The Company has received regulatory inquiries and requests for information from state and federal regulators, including a subpoena from the U.S. Securities and Exchange Commission, concerning the appropriatenessTable of ~~variable product sales and replacement activity. The Company is cooperating with regulators and may become subject to additional regulatory inquiries and other actions related to this matter.~~Contents


PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY
Notes to Unaudited Interim Financial Statements—(Continued)

Summary

The Company’s litigation and regulatory matters are subject to many uncertainties, and given their complexity and scope, their outcome cannot be predicted. It is possible that the Company’s results of operations or cash flows in a particular quarterly or annual period could be materially affected by an ultimate unfavorable resolution of pending litigation and regulatory matters depending, in part, upon the results of operations or cash flows for such period. In light of the unpredictability of the Company’s litigation and regulatory matters, it is also possible that in certain cases an ultimate unfavorable resolution of one or more pending litigation or regulatory matters could have a material adverse effect on the Company’s financial statements. Management believes, however, that, based on information currently known to it, the ultimate outcome of all pending litigation and regulatory matters, after consideration of applicable reserves and rights to indemnification, is not likely to have a material adverse effect on the Company’s financial statements.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Management’s Discussion and Analysis of Financial Condition and Results of Operations (“MD&A”) addresses the financial condition of Pruco Life Insurance Company of New Jersey, or the “Company,” as of March 31, ~~2021,~~2022, compared with December 31, ~~2020,~~2021, and its results of operations for the three months ended March 31, ~~2021~~2022 and ~~2020.~~2021. You should read the following analysis of our financial condition and results of operations in conjunction with the MD&A, the “Risk Factors” section, and the audited Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, ~~2020,~~2021, as well as the statements under “Forward-Looking Statements”, and the Unaudited Interim Financial Statements included elsewhere in this Quarterly Report on Form 10-Q.

Overview

The Company is licensed to sell variable annuities, universal life insurance, variable life insurance and term life insurance in New Jersey and New York. The Company only sells such products in New York primarily through affiliated and unaffiliated distributors. As of December 31, 2020, the Company discontinued the sales of traditional variable annuities with guaranteed living benefit riders.

Annually during the second quarter of each year, we perform a comprehensive review of actuarial assumptions. As part of this review, we may update these assumptions and make refinements to our models based upon emerging experience, future expectations and other data, including any observable market data. For additional information, see “Accounting Policies & Pronouncements—Application of Critical Accounting Estimates” below as well as the Company’s Annual Report on Form 10-K for the year ended December 31, 2021.

COVID-19

~~Beginning in~~Since the first quarter of 2020, the ~~outbreak of the novel coronavirus (“COVID-19”) created~~COVID-19 pandemic has caused extreme stress and disruption in the global economy and financial markets and elevated mortality and morbidity ~~experience~~ for the global population. The COVID-19 pandemic ~~continues to impact~~impacted our results of operations in the current period and is expected to ~~continue to be a driver of future impacts to~~impact our results of ~~operations.~~operations in future periods. The Company has taken several measures to manage the impacts of this crisis. The actual and expected impacts of these events and other items are included in the following update:

•Outlook.We expect COVID-19 to continue to contribute in the near term to elevated levels of mortality, resulting in increased life insurance ~~claims in the near-term. In addition, while we have seen strong sales of key products, social distancing associated with COVID-19 could adversely impact sales prospects in the near-term.~~claims.

•Results of Operations. ~~For the three months ended March 31, 2021 we reported a net income of $24 million.~~ See “Results of Operations” for a discussion of results for the first quarter of ~~2021.~~2022.

•Risk Factors. The COVID-19 pandemic has adversely impacted our results of operations, financial position, investment portfolio, new business opportunities and operations, and these impacts are expected to continue. For additional information on the risks to our business posed by the COVID-19 pandemic, see “Risk Factors” included in the Company’s Annual Report on Form 10-K for the year ended December 31, ~~2020.~~2021.

•Business Continuity. Throughout the COVID-19 pandemic, we have been executing Prudential Financial Inc.'s ("Prudential Financial") and our business continuity protocols to ensure ~~our~~ employees are safe and able to serve our customers. This included effectively transitioning the vast majority of ~~our~~ employees to remote work arrangements. In March 2022, Prudential Financial's offices were reopened to employees and we expect that most of the workforce will adopt a hybrid arrangement for the foreseeable future.

We believe we can sustain long-term hybrid or fully remote work ~~and social distancing for an indefinite period~~arrangements while ensuring that critical business operations are sustained. In addition, we are managing ~~COVID-19-related~~COVID-19 related impacts on third-party provided services, and do not anticipate significant interruption in critical operations.

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Impact of a Low Interest Rate Environment

As a financial services company, market interest rates are a key driver of our results of operations and financial condition. Changes in interest rates can affect our results of operations and/or our financial condition in several ways, including favorable or adverse impacts to:

•investment-related activity, including: investment income returns, net interest margins, net investment spread results, new money rates, mortgage loan prepayments and bond redemptions;

•hedging costs and other risk mitigation activities;

•insurance reserve levels, amortization of deferred policy acquisition costs (“DAC”) and market experience true-ups;

•customer account values, including their impact on fee income;

•product offerings, design features, crediting rates and sales mix; and

•policyholder behavior, including surrender or withdrawal activity.

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For more information on interest rate risks, see “Risk Factors—Market Risk” included in our Annual Report on Form 10-K for the year ended December 31, ~~2020.~~2021.

Revenues and Expenses

The Company earns revenues principally from insurance premiums, mortality and expense fees, asset administration fees from insurance and investment products, and from net investment income on the investment of general account and other funds. The Company receives premiums primarily from the sale of individual life insurance and annuity products. The Company earns mortality and expense fees, and asset administration fees, primarily from the sale and servicing of universal life insurance and separate account products including variable life insurance and variable annuities. The Company’s operating expenses principally consist of insurance benefits provided and reserves established for anticipated future insurance benefits, general business expenses, reinsurance premiums, commissions and other costs of selling and servicing the various products sold and interest credited on general account liabilities.

Accounting Policies & Pronouncements

Application of Critical Accounting Estimates

The preparation of financial statements in conformity with U.S. GAAP requires the application of accounting policies that often involve a significant degree of judgment. Management, on an ongoing basis, reviews estimates and assumptions used in the preparation of financial statements. If management determines that modifications in assumptions and estimates are appropriate given current facts and circumstances, the Company’s results of operations and financial position as reported in the Unaudited Interim Financial Statements could change significantly.

Management believes the accounting policies relating to the following areas are most dependent on the application of estimates and assumptions and require management’s most difficult, subjective, or complex judgments:

•DAC and other costs, including deferred sales inducements (“DSI”);

•Policyholder liabilities;

•Valuation of investments, including derivatives, measurement of allowance for credit losses, and recognition of other-than-temporary ~~impairments ("OTTI");~~impairments;

•Reinsurance recoverables;

•Taxes on income; and

•Reserves for contingencies, including reserves for losses in connection with unresolved legal matters.

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Market Performance - Equity and Interest Rate Assumptions

DAC and other costs associated with the variable and universal life policies and the variable and fixed annuity contracts are generally amortized over the expected lives of these policies in proportion to total gross profits. Total gross profits include both actual gross profits and estimates of gross profits for future periods. The quarterly adjustments for market performance reflect the impact of changes to our estimate of total gross profits to reflect actual fund performance and market conditions. A significant portion of gross profits for our variable annuity contracts and, to a lesser degree, our variable life contracts are dependent upon the total rate of return on assets held in separate account investment options. This rate of return influences the fees we earn on variable annuity and variable life contracts, costs we incur associated with the guaranteed minimum death and guaranteed minimum income benefit features related to our variable annuity contracts and expected claims to be paid on variable life contracts, as well as other sources of profit. Returns that are higher than our expectations for a given period produce higher than expected account balances, which increase the future fees we expect to earn on variable annuity and variable life contracts and decrease the future costs we expect to incur associated with the guaranteed minimum death and guaranteed minimum income benefit features related to our variable annuity contracts and expected claims to be paid on variable life contracts. The opposite occurs when returns are lower than our expectations. The changes in future expected gross profits are used to recognize a cumulative adjustment to all prior periods’ amortization.

Furthermore, the calculation of the estimated liability for future policy benefits related to certain insurance products includes an estimate of associated revenues and expenses that are dependent on both historical market performance as well as estimates of market performance in the future. Similar to DAC and other costs described above, these liabilities are subject to quarterly adjustments for experience including market performance, in addition to annual adjustments resulting from our annual reviews of assumptions.

