ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

FINANCIAL STATEMENTS

DECEMBER 31, 2021

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

	Page(s)
Report of Independent Registered Public Accounting Firm		1-8
Statement of Assets, Liabilities and Policy Owners’ Equity, December 31, 2021		9-15
Statement of Operations for the year ended December 31, 2021		16-22
Statement of Changes in Policy Owners’ Equity for the year ended December 31, 2021		23-29
Statement of Changes in Policy Owners’ Equity for the year ended December 31, 2020		30-36
Notes to Financial Statements		37-63

Ernst & Young LLP 155 North Wacker Drive Chicago, IL 60606-1787 Tel: +1 312 879 2000 Fax: +1 312 879 4000 ey.com

Report of Independent Registered Public Accounting Firm

To the Board of Directors and Policy Owners of

The ZALICO Variable Separate Account

Opinion on the Financial Statements

We have audited the accompanying statements of assets, liabilities and policy owners’ equity of each of the subaccounts listed in the Appendix that comprise ZALICO Variable Separate Account (“Separate Account”), as of December 31, 2021, the related statement of operations and the statement of changes in policy owners’ equity for the period indicated in the Appendix, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each subaccount as of December 31, 2021, the results of its operations and changes in its policy owners’ equity for each of the periods indicated in the Appendix, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Separate Account’s management. Our responsibility is to express an opinion on each of the subaccounts’ 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 Separate 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 audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. 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 procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the fund companies or their transfer agents, as applicable. 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. We believe that our audits provide a reasonable basis for our opinion.

We have served as the Separate Account’s Auditor since 2021.

April 26, 2022

1

Appendix

Subaccounts comprising ZALICO Variable Separate Account

Subaccounts	Statement of operations	Statements of changes in policy owners’ equity
DWS Capital Growth VIP – A	For the year ended	For the year ended
DWS CROCI International VIP – B	December 31, 2021	December 31, 2021
DWS Global Income Builder VIP – A
DWS Government & Agency Securities VIP – A
DWS High Income VIP – A
DWS Global Equity VIP – A
DWS Government Money Market VIP – A
DWS Small Mid Cap Growth VIP – A
DWS Core Equity VIP – B
Fidelity VIP II Contrafund
Fidelity VIP Equity Income
Fidelity VIP High Income
Fidelity VIP II Index 500
Fidelity VIP Growth Opportunities
AST Hotchkis Wiley Large-Cap Value Portfolio
AST BlackRock Low Duration Bond
AST BlackRock Loomis Sayles Bond Portfolio
AST Small Cap Growth
AST T Rowe Price Asset Allocation
AST International Growth
AST Loomis Sayles Large-Cap Growth Portfolio
AST Mid-Cap Growth Portfolio
AST T Rowe Price Large-Cap Value Portfolio
Invesco V.I. Technology Fund – Series I
Invesco V.I. Technology Fund – Series I
Invesco V.I. Technology Fund – Series I
Invesco V.I. Diversified Dividend Fund – Series I
Invesco V.I. Diversified Dividend Fund – Series I
Invesco V.I. Diversified Dividend Fund – Series I
Alger Balanced-Class I-2
Alger Balanced-Class I-2
Alger Balanced-Class I-2
Alger Large Cap Growth- Class I-2
Alger Large Cap Growth- Class I-2
Alger Large Cap Growth- Class I-2
Alger Mid Cap Growth-Class I-2
Alger Mid Cap Growth-Class I-2
Alger Mid Cap Growth-Class I-2
Alger Growth & Income-Class I-2
Alger Growth & Income-Class I-2
Alger Growth & Income-Class I-2

2

Subaccounts	Statement of operations	Statements of changes in policy owners’ equity
BNY Mellon Variable Investment Fund, Appreciation Portfolio-Initial Shares	For the year ended December 31, 2021	For the year ended December 31, 2021
BNY Mellon Variable Investment Fund, Appreciation Portfolio-Initial Shares
BNY Mellon Variable Investment Fund, Appreciation Portfolio-Initial Shares
BNY Mellon Sustainable U.S. Equity Portfolio, Inc. – Initial Shares
BNY Mellon Sustainable U.S. Equity Portfolio, Inc. – Initial Shares
BNY Mellon Sustainable U.S. Equity Portfolio, Inc. – Initial Shares
BNY Mellon Variable Investment Fund, Opportunistic Small Cap Portfolio - Initial Shares
BNY Mellon Variable Investment Fund, Opportunistic Small Cap Portfolio – Initial Shares
BNY Mellon Variable Investment Fund, Opportunistic Small Cap Portfolio – Initial Shares
BNY Mellon Stock Index Fund, Inc. – Initial Shares
BNY Mellon Stock Index Fund, Inc. – Initial Shares
BNY Mellon Stock Index Fund, Inc. – Initial Shares
DWS Capital Growth VIP – A
DWS Capital Growth VIP – A
DWS Capital Growth VIP – A
DWS Core Equity VIP – A
DWS Core Equity VIP – A
DWS Core Equity VIP – A
DWS CROCI International VIP – A
DWS CROCI International VIP – A
DWS CROCI International VIP – A
DWS Small Cap Index VIP – A
DWS Small Cap Index VIP – A
DWS Small Cap Index VIP – A
DWS Bond VIP – A
DWS Bond VIP – A
DWS Bond VIP – A
DWS Global Income Builder VIP – A
DWS Global Income Builder VIP – A
DWS Global Income Builder VIP – A
DWS Government & Agency Securities VIP – A
DWS Government & Agency Securities VIP – A
DWS Government & Agency Securities VIP – A

3

Subaccounts	Statement of operations	Statements of changes in policy owners’ equity
DWS Government Money Market VIP – A DWS Government Money Market VIP – A	For the year ended December 31, 2021	For the year ended December 31, 2021
DWS Government Money Market VIP – A
DWS Small Mid Cap Growth VIP – A
DWS Small Mid Cap Growth VIP – A
DWS Small Mid Cap Growth VIP – A
Fidelity VIP Equity Income
Fidelity VIP Equity Income
Fidelity VIP Equity Income
Fidelity VIP Growth
Fidelity VIP Growth
Fidelity VIP Growth
Fidelity VIP High Income
Fidelity VIP High Income
Fidelity VIP High Income
Fidelity VIP Overseas
Fidelity VIP Overseas
Fidelity VIP Overseas
FTVIP Templeton Developing Markets Fund – CL 2
FTVIP Templeton Developing Markets Fund – CL 2
FTVIP Templeton Developing Markets Fund – CL 2
FTVIP Templeton Foreign Fund – CL 2
FTVIP Templeton Foreign Fund – CL 2
FTVIP Templeton Foreign Fund – CL 2
FTVIP Templeton Global Bond Fund – CL 2
FTVIP Templeton Global Bond Fund – CL 2
FTVIP Templeton Global Bond Fund – CL 2
Janus Henderson Research Portfolio – Institutional Shares
Janus Henderson Research Portfolio – Institutional Shares
Janus Henderson Research Portfolio – Institutional Shares
Janus Henderson Enterprise Portfolio – Institutional Shares
Janus Henderson Enterprise Portfolio – Institutional Shares
Janus Henderson Enterprise Portfolio – Institutional Shares
Janus Henderson Global Research Portfolio – Institutional Shares
Janus Henderson Global Research Portfolio – Institutional Shares
Janus Henderson Global Research Portfolio – Institutional Shares
Janus Henderson Balanced Portfolio – Institutional Shares
Janus Henderson Balanced Portfolio – Institutional Shares

4

Subaccounts	Statement of operations	Statements of changes in policy owners’ equity
Janus Henderson Balanced Portfolio – Institutional Shares	For the year ended December 31, 2021	For the year ended December 31, 2021
Janus Henderson Flexible Bond Portfolio – Institutional Shares
Janus Henderson Flexible Bond Portfolio – Institutional Shares
Janus Henderson Flexible Bond Portfolio – Institutional Shares
Janus Henderson Overseas Portfolio – Institutional Shares
Janus Henderson Overseas Portfolio – Institutional Shares
Janus Henderson Overseas Portfolio – Institutional Shares
Invesco V.I. Mid Cap Growth Fund – Series I
Invesco V.I. Mid Cap Growth Fund – Series I
Invesco V.I. Mid Cap Growth Fund – Series I
American Century VP Value
American Century VP Value
American Century VP Value
American Century VP Income and Growth
American Century VP Income and Growth
American Century VP Income and Growth
American Century VP International
American Century VP International
American Century VP International
American Century VP Ultra
American Century VP Ultra
American Century VP Ultra
DWS Capital Growth VIP – A
DWS Global Income Builder VIP – A
DWS Government & Agency Securities VIP – A
DWS High Income VIP – A
DWS Government Money Market VIP – A
DWS Core Equity VIP – A
DWS CROCI International VIP – A
DWS Bond VIP – A
DWS Government & Agency Securities VIP – A
DWS High Income VIP – A
DWS CROCI US VIP – A
DWS Government Money Market VIP – A
DWS Small Mid Cap Growth VIP – A
FTVIP Templeton Developing Markets Fund – CL 2
Janus Henderson Forty Portfolio – Institutional Shares
PIMCO PVIT International Bond (U.S. Dollar-Hedged) – Admin
PIMCO PVIT Low Duration Portfolio – Admin

5

Subaccounts	Statement of operations	Statements of changes in policy owners’ equity
Invesco V.I. Managed Volatility – Series I	For the year ended	For the year ended
Alger Capital Appreciation- Class I-2	December 31, 2021	December 31, 2021
Alger Balanced-Class I-2
BNY Mellon Investment Portfolios, MidCap Stock Portfolio – Initial Shares
BNY Mellon Sustainable U.S. Equity Portfolio, Inc. – Initial Shares
DWS Capital Growth VIP – A
DWS Equity 500 Index VIP – A
DWS Global Small Cap VIP – A
DWS Core Equity VIP – A
DWS CROCI International VIP – A
DWS Bond VIP – A
DWS Global Income Builder VIP – A
DWS Small Mid Cap Value VIP – A
DWS International Growth VIP – A
DWS Government & Agency Securities VIP – A
DWS High Income VIP – A
DWS Global Equity VIP – A
DWS CROCI US VIP – A
DWS Government Money Market VIP – A
DWS Government Money Market VIP – A
DWS Small Mid Cap Growth VIP – A
DWS Multisector Income VIP – A

6

Report of Independent Registered Public Accounting Firm

To the Board of Directors of Zurich American Life Insurance Company and the Policy Owners of ZALICO Variable Separate Account

Opinions on the Financial Statements

We have audited the accompanying statements of assets, liabilities and policy owners’ equity of each of the subaccounts of ZALICO Variable Separate Account indicated in the table below as of December 31, 2020, and the related statements of operations and of changes in policy owners’ equity for each of the periods indicated in the table below, including the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the subaccounts of ZALICO Variable Separate Account as of December 31, 2020, and the results of each of their operations and the changes in each of their policy owners’ equity for the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.

Alger Balanced (1)	DWS CROCI® U.S.VIP (1)
Alger Capital Appreciation (1)	DWS Equity 500 Index VIP (1)
Alger Growth & Income (1)	DWS Global Equity VIP (1)
Alger Large Cap Growth (1)	DWS Global Income Builder VIP (1)
Alger Mid Cap Growth (1)	DWS Global Small Cap VIP (1)
American Century VP Disciplined Core Value (1)	DWS Government & Agency Securities VIP (4)
American Century VP International (1)	DWS Government Money Market VIP (1)
American Century VP Ultra (1)	DWS High Income VIP (1)
American Century VP Value (1)	DWS International Growth VIP (1)
AST BlackRock/Loomis Sayles Bond (1)	Fidelity VIP Contrafund (1)
AST BlackRock Low Duration Bond (1)	Fidelity VIP Equity Income (1)
AST Goldman Sachs Mid-Cap Growth (1)	Fidelity VIP Growth (1)
AST Hotchkis Wiley Large-Cap Value (1)	Fidelity VIP Growth Opportunities (1)
AST International Growth (1)	Fidelity VIP High Income (1)
AST Loomis Sayles Large-Cap Growth (1)	Fidelity VIP Index 500 (1)
AST Small Cap Growth (1)	Fidelity VIP Overseas (1)
AST T. Rowe Price Asset Allocation (1)	Invesco Oppenheimer V.I. Discovery Mid Cap Growth (2)
AST T. Rowe Price Large-Cap Value (1)	Invesco V.I. Diversified Dividend (1)
BNY Mellon I.P. Mid Cap Stock (1)	Invesco V.I. Managed Volatility (1)
BNY Mellon Stock Index Fund (1)	Invesco V.I. Mid Cap Growth (4)
BNY Mellon Sustainable U.S. Equity (1)	Invesco V.I. Technology (1)
BNY Mellon VIF Appreciation (1)	Janus Henderson Balanced (1)
BNY Mellon VIF Opportunistic Small Cap (1)	Janus Henderson Enterprise (1)
DWS Multisector Income VIP (3)	Janus Henderson Flexible Bond (1)
DWS Small Cap Index VIP (1)	Janus Henderson Forty (1)
DWS Small Mid Cap Growth VIP (1)	Janus Henderson Global Research (1)
DWS Small Mid Cap Value VIP (1)	Janus Henderson Overseas (1)
DWS Bond VIP (1)	Janus Henderson Research (1)
DWS Capital Growth VIP (1)	PIMCO International Bond Portfolio (U.S. Dollar-Hedged) (1)
DWS Core Equity VIP ‘A’ (1)	PIMCO Low Duration (1)
DWS Core Equity VIP ‘B’ (1)	Templeton Developing Markets (1)
DWS CROCI® International VIP ‘A’ (1)	Templeton Foreign (1)
DWS CROCI® International VIP ‘B’ (1)	Templeton Global Bond (1)

(1) Statement of operations for the year ended December 31, 2020 and statement of changes in policy owners’ equity for the years ended December 31, 2020 and 2019

(2) Statement of operations and statement of changes in policy owners’ equity for the period April 30, 2020 (commencement of operations) through December 31, 2020

(3) Statement of operations and statement of changes in policy owners’ equity for the period January 1, 2020 to February 27, 2020 (date of liquidation) and statement of changes in policy owners’ equity for the year ended December 31, 2019

(4) Statement of operations and statement of changes in policy owners’ equity for the period January 1, 2020 to April 30, 2020 (date of liquidation) and statement of changes in policy owners’ equity for the year ended December 31, 2019

PricewaterhouseCoopers LLP, One North Wacker, Chicago, IL 60606

T: (312) 298 2000; F: (312) 298 2001, www.pwc.com/us

7

Basis for Opinions

These financial statements are the responsibility of the Zurich American Life Insurance Company management. Our responsibility is to express an opinion on the financial statements of each of the subaccounts of ZALICO Variable Separate Account 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 each of the subaccounts of ZALICO Variable Separate Account in accordance with the relevant ethical requirements relating to our audit, which include standards of the American Institute of Certified Public Accountants (AICPA) Code of Professional Conduct.

We conducted our audits of these financial statements in accordance with the auditing standards of the PCAOB and 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 financial statements are free of material misstatement, whether due to error or fraud.

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 investments owned as of December 31, 2020 by correspondence with the transfer agents of the investee mutual funds. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

Chicago, Illinois

April 23, 2021

We have served as the auditor of one or more of the subaccounts of ZALICO Variable Separate Account since 1997.

8

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Assets, Liabilities and Policy Owners’ Equity

December 31, 2021

	The Alger Fund										American Century Variable Porfolios, Inc.
	Alger Balanced		Alger Capital Appreciation		Alger Growth & Income		Alger Large Cap Growth		Alger Mid Cap Growth		American Century VP Disciplined Core Value		American Century VP International		American Century VP Ultra		American Century VP Value
ASSETS
Investments in underlying portfolio funds, at current fair value	$	612,765	$	733,832	$	1,037,956	$	1,157,568	$	1,980,392	$	100,909	$	47,038	$	167,090	$	372,199
Dividends and other receivables		—		—		—		—		—		—		—		—		—
Total assets		612,765		733,832		1,037,956		1,157,568		1,980,392		100,909		47,038		167,090		372,199
LIABILITIES AND POLICY OWNERS’ EQUITY
Liabilities - other payables		—		—		—		—		—		—		—		—		—
Policy owners’ equity	$	612,765	$	733,832	$	1,037,956	$	1,157,568	$	1,980,392	$	100,909	$	47,038	$	167,090	$	372,199
Units Outstanding		20,018		11,295		20,071		17,051		34,109		2,405		1,615		2,010		10,233
Shares Owned in each Portfolio		31,280		7,779		35,149		14,277		89,287		9,413		3,165		5,325		27,227
Fair Value per Share	$	19.59	$	94.33	$	29.53	$	81.08	$	22.18	$	10.72	$	14.86	$	31.38	$	13.67

See accompanying notes to financial statements.

9

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Assets, Liabilities and Policy Owners’ Equity (continued)

December 31, 2021

	American Skandia Trust
	AST BlackRock Low Duration Bond		AST BlackRock/Loomis Sayles Bond		AST Mid- Cap Growth		AST Hotchkis Wiley Large- Cap Value		AST International Growth		AST Loomis Sayles Large- Cap Growth		AST Small Cap Growth		AST T.Rowe Price Asset Allocation		AST T. Rowe Price Large- Cap Value
ASSETS
Investments in underlying portfolio funds, at current fair value	$	161,126	$	363,123	$	3,260,052	$	1,404,850	$	748,847	$	14,416,016	$	415,157	$	1,323,538	$	1,908,583
Dividends and other receivables		—		—		—		—		—		—		—		—		—
Total assets		161,126		363,123		3,260,052		1,404,850		748,847		14,416,016		415,157		1,323,538		1,908,583
LIABILITIES AND POLICY OWNERS’ EQUITY
Liabilities - other payables		—		—		—		—		—		—		—		—		—
Policy owners’ equity	$	161,126	$	363,123	$	3,260,052	$	1,404,850	$	748,847	$	14,416,016	$	415,157	$	1,323,538	$	1,908,583
Units Outstanding		7,969		11,748		31,089		22,534		22,663		102,258		4,601		20,811		139,605
Shares Owned in each Portfolio		13,962		23,114		186,395		32,778		24,690		144,899		5,045		31,223		86,479
Fair Value per Share	$	11.54	$	15.71	$	17.49	$	42.86	$	30.33	$	99.49	$	82.29	$	42.39	$	22.07

See accompanying notes to financial statements.

10

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Assets, Liabilities and Policy Owners’ Equity (continued)

December 31, 2021

	BNY Mellon Investment Porfolios		BNY Mellon Stock Index Fund		The BNY Mellon Sustainable Fund		BNY Mellon Variable Investment Fund				Deutsche Asset & Wealth Management
	BNY Mellon I.P. MidCap Stock		BNY Mellon Stock Index Fund		BNY Mellon Sustainable U.S. Equity		BNY Mellon VIF Appreciation		BNY Mellon VIF Opportunistic Small Cap		DWS Bond VIP		DWS Capital Growth VIP		DWS Core Equity VIP ‘A’		DWS Core Equity VIP ‘B’
ASSETS
Investments in underlying portfolio funds, at current fair value	$	131,326	$	937,574	$	212,895	$	282,704	$	953,969	$	—	$	7,805,768	$	1,932,187	$	247,934
Dividends and other receivables		—		—		—		—		—		—		—		—		—
Total assets		131,326		937,574		212,895		282,704		953,969		—		7,805,768		1,932,187		247,934
LIABILITIES AND POLICY OWNERS’ EQUITY
Liabilities - other payables		—		—		—		—		—		—		—		—		—
Policy owners’ equity	$	131,326	$	937,574	$	212,895	$	282,704	$	953,969	$	—	$	7,805,768	$	1,932,187	$	247,934
Units Outstanding		2,625		17,175		4,856		5,554		23,315		—		129,101		40,150		5,641
Shares Owned in each Portfolio		5,302		12,050		3,666		5,263		16,513		—		158,945		133,071		17,111
Fair Value per Share	$	24.77	$	77.81	$	58.08	$	53.72	$	57.77	$	—	$	49.11	$	14.52	$	14.49

See accompanying notes to financial statements.

11

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Assets, Liabilities and Policy Owners’ Equity (continued)

December 31, 2021

	Deutsche Asset & Wealth Management
	DWS CROCI® International VIP ‘A’		DWS CROCI® International VIP ‘B’		DWS CROCI® U.S. VIP		DWS Equity 500 Index VIP		DWS Global Equity VIP		DWS Global Income Builder VIP		DWS Global Small Cap VIP		DWS Government Money Market VIP		DWS High Income VIP
ASSETS
Investments in underlying portfolio funds, at current fair value	$	277,836	$	296,007	$	2,212,359	$	902,675	$	—	$	1,488,404	$	334,987	$	2,871,067	$	710,707
Dividends and other receivables		—		—		—		—		—		—		—		27		—
Total assets		277,836		296,007		2,212,359		902,675		—		1,488,404		334,987		2,871,094		710,707
LIABILITIES AND POLICY OWNERS’ EQUITY
Liabilities - other payables		—		—		—		—		—		—		—		—		—
Policy owners’ equity	$	277,836	$	296,007	$	2,212,359	$	902,675	$	—	$	1,488,404	$	334,987	$	2,871,094	$	710,707
Units Outstanding		16,334		15,400		292,037		20,123		—		143,038		8,323		1,276,574		97,227
Shares Owned in each Portfolio		35,989		38,244		137,842		29,870		—		55,579		24,577		2,871,067		115,001
Fair Value per Share	$	7.72	$	7.74	$	16.05	$	30.22	$	—	$	26.78	$	13.63	$	1.00	$	6.18

See accompanying notes to financial statements.

12

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Assets, Liabilities and Policy Owners’ Equity (continued)

December 31, 2021

	Deutsche Asset & Wealth Management								Fidelity Variable Insurance Products Fund
	DWS International Growth VIP		DWS Small Cap Index VIP		DWS Small Mid Cap Growth VIP		DWS Small Mid Cap Value VIP		Fidelity VIP Contrafund		Fidelity VIP Equity Income		Fidelity VIP Growth		Fidelity VIP Growth Opportunities		Fidelity VIP High Income
ASSETS
Investments in underlying portfolio funds, at current fair value	$	5,226	$	167,609	$	5,107,053	$	91,391	$	4,458,371	$	1,332,549	$	1,540,453	$	2,340,202	$	161,835
Dividends and other receivables		—		—		—		—		—		—		—		—		—
Total assets		5,226		167,609		5,107,053		91,391		4,458,371		1,332,549		1,540,453		2,340,202		161,835
LIABILITIES AND POLICY OWNERS’ EQUITY
Liabilities - other payables		—		—		—		—		—		—		—		—		—
Policy owners’ equity	$	5,226	$	167,609	$	5,107,053	$	91,391	$	4,458,371	$	1,332,549	$	1,540,453	$	2,340,202	$	161,835
Units Outstanding		153		4,018		639,888		1,343		25,775		23,853		20,486		16,930		6,685
Shares Owned in each Portfolio		278		8,997		270,644		5,908		82,031		50,958		15,039		29,529		30,826
Fair Value per Share	$	18.80	$	18.63	$	18.87	$	15.47	$	54.35	$	26.15	$	102.43	$	79.25	$	5.25

See accompanying notes to financial statements.

13

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Assets, Liabilities and Policy Owners’ Equity (continued)

December 31, 2021

	Fidelity Variable Insurance Products Fund				Franklin Templeton Variable Insurance Products Trust						Invesco Variable Insurance Funds
	Fidelity VIP Index 500		Fidelity VIP Overseas		Templeton Developing Markets		Templeton Foreign		Templeton Global Bond		Invesco V.l. Discovery Mid Cap Growth		Invesco V.l. Diversified Dividend		Invesco V.l. Equity and Income		Invesco V.l. Managed Volatility
ASSETS
Investments in underlying portfolio funds, at current fair value	$	3,837,808	$	101,251	$	164,649	$	60,569	$	42,509	$	105,048	$	100,448	$	164	$	—
Dividends and other receivables		—		—		—		—		—		—		—		—		—
Total assets		3,837,808		101,251		164,649		60,569		42,509		105,048		100,448		164		—
LIABILITIES AND POLICY OWNERS’ EQUITY
Liabilities - other payables		—		—		—		—		—		—		—		—		—
Policy owners’ equity	$	3,837,808	$	101,251	$	164,649	$	60,569	$	42,509	$	105,048	$	100,448	$	164	$	—
Units Outstanding		5,765		3,615		7,849		3,658		2,877		5,989		3,684		16		—
Shares Owned in each Portfolio		8,196		3,458		15,431		4,457		3,238		916		3,368		8		—
Fair Value per Share	$	468.25	$	29.28	$	10.67	$	13.59	$	13.13	$	114.68	$	29.82	$	20.50	$	—

See accompanying notes to financial statements.

14

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Assets, Liabilities and Policy Owners’ Equity (continued)

December 31, 2021

	Invesco Variable Insurance Funds		Janus Henderson Series														PIMCO Variable Insurance Trust
	Invesco V.l. Technology		Janus Henderson Balanced		Janus Henderson Enterprise		Janus Henderson Flexible Bond		Janus Henderson Forty		Janus Henderson Global Research		Janus Henderson Overseas		Janus Henderson Research		PIMCO International Bond Portfolio (U.S. Dollar- Hedged)		PIMCO Low Duration
ASSETS
Investments in underlying portfolio funds, at current fair value	$	288,474	$	2,393,991	$	1,782,962	$	104,807	$	3,374,577	$	1,172,340	$	672,168	$	1,764,901	$	78,779	$	53,712
Dividends and other receivables		—		—		—		—		—		—		—		—		—		—
Total assets		288,474		2,393,991		1,782,962		104,807		3,374,577		1,172,340		672,168		1,764,901		78,779		53,712
LIABILITIES AND POLICY OWNERS’ EQUITY
Liabilities - other payables		—		—		—		—		—		—		—		—		—		—
Policy owners’ equity	$	288,474	$	2,393,991	$	1,782,962	$	104,807	$	3,374,577	$	1,172,340	$	672,168	$	1,764,901	$	78,779	$	53,712
Units Outstanding		3,941		60,525		25,939		5,662		18,491		29,558		30,010		28,917		3,196		3,150
Shares Owned in each Portfolio		7,575		47,670		17,739		8,698		54,649		16,447		15,665		31,343		7,328		5,250
Fair Value per Share	$	38.08	$	50.22	$	100.51	$	12.05	$	61.75	$	71.28	$	42.91	$	56.31	$	10.75	$	10.23

See accompanying notes to financial statements.

15

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Operations

For the year ended December 31, 2021

	The Alger Fund													American Century Variable Porfolios, Inc.
	Alger Balanced		Alger Capital Appreciation			Alger Growth & Income		Alger Large Cap Growth			Alger Mid Cap Growth			American Century VP Disciplined Core Value		American Century VP International			American Century VP Ultra			American Century VP Value
	1/1/2021 to 12/31/2021		1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021		1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021		1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021
REVENUE
Dividend income	$	4,796	$	—		$	10,817	$	—		$	—		$	1,036	$	72		$	—		$	6,365
EXPENSES
Administration, mortality and expense risk charges		3,005		6,192			3,515		4,408			7,582			383		185			570			1,408
Net investment income (loss)		1,791		(6,192	)		7,302		(4,408	)		(7,582	)		653		(113	)		(570	)		4,957
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on redemption of investment shares		27,304		7,270			101,605		108,520			373,977			1,060		759			6,791			50,543
Capital gain distributions		16,803		151,847			69,844		257,340			699,033			13,691		1,280			9,273			—
Net realized gain (loss) on investments		44,107		159,117			171,449		365,860			1,073,010			14,751		2,039			16,064			50,543
Change in unrealized appreciation (depreciation) on investments		49,859		(40,308	)		75,985		(235,612	)		(980,327	)		38,96		1,708			13,519			20,731
Net realized and unrealized gain (loss) on investments		93,966		118,809			247,434		130,248			92,683			18,647		3,747			29,583			71,274
Net increase (decrease) in policy owners’ equity resulting from operations	$	95,757	$	112,617		$	254,736	$	125,840		$	85,101		$	19,300	$	3,634		$	29,013		$	76,231

See accompanying notes to financial statements.

16

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Operations (continued)

For the year ended December 31, 2021

	American Skandia Trust
	AST BlackRock Low Duration Bond			AST BlackRock/ Loomis Sayles Bond			AST Mid- Cap Growth			AST Hotchkis Wiley Large- Cap Value			AST International Growth			AST Loomis Sayles Large- Cap Growth			AST Small Cap Growth			AST T.Rowe Price Asset Allocation			AST T. Rowe Price Large- Cap Value
	1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021
REVENUE
Dividend income	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—
EXPENSES
Administration, mortality and expense risk charges		1,538			3,355			28,509			12,118			6,808			124,646			3,854			11,379			16,230
Net investment income (loss)		(1,538	)		(3,355	)		(28,509	)		(12,118	)		(6,808	)		(124,646	)		(3,854	)		(11,379	)		(16,230	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on redemption of investment shares		2,539			10,554			173,288			50,724			88,452			642,525			46,377			26,700			29,982
Capital gain distributions		—			—			—			—			—			—			—			—			—
Net realized gain (loss) on investments		2,539			10,554			173,288			50,724			88,452			642,525			46,377			26,700			29,982
Change in unrealized appreciation (depreciation) on investments		(3,517	)		(15,015	)		135,986			277,564			420			1,670,569			(28,483	)		120,383			372,299
Net realized and unrealized gain (loss) on investments		(978	)		(4,461	)		309,274			328,388			88,872			2,313,094			17,894			147,083			402,281
Net increase (decrease) in policy owners’ equity resulting from operations	$	(2,516	)	$	(7,816	)	$	280,765		$	316,270		$	82,064		$	2,188,448		$	14,040		$	135,704		$	386,051

See accompanying notes to financial statements.

17

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Operations (continued)

For the year ended December 31, 2021

	BNY Mellon Investment Porfolios			BNY Mellon Stock Index Fund		The BNY Mellon Sustainable Fund		BNY Mellon Variable Investment Fund					Deutsche Asset & Wealth Management
	BNY Mellon I.P. MidCap Stock			BNY Mellon Stock Index Fund		BNY Mellon Sustainable U.S. Equity		BNY Mellon VIF Appreciation		BNY Mellon VIF Opportunistic Small Cap			DWS Bond VIP			DWS Capital Growth VIP			DWS Core Equity VIP ‘A’			DWS Core Equity VIP ‘B’
	1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021		1/1/2021 to 12/31/2021		1/1/2021 to 12/31/2021		1/1/2021 to 12/31/2021			1/1/2021 to 10/28/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021
REVENUE
Dividend income	$	750		$	9,640	$	1,444	$	1,124	$	1,022		$	6,391		$	15,080		$	13,529		$	1,018
EXPENSES
Administration, mortality and expense risk charges		1,101			3,246		1,101		971		3,393			1,898			63,588			13,782			2,041
Net investment income (loss)		(351	)		6,394		343		153		(2,371	)		4,493			(48,508	)		(253	)		(1,023	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on redemption of investment shares		232			56,099		2,677		3,686		145,663			15,005			211,367			66,780			3,258
Capital gain distributions		759			36,155		4,245		23,650		—			—			377,808			78,467			10,118
Net realized gain (loss) on investments		991			92,254		6,922		27,336		145,663			15,005			589,175			145,247			13,376
Change in unrealized appreciation (depreciation) on investments		25,514			106,651		37,545		33,198		(6,232	)		(21,841	)		866,891			241,183			35,828
Net realized and unrealized gain (loss) on investments		26,505			198,905		44,467		60,534		139,431			(6,836	)		1,456,066			386,430			49,204
Net increase (decrease) in policy owners’ equity resulting from operations	$	26,154		$	205,299	$	44,810	$	60,687	$	137,060		$	(2,343	)	$	1,407,558		$	386,177		$	48,181

See accompanying notes to financial statements.

18

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Operations (continued)

For the year ended December 31, 2021

	Deutsche Asset & Wealth Management
	DWS CROCI® International VIP ‘A’			DWS CROCI® International VIP ‘B’			DWS CROCl® U.S. VIP		DWS Equity 500 Index VIP		DWS Global Equity VIP			DWS Global Income Builder VIP		DWS Global Small Cap VIP			DWS Government Money Market VIP			DWS High Income VIP
	1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021		1/1/2021 to 12/31/2021		1/1/2021 to 10/28/2021			1/1/2021 to 12/31/2021		1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021
REVENUE
Dividend income	$	6,714		$	6,265		$	38,604	$	11,894	$	4,325		$	36,174	$	1,167		$	206		$	31,894
EXPENSES
Administration, mortality and expense risk charges		1,977			2,602			18,034		7,317		5,583			13,218		2,987			15,640			6,232
Net investment income (loss)		4,737			3,663			20,570		4,577		(1,258	)		22,956		(1,820	)		(15,434	)		25,662
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on redemption of investment shares		(2,522	)		(3	)		8,818		13,981		373,234			46,608		(4,221	)		—			(1,233	)
Capital gain distributions		—			—			—		34,878		31,468			21,878		—			—			—
Net realized gain (loss) on investments		(2,522	)		(3	)		8,818		48,859		404,702			68,486		(4,221	)		—			(1,233	)
Change in unrealized appreciation (depreciation) on investments		19,706			18,190			423,834		142,527		(297,918	)		53,528		51,782			—			(3,350	)
Net realized and unrealized gain (loss) on investments		17,184			18,187			432,652		191,386		106,784			122,014		47,561			—			(4,583	)
Net increase (decrease) in policy owners’ equity resulting from operations	$	21,921		$	21,850		$	453,222	$	195,963	$	105,526		$	144,970	$	45,741		$	(15,434	)	$	21,079

See accompanying notes to financial statements.

