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Table of Contents

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q


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

For the quarterly period ended ~~March 31,~~June 30, 2023


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

For the Transition Period from to

Commission File Number 333-18053

____________________________________________________________

Pruco Life Insurance Company of New Jersey

(Exact Name of Registrant as Specified in its Charter)


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

213 Washington Street

Newark, NJ 07102

(973) 802-6000

(Address and Telephone Number of Registrant’s Principal Executive Offices)

SECURITIES REGISTERED PURSUANT TO SECTION 12(b) OF THE ACT:


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

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of the Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See definitions of “large accelerated filer", "accelerated filer", "smaller reporting company” and "emerging growth company" in Rule 12b-2 of the Exchange Act.


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

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☒

As of ~~May 11,~~August 10, 2023, 400,000 shares of the registrant’s Common Stock (par value $5) were outstanding. As of such date, Pruco Life Insurance Company, an Arizona corporation, owned all of the registrant’s Common Stock.

Pruco Life Insurance Company of New Jersey meets the conditions set

forth in General Instruction (H) (1) (a) and (b) on Form 10-Q and

is therefore filing this Form 10-Q in the reduced disclosure format.

Table of Contents

TABLE OF CONTENTS


		Page Number
PART I—FINANCIAL INFORMATION

Item 1.	Financial Statements:

	Unaudited Interim Statements of Financial Position as of ~~March 31,~~June 30 , 2023 and December 31, 2022	4

	Unaudited Interim Statements of Operations and Comprehensive Income (Loss) for the three and six months ended ~~March 31,~~June 30, 2023 and 2022	5

	Unaudited Interim Statements of Equity for the three and six months ended ~~March 31,~~June 30, 2023 and 2022	6

	Unaudited Interim Statements of Cash Flows for the ~~three~~six months ended ~~March 31,~~June 30, 2023 and 2022	7

	Notes to Unaudited Interim Financial Statements	9

	1. Business and Basis of Presentation	9

	2. Significant Accounting Policies and Pronouncements	1617

	3. Investments	2526

	4. Derivatives and Hedging	3436

	5. Fair Value of Assets and Liabilities	3942

	6. Deferred Policy Acquisition ~~Cost~~Costs and Deferred Reinsurance	4953

	7. Separate Accounts	5054

	8. Liability for Future Policy Benefits	5256

	9. Policyholders' Account Balances	5864

	10. Market Risk Benefits	6267

	11. Reinsurance	6369

	12. Income Taxes	6773

	13. Equity	6774

	14. Related Party Transactions	6975

	15. Commitments and Contingent Liabilities	7278



Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	7481

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	8490

Item 4.	Controls and Procedures	8591

PART II—OTHER INFORMATION		8692

Item 1.	Legal Proceedings	8692

Item 1A.	Risk Factors	8692

Item 6.	Exhibits	8793

SIGNATURES		8894

Table of Contents

FORWARD-LOOKING STATEMENTS

Certain of the statements included in this Quarterly Report on Form 10-Q, constitute forward-looking statements within the meaning of the U.S. Private Securities Litigation Reform Act of 1995. Words such as “expects,” “believes,” “anticipates,” “includes,” “plans,” “assumes,” “estimates,” “projects,” “intends,” “should,” “will,” “shall” or variations of such words are generally part of forward-looking statements. Forward-looking statements are made based on management’s current expectations and beliefs concerning future developments and their potential effects upon Pruco Life Insurance Company of New Jersey and its subsidiary. There can be no assurance that future developments affecting Pruco Life Insurance Company of New Jersey and its subsidiary will be those anticipated by management. These forward-looking statements are not a guarantee of future performance and involve risks and uncertainties, and there are certain important factors that could cause actual results to differ, possibly materially, from expectations or estimates reflected in such forward-looking statements, including, among others: (1) rapidly rising interest rates and equity market declines and their impact on our liquidity, capital positions, cash flows, results of operations and financial position, (2) losses on investments or financial contracts due to deterioration in credit quality or value, or counterparty default; (3) losses on insurance products due to mortality experience or policyholder behavior experience that differs significantly from our expectations when we price our products; (4) changes in interest rates and equity prices that may (a) adversely impact the profitability of our products, the value of separate accounts supporting these products or the value of assets we manage, (b) result in losses on derivatives we use to hedge risk or increase collateral posting requirements and (c) limit opportunities to invest at appropriate returns; (5) guarantees within certain of our products which are market sensitive and may decrease our earnings or increase the volatility of our results of operations or financial position; (6) liquidity needs resulting from (a) derivative collateral market exposure, (b) asset/liability mismatches, (c) the lack of available funding in the financial markets or (d) unexpected cash demands due to severe mortality calamity or lapse events; (7) financial or customer losses, or regulatory and legal actions, due to inadequate or failed processes or systems, external events and human error or misconduct such as (a) disruption of our systems and data, (b) an information security breach, (c) a failure to protect the privacy of sensitive data (d) reliance on third parties or (e) labor and employment matters; (8) changes in the regulatory landscape, including related to (a) financial sector regulatory reform, (b) changes in tax laws, (c) fiduciary rules and other standards of care, (d) state insurance laws and developments regarding group-wide supervision, capital and reserves, and (e) privacy and cybersecurity regulation; (9) technological changes which may adversely impact companies in our investment portfolio or cause insurance experience to deviate from our assumptions; (10) ratings downgrades; (11) market conditions that may adversely affect the sales or persistency of our products; (12) competition; (13) reputational damage; and (14) risks related to COVID-19 could reemerge. Pruco Life Insurance Company of New Jersey does not intend, and is under no obligation, to update any particular forward-looking statement included in this document. See “Risk Factors” included in the Annual Report on Form 10-K for the year ended December 31, 2022 for discussion of certain risks relating to our business and investment in our securities.

Table of Contents

PART I—FINANCIAL INFORMATION

Item 1. Financial Statements

PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY

Unaudited Interim Statements of Financial Position

~~March 31,~~June 30, 2023 and December 31, 2022 (in thousands, except share amounts)


		March 31, 2023		December 31, 2022			June 30, 2023		December 31, 2022
ASSETS	ASSETS					ASSETS
Fixed maturities, available for sale, at fair value (allowance for credit losses: 2023-$3; 2022-$363) (amortized cost: 2023-$2,329,822; 2022-$1,990,718)		$	2,108,183	$	1,719,488
Fixed maturities, trading, at fair value (amortized cost: 2023-$27,108; 2022-$27,566)		23,938		23,782
Fixed maturities, available for sale, at fair value (allowance for credit losses: 2023-$3; 2022-$363) (amortized cost: 2023-$2,425,413; 2022-$1,990,718)						Fixed maturities, available for sale, at fair value (allowance for credit losses: 2023-$3; 2022-$363) (amortized cost: 2023-$2,425,413; 2022-$1,990,718)	$	2,168,635	$	1,719,488
Fixed maturities, trading, at fair value (amortized cost: 2023-$26,650; 2022-$27,566)						Fixed maturities, trading, at fair value (amortized cost: 2023-$26,650; 2022-$27,566)	23,021		23,782
Equity securities, at fair value (cost: 2023-$4,622; 2022-$4,614)	Equity securities, at fair value (cost: 2023-$4,622; 2022-$4,614)	4,363		4,358		Equity securities, at fair value (cost: 2023-$4,622; 2022-$4,614)	4,487		4,358

Policy loans	Policy loans	212,479		212,063		Policy loans	1,112,432		212,063
Short-term investments	Short-term investments	12,000		7,000		Short-term investments	6,500		7,000
Commercial mortgage and other loans (net of $499 and $408 allowance for credit losses at March 31, 2023 and December 31, 2022, respectively)		159,752		148,179
Other invested assets (includes $2,235 and $2,389 of assets measured at fair value at March 31, 2023 and December 31, 2022, respectively)		133,763		129,528
Commercial mortgage and other loans (net of $675 and $408 allowance for credit losses at June 30, 2023 and December 31, 2022, respectively)						Commercial mortgage and other loans (net of $675 and $408 allowance for credit losses at June 30, 2023 and December 31, 2022, respectively)	177,190		148,179
Other invested assets (includes $4,915 and $2,389 of assets measured at fair value at June 30, 2023 and December 31, 2022, respectively)						Other invested assets (includes $4,915 and $2,389 of assets measured at fair value at June 30, 2023 and December 31, 2022, respectively)	144,228		129,528
Total investments	Total investments	2,654,478		2,244,398		Total investments	3,636,493		2,244,398
Cash and cash equivalents	Cash and cash equivalents	83,286		255,767		Cash and cash equivalents	80,676		255,767
Deferred policy acquisition costs(1)	Deferred policy acquisition costs(1)	361,655		351,874		Deferred policy acquisition costs(1)	372,344		351,874
Accrued investment income	Accrued investment income	31,064		25,222		Accrued investment income	36,572		25,222
Reinsurance recoverables(1)	Reinsurance recoverables(1)	3,195,287		3,098,248		Reinsurance recoverables(1)	3,276,582		3,098,248
Receivables from parent and affiliates	Receivables from parent and affiliates	17,574		19,348		Receivables from parent and affiliates	25,002		19,348

Income tax assets(1)	Income tax assets(1)	59,075		67,615		Income tax assets(1)	69,879		67,615
Market risk benefit assets(1)	Market risk benefit assets(1)	562,922		558,624		Market risk benefit assets(1)	533,855		558,624
Other assets(1)	Other assets(1)	47,984		48,391		Other assets(1)	46,423		48,391
Separate account assets	Separate account assets	14,413,681		13,926,958		Separate account assets	13,766,346		13,926,958
TOTAL ASSETS	TOTAL ASSETS	$	21,427,006	$	20,596,445	TOTAL ASSETS	$	21,844,172	$	20,596,445
LIABILITIES AND EQUITY	LIABILITIES AND EQUITY					LIABILITIES AND EQUITY
LIABILITIES	LIABILITIES					LIABILITIES
Policyholders’ account balances(1)	Policyholders’ account balances(1)	$	2,792,291	$	2,774,315	Policyholders’ account balances(1)	$	3,809,514	$	2,774,315
Future policy benefits(1)	Future policy benefits(1)	2,227,631		2,130,042		Future policy benefits(1)	2,270,244		2,130,042
Market risk benefit liabilities(1)	Market risk benefit liabilities(1)	562,922		558,624		Market risk benefit liabilities(1)	533,855		558,624
Cash collateral for loaned securities	Cash collateral for loaned securities	3,325		0		Cash collateral for loaned securities	2,996		0

Short-term debt to affiliates						Short-term debt to affiliates	3		0

Payables to parent and affiliates	Payables to parent and affiliates	2,074		7,546		Payables to parent and affiliates	10		7,546
Other liabilities(1)	Other liabilities(1)	196,189		172,305		Other liabilities(1)	230,432		172,305
Separate account liabilities	Separate account liabilities	14,413,681		13,926,958		Separate account liabilities	13,766,346		13,926,958
Total liabilities	Total liabilities	20,198,113		19,569,790		Total liabilities	20,613,400		19,569,790
COMMITMENTS AND CONTINGENT LIABILITIES (See Note 15)	COMMITMENTS AND CONTINGENT LIABILITIES (See Note 15)					COMMITMENTS AND CONTINGENT LIABILITIES (See Note 15)
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	950,412		775,412		Additional paid-in capital	950,913		775,412
Retained earnings(1)	Retained earnings(1)	275,039		285,433		Retained earnings(1)	311,306		285,433
Accumulated other comprehensive income (loss)(1)	Accumulated other comprehensive income (loss)(1)	1,442		(36,190)		Accumulated other comprehensive income (loss)(1)	(33,447)		(36,190)
Total equity	Total equity	1,228,893		1,026,655		Total equity	1,230,772		1,026,655
TOTAL LIABILITIES AND EQUITY	TOTAL LIABILITIES AND EQUITY	$	21,427,006	$	20,596,445	TOTAL LIABILITIES AND EQUITY	$	21,844,172	$	20,596,445

(1) Prior period amounts adjusted for the implementation of ~~ASU~~Accounting Standard Update ("ASU") 2018-12: Targeted Improvements to the Accounting for Long-Duration Contracts.

See Notes to Unaudited Interim Financial Statements

Table of Contents

PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY

Unaudited Interim Statements of Operations and Comprehensive Income (Loss)

Three and Six Months Ended ~~March 31,~~June 30, 2023 and 2022 (in thousands)


		Three Months Ended March 31,			Three Months Ended June 30,						Six Months Ended June 30,
			2023			2022			2023		2022		2023		2022
REVENUES	REVENUES							REVENUES
Premiums(1)	Premiums(1)		$	10,177		$	9,020	Premiums(1)	$	9,566	$	8,251	$	19,743	$	17,271
Policy charges and fee income(1)	Policy charges and fee income(1)		14,138			10,595		Policy charges and fee income(1)	21,343		16,277		35,481		26,872
Net investment income	Net investment income		28,660			24,369		Net investment income	39,974		24,864		68,634		49,233
Asset administration fees	Asset administration fees		2,080			2,260		Asset administration fees	2,270		2,110		4,350		4,370
Other income (loss)	Other income (loss)		1,146			(1,514)		Other income (loss)	277		(2,628)		1,423		(4,142)
Realized investment gains (losses), net(1)	Realized investment gains (losses), net(1)		(8,298)			15,720		Realized investment gains (losses), net(1)	(4,617)		5,665		(12,915)		21,385
Change in value of market risk benefits, net of related hedging gain (loss)(1)	Change in value of market risk benefits, net of related hedging gain (loss)(1)		(15,728)			(86,828)		Change in value of market risk benefits, net of related hedging gain (loss)(1)	22,869		(88,000)		7,141		(174,828)
TOTAL REVENUES	TOTAL REVENUES		32,175			(26,378)		TOTAL REVENUES	91,682		(33,461)		123,857		(59,839)
BENEFITS AND EXPENSES	BENEFITS AND EXPENSES							BENEFITS AND EXPENSES
Policyholders’ benefits(1)	Policyholders’ benefits(1)		18,339			13,835		Policyholders’ benefits(1)	15,721		5,010		34,060		18,845
Change in estimates of liability for future policy benefits(1)	Change in estimates of liability for future policy benefits(1)		(1,442)			(1,177)		Change in estimates of liability for future policy benefits(1)	(641)		13,358		(2,083)		12,181
Interest credited to policyholders’ account balances	Interest credited to policyholders’ account balances		10,137			11,194		Interest credited to policyholders’ account balances	13,623		11,941		23,760		23,135
Amortization of deferred policy acquisition costs(1)	Amortization of deferred policy acquisition costs(1)		5,017			4,829		Amortization of deferred policy acquisition costs(1)	4,919		4,733		9,936		9,562
General, administrative and other expenses(1)	General, administrative and other expenses(1)		11,958			11,000		General, administrative and other expenses(1)	16,809		9,850		28,767		20,850
TOTAL BENEFITS AND EXPENSES	TOTAL BENEFITS AND EXPENSES		44,009			39,681		TOTAL BENEFITS AND EXPENSES	50,431		44,892		94,440		84,573
INCOME (LOSS) FROM OPERATIONS BEFORE INCOME TAXES	INCOME (LOSS) FROM OPERATIONS BEFORE INCOME TAXES		(11,834)			(66,059)		INCOME (LOSS) FROM OPERATIONS BEFORE INCOME TAXES	41,251		(78,353)		29,417		(144,412)
Income tax expense (benefit)(1)	Income tax expense (benefit)(1)		(1,440)			(19,943)		Income tax expense (benefit)(1)	4,984		(23,348)		3,544		(43,291)
NET INCOME (LOSS)	NET INCOME (LOSS)		$	(10,394)		$	(46,116)	NET INCOME (LOSS)	$	36,267	$	(55,005)	$	25,873	$	(101,121)
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		100			(67)		Foreign currency translation adjustments	71		(350)		171		(417)
Net unrealized investment gains (losses)(1)	Net unrealized investment gains (losses)(1)		38,767			(160,093)		Net unrealized investment gains (losses)(1)	(25,206)		(150,027)		13,561		(310,120)
Interest rate remeasurement of future policy benefits(1)	Interest rate remeasurement of future policy benefits(1)		(6,959)			22,483		Interest rate remeasurement of future policy benefits(1)	3,841		25,253		(3,118)		47,736
Gain (loss) from changes in non-performance risk on market risk benefits(1)	Gain (loss) from changes in non-performance risk on market risk benefits(1)		15,728			86,828		Gain (loss) from changes in non-performance risk on market risk benefits(1)	(22,869)		88,000		(7,141)		174,828
Total	Total		47,636			(50,849)		Total	(44,163)		(37,124)		3,473		(87,973)
Less: Income tax expense (benefit) related to other comprehensive income (loss)(1)	Less: Income tax expense (benefit) related to other comprehensive income (loss)(1)		10,004			(10,678)		Less: Income tax expense (benefit) related to other comprehensive income (loss)(1)	(9,274)		(7,797)		730		(18,475)
Other comprehensive income (loss), net of taxes	Other comprehensive income (loss), net of taxes		37,632			(40,171)		Other comprehensive income (loss), net of taxes	(34,889)		(29,327)		2,743		(69,498)
Comprehensive income (loss)	Comprehensive income (loss)		$	27,238		$	(86,287)	Comprehensive income (loss)	$	1,378	$	(84,332)	$	28,616	$	(170,619)

(1) Prior period amounts adjusted for the implementation of ASU 2018-12: Targeted Improvements to the Accounting for Long-Duration Contracts.

See Notes to Unaudited Interim Financial Statements

Table of Contents

PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY

Unaudited Interim Statements of Equity

Three and Six Months Ended ~~March 31,~~June 30, 2023 and 2022 (in thousands)


		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, 2022(1)	Balance, December 31, 2022(1)	$	2,000	$	775,412	$	285,433	$	(36,190)	$	1,026,655	Balance, December 31, 2022(1)	$	2,000	$	775,412	$	285,433	$	(36,190)	$	1,026,655

Contributed capital	Contributed capital			175,000						175,000		Contributed capital			175,000						175,000

Comprehensive income (loss):	Comprehensive income (loss):											Comprehensive income (loss):
Net income (loss)	Net income (loss)					(10,394)				(10,394)		Net income (loss)					(10,394)				(10,394)
Other comprehensive income (loss), net of tax	Other comprehensive income (loss), net of tax							37,632		37,632		Other comprehensive income (loss), net of tax							37,632		37,632
Total comprehensive income (loss)	Total comprehensive income (loss)									27,238		Total comprehensive income (loss)									27,238
Balance, March 31, 2023	Balance, March 31, 2023	$	2,000	$	950,412	$	275,039	$	1,442	$	1,228,893	Balance, March 31, 2023	$	2,000	$	950,412	$	275,039	$	1,442	$	1,228,893

Contributed capital												Contributed capital

Contributed (distributed) capital-parent/child asset transfers												Contributed (distributed) capital-parent/child asset transfers			501						501
Comprehensive income (loss):												Comprehensive income (loss):
Net income (loss)												Net income (loss)					36,267				36,267
Other comprehensive income (loss), net of tax												Other comprehensive income (loss), net of tax							(34,889)		(34,889)
Total comprehensive income (loss)												Total comprehensive income (loss)									1,378
Balance, June 30, 2023												Balance, June 30, 2023	$	2,000	$	950,913	$	311,306	$	(33,447)	$	1,230,772

(1) Prior period amounts adjusted for the implementation of ASU 2018-12: Targeted Improvements to the Accounting for Long-Duration Contracts.


		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, 2021(1)	Balance, December 31, 2021(1)	$	2,000	$	450,102	$	355,262	$	101,987	$	909,351	Balance, December 31, 2021(1)	$	2,000	$	450,102	$	355,262	$	101,987	$	909,351

Contributed capital	Contributed capital			101,700						101,700		Contributed capital			101,700						101,700

Comprehensive income (loss):	Comprehensive income (loss):											Comprehensive income (loss):
Net income (loss)	Net income (loss)					(46,116)				(46,116)		Net income (loss)					(46,116)				(46,116)
Other comprehensive income (loss), net of tax	Other comprehensive income (loss), net of tax							(40,171)		(40,171)		Other comprehensive income (loss), net of tax							(40,171)		(40,171)
Total comprehensive income (loss)	Total comprehensive income (loss)									(86,287)		Total comprehensive income (loss)									(86,287)
Balance, March 31, 2022(1)	Balance, March 31, 2022(1)	$	2,000	$	551,802	$	309,146	$	61,816	$	924,764	Balance, March 31, 2022(1)	$	2,000	$	551,802	$	309,146	$	61,816	$	924,764

Contributed capital												Contributed capital			0

Comprehensive income (loss):												Comprehensive income (loss):
Net income (loss)												Net income (loss)					(55,005)				(55,005)
Other comprehensive income (loss), net of tax												Other comprehensive income (loss), net of tax							(29,327)		(29,327)
Total comprehensive income (loss)												Total comprehensive income (loss)									(84,332)
Balance, June 30, 2022(1)												Balance, June 30, 2022(1)	$	2,000	$	551,802	$	254,141	$	32,489	$	840,432

(1) Prior period amounts adjusted for the implementation of ASU 2018-12: Targeted Improvements to the Accounting for Long-Duration Contracts.

See Notes to Unaudited Interim Financial Statements

Table of Contents

PRUCO LIFE INSURANCE COMPANY OF NEW JERSEY

Unaudited Interim Statements of Cash Flows

~~Three~~Six Months Ended ~~March 31,~~June 30, 2023 and 2022 (in thousands)


		2023		2022			2023		2022
CASH FLOWS FROM OPERATING ACTIVITIES:	CASH FLOWS FROM OPERATING ACTIVITIES:					CASH FLOWS FROM OPERATING ACTIVITIES:
Net income (loss)(1)	Net income (loss)(1)	$	(10,394)	$	(46,116)	Net income (loss)(1)	$	25,873	$	(101,121)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:	Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:					Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Policy charges and fee income(1)	Policy charges and fee income(1)	(1,435)		(13)		Policy charges and fee income(1)	(3,444)		(3,060)
Interest credited to policyholders’ account balances	Interest credited to policyholders’ account balances	10,137		11,194		Interest credited to policyholders’ account balances	23,760		23,135
Realized investment (gains) losses, net(1)	Realized investment (gains) losses, net(1)	8,298		(15,720)		Realized investment (gains) losses, net(1)	12,915		(21,385)
Change in value of market risk benefits, net of related hedging (gains) losses(1)	Change in value of market risk benefits, net of related hedging (gains) losses(1)	15,728		86,828		Change in value of market risk benefits, net of related hedging (gains) losses(1)	(7,141)		174,828

Change in:	Change in:					Change in:
Future policy benefits and other insurance liabilities(1)	Future policy benefits and other insurance liabilities(1)	58,089		17,409		Future policy benefits and other insurance liabilities(1)	161,675		312,119
Reinsurance recoverables(1)	Reinsurance recoverables(1)	(19,962)		(24,103)		Reinsurance recoverables(1)	(63,007)		(283,836)
Accrued investment income	Accrued investment income	(5,842)		(936)		Accrued investment income	(11,350)		(1,608)
Net payables to/receivables from parent and affiliates	Net payables to/receivables from parent and affiliates	(1,720)		(378)		Net payables to/receivables from parent and affiliates	(9,835)		9,224
Deferred policy acquisition costs(1)	Deferred policy acquisition costs(1)	(9,781)		(13,037)		Deferred policy acquisition costs(1)	(20,469)		(23,401)
Income taxes(1)	Income taxes(1)	(1,464)		3,341		Income taxes(1)	(3,127)		(20,638)

Derivatives, net	Derivatives, net	(1,722)		4,574		Derivatives, net	4,113		4,529
Other, net(1)(2)	Other, net(1)(2)	(31,721)		(33,944)		Other, net(1)(2)	(83,093)		(73,016)
Cash flows from (used in) operating activities	Cash flows from (used in) operating activities	8,211		(10,901)		Cash flows from (used in) operating activities	26,870		(4,230)
CASH FLOWS FROM INVESTING ACTIVITIES:	CASH FLOWS FROM INVESTING ACTIVITIES:					CASH FLOWS FROM INVESTING ACTIVITIES:
Proceeds from the sale/maturity/prepayment of:	Proceeds from the sale/maturity/prepayment of:					Proceeds from the sale/maturity/prepayment of:
Fixed maturities, available-for-sale	Fixed maturities, available-for-sale	33,170		38,502		Fixed maturities, available-for-sale	41,160		59,073
Fixed maturities, trading	Fixed maturities, trading	329		325		Fixed maturities, trading	916		653
Equity securities	Equity securities	208		17		Equity securities	208		17
Policy loans	Policy loans	7,113		7,490		Policy loans	14,639		14,665
Ceded policy loans	Ceded policy loans	(485)		(537)		Ceded policy loans	(819)		(1,003)
Short-term investments	Short-term investments	2,000		0		Short-term investments	8,000		9,997
Commercial mortgage and other loans	Commercial mortgage and other loans	2,927		3,636		Commercial mortgage and other loans	5,153		8,118
Other invested assets	Other invested assets	(353)		1,276		Other invested assets	489		2,928

Payments for the purchase/origination of:	Payments for the purchase/origination of:					Payments for the purchase/origination of:
Fixed maturities, available-for-sale	Fixed maturities, available-for-sale	(367,590)		(71,758)		Fixed maturities, available-for-sale	(472,270)		(198,984)

Equity securities	Equity securities	(27)		0		Equity securities	(27)		0
Policy loans	Policy loans	(5,515)		(6,694)		Policy loans	(911,103)		(11,792)
Ceded policy loans	Ceded policy loans	415		579		Ceded policy loans	1,017		945
Short-term investments	Short-term investments	(7,000)		0		Short-term investments	(7,500)		0
Commercial mortgage and other loans	Commercial mortgage and other loans	(14,509)		0		Commercial mortgage and other loans	(34,211)		(3,231)
Other invested assets	Other invested assets	(3,317)		(3,568)		Other invested assets	(8,027)		(7,353)

Notes receivable from parent and affiliates, net	Notes receivable from parent and affiliates, net	(8)		(9)		Notes receivable from parent and affiliates, net	629		(18)
Derivatives, net	Derivatives, net	(298)		101		Derivatives, net	(423)		337
Other, net	Other, net	0		4,052		Other, net	0		4,053
Cash flows from (used in) investing activities	Cash flows from (used in) investing activities	(352,940)		(26,588)		Cash flows from (used in) investing activities	(1,362,169)		(121,595)

Table of Contents


CASH FLOWS FROM FINANCING ACTIVITIES:	CASH FLOWS FROM FINANCING ACTIVITIES:					CASH FLOWS FROM FINANCING ACTIVITIES:
Policyholders’ account deposits	Policyholders’ account deposits	138,201		134,084		Policyholders’ account deposits	1,235,161		263,524
Ceded policyholders’ account deposits	Ceded policyholders’ account deposits	(73,649)		(87,398)		Ceded policyholders’ account deposits	(164,543)		(160,200)
Policyholders’ account withdrawals	Policyholders’ account withdrawals	(131,444)		(103,693)		Policyholders’ account withdrawals	(232,083)		(204,490)
Ceded policyholders’ account withdrawals	Ceded policyholders’ account withdrawals	60,912		69,281		Ceded policyholders’ account withdrawals	138,107		122,024
Net change in securities sold under agreement to repurchase and cash collateral for loaned securities	Net change in securities sold under agreement to repurchase and cash collateral for loaned securities	3,325		0		Net change in securities sold under agreement to repurchase and cash collateral for loaned securities	2,996		0

Contributed capital	Contributed capital	175,000		100,400		Contributed capital	175,000		100,400

Contributed (distributed) capital - parent/child asset transfers						Contributed (distributed) capital - parent/child asset transfers	634		0
Net change in all other financing arrangements (maturities 90 days or less)						Net change in all other financing arrangements (maturities 90 days or less)	3		0

Drafts outstanding	Drafts outstanding	(239)		5,441		Drafts outstanding	(4,006)		4,138
Other, net	Other, net	142		2,416		Other, net	8,939		2,889
Cash flows from (used in) financing activities	Cash flows from (used in) financing activities	172,248		120,531		Cash flows from (used in) financing activities	1,160,208		128,285
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS	NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS	(172,481)		83,042		NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS	(175,091)		2,460
CASH AND CASH EQUIVALENTS, BEGINNING OF YEAR	CASH AND CASH EQUIVALENTS, BEGINNING OF YEAR	255,767		136,316		CASH AND CASH EQUIVALENTS, BEGINNING OF YEAR	255,767		136,316
CASH AND CASH EQUIVALENTS, END OF PERIOD	CASH AND CASH EQUIVALENTS, END OF PERIOD	$	83,286	$	219,358	CASH AND CASH EQUIVALENTS, END OF PERIOD	$	80,676	$	138,776

(1) Prior period amounts adjusted for the implementation of ASU 2018-12: Targeted Improvements to the Accounting for Long-Duration Contracts.

(2) Prior period has been reclassified to conform to the current period presentation.

Significant Non-Cash Transactions

There were no significant non-cash transactions for the ~~three~~six months ended ~~March 31,~~June 30, 2023 and 2022.

See Notes to Unaudited Interim Financial Statements

Table of Contents


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

1. BUSINESS AND BASIS OF PRESENTATION

Pruco Life Insurance Company of New Jersey (the "Company" or "PLNJ") is a wholly-owned subsidiary of Pruco Life Insurance Company (“Pruco Life”), which in turn is a wholly-owned subsidiary of The Prudential Insurance Company of America (“Prudential Insurance”). Prudential Insurance is a direct wholly-owned subsidiary of Prudential Financial, Inc. (“Prudential Financial”). PLNJ is a stock life insurance company organized in 1982 under the laws of the State of New Jersey. It is licensed to sell life insurance and annuities in New Jersey and New York only, and sells such products primarily through affiliated and unaffiliated distributors.

Basis of Presentation

On January 1, 2023, the Company adopted ~~Accounting Standard Update (“ASU”)~~ASU 2018-12, Financial Services— Insurance (Topic 944): Targeted Improvements to the Accounting for Long-Duration Contracts, which provided new authoritative guidance impacting the accounting and disclosure requirements for long-duration insurance and investment contracts issued by the Company. See “Adoption of ASU 2018-12” below for additional information regarding this adoption, including the impacts to the Company’s 2022 financial statements from implementing the new accounting standard as well as the transition impacts recorded as of January 1, 2021. See Note 2 for additional details regarding the key policy changes effected by this ASU and updated accounting policies resulting from the adoption of this ASU for all periods presented in the Unaudited Interim Financial Statements.

The Unaudited Interim Financial Statements have been prepared in accordance with generally accepted accounting principles in the United States of America (“U.S. GAAP”) on a basis consistent with reporting interim financial information in accordance with instructions to Form 10-Q and Article 10 of Regulation S-X of the Securities and Exchange Commission (“SEC”). Intercompany balances and transactions have been eliminated.

In the opinion of management, all adjustments necessary for a fair statement of the financial position and results of operations have been made. All such adjustments are of a normal, recurring nature. Interim results are not necessarily indicative of the results that may be expected for the full year. These financial statements should be read in conjunction with the ~~Company’s~~Company's Financial Statements included in the ~~Company’s~~Company's Annual Report on Form 10-K for the year ended December 31, ~~2022.~~2022, and the Company's restated Financial Statements for the year ended December 31, 2022 included as Exhibit 99.1 within the Company's Current Report on Form 8-K filed on July 14, 2023.

Adoption of ASU 2018-12

In August 2018, the FASB issued ASU 2018-12, Financial Services—Insurance (Topic 944): Targeted Improvements to the Accounting for Long-Duration Contracts which provides new authoritative guidance impacting the accounting and disclosure requirements for long-duration insurance and investment contracts issued by the Company. The Company adopted this guidance, effective January 1, 2023, using the modified retrospective transition method, where permitted, for changes to the liability for future policy benefits and deferred policy acquisition costs ("DAC") and related balances, and using the retrospective transition method, as required for market risk benefits. The Company applied the guidance as of the transition date of January 1, 2021 and retrospectively adjusted prior period amounts shown in the 2023 financial statements to reflect the new guidance.

The following tables present amounts as previously reported in 2022, the effect upon those amounts from the adoption of the new guidance under ASU 2018-12, and the adjusted amounts that are reflected in the Unaudited Interim Financial Statements included herein.

Table of Contents


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

Unaudited Interim Statements of Financial Position:


	December 31, 2022
IMPACTED LINES ONLY	As Previously Reported		Effect of Change		As Currently Reported
	(in thousands)
Deferred policy acquisition costs	$	364,494	$	(12,620)	$	351,874
Reinsurance recoverables	3,258,526		(160,278)		3,098,248
Income tax assets	67,126		489		67,615
Market risk benefit assets	0		558,624		558,624
Other assets	16,207		32,184		48,391
TOTAL ASSETS	$	20,178,046	$	418,399	$	20,596,445
Policyholders’ account balances	$	2,763,730	$	10,585	$	2,774,315
Future policy benefits	2,303,407		(173,365)		2,130,042
Market risk benefit liabilities	0		558,624		558,624



Other liabilities	147,908		24,397		172,305
Total liabilities	19,149,549		420,241		19,569,790

Retained earnings	439,236		(153,803)		285,433
Accumulated other comprehensive income (loss)	(188,151)		151,961		(36,190)
Total equity	1,028,497		(1,842)		1,026,655
TOTAL LIABILITIES AND EQUITY	$	20,178,046	$	418,399	$	20,596,445

Table of Contents


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

Unaudited Interim Statements of Operations and Comprehensive Income (Loss):


		Three Months Ended March 31, 2022							Three Months Ended June 30, 2022
IMPACTED LINES ONLY	IMPACTED LINES ONLY	As Previously Reported		Effect of Change		As Currently Reported		IMPACTED LINES ONLY	As Previously Reported		Effect of Change		As Currently Reported
		(in thousands)							(in thousands)
REVENUES	REVENUES							REVENUES
Premiums	Premiums	$	10,195	$	(1,175)	$	9,020	Premiums	$	8,635	$	(384)	$	8,251
Policy charges and fee income	Policy charges and fee income	15,721		(5,126)		10,595		Policy charges and fee income	32,194		(15,917)		16,277
Realized investment gains (losses), net	Realized investment gains (losses), net	16,028		(308)		15,720		Realized investment gains (losses), net	5,610		55		5,665
Change in value of market risk benefits, net of related hedging gain (loss)	Change in value of market risk benefits, net of related hedging gain (loss)	0		(86,828)		(86,828)		Change in value of market risk benefits, net of related hedging gain (loss)	0		(88,000)		(88,000)
TOTAL REVENUES	TOTAL REVENUES	67,059		(93,437)		(26,378)		TOTAL REVENUES	70,785		(104,246)		(33,461)
BENEFITS AND EXPENSES	BENEFITS AND EXPENSES							BENEFITS AND EXPENSES
Policyholders’ benefits	Policyholders’ benefits	13,574		261		13,835		Policyholders’ benefits	12,487		(7,477)		5,010
Change in estimates of liability for future policy benefits	Change in estimates of liability for future policy benefits	0		(1,177)		(1,177)		Change in estimates of liability for future policy benefits	0		13,358		13,358
Amortization of deferred policy acquisition costs	Amortization of deferred policy acquisition costs	6,192		(1,363)		4,829		Amortization of deferred policy acquisition costs	13,915		(9,182)		4,733
General, administrative and other expenses	General, administrative and other expenses	12,381		(1,381)		11,000		General, administrative and other expenses	10,285		(435)		9,850
TOTAL BENEFITS AND EXPENSES	TOTAL BENEFITS AND EXPENSES	43,341		(3,660)		39,681		TOTAL BENEFITS AND EXPENSES	48,628		(3,736)		44,892
INCOME (LOSS) FROM OPERATIONS BEFORE INCOME TAXES	INCOME (LOSS) FROM OPERATIONS BEFORE INCOME TAXES	23,718		(89,777)		(66,059)		INCOME (LOSS) FROM OPERATIONS BEFORE INCOME TAXES	22,157		(100,510)		(78,353)
Income tax expense (benefit)	Income tax expense (benefit)	1,856		(21,799)		(19,943)		Income tax expense (benefit)	(4,346)		(19,002)		(23,348)
NET INCOME (LOSS)	NET INCOME (LOSS)	$	21,862	$	(67,978)	$	(46,116)	NET INCOME (LOSS)	$	26,503	$	(81,508)	$	(55,005)
Other comprehensive income (loss), before tax:	Other comprehensive income (loss), before tax:							Other comprehensive income (loss), before tax:
Net unrealized investment gains (losses)	Net unrealized investment gains (losses)	(166,361)		6,268		(160,093)		Net unrealized investment gains (losses)	(160,103)		10,076		(150,027)
Interest rate remeasurement of future policy benefits	Interest rate remeasurement of future policy benefits	0		22,483		22,483		Interest rate remeasurement of future policy benefits	0		25,253		25,253
Gain (loss) from changes in non-performance risk on market risk benefits	Gain (loss) from changes in non-performance risk on market risk benefits	0		86,828		86,828		Gain (loss) from changes in non-performance risk on market risk benefits	0		88,000		88,000
Total	Total	(166,428)		115,579		(50,849)		Total	(160,453)		123,329		(37,124)
Less: Income tax expense (benefit) related to other comprehensive income (loss)	Less: Income tax expense (benefit) related to other comprehensive income (loss)	(34,949)		24,271		(10,678)		Less: Income tax expense (benefit) related to other comprehensive income (loss)	(33,696)		25,899		(7,797)
Other comprehensive income (loss), net of taxes	Other comprehensive income (loss), net of taxes	(131,479)		91,308		(40,171)		Other comprehensive income (loss), net of taxes	(126,757)		97,430		(29,327)
Comprehensive income (loss)	Comprehensive income (loss)	$	(109,617)	$	23,330	$	(86,287)	Comprehensive income (loss)	$	(100,254)	$	15,922	$	(84,332)

Table of Contents


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


	Six Months Ended June 30, 2022
IMPACTED LINES ONLY	As Previously Reported		Effect of Change		As Currently Reported
	(in thousands)
REVENUES
Premiums	$	18,830	$	(1,559)	$	17,271
Policy charges and fee income	47,915		(21,043)		26,872
Realized investment gains (losses), net	21,638		(253)		21,385
Change in value of market risk benefits, net of related hedging gain (loss)	0		(174,828)		(174,828)
TOTAL REVENUES	137,844		(197,683)		(59,839)
BENEFITS AND EXPENSES
Policyholders’ benefits	26,061		(7,216)		18,845
Change in estimates of liability for future policy benefits	0		12,181		12,181
Amortization of deferred policy acquisition costs	20,107		(10,545)		9,562
General, administrative and other expenses	22,666		(1,816)		20,850
TOTAL BENEFITS AND EXPENSES	91,969		(7,396)		84,573
INCOME (LOSS) FROM OPERATIONS BEFORE INCOME TAXES	45,875		(190,287)		(144,412)
Income tax expense (benefit)	(2,490)		(40,801)		(43,291)
NET INCOME (LOSS)	$	48,365	$	(149,486)	$	(101,121)
Other comprehensive income (loss), before tax:
Net unrealized investment gains (losses)	(326,464)		16,344		(310,120)
Interest rate remeasurement of future policy benefits	0		47,736		47,736
Gain (loss) from changes in non-performance risk on market risk benefits	0		174,828		174,828
Total	(326,881)		238,908		(87,973)
Less: Income tax expense (benefit) related to other comprehensive income (loss)	(68,645)		50,170		(18,475)
Other comprehensive income (loss), net of taxes	(258,236)		188,738		(69,498)
Comprehensive income (loss)	$	(209,871)	$	39,252	$	(170,619)

Table of Contents


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

Unaudited Interim Statements of Cash Flows:


		Three Months Ended March 31, 2022							Six Months Ended June 30, 2022
IMPACTED LINES ONLY	IMPACTED LINES ONLY	As Previously Reported		Effect of Change		As Currently Reported		IMPACTED LINES ONLY	As Previously Reported		Effect of Change		As Currently Reported
		(in thousands)							(in thousands)
CASH FLOWS FROM OPERATING ACTIVITIES:	CASH FLOWS FROM OPERATING ACTIVITIES:							CASH FLOWS FROM OPERATING ACTIVITIES:
Net income (loss)	Net income (loss)	$	21,862	$	(67,978)	$	(46,116)	Net income (loss)	$	48,365	$	(149,486)	$	(101,121)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:	Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:							Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Policy charges and fee income	Policy charges and fee income	(4,892)		4,879		(13)		Policy charges and fee income	(15,153)		12,093		(3,060)
Realized investment (gains) losses, net	Realized investment (gains) losses, net	(16,028)		308		(15,720)		Realized investment (gains) losses, net	(21,638)		253		(21,385)
Change in value of market risk benefits, net of related hedging (gains) losses	Change in value of market risk benefits, net of related hedging (gains) losses	0		86,828		86,828		Change in value of market risk benefits, net of related hedging (gains) losses	0		174,828		174,828
Change in:	Change in:							Change in:
Future policy benefits and other insurance liabilities	Future policy benefits and other insurance liabilities	(873)		18,282		17,409		Future policy benefits and other insurance liabilities	119,345		192,774		312,119
Reinsurance recoverables	Reinsurance recoverables	(37,823)		13,720		(24,103)		Reinsurance recoverables	(156,229)		(127,607)		(283,836)
Deferred policy acquisition costs	Deferred policy acquisition costs	(11,678)		(1,359)		(13,037)		Deferred policy acquisition costs	(12,860)		(10,541)		(23,401)
Income taxes	Income taxes	25,140		(21,799)		3,341		Income taxes	20,162		(40,800)		(20,638)
Other, net(1)	Other, net(1)	(1,063)		(32,881)		(33,944)		Other, net(1)	(21,502)		(51,514)		(73,016)
Cash flows from (used in) operating activities	Cash flows from (used in) operating activities	$	(10,901)	$	0	$	(10,901)	Cash flows from (used in) operating activities	$	(4,230)	$	0	$	(4,230)

(1) Prior period has been reclassified to conform to the current period presentation.