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The weighted average rate of return assumptions used in developing estimated market returns consider many factors specific to each product type, including asset durations, asset allocations and other factors. With regard to equity market assumptions, the near-term future rate of return assumption used in evaluating DAC, other costs and liabilities for future policy benefits for certain of our products, primarily our domestic variable annuity and variable life insurance products, is generally updated each quarter and is derived using a reversion to the mean approach, a common industry practice. Under this approach, we consider historical equity returns and adjust projected equity returns over an initial future period of five years (the “near-term”) so that equity returns converge to the long-term expected rate of return. If the near-term projected future rate of return is greater than our near-term maximum future rate of return of 15.0%, we use our maximum future rate of return. If the near-term projected future rate of return is lower than our near-term minimum future rate of return of 0%, we use our minimum future rate of return. As of March 31, ~~2021,~~2022, our variable annuities and variable life insurance businesses assume an 8.0% long-term equity expected rate of return and a ~~0.7%~~0.9% near-term mean reversion equity expected rate of return.

With regard to interest rate assumptions used in evaluating DAC, DSI and liabilities for future policy benefits for certain of our products, we generally update the long-term and near-term future rates used to project fixed income returns annually and quarterly, respectively. As a result of our ~~2020~~2021 annual reviews and update of assumptions and other refinements, ~~which were performed in the second quarter,~~ we ~~reduced~~kept our long-term expectation of the 10-year U.S. Treasury rate ~~by 50 basis points~~unchanged and ~~now~~continue to grade to a rate of 3.25% over ten years. As part of our quarterly market experience updates, we update our near-term projections of interest rates to reflect changes in current rates.

In accordance with our established practice, we will update actuarial assumptions during the second quarter of 2022. We have a comprehensive process that will include, among other things, the review of long-term interest rates, inflation, COVID-19 mortality experience, and industry studies, including evaluating industry data as to its applicability to the Company’s experience. We have recently obtained industry data that reflects experience that is more adverse than the assumptions we currently use in our individual life business. We are evaluating the applicability of this information to our block of business and the extent to which it would cause an increase in reserves and corresponding decline in earnings within our individual life business. The overall process to update assumptions is ongoing and the outcome across our businesses is uncertain.

For afurther discussion of ~~the impact~~impacts that could result from changes in certain key assumptions, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Accounting Policies and Pronouncements—~~Sensitivities for Insurance Assets and Liabilities”~~Application of Critical Accounting Estimates” in our Annual Report on Form 10-K for the year ended December 31, ~~2020.~~2021.

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Future Adoption of New Accounting Pronouncements

ASU 2018-12, Financial Services - Insurance (Topic 944): Targeted Improvements to the Accounting for Long-Duration Contracts, was issued by the Financial Accounting Standards Board (“FASB”) on August 15, 2018, and ~~is expected to have a significant impact on the Financial Statements and Notes to the Financial Statements. In October 2019, the FASB issued~~was amended by ASU 2019-09,Financial Services - Insurance (Topic 944): Effective Date, ~~to affirm its decision to defer the effective date of~~issued in October 2019, and ASU ~~2018-12 to January 1, 2022 (with early adoption permitted)~~2020-11, ~~representing a one year extension from the original effective date of January 1, 2021. As a result of the COVID-19 pandemic, in November 2020 the FASB issued ASU 2020-11,~~ Financial ~~Services—Insurance~~Services-Insurance (Topic 944): Effective Date and Early Application, ~~to defer for an additional one year the effective date of~~ issued in November 2020. The Company will adopt ASU 2018-12 ~~from January 1, 2022 to~~effective January 1, 2023 ~~and to provide~~using the modified retrospective transition relief to facilitate the early adoption of the ASU. The transition relief would allow large calendar-year public companies that early adopt ASU 2018-12 to apply the guidance either as of January 1, 2020 or January 1, 2021 (and record transition adjustments as of January 1, 2020 or January 1, 2021, respectively) in the 2022 financial statements. Companies that do not early adopt ASU 2018-12 wouldmethod where permitted, and apply the guidance as of January 1, 2021 (and record transition adjustments as of January 1, 2021) in the 2023 financial statements. ~~The Company currently intends to adopt ASU 2018-12 effective January 1, 2023.~~

ASU 2018-12 will impact, at least to some extent, the accounting and disclosure requirements for all long-duration insurance and investment contracts issued by the Company. The Company expects the standard to have a significant financial impact on the Financial Statements and will significantly enhance disclosures. In addition to the significant impacts to the balance sheet upon ~~transition,~~adoption, the Company also expects an impact to the pattern of earnings emergence following the transition date. See Note 2 to the Unaudited Interim Financial Statements for a more detailed discussion of ASU 2018-12, as well as other accounting pronouncements issued but not yet adopted and newly adopted accounting pronouncements.

Changes in Financial Position

Total assets decreased ~~$0.5~~$1.6 billion from ~~$23.7~~$24.5 billion at December 31, ~~2020~~2021 to ~~$23.2~~$22.9 billion at March 31, ~~2021.~~2022. Significant components were:

•Separate account assets decreased $1.3 billion primarily driven by unfavorable equity market performance and net outflows; and

•Reinsurance recoverables decreased ~~$530 million~~$0.2 billion primarily related to the variable annuity reinsured living benefit liabilities resulting from a decrease in future expected benefit payments from rising interest ~~rates and favorable equity market performance;~~rates.

~~Partially offset by:~~Total liabilities decreased $1.6 billion from $23.5 billion at December 31, 2021 to $21.9 billion at March 31, 2022. Significant components were:

•Separate account ~~assets increased $34 million primarily driven by favorable equity market performance offset by net outflows and policy charges.~~

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~~Total~~ liabilities decreased ~~$0.4~~$1.3 billion, ~~from $22.8 billion at December 31, 2020~~corresponding to ~~$22.4 at March 31, 2021. Significant components were:~~the decrease in Separate account assets, as discussed above; and

•Future policy benefits decreased ~~$545 million~~$0.3 billion primarily driven by a decrease in reserves related to our variable annuity living benefit liabilities, as discussed ~~above;~~

~~Partially offset by:~~

•~~Separate account liabilities increased $34 million, corresponding to the increase in Separate account assets, as discussed~~ above.

Total equity decreased ~~$65~~$8 million from ~~$865~~$971 million at December 31, ~~2020~~2021 to ~~$800~~$963 million at March 31, ~~2021~~2022 primarily driven by unrealized losses on fixed maturity investments driven by rising interest rates reflected in ~~accumulated~~Accumulated other comprehensive income (loss), partially offset by ~~an after-tax~~$101 million in capital contributions and net income of ~~$24~~$22 million.

Results of Operations

Income (loss) from Operations before Income Taxes

Three Months Comparison

Income (loss) from operations before income taxes ~~increased $10~~decreased $2 million from ~~$16 million for the three months ended March 31, 2020 to~~income of $26 million for the three months ended March 31, 2021 ~~primarily driven by:~~

•~~Higher Net investment~~to income ~~due to higher invested assets from the retained Life business, partially offset by lower reinvestment yields; and~~

•~~Higher Policy charges and fee income due to favorable equity markets driving increased variable life account values and higher amortization from unearned revenue reserves due to business growth;~~

~~Partially offset by:~~

•~~Higher Policyholders' benefits from continued growth in retained products driving higher mortality; and~~

•~~Higher Amortization~~ of ~~deferred policy acquisition costs driven by business growth primarily from variable life sales.~~

~~Revenues, Benefits and Expenses~~

~~Three Months Comparison~~

~~Revenues increased $18 million from a gain of $59~~$24 million for the three months ended March 31, ~~2020 to a gain of $77 million for the three months ended March 31, 2021 primarily driven by:~~2022.

•~~Higher Net investment income due to higher invested assets from the retained Life business, partially offset by lower reinvestment yields; and~~

•~~Higher~~Lower Policy charges and fee income driven by an increase in unearned revenue reserve capitalization due to ~~favorable equity markets driving increased variable life account values and higher amortization~~growth from ~~unearned revenue reserves due to business growth.~~retained business;

Benefits and expenses increased $8 million from an expense of $43 million for the three months ended March 31, 2020 to an expense of $51 million for the three months ended March 31, 2021 primarily driven by:partially offset by

•Higher ~~General, administrative and other expenses driven~~Premiums from growth in term policies retained by ~~an unfavorable comparative impact from commission and expense allowance ceded due to lower sales partially offset by lower expenses due to company initiatives; and~~the Company.

•~~Higher Policyholders' benefits from continued growth in retained products driving higher mortality.~~

~~Risks and Risk Mitigants~~

~~Variable Annuity Risks and Risk Mitigants:~~

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Revenues, Benefits and Expenses

Three Months Comparison

Revenues decreased $9 million from $77 million for the three months ended March 31, 2021 to $68 million for the three months ended March 31, 2022 primarily driven by:

•Lower Policy charges and fee income driven by an increase in unearned revenue reserve capitalization due to growth from retained business and a change in presentation of ceded yearly renewable term ("YRT") premiums, offset in benefits and expenses below;

partially offset by

•Higher Premiums from growth in term policies retained by the Company.

