N-VPFS 1 2021_separate_account_a.htm 2021 SEPARATE ACCOUNT A AND VIAC AUDITED FINANCIAL STATEMENT.
FINANCIAL STATEMENTS
 
Venerable Insurance and Annuity Company
Separate Account A
Year Ended December 31, 2021
with Report of Independent Registered Public Accounting Firm

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VENERABLE INSURANCE AND ANNUITY COMPANY
SEPARATE ACCOUNT A
Financial Statements
Year Ended December 31, 2021

Contents

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Ernst & Young LLP
One Commerce Square
Suite 700
2005 Market Street
Philadelphia, PA 19103
 
Report of Independent Registered Public Accounting Firm

To the Board of Directors of Venerable Insurance and Annuity Company and Contract Owners of Venerable Insurance and Annuity Company Separate Account A
 
Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of each of the subaccounts listed in the Appendix that comprise Venerable Insurance and Annuity Company Separate Account A (the Separate Account), as of December 31, 2021 the related statements of operations for the year then ended, and the statements of changes in net assets for the two years in the period then ended, 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 for the year then ended and changes in its net assets for each of the two years then ended, 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 Accounts auditor since 1988.
Philadelphia, Pennsylvania
April 22, 2022

Appendix
 
Subaccounts comprising Venerable Insurance and Annuity Company Separate Account A:

 
Subaccount
Statement of
Operations
Statement of Changes
in Net Assets
Voya Intermediate Bond Portfolio - Class S
Voya Government Liquid Assets Portfolio - Service Class
Voya High Yield Portfolio - Service Class
Voya Large Cap Growth Portfolio - Service Class
Voya Limited Maturity Bond Portfolio - Service Class
VY® Clarion Real Estate Portfolio - Service Class
VY® Invesco Growth and Income Portfolio - Service Class
VY® JPMorgan Emerging Markets Equity Portfolio - Service Class
VY® T. Rowe Price Capital Appreciation Portfolio - Service Class
VY® Invesco Equity and Income Portfolio - Service Class
Voya Global High Dividend Low Volatility Portfolio - Class S
Voya Russell™ Large Cap Index Portfolio - Class S
Voya Russell™ Mid Cap Growth Index Portfolio - Class S
For the year ended December 31, 2021
For each of the two years in the period ended December 31, 2021
Voya Large Cap Value Portfolio - Service Class
VY® T. Rowe Price Equity Income Portfolio - Service Class
Voya MidCap Opportunities Portfolio - Class S
For the period from January 1, 2021 through October 15, 2021 (termination of operations)
For the year ended December 31, 2020 and for the period from January 1, 2021 through October 15, 2021 (termination of operations)
Voya Russell™ Large Cap Value Index Portfolio - Class S
For the period from October 15, 2021 (commencement of operations) through December 31, 2021
For the period from October 15, 2021 (commencement of operations) through December 31, 2021

VENERABLE INSURANCE AND ANNUITY COMPANY
SEPARATE ACCOUNT A
Statements of Assets and Liabilities
December 31, 2021
(Dollars in thousands)
 
   
Voya
Intermediate
Bond
Portfolio -
Class S
    
Voya
Government
Liquid Assets
Portfolio -
Service Class
    
Voya High
Yield
Portfolio -
Service Class
    
Voya Large
Cap Growth
Portfolio -
Service Class
    
Voya Limited
Maturity Bond
Portfolio -
Service Class
  
Assets
                              
Investments in mutual funds at fair value
  
$
703
    
$
282
    
$
272
    
$
3,341
    
$
262
  
Total assets
    
703
      
282
      
272
      
3,341
      
262
  
Net assets
  
$
703
    
$
282
    
$
272
    
$
3,341
    
$
262
  
Total number of mutual fund shares
    
55,209
      
281,827
      
27,363
      
155,616
      
25,841
  
Cost of mutual fund shares
  
$
707
    
$
282
    
$
272
    
$
2,914
    
$
261
  

The accompanying notes are an integral part of these financial statements.
 
VENERABLE INSURANCE AND ANNUITY COMPANY
SEPARATE ACCOUNT A
Statements of Assets and Liabilities
December 31, 2021
(Dollars in thousands)
 
   
VY® Clarion
Real Estate
Portfolio -
Service Class
    
VY® Invesco
Growth and
Income
Portfolio -
Service Class
    
VY®
JPMorgan
Emerging
Markets
Equity
Portfolio -
Service Class
    
VY® T. Rowe
Price Capital
Appreciation
Portfolio -
Service Class
    
VY® Invesco
Equity and
Income
Portfolio -
Service Class
  
Assets
                              
Investments in mutual funds at fair value
  
$
478
    
$
2,997
    
$
805
    
$
5,543
    
$
2,255
  
Total assets
    
478
      
2,997
      
805
      
5,543
      
2,255
  
Net assets
  
$
478
    
$
2,997
    
$
805
    
$
5,543
    
$
2,255
  
Total number of mutual fund shares
    
10,366
      
111,486
      
35,225
      
168,186
      
43,122
  
Cost of mutual fund shares
  
$
337
    
$
2,751
    
$
688
    
$
4,688
    
$
1,948
  

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

VENERABLE INSURANCE AND ANNUITY COMPANY
SEPARATE ACCOUNT A
Statements of Assets and Liabilities
December 31, 2021
(Dollars in thousands)
 

   
Voya Global
High Dividend
Low Volatility
Portfolio -
Class S
    
Voya
Russell™
Large Cap
Index
Portfolio -
Class S
    
Voya
Russell™
Large Cap
Value Index
Portfolio -
Class S
    
Voya
Russell™ Mid
Cap Growth
Index
Portfolio -
Class S
  
Assets
                        
Investments in mutual funds at fair value
  
$
1,662
    
$
2,745
    
$
2,858
    
$
7,009
  
Total assets
    
1,662
      
2,745
      
2,858
      
7,009
  
Net assets
  
$
1,662
    
$
2,745
    
$
2,858
    
$
7,009
  
 Total number of mutual fund shares
    
134,493
      
80,275
      
101,922
      
145,166
  
Cost of mutual fund shares
  
$
1,342
    
$
1,155
    
$
2,763
    
$
6,287
  

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

VENERABLE INSURANCE AND ANNUITY COMPANY
SEPARATE ACCOUNT A
Statements of Operations
For the Year Ended December 31, 2021
(Dollars in thousands)
 
Voya
Intermediate
Bond Portfolio -
Class S

Voya
Government
Liquid Assets
Portfolio -
Service Class

Voya High
Yield
Portfolio -
Service Class

Voya Large
Cap Growth
Portfolio -
Service Class

Voya Large
Cap Value
Portfolio -
Service Class
Net investment income (loss)
                              
Investment Income:
                              
Dividends
  
$
21
    
$
—
    
$
14
    
$
—
    
$
1
  
Expenses:
                                        
Mortality and expense risk charges
    
7
      
3
      
3
      
31
      
8
  
Total expenses
    
7
      
3
      
3
      
31
      
8
  
Net investment income (loss)
    
14
      
(3
)
    
11
      
(31
)
    
(7
)
Realized and unrealized gain (loss) on investments
                                        
Net realized gain (loss) on investments
    
1
      
—
       (1 )    
17
      
180
  
Capital gains distributions
    
—
      
—
       —      
594
      
12
  
Total realized gain (loss) on investments and capital gains distributions
    
1
      
—
       (1 )    
611
      
192
  
Net unrealized appreciation (depreciation) of investments
    
(33
)
    
—
      
—
      
(66
)
    
(3
)
Net realized and unrealized gain (loss) on investments
    
(32
)
    
—
      
(1
)
    
545
      
189
  
Net increase (decrease) in net assets resulting from operations
  
$
(18
)
  
$
(3
)
  
$
10
    
$
514
    
$
182
  

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

VENERABLE INSURANCE AND ANNUITY COMPANY
SEPARATE ACCOUNT A
Statements of Operations
For the Year Ended December 31, 2021
(Dollars in thousands)

   
Voya Limited
Maturity
Bond
Portfolio -
Service Class

VY® Clarion
Real Estate
Portfolio -
Service Class

VY® Invesco
Growth and
Income
Portfolio -
Service Class

VY®
JPMorgan
Emerging
Markets Equity
Portfolio -
Service Class

VY® T. Rowe
Price Capital
Appreciation
Portfolio -
Service Class
  
Net investment income (loss)
                              
Investment Income:
                              
Dividends
  
$
4
    
$
7
    
$
37
    
$
—
    
$
42
  
Expenses:
                                        
Mortality and expense risk charges
    
3
      
4
      
28
      
9
      
53
  
Total expenses
    
3
      
4
      
28
      
9
      
53
  
Net investment income (loss)
    
1
      
3
      
9
      
(9
)
    
(11
)
Realized and unrealized gain (loss) on investments
                                        
Net realized gain (loss) on investments
    
—
       16      
17
      
14
      
42
  
Capital gains distributions
    
—
       —      
—
      
67
      
610
  
Total realized gain (loss) on investments and capital gains distributions
    
—
       16      
17
      
81
      
652
  
Net unrealized appreciation (depreciation) of investments
    
(4
)
    
149
      
638
      
(172
)
    
192
  
Net realized and unrealized gain (loss) on investments
    
(4
)
    
165
      
655
      
(91
)
    
844
  
Net increase (decrease) in net assets resulting from operations
  
$
(3
)
  
$
168
    
$
664
    
$
(100
)
  
$
833
  

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

VENERABLE INSURANCE AND ANNUITY COMPANY
SEPARATE ACCOUNT A
Statements of Operations
For the Year Ended December 31, 2021
(Dollars in thousands)

   
VY® T. Rowe
Price Equity
Income
Portfolio -
Service Class

VY® Invesco
Equity and
Income
Portfolio -
Service Class

Voya Global
High Dividend
Low Volatility
Portfolio -
Class S

Voya
Russell™
Large Cap
 Index
Portfolio -
Class S

Voya
Russell™
Large Cap
Value Index
Portfolio -
Class S
  
Net investment income (loss)
                              
Investment Income:
                              
Dividends
  
$
2
    
$
26
    
$
36
    
$
23
    
$
—
  
Expenses:
                                        
Mortality and expense risk charges
    
13
      
22
      
16
      
25
      
6
  
Total expenses
    
13
      
22
      
16
      
25
      
6
  
Net investment income (loss)
    
(11
)
    
4
      
20
      
(2
)
    
(6
)
Realized and unrealized gain (loss)
                                        
on investments
                                        
Net realized gain (loss) on investments
    
(86
)
    
4
      
22
      
98
      
—
  
Capital gains distributions
    
27
      
26
      
—
      
100
      
—
  
Total realized gain (loss) on investments and capital gains distributions
    
(59
)
    
31
      
22
      
198
      
—
  
Net unrealized appreciation (depreciation) of investments
    
369
      
301
      
233
      
376
      
95
  
Net realized and unrealized gain (loss) on investments
    
310
      
332
      
255
      
574
      
95
  
Net increase (decrease) in net assets resulting from operations
  
$
299
    
$
336
    
$
275
    
$
572
    
$
89
  

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

VENERABLE INSURANCE AND ANNUITY COMPANY
SEPARATE ACCOUNT A
Statements of Operations
For the Year Ended December 31, 2021
(Dollars in thousands)

   
Voya Russell™
Mid Cap Growth
Index Portfolio -
Class S
    
Voya MidCap
Opportunities
Portfolio -
Class S
  
Net investment income (loss)
            
Investment Income:            
Dividends
  
$
—
    
$
—
  
Expenses:
                
Mortality and expense risk charges
    
28
      
41
  
Total expenses
    
28
      
41
  
Net investment income (loss)
    
(28
)
    
(41
)
Realized and unrealized gain (loss) on investments
                
Net realized gain (loss) on investments
    
167
      
1,293
  
Capital gains distributions
    
57
      
736
  
Total realized gain (loss) on investments and capital gains distributions
    
224
      
2,029
  
Net unrealized appreciation (depreciation) of investments
     (96 )     (1,309 )
Net realized and unrealized gain (loss) on investments     128
       720  
Net increase (decrease) in net assets resulting from operations
  $ 100     $ 679  

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

VENERABLE INSURANCE AND ANNUITY COMPANY
SEPARATE ACCOUNT A
Statements of Changes in Net Assets
For the Years Ended December 31, 2021 and 2020
(Dollars in thousands)
 
   
Voya
Intermediate
 Bond Portfolio -
Class S
    
Voya
Government
Liquid Assets
Portfolio -
Service Class
    
Voya High
Yield Portfolio -
Service Class
    
Voya Large
Cap Growth
Portfolio -
Service Class
  
Net assets at January 1, 2020
  
$
883
    
$
296
    
$
279
    
$
2,322
  
Increase (decrease) in net assets
                                
Operations:
                                
Net investment income (loss)
    
20
      
(4
)
    
11
      
(19
)
Total realized gain (loss) on investments and capital gains distributions
    
23
      
—
      
(2
)
    
314
  
Net unrealized appreciation (depreciation) of investments
    
13
      
—
      
2
      
386
  
Net increase (decrease) in net assets resulting from operations
    
56
      
(4
)
    
11
      
681
  
Changes from principal transactions:
                                
Premiums
    
1
      
—
      
—
      
4
  
Death Benefits
    
(37
)
    
(1
)
    
—
      
(87
)
Surrenders and withdrawals
    
—
      
(343
)
    
—
      
—
  
Policy Loans
    
—
      
3
      
—
      
7
  
Contract Charges
    
(11
)
    
(18
)
    
(3
)
    
(33
)
Cost of insurance and administrative charges
    
—
      
(4
)
    
—
      
(7
)
Transfers between Divisions (including fixed account), net
    
(31
)
    
346
      
(12
)
    
21
  
Increase (decrease) in net assets derived from principal transactions
    
(78
)
    
(17
)
    
(15
)
    
(95
)
Total increase (decrease) in net assets
    
(22
)
    
(21
)
    
(4
)
    
586
  
Net assets at December 31, 2020
    
861
      
275
      
275
      
2,908
  
Increase (decrease) in net assets
                                
Operations:
                                
Net investment income (loss)
    
14
      
(3
)
    
11
      
(31
)
Total realized gain (loss) on investments and capital gains distributions
    
1
      
—
      
(1
)
    
611
  
Net unrealized appreciation (depreciation) of investments
    
(33
)
    
—
      
—
      
(66
)
Net increase (decrease) in net assets resulting from operations
    
(18
)
    
(3
)
    
10
      
514
  
Changes from principal transactions:
                                
Premiums
    
—
      
26
      
—
      
1
  
Death Benefits
    
(129
)
    
—
      
—
      
(40
)
Surrenders and withdrawals
    
—
      
—
      
(10
)
    
—
  
Policy Loans
    
—
      
—
      
—
      
1
  
Contract Charges
    
(9
)
    
(16
)
    
(3
)
    
(37
)
Cost of insurance and administrative charges
    
—
      
(1
)
    
—
      
(6
)
Transfers between Divisions (including fixed account), net
    
(2
)
    
1
      
—
      
—
  
Increase (decrease) in net assets derived from principal transactions
    
(140
)
    
10
      
(13
)
    
(81
)
Total increase (decrease) in net assets
    
(158
)
    
7
      
(3
)
    
433
  
Net assets at December 31, 2021
  
$
703
    
$
282
    
$
272
    
$
3,341
  

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

VENERABLE INSURANCE AND ANNUITY COMPANY
SEPARATE ACCOUNT A
Statements of Changes in Net Assets
For the Years Ended December 31, 2021 and 2020
(Dollars in thousands)

   
Voya Large
Cap Value
Portfolio –
Service Class
    
Voya Limited
Maturity Bond
Portfolio –
Service Class
    
VY® Clarion
Real Estate
Portfolio –
Service Class
    
VY® Invesco
Growth and
Income
Portfolio –
Service Class
  
Net assets at January 1, 2020
  
$
963
    
$
301
    
$
861
    
$
2,859
  
Increase (decrease) in net assets
                                
Operations:
                                
Net investment income (loss)
    
8
      
3
      
6
      
24
  
Total realized gain (loss) on investments and capital gains distributions
    
67
      
—
      
322
      
226
  
Net unrealized appreciation (depreciation) of investments
    
(55
)
    
4
      
(394
)
    
(297
)
Net increase (decrease) in net assets resulting from operations
    
20
      
7
      
(66
)
    
(47
)
Changes from principal transactions:
                                
Premiums
    
2
      
—
      
3
      
14
  
Death Benefits
    
(96
)
    
(33
)
    
(390
)
    
(203
)
Surrenders and withdrawals
    
—
      
—
      
(29
)
    
(52
)
Policy Loans
    
2
      
—
      
—
      
4
  
Contract Charges
    
(10
)
    
(5
)
    
(6
)
    
(30
)
Cost of insurance and administrative charges
    
—
      
—
      
1
      
(1
)
Transfers between Divisions (including fixed account), net
    
(30
)
    
(1
)
    
(22
)
    
(124
)
Increase (decrease) in net assets derived from principal transactions
    
(132
)
    
(39
)
    
(443
)
    
(392
)
Total increase (decrease) in net assets
    
(112
)
    
(32
)
    
(509
)
    
(439
)
Net assets at December 31, 2020
    
851
      
269
      
352
      
2,420
  
Increase (decrease) in net assets
                                
Operations:
                                
Net investment income (loss)
    
(7
)
    
1
      
3
      
9
  
Total realized gain (loss) on investments and capital gains distributions
    
192
      
—
      
16
      
17
  
Net unrealized appreciation (depreciation) of investments
    
(3
)
    
(4
)
    
149
      
638
  
Net increase (decrease) in net assets resulting from operations
    
182
      
(3
)
    
168
      
664
  
Changes from principal transactions:
                                
Premiums
    
6
      
—
      
—
      
18
  
Death Benefits
    
—
      
—
      
(11
)
    
(48
)
Surrenders and withdrawals
    
—
      
—
      
(28
)
    
(10
)
Policy Loans
    
—
      
—
      
—
      
—
  
Contract Charges
    
(8
)
    
(3
)
    
(4
)
    
(26
)
Cost of insurance and administrative charges
    
1
      
—
      
—
      
(2
)
Transfers between Divisions (including fixed account), net
    
(1,032
)
    
(1
)
    
1
      
(19
)
Increase (decrease) in net assets derived from principal transactions
    
(1,033
)
    
(4
)
    
(42
)
    
(87
)
Total increase (decrease) in net assets
    
(851
)
    
(7
)
    
126
      
577
  
Net assets at December 31, 2021
  
$
—
    
$
262
    
$
478
    
$
2,997
  

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

VENERABLE INSURANCE AND ANNUITY COMPANY
SEPARATE ACCOUNT A
Statements of Changes in Net Assets
For the Years Ended December 31, 2021 and 2020
(Dollars in thousands)

   
VY®
JPMorgan
Emerging
Markets Equity
Portfolio -
Service Class
    
VY® T. Rowe
Price Capital
Appreciation
Portfolio -
Service Class
    
VY® T. Rowe
Price Equity
Income
Portfolio -
Service Class
    
VY® Invesco
Equity and
Income
Portfolio -
Service Class
  
Net assets at January 1, 2020
  
$
784
    
$
4,849
    
$
1,544
    
$
2,064
  
Increase (decrease) in net assets
                                
Operations:
                                
Net investment income (loss)
    
(5
)
    
13
      
42
      
12
  
Total realized gain (loss) on investments and capital gains distributions
    
64
      
494
      
(27
)
    
47
  
Net unrealized appreciation (depreciation) of investments
    
173
      
196
      
(10
)
    
104
  
Net increase (decrease) in net assets resulting from operations
    
232
      
703
      
5
      
163
  
Changes from principal transactions:
                                
Premiums
    
1
      
2
      
3
      
—
  
Death Benefits
    
(45
)
    
(340
)
    
(39
)
    
(41
)
Surrenders and withdrawals
    
—
      
(344
)
    
(31
)
    
(188
)
Policy Loans
    
(11
)
    
—
      
—
      
—
  
Contract Charges
    
(10
)
    
(66
)
    
(15
)
    
(29
)
Cost of insurance and administrative charges
    
(1
)
    
(6
)
    
(1
)
    
(3
)
Transfers between Divisions (including fixed account), net
    
(12
)
    
104
      
31
      
3
  
Increase (decrease) in net assets derived from principal transactions
    
(78
)
    
(650
)
    
(52
)
    
(258
)
Total increase (decrease) in net assets
    
154
      
53
      
(47
)
    
(95
)
Net assets at December 31, 2020
    
938
      
4,902
      
1,497
      
1,969
  
Increase (decrease) in net assets
                                
Operations:
                                
Net investment income (loss)
    
(9
)
    
(11
)
    
(11
)
    
4
  
Total realized gain (loss) on investments and capital gains distributions
    
81
      
652
      
(59
)
    
31
  
Net unrealized appreciation (depreciation) of investments
    
(172
)
    
192
      
369
      
301
  
Net increase (decrease) in net assets resulting from operations
    
(100
)
    
833
      
299
      
336
  
Changes from principal transactions:
                                
Premiums
    
6
      
31
      
4
      
—
  
Death Benefits
    
(55
)
    
(136
)
    
(36
)
    
—
  
Surrenders and withdrawals
    
—
      
(50
)
    
—
      
(14
)
Policy Loans
    
26
      
—
      
—
      
—
  
Contract Charges
    
(11
)
    
(51
)
    
(8
)
    
(32
)
Cost of insurance and administrative charges
    
—
      
(5
)
    
1
      
(3
)
Transfers between Divisions (including fixed account), net
    
1
      
19
      
(1,757
)
    
(1
)
Increase (decrease) in net assets derived from principal transactions
    
(33
)
    
(192
)
    
(1,796
)
    
(50
)
Total increase (decrease) in net assets
    
(133
)
    
641
      
(1,497
)
    
286
  
Net assets at December 31, 2021
  
$
805
    
$
5,543
    
$
—
    
$
2,255
  

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

VENERABLE INSURANCE AND ANNUITY COMPANY
SEPARATE ACCOUNT A
Statements of Changes in Net Assets
For the Years Ended December 31, 2021 and 2020
(Dollars in thousands)

   
Voya Global
High Dividend
Low Volatility
Portfolio - Class S
    
Voya Russell™
Large Cap
Index Portfolio -
Class S
    
Voya Russell™
Large Cap Value
Index Portfolio -
Class S
    
Voya
Russell™ Mid
Cap Growth
Index
Portfolio -
Class S
  
Net assets at January 1, 2020
  
$
1,676
    
$
1,939
    
$
—
     $ 1,458  
Increase (decrease) in net assets
                                
Operations:
                                
Net investment income (loss)
    
18
      
5
      
—
       (12 )
Total realized gain (loss) on investments and capital gains distributions
    
8
      
171
      
—
       274  
Net unrealized appreciation (depreciation) of investments
    
(71
)
    
206
      
—
      
138
  
Net increase (decrease) in net assets resulting from operations
    
(45
)
    
382
      
—
      
400
  
Changes from principal transactions:
                                
Premiums
    
5
      
2
      
—
      
7
  
Death Benefits
    
(40
)
    
(58
)
    
—
      
(213
)
Surrenders and withdrawals
    
(42
)
    
(37
)
    
—
      
—
  
Policy Loans
    
—
      
(5
)
    
—
      
5
  
Contract Charges
    
(18
)
    
(26
)
    
—
      
(28
)
Cost of insurance and administrative charges
    
(1
)
    
(2
)
    
—
      
(1
)
Transfers between Divisions (including fixed account), net
    
(72
)
    
56
      
—
      
(29
)
Increase (decrease) in net assets derived from principal transactions
    
(168
)
    
(70
)
    
—
      
(259
)
Total increase (decrease) in net assets
    
(213
)
    
312
      
—
      
141
  
Net assets at December 31, 2020
    
1,463
      
2,251
      
—
      
1,599
  
Increase (decrease) in net assets
                                
Operations:
                                
Net investment income (loss)
    
20
      
(2
)
    
(6
)
    
(28
)
Total realized gain (loss) on investments and capital gains distributions
    
22
      
198
      
—
      
224
  
Net unrealized appreciation (depreciation) of investments
    
233
      
376
      
95
      
(96
)
Net increase (decrease) in net assets resulting from operations
    
275
      
572
      
89
      
100
  
Changes from principal transactions:
                                
Premiums
    
2
      
8
      
—
      
2
  
Death Benefits
    
(96
)
    
(29
)
    
(13
)
    
(153
)
Surrenders and withdrawals
    
—
      
(44
)
    
—
      
(14
)
Policy Loans
    
34
      
21
      
—
      
—
  
Contract Charges
    
(17
)
    
(32
)
    
(7
)
    
(35
)
Cost of insurance and administrative charges
    
(1
)
    
(3
)
    
(4
)
    
(9
)
Transfers between Divisions (including fixed account), net
    
2
      
1
      
2,793
      
5,519
  
Increase (decrease) in net assets derived from principal transactions
    
(76
)
    
(78
)
    
2,769
      
5,310
  
Total increase (decrease) in net assets
    
199
      
494
      
2,858
      
5,410
  
Net assets at December 31, 2021
  
$
1,662
    
$
2,745
    
$
2,858
    
$
7,009
  

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

VENERABLE INSURANCE AND ANNUITY COMPANY
SEPARATE ACCOUNT A
Statements of Changes in Net Assets
For the Years Ended December 31, 2021 and 2020
(Dollars in thousands)

   
Voya MidCap
Opportunities
Portfolio - Class S
  
Net assets at January 1, 2020
  
$
4,209
  
Increase (decrease) in net assets
        
Operations:
        
Net investment income (loss)
    
(38
)
Total realized gain (loss) on investments and capital gains distributions
    
229
  
Net unrealized appreciation (depreciation) of investments
    
1,182
  
Net increase (decrease) in net assets resulting from operations
    
1,373
  
Changes from principal transactions:
        
Premiums
    
5
  
Death Benefits
    
(320
)
Surrenders and withdrawals
    
(65
)
Policy Loans
    
(11
)
Contract Charges
    
(40
)
Cost of insurance and administrative charges
    
(5
)
Transfers between Divisions (including fixed account), net
    
(225
)
Increase (decrease) in net assets derived from principal transactions
    
(661
)
Total increase (decrease) in net assets
    
712
  
Net assets at December 31, 2020
    
4,921
  
Increase (decrease) in net assets
        
Operations:
        
Net investment income (loss)
    
(41
)
Total realized gain (loss) on investments and capital gains distributions
    
2,029
  
Net unrealized appreciation (depreciation) of investments
    
(1,309
)
Net increase (decrease) in net assets resulting from operations
    
679
  
Changes from principal transactions:
        
Premiums
    
28
  
Death Benefits
    
(64
)
Surrenders and withdrawals
    
(17
)
Policy Loans
    
—
  
Contract Charges
    
(34
)
Cost of insurance and administrative charges
    
5
  
Transfers between Divisions (including fixed account), net
    
(5,518
)
Increase (decrease) in net assets derived from principal transactions
    
(5,600
)
Total increase (decrease) in net assets
    
(4,921
)
Net assets at December 31, 2021
  
$
—
  
 
The accompanying notes are an integral part of these financial statements.

VENERABLE INSURANCE AND ANNUITY COMPANY
SEPARATE ACCOUNT A
Notes to Financial Statements
 
1.
Organization
 
Venerable Insurance and Annuity Company (“VIAC” or the “Company”) is an Iowa stock life insurance company that was originally organized in 1973 under the insurance laws of Minnesota. On June 1, 2018, the Company became an indirectly wholly owned subsidiary of VA Capital Company LLC, an insurance holding company organized under Delaware law (“VA Capital”) The Company’s direct parent is Venerable Holdings, Inc. ("Venerable”). Before June 1, 2018, the Company was an indirectly wholly owned subsidiary of Voya Financial, Inc.
 
Separate Account A of the Company (the “Account”) was established by the Company on July 14, 1998, to support operations of the Company’s flexible premium variable life insurance policies (the “Policy” or “Policies”). None of the Policies are currently available for new purchasers but existing policy owners may continue to invest in their Policies.
 
The flexible premium variable life insurance Policies supported by the Account are:
 

 •
Golden Select Genesis I

•
Golden Select Genesis Flex

The Account is registered as a unit investment trust with the Securities Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended. VIAC provides for variable accumulation and benefits under the Policies by crediting insurance premiums to one or more divisions within the Account or the fixed interest division (an investment option in the Company’s general account), as elected by the policyholders. The portion of the Account’s assets applicable to Policies will not be charged with liabilities arising out of any other business VIAC may conduct, but obligations of the Account, including the promise to make benefit payments, are obligations of VIAC. Under applicable insurance law, the assets and liabilities of the Account are clearly identified and distinguished from the other assets and liabilities of VIAC.

At December 31, 2021, the Account had 14 investment divisions (the “Divisions”), each of which invests in shares of a designated independently managed mutual fund (“Fund”) of various investment trusts (“the Trusts”).

VENERABLE INSURANCE AND ANNUITY COMPANY
SEPARATE ACCOUNT A
Notes to Financial Statements
 
The Divisions with asset balances at December 31, 2021 and related Trusts are as follows:
 
 
Voya Intermediate Bond Portfolio:
Voya Intermediate Bond Portfolio - Class S
 
Voya Investors Trust:
Voya Government Liquid Assets Portfolio - Service Class
Voya High Yield Portfolio - Service Class
Voya Large Cap Growth Portfolio - Service Class
Voya Limited Maturity Bond Portfolio - Service Class
VY® Clarion Real Estate Portfolio - Service Class
VY® Invesco Growth and Income Portfolio - Service Class
VY® JPMorgan Emerging Markets Equity Portfolio - Service Class
VY® T. Rowe Price Capital Appreciation Portfolio - Service Class
  
Voya Partners, Inc.:
VY® Invesco Equity and Income Portfolio - Service Class
 
Voya Variable Portfolios, Inc.:
Voya Global High Dividend Low Volatility Portfolio - Class S
Voya Russell™ Large Cap Index Portfolio - Class S
Voya Russell™ Mid Cap Growth Index Portfolio - Class S
Voya Russell™ Large Cap Value Index Portfolio - Class S

During 2021, the following Divisions were closed to all contract owners because of fund substitutions:
 
Voya Investors Trust:
Voya Large Cap Value Portfolio - Service Class
VY® T. Rowe Price Equity Income Portfolio - Service Class
 
Voya Variable Products Trust:
Voya MidCap Opportunities Portfolio - Class S

During 2021, the following Division was open to all contract owners:
 
Voya Variable Portfolios, Inc.:
Voya Russell™ Large Cap Value Index Portfolio - Class S

2.
Significant Accounting Policies
 
The following is a summary of the significant accounting policies of the Account:
 
Use of Estimates
 
The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

Investments
 
Investments are made in shares of a Division and are recorded at fair value, determined by the net asset value per share of the respective Division. Investment transactions in each Division are recorded on the trade date. Distributions of net investment income and capital gains from each Division are recognized on the ex-distribution date. Realized gains and losses on redemptions of the shares of the Division are determined on a first-in, first-out basis. The difference between cost and current fair value of investments owned on the day of measurement is recorded as unrealized appreciation or depreciation of investments.
 