The following tables detail the January 1, 2021 transition adjustments by providing a rollforward of the ending reported balances as of December 31, 2020 to the opening balances as of January 1, 2021 for retained earnings, accumulated other comprehensive income (“AOCI”) and the impacted insurance-related balances.


	January 1, 2021
	Retained Earnings
	(in thousands)
Balance after-tax, prior to transition	$	328,450


Reclassification of market risk benefits non-performance risk to accumulated other comprehensive income(1)	(60,792)
Updates to certain universal life contract liabilities(2)	(20,108)
Other(3)	7,722
Total pre-tax adjustments	(73,178)
Tax impacts	15,367
Balance after-tax, after transition	$	270,639

(1) Reflects the cumulative impact of changes in the fair value of market risk benefits (“MRB”) non-performance risk (“NPR”) from the date of contract issuance to January 1, 2021. These amounts were previously recorded in retained earnings but are now reflected in AOCI under the new guidance.

(2) Reflects the impact on additional insurance reserves ("AIR") and other related balances primarily related to the no-lapse guarantee features on certain universal life contracts. For additional information, see Note 2.

(3) Primarily reflects the reassessment of deferred reinsurance losses ("DRL").

1213

Table of Contents


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


	January 1, 2021
	Accumulated Other Comprehensive Income
	(in thousands)
Balance after-tax, prior to transition	$	185,407
Interest rate remeasurement of future policy benefits	(57,440)
Reclassification of market risk benefits non-performance risk to accumulated other comprehensive income(1)	60,792
Unwinding amounts related to unrealized investment gains and losses(2)	(15,161)
Total pre-tax adjustments	(11,809)
Tax impacts	2,480
Balance after-tax, after transition	$	176,078

(1) Reflects the cumulative impact of changes in NPR on the fair value of market risk benefits from the date of contract issuance to January 1, 2021. These amounts were previously recorded in retained earnings but are now reflected in AOCI under the new guidance.

(2) Primarily reflects amounts related to DAC and other balances as unrealized investment gains or losses no longer impact the amortization pattern of such balances under the new guidance. Also includes the impacts from updates to reserves and other related balances for certain universal life contracts. For additional information, see Note 2.


	January 1, 2021
	Deferred Policy Acquisition Costs
	Term Life		Variable/Universal Life		Total
	(in thousands)
Balance prior to transition	$	51,526	$	172,899	$	224,425
Unwinding amounts related to unrealized investment gains and losses	0		21,714		21,714
Other(1)	1		(1,922)		(1,921)
Balance after transition	$	51,527	$	192,691	$	244,218

(1) Represents miscellaneous model refinements.


	January 1, 2021
	Deferred Reinsurance Losses(1)
	Variable Annuities
	(in thousands)
Balance prior to transition	$	15,209
Unwinding amounts related to unrealized investment gains and losses	1,187
Effect of change in reserve basis to market risk benefits	4,236
Balance after transition	$	20,632

(1) Deferred reinsurance losses are included in "Other assets".

1314

Table of Contents


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


	January 1, 2021
	Benefit Reserves(1)
	Term Life		Fixed Annuities		Total
	(in thousands)
Balance prior to transition	$	1,049,445	$	16,468	$	1,065,913


Changes in cash flow assumptions and other activity	30		(687)		(657)



Balance after transition, at original discount rate	1,049,475		15,781		1,065,256

Cumulative changes in discount rate assumptions	401,072		2,188		403,260
Balance after transition, at current discount rate	1,450,547		17,969		1,468,516


Less: Reinsurance recoverable	1,264,199		17,944		1,282,143
Balance after transition, net of reinsurance recoverable	$	186,348	$	25	$	186,373

(1) Benefit reserves, excluding amounts for reinsurance recoverable, are included in "Future policy benefits". For additional information on the liability for future policy benefits, see Note 8.


	January 1, 2021
	Deferred Profit Liability(1)
	Fixed Annuities
	(in thousands)
Balance prior to transition	$	102

Changes in benefit reserves	882
Balance after transition	984
Less: Reinsurance recoverable	984
Balance after transition, net of reinsurance recoverable	$	0

(1) Deferred profit liability ("DPL"), excluding amounts for reinsurance recoverable, is included in "Future policy benefits". For additional information regarding the liability for future policy benefits, see Note 8.


	January 1, 2021
	Additional Insurance Reserves(1)
	Variable/Universal Life		Variable Annuities		Total
	(in thousands)
Balance prior to transition	$	513,812	$	24,433	$	538,245
Unwinding amounts related to unrealized investment gains and losses	(109,355)		(1,698)		(111,053)
Balance prior to transition, excluding amounts related to unrealized investment gains and losses	404,457		22,735		427,192

Reclassification of future policy benefits additional insurance reserves to market risk benefits	0		(22,735)		(22,735)
Updates to certain universal life contract liabilities(2)	142,726		0		142,726


Balance after transition, excluding amounts related to unrealized investment gains and losses	547,183		0		547,183
Amounts related to unrealized investment gains and losses after transition	95,331		0		95,331
Balance after transition	642,514		0		642,514
Less: Reinsurance recoverable	613,009		0		613,009
Balance after transition, net of reinsurance recoverable	$	29,505	$	0	$	29,505

(1) ~~Additional insurance reserves ("AIR"),~~AIR, excluding amounts for reinsurance recoverable, are included in "Future policy benefits". For additional information regarding the liability for future policy benefits, see Note 8.

(2) For additional information regarding updates to reserves and other related balances for certain universal life contracts, see Note 2.

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


	January 1, 2021
	Unearned Revenue Reserves(1)

	Variable/Universal Life
	(in thousands)
Balance prior to transition	$	94,480
Unwinding amounts related to unrealized investment gains and losses and other activity	92,103
Balance after transition	186,583
Less: Reinsurance recoverable	45,019
Balance after transition, net of reinsurance recoverable	$	141,564

(1) Unearned revenue reserves ("URR") are included in "Policyholders' account balances". For additional information regarding the liability for policyholders' account balances, see Note 9.


	January 1, 2021
	Market Risk Benefits(1)
	Variable Annuities
	(in thousands)
Liability for guaranteed benefits recorded at fair value, prior to transition	$	1,195,470
Additional insurance reserves to be reclassed to market risk benefits, prior to transition, excluding amounts related to unrealized investment gains and losses	22,735
Total liability prior to transition	1,218,205

Change in reserve basis to market risk benefits framework	(12,634)
Market risk benefits after transition, at current non-performance risk value	1,205,571
Less: Reinsured market risk benefits	1,205,571
Market risk benefits after transition, net of reinsurance	0

Market risk benefits after transition, at contract inception non-performance risk value	$	1,266,363
Cumulative change in non-performance risk	60,792
Market risk benefits after transition, at current non-performance risk value	$	1,205,571

(1) For additional information regarding market risk benefits, see Note 10.


	January 1, 2021
	Cost of Reinsurance(1)
	Variable/Universal Life
	(in thousands)
Balance prior to transition	$	85,773
Unwinding amounts related to unrealized investment gains and losses	(34,617)
Balance prior to transition, excluding amounts related to unrealized investment gains and losses	51,156
Impact from updates to certain universal life contract liabilities(2)	14,045

Balance after transition, excluding amounts related to unrealized investment gains and losses	65,201
Amounts related to unrealized investment gains and losses after transition	27,620
Balance after transition	$	92,821

(1) Cost of reinsurance is included in "Other liabilities".

(2) For additional information regarding updates to reserves and other related balances for certain universal life contracts, see Note 2.

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

Use of Estimates

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

The most significant estimates include those used in determining future policy benefits; policyholders' account balances and reinsurance related to the fair value of embedded derivative instruments associated with the index-linked features of certain universal life and annuity products; market risk benefits; the valuation of investments including derivatives, the measurement of allowance for credit losses, and the recognition of other-than-temporary impairments; reinsurance recoverables; any provision for income taxes and valuation of deferred tax assets; and accruals for contingent liabilities, including estimates for losses in connection with unresolved legal and regulatory matters.

Reclassifications

Certain amounts in prior periods have been reclassified to conform to the current period presentation.

2. SIGNIFICANT ACCOUNTING POLICIES AND PRONOUNCEMENTS

Recent Accounting Pronouncements

Changes to U.S. GAAP are established by the Financial Accounting Standards Board ("FASB") in the form of ASUs to the FASB Accounting Standards Codification ("ASC"). The Company considers the applicability and impact of all ASUs. ASUs listed below include those that have been adopted during the current fiscal year and/or those that have been issued but not yet adopted as of ~~March 31,~~June 30, 2023, and as of the date of this filing. ASUs not listed below were assessed and determined to be either not applicable or not material.

Adoption of ASU 2018-12

Effective January 1, 2023, the Company adopted ASU 2018-12, Financial Services—Insurance (Topic 944): Targeted Improvements to the Accounting for Long-Duration Contracts. Adoption of this ASU impacted, at least to some extent, the accounting and disclosure requirements for all long-duration insurance and investment contracts issued by the Company and had a significant financial impact on the Financial Statements and disclosures. See Note 1 for additional information.

As of the January 1, 2021 transition date, the adoption of the standard resulted in a decrease to “Total equity” of $67 million, primarily from remeasuring in force contract liabilities using upper-medium grade fixed income instrument yields as of the transition date and from other changes in reserves. As of the January 1, 2023 adoption date, the impact amounted to a decrease to "Total equity" of $2 million. The changes in the impacts from January 1, 2021 to January 1, 2023 primarily reflect the increase in market interest rates during 2021 and 2022.

Outlined below are: (1) key accounting policy changes effected by the ASU and (2) updated accounting policies for all of the periods presented in the Unaudited Interim Financial Statements.

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

(1) Key Accounting Policy Changes

Area of Change

Description

Method of adoption

Effect on the financial statements or other significant matters

Cash flow assumptions used to measure the liability for future policy benefits for non-participating traditional and limited-payment insurance products

Requires an entity to review, and if necessary, update the cash flow assumptions used to measure the liability for future policy benefits, for both changes in future assumptions and actual experience, at least annually using a retrospective update method with a cumulative catch-up adjustment recorded in a separate line item in the Statements of Operations.

Effective January 1, 2023 using the modified retrospective transition method, which includes a cumulative effect adjustment to the balance sheet as of January 1, 2021 (the “transition date”). Under this method, the amendments to contracts in force were applied as of January 1, 2021 on the basis of their existing carrying amounts, adjusted for the removal of any related amounts in AOCI

The impact upon transition reflects the impact on in force contract liabilities in instances where expected net premiums exceeded expected gross premiums at an issue-year cohort level as a result of updating to current best estimate cash flow assumptions as of the transition date. As a result of the modified retrospective transition method, the vast majority of the impact of updating cash flow assumptions to best estimates as of the transition date will be reflected in the pattern of earnings in subsequent periods. See Note 1 for additional information regarding the effect on the financial statements. Adoption of the standard also resulted in additional required disclosures. See Note 8 for additional information.

Discount rate assumption used to measure the liability for future policy benefits for non-participating traditional and limited-payment insurance products

Requires discount rate assumptions to be based on an upper-medium grade fixed income instrument yields, which will be updated each quarter with the impact recorded through OCI. An entity shall maximize the use of relevant observable information and minimize the use of unobservable information in determining the discount rate assumptions.

As noted above, the guidance for the liability for future policy benefits was adopted effective January 1, 2023 using the modified retrospective transition method, which includes a cumulative effect adjustment to the balance sheet as of January 1, 2021. Under this method, for balance sheet remeasurement purposes, the liability for future policy benefits is remeasured using discount rates as of January 1, 2021 with the impact recorded as a cumulative effect adjustment to AOCI.

Adoption of the ASU resulted in a significant impact to AOCI as a result of remeasuring in force contract liabilities using current upper-medium grade fixed income instrument yields. This adjustment largely reflects the difference between discount rates locked-in at contract inception versus current discount rates. See Note 1 for additional information regarding the effect on the financial statements. Adoption of the standard also resulted in additional required disclosures. See Note 8 for additional information.

Amortization of deferred acquisition costs ~~("DAC")~~ and other balances

Requires DAC and other balances, such as URR and Deferred Sales Inducements ("DSI"), to be amortized on a constant level basis over the expected term of the related contract, independent of expected profitability.

Effective January 1, 2023 using the modified retrospective transition method, which includes a cumulative effect adjustment to the balance sheet as of January 1, 2021. Under this method, the amendments to contracts in force were applied as of January 1, 2021 on the basis of their existing carrying amounts, adjusted for the removal of any related amounts in AOCI.

Adoption of the ASU did not have a significant impact on DAC and other balances upon transition, other than the impact of the removal of any related amounts in AOCI. See Note 1 for additional information regarding the effect on the financial statements. Adoption of the standard also resulted in additional required disclosures. See Note 6 for additional information.

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

Market Risk Benefits

Requires an entity to measure all market risk benefits (e.g., living benefit and death benefit guarantees associated with variable annuities) at fair value, and record MRB assets and liabilities separately on the Statements of Financial Position. Changes in the fair value of market risk benefits are recorded in net income, except for the portion attributable to changes in an entity’s NPR, which is recognized in OCI. An entity shall maximize the use of relevant observable information and minimize the use of unobservable information in determining the balance of the market risk benefits upon adoption.

Effective January 1, 2023 using the retrospective transition method, which includes a cumulative effect adjustment to the balance sheet as of January 1, 2021.

Adoption of the ASU resulted in an adjustment to retained earnings for the difference between the fair value and carrying value of benefits not measured at fair value prior to the adoption of the ASU (e.g., guaranteed minimum death benefits on variable annuities) and a reclass of the cumulative effect of changes in NPR from retained earnings to AOCI. See Note 1 for additional information regarding the effect on the financial statements. Adoption of the standard also resulted in additional required disclosures. See Note 10 for additional information.

In addition to the significant key accounting changes noted above, ASU 2018-12 also clarified the definition of assessments used to accrue additional insurance reserves and other related balances, primarily for no-lapse guarantee features on certain universal life contracts. Application of the new guidance changed the pattern of reserve recognition for these guarantees and resulted in an increase to the net contract liabilities related to these products at transition. See Note 1 for additional information regarding the effect on the financial statements.

ASU 2022-05, Financial Services – Insurance (Topic 944) Transition for Sold Contracts was issued on December 15, 2022, to amend the transition guidance in ASU 2018-12, Financial Services—Insurance (Topic 944): Targeted Improvements to the Accounting for Long-Duration Contracts. The amendment allows an insurance entity to make an accounting policy election to not apply ASU 2018-12 to contracts or legal entities sold or disposed of before the effective date, and in which the insurance entity has no significant continuing involvement with the derecognized contracts. An insurance entity is permitted to apply the policy election on a transaction by transaction basis to each sale or disposal transaction. An insurance entity is required to disclose whether it has chosen to apply this accounting policy election and provide a qualitative description of the sale or disposal transactions to which the accounting policy election is applied. The Company did not apply this accounting policy election.

(2) Updated Accounting Policies

This section includes the updated accounting policies resulting from the adoption of ASU 2018-12 which are applicable to all of the periods presented in the Unaudited Interim Financial Statements. This section is meant to serve as an update to, and should be read in conjunction with, Note 2 to the Financial Statements included in the ~~Company's Annual Report on Form 10-K~~Company’s restated Financial Statements for the year ended December 31, ~~2022.~~2022 included as Exhibit 99.1 within the Company's Current Report on Form 8-K filed on July 14, 2023.

ASSETS

Deferred policy acquisition costs represents costs directly related to the successful acquisition of new and renewal insurance and annuity business. Such DAC primarily includes commissions, costs of policy issuance and underwriting, and certain other expenses that are directly related to successfully acquired contracts. In each reporting period, previously capitalized DAC is amortized and included in “Amortization of deferred policy acquisition costs”, and the carrying amount of DAC is not subject to recoverability testing upon adoption of ~~the ASU.~~ASU 2018-12.

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

DAC is amortized on a constant-level basis at a grouped contract level over the expected life of the underlying insurance contracts. Contracts are grouped consistent with the groupings used to estimate the liability for future policy benefits (or other related balances) for the corresponding contracts. Since contracts within a grouping may be of different sizes, contracts within a group are weighted to achieve appropriate amortization and to ensure that DAC is derecognized when a policy is no longer in force. The constant-level basis used to weight contracts within a grouping and amortize DAC is generally defined as follows:

•Life insurance contracts – DAC associated with life insurance contracts is generally amortized in proportion to the initial face amount of life insurance in force. This is applicable to traditional and universal life insurance.

•Payout annuity contracts – DAC associated with payout annuity contracts is amortized in proportion to annual benefit payments.

•Deferred annuity contracts – DAC associated with fixed and variable deferred annuity contracts is amortized in proportion to deposits.

For single premium immediate annuities without life contingencies, acquisition expenses are deferred and amortized over the expected life of the contracts using the interest method.

Current period DAC amortization reflects the impact of changes in actual insurance in force during the period and changes in future assumptions effected as of the end of the quarter, where applicable. The Company typically updates actuarial assumptions annually in the second quarter, (see "Annual Assumptions Review" below), unless a material change is observed in an interim period that is indicative of a long-term trend. Generally, the Company does not expect trends to change significantly in the short-term and, to the extent these trends may change, the Company expects such changes to be gradual over the long-term.

Assumptions used for DAC are consistent with those used in estimating the liability for future policy benefits (or any other related balance) for the corresponding contract. Determining the level of aggregation and actuarial assumptions used in projecting in force terminations requires judgment. Internal criteria are developed to determine the level of aggregation by considering both qualitative and quantitative materiality thresholds. The assumptions used in projecting in force terminations are mortality, mortality improvement, and lapse assumptions. These assumptions are generally based on the Company’s experience, industry experience and/or other factors, as applicable. For variable deferred annuity contracts, lapse rates are adjusted at the contract level based on the in-the-moneyness of the living benefits and reflect other factors, such as the applicability of any surrender charges. Lapse rates are reduced when contracts are more in-the-money. Lapse rates are also generally assumed to be lower for the period where surrender charges apply.

For some products, policyholders can elect to modify product benefits, features, rights or coverages by exchanging a contract for a new contract or by amendment, endorsement, or rider to a contract, or by the election of a feature or coverage within a contract. These transactions are known as internal replacements. If policyholders surrender traditional life insurance policies in exchange for life insurance policies that do not have fixed and guaranteed terms, the Company immediately charges to expense the remaining unamortized DAC on the surrendered policies. For other internal replacement transactions, except those that involve the addition of a non-integrated contract feature that does not change the existing base contract, the unamortized DAC is immediately charged to expense if the terms of the new policies are not substantially similar to those of the former policies. If the new terms are substantially similar to those of the earlier policies, the DAC is retained with respect to the new policies and amortized over the expected life of the new policies. See Note 6 for additional information regarding DAC.

Reinsurance recoverables include corresponding receivables associated with reinsurance arrangements with affiliates and third party reinsurers, and are reported on the Statements of Financial Position net of the CECL allowance. Reinsurance recoverables also include assumed modified coinsurance arrangements which generally reflect the value of the invested assets retained by the cedant and the associated asset returns. Modified coinsurance recoverables contain an embedded derivative (bifurcated and accounted for separately from the host contract) that is presented together with the derivative embedded in the modified coinsurance payables as one compound derivative. For additional information about these arrangements see Note 11.

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

The CECL allowance considers the credit quality of the reinsurance counterparty and is generally determined based on the probability of default and loss given default assumptions, after considering any applicable collateral arrangements. The CECL allowance does not apply to reinsurance recoverables with affiliated counterparties under common control. Additions to or releases of the allowance are reported in “Policyholders’ benefits.” Prior to the adoption of this standard, an allowance for credit losses for reinsurance recoverables was established only when it was deemed probable that a reinsurer may fail to make payments to us in a timely manner. Reinsurance premiums, commissions, expense reimbursements, benefits and reserves related to reinsured long-duration contracts under coinsurance arrangements are accounted for over the life of the underlying reinsured contracts using assumptions consistent with those used to account for the underlying contracts. For reinsurance of in force blocks of non-participating traditional and limited-payment contracts, the current value of the direct liability as of inception of the reinsurance agreement is used to calculate the reinsurance recoverable and cost of reinsurance such that there is no immediate other comprehensive income or loss from recognition of the reinsurance recoverable at inception. Consistent with the direct liability, the reinsurance recoverable for non-participating traditional and limited-payment contracts is remeasured each period using current single A rates with the effect on the liability resulting from such updates recorded in "Interest rate remeasurement of future policy benefits" in OCI.

Coinsurance arrangements contrast with the Company’s yearly renewable term arrangements, where only mortality risk is transferred to the reinsurer and premiums are paid to the reinsurer to reinsure that risk. The mortality risk that is reinsured under yearly renewable term arrangements represents the difference between the stated death benefits in the underlying reinsured contracts and the corresponding reserves or account value carried by the Company on those same contracts. The premiums paid to the reinsurer are based upon negotiated amounts, not on the actual premiums paid by the underlying ~~contract holders~~contractholders to the Company. As yearly renewable term arrangements are usually entered into by the Company with the expectation that the contracts will be in force for the lives of the underlying policies, they are considered to be long-duration reinsurance contracts. The cost of reinsurance for universal life products is generally recognized based on the gross assessments of the underlying direct policies. The cost of reinsurance for term insurance products is generally recognized in proportion to direct premiums over the life of the underlying policies.

Market risk ~~benefits~~benefit assets represents MRBs in an asset position and are presented separately from ~~market risk benefits~~MRBs in a liability position. See “Market risk ~~benefits~~benefit liabilities” below. MRB assets also reflect ceded MRBs resulting from reinsurance of the Company's traditional variable annuity contracts. See Note 11 for additional information regarding the reinsurance of these contracts to Prudential Insurance.

Other assets consists primarily of premiums due and deferred loss on reinsurance ~~with affiliates~~ which is amortized over the expected life of the reinsured contracts on a constant-level basis.

Separate account assets represents segregated funds that are invested for certain policyholders, and other customers. The assets consist primarily of equity securities, fixed maturities, real estate-related investments, real estate mortgage loans, short-term investments and derivative instruments and are reported at fair value. The assets of each account are legally segregated and are not subject to claims that arise out of any other business of the Company. Investment risks associated with market value changes are borne by the customers, except to the extent of minimum guarantees made by the Company with respect to certain accounts. The investment income and realized investment gains or losses from separate account assets generally accrue to the policyholders and are not included in the Company’s results of operations. Mortality, policy administration and surrender charges assessed against the accounts are included in “Policy charges and fee income”. Asset administration fees charged to the accounts are included in “Asset administration fees”. Seed money that the Company invests in separate accounts is reported in the appropriate general account asset line. Investment income and realized investment gains or losses from seed money invested in separate accounts accrue to the Company and are included in the Company’s results of operations. See Note 7 for additional information regarding separate account arrangements with contractual guarantees. See also “Separate account liabilities” below.

LIABILITIES

Future policy benefits is primarily comprised of the present value of expected future payments to or on behalf of policyholders, where the timing and amount of ~~payment depends~~such payments depend on policyholder mortality or morbidity, less the present value of expected future net premiums (where net premiums are gross premiums multiplied by the Net-To-Gross ("NTG") ratio discussed below). The liability for future policy benefits is accrued over time as premium revenue is recognized. See Note 8 for additional information regarding future policy benefits.

2021

Table of Contents


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

The reserving methodology used for non-participating traditional and limited-payment contracts include the following:

•Cash Flow Assumptions. In measuring the liability for future policy benefits, the net premium valuation methodology is utilized. Under this methodology, a liability for future policy benefits is established using current best estimate insurance assumptions and interest rate assumptions locked-in at contract issuance date. The NTG ratio is calculated as the ratio of the present value of expected policy benefits and non-level claim settlement expenses divided by the present value of expected gross premiums. The NTG ratio is applied to gross premiums, as premium revenue is recognized, to determine net premiums. The liability is then determined as the present value of expected future policy benefits and non-level claim settlement expenses less the present value of expected future net premiums. For purposes of liability measurement, contracts are grouped into cohorts based primarily on issue year and major product line.

The NTG ratio is generally updated quarterly for actual experience and annually for future cash flow assumption updates during the Company’s annual assumptions review process in the second quarter of each year unless a material change is observed in an interim period that is indicative of a long-term trend (see “Annual Assumptions Review” below), ~~and~~ with the exception of claim settlement expense assumptions which the Company has made an entity-wide election to lock-in as of contract issuance. The NTG ratio is subject to a retrospective unlocking method whereby the Company updates its best estimate of cash flows expected over the life of the cohort using actual historical experience and updated future cash flow assumptions. These updated cash flows are used to calculate the revised NTG ratio, which is used to derive an updated liability for future policy benefits as of the beginning of the current reporting period, discounted at the original contract issuance discount rate. The updated liability for future policy benefit amount as of the beginning of the quarter is then compared to the carrying amount of the liability as of that same date, before the updates for actual experience or future cash flow assumptions, to determine the current period change in liability estimate. This current period change in the liability is the liability remeasurement gain or loss that is recorded through current period earnings in “Change in estimates of liability for future policy benefits.” In subsequent periods, the revised NTG ratio is used to measure the liability for future policy benefits, subject to future revisions.

If a cohort is in a loss position where the liability for future policy benefits plus the present value of expected future gross premiums are determined to be insufficient to provide for expected future policy benefits and non-level claim settlement expenses, the NTG ratio is capped at 100%. In these instances, all changes in expected benefits resulting from both actual experience deviations and changes in future assumptions are reflected immediately. While the liability for future policy benefits cannot be less than zero (i.e., a contra-liability) at the cohort level and thus the balance is floored at zero (i.e., “flooring”), the NTG ratio may be negative. This would be the case whereby conditions have improved such that the present value of future net premiums plus the existing liability for future policy benefits as of the valuation date exceed the present value of expected future policy benefits and non-level claim settlement expenses. In this case, the negative NTG ratio would be applied going forward to gross premiums received, effectively amortizing the gain into income and reducing the liability over time.

In addition, for limited-payment contracts, the liability for future policy benefits also includes a Deferred Profit Liability representing gross premiums received in excess of net premiums and is generally recognized in revenue in a constant relationship with insurance in force for life contracts or with the amount of expected future benefit payments for annuity contracts. The DPL is subject to a retrospective unlocking adjustment consistent with the liability for future policy benefits discussed above. The DPL cannot be less than zero (i.e., a contra-liability) at the cohort level and thus the balance is floored at zero (i.e., “flooring”).

For contracts issued prior to January 1, 2021, the modified retrospective transition method was used to transition to ASU 2018-12. Under this method, the transition date of January 1, 2021 serves as the new issue date of the contracts in force for purposes of retrospectively unlocking the NTG ratio and DPL as described above.

•Discount Rate Assumption. The locked-in discount rate is generally based on expected investment returns at contract inception for contracts issued prior to January 1, 2021 and the upper medium grade fixed income corporate instrument yield (i.e., global single A) at contract inception for contracts issued after January 1, 2021. The discount rate in effect at contract inception is locked-in for the calculation of the NTG ratio and accretion of interest cost on the liability through net income. However, for balance sheet remeasurement purposes, the discount rate is updated using the current single A rate at each reporting period, with the effect on the liability resulting from such update recorded in “Interest rate remeasurement of future policy benefits" in OCI.

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

The methodology used in constructing the single A discount rate curve for discounting cash flows used to calculate the liability for future policy benefits is intended to be reflective of the characteristics of the applicable insurance liabilities. The single A discount rate curve is developed by reference to upper medium grade (low credit risk) fixed income instrument yields that reflect the duration characteristics of the applicable insurance liabilities. The single A discount curve for the United States and foreign economies, such as Japan, with observable corporate A spreads, is developed using government bond rates, plus globally equivalent public corporate A spreads in the observable periods. The definition of upper medium grade is based on Moody’s definition which includes the spectrum of A (i.e., A- to A+). The rate used in foreign operations (with the exception of certain emerging markets, as discussed below) is based on the equivalent of a single A rate from a global rating agency for corporate bonds issued in the same currency and country in which the insurance contract is written. Liquidity is considered in defining the observable period and linear extrapolation is performed to the Company's ultimate long-term economic assumptions. See “Annual Assumptions Review” below for further discussion regarding the Company’s long-term economic assumption setting process.

The Company’s liability for future policy benefits also includes net liabilities for guaranteed benefits related to certain long-duration life contracts, such as no-lapse guarantee contract features (AIR liability), for which a liability is established when associated assessments are recognized (which include investment margin on policyholders' account balances in the general account and all policy charges including charges for administration, mortality, expense, surrender, and other charges). This liability is established using current best estimate assumptions and is based on the ratio of the present value of total expected excess payments (i.e., payments in excess of account value) over the life of the contract divided by the present value of total expected assessments (i.e., benefit ratio).

For universal life type contracts and participating contracts, the Company performs premium deficiency tests using best estimate assumptions as of the testing date. If the liabilities determined based on these best estimate assumptions are greater than the net reserves (i.e., GAAP reserves including URR, net of reinsurance), the existing net reserves are adjusted by first reducing these assets by the amount of the deficiency or to zero through a charge to current period earnings. If the deficiency is more than these asset balances for insurance contracts, the net reserves are increased by the excess through a charge to current period earnings included in "policyholders' benefits". Since investment yields are used as the discount rate, the premium deficiency test is also performed using a discount rate based on the market yield (i.e., assuming what would be the impact if any unrealized gains (losses) were realized as of the testing date). In the event that by using the market yield a deficiency occurs, an adjustment is established for the deficiency and is included in AOCI.

In certain instances, for universal life type contracts and participating contracts, the policyholder liability for a particular line of business may not be deficient in the aggregate to trigger loss recognition, but the pattern of earnings may be such that profits are expected to be recognized in earlier years followed by losses in later years. In these situations, accounting standards require that an additional liability (Profits Followed by Losses or “PFL” liability) be recognized by an amount necessary to sufficiently offset the losses that would be recognized in later years. ~~Historically,~~To date, the Company has not recorded a PFL liabilities have been predominantly associated with certain universal life contracts that measure GAAP reserves using a dynamic approach, and accordingly, are updated each quarter, using current in force and market data, and as part of the annual assumption update,liability on any such ~~that the liability as of each measurement date represents the Company’s current estimate of the present value of the amount necessary to offset anticipated future losses.~~contracts.

The Company’s liability for future policy benefits also includes a liability for unpaid claims and claim adjustment expenses. The Company does not establish claim liabilities until a loss has been incurred. However, unpaid claims and claim adjustment expenses include estimates of claims that the Company believes have been incurred but have not yet been reported as of the balance sheet date.

Policyholders’ account balances liability represents the contract value that has accrued to the benefit of the policyholder as of the balance sheet date. This liability is primarily associated with the accumulated account deposits, plus interest credited, less policyholder withdrawals and other charges assessed against the account balance, as applicable. These policyholders’ account balances also include provision for benefits under non-life contingent payout annuities and certain unearned revenues. The unearned revenue liability represents policy charges for services to be provided in future periods. The charges are deferred as incurred and are generally amortized over the expected life of the contract using the same methodology, factors, and assumption used to amortize DAC. See Note 9 for additional information regarding policyholders’ account balances. Policyholders' account balances also include amounts representing the fair value of embedded derivative instruments associated with the index-linked feature of certain universal life and annuity products. For additional information regarding the valuation of these embedded derivatives, see Note 5.

2223

Table of Contents


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

Market risk benefit liabilities ~~(or~~ ~~assets~~) represents contracts or contract features that provide protection to the contractholder and exposes the Company to other than nominal capital market risk, primarily related to deferred annuities with guaranteed minimum benefits associated with ~~Annuities~~annuities products including guaranteed minimum death benefits (“GMDB”), guaranteed minimum income benefits (“GMIB”), guaranteed minimum accumulation benefits (“GMAB”), guaranteed minimum withdrawal benefits (“GMWB”) and guaranteed minimum income and withdrawal benefits (“GMIWB”). The benefits are accounted for using a fair value measurement framework. If a contract contains multiple market risk benefits, the benefits are bundled together and accounted for as a single compound market risk benefit. Market risk benefits in an asset position are presented separately from those in a liability position as there is no legal right of offset between contracts. The fair value of market risk benefits is calculated as the present value of expected future benefit payments to contractholders less the present value of expected future rider fees attributable to the market risk benefit. The fair value of market risk benefits is based on assumptions a market participant would use in valuing market risk benefits. For additional information regarding the valuation of market risk benefits, see Note 5. On a quarterly basis, changes in the fair value of market risk benefits are recorded in net income, net of related hedges, in "Change in value of market risk benefits, net of related hedging gains (losses)", except for the portion of the change attributable to changes in the Company’s NPR which is recorded in OCI. See Note 10 for additional information regarding market risk benefits.

Consistent with direct contracts, reinsurance agreements may also include features that meet the definition of an MRB and, if so, are accounted for at fair value. The fair value of direct or assumed MRBs reflects the Company's NPR, while the fair value of ceded MRBs reflects the counterparty credit risk of the reinsurer. Changes in the fair value of ceded MRBs, including the impact of changes in counterparty credit risk, are recorded in net income in "Change in value of market risk benefits, net of related hedging gain (loss)".

Other liabilities consists primarily of accrued expenses, reinsurance payables and technical overdrafts.

Separate account liabilities primarily represents the contractholders’ account balance in separate account assets and to a lesser extent borrowings of the separate account, and will be equal and offsetting to total separate account assets. See also “Separate account assets” above.

REVENUES AND BENEFITS AND EXPENSES

Insurance Revenue and Expense Recognition

Premiums from individual life products, other than universal and variable life contracts, are recognized when due. When premiums are due over a significantly shorter period than the period over which benefits are provided, any gross premium in excess of the net premium (i.e., the portion of the gross premium required to provide for all expected future policy benefits and non-level claim settlement expenses) is generally deferred and recognized into revenue in a constant relationship to insurance in force. Benefits are recorded as an expense when they are incurred. A liability for future policy benefits is recorded when premiums are recognized ~~using the net level premium valuation methodology.~~as described in "Future policy benefits" above.

