ZALICO VARIABLE ANNUITY SEPARATE ACCOUNT

OF ZURICH AMERICAN LIFE INSURANCE COMPANY

FINANCIAL STATEMENTS

December 31, 2022

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Index	Page
Report of Independent Registered Public Accounting Firm		1-3
Statement of Assets, Liabilities and Contract Owners’ Equity, December 31, 2022		4-11
Statement of Operations for the year ended December 31, 2022		12-19
Statement of Changes in Contract Owners’ Equity for the year ended December 31, 2022		20-27
Statement of Changes in Contract Owners’ Equity for the year ended December 31, 2021		28-35
Notes to Financial Statements		36-60

         Ernst & Young LLP 155 North Wacker Drive Chicago, IL 60606-1787          Tel: +1 312 879 2000 Fax: +1 312 879 4000 ey.com

Report of Independent Registered Public Accounting Firm

The Board of Directors of Zurich American Life Insurance Company and

Contract Owners of ZALICO Variable Annuity Separate Account

Opinion on the Financial Statements

We have audited the accompanying statements of assets, liabilities and contract owners’ equity of each of the subaccounts listed in the Appendix that comprise ZALICO Variable Annuity Separate Account (the Separate Account), as of December 31, 2022, the related statement of operations and the statements of changes in contract owners’ equity for each of the periods indicated in the Appendix, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each subaccount as of December 31, 2022, the results of its operations and changes in its contract owners’ equity for each of the periods indicated in the Appendix, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

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

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022, by correspondence with the fund companies or their transfer agents, as applicable. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the Separate Account’s Auditor since 2021.

/s/ Ernst & Young LLP

April 24, 2023

A member firm of Ernst & Young Global Limited 1

Appendix

Subaccounts comprising ZALICO Variable Annuity Separate Account

Subaccounts	Statement of Operations	Statements of Changes in Contract Owners’ Equity
Alger Balanced-Class I-2	For the year ended	For each of the two years in the period
Alger Capital Appreciation-Class I-2	December 31, 2022	ended December 31, 2022
Alger Large Cap Growth-Class I-2
Alger Mid Cap Growth-Class I-2
Alger Small Cap Growth-Class I-2
American Century VP Disciplined Core Value
American Century VP Value
BNY Mellon Investment Portfolios MidCap Stock Portfolio – Initial Shares
BNY Mellon Investment Portfolios MidCap Stock Portfolio – Service Shares
BNY Mellon Sustainable U.S. Equity Portfolio Inc. – Initial Shares
BNY Mellon Sustainable U.S. Equity Portfolio Inc. – Service Shares
DWS Capital Growth VIP A
DWS Capital Growth VIP B
DWS Core Equity VIP A
DWS Core Equity VIP B
DWS CROCI® International VIP A
DWS CROCI® International VIP B
DWS CROCI® U.S. VIP A
DWS CROCI® U.S. VIP B
DWS Equity 500 Index VIP A
DWS Global Income Builder VIP A
DWS Global Small Cap VIP A
DWS Government Money Market VIP A
DWS High Income VIP A
DWS High Income VIP B
DWS International Growth VIP A
DWS Small Cap Index VIP A
DWS Small Mid Cap Growth VIP A
DWS Small Mid Cap Value VIP A
DWS Small Mid Cap Value VIP B
Fidelity VIP Contrafund
Fidelity VIP Equity Income
Fidelity VIP Growth
Fidelity VIP II Asset Manager
Fidelity VIP Index 500
Fidelity VIP II Index 500 – Service Class 2
FTVIP Franklin Mutual Global Discovery Fund CL 2
FTVIP Franklin Mutual Shares Fund CL 2

A member firm of Ernst & Young Global Limited 2

Subaccounts	Statement of Operations	Statements of Changes in Contract Owners’ Equity
FTVIP Franklin Rising Dividends Fund CL 2	For the year ended	For each of the two years in the period
FTVIP Franklin Small Cap Value Fund CL 2	December 31, 2022	ended December 31, 2022
FTVIP Franklin Strategic Income Fund CL 2
FTVIP Franklin U.S. Government Fund CL 2
FTVIP Templeton Developing Markets Fund CL 2
Invesco V.I. Capital Appreciation Fund Series II
Invesco V.I. Discovery Mid Cap Growth Fund Series II
Invesco V.I. Diversified Dividend Fund Series I
Invesco V.I. Equity and Income Fund Series I
Invesco V.I. Global Fund Series II
Invesco V.I. Global Real Estate Fund Series I
Invesco V.I. Global Strategic Income Fund Series II
Invesco V.I. Health Care Series I
Invesco V.I. Main Street Fund Series II
Invesco V.I. Main Street Small Cap Fund Series II
Janus Henderson Balanced Portfolio I-S
Janus Henderson Enterprise Portfolio I-S
Janus Henderson Forty Portfolio I-S
Janus Henderson Global Research Portfolio I-S
Janus Henderson Mid Cap Value Portfolio S-S
Janus Henderson Research Portfolio I-S
JPMorgan Insurance Trust Core Bond
JPMorgan Insurance Trust MidCap Value
JPMorgan Insurance Trust Small Cap Core
JPMorgan Insurance Trust US Equity Portfolio
Voya Global High Dividend Low Volatility Portfolio Class S
VY JPMorgan Emerging Markets Equity Portfolio Class I
DWS Bond VIP A	N/A	For the year ended December 31, 2021
DWS Global Equity VIP A
PIMCO PVIT International Bond (U.S. Dollar-
Hedged) – Admin
PIMCO PVIT Low Duration Portfolio – Admin

A member firm of Ernst & Young Global Limited 3

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Assets, Liabilities and Contract Owners’ Equity

December 31, 2022

	Alger Portfolios										American Century Variable Portfolios, Inc.				BNY Mellon Investment Portfolios
	Alger Balanced- Class I-2		Alger Capital Appreciation -Class I-2		Alger Large Cap Growth- Class I-2		Alger Mid Cap Growth- Class I-2		Alger Small Cap Growth- Class I-2		American Century VP Disciplined Core Value		American Century VP Value		BNY Mellon Investment Portfolios MidCap Stock Portfolio - Initial Shares		BNY Mellon Investment Portfolios MidCap Stock Portfolio - Service Shares
ASSETS
Investments in underlying portfolio funds, at fair value	$	23,391,032	$	32,642,600	$	8,794,514	$	6,894,036	$	5,072,672	$	6,900,375	$	9,940,382	$	23,119,228	$	2,461,940
Dividends and other receivables		—		—		—		—		—		—		—		—		—
Total assets		23,391,032		32,642,600		8,794,514		6,894,036		5,072,672		6,900,375		9,940,382		23,119,228		2,461,940
LIABILITIES AND CONTRACT OWNERS’ EQUITY
Liabilities - other payables		—		—		—		—		—		—		—		—		—
Contract owners’ equity	$	23,391,032	$	32,642,600	$	8,794,514	$	6,894,036	$	5,072,672	$	6,900,375	$	9,940,382	$	23,119,228	$	2,461,940
Accumulation period	$	23,391,032	$	32,642,600	$	8,794,514	$	6,894,036	$	5,071,453	$	6,900,375	$	9,940,382	$	23,119,228	$	2,461,940
Annuity period		—		—		—		—		1,219		—		—		—		—
Total Contract Owners’ Equity	$	23,391,032	$	32,642,600	$	8,794,514	$	6,894,036	$	5,072,672	$	6,900,375	$	9,940,382	$	23,119,228	$	2,461,940
Units Outstanding		984,545		895,552		58,695		85,415		46,926		346,743		357,436		608,515		66,434
Shares Owned in each Portfolio		1,426,282		597,303		186,918		503,950		357,482		962,395		798,424		1,404,570		150,485
Fair Value per Share	$	16.40	$	54.65	$	47.05	$	13.68	$	14.19	$	7.17	$	12.45	$	16.46	$	16.36

See accompanying notes to financial statements.

4

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Assets, Liabilities and Contract Owners' Equity

December 31, 2022

	BNY Mellon Sustainable U.S. Equity Funds				Deutsche DWS Variable Series I
	BNY Mellon Sustainable U.S. Equity Portfolio Inc. - Initial Shares		BNY Mellon Sustainable U.S. Equity Portfolio Inc. - Service Shares		DWS Capital Growth VIP A		DWS Capital Growth VIP B		DWS Core Equity VIP A		DWS Core Equity VIP B		DWS CROCI® International VIP A		DWS CROCI® International VIP B
ASSETS
Investments in underlying portfolio funds, at fair value	$	5,786,186	$	4,099	$	153,865,552	$	254,272	$	45,120,353	$	17,166	$	11,356,055	$	31,361
Dividends and other receivables		—		—		—		—		—		—		—		—
Total assets		5,786,186		4,099		153,865,552		254,272		45,120,353		17,166		11,356,055		31,361
LIABILITIES AND CONTRACT OWNERS’ EQUITY
Liabilities - other payables		—		—		—		—		—		—		—		—
Contract owners’ equity	$	5,786,186	$	4,099	$	153,865,552	$	254,272	$	45,120,353	$	17,166	$	11,356,055	$	31,361
Accumulation period	$	5,786,186	$	4,099	$	153,543,564	$	254,272	$	45,120,188	$	17,166	$	11,347,356	$	31,361
Annuity period		—		—		321,988		—		165		—		8,699		—
Total Contract Owners’ Equity	$	5,786,186	$	4,099	$	153,865,552	$	254,272	$	45,120,353	$	17,166	$	11,356,055	$	31,361
Units Outstanding		191,902		123		3,323,531		6,042		1,479,166		451		1,037,237		2,467
Shares Owned in each Portfolio		138,658		100		5,383,679		8,963		4,309,489		1,641		1,749,777		4,825
Fair Value per Share	$	41.73	$	40.99	$	28.58	$	28.37	$	10.47	$	10.46	$	6.49	$	6.50

See accompanying notes to financial statements.

5

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Assets, Liabilities and Contract Owners' Equity

December 31, 2022

	Deutsche DWS Variable Series I				Deutsche DWS Variable Series II
	DWS Global Small Cap VIP A		DWS Small Cap Index VIP A		DWS CROCI® U.S. VIP A		DWS CROCI® U.S. VIP B		DWS Global Income Builder VIP A		DWS Government Money Market VIP A		DWS High Income VIP A		DWS High Income VIP B
ASSETS
Investments in underlying portfolio funds, at fair value	$	17,947,100	$	501,511	$	65,867,303	$	151,637	$	64,528,504	$	68,627,484	$	25,807,701	$	8,079
Dividends and other receivables		—		—		—		—		—		61,008		—		—
Total assets		17,947,100		501,511		65,867,303		151,637		64,528,504		68,688,492		25,807,701		8,079
LIABILITIES AND CONTRACT OWNERS’ EQUITY
Liabilities - other payables		—		—		—		—		—		—		—		—
Contract owners’ equity	$	17,947,100	$	501,511	$	65,867,303	$	151,637	$	64,528,504	$	68,688,492	$	25,807,701	$	8,079
Accumulation period	$	17,947,100	$	501,511	$	65,826,533	$	151,637	$	64,166,640	$	68,472,272	$	25,622,521	$	8,079
Annuity period		—		—		40,770		—		361,864		216,220		185,180		—
Total Contract Owners’ Equity	$	17,947,100	$	501,511	$	65,867,303	$	151,637	$	64,528,504	$	68,688,492	$	25,807,701	$	8,079
Units Outstanding		584,784		65,790		4,501,623		7,678		5,292,137		20,794,361		2,072,204		361
Shares Owned in each Portfolio		2,106,467		41,379		5,012,732		11,496		3,191,321		68,627,484		4,832,903		1,510
Fair Value per Share	$	8.52	$	12.12	$	13.14	$	13.19	$	20.22	$	1.00	$	5.34	$	5.35

See accompanying notes to financial statements.

6

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Assets, Liabilities and Contract Owners' Equity

December 31, 2022

	Deutsche DWS Variable Series II								Deutsche DWS Investments VIT Funds		Fidelity Variable Insurance Products Funds
	DWS International Growth VIP A		DWS Small Mid Cap Growth VIP A		DWS Small Mid Cap Value VIP A		DWS Small Mid Cap Value VIP B		DWS Equity 500 Index VIP A		Fidelity VIP Contrafund		Fidelity VIP Equity Income		Fidelity VIP Growth		Fidelity VIP II Asset Manager
ASSETS
Investments in underlying portfolio funds, at fair value	$	11,356,201	$	41,098,157	$	42,048,733	$	134,616	$	80,646,657	$	55,393,777	$	19,059,526	$	31,082,844	$	2,223,609
Dividends and other receivables		—		—		—		—		—		—		—		—		—
Total assets		11,356,201		41,098,157		42,048,733		134,616		80,646,657		55,393,777		19,059,526		31,082,844		2,223,609
LIABILITIES AND CONTRACT OWNERS’ EQUITY
Liabilities - other payables		—		—		—		—		—		—		—		—		—
Contract owners’ equity	$	11,356,201	$	41,098,157	$	42,048,733	$	134,616	$	80,646,657	$	55,393,777	$	19,059,526	$	31,082,844	$	2,223,609
Accumulation period	$	11,356,201	$	41,079,432	$	41,954,615	$	134,616	$	80,646,657	$	55,321,195	$	19,059,401	$	31,068,449	$	2,223,609
Annuity period		—		18,725		94,118		—		—		72,582		125		14,395		—
Total Contract Owners’ Equity	$	11,356,201	$	41,098,157	$	42,048,733	$	134,616	$	80,646,657	$	55,393,777	$	19,059,526	$	31,082,844	$	2,223,609
Units Outstanding		505,863		4,855,356		3,413,311		4,059		2,419,907		460,893		200,879		155,790		44,573
Shares Owned in each Portfolio		865,564		3,433,430		3,303,121		10,583		3,510,956		1,462,349		808,978		434,664		155,280
Fair Value per Share	$	13.12	$	11.97	$	12.73	$	12.72	$	22.97	$	37.88	$	23.56	$	71.51	$	14.32

See accompanying notes to financial statements.

7

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Assets, Liabilities and Contract Owners' Equity

December 31, 2022

	Fidelity Variable Insurance Products Funds				Franklin Templeton Variable Insurance Products Trust
	Fidelity VIP Index 500		Fidelity VIP II Index 500 - Service Class 2		FTVIP Franklin Mutual Global Discovery Fund CL 2		FTVIP Franklin Mutual Shares Fund CL 2		FTVIP Franklin Rising Dividends Fund CL 2		FTVIP Franklin Small Cap Value Fund CL 2		FTVIP Franklin Strategic Income Fund CL 2		FTVIP Franklin U.S. Government Fund CL 2		FTVIP Templeton Developing Markets Fund CL 2
ASSETS
Investments in underlying portfolio funds, at fair value	$	66,571,487	$	1,795,836	$	9,894,365	$	2,291,916	$	5,815,991	$	3,858,611	$	2,583,114	$	1,249,210	$	1,577,492
Dividends and other receivables		—		—		—		—		—		—		—		—		—
Total assets		66,571,487		1,795,836		9,894,365		2,291,916		5,815,991		3,858,611		2,583,114		1,249,210		1,577,492
LIABILITIES AND CONTRACT OWNERS’ EQUITY
Liabilities - other payables		—		—		—		—		—		—		—		—		—
Contract owners’ equity	$	66,571,487	$	1,795,836	$	9,894,365	$	2,291,916	$	5,815,991	$	3,858,611	$	2,583,114	$	1,249,210	$	1,577,492
Accumulation period	$	66,524,034	$	1,795,836	$	9,894,365	$	2,291,916	$	5,802,466	$	3,858,611	$	2,583,114	$	1,249,210	$	1,543,041
Annuity period		47,453		—		—		—		13,525		—		—		—		34,451
Total Contract Owners’ Equity	$	66,571,487	$	1,795,836	$	9,894,365	$	2,291,916	$	5,815,991	$	3,858,611	$	2,583,114	$	1,249,210	$	1,577,492
Units Outstanding		133,653		4,038		263,281		84,312		124,771		81,099		145,803		107,681		52,735
Shares Owned in each Portfolio		177,628		4,858		595,687		151,182		215,168		307,950		295,889		122,592		211,460
Fair Value per Share	$	374.78	$	369.67	$	16.61	$	15.16	$	27.03	$	12.53	$	8.73	$	10.19	$	7.46

See accompanying notes to financial statements.

8

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Assets, Liabilities and Contract Owners' Equity

December 31, 2022

	Invesco Variable Insurance Funds
	Invesco V.I. Capital Appreciation Fund Series II		Invesco V.I. Discovery Mid Cap Growth Fund Series II		Invesco V.I. Diversified Dividend Fund Series I		Invesco V.I. Equity and Income Fund Series I		Invesco V.I. Global Fund Series II		Invesco V.I. Global Real Estate Fund Series I		Invesco V.I. Global Strategic Income Fund Series II		Invesco V.I. Health Care Series I		Invesco V.I. Main Street Fund Series II
ASSETS
Investments in underlying portfolio funds, at fair value	$	1,206,797	$	1,219,446	$	746,931	$	11,180,293	$	12,284,523	$	2,443,376	$	1,891,535	$	1,664,758	$	3,305,877
Dividends and other receivables		—		—		—		—		—		—		—		—		—
Total assets		1,206,797		1,219,446		746,931		11,180,293		12,284,523		2,443,376		1,891,535		1,664,758		3,305,877
LIABILITIES AND CONTRACT OWNERS’ EQUITY
Liabilities - other payables		—		—		—		—		—		—		—		—		—
Contract owners’ equity	$	1,206,797	$	1,219,446	$	746,931	$	11,180,293	$	12,284,523	$	2,443,376	$	1,891,535	$	1,664,758	$	3,305,877
Accumulation period	$	1,206,797	$	1,219,446	$	746,931	$	11,180,293	$	12,284,523	$	2,443,376	$	1,891,535	$	1,664,758	$	3,305,877
Annuity period		—		—		—		—		—		—		—		—		—
Total Contract Owners’ Equity	$	1,206,797	$	1,219,446	$	746,931	$	11,180,293	$	12,284,523	$	2,443,376	$	1,891,535	$	1,664,758	$	3,305,877
Units Outstanding		34,312		30,003		44,483		1,176,457		298,150		87,179		125,118		41,183		88,601
Shares Owned in each Portfolio		36,503		25,479		29,889		692,707		405,430		187,375		464,751		66,193		210,030
Fair Value per Share	$	33.06	$	47.86	$	24.99	$	16.14	$	30.30	$	13.04	$	4.07	$	25.15	$	15.74

See accompanying notes to financial statements.

9

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Assets, Liabilities and Contract Owners' Equity

December 31, 2022

	Invesco Variable Insurance Funds		Janus Aspen Series												JPMorgan Insurance Trust
	Invesco V.I. Main Street Small Cap Fund Series II		Janus Henderson Balanced Portfolio I-S		Janus Henderson Enterprise Portfolio I-S		Janus Henderson Forty Portfolio I-S		Janus Henderson Global Research Portfolio I-S		Janus Henderson Mid Cap Value Portfolio S-S		Janus Henderson Research Portfolio I-S		JPMorgan Insurance Trust Core Bond		JPMorgan Insurance Trust MidCap Value
ASSETS
Investments in underlying portfolio funds, at fair value	$	6,291,434	$	56,265,534	$	48,903,699	$	6,426,833	$	30,133,558	$	2,767,380	$	23,718,307	$	413,807	$	4,424,786
Dividends and other receivables		—		—		—		—		—		—		—		—		—
Total assets		6,291,434		56,265,534		48,903,699		6,426,833		30,133,558		2,767,380		23,718,307		413,807		4,424,786
LIABILITIES AND CONTRACT OWNERS’ EQUITY
Liabilities - other payables		—		—		—		—		—		—		—		—		—
Contract owners’ equity	$	6,291,434	$	56,265,534	$	48,903,699	$	6,426,833	$	30,133,558	$	2,767,380	$	23,718,307	$	413,807	$	4,424,786
Accumulation period	$	6,291,434	$	56,100,255	$	48,849,367	$	6,426,833	$	30,081,248	$	2,767,380	$	23,681,276	$	413,807	$	4,424,786
Annuity period		—		165,279		54,332		—		52,310		—		37,031		—		—
Total Contract Owners’ Equity	$	6,291,434	$	56,265,534	$	48,903,699	$	6,426,833	$	30,133,558	$	2,767,380	$	23,718,307	$	413,807	$	4,424,786
Units Outstanding		121,306		599,757		350,213		145,954		438,765		63,468		319,998		30,373		115,708
Shares Owned in each Portfolio		278,876		1,404,882		702,841		189,638		602,430		176,942		751,055		42,793		424,236
Fair Value per Share	$	22.56	$	40.05	$	69.58	$	33.89	$	50.02	$	15.64	$	31.58	$	9.67	$	10.43

See accompanying notes to financial statements.

10

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Assets, Liabilities and Contract Owners' Equity

December 31, 2022

	JPMorgan Insurance Trust				Voya Global Resources Trust		Voya Investors Trust
	JPMorgan Insurance Trust Small Cap Core		JPMorgan Insurance Trust US Equity Portfolio		Voya Global High Dividend Low Volatility Portfolio Class S		VY JPMorgan Emerging Markets Equity Portfolio Class I
ASSETS
Investments in underlying portfolio funds, at fair value	$	3,644,861	$	1,030,551	$	2,388,659	$	2,840,319
Dividends and other receivables		—		—		—		—
Total assets		3,644,861		1,030,551		2,388,659		2,840,319
LIABILITIES AND CONTRACT OWNERS’ EQUITY
Liabilities - other payables		—		—		—		—
Contract owners’ equity	$	3,644,861	$	1,030,551	$	2,388,659	$	2,840,319
Accumulation period	$	3,644,861	$	1,030,551	$	2,388,659	$	2,803,879
Annuity period		—		—		—		36,440
Total Contract Owners’ Equity	$	3,644,861	$	1,030,551	$	2,388,659	$	2,840,319
Units Outstanding		77,716		23,375		155,314		99,810
Shares Owned in each Portfolio		202,943		32,623		216,168		236,891
Fair Value per Share	$	17.96	$	31.59	$	11.05	$	11.99

See accompanying notes to financial statements.

11

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Operations

For the year ended December 31, 2022

	Alger Portfolios															American Century Variable Portfolios, Inc.						BNY Mellon Investment Portfolios
	Alger Balanced- Class I-2			Alger Capital Appreciation -Class I-2			Alger Large Cap Growth- Class I-2			Alger Mid Cap Growth- Class I-2			Alger Small Cap Growth- Class I-2			American Century VP Disciplined Core Value			American Century VP Value			BNY Mellon Investment Portfolios MidCap Stock Portfolio - Initial Shares			BNY Mellon Investment Portfolios MidCap Stock Portfolio - Service Shares
	1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022
REVENUE
Dividend income	$	282,922		$	—		$	—		$	—		$	—		$	133,835		$	210,008		$	186,858		$	12,345
EXPENSES
Administrative, mortality and expense risk charges		348,985			587,108			145,682			111,293			80,518			104,923			134,434			355,198			36,648
Net investment income (loss)		(66,063	)		(587,108	)		(145,682	)		(111,293	)		(80,518	)		28,912			75,574			(168,340	)		(24,303	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on sale of investments		470,628			367,733			75,017			(455,712	)		16,496			(294,291	)		465,303			(479,263	)		(23,726	)
Capital gain distributions		1,041,784			2,946,803			493,979			248,524			935,179			2,091,753			813,003			6,302,890			680,777
Net realized gain (loss) on investments		1,512,412			3,314,536			568,996			(207,188	)		951,675			1,797,462			1,278,306			5,823,627			657,051
Change in unrealized depreciation of investments		(4,944,093	)		(24,459,411	)		(6,584,975	)		(4,000,217	)		(4,273,457	)		(3,067,114	)		(1,440,159	)		(10,242,274	)		(1,124,988	)
Net realized and unrealized loss on investments		(3,431,681	)		(21,144,875	)		(6,015,979	)		(4,207,405	)		(3,321,782	)		(1,269,652	)		(161,853	)		(4,418,647	)		(467,937	)
Net decrease in contract owners’ equity resulting from operations	$	(3,497,744	)	$	(21,731,983	)	$	(6,161,661	)	$	(4,318,698	)	$	(3,402,300	)	$	(1,240,740	)	$	(86,279	)	$	(4,586,987	)	$	(492,240	)

See accompanying notes to financial statements.

12

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Operations

For the year ended December 31, 2022

	BNY Mellon Sustainable U.S. Equity Funds						Deutsche DWS Variable Series I
	BNY Mellon Sustainable U.S. Equity Portfolio Inc. - Initial Shares			BNY Mellon Sustainable U.S. Equity Portfolio Inc. - Service Shares			DWS Capital Growth VIP A			DWS Capital Growth VIP B			DWS Core Equity VIP A			DWS Core Equity VIP B			DWS CROCI® International VIP A			DWS CROCI® International VIP B
	1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022
REVENUE
Dividend income	$	35,757		$	13		$	169,021		$	—		$	404,426		$	84		$	391,514		$	941
EXPENSES
Administrative, mortality and expense risk charges		93,190			79			2,495,715			5,679			698,268			327			166,420			598
Net investment income (loss)		(57,433	)		(66	)		(2,326,694	)		(5,679	)		(293,842	)		(243	)		225,094			343
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on sale of investments		123,945			31			3,580,951			4,776			(306,268	)		28			(284,198	)		(496	)
Capital gain distributions		489,724			325			29,780,077			49,688			7,134,555			2,562			—			—
Net realized gain (loss) on investments		613,669			356			33,361,028			54,464			6,828,287			2,590			(284,198	)		(496	)
Change in unrealized depreciation of investments		(2,536,853	)		(1,614	)		(106,761,715	)		(177,115	)		(16,176,973	)		(5,922	)		(1,986,109	)		(5,435	)
Net realized and unrealized loss on investments		(1,923,184	)		(1,258	)		(73,400,687	)		(122,651	)		(9,348,686	)		(3,332	)		(2,270,307	)		(5,931	)
Net decrease in contract owners’ equity resulting from operations	$	(1,980,617	)	$	(1,324	)	$	(75,727,381	)	$	(128,330	)	$	(9,642,528	)	$	(3,575	)	$	(2,045,213	)	$	(5,588	)

See accompanying notes to financial statements.

13

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Operations

For the year ended December 31, 2022

	Deutsche DWS Variable Series I						Deutsche DWS Variable Series II
	DWS Global Small Cap VIP A			DWS Small Cap Index VIP A			DWS CROCI® U.S. VIP A			DWS CROCI® U.S. VIP B			DWS Global Income Builder VIP A			DWS Government Money Market VIP A			DWS High Income VIP A			DWS High Income VIP B
	1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022
REVENUE
Dividend income	$	115,094		$	2,108		$	1,314,581		$	2,363		$	2,128,391		$	849,294		$	1,516,889		$	405
EXPENSES
Administrative, mortality and expense risk charges		288,774			4,444			1,010,080			3,056			956,199			970,066			378,632			159
Net investment income (loss)		(173,680	)		(2,336	)		304,501			(693	)		1,172,192			(120,772	)		1,138,257			246
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on sale of investments		(1,052,463	)		(107,316	)		531,668			304			(278,896	)		(1	)		(915,054	)		(36	)
Capital gain distributions		3,694,615			39,651			1,098,245			2,401			6,175,034			—			—			—
Net realized gain (loss) on investments		2,642,152			(67,665	)		1,629,913			2,705			5,896,138			(1	)		(915,054	)		(36	)
Change in unrealized depreciation of investments		(8,928,350	)		(35,394	)		(15,881,425	)		(33,667	)		(20,431,263	)		—			(3,493,241	)		(1,218	)
Net realized and unrealized loss on investments		(6,286,198	)		(103,059	)		(14,251,512	)		(30,962	)		(14,535,125	)		(1	)		(4,408,295	)		(1,254	)
Net decrease in contract owners’ equity resulting from operations	$	(6,459,878	)	$	(105,395	)	$	(13,947,011	)	$	(31,655	)	$	(13,362,933	)	$	(120,773	)	$	(3,270,038	)	$	(1,008	)

See accompanying notes to financial statements.

14

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Operations

For the year ended December 31, 2022

	Deutsche DWS Variable Series II												Deutsche DWS Investments VIT Funds			Fidelity Variable Insurance Products Funds
	DWS International Growth VIP A			DWS Small Mid Cap Growth VIP A			DWS Small Mid Cap Value VIP A			DWS Small Mid Cap Value VIP B			DWS Equity 500 Index VIP A			Fidelity VIP Contrafund			Fidelity VIP Equity Income			Fidelity VIP Growth			Fidelity VIP II Asset Manager
	1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022
REVENUE
Dividend income	$	147,745		$	—		$	407,057		$	665		$	1,099,846		$	314,364		$	368,650		$	245,964		$	49,081
EXPENSES
Administrative, mortality and expense risk charges		191,676			646,952			646,523			2,693			1,221,609			840,682			257,277			487,480			31,339
Net investment income (loss)		(43,931	)		(646,952	)		(239,466	)		(2,028	)		(121,763	)		(526,318	)		111,373			(241,516	)		17,742
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on sale of investments		582,373			(1,395,843	)		(1,332,205	)		542			1,502,184			1,504,650			60,231			3,968,318			(10,216	)
Capital gain distributions		190,350			5,798,140			700,264			2,103			5,124,373			3,010,263			646,312			2,981,691			160,869
Net realized gain (loss) on investments		772,723			4,402,297			(631,941	)		2,645			6,626,557			4,514,913			706,543			6,950,009			150,653
Change in unrealized depreciation of investments		(6,219,830	)		(21,451,985	)		(8,338,558	)		(29,575	)		(26,588,203	)		(26,503,116	)		(2,119,772	)		(18,965,266	)		(604,690	)
Net realized and unrealized loss on investments		(5,447,107	)		(17,049,688	)		(8,970,499	)		(26,930	)		(19,961,646	)		(21,988,203	)		(1,413,229	)		(12,015,257	)		(454,037	)
Net decrease in contract owners’ equity resulting from operations	$	(5,491,038	)	$	(17,696,640	)	$	(9,209,965	)	$	(28,958	)	$	(20,083,409	)	$	(22,514,521	)	$	(1,301,856	)	$	(12,256,773	)	$	(436,295	)

See accompanying notes to financial statements.

15

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Operations

For the year ended December 31, 2022

	Fidelity Variable Insurance Products Funds						Franklin Templeton Variable Insurance Products Trust
	Fidelity VIP Index 500			Fidelity VIP II Index 500 - Service Class 2			FTVIP Franklin Mutual Global Discovery Fund CL 2			FTVIP Franklin Mutual Shares Fund CL 2			FTVIP Franklin Rising Dividends Fund CL 2			FTVIP Franklin Small Cap Value Fund CL 2			FTVIP Franklin Strategic Income Fund CL 2			FTVIP Franklin U.S. Government Fund CL 2			FTVIP Templeton Developing Markets Fund CL 2
	1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022
REVENUE
Dividend income	$	1,067,929		$	24,300		$	144,409		$	51,881		$	47,619		$	40,980		$	122,895		$	25,226		$	46,422
EXPENSES
Administrative, mortality and expense risk charges		982,932			29,745			136,275			37,828			77,584			56,902			38,605			15,134			23,610
Net investment income (loss)		84,997			(5,445	)		8,134			14,053			(29,965	)		(15,922	)		84,290			10,092			22,812
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on sale of investments		11,536,822			124,493			(62,884	)		(153,247	)		116,776			(174,566	)		(87,951	)		(89,995	)		73,737
Capital gain distributions		586,937			16,020			863,564			313,316			759,778			773,345			—			—			134,139
Net realized gain (loss) on investments		12,123,759			140,513			800,680			160,069			876,554			598,779			(87,951	)		(89,995	)		207,876
Change in unrealized depreciation of investments		(30,165,158	)		(598,827	)		(1,479,179	)		(452,493	)		(1,662,549	)		(1,134,280	)		(392,369	)		(46,120	)		(754,546	)
Net realized and unrealized loss on investments		(18,041,399	)		(458,314	)		(678,499	)		(292,424	)		(785,995	)		(535,501	)		(480,320	)		(136,115	)		(546,670	)
Net decrease in contract owners’ equity resulting from operations	$	(17,956,402	)	$	(463,759	)	$	(670,365	)	$	(278,371	)	$	(815,960	)	$	(551,423	)	$	(396,030	)	$	(126,023	)	$	(523,858	)

See accompanying notes to financial statements.

16

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Operations

For the year ended December 31, 2022

	Invesco Variable Insurance Funds
	Invesco V.I. Capital Appreciation Fund Series II			Invesco V.I. Discovery Mid Cap Growth Fund Series II			Invesco V.I. Diversified Dividend Fund Series I			Invesco V.I. Equity and Income Fund Series I			Invesco V.I. Global Fund Series II			Invesco V.I. Global Real Estate Fund Series I			Invesco V.I. Global Strategic Income Fund Series II			Invesco V.I. Health Care Series I			Invesco V.I. Main Street Fund Series II
	1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022
REVENUE
Dividend income	$	—		$	—		$	14,933		$	180,973		$	—		$	83,294		$	—		$	—		$	40,552
EXPENSES
Administrative, mortality and expense risk charges		19,503			18,155			9,060			134,830			191,374			38,599			27,524			21,969			49,296
Net investment income (loss)		(19,503	)		(18,155	)		5,873			46,143			(191,374	)		44,695			(27,524	)		(21,969	)		(8,744	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on sale of investments		5,755			(21,059	)		15,998			(33,424	)		(15,707	)		(58,319	)		(73,134	)		18,165			(34,462	)
Capital gain distributions		508,550			410,922			97,965			1,382,051			2,441,790			—			—			223,653			1,409,323
Net realized gain (loss) on investments		514,305			389,863			113,963			1,348,627			2,426,083			(58,319	)		(73,134	)		241,818			1,374,861
Change in unrealized depreciation of investments		(1,094,392	)		(971,154	)		(122,714	)		(2,224,181	)		(8,789,388	)		(887,802	)		(207,530	)		(520,452	)		(2,318,388	)
Net realized and unrealized loss on investments		(580,087	)		(581,291	)		(8,751	)		(875,554	)		(6,363,305	)		(946,121	)		(280,664	)		(278,634	)		(943,527	)
Net decrease in contract owners’ equity resulting from operations	$	(599,590	)	$	(599,446	)	$	(2,878	)	$	(829,411	)	$	(6,554,679	)	$	(901,426	)	$	(308,188	)	$	(300,603	)	$	(952,271	)

See accompanying notes to financial statements.

