65536 genworth life and annuity insurance company printbooks...

STATEMENT AS OF SEPTEMBER 30, 2017 OF THE Genworth Life and Annuity Insurance Company

ASSETSCurrent Statement Date 4

1

Assets

2

Nonadmitted Assets

3Net Admitted Assets

(Cols. 1 - 2)

December 31Prior Year Net

Admitted Assets

1. Bonds 11,353,674,148 0 11,353,674,148 11,290,522,425

2. Stocks:

2.1 Preferred stocks 46,953,970 500,000 46,453,970 36,569,859

2.2 Common stocks 277,950,403 5,000 277,945,403 278,764,610

3. Mortgage loans on real estate:

3.1 First liens 1,764,343,806 0 1,764,343,806 1,622,626,506

3.2 Other than first liens 0 0

4. Real estate:

4.1 Properties occupied by the company (less $

encumbrances) 10,786,874 0 10,786,874 10,307,995

4.2 Properties held for the production of income (less

$ encumbrances) 0 0

4.3 Properties held for sale (less $

encumbrances) 0 0

5. Cash ($ (69,954,438) ), cash equivalents

($ 0 ) and short-term

investments ($ 301,062,187 ) 231,107,749 0 231,107,749 301,286,304

6. Contract loans (including $ premium notes) 537,030,732 9,226,057 527,804,675 519,891,859

7. Derivatives 81,037,889 0 81,037,889 76,968,166

8. Other invested assets 83,043,556 0 83,043,556 91,308,842

9. Receivables for securities 15,204,376 0 15,204,376 8,570,774

10. Securities lending reinvested collateral assets 96,242,894 0 96,242,894 89,056,030

11. Aggregate write-ins for invested assets 0 0 0 0

12. Subtotals, cash and invested assets (Lines 1 to 11) 14,497,376,397 9,731,057 14,487,645,340 14,325,873,370

13. Title plants less $ charged off (for Title insurers

only) 0 0

14. Investment income due and accrued 135,382,257 0 135,382,257 125,804,992

15. Premiums and considerations:

15.1 Uncollected premiums and agents' balances in the course of collection 61,106,145 0 61,106,145 47,012,221

15.2 Deferred premiums, agents' balances and installments booked but

deferred and not yet due (including $

earned but unbilled premiums) 502,041,695 140,066 501,901,629 476,827,580

15.3 Accrued retrospective premiums ($ ) and

contracts subject to redetermination ($ ) 0 0

16. Reinsurance:

16.1 Amounts recoverable from reinsurers 50,891,413 26,305 50,865,108 48,460,317

16.2 Funds held by or deposited with reinsured companies 386,662,626 0 386,662,626 381,662,626

16.3 Other amounts receivable under reinsurance contracts 30,160,371 0 30,160,371 21,630,646

17. Amounts receivable relating to uninsured plans 0 0

18.1 Current federal and foreign income tax recoverable and interest thereon 799,116 0 799,116 19,472,997

18.2 Net deferred tax asset 431,357,345 243,570,628 187,786,717 197,733,881

19. Guaranty funds receivable or on deposit 6,999,275 0 6,999,275 6,921,059

20. Electronic data processing equipment and software 12,177,759 12,162,399 15,360 60,989

21. Furniture and equipment, including health care delivery assets

($ ) 634,928 634,928 0 0

22. Net adjustment in assets and liabilities due to foreign exchange rates 0 0

23. Receivables from parent, subsidiaries and affiliates 0 0

24. Health care ($ ) and other amounts receivable 0 0

25. Aggregate write-ins for other than invested assets 26,566,549 625,200 25,941,349 26,076,008

26. Total assets excluding Separate Accounts, Segregated Accounts and Protected Cell Accounts (Lines 12 to 25) 16,142,155,876 266,890,583 15,875,265,293 15,677,536,686

27. From Separate Accounts, Segregated Accounts and Protected Cell Accounts 6,741,551,918 0 6,741,551,918 6,770,217,881

28. Total (Lines 26 and 27) 22,883,707,794 266,890,583 22,616,817,211 22,447,754,567

DETAILS OF WRITE-INS

1101. 0

1102.

1103.

1198. Summary of remaining write-ins for Line 11 from overflow page 0 0 0 0

1199. Totals (Lines 1101 through 1103 plus 1198)(Line 11 above) 0 0 0 0

2501. Miscellaneous receivables 16,027,302 210,391 15,816,911 14,975,333

2502. Premium tax refunds receivable 7,508,567 67,439 7,441,128 8,273,141

2503. Business services agreement receivable 2,683,310 0 2,683,310 2,827,534

2598. Summary of remaining write-ins for Line 25 from overflow page 347,370 347,370 0 0

2599. Totals (Lines 2501 through 2503 plus 2598)(Line 25 above) 26,566,549 625,200 25,941,349 26,076,008

2


LIABILITIES, SURPLUS AND OTHER FUNDS1

CurrentStatement Date

2December 31

Prior Year

1. Aggregate reserve for life contracts $ 11,884,078,611 less $ included in Line 6.3

(including $ 979,196,320 Modco Reserve) 11,884,078,611 11,794,982,835

2. Aggregate reserve for accident and health contracts (including $ 0 Modco Reserve) 1,547,816 1,833,660

3. Liability for deposit-type contracts (including $ 0 Modco Reserve) 636,880,121 677,845,430

4. Contract claims:

4.1 Life 82,665,131 87,428,581

4.2 Accident and health 13,711 49,514

5. Policyholders’ dividends $ 0 and coupons $ 0 due and unpaid 334,832 347,854

6. Provision for policyholders’ dividends and coupons payable in following calendar year - estimated amounts:

6.1 Dividends apportioned for payment (including $ Modco)

6.2 Dividends not yet apportioned (including $ 0 Modco)

6.3 Coupons and similar benefits (including $ 0 Modco)

7. Amount provisionally held for deferred dividend policies not included in Line 6

8. Premiums and annuity considerations for life and accident and health contracts received in advance less

$ 0 discount; including $ 10,857 accident and health premiums 8,133,537 8,283,732

9. Contract liabilities not included elsewhere:

9.1 Surrender values on canceled contracts 9.2 Provision for experience rating refunds, including the liability of $ 0 accident and health

experience rating refunds of which $ 0 is for medical loss ratio rebate per the Public Health

Service Act

9.3 Other amounts payable on reinsurance, including $ 5,269,883 assumed and $ 130,236,671

ceded 135,506,554 144,885,218

9.4 Interest Maintenance Reserve 34,257,754 32,551,640

10. Commissions to agents due or accrued-life and annuity contracts $ 138,928 , accident and health

$ 8,400 and deposit-type contract funds $ 0 147,328 669,210

11. Commissions and expense allowances payable on reinsurance assumed 284,864 116,384

12. General expenses due or accrued 1,273,900 2,857,125

13. Transfers to Separate Accounts due or accrued (net) (including $ (16,295,519) accrued for expense

allowances recognized in reserves, net of reinsured allowances) (35,385,185) (42,695,006)

14. Taxes, licenses and fees due or accrued, excluding federal income taxes 9,839,804 10,689,371

15.1 Current federal and foreign income taxes, including $ 7,896,365 on realized capital gains (losses) 214,972 0

15.2 Net deferred tax liability 0

16. Unearned investment income 7,697,277 8,306,555

17. Amounts withheld or retained by company as agent or trustee 11,849,216 14,559,941

18. Amounts held for agents' account, including $ 0 agents' credit balances

19. Remittances and items not allocated 23,550,452 25,298,971

20. Net adjustment in assets and liabilities due to foreign exchange rates

21. Liability for benefits for employees and agents if not included above

22. Borrowed money $ 0 and interest thereon $ 0

23. Dividends to stockholders declared and unpaid

24. Miscellaneous liabilities:

24.01 Asset valuation reserve 101,107,351 100,505,830

24.02 Reinsurance in unauthorized and certified ($ 0 ) companies 4,780 302,947

24.03 Funds held under reinsurance treaties with unauthorized and certified ($ 0 ) reinsurers 1,120,871,615 1,087,790,891

24.04 Payable to parent, subsidiaries and affiliates 3,054,199 3,382,659

24.05 Drafts outstanding

24.06 Liability for amounts held under uninsured plans

24.07 Funds held under coinsurance 124,533,132 113,322,599

24.08 Derivatives 1,819,813 1,151,959

24.09 Payable for securities 18,257,246 3,932,702

24.10 Payable for securities lending 96,242,894 89,056,030

24.11 Capital notes $ 0 and interest thereon $ 0

25. Aggregate write-ins for liabilities 19,883,366 22,629,494

26. Total liabilities excluding Separate Accounts business (Lines 1 to 25) 14,288,665,091 14,190,086,126

27. From Separate Accounts Statement 6,741,551,918 6,770,217,881

28. Total liabilities (Lines 26 and 27) 21,030,217,009 20,960,304,007

29. Common capital stock 25,651,000 25,651,000

30. Preferred capital stock

31. Aggregate write-ins for other than special surplus funds 0 0

32. Surplus notes

33. Gross paid in and contributed surplus 1,456,618,456 1,456,618,456

34. Aggregate write-ins for special surplus funds 0 0

35. Unassigned funds (surplus) 104,330,746 5,181,104

36. Less treasury stock, at cost:

36.1 0 shares common (value included in Line 29 $ 0 )

36.2 0 shares preferred (value included in Line 30 $ 0 )

37. Surplus (Total Lines 31+32+33+34+35-36) (including $ 0 in Separate Accounts Statement) 1,560,949,202 1,461,799,560

38. Totals of Lines 29, 30 and 37 1,586,600,202 1,487,450,560

39. Totals of Lines 28 and 38 (Page 2, Line 28, Col. 3) 22,616,817,211 22,447,754,567


2501. Derivatives collateral and interest payable 19,883,366 22,629,494

2502.

2503.

2598. Summary of remaining write-ins for Line 25 from overflow page 0 0

2599. Totals (Lines 2501 through 2503 plus 2598)(Line 25 above) 19,883,366 22,629,494

3101. 0

3102.

3103.


3199. Totals (Lines 3101 through 3103 plus 3198)(Line 31 above) 0 0

3401.

3402.

3403.


3499. Totals (Lines 3401 through 3403 plus 3498)(Line 34 above) 0 0

3


SUMMARY OF OPERATIONS1

Current YearTo Date

2Prior YearTo Date

3Prior Year Ended

December 31

1. Premiums and annuity considerations for life and accident and health contracts 9,547,342,899 (2,443,006,378) (2,356,561,164)

2. Considerations for supplementary contracts with life contingencies 177,926,288 14,721,169 18,072,999

3. Net investment income 474,330,640 588,010,507 741,589,817

4. Amortization of Interest Maintenance Reserve (IMR) 44,787 (2,425,164) (2,846,853)

5. Separate Accounts net gain from operations excluding unrealized gains or losses

6. Commissions and expense allowances on reinsurance ceded 109,279,256 3,291,164,275 3,325,320,041

7. Reserve adjustments on reinsurance ceded (60,763,059) (387,648,303) (404,556,569)

8. Miscellaneous Income:

8.1 Income from fees associated with investment management, administration and contract guarantees from Separate Accounts 93,973,778 95,679,626 127,237,767

8.2 Charges and fees for deposit-type contracts 816 879 13,041

8.3 Aggregate write-ins for miscellaneous income 21,170,023 19,659,911 26,103,267

9. Totals (Lines 1 to 8.3) 10,363,305,428 1,176,156,522 1,474,372,346

10. Death benefits 337,116,669 335,294,999 417,198,716

11. Matured endowments (excluding guaranteed annual pure endowments) 1,995,908 896,546 1,376,264

12. Annuity benefits 427,367,518 309,719,485 414,885,778

13. Disability benefits and benefits under accident and health contracts 3,079,939 3,530,376 4,483,828

14. Coupons, guaranteed annual pure endowments and similar benefits

15. Surrender benefits and withdrawals for life contracts 736,195,215 565,879,227 735,743,196

16. Group conversions

17. Interest and adjustments on contract or deposit-type contract funds (321,634,924) 19,138,768 25,208,998

18. Payments on supplementary contracts with life contingencies 16,086,837 8,704,176 12,097,970

19. Increase in aggregate reserves for life and accident and health contracts 88,809,932 (382,929,902) (333,393,358)

20. Totals (Lines 10 to 19) 1,289,017,094 860,233,675 1,277,601,392

21. Commissions on premiums, annuity considerations, and deposit-type contract funds (direct business only) 54,396,580 78,343,126 97,876,609

22. Commissions and expense allowances on reinsurance assumed 169,763,434 446,124,813 462,810,482

23. General insurance expenses 104,420,729 129,384,936 166,609,429

24. Insurance taxes, licenses and fees, excluding federal income taxes 20,730,080 31,967,431 33,018,938

25. Increase in loading on deferred and uncollected premiums (29,090,949) 66,014,537 85,331,344

26. Net transfers to or (from) Separate Accounts net of reinsurance (455,161,686) (441,890,639) (575,783,873)

27. Aggregate write-ins for deductions 9,084,487,889 827,442 (170,319)

28. Totals (Lines 20 to 27) 10,238,563,171 1,171,005,321 1,547,294,002

29. Net gain from operations before dividends to policyholders and federal income taxes (Line 9 minus Line 28) 124,742,257 5,151,201 (72,921,656)

30. Dividends to policyholders 0

31. Net gain from operations after dividends to policyholders and before federal income taxes (Line 29 minus Line 30) 124,742,257 5,151,201 (72,921,656)

32. Federal and foreign income taxes incurred (excluding tax on capital gains) 12,665,668 176,783,439 120,469,754

33. Net gain from operations after dividends to policyholders and federal income taxes and before realized capital gains or (losses) (Line 31 minus Line 32) 112,076,589 (171,632,238) (193,391,410)

34. Net realized capital gains (losses) (excluding gains (losses) transferred to the IMR) less capital

gains tax of $ (7,794,110) (excluding taxes of $ 1,858,489

transferred to the IMR) 33,145,621 (1,321,610) (107,854,148)

35. Net income (Line 33 plus Line 34) 145,222,210 (172,953,848) (301,245,558)

CAPITAL AND SURPLUS ACCOUNT

36. Capital and surplus, December 31, prior year 1,487,450,560 1,668,780,174 1,668,780,174

37. Net income (Line 35) 145,222,210 (172,953,848) (301,245,558)

38. Change in net unrealized capital gains (losses) less capital gains tax of $ (6,402,002) (7,463,345) 45,369,350 34,055,907

39. Change in net unrealized foreign exchange capital gain (loss)

40. Change in net deferred income tax (24,072,990) (239,751,433) (209,492,423)

41. Change in nonadmitted assets 13,328,490 221,939,882 213,940,622

42. Change in liability for reinsurance in unauthorized and certified companies 298,167 59,944,728 59,664,521

43. Change in reserve on account of change in valuation basis, (increase) or decrease 0

44. Change in asset valuation reserve (601,521) (11,147,527) (10,898,899)

45. Change in treasury stock 0

46. Surplus (contributed to) withdrawn from Separate Accounts during period

47. Other changes in surplus in Separate Accounts Statement

48. Change in surplus notes

49. Cumulative effect of changes in accounting principles

50. Capital changes:

50.1 Paid in

50.2 Transferred from surplus (Stock Dividend)

50.3 Transferred to surplus

51. Surplus adjustment:

51.1 Paid in 0 (28,553,975) (28,553,975)

51.2 Transferred to capital (Stock Dividend)

51.3 Transferred from capital

51.4 Change in surplus as a result of reinsurance (27,561,369) 80,793,716 68,744,801

52. Dividends to stockholders

53. Aggregate write-ins for gains and losses in surplus 0 (7,544,610) (7,544,610)

54. Net change in capital and surplus for the year (Lines 37 through 53) 99,149,642 (51,903,717) (181,329,614)

55. Capital and surplus, as of statement date (Lines 36 + 54) 1,586,600,202 1,616,876,457 1,487,450,560


08.301. Fund manager rebates 12,965,122 13,452,964 17,912,955

08.302. Interest income on funds withheld 7,666,753 5,704,879 7,522,276

08.303. Miscellaneous income 538,148 502,068 668,036

08.398. Summary of remaining write-ins for Line 8.3 from overflow page 0 0 0

08.399. Totals (Lines 08.301 through 08.303 plus 08.398) (Line 8.3 above) 21,170,023 19,659,911 26,103,267

2701. Modco adjustment on reinsurance assumed 9,058,008,369 (40,546,965) (50,281,125)

2702. Interest expense on funds withheld 28,180,098 25,091,302 33,827,701

2703. IMR transfer (1,700,578) 16,283,105 16,283,105

2798. Summary of remaining write-ins for Line 27 from overflow page 0 0 0

2799. Totals (Lines 2701 through 2703 plus 2798)(Line 27 above) 9,084,487,889 827,442 (170,319)

5301. Reclassification of taxes between unassigned surplus and paid in capital 0 (7,544,610) (7,544,610)

5302.

5303.


5399. Totals (Lines 5301 through 5303 plus 5398)(Line 53 above) 0 (7,544,610) (7,544,610)

4


CASH FLOW1

Current YearTo Date

2Prior YearTo Date

3Prior Year Ended

December 31

Cash from Operations

1. Premiums collected net of reinsurance 395,349,952 204,526,335 302,386,323

2. Net investment income 441,968,657 552,483,281 716,384,976

3. Miscellaneous income 131,099,445 385,516,599 105,594,260

4. Total (Lines 1 to 3) 968,418,054 1,142,526,215 1,124,365,559

5. Benefit and loss related payments 1,484,088,785 1,175,866,149 1,145,294,190

6. Net transfers to Separate Accounts, Segregated Accounts and Protected Cell Accounts (462,471,507) (436,517,331) (570,277,443)

7. Commissions, expenses paid and aggregate write-ins for deductions (36,400,624) 256,170,454 324,123,929

8. Dividends paid to policyholders 13,022 9,338 10,405

9. Federal and foreign income taxes paid (recovered) net of $ tax on capital

gains (losses) (17,403,555) 139,302,436 127,711,982

10. Total (Lines 5 through 9) 967,826,121 1,134,831,046 1,026,863,063

11. Net cash from operations (Line 4 minus Line 10) 591,933 7,695,169 97,502,496

Cash from Investments

12. Proceeds from investments sold, matured or repaid:

12.1 Bonds 1,171,998,255 1,142,966,147 1,704,238,726

12.2 Stocks 9,180,389 304,824,218 309,069,732

12.3 Mortgage loans 113,029,336 172,932,835 215,828,355

12.4 Real estate 0 17,768,752 17,768,752

12.5 Other invested assets 7,254,755 8,010,226 10,135,208

12.6 Net gains or (losses) on cash, cash equivalents and short-term investments 0 0

12.7 Miscellaneous proceeds 51,393,749 9,310,322 6,694,868

12.8 Total investment proceeds (Lines 12.1 to 12.7) 1,352,856,484 1,655,812,500 2,263,735,641

13. Cost of investments acquired (long-term only):

13.1 Bonds 1,044,888,298 1,117,259,050 1,683,006,200

13.2 Stocks 17,010,939 107,637,924 117,548,494

13.3 Mortgage loans 206,258,996 145,475,000 167,102,371

13.4 Real estate 792,345 25,000 56,535

13.5 Other invested assets 44,011 1,450,705 1,450,705

13.6 Miscellaneous applications 33,521,550 70,313,325 128,403,184

13.7 Total investments acquired (Lines 13.1 to 13.6) 1,302,516,139 1,442,161,004 2,097,567,489

14. Net increase (or decrease) in contract loans and premium notes (6,990,752) 36,554,654 30,908,876

15. Net cash from investments (Line 12.8 minus Line 13.7 and Line 14) 57,331,097 177,096,842 135,259,276

Cash from Financing and Miscellaneous Sources

16. Cash provided (applied):

16.1 Surplus notes, capital notes 0 0

16.2 Capital and paid in surplus, less treasury stock 0 (28,553,975) (28,553,975)

16.3 Borrowed funds 0 0

16.4 Net deposits on deposit-type contracts and other insurance liabilities (142,702,853) (154,937,546) (213,437,220)

16.5 Dividends to stockholders 0 0 0

16.6 Other cash provided (applied) 14,601,268 107,540,322 111,819,010

17. Net cash from financing and miscellaneous sources (Line 16.1 through Line 16.4 minus Line 16.5 plus Line 16.6) (128,101,585) (75,951,199) (130,172,185)

RECONCILIATION OF CASH, CASH EQUIVALENTS AND SHORT-TERM INVESTMENTS

18. Net change in cash, cash equivalents and short-term investments (Line 11, plus Lines 15 and 17) (70,178,555) 108,840,812 102,589,587

19. Cash, cash equivalents and short-term investments:

19.1 Beginning of year 301,286,304 198,696,717 198,696,717

19.2 End of period (Line 18 plus Line 19.1) 231,107,749 307,537,529 301,286,304

Note: Supplemental disclosures of cash flow information for non-cash transactions:

20.0001. Securities exchanges bond proceeds (Line 12.1) (56,344,448) (51,780,657) (123,519,030)

20.0002. Securities exchanges bonds acquired (Line 13.1) (56,344,448) (51,780,657) (123,519,030)

20.0003. Tax sharing agreement transfer of taxes payable (Line 9) (5,244,749) (3,283,732) (3,915,323)

20.0004. Tax sharing agreement transfer of taxes payable (Line 12.2) (5,244,749) (3,283,732) (3,915,323)

20.0005. Interest capitalization (Line 2) (13,543,719) (16,168,113) (21,157,979)

20.0006. Interest capitalization (Line 13.1) (13,543,719) (16,168,113) (21,157,979)

20.0007. Reinsurance treaties non-cash transaction GLIC Term (Line 1) (64,459,927)

20.0008. Reinsurance treaties non-cash transaction GLIC Term (Line 7) 48,600,000

20.0009. Reinsurance treaties non-cash transaction GLIC Term (Line 13.1) (7,666,806)

20.0010. Reinsurance treaties non-cash transaction GLIC Term (Line 13.3) (8,193,121)

5

STATEMENT AS OF SEPTEMBER 30, 2017 OF THE Genworth Life and Annuity Insurance CompanyNote: Supplemental disclosures of cash flow information for non-cash transactions:

20.0011. Reinsurance treaties non-cash transaction GLIC UL (Line 1) (100,791,870)

20.0012. Reinsurance treaties non-cash transaction GLIC UL (Line 7) 4,900,000

20.0013. Reinsurance treaties non-cash transaction GLIC UL (Line 13.1) (79,789,704)

20.0014. Reinsurance treaties non-cash transaction GLIC UL (Line 13.3) (14,415,946)

20.0015. Reinsurance treaties non-cash transaction GLIC SPWL (Line 1) (134,258,373)

20.0016. Reinsurance treaties non-cash transaction GLIC SPWL (Line 7) 2,800,000

20.0017. Reinsurance treaties non-cash transaction GLIC SPWL (Line 13.1) (89,773,876)

20.0018. Reinsurance treaties non-cash transaction GLIC SPWL (Line 13.3) (26,077,973)

20.0019. Reinsurance treaties non-cash transaction GLIC SPWL (Line 14) 14,903,568

20.0020. Reinsurance treaties non-cash transaction GLIC FDA Modco (Line 1) (7,760,407,556)

20.0021. Reinsurance treaties non-cash transaction GLIC FPA Modco (Line 5) (361,050,646)

20.0022. Reinsurance treaties non-cash transaction GLIC FDA and FPA Modco (Line 7) 8,121,458,202

20.0023. Reinsurance treaties non-cash transaction GLIC Recapture FDA Modco (Line 1) 263,392,546

20.0024. Reinsurance treaties non-cash transaction GLIC Recapture FDA Modco (Line 7) (263,392,546)

20.0025. Reinsurance treaties non-cash transaction GLIC COLI (Line 1) (1,523,119,871)

20.0026. Reinsurance treaties non-cash transaction GLIC COLI (Line 7) 1,523,119,871

20.0027. Reinsurance treaties non-cash transaction (Line 1) 2,919,268,394 2,919,268,394

20.0028. Reinsurance treaties non-cash transaction (Line 3) (2,919,268,394) (2,919,268,394)

20.0029. Reinsurance treaties non-cash transaction UL Recapture (Line 1) (318,134,583) (318,134,583)

20.0030. Reinsurance treaties non-cash transaction UL Recapture (Line 5) 318,134,583 318,134,583

20.0031. Reinsurance treaties non-cash transaction TLC-UL Recapture (Line 3) (99,999,694) (99,999,694)

20.0032. Reinsurance treaties non-cash transaction TLC-UL Recapture (Line 7) 376,065,501 376,065,501

20.0033. Transfer of bonds to affiliates (Line 12.1) (273,037,764) (276,065,807)

20.0034. Transfer of bonds to affiliates (Line 12.3) (1,336,638) (1,336,638)

20.0035. Transfer of bonds to affiliates (Line 16.6) 1,336,638 1,336,638

20.0036. Transfer of bonds to Separate Accounts (Line 12.1) (8,265,316)

20.0037. Transfer of bonds from Separate Accounts (Line 13.1) 7,525,675

20.0038. Transfer of bonds to Separate Accounts (Line 16.6) (8,265,316)

20.0039. Transfer of bonds from Separate Accounts (Line 16.6) 7,525,675

5.1


EXHIBIT 1

DIRECT PREMIUMS AND DEPOSIT-TYPE CONTRACTS

1Current Year

To Date

2Prior YearTo Date

3Prior Year Ended

December 31

1. Industrial life 58,216 65,102 78,732

2. Ordinary life insurance 924,183,057 968,361,333 1,271,163,290

3. Ordinary individual annuities 23,094,726 127,986,076 136,396,473

4. Credit life (group and individual) 0

5. Group life insurance 1,976,542 2,283,800 3,352,865

6. Group annuities 1,357,809 1,561,154 2,154,283

7. A & H - group 40 23,739 23,859

8. A & H - credit (group and individual) 0

9. A & H - other 37,596,502 38,255,580 51,078,735

10. Aggregate of all other lines of business 0 0 0

11. Subtotal 988,266,892 1,138,536,784 1,464,248,237

12. Deposit-type contracts 0 2,507,742 2,507,742

13. Total 988,266,892 1,141,044,526 1,466,755,979


1001.

1002.

1003.


1099. Totals (Lines 1001 through 1003 plus 1098)(Line 10 above) 0 0 0

6

STATEMENT AS OF SEPTEMBER 30, 2017 OF THE GENWORTH LIFE AND ANNUITY INSURANCECOMPANY

NOTES TO THE FINANCIAL STATEMENTS

7

Note# Description Page #

1 Summary of Significant Accounting Policies and Going Concern ...................................................................

2 Accounting Changes and Corrections of Errors .............................................................................................

3 Business Combinations and Goodwill ............................................................................................................

4 Discontinued Operations ................................................................................................................................

5 Investments ...................................................................................................................................................

6 Joint Ventures, Partnerships and Limited Liability Companies .......................................................................

7 Investment Income ........................................................................................................................................

8 Derivative Instruments ...................................................................................................................................

9 Income Taxes ................................................................................................................................................

10 Information Concerning Parent, Subsidiaries, Affiliates and Other Related Parties ........................................

11 Debt ...............................................................................................................................................................

12 Retirement Plans, Deferred Compensation, Postemployment Benefits and Compensated Absences and Other Postretirement Benefit Plans ................................................................................................................

13 Capital and Surplus, Shareholders’ Dividend Restrictions and Quasi-Reorganizations ..................................

14 Liabilities, Contingencies and Assessments ...................................................................................................

15 Leases ...........................................................................................................................................................

16 Information About Financial Instruments With Off-Balance Sheet Risk And Financial Instruments With Concentrations of Credit Risk ........................................................................................................................

17 Sale, Transfer and Servicing of Financial Assets and Extinguishments of Liabilities ......................................

18 Gain or Loss to the Reporting Entity from Uninsured Plans and the Uninsured Portion of Partially Insured Plans .............................................................................................................................................................

19 Direct Premium Written/Produced by Managing General Agents/Third Party Administrators ..........................

20 Fair Value Measurements ..............................................................................................................................

21 Other Items ....................................................................................................................................................

22 Events Subsequent ........................................................................................................................................

23 Reinsurance ..................................................................................................................................................

24 Retrospectively Rated Contracts & Contracts Subject to Redetermination .....................................................

25 Change in Incurred Losses and Loss Adjustment Expenses ..........................................................................

26 Intercompany Pooling Arrangements .............................................................................................................

27 Structured Settlements ..................................................................................................................................

28 Health Care Receivables ...............................................................................................................................

29 Participating Policies ......................................................................................................................................

30 Premium Deficiency Reserves .......................................................................................................................

31 Reserves for Life Contracts and Annuity Contracts ........................................................................................

32 Analysis of Annuity Actuarial Reserves and Deposit Type Liabilities by Withdrawal Characteristics ...............

33 Premiums and Annuity Considerations Deferred and Uncollected .................................................................

34 Separate Accounts .........................................................................................................................................

35 Loss/Claim Adjustment Expenses ..................................................................................................................

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7. 1

Note 1 - Summary of Significant Accounting Policies and Going Concern

A. Accounting Practices

The accompanying statutory financial statements of Genworth Life and Annuity Insurance Company (the “Company”) have been prepared on the basis of accounting practices prescribed or permitted by the Bureau of Insurance of the Commonwealth of Virginia (the "Virginia Bureau").

The Virginia Bureau requires insurance companies domiciled in the state to prepare their statutory financial statements in accordance with the National Association of Insurance Commissioners’ (“NAIC”) Accounting Practices and Procedures Manual (“NAIC SAP”) subject to any deviations prescribed or permitted by the Virginia Bureau.

A reconciliation of the Company’s net income (loss) and capital and surplus between NAIC SAP and practices prescribed or permitted by the Virginia Bureau is shown below:

SSAP #F/S

PageF/S Line

#September 30,

2017December 31,

2016

NET INCOME (LOSS)

(1) Company state basis (Page 4, Line 35, Columns 1&2)

XXX XXX XXX $ 145,222,210 $ (301,245,558)

(2) State Prescribed Practices that increase/(decrease) NAIC SAP:

— —

(3) State Permitted Practices that increase/(decrease) NAIC SAP:

— —

(4) NAIC SAP (1-2-3=4)XXX XXX XXX $ 145,222,210 $ (301,245,558)

SURPLUS

(5) Company state basis (Page 3, Line 38, Columns 1&2)

XXX XXX XXX $1,586,600,202 $ 1,487,450,560

(6) State Prescribed Practices that increase/(decrease) NAIC SAP:

— —

(7) State Permitted Practices that increase/(decrease) NAIC SAP:

— —

(8) NAIC SAP (5-6-7=8)XXX XXX XXX $1,586,600,202 $ 1,487,450,560

C. Accounting Policy

(6) Loan-backed bonds and structured securities (“LBaSS”) other than non-agency residential mortgage-backed securities are stated at amortized cost using the scientific method except where the NAIC designation has fallen to 6 and the fair value has fallen below amortized cost, in which case they are carried at fair value. Amortization of LBaSS is based on prepayment assumptions that are updated at least annually. Significant changes of estimated cash flows from original purchase assumptions are accounted for using the retrospective adjustment method for all such securities except for securities for which the Company recorded other-than-temporary impairment (“OTTI”) charges. In such instances, the prospective method is used.

D. Going Concern

As of September 30, 2017, the Company's management has not raised any doubts about the entity's ability to continue as a going concern.

Note 2 - Accounting Changes and Corrections of Errors

No significant change.

Note 3 - Business Combinations and Goodwill


Note 4 - Discontinued Operations


Note 5 - Investments

D. Loan-Backed Securities

(1) Prepayment assumptions for mortgage-backed/asset-backed structured securities were obtained from third-party providers, broker dealer research reports or internal estimates.

(2) The Company had no loaned-backed securities with recognized OTTI where the Company had the intent to sell or does not have the intent and ability to retain the investment for a period of time sufficient to recover the amortized cost basis as of September 30, 2017.

(3) The Company had no loan-backed securities which recognized OTTI as of September 30, 2017.



7. 2

(4) All impaired securities (fair value is less than cost or amortized cost) for which an OTTI has not been recognized in earnings as a realized loss (including securities with a recognized OTTI for non-interest related declines when a non-recognized interest related impairment remains) as of September 30, 2017:

a. The aggregate amount of unrealized losses:

1. Less than 12 months $ 7,603,067

2. 12 months or longer 4,275,147

b. The aggregate related fair value of securities with unrealized losses:

1. Less than 12 months $ 389,414,248

2. 12 months or longer 82,870,394

(5) The Company regularly evaluates securities in an unrealized loss position for OTTI. For debt securities, the Company considers all available information relevant to the collectability of the security, including information about past events, current conditions, and reasonable and supportable forecasts, when developing the estimate of cash flows expected to be collected. More specifically for mortgage-backed and asset-backed securities, the Company also utilizes performance indicators of the underlying assets including defaults or delinquency rates, loans to collateral value ratio, third-party credit enhancements, current levels of subordination, vintage and other relevant characteristics of the security or underlying assets to develop the Company’s estimate of cash flows. Estimating the cash flows expected to be collected is a quantitative and qualitative process that incorporates information received from third-party sources along with certain internal assumptions and judgments regarding the future performance of the underlying collateral. Where possible, this data is benchmarked against third-party sources.

E. Repurchase Agreements and/or Securities Lending Transactions

(3) Collateral received as of September 30, 2017:

b. The fair value of that collateral and of the portion of that collateral that it has sold or repledged. $ 96,242,894

Collateral received as of December 31, 2016:

b. The fair value of that collateral and of the portion of that collateral that it has sold or repledged. $ 89,056,030

I. Working Capital Finance Investments

The Company does not have any working capital finance investments as of September 30, 2017.

J. Offsetting and Netting of Assets and Liabilities

The Company did not have any derivatives, repurchase and reverse repurchase, and securities borrowing and securities lending assets and liabilities that were offset and reported net during the reporting period.

Note 6 - Joint Ventures, Partnerships and Limited Liability Companies


Note 7 - Investment Income


Note 8 - Derivative Instruments

A. Discussion of the market risk, credit risk and cash requirements of the derivative

Following the downgrades of the Company in September 2017 and October 2017, the Company actively responded to the risk in its derivatives portfolio arising from the right of the Company’s counterparties to terminate their bilateral over-the-counter derivatives transactions with the Company as a result of the downgrade. The Company notified its counterparties of the downgrades to determine whether they would exercise their rights to terminate the transactions, agree to maintain the transactions with it under revised terms or permit the Company to move the transactions to clearing. Although some counterparties have indicated that they reserve their rights to take action against the Company, only one counterparty has done so. During October 2017, this counterparty terminated approximately $800,000,000 notional with the Company, which was re-hedged using financial futures. The Company continues to discuss the downgrades with the other counterparties.

