of Admitted Assets, Liabilities, Capital and Surplus as of December 31, 2020 and 2019 and

Related Statutory Statements of Operations

Changes in Capital and Surplus and Cash Flows for Each of the Three Years in the Period Ended December 31, 2020 and Report of Independent Registered Public Accounting Firm

Index to Financial Statements, Notes, and Schedules

	Page   Number
Independent Auditors’ Report	3
Statutory Financial Statements at December 31, 2020, and 2019 and for the Years Ended December 31, 2020, 2019, and 2018
Statutory Statements of Admitted Assets, Liabilities, Capital and Surplus	5
Statutory Statements of Operations	7
Statutory Statements of Changes in Capital and Surplus	8
Statutory Statements of Cash Flows	9
Notes to the Statutory Financial Statements	11
Note 1 - Organization and Significant Accounting Policies	11
Note 2 - Accounting Changes	24
Note 3 - Related Party Transactions	24
Note 4 - Summary of Invested Assets	27
Note 5 - Fair Value Measurements	37
Note 6 - Non-Admitted Assets	41
Note 7 - Premiums Deferred and Uncollected	42
Note 8 - Business Combination and Goodwill	42
Note 9 - Reinsurance	42
Note 10 - Aggregate Reserves	47
Note 11 - Liability for Unpaid Claims and Claim Adjustment Expenses	50
Note 12 - Commercial Paper	50
Note 13 - Separate Accounts	50
Note 14 - Capital and Surplus, Dividend Restrictions, and Other Matters	54
Note 15 - Federal Income Taxes	56
Note 16 - Employee Benefit Plans	61
Note 17 - Share-based Compensation	65
Note 18 - Participating Insurance	68
Note 19 - Concentrations	68
Note 20 - Commitments and Contingencies	68
Note 21 - Subsequent Events	70
Supplemental Schedules	71

2

INDEPENDENT AUDITORS’ REPORT

To the Board of Directors and Stockholder of

Great-West Life & Annuity Insurance Company

Greenwood Village, Colorado

We have audited the accompanying statutory-basis financial statements of Great-West Life & Annuity Insurance Company (the “Company”) (a wholly-owned subsidiary of GWL&A Financial Inc.), which comprise the statutory statements of admitted assets, liabilities, and capital and surplus as of December 31, 2020 and 2019, and the related statutory statements of operations, changes in capital and surplus, and cash flows for each of the three years in the period ended December 31, 2020, and the related notes to the statutory-basis financial statements.

Management’s Responsibility for the Statutory-Basis Financial Statements

Management is responsible for the preparation and fair presentation of these statutory-basis financial statements in accordance with the accounting practices prescribed or permitted by the Colorado Division of Insurance. Management is also responsible for the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error.

Auditors’ Responsibility

Our responsibility is to express an opinion on these statutory-basis financial statements based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the statutory-basis financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the statutory-basis financial statements. The procedures selected depend on the auditor’s judgment including the assessment of the risks of material misstatement of the statutory-basis financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the Company’s preparation and fair presentation of the statutory-basis financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Company’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the statutory-basis financial statements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

Basis for Adverse Opinion on Accounting Principles Generally Accepted in the United States of America

As described in Note 1 to the statutory-basis financial statements, the statutory-basis financial statements are prepared by the Company using the accounting practices prescribed or permitted by the Colorado Division of Insurance, which is a basis of accounting other than accounting principles generally accepted in the United States of America, to meet the requirements of the Colorado Division of Insurance.

The effects on the statutory-basis financial statements of the variances between the statutory-basis of accounting described in Note 1 to the statutory-basis financial statements and accounting

3

principles generally accepted in the United States of America, although not reasonably determinable, are presumed to be material.

Adverse Opinion on Accounting Principles Generally Accepted in the United States of America

In our opinion, because of the significance of the matter described in the Basis for Adverse Opinion on Accounting Principles Generally Accepted in the United States of America paragraph, the statutory-basis financial statements referred to above do not present fairly, in accordance with accounting principles generally accepted in the United States of America, the financial position of Great-West Life & Annuity Insurance Company as of December 31, 2020 and 2019, or the results of its operations or its cash flows for each of the three years in the period ended December 31, 2020.

Opinion on Statutory Basis of Accounting

In our opinion, the statutory-basis financial statements referred to above present fairly, in all material respects, the admitted assets, liabilities, and capital and surplus of Great-West Life & Annuity Insurance Company as of December 31, 2020 and 2019, and the results of its operations and its cash flows for each of the three years ended December 31, 2020, in accordance with accounting practices prescribed or permitted by the Colorado Division of Insurance, as described in Note 1 to the statutory-basis financial statements.

Emphasis of Matter

The Company engages in various related-party transaction with affiliates under common control as discussed in Note 1 to the statutory financial statements. The accompanying statutory financial statements are not necessarily indicative of the conditions that would have existed or the results of operations that would prevail if the Company had been operated as an unaffiliated company. Our opinion is not modified with respect to this matter.

Report on Supplemental Schedules

Our 2020 audit was conducted for the purpose of forming an opinion on the 2020 statutory-basis financial statements as a whole. The supplemental schedule of investment risk interrogatories, the supplemental summary investment schedule, the supplemental schedule of selected financial data, and the supplemental schedule regarding reinsurance contracts with risk-limiting features as of and for the year ended December 31, 2020 are presented for purposes of additional analysis and are not a required part of the 2020 statutory-basis financial statements. These schedules are the responsibility of the Company’s management and were derived from and relate directly to the underlying accounting and other records used to prepare the statutory-basis financial statements. Such schedules have been subjected to the auditing procedures applied in our audit of the 2020 statutory-basis financial statements and certain additional procedures, including comparing and reconciling such schedules directly to the underlying accounting and other records used to prepare the statutory-basis financial statements or to the statutory-basis financial statements themselves, and other additional procedures in accordance with auditing standards generally accepted in the United States of America. In our opinion, such schedules are fairly stated in all material respects in relation to the 2020 statutory-basis financial statements as a whole.

/s/ DELOITTE & TOUCHE LLP

Denver, Colorado

April 1, 2021

We have served as the Company’s auditor since 1981

4

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Statutory Statements of Admitted Assets, Liabilities, Capital and Surplus

December 31, 2020 and 2019

(In Thousands, Except Share Amounts)

	December 31,
	2020		2019
Admitted assets:
Cash and invested assets:
Bonds	$	25,712,083	$	13,803,525
Preferred stock		119,687		—
Common stock		223,883		144,888
Mortgage loans (net of allowances of $745 and $745)		4,123,666		2,692,690
Real estate occupied by the company		41,951		43,283
Real estate held for the production of income		1,825		1,365
Contract loans		3,874,206		3,995,291
Cash, cash equivalents and short-term investments		3,470,914		818,328
Securities lending collateral assets		206,811		303,282
Other invested assets		750,477		402,891
Total cash and invested assets		38,525,503		22,205,543
Investment income due and accrued		267,276		192,278
Premiums deferred and uncollected		16,256		15,199
Reinsurance recoverable		80,249		37,806
Funds held or deposited with reinsured companies		6,760,741		—
Current federal income taxes recoverable		70,655		44,457
Deferred income taxes		125,959		97,203
Due from parent, subsidiaries and affiliates		94,584		63,595
Other assets		669,038		490,832
Assets from separate accounts		28,455,204		25,634,438
Total admitted assets	$	75,065,465	$	48,781,351

See notes to statutory financial statements. Continued

5

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Statutory Statements of Admitted Assets, Liabilities, Capital and Surplus

December 31, 2020 and 2019

(In Thousands, Except Share Amounts)

	December 31,
	2020			2019
Liabilities, capital and surplus:
Liabilities:
Aggregate reserves for life policies and contracts	$	36,087,118		$	19,638,498
Liability for deposit-type contracts		5,215,962			60,296
Life and accident and health policy and contract claims		65,785			44,258
Provision for policyholders’ dividends		18,324			24,111
Liability for premiums received in advance		2			2
Unearned investment income		121			59
Asset valuation reserve		202,003			194,032
Interest maintenance reserve		678,773			(2,006	)
Due to parent, subsidiaries and affiliates		16,578			77,613
Commercial paper		98,983			99,900
Payable under securities lending agreements		206,811			303,282
Other liabilities		1,858,504			1,265,123
Liabilities from separate accounts		28,455,194			25,634,428
Total liabilities		72,904,158			47,339,596
Commitments and contingencies (see Note 20)
Capital and surplus:
Preferred stock, $1 par value, 50,000,000 shares authorized; none issued and outstanding		—			—
Common stock, $1 par value; 50,000,000 shares authorized; 16,859,018 shares issued and outstanding		16,859			7,320
Surplus notes		921,980			395,811
Gross paid in and contributed surplus		3,782,019			714,300
Unassigned funds		(2,559,551	)		324,324
Total capital and surplus		2,161,307			1,441,755
Total liabilities, capital and surplus	$	75,065,465		$	48,781,351

See notes to statutory financial statements. Concluded

6

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Statutory Statements of Operations

Years Ended December 31, 2020, 2019 and 2018

(In Thousands)

	Year Ended December 31,
	2020			2019			2018
Income:
Premium income and annuity consideration	$	12,831,872		$	(5,366,421	)	$	7,592,609
Net investment income		948,344			1,099,451			1,307,387
Amortization of interest maintenance reserve		39,141			8,280			24,863
Commission and expense allowances on reinsurance ceded		172,698			265,105			5,211
Fee income from separate accounts		62,302			101,629			160,573
Reserve adjustment on reinsurance ceded		7,157,573			(592,883	)		(1,975,763	)
Miscellaneous income		41,467			267,637			250,272
Total income		21,253,397			(4,217,202	)		7,365,152
Expenses:
Death benefits		92,253			204,509			380,057
Annuity benefits		95,252			155,286			228,530
Disability benefits and benefits under accident and health policies		76			17,762			41,719
Surrender benefits		3,842,313			4,403,521			5,895,938
Increase (decrease) in aggregate reserves for life and accident and health policies and contracts		16,448,620			(8,139,385	)		917,510
Other benefits		8,722			6,208			10,528
Total benefits		20,487,236			(3,352,099	)		7,474,282
Commissions		2,222,528			162,942			196,489
Other insurance expenses		371,028			496,310			488,250
Net transfers from separate accounts		(809,028	)		(1,328,143	)		(1,112,465	)
Interest maintenance reserve reinsurance activity		661,450			(512,033	)		—
Total benefit and expenses		22,933,214			(4,533,023	)		7,046,556
Net (loss) gain from operations before dividends to policyholders, federal income taxes and realized capital gains (losses)		(1,679,817	)		315,821			318,596
Dividends to policyholders		18,497			23,461			31,276
Net (loss) gain from operations after dividends to policyholders and before federal income taxes and net realized capital gains (losses)		(1,698,314	)		292,360			287,320
Federal income tax (benefit) expense		(20,260	)		(98,467	)		(17,604	)
Net (loss) gain from operations before net realized capital gains (losses)		(1,678,054	)		390,827			304,924
Net realized capital (losses) gains less capital gains tax and transfers to interest maintenance reserve		(16,958	)		(8,022	)		10,576
Net (loss) income	$	(1,695,012	)	$	382,805		$	315,500

See notes to statutory financial statements.

7

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Statutory Statements of Changes in Capital and Surplus

Years Ended December 31, 2020, 2019 and 2018

(In Thousands)

	Year Ended December 31,
	2020			2019			2018
Capital and surplus, beginning of year	$	1,441,755		$	1,326,919		$	1,129,509
Net (loss) income		(1,695,012	)		382,805			315,500
Dividends to stockholder		(357,752	)		(639,801	)		(152,295	)
Change in net unrealized capital (losses) gains, net of income taxes		(288,936	)		57,398			(11,491	)
Change in minimum pension liability, net of income taxes		(1,589	)		(4,209	)		3,824
Change in asset valuation reserve		(7,971	)		10,360			(846	)
Change in non-admitted assets		(708,501	)		92,424			28,921
Change in net deferred income taxes		256,714			(129,400	)		(40,732	)
Capital paid-in		9,539			—			—
Surplus paid-in		3,067,719			4,029			4,093
Change in surplus as a result of reinsurance		(83,521	)		537,566			—
Change in capital and surplus as a result of separate accounts		—			(428	)		(208	)
Change in unrealized foreign exchange capital gains (losses)		2,693			(20	)		(1,125	)
Change in surplus notes		526,169			(195,888	)		51,769
Net change in capital and surplus for the year		719,552			114,836			197,410
Capital and surplus, end of year	$	2,161,307		$	1,441,755		$	1,326,919

See notes to statutory financial statements.

8

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Statutory Statements of Cash Flows

Years Ended December 31, 2020, 2019 and 2018

(In Thousands)

	Year Ended December 31,
	2020			2019			2018
Operating activities:
Premium income, net of reinsurance	$	6,588,902		$	3,654,066		$	5,352,630
Investment income received, net of investment expenses paid		809,931			962,732			1,136,338
Other miscellaneous income received		59,348			577,059			160,008
Benefit and loss related payments, net of reinsurance		(3,803,044	)		(4,542,350	)		(6,417,233	)
Net transfers from separate accounts		816,837			1,375,094			1,097,423
Commissions, other expenses and taxes paid		(2,758,668	)		(526,161	)		(644,838	)
Dividends paid to policyholders		(24,228	)		(30,537	)		(38,959	)
Federal income taxes (paid) received, net		(18,530	)		5,267			(38,241	)
Net cash provided by operating activities		1,670,548			1,475,170			607,128
Investing activities:
Proceeds from investments sold, matured or repaid:
Bonds		2,794,468			2,430,562			3,351,579
Stocks		53			19,187			3,704
Mortgage loans		295,116			343,441			357,545
Other invested assets		38,065			19,597			25,233
Net gains on cash, cash equivalents and short-term investments		83			5			—
Miscellaneous proceeds		544,448			24,100			22,212
Cost of investments acquired:
Bonds		(6,396,829	)		(2,770,357	)		(3,398,701	)
Stocks		(221,630	)		(3,585	)		(38,742	)
Mortgage loans		(89,330	)		(114,542	)		(697,245	)
Real estate		(2,724	)		(9,052	)		(4,319	)
Other invested assets		(905,616	)		(46,617	)		(36,870	)
Miscellaneous applications		(274,834	)		—			(39,654	)
Net change in contract loans and premium notes		127,912			(3,120	)		(1,355	)
Net cash used in investing activities		(4,090,818	)		(110,381	)		(456,613	)
Financing and miscellaneous activities:
Surplus notes		527,500			(195,000	)		51,410
Capital and paid in surplus		3,076,665			3,130			3,325
Deposit-type contracts, net		1,963,991			(5,399	)		(18,908	)
Dividends to stockholder		(357,752	)		(639,801	)		(152,295	)
Funds (repaid) borrowed, net		(916	)		1,041			(1,027	)
Other		(136,621	)		60,135			(45,670	)
Net cash provided by (used in) financing and miscellaneous activities		5,072,867			(775,894	)		(163,165	)
Net increase (decrease) in cash, cash equivalents and short-term investments and restricted cash		2,652,597			588,895			(12,650	)
Cash, cash equivalents and short-term investments and restricted cash:
Beginning of year		818,329			229,434			242,084
End of year	$	3,470,926		$	818,329		$	229,434

The cash, cash equivalents and short-term investments and restricted cash balance includes $12 and $1 of restricted cash as of December 31, 2020 and 2019, respectively, which is non-admitted and not included in the Statutory Statements of Admitted Assets, Liabilities, Capital and Surplus.

9

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Statutory Statements of Cash Flows

Years Ended December 31, 2020, 2019 and 2018

(In Thousands)

	Year Ended December 31,
	2020		2019		2018
Non-cash investing and financing transactions during the year:
Share-based compensation expense	$	593	$	899	$	768
Fair value of assets acquired in settlement of bonds		—		—		28,815

In 2020, non-cash transfers of $9,848 million of assets and liabilities occurred as a part of the MassMutual transaction. In 2019, non-cash transfers of $8,938 million of assets and liabilities occurred as a part of the Protective transaction. Refer to Note 9 for further information on the MassMutual and Protective transactions.

See notes to statutory financial statements. Concluded

10

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

1. Organization and Significant Accounting Policies

Great-West Life & Annuity Insurance Company (the “Company” or “GWL&A”) is a direct wholly-owned subsidiary of GWL&A Financial Inc. (“GWL&A Financial”), a holding company. GWL&A Financial is a direct wholly-owned subsidiary of Great-West Lifeco U.S. LLC (“Lifeco U.S.”) and an indirect wholly-owned subsidiary of Great-West Lifeco Inc. (“Lifeco”), a Canadian holding company. The Company offers a wide range of retirement and investment products to individuals, businesses and other private and public organizations throughout the United States. The Company is an insurance company domiciled in the State of Colorado and is subject to regulation by the Colorado Division of Insurance (“Division”).

The Company is authorized to engage in the sale of life insurance, accident and health insurance and annuities. It is qualified to do business in all states in the United States, except New York, and in the District of Columbia, Puerto Rico, Guam and the U.S. Virgin Islands. The Company is also a licensed reinsurer in New York.

Effective December 31, 2020, the Company completed the acquisition, via indemnity reinsurance (“the MassMutual transaction”), of the retirement services business of Massachusetts Mutual Life Insurance Company (“MassMutual”). The Company has now assumed the economics and risks associated with the reinsurance business. Per the transaction agreement, the Company acquired statutory assets equal to liabilities. The business assumed is primarily group annuities. See Note 9 for further discussion of the MassMutual transaction.

Effective June 1, 2019, the Company completed the sale, via indemnity reinsurance (the “Protective transaction”), of substantially all of its individual life insurance and annuity business to Protective Life Insurance Company (“Protective”) who now assumes the economics and risks associated with the reinsured business. Per the transaction agreement, the Company transferred statutory assets equal to liabilities. The business transferred included bank-owned and corporate-owned life insurance, single premium life insurance, individual annuities as well as closed block life insurance and annuities. The Company retained a block of life insurance, predominantly participating policies which are now administered by Protective, as well as a closed reinsurance acquired block. Post-transaction, the Company focuses on the defined contribution retirement and asset management markets. See Note 9 for further discussion of the Protective transaction.

The statutory financial statements have been prepared from the separate records maintained by the Company and may not necessarily be indicative of the conditions that would have existed or the results of operations if the Company had been operated as an unaffiliated company.

Accounting policies and use of estimates

The Company prepares its statutory financial statements in conformity with accounting practices prescribed or permitted by the Division. The Division requires that insurance companies domiciled in the State of Colorado prepare their statutory financial statements in accordance with the National Association of Insurance Commissioners Accounting Practices and Procedures Manual (“NAIC SAP”), subject to any deviations prescribed or permitted by the State of Colorado Insurance Commissioner.

The only prescribed deviation that impacts the Company allows the Company to account for certain separate account products at book value instead of fair value. The Division has not permitted the Company to adopt any accounting practices that have an impact on the Company’s statutory financial statements as compared to NAIC SAP or the Division’s prescribed accounting practices. There is no impact to either capital and surplus or net income as a result of the prescribed accounting practice.

Statutory accounting principles vary in some respects from accounting principles generally accepted in the United States of America (“GAAP”). The more significant of these differences are as follows:

11

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

• Bonds, including loan-backed and structured securities (collectively referred to as “bonds”), are carried at statutory adjusted carrying value in accordance with the National Association of Insurance Commissioners (“NAIC”) designation of the security. Carrying value is amortized cost, unless the bond is either (a) designated as a six, in which case it is the lower of amortized cost or fair value or (b) required to be carried at fair value due to the structured securities ratings methodology. Under GAAP, bonds are carried at amortized cost for securities classified as held-to-maturity and fair value for securities classified as available-for-sale and held-for-trading.

• Redeemable preferred stocks are carried at statutory carrying value in accordance with the NAIC designation of the security. Carrying value is amortized cost, unless the redeemable preferred stock is designated a four to six, in which case it is reported at the lower of amortized cost or fair value. Under GAAP, redeemable preferred stocks are carried at amortized cost for securities classified as held-to-maturity and fair value for securities classified as available-for-sale and held-for-trading.

• Short-term investments include all investments whose remaining maturities, at the time of acquisition, are three months to one year. Under GAAP, short-term investments include securities purchased with investment intent and with remaining maturities, at the time of acquisition, of one year or less.

• As prescribed by the NAIC, the asset valuation reserve (“AVR”) is computed in accordance with a prescribed formula and represents a provision for possible non-interest related fluctuations in the value of bonds, equity securities, mortgage loans, real estate and other invested assets. Changes to the AVR are charged or credited directly to unassigned surplus. This type of reserve is not necessary or required under GAAP.

• As prescribed by the NAIC, the interest maintenance reserve (“IMR”) consists of net accumulated unamortized realized capital gains and losses, net of income taxes, on sales or interest related impairments of bonds and derivative investments attributable to changes in the general level of interest rates. Such gains or losses are initially deferred and then amortized into income over the remaining period to maturity, based on groupings of individual securities sold in five-year bands. An IMR asset is generally designated as a non-admitted asset and is recorded as a reduction to capital and surplus. Under GAAP, realized gains and losses are recognized in income in the period in which a security is sold.

