Nassau Life and Annuity Variable Universal Life Account

Nassau Life and

Annuity Company

(a wholly owned subsidiary of

The Nassau Companies)

Statutory Financial Statements and

Supplemental Schedules

December 31, 2023, 2022 and 2021

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Table of Contents


			Page

Statutory Financial Statements:

Independent Auditors’ Report			1-3

Statements of Admitted Assets, Liabilities, Capital and Surplus			4

Statements of Income and Changes in Capital and Surplus			5

Statements of Cash Flows			6

Notes to Statutory Financial Statements			7-45

Supplemental Schedules:









Summary of Investments - Other than Investments in Related Parties			46-47

Supplementary Insurance Information			48

Supplementary Schedule - Reinsurance			49

Independent Auditors’ Report

The Board of Directors

Nassau Life and Annuity Company:

Opinions

We have audited the financial statements of Nassau Life and Annuity Company (the Company), which comprise the statements of admitted assets, liabilities, capital and surplus as of December 31, 2023 and 2022, and the related statements of income and changes in capital and surplus, and cash flows for each of the years in the three-year period ended December 31, 2023, and the related notes to the financial statements.

Unmodified Opinion on Statutory Basis of Accounting

In our opinion, the accompanying financial statements present fairly, in all material respects, the admitted assets, liabilities, capital and surplus of the Company as of December 31, 2023 and 2022, and the results of its operations and its cash flows for each of the years in the three-year period ended December 31, 2023, in accordance with accounting practices prescribed or permitted by the Connecticut Insurance Department described in Note 2.

Adverse Opinion on U.S. Generally Accepted Accounting Principles

In our opinion, because of the significance of the matter discussed in the Basis for Adverse Opinion on U.S. Generally Accepted Accounting Principles section of our report, the financial statements do not present fairly, in accordance with U.S. generally accepted accounting principles, the financial position of the Company as of December 31, 2023 and 2022, or the results of its operations or its cash flows for each of the years in the three-year period ended December 31, 2023.

Basis for Opinions

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

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

As described in Note 2 to the financial statements, the financial statements are prepared by the Company using accounting practices prescribed or permitted by the Connecticut Insurance Department, which is a basis of accounting other than U.S. generally accepted accounting principles. Accordingly, the financial statements are not intended to be presented in accordance with U.S. generally accepted accounting principles. The effects on the financial statements of the variances between the statutory accounting practices described in Note 2 and U.S. generally accepted accounting principles, although not reasonably determinable, are presumed to be material and pervasive.

Responsibilities of Management for the Financial Statements

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

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

Auditors’ Responsibilities for the Audit of the Financial Statements

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

In performing an audit in accordance with GAAS, we:

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

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

● Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Company’s internal control. Accordingly, no such opinion is expressed.

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

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

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

Supplementary Information

Our audits were conducted for the purpose of forming an opinion on the financial statements as a whole. The supplementary information included in the summary of investments - other than investments in related parties,the supplementary insurance information, and the supplementary schedule – reinsurance, is presented for purposes of additional analysis and is not a required part of the financial statements but is supplementary information required by the Securities and Exchange Commission. Such information is the responsibility of management and was derived from and relates directly to the underlying accounting and other records used to prepare the financial statements. The information has been subjected to the auditing procedures applied in the audits of the financial statements and certain additional procedures, including comparing and reconciling such information directly to the underlying accounting and other records used to prepare the financial statements or to the financial statements themselves, and other additional procedures in accordance with GAAS. In our opinion, the information is fairly stated in all material respects in relation to the financial statements as a whole.

/s/ KPMG LLP

Hartford, Connecticut

April 1, 2024

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Statements of Admitted Assets, Liabilities, Capital and Surplus

(in thousands)


	As of December 31,
	2023		2022

Assets:
Bonds	$	2,750,917	$	2,047,937
Preferred stock	5,037		5,037
Common stock	66,189		15,757
Cash, cash equivalents and short-term investments	139,832		86,044
Mortgage loans	491,500		282,849
Contract loans	3,564		3,570
Derivatives	62,540		16,016
Receivables for securities	9,424		301
Derivative collateral	29,976		33,812
Other invested assets	279,001		131,218
Total cash and invested assets	3,837,980		2,622,541
Deferred and uncollected premium	2,167		2,432
Due and accrued investment income	27,738		18,041
Current federal and foreign income tax	12,870		12,870
Reinsurance recoverable	56		1,061
Receivable from affiliate	2,108		7,271
Deferred tax asset	3,366		2,824
Funds held or deposited with reinsured companies	48,011		48,274
Other assets	4,261		9,367
Separate account assets	5,377		4,615
Total assets	$	3,943,934	$	2,729,296

Liabilities:
Reserves for future policy benefits	$	812,685	$	589,088
Contract claims	6,800		5,983

Interest maintenance reserve (“IMR”)	6,418		7,024
Asset valuation reserve (“AVR”)	34,656		12,132
Reinsurance payables	3,397		8,463
Payable to affiliate	13,666		9,416
Payable for securities	718		29,327
Funds held under reinsurance treaties	2,838,173		1,933,052
Other liabilities	46,226		9,308
Separate account liabilities	5,377		4,615
Total liabilities	3,768,116		2,608,408

Capital and surplus:
Common stock, $100 par value (40,000 shares authorized; 25,000 shares issued and outstanding)	2,500		2,500
Paid-in surplus	320,984		241,986

Unassigned surplus	(147,666)		(123,598)
Total capital and surplus	175,818		120,888
Total liabilities, capital and surplus	$	3,943,934	$	2,729,296

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

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Statements of Income and Changes in Capital and Surplus

(in thousands)


	For the years ended December 31,
	2023		2022		2021

Income:
Premium and annuity considerations	$	288,891	$	223,783	$	195,985
Net investment income and amortization of IMR	155,726		87,953		54,334
Commissions and expense allowances on reinsurance ceded	129,561		102,375		85,285
Reserve adjustments on reinsurance ceded	237		172		76

Other income	1,797		815		410
Total income	576,212		415,098		336,090

Current and future benefits:
Policyholder benefits	154,378		135,964		52,978
Change in reserves for future policy benefits	224,287		150,267		141,296
Net transfers to (from) separate accounts	47		(179)		(73)
Total current and future benefits	378,712		286,052		194,201

Operating expenses:
Direct and assumed commissions	142,827		109,549		238,392
Interest expense on funds withheld	111,121		43,366		32,057
Reinsurance consideration on MODCO assumed	(89,062)		(92,782)		(17,417)
Other operating expenses	32,078		23,718		19,072
Miscellaneous taxes, licenses and fees	1,887		2,261		10,777
Total operating expenses	198,851		86,112		282,881
Net gain (loss) from operations before federal income taxes	(1,351)		42,934		(140,992)
Federal income tax expense (benefit)	—		446		(9,646)
Realized capital gains (losses), net of income taxes and IMR	(15,990)		1,329		7,527
Net income (loss)	(17,341)		43,817		(123,819)

Changes in capital and surplus:
Change in net unrealized capital gains (losses)	15,592		(37,067)		6,392
Change in deferred income tax	12,423		(7,472)		23,490
Change in asset valuation reserve	(22,525)		15,149		(16,521)
Change in non-admitted assets	(7,369)		(4,964)		(25,102)
Paid-in surplus	79,000		—		150,000

Other surplus changes	(4,850)		(5,093)		(5,104)

Net increase (decrease) in capital and surplus	54,930		4,370		9,336
Capital and surplus, beginning of year	120,888		116,518		107,182
Capital and surplus, end of year	$	175,818	$	120,888	$	116,518

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

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Statements of Cash Flows

(in thousands)


	For the years ended December 31,
	2023		2022		2021

Cash provided by (used for) operations:
Premium and annuity considerations	$	1,346,811	$	1,000,531	$	864,994
Net investment income	138,326		78,332		53,591
Other income	8,870		8,521		8,438
Claims and benefits	(318,405)		(235,423)		(146,142)
Commissions and other expenses	(79,143)		(45,019)		(249,790)
Net transfers from (to) separate accounts	(47)		179		73
Federal income tax recovered (paid)	—		(45)		1,357
Net cash provided by (used for) operations	1,096,412		807,076		532,521

Cash provided by (used for) investments:
Proceeds from sales, maturities and scheduled repayments of bonds	146,474		132,845		288,339
Proceeds from sales, maturities and repayments of stocks	—		3,230		—
Proceeds from sales, maturities and repayments of mortgage loans	23,804		3,002		1,586
Proceeds from sales, maturities and repayments of other invested assets	12,909		122,322		1,262
Proceeds from sales, maturities and repayments of other investments	5,257		12,261		—
Cost of bonds acquired	(878,881)		(734,073)		(841,487)
Cost of stocks acquired	(53,875)		(2,313)		(102)
Cost of mortgage loans acquired	(233,485)		(110,480)		(119,739)
Cost of other invested assets acquired	(162,944)		(142,866)		(63,248)

Miscellaneous applications	(38,221)		(56,518)		(7,568)
Net decrease (increase) in contract loans	6		37		113
Net cash provided by (used for) investments	(1,178,956)		(772,553)		(740,844)

Cash provided by (used for) financing and miscellaneous sources:

Capital and paid-in surplus, less treasury stock	79,000		—		150,000
Other cash provided (applied)	57,332		(3,301)		18,497
Net cash provided by (used for) financing and miscellaneous sources	136,332		(3,301)		168,497
Net change in cash and short-term investments	53,788		31,222		(39,826)
Cash and short-term investments, beginning of year	86,044		54,822		94,648
Cash and short-term investments, end of year	$	139,832	$	86,044	$	54,822

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

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(in thousands except where noted in millions)

1. Description of Business

Nassau Life and Annuity Company (“NLA” or the “Company”), domiciled in the State of Connecticut, is a wholly-owned subsidiary of The Nassau Companies (“NC” or the “Parent”) and an indirect subsidiary of Nassau Financial Group, L.P. (“Nassau”). Nassau is a financial services company providing life insurance and annuities, reinsurance and asset management.

NLA’s products include non-participating life insurance products, such as term life, whole life, universal life and variable universal life. The Company’s products also include fixed indexed annuities and deferred fixed annuities. The Company has accident and health insurance products in force, primarily Medicare Supplement and Medicare Select, but does not market or issue this business. NLA is licensed to sell life, annuity, and accident and health (“A&H”) products in 46 states and the District of Columbia.

2. Summary of Significant Accounting Policies

Basis of presentation

The significant accounting policies which are used by NLA in the preparation of its statutory financial statements are described below.

These financial statements were prepared on the basis of accounting practices (“STAT”) prescribed or permitted by the Connecticut Insurance Department (the “Department”). These practices are predominately promulgated by the National Association of Insurance Commissioners (the “NAIC”).

These practices differ from accounting principles generally accepted in the United States of America (“U.S. GAAP”). The major differences from U.S. GAAP practices are as follows:

•The costs related to acquiring business, principally commissions and certain policy issue expenses, are charged to income in the year incurred for STAT and are capitalized as deferred acquisition costs (“DAC”) and then amortized for U.S. GAAP.

•Statutory concepts such as non-admitted assets, asset valuation reserve and interest maintenance reserve are recognized only for STAT.

•Bonds are primarily carried at amortized cost for STAT and at fair value for U.S. GAAP.

•For STAT, wholly owned subsidiaries are not consolidated, but subsidiary earnings and losses and other changes in capital and surplus are accounted for as unrealized gains and losses. Dividends received from subsidiaries are treated as investment income. For U.S. GAAP, results of wholly owned subsidiaries are consolidated.

•Under STAT, for universal life and variable universal life contracts, premiums or deposits are recognized as revenue, and withdrawals are recognized as surrender benefits. Benefits, losses and related expenses are matched with premiums over the related contract periods. For U.S. GAAP, amounts received as payments for universal life, variable universal life and other investment-type contracts are considered deposits and are not included in premiums. Withdrawals taken from these contracts are generally considered returns of policyholder account balances and are not included in surrender benefits for U.S. GAAP.

•Statutory reserves are based on different assumptions than they are under U.S. GAAP.

•Assets and liabilities are reported net of reinsurance balances for STAT and gross for U.S. GAAP.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

•The statutory provision for federal income taxes represents estimated amounts currently payable based on taxable income or loss reported in the current accounting period as well as changes in estimates related to prior year taxes. Deferred income taxes are provided in accordance with Statement of Statutory Accounting Principles (“SSAP”) No. 101, Income Taxes, a Replacement of SSAP No. 10R and SSAP No. 10, and changes in deferred income taxes are recorded through surplus. SSAP No. 101 adopts the U.S. GAAP valuation allowance standard and also limits the recognition of deferred tax assets (“DTA”) based on certain admissibility criteria. The U.S. GAAP provision would include a provision for taxes currently payable as well as deferred taxes, both of which would be recorded in the income statement. Under SSAP No. 101, in conjunction with SSAP No. 5R as modified to replace the “probable” standard with a “more likely than not” standard, companies must establish a liability related to uncertain tax positions where management determines that it is more likely than not a claimed tax benefit would not be sustained if audited. SSAP No. 101 specifically rejects the corresponding U.S. GAAP guidance. For U.S. GAAP, the Company accounts for income taxes in accordance with Accounting Standards Codification (“ASC”) 740, Accounting for Income Taxes. Income tax expense or benefit is recognized based upon amounts reported in the financial statements and the provisions of currently enacted tax laws. Deferred tax assets and/or liabilities are determined by multiplying the differences between the financial reporting and tax reporting bases for assets and liabilities by the enacted tax rates expected to be in effect when such differences are recovered or settled. Valuation allowances on deferred tax assets are recorded to the extent that management concludes that it is more likely than not that an asset will not be realized. For both STAT and U.S. GAAP, the Company assesses all significant tax positions to determine if a liability for an uncertain tax position is necessary and, if so, the impact on the current or deferred income tax balances.

•Merged entities’ financial statements are restated as if the merger occurred at the beginning of the earliest period presented. For U.S. GAAP, financial statements are typically not restated, but post-acquisition activity and balance sheet amounts are reflected from the acquisition date

•Acquired entities are carried at statutory book value with the difference between purchase price and book value recorded directly against statutory surplus. For U.S. GAAP, acquired entities are carried at fair value as of the acquisition date with any difference between purchase price and fair value recorded to goodwill.

The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. In applying these estimates and assumptions, management makes subjective and complex judgments that frequently require assumptions about matters that are uncertain and inherently subject to change, such as possibility for elevated mortality rates and market volatility. Actual results may differ from those estimates. Significant estimates and assumptions used in determining insurance and contractholder liabilities, income taxes, contingencies and valuation allowances for invested assets are discussed throughout the Notes to Statutory Financial Statements.

Recent accounting pronouncements

In 2023, the NAIC adopted revisions to SSAP No. 26R, Bonds, and SSAP No. 43R, Loan-Backed and Structured Securities, to incorporate the principles-based bond definition for use in determining whether an investment (i.e., security) qualifies for reporting as a bond into statutory accounting guidance and to address the accounting treatment for securities that do qualify as bonds. SSAP No. 2R, Cash, Cash Equivalents, Drafts and Short-Term Investments, was also revised to exclude asset-backed securities from being reported as a cash equivalent or short-term investment. These revisions have an effective date of January 1, 2025, and the Company is assessing the impact on its financial position and results of operations.

The Company did not adopt any accounting standards during 2023 that had a material impact on these financial statements.

Going concern

Management has evaluated the Company's ability to continue as a going concern and concluded that there is not substantial doubt about the Company's ability to continue as a going concern.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

Liquidity and regulatory capital requirements

NLA is required to report risk-based capital (“RBC”) under the insurance company laws of Connecticut. RBC is based on a formula calculated by applying factors to various assets, premium and statutory reserve items taking into account the risk characteristics of the insurer, including asset risk, insurance risk, interest rate risk and business risk. The insurance laws give the states explicit regulatory authority to require various actions by, or take various actions against, insurers whose total adjusted capital (“TAC”) does not exceed certain RBC levels. NLA has RBC ratios in excess of the minimum levels required by the applicable insurance regulations.

Investments

Investments are recognized in accordance with methods prescribed by the NAIC.

Investments in bonds include public and private placement bonds and mortgage-backed securities. Bonds with an NAIC designation of 1-5 are carried at amortized cost using the interest method while those with an NAIC designation of 6 are carried at the lower of amortized cost or fair value. Mortgage-backed and structured securities are assigned an NAIC designation in accordance with SSAP No. 43R, Loan-Backed and Structured Securities. Amortized cost for mortgage-backed and structured securities is determined using the interest method, utilizing anticipated cash flows based upon prepayment assumptions. When actual prepayments differ significantly from anticipated prepayments, the effective yield is recalculated to reflect actual payments to date and any resulting adjustment is included in net investment income. Amortization is adjusted for significant changes in estimated cash flows from the original purchase assumptions.

Redeemable preferred stock that has a NAIC designation of 1-3 is stated at amortized cost and those with a designation of 4-6 are carried at the lower of amortized cost or fair value. Mandatory convertible preferred, redeemable or perpetual and perpetual preferred stocks are carried at the lower of fair value or the current effective call price.

The Company has three investments in subsidiaries that are classified as common stock. Nassau Life Insurance Company of Kansas (“NKS”) is a life insurance company that was received as a capital contribution effective June 30, 2020. The Company admits the underlying statutory capital and surplus as common stock in affiliate in accordance with Paragraph 8bi of SSAP No. 97, Investments in Subsidiary, Controlled and Affiliated (“SCA”) Entities. The second investment relates to a captive subsidiary, Lynbrook Re, Inc. (“Lynbrook”), which was formed during 2019. NLA has admitted no value in this subsidiary as of December 31, 2023 or 2022. The third investment, Nassau Life and Annuity Company ABS D-I LLC (“ABS D”), is an investment SPV that was formed in 2023. The Company admits the underlying GAAP equity in accordance with SSAP No. 97.

With the exception of the Company’s investment in Federal Home Loan Bank (“FHLB”) common stock, unaffiliated common stock is carried at fair value. The Company’s investment in FHLB common stock is carried at cost, which represents the price at which the FHLB will repurchase the stock.

Mortgage loans on real estate are carried at the outstanding principal balance, less any allowances for credit losses.

Contract loans are generally reported at their unpaid balances and are collateralized by the cash values of the related policies.

Short-term investments and cash equivalents are carried at amortized cost. The Company considers highly liquid investments purchased between ninety days and one year of maturity to be short-term investments and highly liquid investments purchased with ninety days or less of maturity to be cash equivalents.

Other invested assets primarily include ownership interests in limited partnerships and limited liability companies. Interests in limited partnerships and limited liability companies are carried at cost adjusted for NLA’s equity in undistributed earnings or losses since acquisition, less allowances for other-than-temporary declines in value, based upon audited financial statements in accordance with SSAP No. 48, Joint Ventures, Partnerships and Limited Liability Companies. Recognition of net investment income occurs when cash distributions of income are received.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

Realized capital gains and losses on investments are determined using the first-in, first-out (“FIFO”) method. Those realized capital gains and losses resulting from interest rate changes are deferred and amortized to income over the stated maturity of the disposed investment utilizing the Interest Maintenance Reserve (“IMR”) Grouped Method. Unrealized capital gains and losses, resulting from changes in the difference between cost and the carrying value of investments, are reflected in the Statements of Income and Changes in Capital and Surplus.

The Company’s accounting policy requires that a decline in the value of a bond or equity security below its cost or amortized cost basis be assessed to determine if the decline is other-than-temporary. In addition, for securities expected to be sold, an other-than-temporary impairment (“OTTI”) charge is recognized if the Company does not expect the fair value of a security to recover to its cost or amortized cost basis prior to the expected date of sale.

Securities that are in an unrealized loss position are reviewed at least quarterly to determine if an OTTI is present based on certain quantitative and qualitative factors. The primary factors considered in evaluating whether a decline in value for securities not subject to SSAP No. 43R is other-than-temporary include: (a) the length of time and the extent to which the fair value has been less than cost or amortized cost, (b) changes in the financial condition, credit rating and near-term prospects of the issuer, and (c) whether the debtor is current on contractually obligated payments.

For securities that are not subject to SSAP No. 43R, if the decline in value of a bond or equity security is other-than-temporary, a charge is recorded in net realized capital losses equal to the difference between the fair value and cost or amortized cost basis of the security. Impairment losses are recorded through the IMR.

For certain securitized financial assets with contractual cash flows (including asset-backed securities), SSAP No. 43R requires the Company to periodically update its best estimate of cash flows over the life of the security. If management determines that its best estimate of expected future cash flows discounted at the security’s effective yield prior to the impairment are less than its amortized cost, then an OTTI charge is recognized equal to the difference between the amortized cost and the Company’s best estimate of expected future cash flows discounted at the security’s effective yield prior to the impairment. The Company’s best estimate of expected future cash flows discounted at the security’s effective yield prior to the impairment becomes its new cost basis. Estimating future cash flows is a quantitative and qualitative process that incorporates information received from third party sources along with certain internal assumptions and judgments regarding the future performance of the underlying collateral. As a result, actual results may differ from estimates. In addition, if the Company does not have the intent and ability to hold a security subject to the provisions of SSAP No. 43R until the recovery of value, the security is written down to fair value.

Loans are occasionally restructured in a troubled debt restructuring. These restructurings generally include one or more of the following: full or partial payoffs outside of the original contract terms; changes to interest rates; extensions of maturity; or additions or modifications to covenants. When restructurings occur, they are evaluated individually to determine whether the restructuring or modification constitutes a “troubled debt restructuring” as defined by authoritative accounting guidance. In a troubled debt restructuring where the Company receives assets in full or partial satisfaction of the debt, any specific valuation allowance is reversed and a direct write down of the loan is recorded for the amount of the allowance and any additional loss, net of recoveries, or any gain is recorded for the difference between the fair value of the assets received and the recorded investment in the loan. Any remaining loan is evaluated prospectively for impairment. When a loan is restructured in a troubled debt restructuring, the impairment of the loan is remeasured using the modified terms and the loan’s original effective yield and the allowance for loss is adjusted accordingly. Subsequent to the modification, income is recognized prospectively based on the modified terms of the loans.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

Derivatives

Equity Index Options

An equity index option gives the option holder the right to buy or sell the equity index at a predetermined price (strike price) at a specified time (maturity) agreed upon at the inception of the contract. An equity index put option affords the holder the right to sell the equity index at a strike price at the maturity date while an equity index call option affords the holder the right to buy the equity index at the strike price.

The Company uses equity index call options. The Company is exposed to credit-related losses in the event of nonperformance by a counterparty’s failure to meet its obligations. Given the Company enters into derivative contracts with highly rated counterparties and diversifies this exposure across a number of counterparties, the Company is exposed to minimum credit risk.

The Company uses equity index options in two instances: 1) To hedge against market risks from changes in equity index price associated with certain annuity products; or 2) To replicate the option payoff profile associated with certain equity-linked life and annuity products. The statutory accounting treatment for these hedges is that they are valued at fair or market value, and changes in the value of these hedges are reflected directly through surplus.