Note 9 - Income Taxes

The Company has special tax agreements with its subsidiaries, River Lake Insurance Company VII ("RLIC VII") and River Lake Insurance Company VIII ("RLIC VIII"). The agreements obligate the Company to receive or make payments on behalf of RLIC VII and RLIC VIII for Federal income tax amounts receivable or payable by RLIC VII and RLIC VIII under a separate Tax Allocation Agreement. The Company accounts for these payments as additional investment in common stock of affiliates. As of September 30, 2017, the Company has recorded a tax receivable and decrease in investment in common stock of affiliates of $1,956,275 and $3,288,474 for RLIC VII and RLIC VIII, respectively.



7. 3

Note 10 - Information Concerning Parent, Subsidiaries, Affiliates and Other Related Parties

In April 2017, the Company received bonds and mortgage loans from Genworth Life Insurance Company ("GLIC") under various reinsurance transactions discussed in Note 23.

On June 26, 2017, one security with a book value of $7,084,550 and accrued interest of $1,244 was sold by the Company to Genworth Mortgage Insurance Corporation in exchange for cash.

Note 11 - Debt

B. Federal Home Loan Bank ("FHLB") Agreements

(1) The Company is a member of FHLB Atlanta. Through its membership, the Company has periodically issued funding agreements to FHLB Atlanta. There were no outstanding liabilities as of September 30, 2017 or December 31, 2016. When active, the Company uses these funds for asset-liability management in an investment spread strategy, consistent with its other investment spread programs. The Company records the funds under Statements of Statutory Accounting Principles ("SSAP") No. 52, Deposit Type Contracts, consistent with its accounting for other deposit type contracts. It is not part of the Company’s strategy to utilize these funds for operations, and any funds obtained from the FHLB Atlanta for use in general operations would be accounted for under SSAP No. 15, Debt and Holding Company

Obligations, as borrowed money. The Company has a Letter of Credit ("LoC") with FHLB Atlanta in the amount of $28,214,806, none of which has been drawn upon as of September 30, 2017. The table below indicates the amount of FHLB Atlanta stock purchased, collateral pledged, assets and liabilities related to the agreement with FHLB Atlanta as of September 30, 2017 and December 31, 2016. The Company’s borrowing capacity, including an issuance of a LoC, is subject to a broad regulatory restriction that limits an insurer from pledging more than 7.0% of its net admitted assets.

(2) The tables below indicate the amount of FHLB Atlanta stock purchased, collateral pledged, assets and liabilities related to the agreement with FHLB Atlanta as of September 30, 2017 and December 31, 2016.

FHLB Capital Stock

a. Aggregate totals

1. As of September 30, 2017:

1Total (2+3)

2General account

3Separate account

(a) Membership stock – Class A $ — $ — $ —

(b) Membership stock – Class B 15,000,000 15,000,000 —

(c) Activity stock — — —

(d) Excess stock — — —

(e) Aggregate total (a+b+c+d) 15,000,000 15,000,000 —

(f) Actual or estimated borrowing capacity as determined by the insurer 1,000,000,000 XXX XXX

2. As of December 31, 2016:

1Total (2+3)

2General account

3Separate account

(a) Membership stock – Class A $ — $ — $ —

(b) Membership stock – Class B 15,000,000 15,000,000 —

(c) Activity stock — — —

(d) Excess stock — — —

(e) Aggregate total (a+b+c+d) 15,000,000 15,000,000 —

(f) Actual or estimated borrowing capacity as determined by the insurer 1,000,000,000 XXX XXX

b. Membership stock (Class A and B) eligible and not eligible for redemption as of September 30, 2017:

Eligible for redemption

Membership stock 1 Current year

total (2+3+4+5+6)

2Not eligible

for redemption

3Less than 6

months

46 months to less than 1

year

51 to less than

3 years

63 to 5 years

1. Class A $ — $ — $ — $ — $ — $ —

2. Class B 15,000,000 — — — — 15,000,000



7. 4

(3) Collateral Pledged to FHLB

a. Amount pledged as of September 30, 2017 and December 31, 2016:

Fair value Carrying valueAggregate total

borrowing

1.Current year totalgeneral and separateaccounts totalcollateral pledged(Lines 2+3) $ 47,297,436 $ 35,772,060 $ —

2. Current year generalaccount total collateralpledged 47,297,436 35,772,060 —

3. Current yearseparate accounts totalcollateral pledged — — —

4. Prior year-end yeartotal general andseparate accounts totalcollateral pledged 45,142,534 35,412,667 —

b. Maximum amount pledged during reporting period ending September 30, 2017 and December 31, 2016:

Fair value Carrying valueAmount borrowed at time of

maximum collateral

1. Current year total general and separate accounts maximum collateral pledged (Lines 2+3) $ 47,297,436 $ 35,772,060 $ —

2. Current year general account maximum collateral pledged 47,297,436 35,772,060 —

3. Current year separate accounts maximum collateral pledged — — —

4. Prior year-end year total general and separate accounts maximum collateral pledged 646,630,982 566,395,374 —

(4) The Company does not have any outstanding borrowings as of September 30, 2017.

Note 12 - Retirement Plans, Deferred Compensation, Postemployment Benefits and Compensated Absences and Other Postretirement Benefit Plans

The Company has no employees, however, it is allocated costs for services provided by employees of affiliated companies.

A. Defined Benefit Plan

The Company does not have any employees.

Note 13 - Capital and Surplus, Shareholders’ Dividend Restrictions and Quasi-Reorganizations




7. 5

Note 14 - Liabilities, Contingencies and Assessments

F. All Other Contingencies

In April 2017, the Company was named as a defendant in a putative class action lawsuit captioned Avazian, et al v. Genworth

Life and Annuity Insurance Company, et al, in the United States District Court for the Central District of California. Plaintiff alleges breach of contract and breach of the covenant of good faith and fair dealing based upon the Company's termination of plaintiff's life insurance policy for nonpayment of premium. Plaintiff alleges that the termination for nonpayment of premium failed to comply with certain notice requirements of the California Insurance Code and seeks certification as a California class action on behalf of all insureds and beneficiaries of life insurance policies issued or delivered by the Company in California before January 1, 2013 who lost either their coverage or their ability to make a claim because of the termination of their policies by the Company for nonpayment of premium, and further seeks unspecified damages, pre-judgment and post-judgment interest, punitive damages, fees, costs and such other relief as the court deems just and proper. On June 23, 2017, the Company filed a motion to dismiss the complaint. On July 10, 2017, the plaintiff filed a notice of voluntary dismissal without prejudice. On July 12, 2017, the court ordered that this action and all claims therein, are dismissed in their entirety without prejudice. In August 2017, plaintiff re-filed a similar putative class action lawsuit, along with another plaintiff, Michael Torres, captioned Avazian, et al v. Genworth Life and Annuity Insurance Company, et

al, in the Superior Court for the State of California, County of Los Angeles, naming the Company as a defendant. Plaintiffs allege similar causes of action as the previously dismissed lawsuit, and have added a claim for alleged violation of California Business and Professions Code. On August 31, 2017, the Company filed notice of the removal of this matter to the United States District Court for the Central District of California. See Note 22 for additional information.

Note 15 - Leases


Note 16 - Information About Financial Instruments With Off-Balance Sheet Risk And Financial Instruments With Concentrations of Credit Risk


Note 17 - Sale, Transfer and Servicing of Financial Assets and Extinguishments of Liabilities

B. Transfer and Servicing of Financial Assets

(2) The Company does not have any servicing assets or liabilities.

(4) The Company did not have any securitizations, asset-based financing arrangements or similar transfers during the reporting period.

C. Wash Sales

The Company did not have any wash sales in the statement period.

Note 18 - Gain or Loss to the Reporting Entity from Uninsured Plans and the Uninsured Portion of Partially Insured Plans


Note 19 - Direct Premium Written/Produced by Managing General Agents/Third Party Administrators




7. 6

Note 20 - Fair Value Measurements

All assets and liabilities carried at fair value are classified and disclosed in one of the following three categories:

• Level 1—Quoted prices for identical instruments in active markets.

• Level 2—Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.

• Level 3—Instruments whose significant value drivers are unobservable.

Refer to No. 4 below for discussion of valuation techniques.

A. Fair Value Classifications

(1) The following table sets forth the Company’s assets and liabilities that were measured at fair value as of September 30, 2017:

Description for each class of asset or liability Level 1 Level 2 Level 3 Total

a. Assets at fair value

Bonds

Commercial Mortgage-Backed $ — $ 167,534 $ — $ 167,534

Total Bonds — 167,534 — 167,534

Common stocks

Industrial and miscellaneous — — 15,000,000 15,000,000

Total common stocks — — 15,000,000 15,000,000

Derivative assets

Equity index options — — 80,946,464 80,946,464

Interest rate swaps — 68,707 — 68,707

Credit default swaps — 22,717 — 22,717

Total derivatives — 91,424 80,946,464 81,037,888

Separate account assets 6,687,007,466 41,176,475 4,397,887 6,732,581,828

Total assets at fair value $ 6,687,007,466 $ 41,435,433 $ 100,344,351 $ 6,828,787,250

b. Liabilities at fair value

Derivative liabilities

Equity return swaps $ — $ 1,819,813 $ — $ 1,819,813

Total derivative liabilities — 1,819,813 — 1,819,813

Total liabilities at fair value $ — $ 1,819,813 $ — $ 1,819,813



7. 7

The following table sets forth the Company’s assets and liabilities that were measured at fair value as of December 31, 2016:

Description for each class of asset or liability Level 1 Level 2 Level 3 Total

a. Assets at fair value

Bonds

Commercial Mortgage-Backed $ — $ 164,577 $ — $ 164,577

Total Bonds — 164,577 — 164,577

Common stocks

Industrial and miscellaneous — — 15,000,000 15,000,000

Total common stocks — — 15,000,000 15,000,000

Derivative assets

Equity index options — — 71,959,074 71,959,074

Interest rate swaps — 176,608 — 176,608

Credit default swaps — 58,057 — 58,057

Total derivatives — 234,665 71,959,074 72,193,739

Separate account assets 6,712,359,610 43,330,781 5,050,882 6,760,741,273

Total assets at fair value $ 6,712,359,610 $ 43,730,023 $ 92,009,956 $ 6,848,099,589

b. Liabilities at fair value

Derivative liabilities

Equity index options $ — $ — $ 14,262 $ 14,262

Equity return swaps — 1,137,697 — 1,137,697

Total derivative liabilities — 1,137,697 14,262 1,151,959

Total liabilities at fair value $ — $ 1,137,697 $ 14,262 $ 1,151,959

(2) Level 3 Classifications

The following table presents additional information about assets and liabilities measured at fair value for which the Company has utilized significant unobservable (Level 3) inputs to determine fair value as of September 30, 2017:

DescriptionBeginning balance as of July 1, 2017

Transfers into

Level 3

Transfers out of

Level 3

Total gains and (losses) included in

net income(loss)


surplus Purchases Issuances Sales Settlements

Ending balance asof September 30,

2017

a. Assets:

Common stocks $ 15,000,000 $ — $ — $ — $ — $ — $ — $ — $ — $ 15,000,000

Derivatives 80,787,922 — — 15,917,849 356,778 14,965,553 — (31,081,638) — 80,946,464

Separate account assets 4,633,366 — — — (14,845) — — (42,466) (178,168) 4,397,887

Total Assets $ 100,421,288 $ — $ — $ 15,917,849 $ 341,933 $ 14,965,553 $ — $ (31,124,104) $ (178,168) $ 100,344,351

b. Liabilities:

Derivatives $ 11,411 $ — $ — $ — $ (11,411) $ — $ — $ — $ — $ —

Total Liabilities $ 11,411 $ — $ — $ — $ (11,411) $ — $ — $ — $ — $ —

The following table presents additional information about assets and liabilities measured at fair value for which the Company has utilized significant unobservable (Level 3) inputs to determine fair value as of December 31, 2016:

Description

Beginning balance as of January 1,

2016

Transfers into

Level 3(a)

Transfers out of

Level 3(b)


net income(loss)


surplus Purchases Issuances Sales Settlements

Ending balance as of December 31,

2016

a. Assets:

Loan-backed and structured securities (NAIC 3-6) $ — $ 170,361 $ (170,361) $ — $ — $ — $ — $ — $ — $ —

Derivatives 28,277,391 — — (3,162,470) 15,333,330 74,232,422 — (43,638,610) 917,011 71,959,074

Preferred and common stocks 15,000,000 — — — — — — — — 15,000,000

Separate account assets 6,017,345 — — — (139,641) — — — (826,822) 5,050,882

Total Assets $ 49,294,736 $ 170,361 $ (170,361) $ (3,162,470) $ 15,193,689 $ 74,232,422 $ — $ (43,638,610) $ 90,189 $ 92,009,956

b. Liabilities:

Derivatives $ 337,958 $ — $ — $ 249,484 $ (509,349) $ (74,283) $ 10,452 $ — $ — $ 14,262

Total Liabilities $ 337,958 $ — $ — $ 249,484 $ (509,349) $ (74,283) $ 10,452 $ — $ — $ 14,262

(a) Transferred from Level 2 to Level 3 because of lack of observable market data due to decrease in market activity for these securities or movement from amortized cost reporting to fair value.

(b) Transferred from Level 3 to Level 2 because of observable market data became available for these securities or movement from fair value reporting to amortized cost.



7. 8

Realized and unrealized gains (losses) on Level 3 assets and liabilities are primarily reported in either net income (loss) or change in net unrealized capital gains (losses) based on the appropriate accounting treatment for the instrument.

Purchases, sales, issuances and settlements represent the activity that occurred during the period that results in a change of the asset or liability but does not represent changes in fair value for the instruments held at the beginning of the period. Such activity primarily consists of purchases and settlements of derivative instruments.

There were no gains or losses for the year included in net income (loss) attributable to unrealized gains (losses) related to assets still held as of the reporting date.

(2) Transfers Between Levels

The Company reviews the fair value hierarchy classifications each reporting period. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in and out of Level 3 at the beginning fair value for the reporting period.

(3) Valuation Techniques and Inputs

The vast majority of long-term bonds use Level 2 inputs for the determination of fair value. These fair values are obtained primarily from industry-standard pricing methodologies based on market observable information. Certain structured securities valued using industry-standard pricing methodologies utilize significant unobservable inputs to estimate fair value, resulting in the fair value measurements being classified as Level 3. The Company also utilizes internally developed pricing models to produce estimates of fair value primarily utilizing Level 2 inputs along with certain Level 3 inputs. The internally developed models include matrix pricing where the Company discounts expected cash flows utilizing market interest rates obtained from market sources based on the credit quality and duration of the instrument to determine fair value. For securities that may not be reliably priced using internally developed pricing models, fair value is estimated using indicative market prices. These prices are indicative of an exit price, but the assumptions used to establish the fair value may not be observable, or corroborated by market observable information, and represent Level 3 inputs.

The valuation of interest rate swaps is determined using an income approach. The primary input into the valuation represents the forward interest rate swap curve, which is generally considered an observable input, and results in the derivative being classified as Level 2. For certain interest rate swaps, the inputs into the valuation also include the total returns of certain bonds that would primarily be considered an observable input and result in the derivative being classified as Level 2. For certain other swaps, there are features that provide an option to the counterparty to terminate the swap at specified dates and would be considered a significant unobservable input and results in the fair value measurement of the derivative being classified as Level 3.

For single name credit default swaps, an income approach is used to determine fair value based on using current market information for the credit spreads of the reference entity, which is considered observable inputs based on the reference entities of derivatives and results in these derivatives being classified as Level 2.

The valuation of equity index options is determined using an income approach. The primary inputs into the valuation represent forward interest rate volatility and time value component associated with the optionality in the derivative, which are considered significant unobservable inputs in most instances. The equity index volatility surface is determined based on market information that is not readily observable and is developed based upon inputs received from several third-party sources. Accordingly, these options are classified as Level 3.

The valuation of equity return swaps is determined using an income approach. The primary inputs into the valuation represent the forward interest rate swap curve and underlying equity index values, which are generally considered observable inputs, and results in the derivative being classified as Level 2.

The fair value of the majority of separate account assets is based on the quoted prices of the underlying fund investments and, therefore represents Level 1 pricing. The remaining separate account assets represent Level 2 and 3 pricing, as defined above.



7. 9

C. Aggregate Fair Value of All Financial Instruments

The following table sets forth the Company’s financial instruments fair values, admitted amounts and level of fair value amounts as of September 30, 2017:

Type of financial instrument

Aggregate fair value Admitted assets Level 1 Level 2 Level 3

Not practicable (Carrying

value)

Bonds $ 12,234,855,638 $ 11,353,674,148 $ — $ 11,115,154,886 $1,119,700,752 $ —

Preferred and common stocks 64,247,185 61,453,970 32,040,836 16,317,250 15,889,099 —

Separate account assets 6,732,581,829 6,732,581,829 6,687,007,467 41,176,475 4,397,887 —

Mortgage loans 1,823,576,013 1,764,343,806 — — 1,823,576,013 —

Short-term investments 301,062,187 301,062,187 291,168,637 9,893,550 — —

Other invested assets 52,882,392 42,427,693 — 52,882,392 — —

Reinvested securities lending collateral 96,242,894 96,242,894 — 96,242,894 — —

Derivative assets 81,037,889 81,037,889 — 91,424 80,946,465 —

Derivative liabilities 1,819,813 — — 1,819,813 — —

The following table sets forth the Company’s financial instruments fair values, admitted amounts and level of fair value amounts as of December 31, 2016:

Type of financial instrument

Aggregate fairvalue Admitted assets Level 1 Level 2 Level 3

Notpracticable(Carrying

value)

Bonds $ 11,855,156,209 $ 11,290,522,425 $ — $ 10,706,526,945 $1,148,629,264 $ —

Preferred and common stocks 53,320,396 51,569,859 30,137,275 7,361,254 15,821,867 —

Separate account assets 6,760,741,273 6,760,741,272 6,712,359,610 43,330,781 5,050,882 —

Mortgage loans 1,649,238,609 1,622,626,506 — — 1,649,238,609 —

Short-term investments 366,699,280 366,699,280 366,699,280 — —

Other invested assets 50,504,023 42,454,381 — 50,504,023 — —

Reinvested securities lending collateral 89,056,030 89,056,030 — 89,056,030 — —

Derivative assets 72,193,739 72,193,739 — 234,665 71,959,074 —

Derivative liabilities 1,151,959 — 1,137,697 14,262 —

D. There were no financial instruments for which it was not practicable to estimate fair value.



7. 10

Note 21 - Other Items

C. Other Disclosures

On September 18, 2017, Standard & Poor's Financial Services, LLC downgraded the financial strength rating of the Company from BB- to B+.

On October 21, 2016, Genworth Financial, Inc. (“Genworth") entered into an agreement and plan of merger (the “Merger Agreement”) with Asia Pacific Global Capital Co., Ltd. (“the Parent”), a limited liability company incorporated in the People’s Republic of China, and Asia Pacific Global Capital USA Corporation (“Merger Sub”), a Delaware corporation and an indirect, wholly-owned subsidiary of the Parent. Subject to the terms and conditions of the Merger Agreement, including the satisfaction or waiver of certain conditions, Merger Sub would merge with and into Genworth with Genworth surviving the merger as an indirect, wholly-owned subsidiary of the Parent. The Parent is a newly formed subsidiary of China Oceanwide Holdings Group Co., Ltd. (together with its affiliates, (“China Oceanwide”). China Oceanwide has agreed to acquire all of Genworth's outstanding common stock for a total transaction value of approximately $2.7 billion, or $5.43 per share in cash. At a special meeting held on March 7, 2017, Genworth's stockholders voted on and approved a proposal to adopt the Merger Agreement.

Genworth and China Oceanwide continue to work towards satisfying the closing conditions of their proposed transaction as soon as possible. To date, Genworth has announced approvals from the Virginia Bureau, the North Carolina Department of Insurance, the South Carolina Department of Insurance and the Vermont Insurance Division. However, on October 2, 2017, Genworth and China Oceanwide withdrew their joint voluntary notice to Committee on Foreign Investment in the United States (“CFIUS”) with an intent to refile with additional mitigation approaches. Both parties are actively engaged in developing these approaches, including the potential involvement of a U.S. third-party service provider, and anticipate refiling a new joint notice with CFIUS as soon as the terms of the additional mitigation approaches are determined. Genworth and China Oceanwide are fully committed to developing an acceptable solution with CFIUS; however, there can be no assurance that CFIUS will ultimately agree to clear the transaction between Genworth and China Oceanwide on terms acceptable to the parties or at all. In addition to approval and clearance by CFIUS, the closing of the proposed transaction remains subject to the receipt of required regulatory approvals in the U.S., China, and other international jurisdictions and other closing conditions. Genworth and China Oceanwide also continue to be actively engaged with the other relevant regulators regarding the pending applications.

On August 21, 2017, Genworth, the Parent and Merger Sub entered into a Waiver and Agreement pursuant to which Genworth and the Parent each agreed to, among other things, waive until November 30, 2017 its right to terminate the Merger Agreement and abandon the merger in accordance with the terms of the Merger Agreement due to a failure of the merger to have been completed on or before August 31, 2017. Genworth and China Oceanwide are also discussing an additional waiver of each party’s right to terminate the Merger Agreement beyond the November 30, 2017 deadline. If Genworth is unable to reach an agreement as to a further extension of the deadline or is unable to satisfy the closing conditions by the applicable deadline, then either party may terminate the Merger Agreement. Genworth and China Oceanwide remain committed to satisfying the closing conditions under the Merger Agreement as soon as possible.

Note 22 - Events Subsequent

On October 3, 2017, Moody’s Investor Service, Inc. downgraded the financial strength rating of the Company from Baa2 to Ba1.

On October 6, 2017, the Company filed a motion to dismiss the re-filed putative class action lawsuit captioned Avazian,

et al v. Genworth Life and Annuity Insurance Company, et al, described in Note 14. The Company intends to vigorously defend the action.

There were no other material events that occurred subsequent to September 30, 2017. Subsequent events have been considered through November 14, 2017, the date on which the statutory financial statements were issued.



7. 11

Note 23 - Reinsurance

In February 2016, Genworth announced that one of its strategic objectives was to separate, then isolate, through a series of transactions, its long-term care insurance ("LTCI") business from its other U.S. life insurance businesses. Genworth's goal under the plan is to align substantially all of its in-force life insurance and annuity business under the Company and all LTCI business under GLIC. As part of this strategic objective, a holding company will pursue the purchase of the Company from GLIC at fair value and the Company will no longer be a subsidiary of GLIC. As part of the U.S. life insurance restructuring, the Company completed several reinsurance agreements effective April 1, 2017 and July 1, 2017, as discussed below, to facilitate the unstacking strategy.

Effective April 1, 2017, the Company assumed certain term life insurance business from GLIC with an initial premium of $68,891,833 and paid a ceding commission of $48,600,000 to GLIC. For the net settlement, GLIC transferred bonds of $7,666,806, mortgage loans of $8,193,121 and cash of $4,431,906 to the Company. Reserves assumed as of September 30, 2017 were $55,469,122.

Effective April 1, 2017, the Company assumed certain universal life insurance business from GLIC with an initial premium of $101,041,111 and paid a ceding commission of $4,9000,000 to GLIC. For the net settlement, GLIC transferred bonds of $79,789,704, mortgage loans of $14,415,946 and cash of $249,241 to the Company resulting in a loss of $1,686,220. Reserves assumed as of September 30, 2017 were $103,006,027.

Effective April 1, 2017, the Company assumed certain single premium whole life insurance business from GLIC with an initial premium of $134,548,621 and paid a ceding commission of $2,800,000 to GLIC. For the net settlement, GLIC transferred bonds of $89,773,876, mortgage loans of $26,077,973, policy loans of $14,903,568 and cash of $290,248 to the Company resulting in a loss of $702,956. Reserves assumed as of September 30, 2017 were $131,010,255.

Effective July 1, 2017, GLIC recaptured the fixed deferred annuity business previously assumed by the Company on a modified coinsurance basis. GLIC recaptured $263,392,546 of modified coinsurance reserves and paid a recapture payment of $4,300,000 to the Company.

Effective July 1, 2017, the Company assumed certain fixed deferred annuity business, including the business recaptured by GLIC, and certain fixed payout annuity business from GLIC on a modified coinsurance basis. The Company assumed $8,121,458,202 of modified coinsurance reserves and paid a ceding commission of $15,400,000 to GLIC. Modified coinsurance reserves assumed as of September 30, 2017 were $7,921,107,090.

Effective July 1, 2017, the Company assumed certain corporate-owned life insurance business from GLIC on a modified coinsurance basis. The Company assumed $1,523,119,871 of modified coinsurance reserves and paid a ceding commission of $46,300,000 to GLIC. Modified coinsurance reserves assumed as of September 30, 2017 were $1,552,617,939.

The reinsurance treaties effective July 1, 2017 include provisions that require them to be unwound or voided in the event the merger transaction with China Oceanwide is terminated.

Note 24 - Retrospectively Rated Contracts & Contracts Subject to Redetermination

E. Risk Sharing Provisions of the Affordable Care Act

The Company does not write accident and health insurance that is subject to the Affordable Care Act risk sharing provisions. Although the Company holds several accident and health policies in-force, these policies are not subject to the Affordable Care Act sharing provisions.

Note 25 - Change in Incurred Losses and Loss Adjustment Expenses

Reserves as of December 31, 2016 were $929,283 for the Company’s accident and health line of business. As ofSeptember 30, 2017, $231,964 has been paid for incurred claims and claim adjustment expenses attributable to insured events of prior years. Reserves remaining for prior years are now $744,645 as of September 30, 2017. Therefore, there has been $47,326 of unfavorable prior year development from December 31, 2016 to September 30, 2017. Original estimates are increased or decreased as additional information becomes known regarding individual claims. As of September 30, 2017, the Company did not have any retrospectively rated policies.

Note 26 - Intercompany Pooling Arrangements


Note 27 - Structured Settlements


Note 28 - Health Care Receivables


Note 29 - Participating Policies


Note 30 - Premium Deficiency Reserves




7. 12

Note 31 - Reserves for Life Contracts and Annuity Contracts


Note 32 - Analysis of Annuity Actuarial Reserves and Deposit Type Liabilities by Withdrawal Characteristics


Note 33 - Premiums and Annuity Considerations Deferred and Uncollected


Note 34 - Separate Accounts


Note 35 - Loss/Claim Adjustment Expenses



GENERAL INTERROGATORIES

PART 1 - COMMON INTERROGATORIES

GENERAL

1.1 Did the reporting entity experience any material transactions requiring the filing of Disclosure of Material Transactions with the State of Domicile, as required by the Model Act? Yes [ ] No [ X ]

1.2 If yes, has the report been filed with the domiciliary state? Yes [ ] No [ ]

2.1 Has any change been made during the year of this statement in the charter, by-laws, articles of incorporation, or deed of settlement of the reporting entity? Yes [ ] No [ X ]

2.2 If yes, date of change:

3.1 Is the reporting entity a member of an Insurance Holding Company System consisting of two or more affiliated persons, one or more of which is an insurer? Yes [ X ] No [ ]

If yes, complete Schedule Y, Parts 1 and 1A.

3.2 Have there been any substantial changes in the organizational chart since the prior quarter end? Yes [ ] No [ X ]

3.3 If the response to 3.2 is yes, provide a brief description of those changes.

4.1 Has the reporting entity been a party to a merger or consolidation during the period covered by this statement? Yes [ ] No [ X ]

4.2 If yes, provide the name of the entity, NAIC Company Code, and state of domicile (use two letter state abbreviation) for any entity that has ceased to exist as a result of the merger or consolidation.

1Name of Entity

2NAIC Company Code

3State of Domicile

N/A

5. If the reporting entity is subject to a management agreement, including third-party administrator(s), managing general agent(s), attorney-in-fact, or similar agreement, have there been any significant changes regarding the terms of the agreement or principals involved? Yes [ ] No [ ] N/A [ X ]

If yes, attach an explanation.

6.1 State as of what date the latest financial examination of the reporting entity was made or is being made. 12/31/2014

6.2 State the as of date that the latest financial examination report became available from either the state of domicile or the reporting entity. This date should be the date of the examined balance sheet and not the date the report was completed or released. 12/31/2014

6.3 State as of what date the latest financial examination report became available to other states or the public from either the state of domicile or the reporting entity. This is the release date or completion date of the examination report and not the date of the examination (balance sheet date). 06/01/2016

6.4 By what department or departments?

Virginia

6.5 Have all financial statement adjustments within the latest financial examination report been accounted for in a subsequent financial statement filed with Departments? Yes [ X ] No [ ] N/A [ ]

6.6 Have all of the recommendations within the latest financial examination report been complied with? Yes [ X ] No [ ] N/A [ ]

7.1 Has this reporting entity had any Certificates of Authority, licenses or registrations (including corporate registration, if applicable) suspended or revoked by any governmental entity during the reporting period? Yes [ ] No [ X ]

7.2 If yes, give full information:

N/A

8.1 Is the company a subsidiary of a bank holding company regulated by the Federal Reserve Board? Yes [ ] No [ X ]

8.2 If response to 8.1 is yes, please identify the name of the bank holding company.

N/A

8.3 Is the company affiliated with one or more banks, thrifts or securities firms? Yes [ X ] No [ ]

8.4 If response to 8.3 is yes, please provide below the names and location (city and state of the main office) of any affiliates regulated by a federal regulatory services agency [i.e. the Federal Reserve Board (FRB), the Office of the Comptroller of the Currency (OCC), the Federal Deposit Insurance Corporation (FDIC) and the Securities Exchange Commission (SEC)] and identify the affiliate's primary federal regulator.

1Affiliate Name

2Location (City, State)

3FRB

4OCC

5FDIC

6SEC

Capital Brokerage Corporation Richmond, VA YES

8



9.1 Are the senior officers (principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions) of the reporting entity subject to a code of ethics, which includes the following standards? Yes [ X ] No [ ]

(a) Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

(b) Full, fair, accurate, timely and understandable disclosure in the periodic reports required to be filed by the reporting entity;

(c) Compliance with applicable governmental laws, rules and regulations;

(d) The prompt internal reporting of violations to an appropriate person or persons identified in the code; and

(e) Accountability for adherence to the code.

9.11 If the response to 9.1 is No, please explain:

9.2 Has the code of ethics for senior managers been amended? Yes [ ] No [ X ]9.21 If the response to 9.2 is Yes, provide information related to amendment(s).

9.3 Have any provisions of the code of ethics been waived for any of the specified officers? Yes [ ] No [ X ]9.31 If the response to 9.3 is Yes, provide the nature of any waiver(s).

FINANCIAL

10.1 Does the reporting entity report any amounts due from parent, subsidiaries or affiliates on Page 2 of this statement? Yes [ ] No [ X ]10.2 If yes, indicate any amounts receivable from parent included in the Page 2 amount: $ 0

INVESTMENT

11.1 Were any of the stocks, bonds, or other assets of the reporting entity loaned, placed under option agreement, or otherwise made available for use by another person? (Exclude securities under securities lending agreements.) Yes [ ] No [ X ]

11.2 If yes, give full and complete information relating thereto:

N/A

12. Amount of real estate and mortgages held in other invested assets in Schedule BA: $ 21,018,868 13. Amount of real estate and mortgages held in short-term investments: $ 0 14.1 Does the reporting entity have any investments in parent, subsidiaries and affiliates? Yes [ X ] No [ ]14.2 If yes, please complete the following:

1Prior Year-End Book/Adjusted Carrying Value

2Current Quarter Book/Adjusted Carrying Value

14.21 Bonds $ 0 $ 14.22 Preferred Stock $ 500,000 $ 500,000 14.23 Common Stock $ 263,769,610 $ 262,950,403 14.24 Short-Term Investments $ 0 $ 14.25 Mortgage Loans on Real Estate $ 0 $ 14.26 All Other $ 5,370,392 $ 5,374,569 14.27 Total Investment in Parent, Subsidiaries and Affiliates (Subtotal Lines 14.21 to 14.26) $ 269,640,002 $ 268,824,972 14.28 Total Investment in Parent included in Lines 14.21 to 14.26 above $ $

15.1 Has the reporting entity entered into any hedging transactions reported on Schedule DB? Yes [ X ] No [ ]15.2 If yes, has a comprehensive description of the hedging program been made available to the domiciliary state? Yes [ X ] No [ ]

If no, attach a description with this statement.

8.1



16. For the reporting entity’s security lending program, state the amount of the following as of the current statement date:

16.1 Total fair value of reinvested collateral assets reported on Schedule DL, Parts 1 and 2. $ 96,242,894

16.2 Total book adjusted/carrying value of reinvested collateral assets reported on Schedule DL, Parts 1 and 2 $ 96,242,894

16.3 Total payable for securities lending reported on the liability page. $ 96,242,894

17. Excluding items in Schedule E - Part 3 - Special Deposits, real estate, mortgage loans and investments held physically in the reporting entity’s offices, vaults or safety deposit boxes, were all stocks, bonds and other securities, owned throughout the current year held pursuant to a custodial agreement with a qualified bank or trust company in accordance with Section 1, III - General Examination Considerations, F. Outsourcing of Critical Functions, Custodial or Safekeeping Agreements of the NAIC Financial Condition Examiners Handbook? Yes [ X ] No [ ]

17.1 For all agreements that comply with the requirements of the NAIC Financial Condition Examiners Handbook, complete the following:

1Name of Custodian(s)

2Custodian Address

The Bank of New York Mellon One Wall Street

New York, NY 10286

Federal Home Loan Bank of Atlanta 1475 Peachtree Street, N.E.

Atlanta, GA 30309

17.2 For all agreements that do not comply with the requirements of the NAIC Financial Condition Examiners Handbook, provide the name, location and a complete explanation:

1Name(s)

2Location(s)

3Complete Explanation(s)

N/A

17.3 Have there been any changes, including name changes, in the custodian(s) identified in 17.1 during the current quarter? Yes [ ] No [ X ]17.4 If yes, give full information relating thereto:

1Old Custodian

2New Custodian

3Date of Change

4Reason

N/A N/A

17.5 Investment management – Identify all investment advisors, investment managers, broker/dealers, including individuals that have the authority to make investment decisions on behalf of the reporting entity. For assets that are managed internally by employees of the reporting entity, note as such. ["Athat have access to the investment accounts"; "Ahandle securities"]

1Name of Firm or Individual

2Affiliation

Western Asset Management Company U

Managed Internally I

17.5097 For those firms/individuals listed in the table for Question 17.5, do any firms/individuals unaffiliated with the reporting entity (i.e. designated with a "U") manage more than 10% of the reporting entity’s assets? Yes [ ] No [ X ]

17.5098 For firms/individuals unaffiliated with the reporting entity (i.e. designated with a "U") listed in the table for Question 17.5, does the total assets under management aggregate to more than 50% of the reporting entity’s assets? Yes [ X ] No [ ]

17.6 For those firms or individuals listed in the table for 17.5 with an affiliation code of "A" (affiliated) or "U" (unaffiliated), provide the information for the table below.

