FGL Holdings - FORM 8-K - EX-99.2

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EX-99.1 - EX-99.1 - FGL Holdings	fglholdings3312020earn.htm
8-K - 8-K - FGL Holdings	fgl-20200506.htm

Exhibit 99.2

FGL Holdings (“F&G”; NYSE: FG)

Financial Supplement

March 31, 2020

(Year Ended December 31)

The financial statements and financial exhibits included herein are unaudited. These financial statements and exhibits should be read in conjunction with the Company's periodic reports on Form 10-K, Form 10-Q and Form 8-K.

Non-GAAP Financial Measures

This document contains certain non-GAAP financial measures commonly used in our industry that, together with the relevant GAAP measures, may enhance a user’s ability to analyze the Company's operating performance and capital position for the periods presented. These measures should be considered supplementary to our results in accordance with GAAP and should not be viewed as a substitute for the GAAP measures and are not intended to replace GAAP financial results. Our non-GAAP measures may not be comparable to similarly titled measures of other organizations because other organizations may not calculate such non-GAAP measures in the same manner.

FGL HOLDINGS

Financial Supplement - March 31, 2020

(All periods are unaudited)


			Page
A . Financial Highlights
Consolidated Financial Highlights			3
Condensed Consolidated Balance Sheets			4
Condensed Consolidated Statements of Operations			6
Reconciliation from Net Income (Loss) to AOI			7
Adjusted Operating Income Statement			8
Notable Items Included in Net Income (Loss) and AOI			9
Capitalization			10
Reconciliation of Return on Equity (ROE) to Adjusted Operating ROE			11
Financial Strength Ratings			12
Net Investment Spread Results			13
Total Product Net Investment Spread			13
FIA Net Investment Spread			14
B . Product Summary
Annuity Account Balance Rollforward			15
Deferred Annuity Rider Reserve Summary			15
Annuity Deposits by Product Type			16
Surrender Charge Protection and Account Values by Product Type			16
Annuity Liability Characteristics			17
C . Investment Summary
Summary of Invested Assets by Asset Class			19
Credit Quality of Fixed Maturity Securities			21
Summary of Residential Mortgage Backed Securities by Collateral Type and NAIC Designation			22
D . Counterparty Risk
Top 10 Holdings by Issuers			23
Reinsurance Counterparty Risk Top 5 Reinsurers			24
E . Shareholder Information			25
F. Non-GAAP Financial Measures Definitions			26

G. Research Analyst Coverage			29

FGL HOLDINGS

Financial Supplement - March 31, 2020

(All periods are unaudited)

FGL HOLDINGS

Consolidated Financial Highlights



	Three months ended
	March 31, 2020			December 31, 2019			September 30, 2019			June 30, 2019			March 31, 2019
	(Unaudited)			(Unaudited)			(Unaudited)			(Unaudited)			(Unaudited)
	(Dollars in millions, except per share data)
Selected Income Statement Data:
Net income (loss)	$	(338)		$	225		$	65		$	46		$	171
Net income (loss) available to common shareholders	(346)			217			58			38			163
AOI available to common shareholders (1)	33			94			79			65			82

Earnings Per Share

Diluted net income (loss) available to common shareholders	(1.62)			1.02			0.26			0.17			0.74
Diluted AOI available to common shareholders (1)	0.15			0.44			0.36			0.30			0.37
Diluted weighted-average shares outstanding (in millions)	213.16			213.56			216.54			217.26			219.68

Select Metrics:
Return on average common shareholders' equity (1)	(118.7)		%	39.0		%	11.6		%	9.6		%	71.6		%
Adjusted Operating return on common shareholders' equity, excluding AOCI (1)	8.1		%	21.8		%	19.7		%	16.6		%	22.1		%
Common shares outstanding (in millions)	213.32			213.16			215.04			217.19			217.33
GAAP Book value per common share	0.12			10.81			9.97			8.46			6.15
GAAP Book value per common share, excluding AOCI (1)	6.82			8.56			7.56			7.31			7.15
Statutory Book value per share (1)	8.16			9.12			8.99			8.63			8.56
Statutory Book value per share, excluding IMR and AVR (1)	11.58			12.51			11.81			11.33			11.28
AAUM (1)	28,924			28,332			27,871			27,388			25,862
Yield on average assets under management "AAUM" (1)	4.38		%	4.57		%	4.32		%	4.60		%	4.47		%
Total product net investment spread (1)	2.24		%	2.41		%	2.05		%	2.26		%	2.17		%

Sales
FIA	831			795			590			767			668
Fixed rate annuities (MYGA)	114			126			107			263			280
Institutional spread based	100			—			100			92			105
Total annuity	1,045			921			797			1,122			1,053
Index universal life	11			11			9			10			8
Flow reinsurance	122			122			108			104			60
Total Sales	$	1,178		$	1,054		$	914		$	1,236		$	1,121
(1) Refer to "Non-GAAP Financial Measures Definitions"

FGL HOLDINGS

Financial Supplement - March 31, 2020

(All periods are unaudited)

FGL HOLDINGS

CONDENSED CONSOLIDATED BALANCE SHEETS

(In millions, except per share data)


	March 31, 2020		December 31, 2019		September 30, 2019		June 30, 2019		March 31, 2019

	(Unaudited)		(Unaudited)		(Unaudited)		(Unaudited)		(Unaudited)
ASSETS
Investments:
Fixed maturity securities, available-for-sale, at fair value (amortized cost: March 31, 2020 - $22,836; December 31, 2019 - $22,914 and allowance for expected credit losses: March 31, 2020 - $44; December 31, 2019 - $0)	$	21,140	$	23,726	$	23,907	$	23,362	$	21,605
Equity securities, at fair value (cost: March 31, 2020 - $1,052; December 31, 2019 - $1,069)	915		1,071		1,097		1,144		1,171
Derivative investments, at fair value	188		587		454		383		305

Mortgage loans (allowance for expected credit losses: March 31, 2020 - $12; December 31, 2019 - $0)	1,769		1,267		836		760		674
Other invested assets	1,491		1,303		1,078		1,030		755
Total investments	25,503		27,954		27,372		26,679		24,510