• As prescribed by the NAIC, an other-than-temporary impairment (“OTTI”) is recorded (a) if it is probable that the Company will be unable to collect all amounts due according to the contractual terms in effect at the date of acquisition, (b) if the Company has the intent to sell the investment or (c) for non-interest related declines in value and where the Company does not have the intent and ability at the reporting date, to hold the bond until its recovery. Under GAAP, if either (a) management has the intent to sell a bond investment or (b) it is more likely than not the Company will be required to sell a bond investment before its anticipated recovery, a charge is recorded in net realized investment losses equal to the difference between the fair value and cost or amortized cost basis of the security. If management does not intend to sell the security and it is not more likely than not the Company will be required to sell the bond investment before recovery of its amortized cost basis, but the present value of the cash flows expected to be collected (discounted at the effective interest rate implicit in the bond investment prior to impairment) is less than the amortized cost basis of the bond investment (referred to as the credit loss portion), an OTTI is considered to have occurred.

Under GAAP, total OTTI is bifurcated into two components: the amount related to the credit loss, which is recognized in current period earnings through realized capital losses; and the amount attributed to other factors (referred to as the non-credit portion), which is recognized as a separate component in accumulated other comprehensive income (loss). As prescribed by the NAIC, non-interest related OTTI is only bifurcated on loan-backed and structured securities. Factors related to interest and other components do not have a financial statement impact and are disclosed in “Unrealized losses and OTTI” in the notes to the statutory financial statements.

• Derivatives that qualify for hedge accounting are carried at the same valuation method as the underlying hedged asset, while derivatives that do not qualify for hedge accounting are carried at fair value. Under GAAP, all derivatives, regardless of

12

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

hedge accounting treatment, are recorded on the balance sheet in other assets or other liabilities at fair value. As prescribed by the NAIC, for those derivatives which qualify for hedge accounting, the change in the carrying value or cash flow of the derivative is recorded consistently with how the changes in the carrying value or cash flow of the hedged asset, liability, firm commitment or forecasted transaction are recorded. Under GAAP, if the derivative is designated as a cash flow hedge, the effective portions of the changes in the fair value of the derivative are recorded in accumulated other comprehensive income and are recognized in the income statements when the hedged item affects earnings. Changes in fair value resulting from foreign currency translations are recorded in either AOCI or net investment income, consistent with where they are recorded on the underlying hedged asset or liability. Changes in the fair value, including changes resulting from foreign currency translations, of derivatives not eligible for hedge accounting or where hedge accounting is not elected and the over effective portion of cash flow hedges are recognized in investment gains (losses) as a component of net income in the period of the change. Realized foreign currency transactional gains and losses on derivatives subject to hedge accounting are recorded in net investment income, whereas those on derivatives not subject to hedge accounting are recorded in investment gains (losses). As prescribed by the NAIC, upon termination of a derivative that qualifies for hedge accounting, the gain or loss is recognized in income in a manner that is consistent with the hedged item. Alternatively, if the item being hedged is subject to IMR, the gain or loss on the hedging derivative is realized and is subject to IMR upon termination. Under GAAP, gains or losses on terminated contracts that are effective hedges are recorded in earnings in net investment income or other comprehensive income. The gains or losses on terminated contracts where hedge accounting is not elected, or contracts that are not eligible for hedge accounting, are recorded in investment gains (losses).

• The Company enters into dollar repurchase agreements with third party broker-dealers. The Company does not enter into these types of transactions for liquidity purposes, but rather for yield enhancement on its investment portfolio. The dollar repurchase trading strategy involves the sale of securities, with a simultaneous agreement to repurchase similar securities at a future date at an agreed-upon price. If the assets to be repurchased are the same, or substantially the same, as the assets transferred, the transactions are accounted for as secured borrowings. Transactions that do not meet the secured borrowing requirements are accounted for as bond purchases and sales. Under GAAP, these transactions are recorded as forward settling to be announced (“TBA”) securities that are accounted for as derivative instruments, but hedge accounting is not elected as the Company does not regularly accept delivery of such securities when issued.

• Acquisition costs, such as commissions and other costs incurred in connection with acquiring new business, are charged to operations as incurred, rather than deferred and amortized over the lives of the related contracts as under GAAP.

• Deferred income taxes are recorded using the asset and liability method in which deferred tax assets and liabilities are recorded for expected future tax consequences of events that have been recognized in either the Company’s statutory financial statements or tax returns. Deferred income tax assets are subject to limitations prescribed by statutory accounting principles. The change in deferred income taxes is treated as a component of the change in unassigned funds, whereas under GAAP deferred taxes are included in the determination of net income.

• Certain assets, including various receivables, furniture and equipment and prepaid assets, are designated as non-admitted assets and are recorded as a reduction to capital and surplus, whereas they are recorded as assets under GAAP.

• For statutory accounting, business combinations must either create a parent-subsidiary relationship (statutory purchase) or there must be an exchange of equity with one surviving entity (statutory merger). Under GAAP, an integrated set of activities and assets that are capable of being conducted and managed for the purpose of providing economic benefits to its investors can meet the definition of a business. As such, under GAAP, certain reinsurance agreements could be accounted for as a business acquisition.

• For statutory purchases, the excess of the cost of acquiring an entity over the Company’s share of the book value of the acquired entity is recorded as goodwill which is admissible subject to limitations and is amortized over the period in which the Company benefits economically, not to exceed ten years. For statutory mergers, no acquisition is recognized because it

13

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

is accomplished without exchanging resources. As such, the recorded assets, liabilities, and surplus of the acquired company (adjusted to conform to statutory accounting principles) will be carried forward into the combined company. Under GAAP in a business combination, the excess of the cost of acquiring an entity over the acquisition-date fair value of identifiable assets acquired and liabilities assumed is allocated between goodwill, indefinite-lived intangible assets and definite-lived intangible assets. Goodwill and indefinite-lived intangible assets are not amortized and definite-lived intangible assets are amortized over their estimated useful lives under GAAP.

• Aggregate reserves for life policies and contracts are based on statutory mortality and interest requirements and without consideration of withdrawals, which differ from reserves established under GAAP that are based on assumptions using Company experience for mortality, interest, and withdrawals.

• Surplus notes are reflected as a component of capital and surplus, whereas under GAAP they are reflected as a liability.

• The policyholder’s share of net income on participating policies that has not been distributed to participating policyholders is included in capital and surplus in the statutory financial statements. For GAAP, these amounts are reported as a liability with a charge to net income.

• Changes in separate account values from cash transactions are recorded as premium income and benefit expenses whereas they do not impact the statement of operations under GAAP and are presented only as increases or decreases to account balances.

• Benefit payments and the related decrease in policy reserves are recorded as expenses for all contracts subjecting the Company to any mortality risk. Under GAAP, such benefit payments for life and annuity contracts without significant mortality risks are recorded as direct reductions to the policy reserve liability.

• Premium receipts and the related increase in policy reserves are recorded as revenues and expenses, respectively, for all contracts subjecting the Company to any mortality risk. Under GAAP, such premium receipts for life and annuity contracts without significant mortality risks are recorded as direct credits to the policy reserve liability.

• Comprehensive income and its components are not presented in the statutory financial statements.

• The Statutory Statement of Cash Flows is presented based on a prescribed format for statutory reporting. For purposes of presenting statutory cash flows, cash includes short-term investments. Under GAAP, the statement of cash flows is typically presented based on the indirect method and cash excludes short-term investments.

• For statutory accounting purposes, policy and contract liabilities ceded to reinsurers are reported as reductions of the related reserves. Losses generated in certain reinsurance transaction are recognized immediately in income, with gains reported as a separate component of surplus and amortized over the remaining life of the business. As prescribed by the Department, ceded reserves are limited to the amount of direct reserves. Under GAAP, ceded future policy benefits and contract owner liabilities are reported as reinsurance recoverables. Only those reinsurance recoverable balances deemed probable of recovery are reflected as assets on the balance sheet and are stated net of allowance for uncollectible reinsurance, which are charged to earnings. Cost of reinsurance (i.e. the net cash flows which include reinsurance premiums, ceding commissions, etc.) are deferred and amortized over the remaining life of the business.

The preparation of financial statements in conformity with statutory accounting principles requires the Company’s management to make a variety of estimates and assumptions. These estimates and assumptions affect, among other things, the reported amounts of admitted assets and liabilities, the disclosure of contingent liabilities and the reported amounts of revenues and expenses. Significant estimates are required to account for items and matters such as, but not limited to, the valuation of investments and

14

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

derivatives in the absence of quoted market values, impairment of investments and derivatives, valuation of policy benefit liabilities and the valuation of deferred tax assets. Actual results could differ from those estimates.

Impact of COVID-19 on significant judgments, estimates and assumptions

Beginning in January 2020, the outbreak of a virus known as COVID-19 and ensuing global pandemic have resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand and significant market uncertainty. In the first quarter of 2020, global financial markets experienced material and rapid declines and significant volatility; however, following March 31, 2020, the markets have experienced recoveries. Governments and central banks have reacted with significant monetary and fiscal interventions designed to stabilize economic conditions. The duration and impact of the COVID-19 pandemic continues to be unknown at this time, as is the efficacy of the government and central bank interventions. The results of the Company reflect management’s judgments regarding the impact of prevailing market conditions.

Significant statutory accounting policies

Investments

Investments are reported as follows:

• In accordance with the NAIC SAP, the adjusted carrying value amounts of certain assets are gross of non-admitted assets.

• Bonds are carried at statutory adjusted carrying value in accordance with the NAIC designation of the security. Carrying value is amortized cost, unless the bond is either (a) designated as a six, in which case it is the lower of amortized cost or fair value or (b) required to be carried at fair value due to the structured securities ratings methodology. The Company recognizes the acquisition of its public bonds on a trade date basis and its private placement investments on a funding date basis. Bonds containing call provisions, except make-whole call provisions, are amortized to the call or maturity value/date which produces the lowest asset value. Make-whole call provisions, which allow the bond to be called at any time, are not considered in determining the timeframe for amortizing the premium or discount unless the Company has information indicating the issuer is expected to invoke the make-whole call provision.

Premiums and discounts are recognized as a component of net investment income using the effective interest method. Realized gains and losses not subject to IMR, including those from foreign currency translations, are included in net realized capital gains (losses).

The recognition of income on certain investments (e.g. loan-backed securities, including mortgage-backed and asset-backed securities) is dependent upon market conditions, which may result in prepayments and changes in amounts to be earned. Prepayments on all mortgage-backed and asset-backed securities are monitored monthly, and amortization of the premium and/or the accretion of the discount associated with the purchase of such securities are adjusted by such prepayments. Prepayment assumptions are based on the average of recent historical prepayments and are obtained from broker/dealer survey values or internal estimates. These assumptions are consistent with the current interest rate and economic environment. Significant changes in estimated cash flows from the original purchase assumptions are accounted for using the retrospective method.

• Mortgage loans consist primarily of domestic commercial collateralized loans and are carried at their unpaid principal balances adjusted for any unamortized premiums or discounts, allowances for credit losses, and foreign currency translations. Interest income is accrued on the unpaid principal balance for all loans, except for loans on non-accrual status. Premiums and discounts are amortized to net investment income using the effective interest method. Prepayment penalty and origination fees are recognized in net investment income upon receipt.

15

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

The Company actively manages its mortgage loan portfolio by completing ongoing comprehensive analysis of factors such as debt service coverage ratios, loan-to-value ratios, payment status, default or legal status, annual collateral property evaluations and general market conditions. On a quarterly basis, the Company reviews the above primary credit quality indicators in its internal risk assessment of loan impairment and credit loss. Management’s risk assessment process is subjective and includes the categorization of all loans, based on the above mentioned credit quality indicators, into one of the following categories:

• Performing - generally indicates the loan has standard market risk and is within its original underwriting guidelines.

• Non-performing - generally indicates there is a potential for loss due to the deterioration of financial/monetary default indicators or potential foreclosure. Due to the potential for loss, these loans are evaluated for impairment.

The adequacy of the Company’s allowance for credit loss is reviewed quarterly. The determination of the calculation and the adequacy of the mortgage allowance for credit loss and mortgage impairments involve judgments that incorporate qualitative and quantitative Company and industry mortgage performance data. Management’s periodic evaluation and assessment of the adequacy of the mortgage allowance for credit loss and the need for mortgage impairments is based on known and inherent risks in the portfolio, adverse situations that may affect the borrower’s ability to repay, the fair value of the underlying collateral, composition of the loan portfolio, current economic conditions, loss experience and other relevant factors. Loans included in the non-performing category and other loans with certain substandard credit quality indicators are individually reviewed to determine if a specific impairment is required. Risk is mitigated primarily through first position collateralization, guarantees, loan covenants and borrower reporting requirements. Since the Company does not originate or hold uncollateralized mortgages, loans are generally not deemed fully uncollectable. Generally, unrecoverable amounts are written off during the final stage of the foreclosure process.

Loan balances are considered past due when payment has not been received based on contractually agreed upon terms. The accrual of interest is discontinued when concerns exist regarding the realization of loan principal or interest. The Company resumes interest accrual on loans when a loan returns to current status or under new terms when loans are restructured or modified.

On a quarterly basis, any loans with terms that were modified during that period are reviewed to determine if the loan modifications constitute a troubled debt restructuring (“TDR”). In evaluating whether a loan modification constitutes a TDR, it must be determined that the modification is a significant concession and the debtor is experiencing financial difficulties.

Additionally, the Company considers the temporary relief granted by the Statutory Accounting Principles Working Group (“SAPWG”) in response to the Coronavirus, Aid, Relief, and Economic Security Act (the “CARES Act”). The relief gives temporary statutory exception for impairment assessment on bank loans, mortgage loans and investment products with underlying mortgage loans due to situations as a result of COVID-19 including the forbearance or modification of mortgage loan payments. SAPWG also granted practical expedients in determining whether a modification is a concession (insignificant) or if it is a TDR. The provisions of these guidance are applicable through the earlier of January 1, 2022, or 60 days after the date on which the national emergency concerning COVID–19 terminates.

• Real estate properties held for the production of income are valued at depreciated cost less encumbrances. Real estate is depreciated on a straight-line basis over the estimated life of the building or term of the lease for tenant improvements.

• Real estate properties occupied by the Company are carried at depreciated cost unless the carrying amount of the asset is deemed to be unrecoverable. The Company includes in both net investment income and other operating expenses an amount for rent relating to real estate properties occupied by the Company. Rent is derived from consideration of the repairs,

16

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

expenses, taxes, interest and depreciation incurred. The reasonableness of the amount of rent recorded is verified by comparison to rent received from other like properties in the same area.

• Limited partnership interests are included in other invested assets and are accounted for using either net asset value per share (“NAV”) as a practical expedient to fair value. The Company uses NAV as a practical expedient on partnership interests in investment companies where it has a minor equity interest and no significant influence over the entity’s operations.

• Redeemable preferred stocks are carried at statutory carrying value in accordance with the NAIC designation of the security. Carrying value is amortized cost, unless the redeemable preferred stock is designated a four to six, in which case it is reported at the lower of amortized cost or fair value.

• Common stocks, other than stocks of subsidiaries and stocks of the Federal Home Loan Bank (“FHLB”), are recorded at fair value based on the most recent closing price of the common stock as quoted on its exchange. Common stocks of the FHLB are reported at cost. Related party mutual funds, which are carried at fair value, are also included in common stocks. The net unrealized gain or loss on common stocks is reported as a component of surplus.

Investments in subsidiaries are carried on the equity basis with unrealized changes in value recorded in surplus and dividends received recorded in investment income.

• Contract loans are carried at their unpaid balance. Contract loans are fully collateralized by the cash surrender value of the associated insurance policy.

• Short-term investments include all investments whose remaining maturities, at the time of acquisition, are three months to one year. Cash equivalent investments include all investments whose remaining maturities, at the time of acquisition, are three months or less. Both short-term and cash equivalent investments, excluding money market mutual funds, are stated at amortized cost, which approximates fair value. Cash equivalent investments also include highly liquid money market funds that are traded in an active market and are carried at fair value.

• The Company enters into reverse repurchase agreements with third party broker-dealers for the purpose of enhancing the total return on its investment portfolio. The repurchase trading strategy involves the purchase of securities, with a simultaneous agreement to resell similar securities at a future date at an agreed-upon price. Securities purchased under these agreements are accounted for as secured borrowings, and are reported at amortized cost in cash, cash equivalents and short-term investments.

Under these tri-party repurchase agreements, the designated custodian takes possession of the underlying collateral on the Company’s behalf, which is required to be cash or government securities. The fair value of the securities is monitored and additional collateral is obtained, where appropriate, to protect against credit exposure. The collateral cannot be sold or repledged and has not been recorded on the Statutory Statements of Admitted Assets, Liabilities, Capital and Surplus.

The Company enters into dollar repurchase agreements with third party broker-dealers. The Company does not enter into these types of transactions for liquidity purposes, but rather for yield enhancement on its investment portfolio. The dollar repurchase trading strategy involves the sale of securities, with a simultaneous agreement to repurchase similar securities at a future date at an agreed-upon price. If the assets to be repurchased are the same, or substantially the same, as the assets transferred, the transactions are accounted for as secured borrowings. Transactions that do not meet the secured borrowing requirements are accounted for as bond purchases and sales. Proceeds of the sale are reinvested in other securities and may enhance the current yield and total return. The difference between the sales price and the future repurchase price is recorded as an adjustment to net investment income. During the period between the sale and repurchase, the Company will not be entitled to receive interest and principal payments on the securities sold. Losses may arise from changes in the value of the securities or if the counterparty enters bankruptcy proceedings or becomes insolvent. In such cases, the Company’s right to

17

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

repurchase the security may be restricted. Amounts owed to brokers under these arrangements are included as a liability in repurchase agreements.

The Company participates in a securities lending program in which the Company lends securities that are held as part of its general account investment portfolio to third parties. The Company does not enter into these types of transactions for liquidity purposes, but rather for yield enhancement on its investment portfolio. The borrower can return and the Company can request the loaned securities be returned at any time. The Company maintains ownership of the securities at all times and is entitled to receive from the borrower any payments for interest received on such securities during the loan term. Securities lending transactions are accounted for as secured borrowings. The securities on loan are included within bonds and short-term investments in the accompanying Statutory Statements of Admitted Assets, Liabilities, Capital and Surplus. The securities lending agent indemnifies the Company against borrower risk, meaning that the lending agent agrees contractually to replace securities not returned due to a borrower default. The Company generally requires initial cash collateral in an amount greater than or equal to 102% of the fair value of domestic securities loaned and 105% of foreign securities loaned. Such collateral is used to replace the securities loaned in event of default by the borrower. Some cash collateral is reinvested in money market funds or short-term repurchase agreements which are also collateralized by U.S. Government or U.S. Government Agency securities. Reinvested cash collateral is reported in securities lending reinvested collateral assets, with a corresponding liability in payable for securities lending collateral. Collateral that cannot be sold or repledged is excluded from the Statutory Statements of Admitted Assets, Liabilities, Capital and Surplus.

• Surplus notes, which are recorded in other invested assets, are carried at statutory carrying value in accordance with the NAIC designation of the security. Carrying value is amortized cost, unless the surplus note is designated a NAIC three to six, in which case it is reported at the lower of amortized cost or fair value.

• The Company’s OTTI accounting policy requires that a decline in the value of a bond below its cost or amortized cost basis be assessed to determine if the decline is other-than-temporary. An OTTI is recorded (a) if it is probable that the Company will be unable to collect all amounts due according to the contractual terms in effect at the date of acquisition, (b) if the Company has the intent to sell the investment or (c) for non-interest related declines in value and where the Company does not have the intent and ability at the reporting date, to hold the bond until its recovery. Management considers a wide range of factors, as described below, regarding the bond issuer and uses its best judgment in evaluating the cause of the decline in its estimated fair value and in assessing the prospects for near-term recovery. Inherent in management’s evaluation of the bond are assumptions and estimates about the operations and ability to generate future cash flows. While all available information is taken into account, it is difficult to predict the ultimate recoverable amount from a distressed or impaired bond.

Considerations used by the Company in the impairment evaluation process include, but are not limited to, the following:

• The extent to which estimated fair value is below cost;

• Whether the decline in fair value is attributable to specific adverse conditions affecting a particular instrument, its issuer, an industry or geographic area;

• The length of time for which the estimated fair value has been below cost;

• Downgrade of a bond investment by a credit rating agency;

• Deterioration of the financial condition of the issuer;

• The payment structure of the bond investment and the likelihood of the issuer being able to make payments in the future; and

• Whether dividends have been reduced or eliminated or scheduled interest payments have not been made.