19

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Operations (continued)

For the year ended December 31, 2021

	Deutsche Asset & Wealth Management										Fidelity Variable Insurance Products Fund
	DWS International Growth VIP			DWS Small Cap Index VIP		DWS Small Mid Cap Growth VIP			DWS Small Mid Cap Value VIP		Fidelity VIP Contrafund			Fidelity VIP Equity Income		Fidelity VIP Growth			Fidelity VIP Growth Opportunities			Fidelity VIP High Income
	1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021		1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021		1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021		1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021
REVENUE
Dividend income	$	29		$	1,424	$	1,885		$	1,054	$	2,628		$	23,969	$	—		$	—		$	8,464
EXPENSES
Administration, mortality and expense risk charges		73			646		41,424			765		36,647			7,954		5,386			21,256			763
Net investment income (loss)		(44	)		778		(39,539	)		289		(34,019	)		16,015		(5,386	)		(21,256	)		7,701
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on redemption of investment shares		1,967			10,647		191,983			653		239,020			41,752		168,270			213,225			(5,421	)
Capital gain distributions		97			9,897		244,728			—		518,169			140,487		293,767			216,430			—
Net realized gain (loss) on investments		2,064			20,544		436,711			653		757,189			182,239		462,037			429,655			(5,421	)
Change in unrealized appreciation (depreciation) on investments		(1,366	)		141		204,776			19,867		236,687			71,039		(166,283	)		(168,256	)		3,695
Net realized and unrealized gain (loss) on investments		698			20,685		641,487			20,520		993,876			253,278		295,754			261,399			(1,726	)
Net increase (decrease) in policy owners’ equity resulting from operations	$	654		$	21,463	$	601,948		$	20,809	$	959,857		$	269,293	$	290,368		$	240,143		$	5,975

See accompanying notes to financial statements.

20

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Operations (continued)

For the year ended December 31, 2021

	Fidelity Variable Insurance Products Fund					Franklin Templeton Variable Insurance Products Trust								Invesco Variable Insurance Funds
	Fidelity VIP Index 500		Fidelity VIP Overseas			Templeton Developing Markets			Templeton Foreign		Templeton Global Bond			Invesco V.l. Discovery Mid Cap Growth			Invesco V.l. Diversified Dividend		Invesco V.l. Equity and Income		Invesco V.I. Managed Volatility
	1/1/2021		1/1/2021			1/1/2021			1/1/2021		1/1/2021			1/1/2021			1/1/2021		4/30/2021		1/1/2021
	to		to			to			to		to			to			to		to		to
	12/31/2021		12/31/2021			12/31/2021			12/31/2021		12/31/2021			12/31/2021			12/31/2021		12/31/2021		4/30/2021
REVENUE
Dividend income	$	44,319	$	503		$	1,487		$	1,117	$	—		$	—		$	2,080	$	3	$	3
EXPENSES
Administration, mortality and expense risk charges		31,594		354			1,050			225		171			423			394		—		—
Net investment income (loss)		12,725		149			437			892		(171	)		(423	)		1,686		3		3
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on redemption of investment shares		252,949		14,841			2,202			542		(402	)		6,125			4,534		—		8
Capital gain distributions		26,054		7,080			3,407			—		—			10,759			376		2		—
Net realized gain (loss) on investments		279,003		21,921			5,609			542		(402	)		16,884			4,910		2		8
Change in unrealized appreciation (depreciation) on investments		560,476		(5,389	)		(16,882	)		749		(1,761	)		1,150			9,772		4		1
Net realized and unrealized gain (loss) on investments		839,479		16,532			(11,273	)		1,291		(2,163	)		18,034			14,682		6		9
Net increase (decrease) in policy owners’ equity resulting from operations	$	852,204	$	16,681		$	(10,836	)	$	2,183	$	(2,334	)	$	17,611		$	16,368	$	9	$	12

See accompanying notes to financial statements.

21

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Operations (continued)

For the year ended December 31, 2021

	Invesco Variable Insurance Funds			Janus Henderson Series																		PIMCO Variable Insurance Trust
	Invesco V.l. Technology			Janus Henderson Balanced		Janus Henderson Enterprise			Janus Henderson Flexible Bond			Janus Henderson Forty			Janus Henderson Global Research		Janus Henderson Overseas		Janus Henderson Research			PIMCO International Bond Portfolio (U.S. Dollar-Hedged)			PIMCO Low Duration
	1/1/2021			1/1/2021		1/1/2021			1/1/2021			1/1/2021			1/1/2021		1/1/2021		1/1/2021			1/1/2021			1/1/2021
	to			to		to			to			to			to		to		to			to			to
	12/31/2021			12/31/2021		12/31/2021			12/31/2021			12/31/2021			12/31/2021		12/31/2021		12/31/2021			12/31/2021			12/31/2021
REVENUE
Dividend income	$	—		$	20,060	$	5,455		$	2,092		$	—		$	5,814	$	7,671	$	1,689		$	1,249		$	277
EXPENSES
Administration, mortality and expense risk charges		1,158			8,597		6,097			401			28,718			4,142		2,493		6,519			707			472
Net investment income (loss)		(1,158	)		11,463		(642	)		1,691			(28,718	)		1,672		5,178		(4,830	)		542			(195	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on redemption of investment shares		26,051			51,207		217,250			150			106,317			116,475		14,170		136,678			301			(43	)
Capital gain distributions		26,319			17,090		143,952			2,690			370,226			51,633		—		84,865			692			—
Net realized gain (loss) on investments		52,370			68,297		361,202			2,840			476,543			168,108		14,170		221,543			993			(43	)
Change in unrealized appreciation (depreciation) on investments		(13,171	)		260,986		(96,852	)		(5,739	)		173,138			7,864		64,601		92,498			(3,801	)		(733	)
Net realized and unrealized gain (loss) on investments		39,199			329,283		264,350			(2,899	)		649,681			175,972		78,771		314,041			(2,808	)		(776	)
Net increase (decrease) in policy owners’ equity resulting from operations	$	38,041		$	340,746	$	263,708		$	(1,208	)	$	620,963		$	177,644	$	83,949	$	309,211		$	(2,266	)	$	(971	)

See accompanying notes to financial statements.

22

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Policy Owners’ Equity

For the year ended December 31, 2021

	The Alger Fund															American Century Variable Porfolios, Inc.
	Alger Balanced			Alger Capital Appreciation			Alger Growth & Income			Alger Large Cap Growth			Alger Mid Cap Growth			American Century VP Income & Growth			American Century VP International			American Century VP Ultra			American Century VP Value
	1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021
OPERATIONS
Net investment income (loss)	$	1,791		$	(6,192	)	$	7,302		$	(4,408	)	$	(7,582	)	$	653		$	(113	)	$	(570	)	$	4,957
Net realized gain (loss) on investments		44,107			159,117			171,449			365,860			1,073,010			14,751			2,039			16,064			50,543
Change in unrealized appreciation (depreciation) of investments		49,859			(40,308	)		75,985			(235,612	)		(980,327	)		3,896			1,708			13,519			20,731
Net increase (decrease) in policy owners’ equity resulting from operations		95,757			112,617			254,736			125,840			85,101			19,300			3,634			29,013			76,231
POLICY OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		12,472			—			23,669			23,778			44,433			4,897			567			1,980			13,669
Net transfer (to) from affiliate and subaccounts		22,681			(12	)		(6,811	)		(41,919	)		(29,607	)		(931	)		(654	)		8,414			(8,252	)
Payments for redemptions		(2,224	)		—			(37,098	)		(37,463	)		(97,972	)		—			—			(640	)		(21,807	)
Cost of insurance		(13,959	)		(3,504	)		(28,386	)		(30,386	)		(64,356	)		(5,915	)		(971	)		(1,309	)		(14,119	)
Net increase (decrease) from policy owners’ equity transactions		18,970			(3,516	)		(48,626	)		(85,990	)		(147,502	)		(1,949	)		(1,058	)		8,445			(30,509	)
Total increase (decrease) in policy owners’ equity		114,727			109,101			206,110			39,850			(62,401	)		17,351			2,576			37,458			45,722
POLICY OWNERS’ EQUITY
Beginning of period		498,038			624,732			831,846			1,117,718			2,042,793			83,558			44,462			129,632			326,477
End of period	$	612,765		$	733,833		$	1,037,956		$	1,157,568		$	1,980,392		$	100,909		$	47,038		$	167,090		$	372,199

See accompanying notes to financial statements.

23

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Policy Owners’ Equity (continued)

For the year ended December 31, 2021

	American Skandia Trust
	AST Black Rock Low Duration Bond			AST BlackRock/ Loomis Sayles Bond			AST Mid- Cap Growth			AST Hotchkis Wiley Large- Cap Value			AST International Growth			AST Loomis Sayles Large- Cap Growth			AST Small Cap Growth			AST T.Rowe Price Asset Allocation			AST T. Rowe Price Large- Cap Value
	1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021
OPERATIONS
Net investment income (loss)	$	(1,538	)	$	(3,355	)	$	(28,509	)	$	(12,118	)	$	(6,808	)	$	(124,646	)	$	(3,854	)	$	(11,379	)	$	(16,230	)
Net realized gain (loss) on investments		2,539			10,554			173,288			50,724			88,452			642,525			46,377			26,700			29,982
Change in unrealized appreciation (depreciation) of investments		(3,517	)		(15,015	)		135,986			277,664			420			1,670,569			(28,483	)		120,383			372,299
Net increase (decrease) in policy owners’ equity resulting from operations		(2,516	)		(7,816	)		280,765			316,270			82,064			2,188,448			14,040			135,704			386,051
POLICY OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		15,476			20,774			100,528			47,470			28,254			363,094			7,011			41,953			66,943
Net transfer (to) from affiliate and subaccounts		(3,616	)		7,884			5,544			(22,652	)		(5,136	)		(32,423	)		25,227			20,835			(4,215	)
Payments for redemptions		(4,610	)		(19,117	)		(124,764	)		(22,843	)		(75,013	)		(374,164	)		(34,075	)		(13,946	)		(56,483	)
Cost of insurance		(6,411	)		(19,002	)		(98,762	)		(39,427	)		(17,496	)		(396,032	)		(12,703	)		(36,489	)		(52,427	)
Net increase (decrease) from policy owners’ equity transactions		839			(9,461	)		(117,454	)		(37,452	)		(69,391	)		(439,525	)		(14,540	)		12,353			(46,182	)
Total increase (decrease) in policy owners’ equity		(1,677	)		(17,277	)		163,311			278,818			12,673			1,748,923			(500	)		148,057			339,869
POLICY OWNERS’ EQUITY
Beginning of period		162,803			380,400			3,096,741			1,126,032			736,174			12,667,093			415,657			1,175,481			1,568,714
End of period	$	161,126		$	363,123		$	3,260,052		$	1,404,850		$	748,847		$	14,416,016		$	415,157		$	1,323,538		$	1,908,583

See accompanying notes to financial statements.

24

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Policy Owners’ Equity (continued)

For the year ended December 31, 2021

	BNY Mellon Investment Porfolios			BNY Mellon Stock Index Fund			The BNY Mellon Sustainable Fund			BNY Mellon Variable Investment Fund						Deutsche Asset & Wealth Management
	BNY Mellon I.P. MidCap Stock			BNY Mellon Stock Index Fund			BNY Mellon Sustainable U.S. Equity			BNY Mellon VIF Appreciation			BNY Mellon VIF Opportunistic Small Cap			DWS Bond VIP			DWS Capital Growth VIP			DWS Core Equity VIP ‘A’			DWS Core Equity VIP ‘B’
	1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 10/28/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021
OPERATIONS
Net investment income (loss)	$	(351	)	$	6,394		$	343		$	153		$	(2,371	)	$	4,493		$	(48,508	)	$	(253	)	$	(1,023	)
Net realized gain (loss) on investments		991			92,254			6,922			27,336			145,663			15,005			589,175			145,247			13,376
Change in unrealized appreciation (depreciation) of investments		25,514			106,651			37,545			33,198			(6,232	)		(21,841	)		866,891			241,183			35,828
Net increase (decrease) in policy owners’ equity resulting from operations		26,154			205,299			44,810			60,687			137,060			(2,343	)		1,407,558			386,177			48,181
POLICY OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		—			13,964			3,650			7,854			22,062			6,406			63,431			52,561			5,309
Net transfer (to) from affiliate and subaccounts		—			1,586			(655	)		(3,702	)		(25,322	)		(285,236	)		(79,164	)		(82,026	)		769
Payments for redemptions		—			(446	)		(1,023	)		—			(19,067	)		(7,090	)		(69,259	)		(10,883	)		—
Cost of insurance		(623	)		(17,009	)		(3,732	)		(7,485	)		(27,362	)		(9,132	)		(100,050	)		(67,528	)		(8,156	)
Net increase (decrease) from policy owners’ equity transactions		(623	)		(1,905	)		(1,760	)		(3,333	)		(49,689	)		(295,052	)		(185,042	)		(107,876	)		(2,078	)
Total increase (decrease) in policy owners’ equity		25,531			203,394			43,050			57,354			87,371			(297,395	)		1,222,516			278,301			46,103
POLICY OWNERS’ EQUITY
Beginning of period		105,795			734,180			169,845			225,350			866,598			297,395			6,583,252			1,653,886			201,831
End of period	$	131,326		$	937,574		$	212,895		$	282,704		$	953,969		$	—		$	7,805,768		$	1,932,187		$	247,934

See accompanying notes to financial statements.

25

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Policy Owners’ Equity (continued)

For the year ended December 31, 2021

	Deutsche Asset & Wealth Management
	DWS CROCI® International VIP ‘A’			DWS CROCI® International VIP ‘B’			DWS CROCI® U.S. VIP			DWS Equity 500 Index VIP			DWS Global Equity VIP			DWS Global Income Builder VIP			DWS Global Small Cap VIP			DWS Government Money Market VIP			DWS High Income VIP
	1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 10/28/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021
OPERATIONS
Net investment income (loss)	$	4,737		$	3,663		$	20,570		$	4,577		$	(1258	)	$	22,956		$	(1,820	)	$	(15,434	)	$	25,662
Net realized gain (loss) on investments		(2,522	)		(3	)		8,818			48,859			404,702			68,486			(4,221	)		—			(1,233	)
Change in unrealized appreciation (depreciation) of investments		19,706			18,190			423,834			142,527			(297,918	)		53,528			51,782			—			(3,350	)
Net increase (decrease) in policy owners’ equity resulting from operations		21,921			21,850			453,222			195,963			105,526			144,970			45,741			(15,434	)		21,079
POLICY OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		10,852			12,065			34,089			—			15,463			17,380			—			119,956			13,452
Net transfer (to) from affiliate and subaccounts		(4,140	)		1,971			1,442			(161	)		(803,064	)		(89,763	)		(54,476	)		1,086,503			15,686
Payments for redemptions		(2,259	)		(4,016	)		(16,214	)		(20,550	)		(6,291	)		(35,748	)		(3,714	)		(186,506	)		(4,621	)
Cost of insurance		(10,483	)		(6,426	)		(39,863	)		(3,965	)		(11,738	)		(19,592	)		(1,631	)		(110,332	)		(14,329	)
Net increase (decrease) from policy owners’ equity transactions		(6,030	)		3,594			(20,546	)		(24,676	)		(805,630	)		(127,723	)		(59,821	)		909,621			10,188
Total increase (decrease) in policy owners’ equity		15,891			25,444			432,676			171,287			(700,104	)		17,247			(14,080	)		894,187			31,267
POLICY OWNERS’ EQUITY
Beginning of period		261,945			270,563			1,779,683			731,388			700,104			1,471,157			349,067			1,976,907			679,440
End of period	$	277,836		$	296,007		$	2,212,359		$	902,675		$	—		$	1,488,404		$	334,987		$	2,871,094		$	710,707

See accompanying notes to financial statements.

26

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Policy Owners’ Equity (continued)

For the year ended December 31, 2021

	Deutsche Asset & Wealth Management												Fidelity Variable Insurance Products Fund
	DWS International Growth VIP			DWS Small Cap Index VIP			DWS Small Mid Cap Growth VIP			DWS Small Mid Cap Value VIP			Fidelity VIP Contrafund			Fidelity VIP Equity Income			Fidelity VIP Growth			Fidelity VIP Growth Opportunities			Fidelity VIP High Income
	1/1/2021			1/1/2021			1/1/2021			1/1/2021			1/1/2021			1/1/2021			1/1/2021			1/1/2021			1/1/2021
	to			to			to			to			to			to			to			to			to
	12/31/2021			12/31/2021			12/31/2021			12/31/2021			12/31/2021			12/31/2021			12/31/2021			12/31/2021			12/31/2021
OPERATIONS
Net investment income (loss)	$	(44	)	$	778		$	(39,539	)	$	289		$	(34,019	)	$	16,015		$	(5,386	)	$	(21,256	)	$	7,701
Net realized gain (loss) on investments		2,064			20,544			436,711			653			757,189			182,239			462,037			429,655			(5,421	)
Change in unrealized appreciation (depreciation) of investments		(1,366	)		141			204,776			19,867			236,687			71,039			(166,283	)		(168,256	)		3,695
Net increase (decrease) in policy owners’ equity resulting from operations		654			21,463			601,948			20,809			959,857			269,293			290,368			240,143			5,975
POLICY OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		—			3,631			153,404			—			117,317			43,629			24,933			46,457			4,838
Net transfer (to) from affiliate and subaccounts		—			(6,341	)		(186,995	)		—			(56,237	)		(27,155	)		15,771			73,933			12,853
Payments for redemptions		(3,547	)		(367	)		(109,522	)		—			(215,823	)		(45,894	)		(27,627	)		(179,706	)		(357	)
Cost of insurance		(69	)		(3,878	)		(135,988	)		(462	)		(111,208	)		(48,183	)		(31,526	)		(75,338	)		(5,043	)
Net increase (decrease) from policy owners’ equity transactions		(3,616	)		(6,955	)		(279,101	)		(462	)		(265,951	)		(77,603	)		(18,449	)		(134,654	)		12,291
Total increase (decrease) in policy owners’ equity		(2,962	)		14,508			322,847			20,347			693,906			191,690			271,919			105,489			18,266
POLICY OWNERS’ EQUITY
Beginning of period		8,188			153,101			4,784,206			71,044			3,764,465			1,140,859			1,268,534			2,234,713			143,569
End of period	$	5,226		$	167,609		$	5,107,053		$	91,391		$	4,458,371		$	1,332,549		$	1,540,453		$	2,340,202		$	161,835

See accompanying notes to financial statements.

27

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Policy Owners’ Equity (continued)

For the year ended December 31, 2021

	Fidelity Variable Insurance Products Fund						Franklin Templeton Variable Insurance Products Trust									Invesco Variable Insurance Funds
	Fidelity VIP Index 500			Fidelity VIP Overseas			Templeton Developing Markets			Templeton Foreign			Templeton Global Bond			Invesco V.l. Discovery Mid Cap Growth			Invesco V.l. Diversified Dividend			Invesco V.l. Equity and Income			Invesco V.l. Managed Volatility
	1/1/2021			1/1/2021			1/1/2021			1/1/2021			1/1/2021			1/1/2021			1/1/2021			4/30/2021			1/1/2021
	to			to			to			to			to			to			to			to			to
	12/31/2021			12/31/2021			12/31/2021			12/31/2021			12/31/2021			12/31/2021			12/31/2021			12/31/2021			4/30/2021
OPERATIONS
Net investment income (loss)	$	12,725		$	149		$	437		$	892		$	(171	)	$	(423	)	$	1,686		$	3		$	3
Net realized gain (loss) on investments		279,003			21,921			5,609			542			(402	)		16,884			4,910			2			8
Change in unrealized appreciation (depreciation) of investments		560,476			(5,389	)		(16,882	)		749			(1,761	)		1,150			9,772			4			1
Net increase (decrease) in policy owners’ equity resulting from operations		852,204			16,681			(10,836	)		2,183			(2,334	)		17,611			16,368			9			12
POLICY OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		109,154			4,546			4,791			899			2,366			321			2,281			—			—
Net transfer (to) from affiliate and subaccounts		(10,636	)		(838	)		7,802			2,657			1,625			(206	)		1,919			158			(160	)
Payments for redemptions		(168,714	)		(2,437	)		—			—			—			(13,235	)		(8,725	)		—			—
Cost of insurance		(122,162	)		(3,220	)		(5,618	)		(1,644	)		(1,017	)		(2,592	)		(3,300	)		(3	)		—
Net increase (decrease) from policy owners’ equity transactions		(192,358	)		(1,949	)		6,975			1,912			2,974			(15,712	)		(7,825	)		155			(160	)
Total increase (decrease) in policy owners’ equity		659,846			14,732			(3,861	)		4,095			640			1,899			8,543			164			(148	)
POLICY OWNERS’ EQUITY
Beginning of period		3,177,962			86,519			168,510			56,474			41,869			103,149			91,905			—			148
End of period	$	3,837,808		$	101,251		$	164,649		$	60,569		$	42,509		$	105,048		$	100,448		$	164		$	—

See accompanying notes to financial statements.

28

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Policy Owners’ Equity (continued)

For the year ended December 31, 2021

	Invesco Variable Insurance Funds			Janus Henderson Series																					PIMCO Variable Insurance Trust
	Invesco V.l. Technology			Janus Henderson Balanced			Janus Henderson Enterprise			Janus Henderson Flexible Bond			Janus Henderson Forty			Janus Henderson Global Research			Janus Henderson Overseas			Janus Henderson Research			PIMCO International Bond Portfolio (U.S. Dollar-Hedged)			PIMCO Low Duration
	1/1/2021			1/1/2021			1/1/2021			1/1/2021			1/1/2021			1/1/2021			1/1/2021			1/1/2021			1/1/2021			1/1/2021
	to			to			to			to			to			to			to			to			to			to
	12/31/2021			12/31/2021			12/31/2021			12/31/2021			12/31/2021			12/31/2021			12/31/2021			12/31/2021			12/31/2021			12/31/2021
OPERATIONS
Net investment income (loss)	$	(1,158	)	$	11,463		$	(642	)	$	1,691		$	(28,718	)	$	1,672		$	5,178		$	(4,830	)	$	542		$	(195	)
Net realized gain (loss) on investments		52,370			68,297			361,202			2,840			476,543			168,108			14,170			221,543			993			(43	)
Change in unrealized appreciation (depreciation) of investments		(13,171	)		260,986			(96,852	)		(5,739	)		173,138			7,864			64,601			92,498			(3,801	)		(733	)
Net increase (decrease) in policy owners’ equity resulting from operations		38,041			340,746			263,708			(1,208	)		620,963			177,644			83,949			309,211			(2,266	)		(971	)
POLICY OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		6,450			25,495			27,083			5,893			94,960			27,903			15,496			30,756			3,863			2,813
Net transfer (to) from affiliate and subaccounts		1,012			51,278			(20,023	)		10,033			(40,509	)		(18,205	)		(12,430	)		(15,089	)		2,729			8,835
Payments for redemptions		(35,062	)		(2,314	)		(87,345	)		—			(82,195	)		(20,654	)		(38,302	)		(104,293	)		—			—
Cost of insurance		(6,864	)		(33,236	)		(47,946	)		(6,711	)		(156,759	)		(33,384	)		(15,902	)		(44,075	)		(5,216	)		(3,883	)
Net increase (decrease) from policy owners’ equity transactions		(34,464	)		41,223			(128,231	)		9,215			(184,503	)		(44,340	)		(51,138	)		(132,701	)		1,376			7,765
Total increase (decrease) in policy owners’ equity		3,577			381,969			135,477			8,007			436,460			133,304			32,811			176,510			(890	)		6,794
POLICY OWNERS’ EQUITY
Beginning of period		284,897			2,012,022			1,647,485			96,800			2,938,117			1,039,036			639,357			1,588,391			79,669			46,918
End of period	$	288,474		$	2,393,991		$	1,782,962		$	104,807		$	3,374,577		$	1,172,340		$	672,168		$	1,764,901		$	78,779		$	53,712

See accompanying notes to financial statements.

29

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Policy Owners’ Equity

For the year ended December 31, 2020

	The Alger Fund															American Century Variable Porfolios, Inc.
	Alger Balanced			Alger Capital Appreciation			Alger Growth & Income			Alger Large Cap Growth			Alger Mid Cap Growth			American Century VP Income & Growth			American Century VP International			American Century VP Ultra			American Century VP Value
	1/1/2020			1/1/2020			1/1/2020			1/1/2020			1/1/2020			1/1/2020			1/1/2020			1/1/2020			1/1/2020
	to			to			to			to			to			to			to			to			to
	12/31/2020			12/31/2020			12/31/2020			12/31/2020			12/31/2020			12/31/2020			12/31/2020			12/31/2020			12/31/2020
OPERATIONS
Net investment income (loss)	$	3,310		$	(5,232	)	$	7,319		$	(2,067	)	$	(6,088	)	$	1,155		$	25		$	(408	)	$	5,485
Net realized gain (loss) on investments		5,535			162,757			51,282			257,833			406,863			4,145			929			11,193			18,139
Change in unrealized appreciation (depreciation) of investments		33,875			46,919			47,411			234,498			419,766			2,758			8,217			31,848			(21,594	)
Net increase (decrease) in policy owners’ equity resulting from operations		42,720			204,444			106,012			490,264			820,541			8,058			9,171			42,633			2,030
POLICY OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		12,781			—			29,496			24,882			44,404			2,596			567			1,980			14,830
Net transfer (to) from affiliate and subaccounts		16,161			(102,779	)		712			(100,562	)		(79,192	)		11,896			508			(2,361	)		1,401
Payments for redemptions		(9,312	)		—			(24,435	)		(71,143	)		(13,665	)		(9,168	)		—			—			(9,256	)
Cost of insurance		(13,485	)		(2,988	)		(32,253	)		(29,745	)		(59,737	)		(5,132	)		(995	)		(1,248	)		(13,059	)
Net increase (decrease) from policy owners’ equity transactions		6,145			(105,767	)		(26,480	)		(176,568	)		(108,190	)		192			80			(1,629	)		(6,084	)
Total increase (decrease) in policy owners’ equity		48,865			98,677			79,532			313,696			712,351			8,250			9,251			41,004			(4,054	)
POLICY OWNERS’ EQUITY
Beginning of period		449,173			526,055			752,314			804,022			1,330,442			75,308			35,211			88,628			330,531
End of period	$	498,038		$	624,732		$	831,846		$	1,117,718		$	2,042,793		$	83,558		$	44,462		$	129,632		$	326,477

See accompanying notes to financial statements.

30

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Policy Owners’ Equity (continued)

For the year ended December 31, 2020

	American Skandia Trust
	AST BlackRock Low Duration Bond			AST BlackRock/ Loomis Sayles Bond			AST Mid- Cap Growth			AST Hotchkis Wiley Large- Cap Value			AST International Growth			AST Loomis Sayles Large- Cap Growth			AST Small Cap Growth			AST T.Rowe Price Asset Allocation			AST T. Rowe Price Large- Cap Value
	1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020
OPERATIONS
Net investment income (loss)	$	(1,516)		$	(3,379)		$	(23,187)		$	(8,489)		$	(5,497)		$	(99,707)		$	(2,779)		$	(9,755)		$	(12,212)
Net realized gain (loss) on investments		2,776			17,953			106,318			22,627			39,149			640,216			19,537			55,342			(3,420	)
Change in unrealized appreciation (depreciation) of investments		1,386			8,376			714,950			(25,965	)		138,389			2,504,325			117,960			77,053			32,776
Net increase (decrease) in policy owners’ equity resulting from operations		2,646			22,950			798,081			(11,827	)		172,041			3,044,834			134,718			122,640			17,144
POLICY OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		17,828			36,130			98,707			47,192			28,911			372,987			7,517			41,607			68,529
Net transfer (to) from affiliate and subaccounts		6,573			(29,089	)		(25,095	)		17,157			(3,678	)		(160,071	)		2,397			(35,600	)		22,949
Payments for redemptions		(15,048	)		(6,028	)		(95,854	)		(38,331	)		(26,477	)		(400,340	)		(9,089	)		(34,155	)		(34,945	)
Cost of insurance		(25,496	)		(40,530	)		(188,144	)		(61,156	)		(48,284	)		(703,625	)		(16,343	)		(60,281	)		(94,466	)
Net increase (decrease) from policy owners’ equity transactions		(16,143	)		(39,517	)		(210,386	)		(35,138	)		(49,528	)		(891,049	)		(15,518	)		(88,429	)		(37,933	)
Total increase (decrease) in policy owners’ equity		(13,497	)		(16,567	)		587,695			(46,965	)		122,513			2,153,785			119,200			34,211			(20,789	)
POLICY OWNERS’ EQUITY
Beginning of period		176,300			396,967			2,509,046			1,172,997			613,661			10,513,308			296,457			1,141,270			1,589,503
End of period	$	162,803		$	380,400		$	3,096,741		$	1,126,032		$	736,174		$	12,667,093		$	415,657		$	1,175,481		$	1,568,714

See accompanying notes to financial statements.

31

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Policy Owners’ Equity (continued)

For the year ended December 31, 2020

	BNY Mellon Investment Porfolios			BNY Mellon Stock Index Fund			The BNY Mellon Sustainable Fund			BNY Mellon Variable Investment Fund						Deutsche Asset & Wealth Management
	BNY Mellon I.P MidCap Stock			BNY Mellon Stock Index Fund			BNY Mellon Sustainable U.S. Equity			BNY Mellon VIF Appreciation			BNY Mellon VIF Opportunistic Small Cap			DWS Bond VIP			DWS Capital Growth VIP			DWS Core Equity VIP ‘A’			DWS Core Equity VIP ‘B’
	1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020
OPERATIONS
Net investment income (loss)	$	(64)		$	7,465		$	703		$	744		$	1,651		$	5,765		$	(22,486)		$	8,690		$	348
Net realized gain (loss) on investments		(269	)		61,910			2,334			12,742			64,495			955			693,759			123,618			11,409
Change in unrealized appreciation (depreciation) of investments		7,327			40,477			28,835			28,516			80,148			16,191			1,230,045			87,547			14,045
Net increase (decrease) in policy owners’ equity resulting from operations		6,994			109,852			31,872			42,002			146,294			22,911			1,901,318			219,855			25,802
POLICY OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		—			14,090			3,457			7,715			22,264			7,757			66,498			47,153			5,650
Net transfer (to) from affiliate and subaccounts		—			5,267			(663	)		1,758			32,664			(1,794	)		(356,351	)		(47,266	)		895
Payments for redemptions		—			(91	)		—			—			(17,146	)		(3,297	)		(58,176	)		(23,480	)		(5,340	)
Cost of insurance		(443	)		(16,602	)		(3,414	)		(7,165	)		(25,100	)		(10,917	)		(143,752	)		(68,693	)		(11,283	)
Net increase (decrease) from policy owners’ equity transactions		(443	)		2,664			(620	)		2,308			12,682			(8,251	)		(491,781	)		(92,286	)		(10,078	)
Total increase (decrease) in policy owners’ equity		6,551			112,516			31,252			44,310			158,976			14,660			1,409,537			127,569			15,724
POLICY OWNERS’ EQUITY
Beginning of period		99,244			621,664			138,593			181,040			707,622			282,735			5,173,715			1,526,317			186,107
End of period	$	105,795		$	734,180		$	169,845		$	225,350		$	866,598		$	297,395		$	6,583,252		$	1,653,886		$	201,831

See accompanying notes to financial statements.

32

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Policy Owners’ Equity (continued)

For the year ended December 31, 2020

	Deutsche Asset & Wealth Management
	DWS CROCI® International VIP ‘A’			DWS CROCI® International VIP ‘B’			DWS CROCI® U.S. VIP			DWS Equity 500 Index VIP			DWS Global Equity VIP			DWS Global Income Builder VIP			DWS Global Small Cap VIP			DWS Government & Agency Securities VIP			DWS Government Money Market VIP			DWS High Income VIP
	1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 2/27/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020
OPERATIONS
Net investment income (loss)	$	6,182		$	5,048		$	24,396		$	4,332		$	(1,356)		$	32,711		$	(173)		$	(616)		$	(9,622)		$	38,404
Net realized gain (loss) on investments		(4,790	)		(2,897	)		89,307			36,921			39,382			55,224			(6,370	)		(17,313	)		—			(6,063	)
Change in unrealized appreciation (depreciation) of investments		5,679			4,702			(370,562	)		63,275			95,326			18,352			52,171			20,045			—			5,171
Net increase (decrease) in policy owners’ equity resulting from operations		7,071			6,853			(256,859	)		104,528			133,352			106,287			45,628			2,116			(9,622	)		37,512
POLICY OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		10,145			13,006			31,891			—			18,739			17,364			—			3,791			115,472			14,223
Net transfer (to) from affiliate and subaccounts		7,472			25,143			28,130			47,935			8,706			(39	)		(34,871	)		(506,927	)		885,291			(191,268	)
Payments for redemptions		(896	)		(7,049	)		(10,310	)		—			(10,966	)		(136,131	)		—			(625	)		(158,871	)		(11,577	)
Cost of insurance		(10,982	)		(11,482	)		(39,222	)		(2,932	)		(31,522	)		(29,210	)		(1,484	)		(4,512	)		(163,231	)		(22,875	)
Net increase (decrease) from policy owners’ equity transactions		5,739			19,618			10,489			45,003			(15,043	)		(148,016	)		(36,355	)		(508,273	)		678,661			(211,497	)
Total increase (decrease) in policy owners’ equity		12,810			26,471			(246,370	)		149,531			118,309			(41,729	)		9,273			(506,157	)		669,039			(173,985	)
POLICY OWNERS’ EQUITY
Beginning of period		249,135			244,092			2,026,053			581,857			581,795			1,512,886			339,794			506,157			1,307,868			853,425
End of period	$	261,945		$	270,563		$	1,779,683		$	731,388		$	700,104		$	1,471,157		$	349,067		$	—		$	1,976,907		$	679,440

See accompanying notes to financial statements.