17

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Operations

For the year ended December 31, 2022

	Invesco Variable Insurance Funds			Janus Aspen Series																		JPMorgan Insurance Trust
	Invesco V.I. Main Street Small Cap Fund Series II			Janus Henderson Balanced Portfolio I-S			Janus Henderson Enterprise Portfolio I-S			Janus Henderson Forty Portfolio I-S			Janus Henderson Global Research Portfolio I-S			Janus Henderson Mid Cap Value Portfolio S-S			Janus Henderson Research Portfolio I-S			JPMorgan Insurance Trust Core Bond			JPMorgan Insurance Trust MidCap Value
	1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022
REVENUE
Dividend income	$	17,008		$	758,214		$	104,638		$	14,283		$	347,939		$	33,219		$	43,203		$	8,623		$	46,549
EXPENSES
Administrative, mortality and expense risk charges		89,996			817,730			688,676			115,967			443,621			38,482			365,816			6,402			63,804
Net investment income (loss)		(72,988	)		(59,516	)		(584,038	)		(101,684	)		(95,682	)		(5,263	)		(322,613	)		2,221			(17,255	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on sale of investments		138,493			3,178,850			3,033,847			(27,137	)		2,150,066			37,592			676,390			(1,390	)		21,017
Capital gain distributions		796,921			1,959,050			8,463,820			1,219,001			3,731,520			227,283			4,933,914			2,254			699,631
Net realized gain (loss) on investments		935,414			5,137,900			11,497,667			1,191,864			5,881,586			264,875			5,610,304			864			720,648
Change in unrealized depreciation of investments		(2,231,386	)		(17,866,336	)		(21,645,140	)		(5,224,554	)		(14,142,238	)		(479,984	)		(16,518,342	)		(70,147	)		(1,200,199	)
Net realized and unrealized loss on investments		(1,295,972	)		(12,728,436	)		(10,147,473	)		(4,032,690	)		(8,260,652	)		(215,109	)		(10,908,038	)		(69,283	)		(479,551	)
Net decrease in contract owners’ equity resulting from operations	$	(1,368,960	)	$	(12,787,952	)	$	(10,731,511	)	$	(4,134,374	)	$	(8,356,334	)	$	(220,372	)	$	(11,230,651	)	$	(67,062	)	$	(496,806	)

See accompanying notes to financial statements.

18

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Operations

For the year ended December 31, 2022

	JPMorgan Insurance Trust						Voya Global Resources Trust			Voya Investors Trust
	JPMorgan Insurance Trust Small Cap Core			JPMorgan Insurance Trust US Equity Portfolio			Voya Global High Dividend Low Volatility Portfolio Class S			VY JPMorgan Emerging Markets Equity Portfolio Class I
	1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022
REVENUE
Dividend income	$	18,040		$	5,631		$	61,757		$	—
EXPENSES
Administrative, mortality and expense risk charges		52,799			14,607			32,669			42,021
Net investment income (loss)		(34,759	)		(8,976	)		29,088			(42,021	)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on sale of investments		9,941			24,261			42,568			(139,394	)
Capital gain distributions		837,984			155,842			82,914			898,503
Net realized gain (loss) on investments		847,925			180,103			125,482			759,109
Change in unrealized depreciation of investments		(1,779,077	)		(422,164	)		(336,879	)		(1,849,307	)
Net realized and unrealized loss on investments		(931,152	)		(242,061	)		(211,397	)		(1,090,198	)
Net decrease in contract owners’ equity resulting from operations	$	(965,911	)	$	(251,037	)	$	(182,309	)	$	(1,132,219	)

See accompanying notes to financial statements.

19

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Contract Owners’ Equity

For the year ended December 31, 2022

	Alger Portfolios															American Century Variable Portfolios, Inc.						BNY Mellon Investment Portfolios
	Alger Balanced- Class I-2			Alger Capital Appreciation -Class I-2			Alger Large Cap Growth- Class I-2			Alger Mid Cap Growth- Class I-2			Alger Small Cap Growth- Class I-2			American Century VP Disciplined Core Value			American Century VP Value			BNY Mellon Investment Portfolios MidCap Stock Portfolio - Initial Shares			BNY Mellon Investment Portfolios MidCap Stock Portfolio - Service Shares
	1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022
OPERATIONS
Net investment income (loss)	$	(66,063	)	$	(587,108	)	$	(145,682	)	$	(111,293	)	$	(80,518	)	$	28,912		$	75,574		$	(168,340	)	$	(24,303	)
Net realized gain (loss) on investments		1,512,412			3,314,536			568,996			(207,188	)		951,675			1,797,462			1,278,306			5,823,627			657,051
Change in unrealized depreciation of investments		(4,944,093	)		(24,459,411	)		(6,584,975	)		(4,000,217	)		(4,273,457	)		(3,067,114	)		(1,440,159	)		(10,242,274	)		(1,124,988	)
Net decrease in contract owners’ equity resulting from operations		(3,497,744	)		(21,731,983	)		(6,161,661	)		(4,318,698	)		(3,402,300	)		(1,240,740	)		(86,279	)		(4,586,987	)		(492,240	)
CONTRACT OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		—			2,400			86,725			188,371			51,220			40,732			138,551			—			41,571
Net transfer (to) from affiliate and subaccounts		332,525			(4,576,787	)		(337,051	)		25,305			(38,118	)		123,782			16,191			(348,249	)		(142,162	)
Payments for redemptions		(1,266,316	)		(2,228,995	)		(736,711	)		(922,254	)		(445,898	)		(1,669,471	)		(798,450	)		(2,170,057	)		(302,028	)
Guaranteed retirement income benefit, maintenance fees, and other fees		(59,246	)		(95,615	)		—			—			—			—			—			(60,690	)		—
Annuity payout reserve adjustment		—			—			—			—			—			—			—			—			—
Net increase (decrease) from contract owners’ equity transactions		(993,037	)		(6,898,997	)		(987,037	)		(708,578	)		(432,796	)		(1,504,957	)		(643,708	)		(2,578,996	)		(402,619	)
Total increase (decrease) in contract owners’ equity		(4,490,781	)		(28,630,980	)		(7,148,698	)		(5,027,276	)		(3,835,096	)		(2,745,697	)		(729,987	)		(7,165,983	)		(894,859	)
CONTRACT OWNERS’ EQUITY
Beginning of period		27,881,813			61,273,580			15,943,212			11,921,312			8,907,768			9,646,072			10,670,369			30,285,211			3,356,799
End of period	$	23,391,032		$	32,642,600		$	8,794,514		$	6,894,036		$	5,072,672		$	6,900,375		$	9,940,382		$	23,119,228		$	2,461,940

See accompanying notes to financial statements.

20

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Contract Owners’ Equity

For the year ended December 31, 2022

	BNY Mellon Sustainable U.S. Equity Funds						Deutsche DWS Variable Series I
	BNY Mellon Sustainable U.S. Equity Portfolio Inc. - Initial Shares			BNY Mellon Sustainable U.S. Equity Portfolio Inc. - Service Shares			DWS Capital Growth VIP A			DWS Capital Growth VIP B			DWS Core Equity VIP A			DWS Core Equity VIP B			DWS CROCI® International VIP A			DWS CROCI® International VIP B
	1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022
OPERATIONS
Net investment income (loss)	$	(57,433	)	$	(66	)	$	(2,326,694	)	$	(5,679	)	$	(293,842	)	$	(243	)	$	225,094		$	343
Net realized gain (loss) on investments		613,669			356			33,361,028			54,464			6,828,287			2,590			(284,198	)		(496	)
Change in unrealized depreciation of investments		(2,536,853	)		(1,614	)		(106,761,715	)		(177,115	)		(16,176,973	)		(5,922	)		(1,986,109	)		(5,435	)
Net decrease in contract owners’ equity resulting from operations		(1,980,617	)		(1,324	)		(75,727,381	)		(128,330	)		(9,642,528	)		(3,575	)		(2,045,213	)		(5,588	)
CONTRACT OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		3,711			—			443,273			—			23,569			—			45,080			—
Net transfer (to) from affiliate and subaccounts		1,133,069			—			(1,939,072	)		230			842,859			—			117,577			—
Payments for redemptions		(981,895	)		—			(12,054,127	)		(14,865	)		(4,747,112	)		—			(717,660	)		(1	)
Guaranteed retirement income benefit, maintenance fees, and other fees		(9,886	)		—			(255,774	)		—			(102,624	)		—			(24,889	)		—
Annuity payout reserve adjustment		—			—			—			—			—			—			—			—
Net increase (decrease) from contract owners’ equity transactions		144,999			—			(13,805,700	)		(14,635	)		(3,983,308	)		—			(579,892	)		(1	)
Total increase (decrease) in contract owners’ equity		(1,835,618	)		(1,324	)		(89,533,081	)		(142,965	)		(13,625,836	)		(3,575	)		(2,625,105	)		(5,589	)
CONTRACT OWNERS’ EQUITY
Beginning of period		7,621,804			5,423			243,398,633			397,237			58,746,189			20,741			13,981,160			36,950
End of period	$	5,786,186		$	4,099		$	153,865,552		$	254,272		$	45,120,353		$	17,166		$	11,356,055		$	31,361

See accompanying notes to financial statements.

21

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Contract Owners’ Equity

For the year ended December 31, 2022

	Deutsche DWS Variable Series I						Deutsche DWS Variable Series II
	DWS Global Small Cap VIP A			DWS Small Cap Index VIP A			DWS CROCI® U.S. VIP A			DWS CROCI® U.S. VIP B			DWS Global Income Builder VIP A			DWS Government Money Market VIP A			DWS High Income VIP A			DWS High Income VIP B
	1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022
OPERATIONS
Net investment income (loss)	$	(173,680	)	$	(2,336	)	$	304,501		$	(693	)	$	1,172,192		$	(120,772	)	$	1,138,257		$	246
Net realized gain (loss) on investments		2,642,152			(67,665	)		1,629,913			2,705			5,896,138			(1	)		(915,054	)		(36	)
Change in unrealized depreciation of investments		(8,928,350	)		(35,394	)		(15,881,425	)		(33,667	)		(20,431,263	)		—			(3,493,241	)		(1,218	)
Net decrease in contract owners’ equity resulting from operations		(6,459,878	)		(105,395	)		(13,947,011	)		(31,655	)		(13,362,933	)		(120,773	)		(3,270,038	)		(1,008	)
CONTRACT OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		450			—			20,219			—			322,254			457,963			106,749			—
Net transfer (to) from affiliate and subaccounts		(765,407	)		412,857			(789,800	)		(47	)		(516,325	)		9,994,906			(1,088,524	)		—
Payments for redemptions		(940,694	)		(44,017	)		(4,446,052	)		(1	)		(7,115,429	)		(10,821,125	)		(3,381,272	)		(1	)
Guaranteed retirement income benefit, maintenance fees, and other fees		(47,611	)		—			(149,184	)		—			(25,459	)		(79,103	)		(23,047	)		—
Annuity payout reserve adjustment		—			—			—			—			—			—			—			—
Net increase (decrease) from contract owners’ equity transactions		(1,753,262	)		368,840			(5,364,817	)		(48	)		(7,334,959	)		(447,359	)		(4,386,094	)		(1	)
Total increase (decrease) in contract owners’ equity		(8,213,140	)		263,445			(19,311,828	)		(31,703	)		(20,697,892	)		(568,132	)		(7,656,132	)		(1,009	)
CONTRACT OWNERS’ EQUITY
Beginning of period		26,160,240			238,066			85,179,131			183,340			85,226,396			69,256,624			33,463,833			9,088
End of period	$	17,947,100		$	501,511		$	65,867,303		$	151,637		$	64,528,504		$	68,688,492		$	25,807,701		$	8,079

See accompanying notes to financial statements.

22

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Contract Owners’ Equity

For the year ended December 31, 2022

	Deutsche DWS Variable Series II												Deutsche DWS Investments VIT Funds			Fidelity Variable Insurance Products Funds
	DWS International Growth VIP A			DWS Small Mid Cap Growth VIP A			DWS Small Mid Cap Value VIP A			DWS Small Mid Cap Value VIP B			DWS Equity 500 Index VIP A			Fidelity VIP Contrafund			Fidelity VIP Equity Income			Fidelity VIP Growth			Fidelity VIP II Asset Manager
	1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022
OPERATIONS
Net investment income (loss)	$	(43,931	)	$	(646,952	)	$	(239,466	)	$	(2,028	)	$	(121,763	)	$	(526,318	)	$	111,373		$	(241,516	)	$	17,742
Net realized gain (loss) on investments		772,723			4,402,297			(631,941	)		2,645			6,626,557			4,514,913			706,543			6,950,009			150,653
Change in unrealized depreciation of investments		(6,219,830	)		(21,451,985	)		(8,338,558	)		(29,575	)		(26,588,203	)		(26,503,116	)		(2,119,772	)		(18,965,266	)		(604,690	)
Net decrease in contract owners’ equity resulting from operations		(5,491,038	)		(17,696,640	)		(9,209,965	)		(28,958	)		(20,083,409	)		(22,514,521	)		(1,301,856	)		(12,256,773	)		(436,295	)
CONTRACT OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		450			119,951			195,350			—			—			687,450			238,180			250,164			4,681
Net transfer (to) from affiliate and subaccounts		(789,159	)		(353,015	)		(518,564	)		—			2,181,207			(1,390,496	)		321,123			(6,830,821	)		15,376
Payments for redemptions		(1,031,436	)		(2,835,978	)		(3,474,538	)		—			(4,652,184	)		(5,662,422	)		(1,039,655	)		(3,582,116	)		(126,090	)
Guaranteed retirement income benefit, maintenance fees, and other fees		(32,107	)		(73,396	)		(73,860	)		—			(211,929	)		—			—			—			—
Annuity payout reserve adjustment		—			—			—			—			—			—			—			—			—
Net increase (decrease) from contract owners’ equity transactions		(1,852,252	)		(3,142,438	)		(3,871,612	)		—			(2,682,906	)		(6,365,468	)		(480,352	)		(10,162,773	)		(106,033	)
Total increase (decrease) in contract owners’ equity		(7,343,290	)		(20,839,078	)		(13,081,577	)		(28,958	)		(22,766,315	)		(28,879,989	)		(1,782,208	)		(22,419,546	)		(542,328	)
CONTRACT OWNERS’ EQUITY
Beginning of period		18,699,491			61,937,235			55,130,310			163,574			103,412,972			84,273,766			20,841,734			53,502,390			2,765,937
End of period	$	11,356,201		$	41,098,157		$	42,048,733		$	134,616		$	80,646,657		$	55,393,777		$	19,059,526		$	31,082,844		$	2,223,609

See accompanying notes to financial statements.

23

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Contract Owners’ Equity

For the year ended December 31, 2022

	Fidelity Variable Insurance Products Funds						Franklin Templeton Variable Insurance Products Trust
	Fidelity VIP Index 500			Fidelity VIP II Index 500 - Service Class 2			FTVIP Franklin Mutual Global Discovery Fund CL 2			FTVIP Franklin Mutual Shares Fund CL 2			FTVIP Franklin Rising Dividends Fund CL 2			FTVIP Franklin Small Cap Value Fund CL 2			FTVIP Franklin Strategic Income Fund CL 2			FTVIP Franklin U.S. Government Fund CL 2			FTVIP Templeton Developing Markets Fund CL 2
	1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022
OPERATIONS
Net investment income (loss)	$	84,997		$	(5,445	)	$	8,134		$	14,053		$	(29,965	)	$	(15,922	)	$	84,290		$	10,092		$	22,812
Net realized gain (loss) on investments		12,123,759			140,513			800,680			160,069			876,554			598,779			(87,951	)		(89,995	)		207,876
Change in unrealized depreciation of investments		(30,165,158	)		(598,827	)		(1,479,179	)		(452,493	)		(1,662,549	)		(1,134,280	)		(392,369	)		(46,120	)		(754,546	)
Net decrease in contract owners’ equity resulting from operations		(17,956,402	)		(463,759	)		(670,365	)		(278,371	)		(815,960	)		(551,423	)		(396,030	)		(126,023	)		(523,858	)
CONTRACT OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		328,670			4,697			118,797			37,717			40,772			53,794			31,377			18,756			89,738
Net transfer (to) from affiliate and subaccounts		541,119			(18,626	)		(293,029	)		(156,839	)		11,237			(77,309	)		(225,316	)		213,864			(138,660	)
Payments for redemptions		(5,643,318	)		(131,178	)		(682,201	)		(620,113	)		(387,134	)		(516,923	)		(241,589	)		(343,511	)		(216,519	)
Guaranteed retirement income benefit, maintenance fees, and other fees		—			—			—			—			—			—			—			—			—
Annuity payout reserve adjustment		—			—			—			—			—			—			—			—			—
Net increase (decrease) from contract owners’ equity transactions		(4,773,529	)		(145,107	)		(856,433	)		(739,235	)		(335,125	)		(540,438	)		(435,528	)		(110,891	)		(265,441	)
Total increase (decrease) in contract owners’ equity		(22,729,931	)		(608,866	)		(1,526,798	)		(1,017,606	)		(1,151,085	)		(1,091,861	)		(831,558	)		(236,914	)		(789,299	)
CONTRACT OWNERS’ EQUITY
Beginning of period		89,301,418			2,404,702			11,421,163			3,309,522			6,967,076			4,950,472			3,414,672			1,486,124			2,366,791
End of period	$	66,571,487		$	1,795,836		$	9,894,365		$	2,291,916		$	5,815,991		$	3,858,611		$	2,583,114		$	1,249,210		$	1,577,492

See accompanying notes to financial statements.

24

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Contract Owners’ Equity

For the year ended December 31, 2022

	Invesco Variable Insurance Funds
	Invesco V.I. Capital Appreciation Fund Series II			Invesco V.I. Discovery Mid Cap Growth Fund Series II			Invesco V.I. Diversified Dividend Fund Series I			Invesco V.I. Equity and Income Fund Series I			Invesco V.I. Global Fund Series II			Invesco V.I. Global Real Estate Fund Series I			Invesco V.I. Global Strategic Income Fund Series II			Invesco V.I. Health Care Series I			Invesco V.I. Main Street Fund Series II
	1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022
OPERATIONS
Net investment income (loss)	$	(19,503	)	$	(18,155	)	$	5,873		$	46,143		$	(191,374	)	$	44,695		$	(27,524	)	$	(21,969	)	$	(8,744	)
Net realized gain (loss) on investments		514,305			389,863			113,963			1,348,627			2,426,083			(58,319	)		(73,134	)		241,818			1,374,861
Change in unrealized depreciation of investments		(1,094,392	)		(971,154	)		(122,714	)		(2,224,181	)		(8,789,388	)		(887,802	)		(207,530	)		(520,452	)		(2,318,388	)
Net decrease in contract owners’ equity resulting from operations		(599,590	)		(599,446	)		(2,878	)		(829,411	)		(6,554,679	)		(901,426	)		(308,188	)		(300,603	)		(952,271	)
CONTRACT OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		15,160			9,769			6,376			7,081			110,710			26,478			30,543			6,284			15,984
Net transfer (to) from affiliate and subaccounts		(18,467	)		19,911			212,667			3,249,651			(456,923	)		107,282			(135,579	)		57,982			8,448
Payments for redemptions		(113,233	)		(92,960	)		(181,451	)		(440,360	)		(1,133,643	)		(315,616	)		(162,844	)		(162,001	)		(238,427	)
Guaranteed retirement income benefit, maintenance fees, and other fees		—			—			—			—			—			—			—			—			—
Annuity payout reserve adjustment		—			—			—			—			—			—			—			—			—
Net increase (decrease) from contract owners’ equity transactions		(116,540	)		(63,280	)		37,592			2,816,372			(1,479,856	)		(181,856	)		(267,880	)		(97,735	)		(213,995	)
Total increase (decrease) in contract owners’ equity		(716,130	)		(662,726	)		34,714			1,986,961			(8,034,535	)		(1,083,282	)		(576,068	)		(398,338	)		(1,166,266	)
CONTRACT OWNERS’ EQUITY
Beginning of period		1,922,927			1,882,172			712,217			9,193,332			20,319,058			3,526,658			2,467,603			2,063,096			4,472,143
End of period	$	1,206,797		$	1,219,446		$	746,931		$	11,180,293		$	12,284,523		$	2,443,376		$	1,891,535		$	1,664,758		$	3,305,877

See accompanying notes to financial statements.

25

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Contract Owners’ Equity

For the year ended December 31, 2022

	Invesco Variable Insurance Funds			Janus Aspen Series																		JPMorgan Insurance Trust
	Invesco V.I. Main Street Small Cap Fund Series II			Janus Henderson Balanced Portfolio I-S			Janus Henderson Enterprise Portfolio I-S			Janus Henderson Forty Portfolio I-S			Janus Henderson Global Research Portfolio I-S			Janus Henderson Mid Cap Value Portfolio S-S			Janus Henderson Research Portfolio I-S			JPMorgan Insurance Trust Core Bond			JPMorgan Insurance Trust MidCap Value
	1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022
OPERATIONS
Net investment income (loss)	$	(72,988	)	$	(59,516	)	$	(584,038	)	$	(101,684	)	$	(95,682	)	$	(5,263	)	$	(322,613	)	$	2,221		$	(17,255	)
Net realized gain (loss) on investments		935,414			5,137,900			11,497,667			1,191,864			5,881,586			264,875			5,610,304			864			720,648
Change in unrealized depreciation of investments		(2,231,386	)		(17,866,336	)		(21,645,140	)		(5,224,554	)		(14,142,238	)		(479,984	)		(16,518,342	)		(70,147	)		(1,200,199	)
Net decrease in contract owners’ equity resulting from operations		(1,368,960	)		(12,787,952	)		(10,731,511	)		(4,134,374	)		(8,356,334	)		(220,372	)		(11,230,651	)		(67,062	)		(496,806	)
CONTRACT OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		82,297			980,542			320,324			—			403,363			36,992			117,734			4,800			29,909
Net transfer (to) from affiliate and subaccounts		(168,243	)		290,586			(437,930	)		(1,896,683	)		(415,838	)		(102,513	)		(35,633	)		(62	)		(70,695	)
Payments for redemptions		(422,579	)		(6,530,646	)		(4,354,159	)		(256,916	)		(3,044,417	)		(160,917	)		(2,418,030	)		(10,307	)		(500,725	)
Guaranteed retirement income benefit, maintenance fees, and other fees		—			—			—			(17,839	)		—			—			—			—			—
Annuity payout reserve adjustment		—			—			—			—			—			—			—			—			—
Net increase (decrease) from contract owners’ equity transactions		(508,525	)		(5,259,518	)		(4,471,765	)		(2,171,438	)		(3,056,892	)		(226,438	)		(2,335,929	)		(5,569	)		(541,511	)
Total increase (decrease) in contract owners’ equity		(1,877,485	)		(18,047,470	)		(15,203,276	)		(6,305,812	)		(11,413,226	)		(446,810	)		(13,566,580	)		(72,631	)		(1,038,317	)
CONTRACT OWNERS’ EQUITY
Beginning of period		8,168,919			74,313,004			64,106,975			12,732,645			41,546,784			3,214,190			37,284,887			486,438			5,463,103
End of period	$	6,291,434		$	56,265,534		$	48,903,699		$	6,426,833		$	30,133,558		$	2,767,380		$	23,718,307		$	413,807		$	4,424,786

See accompanying notes to financial statements.

26

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Contract Owners’ Equity

For the year ended December 31, 2022

	JPMorgan Insurance Trust						Voya Global Resources Trust			Voya Investors Trust
	JPMorgan Insurance Trust Small Cap Core			JPMorgan Insurance Trust US Equity Portfolio			Voya Global High Dividend Low Volatility Portfolio Class S			VY JPMorgan Emerging Markets Equity Portfolio Class I
	1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022			1/1/2022 to 12/31/2022
OPERATIONS
Net investment income (loss)	$	(34,759	)	$	(8,976	)	$	29,088		$	(42,021	)
Net realized gain (loss) on investments		847,925			180,103			125,482			759,109
Change in unrealized depreciation of investments		(1,779,077	)		(422,164	)		(336,879	)		(1,849,307	)
Net decrease in contract owners’ equity resulting from operations		(965,911	)		(251,037	)		(182,309	)		(1,132,219	)
CONTRACT OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		53,132			6,304			28,206			12,348
Net transfer (to) from affiliate and subaccounts		104,517			62,645			(51,865	)		(17,062	)
Payments for redemptions		(361,930	)		(73,996	)		(185,716	)		(266,593	)
Guaranteed retirement income benefit, maintenance fees, and other fees		—			—			—			—
Annuity payout reserve adjustment		—			—			—			—
Net increase (decrease) from contract owners’ equity transactions		(204,281	)		(5,047	)		(209,375	)		(271,307	)
Total increase (decrease) in contract owners’ equity		(1,170,192	)		(256,084	)		(391,684	)		(1,403,526	)
CONTRACT OWNERS’ EQUITY
Beginning of period		4,815,053			1,286,635			2,780,343			4,243,845
End of period	$	3,644,861		$	1,030,551		$	2,388,659		$	2,840,319

See accompanying notes to financial statements.

27

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Contract Owners’ Equity

For the year ended December 31, 2021

	Alger Portfolios															American Century Variable Portfolios, Inc.						BNY Mellon Investment Portfolios
	Alger Balanced- Class I-2			Alger Capital Appreciation- Class I-2			Alger Large Cap Growth- Class I-2			Alger Mid Cap Growth- Class I-2			Alger Small Cap Growth- Class I-2			American Century VP Disciplined Core Value			American Century VP Value			BNY Mellon Investment Portfolios MidCap Stock Portfolio - Initial Shares			BNY Mellon Investment Portfolios MidCap Stock Portfolio - Service Shares
	1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021
OPERATIONS
Net investment income (loss)	$	(111,168	)	$	(836,591	)	$	(217,368	)	$	(175,825	)	$	(137,765	)	$	(24,975	)	$	42,135		$	(225,743	)	$	(31,601	)
Net realized gain (loss) on investments		2,484,439			16,042,672			4,900,497			5,883,556			4,000,759			1,539,766			710,774			836,691			179,668
Change in unrealized appreciation (depreciation) of investments		1,452,303			(5,797,897	)		(3,000,764	)		(5,307,254	)		(4,569,202	)		353,527			1,319,349			5,406,238			572,144
Net increase (decrease) in contract owners’ equity resulting from operations		3,825,574			9,408,184			1,682,365			400,477			(706,208	)		1,868,318			2,072,258			6,017,186			720,211
CONTRACT OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		—			27,270			103,044			47,308			79,173			109,490			123,351			2,970			68,987
Net transfer (to) from affiliate and subaccounts		8,611,180			(4,313,523	)		146,939			143,485			(338,189	)		(185,761	)		(104,982	)		1,739,234			(340,229	)
Payments for redemptions		(5,744,445	)		(2,728,403	)		(2,297,282	)		(1,750,141	)		(759,672	)		(767,684	)		(765,005	)		(1,930,040	)		(177,610	)
Guaranteed retirement income benefit, maintenance fees, and other fees		(56,268	)		(137,168	)		—			—			—			—			—			(70,154	)		—
Annuity payout reserve adjustment		—			—			—			—			—			—			—			—			—
Net increase (decrease) from contract owners’ equity transactions		2,810,467			(7,151,824	)		(2,047,299	)		(1,559,348	)		(1,018,688	)		(843,955	)		(746,636	)		(257,990	)		(448,852	)
Total increase (decrease) in contract owners’ equity		6,636,041			2,256,360			(364,934	)		(1,158,871	)		(1,724,896	)		1,024,363			1,325,622			5,759,196			271,359
CONTRACT OWNERS’ EQUITY
Beginning of period		21,245,772			59,017,220			16,308,146			13,080,183			10,632,664			8,621,709			9,344,747			24,526,015			3,085,440
End of period	$	27,881,813		$	61,273,580		$	15,943,212		$	11,921,312		$	8,907,768		$	9,646,072		$	10,670,369		$	30,285,211		$	3,356,799

See accompanying notes to financial statements.

28

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Contract Owners’ Equity

For the year ended December 31, 2021

	BNY Mellon Sustainable U.S. Equity Funds						Deutsche DWS Variable Series I
	BNY Mellon Sustainable U.S. Equity Portfolio Inc. - Initial Shares			BNY Mellon Sustainable U.S. Equity Portfolio Inc. - Service Shares			DWS Bond VIP A			DWS Capital Growth VIP A			DWS Capital Growth VIP B			DWS Core Equity VIP A			DWS Core Equity VIP B			DWS CROCI® International VIP A			DWS CROCI® International VIP B
	1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021
OPERATIONS
Net investment income (loss)	$	(42,138	)	$	(58	)	$	214,796		$	(2,687,650	)	$	(6,846	)	$	(343,358	)	$	(278	)	$	141,232		$	100
Net realized gain (loss) on investments		439,970			150			1,048,130			26,947,295			25,243			3,054,154			1,263			(268,278	)		(398	)
Change in unrealized appreciation (depreciation) of investments		1,156,092			974			(1,558,841	)		20,391,399			48,553			8,953,479			3,026			1,116,633			2,687
Net increase (decrease) in contract owners’ equity resulting from operations		1,553,924			1,066			(295,915	)		44,651,044			66,950			11,664,275			4,011			989,587			2,389
CONTRACT OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		4,921			—			186,717			704,915			—			23,097			—			32,427			—
Net transfer (to) from affiliate and subaccounts		383,632			—			(21,528,476	)		(7,591,048	)		(1	)		2,484,860			—			346,968			—
Payments for redemptions		(459,249	)		—			(1,635,430	)		(18,820,770	)		(1,813	)		(5,997,099	)		(1,251	)		(981,954	)		(2	)
Guaranteed retirement income benefit, maintenance fees, and other fees		(8,043	)		—			(23,552	)		(322,883	)		—			(110,751	)		—			(28,907	)		—
Annuity payout reserve adjustment		—			—			196			(100,350	)		—			347			—			323			—
Net increase (decrease) from contract owners’ equity transactions		(78,739	)		—			(23,000,545	)		(26,130,136	)		(1,814	)		(3,599,546	)		(1,251	)		(631,143	)		(2	)
Total increase (decrease) in contract owners’ equity		1,475,185			1,066			(23,296,460	)		18,520,908			65,136			8,064,729			2,760			358,444			2,387
CONTRACT OWNERS’ EQUITY
Beginning of period		6,146,619			4,357			23,296,460			224,877,725			332,101			50,681,460			17,981			13,622,716			34,563
End of period	$	7,621,804		$	5,423		$	—		$	243,398,633		$	397,237		$	58,746,189		$	20,741		$	13,981,160		$	36,950

See accompanying notes to financial statements.

29

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Contract Owners’ Equity

For the year ended December 31, 2021

	Deutsche DWS Variable Series I						Deutsche DWS Variable Series II
	DWS Global Small Cap VIP A			DWS Small Cap Index VIP A			DWS CROCI® U.S. VIP A			DWS CROCI® U.S. VIP B			DWS Global Equity VIP A			DWS Global Income Builder VIP A			DWS Government Money Market VIP A			DWS High Income VIP A			DWS High Income VIP B
	1/1/2021 to 12/31/2021			4/30/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021
OPERATIONS
Net investment income (loss)	$	(274,042	)	$	(906	)	$	460,081		$	(509	)	$	(178,140	)	$	864,619		$	(640,965	)	$	1,196,394		$	211
Net realized gain (loss) on investments		(404,849	)		(2,010	)		1,887,490			484			17,132,099			4,727,734			—			(220,637	)		(17	)
Change in unrealized appreciation (depreciation) of investments		3,923,831			(7,598	)		15,935,381			35,382			(12,515,218	)		2,154,868			—			(74,113	)		(31	)
Net increase (decrease) in contract owners’ equity resulting from operations		3,244,940			(10,514	)		18,282,952			35,357			4,438,741			7,747,221			(640,965	)		901,644			163
CONTRACT OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		6,030			—			52,959			—			11,197			492,254			251,893			78,758			—
Net transfer (to) from affiliate and subaccounts		(109,373	)		252,814			(2,268,241	)		(204	)		(33,822,658	)		1,258,670			34,425,525			863,892			—
Payments for redemptions		(1,835,499	)		(4,234	)		(6,884,142	)		—			(1,685,924	)		(9,664,416	)		(8,264,104	)		(5,396,214	)		1
Guaranteed retirement income benefit, maintenance fees, and other fees		(60,668	)		—			(171,689	)		—			(23,989	)		(26,617	)		(62,108	)		(25,641	)		—
Annuity payout reserve adjustment		—			—			840			—			(1,408	)		7,176			2,155			6,719			—
Net increase (decrease) from contract owners’ equity transactions		(1,999,510	)		248,580			(9,270,273	)		(204	)		(35,522,782	)		(7,932,933	)		26,353,361			(4,472,486	)		1
Total increase (decrease) in contract owners’ equity		1,245,430			238,066			9,012,679			35,153			(31,084,041	)		(185,712	)		25,712,396			(3,570,842	)		164
CONTRACT OWNERS’ EQUITY
Beginning of period		24,914,810			—			76,166,452			148,187			31,084,041			85,412,108			43,544,228			37,034,675			8,924
End of period	$	26,160,240		$	238,066		$	85,179,131		$	183,340		$	—		$	85,226,396		$	69,256,624		$	33,463,833		$	9,088

See accompanying notes to financial statements.