18

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

For loan-backed and structured securities, if management does not intend to sell the bond and has the intent and ability to hold the bond until recovery of its amortized cost basis, but the present value of the cash flows expected to be collected (discounted at the effective interest rate implicit in the bond prior to impairment) is less than the amortized cost basis of the bond (referred to as the non-interest loss portion), an OTTI is considered to have occurred. In this instance, total OTTI is bifurcated into two components: the amount related to the non-interest loss is recognized in current period earnings through realized capital gains (losses); and the amount attributed to other factors does not have any financial impact and is disclosed only in the notes to the statutory financial statements. The calculation of expected cash flows utilized during the impairment evaluation process are determined using judgment and the best information available to the Company including default rates, credit ratings, collateral characteristics and current levels of subordination.

For bonds not backed by other loans or assets, if management does not intend to sell the bond and has the intent and ability to hold but does not expect to recover the entire cost basis, an OTTI is considered to have occurred. A charge is recorded in net realized capital gains (losses) equal to the difference between the fair value and cost or amortized cost basis of the bond. After the recognition of an OTTI, the bond is accounted for as if it had been purchased on the measurement date of the OTTI, with an amortized cost basis equal to the previous amortized cost basis less the OTTI recognized in net income. The difference between the new amortized cost basis and the expected future cash flows is accreted into net investment income. The Company continues to estimate the present value of cash flows expected to be collected over the life of the bond.

Fair value

Certain assets and liabilities are recorded at fair value on the Company’s Statutory Statements of Admitted Assets, Liabilities, Capital and Surplus. The Company defines fair value as the price that would be received to sell an asset or paid to transfer a liability in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. The Company categorizes its assets and liabilities measured at fair value into a three level hierarchy, based on the priority of the inputs to the respective valuation technique. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Company’s assets and liabilities have been categorized based upon the following fair value hierarchy:

• Level 1 inputs which are utilized for general and separate account assets and liabilities, utilize observable, quoted prices (unadjusted) in active markets for identical assets or liabilities that the Company has the ability to access at the measurement date. Financial assets utilizing Level 1 inputs include certain mutual funds.

• Level 2 inputs utilize other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. Level 2 inputs, which are utilized for general and separate account assets and liabilities, include quoted prices for similar assets and liabilities in active markets and inputs, other than quoted prices, that are observable for the asset or liability, such as interest rates and yield curves that are observable at commonly quoted intervals. The fair values for some Level 2 securities are obtained from pricing services. The inputs used by the pricing services are reviewed at least quarterly or when the pricing vendor issues updates to its pricing methodology. For general and separate account assets and liabilities, inputs include benchmark yields, reported trades, broker/dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, evaluated bids, offers and reference data including market research publications. Additional inputs utilized for assets and liabilities classified as Level 2 are:

^○  Derivative instruments - trading activity, swap curves, credit spreads, currency volatility, net present value of cash flows and news sources.

^○  Separate account assets and liabilities - various index data and news sources, amortized cost (which approximates fair value), trading activity, swap curves, credit spreads, recovery rates, restructuring, net present value of cash flows

19

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

and quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.

• Level 3 inputs are unobservable and include situations where there is little, if any, market activity for the asset or liability. In general, the prices of Level 3 securities are obtained from single broker quotes and internal pricing models. If the broker’s inputs are largely unobservable, the valuation is classified as a Level 3. Broker quotes are validated through an internal analyst review process, which includes validation through known market conditions and other relevant data, as noted below. Internal models are usually cash flow based utilizing characteristics of the underlying collateral of the security such as default rate and other relevant data.

The fair value of certain investments in the separate accounts and limited partnerships are estimated using net asset value per share as a practical expedient and are excluded from the fair value hierarchy levels in Note 5. These net asset values are based on the fair value of the underlying investments, less liabilities.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, the level in the fair value hierarchy within which the fair value measurement in its entirety falls has been determined based on the lowest level input that is significant to the fair value measurement in its entirety. The Company’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the asset or liability.

Overall, transfers between levels are attributable to a change in the observability of inputs. Assets and liabilities are transferred to a lower level in the hierarchy when a significant input cannot be corroborated with market observable data. This may occur when market activity decreases and underlying inputs cannot be observed, current prices are not available, and/or when there are significant variances in quoted prices, thereby affecting transparency. Assets and liabilities are transferred to a higher level in the hierarchy when circumstances change such that a significant input can be corroborated with market observable data. This may be due to a significant increase in market activity including recent trades, a specific event, or one or more significant input(s) becoming observable.

In some instances, securities are priced using external broker quotes. In most cases, when broker quotes are used as pricing inputs, more than one broker quote is obtained. External broker quotes are reviewed internally by comparing the quotes to similar securities in the public market and/or to vendor pricing, if available. Additionally, external broker quotes are compared to market reported trade activity to ascertain whether the price is reasonable, reflective of the current market prices, and takes into account the characteristics of the Company’s securities.

Derivative financial instruments

The Company enters into derivative transactions which include the use of interest rate swaps, interest rate swaptions, cross-currency swaps, foreign currency forwards, U.S. government treasury futures contracts, Eurodollar futures contracts, futures on equity indices and interest rate swap futures. The Company uses these derivative instruments to manage various risks, including interest rate and foreign currency exchange rate risk associated with its invested assets and liabilities. Derivative instruments are not used for speculative reasons. Certain of the Company’s over-the-counter (“OTC”) derivatives are cleared and settled through a central clearing counterparty while others are bilateral contracts between the Company and a counterparty.

Derivatives are reported as other invested assets or other liabilities. Although some derivatives are executed under a master netting arrangement, the Company does not offset in the Statutory Statements of Admitted Assets, Liabilities, Capital and Surplus the carrying value of those derivative instruments and the related cash collateral or net derivative receivables and payables executed with the same counterparty under the same master netting arrangement. Derivatives that qualify for hedge accounting treatment are valued using the valuation method (either amortized cost or fair value) consistent with the underlying hedged asset or liability. At inception of a derivative transaction, the hedge relationship and risk management objective is documented and the

20

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

designation of the derivative is determined based on specific criteria of the transaction. Derivatives where hedge accounting is either not elected, or that are not eligible for hedge accounting, are stated at fair value with changes in fair value recognized in unassigned surplus in the period of change. Investment gains and losses generally result from the termination of derivative contracts prior to expiration and are generally recognized in net income and may be subject to IMR.

The Company uses derivative financial instruments for risk management purposes associated with certain invested assets and policy liabilities. Derivatives are used to (a) hedge the economic effects of interest rate and stock market movements on the Company’s guaranteed lifetime withdrawal benefit (“GLWB”) liability, (b) hedge the economic effect of a large increase in interest rates on the Company’s general account life insurance, group pension liabilities and certain separate account life insurance liabilities, (c) hedge the economic risks of other transactions such as future asset acquisitions or dispositions, the timing of liability pricing, currency risks on non-U.S. dollar denominated assets, and (d) convert floating rate assets or debt obligations to fixed rate assets or debt obligations for asset/liability management purposes.

The Company controls the credit risk of its derivative contracts through credit approvals, limits, monitoring procedures and in many cases, requiring collateral. The Company’s exposure is limited to the portion of the fair value of derivative instruments that exceeds the value of the collateral held and not to the notional or contractual amounts of the derivatives.

Derivatives in a net asset position may have cash or securities pledged as collateral to the Company in accordance with the collateral support agreements with the counterparty. This collateral is held in a custodial account for the benefit of the Company. Unrestricted cash collateral is included in other assets and the obligation to return it is included in other liabilities. The cash collateral is reinvested in a government money market fund. Securities pledged to the Company generally consist of U.S. government or U.S. government agency securities and are not recorded on the Statutory Statements of Admitted Assets, Liabilities, Capital and Surplus.

Cash collateral pledged by the Company is included in other assets.

The Company may purchase a financial instrument that contains a derivative embedded in the financial instrument. Contracts that do not in their entirety meet the definition of a derivative instrument, may contain “embedded” derivative instruments implicit or explicit terms that affect some or all of the cash flows or the value of other exchanges required by the contract in a manner similar to a derivative instrument. An embedded derivative instrument shall not be separated from the host contract and accounted for separately as a derivative instrument.

Funds held or deposited with reinsured companies

Funds held by reinsurers are receivables from ceding entities. Interest earned on the funds withheld receivable are included as a component of aggregate write-ins for miscellaneous income.

Goodwill

Goodwill, resulting from acquisitions of subsidiaries that are reported in common stock and other invested assets, is amortized to unrealized capital gains/(losses) over the period in which the Company benefits economically, not to exceed ten years. Goodwill resulting from assumption reinsurance is reported in goodwill and is amortized to other insurance expenses over the period in which the Company benefits economically, not to exceed ten years. Admissible goodwill is limited in the aggregate to 10% of the Company’s adjusted capital and surplus. The Company tests goodwill for impairment annually or more frequently if events or circumstances indicate that there may be justification for conducting an interim test. If the carrying value of goodwill exceeds its fair value, the excess is recognized as impairment and recorded as a realized loss in the period in which the impairment is identified. There were no impairments of goodwill recognized during the years ended December 31, 2020, 2019 and 2018.

21

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

Reinsurance

Reinsurance premiums, commissions, expense reimbursements, and reserves related to reinsured business are accounted for on a basis consistent with those used in accounting for the original policies issued and the terms of the reinsurance contracts. Reserves are based on the terms of the reinsurance contracts and are consistent with the risks assumed. Life contract premiums and benefits ceded to other companies have been reported as a reduction of the premium revenue and benefit expense. Life contract premiums and benefits assumed from other companies have been reported as an increase in premium revenue and benefit expense. Invested assets and reserved ceded or assumed on deposit type contracts are accounted for using deposit accounting. The Company establishes a receivable for amounts due from reinsurers for claims paid and other amounts recoverable under the terms of the reinsurance contract.

Cash value of company owned life insurance

The Company is the owner and beneficiary of life insurance policies which are included in Statutory Statements of Admitted Assets, Liabilities, Capital and Surplus at their cash surrender values. At December 31, 2020, the investments underlying variable life insurance policies utilize various fund structures, with underlying investment characteristics of 23% equity, 42% fixed income, 32% cash and short terms, and 3% other. At December 31, 2019, the investments underlying variable life insurance policies utilize various fund structures, with underlying investment characteristics of 9% equity, 34% fixed income, and 57% cash and short terms.

Net investment income

Interest income from bonds is recognized when earned. Interest income on contract loans is recognized in net investment income at the contract interest rate when earned. All investment income due and accrued with amounts that are deemed uncollectible or that are over 90 days past due, including mortgage loans in default (“in process of foreclosure”), is not included in investment income. Amounts over 90 days past due are non-admitted assets and are recorded as a reduction to unassigned surplus. Real estate due and accrued income is excluded from net investment income if its collection is uncertain.

Net realized capital gains (losses)

Realized capital gains and losses are reported as a component of net income and are determined on a specific identification basis. Interest-related gains and losses are primarily subject to IMR, while non-interest related gains and losses are primarily subject to AVR. Realized capital gains and losses also result from the termination of derivative contracts prior to expiration and may be subject to IMR.

Policy reserves

Life insurance and annuity policy reserves with life contingencies are computed on the basis of statutory mortality and interest requirements and without consideration for withdrawals. Annuity contract reserves without life contingencies are computed on the basis of statutory interest requirements.

Policy reserves for life insurance are valued in accordance with the provision of applicable statutory regulations. Life insurance reserves are determined principally using the Commissioner’s Reserve Valuation Method, using the statutory mortality and interest requirements, without consideration for withdrawals. Some policies contain a surrender value in excess of the reserve as legally computed. This excess is calculated and recorded on a policy-by-policy basis.

Premium stabilization reserves are calculated for certain policies to reflect the Company’s estimate of experience refunds and interest accumulations on these policies. The reserves are invested by the Company. The income earned on these investments is accumulated in this reserve and is used to mitigate future premium rate increases for such policies.

22

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

The cost of reinsurance related to long-duration contracts is accounted for over the life of the underlying reinsured policies using assumptions consistent with those used to account for the underlying policies.

Policy and contract claims include provisions for reported life and health claims in process of settlement, valued in accordance with the terms of the related policies and contracts, as well as provisions for claims incurred but not reported based primarily on prior experience of the Company. As such, amounts are estimates, and the ultimate liability may differ from the amount recorded. Any changes in estimates will be reflected in the results of operations when additional information becomes known.

The liabilities for health claim reserves are determined using historical run-out rates, expected loss ratios and statistical analysis. The Company provides for significant claim volatility in areas where experience has fluctuated. The liabilities represent estimates of the ultimate net cost of all reported and unreported claims which are unpaid at year-end. Those estimates are subject to considerable variability in claim severity and frequency. The estimates are continually reviewed and adjusted as necessary as experience develops or new information becomes known; such adjustments are included in current operations.

Premium, fee income and expenses

Life insurance premiums are recognized when due. Annuity considerations are recognized as revenue when received. Accident and health premiums are earned ratably over the terms of the related insurance and reinsurance contracts or policies. Life and accident and health insurance premiums received in advance are recorded as a liability and recognized as income when the premiums become earned. Fees from assets under management, assets under administration, shareholder servicing, mortality and expense risk charges, administration and record-keeping services and investment advisory services are recognized when earned in fee income or other income. Expenses incurred in connection with acquiring new insurance business, including acquisition costs such as sales commissions, are charged to operations as incurred.

Income taxes

The Company is included in the consolidated federal income tax return of Lifeco U.S. The federal income tax expense reported in the Statutory Statements of Operations represent income taxes provided on income that is currently taxable, excluding tax on net realized capital gains and losses. A net deferred tax asset is included in the Statutory Statement of Admitted Assets, Liabilities, Capital and Surplus which is recorded using the asset and liability method in which deferred tax assets and liabilities are recorded for expected future tax consequences of events that have been recognized in either the Company’s statutory financial statements or tax returns. Deferred income tax assets are subject to limitations prescribed by statutory accounting principles. The change in deferred income taxes is treated as a component of the change in unassigned funds.

23

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

2. Accounting Changes

Changes in Accounting Principles

In 2009, the NAIC introduced Principle-Based Reserving (“PBR”) as a new method for calculating life insurance policy reserves. In cases where the PBR reserve is higher, it will replace the historic formulaic measure with one that more accurately reflects the risks of highly complex products. PBR is effective for 2017; however, companies are permitted to delay implementation until January 1, 2020. The Company adopted this standard on January 1, 2020, which did not have a material effect on the Company’s financial statements.

In 2020, SAPWG adopted a revised SSAP 32R, Preferred Stock, and a corresponding Issue Paper No. 164, Preferred Stock. The revised SSAP improves the definition of preferred stock, revises the measurement guidance based on the type and terms of preferred stock held, and clarifies the impairment and dividend recognition guidance. The standard was adopted with an effective date of January 1, 2021 with early adoption permitted. The Company early adopted this revision and the adoption of this standard did not have a material effect on the Company’s financial statements.

3. Related Party Transactions

In the normal course of business the Company enters into agreements with related parties whereby it provides and/or receives record-keeping services, investment advisory services, and tax-related services, as well as corporate support services which include general and administrative services, information technology services, sales and service support and marketing services. The following table presents revenue earned, expenses incurred and expense reimbursement from insurance and non-insurance related parties for services provided and/or received pursuant to the service agreements. These amounts, in accordance with the terms of the contracts, are based upon market price, estimated costs incurred or resources expended as determined by number of policies, certificates in-force, administered assets or other similar drivers.

On January 1, 2020, the Company and its subsidiaries implemented an organizational change to simplify its corporate structure and affiliated transactions. The transaction included the following changes impacting the Company:

• Substantially all employees of GWL&A and its other subsidiaries were transferred to the Empower.

• Empower assumed all recordkeeping related revenues either by direct assignment of contracts or through a transition services agreement between Empower, GWL&A, and GWL&A’s subsidiaries.

• Substantially all vendor contracts were assigned to Empower.

• Empower entered into an administrative services agreement whereby it provides corporate and other shared services to GWL&A and its affiliates and is reimbursed for expenses incurred.

• Empower acquired assets and assumed liabilities from GWL&A and GWL&A’s subsidiaries including furniture, equipment, and software, deferred contract costs, certain other current assets including prepaid assets, and certain other liabilities including employee-related benefit and payroll liabilities and GWL&A’s post-retirement medical plan. The assets acquired and liabilities assumed by Empower were settled in cash based on their value under International Financial Reporting Standards (“IFRS”). Any differences between the value of the assets and liabilities on an IFRS basis and a Statutory basis were settled by dividends or capital contributions between entities.

24

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

		Year Ended December 31,									Financial
Description	Related party	2020			2019			2018			statement line
Provides corporate support service	Insurance affiliates: Great-West Life & Annuity Insurance Company of New York (“GWL&A NY”)(1),The Canada Life Assurance Company (“CLAC”)(2) and Great-West Life Assurance Company (“Great-West Life”)(2)	$	(14,626	)	$	(23,958	)	$	(15,522	)		Other insurance benefits and expenses
	Non-insurance affiliates: Empower(1), Advised Assets Group, LLC (“AAG”)(1), Great-West Capital Management, LLC (“GWCM”)(1), Great-West Trust Company, LLC (“GWTC”)(1), GWFS Equities, Inc. (“GWFS”)(1),Great-West Financial Retirement Plan Services (“Great-West RPS”)(1) and MAM Holding Inc. (2)		—			(151,179	)		(142,424	)
	Total		(14,626	)		(175,137	)		(157,946	)
Receives corporate support services	Non-insurance affiliate: Empower(1)		332,652			—			—			Other insurance benefits and expenses
Provides recordkeeping fees under temporary service agreement for recordkeeping agreements not yet transferred to Empower	Non-insurance affiliate: Empower(1)		(194,795	)		—			—			Fee income
Receives commissions under temporary service agreement for recordkeeping agreements not yet transferred to Empower	Non-insurance and insurance affiliates: Empower(1), GWL&A NY (1)		(77,139	)		—			—			Commissions
Provides marketing, distribution and administrative services to certain underlying funds and/or mutual funds	Non-insurance affiliate: GWFS(1)		7,101			172,702			198,976			Other income
Provides record-keeping services	Non-insurance affiliates: GWTC(1)		—			45,101			38,200			Other income
	Non-insurance related party: Great-West Funds(4)		20,506			61,194			65,281
	Total		20,506			106,295			103,481
Receives record-keeping services	Insurance affiliate: GWL&A NY(1)		(1,460	)		(2,328	)		(2,551	)		Other income
	Non-insurance affiliates: Empower(1)and GWTC(1)		(15,339	)		(388,302	)		(342,803	)
	Total		(16,799	)		(390,630	)		(345,354	)
Receives custodial services	Non-insurance affiliate: GWTC(1)		—			(13,526	)		(12,410	)		Other income
Receives reimbursement from tax sharing indemnification related to state and local tax liabilities	Non-insurance affiliate: Putnam Investments LLC (“Putnam”) (3)		16,282			9,733			9,140			Other income

⁽¹⁾ A wholly-owned subsidiary of GWL&A

⁽²⁾ An indirect wholly-owned subsidiary of Lifeco

⁽³⁾ A wholly-owned subsidiary of Lifeco U.S.

⁽⁴⁾ An open-end management investment company, a related party of GWL&A

25

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

The Company’s separate accounts invest in shares of Great-West Funds, Inc. and Putnam Funds, which are affiliates of the Company and shares of other non-affiliated mutual funds and government and corporate bonds. The Company’s separate accounts include mutual funds or other investment options that purchase guaranteed interest annuity contracts issued by the Company. During the years ended December 31, 2020, 2019 and 2018, these purchases totaled $330,974, $224,708 and $169,857 respectively. As the general account investment contracts are also included in the separate account balances in the accompanying statutory statements of admitted assets, liabilities, capital and surplus, the Company has included the separate account assets and liabilities of $249,802 and $288,076 at December 31, 2020 and 2019, respectively, which is also included in the assets and liabilities of the general account at those dates.

During June of 2018, the Company invested $35,000 to fund the initial creation of five mutual funds offered by its subsidiary, GWCM. When the funds met certain targets for customer investment, the Company began redeeming its interests. The remaining investments were $17,679 and $15,546 at December 31, 2020 and 2019, respectively.

The following table summarizes amounts due from parent and affiliates:

			December 31,
Related party	Indebtedness	Due date	2020		2019
Empower(1)	On account	On demand	$	46,104	$	—
GWFS(1)	On account	On demand		34,743		34,625
CLAC(2)	On account	On demand		—		11,630
GWTC(1)	On account	On demand		290		7,807
AAG(1)	On account	On demand		—		5,141
GWCM(1)	On account	On demand		—		1,610
GWL&A NY(1)	On account	On demand		214		1,470
Great-West RPS(1)	On account	On demand		3		700
Great-West South Carolina (“GWSC”)(1)	On account	On demand		7,351		509
Putnam(3)	On account	On demand		4,951		103
Other related party receivables	On account	On demand		928		—
Total			$	94,584	$	63,595
(1) A wholly-owned subsidiary of GWL&A (2) An indirect wholly-owned subsidiary of Lifeco (3) A wholly-owned subsidiary of Lifeco U.S. The following table summarizes amounts due to parent and affiliates:
			December 31,
Related party	Indebtedness	Due date	2020		2019
Empower(1)	On account	On demand	$	—	$	76,024
CLAC(2)	On account	On demand		683		917
Personal Capital Corporation(1)	On account	On demand		15,473		—
Other related party payables	On account	On demand		422		672
Total			$	16,578	$	77,613

⁽¹⁾ A wholly-owned subsidiary of GWL&A

⁽²⁾ An indirect wholly-owned subsidiary of Lifeco

Included in current federal income taxes recoverable at December 31, 2020 and 2019 is $73,029 and $45,900, respectively, of income tax receivable from Lifeco U.S. related to the consolidated income tax return filed by Lifeco U.S.