VENERABLE INSURANCE AND ANNUITY COMPANY
SEPARATE ACCOUNT A
Notes to Financial Statements
 
Federal Income Taxes

Operations of the Account form a part of, and are taxed with, the total operations of VIAC, which is taxed as a life insurance company under the Internal Revenue Code (“IRC”). Under the current provisions of the IRC, the Company does not expect to incur federal income taxes on the earnings of the Account to the extent the earnings are credited to policyholders. Accordingly, earnings and realized capital gains of the Account attributable to the policyholders are excluded in the determination of the federal income tax liability of VIAC, and no charge is being made to the Account for federal income taxes for these amounts. The Company will review this tax accounting in the event of changes in the tax law. Such changes in the law may result in a charge for federal income taxes. Uncertain tax positions are assessed at the parent level on a consolidated basis, including taxes of the operations of the Separate Account.
 
Policyholder Reserves

Policyholder reserves of the Account are represented by net assets on the Statements of Assets and Liabilities and are equal to the aggregate account values of the policyholders invested in the Account Divisions. To the extent that benefits to be paid to the policyholders exceed their account values, VIAC will contribute additional funds to the benefit proceeds. Conversely, if amounts allocated exceed amounts required, transfers may be made to VIAC.

Changes from Principal Transactions

Included in Changes from principal transactions on the Statements of Changes in Net Assets are items which relate to policyholder activity, including premiums, death benefits, surrenders and withdrawals, policy loans, policy charges, cost of insurance, and administrative charges. Also included are transfers between the fixed account and the Divisions, transfers between Divisions, and transfers to (from) VIAC related to gains and losses resulting from actual mortality experience (the full responsibility for which is assumed by VIAC).

Subsequent Events

The Account has evaluated subsequent events for recognition and disclosure through the date the financial statements were issued.
 
3.
Financial Instruments
 
The Account invests assets in shares of open-end mutual funds, which process orders to purchase and redeem shares on a daily basis at the fund's next computed net asset values (“NAV”). The fair value of the Account’s assets is based on the NAVs of mutual funds, which are obtained from the transfer agents or fund companies and reflect the fair values of the mutual fund investments. The NAV is calculated daily upon close of the New York Stock Exchange and is based on the fair values of the underlying securities.
 
VENERABLE INSURANCE AND ANNUITY COMPANY
SEPARATE ACCOUNT A
Notes to Financial Statements
 
The Account’s assets are recorded at fair value on the Statements of Assets and Liabilities and are categorized as Level 1 as of December 31, 2021. There were no transfers among the levels for the year ended December 31, 2021. The account had no  liabilities  as  of  December 31, 2021.
 
The Account categorizes its financial instruments into a three-level hierarchy based on the priority of the inputs to the valuation technique. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). 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.

 
▪
Level 1 - Unadjusted quoted prices for identical assets or liabilities in an active market. The Account defines an active market as a market in which transactions take place with sufficient frequency and volume to provide pricing information on an ongoing basis.

▪
Level 2 - Quoted prices in markets that are not active or valuation techniques that require inputs that are observable either directly or indirectly for substantially the full term of the asset or liability. 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; and

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 valuations, whether derived internally or obtained from a third party, use critical assumptions that are not widely available to estimate market participant expectations in valuing the asset or liability.

4.
Charges and Fees
 
Under the terms of the Policies, certain charges and fees are incurred by the Policies to cover VIAC’s expenses in connection with the issuance and administration of the Policies. Following is a summary of these charges and fees:

Mortality and Expense Risk Charges

VIAC assumes mortality and expense risks related to the operations of the Account and, in accordance with the terms of the Policies, deducts a daily charge from the assets of the Account.  Daily charges are deducted at an annual rate of 0.90% of the average daily net asset value of each Division of the Account to cover these risks, as specified in the Policies. These charges are assessed through a reduction in unit values.

VENERABLE INSURANCE AND ANNUITY COMPANY
SEPARATE ACCOUNT A
Notes to Financial Statements
 
Asset Based Administrative Charges
 
A charge to cover administrative expenses of the Account is deducted at an annual rate of 0.10% of the assets attributable to the Policies. These charges are assessed through a reduction in unit values.

Policy Issuance and Maintenance Charges

An administrative charge of $200 (single life) or $300 (joint life) may be made to cover the cost of underwriting and issuing a Policy. The charge is deducted in quarterly installments on each Policy during the first Policy year. In addition, an annual administrative charge of $40 per Policy may be deducted to cover ongoing administrative expenses. These charges are assessed through the redemption of units.
 
Mortality Cost
 
A mortality cost is deducted equal to the cost of providing coverage under the Policies. The cost is based on each insured’s sex, attained age, and underwriting class and can be adjusted, subject to certain maximum amounts set forth in the Policies. These charges are assessed through the redemption of units.
 
Minimum Death Benefit Guarantee Charge

A minimum death benefit guarantee charge is assessed at a maximum rate per year of $0.60 per $1,000 of face or net amount at risk, as defined in each Policy. The charge is deducted in equal installments on each Policy’s quarterly processing date during the guarantee period. These charges are assessed through the redemption of units.
 
Deferred Sales

Under Policies offered prior to October 1995, a sales load of up to 7.50% was assessed to each premium payment for sales-related expenses as specified in the Policy. The sales load on all Policies is chargeable to each premium when it is received by VIAC. The amount of such a charge is initially advanced by VIAC to policyholders. This amount is included in the accumulation value and then deducted in equal installments on each Policy anniversary date over a period of either six or ten years. Upon surrender of the Policy, the unamortized deferred sales load is deducted from the accumulation value by VIAC. These charges are assessed through the redemption of units.

Deferred Face Amount Charge

A charge is assessed which is deducted in equal installments over a six-year period following receipt of the initial premium or increase in face amount. This charge varies based on the face amount, age, and sex of the insured and the Policy chosen. This charge will never exceed $12 per $1,000 of face amount. A portion of this charge is considered to be an additional sales load. These charges are assessed through the redemption of units.

VENERABLE INSURANCE AND ANNUITY COMPANY
SEPARATE ACCOUNT A
Notes to Financial Statements
 
Loan Charge
 
A current net loan charge of up to 5.00% is made based on the Policy loan amount on Policies that allow loans. The charge is accrued daily, as applicable, and deducted on each Policy anniversary date. These charges are assessed through the redemption of units.
 
Fees Waived by VIAC

Certain charges and fees for various types of policies may be waived by VIAC. VIAC reserves the right to discontinue these waivers at its discretion or to conform to changes in  the law.

VENERABLE INSURANCE AND ANNUITY COMPANY
SEPARATE ACCOUNT A
Notes to Financial Statements
 
5.
Purchase and Sales of Investment Securities
 
The aggregate cost of purchases and proceeds from sales of investments for the year ended December 31, 2021 follow:

    Purchases     Sales  
   
(Dollars in thousands)
  
Voya Intermediate Bond Portfolio:
            
Voya Intermediate Bond Portfolio - Class S
  
$
21
    
$
145
  
Voya Investors Trust:
                
Voya Government Liquid Assets Portfolio - Service Class
    
28
      
21
  
Voya High Yield Portfolio - Service Class
    
14
      
16
  
Voya Large Cap Growth Portfolio - Service Class
    
595
      
113
  
Voya Large Cap Value Portfolio - Service Class
    
15
      
1,042
  
Voya Limited Maturity Bond Portfolio - Service Class
    
4
      
6
  
VY® Clarion Real Estate Portfolio - Service Class
    
7
      
47
  
VY® Invesco Growth and Income Portfolio - Service Class
    
40
      
118
  
VY® JPMorgan Emerging Markets Equity Portfolio - Service Class
    
101
      
76
  
VY® T. Rowe Price Capital Appreciation Portfolio - Service Class
    
692
      
285
  
VY® T. Rowe Price Equity Income Portfolio - Service Class
    
29
      
1,809
  
Voya Partners, Inc.:
                
VY® Invesco Equity and Income Portfolio - Service Class
    
52
      
70
  
Voya Variable Portfolios, Inc.:
                
Voya Global High Dividend Low Volatility Portfolio - Class S
    
70
      
126
  
Voya Russell™ Large Cap Index Portfolio - Class S
    
150
      
129
  
Voya Russell™ Large Cap Value Index Portfolio - Class S
   
2,781
       19
 
Voya Russell™ Mid Cap Growth Index Portfolio - Class S
    
5,556
      
218
  
Voya Variable Products Trust:
                
Voya MidCap Opportunities Portfolio - Class S
    
753
      
5,658
  

VENERABLE INSURANCE AND ANNUITY COMPANY
SEPARATE ACCOUNT A
Notes to Financial Statements
 
6.
Changes in Units

The net changes in units outstanding follow:
 
   
Year ended December 31,
  
   
2021
    
2020
  
   
Units
Issued
    
Units
Redeemed
    
Net Increase
(Decrease)
    
Units
Issued
    
Units
Redeemed
    
Net Increase
(Decrease)
  
Voya Intermediate Bond Portfolio:
                                    
Voya Intermediate Bond Portfolio - Class S
    
—
      
11,397
      
(11,397
)
    
80
      
6,428
      
(6,348
)
Voya Investors Trust:
                                                
Voya Government Liquid Assets Portfolio - Service Class
    
1,644
      
1,071
      
573
      
30,002
      
31,027
      
(1,025
)
Voya High Yield Portfolio - Service Class
    
—
      
511
      
(511
)
    
17
      
684
      
(667
)
Voya Large Cap Growth Portfolio - Service Class
     93      
 3,328
      
(3,235
)
    
6,307
      
10,230
      
(3,923
)
Voya Large Cap Value Portfolio - Service Class
    
410
      
50,741
      
(50,331
)
    
275
     
9,657

    (9,382
)
Voya Limited Maturity Bond Portfolio - Service Class
    
—
      
126
      
(126
)
    
—
      
1,432
      
(1,432
)
VY® Clarion Real Estate Portfolio - Service Class
    
—
      
247
      
(247
)
    
21
     
3,222

     (3,201 )
VY® Invesco Growth and Income Portfolio - Service Class
    
209
      
1,264
      
(1,055
)
    
297
      
7,437
      
(7,140
)
VY® JPMorgan Emerging Markets Equity Portfolio - Service Class
    
783
      
1,570
      
(787
)
    
34
      
2,305
      
(2,271
)
VY® T. Rowe Price Capital Appreciation Portfolio - Service Class
    
284
      
1,372
      
(1,088
)
    
1,883
      
6,673
      
(4,790
)
VY® T. Rowe Price Equity Income Portfolio - Service Class
    
44
      
20,387
      
(20,343
)
    
1,841
      
2,464
      
(623
)
Voya Partners, Inc.:
                                                
VY® Invesco Equity and Income Portfolio - Service Class
    
—
      
3,044
      
(3,044
)
    
6,080
      
25,585
      
(19,505
)
Voya Variable Portfolios, Inc.:
                                                
Voya Global High Dividend Low Volatility Portfolio - Class S
    
 2,632
      
8,262
      
(5,630
)
    
459
      
14,821
      
(14,362
)
Voya Russell™ Large Cap Index Portfolio - Class S
    
536
      
1,985
      
(1,449
)
    
1,342
      
3,097
      
(1,755
)
Voya Russell™ Mid Cap Growth Index Portfolio - Class S
    
275,804
      
2,012
      
273,792
      
—
      
—
      
—
  
Voya Variable Products Trust:
                                                
Voya MidCap Opportunities Portfolio - Class S
    
741
      
129,382
      
(128,641
)
    
343
      
24,994
      
(24,651
)

VENERABLE INSURANCE AND ANNUITY COMPANY
SEPARATE ACCOUNT A
Notes to Financial Statements
 
7.
Financial Highlights
 
A summary of unit values, units outstanding, and net assets for life insurance Policies as of December 31, 2021, 2020, 2019, 2018, and 2017 and expense ratios, excluding expenses of underlying Funds, investment income ratios and total returns for the years ended December 31, 2021, 2020, 2019, 2018, and 2017 follows:


  
Fund Inception
DateA
    
Units
(000's)
    
Unit Fair Value
    
Net Assets (000's)
    
Investment Income
RatioB
    
Expense RatioC
    
Total ReturnD
  
Voya Intermediate Bond Portfolio - Class S
                                      
2021
    
     
57
    
$12.24
    
$703
      
2.68
%
    
1.00
%
    
(2.08
)%
2020
    
     
69
    
$12.50
    
$861
      
3.30
%
    
1.00
%
    
6.47
%
2019
    
     
75
    
$11.74
    
$883
      
3.21
%
    
1.00
%
    
8.40
%
2018
            
71
    
$10.83
    
$768
      
3.47
%
    
1.00
%
    
(1.81
)%
2017
            
87
    
$11.03
    
$963
      
3.05
%
    
1.00
%
    
3.76
%
Voya Government Liquid Assets Portfolio - Service Class
                                              
2021
            
17
    
$16.97
    
$282
      
—
%
    
1.00
%
    
(0.99
)%
2020
            
16
    
$17.14
    
$275
      
0.21
%
    
1.00
%
    
(0.75
)%
2019
            
17
    
$17.27
    
$295
      
1.67
%
    
1.00
%
    
0.76
%
2018
            
18
    
$17.14
    
$307
      
1.06
%
    
1.00
%
    
0.35
%
2017
            
26
    
$17.08
    
$447
      
—
%
    
1.00
%
    
(0.58
)%
Voya High Yield Portfolio - Service Class
                                              
2021
            
10
    
$26.54
    
$272
      
5.02
%
    
1.00
%
    
3.96
%
2020
            
11
    
$25.53
    
$275
      
5.04
%
    
1.00
%
    
4.59
%
2019
            
11
    
$24.41
    
$279
      
5.37
%
    
1.00
%
    
14.07
%
2018
            
15
    
$21.40
    
$328
      
5.32
%
    
1.00
%
    
(4.16
)%
2017
            
24
    
$22.33
    
$537
      
7.00
%
    
1.00
%
    
5.13
%
Voya Large Cap Growth Portfolio - Service Class
                                              
2021
            
116
    
$28.68
    
$3,341
      
—
%
    
1.00
%
    
18.07
%
2020
            
120
    
$24.29
    
$2,908
      
0.25
%
    
1.00
%
    
29.27
%
2019
            
124
    
$18.79
    
$2,323
      
0.42
%
    
1.00
%
    
31.12
%
2018
            
131
    
$14.33
    
$1,871
      
0.39
%
    
1.00
%
    
(2.72
)%
2017
            
151
    
$14.73
    
$2,220
      
0.39
%
    
1.00
%
    
28.09
%

VENERABLE INSURANCE AND ANNUITY COMPANY
SEPARATE ACCOUNT A
Notes to Financial Statements
 

  
Fund
Inception
DateA
    
Units
(000's)
    
Unit Fair Value
    
Net Assets
(000's)
    
Investment
Income
RatioB
    
Expense RatioC
    
Total ReturnD
  
Voya Limited Maturity Bond Portfolio - Service Class
  
2021
          
10
    
$26.22
    
$262
      
1.43
%
    
1.00
%
    
(1.17
)%
2020
  

     
10
    
$26.53
    
$269
      
2.09
%
    
1.00
%
    
2.16
%
2019
            
12
    
$25.97
    
$300
      
1.61
%
    
1.00
%
    
3.01
%
2018
            
12
    
$25.21
    
$298
      
1.46
%
    
1.00
%
    
0.08
%
2017
            
15
    
$25.19
    
$387
      
1.63
%
    
1.00
%
    
0.20
%
VY® Clarion Real Estate Portfolio - Service Class
  
2021
            
2
    
$208.98
    
$478
      
1.76
%
    
1.00
%
    
50.43
%
2020
            
3
    
$138.92
    
$352
      
1.85
%
    
1.00
%
    
(7.47
)%
2019
            
6
    
$150.14
    
$861
      
2.18
%
    
1.00
%
    
26.87
%
2018
            
6
    
$118.34
    
$738
      
2.70
%
    
1.00
%
    
(8.57
)%
2017
            
6
    
$129.43
    
$817
      
2.06
%
    
1.00
%
    
4.13
%
VY® Invesco Growth and Income Portfolio - Service Class
  
2021
            
34
    
$88.17
    
$2,997
      
1.28
%
    
1.00
%
    
27.67
%
2020
            
35
    
$69.06
    
$2,420
      
1.75
%
    
1.00
%
    
1.87
%
2019
            
42
    
$67.79
    
$2,860
      
2.47
%
    
1.00
%
    
23.48
%
2018
            
47
    
$54.90
    
$2,554
      
1.46
%
    
1.00
%
    
(14.45
)%
2017
            
50
    
$64.17
    
$3,200
      
2.00
%
    
1.00
%
    
12.76
%
VY® JPMorgan Emerging Markets Equity Portfolio - Service Class
  
2021
            
21
    
$38.32
    
$805
      
—
%
    
1.00
%
    
(10.93
)%
2020
            
22
    
$43.02
    
$938
      
0.31
%
    
1.00
%
    
32.04
%
2019
            
24
    
$32.58
    
$784
      
0.01
%
    
1.00
%
    
30.42
%
2018
            
26
    
$24.98
    
$654
      
0.66
%
    
1.00
%
    
(17.61
)%
2017
            
29
    
$30.32
    
$872
      
0.43
%
    
1.00
%
    
41.62
%
VY® T. Rowe Price Capital Appreciation Portfolio - Service Class
  
2021
            
30
    
$186.61
    
$5,543
      
0.86
%
    
1.00
%
    
17.22
%
2020
            
31
    
$159.20
    
$4,902
      
1.18
%
    
1.00
%
    
16.79
%
2019
            
36
    
$136.31
    
$4,850
      
1.50
%
    
1.00
%
    
23.11
%
2018
            
39
    
$110.72
    
$4,332
      
2.09
%
    
1.00
%
    
(0.49
)%
2017
            
44
    
$111.27
    
$4,932
      
1.13
%
    
1.00
%
    
13.95
%

VENERABLE INSURANCE AND ANNUITY COMPANY
SEPARATE ACCOUNT A
Notes to Financial Statements


 
Fund
Inception
DateA
    
Units (000's)
    
Unit Fair Value
    
Net Assets (000's)
    
Investment Income
RatioB
    
Expense RatioC
    
Total ReturnD
  
VY® Invesco Equity and Income Portfolio - Service Class
  
2021
          
135
    
$16.67
    
$2,255
      
1.23
%
    
1.00
%
    
17.39
%
2020
    
     
138
    
$14.29
    
$1,969
      
1.48
%
    
1.00
%
    
8.56
%
2019
    
     
158
    
$13.08
    
$2,065
      
1.86
%
    
1.00
%
    
18.59
%
2018
    
     
169
    
$11.03
    
$1,868
      
1.75
%
    
1.00
%
    
(10.62
)%
2017
            
183
    
$12.34
    
$2,256
      
1.69
%
    
1.00
%
    
9.59
%
Voya Global High Dividend Low Volatility Portfolio - Class S
  
2021
            
112
    
$14.86
    
$1,662
      
2.38
%
    
1.00
%
    
19.36
%
2020
            
117
    
$12.45
    
$1,463
      
2.04
%
    
1.00
%
    
(2.12
)%
2019
            
132
    
$12.72
    
$1,677
      
2.18
%
    
1.00
%
    
20.23
%
2018
            
45
    
$10.58
    
$481
      
4.59
%
    
1.00
%
    
(10.03
)%
2017
            
48
    
$11.76
    
$565
      
1.85
%
    
1.00
%
    
22.25
%
Voya Russell™ Large Cap Index Portfolio - Class S
  
2021
            
46
    
$60.12
    
$2,745
      
1.19
%
    
1.00
%
    
25.85
%
2020
            
47
    
$47.77
    
$2,251
      
1.17
%
    
1.00
%
    
20.36
%
2019
            
49
    
$39.69
    
$1,940
      
1.41
%
    
1.00
%
    
29.66
%
2018
            
51
    
$30.61
    
$1,549
      
1.43
%
    
1.00
%
    
(4.64
)%
2017
            
60
    
$32.10
    
$1,941
      
1.48
%
    
1.00
%
    
21.08
%
Voya Russell™ Large Cap Value Index Portfolio - Class S
  
2021
   10/15/2021
      
274
    
$10.44
    
$2,858
    
(a)
      
1.00
%
  
(a)
  
2020
          
(a)
    
(a)
    
(a)
    
(a)
    
(a)
    
(a)
  
2019
          
(a)
    
(a)
    
(a)
    
(a)
    
(a)
    
(a)
  
2018
          
(a)
    
(a)
    
(a)
    
(a)
    
(a)
    
(a)
  
2017
          
(a)
    
(a)
    
(a)
    
(a)
    
(a)
    
(a)
  
Voya Russell™ Mid Cap Growth Index Portfolio - Class S
  
2021
            
113
    
$62.23
    
$7,009
      
0.01
%
    
1.00
%
    
10.91
%
2020
            
29
    
$56.11
    
$1,599
      
0.15
%
    
1.00
%
    
33.15
%
2019
            
35
    
$42.14
    
$1,458
      
0.59
%
    
1.00
%
    
33.19
%
2018
            
38
    
$31.64
    
$1,201
      
0.40
%
    
1.00
%
    
(6.31
)%
2017
            
39
    
$33.77
    
$1,318
      
0.63
%
    
1.00
%
    
23.11
%

VENERABLE INSURANCE AND ANNUITY COMPANY
SEPARATE ACCOUNT A
Notes to Financial Statements
 
(a)
As investment Division had no investments until 2021, this data is not meaningful and is therefore not presented.

A
The Fund Inception Date represents the first date the fund received money.
 
B
The Investment Income Ratio represents dividends received by the Division, excluding capital gains distributions, divided by the average net assets. The recognition of investments income is determined by the timing of declaration of dividends by the underlaying fund in which the Division invests.
 
C
The Expense Ratio considers only the annualized policy expenses borne directly by the Account, excluding expenses charged through the redemption of units, and is equal to the mortality and expense and administrative charges, as defined in the Charges and Fees note.
 
D
Total Return is calculated as the change in unit value for each Contract presented in the Statements of Assets and Liabilities.


26


 











 
   
  
 
 
 
FINANCIAL STATEMENTS — STATUTORY BASIS
AND SUPPLEMENTARY INFORMATION

Venerable Insurance and Annuity Company
For the years ended December 31, 2021 and 2020
with Report of Independent Auditors
 
 

































  
 








 
VENERABLE INSURANCE AND ANNUITY COMPANY
Financial Statements — Statutory Basis
And Supplementary Information
December 31, 2021

Contents

1
   
Audited Financial Statements - Statutory Basis
   
 
4
     
 
6
     
 
7
     
 
8
     
 
9
   
Supplementary Information
   
 
72
     
 
73
     
 
76
     
 
82
     
 
83
     
 
85



Ernst & Young LLP
One Commerce Square Suite 700
2005 Market Street
Philadelphia, PA 19103
Report of Independent Auditors
 
The Board of Directors and Stockholder Venerable Insurance and Annuity Company
 
Opinion

We have audited the statutory-basis financial statements of Venerable Insurance and Annuity Company (the Company), which comprise the balance sheets as of December 31, 2021 and 2020, and the related statements of operations, changes in capital and surplus and cash flows for the years 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 2020, and the results of its operations and its cash flows for the years then ended, on the basis of accounting described in Note 1.

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 and 2020, 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 1 to the financial statements, the Company prepared these financial statements using accounting practices prescribed or permitted by the Insurance Division, Department of Commerce, of the State of Iowa, 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 1 and accounting principles generally accepted in the United States of America, although not reasonably determinable, are presumed to be material and pervasive.

Responsibilities of Management 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 Insurance Division, Department of Commerce, of the State of Iowa. 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.

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.

 
 
March 30, 2022

 VENERABLE INSURANCE AND ANNUITY COMPANY
Balance Sheets — Statutory Basis

   
December 31
  
   
2021
    
2020
  
Admitted Assets
  
(In Thousands)
  
Cash and invested assets:
            
Bonds
  
$
8,548,520
    
$
15,518,740
  
Bonds - securities loaned and pledged
    
—
      
604,079
  
Preferred stocks
    
60,491
      
117,798
  
Common stocks
    
124,195
      
12,038
  
Investment in and advances to subsidiaries
    
1,578,483
      
1,388,550
  
Mortgage loans
    
2,195,274
      
3,404,838
  
Contract loans
    
3,676
      
4,421
  
Derivatives
    
—
      
995,020
  
Other invested assets
    
670,868
      
500,406
  
Cash and short term investments
    
125,942
      
787,405
  
Total cash and invested assets
    
13,307,449
      
23,333,295
  
                 
Deferred and uncollected premiums
    
(51,233
)
    
(52,233
)
Accrued investment income
    
81,200
      
155,341
  
Reinsurance balances recoverable
    
141,219
      
134,574
  
Indebtedness from related parties
    
62,873
      
1,912
  
Federal income tax recoverable (including $0 and $0 on realized capital losses at December 31, 2021 and 2020, respectively)
    
52,149
      
—
  
Other assets
    
10,935
      
169,702
  
Separate account assets
    
25,372,984
      
25,595,175
  
Total admitted assets
  
$
38,977,576
    
$
49,337,766
  
 
The accompanying notes are an integral part of these financial statements.
 
VENERABLE INSURANCE AND ANNUITY COMPANY
Balance Sheets — Statutory Basis

   
December 31
  
   
2021
    
2020
  
   
(In Thousands, except share amounts)
  
Liabilities and Capital and Surplus
            
Liabilities:
            
Policy and contract liabilities:
            
Life and annuity reserves
  
$
10,189,551
    
$
13,338,068
  
Deposit type contracts
    
928,304
      
2,912,756
  
Policy and contract claims
    
(16,516
)
    
(8,846
)
Total policy and contract liabilities
    
11,101,339
      
16,241,978
  
                 
Interest maintenance reserve
    
118,014
      
219,150
  
Accounts payable and accrued expenses
    
9,186
      
8,942
  
Reinsurance balances
    
66,415
      
2,727,013
  
Current federal income taxes payable (including $0 and $58,363 on realized capital losses at December 31, 2021 and 2020, respectively)
    
—
      
—
  
Asset valuation reserve
    
134,248
      
392,556
  
Derivatives
    
—
      
1,241,056
  
Net transfers from separate accounts due or accrued
    
(43,227
)
    
(57,762
)
Other liabilities
    
131,413
      
283,830
  
Separate account liabilities
    
25,372,984
      
25,595,175
  
Total liabilities
    
36,890,372
      
46,651,938
  
                 
Capital and surplus:
                
Common stock: authorized 250,000 shares of $10 par value; 250,000 shares issued and outstanding
    
2,500
      
2,500
  
Special surplus funds
    
246,451
      
258,517
  
Surplus notes
    
334,879
      
350,000
  
Paid in and contributed surplus
    
1,160,463
      
1,240,463
  
Unassigned surplus
    
342,911
      
834,348
  
Total capital and surplus
    
2,087,204
      
2,685,828
  
Total liabilities and capital and surplus
  
$
38,977,576
    
$
49,337,766
  

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

VENERABLE INSURANCE AND ANNUITY COMPANY
Statements of Operations — Statutory Basis

   
Year ended December 31
  
   
2021
    
2020
  

 
(In Thousands)
  
Premiums and other revenues:
            
Life, annuity, and accident and health premiums
  
$
(4,618,622
)
  
$
3,093
  
Policy proceeds and dividends left on deposit
    
26,150
      
38,652
  
Net investment income
    
480,810
      
1,550,345
  
Amortization of interest maintenance reserve
    
(3,284
)
    
17,567
  
Commissions, expense allowances, and reserve adjustments on reinsurance ceded
    
(1,137,736
)
    
(1,098,962
)
Other revenue
    
27,809
      
10,126
  
Total premiums and other revenues
    
(5,224,873
)
    
520,821
  
                 
Benefits paid or provided:                
Annuity benefits
    
1,055,864
      
944,258
  
Surrender benefits and withdrawals
    
2,239,392
      
1,755,437
  
Interest and adjustments on contract or deposit-type funds
    
46,119
      
130,690
  
Other benefits
    
89,868
      
212,855
  
Decrease in life, annuity, and accident and health reserves
    
(3,148,513
)
    
(864,015
)
Net transfers from separate accounts
    
(3,291,212
)
    
(2,745,600
)
Total benefits paid or provided
    
(3,008,482
)
    
(566,375
)
                 
 Insurance expenses and other deductions:                
Commissions
    
148,821
      
141,143
  
General expenses
    
97,210
      
117,898
  
Insurance taxes, licenses and fees
    
3,757
      
4,096
  
Other expense (income)
    
(1,721,629
)
    
(455,071
)
Total insurance (income) expenses and other deductions
    
(1,471,841
)
    
(191,934
)
Gain (loss) from operations before federal income taxes and net realized capital losses
    
(744,550
)
    
1,279,130
  
Federal income tax expense
    
(39,431
)
    
(37,000
)
Gain (loss) from operations before net realized capital losses
    
(705,119
)
    
1,316,130
  
Net realized capital gain (loss)
    
(563,814
)
    
(1,187,348
)
Net income (loss)
  
$
(1,268,933
)
  
$
128,782
  

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

VENERABLE INSURANCE AND ANNUITY COMPANY
Statements of Changes in Capital and Surplus — Statutory Basis

   
Year ended December 31
  
   
2021
    
2020
  
   
(In Thousands)
  
Common stock:
            
Balance at beginning and end of year
  
$
2,500
    
$
2,500
  
                 
Surplus notes:
                
Balance at beginning of year
    
350,000
      
435,000
  
Surplus notes paid
    
(15,121
)
    
(85,000
)
Balance at end of year
    
334,879
      
350,000
  
                 
Paid-in and contributed surplus:
                
Balance at beginning and end of year
  
$
1,240,463
    
$
1,240,463
  
Return of capital
    
(80,000
)
    
—
  
Balance at end of year
    
1,160,463
      
1,240,463
  
                 
Special surplus funds:
                
Balance at beginning of year
    
258,517
      
270,583
  
Amortization of gain on reinsurance
    
(12,066
)
    
(12,066
)
Balance at end of year
    
246,451
      
258,517
  
                 
Unassigned surplus:
                
Balance at beginning of year
    
834,348
      
492,855
  
Net income (loss)
    
(1,268,933
)
    
128,782
  
Change in net unrealized capital gains
    
589,704
      
313,615
  
Change in nonadmitted assets
    
(517
)
    
(4,601
)
Change in reserve due to change in valuation basis
    
—
      
(9,761
)
Change in asset valuation reserve
    
258,309
      
(54,542
)
Dividends to stockholder
    
(70,000
)
    
(32,000
)
Balance at end of year
    
342,911
      
834,348
  
                 
Preferred capital stock held in treasury balance at beginning and end of year
    
—
      
—
  
Total capital and surplus
  
$
2,087,204
    
$
2,685,828
  

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

VENERABLE INSURANCE AND ANNUITY COMPANY
Statements of Cash Flows — Statutory Basis
 
   
Year ended December 31
  
   
2021
    
2020
  
   
(In Thousands)
  
Operating Activities
            
Premiums, policy proceeds, and other considerations received, net of reinsurance paid
  
$
1,329
    
$
5,108
  
Net investment income received
    
430,986
      
1,647,276
  
Commissions and expenses paid
    
2,740
      
77,552
  
Benefits paid
    
(3,258,646
)
    
(3,995,241
)
Net transfers from separate accounts
    
3,692,570
      
2,725,158
  
Miscellaneous income
    
68,762
      
88,074
  
Net cash (used in) provided by operations
    
937,741
      
547,927
  
                 
Investment Activities                
Proceeds from sales, maturities, or repayments of investments:
                
Bonds
    
4,936,089
      
5,430,299
  
Stocks
    
77,435
      
89,703
  
Mortgage loans
    
461,361
      
236,156
  
Other invested assets
    
62,982
      
36,287
  
Miscellaneous proceeds
    
(15,720
)
    
25,072
  
Total investment proceeds
    
5,522,147
      
5,817,517
  
Cost of investments acquired:
                
Bonds
    
3,558,765
      
4,893,125
  
Stocks
    
76,683
      
52,044
  
Mortgage loans
    
24,454
      
97,776
  
Other invested assets
    
503,232
      
122,497
  
Net gain (loss) on derivatives
    
—
      
1,301,071
  
Miscellaneous applications
    
531,958
      
(11,696
)
Total cost of investments acquired
    
4,695,092
      
6,454,817
  
Net decrease in contract loans
    
745
      
873
  
Net cash provided by (used in) investment activities
    
827,800
      
(636,427
)
                 
Financing and Miscellaneous Activities
                
Other cash provided (applied):
                
Surplus notes
    
(415,121
)
    
(85,000
)
Capital and paid-in surplus, less treasury stock
    
(1,329,505
)
    
—
  
Borrowed funds
    
—
      
(10,000
)
Net deposits (withdrawals) on deposit type contracts
    
(11,711
)
    
160,058
  
Dividends paid to stockholder
    
(70,000
)
    
(32,000
)
Funds withheld under reinsurance treaty
    
—
      
—
  
Other cash provided (applied)
    
(600,667
)
    
116,737
  
Net cash provided by (used in) financing and miscellaneous activities
    
(2,427,004
)
    
149,795
  
Net increase (decrease) in cash and short-term investments
    
(661,463
)
    
61,295
  
Cash and short-term investments:
                
Beginning of year
    
787,405
      
726,110
  
End of year
  
$
125,942
      
787,405
  

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

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
1.
Organization and Significant Accounting Policies
 
Venerable Insurance and Annuity Company (“VIAC” or the “Company”), is domiciled in Iowa and is a direct, wholly-owned subsidiary of Venerable Holdings, Inc. (“Venerable Holdings”), a holding company domiciled in the state of Delaware. Venerable Holdings acquired certain assets of Voya Financial, Inc., including all of the shares of the capital stock of the Company (formerly known as Voya Insurance and Annuity Company) and VIAC Services Company (“VSC”) and all of the membership interest of Directed Services LLC (“DSL”) (collectively, the “VIAC Acquisition”) on June 1, 2018.
 