1

Central Registration Depository Number

2

Name of Firm or Individual

3

Legal Entity Identifier (LEI)

4

Registered With

5Investment

Management Agreement (IMA) Filed

110441 Western Asset Management Company 549300C5A561UXUICN46 SEC NO

18.1 Have all the filing requirements of the Purposes and Procedures Manual of the NAIC Investment Analysis Office been followed? Yes [ X ] No [ ]18.2 If no, list exceptions:

N/A

8.2



PART 2 - LIFE & HEALTH

1. Report the statement value of mortgage loans at the end of this reporting period for the following categories: 1

Amount

1.1 Long-Term Mortgages In Good Standing

1.11 Farm Mortgages $

1.12 Residential Mortgages $

1.13 Commercial Mortgages $ 1,764,343,806

1.14 Total Mortgages in Good Standing $ 1,764,343,806

1.2 Long-Term Mortgages In Good Standing with Restructured Terms

1.21 Total Mortgages in Good Standing with Restructured Terms $

1.3 Long-Term Mortgage Loans Upon which Interest is Overdue more than Three Months



1.33 Commercial Mortgages $

1.34 Total Mortgages with Interest Overdue more than Three Months $ 0

1.4 Long-Term Mortgage Loans in Process of Foreclosure




1.44 Total Mortgages in Process of Foreclosure $ 0

1.5 Total Mortgage Loans (Lines 1.14 + 1.21 + 1.34 + 1.44) (Page 2, Column 3, Lines 3.1 + 3.2) $ 1,764,343,806

1.6 Long-Term Mortgages Foreclosed, Properties Transferred to Real Estate in Current Quarter




1.64 Total Mortgages Foreclosed and Transferred to Real Estate $ 0

2. Operating Percentages:

2.1 A&H loss percent (83.600)%

2.2 A&H cost containment percent 0.000 %

2.3 A&H expense percent excluding cost containment expenses 1,309.900 %

3.1 Do you act as a custodian for health savings accounts? Yes [ ] No [ X ]

3.2 If yes, please provide the amount of custodial funds held as of the reporting date $ 0

3.3 Do you act as an administrator for health savings accounts? Yes [ ] No [ X ]

3.4 If yes, please provide the balance of the funds administered as of the reporting date $ 0

9


SCHEDULE S - CEDED REINSURANCEShowing All New Reinsurance Treaties - Current Year to Date

1

NAICCompany

Code

2

IDNumber

3

EffectiveDate

4

Name of Reinsurer

5

Domiciliary Jurisdiction

6

Type of Reinsurance

Ceded

7

Type of Reinsurer

8

Certified Reinsurer

Rating(1 through 6)

9EffectiveDate ofCertified

Reinsurer Rating

16535 36-4233459 04/01/2017 Zurich American Insurance NY CAT/I Authorized

00000 AA-1120090 04/01/2017 Lloyds Syndicate 4711 GBR CAT/I Authorized


20370 51-0434766 04/01/2017 AXIS Reinsurance Company NY CAT/I Authorized



00000 AA-1460022 04/01/2017 Allied World Assurance Company CHE CAT/I Unauthorized

10


SCHEDULE T - PREMIUMS AND ANNUITY CONSIDERATIONSCurrent Year To Date - Allocated by States and Territories

Direct Business Only1 Life Contracts 4 5 6 7

States, Etc.ActiveStatus

2

Life InsurancePremiums

3

AnnuityConsiderations

Accident and Health Insurance

Premiums, Including Policy,

Membershipand Other Fees

OtherConsiderations

TotalColumns

2 Through 5Deposit-Type

Contracts

1. Alabama AL L 11,303,590 259,467 41,313 0 11,604,370 0

2. Alaska AK L 1,107,277 2,300 2,497 0 1,112,074 0

3. Arizona AZ L 14,352,043 927,107 122,308 0 15,401,458 0

4. Arkansas AR L 5,431,357 89,751 10,090 0 5,531,198 0

5. California CA L 109,782,651 1,478,134 1,471,665 0 112,732,450 0

6. Colorado CO L 18,876,962 191,335 86,277 0 19,154,574 0

7. Connecticut CT L 19,147,874 527,586 142,197 0 19,817,657 0

8. Delaware DE L 2,638,484 42,660 116,431 0 2,797,575 0

9. District of Columbia DC L 1,771,800 20,208 0 0 1,792,008 0

10. Florida FL L 52,660,687 1,021,985 2,267,413 0 55,950,085 0

11. Georgia GA L 31,303,971 1,402,056 87,781 0 32,793,808 0

12. Hawaii HI L 4,892,360 137,027 18,977 0 5,048,364 0

13. Idaho ID L 4,845,060 316,392 15,725 0 5,177,177 0

14. Illinois IL L 34,249,311 2,941,818 260,356 0 37,451,485 0

15. Indiana IN L 12,992,841 174,859 498,291 0 13,665,991 0

16. Iowa IA L 10,506,997 341,292 173,816 0 11,022,105 0

17. Kansas KS L 13,037,602 (3,100) 282,854 0 13,317,356 0

18. Kentucky KY L 8,686,773 (240,856) 48,829 0 8,494,746 0

19. Louisiana LA L 11,504,612 189,117 50,477 0 11,744,206 0

20. Maine ME L 6,309,222 12,200 35,040 0 6,356,462 0

21. Maryland MD L 22,395,396 474,086 180,729 0 23,050,211 0

22. Massachusetts MA L 26,886,969 157,637 55,247 0 27,099,853 0

23. Michigan MI L 26,375,860 780,609 538,225 0 27,694,694 0

24. Minnesota MN L 32,972,434 205,414 145,553 0 33,323,401 0

25. Mississippi MS L 7,743,057 17,677 32,850 0 7,793,584 0

26. Missouri MO L 18,750,969 3,808,340 458,105 0 23,017,414 0

27. Montana MT L 3,283,366 1,785 463,839 0 3,748,990 0

28. Nebraska NE L 9,858,749 175,947 453,532 0 10,488,228 0

29. Nevada NV L 5,998,186 102,959 88,931 0 6,190,076 0

30. New Hampshire NH L 6,629,518 145,742 455,275 0 7,230,535 0

31. New Jersey NJ L 33,851,599 831,616 19,848,717 0 54,531,932 0

32. New Mexico NM L 3,786,829 10,137 11,110 0 3,808,076 0

33. New York NY N 8,835,165 139,672 180,053 0 9,154,890 0

34. North Carolina NC L 34,728,538 551,600 282,702 0 35,562,840 0

35. North Dakota ND L 3,762,114 2,766 83,008 0 3,847,888 0

36. Ohio OH L 39,667,336 1,007,224 688,811 0 41,363,371 0

37. Oklahoma OK L 6,990,514 62,523 48,598 0 7,101,635 0

38. Oregon OR L 10,859,599 24,276 250,628 0 11,134,503 0

39. Pennsylvania PA L 44,978,587 2,393,018 1,323,526 0 48,695,131 0

40. Rhode Island RI L 3,589,859 81,835 56,823 0 3,728,517 0

41. South Carolina SC L 19,310,148 765,905 189,609 0 20,265,662 0

42. South Dakota SD L 3,255,310 11,500 190,847 0 3,457,657 0

43. Tennessee TN L 19,451,471 589,240 120,029 0 20,160,740 0

44. Texas TX L 56,419,488 656,741 443,363 0 57,519,592 0

45. Utah UT L 8,057,126 567,975 490,249 0 9,115,350 0

46. Vermont VT L 2,782,790 900 3,422,127 0 6,205,817 0

47. Virginia VA L 40,378,980 676,524 122,484 0 41,177,988 0

48. Washington WA L 23,300,799 122,149 212,775 0 23,635,723 0

49. West Virginia WV L 3,462,805 1,246 40,103 0 3,504,154 0

50. Wisconsin WI L 15,671,632 249,624 77,676 0 15,998,932 0

51. Wyoming WY L 1,378,161 4,500 136,880 0 1,519,541 0

52. American Samoa AS N 14,482 0 0 0 14,482 0

53. Guam GU N 36,608 0 0 0 36,608 0

54. Puerto Rico PR N 28,917 0 0 0 28,917 0

55. U.S. Virgin Islands VI N 97,779 0 0 0 97,779 0

56. Northern Mariana Islands MP N 9,994 0 0 0 9,994 0

57. Canada CAN N 102,335 0 0 0 102,335 0

58. Aggregate Other Aliens OT XXX 71,312 30 2,150 0 73,492 0

59. Subtotal (a) 50 921,176,255 24,452,535 36,826,891 0 982,455,681 0

90. Reporting entity contributions for employee benefits

plans XXX 0

91. Dividends or refunds applied to purchase paid-up

additions and annuities XXX 0

92. Dividends or refunds applied to shorten endowment

or premium paying period XXX 0

93. Premium or annuity considerations waived under

disability or other contract provisions XXX 2,732,766 0 582,979 0 3,315,745 0

94. Aggregate or other amounts not allocable by State XXX 0 0 0 0 0 0

95. Totals (Direct Business) XXX 923,909,021 24,452,535 37,409,870 0 985,771,426 0

96. Plus Reinsurance Assumed XXX 2,058,085,445 7,347,828,374 987,993 0 9,406,901,812 270,331,144

97 Totals (All Business) XXX 2,981,994,466 7,372,280,909 38,397,863 0 10,392,673,238 270,331,144

98. Less Reinsurance Ceded XXX 810,373,099 6,935,980 38,295,958 0 855,605,037 0

99. Totals (All Business) less Reinsurance Ceded XXX 2,171,621,367 7,365,344,929 101,905 0 9,537,068,201 270,331,144


58001. ZZZ-Other Alien XXX 71,312 30 2,150 0 73,492

58002. XXX

58003. XXX

58998. Summary of remaining write-ins for Line 58 from

overflow page XXX 0 0 0 0 0 0

58999. Totals (Lines 58001 through 58003 plus

58998)(Line 58 above) XXX 71,312 30 2,150 0 73,492 0

9401. XXX 0 0 0 0 0

9402. XXX

9403. XXX

9498. Summary of remaining write-ins for Line 94 from

overflow page XXX 0 0 0 0 0 0

9499. Totals (Lines 9401 through 9403 plus 9498)(Line

94 above) XXX 0 0 0 0 0 0

(L) Licensed or Chartered - Licensed Insurance Carrier or Domiciled RRG; (R) Registered - Non-domiciled RRGs; (Q) Qualified - Qualified or Accredited Reinsurer; (E) Eligible - Reporting

Entities eligible or approved to write Surplus Lines in the state; (N) None of the above - Not allowed to write business in the state.

(a) Insert the number of L responses except for Canada and Other Alien.

11


12

Reflects capitalized companies only.

Does not include limited partnerships or investment companies whose shares are owned by

individual investors or insurance companies.1Remainder owned by third parties.21 share owned by Genworth Mortgage Insurance Corporation.3No shareholders.414.98% owned by Genworth Mortgage Insurance Corporation; 1.70% owned by Genworth Mortgage

Insurance Corporation of North Carolina; Remainder publicly owned.5.01% owned by Genworth Life Insurance Company.6.01% owned by Genworth Mortgage Insurance Corporation.

Genworth Financial, Inc.Global Organizational ChartAs of September 30, 2017Common Stock Ownership Only - 100% unless otherwise indicated

Genworth North America Corporation

(WA) 91-1277112

Genworth Life Insurance

Company (DE)91-6027719

Newco Properties, Inc.

(VA) 36-3919178

HGI Annuity Service

Corporation (DE)04-3193403

Genworth Financial

Agency, Inc. (VA) 54-1304309

Jamestown Life Insurance

Company (VA)54-1215126

Assigned Settlement, Inc. (VA) 54-1446519

Genworth Life Insurance

Company of New York (NY)

22-2882416

Genworth Life and Annuity Insurance

Company (VA) 54-0283385

Mayflower Assignment

Corporation (NY) 13-3627179

Denotes Insurance Company

Genworth Financial International Holdings, LLC

(DE) 55-0848642

GLICNY Real Estate Holding,

LLC (DE)74-3128556

GNWLAAC Real Estate

Holding, LLC (DE)

20-2528615

Genworth Servicios, S. de

R.L. de C.V. (Mexico)

99.9%2

Genworth Foundation 3

(VA) 20-3370235

Genworth Financial Mauritius

Holdings Limited (Mauritius)

Genworth Financial Asia Limited (Hong Kong)

65.5%

Genworth Seguros de Credito a la

Vivienda, S.A. de C.V. (Mexico)

34.5%

GLIC Real Estate Holding, LLC (DE)

26-3366147

7.01% owned by Genworth Holdings, Inc.8Minority Interest – Genworth Financial Mauritius Holdings Limited owns 38.5% of India Mortgage Guarantee

Corporation Private Limited; Remainder owned by third parties.9Genworth Financial International Holdings, LLC’s interest is greater than 99.9% and Genworth Holdings, Inc.

interest is less than 0.1%. 10.0001% owned by Genworth Holdings, Inc.11100% of common shares (representing 88% of the voting rights) and 100% of Class A Shares owned by Genworth

Canada Holdings I Company; 100% of the Class B Preferred Shares (representing 12% of the voting rights)

owned by Genworth Canada Holdings II Company.

Genworth Financial

Participações Ltda (Brazil)

99.9999%10

Genworth Seguros Vida, S.A. de C.V.

(Mexico)

99.99%5

National Eldercare Referral Systems,

LLC (DE) 04-3401260

Genworth Mortgage Insurance

Australia Limited(Australia)

ACN 154 890 730

99.99%6

8

Genworth

Financial, Inc. (DE)

FEIN: 80-0873306

Genworth Holdings, Inc. (DE)

33-1073076

Genworth Mortgage Holdings, Inc. (DE)

46-1579166

Genworth Annuity Service

Corporation (DE)46-4037534

Genworth Australian General Partnership

(Australia)61-1737296

Capital Brokerage

Corporation (WA) 91-1143830

United Pacific Structured Settlement

Company (FL) 23-2571379

99.9%9

0.1%9

52%1

River Lake Insurance

Company XI (DE)47-2145951

Rivermont Life Insurance

Company I (SC) 20-4932924


Company VI (DE)26-3709693


Company VII (VT)26-4266916


Company VIII (VT)27-0951675


Company IX (VT)46-0967288


Company X (VT)46-0982336

99.99%8

Genworth Financial India Private Limited

(India)

Genworth Seguros Danos,

S.A. de C.V. (Mexico)

99.99%7

Genworth Financial Mortgage Insurance Company Canada

(Canada)

Genworth Canada Holdings

II Company (Canada)

Genworth MI Canada Inc.

(Canada)

40.64%4

MIC Insurance Company Canada

(Canada)

Genworth Financial Mortgage Insurance

Pty Limited (Australia)

Genworth Financial Mortgage

Indemnity Limited (Australia)

Genworth Canada Holdings I Company

(Canada)

11MIC Holdings H

Company Limited

(Canada)98-1342827 GFCM LLC

(DE)26-0070983

Genworth Mortgage Holdings,

LLC (NC)56-2255474


Corporation (NC)31-0985858

Sponsored Captive Re, Inc. (NC) 62-1819880

Genworth Mortgage

Reinsurance Corporation (NC)

56-2142304

Genworth Financial Assurance

Corporation (NC) 56-1775870


Corporation of North Carolina (NC)

56-0729821

Genworth Financial Services, Inc. (DE)

32-0098109

Genworth Mortgage Services, LLC (NC)

02-0731589

Genworth Insurance Company (NC)

56-1311049

SCHEDULE Y – INFORMATION CONCERNING ACTIVITIES OF INSURER MEMBERS OF A HOLDING COMPANY GROUPPART 1 – ORGANIZATIONAL CHART


SCHEDULE Y

PART 1A - DETAIL OF INSURANCE HOLDING COMPANY SYSTEM1

GroupCode

2

Group Name

3

NAICCompany

Code

4

IDNumber

5

Federal RSSD

6

CIK

7

Name of SecuritiesExchange

if Publicly Traded(U.S. or

International)

8

Names ofParent, Subsidiaries

Or Affiliates

9

Domi-ciliaryLoca-tion

10

Relation-ship to

ReportingEntity

11

Directly Controlled by(Name of Entity/Person)

12Type

of Control(Ownership,

Board,Management,

Attorney-in-Fact,Influence,

Other)

13If

Controlis

Owner-ship

ProvidePercen-

tage

14

Ultimate ControllingEntity(ies)/Person(s)

15

Is anSCA FilingRe-

quired? (Y/N)

16

*

00000 54-1446519 Assigned Settlement, Inc. VA DSGenworth Life and Annuity Insurance Company Ownership 100.000 Genworth Financial, Inc. Y

00000 91-1143830 0000355203 Capital Brokerage Corporation WA NIA Genworth North America Corporation Ownership 100.000 Genworth Financial, Inc. N 00000 46-4037534 Genworth Annuity Service Corporation DE NIA Genworth Life Insurance Company Ownership 100.000 Genworth Financial, Inc. Y

00000 61-1737296 Genworth Australian General Partnership AUS NIAGenworth Financial International Holdings, LLC1 Ownership 99.900 Genworth Financial, Inc. N

00000 61-1737296 Genworth Australian General Partnership AUS NIA Genworth Holdings, Inc.1 Ownership 0.100 Genworth Financial, Inc. N 00000 Genworth Canada Holdings I Company CAN NIA Genworth MI Canada, Inc. Ownership 100.000 Genworth Financial, Inc. N 00000 Genworth Canada Holdings II Company CAN NIA Genworth MI Canada, Inc. Ownership 100.000 Genworth Financial, Inc. N 00000 54-1304309 Genworth Financial Agency, Inc. VA NIA Genworth North America Corporation Ownership 100.000 Genworth Financial, Inc. N

00000 Genworth Financial Asia Limited HKG NIAGenworth Financial International Holdings, LLC Ownership 100.000 Genworth Financial, Inc. N

4011 Genworth Financial, Inc. 37095 56-1775870 Genworth Financial Assurance Corporation NC IA Genworth Mortgage Holdings, LLC Ownership 100.000 Genworth Financial, Inc. N 00000 80-0873306 0001276520 NYSE Genworth Financial, Inc. DE UIP Remainder publicly owned Ownership 100.000 Genworth Financial, Inc. N 00000 Genworth Financial India Private Limited IND NIA Genworth North America Corporation Ownership 99.990 Genworth Financial, Inc. N 00000 Genworth Financial India Private Limited IND NIA Genworth Holdings, Inc. Ownership 0.010 Genworth Financial, Inc. N

00000 55-0848642 Genworth Financial International Holdings, LLC DE NIA Genworth Holdings, Inc. Ownership 100.000 Genworth Financial, Inc. N

00000 Genworth Financial Mauritius Holdings Limited

MUS NIAGenworth Financial International Holdings, LLC Ownership 100.000 Genworth Financial, Inc. N

00000 Genworth Financial Mortgage Indemnity Limited

AUS IAGenworth Financial Mortgage Insurance Pty Limited Ownership 100.000 Genworth Financial, Inc. N

00000 Genworth Financial Mortgage Insurance Company Canada CAN IA Genworth Canada Holdings I Company Ownership 100.000 Genworth Financial, Inc. N

00000 Genworth Financial Mortgage Insurance Pty Limited AUS IA

Genworth Mortgaage Insurance Australia Limited Ownership 100.000 Genworth Financial, Inc. N

00000 Genworth Financial Participações Ltda. BRA NIAGenworth Financial International Holdings, LLC Ownership 100.000 Genworth Financial, Inc. N

00000 Genworth Financial Participações Ltda. BRA NIA Genworth Holdings, Inc. Ownership 0.000 Genworth Financial, Inc. N 00000 32-0098109 Genworth Financial Services, Inc. DE NIA Genworth Mortgage Holdings, LLC Ownership 100.000 Genworth Financial, Inc. N 00000 33-1073076 0001572983 Genworth Holdings, Inc. DE UIP Genworth Financial, Inc. Ownership 100.000 Genworth Financial, Inc. N

4011 Genworth Financial, Inc. 94072 56-1311049 Genworth Insurance Company NC IA Genworth Financial, Inc. Ownership 100.000 Genworth Financial, Inc. N 4011 Genworth Financial, Inc. 65536 54-0283385 0001156124 Genworth Life and Annuity Insurance Company VA RE Genworth Life Insurance Company Ownership 100.000 Genworth Financial, Inc. N 4011 Genworth Financial, Inc. 70025 91-6027719 0001437475 Genworth Life Insurance Company DE UDP Genworth North America Corporation Ownership 100.000 Genworth Financial, Inc. N 4011 Genworth Financial, Inc. 72990 22-2882416 0001197500 Genworth Life Insurance Company of New York NY DS Genworth Life Insurance Company Ownership 65.500 Genworth Financial, Inc. N

4011 Genworth Financial, Inc. 72990 22-2882416 0001197500 Genworth Life Insurance Company of New York NY DSGenworth Life and Annuity Insurance Company Ownership 34.500 Genworth Financial, Inc. N

00000 80-4870822 TSX Genworth MI Canada Inc. CAN NIAGenworth Financial International Holdings, LLC Ownership 40.640 Genworth Financial, Inc. N

00000 80-4870822 TSX Genworth MI Canada Inc. CAN NIA Genworth Mortgage Insurance Corporation Ownership 14.980 Genworth Financial, Inc. Y

00000 80-4870822 TSX Genworth MI Canada Inc. CAN NIAGenworth Mortgage Insurance Corporation of North Carolina Ownership 1.700 Genworth Financial, Inc. Y

00000 80-4870822 TSX Genworth MI Canada Inc. CAN NIA Remainder publicly owned Ownership 42.680 Genworth Financial, Inc. N 00000 46-1579166 Genworth Mortgage Holdings, Inc. DE NIA Genworth Financial, Inc. Ownership 100.000 Genworth Financial, Inc. N 00000 56-2255474 Genworth Mortgage Holdings, LLC NC NIA Genworth Mortgage Holdings, Inc. Ownership 100.000 Genworth Financial, Inc. N

00000 ASX Genworth Mortgage Insurance Australia Limited

AUS NIA Genworth Australian General Partnership Ownership 52.000 Genworth Financial, Inc. N

00000 0001656965 ASX Genworth Mortgage Insurance Australia Limited

AUS NIA Remainder publicly owned Ownership 48.000 Genworth Financial, Inc. N 4011 Genworth Financial, Inc. 38458 31-0985858 0001656965 Genworth Mortgage Insurance Corporation NC IA Genworth Mortgage Holdings, LLC Ownership 100.000 Genworth Financial, Inc. N

4011 Genworth Financial, Inc. 16675 56-0729821 Genworth Mortgage Insurance Corporation of North Carolina NC IA Genworth Mortgage Holdings, LLC Ownership 100.000 Genworth Financial, Inc. N

4011 Genworth Financial, Inc. 11049 56-2142304 Genworth Mortgage Reinsurance Corporation NC IA Genworth Mortgage Insurance Corporation Ownership 100.000 Genworth Financial, Inc. N 00000 02-0731589 Genworth Mortgage Services, LLC NC NIA Genworth Financial Services, Inc. Ownership 100.000 Genworth Financial, Inc. N

13


SCHEDULE Y

PART 1A - DETAIL OF INSURANCE HOLDING COMPANY SYSTEM1

GroupCode

2

Group Name

3

NAICCompany

Code

4

IDNumber

5

Federal RSSD

6

CIK

7

Name of SecuritiesExchange

if Publicly Traded(U.S. or

International)

8

Names ofParent, Subsidiaries

Or Affiliates

9

Domi-ciliaryLoca-tion

10

Relation-ship to

ReportingEntity

11

Directly Controlled by(Name of Entity/Person)

12Type

of Control(Ownership,

Board,Management,

Attorney-in-Fact,Influence,

Other)

13If

Controlis

Owner-ship

ProvidePercen-

tage

14

Ultimate ControllingEntity(ies)/Person(s)

15

Is anSCA FilingRe-

quired? (Y/N)

16

* 00000 91-1277112 Genworth North America Corporation WA UIP Genworth Holdings, Inc. Ownership 100.000 Genworth Financial, Inc. N

00000 Genworth Seguros Danos, SA de CV MEX NIA

Genworth Financial International Holdings,

LLC Ownership 99.900 Genworth Financial, Inc. N

00000 Genworth Seguros Danos, SA de CV MEX NIA Genworth Holdings, Inc. Ownership 0.010 Genworth Financial, Inc. N

00000

Genworth Seguros de Credito a la Vivienda,

S.A. de C.V. MEX IA



00000

Genworth Seguros de Credito a la Vivienda,

S.A. de C.V. MEX IA Genworth Mortgage Insurance Corporation Ownership 0.010 Genworth Financial, Inc. Y

00000 Genworth Seguros Vida, SA de CV MEX NIA



00000 Genworth Seguros Vida, SA de CV MEX NIA Genworth Life Insurance Company Ownership 0.010 Genworth Financial, Inc. Y

00000 Genworth Servicios, S. de R.L. de C.V. MEX NIA



00000 Genworth Servicios, S. de R.L. de C.V. MEX NIA Genworth Mortgage Insurance Corporation Ownership 0.100 Genworth Financial, Inc. Y

00000 26-0070983 GFCM LLC DE NIA Genworth Life Insurance Company Ownership 100.000 Genworth Financial, Inc. Y

00000 26-3366147 GLIC Real Estate Holding, LLC DE NIA Genworth Life Insurance Company Ownership 100.000 Genworth Financial, Inc. Y

00000 74-3128556 GLICNY Real Estate Holding, LLC DE NIA

Genworth Life Insurance Company of New York

Ownership 100.000 Genworth Financial, Inc. Y

00000 20-2528615 GNWLAAC Real Estate Holding, LLC DE DS


Company Ownership 100.000 Genworth Financial, Inc. Y

00000 04-3193403 HGI Annuity Service Corporation DE NIA Genworth North America Corporation Ownership 100.000 Genworth Financial, Inc. N

4011 Genworth Financial, Inc. 97144 54-1215126 Jamestown Life Insurance Company VA DS


Company Ownership 100.000 Genworth Financial, Inc. N

00000 13-3627179 Mayflower Assignment Corporation NY NIA

Genworth Life Insurance Company of New York

Ownership 100.000 Genworth Financial, Inc. Y

00000 98-1342827 MIC Holdings H Company Limited CAN NIA Genworth MI Canada, Inc. Ownership 100.000 Genworth Financial, Inc. N

00000 MIC Insurance Company Canada CAN IA

Genworth Financial Mortgage Insurance

Company Canada Ownership 100.000 Genworth Financial, Inc. N

00000 04-3401260 National Eldercare Referral Systems, LLC DE NIA Genworth Life Insurance Company Ownership 100.000 Genworth Financial, Inc. Y

00000 36-3919178 Newco Properties, Inc. VA DS


Company Ownership 100.000 Genworth Financial, Inc. Y

4011 Genworth Financial, Inc. 13569 26-3709693 River Lake Insurance Company VI DE DS



4011 Genworth Financial, Inc. 13618 26-4266916 River Lake Insurance Company VII VT DS



4011 Genworth Financial, Inc. 13776 27-0951675 River Lake Insurance Company VIII VT DS



4011 Genworth Financial, Inc. 14685 46-0967288 River Lake Insurance Company IX VT DS



4011 Genworth Financial, Inc. 15139 46-0982336 River Lake Insurance Company X VT DS



00000 47-2145951 River Lake Insurance Company XI DE NIA Genworth Life Insurance Company Ownership 100.000 Genworth Financial, Inc. Y

4011 Genworth Financial, Inc. 13219 20-4932924 Rivermont Life Insurance Company I SC DS



4011 Genworth Financial, Inc. 11365 62-1819880 Sponsored Captive Re, Inc. NC IA Genworth Mortgage Holdings, LLC Ownership 100.000 Genworth Financial, Inc. N

00000 23-2571379

United Pacific Structured Settlement Company

FL NIA Genworth North America Corporation Ownership 100.000 Genworth Financial, Inc. N

Asterisk Explanation

13.1


SUPPLEMENTAL EXHIBITS AND SCHEDULES INTERROGATORIES

The following supplemental reports are required to be filed as part of your statement filing. However, in the event that your company does not transact the type of business for which the special report must be filed, your response of NO to the specific interrogatory will be accepted in lieu of filing a “NONE” report and a bar code will be printed below. If the supplement is required of your company but is not being filed for whatever reason enter SEE EXPLANATION and provide an explanation following the interrogatory questions.

Response

1. Will the Trusteed Surplus Statement be filed with the state of domicile and the NAIC with this statement? NO

2. Will the Medicare Part D Coverage Supplement be filed with the state of domicile and the NAIC with this statement? NO

3. Will the Reasonableness of Assumptions Certification required by Actuarial Guideline XXXV be filed with the state of domicile and electronically with the NAIC? NO

4. Will the Reasonableness and Consistency of Assumptions Certification required by Actuarial Guideline XXXV be filed with the state of domicile and electronically with the NAIC? YES

5. Will the Reasonableness of Assumptions Certification for Implied Guaranteed Rate Method required by Actuarial Guideline XXXVI be filed with the state of domicile and electronically with the NAIC? NO

6. Will the Reasonableness and Consistency of Assumptions Certification required by Actuarial Guideline XXXVI (Updated Average Market Value) be filed with the state of domicile and electronically with the NAIC? NO

7. Will the Reasonableness and Consistency of Assumptions Certification required by Actuarial Guideline XXXVI (Updated Market Value) be filed with the state of domicile and electronically with the NAIC? YES

Explanation:

1. The company does not transact this type of business.





Bar Code:

1. Trusteed Surplus Statement [Document Identifier 490]

*65536201749000003*2. Medicare Part D Coverage Supplement [Document Identifier 365]

*65536201736500003*3. Reasonableness of Assumptions Certification required by Actuarial Guideline

XXXV [Document Identifier 445] *65536201744500003*5. Reasonableness of Assumptions Certification for Implied Guaranteed Rate

Method required by Actuarial Guideline XXXVI [Document Identifier 447] *65536201744700003*6. Reasonableness and Consistency of Assumptions Certification required by

Actuarial Guideline XXXVI [Document Identifier 448] *65536201744800003*

14


OVERFLOW PAGE FOR WRITE-INS

Additional Write-ins for Assets Line 25

Current Statement Date 4

1

Assets

2

Nonadmitted Assets

3Net Admitted Assets

(Cols. 1 - 2)

December 31Prior Year Net

Admitted Assets

2504. Prepaid expenses 347,370 347,370 0 0 2597. Summary of remaining write-ins for Line 25 from overflow page 347,370 347,370 0 0

15


SCHEDULE A - VERIFICATIONReal Estate

1

Year to Date

2Prior Year Ended

December 31

1. Book/adjusted carrying value, December 31 of prior year 10,308,002 28,171,429

2. Cost of acquired:

2.1 Actual cost at time of acquisition 56,535

2.2 Additional investment made after acquisition 792,345 0

3. Current year change in encumbrances 0

4. Total gain (loss) on disposals (26,265) 780,326

5. Deduct amounts received on disposals 17,768,752

6. Total foreign exchange change in book/adjusted carrying value 0

7. Deduct current year’s other than temporary impairment recognized 0

8. Deduct current year’s depreciation 287,201 931,536

9. Book/adjusted carrying value at the end of current period (Lines 1+2+3+4-5+6-7-8) 10,786,881 10,308,002

10. Deduct total nonadmitted amounts 0

11. Statement value at end of current period (Line 9 minus Line 10) 10,786,881 10,308,002

SCHEDULE B - VERIFICATIONMortgage Loans

1

Year to Date

2Prior Year Ended

December 31

1. Book value/recorded investment excluding accrued interest, December 31 of prior year 1,622,626,506 1,673,522,529


2.1 Actual cost at time of acquisition 254,186,036 166,475,000

2.2 Additional investment made after acquisition 760,000 627,371

3. Capitalized deferred interest and other 0 0

4. Accrual of discount 3,355 11,492

5. Unrealized valuation increase (decrease) 0 0

6. Total gain (loss) on disposals 0 (238,814)

7. Deduct amounts received on disposals 113,029,336 217,164,993

8. Deduct amortization of premium and mortgage interest points and commitment fees 202,755 371,079

9. Total foreign exchange change in book value/recorded investment excluding accrued interest 0 0

10. Deduct current year’s other than temporary impairment recognized 0 235,000

11. Book value/recorded investment excluding accrued interest at end of current period (Lines 1+2+3+4+5+6-7-8+9-10) 1,764,343,806 1,622,626,506

12. Total valuation allowance 0

13. Subtotal (Line 11 plus Line 12) 1,764,343,806 1,622,626,506

14. Deduct total nonadmitted amounts 0 0

15. Statement value at end of current period (Line 13 minus Line 14) 1,764,343,806 1,622,626,506

SCHEDULE BA - VERIFICATIONOther Long-Term Invested Assets

1

Year to Date

2Prior Year Ended

December 31



2.1 Actual cost at time of acquisition 0 0

2.2 Additional investment made after acquisition 44,011 1,450,705

3. Capitalized deferred interest and other 0 0


5. Unrealized valuation increase (decrease) 150,901 (1,532,571)

6. Total gain (loss) on disposals 518,279 1,102,194

7. Deduct amounts received on disposals 7,254,755 10,135,208

8. Deduct amortization of premium and depreciation 451,258 654,692

9. Total foreign exchange change in book/adjusted carrying value 0 0

10. Deduct current year’s other than temporary impairment recognized 1,290,000 465,000

11. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5+6-7-8+9-10) 83,043,556 91,308,841

12. Deduct total nonadmitted amounts


SCHEDULE D - VERIFICATIONBonds and Stocks

1

Year to Date

2Prior Year Ended

December 31

1. Book/adjusted carrying value of bonds and stocks, December 31 of prior year 11,606,361,897 12,043,610,479

2. Cost of bonds and stocks acquired 1,309,017,790 1,952,757,378

3. Accrual of discount 22,031,068 29,301,926

4. Unrealized valuation increase (decrease) 4,425,220 22,988,479

5. Total gain (loss) on disposals (6,747,126) 5,161,189

6. Deduct consideration for bonds and stocks disposed of 1,242,767,841 2,425,073,934

7. Deduct amortization of premium 12,766,226 20,664,736

8. Total foreign exchange change in book/adjusted carrying value

9. Deduct current year’s other than temporary impairment recognized 976,257 1,718,884

10. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9) 11,678,578,525 11,606,361,897