33

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Policy Owners’ Equity (continued)

For the year ended December 31, 2020

	Deutsche Asset & Wealth Management															Fidelity Variable Insurance Products Fund
	DWS International Growth VIP			DWS Multisector Income VIP			DWS Small Cap Index VIP			DWS Small Mid Cap Growth VIP			DWS Small Mid Cap Value VIP			Fidelity VIP Contrafund			Fidelity VIP Equity Income			Fidelity VIP Growth			Fidelity VIP Growth Opportunities			Fidelity VIP High Income
	1/1/2020			1/1/2020			1/1/2020			1/1/2020			1/1/2020			1/1/2020			1/1/2020			1/1/2020			1/1/2020			1/1/2020
	to			to			to			to			to			to			to			to			to			to
	12/31/2020			2/27/2020			12/31/2020			12/31/2020			12/31/2020			12/31/2020			12/31/2020			12/31/2020			12/31/2020			12/31/2020
OPERATIONS
Net investment income (loss)	$	39		$	(151	)	$	786		$	(30,549	)	$	309		$	(22,064	)	$	11,926		$	(3,235	)	$	(15,776	)	$	6,177
Net realized gain (loss) on investments		55			(11,488	)		11,776			90,831			5,252			291,497			63,295			223,910			391,222			(897	)
Change in unrealized appreciation (depreciation) of investments		1,361			11,661			13,031			1,029,012			(6,846	)		613,544			(11,862	)		125,685			581,086			(2,463	)
Net increase (decrease) in policy owners’ equity resulting from operations		1,455			22			25,593			1,089,294			(1,285	)		882,977			63,359			346,360			956,532			2,817
POLICY OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		—			—			3,659			150,488			—			122,244			60,368			24,265			45,155			4,426
Net transfer (to) from affiliate and subaccounts		—			(104,690	)		4,860			(98,537	)		—			(123,650	)		5,560			(21,526	)		(55,158	)		1,688
Payments for redemptions		—			—			—			(101,948	)		—			(217,198	)		(27,953	)		(32,978	)		(215,661	)		(1,799	)
Cost of insurance		(71	)		(66	)		(3,306	)		(220,663	)		(330	)		(221,987	)		(74,701	)		(30,000	)		(108,769	)		(6,901	)
Net increase (decrease) from policy owners’ equity transactions		(71	)		(104,756	)		5,213			(270,660	)		(330	)		(440,591	)		(36,726	)		(60,239	)		(334,433	)		(2,586	)
Total increase (decrease) in policy owners’ equity		1,384			(104,734	)		30,806			818,634			(1,615	)		442,386			26,633			286,121			622,099			231
POLICY OWNERS’ EQUITY
Beginning of period		6,804			104,734			122,295			3,965,572			72,659			3,322,079			1,114,226			982,413			1,612,614			143,338
End of period	$	8,188		$	—		$	153,101		$	4,784,206		$	71,044		$	3,764,465		$	1,140,859		$	1,268,534		$	2,234,713		$	143,569

See accompanying notes to financial statements.

34

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Changes in policy Owner’s Equity (continued)

For the year ended December 31, 2020

	Fidelity Variable Insurance Products Fund						Franklin Templeton Variable Insurance Products Trust									Invesco Variable Insurance Funds
	Fidelity VIP Index 500			Fidelity VIP Overseas			Templeton Developing Markets			Templeton Foreign			Templeton Global Bond			Invesco V.l. Discovery Mid Cap Growth			Invesco V.l. Diversified Dividend			Invesco V.l. Managed Volatility			Invesco V.l. Mid Cap Growth
	1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			4/30/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 4/30/2020
OPERATIONS
Net investment income (loss)	$	23,851		$	31		$	4,811		$	1,426		$	7,070		$	(246	)	$	2,219		$	(322	)	$	(110	)
Net realized gain (loss) on investments		254,115			6,114			3,442			(632	)		(16,414	)		2,789			2,725			(11,556	)		8,869
Change in unrealized appreciation (depreciation) of investments		183,064			3,524			17,025			(909	)		4,095			33,545			(3,690	)		5,788			(13,699	)
Net increase (decrease) in policy owners’ equity resulting from operations		461,030			9,669			25,278			(115	)		(5,249	)		36,088			1,254			(6,090	)		(4,940	)
POLICY OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		116,176			4,823			5,371			1,014			2,971			205			2,327			—			237
Net transfer (to) from affiliate and subaccounts		(93,181	)		(7,199	)		12,006			4,940			(8,766	)		81,620			13,801			(47,940	)		(81,956	)
Payments for redemptions		(159,920	)		(10,062	)		(137	)		—			(42,327	)		(12,922	)		(2	)		—			—
Cost of insurance		(220,460	)		(3,176	)		(5,701	)		(1,548	)		(4,272	)		(1,842	)		(3,281	)		(184	)		(981	)
Net increase (decrease) from policy owners’ equity transactions		(357,385	)		(15,614	)		11,539			4,406			(52,394	)		67,061			12,845			(48,124	)		(82,700	)
Total increase (decrease) in policy owners’ equity		103,645			(5,945	)		36,817			4,291			(57,643	)		103,149			14,099			(54,214	)		(87,640	)
POLICY OWNERS’ EQUITY
Beginning of period		3,074,317			92,464			131,693			52,183			99,512			—			77,806			54,362			87,640
End of period	$	3,177,962		$	86,519		$	168,510		$	56,474		$	41,869		$	103,149		$	91,905		$	148		$	—

See accompanying notes to financial statements.

35

ZALICO Variable Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Policy Owners’ Equity (continued)

For the year ended December 31, 2020

	Invesco Variable Insurance Funds			Janus Henderson Series																					PIMCO Variable Insurance Trust
	Invesco V.l. Technology			Janus Henderson Balanced			Janus Henderson Enterprise			Janus Henderson Flexible Bond			Janus Henderson Forty			Janus Henderson Global Research			Janus Henderson Overseas			Janus Henderson Research			PIMCO International Bond Portfolio (U.S. Dollar-Hedged)			PIMCO Low Duration
	1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020			1/1/2020 to 12/31/2020
OPERATIONS
Net investment income (loss)	$	(955	)	$	26,026		$	(5,094	)	$	2,245		$	(15,490	)	$	2,980		$	5,291		$	206		$	3,902		$	154
Net realized gain (loss) on investments		38,745			81,059			491,241			323			168,878			99,445			1,699			237,089			645			(108	)
Change in unrealized appreciation (depreciation) of investments		55,424			141,191			(207,180	)		5,835			669,258			67,831			86,450			162,839			(1,090	)		931
Net increase (decrease) in policy owners’ equity resulting from operations		93,214			248,276			278,967			8,403			822,646			170,256			93,440			400,134			3,457			977
POLICY OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		6,558			26,224			28,336			5,929			95,013			26,571			17,357			30,805			3,724			2,871
Net transfer (to) from affiliate and subaccounts		(24,856	)		(31,556	)		(21,329	)		170			(124,567	)		4,515			(11,171	)		(32,865	)		1,767			(3,730	)
Payments for redemptions		(2	)		(52,229	)		(322,831	)		—			(15,908	)		(2,363	)		(21,930	)		(76,859	)		—			—
Cost of insurance		(6,926	)		(35,381	)		(48,324	)		(6,662	)		(160,605	)		(32,785	)		(14,851	)		(44,295	)		(7,272	)		(3,498	)
Net increase (decrease) from policy owners’ equity transactions		(25,226	)		(92,942	)		(364,148	)		(563	)		(206,067	)		(4,062	)		(30,595	)		(123,214	)		(1,781	)		(4,357	)
Total increase (decrease) in policy owners’ equity		67,988			155,334			(85,181	)		7,840			616,579			166,194			62,845			276,920			1,676			(3,380	)
POLICY OWNERS’ EQUITY
Beginning of period		216,909			1,856,688			1,732,666			88,960			2,321,538			872,842			576,512			1,311,471			77,993			50,298
End of period	$	284,897		$	2,012,022		$	1,647,485		$	96,800		$	2,938,117		$	1,039,036		$	639,357		$	1,588,391		$	79,669		$	46,918

See accompanying notes to financial statements.

36

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(1) Organization

ZALICO Variable Separate Account (the “Separate Account”) is a unit investment trust registered under the Investment Company Act of 1940, as amended, established by Zurich American Life Insurance Company (“ZALICO” or the “Company”). ZALICO is a stock life insurance company founded in 1947. The Company is incorporated under the insurance laws of the State of Illinois and is licensed in the District of Columbia and all states, with the exception of New York.

The Company is a wholly-owned subsidiary of Zurich American Company, LLC (“ZAC”), a non-operating holding company. ZAC is a direct wholly-owned subsidiary of Zurich Holding Company of America, Inc. (“ZHCA”). ZHCA is an indirect wholly-owned subsidiary of Zurich Insurance Group Ltd. (“ZIG”).

Under applicable insurance law, the assets and liabilities of the Separate Account are clearly identified and distinguished from ZALICO’s other assets and liabilities. The portion of the Separate Account’s assets applicable to the variable life policies is not chargeable with liabilities arising out of any other business ZALICO may conduct.

The Separate Account is used to fund policies (the “Policy”) for the Zurich Select variable life policies (“Zurich Select”), the Power V flexible premium variable universal life policies (“Power V”), the Farmers Variable Universal Life I flexible premium variable universal life policies (“Farmers Variable Universal Life I”), the Scudder Destinations Life modified single premium variable universal life policies (“Scudder Destinations Life”) and Zurich Life investor flexible premium universal life policies (“Zurich Life investor”). The Separate Account follows the accounting and reporting guidance in ASC Topic 946 “Financial Services —Investment Companies.”

The Separate Account is divided into various subaccount options listed below, which are available to policy owners depending upon their respective Policy. During the years ended December 31, 2021 and 2020, assets were invested in sixty-one of the sixty-one available subaccount options.

Alger Balanced   Alger Capital Appreciation   Alger Growth & Income   Alger Large Cap Growth   Alger Mid Cap Growth   American Century VP Disciplined Core Value   American Century VP International   American Century VP Ultra   American Century VP Value   AST BlackRock Low Duration Bond   AST BlackRock/Loomis Sayles Bond   AST Mid-Cap Growth   AST Hotchkis Wiley Large-Cap Value   AST International Growth   AST Loomis Sayles Large-Cap Growth   AST Small Cap Growth   AST T. Rowe Price Asset Allocation DWS Government & Agency Securities VIP (a)   DWS Government Money Market VIP   DWS High Income VIP   DWS International Growth VIP   DWS Multisector Income VIP (a)   DWS Small Cap Index VIP   DWS Small Mid Cap Growth VIP   DWS Small Mid Cap Value VIP   Fidelity VIP Contrafund   Fidelity VIP Equity Income   Fidelity VIP Growth   Fidelity VIP Growth Opportunities   Fidelity VIP High Income   Fidelity VIP Index 500   Fidelity VIP Overseas   Templeton Developing Markets   Franklin Templeton Foreign  

37

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(1) Organization, continued

AST T. Rowe Price Large-Cap Value   BNY Mellon I.P. Mid Cap Stock   BNY Mellon Stock Index Fund   BNY Mellon Sustainable U.S. Equity   BNY Mellon VIF Appreciation   BNY Mellon VIF Opportunistic Small Cap   DWS Bond VIP (f)   DWS Capital Growth VIP   DWS Core Equity VIP ‘A’   DWS Core Equity VIP ‘B’   DWS CROCI^® International VIP ‘A’   DWS CROCI^® International VIP ‘B’   DWS CROCI^® U.S.VIP   DWS Equity 500 Index VIP   DWS Global Equity VIP (f)   DWS Global Income Builder VIP   DWS Global Small Cap VIP Templeton Global Bond   Invesco V.I. Discovery Mid Cap Growth (c)   Invesco V.I. Diversified Dividend   Invesco V.I. Equity and Income (e)   Invesco V.I. Managed Volatility (d)   Invesco V.I. Mid Cap Growth (b)   Invesco V.I. Technology   Janus Henderson Balanced   Janus Henderson Enterprise   Janus Henderson Flexible Bond   Janus Henderson Forty   Janus Henderson Global Research   Janus Henderson Overseas   Janus Henderson Research   PIMCO International Bond Portfolio (U.S. Dollar-Hedged)   PIMCO Low Duration

(a) For the period from January 1, 2020 to February 27, 2020 (date of liquidation).

(b) For the period from January 1, 2020 to April 30, 2020 (date of liquidation).

(c) For the period from April 30, 2020 (commencement of operations) to December 31, 2020.

(d) For the period from January 1, 2021 to April 30, 2021 (date of liquidation).

(e) For the period from April 30, 2021 (commencement of operations) to December 31, 2021.

(f) For the period from January 1, 2021 to October 28, 2021 (date of liquidation).

Policy owners may also allocate some or all of gross premiums or transfer some or all of the policy value to the Guaranteed Account, which is part of ZALICO’s General Account. The assets of ZALICO’s General Account support its insurance and annuity obligations and are subject to ZALICO’s general liabilities from its business operations.

38

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(2) Significant Accounting Policies

Investments

Investments are made in the various portfolios in accordance with selections made by the policy owners. Such investments are made at the net asset value per share, reported by the respective portfolios, whose investments are stated at fair value.

Security transactions and investment income

Security transactions are accounted for on the trade date (date the order to buy or sell is executed). Dividend income is recorded as income on the ex-dividend date and is reinvested in additional shares of the portfolio. Realized gains and losses from sales of investment shares are reported on a first in, first out (FIFO) cost basis. Capital gain distributions are included in realized gains (losses) on investments.

Accumulation unit valuation

On each day the New York Stock Exchange (the “Exchange”) is open for trading, the accumulation unit value is determined as of the earlier of 3:00 p.m. (CST) or the close of the Exchange by dividing the total value of each subaccount’s investments and other assets, less liabilities, by the number of accumulation units outstanding in the respective subaccount.

Federal income taxes

The results of the operations of the Separate Account are included in the federal income tax return of ZALICO. Under the provisions of the policies, ZALICO has the right to charge the Separate Account for federal income tax attributable to the Separate Account. No charge has been made against the Separate Account for such tax during the year ended December 31, 2021. Management will periodically review the policy in the event of changes in tax law. Accordingly, a charge may be made in future years for any federal income taxes that would be attributable to the policies.

Net transfers (to) from affiliate or subaccounts

Net transfers (to) from affiliate or subaccounts include transfers of all or part of the policy owners’ interest to or from another eligible subaccount or to the general account of ZALICO.

Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that could affect the reported amounts of assets and liabilities, as well as the disclosure of contingent assets or liabilities at the date of the financial statements. As a result, actual results reported as increases and decreases in net policy owners’ equity could differ from the estimates reported in the accompanying financial statements.

Risks and uncertainties

The Separate Account provides for various subaccount investment options in any combination of mutual funds, each of which bears exposure to the market, credit and liquidity risks of the underlying portfolio in which it invests. Due to the level of risk associated with certain investments and the level of uncertainty related to changes in the value of investments, it is at least reasonably possible that changes in risks in the near term could materially affect investment balances, the amounts reported in the Statement of Assets, Liabilities and Policy Owners’ Equity and the amounts reported in the Statement of Changes in Policy Owners’ Equity. Accordingly, these financial statements should be read in conjunction with the financial statements and footnotes of the underlying mutual funds identified in Note 1.

Fair value measurements

The Separate Account determined the fair value of its financial instruments based on the fair value hierarchy established in FASB guidance referenced in the Fair Value Measurements and Disclosure Topic which requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value.

39

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(2) Significant Accounting Policies, continued

The Separate Account has categorized its financial instruments based on the priority of the inputs to the valuation technique, into the three level hierarchy as outlined in the applicable guidance. 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). If the inputs used to measure fair value fall within different levels of the hierarchy, the category level is based on the lowest priority level input that is significant to the fair value measurement of the instrument. As there are no level 2 or level 3 assets in any period presented, disclosures of transfers between levels of disclosure and a reconciliation of level 3 assets are not required. In addition, there are no other financial assets or assets valued on a non-recurring basis.

Financial assets and liabilities recorded at fair value on the Statement of Assets, Liabilities and Policy Owners’ Equity are categorized as follows:

• Level 1: Unadjusted quoted prices for identical assets or liabilities in an active market.

• Level 2: Quoted prices in markets that are not active or significant inputs that are observable either directly or indirectly. Level 2 inputs include the following:

a) Quoted prices for similar assets or liabilities in active markets

b) Quoted prices for identical or similar assets or liabilities in non-active markets

c) Inputs other than quoted market prices that are observable

d) Inputs that are derived principally from or corroborated by observable market data through correlation or other means.

• Level 3: Prices or valuation techniques that require inputs that are both unobservable and significant to the overall fair value measurement. They reflect management’s own assumptions about the assumptions a market participant would use in pricing the asset or liability.

Determination of fair values

The valuation methodologies used to determine the fair values of assets and liabilities under the FASB guidance referenced in the Fair Value Measurements and Disclosures Topic reflect market participant assumptions and are based on the application of the fair value hierarchy that prioritizes observable market inputs over unobservable inputs. The Separate Account determines the fair values of certain financial assets based on quoted market prices. All of the investments in the subaccounts of the Separate Account are classified as Level 1 in the fair value hierarchy for each of the financial statement periods presented herein and consist of open-ended mutual funds. Participants may, without restriction, transact at the daily net asset value (“NAV”) of the mutual funds. The NAV represents the daily per share value based on the fair value of the underlying portfolio of investments of the respective mutual funds.

40

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(3) Purchases and Sales of Investments

The cost of purchases and proceeds from sales of investments, including distributions received and reinvested for the year ended December 31, 2021, are as follows:

	Purchases		Sales
The Alger Fund:
Alger Balanced	$	129,138	$	91,573
Alger Capital Appreciation		151,847		9,709
Alger Growth and Income		192,678		164,158
Alger Large Cap Growth		415,536		248,593
Alger Mid Cap Growth		1,052,149		508,200
American Century Variable Portfolios, Inc.:
American Century VP Disciplined Core Value		20,404		8,010
American Century VP International		1,844		1,735
American Century VP Ultra		26,671		9,523
American Century VP Value		70,597		96,148
American Skandia Trust:
AST BlackRock Low Duration Bond		25,715		26,414
AST BlackRock/Loomis Sayles Bond		31,675		44,490
AST Mid-Cap Growth		174,870		320,834
AST Hotchkis Wiley Large-Cap Value		36,918		86,489
AST International Growth		42,679		118,878
AST Loomis Sayles Large-Cap Growth		366,642		930,813
AST Small Cap Growth		42,379		60,774
AST T. Rowe Price Asset Allocation		50,491		49,518
AST T. Rowe Price Large-Cap Value		71,127		133,539
BNY Mellon Investment Portfolios:
BNY Mellon I.P. Mid Cap Stock		1,508		1,724
BNY Mellon Stock Index Fund:
BNY Mellon Stock Index Fund		129,675		89,030
The BNY Mellon Sustainable Fund:
The BNY Mellon Sustainable U.S. Equity		10,036		7,208
BNY Mellon Variable Investment Fund:
BNY Mellon VIF Appreciation		41,848		21,380
BNY Mellon VIF Opportunistic Small Cap		250,826		302,886

41

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(3) Purchases and Sales of Investments, continued

	Purchases		Sales
Deutsche Asset & Wealth Management Funds:
DWS Bond VIP	$	42,650	$	333,208
DWS Capital Growth VIP		490,550		346,291
DWS Core Equity VIP ‘A’		173,864		203,526
DWS Core Equity VIP ‘B’		15,997		8,981
DWS CROCI® International VIP ‘A’		29,928		31,222
DWS CROCI® International VIP ‘B’		27,178		19,921
DWS CROCI® U.S. VIP		60,238		60,214
DWS Equity 500 Index VIP		46,772		31,994
DWS Global Equity VIP		57,754		833,173
DWS Global Income Builder VIP		94,309		177,198
DWS Global Small Cap VIP		1,167		62,808
DWS Government Money Market VIP		1,319,392		425,205
DWS High Income VIP		58,758		22,907
DWS International Growth VIP		126		3,688
DWS Small Cap Index VIP		68,690		64,969
DWS Small Mid Cap Growth VIP		441,095		515,007
DWS Small Mid Cap Value VIP		1,054		1,226
Fidelity Variable Insurance Products Fund:
Fidelity VIP Contrafund		631,885		413,687
Fidelity VIP Equity Income		326,464		247,566
Fidelity VIP Growth		546,908		276,976
Fidelity VIP Growth Opportunities		331,907		271,387
Fidelity VIP High Income		73,011		53,020
Fidelity VIP Index 500		168,925		322,505
Fidelity VIP Overseas		47,937		42,655
Franklin Templeton Variable Insurance Products Trust:
Templeton Developing Markets		28,106		17,287
Templeton Foreign		13,763		10,959
Templeton Global Bond		4,569		1,767
Invesco Variable Insurance Funds:
Invesco V.I. Discovery Mid Cap Growth		11,034		16,410
Invesco V.I. Diversified Dividend		6,605		12,368
Invesco V.I. Equity and Income		163		4
Invesco V.I. Managed Volatility		3		160
Invesco V.I. Technology		37,824		47,126
Janus Henderson Series:
Janus Henderson Balanced		192,640		122,864
Janus Henderson Enterprise		519,332		504,253
Janus Henderson Flexible Bond		27,918		14,323
Janus Henderson Forty		427,881		270,875
Janus Henderson Global Research		181,488		172,521
Janus Henderson Overseas		85,791		131,751
Janus Henderson Research		201,271		253,936
PIMCO Variable Insurance Trust:
PIMCO International Bond Portfolio (U.S. Dollar-Hedged)		6,665		4,055
PIMCO Low Duration		10,416		2,846

42

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(4) Expenses and Related Party Transactions

Policy Charges	Range
Mortality and Expense Risk Charge
ZALICO assess a daily asset charge to cover mortality and expense risk associated with certain “No-Lapse Guarantees” and administrative and maintenance expense to cover costs that may exceed administrative charges set by the policies. The charge is assessed as a reduction in unit value.	0.20%-0.90% annualized
Sales Load
A sales load is deducted from each premium payment before the net premium is allocated to the subaccounts.	2%
Contingent Deferred Sales Charge
Proceeds payable on the surrender of a policy are reduced by the amount of any applicable contingent deferred sales charge due to ZALICO. The charge is assessed through the redemption of units and is based upon the number of full years which have elapsed between the date the policy was purchased and the surrender date.	0.00%-100%
Transfer Charges
Under the terms of the policies ZALICO has reserved the right to charge an amount for each transfer after the first 12 transfers in any policy year through a redemption in units.	$0-$25 per transfer
Administrative Charge
An administrative charge is assessed on monthly cash value of the policy or a flat charge through a redemption of units.	$5-$10 or 0.25% to 0.35% of net assets annualized
Records Maintenance Charge
A records maintenance charge is assessed annually as a redemption of units to compensate for issuance and administrative costs.	$30
Cost of Insurance Charge
The guarantee cost of insurance charges is based on attained age, sex and history of tobacco use of the insured. The net amount at risk (“NAR”) is the difference between the death benefit and the cash value of the policy. The charge is assessed as a reduction in unit value.	$.06 per $1,000 NAR- $83.33 per $1,000 NAR
Tax Charge
A tax charge is assessed to cover a portion of the insurance company’s state premium tax expense and certain federal income tax liability associated with the receipt of premium. The charge is either deducted from each premium payment or assessed against the average monthly cash value through a redemption of units.	1%-3.5% of premium payment 0.00%-0.40% annualized

43

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(4) Expenses and Related Party Transactions, continued

Policy Charges	Range
Withdrawal Charge
A charge is deducted against withdrawals of the initial premium paid under the policy. It is assessed to cover a portion of the insurance company’s premium tax expenses and the sales expenses incurred in distributing the policies. The withdrawal charge declines to 0% after the ninth policy anniversary.	0%-10%
Systematic Withdrawal Charge
A charge is assessed against systematic withdrawals to cover ZALICO’s costs associated with processing the withdrawals.	$50 initial set up $25 subsequent changes
Partial Withdrawal Charge
A charge is assessed against partial withdrawals that are not processed under the systematic withdrawal plan in excess of one per policy year.	$25

Related Party Transactions

Policy loans are also provided for under the terms of the Policy. The minimum amount of the loan under Zurich Select, Power V, Farmers Variable Universal Life I and Zurich Life investor policy is $500 and is limited to 90% of the surrender value, less applicable surrender charges. The minimum amount of the loan under the Scudder Destinations Life policy is $1,000 and is limited to 90% of the surrender value, less applicable surrender charges. Interest is assessed against a policy loan under the terms of the Policy. Policy loans are carried in ZALICO’s general account.

Investment Distributors, Inc., a wholly owned subsidiary of Protective Life Insurance Company (“Protective Life”), is the principal underwriter for the Separate Account. Effective September 3, 2003, ZALICO transferred certain of its business, as well as the capital stock of its wholly-owned subsidiaries, to a former affiliate, Federal Kemper Life Assurance Company (“FKLA”). In a contemporaneous transaction, FKLA and ZALICO entered into a coinsurance agreement under which FKLA administers the business and the records of, and 100% reinsures, certain lines of business issued by ZALICO, and performs certain Separate Account administration functions for certain registered variable annuity policies that are funded through the Separate Account. These transfers were part of a larger transaction under which the capital stock of FKLA was sold to Bank One Insurance Holdings, Inc. (“Bank One”). On July 1, 2004, Bank One merged into JP Morgan Chase & Co., and FKLA changed its name to Chase Insurance Life and Annuity Company (“Chase Insurance”). On July 3, 2006, Protective Life, purchased Chase Insurance. Effective April 1, 2007, Chase Insurance merged with and into Protective Life.

44

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(5) Changes in Units Outstanding

The changes in units outstanding for the years ended December 31, 2021 and 2020 were as follows:

		Units Issued		Units Redeemed		Net Increase (Decrease)
The Alger Fund:
Alger Balanced	2021		3,864		3,192		672
	2020		1,539		1,322		217
Alger Capital Appreciation	2021		—		58		(58	)
	2020		—		2,077		(2,077	)
Alger Growth and Income	2021		2,610		3,691		(1,081	)
	2020		2,147		2,906		(759	)
Alger Large Cap Growth	2021		2,308		3,658		(1,350	)
	2020		1,239		4,877		(3,638	)
Alger Mid Cap Growth	2021		5,857		8,418		(2,561	)
	2020		4,763		7,337		(2,574	)
American Century Variable Portfolios, Inc.
American Century VP Disciplined Core Value	2021		149		197		(48	)
	2020		494		503		(9	)
American Century VP International	2021		18		57		(39	)
	2020		73		61		12
American Century VP Ultra	2021		212		116		96
	2020		38		78		(40	)
American Century VP Value	2021		1,861		2,807		(946	)
	2020		1,361		1,566		(205	)
American Skandia Trust:
AST BlackRock Low Duration Bond	2021		1,276		1,239		37
	2020		1,475		2,274		(799	)
AST BlackRock/Loomis Sayles Bond	2021		1,055		1,366		(311	)
	2020		1,744		3,075		(1,331	)

45

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(5) Changes in Units Outstanding, continued

		Units Issued		Units Redeemed		Net Increase (Decrease)
American Skandia Trust, continued:
AST Mid-Cap Growth	2021		1,834		3,082		(1,248	)
	2020		1,903		4,579		(2,676	)
AST Hotchkis Wiley Large-Cap Value	2021		755		1,351		(596	)
	2020		2,298		3,112		(814	)
AST International Growth	2021		1,442		3,620		(2,178	)
	2020		1,970		4,079		(2,109	)
AST Loomis Sayles Large-Cap Growth	2021		3,111		6,250		(3,139	)
	2020		6,531		15,218		(8,687	)
AST Small Cap Growth	2021		461		633		(172	)
	2020		337		570		(233	)
AST T. Rowe Price Asset Allocation	2021		914		695		219
	2020		1,336		3,042		(1,706	)
AST T. Rowe Price Large-Cap Value	2021		6,441		9,603		(3,162	)
	2020		14,947		18,545		(3,598	)
BNY Mellon Investment Portfolios:
BNY Mellon I.P. Mid Cap Stock	2021		—		13		(13	)
	2020		—		13		(13	)
BNY Mellon Stock Index Fund:
BNY Mellon Stock Index Fund	2021		1,653		1,717		(64	)
	2020		1,393		1,327		66
The BNY Mellon Sustainable Fund:
The BNY Mellon Sustainable U.S. Equity	2021		96		130		(34	)
	2020		129		162		(33	)
BNY Mellon Variable Investment Fund:
BNY Mellon VIF Appreciation	2021		381		440		(59	)
	2020		869		824		45
BNY Mellon VIF Opportunistic Small Cap	2021		6,254		7,679		(1,425	)
	2020		4,840		4,278		562
Deutsche Asset & Wealth Management Funds:
DWS Bond VIP	2021		2,588		21,198		(18,610	)
	2020		1,216		1,808		(592	)

46

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(5) Changes to Units Outstanding, continued

		Units Issued		Units Redeemed		Net Increase (Decrease)
Deutsche Asset & Wealth Management Funds, continued:
DWS Capital Growth VIP	2021		1,802		5,373		(3,571	)
	2020		3,006		14,807		(11,801	)
DWS Core Equity VIP ‘A’	2021		1,793		4,582		(2,789	)
	2020		2,428		5,407		(2,979	)
DWS Core Equity VIP ‘B’	2021		140		185		(45	)
	2020		234		559		(325	)
DWS CROCI® International VIP ‘A’	2021		1,381		1,825		(444	)
	2020		2,658		2,134		524
DWS CROCI® International VIP ‘B’	2021		1,182		980		202
	2020		3,155		1,885		1,270
DWS CROCI® U.S. VIP	2021		9,696		9,286		410
	2020		39,407		26,949		12,458
DWS Equity 500 Index VIP	2021		—		625		(625	)
	2020		1,526		97		1,429
DWS Global Equity VIP	2021		4,245		115,811		(111,566	)
	2020		7,876		11,159		(3,283	)
DWS Global Income Builder VIP	2021		2,756		19,861		(17,105	)
	2020		2,387		23,816		(21,429	)
DWS Global Small Cap VIP	2021		—		1,557		(1,557	)
	2020		—		1,307		(1,307	)
DWS Government & Agency Securities VIP	2021		—		—		—
	2020		1,571		125,863		(124,292	)
DWS Government Money Market VIP	2021		626,768		217,520		409,248
	2020		472,402		224,130		248,272
DWS High Income VIP	2021		7,004		4,038		2,966
	2020		5,597		16,080		(10,483	)
DWS International Growth VIP	2021		—		104		(104	)
	2020		—		3		(3	)
DWS Multisector Income VIP	2021		—		—		—
	2020		—		4,539		(4,539	)

47

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(5) Changes in Units Outstanding, continued

		Units Issued		Units Redeemed		Net Increase (Decrease)
Deutsche Asset & Wealth Management Funds, continued:
DWS Small Cap Index VIP	2021		1,358		1,561		(203	)
	2020		351		141		210
DWS Small Mid Cap Growth VIP	2021		25,981		57,638		(31,657	)
	2020		53,424		99,761		(46,337	)
DWS Small Mid Cap Value VIP	2021		—		7		(7	)
	2020		—		7		(7	)
Fidelity Variable Insurance Products Fund:
Fidelity VIP Contrafund	2021		825		2,623		(1,798	)
	2020		1,714		5,628		(3,914	)
Fidelity VIP Equity Income	2021		3,891		5,532		(1,641	)
	2020		3,439		3,932		(493	)
Fidelity VIP Growth	2021		3,606		3,899		(293	)
	2020		2,965		5,268		(2,303	)
Fidelity VIP Growth Opportunities	2021		873		1,879		(1,006	)
	2020		568		4,267		(3,699	)
Fidelity VIP High Income	2021		2,747		2,263		484
	2020		319		434		(115	)
Fidelity VIP Index 500	2021		191		509		(318	)
	2020		360		1,173		(813	)
Fidelity VIP Overseas	2021		1,485		1,588		(103	)
	2020		406		1,267		(861	)
Franklin Templeton Variable Insurance Products Trust:
Templeton Developing Markets	2021		1,057		742		315
	2020		1,049		375		674
Templeton Foreign	2021		749		643		106
	2020		923		612		311
Templeton Global Bond	2021		304		108		196
	2020		252		3,583		(3,331	)

48

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(5) Changes in Units Outstanding, continued

		Units Issued		Units Redeemed		Net Increase (Decrease)
Invesco Variable Insurance Funds:
Invesco V.I. Discovery Mid Cap Growth	2021		18		1,005		(987	)
	2020		8,212		1,237		6,975
Invesco V.I. Diversified Dividend	2021		169		476		(307	)
	2020		796		175		621
Invesco V.I. Equity and Income	2021		16		—		16
	2020		N/A		N/A		N/A
Invesco V.I. Managed Volatility	2021		—		6		(6	)
	2020		—		2,316		(2,316	)
Invesco V.I. Mid Cap Growth	2021		—		—		—
	2020		8		2,605		(2,597	)
Invesco V.I. Technology	2021		169		665		(496	)
	2020		292		774		(482	)
Janus Henderson Series:
Janus Henderson Balanced	2021		4,144		3,074		1,070
	2020		2,329		5,367		(3,038	)
Janus Henderson Enterprise	2021		5,789		7,899		(2,110	)
	2020		5,019		12,161		(7,142	)
Janus Henderson Flexible Bond	2021		1,252		761		491
	2020		796		855		(59	)
Janus Henderson Forty	2021		389		1,507		(1,118	)
	2020		969		2,766		(1,797	)
Janus Henderson Global Research	2021		3,428		4,772		(1,344	)
	2020		3,231		3,415		(184	)
Janus Henderson Overseas	2021		3,601		5,966		(2,365	)
	2020		5,256		6,770		(1,514	)
Janus Henderson Research	2021		2,125		4,434		(2,309	)
	2020		2,663		5,623		(2,960	)
PIMCO Variable Insurance Trust:
PIMCO International Bond Portfolio (U.S. Dollar-Hedged)	2021		197		142		55
	2020		278		354		(76	)
PIMCO Low Duration	2021		597		148		449
	2020		216		471		(255	)

49

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(6) Unit Values and Financial Highlights

ZALICO sells a number of variable life products, as discussed in Note 1, which are funded by the Separate Account. These products have unique combinations of features and fees that are charged against the policy owner’s account. Differences in fee structures result in a variety of unit values, expense ratios and total returns. The following tables were developed by determining which products offered by ZALICO and funded by the Separate Account have the highest and lowest expense ratios. Only product designs within each subaccount that had units outstanding throughout the respective periods were considered when determining the highest and lowest expense ratio. The summaries may not reflect the minimum and maximum policy charges offered by ZALICO as policy owners may not have selected all available and applicable policy options.