Effective June 1, 2021 the Company acquired 100% of the issued and outstanding capital stock of Corporate Solutions Life Reinsurance Company (“CSLR”), an insurance company domiciled in the State of Delaware, from Equitable Holdings, Inc., a corporation organized under the laws of the State of Delaware, as seller (the “CSLR Acquisition”). For Federal income tax purposes, the parties elected to treat the CSLR Acquisition as an asset sale and purchase by making the election under Internal Revenue Code section 338(h)(10). See Note 10 Income Taxes, for additional information. In connection with the closing of the CSLR Acquisition, CSLR assumed certain variable annuity contracts of Equitable Financial Life Insurance Company, a New York-domiciled insurance company, through a reinsurance agreement. Additionally, in connection with the closing of the CSLR Acquisition, the Company recaptured the deferred variable annuity business previously reinsured to Rocky Range, Inc., its Arizona pure captive reinsurer, effective June 1, 2021. The Company entered into a reinsurance agreement with CSLR, its wholly-owned subsidiary, under which the Company cedes its deferred variable annuity business and payout annuity business to CSLR, effective June 1, 2021.
 
On November 15, 2021, CSLR, the Company’s subsidiary, entered into a Principal Transaction Agreement by and among CSLR, John Hancock Life Insurance Company (USA), an insurance company domiciled in Michigan (“John Hancock”), and Venerable Holdings, pursuant to which CSLR agreed to reinsure certain variable annuity contracts from John Hancock through a reinsurance agreement, with John Hancock retaining administration of such reinsured contracts (the “JHUSA Transaction”). CSLR is the reinsurer in this transaction, and, other than Venerable Holdings, CSLR, and John Hancock, no other legal entities are involved in this transaction, including the Company. The JHUSA Transaction closed and the reinsurance agreement became effective on February 1, 2022.

Description of Business

The Company historically offered various insurance products including immediate and deferred variable and fixed annuities, fixed indexed annuities, traditional life insurance, supplemental contracts consisting of life insurance proceeds and payout annuities for pre-retirement wealth accumulation and post-retirement income management. The Company ceased the issuance of new fixed and indexed annuity products in 2018, ceased the issuance of new variable annuity products in 2010, and ceased the issuance of new life insurance policies in 2001, placing them in run-off. New amounts may continue to be deposited as add-on premiums to certain existing contracts. The Company has a significant concentration of reinsurance. See, “Reinsurance” in the Notes to Financial Statements for further discussion of the Company’s reinsurance arrangements.
 
Use of Estimates

The preparation of the financial statements of the Company requires management to make estimates and assumptions that affect amounts reported in the financial statements and accompanying notes. Such estimates and assumptions could change in the future as more information becomes known, which could impact the amounts reported and disclosed herein.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
Recently Adopted Accounting Principles

Effective January 1, 2020, the Company elected to adopt in full, a change in reserve valuation basis as described in Statements of Statutory Accounting Principles (“SSAP”) No. 51R - Life Contracts (“SSAP No. 51R”) for its variable annuity reserves. This change in valuation basis impacts annuities reserves written from 1981 to 2019 under the revisions to the Commissioners Annuity Reserve Valuation Method (“CARVM”) adopted in Valuation Manual Requirements for Principle-Based Reserves for Variable Annuities (“VM-21”), and Actuarial Guideline 43 CARVM for variable annuities (“AG43”). The amount of full adoption as of the effective date was
 
$9.8, and was recognized in unassigned funds.
 
Correction of Errors

The Company does not have any correction of errors to disclose as of December 31, 2021.
 
Unusual or Infrequent Events

On January 30, 2020, the World Health Organization (“WHO”) declared that the coronavirus disease 2019 (“COVID-19”) outbreak was a global health emergency. On March 11, 2020, the WHO raised the COVID-19 outbreak to “pandemic” status. Between that time and the issuance of these financial statements, many cities, states, and countries issued and revised shelter in place orders requesting or requiring citizens to remain at home. These orders also included restrictions on travel, closures of businesses, and restrictions on those businesses allowed to remain open. Many of these orders remain in place as of the financial statement issuance date. To date, more than 900,000 Americans and more than five million people globally have died from COVID-19. The Company can experience losses resulting from the payment of greater than anticipated death benefits as a result of an increase in the national mortality rate from events such as COVID-19. Additionally, the Company can experience losses in its investment portfolio as a result of volatile markets. Though volatility has persisted in financial markets since March 2020, the major stock indices all trade significantly higher as of the financial statement issuance date compared with pre-COVID-19 levels. Market recovery is largely attributable to unprecedented fiscal stimulus including emergency relief from the United States federal government in excess of $3 trillion to date, and anticipation for additional fiscal stimulus as proposed by the Biden administration. Through the issuance of these financial statements, COVID-19 has not resulted in a material adverse impact to the Company’s financial statements. The extent of any future impact of the COVID-19 pandemic on the Company’s business and its financial and operational performance will depend on future developments, including (i) the duration, spread, severity, and any recurrence of the COVID-19 pandemic, including through any new variant strains of the underlying virus; (ii) the effectiveness and availability of vaccines; (iii) the duration and scope of related federal, state, and local government orders and restrictions; and (iv) the impact of the COVID-19 pandemic on financial markets, all of which are highly uncertain and cannot be predicted.

Basis of Presentation
 
The accompanying financial statements of the Company have been prepared in conformity with accounting practices prescribed or permitted by the Iowa Insurance Division, which practices differ from United States Generally Accepted Accounting Principles (“U.S. GAAP”). The more significant variances from U.S. GAAP are:
 
Investments: Investments in bonds and mandatorily redeemable preferred stocks are reported at amortized cost or fair value based on a rating assigned by the National Association of Insurance Commissioners (“NAIC”).
 
The Company periodically reviews the value of its investments in bonds and mandatorily redeemable preferred stocks. If the fair value of any investment falls below its cost basis, the decline is analyzed to determine whether it is an other-than-temporary decline. To make this determination for each security, the following are some of the factors considered:

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)


 •
The length of time and the extent to which the fair value has been below cost.

•
The financial condition and near-term prospects of the issuer of the security, including any specific events that may affect its operations or earnings potential.

•
The Company’s intent to sell the security prior to its maturity at an amount below its carrying value.

•
The Company’s intent and ability to hold the security long enough for it to recover its cost.
 
Based on the analysis, the Company makes a judgment as to whether the decline in fair value is other-than-temporary. When an other-than-temporary impairment (“OTTI”) is recorded because there is intent to sell or the Company does not have the intent and ability to hold the security for a period of time sufficient to recover the amortized cost basis, the security is written down to fair value. The interest related OTTI is deferred through the interest maintenance reserve (“IMR”) and the non-interest related OTTI is included in the asset valuation reserve (“AVR”) in the period that the OTTI is considered to have occurred as prescribed by the NAIC. Losses resulting from OTTI charges, net of transfers to IMR, are recorded within net realized capital gains (losses) in the statements of operations.

The Company invests in structured securities, including mortgage backed securities/collateralized mortgage obligations, asset backed securities, collateralized debt obligations, and commercial mortgage backed securities. Structured securities are reported at amortized cost or fair value based on a rating assigned by the NAIC. They are amortized using the interest method over the period which repayment of principal is expected to occur. For structured securities in unrealized loss positions, the Company determines whether it has the intent to sell or the intent and ability to hold the security for a period of time sufficient to recover the amortized cost.
 
Net realized gains and losses on disposed investments are reported in the statements of operations, net of federal income tax and transfers to the IMR.

Under U.S. GAAP, fixed maturities are designated at purchase as held to maturity, trading or available-for-sale, except for those accounted for using the fair value option (“FVO”). Held to maturity investments are reported at amortized cost and the remaining fixed maturity investments are reported at fair value. For those designated as trading, changes in fair value are reported in the statements of operations. Available-for-sale securities are reported at fair value with changes in fair value reported as a separate component of other comprehensive income (loss) in shareholder’s equity. Using the FVO, securities are reported at fair value with changes in fair value reported in the statements of operations.
 
When an intent impairment is determined, the individual security is written down from amortized cost to fair value, and a corresponding charge is recorded in net realized capital gains (losses) in the statements of operations as an OTTI. If the Company does not intend to sell the security, the Company determines whether or not it has intent and ability to retain the investment in the security for a period of time sufficient to recover the amortized cost basis. If the Company does not have the intent and ability to retain the investment for the time sufficient to recover the amortized cost basis , an OTTI should be considered to have occurred.
 
Asset Valuation Reserves: The AVR is intended to establish a reserve to offset potential credit related investment losses on most invested asset categories. AVR is determined by a NAIC prescribed formula and is reported as a liability rather than as a valuation allowance or an appropriation of surplus. The change in AVR is reported directly to unassigned surplus. AVR is not applicable under U.S. GAAP.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
Interest Maintenance Reserve: Under a formula prescribed by the NAIC, the Company defers the portion of realized gains and losses on sales of fixed income investments, principally bonds, derivatives and mortgage loans, attributable to changes in the general level of interest rates and amortizes those deferrals over the remaining period to maturity based on groupings of individual securities sold in five year bands. The Company reports the net deferral of IMR as a liability on the accompanying balance sheets. When the net deferral of IMR is negative, the amount is reported as a component of other assets and nonadmitted. IMR is not applicable under U.S. GAAP.
 
Cash and Short-term Investments: Cash and short-term investments represent cash balances, demand deposits and short-term fixed maturity investments with initial maturities of one year or less at the date of acquisition.
 
Under U.S. GAAP, the corresponding caption of cash and cash equivalents includes cash on hand, amounts due from banks and other highly liquid investments, such as money market instruments and debt instruments with maturities of three months or less at the time of purchase. Short-term investments include investments with remaining maturities of one year or less, but greater than three months, at the time of purchase.
 
Derivatives: The Company follows the hedge accounting guidance in SSAP No. 86, Derivatives (“SSAP No. 86”) for derivative transactions. Under SSAP No. 86, derivatives that are deemed effective hedges are accounted for entirely in a manner which is consistent with the underlying hedged item. Derivatives used in hedging transactions that do not meet the requirements of SSAP No. 86 as an effective hedge are carried at fair value with the change in value recorded in surplus as unrealized gains or losses. The Company has deemed that none of its derivatives meet the requirements for an effective hedge.
 
Under U.S. GAAP, the Company recognizes derivatives at fair value with the change in value recorded in earnings as realized gain or loss, consistent with requirements for ineffective hedges. Similar to SSAP No. 86,
 
U.S. GAAP allows separation of effective and ineffective hedges; however, the Company does not consider any of its hedges effective for U.S. GAAP.

Mortgage Loans: Mortgage loans are reported at amortized cost, less write downs for impairments. If the value of any mortgage loan is determined to be impaired (i.e., when it is probable that the Company will be unable to collect all amounts due according to the contractual terms of the loan agreement), the carrying value of the mortgage loan is reduced to the lesser of either the present value of expected cash flows from the loan, discounted at the loan’s original purchase yield or fair value of the collateral. For those mortgages that are determined to require foreclosure, the carrying value is reduced to the fair value of the underlying collateral, net of estimated costs to obtain and sell at the point of foreclosure. The carrying value of the impaired loans is reduced by establishing a permanent write-down recorded in net realized capital gains (losses).
 
Under U.S. GAAP, the Company recognizes mortgage loans at fair value with unrealized gain or loss recorded in surplus.
 
Deferred Income Taxes: Deferred tax assets and liabilities represent the future tax recoveries or obligations associated with the accumulation of temporary differences between the tax and financial statement bases of the Company’s assets and liabilities. Deferred tax assets are provided for and admitted to an amount determined under a standard formula in accordance with SSAP No. 101, Income Taxes (“SSAP No. 101”). A valuation allowance is required if based on the available evidence, it is more likely than not (a likelihood of more than 50 percent) that some portion or all of the gross deferred tax assets will not be realized. This assessment is determined on a separate reporting entity basis.
 
After reduction for any valuation allowance, the Company follows the admissibility formula prescribed under SSAP No. 101. These provisions limit the amount of gross deferred tax assets that can be admitted to surplus to those for which ultimate recoverability can be demonstrated. This limitation is based on availability of taxes paid in prior years that could be recovered through carrybacks, the expected timing of reversals for accumulated temporary differences over the next three years to offset future taxes, surplus limits, and the amount of gross deferred tax liabilities available for offset. Any deferred tax assets not covered under the formula are nonadmitted.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
SSAP No. 101 requires all changes in deferred tax balances to be included as surplus adjustments; under U.S. GAAP, however, most changes in deferred tax balances are recorded in the income statement as a component of the total income tax provision.

U.S. GAAP also requires that deferred taxes be included for all jurisdictions that determine taxes based on income. Thus deferred state income taxes must be recorded under U.S. GAAP. SSAP No. 101, however, specifically prohibits establishing deferred state income tax assets and liabilities.
 
Premiums: Life premiums are recognized as revenue when due. Premiums for annuity policies with mortality and morbidity risk, except for guaranteed interest and group annuity contracts, are also recognized as revenue when due. Premiums received for annuity policies without mortality or morbidity risk and for guaranteed interest and group annuity contracts are recorded using deposit accounting.
 
Under U.S. GAAP, premiums related to traditional life insurance contracts and payout contracts with life contingencies are recognized as revenue when due. Amounts received for investment-type, universal life-type, fixed annuities, payout contracts without life contingencies and fixed-indexed annuity contracts are reported as deposits to contract owner account balances. Revenues from these contracts consist primarily of fees assessed against the contract owner account balance for mortality and policy administration charges.

Benefits Paid or Provided: Benefits incurred for universal life and annuity policies represent the total of death benefits paid and the change in policy reserves.
 
Under U.S. GAAP, benefits and expenses for investment-type, universal life-type, fixed annuities, payout contracts without life contingencies and fixed-indexed annuity contracts include claims in excess of related account balances, expenses of contract administration and interest credited to contract owner account balances.
 
Benefit and Contract Reserves: Life policy and contract reserves under Statutory accounting practices are calculated based upon both the net level premium method and Commissioners’ Reserve Valuation method (“CRVM”) using statutory rates for mortality and interest. Annuity policy and contract reserves under statutory accounting practices are calculated based upon the Commissioners’ Annuity Reserve Valuation method (“CARVM”) using statutory rates for mortality and interest.

Under U.S. GAAP policy reserves for traditional products are based upon the net level premium method utilizing best estimates of mortality, interest, and withdrawals prevailing when the policies were sold. For interest sensitive products, the U.S. GAAP policy reserve is equal to the policy fund balance plus an unearned revenue reserve which reflects the unamortized balance of early year policy loads over renewal year policy loads.
 
Reinsurance: Policy and contract liabilities ceded to reinsurers have been reported as reductions of the related reserves. Commissions allowed by reinsurers on business ceded are reported as income when received. Losses generated in certain reinsurance transactions are recognized immediately in income, with gains reported as a separate component of surplus and amortized over the remaining life of the business. For business ceded to unauthorized reinsurers, statutory accounting practices require that reinsurance credits permitted by the treaty be recorded as an offsetting liability and charged against unassigned surplus.
 
Under U.S. GAAP, ceded future policy benefits and contract owner liabilities are reported gross on the balance sheets. Only those reinsurance recoverable balances deemed probable of recovery are reflected as assets on the balance sheets and are stated net of allowances for uncollectible reinsurance, which are charged to earnings.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
Gains and losses on reinsurance, including commission and expense allowances, are deferred and amortized over the remaining life of the business.
 
Nonadmitted Assets: Certain assets designated as “nonadmitted,” principally past due agents’ balances and commission advances, and other assets not specifically identified as an admitted asset within the NAIC Accounting Practices and Procedures Manual, are excluded from the accompanying balance sheets and are charged directly to unassigned surplus. In addition, non-admitted assets include deferred tax assets that are not admissible under SSAP No. 101. See Deferred Income Taxes above.
 
Under U.S. GAAP, all assets are included in the balance sheets.
 
Policyholder Dividends: Policyholder dividends are recognized when declared.
 
Under U.S. GAAP, dividends allocable to participating contract owners are based on published dividend projections or expected dividend scales.
 
Surplus Notes: Surplus notes issued are reported as a component of surplus on the balance sheets. Under statutory accounting practices, no interest expense is recorded on the surplus notes until payment has been approved by the Iowa Insurance Division.
 
Under U.S. GAAP, surplus notes are reported as long-term debt, and the related interest is reported as a charge to earnings over the term of the notes.
 
Separate Accounts: The assets and liabilities of the separate accounts are carried at fair value, and the reserves are calculated based upon the CARVM.
 
Under U.S. GAAP, separate account assets supporting variable options under variable annuity contracts are equal to cumulative deposits, less charges and withdrawals, plus interest credited thereon. The Market Value Adjustment (“MVA”) and Collared Annuity Product (“CAP”) separate accounts do not qualify as separate accounts and are reported as assets and liabilities of the Company’s general account. Reserves for individual and group deferred annuity contracts are equal to cumulative deposits, less charges and withdrawals, net of adjustments for investment experience that the Company is entitled to reflect in future credit interest.
 
Reconciliation to U.S. GAAP: The effects of the preceding variances from U.S. GAAP on the accompanying statutory basis financial statements have not been determined, but are presumed to be material.

Significant accounting practices are as follows:

Investments: Investments are stated at values prescribed by the NAIC, as follows:
 
Bonds not backed by other loans are stated at either amortized cost using the interest method or the lower of cost or fair value.

Loan-backed securities are stated at either amortized cost or fair market value. Amortized cost is determined using the interest method and includes anticipated prepayments. The retrospective adjustment method is used to determine the amortized cost for the majority of loan–backed and structured securities. For certain securities, the prospective adjustment methodology is utilized, including interest-only securities and securities that have experienced an other-than-temporary impairment (“OTTI”).
 
Preferred stocks are stated in accordance with SSAP No. 32, Preferred Stock.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
Common stocks are stated at fair market value. Federal Home Loan Bank (“FHLB”) common stock is priced at par value.

Short-term investments are stated at amortized cost.
 
Residual collateralized mortgage obligations, which are included in other invested assets on the balance sheets, are reported at amortized cost using the effective interest method.

Surplus notes acquired, which are included in other invested assets on the balance sheets, are reported at amortized cost using the effective interest method.
 
Realized capital gains and losses are generally determined using the first in first out method.
 
Derivative Instruments
 
As a result of the CSLR Acquisition and the concurrent reinsurance transactions, the Company transferred its derivative instruments to its wholly-owned subsidiary, CSLR, effective June 1, 2021. The Company’s use of derivative instruments for the period ended May 31, 2021 and as of December 31, 2020 is described below.
 
The Company entered into various derivative transactions to reduce and manage the risk of a change in value, yield, price, cash flow or quantity of, or a degree of exposure with respect to assets, liabilities, or future cash flows which the Company had acquired or incurred. The Company entered into credit default swaps to replicate the investment characteristics of permissible investments using the derivative in conjunction with other investments. The replication (synthetic asset) and the derivative and other cash instrument were carried at amortized cost. The replication practices were in accordance with SSAP No. 86 hedge accounting practices. The Company also entered into interest rate swaps to manage the interest rate exposure of certain mortgage backed related securities. These interest rate swaps were designated as cash flow hedges in accordance with SSAP No.
 
86 hedge accounting practices and were carried at amortized cost. The Company did not receive hedge accounting treatment for any other derivative transactions.

The Company entered into the following types of derivatives:
 
Credit Contracts:
 
Credit default swaps: Credit default swaps were used to reduce credit loss exposure with respect to certain assets that the Company owns, or to assume credit exposure on certain assets that the Company does not own. Payments were made to or received from the counterparty at specified intervals. In the event of a default on the underlying credit exposure, the Company either received a payment (purchased credit protection) or were required to make a payment (sold credit protection) equal to the par minus recovery value of the swap contract. The Company utilized these contracts in replication relationships for sold credit protection and non-qualifying relationships for purchased credit protection.
 
Equity Contracts:
 
Futures: Futures contracts were used to hedge against a decrease in certain equity indices. Such decreases may have resulted in a decrease in variable annuity account values which would have increased the possibility of the Company incurring an expense for guaranteed benefits in excess of account values. The Company entered into exchange traded futures with regulated futures commissions that were members of the exchange. The Company also posted initial and variation margins, with the exchange, on a daily basis.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
Options: The Company used options to manage the equity and equity volatility risk of the economic liabilities associated with certain variable annuity minimum guaranteed benefits. The Company may have paid or received upfront premium to enter into these options. The Company utilized these options in non-qualifying hedging relationships.
 
Total return swaps: The Company used total return swaps as a hedge against a decrease in variable annuity account values, which were invested in funds holding equity instruments. Using total return swaps, the Company agreed with another party to exchange, at specified intervals or maturity, the difference between the economic performance of assets or a market index and a funding amount, calculated by reference to an agreed upon notional principal amount. No cash was exchanged at the onset of the contracts. Cash was paid and received over the life of the contract based upon the terms of the swaps. The Company utilizes these contracts in non-qualifying hedging relationships.
 
Variance swaps: The Company used variance swaps to manage equity volatility risk on the economic liabilities associated with certain minimum guaranteed living benefits. An increase in the equity volatility may have resulted in a higher valuation of such liabilities and may also have prospectively increased the cost of hedging equity risk with options. In an equity variance swap, the Company agreed with another party to exchange amounts in the future, based on the changes in equity volatility over a defined period. The Company utilized equity variance swaps in non-qualifying hedging relationships.
 
Foreign Exchange Contracts:
 
Foreign exchange swaps: The Company used foreign exchange or currency swaps to reduce the risk of change in the value, yield or cash flows associated with certain foreign denominated invested assets. Foreign exchange swaps represented contracts that require the exchange of foreign currency cash flows against U.S. dollar cash flows at regular periods, typically quarterly or semi-annually. The Company utilized these contracts in non-qualifying hedging relationships.
 
Currency forwards: The Company utilized currency forward contracts to hedge currency exposure related to its invested assets. The Company utilized these contracts in non-qualifying hedging relationships.

Interest Rate Contracts:
 
Interest rate swaps: Interest rate swaps were used by the Company primarily to reduce market risks from changes in interest rates and to alter interest rate exposure arising from mismatches between assets and/or liabilities and to hedge the interest rate exposure associated with certain variable annuity minimum guaranteed benefits. Interest rate swaps were also used to hedge the interest rate risk associated with the value of assets it owns or in an anticipation of acquiring them. Using interest rate swaps, the Company agreed with another party to exchange, at specified intervals, the difference between fixed rate and floating rate interest payments, calculated by reference to an agreed upon notional principal amount. These transactions were entered into pursuant to master agreements that provide for a single net payment to be made to/from the counterparty at each due date. The Company utilized these contracts in qualifying hedging relationships as well as non-qualifying hedging relationships.

Swaptions: A swaption is an option to enter into a swap with a forward starting effective date. The Company used swaptions to hedge the interest rate exposure associated with certain variable annuity minimum guaranteed benefits. The Company paid or received a premium when it purchased the swaption. The Company utilized these contracts in non-qualifying hedging relationships.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
Total return swaps: The Company used total return swaps to hedge the interest rate exposure associated with certain variable annuity minimum guaranteed benefits. Using total return swaps, the Company agreed with another party to exchange, at specified intervals or maturity, the difference between the economic performance of assets or a market index and a funding amount, calculated by reference to an agreed upon notional principal amount. No cash was exchanged at the onset of the contracts. Cash was paid and received over the life of the contract based upon the terms of the swaps. The Company utilized these contracts in non-qualifying hedging relationships.
 
Futures: The Company used interest rate futures contracts to hedge interest rate risks associated with certain variable annuity minimum guaranteed benefits and CMO-B portfolio. Changes in the general level of interest rates could result in the potential for adverse changes in the portfolio and/or certain variable annuity minimum guaranteed benefits. The Company entered into exchange traded futures with regulated futures commissions that were members of the exchange. The Company also posted initial and variation margins, with the exchange, on a daily basis. The Company utilized exchange-traded futures in non-qualifying hedging relationships.
 
Interest rate caps and floors: The Company used interest rate cap contracts to hedge the interest rate exposure arising from duration mismatches between assets and liabilities. Interest rate caps were also used to hedge interest rate exposure if rates rise above a specified level. The Company used interest rate floor contracts to hedge interest rate exposure if rates decreased below a specified level. The Company paid an upfront premium for these caps and floors. The Company utilized these contracts in non-qualifying hedging relationships.
 
Other Accounting Practices
 
Contract Loans: Contract Loans are reported at unpaid principal balances but not in excess of the cash surrender value.

Aggregate Reserve for Life Policies and Contracts: Life, annuity, and accident and health reserves are developed by actuarial methods and are determined based on published tables using statutorily specified interest rates and valuation methods that will provide, in the aggregate, reserves that are greater than or equal to the minimum or guaranteed policy cash value or the amounts required by law. Interest rates ranged from 1.00% to 13.25% for 2021.
 
The Company waives deduction of deferred fractional premiums upon the death, the larger of the variable insurance amount or the amount of the death benefits as of the prior processing date plus the amount of any subsequent additional premium payments minus withdrawals. Surrender values are not promised in excess of the legally computed reserves.

The methods used in valuation of substandard policies are as follows:

For life, endowment and term policies issued substandard, the standard reserve during the premium paying period is increased by 50% of the gross annual extra premium. Standard reserves are held on Paid-Up Limited Pay contracts.
 
For reinsurance accepted with table rating, the reserve established is a multiple of the standard reserve corresponding to the table rating.

For reinsurance with flat extra premiums, the standard reserve is increased by 50% of the flat extra.
 
The amount of insurance in force for which the gross premiums are less than the net premiums, according to the standard of valuation required by the Iowa Insurance Division, is $17.3 and $59.3 at December 31, 2021 and 2020, respectively. Reserves to cover the above insurance were immaterial at December 31, 2021 and 2020, respectively.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
The tabular interest has been determined from the basic data for the calculation of policy reserves for all direct ordinary life insurance and for the portion of group life insurance. The method of determination of tabular interest of funds not involving life contingencies is as follows: current year reserves, plus payments, less prior year reserves, less funds added.
 
Reinsurance: Reinsurance premiums, commissions, expense reimbursements, and reserves related to reinsured business are accounted for on a basis consistent with those used in accounting for the original policies issued and the terms of the reinsurance contracts. Reserves are based on the terms of the reinsurance contracts and are consistent with the risks assumed. Premiums and benefits ceded to other companies have been reported as a reduction of premium revenue and benefits expense. Amounts applicable to reinsurance ceded for reserves and unpaid claim liabilities have been reported as reductions of these items, and expense allowances received in connection with reinsurance ceded have been reflected in operations. The Company establishes a receivable for amounts due from reinsurers for claims paid and other amounts recoverable under the terms of the reinsurance contracts.
 
Participating Insurance: Participating business approximates less than 18% of the Company’s life insurance in force. For the year ended December 31, 2021, premiums on participating policies were $4.8, or less than 31% of premium income, as compared to $5.1, or less than 31% of premium income in 2020. The amount of dividends to be paid to participating policyholders is determined annually by the Board of Directors. Amounts allocable to participating policyholders are based on published dividend projections or expected dividend scales. Dividends expense of $6.8 was incurred in 2021, as compared to $7.1 in 2020. In connection with the VIAC Acquisition described in Note 1, all of the participating business and related results are 100% ceded to ReliaStar Life Insurance Company, (“RLI”), a subsidiary of Voya Financial, Inc.
 