30

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Contract Owners’ Equity

For the year ended December 31, 2021

	Deutsche DWS Variable Series II												Deutsche DWS Investments VIT Funds			Fidelity Variable Insurance Products Funds
	DWS International Growth VIP A			DWS Small Mid Cap Growth VIP A			DWS Small Mid Cap Value VIP A			DWS Small Mid Cap Value VIP B			DWS Equity 500 Index VIP A			Fidelity VIP Contrafund			Fidelity VIP Equity Income			Fidelity VIP Growth			Fidelity VIP II Asset Manager
	1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021
OPERATIONS
Net investment income (loss)	$	(182,483	)	$	(836,253	)	$	(57,584	)	$	(1,584	)	$	28,919		$	(972,115	)	$	112,604		$	(661,813	)	$	6,618
Net realized gain (loss) on investments		1,073,236			2,832,221			(690,146	)		1,045			7,388,634			12,325,378			2,632,719			13,503,864			41,760
Change in unrealized appreciation (depreciation) of investments		106,740			5,203,534			13,385,527			36,132			15,021,016			6,796,234			1,346,634			(3,069,918	)		185,358
Net increase (decrease) in contract owners’ equity resulting from operations		997,493			7,199,502			12,637,797			35,593			22,438,569			18,149,497			4,091,957			9,772,133			233,736
CONTRACT OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		6,030			168,215			293,196			—			—			929,254			191,713			255,849			108,251
Net transfer (to) from affiliate and subaccounts		2,341,266			(1,802,984	)		2,014,094			—			432,957			(363,471	)		270,793			839,255			(135,190	)
Payments for redemptions		(954,961	)		(4,386,849	)		(4,088,504	)		(1,120	)		(6,235,016	)		(6,576,167	)		(1,904,427	)		(3,807,320	)		(271,489	)
Guaranteed retirement income benefit, maintenance fees, and other fees		(40,722	)		(96,933	)		(83,494	)		—			(229,983	)		—			—			—			—
Annuity payout reserve adjustment		—			129			770			—			—			1,809			568			408			—
Net increase (decrease) from contract owners’ equity transactions		1,351,613			(6,118,422	)		(1,863,938	)		(1,120	)		(6,032,042	)		(6,008,575	)		(1,441,353	)		(2,711,808	)		(298,428	)
Total increase (decrease) in contract owners’ equity		2,349,106			1,081,080			10,773,859			34,473			16,406,527			12,140,922			2,650,604			7,060,325			(64,692	)
CONTRACT OWNERS’ EQUITY
Beginning of period		16,350,385			60,856,155			44,356,451			129,101			87,006,445			72,132,844			18,191,130			46,442,065			2,830,629
End of period	$	18,699,491		$	61,937,235		$	55,130,310		$	163,574		$	103,412,972		$	84,273,766		$	20,841,734		$	53,502,390		$	2,765,937

See accompanying notes to financial statements.

31

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Contract Owners’ Equity

For the year ended December 31, 2021

	Fidelity Variable Insurance Products Funds						Franklin Templeton Variable Insurance Products Trust
	Fidelity VIP Index 500			Fidelity VIP II Index 500 - Service Class 2			FTVIP Franklin Mutual Global Discovery Fund CL 2			FTVIP Franklin Mutual Shares Fund CL 2			FTVIP Franklin Rising Dividends Fund CL 2			FTVIP Franklin Small Cap Value Fund CL 2			FTVIP Franklin Strategic Income Fund CL 2			FTVIP Franklin U.S. Government Fund CL 2			FTVIP Templeton Developing Markets Fund CL 2
	1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021
OPERATIONS
Net investment income (loss)	$	(42,943	)	$	(9,776	)	$	157,666		$	51,922		$	(28,542	)	$	(15,160)		$	69,147		$	18,034		$	(11,419	)
Net realized gain (loss) on investments		6,606,370			193,865			(368,290	)		(50,246	)		613,146			114,351			(2,500	)		(9,923	)		176,807
Change in unrealized appreciation (depreciation) of investments		13,145,020			335,609			2,106,069			522,018			976,796			926,857			(39,676	)		(61,758	)		(346,718	)
Net increase (decrease) in contract owners’ equity resulting from operations		19,708,447			519,698			1,895,445			523,694			1,561,400			1,026,048			26,971			(53,647	)		(181,330	)
CONTRACT OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		706,702			4,674			199,894			41,385			73,852			68,567			40,706			18,460			38,552
Net transfer (to) from affiliate and subaccounts		341,484			(15,652	)		(566,977	)		(43,658	)		(519,049	)		(48,302	)		58,797			(160,491	)		119,366
Payments for redemptions		(7,210,170	)		(171,696	)		(1,221,308	)		(299,481	)		(801,170	)		(482,573	)		(298,885	)		(198,343	)		(205,644	)
Guaranteed retirement income benefit, maintenance fees, and other fees		—			—			—			—			—			—			—			—			—
Annuity payout reserve adjustment		1,352			—			(2,547	)		—			(3,199	)		—			(2,889	)		—			384
Net increase (decrease) from contract owners’ equity transactions		(6,160,632	)		(182,674	)		(1,590,938	)		(301,754	)		(1,249,566	)		(462,308	)		(202,271	)		(340,374	)		(47,342	)
Total increase (decrease) in contract owners’ equity		13,547,815			337,024			304,507			221,940			311,834			563,740			(175,300	)		(394,021	)		(228,672	)
CONTRACT OWNERS’ EQUITY
Beginning of period		75,753,603			2,067,678			11,116,656			3,087,582			6,655,242			4,386,732			3,589,972			1,880,145			2,595,463
End of period	$	89,301,418		$	2,404,702		$	11,421,163		$	3,309,522		$	6,967,076		$	4,950,472		$	3,414,672		$	1,486,124		$	2,366,791

See accompanying notes to financial statements.

32

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Contract Owners’ Equity

For the year ended December 31, 2021

	Invesco Variable Insurance Funds
	Invesco V.I. Capital Appreciation Fund Series II			Invesco V.I. Discovery Mid Cap Growth Fund Series II			Invesco V.I. Diversified Dividend Fund Series I			Invesco V.I. Equity and Income Fund Series I			Invesco V.I. Global Fund Series II			Invesco V.I. Global Real Estate Fund Series I			Invesco V.I. Global Strategic Income Fund Series II			Invesco V.I. Health Care Series I			Invesco V.I. Main Street Fund Series II
	1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021
OPERATIONS
Net investment income (loss)	$	(25,921	)	$	(24,926	)	$	5,367		$	194,684		$	(275,642	)	$	46,571		$	74,695		$	(24,484	)	$	(35,250	)
Net realized gain (loss) on investments		267,130			357,143			35,195			599,531			2,313,283			(50,585	)		(75,537	)		406,119			327,910
Change in unrealized appreciation (depreciation) of investments		124,570			(39,135	)		81,351			87,986			643,432			719,093			(130,017	)		(154,892	)		665,057
Net increase (decrease) in contract owners’ equity resulting from operations		365,779			293,082			121,913			882,201			2,681,073			715,079			(130,859	)		226,743			957,717
CONTRACT OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		23,668			10,360			3,785			7,280			296,548			34,611			187,137			9,334			66,770
Net transfer (to) from affiliate and subaccounts		(35,965	)		31,350			75,296			2,154,128			(590,291	)		40,592			150,202			46,486			(16,347	)
Payments for redemptions		(257,333	)		(163,300	)		(240,121	)		(846,146	)		(2,106,163	)		(456,652	)		(446,863	)		(470,223	)		(416,160	)
Guaranteed retirement income benefit, maintenance fees, and other fees		—			—			—			(2,998	)		—			—			—			—			—
Annuity payout reserve adjustment		—			—			—			—			—			—			—			—			—
Net increase (decrease) from contract owners’ equity transactions		(269,630	)		(121,590	)		(161,040	)		1,312,264			(2,399,906	)		(381,449	)		(109,524	)		(414,403	)		(365,737	)
Total increase (decrease) in contract owners’ equity		96,149			171,492			(39,127	)		2,194,465			281,167			333,630			(240,383	)		(187,660	)		591,980
CONTRACT OWNERS’ EQUITY
Beginning of period		1,826,778			1,710,680			751,344			6,998,867			20,037,891			3,193,028			2,707,986			2,250,756			3,880,163
End of period	$	1,922,927		$	1,882,172		$	712,217		$	9,193,332		$	20,319,058		$	3,526,658		$	2,467,603		$	2,063,096		$	4,472,143

See accompanying notes to financial statements.

33

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Contract Owners’ Equity

For the year ended December 31, 2021

	Invesco Variable Insurance Funds			Janus Aspen Series																		JPMorgan Insurance Trust
	Invesco V.I. Main Street Small Cap Fund Series II			Janus Henderson Balanced Portfolio I-S			Janus Henderson Enterprise Portfolio I-S			Janus Henderson Forty Portfolio I-S			Janus Henderson Global Research Portfolio I-S			Janus Henderson Mid Cap Value Portfolio S-S			Janus Henderson Research Portfolio I-S			JPMorgan Insurance Trust Core Bond			JPMorgan Insurance Trust Mid Cap Value
	1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021
OPERATIONS
Net investment income (loss)	$	(91,821	)	$	(298,590	)	$	(628,710	)	$	(98,814	)	$	(324,941	)	$	(32,745	)	$	(442,111	)	$	1,956		$	(21,752	)
Net realized gain (loss) on investments		760,359			4,889,404			10,907,697			1,485,694			5,063,812			52,987			5,071,246			7,022			454,763
Change in unrealized appreciation (depreciation) of investments		768,061			5,893,824			(1,232,094	)		508,986			1,430,865			491,324			1,642,208			(23,023	)		868,537
Net increase (decrease) in contract owners’ equity resulting from operations		1,436,599			10,484,638			9,046,893			1,895,866			6,169,736			511,566			6,271,343			(14,045	)		1,301,548
CONTRACT OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		136,981			755,837			339,528			6,870			605,904			50,181			524,550			4,400			32,736
Net transfer (to) from affiliate and subaccounts		51,708			1,041,486			(1,592,999	)		1,928,738			(91,784	)		(38,471	)		(475,027	)		1,494			173,824
Payments for redemptions		(584,385	)		(8,107,267	)		(5,802,426	)		(180,229	)		(3,809,568	)		(249,261	)		(3,873,947	)		(10,266	)		(822,245	)
Guaranteed retirement income benefit, maintenance fees, and other fees		—			—			—			(24,468	)		—			—			—			—			—
Annuity payout reserve adjustment		—			3,826			716			—			800			—			1,701			—			—
Net increase (decrease) from contract owners’ equity transactions		(395,696	)		(6,306,118	)		(7,055,181	)		1,730,911			(3,294,648	)		(237,551	)		(3,822,723	)		(4,372	)		(615,685	)
Total increase (decrease) in contract owners’ equity		1,040,903			4,178,520			1,991,712			3,626,777			2,875,088			274,015			2,448,620			(18,417	)		685,863
CONTRACT OWNERS’ EQUITY
Beginning of period		7,128,016			70,134,484			62,115,263			9,105,868			38,671,696			2,940,175			34,836,267			504,855			4,777,240
End of period	$	8,168,919		$	74,313,004		$	64,106,975		$	12,732,645		$	41,546,784		$	3,214,190		$	37,284,887		$	486,438		$	5,463,103

See accompanying notes to financial statements.

34

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Statement of Changes in Contract Owners’ Equity

For the year ended December 31, 2021

	JPMorgan Insurance Trust						PIMCO Variable Insurance Trust						Voya Global Resources Trust			Voya Investors Trust
	JPMorgan Insurance Trust Small Cap Core			JPMorgan Insurance Trust US Equity Portfolio			PIMCO PVIT International Bond (U.S. Dollar-Hedged) - Admin			PIMCO PVIT Low Duration Portfolio - Admin			Voya Global High Dividend Low Volatility Portfolio Class S			VY JPMorgan Emerging Markets Equity Portfolio Class I
	1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021			1/1/2021 to 12/31/2021
OPERATIONS
Net investment income (loss)	$	(40,320	)	$	(6,390	)	$	16		$	—		$	26,861		$	(64,558	)
Net realized gain (loss) on investments		318,230			108,730			70			—			102,424			536,698
Change in unrealized appreciation (depreciation) of investments		560,956			185,613			(157	)		(5	)		354,673			(1,009,365	)
Net increase (decrease) in contract owners’ equity resulting from operations		838,866			287,953			(71	)		(5	)		483,958			(537,225	)
CONTRACT OWNERS’ EQUITY TRANSACTIONS
Proceeds from sales		38,213			4,223			—			—			48,130			28,855
Net transfer (to) from affiliate and subaccounts		17,775			(36,499	)		—			—			22,605			(110,639	)
Payments for redemptions		(404,158	)		(46,663	)		(4,144	)		—			(492,557	)		(347,422	)
Guaranteed retirement income benefit, maintenance fees, and other fees		—			—			—			—			—			—
Annuity payout reserve adjustment		—			—			—			—			(1,704	)		588
Net increase (decrease) from contract owners’ equity transactions		(348,170	)		(78,939	)		(4,144	)		—			(423,526	)		(428,618	)
Total increase (decrease) in contract owners’ equity		490,696			209,014			(4,215	)		(5	)		60,432			(965,843	)
CONTRACT OWNERS’ EQUITY
Beginning of period		4,324,357			1,077,621			4,215			5			2,719,911			5,209,688
End of period	$	4,815,053		$	1,286,635		$	—		$	—		$	2,780,343		$	4,243,845

See accompanying notes to financial statements.

35

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Notes to Financial Statements

(1) Organization

ZALICO Variable Annuity Separate Account (the “Separate Account”) is a unit investment trust registered under the Investment Company Act of 1940, as amended, established by Zurich American Life Insurance Company (“ZALICO” or the “Company”). ZALICO is a stock life insurance company founded in 1947. The Company is incorporated under the insurance laws of the State of Illinois and is licensed in the District of Columbia and all states, with the exception of New York.

The Company is a wholly owned subsidiary of Zurich Holding Company of America, Inc. (“ZHCA”) a Delaware Corporation, which in turn is a wholly owned indirect subsidiary of its ultimate parent company Zurich Insurance Group Ltd ( “ZIG”), of Zurich, Switzerland.

Prior to June 20, 2022, ZALICO was a wholly owned subsidiary of Zurich American Company, LLC (“ZAC”). On June 20, 2022, ZAC merged into ZHCA, with ZHCA as the surviving entity. The merger had no impact on ZALICO or its operations.

ZALICO has structured the Separate Account into a unit investment trust form registered with the U.S. Securities and Exchange Commission under the Investment Company Act of 1940. The Separate Account follows the accounting guidance in Accounting Standards Codification (“ASC”) Topic 946, “Financial Services - Investment Companies.”

Under applicable insurance law, the assets and liabilities of the Separate Account are clearly identified and distinguished from ZALICO’s other assets and liabilities. The portion of the Separate Account’s assets applicable to the variable annuity contracts is not chargeable with liabilities arising out of any other business ZALICO may conduct.

The Separate Account is used to fund contracts or certificates (collectively referred to as “Contracts”) for Zurich Advantage

III periodic and flexible payment variable annuity contracts (“Zurich Advantage III”), Zurich Passport individual and group variable, fixed and market value adjusted deferred annuity contracts (“Zurich Passport”), Scudder Destinations individual and group variable, fixed and market value adjusted deferred annuity contracts (“Scudder Destinations”), Farmers Variable Annuity I individual and group variable, fixed and market value adjusted deferred annuity contracts (“Farmers Variable Annuity I”), Zurich Preferred individual and group variable and market value adjusted deferred annuity contracts (“Zurich Preferred”), Zurich Preferred Plus individual and group variable and market value adjusted deferred annuity contracts (“Zurich Preferred Plus”), Zurich ZS4 individual and group variable and market value adjusted deferred annuity contracts (“Zurich ZS4”) and Zurich Archway individual and group variable and market value adjusted deferred annuity contracts (“Zurich Archway”). The Separate Account is divided into a total of seventy-four subaccounts which are currently open with various subaccount options available to contract owners depending upon their respective Contracts as of December 31, 2022. As of December 31, 2022, assets were invested in sixty-five of the subaccount options. Subaccounts with no investment activity are not shown on the financial statements.

The Zurich Advantage III contracts have forty-nine subaccount options available to contract owners and each subaccount invests exclusively in the shares of a corresponding portfolio in the Alger Portfolios, the American Century Variable Portfolios, Inc., the BNY Mellon Investment Portfolios, the BNY Mellon Sustainable U.S. Equity Funds, the Deutsche DWS Variable Series I, the Deutsche DWS Variable Series II, the Fidelity Variable Insurance Products Funds, the Franklin Templeton Variable Insurance Products Trust, the Invesco Variable Insurance Funds, the Janus Aspen Series, the JPMorgan Insurance Trust, the Voya Global Resources Trust and the Voya Investors Trust, all of which are open-end management investment companies.

The Zurich Passport contracts have eight subaccount options available to the contract owners and each subaccount invests exclusively in the shares of a corresponding portfolio in the Deutsche DWS Variable Series II, an open-end management investment company.

The Scudder Destinations contracts have nineteen subaccount options available to the contract owners and each subaccount invests exclusively in the shares of a corresponding portfolio in the Alger Portfolios, the BNY Mellon Investment Portfolios, the BNY Mellon Sustainable U.S. Equity Funds, the Deutsche DWS Variable Series I, the Deutsche DWS Variable Series II, the Deutsche DWS Investments VIT Funds, the Invesco Variable Insurance Funds, the Janus Aspen Series, and the PIMCO Variable Insurance Trust, all of which are open-end management investment companies.

36

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Notes to Financial Statements

The Farmers Variable Annuity I contracts have nineteen subaccount options available to the contract owners and each subaccount invests exclusively in the shares of a corresponding portfolio in the Alger Portfolios, the BNY Mellon Investment Portfolios, the BNY Mellon Sustainable U.S. Equity Funds, the Deutsche DWS Variable Series I, the Deutsche DWS Variable Series II, the Deutsche DWS Investments VIT Funds, the Invesco Variable Insurance Funds, the Janus Aspen Series, and the PIMCO Variable Insurance Trust, all of which are open-end management investment companies.

The Zurich Preferred and Zurich Preferred Plus contracts have forty-five subaccount options available to the contract owners and each subaccount invests exclusively in the shares of a corresponding portfolio in the Alger Portfolios, the American Century Variable Portfolios, Inc., the BNY Mellon Investment Portfolios, the BNY Mellon Sustainable U.S. Equity Funds, the Deutsche DWS Variable Series I, the Deutsche DWS Variable Series II, the Fidelity Variable Insurance Products Funds, the Franklin Templeton Variable Insurance Products Trust, the Invesco Variable Insurance Funds, the Janus Aspen Series, and the JPMorgan Insurance Trust, all of which are open-end management investment companies.

The Zurich ZS4 contracts have seventeen subaccount options available to the contract owners and each subaccount invests exclusively in the shares of a corresponding portfolio in the Alger Portfolios, the BNY Mellon Investment Portfolios, the BNY Mellon Sustainable U.S. Equity Funds, the Deutsche DWS Variable Series I, the Deutsche DWS Variable Series II, the Deutsche DWS Investments VIT Funds, and the Invesco Variable Insurance Funds, all of which are open-end management investment companies.

The Zurich Archway contracts have forty-five subaccount options available to the contract owners and each subaccount invests exclusively in the shares of a corresponding portfolio in the Alger Portfolios, the American Century Variable Portfolios, Inc., the BNY Mellon Investment Portfolios, the BNY Mellon Sustainable U.S. Equity Funds, the Deutsche DWS Variable Series I, the Deutsche DWS Variable Series II, the Fidelity Variable Insurance Products Funds, the Franklin Templeton Variable Insurance Products Trust, the Invesco Variable Insurance Funds, the Janus Aspen Series, and the JPMorgan Insurance Trust, all of which are open-end management investment companies.

37

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Notes to Financial Statements

As of December 31, 2022, the Separate Account was comprised of seventy-four total subaccounts which are currently open, of which one was merged into another subaccount during 2022. The following is a list of subaccounts in alphabetical order (which may or may not match the order of such subaccounts on the face of the financial statements):

Alger Balanced-Class I-2	Fidelity VIP Contrafund - Service II (a)
Alger Capital Appreciation-Class I-2	Fidelity VIP Equity Income
Alger Capital Appreciation-Class S (a)	Fidelity VIP Equity Income - Service II (a)
Alger Large Cap Growth-Class I-2	Fidelity VIP Growth
Alger Mid Cap Growth S (a) (c)	Fidelity VIP II Asset Manager
Alger Mid Cap Growth-Class I-2 (c)	Fidelity VIP Index 500
Alger Small Cap Growth-Class I-2	Fidelity VIP II Index 500 - Service Class 2
American Century VP Disciplined Core Value	FTVIP Franklin Mutual Global Discovery Fund CL 2
American Century VP Disciplined Core Value II (a)	FTVIP Franklin Mutual Shares Fund CL 2
American Century VP Value	FTVIP Franklin Rising Dividends Fund CL 2
American Century VP Value II (a)	FTVIP Franklin Small Cap Value Fund CL 2
BNY Mellon Investment Portfolios MidCap Stock Portfolio - Initial Shares	FTVIP Franklin Strategic Income Fund CL 2
BNY Mellon Investment Portfolios MidCap Stock Portfolio - Service Shares	FTVIP Franklin U.S. Government Fund CL 2
BNY Mellon Sustainable U.S. Equity Portfolio Inc. - Initial Shares	FTVIP Templeton Developing Markets Fund CL 2
BNY Mellon Sustainable U.S. Equity Portfolio Inc. - Service Shares	Invesco V.I. Capital Appreciation Fund Series II
DWS Bond VIP A (b)	Invesco V.I. Discovery Mid Cap Growth Fund Series II
DWS Capital Growth VIP A	Invesco V.I. Diversified Dividend Fund Series I
DWS Capital Growth VIP B	Invesco V.I. Equity and Income Fund Series I
DWS Core Equity VIP A	Invesco V.I. Global Fund Series II
DWS Core Equity VIP B	Invesco V.I. Global Real Estate Fund Series I
DWS CROCI® International VIP A	Invesco V.I. Global Strategic Income Fund Series II
DWS CROCI® International VIP B	Invesco V.I. Health Care Series I
DWS CROCI® U.S. VIP A	Invesco V.I. Main Street Fund Series II
DWS CROCI® U.S. VIP B	Invesco V.I. Main Street Small Cap Fund Series II
DWS Equity 500 Index VIP A	Janus Henderson Balanced Portfolio I-S
DWS Equity 500 Index VIP B2 (a)	Janus Henderson Enterprise Portfolio I-S
DWS Global Equity VIP A (b)	Janus Henderson Forty Portfolio I-S
DWS Global Income Builder VIP A	Janus Henderson Global Research Portfolio I-S
DWS Global Small Cap VIP A	Janus Henderson Global Research Portfolio S-S (a)
DWS Global Small Cap VIP B (a)	Janus Henderson Mid Cap Value Portfolio S-S
DWS Government Money Market VIP A	Janus Henderson Research Portfolio I-S
DWS High Income VIP A	JPMorgan Insurance Trust Core Bond
DWS High Income VIP B	JPMorgan Insurance Trust MidCap Value
DWS International Growth VIP A	JPMorgan Insurance Trust Small Cap Core
DWS International Growth VIP B (a)	JPMorgan Insurance Trust US Equity Portfolio
DWS Small Cap Index VIP A	PIMCO PVIT International Bond (U.S. Dollar-Hedged) - Admin (b)
DWS Small Mid Cap Growth VIP A	PIMCO PVIT Low Duration Portfolio - Admin (b)
DWS Small Mid Cap Value VIP A	Voya Global High Dividend Low Volatility Portfolio Class S
DWS Small Mid Cap Value VIP B	VY JPMorgan Emerging Markets Equity Portfolio Class I
Fidelity VIP Contrafund

Notes:

(a) Subaccount available for investment; however, no activity in 2022 or 2021, and as such have not been shown in the accompanying financial statements.

(b) Fund closed during 2021.

(c) Effective June 3, 2022, the Alger Mid Cap Growth S was merged into the Alger Mid Cap Growth Class I-2 fund. Per (a) above, the Alger Mid Cap Growth S fund had no activity in 2022 or 2021.

38

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Notes to Financial Statements

Contract owners may allocate some or all of net purchase payments or transfer some or all of the contract value to the Fixed Account Option, which is part of ZALICO’s General Account. The assets of ZALICO’s General Account support its insurance and annuity obligations and are subject to ZALICO’s general liabilities from its business operations.

(2) Significant Accounting Policies

Investments

Investments are made in the various portfolios in accordance with selections made by the contract owners. The Separate Account’s assets are the property of ZALICO for the benefit of contract owners and are segregated from ZALICO’s other assets. Such investments are made at the net asset value per share, reported by the respective portfolios.

Security transactions and investment income

Security transactions are accounted for on the trade date (date the order to buy or sell is executed). Dividend income is recorded as income on the ex-dividend date and is reinvested in additional shares of the portfolio. Realized gains and losses from sales of investment shares are reported on a first in, first out (FIFO) cost basis. Capital gain distributions are included in realized gains (losses) on investments.

Accumulation unit valuation

On each day the New York Stock Exchange (the “Exchange”) is open for trading, the accumulation unit value is determined as of the earlier of 3:00 p.m. (CST) or the close of the Exchange by dividing the total value of each subaccount’s investments and other assets, less liabilities, by the number of accumulation units outstanding in the respective subaccount.

Federal income taxes

The results of the operations of the Separate Account are included in the federal income tax return of ZALICO. Under the provisions of the contracts, ZALICO has the right to charge the Separate Account for federal income tax attributable to the Separate Account. No charge has been made against the Separate Account for such tax during the year ended December 31, 2022 or December 31, 2021. Management will periodically review the contract in the event of changes in tax law. Accordingly, a charge may be made in future years for any federal income taxes that would be attributable to the contracts.

Net transfers (to) from affiliate or subaccounts

Net transfers (to) from affiliate or subaccounts include transfers of all or part of the contract owners’ interest to or from another eligible subaccount or to the general account of ZALICO.

Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that could affect the reported amounts of assets and liabilities, as well as the disclosure of contingent assets or liabilities at the date of the financial statements. As a result, actual results reported as revenue and expenses could differ from the estimates reported in the accompanying financial statements.

Risks and uncertainties

The Separate Account provides for various subaccount investment options in any combination of the available open-end management investment companies, each of which bears exposure to the market, credit, and liquidity risks of the underlying portfolio in which it invests. Generally, all investments are exposed to various risks, such as interest rate, market and credit risks. Due to the level of risk associated with certain investments and the level of uncertainty related to changes in the value of investments, it is at least reasonably possible that changes in risks in the near term could materially affect investment balances, the amounts reported in the Statement of Assets, Liabilities and Contract Owners’ Equity and the amounts reported in the Statement of Changes in Contract Owners’ Equity. Accordingly, these financial statements should be read in conjunction with the financial statements of the underlying open-end management investment companies identified in Note 1.

39

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Notes to Financial Statements

Annuity payouts

Net assets allocated to contracts in the annuity payout period are computed according to the 1983a Individual Annuitant Mortality Table with projections. Unless the annuitant elects otherwise, the assumed investment return is 2.5% for most products (i.e. Scudder Destinations, Farmers Variable Annuity I, Zurich Archway, Zurich ZS4, Zurich Preferred, Zurich Preferred Plus, and most Zurich Advantage III policies), or 4.0% for Zurich Passport and some Zurich Advantage III contracts. The mortality risk is fully borne by ZALICO and may result in additional amounts being transferred into the Separate Account by ZALICO to cover greater longevity of annuitants than expected. Conversely, if amounts allocated exceed amounts required, transfers may be made to the Company.

Fair value measurements

The Separate Account determined the fair value of its financial instruments based on the fair value hierarchy established in the Financial Accounting Standards Board’s (“FASB”) guidance referenced in the Fair Value Measurements and Disclosure Topic which requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value.

The Separate Account has categorized its financial instruments based on the priority of the inputs to the valuation technique, into the three level hierarchy, as outlined under the applicable guidance. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure fair value fall within different levels of the hierarchy, the category level is based on the lowest priority level input that is significant to the fair value measurement of the instrument. As there are no level 2 or level 3 assets in any period presented, disclosure of transfer between levels or a reconciliation of level 3 assets is not required. In addition, no other financial assets or assets valued on a non-recurring basis are recorded in the Separate Account.

Financial assets and liabilities recorded at fair value on the Statement of Assets, Liabilities and Contract Owners’ Equity are categorized as follows:

• Level 1: Unadjusted quoted prices for identical assets or liabilities in an active market.

• Level 2: Quoted prices in markets that are not active or significant inputs that are observable either directly or indirectly. Level 2 inputs include the following:

a. Quoted prices for similar assets or liabilities in active markets.

b. Quoted prices for identical or similar assets or liabilities in non-active markets.

c. Inputs other than quoted market prices that are observable.

d. Inputs that are derived principally from or corroborated by observable market data through correlation or other means.

• Level 3: Prices or valuation techniques that require inputs that are both unobservable and significant to the overall fair value measurement. They reflect management’s own assumptions about the assumptions a market participant would use in pricing the asset or liability.

Determination of fair values

The valuation methodologies used to determine the fair values of assets and liabilities under the FASB guidance referenced in the Fair Value Measurements and Disclosure Topic reflect market participation assumptions and are based on the application of the fair value hierarchy that prioritizes observable market inputs over unobservable inputs. The Separate Account determines the fair values of certain financial assets based on quoted market prices. All of the investments in the subaccounts of the Separate Account are classified as Level 1 in the fair value hierarchy and consist of open-end management investment companies. Participants may, without restriction, transact at the daily net asset value (“NAV”) of the investment companies. The NAV represents the daily per share value based on the fair value of the underlying portfolio of investments of the respective mutual funds.

40

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Notes to Financial Statements

(3) Purchases and Sales of Investments

The cost of purchases and proceeds from sales of investments, including distributions received and reinvested, for the year ended December 31, 2022, are as follows:

	Purchases		Sales
The Alger Portfolios:
Alger Balanced-Class I-2	$	2,629,703	$	2,647,019
Alger Capital Appreciation-Class I-2		3,813,189		8,352,491
Alger Large Cap Growth-Class I-2		1,087,416		1,726,156
Alger Mid Cap Growth-Class I-2		818,427		1,389,774
Alger Small Cap Growth-Class I-2		1,332,457		910,592
American Century Variable Portfolios, Inc.:
American Century VP Disciplined Core Value	$	2,554,036	$	1,938,328
American Century VP Value		1,679,536		1,434,667
BNY Mellon Investment Portfolios:
BNY Mellon Investment Portfolios MidCap Stock Portfolio - Initial Shares	$	7,250,246	$	3,694,693
BNY Mellon Investment Portfolios MidCap Stock Portfolio - Service Shares		796,911		543,055
BNY Mellon Sustainable U.S. Equity Funds:
BNY Mellon Sustainable U.S. Equity Portfolio Inc. - Initial Shares	$	1,828,548	$	1,251,258
BNY Mellon Sustainable U.S. Equity Portfolio Inc. - Service Shares		339		80
Deutsche DWS Variable Series I:
DWS Capital Growth VIP A	$	31,941,624	$	18,293,941
DWS Capital Growth VIP B		49,688		20,314
DWS Core Equity VIP A		9,500,515		6,643,110
DWS Core Equity VIP B		2,646		327
DWS CROCI® International VIP A		834,829		1,189,627
DWS CROCI® International VIP B		941		600
DWS Global Small Cap VIP A		3,958,083		2,190,409
DWS Small Cap Index VIP A		586,099		179,944
Deutsche DWS Variable Series II:
DWS CROCI® U.S. VIP A	$	3,977,716	$	7,939,787
DWS CROCI® U.S. VIP B		4,764		3,104
DWS Global Income Builder VIP A		9,773,325		9,761,058
DWS Government Money Market VIP A		31,292,965		31,861,096
DWS High Income VIP A		3,441,269		6,689,105
DWS High Income VIP B		405		161
DWS International Growth VIP A		789,351		2,495,185
DWS Small Mid Cap Growth VIP A		6,487,425		4,478,675
DWS Small Mid Cap Value VIP A		2,186,999		5,597,813
DWS Small Mid Cap Value VIP B		2,767		2,692
Deutsche DWS Investments VIT Funds:
DWS Equity 500 Index VIP A	$	10,233,412	$	7,913,709

41

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Notes to Financial Statements

	Purchases		Sales
Fidelity Variable Insurance Products Funds:
Fidelity VIP Contrafund	$	4,392,353	$	8,273,876
Fidelity VIP Equity Income		2,001,523		1,724,190
Fidelity VIP Growth		4,126,918		11,549,516
Fidelity VIP II Asset Manager		229,421		156,843
Fidelity VIP Index 500		16,486,431		20,588,026
Fidelity VIP II Index 500 - Service Class 2		77,681		212,213
Franklin Templeton Variable Insurance Products Trust:
FTVIP Franklin Mutual Global Discovery Fund CL 2	$	1,472,650	$	1,457,385
FTVIP Franklin Mutual Shares Fund CL 2		413,829		825,695
FTVIP Franklin Rising Dividends Fund CL 2		966,011		571,323
FTVIP Franklin Small Cap Value Fund CL 2		996,860		779,875
FTVIP Franklin Strategic Income Fund CL 2		452,581		803,819
FTVIP Franklin U.S. Government Fund CL 2		650,961		751,760
FTVIP Templeton Developing Markets Fund CL 2		329,290		437,780
Invesco Variable Insurance Funds:
Invesco V.I. Capital Appreciation Fund Series II	$	590,413	$	217,906
Invesco V.I. Discovery Mid Cap Growth Fund Series II		495,774		166,287
Invesco V.I. Diversified Dividend Fund Series I		412,080		270,651
Invesco V.I. Equity and Income Fund Series I		4,775,276		530,710
Invesco V.I. Global Fund Series II		2,705,442		1,934,882
Invesco V.I. Global Real Estate Fund Series I		248,559		385,721
Invesco V.I. Global Strategic Income Fund Series II		39,100		334,504
Invesco V.I. Health Care Series I		488,754		384,805
Invesco V.I. Main Street Fund Series II		1,528,527		341,943
Invesco V.I. Main Street Small Cap Fund Series II		975,497		760,089
Janus Aspen Series:
Janus Henderson Balanced Portfolio I-S	$	5,200,698	$	8,560,682
Janus Henderson Enterprise Portfolio I-S		9,311,739		5,903,721
Janus Henderson Forty Portfolio I-S		1,822,652		2,876,772
Janus Henderson Global Research Portfolio I-S		4,579,493		4,000,548
Janus Henderson Mid Cap Value Portfolio S-S		326,748		331,166
Janus Henderson Research Portfolio I-S		5,149,541		2,874,169
JPMorgan Insurance Trust:
JPMorgan Insurance Trust Core Bond	$	14,572	$	15,665
JPMorgan Insurance Trust MidCap Value		863,043		722,178
JPMorgan Insurance Trust Small Cap Core		1,255,009		656,065
JPMorgan Insurance Trust US Equity Portfolio		242,550		100,731
Voya Global Resources Trust:
Voya Global High Dividend Low Volatility Portfolio Class S	$	216,668	$	314,041
Voya Investors Trust:
VY JPMorgan Emerging Markets Equity Portfolio Class I	$	971,659	$	386,484

42

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Notes to Financial Statements

(4) Expenses and Related Party Transactions

The following is a summary of Separate Account expense charges which are assessed either as a direct reduction in unit values or through a redemption of units for all contracts contained within the Separate Account.