Cash and cash equivalents	776		969		990		772		1,357
Accrued investment income	251		228		246		232		238
Funds withheld for reinsurance receivables, at fair value	2,050		2,172		2,045		1,922		837
Reinsurance recoverable (allowance for expected credit losses: March 31, 2020 - $22; December 31, 2019 - $0)	3,186		3,213		3,250		3,264		3,113
Intangibles, net	2,029		1,455		1,397		1,421		1,421
Deferred tax assets, net	264		61		92		150		283
Goodwill	467		467		467		467		467
Other assets	211		195		258		191		220
Total assets	$	34,737	$	36,714	$	36,117	$	35,098	$	32,446

FGL HOLDINGS

Financial Supplement - March 31, 2020

(All periods are unaudited)


	March 31, 2020		December 31, 2019		September 30, 2019		June 30, 2019		March 31, 2019
	(Unaudited)		(Unaudited)		(Unaudited)		(Unaudited)		(Unaudited)
LIABILITIES AND SHAREHOLDERS' EQUITY
Contractholder funds (a)	$	26,226	$	25,684	$	25,355	$	24,828	$	23,881
Future policy benefits, including $1,904 and $1,953 at fair value at March 31, 2020 and December 31, 2019, respectively (b)	5,658		5,735		5,714		5,641		4,677
Funds withheld for reinsurance liabilities	821		831		838		839		653
Liability for policy and contract claims (c)	73		71		63		66		70
Debt	543		542		542		542		541
Revolving credit facility	—		—		15		—		—

Other liabilities	944		1,108		1,015		922		873
Total liabilities	34,265		33,971		33,542		32,838		30,695

Shareholders' equity:
Preferred stock ($.0001 par value, 100,000,000 shares authorized, 437,841 and 429,789 shares issued and outstanding at March 31, 2020 and December 31, 2019, respectively)	—		—		—		—		—
Common stock ($.0001 par value, 800,000,000 shares authorized, 221,972,605 and 221,807,598 issued and outstanding at March 31, 2020 and December 31, 2019, respectively	—		—		—		—		—
Additional paid-in capital	2,041		2,031		2,022		2,014		2,007
Retained earnings (Accumulated deficit)	(72)		300		85		30		(6)
Accumulated other comprehensive income (loss)	(1,428)		481		520		251		(216)
Treasury stock, at cost (8,652,400 shares at March 31, 2020 and December 31, 2019)	(69)		(69)		(52)		(35)		(34)
Total shareholders' equity	472		2,743		2,575		2,260		1,751
Total liabilities and shareholders' equity	$	34,737	$	36,714	$	36,117	$	35,098	$	32,446

Equity attributable to preferred shareholders (1)	$	446	$	438	$	430	$	422	$	414

(1) Refer to "Non-GAAP Financial Measures Definitions"

(a) Contractholder funds include amounts on deposit for annuity and universal life contracts plus the fair value of future index credits and guarantees on our FIA and IUL products.

(b) Future policy benefits include the present value of future benefits on our traditional life insurance products, life contingent SPIA contracts, long-term care block and unaffiliated third party reinsurance assumed.

FGL HOLDINGS

Financial Supplement - March 31, 2020

(All periods are unaudited)

CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS


	Three months ended
	March 31, 2020		December 31, 2019		September 30, 2019		June 30, 2019		March 31, 2019
	(Unaudited)		(Unaudited)		(Unaudited)		(Unaudited)		(Unaudited)
	(Dollars in millions, except per share data)
Revenues:
Traditional life insurance premiums	$	6	$	6	$	5	$	7	$	8
Life contingent immediate annuity	4		1		4		1		8
Net investment income alternative investments	25		37		282		21		9
Net investment income fixed income and other investments	292		287		19		294		280
Net investment gains (losses)	(692)		196		103		135		240
Surrender charges	6		7		7		8		8
Cost of insurance fees and other income	24		29		35		29		47
Total revenues	(335)		563		455		495		600
Benefits and expenses:
Traditional life insurance policy benefits and change in future policy benefits	17		18		19		22		18
Life contingent immediate annuity benefits and changes in future policy benefits	21		6		20		15		5
Interest sensitive and index product benefits and changes in future policy benefits	(79)		95		292		231		316
General expenses	73		59		26		44		31
Acquisition expenses	128		134		97		207		103
Deferred acquisition costs ("DAC")	(105)		(102)		(75)		(104)		(90)
Amortization of intangibles	(61)		72		12		13		29
Total benefits and expenses	(6)		282		391		428		412
Operating income (loss)	(329)		281		64		67		188
Interest expense	(8)		(8)		(8)		(8)		(8)
Income (loss) before income taxes	(337)		273		56		59		180
Income tax (expense) benefit	(1)		(48)		9		(13)		(9)
Net income (loss)	$	(338)	$	225	$	65	$	46	$	171
Less Preferred stock dividend	8		8		7		8		8
Net income (loss) available to common shareholders	$	(346)	$	217	$	58	$	38	$	163

Net income (loss) per common share:
Basic	$	(1.62)	$	1.02	$	0.26	$	0.17	$	0.74
Diluted	$	(1.62)	$	1.02	$	0.26	$	0.17	$	0.74
Weighted average common shares used in computing net income (loss) per common share:
Basic (millions)	213.16		213.17		216.44		217.19		219.65
Diluted (millions)	213.16		213.56		216.54		217.26		219.68

FGL HOLDINGS

Financial Supplement - March 31, 2020

(All periods are unaudited)

Reconciliation from Net Income (Loss) to AOI (1)