Benefit Plans: VIAC Services Company (“VSC”) created and sponsors the Venerable 401(k) Savings Plan (“Venerable Savings Plan”), which is a tax qualified defined contribution plan for substantially all its employees. The Company’s workforce in its entirety is directly employed by VSC and not by the Company itself, and amounts are allocated to the Company for this contributory retirement plan.
 
Nonadmitted Assets: Nonadmitted assets are summarized as follows:
 
   
December 31
  
   
2021
    
2020
  
   
(In Thousands)
  
Healthcare and other amounts receivable
    
8,561
      
7,306
  
Other
    
4,044
      
4,782
  
Total nonadmitted assets
  
$
12,605
    
$
12,088
  
 
Changes in nonadmitted assets are generally reported directly in unassigned surplus as an increase or decrease in nonadmitted assets.

Claims and Claims Adjustment Expenses: Claims expenses represent the estimated ultimate net cost of all reported and unreported claims incurred through December 31, 2021. The Company does not discount claims and claims adjustment expense reserves. Such estimates are based on actuarial projections applied to historical claim payment data. Such liabilities are considered to be reasonable and adequate to discharge the Company’s obligations for claims incurred but unpaid as of December 31, 2021.
 
Guaranteed Benefits: For variable annuity guarantees, Valuation Manual 21 - Requirements for Principle-Based Reserves for Variable Annuities (“VM-21”) is followed. This guideline interprets how to apply the CARVM. The result under the average of the most severe 30% randomly generated stochastic scenarios is held as the reserve. Additionally, two sets of assumptions are used, and the reserve is based on the greater of the two.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
The first is the “Standard Projection”, which largely uses a prescribed set of assumptions, and the second uses Company prudent best estimate assumptions. Both reinsurance and hedging are also reflected. Taxes are not incorporated. For the stochastic scenarios, equity market returns must meet a calibration test.
 
Separate Accounts: Most separate account assets and liabilities held by the Company represent funds held for the benefit of the Company’s variable life and annuity policy and contract holders who bear all of the investment risk associated with the policies. Such policies are of a non-guaranteed nature. All net investment experience, positive or negative, is attributed to the policy and contract holders’ account values. The assets and liabilities of these accounts, excluding the Market Value Adjustment Separate Account (“MVA”), are carried at fair value and are legally segregated and are not subject to claims that arise out of any other business of the Company. There are no product classification differences between statutory accounting practices and U.S. GAAP. (See Note 3 for details related the Company’s prescribed practices related to the MVA.)

2.
Business Combinations and Goodwill
 
The Company purchased 100% of the issued and outstanding capital stock of CSLR on June 1, 2021. CSLR is a reinsurance company authorized to operate in 49 states and the District of Columbia, and primarily reinsures variable annuity guaranteed minimum death benefit (“GMDB”), guaranteed minimum withdrawal benefit (“GMWB”) and guaranteed minimum income benefit (“GMIB”) riders.

The transaction was accounted for as a statutory purchase under SSAP No. 68, Business Combinations and Goodwill (“SSAP No. 68”). Goodwill represents the excess of what the Company paid to acquire CSLR over the fair value of CSLR’s net assets at the acquisition date. The Company has elected to amortize goodwill into surplus over ten years in accordance with SSAP No. 68. On a quarterly basis, the Company compares goodwill to VIAC’s total surplus to determine if any goodwill should be non-admitted in compliance with SSAP No. 68’s non-admission requirement for goodwill in excess of 10% of the acquiring company’s surplus. The table below reflects goodwill at the acquisition date and as of December 31, 2021:
 
1
    
2
    
3
    
4
    
5
  
Purchased entity
    
Acquisition date
    
Cost of acquired
entity
    
Original amount of
goodwill
    
Original amount of
admitted goodwill
  
   


 

(In Thousands)


 
CSLR
    
06/01/2021
    
$
215,580
    
$
121,269
    
$
121,269
  
                           
1
    
6
    
7
    
8
    
9
  
Purchased entity
    
Admitted goodwill as
of the reporting date
    
Amount of goodwill
amortized during the
reporting period
    
Book Value of SCA
    
Admitted goodwill as a
% of SCA BACV, gross
of admitted goodwill
Col. 6/Col. 8
  
               
(In Thousands)
          
CSLR
    
$
114,195
    
$
7,074
    
$
1,692,428
      
6.7
%

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
The subcomponents and calculation of adjusted surplus and total admitted goodwill as of December 31, 2021 is as follows:


  
Calculation of
Limitation Using Prior
Current Quarter Numbers
Current Reporting
Period
  
    (In Thousands)  
(1) Capital & Surplus
    
2,099,011
     XXX
 
Less:
                
(2) Admitted Positive Goodwill
    
117,227
    
XXX
  
(3) Admitted EDP Equipment & Operating System Software
    
—
    
XXX
  
(4) Admitted Net Deferred Taxes
    
—
    
XXX
  
(5) Adjusted Capital and Surplus
    
1,981,784
    
XXX
  
(6) Limitation on amount of goodwill (adjusted capital and surplus times 10% goodwill limitation)
    
198,178
    
XXX
  
(7) Current period reported Admitted Goodwill
     XXX      
114,195
  
(8)  Current Period Admitted Goodwill as a % of prior period Adjusted Capital and Surplus
     XXX      
5.8
%
 
3.
Permitted and Prescribed Statutory Basis Accounting Practices
 
The financial statements of the Company are presented on the basis of accounting practices prescribed or permitted by the Iowa Insurance Division. The Iowa Insurance Division recognizes only statutory accounting practices prescribed or permitted by the State of Iowa for determining and reporting the financial condition and results of operations of an insurance company and for determining its solvency under the Iowa Insurance Law. The NAIC Accounting Practices and Procedures Manual has been adopted as a component of prescribed practices by the State of Iowa. The Commissioner of the Iowa Insurance Division (“Commissioner”) has the right to permit other specific practices that deviate from prescribed practices.
 
The Company is required to identify those significant accounting practices that are permitted or prescribed, and obtain written approval of the practices from the Iowa Insurance Division.

For the years ended December 31, 2021 and 2020, the Company had no such permitted accounting practices. For information on the permitted accounting practices of the Company’s wholly-owned subsidiary, Rocky Range, Inc. (“Rocky Range”), see “Reinsurance” in the Notes to Financial Statements.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
MVA Prescribed Practice
The Company, with the explicit permission of the Commissioner, carries the assets of the Market Value Adjustment Separate Account (“MVA”) at amortized cost instead of fair value as required by SSAP No. 56, Separate Accounts (“SSAP No. 56”). The impact to the Company’s capital and surplus as a result of this prescribed practice was a decrease of $10.4 as of December 31, 2021 and a decrease of $11.4 as of December 31, 2020. The Company’s net loss was increased by $1.0 for the year ended December 31, 2021 and net income was increased by $3.4 for the year ended December 31, 2020 as a result of the prescribed practice. The Company’s risk-based capital would not have triggered a regulatory event had the Company not used this prescribed practice.
 
Quasi-Reorganization Permitted Practice
On May 8, 2013, the Company, with the permission of the Commissioner, restated the gross paid-in and contributed surplus and the unassigned funds components of surplus, as of December 31, 2012, similar to the restatement of surplus that occurs pursuant to the prescribed accounting guidance for a quasi-reorganization under SSAP No. 72, Surplus and Quasi-Reorganizations (“SSAP No. 72”). The restatement resulted in a decrease to gross paid-in and contributed surplus and an increase in unassigned surplus of $1,659.0. This permitted practice had no impact on net income, total capital and surplus or risk-based capital.
 
The Company’s risk-based capital would not have triggered a regulatory event had the Company not used any of these prescribed practices.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
4.
Investments
 
Bonds and Equity Securities

The cost or amortized cost and fair value of bonds and equity securities are as follows:

   
Cost or
Amortized
Cost
    
Gross
Unrealized
Gains
    
Gross
Unrealized
Losses
    
Fair Value
  
   
(In Thousands)
  
At December 31, 2021                                
U.S. Treasury securities and obligations of U.S. government corporations and agencies
  
$
9,777
    
$
2
    
$
60
    
$
9,719
  
States, municipalities, and political subdivisions
    
120,159
      
12,312
      
6
      
132,464
  
Foreign other (par value - $2,800,402)
    
2,806,407
      
135,789
      
8,534
      
2,933,662
  
Foreign government (par value - $100,761)
    
108,247
      
5,974
      
1,026
      
113,196
  
Corporate securities
    
3,989,348
      
370,165
      
8,694
      
4,350,818
  
Residential mortgage backed securities
    
165,602
      
22,939
      
100
      
188,442
  
Commercial mortgage backed securities
    
188,665
      
5,347
      
3,095
      
190,917
  
Other asset backed securities
    
1,160,058
      
22,847
      
7,753
      
1,175,151
  
Total bonds
    
8,548,263
      
575,375
      
29,268
      
9,094,369
  
Preferred stocks
    
59,759
      
1,983
      
839
      
60,903
  
Common stocks
    
10,000
      
—
      
—
      
10,000
  
Total equity securities
    
69,759
      
1,983
      
839
      
70,903
  
Total
  
$
8,618,022
    
$
577,358
    
$
30,107
    
$
9,165,272
  
                                 
At December 31, 2020
                                
U.S. Treasury securities and obligations of U.S. government corporations and agencies
  
$
1,105,007
    
$
82,255
    
$
15,026
      
1,172,236
  
States, municipalities, and political subdivisions
    
240,224
      
38,607
      
4
      
278,827
  
Foreign other (par value - $4,296,860)
    
4,284,392
      
420,562
      
20,715
      
4,684,240
  
Foreign government (par value - $165,599)
    
171,359
      
25,179
      
63
      
196,475
  
Corporate securities
    
7,084,108
      
1,192,353
      
10,938
      
8,265,522
  
Residential mortgage backed securities
    
1,022,781
      
177,486
      
3,281
      
1,196,986
  
Commercial mortgage backed securities
    
961,047
      
66,304
      
36,230
      
991,121
  
Other asset backed securities
    
1,250,042
      
28,761
      
11,905
      
1,266,898
  
Total bonds
    
16,118,960
      
2,031,507
      
98,162
      
18,052,305
  
Preferred stocks
    
117,798
      
9,658
      
358
      
127,098
  
Common stocks
    
11,495
      
543
      
—
      
12,038
  
Total equity securities
    
129,293
      
10,201
      
358
      
139,136
  
Total
$
16,248,253

$
2,041,708

$
98,520

$
18,191,441
  

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
Reconciliation of bonds from amortized cost to carrying value is as follows:

   
December 31
  
   
2021
    
2020
  
   
(In Thousands)
  
Cost or amortized cost
  
$
8,548,263
    
$
16,118,960
  
Adjustment for FX and below investment grade bonds
    
(258
)
    
3,858
  
Carrying value
  
$
8,548,005
    
$
16,122,818
  
 
The aggregate fair value of bonds with unrealized losses and the time period that cost exceeded fair value are as follows:
 
   
Less than 6
Months Below
Cost
    
More than 6
Months and Less
than 12 Months
Below Cost
    
More than 12
Months Below
Cost
    
Total
  
    (In Thousands)  
At December 31, 2021
                                
Fair value
  
$
1,471,140
    
$
244,463
    
$
135,666
    
$
1,851,269
  
Unrealized loss
    
16,051
      
6,760
      
6,458
      
29,269
  
                                 
At December 31, 2020
                                
Fair value
  
$
717,454
    
$
1,105,507
    
$
431,989
    
$
2,254,950
  
Unrealized loss
    
30,943
      
50,778
      
16,441
      
98,162
  

The amortized cost and fair value of investments in bonds at December 31, 2021, by contractual maturity, 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.

 
Amortized Cost
  
Fair Value
  (In Thousands)
Maturity:
   
Due in 1 year or less
$          337,516
  
$          342,292
Due after 1 year through 5 years
1,491,146
  
1,580,446
Due after 5 years through 10 years
2,049,349
  
2,176,840
Due after 10 years
3,155,926
  
3,440,282
 
7,033,937
  
7,539,860
Residential mortgage-backed securities
165,602
  
188,442
Commercial mortgage-backed securities
188,665
  
190,917
Other asset-backed securities
1,160,058
  
1,175,151
Total
 $          8,548,262
  
 $          9,094,370
 
VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
 (Dollar amounts in millions, unless otherwise stated)
 
The Company does not have direct exposure through investments in subprime mortgage loans as of December 31, 2021 and 2020.

The following table summarizes the Company’s indirect exposure through other investments as of December 31, 2021 and 2020, respectively:

   
Actual Cost
    
Book/Adjusted
Carrying Value
(excluding
interest)
    
Fair Value
    
Other Than
Temporary
Impairment
Losses
Recognized
  
December 31, 2021
   (In Thousands)
  
Residential mortgage-backed securities
  
$
44,291
    
$
44,063
    
$
47,738
    
$
(819
)
Structured securities
    
3,874
      
1,723
      
9,574
      
—
  
Total
  
$
48,165
    
$
45,786
    
$
57,312
    
$
(819
)
                                 
December 31, 2020
                                
Residential mortgage-backed securities
  
$
80,868
    
$
79,362
    
$
85,566
    
$
(581
)
Structured securities
    
57,056
      
51,731
      
74,235
      
—
  
Total
  
$
137,924
    
$
131,093
    
$
159,801
    
$
(581
)
 
The Company does not have underwriting exposure to subprime mortgage risk through Mortgage Guaranty or Financial Guaranty insurance coverage as of December 31, 2021 and 2020.
 
The following table shows prepayment penalty and acceleration fees at December 31, 2021 and 2020:
 
   
General Account
    
Separate Account
  
December 31, 2021    (In Thousands)
Number of CUSIPs
  
73
      
8
  
Aggregate Amount of Investment Income
  
$
37,446
    
$
528
  
                 
December 31, 2020
                
Number of CUSIPs
    
69
      
3
  
Aggregate Amount of Investment Income
  
$
16,089
    
$
192
  

Mortgage Loans and Real Estate

All mortgage loans are evaluated by seasoned underwriters, including an appraisal of loan-specific credit quality, property characteristics, and market trends. The Company’s mortgage loans on real estate are all commercial mortgage loans, held for investment.
 
The maximum and minimum lending rates for mortgage loans initiated during 2021 were 3.30% and 7.87%, respectively.

The Company did not have any taxes, assessments and any amounts advanced and not included in the mortgage loan total as of December 31, 2021 and 2020.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)

During 2021, the maximum percentage of any one loan to the value of security at the time of the loan, exclusive of insured or guaranteed or purchase money mortgages was 75% on commercial properties.

The following table shows an age analysis of mortgage loans by type and identification of mortgage loans in which the insurer is a participant or co-lender in a mortgage loan agreement as of December 31, 2021 and 2020:

         
Residential
    
Commercial
              
   
Farm
    
Insured
    
All Other
    
Insured
    
All Other
    
Mezzanine
    
Total
  
   
(In Thousands)
  
December 31, 2021
                                          
Recorded investment (all)
                                          
Current
  
$
—
    
$
—
    
$
—
    
$
—
    
$
2,195,274
    
$
—
    
$
2,195,274
  
Participant or Co-lender in a Mortgage Loan Agreement
                                                        
Recorded Investment
  
$
—
    
$
—
    
$
—
    
$
—
      
2,188,752
    
$
—
      
2,188,752
  
                                                         
December 31, 2020
                                                        
Recorded investment (all)
                                                        
Current
  
$
—
    
$
—
    
$
—
    
$
—
    
$
3,404,838
    
$
—
    
$
3,404,838
  
60-89 Days Past Due
    
—
      
—
      
—
      
—
      
—
      
—
      
—
  
Participant or Co-lender in a Mortgage Loan Agreement
                                                        
Recorded Investment
  
$
—
    
$
—
    
$
—
    
$
—
    
$
3,038,345
    
$
—
    
$
3,038,345
  

The Company had the following investments in impaired mortgage loans with or without an allowance for credit losses or in any impaired loans subject to a participant or co-lender mortgage loan agreement for which the Company is restricted from unilaterally foreclosing on the mortgage loan as of December 31, 2021 and 2020:
 
          Residential
     Commercial
             
   
Farm
    
Insured
    
All Other
    
Insured
    
All Other
    
Mezzanine
    
Total
  
   
(In Thousands)
  
a. 2021
                                          
1. With Allowance for Credit Losses
   $ —    
$
—
    
$
—
    
$
—
    
$
—
      
—
     $ —  
2. No Allowance for Credit Losses
    
—
      
—
      
—
      
—
      
—
              
—
  
3. Total (1+2)
    
—
      
—
      
—
      
—
      
—
              
—
  
4. Subject to a participant or co-lender mortgage loan agreement for which the reporting entity is restricted from unilaterally foreclosing on the mortgage loan
    
—
      
—
      
—
      
—
      
—
      
—
      
—
  
                                                          
b. 2020
                                                        
1. With Allowance for Credit Losses
   $ —    
$
—
    
$
—
    
$
—
    
$
—
      
—
     $ —  
2. No Allowance for Credit Losses
    
—
      
—
      
—
      
—
      
4,254
       —
      
4,254
  
3. Total (1+2)
    
—
      
—
      
—
      
—
      
4,254
       —
      
4,254
  
4. Subject to a participant or co-lender mortgage loan agreement for which the reporting entity is restricted from unilaterally foreclosing on the mortgage loan
    
—
      
—
              
—
      
—
      
—
      
—
  

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)

       
Residential
    Commercial
              
   
Farm
    
Insured
    
All Other
    
Insured
    
All Other
    
Mezzanine
    
Total
  
   

                (In Thousands)              
December 31, 2021
                                          
Average recorded investment
   $ —
   
$
—
    
$
—
    
$
—
     $
—
     $
 —    
$
—
  
Interest income recognized
    
—
      
—
      
—
      
—
      
—
    
—
          
Recorded Investments on nonaccrual status
    
—
      
—
      
—
      
—
      
—
    
—
       —
 
Amount of interest income recognized using a cash-basis method of accounting
    
—
      
—
      
—
      
—
      
—
    
—
      
—
  
                                           
           
December 31, 2020
                                          
           
Average recorded investment
   $ —
   
$
—
    
$
—
    
$
—
     $
4,254
     $
 —    
$
4,254
  
Interest income recognized
    
—
      
—
      
—
      
—
      
—
      
—
          
Recorded Investments on nonaccrual status
    
—
      
—
      
—
      
—
      
—
    
—
       —
 
Amount of interest income recognized using a cash-basis method of accounting
    
—
      
—
      
—
      
—
      
—
    
—
      
—
  
 
The Company recognizes interest income on its impaired loans upon receipt.
 
The Company has no allowances for credit losses as of December 31, 2021 and 2020.
 
The Company has no mortgage loans derecognized as a result of foreclosure as of December 31, 2021 and 2020.

Real Estate

The Company did not have any real estate transactions as of December 31, 2021 and 2020.
 
Net Realized Capital Gains and Losses

Realized capital gains (losses) are reported net of federal income taxes and amounts transferred to the IMR as follows:

     
December 31
  
     
2021
    
2020
  
     
(In Thousands)
  
Realized capital (losses) gains     $ (484,377
 )   $ (997,408
)
Amount transferred to IMR (net of related taxes of $3,319 in 2021, $40,655 in 2020)
    
(40,007 )  
(152,940
 )
Federal income tax benefit (expense)
      
(39,431
)
    
(37,000
)
Net realized capital (losses) gains
    
$
(563,815
)
  
$
(1,187,348
)
 
Realized capital losses include losses of $55.8 and $11.4 related to securities that have experienced other-than-temporary declines in value during 2021 and 2020, respectively.
 
Proceeds from sales of investments in bonds and other fixed maturity interest securities were $4.9 billion and $5.4 billion in 2021 and 2020, respectively. Gross gains of $975.2 and $283.0 and gross losses of $69.5 and $62.0 during 2021 and 2020, respectively, were realized on those sales. A portion of the gains and losses realized in 2021 and 2020 has been deferred to future periods in the IMR. In addition, gross losses of $201.4 and gross losses of $1,207.0 during 2021 and 2020, respectively, were due to the impact of derivatives.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)

The Company did not recognize any other-than-temporary impairments (“OTTI”) in accordance with structured securities subject to SSAP No. 43R, Loan-backed and Structured Securities (“SSAP No. 43R”) due to intent to sell or inability or lack of intent to hold to recovery as of the year ended December 31, 2021 and 2020.
 
The following table discloses in detail the OTTI’s recognized by the Company in accordance with structured securities subject to SSAP No. 43R, exclusive of intent impairments, as of December 31, 2021:
 
CUSIP
    
Book/Adjusted
Carrying Value
Amortized Cost
Before Current
Period OTTI
    
Present Value of
Projected Cash
Flows
    
Recognized
Other-Than-
Temporary
Impairment
    
Amortized Cost
After Other-
Than-
Temporary
Impairment
    
Fair Value at
Time of OTTI
  
                 
(In Thousands)
              
41161UAC6
    
$
2,300
    
$
2,160
    
$
140
    
$
2,160
    
$
2,160
  
2254582J6
      
246
      
176
      
70
      
176
      
176
  
05949CMU7
      
1,838
      
1,803
      
36
      
1,803
      
1,803
  
86359DBX4
      
406
      
374
      
32
      
374
      
374
  
46631JAA6
      
1,000
      
968
      
32
      
968
      
968
  
2254582C1
      
298
      
276
      
23
      
276
      
276
  
17326CBE3
      
289
      
262
      
27
      
262
      
262
  
94983JAC6
      
398
      
391
      
7
      
391
      
391
  
17307GZK7
      
189
      
184
      
5
      
184
      
184
  
36185MAD4
      
229
      
225
      
5
      
225
      
225
  
00075WAP4
      
307
      
297
      
10
      
297
      
297
  
Total
    
XXX
    
XXX
    
$
387
    
XXX
    
XXX
  

The total amount of OTTI’s recognized by the Company arising from the present value of expected cash flows being less than the amortized cost of structured securities subject to SSAP No. 43R was $0.4 and $3.1 in 2021 and 2020, respectively.
 
The following table shows for the years ended December 31, 2021 and 2020, all impaired securities in the aggregate for which an OTTI has not been recognized in earnings as a realized loss, including securities with a recognized OTTI for non-interest related declines when a non-recognized interest related impairment remains:
 
   
December 31, 2021
  
   
Aggregate Amount of
Unrealized Losses
    
Aggregate Fair Value of
Securities with
Unrealized Losses
  
   
(In Thousands)
  
Less than 12 months
  
$
12,290
    
$
1,025,943
  
Greater than 12 months
    
4,338
      
124,748
  
Total
  
$
16,628
    
$
1,150,691
  

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)

   
December 31, 2020
  
   
Aggregate Amount of
Unrealized Losses
    
Aggregate Fair Value of
Securities with
Unrealized Losses
  
   
(In Thousands)
  
Less than 12 months
  
$
53,771
    
$
1,130,640
  
Greater than 12 months
    
8,294
      
281,952
  
Total
  
$
62,065
    
$
1,412,592
  
 
Repurchase Agreement Transactions Accounted for as Secured Borrowing

The Company participates in short-term repurchase agreements with financial institutions in order to enhance liquidity (“Repo”). The associated liability is recorded at the amount of cash received. The ratio of the collateral held to the estimated fair value of the securities pledged is monitored throughout the duration of the transaction and additional collateral is obtained as necessary. The Company has access to multiple sources of liquidity to draw upon to ensure the return of the repurchase collateral. The Company activated its use of the Repo program beginning in the second quarter of 2020. As of December 31, 2021 and 2020, the Company did not have any amounts outstanding under repurchase agreements. The following shows Repo activity that occurred during the year ended December 31, 2021:
 
Type of Repo Trades Used
 
   1  2  3  4
 
FIRST QUARTER
SECOND QUARTER
THIRD QUARTER
FOURTH QUARTER
a - Bilateral (YES/NO)
YES
YES
NO
NO
b - Tri-Party (YES/NO)
NO
NO
NO
NO
 
Original (Flow) & Residual Maturity
 
    FIRST QUARTER SECOND QUARTER THIRD QUARTER FOURTH QUARTER
 
 
  
(In Thousands)
  
a. Maximum Amount
                                
1. Open – No Maturity
  
$
—
    
$
—
    
$
—
    
$
—
  
2. Overnight
  
$
—
    
$
—
    
$
—
    
$
—
  
3. 2 Days to 1 Week
  
$
—
    
$
—
    
$
—
    
$
—
  
4. > 1 Week to 1 Month
  
$
365,000
    
$
365,000 $
    
$
—
    
$
—
  
5. > 1 Month to 3 Months
  
$
—
    
$
—
    
$
—
    
$
—
  
6. > 3 Months to 1 Year
  
$
—
    
$
—
    
$
—
    
$
—
  
7. > 1 Year
  
$
—
    
$
—
    
$
—
    
$
—
  
                                 
 b. Ending Balance
                                
1.  Open – No Maturity
  
$
—
    
$
—
    
$
—
    
$
—
  
2. Overnight
  
$
—
    
$
—
    
$
—
    
$
—
  
3. 2 Days to 1 Week
  
$
—
    
$
—
    
$
—
    
$
—
  
4. > 1 Week to 1 Month
  
$
365,000
    
$
—
    
$
—
    
$
—
  
5. > 1 Month to 3 Months
  
$
—
    
$
—
    
$
—
    
$
—
  
6. > 3 Months to 1 Year
  
$
—
    
$
—
    
$
—
    
$
—
  
7. > 1 Year
  
$
—
    
$
—
    
$
—
    
$
—
  

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)

Securities “Sold” Under Repo - Secured Borrowing

   
FIRST QUARTER SECOND QUARTER THIRD QUARTER FOURTH QUARTER
  
         
(In Thousands)
        
a. Maximum Amount
                        
1. BACV
  
XXX
   
XXX
    XXX     XXX  
2. Nonadmitted - Subset of BACV
  
XXX
   
XXX
    
XXX
   
XXX
 
3. Fair Value 
  $ 379,551     $ 386,091     $ —     $ —  
                                 
 b. Ending Balance                                
1. BACV
  
XXX
     XXX     XXX     XXX  
2. Nonadmitted - Subset of BACV
   XXX     XXX     XXX     XXX  
3. Fair Value         
 
$
379,551
    
$
—
    
$
—
     $ —  
 
Collateral Received - Secured Borrowing
 
   
FIRST QUARTER SECOND QUARTER THIRD QUARTER FOURTH QUARTER
  
         
(In Thousands)
        
a. Maximum Amount
                        
1. Cash
  
$
365,000
    
$
365,000
    
$
— $
      
—
  
2. Securities (FV)
  
$
—
    
$
—
    
$
— $
      
—
  
                                 
b. Ending Balance
                                
1. Cash
   $
365,000
     $
—
     $
—
     $
—
  
2. Securities (FV)
   $
—
     $
—
     $
—
     $
—
  

Liability to Return Collateral - Secured Borrowing (Total)
 
   
FIRST QUARTER SECOND QUARTER THIRD QUARTER FOURTH QUARTER
  
         
(In Thousands)
        
a. Maximum Amount
                        
1. Cash (Collateral -All)
  
$
365,000
    
$
365,000
    
$
— $
      
—
  
2. Securities Collateral (FV)
  
$
—
    
$
—
    
$
— $
      
—
  
                                 
b. Ending Balance
                                
1. Cash
   $
365,000
     $
—
     $
—
     $
—
  
2. Securities (FV)
   $
—
     $
—
     $
—
     $
—
  
 
Impairments on Joint Ventures, Partnerships, and Limited Liability Companies

Impairments on joint venture, partnerships and limited liability company holdings are taken when it is determined that these values are not recoverable. The fair value of these investments is based upon the Company’s overall proportional ownership interest in the underlying partnership. The Company did not have any impairments for the years ended December 31, 2021 and 2020.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
Investment Income

Major categories of net investment income are summarized as follows:
   
Year ended December 31
  
   
2021
    
2020
  
   
(In Thousands)
  
Income:
            
Bonds
  
$
556,906
    
$
772,692
  
Mortgage loans
    
128,248
      
152,137
  
Equity securities
    
4,658
      
6,909
  
Subsidiary
    
(3,031
)
    
44,973
  
Contract loans
    
214
      
278
  
Derivatives
    
(243,546
)
    
567,615
  
Other
    
73,101
      
54,120
  
Total investment income
    
516,550
      
1,598,724
  
Investment expenses
    
(35,740
)
    
(48,379
)
Net investment income
  
$
480,810
    
$
1,550,345
  

Federal Home Loan Bank Agreements

The Company is a member of the FHLB of Des Moines. Through its membership, the Company has conducted business activity (entered into advances) with the FHLB as part of the Company’s liquidity strategy. The Company has determined the estimated maximum borrowing capacity as $11.7 billion at December 31, 2021. The Company has the ability to obtain funding from the FHLB based on a percentage of the value of its assets and subject to the availability of eligible collateral. The limit across all programs is 30% of the general and separate accounts total assets of the Company, one quarter in arrears.
 
The amount of FHLB capital stock held by the Company is as follows:
 

   2021
     2020
 
    General Account
    Separate Account     Total
    General Account
    Separate Account
    Total
 
                (In Thousands)
             
Membership stock - Class A  
$
—
     $ —    
$
—
    
$
—
    
$
—
    
$
—
  
Membership stock - Class B
    
10,000
       —      
10,000
      
10,000
      
—
      
10,000
  
Activity stock
    
—
       —      
—
      
—
      
—
      
—
  
Excess stock
    
—
       —      
—
      
—
      
—
      
—
  
Aggregate total
  
$
10,000
     $ —    
$
10,000
    
$
10,000
    
$
—
    
$
10,000
  

The actual collateral as determined by the Company is $0.0 and $616.5 at December 31, 2021 and 2020, respectively.

All FHLB membership stock is not eligible for redemption.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)

The amount of collateral pledged to FHLB at the end of the reporting period, and the maximum amount that was pledged to FHLB during the reporting period is as follows:
 
     
Amount Pledged at End of Reporting
Period
    
Maximum Amount Pledged During
Reporting Period 
     
Fair Value
    
Carrying Value
    
Aggregate
Total
Borrowing
    
Fair Value
     Carrying Value    
Aggregate
Total
Borrowing
                  (In Thousands)   
           
As of December 31, 2021
                                    
General account
$
 —
$ —   $ —
$
734,195
$
654,182  
  $ —
Separate account

—

—  
—

—

—  
—
Total
   $ —
$ —   $ —
$ 734,195
$
654,182  
  $ —
                                     
As of December 31, 2020
    



 







 

General account
  
$
753,316
$
662,772
  $
—
$
1,315,054
$
1,248,423
   $
560,000
Separate account
     —
    —
    —
    —
    —
    —
Total
   $
753,316
    $
662,772
   $
—
   $
1,315,054
   $
1,248,423
   $
560,000

The Company did not have any amount borrowed from the FHLB at December 31, 2021 and 2020.
 