Contract Charges	Range
Mortality and Expense Risk Charge
Each subaccount is assessed a daily asset charge for mortality and expense risks through a reduction in unit values. The mortality and expense risk charge covers certain insurance benefits available under the contracts and certain expenses the Company expects to incur. It also covers the risk that charges will not be sufficient to cover costs associated with the contracts and to provide contractual benefits.		0-1.25%
Administration Charge
Each subaccount is assessed a daily administration charge through a reduction in unit values. This charge reimburses the Company for expenses incurred for administering the Contracts. These expenses include owner inquiries, changes in allocations, owner reports, Contract maintenance costs, and data processing costs. The administrative charge covers the average anticipated administrative expenses incurred while the Contracts are in force.		0-.50%
Records Maintenance Charge
An annual records maintenance charge is assessed during the accumulation period through the redemption of units and is assessed equally among all subaccounts in which the contract holder has an interest. The charge is assessed at the end of each contract year, on contract surrender and upon annuitization. However, the separate account does not deduct the records maintenance charge for contracts with contract value of at least $50,000 on the assessment date. This charge reimburses the separate account for the expenses of establishing and maintaining Contract records.		0-$30
Withdrawal Charge
Withdrawal charges are applicable only during the first seven contribution years following each purchase payment. When a withdrawal is requested in good order, and a withdrawal charge applies, the contract value is reduced by the amount of the withdrawal charge through the redemption of units. This charge is subject to certain exceptions. The withdrawal charge compensates the Company for Contract distribution expenses, which include the payment of commissions and other promotion and acquisition expenses.		0-8%
Optional Benefit Fees
Optional benefits may be elected by contract holders. These benefits include death benefits and living benefits through the purchase of riders, such as Guaranteed Retirement Income Benefit Rider (“GRIB”), Earnings Based Death Benefit Rider (“EBDB”), Safeguard Enhanced Death Benefit Rider and/or Safeguard Plus Enhanced Death Benefit Rider. The fees for such benefits are recorded through redemption of units. These fees are calculated on an “Asset Base” basis.		0.15-0.75%
Transfer Charge
The Company currently allows unlimited transfers without charge. The Company reserves the right to assess a transfer fee for the thirteenth and each subsequent transfer during a contract year. The charge would be assessed through the redemption of units.		0-$25
Investment Management Fees and Other Expenses
In some cases, the value of the net assets of each subaccount is reduced by the investment management, 12b-1 fees and service fees and other expenses incurred by the corresponding portfolio in which the subaccount invests. These fees and expenses are paid indirectly by the contract holder through the reduction of unit values.		0.1-1.43%
Redemption Fees
A fund or portfolio may assess a redemption fee on subaccount assets that are redeemed out of the fund or portfolio in connection with a withdrawal or transfer. Each fund or portfolio determines the amount of the redemption fee and when the fee is imposed. The redemption fee is retained by or paid to the fund or portfolio and is not retained by the Company. The redemption fee is deducted from the contract value through the redemption of units.		0-2%
Applicable State Premium Taxes
Certain state and local governments impose a premium tax on purchase payments which, depending on the state, is paid by the Company at the time a purchase payment is received from the contract holder or at the time the Contract is annuitized. If the contract holder lives in a state where premium taxes are paid at the time a purchase payment is received, the Company reserves the right to deduct the amount of the premium tax payable from the contract value at the time the purchase payment is received. If the contract holder lives in a state where premium taxes are paid at time of annuitization, the amount of the premium tax payable will be deducted from the contract value.		0-3.5%

43

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Notes to Financial Statements

Related Party Transactions

Policy loans are also provided for under the terms of the policy. The minimum amount of the loan under Zurich Advantage III, Zurich Preferred and Zurich Preferred Plus policies is $1,000 and the contract must have at least $1,500 value. The minimum amount of loan under Zurich Archway and Zurich ZS4 policies is $1,000 and is limited to 80% of the policy value, less applicable surrender charges. The minimum amount of loan under Zurich Destination policies is $1,000 and maximum loan amount available is 50% of contract value or $50,000 whichever is less. Farmers Variable Annuity I and Zurich Passport policies do not have loan privileges. Interest is assessed against a policy loan under the terms of the Policy. The balance of loans outstanding as of December 31, 2022, was $31,664,652. Policy loans are carried in the ZALICO general account.

Investment Distributors, Inc., a wholly-owned subsidiary of Protective Life Insurance Company (“Protective Life”), is the principal underwriter for the Separate Account with the exception of the Scudder Destinations and Farmers Variable Annuity I contracts. Effective September 3, 2003, ZALICO transferred certain of its business, as well as the capital stock of its wholly-owned subsidiaries, to a former affiliate, Federal Kemper Life Assurance Company (“FKLA”). In a contemporaneous transaction, FKLA and ZALICO entered into a coinsurance agreement under which FKLA administers the business and the records of, and 100% reinsures, certain lines of business issued by ZALICO, and performs certain Separate Account administration functions for certain registered variable annuity contracts that are funded through the Separate Account. These transfers were part of a larger transaction under which the capital stock of FKLA was sold to Bank One Insurance Holdings, Inc. (“Bank One”). On July 1, 2004, Bank One merged into JP Morgan Chase & Co., and FKLA changed its name to Chase Insurance Life and Annuity Company (“Chase Insurance”). On July 3, 2006, Protective Life, purchased Chase Insurance. Effective April 1, 2007, Chase Insurance merged with and into Protective Life.

(5) Changes in Units Outstanding

The changes in units outstanding for the years ended December 31, 2022 and 2021 were as follows:

	Units Issued		Units Redeemed		Net Increase / (Decrease)
The Alger Portfolios:
Alger Balanced-Class I-2
2022		60,476		102,428		(41,952	)
2021		347,933		240,311		107,622
Alger Capital Appreciation-Class I-2
2022		40,058		196,866		(156,808	)
2021		63,903		202,342		(138,439	)
Alger Large Cap Growth-Class I-2
2022		4,192		10,073		(5,881	)
2021		3,507		11,730		(8,223	)
Alger Mid Cap Growth-Class I-2
2022		7,430		15,589		(8,159	)
2021		9,034		20,908		(11,874	)
Alger Small Cap Growth-Class I-2
2022		4,423		7,894		(3,471	)
2021		4,590		10,177		(5,587	)

44

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Notes to Financial Statements

	Units Issued		Units Redeemed		Net Increase / (Decrease)
American Century Variable Portfolios, Inc.:
American Century VP Disciplined Core Value
2022		24,241		94,792		(70,551	)
2021		20,541		58,197		(37,656	)
American Century VP Value
2022		31,726		55,025		(23,299	)
2021		24,032		52,740		(28,708	)
BNY Mellon Investment Portfolios:
BNY Mellon Investment Portfolios MidCap Stock Portfolio - Initial Shares
2022		26,663		93,620		(66,957	)
2021		97,993		101,623		(3,630	)
BNY Mellon Investment Portfolios MidCap Stock Portfolio - Service Shares
2022		3,919		14,142		(10,223	)
2021		6,373		16,987		(10,614	)
BNY Mellon Sustainable U.S. Equity Funds:
BNY Mellon Sustainable U.S. Equity Portfolio Inc. - Initial Shares
2022		50,171		23,516		26,655
2021		22,609		23,697		(1,088	)
BNY Mellon Sustainable U.S. Equity Portfolio Inc. - Service Shares
2022		—		—		—
2021		—		—		—
Deutsche Variable Series I:
DWS Bond VIP A
2022		—		—		—
2021		134,109		2,096,039		(1,961,930	)
DWS Capital Growth VIP A
2022		91,361		354,625		(263,264	)
2021		88,618		530,299		(441,681	)
DWS Capital Growth VIP B
2022		6		351		(345	)
2021		—		31		(31	)
DWS Core Equity VIP A
2022		71,579		194,041		(122,462	)
2021		128,710		238,931		(110,221	)
DWS Core Equity VIP B
2022		—		1		(1	)
2021		—		30		(30	)
DWS CROCI® International VIP A
2022		53,850		109,606		(55,756	)
2021		161,643		216,160		(54,517	)
DWS CROCI® International VIP B
2022		—		—		—
2021		—		—		—
DWS Global Small Cap VIP A
2022		14,681		68,331		(53,650	)
2021		44,301		95,110		(50,809	)
DWS Small Cap Index VIP A
2022		66,296		24,950		41,346
2021		32,795		8,351		24,444

45

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Notes to Financial Statements

	Units Issued		Units Redeemed		Net Increase / (Decrease)
Deutsche Variable Series II:
DWS CROCI® U.S. VIP A
2022		114,489		453,915		(339,426	)
2021		194,713		739,345		(544,632	)
DWS CROCI® U.S. VIP B
2022		—		6		(6	)
2021		—		14		(14	)
DWS Global Equity VIP A
2022		—		—		—
2021		89,286		3,927,775		(3,838,489	)
DWS Global Income Builder VIP A
2022		223,366		763,976		(540,610	)
2021		223,735		961,201		(737,466	)
DWS Government Money Market VIP A
2022		11,666,741		11,022,523		644,218
2021		14,455,011		5,830,048		8,624,963
DWS High Income VIP A
2022		192,913		561,332		(368,419	)
2021		321,144		645,157		(324,013	)
DWS High Income VIP B
2022		—		—		—
2021		—		—		—
DWS International Growth VIP A
2022		28,634		110,026		(81,392	)
2021		120,042		80,256		39,786
DWS Small Mid Cap Growth VIP A
2022		166,084		480,238		(314,154	)
2021		137,181		644,746		(507,565	)
DWS Small Mid Cap Value VIP A
2022		153,046		594,172		(441,126	)
2021		266,174		505,580		(239,406	)
DWS Small Mid Cap Value VIP B
2022		—		1		(1	)
2021		—		29		(29	)
Deutsche DWS Investments VIT Funds:
DWS Equity 500 Index VIP A
2022		146,355		225,485		(79,130	)
2021		167,512		330,881		(163,369	)
Fidelity Variable Insurance Products Funds:
Fidelity VIP Contrafund
2022		18,539		67,530		(48,991	)
2021		12,378		53,084		(40,706	)
Fidelity VIP Equity Income
2022		15,019		20,824		(5,805	)
2021		12,062		27,183		(15,121	)
Fidelity VIP Growth
2022		8,158		51,848		(43,690	)
2021		8,422		19,494		(11,072	)
Fidelity VIP II Asset Manager
2022		716		2,702		(1,986	)
2021		3,417		8,560		(5,143	)

46

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Notes to Financial Statements

	Units Issued		Units Redeemed		Net Increase / (Decrease)
Fidelity VIP Index 500
2022		31,899		43,340		(11,441	)
2021		3,881		15,157		(11,276	)
Fidelity VIP II Index 500 - Service Class 2
2022		87		406		(319	)
2021		88		461		(373	)
Franklin Templeton Variable Insurance Products Trust:
FTVIP Franklin Mutual Global Discovery Fund CL 2
2022		15,831		38,251		(22,420	)
2021		11,290		52,657		(41,367	)
FTVIP Franklin Mutual Shares Fund CL 2
2022		2,802		29,618		(26,816	)
2021		4,332		15,256		(10,924	)
FTVIP Franklin Rising Dividends Fund CL 2
2022		4,887		12,081		(7,194	)
2021		3,688		29,484		(25,796	)
FTVIP Franklin Small Cap Value Fund CL 2
2022		4,812		16,110		(11,298	)
2021		10,845		19,644		(8,799	)
FTVIP Franklin Strategic Income Fund CL 2
2022		18,725		42,741		(24,016	)
2021		12,799		22,991		(10,192	)
FTVIP Franklin U.S. Government Fund CL 2
2022		73,311		79,721		(6,410	)
2021		8,725		35,202		(26,477	)
FTVIP Templeton Developing Markets Fund CL 2
2022		5,980		14,186		(8,206	)
2021		5,904		7,179		(1,275	)
Invesco Variable Insurance Funds:
Invesco V.I. Capital Appreciation Fund Series II
2022		2,433		5,386		(2,953	)
2021		3,584		9,036		(5,452	)
Invesco V.I. Discovery Mid Cap Growth Fund Series II
2022		1,985		3,482		(1,497	)
2021		5,304		7,359		(2,055	)
Invesco V.I. Diversified Dividend Fund Series I
2022		20,138		16,895		3,243
2021		5,645		15,427		(9,782	)
Invesco V.I. Equity and Income Fund Series I
2022		359,915		65,661		294,254
2021		987,374		151,801		835,573
Invesco V.I. Global Fund Series II
2022		10,606		43,753		(33,147	)
2021		12,208		52,311		(40,103	)
Invesco V.I. Global Real Estate Fund Series I
2022		6,754		12,761		(6,007	)
2021		3,980		15,474		(11,494	)
Invesco V.I. Global Strategic Income Fund Series II
2022		4,707		21,784		(17,077	)
2021		32,535		38,873		(6,338	)
Invesco V.I. Health Care Series I
2022		7,721		10,204		(2,483	)
2021		7,451		16,597		(9,146	)

47

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Notes to Financial Statements

	Units Issued		Units Redeemed		Net Increase / (Decrease)
Invesco V.I. Main Street Fund Series II
2022		2,728		8,475		(5,747	)
2021		4,371		12,820		(8,449	)
Invesco V.I. Main Street Small Cap Fund Series II
2022		4,822		14,013		(9,191	)
2021		10,018		16,958		(6,940	)
Janus Henderson Series:
Janus Henderson Balanced Portfolio I-S
2022		37,008		90,657		(53,649	)
2021		25,886		85,891		(60,005	)
Janus Henderson Enterprise Portfolio I-S
2022		9,434		40,217		(30,783	)
2021		5,358		49,965		(44,607	)
Janus Henderson Forty Portfolio I-S
2022		14,594		58,128		(43,534	)
2021		47,264		22,020		25,244
Janus Henderson Global Research Portfolio I-S
2022		14,136		56,612		(42,476	)
2021		14,242		55,167		(40,925	)
Janus Henderson Mid Cap Value Portfolio S-S
2022		2,120		7,202		(5,082	)
2021		2,463		7,783		(5,320	)
Janus Henderson Research Portfolio I-S
2022		4,495		32,566		(28,071	)
2021		11,845		49,996		(38,151	)
JPMorgan Insurance Trust:
JPMorgan Insurance Trust Core Bond
2022		337		733		(396	)
2021		350		629		(279	)
JPMorgan Insurance Trust MidCap Value
2022		4,197		17,911		(13,714	)
2021		11,462		27,141		(15,679	)
JPMorgan Insurance Trust Small Cap Core
2022		8,980		13,015		(4,035	)
2021		8,548		14,767		(6,219	)
JPMorgan Insurance Trust US Equity Portfolio
2022		1,809		1,846		(37	)
2021		2,020		3,625		(1,605	)
PIMCO Variable Insurance Trust:
PIMCO PVIT International Bond (U.S. Dollar-Hedged) - Admin
2022		—		—		—
2021		—		186		(186	)
PIMCO PVIT Low Duration Portfolio - Admin
2022		—		—		—
2021		—		—		—
Voya Global Resources Trust:
Voya Global High Dividend Low Volatility Portfolio Class S
2022		6,685		20,706		(14,021	)
2021		8,858		36,673		(27,815	)

48

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Notes to Financial Statements

	Units Issued		Units Redeemed		Net Increase / (Decrease)
Voya Investors Trust:
VY JPMorgan Emerging Markets Equity Portfolio Class I
2022		3,517		12,809		(9,292	)
2021		4,206		14,307		(10,101	)

(6) Unit Values and Financial Highlights

ZALICO sells a number of variable annuity products, as discussed in Note 1, that are funded by the Separate Account. These products have unique combinations of features and fees that are charged against the contract owner’s account. Differences in the fee structures result in a variety of unit values, expense ratios, and total returns. The following tables were developed by determining which products offered by ZALICO and funded by the Separate Account have the highest and lowest expense ratios. The summaries may not reflect or directly equate to the minimum and maximum charges offered by ZALICO, as contract owners may not have selected all available and applicable contract options. A summary of the units outstanding, unit fair values, net assets for variable annuity contracts, net investment income ratios, the expense ratios, excluding expenses of the underlying funds, and total returns for each of the five years in the period ended December 31, 2022, (except for funds which are no longer active and which have not been shown in the accompanying financial statements) were as follows:

	At December 31,								For the year ended December 31,
	Units   (000s)		Unit Fair Value				Net     Assets (1)     (000s)		Investment     Income Ratio (2)			Expense Ratio (3)						Total Return (4)
			Lowest		Highest							Lowest			Highest			Lowest			Highest
Alger Portfolios:
Alger Balanced-Class I-2
2022		985	$	23.758	$	23.758	$	23,391		1.10	%		1.40	%		1.40	%		(12.53	)%		(12.53	)%
2021		1,026		27.162		27.162		27,882		0.89	%		1.40	%		1.40	%		17.48	%		17.48	%
2020		919		23.121		23.121		21,246		1.20	%		1.40	%		1.40	%		8.70	%		8.70	%
2019		962		21.270		21.270		20,471		1.58	%		1.40	%		1.40	%		17.85	%		17.85	%
2018		897		18.048		18.048		16,184		4.19	%		1.40	%		1.40	%		(4.67	)%		(4.67	)%
Alger Capital Appreciation-Class I-2
2022		896		36.450		36.450		32,643		N/A			1.40	%		1.40	%		(37.40	)%		(37.40	)%
2021		1,052		58.225		58.225		61,274		N/A			1.40	%		1.40	%		17.48	%		17.48	%
2020		1,191		49.561		49.561		59,017		N/A			1.40	%		1.40	%		39.79	%		39.79	%
2019		1,317		35.453		35.453		46,703		N/A			1.40	%		1.40	%		31.74	%		31.74	%
2018		1,435		26.912		26.912		38,617		0.09	%		1.40	%		1.40	%		(1.49	)%		(1.49	)%
Alger Large Cap Growth-Class I-2
2022		59		99.662		163.230		8,795		N/A			1.00	%		2.25	%		(40.00	)%		(39.26	)%
2021		65		166.114		268.743		15,943		N/A			1.00	%		2.25	%		9.38	%		10.73	%
2020		73		151.868		242.691		16,308		0.17	%		1.00	%		2.25	%		63.36	%		65.38	%
2019		82		92.966		146.750		11,136		N/A			1.00	%		2.25	%		24.63	%		26.17	%
2018		93		74.596		116.312		9,975		N/A			1.00	%		2.25	%		(0.06	)%		1.19	%
Alger Mid Cap Growth-Class I-2
2022		85		66.779		86.667		6,894		N/A			1.00	%		2.25	%		(37.48	)%		(36.71	)%
2021		94		106.811		136.927		11,921		N/A			1.00	%		2.25	%		1.91	%		3.17	%
2020		105		104.810		132.717		13,080		N/A			1.00	%		2.25	%		61.01	%		63.00	%
2019		118		65.095		81.421		9,003		N/A			1.00	%		2.25	%		27.39	%		28.97	%
2018		135		51.099		63.133		7,989		N/A			1.00	%		2.25	%		(9.49	)%		(8.37	)%

49

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Notes to Financial Statements

	At December 31,								For the year ended December 31,
	Units   (000s)		Unit Fair Value				Net     Assets (1)     (000s)		Investment     Income Ratio (2)			Expense Ratio (3)						Total Return (4)
			Lowest		Highest							Lowest			Highest			Lowest			Highest
Alger Small Cap Growth-Class I-2
2022		47	$	49.822	$	124.280	$	5,073		N/A			1.00	%		2.25	%		(39.38	)%		(38.63	)%
2021		50		82.185		202.501		8,908		N/A			1.00	%		2.25	%		(8.13	)%		(6.99	)%
2020		56		89.458		217.721		10,633		1	%		1.00	%		2.25	%		63.48	%		65.50	%
2019		65		54.722		131.555		7,357		N/A			1.00	%		2.25	%		26.49	%		28.06	%
2018		71		43.262		102.733		6,302		N/A			1.00	%		2.25	%		(0.81	)%		0.43	%
American Century Variable Portfolios, Inc.:
American Century VP Disciplined Core Value
2022		347		16.534		21.406		6,900		1.62	%		1.00	%		2.25	%		(14.65	)%		(13.60	)%
2021		417		19.372		24.775		9,646		1.12	%		1.00	%		2.25	%		20.93	%		22.43	%
2020		455		16.019		20.236		8,622		1.72	%		1.00	%		2.25	%		9.35	%		10.70	%
2019		559		14.650		18.280		9,590		2.13	%		1.00	%		2.25	%		21.22	%		22.72	%
2018		601		12.085		14.896		8,432		2.01	%		1.00	%		2.25	%		(8.93	)%		(7.79	)%
American Century VP Value
2022		357		22.122		30.095		9,940		2.04	%		1.00	%		2.25	%		(1.67	)%		(0.45	)%
2021		381		22.497		30.232		10,670		1.81	%		1.00	%		2.25	%		21.77	%		23.28	%
2020		409		18.474		24.523		9,345		1.94	%		1.00	%		2.25	%		(1.25	)%		(0.02	)%
2019		461		18.708		24.529		10,556		2.16	%		1.00	%		2.25	%		24.24	%		25.78	%
2018		537		15.058		19.502		9,810		1.70	%		1.00	%		2.25	%		(11.16	)%		(10.06	)%
BNY Mellon Investment Portfolios:
BNY Mellon Investment Portfolios MidCap Stock Portfolio - Initial Shares
2022		609		37.993		37.993		23,119		0.70	%		1.40	%		1.40	%		(15.26	)%		(15.26	)%
2021		675		44.836		44.836		30,285		0.66	%		1.40	%		1.40	%		24.15	%		24.15	%
2020		679		36.115		36.115		24,526		0.73	%		1.40	%		1.40	%		6.61	%		6.61	%
2019		755		33.876		33.876		25,565		0.67	%		1.40	%		1.40	%		18.52	%		18.52	%
2018		831		28.582		28.582		23,745		0.62	%		1.40	%		1.40	%		(16.66	)%		(16.66	)%
BNY Mellon Investment Portfolios MidCap Stock Portfolio - Service Shares
2022		66		31.140		39.663		2,462		0.42	%		1.00	%		2.25	%		(16.17	)%		(15.13	)%
2021		77		37.145		46.735		3,357		0.47	%		1.00	%		2.25	%		22.80	%		24.32	%
2020		87		30.249		37.593		3,085		0.53	%		1.00	%		2.25	%		5.47	%		6.78	%
2019		116		28.679		35.207		3,845		0.43	%		1.00	%		2.25	%		17.22	%		18.67	%
2018		137		24.467		29.668		3,847		0.36	%		1.00	%		2.25	%		(17.55	)%		(16.53	)%

50

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Notes to Financial Statements

	At December 31,								For the year ended December 31,
	Units   (000s)		Unit Fair Value				Net     Assets (1)     (000s)		Investment     Income Ratio (2)			Expense Ratio (3)						Total Return (4)
			Lowest		Highest							Lowest			Highest			Lowest			Highest
BNY Mellon Sustainable U.S. Equity Fund:
BNY Mellon Sustainable U.S. Equity Portfolio Inc. - Initial Shares
2022		192	$	21.860	$	85.179	$	5,786		0.53	%		1.00	%		2.25	%		(24.57	)%		(23.64	)%
2021		165		28.738		111.543		7,622		0.77	%		1.00	%		2.25	%		24.20	%		25.74	%
2020		166		22.946		88.709		6,147		0.98	%		1.00	%		2.25	%		21.41	%		22.91	%
2019		168		18.743		72.171		5,155		1.45	%		1.00	%		2.25	%		31.40	%		33.03	%
2018		159		14.145		54.253		3,924		1.92	%		1.00	%		2.25	%		(6.52	)%		(5.35	)%
BNY Mellon Sustainable U.S. Equity Portfolio Inc. - Service Shares
2022		—		31.062		33.326		4		0.27	%		1.70	%		2.05	%		(24.61	)%		(24.35	)%
2021		—		41.200		44.052		5		0.59	%		1.70	%		2.05	%		24.14	%		24.56	%
2020		—		33.189		35.365		4		0.83	%		1.70	%		2.05	%		21.37	%		21.79	%
2019		—		27.345		29.038		4		1.05	%		1.70	%		2.05	%		31.32	%		31.77	%
2018		—		20.824		22.037		4		1.57	%		1.70	%		2.05	%		(6.57	)%		(6.24	)%
Deutsche DWS Variable Series I:
DWS Bond VIP A (b)
2021		—		1.919		12.840		—		3.96	%		1.00	%		2.25	%		(2.09	)%		(1.09	)%
2020		1,962		1.944		13.481		23,296		2.82	%		1.00	%		2.25	%		6.68	%		7.99	%
2019		1,925		1.805		12.533		20,856		2.99	%		1.00	%		2.25	%		8.19	%		9.53	%
2018		1,928		1.652		11.488		18,989		4.38	%		1.00	%		2.25	%		(4.81	)%		(3.62	)%
DWS Capital Growth VIP A
2022		3,324		37.571		82.497		153,866		0.09	%		1.00	%		2.25	%		(32.26	)%		(31.42	)%
2021		3,587		55.003		120.298		243,399		0.21	%		1.00	%		2.25	%		20.08	%		21.56	%
2020		4,028		45.426		98.960		224,878		0.48	%		1.00	%		2.25	%		35.99	%		37.67	%
2019		4,503		33.129		71.884		183,560		0.44	%		1.00	%		2.25	%		34.12	%		35.78	%
2018		4,968		24.496		52.942		150,114		0.77	%		1.00	%		2.25	%		(3.78	)%		(2.58	)%
DWS Capital Growth VIP B
2022		6		40.807		43.782		254		N/A			1.70	%		2.05	%		(32.29	)%		(32.06	)%
2021		6		60.271		64.443		397		N/A			1.70	%		2.05	%		20.00	%		20.41	%
2020		6		50.227		53.520		332		0.25	%		1.70	%		2.05	%		35.92	%		36.38	%
2019		6		36.955		39.242		245		0.17	%		1.70	%		2.05	%		34.04	%		34.51	%
2018		7		27.569		29.175		187		0.51	%		1.70	%		2.05	%		(3.85	)%		(3.52	)%
DWS Core Equity VIP A
2022		1,479		29.832		38.790		45,120		0.78	%		1.00	%		2.05	%		(17.22	)%		(16.36	)%
2021		1,602		35.810		46.380		58,746		0.78	%		1.00	%		2.05	%		22.78	%		24.06	%
2020		1,712		28.980		37.386		50,681		1.26	%		1.00	%		2.05	%		13.80	%		14.99	%
2019		1,946		25.304		32.513		50,344		1.12	%		1.00	%		2.05	%		27.68	%		29.01	%
2018		2,161		19.691		25.202		43,559		1.89	%		1.00	%		2.05	%		(7.59	)%		(6.62	)%

51

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Notes to Financial Statements

	At December 31,								For the year ended December 31,
	Units   (000s)		Unit Fair Value				Net     Assets (1)     (000s)		Investment     Income Ratio (2)			Expense Ratio (3)						Total Return (4)
			Lowest		Highest							Lowest			Highest			Lowest			Highest
DWS Core Equity VIP B
2022		—	$	35.601	$	38.197	$	17		0.44	%		1.70	%		2.05	%		(17.42	)%		(17.13	)%
2021		—		43.109		46.094		21		0.46	%		1.70	%		2.05	%		22.43	%		22.85	%
2020		—		35.211		37.519		18		0.30	%		1.70	%		2.05	%		13.35	%		13.74	%
2019		3		31.065		32.988		92		0.76	%		1.70	%		2.05	%		27.31	%		27.75	%
2018		3		24.401		25.823		79		1.50	%		1.70	%		2.05	%		(7.92	)%		(7.60	)%
DWS CROCI® International VIP A
2022		1,037		10.596		15.645		11,356		3.09	%		1.00	%		2.25	%		(15.10	)%		(14.05	)%
2021		1,093		12.376		18.201		13,981		2.46	%		1.00	%		2.25	%		6.83	%		8.16	%
2020		1,148		11.488		16.829		13,623		3.08	%		1.00	%		2.25	%		0.35	%		1.60	%
2019		1,192		11.353		16.564		13,982		3.00	%		1.00	%		2.25	%		19.09	%		20.57	%
2018		1,272		9.453		13.739		12,422		1.09	%		1.00	%		2.25	%		(16.29	)%		(15.25	)%
DWS CROCI® International VIP B
2022		2		12.333		13.233		31		2.76	%		1.70	%		2.05	%		(15.25	)%		(14.96	)%
2021		2		14.553		15.560		37		2.20	%		1.70	%		2.05	%		6.75	%		7.12	%
2020		2		13.632		14.526		35		2.88	%		1.70	%		2.05	%		0.43	%		0.78	%
2019		2		13.573		14.414		34		2.71	%		1.70	%		2.05	%		18.80	%		19.21	%
2018		2		11.425		12.091		29		0.82	%		1.70	%		2.05	%		(16.30	)%		(16.01	)%
DWS Global Small Cap VIP A
2022		585		30.690		30.690		17,947		0.52	%		1.40	%		1.40	%		(25.10	)%		(25.10	)%
2021		638		40.976		40.976		26,160		0.37	%		1.40	%		1.40	%		13.35	%		13.35	%
2020		689		36.148		36.148		24,915		0.70	%		1.40	%		1.40	%		15.74	%		15.74	%
2019		769		31.233		31.233		24,033		N/A			1.40	%		1.40	%		19.61	%		19.61	%
2018		839		26.112		26.112		21,918		0.30	%		1.40	%		1.40	%		(21.61	)%		(21.61	)%
DWS Small Cap Index VIP A (a)
2022		66		7.623		7.623		502		0.57	%		1.40	%		1.40	%		(21.73	)%		(21.73	)%
2021		24		9.283		9.858		238		N/A			N/A			N/A			N/A			N/A
Deutsche DWS Variable Series II:
DWS CROCI® U.S. VIP A
2022		4,502		3.339		23.177		65,867		1.74	%		1.00	%		2.05	%		(17.09	)%		(16.23	)%
2021		4,841		4.028		27.777		85,179		2.01	%		1.00	%		2.05	%		24.14	%		25.43	%
2020		5,386		3.245		22.233		76,166		2.07	%		1.00	%		2.05	%		(13.92	)%		(13.03	)%
2019		6,052		3.769		25.666		93,861		1.97	%		1.00	%		2.05	%		30.28	%		31.64	%
2018		6,546		2.893		19.575		77,218		2.63	%		1.00	%		2.05	%		(12.31	)%		(11.39	)%
DWS CROCI® U.S. VIP B
2022		8		19.114		20.508		152		1.41	%		1.70	%		2.05	%		(17.36	)%		(17.08	)%
2021		8		23.130		24.731		183		1.62	%		1.70	%		2.05	%		23.73	%		24.16	%
2020		8		18.693		19.919		148		1.81	%		1.70	%		2.05	%		(14.17	)%		(13.88	)%
2019		8		21.780		23.129		172		1.58	%		1.70	%		2.05	%		29.82	%		30.27	%
2018		8		16.777		17.754		135		2.22	%		1.70	%		2.05	%		(12.51	)%		(12.21	)%

52

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Notes to Financial Statements