Premiums from single premium immediate annuities with life contingencies are recognized when due. When premiums are due over a significantly shorter period than the period over which benefits are provided, any gross premium in excess of the net premium is generally deferred and recognized into revenue based on expected future benefit payments. Benefits are recorded as an expense when they are incurred. A liability for future policy benefits is recorded when premiums are recognized ~~using the net level premium valuation methodology.~~as described in "Future policy benefits" above.

Certain individual annuity contracts provide the contractholder a guarantee that the benefit received upon death or annuitization will be no less than a minimum prescribed amount. These benefits are generally accounted for as market risk benefits (see “Market risk benefits” above).

Table of Contents


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

Amounts received from policyholders as payment for universal or variable individual life contracts, deferred fixed or variable annuities and other contracts without life contingencies are reported as deposits to “Policyholders’ account balances” and/or “Separate account liabilities.” Revenues from these contracts are reflected in “Policy charges and fee income” consisting primarily of fees assessed during the period against the policyholders’ account balances for mortality and other benefit charges, policy administration charges and surrender charges. In addition to fees, the Company earns investment income from the investment of deposits in the Company’s general account portfolio. Fees assessed that represent compensation to the Company for services to be provided in future periods and certain other fees are generally deferred and amortized into revenue over the life of the related contracts using the same methodology, factors, and assumption used to amortize DAC as described above. Benefits and expenses for these products include claims in excess of related account balances, expenses of contract administration, interest credited to policyholders’ account balances and amortization of DAC.

~~Table of Contents~~


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

Policyholders’ account balances also includes amounts representing the fair value of embedded derivative instruments associated with the index-linked features of certain universal life and annuity products where changes in the value of the embedded derivatives are recorded through "Realized investment gains (losses), net". For additional information regarding the valuation of these embedded derivatives, see Note 5.

Annual Assumptions Review

Annually, the Company performs a comprehensive review of the assumptions set for purposes of estimating future premiums, benefits, and other cash flows. ~~The~~Assumptions include those that are economic and those that are insurance related. Insurance related assumptions are based on the Company’s best estimates of future rates of mortality, morbidity, lapse, surrender, annuitization, expenses and other items. The Company generally looks to relevant Company experience as the primary basis for these assumptions. If relevant Company experience is not available or does not have sufficient credibility, the Company may look to experience of similar blocks of business, either in the Company or the industry. Mortality rate assumptions are generally based on Company experience, sometimes blending Company experience with an industry table where the Company experience alone is not sufficiently credible. The Company sets mortality and morbidity assumptions that vary by major type of ~~business, with different assumptions for life insurance, annuities, and retirement products.~~business. Within type of business, rates vary by age and gender. The Company applies an adjustment for future mortality improvement, consistent with observed long-term trends of population mortality over time. Lapse and surrender assumptions are based on Company and industry experience, where available. The Company sets rates that vary by product type, taking into account features specific to the product.

As part of this review, the Company may update these assumptions and make refinements to its models based upon emerging experience, future expectations and other data, including any observable market data it feels is indicative of a long-term trend. These assumptions are generally updated annually, unless a material change is observed in an interim period that the Company feels is also indicative of a long-term trend. Generally, the Company does not expect trends to change significantly in the short-term and, to the extent these trends may change, it expects such changes to be gradual over the long-term.

The Company also performs a comprehensive review of the economic assumptions, including long-term interest rate assumptions and equity return assumptions that impact reserve calculations. The Company generally utilizes relevant economic outlook information and industry survey as the primary basis for these assumptions. The Company may use those economic assumptions to project future rates of return on investments.

Other ASUs adopted during the ~~three~~six months ended ~~March 31,~~June 30, 2023

The Company adopted ASU 2022-02, Financial Instruments – Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosure, effective January 1, 2023, on a prospective basis. This ASU eliminates the accounting guidance for Troubled Debt Restructurings (“TDR”) for creditors and adds enhanced disclosure requirements. Following adoption of the ASU, all loan refinancings and restructurings are subject to the modification guidance in ASC 310-20. Specific to the accounting policy for commercial mortgage and other loans, adoption of the ASU resulted in the elimination of TDRs such that, on a prospective basis, all modifications are evaluated under the existing modification guidance in ASC 310-20 to determine whether a modification results in a new financial instrument or a continuation of the existing financial instrument. Furthermore, for modifications of loans that have a CECL allowance and result in a continuation of the existing loan, the CECL allowance of the loan is remeasured using the modified terms and the post-modification effective yield. Prior to the adoption of the ASU, if a loan modification was a TDR, the CECL allowance of the loan was remeasured using the modified terms and the loan’s original effective yield. Adoption of the ASU did not have a significant impact on the Company’s Financial Statements and Notes to the Financial Statements.

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

3. INVESTMENTS

Fixed Maturity Securities

The following tables set forth the composition of fixed maturity securities (excluding investments classified as trading), as of the dates indicated:

March 31, 2023
Amortized
Cost Gross
Unrealized
Gains Gross
Unrealized
Losses Allowance for Credit Losses Fair
Value
(in thousands)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies $ 52,350 $ 530 $ 216 $ 0 $ 52,664
Obligations of U.S. states and their political subdivisions 182,985 700 3,779 0 179,906
Foreign government bonds 94,250 50 14,977 0 79,323
U.S. public corporate securities 1,348,104 7,322 152,907 0 1,202,519
U.S. private corporate securities 195,195 781 10,532 0 185,444
Foreign public corporate securities 167,603 381 22,925 0 145,059
Foreign private corporate securities 136,113 983 18,377 0 118,719
Asset-backed securities(1) 17,731 242 208 0 17,765
Commercial mortgage-backed securities 123,021 0 8,555 0 114,466
Residential mortgage-backed securities(2) 12,470 113 262 3 12,318
Total fixed maturities, available-for-sale $ 2,329,822 $ 11,102 $ 232,738 $ 3 $ 2,108,183


	June 30, 2023
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Credit Losses		Fair Value
	(in thousands)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	52,305	$	0	$	1,067	$	0	$	51,238
Obligations of U.S. states and their political subdivisions	184,628		385		5,041		0		179,972
Foreign government bonds	94,402		61		15,469		0		78,994
U.S. public corporate securities	1,417,819		3,959		173,833		0		1,247,945
U.S. private corporate securities	198,658		336		12,311		0		186,683
Foreign public corporate securities	179,585		201		24,868		0		154,918
Foreign private corporate securities	145,184		642		20,270		0		125,556
Asset-backed securities(1)	19,726		241		152		0		19,815
Commercial mortgage-backed securities	120,613		0		9,044		0		111,569
Residential mortgage-backed securities(2)	12,493		75		620		3		11,945
Total fixed maturities, available-for-sale	$	2,425,413	$	5,900	$	262,675	$	3	$	2,168,635

(1)Includes credit-tranched securities collateralized by education loans and loan obligations.

(2)Includes publicly-traded agency pass-through securities and collateralized mortgage obligations.

December 31, 2022
Amortized
Cost Gross
Unrealized
Gains Gross
Unrealized
Losses Allowance for Credit Losses Fair
Value
(in thousands)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies $ 62,210 $ 0 $ 1,074 $ 0 $ 61,136
Obligations of U.S. states and their political subdivisions 165,109 421 6,315 0 159,215
Foreign government bonds 87,853 1 15,891 0 71,963
U.S. public corporate securities 1,062,342 1,943 180,880 0 883,405
U.S. private corporate securities 186,123 141 13,465 358 172,441
Foreign public corporate securities 138,717 28 25,783 0 112,962
Foreign private corporate securities 133,074 523 21,562 0 112,035
Asset-backed securities(1) 18,358 272 256 0 18,374
Commercial mortgage-backed securities 124,486 0 8,595 0 115,891
Residential mortgage-backed securities(2) 12,446 92 467 5 12,066
Total fixed maturities, available-for-sale $ 1,990,718 $ 3,421 $ 274,288 $ 363 $ 1,719,488


	December 31, 2022
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Allowance for Credit Losses		Fair Value
	(in thousands)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	62,210	$	0	$	1,074	$	0	$	61,136
Obligations of U.S. states and their political subdivisions	165,109		421		6,315		0		159,215
Foreign government bonds	87,853		1		15,891		0		71,963
U.S. public corporate securities	1,062,342		1,943		180,880		0		883,405
U.S. private corporate securities	186,123		141		13,465		358		172,441
Foreign public corporate securities	138,717		28		25,783		0		112,962
Foreign private corporate securities	133,074		523		21,562		0		112,035
Asset-backed securities(1)	18,358		272		256		0		18,374
Commercial mortgage-backed securities	124,486		0		8,595		0		115,891
Residential mortgage-backed securities(2)	12,446		92		467		5		12,066
Total fixed maturities, available-for-sale	$	1,990,718	$	3,421	$	274,288	$	363	$	1,719,488

(1)Includes credit-tranched securities collateralized by education loans and loan obligations.

(2)Includes publicly-traded agency pass-through securities and collateralized mortgage obligations.

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

The following tables set forth the fair value and gross unrealized losses on available-for-sale fixed maturity securities without an allowance for credit losses aggregated by investment category and length of time that individual fixed maturity securities had been in a continuous unrealized loss position, as of the dates indicated:


		March 31, 2023													June 30, 2023
		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	$	2,025	$	216	$	2,025	$	216	U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	49,245	$	819	$	1,993	$	248	$	51,238	$	1,067
Obligations of U.S. states and their political subdivisions	Obligations of U.S. states and their political subdivisions	91,811		1,768		23,724		2,011		115,535		3,779		Obligations of U.S. states and their political subdivisions	98,391		2,220		35,492		2,821		133,883		5,041
Foreign government bonds	Foreign government bonds	20,990		888		56,267		14,089		77,257		14,977		Foreign government bonds	18,865		788		58,595		14,681		77,460		15,469
U.S. public corporate securities	U.S. public corporate securities	294,009		13,374		682,776		139,533		976,785		152,907		U.S. public corporate securities	399,640		19,056		707,491		154,777		1,107,131		173,833
U.S. private corporate securities	U.S. private corporate securities	42,180		909		110,537		9,623		152,717		10,532		U.S. private corporate securities	40,737		1,128		125,211		11,183		165,948		12,311
Foreign public corporate securities	Foreign public corporate securities	25,478		1,167		97,851		21,758		123,329		22,925		Foreign public corporate securities	37,623		1,633		96,286		23,235		133,909		24,868
Foreign private corporate securities	Foreign private corporate securities	9,224		233		87,892		18,144		97,116		18,377		Foreign private corporate securities	15,495		285		93,808		19,985		109,303		20,270
Asset-backed securities	Asset-backed securities	1,237		20		7,233		188		8,470		208		Asset-backed securities	1,100		0		7,709		152		8,809		152
Commercial mortgage-backed securities	Commercial mortgage-backed securities	30,033		3,122		84,434		5,433		114,467		8,555		Commercial mortgage-backed securities	4,522		335		107,047		8,709		111,569		9,044
Residential mortgage-backed securities	Residential mortgage-backed securities	10,350		250		273		12		10,623		262		Residential mortgage-backed securities	10,249		603		261		17		10,510		620
Total fixed maturities, available-for-sale	Total fixed maturities, available-for-sale	$	525,312	$	21,731	$	1,153,012	$	211,007	$	1,678,324	$	232,738	Total fixed maturities, available-for-sale	$	675,867	$	26,867	$	1,233,893	$	235,808	$	1,909,760	$	262,675


	December 31, 2022
	Less Than Twelve Months				Twelve Months or More				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
	(in thousands)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	61,136	$	1,074	$	0	$	0	$	61,136	$	1,074
Obligations of U.S. states and their political subdivisions	113,693		6,315		0		0		113,693		6,315
Foreign government bonds	46,826		5,741		24,746		10,150		71,572		15,891
U.S. public corporate securities	704,906		111,763		155,138		69,117		860,044		180,880
U.S. private corporate securities	149,670		11,857		9,273		1,608		158,943		13,465
Foreign public corporate securities	69,310		11,016		38,996		14,767		108,306		25,783
Foreign private corporate securities	62,044		12,499		33,858		9,063		95,902		21,562
Asset-backed securities	5,570		160		3,289		96		8,859		256
Commercial mortgage-backed securities	110,820		8,398		5,071		197		115,891		8,595
Residential mortgage-backed securities	10,509		467		0		0		10,509		467
Total fixed maturities, available-for-sale	$	1,334,484	$	169,290	$	270,371	$	104,998	$	1,604,855	$	274,288

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

As of ~~March 31,~~June 30, 2023 and December 31, 2022, the gross unrealized losses on fixed maturity available-for-sale securities without an allowance were composed of ~~$228.4~~$258.2 million and $269.6 million, respectively, related to “1” highest quality or “2” high quality securities based on the National Association of Insurance Commissioners (“NAIC”) or equivalent rating and ~~$4.3~~$4.5 million and $4.7 million, respectively, related to other than high or highest quality securities based on NAIC or equivalent rating. As of ~~March 31,~~June 30, 2023, the ~~$211.0~~$235.8 million of gross unrealized losses of twelve months or more were concentrated in the Company’s corporate securities within the finance, utility and consumer non-cyclical sectors. As of December 31, 2022, the $105.0 million of gross unrealized losses of twelve months or more were concentrated in the Company’s corporate securities within the finance, consumer non-cyclical and capital goods sectors.

In accordance with its policy described in Note 2 to the Financial Statements included in the Company’s ~~Annual Report on Form 10-K~~restated Financial Statements for the year ended December 31, 2022 included as Exhibit 99.1 within the Company's Current Report on Form 8-K filed on July 14, 2023, the Company concluded that an adjustment to earnings for credit losses related to these fixed maturity securities was not warranted at ~~March 31,~~June 30, 2023. This conclusion was based on a detailed analysis of the underlying credit and cash flows on each security. Gross unrealized losses are primarily attributable to increases in interest rates, general credit spread widening, foreign currency exchange rate movements and the financial condition or near-term prospects of the issuer. As of ~~March 31,~~June 30, 2023, the Company did not intend to sell these securities, and it was not more likely than not that the Company would be required to sell these securities before the anticipated recovery of the remaining amortized cost basis.

The following table sets forth the amortized cost and fair value of fixed maturities by contractual maturities, as of the date indicated:


		March 31, 2023					June 30, 2023
		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	$	81,580	$	78,489	Due in one year or less	$	79,689	$	76,677
Due after one year through five years	Due after one year through five years	250,358		235,884		Due after one year through five years	302,313		284,777
Due after five years through ten years	Due after five years through ten years	154,199		149,387		Due after five years through ten years	169,567		161,440
Due after ten years	Due after ten years	1,690,463		1,499,874		Due after ten years	1,721,012		1,502,412
Asset-backed securities	Asset-backed securities	17,731		17,765		Asset-backed securities	19,726		19,815
Commercial mortgage-backed securities	Commercial mortgage-backed securities	123,021		114,466		Commercial mortgage-backed securities	120,613		111,569
Residential mortgage-backed securities	Residential mortgage-backed securities	12,470		12,318		Residential mortgage-backed securities	12,493		11,945
Total fixed maturities, available-for-sale	Total fixed maturities, available-for-sale	$	2,329,822	$	2,108,183	Total fixed maturities, available-for-sale	$	2,425,413	$	2,168,635

Actual maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations. Asset-backed, commercial mortgage-backed and residential mortgage-backed securities are shown separately in the table above, as they do not have a single maturity date.

The following table sets forth the sources of fixed maturity proceeds and related investment gains (losses), as well as losses on write-downs and the allowance for credit losses of fixed maturities, for the periods indicated:


		Three Months Ended March 31,					Three Months Ended June 30,				Six Months Ended June 30,
		2023		2022					2023		2022		2023		2022
		(in thousands)				(in thousands)
Fixed maturities, available-for-sale:	Fixed maturities, available-for-sale:							Fixed maturities, available-for-sale:
Proceeds from sales(1)	Proceeds from sales(1)	$	886	$	20,241			Proceeds from sales(1)	$	947	$	8,763	$	1,833	$	29,004
Proceeds from maturities/prepayments	Proceeds from maturities/prepayments	32,121		18,233				Proceeds from maturities/prepayments	7,042		11,887		39,163		30,120
Gross investment gains from sales and maturities	Gross investment gains from sales and maturities	29		2				Gross investment gains from sales and maturities	(24)		68		5		70
Gross investment losses from sales and maturities	Gross investment losses from sales and maturities	(415)		(1,961)				Gross investment losses from sales and maturities	(10)		(1,011)		(425)		(2,972)
(Addition to) release of allowance for credit losses	(Addition to) release of allowance for credit losses	360		0				(Addition to) release of allowance for credit losses	0		667		360		667

(1)Excludes activity from non-cash related proceeds due to the timing of trade settlements of $0.2 million and ~~$0.0~~$(0.1) million for the ~~three~~six months ended ~~March 31,~~June 30, 2023 and 2022, respectively.

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

The following ~~table sets~~tables set forth the activity in the allowance for credit losses for fixed maturity securities, as of the dates indicated:
Three Months Ended March 31, 2023
U.S. Treasury Securities and Obligations of U.S. States Foreign Government Bonds U.S. and Foreign Corporate Securities Asset-Backed Securities Commercial Mortgage-Backed Securities Residential Mortgage-Backed Securities Total
(in thousands)
Fixed maturities, available-for-sale:
Balance, beginning of period $ 0 $ 0 $ 358 $ 0 $ 0 $ 5 $ 363
Reductions for securities sold during the period 0 0 (358) 0 0 (1) (359)
Additions (reductions) on securities with previous allowance 0 0 0 0 0 (1) (1)
Balance, end of period $ 0 $ 0 $ 0 $ 0 $ 0 $ 3 $ 3

~~For the three months ended March 31, 2022, there was no activity in the allowance for credit losses for available-for-sale securities.~~


	Three Months Ended June 30, 2023
	U.S. Treasury Securities and Obligations of U.S. States		Foreign Government Bonds		U.S. and Foreign Corporate Securities		Asset-Backed Securities		Commercial Mortgage-Backed Securities		Residential Mortgage-Backed Securities		Total
	(in thousands)
Fixed maturities, available-for-sale:
Balance, beginning of period	$	0	$	0	$	0	$	0	$	0	$	3	$	3
Reductions for securities sold during the period	0		0		0		0		0		0		0
Additions (reductions) on securities with previous allowance	0		0		0		0		0		0		0
Balance, end of period	$	0	$	0	$	0	$	0	$	0	$	3	$	3


	Three Months Ended June 30, 2022
	U.S. Treasury Securities and Obligations of U.S. States		Foreign Government Bonds		U.S. and Foreign Corporate Securities		Asset-Backed Securities		Commercial Mortgage-Backed Securities		Residential Mortgage-Backed Securities		Total
	(in thousands)
Fixed maturities, available-for-sale:
Balance, beginning of period	$	0	$	0	$	1,558	$	0	$	0	$	0	$	1,558
Additions (reductions) on securities with previous allowance	0		0		(667)		0		0		0		(667)
Balance, end of period	$	0	$	0	$	891	$	0	$	0	$	0	$	891


	Six Months Ended June 30, 2023
	U.S. Treasury Securities and Obligations of U.S. States		Foreign Government Bonds		U.S. and Foreign Corporate Securities		Asset-Backed Securities		Commercial Mortgage-Backed Securities		Residential Mortgage-Backed Securities		Total
	(in thousands)
Fixed maturities, available-for-sale:
Balance, beginning of period	$	0	$	0	$	358	$	0	$	0	$	5	$	363
Reductions for securities sold during the period	0		0		(358)		0		0		(1)		(359)
Additions (reductions) on securities with previous allowance	0		0		0		0		0		(1)		(1)
Balance, end of period	$	0	$	0	$	0	$	0	$	0	$	3	$	3

Table of Contents


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


	Six Months Ended June 30, 2022
	U.S. Treasury Securities and Obligations of U.S. States		Foreign Government Bonds		U.S. and Foreign Corporate Securities		Asset-Backed Securities		Commercial Mortgage-Backed Securities		Residential Mortgage-Backed Securities		Total
	(in thousands)
Fixed maturities, available-for-sale:
Balance, beginning of period	$	0	$	0	$	1,558	$	0	$	0	$	0	$	1,558
Additions (reductions) on securities with previous allowance	0		0		(667)		0		0		0		(667)
Balance, end of period	$	0	$	0	$	891	$	0	$	0	$	0	$	891

See Note 2 to the Financial Statements included in the Company’s ~~Annual Report on Form 10-K~~restated Financial Statements for the year ended December 31, 2022 included as Exhibit 99.1 within the Company's Current Report on Form 8-K filed on July 14, 2023 for additional information about the Company’s methodology for developing our allowance and expected losses.

For the three months ended ~~March 31,~~June 30, 2023 there was no activity in the allowance for credit losses on available-for-sale securities.

For the six months ended June 30, 2023, the net decrease in the allowance for credit losses on available-for-sale securities was primarily related to a restructuring in the transportation sector within corporate securities.

For both the three and six months ended June 30, 2022, the net decrease in the allowance for credit losses on available-for-sale securities was primarily related to a net reduction in the transportation sector within corporate securities.

The Company did not have any fixed maturity securities purchased with credit deterioration, as of both ~~March 31,~~June 30, 2023 and December 31, 2022.

Fixed Maturities, Trading

The net change in unrealized gains (losses) from fixed maturities, trading still held at period end, recorded within “Other income (loss),” was ~~$0.6~~$(0.5) million and ~~$(1.8)~~$(2.9) million during the three months ended ~~March 31,~~June 30, 2023 and 2022, respectively, and $0.2 million and $(4.7) million during the six months ended June 30, 2023 and 2022, respectively.

Equity Securities

The net change in unrealized gains (losses) from equity securities still held at period end, recorded within “Other income (loss),”, was ~~$(0.0)~~$0.1 million and ~~$(0.5)~~$(0.4) million during the three months ended ~~March 31,~~June 30, 2023 and 2022, respectively, and $0.1 million and $(1.0) million during the six months ended June 30, 2023 and 2022, respectively.

2830

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

Commercial Mortgage and Other Loans

The following table sets forth the composition of “Commercial mortgage and other loans,” as of the dates indicated:


		March 31, 2023				December 31, 2022					June 30, 2023				December 31, 2022
		Amount (in thousands)		% of Total		Amount (in thousands)		% of Total			Amount (in thousands)		% of Total		Amount (in thousands)		% of Total
Commercial mortgage and agricultural property loans by property type:	Commercial mortgage and agricultural property loans by property type:									Commercial mortgage and agricultural property loans by property type:
Apartments/Multi-Family	Apartments/Multi-Family	$	62,244	38.8	%	$	62,434	42.0	%	Apartments/Multi-Family	$	60,442	34.0	%	$	62,434	42.0	%
Hospitality	Hospitality	12,849		8.0		12,996		8.7		Hospitality	12,700		7.1		12,996		8.7
Industrial	Industrial	31,627		19.7		17,132		11.5		Industrial	48,067		27.0		17,132		11.5
Office	Office	8,188		5.1		10,568		7.1		Office	8,164		4.6		10,568		7.1
Other	Other	7,796		4.9		7,767		5.2		Other	11,098		6.2		7,767		5.2
Retail	Retail	22,021		13.8		22,123		14.9		Retail	21,908		12.4		22,123		14.9
Total commercial mortgage loans	Total commercial mortgage loans	144,725		90.3		133,020		89.4		Total commercial mortgage loans	162,379		91.3		133,020		89.4
Agricultural property loans	Agricultural property loans	15,526		9.7		15,567		10.6		Agricultural property loans	15,486		8.7		15,567		10.6
Total commercial mortgage and agricultural property loans	Total commercial mortgage and agricultural property loans	160,251		100.0	%	148,587		100.0	%	Total commercial mortgage and agricultural property loans	177,865		100.0	%	148,587		100.0	%
Allowance for credit losses	Allowance for credit losses	(499)				(408)				Allowance for credit losses	(675)				(408)
Total net commercial mortgage and other loans	Total net commercial mortgage and other loans	$	159,752			$	148,179			Total net commercial mortgage and other loans	$	177,190			$	148,179

As of ~~March 31,~~June 30, 2023, the commercial mortgage and agricultural property loans were secured by properties geographically dispersed throughout the United States ~~(with~~with the largest concentrations in New Jersey ~~(13%~~(12%), Florida ~~(11%~~(10%), New York ~~(9%~~(8%)), and included loans secured by properties in Europe ~~(3%~~(11%) and Mexico (2%).

The following ~~table sets~~tables set forth the activity in the allowance for credit losses for commercial mortgage and other loans, as of the dates indicated:


		Three Months Ended March 31,										Three Months Ended June 30,
		2023				2022						2023						2022
		Commercial Mortgage Loans		Agricultural Property Loans		Total		Commercial Mortgage Loans		Agricultural Property Loans			Total			Commercial Mortgage Loans		Agricultural Property Loans		Total		Commercial Mortgage Loans		Agricultural Property Loans		Total
		(in thousands)										(in thousands)
Allowance, beginning of period	Allowance, beginning of period	$	405	$	3	$	408	$	246	$	0		$	246	Allowance, beginning of period	$	443	$	56	$	499	$	230	$	1	$	231
Addition to (release of) allowance for expected losses	Addition to (release of) allowance for expected losses	38		53		91		(16)		1			(15)		Addition to (release of) allowance for expected losses	179		(3)		176		59		0		59
Allowance, end of period	Allowance, end of period	$	443	$	56	$	499	$	230	$	1		$	231	Allowance, end of period	$	622	$	53	$	675	$	289	$	1	$	290

See Note 2 to the Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2022 for additional information about the Company's methodology for developing our allowance and expected losses.


	Six Months Ended June 30,
	2023				2022
	Commercial Mortgage Loans		Agricultural Property Loans		Total		Commercial Mortgage Loans		Agricultural Property Loans		Total
	(in thousands)
Allowance, beginning of period	$	405	$	3	$	408	$	246	$	0	$	246
Addition to (release of) allowance for expected losses	217		50		267		43		1		44
Allowance, end of period	$	622	$	53	$	675	$	289	$	1	$	290

For the three months ended March 31, 2023, the net increase in the allowance for credit losses on commercial mortgage and other loans was primarily related to portfolio growth. For the three months ended March 31, 2022, the net decrease in the allowance for credit losses on commercial mortgage and other loans was primarily related to net positive credit migration.

2931

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

See Note 2 to the Financial Statements included in the Company’s restated Financial Statements for the year ended December 31, 2022 included as Exhibit 99.1 within the Company's Current Report on Form 8-K filed on July 14, 2023 for additional information about the Company's methodology for developing our allowance and expected losses.

For the three months ended June 30, 2023, the net increase in the allowance for credit losses on commercial mortgage and other loans was primarily related to loan originations. For the three months ended June 30, 2022, the net increase in the allowance for credit losses on commercial mortgage and other loans was primarily related to an increase in the general allowance due to current market conditions.

For the six months ended June 30, 2023, the net increase in the allowance for credit losses on commercial mortgage and other loans was primarily related to loan originations. For the six months ended June 30, 2022, the net increase in the allowance for credit losses on commercial mortgage and other loans was primarily related to an increase in the general allowance due to current market conditions, partially offset by net positive migration.

The following tables set forth key credit quality indicators based upon the recorded investment gross of allowance for credit losses, as of the dates indicated:


		March 31, 2023														June 30, 2023
		Amortized Cost by Origination Year														Amortized Cost by Origination Year
		2023		2022		2021		2020		2019		Prior		Total				2023		2022		2021		2020		2019		Prior		Total
		(in thousands)														(in thousands)
Commercial mortgage loans	Commercial mortgage loans																Commercial mortgage loans
Loan-to-Value Ratio:	Loan-to-Value Ratio:																Loan-to-Value Ratio:
0%-59.99%	0%-59.99%	$	0	$	19,978	$	787	$	0	$	10,030	$	47,468	$	78,263		0%-59.99%	$	3,311	$	19,946	$	782	$	0	$	11,059	$	45,498	$	80,596
60%-69.99%	60%-69.99%	0		15,000		1,615		2,198		18,953		1,016		38,782			60%-69.99%	0		15,000		1,615		2,198		15,783		4,072		38,668
70%-79.99%	70%-79.99%	14,509		0		347		0		3,855		7,175		25,886			70%-79.99%	31,024		0		347		0		5,885		4,080		41,336
80% or greater	80% or greater	0		0		0		0		0		1,794		1,794			80% or greater	0		0		0		0		0		1,779		1,779
Total	Total	$	14,509	$	34,978	$	2,749	$	2,198	$	32,838	$	57,453	$	144,725		Total	$	34,335	$	34,946	$	2,744	$	2,198	$	32,727	$	55,429	$	162,379
Debt Service Coverage Ratio:	Debt Service Coverage Ratio:																Debt Service Coverage Ratio:
Greater or Equal to 1.2x	Greater or Equal to 1.2x	$	14,509	$	34,978	$	2,749	$	2,198	$	27,743	$	39,083	$	121,260		Greater or Equal to 1.2x	$	31,871	$	34,946	$	2,744	$	2,198	$	28,762	$	38,867	$	139,388
1.0 - 1.2x	1.0 - 1.2x	0		0		0		0		0		8,735		8,735			1.0 - 1.2x	2,464		0		0		0		0		7,050		9,514
Less than 1.0x	Less than 1.0x	0		0		0		0		5,095		9,635		14,730			Less than 1.0x	0		0		0		0		3,965		9,512		13,477
Total	Total	$	14,509	$	34,978	$	2,749	$	2,198	$	32,838	$	57,453	$	144,725		Total	$	34,335	$	34,946	$	2,744	$	2,198	$	32,727	$	55,429	$	162,379
Agricultural property loans	Agricultural property loans																Agricultural property loans
Loan-to-Value Ratio:	Loan-to-Value Ratio:																Loan-to-Value Ratio:
0%-59.99%	0%-59.99%	$	0	$	1,068	$	1,080	$	0	$	0	$	1,033	$	3,181		0%-59.99%	$	0	$	1,057	$	1,069	$	0	$	0	$	1,015	$	3,141
60%-69.99%	60%-69.99%	0		12,345		0		0		0		0		12,345			60%-69.99%	0		12,345		0		0		0		0		12,345
70%-79.99%	70%-79.99%	0		0		0		0		0		0		0			70%-79.99%	0		0		0		0		0		0		0
80% or greater	80% or greater	0		0		0		0		0		0		0			80% or greater	0		0		0		0		0		0		0
Total	Total	$	0	$	13,413	$	1,080	$	0	$	0	$	1,033	$	15,526		Total	$	0	$	13,402	$	1,069	$	0	$	0	$	1,015	$	15,486
Debt Service Coverage Ratio:	Debt Service Coverage Ratio:																Debt Service Coverage Ratio:
Greater or Equal to 1.2x	Greater or Equal to 1.2x	$	0	$	13,413	$	1,080	$	0	$	0	$	1,033	$	15,526		Greater or Equal to 1.2x	$	0	$	13,402	$	1,069	$	0	$	0	$	1,015	$	15,486
1.0 - 1.2x	1.0 - 1.2x	0		0		0		0		0		0		0			1.0 - 1.2x	0		0		0		0		0		0		0
Less than 1.0x	Less than 1.0x	0		0		0		0		0		0		0			Less than 1.0x	0		0		0		0		0		0		0
Total	Total	$	0	$	13,413	$	1,080	$	0	$	0	$	1,033	$	15,526		Total	$	0	$	13,402	$	1,069	$	0	$	0	$	1,015	$	15,486

3032

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


	December 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%	$	20,000	$	792	$	0	$	9,993	$	1,387	$	48,812	$	80,984
60%-69.99%	15,000		1,615		2,198		18,982		0		1,016		38,811
70%-79.99%	0		347		0		3,855		0		7,213		11,415
80% or greater	0		0		0		0		0		1,810		1,810
Total	$	35,000	$	2,754	$	2,198	$	32,830	$	1,387	$	58,851	$	133,020
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	35,000	$	2,754	$	2,198	$	27,697	$	1,387	$	40,285	$	109,321
1.0 - 1.2x	0		0		0		0		0		8,809		8,809
Less than 1.0x	0		0		0		5,133		0		9,757		14,890
Total	$	35,000	$	2,754	$	2,198	$	32,830	$	1,387	$	58,851	$	133,020
Agricultural property loans
Loan-to-Value Ratio:
0%-59.99%	$	1,078	$	1,092	$	0	$	0	$	0	$	1,052	$	3,222
60%-69.99%	12,345		0		0		0		0		0		12,345
70%-79.99%	0		0		0		0		0		0		0
80% or greater	0		0		0		0		0		0		0
Total	$	13,423	$	1,092	$	0	$	0	$	0	$	1,052	$	15,567
Debt Service Coverage Ratio:
Greater or Equal to 1.2x	$	13,423	$	1,092	$	0	$	0	$	0	$	1,052	$	15,567
1.0 - 1.2x	0		0		0		0		0		0		0
Less than 1.0x	0		0		0		0		0		0		0
Total	$	13,423	$	1,092	$	0	$	0	$	0	$	1,052	$	15,567

See Note 2 to the Financial Statements included in the Company’s ~~Annual Report on Form 10-K~~restated Financial Statements for the year ended December 31, 2022 included as Exhibit 99.1 within the Company's Current Report on Form 8-K filed on July 14, 2023 for additional information about the Company's commercial mortgage and other loans credit quality monitoring process.

The following tables set forth an aging of past due commercial mortgage and other loans based upon the recorded investment gross of allowance for credit losses, as well as the amount of commercial mortgage and other loans on non-accrual status, as of the dates indicated:


		March 31, 2023													June 30, 2023
		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	$	144,725	$	0	$	0	$	0	$	144,725	$	0	Commercial mortgage loans	$	162,379	$	0	$	0	$	0	$	162,379	$	0
Agricultural property loans	Agricultural property loans	15,526		0		0		0		15,526		0		Agricultural property loans	15,486		0		0		0		15,486		0
Total	Total	$	160,251	$	0	$	0	$	0	$	160,251	$	0	Total	$	177,865	$	0	$	0	$	0	$	177,865	$	0

(1)As of ~~March 31,~~June 30, 2023, there were no loans in this category accruing interest.

(2)For additional information regarding the Company’s policies for accruing interest on loans, see Note 2 to the Financial Statements included in the Company’s ~~Annual Report on Form 10-K~~restated Financial Statements for the year ended December 31, ~~2022.~~2022 included as Exhibit 99.1 within the Company's Current Report on Form 8-K filed on July 14, 2023.

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


	December 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)
	(in thousands)
Commercial mortgage loans	$	133,020	$	0	$	0	$	0	$	133,020	$	0
Agricultural property loans	15,567		0		0		0		15,567		0
Total	$	148,587	$	0	$	0	$	0	$	148,587	$	0

(1)As of December 31, 2022, there were no loans in this category accruing interest.

For both the three and six months ended ~~March 31,~~June 30, 2023, ~~and 2022,~~ there were no commercial mortgage and other loans acquired, other than those through direct origination, and there were no commercial mortgage and other loans sold.

For both the three and six months ended June 30, 2022, there were $3.4 million of commercial mortgage and other loans acquired, other than those through direct origination, and there were $3.8 million of commercial mortgage and other loans sold.

The Company did not have any commercial mortgage and other loans purchased with credit deterioration, as of both ~~March 31,~~June 30, 2023 and December 31, 2022.

Other Invested Assets

The following table sets forth the composition of “Other invested assets,” as of the dates indicated:


		March 31, 2023		December 31, 2022
		(in thousands)					June 30, 2023		December 31, 2022
							(in thousands)
LPs/LLCs:	LPs/LLCs:					LPs/LLCs:
Equity method:	Equity method:					Equity method:
Private equity	Private equity	78,320		74,468		Private equity	$	84,605	$	74,468
Hedge funds	Hedge funds	43,407		42,472		Hedge funds	44,899		42,472
Real estate-related	Real estate-related	9,801		10,199		Real estate-related	9,809		10,199
Subtotal equity method	Subtotal equity method	131,528		127,139		Subtotal equity method	139,313		127,139
Fair value:	Fair value:					Fair value:
Private equity	Private equity	256		279		Private equity	239		279
Hedge funds	Hedge funds	44		55		Hedge funds	35		55
Real estate-related	Real estate-related	1,935		2,055		Real estate-related	1,818		2,055
Subtotal fair value	Subtotal fair value	2,235		2,389		Subtotal fair value	2,092		2,389
Total LPs/LLCs	Total LPs/LLCs	133,763		129,528		Total LPs/LLCs	141,405		129,528

Derivative instruments						Derivative instruments	2,823		0
Total other invested assets	Total other invested assets	$	133,763	$	129,528	Total other invested assets	$	144,228	$	129,528

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

Accrued Investment Income

The following table sets forth the composition of “Accrued investment income,” as of the dates indicated:


		March 31, 2023		December 31, 2022			June 30, 2023		December 31, 2022
		(in thousands)					(in thousands)
Fixed maturities	Fixed maturities	$	24,081	$	18,653	Fixed maturities	$	24,696	$	18,653
Equity securities	Equity securities	92		1		Equity securities	1		1
Commercial mortgage and other loans	Commercial mortgage and other loans	455		352		Commercial mortgage and other loans	655		352
Policy loans	Policy loans	5,745		5,612		Policy loans	10,754		5,612
Short-term investments and cash equivalents	Short-term investments and cash equivalents	691		604		Short-term investments and cash equivalents	466		604
Total accrued investment income	Total accrued investment income	$	31,064	$	25,222	Total accrued investment income	$	36,572	$	25,222

There were no significant write-downs on accrued investment income for both the three and six months ended ~~March 31,~~June 30, 2023 and 2022.