A summary of the units outstanding, unit fair value and net assets for variable life insurance policies, investment income and expense ratios, excluding expenses of the underlying funds, and total return for each of the five years in the period ended December 31, 2021, (except for funds which are no longer active and which have not been shown in the accompanying financial statements) were as follows:

		At December 31								For the year ended December 31
		Units (000s)		Unit Fair Value				Net Assets(1) (000s)		Investment Income Ratio (2)			Expense Ratio (3)						Total Return (4)
				Lowest		Highest							Lowest			Highest			Lowest			Highest
The Alger Fund:
Alger Balanced:
	2021		20	$	30.310	$	45.632	$	613		0.86	%		0.20	%		0.90	%		18.06	%		18.88	%
	2020		19		25.674		38.538		498		1.23	%		0.20	%		0.90	%		9.25	%		10.01	%
	2019		19		23.471		35.171		449		1.46	%		0.20	%		0.90	%		18.44	%		19.26	%
	2018		21		19.719		29.608		423		3.99	%		0.20	%		0.90	%		-4.19	%		-3.52	%
	2017		24		20.480		30.811		499		2.80	%		0.20	%		0.90	%		14.42	%		15.21	%
Alger Capital Appreciation:
	2021		11		64.973		64.973		734		N/A			0.90	%		0.90	%		18.06	%		18.06	%
	2020		11		55.032		55.032		625		N/A			0.90	%		0.90	%		40.49	%		40.49	%
	2019		13		39.171		39.171		526		N/A			0.90	%		0.90	%		32.39	%		32.39	%
	2018		17		29.588		29.588		488		0.09	%		0.90	%		0.90	%		-1.00	%		-1.00	%
	2017		17		29.886		29.886		496		0.17	%		0.90	%		0.90	%		29.92	%		29.92	%
Alger Growth and Income:
	2021		20		51.519		62.119		1,038		1.16	%		0.20	%		0.60	%		30.88	%		31.40	%
	2020		21		39.286		47.464		832		1.29	%		0.20	%		0.60	%		14.19	%		14.65	%
	2019		22		34.334		41.564		752		1.60	%		0.20	%		0.60	%		28.70	%		29.21	%
	2018		24		26.625		32.295		652		1.72	%		0.20	%		0.60	%		-5.18	%		-4.80	%
	2017		26		28.024		34.061		719		1.54	%		0.20	%		0.60	%		20.60	%		21.08	%
Alger Large Cap Growth:
	2021		17		67.609		267.192		1,158		N/A			0.20	%		0.60	%		11.17	%		11.62	%
	2020		18		60.692		240.335		1,118		0.17	%		0.20	%		0.60	%		66.03	%		66.70	%
	2019		22		36.482		144.751		804		N/A			0.20	%		0.60	%		26.67	%		27.18	%
	2018		25		28.743		114.273		713		N/A			0.20	%		0.60	%		1.59	%		2.00	%
	2017		25		28.235		112.480		715		N/A			0.20	%		0.60	%		27.70	%		28.21	%

50

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(6) Unit Values and Financial Highlights, continued

		At December 31								For the year ended December 31
		Units		Unit Fair Value				Net Assets(1)		Investment Income			Expense Ratio (3)						Total Return (4)
		(000s)		Lowest		Highest		(000s)		Ratio (2)			Lowest			Highest			Lowest			Highest
The Alger Fund, continued:
Alger Mid Cap Growth:
	2021		34	$	57.607	$	170.112	$	1,980		N/A			0.20	%		0.60	%		3.58	%		4.00	%
	2020		36		55.504		164.228		2,043		N/A			0.20	%		0.60	%		63.65	%		64.30	%
	2019		39		33.850		100.35		1,330		N/A			0.20	%		0.60	%		29.48	%		30.00	%
	2018		42		26.091		77.506		1,106		N/A			0.20	%		0.60	%		-8.00	%		-7.63	%
	2017		43		28.303		82.246		1,228		N/A			0.20	%		0.60	%		29.02	%		29.53	%
American Century Variable Portfolios, Inc.:
American Century VP Disciplined Core Value:
	2021		2		27.040		43.074		101		1.12	%		0.20	%		0.60	%		22.91	%		23.40	%
	2020		2		22.000		34.905		84		1.81	%		0.20	%		0.60	%		11.14	%		11.59	%
	2019		2		19.794		31.281		75		2.09	%		0.20	%		0.60	%		23.21	%		23.70	%
	2018		3		16.065		25.287		78		2.05	%		0.20	%		0.60	%		-7.43	%		-7.05	%
	2017		3		17.354		27.206		85		2.33	%		0.20	%		0.60	%		19.77	%		20.25	%
American Century VP International:
	2021		2		21.288		29.900		47		0.16	%		0.20	%		0.60	%		8.10	%		8.53	%
	2020		2		19.693		27.550		44		0.43	%		0.20	%		0.60	%		25.13	%		25.63	%
	2019		2		15.738		21.930		35		0.84	%		0.20	%		0.60	%		27.65	%		28.16	%
	2018		2		12.328		17.111		26		1.38	%		0.20	%		0.60	%		-15.73	%		-15.39	%
	2017		2		14.630		20.223		34		0.88	%		0.20	%		0.60	%		30.43	%		30.94	%
American Century VP Ultra:
	2021		2		62.674		85.264		167		N/A			0.20	%		0.60	%		22.43	%		22.91	%
	2020		2		51.194		69.369		130		N/A			0.20	%		0.60	%		48.96	%		49.55	%
	2019		2		34.367		46.384		89		N/A			0.20	%		0.60	%		33.78	%		34.31	%
	2018		2		25.690		34.535		75		0.28	%		0.20	%		0.60	%		0.15	%		0.56	%
	2017		2		25.651		34.344		75		0.37	%		0.20	%		0.60	%		31.44	%		31.96	%
American Century VP Value:
	2021		11		31.402		37.181		372		1.82	%		0.20	%		0.60	%		23.77	%		24.26	%
	2020		11		25.372		29.922		326		2.01	%		0.20	%		0.60	%		0.38	%		0.78	%
	2019		11		25.277		29.691		331		2.10	%		0.20	%		0.60	%		26.28	%		26.78	%
	2018		13		20.017		23.420		300		1.75	%		0.20	%		0.60	%		-9.70	%		-9.33	%
	2017		13		22.166		25.830		333		1.63	%		0.20	%		0.60	%		8.10	%		8.53	%

51

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(6) Unit Values and Financial Highlights, continued

		At December 31								For the year ended December 31
		Units		Unit Fair Value				Net Assets(1)		Investment Income		Expense Ratio (3)						Total Return (4)
		(000s)		Lowest		Highest		(000s)		Ratio (2)		Lowest			Highest			Lowest			Highest
American Skandia Trust:
AST BlackRock Low Duration Bond:
	2021		8	$	20.220	$	20.220	$	161		N/A		0.90	%		0.90	%		-1.49	%		-1.49	%
	2020		8		20.526		20.526		163		N/A		0.90	%		0.90	%		1.65	%		1.65	%
	2019		9		20.193		20.193		176		N/A		0.90	%		0.90	%		3.69	%		3.69	%
	2018		9		19.475		19.475		182		N/A		0.90	%		0.90	%		-0.16	%		-0.16	%
	2017		9		19.506		19.506		179		N/A		0.90	%		0.90	%		0.80	%		0.80	%
AST BlackRock/Loomis Sayles Bond:
	2021		12		30.909		30.909		363		N/A		0.90	%		0.90	%		-2.01	%		-2.01	%
	2020		12		31.545		31.545		380		N/A		0.90	%		0.90	%		6.41	%		6.41	%
	2019		13		29.645		29.645		397		N/A		0.90	%		0.90	%		8.25	%		8.25	%
	2018		14		27.386		27.386		377		N/A		0.90	%		0.90	%		-1.55	%		-1.55	%
	2017		14		27.817		27.817		402		N/A		0.90	%		0.90	%		3.43	%		3.43	%
AST Mid-Cap Growth:
	2021		31		104.862		104.862		3,260		N/A		0.90	%		0.90	%		9.50	%		9.50	%
	2020		32		95.764		95.764		3,097		N/A		0.90	%		0.90	%		33.64	%		33.64	%
	2019		35		71.660		71.660		2,509		N/A		0.90	%		0.90	%		28.99	%		28.99	%
	2018		38		55.553		55.553		2,106		N/A		0.90	%		0.90	%		18.44	%		18.44	%
	2017		41		58.604		58.604		2,388		N/A		0.90	%		0.90	%		24.94	%		24.94	%
AST Hotchkis Wiley Large-Cap Value:
	2021		23		62.344		62.344		1,405		N/A		0.90	%		0.90	%		28.06	%		28.06	%
	2020		23		48.683		48.683		1,126		N/A		0.90	%		0.90	%		-0.62	%		-0.62	%
	2019		24		48.988		48.988		1,173		N/A		0.90	%		0.90	%		28.37	%		28.37	%
	2018		25		38.162		38.162		954		N/A		0.90	%		0.90	%		-14.92	%		-14.92	%
	2017		27		44.856		44.856		1,211		N/A		0.90	%		0.90	%		18.13	%		18.13	%

52

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(6) Unit Values and Financial Highlights, continued

		At December 31								For the year ended December 31
		Units		Unit Fair Value				Net Assets(1)		Investment Income		Expense Ratio (3)						Total Return (4)
		(000s)		Lowest		Highest		(000s)		Ratio (2)		Lowest			Highest			Lowest			Highest
American Skandia Trust, continued:
AST International Growth:
	2021		23	$	33.042	$	33.042	$	749		N/A		0.90	%		0.90	%		11.50	%		11.50	%
	2020		25		29.635		29.635		736		N/A		0.90	%		0.90	%		30.15	%		30.15	%
	2019		27		22.770		22.770		614		N/A		0.90	%		0.90	%		30.93	%		30.93	%
	2018		30		17.391		17.391		513		N/A		0.90	%		0.90	%		-14.11	%		-14.11	%
	2017		31		20.247		20.247		635		N/A		0.90	%		0.90	%		34.22	%		34.22	%
AST Loomis Sayles Large-Cap Growth:
	2021		102		140.977		140.977		14,416		N/A		0.90	%		0.90	%		17.30	%		17.30	%
	2020		105		120.184		120.184		12,667		N/A		0.90	%		0.90	%		30.42	%		30.42	%
	2019		114		92.153		92.153		10,513		N/A		0.90	%		0.90	%		30.46	%		30.46	%
	2018		125		70.639		70.639		8,845		N/A		0.90	%		0.90	%		-3.56	%		-3.56	%
	2017		133		73.247		73.247		9,765		N/A		0.90	%		0.90	%		31.81	%		31.81	%
AST Small Cap Growth:
	2021		5		90.225		90.225		415		N/A		0.90	%		0.90	%		3.60	%		3.60	%
	2020		5		87.088		87.088		416		N/A		0.90	%		0.90	%		47.07	%		47.07	%
	2019		5		59.217		59.217		296		N/A		0.90	%		0.90	%		28.96	%		28.96	%
	2018		5		45.919		45.919		247		N/A		0.90	%		0.90	%		-9.23	%		-9.23	%
	2017		5		50.585		50.585		275		N/A		0.90	%		0.90	%		22.81	%		22.81	%
AST T. Rowe Price Asset Allocation:
	2021		21		63.597		63.597		1,324		N/A		0.90	%		0.90	%		11.41	%		11.41	%
	2020		21		57.085		57.085		1,175		N/A		0.90	%		0.90	%		11.53	%		11.53	%
	2019		22		51.183		51.183		1,141		N/A		0.90	%		0.90	%		19.77	%		19.77	%
	2018		25		42.736		42.736		1,057		N/A		0.90	%		0.90	%		-6.18	%		-6.18	%
	2017		25		45.549		45.549		1,161		N/A		0.90	%		0.90	%		14.38	%		14.38	%
AST T. Rowe Price Large-Cap Value:
	2021		140		13.671		13.671		1,909		N/A		0.90	%		0.90	%		24.42	%		24.42	%
	2020		143		10.988		10.988		1,569		N/A		0.90	%		0.90	%		1.18	%		1.18	%
	2019		146		10.860		10.860		1,590		N/A		0.90	%		0.90	%		8.60	%		8.60	%
	2018		N/A		N/A		N/A		N/A		N/A		N/A			N/A			N/A			N/A
	2017		N/A		N/A		N/A		N/A		N/A		N/A			N/A			N/A			N/A

53

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(6) Unit Values and Financial Highlights, continued

		At December 31								For the year ended December 31
		Units		Unit Fair Value				Net Assets(1)		Investment Income			Expense Ratio (3)						Total Return (4)
		(000s)		Lowest		Highest		(000s)		Ratio (2)			Lowest			Highest			Lowest			Highest
BNY Mellon Investment Portfolios:
BNY Mellon I.P. Mid Cap Stock:
	2021		3	$	50.032	$	50.032	$	131		0.63	%		0.90	%		0.90	%		24.76	%		24.76	%
	2020		3		40.102		40.102		106		0.70	%		0.90	%		0.90	%		7.14	%		7.14	%
	2019		3		37.429		37.429		99		0.83	%		0.90	%		0.90	%		19.11	%		19.11	%
	2018		4		31.424		31.424		140		0.72	%		0.90	%		0.90	%		-16.25	%		-16.25	%
	2017		7		37.520		37.520		266		1.04	%		0.90	%		0.90	%		14.35	%		14.35	%
BNY Mellon Stock Index Fund:
BNY Mellon Stock Index Fund:
	2021		17		54.422		157.089		938		1.15	%		0.20	%		0.60	%		27.65	%		28.16	%
	2020		17		42.550		123.066		734		1.47	%		0.20	%		0.60	%		17.30	%		17.77	%
	2019		17		36.202		104.912		622		1.74	%		0.20	%		0.60	%		30.40	%		30.92	%
	2018		19		27.707		80.453		527		1.83	%		0.20	%		0.60	%		-5.21	%		-4.83	%
	2017		21		29.170		84.872		598		1.72	%		0.20	%		0.60	%		20.82	%		21.30	%
The BNY Mellon Sustainable Fund:
The BNY Mellon Sustainable U.S. Equity:
	2021		5		32.069		118.489		213		0.75	%		0.20	%		0.90	%		25.86	%		26.74	%
	2020		5		25.479		93.860		170		0.99	%		0.20	%		0.90	%		23.04	%		23.90	%
	2019		5		20.708		76.060		139		1.53	%		0.20	%		0.90	%		33.16	%		34.09	%
	2018		6		15.552		56.949		114		1.82	%		0.20	%		0.90	%		-5.26	%		-4.59	%
	2017		6		16.415		59.931		120		1.17	%		0.20	%		0.90	%		14.31	%		15.10	%
BNY Mellon Variable Investment
Fund:
BNY Mellon VIF Appreciation:
	2021		6		50.723		182.370		283		0.44	%		0.20	%		0.60	%		26.37	%		26.88	%
	2020		6		40.058		144.311		225		0.74	%		0.20	%		0.60	%		22.95	%		23.44	%
	2019		6		32.516		117.37		181		1.20	%		0.20	%		0.60	%		35.29	%		35.83	%
	2018		7		23.987		86.759		158		1.37	%		0.20	%		0.60	%		-7.41	%		-7.04	%
	2017		9		25.855		93.703		230		1.35	%		0.20	%		0.60	%		26.57	%		27.08	%
BNY Mellon VIF Opportunistic Small Cap:
	2021		23		40.541		227.521		954		0.11	%		0.20	%		0.60	%		15.77	%		16.23	%
	2020		25		34.950		196.534		867		0.55	%		0.20	%		0.60	%		19.18	%		19.65	%
	2019		24		29.268		164.909		708		N/A			0.20	%		0.60	%		21.05	%		21.54	%
	2018		24		24.130		136.230		589		N/A			0.20	%		0.60	%		-19.56	%		-19.24	%
	2017		24		29.938		169.360		733		N/A			0.20	%		0.60	%		23.94	%		24.43	%

54

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(6) Unit Values and Financial Highlights, continued

		At December 31								For the year ended December 31
		Units		Unit Fair Value				Net Assets(1)		Investment Income			Expense Ratio (3)						Total Return (4)
		(000s)		Lowest		Highest		(000s)		Ratio (2)			Lowest			Highest			Lowest			Highest
Deutsche Asset & Wealth
Management Funds:
DWS Bond VIP: (5)
	2021		—	$	2.134	$	18.161		N/A		4.30	%		0.20	%		0.90	%		-1.01	%		-0.44	%
	2020		19		2.150		18.347		297		2.77	%		0.20	%		0.90	%		8.10	%		8.86	%
	2019		19		1.983		16.972		283		3.11	%		0.20	%		0.90	%		9.64	%		10.40	%
	2018		20		1.803		15.480		264		4.61	%		0.20	%		0.90	%		-3.53	%		-2.85	%
	2017		22		1.864		16.046		315		2.57	%		0.20	%		0.90	%		4.89	%		5.62	%
DWS Capital Growth VIP:
	2021		129		53.875		132.233		7,806		0.21	%		0.20	%		0.90	%		21.68	%		22.53	%
	2020		133		44.275		108.347		6,583		0.48	%		0.20	%		0.90	%		37.80	%		38.77	%
	2019		144		32.129		78.391		5,174		0.43	%		0.20	%		0.90	%		35.91	%		36.86	%
	2018		154		23.639		57.505		4,047		0.78	%		0.20	%		0.90	%		-2.48	%		-1.79	%
	2017		167		24.240		58.791		4,478		0.72	%		0.20	%		0.90	%		25.18	%		26.05	%
DWS Core Equity VIP ‘A’:
	2021		40		43.179		59.473		1,932		0.75	%		0.20	%		0.90	%		24.18	%		25.05	%
	2020		43		34.770		47.560		1,654		1.27	%		0.20	%		0.90	%		15.10	%		15.90	%
	2019		46		30.209		41.034		1,526		1.13	%		0.20	%		0.90	%		29.14	%		30.04	%
	2018		50		23.393		31.555		1,272		1.91	%		0.20	%		0.90	%		-6.53	%		-5.87	%
	2017		55		25.027		33.524		1,509		1.15	%		0.20	%		0.90	%		19.94	%		20.78	%
DWS Core Equity VIP ‘B’:
	2021		6		43.952		43.952		248		0.45	%		0.90	%		0.90	%		23.83	%		23.83	%
	2020		6		35.494		35.494		202		1.00	%		0.90	%		0.90	%		14.64	%		14.64	%
	2019		6		30.962		30.962		186		0.78	%		0.90	%		0.90	%		28.76	%		28.76	%
	2018		7		24.047		24.047		167		1.68	%		0.90	%		0.90	%		-6.87	%		-6.87	%
	2017		8		25.820		25.820		208		0.89	%		0.90	%		0.90	%		19.61	%		19.61	%
DWS CROCI® International VIP ‘A’:
	2021		17		12.004		20.561		278		2.49	%		0.20	%		0.90	%		8.26	%		9.02	%
	2020		17		11.088		18.992		262		3.07	%		0.20	%		0.90	%		1.70	%		2.41	%
	2019		16		10.903		18.675		249		3.06	%		0.20	%		0.90	%		20.69	%		21.53	%
	2018		17		9.034		15.474		208		1.08	%		0.20	%		0.90	%		-15.16	%		-14.57	%
	2017		16		10.649		18.240		237		6.97	%		0.20	%		0.90	%		20.88	%		21.72	%

55

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(6) Unit Values and Financial Highlights, continued

		At December 31								For the year ended December 31
		Units (000s)		Unit Fair Value				Net Assets(1) (000s)		Investment Income Ratio (2)			Expense Ratio (3)						Total Return (4)
				Lowest		Highest							Lowest			Highest			Lowest			Highest
Deutsche Asset & Wealth
Management Funds, continued:
DWS CROCI® International VIP ‘B’:
	2021		15	$	19.222	$	19.222	$	296		2.21	%		0.90	%		0.90	%		7.97	%		7.97	%
	2020		15		17.803		17.803		271		2.76	%		0.90	%		0.90	%		1.58	%		1.58	%
	2019		14		17.527		17.527		244		2.70	%		0.90	%		0.90	%		20.15	%		20.15	%
	2018		14		14.587		14.587		202		0.82	%		0.90	%		0.90	%		-15.33	%		-15.33	%
	2017		14		17.229		17.229		237		6.78	%		0.90	%		0.90	%		20.68	%		20.68	%
DWS CROCI® U.S. VIP:
	2021		292		2.702		31.765		2,212		1.93	%		0.90	%		0.90	%		25.56	%		25.56	%
	2020		292		2.152		25.300		1,780		2.07	%		0.90	%		0.90	%		-12.94	%		-12.94	%
	2019		279		2.472		29.061		2,026		1.95	%		0.90	%		0.90	%		31.77	%		31.77	%
	2018		286		1.876		22.055		1,595		2.61	%		0.90	%		0.90	%		-11.30	%		-11.30	%
	2017		286		2.115		24.864		1,831		1.51	%		0.90	%		0.90	%		21.79	%		21.79	%
DWS Equity 500 Index VIP:
	2021		20		44.857		44.857		903		1.46	%		0.90	%		0.90	%		27.25	%		27.25	%
	2020		21		35.250		35.250		731		1.47	%		0.90	%		0.90	%		17.04	%		17.04	%
	2019		19		30.118		30.118		582		1.91	%		0.90	%		0.90	%		30.02	%		30.02	%
	2018		22		23.164		23.164		514		1.83	%		0.90	%		0.90	%		-5.51	%		-5.51	%
	2017		24		24.514		24.514		592		1.71	%		0.90	%		0.90	%		20.45	%		20.45	%
DWS Global Equity VIP: (5)
	2021		—		6.067		30.163		N/A		1.24	%		0.90	%		0.90	%		14.99	%		14.99	%
	2020		112		5.276		26.231		700		0.62	%		0.90	%		0.90	%		23.41	%		23.41	%
	2019		115		4.275		21.255		582		0.54	%		0.90	%		0.90	%		35.04	%		35.04	%
	2018		129		3.166		15.740		476		0.80	%		0.90	%		0.90	%		-11.91	%		-11.91	%
	2017		140		3.594		17.869		595		0.51	%		0.90	%		0.90	%		22.94	%		22.94	%
DWS Government & Agency Securities VIP:
	2021		N/A		N/A		N/A		N/A		N/A			N/A			N/A			N/A			N/A
	2020		N/A		2.356		19.575		N/A		N/A			0.20	%		0.90	%		0.40	%		0.51	%
	2019		124		2.346		19.498		506		2.75	%		0.20	%		0.90	%		5.48	%		6.21	%
	2018		129		2.224		18.485		508		2.79	%		0.20	%		0.90	%		-.036	%		0.34	%
	2017		132		2.232		18.551		568		2.64	%		0.20	%		0.90	%		0.77	%		1.47	%
DWS Global Income Builder VIP:
	2021		143		6.552		26.817		1,488		2.44	%		0.20	%		0.90	%		9.97	%		10.73	%
	2020		160		5.941		24.217		1,471		3.03	%		0.20	%		0.90	%		7.31	%		8.06	%
	2019		182		5.520		22.411		1,513		3.92	%		0.20	%		0.90	%		19.09	%		19.92	%
	2018		189		4.621		18.687		1,370		3.95	%		0.20	%		0.90	%		-8.49	%		-7.85	%
	2017		199		5.035		20.279		1,603		2.92	%		0.20	%		0.90	%		15.50	%		16.31	%

56

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(6) Unit Values and Financial Highlights, continued

		At December 31								For the year ended December 31
		Units (000s)		Unit Fair Value				Net Assets(1) (000s)		Investment Income Ratio (2)			Expense Ratio (3)						Total Return (4)
				Lowest		Highest							Lowest			Highest			Lowest			Highest
Deutsche Asset & Wealth
Management Funds, continued:
DWS Global Small Cap VIP:
	2021		8		40.246		40.246		335		0.34	%		0.90	%		0.90	%		13.92	%		13.92	%
	2020		10		35.330		35.330		349		0.73	%		0.90	%		0.90	%		16.31	%		16.31	%
	2019		11		30.374		30.374		340		N/A			0.90	%		0.90	%		20.21	%		20.21	%
	2018		13		25.268		25.268		331		0.30	%		0.90	%		0.90	%		-21.22	%		-21.22	%
	2017		15		32.075		32.075		486		N/A			0.90	%		0.90	%		18.96	%		18.96	%
DWS Government Money Market VIP:
	2021		1,276		1.196		13.887		2,871		0.01	%		0.00	%		0.90	%		-0.88	%		0.01	%
	2020		867		1.203		13.886		1,977		0.24	%		0.00	%		0.90	%		-0.66	%		0.24	%
	2019		619		1.208		13.853		1,308		1.80	%		0.00	%		0.90	%		0.86	%		1.77	%
	2018		664		1.194		13.612		1,354		1.36	%		0.00	%		0.90	%		0.48	%		1.39	%
	2017		690		1.184		13.425		1,442		0.42	%		0.00	%		0.90	%		-0.44	%		0.45	%
DWS High Income VIP:
	2021		97		3.552		29.124		711		4.59	%		0.90	%		0.90	%		3.08	%		3.08	%
	2020		94		3.446		28.255		679		5.94	%		0.90	%		0.90	%		5.29	%		5.29	%
	2019		105		3.273		26.835		853		5.87	%		0.90	%		0.90	%		14.66	%		14.66	%
	2018		114		2.855		23.404		791		7.95	%		0.90	%		0.90	%		-3.39	%		-3.39	%
	2017		121		2.955		24.225		865		5.87	%		0.90	%		0.90	%		6.55	%		6.55	%
DWS International Growth VIP:
	2021		—		34.118		34.118		5		0.43	%		0.90	%		0.90	%		7.15	%		7.15	%
	2020		—		31.843		31.843		8		1.33	%		0.90	%		0.90	%		21.59	%		21.59	%
	2019		—		26.188		26.188		7		1.68	%		0.90	%		0.90	%		30.05	%		30.05	%
	2018		—		20.136		20.136		9		1.02	%		0.90	%		0.90	%		-17.44	%		-17.44	%
	2017		—		24.388		24.388		11		0.37	%		0.90	%		0.90	%		24.35	%		24.35	%

57

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(6) Unit Values and Financial Highlights, continued

		At December 31								For the year ended December 31
		Units (000s)		Unit Fair Value				Net Assets(1) (000s)		Investment Income Ratio (2)			Expense Ratio (3)						Total Return (4)
				Lowest		Highest							Lowest			Highest			Lowest			Highest
Deutsche Asset & Wealth
Management Funds, continued:
DWS Small Cap Index VIP:
	2021		4	$	41.369	$	56.252	$	168		0.89	%		0.20	%		0.60	%		13.82	%		14.27	%
	2020		4		36.274		49.422		153		0.91	%		0.20	%		0.60	%		18.72	%		19.19	%
	2019		4		30.494		41.630		122		1.00	%		0.20	%		0.60	%		24.48	%		24.97	%
	2018		5		24.449		33.444		112		1.04	%		0.20	%		0.60	%		-11.76	%		-11.41	%
	2017		5		27.653		37.902		129		0.92	%		0.20	%		0.60	%		13.65	%		14.10	%
DWS Small Mid Cap Growth VIP:
	2021		640		5.098		47.919		5,107		0.04	%		0.20	%		0.90	%		12.83	%		13.61	%
	2020		672		4.519		42.177		4,784		0.04	%		0.20	%		0.90	%		29.02	%		29.02	%
	2019		718		3.502		32.464		3,966		N/A			0.20	%		0.90	%		21.32	%		22.17	%
	2018		755		2.887		26.573		3,424		N/A			0.20	%		0.90	%		-14.36	%		-13.76	%
	2017		798		3.371		30.814		4,251		0.10	%		0.20	%		0.90	%		21.03	%		21.88	%
DWS Small Mid Cap Value VIP:
	2021		1		68.042		68.042		91		1.30	%		0.90	%		0.90	%		29.34	%		29.34	%
	2020		1		52.608		52.608		71		1.18	%		0.90	%		0.90	%		-1.68	%		-1.68	%
	2019		1		53.509		53.509		73		0.81	%		0.90	%		0.90	%		20.43	%		20.43	%
	2018		2		44.432		44.432		73		1.44	%		0.90	%		0.90	%		-16.77	%		-16.77	%
	2017		2		53.383		53.383		89		0.75	%		0.90	%		0.90	%		9.54	%		9.54	%
Fidelity Variable Insurance Products Fund:
Fidelity VIP Contrafund:
	2021		26		172.975		172.975		4,458		0.06	%		0.90	%		0.90	%		26.70	%		26.70	%
	2020		28		136.529		136.529		3,764		0.24	%		0.90	%		0.90	%		29.40	%		29.40	%
	2019		31		105.507		105.507		3,322		0.47	%		0.90	%		0.90	%		30.40	%		30.40	%
	2018		34		80.908		80.908		2,746		0.73	%		0.90	%		0.90	%		-7.22	%		-7.22	%
	2017		37		87.200		87.200		3,235		1.02	%		0.90	%		0.90	%		20.79	%		20.79	%
Fidelity VIP Equity Income:
	2021		24		39.208		99.455		1,333		1.94	%		0.20	%		0.90	%		23.78	%		24.64	%
	2020		25		31.519		80.349		1,141		1.64	%		0.20	%		0.90	%		5.74	%		6.48	%
	2019		26		29.660		75.985		1,114		2.03	%		0.20	%		0.90	%		26.31	%		27.19	%
	2018		28		23.366		60.159		948		2.30	%		0.20	%		0.90	%		-9.11	%		-8.48	%
	2017		31		25.581		66.193		1,127		1.72	%		0.20	%		0.90	%		11.89	%		12.67	%

58

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(6) Unit Values and Financial Highlights, continued