The unrealized gain/(loss) during the period representing equity index options was $28.5 million, $(38.4) million and $6.2 million as of December 31, 2023, 2022 and 2021, respectively.

Interest Rate Swaps

An interest rate swap is an agreement between two parties to exchange cash flows in the future. Typically, one of the cash flow streams is based on a fixed interest rate set at the inception of the contract, and the other is a floating rate indexed to a reference rate that resets periodically. At the outset of the contract, generally, there is neither an exchange of cash nor a payment of principal by the parties; hence the term “notional principal.” At each settlement date, the fixed and floating interest rates times the notional principal determine the cash flows to be exchanged, and the resulting net payment amount between these interest cash flows is made from one party to the other.

The Company uses interest rate swaps to hedge against market risks in assets or liabilities from substantial changes in interest rates. In an interest rate swap, the Company agrees with another party (referred to as the counterparty) to exchange cash flows at specified intervals for a set length of time, based on the specified notional principal amount.

The Company uses interest rate swaps to hedge exposure to changes in interest rates. The Company uses interest rate swaps to manage interest rate exposure to certain floating rate available-for-sale debt securities where the terms or expected cash flows of the hedged item closely match the terms or expected cash flows of the swap.

Foreign Currency Forwards

The Company uses foreign currency forwards to hedge against market risks from changes in foreign currency exchange rates. Currency forward contracts are used to hedge collateralized loan obligation (“CLO”) asset exposure denominated in a foreign (EUR) currency back to U.S. dollars. Under foreign currency forwards, the Company agrees with another counterparty to lock in the exchange rate for the purchase or sale of a currency on a future date.

The Company had no unrealized gain/(loss) during the period representing foreign currency forwards.

The Company had no net gain or loss recognized in unrealized gains or losses during the reporting period resulting from derivatives that no longer qualify for hedge accounting.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

The Company had derivatives accounted for as cash flow hedges of forecasted transactions and no derivative contracts with financing premiums.

Net investment income

Net investment income primarily represents interest and dividends received or accrued on bonds, mortgage loans, preferred stock and short-term investments. It also includes amortization of any purchase premium or discount using the interest method, adjusted retrospectively for any change in estimated yield-to-maturity. Investment income due and accrued that is deemed uncollectible is charged against net investment income in the period such determination is made, while investment income greater than 90 days past due is non-admitted and charged directly to surplus There was $27.7 million and $18.0 million gross due and accrued investment income at December 31, 2023 and 2022, respectively. There were no material amounts non-admitted for the years ended December 31, 2023 or 2022. There was $27.7 million and $18.0 million net due and accrued investment income at December 31, 2023 and 2022, respectively.

Non-admitted assets

In accordance with regulatory requirements, certain assets, including certain receivables, certain deferred tax assets and prepaid expenses, are not allowable and must be charged against surplus and are reported in the Statements of Income and Changes in Capital and Surplus. Total non-admitted assets at December 31, 2023 and 2022 were $46.4 million and $39.0 million, respectively.

The decrease (increase) in non-admitted assets for the years ended December 31, 2023, 2022 and 2021 was $(7.4) million, $(5.0) million and $(25.1) million, respectively. Change in non-admitted assets, excluding the non-admitted deferred tax asset, had no material impact on surplus for the years ended December 31, 2023, 2022 and 2021, respectively.

Separate accounts

Separate account assets and liabilities are funds maintained in accounts to meet specific investment objectives of contractholders who bear the investment risk. Investment income and investment gains and losses accrue directly to such contractholders. The assets of each account are legally segregated and are not subject to claims that arise out of any other business of NLA. The assets are carried at fair value and the liabilities are set equal to the assets. Net investment income and realized investment gains and losses for these accounts are excluded from revenues, and the related liability increases are excluded from benefits and expenses. Amounts assessed to the contractholders for management services are included in revenues.

Appreciation or depreciation of NLA’s interest in the separate accounts, including undistributed net investment income, is reflected in net investment income. Contractholders’ interests in net investment income and realized and unrealized capital gains and losses on separate account assets are not reflected in net income.

Insurance liabilities

Benefit and loss reserves, included in reserves for future policy benefits, are established in amounts adequate to meet estimated future obligations on policies in force. Benefits to policyholders are charged to operations as incurred.

Reserves for future policy benefits are determined using assumed rates of interest, mortality and morbidity consistent with statutory requirements. Most life insurance reserves for which the 1980 CSO mortality table is used as the mortality basis are determined using a modified preliminary term reserve method. In addition, for certain products issued on or after January 1, 2000, NLA adopted the 20 year select factors in the NAIC Valuation of Life Insurance Policies Model Regulation for both the basic and deficiency reserve, and NLA’s X factors for the deficiency reserve. For life products issued on or after January 1, 2020, NLA valued the reserves according to Valuation Manual Section 20 (“VM-20”). Annuity reserves principally use Actuarial Guideline (“AG”) 33 and 35 to calculate reserve balances. AG33 and AG35 use prescribed methods and assumptions to determine the minimum statutory reserves. The Company holds reserves greater than those developed under the minimum statutory reserving rules when it is determined that the minimum statutory reserves are inadequate.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

Actual results could differ from these estimates and may result in the establishment of additional reserves. The Company monitors actual experience and, where circumstances warrant, revises assumptions and the related estimates for policy reserves.

The Company waives deduction of deferred fractional premiums of life and annuity policy insured and, if the terms of policy require, returns any portion of the final premium beyond the date of death. Policies issued for substandard lives are charged an extra premium according to underwriting classifications.

Claim and loss liabilities, included in reserves for future policy benefits, are established in amounts estimated to cover incurred losses. These liabilities are based on individual case estimates for reported losses and estimates of unreported losses based on past experience.

Accident and health policy and contract claims represent unpaid claims and claim adjustment expenses and represent management’s best estimate of the ultimate net cost of all reported and unreported claims incurred and unpaid at the end of each reporting period. Reserves for unpaid claims are estimated using individual case-basis valuations and statistical analyses. Those estimates are subject to the effects of trends in claim severity and frequency. Although considerable variability is inherent in such estimates, management believes that the reserves for unpaid claims are adequate. The estimates are continually reviewed and adjusted as experience develops or new information becomes known; such adjustments are included in current operations.

Fees associated with separate accounts and other miscellaneous income

Fees consist of contract charges assessed against the fund values and are recognized, when earned.

Premium income and related expenses

Generally, premium income and annuity considerations for fixed payment policies are recognized as income when due and premium income and annuity considerations for variable payment policies or contracts are recognized as income when paid. Related underwriting expenses, commissions and other costs of acquiring the policies and contracts are charged to operations as incurred.

Stockholder dividends

In Connecticut, without prior approval by the insurance commissioner, the aggregate amount of dividends during any twelve month period shall not exceed the greater of (i) 10% of surplus to policyholders for the preceding calendar year or (ii) net gain from operations for such year. Connecticut law states that no dividend or other distribution exceeding an amount equal to an insurance company’s earned surplus may be paid without prior approval of the insurance commissioner. Based on this calculation, the Company has no dividend capacity for 2024.

Reinsurance

NLA utilizes reinsurance agreements to provide for greater diversification of business, allow management to control exposure to potential losses arising from large risks and provide additional capacity for growth. Reinsurance arrangements do not relieve the Company as primary obligor for policyholder liabilities.

Assets and liabilities related to reinsurance ceded contracts are reported on a net basis.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

Income taxes

The Company, Lynbrook and NKS file a consolidated tax return. The Company and its affiliates entered into a tax sharing agreement effective beginning the year ended December 31, 2020. Under the terms of the agreement, NLA will utilize its subsidiaries, Lynbrook and NKS, losses in consolidation resulting in an intercompany payable that will be settled when the subsidiary generates taxable income on a standalone basis. Lynbrook and NKS will be able to utilize each other’s losses in consolidation and will settle the subsidiary intercompany balance after the tax return is filed.

Deferred income taxes result from temporary differences between the tax basis of assets and liabilities and their recorded amounts for financial reporting purposes. Deferred tax assets are admitted in accordance with the admissibility test prescribed by SSAP No. 101. The change in deferred tax is recorded as a component of surplus.

Non-cash items

The Statements of Cash Flows exclude non-cash items, such as the following:

•Non-cash investment transactions, such as tax-free exchanges;

•Accretion of amortization or accrual of discount for investments;

•Depreciation expense; and

•Accruals of capital contributions approved by the domiciliary commissioner.

The Statements of Cash Flows exclude the following significant non-cash items for the years ended December 31, 2023, 2022 and 2021. These items mainly relate to a coinsurance funds withheld reinsurance arrangement, with an affiliate captive entity, Sunrise Re, Inc. (“Sunrise”):

•$1,051.3 million, $782.5 million and $668.0 million of ceded premiums;

•$122.5 million, $94.7 million and $77.3 million of reinsurance ceded allowance

•$161.1 million, $105.1 million and $69.4 million of ceded benefits; and

•$882.3 million, $626.8 million and $562.8 million change in funds withheld account.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

3. Investments

Information pertaining to NLA’s investments, net investment income and capital gains and losses on investments follows.

Bonds, common stock and preferred stock

The carrying value and fair value of investments in bonds, preferred stock and common stock as of December 31, 2023 were as follows:


	Carrying Value		Gross Unrealized Gain		Gross Unrealized Losses		Fair Value


U.S. government	$	8,812	$	1	$	(249)	$	8,564
All other governments	21,286		—		(4,907)		16,379
States, territories and possessions	5,567		—		(498)		5,069
Political subdivisions	20,841		110		(2,782)		18,169
Special revenue	21,824		46		(3,094)		18,776
Industrial and miscellaneous (unaffiliated)	1,338,213		18,590		(153,774)		1,203,029
Parent, subsidiaries and affiliates	12,923		883		(188)		13,618
Hybrid securities	14,510		19		(1,354)		13,175
Mortgage-backed and asset-backed securities	1,306,941		9,871		(85,750)		1,231,062
Total bonds	$	2,750,917	$	29,520	$	(252,596)	$	2,527,841
Preferred stock	$	5,037	$	—	$	(125)	$	4,912
Common stock	$	1,512	$	—	$	—	$	1,512
Common stock - affiliate	$	64,677	$	—	$	—	$	64,677

The carrying value and fair value of investments in bonds and preferred stock as of December 31, 2022 were as follows:


	Carrying Value		Gross Unrealized Gain		Gross Unrealized Losses		Fair Value


U.S. government	$	8,779	$	1	$	(356)	$	8,424
All other governments	21,328		—		(5,403)		15,925
States, territories and possessions	9,628		3		(559)		9,072
Political subdivisions	20,883		47		(3,861)		17,069
Special revenue	26,528		—		(4,425)		22,103
Industrial and miscellaneous (unaffiliated)	1,105,977		5,342		(192,955)		918,364
Parent, subsidiaries and affiliates	12,279		949		(182)		13,046
Hybrid securities	12,550		—		(1,648)		10,902
Mortgage-backed and asset-backed securities	829,985		2,198		(100,169)		732,014
Total bonds	$	2,047,937	$	8,540	$	(309,558)	$	1,746,919
Preferred stock	$	5,037	$	—	$	(251)	$	4,786
Common stock	$	1,115	$	—	$	—	$	1,115
Common stock - affiliate	$	14,642	$	—	$	—	$	14,642

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

The aging of temporarily impaired general account debt securities as of December 31, 2023 was as follows:


	Less than 12 months				Greater than 12 months				Total
	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses

Debt Securities
U.S. government	$	524	$	(14)	$	7,943	$	(235)	$	8,467	$	(249)
All other governments	—		—		16,379		(4,907)		16,379		(4,907)
States, territories and possessions	—		—		5,069		(498)		5,069		(498)
Political subdivisions	—		—		15,942		(2,782)		15,942		(2,782)
Special revenue	2,042		(118)		16,192		(2,976)		18,234		(3,094)
Industrial and miscellaneous (unaffiliated)	65,822		(1,595)		775,379		(152,179)		841,201		(153,774)
Parent, subsidiaries and affiliates	4,511		(96)		1,045		(92)		5,556		(188)
Hybrid securities	—		—		11,196		(1,354)		11,196		(1,354)
Mortgage-backed and asset-backed securities	182,929		(4,137)		534,570		(81,613)		717,499		(85,750)
Total bonds	$	255,828	$	(5,960)	$	1,383,715	$	(246,636)	$	1,639,543	$	(252,596)
Number of positions at unrealized loss			94				586				680

As of December 31, 2023, there are 21 below investment grade debt securities that have been in an unrealized loss position for greater than 12 months. Below investment grade unrealized losses greater than 12 months are $8.9 million. Securities in an unrealized loss position for over 12 months consisted of 586 securities. Unrealized losses were not recognized in earnings on these debt securities since the Company neither intends to sell the securities nor does it believe that it is more likely than not that it will be required to sell these securities before recovery of their amortized cost basis. Additionally, based on a security-by-security analysis, the Company expects to recover the entire amortized cost basis of these securities. In its evaluation of each security, management considered the actual recovery periods for these securities in previous periods of broad market declines. For securities with significant declines, individual security level analysis was performed, which considered any credit enhancements, expectations of defaults on underlying collateral and other available market data, including industry analyst reports and forecasts. Although there may be sustained losses for greater than 12 months on these securities, additional information was obtained related to company performance which did not indicate that the additional losses were other-than-temporary.

The aging of temporarily impaired general account debt securities as of December 31, 2022 was as follows:


	Less than 12 months				Greater than 12 months				Total
	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses

Debt Securities
U.S. government	$	8,235	$	(337)	$	93	$	(19)	$	8,328	$	(356)
All other governments	15,925		(5,403)		—		—		15,925		(5,403)
States, territories and possessions	7,602		(499)		342		(60)		7,944		(559)
Political subdivisions	14,746		(3,830)		167		(31)		14,913		(3,861)
Special revenue	21,492		(4,329)		611		(96)		22,103		(4,425)
Industrial and miscellaneous (unaffiliated)	$	623,134	$	(137,881)	$	156,622	$	(55,074)	$	779,756	$	(192,955)
Parent, subsidiaries and affiliates	3,141		(182)		—		—		3,141		(182)
Hybrid securities	10,902		(1,648)		—		—		10,902		(1,648)
Mortgage-backed and asset-backed securities	456,580		(54,675)		151,123		(45,494)		607,703		(100,169)
Total bonds	$	1,161,757	$	(208,784)	$	308,958	$	(100,774)	$	1,470,715	$	(309,558)
Number of positions at unrealized loss			489				178				667

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

As of December 31, 2022, there are 12 below investment grade debt securities that have been in an unrealized loss position for greater than 12 months. Below investment grade unrealized losses greater than 12 months are $4.9 million. Securities in an unrealized loss position for over 12 months consisted of 178 securities. Unrealized losses were not recognized in earnings on these debt securities since the Company neither intends to sell the securities nor does it believe that it is more likely than not that it will be required to sell these securities before recovery of their amortized cost basis. Additionally, based on a security-by-security analysis, the Company expects to recover the entire amortized cost basis of these securities. In its evaluation of each security, management considered the actual recovery periods for these securities in previous periods of broad market declines. For securities with significant declines, individual security level analysis was performed, which considered any credit enhancements, expectations of defaults on underlying collateral and other available market data, including industry analyst reports and forecasts. Although there may be sustained losses for greater than 12 months on these securities, additional information was obtained related to company performance which did not indicate that the additional losses were other-than-temporary.

The carrying value and fair value of bonds by maturity as of December 31, 2023 are shown below.


	2023
	Carrying Value		Fair Value


Due in one year or less	$	26,322	$	25,267
Due after one year through five years	804,765		780,728
Due after five years through ten years	907,898		867,735
Due after ten years	1,011,932		854,111


Total bonds	$	2,750,917	$	2,527,841

Corporate bonds are shown based on contractual maturity or contractual sinking fund payments. Expected maturities may differ from contractual maturities because issuers may have the right to call or prepay obligations with or without call or prepayment penalties, or NLA may have the right to put or sell the obligations back to the issuers. Mortgage-backed and asset-backed securities (“ABS”) are not due at a single maturity date and therefore are shown based on the expected cash flows of the underlying loans, which includes estimates of anticipated future prepayments.

The carrying value of NLA’s other than temporarily impaired securities was $0.1 million and $39.1 million as of December 31, 2023 and 2022, respectively. The realized loss on OTTIs for impaired securities was $2.8 million, $3.8 million and $0.7 million as of December 31, 2023, 2022 and 2021, respectively.

Loan-backed securities

The Company has elected to use the book value as of January 1, 1994 as the cost for applying the retrospective adjustment method to securities purchased prior to that date, where historical cash flows are not readily available.

Prepayment assumptions for loan-backed bonds and structured securities were obtained from industry prepayment models or internal estimates. These assumptions are consistent with current interest rates and the economic environment. The retrospective adjustment method is used to value these securities.

There were no loan-backed impairments during the years ended December 31, 2023, 2022 and 2021 as a result of the intent to sell, or the inability to retain the investment in the security for a period of time sufficient to recover the amortized cost basis.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

Mortgage loans

The Company invests in mortgage loans that are collateralized by commercial properties, including multi-family residential buildings, which are managed as a single class of commercial mortgage loans. Mortgage loans are stated at original cost, net of principal payments and amortization. The Company segregates its portfolio by property type and geographic location. As of December 31, 2023 and 2022, the Company had $491,500 and $282,849, respectively, in mortgage loans. The allowance for loan losses at December 31, 2023 and 2022 were $1,805 and $752, respectively.

The following tables reflect the distribution of mortgage loans by property type as of December 31:


	2023		2022


Industrial	$	201,279	$	104,614
Multifamily	127,811		90,280
Office	57,791		58,712
Retail	62,558		13,780
Self-storage	15,830		16,215

Other	28,036		—
Total mortgage loans	493,305		283,601
Less: Allowance for loan losses	1,805		752
Net mortgage loans	$	491,500	$	282,849

The following tables reflect the distribution of mortgage loans by geographic region as of December 31:


	2023		2022


East North Central	$	90,824	$	56,325
East South Central	10,700		10,700
Middle Atlantic	24,157		3,737
Mountain	77,589		28,843

Pacific	127,351		82,645
South Atlantic	123,588		65,149
West North Central	20,539		23,400
West South Central	18,557		12,802

Total mortgage loans	493,305		283,601
Less: Allowance for loan losses	1,805		752
Net mortgage loans	$	491,500	$	282,849

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

The following tables summarize the Company’s commercial mortgage loan portfolio, net of allowance, loan-to-value (“LTV”) ratios and debt-service coverage (“DSC”) ratios using available data as of December 31. The ratios are updated as information becomes available.


	December 31, 2023
	DSC Ratios
	Greater than 2.0x		1.8x to 2.0x		1.5x to 1.8x		1.2x to 1.5x		1.0x to 1.2x		Less than 1.0x		Total
LTV Ratios
0% - 50%	$	35,424	$	6,382	$	23,524	$	—	$	—	$	—	$	65,330
50% - 60%	17,826		49,413		75,434		70,264		3,124		—		216,061
60% - 70%	41,751		7,498		54,512		44,894		—		22,388		171,043
70% - 80%	—		—		15,391		11,994		—		11,681		39,066
80% and greater	—		—		—		—		—		—		—
Total	$	95,001	$	63,293	$	168,861	$	127,152	$	3,124	$	34,069	$	491,500


	December 31, 2022
	DSC Ratios
($ in millions)	Greater than 2.0x		1.8x to 2.0x		1.5x to 1.8x		1.2x to 1.5x		1.0x to 1.2x		Less than 1.0x		Total
LTV Ratios
0% - 50%	$	26,143	$	15,746	$	19,944	$	—	$	—	$	—	$	61,833
50% - 60%	38,552		27,345		40,895		3,729		3,332		11,682		125,535
60% - 70%	15,810		—		29,351		35,849		14,471		—		95,481
70% - 80%	—		—		—		—		—		—		—
80% and greater	—		—		—		—		—		—		—
Total	$	80,505	$	43,091	$	90,190	$	39,578	$	17,803	$	11,682	$	282,849

LTV and DSC ratios are measures frequently used in commercial real estate to determine the quality of a mortgage loan. The LTV ratio is a comparison between the current loan balance and the value assigned to the property and is expressed as a percentage. If the LTV is greater than 100%, this would indicate that the loan amount exceeds the value of the property.

The DSC ratio compares the property’s net operating income to its mortgage debt service payments. If the DSC ratio is less than 1.0x, this would indicate that the property is not generating enough income after expenses to cover the mortgage payment. Therefore, a higher DSC ratio could indicate a better quality loan.

To monitor credit quality, the Company primarily uses RBC code, which is the risk category used in the RBC calculation that is based on debt service coverage ratio and loan-to-value. The codes range from CM1 to CM7, with CM1 being the most stable. The Company holds $236.3 million CM1 loans and $257.0 million CM2 loans as of December 31, 2023. The Company holds $165.7 million CM1 loans and $117.9 million CM2 loans as of December 31, 2022. The maximum percentage of any one loan to the value of the collateral security at the time of the loan, exclusive of insured, guaranteed or purchase money mortgages, acquired during 2023 and 2022 was 79.7% and 67.6%, respectively. As of December 31, 2023 and 2022, all loans were current.

During 2023, the minimum and maximum lending rates for mortgage loans were 3.1% and 10.3% respectively. There were no taxes, assessments, or amounts advanced not included in the mortgage loan total. There were no impairments on mortgage loans or any loans derecognized as a result of foreclosure for the year ended December 31, 2023.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

Other invested assets

Other invested assets as of December 31 are summarized below:


	2023		2022


Private equity	$	47,784	$	22,405
Collateral loans	2,219		2,202

Mortgage and real estate	20,969		11,193
Direct equity	78,088		16,087
Credit funds	14,816		7,008
Surplus debentures	947		947
Residual tranches	102,378		71,375
Other alternative assets	11,800		—
Total other invested assets	$	279,001	$	131,217

The Company has unfunded commitments related to its investments in limited partnerships in the amount of $164.4 million and $127.3 million as of December 31, 2023 and 2022, respectively. The Company has no investments in joint ventures, partnerships or limited liability companies that exceed 10% of its admitted assets.

Derivative instruments

Derivative instruments as of December 31 are summarized below:


	2023		2022

Equity index options:
Notional amount	$	1,142,556	$	857,513
Fair value	$	64,765	$	18,165
Carrying value	$	64,765	$	18,165

Swaps:
Notional amount	$	450,000	$	150,000
Fair value	$	(23,747)	$	(27,741)
Carrying value	$	(1,848)	$	(2,135)

Foreign currency forwards:
Notional amount	$	37,591	$	2,128
Fair value	$	(377)	$	(16)
Carrying value	$	(377)	$	(16)

Offsetting and netting of assets and liabilities

For the year ended December 31, 2023, the Company had net derivative assets of $62.5 million, which represented $97.0 million of gross derivative assets offset by $34.5 million in derivative liabilities. For the year ended December 31, 2022, the Company had net derivative assets of $16.0 million, which represented $24.6 million of gross derivative assets offset by $8.6 million in derivative liabilities.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

Restricted assets

Restricted assets (including pledged) relate to derivative collateral and statutory requirements of various jurisdictions. Restricted assets were $41.2 million and $44.0 million as of December 31, 2023 and 2022, respectively. Statutory deposits are included as bonds on the Statements of Admitted Assets, Liabilities, Capital and Surplus.