11. Deduct total nonadmitted amounts 505,000 505,000

12. Statement value at end of current period (Line 10 minus Line 11) 11,678,073,525 11,605,856,897

SI01


SCHEDULE D - PART 1BShowing the Acquisitions, Dispositions and Non-Trading Activity

During the Current Quarter for all Bonds and Preferred Stock by NAIC Designation

NAIC Designation

1Book/AdjustedCarrying Value

Beginningof Current Quarter

2

AcquisitionsDuring

Current Quarter

3

DispositionsDuring

Current Quarter

4

Non-Trading ActivityDuring

Current Quarter


End ofFirst Quarter


End ofSecond Quarter


End ofThird Quarter

8Book/AdjustedCarrying ValueDecember 31

Prior Year

BONDS

1. NAIC 1 (a) 7,180,625,592 547,148,620 765,726,258 22,192,618 7,031,864,481 7,180,625,592 6,984,240,572 7,210,621,817

2. NAIC 2 (a) 4,011,163,048 223,017,868 122,926,487 (25,800,710) 3,934,412,709 4,011,163,048 4,085,453,719 3,767,232,371

3. NAIC 3 (a) 477,036,425 0 1,028,652 9,656,796 501,786,209 477,036,425 485,664,569 517,508,923

4. NAIC 4 (a) 54,814,488 0 2,551,839 (3,208,630) 41,757,913 54,814,488 49,054,019 59,126,173

5. NAIC 5 (a) 7,561,640 0 3,503,530 (6,645) 9,113,277 7,561,640 4,051,465 10,105,111

6. NAIC 6 (a) 1,637,404 376,520 1,914,020 67,631 98,659 1,637,404 167,535 164,578

7. Total Bonds 11,732,838,597 770,543,008 897,650,786 2,901,060 11,519,033,248 11,732,838,597 11,608,631,879 11,564,758,973

PREFERRED STOCK

8. NAIC 1 518,483 6,733,740 518,483 518,483 7,252,223 18,483

9. NAIC 2 36,435,488 (6,733,740) 36,435,488 36,435,488 29,701,748 36,435,488

10. NAIC 3 10,000,000 0 10,000,000 10,000,000 10,000,000 0

11. NAIC 4 0 0 0 0 0

12. NAIC 5 0 0 0 0 0

13. NAIC 6 (1) (1) (1) (1) 115,889

14. Total Preferred Stock 46,953,970 0 0 0 46,953,970 46,953,970 46,953,970 36,569,859

15. Total Bonds and Preferred Stock 11,779,792,567 770,543,008 897,650,786 2,901,060 11,565,987,218 11,779,792,567 11,655,585,849 11,601,328,832

(a) Book/Adjusted Carrying Value column for the end of the current reporting period includes the following amount of short-term and cash equivalent bonds by NAIC designation:

NAIC 1 $ 254,957,729 ; NAIC 2 $ ; NAIC 3 $ NAIC 4 $ ; NAIC 5 $ ; NAIC 6 $

SI0

2


SCHEDULE DA - PART 1Short-Term Investments

1

Book/AdjustedCarrying Value

2

Par Value

3

Actual Cost

4

Interest CollectedYear-to-Date

5Paid for

Accrued InterestYear-to-Date

9199999 Totals 301,062,187 XXX 301,051,304 204,508 0

SCHEDULE DA - VERIFICATIONShort-Term Investments

1

Year To Date

2

Prior Year Ended December 31


2. Cost of short-term investments acquired 1,688,149,744 2,963,286,973


4. Unrealized valuation increase (decrease) 0

5. Total gain (loss) on disposals (3,907)

6. Deduct consideration received on disposals 1,753,799,086 2,863,923,563

7. Deduct amortization of premium


9. Deduct current year’s other than temporary impairment recognized

10. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9) 301,062,187 366,699,280



SI03


SCHEDULE DB - PART A - VERIFICATIONOptions, Caps, Floors, Collars, Swaps and Forwards

1. Book/Adjusted Carrying Value, December 31, prior year (Line 9, prior year) 71,041,776

2. Cost Paid/(Consideration Received) on additions 35,821,797

3. Unrealized Valuation increase/(decrease) 6,830,699

4. Total gain (loss) on termination recognized 33,614,110

5. Considerations received/(paid) on terminations 68,090,311

6. Amortization

7. Adjustment to the Book/Adjusted Carrying Value of hedged item

8. Total foreign exchange change in Book/Adjusted Carrying Value

9. Book/Adjusted Carrying Value at End of Current Period (Lines 1+2+3+4-5+6+7+8) 79,218,071

10. Deduct nonadmitted assets

11. Statement value at end of current period (Line 9 minus Line 10) 79,218,071

SCHEDULE DB - PART B - VERIFICATIONFutures Contracts

1. Book/Adjusted carrying value, December 31 of prior year (Line 6, prior year) 4,774,421

2. Cumulative cash change (Section 1, Broker Name/Net Cash Deposits Footnote - Cumulative Cash Change column) (6,076,044)

3.1 Add:

Change in variation margin on open contracts - Highly Effective Hedges

3.11 Section 1, Column 15, current year to date minus 0

3.12 Section 1, Column 15, prior year 0 0

Change in variation margin on open contracts - All Other

3.13 Section 1, Column 18, current year to date minus (22,650,001)

3.14 Section 1, Column 18, prior year 2,622,166 (25,272,167) (25,272,167)

3.2 Add:

Change in adjustment to basis of hedged item

3.21 Section 1, Column 17, current year to date minus 0

3.22 Section 1, Column 17, prior year 0 0

Change in amount recognized

3.23 Section 1, Column 19, current year to date minus (22,650,001)

3.24 Section 1, Column 19, prior year 2,622,166 (25,272,167) (25,272,167)

3.3 Subtotal (Line 3.1 minus Line 3.2) 0

4.1 Cumulative variation margin on terminated contracts during the year

4.2 Less:

4.21 Amount used to adjust basis of hedged item

4.22 Amount recognized 0

4.3 Subtotal (Line 4.1 minus Line 4.2) 0

5. Dispositions gains (losses) on contracts terminated in prior year:

5.1 Total gain (loss) recognized for terminations in prior year

5.2 Total gain (loss) adjusted into the hedged item(s) for terminations in prior year

6. Book/Adjusted carrying value at end of current period (Lines 1+2+3.3-4.3-5.1-5.2) (1,301,624)


8. Statement value at end of current period (Line 6 minus Line 7) (1,301,624)

SI04


SCHEDULE DB - PART C - SECTION 1Replication (Synthetic Asset) Transactions Open as of Current Statement Date

Replication (Synthetic Asset) Transactions Components of the Replication (Synthetic Asset) Transactions

1 2 3 4 5 6 7 8 Derivative Instrument(s) Open Cash Instrument(s) Held

Number Description

NAICDesignation or

OtherDescription

NotionalAmount

Book/Adjusted Carrying

Value Fair ValueEffective

DateMaturity

Date

9

Description

10


Value

11

Fair Value

12

CUSIP

13

Description

14NAIC

Designation orOther

Description

15


Value

16

Fair Value

713409A*1

PBG (Pepsi Bottling Gr) 10 Yr CDS

Sell Protection for RSAT 1 5,000,000 5,298,797 6,792,187 02/09/2008 03/20/2018 Credit Default Swap 14,437 14,437 035229-CN-1 ANHEUSER-BUSCH COMPANIES LLC 2FE 5,284,360 6,777,750

126650A*1

CVS (CVS Caremark Corp) 10 Yr CDS

Sell Protection for RSAT 2 5,000,000 4,979,981 5,927,981 02/09/2008 03/20/2018 Credit Default Swap 20,581 20,581 906548-BY-7 UNION ELECTRIC CO 1FE 4,959,400 5,907,400

9999999 - Totals 10,278,778 12,720,168 XXX XXX XXX 35,018 35,018 XXX XXX XXX 10,243,760 12,685,150

SI0

5


SCHEDULE DB - PART C - SECTION 2Replication (Synthetic Asset) Transactions Open

First Quarter Second Quarter Third Quarter Fourth Quarter Year To Date

1

Numberof

Positions

2Total Replication (Synthetic Asset)

Transactions Statement Value

3

Numberof

Positions



5

Numberof

Positions



7

Numberof

Positions



9

Numberof

Positions



1. Beginning Inventory 2 10,304,234 2 10,291,201 2 10,279,602 2 10,304,234

2. Add: Opened or Acquired Transactions 0 0

3. Add: Increases in Replication (Synthetic Asset) Transactions Statement Value XXX XXX XXX 376 XXX XXX 376

4. Less: Closed or Disposed of Transactions 0 0

5. Less: Positions Disposed of for Failing Effectiveness Criteria 0 0

6. Less: Decreases in Replication (Synthetic Asset) Transactions Statement Value XXX 13,033 XXX 11,599 XXX 1,201 XXX XXX 25,833

7. Ending Inventory 2 10,291,201 2 10,279,602 2 10,278,777 0 0 2 10,278,777

SI0

6


SCHEDULE DB - VERIFICATIONVerification of Book/Adjusted Carrying Value, Fair Value and Potential Exposure of all Open Derivative Contracts

Book/Adjusted Carrying Value Check

1. Part A, Section 1, Column 14 79,218,074

2. Part B, Section 1, Column 15 plus Part B, Section 1 Footnote - Total Ending Cash Balance (1,301,618)

3. Total (Line 1 plus Line 2) 77,916,456

4. Part D, Section 1, Column 5 81,037,889

5. Part D, Section 1, Column 6 (3,121,431)

6. Total (Line 3 minus Line 4 minus Line 5) (2)

Fair Value Check


8. Part B, Section 1, Column 13 (1,301,618)

9. Total (Line 7 plus Line 8) 77,916,455


11. Part D, Section 1, Column 9 (3,121,431)

12 Total (Line 9 minus Line 10 minus Line 11) (3)

Potential Exposure Check


14. Part B, Section 1, Column 20 29,974,950


16. Total (Line 13 plus Line 14 minus Line 15) (6)

SI07


SCHEDULE E - VERIFICATION(Cash Equivalents)

1

Year To Date

2

Prior Year Ended December 31

1. Book/adjusted carrying value, December 31 of prior year 0

2. Cost of cash equivalents acquired 79,885,042

3. Accrual of discount 75,299

4. Unrealized valuation increase (decrease) 0

5. Total gain (loss) on disposals (574)

6. Deduct consideration received on disposals 79,959,767

7. Deduct amortization of premium


9. Deduct current year’s other than temporary impairment recognized

10. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9) 0 0


12. Statement value at end of current period (Line 10 minus Line 11) 0 0

SI08


SCHEDULE A - PART 2Showing All Real Estate ACQUIRED AND ADDITIONS MADE During the Current Quarter

1Location

4 5 6 7 8 9

Description of Property

2

City

3

State

DateAcquired Name of Vendor

Actual Cost atTime of Acquisition

Amount of Encumbrances

Book/Adjusted Carrying Value

Less Encumbrances

AdditionalInvestmentMade AfterAcquisition

CSC 3100 Albert Lankford Dr Lynchburg VA 07/17/2017 IH MCBRIDE SIGN CO 4,779

CSC 3100 Albert Lankford Dr Lynchburg VA 07/18/2017 COULSON BUILDERS INC 3,950

CSC 3100 Albert Lankford Dr Lynchburg VA 07/19/2017 COULSON BUILDERS INC 46,013

CSC 3100 Albert Lankford Dr Lynchburg VA 07/25/2017 BUZZ ELECTRIC LLC 1,090

CSC 3100 Albert Lankford Dr Lynchburg VA 08/10/2017 SURFACES BY BARROWS INC 2,399

CSC 3100 Albert Lankford Dr Lynchburg VA 09/08/2017 JOHNSON CONTROLS INC 35,268

CSC 3100 Albert Lankford Dr Lynchburg VA 09/26/2017 SURFACES BY BARROWS INC 27,311

0199999. Acquired by Purchase 0 0 0 120,810

0399999 - Totals 0 0 0 120,810

SCHEDULE A - PART 3Showing All Real Estate DISPOSED During the Quarter, Including Payments During the Final Year on “Sales Under Contract”

1 Location 4 5 6 7 8 Change in Book/Adjusted Carrying Value Less Encumbrances 14 15 16 17 18 19 20

Description of Property

2

City

3

State

DisposalDate Name of Purchaser

ActualCost

Expended for

Additions, Permanent Improve-

ments and Changesin Encum-brances


Value Less Encum-brances

PriorYear

9

Current Year’sDepre-ciation

10

Current Year’s

Other Than Temporary Impairment Recognized

11

Current Year's

Change in Encum-brances

12

Total Change in


Value(11-9-10)

13Total

Foreign Exchange Change in


Value


Value Less Encum-brances

onDisposal

Amounts Received

DuringYear

Foreign Exchange

Gain(Loss)

onDisposal

RealizedGain

(Loss)on

Disposal

TotalGain

(Loss)on

Disposal

Gross Income Earned Less

Interest Incurred on

Encum-brances

Taxes, Repairs

and Expenses Incurred

0399999 - Totals

NONE

E01


SCHEDULE B - PART 2Showing All Mortgage Loans ACQUIRED AND ADDITIONS MADE During the Current Quarter

1 Location 4 5 6 7 8 9

Loan Number

2

City

3

State

LoanType Date Acquired Rate of Interest

Actual Cost atTime of Acquisition

Additional Investment MadeAfter Acquisition

Value of Landand Buildings

901001261 Upper Arlington OH 07/26/2017 4.650 5,600,000 0 8,340,000

901001297 Orlando FL 07/10/2017 4.350 5,250,000 0 8,240,000

901001338 Oakdale MN 08/10/2017 4.200 2,650,000 0 3,570,000

901001343 Stoughton MA 08/03/2017 4.250 6,400,000 0 9,800,000

901001355 Shillington PA 09/28/2017 6.210 10,219,147 0 22,800,000

901001356 Shillington PA 09/28/2017 4.100 4,250,000 0 22,800,000

0599999. Mortgages in good standing - Commercial mortgages-all other 34,369,147 0 75,550,000

0899999. Total Mortgages in good standing 34,369,147 0 75,550,000

1699999. Total - Restructured Mortgages 0 0 0

2499999. Total - Mortgages with overdue interest over 90 days 0 0 0

3299999. Total - Mortgages in the process of foreclosure 0 0 0

3399999 - Totals 34,369,147 0 75,550,000

SCHEDULE B - PART 3Showing All Mortgage Loans DISPOSED, Transferred or Repaid During the Current Quarter

1 Location 4 5 6 7 Change in Book Value/Recorded Investment 14 15 16 17 18

Loan Number

2

City

3

State

LoanType

DateAcquired

Disposal Date

Book Value/Recorded Investment Excluding Accrued Interest

Prior Year

8

Unrealized ValuationIncrease

(Decrease)

9

Current Year’s

(Amortization)/Accretion

10Current

Year’s Other Than

Temporary Impairment Recognized

11

Capitalized Deferred

Interest and Other

12

TotalChange

inBook Value (8+9-10+11)

13

Total Foreign Exchange Change in

Book Value

Book Value/Recorded Investment Excluding Accrued

Interest on Disposal

Consid-eration

Foreign Exchange

Gain(Loss) on Disposal

RealizedGain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

2857 OMAHA NE 12/11/2013 09/27/2017 70,417 0 (391) 0 0 (391) 0 70,026 70,026 0 0 0

2904 WESTAMPTON NJ 12/11/2013 07/31/2017 22,547 0 (45) 0 0 (45) 0 22,502 22,502 0 0 0

4777 FARMINGTON HILLS MI 10/29/2002 09/21/2017 85,981 0 0 0 0 0 0 85,981 85,981 0 0 0

5482 CARSON CA 09/29/2003 07/13/2017 1,068,090 0 0 0 0 0 0 1,068,090 1,068,090 0 0 0

5837 BOTHELL WA 08/04/2004 09/01/2017 271,401 0 0 0 0 0 0 271,401 271,401 0 0 0

100000910 SAVANNAH GA 08/24/2007 07/07/2017 4,312,218 0 0 0 0 0 0 4,312,218 4,312,218 0 0 0

901000204 UNIVERSITY PLACE WA 09/30/2010 09/27/2017 5,593,767 0 0 0 0 0 0 5,593,767 5,593,767 0 0 0

901000723 Shillington PA 03/21/2014 09/28/2017 10,275,085 0 0 0 0 0 0 10,275,085 10,275,085 0 0 0

901000809 North Las Vegas NV 08/05/2014 09/29/2017 3,673,442 0 0 0 0 0 0 3,673,442 3,673,442 0 0 0

0199999. Mortgages closed by repayment 25,372,949 0 (436) 0 0 (436) 0 25,372,513 25,372,513 0 0 0

2046 PORTLAND OR 01/01/2007 16,242 0 0 0 0 0 0 16,242 16,242 0 0 0

2328 TIGARD OR 12/28/1995 11,039 0 0 0 0 0 0 11,039 11,039 0 0 0

2342 SIMI VALLEY CA 08/19/1996 16,775 0 0 0 0 0 0 16,775 16,775 0 0 0

2664 OCEANSIDE CA 01/30/1997 7,476 0 0 0 0 0 0 7,476 7,476 0 0 0

2889 MIAMI OH 04/02/1998 33,007 0 0 0 0 0 0 33,007 33,007 0 0 0

2890 HUBER HEIGHTS OH 12/30/1997 28,539 0 0 0 0 0 0 28,539 28,539 0 0 0

2891 MORAINE OH 12/30/1997 29,516 0 0 0 0 0 0 29,516 29,516 0 0 0

2911 WEST COLUMBIA SC 11/04/1997 32,326 0 0 0 0 0 0 32,326 32,326 0 0 0

2953 HOUSTON TX 01/15/1998 29,335 0 0 0 0 0 0 29,335 29,335 0 0 0

2962 WARREN MI 02/23/1998 48,038 0 0 0 0 0 0 48,038 48,038 0 0 0

2965 LAKE JACKSON TX 02/23/1998 27,843 0 0 0 0 0 0 27,843 27,843 0 0 0

2966 BAKERSFIELD CA 02/17/1998 18,869 0 0 0 0 0 0 18,869 18,869 0 0 0

2988 COLUMBUS OH 06/10/1998 35,009 0 0 0 0 0 0 35,009 35,009 0 0 0

E02




Loan Number

2

City

3

State

LoanType

DateAcquired

Disposal Date


Prior Year

8


(Decrease)

9

Current Year’s


10Current

Year’s Other Than


11


Interest and Other

12

TotalChange


13


Book Value



Consid-eration

Foreign Exchange


RealizedGain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

2995 VALDOSTA GA 02/26/1998 41,392 0 0 0 0 0 0 41,392 41,392 0 0 0

3120 BIRMINGHAM AL 09/11/1998 276,716 0 0 0 0 0 0 276,716 276,716 0 0 0

3123 TOLEDO OH 09/09/1998 25,115 0 0 0 0 0 0 25,115 25,115 0 0 0

3159 ORANGE CA 01/01/2007 47,669 0 0 0 0 0 0 47,669 47,669 0 0 0

3172 MENDOTA HEIGHTS MN 01/01/2007 55,828 0 0 0 0 0 0 55,828 55,828 0 0 0

3173 MENDOTA HEIGHTS MN 01/01/2007 50,457 0 0 0 0 0 0 50,457 50,457 0 0 0

3210 NORRISTOWN PA 01/01/2007 40,864 0 0 0 0 0 0 40,864 40,864 0 0 0

3217 NORTH AMITYVILLE NY 02/26/1999 112,157 0 0 0 0 0 0 112,157 112,157 0 0 0

3229 LITTLE ROCK AR 01/01/2007 26,354 0 0 0 0 0 0 26,354 26,354 0 0 0

3235 SANTA ANA CA 01/01/2007 21,469 0 0 0 0 0 0 21,469 21,469 0 0 0

3245 CHATSWORTH CA 11/10/1998 81,461 0 0 0 0 0 0 81,461 81,461 0 0 0

3287 BONNEY LAKE WA 06/30/1999 28,703 0 0 0 0 0 0 28,703 28,703 0 0 0

3305 BASTROP TX 12/09/1998 42,333 0 0 0 0 0 0 42,333 42,333 0 0 0

3306 FARGO ND 03/22/1999 38,824 0 0 0 0 0 0 38,824 38,824 0 0 0

3377 CLEVELAND OH 05/13/1999 38,998 0 0 0 0 0 0 38,998 38,998 0 0 0

3379 COSTA MESA CA 02/11/1999 73,211 0 0 0 0 0 0 73,211 73,211 0 0 0

3423 ATLANTA GA 06/07/1999 39,959 0 0 0 0 0 0 39,959 39,959 0 0 0

3433 CHEEKTOWAGA NY 05/06/1999 31,018 0 0 0 0 0 0 31,018 31,018 0 0 0

3470 FORT MYERS BEACH FL 05/17/1999 25,732 0 0 0 0 0 0 25,732 25,732 0 0 0

3509 SAN JOSE CA 12/11/2013 44,048 0 (2,800) 0 0 (2,800) 0 41,248 41,248 0 0 0

3514 LAKEWOOD CO 12/11/2013 43,680 0 (2,583) 0 0 (2,583) 0 41,097 41,097 0 0 0

3521 OMAHA NE 12/11/2013 49,212 0 (4,430) 0 0 (4,430) 0 44,782 44,782 0 0 0

3527 AKRON OH 10/18/1999 22,477 0 0 0 0 0 0 22,477 22,477 0 0 0

3528 AKRON OH 10/28/1999 22,477 0 0 0 0 0 0 22,477 22,477 0 0 0

3533 CORONA CA 10/14/1999 20,481 0 0 0 0 0 0 20,481 20,481 0 0 0

3541 STOCKTON CA 12/11/2013 45,373 0 (4,086) 0 0 (4,086) 0 41,287 41,287 0 0 0

3544 SHAKOPEE MN 11/15/1999 183,161 0 0 0 0 0 0 183,161 183,161 0 0 0

3563 CHARLOTTE NC 12/28/1999 86,372 0 0 0 0 0 0 86,372 86,372 0 0 0

3564 CHARLOTTE NC 12/28/1999 45,103 0 0 0 0 0 0 45,103 45,103 0 0 0

3590 BIRMINGHAM AL 12/11/2013 56,905 0 (3,779) 0 0 (3,779) 0 53,126 53,126 0 0 0

3597 RIVIERA BEACH FL 12/11/2013 42,279 0 (2,852) 0 0 (2,852) 0 39,427 39,427 0 0 0

3622 SUNNYVALE CA 12/11/2013 25,596 0 (1,667) 0 0 (1,667) 0 23,929 23,929 0 0 0

3650 PORTLAND OR 12/11/2013 65,785 0 (4,364) 0 0 (4,364) 0 61,421 61,421 0 0 0

3728 SOUTH PLAINFIELD NJ 04/13/2000 89,226 0 0 0 0 0 0 89,226 89,226 0 0 0

3729 LA MIRADA CA 12/11/2013 29,704 0 (2,093) 0 0 (2,093) 0 27,611 27,611 0 0 0

3754 RALEIGH NC 07/13/2000 75,030 0 0 0 0 0 0 75,030 75,030 0 0 0

3795 ORLANDO FL 12/11/2013 60,514 0 (4,382) 0 0 (4,382) 0 56,131 56,131 0 0 0

3798 CHARLOTTE NC 06/29/2000 39,279 0 0 0 0 0 0 39,279 39,279 0 0 0

3799 CHARLOTTE NC 06/29/2000 57,029 0 0 0 0 0 0 57,029 57,029 0 0 0

3800 GREENSBORO NC 06/29/2000 29,981 0 0 0 0 0 0 29,981 29,981 0 0 0

3801 GREENSBORO NC 06/29/2000 61,088 0 0 0 0 0 0 61,088 61,088 0 0 0

3809 GERMANTOWN TN 12/11/2013 23,377 0 (1,681) 0 0 (1,681) 0 21,696 21,696 0 0 0

3810 LEXINGTON SC 06/07/2000 54,701 0 0 0 0 0 0 54,701 54,701 0 0 0

3886 CORONA CA 10/31/2000 109,147 0 0 0 0 0 0 109,147 109,147 0 0 0

3898 BREA CA 09/26/2000 13,095 0 0 0 0 0 0 13,095 13,095 0 0 0

3976 CORONA CA 12/08/2000 25,172 0 0 0 0 0 0 25,172 25,172 0 0 0

3980 NEWARK NJ 12/11/2013 136,970 0 (10,522) 0 0 (10,522) 0 126,448 126,448 0 0 0

3998 JESSUP MD 12/04/2000 46,609 0 0 0 0 0 0 46,609 46,609 0 0 0

4000 BALTIMORE MD 12/04/2000 51,585 0 0 0 0 0 0 51,585 51,585 0 0 0

4052 FONTANA CA 01/04/2001 110,479 0 0 0 0 0 0 110,479 110,479 0 0 0

4059 VIRGINIA BEACH VA 12/11/2013 122,845 0 (9,827) 0 0 (9,827) 0 113,018 113,018 0 0 0

4099 EL CAJON CA 02/26/2001 27,467 0 0 0 0 0 0 27,467 27,467 0 0 0

4233 MESA AZ 05/31/2001 30,753 0 0 0 0 0 0 30,753 30,753 0 0 0

4237 SUMNER WA 09/06/2001 13,804 0 0 0 0 0 0 13,804 13,804 0 0 0

4238 RENTON WA 06/25/2001 19,658 0 0 0 0 0 0 19,658 19,658 0 0 0

4302 BOISE ID 10/10/2001 16,687 0 0 0 0 0 0 16,687 16,687 0 0 0

4379 ALPHARETTA GA 11/19/2001 30,104 0 0 0 0 0 0 30,104 30,104 0 0 0

4399 CAMARILLO CA 12/12/2001 24,077 0 0 0 0 0 0 24,077 24,077 0 0 0

4530 VIRGINIA BEACH VA 04/25/2002 33,320 0 0 0 0 0 0 33,320 33,320 0 0 0

4774 REDMOND WA 11/01/2002 49,493 0 0 0 0 0 0 49,493 49,493 0 0 0

E02.1




Loan Number

2

City

3

State

LoanType

DateAcquired

Disposal Date


Prior Year

8


(Decrease)

9

Current Year’s


10Current

Year’s Other Than


11


Interest and Other

12

TotalChange


13


Book Value



Consid-eration

Foreign Exchange


RealizedGain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

4845 VENTURA CA 11/19/2002 6,044 0 0 0 0 0 0 6,044 6,044 0 0 0

4847 SEATTLE WA 11/12/2002 60,618 0 0 0 0 0 0 60,618 60,618 0 0 0

4876 RENTON WA 12/16/2002 49,631 0 0 0 0 0 0 49,631 49,631 0 0 0

4898 SEATTLE WA 12/02/2002 85,387 0 0 0 0 0 0 85,387 85,387 0 0 0

4903 PORT WENTWORTH GA 12/09/2002 211,267 0 0 0 0 0 0 211,267 211,267 0 0 0

5062 TUCSON AZ 04/01/2003 33,595 0 0 0 0 0 0 33,595 33,595 0 0 0

5083 MEMPHIS TN 02/26/2003 37,651 0 0 0 0 0 0 37,651 37,651 0 0 0

5122 MCKINNEY TX 04/17/2003 40,525 0 0 0 0 0 0 40,525 40,525 0 0 0

5133 LAKE FOREST CA 04/03/2003 86,786 0 0 0 0 0 0 86,786 86,786 0 0 0

5144 SAVANNAH GA 05/21/2003 113,959 0 0 0 0 0 0 113,959 113,959 0 0 0

5167 LIVONIA MI 06/10/2003 183,930 0 0 0 0 0 0 183,930 183,930 0 0 0

5173 TAMPA FL 05/06/2003 35,596 0 0 0 0 0 0 35,596 35,596 0 0 0

5197 LAKE FOREST CA 04/23/2003 132,236 0 0 0 0 0 0 132,236 132,236 0 0 0

5204 TEMPE AZ 05/16/2003 15,483 0 0 0 0 0 0 15,483 15,483 0 0 0

5207 BALTIMORE MD 05/16/2003 22,195 0 0 0 0 0 0 22,195 22,195 0 0 0

5226 VALENCIA CA 04/17/2003 63,018 0 0 0 0 0 0 63,018 63,018 0 0 0

5229 HAMILTON OH 05/22/2003 40,866 0 0 0 0 0 0 40,866 40,866 0 0 0

5250 HENDERSON NV 06/19/2003 46,050 0 0 0 0 0 0 46,050 46,050 0 0 0

5274 VALENCIA CA 06/12/2003 50,774 0 0 0 0 0 0 50,774 50,774 0 0 0

5305 HOLBROOK NY 11/12/2003 73,355 0 0 0 0 0 0 73,355 73,355 0 0 0

5306 SETAUKET NY 09/11/2003 42,625 0 0 0 0 0 0 42,625 42,625 0 0 0

5307 NORTH HOLLYWOOD CA 07/09/2003 44,952 0 0 0 0 0 0 44,952 44,952 0 0 0

5349 CITY OF INDUSTRY CA 08/05/2003 14,702 0 0 0 0 0 0 14,702 14,702 0 0 0

5351 AUBURN WA 08/13/2003 109,778 0 0 0 0 0 0 109,778 109,778 0 0 0

5357 CHARLESTON SC 07/25/2003 225,690 0 0 0 0 0 0 225,690 225,690 0 0 0

5377 RANCHO SANTA MARGARITA CA 09/04/2003 91,327 0 0 0 0 0 0 91,327 91,327 0 0 0

5398 TUALATIN OR 09/03/2003 24,353 0 0 0 0 0 0 24,353 24,353 0 0 0

5441 INWOOD NY 01/01/2007 49,597 0 0 0 0 0 0 49,597 49,597 0 0 0

5450 SEATTLE WA 10/15/2003 47,694 0 0 0 0 0 0 47,694 47,694 0 0 0

5454 SEBRING FL 01/01/2007 46,239 0 0 0 0 0 0 46,239 46,239 0 0 0

5461 LIVINGSTON NJ 11/25/2003 37,054 0 0 0 0 0 0 37,054 37,054 0 0 0

5463 LIVINGSTON NJ 11/25/2003 20,523 0 0 0 0 0 0 20,523 20,523 0 0 0

5494 HOUSTON TX 10/20/2003 72,479 0 0 0 0 0 0 72,479 72,479 0 0 0

5508 NAPERVILLE IL 10/22/2003 127,676 0 0 0 0 0 0 127,676 127,676 0 0 0


5532 CHATSWORTH CA 12/08/2003 35,526 0 0 0 0 0 0 35,526 35,526 0 0 0

5550 RIVERSIDE CA 12/09/2003 33,596 0 0 0 0 0 0 33,596 33,596 0 0 0

5582 CHESAPEAKE VA 02/25/2004 127,962 0 0 0 0 0 0 127,962 127,962 0 0 0

5621 ROSWELL GA 02/13/2004 25,565 0 0 0 0 0 0 25,565 25,565 0 0 0

5628 CHATSWORTH CA 01/01/2007 18,872 0 0 0 0 0 0 18,872 18,872 0 0 0

5695 HOLLADAY UT 05/21/2004 20,170 0 0 0 0 0 0 20,170 20,170 0 0 0

5704 WOODLAND HILLS CA 06/08/2004 21,091 0 0 0 0 0 0 21,091 21,091 0 0 0

5753 LOGANVILLE GA 05/27/2004 39,329 0 0 0 0 0 0 39,329 39,329 0 0 0

5767 WESTLAKE OH 08/20/2004 39,772 0 0 0 0 0 0 39,772 39,772 0 0 0

5801 RIVERSIDE CA 07/12/2004 16,271 0 0 0 0 0 0 16,271 16,271 0 0 0

5835 TORRANCE CA 08/03/2004 42,667 0 0 0 0 0 0 42,667 42,667 0 0 0

5838 CORONA CA 08/20/2004 20,054 0 0 0 0 0 0 20,054 20,054 0 0 0

5847 PHOENIX AZ 10/26/2004 19,045 0 0 0 0 0 0 19,045 19,045 0 0 0

5854 EVERETT WA 08/31/2004 27,528 0 0 0 0 0 0 27,528 27,528 0 0 0

5855 CHAPEL HILL NC 05/18/2007 18,818 0 147 0 0 147 0 18,964 18,964 0 0 0

5879 PONTE VEDRA FL 11/09/2004 100,515 0 0 0 0 0 0 100,515 100,515 0 0 0

5881 WILSONVILLE OR 01/10/2005 35,359 0 0 0 0 0 0 35,359 35,359 0 0 0

5901 VALLEY VIEW OH 04/12/2017 0 0 0 0 0 0 0 53,716 53,716 0 0 0

5903 CAMERON PARK CA 10/14/2004 35,088 0 0 0 0 0 0 35,088 35,088 0 0 0

5912 ANAHEIM CA 11/02/2004 6,830 0 0 0 0 0 0 6,830 6,830 0 0 0

5926 EAGAN MN 01/28/2005 18,778 0 0 0 0 0 0 18,778 18,778 0 0 0

5936 LYNNWOOD WA 11/15/2004 30,090 0 0 0 0 0 0 30,090 30,090 0 0 0

5947 PHOENIX AZ 11/30/2004 26,250 0 0 0 0 0 0 26,250 26,250 0 0 0

5996 LOS ANGELES CA 01/01/2007 10,286 0 0 0 0 0 0 10,286 10,286 0 0 0

5999 TRUMBULL CT 04/01/2011 47,864 0 (204) 0 0 (204) 0 47,660 47,660 0 0 0

E02.2




Loan Number

2

City

3

State

LoanType

DateAcquired

Disposal Date


Prior Year

8


(Decrease)