		At December 31								For the year ended December 31
		Units (000s)		Unit Fair Value				Net Assets(1) (000s)		Investment Income Ratio (2)			Expense Ratio (3)						Total Return (4)
				Lowest		Highest							Lowest			Highest			Lowest			Highest
Fidelity Variable Insurance Products
Fund, continued:
Fidelity VIP Growth:
	2021		20	$	74.860	$	221.286	$	1,540		N/A			0.20	%		0.60	%		22.48	%		22.97	%
	2020		21		60.999		180.671		1,269		0.07	%		0.20	%		0.60	%		43.04	%		43.61	%
	2019		23		42.561		126.31		982		0.27	%		0.20	%		0.60	%		33.51	%		34.05	%
	2018		26		31.815		94.607		817		0.26	%		0.20	%		0.60	%		-0.77	%		-0.37	%
	2017		26		31.997		95.339		838		0.22	%		0.20	%		0.60	%		34.33	%		34.86	%
Fidelity VIP Growth Opportunities:
	2021		17		138.229		138.229		2,340		N/A			0.90	%		0.90	%		10.94	%		10.94	%
	2020		18		124.594		124.594		2,235		0.01	%		0.90	%		0.90	%		67.15	%		67.15	%
	2019		22		74.538		74.538		1,613		0.16	%		0.90	%		0.90	%		39.58	%		39.58	%
	2018		24		53.400		53.400		1,296		0.13	%		0.90	%		0.90	%		11.45	%		11.45	%
	2017		26		47.913		47.913		1,252		0.22	%		0.90	%		0.90	%		33.32	%		33.32	%
Fidelity VIP High Income:
	2021		6		23.499		25.849		162		5.54	%		0.20	%		0.90	%		3.48	%		4.20	%
	2020		6		22.596		24.980		144		4.81	%		0.20	%		0.90	%		1.83	%		2.54	%
	2019		6		22.080		24.531		143		5.14	%		0.20	%		0.90	%		14.08	%		14.88	%
	2018		7		19.259		21.504		140		5.23	%		0.20	%		0.90	%		-4.15	%		-3.48	%
	2017		9		19.993		22.435		187		5.33	%		0.20	%		0.90	%		5.98	%		6.72	%
Fidelity VIP Index 500:
	2021		6		665.670		665.670		3,838		1.26	%		0.90	%		0.90	%		27.43	%		27.43	%
	2020		6		522.379		522.379		3,178		1.59	%		0.90	%		0.90	%		17.18	%		17.18	%
	2019		7		445.774		445.774		3,074		1.98	%		0.90	%		0.90	%		30.18	%		30.18	%
	2018		8		342.432		342.432		2,667		1.95	%		0.90	%		0.90	%		-5.35	%		-5.35	%
	2017		8		361.780		361.780		2,971		1.81	%		0.90	%		0.90	%		20.63	%		20.63	%
Fidelity VIP Overseas:
	2021		3		27.707		55.135		101		0.54	%		0.20	%		0.60	%		18.99	%		19.46	%
	2020		4		23.240		46.338		87		0.38	%		0.20	%		0.60	%		14.92	%		15.38	%
	2019		5		20.182		40.320		92		1.72	%		0.20	%		0.60	%		27.00	%		27.51	%
	2018		5		15.859		31.747		80		1.66	%		0.20	%		0.60	%		-15.32	%		-14.98	%
	2017		5		18.690		37.490		94		1.45	%		0.20	%		0.60	%		29.51	%		30.03	%

59

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(6) Unit Values and Financial Highlights, continued

		At December 31								For the year ended December 31
		Units (000s)		Unit Fair Value				Net Assets(1) (000s)		Investment Income Ratio (2)			Expenses Ratio (3)						Total Return (4)
				Lowest		Highest							Lowest			Highest			Lowest			Highest
Franklin Templeton Variable
Insurance Products Trust:
Templeton Developing Markets:
	2021		8	$	20.712	$	22.259	$	165		0.89	%		0.20	%		0.90	%		-6.58	%		-5.93	%
	2020		8		22.171		23.756		169		3.75	%		0.20	%		0.90	%		16.14	%		16.95	%
	2019		7		19.090		20.394		132		0.98	%		0.20	%		0.90	%		25.57	%		26.44	%
	2018		7		15.203		16.193		103		0.87	%		0.20	%		0.90	%		-16.55	%		-15.96	%
	2017		6		18.218		19.347		118		1.03	%		0.20	%		0.90	%		39.16	%		40.13	%
Templeton Foreign:
	2021		4		16.440		37.347		61		1.91	%		0.20	%		0.60	%		3.54	%		3.95	%
	2020		4		15.847		36.071		56		2.97	%		0.20	%		0.60	%		-1.75	%		-1.36	%
	2019		3		16.097		36.712		52		1.70	%		0.20	%		0.60	%		11.86	%		12.30	%
	2018		3		14.362		32.821		45		2.82	%		0.20	%		0.60	%		-15.95	%		-15.61	%
	2017		3		17.053		39.049		54		2.59	%		0.20	%		0.60	%		16.00	%		16.46	%
Templeton Global Bond:
	2021		3		14.774		34.062		43		N/A			0.20	%		0.60	%		-5.56	%		-5.18	%
	2020		3		15.613		36.068		42		10.46	%		0.20	%		0.60	%		-5.85	%		-5.47	%
	2019		6		16.549		38.307		100		7.00	%		0.20	%		0.60	%		1.40	%		1.81	%
	2018		6		16.287		37.777		102		N/A			0.20	%		0.60	%		1.33	%		1.73	%
	2017		6		16.042		37.282		102		N/A			0.20	%		0.60	%		1.32	%		1.72	%
Invesco Variable Insurance Funds:
Invesco V.I. Discovery Mid Cap Growth:
	2021		6		17.483		17.600		105		N/A			0.20	%		0.60	%		18.39	%		18.86	%
	2020		7		14.768		14.807		103		N/A			0.20	%		0.60	%		47.68	%		48.07	%
	2019		N/A		N/A		N/A		N/A		N/A			N/A			N/A			N/A			N/A
	2018		N/A		N/A		N/A		N/A		N/A			N/A			N/A			N/A			N/A
	2017		N/A		N/A		N/A		N/A		N/A			N/A			N/A			N/A			N/A
Invesco V.I. Diversified Dividend:
	2021		4		18.396		23.592		100		2.16	%		0.20	%		0.60	%		18.18	%		18.66	%
	2020		4		18.396		23.592		92		2.97	%		0.20	%		0.60	%		-0.46	%		-0.06	%
	2019		3		18.480		23.605		78		2.84	%		0.20	%		0.60	%		24.35	%		24.84	%
	2018		4		14.862		18.908		71		2.51	%		0.20	%		0.60	%		-8.13	%		-7.76	%
	2017		4		16.177		20.499		78		1.65	%		0.20	%		0.60	%		7.93	%		8.36	%

60

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(6) Unit Values and Financial Highlights, continued

	At December 31										For the year ended December 31
			Units (000s)		Unit Fair Value				Net Assets(1) (000s)		Investment Income Ratio (2)			Expense Ratio (3)						Total Return (4)
					Lowest		Highest							Lowest			Highest			Lowest			Highest
Invesco Variable Insurance Funds, continued:
Invesco V.I. Equity and Income: (6)
		2021		—	$	10.51	$	10.51	$	164		3.62	%		0.90	%		0.90	%		5.10	%		5.10	%
		2020		N/A		N/A		N/A		N/A		N/A			N/A			N/A			N/A			N/A
		2019		N/A		N/A		N/A		N/A		N/A			N/A			N/A			N/A			N/A
		2018		N/A		N/A		N/A		N/A		N/A			N/A			N/A			N/A			N/A
		2017		N/A		N/A		N/A		N/A		N/A			N/A			N/A			N/A			N/A
Invesco V.I. Technology:
		2021		4		67.244		75.090		288		N/A			0.20	%		0.60	%		13.73	%		14.18	%
		2020		4		59.126		65.763		285		N/A			0.20	%		0.60	%		45.24	%		45.82	%
		2019		5		40.708		45.098		217		N/A			0.20	%		0.60	%		35.07	%		35.61	%
		2018		5		30.139		33.256		165		N/A			0.20	%		0.60	%		-1.05	%		-0.65	%
		2017		5		30.459		30.475		167		N/A			0.20	%		0.60	%		34.33	%		34.86	%
Janus Henderson Series:
Janus Henderson Balanced:
		2021		61		39.426		124.400		2,394		0.91	%		0.20	%		0.60	%		16.50	%		16.96	%
		2020		59		33.775		106.784		2,012		1.73	%		0.20	%		0.60	%		13.63	%		14.08	%
		2019		62		29.665		93.975		1,857		1.97	%		0.20	%		0.60	%		21.86	%		22.34	%
		2018		61		24.296		77.119		1,494		2.29	%		0.20	%		0.60	%		0.08	%		0.48	%
		2017		62		24.228		77.059		1,509		1.64	%		0.20	%		0.60	%		17.73	%		18.19	%
Janus Henderson Enterprise:
		2021		26		68.178		196.088		1,783		0.32	%		0.20	%		0.60	%		16.13	%		16.60	%
		2020		28		58.590		168.847		1,647		0.07	%		0.20	%		0.60	%		18.76	%		19.24	%
		2019		35		49.236		142.173		1,733		0.21	%		0.20	%		0.60	%		34.68	%		35.21	%
		2018		38		36.486		105.566		1,382		0.26	%		0.20	%		0.60	%		-1.01	%		-0.61	%
		2017		39		36.785		106.645		1,441		0.25	%		0.20	%		0.60	%		26.66	%		27.17	%

61

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(6) Unit Values and Financial Highlights, continued

		At December 31								For the year ended December 31
		Units		Unit Fair Value				Net Assets(1)		Investment Income			Expense Ratio (3)						Total Return (4)
		(000s)		Lowest		Highest		(000s)		Ratio (2)			Lowest			Highest			Lowest			Highest
Janus Henderson Series, continued:
Janus Henderson Flexible Bond:
	2021		6	$	18.474	$	31.655	$	105		2.08	%		0.20	%		0.60	%		-1.49	%		-1.10	%
	2020		5		18.716		32.134		97		2.80	%		0.20	%		0.60	%		9.82	%		10.26	%
	2019		5		17.008		29.260		89		2.86	%		0.20	%		0.60	%		8.92	%		9.35	%
	2018		7		15.584		26.864		110		3.16	%		0.20	%		0.60	%		-1.60	%		-1.20	%
	2017		7		15.805		27.300		108		2.97	%		0.20	%		0.60	%		3.00	%		3.41	%
Janus Henderson Forty:
	2021		18		182.502		182.502		3,375		N/A			0.90	%		0.90	%		21.80	%		21.80	%
	2020		20		149.837		149.837		2,938		0.26	%		0.90	%		0.90	%		38.16	%		38.16	%
	2019		21		108.453		108.453		2,322		0.16	%		0.90	%		0.90	%		35.94	%		35.94	%
	2018		23		79.782		79.782		1,845		N/A			0.90	%		0.90	%		1.07	%		1.07	%
	2017		23		78.939		78.939		1,847		N/A			0.90	%		0.90	%		29.16	%		29.16	%
Janus Henderson Global Research:
	2021		30		39.492		99.070		1,172		0.53	%		0.20	%		0.60	%		17.39	%		17.85	%
	2020		31		33.576		84.397		1,039		0.67	%		0.20	%		0.60	%		19.34	%		19.82	%
	2019		31		28.078		70.717		873		1.02	%		0.20	%		0.60	%		28.27	%		28.79	%
	2018		33		21.846		55.130		731		1.22	%		0.20	%		0.60	%		-7.42	%		-7.05	%
	2017		33		23.551		59.552		783		0.82	%		0.20	%		0.60	%		26.27	%		29.77	%
Janus Henderson Overseas:
	2021		30		22.215		87.402		672		1.17	%		0.20	%		0.60	%		12.91	%		13.36	%
	2020		33		19.637		77.411		639		1.22	%		0.20	%		0.60	%		15.60	%		16.06	%
	2019		34		16.952		66.963		577		1.70	%		0.20	%		0.60	%		26.26	%		26.76	%
	2018		43		13.400		53.035		582		1.87	%		0.20	%		0.60	%		-15.45	%		-15.11	%
	2017		43		15.817		62.729		682		1.71	%		0.20	%		0.60	%		30.34	%		30.86	%
Janus Henderson Research:
	2021		29		60.887		114.325		1,765		0.10	%		0.20	%		0.60	%		19.62	%		20.09	%
	2020		32		50.802		95.577		1,588		0.39	%		0.20	%		0.60	%		32.16	%		32.69	%
	2019		34		38.363		72.319		1,311		0.47	%		0.20	%		0.60	%		34.71	%		35.25	%
	2018		37		28.421		53.684		1,056		0.59	%		0.20	%		0.60	%		-3.16	%		-2.77	%
	2017		38		29.290		55.436		1,115		0.40	%		0.20	%		0.60	%		27.12	%		27.63	%

62

ZALICO VARIABLE SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

Notes to Financial Statements

(6) Unit Values and Financial Highlights, continued

		At December 31								For the year ended December 31
		Units		Unit Fair Value				Net Assets(1)		Investment Income			Expense Ratio (3)						Total Return (4)
		(000s)		Lowest		Highest		(000s)		Ratio (2)			Lowest			Highest			Lowest			Highest
PIMCO Variable Insurance Trust:
PIMCO International Bond Portfolio (U.S. Dollar-Hedged):
	2021		3	$	24.653	$	24.653	$	79		1.58	%		0.90	%		0.90	%		-2.83	%		-2.83	%
	2020		3		25.371		25.371		80		5.83	%		0.90	%		0.90	%		4.62	%		4.62	%
	2019		3		24.252		24.252		78		1.79	%		0.90	%		0.90	%		6.05	%		6.05	%
	2018		3		22.868		22.868		73		1.33	%		0.90	%		0.90	%		1.21	%		1.21	%
	2017		3		22.595		22.595		70		4.92	%		0.90	%		0.90	%		1.85	%		1.85	%
PIMCO Low Duration:
	2021		3		17.052		17.052		54		0.55	%		0.90	%		0.90	%		-1.81	%		-1.81	%
	2020		3		17.366		17.366		47		1.21	%		0.90	%		0.90	%		2.07	%		2.07	%
	2019		3		17.014		17.014		50		2.78	%		0.90	%		0.90	%		3.10	%		3.10	%
	2018		3		16.502		16.502		47		1.95	%		0.90	%		0.90	%		-0.56	%		-0.56	%
	2017		3		16.595		16.595		43		1.34	%		0.90	%		0.90	%		0.45	%		0.45	%

Notes:

(1) Net Assets equals Policy Owners’ Equity. N/A is noted if the subaccount ceased as an investment option.

(2) This ratio represents dividends, excluding distribution of capital gains, received by the subaccount from the underlying mutual fund, net of management fees assessed by the fund manager, divided by the average net assets. This ratio excludes the expense charges that result in direct reduction in the unit values. The recognition of investment income by the subaccount is affected by the timing of the declaration of dividends in the underlying fund in which the subaccounts invest. N/A is noted if the fund did not pay any dividends or subaccount ceased as an investment option.

(3) This ratio represents the annualized policy expenses of the Separate Account, consisting primarily of mortality and expense risk charges for each period presented. The ratios include only those expenses that result in a direct reduction to unit values. Charges that require redemption of policy owner units and expenses of the underlying fund are excluded. N/A is noted if the subaccount ceased as an investment option.

(4) Total return is calculated using the beginning and ending unit value (before rounding for this presentation), which reflects the changes in the underlying fund values and reductions related to the Expense Ratio, for the period indicated. The total return does not include any expenses assessed through redemption of units; inclusion of these expenses in the calculation would result in a reduction in the total return presented. N/A is noted if the subaccount ceased as an investment option.

(5) For the period from January 1, 2021 to October 28, 2021 (date of liquidation).

(6) For the period from April 30, 2021 (commencement of operations) to December 31, 2021.

(7) Subsequent Events

The Separate Account has evaluated the effects of events subsequent to December 31, 2021, and through April 26, 2022. All accounting and disclosure requirements related to subsequent events are included in our financial statements.

63

Zurich American Life Insurance Company

Statutory Financial Statements

December 31, 2021, 2020 and 2019

Zurich American Life Insurance Company

Index

December 31, 2021, 2020 and 2019

	Page
Report of Independent Auditors		1-4
Statutory Financial Statements
Statutory Statements of Admitted Assets, Liabilities and Capital and Surplus		5
Statutory Statements of Operations		6
Statutory Statements of Changes in Capital and Surplus		7
Statutory Statements of Cash Flows		8
Notes to Statutory Financial Statements		9-52

    Ernst & Young LLP 155 North Wacker Drive Chicago, IL 60606-1787     Tel: +1 312 879 2000 Fax: +1 312 879 4000 ey.com

Report of Independent Auditors

Board of Directors

Zurich American Life Insurance Company

We have audited the statutory-basis financial statements of Zurich American Life Insurance Company (the Company), which comprise the statement of admitted assets, liabilities, and capital and surplus as of December 31, 2021, and the related statement of operations, changes in capital and surplus and cash flow for the year then ended, and the related notes to the financial statements (collectively referred to as the “financial statements”).

Unmodified Opinion on Statutory-Basis of Accounting

In our opinion, the accompanying financial statements present fairly, in all material respects, the financial position of the Company at December 31, 2021, and the results of its operations and its cash flows for the years then ended, on the basis of accounting described in Note 2.

Adverse Opinion on U.S. Generally Accepted Accounting Principles

In our opinion, because of the significance of the matter described in the Basis for Adverse Opinion on U.S. Generally Accepted Accounting Principles section of our report, the financial statements do not present fairly, in accordance with accounting principles generally accepted in the United States of America, the financial position of the Company at December 31, 2021, or the results of its operations or its cash flows for the years then ended.

Basis for Opinion

We conducted our audits in accordance with auditing standards generally accepted in the United States of America (GAAS). Our responsibilities under those standards are further described in the Auditor’s Responsibilities for the Audit of the Financial Statements section of our report. We are required to be independent of the Company and to meet our other ethical responsibilities in accordance with the relevant ethical requirements relating to our audits. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinions.

Basis for Adverse Opinion on U.S. Generally Accepted Accounting Principles

As described in Note 2 to the financial statements, the Company prepared these financial statements using accounting practices prescribed or permitted by the Illinois Department of Insurance, which is a basis of accounting other than accounting principles generally accepted in the United States of America. The effects on the financial statements of the variances between these statutory accounting practices described in Note 2 and accounting principles generally accepted in the United States, although not reasonably determinable, are presumed to be material.

Responsibilities of Management for the Financial Statements

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

1

In preparing the financial statements, management is required to evaluate whether there are conditions or events, considered in the aggregate, that raise substantial doubt about the Company’s ability to continue as a going concern for one year after the date that the financial statements are issued.

Auditor’s Responsibilities for the Audit of the Financial Statements

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance but is not absolute assurance and therefore is not a guarantee that an audit conducted in accordance with GAAS will always detect a material misstatement when it exists. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control. Misstatements are considered material if there is a substantial likelihood that, individually or in the aggregate, they would influence the judgment made by a reasonable user based on the financial statements. In performing an audit in accordance with GAAS, we:

• Exercise professional judgment and maintain professional skepticism throughout the audit.

• Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, and design and perform audit procedures responsive to those risks. Such procedures include examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements.

• Obtain an understanding of internal control relevant to the audit 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, no such opinion is expressed.

• Evaluate the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluate the overall presentation of the financial statements.

• Conclude whether, in our judgment, there are conditions or events, considered in the aggregate, that raise substantial doubt about the Company’s ability to continue as a going concern for a reasonable period of time.

We are required to communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit, significant audit findings, and certain internal control-related matters that we identified during the audit.

Report of Other Auditors on December 31, 2020 Financial Statements

The statutory-basis financial statements of Zurich American Life Insurance Company for the year ended December 31, 2020, were audited by other auditors who expressed an adverse opinion with respect to conformity with U.S. generally accepted accounting principles and an unmodified opinion with respect to conformity with accounting practices prescribed or permitted by the Illinois Department of Insurance on those statements on April 23, 2021.

April 26, 2022

2

Report of Independent Auditors

To the Board of Directors of Zurich American Life Insurance Company

We have audited the accompanying statutory financial statements of Zurich American Life Insurance Company, which comprise the statutory statements of admitted assets, liabilities and capital and surplus as of December 31, 2020 and December 31, 2019, and the related statutory statements of operations and changes in capital and surplus, and of cash flows for each of the three years in the period ended December 31, 2020.

Management’s Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of the financial statements in accordance with the accounting practices prescribed or permitted by the Illinois Department 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 the 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 financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on our judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, we consider internal control relevant to the Company’s preparation and fair presentation of the 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 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 U.S. Generally Accepted Accounting Principles

As described in Note 2 to the financial statements, the financial statements are prepared by the Company on the basis of the accounting practices prescribed or permitted by the Illinois Department of Insurance, which is a basis of accounting other than accounting principles generally accepted in the United States of America.

The effects on the financial statements of the variances between the statutory basis of accounting described in Note 2 and accounting principles generally accepted in the United States of America, although not reasonably determinable, are presumed to be material.

PricewaterhouseCoopers LLP, One North Wacker, Chicago, IL 60606

T: (312) 298 2000, F: (312) 298 2001, www.pwc.com/us

3

Adverse Opinion on U.S. Generally Accepted Accounting Principles

In our opinion, because of the significance of the matter discussed in the “Basis for Adverse Opinion on U.S. Generally Accepted Accounting Principles” paragraph, the 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 the Company as of December 31, 2020 and December 31, 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 financial statements referred to above present fairly, in all material respects, the admitted assets, liabilities and surplus of the Company as of December 31, 2020, and December 31, 2019, and the results of its operations and its cash flows for each of the three years in the period ended December 31, 2020, in accordance with the accounting practices prescribed or permitted by the Illinois Department of Insurance described in Note 2.

Emphasis of Matter

As discussed in Note 6 to the financial statements, the Company has entered into significant transactions with its parent company Zurich Insurance Group Ltd and its affiliates, which are related parties. Our opinion is not modified with respect to this matter.

Other Matter

Our audit was conducted for the purpose of forming an opinion on the statutory-basis financial statements taken as a whole. The supplemental schedule of assets and liabilities, summary investment schedule, schedule of investment risk interrogatories and schedule of reinsurance disclosures (collectively, the “supplemental schedules”) of the Company as of December 31, 2020 and for the year then ended are presented to comply with the National Association of Insurance Commissioners’ Annual Statement Instructions and Accounting Practices and Procedures Manual and for purposes of additional analysis and are not a required part of the statutory-basis financial statements. The supplemental schedules are the responsibility of management and were derived from and relate directly to the underlying accounting and other records used to prepare the statutory-basis financial statements. The supplemental schedules have been subjected to the auditing procedures applied in the audit of the statutory-basis financial statements and certain additional procedures, including comparing and reconciling such information 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, the supplemental schedules are fairly stated, in all material respects, in relation to the statutory-basis financial statements taken as a whole.

/s/PricewaterhouseCoopers LLP

Chicago, Illinois

April 23, 2021

4

Zurich American Life Insurance Company

Statutory Statements of Admitted Assets, Liabilities and Capital and Surplus

December 31, 2021 and 2020

(in thousands of dollars)	2021			2020
Admitted assets
Cash and invested assets:
Fixed maturities, at amortized cost (fair value of $1,018,472 and $1,086,055, respectively)	$	978,169		$	1,009,428
Investment in subsidiary		20,267			20,177
Contract loans		176,642			183,094
Cash, cash equivalents and short-term investments		65,638			106,139
Receivables for securities		2			678
Total cash and invested assets		1,240,718			1,319,516
Federal income tax receivable		27,450			8,922
Other amounts receivable under reinsurance contracts		39,996			46,718
Deferred and uncollected premiums		21,477			16,116
Investment income due and accrued		14,671			12,019
Guaranty funds receivable or on deposit		36			35
Receivable from separate accounts		32,654			30,151
Receivables from parent, subsidiaries and affiliates		347			459
Net deferred income tax asset		1,055			1,763
Other assets		339			5,381
Separate account assets		15,521,673			14,465,829
Total admitted assets	$	16,900,416		$	15,906,909
Liabilities and capital and surplus
Liabilities:
Life and annuity reserves	$	616,253		$	605,852
Supplemental contracts without life contingencies		4,538			4,653
Claims and benefits payable to policyholders		77,842			72,017
Total policy liabilities		698,633			682,522
Provision for experience rating refunds		387,362			456,267
Other amounts payable on reinsurance		68,551			64,614
Interest maintenance reserve		12,717			14,175
General expenses due or accrued		6,546			12,345
Transfers to separate accounts due or accrued		(18	)		(191	)
Taxes, licenses and fees due or accrued		7,050			6,729
Asset valuation reserve		3,354			3,059
Payable to affiliates		10,510			10,981
Funds held under coinsurance		3,073			3,156
Commission to agents due or accrued		1,476			1,246
Payable for securities		—			10,504
Other liabilities		15,935			11,368
Separate account liabilities		15,521,673			14,465,829
Total liabilities		16,736,862			15,742,604
Capital and surplus:
Capital stock ($10 par value – 300,000 authorized shares; 250,000 shares issued and outstanding)		2,500			2,500
Paid-in and contributed surplus		956,970			956,970
Unassigned deficit		(795,916	)		(795,165	)
Total capital and surplus		163,554			164,305
Total liabilities and capital and surplus	$	16,900,416		$	15,906,909

The accompanying notes are an integral part of these statutory financial statements.

5

Zurich American Life Insurance Company

Statutory Statements of Operations

Years Ended December 31, 2021, 2020 and 2019

(in thousands of dollars)	2021			2020			2019
Income and loss:
Premium and annuity considerations	$	862,797		$	614,100		$	1,059,782
Considerations for supplemental contracts with life contingencies		13,220			11,454			8,559
Net investment income		25,190			30,431			32,304
Amortization of interest maintenance reserve		3,247			2,102			600
Separate account fees		405,915			499,783			383,620
Separate account losses		(557	)		(474	)		(84	)
Commissions and expense allowances on reinsurance ceded		47,564			46,693			67,464
Fee income from non-variable separate account funds		3,330			1,596			1,559
Other income (loss)		1,296			(314	)		(506	)
Gain on sale—Corporate Life and Pension (see footnote 1)		—			22,025			—
Total income		1,362,002			1,227,396			1,553,298
Benefits and expenses:
Death benefits		401,310			352,312			385,247
Annuity benefits		33,555			50,256			26,952
Disability benefits		105			1,239			6,182
Surrender benefits		31,985			27,174			306,500
Interest and adjustments on policy or deposit-type contracts		3,265			(8,512	)		5,305
Payments on supplementary contracts with life contingencies		19,570			19,247			19,967
Increase in aggregate reserves for life policies and contracts		10,400			7,724			129,975
Commissions		47,948			77,606			86,708
General expenses		35,485			37,848			40,382
Insurance taxes, licenses and fees		14,638			16,763			14,334
Change in loading on deferred and uncollected premiums		(91	)		(89	)		108
Net transfers to separate accounts		612,898			376,903			70,043
Experience rating refunds		43,477			164,615			397,138
Reinsured fees associated with separate accounts		33,552			31,773			31,450
Variable separate account fees ceded and other		92,223			91,403			80,461
Total benefits and expenses		1,380,320			1,246,262			1,600,752
Net loss from operations before federal income taxes and total realized capital losses after taxes		(18,318	)		(18,866	)		(47,454	)
Federal income tax (benefit) expense		(17,754	)		60,245			1,415
Net loss from operations before total realized capital losses after taxes		(564	)		(79,111	)		(48,869	)
Net realized capital gains before taxes		2,259			12,613			4,348
Less: related federal income tax expense		800			2,776			1,223
Less: realized gains transferred to the interest maintenance reserve		1,788			9,872			3,422
Total realized capital losses after taxes		(329	)		(35	)		(297	)
Net loss	$	(893	)	$	(79,146	)	$	(49,166	)

The accompanying notes are an integral part of these statutory financial statements.

6

Zurich American Life Insurance Company

Statutory Statements of Changes in Capital and Surplus

Years Ended December 31, 2021, 2020 and 2019

(in thousands of dollars)	Capital Stock		Paid-in and Contributed Surplus		Unassigned Deficit			Total Capital and Surplus
Balances at December 31, 2018	$	2,500	$	789,970	$	(665,902	)	$	126,568
Net loss		—		—		(49,166	)		(49,166	)
Change in:
Net unrealized capital losses, net of tax		—		—		(2,521	)		(2,521	)
Nonadmitted assets		—		—		(12,711	)		(12,711	)
Net deferred income tax		—		—		12,930			12,930
Liability for unauthorized reinsurance		—		—		(52	)		(52	)
Asset valuation reserve		—		—		(489	)		(489	)
Paid-in capital		—		92,000		—			92,000
Surplus as a result of reinsurance		—		—		(148	)		(148	)
Interest maintenance reserve generated by transferred coinsurance assets		—		—		(191	)		(191	)
Balances at December 31, 2019	$	2,500	$	881,970	$	(718,250	)	$	166,220
Net loss		—		—		(79,146	)		(79,146	)
Change in:
Net unrealized capital gains, net of tax		—		—		1,875			1,875
Nonadmitted assets		—		—		(95,277	)		(95,277	)
Net deferred income tax		—		—		96,887			96,887
Liability for unauthorized reinsurance		—		—		(264	)		(264	)
Asset valuation reserve		—		—		(620	)		(620	)
Paid-in capital		—		75,000		—			75,000
Surplus as a result of reinsurance		—		—		(162	)		(162	)
Interest maintenance reserve generated by transferred coinsurance assets		—		—		(208	)		(208	)
Balances at December 31, 2020	$	2,500	$	956,970	$	(795,165	)	$	164,305
Net loss		—		—		(893	)		(893	)
Change in:
Net unrealized capital gains, net of tax		—		—		65			65
Nonadmitted assets		—		—		12,382			12,382
Net deferred income tax		—		—		(11,921	)		(11,921	)
Liability for unauthorized reinsurance		—		—		317			317
Asset valuation reserve		—		—		(295	)		(295	)
Surplus as a result of reinsurance		—		—		(177	)		(177	)
Interest maintenance reserve generated by transferred coinsurance assets		—		—		(229	)		(229	)
Balances at December 31, 2021	$	2,500	$	956,970	$	(795,916	)	$	163,554

The accompanying notes are an integral part of these statutory financial statements.

7

Zurich American Life Insurance Company

Statutory Statements of Cash Flows

Years Ended December 31, 2021, 2020 and 2019

(in thousands of dollars)	2021			2020			2019
Cash flow from operating activities:
Premiums collected, net of reinsurance	$	802,275		$	739,403		$	1,405,446
Net investment income		25,534			28,533			34,865
Miscellaneous income		457,548			569,308			452,052
Benefits and loss related payments		(474,105	)		(449,564	)		(688,268	)
Net transfers to separate accounts		(612,726	)		(376,570	)		(73,706	)
Commissions, expenses paid and aggregate write-ins for deductions		(275,158	)		(407,779	)		(655,729	)
Federal and foreign income taxes (paid) recovered		(1,574	)		(69,293	)		7,951
Net cash (used in) provided by operations		(78,206	)		34,038			482,611
Cash flow from investing activities:
Proceeds from investments sold, matured or repaid
Fixed maturities		377,319			521,628			288,404
Stocks		—			—			97
Net gains on cash, cash equivalents and short-term investments		1			114			7
Miscellaneous proceeds		677			—			31,174
Total investment proceeds		377,997			521,742			319,682
Cost of investments acquired
Fixed maturities		346,645			595,802			742,309
Stocks		—			—			85
Miscellaneous applications		10,504			22,372			460
Total investments acquired		357,149			618,174			742,854
Net (decrease) increase in contract loans		(6,451	)		1,291			115,709
Net cash provided by (used in) investments		27,299			(97,723	)		(538,881	)
Cash flow from financing activities:
Capital contributions		—			75,000			92,000
Net deposits on deposit-type funds and other liabilities		(114	)		(11,832	)		(1,462	)
Other cash provided (applied)		10,520			3,341			(6,050	)
Net cash provided by financing and miscellaneous sources		10,406			66,509			84,488
Net change in cash, cash equivalents and short-term investments		(40,501	)		2,824			28,218
Cash, cash equivalents and short-term investments:
Beginning of year		106,139			103,315			75,097
End of year	$	65,638		$	106,139		$	103,315

The accompanying notes are an integral part of these statutory financial statements.

8

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

1. The Company and Nature of Operations

Organization and Description of Business

Zurich American Life Insurance Company (“ZALICO” or the “Company”) is a stock life insurance company founded in 1947. The Company is incorporated under the insurance laws of the state of Illinois and is licensed in the District of Columbia and all states, except New York.

The Company is a wholly owned subsidiary of Zurich American Company, LLC (“ZAC”), a non-operating holding company incorporated under the laws of the state of Delaware. ZAC is a wholly owned subsidiary of Zurich Holding Company of America, Inc., (“ZHCA”) a Delaware Corporation, which in turn is a wholly owned subsidiary of Zurich Insurance Group Ltd. (“ZIG”), a financial services company domiciled in Switzerland.

Effective September 3, 2003, ZALICO transferred certain of its business, as well as the capital stock of its wholly owned subsidiaries, to a former affiliate, Federal Kemper Life Assurance Company (“FKLA”). In a contemporaneous transaction, FKLA and ZALICO entered into a coinsurance agreement under which FKLA administers the business and the records of, and 100% reinsures, certain lines of business issued by ZALICO, including certain registered variable annuity contracts that are funded through the Company’s Separate Account. These transfers were part of a larger transaction under which the capital stock of FKLA was sold to Bank One Insurance Holdings, Inc. (“Bank One”). On July 1, 2004, Bank One merged into JP Morgan Chase & Co., and FKLA changed its name to Chase Insurance Life and Annuity Company (“Chase Insurance”).

On July 3, 2006, Protective Life Insurance Company of Birmingham, Alabama (“Protective Life”), purchased Chase Insurance. Effective April 1, 2007, Chase Insurance merged with and into Protective Life.

In addition to the above transactions, the Company has entered into various affiliated and unaffiliated reinsurance agreements in order to execute strategic transactions and manage various risks to control its net exposures, and limit the volatility of losses, in an effort to protect capital and surplus. These reinsurance transactions have been disclosed in various sections of the following notes to the statutory financial statements.

The Company markets a variety of life insurance products primarily through independent insurance agents and brokers. The Company’s products include fixed universal life, indexed universal life, level term, guaranteed death benefit, life portability and conversion. The Company also offers a series of private placement products including variable annuity, individual variable universal life and variable life.