26

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

The Company received/(paid) cash payments of $12,506, $2,727 and ($42,577) from its subsidiary, GWSC, in 2020, 2019 and 2018 respectively, under the terms of its tax sharing agreement. The amount paid in 2018 is for the utilization of GWSC’s operating loss carryforward amounts which were fully utilized as of that year. Additionally, during the years ended December 31, 2020, 2019 and 2018, the Company received interest income of $1,661, $2,085 and $2,527 respectively, from GWSC relating to the tax sharing agreement.

During the year ended December 31, 2020, the Company received dividends and return of capital of $142,500 and $7,000, respectively, from its subsidiaries, the largest being $61,000 from AAG. During the year ended December 31, 2019, the Company received dividends and return of capital of $108,803 and $12,497, respectively, from its subsidiaries, the largest being $40,000 from Empower. During the year ended December 31, 2018, the Company received dividends and return of capital of $106,000 and $680 respectively, from its subsidiaries, the largest being $42,000 from AAG.

During the years ended December 31, 2020 and 2019, the Company paid cash dividends to GWL&A Financial in the amounts of $357,752 and $639,801 respectively.

The Company and GWL&A NY have an agreement whereby the Company has committed to provide GWL&A NY financial support related to the maintenance of adequate regulatory surplus and liquidity.

4. Summary of Invested Assets

Investments in bonds consist of the following:

	December 31, 2020
	Book/adjusted     carrying value		Gross unrealized gains		Gross unrealized losses		Fair value
U.S. government	$	159,577	$	1,744	$	226	$	161,095
All other governments		11,113		—		—		11,113
U.S. states, territories and possessions		654,122		97,055		—		751,177
Political subdivisions of states and territories		378,996		23,006		—		402,002
Industrial and miscellaneous		18,019,556		916,950		13,489		18,923,017
Parent, subsidiaries and affiliates		6,433		—		—		6,433
Hybrid securities		151,305		1,800		9,372		143,733
Loan-backed and structured securities		6,330,981		156,801		12,050		6,475,732
Total bonds	$	25,712,083	$	1,197,356	$	35,137	$	26,874,302
	December 31, 2019
	Book/adjusted carrying value		Gross unrealized gains		Gross unrealized losses		Fair value
U.S. government	$	11,076	$	1,446	$	—	$	12,522
U.S. states, territories and possessions		656,713		85,867		—		742,580
Political subdivisions of states and territories		204,355		18,098		—		222,453
Industrial and miscellaneous		8,024,719		453,056		2,842		8,474,933
Parent, subsidiaries and affiliates		10,810		—		—		10,810
Hybrid securities		165,032		147		14,831		150,348
Loan-backed and structured securities		4,730,820		77,213		11,915		4,796,118
Total bonds	$	13,803,525	$	635,827	$	29,588	$	14,409,764

27

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

The book/adjusted carrying value and estimated fair value of bonds and assets receiving bond treatment, based on estimated cash flows, are shown in the table below. Actual maturities will likely differ from these projections because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

	December 31, 2020
	Book/adjusted     carrying value		Fair value
Due in one year or less	$	1,359,756	$	1,374,606
Due after one year through five years		6,086,988		6,430,238
Due after five years through ten years		8,531,983		8,990,876
Due after ten years		4,257,648		4,458,122
Loan-backed and structured securities		6,330,981		6,475,732
Total bonds	$	26,567,356	$	27,729,574

Loan-backed and structured securities include those issued by U.S. government and U.S. agencies.

The following table summarizes information regarding the sales of securities:

	Years ended December 31,
	2020		2019                           2018
Consideration from sales	$	15,627,075	$	18,741,779	$	12,788,008
Gross realized gains from sales		81,504		511,103		32,672
Gross realized losses from sales		7,045		46,129		30,960

At December 31, 2019, consideration from sales include securities transferred to Protective as part of the Protective transaction (see Note 9 for additional information).

Unrealized losses on bonds

The following tables summarize gross unrealized investment losses including the non-credit-related portion of OTTI losses, by class of investment:

	December 31, 2020
	Less than twelve months				Twelve months or longer				Total
Bonds:	Fair value		Unrealized loss and OTTI		Fair value		Unrealized loss and OTTI		Fair value		Unrealized loss and OTTI
U.S. government	$	149,402	$	226	$	—	$	—	$	149,402	$	226
Industrial and miscellaneous		1,216,567		13,291		246,659		12,808		1,463,226		26,099
Hybrid securities		23,981		1,199		77,882		8,173		101,863		9,372
Loan-backed and structured securities		672,983		7,412		314,125		6,800		987,108		14,212
Total bonds	$	2,062,933	$	22,128	$	638,666	$	27,781	$	2,701,599	$	49,909
Total number of securities in an unrealized loss position				168				47				215

28

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

	December 31, 2019
	Less than twelve months				Twelve months or longer				Total
Bonds:	Fair value		Unrealized loss and OTTI		Fair value		Unrealized loss and OTTI		Fair value		Unrealized loss and OTTI
Industrial and miscellaneous		435,115		2,113		620,988		36,363		1,056,103		38,476
Hybrid securities		12,402		93		116,868		14,739		129,270		14,832
Loan-backed and structured securities		745,246		4,367		585,239		9,796		1,330,485		14,163
Total bonds	$	1,192,763	$	6,573	$	1,323,095	$	60,898	$	2,515,858	$	67,471
Total number of securities in an unrealized loss position				95				102				197

Bonds - Total unrealized losses and OTTI decreased by $17,562, or 26%, from December 31, 2019 to December 31, 2020. The decrease in unrealized losses was in industrial and miscellaneous as well as hybrid securities, and was primarily driven by higher valuations as a result of lower interest rates at December 31, 2020 compared to December 31, 2019. This decrease was offset by increases in the less than twelve month category of all asset categories, and reflects an increase in interest rates during fourth quarter of 2020 resulting in lower valuations of these bonds.

Total unrealized losses greater than twelve months decreased by $33,117 from December 31, 2019 to December 31, 2020. Industrial and miscellaneous account for 46%, or $12,808 of the unrealized losses and OTTI greater than twelve months at December 31, 2020. The majority of these bonds continue to be designated as investment grade. Management does not have the intent to sell these assets; therefore, an OTTI was not recognized in net income.

Loan-backed and structured securities account for 24%, or $6,800, of the unrealized losses and OTTI greater than twelve months at December 31, 2020. Of the $6,800 of unrealized losses and OTTI over twelve months on loan-backed and structured securities, 94% or $6,412 are on securities which continue to be designated as investment grade. The present value of cash flows expected to be collected is not less than amortized cost and management does not have the intent to sell these assets; therefore, an OTTI was not recognized in net income.

Loan-backed and structured securities

The Company had a concentration in loan-backed and structured securities of 16% and 21% of total invested assets at December 31, 2020 and 2019, respectively.

Derivative financial instruments

Derivative transactions are generally entered into pursuant to International Swaps and Derivatives Association (“ISDA”) Master Agreements with approved counterparties that provide for a single net payment to be made by one party to the other on a daily basis, periodic payment dates, or at the due date, expiration, or termination of the agreement.

The ISDA Master Agreements contain provisions that would allow the counterparties to require immediate settlement of all derivative instruments in a net liability position if the Company were to default on any debt obligations over a certain threshold. The aggregate fair value, inclusive of accrued income and expense, of derivative instruments with credit-risk-related contingent features that were in a net liability position was $128,238 and $68,046 as of December 31, 2020 and 2019, respectively. The Company had pledged collateral related to these derivatives of $7,181 and $5,022 as of December 31, 2020 and 2019, respectively, in the normal course of business. If the credit-risk-related contingent features were triggered on December 31, 2020 the fair value of assets that could be required to settle the derivatives in a net liability position was $121,057.

29

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

At December 31, 2020 and 2019, the Company had pledged $7,181 and $5,022, respectively, of unrestricted cash collateral to counterparties in the normal course of business, while other counterparties had pledged $54,302 unrestricted cash and securities collateral and $71,130 of unrestricted cash collateral to the Company to satisfy collateral netting arrangements, respectively.

At December 31, 2020 and 2019, the Company had pledged U.S. Treasury bills in the amount of $5,334 and $2,331, respectively, with a broker as collateral for futures contracts.

Types of derivative instruments and derivative strategies

Interest rate contracts

Cash flow hedges

Interest rate swap agreements are used to convert the interest rate on certain debt securities and debt obligations from a floating rate to a fixed rate.

Not designated as hedging instruments

The Company enters into certain transactions in which derivatives are hedging an economic risk but hedge accounting is either not elected or the transactions are not eligible for hedge accounting. These derivative instruments include: exchange-traded interest rate swap futures, OTC interest rate swaptions, OTC interest rate swaps, exchange-traded Eurodollar interest rate futures and treasury interest rate futures. Certain of the Company’s OTC derivatives are cleared and settled through a central clearing counterparty while others are bilateral contracts between the Company and a counterparty.

The derivative instruments mentioned above are economic hedges and used to manage risk. These transactions are used to offset changes in liabilities including those in variable annuity products, hedge the economic effect of a large increase in interest rates, manage the potential variability in future interest payments due to a change in credited interest rates and the related change in cash flows due to increased surrenders, and manage interest rate risks of forecasted acquisitions of bonds and forecasted liability pricing.

Foreign currency contracts

Cross-currency swaps and foreign currency forwards are used to manage the foreign currency exchange rate risk associated with investments denominated in other than U.S. dollars. The Company uses cross-currency swaps to convert interest and principal payments on foreign denominated debt instruments into U.S. dollars. Cross-currency swaps may be designated as cash flow hedges; however, some are not eligible for hedge accounting. The Company uses foreign currency forwards to reduce the risk of foreign currency exchange rate changes on proceeds received on sales of foreign denominated debt instruments; however, hedge accounting is not elected.

Equity contracts

The Company uses futures on equity indices to offset changes in GLWB liabilities; however, they are not eligible for hedge accounting.

30

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

The following tables summarize derivative financial instruments:

	December 31, 2020
	Notional amount		Net book/adjusted carrying value (1)			Fair value (2)
Hedge designation/derivative type:
Derivatives designated as hedges:
Cash flow hedges:
Interest rate swaps	$	22,300	$	—		$	10,705
Cross-currency swaps		875,569		(4,071	)		9,352
Total derivatives designated as hedges		897,869		(4,071	)		20,057
Derivatives not designated as hedges:
Interest rate swaps		1,040,944		11,326			11,449
Futures on equity indices		2,957		1,172			1
Interest rate futures		10,500		4,162			—
Interest rate swaptions		174,000		34			34
Cross-currency swaps		541,142		23,084			21,234
Foreign currency forwards		1,510,024		(26	)		(26	)
Total derivatives not designated as hedges		3,279,567		39,752			32,692
Total cash flow hedges, and derivatives not designated as hedges	$	4,177,436	$	35,681		$	52,749

⁽¹⁾ The book/adjusted carrying value excludes accrued income and expense. The book/adjusted carrying value of all derivatives in an asset position is reported within other invested assets and the book/adjusted carrying value of all derivatives in a liability position is reported within other liabilities in the Statutory Statements of Admitted Assets, Liabilities, Capital and Surplus.

⁽²⁾ The fair value includes accrued income and expense.

	December 31, 2019
	Notional amount		Net book/adjusted carrying value (1)		Fair value (2)
Hedge designation/derivative type:
Derivatives designated as hedges:
Cash flow hedges:
Interest rate swaps	$	22,300	$	—	$	8,385
Cross-currency swaps		880,490		35,372		38,370
Total cash flow hedges		902,790		35,372		46,755
Derivatives not designated as hedges:
Interest rate swaps		933,930		2,078		1,487
Futures on equity indices		6,890		545		(17	)
Interest rate futures		22,600		1,786		2
Interest rate swaptions		186,550		20		20
Cross-currency swaps		541,142		21,894		20,442
Total derivatives not designated as hedges		1,691,112		26,323		21,934
Total cash flow hedges and derivatives not designated as hedges	$	2,593,902	$	61,695	$	68,689

⁽¹⁾ The book/adjusted carrying value excludes accrued income and expense. The book/adjusted carrying value of all derivatives in an asset position is reported within other invested assets and the book/adjusted carrying value of all derivatives in a liability position is reported within other liabilities in the Statutory Statements of Admitted Assets, Liabilities, Capital and Surplus.

⁽²⁾ The fair value includes accrued income and expense.

31

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

The following table presents net unrealized gains/(losses) on derivatives not designated as hedging instruments as reported in the Statutory Statements of Changes in Capital and Surplus:

	Net unrealized gain (loss) on derivatives recognized in surplus
	Year Ended December 31,
	2020		2019		2018
Derivatives not designated as hedging instruments:
Interest rate swaps	$	7,306	$	13,954	$	(8,039)
Interest rate swaptions		180		123		198
Futures on equity indices		94		(241)		297
Interest rate futures		6		(132)		159
Cross-currency swaps		(3,975)		(8,396)		32,525
Foreign currency forwards		(20)		—		—
Total	$	3,591	$	5,308	$	25,140

Securities lending

Securities with a cost or amortized cost of $199,546 and $296,583, and estimated fair values of $201,848 and $297,018 were on loan under the program at December 31, 2020 and 2019, respectively.

The following table summarizes securities on loan by category:

	December 31,				December 31,
	2020				2019
	Book/adjusted carrying value		Fair value		Book/adjusted carrying value		Fair value
Hybrid securities	$	—	$	—	$	2,224	$	2,028
Industrial and miscellaneous		78,553		80,855		15,734		16,365
U.S. government		120,993		120,993		278,625		278,625
	$	199,546	$	201,848	$	296,583	$	297,018

The Company’s securities lending agreements are open agreements meaning the borrower can return and the Company can recall the loaned securities at any time.

The Company received cash of $206,811 and $303,282 as collateral at December 31, 2020 and 2019, respectively. This cash was reinvested into money market funds and short-term repurchase agreements which are collateralized by U.S. government or U.S. government agency securities and mature in under 30 days.

Reverse repurchase agreements

The Company had short-term reverse repurchase agreements with book/adjusted carrying values of $2,900 and $3,300 at December 31, 2020 and December 31, 2019, respectively, with maturities of 2 days to 1 week. The fair value of securities acquired under the tri-party agreement and held on the Company’s behalf was $2,958 and $3,366 at December 31, 2020 and December 31, 2019, respectively.

32

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

Restricted assets

The following tables summarize investments on deposit or trust accounts controlled by various state insurance departments in accordance with statutory requirements as well as other deposits and collateral pledged by the Company:

	December 31, 2020
	Gross (Admitted & Non-admitted) Restricted																			Percentage
	Total General Account (G/A)		G/A Supporting S/A Activity		Total Separate Account (S/A) Restricted Assets		S/A Assets Supporting G/A Activity		Total		Total From Prior Year		Increase/ (Decrease)			Total Non- admitted Restricted		Total Admitted Restricted		Gross (Admitted & Non- admitted) Restricted  to Total Assets		Admitted Restricted to Total Admitted Assets
Restricted Asset Category:
Collateral held under security lending arrangements	$	206,811	$	—	$	—	$	—	$	206,811	$	303,282	$	(96,471	)	$	—	$	206,811		0.27%		0.28%
Subject to reverse repurchase agreements		2,900		—		—		—		2,900		3,300		(400	)		—		2,900		0.00%		0.00%
FHLB capital stock		500		—		—		—		500		—		500			—		500		0.00%		0.00%
On deposit with states		4,264		—		—		—		4,264		4,294		(30	)		—		4,264		0.01%		0.01%
On deposit with other regulatory bodies		554		—		—		—		554		579		(25	)		—		554		0.00%		0.00%
Pledged as collateral not captured in other categories:
Futures margin deposits		5,334		—		1,411		—		6,745		2,330		4,415			—		6,745		0.01%		0.01%
Derivative cash collateral		7,181		—		271		—		7,452		5,022		2,430			—		7,452		0.01%		0.01%
Other restricted assets		1,175		—		—		—		1,175		1,218		(43	)		—		1,175		0.00%		0.00%
Total Restricted Assets	$	228,719	$	—	$	1,682	$	—	$	230,401	$	320,025	$	(89,624	)	$	—	$	230,401		0.30%		0.31%

33

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

	December 31, 2019
	Gross (Admitted & Non-admitted) Restricted																			Percentage
	Total General Account (G/A)		G/A Supporting S/A Activity		Total Separate Account (S/A) Restricted Assets		S/A Assets Supporting G/A Activity		Total		Total From Prior Year		Increase/ (Decrease)			Total Non- admitted Restricted		Total Admitted Restricted		Gross (Admitted & Non- admitted) Restricted  to Total Assets		Admitted Restricted to Total Admitted Assets
Restricted Asset Category:
Collateral held under security lending arrangements	$	303,282	$	—	$	—	$	—	$	303,282	$	45,102	$	258,180		$	—	$	303,282		0.62%		0.62%
Subject to reverse repurchase agreements		3,300		—		—		—		3,300		11,200		(7,900	)		—		3,300		0.01%		0.01%
Subject to dollar repurchase agreements		—		—		—		—		—		688,765		(688,765	)		—		—		0.00%		0.00%
On deposit with states		4,294		—		—		—		4,294		4,443		(149	)		—		4,294		0.01%		0.01%
On deposit with other regulatory bodies		579		—		—		—		579		603		(24	)		—		579		0.00%		0.00%
Pledged as collateral not captured in other categories:
Futures margin deposits		2,330		—		—		—		2,330		8,197		(5,867	)		—		2,330		0.01%		0.01%
Other collateral		—		—		—		—		—		5,320		(5,320	)		—		—		0.00%		0.00%
Derivative cash collateral		5,022		—		—		—		5,022		30,220		(25,198	)		—		5,022		0.01%		0.01%
Other restricted assets		1,218		—		—		—		1,218		1,259		(41	)		—		1,218		0.00%		0.00%
Total Restricted Assets	$	320,025	$	—	$	—	$	—	$	320,025	$	795,109	$	(475,084	)	$	—	$	320,025		0.66%		0.66%

Net investment income

The following table summarizes net investment income:

	Years Ended December 31,
	2020			2019                         2018
Bonds	$	474,967		$	621,993		$	822,645
Preferred stock		3			—			—
Common stock		151			455			221
Mortgage loans		107,249			158,678			169,415
Real estate		28,964			27,577			26,557
Contract loans		197,843			200,298			199,507
Cash, cash equivalents and short-term investments		5,862			16,409			4,749
Derivative instruments		18,840			16,915			16,308
Other invested assets		155,506			121,675			125,821
Miscellaneous		5,303			4,462			1,896
Gross investment income		994,688			1,168,462			1,367,119
Expenses		(46,344	)		(69,011	)		(59,732	)
Net investment income	$	948,344		$	1,099,451		$	1,307,387

The amount of interest incurred and charged to investment expense during the years ended December 31, 2020, 2019 and 2018 was $17,078, $33,188 and $22,070, respectively.

34

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

The following table summarizes net realized capital gains (losses) on investments net of federal income tax and interest maintenance reserve transfer:

	Year Ended December 31,
	2020			2019			2018
Net realized capital gains (losses), before federal income tax	$	59,961		$	574,372		$	4,905
Less: Federal income tax		12,592			120,618			1,030
Net realized capital gains (losses), before IMR transfer		47,369			453,754			3,875
Net realized capital gains (losses) transferred to IMR, net of federal income tax of $17,100, $122,750 and ($1,781), respectively		64,327			461,776			(6,701	)
Net realized capital gains (losses), net of federal income tax expense (benefit) of ($4,508), ($2,133) and 2,811, respectively, and IMR transfer	$	(16,958	)	$	(8,022	)	$	10,576

Interest maintenance reserve

The following table summarizes activity in the interest maintenance reserve:

	Year ended December 31,
	2020
Reserve as of December 31, 2019	$	(7,864)
Transferred into IMR, net of taxes		64,327
IMR reinsurance activity		661,451
Balance before amortization		717,914
Amortization released to Statement of Operations		(39,141)
Reserve as of December 31, 2020	$	678,773

Concentrations

The Company had the following bond concentrations based on total invested assets:

	Concentration by type
	December 31,
	2020	2019
Industrial and miscellaneous	58%	51%
	Concentration by industry
	December 31,
	2020	2019
Financial services	14%	13%

Mortgage loans

The recorded investment of the commercial mortgage loan portfolio categorized as performing was $4,124,412 and $2,693,435, of which $1,634,389 and $0 were loan participation agreements as of December 31, 2020 and 2019, respectively. These mortgages were current as of December 31, 2020 and 2019.