	Three months ended
	March 31, 2020		December 31, 2019		September 30, 2019		June 30, 2019		March 31, 2019
	(Unaudited)		(Unaudited)		(Unaudited)		(Unaudited)		(Unaudited)
	(Dollars in millions, except per share data)
Net income (loss)	$	(338)	$	225	$	65	$	46	$	171
Adjustments to arrive at AOI:
Effect of investment losses (gains), net of offsets (a)	133		(34)		(44)		(22)		(70)
Impacts related to changes in the fair values of FIA related derivatives and embedded derivatives, net of hedging cost and offsets, and the fair value accounting impacts of assumed reinsurance by our international subsidiaries (a)	287		(134)		63		69		(17)
Effect of change in fair value of reinsurance related embedded derivative, net of offsets (a)	(39)		—		18		(10)		19
Effect of integration, merger related & other non-operating items	34		11		(6)		(3)		(3)



Tax impact of adjusting items	(36)		34		(10)		(7)		(10)
AOI	$	41	$	102	$	86	$	73	$	90
Dividends on preferred stock	(8)		(8)		(7)		(8)		(8)
AOI available to common shareholders	$	33	$	94	$	79	$	65	$	82

Per diluted common share:
Net income (loss) available to common shareholders	$	(1.62)	$	1.02	$	0.26	$	0.17	$	0.74
Adjustments to arrive at AOI:
Effect of investment (gains) losses, net of offsets (a)	0.62		(0.16)		(0.20)		(0.10)		(0.32)
Impacts related to changes in the fair values of FIA related derivatives and embedded derivatives, net of hedging cost and offsets, and the fair value accounting impacts of assumed reinsurance by our international subsidiaries (a)	1.35		(0.63)		0.29		0.32		(0.08)
Effect of change in fair value of reinsurance related embedded derivative, net of offsets (a)	(0.18)		—		0.08		(0.05)		0.09
Effect of integration, merger related & other non-operating items	0.16		0.05		(0.03)		(0.01)		(0.01)



Tax impact of adjusting items	(0.18)		0.16		(0.04)		(0.03)		(0.05)
AOI available to common shareholders per diluted share	$	0.15	$	0.44	$	0.36	$	0.30	$	0.37

(1)Refer to "Non-GAAP Financial Measures Definitions"

(a) Amounts are net of offsets related to value of business acquired ("VOBA"), deferred acquisition cost ("DAC"), deferred sale inducement ("DSI"), unearned revenue ("UREV") amortization and cost of reinsurance, as applicable.

FGL HOLDINGS

Financial Supplement - March 31, 2020

(All periods are unaudited)

Adjusted Operating Income Statement (1)


	Three months ended
	March 31, 2020		December 31, 2019		September 30, 2019		June 30, 2019		March 31, 2019
	(Unaudited)		(Unaudited)		(Unaudited)		(Unaudited)		(Unaudited)
	(Dollars in millions)
Revenues:
Premiums	$	10	7		9		8		$	16
Net investment income	317		324		301		315		289
Net investment gains (losses) (a)	(34)		23		5		11		19
Insurance and investment product fees and other (b)	43		37		40		40		47
Total revenues	336		391		355		374		371

Benefits and expenses:
Benefits and other changes in policy reserves (c)	161		151		175		93		178
Acquisition and operating expenses, net of deferrals (d)	63		80		54		150		47
Amortization of intangibles (e)	26		36		31		30		29
Total benefits and expenses	250		267		260		273		254

Adjusted operating income before interest and taxes (1)	86		124		95		101		117
Interest expense	(8)		(8)		(8)		(8)		(8)
Adjusted operating income before taxes (1)	78		116		87		93		109
Income tax expense	(37)		(14)		(1)		(20)		(19)
Adjusted operating income (1)	41		102		86		73		90
Less Preferred stock dividend	(8)		(8)		(7)		(8)		(8)
Adjusted operating income available to common shareholders (1)	$	33	$	94	$	79	$	65	$	82

(1)Refer to "Non-GAAP Financial Measures Definitions"

(a) Net investment gains (losses): includes the effect of net investment gains (losses) including changes in allowance for expected credit losses and OTTI, changes in fair values of FIA related derivatives and embedded derivatives, and net investment gains include the change in fair value of the reinsurance related embedded derivative, net of hedging costs.

(b) Insurance and investment product fees and other: includes the effect of cost of reinsurance and contract fee termination.

(c) Benefits and other changes in policy reserves: includes the effects of the changes in fair values of FIA embedded derivatives and the fair value impacts of assumed reinsurance by our international subsidiaries.

(d) Acquisition and operating expenses, net of deferrals: includes the effects of integration, merger related and other non-operating items.

(e) Amortization of intangibles includes the impact on DAC, VOBA, and DSI of the adjustments above, as applicable.

FGL HOLDINGS

Financial Supplement - March 31, 2020

(All periods are unaudited)

Notable Items Included in Net Income (Loss) and AOI

Each quarterly reporting period, we identify notable items that help explain the trends in our Net income (loss) and AOI. The amounts below are included in disclosures within the Company's earnings releases to explain our Net income (loss) and AOI results as we believe these items provide further clarity to the financial performance of the business.


	Three months ended
	March 31, 2020		December 31, 2019		September 30, 2019		June 30, 2019		March 31, 2019
	(Unaudited)		(Unaudited)		(Unaudited)		(Unaudited)		(Unaudited)
	(Dollars in millions)
Net income (loss) available to common shareholders	$	(346)	$	217	$	58	$	38	$	163

AOI available to common shareholders	$	33	$	94	$	79	$	65	$	82
Notable Items (Not Trendable) Included within AOI and Net income (loss) [(unfavorable)/favorable]

Project expenses (a)	(2)		(10)		—		(11)		(2)
Single premium immediate annuities ("SPIA") mortality & other reserve adjustments (b)	(5)		15		(2)		3		14
Assumption review & DAC, VOBA, DSI and cost of reinsurance unlocking (c)	—		4		7		—		—
Bond prepay income / other (d)	(25)		15		15		4		5

(a) Project related expenses.

(b) The release of annuity reserves associated with mortality of annuitants, which varies due to timing, volume and severity of experience, and other reserve adjustments.

(c) Reflects unlocking from updating our DAC, VOBA, DSI and cost of reinsurance amortization models for actual experience and equity market fluctuations. Also, annually in the 3rd calendar quarter, we complete our Annual Assumption Review & Unlocking process by adjusting our valuation assumptions to align with actual experience.