Additionally, the Company marketed group term life products, accidental death & dismemberment, group long term disability and short-term disability insurance. These products were primarily sold through the Corporate Life and Pension (“CLP”) business, which was sold to American Family Life Insurance Company of Columbus (“Aflac”). See ‘Discontinued Operations’ below for additional information.

The Company had also previously marketed registered individual and group variable, fixed and market value adjusted deferred annuity products (“DESTINATIONS Products”), as well as non-registered group variable universal life (“PPVUL”) and business owned life insurance (“BOLI”).

9

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

Non-Registered Group Life Insurance

The Company marketed PPVUL and BOLI from 1997 to 2003. PPVUL and BOLI are a form of group life insurance, which enables clients to buy variable life insurance on key employees. The policies remain in force until the last insured dies or the policy is surrendered or exchanged. The policyholder has flexibility regarding premiums and the right to allocate premiums to various divisions with differing investment objectives. The policyholders may also borrow from the investment value of the policies, surrender the policies for their cash surrender values or, in some cases, make partial withdrawals from the cash surrender values. Death benefits on the life of any insured are at least equal to the face amount on the individual insured provided the cash value relating to the insured is greater than zero.

The Company records as fees cost of insurance charges taken from the separate accounts, which is recorded as separate account fees. Cost of insurance charges ceded to reinsurers are recorded as a reduction of premiums. The BOLI policies are experience rated contracts with profitability based in part on the policyholder’s mortality experience. Separate account fees collected which are expected to be returned to policyholders due to favorable mortality experience are recorded as a liability in the provision for experience rating refunds. Cost of insurance charges collected in excess of amounts needed to pay death benefits, and to establish mortality reserves, are returned to the policyholder as an experience rating refund expense.

Prior to January 1, 2019, Zurich Insurance Company’s Bermuda Branch (“ZIBB”), a branch of Zurich Insurance Company Ltd. (“ZIC”), a wholly owned subsidiary of ZIG, reinsured 98% of the mortality risk and 98% of the net amount at risk of the BOLI policies. On January 1, 2019, the reinsurance treaty with ZIBB was terminated. Under a new arrangement with ZIBB, ZALICO assumed back the responsibility to pay all death benefit payments for certain of the Company’s group variable life insurance contracts.

ZIBB offered a stable value protection (“SVP”) option in conjunction with the BOLI policies. The SVP option allows purchasers of the option to make investments into SVP divisions of the Company’s separate accounts. These SVP divisions purchase value protection from a stable value provider which offers smooth or stabilized investment returns over a specified period of time. ZIBB continues to provide the SVP option to the policyholder and net amount at risk protection to the Company.

Separate Accounts

The Company maintains separate account assets and liabilities, which are reported at fair value. Separate accounts reflect two categories of risk assumption: non-guaranteed separate accounts, wherein the contract holder assumes the investment risk, and guaranteed separate accounts, wherein the Company contractually guarantees either a minimum return or account value to the contract holder. Non-guaranteed separate account assets are segregated from other investments. Investment income and gains and losses are credited to or charged against the non-guaranteed accounts without regard to other income, gains or losses of the Company. Mortality, policy administration and surrender charges to all accounts are included in the revenues of the Company. Changes in liabilities for minimum guarantees are included in the life and annuity reserves line item in the financial statements.

BFP Securities LLC

BFP Securities LLC (“BFPS”) and Investment Distributors, Inc. (“IDI”), affiliates of Protective Life, are the principal underwriters for ZALICO’s variable separate accounts. BFPS is also the primary wholesaling distributor of ZALICO’s BOLI and mortality-based funding products. BFPS is a wholly owned subsidiary of Benefit Finance Partners, LLC (“BFP”). BFP is 50% owned by Bancorp Services, L.L.C. (“Bancorp”), an unaffiliated party, and 50% owned by Zurich Benefit Finance LLC (“ZBF”), an affiliate of ZALICO.

10

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

Discontinued Operations

On March 19, 2020, an agreement was executed between ZALICO and the Company’s wholly owned subsidiary, Zurich American Life Insurance Company of New York (“ZALICONY”) (ZALICO and ZALICONY, collectively the “Companies”), ZHCA, ZIC, Aflac and American Family Life Assurance of New York (“Aflac NY”) to sell the Companies’ CLP business. The transaction closed on November 2, 2020. Part of the transaction required the recapture of CLP net liabilities previously ceded to ZIC as of the closing date, and, subsequently, the Companies ceded 100% of the in-force net CLP liabilities to Aflac and Aflac NY through reinsurance agreements dated as of November 2, 2020.

In addition, the Companies and Aflac entered into an agreement with Benefit Harbor LP to transfer the assets and employees of Benefit Harbor Insurance Services, LLC, the third-party administrator for the Companies CLP business. The Companies, Aflac and Aflac NY also entered into Administrative Services Agreements where the Companies will front CLP business directly written by the Companies to Aflac and Aflac NY in exchange for a fronting fee to be determined as a percentage of premiums written and fees collected until Aflac and Aflac NY obtain the proper licensing to write the business directly.

There were no assets for the CLP business on ZALICO’s balance sheet and, as a result, held-for-sale classification was not required. ZALICO recorded a pre-tax gain of $22.0 million in 2020 related to the discontinued operations sold to Aflac, equal to the fair value of consideration received less the costs to sell.

2. Summary of Significant Accounting Policies

Basis of Presentation

The financial statements and supplemental schedules have been prepared in conformity with accounting practices prescribed or permitted by the Illinois Department of Financial and Professional Regulation (“Illinois Department of Insurance”).

The Illinois Department of Insurance recognizes only Statements of Statutory Accounting Principles (“SSAP” or “statutory basis of accounting”) prescribed or permitted by the State of Illinois for determining and reporting the financial condition and results of operations of an insurance company, and for determining its solvency under the Illinois Insurance Law. The National Association of Insurance Commissioners’ (“NAIC”) Accounting Practices and Procedures Manual version effective January 1, 2001 (“the Manual”) has been adopted as a component of prescribed or permitted practices by the State of Illinois.

The statutory basis of accounting differs from accounting principles generally accepted in the United States of America (“US GAAP”) in certain respects, which in some cases may be material. The most significant of these differences are as follows:

• Cash and cash equivalents consist of cash on hand, deposits in banks and other investments, with an original maturity of 90 days or less. Cash and cash equivalents are carried at cost, which approximates fair value as required by the NAIC. Investments in money market mutual funds are carried at fair value or net asset value (“NAV”). Under US GAAP, cash and cash equivalents are carried at fair value and have a maturity of 12 months or less;

• Fixed maturities are carried at cost, adjusted for amortization of premium or discount. Fixed maturities with NAIC designations of 6 are reported at the lower of amortized cost or fair value. All other fixed maturities are reflected at amortized cost. Discount or premium on fixed maturities is amortized using the interest method on a prospective basis. A yield to worst amortization method is used to take into consideration any fixed maturity call or sinking fund feature. Under US GAAP, fixed maturities are reported at fair value or amortized cost based upon management’s intent as to whether

11

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

fixed maturities are available for sale or will be held until maturity. Differences between cost and admitted asset investment carrying amounts are credited and charged directly to unassigned surplus rather than to a separate component of stockholder’s equity and other comprehensive income;

• Included within the fixed maturities, loan-backed securities are amortized using the interest method including anticipated prepayments at the date of purchase. Prepayment assumptions for single class and multi-class mortgage-backed/asset-backed securities were obtained from the respective asset managers and the prepayment windows and/or cash flows were obtained from Bloomberg. The Company has elected to use the book value as of January 1,1994 as the cost for applying the prospective adjustment method to securities purchased prior to that date. Loan-backed securities with evidence of deterioration of credit quality for which it is probable that the Company will be unable to collect all contractually required payments receivable are written down to the present value of expected cash flows to be received. Under US GAAP, fixed maturities are reported at fair value or amortized cost based upon management’s intent as to whether fixed maturities are available for sale or will be held until maturity;

• Investments in United States (“US”) insurance company common stocks are not consolidated as required by US GAAP, and are carried at the underlying audited statutory equity of the insurance company, with equity in earnings being recorded directly to unassigned surplus as net unrealized gains or losses rather than recorded through the statements of operations;

• The asset valuation reserve (“AVR”) is determined by NAIC prescribed formulas, which establish a provision for the risk of asset defaults and is reported as a liability with changes recorded directly to unassigned surplus. Under US GAAP, no such liability is established;

• An interest maintenance reserve (“IMR”) is required under SSAP in order to defer certain realized investment gains and losses, net of tax, related to interest rate fluctuations, and to amortize such gains and losses through operating income over the remaining life of the securities sold. Any net unamortized deferred losses are nonadmitted and charged directly to unassigned surplus. No such reserve is required by US GAAP;

• Life and annuity reserves under statutory accounting practices are based on statutory mortality, morbidity and interest requirements without consideration of withdrawals and Company experience. Under the statutory basis of accounting, the NAIC Reserve Valuation Method is used for the majority of individual insurance reserves; under US GAAP, individual insurance policyholder liabilities for traditional forms for insurance are generally established using the net premium method. For interest-sensitive policies, a liability for policyholder account balances is established under GAAP based on the contract value that has accrued to the benefit of the policyholder. Policy valuation assumptions used in the estimation of policyholder liabilities are generally prescribed under SSAP; under US GAAP, policy valuation assumptions are based upon best estimates as of the date the policy is issued, with provisions for the risk of adverse deviation;

• Certain contracts, in particular deferred annuities with mortality risk, are considered “life contracts” under SSAP and, accordingly, premiums associated with these contracts are reported as revenues. Under US GAAP, the Company’s deferred annuities are classified as either “insurance contracts” or “investment contracts” and, accordingly, for those annuities, premiums are not reported as revenues. Amounts received for investment contracts are also not reported as policy liabilities and insurance reserves under US GAAP;

• Under SSAP, the Commissioner’s Annuity Reserve Valuation Method (“CARVM”) is used for the majority of individual deferred annuity reserves; under US GAAP, individual deferred annuity policyholder liabilities are generally equal to the contract value that has accrued to the benefit of the policyholder, in addition to liabilities for certain guarantees under variable annuity contracts;

12

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

• Under statutory accounting practices, costs of acquiring new business are charged to operations in the year such costs are incurred. Under US GAAP, such costs are deferred and amortized over the premium-paying period of the policies for traditional products, or as a level percentage of gross profits for interest sensitive products;

• Under statutory accounting practices, premiums are recognized as revenues when due. For US GAAP purposes, premiums for traditional life insurance products, which include those products with fixed and guaranteed premiums and benefits and consist principally of whole and term life insurance policies, are recognized as revenues when due. Revenues for universal life insurance policies and for investment products consist of policy charges for the cost of insurance, interest earned, policy administration charges and surrender charges assessed against policyholder account balances during the year. Expenses related to these products include interest credited to policy account balances, benefit claims incurred in excess of policy account balances and commissions and expense allowances on reinsurance assumed. Revenues also include commissions and expense allowances on reinsurance ceded and reserve adjustments on reinsurance ceded. Under the statutory basis of accounting, deferred premiums, representing gross premiums less loading, are reported as an admitted asset. Under US GAAP, uncollected premiums are stated at gross amounts and deferred premiums are reflected as a reduction of the related aggregate reserve. Contracts that contain an embedded derivative are not bifurcated between components and are accounted for as part of the host contract, whereas under US GAAP, the embedded derivative would be bifurcated from the host contract and accounted for separately;

• Assets and liabilities are reported gross of reinsurance under US GAAP and net of reinsurance under the statutory basis of accounting. Certain reinsurance transactions are accounted for as financing transactions under US GAAP and as reinsurance for SSAP. Transactions recorded as financing have no impact on premiums or losses incurred, while under the statutory basis of accounting, premiums paid to the reinsurer are recorded as ceded premiums (a reduction in revenue) and expected reimbursement for losses from the reinsurer are recorded as a reduction in losses. Reserves and reinsurance recoverables on unpaid claims on reinsured business are netted with aggregate reserves and the liability for life policy claims, respectively. Under US GAAP, these reinsured amounts are reflected as an asset;

• Deferred income taxes are provided for temporary differences between the financial statement and tax bases of assets and liabilities at the end of each year based on enacted tax rates. Deferred income tax assets are reduced by a valuation allowance if it is more likely than not that some portion or all of the deferred tax assets will not be realized. Net deferred tax assets are limited to their admissible amount according to a prescribed formula. Changes in deferred income tax assets and liabilities are reported as adjustments to surplus. Comprehensive income is not determined for statutory reporting purposes. Under US GAAP, changes in deferred income taxes are included in income tax expense or benefit and are allocated to continuing operations, discontinued operations, extraordinary items and items charged directly to shareholders’ equity. There are no admissibility considerations under US GAAP;

• Certain assets are considered nonadmitted assets for statutory purposes and any changes in such assets are credited or charged directly to unassigned surplus. There are no nonadmitted assets for US GAAP purposes; and

• The statutory statement of cash flows is presented as required and differs from US GAAP presentation. The Company defines cash as cash in banks and money market accounts and considers all highly liquid investments, with maturity of one year or less when purchased, to be short-term investments.

13

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

Investments

Investments are valued as prescribed by the NAIC and as required by the Illinois Department of Insurance. All security transactions are recorded on a trade date basis.

The Company’s investment in the common stock of its wholly owned insurance subsidiary is accounted and reported under the equity method as described in SSAP No. 97, “Investments in Subsidiary, Controlled and Affiliated Entities,” and valued in accordance with section 3(ii) (D) of the NAIC Valuations Securities manual and reported based on the audited statutory capital and surplus of the subsidiary. Changes in the carrying value of such investments are reflected as unrealized gains or losses in capital and surplus.

The Company records short-term investments at cost or amortized cost.

Contract loans are carried at the aggregate of the unpaid balance provided the unpaid balance does not exceed either cash surrender value of the policy or the policy reserves. The excess of the unpaid loan balance over the cash surrender value is nonadmitted and reflected as an unrealized capital loss.

Upon default or indication of potential default by an issuer of fixed maturity securities, other than mortgage-backed securities, the issue(s) of such issuer would be analyzed for possible write-down. Any such issue would be written down to its net realizable value (or “fair value”) during the fiscal year in which the impairment was determined to have become other than temporary. Thereafter, each issue is regularly reviewed, and additional write-downs may be taken in light of later developments. Write-downs are included as part of net realized capital gains and losses. All loan-backed and structured securities were reviewed to determine if there were any indications of potential for other than temporary impairment classification (“OTTI”). Where such an indication existed, cash flow and credit support analyses were performed. If it was determined that the Company was to receive less than 100% of contractual cash flows, the OTTI impact was measured and recorded in accordance with SSAP 43R, “Loan-Backed and Structured Securities.”

In determining fair market value, for the majority of securities, quotes were obtained from third party sources. If quotes from these sources were not available, a broker estimate was used.

Investment income is recorded when earned. All investment income due and accrued amounts that are over 90 days past due, are excluded from surplus. The Company had $1,134 in investment income due and accrued that was over 90 days past due at December 31, 2021. The Company had no investment income due and accrued that was over 90 days past due at December 31, 2020.

Realized gains or losses on sales of investments, determined on the basis of identifiable cost on the disposition of the respective investment, which are not transferred to the IMR and write-downs are credited or charged to income or loss, net of applicable federal income tax. Unrealized gains and losses are credited or charged to surplus, net of deferred tax.

Life and Annuity Reserves

Liabilities for policy reserves on annuity contracts are calculated based on CARVM. Interest crediting rates under the contracts’ accumulation periods range from 0% to 7%. Guarantee periods range from one to ten years with minimum interest rate guarantees ranging from 0% to 5%.

Liabilities for life policy reserves and interest-sensitive life insurance contracts are based on statutory mortality and interest requirements without consideration of withdrawals. Liabilities for the majority of these contracts are calculated based on the 1980 Commissioner’s Standard Ordinary (“CSO”) table assuming interest rates ranging from 0% to 6%.

14

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

The Company waives deduction of deferred fractional premiums upon death of the insured and returns the portion of the final premium paid beyond the policy month of death. Surrender values promised in excess of the legally computed reserves, if any, would be included as a component of reserves.

Extra premiums are charged for policies issued on substandard lives according to underwriting classifications. Final reserves are determined by computing the mid-terminal reserve for the plan and holding an additional one half of the net valuation premium for the modal period.

Use of Estimates

The preparation of financial statements in conformity with accounting practices prescribed or permitted by the Illinois Department of Insurance requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

The Company has not been materially impacted by the pandemic, but there are still potential risks related to COVID-19 and several emerging economic trends that the Company is monitoring.

Guaranty Fund Assessments

The Company is liable for guaranty fund assessments (“GFA”) related to certain unaffiliated life insurance companies that have become insolvent during the years 2021 and prior. The Company’s financial statements include provisions for all known assessments that are expected to be levied against the Company as well as an estimate of amounts (net of expected future premium tax recoveries) that the Company believes will be assessed in the future. According to SSAP No. 35R, “Guaranty Fund and Other Assessments,” such liabilities and estimated premium tax credits, as well as the estimated GFA recoverable for the ceded portion of the future liabilities, are presented separately in the balance sheet. The majority of the GFA liability is ceded to Protective Life.

The Company’s guaranty fund liability is $10,298,000 at both December 31, 2021 and 2020. Amounts recoverable from reinsurers related to GFA liabilities are $9,545,000 and $9,589,000 at December 31, 2021 and 2020, respectively. The amount and period over which the GFA liabilities are expected to be paid varies by insolvency. Future premium tax recoveries total $36,000 and $35,000 at December 31, 2021 and 2020, respectively. Premium tax recoveries vary by state and generally range between five to twenty years.

Separate Accounts

The assets of the separate accounts represent segregated funds administered and invested by the Company for purposes of funding variable annuity and variable life insurance contracts for the exclusive benefit of variable annuity and variable life insurance contract holders. The Company receives administrative fees from the separate accounts and retains varying amounts of withdrawal charges to cover expenses in the event of early withdrawals by contract holders.

The assets and liabilities of the separate accounts are carried at the fair value of the underlying contracts. The difference between the fair values of the contracts, and their termination value, is recorded as a negative liability for transfers to separate accounts due or accrued. Changes in termination value of the contracts are recognized through the Company’s net loss from operations as a component of net transfers to (from) the separate accounts rather than directly to surplus. The assets are invested primarily in a series of mutual funds managed by other unaffiliated mutual fund managers.

15

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

Reinsurance

In the ordinary course of business, the Company enters into reinsurance agreements to diversify risk and limit its overall financial exposure to certain blocks of annuities and to individual death claims and other claims. Although these reinsurance agreements contractually obligate the reinsurers to reimburse the Company, they do not discharge the Company from its primary liabilities and obligations to policyholders. An additional protection is the existence of a security trust. Several of the Company’s reinsurance contracts require that the reinsurer fund a trust and/or letters of credit, with the fair value of the assets at least equal to the book value of the statutory liabilities reinsured.

Federal Income Taxes

The Company has applied SSAP No. 101, “Income Taxes.” Income tax incurred is recognized by applying the enacted income tax law. Deferred income taxes are provided for temporary differences between the financial statement and tax bases of assets and liabilities at the end of each year based on enacted tax rates. Changes in admitted deferred tax assets (“DTA”) and liabilities (“DTL”) are recognized as adjustments to surplus. DTAs are first subjected to a valuation allowance assessment.

Net DTAs remaining after the valuation allowance assessment are considered admitted assets based upon specific criteria, which consider the reversal pattern of DTAs and surplus. The reversal pattern and surplus limitation parameters in the admission tests are determined based on the risk-based capital levels.

The Company records interest and penalties related to income tax contingencies as a component of income tax expense.

Nonadmitted Assets

Certain assets, designated as “nonadmitted assets,” such as investment income due and accrued exceeding 90 days, deferred income tax in excess of permitted amounts, EDP, equipment, etc., have been excluded from the statutory statements of admitted assets, liabilities and capital and surplus through a direct charge against unassigned surplus.

3. Investments

The components of investment income by type of investment for the years ended December 31, 2021, 2020 and 2019 are as follows:

(in thousands of dollars)	2021			2020			2019
Fixed maturities	$	22,836		$	26,345		$	28,179
Contract loans		4,754			6,325			3,829
Cash, cash equivalents and short-term investments		39			427			1,719
Other		102			—			1
Gross investment income		27,731			33,097			33,728
Less: Investment expenses		(2,541	)		(2,666	)		(1,424	)
Net investment income	$	25,190		$	30,431		$	32,304

16

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

Investment expenses included the following fees paid to the Company’s various affiliated and non-affiliated investment managers:

(in thousands of dollars)	2021		2020		2019
Fees paid to investment managers:
Affiliated investment managers:
Zurich Investment Services Limited	$	228	$	304	$	362
Zurich Global Investment Management		886		892		825
Farmers Group Inc.		115		131		125
Non-affiliated investment managers:
Prudential Private Placement Investors L.P.		200		201		213
DWS Investment Management Americas, Inc.		236		267		227
Pinebridge		199		229		176
Goldman Sachs		382		289		94
Custody fees		288		346		(603	)
Other investment expenses		7		7		5
Total investment expenses	$	2,541	$	2,666	$	1,424

Realized Gains and Losses

Realized gains and losses on sales, redemptions and impairments of investments are determined based on the actual cost of the securities based on specific identification.

Realized investment gains and losses for the years ended December 31, 2021, 2020 and 2019 are as follows:

(in thousands of dollars)	2021			2020			2019
Fixed maturities	$	2,263		$	12,496		$	4,340
Cash, cash equivalents, and short term		(4	)		117			8
		2,259			12,613			4,348
Less: Capital gains tax expense		(800	)		(2,776	)		(1,223	)
		1,459			9,837			3,125
Less: IMR transfers net of tax		(1,788	)		(9,872	)		(3,422	)
Total realized capital losses after taxes	$	(329	)	$	(35	)	$	(297	)

17

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

Unrealized Gains and Losses on Fixed Maturities

Amortized cost, gross unrealized gains, gross unrealized losses, and estimated fair value of fixed maturities, as of December 31, 2021 and 2020 are as follows:

(in thousands of dollars)	2021
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
Fixed maturities
U.S. government	$	358,221	$	3,321	$	(2,954	)	$	358,588
Other governments		10,933		101		(101	)		10,933
Political subdivisions		4,266		1,210		(5	)		5,471
Special revenues		75,805		5,228		(593	)		80,440
Industrial and miscellaneous (unaffiliated)		528,944		35,970		(1,874	)		563,040
Total fixed maturities	$	978,169	$	45,830	$	(5,527	)	$	1,018,472
(in thousands of dollars)	2020
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
Fixed maturities
U.S. government	$	344,033	$	8,539	$	(245	)	$	352,327
Other governments		18,882		361		—			19,243
Political subdivisions		4,351		1,586		—			5,937
Special revenues		97,351		7,313		(66	)		104,598
Industrial and miscellaneous (unaffiliated)		544,518		59,253		(101	)		603,670
Hybrid securities		293		—		(13	)		280
Total fixed maturities	$	1,009,428	$	77,052	$	(425	)	$	1,086,055

18

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

Unrealized Losses on Fixed Maturities

Fair value and gross unrealized losses of fixed maturities as of December 31, 2021 and 2020 for securities that were in an unrealized loss position were as follows:

(in thousands of dollars)	2021
	Unrealized Losses Less Than 12 Months					Unrealized Losses Greater Than 12 Months
	Gross Estimated Fair Value		Gross Unrealized Losses			Gross Estimated Fair Value		Estimated Unrealized Losses
Fixed maturities
U.S. government	$	209,937	$	(1,342	)	$	40,695	$	(1,612	)
Other governments		6,244		(101	)		—		—
U.S. political subdivisions bonds		300		(5	)		—		—
U.S. special revenues bonds		4,372		(21	)		3,759		(103	)
Industrial and miscellaneous		77,963		(1,161	)		11,463		(450	)
Loan-backed securities		51,637		(588	)		9,364		(144	)
Total fixed maturities	$	350,453	$	(3,218	)	$	65,281	$	(2,309	)
(in thousands of dollars)	2020
	Unrealized Losses Less Than 12 Months					Unrealized Losses Greater Than 12 Months
	Gross Estimated Fair Value		Gross Unrealized Losses			Gross Estimated Fair Value		Estimated Unrealized Losses
Fixed maturities
U.S. government	$	47,692	$	(245	)	$	—	$	—
Industrial and miscellaneous (unaffiliated)		7,038		(49	)		—		—
Hybrid securities		280		(13	)		—		—
Loan-backed securities		11,862		(63	)		8,646		(55	)
Total fixed maturities	$	66,872	$	(370	)	$	8,646	$	(55	)

As of December 31, 2021 and 2020, fixed maturities represented 100% of the Company’s total unrealized loss amount for both years and totaled 357 and 82 securities, respectively.

As of December 31, 2021 and 2020, fixed maturities in an unrealized loss position for less than 12 months were comprised of 303 and 57 securities, respectively. All of these securities were comprised of securities with fair value to amortized cost ratios at or greater than 95%. The majority of these securities are investment grade fixed maturities and the decline in fair value is attributed to changes in interest rates and not credit quality. As the Company has the ability and intent to hold these investments until a recovery of fair value which may be at maturity, the Company does not consider these investments to be other-than temporarily-impaired at December 31, 2021 or 2020.

Fixed maturities in an unrealized loss position for greater than 12 months as of December 31, 2021 and 2020 were comprised of 54 and 25 securities, respectively. Other than the recognized OTTI on loan-backed securities in 2020, discussed below, the Company did not recognize OTTI on fixed maturities investments in 2021.

19

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

Loan-Backed Securities

Loan-backed securities with evidence of deterioration of credit quality, for which it is probable that the Company will be unable to collect all contractually required payments receivable, are written down to the present value of expected cash flows to be received. In determining the impairments for loan-backed securities, a review of default rate, credit support and other key assumptions is made on the security level.

As of December 31, 2021, there were no impaired loan-backed securities. Loan-backed securities impaired as their carrying value was less than the present value of their projected cash flows that were held as of December 31, 2020 were as follows:

	2020
CUSIP Identification	Book/Adjusted Carrying Value Amortized Cost Before Current Period OTTI		Present Value of Projected Cash Flows		Recognized Other-Than- Temporary Impairment			Amortized Cost After OTTI		Fair Value at Time of OTTI		Date of Financial Statement Where Reported
36228FEC6	$	135,734	$	134,492	$	(1,242	)	$	134,492	$	154,137		9/30/20
22540VG71		53,278		52,040		(1,238	)		52,040		65,101		9/30/20
Total	$	189,012	$	186,532	$	(2,480	)	$	186,532	$	219,238

Concentrations of Credit Risk

The Company is not exposed to any significant concentration of credit risk of a single or group non-governmental issuer. Concentration of credit risk could exist when changes in economic, industry or geographic factors similarly affect groups of counter-parties whose aggregate credit exposure is material in relation to the Company’s total exposure.

Maturities of Fixed Maturities

The amortized cost and estimated fair value of fixed maturities, by contractual maturity, at December 31, 2021 and 2020 are shown below. Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties and because mortgage-backed securities provide for periodic payments throughout their life. As the stated maturities of such securities may not be indicative of actual maturities, the totals for mortgage-backed securities are shown separately.

(in thousands of dollars)	2021				2020
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Due in 1 year or less	$	66,169	$	66,514	$	70,128	$	70,732
Due after 1 year through 5 years		407,220		411,590		380,284		393,198
Due after 5 years through 10 years		228,161		233,418		265,797		285,242
Due after 10 years		110,611		138,132		122,333		158,465
		812,161		849,654		838,542		907,637
Mortgage-backed securities		166,008		168,818		170,886		178,418
	$	978,169	$	1,018,472	$	1,009,428	$	1,086,055

20

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

Proceeds from sold, matured or repaid fixed maturities and gross realized gains and losses for the years ended December 31, 2021, 2020 and 2019 are as follows:

(in thousands of dollars)	Gross Gains		Gross Losses			Proceeds
2021
Long term fixed maturities	$	4,371	$	(2,142	)	$	377,319
Short term fixed maturities		1		—			9,292
2020
Long term fixed maturities	$	12,952	$	(502	)	$	521,628
Short term fixed maturities		1		—			12,094
2019
Long term fixed maturities	$	4,600	$	(272	)	$	288,404
Short term fixed maturities		4		—			11,017

Restricted Assets

As of December 31, 2021 and 2020, the Company has the following restricted assets held at amortized cost, which were on deposit with various states to satisfy regulatory requirements:

	Gross Restricted																			Percentage
(in thousands of dollars)
	1		2		3		4		5		6		7			8		9		10			11
Restricted Asset Category	Total General Account (G/A)		G/A Supporting Protected Cell Account 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 Current Year Admitted Restricted		Gross Restricted to Total Assets			Admitted Restricted to Total Admitted Assets
	2021
On deposit with states regulatory bodies	$	3,959	$	—	$	—	$	—	$	3,959	$	3,973	$	(14	)	$	—	$	3,959		0.02	%		0.02	%
Total restricted assets	$	3,959	$	—	$	—	$	—	$	3,959	$	3,973	$	(14	)	$	—	$	3,959		0.02	%		0.02	%
	2020
On deposit with states regulatory bodies	$	3,973	$	—	$	—	$	—	$	3,973	$	4,216	$	(243	)	$	—	$	3,973		0.03	%		0.03	%
Total restricted assets	$	3,973	$	—	$	—	$	—	$	3,973	$	4,216	$	(243	)	$	—	$	3,973		0.03	%		0.03	%

The fair value of these securities was $3,950,987 and $3,973,883 as of December 31, 2021 and 2020, respectively.

21

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

4. Fair Value of Financial Instruments

The Company’s financial assets and liabilities carried at fair value have been classified, for disclosure purposes, based on a hierarchy defined by SSAP No. 100R, “Fair Value.” The hierarchy gives the highest ranking to fair values determined using unadjusted quoted prices in active markets for identical assets and liabilities (Level 1) and the lowest ranking to fair values determined using methodologies and models with unobservable inputs (Level 3). An asset’s or liability’s classification is based on the lowest level input that is significant to its measurement. For example, a Level 3 fair value measurement may include inputs that are both observable (Levels 1 and 2) and unobservable (Level 3). The levels of the fair value hierarchy are as follows:

Level 1 Securities valued based on directly observable market prices and are traded in active markets; securities valued on unadjusted quoted prices, if not actively traded. Level 1 securities include money market funds and exchange traded equity and derivative securities.

Level 2 Quoted prices in markets that are not active or significant inputs that are observable either directly or indirectly. Level 2 inputs include the following:

a. Quoted prices for similar assets or liabilities in active markets

b. Quoted prices for identical or similar assets or liabilities in nonactive markets

c. Inputs other than quoted market prices that are observable

d. Inputs that are derived principally from or corroborated by observable market data through correlation or other means

Level 3 Prices or valuation techniques that require inputs that are both unobservable and significant to the overall fair value measurement. These measurements include circumstances in which there is little, if any, market activity for the asset or liability and reflect management’s own judgments about the assumptions a market participant would use in pricing the asset or liability.

At the end of each reporting period, the Company evaluates whether or not an event has occurred that would transfer any of these securities between Level 1 and Level 2. This policy also applies to transfers in and out of Level 3.

22

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

Fair Values of Financial Instruments and its Levels within Fair Value Hierarchy

The following table provides information as of December 31, 2021 and 2020 about the fair values and certain admitted values of the Company’s financial instruments and its levels within the fair value hierarchy:

(in thousands of dollars)	2021
Type of Financial Instrument	Aggregate Fair Value		Admitted Assets		Level 1		Level 2		Level 3		Not Practicable (Carrying Value)
Assets
Fixed maturities	$	1,018,472	$	978,169	$	—	$	1,015,913	$	2,559	$	—
Cash, cash equivalents and short-term investments		65,638		65,638		65,638		—		—		—
Receivable for securities		2		2		2		—		—		—
Contract loans		176,642		176,642		—		—		—		176,642
Accrued investment income		14,671		14,671		14,671		—		—		—
Separate account assets		15,521,673		15,521,673		2,662,302		11,516,480		1,342,891		—
Total assets	$	16,797,098	$	16,756,795	$	2,742,613	$	12,532,393	$	1,345,450	$	176,642
Liabilities
Deposit type contracts	$	4,538	$	4,538	$	—	$	4,538	$	—	$	—
Separate account liabilities		15,521,673		15,521,673		—		15,521,673		—		—
Total liabilities	$	15,526,211	$	15,526,211	$	—	$	15,526,211	$	—	$	—
(in thousands of dollars)	2020
Type of Financial Instrument	Aggregate Fair Value		Admitted Assets		Level 1		Level 2		Level 3		Not Practicable (Carrying Value)
Assets
Fixed maturities	$	1,086,055	$	1,009,428	$	—	$	1,075,121	$	10,934	$	—
Cash, cash equivalents and short-term investments		106,139		106,139		101,854		4,285		—		—
Receivable for securities		678		678		678		—		—		—
Contract loans		183,094		183,094		—		—		—		183,094
Accrued investment income		12,019		12,019		12,019		—		—		—
Separate account assets		14,465,829		14,465,829		2,329,618		11,106,111		1,030,100		—
Total assets	$	15,853,814	$	15,777,187	$	2,444,169	$	12,185,517	$	1,041,034	$	183,094
Liabilities
Deposit type contracts	$	4,653	$	4,653	$	—	$	4,653	$	—	$	—
Separate account liabilities		14,465,829		14,465,829		—		14,465,829		—		—
Total liabilities	$	14,470,482	$	14,470,482	$	—	$	14,470,482	$	—	$	—

23

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

Changes in Level 3 Assets Measured at Fair Value

The following table summarizes the changes in Separate Account assets classified as Level 3 for the years ended December 31, 2021 and 2020. Gains and losses reported in this table may include changes in fair value that are attributable to both observable and unobservable inputs.