Benefits and expenses decreased $7 million from $51 million for the three months ended March 31, 2021 to $44 million for the three months ended March 31, 2022.

•Lower Policyholders' benefits due to a change in presentation of ceded YRT premiums, offsetting the impacts mentioned above to Revenues.

Risks and Risk Mitigants

Variable Annuity Risks and Risk Mitigants:

The primary risk exposures of our variable annuity contracts relate to actual deviations from, or changes to, the assumptions used in the original pricing of these products, including capital markets assumptions such as equity market returns, interest rates and market volatility, along with actuarial assumptions such as contractholder mortality, the timing and amount of annuitization and withdrawals, and contract lapses. For these risk exposures, achievement of our expected returns is subject to the risk that actual experience will differ from the assumptions used in the original pricing of these products. Prudential Financial manages our exposure to certain risks driven by fluctuations in capital markets primarily through a combination of Product Design Features and an Asset Liability Management Strategy ("ALM"), as discussed below. Sales of traditional variable annuities with guaranteed living benefit riders ~~have been~~were discontinued as of December 31, 2020.

Product Design Features:

A portion of the variable annuity contracts that we offered include an asset transfer feature. This feature is implemented at the contract level, and transfers assets between certain variable investment sub-accounts selected by the annuity contractholder and, depending on the benefit feature, a fixed-rate account in the general account or a bond fund sub-account within the separate account. The objective of the asset transfer feature is to reduce our exposure to equity market risk and market volatility. The asset transfer feature associated with highest daily living benefit products uses a designated bond fund sub-account within the separate account. The transfers are based on a static mathematical formula used with the particular benefit which considers a number of factors, including, but not limited to, the impact of investment performance on the contractholder’s total account value. Other product design features we utilize include, among others, asset allocation restrictions, minimum issuance age requirements and certain limitations on the amount of contractholder purchase payments, as well as a required minimum allocation to our general account for certain of our products.

We continue to introduce products that diversify our risk profile and have incorporated provisions in product design allowing frequent revisions of key pricing elements for certain of our products. In addition, there is diversity in our fee arrangements, as certain fees are primarily based on the benefit guarantee amount, the contractholder account value and/or premiums, which helps preserve certain revenue streams when market fluctuations cause account values to decline.

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Asset Liability Management Strategy (including fixed income instruments and derivatives):

~~Prudential Insurance employs~~We employ an ALM strategy that utilizes a combination of both traditional fixed income instruments and derivatives to meet expected liabilities associated with our variable annuity living benefit guarantees. The economic liability we manage with this ALM strategy consists of expected living benefit claims under less severe market conditions, which are managed using fixed income instruments, derivatives, or a combination thereof, and potential living benefit claims resulting from more severe market conditions, which are hedged using derivative instruments. For our Prudential Defined Income variable annuity, we utilize fixed income instruments to meet expected liabilities. For the portion of our ALM strategy executed with derivatives, ~~Prudential Insurance enters~~we enter into a range of exchange-traded and over-the-counter equity, ~~and~~ interest rate and credit derivatives, including, but not limited to: equity and treasury futures; total return, credit default and interest rate swaps; and options including equity options, swaptions, and floors and caps. The intent of this strategy is to more efficiently manage the capital and liquidity associated with these products while continuing to mitigate fluctuations in net income due to movements in capital markets. ~~Since~~To achieve this, we periodically review and recalibrate the ALM strategy ~~is conducted in Prudential Insurance,~~by optimizing the ~~results~~mix of ~~the strategy do not directly impact the Company's results of operations or financial condition.~~derivatives and fixed income instruments to achieve expected outcomes.

Income Taxes

For information regarding income taxes, see Note 7 to the Unaudited Interim Financial Statements.

Liquidity and Capital Resources

This section supplements and should be read in conjunction with “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Liquidity and Capital Resources” included in our Annual Report on Form 10-K for the year ended December 31, 2020.

Overview

Liquidity refers to the ability to generate sufficient cash resources to meet the payment obligations of the Company. Capital refers to the long-term financial resources available to support the operations of our business, fund business growth, and provide a cushion to withstand adverse circumstances. Our ability to generate and maintain sufficient liquidity and capital depends on the profitability of our business, general economic conditions, our ability to borrow from affiliates and our access to the capital markets through affiliates as described herein.

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Effective and prudent liquidity and capital management is a priority across the organization. Management monitors the liquidity of the Company on a daily basis and projects borrowing and capital needs over a multi-year time horizon. We use a Risk Appetite Framework ("RAF") to ensure that all risks taken by the Company aligns with our capacity and willingness to take those risks. The RAF provides a dynamic assessment of capital and liquidity stress impacts, including scenarios similar to, and more severe than, those occurring due to COVID-19, and is intended to ensure that sufficient resources are available to absorb those impacts. We believe that our capital and liquidity resources are sufficient to satisfy the capital and liquidity requirements of the Company.

Our businesses are subject to comprehensive regulation and supervision by domestic and international regulators. These regulations currently include requirements (many of which are the subject of ongoing rule-making) relating to capital, leverage, liquidity, stress-testing, overall risk management, credit exposure reporting and credit concentration. For information on these regulatory initiatives and their potential impact on us, see “Business—Regulation" and “Risk Factors” included in our Annual Report onof Form 10-K for the year ended December 31, ~~2020.~~2021.

Capital

We manage the Company to regulatory capital levels consistent with our "AA" ratings targets. We utilize the risk-based capital (“RBC”) ratio as a primary measure of capital adequacy. RBC is calculated based on statutory financial statements and risk formulas consistent with the practices of the National Association of Insurance Commissioners ("NAIC"). RBC considers, among other things, risks related to the type and quality of the invested assets, insurance-related risks associated with an insurer’s products and liabilities, interest rate risks and general business risks. RBC ratio calculations are intended to assist insurance regulators in measuring an insurer’s solvency and ability to pay future claims. The reporting of RBC measures is not intended for the purpose of ranking any insurance company or for use in connection with any marketing, advertising or promotional activities, but is available to the public. The Company’s capital levels substantially exceed the minimum level required by applicable insurance regulations. Our regulatory capital levels may be affected in the future by changes to the applicable regulations, proposals for which are currently under consideration by both domestic and international insurance regulators.

The regulatory capital level of the Company can be materially impacted by interest rate and equity market fluctuations, changes in the values of derivatives, the level of impairments recorded, and credit quality migration of the investment portfolio, among other items. In addition, the reinsurance of business or the recapture of business subject to reinsurance arrangements due to defaults by, or credit quality migration affecting, the reinsurers or for other reasons could negatively impact regulatory capital levels. The Company’s regulatory capital level is also affected by statutory accounting rules, which are subject to change by each applicable insurance regulator.

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Captive Reinsurance Companies:

See “Management’s Discussion and Analysis of Financial Condition and Results of Operations-Liquidity and Capital Resources-Capital-Affiliated Captive Reinsurance Companies” included in our Annual Report on Form 10-K for the year ended December 31, ~~2020,~~2021, for a discussion of our use of captive reinsurance companies.

Liquidity

Our liquidity is managed to ensure stable, reliable and cost-effective sources of cash flows to meet all of our obligations. Liquidity is provided by a variety of sources, as described more fully below, including portfolios of liquid assets. Our investment portfolios are integral to the overall liquidity of the Company. We use a projection process for cash flows from operations to ensure sufficient liquidity to meet projected cash outflows, including claims. The impact of Prudential Funding, LLC’s ("Prudential Funding"), a wholly-owned subsidiary of Prudential Insurance, financing capacity on liquidity is considered in the internal liquidity measures of the Company.

Liquidity is measured against internally-developed benchmarks that take into account the characteristics of both the asset portfolio and the liabilities that they support. We consider attributes of the various categories of liquid assets (for example, type of asset and credit quality) in calculating internal liquidity measures to evaluate our liquidity under various stress scenarios, including company-specific and market-wide events. We continue to believe that cash generated by ongoing operations and the liquidity profile of our assets provide sufficient liquidity under reasonably foreseeable stress scenarios.

The principal sources of the Company’s liquidity are premiums and certain annuity considerations, investment and fee income, investment maturities, sales of investments and internal borrowings. The principal uses of that liquidity include benefits, claims, and payments to policyholders and contractholders in connection with surrenders, withdrawals and net policy loan activity. Other uses of liquidity include commissions, general and administrative expenses, purchases of investments, the payment of dividends and returns of capital to the parent company, hedging and reinsurance activity and payments in connection with financing activities.

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In managing liquidity, we consider the risk of policyholder and contractholder withdrawals of funds earlier than our assumptions when selecting assets to support these contractual obligations. We use surrender charges and other contract provisions to mitigate the extent, timing and profitability impact of withdrawals of funds by customers.