The Company is a member of the FHLB of Boston. As of December 31, 2023, the Company had no outstanding borrowings with the FHLB. During 2023, the Company had maximum borrowings of $0 with collateral of $0. The Company has determined the estimated maximum borrowing capacity as $41.0 million. The Company calculated this amount in accordance with Connecticut General Statute §38a-55, Hypothecation of Assets, whereby a domestic insurer may not pledge, hypothecate or otherwise encumber its assets to secure its debt in excess of the lesser of 5% of admitted assets or 25% of surplus as reported in its last financial statement filed with the commissioner. The Company owned $1.4 million of FHLB capital stock as of December 31, 2023, which was not eligible for redemption.

5GI Securities

NAIC 5GI is assigned by an insurance company to certain obligations that meet all of the following criteria: (1) documentation necessary to permit a full credit analysis of a security by the NAIC Securities Valuation Office (“SVO”) does not exist or an NAIC Credit Rating Provider (“CRP”) credit rating for a Filing Exemption (“FE”) or Private Letter (“PL”) security is not available; and (2) the issuer or obligor is current on all contracted interest and principal payments; and (3) the insurer has an actual expectation of ultimate payment of all contracted interest and principal.

5GI securities as of December 31 are summarized below:


	Number of 5GI Securities		Aggregate BACV*				Aggregate Fair Value
	Current Year	Prior Year	Current Year		Prior Year		Current Year		Prior Year

Investment
(1) Bonds - Amortized Cost	3	—	$	9,188	$	—	$	9,204	$	—
(2) Loan-backed and structured securities - Amortized Cost	—	—	—		—		—		—
(3) Preferred Stock - Amortized Cost	—	—	—		—		—		—
(4) Preferred Stock - Fair Value	—	—	—		—		—		—
(5) Total (1+2+3+4)	3	—	$	9,188	$	—	$	9,204	$	—

———————

*Book Adjusted Carrying Value

Investments in subsidiaries

The table below provides the Company’s loss tracking for subsidiary, controlled and affiliated (“SCA”) entities:


	Reporting Entity’s Share of SCA’s Net Income (Losses)		Accumulated Share of SCA’s Net Income (Losses)		Reporting Entity’s Share of SCA’s Equity including Negative Equity		Guaranteed Obligation/Commitment for Financial Support (Yes/No)	Amount of the Recognized Guarantee under SSAP No. 5R



Lynbrook	$	(217,609)	$	(491,143)	$	(484,175)	No	$	—

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

Lynbrook, with the explicit permission of the Commissioner of the Vermont Department of Financial Regulation, was authorized in conjunction with an excess-of-loss agreement (the “XOL Agreement”) to admit a receivable, the “XOL Asset,” and to not record a deferred tax liability on the XOL Asset. The Company had no guaranteed obligation or commitment for financial support to Lynbrook and admitted no value in this subsidiary for the years ended December 31, 2023 and 2022.

The Company’s investment in NKS is valued at the underlying statutory surplus and capital, which was $9.5 million and $14.6 million as of December 31, 2023 and 2022, respectively.

In 2023, the Company formed two new subsidiaries, Nassau Life and Annuity Company ABS C-I LLC (“ABS C”) and Nassau Life and Annuity Company ABS D-I LLC (“ABS D”). NLA funded and filed a Sub-1 filing with the NAIC for ABS D. The NAIC completed their review on February 16, 2024. The Company admitted $55.2 million of subsidiary equity for ABS D as of December 31, 2023. NLA also filed a Sub-1 filing for ABS C, and the NAIC completed their review on January 19, 2024. ABS C was not funded and has no underlying value ascribed to it. No subsidiary equity for ABS C was admitted as of December 31, 2023.

Concentration of credit risk of financial instruments

Credit exposure related to issuers of financial instruments is inherent in investments and derivative contracts with positive fair value or asset balances. The Company manages credit risk through the analysis of the underlying obligors, issuers and transaction structures. The Company reviews its debt security portfolio regularly to monitor the performance of obligors and assess the stability of their credit ratings. The Company also manages credit risk through industry and issuer diversification and asset allocation. The Company classifies debt securities into investment grade and below-investment-grade securities based on ratings prescribed by the NAIC. In a majority of cases, these classifications will coincide with ratings assigned by one or more Nationally Recognized Statistical Rating Organizations (“NRSRO”); however, for certain structured securities, the NAIC designations may differ from NRSRO designations based on the amortized cost of the securities in its portfolio. As of December 31, 2023, the Company was not exposed to the credit concentration risk of any issuer other than U.S. government and government agencies backed by the faith and credit of the U.S. government, defined as exposure greater than 10% of total admitted assets. The top five largest exposures were Carlyle Credit Opportunity Fund, DLICM, LLC, Arbor Realty Trust, Inc., UBS Group AG and Barclays Bank PLC. The Company monitors credit exposures by actively monitoring dollar limits on transactions with specific counterparties. The Company has an overall limit on below-investment-grade rated issuer exposure. Additionally, the creditworthiness of counterparties is reviewed periodically. The Company uses ISDA Master Agreements with derivative counterparties which may include Credit Support Annexes with collateral provisions to reduce counterparty credit exposures. To further mitigate the risk of loss on derivatives, the Company only enters into contracts in which the counterparty is a financial institution with a rating of A or higher from at least one NRSRO.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

Net investment income

The principal components of net investment income for the years ended December 31 were as follows:


	2023		2022		2021


Bonds	$	131,141	$	77,218	$	47,748
Contract loans	125		127		78
Cash and short-term investments	5,678		1,166		798
Preferred stock	184		223		262
Mortgage loans	18,767		10,828		5,082
Other invested assets	16,749		6,755		4,242
Derivative instruments	(5,762)		(1,060)		1,446
Miscellaneous income	—		—		3
Amortization of IMR	593		805		703
Less: Investment expenses	11,749		8,109		6,028
Total net investment income	$	155,726	$	87,953	$	54,334

Capital gains and losses

The principal components of realized gains (losses) and changes in unrealized capital gains (losses) on investments for the years ended December 31 were as follows:


	Realized						Change in Unrealized
	2023		2022		2021		2023		2022		2021


Bonds	$	(866)	$	(3,157)	$	1,110	$	(4)	$	1,378	$	(145)
Investments in affiliates	—		—		—		(1,515)		325		392
Other invested assets	(2,044)		7,377		—		(6,803)		(10,188)		1,490
Mortgage loans	(1,053)		(400)		(236)		—		—		—
Derivatives	(12,449)		(2,916)		12,030		28,462		(38,412)		6,140
Miscellaneous	422		(57)		7		—		(110)		110

Less: Income tax expense (benefit)	—		(482)		5,384		4,548		(9,940)		1,595
Net capital gains (losses)	$	(15,990)	$	1,329	$	7,527	$	15,592	$	(37,067)	$	6,392

Realized gains (losses) include invested asset other-than-temporary impairments of $2.8 million, $3.8 million and $0.7 million for the years ended December 31, 2023, 2022 and 2021, respectively. Proceeds from the sales of investments were $147,352 with $2,047 of realized gains and $2,944 of realized losses for the year ended December 31, 2023. Proceeds from the sales of investments were $129,539 with $3,798 of realized gains and $6,651 of realized losses for the year ended December 31, 2022. Proceeds from the sales of investments were $290,605 with $16,665 of realized gains and $1,483 of realized losses for the year ended December 31, 2021.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

4. Reserves for Future Policy Benefits and Reinsurance

The balances for NLA’s major categories of reserves for future policy benefits as of December 31 are summarized below:


	2023		2022


Life insurance	$	222,493	$	236,103
Annuities	4,052,068		2,656,323
A&H reserves	226,099		246,276
Various	4,117		4,328
Total before reinsurance ceded	4,504,777		3,143,030
Less: Reinsurance ceded	3,692,092		2,553,942
Reserves for future policy benefits	$	812,685	$	589,088

NLA waives deduction of deferred fractional premiums upon death of the insured and returns any portion of the final premium beyond date of death. Surrender values promised in excess of legally computed reserves have been included in miscellaneous reserves.

For a policy on which the substandard extra premiums are based upon a multiple of standard mortality, the substandard extra reserve is based upon the excess of such multiple over standard mortality. For a policy carrying a flat extra premium, the extra reserve is one half of the flat extra premium.

As of December 31, 2023 and 2022, the Company had $72.5 million and $74.0 million, respectively, of life insurance in force for which the gross premiums are less than the net premiums according to the standard of valuation set by the Department. Net reserves to cover the above insurance totaled $2.5 million and $2.7 million at December 31, 2023 and 2022, respectively. The Company anticipates investment income as a factor in the premium deficiency calculation, and the Company had no premium deficiency reserves at December 31, 2023.

Tabular cost has been determined from the basic data for the calculation of policy reserves. Tabular less actual reserves released has been determined from the basic data for the calculation of reserves and reserves released. Tabular interest has been determined from the basic data for the calculation of policy reserves.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

Withdrawal characteristics

Withdrawal characteristics of annuity actuarial reserves and deposit liabilities as of December 31 were as follows:


	2023
	General Account		Separate Account with Guarantees		Separate Account Non-guaranteed		Total		% of total

Individual Annuities
Subject to discretionary withdrawal:
- with market value adjustment	$	3,455,231	$	—	$	—	$	3,455,231	85	%
- at book value less surrender charge of 5% or more	61		—		—		61		—	%
- at fair value	—		—		—		—		—	%
Total with market value adjustment or at fair value	3,455,292		—		—		3,455,292		85	%
At book value without adjustment (minimal or no charge or adjustment)	26,738		—		—		26,738		1	%
Not subject to discretionary withdrawal	570,196		—		—		570,196		14	%
Total individual annuity actuarial reserves	4,052,226		—		—		4,052,226		100	%
Less: Reinsurance ceded	3,360,379		—		—		3,360,379
Total individual annuity actuarial reserves, net of reinsurance	$	691,847	$	—	$	—	$	691,847


	2022
	General Account		Separate Account with Guarantees		Separate Account Non-guaranteed		Total		% of total

Individual Annuities
Subject to discretionary withdrawal:
- with market value adjustment	$	2,306,834	$	—	$	—	$	2,306,834	87	%
- at book value less surrender charge of 5% or more	60		—		—		60		—	%
- at fair value	—		—		—		—		—	%
Total with market value adjustment or at fair value	2,306,894		—		—		2,306,894		87	%
At book value without adjustment (minimal or no charge or adjustment)	31,160		—		—		31,160		1	%
Not subject to discretionary withdrawal	318,393		—		—		318,393		12	%
Total individual annuity actuarial reserves	2,656,447		—		—		2,656,447		100	%
Less: Reinsurance ceded	2,194,466		—		—		2,194,466
Total individual annuity actuarial reserves, net of reinsurance	$	461,981	$	—	$	—	$	461,981

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)


	2023
	General Account		Separate Account with Guarantees		Separate Account Non-guaranteed		Total		% of total

Deposit-Type Contracts (no life contingencies)
Subject to discretionary withdrawal:
- with market value adjustment	$	—	$	—	$	—	$	—	—	%
- at book value less surrender charge of 5% or more	—		—		—		—		—	%
- at fair value	—		—		—		—		—	%
Total with market value adjustment or at fair value	—		—		—		—		—	%
At book value without adjustment (minimal or no charge or adjustment)	2,498		—		—		2,498		81	%
Not subject to discretionary withdrawal	592		—		—		592		19	%
Total individual annuity actuarial reserves	3,090		—		—		3,090		100	%
Less: Reinsurance ceded	2,418		—		—		2,418
Total individual annuity actuarial reserves, net of reinsurance	$	672	$	—	$	—	$	672


	2022
	General Account		Separate Account with Guarantees		Separate Account Non-guaranteed		Total		% of total

Deposit-Type Contracts (no life contingencies)
Subject to discretionary withdrawal:
- with market value adjustment	$	—	$	—	$	—	$	—	—	%
- at book value less surrender charge of 5% or more	—		—		—		—		—	%
- at fair value	—		—		—		—		—	%
Total with market value adjustment or at fair value	—		—		—		—		—	%
At book value without adjustment (minimal or no charge or adjustment)	2,490		—		—		2,490		76	%
Not subject to discretionary withdrawal	769		—		—		769		24	%
Total individual annuity actuarial reserves	3,259		—		—		3,259		100	%
Less: Reinsurance ceded	2,648		—		—		2,648
Total individual annuity actuarial reserves, net of reinsurance	$	611	$	—	$	—	$	611

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

Reconciliation of total annuity actuarial reserves and deposit fund liabilities for the year ended December 31, 2023:


	Amount

Life and Accident & Health Annual Statement:
Exhibit 5, Annuities section, total (net)	$	691,716
Exhibit 5, Supplementary contracts with life contingencies section, total (net)	131
Exhibit 7, Deposit-type contracts, line 14, column 1	672
Subtotal	692,519

Separate Accounts Annual Statement:
Exhibit 3, Line 0299999, column 2	—
Exhibit 3, Line 0399999, column 2	—
Policyholder dividend and coupon accumulations	—
Policyholder premiums	—
Guaranteed interest contracts	—
Other deposit funds	—
Subtotal	—
Combined total	$	692,519

Withdrawal characteristics of life actuarial reserves as of December 31, 2023 were as follows:


	General Account						Separate Account - Non-guaranteed
	Account Value		General Account Cash Value		Reserve		Account Value		Cash Value		Reserve

Subject to discretionary withdrawal, surrender values or policy loans:
- Term policies with cash value	$	—	$	—	$	—	$	—	$	—	$	—
- Universal life	76,393		76,178		80,029		—		—		—
- Universal life with secondary guarantees	—		—		—		—		—		—
- Indexed universal life	—		—		—		—		—		—
- Indexed universal life with secondary guarantees	—		—		—		—		—		—
- Indexed life	—		—		—		—		—		—
- Other permanent cash value life insurance	108,930		108,930		130,481		—		—		—
- Variable life	—		—		—		—		—		—
- Variable universal life	1,379		1,379		1,379		5,377		5,377		5,377
- Miscellaneous reserves	—		—		—		—		—		—

Not subject to discretionary withdrawal, with no cash value:
- Term policies without cash value	XXX		XXX		8,154		XXX		XXX		—
- Accidental death benefits	XXX		XXX		1,280		XXX		XXX		—
- Disability-active lives	XXX		XXX		207		XXX		XXX		—
- Disability-disabled lives	XXX		XXX		1,170		XXX		XXX		—
- Miscellaneous reserves	XXX		XXX		3,752		XXX		XXX		—

Total (gross: direct + assumed)	186,702		186,487		226,452		5,377		5,377		5,377
Less: Reinsurance ceded	154,808		154,592		185,414		—		—		—
Total, net	$	31,894	$	31,895	$	41,038	$	5,377	$	5,377	$	5,377

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

Withdrawal characteristics of life actuarial reserves as of December 31, 2022 were as follows:


	General Account						Separate Account - Non-guaranteed
	Account Value		General Account Cash Value		Reserve		Account Value		Cash Value		Reserve

Subject to discretionary withdrawal, surrender values or policy loans:
- Term policies with cash value	$	—	$	—	$	—	$	—	$	—	$	—
- Universal life	79,991		79,725		83,670		—		—		—
- Universal life with secondary guarantees	—		—		—		—		—		—
- Indexed universal life	—		—		—		—		—		—
- Indexed universal life with secondary guarantees	—		—		—		—		—		—
- Indexed life	—		—		—		—		—		—
- Other permanent cash value life insurance	113,043		113,043		135,487		—		—		—
- Variable life	—		—		—		—		—		—
- Variable universal life	1,433		1,433		1,433		4,615		4,615		4,615
- Miscellaneous reserves	—		—		—		—		—		—

Not subject to discretionary withdrawal, with no cash value:
- Term policies without cash value	XXX		XXX		12,993		XXX		XXX		—
- Accidental death benefits	XXX		XXX		1,328		XXX		XXX		—
- Disability-active lives	XXX		XXX		255		XXX		XXX		—
- Disability-disabled lives	XXX		XXX		1,191		XXX		XXX		—
- Miscellaneous reserves	XXX		XXX		3,950		XXX		XXX		—

Total (gross: direct + assumed)	194,467		194,201		240,307		4,615		4,615		4,615
Less: Reinsurance ceded	161,298		161,031		200,381		—		—		—
Total, net	$	33,169	$	33,170	$	39,926	$	4,615	$	4,615	$	4,615

Reconciliation of total life insurance reserves for the year ended December 31, 2023:


	Amount


Exhibit 5, Life insurance section, total (net)	$	40,553
Exhibit 5, Accidental death benefits section, total (net)	475
Exhibit 5, Disability active lives section, total (net)	—
Exhibit 5, Disability disabled lives section, total (net)	3
Exhibit 5, Miscellaneous reserves section, total (net)	7
Subtotal	41,038

Separate Accounts Annual Statement:
Exhibit 3, Line 0299999, column 2	5,377
Exhibit 3, Line 0399999, column 2	—
Exhibit 3, Line 0599999, column 2	—
Subtotal	5,377
Combined total	$	46,415

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

Reinsurance

In connection with NLA’s life insurance products, automatic treaties with unaffiliated reinsurers were established, beginning in 1999, covering 100% of net amount at risk for the Company’s term products; and 50% to 80% for the Company’s universal life and variable universal life products, depending on the individual treaty, on a first dollar basis. NLA had approximately $1.9 billion of net insurance in force, including $2.9 billion of direct/assumed in force less $1.0 billion of reinsurance ceded as of December 31, 2023. NLA had approximately $1.9 billion of net insurance in force, including $4.1 billion of direct/assumed in force less $2.2 billion of reinsurance ceded as of December 31, 2022.

On July 18, 2023, Scottish Re (US), Inc. (“SRUS”) was ordered into liquidation by the State of Delaware. As a result of the Liquidation Order, all reinsurance agreements in which SRUS was the reinsurer were terminated on September 30, 2023. As a result, management recorded an impairment of $1.7 million on net claims recoverable from SRUS. As a result of the SRUS termination, the Company recaptured the associated SRUS treaties. The related reserve credit was $0 as of the termination date.

Effective March 31, 2021, NLA, entered into a modified coinsurance (“MODCO”) reinsurance agreement with PHL. Under the agreement, PHL retrocedes and NLA reinsures 100% of certain inforce corporate-owned whole life insurance policies assumed by PHL from Nassau Life Insurance Company (“NNY”). Under MODCO, the assets, which are equal to the statutory reserves held for the reinsured policies, and liabilities associated with the assumed business are retained by NNY and the Company will receive the economic risks and rewards related to the assumed business through MODCO adjustments. The Company paid a $150 million reinsurance allowance under the agreement.

Effective April 1, 2019, the Company entered into a coinsurance funds withheld agreement with a subsidiary captive entity, Lynbrook, to reinsure the Company’s guaranteed minimum withdrawal benefit (“GMWB”) riders on fixed indexed annuity contracts. As of December 31, 2023 and 2022, $565.6 million and $314.0 million, respectively, of reserves were ceded under the agreement.

Effective October 1, 2019, the Company entered into a reinsurance agreement (the “Sunrise agreement”) with an affiliate captive entity, Sunrise, to reinsure 80% of its fixed indexed annuity, fixed annuity, and life insurance products issued beginning in 2018 on a coinsurance funds withheld basis. Effective December 31, 2020, the Sunrise agreement was amended to include 69% reinsurance coverage for certain life and A&H products. This block is net of the collected reinsurance provided and paid to the ceding company under any third-party reinsurance agreement (inuring reinsurance). However, it excludes the business where reinsurer consent is required, as consent was not requested. In connection with this amendment, the Company paid Sunrise an initial reinsurance premium consisting of assets with a statutory book value equal to the statutory reserves and liability of approximately $155.8 million less $22.5 million of ceding commission, which was deposited into the existing funds held account. The ceding commission, net of tax, was recognized in surplus and will be amortized into net income over future periods in relation to the profits ceded under the amendment. Reserves ceded under the Sunrise agreement were $2,886.3 million and $1,976.4 million as of December 31, 2023 and 2022, respectively.

Effective August 3, 2016, NLA (as surviving entity after merger with Nassau Life Insurance Company of Texas (“NTX”)) entered into a reinsurance agreement with Nassau Re (Cayman), Ltd. (“NKY”) an affiliate on a MODCO basis, to cede 69% of certain net retained business. Effective October 1, 2020 the Company recaptured this MODCO agreement. Total amount of MODCO reserves recaptured was $157.1 million with a recapture fee of $22.1 million paid by the Company to NKY and expensed through miscellaneous fees.

The Company had no cessions to captive reinsurers in which a non-zero primary security shortfall exists.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

Effective August 3, 2016, NLA (as surviving entity after merger with NTX) entered into a reinsurance agreement with American Progressive (“APLH”), (a former affiliate of NTX) on a coinsurance funds withheld basis, to assume 100% of APLH’s net retained traditional insurance business. This transaction was net of the reinsurance provided under any third-party reinsurance agreements. Concurrently, APLH entered into a funds withheld custody account agreement, whereby the assets associated with the coinsurance agreement are held in a custodial bank account to secure the obligations of the Company. Policy and Contract liabilities of approximately $51.4 million were transferred by American Progressive to the Company. The supporting assets held by APLH were deposited into the Funds Withheld custody account for the benefit of the Company. As of December 31, 2023, the assumed reserves were $19.5 million for life and $16.8 million for A&H. As of December 31, 2022, the assumed reserves were $19.9 million for life and $17.8 million for A&H.

Before consideration of the Coinsurance Funds Withheld agreement mentioned above, the Company reinsures between 50% and 100% of most of its accident and health and life business to unaffiliated reinsurers.

On April 24, 2009, the Company completed the closing of a life insurance and annuity reinsurance transaction with Commonwealth Annuity and Life Insurance Company (“Commonwealth”). Under this transaction, the Company reinsured substantially all of its in force life insurance and annuity business under a 100% coinsurance treaty. Since the business reinsured was in force business, the Company has established a deferred ceding allowance, which is being amortized into income.