(in thousands of dollars)	Separate Account Assets
	Beginning Fair Value		Total Gains/ (Losses) Included in Net Income		Total Gains/ (Losses) Included in Surplus		Purchases		Sales			Transfer in/(out) of Level 3		Ending Fair Value
2021	$	1,030,100	$	113,497	$	6,797	$	243,146	$	(50,649	)	$	—	$	1,342,891
2020	$	807,840	$	82,501	$	8,203	$	206,080	$	(74,524	)	$	—	$	1,030,100

Methods and Assumptions to Estimate Fair Value of Financial Instruments

The following methods and assumptions were used to estimate the fair value of financial instruments as of December 31, 2021 and 2020:

• Fixed maturities—The estimated fair value of fixed maturities is valued in accordance with the NAIC’s Purposes and Procedures Manual of the Securities Valuation Office (“SVO”). In those instances where fair value is not available from the SVO, then fair value is based upon quoted market prices, dealer quotes, and prices obtained from independent pricing services, generally broker dealers. Unless representative trades of securities actually occurred at year end, these quotes are generally estimates of fair value based on an evaluation of appropriate factors such as trading in similar securities, yields, credit quality, coupon rate, maturity, type of issues and other market data.

• Cash, cash equivalents and short-term investments—The carrying amounts of these items approximate fair value.

• Contract loans—The carrying amounts of these items approximate fair market values because interest rates are generally variable and based on current market rates.

• Deposit-type contracts—The estimated fair value is currently equal to book value and is based on the present value of the future payments.

• The separate account assets are carried at fair value based on the reported NAV per share of the respective portfolios at December 31, 2021 and 2020. Accumulation values are computed daily based on the change in fair market value of the NAV of the subaccount less mortality and expense risk charges for the subaccount. The carrying amounts of the separate account liabilities are a reasonable estimate of their fair value.

24

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

5. Income Taxes

Components of DTAs and DTLs at December 31, 2021 and 2020, as well as the related changes, comprise the following components:

(in thousands of dollars)	2021
	Ordinary			Capital		Total
Gross deferred tax assets	$	161,764		$	1,160	$	162,924
Deferred tax assets nonadmitted		154,943			105		155,048
Subtotal net admitted deferred tax asset		6,821			1,055		7,876
Deferred tax liabilities		6,821			—		6,821
Net admitted deferred tax asset	$	—		$	1,055	$	1,055
(in thousands of dollars)	2020
	Ordinary			Capital		Total
Gross deferred tax assets	$	173,273		$	986	$	174,259
Deferred tax assets nonadmitted		166,150			105		166,255
Subtotal net admitted deferred tax asset		7,123			881		8,004
Deferred tax liabilities		6,241			—		6,241
Net admitted deferred tax asset	$	882		$	881	$	1,763
(in thousands of dollars)	Change
	Ordinary			Capital		Total
Gross deferred tax assets	$	(11,509	)	$	174	$	(11,335	)
Deferred tax assets nonadmitted		(11,207	)		—		(11,207	)
Subtotal net admitted deferred tax asset		(302	)		174		(128	)
Deferred tax liabilities		580			—		580
Net admitted deferred tax asset	$	(882	)	$	174	$	(708	)

25

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

The SSAP No. 101 admission calculation components at December 31, 2021 and 2020 are as follows:

(in thousands of dollars)	2021
	Ordinary		Capital		Total
(a) Federal income taxes paid in prior years recoverable through loss carrybacks	$	—	$	1,055	$	1,055
(b) Adjusted gross deferred tax assets expected to be realized after application of the threshold limitation		—		—		—
(b.i) Adjusted gross deferred tax assets expected to be realized following the balance sheet date		—		—		—
(b.ii) Adjusted gross deferred tax assets allowed per limitation threshold		N/A		N/A		24,878
(c) Adjusted gross deferred tax assets offset by gross deferred tax liabilities		6,821		—		6,821
(d) Deferred tax assets admitted as the result of application of SSAP No. 101	$	6,821	$	1,055	$	7,876
Ratio percentage used to determine recovery period and threshold limitation amount						836	%
Amount of adjusted capital and surplus used to determine recovery period and threshold limitation					$	165,853
(in thousands of dollars)	2020
	Ordinary		Capital		Total
(a) Federal income taxes paid in prior years recoverable through loss carrybacks	$	—	$	1,763	$	1,763
(b) Adjusted gross deferred tax assets expected to be realized after application of the threshold limitation		—		—		—
(b.i) Adjusted gross deferred tax assets expected to be realized following the balance sheet date		—		—		—
(b.ii) Adjusted gross deferred tax assets allowed per limitation threshold		N/A		N/A		24,840
(c) Adjusted gross deferred tax assets offset by gross deferred tax liabilities		6,241		—		6,241
(d) Deferred tax assets admitted as the result of application of SSAP No. 101	$	6,241	$	1,763		8,004
Ratio percentage used to determine recovery period and threshold limitation amount						876	%
Amount of adjusted capital and surplus used to determine recovery period and threshold limitation					$	165,601

26

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

(in thousands of dollars)	Change
	Ordinary		Capital			Total
(a) Federal income taxes paid in prior years recoverable through loss carrybacks	$	—	$	(708	)	$	(708	)
(b) Adjusted gross deferred tax assets expected to be realized after application of the threshold limitation		—		—			—
(b.i) Adjusted gross deferred tax assets expected to be realized following the balance sheet date		—		—			—
(b.ii) Adjusted gross deferred tax assets allowed per limitation threshold		N/A		N/A			38
(c) Adjusted gross deferred tax assets offset by gross deferred tax liabilities		580		—			580
(d) Deferred tax assets admitted as the result of application of SSAP No. 101	$	580	$	(708	)	$	(128	)
Ratio percentage used to determine recovery period and threshold limitation amount							-40	%
Amount of adjusted capital and surplus used to determine recovery period and threshold limitation						$	252

The Company does not employ reinsurance related tax planning strategies.

The Company is currently recognizing all deferred tax liabilities.

Current income taxes incurred consist of the following major components for the years ended December 31, 2021 and 2020:

(in thousands of dollars)	2021			2020		Change
Federal	$	(17,754	)	$	60,245	$	(77,999	)
Foreign		—			—		—
Subtotal		(17,754	)		60,245		(77,999	)
Federal income tax on net capital gains (losses)		800			2,776		(1,976	)
Federal and foreign income taxes incurred	$	(16,954	)	$	63,021	$	(79,975	)

27

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

As of December 31, 2021 and 2020, the tax effects of temporary differences that give rise to significant portions of the deferred tax assets and liabilities are as follows:

(in thousands of dollars)	2021			2020			Change
Deferred tax assets
Ordinary:
Unearned premium reserves	$	5		$	29		$	(24	)
Policyholder reserves		87,179			101,667			(14,488	)
Deferred acquisition costs		73,544			69,774			3,770
Nonadmitted assets		172			480			(308	)
Compensation and benefits accrual		253			428			(175	)
Accruals not currently deductible		62			272			(210	)
Other		549			623			(74	)
		161,764			173,273			(11,509	)
Nonadmitted deferred tax assets		(154,943	)		(166,150	)		11,207
Admitted ordinary deferred tax assets		6,821			7,123			(302	)
Capital:
Investments		588			578			10
Other		572			408			164
		1,160			986			174
Nonadmitted deferred tax assets		(105	)		(105	)		—
Admitted capital deferred tax assets		1,055			881			174
Admitted deferred tax assets		7,876			8,004			(128	)
Deferred tax liabilities
Ordinary:
Policyholder reserves		1,613			2,080			(467	)
Fixed assets		1			33			(32	)
Investments		728			746			(18	)
Deferred and uncollected premium		4,479			3,382			1,097
Total deferred tax liabilities		6,821			6,241			580
Net admitted deferred tax assets	$	1,055		$	1,763		$	(708	)

The change in net deferred income taxes, net of any valuation allowance, is composed of the following:

(in thousands of dollars)	2021		2020		Change
Total deferred tax assets	$	162,924	$	174,259	$	(11,335	)
Total deferred tax liabilities		6,821		6,241		580
Net deferred tax asset	$	156,103	$	168,018		(11,915	)
Tax effect of unrealized gains						(6	)
Change in net deferred income tax asset					$	(11,921	)

28

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

The provision for federal income taxes incurred is different from that which would be obtained by applying the statutory federal income tax rate at 21% for 2021, 2020 and 2019 to income before income taxes. The significant items causing this difference are as follows:

(in thousands of dollars)	2021			2020			2019
Pre-tax loss from operations	$	(18,318	)	$	(18,866	)	$	(47,454	)
Pre-tax realized capital gains before transfer to IMR		2,259			2,741			926
Total pre-tax loss	$	(16,059	)	$	(16,125	)	$	(46,528	)
Provision computed at statutory rate	$	(3,372	)	$	(3,386	)	$	(9,771	)
Amortization of interest maintenance reserve		(682	)		1,632			593
Separate accounts dividend received deduction		(639	)		(749	)		(738	)
Ceding commission included in surplus		(85	)		(78	)		(71	)
Nonadmitted assets		313			(89	)		35
Provision to return		(296	)		(22,138	)		(153	)
Internal Revenue Service (“IRS”) audit adjustment		(38	)		—			(46	)
Life loss carryback—CARES Act		—			(9,087	)		(22,035	)
Base erosion and anti-abuse tax		—			—			21,833
Other		(234	)		29			61
Total statutory income taxes	$	(5,033	)	$	(33,866	)	$	(10,292	)
Federal income tax (benefit) expense	$	(17,754	)	$	60,245		$	1,415
Tax on capital gains		800			2,776			1,223
Less: Change in net deferred income tax		11,921			(96,887	)		(12,930	)
Total statutory income taxes	$	(5,033	)	$	(33,866	)	$	(10,292	)

As of December 31, 2021, the Company did not have any operating loss carryforwards.

The Tax Cuts and Jobs Act (“TCJA”) modified the provision on recoupment in the event of net loss. Net losses for life companies are no longer carried back and are carried forward indefinitely without expiration.

There was no aggregate amount of deposits reported as admitted assets under Section 6603 of the IRS code as of December 31, 2021.

29

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

The Company’s federal income tax return is consolidated with the following entities, with ZHCA as the parent:

American Guarantee and Liability Insurance Company	Zurich Alternative Asset Management, LLC
American Zurich Insurance Company	Zurich American Insurance Company
Colonial American Casualty & Surety Company	Zurich American Insurance Company of Illinois
Empire Fire and Marine Insurance Company	Zurich American Life Insurance Company
Empire Indemnity Insurance Company	Zurich American Life Insurance Company of New York
Fidelity & Deposit Company of Maryland	Zurich CZI Management Holding, Ltd.
Hoplite Reinsurance Company of Vermont, Inc.	Zurich E & S Insurance Brokerage, Inc.
Rural Community Insurance Company	Zurich F & I Reinsurance T & C Limited
Steadfast Insurance Company	Zurich Global, Ltd.
Sea Pine Technologies, Inc.	Zurich Global Investment Management Inc.
The Zurich Services Corporation	Zurich Holding Company of America, Inc.
Universal Underwriters Insurance Company	Zurich Latin America Corporation
Universal Underwriters of Texas Insurance Company	Zurich Realty, Inc.
Universal Underwriters Service Corporation	Zurich Warranty Solutions, Inc.
Vehicle Dealer Solutions, Inc.	Zurich Agency Services, Inc.

A written agreement sets out the method of allocating tax between the companies. In general, the allocation is based upon a separate return calculation with an immediate benefit for a taxable loss. Intercompany tax balances are settled within thirty days after the filing of the consolidated federal income tax return, the payment of an estimated payment, an additional assessment of the consolidated tax liability, a refund of the consolidated tax liability or any other reduction to the member’s apportioned tax liability in accordance with the tax sharing agreement.

The Company joins with its U.S. parent, ZHCA and other affiliates, in filing a consolidated U.S. federal income tax return. The statutes of limitations for all tax returns through tax year 2017 are closed, and all IRS examinations are closed through tax year 2017. The IRS examination of tax year 2018 was settled in principle with the IRS field examination team in January 2022, with closure of the exam pending routine review by the Congressional Joint Committee on Taxation. The Company is currently under the IRS Compliance Assurance Process (“CAP”) audit for tax year 2019.

At December 31, 2021, the Company did not have any uncertain tax positions. Based upon existing information, the Company does not anticipate any expected development for uncertain tax positions in the next twelve months.

As of December 31, 2021, the Company has not recognized any amounts for interest or penalties related to uncertain tax positions. However, in the event the Company determines a change in liability is appropriate in the future, interest or penalty related to an uncertain tax position will be recognized as a component of the income tax provision.

The Company does not have any tax loss contingencies for which it is reasonably possible that the total liability will significantly increase within twelve months of the reporting date.

30

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

6. Information Concerning Parent, Subsidiaries and Affiliates

On September 2, 2010, the Company established ZALICONY. The carrying value of ZALICONY as of December 31, 2021 and 2020 is $20,266,915 and $20,177,074, respectively. The Company has entered into a related party services agreement with ZALICONY.

There were no capital contributions made to the Company in 2021.

On August 6, 2020, the Company received a capital contribution of $35,000,000 from ZAC. On September 18, 2020, and December 15, 2020, two additional capital contributions of $20,000,000 each were received from ZAC.

On March 25, 2019 and June 24, 2019, the Company received two capital contributions of $15,000,000 each from ZAC. Additionally, $21,000,000 was received on September 30, 2019 as part of a capital restructuring discussed below and another $41,000,000 was received on December 23, 2019.

ZALICO entered into an agreement dated September 27, 2019 with ZAC pursuant to which ZAC transferred (i) 250,000 common shares of ZALICO and (ii) $21,000,000 to ZALICO in exchange for 250,000 newly issued common shares of ZALICO at the same share price of $10 per share.

At December 31, 2021 and 2020, the Company reported the following amounts due from or to related parties:

(in thousands of dollars)	2021			2020
Zurich American Life Insurance Company of New York	$	77		$	128
Zurich Global Employee Benefits Solutions		270			330
The Zurich Services Corporation		—			1
Receivable from related party	$	347		$	459
Zurich Holding Company of America, Inc.		(6,538	)		(6,454	)
Zurich American Insurance Company		(3,645	)		(3,910	)
Zurich Global Investment Management Inc.		(184	)		(411	)
ZNA Services, LLC		(73	)		(82	)
Centre Group Holdings (U.S.) Limited		(34	)		(34	)
Zurich Services US LLC		(16	)		(29	)
Other related parties		(20	)		—
Zurich Insurance Company HQE		—			(61	)
Payable to related party	$	(10,510	)	$	(10,981	)
Net payable to related party	$	(10,163	)	$	(10,522	)

31

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

For the years 2021, 2020 and 2019, the Company incurred the following amounts of expense in association with services, such as administrative services, advisory services, claim services and risk engineering services, provided by related parties:

(in thousands of dollars)	2021			2020			2019
Zurich American Insurance Company	$	15,497		$	8,998		$	8,891
Zurich Global Investment Management Inc.		885			892			825
Zurich Insurance Group		847			690			851
ZNA Services, LLC		752			1,158			1,310
Zurich Investment Services Ltd		268			327			391
Zurich Services US LLC		183			290			430
Farmers Group, Inc.		114			131			125
The Zurich Services Corporation		—			14			14
Centre Group Holdings (U.S.) Limited		—			—			352
Zurich American Life Insurance Company of New York		(759	)		(708	)		(1,049	)
Zurich Global Employee Benefit Solutions		(1,137	)		(988	)		(1,163	)
Expenses incurred in association with services provided by related parties	$	16,650		$	10,804		$	10,977

Related party receivables and payables are settled as provided in its agreements, generally within 45 days from date of invoice.

The Company has a service agreement, technology support agreement, and license and service agreement with Bancorp and ZBF. Bancorp is responsible for certain administrative functions on certain of the Company’s private placement variable life insurance policies. ZBF is appointed to be the product technology support provider in the administration of certain private placement variable life insurance policies issued by the Company. The Company’s license and service agreement with Bancorp and ZBF governs the terms and conditions under which certain technology may be used in the administration of certain private placement variable life insurance policies issued by the Company that includes illustration software license.

The Company has a principal underwriter agreement and service agreements with BFPS. BFPS is the principal underwriter for a closed block of the Company’s variable, fixed and market value-adjusted annuities. BFPS provides certain services for the distribution of the Company’s private placement variable life insurance and variable annuity policies. BFPS also provides certain services relating to certain employees and independent contractors of the Company becoming and remaining registered representatives of BFPS.

The Company has a Stable Value Protection Option Master Agreement (whereby the Company is acting on behalf of the sub-divisions of the Stable-Value-Protected Divisions of the ZALICO Variable Series I Separate Account) with ZIBB.

The Company has a Real Estate Advisory Agreement with its affiliate Zurich Global Investment Management Inc. (“ZGIM”), under which ZGIM may provide certain services on real estate activities to the Company on an ongoing basis.

The Company has service agreements with its affiliates ZIC, Farmers New World Life (“FNWL”), Zurich American Insurance Company (“ZAIC”), and ZALICONY for each to perform administrative services reasonably necessary in the ordinary course of business.

32

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

The Company has an investment advisory service agreement with its affiliate, Zurich Investment Services Ltd. (“ZIS”) and ZGIM, to perform investment advisory services reasonably necessary in the ordinary course of business.

The Company has a customer service level overview agreement with its affiliate, ZFUS Services, LLC (“ZFUS”), for ZFUS to provide management, administrative and general services.

The Company had a service agreement with its affiliate, Disability Management Services, Inc. (“DMS”), pursuant to which DMS provided the Company certain claim administration and related services. The service agreement was terminated in April 2019.

The Company has a service agreement with its affiliate, Zurich Life Insurance Company Ltd (“ZLIC”), for the Company to provide referral, sales support and other administrative services for ZLIC.

The Company has a service agreement with The Zurich Services Corporation (“ZSC”) pursuant to which the Company receives services from ZSC that may include claim services, risk engineering services, care center services and other services.

The Company has a service agreement with its affiliate, Zurich Services US LLC (“ZSUS”), for ZSUS to provide human resources services, administrative and general services.

The Company has a Multilateral Data Protection Agreement for Data Transfers in Business Systems with ZIG. The agreement governs the handling of personal data sent cross border within the Zurich global organization.

Refer to footnote 8 for the disclosure regarding the Company’s reinsurance activities with affiliates.

7. Life Reserves

Life reserves are based on mortality tables approved by the NAIC using statutory specified interest rates and valuation methods that provide, in aggregate, reserves that are greater than or equal to the minimum required by the Illinois Department of Insurance. The aggregate reserves for life policies and contracts have been computed primarily utilizing the CARVM based on the statutory maximum valuation interest rates and minimum statutory mortality rates which were allowed by state authorities at the time the policies were issued.

Tabular Interest, Tabular less Actual Reserve Released and Tabular Cost have been determined by formulas in accordance with the NAIC Annual Statement Instructions.

For the determination of Tabular Interest on funds not involving life contingencies for each valuation rate of interest, the Tabular Interest is calculated as one hundredth of the product of such valuation rate of interest multiplied by the mean of the amount of funds subject to such valuation rate of interest held at the beginning and end of the year of valuation.

33

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

The reconciliation of total actuarial reserves and other liabilities as of December 31, 2021 and 2020 were as follows:

(in thousands of dollars)	2021		2020
Policy Liabilities in the General Account
Life insurance	$	302,496	$	299,269
Accidental death benefits		1		1
Disability—active lives		88		90
Annuities (excluding supplementary contracts)		99,586		92,584
Supplementary contracts with life contingencies		213,099		212,840
Liability for deposit-type contracts		4,538		4,653
Miscellaneous reserves		983		1,068
Claims and benefits payable to policyholders		77,842		72,017
Total general account		698,633		682,522
Policy Liabilities in the Separate Account
Life insurance		12,432,142		12,118,505
Annuities (excluding supplementary contracts)		3,052,884		2,312,690
Supplementary contracts including life contingencies		2,220		2,353
Liability for deposit-type contracts		236		301
Other liabilities		34,191		31,980
Total separate account		15,521,673		14,465,829
Total policy liabilities	$	16,220,306	$	15,148,351

The Company’s universal life policies with secondary guarantees (“SGUL policies”) in force at December 31, 2021, were calculated under Actuarial Guideline XXXVIII (“AG38”), paragraphs 8D and 8E, which take into account the shadow accounts used for the lapse protection. In addition, a single deterministic projection was run as required in AG38 paragraph 8D, which was required for policies issued through December 31, 2012. This is a gross premium valuation using best estimate assumptions plus conservative margins; the asset assumptions include limitations with respect to the particular assets and asset yields.

The gross premium valuation was used for policies issued prior to December 31, 2012, since it exceeded the formulaic reserve. The Company’s gross reserves for all SGUL policies were $96,703,000 and $86,760,000 as of December 31, 2021 and 2020, respectively. The Company cedes 100% of this business to ZIC.

In June 2016, the NAIC adopted a recommendation to activate a principles-based reserving (“PBR”) approach for life insurance products in order to more accurately reflect the risks or costs of the liability or obligations of the insurer. During 2020, the Company implemented PBR for individual life policies under Section 20 of the Valuation Manual (“VM-20”) with issue dates of January 1, 2020 and later. Due to the Company’s reinsurance agreements currently in place, there was no material impact to the Company.

The Company also implemented PBR for variable annuity contracts and certain other policies and contracts under Section 21 of the Valuation Manual (“VM-21”) for all contracts in force. Due to the Company’s reinsurance agreements currently in place, the Company has only retained $3.9 million of such reserves as of December 31, 2020. The valuation methodology used to value certain variable annuity reserves prior to the adoption of PBR was Actuarial Guideline 43 (“AG-43”). The Company did not elect the 36-month phase-in period option provided in VM-21.

34

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

Analysis of General Account Life Actuarial Reserves by Withdrawal Characteristics

Life actuarial reserves by withdrawal characteristics as of December 31, 2021 and 2020 were as follows:

(in thousands of dollars)

2021

General Account	Account Value		Cash Value		Reserve
A. Subject to discretionary withdrawal, surrender values or policy loans:
1. Term policies with cash value	$	—	$	—	$	—
2. Universal life		301,287		299,825		312,390
3. Universal life with secondary guarantees		32,571		25,336		96,703
4. Indexed universal life		615,894		479,756		606,424
5. Indexed universal life with secondary guarantees		—		—		—
6. Indexed life		—		—		—
7. Other permanent cash value life insurance		28,758		28,758		30,458
8. Variable life		—		—		—
9. Variable universal life		201,095		201,095		204,896
10. Miscellaneous reserves		—		—		10,953
B. Not subject to discretionary withdrawal or no cash values:
1. Term policies with cash value		—		—		80,432
2. Accidental death benefits		—		—		1
3. Disability—active lives		—		—		97
4. Disability—disabled lives		—		—		173
5. Miscellaneous reserves		—		—		10,104
C. Total (gross: direct + assumed)		1,179,605		1,034,770		1,352,631
D. Reinsurance ceded		922,603		777,768		1,049,063
E.  Total (net) * (C)-(D)	$	257,002	$	257,002	$	303,568

35

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

(in thousands of dollars)

2021

Separate Account Nonguaranteed	Account Value		Cash Value		Reserve
A. Subject to discretionary withdrawal, surrender values or policy loans:
1. Term policies with cash value	$	—	$	—	$	—
2. Universal life		—		—		—
3. Universal life with secondary guarantees		—		—		—
4. Indexed universal life		—		—		—
5. Indexed universal life with secondary guarantees		—		—		—
6. Indexed life		—		—		—
7. Other permanent cash value life insurance		—		—		—
8. Variable life		—		—		—
9. Variable universal life		12,432,142		12,432,142		12,432,142
10. Miscellaneous reserves		—		—		—
B. Not subject to discretionary withdrawal or no cash values:
1. Term policies with cash value		—		—		—
2. Accidental death benefits		—		—		—
3. Disability— active lives		—		—		—
4. Disability—disabled lives		—		—		—
5. Miscellaneous reserves		—		—		—
C. Total (gross: direct + assumed)		12,432,142		12,432,142		12,432,142
D. Reinsurance ceded		—		—		—
E.  Total (net) * (C)-(D)	$	12,432,142	$	12,432,142	$	12,432,142

36

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

(in thousands of dollars)

2020

General Account	Account Value		Cash Value		Reserve
A. Subject to discretionary withdrawal, surrender values or policy loans:
1. Term policies with cash value	$	—	$	—	$	—
2. Universal life		312,973		311,561		322,378
3. Universal life with secondary guarantees		33,041		23,756		86,760
4. Indexed universal life		494,770		367,600		493,611
5. Indexed universal life with secondary guarantees		—		—		—
6. Indexed life		—		—		—
7. Other permanent cash value life insurance		28,641		28,641		30,702
8. Variable life		—		—		—
9. Variable universal life		197,064		197,064		200,597
10. Miscellaneous reserves		—		—		5,938
B. Not subject to discretionary withdrawal or no cash values:
1. Term policies with cash value		—		—		76,891
2. Accidental death benefits		—		—		—
3. Disability—active lives		—		—		102
4. Disability—disabled lives		—		—		168
5. Miscellaneous reserves		—		—		11,742
C. Total (gross: direct + assumed)		1,066,489		928,622		1,228,889
D. Reinsurance ceded		815,202		677,335		928,461
E.  Total (net) * (C)-(D)	$	251,287	$	251,287	$	300,428

37

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

(in thousands of dollars)

2020

Separate Account Nonguaranteed	Account Value		Cash Value		Reserve
A. Subject to discretionary withdrawal, surrender values or policy loans:
1. Term policies with cash value	$	—	$	—	$	—
2. Universal life		—		—		—
3. Universal life with secondary guarantees		—		—		—
4. Indexed universal life		—		—		—
5. Indexed universal life with secondary guarantees		—		—		—
6. Indexed life		—		—		—
7. Other permanent cash value life insurance		—		—		—
8. Variable life		—		—		—
9. Variable universal life		12,118,505		12,118,505		12,118,505
10. Miscellaneous reserves		—		—		—
B. Not subject to discretionary withdrawal or no cash values:
1. Term policies with cash value		—		—		—
2. Accidental death benefits		—		—		—
3. Disability—active lives		—		—		—
4. Disability—disabled lives		—		—		—
5. Miscellaneous reserves		—		—		—
C. Total (gross: direct + assumed)		12,118,505		12,118,505		12,118,505
D. Reinsurance ceded		—		—		—
E.  Total (net) * (C)-(D)	$	12,118,505	$	12,118,505	$	12,118,505

The reconciliation of life actuarial reserves by type as of December 31, 2021 and 2020 were as follows:

(in thousands of dollars)	2021		2020
Life Actuarial Reserves
Life insurance	$	302,496	$	299,269
Accidental death benefits		1		1
Disability—active lives		88		90
Miscellaneous reserves		983		1,068
Total life	$	303,568	$	300,428

38

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

Analysis of Annuity Actuarial Reserves and Deposit Liabilities by Withdrawal Characteristics

Annuity actuarial reserves and deposit-type contract funds and other liabilities without life or disability contingencies by withdrawal characteristics as of December 31, 2021 and 2020 were as follows:

(in thousands of dollars)

2021

Individual Annuities	General Account		Separate Account With Guarantees		Separate Account Nonguaranteed		Total		% of Total
A. Subject to discretionary withdrawal:
1. With market value adjustment	$	59,299	$	1,133	$	—	$	60,432		1.55	%
2. At book value less surrender charge of 5% or more		5,448		—		—		5,448		0.14	%
3. At fair value		—		—		1,966,504		1,966,504		50.43	%
4. Total with adjustment or at market value (total of 1 through 3)		64,747		1,133		1,966,504		2,032,384		52.12	%
5. At book value without adjustment (minimal or no charge or adjustment)		1,512,310		—		—		1,512,310		38.78	%
B. Not subject to discretionary withdrawal		352,740		—		2,319		355,059		9.10	%
C. Total (gross: direct + assumed)		1,929,797		1,133		1,968,823		3,899,753		100.00	%
D. Reinsurance ceded		1,701,981		—		—		1,701,981
E.  Total (net) * (C)-(D)	$	227,816	$	1,133	$	1,968,823	$	2,197,772
Annuities (excluding supplementary contracts)	$	14,717	$	1,133	$	1,966,603	$	1,982,453
Supplementary contracts with life contingencies		213,099		—		2,220		215,319
Total (net)	$	227,816	$	1,133	$	1,968,823	$	2,197,772

39

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

(in thousands of dollars)

2021

Group Annuities	General Account		Separate Account With Guarantees		Separate Account Nonguaranteed		Total		% of Total
A. Subject to discretionary withdrawal:
1. With market value adjustment	$	—	$	5,372	$	—	$	5,372		0.37
2. At book value less surrender charge of 5% or more		—		—		—		—		0.00	%
3. At fair value		—		—		1,079,776		1,079,776		74.79
4. Total with adjustment or at market value (total of 1 through 3)		—		5,372		1,079,776		1,085,148		75.17
5. At book value without adjustment (minimal or no charge or adjustment)		—		—		—		—		0.00	%
B. Not subject to discretionary withdrawal		358,518		—		—		358,518		24.83
C. Total (gross: direct + assumed)		358,518		5,372		1,079,776		1,443,666		100.00	%
D. Reinsurance ceded		273,649		—		—		273,649
E.  Total (net) * (C)-(D)	$	84,869	$	5,372	$	1,079,776	$	1,170,017
Annuities (excluding supplementary contracts)	$	84,869	$	5,372	$	1,079,776	$	1,170,017
Supplementary contracts with life contingencies		—		—		—		—
Total (net)	$	84,869	$	5,372	$	1,079,776	$	1,170,017

(in thousands of dollars)

2021

Deposit-Type Contracts	General Account		Separate Account With Guarantees		Separate Account Nonguaranteed		Total		% of Total
A. Subject to discretionary withdrawal:
1. With market value adjustment	$	—	$	—	$	—	$	—		0.00	%
2. At book value less surrender charge of 5% or more		—		—		—		—		0.00	%
3. At fair value		—		—		—		—		0.00	%
4. Total with adjustment or at market value (total of 1 through 3)		—		—		—		—		0.00	%
5. At book value without adjustment (minimal or no charge or adjustment)		—		—		—		—		0.00	%
B. Not subject to discretionary withdrawal		33,548		236		—		33,784		100.00	%
C. Total (gross: direct + assumed)		33,548		236		—		33,784		100.00	%
D. Reinsurance ceded		29,010		—		—		29,010
E.  Total (net) * (C)-(D)	$	4,538	$	236	$	—	$	4,774

40

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

(in thousands of dollars)

2020

Individual Annuities	General Account		Separate Account With Guarantees		Separate Account Nonguaranteed		Total		% of Total
A. Subject to discretionary withdrawal:
1. With market value adjustment	$	63,183	$	7,461	$	—	$	70,644		1.97	%
2. At book value less surrender charge of 5% or more		5,477		—		—		5,477		0.15	%
3. At fair value		—		—		1,608,825		1,608,825		44.90	%
4. Total with adjustment or at market value (total of 1 through 3)		68,660		7,461		1,608,825		1,684,946		47.02	%
5. At book value without adjustment (minimal or no charge or adjustment)		1,515,391		—		—		1,515,391		42.29	%
B. Not subject to discretionary withdrawal		380,619		—		2,353		382,972		10.69	%
C. Total (gross: direct + assumed)		1,964,670		7,461		1,611,178		3,583,309		100.00	%
D. Reinsurance ceded		1,739,702		—		—		1,739,702
E.  Total (net) * (C)-(D)	$	224,968	$	7,461	$	1,611,178	$	1,843,607
Annuities (excluding supplementary contracts)	$	12,128	$	7,461	$	1,608,825	$	1,628,414
Supplementary contracts with life contingencies		212,840		—		2,353		215,193
Total (net)	$	224,968	$	7,461	$	1,611,178	$	1,843,607

41

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

(in thousands of dollars)

2020

Group Annuities	General Account		Separate Account With Guarantees		Separate Account Nonguaranteed		Total		% of Total
A. Subject to discretionary withdrawal:
1. With market value adjustment	$	—	$	—	$	—	$	—		0.00	%
2. At book value less surrender charge of 5% or more		—		—		—		—		0.00	%
3. At fair value		—		—		696,405		696,405		63.82	%
4. Total with adjustment or at market value (total of 1 through 3)		—		—		696,405		696,405		63.82	%
5. At book value without adjustment (minimal or no charge or adjustment)		—		—		—		—		0.00	%
B. Not subject to discretionary withdrawal		394,814		—		—		394,814		36.18	%
C. Total (gross: direct + assumed)		394,814		—		696,405		1,091,219		100.00	%
D. Reinsurance ceded		314,358		—		—		314,358
E.  Total (net) * (C)-(D)	$	80,456	$	—	$	696,405	$	776,861
Annuities (excluding supplementary contracts)	$	80,456	$	—	$	696,405	$	776,861
Supplementary contracts with life contingencies		—		—		—		—
Total (net)	$	80,456	$	—	$	696,405	$	776,861

(in thousands of dollars)

2020

Deposit-Type Contracts	General Account		Separate Account With Guarantees		Separate Account Nonguaranteed		Total		% of Total
A. Subject to discretionary withdrawal:
1. With market value adjustment	$	—	$	—	$	—	$	—		0.00	%
2. At book value less surrender charge of 5% or more		—		—		—		—		0.00	%
3. At fair value		—		—		—		—		0.00	%
4. Total with adjustment or at market value (total of 1 through 3)		—		—		—		—		0.00	%
5. At book value without adjustment (minimal or no charge or adjustment)		—		—		—		—		0.00	%
B. Not subject to discretionary withdrawal		34,914		301		—		35,215		100.00	%
C. Total (gross: direct + assumed)		34,914		301		—		35,215		100.00	%
D. Reinsurance ceded		30,261		—		—		30,261
E.  Total (net) * (C)-(D)	$	4,653	$	301	$	—	$	4,954

42

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

Variable Annuities with Guaranteed Living Benefits

The Company’s variable annuities with guaranteed living benefits for DESTINATIONS products at December 31,2021 and 2020 are as follows:

	Guaranteed Living Benefits
(in thousands of dollars) Benefit and Type of Risk	Subjected Account Value		Amount of Reserve Held - Net		Total Reinsurance Ceded
Guaranteed retirement income benefit (“GRIB”) (Waiting period 7, 10 or 15 years)
December 31, 2021	$	728,543		$3,937		$240,717
December 31, 2020	$	669,529		$3,852		$285,563

The GRIB base is the greatest of account value, greatest anniversary value or net deposits accumulated at 5%. As of December 31, 2021 and 2020, the Company ceded $192,574,000 and $228,451,000 of this business to ZIC, with the remainder ceded to unaffiliated insurance companies.

