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UNITED STATES SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE

SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2003

OR

¨ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE

SECURITIES EXCHANGE ACT OF 1934

For the transition period from _____ to _____

Commission file number 0-23375

GE Financial Assurance Holdings, Inc.

(Exact name of registrant as specified in its charter)

(804) 281-6000

(Registrant’s telephone number, including area code)

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

At May 2, 2003, 1,000 shares of common stock with a par value of $1.00 were outstanding. The common stock of GE Financial Assurance Holdings, Inc. is not publicly traded.

REGISTRANT MEETS THE CONDITIONS SET FORTH IN GENERAL INSTRUCTION H(1)(a) AND (b) OF FORM 10-Q AND IS THEREFORE FILING THIS FORM 10-Q WITH THE REDUCED DISCLOSURE FORMAT.

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PART I—FINANCIAL INFORMATION

Item 1. Financial Statements

GE FINANCIAL ASSURANCE HOLDINGS, INC. AND SUBSIDIARIES

Condensed, Consolidated Statements of Current and Retained Earnings

(Dollar amounts in millions)

(Unaudited)

See Notes to Condensed, Consolidated Financial Statements.

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GE FINANCIAL ASSURANCE HOLDINGS, INC. AND SUBSIDIARIES

Condensed, Consolidated Statements of Financial Position

(Dollar amounts in millions)

See Notes to Condensed, Consolidated Financial Statements.

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GE FINANCIAL ASSURANCE HOLDINGS, INC. AND SUBSIDIARIES

Condensed, Consolidated Statements of Cash Flows

(Dollar amounts in millions)

(Unaudited)

See Notes to Condensed, Consolidated Financial Statements.

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GE FINANCIAL ASSURANCE HOLDINGS, INC. AND SUBSIDIARIES

Notes to Condensed, Consolidated Financial Statements

(Dollar amounts in millions, unless otherwise noted)

(Unaudited)

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The following is a summary of assets by operating segment:

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Intangibles Subject to Amortization

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Goodwill

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

Three months ended March 31, 2003 compared with the three months ended March 31, 2002.

Operating Results

Premiums increased $188 million, or 12.1%, to $1,744 million for the quarter ended March 31, 2003 from $1,556 million for the quarter ended March 31, 2002. This increase is primarily related to premiums from the Saison Acquisition, which contributed $104 million in premiums for the quarter March 31, 2003. Continued growth in our long-term care, life contingent structured settlements and Japanese medical blocks of business also contributed to this increase. These factors were partially offset by a decrease in life contingent immediate annuity contracts and a decrease in premiums in our Mortgage Insurance segment related to higher levels of ceded premiums.

Net investment income increased $25 million, or 2.4%, to $1,086 million for quarter ended March 31, 2003 from $1,061 million for the quarter ended March 31, 2002. The increase was primarily attributable to higher levels of average invested assets ($85.4 billion for the quarter ended March 31, 2003 vs. $74.2 billion for the quarter ended March 31, 2002). This increase was partially offset by a decrease in weighted average yields to 5.05% for the quarter ended March 31, 2003 from 5.56% for the quarter ended March 31, 2002, primarily due to the declining interest rate environment.

Net realized investment gains decreased $108 million, or 70%, to a gain of $46 million for the quarter ended March 31, 2003 from $154 million for the quarter ended March 31, 2002. For the quarter ended March 31, 2003, gross gains and (losses) were $205 million and $(159) million, respectively. The realized losses in the first quarter of 2003 include $79 million ($51 million, net of tax) of impairment losses as compared to $48 million ($31 million, net of tax) for the first three months of 2002. For the quarter ended March 31, 2002, gross gains and (losses) were $290 million and ($136) million, respectively. Gross gains, in the first quarter of 2002, included $29 million from securitizations of certain financial assets and $24 million from a gain on sale of certain real estate held for investment.

Other income decreased $24 million, or 9.4%, to $231 million for the quarter ended March 31, 2003 from $255 million for the quarter ended March 31, 2002. Other income is principally comprised of insurance charges made against universal life contracts, revenues from sales of income protection packages, fees assessed against policyholder account values, surrender fees, other fee income and commission income. The decrease in the quarter ended March 31, 2003 was primarily attributable to lower surrender fee income from our Japanese segment. The decrease is also related to lower fees earned on variable annuity and interest sensitive life products, reflecting a decline in the market values of assets underlying the contracts.

Benefits and other changes in policy reserves includes both activity related to future policy benefits on long duration life and health insurance products as well as claim costs incurred during the year under these contracts and mortgage insurance and property and casualty products. These amounts increased $238 million, or 17.3%, including $82 million from the Saison Acquisition, to $1,616 million for the quarter ended March 31, 2003 from $1,378 million for the quarter ended March 31, 2002. Benefits on institutional stable value products (“ISVP”) and fixed annuities, as well as benefits related to life contingent annuity products, contributed to the increase.

General expenses decreased $31 million, or 4.2%, to $710 million for the quarter ended March 31, 2003 from $741 million for the quarter ended March 31, 2002. This decrease is primarily related to reduced compensation and benefit costs and other cost savings initiatives resulting from integration and consolidation activities.

Interest credited increased $9 million, or 2.1%, to $430 million for the quarter ended March 31, 2003 from $421 million for the quarter ended March 31, 2002. This increase was a result of an increase in contract liabilities subject to interest crediting arising primarily from the sales of deferred annuities and certain universal life products offset in part by a decline in average crediting rates for ISVPs.