35

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

The maximum lending rates for commercial mortgage loans originated during the years ended December 31, 2020 and 2019 were 3.50% and 4.70%, respectively. The minimum lending rates for commercial mortgage loans originated during the years ended December 31, 2020 and 2019 were 2.45% and 4.05%, respectively.

During 2020 and 2019, the maximum percentage of any one loan to the value of security at the time of the loan, exclusive of insured or guaranteed or purchase money mortgages, was 59% and 64%, respectively.

The balance in the commercial mortgage provision allowance was $745 as of December 31, 2020 and 2019. There was no provision activity for the years ended December 31, 2020 and 2019.

The following tables present concentrations of the total commercial mortgage portfolio:

	Concentration by type
	December 31,
	2020	2019
Multi-family	49%	44%
Industrial	15%	19%
Office	13%	18%
Retail	13%	12%
Other	10%	7%
	100%	100%
	Concentration by geographic area
	December 31,
	2020	2019
Pacific	36%	33%
East North Central	17%	20%
South Atlantic	13%	14%
Middle Atlantic	11%	8%
Other	10%	8%
West South Central	7%	10%
Mountain	6%	7%
	100%	100%

36

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

5. Fair Value Measurements

The following tables summarize the fair value hierarchy for all financial instruments and invested assets:

					Fair Value Measurements at Reporting Date
Type of financial instrument					December 31, 2020
Assets:	Aggregate     fair value		Admitted assets and     liabilities		(Level 1)		(Level 2)		(Level 3)		Net Asset   Value (NAV)		Total   (All Levels)
Bonds	$	26,874,302	$	25,712,083	$	—	$	26,865,559	$	8,743	$	—	$	26,874,302
Preferred stock		119,684		119,687		—		119,684		—		—		119,684
Common stock		20,240		20,240		19,740		500		—		—		20,240
Mortgage loans		4,263,386		4,123,666		—		4,263,386		—		—		4,263,386
Real estate		227,336		43,776		—		227,336		—		—		227,336
Cash, cash equivalents and short-term investments		3,470,912		3,470,914		2,612,741		858,171		—		—		3,470,912
Contract loans		3,874,206		3,874,206		—		3,874,206		—		—		3,874,206
Other long-term invested assets		244,393		235,484		—		93,637		—		150,756		244,393
Securities lending reinvested collateral assets		206,811		206,811		62,050		144,761		—		—		206,811
Collateral under derivative counterparty collateral agreements		43,689		43,689		43,689		—		—		—		43,689
Other collateral		1,130		1,130		1,130		—		—		—		1,130
Receivable for securities		87,076		84,973		—		87,076		—		—		87,076
Derivative instruments		180,996		160,628		10		180,986		—		—		180,996
Separate account assets		28,571,811		28,455,204		14,406,648		13,741,300		—		423,863		28,571,811
Total assets	$	68,185,972	$	66,552,491	$	17,146,008	$	50,456,602	$	8,743	$	574,619	$	68,185,972
Liabilities:
Deposit-type contracts	$	4,562,617	$	5,215,962	$	—	$	4,562,617	$	—	$	—	$	4,562,617
Commercial paper		98,983		98,983		—		98,983		—		—		98,983
Payable under securities lending agreements		206,811		206,811		62,050		144,761		—		—		206,811
Collateral under derivative counterparty collateral agreements		36,450		36,450		36,450		—		—		—		36,450
Other collateral		1,130		1,130		1,130		—		—		—		1,130
Payable for securities		1,277,598		1,277,598		—		1,277,598		—		—		1,277,598
Derivative instruments		128,246		130,281		8		128,238		—		—		128,246
Separate account liabilities		853,042		853,042		70		852,972		—		—		853,042
Total liabilities	$	7,164,877	$	7,820,257	$	99,708	$	7,065,169	$	—	$	—	$	7,164,877

37

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

					Fair Value Measurements at Reporting Date
Type of financial instrument					December 31, 2019
Assets:	Aggregate     fair value		Admitted assets and     liabilities		(Level 1)		(Level 2)		(Level 3)		Net Asset   Value (NAV)		Total   (All Levels)
Bonds	$	14,409,764	$	13,803,525	$	—	$	14,395,297	$	14,467	$	—	$	14,409,764
Common Stock		20,249		20,249		20,249		—		—		—		20,249
Mortgage loans		2,742,188		2,692,690		—		2,742,188		—		—		2,742,188
Real estate		137,700		44,648		—		—		137,700		—		137,700
Cash, cash equivalents and short-term investments		818,328		818,328		298,720		519,608		—		—		818,328
Contract loans		3,995,291		3,995,291		—		3,995,291		—		—		3,995,291
Other long-term invested assets		128,287		120,934		—		38,070		—		90,217		128,287
Securities lending collateral assets		303,282		303,282		33,164		270,118		—		—		303,282
Collateral under derivative counterparty collateral agreements		76,212		76,212		76,212		—		—		—		76,212
Other collateral		504		504		504		—		—		—		504
Receivable for securities		6,853		5,313		—		6,853		—		—		6,853
Derivative instruments		136,753		124,254		3		136,750		—		—		136,753
Separate account assets		25,690,576		25,634,438		13,992,067		11,326,204		—		372,305		25,690,576
Total assets	$	48,465,987	$	47,639,668	$	14,420,919	$	33,430,379	$	152,167	$	462,522	$	48,465,987
Liabilities:
Deposit-type contracts	$	57,672	$	60,296	$	—	$	57,672	$	—	$	—	$	57,672
Commercial paper		99,900		99,900		—		99,900		—		—		99,900
Payable under securities lending agreements		303,282		303,282		33,164		270,118		—		—		303,282
Collateral under derivative counterparty collateral agreements		71,130		71,130		71,130		—		—		—		71,130
Other collateral		504		504		504		—		—		—		504
Payable for securities		733,150		733,150		—		733,150		—		—		733,150
Derivative instruments		68,064		62,559		19		68,045		—		—		68,064
Separate account liabilities		346,182		346,182		66		346,116		—		—		346,182
Total liabilities	$	1,679,884	$	1,677,003	$	104,883	$	1,575,001	$	—	$	—	$	1,679,884

Bonds, preferred and common stock

The fair values for bonds, preferred and common stock are generally based upon evaluated prices from independent pricing services. In cases where these prices are not readily available, fair values are estimated by the Company. To determine estimated fair value for these instruments, the Company generally utilizes discounted cash flow models with market observable pricing inputs such as spreads, average life, and credit quality. Fair value estimates are made at a specific point in time, based on available market information and judgments about financial instruments, including estimates of the timing and amounts of expected future cash flows and the credit standing of the issuer or counterparty.

Mortgage loans

Mortgage loan fair value estimates are generally based on discounted cash flows. A discount rate matrix is used where the discount rate valuing a specific mortgage generally corresponds to that mortgage’s remaining term and credit quality. Management believes the discount rate used is comparable to the credit, interest rate, term, servicing costs, and risks of loans similar to the portfolio loans that the Company would make today given its internal pricing strategy.

38

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

Real estate

The estimated fair value for real estate is based on the unadjusted appraised value which includes factors such as comparable property sales, property income analysis, and capitalization rates.

Cash, cash equivalents, short-term investments, collateral receivable and payable under securities lending agreements, receivable and payable for securities, and commercial paper

The amortized cost of cash, cash equivalents, short-term investments, collateral receivable and payable under securities lending agreements, receivable and payable for securities, and commercial paper is a reasonable estimate of fair value due to their short-term nature and the high credit quality of the issuers, counterparties and obligor. Cash equivalent investments also include money market funds that are valued using unadjusted quoted prices in active markets.

Contract loans

The Company believes the fair value of contract loans approximates book value. Contract loans are funds provided to contract holders in return for a claim on the contract. The funds provided are limited to the cash surrender value of the underlying contract. The nature of contract loans is to have a negligible default risk as the loans are fully collateralized by the value of the contract. Contract loans do not have a stated maturity and the balances and accrued interest are repaid either by the contractholder or with proceeds from the contract. Due to the collateralized nature of contract loans and unpredictable timing of repayments, the Company believes the fair value of contract loans approximates carrying value.

Other long-term invested assets

The fair values of other long-term invested assets are based on the specific asset type. Other invested assets that are held as bonds, such as surplus notes, are primarily valued the same as bonds.

Limited partnership interests represent the Company’s minority ownership interests in pooled investment funds. These funds employ varying investment strategies that primarily make private equity investments across diverse industries and geographical focuses. The net asset value, determined using the partnership financial statement reported capital account adjusted for other relevant information, which may impact the exit value of the investments, is used as a practical expedient to estimate fair value. Distributions by these investments are generated from investment gains, from operating income generated by the underlying investments of the funds and from liquidation of the underlying assets of the funds, which are estimated to be liquidated over the next one to 10 years. In the absence of permitted sales of its ownership interest, the Company will be redeemed out of the partnership interests through distributions.

Collateral under derivative counterparty collateral agreements and other collateral

Included in other assets is cash collateral received from or pledged to counterparties and included in other liabilities is the obligation to return the cash collateral to the counterparties. The carrying value of the collateral is a reasonable estimate of fair value.

Derivative instruments

The estimated fair values of OTC derivatives, primarily consisting of cross-currency swaps, foreign currency forwards, interest rate swaps and interest rate swaptions, are the estimated amount the Company would receive or pay to terminate the agreements at the end of each reporting period, taking into consideration current interest rates and other relevant factors.

39

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

Separate account assets and liabilities

Separate account assets and liabilities primarily include investments in mutual funds, unregistered funds, most of which are not subject to redemption restrictions, bonds, and short-term securities. Mutual funds and unregistered funds are recorded at net asset value, which approximates fair value, on a daily basis. The bond and short-term investments are valued in the same manner, and using the same pricing sources and inputs as the bond and short-term investments of the Company.

Deposit-type contracts

Fair values for liabilities under deposit-type insurance contracts are estimated using discounted liability calculations, adjusted to approximate the effect of current market interest rates for the assets supporting the liabilities

Fair value hierarchy

The following tables present information about the Company’s financial assets and liabilities carried at fair value and indicates the fair value hierarchy of the valuation techniques utilized by the Company to determine such fair value:

	Fair Value Measurements at Reporting Date
	December 31, 2020
							Net Asset Value		Total
Assets:	(Level 1)		(Level 2)		(Level 3)		(NAV)		(All Levels)
Common stock
Mutual funds	$	17,679	$	—	$	—	$	—	$	17,679
Industrial and miscellaneous		2,061		—		—		—		2,061
Other invested assets
Limited partnerships		—		—		—		150,756		150,756
Derivatives
Interest rate swaps		—		86,984		—		—		86,984
Cross-currency swaps		—		37,028		—		—		37,028
Interest rate swaptions		—		34		—		—		34
Foreign currency forwards		—		2,670		—		—		2,670
Separate account assets (1)		14,351,361		12,467,593		—		423,863		27,242,817
Total assets	$	14,371,101	$	12,594,309	$	—	$	574,619	$	27,540,029
Liabilities:
Derivatives
Interest rate swaps	$	—	$	75,535	$	—	$	—	$	75,535
Cross-currency swaps		—		15,794		—		—		15,794
Foreign currency forwards		—		2,695		—		—		2,695
Separate account liabilities (1)		70		852,972		—		—		853,042
Total liabilities	$	70	$	946,996	$	—	$	—	$	947,066

⁽¹⁾ Includes only separate account investments which are carried at the fair value of the underlying invested assets or liabilities owned by the separate accounts.

40

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

	Fair Value Measurements at Reporting Date
	December 31, 2019
							Net Asset Value		Total
Assets:	(Level 1)		(Level 2)		(Level 3)		(NAV)		(All Levels)
Common stock
Mutual funds	$	15,545	$	—	$	—	$	—	$	15,545
Industrial and miscellaneous		4,704		—		—		—		4,704
Other invested assets
Limited partnerships		—		—		—		90,217		90,217
Derivatives
Interest rate swaps		—		36,516		—		—		36,516
Cross-currency swaps		—		35,457		—		—		35,457
Interest rate swaptions		—		20		—		—		20
Separate account assets (1)		13,935,424		10,123,099		—		372,305		24,430,828
Total assets	$	13,955,673	$	10,195,092	$	—	$	462,522	$	24,613,287
Liabilities:
Derivatives
Interest rate swaps	$	—	$	35,029	$	—	$	—	$	35,029
Cross-currency swaps		—		15,015		—		—		15,015
Separate account liabilities (1)		66		346,116		—		—		346,182
Total liabilities	$	66	$	396,160	$	—	$	—	$	396,226

⁽¹⁾ Include only separate account investments which are carried at the fair value of the underlying invested assets or liabilities owned by the separate accounts.

6.   Non-Admitted Assets

The following table summarizes the Company’s non-admitted assets:

	December 31, 2020						December 31, 2019
Type	Asset		Non- admitted asset		Admitted asset		Asset		Non- admitted asset		Admitted asset
Cash, cash equivalents and short-term investments		3,470,926		12		3,470,914		818,329		1		818,328
Other invested assets		1,294,506		544,029		750,477		403,986		1,095		402,891
Premiums deferred and uncollected		16,338		82		16,256		15,273		74		15,199
Deferred income taxes		457,205		331,246		125,959		205,256		108,053		97,203
Due from parent, subsidiaries and affiliate		155,676		61,092		94,584		118,239		54,644		63,595
Other prepaid assets		2,206		2,206		—		22,712		22,712		—
Capitalized internal use software		—		—		—		37,917		37,917		—
Furniture, fixtures and equipment		5,914		5,914		—		5,095		5,095		—
Reinsurance recoverable		80,435		186		80,249		37,806		—		37,806
Other assets		671,151		2,113		669,038		499,620		8,788		490,832

The following table summarizes the Company’s aggregate Statement of Admitted Assets, Liabilities, Capital and Surplus values of all subsidiary, controlled and affiliated entities (“SCA”), except insurance SCA entities as follows:

	December 31, 2020						December 31, 2019
Type	Asset		Non- admitted asset		Admitted asset		Asset		Non- admitted asset		Admitted asset
Common stock	$	13,662	$	—	$	13,662	$	13,537	$	—	$	13,537
Other invested assets		813,421		544,029		269,392		156,119		1,095		155,024

41

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

7.   Premiums Deferred and Uncollected

The following table summarizes the Company’s ordinary and group life insurance premiums and annuity considerations deferred and uncollected, both gross and net of loading:

	December 31, 2020				December 31, 2019
Type	Gross		Net of loading		Gross		Net of loading
Ordinary renewal business	$	18,063	$	16,256	$	16,888	$	15,199
Total	$	18,063	$	16,256	$	16,888	$	15,199

8.   Business Combination and Goodwill

Goodwill that arises as a result of the acquisition of subsidiary limited liability companies is included in other invested assets in the accompanying Statutory Statement of Admitted Assets, Liabilities and Capital.

On August 29, 2014, the Company completed the acquisition of all of the voting equity interests in the J.P. Morgan Retirement Plan Services (“RPS”) large-market recordkeeping business. This transaction was accounted for as a statutory purchase. Goodwill of $51,098 was recorded in other invested assets, which is being amortized over 10 years. At December 2020 and 2019, the Company has $0 and $23,846, respectively, of admitted goodwill related to this acquisition. During each of the years ended December 31, 2020, 2019 and 2018, the Company recorded $5,110, $5,109 and $5,110, respectively, of goodwill amortization related to this acquisition.

On August 17, 2020, the Company completed the acquisition of all of the voting equity interests in the Personal Capital Corporation, an industry-leading registered investment adviser and digital wealth manager. This transaction was accounted for as a statutory acquisition. Goodwill of $819,403 was recorded in other invested assets, which is being amortized over 10 years. At December 2020 and 2019, the Company has $277,474 and $0, respectively, of admitted goodwill related to this acquisition. During each of the years ended December 31, 2020, 2019 and 2018, the Company recorded $27,313, $0 and $0, respectively, of goodwill amortization related to this acquisition.

Purchased Entity	Acquisition date		Cost of acquired entity		Original amount of admitted goodwill		Admitted goodwill as of December 31, 2020		Amount of goodwill amortized for the year ended December 31, 2020		Admitted goodwill as a % of SCA book/adjusted carrying value, gross of admitted goodwill
Retirement Plan Services		August 29, 2014	$	64,169	$	51,098	$	—	$	5,110		—%
Personal Capital Corporation		August 17, 2020	$	854,190	$	819,403	$	277,474	$	27,313		70.8%

9. Reinsurance

In the normal course of its business, the Company seeks to limit its exposure to loss on any single insured and to recover a portion of benefits paid by ceding risks to other insurance enterprises under excess coverage and coinsurance contracts. The Company retains an initial maximum of $3,500 of coverage per individual life. This initial retention limit of $3,500 may increase due to automatic policy increases in coverage at a maximum rate of $175 per annum, with an overall maximum increase in coverage of $1,000. Effective June 1, 2019, all risks on non-participating policies within the above retention limits were ceded to Protective.

42

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

Ceded reinsurance contracts do not relieve the Company from its obligations to policyholders. The failure of reinsurers to honor their obligations could result in losses to the Company. The Company evaluates the financial condition of its reinsurers and monitors concentrations of credit risk arising from similar geographic regions, activities or economic characteristics of the reinsurers to minimize its exposure to significant losses from reinsurer insolvencies. Additionally, Protective, which represents the Company’s most significant ceded reinsurance relationship, is an authorized reinsurer and the Protective transaction is secured by assets held in a trust.

The Company assumes risk from approximately 40 insurers and reinsurers by participating in yearly renewable term and coinsurance pool agreements. When assuming risk, the Company seeks to generate revenue while maintaining reciprocal working relationships with these partners as they also seek to limit their exposure to loss on any single life.

Maximum capacity to be retained by the Company is dictated at the treaty level and is monitored annually to ensure the total risk retained on any one life is limited to a maximum retention of $4,500.

The Company did not have any write-offs for uncollectible reinsurance receivables during the years ended December 31, 2020, 2019 and 2018 for losses incurred, loss adjustment expenses incurred or premiums earned.

The Company does not have any uncollectible reinsurance, commutation of ceded reinsurance, or certified reinsurer downgraded of status subject to revocation.

On December 31, 2020 the Company completed the acquisition, via indemnity reinsurance, of the retirement services business of Massachusetts Mutual Life Insurance Company. The MassMutual transaction impacted the following financial statement lines, excluding the non-admitted deferred tax asset (in millions):

43

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

Statutory Statements of Admitted Assets, Liabilities, Capital and Surplus	December 31,
	2020
Admitted assets:
Cash and invested assets:
Bonds	$	7,855
Preferred stock		120
Mortgage loans		1,634
Other invested assets		132
Total cash and invested assets		9,741
Investment income due and accrued		64
Funds held or deposited with reinsured companies		6,761
Other assets		129
Total admitted assets	$	16,695
	December 31,
	2020
Liabilities, capital and surplus:
Liabilities:
Aggregate reserves for life policies and contracts	$	14,716
Liability for deposit-type contracts		3,183
Interest maintenance reserve		662
Other liabilities		113
Total liabilities		18,674
Capital and surplus:
Unassigned funds		(1,979	)
Total capital and surplus		(1,979	)
Total liabilities, capital and surplus	$	16,695
Statutory Statements of Operations	December 31,
	2020
Income:
Premium income and annuity consideration	$	15,567
Total income		15,567
Expenses:
Increase in aggregate reserves for life and accident and health policies and contracts		14,716
Total benefits		14,716
Commissions		2,168
Interest maintenance reserve reinsurance activity		662
Total benefit and expenses		17,546
Net loss from operations before federal income taxes	$	(1,979	)

44

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

The Company received a capital contribution from parent of $2.8 billion to finance the transaction, as mentioned in Note 14.

Effective June 1, 2019, the Company terminated various related party reinsurance agreements and completed the sale, via indemnity reinsurance, of substantially all of its individual life insurance and annuity business to Protective. The Protective transaction impacted the following financial statement lines, excluding the non-admitted deferred tax asset (in millions):

45

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

Statutory Statements of Admitted Assets, Liabilities, Capital and Surplus	December 31,
	2019
Admitted assets:
Cash and invested assets:
Bonds	$	(7,302	)
Mortgage loans		(1,288	)
Contract loans		(24	)
Cash, cash equivalents and short-term investments		722
Other invested assets		(235	)
Total cash and invested assets		(8,127	)
Investment income due and accrued		(89	)
Premiums deferred and uncollected		(10	)
Reinsurance recoverable		25
Current federal income taxes recoverable		(1	)
Deferred income taxes		(21	)
Other assets		(3	)
Total admitted assets	$	(8,226	)
	December 31,
	2019
Liabilities, capital and surplus:
Liabilities:
Aggregate reserves for life policies and contracts	$	(8,287	)
Aggregate reserves for accident and health policies		(288	)
Liability for deposit-type contracts		(127	)
Life and accident and health policy and contract claims		(74	)
Provision for policyholders’ dividends		(63	)
Interest maintenance reserve		(66	)
Other liabilities		(33	)
Total liabilities		(8,938	)
Capital and surplus:
Gross paid in and contributed surplus		712
Total capital and surplus		712
Total liabilities, capital and surplus	$	(8,226	)
Statutory Statements of Operations	December 31,
	2019
Income:
Premium income and annuity consideration	$	(9,147	)
Commission and expense allowances on reinsurance ceded		154
Total income		(8,993	)

46

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

Expenses:
Decrease in aggregate reserves for life and accident and health policies and contracts		(8,575	)
Total benefits		(8,575	)
Net transfers from separate accounts		59
Interest maintenance reserve release		(512	)
Total benefit and expenses		(9,028	)
Net gain from operations before federal income taxes		35
Federal income tax benefit		(118	)
Net income	$	153

10. Aggregate Reserves

Aggregate reserves are computed in accordance with the Commissioner’s Annuity Reserve Valuation Method (“CARVM”) and the Commissioner’s Reserve Valuation Method (“CRVM”), the standard statutory reserving methodologies.