Liquid Assets

Liquid assets include cash and cash equivalents, short-term investments, U.S. Treasury fixed maturities, and fixed maturities that are not designated as held-to-maturity and public equity securities. As of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, the Company had liquid assets of ~~$1,920~~$2,053 million and ~~$1,988~~$2,124 million, respectively. The portion of liquid assets comprised cash and cash equivalents was ~~$71~~$229 million and ~~$69~~$146 million as of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, respectively. As of March 31, ~~2021, $1,750~~2022, $1,721.6 million, or ~~96%~~97%, of the fixed maturity investments in the Company's general account portfolios, were rated high or highest quality based on NAIC or equivalent rating.

Term and Universal Life Reserve Financing

The Company uses affiliated captive reinsurance subsidiaries to finance the portion of the statutory reserves required to be held under Regulation XXX and Guideline AXXX that is considered to be non-economic. The financing arrangements involve the reinsurance of term and universal life business to our affiliated captive reinsurers and the issuance of surplus notes by those affiliated captives that are treated as capital for statutory purposes. These surplus notes are subordinated to policyholder obligations, and the payment of principal and interest on the surplus notes can only be made with prior insurance regulatory approval.

As of March 31, ~~2021,~~2022, the affiliated captive reinsurance companies have entered into agreements with external counterparties providing for the issuance of up to an aggregate of ~~$14,700~~$14,600 million of surplus notes by our affiliated captive reinsurers in return for the receipt of credit-linked notes (“Credit-Linked Note Structures”), of which ~~$12,644~~$12,821 million of surplus notes was outstanding, compared to an aggregate issuance capacity of ~~$14,825~~$14,600 million, of which ~~$12,919~~$12,721 million was outstanding as of December 31, ~~2020.~~2021. Under the agreements, the affiliated captive receives in exchange for the surplus notes one or more credit-linked notes issued by a special-purpose affiliate of the Company with an aggregate principal amount equal to the surplus notes outstanding. The affiliated captive holds the credit-linked notes as assets supporting Regulation XXX or Guideline AXXX non-economic reserves, as applicable. For more information on our Credit-Linked Note Structures, see “Management’s Discussion and Analysis of Financial Condition and Results of Operation—Liquidity and Capital Resources—Financing Activities” in the Annual Report on Form 10-K for the year ended December 31, ~~2020.~~2021.

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As of March 31, ~~2021,~~2022, our affiliated captive reinsurance companies had outstanding an aggregate of ~~$2,775~~$3,025 million of debt issued for the purpose of financing Regulation XXX and Guideline AXXX non-economic reserves, of which approximately ~~$1,175~~$1,125 million relates to Regulation XXX reserves and approximately ~~$1,600~~$1,900 million relates to Guideline AXXX reserves. In addition, as of March 31, ~~2021,~~2022, for purposes of financing Guideline AXXX reserves, one of our affiliated captives had approximately $3,982 million of surplus notes outstanding that were issued to affiliates.

The Company has introduced updated versions of its individual life products in conjunction with the requirement to adopt principle-based reserving by January 1, 2020. These updated products are currently priced to support the principle-based statutory reserve level without the need for reserve financing. Certain elements of the implementation of principle-based reserving are yet to be finalized by the NAIC and may have a material impact on statutory reserves. The Company continues to assess the impact of the implementation of principle-based reserving on projected statutory reserve levels, product pricing and the use of financing.

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PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY
Notes to Unaudited Interim Financial Statements—(Continued)

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Market risk is the risk of fluctuations in the value of financial instruments as a result of absolute or relative changes in interest rates, foreign currency exchange rates, equity prices or commodity prices. To varying degrees, our products and services, and the investment activities supporting them, generate exposure to market risk. The market risk incurred, and our strategies for managing this risk, vary by product. As of March 31, ~~2021,~~2022, there have been no material changes in our economic exposure to market risk from December 31, ~~2020,~~2021, a description of which may be found in our Annual Report on Form 10-K, for the year ended December 31, ~~2020,~~2021, Item 7A, “Quantitative and Qualitative Disclosures about Market Risk,” filed with the Securities and Exchange Commission. See Item 1A, “Risk Factors” included in the Annual Report on Form 10-K for the year ended December 31, ~~2020,~~2021, for a discussion of how difficult conditions in the financial markets and the economy generally may materially adversely affect our business and results of our operations.

Item 4. Controls and Procedures

In order to ensure that the information we must disclose in our filings with the SEC is recorded, processed, summarized, and reported on a timely basis, the Company’s management, including our Chief Executive Officer and Chief Financial Officer, have reviewed and evaluated the effectiveness of our disclosure controls and procedures, as defined in Securities Exchange Act of 1934, as amended (“Exchange Act”) Rule ~~13a-15(e)~~15d-15(e), as of March 31, ~~2021.~~2022. Based on such evaluation, the Chief Executive Officer and Chief Financial Officer have concluded that, as of March 31, ~~2021,~~2022, our disclosure controls and procedures were effective. No change in our internal control over financial reporting, as defined in Exchange Act Rule ~~13a-15(f)~~15d-15(f), occurred during the quarter ended March 31, ~~2021,~~2022, that has materially affected, or is reasonably likely to materially affect, our internal control over financial reporting.

5253

Table of Contents

PART II—OTHER INFORMATION

Item 1. Legal Proceedings

See Note 10 to the Unaudited Interim Financial Statements under “—Litigation and Regulatory Matters” for a description of certain pending litigation and regulatory matters affecting us, and certain risks to our business presented by such matters, which is incorporated herein by reference.

Item 1A. Risk Factors

You should carefully consider the risks described under “Risk Factors” in our Annual Report on Form 10-K for the year ended December 31, ~~2020.~~2021. These risks could materially affect our business, results of operations or financial condition ~~cause the trading price of our Common Stock to decline materially~~ or cause our actual results to differ materially from those expected or those expressed in any forward-looking statements made by, or on behalf of, the Company. These risks are not exclusive, and additional risks to which we are subject include, but are not limited to, the factors mentioned under “Forward-Looking Statements” and the risks of our businesses described elsewhere in this Quarterly Report on Form 10-Q.

5354

Table of Contents

Item 6. Exhibits


EXHIBIT INDEX

31.1 Section 302 Certification of the Chief Executive Officer

31.2 Section 302 Certification of the Chief Financial Officer

32.1 Section 906 Certification of the Chief Executive Officer

32.2 Section 906 Certification of the Chief Financial Officer

101.INS - XBRL Instance Document - the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document.

101.SCH - XBRL Taxonomy Extension Schema Document.

101.CAL - XBRL Taxonomy Extension Calculation Linkbase Document

101.LAB - XBRL Taxonomy Extension Label Linkbase Document

101.PRE - XBRL Taxonomy Extension Presentation Linkbase Document

101.DEF - XBRL Taxonomy Extension Definition Linkbase Document

104.Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101)

5455

Table of Contents

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.


			Pruco Life Insurance Company of New Jersey

			By:						/s/ ~~Susan M. Mann~~Robert E. Boyle
			Name:						~~Susan M. Mann~~Robert E. Boyle
									Vice President and Chief Financial Officer
									(Authorized Signatory and Principal Financial Officer)

Date: May ~~12, 2021~~13, 2022

5556


New Jersey						22-2426091
(State or Other Jurisdiction of Incorporation or Organization)						(I.R.S. Employer Identification Number)


Title of Each Class	Trading Symbol(s)	Name of Each Exchange on Which Registered
Not Applicable	Not Applicable	Not Applicable


Large Accelerated Filer	☐	Accelerated Filer	☐
Non-accelerated Filer	☒	Smaller Reporting Company	☐
		Emerging Growth Company	☐


		Page Number
PART I—FINANCIAL INFORMATION

Item 1.	Financial Statements:

	Unaudited Interim Statements of Financial Position as of March 31, ~~2021~~2022 and December 31, ~~2020~~2021	4

	Unaudited Interim Statements of Operations and Comprehensive Income (Loss) for the three months ended March 31, ~~2021~~2022 and ~~2020~~2021	5

	Unaudited Interim Statements of Equity for the three months ended March 31, ~~2021~~2022 and ~~2020~~2021	6

	Unaudited Interim Statements of Cash Flows for the three months ended March 31, ~~2021~~2022 and ~~2020~~2021	7