9

Current Year’s


10Current

Year’s Other Than


11


Interest and Other

12

TotalChange


13


Book Value



Consid-eration

Foreign Exchange


RealizedGain

(Loss) on Disposal

TotalGain

(Loss) on Disposal


6005 SACRAMENTO CA 04/11/2017 0 0 0 0 0 0 0 101,528 101,528 0 0 0

6024 LOUISVILLE KY 02/15/2005 63,235 0 0 0 0 0 0 63,235 63,235 0 0 0

6025 LOUISVILLE KY 02/15/2005 54,516 0 0 0 0 0 0 54,516 54,516 0 0 0

6032 OMAHA NE 02/22/2005 134,384 0 0 0 0 0 0 134,384 134,384 0 0 0

6042 SOUTHFIELD MI 03/02/2005 7,462 0 0 0 0 0 0 7,462 7,462 0 0 0

6047 JACKSONVILLE FL 01/01/2007 70,837 0 0 0 0 0 0 70,837 70,837 0 0 0

6058 KNOXVILLE TN 05/16/2005 45,346 0 0 0 0 0 0 45,346 45,346 0 0 0

6124 ALBUQUERQUE NM 03/29/2005 15,009 0 0 0 0 0 0 15,009 15,009 0 0 0

6126 TULSA OK 05/10/2005 25,407 0 0 0 0 0 0 25,407 25,407 0 0 0

6142 ROCHESTER MN 05/16/2005 34,009 0 0 0 0 0 0 34,009 34,009 0 0 0

6146 CLERMONT FL 08/01/2005 34,940 0 0 0 0 0 0 34,940 34,940 0 0 0

6150 BALTIMORE MD 05/16/2005 45,703 0 0 0 0 0 0 45,703 45,703 0 0 0

6152 FORESTVILLE MD 05/16/2005 31,849 0 0 0 0 0 0 31,849 31,849 0 0 0

6154 BELTSVILLE MD 05/16/2005 27,260 0 0 0 0 0 0 27,260 27,260 0 0 0

6162 CHARLESTON SC 04/29/2005 69,498 0 0 0 0 0 0 69,498 69,498 0 0 0

6179 ROCKLIN CA 05/05/2005 68,193 0 0 0 0 0 0 68,193 68,193 0 0 0

6204 BROOKLYN NY 06/13/2005 53,776 0 0 0 0 0 0 53,776 53,776 0 0 0

6217 SPRING VALLEY MN 01/01/2007 38,271 0 0 0 0 0 0 38,271 38,271 0 0 0

6221 BOUNTIFUL UT 05/18/2007 20,517 0 (64) 0 0 (64) 0 20,453 20,453 0 0 0

6245 OAKTON VA 07/05/2005 65,411 0 0 0 0 0 0 65,411 65,411 0 0 0

6256 SALT LAKE CITY UT 01/01/2007 15,341 0 0 0 0 0 0 15,341 15,341 0 0 0

6259 LAS CRUCES NM 08/03/2005 26,488 0 0 0 0 0 0 26,488 26,488 0 0 0

6275 JACKSONVILLE FL 09/01/2005 65,936 0 0 0 0 0 0 65,936 65,936 0 0 0

6279 SPRING TX 07/26/2005 22,399 0 0 0 0 0 0 22,399 22,399 0 0 0

6282 FORT WORTH TX 07/26/2005 24,434 0 0 0 0 0 0 24,434 24,434 0 0 0

6283 SAN ANTONIO TX 07/26/2005 30,230 0 0 0 0 0 0 30,230 30,230 0 0 0

6291 LOS ANGELES CA 08/24/2005 46,144 0 0 0 0 0 0 46,144 46,144 0 0 0

6292 LOS ANGELES CA 08/11/2005 72,508 0 0 0 0 0 0 72,508 72,508 0 0 0

6300 PLEASANT HILL PA 09/07/2005 76,511 0 0 0 0 0 0 76,511 76,511 0 0 0

6301 WESTMINSTER CA 07/29/2005 94,846 0 0 0 0 0 0 94,846 94,846 0 0 0

6306 MERIDIAN ID 08/22/2005 54,715 0 0 0 0 0 0 54,715 54,715 0 0 0

6307 MERIDIAN ID 08/22/2005 40,215 0 0 0 0 0 0 40,215 40,215 0 0 0

6308 MERIDIAN ID 08/22/2005 23,734 0 0 0 0 0 0 23,734 23,734 0 0 0

6369 RIVERSIDE CA 10/07/2005 28,156 0 0 0 0 0 0 28,156 28,156 0 0 0

6385 ROCHESTER MN 10/04/2005 45,159 0 0 0 0 0 0 45,159 45,159 0 0 0

6391 CHARLOTTE NC 09/20/2005 65,617 0 0 0 0 0 0 65,617 65,617 0 0 0

6403 GLEN ALLEN VA 11/18/2005 39,704 0 0 0 0 0 0 39,704 39,704 0 0 0

6452 Cleveland TN 01/11/2006 13,787 0 0 0 0 0 0 13,787 13,787 0 0 0

6484 ELYRIA OH 12/01/2005 26,153 0 0 0 0 0 0 26,153 26,153 0 0 0

6485 COPPELL TX 11/22/2005 40,583 0 0 0 0 0 0 40,583 40,583 0 0 0

6492 SOUTHAVEN MS 11/29/2005 47,027 0 0 0 0 0 0 47,027 47,027 0 0 0

6511 KENT WA 12/07/2005 49,903 0 0 0 0 0 0 49,903 49,903 0 0 0

327460 MARTINSBURG WV 12/11/2013 97,551 0 0 0 0 0 0 97,551 97,551 0 0 0

100000009 YUCAIPA CA 03/08/2006 39,461 0 0 0 0 0 0 39,461 39,461 0 0 0

100000096 OWINGS MILLS MD 02/15/2006 24,951 0 0 0 0 0 0 24,951 24,951 0 0 0

100000097 GREENVILLE SC 02/15/2006 17,138 0 0 0 0 0 0 17,138 17,138 0 0 0

100000137 SAN ANTONIO TX 03/10/2006 32,324 0 0 0 0 0 0 32,324 32,324 0 0 0

100000198 SAN FRANCISCO CA 03/28/2006 7,674 0 0 0 0 0 0 7,674 7,674 0 0 0

100000199 SAN FRANCISCO CA 03/28/2006 11,564 0 0 0 0 0 0 11,564 11,564 0 0 0

100000204 SEATTLE WA 02/15/2006 28,180 0 0 0 0 0 0 28,180 28,180 0 0 0

100000213 FLORHAM PARK NJ 02/23/2006 35,884 0 0 0 0 0 0 35,884 35,884 0 0 0

100000241 EAST NORTHPORT FL 03/06/2006 8,396 0 0 0 0 0 0 8,396 8,396 0 0 0

100000244 COMMERCE CA 01/01/2007 13,778 0 0 0 0 0 0 13,778 13,778 0 0 0

100000261 SAN BERNARDINO CA 01/01/2007 26,652 0 0 0 0 0 0 26,652 26,652 0 0 0

100000327 SAN JOSE CA 08/09/2007 18,967 0 0 0 0 0 0 18,967 18,967 0 0 0

100000334 OREGON OR 07/26/2006 6,496 0 0 0 0 0 0 6,496 6,496 0 0 0

100000348 KNOXVILLE TN 05/04/2006 21,365 0 0 0 0 0 0 21,365 21,365 0 0 0

100000363 GOLDEN VALLEY MN 05/18/2007 75,510 0 973 0 0 973 0 76,483 76,483 0 0 0

100000477 HOUSTON TX 08/02/2006 16,328 0 0 0 0 0 0 16,328 16,328 0 0 0

E02.3




Loan Number

2

City

3

State

LoanType

DateAcquired

Disposal Date


Prior Year

8


(Decrease)

9

Current Year’s


10Current

Year’s Other Than


11


Interest and Other

12

TotalChange


13


Book Value



Consid-eration

Foreign Exchange


RealizedGain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

100000506 CARROLLWOOD FL 04/01/2011 100,140 0 (2,553) 0 0 (2,553) 0 97,587 97,587 0 0 0

100000532 CULPEPER VA 08/09/2006 80,976 0 0 0 0 0 0 80,976 80,976 0 0 0

100000545 COPPELL TX 10/31/2006 79,026 0 0 0 0 0 0 79,026 79,026 0 0 0

100000614 KETTERING OH 11/01/2006 59,069 0 0 0 0 0 0 59,069 59,069 0 0 0

100000668 ORLANDO FL 05/18/2007 72,002 0 (726) 0 0 (726) 0 71,276 71,276 0 0 0

100000824 OREM UT 12/15/2006 29,829 0 0 0 0 0 0 29,829 29,829 0 0 0

100000827 TULSA OK 10/08/2007 35,471 0 0 0 0 0 0 35,471 35,471 0 0 0

100000832 MANCHESTER NH 01/18/2007 68,906 0 0 0 0 0 0 68,906 68,906 0 0 0

100000844 AUSTIN TX 03/12/2007 22,068 0 0 0 0 0 0 22,068 22,068 0 0 0

100000854 PHOENIX AZ 02/08/2007 23,421 0 0 0 0 0 0 23,421 23,421 0 0 0

100000880 PERRIS CA 04/12/2007 23,999 0 0 0 0 0 0 23,999 23,999 0 0 0

100000881 SAN JACINTO CA 04/12/2007 21,968 0 0 0 0 0 0 21,968 21,968 0 0 0

100001021 MILLBURN NJ 04/19/2007 39,677 0 0 0 0 0 0 39,677 39,677 0 0 0

100001023 RENO NV 08/28/2007 20,592 0 0 0 0 0 0 20,592 20,592 0 0 0

100001099 GALLATIN TN 07/17/2007 27,703 0 0 0 0 0 0 27,703 27,703 0 0 0

100001109 LITCHFIELD CT 07/23/2007 2,666 0 0 0 0 0 0 2,666 2,666 0 0 0

100001136 SAN DIEGO CA 07/19/2007 28,604 0 0 0 0 0 0 28,604 28,604 0 0 0

100001144 PLACENTIA CA 06/28/2007 52,499 0 0 0 0 0 0 52,499 52,499 0 0 0

100001194 SUN VALLEY CA 09/06/2007 47,402 0 0 0 0 0 0 47,402 47,402 0 0 0

100001324 SALINAS CA 12/17/2007 70,354 0 0 0 0 0 0 70,354 70,354 0 0 0

100001334 NEW CASTLE DE 10/04/2007 17,248 0 0 0 0 0 0 17,248 17,248 0 0 0

100001410 PORTLAND OR 02/01/2008 48,291 0 0 0 0 0 0 48,291 48,291 0 0 0

100001412 PORTLAND OR 02/01/2008 71,392 0 0 0 0 0 0 71,392 71,392 0 0 0

100001427 RALEIGH NC 04/01/2011 153,524 0 (2,644) 0 0 (2,644) 0 150,880 150,880 0 0 0

110001228 MEMPHIS TN 04/12/2017 0 0 0 0 0 0 0 99,229 99,229 0 0 0

300006517 ELLICOTT CITY MD 12/08/2005 71,046 0 0 0 0 0 0 71,046 71,046 0 0 0

901000201 ROCKY MOUNT VA 04/11/2017 0 0 0 0 0 0 0 62,196 62,196 0 0 0

901000202 COSTA MESA CA 10/14/2010 44,097 0 0 0 0 0 0 44,097 44,097 0 0 0

901000209 DENVER CO 11/17/2010 31,247 0 0 0 0 0 0 31,247 31,247 0 0 0

901000234 WOODBRIDGE VA 04/11/2017 0 0 0 0 0 0 0 20,774 20,774 0 0 0

901000250 BROOKLYN NY 07/19/2011 55,069 0 0 0 0 0 0 55,069 55,069 0 0 0

901000254 LAUREL MD 06/03/2011 17,770 0 0 0 0 0 0 17,770 17,770 0 0 0

901000258 LAUREL MD 06/03/2011 7,014 0 0 0 0 0 0 7,014 7,014 0 0 0

901000265 CAMBRIDGE MA 06/29/2011 55,575 0 0 0 0 0 0 55,575 55,575 0 0 0

901000268 MIDDLESEX NJ 04/12/2017 0 0 0 0 0 0 0 37,017 37,017 0 0 0

901000274 DEL MAR CA 07/15/2011 59,933 0 0 0 0 0 0 59,933 59,933 0 0 0

901000291 SARASOTA FL 10/04/2011 20,279 0 0 0 0 0 0 20,279 20,279 0 0 0

901000298 GULF BREEZE FL 10/20/2011 28,623 0 0 0 0 0 0 28,623 28,623 0 0 0

901000299 SEATTLE WA 08/25/2011 68,312 0 0 0 0 0 0 68,312 68,312 0 0 0

901000301 ATLANTA GA 10/20/2011 22,421 0 0 0 0 0 0 22,421 22,421 0 0 0

901000304 CHINO CA 11/14/2011 18,725 0 0 0 0 0 0 18,725 18,725 0 0 0

901000309 PONTE VEDRA FL 04/30/2012 39,498 0 0 0 0 0 0 39,498 39,498 0 0 0

901000314 BALTIMORE MD 02/08/2012 23,469 0 0 0 0 0 0 23,469 23,469 0 0 0

901000315 MINNEAPOLIS MN 12/28/2011 22,763 0 0 0 0 0 0 22,763 22,763 0 0 0

901000340 ATLANTA GA 04/05/2012 35,148 0 0 0 0 0 0 35,148 35,148 0 0 0

901000346 CARY NC 05/30/2012 121,000 0 0 0 0 0 0 121,000 121,000 0 0 0

901000347 CARY NC 05/24/2012 19,033 0 0 0 0 0 0 19,033 19,033 0 0 0

901000353 DANVILLE CA 04/12/2017 0 0 0 0 0 0 0 22,455 22,455 0 0 0

901000360 SIMI VALLEY CA 07/19/2012 20,297 0 0 0 0 0 0 20,297 20,297 0 0 0

901000366 SEATTLE WA 05/30/2012 27,056 0 0 0 0 0 0 27,056 27,056 0 0 0

901000376 ORTING WA 10/11/2012 85,788 0 0 0 0 0 0 85,788 85,788 0 0 0

901000378 SAN FRANCISCO CA 08/02/2012 107,328 0 0 0 0 0 0 107,328 107,328 0 0 0

901000381 HUDSON FL 04/12/2017 0 0 0 0 0 0 0 23,064 23,064 0 0 0

901000395 RUTHERFORD NJ 07/31/2012 24,146 0 0 0 0 0 0 24,146 24,146 0 0 0

901000401 LA PALMA CA 08/01/2012 77,457 0 0 0 0 0 0 77,457 77,457 0 0 0

901000402 CERRITOS CA 09/04/2012 21,497 0 0 0 0 0 0 21,497 21,497 0 0 0

901000419 CHICAGO IL 04/12/2017 0 0 0 0 0 0 0 78,840 78,840 0 0 0

901000424 REDMOND WA 05/03/2013 48,230 0 0 0 0 0 0 48,230 48,230 0 0 0

901000425 FOOTHILL RANCH CA 08/20/2012 34,154 0 0 0 0 0 0 34,154 34,154 0 0 0

901000433 ENGLEWOOD CO 10/01/2012 48,169 0 0 0 0 0 0 48,169 48,169 0 0 0

E02.4




Loan Number

2

City

3

State

LoanType

DateAcquired

Disposal Date


Prior Year

8


(Decrease)

9

Current Year’s


10Current

Year’s Other Than


11


Interest and Other

12

TotalChange


13


Book Value



Consid-eration

Foreign Exchange


RealizedGain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

901000443 EVERETT WA 04/30/2013 35,848 0 0 0 0 0 0 35,848 35,848 0 0 0

901000444 NEW YORK NY 11/08/2012 202,474 0 0 0 0 0 0 202,474 202,474 0 0 0

901000450 MURRIETTA CA 11/14/2012 21,125 0 0 0 0 0 0 21,125 21,125 0 0 0


901000460 FLUSHING NY 04/09/2013 87,427 0 0 0 0 0 0 87,427 87,427 0 0 0

901000474 RANCHO DOMINGUEZ CA 12/14/2012 18,035 0 0 0 0 0 0 18,035 18,035 0 0 0

901000484 ASTORIA NY 02/27/2013 69,234 0 0 0 0 0 0 69,234 69,234 0 0 0

901000487 CHARLOTTE NC 02/14/2013 48,455 0 0 0 0 0 0 48,455 48,455 0 0 0


901000490 IRVINE CA 02/01/2013 19,373 0 0 0 0 0 0 19,373 19,373 0 0 0

901000493 WALNUT CA 01/31/2013 17,332 0 0 0 0 0 0 17,332 17,332 0 0 0

901000495 SHAKOPEE MN 03/18/2013 30,379 0 0 0 0 0 0 30,379 30,379 0 0 0

901000502 MILL CREEK WA 04/09/2013 31,653 0 0 0 0 0 0 31,653 31,653 0 0 0

901000506 PEMBROKE PINES FL 03/01/2013 25,608 0 0 0 0 0 0 25,608 25,608 0 0 0

901000508 FAYETTEVILLE NC 03/20/2013 90,764 0 0 0 0 0 0 90,764 90,764 0 0 0

901000516 AUSTIN TX 02/28/2013 10,900 0 0 0 0 0 0 10,900 10,900 0 0 0

901000550 QUEENS NY 04/25/2013 42,748 0 0 0 0 0 0 42,748 42,748 0 0 0

901000552 SANTEE CA 05/30/2013 26,612 0 0 0 0 0 0 26,612 26,612 0 0 0

901000560 MIDDLEBURG HEIGHTS OH 04/30/2013 30,218 0 0 0 0 0 0 30,218 30,218 0 0 0

901000562 GERMANTOWN MD 07/01/2013 116,973 0 0 0 0 0 0 116,973 116,973 0 0 0

901000563 SAN DIEGO CA 05/23/2013 24,886 0 0 0 0 0 0 24,886 24,886 0 0 0

901000566 QUINCY MA 06/03/2013 85,375 0 0 0 0 0 0 85,375 85,375 0 0 0

901000567 CENTENNIAL CO 05/31/2013 16,773 0 0 0 0 0 0 16,773 16,773 0 0 0

901000582 ESCONDIDO CA 06/26/2013 86,471 0 0 0 0 0 0 86,471 86,471 0 0 0

901000585 STERLING VA 07/31/2013 25,500 0 0 0 0 0 0 25,500 25,500 0 0 0

901000607 GARDEN GROVE CA 08/30/2013 39,703 0 0 0 0 0 0 39,703 39,703 0 0 0

901000618 MEMPHIS TN 07/31/2013 20,066 0 0 0 0 0 0 20,066 20,066 0 0 0

901000626 TORRANCE CA 09/26/2013 19,849 0 0 0 0 0 0 19,849 19,849 0 0 0

901000627 New Port Richey FL 02/05/2015 28,713 0 0 0 0 0 0 28,713 28,713 0 0 0

901000628 PINELLAS PARK FL 10/07/2013 28,289 0 0 0 0 0 0 28,289 28,289 0 0 0

901000632 WASHINGTON DC 09/18/2013 30,706 0 0 0 0 0 0 30,706 30,706 0 0 0

901000634 LEBANON OH 10/11/2013 18,712 0 0 0 0 0 0 18,712 18,712 0 0 0

901000635 LOVELAND OH 10/11/2013 21,450 0 0 0 0 0 0 21,450 21,450 0 0 0

901000637 LONG BEACH CA 09/26/2013 24,707 0 0 0 0 0 0 24,707 24,707 0 0 0

901000639 BROOMFIELD CO 09/12/2013 16,938 0 0 0 0 0 0 16,938 16,938 0 0 0

901000650 LIBERTYVILLE IL 11/18/2013 62,286 0 0 0 0 0 0 62,286 62,286 0 0 0

901000653 HANOVER MD 12/06/2013 21,222 0 0 0 0 0 0 21,222 21,222 0 0 0

901000654 OMAHA NE 12/18/2013 67,119 0 0 0 0 0 0 67,119 67,119 0 0 0

901000657 WOOLWICH NJ 11/27/2013 21,063 0 0 0 0 0 0 21,063 21,063 0 0 0

901000662 LANCASTER PA 12/03/2013 16,383 0 0 0 0 0 0 16,383 16,383 0 0 0

901000666 AVON CT 12/12/2013 26,536 0 0 0 0 0 0 26,536 26,536 0 0 0

901000670 BURNSVILLE MN 12/04/2013 25,333 0 0 0 0 0 0 25,333 25,333 0 0 0

901000672 HOUSTON TX 11/26/2013 79,335 0 0 0 0 0 0 79,335 79,335 0 0 0

901000673 Beltsville MD 04/01/2014 23,900 0 0 0 0 0 0 23,900 23,900 0 0 0

901000674 Gaithersburg MD 04/09/2014 17,191 0 0 0 0 0 0 17,191 17,191 0 0 0


901000690 Corona CA 05/23/2014 19,853 0 0 0 0 0 0 19,853 19,853 0 0 0

901000692 OKLAHOMA CITY OK 12/10/2013 19,316 0 0 0 0 0 0 19,316 19,316 0 0 0

901000695 Randolph MA 05/21/2014 18,744 0 0 0 0 0 0 18,744 18,744 0 0 0

901000699 BRANDENTON FL 02/07/2014 54,758 0 0 0 0 0 0 54,758 54,758 0 0 0

901000700 ST. LOUIS MO 02/14/2014 34,937 0 0 0 0 0 0 34,937 34,937 0 0 0

901000707 PARKER CO 02/19/2014 25,285 0 0 0 0 0 0 25,285 25,285 0 0 0

901000711 ORLANDO FL 02/03/2014 48,346 0 0 0 0 0 0 48,346 48,346 0 0 0

901000713 JACKSONVILLE FL 03/04/2014 116,265 0 0 0 0 0 0 116,265 116,265 0 0 0

901000718 LOS ANGELES CA 03/07/2014 21,004 0 0 0 0 0 0 21,004 21,004 0 0 0

901000720 CORONA CA 02/27/2014 79,993 0 0 0 0 0 0 79,993 79,993 0 0 0

901000725 Falmouth MA 04/29/2014 37,365 0 0 0 0 0 0 37,365 37,365 0 0 0

901000732 Las Vegas NV 04/11/2014 55,153 0 0 0 0 0 0 55,153 55,153 0 0 0

901000734 Germantown MD 05/22/2014 62,897 0 0 0 0 0 0 62,897 62,897 0 0 0

901000735 Plantation FL 04/09/2014 46,915 0 0 0 0 0 0 46,915 46,915 0 0 0

E02.5




Loan Number

2

City

3

State

LoanType

DateAcquired

Disposal Date


Prior Year

8


(Decrease)

9

Current Year’s


10Current

Year’s Other Than


11


Interest and Other

12

TotalChange


13


Book Value



Consid-eration

Foreign Exchange


RealizedGain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

901000739 Jacksonville FL 05/02/2014 25,743 0 0 0 0 0 0 25,743 25,743 0 0 0

901000740 Puyallup WA 04/24/2014 13,696 0 0 0 0 0 0 13,696 13,696 0 0 0

901000745 Newark CA 03/28/2014 31,550 0 0 0 0 0 0 31,550 31,550 0 0 0

901000747 Berea OH 08/18/2014 22,158 0 0 0 0 0 0 22,158 22,158 0 0 0

901000748 Cedar Park TX 06/18/2014 11,046 0 0 0 0 0 0 11,046 11,046 0 0 0

901000755 Woodbury MN 07/03/2014 71,754 0 0 0 0 0 0 71,754 71,754 0 0 0

901000756 Vestavia Hills AL 08/06/2014 29,314 0 0 0 0 0 0 29,314 29,314 0 0 0

901000758 Jacksonville Beach FL 06/20/2014 16,379 0 0 0 0 0 0 16,379 16,379 0 0 0

901000759 Jacksonville Beach FL 06/20/2014 23,476 0 0 0 0 0 0 23,476 23,476 0 0 0

901000763 Chattanooga TN 06/20/2014 18,198 0 0 0 0 0 0 18,198 18,198 0 0 0

901000769 Las Vegas NV 06/13/2014 44,120 0 0 0 0 0 0 44,120 44,120 0 0 0

901000772 Atlanta GA 07/25/2014 18,357 0 0 0 0 0 0 18,357 18,357 0 0 0

901000776 Louisville KY 07/15/2014 51,588 0 0 0 0 0 0 51,588 51,588 0 0 0

901000780 Los Alamitos CA 07/01/2014 13,614 0 0 0 0 0 0 13,614 13,614 0 0 0

901000782 Anaheim CA 07/02/2014 17,353 0 0 0 0 0 0 17,353 17,353 0 0 0

901000783 Anaheim CA 07/02/2014 12,292 0 0 0 0 0 0 12,292 12,292 0 0 0

901000785 The Woodlands TX 07/08/2014 82,899 0 0 0 0 0 0 82,899 82,899 0 0 0

901000786 Timberville VA 07/16/2014 58,594 0 0 0 0 0 0 58,594 58,594 0 0 0

901000796 Greenville SC 07/16/2014 87,844 0 0 0 0 0 0 87,844 87,844 0 0 0

901000797 Seattle WA 07/16/2014 42,481 0 0 0 0 0 0 42,481 42,481 0 0 0

901000802 McLean VA 09/11/2014 158,686 0 0 0 0 0 0 158,686 158,686 0 0 0

901000812 Fort Collins CO 09/04/2014 49,206 0 0 0 0 0 0 49,206 49,206 0 0 0

901000818 Magnola TX 08/22/2014 15,041 0 0 0 0 0 0 15,041 15,041 0 0 0

901000819 Taylorsville UT 09/02/2014 10,324 0 0 0 0 0 0 10,324 10,324 0 0 0

901000824 La Quinta CA 09/11/2014 68,255 0 0 0 0 0 0 68,255 68,255 0 0 0

901000829 Winston-Salem NC 11/25/2014 174,421 0 0 0 0 0 0 174,421 174,421 0 0 0

901000830 Burnsville MN 09/10/2014 37,855 0 0 0 0 0 0 37,855 37,855 0 0 0

901000833 Woodbury MN 09/05/2014 30,097 0 0 0 0 0 0 30,097 30,097 0 0 0

901000834 Woodbury MN 09/05/2014 37,179 0 0 0 0 0 0 37,179 37,179 0 0 0

901000837 Phoenix AZ 10/14/2014 44,994 0 0 0 0 0 0 44,994 44,994 0 0 0

901000839 St. Charles IL 11/07/2014 81,983 0 0 0 0 0 0 81,983 81,983 0 0 0

901000841 Tomball TX 09/29/2014 28,003 0 0 0 0 0 0 28,003 28,003 0 0 0

901000859 Kirkland WA 11/20/2014 23,111 0 0 0 0 0 0 23,111 23,111 0 0 0

901000863 Berwyn IL 11/24/2014 37,066 0 0 0 0 0 0 37,066 37,066 0 0 0

901000867 Foley AL 11/12/2014 62,014 0 0 0 0 0 0 62,014 62,014 0 0 0

901000873 Cincinnati OH 12/02/2014 29,779 0 0 0 0 0 0 29,779 29,779 0 0 0

901000875 Newport RI 11/25/2014 15,231 0 0 0 0 0 0 15,231 15,231 0 0 0

901000876 Chicago IL 12/17/2014 24,703 0 0 0 0 0 0 24,703 24,703 0 0 0

901000880 WESTMINSTER CA 01/16/2015 22,870 0 0 0 0 0 0 22,870 22,870 0 0 0

901000889 Seattle WA 12/19/2014 25,621 0 0 0 0 0 0 25,621 25,621 0 0 0

901000906 Bellevue WA 04/10/2015 69,130 0 0 0 0 0 0 69,130 69,130 0 0 0

901000907 Clackamas OR 02/02/2015 66,411 0 0 0 0 0 0 66,411 66,411 0 0 0

901000908 TULATIN OR 02/04/2015 39,846 0 0 0 0 0 0 39,846 39,846 0 0 0

901000912 Birmingham AL 03/24/2015 104,809 0 0 0 0 0 0 104,809 104,809 0 0 0

901000916 Madison AL 03/17/2015 42,046 0 0 0 0 0 0 42,046 42,046 0 0 0

901000917 West Chester PA 03/31/2015 27,255 0 0 0 0 0 0 27,255 27,255 0 0 0

901000918 Twinsburg OH 05/29/2015 18,507 0 0 0 0 0 0 18,507 18,507 0 0 0

901000920 Denver CO 04/10/2015 21,368 0 0 0 0 0 0 21,368 21,368 0 0 0

901000921 Chandler AZ 04/17/2015 8,540 0 0 0 0 0 0 8,540 8,540 0 0 0

901000925 Westminister CO 03/12/2015 30,642 0 0 0 0 0 0 30,642 30,642 0 0 0

901000933 Clive IA 03/31/2015 30,929 0 0 0 0 0 0 30,929 30,929 0 0 0

901000934 Centennial CO 04/13/2015 20,111 0 0 0 0 0 0 20,111 20,111 0 0 0

901000938 Richmond VA 08/10/2015 30,606 0 0 0 0 0 0 30,606 30,606 0 0 0

901000947 Little Rock AR 07/31/2015 11,393 0 0 0 0 0 0 11,393 11,393 0 0 0

901000948 Inglewood CA 06/01/2015 38,344 0 0 0 0 0 0 38,344 38,344 0 0 0

901000955 Vernon CA 06/01/2015 12,753 0 0 0 0 0 0 12,753 12,753 0 0 0

901000958 Rochester Hills MI 08/21/2015 28,865 0 0 0 0 0 0 28,865 28,865 0 0 0

901000963 Washington DC 04/10/2015 6,820 0 0 0 0 0 0 6,820 6,820 0 0 0

901000967 Melrose Park IL 07/30/2015 24,963 0 0 0 0 0 0 24,963 24,963 0 0 0

901000968 JACKSONVILLE FL 05/15/2015 43,436 0 0 0 0 0 0 43,436 43,436 0 0 0

E02.6




Loan Number

2

City

3

State

LoanType

DateAcquired

Disposal Date


Prior Year

8


(Decrease)

9

Current Year’s


10Current

Year’s Other Than


11


Interest and Other

12

TotalChange


13


Book Value



Consid-eration

Foreign Exchange


RealizedGain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

901000977 Columbus OH 07/01/2015 22,632 0 0 0 0 0 0 22,632 22,632 0 0 0

901000978 Cleveland Heights OH 06/16/2015 9,142 0 0 0 0 0 0 9,142 9,142 0 0 0

901000979 Lakewood OH 06/16/2015 11,033 0 0 0 0 0 0 11,033 11,033 0 0 0

901000980 Largo FL 05/27/2015 9,728 0 0 0 0 0 0 9,728 9,728 0 0 0

901000983 Northville MI 06/30/2015 19,133 0 0 0 0 0 0 19,133 19,133 0 0 0

901000987 Corona CA 07/01/2015 12,975 0 0 0 0 0 0 12,975 12,975 0 0 0

901000989 Miami FL 11/02/2015 65,378 0 0 0 0 0 0 65,378 65,378 0 0 0

901000991 Arlington TX 06/18/2015 17,791 0 0 0 0 0 0 17,791 17,791 0 0 0

901000997 Creve Couer MO 07/15/2015 24,977 0 0 0 0 0 0 24,977 24,977 0 0 0

901001000 Ridley Township PA 07/31/2015 20,508 0 0 0 0 0 0 20,508 20,508 0 0 0

901001005 Chicago IL 06/30/2015 39,466 0 0 0 0 0 0 39,466 39,466 0 0 0

901001006 Chicago IL 08/11/2015 18,169 0 0 0 0 0 0 18,169 18,169 0 0 0

901001010 NASHVILLE TN 04/11/2017 0 0 0 0 0 0 0 53,918 53,918 0 0 0

901001011 Oak Park IL 09/30/2015 14,888 0 0 0 0 0 0 14,888 14,888 0 0 0

901001012 Hendersonville TN 09/08/2015 32,277 0 0 0 0 0 0 32,277 32,277 0 0 0

901001016 Chantilly VA 08/31/2015 17,193 0 0 0 0 0 0 17,193 17,193 0 0 0

901001019 Omaha NE 04/29/2016 12,668 0 0 0 0 0 0 12,668 12,668 0 0 0

901001022 Des Moines IA 11/30/2015 23,290 0 0 0 0 0 0 23,290 23,290 0 0 0

901001024 Santa Monica CA 10/14/2015 16,285 0 0 0 0 0 0 16,285 16,285 0 0 0

901001026 LOUISVILLE KY 09/16/2015 43,016 0 0 0 0 0 0 43,016 43,016 0 0 0

901001034 San Marcos TX 12/04/2015 13,569 0 0 0 0 0 0 13,569 13,569 0 0 0

901001044 Tigard OR 12/29/2015 64,930 0 0 0 0 0 0 64,930 64,930 0 0 0

901001046 Houston TX 10/30/2015 22,083 0 0 0 0 0 0 22,083 22,083 0 0 0

901001047 Virginia Beach VA 11/10/2015 16,180 0 0 0 0 0 0 16,180 16,180 0 0 0

901001048 Harrisburg NC 01/29/2016 39,860 0 0 0 0 0 0 39,860 39,860 0 0 0

901001050 Indio CA 10/30/2015 46,715 0 0 0 0 0 0 46,715 46,715 0 0 0

901001052 Scottsdale AZ 11/04/2015 20,796 0 0 0 0 0 0 20,796 20,796 0 0 0

901001053 King of Prussia PA 11/18/2015 192,874 0 0 0 0 0 0 192,874 192,874 0 0 0

901001070 Wayne PA 11/18/2015 159,442 0 0 0 0 0 0 159,442 159,442 0 0 0

901001071 Englewood CO 11/20/2015 24,949 0 0 0 0 0 0 24,949 24,949 0 0 0

901001076 Wyomissing PA 04/08/2016 26,543 0 0 0 0 0 0 26,543 26,543 0 0 0

901001087 Berwyn IL 12/11/2015 9,374 0 0 0 0 0 0 9,374 9,374 0 0 0

901001090 Pleasanton CA 01/29/2016 73,185 0 0 0 0 0 0 73,185 73,185 0 0 0

901001105 Wyomissing PA 04/15/2016 40,088 0 0 0 0 0 0 40,088 40,088 0 0 0

901001106 Shoreline WA 05/02/2016 82,820 0 0 0 0 0 0 82,820 82,820 0 0 0

901001113 West Chester OH 04/11/2016 33,592 0 0 0 0 0 0 33,592 33,592 0 0 0

901001114 Saint Paul MN 03/01/2016 299,631 0 0 0 0 0 0 299,631 299,631 0 0 0

901001118 Charlotte NC 04/26/2016 41,903 0 0 0 0 0 0 41,903 41,903 0 0 0

901001123 San Jose CA 04/18/2016 21,605 0 0 0 0 0 0 21,605 21,605 0 0 0

901001128 Vestavia Hills AL 10/06/2016 49,218 0 0 0 0 0 0 49,218 49,218 0 0 0

901001136 Burbank CA 06/01/2016 29,958 0 0 0 0 0 0 29,958 29,958 0 0 0

901001142 Deerfield Beach FL 01/11/2017 0 0 0 0 0 0 0 72,559 72,559 0 0 0

901001145 Santa Monica CA 07/28/2016 24,175 0 0 0 0 0 0 24,175 24,175 0 0 0

901001147 University Park IL 07/29/2016 23,885 0 0 0 0 0 0 23,885 23,885 0 0 0

901001149 Newington VA 11/01/2016 39,789 0 0 0 0 0 0 39,789 39,789 0 0 0

901001152 Exton PA 08/10/2016 33,664 0 0 0 0 0 0 33,664 33,664 0 0 0

901001154 North Aurora IL 08/18/2016 31,163 0 0 0 0 0 0 31,163 31,163 0 0 0

901001155 Carlstadt NJ 08/04/2016 76,176 0 0 0 0 0 0 76,176 76,176 0 0 0

901001158 Northlake IL 08/23/2016 15,472 0 0 0 0 0 0 15,472 15,472 0 0 0

901001170 Kent WA 10/07/2016 26,806 0 0 0 0 0 0 26,806 26,806 0 0 0

901001189 Chicago IL 11/23/2016 19,847 0 0 0 0 0 0 19,847 19,847 0 0 0

901001208 Draper UT 01/25/2017 0 0 0 0 0 0 0 18,924 18,924 0 0 0

901001222 New Castle DE 01/31/2017 0 0 0 0 0 0 0 14,150 14,150 0 0 0

901001225 Cincinnati OH 12/30/2016 17,568 0 0 0 0 0 0 17,568 17,568 0 0 0

901001226 Las Vegas NV 02/01/2017 0 0 0 0 0 0 0 24,131 24,131 0 0 0

901001229 Morgan Hill CA 02/01/2017 0 0 0 0 0 0 0 10,115 10,115 0 0 0

901001230 Centreville VA 03/17/2017 0 0 0 0 0 0 0 71,297 71,297 0 0 0

901001245 Portland OR 03/06/2017 0 0 0 0 0 0 0 29,449 29,449 0 0 0

901001250 Belleville MI 03/30/2017 0 0 0 0 0 0 0 17,432 17,432 0 0 0

901001254 Doraville GA 03/30/2017 0 0 0 0 0 0 0 16,378 16,378 0 0 0

E02.7




Loan Number

2

City

3

State

LoanType

DateAcquired

Disposal Date


Prior Year

8


(Decrease)