(d) Bond prepayment income, changes in tax valuation, and other allowances related to reinsurance and agent debt, reinsurance settlements and other net (unfavorable) favorable activity.

FGL HOLDINGS

Financial Supplement - March 31, 2020

(All periods are unaudited)

Capitalization


	March 31, 2020			December 31, 2019			September 30, 2019			June 30, 2019			March 31, 2019

	(Unaudited)			(Unaudited)			(Unaudited)			(Unaudited)			(Unaudited)
	(Dollars in millions, except per share data)
Capitalization:
Debt	$	550		$	550		$	565		$	550		$	550
Total debt	550			550			565			550			550
Total shareholders' equity	472			2,743			2,575			2,260			1,751
Total capitalization	1,022			3,293			3,140			2,810			2,301
AOCI	(1,428)			481			520			251			(216)
Total capitalization excluding AOCI (1)	$	2,450		$	2,812		$	2,620		$	2,559		$	2,517

Total shareholders' equity	472			2,743			2,575			2,260			1,751
Equity attributable to preferred shareholders	446			438			430			422			414
Common shareholders' equity	26			2,305			2,145			1,838			1,337
AOCI	(1,428)			481			520			251			(216)
Total common shareholders' equity excluding AOCI (1)	$	1,454		$	1,824		$	1,625		$	1,587		$	1,553







Debt-to-Capital Ratios: (1)
Total Debt to Capitalization, excluding AOCI (1)	22.4		%	19.6		%	21.6		%	21.5		%	21.9		%
Rating Agency Adjusted Debt to Capitalization, excluding AOCI (1)	31.6		%	27.3		%	29.8		%	29.7		%	30.1		%

FGL HOLDINGS

Financial Supplement - March 31, 2020

(All periods are unaudited)

Reconciliation of Return on Equity (ROE) to Adjusted Operating ROE


	Twelve months ended
Reconciliation of the Twelve Month Rolling ROE to Adjusted Operating ROE	March 31, 2020		December 31, 2019		September 30, 2019		June 30, 2019		March 31, 2019
	(Unaudited)		(Unaudited)		(Unaudited)		(Unaudited)		(Unaudited)

Return on average common shareholders' equity (1)	(2.2)	%	29.4	%	7.5	%	8.2	%	10.3	%
AOCI	0.1	%	0.3	%	(0.9)	%	(2.2)	%	(4.6)	%
Return on average common shareholders' equity, excluding AOCI (1)	(2.1)	%	29.7	%	6.6	%	6.0	%	5.7	%

Aggregate adjustments to arrive at AOI available to common shareholders (2)	18.9	%	(9.7)	%	12.7	%	12.3	%	12.2	%








Adjusted Operating return on common shareholders' equity, excluding AOCI (1)	16.8	%	20.0	%	19.3	%	18.3	%	17.9	%

	Three months ended
Reconciliation of Quarterly ROE to Adjusted Operating ROE	March 31, 2020		December 31, 2019		September 30, 2019		June 30, 2019		March 31, 2019
	(Unaudited)		(Unaudited)		(Unaudited)		(Unaudited)		(Unaudited)

Return on average common shareholders' equity (1)	(118.7)	%	39.0	%	11.6	%	9.6	%	71.6	%
AOCI	34.3	%	11.3	%	2.8	%	0.1	%	(27.8)	%
Return on average common shareholders' equity, excluding AOCI (1)	(84.4)	%	50.3	%	14.4	%	9.7	%	43.8	%

Aggregate adjustments to arrive at AOI available to common shareholders (2)	92.5	%	(28.5)	%	5.3	%	6.9	%	(21.7)	%








Adjusted Operating return on common shareholders' equity, excluding AOCI (1)	8.1	%	21.8	%	19.7	%	16.6	%	22.1	%

(1) Refer to "Non-GAAP Financial Measures Definitions"

(2) Refer to "Reconciliation from Net Income (Loss) to AOI" for further details on individual adjustments

FGL HOLDINGS

Financial Supplement - March 31, 2020

(All periods are unaudited)

Financial Strength Ratings

A.M. Best

Fitch

Moody's

S&P

Holding Company Ratings

FGL Holdings

Issuer Credit / Default Rating

Not Rated

BBB-

Ba3

BB+

Outlook

Positive

CF Bermuda Holdings Limited

Issuer Credit / Default Rating

Not Rated

BBB-

Ba2

BB+

Outlook

Positive

Fidelity & Guaranty Life Holdings, Inc.

Issuer Credit / Default Rating

bbb-

BBB-

Not Rated

BB+

Outlook

Stable

Positive

Senior Unsecured Notes

bbb-

BB+

Ba2

BB+

Outlook

Stable

Positive

Operating Subsidiary Ratings

Fidelity & Guaranty Life Insurance Company

Financial Strength Rating

A-

BBB+

Baa2

BBB+

Outlook

Stable

Positive

Fidelity & Guaranty Life Insurance Company of New York

Financial Strength Rating

A-

BBB+

Not Rated

BBB+

Outlook

Stable

Positive

F&G Reinsurance Ltd

Financial Strength Rating

A-

BBB-

Not Rated

Outlook

Stable

Positive

F&G Life Re Ltd

Financial Strength Rating

Not Rated

BBB-

Baa2

BBB+

Outlook

Positive

*Reflects current ratings and outlooks as of date of filing

FGL HOLDINGS

Financial Supplement - March 31, 2020

(All periods are unaudited)

Net Investment Spread Results


(Dollars in millions)	Three months ended
	March 31, 2020			March 31, 2019
	(Unaudited)			(Unaudited)
Yield AAUM (1)	4.38		%	4.47		%
Less: Interest credited and option cost	(2.14)		%	(2.30)		%
Total product net investment spread (1)	2.24		%	2.17		%

FIA net investment spread	3.05		%	2.54		%

Gross investment book yield - bonds purchased during the period (1)	4.56		%	5.35		%