The significant assumptions used to determine the liability for future life insurance benefits are as follows:

Interest	- Life Insurance	2.25% to 6.00%
	- Annuity Funds	1% to 11.25%
	- Disability	2.50% to 6.00%
Mortality	- Life Insurance	Various valuation tables, primarily including 1941, 1958, 1980 and 2001 Commissioners Standard Ordinary (“CSO”) tables, and American Experience
	- Annuity Funds	Various annuity valuation tables, primarily including the GA 1951, 71, 83a and 2012 Individual Annuitant Mortality (“IAM”), Group Annuity Reserve (“GAR”) 94, 1971 and 1983 Group Annuity Mortality (“GAM”), and Annuity 2000
Morbidity	- Disability	1970 Intercompany DISA Group Disability Tables

The Company waives deduction of deferred fractional premiums upon the death of the insured. When surrender values exceed aggregate reserves, excess cash value reserves are held.

Policies issued at premium corresponding to ages higher than the true ages are valued at the rated-up ages. Policies providing for payment at death during certain periods of an amount less than the full amount of insurance, being policies subject to liens, are valued as if the full amount is payable without any deduction.

For policies issued with, or subsequently subject to, an extra premium payable annually, an extra reserve is held. The extra premium reserve is the unearned gross extra premium payable during the year if the policies are rated for reasons other than medical impairments. For medical impairments, the extra premium reserve is calculated as the excess of the reserve based on rated mortality over that based on standard mortality. All substandard annuities are valued at their true ages.

At December 31, 2020 and 2019, the Company had $3,766,969 and $3,925,596, respectively of insurance in force for which the gross premiums are less than the net premiums according to the standard valuation set by the Division.

Tabular interest, tabular interest on funds not involving life contingencies and tabular cost have been determined from the basic data for the calculation of aggregate reserves. Tabular less actual reserves released has been determined from basic data for the calculation of aggregate reserves and the actual reserves released.

47

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

The withdrawal characteristics of annuity reserves and deposit liabilities are as follows:

	December 31, 2020
	General Account		Separate Account with Guarantees		Separate Account Non- Guaranteed		Total		Percent of Total Gross
Subject to discretionary withdrawal:
With market value adjustment	$	13,534,241	$	—	$	—	$	13,534,241		25.2	%
At book value less current surrender charges of 5% or more		820,107		—		—		820,107		1.5	%
At fair value		2,558,655		7,785,289		11,517,720		21,861,664		40.4	%
Total with adjustment or at market value		16,913,003		7,785,289		11,517,720		36,216,012		67.1	%
At book value without adjustment (minimal or no charge adjustment)		2,473,434		—		—		2,473,434		4.6	%
Not subject to discretionary withdrawal		15,266,932		—		—		15,266,932		28.3	%
Total gross		34,653,369		7,785,289		11,517,720		53,956,378		100.0	%
Reinsurance ceded		74,724		—		—		74,724
Total, net	$	34,578,645	$	7,785,289	$	11,517,720	$	53,881,654

	December 31, 2019
	General Account		Separate Account with Guarantees		Separate Account Non- Guaranteed		Total		Percent of Total Gross
Subject to discretionary withdrawal:
With market value adjustment	$	915,098	$	—	$	—	$	915,098		3.0%
At book value less current surrender charges of 5% or more		817,144		—		—		817,144		2.7%
At fair value		—		6,358,077		11,528,947		17,887,024		58.0%
Total with adjustment or at market value		1,732,242		6,358,077		11,528,947		19,619,266		63.7%
At book value without adjustment (minimal or no charge adjustment)		97,837		—		—		97,837		0.3%
Not subject to discretionary withdrawal		11,091,699		—		—		11,091,699		36.0%
Total gross		12,921,778		6,358,077		11,528,947		30,808,802		100.0%
Reinsurance ceded		71,124		—		—		71,124
Total, net	$	12,850,654	$	6,358,077	$	11,528,947	$	30,737,678

48

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

The withdrawal characteristics of life reserves are as follows:

	December 31, 2020
	General Account						Separate Account - Nonguaranteed
Subject to discretionary withdrawal, surrender values, or policy loans:	Account Value		Cash Value		Reserve		Account Value		Cash Value		Reserve
Universal life	$	6,603,854	$	6,920,255	$	6,952,077	$	—	$	—	$	—
Other permanent cash value life insurance		—		6,845,366		7,160,342		—		—		—
Variable universal life		274,843		279,968		280,000		7,579,331		7,579,331		7,579,331
Not subject to discretionary withdrawal or no cash values:
Term policies without cash value		N/A		N/A		151,345		—		—		—
Accidental death benefits		N/A		N/A		466		—		—		—
Disability - active lives		N/A		N/A		1,093		—		—		—
Disability - disabled lives		N/A		N/A		117,509		—		—		—
Miscellaneous reserves		N/A		N/A		28,188		—		—		—
Total, gross		6,878,697		14,045,589		14,691,020		7,579,331		7,579,331		7,579,331
Reinsurance ceded		6,878,697		7,643,139		7,966,585		—		—		—
Total, net of reinsurance ceded	$	—	$	6,402,451	$	6,724,435	$	7,579,331	$	7,579,331	$	7,579,331

	December 31, 2019
	General Account						Separate Account - Nonguaranteed
Subject to discretionary withdrawal, surrender values, or policy loans:	Account Value		Cash Value		Reserve		Account Value		Cash Value		Reserve
Universal life	$	6,618,888	$	6,617,437	$	6,595,652	$	—	$	—	$	—
Other permanent cash value life insurance		—		6,949,889		7,306,841		—		—		—
Variable universal life		240,230		243,868		244,301		7,063,894		7,063,894		7,063,894
Not subject to discretionary withdrawal or no cash values:
Term policies without cash value		N/A		N/A		164,921		—		—		—
Accidental death benefits		N/A		N/A		1,195		—		—		—
Disability - active lives		N/A		N/A		1,078		—		—		—
Disability - disabled lives		N/A		N/A		126,059		—		—		—
Miscellaneous reserves		N/A		N/A		29,945		—		—		—
Total, gross		6,859,118		13,811,194		14,469,992		7,063,894		7,063,894		7,063,894
Reinsurance ceded		6,859,118		7,330,812		7,621,851		—		—		—
Total, net of reinsurance ceded	$	—	$	6,480,382		6,848,141	$	7,063,894	$	7,063,894	$	7,063,894

49

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

11. Liability for Unpaid Claims and Claim Adjustment Expenses

Activity in the accident and health liability for unpaid claims and for claim adjustment expenses included in aggregate reserve for life policies and contracts and accident and health policies, excluding unearned premium reserves, is summarized as follows:

	2020		2019
Balance, January 1, net of reinsurance of $284,531 and $19,082	$	794	$	247,529
Incurred related to:
Current year		252		9,941
Prior year		2,018		(217,477	)
Total incurred		2,270		(207,536	)
Paid related to:
Current year		—		(9,807	)
Prior year		—		(29,392	)
Total paid		—		(39,199	)
Balance, December 31, net of reinsurance of $282,922 and $284,531	$	3,064	$	794

Reserves for incurred claims and claim adjustment expenses attributable to insured events of prior years has changed by $2,018 and ($217,477) during the years ended December 31, 2020 and 2019, respectively. The change in the prior year was primarily due to the Protective transaction, with no comparable amount in the current year.

12. Commercial Paper

The Company has a commercial paper program that is partially supported by a $50,000 credit facility agreement. The commercial paper has been given a rating of A-1+ by Standard & Poor’s Ratings Services and a rating of P-1 by Moody’s Investors Service, each being the highest rating available. The Company’s issuance of commercial paper is not used to fund daily operations and does not have a significant impact on the Company’s liquidity.

The following table provides information regarding the Company’s commercial paper program:

	December 31,
	2020		2019
Face value	$	98,983	$	99,900
Carrying value	$	98,983	$	99,900
Interest expense paid	$	1,007	$	2,874
Effective interest rate		0.22% - 0.27%		1.8% - 2.1%
Maturity range (days)		21 - 26		13 - 24

13. Separate Accounts

The Company utilizes separate accounts to record and account for assets and liabilities for particular lines of business and/or transactions. The Company reported assets and liabilities from the following product lines into a separate account:

• Individual Annuity Product

• Group Annuity Product

• Variable Life Insurance Product

• Hybrid Ordinary Life Insurance Product

• Individual Indexed-Linked Annuity Product

50

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

In accordance with the domiciliary state procedures for approving items within the separate account, the separate account classification of the following items are supported by Colorado Insurance Code Section 10-7-402:

• Individual Annuity

• Group Annuity

• Variable Life Insurance Product

The following items are supported by direct approval by the Commissioner:

• Hybrid Ordinary Life Insurance Product

• Group Annuity - Custom Stable Value Asset Funds

• Variable Life Insurance Product

• Individual Indexed-Linked Annuity Product

The Company’s separate accounts invest in shares of Great-West Funds, Inc. and Putnam Funds, open-end management investment companies, which are affiliates of the Company, and shares of other non-affiliated mutual funds and government and corporate bonds.

Some assets within each of the Company’s separate accounts are considered legally insulated whereas others are not legally insulated from the general account. The legal insulation of the separate accounts prevents such assets from being generally available to satisfy claims resulting from the general account.

At December 31, 2020 and 2019, the Company’s separate account assets that are legally insulated from the general account claims are $28,447,693 and $25,632,375.

As of December 31, 2020 and 2019, $11,612,824 and $11,266,373, respectively, were ceded under Modified Coinsurance to Protective. While the Company holds the respective asset and liability under the Modified Coinsurance agreement, the economics are ceded to Protective, resulting in no impact to net income.

As of December 31, 2020 and 2019, $61,774,539 and $0, respectively, were acquired under modified coinsurance from MassMutual. While MassMutual holds the respective asset and liability under the modified coinsurance agreement, the economics are assumed by the Company.

Some separate account liabilities are guaranteed by the general account. In accordance with the guarantees provided, if the investment proceeds are insufficient to cover the rate of return guaranteed for the product, the policyholder proceeds will be remitted by the general account. To compensate the general account for the risk taken, the separate account has paid risk charges of $11,325, $11,649, $11,608, $12,581 and $12,961 for the years ended December 31, 2020, 2019, 2018, 2017 and 2016, respectively. No separate account guarantees were paid by the general account for the years ending December 31, 2020, 2019, 2018, 2017 and 2016, respectively.

Separate accounts with guarantees

The Government Guaranteed Funds are separate accounts investing in fixed income securities backed by the credit of the U.S. Government, its agencies or its instrumentalities.

The Stable Asset Funds invest in investment-grade corporate bonds in addition to the above mentioned securities.

51

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

The Company also has separate accounts comprised of assets underlying variable universal life policies issued privately to accredited investors. The accounts invest in investment grade fixed income securities.

The Individual Indexed-Linked Annuity Product provides returns based on the performance of one or more indices and invests in fixed income securities. The returns from these securities are invested in derivative instruments which mimic the returns of select indices. There is also a return of premium death benefit guarantee to policyholders.

The Government Guaranteed Funds and Stable Asset Funds have a guaranteed minimum crediting rate of at least 0%. All of the above separate accounts provide a book value guarantee. Some of them also provide a death benefit of the greater of account balance or premium paid.

Distributions to a participant are based on the participant’s account balance and are permitted for the purpose of paying a benefit to a participant. Distributions for purposes other than paying a benefit to a participant may be restricted. Participants’ distributions are based on the amount of their account balance, whereas, distributions as a result of termination of the group annuity contract are based on net assets attributable to the contract and can be made to the group through (1) transfer of the underlying securities and any remaining cash balance, or (2) transfer of the cash balance after sale of the Fund’s securities.

Most guaranteed separate account assets and related liabilities are carried at fair value. Certain separate account assets are carried at book value based on the prescribed deviation from the Division.

Non-guaranteed separate accounts

The non-guaranteed separate accounts include unit investment trusts or series accounts that invest in diversified open-end management investment companies. These separate account assets and related liabilities are carried at fair value.

The investments in shares are valued at the closing net asset value as determined by the appropriate fund/portfolio at the end of each day. The net investment experience of the separate account is credited directly to the policyholder and can be positive or negative. Some of the separate accounts provide an incidental death benefit of the greater of the policyholder’s account balance or premium paid and some provide an incidental annual withdrawal benefit for the life of the policyholder. Certain contracts contain provisions relating to a contingent deferred sales charge. In such contracts, charges will be made for total or partial surrender of a participant annuity account in excess of the “free amount” before the retirement date by a deduction from a participant’s account. The “free amount” is an amount equal to 10% of the participant account value at December 31 of the calendar year prior to the partial or total surrender.

52

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

The following tables provide information regarding the Company’s separate accounts:

	Year Ended December 31, 2020
	Non-indexed guaranteed less than/equal to 4%		Non-guaranteed separate account		Total
Premiums, considerations or deposits	$	403,703	$	949,333	$	1,353,036
Reserves
For accounts with assets at:
Fair value	$	8,767,847	$	16,897,365	$	25,665,212
Amortized cost		1,187,709		—		1,187,709
Total reserves	$	9,955,556	$	16,897,365	$	26,852,921
By withdrawal characteristics:
At fair value	$	8,767,847	$	16,897,365	$	25,665,212
At book value without fair value adjustment and with current surrender charge less than 5%		1,187,709		—		1,187,709
Total subject to discretionary withdrawals	$	9,955,556	$	16,897,365	$	26,852,921
	Year Ended December 31, 2019
	Non-indexed guaranteed less than/equal to 4%		Non-guaranteed separate account		Total
Premiums, considerations or deposits	$	528,618	$	1,274,716	$	1,803,334
Reserves
For accounts with assets at:
Fair value	$	7,315,010	$	16,440,747	$	23,755,757
Amortized cost		1,168,009		—		1,168,009
Total reserves	$	8,483,019	$	16,440,747	$	24,923,766
By withdrawal characteristics:
At fair value	$	7,315,010	$	16,440,747	$	23,755,757
At book value without fair value adjustment and with current surrender charge less than 5%		1,168,009		—		1,168,009
Total subject to discretionary withdrawals	$	8,483,019	$	16,440,747	$	24,923,766

53

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

A reconciliation of the amounts transferred to and from the separate accounts is presented below:

	Year Ended December 31,
	2020			2019			2018
Transfers as reported in the Summary of Operations of the separate account statement:
Transfers to separate accounts	$	1,353,036		$	1,803,334		$	2,621,510
Transfers from separate accounts		(1,759,730	)		(4,226,616	)		(5,198,817	)
Net transfers from separate accounts		(406,694	)		(2,423,282	)		(2,577,307	)
Reconciling adjustments:
Net transfer of reserves to separate accounts		(412,121	)		1,203,800			1,464,314
Miscellaneous other		(1,137	)		836			528
CARVM allowance reinsured		(8,545	)		70,071			—
Reinsurance		19,469			(179,568	)		—
Net transfers as reported in the Statements of Operations	$	(809,028	)	$	(1,328,143	)	$	(1,112,465	)

14. Capital and Surplus, Dividend Restrictions, and Other Matters

The payment of principal and interest under all surplus notes can be made only with prior written approval of the Commissioner of Insurance of the State of Colorado. Such payments are payable only out of surplus funds of the Company and only if at the time of such payment, and after giving effect to the making thereof, the financial condition of the Company is such that its surplus would not fall below two and one-half times the authorized control level as required by the most recent risk-based capital calculations.

On November 15, 2004, the Company issued a surplus note in the face amount of $195,000 to GWL&A Financial. The proceeds were used to redeem a $175,000 surplus note issued May 4, 1999 and for general corporate purposes. The surplus note bears interest at the rate of 6.675% and was due November 14, 2034. On December 9, 2019 the Company used proceeds from the ceding commission earned on the Protective transaction to redeem the surplus note balance in full. The carrying amount of the surplus note was $0 and $0 at December 31, 2020 and 2019, respectively. Interest paid on the note was $0 for the year ended December 31, 2020 and $13,016 for the years ended December 31, 2019 and 2018, respectively, bringing total interest paid from inception to December 31, 2020 to $195,243. The amount of unapproved principal and interest was $0 at December 31, 2020 and 2019.

On December 29, 2017, the Company issued a surplus note in the face amount and carrying amount of $12,000 to GWL&A Financial Inc. The proceeds were used for general corporate purposes. The surplus note bears an interest rate of 3.5% per annum. The note matures of December 29, 2027. Interest paid on the note during 2020, 2019 and 2018 amounted to $420, $420 and $420, respectively, bringing total interest paid from inception to December 31, 2020 to $1,262. The amount of unapproved principal and interest was $0 at December 31, 2020.

On May 17, 2018, the Company issued a surplus note in the face amount and carrying amount of $346,218 to GWL&A Financial Inc. The proceeds were used to redeem the $333,400 surplus note issued in 2006 and for general corporate purposes. The surplus note bears an interest rate of 4.881% per annum. The note matures on May 17, 2048. Interest paid on the note during 2020, 2019, and 2018 amounted to $16,899, $16,899 and $10,515, respectively, bringing total interest paid from inception to December 31, 2020 to $44,313. The amount of unapproved principal and interest was $0 at December 31, 2020.

In the first quarter of 2018, the Company realized a $39,921 after tax gain on an interest rate swap that hedged the existing $333,400 surplus note. The Company adjusted the basis of the hedged item, in this case the surplus note, for the amount of the after tax gain. Further, the Company accounted for the redemption of the $333,400 surplus note and the issuance of the $346,218 surplus note in the second quarter as debt modification instead of debt extinguishment. Therefore, the after tax swap gain will be

54

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

amortized into income over the 30 year life of the new surplus note. Amortization of the gain during 2020, 2019 and 2018 amounted to $1,331, $1,330 and $998, respectively bringing the total amortization from inception to December 31, 2020 amounted to $3,659, leaving an unamortized balance of $36,262 in surplus as part of the surplus note amounts.

On August 12, 2020, the Company issued a surplus note in the face amount and carrying amount of $527,500 to GWL&A Financial Inc. The proceeds were used to finance the Personal Capital transaction. The surplus note bears an interest rate of 1.260% per annum. The note matures on August 12, 2025. Interest paid on the note during 2020 and 2019 amounted to $0 and $0, respectively, bringing total interest paid from inception to December 31, 2020 to $0. The amount of unapproved principal and interest were $0 at December 31, 2020.

As of the fourth quarter of 2020, the Company had received capital contributions of $3.1 billion from GWL&A Financial Inc. The proceeds were used to finance the Personal Capital and MassMutual transactions.

As an insurance company domiciled in the State of Colorado, the Company is required to maintain a minimum of $2,000 of capital and surplus. In addition, the maximum amount of dividends which can be paid to stockholders by insurance companies domiciled in the State of Colorado, without prior approval of the Insurance Commissioner, is subject to restrictions relating to statutory capital and surplus and statutory net gain from operations. The Company may not pay a dividend during the year ended December 31, 2021, without the prior approval of the Colorado Insurance Commissioner due to large dividends paid in 2019 and the net loss related to the MassMutual ceding commission in 2020. Prior to any payment of dividends, the Company provides notice to the Colorado Insurance Commissioner. Dividends are non-cumulative and paid as determined by the Board of Directors, subject to the limitations described above. During the years ended December 31, 2020, 2019 and 2018 the Company paid dividends to GWL&A Financial Inc, totaling $357,752, $639,801, and $152,295, respectively.

The portion of unassigned funds (surplus) represented or (reduced) by each of the following items is:

	December 31,
	2020			2019
Current year net (loss) income	$	(1,695,012	)	$	382,805
Unrealized (losses) gains		(76,064	)		210,179
Deferred income taxes		256,714			(129,400	)
Non-admitted assets		(946,880	)		(238,379	)
Surplus as regards reinsurance		454,045			537,566
Asset valuation reserve		(202,003	)		(194,032	)
Dividends		(357,752	)		(639,801	)
Other		7,401			395,386
Total unassigned funds	$	(2,559,551	)	$	324,324

Risk-based capital (“RBC”) is a regulatory tool for measuring the minimum amount of capital appropriate for a life, accident and health organization to support its overall business operations in consideration of its size and risk profile. The Division requires the Company to maintain minimum capital and surplus equal to the company action level as calculated in the RBC model. The Company exceeds the required amount.