Effective October 1, 2010, substantially all the annuity portion of the Commonwealth transaction was commuted with Commonwealth and reinsured with Athene, a Bermuda reinsurer. All the assets for this block of business are held in a trust account for the benefit of the Company and its affiliates. The assets in the trust account are maintained at a minimum of 106% of reserve liabilities. As of December 31, 2023, the policy and contract liabilities ceded to Athene are $24.2 million with assets in the trust totaling $29.4 million.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

Additional information on direct business written and reinsurance assumed and ceded for the years ended December 31, 2023 and 2022 is set forth below:


	2023		2022


Direct premiums and annuity considerations	$	1,393,680	$	1,045,841
Reinsurance assumed - non-affiliate	10,208		11,806
Reinsurance assumed - affiliate	3,864		4,872
Reinsurance ceded - non-affiliate	(18,289)		(23,408)
Reinsurance ceded - affiliate	(1,100,572)		(815,328)
Net premiums and annuity considerations	$	288,891	$	223,783

Direct commissions and expense allowance	$	142,342	$	109,036
Reinsurance assumed - non-affiliate	241		227
Reinsurance assumed - affiliate	244		286
Reinsurance ceded - non-affiliate	(2,857)		(3,251)
Reinsurance ceded - affiliate	(126,704)		(99,124)
Net commissions and expense allowance	$	13,266	$	7,174

Direct policy and contract claims incurred	$	115,104	$	111,927
Reinsurance assumed - non-affiliate	10,482		12,270
Reinsurance assumed - affiliate	77,477		81,636
Reinsurance ceded - non affiliate	(35,373)		(40,463)
Reinsurance ceded - affiliate	(51,950)		(46,799)
Net policy and contract claims incurred	$	115,740	$	118,571

Direct policy and contract claims payable	$	21,703	$	19,875
Reinsurance assumed - non-affiliate	2,167		2,267

Reinsurance ceded - non-affiliate	(5,241)		(7,621)
Reinsurance ceded - affiliate	(11,829)		(8,538)
Net policy and contract claims payable	$	6,800	$	5,983

Direct life insurance in force	$	1,157,747	$	2,386,929
Reinsurance assumed	1,723,955		1,706,969
Reinsurance ceded	(1,018,303)		(2,236,293)
Net insurance in force	$	1,863,399	$	1,857,605

In the event all, including affiliated, reinsurance agreements were to be terminated, the Company estimates the aggregate reduction in surplus would be $624.7 million and $362.3 million for the years ended December 31, 2023 and 2022, respectively.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

Unpaid A&H Claims

The following table provides a reconciliation of the beginning and ending balances of unpaid accident and health claim liabilities, net of reinsurance recoverable for the years ended December 31, 2023, 2022 and 2021:


	2023		2022		2021


Unpaid claims, at beginning of year	$	39,908	$	42,260	$	45,905
Add provisions for claims, net of reinsurance, occurring in:
Current year	17,544		20,280		20,291
Prior years	1,047		1,333		966
Net incurred losses during the year	18,591		21,613		21,257
Deduct payments for claims, net of reinsurance, occurring in:
Current year	8,714		9,965		11,468
Prior years	13,864		14,000		13,434
Net incurred losses during the year	22,578		23,965		24,902
Unpaid claims liabilities, at end of year	$	35,921	$	39,908	$	42,260

Unpaid claims liabilities are principally on the guaranteed renewable line of business. For 2022, increases or (decreases) were generally the result of ongoing analysis of recent loss development trends. During 2023, the majority of the shortfall is from long duration products where premiums and active life reserves continue to support the sufficiency of the block.

Interest of $1.8 million and $1.9 million was accrued in 2023 and 2022, respectively, on prior year’s long term care and disability income reserves.

5. Premiums and Annuity Considerations Deferred and Uncollected

Deferred and uncollected life insurance premiums and annuity considerations as of December 31, 2023 were as follows:


Type of Business	Gross		Net of Loading


Ordinary new business	$	6	$	2
Ordinary renewal	$	2,984	$	2,165
Total	$	2,990	$	2,167

Deferred and uncollected life insurance premiums and annuity considerations as of December 31, 2022 were as follows:


Type of Business	Gross		Net of Loading


Ordinary new business	$	46	$	14
Ordinary renewal	3,360		2,418
Total	$	3,406	$	2,432

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

6. Separate Accounts

The Company utilizes separate accounts to record and account for assets and liabilities for particular lines of business and/or transactions. For the current reporting year, the Company reported assets and liabilities for its Variable Universal Life product into a separate account, which is authorized by Connecticut General Statute §38a-433.

In accordance with the products/transactions recorded within the separate account, the legal insulation of the separate account assets prevents such assets from being generally available to satisfy claims resulting from the general account. As of December 31, 2023 and 2022, the Company’s separate account statement included legally insulated assets of $5.4 million and $4.6 million, respectively.

The Company does not engage in securities lending transactions within the separate accounts.

All separate account liabilities are non-guaranteed. Reserves for separate account liabilities at fair value were $5.4 million and $4.6 million as of December 31, 2023 and 2022, respectively.

The net transfers to and from the separate accounts, included in the change in reserves for future policy benefits in the Statements of Income and Changes in Capital and Surplus, were as follows:


	2023		2022		2021

From Separate Accounts Annual Statement:
Transfers to separate accounts	$	56	$	62	$	94
Transfers from separate accounts	(9)		(241)		(167)
Net transfers to/(from) separate accounts	$	47	$	(179)	$	(73)

Transfers as reported in the Statements of Income and Changes in Capital and Surplus	$	47	$	(179)	$	(73)

7. Federal Income Taxes

The components of the net deferred tax asset/(liability) at period end and the change in those components are as follows:


	December 31, 2023						December 31, 2022						Change
	Ordinary		Capital		Total		Ordinary		Capital		Total		Ordinary		Capital		Total


Gross deferred tax assets	$	44,195	$	8,343	$	52,538	$	39,240	$	747	$	39,987	$	4,955	$	7,596	$	12,551
Statutory valuation allowance	—		—		—		—		—		—		—		—		—
Adjusted gross deferred tax assets	44,195		8,343		52,538		39,240		747		39,987		4,955		7,596		12,551
Less: Deferred tax assets non-admitted	34,384		7,661		42,045		33,946		563		34,509		438		7,098		7,536
Subtotal net admitted deferred tax assets	9,811		682		10,493		5,294		184		5,478		4,517		498		5,015
Less: Deferred tax liabilities	6,445		682		7,127		2,470		184		2,654		3,975		498		4,473
Net deferred tax assets	$	3,366	$	—	$	3,366	$	2,824	$	—	$	2,824	$	542	$	—	$	542

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)


	December 31, 2023						December 31, 2022						Change
	Ordinary		Capital		Total		Ordinary		Capital		Total		Ordinary		Capital		Total


Federal income taxes paid in prior years recoverable through loss carrybacks	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Adjusted gross deferred tax assets expected to be realized after application of the threshold limitation	3,366		—		3,366		2,824		—		2,824		542		—		542
1) Adjusted gross deferred tax assets expected to be realized following the balance sheet date	3,366		—		3,366		2,824		—		2,824		542		—		542
2) Adjusted gross deferred tax assets allowed per limitation threshold	XXX		XXX		25,868		XXX		XXX		17,710		XXX		XXX		8,158
Adjusted gross deferred tax assets offset by gross deferred tax liabilities	6,445		682		7,127		2,470		184		2,654		3,975		498		4,473
Deferred tax assets admitted as the result of application of SSAP No. 101	$	9,811	$	682	$	10,493	$	5,294	$	184	$	5,478	$	4,517	$	498	$	5,015


	2023			2022


Ratio percentage used to determine recovery period and threshold limitation amount	762		%	628		%
Amount of adjusted capital and surplus used to determine recovery period and threshold limitation	$	172,454		$	118,064


	December 31, 2023						December 31, 2022						Change
	Ordinary			Capital			Ordinary			Capital			Ordinary			Capital

Impact of tax planning strategies
Adjusted gross DTAs	$	44,195		$	8,343		$	39,240		$	747		$	4,955		$	7,596
% of total adjusted gross DTAs	—		%	—		%	—		%	—		%	—		%	—		%
Net admitted adjusted gross DTAs	$	9,811		$	682		$	5,294		$	184		$	4,517		$	498
(% of total net admitted adjusted gross DTAs	—		%	—		%	—		%	—		%	—		%	—		%

Management believes that it is more likely than not that the Company will be able to utilize the DTAs in the future without any tax planning strategies due to projected future taxable income generated.

The Company believes that there is sufficient positive evidence, including a history of earnings and projected future income generation, to support that it is more likely than not that the Company will realize the tax benefits associated with its deferred tax assets and, consequently, it is not required to record a valuation allowance for statutory accounting purposes.

Regarding deferred tax liabilities that are not recognized, the Company has no temporary differences for which deferred tax liabilities have not been established.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

The components of current income taxes incurred in the Statements of Income and Changes in Capital and Surplus and the net deferred tax asset/(liability) recognized in the Company’s Statutory Statements of Admitted Assets and Statutory Statements of Liabilities, Capital and Surplus at December 31, 2023 and 2022 were as follows:


	2023		2022		Change

Current income tax:
Federal	$	—	$	446	$	(446)

Subtotal	—		446		(446)
Federal income tax on net capital gains	—		(482)		482

Other	—		—		—
Federal and foreign income tax expense (benefit) incurred	$	—	$	(36)	$	36

Deferred tax assets:
Ordinary:
Policyholder reserves	$	6,901	$	4,266	$	2,635
Investments	867		2,214		(1,347)
Deferred acquisition costs	6,732		4,837		1,895
Net operating loss carryforward	28,192		26,394		1,798
Tax credit carryforward	—		—		—
Other (including items <5% of total ordinary tax assets)	1,503		1,529		(26)
Subtotal	44,195		39,240		4,955
Non-admitted	34,384		33,946		438
Admitted ordinary deferred tax assets	$	9,811	$	5,294	$	4,517

Capital:
Investments	$	5,998	$	747	$	5,251
Net capital loss carryforward	2,345		—		2,345
Subtotal	8,343		747		7,596
Non-admitted	7,661		563		7,098
Admitted capital deferred tax assets	682		184		498
Admitted deferred tax assets	$	10,493	$	5,478	$	5,015

Deferred tax liabilities:
Ordinary:
Investments	$	5,804	$	1,629	$	4,175
Deferred and uncollected premiums	443		491		(48)
Policyholder reserves	195		348		(153)
Other	3		2		1
Subtotal	6,445		2,470		3,975

Capital:
Investments	682		184		498
Policyholder reserves	—		—		—
Other	—		—		—
Subtotal	682		184		498
Deferred tax liabilities	7,127		2,654		4,473
Net admitted deferred tax assets/liabilities	$	3,366	$	2,824	$	542

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

Reconciliation of federal income tax rate to actual effective rate:


	December 31, 2023
	Amount		Tax Effect		Effective Tax Rate


Income (loss) before taxes	$	(17,341)	$	(3,642)	21.0	%
Interest maintenance reserve	(606)		(127)		0.7	%
Deferred ceding allowance	(4,089)		(859)		5.0	%
Dividends received deduction	(92)		(19)		0.1	%
Return to provision	16		3		—	%

Tax sharing relief	(37,836)		(7,946)		45.8	%
Change in non-admitted assets and other	790		167		(1.0	%)
Total statutory income tax	$	(59,158)	$	(12,423)	71.6	%





Change in net deferred income tax expense/(benefit)			$	(12,423)	71.6	%
Total statutory income tax			$	(12,423)	71.6	%


	December 31, 2022
	Amount		Tax Effect		Effective Tax Rate


Income (loss) before taxes	$	43,781	$	9,194	21.0	%
Interest maintenance reserve	(445)		(94)		(0.2	%)
Deferred ceding allowance	(4,089)		(859)		(2.0	%)
Dividends received deduction	(108)		(23)		(0.1	%)
Return to provision	(421)		(88)		(0.2	%)


Change in non-admitted assets and other	(3,313)		(696)		(1.6	%)
Total statutory income tax	$	35,405	$	7,435	17.0	%

Federal income taxes incurred			$	446	1.0	%
Tax on capital gains/(losses)			(482)		(1.1	%)


Change in net deferred income tax expense/(benefit)			7,471		17.1	%
Total statutory income tax			$	7,435	17.0	%

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)


	December 31, 2021
	Amount		Tax Effect		Effective Tax Rate


Income (loss) before taxes	$	(128,082)	$	(26,897)	21.0	%
Interest maintenance reserve	5,562		1,168		(0.9	%)
Deferred ceding allowance	(4,089)		(859)		0.7	%
Dividends received deduction	(76)		(16)		—	%



Other, including prior year true-up	(5,465)		(1,148)		0.9	%
Total statutory income tax	$	(132,150)	$	(27,752)	21.7	%

Federal income taxes incurred			$	(9,646)	7.5	%
Tax on capital gains/(losses)			5,384		(4.2	%)


Change in net deferred income tax expense/(benefit)			(23,490)		18.3	%
Total statutory income tax			$	(27,752)	21.7	%

Carryforwards, recoverable taxes and IRC 6603 deposits:


	2023		2022


The Company had net operating loss carryforwards of	$	134,249	$	125,683
The Company had capital loss carryforwards of	11,165		—

As of December 31, 2023, the Company has approximately $134.2 million of net operating loss carryforwards and $11.2 million of capital loss carryforwards, respectively. The Company has approximately $1.7 million of net operating loss carryforwards that expire in 2032. The Company’s capital loss carryforwards expire in 2028.

The Company had no income tax expense for 2023, 2022 or 2021 that is available for recoupment in the event of future net capital losses.

There was no aggregate amount of deposits reported as admitted assets under Section 6603 of the Internal Revenue Code as of December 31, 2023 or 2022.

The Company’s U.S. federal income tax return for years 2020 and after may be selected for review by tax authorities. The Company does not anticipate any material assessments or adjustments to the Company’s liability resulting from the tax examinations of prior open year periods.

Uncertain tax positions are assessed under the applicable statutory accounting guidance. There were no unrecognized tax benefits relating to uncertain tax positions for the years ended December 31, 2023 and 2022. As of December 31, 2023, the Company has recognized no amount for interest or penalties related to uncertain tax positions. Based upon existing information, the Company does not expect a material change in the recognized liability in the next 12 months. The Company has no tax loss contingencies for which it is reasonably possible that the total liability will significantly increase within twelve months of the reporting date.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

The Tax Cuts and Jobs Act provides a base erosion and anti-abuse tax (“BEAT”) which represents minimum tax calculated on a base equal to the taxpayer’s taxable income determined without regard to: (1) the tax benefits arising from base erosion payments, and (2) the applicable base erosion percentage of any NOL allowed for the tax year. The BEAT rate is 10% for tax years beginning in 2019 through 2025 and 12.5% for tax years beginning after December 31, 2025. The Company is a member of an “Aggregate Group” within the meaning of the IRC and the Aggregate Group’s base erosion payments are less than 3% of the Aggregate Group’s total deductions for the years ended December 31, 2023 and 2022. Accordingly, the BEAT liability was $0 for the years ended December 31, 2023 and 2022.

On August 16, 2022, President Biden signed into law the Inflation Reduction Act (the “Act”). Effective for tax years beginning after December 31, 2022, the Act includes a new corporate alternative minimum tax (“CAMT”) on certain corporations. The Company has determined, as of the reporting date, that they are not subject to the CAMT in 2023.

8. Related Party Transactions

An affiliate, The Nassau Companies of New York (“NCNY”), provides services and facilities to the Company that are reimbursed through a shared service agreement/cost allocation process. Expenses allocated by NCNY on the Company’s behalf were $33.4 million, $24.9 million and $20.9 million for the years ended December 31, 2023, 2022 and 2021, respectively. The amounts payable to NCNY were $4.0 million and $1.3 million as of December 31, 2023 and 2022, respectively.

NNY pays commissions to producers who sell the Company’s non-registered life and annuity products. The Company reimbursed NNY for commissions paid on the Company’s behalf of $135.3 million, $101.2 million and $87.8 million for the years ended December 31, 2023, 2022 and 2021, respectively. The amounts due to NNY were $9.0 million and $7.8 million as of December 31, 2023 and 2022, respectively.

Saybrus Partners, LLC (“Saybrus Partners”), a former affiliate of NLA, provided wholesaling services to various third party distributors and affiliates of variable life insurance and variable annuities. The Company reimbursed Saybrus Partners for commissions paid of $0, $0 and $6.9 million as of December 31, 2023, 2022 and 2021, respectively. There were no commission amounts payable to Saybrus Partners as of December 31, 2023 or 2022.

The Company’s affiliate, Nassau Asset Management LLC (“NAMCO”), provides investment and related advisory services through an Investment Management Agreement. Expenses incurred under this agreement were $10.9 million, $7.8 million and $5.5 million for the years ended December 31, 2023, 2022 and 2021, respectively. Amounts due to NAMCO were $0 and $0 as of December 31, 2023 and 2022, respectively.

The Company has investments in various classes of notes of Nassau 2017-I Ltd., Nassau 2017-II Ltd., Nassau 2018-I Ltd., Nassau 2018-II Ltd., Nassau 2019-II Ltd., Nassau 2020-I Ltd., Nassau Euro CLO I DAC, Nassau Euro CLO II DAC, Nassau Euro CLO III DAC, NCC US 2023-1 WH and Angel Island Capital 2023-I Ltd. (the “Nassau CLOs”) totaling $102.6 million par with a fair value of $79.9 million and $33.8 million par with a fair value of $17.9 million at December 31, 2023 and 2022, respectively. The Nassau CLOs are managed by NGC CLO Manager, LLC and NGC UK LLP, affiliates of NLA. These are recorded in other invested assets.

The Company has investments in NCNY long-term bonds, which have a par value of $16.3 million and $15.9 million at December 31, 2023 and 2022, respectively, and a fair value of $11.6 million and $11.0 million at December 31, 2023 and 2022, respectively.

In September 2019, the Company invested in Class B Notes issued by Nassau 2019 CFO, LLC, a collateralized fund obligation managed by an affiliate. These Class B Notes have a par and fair value of $0.9 million and $0.8 million and $0.9 million and $0.8 million at December 31, 2023 and 2022, respectively. These are recorded in other invested assets.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(in thousands except where noted in millions)

In September 2022, the Company invested in Class C Notes and Subordinated Notes issued by Nassau 2022 CFO, LLC, a collateralized fund obligation managed by an affiliate. The Class C Notes have a par of $7.1 million and fair value of $7.1 million and a par of $6.6 million and fair value of $6.6 million at December 31, 2023 and 2022, respectively. The Company’s investment in Subordinated Notes issued by Nassau CFO 2022 have a par of $41.8 million and fair value of $41.8 million and a par of $41.8 million and fair value of $41.8 million at December 31, 2023 and 2022, respectively.

In November 2021, the Company invested in NNY surplus notes, which have a par value of $2.2 million and $2.2 million and a fair value of $2.0 million and $2.0 million at December 31, 2023 and 2022, respectively.

The Company has written intercompany agreements in place with its affiliates that contain a settlement date for amounts owed, which are settled monthly, in accordance with admissibility requirements. As of December 31, 2023, no amounts were overdue.

9. Fair Value Disclosures of Financial Instruments

The fair value of an asset is the amount at which that asset could be bought or sold in a current arms-length transaction. Included in several investment related line items in the financial statements are certain financial instruments carried at fair value. Other financial instruments are periodically measured at fair value, such as when impaired, or, for certain bonds when carried at the lower of cost or market. The fair values presented for certain financial instruments are estimates which, in many cases, may differ significantly from the amounts which could be realized upon immediate liquidation. In cases where market prices are not available, estimates of fair value are based on discounted cash flow analyses, which utilize current interest rates for similar financial instruments, which have comparable terms and credit quality.

The following methods and assumptions were used to estimate the fair value of each class of financial instruments:

Bonds and preferred stock

The Company uses pricing vendors to estimate fair value for the majority of its public bonds and preferred stock. The pricing vendors’ estimates are based on market data and use pricing models that vary by asset class and incorporate available trade, bid and other market information. When pricing vendors are unable to obtain evaluations based on market data, fair value is determined by obtaining a direct broker quote or by using an internal model. For the majority of private bonds and preferred stock, fair value is determined using a discounted cash flow model, which utilizes a discount rate based upon the average of spread surveys collected from private market intermediaries who are active in both primary and secondary transactions. When the discounted cash flow model is not appropriate, the Company uses third party broker quotes or other internally developed values. Short-term investments include securities with a maturity of one year or less but greater than three months at the time of purchase and are stated at estimated fair value or amortized cost, which approximates estimated fair value.

Common stock

Fair values are based on quoted market prices, where available. If a quoted market price is not available, fair values are estimated using independent pricing sources or internally developed pricing models. For fair values of common stock investments in non-life subsidiaries, the Company uses the underlying GAAP equity in the subsidiary. For fair values of common stock in life subsidiaries, the Company uses the underlying STAT capital and surplus in the subsidiary.

Cash, cash equivalents, and short-term investments

The carrying amounts reported in the accompanying balance sheets for these financial instruments approximate their fair values.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

Other invested assets

Fair values for surplus debentures, residual tranches and certified capital companies (“capcos”) are based on quoted market prices, where available, or quoted market prices of comparable instruments. If a quoted market price is not available, fair values are estimated using independent pricing sources or internally developed pricing models.

Mortgage loans

The Company’s mortgage loans on real estate are all commercial mortgage loans, which are reported at amortized cost, less impairment write-downs and allowance for loan losses. Loans are considered impaired when it is probable that, based upon current information and events, the Company will be unable to collect all amounts due under the contractual terms of the loan agreement. When the Company determines that a loan is impaired, a valuation allowance is established for the excess carrying value of the loan over its estimated collateral value.

Derivatives

Fair values for over-the-counter (“OTC”) derivative financial instruments, principally forwards, options and swaps, represent the present value of amounts estimated to be received from or paid to a marketplace participant in settlement of these instruments (i.e., the amount the Company would expect to receive in a derivative asset assignment or would expect to pay to have a derivative liability assumed). These derivatives are valued using pricing models based on the net present value of estimated future cash flows and directly observed prices from exchange-traded derivatives or other OTC trades, while taking into account the counterparty’s credit ratings, or the Company’s own credit ratings, as appropriate. Determining the fair value for OTC derivative contracts can require a significant level of estimation and management judgment.

New and/or complex instruments may have immature or limited markets. As a result, the pricing models used for valuation often incorporate significant estimates and assumptions that market participants would use in pricing the instrument, which may impact the results of operations reported in the financial statements. For long-dated and illiquid contracts, extrapolation methods are applied to observed market data in order to estimate inputs and assumptions that are not directly observable. This enables us to mark to market all positions consistently when only a subset of prices are directly observable. Values for OTC derivatives are verified using observed information about the costs of hedging the risk and other trades in the market. As the markets for these products develop, the Company will continually refine its pricing models to correlate more closely to the market risk of these instruments.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

Financial assets and liabilities measured at fair value

The Company’s financial assets and liabilities carried at fair value have been classified, for disclosure purposes, based on a hierarchy defined by ASC 820, Fair Value Measurements. The hierarchy gives the highest ranking to fair values determined using unadjusted quoted prices in active markets for identical assets and liabilities (Level 1) and the lowest ranking to fair values determined using methodologies and models with unobservable inputs (Level 3). An asset’s or a liability’s classification is based on the lowest level input that is significant to its measurement. For example, a Level 3 fair value measurement may include inputs that are both observable (Levels 1 and 2) and unobservable (Level 3). The levels of the fair value hierarchy are as follows:

•Level 1 – inputs to the valuation methodology are quoted prices (unadjusted) for identical assets or liabilities in active markets. Level 1 securities include highly liquid government bonds and exchange-traded equities.

•Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Examples of such instruments include government-backed mortgage products, certain collateralized mortgage and debt obligations and certain high-yield debt securities.

•Level 3 – inputs to the valuation methodology are unobservable and significant to the fair value measurement. Unobservable inputs reflect management’s own assumptions about inputs in which market participants would use in pricing these types of assets or liabilities. Level 3 financial instruments include values which are determined using pricing models and third-party evaluation. Additionally, the determination of some fair value estimates utilizes significant management judgments or best estimates.

The following table provides information as of December 31, 2023 about the Company’s financial assets and liabilities measured and reported at fair value on a recurring basis.


	2023
	Level 1		Level 2		Level 3		Total

Assets at fair value:
Bonds	$	—	$	47	$	4,139	$	4,186
Common stock	—		—		1,512		1,512
Other invested assets	—		18,185		49,738		67,923
Derivatives	123,802		—		—		123,802
Separate account assets	5,377		—		—		5,377
Total assets at fair value	$	129,179	$	18,232	$	55,389	$	202,800

Liabilities at fair value:
Derivatives	$	59,127	$	—	$	—	$	59,127
Total liabilities at fair value	$	59,127	$	—	$	—	$	59,127

There were no transfers of assets between Level 1 and Level 2 during the year ended December 31, 2023.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

The following table provides information as of December 31, 2022 about the Company’s financial assets and liabilities measured and reported at fair value.


	2022
	Level 1		Level 2		Level 3		Total

Assets at fair value:
Bonds	$	—	$	52	$	—	$	52
Preferred stock	—		—		1,115		1,115
Common stock	—		5,714		65,315		71,029
Derivatives	—		24,596		—		24,596
Separate account assets	4,615		—		—		4,615
Total assets at fair value	$	4,615	$	30,362	$	66,430	$	101,407

Liabilities at fair value:
Derivatives	$	—	$	34,186	$	—	$	34,186
Total liabilities at fair value	$	—	$	34,186	$	—	$	34,186

Changes in Level 3 Assets and Liabilities Measured at Fair Value

The following table summarizes the changes in assets and liabilities classified in Level 3. Gains and losses reported in this table may include changes in fair value that are attributable to both observable and unobservable inputs.


	2023		2022

Level 3 Assets:
Balance, beginning of period	$	66,430	$	6,072
Purchases	8,408		69,838
Sales	(21,002)		(2,369)

Transfers into level 3	489		1,489
Transfers out of level 3	—		(1,973)
Realized gains (losses)	777		(9,124)
Unrealized gains (losses)	287		2,497

Balance, end of period	$	55,389	$	66,430

Transfers in and out of Level 3 occur at the beginning of each period. The securities which were transferred into Level 3 for the years ended December 31, 2023 and 2022 were due to decreased market observability of similar assets and/or changes to NAIC ratings. Transfers out of Level 3 for the year ended December 31, 2023 were due to the increased market observability of similar assets and/or securities previously being held at fair value now being carried at amortized cost. Transfers out of Level 3 for the year ended December 31, 2022 were due to the implementation of due diligence procedures which allowed for a refinement of the analysis of observable inputs as described in more detail above. There were no transfers from Level 2 to Level 1 recorded during the years ended December 31, 2023 and 2022.

For Level 3, inputs to the valuation methodology are unobservable and significant to the fair value measurement. Unobservable inputs reflect management’s best estimate of what hypothetical market participants would use to determine fair value. Examples of valuation techniques used based on unobservable inputs include, but are not limited to, internal models, direct broker quotes and professional judgment.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

Below is a listing of the aggregate fair value for all financial instruments as of December 31, 2023 and the level within the fair value hierarchy:


	Aggregate Fair Value		Admitted Assets		Level 1		Level 2		Level 3		Not Practicable (Carrying Value)

Financial Instruments:
Bonds	$	2,527,841	$	2,750,917	$	—	$	1,852,274	$	675,567	$	—
Common stock	1,512		1,512		—		—		1,512		—
Cash, cash equivalents and short-term investments	201,509		139,832		197,593		3,916		—		—
Preferred stocks	4,913		5,037		—		33		4,880		—
Residual tranches and surplus debentures	103,779		102,782		—		54,041		49,738		—
Mortgage loans	471,815		491,500		—		—		471,815		—
Derivatives	64,675		62,540		64,675		—		—		—
Separate account assets	5,377		5,377		5,377		—		—		—
Total financial instruments	$	3,381,421	$	3,559,497	$	267,645	$	1,910,264	$	1,203,512	$	—

Below is a listing of the aggregate fair value for all financial instruments as of December 31, 2022 and the level within the fair value hierarchy:


	Aggregate Fair Value		Admitted Assets		Level 1		Level 2		Level 3		Not Practicable (Carrying Value)

Financial Instruments:
Bonds	$	1,746,919	$	2,047,937	$	—	$	1,191,902	$	555,017	$	—
Common stock	1,115		1,115		—		—		1,115		—
Cash, cash equivalents and short-term investments	85,443		86,044		85,443		—		—		—
Preferred stocks	4,787		5,037		—		29		4,758		—
Residual tranches and surplus debentures	72,182		72,322		—		6,866		65,316		—
Mortgage loans	251,619		282,849		—		—		251,619		—
Derivatives	(9,591)		16,016		—		(9,591)		—		—
Separate account assets	4,615		4,615		4,615		—		—		—
Total financial instruments	$	2,157,089	$	2,515,935	$	90,058	$	1,189,206	$	877,825	$	—

As of December 31, 2023 and 2022, the Company had no investments where it is not practicable to estimate fair value.

10. Commitments and Contingencies

Litigation and regulatory matters

The Company is regularly involved in litigation and arbitration, both as a defendant and as a plaintiff. The litigation and arbitration naming the Company as a defendant ordinarily involves the Company’s businesses and operations. In certain of these matters, the plaintiffs may be seeking indeterminate amounts, including punitive or exemplary damages.

The Company periodically receives informal and formal requests for information from various state and federal governmental agencies and self-regulatory organizations related to the Company’s products and practices. It is the Company’s practice to cooperate fully in these matters.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

It is not feasible to predict or determine the ultimate outcome of all litigation, arbitration or regulatory proceedings or to provide reasonable ranges of potential losses. It is believed that the outcome of the Company’s litigation, arbitration, and regulatory matters are not likely, either individually or in the aggregate, to have a material adverse effect on the financial condition of the Company beyond the amounts already reported in these financial statements. However, given the indeterminate amounts sought in certain of these matters and the inherent unpredictability of litigation, arbitration and regulatory investigations, it is possible that an adverse outcome in certain matters could, from time to time, have a material adverse effect on the results of operations or cash flows in particular annual periods.

11. Other Commitments

As part of its normal investment activities, the Company enters into agreements to fund limited partnerships that make debt and equity investments. As of December 31, 2023, the Company had unfunded commitments of $164.4 million.

In addition, the Company enters into agreements to purchase private placement investments. At December 31, 2023, the Company had open commitments of $14.2 million.

12. Information about Financial Instruments with Off-Balance Sheet Risk

The Company, at December 31, 2023 and 2022, held the following financial instruments with off-balance sheet risk:


	Assets*				Liabilities*
	2023		2022		2023		2022


Swaps	$	450,000	$	152,100	$	37,591	$	—


Total	$	450,000	$	152,100	$	37,591	$	—

———————

* Notional amount

The Company uses derivative instruments including interest rate swaps. A more detailed description of these instruments is provided in Footnote 2 - “Summary of Significant Accounting Policies.”

The Company is not exposed to credit-related losses in the event of nonperformance by counterparties to financial instruments, as the interest rate swaps are fully collateralized. The credit exposure of interest rate swaps is represented by the fair value (market value) of contracts with a positive fair value (market value) at the reporting date.

Because exchange-traded interest rate swaps are affected through a regulated exchange and positions are marked to market on a daily basis, the Company has no exposure to credit-related losses in the event of nonperformance by counterparties to such financial instruments.

The Company is required to put up collateral for any interest rate swap contracts that are entered. The amount of collateral that is required is determined by the exchange on which it is traded. The Company currently puts up cash to satisfy this collateral requirement. As of December 31, 2023 and 2022, the Company posted $30.5 million and $33.8 million, respectively, in collateral.

The current credit exposure of the Company’s derivative contracts is limited to the fair value at the reporting date. Credit risk is managed by entering into transactions with creditworthy counterparties and obtaining collateral as required. The Company also attempts to minimize its exposure to credit risk through the use of various credit monitoring techniques. Approximately 100% of the net credit exposure to the Company from derivative contracts is with investment-grade counterparties.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Notes to Statutory Financial Statements

(continued)

(in thousands except where noted in millions)

13. Subsequent Events

The Company evaluated events subsequent to December 31, 2023 and through the financial statement issuance date of April 1, 2024. There were no events occurring subsequent to the end of the year that merited recognition or disclosure in these financial statements.

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Supplemental Schedule

Summary of Investments - Other than Investments in Related Parties

December 31, 2023

(in thousands)


	Amortized Cost		Fair Value		Amount shown in the Balance Sheet

Fixed maturities:
Bonds:
U.S. government and government agencies and authorities	$	8,812	$	8,564	$	8,812
States, municipalities and political subdivisions	5,567		5,069		5,567
Foreign governments	21,286		16,379		21,286
All other corporate bonds [1]	2,639,190		2,424,443		2,639,125
Redeemable preferred stock	5,037		4,913		5,037
Total fixed maturities	2,679,892		2,459,368		2,679,827
Equity securities:
Common stock:
Industrial, miscellaneous and all other	1,512		1,512		1,512
Nonredeemable preferred stock	—		—		—
Total equity securities	1,512		1,512		1,512
Mortgage loans	491,500		470,011		491,500
Real estate, at depreciated cost	—		XXX		—
Contract loans	3,564		XXX		3,564
Other invested assets [2][3]	238,409		238,099		237,645
Cash and short-term investments	139,832		139,832		139,832
Receivables for securities	9,424		XXX		9,424
Total cash and invested assets	$	3,564,133			$	3,563,304

———————

[1] Amortized cost and fair value amounts exclude $76,126 and $73,385, respectively, of related-party bonds and other invested assets.

[2] Difference between amortized cost and amount on balance sheet relates to $764 of non-admitted other invested assets.

[3] Amortized cost and fair value amounts exclude $101,989 and $101,989, respectively, of related-party other invested assets.

See accompanying independent auditors’ report

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Supplemental Schedule

Summary of Investments - Other than Investments in Related Parties

December 31, 2022

(in thousands)


	Amortized Cost		Fair Value		Amount shown in the Balance Sheet

Fixed maturities:
Bonds:
U.S. government and government agencies and authorities	$	8,779	$	8,424	$	8,779
States, municipalities and political subdivisions	9,628		9,071		9,628
Foreign governments	21,328		15,925		21,328
All other corporate bonds [1]	1,918,143		1,633,349		1,924,648
Redeemable preferred stock	5,037		4,787		5,037
Total fixed maturities	1,962,915		1,671,556		1,969,420
Equity securities:
Common stock:
Industrial, miscellaneous and all other	1,115		1,115		1,115
Nonredeemable preferred stock	—		—		—
Total equity securities	1,115		1,115		1,115
Mortgage loans	282,849		250,867		282,849
Real estate, at depreciated cost	—		XXX		—
Contract loans	3,570		XXX		3,570
Other invested assets [2]	131,998		131,077		131,217
Cash and short-term investments	86,044		86,044		86,044
Receivables for securities	301		XXX		301
Total cash and invested assets	$	2,468,792			$	2,474,516

———————

[1] Amortized cost and fair value amounts exclude $90,121 and $80,148, respectively, of related-party bonds.

[2] Difference between amortized cost and amount on balance sheet relates to$781 of non-admitted other invested assets.

See accompanying independent auditors’ report

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Supplementary Insurance Information

For the years ended December 31, 2023, 2022 and 2021

(in thousands)


	As of December 31,				For the years ended December 31,
	Future policy benefits, losses and claims		Other policy claims and benefits payable		Premium and annuity considerations		Net investment income		Benefits, claims and losses		Other operating expenses

2023:
Insurance Segment	$	812,685	$	6,800	$	288,891	$	155,726	$	378,712	$	198,851

2022:
Insurance Segment	$	589,088	$	5,983	223,783		$	87,953	$	286,052	$	86,112

2021:
Insurance Segment	$	439,096	$	5,321	$	195,985	$	54,334	$	194,201	$	282,881

See accompanying independent auditors’ report

Nassau Life and Annuity Company

(a wholly owned subsidiary of The Nassau Companies)

Supplementary Schedule - Reinsurance

For the years ended December 31, 2023, 2022 and 2021

(in thousands)


	Gross amount		Reinsurance ceded		Reinsurance assumed		Net amount		Percentage of assumed to net

Life insurance in force:
2023	$	1,157,747	$	1,018,303	$	1,723,955	$	1,863,399	93%
2022	2,386,929		2,236,293		1,706,969		1,857,605		92%
2021	4,133,375		4,019,343		1,679,951		1,793,983		94%

Life and A&H insurance premiums:
2023	$	1,393,680	$	1,118,861	$	14,072	$	288,891	5%
2022	1,045,841		838,736		16,678		223,783		7%
2021	894,245		717,039		18,779		195,985		10%

See accompanying independent auditors’ report

Financial Statements

Nassau Life and Annuity Variable Universal Life Account

December 31, 2023

With Report of Independent Registered Public Accounting Firm

Nassau Life and Annuity Variable Universal Life Account

Financial Statements

December 31, 2023

Contents


Audited Financial Statements

Statements of Net Assets		5

Statements of Operations and Change in Net Assets		7

Notes to Financial Statements		21

Note 1. Organization		21

Note 2. Additions, Mergers, Liquidations and Name Changes		23

Note 3. Significant Accounting Policies		23

Note 4. Purchases and Proceeds from Sales of Investments		26

Note 5. Related Party Transactions and Charges and Deductions		28

Note 6. Summary of Unit Transactions		29

Note 7. Financial Highlights		31

Note 8. Subsequent Events		39

Report of Independent Registered Public Accounting Firm		40

Nassau Life and Annuity Variable Universal Life Account

Statements of Net Assets

December 31, 2023


Subaccount	Number of Shares		Cost		Assets at Market Value		Net Assets		Units Outstanding		Unit Values

Alger Capital Appreciation Portfolio		6,118	$	397,404	$	478,580	$	478,580		27,730	$	17.26
Calvert VP S&P MidCap 400 Index Portfolio		251		19,434		30,010		30,010		6,935		4.33
DWS Equity 500 Index VIP		16,375		221,935		441,646		441,646		22,921		19.27
Federated Hermes Fund for U.S. Government Securities II		11,264		128,381		105,322		105,322		18,769		5.61
Federated Hermes Government Money Fund II		741,293		741,293		741,293		741,293		677,732		1.09
Federated Hermes High Income Bond Fund II		31		209		177		177		15		12.06
Fidelity® VIP Contrafund® Portfolio		3,883		104,479		187,547		187,547		7,783		24.10
Fidelity® VIP Growth Opportunities Portfolio		3,654		144,949		217,290		217,290		8,570		25.35
Fidelity® VIP Growth Portfolio		3,935		240,071		363,481		363,481		20,645		17.61
Fidelity® VIP Investment Grade Bond Portfolio		1,109		14,028		12,210		12,210		6,991		1.75
Franklin Income VIP Fund		3,776		66,016		53,612		53,612		20,033		2.68
Franklin Mutual Shares VIP Fund		3,613		55,995		55,392		55,392		5,149		10.76
Invesco V.I. American Franchise Fund		1,691		89,472		99,707		99,707		23,898		4.17
Invesco V.I. Core Equity Fund		1,176		31,671		34,433		34,433		9,498		3.63
Invesco V.I. Equity and Income Fund		3,741		67,095		61,206		61,206		19,322		3.17
Invesco V.I. Main Street Small Cap Fund®		66		1,600		1,741		1,741		453		3.84
Lord Abbett Series Fund Bond Debenture Portfolio		3,118		36,165		32,174		32,174		12,043		2.67
Lord Abbett Series Fund Growth and Income Portfolio		5,672		168,070		204,522		204,522		59,113		3.46
Lord Abbett Series Fund Mid Cap Stock Portfolio		1,835		36,890		47,325		47,325		14,801		3.20
Neuberger Berman AMT Mid Cap Growth Portfolio		66		1,750		1,523		1,523		738		2.06
PIMCO CommodityReal Return® Strategy Portfolio		3,187		70,479		17,402		17,402		19,685		0.88
PIMCO Real Return Portfolio		138		1,749		1,601		1,601		878		1.82
PIMCO Total Return Portfolio		930		9,626		8,540		8,540		4,504		1.90
Templeton Developing Markets VIP Fund		1,920		27,266		15,803		15,803		1,235		12.79
Templeton Foreign VIP Fund		438		4,488		6,236		6,236		948		6.57
Templeton Growth VIP Fund		8,027		93,095		96,241		96,241		11,578		8.30
TVST Touchstone Bond Fund		390		3,782		3,421		3,421		2,069		1.65
TVST Touchstone Common Stock Fund		677		7,223		7,662		7,662		1,670		4.59
TVST Touchstone Small Company Fund		2,359		32,426		31,897		31,897		7,747		4.12
Virtus Duff & Phelps Real Estate Securities Series		1,678		41,441		32,623		32,623		1,298		25.12
Virtus KAR Capital Growth Series		7,934		139,520		256,500		256,500		21,447		11.96
Virtus KAR Enhanced Core Equity Series		53,948		652,777		609,078		609,078		54,638		11.15
Virtus KAR Small-Cap Growth Series		4,539		104,756		113,651		113,651		2,921		38.90
Virtus KAR Small-Cap Value Series		19,289		289,343		308,242		308,242		15,466		19.93
Virtus Newfleet Multi-Sector Intermediate Bond Series		21,959		202,809		186,873		186,873		18,779		9.95

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

Nassau Life and Annuity Variable Universal Life Account

Statements of Net Assets (continued)

December 31, 2023


Subaccount	Number of Shares		Cost		Assets at Market Value		Net Assets		Units Outstanding		Unit Values

Virtus SGA International Growth Series		14,019	$	173,503	$	188,555	$	188,555		20,005	$	9.43
Virtus Strategic Allocation Series		580		7,884		7,359		7,359		684		10.75
Wanger Acorn		17,991		355,267		239,817		239,817		13,417		17.87
Wanger International		3,720		75,493		75,822		75,822		6,660		11.38
Wanger Select (a)		-		-		-		-		-		15.37

(a) Merger. See Note 2.

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

Nassau Life and Annuity Variable Universal Life Account

Statements of Operations and Change in Net Assets

Years Ended December 31, 2023 and 2022


	Alger Capital Appreciation Portfolio		Calvert VP S&P MidCap 400 Index Portfolio		DWS Equity 500 Index VIP
Net assets as of December 31, 2021	$	544,327	$	33,434	$	442,806

Investment income:
Dividend distributions		-		267		4,817

Net investment income		-		267		4,817

Increase (decrease) in net assets from operations:
Capital gain distributions		30,460		3,017		22,445
Realized capital gain (loss) on investments		(2,684)		(9)		(404)
Change in unrealized appreciation (depreciation)		(225,703)		(10,498)		(108,531)

Net gain (loss) on investments		(197,927)		(7,490)		(86,490)

Net increase (decrease) in net assets from operations		(197,927)		(7,223)		(81,673)

Contract owner transactions:
Deposits		-		-		9,527
Terminations, withdrawals and annuity payments		-		-		(16)
Transfers between subaccounts, net		132		2,736		(236)
Maintenance charges and mortality adjustments		(7,286)		(1,573)		(14,213)

Increase (decrease) in net assets from contract transactions		(7,154)		1,163		(4,938)

Total increase (decrease) in net assets		(205,081)		(6,060)		(86,611)

Net assets as of December 31, 2022	$	339,246	$	27,374	$	356,195

Investment income:
Dividend distributions		-		345		5,336

Net investment income		-		345		5,336

Increase (decrease) in net assets from operations:
Capital gain distributions		-		1,163		20,134
Realized capital gain (loss) on investments		858		174		627
Change in unrealized appreciation (depreciation)		144,348		2,563		66,092

Net gain (loss) on investments		145,206		3,900		86,853

Net increase (decrease) in net assets from operations		145,206		4,245		92,189

Contract owner transactions:
Deposits		-		-		7,148
Terminations, withdrawals and annuity payments		-		-		-
Transfers between subaccounts, net		15		-		2,539
Maintenance charges and mortality adjustments		(5,887)		(1,609)		(16,425)

Increase (decrease) in net assets from contract transactions		(5,872)		(1,609)		(6,738)

Total increase (decrease) in net assets		139,334		2,636		85,451

Net assets as of December 31, 2023	$	478,580	$	30,010	$	441,646

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

Nassau Life and Annuity Variable Universal Life Account

Statements of Operations and Change in Net Assets (continued)

Years Ended December 31, 2023 and 2022


	Federated Hermes Fund for U.S. Government Securities II		Federated Hermes Government Money Fund II		Federated Hermes High Income Bond Fund II
Net assets as of December 31, 2021	$	122,009	$	716,776	$	759

Investment income:
Dividend distributions		2,054		8,225		34

Net investment income		2,054		8,225		34

Increase (decrease) in net assets from operations:
Capital gain distributions		-		-		-
Realized capital gain (loss) on investments		(391)		-		(153)
Change in unrealized appreciation (depreciation)		(16,933)		-		41

Net gain (loss) on investments		(17,324)		-		(112)

Net increase (decrease) in net assets from operations		(15,270)		8,225		(78)

Contract owner transactions:
Deposits		3,584		1,599		310
Terminations, withdrawals and annuity payments		(1,535)		-		-
Transfers between subaccounts, net		243		285		158
Maintenance charges and mortality adjustments		(5,793)		(9,595)		(960)

Increase (decrease) in net assets from contract transactions		(3,501)		(7,711)		(492)

Total increase (decrease) in net assets		(18,771)		514		(570)

Net assets as of December 31, 2022	$	103,238	$	717,290	$	189

Investment income:
Dividend distributions		2,580		32,229		11

Net investment income		2,580		32,229		11

Increase (decrease) in net assets from operations:
Capital gain distributions		-		-		-
Realized capital gain (loss) on investments		(128)		-		(33)
Change in unrealized appreciation (depreciation)		1,798		-		41

Net gain (loss) on investments		1,670		-		8

Net increase (decrease) in net assets from operations		4,250		32,229		19

Contract owner transactions:
Deposits		(54)		1,038		30
Terminations, withdrawals and annuity payments		81		(206)		-
Transfers between subaccounts, net		1,398		1,740		868
Maintenance charges and mortality adjustments		(3,591)		(10,798)		(929)

Increase (decrease) in net assets from contract transactions		(2,166)		(8,226)		(31)