	Notes to Unaudited Interim Financial Statements	8

	1. Business and Basis of Presentation	8

	2. Significant Accounting Policies and Pronouncements	9

	3. Investments	1112

	4. Derivatives and Hedging	2120

	5. Fair Value of Assets and Liabilities	2625

	6. Reinsurance	3534

	7. Income Taxes	3938

	8. Equity	3938

	9. Related Party Transactions	4140

	10. Commitments and Contingent Liabilities	4342



Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	45

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	5253

Item 4.	Controls and Procedures	5253

PART II—OTHER INFORMATION		5354

Item 1.	Legal Proceedings	5354

Item 1A.	Risk Factors	5354

Item 6.	Exhibits	5455

SIGNATURES		5556


		March 31, 2021		December 31, 2020			March 31, 2022		December 31, 2021
ASSETS	ASSETS					ASSETS
Fixed maturities available for sale, at fair value (allowance for credit losses: 2021-$0; 2020-$0) (amortized cost: 2021-$1,691,841; 2020-$1,635,870)		$	1,824,338	$	1,894,195
Fixed maturities, trading, at fair value (amortized cost: 2021-$17,718; 2020-$17,718)		18,639		19,269
Equity securities, at fair value (cost: 2021-$4,660; 2020-$4,660)		5,978		6,218
Fixed maturities available for sale, at fair value (allowance for credit losses: 2022-$1,558; 2021-$1,558) (amortized cost: 2022-$1,793,799; 2021-$1,762,211)						Fixed maturities available for sale, at fair value (allowance for credit losses: 2022-$1,558; 2021-$1,558) (amortized cost: 2022-$1,793,799; 2021-$1,762,211)	$	1,783,855	$	1,935,598
Fixed maturities, trading, at fair value (amortized cost: 2022-$36,397; 2021-$36,863)						Fixed maturities, trading, at fair value (amortized cost: 2022-$36,397; 2021-$36,863)	34,198		36,456
Equity securities, at fair value (cost: 2022-$4,651; 2021-$4,660)						Equity securities, at fair value (cost: 2022-$4,651; 2021-$4,660)	5,400		5,937

Policy loans	Policy loans	211,807		212,163		Policy loans	211,894		210,730

Commercial mortgage and other loans (net of $466 and $440 allowance for credit losses at March 31, 2021 and December 31, 2020, respectively)		132,441		133,115
Other invested assets (includes $15,487 and $17,581 of assets measured at fair value at March 31, 2021 and December 31, 2020, respectively)		103,134		97,509
Short-term investments						Short-term investments	9,999		9,997
Commercial mortgage and other loans (net of $231 and $246 allowance for credit losses at March 31, 2022 and December 31, 2021, respectively)						Commercial mortgage and other loans (net of $231 and $246 allowance for credit losses at March 31, 2022 and December 31, 2021, respectively)	111,787		115,576
Other invested assets (includes $4,348 and $10,027 of assets measured at fair value at March 31, 2022 and December 31, 2021, respectively)						Other invested assets (includes $4,348 and $10,027 of assets measured at fair value at March 31, 2022 and December 31, 2021, respectively)	120,069		124,327
Total investments	Total investments	2,296,337		2,362,469		Total investments	2,277,202		2,438,621
Cash and cash equivalents	Cash and cash equivalents	71,205		68,527		Cash and cash equivalents	219,358		136,316
Deferred policy acquisition costs	Deferred policy acquisition costs	253,609		224,425		Deferred policy acquisition costs	317,785		290,299
Accrued investment income	Accrued investment income	21,678		21,248		Accrued investment income	23,475		22,539
Reinsurance recoverables	Reinsurance recoverables	3,331,052		3,860,612		Reinsurance recoverables	3,399,644		3,601,212
Receivables from parent and affiliates	Receivables from parent and affiliates	33,384		31,061		Receivables from parent and affiliates	19,340		21,438

Income taxes receivable	Income taxes receivable	10,937		0		Income taxes receivable	15,652		5,842
Other assets	Other assets	18,777		23,007		Other assets	17,048		17,581
Separate account assets	Separate account assets	17,151,428		17,117,510		Separate account assets	16,584,145		17,922,367
TOTAL ASSETS	TOTAL ASSETS	$	23,188,407	$	23,708,859	TOTAL ASSETS	$	22,873,649	$	24,456,215
LIABILITIES AND EQUITY	LIABILITIES AND EQUITY					LIABILITIES AND EQUITY
LIABILITIES	LIABILITIES					LIABILITIES
Policyholders’ account balances	Policyholders’ account balances	$	2,596,465	$	2,532,766	Policyholders’ account balances	$	2,671,683	$	2,608,640
Future policy benefits	Future policy benefits	2,431,120		2,976,575		Future policy benefits	2,479,227		2,757,941
Cash collateral for loaned securities		2,725		2,725

Income taxes payable		0		10,821

Payables to parent and affiliates	Payables to parent and affiliates	13,596		16,250		Payables to parent and affiliates	9		2,432
Other liabilities	Other liabilities	192,841		187,620		Other liabilities	175,790		194,123
Separate account liabilities	Separate account liabilities	17,151,428		17,117,510		Separate account liabilities	16,584,145		17,922,367
Total liabilities	Total liabilities	22,388,175		22,844,267		Total liabilities	21,910,854		23,485,503
COMMITMENTS AND CONTINGENT LIABILITIES (See Note 10)	COMMITMENTS AND CONTINGENT LIABILITIES (See Note 10)					COMMITMENTS AND CONTINGENT LIABILITIES (See Note 10)
EQUITY	EQUITY					EQUITY
Common stock ($5 par value; 400,000 shares authorized, issued and outstanding)	Common stock ($5 par value; 400,000 shares authorized, issued and outstanding)	2,000		2,000		Common stock ($5 par value; 400,000 shares authorized, issued and outstanding)	2,000		2,000
Additional paid-in capital	Additional paid-in capital	350,035		348,735		Additional paid-in capital	551,802		450,102
Retained earnings	Retained earnings	352,588		328,450		Retained earnings	409,819		387,957
Accumulated other comprehensive income (loss)	Accumulated other comprehensive income (loss)	95,609		185,407		Accumulated other comprehensive income (loss)	(826)		130,653
Total equity	Total equity	800,232		864,592		Total equity	962,795		970,712
TOTAL LIABILITIES AND EQUITY	TOTAL LIABILITIES AND EQUITY	$	23,188,407	$	23,708,859	TOTAL LIABILITIES AND EQUITY	$	22,873,649	$	24,456,215


☒			QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934


☐			TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934


		Three Months Ended March 31,					Three Months Ended March 31,
		2021		2020				2022		2021
REVENUES	REVENUES					REVENUES
Premiums	Premiums	$	7,559	$	5,194	Premiums		$	10,195	$	7,559
Policy charges and fee income	Policy charges and fee income	28,318		23,969		Policy charges and fee income		15,721		28,318
Net investment income	Net investment income	23,545		16,965		Net investment income		24,369		23,545
Asset administration fees	Asset administration fees	2,026		1,565		Asset administration fees		2,260		2,026
Other income		(264)		(1,949)
Other income (loss)						Other income (loss)		(1,514)		(264)

Realized investment gains (losses), net	Realized investment gains (losses), net	15,832		13,065		Realized investment gains (losses), net		16,028		15,832
TOTAL REVENUES	TOTAL REVENUES	77,016		58,809		TOTAL REVENUES		67,059		77,016
BENEFITS AND EXPENSES	BENEFITS AND EXPENSES					BENEFITS AND EXPENSES
Policyholders’ benefits	Policyholders’ benefits	18,835		16,686		Policyholders’ benefits		13,574		18,835
Interest credited to policyholders’ account balances	Interest credited to policyholders’ account balances	10,711		10,191		Interest credited to policyholders’ account balances		11,194		10,711
Amortization of deferred policy acquisition costs	Amortization of deferred policy acquisition costs	7,123		5,312		Amortization of deferred policy acquisition costs		6,192		7,123
General, administrative and other expenses	General, administrative and other expenses	14,084		10,374		General, administrative and other expenses		12,381		14,084
TOTAL BENEFITS AND EXPENSES	TOTAL BENEFITS AND EXPENSES	50,753		42,563		TOTAL BENEFITS AND EXPENSES		43,341		50,753
INCOME (LOSS) FROM OPERATIONS BEFORE INCOME TAXES	INCOME (LOSS) FROM OPERATIONS BEFORE INCOME TAXES	26,263		16,246		INCOME (LOSS) FROM OPERATIONS BEFORE INCOME TAXES		23,718		26,263
Income tax expense (benefit)	Income tax expense (benefit)	2,125		1,701		Income tax expense (benefit)		1,856		2,125
NET INCOME (LOSS)	NET INCOME (LOSS)	$	24,138	$	14,545	NET INCOME (LOSS)		$	21,862	$	24,138
Other comprehensive income (loss), before tax:	Other comprehensive income (loss), before tax:					Other comprehensive income (loss), before tax:
Foreign currency translation adjustments	Foreign currency translation adjustments	(108)		(1)		Foreign currency translation adjustments		(67)		(108)
Net unrealized investment gains (losses)	Net unrealized investment gains (losses)	(113,561)		(20,968)		Net unrealized investment gains (losses)		(166,361)		(113,561)
Total	Total	(113,669)		(20,969)		Total		(166,428)		(113,669)
Less: Income tax expense (benefit) related to other comprehensive income (loss)	Less: Income tax expense (benefit) related to other comprehensive income (loss)	(23,871)		(4,404)		Less: Income tax expense (benefit) related to other comprehensive income (loss)		(34,949)		(23,871)
Other comprehensive income (loss), net of taxes	Other comprehensive income (loss), net of taxes	(89,798)		(16,565)		Other comprehensive income (loss), net of taxes		(131,479)		(89,798)
Comprehensive income (loss)	Comprehensive income (loss)	$	(65,660)	$	(2,020)	Comprehensive income (loss)		$	(109,617)	$	(65,660)