Net Investment Income

The following table sets forth “Net investment income” by investment type, for the periods indicated:


		Three Months Ended March 31,					Three Months Ended June 30,				Six Months Ended June 30,
		2023		2022					2023		2022		2023		2022
		(in thousands)				(in thousands)
Fixed maturities, available-for-sale	Fixed maturities, available-for-sale	$	21,117	$	17,125			Fixed maturities, available-for-sale	$	25,194	$	18,882	$	46,311	$	36,007
Fixed maturities, trading	Fixed maturities, trading	157		274				Fixed maturities, trading	158		265		315		539
Equity securities	Equity securities	91		91				Equity securities	91		91		182		182
Commercial mortgage and other loans	Commercial mortgage and other loans	1,679		1,082				Commercial mortgage and other loans	2,145		1,061		3,824		2,143
Policy loans	Policy loans	2,525		2,772				Policy loans	7,565		2,799		10,090		5,571
Other invested assets	Other invested assets	1,478		4,000				Other invested assets	4,641		2,462		6,119		6,462
Short-term investments and cash equivalents	Short-term investments and cash equivalents	2,641		60				Short-term investments and cash equivalents	1,251		292		3,892		352
Gross investment income	Gross investment income	29,688		25,404				Gross investment income	41,045		25,852		70,733		51,256
Less: investment expenses	Less: investment expenses	(1,028)		(1,035)				Less: investment expenses	(1,071)		(988)		(2,099)		(2,023)
Net investment income	Net investment income	$	28,660	$	24,369			Net investment income	$	39,974	$	24,864	$	68,634	$	49,233

Realized Investment Gains (Losses), Net

The following table sets forth “Realized investment gains (losses), net” by investment type, for the periods indicated:


		Three Months Ended March 31,					Three Months Ended June 30,				Six Months Ended June 30,
		2023		2022					2023		2022		2023		2022
		(in thousands)				(in thousands)
Fixed maturities(1)	Fixed maturities(1)	$	(26)	$	(1,959)			Fixed maturities(1)	$	(34)	$	(276)	$	(60)	$	(2,235)
Commercial mortgage and other loans	Commercial mortgage and other loans	(91)		15				Commercial mortgage and other loans	(176)		(50)		(267)		(35)
Other invested assets	Other invested assets	0		(51)				Other invested assets	(14)		0		(14)		(51)
Derivatives(2)	Derivatives(2)	(8,241)		17,727				Derivatives(2)	(4,388)		6,008		(12,629)		23,735
Short term investments and cash equivalents	Short term investments and cash equivalents	60		(12)				Short term investments and cash equivalents	(5)		(17)		55		(29)
Realized investment gains (losses), net(2)	Realized investment gains (losses), net(2)	$	(8,298)	$	15,720			Realized investment gains (losses), net(2)	$	(4,617)	$	5,665	$	(12,915)	$	21,385

(1)Includes fixed maturity securities classified as available-for-sale and excludes fixed maturity securities classified as trading.

(2)Prior period amounts adjusted for the implementation of ASU 2018-12: Targeted Improvements to the Accounting for Long-Duration Contracts.

3335

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

Net Unrealized Gains (Losses) on Investments within AOCI

The following table sets forth net unrealized gains (losses) on investments, as of the dates indicated:


		March 31, 2023		December 31, 2022			June 30, 2023		December 31, 2022
		(in thousands)					(in thousands)
Fixed maturity securities, available-for-sale without an allowance	Fixed maturity securities, available-for-sale without an allowance	$	(221,636)	$	(270,867)	Fixed maturity securities, available-for-sale without an allowance	$	(256,775)	$	(270,867)
Derivatives designated as cash flow hedges(1)	Derivatives designated as cash flow hedges(1)	12,513		14,102		Derivatives designated as cash flow hedges(1)	11,851		14,102
Affiliated notes	Affiliated notes	61		59		Affiliated notes	0		59
Other investments	Other investments	127		122		Other investments	225		122
Net unrealized gains (losses) on investments	Net unrealized gains (losses) on investments	$	(208,935)	$	(256,584)	Net unrealized gains (losses) on investments	$	(244,699)	$	(256,584)

(1)For more information on cash flow hedges, see Note 4.

Repurchase Agreements and Securities Lending

In the normal course of business, the Company sells securities under agreements to repurchase and enters into securities lending transactions. As of both ~~March 31,~~June 30, 2023 and December 31, 2022, the Company had no repurchase agreements.

The following table sets forth the composition of “Cash collateral for loaned securities”, which represents the liability to return cash collateral received for the following types of securities loaned, as of the dates indicated:


		March 31, 2023						December 31, 2022							June 30, 2023						December 31, 2022
		Remaining Contractual Maturities of the Agreements						Remaining Contractual Maturities of the Agreements							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			Overnight & Continuous		Up to 30 Days		Total		Overnight & Continuous		Up to 30 Days		Total
		(in thousands)													(in thousands)
U.S. public corporate securities	U.S. public corporate securities	$	3,325	$	0	$	3,325	$	0	$	0	$	0	U.S. public corporate securities	$	2,996	$	0	$	2,996	$	0	$	0	$	0
Total cash collateral for loaned securities(1)	Total cash collateral for loaned securities(1)	$	3,325	$	0	$	3,325	$	0	$	0	$	0	Total cash collateral for loaned securities(1)	$	2,996	$	0	$	2,996	$	0	$	0	$	0

(1)The Company did not have any agreements with remaining contractual maturities greater than thirty days, as of the dates indicated.

4. DERIVATIVES AND HEDGING

Types of Derivative Instruments and Derivative Strategies

The Company utilizes various derivative instruments and strategies to manage its risk. Commonly used derivative instruments include, but are not necessarily limited to:

•Interest rate contracts: futures, swaps, options, caps and floors

•Equity contracts: futures, options and total return swaps

•Foreign exchange contracts: futures, options, forwards and swaps

•Credit contracts: single and index reference credit default swaps

Other types of financial contracts that the Company accounts for as derivatives include:

•Embedded derivatives

For detailed information on these contracts and the related strategies, see Note 4 to the Financial Statements included in the Company’s ~~Annual Report on Form 10-K~~restated Financial Statements for the year ended December 31, ~~2022.~~2022 included as Exhibit 99.1 within the Company's Current Report on Form 8-K filed on July 14, 2023.

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

Primary Risks Managed by Derivatives

The table below provides a summary of the gross notional amount and fair value of derivative contracts by the primary underlying risks, excluding embedded derivatives and associated reinsurance recoverables. Many derivative instruments contain multiple underlying risks. The fair value amounts below represent the value of derivative contracts prior to taking into account of the netting effects of master netting agreements and cash collateral.


		March 31, 2023						December 31, 2022							June 30, 2023						December 31, 2022
Primary Underlying Risk/Instrument Type	Primary Underlying Risk/Instrument Type			Fair Value						Fair Value				Primary Underlying Risk/Instrument Type			Fair Value						Fair Value
		Gross Notional		Assets		Liabilities		Gross Notional		Assets		Liabilities			Gross Notional		Assets		Liabilities		Gross Notional		Assets		Liabilities
		(in thousands)													(in thousands)
Derivatives Designated as Hedge Accounting Instruments:	Derivatives Designated as Hedge Accounting Instruments:													Derivatives Designated as Hedge Accounting Instruments:
Currency/Interest Rate	Currency/Interest Rate													Currency/Interest Rate
Foreign Currency Swaps	Foreign Currency Swaps	$	121,573	$	12,726	$	(716)	$	117,015	$	14,281	$	(516)	Foreign Currency Swaps	$	135,340	$	12,278	$	(932)	$	117,015	$	14,281	$	(516)
Total Derivatives Designated as Hedge Accounting Instruments:	Total Derivatives Designated as Hedge Accounting Instruments:	$	121,573	$	12,726	$	(716)	$	117,015	$	14,281	$	(516)	Total Derivatives Designated as Hedge Accounting Instruments:	$	135,340	$	12,278	$	(932)	$	117,015	$	14,281	$	(516)
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													Interest Rate
Interest Rate Swaps	Interest Rate Swaps	$	30,200	$	169	$	(348)	$	30,200	$	0	$	(383)	Interest Rate Swaps	$	30,200	$	0	$	(396)	$	30,200	$	0	$	(383)
Credit	Credit													Credit
Credit Default Swaps	Credit Default Swaps	0		0		0		0		0		0		Credit Default Swaps	0		0		0		0		0		0
Currency/Interest Rate	Currency/Interest Rate													Currency/Interest Rate
Foreign Currency Swaps	Foreign Currency Swaps	24,035		2,535		0		24,035		2,957		0		Foreign Currency Swaps	52,012		2,730		(273)		24,035		2,957		0
Foreign Currency	Foreign Currency													Foreign Currency
Foreign Currency Forwards	Foreign Currency Forwards	8,336		1		(125)		7,520		3		(368)		Foreign Currency Forwards	11,263		1,939		(74)		7,520		3		(368)
Equity	Equity													Equity
Equity Options	Equity Options	510,150		2,199		(18,506)		509,200		555		(20,562)		Equity Options	783,920		16,431		(28,880)		509,200		555		(20,562)
Total Derivatives Not Qualifying as Hedge Accounting Instruments:	Total Derivatives Not Qualifying as Hedge Accounting Instruments:	$	572,721	$	4,904	$	(18,979)	$	570,955	$	3,515	$	(21,313)	Total Derivatives Not Qualifying as Hedge Accounting Instruments:	$	877,395	$	21,100	$	(29,623)	$	570,955	$	3,515	$	(21,313)
Total Derivatives(1)(2)	Total Derivatives(1)(2)	$	694,294	$	17,630	$	(19,695)	$	687,970	$	17,796	$	(21,829)	Total Derivatives(1)(2)	$	1,012,735	$	33,378	$	(30,555)	$	687,970	$	17,796	$	(21,829)

(1)Excludes embedded derivatives and associated reinsurance recoverables which contain multiple underlying risks. The fair value of these embedded derivatives was a net liability of ~~$127~~$161 million and $108 million as of ~~March 31,~~June 30, 2023 and December 31, 2022, respectively included in “Policyholders’ account balances".

(2)Recorded in "Other invested assets" and "Payables to parent and affiliates" on the Unaudited Interim Statements of Financial Position.

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

Offsetting Assets and Liabilities

The following table presents recognized derivative instruments (excluding embedded derivatives and associated reinsurance recoverables), and repurchase and reverse repurchase agreements that are offset in the Unaudited Interim Statements of Financial Position, and/or are subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset in the Unaudited Interim Statements of Financial Position.


		March 31, 2023											June 30, 2023
		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	Derivatives	$	17,630	$	(17,630)	$	0	$	0	$	0	Derivatives	$	33,378	$	(30,555)	$	2,823	$	(1,490)	$	1,333
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	$	17,630	$	(17,630)	$	0	$	0	$	0	Total Assets	$	33,378	$	(30,555)	$	2,823	$	(1,490)	$	1,333
Offsetting of Financial Liabilities:	Offsetting of Financial Liabilities:											Offsetting of Financial Liabilities:
Derivatives	Derivatives	$	19,695	$	(17,630)	$	2,065	$	(2,065)	$	0	Derivatives	$	30,555	$	(30,555)	$	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	$	19,695	$	(17,630)	$	2,065	$	(2,065)	$	0	Total Liabilities	$	30,555	$	(30,555)	$	0	$	0	$	0


	December 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
	(in thousands)
Offsetting of Financial Assets:
Derivatives	$	17,796	$	(17,796)	$	0	$	0	$	0
Securities purchased under agreements to resell	0		0		0		0		0
Total Assets	$	17,796	$	(17,796)	$	0	$	0	$	0
Offsetting of Financial Liabilities:
Derivatives	$	21,829	$	(17,796)	$	4,033	$	(4,033)	$	0
Securities sold under agreements to repurchase	0		0		0		0		0
Total Liabilities	$	21,829	$	(17,796)	$	4,033	$	(4,033)	$	0

(1)Amounts exclude the excess of collateral received/pledged from/to the counterparty.

For information regarding the rights of offset associated with the derivative assets and liabilities in the table above see “Credit Risk” below and Note 14. For securities purchased under agreements to resell and securities sold under agreements to repurchase, the Company monitors the value of the securities and maintains collateral, as appropriate, to protect against credit exposure. Where the Company has entered into repurchase and resale agreements with the same counterparty, in the event of default, the Company would generally be permitted to exercise rights of offset. For additional information ~~regarding~~on the Company’s accounting policy for securities repurchase and resale agreements, see Note 2 to the Financial Statements included in the Company’s ~~Annual Report on Form 10-K~~restated Financial Statements for the year ended December 31, ~~2022.~~2022 included as Exhibit 99.1 within the Company's Current Report on Form 8-K filed on July 14, 2023.

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

Cash Flow Hedges

The primary derivative instruments used by the Company in its cash flow hedge accounting relationships are currency swaps. These instruments are only designated for hedge accounting in instances where the appropriate criteria are met. The Company does not use futures, options, credit or equity derivatives in any of its cash flow hedge accounting relationships.

The following tables provide the financial statement classification and impact of derivatives used in qualifying and non-qualifying hedge relationships, excluding the offset of the hedged item in an effective hedge relationship.


		Three Months Ended March 31, 2023											Three Months Ended June 30, 2023
		Realized Investment Gains (Losses)		Change in Value of Market Risk Benefits, Net of Related Hedging Gain (Loss)		Net Investment Income		Other Income		Change in AOCI			Realized Investment Gains (Losses)		Change in Value of Market Risk Benefits, Net of Related Hedging Gain (Loss)		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	$	18	$	0	$	481	$	(112)	$	(1,589)	Currency/Interest Rate	$	38	$	0	$	470	$	(152)	$	(662)
Total cash flow hedges	Total cash flow hedges	18		0		481		(112)		(1,589)		Total cash flow hedges	38		0		470		(152)		(662)
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	167		0		0		0		0		Interest Rate	(425)		0		0		0		0
Currency	Currency	(82)		0		0		0		0		Currency	(33)		0		0		0		0
Currency/Interest Rate	Currency/Interest Rate	(228)		0		0		(8)		0		Currency/Interest Rate	(30)		0		0		(3)		0
Credit	Credit	0		0		0		0		0		Credit	0		0		0		0		0
Equity	Equity	1,759		0		0		0		0		Equity	9,855		0		0		0		0
Embedded Derivatives	Embedded Derivatives	(9,875)		0		0		0		0		Embedded Derivatives	(13,793)		0		0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments	Total Derivatives Not Qualifying as Hedge Accounting Instruments	(8,259)		0		0		(8)		0		Total Derivatives Not Qualifying as Hedge Accounting Instruments	(4,426)		0		0		(3)		0
Total	Total	$	(8,241)	$	0	$	481	$	(120)	$	(1,589)	Total	$	(4,388)	$	0	$	470	$	(155)	$	(662)

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


		Three Months Ended March 31, 2022 (1)											Six Months Ended June 30, 2023
		Realized Investment Gains (Losses)		Change in Value of Market Risk Benefits, Net of Related Hedging Gain (Loss)		Net Investment Income		Other Income		Change in AOCI			Realized Investment Gains (Losses)		Change in Value of Market Risk Benefits, Net of Related Hedging Gain (Loss)		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	$	31	$	0	$	451	$	188	$	1,222	Currency/Interest Rate	$	57	$	0	$	951	$	(264)	$	(2,251)
Total cash flow hedges	Total cash flow hedges	31		0		451		188		1,222		Total cash flow hedges	57		0		951		(264)		(2,251)
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	(1,201)		0		0		0		0		Interest Rate	(258)		0		0		0		0
Currency	Currency	115		0		0		0		0		Currency	(115)		0		0		0		0
Currency/Interest Rate	Currency/Interest Rate	290		0		0		8		0		Currency/Interest Rate	(258)		0		0		(11)		0
Credit	Credit	0		0		0		0		0		Credit	0		0		0		0		0
Equity	Equity	(1,526)		0		0		0		0		Equity	11,613		0		0		0		0
Embedded Derivatives	Embedded Derivatives	20,018		0		0		0		0		Embedded Derivatives	(23,668)		0		0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments	Total Derivatives Not Qualifying as Hedge Accounting Instruments	17,696		0		0		8		0		Total Derivatives Not Qualifying as Hedge Accounting Instruments	(12,686)		0		0		(11)		0
Total	Total	$	17,727	$	0	$	451	$	196	$	1,222	Total	$	(12,629)	$	0	$	951	$	(275)	$	(2,251)


	Three Months Ended June 30, 2022
	Realized Investment Gains (Losses)(1)		Change in Value of Market Risk Benefits, Net of Related Hedging Gain (Loss)(1)		Net Investment Income		Other Income		Change in AOCI
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Currency/Interest Rate	$	92	$	0	$	467	$	856	$	8,564
Total cash flow hedges	92		0		467		856		8,564
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(561)		0		0		0		0
Currency	373		0		0		0		0
Currency/Interest Rate	2,846		0		0		40		0
Credit	0		0		0		0		0
Equity	(10,040)		0		0		0		0
Embedded Derivatives	13,298		0		0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments	5,916		0		0		40		0
Total	$	6,008	$	0	$	467	$	896	$	8,564

Table of Contents


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


	Six Months Ended June 30, 2022
	Realized Investment Gains (Losses)(1)		Change in Value of Market Risk Benefits, Net of Related Hedging Gain (Loss)(1)		Net Investment Income		Other Income		Change in AOCI
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Currency/Interest Rate	$	123	$	0	$	918	$	1,044	$	9,786
Total cash flow hedges	123		0		918		1,044		9,786
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(1,762)		0		0		0		0
Currency	488		0		0		0		0
Currency/Interest Rate	3,136		0		0		48		0
Credit	0		0		0		0		0
Equity	(11,566)		0		0		0		0
Embedded Derivatives	33,316		0		0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments	23,612		0		0		48		0
Total	$	23,735	$	0	$	918	$	1,092	$	9,786

(1)~~Prior period amounts have been updated~~Amounts adjusted for the implementation of ASU 2018-12: Targeted Improvements to ~~conform to current period presentation.~~the Accounting for Long-Duration Contracts.

Presented below is a rollforward of current period cash flow hedges in AOCI before taxes:


	(in thousands)
Balance, December 31, 2022	$	14,102
Amount recorded in AOCI


Currency/Interest Rate	~~(1,202)~~(1,507)
Total amount recorded in AOCI	~~(1,202)~~(1,507)
Amount reclassified from AOCI to income


Currency/Interest Rate	~~(387)~~(744)
Total amount reclassified from AOCI to income	~~(387)~~(744)
Balance, ~~March 31,~~June 30, 2023	$	~~12,513~~11,851

The changes in fair value of cash flow hedges are deferred in AOCI and are included in "Net unrealized investment gains (losses)" in the Unaudited Interim Statements of Operations and Comprehensive Income (Loss); these amounts are then reclassified to earnings when the hedged item affects earnings. Using ~~March 31,~~June 30, 2023 values, it is estimated that a pre-tax gain of $1.7 million is expected to be reclassified from AOCI to earnings during the subsequent twelve months ending ~~March 31,~~June 30, 2024.

The exposures the Company is hedging with these qualifying cash flow hedges include the variability of the payment or receipt of interest or foreign currency amounts on existing financial instruments.

There were no material amounts reclassified from AOCI into earnings relating to instances in which the Company discontinued cash flow hedge accounting because the forecasted transaction did not occur by the anticipated date or within the additional time period permitted by the authoritative guidance for the accounting for derivatives and hedging.

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

Credit Derivatives

The Company has no exposure from credit derivative positions where it has written or purchased credit protection as of ~~March 31,~~June 30, 2023 and December 31, 2022.

Counterparty Credit Risk

The Company is exposed to credit-related losses in the event of non-performance by counterparties to financial derivative transactions with a positive fair value. The Company manages credit risk by entering into derivative transactions with regulated derivatives exchanges for exchange traded derivatives and its affiliate, Prudential Global Funding LLC (“PGF”), related to its over-the-counter ("OTC") derivatives. PGF, in turn, manages its credit risk by: (i) entering into derivative transactions with highly rated major international financial institutions and other creditworthy counterparties governed by master netting agreement, as applicable; (ii) trading through central clearing and OTC parties; (iii) obtaining collateral, such as cash and securities, when appropriate; and (iv) setting limits on single-party credit exposures which are subject to periodic management review.

Substantially all of the Company’s derivative agreements have zero thresholds which require daily full collateralization by the party in a liability position.

5. FAIR VALUE OF ASSETS AND LIABILITIES

Fair Value Measurement – Fair value represents the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The authoritative fair value guidance establishes a framework for measuring fair value that includes a hierarchy used to classify the inputs used in measuring fair value. The level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement. The levels of the fair value hierarchy are as follows:

Level 1 – Fair value is based on unadjusted quoted prices in active markets that are accessible to the Company for identical assets or liabilities.

Level 2 – Fair value is based on significant inputs, other than quoted prices included in Level 1, that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the asset or liability through corroboration with observable market data. Level 2 inputs include quoted market prices in active markets for similar assets and liabilities, quoted market prices in markets that are not active for identical or similar assets or liabilities, and other market observable inputs.

Level 3 – Fair value is based on at least one significant unobservable input for the asset or liability. The assets and liabilities in this category may require significant judgment or estimation in determining the fair value.

For a discussion of the Company's valuation methodologies for assets and liabilities measured at fair value and the fair value hierarchy, see Note 5 to the Financial Statements included in the ~~Company's Annual Report on Form 10-K~~Company’s restated Financial Statements for the year ended December 31, ~~2022.~~2022 included as Exhibit 99.1 within the Company's Current Report on Form 8-K filed on July 14, 2023.

As a result of the adoption of ASU 2018-12 in the first quarter of 2023, the Company is required to measure all market risk benefits (e.g., living benefit and death benefit guarantees associated with variable annuities) at fair value. Market risk benefit liabilities (or assets) represent contracts or contract features that provide protection to the contractholder and exposes the Company to other than nominal capital market risk, primarily related to deferred annuities with guaranteed minimum benefits in the annuities products including guaranteed minimum death benefits (“GMDB”), guaranteed minimum income benefits (“GMIB”), guaranteed minimum accumulation benefits (“GMAB”), guaranteed minimum withdrawal benefits (“GMWB”)GMDB, GMIB, GMAB, GMWB and ~~guaranteed minimum income and withdrawal benefits (“GMIWB”).~~GMIWB. The benefits are bundled together and accounted for as single compound market risk benefits using a fair value measurement framework.

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

The fair value of these market risk benefits is calculated as the present value of expected future benefit payments to ~~contract holders~~contractholders less the present value of expected future rider fees attributable to the market risk benefit. The fair value of these benefit features is based on assumptions a market participant would use in valuing market risk benefits. This methodology could result in either a liability or asset balance, given changing capital market conditions and various actuarial assumptions. Since there is no observable active market for the transfer of these obligations, the valuations are calculated using internally-developed models with option pricing techniques. The models are based on a risk neutral valuation framework and incorporate premiums for risks inherent in valuation techniques, inputs, and the general uncertainty around the timing and amount of future cash flows. The determination of these risk premiums requires the use of management’s judgment.

The significant inputs to the valuation models for these market risk benefits include capital market assumptions, such as interest rate levels and volatility assumptions, the Company’s market-perceived NPR, as well as actuarially determined assumptions, including contractholder behavior, such as lapse rates, benefit utilization rates, withdrawal rates, and mortality rates. Since many of these assumptions are unobservable and are considered to be significant inputs to the valuations, the assets and liabilities included in market risk benefits have been reflected within Level 3 in the fair value hierarchy.

Capital market inputs and actual policyholders’ account values are updated each quarter based on capital market conditions as of the end of the quarter, including interest rates, equity markets and volatility. In the risk neutral valuation, the initial swap curve drives the total return used to grow the policyholders’ account values. The Company’s discount rate assumption is based on the SOFR swap curve adjusted for an additional spread relative to SOFR to reflect the Company’s market-perceived NPR, which is the risk that the obligation will not be fulfilled by the Company. NPR is primarily estimated by utilizing the credit spreads associated with the Company issued funding agreements, adjusted for any illiquidity risk premium. In order to reflect the financial strength ratings of the Company, credit spreads associated with funding agreements, as opposed to credit spread associated with debt, are utilized in developing this estimate because funding agreements, living benefit guarantees, and index-linked interest crediting guarantees are insurance liabilities and are therefore senior to debt.

Actuarial assumptions, including contractholder behavior and mortality, are reviewed at least annually, and updated based upon company emerging experience and industry studies, future expectations and other data, including any observable market data. These assumptions are generally updated annually unless a material change that the Company feels is indicative of a long-term trend is observed in an interim period. See "Annual Assumptions Review" in Note 2 for additional information.

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

Assets and Liabilities by Hierarchy Level – The tables below present the balances of assets and liabilities reported at fair value on a recurring basis, as of the dates indicated.


		March 31, 2023											June 30, 2023
		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	$	52,664	$	0	$		$	52,664	U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	0	$	51,238	$	0	$		$	51,238
Obligations of U.S. states and their political subdivisions	Obligations of U.S. states and their political subdivisions	0		179,906		0				179,906		Obligations of U.S. states and their political subdivisions	0		179,972		0				179,972
Foreign government bonds	Foreign government bonds	0		79,323		0				79,323		Foreign government bonds	0		78,994		0				78,994
U.S. corporate public securities	U.S. corporate public securities	0		1,202,519		0				1,202,519		U.S. corporate public securities	0		1,247,945		0				1,247,945
U.S. corporate private securities	U.S. corporate private securities	0		181,868		3,576				185,444		U.S. corporate private securities	0		177,333		9,350				186,683
Foreign corporate public securities	Foreign corporate public securities	0		145,059		0				145,059		Foreign corporate public securities	0		154,918		0				154,918
Foreign corporate private securities	Foreign corporate private securities	0		118,719		0				118,719		Foreign corporate private securities	0		122,327		3,229				125,556
Asset-backed securities(2)	Asset-backed securities(2)	0		17,765		0				17,765		Asset-backed securities(2)	0		19,815		0				19,815
Commercial mortgage-backed securities	Commercial mortgage-backed securities	0		94,585		19,881				114,466		Commercial mortgage-backed securities	0		91,731		19,838				111,569
Residential mortgage-backed securities	Residential mortgage-backed securities	0		12,318		0				12,318		Residential mortgage-backed securities	0		11,945		0				11,945
Subtotal	Subtotal	0		2,084,726		23,457				2,108,183		Subtotal	0		2,136,218		32,417				2,168,635
Market risk benefit assets	Market risk benefit assets	0		0		562,922				562,922		Market risk benefit assets	0		0		533,855				533,855
Fixed maturities, trading	Fixed maturities, trading	0		23,938		0				23,938		Fixed maturities, trading	0		23,021		0				23,021
Equity securities	Equity securities	0		69		4,294				4,363		Equity securities	0		71		4,416				4,487
Short-term investments	Short-term investments	0		8,000		0				8,000		Short-term investments	0		2,000		0				2,000
Cash equivalents	Cash equivalents	0		81,323		0				81,323		Cash equivalents	0		79,753		0				79,753
Other invested assets(3)	Other invested assets(3)	0		17,630		0		(17,630)		0		Other invested assets(3)	0		33,378		0		(30,555)		2,823
Reinsurance recoverable	Reinsurance recoverable	0		0		1,357				1,357		Reinsurance recoverable	0		0		1,465				1,465
Receivables from parent and affiliates	Receivables from parent and affiliates	0		699		0				699		Receivables from parent and affiliates	0		0		0				0
Subtotal excluding separate account assets	Subtotal excluding separate account assets	0		2,216,385		592,030		(17,630)		2,790,785		Subtotal excluding separate account assets	0		2,274,441		572,153		(30,555)		2,816,039
Separate account assets(4)(5)	Separate account assets(4)(5)	0		12,452,598		0				12,452,598		Separate account assets(4)(5)	0		12,688,251		0				12,688,251
Total assets	Total assets	$	0	$	14,668,983	$	592,030	$	(17,630)	$	15,243,383	Total assets	$	0	$	14,962,692	$	572,153	$	(30,555)	$	15,504,290
Market risk benefit liabilities	Market risk benefit liabilities	$	0	$	0	$	562,922	$		$	562,922	Market risk benefit liabilities	$	0	$	0	$	533,855	$		$	533,855
Policyholders' account balances	Policyholders' account balances	0		0		127,032				127,032		Policyholders' account balances	0		0		160,503				160,503
Payables to parent and affiliates	Payables to parent and affiliates	0		19,695		0		(17,630)		2,065		Payables to parent and affiliates	0		30,555		0		(30,555)		0
Total liabilities	Total liabilities	$	0	$	19,695	$	689,954	$	(17,630)	$	692,019	Total liabilities	$	0	$	30,555	$	694,358	$	(30,555)	$	694,358

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

December 31, 2022
Level 1 Level 2 Level 3 Netting(1) Total
(in thousands)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies $ 0 $ 61,136 $ 0 $ $ 61,136
Obligations of U.S. states and their political subdivisions 0 159,215 0 159,215
Foreign government bonds 0 71,963 0 71,963
U.S. corporate public securities 0 883,405 0 883,405
U.S. corporate private securities 0 168,638 3,803 172,441
Foreign corporate public securities 0 112,962 0 112,962
Foreign corporate private securities 0 112,035 0 112,035
Asset-backed securities(2) 0 18,374 0 18,374
Commercial mortgage-backed securities 0 95,190 20,701 115,891
Residential mortgage-backed securities 0 12,066 0 12,066
Subtotal 0 1,694,984 24,504 1,719,488
Market risk benefit assets 0 0 558,624 558,624
Fixed maturities, trading 0 23,782 0 23,782
Equity securities 0 67 4,291 4,358
Short-term investments 0 3,000 0 3,000
Cash equivalents 0 245,302 0 245,302
Other invested assets(3) 0 17,796 0 (17,796) 0
Reinsurance recoverable 0 0 0 0
Receivables from parent and affiliates 0 688 0 688
Subtotal excluding separate account assets 0 1,985,619 587,419 (17,796) 2,555,242
Separate account assets(4)(5) 0 12,014,623 0 12,014,623
Total assets $ 0 $ 14,000,242 $ 587,419 $ (17,796) $ 14,569,865
Market risk benefit liabilities $ 0 $ 0 $ 558,624 $ $ 558,624
Policyholders' account balances 0 0 108,144 108,144
Payables to parent and affiliates 0 21,829 0 (17,796) 4,033
Total liabilities $ 0 $ 21,829 $ 666,768 $ (17,796) $ 670,801


	December 31, 2022
	Level 1		Level 2		Level 3		Netting(1)		Total
	(in thousands)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	0	$	61,136	$	0	$		$	61,136
Obligations of U.S. states and their political subdivisions	0		159,215		0				159,215
Foreign government bonds	0		71,963		0				71,963
U.S. corporate public securities	0		883,405		0				883,405
U.S. corporate private securities	0		168,638		3,803				172,441
Foreign corporate public securities	0		112,962		0				112,962
Foreign corporate private securities	0		112,035		0				112,035
Asset-backed securities(2)	0		18,374		0				18,374
Commercial mortgage-backed securities	0		95,190		20,701				115,891
Residential mortgage-backed securities	0		12,066		0				12,066
Subtotal	0		1,694,984		24,504				1,719,488
Market risk benefit assets(6)	0		0		558,624				558,624
Fixed maturities, trading	0		23,782		0				23,782
Equity securities	0		67		4,291				4,358
Short-term investments	0		3,000		0				3,000
Cash equivalents	0		245,302		0				245,302
Other invested assets(3)	0		17,796		0		(17,796)		0
Reinsurance recoverable	0		0		0				0
Receivables from parent and affiliates	0		688		0				688
Subtotal excluding separate account assets	0		1,985,619		587,419		(17,796)		2,555,242
Separate account assets(4)(5)	0		12,014,623		0				12,014,623
Total assets	$	0	$	14,000,242	$	587,419	$	(17,796)	$	14,569,865
Market risk benefit liabilities(6)	$	0	$	0	$	558,624	$		$	558,624
Policyholders' account balances	0		0		108,144				108,144
Payables to parent and affiliates	0		21,829		0		(17,796)		4,033
Total liabilities	$	0	$	21,829	$	666,768	$	(17,796)	$	670,801

(1)“Netting” amounts represent cash collateral of $0 million as of both ~~March 31,~~June 30, 2023 and December 31, 2022.

(2)Includes credit-tranched securities collateralized by syndicated bank loans, sub-prime mortgages, auto loans, credit cards, education loans and other asset types.

(3)Other invested assets excluded from the fair value hierarchy include certain hedge funds, private equity funds and other funds for which fair value is measured at net asset value ("NAV") per share (or its equivalent) as a practical expedient. As of ~~March 31,~~June 30, 2023 and December 31, 2022, the fair values of such investments were ~~$2.2~~$2.1 million and $2.4 million, respectively.

(4)Separate account assets included in the fair value hierarchy exclude investments in entities that calculate NAV per share (or its equivalent) as a practical expedient. Such investments excluded from the fair value hierarchy include investments in real estate, hedge funds and a corporate owned life insurance fund, for which fair value is measured at NAV per share (or its equivalent). At ~~March 31,~~June 30, 2023 and December 31, 2022, the fair value of such investments were ~~$1,961~~$1,078 million and $1,912 million, respectively.

(5)Separate account assets represent segregated funds that are invested for certain customers. Investment risks associated with market value changes are borne by the customers, except to the extent of minimum guarantees made by the Company with respect to certain accounts. Separate account liabilities are not included in the above table as they are reported at contract value and not fair value in the Company's Unaudited Interim Statements of Financial Position.

(6)Amounts adjusted for the implementation of ASU 2018-12: Targeted Improvements to the Accounting for Long-Duration Contracts.

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

Quantitative Information Regarding Internally Priced Level 3 Assets and Liabilities – The tables below present quantitative information regarding significant internally-priced Level 3 assets and liabilities.


		March 31, 2023												June 30, 2023
		Fair Value		Valuation Techniques	Unobservable Inputs	Minimum		Maximum		Weighted Average		Impact of Increase in Input on Fair Value(1)		Fair Value		Valuation Techniques	Unobservable Inputs	Minimum		Maximum		Weighted Average		Impact of Increase in Input on Fair Value(1)
		(in thousands)												(in thousands)
Assets:	Assets:												Assets:
Corporate securities(2)	Corporate securities(2)	$	3,576	Discounted cash flow	Discount rate	10.68	%	10.68	%	10.68	%	Decrease	Corporate securities(2)	$	11,249	Discounted cash flow	Discount rate	9.67	%	13.29	%	11.65	%	Decrease
Commercial mortgage-backed securities	Commercial mortgage-backed securities	$	19,881	Discounted cash flow	Liquidity premium	0.60	%	0.75	%	0.69	%	Decrease	Commercial mortgage-backed securities	$	19,838	Discounted cash flow	Liquidity premium	0.60	%	0.75	%	0.69	%	Decrease
Market risk benefit assets(3)	Market risk benefit assets(3)	$	562,922	Discounted cash flow	Lapse rate(4)	1	%	20	%			Increase	Market risk benefit assets(3)	$	533,855	Discounted cash flow	Lapse rate(4)	1	%	20	%			Increase
					Spread over SOFR(5)	0.52	%	2.20	%			Increase					Spread over SOFR(5)	0.57	%	2.26	%			Increase
					Utilization rate(6)	38	%	95	%			Decrease					Utilization rate(6)	38	%	95	%			Decrease
					Withdrawal rate	See table footnote (7) below.											Withdrawal rate	See table footnote (7) below.
					Mortality rate(8)	0	%	15	%			Increase					Mortality rate(8)	0	%	15	%			Increase
					Equity volatility curve	18	%	25	%			Decrease					Equity volatility curve	15	%	25	%			Decrease
Liabilities:	Liabilities:												Liabilities:
Market risk benefit liabilities(3)	Market risk benefit liabilities(3)	$	562,922	Discounted cash flow	Lapse rate(4)	1	%	20	%			Decrease	Market risk benefit liabilities(3)	$	533,855	Discounted cash flow	Lapse rate(4)	1	%	20	%			Decrease
					Spread over SOFR(5)	0.52	%	2.20	%			Decrease					Spread over SOFR(5)	0.57	%	2.26	%			Decrease
					Utilization rate(6)	38	%	95	%			Increase					Utilization rate(6)	38	%	95	%			Increase
					Withdrawal rate	See table footnote (7) below.											Withdrawal rate	See table footnote (7) below.
					Mortality rate(8)	0	%	15	%			Decrease					Mortality rate(8)	0	%	15	%			Decrease
					Equity volatility curve	18	%	25	%			Increase					Equity volatility curve	15	%	25	%			Increase
Policyholders' account balances(9)	Policyholders' account balances(9)	$	127,032	Discounted cash flow	Lapse rate(4)	1	%	80	%			Decrease	Policyholders' account balances(9)	$	160,503	Discounted cash flow	Lapse rate(4)	1	%	80	%			Decrease
					Spread over SOFR(5)	0.27	%	2.34	%			Decrease					Spread over SOFR(5)	0.57	%	2.32	%			Decrease
					Mortality rate(8)	0	%	23	%			Decrease					Mortality rate(8)	0	%	23	%			Decrease
					Equity volatility curve	14	%	30	%			Increase					Equity volatility curve	10	%	27	%			Increase
					Option budget(10)	(2)	%	6	%			Increase					Option budget(10)	(1)	%	6	%			Increase

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


		December 31, 2022												December 31, 2022
		Fair Value		Valuation Techniques	Unobservable Inputs	Minimum		Maximum		Weighted Average		Impact of Increase in Input on Fair Value(1)		Fair Value		Valuation Techniques	Unobservable Inputs	Minimum		Maximum		Weighted Average		Impact of Increase in Input on Fair Value(1)
		(in thousands)												(in thousands)
Assets:	Assets:												Assets:
Corporate securities(2)	Corporate securities(2)	$	3,803	Discounted cash flow	Discount rate	10.18	%	10.18	%	10.18	%	Decrease	Corporate securities(2)	$	3,803	Discounted cash flow	Discount rate	10.18	%	10.18	%	10.18	%	Decrease
Commercial mortgage-backed securities	Commercial mortgage-backed securities	$	20,701	Discounted cash flow	Liquidity premium	60	%	75	%	69.05	%	Decrease	Commercial mortgage-backed securities	$	20,701	Discounted cash flow	Liquidity premium	60	%	75	%	69.05	%	Decrease
Market risk benefit assets(3)		$	558,624	Discounted cash flow	Lapse rate(4)	1	%	20	%			Increase
Market risk benefit assets(3)(11)													Market risk benefit assets(3)(11)	$	558,624	Discounted cash flow	Lapse rate(4)	1	%	20	%			Increase
					Spread over SOFR(5)	0.51	%	2.14	%			Increase					Spread over SOFR(5)	0.50	%	2.20	%			Increase
					Utilization rate(6)	38	%	95	%			Decrease					Utilization rate(6)	38	%	95	%			Decrease
					Withdrawal rate	See table footnote (7) below.											Withdrawal rate	See table footnote (7) below.
					Mortality rate(8)	0	%	15	%			Increase					Mortality rate(8)	0	%	15	%			Increase
					Equity volatility curve	18	%	28	%			Decrease					Equity volatility curve	18	%	26	%			Decrease
Liabilities:	Liabilities:												Liabilities:
Market risk benefit liabilities(3)		$	558,624	Discounted cash flow	Lapse rate(4)	1	%	20	%			Decrease
Market risk benefit liabilities(3)(11)													Market risk benefit liabilities(3)(11)	$	558,624	Discounted cash flow	Lapse rate(4)	1	%	20	%			Decrease
					Spread over SOFR(5)	0.51	%	2.14	%			Decrease					Spread over SOFR(5)	0.50	%	2.20	%			Decrease
					Utilization rate(6)	38	%	95	%			Increase					Utilization rate(6)	38	%	95	%			Increase
					Withdrawal rate	See table footnote (7) below.											Withdrawal rate	See table footnote (7) below.
					Mortality rate(8)	0	%	15	%			Decrease					Mortality rate(8)	0	%	15	%			Decrease
					Equity volatility curve	18	%	28	%			Increase					Equity volatility curve	18	%	26	%			Increase
Policyholders' account balances(9)	Policyholders' account balances(9)	$	108,144	Discounted cash flow	Lapse rate(4)	1	%	6	%			Decrease	Policyholders' account balances(9)	$	108,144	Discounted cash flow	Lapse rate(4)	1	%	6	%			Decrease
					Spread over SOFR(5)	0.17	%	0.66	%			Decrease					Spread over SOFR(5)	0.53	%	2.26	%			Decrease
					Mortality rate(8)	0	%	23	%			Decrease					Mortality rate(8)	0	%	23	%			Decrease
					Equity volatility curve	18	%	28	%			Increase					Equity volatility curve	18	%	28	%			Increase

(1)Conversely, the impact of a decrease in input would have the opposite impact on fair value as that presented in the table.