Net investment book yield - bonds purchased during the period (1)	4.10		%	4.93		%

AAUM (1)	$	28,924		$	25,862
(1) Refer to "Non-GAAP Financial Measures Definitions"

Total Product Net Investment Spread
(Dollars in millions)	Three months ended
	March 31, 2020			March 31, 2019
	(Unaudited)			(Unaudited)
Net investment income	$	317		$	289
AAUM (1)	28,924			25,862
Yield	4.38		%	4.47		%

Interest credits, less DSI	$	76		$	67
Option & futures costs	60			62
Total interest credited and option costs	$	136		$	129
Average account value	25,453			22,435
Interest credited & option cost	2.14		%	2.30		%
Net investment spread (1)	2.24		%	2.17		%
(1) Refer to "Non-GAAP Financial Measures Definitions"

FGL HOLDINGS

Financial Supplement - March 31, 2020

(All periods are unaudited)


FIA Net Investment Spread
(Dollars in millions)	Three months ended
	March 31, 2020			March 31, 2019
	(Unaudited)			(Unaudited)
Net investment income	$	216		$	178
AAUM (1)	18,111			15,904
Yield	4.77		%	4.48		%

Interest credits, less DSI	$	13		$	13
Option & futures costs	60			62
Total interest credited and option costs	$	73		$	75
Average account value	17,065			15,474
Interest credited & option cost	1.72		%	1.94		%
Net investment spread (1)	3.05		%	2.54		%

(1) Refer to "Non-GAAP Financial Measures Definitions"

FGL HOLDINGS

Financial Supplement - March 31, 2020

(All periods are unaudited)

Annuity Account Balance Rollforward (a)


(Dollars in millions)	Three months ended
	March 31, 2020		December 31, 2019		September 30, 2019		June 30, 2019		March 31, 2019
	(Unaudited)		(Unaudited)		(Unaudited)		(Unaudited)		(Unaudited)
Account balances at beginning of period:	$	20,402	$	20,052	$	19,701	$	19,191	$	18,927
Net deposits	940		920		696		1,047		921
Premium and interest bonuses	17		19		16		16		16
Fixed interest credited and index credits	123		118		86		95		64
Guaranteed product rider fees	(31)		(32)		(27)		(27)		(26)
Surrenders, withdrawals, deaths, etc.	(452)		(675)		(420)		(436)		(711)
Reinsurance treaty cession	—		—		—		(185)		—
Account balance at end of period	$	20,999	$	20,402	$	20,052	$	19,701	$	19,191

(a) The rollforward reflects the vested account balance of our fixed index annuities and fixed rate annuities, net of reinsurance.

Deferred Annuity Rider Reserve Summary


(Dollars in millions)	March 31, 2020			December 31, 2019			September 30, 2019			June 30, 2019			March 31, 2019
	(Unaudited)			(Unaudited)			(Unaudited)			(Unaudited)			(Unaudited)
Rider reserve	$	267		$	255		$	244		$	244		$	227
Account value with rider reserves	11,207			10,922			10,621			10,365			9,924
Rider reserves as a percentage of account value with rider reserves	2.4		%	2.3		%	2.3		%	2.3		%	2.3		%

FGL HOLDINGS

Financial Supplement - March 31, 2020

(All periods are unaudited)

Annuity Deposits by Product Type


	Three months ended
	March 31, 2020		March 31, 2019
	(Unaudited)		(Unaudited)
Product Type	(Dollars in millions)
Fixed Index Annuities:
Index Strategies	$	764	$	558
Fixed Strategy	63		81
	827		639

Fixed Rate Annuities:
Single-Year Rate Guaranteed	1		5
Multi-Year Rate Guaranteed	113		278
Total before coinsurance ceded	941		922
Coinsurance ceded	—		1
Net after coinsurance ceded	$	941	$	921

Surrender Charge Protection and Account Values by Product Type

Annuity Surrender Charges and Account Values (net of reinsurance) at March 31, 2020 (unaudited):


	Surrender Charge								Net Account Value
	(Unaudited)
Product Type	Avg. Years at Issue	Avg. Years Remaining	Avg. % Remaining		Dollars in millions		%

Fixed Index Annuities	11	6	8	%	$	17,324	83	%
Single-Year Rate Guaranteed	10	1	1	%	286		1	%
Multi-Year Rate Guaranteed	5	3	7	%	3,389		16	%
Total					$	20,999	100	%

FGL HOLDINGS

Financial Supplement - March 31, 2020

(All periods are unaudited)

Annuity Liability Characteristics


	Fixed Annuities Account Value		Fixed Index Annuities Account Value
	(Unaudited)
	(Dollars in millions)
SURRENDER CHARGE PERCENTAGES:
No surrender charge	$	397	$	2,290
0.0% < 2.0%	15		63
2.0% < 4.0%	19		424
4.0% < 6.0%	299		1,459
6.0% < 8.0%	1,246		2,142
8.0% < 10.0%	1,692		3,972
10.0% or greater	7		6,974
	$	3,675	$	17,324


	Fixed and Fixed Index Annuities Account Value		Weighted Average Surrender Charge
	(Unaudited)
	(Dollars in millions)
SURRENDER CHARGE EXPIRATION BY YEAR:
Out of surrender charge	$	2,535	—	%
2020	473		3	%
2021-2023	3,793		6	%
2024-2025	3,192		7	%
2026-2027	3,614		9	%
Thereafter	7,392		11	%
	$	20,999	8	%

FGL HOLDINGS

Financial Supplement - March 31, 2020

(All periods are unaudited)


	Fixed Annuities Account Value		Fixed Index Annuities Account Value
	(Unaudited)
	(Dollars in millions)
CREDITED RATE (INCLUDING BONUS INTEREST) VS. ULTIMATE MINIMUM GUARANTEED RATE DIFFERENTIAL:
No differential	$	503	$	1,291
0.0% - 1.0%	198		1,413
1.0% - 2.0%	715		35
2.0% - 3.0%	2,259		2