9

Current Year’s


10Current

Year’s Other Than


11


Interest and Other

12

TotalChange


13


Book Value



Consid-eration

Foreign Exchange


RealizedGain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

901001255 Greenville SC 02/28/2017 0 0 0 0 0 0 0 40,460 40,460 0 0 0

901001257 Florence KY 03/16/2017 0 0 0 0 0 0 0 9,609 9,609 0 0 0

901001261 Upper Arlington OH 07/26/2017 0 0 0 0 0 0 0 9,905 9,905 0 0 0

901001276 Pensacola FL 04/27/2017 0 0 0 0 0 0 0 55,456 55,456 0 0 0

901001282 Marlton NJ 05/24/2017 0 0 0 0 0 0 0 19,739 19,739 0 0 0

901001283 Rohnert Park CA 06/15/2017 0 0 0 0 0 0 0 12,139 12,139 0 0 0

901001293 Plano TX 06/07/2017 0 0 0 0 0 0 0 34,868 34,868 0 0 0

901001297 Orlando FL 07/10/2017 0 0 0 0 0 0 0 13,759 13,759 0 0 0

901001304 San Carlos CA 05/24/2017 0 0 0 0 0 0 0 75,464 75,464 0 0 0

901001308 Lodi CA 05/31/2017 0 0 0 0 0 0 0 51,298 51,298 0 0 0

901001311 Farmingdale NY 05/24/2017 0 0 0 0 0 0 0 16,576 16,576 0 0 0

901001314 Phoenixville PA 06/09/2017 0 0 0 0 0 0 0 10,000 10,000 0 0 0

901001318 West Jordan UT 06/02/2017 0 0 0 0 0 0 0 16,941 16,941 0 0 0

901001321 Shoreview MN 06/05/2017 0 0 0 0 0 0 0 45,283 45,283 0 0 0

901001323 Highlands CO 06/20/2017 0 0 0 0 0 0 0 7,549 7,549 0 0 0

901001324 Odenton MD 05/19/2017 0 0 0 0 0 0 0 24,743 24,743 0 0 0

901001330 Carlsbad CA 06/29/2017 0 0 0 0 0 0 0 4,145 4,145 0 0 0

0299999. Mortgages with partial repayments 18,497,376 0 (60,136) 0 0 (60,136) 0 19,712,345 19,712,345 0 0 0

0599999 - Totals 43,870,325 0 (60,572) 0 0 (60,572) 0 45,084,857 45,084,857 0 0 0

E02.8


SCHEDULE BA - PART 2Showing Other Long-Term Invested Assets ACQUIRED AND ADDITIONS MADE During the Current Quarter

1 2 Location 5 6 7 8 9 10 11 12 13

CUSIPIdentification Name or Description

3

City

4

State

Name of Vendor or General Partner

NAICDesignation

Date OriginallyAcquired

Typeand

Strategy

Actual Costat Time of Acquisition

Additional Investment Made After Acquisition

Amount ofEncumbrances

Commitmentfor

AdditionalInvestment

Percentage of Ownership

4699999 - Totals XXX

SCHEDULE BA - PART 3Showing Other Long-Term Invested Assets DISPOSED, Transferred or Repaid During the Current Quarter

1 2 Location 5 6 7 8 Change in Book/Adjusted Carrying Value 15 16 17 18 19 20

CUSIPIdentification Name or Description

3

City

4

State

Name of Purchaser orNature of Disposal

DateOriginally Acquired

DisposalDate


ValueLess

Encum-brances,

PriorYear

9

Unrealized Valuation Increase

(De-crease)

10

Current Year’s (Depre-

ciation) or (Amorti-zation)/

Accretion

11Current Year’s Other Than

Temporary Impair-ment

Recog-nized

12

Capital-ized

Deferred Interest

andOther

13

Total Change in

Book/ Adjusted Carrying

Value (9+10-11+12)

14

Total Foreign

Exchange Change in


Value


ValueLess

Encum-brances

on Disposal

Consid-eration

Foreign Exchange

Gain (Loss)

on Disposal

Realized Gain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

Invest-ment

Income Alinda Infrastructure Fund I, L.P. Dover DE Return of capital 03/26/2007 07/06/2017 2,947 0 0 0 0 0 0 2,947 2,947 0 0 0 0

Alinda Infrastructure Fund I, L.P. Dover DE Return of capital / Impairment 03/26/2007 07/19/2017 1,901,830 0 0 1,100,000 0 (1,100,000) 0 801,830 801,830 0 0 0 3,502,160

1599999. Joint Venture Interests - Common Stock - Unaffiliated 1,904,777 0 0 1,100,000 0 (1,100,000) 0 804,777 804,777 0 0 0 3,502,160

Carlyle Realty Partners, Fund V Wilmington DE Return of capital 02/09/2007 07/03/2017 210 0 0 0 0 0 0 210 210 0 0 0 0

Carlyle Realty Partners, Fund V Wilmington DE Return of capital 02/09/2007 09/22/2017 112,728 0 0 0 0 0 0 112,728 112,728 0 0 0 102,927

Morgan Stanley Real Estate Equity Fund New York NY Return of capital 04/12/2005 08/30/2017 83,335 (83,335) 0 0 0 (83,335) 0 0 83,335 0 83,335 83,335 86,903

Morgan Stanley Real Estate Fund VI

International Wilmington DE Return of capital 06/30/2007 09/18/2017 565,116 (553,036) 0 0 0 (553,036) 0 12,080 565,116 0 553,036 553,036 495,158

1799999. Joint Venture Interests - Real Estate - Unaffiliated 761,389 (636,371) 0 0 0 (636,371) 0 125,018 761,389 0 636,371 636,371 684,988

Boston Capital Affordable Housing Mortgage

Fund LLC Boston MA Return of capital 02/28/2006 07/13/2017 1,721,977 0 0 0 0 0 0 1,721,977 1,721,977 0 0 0 0

Boston Capital Affordable Housing Mortgage

Fund LLC Boston MA Return of capital 02/28/2006 09/01/2017 433,483 0 0 0 0 0 0 433,483 433,483 0 0 0 543,752

Babson Mezzanine Realty Investors LP Springfield MA Return of capital 08/14/2006 09/22/2017 945 (945) 0 0 0 (945) 0 0 945 0 945 945 0

1999999. Joint Venture Interests - Mortgage Loans - Unaffiliated 2,156,405 (945) 0 0 0 (945) 0 2,155,460 2,156,405 0 945 945 543,752

4499999. Total - Unaffiliated 4,822,571 (637,316) 0 1,100,000 0 (1,737,316) 0 3,085,255 3,722,571 0 637,316 637,316 4,730,900

4599999. Total - Affiliated 0 0 0 0 0 0 0 0 0 0 0 0 0

4699999 - Totals 4,822,571 (637,316) 0 1,100,000 0 (1,737,316) 0 3,085,255 3,722,571 0 637,316 637,316 4,730,900

NONE

E03


SCHEDULE D - PART 3Show All Long-Term Bonds and Stock Acquired During the Current Quarter

1

CUSIP Identification

2

Description

3

Foreign

4

DateAcquired

5

Name of Vendor

6

Number ofShares of

Stock

7

Actual Cost

8

Par Value

9

Paid for Accrued Interest andDividends

10NAIC Desig-

nation or Market

Indicator(a)

38376G-W5-5 GOVERNMENT NATIONAL MORTGAGE A GOVERNMEN 09/01/2017 Interest Capitalization 39,272 39,272 0 1

38376G-XX-3 GOVERNMENT NATIONAL MORTGAGE A GOVERNMEN 09/01/2017 Interest Capitalization 31,938 31,938 0 1

38376T-HN-5 GOVERNMENT NATIONAL MORTGAGE A GNMA_10-3 09/01/2017 Interest Capitalization 126,051 126,051 0 1

38377T-2Y-6 GOVERNMENT NATIONAL MORTGAGE A GINNIE MA 09/01/2017 Interest Capitalization 71,364 71,364 0 1

38378B-3Z-0 GOVERNMENT NATIONAL MORTGAGE A GNMA_13-2 08/16/2017 NOMURA SECURITIES 5,023,662 5,736,206 9,090 1

38378B-3Z-0 GOVERNMENT NATIONAL MORTGAGE A GNMA_13-2 09/01/2017 Interest Capitalization 13,636 13,636 0 1

38378B-EQ-8 GOVERNMENT NATIONAL MORTGAGE A GOVERNMEN 09/01/2017 Interest Capitalization 50,105 50,105 0 1

38378K-2Q-1 GOVERNMENT NATIONAL MORTGAGE A GOVERNMEN 09/01/2017 Interest Capitalization 54,216 54,216 0 1

38378K-3G-2 GOVERNMENT NATIONAL MORTGAGE A GOVERNMEN 09/01/2017 Interest Capitalization 32,560 32,560 0 1

38378K-5Z-8 GOVERNMENT NATIONAL MORTGAGE A GOVERNMEN 09/01/2017 Interest Capitalization 27,809 27,809 0 1

38378N-BU-6 GNMA_13-155 GOVERNMENT NATIONAL MORTGAGE 09/01/2017 Interest Capitalization 49,817 49,817 0 1

38378N-FW-8 GNMA_13-146 GOVERNMENT NATIONAL MORTGAGE 09/01/2017 Interest Capitalization 95,597 95,597 0 1

38378N-KX-0 GNMA_13-176 GOVERNMENT NATIONAL MORTGAGE 09/01/2017 Interest Capitalization 68,153 68,153 0 1

38378X-CD-1 GNMA_14-82 GOVERNMENT NATIONAL MORTGAGE 09/01/2017 Interest Capitalization 19,426 19,426 0 1

38378X-DQ-1 GOVERNMENT NATIONAL MORTGAGE A GOVERNMEN 09/01/2017 Interest Capitalization 10,891 10,891 0 1

38379K-CS-5 GNMA_15-22 3.300% 03/16/55 09/01/2017 Interest Capitalization 68,015 68,015 0 1

38379K-PB-8 GOVERNMENT NATIONAL MORTGAGE A GNMA_15-6 09/01/2017 Interest Capitalization 76,391 76,391 0 1

38379R-4B-6 GOVERNMENT NATIONAL MORTGAGE A GNMA_17-1 09/19/2017 AMHERST 3,479,060 3,950,671 9,218 1

38379R-6V-0 GOVERNMENT NATIONAL MORTGAGE A GNMA_17-1 09/15/2017 J.P. MORGAN SECURITIES INC 2,636,725 3,301,549 6,420 1

38379R-DE-0 GOVERNMENT NATIONAL MORTGAGE A GOVERNMEN 09/01/2017 Interest Capitalization 17,665 17,665 0 1

38379R-NT-6 GOVERNMENT NATIONAL MORTGAGE A GNMA_17-2 09/01/2017 Interest Capitalization 139,454 139,454 0 1

38379R-PJ-6 GOVERNMENT NATIONAL MORTGAGE A GNMA_17-4 09/01/2017 Interest Capitalization 143,931 143,931 0 1

38379R-QH-9 GOVERNMENT NATIONAL MORTGAGE A GNMA_17-3 09/01/2017 Interest Capitalization 22,722 22,722 0 1

38379R-ZW-6 GOVERNMENT NATIONAL MORTGAGE A GNMA_17-9 09/01/2017 Interest Capitalization 39,547 39,547 0 1

38379U-2X-3 GOVERNMENT NATIONAL MORTGAGE A GNMA_16-1 09/01/2017 Interest Capitalization 36,638 36,638 0 1

38379U-FU-5 GOVERNMENT NATIONAL MORTGAGE A GNMA_16-2 09/01/2017 Interest Capitalization 14,846 14,846 0 1

38379U-J8-0 GOVERNMENT NATIONAL MORTGAGE A GNMA_16-1 09/01/2017 Interest Capitalization 55,234 55,234 0 1

38379U-M5-2 GOVERNMENT NATIONAL MORTGAGE A GNMA_16-1 09/01/2017 Interest Capitalization 162,684 162,684 0 1

38379U-MY-9 GOVERNMENT NATIONAL MORTGAGE A GOVERNMEN 09/01/2017 Interest Capitalization 47,802 47,802 0 1

912828-2K-5 US TREASURY TREASURY NOTE 1.375% 07/31 08/24/2017 UBS WARBURG LLC 5,004,883 5,000,000 4,671 1

0599999. Subtotal - Bonds - U.S. Governments 17,660,094 19,504,190 29,399 XXX3136A1-N9-2 FANNIE MAE FNMA_11-114 3.500% 11/25/41 09/01/2017 Interest Capitalization 93,069 93,069 0 1

3136A2-5P-4 FANNIE MAE FNMA_11-141 FANNIE MAE FNMA_1 09/01/2017 Interest Capitalization 72,283 72,283 0 1

3136A3-5D-9 FANNIE MAE FNMA_12-28 FANNIE MAE FNMA_12 09/01/2017 Interest Capitalization 11,161 11,161 0 1

3136A4-6B-0 FANNIE MAE FNMA_12-37 FANNIE MAE FNMA_12 09/01/2017 Interest Capitalization 8,266 8,266 0 1

3136A4-GW-3 FANNIE MAE FNMA_12-20 FANNIE MAE FNMA_12 09/01/2017 Interest Capitalization 162,834 162,834 0 1

3136A5-TC-0 FANNIE MAE FNMA_12-33 FANNIE MAE FNMA_12 09/01/2017 Interest Capitalization 101,854 101,854 0 1

3136A5-YT-7 FANNIE MAE FNMA_12-43 FANNIE MAE FNMA_12 09/01/2017 Interest Capitalization 52,714 52,714 0 1

3136A6-N6-7 FANNIE MAE FNMA_12-76 FANNIE MAE FNMA_12 09/01/2017 Interest Capitalization 69,573 69,573 0 1

3136A6-UZ-5 FANNIE MAE FNMA_12-63 FANNIE MAE FNMA_12 09/01/2017 Interest Capitalization 52,408 52,408 0 1

3136A7-VU-3 FANNIE MAE FNMA_12-80 FANNIE MAE FNMA_12 09/01/2017 Interest Capitalization 8,712 8,712 0 1

3136AN-CW-5 FANNIE MAE FNMA_15-17 SERIES 201517 CLAS 09/01/2017 Interest Capitalization 47,467 47,467 0 1

3137A8-QC-5 FREDDIE MAC FHLMC 3841 4.000% 04/15/41 09/01/2017 Interest Capitalization 39,151 39,151 0 1

3137AC-6X-2 FREDDIE MAC FHLMC 3875 4.000% 06/15/41 09/01/2017 Interest Capitalization 196,347 196,347 0 1

3137AE-Q2-4 FREDDIE MAC FHLMC_11-3905 FREDDIE MAC FH 09/01/2017 Interest Capitalization 8,330 8,330 0 1

3137AK-AR-2 FREDDIE MAC FHLMC_3982 FREDDIE MAC FHLMC 09/01/2017 Interest Capitalization 6,228 6,228 0 1

3137AL-CF-4 FREDDIE MAC FHR_4001 FREDDIE MAC FHR_400 09/01/2017 Interest Capitalization 108,909 108,909 0 1

3137AL-WW-5 FREDDIE MAC FHLMC_3996 FREDDIE MAC FHLMC 09/01/2017 Interest Capitalization 59,103 59,103 0 1

3137AN-BF-1 FREDDIE MAC FHLMC_4016 FREDDIE MAC FHLMC 09/01/2017 Interest Capitalization 45,250 45,250 0 1

3137AR-H3-3 FREDDIE MAC FHLMC_4057 FREDDIE MAC FHLMC 09/01/2017 Interest Capitalization 9,406 9,406 0 1

3137AS-2N-3 FREDDIE MAC FHLMC_12-4083 FREDDIE MAC FH 09/01/2017 Interest Capitalization 5,210 5,210 0 1

3137AY-D4-0 FREDDIE MAC FHLMC_13-4166 FREDDIE MAC FH 09/01/2017 Interest Capitalization 18,042 18,042 0 1

31397Q-6Z-6 FANNIE MAE FNMA_11-23 FANNIE MAE FNMA_11 09/01/2017 Interest Capitalization 176,901 176,901 0 1

31397Q-DT-2 FANNIE MAE FNMA 10-150 4.000% 01/25/41 08/01/2017 Interest Capitalization 86,569 86,569 0 1

31397Q-PL-6 FANNIE MAE FNMA 11-12 4.000% 02/25/41 09/01/2017 Interest Capitalization 129,637 129,637 0 1

31397Q-UG-1 FANNIE MAE FNMA 11-6 4.000% 02/25/41 09/01/2017 Interest Capitalization 224,963 224,963 0 1

31397Q-VR-6 FANNIE MAE FNMA 11-21 4.500% 03/25/41 09/01/2017 Interest Capitalization 157,539 157,539 0 1

31397S-5C-4 FANNIE MAE FNMA 11-43 4.000% 05/25/41 09/01/2017 Interest Capitalization 134,767 134,767 0 1

31397U-HJ-1 FANNIE MAE FNMA 11-49 4.000% 10/25/40 09/01/2017 Interest Capitalization 153,214 153,214 0 1

31398G-UA-5 FANNIE MAE FNMA 09-109 4.500% 01/25/40 09/01/2017 Interest Capitalization 152,205 152,205 0 1

31398M-JX-5 FANNIE MAE FNMA 10-18 4.500% 03/25/40 09/01/2017 Interest Capitalization 257,019 257,019 0 1

31398P-HA-0 FANNIE MAE FNMA 10-35 4.500% 04/25/40 09/01/2017 Interest Capitalization 109,472 109,472 0 1

E04



1


2

Description

3

Foreign

4

DateAcquired

5

Name of Vendor

6

Number ofShares of

Stock

7

Actual Cost

8

Par Value

9


10NAIC Desig-

nation or Market

Indicator(a)

31398P-WA-3 FANNIE MAE FNMA_10-44 4.500% 05/25/40 09/01/2017 Interest Capitalization 120,378 120,378 0 1

31398W-PF-5 FREDDIE MAC FHLMC 3633 4.500% 02/15/40 09/01/2017 Interest Capitalization 73,064 73,064 0 1

BCC2EF-J5-6 TEMPORARY DEAL TEMP_NS-317 0.000% 12/1 09/20/2017 NOMURA SECURITIES 7,302,435 8,111,000 20,425 1

3199999. Subtotal - Bonds - U.S. Special Revenues 10,254,480 11,063,045 20,425 XXX04317@-AW-8 ARTHUR J GALLAGHER & CO 4.090% 08/02/2 08/02/2017 BANC OF AMERICA SECURITIES LLC 4,000,000 4,000,000 0 2Z

04317@-AY-4 ARTHUR J GALLAGHER & CO 4.190% 08/02/2 08/02/2017 BANC OF AMERICA SECURITIES LLC 1,500,000 1,500,000 0 2Z

04317@-BA-5 ARTHUR J GALLAGHER & CO 4.340% 08/02/3 08/02/2017 BANC OF AMERICA SECURITIES LLC 2,500,000 2,500,000 0 2Z

079857-AF-5 BELLSOUTH CAP FUNDING 7.120% 07/15/97 07/18/2017 Tax Free Exchange 20,851,236 20,000,000 11,867 2FE

09256B-AH-0 BLACKSTONE HOLDINGS FINANCE CO SERIES 14 07/21/2017 Various 3,319,072 3,200,000 4,351 1FE

11283*-AA-3 BROOKFIELD WHITE PINE HYDRO LL 4.398% 07/10/2017 SCOTIA CAPITAL 15,000,000 15,000,000 0 2Z

125509-BW-8 CIGNA CORP 3.875% 10/15/47 09/05/2017 J.P. MORGAN SECURITIES INC 3,993,480 4,000,000 0 2FE

125634-AJ-4 CLIF_13-2A Series 144A 3.220% 06/18/28 09/28/2017 GOLDMAN SACHS & CO 161,578 161,780 203 1FE

125634-AQ-8 CLIF_14-2A Series 144A 3.380% 10/18/29 09/28/2017 GOLDMAN SACHS & CO 139,818 139,818 184 1FE

12702*-AA-4 CVS CAREMARK CORP 3.901% 10/10/39 09/27/2017 BARCLAYS CAPITAL INC 6,861,660 6,861,660 0 2Z

14268#-AA-2 CARLSBAD ENERGY HOLDINGS LLC 4.120% 10 09/29/2017 MITSUBISHI SECURITIES 1,675,676 1,675,676 0 2FE

14309U-AA-0 CARLYLE HOLDINGS FINANCE LLC Series 144A 09/08/2017 MITSUBISHI SECURITIES 5,216,500 5,000,000 22,066 2FE

14456#-AB-2 Carrix CARRIX INC 5.060% 07/19/29 07/19/2017 BANC OF AMERICA SECURITIES LLC 7,000,000 7,000,000 0 2Z

14456#-AC-0 Carrix CARRIX INC 5.210% 07/19/32 07/19/2017 BANC OF AMERICA SECURITIES LLC 6,000,000 6,000,000 0 2Z

174610-AK-1 CITIZENS FINANCIAL GROUP INC 4.300% 12 09/20/2017 MITSUBISHI SECURITIES 2,636,000 2,500,000 32,549 2FE

20605P-AJ-0 CONCHO RESOURCES INC 4.875% 10/01/47 09/18/2017 GOLDMAN SACHS & CO 3,072,660 3,000,000 0 2FE

22279#-AA-2 COUSINS PROPERTIES INC COUSINS PROPERTIE 07/06/2017 WELLS FARGO BANK 9,000,000 9,000,000 0 2

224044-CH-8 COX COMMUNICATIONS INC Series 144A 3.1 09/28/2017 MORGAN STANLEY 1,982,480 2,000,000 9,625 2FE

24422E-TV-1 JOHN DEERE CAPITAL CORP 2.150% 09/08/2 09/05/2017 BANC OF AMERICA SECURITIES LLC 3,492,895 3,500,000 0 1FE

25755T-AH-3 DOMINOS PIZZA MASTER ISSUER LL Series 14 07/12/2017 Guggenheim Capital 7,797,563 7,800,000 0 2AM

278062-AF-1 EATON CORPORATION 3.915% 09/15/47 09/06/2017 CITIGROUP GLOBAL MARKETS 3,000,000 3,000,000 0 2FE

418056-AU-1 HASBRO INC 5.100% 05/15/44 07/07/2017 CITIGROUP GLOBAL MARKETS 2,135,760 2,000,000 16,150 2FE

46647S-CS-7 JP MORGAN MORTGAGE TRUST JPMMT Series 14 08/09/2017 J.P. MORGAN SECURITIES INC 5,467,247 5,425,000 16,999 1FE

48305Q-AA-1 KAISER FOUNDATION HOSPITALS 3.500% 04/ 09/13/2017 GOLDMAN SACHS & CO 1,549,721 1,476,000 23,534 1FE

491386-E#-1 KENTUCKY PWR CO KENTUCKY POWER COMPANY 09/12/2017 BARCLAYS CAPITAL INC 5,000,000 5,000,000 0 2Z

49327M-2T-0 KEYBANK NA 2.300% 09/14/22 09/07/2017 KEYBANC CAPITAL MARKET 2,499,425 2,500,000 0 1FE

539830-BM-0 LOCKHEED MARTIN CORP Series 144A 4.090 09/07/2017 Taxable Exchange 15,273,674 14,432,000 0 2FE

548661-DN-4 LOWES COMPANIES INC 3.700% 04/15/46 09/11/2017 STIFEL NICOLAUS AND CO INC 4,843,550 5,000,000 76,056 1FE

55336V-AE-0 MPLX LP 4.500% 07/15/23 09/14/2017 JEFFRIES & COMPANY INC 1,063,790 1,000,000 7,875 2FE

559080-AM-8 MAGELLAN MIDSTREAM PARTNERS LP 4.200% 09/26/2017 WELLS FARGO BANK 1,986,820 2,000,000 0 2FE

636180-BL-4 NATIONAL FUEL GAS COMPANY NATIONAL FUEL 09/13/2017 AMHERST 2,051,980 2,000,000 2,917 2FE

65473Q-BG-7 NISOURCE FINANCE CORP NISOURCE FINANCE C 09/05/2017 CITIGROUP GLOBAL MARKETS 4,994,600 5,000,000 0 2FE

667274-AC-8 NORTHWELL HEALTHCARE INC 4.260% 11/01/ 09/28/2017 CITIGROUP GLOBAL MARKETS 5,042,700 5,000,000 3,550 1FE

668138-AA-8 NORTHWESTERN MUTUAL LIFE INS C Series 14 09/21/2017 J.P. MORGAN SECURITIES INC 4,989,350 5,000,000 0 1FE

69352P-AM-5 PPL CAPITAL FUNDING INC 4.000% 09/15/4 09/06/2017 J.P. MORGAN SECURITIES INC 6,915,440 7,000,000 0 2FE

81746F-CB-9 SEQUOIA MORTGAGE TRUST SEMT_17 Series 14 08/17/2017 WELLS FARGO BANK 6,016,098 5,864,000 17,935 1FE

824348-BB-1 SHERWIN-WILLIAMS COMPANY (THE) 4.200% 08/09/2017 Tax Free Exchange 1,017,614 1,000,000 2,800 2FE

824348-BH-8 SHERWIN-WILLIAMS COMPANY (THE) 4.400% 08/09/2017 Tax Free Exchange 4,950,670 5,000,000 4,889 2FE

84346L-AA-8 SOUTHERN NATURAL GAS COMPANY L Series 14 07/07/2017 Suntrust Banks Inc 1,445,709 1,386,000 21,806 2FE

875127-BD-3 TAMPA ELECTRIC CO 4.200% 05/15/45 08/22/2017 SUSQUEHANNA FINANCIAL 2,593,750 2,500,000 29,167 1FE

88642R-AA-7 TIDEWATER INC. 8.000% 08/01/22 08/01/2017 Taxable Exchange 376,520 376,520 0 6

89679H-AG-0 TRITON CONTAINER FINANCE LLC T Series 14 08/16/2017 ROYAL BANK OF CANADA 1,249,588 1,250,000 0 2FE

89690E-AG-2 TRIP RAIL MASTER FUNDING LLC T Series 14 09/28/2017 Various 7,099,835 7,100,000 176 1FE

907818-ER-5 UNION PACIFIC CORPORATION 4.100% 09/15 09/12/2017 MORGAN STANLEY 4,992,600 5,000,000 0 1FE

918288-AC-5 VSE VOI MORTGAGE LLC VSTNA_16- Series 14 09/13/2017 WELLS FARGO BANK 3,499,995 3,500,000 0 2FE

92783#-AB-2 VIRGINIA INTERNATIONAL GATEWAY VIRGINIA 09/29/2017 BANK OF TOKYO MIT 6,730,769 6,730,769 0 1FE

93884P-DW-7 WASHINGTON GAS LIGHT CO WASHINGTON GAS L 09/13/2017 MITSUBISHI SECURITIES 6,896,960 7,000,000 2,214 1FE

981811-AF-9 WORTHINGTON IND INC WORTHINGTON INDUSTRI 07/26/2017 Various 2,998,670 3,000,000 72 2FE

98978V-AM-5 ZOETIS INC 3.950% 09/12/47 09/05/2017 BARCLAYS CAPITAL INC 2,982,240 3,000,000 0 2FE

008474-D*-6 AGNICO EAGLE MINES LTD 4.640% 06/29/27 07/01/2017 CITIGROUP GLOBAL MARKETS 4,000,000 4,000,000 0 2Z

01626P-AG-1 ALIMENTATION COUCHE-TARD INC Series 144A 07/19/2017 WELLS FARGO BANK 4,997,550 5,000,000 0 2FE

11271L-AB-8 BROOKFIELD FINANCE INC 4.700% 09/20/47 09/11/2017 DEUTSCHE BANK SECURITIES INC. 3,472,665 3,500,000 0 2FE

034863-AS-9 ANGLO AMERICAN CAPITAL PLC Series 144A C 09/06/2017 ROYAL BANK OF CANADA 999,450 1,000,000 0 2FE

05464H-AB-6 AXIS SPECIALTY FINANCE PLC 5.150% 04/0 C 07/25/2017 JEFFRIES & COMPANY INC 2,894,400 2,700,000 45,191 2FE

05565Q-DG-0 BP CAPITAL MARKETS PLC 3.216% 11/28/23 C 09/14/2017 MORGAN STANLEY 5,127,200 5,000,000 49,133 1FE

05565Q-DP-0 BP CAPITAL MARKETS PLC 2.520% 09/19/22 C 09/14/2017 GOLDMAN SACHS & CO 5,000,000 5,000,000 0 1FE

G2003*-AA-4 CAMPO PALOMAS FINANCE LTD 5.330% 11/15 C 08/03/2017 Den Norske Bank 7,000,000 7,000,000 0 2Z

G2765*-AB-0 DIONYSUS AVIATION DESIGNATED A DIONYSUS C 07/19/2017 HSBC SECURITIES INC 4,000,000 4,000,000 0 2Z

E04.1



1


2

Description

3

Foreign

4

DateAcquired

5

Name of Vendor

6

Number ofShares of

Stock

7

Actual Cost

8

Par Value

9


10NAIC Desig-

nation or Market

Indicator(a)

G2765*-AC-8 DIONYSUS AVIATION DESIGNATED A DIONYSUS C 07/19/2017 HSBC SECURITIES INC 6,000,000 6,000,000 0 2Z

Q0697#-AC-0 AUSGRID FINANCE PTY LTD 3.750% 10/01/3 C 09/06/2017 NATIONAL AUSTRALIA BANK 15,000,000 15,000,000 0 2Z

Q2762#-AD-4 CONNECTEAST FINANCE PTY LTD 3.770% 09/ C 09/27/2017 BANC OF AMERICA SECURITIES LLC 5,000,000 5,000,000 0 2Z

Q8718#-AE-4 ECHO ENTERTAINMENT GROUP LTD 5.890% 08 C 08/22/2017 NATIONAL AUSTRALIA BANK 4,000,000 4,000,000 0 2Z

Q8718#-AF-1 ECHO ENTERTAINMENT GROUP LTD 5.890% 08 C 08/22/2017 NATIONAL AUSTRALIA BANK 6,000,000 6,000,000 0 2Z

3899999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) 299,356,958 296,579,223 401,309 XXX

8399997. Total - Bonds - Part 3 327,271,532 327,146,458 451,133 XXX

8399998. Total - Bonds - Part 5 XXX XXX XXX XXX

8399999. Total - Bonds 327,271,532 327,146,458 451,133 XXX

8999997. Total - Preferred Stocks - Part 3 0 XXX 0 XXX

8999998. Total - Preferred Stocks - Part 5 XXX XXX XXX XXX

8999999. Total - Preferred Stocks 0 XXX 0 XXX88642R-10-9 TIDEWATER INC. 08/01/2017 Taxable Exchange 30,660.000 766,500 0

9099999. Subtotal - Common Stocks - Industrial and Miscellaneous (Unaffiliated) 766,500 XXX 0 XXX76828*-10-0 River Lake Insurance Company VIII 07/26/2017 Tax Agreement Settlement 2,542,215

76827*-10-1 River Lake Insurance Company VII 07/26/2017 Tax Agreement Settlement 1,742,886

9199999. Subtotal - Common Stocks - Parent, Subsidiaries and Affiliates 4,285,101 XXX 0 XXX

9799997. Total - Common Stocks - Part 3 5,051,601 XXX 0 XXX

9799998. Total - Common Stocks - Part 5 XXX XXX XXX XXX

9799999. Total - Common Stocks 5,051,601 XXX 0 XXX

9899999. Total - Preferred and Common Stocks 5,051,601 XXX 0 XXX

9999999 - Totals 332,323,133 XXX 451,133 XXX

(a) For all common stock bearing the NAIC market indicator "U" provide: the number of such issues

E04.2


SCHEDULE D - PART 4Show All Long-Term Bonds and Stock Sold, Redeemed or Otherwise Disposed of During the Current Quarter

1 2 3 4 5 6 7 8 9 10 Change In Book/Adjusted Carrying Value 16 17 18 19 20 21 22

CUSIPIdent-

ification DescriptionFor-eign

DisposalDate

Nameof Purchaser

Number of Shares of

StockConsid-eration Par Value

ActualCost

Prior YearBook/

Adjusted Carrying

Value

11

Unrealized Valuation Increase/

(Decrease)