	At December 31,								For the year ended December 31,
	Units   (000s)		Unit Fair Value				Net     Assets (1)     (000s)		Investment     Income Ratio (2)			Expense Ratio (3)						Total Return (4)
			Lowest		Highest							Lowest			Highest			Lowest			Highest
DWS Global Equity VIP A (b)
2021		—	$	4.760	$	34.853	$	—		1.07	%		1.00	%		2.05	%		13.92	%		14.90	%
2020		3,838		4.179		30.508		31,084		0.63	%		1.00	%		2.05	%		22.02	%		23.29	%
2019		4,461		3.425		24.917		29,181		0.53	%		1.00	%		2.05	%		33.52	%		34.91	%
2018		4,999		2.565		18.597		24,336		0.79	%		1.00	%		2.05	%		(12.91	)%		(12.00	)%
DWS Global Income Builder VIP A
2022		5,292		3.367		19.097		64,529		2.84	%		1.00	%		2.25	%		(16.85	)%		(15.82	)%
2021		5,833		4.049		22.825		85,226		2.35	%		1.00	%		2.25	%		8.51	%		9.86	%
2020		6,570		3.731		20.921		85,412		2.96	%		1.00	%		2.25	%		5.90	%		7.21	%
2019		7,420		3.524		19.650		88,792		3.94	%		1.00	%		2.25	%		17.52	%		18.98	%
2018		8,255		2.998		16.631		83,425		3.95	%		1.00	%		2.25	%		(9.71	)%		(8.58	)%
DWS Government Money Market VIP A
2022		20,794		0.798		16.076		68,688		1.23	%		—	%		2.25	%		(0.92	)%		1.31	%
2021		20,150		0.805		16.169		69,256		0.01	%		—	%		2.25	%		(2.19	)%		0.02	%
2020		11,525		0.823		16.475		43,544		0.21	%		—	%		2.25	%		(1.97	)%		0.24	%
2019		6,521		0.840		16.748		22,485		1.68	%		—	%		2.25	%		(0.47	)%		1.77	%
2018		8,042		0.844		16.770		26,575		1.24	%		—	%		2.25	%		(0.85	)%		1.39	%
DWS High Income VIP A
2022		2,072		1.705		22.349		25,808		5.12	%		1.00	%		2.25	%		(10.88	)%		(9.78	)%
2021		2,441		1.913		24.871		33,464		4.73	%		1.00	%		2.25	%		1.72	%		2.97	%
2020		2,765		1.881		24.248		37,035		5.26	%		1.00	%		2.25	%		3.90	%		5.19	%
2019		3,070		1.811		23.144		39,413		5.94	%		1.00	%		2.25	%		13.14	%		14.54	%
2018		3,310		1.600		20.286		37,131		8.38	%		1.00	%		2.25	%		(4.67	)%		(3.49	)%
DWS High Income VIP B
2022		—		21.623		23.199		8		4.72	%		1.70	%		2.05	%		(11.19	)%		(10.89	)%
2021		—		24.349		26.034		9		4.25	%		1.70	%		2.05	%		1.71	%		2.06	%
2020		—		23.940		25.509		9		5.01	%		1.70	%		2.05	%		3.65	%		4.00	%
2019		—		23.098		24.528		9		5.47	%		1.70	%		2.05	%		13.01	%		13.40	%
2018		—		20.438		21.629		8		5.92	%		1.70	%		2.05	%		(4.72	)%		(4.39	)%
DWS International Growth VIP A
2022		506		22.449		22.449		11,356		0.98	%		1.40	%		1.40	%		(29.50	)%		(29.50	)%
2021		587		31.842		31.842		18,699		0.33	%		1.40	%		1.40	%		6.62	%		6.62	%
2020		547		29.865		29.865		16,350		1.36	%		1.40	%		1.40	%		20.99	%		20.99	%
2019		601		24.684		24.684		14,829		1.28	%		1.40	%		1.40	%		29.41	%		29.41	%
2018		643		19.074		19.074		12,256		1.04	%		1.40	%		1.40	%		(17.85	)%		(17.85	)%
DWS Small Mid Cap Growth VIP A
2022		4,855		2.118		27.366		41,098		N/A			1.00	%		2.25	%		(29.60	)%		(28.73	)%
2021		5,170		3.009		38.664		61,937		0.04	%		1.00	%		2.25	%		11.34	%		12.71	%
2020		5,677		2.702		34.540		60,856		0.04	%		1.00	%		2.25	%		27.31	%		28.89	%
2019		6,366		2.123		26.984		54,063		N/A			1.00	%		2.25	%		19.72	%		21.21	%
2018		7,007		1.773		22.418		48,578		N/A			1.00	%		2.25	%		(15.50	)%		(14.45	)%

53

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Notes to Financial Statements

	At December 31,								For the year ended December 31,
	Units   (000s)		Unit Fair Value				Net     Assets (1)     (000s)		Investment     Income Ratio (2)			Expense Ratio (3)						Total Return (4)
			Lowest		Highest							Lowest			Highest			Lowest			Highest
DWS Small Mid Cap Value VIP A
2022		3,413	$	4.321	$	44.132	$	42,049		0.84	%		1.00	%		2.25	%		(17.65	)%		(16.64	)%
2021		3,854		5.237		53.070		55,130		1.35	%		1.00	%		2.25	%		27.63	%		29.21	%
2020		4,094		4.095		41.174		44,356		1.19	%		1.00	%		2.25	%		(2.98	)%		(1.78	)%
2019		4,629		4.213		42.025		49,634		0.76	%		1.00	%		2.25	%		18.84	%		20.31	%
2018		5,347		3.538		35.017		45,858		1.44	%		1.00	%		2.25	%		(17.87	)%		(16.85	)%
DWS Small Mid Cap Value VIP B
2022		4		32.177		34.523		135		0.45	%		1.70	%		2.05	%		(17.82	)%		(17.54	)%
2021		4		39.155		45.680		164		0.91	%		1.70	%		2.05	%		27.43	%		27.87	%
2020		4		30.727		35.724		129		0.93	%		1.70	%		2.05	%		(3.09	)%		(2.76	)%
2019		4		31.708		36.738		133		0.37	%		1.70	%		2.05	%		18.56	%		18.97	%
2018		4		26.744		30.881		117		1.06	%		1.70	%		2.05	%		(18.02	)%		(17.73	)%
Deutsche DWS Investments VIT Funds:
DWS Equity 500 Index VIP A
2022		2,420		33.326		33.326		80,647		1.20	%		1.40	%		1.40	%		(19.46	)%		(19.46	)%
2021		2,499		41.381		41.381		103,413		1.44	%		1.40	%		1.40	%		26.63	%		26.63	%
2020		2,662		32.680		32.680		87,006		1.54	%		1.40	%		1.40	%		16.46	%		16.46	%
2019		2,764		28.061		28.061		77,550		2.01	%		1.40	%		1.40	%		29.38	%		29.38	%
2018		2,885		21.689		21.689		62,564		1.75	%		1.40	%		1.40	%		(5.98	)%		(5.98	)%
Fidelity Variable Insurance Products Funds:
Fidelity VIP Contrafund
2022		461		78.838		131.984		55,394		0.45	%		1.00	%		2.25	%		(27.93	)%		(27.04	)%
2021		510		109.394		180.903		84,274		0.06	%		1.00	%		2.25	%		25.02	%		26.57	%
2020		551		87.499		142.927		72,133		0.24	%		1.00	%		2.25	%		27.69	%		29.27	%
2019		658		68.522		110.561		66,948		0.47	%		1.00	%		2.25	%		28.68	%		30.28	%
2018		725		53.249		84.867		56,758		0.74	%		1.00	%		2.25	%		(8.45	)%		(7.31	)%
Fidelity VIP Equity Income
2022		201		59.033		105.911		19,060		1.85	%		1.00	%		2.25	%		(7.05	)%		(5.90	)%
2021		207		63.507		112.548		20,842		1.93	%		1.00	%		2.25	%		22.15	%		23.66	%
2020		222		51.993		91.016		18,191		1.60	%		1.00	%		2.25	%		4.35	%		5.64	%
2019		249		49.827		86.158		19,403		2.01	%		1.00	%		2.25	%		24.64	%		26.18	%
2018		276		39.977		68.281		17,102		2.24	%		1.00	%		2.25	%		(10.32	)%		(9.21	)%
Fidelity VIP Growth
2022		156		110.315		219.717		31,083		0.58	%		1.00	%		2.25	%		(26.12	)%		(25.20	)%
2021		199		149.310		293.752		53,502		N/A			1.00	%		2.25	%		20.50	%		22.00	%
2020		211		123.904		240.790		46,442		0.07	%		1.00	%		2.25	%		40.73	%		42.47	%
2019		205		88.045		169.012		31,703		0.27	%		1.00	%		2.25	%		31.36	%		32.98	%
2018		224		67.026		127.092		26,055		0.26	%		1.00	%		2.25	%		(2.38	)%		(1.16	)%
Fidelity VIP II Asset Manager
2022		45		42.647		53.995		2,224		1.97	%		1.00	%		2.05	%		(16.64	)%		(15.78	)%
2021		47		51.161		64.109		2,766		1.58	%		1.00	%		2.05	%		7.71	%		8.83	%
2020		52		47.498		58.907		2,831		1.37	%		1.00	%		2.05	%		12.56	%		13.73	%
2019		61		42.197		51.794		2,923		1.77	%		1.00	%		2.05	%		15.87	%		17.08	%
2018		65		36.416		44.239		2,703		1.61	%		1.00	%		2.05	%		(7.26	)%		(6.29	)%

54

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Notes to Financial Statements

	At December 31,								For the year ended December 31,
	Units   (000s)		Unit Fair Value				Net     Assets (1)     (000s)		Investment     Income Ratio (2)			Expense Ratio (3)						Total Return (4)
			Lowest		Highest							Lowest			Highest			Lowest			Highest
Fidelity VIP Index 500
2022		134	$	437.614	$	554.059	$	66,571		1.37	%		1.00	%		2.05	%		(19.85	)%		(19.02	)%
2021		145		546.016		684.202		89,301		1.26	%		1.00	%		2.05	%		26.00	%		27.30	%
2020		156		433.362		537.454		75,754		1.59	%		1.00	%		2.05	%		15.86	%		17.07	%
2019		177		374.026		459.093		73,552		2.00	%		1.00	%		2.05	%		28.71	%		30.05	%
2018		188		290.590		353.012		59,912		1.91	%		1.00	%		2.05	%		(6.42	)%		(5.44	)%
Fidelity VIP II Index 500 - Service Class 2
2022		4		376.692		464.942		1,796		1.16	%		1.25	%		2.25	%		(20.21	)%		(19.42	)%
2021		4		47.802		577.024		2,405		1.03	%		1.25	%		2.25	%		25.44	%		26.67	%
2020		5		38.034		455.516		2,068		1.41	%		1.25	%		2.25	%		15.35	%		16.49	%
2019		5		32.908		391.035		2,049		1.81	%		1.25	%		2.25	%		28.14	%		29.40	%
2018		6		25.632		302.184		1,878		1.54	%		1.25	%		2.25	%		(6.84	)%		(5.91	)%
Franklin Templeton Variable Insurance Products Trust:
FTVIP Franklin Mutual Global Discovery Fund CL 2
2022		263		31.379		39.967		9,894		1.35	%		1.00	%		2.25	%		(6.84	)%		(5.69	)%
2021		286		33.683		42.379		11,421		2.78	%		1.00	%		2.25	%		16.51	%		17.95	%
2020		327		28.911		35.930		11,117		1.91	%		1.00	%		2.25	%		(6.57	)%		(5.41	)%
2019		400		30.943		37.984		14,436		1.61	%		1.00	%		2.25	%		21.63	%		23.14	%
2018		451		25.440		30.847		13,250		2.36	%		1.00	%		2.25	%		(13.18	)%		(12.10	)%
FTVIP Franklin Mutual Shares Fund CL 2
2022		84		22.772		29.005		2,292		1.85	%		1.00	%		2.25	%		(9.46	)%		(8.35	)%
2021		111		25.153		31.646		3,310		3.02	%		1.00	%		2.25	%		16.55	%		17.99	%
2020		122		21.582		26.821		3,088		2.38	%		1.00	%		2.25	%		(7.13	)%		(5.98	)%
2019		134		23.240		28.529		3,616		1.80	%		1.00	%		2.25	%		19.88	%		21.36	%
2018		151		19.387		23.508		3,363		2.48	%		1.00	%		2.25	%		(11.08	)%		(9.97	)%
FTVIP Franklin Rising Dividends Fund CL 2
2022		125		38.968		49.633		5,816		0.75	%		1.00	%		2.25	%		(12.54	)%		(11.45	)%
2021		132		44.552		56.053		6,967		0.90	%		1.00	%		2.25	%		24.00	%		25.53	%
2020		158		35.929		44.652		6,655		1.15	%		1.00	%		2.25	%		13.42	%		14.82	%
2019		197		31.678		38.888		7,265		1.30	%		1.00	%		2.25	%		26.39	%		27.95	%
2018		227		25.064		30.392		6,552		1.29	%		1.00	%		2.25	%		(7.18	)%		(6.02	)%
FTVIP Franklin Small Cap Value Fund CL 2
2022		81		39.916		50.842		3,859		0.93	%		1.00	%		2.25	%		(12.04	)%		(10.95	)%
2021		92		45.380		57.096		4,950		1.16	%		1.00	%		2.25	%		22.61	%		24.13	%
2020		101		37.012		45.999		4,387		1.24	%		1.00	%		2.25	%		2.87	%		4.15	%
2019		115		35.978		44.167		4,784		1.10	%		1.00	%		2.25	%		23.57	%		25.10	%
2018		125		29.116		35.306		4,181		0.94	%		1.00	%		2.25	%		(14.81	)%		(13.74	)%
FTVIP Franklin Strategic Income Fund CL 2
2022		146		14.771		18.813		2,583		4.10	%		1.00	%		2.25	%		(12.71	)%		(11.63	)%
2021		170		16.922		21.290		3,415		3.28	%		1.00	%		2.25	%		(0.14	)%		1.10	%
2020		180		16.945		21.059		3,590		4.83	%		1.00	%		2.25	%		1.15	%		2.41	%
2019		204		16.752		20.564		3,990		5.14	%		1.00	%		2.25	%		5.68	%		6.98	%
2018		231		15.852		19.222		4,223		2.75	%		1.00	%		2.25	%		(4.30	)%		(3.11	)%

55

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Notes to Financial Statements

	At December 31,								For the year ended December 31,
	Units   (000s)		Unit Fair Value				Net     Assets (1)     (000s)		Investment     Income Ratio (2)			Expense Ratio (3)						Total Return (4)
			Lowest		Highest							Lowest			Highest			Lowest			Highest
FTVIP Franklin U.S. Government Fund CL 2
2022		108	$	9.680	$	12.330	$	1,249		1.84	%		1.00	%		2.25	%		(11.73	)%		(10.64	)%
2021		114		10.967		13.799		1,486		2.39	%		1.00	%		2.25	%		(3.99	)%		(2.80	)%
2020		141		11.423		14.196		1,880		4.20	%		1.00	%		2.25	%		1.55	%		2.80	%
2019		104		11.249		13.809		1,358		2.93	%		1.00	%		2.25	%		2.91	%		4.19	%
2018		95		10.930		13.254		1,198		2.46	%		1.00	%		2.25	%		(1.88	)%		(0.66	)%
FTVIP Templeton Developing Markets Fund CL 2
2022		53		25.002		31.847		1,577		2.35	%		1.00	%		2.25	%		(23.70	)%		(22.76	)%
2021		61		32.768		41.228		2,367		0.95	%		1.00	%		2.25	%		(7.82	)%		(6.67	)%
2020		62		35.546		44.177		2,595		3.52	%		1.00	%		2.25	%		—	%		16.02	%
2019		81		31.016		38.075		2,935		1.00	%		1.00	%		2.25	%		(100.00	)%		25.44	%
2018		90		25.032		30.353		2,602		0.87	%		1.00	%		2.25	%		(17.66	)%		(16.63	)%
Invesco Variable Insurance Funds:
Invesco V.I. Capital Appreciation Fund Series II
2022		34		29.455		37.517		1,207		N/A			1.00	%		2.25	%		(32.48	)%		(31.65	)%
2021		37		43.624		54.886		1,923		N/A			1.00	%		2.25	%		19.59	%		21.07	%
2020		43		36.478		45.334		1,827		N/A			1.00	%		2.25	%		33.24	%		34.89	%
2019		53		27.377		33.608		1,691		N/A			1.00	%		2.25	%		32.86	%		34.50	%
2018		55		20.606		24.987		1,302		N/A			1.00	%		2.25	%		(8.04	)%		(6.89	)%
Invesco V.I. Discovery Mid Cap Growth Fund Series II
2022		30		34.002		43.310		1,219		N/A			1.00	%		2.25	%		(32.65	)%		(31.81	)%
2021		32		50.483		63.516		1,882		N/A			1.00	%		2.25	%		16.18	%		17.62	%
2020		34		43.453		54.002		1,711		N/A			1.00	%		2.25	%		37.16	%		38.85	%
2019		36		31.681		38.892		1,312		N/A			1.00	%		2.25	%		35.95	%		37.63	%
2018		35		23.304		28.258		953		N/A			1.00	%		2.25	%		(8.38	)%		(7.24	)%
Invesco V.I. Diversified Dividend Fund Series I
2022		44		14.004		17.839		747		2.05	%		1.00	%		2.25	%		(3.84	)%		(2.65	)%
2021		41		14.563		18.325		712		2.09	%		1.00	%		2.25	%		16.28	%		17.72	%
2020		51		12.525		15.567		751		2.69	%		1.00	%		2.25	%		(2.06	)%		(0.85	)%
2019		57		12.789		15.701		847		3.02	%		1.00	%		2.25	%		22.34	%		23.85	%
2018		64		10.453		12.677		774		2.21	%		1.00	%		2.25	%		(9.62	)%		(8.49	)%
Invesco V.I. Equity and Income Fund Series I
2022		1,176		9.423		9.618		11,180		1.78	%		1.00	%		2.25	%		(9.54	)%		(8.42	)%
2021		882		10.408		10.503		9,193		N/A			1.00	%		2.25	%		(41.11	)%		5.03	%
2020		353		17.673		35.852		6,999		1.83	%		1.00	%		2.25	%		(3.66	)%		(2.47	)%
2019		405		18.193		36.759		8,337		1.36	%		1.00	%		2.25	%		15.97	%		17.41	%
2018		444		15.557		31.309		7,817		1.69	%		1.00	%		2.25	%		(12.97	)%		(11.89	)%
Invesco V.I. Global Fund Series II
2022		298		34.422		43.845		12,285		N/A			1.00	%		2.25	%		(33.43	)%		(32.61	)%
2021		331		51.712		65.061		20,319		N/A			1.00	%		2.25	%		12.64	%		14.03	%
2020		371		45.910		57.056		20,038		0.39	%		1.00	%		2.25	%		24.54	%		26.08	%
2019		432		36.865		45.255		18,522		0.67	%		1.00	%		2.25	%		28.56	%		30.15	%
2018		475		28.675		34.771		15,703		0.82	%		1.00	%		2.25	%		(15.31	)%		(14.26	)%

56

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Notes to Financial Statements

	At December 31,								For the year ended December 31,
	Units   (000s)		Unit Fair Value				Net     Assets (1)     (000s)		Investment     Income Ratio (2)			Expense Ratio (3)						Total Return (4)
			Lowest		Highest							Lowest			Highest			Lowest			Highest
Invesco V.I. Global Real Estate Fund Series I
2022		87	$	23.457	$	29.878	$	2,443		2.79	%		1.00	%		2.25	%		(26.59	)%		(25.68	)%
2021		93		31.951		40.201		3,527		2.72	%		1.00	%		2.25	%		22.95	%		24.47	%
2020		105		25.988		32.298		3,193		4.30	%		1.00	%		2.25	%		(14.25	)%		(13.19	)%
2019		118		30.306		37.204		4,153		4.49	%		1.00	%		2.25	%		20.29	%		21.78	%
2018		124		25.194		30.550		3,600		3.56	%		1.00	%		2.25	%		(8.23	)%		(7.09	)%
Invesco V.I. Global Strategic Income Fund Series II
2022		125		12.646		16.107		1,892		N/A			1.00	%		2.25	%		(13.65	)%		(12.59	)%
2021		142		14.646		18.427		2,468		4.22	%		1.00	%		2.25	%		(5.69	)%		(4.52	)%
2020		149		15.528		19.298		2,708		4.92	%		1.00	%		2.25	%		0.72	%		1.97	%
2019		171		15.417		18.925		3,072		3.41	%		1.00	%		2.25	%		8.17	%		9.51	%
2018		192		14.252		17.281		3,146		4.51	%		1.00	%		2.25	%		(6.65	)%		(5.49	)%
Invesco V.I. Health Care Series I
2022		41		33.775		43.020		1,665		N/A			1.00	%		2.25	%		(15.22	)%		(14.17	)%
2021		44		39.839		50.124		2,063		0.20	%		1.00	%		2.25	%		9.83	%		11.19	%
2020		53		36.274		45.081		2,251		0.29	%		1.00	%		2.25	%		11.94	%		13.33	%
2019		58		32.405		39.780		2,196		0.04	%		1.00	%		2.25	%		29.59	%		31.19	%
2018		68		25.006		30.322		1,956		N/A			1.00	%		2.25	%		(1.33	)%		(0.10	)%
Invesco V.I. Main Street Fund Series II
2022		89		31.178		39.712		3,306		1.04	%		1.00	%		2.25	%		(22.06	)%		(21.10	)%
2021		94		40.004		50.330		4,472		0.52	%		1.00	%		2.25	%		24.43	%		25.97	%
2020		103		32.149		39.953		3,880		1.03	%		1.00	%		2.25	%		11.19	%		12.57	%
2019		121		28.913		35.493		4,055		0.84	%		1.00	%		2.25	%		28.84	%		30.43	%
2018		129		22.441		27.211		3,338		0.94	%		1.00	%		2.25	%		(10.13	)%		(9.01	)%
Invesco V.I. Main Street Small Cap Fund Series II
2022		121		43.402		55.281		6,291		0.24	%		1.00	%		2.25	%		(17.89	)%		(16.87	)%
2021		130		52.856		66.501		8,169		0.19	%		1.00	%		2.25	%		19.57	%		21.05	%
2020		137		44.204		54.936		7,128		0.30	%		1.00	%		2.25	%		17.00	%		18.45	%
2019		164		37.780		46.379		7,186		N/A			1.00	%		2.25	%		23.36	%		24.88	%
2018		184		30.627		37.137		6,507		0.06	%		1.00	%		2.25	%		(12.52	)%		(11.43	)%
Janus Henderson Series:
Janus Henderson Balanced Portfolio I-S
2022		600		65.398		102.599		56,266		1.16	%		1.00	%		2.25	%		(18.24	)%		(17.23	)%
2021		653		79.986		123.953		74,313		0.89	%		1.00	%		2.25	%		14.62	%		16.04	%
2020		713		69.785		106.823		70,134		1.69	%		1.00	%		2.25	%		11.80	%		13.18	%
2019		801		62.422		94.384		69,708		1.93	%		1.00	%		2.25	%		19.89	%		21.38	%
2018		867		52.065		77.762		62,386		2.22	%		1.00	%		2.25	%		(1.55	)%		(0.32	)%
Janus Henderson Enterprise Portfolio I-S
2022		350		103.766		151.703		48,904		0.19	%		1.00	%		2.25	%		(17.79	)%		(16.77	)%
2021		381		126.217		182.273		64,107		0.32	%		1.00	%		2.25	%		14.26	%		15.67	%
2020		426		110.465		157.574		62,115		0.06	%		1.00	%		2.25	%		16.84	%		18.29	%
2019		478		94.540		133.209		59,125		0.21	%		1.00	%		2.25	%		32.50	%		34.14	%
2018		523		71.348		99.303		48,340		0.26	%		1.00	%		2.25	%		(2.62	)%		(1.41	)%

57

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Notes to Financial Statements

	At December 31,								For the year ended December 31,
	Units   (000s)		Unit Fair Value				Net     Assets (1)     (000s)		Investment     Income Ratio (2)			Expense Ratio (3)						Total Return (4)
			Lowest		Highest							Lowest			Highest			Lowest			Highest
Janus Henderson Forty Portfolio I-S
2022		146	$	44.033	$	44.033	$	6,427		0.15	%		1.40	%		1.40	%		(34.47	)%		(34.47	)%
2021		189		67.195		67.195		12,733		0.46	%		1.40	%		1.40	%		21.20	%		21.20	%
2020		164		55.441		55.441		9,106		0.83	%		1.40	%		1.40	%		37.47	%		37.47	%
2019		65		40.329		40.329		2,632		0.21	%		1.40	%		1.40	%		35.27	%		35.27	%
2018		14		29.814		29.814		419		1.14	%		1.40	%		1.40	%		0.57	%		0.57	%
Janus Henderson Global Research Portfolio I-S
2022		439		51.744		74.558		30,134		0.97	%		1.00	%		2.25	%		(21.18	)%		(20.21	)%
2021		481		65.651		93.441		41,547		0.52	%		1.00	%		2.25	%		15.49	%		16.92	%
2020		522		56.845		79.918		38,672		0.66	%		1.00	%		2.25	%		17.42	%		18.87	%
2019		575		48.412		67.231		35,957		1.01	%		1.00	%		2.25	%		26.20	%		27.77	%
2018		629		38.360		52.620		30,837		1.19	%		1.00	%		2.25	%		(8.93	)%		(7.79	)%
Janus Henderson Mid Cap Value Portfolio S-S
2022		63		36.578		46.590		2,767		1.11	%		1.00	%		2.25	%		(7.84	)%		(6.71	)%
2021		69		39.692		49.938		3,214		0.30	%		1.00	%		2.25	%		16.80	%		18.24	%
2020		74		33.984		42.234		2,940		0.96	%		1.00	%		2.25	%		(3.39	)%		(2.19	)%
2019		98		35.175		43.180		3,998		1.06	%		1.00	%		2.25	%		27.19	%		28.76	%
2018		107		27.656		33.535		3,405		0.93	%		1.00	%		2.25	%		(15.73	)%		(14.68	)%
Janus Henderson Research Portfolio I-S
2022		320		52.096		80.519		23,718		0.14	%		1.00	%		2.25	%		(31.43	)%		(30.58	)%
2021		348		75.978		115.995		37,285		0.10	%		1.00	%		2.25	%		17.69	%		19.14	%
2020		386		64.560		97.359		34,836		0.39	%		1.00	%		2.25	%		30.03	%		31.64	%
2019		429		49.650		73.960		29,456		0.47	%		1.00	%		2.25	%		32.54	%		34.18	%
2018		468		37.461		55.120		24,036		0.59	%		1.00	%		2.25	%		(4.73	)%		(3.55	)%
JPMorgan Insurance Trust:
JPMorgan Insurance Trust Core Bond
2022		30		11.781		14.205		414		1.92	%		1.25	%		2.25	%		(14.50	)%		(13.65	)%
2021		31		13.778		16.451		486		1.85	%		1.25	%		2.25	%		(3.53	)%		(2.57	)%
2020		31		14.282		16.885		505		2.16	%		1.25	%		2.25	%		5.47	%		6.51	%
2019		22		13.541		15.853		329		2.34	%		1.25	%		2.25	%		5.80	%		6.84	%
2018		19		12.799		14.838		274		2.51	%		1.25	%		2.25	%		(2.16	)%		(1.19	)%
JPMorgan Insurance Trust MidCap Value
2022		116		32.113		40.585		4,425		0.94	%		1.00	%		2.25	%		(10.18	)%		(9.07	)%
2021		129		35.751		44.632		5,463		0.98	%		1.00	%		2.25	%		27.03	%		28.60	%
2020		145		28.144		34.706		4,777		1.23	%		1.00	%		2.25	%		(1.84	)%		(0.62	)%
2019		162		28.672		34.924		5,375		1.68	%		1.00	%		2.25	%		23.97	%		25.51	%
2018		184		23.127		27.826		4,879		1.01	%		1.00	%		2.25	%		(13.79	)%		(12.71	)%
JPMorgan Insurance Trust Small Cap Core
2022		78		37.558		50.581		3,645		0.43	%		1.00	%		2.25	%		(21.12	)%		(20.15	)%
2021		82		45.319		63.345		4,815		0.55	%		1.00	%		2.25	%		18.71	%		20.18	%
2020		88		38.100		52.707		4,324		0.83	%		1.00	%		2.25	%		11.18	%		12.56	%
2019		100		34.201		46.826		4,395		0.41	%		1.00	%		2.25	%		21.84	%		23.34	%
2018		108		28.016		37.964		3,833		0.41	%		1.00	%		2.25	%		(13.88	)%		(12.81	)%

58

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Notes to Financial Statements

	At December 31,								For the year ended December 31,
	Units   (000s)		Unit Fair Value				Net     Assets (1)     (000s)		Investment     Income Ratio (2)			Expense Ratio (3)						Total Return (4)
			Lowest		Highest							Lowest			Highest			Lowest			Highest
JPMorgan Insurance Trust US Equity Portfolio
2022		23	$	37.152	$	46.955	$	1,031		0.49	%		1.00	%		2.25	%		(20.48	)%		(19.50	)%
2021		23		46.721		58.328		1,287		0.81	%		1.00	%		2.25	%		26.50	%		28.06	%
2020		25		36.935		45.546		1,078		0.68	%		1.00	%		2.25	%		22.51	%		24.02	%
2019		28		30.149		36.725		992		0.90	%		1.00	%		2.25	%		28.86	%		30.45	%
2018		27		23.398		28.152		730		0.94	%		1.00	%		2.25	%		(8.24	)%		(7.10	)%
PIMCO Variable Insurance Trust:
PIMCO PVIT International Bond (U.S. Dollar-Hedged) - Admin (b)
2021		—		—		—		—		2.23	%		1.40	%		1.40	%		—	%		—	%
2020		—		22.696		22.696		4		5.91	%		1.40	%		1.40	%		4.10	%		4.10	%
2019		—		21.803		21.803		4		0.95	%		1.40	%		1.40	%		5.53	%		5.53	%
2018		1		20.661		20.661		12		1.40	%		1.40	%		1.40	%		0.70	%		0.70	%
PIMCO PVIT Low Duration Portfolio - Admin (b)
2021		—		—		—		—		N/A			1.40	%		1.40	%		—	%		—	%
2020		—		15.581		15.581		—		N/A			1.40	%		1.40	%		1.56	%		1.56	%
2019		—		15.341		15.341		—		0.08	%		1.40	%		1.40	%		2.59	%		2.59	%
2018		2		14.953		14.953		30		2.05	%		1.40	%		1.40	%		(1.06	)%		(1.06	)%
Voya Global Resources Trust:
Voya Global High Dividend Low Volatility Portfolio Class S
2022		155		13.670		16.126		2,389		2.39	%		1.00	%		2.05	%		(7.02	)%		(6.05	)%
2021		169		14.701		17.164		2,780		2.31	%		1.00	%		2.05	%		18.14	%		19.37	%
2020		197		12.444		14.379		2,720		2.00	%		1.00	%		2.05	%		(3.08	)%		(2.07	)%
2019		215		12.839		14.683		3,038		2.59	%		1.00	%		2.05	%		18.97	%		20.21	%
2018		237		10.792		12.215		2,796		4.51	%		1.00	%		2.05	%		(10.95	)%		(10.02	)%
Voya Investors Trust:
VY JPMorgan Emerging Markets Equity Portfolio Class I
2022		100		25.075		29.921		2,840		N/A			1.00	%		2.05	%		(27.38	)%		(26.63	)%
2021		109		34.529		40.780		4,244		N/A			1.00	%		2.05	%		(11.66	)%		(10.74	)%
2020		119		39.085		45.685		5,210		0.51	%		1.00	%		2.05	%		31.05	%		32.42	%
2019		144		29.824		34.501		4,775		0.14	%		1.00	%		2.05	%		29.46	%		30.81	%
2018		159		23.036		26.375		4,027		0.85	%		1.00	%		2.05	%		(18.27	)%		(17.42	)%

Notes:

(1) Net Assets equals Contract Owners’ Equity. N/A is noted if the subaccount ceased as an investment option.

(2) This ratio represents dividends recorded by the subaccount from the underlying mutual fund divided by the average net assets. This ratio excludes the Expense Ratio. N/A is noted if the fund did not pay any dividends or subaccount ceased as an investment option.

(3) This ratio represents the annualized contract expenses of the Separate Account, resulting in a direct reduction of unit values, consisting primarily of mortality, expense, and administrative charges. Charges that require redemption of contract owner units are excluded. N/A is noted if the subaccount ceased as an investment option.

59

ZALICO Variable Annuity Separate Account

of Zurich American Life Insurance Company

Notes to Financial Statements

Notes - continued

(4) Total return is calculated using the beginning and ending unit value (before rounding for this presentation), which reflects the changes in the underlying fund values and reductions related to the Expense Ratio, for the period indicated. The Archway product has total returns outside the ranges provided that do not correspond to the minimum or maximum expense ratio. This product invests in shares at the fund level that typically experience additional expenses. This can result in a lower subaccount total return than another product with a higher rider expense ratio. Total returns for periods of less than one year are not annualized. N/A is noted if the subaccount is not an investment option in the applicable period.

(a) Commenced operations on April 30, 2021.

(b) Fund closed during 2021.

(7) Subsequent Events:

The Separate Account has evaluated the effects of events subsequent to December 31, 2022 and through April 24, 2023. All accounting and disclosure requirements related to subsequent events are included in the financial statements, as applicable.

60

Zurich American Life Insurance

Company

Statutory Financial Statements

December 31, 2022, 2021 and 2020

Zurich American Life Insurance Company

Index

December 31, 2022, 2021 and 2020

	Page
Report of Independent Auditors		1-5
Statutory Financial Statements
Statutory Statements of Admitted Assets, Liabilities and Capital and Surplus		6
Statutory Statements of Operations		7
Statutory Statements of Changes in Capital and Surplus		8
Statutory Statements of Cash Flows		9
Notes to Statutory Financial Statements		10-54

Report of Independent Auditors

Board of Directors

Zurich American Life Insurance Company

Opinion

We have audited the statutory-basis financial statements of Zurich American Life Insurance Company (the Company), which comprise the statements of admitted assets, liabilities, and capital and surplus as of December 31, 2022 and 2021, and the related statements of operations, changes in capital and surplus and cash flow for the years then ended, and the related notes to the financial statements (collectively referred to as the “financial statements”).

Unmodified Opinion on Statutory Basis of Accounting

In our opinion, the accompanying financial statements present fairly, in all material respects, the financial position of the Company at December 31, 2022 and 2021, and the results of its operations and its cash flows for the years then ended, on the basis of accounting described in Note 2.

Adverse Opinion on U.S. Generally Accepted Accounting Principles

In our opinion, because of the significance of the matter described in the Basis for Adverse Opinion on U.S. Generally Accepted Accounting Principles section of our report, the financial statements do not present fairly, in accordance with accounting principles generally accepted in the United States of America, the financial position of the Company at December 31, 2022 and 2021, or the results of its operations or its cash flows for the years then ended.