		Common Stock		Additional Paid-in Capital		Retained Earnings		Accumulated Other Comprehensive Income (Loss)		Total Equity			Common Stock		Additional Paid-in Capital		Retained Earnings		Accumulated Other Comprehensive Income (Loss)		Total Equity
Balance, December 31, 2020		$	2,000	$	348,735	$	328,450	$	185,407	$	864,592
Balance, December 31, 2021												Balance, December 31, 2021	$	2,000	$	450,102	$	387,957	$	130,653	$	970,712

Contributed capital	Contributed capital			1,300						1,300		Contributed capital			101,700						101,700

Comprehensive income (loss):	Comprehensive income (loss):											Comprehensive income (loss):
Net income (loss)	Net income (loss)					24,138				24,138		Net income (loss)					21,862				21,862
Other comprehensive income (loss), net of tax	Other comprehensive income (loss), net of tax							(89,798)		(89,798)		Other comprehensive income (loss), net of tax							(131,479)		(131,479)
Total comprehensive income (loss)	Total comprehensive income (loss)									(65,660)		Total comprehensive income (loss)									(109,617)
Balance, March 31, 2021		$	2,000	$	350,035	$	352,588	$	95,609	$	800,232
Balance, March 31, 2022												Balance, March 31, 2022	$	2,000	$	551,802	$	409,819	$	(826)	$	962,795


		March 31, 2021											March 31, 2022
		Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Credit Losses		Fair Value			Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Credit Losses		Fair Value
		(in thousands)											(in thousands)
Fixed maturities, available-for-sale:	Fixed maturities, available-for-sale:											Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	10,581	$	883	$	0	$	0	$	11,464	U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	12,711	$	346	$	0	$	0	$	13,057
Obligations of U.S. states and their political subdivisions	Obligations of U.S. states and their political subdivisions	162,123		16,339		0		0		178,462		Obligations of U.S. states and their political subdivisions	163,305		6,061		27		0		169,339
Foreign government bonds	Foreign government bonds	98,897		6,352		1,753		0		103,496		Foreign government bonds	87,999		2,862		4,720		0		86,141

U.S. public corporate securities	U.S. public corporate securities	819,642		82,750		9,962		0		892,430		U.S. public corporate securities	938,638		33,663		36,060		0		936,241
U.S. private corporate securities	U.S. private corporate securities	219,742		14,690		432		0		234,000		U.S. private corporate securities	188,198		2,434		1,983		1,558		187,091
Foreign public corporate securities	Foreign public corporate securities	74,570		5,823		1,388		0		79,005		Foreign public corporate securities	118,619		1,737		7,562		0		112,794
Foreign private corporate securities	Foreign private corporate securities	146,199		10,526		1,280		0		155,445		Foreign private corporate securities	133,872		589		6,146		0		128,315
Asset-backed securities(1)	Asset-backed securities(1)	16,540		681		1		0		17,220		Asset-backed securities(1)	17,389		455		45		0		17,799
Commercial mortgage-backed securities	Commercial mortgage-backed securities	140,516		8,796		0		0		149,312		Commercial mortgage-backed securities	130,797		1,613		1,853		0		130,557
Residential mortgage-backed securities(2)	Residential mortgage-backed securities(2)	3,031		473		0		0		3,504		Residential mortgage-backed securities(2)	2,271		250		0		0		2,521
Total fixed maturities, available-for-sale	Total fixed maturities, available-for-sale	$	1,691,841	$	147,313	$	14,816	$	0	$	1,824,338	Total fixed maturities, available-for-sale	$	1,793,799	$	50,010	$	58,396	$	1,558	$	1,783,855


		March 31, 2021													March 31, 2022
		Less Than Twelve Months				Twelve Months or More				Total					Less Than Twelve Months				Twelve Months or More				Total
		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses			Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
		(in thousands)													(in thousands)
Fixed maturities, available-for-sale:	Fixed maturities, available-for-sale:													Fixed maturities, available-for-sale:

U.S. Treasury securities and obligations of U.S. government authorities and agencies														U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	0	$	0	$	0	$	0	$	0	$	0
Obligations of U.S. states and their political subdivisions														Obligations of U.S. states and their political subdivisions	4,941		27		0		0		4,941		27
Foreign government bonds	Foreign government bonds	$	29,269	$	1,753	$	0	$	0	$	29,269	$	1,753	Foreign government bonds	32,235		2,768		10,618		1,952		42,853		4,720
U.S. public corporate securities	U.S. public corporate securities	151,096		9,962		0		0		151,096		9,962		U.S. public corporate securities	356,383		29,898		30,804		6,162		387,187		36,060
U.S. private corporate securities	U.S. private corporate securities	15,403		262		5,180		170		20,583		432		U.S. private corporate securities	71,990		1,927		895		56		72,885		1,983
Foreign public corporate securities	Foreign public corporate securities	23,302		1,388		0		0		23,302		1,388		Foreign public corporate securities	67,209		6,124		8,119		1,438		75,328		7,562
Foreign private corporate securities	Foreign private corporate securities	11,241		208		11,585		1,072		22,826		1,280		Foreign private corporate securities	100,581		4,333		11,008		1,813		111,589		6,146
Asset-backed securities	Asset-backed securities	490		1		1,012		0		1,502		1		Asset-backed securities	6,722		45		0		0		6,722		45

Commercial mortgage-backed securities														Commercial mortgage-backed securities	84,171		1,853		0		0		84,171		1,853

Total fixed maturities, available-for-sale	Total fixed maturities, available-for-sale	$	230,801	$	13,574	$	17,777	$	1,242	$	248,578	$	14,816	Total fixed maturities, available-for-sale	$	724,232	$	46,975	$	61,444	$	11,421	$	785,676	$	58,396


~~PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY~~
~~Notes to Unaudited Interim Financial Statements—(Continued)~~


		March 31, 2021					March 31, 2022
		Amortized Cost		Fair Value			Amortized Cost		Fair Value
		(in thousands)					(in thousands)
Fixed maturities, available-for-sale:	Fixed maturities, available-for-sale:					Fixed maturities, available-for-sale:
Due in one year or less	Due in one year or less	$	45,685	$	45,656	Due in one year or less	$	59,619	$	57,221
Due after one year through five years	Due after one year through five years	237,943		252,705		Due after one year through five years	239,089		238,152
Due after five years through ten years	Due after five years through ten years	149,055		160,579		Due after five years through ten years	88,704		86,299
Due after ten years	Due after ten years	1,099,071		1,195,362		Due after ten years	1,255,930		1,251,306
Asset-backed securities	Asset-backed securities	16,540		17,220		Asset-backed securities	17,389		17,799
Commercial mortgage-backed securities	Commercial mortgage-backed securities	140,516		149,312		Commercial mortgage-backed securities	130,797		130,557
Residential mortgage-backed securities	Residential mortgage-backed securities	3,031		3,504		Residential mortgage-backed securities	2,271		2,521
Total fixed maturities, available-for-sale	Total fixed maturities, available-for-sale	$	1,691,841	$	1,824,338	Total fixed maturities, available-for-sale	$	1,793,799	$	1,783,855


	Three Months Ended March 31,
		2021		2020
	(in thousands)
Fixed maturities, available-for-sale:
Proceeds from sales(1)		$	2,922	$	1,410
Proceeds from maturities/prepayments		10,086		12,254
Gross investment gains from sales and maturities		25		24
Gross investment losses from sales and maturities		(167)		0

Write-downs recognized in earnings(2)		0		(625)
(Addition to) release of allowance for credit losses		0		0