Total increase (decrease) in net assets		2,084		24,003		(12)

Net assets as of December 31, 2023	$	105,322	$	741,293	$	177

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

Nassau Life and Annuity Variable Universal Life Account

Statements of Operations and Change in Net Assets (continued)

Years Ended December 31, 2023 and 2022


	Fidelity® VIP Contrafund® Portfolio		Fidelity® VIP Growth Opportunities Portfolio		Fidelity® VIP Growth Portfolio
Net assets as of December 31, 2021	$	222,426	$	235,010	$	384,426

Investment income:
Dividend distributions		695		-		1,571

Net investment income		695		-		1,571

Increase (decrease) in net assets from operations:
Capital gain distributions		8,335		32,915		23,147
Realized capital gain (loss) on investments		(2,183)		(609)		(1,363)
Change in unrealized appreciation (depreciation)		(64,869)		(124,064)		(116,051)

Net gain (loss) on investments		(58,717)		(91,758)		(94,267)

Net increase (decrease) in net assets from operations		(58,022)		(91,758)		(92,696)

Contract owner transactions:
Deposits		716		2,446		3,047
Terminations, withdrawals and annuity payments		-		-		(1,247)
Transfers between subaccounts, net		(880)		12,335		(5,667)
Maintenance charges and mortality adjustments		(9,309)		(5,291)		(13,036)

Increase (decrease) in net assets from contract transactions		(9,473)		9,490		(16,903)

Total increase (decrease) in net assets		(67,495)		(82,268)		(109,599)

Net assets as of December 31, 2022	$	154,931	$	152,742	$	274,827

Investment income:
Dividend distributions		670		-		121

Net investment income		670		-		121

Increase (decrease) in net assets from operations:
Capital gain distributions		6,122		-		15,229
Realized capital gain (loss) on investments		(1,152)		336		896
Change in unrealized appreciation (depreciation)		43,162		68,694		81,568

Net gain (loss) on investments		48,132		69,030		97,693

Net increase (decrease) in net assets from operations		48,802		69,030		97,814

Contract owner transactions:
Deposits		810		2,446		973
Terminations, withdrawals and annuity payments		(5,033)		-		51
Transfers between subaccounts, net		(1,334)		(1,165)		2,184
Maintenance charges and mortality adjustments		(10,629)		(5,763)		(12,368)

Increase (decrease) in net assets from contract transactions		(16,186)		(4,482)		(9,160)

Total increase (decrease) in net assets		32,616		64,548		88,654

Net assets as of December 31, 2023	$	187,547	$	217,290	$	363,481

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

Nassau Life and Annuity Variable Universal Life Account

Statements of Operations and Change in Net Assets (continued)

Years Ended December 31, 2023 and 2022


	Fidelity® VIP Investment Grade Bond Portfolio		Franklin Income VIP Fund		Franklin Mutual Shares VIP Fund
Net assets as of December 31, 2021	$	12,819	$	63,416	$	51,903

Investment income:
Dividend distributions		273		2,884		915

Net investment income		273		2,884		915

Increase (decrease) in net assets from operations:
Capital gain distributions		608		1,171		5,527
Realized capital gain (loss) on investments		(20)		75		(3)
Change in unrealized appreciation (depreciation)		(2,530)		(7,574)		(10,302)

Net gain (loss) on investments		(1,942)		(6,328)		(4,778)

Net increase (decrease) in net assets from operations		(1,669)		(3,444)		(3,863)

Contract owner transactions:
Deposits		-		-		2,564
Terminations, withdrawals and annuity payments		-		-		-
Transfers between subaccounts, net		3		9		291
Maintenance charges and mortality adjustments		371		(3,670)		(2,496)

Increase (decrease) in net assets from contract transactions		374		(3,661)		359

Total increase (decrease) in net assets		(1,295)		(7,105)		(3,504)

Net assets as of December 31, 2022	$	11,524	$	56,311	$	48,399

Investment income:
Dividend distributions		307		2,726		981

Net investment income		307		2,726		981

Increase (decrease) in net assets from operations:
Capital gain distributions		-		3,305		4,516
Realized capital gain (loss) on investments		(14)		49		18
Change in unrealized appreciation (depreciation)		398		(1,688)		1,052

Net gain (loss) on investments		384		1,666		5,586

Net increase (decrease) in net assets from operations		691		4,392		6,567

Contract owner transactions:
Deposits		-		-		2,196
Terminations, withdrawals and annuity payments		-		(3,102)		-
Transfers between subaccounts, net		-		-		1,736
Maintenance charges and mortality adjustments		(5)		(3,989)		(3,506)

Increase (decrease) in net assets from contract transactions		(5)		(7,091)		426

Total increase (decrease) in net assets		686		(2,699)		6,993

Net assets as of December 31, 2023	$	12,210	$	53,612	$	55,392

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

Nassau Life and Annuity Variable Universal Life Account

Statements of Operations and Change in Net Assets (continued)

Years Ended December 31, 2023 and 2022


	Invesco V.I. American Franchise Fund		Invesco V.I. Core Equity Fund		Invesco V.I. Equity and Income Fund
Net assets as of December 31, 2021	$	119,650	$	38,787	$	68,333

Investment income:
Dividend distributions		-		297		890

Net investment income		-		297		890

Increase (decrease) in net assets from operations:
Capital gain distributions		25,288		5,050		8,216
Realized capital gain (loss) on investments		477		(54)		162
Change in unrealized appreciation (depreciation)		(62,369)		(13,186)		(14,569)

Net gain (loss) on investments		(36,604)		(8,190)		(6,191)

Net increase (decrease) in net assets from operations		(36,604)		(7,893)		(5,301)

Contract owner transactions:
Deposits		869		-		-
Terminations, withdrawals and annuity payments		(12,684)		-		-
Transfers between subaccounts, net		1		(7)		3
Maintenance charges and mortality adjustments		(247)		(1,250)		(3,600)

Increase (decrease) in net assets from contract transactions		(12,061)		(1,257)		(3,597)

Total increase (decrease) in net assets		(48,665)		(9,150)		(8,898)

Net assets as of December 31, 2022	$	70,985	$	29,637	$	59,435

Investment income:
Dividend distributions		-		237		1,019

Net investment income		-		237		1,019

Increase (decrease) in net assets from operations:
Capital gain distributions		1,958		765		3,092
Realized capital gain (loss) on investments		36		211		148
Change in unrealized appreciation (depreciation)		27,009		5,518		1,513

Net gain (loss) on investments		29,003		6,494		4,753

Net increase (decrease) in net assets from operations		29,003		6,731		5,772

Contract owner transactions:
Deposits		(29)		-		-
Terminations, withdrawals and annuity payments		25		-		-
Transfers between subaccounts, net		4		5		-
Maintenance charges and mortality adjustments		(281)		(1,940)		(4,001)

Increase (decrease) in net assets from contract transactions		(281)		(1,935)		(4,001)

Total increase (decrease) in net assets		28,722		4,796		1,771

Net assets as of December 31, 2023	$	99,707	$	34,433	$	61,206

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

Nassau Life and Annuity Variable Universal Life Account

Statements of Operations and Change in Net Assets (continued)

Years Ended December 31, 2023 and 2022


	Invesco V.I. Main Street Small Cap Fund®		Lord Abbett Series Fund Bond Debenture Portfolio		Lord Abbett Series Fund Growth and Income Portfolio
Net assets as of December 31, 2021	$	1,038	$	40,731	$	242,414

Investment income:
Dividend distributions		3		1,429		2,438

Net investment income		3		1,429		2,438

Increase (decrease) in net assets from operations:
Capital gain distributions		150		88		15,063
Realized capital gain (loss) on investments		(1)		(534)		(456)
Change in unrealized appreciation (depreciation)		(309)		(6,200)		(38,868)

Net gain (loss) on investments		(160)		(6,646)		(24,261)

Net increase (decrease) in net assets from operations		(157)		(5,217)		(21,823)

Contract owner transactions:
Deposits		-		247		2,172
Terminations, withdrawals and annuity payments		-		(4,560)		(41,065)
Transfers between subaccounts, net		-		1		2
Maintenance charges and mortality adjustments		313		(597)		(488)

Increase (decrease) in net assets from contract transactions		313		(4,909)		(39,379)

Total increase (decrease) in net assets		156		(10,126)		(61,202)

Net assets as of December 31, 2022	$	1,194	$	30,605	$	181,212

Investment income:
Dividend distributions		15		1,617		1,839

Net investment income		15		1,617		1,839

Increase (decrease) in net assets from operations:
Capital gain distributions		-		-		3,987
Realized capital gain (loss) on investments		2		4		2
Change in unrealized appreciation (depreciation)		232		365		18,019

Net gain (loss) on investments		234		369		22,008

Net increase (decrease) in net assets from operations		249		1,986		23,847

Contract owner transactions:
Deposits		-		203		(73)
Terminations, withdrawals and annuity payments		-		-		71
Transfers between subaccounts, net		-		-		1
Maintenance charges and mortality adjustments		298		(620)		(536)

Increase (decrease) in net assets from contract transactions		298		(417)		(537)

Total increase (decrease) in net assets		547		1,569		23,310

Net assets as of December 31, 2023	$	1,741	$	32,174	$	204,522

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

Nassau Life and Annuity Variable Universal Life Account

Statements of Operations and Change in Net Assets (continued)

Years Ended December 31, 2023 and 2022


	Lord Abbett Series Fund Mid Cap Stock Portfolio		Neuberger Berman AMT Mid Cap Growth Portfolio		PIMCO CommodityReal Return® Strategy Portfolio
Net assets as of December 31, 2021	$	61,733	$	972	$	20,582

Investment income:
Dividend distributions		349		-		4,847

Net investment income		349		-		4,847

Increase (decrease) in net assets from operations:
Capital gain distributions		2,653		231		-
Realized capital gain (loss) on investments		83		(1)		(47)
Change in unrealized appreciation (depreciation)		(10,723)		(515)		(2,915)

Net gain (loss) on investments		(7,987)		(285)		(2,962)

Net increase (decrease) in net assets from operations		(7,638)		(285)		1,885

Contract owner transactions:
Deposits		495		-		-
Terminations, withdrawals and annuity payments		(12,375)		-		-
Transfers between subaccounts, net		82		-		(18)
Maintenance charges and mortality adjustments		(858)		320		(1,324)

Increase (decrease) in net assets from contract transactions		(12,656)		320		(1,342)

Total increase (decrease) in net assets		(20,294)		35		543

Net assets as of December 31, 2022	$	41,439	$	1,007	$	21,125

Investment income:
Dividend distributions		209		-		2,985

Net investment income		209		-		2,985

Increase (decrease) in net assets from operations:
Capital gain distributions		1,283		-		-
Realized capital gain (loss) on investments		5		1		3
Change in unrealized appreciation (depreciation)		4,843		205		(4,634)

Net gain (loss) on investments		6,131		206		(4,631)

Net increase (decrease) in net assets from operations		6,340		206		(1,646)

Contract owner transactions:
Deposits		407		-		-
Terminations, withdrawals and annuity payments		-		-		(883)
Transfers between subaccounts, net		-		-		2
Maintenance charges and mortality adjustments		(861)		310		(1,196)

Increase (decrease) in net assets from contract transactions		(454)		310		(2,077)

Total increase (decrease) in net assets		5,886		516		(3,723)

Net assets as of December 31, 2023	$	47,325	$	1,523	$	17,402

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

Nassau Life and Annuity Variable Universal Life Account

Statements of Operations and Change in Net Assets (continued)

Years Ended December 31, 2023 and 2022


	PIMCO Real Return Portfolio		PIMCO Total Return Portfolio		Templeton Developing Markets VIP Fund
Net assets as of December 31, 2021	$	1,225	$	11,256	$	21,475

Investment income:
Dividend distributions		87		247		446

Net investment income		87		247		446

Increase (decrease) in net assets from operations:
Capital gain distributions		-		-		1,288
Realized capital gain (loss) on investments		(4)		(62)		(24)
Change in unrealized appreciation (depreciation)		(243)		(1,785)		(6,426)

Net gain (loss) on investments		(247)		(1,847)		(5,162)

Net increase (decrease) in net assets from operations		(160)		(1,600)		(4,716)

Contract owner transactions:
Deposits		-		-		-
Terminations, withdrawals and annuity payments		-		-		-
Transfers between subaccounts, net		3		13		21
Maintenance charges and mortality adjustments		260		(627)		(965)

Increase (decrease) in net assets from contract transactions		263		(614)		(944)

Total increase (decrease) in net assets		103		(2,214)		(5,660)

Net assets as of December 31, 2022	$	1,328	$	9,042	$	15,815

Investment income:
Dividend distributions		43		301		324

Net investment income		43		301		324

Increase (decrease) in net assets from operations:
Capital gain distributions		-		-		12
Realized capital gain (loss) on investments		(3)		(118)		(301)
Change in unrealized appreciation (depreciation)		9		301		1,822

Net gain (loss) on investments		6		183		1,533

Net increase (decrease) in net assets from operations		49		484		1,857

Contract owner transactions:
Deposits		-		-		-
Terminations, withdrawals and annuity payments		-		-		(776)
Transfers between subaccounts, net		-		-		-
Maintenance charges and mortality adjustments		224		(986)		(1,093)

Increase (decrease) in net assets from contract transactions		224		(986)		(1,869)

Total increase (decrease) in net assets		273		(502)		(12)

Net assets as of December 31, 2023	$	1,601	$	8,540	$	15,803

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

Nassau Life and Annuity Variable Universal Life Account

Statements of Operations and Change in Net Assets (continued)

Years Ended December 31, 2023 and 2022


	Templeton Foreign VIP Fund		Templeton Growth VIP Fund		TVST Touchstone Bond Fund
Net assets as of December 31, 2021	$	5,806	$	86,485	$	1,939

Investment income:
Dividend distributions		162		125		54

Net investment income		162		125		54

Increase (decrease) in net assets from operations:
Capital gain distributions		-		-		21
Realized capital gain (loss) on investments		(8)		(80)		(2)
Change in unrealized appreciation (depreciation)		(598)		(10,012)		(356)

Net gain (loss) on investments		(606)		(10,092)		(337)

Net increase (decrease) in net assets from operations		(444)		(9,967)		(283)

Contract owner transactions:
Deposits		-		4,072		-
Terminations, withdrawals and annuity payments		-		-		-
Transfers between subaccounts, net		52		304		-
Maintenance charges and mortality adjustments		(120)		(3,130)		807

Increase (decrease) in net assets from contract transactions		(68)		1,246		807

Total increase (decrease) in net assets		(512)		(8,721)		524

Net assets as of December 31, 2022	$	5,294	$	77,764	$	2,463

Investment income:
Dividend distributions		186		2,928		155

Net investment income		186		2,928		155

Increase (decrease) in net assets from operations:
Capital gain distributions		-		-		-
Realized capital gain (loss) on investments		5		1		-
Change in unrealized appreciation (depreciation)		895		13,575		20

Net gain (loss) on investments		900		13,576		20

Net increase (decrease) in net assets from operations		1,086		16,504		175

Contract owner transactions:
Deposits		-		3,664		-
Terminations, withdrawals and annuity payments		-		-		-
Transfers between subaccounts, net		-		1,736		-
Maintenance charges and mortality adjustments		(144)		(3,427)		783

Increase (decrease) in net assets from contract transactions		(144)		1,973		783

Total increase (decrease) in net assets		942		18,477		958

Net assets as of December 31, 2023	$	6,236	$	96,241	$	3,421

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

Nassau Life and Annuity Variable Universal Life Account

Statements of Operations and Change in Net Assets (continued)

Years Ended December 31, 2023 and 2022


	TVST Touchstone Common Stock Fund		TVST Touchstone Small Company Fund		Virtus Duff & Phelps Real Estate Securities Series
Net assets as of December 31, 2021	$	4,434	$	35,849	$	43,766

Investment income:
Dividend distributions		22		10		344

Net investment income		22		10		344

Increase (decrease) in net assets from operations:
Capital gain distributions		715		8,440		827
Realized capital gain (loss) on investments		(3)		77		(114)
Change in unrealized appreciation (depreciation)		(1,519)		(13,748)		(12,333)

Net gain (loss) on investments		(807)		(5,231)		(11,620)

Net increase (decrease) in net assets from operations		(785)		(5,221)		(11,276)

Contract owner transactions:
Deposits		-		-		-
Terminations, withdrawals and annuity payments		-		-		-
Transfers between subaccounts, net		-		-		-
Maintenance charges and mortality adjustments		1,326		(1,652)		(1,647)

Increase (decrease) in net assets from contract transactions		1,326		(1,652)		(1,647)

Total increase (decrease) in net assets		541		(6,873)		(12,923)

Net assets as of December 31, 2022	$	4,975	$	28,976	$	30,843

Investment income:
Dividend distributions		31		66		665

Net investment income		31		66		665

Increase (decrease) in net assets from operations:
Capital gain distributions		464		136		317
Realized capital gain (loss) on investments		5		37		(20)
Change in unrealized appreciation (depreciation)		936		4,368		2,307

Net gain (loss) on investments		1,405		4,541		2,604

Net increase (decrease) in net assets from operations		1,436		4,607		3,269

Contract owner transactions:
Deposits		-		-		-
Terminations, withdrawals and annuity payments		-		-		-
Transfers between subaccounts, net		-		-		-
Maintenance charges and mortality adjustments		1,251		(1,686)		(1,489)

Increase (decrease) in net assets from contract transactions		1,251		(1,686)		(1,489)

Total increase (decrease) in net assets		2,687		2,921		1,780

Net assets as of December 31, 2023	$	7,662	$	31,897	$	32,623

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

Nassau Life and Annuity Variable Universal Life Account

Statements of Operations and Change in Net Assets (continued)

Years Ended December 31, 2023 and 2022


	Virtus KAR Capital Growth Series		Virtus KAR Enhanced Core Equity Series		Virtus KAR Small- Cap Growth Series
Net assets as of December 31, 2021	$	380,918	$	716,905	$	145,319

Investment income:
Dividend distributions		-		15,600		-

Net investment income		-		15,600		-

Increase (decrease) in net assets from operations:
Capital gain distributions		41,584		26,257		11,618
Realized capital gain (loss) on investments		(14,169)		615		(439)
Change in unrealized appreciation (depreciation)		(164,094)		(60,838)		(54,853)

Net gain (loss) on investments		(136,679)		(33,966)		(43,674)

Net increase (decrease) in net assets from operations		(136,679)		(18,366)		(43,674)

Contract owner transactions:
Deposits		4,148		4,767		1,651
Terminations, withdrawals and annuity payments		(48,907)		(80,551)		(562)
Transfers between subaccounts, net		94		67		36
Maintenance charges and mortality adjustments		(5,867)		(14,129)		(4,898)

Increase (decrease) in net assets from contract transactions		(50,532)		(89,846)		(3,773)

Total increase (decrease) in net assets		(187,211)		(108,212)		(47,447)

Net assets as of December 31, 2022	$	193,707	$	608,693	$	97,872

Investment income:
Dividend distributions		-		18,108		-

Net investment income		-		18,108		-

Increase (decrease) in net assets from operations:
Capital gain distributions		15,744		5,347		7,277
Realized capital gain (loss) on investments		141		(83)		52
Change in unrealized appreciation (depreciation)		50,533		(14,615)		11,615

Net gain (loss) on investments		66,418		(9,351)		18,944

Net increase (decrease) in net assets from operations		66,418		8,757		18,944

Contract owner transactions:
Deposits		2,923		2,383		1,052
Terminations, withdrawals and annuity payments		28		64		23
Transfers between subaccounts, net		7		(6)		2
Maintenance charges and mortality adjustments		(6,583)		(10,813)		(4,242)

Increase (decrease) in net assets from contract transactions		(3,625)		(8,372)		(3,165)

Total increase (decrease) in net assets		62,793		385		15,779

Net assets as of December 31, 2023	$	256,500	$	609,078	$	113,651

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

Nassau Life and Annuity Variable Universal Life Account

Statements of Operations and Change in Net Assets (continued)

Years Ended December 31, 2023 and 2022


	Virtus KAR Small- Cap Value Series		Virtus Newfleet Multi-Sector Intermediate Bond Series		Virtus SGA International Growth Series
Net assets as of December 31, 2021	$	352,951	$	198,561	$	232,590

Investment income:
Dividend distributions		582		5,961		-

Net investment income		582		5,961		-

Increase (decrease) in net assets from operations:
Capital gain distributions		19,014		-		5,134
Realized capital gain (loss) on investments		(587)		(1,041)		(5,664)
Change in unrealized appreciation (depreciation)		(103,883)		(23,638)		(41,961)

Net gain (loss) on investments		(85,456)		(24,679)		(42,491)

Net increase (decrease) in net assets from operations		(84,874)		(18,718)		(42,491)

Contract owner transactions:
Deposits		516		3,869		4,052
Terminations, withdrawals and annuity payments		-		(4,235)		(34,148)
Transfers between subaccounts, net		243		(4,932)		1
Maintenance charges and mortality adjustments		(6,062)		(5,146)		(932)

Increase (decrease) in net assets from contract transactions		(5,303)		(10,444)		(31,027)

Total increase (decrease) in net assets		(90,177)		(29,162)		(73,518)

Net assets as of December 31, 2022	$	262,774	$	169,399	$	159,072

Investment income:
Dividend distributions		1,506		8,477		185

Net investment income		1,506		8,477		185

Increase (decrease) in net assets from operations:
Capital gain distributions		11,077		-		-
Realized capital gain (loss) on investments		16		21		4
Change in unrealized appreciation (depreciation)		36,930		6,342		28,498

Net gain (loss) on investments		48,023		6,363		28,502

Net increase (decrease) in net assets from operations		49,529		14,840		28,687

Contract owner transactions:
Deposits		42		3,651		1,056
Terminations, withdrawals and annuity payments		-		-		99
Transfers between subaccounts, net		1,209		4,676		4
Maintenance charges and mortality adjustments		(5,312)		(5,693)		(363)

Increase (decrease) in net assets from contract transactions		(4,061)		2,634		796

Total increase (decrease) in net assets		45,468		17,474		29,483

Net assets as of December 31, 2023	$	308,242	$	186,873	$	188,555

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

Nassau Life and Annuity Variable Universal Life Account

Statements of Operations and Change in Net Assets (continued)

Years Ended December 31, 2023 and 2022


	Virtus Strategic Allocation Series		Wanger Acorn		Wanger International
Net assets as of December 31, 2021	$	6,794	$	300,877	$	97,984

Investment income:
Dividend distributions		14		-		641

Net investment income		14		-		641

Increase (decrease) in net assets from operations:
Capital gain distributions		399		77,031		12,686
Realized capital gain (loss) on investments		(110)		(432)		(129)
Change in unrealized appreciation (depreciation)		(2,425)		(177,104)		(46,401)

Net gain (loss) on investments		(2,136)		(100,505)		(33,844)

Net increase (decrease) in net assets from operations		(2,122)		(100,505)		(33,203)

Contract owner transactions:
Deposits		2,675		3,266		2,709
Terminations, withdrawals and annuity payments		-		-		(436)
Transfers between subaccounts, net		378		315		182
Maintenance charges and mortality adjustments		(2,730)		(6,306)		(2,872)

Increase (decrease) in net assets from contract transactions		323		(2,725)		(417)

Total increase (decrease) in net assets		(1,799)		(103,230)		(33,620)

Net assets as of December 31, 2022	$	4,995	$	197,647	$	64,364

Investment income:
Dividend distributions		79		-		229

Net investment income		79		-		229

Increase (decrease) in net assets from operations:
Capital gain distributions		442		-		-
Realized capital gain (loss) on investments		1		64		(13)
Change in unrealized appreciation (depreciation)		711		42,851		10,696

Net gain (loss) on investments		1,154		42,915		10,683

Net increase (decrease) in net assets from operations		1,233		42,915		10,912

Contract owner transactions:
Deposits		2,388		2,931		1,795
Terminations, withdrawals and annuity payments		-		-		21
Transfers between subaccounts, net		2,092		2,170		870
Maintenance charges and mortality adjustments		(3,349)		(5,846)		(2,140)

Increase (decrease) in net assets from contract transactions		1,131		(745)		546

Total increase (decrease) in net assets		2,364		42,170		11,458

Net assets as of December 31, 2023	$	7,359	$	239,817	$	75,822

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

Nassau Life and Annuity Variable Universal Life Account

Statements of Operations and Change in Net Assets (continued)

Years Ended December 31, 2023 and 2022


	Wanger Select (a)
Net assets as of December 31, 2021	$	1,123

Investment income:
Dividend distributions		-

Net investment income		-

Increase (decrease) in net assets from operations:
Capital gain distributions		375
Realized capital gain (loss) on investments		(20)
Change in unrealized appreciation (depreciation)		(744)

Net gain (loss) on investments		(389)

Net increase (decrease) in net assets from operations		(389)

Contract owner transactions:
Deposits		-
Terminations, withdrawals and annuity payments		-
Transfers between subaccounts, net		4
Maintenance charges and mortality adjustments		(86)

Increase (decrease) in net assets from contract transactions		(82)

Total increase (decrease) in net assets		(471)

Net assets as of December 31, 2022	$	652

Investment income:
Dividend distributions		-

Net investment income		-

Increase (decrease) in net assets from operations:
Capital gain distributions		-
Realized capital gain (loss) on investments		(514)
Change in unrealized appreciation (depreciation)		575

Net gain (loss) on investments		61

Net increase (decrease) in net assets from operations		61

Contract owner transactions:
Deposits		-
Terminations, withdrawals and annuity payments		-
Transfers between subaccounts, net		(695)
Maintenance charges and mortality adjustments		(18)

Increase (decrease) in net assets from contract transactions		(713)

Total increase (decrease) in net assets		(652)

Net assets as of December 31, 2023	$	-


(a) Merger. See Note 2.