Allocated to index strategies	—		14,583
	$	3,675	$	17,324

FIXED INDEX ANNUITIES ACCOUNT VALUE - INDEX STRATEGIES

Monthly Average, Point to Point and Gain Trigger Strategies with Cap


	Minimum Guaranteed Cap
	(Unaudited)
	1%		2%		3%		5%		6%
Current Cap	(Dollars in millions)
At minimum	$	9	$	—	$	1,615	$	504	$	5
2-3%	1,787		—		—		—		—
3-4%	924		—		216		—		—
4-5%	561		—		146		—		—
5-6%	387		5		29		—		—
6-7%	152		7		31		—		3
7% +	126		86		208		—		58
Total:	$	3,946	$	98	$	2,245	$	504	$	66

FGL HOLDINGS

Financial Supplement - March 31, 2020

(All periods are unaudited)

Monthly Point-to-Point with Cap


	Minimum Guaranteed Cap 1%
	(Unaudited)
Current Cap	(Dollars in millions)
At minimum	$	2,490
1% to 2%	2,343
2% to 3%	376
3% +	71
Total:	$	5,280

3 Year Step Forward with Cap


	Minimum Guaranteed Cap 2%		Minimum Guaranteed Cap 5%
	(Unaudited)
Current Cap	(Dollars in millions)
At minimum	$	—	$	16
2% to 5%	—		—
5% to 7%	15		43
7% to 9%	—		36
9% to 11%	—		13
11% to 13%	—		7
Total:	$	15	$	115

There is an additional $307 million Account Value allocated to strategies not listed above. Of this $307 million, $14 million is at the guaranteed rates.

FGL HOLDINGS

Financial Supplement - March 31, 2020

(All periods are unaudited)

Summary of Invested Assets by Asset Class


(Dollars in millions)	March 31, 2020																December 31, 2019
	(Unaudited)																(Unaudited)
	Amortized Cost			Fair Value			Percent				Amortized Cost			Fair Value			Percent
Fixed maturity securities, available for sale:
United States Government full faith and credit	$	40		$	43		—	%			$	33		$	34		—	%
United States Government sponsored entities	129			124			—	%			133			134			—	%
United States municipalities, states and territories	1,270			1,318			5	%			1,284			1,343			5	%
Foreign Governments	135			141			1	%			138			155			1	%
Corporate securities:
Finance, insurance and real estate	3,986			4,033			16	%			4,038			4,234			15	%
Manufacturing, construction and mining	736			684			3	%			739			771			3	%
Utilities, energy and related sectors	2,326			2,049			8	%			2,345			2,452			9	%
Wholesale/retail trade	1,563			1,432			6	%			1,576			1,617			6	%
Services, media and other	2,287			2,253			9	%			2,353			2,523			9	%
Hybrid securities	976			891			3	%			983			1,027			4	%
Non-agency residential mortgage-backed securities	755			746			3	%			784			820			3	%
Commercial mortgage-backed securities	2,848			2,481			10	%			2,788			2,922			10	%
Asset-backed securities	1,681			1,529			6	%			1,774			1,813			6	%
CLO securities	4,104			3,416			13	%			3,946			3,881			14	%
Alternative investments	1,156			1,107			4	%			1,084			1,077			4	%
Equity securities	967			874			3	%			999			1,002			4	%
Commercial mortgage loans			488			507			2	%			422			435			2	%
Residential mortgage loans	1,293			1,297			5	%			845			848			3	%
Other (primarily derivatives and limited partnerships)	806			601			2	%			628			867			3	%
Short term investments			—			—			—	%			—			—			—	%
Total (a)	$	27,546		$	25,526		100	%			$	26,892		$	27,955		100	%
(a) Asset duration, including cash and cash equivalents, of 6.35 years and 6.63 years vs. liability duration of 6.79 years and 6.8 years for the periods ending March 31, 2020 and December 31, 2019, respectively.

FGL HOLDINGS

Financial Supplement - March 31, 2020

(All periods are unaudited)

Credit Quality of Fixed Maturity Securities at March 31, 2020 (unaudited)


NAIC Designation	Fair Value		Percent
	(Dollars in millions)
1	$	11,704	56	%
2	8,198		39	%
3	881		4	%
4	283		1	%
5	74		—	%
6	—		—	%
	$	21,140	100	%


Rating Agency Rating	Fair Value		Percent
	(Dollars in millions)
AAA	$	519	2	%
AA	1,430		7	%
A	6,153		29	%
BBB	7,331		35	%
Not rated	4,019		19	%
Total investment grade	19,452		92	%
BB	1,156		6	%
B and below	431		2	%
Not rated	101		—	%
Total below investment grade	1,688		8	%
	$	21,140	100	%

FGL HOLDINGS

Financial Supplement - March 31, 2020

(All periods are unaudited)

Summary of Residential Mortgage Backed Securities by Collateral Type and NAIC Designation


		March 31, 2020
		(Unaudited)
Collateral Type		Amortized Cost		Fair Value
	(Dollars in millions)













Total by collateral type
Government agency		$	123	$	109
Prime		557		566
Subprime		76		72
Alt-A		129		124


		$	885	$	871
Total by NAIC designation
1		$	826	$	820
2		45		41
3		1		1
4		13		9
5		—		—

		$	885	$	871

FGL HOLDINGS

Financial Supplement - March 31, 2020

(All periods are unaudited)

Top 10 Holdings by Issuers


(Dollars in millions)	March 31, 2020

	(Unaudited)
Issuer (a):	Fair Value		Percentage of Total Invested Assets
HP Enterprise Co	$	123	0.5	%
HSBC Holdings	117		0.5	%
Metropolitan Transportation Authority (NY)	113		0.4	%
Verizon Communications Inc.	108		0.4	%
Prudential Financial Inc	106		0.4	%
AT&T Inc.	103		0.4	%
Nationwide Mutual Insurance Company	102		0.4	%
CVI CVF III Master Fund II	102		0.4	%
Electricite De France	99		0.4	%
Blackstone Div Alt	97		0.4	%

(a) Issuers excluding U.S. Governmental securities.