55

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

15. Federal Income Taxes

The following table presents the components of the net admitted deferred tax asset:

	December 31, 2020									December 31, 2019									Change
	Ordinary			Capital			Total			Ordinary			Capital			Total			Ordinary			Capital			Total
Gross deferred tax assets	$	481,393		$	—		$	481,393		$	224,934		$	—		$	224,934		$	256,459		$	—		$	256,459
Valuation allowance adjustment		—			—			—			—			—			—			—			—			—
Adjusted gross deferred tax asset		481,393			—			481,393			224,934			—			224,934			256,459			—			256,459
Deferred tax assets non-admitted		(340,176	)		8,930			(331,246	)		(109,435	)		1,382			(108,053	)		(230,741	)		7,548			(223,193	)
Net admitted deferred tax asset		141,217			8,930			150,147			115,499			1,382			116,881			25,718			7,548			33,266
Gross deferred tax liabilities		(15,258	)		(8,930	)		(24,188	)		(18,296	)		(1,382	)		(19,678	)		3,038			(7,548	)		(4,510	)
Net admitted deferred tax asset	$	125,959		$	—		$	125,959		$	97,203		$	—		$	97,203		$	28,756		$	—		$	28,756

The Company admits deferred tax assets pursuant to paragraphs 11.a, 11.b.i, 11.b.ii, and 11.c, in SSAP No. 101. The following table presents the amount of deferred tax asset admitted under each component of SSAP No. 101:

	December 31, 2020						December 31, 2019						Change
	Ordinary		Capital		Total		Ordinary		Capital		Total		Ordinary			Capital		Total
(a) Federal income taxes paid in prior years recoverable through loss carrybacks	$	—	$	—	$	—	$	—	$	—	$	—	$	—		$	—	$	—
(b) Adjusted gross deferred tax assets expected to be realized (excluding the amount of deferred tax assets from (a) above) after application of the threshold limitation (lesser of (i) and (ii) below)		125,959		—		125,959		97,203		—		97,203		28,756			—		28,756
(i) Adjusted gross deferred tax assets expected to be realized following the balance sheet date		125,959		—		125,959		97,203		—		97,203		28,756			—		28,756
(ii) Adjusted gross deferred tax assets expected allowed per limitation threshold		—		—		304,773		—		—		201,129		—			—		103,644
(c) Adjusted gross deferred tax assets (excluding the amount of deferred tax assets from (a) and (b) above) offset by gross deferred tax liabilities		15,258		8,930		24,188		18,296		1,382		19,678		(3,038	)		7,548		4,510
Total deferred tax assets admitted as a result of the application of SSAP No. 101	$	141,217	$	8,930	$	150,147	$	115,499	$	1,382	$	116,881	$	25,718		$	7,548	$	33,266

The following table presents the threshold limitations utilized in the admissibility of deferred tax assets under paragraph 11.b of SSAP No. 101:

	2020		2019
Ratio percentage used to determine recovery period and threshold limitation amount		918.28%		1247.01%
Amount of adjusted capital and surplus used to determine recovery period and threshold limitation	$	2,031,818	$	1,340,863

56

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

The following table presents the impact of tax planning strategies:

	December 31, 2020                      December 31, 2019												Change
	Ordinary			Capital			Ordinary			Capital			Ordinary			Capital
Adjusted gross deferred tax asset	$	481,393		$	—		$	224,934		$	—		$	256,459		$	—
% of adjusted gross deferred tax asset by character attributable to tax planning strategies		—	%		—	%		—	%		—	%		—	%		—	%
Net admitted adjusted gross deferred tax assets	$	141,217		$	8,930		$	115,499		$	1,382		$	25,718		$	7,548
% of net admitted adjusted gross deferred tax asset by character attributable to tax planning strategies		—	%		—	%		—	%		—	%		—	%		—	%

The Company’s tax planning strategies do not include the use of reinsurance.

There are no temporary differences for which deferred tax liabilities are not recognized.

The components of current income taxes incurred include the following:

	Year Ended December 31,
	2020			2019			Change
Current income tax	$	(20,260	)	$	(98,474	)	$	78,214
Federal income tax on net capital gains		12,592			120,618			(108,026	)
Total	$	(7,668	)	$	22,144		$	(29,812	)
	Year Ended December 31,
	2019			2018			Change
Current income tax	$	(98,474	)	$	(17,604	)	$	(80,870	)
Federal income tax on net capital gains		120,618			1,030			119,588
Total	$	22,144		$	(16,574	)	$	38,718

57

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

The tax effects of temporary differences, which give rise to the deferred income tax assets and liabilities are as follows:

	December 31,
Deferred income tax assets:	2020			2019			Change
Ordinary:
Reserves	$	38,987		$	33,451		$	5,536
Investments		1,784			2,025			(241	)
Pension accrual		11			—			11
Provision for dividends		2,168			2,334			(166	)
Fixed assets		1,792			3,320			(1,528	)
Compensation and benefit accrual		20,843			23,408			(2,565	)
Receivables - non-admitted		13,737			16,568			(2,831	)
Tax credit carryforward		111,979			114,265			(2,286	)
Ceding commission-reinsurance		270,929			—			270,929
Other		19,163			29,563			(10,400	)
Total ordinary gross deferred tax assets		481,393			224,934			256,459
Valuation allowance adjustment		—			—			—
Total adjusted ordinary gross deferred tax assets		481,393			224,934			256,459
Non-admitted ordinary deferred tax assets		(340,176	)		(109,435	)		(230,741	)
Admitted ordinary deferred tax assets		141,217			115,499			25,718
Capital:								—
Investments		—			—			—
Total capital gross deferred tax assets		—			—			—
Valuation allowance adjustment		—			—			—
Total adjusted gross capital deferred tax assets		—			—			—
Non-admitted capital deferred tax assets		8,930			1,382			7,548
Admitted capital deferred tax assets		8,930			1,382			7,548
Total admitted deferred tax assets	$	150,147		$	116,881		$	33,266
Deferred income tax liabilities:
Ordinary:
Investments	$	(547	)	$	—		$	(547	)
Premium receivable		(3,414	)		(3,192	)		(222	)
Policyholder reserves		(10,931	)		(14,089	)		3,158
Experience refunds		—			—			—
Other		(366	)		(1,015	)		649
Total ordinary deferred tax liabilities		(15,258	)		(18,296	)		3,038
Capital
Investments	$	(8,930	)	$	(1,382	)	$	(7,548	)
Total capital deferred tax liabilities		(8,930	)		(1,382	)		(7,548	)
Total deferred tax liabilities	$	(24,188	)	$	(19,678	)	$	(4,510	)
Net admitted deferred income tax asset	$	125,959		$	97,203		$	28,756

58

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

The change in deferred income taxes reported in surplus before consideration of non-admitted assets is comprised of the following components:

	December 31,
	2020			2019			Change
Total deferred income tax assets	$	481,393		$	224,934		$	256,459
Total deferred income tax liabilities		(24,188	)		(19,678	)		(4,510	)
Net deferred income tax asset	$	457,205		$	205,256			251,949
Tax effect of unrealized capital gains (losses)								5,187
Other surplus								(422	)
Change in net deferred income tax							$	256,714
	December 31,
	2019			2018			Change
Total deferred income tax assets	$	224,934		$	371,710		$	(146,776	)
Total deferred income tax liabilities		(19,678	)		(31,065	)		11,387
Net deferred income tax asset	$	205,256		$	340,645			(135,389	)
Tax effect of unrealized capital gains (losses)								7,108
Other surplus								(1,119	)
Change in net deferred income tax							$	(129,400	)

The provision for federal income taxes and change in deferred income taxes differ from that which would be obtained by applying the statutory federal income tax rate of 21% to income before income taxes. The significant items causing this difference are as follows:

	December 31,
	2020			2019			2018
Income tax expense at statutory rate		$                (356,646	)	$	61,396		$	60,337
Earnings from subsidiaries		(30,013	)		(22,849	)		(22,003	)
Swap gain on debt refinancing		—			—			8,175
Ceding commission from Protective, net of transaction expenses		(17,540	)		112,889			—
Dividend received deduction		(5,553	)		(6,161	)		(6,657	)
Tax adjustment for interest maintenance reserve		130,717			(1,739	)		(5,221	)
Interest maintenance reserve release on Protective transaction		—			(107,527	)		—
Prior year adjustment		552			(1,695	)		(4,124	)
Tax effect on non-admitted assets		4,884			3,425			(3,476	)
Tax credits		(2,963	)		(3,660	)		(2,901	)
Income tax on realized capital gain (loss)		12,592			120,618			1,030
Tax contingency		931			1,129			(607	)
Other		(1,343	)		(4,282	)		(395	)
Total	$	(264,382	)	$	151,544		$	24,158
	2020			2019			2018
Federal income taxes incurred	$	(7,668	)	$	22,144		$	(16,574	)
Change in net deferred income taxes		(256,714	)		129,400			40,732
Total income taxes	$	(264,382	)	$	151,544		$	24,158

59

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

As of December 31, 2020, the Company had no operating loss carryforwards.

As of December 31, 2020, the Company has Guaranteed Federal Low Income Housing tax credit carryforwards of $111,979. These credits will begin to expire in 2031.

As of December 31, 2020, the Company has foreign tax credit carryforwards of $0.

The following are income taxes incurred in prior years that will be available for recoupment in the event of future net losses:

Year Ended December 31, 2020	$	20,366
Year Ended December 31, 2019		132,977
Year Ended December 31, 2018		4,146

The Company has no deposits admitted under Section 6603 of the Internal Revenue Code.

The Company’s federal income tax return is consolidated with the following entities (the “U.S. Consolidated Group”):

Great-West Lifeco U.S. LLC

GWFS Equities, Inc.

GWL&A Financial Inc.

Great-West Life & Annuity Insurance Company of South Carolina

Great-West Life & Annuity Insurance Company of New York

Putnam Investments, LLC

Putnam Acquisition Financing, Inc.

Putnam Retail Management, LP

Putnam Retail Management GP, Inc.

Putnam Investor Services, Inc.

PanAgora Holdings, Inc

PanAgora Asset Management, Inc.

Putnam Advisory Holdings, LLC

Putnam Advisory Holdings II, LLC

Empower Retirement, LLC

Advised Assets Group, LLC

Great-West Trust Company, LLC

Great-West Capital Management, LLC

Personal Capital Corporation

Personal Capital Advisors Corporation

Personal Capital Services Corporation

Personal Capital Technology Corporation

The Company, GWL&A NY and GWSC (“GWLA Subgroup”) are life insurance companies who form a life subgroup under the consolidated return regulations. These regulations determine whether the taxable income or losses of this subgroup may offset or be offset with the taxable income or losses of other non-life entities.

The GWLA Subgroup accounts for income taxes on the modified separate return method on each of their separate company, statutory financial statements. Under this method, current and deferred tax expense or benefit is determined on a standalone basis; however the Company also considers taxable income or losses from other members of the GWLA Subgroup when determining its deferred tax assets and liabilities, and in evaluating the realizability of its deferred tax assets.

60

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

The method of settling income tax payables and receivables (“Tax Sharing Agreement”) among the U.S. consolidated group is subject to a written agreement approved by the Board of Directors, whereby settlement is made on a separate return basis (i.e., the amount that would be due to or from a jurisdiction had an actual separate return been filed) except for the current utilization of any net operating losses and other tax attributes by members of the U.S. Consolidated Group, which can lead to receiving a payment when none would be received from the jurisdiction had a real separate tax return been required. The GWLA Subgroup has a policy of settling intercompany balances as soon as practical after the filing of the federal consolidated return or receipt of the income tax refund from the Internal Revenue Service (“I.R.S.”).

The Company determines income tax contingencies in accordance with Statement of Statutory Accounting Principles No. 5R, Liabilities, Contingencies and Impairments of Assets (“SSAP No. 5R”) as modified by SSAP No. 101. As of December 31, 2020 the amount of tax contingencies computed in accordance with SSAP No. 5R is $0, with the exception of interest and penalties. The Company does not expect a significant increase in tax contingencies within the 12 month period following the balance sheet date.

The Company recognizes accrued interest and penalties related to tax contingencies in current income tax expense. During the years ended December 31, 2020 and 2019, the Company recognized approximately $931 and $1,129 of expense from interest and penalties related to the uncertain tax positions. The Company had $2,374 and $1,443 accrued for the payment of interest and penalties at December 31, 2020 and 2019, respectively.

The Company files income tax returns in the U.S. federal jurisdiction and various states. The Company’s parent, with which it files a consolidated federal income tax return, is under examination for tax years 2007 through 2014 with respect to foreign tax credit refund claims. Tax Years 2015 through 2019 are open to federal examination by the Internal Revenue Service. The Company does not expect significant increases or decreases to unrecognized tax benefits relating to federal, state or local audits.

The Company does not have any foreign operations as of the periods ended December 31, 2020 and December 31, 2019 and therefore is not subject to the tax on Global Intangible Low-Taxed Income.

16. Employee Benefit Plans

Post-Retirement Medical and Supplemental Executive Retirement Plans

Previously, the Company sponsored an unfunded Post-Retirement Medical Plan (the “Medical Plan”) that provided health benefits to retired employees who are not Medicare eligible. The Medical Plan is contributory and contains other cost sharing features which may be adjusted annually for the expected general inflation rate. The Company’s policy is to fund the cost of the Medical Plan benefits in amounts determined at the discretion of management. Effective January 1, 2020, the Company transferred the Medical Plan to its subsidiary, Empower.

The Company provides Supplemental Executive Retirement Plans to certain key executives. These plans provide key executives with certain benefits upon retirement, disability or death based upon total compensation. The Company has purchased individual life insurance policies with respect to each employee covered by these plans. The Company is the owner and beneficiary of the insurance contracts.

A December 31 measurement date is used for the employee benefit plans.

61

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

The following tables provide a reconciliation of the changes in the benefit obligations, fair value of plan assets and the underfunded status for the Company’s Post-Retirement Medical and Supplemental Executive Retirement plans:

	Post-Retirement Medical Plan						Supplemental Executive Retirement Plan						Total
	Year Ended December 31,						Year Ended December 31,						Year Ended December 31,
	2020			2019			2020			2019			2020			2019
Change in projected benefit obligation:
Benefit obligation, January 1	$	22,696		$	19,539		$	40,801		$	37,562		$	63,497		$	57,101
Service cost		—			1,435			—			—			—			1,435
Interest cost		—			825			1,175			1,510			1,175			2,335
Actuarial (gain) loss		—			2,059			2,753			4,109			2,753			6,168
Regular benefits paid		—			(1,162	)		(2,566	)		(2,380	)		(2,566	)		(3,542	)
Benefit obligation transferred to Empower		(22,696	)		—			—			—			(22,696	)		—
Benefit obligation and under funded status, December 31	$	—		$	22,696		$	42,163		$	40,801		$	42,163		$	63,497
Accumulated benefit obligation		—		$	22,696			42,163			40,801			42,163		$	63,497
	Post-Retirement Medical Plan						Supplemental Executive Retirement Plan						Total
	Year Ended December 31,						Year Ended December 31,						Year Ended December 31,
	2020			2019			2020			2019			2020			2019
Change in plan assets:
Fair Value of plan assets, January 1	$	—		$	—		$	—		$	—		$	—		$	—
Employer contributions		—			1,162			2,566			2,380			2,566			3,542
Regular Benefits paid		—			(1,162	)		(2,566	)		(2,380	)		(2,566	)		(3,542	)
Fair Value of plan assets, December 31	$	—		$	—		$	—		$	—		$	—		$	—

The following table presents amounts recognized in the Statutory Statements of Admitted Assets, Liabilities, Capital and Surplus for the Company’s Post-Retirement Medical and Supplemental Executive Retirement plans:

	Post-Retirement Medical Plan					Supplemental Executive Retirement Plan						Total
	December 31,					December 31,						December 31,
	2020		2019			2020			2019			2020			2019
Amounts recognized in the Statutory Statements of Admitted Assets, Liabilities, Capital and Surplus:
Accrued benefit liability	$	—	$	(22,224	)	$	(38,349	)	$	(39,470	)	$	(38,349	)	$	(61,694	)
Liability for pension benefits		—		(472	)		(3,814	)		(1,331	)		(3,814	)		(1,803	)
Total other liabilities	$	—	$	(22,696	)	$	(42,163	)	$	(40,801	)	$	(42,163	)	$	(63,497	)
Unassigned surplus (deficit)	$	—	$	(472	)	$	(3,814	)	$	(1,331	)	$	(3,814	)	$	(1,803)

62

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

The following table presents amounts not yet recognized in the statements of financial position for the Company’s Post-Retirement Medical and Supplemental Executive Retirement plans:

	Post-Retirement Medical Plan					Supplemental Executive Retirement Plan						Total
	December 31,					December 31,						December 31,
	2020		2019			2020			2019			2020			2019
Unrecognized net actuarial gain (loss)	$	—	$	2,869		$	(3,515	)	$	(732	)	$	(3,515	)	$	2,137
Unrecognized prior service cost		—		(3,341	)		(299	)		(599	)		(299	)		(3,940	)

The following table presents amounts in unassigned funds recognized as components of net periodic benefit cost for the Company’s Post-Retirement Medical and Supplemental Executive Retirement plans:

	Post-Retirement Medical Plan						Supplemental Executive Retirement Plan						Total
	Year Ended December 31,						Year Ended December 31,						Year Ended December 31,
	2020			2019			2020			2019			2020			2019
Items not yet recognized as component of net periodic cost on January 1,	$	(472	)	$	995		$	(1,331	)	$	2,529		$	(1,803	)	$	3,524
Transferred to Empower		472			—			—			—			472			—
Prior service cost recognized in net periodic cost		—			817			299			299			299			1,116
(Gain) loss recognized in net periodic cost		—			(225	)		(29	)		(50	)		(29	)		(275	)
Gain (loss) arising during the year		—			(2,059	)		(2,753	)		(4,109	)		(2,753	)		(6,168	)
Items not yet recognized as component of net periodic cost on December 31	$	—		$	(472	)	$	(3,814	)	$	(1,331	)	$	(3,814	)	$	(1,803	)

The following table provides information regarding amounts in unassigned funds that are expected to be recognized as components of net periodic benefit costs during the year ended December 31, 2021:

	Post-Retirement Medical Plan		Supplemental Executive Retirement Plan			Total
Net actuarial gain	$	—	$	(29	)	$	(29	)
Prior service cost		—		299			299

The expected benefit payments for the Company’s Supplemental Executive Retirement plan for the years indicated are as follows:

	2021		2022		2023		2024		2025		2026 through 2030
Supplemental executive retirement plan		2,567		10,282		5,756		2,179		1,962		8,382

63

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

The following table presents the components of net periodic cost (benefit):

	Post-Retirement Medical Plan								Supplemental Executive Retirement Plan									Total
	Year Ended December 31,								Year Ended December 31,									Year Ended December 31,
	2020		2019			2018			2020			2019			2018			2020			2019			2018
Components of net periodic cost (benefit):
Service cost	$	—	$	1,435		$	1,425		$	—		$	—		$	—		$	—		$	1,435		$	1,425
Interest cost		—		825			703			1,175			1,510			1,356			1,175			2,335			2,059
Amortization of unrecognized prior service cost		—		817			817			299			299			324			299			1,116			1,141
Amortization of gain from prior periods		—		(225	)		(82	)		(29	)		(50	)		(45	)		(29	)		(275	)		(127	)
Net periodic cost	$	—	$	2,852		$	2,863		$	1,445		$	1,759		$	1,635		$	1,445		$	4,611		$	4,498

The following tables present the assumptions used in determining benefit obligations of the Post-Retirement Medical and the Supplemental Executive Retirement plans at December 31, 2020 and 2019:

	Post-Retirement Medical Plan
	December 31,
	2020	2019
Discount rate	N/A	3.16%
Initial health care cost trend	N/A	6.00%
Ultimate health care cost trend	N/A	5.00%
Year ultimate trend is reached	N/A	2024
	Supplemental Executive Retirement Plan
	December 31,
	2020	2019
Discount rate	2.09%	2.98%
Rate of compensation increase	N/A	N/A

During 2020, the Company adopted the Society of Actuaries Morality Improvement Scale (MP-2020).

During 2019, the Company adopted the Society of Actuaries Morality Improvement Scale (MP-2019).

The following tables present the weighted average interest rate assumptions used in determining the net periodic benefit/cost of the Post-Retirement Medical and the Supplemental Executive Retirement plans:

	Post-Retirement Medical Plan
	Year Ended December 31,
	2020	2019
Discount rate	N/A	4.34%
Initial health care cost trend	N/A	6.25%
Ultimate health care cost trend	N/A	5.00%
Year ultimate trend is reached	N/A	2024

64

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

	Supplemental Executive Retirement Plan
	Year Ended December 31,
	2020	2019
Discount rate	2.98%	4.16%
Rate of compensation increase	N/A	N/A

The discount rate has been set based on the rates of return on high-quality fixed-income investments currently available and expected to be available during the period the benefits will be paid. In particular, the yields on bonds rated AA or better on the measurement date have been used to set the discount rate.