	March 31, 2022
	Amortized Cost by Origination Year
	2022		2021		2020		2019		2018		Prior		Total
	(in thousands)
Commercial Mortgage Loans
Loan-to-Value Ratio:
0%-59.99%	$	0	$	358	$	0	$	7,250	$	1,422	$	59,131	$	68,161
60%-69.99%	0		2,063		2,198		24,183		0		6,171		34,615
70%-79.99%	0		347		0		3,855		0		1,855		6,057
80% or greater	0		0		0		0		0		953		953
Total	$	0	$	2,768	$	2,198	$	35,288	$	1,422	$	68,110	$	109,786
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	0	$	2,768	$	2,198	$	29,930	$	1,422	$	44,854	$	81,172
1.0 - 1.2x	0		0		0		0		0		10,064		10,064
Less than 1.0x	0		0		0		5,358		0		13,192		18,550
Total	$	0	$	2,768	$	2,198	$	35,288	$	1,422	$	68,110	$	109,786
Agricultural Property Loans
Loan-to-Value Ratio:
0%-59.99%	$	0	$	1,125	$	0	$	0	$	0	$	1,107	$	2,232
60%-69.99%	0		0		0		0		0		0		0
70%-79.99%	0		0		0		0		0		0		0
80% or greater	0		0		0		0		0		0		0
Total	$	0	$	1,125	$	0	$	0	$	0	$	1,107	$	2,232
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	0	$	1,125	$	0	$	0	$	0	$	1,107	$	2,232
1.0 - 1.2x	0		0		0		0		0		0		0
Less than 1.0x	0		0		0		0		0		0		0
Total	$	0	$	1,125	$	0	$	0	$	0	$	1,107	$	2,232


		March 31, 2021													March 31, 2022
		Current		30-59 Days Past Due		60-89 Days Past Due		90 Days or More Past Due(1)		Total Loans		Non-Accrual Status(2)			Current		30-59 Days Past Due		60-89 Days Past Due		90 Days or More Past Due(1)		Total Loans		Non-Accrual Status(2)
		(in thousands)													(in thousands)
Commercial mortgage loans	Commercial mortgage loans	$	130,546	$	0	$	0	$	0	$	130,546	$	0	Commercial mortgage loans	$	109,786	$	0	$	0	$	0	$	109,786	$	0
Agricultural property loans	Agricultural property loans	2,361		0		0		0		2,361		0		Agricultural property loans	2,232		0		0		0		2,232		0

Total	Total	$	132,907	$	0	$	0	$	0	$	132,907	$	0	Total	$	112,018	$	0	$	0	$	0	$	112,018	$	0


	March 31, 2021						December 31, 2020
	Remaining Contractual Maturities of the Agreements						Remaining Contractual Maturities of the Agreements
	Overnight & Continuous		Up to 30 Days		Total		Overnight & Continuous		Up to 30 Days		Total
	(in thousands)





Foreign public corporate securities	$	2,725	$	0	$	2,725	$	2,725	$	0	$	2,725





Total cash collateral for loaned securities(1)	$	2,725	$	0	$	2,725	$	2,725	$	0	$	2,725


		March 31, 2021											March 31, 2022
		Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Statements of Financial Position		Net Amounts Presented in the Statements of Financial Position		Financial Instruments/ Collateral(1)		Net Amount			Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Statements of Financial Position		Net Amounts Presented in the Statements of Financial Position		Financial Instruments/ Collateral(1)		Net Amount
		(in thousands)											(in thousands)
Offsetting of Financial Assets:	Offsetting of Financial Assets:											Offsetting of Financial Assets:
Derivatives(1)		$	49,949	$	(37,293)	$	12,656	$	(12,656)	$	0
Derivatives												Derivatives	$	11,723	$	(10,280)	$	1,443	$	(1,443)	$	0
Securities purchased under agreements to resell	Securities purchased under agreements to resell	0		0		0		0		0		Securities purchased under agreements to resell	0		0		0		0		0
Total Assets	Total Assets	$	49,949	$	(37,293)	$	12,656	$	(12,656)	$	0	Total Assets	$	11,723	$	(10,280)	$	1,443	$	(1,443)	$	0
Offsetting of Financial Liabilities:	Offsetting of Financial Liabilities:											Offsetting of Financial Liabilities:
Derivatives(1)		$	37,293	$	(37,293)	$	0	$	0	$	0
Derivatives												Derivatives	$	10,280	$	(10,280)	$	0	$	0	$	0
Securities sold under agreements to repurchase	Securities sold under agreements to repurchase	0		0		0		0		0		Securities sold under agreements to repurchase	0		0		0		0		0
Total Liabilities	Total Liabilities	$	37,293	$	(37,293)	$	0	$	0	$	0	Total Liabilities	$	10,280	$	(10,280)	$	0	$	0	$	0


		Three Months Ended March 31, 2021									Three Months Ended March 31, 2022
		Realized Investment Gains (Losses)		Net Investment Income		Other Income		AOCI(1)			Realized Investment Gains (Losses)		Net Investment Income		Other Income		Change in AOCI
		(in thousands)									(in thousands)
Derivatives Designated as Hedge Accounting Instruments:	Derivatives Designated as Hedge Accounting Instruments:									Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges	Cash flow hedges									Cash flow hedges
Currency/Interest Rate	Currency/Interest Rate	$	(8)	$	401	$	159	$	1,545	Currency/Interest Rate	$	31	$	451	$	188	$	1,222
Total cash flow hedges	Total cash flow hedges	(8)		401		159		1,545		Total cash flow hedges	31		451		188		1,222
Derivatives Not Qualifying as Hedge Accounting Instruments:	Derivatives Not Qualifying as Hedge Accounting Instruments:									Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	Interest Rate	(827)		0		0		0		Interest Rate	(1,201)		0		0		0
Currency	Currency	111		0		0		0		Currency	115		0		0		0
Currency/Interest Rate	Currency/Interest Rate	3		0		(6)		0		Currency/Interest Rate	290		0		8		0
Credit	Credit	(3)		0		0		0		Credit	0		0		0		0
Equity	Equity	1,965		0		0		0		Equity	(1,526)		0		0		0
Embedded Derivatives	Embedded Derivatives	14,729		0		0		0		Embedded Derivatives	20,326		0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments:	Total Derivatives Not Qualifying as Hedge Accounting Instruments:	15,978		0		(6)		0		Total Derivatives Not Qualifying as Hedge Accounting Instruments:	18,004		0		8		0
Total	Total	$	15,970	$	401	$	153	$	1,545	Total	$	18,035	$	451	$	196	$	1,222


	Three Months Ended March 31, 2020
	Realized Investment Gains (Losses)		Net Investment Income		Other Income		AOCI(1)
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Currency/Interest Rate	$	26	$	478	$	1,005	$	16,011
Total cash flow hedges	26		478		1,005		16,011
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	1,839		0		0		0
Currency	73		0		0		0
Currency/Interest Rate	4,527		0		19		0
Credit	0		0		0		0
Equity	(10,384)		0		0		0
Embedded Derivatives	17,790		0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments:	13,845		0		19		0
Total	$	13,871	$	478	$	1,024	$	16,011


	(in thousands)
Balance, December 31, ~~2020~~2021	$	~~(2,998)~~5,407
Amount recorded in AOCI


Currency/Interest Rate	~~2,097~~1,892
Total amount recorded in AOCI	~~2,097~~1,892
Amount reclassified from AOCI to income


Currency/Interest Rate	~~(552)~~(670)
Total amount reclassified from AOCI to income	~~(552)~~(670)
Balance, March 31, ~~2021~~2022	$	~~(1,453)~~6,629


		March 31, 2021											March 31, 2022
		Level 1		Level 2		Level 3		Netting(1)		Total			Level 1		Level 2		Level 3		Netting(1)		Total
		(in thousands)											(in thousands)
Fixed maturities, available-for-sale:	Fixed maturities, available-for-sale:											Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	0	$	11,464	$	0	$		$	11,464	U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	0	$	13,057	$	0	$		$	13,057
Obligations of U.S. states and their political subdivisions	Obligations of U.S. states and their political subdivisions	0		178,462		0				178,462		Obligations of U.S. states and their political subdivisions	0		169,339		0				169,339
Foreign government bonds	Foreign government bonds	0		103,496		0				103,496		Foreign government bonds	0		86,141		0				86,141
U.S. corporate public securities	U.S. corporate public securities	0		892,430		0				892,430		U.S. corporate public securities	0		936,241		0				936,241
U.S. corporate private securities	U.S. corporate private securities	0		233,567		433				234,000		U.S. corporate private securities	0		184,487		2,604				187,091
Foreign corporate public securities	Foreign corporate public securities	0		79,005		0				79,005		Foreign corporate public securities	0		112,794		0				112,794
Foreign corporate private securities	Foreign corporate private securities	0		133,547		21,898				155,445		Foreign corporate private securities	0		110,096		18,219				128,315
Asset-backed securities(2)	Asset-backed securities(2)	0		17,220		0				17,220		Asset-backed securities(2)	0		17,799		0				17,799
Commercial mortgage-backed securities	Commercial mortgage-backed securities	0		149,312		0				149,312		Commercial mortgage-backed securities	0		106,160		24,397				130,557
Residential mortgage-backed securities	Residential mortgage-backed securities	0		3,504		0				3,504		Residential mortgage-backed securities	0		2,521		0				2,521
Subtotal	Subtotal	0		1,802,007		22,331				1,824,338		Subtotal	0		1,738,635		45,220				1,783,855
Fixed maturities, trading	Fixed maturities, trading	0		18,639		0				18,639		Fixed maturities, trading	0		34,198		0				34,198
Equity securities	Equity securities	0		121		5,857				5,978		Equity securities	0		102		5,298				5,400