FGL HOLDINGS

Financial Supplement - March 31, 2020

(All periods are unaudited)

Reinsurance Counterparty Risk Top 5 Reinsurers

(Dollars in millions)

(Unaudited)

Financial Strength Rating

Parent Company/Principal Reinsurers

Reinsurance Recoverable (a)

AM Best

S&P

Moody's

Fitch

Wilton Re

1,507

A+

Not Rated

A+

Kubera Insurance (SAC) Ltd

835

Not Rated

Security Life of Denver

155

Not Rated

A+

Hannover Re

130

A+

AA-

Not Rated

London Life

106

A+

Not Rated

(a) Reinsurance recoverables do not include unearned ceded premiums that would be recovered in the event of early termination of certain traditional life policies.

FGL HOLDINGS

Financial Supplement - March 31, 2020

(All periods are unaudited)

Shareholder Information

Corporate Offices:

FGL Holdings

Boundary Hall, Cricket Square, 4th Floor

Grand Cayman KY1-1102

Cayman Islands

Investor Contact:

Jon Bayer

Investors@fglife.com

(410) 487-8898

Common stock and Dividend Information:

NYSE symbol: "FG"


	High		Low		Close		Dividend Declared
2020 (Unaudited)
First Quarter	$	12.46	$	8.14	$	9.80	$	0.01

Transfer Agent

Continental Stock Transfer & Trust Company

1 State Street, 30th Floor

New York, NY 10004

Phone: (212) 509-4000

http://www.continentalstock.com

FGL HOLDINGS

Financial Supplement - March 31, 2020

(unaudited)

NON-GAAP FINANCIAL MEASURES DEFINITIONS

The following represents the definitions of non-GAAP measures used by the FGL Holdings.

Adjusted Operating Income (AOI)

AOI is a non-GAAP economic measure we use to evaluate financial performance each period. AOI is calculated by adjusting net income (loss) to eliminate:

(i) the impact of net investment gains/losses, including changes in allowance for expected credit losses and other than temporary impairment ("OTTI") losses recognized in operations, but excluding realized gains and losses on derivatives hedging our indexed annuity policies,

(ii) the impacts related to changes in the fair values of FIA related derivatives and embedded derivatives, net of hedging cost, and the fair value accounting impacts of assumed reinsurance by our international subsidiaries,

(iii) the tax effect of affiliated reinsurance embedded derivative,

(iv) the effect of change in fair value of the reinsurance related embedded derivative, and

(v) the effect of integration, merger related & other non-operating items.

Adjustments to AOI are net of the corresponding impact on amortization of intangibles, as appropriate. The income tax impact related to these adjustments is measured using an effective tax rate, as appropriate by tax jurisdiction. While these adjustments are an integral part of the overall performance of the Company, market conditions and/or the non-operating nature of these items can overshadow the underlying performance of the core business. Accordingly, management considers this to be a useful measure internally and to investors and analysts in analyzing the trends of our operations.

AOI Available to Common Shareholders

AOI available to common shareholders is a non-GAAP economic measure we use to evaluate financial performance attributable to our common shareholders each period. AOI available to common shareholders is calculated by adjusting net income (loss) available to common shareholders to eliminate the same items as described in the AOI paragraph above. While these adjustments are an integral part of the overall performance of the Company, market conditions and/or the non-operating nature of these items can overshadow the underlying performance of the core business. Accordingly, Management considers this to be a useful measure internally and to investors and analysts in analyzing the trends of our operations.

Common Shareholders’ Equity

Common Shareholders’ Equity is based on Total Shareholders’ Equity excluding Equity Available to Preferred Shareholders. Management considers this to be a useful measure internally and to investors to assess the level of equity that is attributable common stock holders.

Common Shareholders’ Equity Excluding AOCI

Common Shareholders’ Equity Excluding AOCI is based on Common Shareholders' Equity excluding the effect of AOCI. Since AOCI fluctuates from quarter to quarter due to unrealized changes in the fair value of available for sale investments, Management considers this non-GAAP financial measure to provide useful supplemental information internally and to investors and analysts assessing the level of earned equity on common equity.

Equity Attributable to Preferred Shareholders

Equity attributable to preferred shareholders is equal to the product of (a) the number of preferred shares outstanding plus share dividends declared but not yet issued and (b) the original liquidation preference amount per share. Management considers this non-GAAP measure to provide useful information internally and to investors and analysts to assess the level of equity that is attributable to preferred stock holders.

FGL HOLDINGS

Financial Supplement - March 31, 2020

(unaudited)

Total Capitalization Excluding AOCI

Total Capitalization Excluding AOCI is based on shareholders’ equity excluding the effect of AOCI. Since AOCI fluctuates from quarter to quarter due to unrealized changes in the fair value of available for sale investments, Management considers this non-GAAP financial measure to provide useful supplemental information internally and to investors and analysts to help assess the capital position of the Company.

GAAP Book Value per Common Share (including and excluding AOCI)

GAAP Book Value per Common Share including and excluding AOCI is calculated as Common Shareholders’ Equity and Common Shareholders Equity Excluding AOCI divided by the total number of shares of common stock outstanding. Management considers this to be a useful measure internally and for investors and analysts to assess the capital position of the Company.

Statutory Book Value per Common Share (including and excluding Interest maintenance reserve ("IMR") and asset valuation reserve ("AVR"))

Statutory Book Value per Common Share including IMR and AVR is calculated as Fidelity & Guaranty Life Insurance Company ("FGL Insurance")’s statutory basis capital and surplus plus the international insurance entities’ common shareholder’s equity and related distributable capital, excluding AOCI divided by the total number of shares of common stock outstanding at FGL Holdings. Statutory Book Value per Common Share excluding IMR and AVR is calculated as FGL Insurance’s statutory basis capital and surplus excluding IMR and AVR plus the international insurance entities’ common shareholder’s equity and related distributable capital, excluding AOCI, divided by the total number of shares of common stock outstanding at FGL Holdings. Management considers this to be a useful measure internally and for investors and analysts to assess the capital position of our primary insurance entities.