(2)Includes assets classified as fixed maturities available-for-sale.

(3)Market risk benefits primarily represent fair value for all living benefit guarantees including accommodation, withdrawal and income benefits. Since the valuation methodology for these assets and liabilities uses a range of inputs that vary at the contract level over the cash flow projection period, presenting a range, rather than weighted average, is a more meaningful representation of the unobservable inputs used in the valuation.

(4)Lapse rates for contracts with living benefit guarantees are adjusted at the contract level based on the in-the-moneyness of the living benefit and reflect other factors, such as the applicability of any surrender charges. Lapse rates are reduced when contracts are more in-the-money. Lapse rates for contracts with index-linked crediting guarantees may be adjusted at the contract level based on the applicability of any surrender charges, product type, and market related factors such as interest rates. Lapse rates are also generally assumed to be lower for the period where surrender charges apply. For any given contract, lapse rates vary throughout the period over which cash flows are projected for the purposes of valuing these embedded derivatives.

(5)The spread over the Secured Overnight Financing Rate (“SOFR”) swap curve and the London Inter-Bank Offered Rate (“LIBOR”) swap curve represents the premium added to the proxy for the risk-free rate (SOFR or LIBOR, as applicable) to reflect the Company’s estimates of rates that a market participant would use to value the living benefits in both the accumulation and payout phases and index-linked interest crediting guarantees as of ~~March 31,~~June 30, 2023 and December 31, 2022, respectively. This spread includes an estimate of NPR, which is the risk that the obligation will not be fulfilled by the Company. NPR is primarily estimated by utilizing the credit spreads associated with issuing funding agreements, adjusted for any illiquidity risk premium. In order to reflect the financial strength ratings of the Company, credit spreads associated with funding agreements, as opposed to credit spread associated with debt, are utilized in developing this estimate because funding agreements, living benefit guarantees, and index-linked interest crediting guarantees are insurance liabilities and are therefore senior to debt.

(6)The utilization rate assumption estimates the percentage of contracts that will utilize the benefit during the contract duration and begin lifetime withdrawals at various time intervals from contract inception. The remaining contractholders are assumed to either begin lifetime withdrawals immediately or never utilize the benefit. Utilization assumptions may vary by product type, tax status and age. The impact of changes in these assumptions is highly dependent on the product type, the age of the contractholder at the time of the sale, and the timing of the first lifetime income withdrawal. Range reflects the utilization rate for the vast majority of business with living benefits.

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

(7)The withdrawal rate assumption estimates the magnitude of annual contractholder withdrawals relative to the maximum allowable amount under the contract. These assumptions vary based on the age of the contractholder, the tax status of the contract and the duration since the contractholder began lifetime withdrawals. As of ~~both March 31,~~June 30, 2023 and December 31, 2022, the minimum withdrawal rate assumption is 81% and 77%, respectively. As of June 30, 2023 and December 31, 2022, the maximum withdrawal rate assumption may be greater than 100%. The fair value of the liability will generally increase the closer the withdrawal rate is to 100% and decrease as the withdrawal rate moves further away from 100%.

(8)The range reflects the mortality rates for the vast majority of business with living benefits and other contracts, with policyholders ranging from 50 to 90 years old. While the majority of living benefits have a minimum age requirement, certain other contracts do not have an age restriction. This results in contractholders with mortality rates approaching 0% for certain benefits. Mortality rates may vary by product, age, and duration. A mortality improvement assumption is also incorporated into the overall mortality table.

(9)Policyholders’ account balances primarily represent general account liabilities for the index-linked interest credited on certain of the Company’s life and annuity products that are accounted for as embedded derivatives. Since the valuation methodology for these liabilities uses a range of inputs that vary at the contract level over the cash flow projection period, presenting a range, rather than weighted average, is a more meaningful representation of the unobservable inputs used in the valuation.

(10)Option budget estimates the expected long-term cost of options used to hedge exposures associated with equity price and interest rate changes. The level of option budgets determines future costs of the options, which impacts the growth in account value and the valuation of embedded derivatives.

(11)Amounts adjusted for the implementation of ASU 2018-12: Targeted Improvements to the Accounting for Long-Duration Contracts.

Interrelationships Between Unobservable Inputs – In addition to the sensitivities of fair value measurements to changes in each unobservable input in isolation, as reflected in the table above, interrelationships between these inputs may also exist, such that a change in one unobservable input may give rise to a change in another or multiple inputs. Examples of such interrelationships for significant internally-priced Level 3 assets and liabilities are as follows:

Corporate Securities – The rate used to discount future cash flows reflects current risk-free rates plus credit and liquidity spread requirements that market participants would use to value an asset. The discount rate may be influenced by many factors, including market cycles, expectations of default, collateral, term, and asset complexity. Each of these factors can influence discount rates, either in isolation, or in response to other factors. During weaker economic cycles, as the expectations of default increases, credit spreads widen, which results in a decrease in fair value.

Commercial Mortgage-backed Securities – Interrelationships may exist between the prepayment rate, the default rate and/ or loss severity, depending on specific market conditions. In stronger economic cycles, prepayment rates are generally driven by underlying property appreciation and subsequent cash-out refinances, while default rates and loss severity may be lower. During weaker economic cycles, prepayment rates may decline, while default rates and loss severity increase. Generally, a change in the assumption used for the probability of default would have been accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates. The impact of these factors on average life and economics varies with the deal structure and tranche subordination.

Market Risk Benefits – The Company expects efficient benefit utilization and withdrawal rates to generally be correlated with lapse rates. However, behavior is generally highly dependent on the facts and circumstances surrounding the individual contractholder, such as their liquidity needs or tax situation, which could drive lapse behavior independent of other contractholder behavior assumptions. To the extent more efficient contractholder behavior results in greater in-the-moneyness at the contract level, lapse rates may decline for those contracts. Similarly, to the extent that increases in equity volatility are correlated with overall declines in the capital markets, lapse rates may decline as contracts become more in-the-money.

Changes in Level 3 Assets and Liabilities – The following tables describe changes in fair values of Level 3 assets and liabilities as of the dates indicated, as well as the portion of gains or losses included in income attributable to unrealized gains or losses related to those assets and liabilities still held at the end of their respective ~~periods.~~periods (excluding MRBs disclosed in Note 10). When a determination is made to classify assets and liabilities within Level 3, the determination is based on significance of the unobservable inputs in the overall fair value measurement. All transfers are based on changes in the observability of the valuation inputs, including the availability of pricing service information that the Company can validate. Transfers into Level 3 are generally the result of unobservable inputs utilized within valuation methodologies and the use of indicative broker quotes for assets that were previously valued using observable inputs. Transfers out of Level 3 are generally due to the use of observable inputs in valuation methodologies as well as the availability of pricing service information for certain assets that the Company can validate.

Table of Contents


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


		Three Months Ended March 31, 2023(5)																							Three Months Ended June 30, 2023(5)(6)
		Fair Value, beginning of period		Total realized and unrealized gains (losses)		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(1)			Fair Value, beginning of period		Total realized and unrealized gains (losses)		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(1)
		(in thousands)																							(in thousands)
Fixed maturities, available-for-sale:	Fixed maturities, available-for-sale:																							Fixed maturities, available-for-sale:

Corporate securities(2)	Corporate securities(2)	$	3,803	$	(36)	$	3,644	$	0	$	0	$	(3,835)	$	0	$	0	$	0	$	3,576	$	(37)	Corporate securities(2)	$	3,576	$	22	$	8,995	$	0	$	0	$	(14)	$	0	$	0	$	0	$	12,579	$	(21)
Structured securities(3)	Structured securities(3)	20,701		(733)		0		0		0		(87)		0		0		0		19,881		(720)		Structured securities(3)	19,881		82		0		0		0		(125)		0		0		0		19,838		93
Other assets:	Other assets:																							Other assets:

Equity securities	Equity securities	4,291		3		0		0		0		0		0		0		0		4,294		3		Equity securities	4,294		122		0		0		0		0		0		0		0		4,416		122

Reinsurance recoverable		0		1,357		0		0		0		0		0		0		0		1,357		1,357
Reinsurance recoverables																								Reinsurance recoverables	1,357		108		0		0		0		0		0		0		0		1,465		108

Liabilities:	Liabilities:																							Liabilities:
Policyholders' account balances(4)	Policyholders' account balances(4)	(108,144)		(10,832)		0		0		(8,056)		0		0		0		0		(127,032)		(13,914)		Policyholders' account balances(4)	(127,032)		(13,916)		0		0		(19,555)		0		0		0		0		(160,503)		(9,227)


		Three Months Ended March 31, 2023(5)													Three Months Ended June 30, 2023(5)
		Total realized and unrealized gains (losses)								Unrealized gains (losses) for assets still held(1)					Total realized and unrealized gains (losses)								Unrealized gains (losses) for assets still held(1)
		Realized investment gains (losses), net		Other income (loss)		Included in other comprehensive income (loss)		Net investment income			Realized investment gains (losses), net		Other income (loss)			Included in other comprehensive income (loss)			Realized investment gains (losses), net		Other income (loss)		Included in other comprehensive income (loss)		Net investment income		Realized investment gains (losses), net		Other income (loss)		Included in other comprehensive income (loss)
		(in thousands)													(in thousands)
Fixed maturities, available-for-sale	Fixed maturities, available-for-sale	$	(2)	$	0	$	(756)	$	(11)		$	0	$	0		$	(757)	Fixed maturities, available-for-sale	$	0	$	0	$	108	$	(4)	$	0	$	0	$	72
Other assets:	Other assets:																	Other assets:

Equity securities	Equity securities	0		3		0		0			0		3			0		Equity securities	0		122		0		0		0		122		0

Reinsurance recoverable		1,357		0		0		0			1,357		0			0
Reinsurance recoverables																		Reinsurance recoverables	108		0		0		0		108		0		0

Liabilities:	Liabilities:																	Liabilities:
Policyholders' account balances	Policyholders' account balances	(10,832)		0		0		0			(13,914)		0			0		Policyholders' account balances	(13,916)		0		0		0		(9,227)		0		0


	Six Months Ended June 30, 2023(5)(6)
	Fair Value, beginning of period		Total realized and unrealized gains (losses)		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(1)
	(in thousands)
Fixed maturities, available-for-sale:


Corporate securities(2)	$	3,803	$	(14)	$	12,639	$	0	$	0	$	(3,849)	$	0	$	0	$	0	$	12,579	$	(58)
Structured securities(3)	20,701		(651)		0		0		0		(212)		0		0		0		19,838		(627)
Other assets:

Equity securities	4,291		125		0		0		0		0		0		0		0		4,416		125



Reinsurance recoverables	0		1,465		0		0		0		0		0		0		0		1,465		1,465

Liabilities:
Policyholders' account balances(4)	(108,144)		(24,748)		0		0		(27,611)		0		0		0		0		(160,503)		(22,086)

4649

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

Three Months Ended March 31, 2022(5)
Fair Value, beginning of period Total realized and unrealized gains (losses) 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(1)
(in thousands)
Fixed maturities, available-for-sale:
Corporate securities(2) 24,319 (2,864) 0 0 0 (632) 0 0 0 20,823 (2,821)
Structured securities(3) 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 recoverable 0 0 0 0 0 0 0 0 0 0 0
Liabilities:
Policyholders' account balances(4) (153,127) 19,553 0 0 0 2,644 0 0 0 (130,930) 21,607



	Six Months Ended June 30, 2023(5)
	Total realized and unrealized gains (losses)								Unrealized gains (losses) for assets still held(1)
	Realized investment gains (losses), net		Other income (loss)		Included in other comprehensive income (loss)		Net investment income			Realized investment gains (losses), net		Other income (loss)		Included in other comprehensive income (loss)
	(in thousands)
Fixed maturities, available-for-sale	$	(2)	$	0	$	(648)	$	(15)		$	0	$	0	$	(685)
Other assets:

Equity securities	0		125		0		0			0		125		0



Reinsurance recoverables	1,465		0		0		0			1,465		0		0

Liabilities:
Policyholders' account balances	(24,748)		0		0		0			(22,086)		0		0



	Three Months Ended June 30, 2022(5)(6)
	Fair Value, beginning of period		Total realized and unrealized gains (losses)		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(1)
	(in thousands)
Fixed maturities, available-for-sale:


Corporate securities(2)	$	20,823	$	667	$	0	$	0	$	0	$	0	$	0	$	0	$	(18,219)	$	3,271	$	667
Structured securities(3)	24,397		(2,429)		320		0		0		(118)		0		0		0		22,170		(2,419)
Other assets:

Equity securities	5,298		(445)		0		0		0		0		0		0		0		4,853		(445)



Reinsurance recoverables	0		0		0		0		0		0		0		0		0		0		0

Liabilities:
Policyholders' account balances(4)	(130,930)		12,604		0		0		0		5,654		0		0		0		(112,672)		11,430


		Three Months Ended March 31, 2022(5)													Three Months Ended June 30, 2022(5)
		Total realized and unrealized gains (losses)								Unrealized gains (losses) for assets still held(1)					Total realized and unrealized gains (losses)								Unrealized gains (losses) for assets still held(1)
		Realized investment gains (losses), net		Other income (loss)		Included in other comprehensive income (loss)		Net investment income			Realized investment gains (losses), net		Other income (loss)			Included in other comprehensive income (loss)			Realized investment gains (losses), net		Other income (loss)		Included in other comprehensive income (loss)		Net investment income		Realized investment gains (losses), net		Other income (loss)		Included in other comprehensive income (loss)
		(in thousands)													(in thousands)
Fixed maturities, available-for-sale	Fixed maturities, available-for-sale	$	0	$	0	$	(5,661)	$	2		$	0	$	0		$	(5,617)	Fixed maturities, available-for-sale	$	667	$	0	$	(2,418)	$	(11)	$	667	$	0	$	(2,419)
Other assets:	Other assets:																	Other assets:

Equity securities	Equity securities	0		(514)		0		0			0		(514)			0		Equity securities	0		(445)		0		0		0		(445)		0
Reinsurance recoverable		0		0		0		0			0		0			0

Reinsurance recoverables																		Reinsurance recoverables	0		0		0		0		0		0		0

Liabilities:	Liabilities:																	Liabilities:
Policyholders' account balances	Policyholders' account balances	19,553		0		0		0			21,607		0			0		Policyholders' account balances	12,604		0		0		0		11,430		0		0

Table of Contents


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



	Six Months Ended June 30, 2022(5)(6)
	Fair Value, beginning of period		Total realized and unrealized gains (losses)		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(1)
	(in thousands)
Fixed maturities, available-for-sale:


Corporate securities(2)	$	24,319	$	(2,197)	$	0	$	0	$	0	$	(632)	$	0	$	0	$	(18,219)	$	3,271	$	(2,154)
Structured securities(3)	27,274		(5,224)		320		0		0		(200)		0		0		0		22,170		(5,215)
Other assets:

Equity securities	5,812		(959)		0		0		0		0		0		0		0		4,853		(959)



Reinsurance recoverables	0		0		0		0		0		0		0		0		0		0		0

Liabilities:
Policyholders' account balances(4)	(153,127)		32,157		0		0		0		8,298		0		0		0		(112,672)		33,037


	Six Months Ended June 30, 2022(5)
	Total realized and unrealized gains (losses)								Unrealized gains (losses) for assets still held(1)
	Realized investment gains (losses), net		Other income (loss)		Included in other comprehensive income (loss)		Net investment income			Realized investment gains (losses), net		Other income (loss)		Included in other comprehensive income (loss)
	(in thousands)
Fixed maturities, available-for-sale	$	667	$	0	$	(8,079)	$	(9)		$	667	$	0	$	(8,036)
Other assets:

Equity securities	0		(959)		0		0			0		(959)		0



Reinsurance recoverables	0		0		0		0			0		0		0

Liabilities:
Policyholders' account balances	32,157		0		0		0			33,037		0		0

(1)Unrealized gains or losses related to assets still held at the end of the period do not include amortization or accretion of premiums and discounts.

(2)Includes U.S. corporate private securities and foreign corporate private securities.

(3)Includes commercial mortgage-backed securities.

(4)Issuances and settlements for Policyholders' account balances are presented net in the rollforward.

(5)Effective January 1, 2021, Future policy benefits previously included in “changes in level 3 assets and liabilities” are reported in Note 10 Market Risk Benefits.

(6)Excludes MRB assets of $534 million and $645 million and MRB liabilities of $534 million and $645 million for period ending June 30, 2023 and 2022, respectively. See Note 10 for additional information.

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

Fair Value of Financial Instruments

The tables below present the carrying amount and fair value by fair value hierarchy level of certain financial instruments that are not reported at fair value. The financial instruments presented below are reported at carrying value on the Company’s Unaudited Interim Statements of Financial Position. In some cases, as described below, the carrying amount equals or approximates fair value.


		March 31, 2023											June 30, 2023
		Fair Value								Carrying Amount(1)			Fair Value								Carrying Amount(1)
		Level 1		Level 2		Level 3		Total		Total			Level 1		Level 2		Level 3		Total		Total
		(in thousands)											(in thousands)
Assets:	Assets:											Assets:

Commercial mortgage and other loans	Commercial mortgage and other loans	$	0	$	0	$	155,427	$	155,427	$	159,752	Commercial mortgage and other loans	$	0	$	0	$	170,397	$	170,397	$	177,190
Policy loans	Policy loans	0		0		212,479		212,479		212,479		Policy loans	0		0		1,112,432		1,112,432		1,112,432

Short-term investments	Short-term investments	4,000		0		0		4,000		4,000		Short-term investments	4,500		0		0		4,500		4,500
Cash and cash equivalents	Cash and cash equivalents	1,963		0		0		1,963		1,963		Cash and cash equivalents	923		0		0		923		923
Accrued investment income	Accrued investment income	0		31,064		0		31,064		31,064		Accrued investment income	0		36,572		0		36,572		36,572
Reinsurance recoverables	Reinsurance recoverables	0		0		24,462		24,462		26,196		Reinsurance recoverables	0		0		23,550		23,550		25,682
Receivables from parent and affiliates	Receivables from parent and affiliates	0		16,875		0		16,875		16,875		Receivables from parent and affiliates	0		25,002		0		25,002		25,002
Other assets	Other assets	0		3,805		0		3,805		3,805		Other assets	0		2,655		0		2,655		2,655
Total assets	Total assets	$	5,963	$	51,744	$	392,368	$	450,075	$	456,134	Total assets	$	5,423	$	64,229	$	1,306,379	$	1,376,031	$	1,384,956
Liabilities:	Liabilities:											Liabilities:
Policyholders’ account balances - investment contracts	Policyholders’ account balances - investment contracts	$	0	$	165,411	$	34,845	$	200,256	$	201,990	Policyholders’ account balances - investment contracts	$	0	$	158,204	$	33,519	$	191,723	$	193,806

Cash collateral for loaned securities	Cash collateral for loaned securities	0		3,325		0		3,325		3,325		Cash collateral for loaned securities	0		2,996		0		2,996		2,996

Short-term debt to affiliates												Short-term debt to affiliates	0		3		0		3		3

Payables to parent and affiliates	Payables to parent and affiliates	0		9		0		9		9		Payables to parent and affiliates	0		10		0		10		10
Other liabilities	Other liabilities	0		56,513		0		56,513		56,513		Other liabilities	0		45,119		0		45,119		45,119
Total liabilities	Total liabilities	$	0	$	225,258	$	34,845	$	260,103	$	261,837	Total liabilities	$	0	$	206,332	$	33,519	$	239,851	$	241,934

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


		December 31, 2022											December 31, 2022
		Fair Value								Carrying Amount(1)			Fair Value								Carrying Amount(1)
		Level 1		Level 2		Level 3		Total		Total			Level 1		Level 2		Level 3		Total		Total
		(in thousands)											(in thousands)
Assets:	Assets:											Assets:
Commercial mortgage and other loans	Commercial mortgage and other loans	$	0	$	0	$	141,513	$	141,513	$	148,179	Commercial mortgage and other loans	$	0	$	0	$	141,513	$	141,513	$	148,179
Policy loans	Policy loans	0		0		212,063		212,063		212,063		Policy loans	0		0		212,063		212,063		212,063
Short-term investments	Short-term investments	4,000		0		0		4,000		4,000		Short-term investments	4,000		0		0		4,000		4,000
Cash and cash equivalents	Cash and cash equivalents	10,465		0		0		10,465		10,465		Cash and cash equivalents	10,465		0		0		10,465		10,465
Accrued investment income	Accrued investment income	0		25,222		0		25,222		25,222		Accrued investment income	0		25,222		0		25,222		25,222
Reinsurance recoverables	Reinsurance recoverables	0		0		25,127		25,127		27,183		Reinsurance recoverables	0		0		25,127		25,127		27,183
Receivables from parent and affiliates	Receivables from parent and affiliates	0		18,660		0		18,660		18,660		Receivables from parent and affiliates	0		18,660		0		18,660		18,660
Other assets	Other assets	0		3,852		0		3,852		3,852		Other assets	0		3,852		0		3,852		3,852
Total assets	Total assets	$	14,465	$	47,734	$	378,703	$	440,902	$	449,624	Total assets	$	14,465	$	47,734	$	378,703	$	440,902	$	449,624
Liabilities:	Liabilities:											Liabilities:
Policyholders’ account balances - investment contracts	Policyholders’ account balances - investment contracts	$	0	$	180,576	$	36,746	$	217,322	$	219,378	Policyholders’ account balances - investment contracts	$	0	$	180,576	$	36,746	$	217,322	$	219,378
Cash collateral for loaned securities	Cash collateral for loaned securities	0		0		0		0		0		Cash collateral for loaned securities	0		0		0		0		0
Short-term debt to affiliates												Short-term debt to affiliates	0		0		0		0		0
Payables to parent and affiliates	Payables to parent and affiliates	0		3,513		0		3,513		3,513		Payables to parent and affiliates	0		3,513		0		3,513		3,513
Other liabilities	Other liabilities	0		51,312		0		51,312		51,312		Other liabilities	0		51,312		0		51,312		51,312
Total liabilities	Total liabilities	$	0	$	235,401	$	36,746	$	272,147	$	274,203	Total liabilities	$	0	$	235,401	$	36,746	$	272,147	$	274,203

(1)Carrying values presented herein differ from those in the Company’s Unaudited Interim Statements of Financial Position because certain items within the respective financial statement captions are not considered financial instruments or out of scope under authoritative guidance relating to disclosures of the fair value of financial instruments.

6. DEFERRED POLICY ACQUISITION COSTS AND DEFERRED REINSURANCE

Deferred Policy Acquisition Costs

The following tables show a rollforward for the lines of business that contain DAC balances, along with a reconciliation to the Company's total DAC balance:

March 31, 2023
Term Life Variable / Universal Life Total
(in thousands)
Balance, beginning of period $ 70,213 $ 281,661 $ 351,874
   Capitalization 4,007 10,791 14,798
   Amortization expense (1,748) (3,272) (5,020)
   Other 0 3 3
Balance, end of period $ 72,472 $ 289,183 $ 361,655

March 31, 2022
Term Life Variable / Universal Life Total
(in thousands)
Balance, beginning of period $ 62,091 $ 246,653 $ 308,744
   Capitalization 4,228 13,642 17,870
   Amortization expense (1,650) (3,179) (4,829)
   Other 0 (4) (4)
Balance, end of period $ 64,669 $ 257,112 $ 321,781


	Six Months Ended June 30, 2023
	Term Life		Variable / Universal Life		Total
	(in thousands)
Balance, beginning of period	$	70,213	$	281,661	$	351,874
Capitalization	8,675		21,730		30,405
Amortization expense	(3,318)		(6,618)		(9,936)
Other	0		1		1
Balance, end of period	$	75,570	$	296,774	$	372,344

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


	Six Months Ended June 30, 2022
	Term Life		Variable / Universal Life		Total
	(in thousands)
Balance, beginning of period	$	62,091	$	246,653	$	308,744
Capitalization	7,944		25,023		32,967
Amortization expense	(3,349)		(6,213)		(9,562)
Other	0		(4)		(4)
Balance, end of period	$	66,686	$	265,459	$	332,145

Deferred Reinsurance Losses

The following tables show a rollforward of DRL balances for variable annuity products, which is the only line of business that contains a DRL balance, along with a reconciliation to the Company's total DRL balance:


	~~March 31,~~Six Months Ended June 30, 2023
	Variable Annuities
	(in thousands)
Balance, beginning of period	$	17,425

Amortization expense	~~(378)~~(740)

Balance, end of period	$	~~17,047~~16,685


	~~March 31,~~Six Months Ended June 30, 2022
	Variable Annuities
	(in thousands)
Balance, beginning of period	$	18,977

Amortization expense	~~(395)~~(787)

Balance, end of period	$	~~18,582~~18,190

7. SEPARATE ACCOUNTS

The Company issues variable annuity and variable life insurance ~~variable~~ contracts through its separate accounts for which investment income and investment gains and losses accrue directly to, and investment risk is borne by, the contractholder. Most variable annuity and variable life insurance ~~variable~~ contracts are offered with both separate and general account options.

~~The Company also issues variable annuity contracts where the Company contractually guarantees to the contractholder a return of no less than total deposits made to the contract adjusted~~ See Note 9 for any partial withdrawals. In certain of these variable annuity contracts, the Company also contractually guarantees to the contractholder a return of no less than (1) total deposits made to the contract adjusted for any partial withdrawals plus a minimum return, and/or (2) the highest contract value on a specified date adjusted for any withdrawals. These guarantees include benefits that are payable in the event of death, annuitization or at specified dates during the accumulation period and withdrawal and income benefits payable during specified periods.additional information.

The assets supporting the variable portion of variable annuity and variable life insurance ~~variable~~ contracts are carried at fair value and reported as “Separate account assets” with an equivalent amount reported as “Separate account ~~liabilities.”~~liabilities”. The liabilities related to the net amount at risk are reflected within future policy benefits or market risk benefits. Amounts assessed against the contractholders for mortality, administration, and other services are included within revenue in “Policy charges and fee income” and changes in liabilities for minimum guarantees are generally included in “Policyholders’ benefits” or “Realized investment gains (losses), ~~net.”~~net”.

Table of Contents


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

Separate Account Assets

The aggregate fair value of assets, by major investment asset category, supporting separate accounts is as follows:


		March 31, 2023		December 31, 2022			June 30, 2023		December 31, 2022
		(in thousands)					(in thousands)
Asset Type:	Asset Type:					Asset Type:

Mutual funds:	Mutual funds:					Mutual funds:
Equity	Equity	$	7,642,559	$	7,430,452	Equity	$	8,027,161	$	7,430,452
Fixed Income	Fixed Income	4,139,655		3,973,001		Fixed Income	3,969,001		3,973,001
Other	Other	670,384		611,170		Other	692,089		611,170

Other invested assets	Other invested assets	1,961,083		1,912,335		Other invested assets	1,078,095		1,912,335

Total	Total	$	14,413,681	$	13,926,958	Total	$	13,766,346	$	13,926,958

For the six months ended June 30, 2023 and year ended December 31, 2022, there were no transfers of assets, other than cash, from the general account to a separate account; therefore, no gains or losses were recorded.

Separate Account Liabilities

The balances of and changes in separate account liabilities as of and for the periods indicated are as follows:


	Six Months Ended June 30, 2023
	Variable Annuities		Variable Life		Total
	(in thousands)
Balance, beginning of period	$	8,928,568	$	4,998,390	$	13,926,958
Deposits	18,998		97,170		116,168
Investment performance	686,380		525,792		1,212,172

Policy charges	(111,432)		(51,014)		(162,446)
Surrenders and withdrawals	(401,647)		(24,808)		(426,455)
Benefit payments	(4,399)		(22,407)		(26,806)
Net transfers (to) from general account(1)	(812)		(878,000)		(878,812)

Other	500		5,067		5,567
Balance, end of period	$	9,116,156	$	4,650,190	$	13,766,346

Cash surrender value(2)	$	8,960,507	$	4,545,287	$	13,505,794

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Table of Contents


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

~~For~~


	Six Months Ended June 30, 2022
	Variable Annuities		Variable Life		Total
	(in thousands)
Balance, beginning of period	$	11,982,322	$	5,940,046	$	17,922,368
Deposits	41,611		99,025		140,636
Investment performance	(2,053,249)		(1,018,134)		(3,071,383)

Policy charges	(124,562)		(50,813)		(175,375)
Surrenders and withdrawals	(409,258)		(20,149)		(429,407)
Benefit payments	(2,097)		(30,723)		(32,820)
Net transfers (to) from general account	(1,199)		(19,926)		(21,125)

Other	518		4,293		4,811
Balance, end of period	$	9,434,086	$	4,903,619	$	14,337,705

Cash surrender value(2)	$	9,231,550	$	4,810,365	$	14,041,915

(1)Variable life includes $900 million of funding for a policy loan to an affiliated irrevocable trust. See Note 14 for additional information.

(2)Represents the ~~periods ended March 31, 2023 and December 31, 2022, there were no transfers~~amount of ~~assets, other than cash, from~~ the ~~general~~contractholder's account ~~to a separate account; therefore, no gains or losses were recorded.~~balances distributable at the balance sheet date less certain surrender charges.

~~Separate Account Liabilities~~

~~The balances of and changes in separate account liabilities are as follows:~~

March 31, 2023
Variable Annuities Variable Life Total
(in thousands)
Balance, beginning of period $ 8,928,568 $ 4,998,390 $ 13,926,958
     Deposits 8,431 43,878 52,309
     Investment performance 439,099 263,521 702,620
     Policy charges (55,991) (25,372) (81,363)
     Surrenders and withdrawals (194,702) (11,989) (206,691)
     Benefit payments (1,378) (9,924) (11,302)
Net transfers (to) from general account 913 28,189 29,102
     Other 397 1,651 2,048
Balance, end of period $ 9,125,337 $ 5,288,344 $ 14,413,681
Cash surrender value(1) $ 8,933,846 $ 5,208,516 $ 14,142,362
(1) Cash surrender value represents the amount of the contractholder's account balances distributable at the balance sheet date less certain surrender charges.

March 31, 2022
Variable Annuities Variable Life Total
(in thousands)
Balance, beginning of period $ 11,982,322 $ 5,940,046 $ 17,922,368
Deposits 24,269 48,156 72,425
Investment performance (776,250) (296,251) (1,072,501)
Policy charges (64,417) (25,566) (89,983)
Surrenders and withdrawals (217,281) (6,875) (224,156)
Benefit payments (1,219) (13,214) (14,433)
Net transfers (to) from general account (2) (12,141) (12,143)
Other 270 2,298 2,568
Balance, end of period $ 10,947,692 $ 5,636,453 $ 16,584,145
Cash surrender value(1) $ 10,707,646 $ 5,561,179 $ 16,268,825
(1) Cash surrender value represents the amount of the contractholder's account balances distributable at the balance sheet date less certain surrender charges.

~~Table of Contents~~


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

8. LIABILITY FOR FUTURE POLICY BENEFITS

Liability for Future Policy Benefits primarily consists of the following sub-components, which are discussed in greater detail below.

•Benefit Reserves;

•Deferred Profit Liability; and

•Additional Insurance Reserves

In 2023, the Company recognized an immaterial impact to net income attributable to the actuarial assumption update for direct and assumed benefit reserves. Additionally, the Company recognized an unfavorable impact to net income attributable to the actuarial assumption update and other refinements for direct and assumed additional insurance reserves, primarily due to unfavorable model refinements, partially offset by favorable updates to economic assumptions, including expected future rates of returns on investments on universal life policies with secondary guarantees.

In 2022, the Company recognized an unfavorable impact to net income attributable to the actuarial assumption update for direct and assumed benefit reserves, primarily due to updates to mortality assumptions on individual term life insurance. Additionally, the Company recognized an unfavorable impact to net income attributable to the actuarial assumption update and other refinements for direct and assumed additional insurance reserves, primarily due to updates to policyholder behavior assumptions on universal life policies with secondary guarantees.

Benefit Reserves

The balances of and changes in Benefit Reserves as of and for the periods indicated consist of the three tables presented below: Present Value of Expected Net Premiums rollforward, Present Value of Expected Future Policy Benefits rollforward, and Net Liability for Future Policy Benefits.