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

Nassau Life and Annuity Variable Universal Life Account

Notes to Financial Statements

December 31, 2023

Note 1. Organization

The Nassau Life and Annuity Variable Universal Life Account (the “Separate Account”) is a separate account of Nassau Life and Annuity Company (“NLA”, the Company, “we” or “us”). Nassau Life and Annuity Company (“NLA” or the “Company”), domiciled in the State of Connecticut, is a wholly-owned subsidiary of The Nassau Companies (“NC” or the “Parent”) and an indirect subsidiary of Nassau Financial Group, L.P. (“Nassau”). Nassau is a financial services company providing life insurance and annuities, reinsurance and asset management.

The Separate Account is registered as a unit investment trust under the Investment Company Act of 1940, as amended and was established on July 1, 1996. As directed by the owners, amounts directed to each subaccount are invested in a designated mutual fund as follows:


Subaccount		Share Class

Alger Capital Appreciation Portfolio		Class I-2
AMT Sustainable Equity Portfolio		Class S
Calvert VP S&P MidCap 400 Index Portfolio		Class I
DWS Equity 500 Index VIP		Class A
DWS Small Cap Index VIP		Class A
Federated Hermes Fund for U.S. Government Securities II		Primary
Federated Hermes Government Money Fund II		Service
Federated Hermes High Income Bond Fund II		Primary
Fidelity^® VIP Contrafund^® Portfolio		Service Class
Fidelity^® VIP Growth Opportunities Portfolio		Service Class
Fidelity^® VIP Growth Portfolio		Service Class
Fidelity^® VIP Investment Grade Bond Portfolio		Service Class
Franklin Income VIP Fund		Class 2
Franklin Mutual Shares VIP Fund		Class 2
Guggenheim VT Long Short Equity Fund		-
Invesco V.I. American Franchise Fund		Series I
Invesco V.I. Capital Appreciation Fund		Series II
Invesco V.I. Core Equity Fund		Series I
Invesco V.I. Equity and Income Fund		Series II
Invesco V.I. Global Fund		Series II
Invesco V.I. Main Street Mid Cap Fund^®		Series I
Invesco V.I. Main Street Small Cap Fund^®		Series II
Lazard Retirement US Small Cap Equity Select Portfolio		Service
Lord Abbett Series Fund Bond Debenture Portfolio		Class VC
Lord Abbett Series Fund Growth and Income Portfolio		Class VC
Lord Abbett Series Fund Mid Cap Stock Portfolio		Class VC
Morningstar Aggressive Growth ETF Asset Allocation Portfolio		Class II
Morningstar Balanced ETF Asset Allocation Portfolio		Class II
Morningstar Growth ETF Asset Allocation Portfolio		Class II
Morningstar Income and Growth ETF Asset Allocation Portfolio		Class II
Neuberger Berman AMT Mid Cap Growth Portfolio		S Class
PIMCO CommodityReal Return^® Strategy Portfolio		Advisor Class
PIMCO Real Return Portfolio		Advisor Class
PIMCO Total Return Portfolio		Advisor Class
Rydex VT Inverse Government Long Bond Strategy Fund		-

Nassau Life and Annuity Variable Universal Life Account

Notes to Financial Statements (continued)

Note 1. Organization (continued)


Subaccount		Share Class

Rydex VT Nova Fund		-
Templeton Developing Markets VIP Fund		Class 2
Templeton Foreign VIP Fund		Class 2
Templeton Growth VIP Fund		Class 2
TVST Touchstone Balanced Fund		-
TVST Touchstone Bond Fund		-
TVST Touchstone Common Stock Fund		-
TVST Touchstone Small Company Fund		-
Virtus Duff & Phelps Real Estate Securities Series		Class A
Virtus KAR Capital Growth Series		Class A
Virtus KAR Enhanced Core Equity Series		Class A
Virtus KAR Small-Cap Growth Series		Class A
Virtus KAR Small-Cap Value Series		Class A
Virtus Newfleet Multi-Sector Intermediate Bond Series		Class A
Virtus SGA International Growth Series		Class A
Virtus Strategic Allocation Series		Class A
Wanger Acorn		-
Wanger International		-
Wanger Select		-

Additionally, contract owners may direct the allocation of their premium payments and contract value between the Separate Account and the Guaranteed Interest Account (“GIA”).

NLA and the Separate Account are subject to regulation by the State of Connecticut Department of Insurance and the U.S. Securities and Exchange Commission (“SEC”). The assets and liabilities of the Separate Account are clearly identified and distinguished from NLA’s other asset and liabilities. Premium payments and contract value allocated by a contract owner to the GIA are not legally insulated and are subject to claims against NLA’s general account assets.

Fifty-four subaccounts are currently offered by the Separate Account. The following subaccounts had no activity for two consecutive years and are not included in the statements of net assets or the statements of operations and changes in net assets:

Subaccount

AMT Sustainable Equity Portfolio

DWS Small Cap Index VIP

Guggenheim VT Long Short Equity Fund

Invesco V.I. Capital Appreciation Fund

Invesco V.I. Global Fund

Invesco V.I. Main Street Mid Cap Fund^®

Lazard Retirement US Small Cap Equity Select Portfolio

Morningstar Aggressive Growth ETF Asset Allocation Portfolio

Morningstar Balanced ETF Asset Allocation Portfolio

Morningstar Growth ETF Asset Allocation Portfolio

Morningstar Income and Growth ETF Asset Allocation Portfolio

Rydex VT Inverse Government Long Bond Strategy Fund

Nassau Life and Annuity Variable Universal Life Account

Notes to Financial Statements (continued)

Note 1. Organization (continued)

Subaccounts with No Activity (continued)

Rydex VT Nova Fund

TVST Touchstone Balanced Fund

Note 2. Additions, Mergers, Liquidations and Name Changes

A. Additions

There were no fund additions in 2022 or 2023.

B. Mergers

As a result of restructuring, the following underlying fund that was previously offered is no longer available as an investment option to our Contract Owners. Any Contract Owner allocations that remained in this fund were redeemed and used to purchase shares of the surviving fund as indicated:


Date	Surviving Subaccount	Closed Subaccount

April 21, 2023	Wanger Acorn	Wanger Select

C. Liquidations

There were no fund liquidations in 2022 or 2023.

D. Name Changes

During the last two years the following subaccount name changes were made effective:


Date	New Name	Old Name

May 2, 2022	Wanger Acorn	Wanger USA
September 1, 2023	Lazard Retirement US Small Cap Equity Select Portfolio	Lazard Retirement US Small -Mid Cap Equity

Note 3. Significant Accounting Policies

Investment Valuation

Investments in mutual fund shares are carried in the statements of net assets at market value (net asset value of the underlying mutual fund). Investment transactions are accounted for on the trade date. Realized capital gains and losses on sales of investments are determined based on the average cost of investments sold. The difference between cost and current market value of investments owned on the day of measurement is recorded as unrealized appreciation or depreciation of investments.

Market Risk

Each subaccount invests in shares of a single underlying fund. The investment performance of each subaccount will reflect the investment performance of the underlying fund less separate account expenses. There is no assurance that the investment objective of any underlying fund will be met. A fund calculates a daily net asset value per share (“NAV”) which is based on the market value of its investment portfolio. The amount of risk varies significantly between subaccounts. Due to the level of risk associated with certain investment portfolios, it is at least

Nassau Life and Annuity Variable Universal Life Account

Notes to Financial Statements (continued)

Note 3. Significant Accounting Policies (continued)

reasonably possible that changes in the values of investment portfolios will occur in the near term and that such changes could materially affect contract holder’s investments in the funds and the amounts reported in the statements of net assets. The contract holder assumes all of the investment performance risk for the subaccounts selected.

Reinvestment of Dividends

Dividend and capital gain distributions paid by the mutual funds to the Separate Account are reinvested in additional shares of each respective fund. Dividend income and capital gain distributions are recorded as income on the ex-dividend date.

Federal Income Taxes

The operations of the Separate Account are included in the federal income tax return of NLA, which is taxed as a life insurance company under the provisions of the Internal Revenue Code (IRC). Under the current provisions of the IRC, NLA does not expect to incur federal income taxes on the earnings of the Separate Account to the extent the earnings are credited under contracts. Based on this, no charge is being made currently to the Separate Account for federal income taxes. NLA will review periodically the status of this policy in the event of changes in the tax law.

Use of Estimates

The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

In applying these estimates and assumptions, management makes subjective and complex judgments that frequently require assumptions about matters that are uncertain and inherently subject to change such as possibility for elevated mortality and investment market volatility.

Fair Value Measurements

Fair value is defined as 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 (an exit price).

The Separate Account invests in shares of open-end mutual funds, which process contract holders directed purchases, sales and transfers on a daily basis at the funds’ computed net asset values (NAVs). The fair value of the Separate Account’s assets is based on the NAVs of mutual funds, which are obtained from the custodians and reflect the fair values of the mutual fund investments. The NAV is calculated daily and is based on the fair values of the underlying securities.

Because the fund provides liquidity for the investments through purchases and redemptions at NAV, this may represent the fair value of the investment in the fund. That is, for an open-ended mutual fund, the fair value of an investment in the fund would not be expected to be higher than the amount that a new investor would be required to spend in order to directly invest in the mutual fund. Similarly, the hypothetical seller of the investment would not be expected to accept less in proceeds than it could receive by directly redeeming its investment with the fund.

The Separate Account measures the fair value of its investment in the Fund on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are:

• Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Separate Account has the ability to access.

• Level 2 – Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument

Nassau Life and Annuity Variable Universal Life Account

Notes to Financial Statements (continued)

Note 3. Significant Accounting Policies (continued)

in an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data.

• Level 3 – Unobservable inputs for the asset or liability, to the extent observable inputs are not available, representing the Separate Account’s own assumptions about the assumptions a market participant would use in valuing the assets or liability, and would be based on the best information available.

Investments in Fund shares are valued using the reported net asset value of the respective Funds at the end of each New York Stock Exchange business day, as determined by the respective Funds. Investments held by the Separate Account are Level 1 within the hierarchy. There were no transfers between Level 1, Level 2 and Level 3 during the year ended December 31, 2023.

The Separate Account had no financial liabilities as of December 31, 2023.

Nassau Life and Annuity Variable Universal Life Account

Notes to Financial Statements (continued)

Note 4. Purchases and Proceeds from Sales of Investments

The cost of investment purchases and proceeds from investments sold for the years ended December 31, 2023 and 2022, were as follows:


	2023				2022
Subaccount	Cost of Purchases		Proceeds from Sales		Cost of Purchases		Proceeds from Sales

Alger Capital Appreciation Portfolio		$ 233		$ 6,105		$ 30,939		$ 7,633
Calvert VP S&P MidCap 400 Index Portfolio		1,508		1,609		6,071		1,624
DWS Equity 500 Index VIP		35,158		16,426		44,829		22,505
Federated Hermes Fund for U.S. Government Securities II		3,821		3,407		5,832		7,279
Federated Hermes Government Money Fund II		36,166		12,163		11,736		11,222
Federated Hermes High Income Bond Fund II		910		928		572		1,031
Fidelity^® VIP Contrafund^® Portfolio		7,436		16,831		10,141		10,583
Fidelity^® VIP Growth Opportunities Portfolio		2,446		6,929		47,963		5,559
Fidelity^® VIP Growth Portfolio		18,736		12,545		28,127		20,313
Fidelity^® VIP Investment Grade Bond Portfolio		1,338		1,037		2,071		816
Franklin Income VIP Fund		6,031		7,093		4,291		3,896
Franklin Mutual Shares VIP Fund		9,358		3,434		9,487		2,686
Invesco V.I. American Franchise Fund		1,958		281		26,270		13,042
Invesco V.I. Core Equity Fund		1,085		2,018		5,631		1,542
Invesco V.I. Equity and Income Fund		4,111		4,001		9,348		3,839
Invesco V.I. Main Street Small Cap Fund^®		351		38		494		28
Lord Abbett Series Fund Bond Debenture Portfolio		1,772		571		1,783		5,175
Lord Abbett Series Fund Growth and Income Portfolio		5,825		536		19,992		41,869
Lord Abbett Series Fund Mid Cap Stock Portfolio		1,828		789		4,033		13,686
Neuberger Berman AMT Mid Cap Growth Portfolio		341		32		575		24
PIMCO CommodityReal Return^® Strategy Portfolio		3,025		2,118		4,948		1,443
PIMCO Real Return Portfolio		409		140		463		114
PIMCO Total Return Portfolio		301		986		415		782
Templeton Developing Markets VIP Fund		340		1,872		1,821		1,031
Templeton Foreign VIP Fund		186		144		223		131
Templeton Growth VIP Fund		7,985		3,084		4,555		3,184
TVST Touchstone Bond Fund		1,015		77		938		56
TVST Touchstone Common Stock Fund		1,911		166		2,182		118
TVST Touchstone Small Company Fund		202		1,686		8,505		1,708
Virtus Duff & Phelps Real Estate Securities Series		982		1,489		1,236		1,712

Nassau Life and Annuity Variable Universal Life Account

Notes to Financial Statements (continued)

Note 4. Purchases and Proceeds from Sales of Investments (continued)


	2023				2022
Subaccount	Cost of Purchases		Proceeds from Sales		Cost of Purchases		Proceeds from Sales

Virtus KAR Capital Growth Series		$ 18,560		$ 6,442		$ 46,053		$ 54,999
Virtus KAR Enhanced Core Equity Series		25,560		10,477		47,754		95,743
Virtus KAR Small-Cap Growth Series		8,349		4,237		13,586		5,741
Virtus KAR Small-Cap Value Series		14,144		5,620		20,919		6,626
Virtus Newfleet Multi-Sector Intermediate Bond Series		17,325		6,214		11,216		15,699
Virtus SGA International Growth Series		2,267		1,287		10,289		36,181
Virtus Strategic Allocation Series		5,013		3,362		3,525		2,789
Wanger Acorn		5,009		5,754		80,460		6,154
Wanger International		2,873		2,098		16,170		3,261
Wanger Select (a)		-		713		381		88

(a) Merger. See Note 2.

Nassau Life and Annuity Variable Universal Life Account

Notes to Financial Statements (continued)

Note 5. Related Party Transactions and Charges and Deductions

Related Party Transactions

NLA and its affiliate, 1851 Securities, Inc. (“1851 Securities”), provide services to the Separate Account. NLA is the insurer who provides the contract benefits as well as administrative and contract maintenance services to the Separate Account. 1851 Securities, a registered broker/dealer, is the principal underwriter and distributor for the Separate Account.

Charges and Deductions

NLA makes deductions from the contract to compensate for the various expenses in selling, maintaining, underwriting and issuing the contracts and providing guaranteed insurance benefits. Periodic charges appear on the statement of changes in net assets on line “Maintenance charges and mortality adjustments”. The contract charges are described below:

A. Contract Maintenance Charges

The Separate Account is assessed periodic Contract Maintenance Charges which are designed to compensate NLA for certain costs associated with maintenance. The charges assessed to the Separate Account for Contract Maintenance Charges are outlined as follows:

Administration Charge – In accordance with terms of the contracts, NLA makes deductions for administrative charges at a maximum rate of $120 per policy. These charges are typically a flat dollar amount, but could also vary by face amount of coverage.

Cost of Insurance Charge – In accordance with terms of the contracts, NLA makes monthly deductions for costs of insurance to cover NLA’s anticipated mortality costs. Because a contract account value and death benefit may vary from month to month, the cost of insurance charge may also vary.

Monthly Mortality and Expense Risk Charge – In accordance with terms of the contracts, NLA will make monthly deductions at a maximum rate of .90% annually.

All of the above expenses are reflected as redemption of units, and are included in a separate line item entitled “Maintenance charges and mortality adjustments” in the accompanying statements of changes in net assets.

B. Optional Rider and Benefit Charges

NLA may deduct other charges and fees based on the selection of Other Optional Contract Riders and Benefits. These expenses are included in a separate line item entitled “Terminations, withdrawals and annuity payments” in the accompanying statements of changes in net assets. This expense is reflected as redemption of units.

Charges Against Premium

NLA deducts a sales charge from every premium payment and a deferred acquisition cost tax charge to the contract to reimburse NLA for our federal tax liability related to our receipt of premium.

C. Other Charges

NLA may deduct other charges depending on the contract terms.

Nassau Life and Annuity Variable Universal Life Account

Notes to Financial Statements (continued)

Note 6. Summary of Unit Transactions

The changes in units outstanding for the periods December 31, 2023 and 2022, were as follows:


	2023							2022
Subaccount	Units Issued		Units Redeemed			Net Increase (Decrease)		Units Issued		Units Redeemed			Net Increase (Decrease)

Alger Capital Appreciation Portfolio		16		(420	)		(404)		28		(549	)		(521)
Calvert VP S&P MidCap 400 Index Portfolio		-		(411	)		(411)		13		(442	)		(429)
DWS Equity 500 Index VIP		588		(959	)		(371)		1,002		(1,356	)		(354)
Federated Hermes Fund for U.S. Government
Securities II		228		(628	)		(400)		656		(1,298	)		(642)
Federated Hermes Government Money Fund II		3,693		(11,393	)		(7,700)		3,390		(10,825	)		(7,435)
Federated Hermes High Income Bond Fund II		80		(83	)		(3)		50		(95	)		(45)
Fidelity^® VIP Contrafund^® Portfolio		30		(820	)		(790)		52		(540	)		(488)
Fidelity^® VIP Growth Opportunities Portfolio		123		(319	)		(196)		713		(280	)		433
Fidelity^® VIP Growth Portfolio		222		(821	)		(599)		237		(1,422	)		(1,185)
Fidelity^® VIP Investment Grade Bond Portfolio		607		(617	)		(10)		705		(476	)		229
Franklin Income VIP Fund		-		(2,823	)		(2,823)		90		(1,565	)		(1,475)
Franklin Mutual Shares VIP Fund		392		(347	)		45		319		(282	)		37
Invesco V.I. American Franchise Fund		-		(79	)		(79)		271		(4,135	)		(3,864)
Invesco V.I. Core Equity Fund		27		(614	)		(587)		91		(493	)		(402)
Invesco V.I. Equity and Income Fund		-		(1,362	)		(1,362)		80		(1,342	)		(1,262)
Invesco V.I. Main Street Small Cap Fund^®		98		(11	)		87		107		(8	)		99
Lord Abbett Series Fund Bond Debenture Portfolio		61		(224	)		(163)		101		(2,064	)		(1,963)
Lord Abbett Series Fund Growth and Income
Portfolio		-		(170	)		(170)		782		(13,318	)		(12,536)
Lord Abbett Series Fund Mid Cap Stock Portfolio		114		(271	)		(157)		373		(5,199	)		(4,826)
Neuberger Berman AMT Mid Cap Growth Portfolio		179		(17	)		162		193		(13	)		180
PIMCO CommodityReal Return^® Strategy Portfolio		44		(2,359	)		(2,315)		105		(1,396	)		(1,291)
PIMCO Real Return Portfolio		203		(79	)		124		204		(62	)		142
PIMCO Total Return Portfolio		-		(543	)		(543)		87		(421	)		(334)
Templeton Developing Markets VIP Fund		-		(157	)		(157)		6		(89	)		(83)
Templeton Foreign VIP Fund		-		(24	)		(24)		2		(25	)		(23)
Templeton Growth VIP Fund		664		(406	)		258		636		(457	)		179

Nassau Life and Annuity Variable Universal Life Account

Notes to Financial Statements (continued)

Note 6. Summary of Unit Transactions (continued)


	2023							2022
Subaccount	Units Issued		Units Redeemed			Net Increase (Decrease)		Units Issued		Units Redeemed			Net Increase (Decrease)

TVST Touchstone Bond Fund		537		(48	)		489		543		(35	)		508
TVST Touchstone Common Stock Fund		337		(40	)		297		397		(32	)		365
TVST Touchstone Small Company Fund		-		(459	)		(459)		14		(494	)		(480)
Virtus Duff & Phelps Real Estate Securities Series		-		(65	)		(65)		2		(68	)		(66)
Virtus KAR Capital Growth Series		252		(622	)		(370)		453		(6,047	)		(5,594)
Virtus KAR Enhanced Core Equity Series		197		(978	)		(781)		540		(8,866	)		(8,326)
Virtus KAR Small-Cap Growth Series		28		(118	)		(90)		53		(157	)		(104)
Virtus KAR Small-Cap Value Series		88		(318	)		(230)		74		(369	)		(295)
Virtus Newfleet Multi-Sector Intermediate Bond
Series		935		(658	)		277		563		(1,683	)		(1,120)
Virtus SGA International Growth Series		237		(147	)		90		621		(4,405	)		(3,784)
Virtus Strategic Allocation Series		461		(345	)		116		328		(296	)		32
Wanger Acorn		309		(353	)		(44)		214		(387	)		(173)
Wanger International		248		(200	)		48		268		(315	)		(47)
Wanger Select (a)		-		(46	)		(46)		-		(6	)		(6)

(a) Merger. See Note 2.