Beginning December 31, 2012, the Company began participation in the pension plan sponsored by GWL&A Financial. During 2017, that plan froze all future benefit accruals for pension-eligible participants as of December 31, 2017. The Company’s share of net expense for the pension plan was $7,806, $14,842 and $3,057 during the years ended December 31, 2020, 2019 and 2018.

The Company offers unfunded, non-qualified deferred compensation plans to a select group of executives, management and highly compensated individuals. Participants defer a portion of their compensation and realize potential market gains / losses or interest on the amount deferred. The programs are not qualified under Section 401 of the Internal Revenue Code. Participant balances, which are included in Other liabilities in the accompanying statutory financial statements, are $49,595 and $41,792 at December 31, 2020 and 2019, respectively.

Previously, the Company sponsored a qualified defined contribution benefit plan covering all employees. Under this plan, employees may contribute a percentage of their annual compensation to the plan up to certain maximums, as defined by the plan and by the Internal Revenue Service (“IRS”). Effective January 1, 2020, the Company transferred the qualified defined contribution benefit plan to its subsidiary, Empower Retirement, LLC. Previously, the Company matched a percentage of employee contributions in cash. The Company recognized $0, $24,955 and $11,935 in expense related to this plan for the years ended December 31, 2020, 2019 and 2018, respectively.

17. Share-Based Compensation

Equity Awards

Lifeco, of which the Company is an indirect wholly-owned subsidiary, maintains the Great-West Lifeco Inc. Stock Option Plan (the “Lifeco plan”) that provides for the granting of options on its common shares to certain of its officers and employees and those of its subsidiaries, including the Company. Options are granted with exercise prices not less than the average market price of the shares on the five days preceding the date of the grant. The Lifeco plan provides for the granting of options with varying terms and vesting requirements with vesting commencing on the first anniversary of the grant, exercisable within 10 years from the date of grant. Compensation expense is recognized in the Company’s financial statements over the vesting period of these stock options using the accelerated method of recognition.

Termination of employment prior to the vesting of the options results in the forfeiture of the unvested options, unless otherwise determined by the Human Resources Committee. At its discretion, the Human Resources Committee may vest the unvested options of retiring option holders, with the options exercisable within five years from the date of retirement. In such event, the Company accelerates the recognition period to the date of retirement for any unrecognized share-based compensation cost related thereto and recognizes it in its earnings at that time.

65

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

Liability Awards

The Company maintains a Performance Share Unit Plan (“PSU plan”) for officers and employees of the Company. Under the PSU plan, “performance share units” are granted to certain of its officers and employees of the Company. Each performance unit has a value equal to one share of Lifeco common stock and is subject to adjustment for cash dividends paid to Lifeco stockholders, Company earnings results as well as stock dividends and splits, consolidations and the like that affect shares of Lifeco common stock outstanding.

If the performance share units vest, they are payable in cash equal to the average closing price of Lifeco common stock for the 20 trading days prior to the date following the last day of the three-year performance period. The estimated fair value of the performance unit is based on the average closing price of Lifeco common stock for the 20 trading days prior to the grant. The performance share units generally vest in their entirety at the end of the three years performance period based on continued service. The PSU plan contains a provision that permits all unvested performance share units to become vested upon death or retirement. Changes in the fair value of the performance share units that occur during the vesting period is recognized as compensation cost over that period.

Performance share units are settled in cash and are recorded as liabilities until payout is made. Unlike share-settled awards, which have a fixed grant-date fair value, the fair value of unsettled or unvested liabilities awards is remeasured at the end of each reporting period based on the change in fair value of one share of Lifeco common stock. The liability and corresponding expense are adjusted accordingly until the award is settled.

Compensation Expense Related to Share-Based Compensation

The compensation expense related to share-based compensation was as follows:

	Year Ended December 31,
	2020		2019		2018
Lifeco Stock Plan	$	593	$	899	$	768
Performance Share Unit Plan		6,431		15,458		5,388
Total compensation expense	$	7,024	$	16,357	$	6,156
Income tax benefits	$	1,465	$	3,414	$	1,243

During the year ended December 31, 2020, 2019 and 2018, the Company had $48, $(67) and $26 respectively, income tax benefits (expense) realized from stock options exercised.

The following table presents the total unrecognized compensation expense related to share-based compensation at December 31, 2020 and the expected weighted average period over which these expenses will be recognized:

	Expense		Weighted average       period (years)
Lifeco Stock Plan	$	709		1.4
Performance Share Unit Plan		5,562		1.2

66

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

Equity Award Activity

During the year ended December 31, 2020, Lifeco did not grant stock options to employees of the Company.

The following table summarizes the status of, and changes in, the Lifeco plan options granted to Company employees which are outstanding. The options granted relate to underlying stock traded in Canadian dollars on the Toronto Stock Exchange; therefore, the amounts, which are presented in United States dollars, will fluctuate as a result of exchange rate fluctuations.

				Weighted average
	Shares under       option			Exercise price     (Whole dollars)		Remaining contractual     term (Years)	Aggregate     intrinsic value (1)
Outstanding, January 1, 2020		3,450,130		$	25.03
Granted		—			—
Exercised		(210,900	)		20.78
Cancelled and expired		(67,760	)		25.89
Outstanding, December 31, 2020		3,171,470			25.95	5.5	$	1,362
Vested and expected to vest, December 31, 2020		3,171,470			25.89	5.5		1,362
Exercisable, December 31, 2020		2,170,850			26.11	4.6		1,332

⁽¹⁾ The aggregate intrinsic value is calculated as the difference between the market price of Lifeco common shares on December 31, 2020 and the exercise price of the option (only if the result is positive) multiplied by the number of options.

The following table presents additional information regarding stock options under the Lifeco plan:

	Year Ended December 31,
	2020		2019		2018
Weighted average fair value of options granted		NA	$	2.32	$	0.95
Intrinsic value of options exercised (1)		1,097		3,282		345
Fair value of options vested		911		1,358		1,115

⁽¹⁾ The intrinsic value of options exercised is calculated as the difference between the market price of Lifeco common shares on the date of exercise and the exercise price of the option multiplied by the number of options exercised.

There were no options granted during 2020. The fair value of the options granted during the years ended December 31, 2019 and 2018 was estimated on the date of the grant using the Black-Scholes option-pricing model with the following weighted average assumptions:

	Year Ended December 31,
	2020		2019			2018
Dividend yield		NA		5.46	%		4.55	%
Expected volatility		NA		19.68	%		9.01	%
Risk free interest rate		NA		1.83	%		2.03	%
Expected duration (years)		NA		6.0			6.0

67

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

Liability Award Activity

The following table summarizes the status of, and changes in, the Performance Share Unit Plan units granted to Company employees which are outstanding:

	Performance Units
Outstanding, January 1, 2020		1,156,384
Granted		67,511
Forfeited		(7,063	)
Paid		(258,005	)
Outstanding, December 31, 2020		958,827
Vested and expected to vest, December 31, 2020		958,827

The cash payment in settlement of the Performance Share Unit Plan units was $8,569, $5,815 and $4,104 for the years ended December 31, 2020, 2019 and 2018, respectively.

18. Participating Insurance

Individual life insurance premiums paid, net of reinsurance, under individual life insurance participating policies were 55%, (1)%, and 1% of total individual life insurance premiums earned during the years ended December 31, 2020, 2019 and 2018 respectively. The Company accounts for its policyholder dividends based upon the three-factor formula. The Company paid dividends in the amount of $18,497, $23,461 and $31,276 to its policyholders during the years ended December 31, 2020, 2019 and 2018, respectively.

19. Concentrations

No customer accounted for 10% or more of the Company’s revenues during the year ended December 31, 2020. In addition, the Company is not dependent upon a single customer or a few customers. The loss of business from any one, or a few, independent brokers or agents would not have a material adverse effect on the Company or any of its business agents.

20. Commitments and Contingencies

Future Contractual Obligations

The following table summarizes the Company’s estimated future contractual obligations:

	Payment due by period
	2021		2022		2023		2024		2025		Thereafter		Total
Surplus notes - principal (1)	$	—	$	—	$	—	$	—	$	527,500	$	358,219	$	885,719
Surplus notes - interest (2)		23,965		23,965		23,965		23,965		22,304		381,066		499,230
Investment purchase obligations (3)		492,805								1,125		5,000		498,930
Operating leases (4)		6,488		3,727		3,234		3,185		2,814		19,145		38,593
Other liabilities (5)		5,241		22,732		18,381		4,804		5,262		27,882		84,302
Total	$	528,499	$	50,424	$	45,580	$	31,954	$	559,005	$	791,312	$	2,006,774

⁽¹⁾ Surplus notes principal - Represents contractual maturities of principal due to the Company’s parent, GWL&A Financial, under the terms of three long-term surplus notes. The amounts shown in this table differ from the amounts included in the

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GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

Company’s Statement of Admitted Assets, Liabilities, Capital and Surplus because of the $36,262 of unamortized debt modification gain as discussed in Footnote 14.

⁽²⁾ Surplus notes interest - All surplus notes bear interest at a fixed rate through maturity. The interest payments shown in this table are calculated based upon the contractual rates in effect on December 31, 2020.

⁽³⁾ Investment purchase obligations - The Company makes commitments to fund partnership interests, mortgage loans, and other investments in the normal course of its business. As the timing of the fulfillment of the commitment to fund partnership interests cannot be predicted, such obligations are presented in the less than one year category. The timing of the funding of mortgage loans is based on the expiration date of the commitment. The amounts of these unfunded commitments at December 31, 2020 and 2019 were $498,930 and $131,651, of which $447,515 and $120,990 were related to limited partnership interests. Related party transactions comprise of $94,803 and $0 of the unfunded limited partnership interests at December 31, 2020 and 2019, respectively. At December 31, 2020 and 2019, $492,805 and $131,651 were due within one year, $1,125 and $0 were due within four to five years, and $5,000 and $0 were due after five years.

⁽⁴⁾ Operating leases - The Company is obligated to make payments under various non-cancelable operating leases, primarily for office space. Contractual provisions exist that could increase the lease obligations presented, including operating expense escalation clauses. Management does not consider the impact of any such clauses to be material to the Company’s operating lease obligations. Rent expense for the years ended December 31, 2020, 2019 and 2018 were $25,324, $33,473 and $27,768 respectively.

From time to time, the Company enters into agreements or contracts, including capital leases, to purchase goods or services in the normal course of its business. However, these agreements and contracts are not material and are excluded from the table above.

⁽⁵⁾    Other liabilities - Other liabilities include those other liabilities which represent contractual obligations not included elsewhere in the table above. If the timing of the payment of any other liabilities was sufficiently uncertain, the amounts were included in the less than one year category. Other liabilities presented in the table above include:

• Expected benefit payments for the Company’s supplemental executive retirement plan through 2027

• Unrecognized tax benefits

• Miscellaneous purchase obligations to acquire goods and services

• Sport partner sponsorship payments

• Personal Capital Corporation contingent payment consideration

As part of the Personal Capital Corporation acquisition, the Company included contingent consideration based on the potential achievement of certain key metrics. An initial contingent consideration earn-out value of $20 million represents management’s best estimate, and it could be up to $175 million based on the achievement of growth in assets under management metrics defined in the Merger Agreement, payable following measurements through December 31, 2021 and December 31, 2022

Originally entered into on March 1, 2018 and as amended on July 7, 2020, the Company has a revolving credit facility agreement in the amount of $50,000 for general corporate purposes. The credit facility has an expiration date of March 1, 2023. Interest accrues at a rate dependent on various conditions and terms of borrowings. The agreement requires, among other things, the Company to maintain a minimum adjusted net worth, of $673,000, as defined in the credit facility agreement (compiled on the unconsolidated statutory accounting basis prescribed by the NAIC), at any time. The Company was in compliance with all covenants at December 31, 2020 and 2019. At December 31, 2020 and 2019 there were no outstanding amounts related to the current and prior credit facilities.

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GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Notes to Statutory Financial Statements

(In Thousands, Except Share Amounts)

In addition, the Company has other letters of credit with a total amount of $8,595, renewable annually for an indefinite period of time. At December 31, 2020 and 2019, there were no outstanding amounts related to those letters of credit.

In October 2020, the Company became a member of the FHLB of Topeka. FHLB provides access to billions of low-cost funding dollars to banks, credit unions, insurance companies and community development financial institutions in the United States. At December 31, 2020, the Company had an estimated borrowing capacity of approximately $2,500,000. All borrowings must be collateralized and the required collateral amount is based on the type of investment securities pledged. No amount was borrowed as of December 31, 2020. Additionally, the Company was required to purchase FHLB of Topeka stock and, at December 31, 2020 owns $500 of Class A stock which are currently not eligible for redemption.

Contingencies

From time to time, the Company may be threatened with, or named as a defendant in, lawsuits, arbitrations, and administrative claims. Any such claims that are decided against the Company could harm the Company’s business. The Company is also subject to periodic regulatory audits and inspections which could result in fines or other disciplinary actions. Unfavorable outcomes in such matters may result in a material impact on the Company’s financial position, results of operations, or cash flows.

The Company is defending lawsuits relating to the costs and features of certain of its retirement or fund products. Management believes the claims are without merit and will defend these actions. Based on the information known, these actions will not have a material adverse effect on the financial position of the Company.

The liabilities transferred and ceding commission received at the closing of the Protective transaction were subject to future adjustments. In October 2019, Protective Life provided the Company with its listing of proposed adjustments with respect to the liabilities transferred, which the Company formally objected to in December 2019. In November 2020, the parties reached resolution and settled cash for adjustments which did not have a material effect on the consolidated financial position of the Company and no further adjustments are expected.

The Company is involved in other various legal proceedings that arise in the ordinary course of its business. In the opinion of management, after consultation with counsel, the likelihood of loss from the resolution of these proceedings is remote and/or the estimated loss is not expected to have a material effect on the Company’s financial position, results of its operations, or cash flows.

The Company and GWL&A NY have an agreement whereby the Company has committed to provide financial support to GWL&A NY related to the maintenance of adequate regulatory surplus and liquidity. The Company is obligated to invest in shares of GWL&A NY in order for GWL&A NY to maintain the capital and surplus at the greater of 1) $6,000, 2) 200% of GWL&A NY RBC minimum capital requirements if GWL&A NY total assets are less than $3,000,000 or 3) 175% of GWL&A NY RBC minimum capital requirements if GWL&A NY total assets are $3,000,000 or more. There is no limitation on the maximum potential future payments under the guarantee. The Company has no liability at December 31, 2020 and 2019 for obligations under the guarantee.

21.  Subsequent Events

Management has evaluated subsequent events for potential recognition or disclosure in the Company’s statutory financial statements through April 1, 2021, the date on which they were issued. On February 3, 2021, the Company’s Board of Directors declared a dividend of $100,000. The dividend was paid on March 29, 2021 to the Company’s sole shareholder, GWL&A Financial. Prior to the payment of this dividend, the Company received approval from the Colorado Insurance Commissioner.

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SUPPLEMENTAL SCHEDULES

(See Independent Auditors’ Report)

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GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Supplemental Schedule of Selected Statutory Financial Data

As of and for the Year Ended December 31, 2020

(In Thousands)

Investment income earned:
U.S. Government bonds	$	1,631
Other bonds (unaffiliated)		472,771
Bonds of affiliates		564
Preferred stocks (unaffiliated)		3
Common stocks (unaffiliated)		151
Mortgage loans		107,249
Real estate		28,964
Contract loans		197,843
Cash, cash equivalents and short-term investments		5,862
Derivative instruments		18,840
Other invested assets		155,506
Aggregate write-ins for investment income		5,303
Gross investment income	$	994,687
Real estate owned - Book value less encumbrances:	$	43,776
Mortgage loans - Book value:
Commercial mortgages	$	4,124,412
Mortgage loans by standing - Book value:
Good standing	$	4,124,412
Other long-term invested assets - Statement value:	$	504,876
Bonds and stocks of parents, subsidiaries and affiliates - Book value:
Bonds	$	6,433
Common stocks	$	62,550
Bonds and short-term investments by maturity and NAIC designation:
Bonds by maturity - Statement value:
Due within one year or less	$	1,833,337
Over 1 year through 5 years		8,459,940
Over 5 years through 10 years		10,905,977
Over 10 years through 20 years		3,262,440
Over 20 years		2,105,662
Total by maturity		$26,567,356

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GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Supplemental Schedule of Selected Statutory Financial Data

As of and for the Year Ended December 31, 2020

(In Thousands)

Bonds and short-term investments by NAIC designation - Statement value:
NAIC 1	$	14,774,212
NAIC 2		11,083,416
NAIC 3		661,042
NAIC 4		46,004
NAIC 5		2,312
NAIC 6		370
Total by NAIC designation	$	26,567,356
Total bonds publicly traded	$	14,796,022
Total bonds privately placed	$	11,771,334
Preferred stocks - Statement value	$	119,687
Common stocks - Market value	$	223,883
Short-term investments - Book value	$	408,168
Options, caps and floors owned - Statement value	$	34
Collar, swap and forward agreements open - Statement value	$	30,313
Futures contracts open - Current value	$	5,334

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GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Supplemental Schedule of Selected Statutory Financial Data

As of and for the Year Ended December 31, 2020

(In Thousands)

Life insurance in-force:
Ordinary	$	3,588,007
Group life		—
Life insurance policies with disability provisions in-force:
Ordinary	$	9,504
Group life		18,617,777
Supplementary contracts in-force:
Ordinary - not involving life contingencies:
Amount on deposit	$	—
Income payable		—
Ordinary - involving life contingencies:
Income payable		—
Group - not involving life contingencies:
Amount on deposit		—
Income payable		—
Group - involving life contingencies:
Income payable		125
Annuities:
Ordinary:
Immediate - amount of income payable	$	49
Deferred - fully paid account balance		318
Deferred - not fully paid - account balance		—
Group:
Certificates - amount of income payable	$	60,137
Certificates - fully paid account balance		1,489
Certificates - not fully paid account balance		31,651,605
Accident and health insurance - equivalent premiums in-force:
Group	$	—
Deposit funds and dividend accumulations
Deposit funds - account balance		28,062
Deposit accumulations - account balance		18,257
Claim payments:
Group accident and health:
2020	$	5,078
2019		9,460
2018		5,486
2017		2,786
2016		2,829
Prior		16,848

74

GREAT-WEST LIFE & ANNUITY INSURANCE COMPANY

Supplemental Schedule of Selected Statutory Financial Data

As of and for the Year Ended December 31, 2020

(In Thousands)

Supplemental Schedule of the Annual Audit Report

Supplemental Schedule Regarding Reinsurance Contracts with Risk-Limiting Features

Reinsurance contracts subject to Appendix A-791—Life and Health Reinsurance Agreements of the NAIC Accounting Practices and Procedures Manual:

The Company has not entered into, renewed or amended reinsurance contracts on or after January 1, 1996, which include risk-limiting features, as described in SSAP No. 61R—Life, Deposit-Type and Accident and Health Reinsurance (SSAP No. 61R). Deposit accounting, as described in SSAP No. 61R was not applied for reinsurance contracts, which include risk-limiting features since the Company does not have applicable contracts.

Reinsurance contracts NOT subject to Appendix A-791—Life and Health Reinsurance Agreements of the NAIC Accounting Practices and Procedures Manual:

The Company has not applied reinsurance accounting, as described in in SSAP No. 61R, to reinsurance contracts entered into, renewed or amended on or after January 1, 1996, which include risk-limiting features, as described in SSAP No. 61R since the Company does not have applicable contracts. As such, the reinsurance reserve credit, as described in SSAP No. 61R, was not reduced.

Payments to reinsurers (excluding reinsurance contracts with a federal or state facility):

The Company has not entered into, renewed or amended reinsurance contracts on or after January 1, 1996, which contain provisions that allow (1) the reporting of losses or settlements with the reinsurer to occur less frequently than quarterly or (2) payments due from the reinsurer to not be made in cash within ninety days of the settlement date unless there is no activity during the period.

The Company has not entered into, renewed or amended reinsurance contracts on or after January 1, 1996, which contain a payment schedule, accumulating retentions from multiple years or any features inherently designed to delay timing of the reimbursement to the ceding company.

Reinsurance contracts NOT subject to Appendix A-791—Life and Health Reinsurance Agreements of the NAIC Accounting Practices and Procedures Manual and NOT yearly-renewable term that meet the risk transfer requirements under SSAP No. 61R:

The Company has not reflected reinsurance reserve credit for any reinsurance contracts entered into, renewed or amended on or after January 1, 1996 for the following:

a. Assumption reinsurance

b. Non-proportional reinsurance that does not result in significant surplus relief

The Company does not prepare financial information under generally accepted accounting principles (“GAAP”). As such, the Company has not ceded any risk during the period ended December 31, 2020 under any reinsurance contracts entered into, renewed or amended on or after January 1, 1996, that applies reinsurance accounting, as described under SSAP No. 61R for statutory accounting principles (SAP) and applies deposit accounting under GAAP.

The Company has not ceded any risk during the period ended December 31, 2020 under any reinsurance contracts entered into, renewed or amended on or after January 1, 1996, accounted for as reinsurance under GAAP and as a deposit under SSAP No. 61R.

75