March 31, 2023
Present Value of Expected Net Premiums
Term Life Fixed Annuities Total
(in thousands)
Balance, beginning of period $ 1,416,807 $ 0 $ 1,416,807
Effect of cumulative changes in discount rate assumptions, beginning of period 73,563 0 73,563
Balance at original discount rate, beginning of period 1,490,370 0 1,490,370
Effect of actual variances from expected experience (10,232) (599) (10,831)
Adjusted balance, beginning of period 1,480,138 (599) 1,479,539
Issuances 16,867 710 17,577
Net premiums / considerations collected (43,352) (111) (43,463)
Interest accrual 17,156 0 17,156
Balance at original discount rate, end of period 1,470,809 0 1,470,809
Effect of cumulative changes in discount rate assumptions, end of period (40,753) 0 (40,753)
Balance, end of period $ 1,430,056 $ 0 $ 1,430,056

March 31, 2023
Present Value of Expected Future Policy Benefits
Term Life Fixed Annuities Total
(in thousands)
Balance, beginning of period $ 2,551,191 $ 16,460 $ 2,567,651
Effect of cumulative changes in discount rate assumptions, beginning of period 137,962 1,899 139,861
Balance at original discount rate, beginning of period 2,689,153 18,359 2,707,512
Effect of actual variances from expected experience and other activity (14,462) 183 (14,279)
Adjusted balance, beginning of period 2,674,691 18,542 2,693,233
Issuances 16,867 710 17,577
Interest accrual 32,494 171 32,665
Benefit payments (40,914) (551) (41,465)
Other adjustments (372) 0 (372)
Balance at original discount rate, end of period 2,682,766 18,872 2,701,638
Effect of cumulative changes in discount rate assumptions, end of period (64,374) (1,536) (65,910)
Balance, end of period $ 2,618,392 $ 17,336 $ 2,635,728

5256

Table of Contents


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

March 31, 2023
Net Liability for Future Policy Benefits (Benefit Reserves)
Term Life Fixed Annuities Total
(in thousands)
Balance, end of period, pre-flooring $ 1,188,336 $ 17,336 $ 1,205,672
Flooring impact, end of period 0 0 0
Balance, end of period, post-flooring 1,188,336 17,336 1,205,672
Less: Reinsurance recoverable 1,036,995 17,336 1,054,331
Balance after reinsurance recoverable, end of period, post-flooring $ 151,341 $ 0 $ 151,341


	Six Months Ended June 30, 2023
	Present Value of Expected Net Premiums
	Term Life		Fixed Annuities		Total
	(in thousands)
Balance, beginning of period	$	1,416,807	$	0	$	1,416,807
Effect of cumulative changes in discount rate assumptions, beginning of period	73,563		0		73,563
Balance at original discount rate, beginning of period	1,490,370		0		1,490,370

Effect of assumption update	(152)		0		(152)
Effect of actual variances from expected experience and other activity	(22,641)		(554)		(23,195)
Adjusted balance, beginning of period	1,467,577		(554)		1,467,023
Issuances	39,930		1,953		41,883
Net premiums / considerations collected	(84,676)		(1,399)		(86,075)
Interest accrual	34,182		0		34,182

Balance at original discount rate, end of period	1,457,013		0		1,457,013
Effect of cumulative changes in discount rate assumptions, end of period	(62,821)		0		(62,821)
Balance, end of period	$	1,394,192	$	0	$	1,394,192


	Six Months Ended June 30, 2023
	Present Value of Expected Future Policy Benefits
	Term Life		Fixed Annuities		Total
	(in thousands)
Balance, beginning of period	$	2,551,191	$	16,460	$	2,567,651
Effect of cumulative changes in discount rate assumptions, beginning of period	137,962		1,899		139,861
Balance at original discount rate, beginning of period	2,689,153		18,359		2,707,512

Effect of assumption update	(202)		0		(202)
Effect of actual variances from expected experience and other activity	(28,981)		301		(28,680)
Adjusted balance, beginning of period	2,659,970		18,660		2,678,630
Issuances	39,930		1,952		41,882
Interest accrual	64,902		336		65,238
Benefit payments	(90,205)		(1,119)		(91,324)
Other adjustments	(1,090)		0		(1,090)
Balance at original discount rate, end of period	2,673,507		19,829		2,693,336
Effect of cumulative changes in discount rate assumptions, end of period	(111,116)		(1,994)		(113,110)
Balance, end of period	$	2,562,391	$	17,835	$	2,580,226


	Six Months Ended June 30, 2023
	Net Liability for Future Policy Benefits (Benefit Reserves)
	Term Life		Fixed Annuities		Total
	(in thousands)


Balance, end of period, post-flooring	$	1,168,199	$	17,835	$	1,186,034
Less: Reinsurance recoverable	1,014,262		17,835		1,032,097
Balance after reinsurance recoverable, end of period, post-flooring	$	153,937	$	0	$	153,937

March 31, 2022
Present Value of Expected Net Premiums
Term Life Fixed Annuities Total
(in thousands)
Balance, beginning of period $ 1,641,933 $ 0 $ 1,641,933
Effect of cumulative changes in discount rate assumptions, beginning of period (253,752) 0 (253,752)
Balance at original discount rate, beginning of period 1,388,181 0 1,388,181
Effect of actual variances from expected experience and other activity 3,165 0 3,165
Adjusted balance, beginning of period 1,391,346 0 1,391,346
Issuances 20,680 341 21,021
Net premiums / considerations collected (40,394) (341) (40,735)
Interest accrual 16,119 0 16,119
Balance at original discount rate, end of period 1,387,751 0 1,387,751
Effect of cumulative changes in discount rate assumptions, end of period 120,622 0 120,622
Balance, end of period $ 1,508,373 $ 0 $ 1,508,373

Table of Contents


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


		March 31, 2022							Six Months Ended June 30, 2022
		Present Value of Expected Future Policy Benefits							Present Value of Expected Net Premiums
		Term Life		Fixed Annuities		Total			Term Life		Fixed Annuities		Total
		(in thousands)							(in thousands)
Balance, beginning of period	Balance, beginning of period	$	3,041,562	$	19,314	$	3,060,876	Balance, beginning of period	$	1,641,933	$	0	$	1,641,933
Effect of cumulative changes in discount rate assumptions, beginning of period	Effect of cumulative changes in discount rate assumptions, beginning of period	(561,455)		(1,459)		(562,914)		Effect of cumulative changes in discount rate assumptions, beginning of period	(253,752)		0		(253,752)
Balance at original discount rate, beginning of period	Balance at original discount rate, beginning of period	2,480,107		17,855		2,497,962		Balance at original discount rate, beginning of period	1,388,181		0		1,388,181

Effect of actual variances from expected experience		(706)		196		(510)
Effect of assumption update								Effect of assumption update	174,263		0		174,263
Effect of actual variances from expected experience and other activity								Effect of actual variances from expected experience and other activity	(32,555)		(79)		(32,634)
Adjusted balance, beginning of period	Adjusted balance, beginning of period	2,479,401		18,051		2,497,452		Adjusted balance, beginning of period	1,529,889		(79)		1,529,810
Issuances	Issuances	20,680		341		21,021		Issuances	27,412		614		28,026
Net premiums / considerations collected								Net premiums / considerations collected	(84,791)		(535)		(85,326)
Interest accrual	Interest accrual	30,217		150		30,367		Interest accrual	34,077		0		34,077
Benefit payments		(35,047)		(529)		(35,576)
Other adjustments		(41)		(74)		(115)

Balance at original discount rate, end of period	Balance at original discount rate, end of period	2,495,210		17,939		2,513,149		Balance at original discount rate, end of period	1,506,587		0		1,506,587
Effect of cumulative changes in discount rate assumptions, end of period	Effect of cumulative changes in discount rate assumptions, end of period	285,629		(132)		285,497		Effect of cumulative changes in discount rate assumptions, end of period	6,153		0		6,153
Balance, end of period	Balance, end of period	$	2,780,839	$	17,807	$	2,798,646	Balance, end of period	$	1,512,740	$	0	$	1,512,740


	Six Months Ended June 30, 2022
	Present Value of Expected Future Policy Benefits
	Term Life		Fixed Annuities		Total
	(in thousands)
Balance, beginning of period	$	3,041,562	$	19,314	$	3,060,876
Effect of cumulative changes in discount rate assumptions, beginning of period	(561,455)		(1,459)		(562,914)
Balance at original discount rate, beginning of period	2,480,107		17,855		2,497,962

Effect of assumption update	255,336		0		255,336
Effect of actual variances from expected experience and other activity	(59,036)		295		(58,741)
Adjusted balance, beginning of period	2,676,407		18,150		2,694,557
Issuances	27,412		614		28,026
Interest accrual	63,599		300		63,899
Benefit payments	(77,240)		(1,233)		(78,473)
Other adjustments	(104)		(74)		(178)
Balance at original discount rate, end of period	2,690,074		17,757		2,707,831
Effect of cumulative changes in discount rate assumptions, end of period	30,830		(1,268)		29,562
Balance, end of period	$	2,720,904	$	16,489	$	2,737,393

5358

Table of Contents


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


		March 31, 2022							Six Months Ended June 30, 2022
		Net Liability for Future Policy Benefits (Benefit Reserves)							Net Liability for Future Policy Benefits (Benefit Reserves)
		Term Life		Fixed Annuities		Total			Term Life		Fixed Annuities		Total
		(in thousands)							(in thousands)
Balance, end of period, pre-flooring		$	1,272,466	$	17,807	$	1,290,273
Flooring impact, end of period		6,028		0		6,028

Balance, end of period, post-flooring	Balance, end of period, post-flooring	1,278,494		17,807		1,296,301		Balance, end of period, post-flooring	$	1,208,164	$	16,489	$	1,224,653
Less: Reinsurance recoverable	Less: Reinsurance recoverable	1,112,534		17,807		1,130,341		Less: Reinsurance recoverable	1,060,616		16,489		1,077,105
Balance after reinsurance recoverable, end of period, post-flooring	Balance after reinsurance recoverable, end of period, post-flooring	$	165,960	$	0	$	165,960	Balance after reinsurance recoverable, end of period, post-flooring	$	147,548	$	0	$	147,548

The following tables provide supplemental information related to the balances of and changes in Benefit Reserves included in the disaggregated tables above, on a gross (direct and assumed) basis, as of and for the periods indicated:


		March 31, 2023							Six Months Ended June 30, 2023
		Term Life			Fixed Annuities				Term Life			Fixed Annuities
		(in thousands)							($ in thousands)
Undiscounted expected future gross premiums	Undiscounted expected future gross premiums	$	3,056,399		$	0		Undiscounted expected future gross premiums	$	3,033,319		$	0
Discounted expected future gross premiums (at original discount rate)	Discounted expected future gross premiums (at original discount rate)	$	2,057,345		$	0		Discounted expected future gross premiums (at original discount rate)	$	2,038,752		$	0
Discounted expected future gross premiums (at current discount rate)	Discounted expected future gross premiums (at current discount rate)	$	2,006,982		$	0		Discounted expected future gross premiums (at current discount rate)	$	1,956,995		$	0
Undiscounted expected future benefits and expenses	Undiscounted expected future benefits and expenses	$	4,332,537		$	24,654		Undiscounted expected future benefits and expenses	$	4,318,149		$	25,658
Interest accrual	Interest accrual	$	15,338		$	171		Interest accrual	$	30,719		$	336
Gross premiums	Gross premiums	$	61,365		$	112		Gross premiums	$	120,619		$	1,640
Weighted-average duration of the liability in years (at original discount rate)	Weighted-average duration of the liability in years (at original discount rate)	11			7			Weighted-average duration of the liability in years (at original discount rate)	11			7
Weighted-average duration of the liability in years (at current discount rate)	Weighted-average duration of the liability in years (at current discount rate)	10			6			Weighted-average duration of the liability in years (at current discount rate)	10			6
Weighted-average interest rate (at original discount rate)	Weighted-average interest rate (at original discount rate)	5.31		%	3.61		%	Weighted-average interest rate (at original discount rate)	5.29		%	3.51		%
Weighted-average interest rate (at current discount rate)	Weighted-average interest rate (at current discount rate)	5.07		%	4.98		%	Weighted-average interest rate (at current discount rate)	5.29		%	5.25		%


		March 31, 2022						Six Months Ended June 30, 2022
		Term Life			Fixed Annuities					Term Life			Fixed Annuities
		(in thousands)						($ in thousands)
Undiscounted expected future gross premiums	Undiscounted expected future gross premiums	$	3,307,354		$	0			Undiscounted expected future gross premiums	$	3,079,741		$	0
Discounted expected future gross premiums (at original discount rate)	Discounted expected future gross premiums (at original discount rate)	$	2,192,982		$	0			Discounted expected future gross premiums (at original discount rate)	$	2,074,464		$	0
Discounted expected future gross premiums (at current discount rate)	Discounted expected future gross premiums (at current discount rate)	$	2,396,738		$	0			Discounted expected future gross premiums (at current discount rate)	$	2,086,295		$	0
Undiscounted expected future benefits and expenses	Undiscounted expected future benefits and expenses	$	4,023,253		$	23,522			Undiscounted expected future benefits and expenses	$	4,372,316		$	23,325
Interest accrual	Interest accrual	$	14,098		$	150			Interest accrual	$	29,523		$	300
Gross premiums	Gross premiums	$	62,991		$	653			Gross premiums	$	124,503		$	848
Weighted-average duration of the liability in years (at original discount rate)	Weighted-average duration of the liability in years (at original discount rate)	10			7				Weighted-average duration of the liability in years (at original discount rate)	11			7
Weighted-average duration of the liability in years (at current discount rate)	Weighted-average duration of the liability in years (at current discount rate)	11			7				Weighted-average duration of the liability in years (at current discount rate)	11			6
Weighted-average interest rate (at original discount rate)	Weighted-average interest rate (at original discount rate)	5.34		%	3.39		%		Weighted-average interest rate (at original discount rate)	5.37		%	3.42		%
Weighted-average interest rate (at current discount rate)	Weighted-average interest rate (at current discount rate)	3.55		%	3.49		%		Weighted-average interest rate (at current discount rate)	4.64		%	4.52		%

For additional information regarding observable market information and the techniques used to determine the interest rate assumptions seen above, see Note 2.

~~Table of Contents~~


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

For non-participating traditional and limited-payment products, if a cohort is in a loss position where the liability for future policy benefits plus the present value of expected future gross premiums are determined to be insufficient to provide for the present value of expected future policy benefits and non-level claim settlement expenses, then the liability for future policy benefits is adjusted at that time, and thereafter such that all changes, both favorable and unfavorable, in expected benefits resulting from both actual experience deviations and changes in future assumptions are recognized immediately as a gain or loss.

Table of Contents


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

In the first ~~three~~six months of 2023, there was a $3$4 million gain in net income for ~~nonparticipating~~non-participating traditional and limited-payment products, where net premiums exceeded gross premiums for certain issue-year cohorts, ~~mostly~~which was offset by a $3$4 million ~~loss,~~charge, reflecting the impact of ceded reinsurance on the affected cohorts. ~~The favorable impact in the first three months of 2023 is primarily due to favorable mortality experience related to individual term life products.~~

In the first ~~three~~six months of 2022, there was a $2$15 million ~~gain in~~charge to net income for ~~nonparticipating~~non-participating traditional and limited-payment products, where net premiums exceeded gross premiums for certain issue-year cohorts, ~~mostly~~partially offset by a $2$14 million ~~charge,~~gain, reflecting the impact of ceded reinsurance on the affected cohorts. The ~~favorable~~unfavorable impact in the first ~~three~~six months of 2022 is primarily due to ~~favorable mortality experience~~unfavorable assumption updates related to individual term life products.

Deferred Profit Liability

The balances of and changes in Deferred Profit Liability as of and for the periods indicated are as follows:

March 31, 2023 March 31, 2022
Fixed Annuities
(in thousands)
Balance, beginning of period $ 1,684 $ 1,726
Effect of actual variances from expected experience (107) (164)
Adjusted balance, beginning of period 1,577 1,562
Profits deferred 0 309
Interest accrual 13 16
Amortization (45) (52)
Other adjustments 0 (6)
Balance, end of period 1,545 1,829
Less: Reinsurance recoverable 1,545 1,829
Balance after reinsurance recoverable $ 0 $ 0


	Six Months Ended June 30,
	2023		2022
	Fixed Annuities
	(in thousands)
Balance, beginning of period	$	1,684	$	1,726
Effect of actual variances from expected experience and other activity	(290)		(216)
Adjusted balance, beginning of period	1,394		1,510
Profits deferred	231		309
Interest accrual	26		31
Amortization	(93)		(122)
Other adjustments	0		(5)
Balance, end of period	1,558		1,723
Less: Reinsurance recoverable	1,558		1,723
Balance after reinsurance recoverable	$	0	$	0

The following table provides supplemental information related to the balances of and changes in Deferred Profit Liability, included in the disaggregated table above, on a gross (direct and assumed) basis, as of and for the period indicated:


								Six Months Ended June 30,
		March 31, 2023		March 31, 2022				2023		2022
		Fixed Annuities						Fixed Annuities
		(in thousands)				(in thousands)
Revenue(1)	Revenue(1)	$	139	$	(103)		Revenue(1)	$	126	$	4
Interest accrual	Interest accrual	13		16			Interest accrual	26		31

(1)Represents the gross premiums collected in changes in deferred profit liability.

Table of Contents


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

Additional Insurance Reserves

AIR represents the additional liability for annuitization, death, or other insurance benefits, including GMDB and GMIB contract features, that are above and beyond the contractholder's account balance.

The following table shows a rollforward of AIR balances for variable and universal life products for the periods indicated:


	Six Months Ended June 30,
	2023		2022
	(in thousands)
Balance including amounts in AOCI, beginning of period, post-flooring	$	827,478	$	703,968
Flooring impact and amounts in AOCI	91,115		(71,467)

Balance, excluding amounts in AOCI, beginning of period, pre-flooring	918,593		632,501



Effect of assumption update	9,713		180,404
Effect of actual variances from expected experience and other activity	(1,422)		(31,138)
Adjusted balance, beginning of period	926,884		781,767
Assessments collected(1)	39,374		79,478
Interest accrual	15,913		12,426
Benefits paid	(4,958)		(8,258)

Balance, excluding amounts in AOCI, end of period, pre-flooring	977,213		865,413



Flooring impact and amounts in AOCI	(74,643)		(61,173)


Balance, including amounts in AOCI, end of period, post-flooring	902,570		804,240
Less: Reinsurance recoverable	865,078		769,647
Balance after reinsurance recoverable, including amounts in AOCI, end of period	$	37,492	$	34,593

March 31, 2023 March 31, 2022
(in thousands)
Balance including amounts in AOCI, beginning of period, post-flooring $ 827,478 $ 703,968
Flooring impact and amounts in AOCI 91,115 (71,467)
Balance, excluding amounts in AOCI, beginning of period, pre-flooring 918,593 632,501
Effect of actual variances from expected experience and other activity (342) (10,170)
Adjusted balance, beginning of period 918,251 622,331
Assessments collected(1) 14,827 39,441
Interest accrual 7,840 5,339
Benefits paid (3,995) (3,284)
Balance, excluding amounts in AOCI, end of period, pre-flooring 936,923 663,827
Flooring impact and amounts in AOCI (65,818) 14,281
Balance, including amounts in AOCI, end of period, post-flooring 871,105 678,108
Less: Reinsurance recoverable 834,640 643,583
Balance after reinsurance recoverable, including amounts in AOCI, end of period $ 36,465 $ 34,525

(1)Represents the portion of gross assessments required to fund the future policy benefits.

March 31, 2023 March 31, 2022
(in thousands)
Interest accrual $ 7,840 $ 5,339
Gross assessments $ 46,941 $ 92,938
Weighted-average duration of the liability in years (at original discount rate) 28 26
Weighted-average interest rate (at original discount rate) 3.42 % 3.33 %


	Six Months Ended June 30,
	2023			2022

	($ in thousands)
Interest accrual	$	15,913		$	12,426
Gross assessments	$	109,288		$	173,966
Weighted-average duration of the liability in years (at original discount rate)	27			28
Weighted-average interest rate (at original discount rate)	3.42		%	3.78		%

Table of Contents


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

Future Policy Benefits Reconciliation

The following table presents the reconciliation of the ending balances from the above rollforwards, Benefit Reserves, Additional Insurance Reserves, and Deferred Profit Liability including other liabilities, gross of related reinsurance recoverables, to the total liability for Future Policy Benefits as reported on the Company's Unaudited Interim Statements of Financial Position as of the periods indicated:

~~Table of Contents~~


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

March 31, 2023 March 31, 2022
(in thousands)
Benefit reserves, end of period, post-flooring $ 1,205,672 $ 1,296,301
Additional insurance reserves, including amounts in AOCI, end of period, post-flooring 871,105 678,108
Deferred profit liability, end of period, post-flooring 1,545 1,829
Subtotal of amounts disclosed above 2,078,322 1,976,238
Other Future policy benefits reserves(1) 149,309 171,407
Total Future policy benefits $ 2,227,631 $ 2,147,645


		Six Months Ended June 30,
		2023		2022

	(in thousands)
Benefit reserves, end of period, post-flooring		$	1,186,034	$	1,224,653
Deferred profit liability, end of period, post-flooring		1,558		1,723
Additional insurance reserves, including amounts in AOCI, end of period, post-flooring		902,570		804,240
Subtotal of amounts disclosed above		2,090,162		2,030,616
Other Future policy benefits reserves(1)		180,082		164,594
Total Future policy benefits		$	2,270,244	$	2,195,210

(1)Represents balances for which disaggregated rollforward disclosures are not required, including unpaid claims and claims expenses, and incurred but not reported and in course of settlement claim liabilities.

Revenue and Interest Expense

The following tables present revenue and interest expense related to Benefit Reserves, Additional Insurance Reserves, and Deferred Profit Liability, as well as related revenue and interest expense not presented in the above supplemental tables, in the Company's Statement of Operations for the periods indicated:


		March 31, 2023						Six Months Ended June 30, 2023
		Revenues(1)						Revenues(1)
		Fixed Annuities		Term Life		Variable and Universal Life			Total			Fixed Annuities		Term Life		Variable and Universal Life		Total
		(in thousands)						(in thousands)
Benefit reserves	Benefit reserves	$	112	$	61,365	$	0		$	61,477	Benefit reserves	$	1,640	$	120,619	$	0	$	122,259
Deferred profit liability											Deferred profit liability	126		0		0		126
Additional insurance reserves	Additional insurance reserves	0		0		46,941			46,941		Additional insurance reserves	0		0		109,288		109,288
Deferred profit liability		139		0		0			139
Total	Total	$	251	$	61,365	$	46,941		$	108,557	Total	$	1,766	$	120,619	$	109,288	$	231,673

March 31, 2022
Revenues(1)
Fixed Annuities Term Life Variable and Universal Life Total
(in thousands)
Benefit reserves $ 653 $ 62,991 $ 0 $ 63,644
Additional insurance reserves 0 0 92,938 92,938
Deferred profit liability (103) 0 0 (103)
Total $ 550 $ 62,991 $ 92,938 $ 156,479


	Six Months Ended June 30, 2022
	Revenues(1)
	Fixed Annuities		Term Life		Variable and Universal Life		Total
	(in thousands)
Benefit reserves	$	848	$	124,503	$	0	$	125,351
Deferred profit liability	4		0		0		4
Additional insurance reserves	0		0		173,966		173,966
Total	$	852	$	124,503	$	173,966	$	299,321

(1)Represents "Gross premiums" for benefit reserves; "Revenue" for deferred profit liability and "Gross assessments" for additional insurance ~~reserves; and "Revenue" for deferred profit liability.~~reserves.

March 31, 2023
Interest Expense
Fixed Annuities Term Life Variable and Universal Life Total
(in thousands)
Benefit reserves $ 171 $ 15,338 $ 0 $ 15,509
Additional insurance reserves 0 0 7,840 7,840
Deferred profit liability 13 0 0 13
Total $ 184 $ 15,338 $ 7,840 $ 23,362

5762

Table of Contents


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


		March 31, 2022						Six Months Ended June 30, 2023
		Interest Expense						Interest Expense
		Fixed Annuities		Term Life		Variable and Universal Life			Total			Fixed Annuities		Term Life		Variable and Universal Life		Total
		(in thousands)						(in thousands)
Benefit reserves	Benefit reserves	$	150	$	14,098	$	0		$	14,248	Benefit reserves	$	336	$	30,719	$	0	$	31,055
Deferred profit liability											Deferred profit liability	26		0		0		26
Additional insurance reserves	Additional insurance reserves	0		0		5,339			5,339		Additional insurance reserves	0		0		15,913		15,913
Deferred profit liability		16		0		0			16
Total	Total	$	166	$	14,098	$	5,339		$	19,603	Total	$	362	$	30,719	$	15,913	$	46,994


	Six Months Ended June 30, 2022
	Interest Expense
	Fixed Annuities		Term Life		Variable and Universal Life		Total
	(in thousands)
Benefit reserves	$	300	$	29,523	$	0	$	29,823
Deferred profit liability	31		0		0		31
Additional insurance reserves	0		0		12,426		12,426
Total	$	331	$	29,523	$	12,426	$	42,280

Table of Contents


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

9. POLICYHOLDERS' ACCOUNT BALANCES

Policyholders' Account Balances

The balance of and changes in policyholders' account balances as of and for the periods ended are as follows:


	Six Months Ended June 30, 2023

	Variable Annuities			Variable Life / Universal Life			Total
	($ in thousands)
Balance, beginning of period	$	327,124		$	2,084,680		$	2,411,804
Deposits	109,262			109,864			219,126
Interest credited	3,122			29,248			32,370

Policy charges	(72)			(72,638)			(72,710)
Surrenders and withdrawals	(19,356)			(52,878)			(72,234)
Benefit payments	(1,312)			(2,044)			(3,356)
Net transfers (to) from separate account(1)	812			878,000			878,812

Change in market value and other adjustments(2)	6,776			18,228			25,004
Balance, end of period	426,356			2,992,460			3,418,816
Less: Reinsurance and other recoverables(3)	418,986			770,582			1,189,568
Policyholders' account balance net of reinsurance and other recoverables	$	7,370		$	2,221,878		$	2,229,248

Unearned revenue reserve							343,618
Other(4)							47,080
Total Policyholders' account balance							$	3,809,514

Weighted-average crediting rate	1.66		%	2.30		%	2.22		%
Net amount at risk(5)	$	0		$	34,019,813		$	34,019,813
Cash surrender value(6)	$	415,466		$	2,653,822		$	3,069,288

(1) Variable life includes $900 million of funding for a policy loan to an affiliated irrevocable trust. See Note 14 for additional information.

(2) Primarily relates to changes in the value of embedded derivative instruments associated with the indexed options of certain products.

(3) The amount of recoverables related to reinsurance agreements that reduce the risk of the policyholders’ account balances gross liability.

(4) Includes $38 million of fixed annuities account balances.

(5) The net amount at risk calculation includes both general and separate account balances.

(6) Represents the amount of the contractholder's account balances distributable at the balance sheet date less certain surrender charges.

Table of Contents


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


	Six Months Ended June 30, 2022

	Variable Annuities			Variable Life / Universal Life			Total
	($ in thousands)
Balance, beginning of period	$	344,945		$	2,052,065		$	2,397,010
Deposits	933			122,497			123,430
Interest credited	3,104			31,684			34,788

Policy charges	(93)			(72,282)			(72,375)
Surrenders and withdrawals	(9,716)			(68,251)			(77,967)
Benefit payments	(2,198)			1,420			(778)
Net transfers (to) from separate account	1,199			19,926			21,125

Change in market value and other adjustments(1)	0			(32,157)			(32,157)
Balance, end of period	338,174			2,054,902			2,393,076
Less: Reinsurance and other recoverables(2)	334,311			745,131			1,079,442
Policyholders' account balance net of reinsurance and other recoverables	$	3,863		$	1,309,771		$	1,313,634

Unearned revenue reserve							282,229
Other(3)							50,116
Total Policyholders' account balance							$	2,725,421

Weighted-average crediting rate	1.82		%	3.09		%	2.91		%
Net amount at risk(4)	$	0		$	33,000,921		$	33,000,921
Cash surrender value(5)	$	333,810		$	1,718,120		$	2,051,930

(1) Primarily relates to changes in the value of embedded derivative instruments associated with the indexed options of certain products.

(2) The amount of recoverables related to reinsurance agreements that reduce the risk of the policyholders’ account balances gross liability.

(3) Includes $41 million of fixed annuities account balances.

(4) The net amount at risk calculation includes both general and separate account balances.

(5) Represents the amount of the contractholder's account balances distributable at the balance sheet date less certain surrender charges.

The Company issuesvariable life and ~~variable~~ universal life insurance contracts which may also include a “no-lapse guarantee” where the Company contractually guarantees to the contractholder a death benefit even when ~~there~~the account value drops to zero, as long as the “no-lapse guarantee” premium is ~~insufficient value~~paid.

The net amount at risk is generally defined as the current death benefit in excess of the current account balance at the balance sheet date. The Company’s primary risk exposures for these contracts relates to ~~cover monthly~~actual deviations from, or changes to, the assumptions used in the original pricing of these products, including contractholder mortality, contract lapses, and premium pattern, as well as interest rate and equity market returns.

The Company also issues annuity contracts that provide certain death benefit and/or living benefit guarantees and are accounted for as MRBs. See Note 10 for additional information, including the net amount at risk associated with these guarantees.

The balance of account values by range of guaranteed minimum crediting rates and the related range of difference, in basis points, between rates being credited to policyholders and the respective guaranteed minimums are as follows:

Table of Contents


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


	June 30, 2023
Range of Guaranteed Minimum Crediting Rate(1)	At guaranteed minimum		1 -50 bps above guaranteed minimum		51 - 150 bps above guaranteed minimum		Greater than 150 bps above guaranteed minimum		Total
	(in thousands)
Variable Annuities
Less than 1.00%	$	776	$	0	$	0	$	0	$	776
1.00% - 1.99%	186,148		1,588		0		0		187,736
2.00% - 2.99%	1,749		0		0		0		1,749
3.00% - 4.00%	122,047		95		0		0		122,142
Greater than 4.00%	128		0		0		0		128
Total	$	310,848	$	1,683	$	0	$	0	$	312,531
Variable Life / Universal Life
Less than 1.00%	$	0	$	0	$	0	$	602	$	602
1.00% - 1.99%	18,813		0		426,351		22,516		467,680
2.00% - 2.99%	3,837		155,149		181,068		27,727		367,781
3.00% - 4.00%	145,807		384,899		920,853		0		1,451,559
Greater than 4.00%	375,429		0		0		0		375,429
Total	$	543,886	$	540,048	$	1,528,272	$	50,845	$	2,663,051

(1) Excludes contracts without minimum guaranteed crediting rates, such as funds with indexed-linked crediting options.


	June 30, 2022
Range of Guaranteed Minimum Crediting Rate(1)	At guaranteed minimum		1 - 50 bps above guaranteed minimum		51 - 150 bps above guaranteed minimum		Greater than 150 bps above guaranteed minimum		Total
	(in thousands)
Variable Annuities
Less than 1.00%	$	0	$	0	$	0	$	0	$	0
1.00% - 1.99%	197,549		1,599		0		0		199,148
2.00% - 2.99%	1,885		0		0		0		1,885
3.00% - 4.00%	140,189		0		0		0		140,189
Greater than 4.00%	123		0		0		0		123
Total	$	339,746	$	1,599	$	0	$	0	$	341,345
Variable Life / Universal Life
Less than 1.00%	$	1,033	$	0	$	0	$	0	$	1,033
1.00% - 1.99%	45,199		0		95,357		295,379		435,935
2.00% - 2.99%	653		0		186,693		161,827		349,173
3.00% - 4.00%	135,558		3,909		453,363		0		592,830
Greater than 4.00%	359,386		0		0		0		359,386
Total	$	541,829	$	3,909	$	735,413	$	457,206	$	1,738,357

(1) Excludes contracts without minimum guaranteed crediting rates, such as funds with indexed-linked crediting options.

Table of Contents


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

Unearned Revenue Reserve

The balances of and changes in URR as of and for the periods ended are as follows:


	Six Months Ended June 30,
	2023		2022

	Variable Life / Universal Life
	(in thousands)


Balance, beginning of period	$	313,711	$	251,573
Unearned revenue	37,643		37,222
Amortization expense	(7,736)		(6,622)
Other adjustments	0		56

Balance, end of period	343,618		282,229
Less: Reinsurance recoverables	88,604		72,767
Unearned revenue reserve net of reinsurance recoverables	$	255,014	$	209,462

10. MARKET RISK BENEFITS

The following tables show a rollforward of MRB balances for variable annuity products, along with a reconciliation to the Company’s total net MRB positions as of the following dates:


	Six Months Ended June 30, 2023
	Variable Annuities		Less: Reinsured Market Risk Benefits		Total, Net of Reinsurance
	(in thousands)
Balance, beginning of period	$	398,254	$	(398,254)	$	0
Effect of cumulative changes in non-performance risk	163,169		0		163,169
Balance, beginning of period, before effect of changes in non-performance risk	561,423		(398,254)		163,169
Attributed fees collected	54,681		(54,681)		0
Claims paid	(2,665)		2,665		0
Interest accrual	14,242		(14,242)		0
Actual in force different from expected	4,045		(4,045)		0
Effect of changes in interest rates	(72,247)		72,247		0
Effect of changes in equity markets	(112,568)		112,568		0
Effect of assumption update	30,269		(30,269)		0
Issuances	(10,916)		10,916		0
Effect of changes in current period counterparty non-performance risk	0		(7,141)		(7,141)

Balance, end of period, before effect of changes in non-performance risk	466,264		(310,236)		156,028
Effect of cumulative changes in non-performance risk	(156,028)		0		(156,028)


Balance, end of period	$	310,236	$	(310,236)	$	0

Table of Contents


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


	Six Months Ended June 30, 2022
	Variable Annuities		Less: Reinsured Market Risk Benefits		Total, Net of Reinsurance
	(in thousands)
Balance, beginning of period	$	796,913	$	(796,913)	$	0
Effect of cumulative changes in non-performance risk	21,123		0		21,123
Balance, beginning of period, before effect of changes in non-performance risk	818,036		(796,913)		21,123
Attributed fees collected	62,299		(62,299)		0
Claims paid	(318)		318		0
Interest accrual	2,401		(2,401)		0
Actual in force different from expected	4,852		(4,852)		0
Effect of changes in interest rates	(437,192)		437,192		0
Effect of changes in equity markets	277,899		(277,899)		0
Effect of assumption update	(17,430)		17,430		0
Effect of changes in current period counterparty non-performance risk	0		174,828		174,828

Balance, end of period, before effect of changes in non-performance risk	710,547		(514,596)		195,951
Effect of cumulative changes in non-performance risk	(195,951)		0		(195,951)


Balance, end of period	$	514,596	$	(514,596)	$	0

In 2023, the Company recognized an unfavorable impact to net income attributable to the actuarial assumption update for direct market risk benefits, primarily due to updates to policyholder behavior assumptions on certain variable annuities.

In 2022, the Company recognized a favorable impact to net income attributable to the actuarial assumption update for direct market risk benefits, primarily due to updates to mortality and ~~expense charges, whereas otherwise~~policyholder behavior assumptions on certain variable annuities.

The Company issues certain variable annuity insurance contracts where the Company contractually guarantees to the contractholder a return of no less than (1) total deposits made to the contract ~~would typically lapse (“no-lapse guarantee”).~~adjusted for any partial withdrawals plus a minimum return, and/or (2) the highest anniversary contract value on a specified date adjusted for any withdrawals. These guarantees include benefits that are payable in the event of death, annuitization or at specified dates during the accumulation period and withdrawal and income benefits payable during specified periods.

The Company also issues indexed variable annuity contracts for which the return is tied to the return of specific indices where the Company contractually guarantees to the contractholder a return of no less than total deposits made to the contract adjusted for any partial withdrawals upon death. In certain of these indexed variable annuity contracts, the Company also contractually guarantees to the contractholder withdrawal benefits payable during specific periods.

For ~~those~~ guarantees of benefits that are payable in the event of death, the net amount at risk is generally defined as the current guaranteed minimum death benefit in excess of the current account balance at the balance sheet date. The Company’s primary risk exposures for these contracts relates to actual deviations from, or changes to, the assumptions used in the original pricing of these products, including fixed income and equity market returns, contract lapses and contractholder mortality.

For guarantees of benefits that are payable at annuitization, the net amount at risk is generally defined as the present value of the minimum guaranteed annuity payments available to the contractholder determined in accordance with the terms of the contract in excess of the current account balance. The Company’s primary risk exposures for these contracts relates to actual deviations from, or changes to, the assumptions used in the original pricing of these products, including fixed income and equity market returns, timing of annuitization, contract lapses and contractholder mortality.

For guarantees of benefits that are payable at withdrawal, the net amount at risk is generally defined as the present value of the minimum guaranteed withdrawal payments available to the contractholder determined in accordance with the terms of the contract in excess of the current account balance.

Table of Contents


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

For guarantees of accumulation balances, the net amount at risk is generally defined as the guaranteed minimum accumulation balance minus the current account balance. The Company’s primary risk exposures for these contracts relates to actual deviations from, or changes to, the assumptions used in the original pricing of these products, including equity market returns, interest rates, market volatility and contractholder behavior.