Short-term investments												Short-term investments	9,999		0		0				9,999
Cash equivalents	Cash equivalents	0		63,555		0				63,555		Cash equivalents	0		212,172		0				212,172
Other invested assets(3)	Other invested assets(3)	0		49,949		0		(37,293)		12,656		Other invested assets(3)	0		11,723		0		(10,280)		1,443
Reinsurance recoverables	Reinsurance recoverables	0		0		660,533				660,533		Reinsurance recoverables	0		0		633,060				633,060
Receivables from parent and affiliates	Receivables from parent and affiliates	0		782		0				782		Receivables from parent and affiliates	0		734		0				734
Subtotal excluding separate account assets	Subtotal excluding separate account assets	0		1,935,053		688,721		(37,293)		2,586,481		Subtotal excluding separate account assets	9,999		1,997,564		683,578		(10,280)		2,680,861
Separate account assets(4)(5)	Separate account assets(4)(5)	0		15,041,532		0				15,041,532		Separate account assets(4)(5)	0		14,500,461		0				14,500,461
Total assets	Total assets	$	0	$	16,976,585	$	688,721	$	(37,293)	$	17,628,013	Total assets	$	9,999	$	16,498,025	$	683,578	$	(10,280)	$	17,181,322
Future policy benefits(6)	Future policy benefits(6)	$	0	$	0	$	660,533	$		$	660,533	Future policy benefits(6)	$	0	$	0	$	633,060	$		$	633,060
Policyholders' account balances	Policyholders' account balances	0		0		136,773				136,773		Policyholders' account balances	0		0		130,930				130,930
Payables to parent and affiliates	Payables to parent and affiliates	0		37,293		0		(37,293)		0		Payables to parent and affiliates	0		10,280		0		(10,280)		0
Total liabilities	Total liabilities	$	0	$	37,293	$	797,306	$	(37,293)	$	797,306	Total liabilities	$	0	$	10,280	$	763,990	$	(10,280)	$	763,990


	Three Months Ended March 31, 2022
	Fair Value, beginning of period		Total realized and unrealized gains (losses)(1)		Purchases		Sales		Issuances		Settlements		Other		Transfers into Level 3		Transfers out of Level 3		Fair Value, end of period		Unrealized gains (losses) for assets still held(2)
	(in thousands)
Fixed maturities, available-for-sale:


Corporate securities(3)	$	24,319	$	(2,864)	$	0	$	0	$	0	$	(632)	$	0	$	0	$	0	$	20,823	$	(2,821)
Structured securities(4)	27,274		(2,795)		0		0		0		(82)		0		0		0		24,397		(2,796)
Other assets:

Equity securities	5,812		(514)		0		0		0		0		0		0		0		5,298		(514)



Reinsurance recoverables	821,596		(214,894)		26,358		0		0		0		0		0		0		633,060		(207,732)

Liabilities:
Future policy benefits	(821,596)		214,894		0		0		(26,358)		0		0		0		0		(633,060)		207,732
Policyholders' account balances(5)	(153,127)		19,553		0		0		0		2,644		0		0		0		(130,930)		21,607


	December 31, 2021
	Fair Value								Carrying Amount(1)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:

Commercial mortgage and other loans	$	0	$	0	$	121,594	$	121,594	$	115,576
Policy loans	0		0		210,730		210,730		210,730


Cash and cash equivalents	7,597		0		0		7,597		7,597
Accrued investment income	0		22,539		0		22,539		22,539
Reinsurance recoverables	0		0		29,931		29,931		28,883
Receivables from parent and affiliates	0		20,650		0		20,650		20,650
Other assets	0		3,013		0		3,013		3,013
Total assets	$	7,597	$	46,202	$	362,255	$	416,054	$	408,988
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	201,955	$	41,939	$	243,894	$	242,846






Payables to parent and affiliates	0		2,432		0		2,432		2,432
Other liabilities	0		49,130		0		49,130		49,130
Total liabilities	$	0	$	253,517	$	41,939	$	295,456	$	294,408


		Accumulated Other Comprehensive Income (Loss)							Accumulated Other Comprehensive Income (Loss)
		Foreign Currency Translation Adjustment		Net Unrealized Investment Gains (Losses)(1)		Total Accumulated Other Comprehensive Income (Loss)			Foreign Currency Translation Adjustment		Net Unrealized Investment Gains (Losses)(1)		Total Accumulated Other Comprehensive Income (Loss)
		(in thousands)							(in thousands)
Balance, December 31, 2020		$	(783)	$	186,190	$	185,407
Balance, December 31, 2021								Balance, December 31, 2021	$	(988)	$	131,641	$	130,653
Change in OCI before reclassifications	Change in OCI before reclassifications	(108)		(113,151)		(113,259)		Change in OCI before reclassifications	(67)		(167,650)		(167,717)
Amounts reclassified from AOCI	Amounts reclassified from AOCI	0		(410)		(410)		Amounts reclassified from AOCI	0		1,289		1,289
Income tax benefit (expense)	Income tax benefit (expense)	23		23,848		23,871		Income tax benefit (expense)	15		34,934		34,949
Balance, March 31, 2021		$	(868)	$	96,477	$	95,609
Balance, March 31, 2022								Balance, March 31, 2022	$	(1,040)	$	214	$	(826)


	Net Unrealized Gains (Losses) on Investments(1)		DAC and Other Costs(2)		Future Policy Benefits, Policyholders' Account Balances and Other Liabilities(3)		Deferred Income Tax (Liability) Benefit		Accumulated Other Comprehensive Income (Loss) Related To Net Unrealized Investment Gains (Losses)

Balance, December 31, 2020	$	255,724	$	28,241	$	(48,283)	$	(49,492)	$	186,190
Net investment gains (losses) on investments arising during the period	(123,751)		0		0		25,988		(97,763)
Reclassification adjustment for (gains) losses included in net income	(410)		0		0		86		(324)

Impact of net unrealized investment (gains) losses on DAC and other costs	0		(8,631)		0		1,813		(6,818)
Impact of net unrealized investment (gains) losses on future policy benefits, policyholders' account balances and other liabilities	0		0		19,231		(4,039)		15,192
Balance, March 31, 2021	$	131,563	$	19,610	$	(29,052)	$	(25,644)	$	96,477


		Maturity Date		Interest Rates				March 31, 2021		December 31, 2020			Maturity Date		Interest Rates				March 31, 2022		December 31, 2021
								(in thousands)											(in thousands)

U.S. dollar fixed rate notes	U.S. dollar fixed rate notes		2027	0.00%	-	14.85	%	$	782	$	815	U.S. dollar fixed rate notes		2027	0.00%	-	14.85	%	$	734	$	788
Total long-term notes receivable - affiliated(1)	Total long-term notes receivable - affiliated(1)							$	782	$	815	Total long-term notes receivable - affiliated(1)							$	734	$	788


Affiliate	Affiliate	Date	Transaction	Security Type	Fair Value		Book Value		APIC, Net of Tax Increase/(Decrease)		Realized Investment Gain (Loss)		Affiliate	Date	Transaction	Security Type	Fair Value		Book Value		APIC, Net of Tax Increase/(Decrease)		Realized Investment Gain (Loss)
					(in thousands)												(in thousands)

Prudential Insurance	Prudential Insurance	April 2020	Purchase	Fixed Maturities	$	3,485	$	3,320	$	(130)	$	0	Prudential Insurance	September 2021	Purchase	Fixed Maturities	$	10,810	$	10,520	$	(229)	$	0
Prudential Insurance													Prudential Insurance	September 2021	Sale	Fixed Maturities	$	7,356	$	6,477	$	695	$	0
Prudential Retirement Insurance & Annuity Co													Prudential Retirement Insurance & Annuity Co	September 2021	Purchase	Fixed Maturities	$	19,724	$	19,724	$	0	$	0
Prudential Retirement Insurance & Annuity Co													Prudential Retirement Insurance & Annuity Co	September 2021	Sale	Fixed Maturities	$	22,557	$	22,038	$	0	$	519
Prudential Insurance													Prudential Insurance	September 2021	Purchase	Derivatives	$	715	$	213	$	(396)	$	0
Prudential Retirement Insurance & Annuity Co													Prudential Retirement Insurance & Annuity Co	September 2021	Purchase	Derivatives	$	21	$	21	$	0	$	0
Prudential Retirement Insurance & Annuity Co													Prudential Retirement Insurance & Annuity Co	September 2021	Sale	Derivatives	$	816	$	233	$	0	$	583