Basis for Opinion

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

1

Basis for Adverse Opinion on US. Generally Accepted Accounting Principles

As described in Note 2 to the financial statements, the Company prepared these financial statements using accounting practices prescribed or permitted by the Illinois Department of Insurance, which is a basis of accounting other than accounting principles generally accepted in the United States of America. The effects on the financial statements of the variances between these statutory accounting practices described in Note 2 and accounting principles generally accepted in the United States of America, although not reasonably determinable, are presumed to be material and pervasive.

Responsibilities of Management for the Financial Statements

Management is responsible for the preparation and fair presentation of the financial statements in accordance with the accounting practices prescribed or permitted by the Illinois Department of Insurance. 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 concem for one year after the date that the financial statements are issued.

Auditor’s Responsibilities for the Audit of the Financial Statements

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

• Exercise profeccional 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.

2

• 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.

Report of Other Auditors on December 31, 2020 Financial Statements

The statutory-basis financial statements of Zurich American Life Insurance Company for the year ended December 31, 2020, were audited by other auditors who expressed an adverse opinion with respect to conformity with U.S. generally accepted accounting principles and an unmodified opinion with respect to conformity with accounting practices prescribed or permitted by the Illinois Department of Insurance on those statements on April 23, 2021.

/s/ Ernst & Young LLP

Chicago, Illinois

April 24, 2023

3

Report of Independent Auditors

To the Board of Directors of Zurich American Life Insurance Company

We have audited the accompanying statutory financial statements of Zurich American Life Insurance Company, which comprise the statutory statements of admitted assets, liabilities and capital and surplus as of December 31, 2020 and December 31, 2019, and the related statutory statements of operations and changes in capital and surplus, and of cash flows for each of the three years in the period ended December 31, 2020.

Management’s Responsibility for the Financial Statements

Management is responsible for the preparation and fair presentation of the financial statements in accordance with the accounting practices prescribed or permitted by the Illinois Department of Insurance. 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.

Auditors’ Responsibility

Our responsibility is to express an opinion on the financial statements based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on our judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, we consider internal control relevant to the Company’s preparation and fair presentation of the financial statements 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, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

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 on the basis of the accounting practices prescribed or permitted by the Illinois Department of Insurance, which is a basis of accounting other than accounting principles generally accepted in the United States of America.

The effects on the financial statements of the variances between the statutory basis of accounting described in Note 2 and accounting principles generally accepted in the United States of America, although not reasonably determinable, are presumed to be material.

PricewaterhouseCoopers LLP, One North Wacker, Chicago, IL 60606

T: (312) 298 2000, F: (312) 298 2001, www.pwc.com/us

4

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” paragraph, the financial statements referred to above do not present fairly, in accordance with accounting principles generally accepted in the United States of America, the financial position of the Company as of December 31, 2020 and December 31, 2019, or the results of its operations or its cash flows for each of the three years in the period ended December 31, 2020.

Opinion on Statutory Basis of Accounting

In our opinion, the financial statements referred to above present fairly, in all material respects, the admitted assets, liabilities and surplus of the Company as of December 31, 2020, and December 31, 2019, and the results of its operations and its cash flows for each of the three years in the period ended December 31, 2020, in accordance with the accounting practices prescribed or permitted by the Illinois Department of Insurance described in Note 2.

Emphasis of Matter

As discussed in Note 6 to the financial statements, the Company has entered into significant transactions with its parent company Zurich Insurance Group Ltd and its affiliates, which are related parties. Our opinion is not modified with respect to this matter.

Other Matter

Our audit was conducted for the purpose of forming an opinion on the statutory-basis financial statements taken as a whole. The supplemental schedule of assets and liabilities, summary investment schedule, schedule of investment risk interrogatories and schedule of reinsurance disclosures (collectively, the “supplemental schedules”) of the Company as of December 31, 2020 and for the year then ended are presented to comply with the National Association of Insurance Commissioners’ Annual Statement

Instructions and Accounting Practices and Procedures Manual and for purposes of additional analysis and are not a required part of the statutory-basis financial statements. The supplemental schedules are the responsibility of management and were derived from and relate directly to the underlying accounting and other records used to prepare the statutory-basis financial statements. The supplemental schedules have been subjected to the auditing procedures applied in the audit of the statutory-basis financial statements and certain additional procedures, including comparing and reconciling such information directly to the underlying accounting and other records used to prepare the statutory-basis financial statements or to the statutory-basis financial statements themselves and other additional procedures, in accordance with auditing standards generally accepted in the United States of America. In our opinion, the supplemental schedules are fairly stated, in all material respects, in relation to the statutory-basis financial statements taken as a whole.

Chicago, Illinois

April 23, 2021

5

Zurich American Life Insurance Company

Statutory Statements of Admitted Assets, Liabilities and Capital and Surplus

December 31, 2022 and 2021

(in thousands of dollars)	2022			2021
Admitted assets
Cash and invested assets:
Fixed maturities, at amortized cost (fair value of $857,315 and $1,018,472, respectively)	$	912,911		$	978,169
Investment in subsidiary		22,145			20,267
Contract loans		176,496			176,642
Cash, cash equivalents and short-term investments		83,377			65,638
Receivables for securities		1,394			2
Total cash and invested assets		1,196,323			1,240,718
Federal income tax receivable		15,922			27,450
Other amounts receivable under reinsurance contracts		29,836			39,996
Deferred and uncollected premiums		20,526			21,477
Investment income due and accrued		20,212			14,671
Guaranty funds receivable or on deposit		36			36
Receivable from separate accounts		49,068			32,654
Receivables from parent, subsidiaries and affiliates		483			347
Net deferred income tax asset		1,535			1,055
Other assets		(385	)		339
Separate account assets		15,695,452			15,521,673
Total admitted assets	$	17,029,008		$	16,900,416
Liabilities and capital and surplus Liabilities:
Life and annuity reserves	$	606,107		$	616,253
Supplemental contracts without life contingencies		4,230			4,538
Claims and benefits payable to policyholders		82,316			77,842
Total policy liabilities		692,653			698,633
Provision for experience rating refunds		390,075			387,362
Other amounts payable on reinsurance		63,265			68,551
Interest maintenance reserve		—			12,717
General expenses due or accrued		3,497			6,546
Transfers to separate accounts due or accrued		(13	)		(18	)
Taxes, licenses and fees due or accrued		9,584			7,050
Asset valuation reserve		3,324			3,354
Payable to affiliates		6,572			10,510
Funds held under coinsurance		2,088			3,073
Commission to agents due or accrued		1,152			1,476
Other liabilities		12,900			15,935
Separate account liabilities		15,695,452			15,521,673
Total liabilities		16,880,549			16,736,862
Capital and surplus:
Capital stock ($10 par value – 300,000 authorized shares; 250,000 shares issued and outstanding)		2,500			2,500
Paid-in and contributed surplus		956,970			956,970
Unassigned deficit		(811,011	)		(795,916	)
Total capital and surplus		148,459			163,554
Total liabilities and capital and surplus	$	17,029,008		$	16,900,416

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

6

Zurich American Life Insurance Company

Statutory Statements of Operations

Years Ended December 31, 2022, 2021 and 2020

(in thousands of dollars)	2022			2021			2020
Income and loss:
Premium and annuity considerations	$	929,619		$	862,797		$	614,100
Considerations for supplemental contracts with life contingencies		11,177			13,220			11,454
Net investment income		29,710			25,190			30,431
Amortization of interest maintenance reserve		188			3,247			2,102
Separate account fees		447,246			405,915			499,783
Separate account losses		(322	)		(557	)		(474	)
Commissions and expense allowances on reinsurance ceded		31,115			47,564			46,693
Fee income from non-variable separate account funds		3,781			3,330			1,596
Other (loss) income		(844	)		1,296			(314	)
Gain on sale — Corporate Life and Pension (see footnote 1)		—			—			22,025
Total income		1,451,670			1,362,002			1,227,396
Benefits and expenses:
Death benefits		394,903			401,310			352,312
Annuity benefits		35,716			33,555			50,256
Disability benefits		23			105			1,239
Surrender benefits		41,324			31,985			27,174
Interest and adjustments on policy or deposit-type contracts		3,298			3,265			(8,512	)
Payments on supplementary contracts with life contingencies		18,569			19,570			19,247
(Decrease) increase in aggregate reserves for life policies and contracts		(10,146	)		10,400			7,724
Commissions		32,535			47,948			77,606
General expenses		34,701			35,485			37,848
Insurance taxes, licenses and fees		15,643			14,638			16,763
Change in loading on deferred and uncollected premiums		65			(91	)		(89	)
Net transfers to separate accounts		702,331			612,898			376,903
Experience rating refunds		88,809			43,477			164,615
Reinsured fees associated with separate accounts		31,967			33,552			31,773
Variable separate account fees ceded and other		69,471			92,223			91,403
Total benefits and expenses		1,459,209			1,380,320			1,246,262
Net loss from operations before federal income taxes and total realized capital losses after taxes		(7,539	)		(18,318	)		(18,866	)
Federal income tax expense (benefit)		3,418			(17,754	)		60,245
Net loss from operations before total realized capital losses after taxes		(10,957	)		(564	)		(79,111	)
Net realized capital (losses) gains before taxes		(23,062	)		2,259			12,613
Less: related federal income tax (benefit) expense		(4,306	)		800			2,776
Less: realized (losses) gains transferred to the interest maintenance reserve		(18,224	)		1,788			9,872
Total realized capital losses after taxes		(532	)		(329	)		(35	)
Net loss	$	(11,489	)	$	(893	)	$	(79,146	)

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

7

Zurich American Life Insurance Company

Statutory Statements of Changes in Capital and Surplus

Years Ended December 31, 2022, 2021 and 2020

(in thousands of dollars)	Capital Stock		Paid-in and Contributed Surplus		Unassigned Deficit			Total Capital and Surplus
Balances at December 31, 2019	$	2,500	$	881,970	$	(718,250	)	$	166,220
Net loss		—		—		(79,146	)		(79,146	)
Change in:
Net unrealized capital losses, net of tax		—		—		1,875			1,875
Nonadmitted assets		—		—		(95,277	)		(95,277	)
Net deferred income tax		—		—		96,887			96,887
Liability for unauthorized reinsurance		—		—		(264	)		(264	)
Asset valuation reserve		—		—		(620	)		(620	)
Paid-in capital		—		75,000		—			75,000
Surplus as a result of reinsurance		—		—		(162	)		(162	)
Interest maintenance reserve generated by transferred coinsurance assets		—		—		(208	)		(208	)
Balances at December 31, 2020	$	2,500	$	956,970	$	(795,165	)	$	164,305
Net loss		—		—		(893	)		(893	)
Change in:
Net unrealized capital gains, net of tax		—		—		65			65
Nonadmitted assets		—		—		12,382			12,382
Net deferred income tax		—		—		(11,921	)		(11,921	)
Liability for unauthorized reinsurance		—		—		317			317
Asset valuation reserve		—		—		(295	)		(295	)
Surplus as a result of reinsurance		—		—		(177	)		(177	)
Interest maintenance reserve generated by transferred coinsurance assets		—		—		(229	)		(229	)
Balances at December 31, 2021	$	2,500	$	956,970	$	(795,916	)	$	163,554
Net loss		—		—		(11,489	)		(11,489	)
Change in:
Net unrealized capital gains, net of tax		—		—		1,878			1,878
Nonadmitted assets		—		—		(12,561	)		(12,561	)
Net deferred income tax		—		—		7,480			7,480
Asset valuation reserve		—		—		30			30
Interest maintenance reserve generated by transferred coinsurance assets		—		—		(433	)		(433	)
Balances at December 31, 2022	$	2,500	$	956,970	$	(811,011	)	$	148,459

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

8

Zurich American Life Insurance Company

Statutory Statements of Cash Flows

Years Ended December 31, 2022, 2021 and 2020

(in thousands of dollars)	2022			2021			2020
Cash flow from operating activities:
Premiums collected, net of reinsurance	$	943,730		$	802,275		$	739,403
Net investment income		25,348			25,534			28,533
Miscellaneous income		480,976			457,548			569,308
Benefits and loss related payments		(488,833	)		(474,105	)		(449,564	)
Net transfers to separate accounts		(702,325	)		(612,726	)		(376,570	)
Commissions, expenses paid and aggregate write-ins for deductions		(269,018	)		(275,158	)		(407,779	)
Federal and foreign income taxes recovered (paid)		12,415			(1,574	)		(69,293	)
Net cash provided by (used in) operations		2,293			(78,206	)		34,038
Cash flow from investing activities:
Proceeds from investments sold, matured or repaid
Fixed maturities		825,829			377,319			521,628
Net gains on cash, cash equivalents and short-term investments		4			1			114
Miscellaneous proceeds		—			677			—
Total investment proceeds		825,833			377,997			521,742
Cost of investments acquired
Fixed maturities		784,132			346,645			595,802
Miscellaneous applications		1,392			10,504			22,372
Total investments acquired		785,524			357,149			618,174
Net (decrease) increase in contract loans		(146	)		(6,451	)		1,291
Net cash provided by (used in) investments		40,455			27,299			(97,723	)
Cash flow from financing activities:
Capital contributions		—			—			75,000
Net deposits on deposit-type funds and other liabilities		(309	)		(114	)		(11,832	)
Other cash (applied) provided		(24,700	)		10,520			3,341
Net cash (used in) provided by financing and miscellaneous sources		(25,009	)		10,406			66,509
Net change in cash, cash equivalents and short-term investments		17,739			(40,501	)		2,824
Cash, cash equivalents and short-term investments:
Beginning of year		65,638			106,139			103,315
End of year	$	83,377		$	65,638		$	106,139

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

9

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

1. The Company and Nature of Operations

Organization and Description of Business

Zurich American Life Insurance Company (“ZALICO” or the “Company”) is a stock life insurance company founded in 1947. The Company is incorporated under the insurance laws of the state of Illinois and is licensed in the District of Columbia and all states, except New York.

The Company is a wholly owned subsidiary of Zurich Holding Company of America, Inc. (“ZHCA”), a Delaware Corporation, which in turn is a wholly owned indirect subsidiary of its ultimate parent company Zurich Insurance Group Ltd. (“ZIG”), of Zurich, Switzerland.

Prior to June 20, 2022, ZALICO was a wholly owned subsidiary of Zurich American Company, LLC (“ZAC”). On June 20, 2022, ZAC merged into ZHCA, with ZHCA as the surviving entity. This merger had no impact on ZALICO or its operations.

Effective September 3, 2003, ZALICO transferred certain of its business, as well as the capital stock of its wholly owned subsidiaries, to a former affiliate, Federal Kemper Life Assurance Company (“FKLA”). In a contemporaneous transaction, FKLA and ZALICO entered into a coinsurance agreement under which FKLA administers the business and the records of, and 100% reinsures, certain lines of business issued by ZALICO, including certain registered variable annuity contracts that are funded through the Company’s Separate Account. These transfers were part of a larger transaction under which the capital stock of FKLA was sold to Bank One Insurance Holdings, Inc. (“Bank One”). On July 1, 2004, Bank One merged into JP Morgan Chase & Co., and FKLA changed its name to Chase Insurance Life and Annuity Company (“Chase Insurance”).

On July 3, 2006, Protective Life Insurance Company of Birmingham, Alabama (“Protective Life”), purchased Chase Insurance. Effective April 1, 2007, Chase Insurance merged with and into Protective Life.

In addition to the above transactions, the Company has entered into various affiliated and unaffiliated reinsurance agreements in order to execute strategic transactions and manage various risks to control its net exposures, and limit the volatility of losses, in an effort to protect capital and surplus. These reinsurance transactions have been disclosed in various sections of the following notes to the statutory financial statements.

The Company markets a variety of life insurance products primarily through independent insurance agents and brokers. The Company’s products include fixed universal life, indexed universal life and level term. The Company also offers a series of private placement products including variable annuity, individual variable universal life and variable life. In December 2022, the Company announced it will discontinue new sales of certain indexed universal life and term life products effective February 1, 2023. See ‘Discontinued Operations’ below for additional information.

Additionally, the Company marketed group term life products, accidental death & dismemberment, group long term disability and short-term disability insurance. These products were primarily sold through the Corporate Life and Pension (“CLP”) business, which was sold to American Family Life Insurance Company of Columbus (“Aflac”) in 2020. See ‘Discontinued Operations’ below for additional information.

The Company had also previously marketed registered individual and group variable, fixed and market value adjusted deferred annuity products (“DESTINATIONS Products”), as well as non-registered group variable universal life (“PPVUL”) and business owned life insurance (“BOLI”).

10

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

Non-Registered Group Life Insurance

The Company marketed PPVUL and BOLI from 1997 to 2003. PPVUL and BOLI are a form of group life insurance, which enables clients to buy variable life insurance on key employees. The policies remain in force until the last insured dies or the policy is surrendered or exchanged. The policyholder has flexibility regarding premiums and the right to allocate premiums to various divisions with differing investment objectives. The policyholders may also borrow from the investment value of the policies, surrender the policies for their cash surrender values or, in some cases, make partial withdrawals from the cash surrender values. Death benefits on the life of any insured are at least equal to the face amount on the individual insured provided the cash value relating to the insured is greater than zero.

The Company records as fees cost of insurance charges taken from the separate accounts, which is recorded as separate account fees. Cost of insurance charges ceded to reinsurers are recorded as a reduction of premiums. The BOLI policies are experience rated contracts with profitability based in part on the policyholder’s mortality experience. Separate account fees collected which are expected to be returned to policyholders due to favorable mortality experience are recorded as a liability in the provision for experience rating refunds. Cost of insurance charges collected in excess of amounts needed to pay death benefits, and to establish mortality reserves, are returned to the policyholder as an experience rating refund expense.

Zurich Insurance Company Ltd. (“ZIC”) offers a stable value protection (“SVP”) option in conjunction with the BOLI policies. The SVP option allows purchasers of the option to make investments into SVP divisions of the Company’s separate accounts. These SVP divisions purchase value protection from a stable value provider which offers smooth or stabilized investment returns over a specified period of time. ZIC provides net amount at risk protection to the Company.

Separate Accounts

The Company maintains separate account assets and liabilities, which are reported at fair value. Separate Accounts reflect two categories of risk assumption: non-guaranteed separate accounts, wherein the contract holder assumes the investment risk, and guaranteed separate accounts, wherein the Company contractually guarantees either a minimum return or account value to the contract holder. Non-guaranteed separate account assets are segregated from other investments. Investment income and gains and losses are credited to or charged against the non-guaranteed accounts without regard to other income, gains or losses of the Company. Mortality, policy administration and surrender charges to all accounts are included in the revenues of the Company. Changes in liabilities for minimum guarantees are included in the life and annuity reserves line item in the financial statements.

BFP Securities LLC

BFP Securities LLC (“BFPS”) and Investment Distributors, Inc. (“IDI”), affiliates of Protective Life, are the principal underwriters for ZALICO’s variable separate accounts. BFPS is also the primary wholesaling distributor of ZALICO’s BOLI and mortality-based funding products. BFPS is a wholly owned subsidiary of Benefit Finance Partners, LLC (“BFP”). BFP is 50% owned by Bancorp Services, L.L.C. (“Bancorp”), an unaffiliated party, and 50% owned by Zurich Benefit Finance LLC (“ZBF”), an affiliate of ZALICO.

Discontinued Operations

In December 2022, the Company announced it will discontinue new sales of certain indexed universal life and term life products effective February 1, 2023. The Company is currently anticipating it will run-off the existing book of business over time and does not anticipate any significant impact related to this decision on its future financial results. The Company did incur severance expense of $1.3 million, which was recorded as a component of general expenses in the accompanying statements of operations, as of December 31, 2022.

11

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

On March 19, 2020, an agreement was executed between ZALICO and the Company’s wholly owned subsidiary, Zurich American Life Insurance Company of New York (“ZALICONY”) (ZALICO and ZALICONY, collectively the “Companies”), ZHCA, ZIC, Aflac and American Family Life Assurance of New York (“Aflac NY”) to sell the Companies’ CLP business. The transaction closed on November 2, 2020. Part of the transaction required the recapture of CLP net liabilities previously ceded to ZIC as of the closing date, and, subsequently, the Companies ceded 100% of the in-force net CLP liabilities to Aflac and Aflac NY through reinsurance agreements dated as of November 2, 2020.

In addition, the Companies and Aflac entered into an agreement with Benefit Harbor LP to transfer the assets and employees of Benefit Harbor Insurance Services, LLC, the third-party administrator for the Companies CLP business. The Companies, Aflac and Aflac NY also entered into Administrative Services Agreements where the Companies will front CLP business directly written by the Companies to Aflac and Aflac NY in exchange for a fronting fee to be determined as a percentage of premiums written and fees collected until Aflac and Aflac NY obtain the proper licensing to write the business directly. Effective January 1, 2023, the Company is no longer fronting for Aflac.

ZALICO recorded a pre-tax gain of $22.0 million in 2020 related to the discontinued operations sold to Aflac, equal to the fair value of consideration received less the costs to sell.

2. Summary of Significant Accounting Policies

Basis of Presentation

The financial statements have been prepared in conformity with accounting practices prescribed or permitted by the Illinois Department of Financial and Professional Regulation (“Illinois Department of Insurance”).

The Illinois Department of Insurance recognizes only Statements of Statutory Accounting Principles (“SSAP” or “statutory basis of accounting”) prescribed or permitted by the State of Illinois for determining and reporting the financial condition and results of operations of an insurance company, and for determining its solvency under the Illinois Insurance Law. The National Association of Insurance Commissioners’ (“NAIC”) Accounting Practices and Procedures Manual version effective January 1, 2001 (“the Manual”) has been adopted as a component of prescribed or permitted practices by the State of Illinois.

The statutory basis of accounting differs from accounting principles generally accepted in the United States of America (“US GAAP”) in certain respects, which in some cases may be material. The most significant of these differences are as follows:

• Cash and cash equivalents consist of cash on hand, deposits in banks and other investments, with an original maturity of 90 days or less. Cash and cash equivalents are carried at cost, which approximates fair value as required by the NAIC. Investments in money market mutual funds are carried at fair value or net asset value (“NAV”). Under US GAAP, cash and cash equivalents are carried at fair value and have a maturity of 12 months or less;

• Fixed maturities are carried at cost, adjusted for amortization of premium or discount. Fixed maturities with NAIC designations of 6 are reported at the lower of amortized cost or fair value. All other fixed maturities are reflected at amortized cost. Discount or premium on fixed maturities is amortized using the interest method on a prospective basis. A yield to worst amortization method is used to take into consideration any fixed maturity call or sinking fund feature. Under US GAAP, fixed maturities are reported at fair value or amortized cost based upon management’s intent as to whether fixed maturities are available for sale or will be held until maturity. Differences between cost and admitted asset investment carrying amounts are credited and charged directly to unassigned surplus rather than to a separate component of stockholder’s equity and other comprehensive income;

12

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

• Included within the fixed maturities, loan-backed securities are amortized using the interest method including anticipated prepayments at the date of purchase. Prepayment assumptions for single class and multi-class mortgage-backed/asset-backed securities were obtained from the respective asset managers and the prepayment windows and/or cash flows were obtained from Bloomberg. Loan-backed securities with evidence of deterioration of credit quality for which it is probable that the Company will be unable to collect all contractually required payments receivable are written down to the present value of expected cash flows to be received. Under US GAAP, fixed maturities are reported at fair value or amortized cost based upon management’s intent as to whether fixed maturities are available for sale or will be held until maturity;

• Investments in United States (“US”) insurance company common stocks are not consolidated as required by US GAAP, and are carried at the underlying audited statutory equity of the insurance company, with equity in earnings being recorded directly to unassigned surplus as net unrealized gains or losses rather than recorded through the statements of operations;

• The asset valuation reserve (“AVR”) is determined by NAIC prescribed formulas, which establish a provision for the risk of asset defaults and is reported as a liability with changes recorded directly to unassigned surplus. Under US GAAP, no such liability is established;

• An interest maintenance reserve (“IMR”) is required under SSAP in order to defer certain realized investment gains and losses, net of tax, related to interest rate fluctuations, and to amortize such gains and losses through operating income over the remaining life of the securities sold. Any net unamortized deferred losses are nonadmitted and charged directly to unassigned surplus. No such reserve is required by US GAAP;

• Life and annuity reserves under statutory accounting practices are based on statutory mortality, morbidity and interest requirements without consideration of withdrawals and Company experience. Under the statutory basis of accounting, the NAIC Reserve Valuation Method is used for the majority of individual insurance reserves; under US GAAP, individual insurance policyholder liabilities for traditional forms for insurance are generally established using the net premium method. For interest-sensitive policies, a liability for policyholder account balances is established under GAAP based on the contract value that has accrued to the benefit of the policyholder. Policy valuation assumptions used in the estimation of policyholder liabilities are generally prescribed under SSAP; under US GAAP, policy valuation assumptions are based upon best estimates as of the date the policy is issued, with provisions for the risk of adverse deviation;

• Certain contracts, in particular deferred annuities with mortality risk, are considered “life contracts” under SSAP and, accordingly, premiums associated with these contracts are reported as revenues. Under US GAAP, the Company’s deferred annuities are classified as either “insurance contracts” or “investment contracts” and, accordingly, for those annuities, premiums are not reported as revenues. Amounts received for investment contracts are also not reported as policy liabilities and insurance reserves under US GAAP;

• Under SSAP, the Commissioner’s Annuity Reserve Valuation Method (“CARVM”) is used for the majority of individual deferred annuity reserves. Under US GAAP, individual deferred annuity policyholder liabilities are generally equal to the contract value that has accrued to the benefit of the policyholder, in addition to liabilities for certain guarantees under variable annuity contracts;

• Under statutory accounting practices, costs of acquiring new business are charged to operations in the year such costs are incurred. Under US GAAP, such costs are deferred and amortized over the premium-paying period of the policies for traditional products, or as a level percentage of gross profits for interest sensitive products;

13

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

• Under statutory accounting practices, premiums are recognized as revenues when due. For US GAAP purposes, premiums for traditional life insurance products, which include those products with fixed and guaranteed premiums and benefits and consist principally of whole and term life insurance policies, are recognized as revenues when due. Revenues for universal life insurance policies and for investment products consist of policy charges for the cost of insurance, interest earned, policy administration charges and surrender charges assessed against policyholder account balances during the year. Expenses related to these products include interest credited to policy account balances, benefit claims incurred in excess of policy account balances and commissions and expense allowances on reinsurance assumed. Revenues also include commissions and expense allowances on reinsurance ceded and reserve adjustments on reinsurance ceded. Under the statutory basis of accounting, deferred premiums, representing gross premiums less loading, are reported as an admitted asset. Under US GAAP, uncollected premiums are stated at gross amounts and deferred premiums are reflected as a reduction of the related aggregate reserve. Contracts that contain an embedded derivative are not bifurcated between components and are accounted for as part of the host contract, whereas under US GAAP, the embedded derivative would be bifurcated from the host contract and accounted for separately;

• Assets and liabilities are reported gross of reinsurance under US GAAP and net of reinsurance under the statutory basis of accounting. Certain reinsurance transactions are accounted for as financing transactions under US GAAP and as reinsurance for SSAP. Transactions recorded as financing have no impact on premiums or losses incurred, while under the statutory basis of accounting, premiums paid to the reinsurer are recorded as ceded premiums (a reduction in revenue) and expected reimbursement for losses from the reinsurer are recorded as a reduction in losses. Reserves and reinsurance recoverables on unpaid claims on reinsured business are netted with aggregate reserves and the liability for life policy claims, respectively. Under US GAAP, these reinsured amounts are reflected as an asset;

• Deferred income taxes are provided for temporary differences between the financial statement and tax bases of assets and liabilities at the end of each year based on enacted tax rates. Deferred income tax assets are reduced by a valuation allowance if it is more likely than not that some portion or all of the deferred tax assets will not be realized. Net deferred tax assets are limited to their admissible amount according to a prescribed formula. Changes in deferred income tax assets and liabilities are reported as adjustments to surplus. Comprehensive income is not determined for statutory reporting purposes. Under US GAAP, most changes in deferred income taxes are included in income tax expense or benefit and are allocated to continuing operations, discontinued operations, extraordinary items and items charged directly to shareholders’ equity. There are no admissibility considerations under US GAAP;

• Certain assets are considered nonadmitted assets for statutory purposes and any changes in such assets are credited or charged directly to unassigned surplus. There are no nonadmitted assets for US GAAP purposes; and

• The statutory statement of cash flows is presented as required and differs from US GAAP presentation. The Company defines cash as cash in banks and money market accounts and considers all highly liquid investments, with maturity of one year or less when purchased, to be short-term investments.

14

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

Investments

Investments are valued as prescribed by the NAIC and as required by the Illinois Department of Insurance. All security transactions are recorded on a trade date basis.

The Company’s investment in the common stock of its wholly owned insurance subsidiary is accounted and reported under the equity method as described in SSAP No. 97, “Investments in Subsidiary, Controlled and Affiliated Entities,” and valued in accordance with section 3(ii) (D) of the NAIC Valuations Securities manual and reported based on the audited statutory capital and surplus of the subsidiary. Changes in the carrying value of such investments are reflected as unrealized gains or losses in capital and surplus.

The Company records short-term investments at cost or amortized cost.

Contract loans are carried at the aggregate of the unpaid balance provided the unpaid balance does not exceed either cash surrender value of the policy or the policy reserves. The excess of the unpaid loan balance over the cash surrender value is nonadmitted and reflected as an unrealized capital loss.

Upon default or indication of potential default by an issuer of fixed maturity securities, other than mortgage-backed securities, the issue(s) of such issuer would be analyzed for possible write-down. Any such issue would be written down to its net realizable value (or “fair value”) during the year in which the impairment was determined to have become other than temporary. Thereafter, each issue is regularly reviewed, and additional write-downs may be taken in light of later developments. Write-downs are included as part of net realized capital gains and losses. All loan-backed and structured securities were reviewed to determine if there were any indications of potential for other than temporary impairment classification (“OTTI”). Where such an indication existed, cash flow and credit support analyses were performed. If it was determined that the Company was to receive less than 100% of contractual cash flows, the OTTI impact was measured and recorded in accordance with SSAP 43R, “Loan-Backed and Structured Securities.”

In determining fair market value, for the majority of securities, quotes were obtained from third party sources. If quotes from these sources were not available, a broker estimate was used.

Investment income is recorded when earned. All investment income due and accrued amounts that are over 90 days past due, are excluded from surplus. The Company had no investment income due and accrued that was over 90 days past due at December 31, 2022. The Company had $1,134 investment income due and accrued that was over 90 days past due at December 31, 2021.

Realized gains or losses on sales of investments, determined on the basis of identifiable cost on the disposition of the respective investment, which are not transferred to the IMR and write-downs are credited or charged to income or loss, net of applicable federal income tax. Unrealized gains and losses are credited or charged to surplus, net of deferred tax.

Life and Annuity Reserves

Liabilities for policy reserves on annuity contracts are calculated based on CARVM. Interest crediting rates under the contracts’ accumulation periods range from 0% to 7%. Guarantee periods range from one to ten years with minimum interest rate guarantees ranging from 0% to 5%.

Liabilities for life policy reserves and interest-sensitive life insurance contracts are based on statutory mortality and interest requirements without consideration of withdrawals. Liabilities for the majority of these contracts are calculated based on the 1980 Commissioner’s Standard Ordinary (“CSO”) table assuming interest rates ranging from 0% to 6%.

15

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

The Company waives deduction of deferred fractional premiums upon death of the insured and returns the portion of the final premium paid beyond the policy month of death. Surrender values promised in excess of the legally computed reserves, if any, would be included as a component of reserves.

Extra premiums are charged for policies issued on substandard lives according to underwriting classifications. Final reserves are determined by computing the mid-terminal reserve for the plan and holding an additional one half of the net valuation premium for the modal period.

Use of Estimates

The preparation of financial statements in conformity with accounting practices prescribed or permitted by the Illinois Department of Insurance requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

Guaranty Fund Assessments

The Company is liable for guaranty fund assessments (“GFA”) related to certain unaffiliated life insurance companies that have become insolvent during the years 2022 and prior. The Company’s financial statements include provisions for all known assessments that are expected to be levied against the Company as well as an estimate of amounts (net of expected future premium tax recoveries) that the Company believes will be assessed in the future. According to SSAP No. 35R, “Guaranty Fund and Other Assessments,” such liabilities and estimated premium tax credits, as well as the estimated GFA recoverable for the ceded portion of the future liabilities, are presented separately in the balance sheet. The majority of the GFA liability is ceded to Protective Life.

The Company’s guaranty fund liability is $10,263,000 and $10,298,000 at December 31, 2022 and 2021, respectively. Amounts recoverable from reinsurers related to GFA liabilities are $9,511,000 and $9,545,000 at December 31, 2022 and 2021, respectively. The amount and period over which the GFA liabilities are expected to be paid varies by insolvency. Future premium tax recoveries total $36,000 at both December 31, 2022 and 2021. Premium tax recoveries vary by state and generally range between five to twenty years.

Separate Accounts

The assets of the separate accounts represent segregated funds administered and invested by the Company for purposes of funding variable annuity and variable life insurance contracts for the exclusive benefit of variable annuity and variable life insurance contract holders. The Company receives administrative fees from the separate accounts and retains varying amounts of withdrawal charges to cover expenses in the event of early withdrawals by contract holders.

The assets and liabilities of the separate accounts are carried at the fair value of the underlying contracts. The difference between the fair values of the contracts, and their termination value, is recorded as a negative liability for transfers to separate accounts due or accrued. Changes in termination value of the contracts are recognized through the Company’s net loss from operations as a component of net transfers to (from) the separate accounts rather than directly to surplus. The assets are invested primarily in a series of mutual funds managed by other unaffiliated mutual fund managers.