~~Table of Contents~~


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

~~The balance of and changes in policyholders' account balances as of and for the periods ended are as follows:~~

March 31, 2023
Variable Annuities Variable Life / Universal Life Total
(in thousands)
Balance, beginning of period $ 327,124 $ 2,084,680 $ 2,411,804
Deposits 25,558 57,220 82,778
Interest credited 2,015 13,972 15,987
Policy charges (40) (36,360) (36,400)
Surrenders and withdrawals (8,163) (29,361) (37,524)
Benefit payments (1,647) (422) (2,069)
Net transfers (to) from separate account (913) (28,189) (29,102)
Change in market value and other adjustments (131) 10,436 10,305
Balance, end of period 343,803 2,071,976 2,415,779
Reinsurance and other recoverables(1) 319,707 765,282 1,084,989
Policyholders' account balance net of reinsurance and other recoverables $ 24,096 $ 1,306,694 $ 1,330,790
Unearned revenue reserve 328,956
Other 47,556
Total Policyholders' account balances $ 2,792,291
Weighted-average crediting rate 2.40 % 2.69 % 2.65 %
Net amount at risk(2) $ 0 $ 33,887,277 $ 33,887,277
Cash surrender value(3) $ 322,593 $ 1,733,643 $ 2,056,236

~~(1) The amount of recoverables related to reinsurance agreements that reduce the risk of the policyholders’ account balances gross liability.~~

~~(2) The net amount at risk calculation includes both general and separate account balances.~~

~~(3) Cash surrender value represents the amount of the contractholder's account balances distributable at the balance sheet date less certain surrender charges.~~

~~Table of Contents~~


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

March 31, 2022
Variable Annuities Variable Life / Universal Life Total
(in thousands)
Balance, beginning of period $ 344,945 $ 2,052,065 $ 2,397,010
Deposits 298 64,070 64,368
Interest credited 1,564 15,441 17,005
Policy charges (48) (36,141) (36,189)
Surrenders and withdrawals (5,197) (34,575) (39,772)
Benefit payments (1,257) 365 (892)
Net transfers (to) from separate account 2 12,141 12,143
Change in market value and other adjustments 0 (19,553) (19,553)
Balance, end of period 340,307 2,053,813 2,394,120
Reinsurance and other recoverables(1) 336,619 738,500 1,075,119
Policyholders' account balance net of reinsurance and other recoverables $ 3,688 $ 1,315,313 $ 1,319,001
Unearned revenue reserve 268,002
Other 50,657
Total Policyholders' account balances $ 2,712,779
Weighted-average crediting rate 1.83 % 3.01 % 2.84 %
Net amount at risk(2) $ 0 $ 32,527,594 $ 32,527,594
Cash surrender value(3) $ 319,207 $ 1,700,247 $ 2,019,454

~~(1) The amount of recoverables related to reinsurance agreements that reduce the risk of the policyholders’ account balances gross liability.~~

~~(2) The net amount at risk calculation includes both general and separate account balances.~~

~~(3) Cash surrender value represents the amount of the contractholder's account balances distributable at the balance sheet date less certain surrender charges.~~

March 31, 2023
Range of Guaranteed Minimum Crediting Rate At guaranteed minimum 1 -50 bps above guaranteed minimum 51 - 150 bps above guaranteed minimum Greater than 150 bps above guaranteed minimum Total
(in thousands)
Variable Annuities
Less than 1.00% $ 1,651 $ 0 $ 0 $ 0 $ 1,651
1.00% - 1.99% 189,516 1,592 0 0 191,108
2.00% - 2.99% 1,784 0 0 0 1,784
3.00% - 4.00% 128,371 116 0 0 128,487
Greater than 4.00% 126 0 0 0 126
Total $ 321,448 $ 1,708 $ 0 $ 0 $ 323,156
Variable and Universal Life
Less than 1.00% $ 0 $ 0 $ 0 $ 640 $ 640
1.00% - 1.99% 17,633 0 148,939 290,129 456,701
2.00% - 2.99% 4,463 15,422 317,044 26,632 363,561
3.00% - 4.00% 150,092 343,976 60,552 0 554,620
Greater than 4.00% 376,561 0 0 0 376,561
Total $ 548,749 $ 359,398 $ 526,535 $ 317,401 $ 1,752,083

~~Table of Contents~~


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

March 31, 2022
Range of Guaranteed Minimum Crediting Rate At guaranteed minimum 1 - 50 bps above guaranteed minimum 51 - 150 bps above guaranteed minimum Greater than 150 bps above guaranteed minimum Total
(in thousands)
Variable Annuities
Less than 1.00% $ 0 $ 0 $ 0 $ 0 $ 0
1.00% - 1.99% 200,629 1,610 0 0 202,239
2.00% - 2.99% 1,901 0 0 0 1,901
3.00% - 4.00% 139,888 0 0 0 139,888
Greater than 4.00% 122 0 0 0 122
Total $ 342,540 $ 1,610 $ 0 $ 0 $ 344,150
Variable and Universal Life
Less than 1.00% $ 1,142 $ 0 $ 0 $ 0 $ 1,142
1.00% - 1.99% 47,280 0 89,655 289,338 426,273
2.00% - 2.99% 671 0 183,982 161,233 345,886
3.00% - 4.00% 140,738 3,741 450,770 0 595,249
Greater than 4.00% 360,973 0 0 0 360,973
Total $ 550,804 $ 3,741 $ 724,407 $ 450,571 $ 1,729,523

~~Unearned Revenue Reserve~~

~~The balance of the changes in URR are as follows:~~


	~~March 31, 2023~~

	~~Variable Life / Universal Life~~
	~~(in thousands)~~


~~Balance, beginning of period~~	$	~~313,711~~
~~Unearned revenue~~	~~19,030~~
~~Amortization expense~~	~~(3,785)~~


~~Balance, end of period~~	~~328,956~~
~~Reinsurance recoverables~~	~~85,048~~
~~Unearned revenue reserve net of reinsurance recoverables~~	$	~~243,908~~


	~~March 31, 2022~~

	~~Variable Life / Universal Life~~
	~~(in thousands)~~


~~Balance, beginning of period~~	$	~~251,573~~
~~Unearned revenue~~	~~19,737~~
~~Amortization expense~~	~~(3,308)~~


~~Balance, end of period~~	~~268,002~~
~~Reinsurance recoverables~~	~~68,241~~
~~Unearned revenue reserve net of reinsurance recoverables~~	$	~~199,761~~

~~Table of Contents~~


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

~~10. MARKET RISK BENEFITS~~

~~The following tables show a rollforward of MRB balances for variable annuity products, along with a reconciliation to the Company’s total net MRB positions as of the following dates:~~

March 31, 2023
Variable Annuities Less: Reinsured Market Risk Benefits Total, Net of Reinsurance
(in thousands)
Balance, beginning of period $ 398,254 $ (398,254) $ 0
Effect of cumulative changes in non-performance risk 163,169 0 163,169
Balance, beginning of period, before effect of changes in non-performance risk 561,423 (398,254) 163,169
Attributed fees collected 27,304 (27,304) 0
Claims paid (1,653) 1,653 0
Interest accrual 7,035 (7,035) 0
Actual in force different from expected 2,229 (2,229) 0
Effect of changes in interest rates 33,851 (33,851) 0
Effect of changes in equity markets (54,966) 54,966 0
Effect of changes in current period counterparty non-performance risk 0 15,728 15,728
Balance, end of period, before effect of changes in non-performance risk 575,223 (396,326) 178,897
Effect of cumulative changes in non-performance risk (178,897) 0 (178,897)
Balance, end of period $ 396,326 $ (396,326) $ 0

March 31, 2022
Variable Annuities Less: Reinsured Market Risk Benefits Total, Net of Reinsurance
(in thousands)
Balance, beginning of period $ 796,913 $ (796,913) $ 0
Effect of cumulative changes in non-performance risk 21,123 0 21,123
Balance, beginning of period, before effect of changes in non-performance risk 818,036 (796,913) 21,123
Attributed fees collected 31,799 (31,799) 0
Claims paid (38) 38 0
Interest accrual 549 (549) 0
Actual in force different from expected 2,255 (2,255) 0
Effect of changes in interest rates (204,292) 204,292 0
Effect of changes in equity markets 71,053 (71,053) 0
Effect of changes in current period counterparty non-performance risk 0 86,828 86,828
Balance, end of period, before effect of changes in non-performance risk 719,362 (611,411) 107,951
Effect of cumulative changes in non-performance risk (107,951) 0 (107,951)
Balance, end of period $ 611,411 $ (611,411) $ 0

~~Table of Contents~~


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

The following table presents accompanying information to the rollforward table above. ~~See Note 9 for information on "Net~~


	June 30, 2023		June 30, 2022
	Variable Annuities
	($ in thousands)
Net amount at risk(1)	$	851,082	$	854,471
Weighted-average attained age of contractholders	69		67

(1)For contracts with multiple benefit features, the highest net amount at ~~risk".~~

March 31, 2023 March 31, 2022
Variable Annuities
($ in thousands)
Net amount at risk $ 877,211 $ 305,180
Weighted-average attained age of contractholders 68 66

risk for each contract is included.

The table below reconciles MRB asset and liability positions as of the following dates:


		March 31, 2023		March 31, 2022			June 30, 2023		June 30, 2022
		Variable Annuities					Variable Annuities
		(in thousands)					(in thousands)
Market risk benefit assets	Market risk benefit assets	$	562,922	$	755,053	Market risk benefit assets	$	533,855	$	644,900
Market risk benefit liabilities	Market risk benefit liabilities	562,922		755,053		Market risk benefit liabilities	533,855		644,900
Net liability	Net liability	$	0	$	0	Net liability	$	0	$	0

11. REINSURANCE

The Company participates in reinsurance with its affiliates Prudential Arizona Reinsurance Captive Company (“PARCC”), Prudential Arizona Reinsurance Term Company (“PAR Term”), Prudential Arizona Reinsurance Universal Company (“PAR U”), Prudential Term Reinsurance Company (“Term Re”) and Dryden Arizona Reinsurance Term Company (“DART”), its parent companies, Pruco Life and Prudential Insurance, as well as third parties. The reinsurance agreements provide risk diversification and additional capacity for future growth, limit the maximum net loss potential, manage statutory capital, and facilitate the Company's capital market hedging program. Life reinsurance is accomplished through various plans of reinsurance, primarily yearly renewable term and coinsurance. Reinsurance ceded arrangements do not discharge the Company as the primary insurer. Ceded balances would represent a liability of the Company in the event the reinsurers were unable to meet their obligations to the Company under the terms of the reinsurance agreements. The Company believes a material reinsurance liability resulting from such inability of reinsurers to meet their obligations is unlikely.

Reserves related to reinsured long-duration contracts are accounted for using assumptions consistent with those used to account for the underlying contracts. Amounts recoverable from reinsurers for long-duration reinsurance arrangements are estimated in a manner consistent with the claim liabilities and policy benefits associated with the reinsured policies. Reinsurance policy charges and fee income ceded for universal life and variable annuity products are accounted for as a reduction of policy charges and fee income. Reinsurance premiums ceded for term insurance products are accounted for as a reduction of premiums.

Change in value of market risk benefits, net of related hedging gain (loss) include the impact of reinsurance agreements, particularly reinsurance agreements involving living benefit guarantees. The Company has entered into a reinsurance agreement to transfer the risk related to living benefit guarantees on variable annuities to Prudential Insurance. These reinsurance agreements are market risk benefits and have been accounted for in the same manner. See Note 4 for additional information related to the accounting for market risk benefits.

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

Reinsurance amounts included in the Company’s Unaudited Interim Statements of Financial Position as of ~~March 31,~~June 30, 2023 and December 31, 2022 were as follows:


		March 31, 2023		December 31, 2022			June 30, 2023		December 31, 2022
		(in thousands)					(in thousands)
Reinsurance recoverables(1)	Reinsurance recoverables(1)	$	3,195,287	$	3,098,248	Reinsurance recoverables(1)	$	3,276,582	$	3,098,248
Policy loans	Policy loans	(23,082)		(22,999)		Policy loans	(23,509)		(22,999)
Deferred policy acquisition costs(1)	Deferred policy acquisition costs(1)	(637,032)		(646,737)		Deferred policy acquisition costs(1)	(629,916)		(646,737)
Deferred sales inducements(1)	Deferred sales inducements(1)	(37,515)		(38,146)		Deferred sales inducements(1)	(36,745)		(38,146)
Market risk benefit assets(1)	Market risk benefit assets(1)	479,624		478,439		Market risk benefit assets(1)	422,045		478,439
Other assets(1)	Other assets(1)	42,256		42,265		Other assets(1)	41,885		42,265
Market risk benefit liabilities(1)	Market risk benefit liabilities(1)	83,298		80,185		Market risk benefit liabilities(1)	111,810		80,185
Other liabilities(1)	Other liabilities(1)	120,976		115,351		Other liabilities(1)	72,925		115,351

(1)Prior period amounts adjusted for the implementation of ASU 2018-12: Targeted Improvements to the Accounting for Long-Duration Contracts.

Reinsurance recoverables by counterparty are broken out below:


		March 31, 2023		December 31, 2022			June 30, 2023		December 31, 2022
		(in thousands)					(in thousands)
Prudential Insurance(1)	Prudential Insurance(1)	$	480,064	$	456,633	Prudential Insurance(1)	$	538,913	$	456,633
PAR U(1)	PAR U(1)	1,611,135		1,575,260		PAR U(1)	1,639,772		1,575,260
PARCC(1)	PARCC(1)	464,565		464,142		PARCC(1)	437,276		464,142
PAR Term(1)	PAR Term(1)	268,770		258,169		PAR Term(1)	275,431		258,169
Term Re(1)	Term Re(1)	252,206		232,796		Term Re(1)	256,758		232,796
DART(1)	DART(1)	85,369		73,702		DART(1)	92,635		73,702
Pruco Life(1)	Pruco Life(1)	31,553		34,720		Pruco Life(1)	33,482		34,720
Unaffiliated	Unaffiliated	1,625		2,826		Unaffiliated	2,315		2,826
Total reinsurance recoverables	Total reinsurance recoverables	$	3,195,287	$	3,098,248	Total reinsurance recoverables	$	3,276,582	$	3,098,248

(1)Prior period amounts adjusted for the implementation of ASU 2018-12: Targeted Improvements to the Accounting for Long-Duration Contracts.

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

Reinsurance amounts, included in the Company’s Unaudited Interim Statements of Operations and Comprehensive Income (Loss) for the three and six months ended ~~March 31,~~June 30, were as follows:


		Three Months Ended March 31,			Three Months Ended June 30,						Six Months Ended June 30,
			2023			2022			2023		2022		2023		2022
			(in thousands)						(in thousands)
Premiums:	Premiums:							Premiums:
Direct(1)	Direct(1)		$	62,583		$	63,330	Direct(1)	$	61,114	$	62,036	$	123,697	$	125,366

Ceded(1)	Ceded(1)		(52,406)			(54,310)		Ceded(1)	(51,548)		(53,785)		(103,954)		(108,095)
Net premiums(1)	Net premiums(1)		10,177			9,020		Net premiums(1)	9,566		8,251		19,743		17,271
Policy charges and fee income:	Policy charges and fee income:							Policy charges and fee income:
Direct(1)	Direct(1)		86,513			95,926		Direct(1)	88,140		94,292		174,653		190,218

Ceded(1)(2)	Ceded(1)(2)		(72,375)			(85,331)		Ceded(1)(2)	(66,797)		(78,015)		(139,172)		(163,346)
Net policy charges and fee income(1)	Net policy charges and fee income(1)		14,138			10,595		Net policy charges and fee income(1)	21,343		16,277		35,481		26,872
Net investment income:	Net investment income:							Net investment income:
Direct	Direct		28,886			24,563		Direct	40,171		25,068		69,057		49,631

Ceded	Ceded		(226)			(194)		Ceded	(197)		(204)		(423)		(398)
Net investment income	Net investment income		28,660			24,369		Net investment income	39,974		24,864		68,634		49,233
Asset administration fees:	Asset administration fees:							Asset administration fees:
Direct	Direct		8,776			10,502		Direct	8,990		9,581		17,766		20,083

Ceded	Ceded		(6,696)			(8,242)		Ceded	(6,720)		(7,471)		(13,416)		(15,713)
Net asset administration fees	Net asset administration fees		2,080			2,260		Net asset administration fees	2,270		2,110		4,350		4,370

Realized investment gains (losses), net:	Realized investment gains (losses), net:							Realized investment gains (losses), net:
Direct(1)	Direct(1)		(9,457)			15,227		Direct(1)	(4,796)		5,002		(14,253)		20,229

Ceded(1)	Ceded(1)		1,159			493		Ceded(1)	179		663		1,338		1,156
Realized investment gains (losses), net(1)	Realized investment gains (losses), net(1)		(8,298)			15,720		Realized investment gains (losses), net(1)	(4,617)		5,665		(12,915)		21,385
Change in value of market risk benefits, net of related hedging gain (loss):	Change in value of market risk benefits, net of related hedging gain (loss):							Change in value of market risk benefits, net of related hedging gain (loss):
Direct(1)	Direct(1)		(13,801)			128,811		Direct(1)	163,290		37,560		149,489		166,371
Ceded(1)	Ceded(1)		(1,927)			(215,639)		Ceded(1)	(140,421)		(125,560)		(142,348)		(341,199)
Net change in value of market risk benefits, net of related hedging gain (loss)(1)	Net change in value of market risk benefits, net of related hedging gain (loss)(1)		(15,728)			(86,828)		Net change in value of market risk benefits, net of related hedging gain (loss)(1)	22,869		(88,000)		7,141		(174,828)
Policyholders’ benefits (including change in reserves):	Policyholders’ benefits (including change in reserves):							Policyholders’ benefits (including change in reserves):
Direct(1)	Direct(1)		107,337			128,710		Direct(1)	114,251		105,463		221,588		234,173

Ceded(1)(3)	Ceded(1)(3)		(88,998)			(114,875)		Ceded(1)(3)	(98,530)		(100,453)		(187,528)		(215,328)
Net policyholders’ benefits (including change in reserves)(1)	Net policyholders’ benefits (including change in reserves)(1)		18,339			13,835		Net policyholders’ benefits (including change in reserves)(1)	15,721		5,010		34,060		18,845
Change in estimates of liability for future policy benefits:	Change in estimates of liability for future policy benefits:							Change in estimates of liability for future policy benefits:
Direct(1)	Direct(1)		(3,917)			(13,818)		Direct(1)	6,116		236,846		2,199		223,028
Ceded(1)	Ceded(1)		2,475			12,641		Ceded(1)	(6,757)		(223,488)		(4,282)		(210,847)
Net change in estimates of liability for future policy benefits(1)	Net change in estimates of liability for future policy benefits(1)		(1,442)			(1,177)		Net change in estimates of liability for future policy benefits(1)	(641)		13,358		(2,083)		12,181
Interest credited to policyholders’ account balances:	Interest credited to policyholders’ account balances:							Interest credited to policyholders’ account balances:
Direct(1)	Direct(1)		18,022			19,797		Direct(1)	21,897		20,669		39,919		40,466

Ceded(1)	Ceded(1)		(7,885)			(8,603)		Ceded(1)	(8,274)		(8,728)		(16,159)		(17,331)
Net interest credited to policyholders’ account balances	Net interest credited to policyholders’ account balances		10,137			11,194		Net interest credited to policyholders’ account balances	13,623		11,941		23,760		23,135
Reinsurance expense allowances and general and administrative expenses, net of capitalization and amortization(1)	Reinsurance expense allowances and general and administrative expenses, net of capitalization and amortization(1)		(32,950)			(37,277)		Reinsurance expense allowances and general and administrative expenses, net of capitalization and amortization(1)	(34,415)		(36,188)		(67,365)		(73,465)

(1)Prior period amounts adjusted for the implementation of ASU 2018-12: Targeted Improvements to the Accounting for Long-Duration Contracts.

~~(2)Includes $(1.2) million and $(1.3) million of unaffiliated activity for the three months ended March 31, 2023 and 2022, respectively.~~

~~(3)Includes $0 million and $(0.1) million of unaffiliated activity for the three months ended March 31, 2023 and 2022, respectively.~~

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

(2)Includes $(1.3) million and $(1.2) million of unaffiliated activity for the three months ended June 30, 2023 and 2022, respectively, and $(2.5) million and $(2.5) million for the six months ended June 30, 2023 and 2022, respectively.

(3)Includes $(1.9) million and $0.0 million of unaffiliated activity for the three months ended June 30, 2023 and 2022, respectively, and $(1.9) million and $(0.1) million for the six months ended June 30, 2023 and 2022, respectively.

The gross and net amounts of life insurance face amount in force as of ~~March 31,~~June 30, 2023 and 2022 were as follows:


		2023		2022			2023		2022
		(in thousands)					(in thousands)
Direct gross life insurance face amount in force	Direct gross life insurance face amount in force	$	154,115,666	$	155,729,264	Direct gross life insurance face amount in force	$	154,260,673	$	154,946,946
Reinsurance ceded	Reinsurance ceded	(139,826,733)		(141,264,004)		Reinsurance ceded	(139,790,450)		(141,076,514)
Net life insurance face amount in force	Net life insurance face amount in force	$	14,288,933	$	14,465,260	Net life insurance face amount in force	$	14,470,223	$	13,870,432

~~Information regarding significant affiliated reinsurance agreements is described below.~~Significant Affiliated Reinsurance Agreements

Prudential Insurance

The Company has a yearly renewable term reinsurance agreement with Prudential Insurance and reinsures the majority of all mortality risks not otherwise reinsured. Effective July 1, 2017, this agreement was terminated for certain new business, primarily Universal Life business, and such business was reinsured to Pruco Life under a yearly renewable term reinsurance agreement. As of January 1, 2020, the remaining portions of new business (specifically Term policies) ceased being reinsured by the Company to Prudential Insurance, and a separate yearly renewable term reinsurance agreement was established with Pruco Life for Term policies.

Effective April 1, 2016, the Company entered into a reinsurance agreement with Prudential Insurance to reinsure its variable annuity base contracts, along with the living benefit guarantees. As of December 31, 2020, the Company discontinued the sales of traditional variable annuities with guaranteed living benefit riders. This discontinuation has no impact on the reinsurance agreement between Prudential Insurance and the Company. Effective February 1, 2023, PLNJ began selling indexed variable annuities products, which is reinsured to Prudential Insurance through the existing reinsurance agreement. The reinsurance of the indexed variable annuities transfers all significant risks, including mortality risk, embedded in the reinsured contracts to Prudential Insurance. As a result of the agreement, reinsurance payables includes the ceded modified coinsurance arrangement, which reflects the value of the invested assets retained by the Company and the associated asset returns.

PAR U

Effective July 1, 2012, the Company reinsures an amount equal to 95% of all risks associated with Universal Protector policies having no-lapse guarantees as well as certain of its universal policies, with effective dates through December 31, 2019, excluding those policies that are subject to principle-based reserving.

PARCC

The Company reinsures 90% of the risks under its term life insurance policies, with effective dates prior to January 1, 2010 through an automatic coinsurance agreement with PARCC.

PAR Term

The Company reinsures 95% of the risks under its term life insurance policies, with effective dates January 1, 2010 through December 31, 2013, through an automatic coinsurance agreement with PAR Term.

Term Re

The Company reinsures 95% of the risks under its term life insurance policies, with effective dates on or after January 1, 2014 through December 31, 2017, through an automatic coinsurance agreement with Term Re.

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

Pruco Life

Effective July 1, 2017, the Company entered into a yearly renewable term reinsurance agreement with Pruco Life for new business, primarily covering Universal Life policies. Effective January 1, 2020, the Company entered in a similar yearly renewable term reinsurance agreement with Pruco Life for new business relating to Term policies. Under these agreements the majority of all mortality risk is ceded to Pruco Life. The Company also reinsures certain Corporate Owned Life Insurance (“COLI”) policies with Pruco Life. Through March 31, 2016, the Company reinsured Prudential Defined Income ("PDI") living benefit guarantees with Pruco Life. Effective April 1, 2016, the Company recaptured PDI living benefit guarantees from Pruco Life and reinsured them, together with the related variable annuity base contracts, with Prudential Insurance.

DART

Effective January 1, 2018, the Company entered into an automatic coinsurance agreement with DART to reinsure an amount equal to 95% of the risks associated with its term life insurance policies, with effective dates on or after January 1, 2018 through December 31, 2019, excluding those policies that are subject to principle-based reserving.

12. INCOME TAXES

The Company uses a full year projected effective tax rate approach to calculate year-to-date taxes. In determining the full year projected tax rate, the Company considers the realizability of deferred tax assets, including those associated with unrealized investment losses, and has determined based upon the weight of available evidence that no valuation allowance is necessary related to unrealized investment losses. In addition, certain items impacting total income tax expense are recorded in the periods in which they occur. The projected effective tax rate is the ratio of projected “Income tax expense (benefit)” divided by projected “Income (loss) from operations before income taxes". The interim period tax expense (or benefit) is the difference between the year-to-date income tax provision and the amounts reported for the previous interim periods of the fiscal year.

The Company's income tax provision amounted to an income tax ~~benefit~~expense of ~~$(1.4)~~$3.5 million, or ~~12.17%~~12.05% of income (loss) from operations before income taxes in the first ~~three~~six months of 2023, compared to ~~$(19.9)~~an income tax benefit of $(43.3) million, or ~~30.19%~~29.98%, in the first ~~three~~six months of 2022. The Company’s current and prior effective tax rates differed from the U.S. statutory tax rate of 21% primarily due to non-taxable investment income and tax credits.

Inflation Reduction Act. On August 16, 2022, President Biden signed into law the Inflation Reduction Act of 2022 (the “Inflation Reduction Act”). One of the most significant provisions of the Inflation Reduction Act is a 15% alternative minimum tax based on the Company’s GAAP income, with certain adjustments. This provision which is applicable only to companies with average applicable financial statement income over $1 billion for any three-year period ending in 2022 or later, is effective in taxable years beginning after December 31, 2022. The impact of the book-income alternative minimum tax, if any, will vary from year to year based on the relationship of the Company’s GAAP income to the Company’s taxable income. Any tax paid pursuant to this provision is available as a tax credit in future years when the Company’s tax rate exceeds the 15% minimum tax threshold.

Table of Contents


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

13. EQUITY

Accumulated Other Comprehensive Income (Loss)

AOCI represents the cumulative OCI items that are reported separate from net income and detailed on the Unaudited Interim Statements of Operations and Comprehensive Income (Loss). The balance of and changes in each component of AOCI as of and for the ~~three~~six months ended ~~March 31,~~June 30, 2023 and 2022, are as follows:

~~Table of Contents~~


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


		Accumulated Other Comprehensive Income (Loss)											Accumulated Other Comprehensive Income (Loss)
		Foreign Currency Translation Adjustment		Net Unrealized Investment Gains (Losses)(1)		Interest Rate Remeasurement of Future Policy Benefits		Gain (loss) from Changes in Non-Performance Risk on Market Risk Benefits		Total Accumulated Other Comprehensive Income (Loss)			Foreign Currency Translation Adjustment		Net Unrealized Investment Gains (Losses)(1)		Interest Rate Remeasurement of Future Policy Benefits		Gain (loss) from Changes in Non-Performance Risk on Market Risk Benefits		Total Accumulated Other Comprehensive Income (Loss)
		(in thousands)											(in thousands)
Balance, December 31, 2022	Balance, December 31, 2022	$	(1,214)	$	(176,386)	$	12,504	$	128,906	$	(36,190)	Balance, December 31, 2022	$	(1,214)	$	(176,386)	$	12,504	$	128,906	$	(36,190)
Change in OCI before reclassifications	Change in OCI before reclassifications	100		39,128		(6,958)		15,727		47,997		Change in OCI before reclassifications	171		14,245		(3,118)		(7,141)		4,157
Amounts reclassified from AOCI	Amounts reclassified from AOCI	0		(361)		0		0		(361)		Amounts reclassified from AOCI	0		(684)		0		0		(684)
Income tax benefit (expense)	Income tax benefit (expense)	(22)		(8,139)		1,463		(3,306)		(10,004)		Income tax benefit (expense)	(78)		(2,806)		654		1,500		(730)
Balance, March 31, 2023		$	(1,136)	$	(145,758)	$	7,009	$	141,327	$	1,442
Balance, June 30, 2023												Balance, June 30, 2023	$	(1,121)	$	(165,631)	$	10,040	$	123,265	$	(33,447)


		Accumulated Other Comprehensive Income (Loss)											Accumulated Other Comprehensive Income (Loss)
		Foreign Currency Translation Adjustment		Net Unrealized Investment Gains (Losses)(1)		Interest Rate Remeasurement of Future Policy Benefits		Gain (loss) from Changes in Non-Performance Risk on Market Risk Benefits		Total Accumulated Other Comprehensive Income (Loss)			Foreign Currency Translation Adjustment		Net Unrealized Investment Gains (Losses)(1)		Interest Rate Remeasurement of Future Policy Benefits		Gain (loss) from Changes in Non-Performance Risk on Market Risk Benefits		Total Accumulated Other Comprehensive Income (Loss)
		(in thousands)											(in thousands)
Balance, December 31, 2021	Balance, December 31, 2021	$	(988)	$	121,075	$	(34,788)	$	16,688	$	101,987	Balance, December 31, 2021	$	(988)	$	121,075	$	(34,788)	$	16,688	$	101,987
Change in OCI before reclassifications	Change in OCI before reclassifications	(67)		(161,382)		22,482		86,829		(52,138)		Change in OCI before reclassifications	(417)		(310,270)		47,735		174,829		(88,123)
Amounts reclassified from AOCI	Amounts reclassified from AOCI	0		1,289		0		0		1,289		Amounts reclassified from AOCI	0		150		0		0		150
Income tax benefit (expense)	Income tax benefit (expense)	16		33,616		(4,722)		(18,232)		10,678		Income tax benefit (expense)	97		65,116		(10,025)		(36,713)		18,475
Balance, March 31, 2022		$	(1,039)	$	(5,402)	$	(17,028)	$	85,285	$	61,816
Balance, June 30, 2022												Balance, June 30, 2022	$	(1,308)	$	(123,929)	$	2,922	$	154,804	$	32,489

(1)Includes cash flow hedges of ~~$13~~$12 million and $0$14 million as of ~~March 31,~~June 30, 2023 and December 31, 2022, respectively, and $7$15 million and ~~$(3)~~$5 million as of ~~March 31,~~June 30, 2022 and December 31, 2021, respectively.

Reclassifications out of Accumulated Other Comprehensive Income (Loss)

Three Months Ended
March 31,
2023 2022
(in thousands)
Amounts reclassified from AOCI(1)(2):
Net unrealized investment gains (losses):
Cash flow hedges - Currency/Interest rate(3) $ 387 $ 670
Net unrealized investment gains (losses) on available-for-sale securities (26) (1,959)
Total net unrealized investment gains (losses)(4) 361 (1,289)
Total reclassifications for the period $ 361 $ (1,289)


	Three Months Ended June 30,				Six Months Ended June 30,
	2023		2022		2023		2022
	(in thousands)
Amounts reclassified from AOCI(1)(2):
Net unrealized investment gains (losses):
Cash flow hedges - Currency/Interest rate(3)	$	357	$	1,415	$	744	$	2,085
Net unrealized investment gains (losses) on available-for-sale securities	(34)		(275)		(60)		(2,235)
Total net unrealized investment gains (losses)(4)	323		1,140		684		(150)
Total reclassifications for the period	$	323	$	1,140	$	684	$	(150)

(1)All amounts are shown before tax.

(2)Positive amounts indicate gains/benefits reclassified out of AOCI. Negative amounts indicate losses/costs reclassified out of AOCI.

(3)See Note 4 for additional information on cash flow hedges.

(4)See table below for additional information on unrealized investment gains (losses), including the impact on DAC and other costs, future policy benefits, policyholders’ account balances and other liabilities.

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

Net Unrealized Investment Gains (Losses)

Net unrealized investment gains (losses) on available-for-sale fixed maturity securities and certain other invested assets and other assets are included in the Company’s Unaudited Interim Statements of Financial Position as a component of AOCI. Changes in these amounts include reclassification adjustments to exclude from OCI those items that are included as part of “Net income (loss)” for a period that had been part of OCI in earlier periods. There are no amounts related to net unrealized investment gains (losses) on available-for-sale fixed maturity securities on which an allowance for credit losses has been recognized as of ~~March 31,~~June 30, 2023. The amounts for the periods indicated below represent all other net unrealized investment gains (losses), are as follows:

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

Balance, December 31, 2022 $ (256,584) $ (83,712) $ 117,070 $ 46,840 $ (176,386)
Net investment gains (losses) on investments arising during the period 48,010 0 0 (10,081) 37,929
Reclassification adjustment for (gains) losses included in net income (361) 0 0 76 (285)
Impact of net unrealized investment (gains) losses 0 22,817 (31,699) 1,866 (7,016)
Balance, March 31, 2023 $ (208,935) $ (60,895) $ 85,371 $ 38,701 $ (145,758)


		Net Unrealized Gains (Losses) on All Other Investments(1)		Other Costs(2)		Future Policy Benefits, Policyholders' Account Balances and Other Liabilities(3)		Income Tax Benefit (Expense)		Accumulated Other Comprehensive Income (Loss) Related To Net Unrealized Investment Gains (Losses)
	(in thousands)
Balance, December 31, 2022		$	(256,584)	$	(83,712)	$	117,070	$	46,840	$	(176,386)
Net investment gains (losses) on investments arising during the period		12,569		0		0		(2,595)		9,974
Reclassification adjustment for (gains) losses included in net income		(684)		0		0		141		(543)



Impact of net unrealized investment (gains) losses		0		14,702		(13,026)		(352)		1,324
Balance, June 30, 2023		$	(244,699)	$	(69,010)	$	104,044	$	44,034	$	(165,631)

(1)Includes cash flow hedges. See Note 4 for information on cash flow hedges.

(2)"Other costs" primarily includes reinsurance recoverables.

(3)"Other liabilities" primarily includes reinsurance payables.

14. RELATED PARTY TRANSACTIONS

The Company has extensive transactions and relationships with Prudential Insurance and other affiliates. Although we seek to ensure that these transactions and relationships are fair and reasonable, it is possible that the terms of these transactions are not the same as those that would result from transactions among unrelated parties.

Expense Charges and Allocations

The majority of the Company’s expenses are allocations or charges from Prudential Insurance or other affiliates. These expenses can be grouped into general and administrative expenses and agency distribution expenses.

The Company’s general and administrative expenses are charged to the Company using allocation methodologies based on business production processes. Management believes that the methodology is reasonable and reflects costs incurred by Prudential Insurance to process transactions on behalf of the Company. The Company operates under service and lease agreements whereby services of officers and employees, supplies, use of equipment and office space are provided by Prudential Insurance. The Company reviews its allocation methodology periodically which it may adjust accordingly. General and administrative expenses include allocations of stock compensation expenses related to a stock-based awards program and a deferred compensation program issued by Prudential Financial. The expense charged to the Company for the stock-based awards program was $0.0 million for both the three months ended ~~March 31,~~June 30, 2023 and 2022, and $0.0 million for both the six months ended June 30, 2023 and 2022. The expense charged to the Company for the deferred compensation program was ~~$0.3~~$0.0 million for both the three months ended ~~March 31,~~June 30, 2023 and 2022, and $0.3 million for both the six months ended June 30, 2023 and 2022.

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

The Company is charged for its share of employee benefit expenses. These expenses include costs for funded and non-funded, non-contributory defined benefit pension plans. Some of these benefits are based on final earnings and length of service while others ~~are~~are based on an account balance, which takes into consideration age, service and earnings during a career. The Company’s share of net expense for the pension plans was ~~$0.3~~$0.2 million and $0.4 million for ~~both~~ the three months ended ~~March 31,~~June 30, 2023 and ~~2022.~~2022, respectively, and $0.5 million and $0.7 million for the six months ended June 30, 2023 and 2022, respectively.

The Company is also charged for its share of the costs associated with welfare plans issued by Prudential Insurance. These expenses include costs ~~related~~related to medical, dental, life insurance and disability. The Company's share of net expense for the welfare plans was ~~$0.4~~$0.3 million and ~~$0.3~~$0.4 million for the three months ended ~~March 31,~~June 30, 2023 and 2022, ~~respectively.~~respectively, and $0.7 million for both the six months ended June 30, 2023 and 2022.

Prudential Insurance sponsors voluntary savings plans for its employee 401(k) plans. The plans provide for salary reduction contributions by employees and matching contributions by the Company of up to 4% of annual salary. The Company’s expense for its share of the voluntary savings plan was ~~$0.2~~$0.1 million and ~~$0.1~~$0.2 million for the three months ended ~~March 31,~~June 30, 2023 and 2022, ~~respectively.~~respectively, and $0.3 million for both the six months ended June 30, 2023 and 2022.

The Company is charged distribution expenses from Prudential's proprietary nationwide sales organization, "Prudential Advisors" through a transfer pricing agreement, which is intended to reflect a market-based pricing arrangement. Prudential Advisors distributes Prudential life insurance, annuities, and investment products with proprietary and non-proprietary product options.

The Company pays commissions and certain other fees to Prudential Annuities Distributors, Inc. (“PAD”) in consideration for PAD’s marketing and underwriting of the Company’s annuity products. Commissions and fees are paid by PAD to broker-dealers who sell the Company’s annuity products. Commissions and fees paid by the Company to PAD were $8$12 million and ~~$12~~$6 million for the three months ended ~~March 31,~~June 30, 2023 and 2022, respectively, and $20 million and $17 million for the six months ended June 30, 2023 and 2022, respectively.

The Company is charged for its share of corporate expenses incurred by Prudential Financial to benefit its businesses, such as advertising, executive oversight, external affairs and philanthropic activity. The Company’s share of corporate expenses was $4 million and $2 million for the three months ended ~~March 31,~~June 30, 2023 and 2022, respectively, and $8 million and $4 million for the six months ended June 30, 2023 and 2022, respectively.

Corporate-Owned Life Insurance

The Company has sold three Corporate-Owned Life Insurance ("COLI") policies to Prudential Insurance and one to Prudential Financial. The cash surrender value included in separate accounts for these COLI policies was ~~$3,070~~$2,281 million at ~~March 31,~~June 30, 2023 and $2,946 million at December 31, 2022. Fees related to these COLI policies were $6 million and $7 million for the three months ended ~~March 31,~~June 30, 2023 and 2022, respectively, and $12 million and $14 million for the six months ended June 30, 2023 and 2022, respectively. The Company retains 10% of the mortality risk associated with these COLI policies up to $0.1 million per individual policy.

In May 2023, the Company funded a policy loan from the Prudential Financial COLI policy noted above in an amount of $900 million to an affiliated irrevocable trust, commonly referred to as a “rabbi trust”, which Prudential Financial created to support certain non-qualified retirement plans. The outstanding balance of the policy loan with the rabbi trust was $898 million as of June 30, 2023. Interest income related to the policy loan was $5 million for both the three and six months ended June 30, 2023.

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

Affiliated Investment Management Expenses

In accordance with an agreement with PGIM, Inc. (“PGIM”), the Company pays investment management expenses to PGIM who acts as investment manager to certain Company general account and separate account assets. Investment management ~~expenses~~expenses paid to PGIM related to this agreement were $0.6 million ~~and $0.7 million~~ for both the three months ended ~~March 31,~~June 30, 2023 and 2022, and $1.2 million and $1.3 million for the six months ended June 30, 2023 and 2022, respectively. These expenses are recorded as “Net investment income” in the Company's Unaudited Interim Statements of Operations and Comprehensive Income (Loss).

Derivative Trades

In its ordinary course of business, the Company enters into OTC derivative contracts with an affiliate, PGF. For these OTC derivative contracts, PGF has a substantially equal and offsetting position with an external counterparty. See Note 4 for additional information.

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

Joint Ventures

The Company has made investments in joint ventures with certain subsidiaries of Prudential Financial. "Other invested assets" includes ~~$52~~$54 million and $51 million of investments in joint ventures as of ~~March 31,~~June 30, 2023 and December 31, 2022, respectively. "Net investment income" related to these ventures includes ~~gains~~gains(losses) of ~~$0.0~~$(0.4) million and ~~$0.5~~$0.7 million for the three months ended ~~March 31,~~June 30, 2023 and 2022, respectively, and $(0.4) million and $1.2 million for the six months ended June 30, 2023 and 2022, respectively.

Affiliated Asset Administration Fee Income

The Company has a revenue sharing agreement with AST Investment Services, Inc. ("ASTISI") and PGIM Investments LLC ("PGIM Investments") whereby the Company receives fee income based on policyholders' separate account balances invested in the Advanced Series Trust. Income received from ASTISI and ~~PGIM~~PGIM Investments related to this agreement was $7 million and $8 million for the three months ended ~~March 31,~~June 30, 2023 and 2022, respectively, and $14 million and $16 million for the six months ended June 30, 2023 and 2022, respectively. These revenues are recorded as “Asset administration fees” in the Company's Unaudited Interim Statements of Operations and Comprehensive Income (Loss).

The Company has a revenue sharing agreement with PGIM Investments, whereby the Company receives fee income based on policyholders' separate account balances invested in The Prudential Series Fund. Income received from PGIM Investments related to this agreement was $2 million for both the three months ended ~~March 31,~~June 30, 2023 and 2022, and $4 million for both the six months ended June 30, 2023 and 2022. These revenues are ~~recorded~~recorded as “Asset administration fees” in the Company’s Unaudited Interim Statements of Operations and Comprehensive Income (Loss).