12

Current Year's (Amor-

tization)/Accretion

13

Current Year's

Other Than Temporary Impairment

Recog-nized

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total


Book /Adjusted Carrying

Value

Book/Adjusted Carrying Value at Disposal

Date

Foreign Exchange

Gain (Loss) on Disposal

Realized Gain

(Loss) on Disposal

Total Gain (Loss) on Disposal

Bond Interest/ Stock

Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date

NAIC Desig-nation

orMarket

In-dicator

(a)36225B-ZA-9 GINNIE MAE I POOL #781637 4.500% 07/15 09/01/2017 Paydown 48,367 48,367 45,020 45,779 0 2,588 0 2,588 0 48,367 0 0 0 1,569 07/15/2033 1

38373M-8G-8 GNMA 09-63 GNMA_09-63 5.342% 03/16/51 09/01/2017 Paydown 8,562 8,562 8,267 8,289 0 273 0 273 0 8,562 0 0 0 305 03/16/2051 1

38374G-5L-2 GNMA 04-43 2004-43 ZS 4.500% 04/16/36 09/01/2017 Paydown 232,698 232,698 206,472 229,628 0 3,070 0 3,070 0 232,698 0 0 0 7,561 04/16/2036 1

38376G-AZ-3 GOVERNMENT NATIONAL MORTGAGE A GNMA_09-9 09/01/2017 Paydown 3,304 3,304 3,226 3,231 0 73 0 73 0 3,304 0 0 0 123 04/16/2051 1

38376K-FA-4 GOVERNMENT NATIONAL MORTGAGE A GNMA_09-9 09/01/2017 Paydown 152,934 152,934 153,507 153,107 0 (173) 0 (173) 0 152,934 0 0 0 5,110 10/16/2039 1

38376P-TX-8 GOVERNMENT NATIONAL MORTGAGE A GNMA_09-1 09/01/2017 Paydown 886,631 886,631 868,797 874,281 0 12,350 0 12,350 0 886,631 0 0 0 18,348 10/20/2039 1

38378X-P6-2 GOVERNMENT NATIONAL MORTGAGE A GOVERNMEN 09/01/2017 Paydown 526,145 526,145 525,323 525,335 0 810 0 810 0 526,145 0 0 0 8,217 05/16/2055 1

83164D-GR-4 SBA PRIME FLTR SBA POOL 502908 2.750% 09/01/2017 Paydown 2,938 2,938 2,923 2,924 0 14 0 14 0 2,938 0 0 0 47 03/25/2020 1

912810-DZ-8 US TREASURY TREASURY BOND 8.875% 08/15 08/15/2017 Maturity 1,860,000 1,860,000 2,578,704 1,918,348 0 (58,348) 0 (58,348) 0 1,860,000 0 0 0 165,075 08/15/2017 1

0599999. Subtotal - Bonds - U.S. Governments 3,721,579 3,721,579 4,392,239 3,760,922 0 (39,343) 0 (39,343) 0 3,721,579 0 0 0 206,355 XXX XXX

X74344-DM-5 RUSSIAN FEDERATION OF REGS 7.500% 03/3 D 09/30/2017

Redemption 100.0000

54,225 54,225 45,382 51,238 0 2,987 0 2,987 0 54,225 0 0 0 4,067 03/31/2030 3FE

1099999. Subtotal - Bonds - All Other Governments 54,225 54,225 45,382 51,238 0 2,987 0 2,987 0 54,225 0 0 0 4,067 XXX XXX

14069B-AA-2 CAPMARK MILITARY HOUSING TRUST 2007-AETC 09/10/2017

Redemption 100.0000

2,642 2,642 2,650 2,649 0 (7) 0 (7) 0 2,642 0 0 0 101 02/10/2052 1

312903-8H-3 FHLMC 179 179 D 9.300% 07/15/21 09/15/2017 Paydown 221 221 210 217 0 3 0 3 0 221 0 0 0 14 07/15/2021 1

312904-EY-7 FHLMC 188 188 H 7.000% 09/15/21 09/15/2017 Paydown 1,131 1,131 1,143 1,129 0 2 0 2 0 1,131 0 0 0 54 09/15/2021 1

312904-GT-6 FHLMC 194 194 E 7.000% 09/15/21 09/15/2017 Paydown 483 483 439 474 0 8 0 8 0 483 0 0 0 23 09/15/2021 1

312904-QW-8 FHLMC 1012 1012 D 8.000% 10/15/20 09/01/2017 Paydown 226 226 235 226 0 0 0 0 0 226 0 0 0 12 10/15/2020 1

312905-GM-8 FHLMC 1055 1055 H 7.000% 03/15/21 09/01/2017 Paydown 1,511 1,511 1,464 1,499 0 12 0 12 0 1,511 0 0 0 70 03/15/2021 1

312905-KJ-0 FHLMC 1060 1060 X 7.250% 03/15/21 09/01/2017 Paydown 614 614 613 612 0 1 0 1 0 614 0 0 0 15 03/15/2021 1

312905-ND-0 FHLMC 1064 1064 E 7.300% 04/15/21 09/01/2017 Paydown 4,273 4,273 4,320 4,282 0 (8) 0 (8) 0 4,273 0 0 0 210 04/15/2021 1

312905-RG-9 FHLMC 1068 1068 E 7.000% 04/15/21 09/01/2017 Paydown 1,757 1,757 1,610 1,713 0 44 0 44 0 1,757 0 0 0 82 04/15/2021 1

312905-UN-0 FHLMC 1073 1073 G 7.000% 05/15/21 09/01/2017 Paydown 217 217 206 213 0 4 0 4 0 217 0 0 0 10 05/15/2021 1

312906-DD-9 FHLMC 1099 1099 K 7.950% 06/15/21 09/01/2017 Paydown 2,883 2,883 2,818 2,865 0 19 0 19 0 2,883 0 0 0 154 06/15/2021 1

312906-RN-2 FHLMC 1118 1118 Z 8.250% 07/15/21 09/01/2017 Paydown 1,066 1,066 1,041 1,063 0 4 0 4 0 1,066 0 0 0 59 07/15/2021 1

312907-FV-5 FHLMC 1142 1142 IA 7.000% 10/15/21 09/01/2017 Paydown 2,687 2,687 2,649 2,672 0 15 0 15 0 2,687 0 0 0 128 10/15/2021 1

312907-XF-0 FHLMC 1167 1167 E 7.500% 11/15/21 09/01/2017 Paydown 1,231 1,231 1,171 1,209 0 22 0 22 0 1,231 0 0 0 62 11/15/2021 1

312908-4J-2 FHLMC 1226 1226 Z 7.750% 03/15/22 09/01/2017 Paydown 965 965 938 960 0 5 0 5 0 965 0 0 0 52 03/15/2022 1

312909-LH-5 FHLMC 1235 1235 C 7.000% 04/15/22 09/01/2017 Paydown 579 579 573 576 0 3 0 3 0 579 0 0 0 26 04/15/2022 1

312910-DY-5 FHLMC 1286 1286 A 6.000% 05/15/22 09/01/2017 Paydown 462 462 440 451 0 11 0 11 0 462 0 0 0 19 05/15/2022 1

312911-GX-2 FHLMC 1343 1343 LB 7.500% 08/15/22 09/01/2017 Paydown 661 661 663 660 0 1 0 1 0 661 0 0 0 33 08/15/2022 1

312911-SG-6 FHLMC 1349 1349 PS 7.500% 08/15/22 09/01/2017 Paydown 4,306 4,306 3,998 4,222 0 84 0 84 0 4,306 0 0 0 210 08/15/2022 1

312913-X5-0 FHLMC 1443 1443 I 7.500% 12/15/22 09/01/2017 Paydown 10,894 10,894 10,839 10,857 0 37 0 37 0 10,894 0 0 0 532 12/15/2022 1

31292G-PX-8 FREDDIE MAC GOLD POOL #C00438 7.000% 1 09/01/2017 Paydown 1,735 1,735 1,865 1,831 0 (96) 0 (96) 0 1,735 0 0 0 81 12/01/2025 1

31335G-PJ-8 FREDDIE MAC GOLD POOL #C80425 8.000% 0 09/01/2017 Paydown 865 865 869 867 0 (2) 0 (2) 0 865 0 0 0 46 08/01/2026 1

3133T5-QF-3 FHLMC 1735 1735 I 6.500% 06/15/24 09/01/2017 Paydown 17,358 17,358 13,878 16,431 0 927 0 927 0 17,358 0 0 0 748 06/15/2024 1

3133T6-BA-8 FHLMC 1777 1777 G 8.250% 03/15/25 09/01/2017 Paydown 833 833 812 824 0 9 0 9 0 833 0 0 0 46 03/15/2025 1

3133T6-YS-4 FHLMC G51 51 KB 6.750% 05/17/26 09/01/2017 Paydown 5,303 5,303 4,971 5,180 0 123 0 123 0 5,303 0 0 0 242 05/17/2026 1

3133T8-3C-9 FHLMC 1885 1885 E 7.500% 09/15/26 09/01/2017 Paydown 4,465 4,465 4,373 4,422 0 43 0 43 0 4,465 0 0 0 216 09/15/2026 1

31340Y-AK-5 FHLMC 2 2 Z 9.300% 03/15/19 08/01/2017 Paydown 3 3 3 3 0 0 0 0 0 3 0 0 0 0 03/15/2019 1

31358E-3Z-3 FNMA 90-111 1990-111 Z 8.750% 09/25/20 09/01/2017 Paydown 630 630 633 628 0 3 0 3 0 630 0 0 0 37 09/25/2020 1

31358E-7X-4 FNMA 90-106 1990-106 J 8.500% 09/25/20 09/01/2017 Paydown 177 177 177 177 0 0 0 0 0 177 0 0 0 10 09/25/2020 1

31358E-WY-4 FNMA 90-86 1990-86 H 7.000% 07/25/20 09/01/2017 Paydown 898 898 845 876 0 22 0 22 0 898 0 0 0 42 07/25/2020 1

31358F-6B-0 FNMA G-6 G-6 Z 9.000% 03/25/21 09/01/2017 Paydown 1,409 1,409 1,403 1,402 0 7 0 7 0 1,409 0 0 0 82 03/25/2021 1

31358G-L6-2 FNMA 91-61 1991-61 H 6.500% 06/25/21 09/01/2017 Paydown 4,641 4,641 4,390 4,540 0 101 0 101 0 4,641 0 0 0 217 06/25/2021 1

31358J-XA-4 FNMA G91-31 G-31 Z 8.500% 10/25/21 09/01/2017 Paydown 1,882 1,882 1,789 1,866 0 16 0 16 0 1,882 0 0 0 106 10/25/2021 1

31358J-ZT-1 FNMA 91-137 1991-137 H 7.000% 10/25/21 09/01/2017 Paydown 1,162 1,162 1,120 1,144 0 18 0 18 0 1,162 0 0 0 54 10/25/2021 1

31358M-F3-3 FNMA 92-66 1992-66 B 8.000% 05/25/22 09/01/2017 Paydown 1,233 1,233 1,126 1,205 0 29 0 29 0 1,233 0 0 0 65 05/25/2022 1

31358N-F6-4 FNMA G92-36 G92-36 Z 7.000% 07/25/22 09/01/2017 Paydown 668 668 662 666 0 2 0 2 0 668 0 0 0 31 07/25/2022 1

31358P-GJ-0 FNMA 92-133 1992-133 J 7.500% 08/25/22 09/01/2017 Paydown 5,768 5,768 5,215 5,617 0 151 0 151 0 5,768 0 0 0 289 08/25/2022 1

31358Q-BR-5 FNMA G92-53 G92-53 J 7.000% 09/25/22 09/01/2017 Paydown 5,395 5,395 5,519 5,419 0 (25) 0 (25) 0 5,395 0 0 0 252 09/25/2022 1

31358R-KL-6 FNMA 92-201 1992-201 D 7.000% 11/25/22 09/01/2017 Paydown 16,230 16,230 14,352 15,767 0 463 0 463 0 16,230 0 0 0 785 11/25/2022 1

31359B-QP-5 FNMA 93-113 1993-113 PK 6.500% 07/25/2 09/01/2017 Paydown 9,049 9,049 8,482 8,898 0 152 0 152 0 9,049 0 0 0 396 07/25/2023 1

313602-R8-9 FNMA 89-59 1989-59 K 8.300% 09/25/19 07/01/2017 Paydown 9 9 9 9 0 0 0 0 0 9 0 0 0 0 09/25/2019 1

313602-SR-6 FNMA 89-27 1989-27 Y 6.900% 06/25/19 09/01/2017 Paydown 1,298 1,298 1,287 1,293 0 5 0 5 0 1,298 0 0 0 60 06/25/2019 1

313602-TR-5 FNMA 89-30 1989-30 Z 9.500% 06/25/19 09/01/2017 Paydown 347 347 339 345 0 2 0 2 0 347 0 0 0 22 06/25/2019 1

E05




CUSIPIdent-


DisposalDate

Nameof Purchaser

Number of Shares of


ActualCost

Prior YearBook/

Adjusted Carrying

Value

11


(Decrease)

12


tization)/Accretion

13

Current Year's


Recog-nized

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date

NAIC Desig-nation

orMarket

In-dicator

(a)313603-X7-2 FNMA 90-36 1990-36 C 9.000% 04/25/20 09/01/2017 Paydown 297 297 307 299 0 (1) 0 (1) 0 297 0 0 0 18 04/25/2020 1

31361X-DF-9 FANNIE MAE POOL #44202 9.000% 08/01/21 09/01/2017 Paydown 21 21 21 21 0 0 0 0 0 21 0 0 0 1 08/01/2021 1

3136A1-WA-9 FANNIE MAE FNMA 11-100 ZG 4.000% 10/25 09/01/2017 Paydown 1,239,570 1,239,570 1,232,378 1,233,624 0 5,946 0 5,946 0 1,239,570 0 0 0 33,040 10/25/2041 1

3136A1-WS-0 FANNIE MAE FNMA 11-106 MZ 4.000% 10/25 09/01/2017 Paydown 619,700 619,700 600,348 608,819 0 10,881 0 10,881 0 619,700 0 0 0 17,050 10/25/2041 1

3136A2-NF-6 FANNIE MAE FNMA_11-129 FANNIE MAE FNMA_1 09/01/2017 Paydown 453,127 453,127 428,165 436,976 0 16,151 0 16,151 0 453,127 0 0 0 11,891 12/25/2041 1

3136A4-JE-0 FANNIE MAE FNMA_12-20 FANNIE MAE FNMA_12 09/01/2017 Paydown 66,104 66,104 67,240 67,087 0 (983) 0 (983) 0 66,104 0 0 0 1,333 02/25/2032 1

3136AA-DA-0 FANNIE MAE FNMA_12-129 FANNIE MAE FNMA_1 09/01/2017 Paydown 22,019 22,019 22,065 22,055 0 (36) 0 (36) 0 22,019 0 0 0 235 12/25/2042 1

3136AB-VF-7 FANNIE MAE FNMA_13-12 FANNIE MAE FNMA_13 09/01/2017 Paydown 331,735 331,735 334,223 333,443 0 (1,708) 0 (1,708) 0 331,735 0 0 0 3,851 11/25/2041 1

3136AF-JS-4 FNMA_13-68 FANNIE MAE FNMA_13-68 3.500 09/01/2017 Paydown 27,938 27,938 29,008 28,790 0 (852) 0 (852) 0 27,938 0 0 0 674 10/25/2042 1

3136AF-P8-1 FNMA_13-81 FANNIE MAE FNMA_13-81 3.000 09/01/2017 Paydown 256,464 256,464 258,788 258,238 0 (1,775) 0 (1,775) 0 256,464 0 0 0 5,179 12/25/2042 1

3136AG-LR-1 FNMA_13-93 FANNIE MAE FNMA_13-93 3.000 09/01/2017 Paydown 373,481 373,481 375,815 375,938 0 (2,457) 0 (2,457) 0 373,481 0 0 0 7,198 07/25/2042 1

3136AG-PE-6 FANNIE MAE FNMA_13-103 3.000% 03/25/38 09/01/2017 Paydown 392,901 392,901 399,777 397,561 0 (4,660) 0 (4,660) 0 392,901 0 0 0 8,045 03/25/2038 1

3136AH-CJ-7 FANNIE MAE FNMA_13-118 3.000% 05/25/37 09/01/2017 Paydown 99,432 99,432 100,675 100,341 0 (908) 0 (908) 0 99,432 0 0 0 1,976 05/25/2037 1

3136AH-N9-7 FANNIE MAE FNMA_13-130 3.000% 09/25/39 09/01/2017 Paydown 461,293 461,293 472,826 470,670 0 (9,377) 0 (9,377) 0 461,293 0 0 0 9,866 09/25/2039 1

3136AH-UP-3 FANNIE MAE FNMA_13-138 3.000% 08/25/33 09/01/2017 Paydown 244,877 244,877 246,101 245,750 0 (873) 0 (873) 0 244,877 0 0 0 4,834 08/25/2033 1

3136AP-H2-1 FANNIE MAE FNMA_15-55 2.500% 10/25/42 09/01/2017 Paydown 517,469 517,469 521,026 520,347 0 (2,879) 0 (2,879) 0 517,469 0 0 0 9,128 10/25/2042 1

3137A5-EH-3 FREDDIE MAC FHLMC 3739 4.000% 01/15/41 09/01/2017 Paydown 730,572 730,572 658,884 685,860 0 44,711 0 44,711 0 730,572 0 0 0 19,455 01/15/2041 1

3137A5-XU-3 FREDDIE MAC FHLMC 11-1055 4.500% 01/15 08/01/2017 Paydown 187,881 187,881 176,808 181,074 0 6,807 0 6,807 0 187,881 0 0 0 5,119 01/15/2041 1

3137A6-VK-5 FREDDIE MAC FHR 3808 4.000% 08/15/38 09/01/2017 Paydown 42,618 42,618 43,464 43,109 0 (491) 0 (491) 0 42,618 0 0 0 1,132 08/15/2038 1

3137A7-Z3-7 FREDDIE MAC FHLMC 3827 4.000% 03/15/41 09/01/2017 Paydown 92,730 92,730 76,286 83,008 0 9,722 0 9,722 0 92,730 0 0 0 2,476 03/15/2041 1

3137A9-QP-4 FREDDIE MAC FHLMC 3842 4.000% 04/15/41 09/01/2017 Paydown 227,728 227,728 236,268 234,257 0 (6,529) 0 (6,529) 0 227,728 0 0 0 6,058 04/15/2041 1

3137A9-ZN-9 FREDDIE MAC FHLMC 3838 4.000% 04/15/41 09/01/2017 Paydown 282,352 282,352 262,334 267,139 0 15,213 0 15,213 0 282,352 0 0 0 7,469 04/15/2041 1

3137AC-V7-1 FREDDIE MAC FHLMC_3895 3.000% 12/15/40 09/01/2017 Paydown 143,412 143,412 146,807 146,370 0 (2,958) 0 (2,958) 0 143,412 0 0 0 2,846 12/15/2040 1

3137AX-SY-0 FREDDIE MAC FHLMC_13-4153 FREDDIE MAC FH 09/01/2017 Paydown 118,480 118,480 120,808 120,082 0 (1,602) 0 (1,602) 0 118,480 0 0 0 1,500 09/15/2042 1

3137B6-HQ-7 FREDDIE MAC FHLMC_13-4280 3.000% 04/15 09/01/2017 Paydown 166,828 166,828 166,972 166,903 0 (75) 0 (75) 0 166,828 0 0 0 3,298 04/15/2038 1

3137B7-QJ-1 FHLMC_14-4298 FREDDIE MAC FHLMC_14-4298 09/01/2017 Paydown 444,496 444,496 442,829 443,120 0 1,376 0 1,376 0 444,496 0 0 0 6,003 04/15/2043 1

3137BE-MC-5 FREDDIE MAC FHLMC_14-4402 3.000% 03/15 09/01/2017 Paydown 174,495 174,495 178,313 177,663 0 (3,167) 0 (3,167) 0 174,495 0 0 0 3,451 03/15/2043 1

3137BF-VE-8 FREDDIE MAC FHLMC_15-4417 SERIES 4417 CL 08/16/2017

BANC OF AMERICA

SECURITIES LLC 4,540,398 4,515,878 4,587,850 4,580,206 0 (2,897) 0 (2,897) 0 4,577,309 0 (36,911) (36,911) 81,537 01/15/2040 1

3137BF-VE-8 FREDDIE MAC FHLMC_15-4417 SERIES 4417 CL 08/01/2017 Paydown 155,909 155,909 158,394 158,130 0 (2,221) 0 (2,221) 0 155,909 0 0 0 2,481 01/15/2040 1

3137BJ-K7-7 FREDDIE MAC FHLMC_15-4468 3.250% 08/15 09/01/2017 Paydown 279,269 279,269 288,869 287,450 0 (8,181) 0 (8,181) 0 279,269 0 0 0 6,238 08/15/2044 1

3137BL-2W-7 FREDDIE MAC FHLMC_15-4498 3.000% 03/15 09/01/2017 Paydown 334,398 334,398 340,903 340,210 0 (5,813) 0 (5,813) 0 334,398 0 0 0 7,074 03/15/2042 1

31392B-6U-5 FNGT 02-T4 2002-T4 A2 7.000% 12/25/41 09/01/2017 Paydown 11,163 11,163 11,452 11,353 0 (190) 0 (190) 0 11,163 0 0 0 526 12/25/2041 1

31392G-FQ-3 FNGT 02-T18 2002-T18 A3 7.000% 08/25/4 09/01/2017 Paydown 12,336 12,336 13,164 12,929 0 (594) 0 (594) 0 12,336 0 0 0 573 08/25/2042 1

31392J-YQ-6 FNW 03-W3 WHOLE CMO 03-3 5.356% 06/25/ 09/01/2017 Paydown 22,840 22,840 24,100 23,948 0 (1,108) 0 (1,108) 0 22,840 0 0 0 796 06/25/2042 1

31393B-U5-2 FNW 03-6 2003-W6 2A4 5.204% 09/25/42 09/01/2017 Paydown 21,433 21,433 21,208 21,279 0 154 0 154 0 21,433 0 0 0 791 09/25/2042 1

31393N-TE-9 FHLMC_T-55 T-55 1A1C 6.500% 03/25/43 09/01/2017 Paydown 113,484 113,484 116,889 116,682 0 (3,198) 0 (3,198) 0 113,484 0 0 0 4,734 03/25/2043 1

31393R-GG-9 FREDDIE MAC FHLMC 7 T-56 A5 5.231% 05/ 09/01/2017 Paydown 11,422 11,422 11,421 11,408 0 14 0 14 0 11,422 0 0 0 409 05/25/2043 1

31393U-J9-5 FNMA 03-129 2003-129 PX 4.500% 07/25/3 09/01/2017 Paydown 28,885 28,885 27,188 28,543 0 342 0 342 0 28,885 0 0 0 867 07/25/2033 1

31393U-LR-2 FNMA 03-122 2003-122 OL 4.000% 12/25/1 09/01/2017 Paydown 161,385 161,385 157,163 160,415 0 970 0 970 0 161,385 0 0 0 4,295 12/25/2018 1

31393W-K4-0 FREDDIE MAC 2643 OH 5.000% 07/15/33 09/01/2017 Paydown 124,473 124,473 115,260 118,030 0 6,442 0 6,442 0 124,473 0 0 0 3,969 07/15/2033 1

31394A-YY-6 FNMA 04-68 2004-68 CB 4.500% 09/25/24 09/01/2017 Paydown 123,684 123,684 115,258 121,055 0 2,628 0 2,628 0 123,684 0 0 0 3,699 09/25/2024 1

31394D-JJ-0 FANNIE MAE 2005 29 QE 5.000% 04/25/35 09/01/2017 Paydown 165,449 165,449 153,063 156,776 0 8,672 0 8,672 0 165,449 0 0 0 5,513 04/25/2035 1

31394D-QL-7 FNMA 05-40 2005-40 ZM 5.000% 05/25/35 09/01/2017 Paydown 31,312 31,312 28,465 29,544 0 1,768 0 1,768 0 31,312 0 0 0 1,030 05/25/2035 1

31394J-MS-3 FHLMC 2676 2676 KY 5.000% 09/15/23 09/01/2017 Paydown 153,624 153,624 149,803 152,455 0 1,169 0 1,169 0 153,624 0 0 0 5,116 09/15/2023 1

31394N-UA-4 FHLMC 2733 FHLMC_2733 5.000% 01/15/34 09/01/2017 Paydown 58,628 58,628 59,397 59,002 0 (374) 0 (374) 0 58,628 0 0 0 1,914 01/15/2034 1

31394P-DZ-3 FHLMC 2738 FHLMC_2738 5.000% 01/15/34 09/01/2017 Paydown 10,676 10,676 10,916 10,804 0 (128) 0 (128) 0 10,676 0 0 0 347 01/15/2034 1

31394U-M7-4 FANNIE MAE FNMA 05-106 4.500% 12/25/35 09/01/2017 Paydown 108,816 108,816 106,354 107,124 0 1,692 0 1,692 0 108,816 0 0 0 3,263 12/25/2035 1

31394V-ZM-5 FANNIE MAE FNMA 06-4 6.000% 02/25/26 09/01/2017 Paydown 237,699 237,699 239,110 237,661 0 38 0 38 0 237,699 0 0 0 8,998 02/25/2026 1

31395H-ER-7 FHLMC 2875 5.000% 10/15/34 09/01/2017 Paydown 92,620 92,620 94,902 93,859 0 (1,239) 0 (1,239) 0 92,620 0 0 0 3,085 10/15/2034 1

31395H-WC-0 FHR 2893 2893 PE 5.000% 11/15/34 09/01/2017 Paydown 106,039 106,039 102,321 102,992 0 3,047 0 3,047 0 106,039 0 0 0 3,533 11/15/2034 1

31396G-SP-7 FREDDIE MAC FHLMC 3098 5.000% 01/15/36 09/01/2017 Paydown 124,721 124,721 121,058 121,971 0 2,751 0 2,751 0 124,721 0 0 0 4,306 01/15/2036 1

31396K-RX-2 FANNIE MAE FNMA 06-75 5.000% 08/25/36 09/01/2017 Paydown 52,632 52,632 50,969 51,374 0 1,257 0 1,257 0 52,632 0 0 0 1,758 08/25/2036 1

31396N-GS-9 FHLMC 3136 1.534% 04/15/36 09/15/2017 Paydown 116,771 116,771 116,954 116,910 0 (139) 0 (139) 0 116,771 0 0 0 963 04/15/2036 1

31396Q-NB-1 FANNIE MAE FNMA 09-55 5.000% 07/25/39 09/01/2017 Paydown 68,167 68,167 66,633 67,318 0 848 0 848 0 68,167 0 0 0 1,140 07/25/2039 1

31396X-3J-1 FANNIE MAE FNMA 07-109 4.500% 12/25/37 09/01/2017 Paydown 39,015 39,015 40,552 40,248 0 (1,232) 0 (1,232) 0 39,015 0 0 0 1,169 12/25/2037 1

31397C-NS-4 FHLMC 3245 1.534% 11/15/36 09/15/2017 Paydown 50,666 50,666 50,713 50,701 0 (35) 0 (35) 0 50,666 0 0 0 414 11/15/2036 1

31397Q-3D-8 FANNIE MAE FNMA 10-149 4.000% 01/25/41 09/01/2017 Paydown 74,990 74,990 61,444 67,261 0 7,729 0 7,729 0 74,990 0 0 0 1,992 01/25/2041 1

E05.1




CUSIPIdent-


DisposalDate

Nameof Purchaser

Number of Shares of


ActualCost

Prior YearBook/

Adjusted Carrying

Value

11


(Decrease)

12


tization)/Accretion

13

Current Year's


Recog-nized

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date

NAIC Desig-nation

orMarket

In-dicator

(a)31397Q-DT-2 FANNIE MAE FNMA 10-150 4.000% 01/25/41 09/01/2017 Paydown 103,529 103,529 86,647 92,047 0 10,796 0 10,796 0 103,529 0 0 0 1,032 01/25/2041 1

31397Q-GR-3 FANNIE MAE FNMA 11-2 4.000% 02/25/41 09/01/2017 Paydown 442,317 442,317 429,985 434,251 0 8,065 0 8,065 0 442,317 0 0 0 4,862 02/25/2041 1

31397Q-JX-7 FANNIE MAE FNMA 11-8 4.000% 02/25/41 09/01/2017 Paydown 798,635 798,635 694,313 739,773 0 58,862 0 58,862 0 798,635 0 0 0 21,165 02/25/2041 1

31397Q-NV-6 FANNIE MAE FNMA 11-9 3.500% 01/25/39 09/01/2017 Paydown 116,879 116,879 117,043 116,927 0 (48) 0 (48) 0 116,879 0 0 0 2,563 01/25/2039 1

31397Q-TJ-7 FANNIE MAE FNMA 11-1 4.000% 02/25/41 09/01/2017 Paydown 282,418 282,418 236,484 253,076 0 29,341 0 29,341 0 282,418 0 0 0 8,008 02/25/2041 1

31397Q-TU-2 FANNIE MAE FNMA 11-1 4.000% 02/25/41 09/01/2017 Paydown 931,772 931,772 847,853 877,397 0 54,375 0 54,375 0 931,772 0 0 0 26,419 02/25/2041 1

31397Q-Z5-0 FANNIE MAE FNMA 10-147 4.000% 01/25/41 09/01/2017 Paydown 547,538 547,538 451,077 491,224 0 56,314 0 56,314 0 547,538 0 0 0 13,612 01/25/2041 1

31397S-CP-7 FANNIE MAE FNMA 11-22 4.500% 03/25/41 09/01/2017 Paydown 162,735 162,735 146,268 154,391 0 8,344 0 8,344 0 162,735 0 0 0 5,067 03/25/2041 1

31397T-2F-8 FREDDIE MAC FHLMC 3438 AGENCY CMO 5.00 09/01/2017 Paydown 10,703 10,703 10,555 10,607 0 96 0 96 0 10,703 0 0 0 180 04/15/2038 1

31397U-K6-5 FANNIE MAE FNMA 11-65 4.000% 07/25/41 09/01/2017 Paydown 189,697 189,697 177,418 181,553 0 8,143 0 8,143 0 189,697 0 0 0 5,090 07/25/2041 1

31397U-PZ-6 FANNIE MAE FNMA 11-56 5.000% 09/25/40 09/01/2017 Paydown 1,097,069 1,097,069 1,086,946 1,090,556 0 6,514 0 6,514 0 1,097,069 0 0 0 7,899 09/25/2040 1

31398G-PX-1 FANNIE MAE FNMA 09-108 5.000% 01/25/40 09/01/2017 Paydown 350,898 350,898 337,744 343,895 0 7,003 0 7,003 0 350,898 0 0 0 11,547 01/25/2040 1

31398K-DJ-6 FREDDIE MAC FHLMC 3587 FREDDIE MAC FHLMC 09/01/2017 Paydown 51,570 51,570 51,828 51,635 0 (64) 0 (64) 0 51,570 0 0 0 1,555 05/15/2039 1

31398M-F4-3 FANNIE MAE FNMA 10-28 5.000% 04/25/40 09/01/2017 Paydown 528,077 528,077 527,087 526,698 0 1,379 0 1,379 0 528,077 0 0 0 16,946 04/25/2040 1

31398M-LM-6 FANNIE MAE FNMA 10-24 5.000% 03/25/40 09/01/2017 Paydown 798,746 798,746 799,378 797,785 0 961 0 961 0 798,746 0 0 0 26,890 03/25/2040 1

31398M-U3-8 FANNIEMAE FNMA 10-29 4.500% 04/25/40 09/01/2017 Paydown 983,186 983,186 945,087 961,972 0 21,214 0 21,214 0 983,186 0 0 0 29,191 04/25/2040 1

31398M-UA-2 FANNIE MAE FNMA 10-21 4.500% 03/25/40 09/01/2017 Paydown 546,017 546,017 505,798 522,398 0 23,619 0 23,619 0 546,017 0 0 0 10,162 03/25/2040 1

31398P-G2-9 FANNIE MAE FNMA 10-48 4.500% 05/25/40 09/01/2017 Paydown 1,151,197 1,151,197 1,114,503 1,133,786 0 17,411 0 17,411 0 1,151,197 0 0 0 32,899 05/25/2040 1

31398P-JB-6 FANNIE MAE FNMA 10-35 4.500% 04/25/40 09/01/2017 Paydown 361,814 361,814 333,508 344,481 0 17,333 0 17,333 0 361,814 0 0 0 10,971 04/25/2040 1

31398P-V4-8 FANNIE MAE FNMA 10-39 4.500% 05/25/40 09/01/2017 Paydown 244,252 244,252 231,276 236,449 0 7,803 0 7,803 0 244,252 0 0 0 6,300 05/25/2040 1

31398P-W9-6 FANNIE MAE FNMA 10-39 4.500% 05/25/40 09/01/2017 Paydown 51,009 51,009 48,285 49,723 0 1,286 0 1,286 0 51,009 0 0 0 1,501 05/25/2040 1

31398P-WT-2 FNMA 10-44 4.500% 05/25/40 09/01/2017 Paydown 214,625 214,625 205,134 208,452 0 6,173 0 6,173 0 214,625 0 0 0 6,560 05/25/2040 1

31398R-TQ-8 FANNIE MAE FNMA 10-54 4.500% 06/25/40 09/01/2017 Paydown 333,515 333,515 322,676 328,446 0 5,069 0 5,069 0 333,515 0 0 0 9,191 06/25/2040 1

31398S-4M-2 FANNIE MAE FNMA 10-156 4.000% 01/25/41 09/01/2017 Paydown 473,477 473,477 392,940 427,060 0 46,417 0 46,417 0 473,477 0 0 0 12,334 01/25/2041 1

31398S-5H-2 FANNIE MAE FNMA 10-148 FNMA_10-148 4.0 09/01/2017 Paydown 360,758 360,758 350,719 354,428 0 6,329 0 6,329 0 360,758 0 0 0 9,841 01/25/2041 1

31398S-GT-4 FANNIE MAE FNMA 10-129 FANNIE MAE FNMA_1 09/01/2017 Paydown 81,093 81,093 85,908 83,046 0 (1,953) 0 (1,953) 0 81,093 0 0 0 2,606 11/25/2040 1

31398S-LT-8 FANNIE MAE FNMA 10-134 4.000% 12/25/40 09/01/2017 Paydown 273,628 273,628 269,365 271,381 0 2,248 0 2,248 0 273,628 0 0 0 5,644 12/25/2040 1