16

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

Reinsurance

In the ordinary course of business, the Company enters into reinsurance agreements to diversify risk and limit its overall financial exposure to certain blocks of annuities and to individual death claims and other claims. Although these reinsurance agreements contractually obligate the reinsurers to reimburse the Company, they do not discharge the Company from its primary liabilities and obligations to policyholders. An additional protection is the existence of a security trust. Several of the Company’s reinsurance contracts require that the reinsurer fund a trust and/or letters of credit, with the fair value of the assets at least equal to the book value of the statutory liabilities reinsured.

Federal Income Taxes

The Company has applied SSAP No. 101, “Income Taxes.” Income tax incurred is recognized by applying the enacted income tax law. Deferred income taxes are provided for temporary differences between the financial statement and tax bases of assets and liabilities at the end of each year based on enacted tax rates. Changes in admitted deferred tax assets (“DTA”) and liabilities (“DTL”) are recognized as adjustments to surplus. DTAs are first subjected to a valuation allowance assessment.

Net DTAs remaining after the valuation allowance assessment are considered admitted assets based upon specific criteria, which consider the reversal pattern of DTAs and surplus. The reversal pattern and surplus limitation parameters in the admission tests are determined based on the risk-based capital levels.

The Company records interest and penalties related to income tax contingencies as a component of income tax expense.

Nonadmitted Assets

Certain assets, designated as “nonadmitted assets,” such as investment income due and accrued exceeding 90 days, deferred income tax in excess of permitted amounts, a negative IMR, electronic data processing equipment and software, etc., have been excluded from the statutory statements of admitted assets, liabilities and capital and surplus through a direct charge against unassigned surplus.

3. Investments

The components of investment income by type of investment for the years ended December 31, 2022, 2021 and 2020 are as follows:

(in thousands of dollars)	2022			2021			2020
Fixed maturities	$	25,385		$	22,836		$	26,345
Contract loans		6,022			4,754			6,325
Cash, cash equivalents and short-term investments		1,169			39			427
Other		—			102			—
Gross investment income		32,576			27,731			33,097
Less: Investment expenses		(2,866	)		(2,541	)		(2,666	)
Net investment income	$	29,710		$	25,190		$	30,431

17

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

Investment expenses included the following fees paid to the Company’s various affiliated and non-affiliated investment managers:

(in thousands of dollars)	2022		2021		2020
Fees paid to investment managers:
Affiliated investment managers:
Zurich Investment Services Limited	$	217	$	228	$	304
Zurich Global Investment Management		1,080		886		892
Farmers Group Inc.		125		115		131
Non-affiliated investment managers:
Prudential Private Placement Investors L.P.		209		200		201
DWS Investment Management Americas, Inc.		217		236		267
Pinebridge Investments LLC		162		199		229
Goldman Sachs Asset Management, L.P.		418		382		289
Custody fees		431		288		346
Other investment expenses		7		7		7
Total investment expenses	$	2,866	$	2,541	$	2,666

Realized Gains and Losses

Realized gains and losses on sales, redemptions and impairments of investments are determined based on the actual cost of the securities based on specific identification.

Realized investment gains (losses) for the years ended December 31, 2022, 2021 and 2020 are as follows:

(in thousands of dollars)	2022			2021			2020
Fixed maturities	$	(23,064	)	$	2,263		$	12,496
Cash, cash equivalents, and short term		2			(4	)		117
		(23,062	)		2,259			12,613
Less: Capital gains tax (expense) benefit		4,306			(800	)		(2,776	)
		(18,756	)		1,459			9,837
Less: IMR transfers net of tax		18,224			(1,788	)		(9,872	)
Total realized capital losses after taxes	$	(532	)	$	(329	)	$	(35	)

18

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

Unrealized Gains and Losses on Fixed Maturities

Amortized cost, gross unrealized gains, gross unrealized losses, and estimated fair value of fixed maturities, as of December 31, 2022 and 2021 are as follows:

(in thousands of dollars)	2022
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
Fixed maturities
U.S. government	$	298,843	$	135	$	(12,537	)	$	286,441
Other governments		9,854		—		(717	)		9,137
Political subdivisions		4,255		239		(104	)		4,390
Special revenues		73,601		581		(6,101	)		68,081
Industrial and miscellaneous (unaffiliated)		526,358		2,871		(39,963	)		489,266
Total fixed maturities	$	912,911	$	3,826	$	(59,422	)	$	857,315

(in thousands of dollars)	2021
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
Fixed maturities
U.S. government	$	358,221	$	3,321	$	(2,954	)	$	358,588
Other governments		10,933		101		(101	)		10,933
Political subdivisions		4,266		1,210		(5	)		5,471
Special revenues		75,805		5,228		(593	)		80,440
Industrial and miscellaneous (unaffiliated)		528,944		35,970		(1,874	)		563,040
Total fixed maturities	$	978,169	$	45,830	$	(5,527	)	$	1,018,472

19

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

Unrealized Losses on Fixed Maturities

Fair value and gross unrealized losses of fixed maturities as of December 31, 2022 and 2021 for securities that were in an unrealized loss position were as follows:

(in thousands of dollars)	2022
	Unrealized Losses Less Than 12 Months					Unrealized Losses Greater Than 12 Months
	Gross Estimated Fair Value		Gross Unrealized Losses			Gross Estimated Fair Value		Gross Unrealized Losses
Fixed maturities
U.S. government	$	191,430	$	(4,756	)	$	66,885	$	(7,693	)
Other governments		2,717		(33	)		6,420		(684	)
U.S. political subdivisions bonds		379		(60	)		197		(44	)
U.S. special revenues bonds		17,336		(1,462	)		1,678		(125	)
Industrial and miscellaneous		232,463		(17,415	)		88,264		(14,949	)
Loan-backed securities		97,717		(5,894	)		45,702		(6,307	)
Total fixed maturities	$	542,042	$	(29,620	)	$	209,146	$	(29,802	)

(in thousands of dollars)	2021
	Unrealized Losses Less Than 12 Months					Unrealized Losses Greater Than 12 Months
	Gross Estimated Fair Value		Gross Unrealized Losses			Gross Estimated Fair Value		Gross Unrealized Losses
Fixed maturities
U.S. government	$	209,937	$	(1,342	)	$	40,695	$	(1,612	)
Other governments		6,244		(101	)		—		—
U.S. political subdivisions bonds		300		(5	)		—		—
U.S. special revenues bonds		4,372		(21	)		3,759		(103	)
Industrial and miscellaneous		77,963		(1,161	)		11,463		(450	)
Loan-backed securities		51,637		(588	)		9,364		(144	)
Total fixed maturities	$	350,453	$	(3,218	)	$	65,281	$	(2,309	)

As of December 31, 2022 and 2021, fixed maturities represented 100% of the Company’s total unrealized loss amount for both years and totaled 1,080 and 357 securities, respectively.

As of December 31, 2022 and 2021, fixed maturities in an unrealized loss position for less than 12 months were comprised of 714 and 303 securities, respectively.

Fixed maturities in an unrealized loss position for greater than 12 months as of December 31, 2022 and 2021 were comprised of 366 and 54 securities, respectively. The Company recognized OTTI on fixed maturities of $1,048 in 2022. The Company did not recognize OTTI on fixed maturities investments in 2021.

The majority of these securities are investment grade fixed maturities and the decline in fair value is attributed to changes in interest rates and not credit quality. As the Company has the ability and intent to hold these investments until a recovery of fair value which may be at maturity, the Company does not consider these investments to be other-than temporarily-impaired at December 31, 2022 or 2021.

20

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

Loan-Backed Securities

Loan-backed securities with evidence of deterioration of credit quality, for which it is probable that the Company will be unable to collect all contractually required payments receivable, are written down to the present value of expected cash flows to be received. In determining the impairments for loan-backed securities, a review of default rate, credit support and other key assumptions is made on the security level.

Loan-backed securities impaired, as their carrying value was less than the present value of their projected cash flows that were held as of December 31, 2022, were as follows:

2022
CUSIP Identification	Book/Adjusted Carrying Value Amortized Cost Before Current Period OTTI		Present Value of Projected Cash Flows		Recognized Other-Than- Temporary Impairment		Amortized Cost After OTTI		Fair Value at Time of OTTI		Date of Financial Statement Where Reported
22540VG71	$	36,525	$	35,477	$	1,048	$	35,477	$	37,782		6/30/22
Total	$	36,525	$	35,477	$	1,048	$	35,477	$	37,782

As of December 31, 2021, there were no impaired loan-backed securities.

Concentrations of Credit Risk

The Company is not exposed to any significant concentration of credit risk of a single or group non-governmental issuer. Concentration of credit risk could exist when changes in economic, industry or geographic factors similarly affect groups of counter-parties whose aggregate credit exposure is material in relation to the Company’s total exposure.

Maturities of Fixed Maturities

The amortized cost and estimated fair value of fixed maturities, by contractual maturity, at December 31, 2022 and 2021 are shown below. Expected maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties and because mortgage-backed securities provide for periodic payments throughout their life. As the stated maturities of such securities may not be indicative of actual maturities, the totals for mortgage-backed securities are shown separately.

21

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

(in thousands of dollars)	2022				2021
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Due in 1 year or less	$	27,616	$	27,188	$	66,169	$	66,514
Due after 1 year through 5 years		421,559		404,598		407,220		411,590
Due after 5 years through 10 years		181,390		163,561		228,161		233,418
Due after 10 years		120,620		112,211		110,611		138,132
		751,185		707,558		812,161		849,654
Mortgage-backed securities		161,726		149,757		166,008		168,818
	$	912,911	$	857,315	$	978,169	$	1,018,472

Proceeds from sold, matured or repaid fixed maturities and gross realized gains and losses for the years ended December 31, 2022, 2021 and 2020 are as follows:

(in thousands of dollars)	Gross Gains		Gross Losses			Proceeds
2022
Long term fixed maturities	$	858	$	(23,922	)	$	825,829
Short term fixed maturities		2		(6	)		2,554
2021
Long term fixed maturities	$	4,371	$	(2,142	)	$	377,319
Short term fixed maturities		1		—			9,292
2020
Long term fixed maturities	$	12,952	$	(502	)	$	521,628
Short term fixed maturities		1		—			12,094

22

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

Restricted Assets

As of December 31, 2022 and 2021, the Company has the following restricted assets held at amortized cost, which were on deposit with various states to satisfy regulatory requirements:

Gross Restricted																				Percentage
(in thousands of dollars)
	1		2		3		4		5		6		7			8		9		10			11
Restricted Asset Category	Total General Account (G/A)		G/A Supporting Protected Cell Account Activity		Total Separate Account (S/A) Restricted Assets		S/A Assets Supporting G/A Activity		Total		Total From Prior Year		Increase/ Decrease			Total Non- Admitted Restricted		Total Current Year Admitted Restricted		Gross Restricted to Total Assets			Admitted Restricted to Total Admitted Assets
2022
On deposit with states regulatory bodies	$	4,365	$	—	$	—	$	—	$	4,365	$	3,959	$	406		$	—	$	4,365		0.03	%		0.03	%
Total restricted assets	$	4,365	$	—	$	—	$	—	$	4,365	$	3,959	$	406		$	—	$	4,365		0.03	%		0.03	%
2021
On deposit with states regulatory bodies	$	3,959	$	—	$	—	$	—	$	3,959	$	3,973	$	(14	)	$	—	$	3,959		0.02	%		0.02	%
Total restricted assets	$	3,959	$	—	$	—	$	—	$	3,959	$	3,973	$	(14	)	$	—	$	3,959		0.02	%		0.02	%

The fair value of these securities was $4,098,257 and $3,950,987 as of December 31, 2022 and 2021, respectively.

23

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

4. Fair Value of Financial Instruments

The Company’s financial assets and liabilities carried at fair value have been classified, for disclosure purposes, based on a hierarchy defined by SSAP No. 100R, “Fair Value.” 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 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 Securities valued based on directly observable market prices and are traded in active markets; securities valued on unadjusted quoted prices, if not actively traded. Level 1 securities include money market funds and exchange traded equity and derivative securities.

Level 2 Quoted prices in markets that are not active or significant inputs that are observable either directly or indirectly. Level 2 inputs include the following:

a. Quoted prices for similar assets or liabilities in active markets;

b. Quoted prices for identical or similar assets or liabilities in nonactive markets;

c. Inputs other than quoted market prices that are observable; and

d. Inputs that are derived principally from or corroborated by observable market data through correlation or other means.

Level 3 Prices or valuation techniques that require inputs that are both unobservable and significant to the overall fair value measurement. These measurements include circumstances in which there is little, if any, market activity for the asset or liability and reflect management’s own judgments about the assumptions a market participant would use in pricing the asset or liability.

At the end of each reporting period, the Company evaluates whether or not an event has occurred that would transfer any of these securities between Level 1 and Level 2. This policy also applies to transfers in and out of Level 3.

24

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

Fair Values of Financial Instruments and its Levels within Fair Value Hierarchy

The following table provides information as of December 31, 2022 and 2021 about the fair values and certain admitted values of the Company’s financial instruments and its levels within the fair value hierarchy:

(in thousands of dollars)	2022
Type of Financial Instrument	Aggregate Fair Value		Admitted Assets		Level 1		Level 2		Level 3		Not Practicable (Carrying Value)
Assets
Fixed maturities	$	857,315	$	912,911	$	—	$	853,513	$	3,802	$	—
Cash, cash equivalents and short-term investments		83,377		83,377		64,866		18,511		—		—
Receivable for securities		1,394		1,394		1,394		—		—		—
Contract loans		176,496		176,496		—		—		—		176,496
Investment income due and accrued		20,212		20,212		20,212		—		—		—
Separate account assets		15,695,452		15,695,452		2,178,197		11,943,898		1,573,357		—
Total assets	$	16,834,246	$	16,889,842	$	2,264,669	$	12,815,922	$	1,577,159	$	176,496
Liabilities
Deposit type contracts	$	4,230	$	4,230	$	—	$	4,230	$	—	$	—
Separate account liabilities		15,695,452		15,695,452		—		15,695,452		—		—
Total liabilities	$	15,699,682	$	15,699,682	$	—	$	15,699,682	$	—	$	—

(in thousands of dollars)	2021
Type of Financial Instrument	Aggregate Fair Value		Admitted Assets		Level 1		Level 2		Level 3		Not Practicable (Carrying Value)
Assets
Fixed maturities	$	1,018,472	$	978,169	$	—	$	1,015,913	$	2,559	$	—
Cash, cash equivalents and short-term investments		65,638		65,638		65,638		—		—		—
Receivable for securities		2		2		2		—		—		—
Contract loans		176,642		176,642		—		—		—		176,642
Investment income due and accrued		14,671		14,671		14,671		—		—		—
Separate account assets		15,521,673		15,521,673		2,662,302		11,516,480		1,342,891		—
Total assets	$	16,797,098	$	16,756,795	$	2,742,613	$	12,532,393	$	1,345,450	$	176,642
Liabilities
Deposit type contracts	$	4,538	$	4,538	$	—	$	4,538	$	—	$	—
Separate account liabilities		15,521,673		15,521,673		—		15,521,673		—		—
Total liabilities	$	15,526,211	$	15,526,211	$	—	$	15,526,211	$	—	$	—

25

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

Changes in Level 3 Assets Measured at Fair Value

The following table summarizes the changes in Separate Account assets classified as Level 3 for the years ended December 31, 2022 and 2021. Gains and losses reported in this table may include changes in fair value that are attributable to both observable and unobservable inputs.

(in thousands of dollars)	Separate Account Assets
	Beginning Fair Value		Total Gains/ (Losses) Included in Net Income			Total Gains/ (Losses) Included in Surplus		Purchases		Sales			Transfer in/(out) of Level 3		Ending Fair Value
2022	$	1,342,891	$	(66,195	)	$	12,578	$	340,132	$	(56,049	)	$	—	$	1,573,357
2021	$	1,030,100	$	113,497		$	6,797	$	243,146	$	(50,649	)	$	—	$	1,342,891

Methods and Assumptions to Estimate Fair Value of Financial Instruments

The following methods and assumptions were used to estimate the fair value of financial instruments as of December 31, 2022 and 2021:

• Fixed maturities - The estimated fair value of fixed maturities is valued in accordance with the NAIC’s Purposes and Procedures Manual of the Securities Valuation Office (“SVO”). Fair value is based upon quoted market prices, dealer quotes, and prices obtained from independent pricing services, generally broker dealers. Unless representative trades of securities actually occurred at year end, these quotes are generally estimates of fair value based on an evaluation of appropriate factors such as trading in similar securities, yields, credit quality, coupon rate, maturity, type of issues and other market data.

• Cash, cash equivalents and short-term investments - The carrying amounts of these items approximate fair value.

• Contract loans - The carrying amounts of these items approximate fair market values because interest rates are generally variable and based on current market rates.

• Deposit-type contracts - The estimated fair value is currently equal to book value and is based on the present value of the future payments.

• The separate account assets are carried at fair value based on the reported NAV per share of the respective portfolios at December 31, 2022 and 2021. Accumulation values are computed daily based on the change in fair market value of the NAV of the subaccount less mortality and expense risk charges for the subaccount. The carrying amounts of the separate account liabilities are a reasonable estimate of their fair value.

26

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

5. Income Taxes

Components of DTAs and DTLs at December 31, 2022 and 2021, as well as the related changes, comprise the following components:

(in thousands of dollars)	2022
	Ordinary		Capital		Total
Gross deferred tax assets	$	168,845	$	1,677	$	170,522
Deferred tax assets nonadmitted		161,907		141		162,048
Subtotal net admitted deferred tax asset		6,938		1,536		8,474
Deferred tax liabilities		6,938		1		6,939
Net admitted deferred tax asset	$	—	$	1,535	$	1,535

(in thousands of dollars)	2021
	Ordinary		Capital		Total
Gross deferred tax assets	$	161,764	$	1,160	$	162,924
Deferred tax assets nonadmitted		154,943		105		155,048
Subtotal net admitted deferred tax asset		6,821		1,055		7,876
Deferred tax liabilities		6,821		—		6,821
Net admitted deferred tax asset	$	—	$	1,055	$	1,055

(in thousands of dollars)	Change
	Ordinary		Capital		Total
Gross deferred tax assets	$	7,081	$	517	$	7,598
Deferred tax assets nonadmitted		6,964		36		7,000
Subtotal net admitted deferred tax asset		117		481		598
Deferred tax liabilities		117		1		118
Net admitted deferred tax asset	$	—	$	480	$	480

27

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

The SSAP No. 101 admission calculation components at December 31, 2022 and 2021 are as follows:

(in thousands of dollars)	2022
	Ordinary		Capital		Total
(a) Federal income taxes paid in prior years recoverable through loss carrybacks	$	—	$	1,535	$	1,535
(b) Adjusted gross deferred tax assets expected to be realized after application of the threshold limitation		—		—		—
(b.i) Adjusted gross deferred tax assets expected to be realized following the balance sheet date		—		—		—
(b.ii) Adjusted gross deferred tax assets allowed per limitation threshold		N/A		N/A		22,537
(c) Adjusted gross deferred tax assets offset by gross deferred tax liabilities		6,938		1		6,939
(d) Deferred tax assets admitted as the result of application of SSAP No. 101	$	6,938	$	1,536	$	8,474
Ratio percentage used to determine recovery period and threshold limitation amount						748	%
Amount of adjusted capital and surplus used to determine recovery period and threshold limitation					$	150,248

(in thousands of dollars)	2021
	Ordinary		Capital		Total
(a) Federal income taxes paid in prior years recoverable through loss carrybacks	$	—	$	1,055	$	1,055
(b) Adjusted gross deferred tax assets expected to be realized after application of the threshold limitation		—		—		—
(b.i) Adjusted gross deferred tax assets expected to be realized following the balance sheet date		—		—		—
(b.ii) Adjusted gross deferred tax assets allowed per limitation threshold		N/A		N/A		24,878
(c) Adjusted gross deferred tax assets offset by gross deferred tax liabilities		6,821		—		6,821
(d) Deferred tax assets admitted as the result of application of SSAP No. 101	$	6,821	$	1,055	$	7,876
Ratio percentage used to determine recovery period and threshold limitation amount						836	%
Amount of adjusted capital and surplus used to determine recovery period and threshold limitation					$	165,853

28

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

(in thousands of dollars)	Change
	Ordinary		Capital		Total
(a) Federal income taxes paid in prior years recoverable through loss carrybacks	$	—	$	480	$	480
(b) Adjusted gross deferred tax assets expected to be realized after application of the threshold limitation		—		—		—
(b.i) Adjusted gross deferred tax assets expected to be realized following the balance sheet date		—		—		—
(b.ii) Adjusted gross deferred tax assets allowed per limitation threshold		N/A		N/A		(2,341	)
(c) Adjusted gross deferred tax assets offset by gross deferred tax liabilities		117		1		118
(d) Deferred tax assets admitted as the result of application of SSAP No. 101	$	117	$	481	$	598
Ratio percentage used to determine recovery period and threshold limitation amount						-88	%
Amount of adjusted capital and surplus used to determine recovery period and threshold limitation					$	(15,605	)

The Company does not employ reinsurance related tax planning strategies.

The Company is currently recognizing all deferred tax liabilities.

Current income taxes incurred consist of the following major components for the years ended December 31, 2022 and 2021:

(in thousands of dollars)	2022			2021			Change
Federal	$	3,418		$	(17,754	)	$	21,172
Foreign		—			—			—
Subtotal		3,418			(17,754	)		21,172
Federal income tax on net capital gains (losses)		(4,306	)		800			(5,106	)
Federal and foreign income taxes incurred	$	(888	)	$	(16,954	)	$	16,066

29

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

As of December 31, 2022 and 2021, the tax effects of temporary differences that give rise to significant portions of the deferred tax assets and liabilities are as follows:

(in thousands of dollars)	2022			2021			Change
Deferred tax assets
Ordinary:
Unearned premium reserves	$	—		$	5		$	(5	)
Policyholder reserves		87,480			87,179			301
Deferred acquisition costs		79,149			73,544			5,605
Nonadmitted assets		1,340			172			1,168
Compensation and benefits accrual		—			253			(253	)
Accruals not currently deductible		360			62			298
Other		516			549			(33	)
		168,845			161,764			7,081
Nonadmitted deferred tax assets		(161,907	)		(154,943	)		(6,964	)
Admitted ordinary deferred tax assets		6,938			6,821			117
Capital:
Investments		1,017			588			429
Other		660			572			88
		1,677			1,160			517
Nonadmitted deferred tax assets		(141	)		(105	)		(36	)
Admitted capital deferred tax assets		1,536			1,055			481
Admitted deferred tax assets		8,474			7,876			598
Deferred tax liabilities
Ordinary:
Policyholder reserves		1,210			1,613			(403	)
Fixed assets		—			1			(1	)
Investments		970			728			242
Deferred and uncollected premium		4,352			4,479			(127	)
Other		406			—			406
		6,938			6,821			117
Capital:
Other		1			—			1
		1			—			1
Total deferred tax liabilities		6,939			6,821			118
Net admitted deferred tax assets	$	1,535		$	1,055		$	480

The change in net deferred income taxes, net of any valuation allowance, is composed of the following:

(in thousands of dollars)	2022		2021		Change
Total deferred tax assets	$	170,522	$	162,924	$	7,598
Total deferred tax liabilities		6,939		6,821		118
Net deferred tax asset	$	163,583	$	156,103		7,480
Tax effect of unrealized gains						—
Change in net deferred income tax asset					$	7,480

30

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

The provision for federal income taxes incurred is different from that which would be obtained by applying the statutory federal income tax rate at 21% for 2022, 2021 and 2020 to income before income taxes. The significant items causing this difference are as follows:

(in thousands of dollars)	2022			2021			2020
Pre-tax loss from operations	$	(7,539	)	$	(18,318	)	$	(18,866	)
Pre-tax realized capital (losses) gains before transfer to IMR		(23,062	)		2,259			2,741
Total pre-tax loss	$	(30,601	)	$	(16,059	)	$	(16,125	)
Provision computed at statutory rate	$	(6,426	)	$	(3,372	)	$	(3,386	)
Amortization of interest maintenance reserve		(39	)		(682	)		1,632
Separate accounts dividend received deduction		(288	)		(639	)		(749	)
Ceding commission included in surplus		(91	)		(85	)		(78	)
Nonadmitted assets		(1,168	)		313			(89	)
Provision to return		(390	)		(296	)		(22,138	)
Internal Revenue Service (“IRS”) audit adjustment		(33	)		(38	)		—
Life loss carryback - CARES Act		—			—			(9,087	)
Other		67			(234	)		29
Total statutory income taxes	$	(8,368	)	$	(5,033	)	$	(33,866	)
Federal income tax expense (benefit)	$	3,418		$	(17,754	)	$	60,245
Tax on capital (losses) gains		(4,306	)		800			2,776
Less: Change in net deferred income tax		(7,480	)		11,921			(96,887	)
Total statutory income taxes	$	(8,368	)	$	(5,033	)	$	(33,866	)

As of December 31, 2022, the Company did not have any operating loss carryforwards.

There was no aggregate amount of deposits reported as admitted assets under Section 6603 of the IRS code as of December 31, 2022.

31

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

The Company’s federal income tax return is consolidated with the following entities, with ZHCA as the parent:

American Guarantee and Liability Insurance Company	Zurich Agency Services, Inc.
American Zurich Insurance Company	Zurich Alternative Asset Management, LLC
Colonial American Casualty & Surety Company	Zurich American Insurance Company
Empire Fire and Marine Insurance Company	Zurich American Insurance Company of Illinois
Empire Indemnity Insurance Company	Zurich American Life Insurance Company
Fidelity & Deposit Company of Maryland	Zurich American Life Insurance Company of New York
Hoplite Reinsurance Company of Vermont, Inc.	Zurich CZI Management Holding, Ltd.
Rural Community Insurance Company	Zurich E & S Insurance Brokerage, Inc.
Special Insurance Services, Inc.	Zurich F & I Reinsurance T & C Limited
Steadfast Insurance Company	Zurich Global, Ltd.
The Zurich Services Corporation	Zurich Global Investment Management Inc.
Universal Underwriters Insurance Company	Zurich Holding Company of America, Inc.
Universal Underwriters of Texas Insurance Company	Zurich Latin America Corporation
Universal Underwriters Service Corporation	Zurich Realty, Inc.
Vehicle Dealer Solutions, Inc.

A written agreement sets out the method of allocating tax between the companies. In general, the allocation is based upon a separate return calculation with an immediate benefit for a taxable loss. Intercompany tax balances are settled within thirty days after the filing of the consolidated federal income tax return, the payment of an estimated payment, an additional assessment of the consolidated tax liability, a refund of the consolidated tax liability or any other reduction to the member’s apportioned tax liability in accordance with the tax sharing agreement.

The Company joins with its U.S. parent, ZHCA and other affiliates, in filing a consolidated U.S. federal income tax return. The statutes of limitations for all income tax returns through tax year 2017 are closed, and all IRS examinations are closed through tax year 2019. The Company is not currently under any IRS income tax audits.

Corporate Alternative Minimum Tax (“CAMT”) is a part of the Inflation Reduction Act of 2022, which was enacted into law on August 16, 2022. The controlled group of corporations of which the Company is a member has not yet been determined, as of the reporting date, if they will be liable for CAMT in 2023. The fourth quarter 2022 financial statements do not include the estimated impact of the CAMT, because a reasonable estimate cannot be made. Based upon projected adjusted financial statement income for 2023, the controlled group of corporations has determined that average “adjusted financial statement income” is above the thresholds for the 2023 tax year such that they expect to be required to perform the CAMT calculations.

At December 31, 2022, the Company did not have any uncertain tax positions. Based upon existing information, the Company does not anticipate any expected development for uncertain tax positions in the next twelve months.

As of December 31, 2022, the Company has not recognized any amounts for interest or penalties related to uncertain tax positions. However, in the event the Company determines a change in liability is appropriate in the future, interest or penalty related to an uncertain tax position will be recognized as a component of the income tax provision.

32

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

The Company does not have any tax loss contingencies for which it is reasonably possible that the total liability will significantly increase within twelve months of the reporting date.

6. Information Concerning Parent, Subsidiaries and Affiliates

On September 2, 2010, the Company established ZALICONY. The carrying value of ZALICONY as of December 31, 2022 and 2021 is $22,144,649 and $20,266,915, respectively. The Company has entered into a related party services agreement with ZALICONY.

There were no capital contributions made to the Company in 2022 or 2021.

On August 6, 2020, the Company received a capital contribution of $35,000,000 from ZAC. On September 18, 2020, and December 15, 2020, two additional capital contributions of $20,000,000 each were received from ZAC.

At December 31, 2022 and 2021, the Company reported the following amounts due from or to related parties:

(in thousands of dollars)	2022			2021
Zurich Global Employee Benefits Solutions	$	424		$	270
Zurich American Life Insurance Company of New York		57			77
Other related parties		2			—
Receivables from related parties	$	483		$	347
Zurich American Insurance Company	$	(5,965	)	$	(3,645	)
Zurich Global Investment Management Inc.		(396	)		(184	)
Zurich Benefit Finance LLC		(125	)		—
ZNA Services, LLC		(67	)		(73	)
Zurich Services US LLC		(14	)		(16	)
The Zurich Services Corporation		(5	)		—
Zurich Holding Company of America, Inc.		—			(6,538	)
Centre Group Holdings (U.S.) Limited		—			(34	)
Other related parties		—			(20	)
Payables to related parties	$	(6,572	)	$	(10,510	)
Net payables to related parties	$	(6,089	)	$	(10,163	)

33

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

For the years 2022, 2021 and 2020, the Company incurred the following amounts of expense in association with services, such as administrative services, advisory services, claim services and risk engineering services, provided by related parties:

(in thousands of dollars)	2022			2021			2020
Zurich American Insurance Company	$	15,154		$	15,497		$	8,998
Zurich Global Investment Management Inc.		1,080			885			892
Zurich Insurance Group		847			847			690
ZNA Services, LLC		786			752			1,158
Zurich Benefit Finance LLC		325			—			—
Zurich Investment Services Ltd		238			268			327
Farmers Group, Inc.		220			114			131
Zurich Services US LLC		190			183			290
The Zurich Services Corporation		11			—			14
Zurich American Life Insurance Company of New York		(555	)		(759	)		(708	)
Zurich Global Employee Benefit Solutions		(2,028	)		(1,137	)		(988	)
Expenses incurred in association with services provided by related parties	$	16,268		$	16,650		$	10,804

Related party receivables and payables are settled as provided in its agreements, generally within 45 days from date of invoice.

The Company has a service agreement, technology support agreement, and license and service agreement with Bancorp and ZBF. Bancorp is responsible for certain administrative functions on certain of the Company’s private placement variable life insurance policies. ZBF is appointed to be the product technology support provider in the administration of certain private placement variable life insurance policies issued by the Company. The Company’s license and service agreement with Bancorp and ZBF governs the terms and conditions under which certain technology may be used in the administration of certain private placement variable life insurance policies issued by the Company that includes illustration software license.

The Company has a principal underwriter agreement and service agreements with BFPS. BFPS is the principal underwriter for a closed block of the Company’s variable, fixed and market value-adjusted annuities. BFPS provides certain services for the distribution of the Company’s private placement variable life insurance and variable annuity policies. BFPS also provides certain services relating to certain employees and independent contractors of the Company becoming and remaining registered representatives of BFPS.

The Company has a Stable Value Protection Option Master Agreement (whereby the Company is acting on behalf of the sub-divisions of the Stable-Value-Protected Divisions of the ZALICO Variable Series I Separate Account) with ZIC.

The Company has a Real Estate Advisory Agreement with its affiliate Zurich Global Investment Management Inc. (“ZGIM”), under which ZGIM may provide certain services on real estate activities to the Company on an ongoing basis.

The Company has service agreements with its affiliates ZIC, Farmers New World Life (“FNWL”), Zurich American Insurance Company (“ZAIC”), and ZALICONY for each to perform administrative services reasonably necessary in the ordinary course of business.

34

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

The Company has an investment advisory service agreement with its affiliate, Zurich Investment Services Ltd. (“ZIS”) and ZGIM, to perform investment advisory services reasonably necessary in the ordinary course of business.

The Company has a customer service level overview agreement with its affiliate, ZFUS Services, LLC (“ZFUS”), for ZFUS to provide management, administrative and general services.

The Company has a service agreement with its affiliate, Zurich Life Insurance Company Ltd (“ZLIC”), for the Company to provide referral, sales support and other administrative services for ZLIC.

The Company has a service agreement with The Zurich Services Corporation (“ZSC”) pursuant to which the Company receives services from ZSC that may include claim services, risk engineering services, care center services and other services.

The Company has a service agreement with its affiliate, Zurich Services US LLC (“ZSUS”), for ZSUS to provide human resources services, administrative and general services.

The Company has a Multilateral Data Protection Agreement for Data Transfers in Business Systems with ZIG. The agreement governs the handling of personal data sent cross border within the Zurich global organization.

See footnote 8 for the disclosure regarding the Company’s reinsurance activities with affiliates.

7. Life Reserves

Life reserves are based on mortality tables approved by the NAIC using statutory specified interest rates and valuation methods that provide, in aggregate, reserves that are greater than or equal to the minimum required by the Illinois Department of Insurance. The aggregate reserves for life policies and contracts have been computed primarily utilizing the CARVM based on the statutory maximum valuation interest rates and minimum statutory mortality rates which were allowed by state authorities at the time the policies were issued.

Tabular Interest, Tabular less Actual Reserve Released and Tabular Cost have been determined by formulas in accordance with the NAIC Annual Statement Instructions.

For the determination of Tabular Interest on funds not involving life contingencies for each valuation rate of interest, the Tabular Interest is calculated as one hundredth of the product of such valuation rate of interest multiplied by the mean of the amount of funds subject to such valuation rate of interest held at the beginning and end of the year of valuation.