Affiliated Notes Receivable

Affiliated notes receivable included in “Receivables from parent and affiliates” at ~~March 31,~~June 30, 2023 and December 31, 2022 were as follows:


		Maturity Date		Interest Rates				March 31, 2023		December 31, 2022			Maturity Date		Interest Rates				June 30, 2023		December 31, 2022
								(in thousands)											(in thousands)

U.S. dollar fixed rate notes	U.S. dollar fixed rate notes		2027	0.00%	-	14.85	%	$	700	$	688	U.S. dollar fixed rate notes		2027	0.00%	-	14.85	%	$	0	$	688
Total long-term notes receivable - affiliated(1)	Total long-term notes receivable - affiliated(1)							$	700	$	688	Total long-term notes receivable - affiliated(1)							$	0	$	688

(1)All long-term notes receivable may be called for prepayment prior to the respective maturity dates under specified circumstances. In 2023, the notes receivable as of December 31, 2022 were called prior to the maturity date within 2027.

The affiliated notes receivable shown above are classified as available-for-sale securities and other trading assets carried at fair value. The Company monitors the internal and external credit ratings of these loans and loan performance. The Company also considers any guarantees made by Prudential Insurance for loans due from affiliates.

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

Accrued interest receivable related to these loans was $0.0 million for both ~~March 31,~~June 30, 2023 and December 31, 2022. Revenues related to these loans were $0.0 million for both the three months ended ~~March 31,~~June 30, 2023 and 2022, and $0.0 million for both the six months ended June 30, 2023 and 2022, and are included in “Other income (loss)”.

Affiliated Asset Transfers

The Company participates in affiliated asset trades with parent and sister companies. Book and market value differences for trades with a parent and sister are recognized within "Additional paid-in capital" (“APIC”) and "Realized investment gains (losses), net", respectively. The table below shows affiliated asset trades for the ~~three~~six months ended ~~March 31,~~June 30, 2023 and for the year ended December 31, 2022.


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	August 2022	Purchase	Fixed Maturities	$	21,389	$	19,630	$	(1,390)	$	0	Prudential Insurance	August 2022	Purchase	Fixed Maturities	$	21,389	$	19,630	$	(1,390)	$	0
Prudential Insurance													Prudential Insurance	June 2023	Purchase	Fixed Maturities	$	14,452	$	15,086	$	501	$	0

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

Debt Agreements

The Company is authorized to borrow funds up to $200 million from affiliates to meet its capital and other funding needs. AsThere was $0.0 million and no debt outstanding as of ~~March 31,~~June 30, 2023 and December 31, 2022, ~~there was no debt outstanding.~~respectively.

The total interest expense to the Company related to loans payable to affiliates was $0.1 million and $0.0 million for ~~both~~ the three months ended ~~March 31,~~June 30, 2023 and ~~2022.~~2022, respectively and $0.1 million and $0.0 million for the six months ended June 30, 2023 and 2022, respectively.

Contributed Capital and Dividends

In February 2023, the Company received a capital contribution in the amount of $175 million from Pruco Life. In February, March, September and December 2022, the Company received capital contributions in the amount of $100 million, $2 million, $100 million and $125 million from Pruco Life, respectively.

Through ~~March~~June 2023 and December 2022, the Company did not pay any dividends to Pruco Life.

Reinsurance with Affiliates

As discussed in Note 11, the Company participates in reinsurance transactions with certain affiliates.

15. COMMITMENTS AND CONTINGENT LIABILITIES

Commitments

The Company has made commitments to fund commercial mortgage loans. As of ~~March 31,~~June 30, 2023 and December 31, 2022, the outstanding balances on these commitments were $6$2 million and $15 million, respectively. These amounts do not include unfunded commitments that are not unconditionally cancellable. For related credit exposure, there was no allowance for credit losses as of either ~~March 31,~~June 30, 2023 or December 31, 2022. For the three and six months ended ~~March 31,~~June 30, 2023 and 2022, there was no change in allowance for credit losses. The Company also made commitments to purchase or fund investments, mostly private fixed maturities. As of ~~March 31,~~June 30, 2023 and December 31, 2022, ~~$50~~$82 million and $62 million, respectively, of these commitments were outstanding. These amounts include unfunded commitments that are not unconditionally cancellable. There were no related charges for credit losses for either the three or six months ended ~~March 31,~~June 30, 2023 or 2022.

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

Contingent Liabilities

On an ongoing basis, the Company and its regulators review its operations including, but not limited to, sales and other customer interface procedures and practices, and procedures for meeting obligations to its customers and other parties. These reviews may result in the modification or enhancement of processes or the imposition of other action plans, including concerning management oversight, sales and other customer interface procedures and practices, and the timing or computation of payments to customers and other parties. In certain cases, if appropriate, the Company may offer customers or other parties remediation and may incur charges, including the cost of such remediation, administrative costs and regulatory fines.

The Company is subject to the laws and regulations of states and other jurisdictions concerning the identification, reporting and escheatment of unclaimed or abandoned funds, and is subject to audit and examination for compliance with these requirements.

It is possible that the results of operations or the cash flows of the Company in a particular quarterly or annual period could be materially affected as a result of payments in connection with the matters discussed above or other matters depending, in part, upon the results of operations or cash flows for such period. Management believes, however, that ultimate payments in connection with these matters, after consideration of applicable reserves and rights to indemnification, should not have a material adverse effect on the Company’s financial position.

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

Litigation and Regulatory Matters

The Company is subject to legal and regulatory actions in the ordinary course of its business. Pending legal and regulatory actions include proceedings specific to the Company and proceedings generally applicable to business practices in the industry in which it operates. The Company is subject to class action lawsuits and other litigation involving a variety of issues and allegations involving sales practices, claims payments and procedures, premium charges, policy servicing and breach of fiduciary duty to customers. The Company is also subject to litigation arising out of its general business activities, such as its investments, contracts, leases and labor and employment relationships, including claims of discrimination and harassment, and could be exposed to claims or litigation concerning certain business or process patents. In addition, the Company, along with other participants in the businesses in which it engages, may be subject from time to time to investigations, examinations and inquiries, in some cases industry-wide, concerning issues or matters upon which such regulators have determined to focus. In some of the Company’s pending legal and regulatory actions, parties are seeking large and/or indeterminate amounts, including punitive or exemplary damages. The outcome of litigation or a regulatory matter, and the amount or range of potential loss at any particular time, is often inherently uncertain.

The Company establishes accruals for litigation and regulatory matters when it is probable that a loss has been incurred and the amount of that loss can be reasonably estimated. For litigation and regulatory matters where a loss may be reasonably possible, but not probable, or is probable but not reasonably estimable, no accrual is established, but the matter, if material, is disclosed. The Company estimates that as of ~~March 31,~~June 30, 2023, the aggregate range of reasonably possible losses in excess of accruals established for those litigation and regulatory matters for which such an estimate currently can be made is less than $10 million. This estimate is not an indication of expected loss, if any, or the Company's maximum possible loss exposure on such matters. The Company reviews relevant information with respect to its litigation and regulatory matters on a quarterly and annual basis and updates its accruals, disclosures and estimates of reasonably possible loss based on such reviews.

The following discussion of litigation and regulatory matters provides an update of those matters discussed in Note 1416 to the Company's Financial Statements included in the ~~Company's Annual Report on Form 10-K~~Company’s restated Financial Statements for the year ended December 31, 2022 included as Exhibit 99.1 within the Company's Current Report on Form 8-K filed on July 14, 2023, and should be read in conjunction with the complete descriptions provided ~~in the Form 10-K.~~therein.

There are no material developments in previously reported matters disclosed as of December 31, 2022.

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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,~~June 30, 2023, compared with December 31, 2022, and its results of operations for the three and six months ended ~~March 31,~~June 30, 2023 and 2022. You should read the following analysis of our financial condition and results of operations in conjunction with the MD&A, the ~~“Risk Factors”~~"Risk Factors" section, and the audited Financial Statements included in the ~~Company’s~~Company's Annual Report on Form 10-K for the year ended December 31, 2022, and the MD&A and the restated audited Financial Statements for the year ended December 31, 2022 included as Exhibit 99.1 within the Company's Current Report on Form 8-K filed on July 14, 2023, 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.

In July 2023, the Company entered into an agreement with Somerset Reinsurance Ltd. (“Somerset Re”) to coinsure a closed block of guaranteed universal life policies to the Prudential Universal Reinsurance Entity Company (“PURE”), a newly formed wholly-owned subsidiary of The Prudential Insurance Company of America (“Prudential Insurance”), with retrocession by PURE of such liabilities, on a modified coinsurance basis, to Somerset Re. The deal is expected to close by the end of 2023, subject to receipt of regulatory approvals and the satisfaction of customary closing conditions. We will continue to manage financing related to Guideline AXXX reserves for the business reinsured to Somerset Re; as a result, we anticipate changes to our current captive financing arrangements upon closing of the reinsurance transaction, including an increase in the amount of financing related to Guideline AXXX reserves. See “—Liquidity and Capital Resources—Liquidity—Term and Universal Life Reserve Financing” below for discussion of our current captive financing arrangements.

Impact of Changes in the 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;

•the valuation of fixed income investments and derivative instruments;

•collateral posting requirements, hedging costs and other risk mitigation activities;

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

•insurance reserve levels, including market risk benefits ("MRB"), and market experience true-ups;

•policyholder behavior, including surrender or withdrawal activity; and

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

For additional information regarding interest rate risks, see “Risk Factors—Market Risk” included in our Annual Report on Form 10-K for the year ended December 31, 2022.

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.

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Accounting Policies & Pronouncements

Application of Critical Accounting Estimates

The preparation of financial statements in conformity with generally accepted accounting principles in the United States of America ("U.S. GAAP") requires the application of accounting policies that often involve a significant degree of judgment. Management, on an ongoing basis, reviews the estimates and assumptions used in the preparation of the Company's financial statements. If management determines that modifications to 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.

~~Table of Contents~~

The following sections discuss the accounting policies applied in preparing our financial statements that management believes are most dependent on the application of estimates and assumptions and require management’s most difficult, subjective, or complex judgments.

Insurance Liabilities

Future Policy Benefits

Future Policy Benefit Reserves, including Unpaid Claims and Claim Adjustment Expenses

We establish reserves for future policy benefits to, or on behalf of, policyholders using methodologies prescribed by U.S. GAAP. The reserving methodologies used include the following:

•For ~~most~~some long-duration contracts, we utilize a net premium valuation methodology in measuring the liability for future policy benefits. Under this methodology, the Company accrues a liability for future policy benefits when premium revenue is recognized. The liability represents the present value of expected future benefits to be paid to or on behalf of policyholders and related non-level claim settlement expenses less the present value of expected future net premiums (portion of the gross premium required to provide for all benefits and related non-level claim settlement expenses using current best estimate assumptions). A net-to-gross (“NTG”) ratio is calculated as the ratio of the present value of expected policy benefits and non-level claim settlement expenses divided by the present value of expected gross premiums. The NTG ratio is applied to gross premiums, as premium revenue is recognized, to determine net premiums that are subtracted from the present value of expected benefits and non-level claim settlement expenses to determine the liability for future policy benefits, which cannot be less than zero. The NTG ratio at the cohort measurement unit level cannot exceed 100%, and if it exceeds 100%, the excess benefit expenses are recorded as a charge to current period earnings. The result of the net premium valuation methodology is that the liability at any point in time represents an accumulation of the portion of premiums received to date expected to fund future benefits (i.e., net premiums received to date), less any benefits and expenses already paid. The liability does not necessarily reflect the full policyholder obligation the Company expects to pay at the conclusion of the contract since a portion of that obligation would be funded by net premiums received in the future and would be recognized in the liability at that time. The insurance cash flow ~~assumptions~~projections are updated quarterly to reflect actual experience and are generally updated annually to reflect changes in best estimate future insurance ~~cash flow~~ assumptions using a retrospective unlocking method with the impact recorded through current period earnings. At the time of an experience or best estimate assumption unlocking, a revised NTG ratio is calculated using actual historical cash flow experience and updated, if any, best estimate future cash flow ~~assumptions,~~projections, discounted using the locked-in discount rate. The revised NTG ratio is then applied to prior period ~~cashflows~~cash flows to derive a cumulative catch-up adjustment as of the beginning of the quarter. The revised NTG ratio is then used going forward to accrue the reserve, until the next unlocking. The liability is also remeasured each quarter using a current discount rate, based on an upper medium grade fixed-income instrument yield, with the impact recorded through accumulated other comprehensive income. Expense assumptions included in the liability only include claim related expenses and exclude acquisition costs and non-claim related costs such as costs relating to investments, general administration, policy maintenance, product development, market research, and general overhead. For limited-payment contracts, a deferred profit liability (“DPL”) is established for the amount of gross premiums received in excess of expected net premiums and is amortized into premium income in relation to the discounted amount of insurance in force for life insurance or expected benefit payments for annuity contracts. The DPL is subject to a retrospective unlocking adjustment consistent with the liability for future policy benefits.

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•For certain contract features, such as no-lapse guarantees, a liability is established when associated assessments (which include investment margin on policyholders' account balances in the general account and policy charges for administration, mortality, expense, surrender, and other charges) are recognized. This liability is established using current best estimate assumptions and is based on the ratio of the present value of total expected excess payments (e.g., payments in excess of account value) over the life of the contract divided by the present value of total expected assessments (i.e., benefit ratio). The liability equals the current benefit ratio multiplied by cumulative assessments recognized to date, plus interest, less cumulative excess payments to date. The liability does not necessarily reflect the full policyholder obligation the Company expects to pay at the conclusion of the contract since a portion of that excess payment would be funded by assessments received in the future and would be recognized in the liability at that time. The reserves are subject to adjustments based on annual reviews of assumptions and quarterly adjustments for experience as described below, including market performance. These adjustments reflect the impact on the benefit ratio of using actual historical experience from the issuance date to the balance sheet date plus updated estimates of future experience. The updated benefit ratio is then applied to all prior periods’ assessments to derive an adjustment to the reserve recognized through a benefit or charge to current period earnings.

•For universal life type contracts and participating contracts, the Company performs premium deficiency tests using best estimate assumptions, at a minimum, on an annual basis, and on a quarterly basis for business whose profitability is closely tied to equity market performance. If the current net reserves are less than the best estimate liability, the existing net reserves are adjusted by first reducing the associated deferred sales inducements (“DSI”) by the amount of the deficiency or to zero through a charge to current period earnings. If the deficiency is more than the DSI for insurance contracts, the net reserves are increased by the excess through a charge to current period earnings. Since investment yields are used as the discount rate, the premium deficiency test is also performed using a discount rate based on the market yield (i.e., assuming what would be the impact if any unrealized gains (losses) were realized as of the testing date). In the event that by using the market yield a deficiency occurs, an adjustment is established for the deficiency and is included in ~~AOCI.~~"Accumulated other comprehensive income (loss)" ("AOCI").

Annual assumptions review and quarterly adjustments

The assumptions used in establishing reserves are generally based on the Company’s experience, industry experience and/or other factors, as applicable. We update our actuarial assumptions, such as mortality, morbidity, retirement and policyholder behavior assumptions, annually unless a material change in our own experience or in industry experience made available to us is observed in an interim period that we feel is indicative of a long-term trend. Generally, we do not expect trends to change significantly in the short-term and, to the extent these trends may change, we expect such changes to be gradual over the long-term.

We perform an annual comprehensive review of the assumptions used for estimating future premiums, benefits, and other cash ~~flows. The Company’s assumption updates have been~~flows, including reviews related to mortality, morbidity, lapse, surrender, ~~and~~ other contractholder behavior assumptions, economic assumptions, and ~~revisions to~~ expected future rates of returns on investments. The Company generally looks to relevant Company experience as the primary basis for these assumptions. If relevant Company experience is not available or does not have sufficient credibility, the Company may look to experience of similar blocks of business, either inelsewhere within the Company or within the industry. 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 we feel is indicative of a long-term trend. The impact on our results of operations of changes in these assumptions can be offsetting and we are unable to predict their movement or offsetting impact over time.

The quarterly adjustments for market performance referred to above reflect the impact of changes to our estimate of future rates of returns on investments to reflect actual fund performance and market conditions. A portion of returns on investments for 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 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 life contracts and decrease expected claims to be paid on variable life contracts. The opposite occurs when returns are lower than our expectations.

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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 liabilities for future policy benefits for certain of our products, primarily our domestic 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,~~June 30, 2023, our variable life insurance businesses assume an 8.0% long-term equity expected rate of return and a ~~5.5%~~4.6% near-term mean reversion equity expected rate of return.

With regard to interest rate assumptions used in evaluating 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 ~~2022~~2023 annual reviews and update of assumptions and other refinements, we kept our long-term expectation of the U.S. Treasury rate unchanged and 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. For additional information regarding discount rates used to establish the liability for future policy benefits, see Note 2 to the Unaudited Interim Financial Statements.

Policyholders’ Account Balances

Policyholders’ account balances liability represents the contract value that has accrued to the benefit of the policyholder as of the balance sheet date. This liability is primarily associated with the accumulated account deposits, plus interest credited, less policyholder withdrawals and other charges assessed against the account balance, as applicable. The liability also includes provisions for benefits under non-life contingent payout annuities. Policyholders’ account balances also include amounts representing the fair value of embedded derivative instruments associated with the index-linked features of certain universal life and annuity products. The changes in the fair value of the embedded derivatives, including changes in non-performance risk (“NPR”) are recorded in net income. For additional information regarding the valuation of these embedded derivatives, see Note 5 to the Financial ~~Statements.~~Statements included in the Company’s restated Financial Statements for the year ended December 31, 2022 included as Exhibit 99.1 within the Company's Current Report on Form 8-K filed on July 14, 2023.

Market Risk Benefits

Market risk ~~benefits~~benefit liabilities (or assets) represent contracts or contract features that provide protection to the ~~contract holder~~contractholder and exposes the Company to other than nominal capital market risk. MRBs are primarily related to deferred annuities with guaranteed minimum benefits including guaranteed minimum death benefits (“GMDB”), guaranteed minimum accumulation benefits (“~~GMWB”~~GMAB”), guaranteed minimum withdrawal benefit (“~~GMAB”~~GMWB”) and guaranteed minimum income and withdrawal benefits ("GMIWB”). The liability (or asset) for MRBs is estimated using a fair value measurement methodology. The fair value of these MRBs is based on assumptions a market participant would use in valuing market risk benefits. On a quarterly basis, the fair value of these MRBs is calculated as the present value of expected future benefit payments to ~~contract holders~~contractholders less the present value of expected future rider fees attributable to the market risk benefits. The changes in the fair value of market risk benefits are recorded in net income, net of related hedges, in "Change in value of market risk benefits, net of related hedging gains (losses)", except for the portion of the change attributable to changes in the Company’s own NPR which is recorded in other comprehensive income ("OCI") for the direct and assumed businesses. However, the change in NPR for the ceded MRB will go through net income. The Company estimates that a hypothetical change to its own credit risk of plus 50 and minus 50 basis points would result in a decrease and an increase to net income of $95 million and $105 million, respectively. For additional information regarding the valuation of these MRB features, see Note 10 to the Unaudited Interim Financial Statements.

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Sensitivities for Insurance Assets and Liabilities

The following table summarizes the impact that could result on each of the listed financial statement balances from changes in certain key assumptions. The information below is for illustrative purposes and includes only the hypothetical direct impact on December 31, 2022, balances of changes in a single assumption and not changes in any combination of assumptions. Additionally, the illustration of the insurance assumption impacts below reflects a parallel shift in the insurance assumptions; however, these may be non-parallel in practice. Changes in current assumptions could result in impacts to financial statement balances that are in excess of the amounts illustrated. A description of the estimates and assumptions used in the preparation of each of these financial statement balances is provided above. ~~For traditional long-duration and limited-payment contracts, U.S. GAAP requires~~Changes to the ~~original~~insurance cash flow assumptions ~~used when the contracts~~ are issued to be locked-in and that those assumptions be used in all future liability calculations as long as the resulting liabilities are adequate to provide for the future benefits and expenses (i.e., there is no premium deficiency). Therefore, these products are not reflected in net income through the sensitivity table below unless the hypothetical change in assumption would result in an adverse impact that would cause a premium deficiency. Similarly, the impact of any favorable hypothetical change in assumptionsretrospective unlocking method for traditional long duration, limited-payment and limited-payment contracts is not reflected in the table below given that the current assumption is required to remain locked-in and instead the positive impacts would be recognized into net income over theuniversal life ~~of the policies in force.~~type products.

The impacts presented within this table exclude the impacts of our asset liability management strategy, which seeks to offset the changes in the balances presented within this table and is primarily composed of investments and derivatives. See further below for a discussion of the estimates and assumptions involved with the application of U.S. GAAP accounting policies for these instruments and “Item 3. Quantitative and Qualitative Disclosures about Market Risk” for hypothetical impacts on related balances as a result of changes in certain significant assumptions.


	~~March 31,~~June 30, 2023
	Increase (Decrease) in Net Income due to changes in Future Policy Benefits, Market Risk Benefits(1), and Policyholders' Account Balances, Net of Reinsurance
	(in millions)
Hypothetical change in current assumptions:

Long-term interest rate:
Increase by 25 basis points	$	0
Decrease by 25 basis points	$	0
Long-term equity expected rate of return:
Increase by 50 basis points	$	0
Decrease by 50 basis points	$	0
Mortality:
Increase by 1%	$	5
Decrease by 1%	$	(5)
Lapse(2)(3):
Increase by 10%	$	15
Decrease by 10%	$	(15)

(1)

~~(1)~~ MRB impact reflects the net impact of MRB assets and liabilities prior to hedging.

(2)The lapse sensitivity shocks applied for the post-level premium period for term products are capped at the level where the rates would equal 100% under an increase lapse scenario. The same capped shock levels are also applied for the decrease lapse scenario.

(3)Assumes the same shock across all products; however, we would not expect lapse rates of different products to move uniformly.

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Other Accounting Policies

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

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

•Reinsurance recoverables;

•Taxes on income; and

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

For further discussion of impacts that could result from changes in these key estimates and assumptions, see our restated “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Accounting Policies and Pronouncements—Application of Critical Accounting ~~Estimates—Other Accounting Policies” in our Annual Report on Form 10-K~~Estimates” for the year ended December 31, ~~2022.~~2022 included as Exhibit 99.1 within the Company's Current Report on Form 8-K filed on July 14, 2023.

Adoption of New Accounting Pronouncements

Effective January 1, 2023, the Company adopted ASU 2018-12, Financial Services - Insurance (Topic 944): Targeted Improvements to the Accounting for Long-Duration Contracts. Adoption of this ASU impacted, at least to some extent, the accounting and disclosure requirements for all long-duration insurance and investment contracts issued by the Company and had a significant financial impact on the Financial Statements disclosures. See Note 1 for additional information.

As of the January 1, 2021 transition date, the adoption of the standard resulted in a decrease to “Total equity” of $67 million, primarily from remeasuring in force contract liabilities using upper-medium grade fixed income instrument yields as of the transition date and from other changes in reserves. As of the January 1, 2023 adoption date, the impact amounted to a decrease to "Total equity" of $2 million. The changes in the impacts from January 1, 2021 to January 1, ~~2022~~2023 primarily reflect the increase in market interest rates during 2021 and ~~2023.~~2022. 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 increased ~~$0.8~~$1.2 billion from $20.6 billion at December 31, 2022 to ~~$21.4~~$21.8 billion at ~~March 31,~~June 30, 2023. Significant components were:

•~~Separate account assets~~Total investments increased ~~$0.5~~$1.4 billion primarily driven by ~~favorable equity market performance, partially offset by net outflows;~~an increase in policy loans from variable life contracts and

•~~Total investments increased $0.4 billion primarily driven by~~ an increase in fixed maturity investment from the reinvestment of cash and cash ~~equivalents~~equivalents; and ~~higher unrealized capital gains from lower interest rates.~~

•Separate account assets decreased $0.1 billion primarily driven by separate account transfers to fund variable life contract policy loans, mostly offset by favorable equity market performance.

Total liabilities increased ~~$0.6~~$1.0 billion from $19.6 billion at December 31, 2022 to ~~$20.2~~$20.6 billion at ~~March 31,~~June 30, 2023

•Policyholders' account balances increased $1 billion primarily ~~from the increase in~~ driven by separate account transfers to fund variable life contract policy loans; and

•Separate account liabilities ~~of $0.5~~decreased $0.1 billion corresponding to the ~~increase~~decrease in ~~Separate~~separate account assets, as ~~discussed~~mentioned above.

Total equity increased $0.2 billion from $1.0 billion at December 31, 2022 to $1.2 billion at ~~March 31,~~June 30, 2023 primarily driven by a $175 million capital contribution to fund statutory reserve requirements.

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Results of Operations

Income (loss) from Operations before Income Taxes

Three Months Comparison

Income (loss) from operations before income taxes increased ~~$54~~$119 million from a loss of ~~$66~~$78 million for the three months ended ~~March 31,~~June 30, 2022 to ~~a loss~~income of ~~$12~~$41 million for the three months ended ~~March 31,~~June 30, 2023. The impact from our annual reviews and update of assumptions and other refinements was a net gain of $11 million. Excluding the comparative impact of our annual reviews and update of assumptions and other refinements, income (loss) from operations increased $108 million primarily driven by:

•Higher Change in value of market risk benefits, net of related hedging gain (loss) from ceded NPR.

Six Months Comparison

Income (loss) from operations before income taxes increased $173 million from a loss of $144 million for the six months ended June 30, 2022 to income of $29 million for the six months ended June 30, 2023. Excluding the comparative impact of our annual reviews and update of assumptions and other refinements, as mentioned above, income (loss) from operations increased $162 million primarily driven by:

•Higher Change in value of market risk benefits, net of related hedging gain (loss) from ceded NPR.

Revenues, Benefits and Expenses

Three Months Comparison

Revenues increased $125 million from a loss of $33 million for the three months ended June 30, 2022 to a gain of $92 million for the three months ended June 30, 2023. This includes an unfavorable comparative increase of $4 million from our annual reviews and update of assumptions and other refinements. Excluding the comparative impact of our annual reviews and update of assumptions and other refinements, revenues increased $129 million primarily driven by:

•Higher Change in value of market risk benefits, net of related hedging gains (loss) from ceded NPR.

~~Partially offset by:~~

•Lower Realized investments gains (losses), net from losses on indexed universal life ("IUL") embedded derivatives due to the increase in the present value of future index segment credits from lower rates.

~~Revenues,~~ Benefits and ~~Expenses~~

~~Three Months Comparison~~

~~Revenues~~expenses increased ~~$59~~$5 million from ~~a loss $26~~$45 million for the three months ended ~~March 31,~~June 30, 2022 to ~~a gain of $33~~$50 million for the three months ended ~~March 31,~~June 30, 2023. This includes a favorable comparative increase of $15 million from our annual reviews and update of assumptions and other refinements. Excluding the comparative impact of our annual reviews and update of assumptions and other refinements, benefits and expenses increased $20 million primarily driven by:

•Higher Policyholders' benefits due to business growth in traditional life product reserves, net of reinsurance; and

•Higher General and administrative expenses driven by recent product launches.

Six Months Comparison

Revenues increased $184 million from a loss of $60 million for the six months ended June 30, 2022 to a gain of $124 million for the six months ended June 30, 2023. Excluding the comparative impact of our annual reviews and update of assumptions and other refinements, as mentioned above, revenues increased $188 million primarily driven by:

•Higher Change in value of market risk benefits, net of related hedging gains (loss) from ceded NPR.

~~Partially offset~~Benefits and expenses increased $9 million from $85 million for the six months ended June 30, 2022 to $94 million for the six months ended June 30, 2023. Excluding the comparative impact of our annual reviews and update of assumptions and other refinements, as mentioned above, benefits and expenses increased $24 million primarily driven by:

•~~Lower Realized investments gains (losses), net from lower losses on IUL embedded derivatives due to the increase in the present value of future index segment credits due to lower rates.~~

~~Benefits and expenses increased $4 million from $40 million for the three months ended March 31, 2022 to $44 million for the three months ended March 31, 2023.~~

•Higher ~~policyholders'~~Policyholders' benefits due to business growth in traditional life product reserves, net of ~~reinsurance.~~reinsurance; and

•Higher General and administrative expenses driven by recent product launches.

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Risks and Risk Mitigants:

Indexed Variable Annuity Risks and Risk Mitigants. The primary risk exposure of these indexed variable annuity products relates to the investment risks we bear in order to credit to the customer’s account balance the required crediting rate based on the performance of the elected indices at the end of each term. We manage this risk primarily through our investment strategies including derivatives and product design features, which include credit rate resetting subject to contractual minimums as well as surrender charges applied during the early years of the contract that help to provide protection for premature withdrawals. In addition, our indexed variable annuity strategies have an interim value provision that provides protection from lapse in the case of rising interest rates.

~~Table of Contents~~

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 of i) Product Design Features, and ii) our Asset Liability Management Strategy ("ALM"), as discussed below. Sales of traditional variable annuities with guaranteed living benefit riders were discontinued as of December 31, 2020.

Product Design Features:

A portion of the variable annuity contracts that we offer 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 purchase payments, as well as a required minimum allocation to our general account 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.

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

We employ an ALM strategy that utilizes a combination of both traditional fixed income instruments and derivatives to meet expected liabilities associated with our annuity guarantees. The MRB liability that we hedge consists of expected living and death benefit claims under various market conditions, which are managed using fixed income instruments, derivatives, or a combination thereof. For our Prudential Defined Income (“PDI”) variable annuity, we utilize fixed income instruments to meet expected liabilities. For the portion of our ALM strategy executed with derivatives, we enter into a range of exchange-traded and over-the-counter (“OTC”) equity, 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. To achieve this, we periodically review and recalibrate the ALM strategy by optimizing the mix of derivatives and fixed income instruments to achieve expected outcomes.

Income Taxes

For information regarding income taxes, see Note 12 to the Unaudited Interim Financial Statements.

Liquidity and Capital Resources

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 align 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 and liquidity management. For information on these regulatory initiatives and their potential impact on us, see “Business—Regulation" and “Risk Factors” included in our Annual Report on Form 10-K for the year ended December 31, 2022.

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.

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, 2022, 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, 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,~~June 30, 2023 and December 31, 2022, the Company had liquid assets of ~~$2,232~~$2,283 million and $2,010 million, respectively. The portion of liquid assets comprised of cash and cash equivalents and short-term investments was ~~$95~~$87 million and $263 million as of ~~March 31,~~June 30, 2023 and December 31, 2022, respectively. As of ~~March 31,~~June 30, 2023, ~~$2,022~~$2,067 million, or ~~96%~~95%, of the fixed maturity investments in the Company's general account portfolios, were rated high or highest quality based on NAIC or equivalent rating.

Prudential Funding, LLC

Prudential Financial and Prudential Funding borrow funds in the capital markets primarily through the direct issuance of commercial paper. The borrowings serve as an additional source of financing to meet our working capital needs. Prudential Funding operates under a support agreement with Prudential Insurance whereby Prudential Insurance has agreed to maintain Prudential Funding’s positive tangible net worth at all times.

Term and Universal Life Reserve Financing

The Company uses 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 both ~~March 31,~~June 30, 2023, and December 31, 2022, the affiliated captive reinsurance companies have entered into agreements with external counterparties providing for the issuance of up to an aggregate of $16,050 million of surplus notes by our affiliated captive reinsurers in return for the receipt of credit-linked notes (“Credit-Linked Note Structures”), of which $14,070 million of surplus notes was outstanding. 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.

As of ~~March 31,~~June 30, 2023, our affiliated captive reinsurance companies had outstanding an aggregate of ~~$3,025~~$2,800 million of debt issued for the purpose of financing Regulation XXX and Guideline AXXX non-economic reserves, of which approximately ~~$925~~$700 million relates to Regulation XXX reserves and approximately $2,100 million relates to Guideline AXXX reserves. In addition, as of ~~March 31,~~June 30, 2023, 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.

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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. ~~For additional information regarding~~As of June 30, 2023, there have been no material changes in our exposure to market risk from December 31, 2022, a description of ~~market risk, market risk management and mitigation, see~~which may be found in our restated Item 7A, “Quantitative and Qualitative Disclosures about Market Risk,” for the year ended December 31, 2022, included as Exhibit 99.1 within the Company's Current Report on Form 8-K filed on July 14, 2023. See Item 1A, “Risk Factors” included in the ~~Company’s~~ Annual Report on Form 10-K for the year ended December 31, ~~2022.~~

As2022, for a ~~result~~discussion of ~~the adoption of ASU 2018-12~~how difficult conditions in the ~~first quarter of 2023,~~financial markets and the ~~following table has been updated to reflect the current impacts on hypothetical changes in fair value based on the new accounting standard.~~

~~Market Risk Related to Interest Rates~~

~~We assess the impact of interest rate movements on the value~~economy generally may materially adversely affect our business and results of our financial assets, financial liabilities and derivatives using hypothetical test scenarios that assume either upward or downward 100 basis point parallel shifts in the yield curve from prevailing interest rates, reflecting changes in either credit spreads or the risk-free rate. The following table sets forth the net estimated potential loss in fair value on these financial instruments from a hypothetical 100 basis point upward shift at March 31, 2023 and December 31, 2022.

As of March 31, 2023 As of December 31, 2022
Notional Fair Value Hypothetical
Change in
Fair Value Notional Fair Value Hypothetical
Change in
Fair Value
(in millions)
Financial assets with interest rate risk:
Fixed maturities(1) $ 2,132 $ (219) $ 1,743 $ (166)
Policy loans 212 0 212 0
Commercial mortgage and other loans 155 (7) 142 (7)
Derivatives:
Swaps $ 176 14 (1) $ 171 16 (2)
Options 510 (16) 0 509 (20) 0
Forwards 8 0 0 8 0 0
Market risk benefits (396) 220 (398) 216
Indexed universal life contracts (121) 23 (108) 17
Indexed annuity contracts (6) (1) 0 0
Total embedded derivatives(2) (523) 242 (506) 233
Financial liabilities with interest rate risk(3):
Policyholders' account balances-investment contracts 200 1 217 1
Insurance liabilities with interest rate risk:
Benefit reserves (traditional and limited-payment contracts)(4) 1,206 106 1,151 102
Net estimated potential gain(5) $ 122 $ 161

~~(1)Includes assets classified as "Fixed maturities, available-for-sale, at fair value" and "Fixed maturities, trading, at fair value."~~ ~~Changes in fair value of fixed maturities classified as available-for-sale are included in AOCI.~~

~~(2)Excludes any offsetting impact of derivative instruments purchased to hedge changes in the embedded derivatives. Amounts reported gross~~ ~~of reinsurance.~~

~~(3)~~Excludes $4 billion as of both March 31, 2023 and December 31, 2022, of certain insurance reserve and deposit liabilities that are not considered financial liabilities. We believe that the interest rate sensitivities of these insurance liabilities would serve as an offset to the net interest rate risk of the financial assets and financial liabilities, including investment contracts.

~~(4)Changes in fair value of benefit reserves (traditional and limited-payments contracts) are included in AOCI.~~

~~(5)~~Excludes reinsurance recoverable which largely offsets the gains and losses of embedded derivatives related primarily to certain features associated with variable annuity contracts and "Policyholders' account balances-investment contracts."operations.

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Under U.S. GAAP, the fair value of the embedded derivatives for certain features associated with MRBs, indexed universal life, and indexed annuity contracts, reflected in the table above, includes the impact of the market’s perception of our NPR. For additional information regarding the key estimates and assumptions used in our determination of fair value, including NPR, see “Management’s Discussion and Analysis of Financial Condition and Results of Operations—Accounting Policies & Pronouncements—Application of Critical Accounting Estimates—Market Risk Benefits (“MRB”)” above.

~~Market Risk Related to Equity Prices~~

We estimate our equity risk from a hypothetical 10% decline in equity benchmark levels. As of March 31, 2023, excluding the embedded derivatives associated with variable annuity contracts (generally reinsured to an affiliate as part of our risk management strategy), the impact from this hypothetical scenario was primarily from embedded derivatives associated with indexed universal life contracts of fair value and hypothetical change in fair value of $(121) million and $4 million, respectively. While this scenario is for illustrative purposes only and does not reflect our expectations regarding future performance of equity markets, it does represent near-term, reasonably possible hypothetical changes that illustrate the potential impact of such event.

~~Market Risk Related to Foreign Currency Exchange Rates~~

~~The Company does not have significant market risk exposure to foreign exchange rates.~~

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 15d-15(e), as of ~~March 31,~~June 30, 2023. Based on such evaluation, the Chief Executive Officer and Chief Financial Officer have concluded that, as of ~~March 31,~~June 30, 2023, our disclosure controls and procedures were effective. No change in our internal control over financial reporting, as defined in Exchange Act Rule 15d-15(f), occurred during the quarter ended ~~March 31,~~June 30, 2023, that has materially affected, or is reasonably likely to materially affect, our internal control over financial reporting.

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PART II—OTHER INFORMATION

Item 1. Legal Proceedings

See Note 15 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, 2022. These risks could materially affect our business, results of operations or financial condition 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.

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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)

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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/ Robert E. Boyle
			Name:						Robert E. Boyle
									Vice President and Chief Financial Officer
									(Authorized Signatory and Principal Financial Officer)

Date: ~~May 11,~~August 10, 2023

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	As of March 31, 2023						As of December 31, 2022
	Notional		Fair Value		Hypothetical Change in Fair Value		Notional		Fair Value		Hypothetical Change in Fair Value
	(in millions)
Financial assets with interest rate risk:
Fixed maturities(1)			$	2,132	$	(219)			$	1,743	$	(166)
Policy loans			212		0				212		0
Commercial mortgage and other loans			155		(7)				142		(7)
Derivatives:

Swaps	$	176	14		(1)		$	171	16		(2)
Options	510		(16)		0		509		(20)		0
Forwards	8		0		0		8		0		0
Market risk benefits			(396)		220				(398)		216
Indexed universal life contracts			(121)		23				(108)		17
Indexed annuity contracts			(6)		(1)				0		0
Total embedded derivatives(2)			(523)		242				(506)		233
Financial liabilities with interest rate risk(3):
Policyholders' account balances-investment contracts			200		1				217		1
Insurance liabilities with interest rate risk:
Benefit reserves (traditional and limited-payment contracts)(4)			1,206		106				1,151		102
Net estimated potential gain(5)					$	122					$	161