Return on Average Common Shareholders’ Equity

Return on Average Common Shareholders' Equity is calculated by dividing net income (loss) available to common shareholders by total average Common Shareholders’ Equity. Average Common Shareholders Equity for the twelve months rolling, is the average of 5 points throughout the period and for the quarterly average Common Shareholders Equity is calculated using the beginning and ending Common Shareholders’ Equity for the period. For periods less than a full fiscal year, amounts disclosed in the table are annualized. As a result of the merger, the starting point for calculation of average Common Shareholders’ Equity was reset to December 1, 2017. The rolling average will be updated from the merger date forward to use available historical data points until 5 historical data points are available. Since AOCI fluctuates from quarter to quarter due to unrealized changes in the fair value of available for sale investments, Management considers this to be a useful measure internally and for investors and analysts to assess the level of return driven by the Company that is attributable to common shareholders.

Return on Average Common Shareholders Equity Excluding AOCI

Return on Average Common Shareholders' Equity Excluding AOCI is calculated by dividing net income (loss) available to common shareholders by total average Common Shareholders’ Equity Excluding AOCI. Average Common Shareholders Equity Excluding AOCI for the twelve months rolling, is the average of 5 points throughout the period and for the quarterly average Common Shareholders Equity Excluding AOCI is calculated using the beginning and ending Common Shareholders’ Equity, excluding AOCI, for the period. For periods less than a full fiscal year, amounts disclosed in the table are annualized. As a result of the merger, the starting point for calculation of average Common Shareholders’ Equity was reset to December 1, 2017. The rolling average will be updated from the merger date forward to use available historical data points until 5 historical data points are available. Since AOCI fluctuates from quarter to quarter due to unrealized changes in the fair value of available for sale investments, Management considers this to be a useful measure internally and for investors and analysts to assess the level of return driven by the Company that is attributable to common shareholders.

FGL HOLDINGS

Financial Supplement - March 31, 2020

(unaudited)

Adjusted Operating Return on Average Common Shareholders’ Equity Excluding AOCI

Adjusted Operating Return on Common Shareholders’ Equity Excluding AOCI is calculated by dividing AOI Available to Common Shareholders’ by total average Common Shareholders’ Equity Excluding AOCI. Average Common Shareholders’ Equity Excluding AOCI for the twelve months rolling, is the average of 5 points throughout the period and for the quarterly average Common Shareholders Equity is calculated using the beginning and ending Common Shareholders Equity, Excluding AOCI, for the period. For periods less than a full fiscal year, amounts disclosed in the table are annualized. As a result of the merger, the starting point for calculation of average Common Shareholders’ Equity was reset to December 1, 2017. The rolling average will be updated from the merger date forward to use available historical data points until 5 historical data points are available. Since AOCI fluctuates from quarter to quarter due to unrealized changes in the fair value of available for sale investments, Management considers this non-GAAP financial measure to provide useful supplemental information internally and to investors and analysts assessing the level of adjusted earned return on common equity.

Debt-to-Capital excluding AOCI

Debt-to-capital ratio is computed by dividing total debt by total capitalization excluding AOCI. Management considers this non-GAAP financial measure to be useful internally and to investors and analysts when assessing its capital position.

Rating Agency Adjusted Debt to Capitalization, excluding AOCI

Rating Agency Adjusted Debt to Capitalization, excluding AOCI is computed by dividing the sum of total debt and 50% Equity Available to Preferred Shareholders by total capitalization excluding AOCI less a 50% credit for Equity Available to Preferred Shareholders. Management considers this non-GAAP financial measure to be useful internally and to investors and analysts when assessing its capital position.

Average Assets Under Management (AAUM)

AAUM is calculated as the sum of:

(i) total invested assets at amortized cost, excluding derivatives;

(ii) related party loans and investments;

(iii) accrued investment income;

(iv) funds withheld at fair value;

(v) the net payable/receivable for the purchase/sale of investments, and

(iv) cash and cash equivalents, excluding derivative collateral, at the beginning of the period and the end of each month in the period, divided by the total number of months in the period plus one.

Management considers this non-GAAP financial measure to be useful internally and to investors and analysts when assessing the rate of return on assets available for reinvestment.

Yield on AAUM

Yield on AAUM is calculated by dividing annualized net investment income by AAUM. Management considers this non-GAAP financial measure to be useful internally and to investors and analysts when assessing the level of return earned on AAUM.

Net Investment Spread

Net investment spread is the excess of net investment income earned over the sum of interest credited to policyholders and the cost of hedging our risk on FIA policies. Management considers this non-GAAP financial measure to be useful internally and to investors and analysts when assessing the performance of the Company’s invested assets against the level of investment return provided to policyholders, inclusive of hedging costs.

Investment Book Yield

Investment book yield on bonds purchased during the period excludes yield on short-term treasuries and cash and cash equivalents. Management considers this non-GAAP financial measure to be useful internally and to investors and analysts when assessing the level of return on the Company’s income generating invested assets.

FGL HOLDINGS

Financial Supplement - March 31, 2020

(unaudited)

Research Analyst Coverage

Daniel Bergman

Citi Research

(212) 816-2132

Daniel.bergman@citi.com

Andrew Kligerman

Credit Suisse

(212) 325-5069

andrew.kligerman@credit-suisse.com

Alex Scott

Goldman Sachs

(917) 343-7160

alex.scott@gs.com

Pablo Singzon

J.P. Morgan

(212) 622-2295

pablo.s.singzon@jpmorgan.com

Mark A. Dwelle

RBC Capital Markets

(804) 782-4008

mark.dwelle@rbccm.com

John Barnidge

Sandler O'Neill + Partners

(312) 281-3412

jbarnidge@sandleroneill.com

John Nadel

UBS Research

(212) 713-4299

john.nadel@ubs.com

FGL Holdings - FORM 8-K - EX-99.2 - May 6, 2020

Attached files

FGL Holdings Reports