The maximum amount the general account borrowed from FHLB during the years ended December 31, 2021 and 2020 was $365.0 and $560.0, respectively.

The effective rate at which interest accrued on the amount borrowed from the FHLB ranged between 0.28% and 0.31% for the year ended December 31, 2021, and between 0.34% and 1.84% for the year ended December 31, 2020. The Company paid $0.0 and $0.1 in interest for the years ended December 31, 2021 and 2020, respectively.
 
The Company does not have any outstanding FHLB borrowings at December 31, 2021, and therefore is not currently subject to prepayment penalties.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)

The following table shows assets pledged as collateral or restricted at December 31, 2021:

 
  
Gross (Admitted &Nonadmitted) Restricted
                          
Restricted Asset
Category
  
General Account
    
Separate Account
   
Total
Assets
    
Total
From
Prior Year
    
Increase/
(Decrease)
    
Total
Nonadmitted
Restricted
    
Total
Admitted
Restricted
    
Gross
(Admitted &
Nonadmitted)
Restricted to
Total Assets
    
Admitted
Restricted to Total
Admitted
Assets
  
 
Total Assets
    
Supporting
Separate
Account
Activity*
    
Supporting
General
Account
Activity**
                              
(In Thousands)
  
Subject to contractual obligation for which liability is not shown
   $ —     $ —     $ —     $ —     $ —     $ —     $ —      $ —       — %     — %
                                                                                 
Collateral held under security lending agreements
     —       —       —       —       —       —       —       —       — %     — %
                                                                                 
Subject to repurchase agreements
     —       —       —       —       —       —       —
      —       — %     — %
                                                                                 
Subject to reverse repurchase agreements
     —       —               —       —       —       —       —       — %     — %
                                                                                 
Subject to dollar repurchase agreements
     —       —       —       —       —       —       —       —       — %     — %
                                                                                 
Subject to dollar reverse repurchase agreements
    

—		      

—		      

—		      

—		      

—		      

—		      

—		      

—		       — %  
— %
                                                                                 
Placed under option contracts
     —       —       —       —       —       —       —       —       — %     — %
                                                                                 
Letter stock or securities restricted as to sale - excluding FHLB capital stock
     —
      —       —
      —       —       —       —       —       — %     — %
                                                                                 
FHLB capital stock
    
10,000
      
—
      
—
      
10,000
      
10,000
       —       —      
10,000
      
0.03
%
    
0.03
%
                                                                                 
On deposit with states
    
9,923
       —
      —
     
9,923
      
9,905
       18
       —
     
9,923
      
0.03
%
    
0.03
%
                                                                                 
On deposit with other regulatory bodies
     —       —       —       —       —       —
       —
       —       — %     — %
                                                                                 
Pledged as collateral to FHLB (including assets backing funding agreements)
     —       —       —       —      
662,772
      
(662,772
)
     —
       —       — %     — %
                                                                                 
Derivative Pledged Collateral
     —       —       —       —      
746,669
      
(746,669
)
     —
       —       — %     — %
                                                                                 
Other restricted assets
     —       —       —       —       —       —
       —
       —       — %     — %
                                                                                 
Total restricted assets
  
$
19,923
    
$
—
    
$
—
    
$
19,923
    
$
1,429,346
    
$
(1,409,423
 )
  
$
—
    
$
19,923
      
0.06
%
    
0.06
%

* Subset of Total General Account Gross Restricted Assets

There were no restricted assets within the separate accounts at December 31, 2021.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)

The following table shows assets pledged as collateral or restricted at December 31, 2020:

    Gross (Admitted &Nonadmitted) Restricted                          
 
Restricted Asset
Category
  
General Account
      Total Assets    
 
Total From
Prior Year
      
Increase/
(Decrease)
    
 
Total
Nonadmitted
Restricted
    
 
Total
Admitted
Restricted
    
Gross
(Admitted &
Nonadmitted)
Restricted to
Total Assets
    
Admitted
Restricted to
Total Admitted
Assets
  
 
Total Assets
    
Supporting
Separate
Account
Activity*
                             
(In Thousands)
  
Subject to contractual obligation for which liability is not shown
  
$
—
    
$
—
     $ —     $ —    
$
—
    
$
—
    
$
—
      
—
%
    
—
%
                                                                         
Collateral held under security lending agreements
    
—
      
—
       —       —      
—
      
—
      
—
      
—
%
    
—
%
                                                                         
Subject to repurchase agreements
    
—
      
—
       —       —      
—
      
—
      
—
      
—
%
    
—
%
                                                                         
Subject to reverse repurchase agreements
    
—
      
—
       —       —      
—
      
—
      
—
      
—
%
    
—
%
                                                                         
Subject to dollar repurchase agreements
    
—
      
—
       —       —      
—
      
—
      
—
      
—
%
    
—
%
                                                                         
Subject to dollar reverse repurchase agreements
    
—
      
—
       —       —      
—
      
—
      
—
      
—
%
    
—
%
                                                                         
Placed under option contracts
    
—
      
—
       —       —      
—
      
—
      
—
      
—
%
    
—
%
                                                                         
Letter stock or securities restricted as to sale - excluding FHLB capital stock
    
—
      
—
       —       —      
—
      
—
      
—
      
—
%
    
—
%
                                                                         
FHLB capital stock
    
10,000
      
—
       10,000       10,400      
(400
)
     —
      
10,000
      
0.02
%
    
0.02
%
                                                                         
On deposit with states
    
9,905
      
—
       9,905       11,234      
(1,329
)
    
—
      
9,905
      
0.02
%
    
0.02
%
                                                                         
On deposit with other regulatory bodies
    
—
      
—
       —       —      
—
      
—
      
—
      
—
%
    
—
%
                                                                         
Pledged as collateral to FHLB (including assets backing funding agreements)
    
662,772
      
—
       662,772       589,835      
72,937
       —
      
662,772
      
1.34
%
    
1.34
%
                                                                         
Derivative Pledged Collateral
    
746,669
      
—
       746,669       260,419      
486,250
      
—
      
746,669
      
1.51
%
    
1.51
%
                                                                         
Other restricted assets
    
—
      
—
       —       —      
—
      
—
      
—
      
—
%
    
—
%
                                                                         
Total restricted assets
  
$
1,429,346
    
$
—
     $ 1,429,346     $ 871,888    
$
557,458
    
$
—
    
$
1,429,346
      
2.89
%
    
2.89
%

* Subset of Total General Account Gross Restricted Assets

There were no restricted assets within the separate accounts at December 31, 2020.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)

The Company did not have any collateral received and reflected as assets within its financial statements at December 31, 2021. The following table shows collateral received and reflected as assets at December 31, 2020:

Collateral Assets
  
 
Book/Adjusted
Carrying Value
(BACV)
    
Fair Value
      
% of BACV to Total Assets (Admitted and Nonadmitted)*
      
% of BACV to
Total Admitted
Assets**
  
General Account:
  
(In Thousands)
  
a. Cash, Cash Equivalents and Short-Term Investments
  
$
125,587
    $ 125,587
     
0.53
%
    
0.53
%
b. Schedule D, Part 1
    
—
    
—
      
—
      
—
  
c. Schedule D, Part 2, Section 1
    
—
    
—
      
—
      
—
  
d. Schedule D, Part 2, section 2
    
—
    
—
      
—
      
—
  
e. Schedule B
    
—
    
—
      
—
      
—
  
f. Schedule A
    
—
    
—
      
—
      
—
  
g. Schedule BA, Part 1
    
—
    
—
      
—
      
—
  
h. Schedule DL, Part 1
    
—
    
—
      
—
      
—
  
i. Other
    
—
    
     
—
      
—
  
j. Total collateral Assets ( a+b+c+d+e+f+g+h+i)
  
$
125,587
   $ 125,587      
0.53
%
    
0.53
%
 
*j = BACV divided by total assets General Accounts
**j = BACV divided by total admitted assets General Accounts
 
Amount

to Total Liabilities*


(In Thousands)        
u. Recognized Obligation to return Collateral Asset (General Account)
$ —


—
%

*u = BACV divided by total liabilities General Account

5.
Derivative Financial Instruments Held for Purposes Other than Trading
 
As a result of the CSLR Acquisition and the concurrent reinsurance transactions, the Company transferred its derivative financial instruments to its wholly-owned subsidiary, CSLR, effective June 1, 2021. The Company’s derivative financial instruments held for purposes other than trading for the year ended December 31, 2020 is described below.
 
The Company entered into various derivative transactions to reduce and manage the risk of a change in value, yield, price, cash flow or quantity of, or a degree of exposure with respect to assets, liabilities, or future cash flows which the Company had acquired or incurred. The Company entered into credit default swaps to replicate the investment characteristics of permissible investments using the derivative in conjunction with other investments. The replication (synthetic asset) and the derivative and other cash instrument were carried at amortized cost. The replication practices were in accordance with SSAP No. 86 hedge accounting practices. The Company also entered into interest rate swaps to manage the interest rate exposure of certain mortgage backed related securities. These interest rate swaps were designated as cash flow hedges in accordance with SSAP No. 86 hedge accounting practices and were carried at amortized cost. The Company has deemed that none of its derivatives meet the requirements for an effective hedge.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)

The Company entered into the following types of derivatives: Credit Contracts, Equity Contracts, Foreign Exchange Contracts and Interest Rate Contracts. The Company’s use and hedging strategy of derivatives prior to June 1, 2021 is detailed in Note 1.

Upfront fees paid or received on derivative contracts are included on the balance sheet as an asset or liability and are amortized to investment income over the remaining term of the contracts.

Periodic payments from such contracts are included in investment income on the statements of operations. Accrued amounts payable to or receivable from counterparties are included in other liabilities or accrued investment income on the balance sheet. Gains or losses realized as a result of early terminations are recognized in income in the statements of operations or deferred into IMR and amortized into investment income.
 
The Company was exposed to credit loss in the event of nonperformance by counterparties on certain derivative contracts; however, the Company did not anticipate nonperformance by any of these counterparties. The amount of such exposure was generally the unrealized gains in such contracts. The Company managed the potential credit exposure from interest rate contracts through careful evaluation of the counterparties’ credit standing, collateral agreements, and master netting agreements.
 
Under the terms of the Company’s Over-The-Counter (“OTC”) Derivative International Swaps and Derivatives Association, Inc. (“ISDA”) agreements, the Company may have received from, or delivered to, counterparties, collateral to assure that all terms of the ISDA agreements were met with regard to the Credit Support Annex (“CSA”). The terms of the CSA call for the Company to pay interest on any cash received equal to the Federal Funds rate. Collateral held was used in accordance with the CSA to satisfy any obligations. Investment grade bonds owned by the Company were the source of noncash collateral posted, which is reported on the balance sheet.
 
The table below summarizes the Company’s types and amounts of collateral held, pledged and delivered related to OTC derivative contracts and cleared derivative contracts as of December 31, 2020:


    As of December 31, 2020  
Collateral Type:
  
(In Thousands)
  
Cash
      
Held-Cleared Contracts
  
$
—
  
 Held/Pledged-OTC Contracts
    
17,470
  
Held/Pledged-Cleared Contracts
    
(467
)
         
Securities
        
Held
  
$
—
  
Delivered
    
604,079
  

The Company was required to post collateral for any futures contracts that were entered into. The amount of collateral required was determined by the exchange. The Company previously posted cash and U.S. Treasury Bonds to satisfy this collateral requirement.

The Company sold credit default swap protection, in conjunction with other investments, to replicate the income characteristics of otherwise permitted investments. The standard contract was five or seven years. In the event of default of the reference entity, the Company would be required to pay the notional amount of the contract. At December 31, 2021 and 2020, the total amount would be $0.0 and $25.0, respectively.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)

The table below summarizes the Company’s derivative contracts on the balance sheet at December 31, 2020:


  
Notional Amount
    
Carrying
Value
    
Fair Value
  
         
(In Thousands)
        
December 31, 2020
                  
Derivative contracts:
                  
Credit contracts
  
$
25,000
    
$
96
    
$
881
  
Equity contracts
    
38,866,165
      
(244,295
)
    
(244,295
)
Foreign exchange contracts
    
62,637
      
(2,280
)
    
(2,280
)
Interest rate contracts
    
3,500
      
443
      
443
  
Total derivatives
  
$
38,957,302
    
$
(246,036
)
  
$
(245,251
)

The Company did not have any net gain or (loss) recognized in unrealized gains or (losses) during the reporting period resulting from derivative instruments that no longer qualify for hedge accounting.

The Company does not have any derivative contracts with financing premiums.

6.
Concentrations of Credit Risk
 
The Company held below investment grade corporate bonds with an aggregate book value of $362.8 and $1,020.6 and an aggregate fair value of $388.8 and $1,073.9 at December 31, 2021 and 2020, respectively. Those holdings amounted to 4.0% and 6.3% of the Company’s investments in bonds and 2.7% and 4.3% of total admitted assets excluding separate accounts, at December 31, 2021 and 2020, respectively. The holdings of below investment grade bonds are widely diversified and of satisfactory quality based on the Company’s investment policies and credit standards.
 
The Company held unrated bonds with a carrying value of $1.0 and $46.0 with an aggregate fair value of $1.0 and $46.3 at December 31, 2021 and 2020, respectively. The carrying value of these holdings amounted to 0.0% and 0.3% of the Company’s investment in bonds and 0.0% and 0.2% of the Company’s total admitted assets excluding separate accounts, at December 31, 2021 and 2020, respectively.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)

Loan-to-value (“LTV”) and debt service coverage (“DSC”) ratios are measures commonly used to assess the risk and quality of commercial mortgage loans. The LTV ratio, calculated at time of origination, is expressed as a percentage of the amount of the loan relative to the value of the underlying property. An LTV ratio in excess of 100% indicates the unpaid loan amount exceeds the value of the underlying collateral. The DSC ratio, based upon the most recently received financial statements, is expressed as a percentage of the amount of a property’s net income (loss) to its debt service payments. A DSC ratio of less than 1.0 indicates that property’s operations do not generate sufficient income to cover debt payments. These ratios are utilized as part of the review process described above. LTV and DSC ratios as of the dates indicated are presented below:
 

    
As of December 31, 2021
    
As of December 31, 2020
  

   
Carrying Value
    
%
    
Carrying Value
    
%
  
     
(In Thousands)
            
(In Thousands)
          
Origination Loan-to-Value
                              
0% - 50%

 
$
582,671
      
26.5
%
  
$
126,471
      
3.7
%
50% - 60%

   
888,363
      
40.5
%
    
2,820,557
      
82.9
%
60% - 70%

   
608,613
      
27.7
%
    
313,839
      
9.2
%
70% - 80%

   
115,627
      
5.3
%
    
143,971
      
4.2
%
80% - 90%

   
—
      
—
%
    
—
      
—
%
Total
    
$
2,195,274
      
100.0
%
  
$
3,404,838
      
100.0
%
Debt Service Coverage Ratio
                                  
Greater than 1.5x
    
$
1,933,259
      
88.0
%
  
$
2,960,801
      
87.0
%
1.25x to 1.5x
      
81,662
      
3.7
%
    
150,674
      
4.4
%
1.0x to 1.25x
      
163,862
      
7.5
%
    
248,751
      
7.3
%
Less than 1.0x
      
16,491
      
0.8
%
    
44,612
      
1.3
%
Not Applicable*
      
—
      
—
%
    
—
      
—
%
Total
    
$
2,195,274
      
100.0
%
  
$
3,404,838
      
100.0
%
 
*Commercial mortgage loans secured by land or construction loans

If the value of any mortgage loan is determined to be impaired (i.e., when it is probable that the Company will be unable to collect on all amounts due according to the contractual terms of the loan agreement), the carrying value of the mortgage loan is reduced to either the present value of expected cash flows from the loan, discounted at the loan’s effective interest rate, or fair value of the collateral.
 
The following table shows the Company’s mortgage loan portfolio diversification by property type:

   
As of December 31, 2021
    
As of December 31, 2020
  
Property Type
  
Carrying Value
    
%
    
Carrying Value
    
%
  
   
(In Thousands)
          
(In Thousands)
        
Retail
  
$
652,256
      
29.7
%
  
$
844,256
      
24.8
%
Apartments
    
477,174
      
21.7
%
    
765,195
      
22.4
%
Office
    
464,381
      
21.2
%
    
653,427
      
19.2
%
Industrial
    
294,226
      
13.4
%
    
561,067
      
16.5
%
Other
    
220,778
      
10.1
%
    
445,610
      
13.1
%
Hotel/Motel
    
86,459
      
3.9
%
    
135,283
      
4.0
%
Total
  
$
2,195,274
      
100.0
%
  
$
3,404,838
      
100.0
%

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
The following table shows the Company’s mortgage loan portfolio diversification by region:
 
    As of December 31, 2021    
As of December 31, 2020
  
Region
  
Carrying Value
    
%
    
Carrying Value
    
%
  
   
(In Thousands)
          
(In Thousands)
        
Pacific
  
$
477,409
      
21.8
%
  
$
758,602
      
22.3
%
South Atlantic
    
504,395
      
23.0
%
    
741,933
      
21.8
%
West South Central
    
179,726
      
8.2
%
    
264,391
      
7.8
%
East North Central
    
273,057
      
12.4
%
    
418,191
      
12.3
%
Middle Atlantic
    
425,665
      
19.4
%
    
520,404
      
15.3
%
Mountain
    
241,161
      
11.0
%
    
536,085
      
15.7
%
West North Central
    
33,750
      
1.5
%
    
77,455
      
2.2
%
New England
    
37,898
      
1.7
%
    
53,331
      
1.6
%
East South Central
    
22,213
      
1.0
%
    
34,446
      
1.0
%
Total
  
$
2,195,274
      
100.0
%
  
$
3,404,838
      
100.0
%

The following table shows the carrying value of the Company’s mortgage loan portfolio breakdown by year of origination:
 
Year of Origination
  
As of December 31, 2021
    
As of December 31, 2020
  
   
(In Thousands)
  
2021
  
$
11,229
    
$
—
  
2020
    
73,468
      
81,498
  
2019
    
93,731
      
148,199
  
2018
    
344,345
      
477,653
  
2017
    
244,463
      
538,391
  
2016
    
355,874
      
635,690
  
2015
    
291,631
      
464,123
  
2014
    
304,997
      
394,322
  
2013
    
314,730
      
366,877
  
2012 and prior
    
160,806
      
298,085
  
Total
   $ 2,195,274     $ 3,404,838  

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)

7.
Reserves
 
At December 31, 2021, the Company’s annuity reserves, including those held in separate accounts and deposit fund liabilities that are subject to discretionary withdrawal (with adjustment), subject to discretionary withdrawal (without adjustment), and not subject to discretionary withdrawal provisions are summarized as follows:

A. INDIVIDUAL ANNUITIES

 
 
General Account
    
Separate
Account with
Guarantees*
    
Separate
Account
Nonguaranteed
    
Total
    
% of Total
  
                 
(In Thousands)
              
(1)
 Subject to discretionary withdrawal:
                              
 
a. With market value adjustment
  
$
6,072,826
    
$
124,619
    
$
—
    
$
6,197,445
      
25.1
%
 
b. At book value less current surrender charge of 5% or more
    
864,578
      
1,291
      
—
      
865,869
      
3.5
%
 
c. At fair value
    
—
      
—
      
9,782,656
      
9,782,656
      
39.6
%
 
d. Total with market value adjustment or at fair value (total of a through c)
    
6,937,404
      
125,910
      
9,782,656
      
16,845,970
      
68.2
%
 
e. At book value without adjustment (minimal or no charge or adjustment)
    
4,254,522
      
27,324
      
—
      
4,281,846
      
17.4
%
                                           
(2)
Not subject to discretionary withdrawal
    
3,557,170
      
—
      
—
      
3,557,170
      
14.4
%
(3)
Total (gross: direct + assumed)
    
14,749,096
      
153,234
      
9,782,656
      
24,684,986
      
100.0
%
(4).
Reinsurance ceded
    
4,772,251
      
—
      
—
      
4,772,251
          
(5)
 Total (net) (3) - (4)
    
9,976,845
      
153,234
      
9,782,656
      
19,912,735
          
(6)
 Amount included in A(1) above that will move to A(1) for the first time within the year after the statement date:
    
502,388
      
—
      
—
      
502,388
          
 
*These amounts reflect prescribed or permitted practices that depart from the NAIC Accounting Practices and Procedures Manual, see Note 1, Summary of Significant Accounting Polices for additional information.

B. GROUP ANNUITIES

     
General Account
    
Separate
Account with
Guarantees*
    
Separate
Account
Nonguaranteed
    
Total
    
% of Total
  
                 
(In Thousands)
              
(1)
 Subject to discretionary withdrawal:
                              
 
a. With market value adjustment
  
$
176,949
    
$
225,660
    
$
—
    
$
402,609
      
2.6
%
 
b. At book value less current surrender charge of 5% or more
    
59
      
549
      
—
      
608
      
—
%
 
c. At fair value
    
—
      
—
      
15,106,012
      
15,106,012
      
96.8
%
 
d. Total with market value adjustment or at fair value (total of a through c)
    
177,008
      
226,209
      
15,106,012
      
15,509,229
      
99.4
%
 
e. At book value without adjustment (minimal or no charge or adjustment)
    
90,831
      
84
      
—
      
90,915
      
0.6
%
                                           
(2)
Not subject to discretionary withdrawal
    
—
      
—
      
—
      
—
      
—
%
(3)
Total (gross: direct + assumed)
    
267,839
      
226,293
      
15,106,012
      
15,600,144
      
100.0
%
(4).
Reinsurance ceded
    
88,669
      
—
      
—
      
88,669
          
(5)
Total (net) (3) - (4)
    
179,170
      
226,293
      
15,106,012
      
15,511,475
          
(6)
Amount included in A(1) above that will move to A(1) for the first time within the year after the statement date:
    
1
      
—
      
—
      
1
          

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)

*These amounts reflect prescribed or permitted practices that depart from the NAIC Accounting Practices and Procedures Manual, see Note 1, Summary of Significant Accounting Polices for additional information.
 
C. DEPOSIT-TYPE CONTRACTS (no life contingencies):

     
General Account
    
Separate
Account with
Guarantees*
    
Separate
Account
Nonguaranteed
    
Total
    
% of Total
  
                 
(In Thousands)
              
(1)
Subject to discretionary withdrawal:
                              
 
a. With market value adjustment
  
$
—
    
$
 —    
$
 —    
$
—
      
—
%
 
b. At book value less current surrender charge of 5% or more
     —      
—
      
—
      
—
      
—
%
 
c. At fair value
    
—
      
—
      
—
      
—
      
—
%
 
d. Total with market value adjustment or at fair value (total of a through c)
     —      
—
      
—
      
—
      
—
%
 
e. At book value without adjustment (minimal or no charge or adjustment)
    
63,454
      
—
      
—
       63,454      
1.9
%
                                           
(2)
Not subject to discretionary withdrawal
    
3,272,468
      
—
      
—
       3,272,468      
98.1
%
(3)
Total (gross: direct + assumed)
    
3,335,922
      
—
      
—
      
3,335,922
      
100.0
%
(4).
Reinsurance ceded
    
2,407,618
      
—
      
—
      
2,407,618
          
(5)
Total (net) (3) - (4)
    
928,304
      
—
      
—
       928,304          
(6)
Amount included in A(1) above that will move to A(1) for the first time within the year after the statement date:
     —      
—
      
—
       —          

*These amounts reflect prescribed or permitted practices that depart from the NAIC Accounting Practices and Procedures Manual, see Note 1, Summary of Significant Accounting Polices for additional information.

D.        
Life & Accident & Health Annual Statement:     Amount  
 
   
(In Thousands)
  
(1)
Exhibit 5, Annuities Section, Total (net)
    
$
9,304,262
  
(2)
Exhibit 5, Supplemental Contracts with Life Contingencies Section, Total (net)
     
851,752
  
(3)
Exhibit 7, Deposit - Type Contracts, line 14, column 1
      
928,304
  
(4)
Subtotal
    
$
11,084,318
  
           
Separate Accounts Annual Statement:
          
(5)
Exhibit 3, line 0299999, column 2
    
$
25,268,196
  
(6)
Exhibit 3, line 0399999, column 2
      
—
  
(7)
Policyholder dividend and coupon accumulations
      
—
  
(8)
Policyholder premiums
      
—
  
(9)
Guaranteed interest contracts
      
—
  
(10)
Other contract deposit funds
      
—
  
(11)
Subtotal
    
$
25,268,196
  
(12)
Combined total
    
$
36,352,514
  

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)

Analysis of life actuarial reserves by withdrawal characteristics as of December 31, 2021 are summarized as follows:
 
        Account Value     Cash Value     Reserve  
       
(In Thousands)
  
A.   General Account
                  
  (1)
Subject to discretionary withdrawal, surrender values, or policy loans:
                  
   
a.  Term Policies with Cash Value
  
$
—
    
$
—
    
$
—
  
   
b.  Universal Life
    
210,754
      
210,753
      
277,586
  
   
c.  Universal Life with Secondary Guarantees
    
—
      
—
      
—
  
   
d.  Indexed Universal Life
    
—
      
—
      
—
  
   
e.  Indexed Universal Life with Secondary Guarantees
    
—
      
—
      
—
  
   
f.  Indexed Life
    
—
      
—
      
—
  
   
g.  Other Permanent Cash Value Life Insurance
    
64,852
      
324,300
      
373,783
  
   
h.  Variable Life
    
—
      
—
      
—
  
   
i.  Variable Universal Life
    
7,861
      
7,861
      
7,861
  
   
j.  Miscellaneous Reserves
                        
  (2)
Not Subject to Discretionary Withdrawal or No Cash Value:
                  
   
a.  Term Policies without Cash Value
  
XXX
    
XXX
      
605
  
   
b.  Accidental Death Benefits
  
XXX
    
XXX
      
188
  
   
c.  Disability - Active Lives
  
XXX
    
XXX
      
1,027
  
   
d.  Disability - Disabled Lives
  
XXX
    
XXX
      
1,530
  
   
e.  Miscellaneous Reserves
  
XXX
    
XXX
      
8,352
  
  (3)
Total (gross: direct + assumed)
    
283,467
      
542,914
      
670,932
  
  (4)
Reinsurance Ceded
    
283,467
      
542,914
      
670,932
  
  (5)
Total (net) (3) - (4)
    
—
      
—
      
—
  

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)

        Account Value
    Cash Value     Reserve  
       
(In Thousands)
  
B.   Separate Account with Guarantees
                  
  (1)
Subject to Discretionary Withdrawal, Surrender Values, or Policy Loans:
              
   
a.  Term Policies with Cash Value
    
—
      
—
      
—
  
   
b.  Universal Life
    
—
      
—
      
—
  
   
c.  Universal Life with Secondary Guarantees
    
—
      
—
      
—
  
   
d.  Indexed Universal Life
    
—
      
—
      
—
  
   
e.  Indexed Universal Life with Secondary Guarantees
    
—
      
—
      
—
  
   
f.   Indexed Life
    
—
      
—
      
—
  
   
g.  Other Permanent Cash Value Life Insurance
    
—
      
—
      
—
  
   
h.  Variable Life
    
—
      
—
      
—
  
   
i.   Variable Universal Life
    
—
      
—
      
—
  
   
j.   Miscellaneous Reserves
    
—
      
—
      
—
  
  (2)
Not Subject to Discretionary Withdrawal or No Cash Value:
                  
   
a.  Term Policies without Cash Value
  
XXX
    
XXX
      
—
  
   
b.  Accidental Death Benefits
  
XXX
    
XXX
      
—
  
   
c.  Disability - Active Lives
  
XXX
    
XXX
      
—
  
   
d.  Disability - Disabled Lives
  
XXX
    
XXX
      
—
  
   
e.  Miscellaneous Reserves
  
XXX
    
XXX
      
—
  
  (3)
Total (gross: direct + assumed)
    
—
      
—
      
—
  
  (4)
Reinsurance Ceded
    
—
      
—
      
—
  
  (5)
Total (net) (3) - (4)
    
—
      
—
      
—
  

          Account Value       Cash Value       Reserve  
         
(In Thousands)
  
C. Separate Account Nonguaranteed
                        
  (1)
Subject to Discretionary Withdrawal, Surrender Values, or Policy Loans:
                        
   
a.  Term Policies with Cash Value
  
$
—
    
$
—
    
$
—
  
   
b.  Universal Life
    
—
      
—
      
—
  
   
c.  Universal Life with Secondary Guarantees
    
—
      
—
      
—
  
   
d.  Indexed Universal Life
    
—
      
—
      
—
  
   
e.  Indexed Universal Life with Secondary Guarantees
    
—
      
—
      
—
  
   
f.   Indexed Life
    
—
      
—
      
—
  
   
g.  Other Permanent Cash Value Life Insurance
    
—
      
—
      
—
  
   
h.  Variable Life
    
—
      
—
      
—
  
   
i.  Variable Universal Life
    
46,006
      
45,946
      
45,939
  
   
j.  Miscellaneous Reserves
    
—
      
—
      
—
  
  (2)
Not Subject to Discretionary Withdrawal or No Cash Value:
                        
   
a.  Term Policies without Cash Value
  
XXX
     XXX      
—
  
   
b.  Accidental Death Benefits
  
XXX
    
XXX
      
—
  
   
c.  Disability - Active Lives
  
XXX
    
XXX
      
—
  
   
d.  Disability - Disabled Lives
  
XXX
    
XXX
      
—
  
   
e.  Miscellaneous Reserves
  
XXX
    
XXX
      
—
  
  (3)
Total (gross: direct + assumed)
    
46,006
      
45,946
      
45,939
  
  (4)
Reinsurance Ceded
    
—
      
—
      
—
  
  (5)
Total (net) (3) - (4)
    
46,006
      
45,946
      
45,939
  

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)

D.        
Life & Accident & Health Annual Statement:
   Amount  

 
(In Thousands)
  
(1)   Exhibit 5, Life Insurance Section, Total (net)
  
$
 —  
(2)   Exhibit 5, Accidental Death Benefits Section, Total (net)
     —  
(3)   Exhibit 5, Disability - Active Lives Section, Total (net)
     —  
(4)   Exhibit 5, Disability - Disabled Lives Section, Total (net)
     —  
(5)   Exhibit 5, Miscellaneous Reserves Section, Total (net)
     —  
(6)   Subtotal
  
$
 —  
 
Separate Accounts Annual Statement:

(7)   Exhibit 3, line 0199999, column 2
  
$
45,939
  
(8)   Exhibit 3, line 0499999, column 2
     —  
(9)   Exhibit 3, line 0599999, column 2
    
—
  
(10)  Subtotal
  
$
45,939
  
(11)  Combined total
  
$
45,939
  
 
Deferred and uncollected life insurance premiums and annuity considerations as of December 31, 2021 and 2020 are as follows:

Type
  Gross     Net of Loading  
   
(In Thousands)
  
December 31, 2021
            
Ordinary renewal
  
$
(51,232
)
  
$
(51,232
)
Group Life
    
172
      
172
  
Group Annuity
    
(173
)
    
(173
)
Totals
  
$
(51,233
)
  
$
(51,233
)
                 
December 31, 2020
                
Ordinary renewal
    
(52,446
)
    
(52,446
)
Group Life
    
558
      
558
  
Group Annuity
    
(345
)
    
(345
)
Totals
  
$
(52,233
)
  
$
(52,233
)

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)

8.
Employee Benefit Plans
 
The Company’s workforce in its entirety are directly employed by VSC, and not by the Company itself. VSC created and sponsors the Venerable 401 (k) Savings Plan (the “Venerable Savings Plan”). The Venerable Savings Plan is a tax qualified defined contribution plan. Substantially all employees of VSC are eligible to participate, and are automatically enrolled in the Venerable Savings Plan with a minimum deferral of 3% of eligible compensation (unless participation is affirmatively declined). VSC will also match employee pretax contributions, up to a maximum of 6% of eligible compensation. All matching contributions are subject to a 4 year graded vesting schedule. All contributions made to the Savings Plan were subject to certain limits imposed by applicable law. Venerable Savings Plan benefits are not guaranteed by the Pension Benefit Guaranty Corporation (“PBGC”). The Venerable Savings Plan may also allocate amongst eligible participants, a profit sharing contribution of up to a maximum 4% of eligible compensation. Amounts allocated to the Company for the Venerable Savings Plan were $3.5 and $3.3 for the years ended December 31, 2021 and 2020, respectively.
 