35

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

The reconciliation of total actuarial reserves and other liabilities as of December 31, 2022 and 2021 were as follows:

(in thousands of dollars)	2022		2021
Policy Liabilities in the General Account
Life insurance	$	303,842	$	302,496
Accidental death benefits		1		1
Disability—active lives		83		88
Annuities (excluding supplementary contracts)		100,542		99,586
Supplementary contracts with life contingencies		200,712		213,099
Supplemental contracts without life contingencies		4,230		4,538
Miscellaneous reserves		927		983
Claims and benefits payable to policyholders		82,316		77,842
Total general account		692,653		698,633
Policy Liabilities in the Separate Account
Life insurance		12,680,309		12,432,142
Annuities (excluding supplementary contracts)		2,962,931		3,052,884
Supplementary contracts including life contingencies		1,788		2,220
Liability for deposit-type contracts		126		236
Other liabilities		50,298		34,191
Total separate account		15,695,452		15,521,673
Total policy liabilities	$	16,388,105	$	16,220,306

The Company’s universal life policies with secondary guarantees (“SGUL policies”) in force at December 31, 2022 and 2021, were calculated under Actuarial Guideline XXXVIII (“AG38”), paragraphs 8D and 8E, which take into account the shadow accounts used for the lapse protection. In addition, a single deterministic projection was run as required in AG38 paragraph 8D, which was required for policies issued through December 31, 2012. This is a gross premium valuation using best estimate assumptions plus conservative margins and the asset assumptions include limitations with respect to the particular assets and asset yields.

The gross premium valuation was used for policies issued prior to December 31, 2012, since it exceeded the formulaic reserve. The Company’s gross reserves for all SGUL policies were $103,760,000 and $96,703,000 as of December 31, 2022 and 2021, respectively. The Company cedes 100% of this business to ZIC.

In June 2016, the NAIC adopted a recommendation to activate a principles-based reserving (“PBR”) approach for life insurance products in order to more accurately reflect the risks or costs of the liability or obligations of the insurer. During 2020, the Company implemented PBR for individual life policies under Section 20 of the Valuation Manual (“VM-20”) with issue dates of January 1, 2020 and later. Due to the Company’s reinsurance agreements currently in place, there was no material impact to the Company.

The Company also implemented PBR for variable annuity contracts and certain other policies and contracts under Section 21 of the Valuation Manual (“VM-21”) for all contracts in force. Due to the Company’s reinsurance agreements currently in place, the Company has only retained $3.9 million of such reserves as of December 31, 2020. The valuation methodology used to value certain variable annuity reserves prior to the adoption of PBR was Actuarial Guideline 43 (“AG-43”). The Company did not elect the 36-month phase-in period option provided in VM-21.

36

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

Analysis of General Account Life Actuarial Reserves by Withdrawal Characteristics

Life actuarial reserves by withdrawal characteristics as of December 31, 2022 and 2021 were as follows:

(in thousands of dollars)
2022 General Account		Account Value		Cash Value		Reserve
A.	Subject to discretionary withdrawal, surrender
	values or policy loans:
	1. Term policies with cash value	$	—	$	—	$	—
	2. Universal life		283,661		282,358		290,133
	3. Universal life with secondary guarantees		31,211		26,571		103,134
	4. Indexed universal life		693,725		562,098		705,547
	5. Indexed universal life with secondary guarantees		—		—		—
	6. Indexed life		—		—		—
	7. Other permanent cash value life insurance		28,156		28,156		29,780
	8. Variable life		—		—		—
	9. Variable universal life		206,861		206,861		210,759
	10. Miscellaneous reserves		—		—		12,154
B.	Not subject to discretionary withdrawal or no cash values:
	1. Term policies with cash value		—		—		79,806
	2. Accidental death benefits		—		—		1
	3. Disability - active lives		—		—		91
	4. Disability - disabled lives		—		—		177
	5. Miscellaneous reserves		—		—		5,896
C.	Total (gross: direct + assumed)		1,243,614		1,106,044		1,437,478
D.	Reinsurance ceded		981,700		844,130		1,132,625
E.	Total (net) * (C)-(D)	$	261,914	$	261,914	$	304,853

37

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

(in thousands of dollars)
2022
Separate Account Nonguaranteed		Account Value		Cash Value		Reserve
A.	Subject to discretionary withdrawal, surrender
	values or policy loans:
	1. Term policies with cash value	$	—	$	—	$	—
	2. Universal life		—		—		—
	3. Universal life with secondary guarantees		—		—		—
	4. Indexed universal life		—		—		—
	5. Indexed universal life with secondary guarantees		—		—		—
	6. Indexed life		—		—		—
	7. Other permanent cash value life insurance		—		—		—
	8. Variable life		—		—		—
	9. Variable universal life		12,680,309		12,680,309		12,680,309
	10. Miscellaneous reserves		—		—		—
B.	Not subject to discretionary withdrawal or no cash values:
	1. Term policies with cash value		—		—		—
	2. Accidental death benefits		—		—		—
	3. Disability - active lives		—		—		—
	4. Disability - disabled lives		—		—		—
	5. Miscellaneous reserves		—		—		—
C.	Total (gross: direct + assumed)		12,680,309		12,680,309		12,680,309
D.	Reinsurance ceded		—		—		—
E.	Total (net) * (C)-(D)	$	12,680,309	$	12,680,309	$	12,680,309

38

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

(in thousands of dollars)
2021
General Account		Account Value		Cash Value		Reserve
A.	Subject to discretionary withdrawal, surrender
	values or policy loans:
	1. Term policies with cash value	$	—	$	—	$	—
	2. Universal life		301,287		299,825		312,390
	3. Universal life with secondary guarantees		32,571		25,336		96,703
	4. Indexed universal life		615,894		479,756		606,424
	5. Indexed universal life with secondary guarantees		—		—		—
	6. Indexed life		—		—		—
	7. Other permanent cash value life insurance		28,758		28,758		30,458
	8. Variable life		—		—		—
	9. Variable universal life		201,095		201,095		204,896
	10. Miscellaneous reserves		—		—		10,953
B.	Not subject to discretionary withdrawal or no cash values:
	1. Term policies with cash value		—		—		80,432
	2. Accidental death benefits		—		—		1
	3. Disability - active lives		—		—		97
	4. Disability - disabled lives		—		—		173
	5. Miscellaneous reserves		—		—		10,104
C.	Total (gross: direct + assumed)		1,179,605		1,034,770		1,352,631
D.	Reinsurance ceded		922,603		777,768		1,049,063
E.	Total (net) * (C)-(D)	$	257,002	$	257,002	$	303,568

39

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

(in thousands of dollars)
2021
Separate Account Nonguaranteed		Account Value		Cash Value		Reserve
A.	Subject to discretionary withdrawal, surrender
	values or policy loans:
	1. Term policies with cash value	$	—	$	—	$	—
	2. Universal life		—		—		—
	3. Universal life with secondary guarantees		—		—		—
	4. Indexed universal life		—		—		—
	5. Indexed universal life with secondary guarantees		—		—		—
	6. Indexed life		—		—		—
	7. Other permanent cash value life insurance		—		—		—
	8. Variable life		—		—		—
	9. Variable universal life		12,432,142		12,432,142		12,432,142
	10. Miscellaneous reserves		—		—		—
B.	Not subject to discretionary withdrawal or no cash values:
	1. Term policies with cash value		—		—		—
	2. Accidental death benefits		—		—		—
	3. Disability - active lives		—		—		—
	4. Disability - disabled lives		—		—		—
	5. Miscellaneous reserves		—		—		—
C.	Total (gross: direct + assumed)		12,432,142		12,432,142		12,432,142
D.	Reinsurance ceded		—		—		—
E.	Total (net) * (C)-(D)	$	12,432,142	$	12,432,142	$	12,432,142

The reconciliation of life actuarial reserves by type as of December 31, 2022 and 2021 were as follows:

(in thousands of dollars)	2022		2021
Life Actuarial Reserves
Life insurance	$	303,842	$	302,496
Accidental death benefits		1		1
Disability - active lives		83		88
Miscellaneous reserves		927		983
Total life	$	304,853	$	303,568

40

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

Analysis of Annuity Actuarial Reserves and Deposit Liabilities by Withdrawal Characteristics

Annuity actuarial reserves and deposit-type contract funds and other liabilities without life or disability contingencies by withdrawal characteristics as of December 31, 2022 and 2021 were as follows:

(in thousands of dollars)
2022 Individual Annuities		General Account		Separate Account With Guarantees		Separate Account Nonguaranteed		Total		% of Total
A.	Subject to discretionary withdrawal:
	1. With market value adjustment	$	44,444	$	1,773	$	—	$	46,217		1.23	%
	2. At book value less surrender charge of 5% or more		1,564		—		—		1,564		0.04	%
	3. At fair value		—		—		1,876,869		1,876,869		49.92	%
	4. Total with adjustment or at market value (total of 1 through 3)		46,008		1,773		1,876,869		1,924,650		51.19	%
	5. At book value without adjustment (minimal or no charge or adjustment)		1,353,116		—		—		1,353,116		35.99	%
B.	Not subject to discretionary withdrawal		480,185		—		1,788		481,973		12.82	%
C.	Total (gross: direct + assumed)		1,879,309		1,773		1,878,657		3,759,739		100.00	%
D.	Reinsurance ceded		1,662,583		—		—		1,662,583
E.	Total (net) * (C)-(D)	$	216,726	$	1,773	$	1,878,657	$	2,097,156
	Annuities (excluding supplementary contracts)	$	16,014	$	1,773	$	1,876,869	$	1,894,656
	Supplementary contracts with life contingencies		200,712		—		1,788		202,500
	Total (net)	$	216,726	$	1,773	$	1,878,657	$	2,097,156

41

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

(in thousands of dollars)
2022 Group Annuities		General Account		Separate Account With Guarantees		Separate Account Nonguaranteed		Total		% of Total
A.	Subject to discretionary withdrawal:
	1. With market value adjustment	$	11,293	$	4,647	$	—	$	15,940		1.10	%
	2. At book value less surrender charge of 5% or more		84		—		—		84		0.01	%
	3. At fair value		—		—		1,079,642		1,079,642		74.61	%
	4. Total with adjustment or at market value (total of 1 through 3)		11,377		4,647		1,079,642		1,095,666		75.72	%
	5. At book value without adjustment (minimal or no charge or adjustment)		125,937		—		—		125,937		8.70	%
B.	Not subject to discretionary withdrawal		225,435		—		—		225,435		15.58	%
C.	Total (gross: direct + assumed)		362,749		4,647		1,079,642		1,447,038		100.00	%
D.	Reinsurance ceded		278,221		—		—		278,221
E.	Total (net) * (C)-(D)	$	84,528	$	4,647	$	1,079,642	$	1,168,817
	Annuities (excluding supplementary contracts)	$	84,528	$	4,647	$	1,079,642	$	1,168,817
	Supplementary contracts with life contingencies		—		—		—		—
	Total (net)	$	84,528	$	4,647	$	1,079,642	$	1,168,817

(in thousands of dollars)
2022 Deposit-Type Contracts		General Account		Separate Account With Guarantees		Separate Account Nonguaranteed		Total		% of Total
A.	Subject to discretionary withdrawal:
	1. With market value adjustment	$	—	$	—	$	—	$	—		0.00	%
	2. At book value less surrender charge of 5% or more		—		—		—		—		0.00	%
	3. At fair value		—		—		—		—		0.00	%
	4. Total with adjustment or at market value (total of 1 through 3)		—		—		—		—		0.00	%
	5. At book value without adjustment (minimal or no charge or adjustment)		9,503		—		—		9,503		31.99	%
B.	Not subject to discretionary withdrawal		20,077		—		126		20,203		68.01	%
C.	Total (gross: direct + assumed)		29,580		—		126		29,706		100.00	%
D.	Reinsurance ceded		25,350		—		—		25,350
E.	Total (net) * (C)-(D)	$	4,230	$	—	$	126	$	4,356

42

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

(in thousands of dollars)
2021 Individual Annuities		General Account		Separate Account With Guarantees		Separate Account Nonguaranteed		Total		% of Total
A.	Subject to discretionary withdrawal:
	1. With market value adjustment	$	59,299	$	1,133	$	—	$	60,432		1.55	%
	2. At book value less surrender charge of 5% or more		5,448		—		—		5,448		0.14	%
	3. At fair value		—		—		1,966,504		1,966,504		50.43	%
	4. Total with adjustment or at market value (total of 1 through 3)		64,747		1,133		1,966,504		2,032,384		52.12	%
	5. At book value without adjustment (minimal or no charge or adjustment)		1,512,310		—		—		1,512,310		38.78	%
B.	Not subject to discretionary withdrawal		352,740		—		2,319		355,059		9.10	%
C.	Total (gross: direct + assumed)		1,929,797		1,133		1,968,823		3,899,753		100.00	%
D.	Reinsurance ceded		1,701,981		—		—		1,701,981
E.	Total (net) * (C)-(D)	$	227,816	$	1,133	$	1,968,823	$	2,197,772
	Annuities (excluding supplementary contracts)	$	14,717	$	1,133	$	1,966,603	$	1,982,453
	Supplementary contracts with life contingencies		213,099		—		2,220		215,319
	Total (net)	$	227,816	$	1,133	$	1,968,823	$	2,197,772

43

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

(in thousands of dollars)
2021 Group Annuities		General Account		Separate Account With Guarantees		Separate Account Nonguaranteed		Total		% of Total
A.	Subject to discretionary withdrawal:
	1. With market value adjustment	$	—	$	5,372	$	—	$	5,372		0.37	%
	2. At book value less surrender charge of 5% or more		—		—		—		—		0.00	%
	3. At fair value		—		—		1,079,776		1,079,776		74.79	%
	4. Total with adjustment or at market value (total of 1 through 3)		—		5,372		1,079,776		1,085,148		75.17	%
	5. At book value without adjustment (minimal or no charge or adjustment)		—		—		—		—		0.00	%
B.	Not subject to discretionary withdrawal		358,518		—		—		358,518		24.83	%
C.	Total (gross: direct + assumed)		358,518		5,372		1,079,776		1,443,666		100.00	%
D.	Reinsurance ceded		273,649		—		—		273,649
E.	Total (net) * (C)-(D)	$	84,869	$	5,372	$	1,079,776	$	1,170,017
	Annuities (excluding supplementary contracts)	$	84,869	$	5,372	$	1,079,776	$	1,170,017
	Supplementary contracts with life contingencies		—		—		—		—
	Total (net)	$	84,869	$	5,372	$	1,079,776	$	1,170,017

(in thousands of dollars)
2021 Deposit-Type Contracts		General Account		Separate Account With Guarantees		Separate Account Nonguaranteed		Total		% of Total
A.	Subject to discretionary withdrawal:
	1. With market value adjustment	$	—	$	—	$	—	$	—		0.00	%
	2. At book value less surrender charge of 5% or more		—		—		—		—		0.00	%
	3. At fair value		—		—		—		—		0.00	%
	4. Total with adjustment or at market value (total of 1 through 3)		—		—		—		—		0.00	%
	5. At book value without adjustment (minimal or no charge or adjustment)		—		—		—		—		0.00	%
B.	Not subject to discretionary withdrawal		33,548		236		—		33,784		100.00	%
C.	Total (gross: direct + assumed)		33,548		236		—		33,784		100.00	%
D.	Reinsurance ceded		29,010		—		—		29,010
E.	Total (net) * (C)-(D)	$	4,538	$	236	$	—	$	4,774

44

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

Variable Annuities with Guaranteed Living Benefits

The Company’s variable annuities with guaranteed living benefits for DESTINATIONS products at December 31, 2022 and 2021 are as follows:

(in thousands of dollars)	Guaranteed Living Benefits
Benefit and Type of Risk	Subjected Account Value		Amount of Reserve Held – Net		Total Reinsurance Ceded
Guaranteed retirement income benefit (“GRIB”) (Waiting period 7, 10 or 15 years)
December 31, 2022	$	540,496	$	7,097	$	255,336
December 31, 2021	$	728,543	$	3,937	$	240,717

The GRIB base is the greatest of account value, greatest anniversary value or net deposits accumulated at 5%. As of December 31, 2022 and 2021, the Company ceded $204,269,000 and $192,574,000 of this business to ZIC, with the remainder ceded to unaffiliated insurance companies.

8. Reinsurance

The Company has assumed and ceded business using yearly renewable term contracts, accidental death and disability contracts and coinsurance contracts to affiliate and third party reinsurers. The Company remains primarily responsible to its policyholders for all future claims and policyholder benefits related to the blocks of business ceded and is not relieved of its obligations to the extent any reinsurer does not meet its obligation to the Company.

Failure of the reinsurers to honor their obligations could result in losses to the Company; consequently, estimates are established for amounts deemed or estimated to be uncollectible. To minimize its exposure to significant losses from reinsurance insolvencies, the Company utilizes several reinsurers to minimize concentration of credit risk and evaluates the financial condition of its reinsurers and concentration of credit risk of its reinsurers. Several reinsurance contracts require the reinsurer to maintain assets in a security trust whose market value matches or exceeds the book value of the reinsured liability.

There was no reinsurance in unauthorized and certified companies in 2022 or 2021. There was $316,852 of reinsurance in unauthorized and certified companies in 2020.

45

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

The following is a breakdown of direct, assumed and ceded premiums by major affiliated and unaffiliated insurance companies for the years ended December 31, 2022, 2021 and 2020:

(in thousands of dollars)	2022			2021			2020
Direct and assumed premiums:	$	1,300,874		$	1,247,590		$	952,090
Ceded premiums:
Affiliated insurance companies		(176,680	)		(197,956	)		(125,889	)
Unaffiliated insurance companies		(194,575	)		(186,837	)		(212,101	)
Total premiums ceded		(371,255	)		(384,793	)		(337,990	)
Premiums and annuity considerations	$	929,619		$	862,797		$	614,100
Breakdown of ceded premiums:
Affiliated insurance companies:
ZIC:
Recapture of CLP liabilities	$	—		$	—		$	95,624
All other activity		(176,680	)		(197,956	)		(221,513	)
Total affiliated insurance companies	$	(176,680	)	$	(197,956	)	$	(125,889	)
Unaffiliated insurance companies:
Aflac	$	(120,191	)	$	(100,083	)	$	(122,673	)
Protective Life		(58,870	)		(72,003	)		(75,244	)
All others		(15,514	)		(14,751	)		(14,184	)
Total unaffiliated insurance companies	$	(194,575	)	$	(186,837	)	$	(212,101	)

As of December 31, 2022, 2021 and 2020, amounts assumed from unaffiliated insurance companies for life, annuity and disability products were as follows:

(in thousands of dollars)	2022		2021		2020
Premiums assumed	$	339	$	299	$	333
Benefits assumed		159		169		164
Reserves assumed		2,166		2,157		36

The Company did not assume any amounts from affiliated insurance companies during 2022, 2021 or 2020.

46

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

As of December 31, 2022, 2021 and 2020, amounts associated with reinsurance reserves ceded to affiliated and unaffiliated insurance companies, including the related collateral held for such reserves for life, annuity and disability products were as follows:

(in thousands of dollars)	2022		2021		2020
Reserves ceded as of December 31,
Affiliated insurance companies	$	1,294,273	$	1,199,475	$	1,122,344
Unaffiliated insurance companies		1,959,667		1,978,166		1,980,578
Total reserves ceded	$	3,253,940	$	3,177,641	$	3,102,922
Breakdown of total reserves ceded by liability type:
Individual annuities	$	1,662,583	$	1,701,981	$	1,739,702
Group annuities		278,221		273,649		314,358
Deposit-type contracts		25,350		29,010		30,261
Life contract actuarial reserves		1,132,625		1,049,063		928,461
Accident and health		155,161		123,938		90,140
Total reserves ceded	$	3,253,940	$	3,177,641	$	3,102,922
Breakdown of total reserves ceded by key reinsurer:
Affiliated insurance companies:
ZIC:
Variable universal life liabilities	$	770,438	$	676,768	$	561,935
Variable annuity liabilities		208,139		227,517		240,719
GRIB liabilities		204,269		192,574		228,451
SGUL liabilities		103,760		96,703		86,760
CLP liabilities		7,667		5,913		4,479
Total affiliated insurance companies	$	1,294,273	$	1,199,475	$	1,122,344
Unaffiliated insurance companies:
Protective Life	$	1,688,920	$	1,737,183	$	1,759,852
Fidelity Life Association (“FLA”)		69,489		72,213		75,386
Aflac		146,205		116,921		84,789
All others		55,053		51,849		60,551
Total unaffiliated insurance companies	$	1,959,667	$	1,978,166	$	1,980,578
Collateral held for total reserves ceded:
ZIC Security Trust account	$	1,380,794	$	1,294,947	$	1,242,134
Protective Life Security Trust account		1,630,445		1,710,147		1,811,235
All other third party trust accounts		1,311		1,311		1,311
All other third party letters of credit		8,750		8,000		6,500

ZIC established a Security Trust account for the exclusive benefit of the Company. The Bank of New York is the trustee. The trust account is funded with assets equal to at least 102% of the statutory reserve credit assumed by ZIC. The basis of the valuation of all collateral held is market value.

47

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

The collateral for the GRIB liabilities provided by ZIC, and the related list of assets held for the benefit of ZIC, as of December 31, 2022 and 2021 are as follows:

(in thousands of dollars)
	Variable Annuities Reserve		Total Collateral
2022
Bonds	$	204,269	$	1,153,709
Equities		—		8,080
Money market		—		17,055
Unconditional letters of credit		—		201,950
Total assets - for the benefit of the cedent	$	204,269	$	1,380,794
2021
Bonds	$	192,574	$	1,060,844
Equities		—		33,906
Money market		—		747
Unconditional letters of credit		—		199,450
Total assets - for the benefit of the cedent	$	192,574	$	1,294,947

The face amount of insurance in force associated with reinsurance ceded to affiliated and unaffiliated insurance companies for life insurance in force at December 31, 2022 and 2021 were as follows:

(in thousands of dollars)	2022		2021
Direct and assumed	$	94,477,048	$	93,023,968
Ceded to
Affiliated insurance companies	$	52,074,009	$	52,482,987
Unaffiliated insurance companies		28,616,379		26,913,732
Total ceded	$	80,690,388	$	79,396,719

As of December 31, 2022, 2021 and 2020, amounts associated with reinsurance benefits ceded to affiliated and unaffiliated insurance companies for life, annuity and disability products were as follows:

(in thousands of dollars)	2022		2021		2020
Benefits ceded to affiliated insurance companies	$	51,833	$	67,090	$	70,912
Benefits ceded to unaffiliated insurance companies		330,256		352,052		308,504
Total benefits ceded	$	382,089	$	419,142	$	379,416

ZIC

On November 17, 2006, and as amended on December 22, 2008, the Company entered into a reinsurance agreement with ZIC (“ZIC Agreement”) to reinsure the net amounts at risk for the GRIB options and other related life and annuity reserves related to the Company’s DESTINATIONS product for policies issued from May 1, 2000 through February 28, 2003.

48

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

On September 30, 2013, the Company and ZIC entered into a reinsurance treaty in which the Company ceded 100% of its universal life business issued after January 1, 2010. The treaty is retrospective, covering all Independent Financial Advisors (“IFA”) in-force policies from inception.

To facilitate the sale of the CLP business to Aflac, ZALICO recaptured CLP net liabilities previously ceded to ZIC as of November 2, 2020. On a pre-tax basis, ZALICO recorded ceded premiums of $95.6 million (which included $82.2 million of cash transferred from ZIC equal to the net liabilities recaptured), $93.8 million of claims incurred, and other expenses of $1.9 million. In exchange, ZALICO paid ZIC a recapture fee of $88.7 million.

Further, the Company has several reinsurance agreements with ZIC covering the Company’s individual life and group life, accidental death and disability businesses.

The Company’s affiliated reinsurance transactions with ZIC have all been approved by the Illinois Department of Insurance.

Aflac

On March 19, 2020, an agreement was executed between the Companies, ZHCA, ZIC, Aflac and Aflac NY to sell the Companies’ CLP business. The transaction closed on November 2, 2020. Part of the transaction required the recapture of CLP net liabilities previously ceded to ZIC as of the closing date, as discussed above. Subsequently, the Companies ceded 100% of the in-force net CLP liabilities to Aflac and Aflac NY through reinsurance agreements dated as of November 2, 2020.

Protective Life Insurance Company

Effective September 3, 2003, ZALICO transferred certain of its business, as well as the capital stock of its wholly owned subsidiaries, to a former affiliate, FKLA. In a contemporaneous transaction, FKLA and ZALICO entered into a coinsurance agreement under which FKLA administers the business and the records of, and 100% reinsures, certain lines of business issued by ZALICO, including certain registered variable annuity contracts that are funded through the Company’s Separate Account. These transfers were part of a larger transaction under which the capital stock of FKLA was sold to Bank One. On July 1, 2004, Bank One merged into JP Morgan Chase & Co., and FKLA changed its name to Chase Insurance.

On July 3, 2006, Protective Life purchased Chase Insurance. Effective April 1, 2007, Chase Insurance merged with and into Protective Life.

The initial ceding commission on the coinsurance agreement with Protective Life was $120 million. This initial ceding commission was not transferred to the Company from Protective Life, but rather was withheld from the assets transferred from the Company to Protective Life as part of the transferred coinsurance assets. As of December 31, 2022 and 2021, the remaining balance of the initial ceding commission amounted to $3.9 million and $4.3 million, respectively. The remaining balance of the initial ceding commission, net of tax, and the IMR related to the transferred coinsurance assets reflected in surplus, are being amortized into operations. Amortization of the initial ceding commission was approximately $434,000, $406,000 and $370,000 for the years ended December 31, 2022, 2021 and 2020, respectively. Amortization of the IMR related to the transferred coinsurance assets was approximately $244,000, $229,000 and $208,000 for the years ended December 31, 2022, 2021 and 2020, respectively.

As part of the coinsurance agreement with Protective Life, most reinsurance agreements with outside reinsurers were novated to Protective Life as part of the Purchase Agreement. As of December 31, 2022, and 2021, the Company’s separate account assets subject to the coinsurance agreement with Protective Life were approximately $829,113,000 and $1,131,531,000, respectively.

49

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

A Security Trust Account was established for the exclusive benefit of the Company. The Security Trust Account is funded with assets equal to the general account statutory reserves adjusted for policy loans and interest maintenance reserves reinsured by Protective Life, adjusted on a quarterly basis. Protective Life is required to maintain the Security Trust Account until the Company’s general account statutory reserves of the Reinsured Policies are $400,000,000 or less.

Fidelity Life Association

As part of the overall Protective Life transaction, the Company also entered into a reinsurance agreement with Fidelity Life Association (“FLA”) related to certain fixed-rate annuity liabilities. FLA is a mutual insurance company which was an affiliate of FKLA.

9. Capital and Surplus

The amount of dividends that can be paid by the Company to its stockholder without prior approval of the Illinois Department of Insurance is limited to the greater of (i) 10% of its statutory unassigned surplus or (ii) statutory net income from the preceding calendar year. A dividend paid that does not meet the above specifications is defined as an “extraordinary dividend” and requires advance approval from the Illinois Department of Insurance. The Company did not pay any dividends in 2022, 2021 or 2020. The Company has no surplus debentures. The Company also has no restrictions on surplus or any stock held by the Company for any special purposes.

10. Retirement Plans and Other Post Retirement Benefits Plans

Effective in 2004, the Company’s employees began participating in a qualified, noncontributory defined benefit pension plan sponsored by ZAIC.

11. Separate Accounts

General Nature and Characteristics of Separate Accounts

The assets and liabilities of the Company’s Separate Accounts represent segregated funds administered and invested by the Company for purposes of funding flexible payment, individual and group variable annuity contracts, market value adjusted deferred annuity contracts, variable supplemental contracts and individual and group variable life insurance contracts for the exclusive benefit of variable annuity contract holders and variable life insurance policy holders.

The Company receives fees from the Separate Accounts which consist of charges for mortality and expense risk, certain minimum guaranteed death benefits, certain guaranteed retirement benefits, record maintenance fees and other administrative charges. The Company also retains varying amounts of withdrawal charges to cover expenses in the event of early withdrawals by contract holders. The negative liability for transfers to Separate Accounts due or accrued amounted to $13,000 and $18,000 as of December 31, 2022 and 2021, respectively, which represents CARVM.

The assets and liabilities of the Separate Accounts are carried at fair value at December 31, 2022 and 2021.

The Company has marketed non-registered individual and group variable life policies and a series of individual and group variable annuity contracts. This business impacted premiums, separate accounts fees, net transfers to separate accounts, insurance taxes, licenses and fees and income tax expense. The non-registered products also have premium tax and deferred acquisition costs (“DAC”) tax expense load charges which are deducted from the contract holder’s premiums to compensate the Company for premium taxes and DAC tax expenses incurred by the Company.

50

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

Under statutory accounting, transfers to the separate accounts are reported net of premium and DAC tax loads. There is a corresponding offset to the premium tax load in insurance taxes, licenses and fees.

Certain separate account products have guarantees that are backed by the general accounts. The Company has entered into reinsurance agreements for all of this guaranteed business. At the end of December 31, 2022, the general account of the Company had a maximum guarantee for the separate account liabilities of $42.5 billion. To compensate the general account for the risk taken, the separate account has paid risk charges as follows for the past five years:

(in thousands of dollars)
Risk Charges
2022	$	386,896
2021		326,962
2020		462,893
2019		347,628
2018		327,395

As all of the guarantees have been reinsured, the above risk charges have also been ceded.

51

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

Information regarding the reserves included in the separate accounts of the Company as of December 31, 2022 and 2021 were as follows:

(in thousands of dollars)	2022
	Indexed		Nonindexed Guarantee Less Than/ Equal to 4%		Nonindexed Guarantee More Than 4%		Nonguaranteed Separate Accounts		Total
Premiums, considerations or deposits for year ended December 31, 2022	$	—	$	40	$	—	$	926,833	$	926,873
Reserves at December 31, 2022 for accounts with assets at:
Fair value	$	—	$	6,420	$	—	$	15,689,032	$	15,695,452
Amortized cost		—		—		—		—		—
Total reserves	$	—	$	6,420	$	—	$	15,689,032	$	15,695,452
By withdrawal characteristics:
With market value adjustment	$	—	$	6,420	$	—	$	—	$	6,420
At book value without market value adjustment and with current surrender charge of 5% or more		—		—		—		—		—
At fair value		—		—		—		15,689,032		15,689,032
At book value without market value adjustment and with current surrender charge less than 5%		—		—		—		—		—
Subtotal		—		6,420		—		15,689,032		15,695,452
Not subject to discretionary withdrawal		—		—		—		—		—
	$	—	$	6,420	$	—	$	15,689,032	$	15,695,452

52

Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

(in thousands of dollars)	2021
	Indexed		Nonindexed Guarantee Less Than/ Equal to 4%		Nonindexed Guarantee More Than 4%		Nonguaranteed Separate Accounts		Total
Premiums, considerations or deposits for year ended December 31, 2021	$	—	$	125	$	—	$	876,901	$	877,026
Reserves at December 31, 2021 for accounts with assets at:
Fair value	$	—	$	6,505	$	—	$	15,515,168	$	15,521,673
Amortized cost		—		—		—		—		—
Total reserves	$	—	$	6,505	$	—	$	15,515,168	$	15,521,673
By withdrawal characteristics:
With market value adjustment	$	—	$	6,505	$	—	$	—	$	6,505
At book value without market value adjustment and with current surrender charge of 5% or more		—		—		—		—		—
At fair value		—		—		—		15,515,168		15,515,168
At book value without market value adjustment and with current surrender charge less than 5%		—		—		—		—		—
Subtotal		—		6,505		—		15,515,168		15,521,673
Not subject to discretionary withdrawal		—		—		—		—		—
	$	—	$	6,505	$	—	$	15,515,168	$	15,521,673

The following is a reconciliation of net transfers from the Company’s separate accounts for the years ended December 31, 2022, 2021 and 2020:

(in thousands of dollars)	2022			2021			2020
Transfers as reported in the summary of operations of the separate accounts annual statement
Transfers to separate accounts	$	1,020,466		$	985,276		$	664,017
Transfers from separate accounts		(232,675	)		(259,448	)		(240,220	)
Net transfers to separate accounts		787,791			725,828			423,797
Reconciling adjustments
Experience rated refunds reinvested in separate accounts		(86,097	)		(112,382	)		(44,280	)
Change in termination value of separate accounts		—			—			(49	)
Separate accounts trading gain (loss)		6			5			(2	)
Transfers required to support benefits		(2,482	)		(1,983	)		7,503
Fee income from premium taxes and other DAC tax charges		2,764			1,528			(9,903	)
Other		349			(98	)		(163	)
Net transfers to separate accounts as reported in the statement of operations	$	702,331		$	612,898		$	376,903

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Zurich American Life Insurance Company

Notes to Statutory Financial Statements

As of and For the Twelve Months Ended December 31, 2022, 2021 and 2020

12. Premiums Due and Deferred

Gross due and deferred premiums represent life insurance premiums due to be received from policyholders through the next respective policy anniversary dates. Net deferred and uncollected premiums represent only the portion of gross premiums related to mortality charges and interest.

Due and deferred premiums at December 31, 2022 and 2021 are as follows:

(in thousands of dollars)	2022						2021
	Gross			Net			Gross			Net
Ordinary renewal	$	5,790		$	5,492		$	5,447		$	5,214
Group life		6,452			6,452			8,088			8,088
Accident and health		8,875			8,875			8,184			8,184
Nonadmitted assets		(293	)		(293	)		(9	)		(9	)
	$	20,824		$	20,526		$	21,710		$	21,477

13. Commitments and Contingencies

The Company is subject to lawsuits arising from the normal course of its business activities. These actions are in various stages of discovery and development, and some seek punitive as well as compensatory damages. In the opinion of management, the Company has not engaged in any conduct that should warrant the award of any material punitive or compensatory damages. The Company intends to defend vigorously its position in each case, and management believes that, while it is not possible to predict the outcome of such matters with absolute certainty, ultimate disposition of these proceedings should not have a material adverse effect on the Company’s financial position.

14. Subsequent Events

On March 28, 2023, the Company received a capital contribution of $12.0 million from ZHCA.

The Company has evaluated subsequent events through April 24, 2023, the date the financial statements were available to be issued.

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