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Amortization of intangibles increased $14 million, or 20%, to $84 million for the quarter ended March 31, 2003 from $70 million for the quarter ended March 31, 2002. Our significant intangible asset consists of the present value of future profits (“PVFP”), representing the estimated future gross profit in acquired insurance and annuity contracts. Other intangibles subject to amortization include software and licenses. The increase is primarily related to PVFP amortization.

Provision for income taxes decreased $60 million, or 31.6%, to $130 million for the quarter ended March 31, 2003 from $190 million for the comparable period ended March 31, 2002. The Company’s effective tax rate of 30.5% for the quarter ended March 31, 2003 was 3.1 percentage points lower than the effective tax rate of 33.6% for the comparable period ended March 31, 2002. The decrease in the effective tax rate is primarily driven by favorable Internal Revenue Service examination developments and appeals adjustments related to prior year federal income tax returns.

Financial Condition

Total assets increased $3.9 billion, or 3.5%, at March 31, 2003 from December 31, 2002. Total investments increased $4.5 billion, or 5.4%, to $88.9 billion. The increase in total investments is primarily related to net purchases of securities funded by operating cash flows, cash collateral received under securities lending programs and net investment income, partially offset by mortgage and policy loan repayments. Assets other than investments decreased $0.6 billion primarily as a result of decrease in separate account assets.

Total liabilities increased $2.6 billion, or 2.8%, at March 31, 2003 from December 31, 2002. Future annuity and contract benefits increased approximately $1.1 billion, or 1.5%, at March 31, 2003 from December 31, 2002. This increase resulted primarily from continued growth of the Company’s investment-type contracts. In addition, all other liabilities increased $1.5 billion primarily related to obligations under securities lending programs, offset by a decline in other short-term borrowings.

Portfolio Quality

We principally invest in investment grade debt and equity securities. The aggregate value of our debt and equity investments was $76.3 billion, including gross unrealized gains and (losses) of $4.8 billion and $(1.3) billion, respectively, at March 31, 2003 as compared to $73.6 billion, including gross unrealized gains and (losses) of $3.5 billion and $(1.5) billion, respectively, as of December 31, 2002. Market value for these purposes is defined by relevant accounting standards and should not be viewed as a forecast of future gains or losses. We estimate that available gains, net of hedging positions and estimated impairment of intangible and other insurance related assets, could be as much as $1.1 billion. We regularly review the investment securities in our portfolio for impairment based on criteria that include the extent to which cost exceeds market value, the duration of that market decline and the financial health and specific prospects for the issuer. Of those securities whose carrying amount exceeds fair value at March 31, 2003, and based upon application of our accounting policy for impairment, approximately $350 million of portfolio value is at risk of being charged to earnings over the next twelve months. Impairment losses recognized for the first three months of 2003 were $79 million, primarily related to mutual fund and equity investments, compared to $48 million for the first three months of 2002.

Forward Looking Statements

This document includes certain “forward-looking statements” within the meaning of the Private Securities Litigation Reform Act of 1995. Forward looking statements include statements which represent our belief regarding potential investment gains and losses. These statements are based on our current expectations and are subject to uncertainty and changes in circumstances. Actual results may differ materially from these expectations due to changes in global economic, business, competitive market and regulatory factors. We undertake no obligation to publicly update or revise any forward looking statements, whether as a result of new information, future developments or otherwise.

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Item 4. Controls and Procedures.

Within the 90-day period prior to the filing of this report, we, including the Chief Executive Officer (serving as the principal executive officer) and Chief Financial Officer, conducted an evaluation of the effectiveness of the design and operation of the company’s disclosure controls and procedures as defined in Exchange Act Rule 13a-14 (c). Based on that evaluation, the Chief Executive Officer and Chief Financial Officer concluded that the Company’s disclosure controls and procedures were effective as of the date of that evaluation. There have been no significant changes in internal controls, or in factors that could significantly affect internal controls, subsequent to the date the Chief Executive Officer and Chief Financial Officer completed their evaluation.

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PART II—OTHER INFORMATION

Item 1. Legal Proceedings.

The Company, like other insurance companies, is involved in lawsuits, including class action lawsuits. In some class action and other lawsuits involving insurance companies, substantial damages have been sought and/or material settlement payments have been made. Except for the McBride case described below, the ultimate outcome of which, and any effect on the Company, cannot be determined at this time, management believes that at the present time there are no pending or threatened lawsuits that are reasonably likely to have a material adverse impact on the Company’s Condensed Consolidated Financial Statements.

On November 1, 2000, GE Life and Annuity Assurance Company (“GE Life”) was named as a defendant in a lawsuit filed in Georgia state court related to the sale of universal life insurance policies (McBride v. Life Insurance Co. of Virginia dba GE Life and Annuity Assurance Co.). On December 1, 2000, we successfully removed the case to the United States District Court for the Middle District of Georgia. The complaint is brought as a class action on behalf of all persons who purchased certain universal life insurance policies from GE Life and alleges improper sales practices in connection with the sale of universal life policies. No class has been certified. On February 27, 2002, the court denied our motion for summary judgment. We have vigorously denied liability with respect to the plaintiff’s allegations and the ultimate outcome, and any effect on us, of the McBride litigation cannot be determined at this time.

Item 6. Exhibits and Reports on Form 8-K.

SIGNATURES

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

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CERTIFICATIONS

I, Michael D. Fraizer, certify that:

Date: May 2, 2003

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CERTIFICATIONS

I, Richard P. McKenney, certify that:

Date: May 2, 2003

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