The Company is a party to a deferred compensation plan for eligible employees of VSC and certain other individuals who meet the eligibility criteria. The liability for the deferred compensation commitment for VSC’s employees is held on VSC, and the Company has no legal obligation for benefits under the plan. Amounts allocated to the Company were $0.3 and $0.2 for the years ended December 31, 2021 and 2020, respectively.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
9.
Separate Accounts
 
Separate account assets and liabilities represent funds segregated by the Company for the benefit of certain policy and contract holders who bear the investment risk. Revenues and expenses on the separate account assets and related liabilities equal the benefits paid to the separate account policy and contract holders.
 
The general nature and characteristics of the separate accounts business follows:
 
    Indexed
   
Non-Indexed
Guarantee
Less than/
equal to 4%
    
Non-
Guaranteed
Separate
Accounts
     Total  
     
(In Thousands)
  
December 31, 2021
                                
                                 
Premium, consideration or deposits for the year
  
$
—
     $ (6 )   $ 43,432    
$
43,426
  
Reserves for separate accounts with assets at:
                                
Fair value
  
$
—
     $ —     $ 24,934,607    
$
24,934,607
  
Amortized cost*
    
—
       379,528       —      
379,528
  
Total separate account reserves
  
$
—
    
$
379,528
    
$
24,934,607
    
$
25,314,135
  
Reserves for separate accounts by withdrawal characteristics:
                                
Subject to discretionary withdrawal:
                                
With market value adjustment*
  
$
—
    
$
379,528
    
$
—
    
$
379,528
  
At fair value
    
—
      
—
      
24,934,607
      
24,934,607
  
Subtotal
    
—
      
379,528
      
24,934,607
      
25,314,135
  
Total separate account aggregate reserves
  
$
—
    
$
379,528
    
$
24,934,607
    
$
25,314,135
  
 
    Indexed     Non-Indexed Guarantee Less than/ equal to 4%    
Non-
Guaranteed Separate
Accounts
     Total  
     
(In Thousands)
  
December 31, 2020
                                
                                 
Premium, consideration or deposits for the year
  
$
—
     $ 336     $ 43,185    
$
43,521
  
Reserves for separate accounts with assets at:
                                
Fair value
  
$
—
     $ —     $ 25,103,114    
$
25,103,114
  
Amortized cost*
    
—
       422,122
       —      
422,122
  
Total separate account reserves
  
$
—
    
$
422,122
    
$
25,103,114
    
$
25,525,236
  
Reserves for separate accounts by withdrawal characteristics:
                                
Subject to discretionary withdrawal:
                                
With market value adjustment*
  
$
—
    
$
422,122
    
$
—
    
$
422,122
  
At fair value
    
—
      
—
      
25,103,114
      
25,103,114
  
Subtotal
    
—
      
422,122
      
25,103,114
      
25,525,236
  
Total separate account aggregate reserves
  
$
—
    
$
422,122
    
$
25,103,114
    
$
25,525,236
  
 
* These amounts reflect prescribed practices that depart from the NAIC Accounting Practices and Procedures Manual, see Note 3 for additional information.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
The Company utilizes separate accounts to record and account for assets and liabilities for particular lines of business. For the years ended December 31, 2021 and 2020, the Company reported assets and liabilities from the following product lines in a separate account: Individual Annuity, Group Annuity, Individual Life and Group Life.
 
Some assets in the separate account are considered legally insulated from the general account, providing protection of such assets from being available to satisfy claims resulting in the general account. The assets legally and not legally insulated from the general account are summarized in the following table, by product or transaction type, as of December 31, 2021 and 2020:

Product or Transaction
  
Legally
Insulated
Assets
    
Not Legally Insulated
Assets*
  
   
(In Thousands)
  
December 31, 2021
            
Individual Annuity
  
$
9,795,800
    
$
163,468
  
Group Annuity
    
15,126,308
      
241,407
  
Individual Life
    
12,595
      
—
  
Group Life
    
33,406
      
—
  
Total
  
$
24,968,109
    
$
404,875
  
 
December 31, 2020
            
Individual Annuity
  
$
9,866,539
    
$
178,057
  
Group Annuity
    
15,232,484
      
276,135
  
Individual Life
    
11,227
      
—
  
Group Life
    
30,734
      
—
  
Total
  
$
25,140,984
    
$
454,192
  
 
* These amounts reflect prescribed practices that depart from the NAIC Accounting Practices and Procedures Manual, see Note 3 for additional information.
 
Separate account assets for products registered with the U.S. Securities and Exchange Commission (“SEC”) totaled $25.4 billion and $25.6 billion as of the years ended December 31, 2021 and 2020, respectively. The Company did not have any separate account assets from products excluded from registration as of December 31, 2021 and 2020.
 
In accordance with the products/transactions recorded within the separate account, some separate account liabilities are guaranteed by the general account. To compensate the general account for the risk taken, the separate account paid the following amounts in risk charges:
 
Year ended
   Risk Charges  
   
(In Thousands)
  
2021
  
$
166,800
  
2020
    
175,289
  
2019
    
189,437
  
2018
    
199,389
  
2017
    
226,722
  

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
Total separate account guarantees paid by the Company’s general account are as follows:
 
Year ended
  
Guarantees Paid
  
   
(In Thousands)
  
2021
  
$
26,078
  
2020
    
33,298
  
2019
    
31,335
  
2018
    
12,084
  
2017
    
13,753
  

The Company does not engage in securities lending transactions within its separate accounts.
 
A reconciliation of the amounts transferred to and from the separate accounts is presented below:
 
    Year ended December 31  
    2021
     2020  
   
(In Thousands)
  
Transfers as Reported in the Summary of Operations of the Separate Accounts Statement:
            
Transfers to separate accounts
   $ 44,515     $ 43,818  
Transfers from separate accounts
    
(3,335,727
)
    
(2,789,418
)
Transfers as reported in the Statements of Operations
  
$
(3,291,212
)
  
$
(2,745,600
)

The aggregate fair value of equity securities, including mutual funds, supporting separate accounts with additional insurance benefits and minimum investment return guarantees as of December 31, 2021 and 2020, was $25.0 billion and $25.1 billion, respectively.
 
The Company has products classified within the separate account for which the investment directive is not determined by the contract holder. If these investments had been included in the general account, the Company would not have exceeded the investment limitations imposed on the general account.
 
The Company has separate account assets for which less than 100% of investment proceeds, net of contract fees and assessments, are attributed to the contract holder. The reinvestment of these investment proceeds within the separate account would not have resulted in a combined investment portfolio that exceeds the state investment limitations imposed on the general account.

10.
Federal Income Taxes
 
Equitable Holdings, Inc. and VIAC elected to treat the sale and purchase of the capital stock of CSLR as an asset sale and purchase by making the election under Internal Revenue Code section 338(h)(10), as described in Note 1. The Company charged goodwill for the purchase price of the shares of capital stock over the statutory surplus and capital of CSLR. The amortization of this statutory goodwill is not deductible for Federal income tax purpose.
 
The Company treated the cession of its deferred variable annuity business and payout annuity business to CSLR as taxable reinsurance. Consequently, the Company realized net capital gain on investment securities transferred to CSLR. Under the consolidated return regulations – the Company and CSLR join in the filing of consolidated Federal income tax returns – the Company deferred the net capital gain. This deferred intercompany gain gave rise to a significant deferred tax liability.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
The Company has entered into a federal tax sharing agreement with members of an affiliated group as defined in Section 1504 of the Internal Revenue Code of 1986, as amended. The agreement provides for the manner of calculation and the amounts/timing of the payments between the parties as well as other related matters in connection with the filing of consolidated federal income tax returns. The federal tax sharing agreement provides that the Company pays its subsidiaries for the tax benefits of ordinary and capital losses only to the extent the consolidated tax group actually uses the tax benefit of losses generated.
 
The following is a list of affiliated companies that participate in the filing of the Company’s consolidated federal income tax return:
 
Venerable Insurance and Annuity Company Rocky Range, Inc.
Corporate Solutions Life Reinsurance Company  

Under the intercompany tax sharing agreement, the Company recorded a payable of $46.4 at December 31, 2021 to its subsidiary CSLR, for its portion of the consolidated federal income taxes. An additional $394.8 due from CSLR was considered forgiven by VIAC and has been recorded as a capital contribution from VIAC to CSLR.
 
Current income taxes incurred consisted of the following major components:
 
    Year ended December 31  
   
(In Thousands)
  
    2021     2020  
Federal tax expense (benefit) on operations
  
$
(39,431
)
  
$
(37,000
)
Federal tax expense (benefit) on capital gain/losses
    
39,431
      
37,000
  
Total current tax expense (benefit) incurred
  
$
—
    
$
—
  
 
The components of deferred tax asset and deferred tax liability that make up a Net Deferred Tax Asset (DTA)  at December 31, 2021 and 2020 are as follows:
 
    December 31, 2021   December 31, 2020  
Change
  
    Ordinary     Capital     Total     Ordinary     Capital
     Total     Ordinary     Capital     Total  
   
(In Thousands)
  
Gross DTAs Statutory Valuation Allowance
  
$
879,599
    
$
—
    
$
879,599
    
$
497,172
    
$
2,014
    
$
499,186
    
$
382,427
    
$
(2,014
)
  
$
380,413
  
Adjustments
    
539,283
      
—
      
539,283
      
360,330
      
—
      
360,330
      
178,953
      
—
      
178,953
  
Adjusted gross DTAs
    
340,316
      
—
      
340,316
      
136,842
      
2,014
      
138,856
      
203,474
      
(2,014
)
    
201,460
  
Deferred Tax Assets Nonadmitted
    
—
      
—
      
—
      
—
      
—
      
—
      
—
      
—
      
—
  
Admitted Adjusted Gross DTAs
    
340,316
      
—
      
340,316
      
136,842
      
2,014
      
138,856
      
203,474
      
(2,014
)
    
201,460
  
Gross Deferred tax liabilities
    
157,068
      
183,248
      
340,316
      
129,825
      
9,031
      
138,856
      
27,243
      
174,217
      
201,460
  
Net Admitted Adjusted Gross DTAs
  
$
183,248
    
$
(183,248
)
  
$
—
    
$
7,017
    
$
(7,017
)
  
$
—
    
$
176,231
    
$
(176,231
)
  
$
—
  

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
The admission calculation components by tax character of admitted adjusted gross deferred tax assets as the result of the application of SSAP No. 101 as of December 31, 2021 and December 31, 2020 are as follows:
 
 

 
December 31, 2021
    
December 31, 2020
    
Change
  
        Ordinary     Capital       Total       Ordinary       Capital       Total      
Ordinary
      
Capital
       Total  
       
(In Thousands)
  
a.
Federal income taxes paid in prior years recoverable through loss carrybacks
   $ —     $ —     $ —     $ —     $ —     $ —     $ —     $ —     $ —  
b.
(excluding the amount of DTAs from (a)) after application of the threshold limitation (the lesser of (b)1 and (b)2 below)
     —       —       —       —       —       —       —       —       —  
 
1. Adjusted gross DTAs expected to be realized following the
balance sheet date
     —       —       —       —       —       —       —       —       —  
 
2. Adjusted gross DTAs allowed per
limitation threshold
   XXX     XXX       322,147     XXX     XXX       402,874     XXX     XXX       (80,727 )
c.
Adjusted gross DTAs (excluding the amount of DTAs from (a) and (b) above) offset by gross deferred tax liabilities
    340,316       —       340,316       136,841       2,015       138,856       203,475       (2,015 )     201,460  
d.
Deferred tax assets admitted as the result of application SSAP No. 101 Total
   $ 340,316     $ —     $ 340,316     $ 136,841     $ 2,015     $ 138,856     $ 203,475     $ (2,015 )   $ 201,460  

The ratio percentage and the amount of adjusted capital and surplus used to determine the recovery period and threshold limitation is as follows:
 

  
2021
    
2020
  

 
(Amounts in Thousands)
  
Ratio percentage used to determine recovery period and threshold limitation amount
    
919.8
%
    
1,390.4
%
Amount of adjusted capital and surplus used to determine recovery period and threshold limitation
  
$
2,147,649
    
$
3,078,385
  

Below shows the calculation to determine the impact of tax planning strategies on adjusted gross and net admitted DTAs:
 

    
December 31, 2021
    
December 31, 2020
    
Change
  

   
Ordinary
      Capital    
Ordinary 
       Capital    
Ordinary
    
Capital
  
     
(Amounts in Thousands)
  
Adjusted gross DTAs
  
$
340,316
    
$
—
    
$
136,841
    
$
2,015
    
$
203,475
    
$
(2,015
)
Percentage of adjusted gross DTAs by tax character attributable to the impact of tax planning strategies
    
0.00
%
    
0.00
%
    
0.00
%
    
0.00
%
    
0.00
%
    
0.00
%
Net Admitted Adjusted Gross DTAs
  
$
340,316
    
$
—
    
$
136,841
    
$
2,015
    
$
203,475
    
$
(2,015
)
 
                                                
Percentage of net admitted adjusted gross DTAs by tax character admitted because of the impact of tax planning strategies
    
0.00
%
    
0.00
%
    
0.00
%
    
0.00
%
    
0.00
%
    
0.00
%
Does the Company’s tax-planning strategies include the use of reinsurance?
                                  
Yes____
    
No__X__
  

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
The Company’s tax planning strategies do not include the use of reinsurance.
 
The significant components of deferred tax assets and deferred tax liabilities are as follows:

   
December 31,
2021
      
December 31,
2020
       Change  
     
(In Thousands)
  
Deferred Tax Assets
                        
Ordinary:
                        
Policyholder reserves
  
$
64,155
    
$
89,117
    
$
(24,962
)
Investments
    
246,406
      
145,344
    
$
101,062
  
Deferred acquisition costs
    
—
      
1,994
    
$
(1,994
)
Compensation and benefits accrual
    
2,504
      
2,517
    
$
(13
)
Receivables - nonadmitted
    
2,647
      
2,539
    
$
108
  
Tax credit carry-forward
    
10
      
6
    
$
4
  
Net operating loss
    
562,420
      
254,078
    
$
308,342
  
Other (including items <5% of total ordinary tax assets)
    
1,457
      
1,577
    
$
(120
)
Subtotal
    
879,599
      
497,172
      
382,427
  
Statutory valuation allowance adjustment
    
539,283
      
360,330
      
178,953
  
Nonadmitted
    
—
      
—
      
—
  
Admitted ordinary deferred tax assets
  
$
340,316
    
$
136,842
    
$
203,474
  
Capital:
                        
Investments
  
$
—
    
$
2,014
    
$
(2,014
)
Subtotal
    
—
      
2,014
      
(2,014
)
Statutory valuation allowance adjustment
    
—
      
—
      
—
  
Admitted capital deferred tax assets
  
$
—
    
$
2,014
    
$
(2,014
)
Admitted deferred tax assets
  
$
340,316
    
$
138,856
    
$
201,460
  
                         
Deferred Tax Liabilities
                        
Ordinary:
                        
Investments
  
$
55,897
    
$
63,764
    
$
(7,867
)
Policyholder reserves
    
77,190
      
66,061
      
11,129
  
Other (including items <5% of total ordinary tax liabilities)
    
23,981
      
—
      
23,981
  
Subtotal
  
$
157,068
    
$
129,825
    
$
27,243
  
Capital:
                        
Investments
  
$
183,248
    
$
9,031
    
$
174,217
  
Other (including items <5% of total capital tax liabilities)
    
—
      
—
      
—
  
Subtotal
    
183,248
      
9,031
      
174,217
  
Total deferred tax liabilities
  
$
340,316
    
$
138,856
    
$
201,460
  
                         
Net deferred tax assets/liabilities
  
$
—
    
$
—
    
$
—
  

Valuation allowances are provided when it is considered more likely than not that some portion or all of the deferred tax assets will not be realized. Considering the historical financial information and projections of future taxable losses, we have determined that it is more likely than not, the portion of gross deferred tax assets subject to reversal from future taxable income exclusive of the reversing of temporary differences, will not be realized as of December 31, 2021. As of December 31, 2021 and 2020, the Company had valuation allowances of $539.3 and $360.3, respectively.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
The provision for federal income tax expense and change in deferred taxes differs from the amount which would be obtained by applying the statutory federal income tax rate to income (including capital items) before income taxes. The significant items causing this difference are as follow:
 
   
Year Ended December 31
  
    2021     2020  
    Amount    
Effective Tax
Rate
    Amount    
Effective Tax
Rate
  
   
(Amounts In Thousands)
  
Ordinary income (loss)
  
$
(744,550
)
        
$
1,279,130
        
Capital gain (loss)
    
(524,383
)
          
(1,150,348
)
      
Total pretax income (loss)
    
(1,268,933
)
          
128,782
        
Expected tax expense (benefit) at 21% statutory rate
    
(266,476
)
    
21.0
%
    
27,044
      
21.0
%
Increase (decrease) in actual tax reported resulting from:
                                
a.
   Dividends received deduction    
(23,055
)
    
1.8
%
    
(12,805
)
    
(9.9
)%
b.
   Interest maintenance reserve    
(21,239
)
    
1.7
%
    
28,428
      
22.0
%
c.
   Hedge losses    
293,178
      
(23.1
)%
    
(629
)
    
(0.5
)%
d.
   Reinsurance    
(2,534
)
    
0.2
%
    
(2,534
)
    
(2.0
)%
e.
   Reserve basis change            
—
%
    
(2,050
)
    
(1.6
)%
f.
   Change in valuation allowance    
178,953
      
(14.1
)%
    
(29,133
)
    
(22.6
)%
g.
   Prior year tax    
3,054
      
(0.2
)%
    
851
      
0.7
%
h.
   Intercompany dividend    
637
      
(0.1
)%
    
(9,444
)
    
(7.3
)%
j.
   Sec 332 liquidation adjustment    
(176,808
)
    
13.9
%
    
—
      
—
%
i.
   Other    
(43
)
    
—
%
    
(13
)
    
—
%
Total income tax reported
  
$
(14,333
)
    
1.1
%
  
$
(285
)
    
(0.2
)%
Current income taxes incurred
  
$
—
      
—
%
  
$
—
      
—
%
Change in deferred income tax*
    
(14,333
)
    
1.1
%
    
(285
)
    
(0.2
)%
Total income tax reported
  
$
(14,333
)
    
1.1
%
  
$
(285
)
    
(0.2
)%
 
* Excluding tax on unrealized gains (losses) and other surplus items
 
The Company is not under examination by any taxing authorities as of the years ended December 31, 2021, and 2020, and 2019, with years 2018, 2019, and 2020 still open for examination.

As of December 31, 2021, the Company’s tax credit carry forwards are as follows:

Year of Expiration
  
Amount
  
   
(In Thousands)
  
 2038
  
$
2
  
 2039
    
6
  
 2040
    
2
  
Total
  
$
10
  

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
As of December 31, 2021 the Company’s net operating loss carry forwards originated and expire as follows:

Year of
Origination
  
Year of Expiration
    
Amount
  
         
(In Thousands)
  
2018
    
N/A
    
$
485,273
  
2019
    
N/A
      
656,042
  
2020
    
N/A
      
89,029
  
2021
    
N/A
      
1,447,847
  

There are no amounts of federal income tax incurred that will be available for recoupment in the event of future net losses from 2021, 2020, and 2019.

There were no deposits admitted under Section 6603 of the Internal Revenue Service Code as of December 31, 2021.

The Company has no unrecorded tax liability as of December 31, 2021 and December 31, 2020.

The Company does not have any nonadmitted state tax credits at December 31, 2021 or 2020. The Company does not have any tax contingencies as of December 31, 2021 and 2020.
 
The Company recognizes accrued interest and penalties related to tax contingencies in federal income taxes and federal income tax expense on the balance sheets and statements of operations, respectively. The Company had no accrued interest as of December 31, 2021 and 2020.
 
11.
Investment in Subsidiaries

The Company has two wholly-owned subsidiaries as of December 31, 2021, Rocky Range, an Arizona pure captive insurance company, and CSLR.

Following the closing of the VIAC Acquisition effective June 1, 2018, Rocky Range became a wholly-owned subsidiary of the Company. In connection with the CSLR Acquisition, the Company recaptured all of the business and liabilities ceded to Rocky Range. As a result of the recapture, the Company and Rocky Range terminated the reinsurance agreement and all agreements then in place related to the reinsurance arrangement, including but not limited to the Funds Withheld Trust Agreement and Reinsurance Credit Trust Agreement, and the related Funds Withheld Trust and Reinsurance Credit Trust accounts. The Company no longer reinsures any business to Rocky Range as of June 1, 2021, and therefore maintains capital of $0.3 (minimum capital of $0.1 is required as prescribed under Arizona Revised Statutes Section 20-1096.03(A)(6)).

The Company purchased 100% of the issued and outstanding capital stock of CSLR on June 1, 2021 in connection with the CSLR Acquisition. CSLR is a reinsurance company authorized to operate in 49 states and the District of Columbia, and primarily assumes deferred variable annuity guaranteed minimum death benefit (“GMDB”), guaranteed minimum withdrawal benefit (“GMWB”) and guaranteed minimum income benefit (“GMIB”) riders, payout variable annuity contracts, and also assumes smaller blocks of structured settlements, group long-term disability, and ordinary life insurance business.
 
Pursuant to SSAP No. 97, Investments in Subsidiary Controlled and Affiliated entities, the Company reports its investments in Rocky Range and CSLR based on the subsidiary’s statutory surplus.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
The carrying value on the Company’s financial statements as of December 31, 2021 and 2020 are as follows:
 
   
December 31
  
    2021     2020  
   
(In Thousands)
  
Rocky Range
  
$
250
    
$
1,388,550
  
CSLR
  
$
1,578,233
    
$
—
  
Total carrying value of subsidiaries
  
$
1,578,483
    
$
1,388,550
  
 
Summarized financial information of the Company’s subsidiary of Rocky Range for the years ended December 31, 2021 and 2020 are as follows:
 
   
December 31
  
    2021     2020  
   
(In Thousands)
  
Revenues
  
$
626,085 $
      
962,359
  
Income (Loss) before net realized gains and losses
    
(1,568,111
)
    
(7,636
)
Net (loss) income
    
(1,528,815
)
    
(3,551
)
Admitted assets
    
250
      
3,214,905
  
Liabilities
    
—
      
1,826,355
  

Summarized financial information of the Company’s subsidiary of CSLR for the year ended December 31, 2021 is as follows:
 
   
December 31
2021
  
   
(In Thousands)
  
Revenues
  
$
15,722,107
  
Income (Loss) before net realized gains and losses
    
(352,196
)
Net income
    
30,525
  
Admitted assets
    
20,868,255
  
Liabilities
    
18,965,144
  

12.
Reinsurance
 
The Company utilizes reinsurance transactions to reduce its exposure to large losses. The Company bases its selection of a reinsurer on the financial strength of the reinsurer. Reinsurance treaties can be either in the form of ceding or assuming and are structured as monthly or yearly renewable term, coinsurance, modified coinsurance, funds withheld or a combination thereof. Reinsurance permits recovery of a portion of losses from reinsurers, although it does not discharge the Company’s primary liability as the direct insurer of the risks. To the extent that the assuming companies become unable to meet their obligations under these treaties, the Company remains contingently liable to its policyholders for the portion reinsured. To minimize its exposure to significant losses from reinsurer insolvencies, the Company evaluates the financial condition of the reinsurer and monitors concentrations of credit risk.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
The Company’s ceded reinsurance arrangements reduced / (increased) certain items in the accompanying financial statements by the following amounts:
 
   
December 31
  
    2021     2020  
   
(In Thousands)
  
Premiums
  
$
(162,678
)
  
$
81,079
  
Benefits paid or provided
    
2,181,296
      
2,021,353
  
Policy and contract liabilities at year end
    
9,279,398
      
5,597,732
  

The Company does not have any reinsurance agreements in effect under which the reinsurer may unilaterally cancel the agreement.

The Company did not have any assumed premiums for the years ended December 31, 2021 and 2020.
 
Reinsurance Transactions
 
In connection with the CSLR Acquisition, the Company recaptured its deferred variable annuity business previously reinsured to Rocky Range, its Arizona pure captive reinsurer, which is a wholly-owned subsidiary of the Company, effective June 1, 2021. As a result, the Company is no longer a party to a captive reinsurance agreement as of December 31, 2021. For the five months ended May 31, 2021 and as of December 31, 2020, the Company ceded, on a funds withheld coinsurance and modified coinsurance basis, certain variable annuity business to Rocky Range, which completes its financial statements on a modified U.S. GAAP basis.
 
The agreement had the economic impact of ceding 100% of the closed block variable annuity contracts previously issued by the Company, which included contracts with multiple rider guarantees, including minimum accumulation, income, death, and withdrawal benefits policies. Also, as a result of the reinsurance agreement at that time, Rocky Range could use letters of credit, which would not be admitted assets to the Company, to back some or all of the reserves. Under the terms of the agreement, the Company reinsured to Rocky Range on a funds withheld basis, 100% of the general account liabilities of the reinsured policies. The agreement also ceded on a modified coinsurance basis, 100% of the separate account liabilities. Under the modified coinsurance structure the Company retained control and owned all assets contained in the separate account and held separate account reserves.
 
The amount of reserves held by the captive reinsurer was $0.0 billion as of December 31, 2021 due to the above-noted recapture, and $1.7 billion as of December 31, 2020. The reserving basis was VM-21 for all deferred individual and group variable policies with guaranteed benefits. Rocky Range maintained a variable annuity hedge program prior to the business being recaptured, that was designed to mitigate market risk arising primarily from the minimum guarantees within the variable annuity products, whose economic costs were primarily dependent on future equity market returns, interest rate levels, equity volatility levels and policyholder behavior. The hedge target of the variable annuity hedge program was regulatory and rating agency capital and their sensitivities to immediate market movements.
 
Rocky Range is domiciled in the State of Arizona and under Arizona Insurance Statutes (“ARS”) 20-1098.07(A), the Arizona Department of Insurance and Financial Institutions (“DIFI”) permits a regulatory basis of accounting where a captive insurer may use U.S. GAAP or SSAP to prepare financial statement filings. Rocky Range has elected the U.S. GAAP basis of accounting. When a captive insurer elects to use U.S. GAAP, however, it is required to follow certain prescribed practices required by the DIFI, as follows:

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
1) Reinsurance reserve credits and recoverables are recorded as reductions from gross reserve liabilities, rather than as assets in accordance with U.S. GAAP;
2) Letters of credit (“LOC”) provided as capital funds are recorded as assets and reported at face value;
3) Surplus notes issued are recorded as surplus items in Shareholder’s equity, rather than as a liability in accordance with U.S. GAAP;
4) Fixed assets and prepaid expenses are recorded in Other assets; and
5) Deferred acquisition costs (“DAC”) are recorded as assets, consistent with U.S. GAAP, and are reported in Other assets.

In addition to the above described prescribed practices, Rocky Range has been granted approval by the DIFI to apply the following permitted practices:

1) To make retroactive capital contributions as permitted by SSAP No. 72, and notify the DIFI prior to posting the receivable, if utilized.
2) To record future policy benefit reserves assumed under various reinsurance agreements based on SSAP with an offsetting Sundry asset recorded, which is the excess of the SSAP reserve over the U.S. GAAP reserve.
3) To present the U.S. GAAP deferred gain resulting from its assumption of the business from the Company, net of related federal income taxes, as a separate component of Shareholder’s Equity. Amortization of the deferred liability will be recognized as income over the remaining lives of the underlying reinsured contracts, and the related tax impacts on federal income taxes will be included in income tax expense (benefit), in the Statement of Operations.
4) To hold a receivable in the funds withheld account and modified coinsurance account it establishes for AADE and AARe, respectively. Since the assets withheld by Rocky Range under the two retrocession agreements will be held by VIAC (which is Rocky Range’s direct parent), Rocky Range will continue to take reinsurance reserve credits for the reserves ceded under the two retrocession agreements to the extent the assets are held by VIAC rather than Rocky Range.
 
The Company is no longer a party to a captive reinsurer agreement, effective June 1, 2021, and therefore did  not take a reserve credit as of December 31, 2021 for any captive reinsurer agreements.

In connection with the CSLR Acquisition, the Company entered into a reinsurance agreement with CSLR, its wholly-owned subsidiary. Under this agreement, the Company cedes on a coinsurance and modified coinsurance basis, its deferred variable annuity business and payout annuity business to CSLR, effective June 1, 2021. As of December 31, 2021, reinsurance balances receivable are $46.8 which are included in Reinsurance balances on the balance sheet. As of December 31, 2021 the Company ceded reserves of $5.6 billion related to this agreement.

The Company reinsures 100% of its previously issued, fixed and fixed indexed annuity contracts to affiliated reinsurers.