8. Reinsurance

The Company has assumed and ceded business using yearly renewable term contracts, accidental death and disability contracts and coinsurance contracts to affiliate and third party reinsurers. The Company remains primarily responsible to its policyholders for all future claims and policyholder benefits related to the blocks of business ceded and is not relieved of its obligations to the extent any reinsurer does not meet its obligation to the Company.

Failure of the reinsurers to honor their obligations could result in losses to the Company; consequently, estimates are established for amounts deemed or estimated to be uncollectible. To minimize its exposure to significant losses from reinsurance insolvencies, the Company utilizes several reinsurers to minimize concentration of credit risk and evaluates the financial condition of its reinsurers and concentration of credit risk of its reinsurers. Several reinsurance contracts require the reinsurer to maintain assets in a security trust whose market value matches or exceeds the book value of the reinsured liability.

There was no reinsurance in unauthorized and certified companies in 2021. There was $316,852 and $52,320 of reinsurance in unauthorized and certified companies in 2020 and 2019, respectively.

43

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

The following is a breakdown of direct, assumed and ceded premiums by major affiliated and unaffiliated insurance companies for the years ended December 31, 2021, 2020 and 2019:

(in thousands of dollars)	2021			2020			2019
Direct and assumed premiums:	$	1,247,590		$	952,090		$	960,281
Ceded premiums:
Affiliated insurance companies		(197,956	)		(125,889	)		184,560
Unaffiliated insurance companies		(186,837	)		(212,101	)		(85,059	)
Total premiums ceded		(384,793	)		(337,990	)		99,501
Premiums and annuity considerations	$	862,797		$	614,100		$	1,059,782
Breakdown of ceded premiums:
Affiliated insurance companies:
ZIC:
Recapture of CLP liabilities	$	—		$	95,624		$	—
All other activity		(190,415	)		(213,215	)		(215,986	)
ZIBB:
Termination of reinsurance agreement		—			—			405,847
All other activity		(7,541	)		(8,298	)		(5,301	)
Total affiliated insurance companies	$	(197,956	)	$	(125,889	)	$	184,560
Unaffiliated insurance companies:
Aflac	$	(100,083	)	$	(122,673	)	$	—
Protective Life		(72,003	)		(75,244	)		(73,573	)
All others		(14,751	)		(14,184	)		(11,486	)
Total unaffiliated insurance companies	$	(186,837	)	$	(212,101	)	$	(85,059	)

As of December 31, 2021, 2020 and 2019, amounts assumed from unaffiliated insurance companies for life, annuity and disability products were as follows:

(in thousands of dollars)	2021		2020		2019
Premiums assumed	$	299	$	333	$	149
Benefits assumed		169		164		154
Reserves assumed		2,157		36		36

The Company did not assume any amounts from affiliated insurance companies during 2021, 2020 or 2019.

44

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

As of December 31, 2021, 2020 and 2019, amounts associated with reinsurance reserves ceded to affiliated and unaffiliated insurance companies, including the related collateral held for such reserves for life, annuity and disability products were as follows:

(in thousands of dollars)	2021		2020		2019
Reserves ceded as of December 31,
Affiliated insurance companies	$	1,199,475	$	1,122,344	$	1,092,448
Unaffiliated insurance companies		1,978,166		1,980,578		1,944,229
Total reserves ceded	$	3,177,641	$	3,102,922	$	3,036,677
Breakdown of total reserves ceded by liability type:
Individual annuities	$	1,701,981	$	1,739,702	$	1,762,215
Group annuities		273,649		314,358		332,585
Deposit-type contracts		29,010		30,261		31,586
Life contract actuarial reserves		1,049,064		928,461		852,006
Accident and health		123,937		90,140		58,285
Total reserves ceded	$	3,177,641	$	3,102,922	$	3,036,677
Breakdown of total reserves ceded by key reinsurer:
Affiliated insurance companies:
ZIC:
Variable universal life liabilities	$	676,768	$	561,935	$	469,128
Variable annuity liabilities		227,517		240,719		250,304
GRIB liabilities		192,574		228,451		239,056
SGUL liabilities		96,703		86,760		78,009
CLP liabilities		5,913		4,479		55,951
Total affiliated insurance companies	$	1,199,475	$	1,122,344	$	1,092,448
Unaffiliated insurance companies:
Protective Life	$	1,737,183	$	1,759,852	$	1,801,460
Fidelity Life Association (“FLA”)		72,213		75,386		78,771
Aflac		116,921		84,789		—
All others		51,849		60,551		63,998
Total unaffiliated insurance companies	$	1,978,166	$	1,980,578	$	1,944,229
Collateral held for total reserves ceded:
ZIC Security Trust account	$	1,294,947	$	1,242,134	$	1,183,191
Protective Life Security Trust account		1,710,147		1,811,235		1,717,850
All other third party trust accounts		1,311		1,311		2,549
All other third party letters of credit		8,000		6,500		6,000

ZIC established a Security Trust account for the exclusive benefit of the Company. The Bank of New York is the trustee. The trust account is funded with assets equal to at least 102% of the statutory reserve credit assumed by ZIC. The basis of the valuation of all collateral held is market value.

45

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

The collateral for the GRIB liabilities provided by ZIC, and the related list of assets held for the benefit of ZIC, as of December 31, 2021 and 2020 are as follows:

(in thousands of dollars)	Variable Annuities Reserve		Total Collateral
2021
Bonds	$	192,574	$	1,060,844
Equities		—		33,906
Money market		—		747
Unconditional letters of credit		—		199,450
Total assets - for the benefit of the cedent	$	192,574	$	1,294,947
2020
Bonds	$	228,451	$	1,011,227
Equities		—		24,788
Money market		—		999
Unconditional letters of credit		—		205,120
Total assets - for the benefit of the cedent	$	228,451	$	1,242,134

The face amount of insurance in force associated with reinsurance ceded to affiliated and unaffiliated insurance companies for life insurance in force at December 31, 2021 and 2020 were as follows:

(in thousands of dollars)	2021		2020
Direct and assumed	$	93,023,968	$	90,886,913
Ceded to
Affiliated insurance companies	$	52,482,987	$	52,369,085
Unaffiliated insurance companies		26,913,732		25,108,123
Total ceded	$	79,396,719	$	77,477,208

As of December 31, 2021, 2020 and 2019, amounts associated with reinsurance benefits ceded to affiliated and unaffiliated insurance companies for life, annuity and disability products were as follows:

(in thousands of dollars)	2021		2020		2019
Benefits ceded to affiliated insurance companies	$	67,090	$	70,912	$	65,018
Benefits ceded to unaffiliated insurance companies		352,052		308,504		292,542
Total benefits ceded	$	419,142	$	379,416	$	357,560

ZIC and ZIBB

On November 17, 2006, and as amended on December 22, 2008, the Company entered into a reinsurance agreement with ZIC (“ZIC Agreement”) to reinsure the net amounts at risk for the GRIB options and other related life and annuity reserves related to the Company’s DESTINATIONS product for policies issued from May 1,2000 through February 28, 2003.

46

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

On September 30, 2013, the Company and ZIC entered into a reinsurance treaty in which the Company ceded 100% of its universal life business issued after January 1, 2010. The treaty is retrospective, covering all Independent Financial Advisors (“IFA”) in-force policies from inception.

To facilitate the sale of the CLP business to Aflac, ZALICO recaptured CLP net liabilities previously ceded to ZIC as of November 2, 2020. On a pre-tax basis, ZALICO recorded ceded premiums of $95.6 million (which included $82.2 million of cash transferred from ZIC equal to the net liabilities recaptured), $93.8 million of claims incurred, and other expenses of $1.9 million. In exchange, ZALICO paid ZIC a recapture fee of $88.7 million.

Further, the Company has several reinsurance agreements with ZIC covering the Company’s individual life and group life, accidental death and disability businesses.

The Company entered into a reinsurance treaty with ZIBB in June 2002. Under the terms of the agreement, the Company ceded 98% of the mortality risk and 98% of the net amount at risk of the BOLI policies. On January 1, 2019, the reinsurance treaty with ZIBB was terminated. Under this new arrangement with ZIBB, ZALICO assumed back the responsibility to pay all death benefit payments for certain of the Company’s group variable life insurance contracts. As a result of the termination of the agreement, the Company received premiums of $405.8 million and recorded $91.1 million in death benefits and $314.7 million in expenses related to experience rated refunds during 2019. The Company also received cash and securities in 2019 of $405.8 million and recorded a liability for the provision for experience rated refunds of $405.8 million.

The Company’s affiliated reinsurance transactions with ZIC and ZIBB have all been approved by the Illinois Department of Insurance.

Aflac

On March 19, 2020, an agreement was executed between the Companies, ZHCA, ZIC, Aflac and Aflac NY to sell the Companies’ CLP business. The transaction closed on November 2, 2020. Part of the transaction required the recapture of CLP net liabilities previously ceded to ZIC as of the closing date, as discussed above. Subsequently, the Companies ceded 100% of the in-force net CLP liabilities to Aflac and Aflac NY through reinsurance agreements dated as of November 2,2020.

Protective Life Insurance Company

Effective September 3, 2003, ZALICO transferred certain of its business, as well as the capital stock of its wholly owned subsidiaries, to a former affiliate, FKLA. In a contemporaneous transaction, FKLA and ZALICO entered into a coinsurance agreement under which FKLA administers the business and the records of, and 100% reinsures, certain lines of business issued by ZALICO, including certain registered variable annuity contracts that are funded through the Company’s Separate Account. These transfers were part of a larger transaction under which the capital stock of FKLA was sold to Bank One. On July 1, 2004, Bank One merged into JP Morgan Chase & Co., and FKLA changed its name to Chase Insurance.

On July 3, 2006, Protective Life purchased Chase Insurance. Effective April 1, 2007, Chase Insurance merged with and into Protective Life.

The initial ceding commission on the coinsurance agreement with Protective Life was $120 million. This initial ceding commission was not transferred to the Company from Protective Life, but rather was withheld from the assets transferred from the Company to Protective Life as part of the transferred coinsurance assets. As of December 31, 2021 and 2020, the remaining balance of the initial ceding commission amounted to $4.3 million and $4.7 million, respectively. The remaining balance of the initial ceding commission, net of tax, and the IMR related to the transferred coinsurance assets reflected in surplus, are being amortized into operations. Amortization of the initial ceding commission was

47

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

approximately $406,000, $370,000 and $339,000 for the years ended December 31, 2021, 2020 and 2019, respectively. Amortization of the IMR related to the transferred coinsurance assets was approximately $229,000, $208,000 and $191,000 for the years ended December 31, 2021, 2020 and 2019, respectively.

As part of the coinsurance agreement with Protective Life, most reinsurance agreements with outside reinsurers were novated to Protective Life as part of the Purchase Agreement. As of December 31, 2021, and 2020, the Company’s separate account assets subject to the coinsurance agreement with Protective Life were approximately $1,131,531,000 and $1,054,591,000, respectively.

A Security Trust Account was established for the exclusive benefit of the Company. The Security Trust Account is funded with assets equal to the general account statutory reserves adjusted for policy loans and interest maintenance reserves reinsured by Protective Life, adjusted on a quarterly basis. Protective Life is required to maintain the Security Trust Account until the Company’s general account statutory reserves of the Reinsured Policies are $400,000,000 or less.

Fidelity Life Association

As part of the overall Protective Life transaction, the Company also entered into a reinsurance agreement with Fidelity Life Association (“FLA”) related to certain fixed-rate annuity liabilities. FLA is a mutual insurance company which was an affiliate of FKLA.

9. Capital and Surplus

The amount of dividends that can be paid by the Company to its stockholder without prior approval of the Illinois Department of Insurance is limited to the greater of (i) 10% of its statutory unassigned surplus or (ii) statutory net income from the preceding calendar year. A dividend paid that does not meet the above specifications is defined as an “extraordinary dividend” and requires advance approval from the Illinois Department of Insurance. The Company did not pay any dividends in 2021, 2020 or 2019. The Company has no surplus debentures. The Company also has no restrictions on surplus or any stock held by the Company for any special purposes.

10. Retirement Plans and Other Post Retirement Benefits Plans

Effective in 2004, the Company’s employees began participating in a qualified, noncontributory defined benefit pension plan sponsored by ZAIC.

11. Separate Accounts

General Nature and Characteristics of Separate Accounts

The assets and liabilities of the Company’s Separate Accounts represent segregated funds administered and invested by the Company for purposes of funding flexible payment, individual and group variable annuity contracts, market value adjusted deferred annuity contracts, variable supplemental contracts and individual and group variable life insurance contracts for the exclusive benefit of variable annuity contract holders and variable life insurance policy holders.

The Company receives fees from the Separate Accounts which consist of charges for mortality and expense risk, certain minimum guaranteed death benefits, certain guaranteed retirement benefits, record maintenance fees and other administrative charges. The Company also retains varying amounts of withdrawal charges to cover expenses in the event of early withdrawals by contract holders. The negative liability for transfers to Separate Accounts due or accrued amounted to $18,000 and $191,000 as of December 31, 2021 and 2020, respectively, which represents CARVM.

48

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

The assets and liabilities of the Separate Accounts are carried at fair value at December 31, 2021 and 2020.

The Company has marketed non-registered individual and group variable life policies and a series of individual and group variable annuity contracts. This business impacted premiums, separate accounts fees, net transfers to separate accounts, insurance taxes, licenses and fees and income tax expense. The non-registered products also have premium tax and deferred acquisition costs (“DAC”) tax expense load charges which are deducted from the contract holder’s premiums to compensate the Company for premium taxes and DAC tax expenses incurred by the Company.

Under statutory accounting, transfers to the separate accounts are reported net of premium and DAC tax loads. There is a corresponding offset to the premium tax load in insurance taxes, licenses and fees.

Certain separate account products have guarantees that are backed by the general accounts. The Company has entered into reinsurance agreements for all of this guaranteed business. At the end of December 31, 2021, the general account of the Company had a maximum guarantee for the separate account liabilities of $42.73 billion. To compensate the general account for the risk taken, the separate account has paid risk charges as follows for the past five years:

(in thousands of dollars)
Risk Charges
2021	$	326,962
2020		462,893
2019		347,628
2018		327,395
2017		314,364

As all of the guarantees have been reinsured, the above risk charges have also been ceded.

49

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

Information regarding the reserves included in the separate accounts of the Company as of December 31, 2021 and 2020 were as follows:

	2021
(in thousands of dollars)	Indexed		Nonindexed Guarantee Less Than/ Equal to 4%		Nonindexed Guarantee More Than 4%		Nonguaranteed Separate Accounts		Total
Premiums, considerations or deposits for year ended December 31, 2021	$	—	$	125	$	—	$	876,901	$	877,026
Reserves at December 31, 2021 for accounts with assets at:
Fair value		—		6,505		—		15,515,168		15,521,673
Amortized cost		—		—		—		—		—
Total reserves	$	—	$	6,505	$	—	$	15,515,168	$	15,521,673
By withdrawal characteristics:
With market value adjustment	$	—	$	6,505	$	—	$	—	$	6,505
At book value without market value adjustment and with current surrender charge of 5% or more		—		—		—		—		—
At fair value		—		—		—		15,515,168		15,515,168
At book value without market value adjustment and with current surrender charge less than 5%		—		—		—		—		—
Subtotal	$	—	$	6,505	$	—	$	15,515,168	$	15,521,673
Not subject to discretionary withdrawal		—		—		—		—		—
	$	—	$	6,505	$	—	$	15,515,168	$	15,521,673

50

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

(in thousands of dollars)	2020
	Indexed		Nonindexed Guarantee Less Than/ Equal to 4%		Nonindexed Guarantee More Than 4%		Nonguaranteed Separate Accounts		Total
Premiums, considerations or deposits for year ended December 31, 2020	$	—	$	239	$	—	$	613,296	$	613,535
Reserves at December 31, 2020 for accounts with assets at:
Fair value		—		6,640		—		14,459,189		14,465,829
Amortized cost		—		—		—		—		—
Total reserves	$	—	$	6,640	$	—	$	14,459,189	$	14,465,829
By withdrawal characteristics:
With market value adjustment	$	—	$	6,640	$	—	$	—	$	6,640
At book value without market value adjustment and with current surrender charge of 5% or more		—		—		—		—		—
At fair value		—		—		—		14,459,189		14,459,189
At book value without market value adjustment and with current surrender charge less than 5%		—		—		—		—		—
Subtotal	$	—	$	6,640	$	—	$	14,459,189	$	14,465,829
Not subject to discretionary withdrawal		—		—		—		—		—
	$	—	$	6,640	$	—	$	14,459,189	$	14,465,829

The following is a reconciliation of net transfers from the Company’s separate accounts for the years ended December 31, 2021, 2020 and 2019:

(in thousands of dollars)	2021			2020			2019
Transfers as reported in the summary of operations of the separate accounts annual statement
Transfers to separate accounts	$	985,276		$	664,017		$	716,833
Transfers from separate accounts		(259,448	)		(240,220	)		(582,557	)
Net transfers to separate accounts		725,828			423,797			134,276
Reconciling adjustments
Experience rated refunds reinvested in separate accounts		(112,382	)		(44,280	)		(58,913	)
Change in termination value of separate accounts		—			(49	)		(170	)
Separate accounts trading gain (loss)		5			(2	)		—
Transfers required to support benefits		(1,983	)		7,503			804
Fee income from premium taxes and other DAC tax charges		1,528			(9,903	)		(7,415	)
Other		(98	)		(163	)		1,461
Net transfers to separate accounts as reported in the statement of operations	$	612,898		$	376,903		$	70,043

51

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2021, 2020 and 2019

12. Premiums Due and Deferred

Gross due and deferred premiums represent life insurance premiums due to be received from policyholders through the next respective policy anniversary dates. Net deferred and uncollected premiums represent only the portion of gross premiums related to mortality charges and interest.

Due and deferred premiums at December 31, 2021 and 2020 are as follows:

(in thousands of dollars)	2021						2020
	Gross			Net			Gross			Net
Ordinary renewal	$	5,447		$	5,214		$	5,626		$	5,302
Group life		8,088			8,088			4,880			4,880
Accident and health		8,184			8,184			5,961			5,961
Nonadmitted assets		(9	)		(9	)		(27	)		(27	)
	$	21,710		$	21,477		$	16,440		$	16,116

13. Commitments and Contingencies

The Company is subject to lawsuits arising from the normal course of its business activities. These actions are in various stages of discovery and development, and some seek punitive as well as compensatory damages. In the opinion of management, the Company has not engaged in any conduct that should warrant the award of any material punitive or compensatory damages. The Company intends to defend vigorously its position in each case, and management believes that, while it is not possible to predict the outcome of such matters with absolute certainty, ultimate disposition of these proceedings should not have a material adverse effect on the Company’s financial position.

14. Subsequent Events

The Company has evaluated subsequent events through April 26, 2022, the date the financial statements were available to be issued.

52

Supplemental Schedules

53

Zurich American Life Insurance Company

Supplemental Schedule of Assets and Liabilities

December 31, 2021

The following is a summary of certain financial data included in exhibits and schedules subjected to audit procedures by independent accountants and utilized by actuaries in the determination of reserves.

	2021
Life insurance in force
Ordinary	$	1,268,750,000
Group life	$	12,358,499,000
Amount of additional accidental death benefits in force under ordinary policies	$	2,712,000
Supplemental contracts in force
Ordinary - not involving life contingencies income payable	$	8,727,018
Ordinary - involving life contingencies income payable	$	51,263,451
Annuities
Ordinary
Immediate - amount of income payable	$	143,427
Deferred - fully paid - account balance	$	89,874,601
Deferred - not fully paid - account balance	$	3,261,448,717
Group
Amount of income payable	$	—
Fully paid - account balance	$	—
Not fully paid - account balance	$	1,280,886,761
Accident and health premiums in force
Group	$	63,972,070
Other	$	10,217
Deposit funds and dividend accumulations
Deposit funds - account balance	$	10,494,819

54

Zurich American Life Insurance Company

Supplemental Schedule of Assets and Liabilities

December 31, 2021

	2021
Investment income earned
U.S. government bonds	$	3,074,190
Other fixed maturities (unaffiliated)		19,761,984
Contract loans		4,753,857
Cash, cash equivalents and short-term investments		39,433
Aggregate write-ins for investment income		101,439
Gross investment income	$	27,730,903
	2021
Fixed Maturities and short-term investments, by NAIC designation and maturity
Fixed Maturities by maturity - statement value
Due within 1 year or less	$	109,223,816
Over 1 year through 5 years		502,342,364
Over 5 years through 10 years		258,575,982
Over 10 years through 20 years		75,047,899
Over 20 years		32,978,680
Total by maturity	$	978,168,741
Fixed Maturities by NAIC designation - statement value
NAIC-1	$	785,197,944
NAIC-2		187,795,549
NAIC-3		5,175,247
NAIC-4		—
NAIC-5		—
NAIC-6		1
Total by NAIC designation	$	978,168,741
Total fixed maturities publicly traded	$	827,215,155
Total fixed maturities privately traded	$	150,953,586
Short-term investments - book value	$	—
Cash on deposit	$	3,910,118

55

Zurich American Life Insurance Company

Supplemental Summary Investment Schedule

December 31, 2021

The Company’s gross investment holdings as filed with the 2021 Annual Statement are $1,240,717,518.

	2021
	Gross Investment Holdings					Admitted Assets as Reported in the Annual Statement
Investment Categories	Amount		Percentage			Amount		Percentage
Bonds
U.S. governments	$	358,220,519		29	%	$	358,220,519		29	%
All other governments		10,821,959		1	%		10,821,959		1	%
U.S. states, territories and possessions, etc. guaranteed		111,235		—	%		111,235		—	%
U.S. political subdivisions of states, territories, and possessions, guaranteed		4,265,885		—	%		4,265,885		—	%
U.S. special revenue and special assessment obligations, etc., non-guaranteed		75,805,298		6	%		75,805,298		6	%
Industrial and miscellaneous		528,943,848		43	%		528,943,848		43	%
Common stock
Parent, subsidiaries and affiliates		20,266,915		2	%		20,266,915		2	%
Cash, cash equivalents, and short-term investments
Cash		3,910,118		—	%		3,910,118		—	%
Cash equivalents		61,727,592		5	%		61,727,592		5	%
Contract loans		176,642,460		14	%		176,642,460		14	%
Receivables for securities		1,689		—	%		1,689		—	%
Total invested assets	$	1,240,717,518		100	%	$	1,240,717,518		100	%

56

Zurich American Life Insurance Company

Supplemental Investment Risks Interrogatories

December 31, 2021

The Company’s total admitted assets, excluding separate account assets, as filed in the 2021 Annual Statement were $1,378,743,134.

The Company’s 10 largest exposures to a single issuer/borrower/investment, excluding U.S. government, U.S. government agency securities and those U.S. government money market funds listed in the Appendix to the NAIC SVO Purposes and Procedures Manual as exempt, property occupied by the Company and policy loans are as follows:

	2021
Investments	Amount		Percentage of Total Admitted Assets
Zurich American Life Company of New York	$	20,266,915		1.50	%
JPMORGAN CHASE & COMPANY		10,081,243		0.70	%
FNCL POOL FM5242/FM5222/FM5214		9,428,466		0.70	%
AT&T INCORPORATED		6,632,957		0.50	%
MORGAN STANLEY		6,427,479		0.50	%
CITIGROUP INCORPORATED		6,253,996		0.50	%
WBI ENERGY TRANSMISSION/MDU ENERGY CAPITAL, LLC		6,000,694		0.40	%
BANK OF AMERICA CORP		5,836,354		0.40	%
INTL BK RECON & DEVELOP / INTL FINANCE CORPORATION		5,268,473		0.40	%
BERKSHIRE HATHAWAY INC		5,087,125		0.40	%

The amounts and percentages of the Company’s total admitted assets, excluding separate account assets, held in fixed maturities and preferred stocks by NAIC rating are as follows:

	2021
	Amount		Percentage
Fixed Maturities
NAIC - 1	$	785,197,944		56.95	%
NAIC - 2		187,795,549		13.62	%
NAIC - 3		5,175,247		0.38	%
NAIC - 4		—		0.00	%
NAIC - 5		—		0.00	%
NAIC - 6		1		0.00	%
	$	978,168,741
Preferred stocks
P/RP-1	$	—		0.00	%
P/RP-2		—		0.00	%
P/RP-3		—		0.00	%
P/RP-4		—		0.00	%
P/RP-5		—		0.00	%
P/RP-6	$	—		0.00	%

57

Zurich American Life Insurance Company

Supplemental Investment Risks Interrogatories

December 31, 2021

The Company holds admitted assets in foreign investments, excluding investments in Canada, of $55,059,516 or 5% of total admitted assets, excluding separate account assets.

The amounts and percentages of the Company’s total admitted assets held in aggregate foreign investment exposures categorized by NAIC sovereign rating are as follows:

	2021
	Amount		Percentage of Total Admitted Assets
Countries rated NAIC - 1	$	45,167,052		3.28	%
Countries rated NAIC - 2		—		0.00	%
Countries rated NAIC - 3 or below		9,892,464		0.72	%

The Company’s two largest foreign investment exposures to a single country, categorized by the country’s NAIC sovereign rating:

	2021
	Amount		Percentage of Total Admitted Assets
Countries Rated NAIC - 1
Cayman Islands	$	9,615,475		0.70	%
Japan		6,651,436		0.48	%
Countries Rated NAIC - 2 or below	$	—		0.00	%
Countries Rated NAIC - 3 or below
Supranational - THE WORLD BANK GROUP	$	5,268,473		0.38	%
Supranational - INTER-AMERICAN DEVELOPMENT BANK		1,550,360		0.11	%

Questions 7 through 9 are not applicable as the Company does not have unhedged foreign currency exposure, as all foreign investments are denominated in US dollars.

58

Zurich American Life Insurance Company

Supplemental Investment Risks Interrogatories

December 31, 2021

Question 10 The Company’s 10 largest nonsovereign foreign issues and related percentages of total admitted assets are listed below:

		2021
NAIC Rating		Amount		Percentage Total Assets
1.AFE	INTL FINANCE CORP/ INTL BK RECON & DEVELOP	$	5,268,473		0.38	%
1.AFE	FEDERATION CENTRES LIMITED		3,900,111		0.28	%
1.AFE	HSBC HOLDINGS PLC		3,297,826		0.24	%
1.F FE	MIZUHO FINANCIAL GROUP INCORPORATED		3,044,487		0.22	%
1.F FE	CORBION NV		3,000,091		0.22	%
1.G FE	INFINEON TECHNOLOGIES AG		2,999,800		0.22	%
2.B	SUMITOMO MITSUI FINANCIAL GROUP INCORPORATED		1,723,373		0.12	%
2.C	INTER-AMERICAN DEVELOPMENT BANK		1,550,360		0.11	%
1.E FE	VOYA 2017-2A A1R FLT 06/07/2030 LL		1,500,653		0.11	%
1.G FE	KERRY GROUP FIN SERVICES		1,389,105		0.10	%

Question 11 The Company has $15,604,590 of Canadian investments.

Question 12 is not applicable as the Company does not hold any investments with contractual sales restrictions.

Question 13 The Company’s 10 largest equity interests and related percentages of total admitted assets are listed below:

	2021
Issuer	Amount		Percentage Total Assets
Zurich American Life Insurance Company of New York	$	20,266,915		1.47	%

Question 14 The Company’s investments in nonaffiliated, privately placed equity securities, held in cash equivalents, are listed below.

	2021
Fund Manager	Total Invested		Diversified		Nondiversified
JPMORGAN CHASE & CO	$	49,389,377	$	49,389,377	$	—
STATE STREET		9,306,740		9,306,740		—
GOLDMAN SACHS GROUP		3,030,557		3,030,557		—
FIDELITY		918		918		—

Question 15 is not applicable as the Company does not hold any investments in general partnership interests.

Questions 16 and 17 are not applicable as the Company does not hold any mortgage loans.

Question 18 is not applicable as the Company does not hold any real estate investments.

Question 19 is not applicable as the Company does not have any investments in mezzanine real estate loans.

59

Zurich American Life Insurance Company

Supplemental Investment Risks Interrogatories

December 31, 2021

Question 20 is not applicable as the Company does not hold securities lending arrangements.

Question 21 is not applicable as the Company does not hold any warrants not attached to other financial instruments, options, caps or floors.

Questions 22 and 23 are not applicable as the Company holds no investments in collars, swaps, forwards, or future contracts.

60

Zurich American Life Insurance Company

Supplemental Schedule of Reinsurance Disclosures

December 31, 2021

The following information regarding reinsurance contracts is presented to satisfy the disclosure requirements in SSAP No. 61R, Life, Deposit-Type and Accident and Health Reinsurance, which apply to reinsurance contracts entered into, renewed or amended on or after January 1,1996.

Has the Company reinsured any risk with any other entity under a reinsurance contract (or multiple contracts with the same reinsurer or its affiliates) that is subject to Appendix A-791, Life and Health Reinsurance Agreements, and includes a provision that limits the reinsurer’s assumption of significant risks identified in Appendix A-791?

Examples of risk-limiting features include provisions such as a deductible, a loss ratio corridor, a loss cap, an aggregate limit or similar effect.

Yes ( ) No (X)

Has the Company reinsured any risk with any other entity under a reinsurance contract (or multiple contracts with the same reinsurer or its affiliates) that is not subject to Appendix A-791, for which reinsurance accounting was applied and includes a provision that limits the reinsurer’s assumption of risk?

Examples of risk-limiting features include provisions such as a deductible, a loss ratio corridor, a loss cap, an aggregate limit or other provisions that result in similar effects.

Yes ( ) No (X)

Does the Company have any reinsurance contracts (other than reinsurance contracts with a federal or state facility) that contain one or more of the following features which result in delays in payment in form or in fact:

(a) Provisions that permit the reporting of losses to be made less frequently than quarterly;

(b) Provisions that permit settlements to be made less frequently than quarterly;

(c) Provisions that permit payments due from the reinsurer to not be made in cash within ninety (90) days of the settlement date (unless there is no activity during the period); or

(d) The existence of payment schedules, accumulating retentions from multiple years, or any features inherently designed to delay timing of the reimbursement to the ceding entity.

Yes ( ) No (X)

Has the Company reflected reinsurance accounting credit for any contracts that are not subject to Appendix A-791 and not yearly renewable term reinsurance, which meet the risk transfer requirements of SSAP No. 61R?

Type of contract:	Response:	Identify reinsurance contract(s):	Has the insured event(s) triggering contract coverage been recognized?
Assumption reinsurance - new for the reporting period1	Yes ( ) No (X)		N/A
Non-proportional reinsurance, which does not result in significant surplus relief	Yes ( ) No (X)		N/A

¹  This disclosure relates to ceding companies with assumption reinsurance agreements (paragraph 60 of SSAP 61R) entered into during the current year for which indemnity reinsurance is being applied for policyholders who have not yet agreed to the transfer to the new insurer or for which the regulator has not yet approved the novation to the new insurer.

61

Zurich American Life Insurance Company

Supplemental Schedule of Reinsurance Disclosures

December 31, 2021

Has the Company ceded any risk in a reinsurance agreement that is not subject to Appendix A-791 and not yearly renewable term reinsurance, under any reinsurance contract (or multiple contracts with the same reinsurer or its affiliates) during the period covered by the financial statements, and either:

(a) Accounted for that contract as reinsurance under SSAP and as a deposit under US GAAP; or

Yes ( ) No ( ) N/A (X)

(b) Accounted for that contract as reinsurance under US GAAP and as a deposit under SSAP?

Yes ( ) No ( ) N/A (X)

62