Nassau Life and Annuity Variable Universal Life Account

Notes to Financial Statements (continued)

Note 7. Financial Highlights

The Separate Account product has unique combinations of features and fees that are charged against the contract owner’s subaccount balance. Differences in the fee structures result in a variety of unit values, expense ratios, and total returns. The information presented below identifies expense ratios and the corresponding total return. The summary may not reflect the minimum and maximum contract charges offered by the Separate Account as contract owners may not have selected all available and applicable contract options as discussed in Note 5.

A summary of units outstanding, unit values, net assets, investment income ratios, expense ratios and total return ratios for each of the five years in the period ended December 31, 2023, were as follows:


Subaccount	Units		Unit Values ($) (4)		Net Assets ($)		Investment Income Ratios (%) (1)		Expense Ratios (%) (2)		Total Returns (%) (3)(4)

Alger Capital Appreciation Portfolio
2023		27,730		17.26		478,580		-		-		43.12
2022		28,134		12.06		339,246		-		-		(36.53)
2021		28,655		19.00		544,327		-		-		19.13
2020		28,903		15.95		460,895		-		-		41.75
2019		29,228		11.25		328,798		-		-		33.58
Calvert VP S&P MidCap 400 Index Portfolio
2023		6,935		4.33		30,010		1.23		-		16.09
2022		7,346		3.73		27,374		0.93		-		(13.26)
2021		7,775		4.30		33,434		0.84		-		24.41
2020		8,116		3.46		28,051		1.23		-		13.32
2019		8,608		3.05		26,253		0.83		-		25.83
DWS Equity 500 Index VIP
2023		22,921		19.27		441,646		1.35		-		26.03
2022		23,292		15.29		356,195		1.25		-		(18.37)
2021		23,646		18.73		442,806		1.53		-		28.40
2020		23,774		14.58		346,735		1.52		-		18.10
2019		36,130		12.35		446,207		1.95		-		31.19
Federated Hermes Fund for U.S. Government Securities II
2023		18,769		5.61		105,322		2.52		-		4.08
2022		19,169		5.39		103,238		1.85		-		(12.50)
2021		19,811		6.16		122,009		2.06		-		(2.04)
2020		19,569		6.29		123,035		2.35		-		5.21
2019		19,216		5.98		114,828		2.36		-		5.90

Nassau Life and Annuity Variable Universal Life Account

Notes to Financial Statements (continued)

Note 7. Financial Highlights (continued)


Subaccount	Units		Unit Values ($) (4)		Net Assets ($)		Investment Income Ratios (%) (1)		Expense Ratios (%) (2)		Total Returns (%) (3)(4)

Federated Hermes Government Money Fund II
2023		677,732		1.09		741,293		4.45		-		3.81
2022		685,432		1.05		717,290		1.15		-		1.94
2021		692,867		1.03		716,776		0.00		-		-
2020		699,332		1.03		723,451		0.20		-		0.20
2019		706,259		1.03		729,128		1.63		-		1.64
Federated Hermes High Income Bond Fund II
2023		15		12.06		177		6.97		-		12.71
2022		18		10.70		189		8.00		-		(11.79)
2021		63		12.13		759		4.52		-		4.85
2020		81		11.57		942		6.41		-		5.59
2019		119		10.95		1,303		7.29		-		14.54
Fidelity^® VIP Contrafund^® Portfolio
2023		7,783		24.10		187,547		0.39		-		33.37
2022		8,573		18.07		154,931		0.40		-		(26.40)
2021		9,061		24.55		222,426		0.04		-		27.71
2020		9,458		19.22		181,804		0.15		-		30.43
2019		9,804		14.74		144,480		0.36		-		31.45
Fidelity^® VIP Growth Opportunities Portfolio
2023		8,570		25.35		217,290		-		-		45.52
2022		8,766		17.42		152,742		-		-		(38.23)
2021		8,333		28.20		235,010		-		-		11.83
2020		8,864		25.22		224,017		0.01		-		68.49
2019		9,766		14.97		146,454		0.05		-		40.70
Fidelity^® VIP Growth Portfolio
2023		20,645		17.61		363,481		0.04		-		36.09
2022		21,244		12.94		274,827		0.51		-		(24.50)
2021		22,429		17.14		384,426		-		-		23.08
2020		23,173		13.93		322,697		0.06		-		43.75
2019		23,988		9.69		232,389		0.18		-		34.18

Nassau Life and Annuity Variable Universal Life Account

Notes to Financial Statements (continued)

Note 7. Financial Highlights (continued)


Subaccount	Units		Unit Values ($) (4)		Net Assets ($)		Investment Income Ratios (%) (1)		Expense Ratios (%) (2)		Total Returns (%) (3)(4)

Fidelity^® VIP Investment Grade Bond Portfolio
2023		6,991		1.75		12,210		2.62		-		6.06
2022		7,001		1.65		11,524		2.30		-		(12.70)
2021		6,772		1.89		12,819		1.98		-		(0.72)
2020		6,584		1.91		12,555		2.17		-		9.26
2019		6,461		1.74		11,272		2.69		-		9.58
Franklin Income VIP Fund
2023		20,033		2.68		53,612		5.13		-		8.94
2022		22,856		2.46		56,311		4.86		-		(5.75)
2021		24,331		2.61		63,416		4.66		-		16.75
2020		25,520		2.23		56,971		5.88		-		0.69
2019		27,019		2.22		59,901		5.36		-		16.06
Franklin Mutual Shares VIP Fund
2023		5,149		10.76		55,392		1.93		-		13.50
2022		5,104		9.48		48,399		1.87		-		(7.42)
2021		5,067		10.24		51,903		3.20		-		19.17
2020		4,951		8.60		42,553		2.90		-		(5.04)
2019		4,798		9.05		43,434		1.88		-		22.57
Invesco V.I. American Franchise Fund
2023		23,898		4.17		99,707		-		-		40.88
2022		23,977		2.96		70,985		-		-		(31.16)
2021		27,841		4.30		119,650		-		-		11.93
2020		27,583		3.84		105,912		0.07		-		42.35
2019		27,078		2.70		73,038		-		-		36.76
Invesco V.I. Core Equity Fund
2023		9,498		3.63		34,433		0.74		-		23.47
2022		10,085		2.94		29,637		0.92		-		(20.54)
2021		10,487		3.70		38,787		0.67		-		27.74
2020		11,014		2.90		31,891		1.37		-		13.85
2019		11,620		2.54		29,551		0.95		-		28.96

Nassau Life and Annuity Variable Universal Life Account

Notes to Financial Statements (continued)

Note 7. Financial Highlights (continued)


Subaccount	Units		Unit Values ($) (4)		Net Assets ($)		Investment Income Ratios (%) (1)		Expense Ratios (%) (2)		Total Returns (%) (3)(4)

Invesco V.I. Equity and Income Fund
2023		19,322		3.17		61,206		1.73		-		10.45
2022		20,684		2.87		59,435		1.43		-		(7.72)
2021		21,946		3.11		68,333		1.65		-		18.35
2020		23,001		2.63		60,513		2.22		-		9.65
2019		24,429		2.40		58,615		1.73		-		20.01
Invesco V.I. Main Street Small Cap Fund^®
2023		453		3.84		1,741		1.06		-		17.79
2022		366		3.26		1,194		0.30		-		(16.20)
2021		267		3.89		1,038		0.22		-		22.26
2020		180		3.18		573		0.59		-		19.64
2019		31		2.66		83		-		-		26.13
Lord Abbett Series Fund Bond Debenture Portfolio
2023		12,043		2.67		32,174		5.26		-		6.80
2022		12,206		2.50		30,605		4.16		-		(12.89)
2021		14,169		2.87		40,731		2.97		-		3.28
2020		16,305		2.78		45,376		3.96		-		7.30
2019		16,244		2.59		42,129		3.95		-		13.35
Lord Abbett Series Fund Growth and Income Portfolio
2023		59,113		3.46		204,522		0.98		-		13.07
2022		59,283		3.06		181,212		1.10		-		(9.47)
2021		71,819		3.38		242,414		1.09		-		29.02
2020		70,861		2.62		185,384		1.79		-		2.70
2019		69,093		2.55		176,010		1.73		-		22.49
Lord Abbett Series Fund Mid Cap Stock Portfolio
2023		14,801		3.20		47,325		0.49		-		15.52
2022		14,958		2.77		41,439		0.72		-		(11.22)
2021		19,784		3.12		61,733		0.57		-		28.70
2020		24,832		2.42		60,205		1.15		-		2.50
2019		24,701		2.37		58,429		0.94		-		22.64

Nassau Life and Annuity Variable Universal Life Account

Notes to Financial Statements (continued)

Note 7. Financial Highlights (continued)


Subaccount	Units		Unit Values ($) (4)		Net Assets ($)		Investment Income Ratios (%) (1)		Expense Ratios (%) (2)		Total Returns (%) (3)(4)

Neuberger Berman AMT Mid Cap Growth Portfolio
2023		738		2.06		1,523		-		-		17.71
2022		576		1.75		1,007		-		-		(28.86)
2021		396		2.46		972		-		-		12.72
2020		258		2.18		562		-		-		39.71
2019		51		1.56		79		-		-		32.48
PIMCO CommodityReal Return^® Strategy Portfolio
2023		19,685		0.88		17,402		16.05		-		(8.33)
2022		22,000		0.96		21,125		20.60		-		9.09
2021		23,291		0.88		20,582		4.12		-		33.11
2020		24,181		0.66		16,053		6.21		-		1.23
2019		25,157		0.66		16,499		4.34		-		11.35
PIMCO Real Return Portfolio
2023		878		1.82		1,601		2.91		-		3.41
2022		754		1.76		1,328		6.76		-		(12.00)
2021		612		2.00		1,225		4.99		-		5.48
2020		453		1.90		860		1.28		-		11.60
2019		274		1.70		465		1.74		-		8.33
PIMCO Total Return Portfolio
2023		4,504		1.90		8,540		3.48		-		6.15
2022		5,047		1.79		9,042		2.50		-		(14.35)
2021		5,381		2.09		11,256		1.72		-		(1.36)
2020		5,722		2.12		12,141		2.03		-		8.54
2019		6,141		1.96		12,005		2.91		-		8.25
Templeton Developing Markets VIP Fund
2023		1,235		12.79		15,803		2.06		-		12.59
2022		1,392		11.36		15,815		2.60		-		(21.98)
2021		1,475		14.56		21,475		0.88		-		(5.74)
2020		1,547		15.45		23,894		4.14		-		17.18
2019		1,636		13.18		21,567		0.99		-		26.70

Nassau Life and Annuity Variable Universal Life Account

Notes to Financial Statements (continued)

Note 7. Financial Highlights (continued)


Subaccount	Units		Unit Values ($) (4)		Net Assets ($)		Investment Income Ratios (%) (1)		Expense Ratios (%) (2)		Total Returns (%) (3)(4)

Templeton Foreign VIP Fund
2023		948		6.57		6,236		3.21		-		20.77
2022		972		5.44		5,294		3.06		-		(7.64)
2021		995		5.89		5,806		1.84		-		4.16
2020		1,013		5.66		5,678		3.38		-		(1.16)
2019		1,062		5.72		6,023		1.83		-		12.53
Templeton Growth VIP Fund
2023		11,578		8.30		96,241		3.36		-		20.99
2022		11,320		6.86		77,764		0.16		-		(11.60)
2021		11,141		7.76		86,485		1.34		-		4.87
2020		10,801		7.39		79,954		3.02		-		5.80
2019		10,302		6.99		72,085		2.79		-		15.15
TVST Touchstone Bond Fund
2023		2,069		1.65		3,421		5.35		-		5.77
2022		1,580		1.56		2,463		2.48		-		(13.81)
2021		1,072		1.81		1,939		3.10		-		(1.21)
2020		601		1.83		1,100		2.78		-		9.71
2019		113		1.67		189		1.29		-		10.46
TVST Touchstone Common Stock Fund
2023		1,670		4.59		7,662		0.49		-		26.80
2022		1,373		3.62		4,975		0.48		-		(17.73)
2021		1,008		4.40		4,434		0.67		-		27.85
2020		663		3.44		2,280		1.00		-		23.68
2019		126		2.78		351		0.56		-		28.58
TVST Touchstone Small Company Fund
2023		7,747		4.12		31,897		0.22		-		16.71
2022		8,206		3.53		28,976		0.03		-		(14.53)
2021		8,686		4.13		35,849		0.07		-		24.18
2020		9,067		3.32		30,135		0.16		-		18.70
2019		9,616		2.80		26,926		0.02		-		21.40

Nassau Life and Annuity Variable Universal Life Account

Notes to Financial Statements (continued)

Note 7. Financial Highlights (continued)


Subaccount	Units		Unit Values ($) (4)		Net Assets ($)		Investment Income Ratios (%) (1)		Expense Ratios (%) (2)		Total Returns (%) (3)(4)

Virtus Duff & Phelps Real Estate Securities Series
2023		1,298		25.12		32,623		2.16		-		11.00
2022		1,363		22.63		30,843		0.96		-		(26.09)
2021		1,429		30.62		43,766		0.66		-		46.41
2020		1,482		20.91		31,001		1.16		-		(1.55)
2019		1,558		21.24		33,091		1.32		-		27.42
Virtus KAR Capital Growth Series
2023		21,447		11.96		256,500		-		-		34.68
2022		21,817		8.88		193,707		-		-		(36.12)
2021		27,411		13.90		380,918		-		-		12.14
2020		31,614		12.39		391,772		-		-		50.23
2019		31,635		8.25		260,969		-		-		39.87
Virtus KAR Enhanced Core Equity Series
2023		54,638		11.15		609,078		3.09		-		1.55
2022		55,419		10.98		608,693		2.40		-		(2.40)
2021		63,745		11.25		716,905		2.25		-		17.39
2020		72,574		9.58		695,308		1.77		-		14.91
2019		72,775		8.34		606,755		1.25		-		28.67
Virtus KAR Small-Cap Growth Series
2023		2,921		38.90		113,651		-		-		19.69
2022		3,011		32.50		97,872		-		-		(30.33)
2021		3,115		46.65		145,319		-		-		4.98
2020		3,181		44.44		141,331		-		-		44.64
2019		3,251		30.72		99,877		-		-		37.31
Virtus KAR Small-Cap Value Series
2023		15,466		19.93		308,242		0.55		-		19.06
2022		15,696		16.74		262,774		0.20		-		(24.15)
2021		15,991		22.07		352,951		0.12		-		19.72
2020		16,177		18.44		298,237		1.13		-		29.65
2019		16,421		14.22		233,510		0.98		-		24.63

Nassau Life and Annuity Variable Universal Life Account

Notes to Financial Statements (continued)

Note 7. Financial Highlights (continued)


Subaccount	Units		Unit Values ($) (4)		Net Assets ($)		Investment Income Ratios (%) (1)		Expense Ratios (%) (2)		Total Returns (%) (3)(4)

Virtus Newfleet Multi-Sector Intermediate Bond Series
2023		18,779		9.95		186,873		4.84		-		8.62
2022		18,502		9.16		169,399		3.32		-		(9.49)
2021		19,622		10.12		198,561		2.96		-		1.07
2020		18,533		10.01		185,553		3.58		-		6.53
2019		16,826		9.40		158,130		2.74		-		10.47
Virtus SGA International Growth Series
2023		20,005		9.43		188,555		0.11		-		18.02
2022		19,915		7.99		159,072		-		-		(18.55)
2021		23,699		9.81		232,590		-		-		8.32
2020		23,079		9.06		209,108		-		-		23.64
2019		22,089		7.33		161,880		0.88		-		18.54
Virtus Strategic Allocation Series
2023		684		10.75		7,359		1.26		-		22.16
2022		568		8.80		4,995		0.27		-		(30.54)
2021		536		12.67		6,794		0.28		-		7.57
2020		464		11.78		5,463		0.76		-		33.96
2019		416		8.79		3,656		1.14		-		26.05
Wanger Acorn
2023		13,417		17.87		239,817		-		-		21.73
2022		13,461		14.68		197,647		-		-		(33.48)
2021		13,634		22.07		300,877		0.82		-		8.90
2020		13,743		20.26		278,488		-		-		24.23
2019		13,853		16.31		225,966		0.25		-		31.10
Wanger International
2023		6,660		11.38		75,822		0.33		-		16.96
2022		6,612		9.73		64,364		0.91		-		(33.85)
2021		6,659		14.71		97,984		0.58		-		18.81
2020		6,603		12.38		81,775		2.02		-		14.36
2019		6,441		10.83		69,752		0.84		-		29.99

Nassau Life and Annuity Variable Universal Life Account

Notes to Financial Statements (continued)

Note 7. Financial Highlights (continued)


Subaccount	Units		Unit Values ($) (4)		Net Assets ($)		Investment Income Ratios (%) (1)		Expense Ratios (%) (2)		Total Returns (%) (3)(4)

Wanger Select (a)
2023		-		15.37		-		-		-		9.40
2022		46		14.05		652		-		-		(34.83)
2021		52		21.56		1,123		-		-		5.83
2020		56		20.37		1,146		0.76		-		26.65
2019		62		16.08		993		0.07		-		29.30

(a) Merger. See Note 2.

(1) The investment income ratios represent the dividends, excluding distributions of capital gains, received by the subaccount from the underlying mutual fund, net of management fees assessed by the fund manager, divided by the average net assets. These ratios exclude those expenses, such as mortality and expense charges, that result in direct reductions in the unit values. The recognition of investment income by the subaccount is affected by the timing of the declaration of dividends by the underlying fund in which the subaccount invests.

(2) The expense ratios represent the annualized contract expenses of the Separate Account for each period indicated. The ratios include only those expenses that result in a direct reduction of unit values. Charges made directly to contract owner contracts through the redemption of units and expenses of the Fund have been excluded.

(3) These amounts represent the total return for the periods indicated, including changes in the value of the underlying fund, and reflect deductions for all items included in the expense ratio. The total return does not include any expenses assessed through the redemption of units; inclusion of these expenses in the calculation would result in a reduction in the total return presented. The total return is calculated for the period indicated or from the inception date through the end of the reporting period.

(4) Unit value information is calculated on a daily basis regardless of whether or not the subaccount has contract holders.

Note 8. Subsequent Events

The Separate Account has performed an evaluation of subsequent events through the date the financial statements were issued and has determined that no items require recognition or disclosure.

LOGO

KPMG LLP

One Financial Plaza

755 Main Street

Hartford, CT 06103

Report of Independent Registered Public Accounting Firm

To the Board of Directors of Nassau Life and Annuity Company

and Contract Owners of Nassau Life and Annuity Variable Universal Life Account:

Opinion on the Financial Statements

We have audited the accompanying statements of net assets of the subaccounts listed in the Appendix that comprise Nassau Life and Annuity Variable Universal Life Account (the Separate Account) as of December 31, 2023, the related statements of operations and changes in net assets for each of the years in the two-year period then ended (or the period indicated in the Appendix), and the related notes including the financial highlights in Note 7 for each of the years or periods in the five-year period then ended (collectively, the financial statements). In our opinion, the financial statements present fairly, in all material respects, the financial position of each subaccount as of December 31, 2023, the results of their operations and the changes in their net assets for each of the years in the two-year period then ended (or for the period indicated in the Appendix), and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Separate Account’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Separate Account in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Such procedures also included confirmation of securities owned as of December 31, 2023, by correspondence with the transfer agents of the underlying mutual funds. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

/s/ KPMG LLP

We have served as the auditor of one or more of the Nassau Insurance Group Holdings’ separate accounts since 2015.

Hartford, Connecticut

April 17, 2024

KPMG LLP, a Delaware limited liability partnership and a member firm of the

KPMG global organization of independent member firms affiliated with KPMG

International Limited, a private English company limited by guarantee.

Appendix ⁽²⁾

Alger Capital Appreciation Portfolio

Calvert VP S&P MidCap 400 Index Portfolio

DWS Equity 500 Index VIP

Federated Hermes Fund for U.S. Government Securities II

Federated Hermes Government Money Fund II

Federated Hermes High Income Bond Fund II

Fidelity^® VIP Contrafund^® Portfolio

Fidelity^® VIP Growth Opportunities Portfolio

Fidelity^® VIP Growth Portfolio

Fidelity^® VIP Investment Grade Bond Portfolio

Franklin Income VIP Fund

Franklin Mutual Shares VIP Fund Invesco V.I.

American Franchise Fund Invesco V.I.

Core Equity Fund

Invesco V.I. Equity and Income Fund

Invesco V.I. Main Street Small Cap Fund^®

Lord Abbett Series Fund Bond Debenture Portfolio

Lord Abbett Series Fund Growth and Income Portfolio

Lord Abbett Series Fund Mid Cap Stock Portfolio

Neuberger Berman AMT Mid Cap Growth Portfolio

PIMCO CommodityReal Return^® Strategy Portfolio

PIMCO Real Return Portfolio

PIMCO Total Return Portfolio

Templeton Developing Markets VIP Fund

Templeton Foreign VIP Fund

Templeton Growth VIP Fund

TVST Touchstone Bond Fund

TVST Touchstone Common Stock Fund

TVST Touchstone Small Company Fund

Virtus Duff & Phelps Real Estate Securities Series

Virtus KAR Capital Growth Series

Virtus KAR Enhanced Core Equity Series

Virtus KAR Small-Cap Growth Series

Virtus KAR Small-Cap Value Series

Virtus Newfleet Multi-Sector Intermediate Bond Series

Virtus SGA International Growth Series

Virtus Strategic Allocation Series

Wanger Acorn

Wanger International

Wanger Select (statements of operations and changes for the period

January 1, 2023 to April 21, 2023, merger date, and the year

ended December 31, 2022)

⁽²⁾	Unless noted otherwise, statements of operations and changes in net assets for each of the years in the two-year period ended December 31, 2023.

LOGO

Nassau Life and Annuity Company

One American Row

Hartford, CT 06103-2899

Not insured by FDIC/NCUSIF or any federal government agency.

No bank guarantee. Not a deposit. May lose value.

Nassau Life and Annuity Company

A member of The Nassau Companies of New York

www.nfg.com


OL4260 ^© 2023 The Nassau Companies of New York		12-23