The Company entered into a reinsurance agreement with AARe, a Bermuda reinsurer and wholly owned subsidiary of Athene. Under this agreement, the Company cedes on a modified coinsurance basis, an eighty percent (80%) quota share of certain liabilities with respect to certain fixed annuity business, and an eighty percent (80%) quota share of the net liability associated with the GMIB-annuitized contracts as they arise out of the variable annuity business of the Company. Under this modified coinsurance agreement, the Company holds all related assets and reserves on the balance sheet, with an additional modco adjustment recorded within reinsurance recoverables representing balances due to or due from AARe. This modco adjustment fluctuates with valuation changes in the related assets and liabilities such that all results are transferred to AARe with no net impact to the Company. As of December 31, 2021, the Company held $11.3 billion in reserves on behalf of AARe, and received $1.1 billion from AARe related to reinsurance activity.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
The Company simultaneously entered into a reinsurance agreement with AADE, an insurance company organized under the laws of the State of Delaware and an indirect wholly-owned subsidiary of Athene. Under this agreement, the Company cedes on a coinsurance basis, a twenty percent (20%) quota share of certain liabilities with respect to certain fixed annuity business, and a twenty percent (20%) quota share of the net liability associated with the GMIB-annuitized contracts as they arise out of the variable annuity business of the Company. Under this agreement, all assets and liabilities are transferred to AADE and are not presented on the Company’s balance sheet. As of December 31, 2021, the Company ceded reserves of $2.8 billion to AADE, and received $267.1 million from AADE related to reinsurance activity.
 
The Company reinsures its remaining business to third party reinsurers, in accordance with the VIAC Acquisition described in Note 1. The amount of reserves held was $979.9 and $934.0 as of December 31, 2021 and 2020, respectively. Most notable of which was the reinsurance agreement with ReliaStar Life Insurance Company, an insurance company organized under the laws of the State of Minnesota and an indirect wholly-owned subsidiary of Voya Financial, Inc. Under this agreement, the Company cedes on a coinsurance and modified coinsurance basis, its traditional individual life insurance, supplemental contracts consisting of life insurance proceeds, and certain deferred annuity and investment-only policies of the Company.

13.
Capital and Surplus
 
Under Iowa insurance regulations, the Company is required to maintain a minimum total capital and surplus of the greater of $5.0 or Risk Based Capital (“RBC”). Additionally, an extraordinary dividend or distribution is defined as a dividend or distribution that, together with other dividends and distributions made within the preceding twelve months, exceeds the greater of (1) 10% of the insurer’s policyholder surplus as of the preceding December 31; or (2) the insurer’s net gain from operations for the twelve-month period ended the preceding December 31, in each case determined in accordance with statutory accounting principles. Dividends are paid as determined by the Company’s Board of Directors. An extraordinary dividend or distribution cannot be paid without the prior approval of the Iowa Insurance Division. In addition, no dividend or other distribution exceeding an amount equal to an insurance company’s earned surplus may be paid without the domiciliary insurance regulator’s prior approval.
 
A surplus note with a carrying value and par value of $175.0 was issued to Voya Retirement Insurance and Annuity Company, a Connecticut corporation and at the time, an affiliate of the Company, on December 29, 2004 with December 29, 2034 as the date of maturity. Principal payments in the amounts of $15.4 and $22.2 were made on September 24, 2021 and November 1, 2021, respectively. Interest paid for the year ended December 31, 2021 and 2020 was $10.6 and $11.1, respectively. As of December 31, 2021 a total of $188.4 has been paid in interest. The interest rate associated with this surplus debenture is 6.3%. There was an immaterial amount of unapproved interest and/or principal associated with this surplus note as of December 31, 2021 and 2020.

A surplus note with a carrying value and par value of $175.0 was issued to ReliaStar Life Insurance Company (“RLI”), a Minnesota corporation, and at the time, an affiliate of the Company, on December 29, 2004 with December 29, 2034 as the date of maturity. Principal payments in the amounts of $15.4 and $22.2 were made on September 24, 2021 and November 1, 2021, respectively. Interest paid for the year ended December 31, 2021 and 2020 was $10.6 and $11.1, respectively. As of December 31, 2021, a total of $188.4 has been paid in interest. The interest rate associated with this surplus debenture is 6.3%. There was an immaterial amount of unapproved interest and/or principal associated with this surplus note as of December 31, 2021 and 2020.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
A surplus note with a carrying value and par value of $50.0 was issued to Equitable Financial Life Insurance Company, a New York corporation, on June 1, 2021, and an additional $10.0 was issued on December 31, 2021, with June 1, 2041 as the dates of maturity. Interest expense for the period ended December 31, 2021 was $1.4. The interest rate associated with this surplus debenture is 5.00%.
 
Payment of the notes and related accrued interest is subordinate to payments due to policyholders, claimant and beneficiary claims, as well as debts owed to all other classes of debtors, other than surplus note holders, of the Company in the event of (a) the institution of bankruptcy, reorganization, insolvency, or liquidation proceedings by or against the Company, or (b) the appointment of a Trustee, receiver or other conservator for a substantial part of the Company’s properties. Any payment of principal and/or interest made is subject to the prior approval of the Iowa Insurance Commissioner.
 
The Company paid an ordinary dividend and return of capital distribution in the amounts of $70.0 and $80.0 respectively, for an aggregate amount of $150.0 to its sole shareholder, Venerable Holdings, on November 15, 2021 after providing notice to the Iowa Insurance Division.
 
The Company paid an ordinary dividend in the amount of $32.0 to its sole shareholder, Venerable Holdings, on July 24, 2020 after providing notice to the Iowa Insurance Division.

Life and health insurance companies are subject to certain RBC requirements as specified by the NAIC. Under those requirements, the amount of capital and surplus maintained by a life and health insurance company is to be determined based on the various risk factors related to it. The Company exceeded the minimum RBC requirements that would require any regulatory or corrective action for all periods presented herein.

14.
Fair Values of Financial Instruments
 
The fair value of an asset is the amount at which that asset could be bought or sold in a current transaction between willing parties, that is, other than in a forced or liquidation sale. The fair value of a liability is the amount at which that liability could be incurred or settled in a current transaction between willing parties, that is, other than in a forced or liquidation sale.
 
Fair values are based on quoted market prices when available. When market prices are not available, fair value is generally estimated using discounted cash flow analyses, incorporating current market inputs for similar financial instruments with comparable terms and credit quality (matrix pricing). In instances where there is little or no market activity for the same or similar instruments, fair value can be estimated using methods, models and assumptions market participants would use to determine a current transaction price. These valuation techniques involve some level of estimation and judgment which becomes more significant with increasingly complex instruments or pricing models. Where appropriate, adjustments are included to reflect the risk inherent in a particular methodology, model or input used.
 
In cases where quoted market prices are not available, fair values are based on estimates using present value or other valuation techniques. Those techniques are significantly affected by the assumptions used, including the discount rate and estimates of future cash flows. In that regard, the derived fair value estimates cannot be substantiated by comparison to independent markets and, in many cases, could not be realized in immediate settlement of the financial instrument. Accordingly, the aggregate fair value amounts presented herein do not represent the underlying value of the Company.
 
Life insurance liabilities that contain mortality risk and all non-financial instruments have been excluded from the disclosure requirements. However, the fair values of liabilities under all insurance contracts are taken into consideration in the Company’s overall management of interest rate risk, such that the Company’s exposure to changing interest rates is minimized through the matching of investment maturities with amounts due under insurance contracts.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
The following methods and assumptions are used by the Company in estimating the fair value disclosures for financial instruments in the accompanying financial statements and notes thereto:

Cash, cash equivalents and short term investments: The carrying amounts reported in the accompanying balance sheets for these financial instruments approximate their fair values.

Bonds and equity securities: The Company utilizes a number of valuation methodologies to determine the fair values of its bonds, preferred stocks and common stocks reported herein in conformity with the concepts of “exit price” and the fair value measurement as prescribed in SSAP No. 100, Fair Value (“SSAP No. 100”). Valuations are obtained from third party commercial pricing services and asset managers.
 
Mortgage loans: Estimated fair values for commercial real estate loans were provided by asset managers.
 
Derivative financial instruments: Fair values for derivative financial instruments are obtained from third party commercial pricing services or based on prices from market data providers.

Individual and group annuities: The fair values for individual and group annuities with defined maturities are estimated using discounted cash flow calculations, based on interest rates currently being offered for similar contracts with maturities consistent with those remaining for the contracts being valued. For individual and group annuities, fair value is estimated to be the present surrender value.
 
Assets held in separate accounts: Assets held in separate accounts, excluding MVA’s, are reported at the quoted fair values of the underlying investments in the separate account. The underlying investments include mutual funds, short-term investments and cash, the valuation of which are based upon quoted market prices.
 
The carrying value of all other financial instruments approximates their fair value.
 
Included in various investment related line items in the financial statements are certain financial instruments carried at fair value. Other financial instruments are periodically measured at fair value, such as when impaired, or, for certain bonds and preferred stock when carried at the lower of cost or market.
 
Derivatives are carried at fair value, which is obtained from third party commercial pricing services or based on prices from the market data providers. Derivatives which qualify for special hedge accounting treatment are reported in a manner that is consistent with the accounting for the hedged asset or liability.
 
The Company’s financial assets and liabilities have been classified, for disclosure purposes, based on a hierarchy defined by SSAP No. 100.

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. Financial assets and liabilities recorded at fair value on the balance sheets 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 inputs that are observable either directly or indirectly for substantially the full term of the asset or liability. Level 2 inputs include the following:

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 

 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; and

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 valuations, whether derived internally or obtained from a third party, use critical assumptions that are not widely available to estimate market participant expectations in valuing the asset or liability.
 
The following valuation methods and assumptions were used by the Company in estimating the reported values for the investments and derivatives described below:

Bonds and other invested assets: Securities that are carried at fair value on the balance sheet are classified as Level 1, Level 2 or Level 3. The fair value of bonds and other invested assets classified as Level 1 are obtained through unadjusted quoted prices for identical assets or liabilities in an active market. Level 2 bond prices are obtained through several commercial pricing services, which incorporate a variety of market observable information in their valuation techniques, including benchmark yields, broker-dealer quotes, credit quality, issuer spreads, bids, offers and other reference data to provide estimated fair values. The fair value for privately placed bonds and other invested assets are provided by asset managers and are classified as Level 3 assets.
 
Preferred and Common Stocks: Fair values of publicly traded equity securities are based upon quoted market prices and are classified as Level 1 assets. Fair values of private equities or equity securities not traded on an exchange, are provided by asset managers and are classified as Level 3 assets.

Cash and short-term investments: The carrying amounts for cash reflect the assets’ fair values. The fair values for cash equivalents and short-term investments are determined based on quoted market prices. These assets are classified as Level 1.

Assets held in separate accounts: Assets held in separate accounts, excluding MVA’s, are reported at the quoted fair values of the underlying investments in the separate accounts. The underlying investments can include mutual funds, short-term investments and cash, the valuation of which are based upon a quoted market price and are included in Level 1. The underlying investments can also include bonds the valuation of which are obtained from third party commercial pricing services and brokers and are classified in the fair value hierarchy as either Level 2 or Level 3, consistent with the policies described above for fixed maturities.
 
Derivatives: The carrying amounts for these financial instruments, which can be assets or liabilities, reflect the fair value of the assets and liabilities. Certain derivatives are carried at fair value (on the balance sheets), which is obtained from third party commercial pricing services or based on prices from market data providers. All derivative instruments are valued based on market observable inputs and are classified as Level 2.
 
Mortgage loans: The fair values for mortgage loans are provided by asset managers. Mortgage loans are classified as Level 3.

Contract loans: The fair value of contract loans approximates the carrying value of the loans. Contract loans are collateralized by the cash surrender value of the associated insurance contracts and are classified as Level 1.

Deposit type contracts: Fair value is estimated as the present value of expected cash flows associated with the contract liabilities discounted using risk-free rates plus an adjustment for nonperformance risk. The valuation is consistent with current market parameters. Margins for non-financial risks associated with the contract liabilities are also included. These liabilities are classified as Level 3.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
The following table shows the Company’s financial instruments and the Level within the fair value hierarchy in which the fair value measurements fall as of December 31, 2021:
 

  
Aggregate
Fair Value
    
Carrying
Value
    
Level 1
    
Level 2
    
Level 3
  
   
(In Thousands)
  
Assets:
                              
Fixed maturities, including securities pledged
  
$
9,094,369
    
$
8,548,520
    
$
9,718
    
$
8,874,546
    
$
210,104
  
Preferred stock
    
60,903
      
60,491
      
9,074
      
40,605
      
11,224
  
Common stock
    
10,000
      
10,000
      
—
      
10,000
      
—
  
Mortgage loans
    
2,301,551
      
2,195,274
      
—
      
—
      
2,301,551
  
Policy loans
    
—
      
—
      
—
      
—
      
—
  
Contract loans
    
3,676
      
3,676
      
3,676
      
—
      
—
  
Other invested assets
    
43,185
      
37,415
      
—
      
43,186
      
—
  
Cash, cash equivalents and short-term investments
    
173,873
      
173,873
      
172,870
      
1,003
      
—
  
Derivatives
                                        
Credit contracts
    
—
      
—
      
—
      
—
      
—
  
Equity contracts
    
—
      
—
      
—
      
—
      
—
  
Foreign exchange contracts
    
—
      
—
      
—
      
—
      
—
  
Interest rate contracts
    
—
      
—
      
—
      
—
      
—
  
Securities lending reinvested collateral
    
—
      
—
      
—
      
—
      
—
  
Notes receivable from affiliate
    
—
      
—
      
—
      
—
      
—
  
Separate account assets*
    
25,410,484
      
25,372,984
      
25,014,682
      
325,944
      
69,858
  
Total assets
  
$
37,098,041
    
$
36,402,233
    
$
25,210,020
    
$
9,295,284
    
$
2,592,737
  
                                         
Liabilities:
                                        
Deposit type contracts
  
$
939,562
    
$
928,304
    
$
—
    
$
—
    
$
939,562
  
Derivatives
                                        
Equity contracts
     —      
—
      
—
      
—
      
—
  
Foreign exchange contracts     
    —      
—
      
—
      
—
      
—
  
Interest rate contracts
     —      
—
      
—
      
—
      
—
  
Borrowed money
     —      
—
      
—
      
—
      
—
  
Total liabilities
   $ 939,562    
$
928,304
    
$
—
    
$
—
    
$
939,562
  
 
* These amounts reflect prescribed or permitted practices that depart from the NAIC Accounting Practices and Procedures Manual, see Note 3, Summary of Significant Accounting Polices for additional information.
 
The Company did not have any financial instruments for which it was not practicable to estimate fair value as of December 31, 2021.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)

The following table shows the Company’s financial instruments and the Level within the fair value hierarchy in which the fair value measurements fall as of December 31, 2020:
 

  
Aggregate
Fair Value
    
Carrying
Value
    
Level 1
    
Level 2
    
Level 3
  
   
(In Thousands)
  
Assets:
                              
Fixed maturities, including securities pledged
  
$
18,052,305
    
$
16,122,818
    
$
1,152,742
    
$
16,307,132
    
$
592,430
  
Preferred stock
    
127,098
      
117,798
      
40,863
      
44,477
      
41,759
  
Common stock
    
12,038
      
12,038
      
—
      
12,026
      
12
  
Mortgage loans
    
3,587,486
      
3,404,838
      
—
      
—
      
3,587,486
  
Contract loans
    
4,421
      
4,421
      
4,421
      
—
      
—
  
Other invested assets
    
80,086
      
69,546
      
—
      
80,086
      
—
  
Cash, cash equivalents and short-term investments
    
856,636
      
856,606
      
819,224
      
37,293
      
119
  
Derivatives
                                        
Credit contracts
    
881
      
96
      
—
      
881
      
—
  
Equity contracts
    
994,366
      
994,366
      
—
      
994,366
      
—
  
Foreign exchange contracts
    
115
      
115
      
—
      
115
      
—
  
Interest rate contracts
    
443
      
443
      
—
      
443
      
—
  
Separate account assets*
    
25,652,978
      
25,595,175
      
25,146,448
      
427,681
      
78,849
  
Total assets
  
$
49,368,853
    
$
47,178,260
    
$
27,163,698
    
$
17,904,500
    
$
4,300,655
  
                                         
Liabilities:
                                        
Deposit type contracts
  
$
3,316,092
    
$
2,912,756
    
$
—
    
$
—
    
$
3,316,092
  
Derivatives
                                        
Equity contracts
    
1,238,662
      
1,238,662
      
—
      
1,238,662
      
—
  
Foreign exchange contracts
    
2,394
      
2,394
      
—
      
2,394
      
—
  
Interest rate contracts
    
—
      
—
      
—
      
—
      
—
  
Borrowed money
    
—
                                  
Total liabilities
  
$
4,557,148
    
$
4,153,812
    
$
—
    
$
1,241,056
    
$
3,316,092
  

* These amounts reflect prescribed or permitted practices that depart from the NAIC Accounting Practices and Procedures Manual, see Note 3 for additional information.
 
The Company did not have any financial instruments for which it was not practicable to estimate fair value as of December 31, 2020.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
The following tables show assets and liabilities measured and reported at fair value in which the fair value measurements use quoted prices in active markets for identical assets or liabilities (Level 1), significant other observable inputs (Level 2) and significant unobservable inputs (Level 3) as of December 31, 2021:

    Level 1     Level 2     Level 3     Total  
   
(In Thousands)
  
Assets:                        
Bonds
                        
U.S. corporate, state & municipal
  
$
—
    
$
—
    
$
—
    
$
—
  
Foreign
    
—
      
11,911
      
—
      
11,911
  
Preferred stock
    
9,074
      
36,601
      
—
      
45,675
  
Common stock
    
—
      
10,000
      
—
      
10,000
  
Other Long Term Assets
            
2,845
              
2,845
  
Separate account assets*
    
24,968,109
      
—
      
—
      
24,968,109
  
Total assets
  
$
24,977,183
    
$
61,357
    
$
—
    
$
25,038,540
  
                                 
Liabilities:
                                
Derivatives
                                
Equity contracts
  
$
—
    
$
—
    
$
—
    
$
—
  
Foreign exchange contracts
    
—
      
—
      
—
      
—
  
Interest rate contracts
    
—
      
—
      
—
      
—
  
Total liabilities
  
$
—
    
$
—
    
$
—
    
$
—
  
 
* These amounts reflect prescribed or permitted practices that depart from the NAIC Accounting Practices and Procedures Manual, see Note 3 for additional information.
 
The Company did not have any security transfers between Level 1 and Level 2 during 2021. The Company’s policy is to recognize transfers in and transfers out as of the beginning of the most recent quarterly reporting period.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
The following tables show assets and liabilities measured and reported at fair value in which the fair value measurements use quoted prices in active markets for identical assets or liabilities (Level 1), significant other observable inputs (Level 2) and significant unobservable inputs (Level 3) as of December 31, 2020:
 
    Level 1     Level 2
    Level 3     Total  
   
(In Thousands)
  
Assets:
                        
Bonds
                        
US corporate, state & municipal
  
$
—
    
$
3,350
    
$
—
    
$
3,350
  
Common stock
     —      
12,026
      
12
      
12,038
  
Derivatives
                                
Equity contracts
    
—
      
994,366
      
—
      
994,366
  
Foreign exchange contracts
    
—
      
115
      
—
      
115
  
Interest rate contracts
    
—
      
443
      
—
      
443
  
Separate account assets*
    
25,140,982
      
—
      
1,690
      
25,142,672
  
Total assets
  
$
25,140,982
    
$
1,010,300
    
$
1,702
    
$
26,152,984
  
                                 
Liabilities:
                                
Derivatives
                                
Equity contracts
     —       1,238,662       —       1,238,662  
Foreign exchange contracts
    —       2,394       —
       2,394  
Interest rate contracts
    
—
       —      
—
       —  
Total liabilities
  
$
—
     $ 1,241,056    
$
—
     $ 1,241,056  
 
* These amounts reflect prescribed or permitted practices that depart from the NAIC Accounting Practices and Procedures Manual, see Note 3 for additional information.
 
The Company did not have any security transfers between Level 1 and Level 2 during 2020. The Company’s policy is to recognize transfers in and transfers out as of the beginning of the most recent quarterly reporting period.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
The following table summarizes the change in fair value of the Company’s Level 3 assets and liabilities for the year ended December 31, 2021:

 
 
Description
  
Beginning
of the
Year
    
Transfers
into
Level 3
    
Transfers
Out of
Level 3
    
Total Gains
and
(Losses)
Included in
Net Income
    
Total
Gains and
(Losses)
Included
in Surplus
   
Purchases
    
Issuances
    
Sales
    
Settlements
    
End of
the
Year
  
(In Thousands)
  
Preferred Stock
    
—
      
4
      
—
      
—
      
—
      
—
      
—
      
(4
)
    
—
      
—
  
                                                                                 
Common Stock
    
12
      
—
      
—
      
—
      
—
      
—
      
—
      
(12
)
    
—
      
—
  
                                                                                 
Separate accounts
    
1,690
      
—
      
—
      
—
      
     
—
      
—
      
(1,690
)
            
—
  
Total Assets
  
$
1,702
    
$
4
    
$
—
    
$
—
    
$
—
     $
—
    
$
—
    
$
(1,706
)
  
$
—
    
$
—
  

Transfers in and out of Level 3 during the year ended December 31, 2021 are due to the variation in inputs relied upon for valuation each quarter. Securities that are primarily valued using independent broker quotes when prices are not available from one of the commercial pricing services are reflected as transfers into Level 3, as these securities are generally less liquid with very limited trading activity or where less transparency exists corroborating the inputs to the valuation methodologies. When securities are valued using more widely available information, the securities are transferred out of Level 3 and into Level 1 or 2, as appropriate.
 
The Company did not have any change in fair value within its Level 3 assets and liabilities for the year ended December 31, 2020.
 
There were no transfers in and out of Level 3 during the year ended December 31, 2020. Securities that are primarily valued using independent broker quotes when prices are not available from one of the commercial pricing services are reflected as transfers into Level 3, as these securities are generally less liquid with very limited trading activity or where less transparency exists corroborating the inputs to the valuation methodologies. When securities are valued using more widely available information, the securities are transferred out of Level 3 and into Level 1 or 2, as appropriate.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
15.
Commitments and Contingencies
 
Operating Leases - The Company is party to certain cost-sharing arrangements and service agreements with other affiliated companies. Included in these cost-sharing arrangements is rent expense, which is allocated to the Company in accordance with systematic cost allocation arrangements. The Company incurred rent expense of
 
$1.3 and $1.7 as of December 31, 2021, and 2020, respectively, under this cost-sharing methodology.
 
Legal Proceedings - The Company is involved in threatened or pending lawsuits/arbitrations arising from the normal conduct of business. Due to the climate in insurance and business litigation/arbitration, suits against the Company sometimes include claims for substantial compensatory, consequential or punitive damages and other types of relief. Certain claims are asserted as class actions, purporting to represent a group of similarly situated individuals. In addition, the life insurance industry has experienced litigation alleging, for example, that insurance companies have breached the terms of their life insurance policies by increasing the insurance rates of the applicable policies inappropriately or by factoring into rate adjustments elements not disclosed under the terms of the applicable policies, and, consequently, unjustly enriched themselves. This litigation is generally known as cost of insurance litigation. While it is not possible to forecast the outcome of such lawsuits/ arbitrations, in light of existing insurance, reinsurance and established reserves, it is the opinion of management that the disposition of such lawsuits/arbitrations will not have a material adverse effect on the Company’s operations or financial position.
 
Regulatory Matters - As with many financial services companies, the Company and its affiliates periodically receive informal and formal requests for information from various state and federal governmental agencies and self-regulatory organizations in connection with examinations, inquiries, investigations and audits of the products and practices of the Company or the financial services industry. Some of the investigations, examinations, audits and inquiries could result in regulatory action against the Company. The potential outcome of such regulatory action is difficult to predict but could subject the Company to adverse consequences, including, but not limited to, additional payments to beneficiaries, settlement payments, penalties, fines and other financial liability, and changes to the Company’s policies and procedures. The potential economic consequences cannot be predicted, but management does not believe that the outcome of any such action will have a material adverse effect on the Company’s financial position. It is the practice of the Company and its affiliates to cooperate fully in these matters.
 
Investment Purchase Commitments: As part of its overall investment strategy, the Company has entered into agreements to purchase private placements and commercial mortgages of $15.0 and $13.9 at December 31, 2021 and 2020, respectively. The Company is also committed to provide additional capital contributions to partnerships of $317.7 and $414.7 at December 31, 2021 and 2020, respectively.
 
Liquidity: The Company’s principal sources of liquidity are product charges, investment income, premiums, proceeds from the maturity and sale of investments, and capital contributions. Primary uses of these funds are payments of commissions and operating expenses, interest credits, investment purchases, and contract maturities, death benefits, withdrawals, surrenders, and dividends to its parent.
 
The Company’s liquidity position is managed by maintaining adequate levels of liquid assets, such as cash, cash equivalents, and short-term investments. In addition, the investment portfolio is primarily composed of high quality fixed income investments, which include holdings of U.S. Government securities, high quality corporate bonds and agency backed residential mortgage backed securities. Asset/liability management is integrated into many aspects of the Company’s operations, including investment decisions, product development, and determination of crediting rates. As part of the risk management process, different economic scenarios are modeled, including cash flow testing required for insurance regulatory purposes, to determine that existing assets are adequate to meet projected liability cash flows. Key variables in the modeling process include interest rates, anticipated contract owner behavior, and variable separate account performance. Contract owners bear the investment risk related to variable annuity products, subject, in limited cases, to certain minimum guaranteed rates.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
The fixed account liabilities are supported by a general account portfolio principally composed of fixed rate investments with matching duration characteristics that can generate predictable, steady rates of return. The portfolio management strategy for the general account considers the assets available-for-sale. This strategy enables the Company to respond to changes in market interest rates, prepayment risk, relative values of asset sectors and individual securities and loans, credit quality outlook, and other relevant factors. The Company’s asset/liability management discipline includes strategies to minimize exposure to loss as interest rates and economic and market conditions change. In executing this strategy, the Company uses derivative instruments to manage these risks. The Company’s derivative counterparties are of high credit quality.
 
On June 1, 2021, Kroll Bond Rating Agency (“KBRA”) affirmed an insurance financial strength rating of A- to the Company, and affirmed its debt rating of BBB to the Company’s surplus notes.

On June 25, 2020, KBRA assigned an insurance financial strength rating of A- to the Company, and a debt rating of BBB to the Company’s surplus notes.

On October 28, 2020, in response to the announcement that the Company has entered into an MTA with Equitable Holdings, Inc., KBRA placed the A- insurance financial strength rating and its debt rating of BBB to the Company’s surplus notes on Watch Developing.
 
The ratings of the Company by the rating agency are based on the rating agency’s specific views of the Company’s financial strength.

16.
Financing Agreements
 
The Company maintains a reciprocal loan agreement with Venerable Holdings to promote efficient management of cash and liquidity and to provide for short-term cash requirements. Under this agreement, which expires June 1, 2028, the Company and Venerable Holdings can lend funds to or borrow from each other up to 3% of the Company’s admitted assets excluding separate accounts as of the 31st day of December next preceding. The Company did not engage in any lending or borrowing under this agreement during the year ended December 31, 2021, and therefore did not incur any interest expense or receive any interest income. The Company received an immaterial amount of interest income and incurred an immaterial amount of interest expense for the year ended December 31, 2020. As of December 31, 2021, the Company had no outstanding receivable or outstanding payable balance with Venerable Holdings under the reciprocal loan agreement.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
17.
Related Party Transactions
 
The Company has entered into various management and services contracts and cost sharing arrangements with other affiliated Venerable Holdings companies which are allocated among companies in accordance with systematic cost allocation methods. The Company’s material related party agreements are detailed below:
 
Investment Management: The Company has entered into an investment advisory agreement with Apollo Insurance Solutions Group (“Apollo ISG”) under which Apollo ISG provides the Company with investment management services. For the year ended December 31, 2021 and 2020, expenses incurred related to this agreement were $35.3 and $39.1, respectively.
 
Service Agreements: The Company has entered into an inter-company agreement with its affiliates whereby the affiliates provide certain administrative, management, professional, advisory, consulting, and other services to each other. Management and service contracts and all cost-sharing arrangements are allocated among companies in accordance with systematic cost allocation methods. For the year ended December 31, 2021 and 2020, expenses incurred related to this agreement were $98.0 and $107.5, respectively.
 
The Company receives a monthly fee from DSL based on annual contractual rates by fund. This fee is calculated as a percentage of average assets in the variable separate accounts. Revenue earned by the Company under this arrangement was $52.5 and $49.7 for the years ended December 31, 2021 and 2020, respectively.

The Company has entered into an underwriting and distribution agreement with DSL, whereby DSL serves as the principal underwriter for annuity contracts issued by the Company. DSL is authorized to enter into agreements with broker-dealers to distribute the Company’s annuity contracts and appoint representatives of the broker-dealers as agents. For the periods ended December 31, 2021 and 2020, commissions were incurred in the amounts of $143.3 and $133.6, respectively.
 
See Note 11 regarding reinsurance agreements with related parties.
 
Tax Sharing Agreements: See Note 10 for disclosure related to the federal tax sharing agreement.

18.
Guaranty Fund Assessments
 
Insurance companies are assessed the costs of funding the insolvencies of other insurance companies by the various state guaranty associations, generally based on the amount of premium companies collect in that state. The Company accrues for the cost of potential future guaranty fund assessments based on estimates of insurance company insolvencies provided by the National Organization of Life and Health Insurance Guaranty Associations and the amount of premiums written in each state. The accrual methodology follows a retrospective-premium-based guaranty-fund assessments construct. The Company has estimated and recorded this liability to be $0.1 and $0.1 as of December 31, 2021 and 2020, respectively, and is reflected in accounts payable and accrued expenses on the balance sheets. The Company has also recorded an asset in other assets on the balance sheets of $0.5 and $0.5 as of December 31, 2021 and 2020, respectively, for future credits to premium taxes for assessments already paid and/or accrued. The periods over which the guaranty fund assessments are expected to be paid, the related premium tax offsets are expected to be realized and the additional industry support is expected to be paid are unknown at this time.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)

There are no premium tax offsets where it is reasonably possible that an impairment has occurred in accordance with SSAP No. 5R, Liabilities, Contingencies and Impairments of Assets (“SSAP No. 5R”).

A reconciliation of assets recognized is presented below:
 
    Year ended December 31  
    2021     2020  
   
(In Thousands)
  
Assets recognized from paid and accrued premium tax offsets as of December 31, 2020
  
$
528
    
$
623
  
                 
Decreases current year:                
Premium tax offset applied
    
33
      
61
  
Changes in premium tax offset capacity/other adjustments
    
7
      
40
  
                 
Increases current year:
                
GFA Liability Adjustment to estimate
    
29
      
—
  
Creditable assessments remitted
    
5
      
6
  
                 
Assets recognized from paid and accrued premium tax offsets as of December 31, 2021   $ 522     $ 528  
 
The following tables show guaranty fund liabilities and assets related to assessments from insolvencies as of December 31, 2021:
 
Discount Rate Applied 2.50 %

The undiscounted and discounted amount of the guaranty fund assessments and related assets by insolvency:
 

  
Guaranty Fund Assessment
    
Related Assets
  
Name of Insolvency
   Undiscounted     Discounted     Undiscounted    
Discounted
  

 
(In Dollars)
  
Penn Treaty
  
$
14
    
$
13
    
$
14
    
$
13
  
Senior American Insurance Company
  
$
4,474
    
$
3,955
    
$
4,474
    
$
3,955
  

Number of jurisdictions, ranges of years used to discount and weighted average number of years of the discounting time period for payables and recoverables by insolvency:
 

  
Payables
  
Recoverables
  
Name of Insolvency
  
Number of
Jurisdictions
  
Range of
Years
  
Weighted
Average
Number of
Years
  
Number of
Jurisdictions
  
Range of
Years
  
Weighted Average Number of
Years
  
N/A
  
N/A
  
N/A
  
N/A
  
N/A
  
N/A
  
N/A
  
 
The following tables show guaranty fund liabilities and assets related to assessments from insolvencies as of December 31, 2020:
 
Discount Rate Applied 2.50%

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)

The undiscounted and discounted amount of the guaranty fund assessments and related assets by insolvency:
 

  
Guaranty Fund Assessment
    
Related Assets
  
Name of Insolvency
  
Undiscounted 
       Discounted     Undiscounted    
 Discounted
  

   
(In Dollars)
  
Penn Treaty
  
$
14
    
$
13
    
$
14
    
$
13
  
Senior American Life Insurance Company
    
5,642
      
4,986
      
5,642
      
4,986
  
 
Number of jurisdictions, ranges of years used to discount and weighted average number of years of the discounting time period for payables and recoverables by insolvency:

    Payables    
Recoverables
  
Name of Insolvency
  
Number of
Jurisdictions
    
Range of
Years
    
Weighted
Average
Number of Years
    
Number of Jurisdictions
    
Range of Years
    
Weighted Average
Number of Years
  
Senior American Life Insurance Company
    
N/A
      
N/A
      
N/A
      
11
      
0-20
      
5
  

19.
Subsequent Events
 
As described in Note 1, CSLR, the Company’s wholly owned subsidiary, entered into a reinsurance agreement with John Hancock effective on February 1, 2022 when the JHUSA Transaction closed, under which CSLR assumes certain variable annuity contracts from John Hancock. CSLR is the reinsurer in this transaction, and, other than Venerable Holdings, CSLR, and John Hancock, no other legal entities are involved in this transaction, including the Company.
 
The Company is not aware of any additional events occurring subsequent to December 31, 2021 that may have a material effect on the Company’s financial statements. The Company evaluated events subsequent to December 31, 2021 through March 30, 2022, the date the statutory financial statements were available to be issued.

VENERABLE INSURANCE AND ANNUITY COMPANY
Notes to Financial Statements – Statutory Basis
December 31, 2021
(Dollar amounts in millions, unless otherwise stated)
 
20.
Reconciliation to Statutory Statement
 
During the preparation of the statutory-basis financial statement for the year ended December 31, 2020, the Company concluded an adjustment was necessary regarding a security payable that did not settle. It was determined that an ending position was carried as of December 31, 2020 that was previously cancelled, and should not have been reflected in the Company’s 2020 Statutory Annual Statement. This cancellation and the corresponding impacts were reflected in the 2020 audited financial statements as of December 31, 2020.
 
A reconciliation of the amounts previously reported in the Company’s 2020 Statutory Annual Statement as filed with the Iowa Insurance Division for the year ended December 31, 2020, to those reported in the 2020 audited financial statement is as follows:
 
For the year-ended December 31, 2020

   
2020 Annual
Statement
    
Adjustment
    
2020 Audited Financial Statements
  
Balance Sheet
  
(In Thousands)
  
Assets:
                  
Bonds
  
$
16,272,818
    
$
(150,000
)
  
$
16,122,818
  
Total admitted assets
  
$
49,487,766
    
$
(150,000
)
  
$
49,337,766
  
                         
Liabilities:
                        
Other liabilities
  
$
433,830
    
$
(150,000
)
  
$
283,830
  
Total liabilities
  
$
46,801,938
    
$
(150,000
)
  
$
46,651,938
  
                         
Capital and surplus:
                        
Total Capital and surplus
  
$
2,685,828
    
$
—
    
$
2,685,828
  
Total liabilities and capital and surplus
  
$
49,487,766
    
$
(150,000
)
  
$
49,337,766
  

For the year ended December 31, 2021, there are no known differences between the Company’s previously reported 2021 Statutory Annual Statement as filed with the Iowa Insurance division and the amounts reported and disclosed herein.

Supplementary Information

 
  
Ernst & Young LLP
One Commerce Square
Suite 700
2005 Market Street
Philadelphia, PA 19103
  
 

Report of Independent Auditors on Supplementary Information

The Board of Directors and Stockholder Venerable Insurance and Annuity Company
 
We have audited the statutory-basis financial statements of Venerable Insurance and Annuity Company (the Company) as of and for the year ended December 31, 2021 and 2020, and have issued our report thereon dated March 30, 2022, which contained 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 Insurance Division, Department of Commerce, of the State of Iowa on those financial statements. Our audit was performed for the purpose of forming an opinion on the financial statements as a whole. The accompanying supplemental schedule of selected statutory-basis financial data, supplemental schedule of life and health reinsurance disclosures, and supplemental investment disclosures are presented to comply with the National Association of Insurance Commissioners’ Annual Statement Instructions and the National Association of Insurance Commissioners’ Accounting Practices and Procedures Manual and for purposes of additional analysis and are not a required part of the financial statements. Such information is the responsibility of management and was derived from and relates directly to the underlying accounting and other records used to prepare the financial statements. The information has 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 financial statements or to the financial statements themselves, and other additional procedures in accordance with auditing standards generally accepted in the United States of America. In our opinion, the information is fairly stated, in all material respects, in relation to the financial statements as a whole.

Restriction on Use

This report is intended solely for the information and use of the Company and state insurance departments to whose jurisdiction the Company is subject and is not intended to be and should not be used by anyone other than these specified parties.

 
March 30, 2022

VENERABLE INSURANCE AND ANNUITY COMPANY
Supplemental Schedule of Selected Statutory Basis Financial Data
December 31, 2021
(In Thousands)
 
Investment Income Earned:
        
U.S. government bonds
  
$
8,780
  
Other bonds (unaffiliated)
    
545,893
  
Bonds of affiliates
    
2,233
  
Preferred stocks (unaffiliated)
    
4,321
  
Common stocks (unaffiliated)
    
337
  
Common stocks of affiliates
    
(3,031
)
Mortgage loans
    
128,248
  
Contract loans
    
214
  
Cash on hand and on deposit
    
2,645
  
Short-term investments
    
166
  
Other invested assets
    
70,290
  
Derivative instruments
    
(243,546
)
Gross investment income
  
$
516,550
  
         
Mortgage Loans (Book Value):        
Commercial mortgages
  
$
2,195,274
  
Total mortgage loans
  
$
2,195,274
  
         
Mortgage Loans by Standing (Book Value):        
Good standing
  
$
2,195,274
  
Total mortgage loans by standing
  
$
2,195,274
  
         
Other long-term assets (statement value)
  
$
656,032
  
         
Contract loans
  
$
3,676
  
         
Bonds and Stocks of Parents, Subsidiaries and Affiliates (Book Value):
        
Bonds
  
$
95,082
  
Common Stocks
    
1,692,678
  
Total Bonds and Stocks of Parents, Subsidiaries and Affiliates
  
$
1,787,760
  

VENERABLE INSURANCE AND ANNUITY COMPANY
Supplemental Schedule of Selected Statutory Basis Financial Data
December 31, 2021
(In Thousands)
 
Bonds and Short-term Investments by NAIC Designation and Maturity:      
Bonds and Short-term Investments by Maturity (Statement Value):
      
Due within 1 year or less
  
$
686,774
  
Over 1 year through 5 years
    
2,779,126
  
Over 5 years through 10 years
    
2,870,835
  
Over 10 years through 20 years
    
1,561,705
  
Over 20 years
    
651,084
  
Total by maturity
  
$
8,549,524
  
Bonds and Short-term Investments by NAIC Designation (Statement Value):
        
NAIC 1
  
$
3,905,155
  
NAIC 2
    
4,281,569
  
NAIC 3
    
332,293
  
NAIC 4
    
23,443
  
NAIC 5
    
4,913
  
NAIC 6
    
2,151
  
Total by NAIC Designation
  
$
8,549,524
  
Total bonds and short-term investments publicly traded
  
$
2,918,463
  
Total bonds and short-term investments privately placed
  
$
5,631,061
  
Preferred stocks (statement value)
  
$
60,491
  
Common stocks, including subsidiaries (market value)
  
$
1,702,678
  
Short-term investments (book value)
  
$
1,004
  
Cash equivalents
  
$
109,000
  
Financial options owned (statement value)
  
$
—
  
Financial options written and in force (statement value)
  
$
—
  
Financial collar, swap and forward agreements open (statement value)
  
$
—
  
Financial futures contracts open (current value)
  
$
—
  
Cash on deposit
  
$
15,938
  
Life Insurance in Force:        
Ordinary
  
$
1,849
  
Group life
  
$
59
  
Amount of accidental death insurance in force under ordinary policies
  
$
37
  

VENERABLE INSURANCE AND ANNUITY COMPANY
Supplemental Schedule of Selected Statutory Basis Financial Data
December 31, 2021
(In Thousands)
 
Life Insurance Policies with Disability Provisions in Force:
      
Ordinary
  
$
58
  
Group life
  
$
—
  
Supplementary Contracts in Force:
        
Ordinary-not involving life contingencies:
        
Amount on deposit
  
$
—
  
Income payable
  
$
93,044
  
Ordinary-involving life contingencies:
        
Amount on deposit
  
$
—
  
Amount of income payable
  
$
81,959
  
Group-not involving life contingencies:
        
Amount on deposit
  
$
—
  
Amount of income payable
  
$
—
  
Group-involving life contingencies:
        
Amount on deposit
  
$
—
  
Amount of income payable
  
$
—
  
Annuities:
        
Ordinary:
        
Immediate-amount of income payable
  
$
—
  
Deferred-fully paid account balance
  
$
14,505,192
  
Deferred-not fully paid account balance
  
$
6,342,608
  
Group:
        
Amount of income payable
  
$
—
  
Fully paid account balance
  
$
15,235,522
  
Not fully paid account balance
  
$
176,808
  
Accident and Health Insurance Premiums in Force:
        
Ordinary
  
$
—
  
Group
  
$
—
  
Deposit Funds and Dividend Accumulations:
        
Deposit funds-account balance
  
$
—
  
Dividend accumulations-account balance
  
$
—
  

VENERABLE INSURANCE AND ANNUITY COMPANY
Investment Risk Interrogatories
December 31, 2021
(In Thousands)
 
I.
Investment Risk Interrogatories
 
The Company’s total admitted assets (excluding separate account assets) as reported on page two of its Annual Statement for the year ended December 31, 2021 is $13.6 billion.


 1.
Following are the 10 largest exposures to a single issuer/borrower/investment, by investment category, excluding: (i) U.S. government, U.S. government agency securities and those U.S. government money market funds listed in the Appendix to the SVO Practices and Procedures Manual as exempt, (ii) property occupied by the Company, and (iii) contract loans:

 
Issuer
  
Investment
Category
    Amount      
Percentage
of Total
Admitted
Assets*
  
i.
Corporate Solutions Life Reinsurance Company
  
Common Stock
  
$
1,692,428
      
12.4
%
ii.
AP Tundra Holdings LLC
  
Bonds
    
136,613
      
1.0
  
iii.
Ace Credit Fund, LP
  
Bonds
    
131,412
      
1.0
  
iv.
Cayman Universe Holdings LLC
  
Bonds
    
120,154
      
0.9
  
v.
BlackRock Liquidity Funds - FedFund
  
Money Market Mutual Fund
    
109,000
      
0.8
  
vi.
 
AA Infrastructure Fund 1 Ltd
  
Bonds, Preferred Stock
    
103,149
      
0.8
  
vii.
 
H&R NNN Pool 3
  
Commercial Mortgage
    
97,673
      
0.7
  
viii.
SVF II FINCO (CAYMAN) LP
  
Bonds
    
69,016
      
0.5
  
ix.
Bank of America Corporation
  
Bonds
    
57,839
      
0.4
  
x.
Vector Limited
  
Bonds
    
55,150
      
0.4
  


2.
The Company’s total admitted assets held in bonds and short term investments (excluding reciprocal borrowings) and preferred stocks, by NAIC designating at December 31, 2021, are:
 
Bonds
  
Preferred Stocks
  
 
 
NAIC Rating
  
Amount
    
Percentage
of Total
Admitted
Assets*
  
 
 
NAIC Rating
  
Amount
    
Percentage
of Total
Admitted
Assets*
  
NAIC-1
  
$
3,905,155
      
28.7
%
P/RP-1
  
$
14,815
      
0.1
%
NAIC-2
    
4,281,569
      
31.5
  
P/RP-2
    
31,697
      
0.2
  
NAIC-3
    
332,293
      
2.4
  
P/RP-3
    
5,912
      
0.0
  
NAIC-4
    
23,443
      
0.2
  
P/RP-4
    
—
      
—
  
NAIC-5
    
4,913
      
0.0
  
P/RP-5
    
—
      
—
  
NAIC-6
    
2,151
      
0.0
  
P/RP-6
    
8,067
      
0.1
  
   
$
8,549,524
               
$
60,491
          

* Excludes separate accounts

VENERABLE INSURANCE AND ANNUITY COMPANY
Investment Risk Interrogatories
December 31, 2021
(In Thousands)
 

 3.
Following are the Company’s total admitted assets held in foreign investments (regardless of whether there is any foreign currency exposure) and unhedged foreign currency exposure (defined as the statement value of investments denominated in foreign currencies which are not hedged by financial instruments qualifying for hedge accounting as specified in SSAP No. 86, including: (i) foreign currency denominated investments of $0 million supporting insurance liabilities denominated in that same foreign currency of $0 million, and excluding (ii) Canadian investments of $251.1 million which includes unhedged currency exposure of $0 million as of December 31, 2021):
 

 a.
Aggregate foreign investment exposure categorized by NAIC sovereign rating:
 
 
Amount
  
Percentage of Total Admitted Assets*
  
i.
Countries rated NAIC-1
  
$
2,476,487
      
18.2
%
ii.
Countries rated NAIC-2
    
164,167
      
1.2
  
iii.
Countries rated NAIC-3 or below
    
57,511
      
0.4
  


b.
Two largest foreign investment exposures to a single country, categorized by the country’s NAIC sovereign rating:

      Amount    
Percentage of
Total Admitted
Assets*
  
i.
Countries Rated NAIC-1:
            
 
Country: Cayman Islands
   $ 1,134,088      
8.3
%
 
Country: United Kingdom
     282,807      
2.1
  
                   
ii.
Countries Rated NAIC-2:
                
 
Country: Mexico
    
53,458
      
0.4
  
 
Country: Indonesia
    
32,045
      
0.2
  
 
               
iii.
Countries Rated NAIC-3 or Below:                

Country: Guernsey
    
19,461
      
0.1
  

Country: Colombia
    
13,946
      
0.1
  


c.
Aggregate unhedged foreign currency exposure: Not applicable.
 

 d.
Aggregate unhedged foreign currency exposure categorized by NAIC sovereign designating: Not applicable.


e.
The two largest unhedged foreign currency exposures to a single country, categorized by the country’s NAIC sovereign rating: Not applicable.

* Excludes separate accounts

VENERABLE INSURANCE AND ANNUITY COMPANY
Investment Risk Interrogatories
December 31, 2021
(In Thousands)
 

 f.
The ten largest non–sovereign (i.e. non–governmental) foreign issues:
 
 
 
Name
  
NAIC Rating
    
Amount
    
Percentage of
Total Admitted
Assets*
  
i.
Cayman Universe Holdings LLC
    
1
    
$
120,154
      
0.9
%
ii.
AA Infrastructure Fund 1 Ltd
    
1,6
      
103,149
      
0.8
  
iii.
Vector Limited
    
2
      
55,150
      
0.4
  
iv.
RR 19 Ltd.
    
1,2
      
52,110
      
0.4
  
v.
Antares CLO 2018-2, Ltd.
    
1
      
38,485
      
0.3
  
vi.
Coöperatieve Rabobank U.A.
    
1,2
      
36,969
      
0.3
  
vii.
HSBC Holdings plc
    
1,2
      
32,897
      
0.2
  
viii.
Crédit Agricole S.A.
    
1,2
      
31,992
      
0.2
  
ix.
Severn Trent Water Limited
    
2
      
26,000
      
0.2
  
x.
Diameter Credit Funding I Ltd
    
1,2
      
24,742
      
0.2
  
 

 4.
Assets held in Canadian investments are less than 2.5% of the Company’s total admitted assets.
 

 5.
Assets held in investments with contractual sales restrictions are less than 2.5% of the Company’s total admitted assets.
 

 6.
Assets held in equity interests are greater than 2.5% of the Company’s total admitted assets.

     
Amount
    
Percentage of Total
Admitted Assets*
  
i.
Corporate Solutions Life Reinsurance Company
  
$
1,692,428
      
12.4
%
ii.
NNN Investor 1 LP
    
32,141
      
0.2
  
iii.
Pretium Olympus JV LP
    
25,257
      
0.2
  
iv.
C-III Recovery Fund III LP
    
24,800
      
0.2
  
v.
Sfr Delos Gp, L.l.c.
    
21,208
      
0.2
  
vi.
Griffis Premium Apartment Fund IV
    
20,597
      
0.2
  
vii.
Apollo Overseas Partners Lux IX
    
20,574
      
0.2
  
viii.
Apollo Tundra SPV
    
19,325
      
0.1
  
ix.
The Bank of New York Mellon Corporation
    
17,916
      
0.1
  
x.
Castlelake Aviation III LP
    
15,887
      
0.1
  


7.
Assets held in nonaffiliated, privately placed equities are less than 2.5% of the Company’s total admitted assets.
 

 8.
Assets held in general partnership interests are less than 2.5% of the Company’s total admitted assets.
 
* Excludes separate accounts

VENERABLE INSURANCE AND ANNUITY COMPANY
Investment Risk Interrogatories
December 31, 2021
(In Thousands)
 
 
9.
With respect to mortgage loans, the Company’s total admitted assets are as follows:
 
 
a.
The 10 largest aggregate mortgage interests. The aggregate mortgage interest represents the combined value of all mortgages secured by the same property or same group of properties:



Type/Property   Amount     Percentage of Total Admitted Assets*  
i.
H&R NNN Pool 3
  
$
97,673
      
0.7
%
ii.
Twin Spans Business Park, LLC
    
45,746
      
0.3
  
iii.
Renaissance Square
    
39,484
      
0.3
  
iv.
181 Fremont Office Senior Mezz LLC
    
35,178
      
0.3
  
v.
666 5th Avenue
    
34,712
      
0.3
  
vi.
HPA JV Borrower 2019-1 ATH LLC
    
32,098
      
0.2
  
vii.
AON Center
    
30,000
      
0.2
  
viii.
245 Park Avenue Mezz A LLC
    
29,907
      
0.2
  
ix.
Win Ridge Shopping Center-DE LLC
    
29,528
      
0.2
  
x.
Palm Springs Mile Associates, Ltd
    
27,800
      
0.2
  
 
 
b.
The Company’s total admitted assets held in the following categories of mortgage loans as of December 31, 2021:
 

 
Amount
    
Percentage of Total Admitted Assets*
  
i.
  
Construction loans
  
$
—
      
0.0
%
ii.
  
Mortgage loans over 90 days past due
    
—
      
—
  
iii.
  
Mortgage loans in the process of foreclosure
    
—
      
—
  
iv.
  
Mortgage loans foreclosed
    
—
      
—
  
v.
  
Restructured mortgage loans
    
—
      
—
  

* Excludes separate accounts

VENERABLE INSURANCE AND ANNUITY COMPANY
Investment Risk Interrogatories
December 31, 2021
(In Thousands)

 
c.
Aggregate mortgage loans having the following loan to value ratios as determined from the most current appraisal as of December 31, 2021:




 
Residential
    
Commercial
    
Agricultural
  


Loan-to-Value
  
Amount
    
Percentage
of Total
Admitted
Assets*
    
Amount
    
Percentage
of Total
Admitted
Assets*
    
Amount
    
Percentage
of Total
Admitted Assets*
  
i.
  
above 95%
  
$
—
      
—
%
  
$
—
      
—
%
  
$
—
      
—
%
ii.
  
91% to 95%
    
—
      
—
      
—
      
—
      
—
      
—
  
iii.
  
81% to 90%
    
—
      
—
      
—
      
0.0
      
—
      
—
  
iv.
  
71% to 80%
    
—
      
—
      
102,653
      
0.8
      
—
      
—
  
v.
  
below 70%
    
—
      
—
      
2,092,621
      
15.4
      
—
      
—
  
        
$
—
            
$
2,195,274
            
$
—
          
 
 
10.
Assets held in each of the five largest investments in one parcel or group of contiguous parcels of real estate are less than 2.5% of the Company’s total admitted assets.

 
11.
The Company’s total admitted assets subject to the following types of agreements as of December 31, 2021:











Unaudited At End of Each Quarter
  




At Year End
    
1st Quarter
    
2nd Quarter
    
3rd Quarter
  




Amount
    
Percentage
of Total
Admitted
Assets*
    
Amount
    
Amount
    
Amount
  
i.
  
Securities lending (do not  include assets held as collateral for such transactions)
$
—
      
—
%
  
$
—
    
$
—
    
$
—
  
ii.
  
Repurchase agreements
 
—
      
—
      
365,000
      
—
      
—
  
iii.
  
Reverse repurchase agreements
 
—
      
—
      
—
      
—
      
—
  
iv.
  
Dollar repurchase agreements
 
—
      
—
      
—
      
—
      
—
  
v.
  
Dollar reverse repurchase agreements
  —


—


—


—


—
  

 
12.
Amounts and percentages of the Company’s total admitted assets for warrants not attached to other financial instruments, options, caps, and floors as of December 31, 2021:
 

 
Owned
    
Written
  



 
Amount
    
Percentage
of Total
Admitted
Assets*
    
Amount
    
Percentage
of Total
Admitted
Assets*
  
i.
Hedging
  
$
—
      
—
%
   $ —      
—0.0
%
ii.
Income generation
     —      
—
       —      
—
  
iii.
Other
     —      
—
       —      
—
  

* Excludes separate accounts

VENERABLE INSURANCE AND ANNUITY COMPANY
Investment Risk Interrogatories
December 31, 2021
(In Thousands)
13.
The Company’s potential exposure (defined as the amount determined in accordance with the NAIC Annual Statement Instructions) for collars, swaps, and forwards as of December 31, 2021:
 








Unaudited At End of Each Quarter
  



 
At Year End

1st Quarter
    
2nd Quarter
    
3rd Quarter
  



 
Amount
    
Percentage
of Total
Admitted
Assets*

Amount
    
Amount
    
Amount
  
i.
  
Hedging
  
$
—
      
—
%
  
$
50
    
$
—
    
$
—
  
ii.
  
Income Generation
    
—
      
—
       —
     
—
      
—
  
iii.
  
Replications
    
—
       —      
25,000
      
—
      
—
  
iv.
  
Other
    
—
       —      
7,250,723
      
—
      
—
  
 
 
14.
The Company’s potential exposure (defined as the amount determined in accordance with NAIC Annual Statement Instructions) for futures contracts as of December 31, 2021:




             
Unaudited At End of Each Quarter
 



 
At Year End
    
1st Quarter
    
2nd Quarter
    
3rd Quarter
  



 
Amount
    
Percentage
of Total
Admitted
Assets*
    
Amount
    
Amount
    
Amount
  
i.
  
Hedging
  
$
—
      
—
%
  
$
50
    
$
—
    
$
—
  
ii.
  
Income Generation
    
—
      
—
       —
     
—
      
—
  
iii.
  
Replications
    
—
       —      
—
     
—
      
—
  
iv.
  
Other
    
—
       —      
175,455
      
—
      
—
  

* Excludes separate accounts

VENERABLE INSURANCE AND ANNUITY COMPANY
Summary Investment Schedule
December 31, 2021
(In Thousands)

II.
Summary Investment Schedule



Gross Investment
Holdings*

Admitted Assets as Reported in the Annual Statement
  


Amount
    
Percentage
of Total

Amount

Securities
Lending Reinvested
Collateral
Amount

Total
Amount

Percentage
of Total
  
Long-Term Bonds (Schedule D, Part 1)
                                    
U.S. governments
  
$
9,777
      
0.1
%
  
$
9,777
     $ —    
$ 
9,777
      
0.1
%
All Other governments
    
108,247
      
0.8
%
    
108,247
       —      
108,247
      
0.8
%
U.S. states, territories and possessions, etc. guaranteed
    
37,770
      
0.3
%
    
37,770
       —      
37,770
      
0.3
%
U.S. political subdivisions of states, territories and possessions, guaranteed
    
78,131
      
0.6
%
    
78,131
       —      
78,131
      
0.6
%
U.S. special revenue and special assessment obligations, etc. non-guaranteed
    
4,783
      
—
%
    
4,783
       —      
4,783
      
—
%
Industrial and miscellaneous
    
8,133,771
      
61.1
%
    
8,133,771
       —      
8,133,771
      
61.1
%
Hybrid securities
    
74,618
      
0.6
%
    
74,618
       —      
74,618
      
0.6
%
Parent, subsidiaries and affiliates
    
95,082
      
0.7
%
    
95,082
       —      
95,082
      
0.7
%
Unaffiliated Bank loans
    
6,341
      
—
%
    
6,341
       —      
6,341
      
—
%
Total long term bonds
    
8,548,520
      
64.2
%
    
8,548,520
       —      
8,548,520
      
64.2
%
Preferred stocks (Schedule D Part 2, Section 1)
                             —                  
Industrial and miscellaenous (Unaffiliated)
    
60,491
      
0.5
%
    
60,491
       —      
60,491
      
0.5
%
Parent, subsidiaries and affiliates
    
—
      
—
%
    
—
       —      
—
      
—
%
Total preferred stocks
    
60,491
      
0.5
%
    
60,491
       —      
60,491
      
0.5
%
Common stocks (Schedule D Part 2, Section 2)
                                                
Industrial and miscellaneous Publicly traded (Unaffiliated)
    
—
      
—
%
    
—
       —      
—
      
—
%
Industrial and miscellaneous other (Unaffiliated)
    
10,000
      
0.1
%
    
10,000
       —      
10,000
      
0.1
%
Parent, subsidiaries and affiliates Other
    
1,692,678
      
12.7
%
    
1,692,678
       —      
1,692,678
      
12.7
%
Total common stocks
    
1,702,678
      
12.8
%
    
1,702,678
       —      
1,702,678
      
12.8
%
Mortgage loans (Schedule B)
                             —                  
Commercial mortgages
    
2,195,273
      
16.5
%
    
2,195,273
       —      
2,195,273
      
16.5
%
Total mortgage loans
    
2,195,273
      
16.5
%
    
2,195,273
       —      
2,195,273
      
16.5
%
Cash, cash equivalents and short-term investments
                                                
Cash (Schedule E, Part 1)
    
15,938
      
0.1
%
    
15,938
       —      
15,938
      
0.1
%
Cash equivalents (Schedule E, Part 2)
    
109,000
      
0.8
%
    
109,000
       —      
109,000
      
0.8
%
Short-term investments (Schedule DA)
    
1,004
      
—
%
    
1,004
       —      
1,004
      
—
%
Total cash, cash equivalents and short term investments
    
125,942
      
0.9
%
    
125,942
       —      
125,942
      
0.9
%
Contract loans
    
3,676
      
—
%
    
3,676
       —      
3,676
      
—
%
Derivatives (Schedule DB)
    
—
      
—
%
    
—
       —      
—
      
—
%
Other invested assets (Schedule BA)
    
656,031
      
5.0
%
    
656,031
       —      
656,031
      
5.0
%
Receivables for securities
    
14,837
      
0.1
%
    
14,837
       —      
14,837
      
0.1
%
Other invested assets
    
—
      
—
%
    
—
       —      
—
      
—
%
Total invested assets
  
$
13,307,448
      
100.0
%
  
$
13,307,448
     $ —    
$ 
 13,307,448
      
100.0
%

* Excludes separate accounts

VENERABLE INSURANCE AND ANNUITY COMPANY
Supplemental Schedule of Life and Health 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 (“SSAP No. 61R”), which apply to reinsurance contracts entered into, renewed or amended on or after January 1, 1996.

 
1.
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 other provisions that result in similar effects.

Yes          No ☑
 
If yes, the number of reinsurance contracts to which such provisions apply would be disclosed here.

If yes, indicate if deposit accounting was applied for all contracts subject to Appendix A-791 that limit significant risks.

Yes          No          N/A ☑
 
 
2.
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 ☑

If yes, the number of reinsurance contracts to which such provisions apply would be disclosed here. If yes, indicate whether the reinsurance credit was reduced for the risk-limiting features.

Yes          No          N/A ☑

 
3.
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 may 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 ☑

 
4.
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?

* Excludes separate accounts

VENERABLE INSURANCE AND ANNUITY COMPANY
Supplemental Schedule of Life and Health Reinsurance Disclosures
December 31, 2021

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

 
5.
Has the Company ceded any risk, which 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 statutory accounting principles (SAP) and as a deposit under generally accepted accounting principles (GAAP); or

Yes          No          N/A ☑

 
b.
Accounted for that contract as reinsurance under GAAP and as a deposit under SAP?

Yes          No          N/A ☑

If the answer to item (a) or item (b) was yes, relevant information regarding GAAP to SAP differences from the accounting policy footnote to the audited statutory-basis financial statements to explain why the contract(s) is treated differently for GAAP and SAP would be disclosed here.

* Excludes separate accounts

VENERABLE INSURANCE AND ANNUITY COMPANY
Note to Supplementary Information
December 31, 2021

1.
Basis of Presentation

The accompanying supplemental information presents selected statutory basis financial data as of December 31, 2021 and for the year then ended for purposes of complying with the National Association of Insurance Commissioners’ Annual Statement Instructions and Accounting Practices and Procedures Manual and agrees to or is included in the amounts reported in the Company’s 2021 Statutory Annual Statement as filed with the Iowa Insurance Division.


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