31398S-SD-6 FANNIE MAE FNMA 10-136 4.000% 12/25/40 09/01/2017 Paydown 157,371 157,371 153,678 155,254 0 2,116 0 2,116 0 157,371 0 0 0 3,557 12/25/2040 1

31398T-PK-1 FANNIE MAE FNMA 10-89 4.500% 08/25/40 09/01/2017 Paydown 315,541 315,541 319,485 316,664 0 (1,123) 0 (1,123) 0 315,541 0 0 0 10,541 08/25/2040 1

31398T-X5-5 FANNIE MAE FNMA 10-103 4.000% 12/25/38 09/01/2017 Paydown 438,070 438,070 446,832 439,577 0 (1,506) 0 (1,506) 0 438,070 0 0 0 11,640 12/25/2038 1

31398W-5J-9 FREDDIE MAC FHLMC 3626 5.000% 01/15/40 09/01/2017 Paydown 1,264,397 1,264,397 1,272,299 1,267,708 0 (3,312) 0 (3,312) 0 1,264,397 0 0 0 42,297 01/15/2040 1

31398W-HU-1 FREDDIE MAC FHLMC 3635 5.000% 02/15/40 09/01/2017 Paydown 522,150 522,150 524,248 522,872 0 (723) 0 (723) 0 522,150 0 0 0 17,447 02/15/2040 1

48503T-AA-5 KANSAS CITY MO INDL DEV AUTH G 5.242% 09/10/2017

Redemption 100.0000

136,168 136,168 136,168 136,168 0 0 0 0 0 136,168 0 0 0 3,865 12/10/2032 1

3199999. Subtotal - Bonds - U.S. Special Revenues 29,591,942 29,567,422 28,810,983 29,145,821 0 482,340 0 482,340 0 29,628,853 0 (36,911) (36,911) 720,731 XXX XXX02155L-AA-0 ALTERNA FUNDING LLC TAX_15-1A 2.500% 0 08/15/2017 Paydown 417,644 417,644 416,132 416,685 0 960 0 960 0 417,644 0 0 0 1,911 02/15/2024 1FE

02376Y-AA-5 AMERICAN AIRLINES AMERICAN AIRLINES INC 08/15/2017

Redemption 100.0000

163,254 163,254 163,254 163,254 0 0 0 0 0 163,254 0 0 0 8,571 01/15/2024 2FE

025816-AX-7 AMERICAN EXPRESS COMPANY 6.150% 08/28/ 08/28/2017 Maturity 1,000,000 1,000,000 998,571 999,796 0 204 0 204 0 1,000,000 0 0 0 61,500 08/28/2017 1FE

03064J-AF-2 AMERICREDIT AUTOMOBILE RECEIVA AMERICRED 09/08/2017 Paydown 819,027 819,027 800,855 814,319 0 4,708 0 4,708 0 819,027 0 0 0 13,742 05/08/2019 1FE

03065E-AF-2 AMCAR_13-5 AMERICREDIT AUTOMOBILE RECEIV 09/08/2017 Paydown 1,417,734 1,417,734 1,417,634 1,417,714 0 20 0 20 0 1,417,734 0 0 0 21,635 11/08/2019 1FE

038779-AA-2 ARBYS_15-1A ARBYS FUNDING LLC ARBYS_15-1 07/30/2017 Paydown 12,500 12,500 12,500 12,500 0 0 0 0 0 12,500 0 0 0 466 10/30/2045 2AM

05606X-AA-2 BXG RECEIVABLES NOTE TRUST BXG BXG RECEI 09/02/2017 Paydown 189,749 189,749 189,734 189,738 0 11 0 11 0 189,749 0 0 0 3,624 05/02/2030 1FE

08879*-AA-9 BFC HON FEDERAL RECEIVABLES TR BFC HON F 09/01/2017

Redemption 100.0000

89,405 89,405 89,405 89,405 0 0 0 0 0 89,405 0 0 0 3,661 12/01/2025 1

11777L-AB-7 BSDB 05-AFR1 2005-AFR1 A2 144A 5.008% 09/15/2017 Paydown 76,245 76,245 76,619 76,301 0 (57) 0 (57) 0 76,245 0 0 0 2,540 09/15/2027 1FM

12505X-AD-4 CCG RECEIVABLES TRUST CCG_15-1 Series 14 07/07/2017 WELLS FARGO BANK 4,015,000 4,000,000 3,998,817 3,999,156 0 155 0 155 0 3,999,311 0 15,689 15,689 59,511 01/25/2026 1FE

125152-AC-2 CE GENERATION LLC 7.416% 12/15/18 07/27/2017 Call 105.1710 879,808 836,550 836,550 836,550 0 43,258 0 43,258 0 879,808 0 0 0 38,257 12/15/2018 4FE

125878-AC-2 CMOHL 03-1A 2003-1 A2 144A 6.500% 01/2 09/01/2017 Paydown 14,322 14,322 13,316 13,463 0 859 0 859 0 14,322 0 0 0 607 01/26/2048 1FE

12646L-AA-6 CREDIT SUISSE MORTGAGE TRUST C CREDIT SU 09/01/2017 Paydown 250,668 250,668 243,461 244,271 0 6,397 0 6,397 0 250,668 0 0 0 4,003 11/25/2042 1FM

12648T-AN-9 CREDIT SUISSE MORTGAGE TRUST C CREDIT SU 09/01/2017 Paydown 517,586 517,586 535,702 531,042 0 (13,456) 0 (13,456) 0 517,586 0 0 0 13,960 07/25/2044 1FM

126650-AY-6 CVS PASS-THROUGH TRUST 5.361% 10/10/27 09/10/2017

Redemption 100.0000

131,189 131,189 131,189 131,189 0 0 0 0 0 131,189 0 0 0 5,491 10/10/2027 2

126671-5Y-8 CWHEL 04-C 2004 C 1.454% 01/15/34 09/15/2017 Paydown 8,540 8,540 5,197 6,648 0 1,891 0 1,891 0 8,540 0 0 0 67 01/15/2034 1FM

126671-YZ-3 COUNTRYWIDE ASSET-BACKED CERTI 2003 - 2 08/28/2017 Paydown 123,134 123,134 41,934 41,934 0 81,200 0 81,200 0 123,134 0 0 0 1,605 06/26/2033 1FM

12667G-LE-1 COUNTRYWIDE ALTERNATIVE LOAN T 2005-23CB 09/01/2017 Paydown 467,269 467,269 454,592 454,592 0 12,677 0 12,677 0 467,269 0 0 0 17,897 07/25/2035 1FM

126685-AB-2 CWHEL 05-B 2005 B 2A 1.414% 05/15/35 09/15/2017 Paydown 6,204 6,204 1,888 1,888 0 4,316 0 4,316 0 6,204 0 0 0 48 05/15/2035 1FM

E05.2




CUSIPIdent-


DisposalDate

Nameof Purchaser

Number of Shares of


ActualCost

Prior YearBook/

Adjusted Carrying

Value

11


(Decrease)

12


tization)/Accretion

13

Current Year's


Recog-nized

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date

NAIC Desig-nation

orMarket

In-dicator

(a)12668B-FB-4 CWALT 05-86CB 2005-86CB A2 5.500% 02/2 09/01/2017 Paydown 49,543 155,820 28,891 28,891 0 40,357 0 40,357 0 69,248 0 (19,705) (19,705) 5,631 02/25/2036 1FM

12669D-LN-6 CWHL 02-32 2002-32 M 5.981% 01/25/33 09/01/2017 Paydown 103,289 103,289 103,555 103,301 0 (12) 0 (12) 0 103,289 0 0 0 4,552 01/25/2033 2FM

14178U-AC-4 CFC LLC CFACT 2014-1A CFC LLC CFCAT 2014 09/15/2017 Paydown 701,364 701,364 701,179 701,330 0 34 0 34 0 701,364 0 0 0 12,671 04/15/2020 1FE

16163L-AN-2 CHASE MORTGAGE FINANCE CORPORA 2007 A2 6 09/01/2017 Paydown 2,023 2,023 1,780 1,686 0 336 0 336 0 2,023 0 0 0 58 07/25/2037 1FM

16725*-AE-0 CHICAGO BRIDGE & IRON CO (DELA CHICAGO B 07/28/2017 TENDER 3,806,000 3,806,000 3,806,000 3,806,000 0 0 0 0 0 3,806,000 0 0 0 425,139 07/30/2025 2

17316Y-AC-2 CITIGROUP MORTGAGE LOAN TRUST 2010-6 2A1 09/01/2017 Paydown 36,738 36,738 36,991 36,808 0 (70) 0 (70) 0 36,738 0 0 0 806 09/25/2035 1FM

17323E-AM-5 CMLTI_14-J2 CITIGROUP MORTGAGE LOAN TRUS 09/01/2017 Paydown 30,437 30,437 30,674 30,620 0 (184) 0 (184) 0 30,437 0 0 0 794 11/25/2044 1FM

184496-AJ-6 CLEAN HARBORS INC CLEAN HARBORS INC 5. 08/01/2017 Call 101.3130 834,819 824,000 829,629 829,478 0 5,341 0 5,341 0 834,819 0 0 0 43,260 08/01/2020 3FE

21079V-AA-1 CONTINENTAL AIRLINES INC SERIES 2010-1 C 07/12/2017

Redemption 100.0000

399,467 399,467 389,980 394,886 0 4,581 0 4,581 0 399,467 0 0 0 18,975 01/12/2021 1FE

210805-CQ-8 CONTINENTAL AIRLINES INC 991A ETC 6.5 08/02/2017

Redemption 100.0000

64,838 64,838 61,412 64,190 0 647 0 647 0 64,838 0 0 0 4,244 02/02/2019 1FE

212168-AA-6 CONTINENTAL WIND LLC SERIES 144A 6.000 08/31/2017

Redemption 100.0000

120,646 120,646 130,574 129,328 0 (8,682) 0 (8,682) 0 120,646 0 0 0 7,239 02/28/2033 2FE

224044-BS-5 COX COMMUNICATIONS INC SENIOR CORP BND 1 09/06/2017 Call 103.4220 10,342,200 10,000,000 9,772,600 9,957,988 0 384,212 0 384,212 0 10,342,200 0 0 0 477,431 06/01/2018 2FE

22541N-TH-2 CS FIRST BOSTON MORTGAGE SECUR 2002-AR31 09/01/2017 Paydown 100 100 100 100 0 0 0 0 0 100 0 0 0 2 11/25/2032 1FM

225470-TA-1 CREDIT SUISSE MORTGAGE CAPITAL 5.384% 09/01/2017 Paydown 474,638 474,638 513,462 477,457 0 (2,819) 0 (2,819) 0 474,638 0 0 0 17,021 05/15/2023 1FM

233046-AD-3 DB MASTER FINANCE LLC DNKN_15- 3.980% 08/20/2017 Paydown 37,500 37,500 37,500 37,500 0 0 0 0 0 37,500 0 0 0 1,119 02/20/2045 2AM

23312A-AA-0 DCP RIGHTS LLC SHOW_14-1A 5.463% 10/25 07/25/2017 Paydown 7,686 7,686 7,686 7,686 0 0 0 0 0 7,686 0 0 0 315 10/25/2044 2AM

23322B-FP-8 DLJCM 99-CG2 1999-CG2 B6 6.110% 06/10/ 09/01/2017 Paydown 37,558 37,558 20,185 20,185 0 17,373 0 17,373 0 37,558 0 0 0 1,529 06/10/2032 1FM

24736V-AA-0 DELTA AIR LINES INC PTT SERIES 2010-1 A 07/02/2017

Redemption 100.0000

241,419 241,419 243,065 241,844 0 (425) 0 (425) 0 241,419 0 0 0 14,968 07/02/2018 1FE

25272U-AB-7 DIAMOND RESORTS OWNER TRUST DR DIAMOND R 09/20/2017 Paydown 87,015 87,015 87,007 87,011 0 4 0 4 0 87,015 0 0 0 1,513 05/20/2026 1FE

25273L-AB-6 DIAMOND RESORTS OWNER TRUST DR DIAMOND R 09/21/2017 Paydown 460,503 460,503 460,478 460,484 0 19 0 19 0 460,503 0 0 0 11,047 05/22/2028 1FE

25275@-AA-1 DIAMOND STATE GENERATION PARTN DIAMOND S 09/30/2017

Redemption 100.0000

184,941 184,941 184,941 184,941 0 0 0 0 0 184,941 0 0 0 11,232 03/30/2025 2FE

26208L-AA-6 DRIVEN BRANDS FUNDING LLC HONK DRIVEN BR 07/20/2017 Paydown 25,000 25,000 25,000 25,000 0 0 0 0 0 25,000 0 0 0 978 07/20/2045 2AM

26441Y-AU-1 DUKE REALTY LP 6.750% 03/15/20 07/09/2017 Call 112.6417 1,126,417 1,000,000 999,830 999,915 0 126,502 0 126,502 0 1,126,417 0 0 0 55,125 03/15/2020 2FE

26875P-AA-9 EOG RESOURCES INC SENIOR CORP BND 5.87 09/15/2017 Maturity 1,000,000 1,000,000 1,144,970 1,015,926 0 (15,926) 0 (15,926) 0 1,000,000 0 0 0 58,750 09/15/2017 2FE

294429-AF-2 EQUIFAX INC 6.300% 07/01/17 07/01/2017 Maturity 1,000,000 1,000,000 1,048,398 1,005,675 0 (5,675) 0 (5,675) 0 1,000,000 0 0 0 63,000 07/01/2017 2FE

30281@-AB-1 FEDEX CORP FEDEX CORP 4.060% 12/31/32 09/30/2017

Redemption 100.0000

10,761 10,761 10,761 10,761 0 0 0 0 0 10,761 0 0 0 291 12/31/2032 2

31331F-AT-8 FEDEX CORP SERIES 96 B2 ETC 7.840% 01 07/30/2017

Redemption 100.0000

35,427 35,427 35,427 35,427 0 0 0 0 0 35,427 0 0 0 2,777 01/30/2018 2FE

33632*-UQ-8 FIRST SEC BK NA 7.280% 01/10/24 09/10/2017

Redemption 100.0000

98,304 98,304 98,304 98,304 0 0 0 0 0 98,304 0 0 0 4,773 01/10/2024 2

33767C-AU-1 FIRSTKEY MORTGAGE TRUST SERIES 15-1 CLAS 09/01/2017 Paydown 58,160 58,160 59,037 58,969 0 (809) 0 (809) 0 58,160 0 0 0 1,523 03/25/2045 1FM

341099-CG-2 FLORIDA POWER CORPORATION A 5.800% 09/ 09/15/2017 Maturity 4,924,000 4,924,000 5,328,280 5,001,434 0 (77,434) 0 (77,434) 0 4,924,000 0 0 0 225,620 09/15/2017 1FE

34530D-AG-4 FORDO_13-C FORD CREDIT AUTO OWNER TRUST 09/15/2017 Paydown 5,500,000 5,500,000 5,498,785 5,499,547 0 453 0 453 0 5,500,000 0 0 0 103,125 01/15/2020 1FE

35729Q-AS-7 FREMONT HOME LOAN TRUST FHLT 0 2006-B SL 09/25/2017 Guggenheim Capital 267,635 3,823,357 338,422 338,422 0 0 0 0 0 338,422 0 (70,787) (70,787) 15,476 08/25/2036 1FM

35729Q-AS-7 FREMONT HOME LOAN TRUST FHLT 0 2006-B SL 09/25/2017 Paydown 7,308 7,308 647 647 0 6,661 0 6,661 0 7,308 0 0 0 26 08/25/2036 1FM

36242D-EY-5 GSR MORTGAGE LOAN TRUST GSRMLT_04-10F 09/01/2017 Paydown 26,294 26,294 27,083 27,007 0 (714) 0 (714) 0 26,294 0 0 0 806 09/25/2034 1FM

37045X-AM-8 GENERAL MOTORS FINANCIAL CO IN GENERAL M 07/10/2017 Maturity 1,000,000 1,000,000 1,000,000 1,000,000 0 0 0 0 0 1,000,000 0 0 0 26,250 07/10/2017 2FE

37956A-AA-1 GLOBAL SC FINANCE SRL SEACO_17 GLOBAL SC 09/17/2017 Paydown 90,163 90,163 90,131 0 0 32 0 32 0 90,163 0 0 0 1,086 04/15/2037 1FE

40146#-AF-4 GUARDIAN PIPELINE LLC 7.920% 09/30/22 09/30/2017

Redemption 100.0000

24,818 24,818 24,818 24,818 0 0 0 0 0 24,818 0 0 0 1,474 09/30/2022 2

40146#-AH-0 GUARDIAN PIPELINE LLC 8.100% 09/30/22 09/30/2017

Redemption 100.0000

11,249 11,249 11,249 11,249 0 0 0 0 0 11,249 0 0 0 683 09/30/2022 2

40146#-AL-1 GUARDIAN PIPELINE LLC 144A 7.680% 09/3 09/30/2017

Redemption 100.0000

33,750 33,750 33,717 33,732 0 18 0 18 0 33,750 0 0 0 1,944 09/30/2022 2

42211#-AA-1 HOME DEPOT USA INC HOME DEPOT USA INC 09/15/2017

Redemption 100.0000

93,040 93,040 93,040 93,040 0 0 0 0 0 93,040 0 0 0 2,091 01/15/2033 1

42805R-BS-7 HERTZ VEHICLE FINANCING LLC HE Series 14 08/22/2017

BANC OF AMERICA

SECURITIES LLC 4,971,484 5,000,000 4,941,797 4,973,230 0 502 0 502 0 4,973,733 0 (2,248) (2,248) 82,667 08/25/2019 1FE

432837-AA-0 HILTON GRAND VACATIONS TRUST H Series 14 07/07/2017 WELLS FARGO BANK 1,618,294 1,623,367 1,623,322 1,571,615 0 51,728 0 51,728 0 1,623,343 0 (5,050) (5,050) 23,133 01/25/2026 1FE

432837-AA-0 HILTON GRAND VACATIONS TRUST H Series 14 09/25/2017 Paydown 165,289 165,289 165,284 160,019 0 5,269 0 5,269 0 165,289 0 0 0 2,830 01/25/2026 1FE

45256H-AC-2 IF 01-A 5.095% 07/25/33 09/01/2017 Paydown 40,788 40,788 39,181 40,307 0 481 0 481 0 40,788 0 0 0 1,290 07/25/2033 1FE

459200-GJ-4 INTERNATIONAL BUSINESS MACHINE 5.700% 09/14/2017 Maturity 1,000,000 1,000,000 1,166,030 1,017,921 0 (17,921) 0 (17,921) 0 1,000,000 0 0 0 57,000 09/14/2017 1FE

E05.3




CUSIPIdent-


DisposalDate

Nameof Purchaser

Number of Shares of


ActualCost

Prior YearBook/

Adjusted Carrying

Value

11


(Decrease)

12


tization)/Accretion

13

Current Year's


Recog-nized

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date

NAIC Desig-nation

orMarket

In-dicator

(a)46625M-5M-7 JP MORGAN CHASE COMMERCIAL MOR 2004-PNC1 09/01/2017 Paydown 132,390 132,390 129,951 131,739 0 652 0 652 0 132,390 0 0 0 5,326 06/12/2041 1FM

46634R-BA-4 JP MORGAN REREMIC JPMRR 10-5 JPMRR_10-5 07/01/2017 Paydown 28,112 28,112 28,182 28,074 0 37 0 37 0 28,112 0 0 0 498 08/26/2036 1FM

46645G-AN-8 JP MORGAN MORTGAGE TRUST JPMMT JP MORGAN 09/01/2017 Paydown 246,002 246,002 248,462 248,246 0 (2,244) 0 (2,244) 0 246,002 0 0 0 5,606 10/25/2045 1FM

46647S-CS-7 JP MORGAN MORTGAGE TRUST JPMMT Series 14 09/01/2017 Paydown 10,270 10,270 10,350 0 0 (80) 0 (80) 0 10,270 0 0 0 33 08/25/2047 1FE

46648C-AW-4 JP MORGAN MORTGAGE TRUST JPMMT JP MORGAN 09/01/2017 Paydown 26,542 26,542 25,866 0 0 676 0 676 0 26,542 0 0 0 474 01/25/2047 1FE

47714M-AA-7 JETBLUE AIRWAYS CORP 144A 6.780% 01/15 07/15/2017

Redemption 100.0000

61,108 61,108 61,108 61,108 0 0 0 0 0 61,108 0 0 0 3,107 01/15/2019 3

50027#-AA-8 KOHLS CORP 5.902% 12/15/23 09/15/2017

Redemption 100.0000

76,815 76,815 76,815 76,815 0 0 0 0 0 76,815 0 0 0 3,024 12/15/2023 2

52204*-AA-3 WALGREEN CO 5.540% 04/15/36 09/15/2017

Redemption 100.0000

156,748 156,748 156,748 156,748 0 0 0 0 0 156,748 0 0 0 5,791 04/15/2036 2

52465#-BQ-7 LOWES CTL 5.182% 03/10/26 09/10/2017

Redemption 100.0000

39,973 39,973 39,973 39,973 0 0 0 0 0 39,973 0 0 0 1,381 03/10/2026 1

539830-AW-9 LOCKHEED MARTIN CORP 5.720% 06/01/40 09/07/2017 Taxable Exchange 15,503,794 11,506,000 11,506,000 11,506,000 0 0 0 0 0 11,506,000 0 3,997,794 3,997,794 504,576 06/01/2040 2FE

543190-AA-0 LTRAN_15-1A 2.980% 01/15/45 09/15/2017 Paydown 128,645 128,645 128,637 128,639 0 6 0 6 0 128,645 0 0 0 2,557 01/15/2045 1FE

553893-AA-6 MVW OWNER TRUST MVWOT_13-1A Series 144A 07/17/2017

CREDIT SUISSE FIRST

BOSTON COR 2,793,707 2,808,628 2,808,525 2,747,534 0 61,001 0 61,001 0 2,808,535 0 (14,828) (14,828) 35,225 04/22/2030 1FE

553893-AA-6 MVW OWNER TRUST MVWOT_13-1A Series 144A 07/20/2017 Paydown 102,418 102,418 102,414 100,190 0 2,228 0 2,228 0 102,418 0 0 0 6,500 04/22/2030 1FE

553893-AB-4 MVW OWNER TRUST MVWOT_13-1A MVW OWNER TR 09/20/2017 Paydown 275,263 275,263 275,224 274,152 0 1,111 0 1,111 0 275,263 0 0 0 5,612 04/22/2030 2AM

576434-AU-8 MASTR 02-2 2002-2 1A1 7.250% 10/25/32 09/01/2017 Paydown 300 300 312 308 0 (8) 0 (8) 0 300 0 0 0 14 10/25/2032 1FM

576434-DD-3 MALT 03-2 2003-2 6A4 6.000% 03/25/33 09/01/2017 Paydown 76,216 76,216 61,352 66,695 0 9,521 0 9,521 0 76,216 0 0 0 3,256 03/25/2033 1FM

576434-JS-4 MASTR ALTERNATIVE LOAN TRUSTS 2003-8 A1A 09/01/2017 Paydown 21,245 21,245 21,328 21,288 0 (43) 0 (43) 0 21,245 0 0 0 849 10/25/2033 1FM

57643M-DG-6 MAST 04-6 WHOLE CMO 04-6 4.500% 07/25/ 09/01/2017 Paydown 22,516 22,516 21,032 21,997 0 519 0 519 0 22,516 0 0 0 676 07/25/2019 1FM

57643M-GW-8 MARM 04-10 WHOLE CMO 04-10 5.000% 10/2 09/01/2017 Paydown 36,785 36,785 33,900 35,525 0 1,261 0 1,261 0 36,785 0 0 0 1,213 10/25/2019 1FM

577778-BK-8 MAY DEPARTMENT STORES CO 7.875% 03/01/ 09/01/2017 Various 12,175,185 11,010,000 13,585,569 12,831,965 0 (56,053) 0 (56,053) 0 12,775,913 0 (600,728) (600,728) 817,917 03/01/2030 2FE

604668-AC-7 MIRAMAX LLC MRMX_14-1A SERIES 2014-1A CL 07/20/2017 Paydown 332,000 332,000 331,896 331,933 0 67 0 67 0 332,000 0 0 0 8,317 07/20/2026 2AM

60688C-AE-6 MLCFC 07-9 2007 9 A4 5.700% 09/12/49 09/01/2017 Paydown 2,339,621 2,339,621 2,505,186 2,357,229 0 (17,608) 0 (17,608) 0 2,339,621 0 0 0 64,568 09/12/2049 1FM

61745M-LZ-4 MSCI 99-FNV1 1999-FNV1 K 144A 6.120% 0 09/01/2017 Paydown 4,791 4,791 3,902 4,388 0 403 0 403 0 4,791 0 0 0 196 03/15/2031 1FM

61754J-AH-1 MORGAN STANLEY CAPITAL I MSC 0 2007-T27 09/01/2017 Paydown 1,352,515 1,352,515 1,317,621 1,340,382 0 12,132 0 12,132 0 1,352,515 0 0 0 46,362 06/11/2042 1FM

653240-AA-9 NEWTOWN CREDIT LEASE 6.082% 12/15/23 09/15/2017

Redemption 100.0000

88,039 88,039 88,036 88,038 0 1 0 1 0 88,039 0 0 0 3,571 05/15/2023 1

65535V-HG-6 NAA 05-AP1 NAA 2005-AP1 2A4 5.546% 02/ 09/01/2017 Paydown 73,792 73,792 70,001 70,001 0 3,790 0 3,790 0 73,792 0 0 0 2,780 02/25/2035 1FM

655664-AN-0 NORDSTROM INC 4.750% 05/01/20 08/02/2017 AMHERST 3,147,870 3,000,000 2,986,950 2,994,974 0 845 0 845 0 2,995,819 0 152,051 152,051 109,250 05/01/2020 2FE

68504L-AA-9 ORANGE LAKE TIMESHARE TRUST ON ORANGE LA 09/08/2017 Paydown 636,032 636,032 635,960 635,961 0 71 0 71 0 636,032 0 0 0 11,034 03/08/2029 1FE

68504L-AB-7 ORANGE LAKE TIMESHARE TRUST ON ORANGE LA 09/08/2017 Paydown 381,618 381,618 381,614 381,613 0 4 0 4 0 381,618 0 0 0 7,382 03/08/2029 2AM

71839#-AA-2 PHILLIES FUNDING LP 6.210% 07/10/30 07/10/2017

Redemption 100.0000

87,327 87,327 87,327 87,327 0 0 0 0 0 87,327 0 0 0 4,067 07/10/2030 2AM

724479-AJ-9 PITNEY BOWES INC. 4.625% 03/15/24 09/25/2017 AMHERST 4,868,750 5,000,000 5,122,300 5,093,667 0 (8,602) 0 (8,602) 0 5,085,065 0 (216,315) (216,315) 238,958 03/15/2024 2FE

72650R-BC-5 PLAINS ALL AMERICAN PIPELINE LP 4.300% 09/25/2017 WELLS FARGO BANK 4,302,550 5,000,000 5,008,970 5,008,668 0 (142) 0 (142) 0 5,008,525 0 (705,975) (705,975) 249,042 01/31/2043 2FE

73020@-AA-9 PACIFIC NORTHWEST NATIONAL LAB SECURED C 09/15/2017

Redemption 100.0000

66,071 66,071 66,071 66,071 0 0 0 0 0 66,071 0 0 0 2,864 11/15/2034 1FE

73557*-AA-2 PORT WASHINGTON GENERATING STA 4.910% 09/15/2017

Redemption 100.0000

91,923 91,923 91,923 91,923 0 0 0 0 0 91,923 0 0 0 3,010 07/15/2030 1

742741-AA-9 PROCTER & GAMBLE- ESOP A 9.360% 01/01/ 07/01/2017

Redemption 100.0000

438,200 438,200 526,052 475,152 0 (36,952) 0 (36,952) 0 438,200 0 0 0 41,016 01/01/2021 1FE

743753-D#-9 PROVIDENCE GAS COMPANY 8.090% 09/30/22 09/30/2017

Redemption 100.0000

625,000 625,000 625,000 625,000 0 0 0 0 0 625,000 0 0 0 50,563 09/30/2022 1FE

783767-AD-8 RYLAND MORTGAGE SECURITIES COR 1988-A1 A 09/01/2017 Paydown 813 813 813 813 0 0 0 0 0 813 0 0 0 15 11/25/2018 1FM

78388Q-AB-6 SAPTS-BLS TRUST 1997-1 144A 7.120% 07/ 07/18/2017 Tax Free Exchange 20,851,236 20,000,000 5,705,400 20,112,228 0 739,008 0 739,008 0 20,851,236 0 0 0 11,867 07/15/2097 2

78413K-AA-0 SES GLOBAL AMERICAS HOLDING GP 2.500% 07/14/2017 BARCLAYS CAPITAL INC 4,997,300 5,000,000 4,971,800 4,986,977 0 3,112 0 3,112 0 4,990,089 0 7,211 7,211 102,083 03/25/2019 2FE

78488B-AA-0 SVO VOI MORTGAGE CORP SVOVM_12-AA ABS 09/01/2017 Paydown 82,651 82,651 82,641 79,767 0 2,885 0 2,885 0 82,651 0 0 0 1,230 09/20/2029 1FE

78488B-AB-8 SVO VOI MORTGAGE CORP SVOVM_12-AA ABS 09/20/2017 Paydown 56,174 56,174 56,173 56,174 0 1 0 1 0 56,174 0 0 0 1,025 09/20/2029 1FE

795770-AN-6 SALTON SEA FNDG CORP F 7.475% 11/30/18 07/31/2017 Call 104.1104 1,672,031 1,606,018 1,606,018 1,606,018 0 66,013 0 66,013 0 1,672,031 0 0 0 80,033 11/30/2018 4FE

80283B-AF-2 SANTANDER DRIVE AUTO RECEIVABL SANTANDER 07/15/2017 Paydown 7,109,941 7,109,941 7,106,609 7,109,338 0 604 0 604 0 7,109,941 0 0 0 102,028 12/17/2018 1FE

80283X-AF-4 SANTANDER DRIVE AUTO RECEIVABL SANTANDER 09/15/2017 Paydown 1,036,070 1,036,070 1,035,870 1,036,030 0 40 0 40 0 1,036,070 0 0 0 14,703 08/17/2020 1FE

80284A-AF-3 SANTANDER DRIVE AUTO RECEIVABL SANTANDER 09/15/2017 Paydown 500,637 500,637 501,609 501,013 0 (375) 0 (375) 0 500,637 0 0 0 9,009 06/15/2020 1FE

81744T-AA-5 SEQUOIA MORTGAGE TRUST SEMT_12-1 2.865 09/01/2017 Paydown 138,978 138,978 138,975 138,895 0 84 0 84 0 138,978 0 0 0 2,695 01/25/2042 1FM

81744X-AA-6 SEQUOIA MORTGAGE TRUST SEMT_12-5 2.500 09/01/2017 Paydown 432,797 432,797 418,051 418,673 0 14,125 0 14,125 0 432,797 0 0 0 7,542 12/31/2042 1FM

E05.4




CUSIPIdent-


DisposalDate

Nameof Purchaser

Number of Shares of


ActualCost

Prior YearBook/

Adjusted Carrying

Value

11


(Decrease)

12


tization)/Accretion

13

Current Year's


Recog-nized

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date

NAIC Desig-nation

orMarket

In-dicator

(a)81744X-AC-2 SEQUOIA MORTGAGE TRUST SERIES 12-5 CLASS 09/01/2017 Paydown 50,357 50,357 51,616 51,414 0 (1,057) 0 (1,057) 0 50,357 0 0 0 1,310 11/25/2042 1FM

81744Y-AG-1 SEMT_13-4 SEQUOIA MORTGAGE TRUST SEMT_13 09/01/2017 Paydown 2,077 2,077 2,069 0 0 7 0 7 0 2,077 0 0 0 18 04/25/2043 1FM

81745D-AE-1 SEQUOIA MORTGAGE TRUST SEMT_13 Series 14 09/01/2017 Paydown 238,618 238,618 234,330 234,670 0 3,948 0 3,948 0 238,618 0 0 0 5,822 07/25/2043 1FM

81745F-AA-4 SEQUOIA MORTGAGE TRUST SEMT_12-3 3.500 09/01/2017 Paydown 71,037 71,037 73,035 72,398 0 (1,361) 0 (1,361) 0 71,037 0 0 0 614 07/25/2042 1FM

81745F-AB-2 SEQUOIA MORTGAGE TRUST 3.000% 07/25/42 09/01/2017 Paydown 297,009 297,009 286,799 287,736 0 9,273 0 9,273 0 297,009 0 0 0 5,913 07/25/2042 1FM

81745H-AA-0 SEQUOIA MORTGAGE TRUST SEMT_14 SERIES 14 09/01/2017 Paydown 713,373 713,373 740,626 734,067 0 (20,694) 0 (20,694) 0 713,373 0 0 0 19,805 06/25/2044 1FM

81745M-AA-9 SEQUOIA MORTGAGE TRUST SEMT_13-2 1.874 09/01/2017 Paydown 47,503 47,503 47,502 47,491 0 12 0 12 0 47,503 0 0 0 590 02/25/2043 1FM

81745Q-CA-8 SEQUOIA MORTGAGE TRUST SEMT_15 3.875% 09/01/2017 Paydown 24,937 24,937 25,467 25,332 0 (396) 0 (396) 0 24,937 0 0 0 645 01/25/2045 1FM

81746F-CB-9 SEQUOIA MORTGAGE TRUST SEMT_17 Series 14 09/01/2017 Paydown 10,703 10,703 10,981 0 0 (278) 0 (278) 0 10,703 0 0 0 34 09/25/2047 1FE

82280Q-AC-5 SHELLPOINT CO-ORIGINATOR TRUST SHELLPOIN 09/01/2017 Paydown 385,421 385,421 386,866 386,401 0 (981) 0 (981) 0 385,421 0 0 0 4,807 08/25/2045 1FM

82280R-CB-3 SHELLPOINT CO-ORIGINATOR TRUST SHELLPOIN 09/01/2017 Paydown 26,698 26,698 25,918 0 0 780 0 780 0 26,698 0 0 0 411 04/25/2047 1FE

82280R-CC-1 SHELLPOINT CO-ORIGINATOR TRUST SHELLPOIN 09/01/2017 Paydown 23,735 23,735 22,694 0 0 1,041 0 1,041 0 23,735 0 0 0 366 04/25/2047 1FE

824348-BA-3 SHERWIN-WILLIAMS COMPANY (THE) 4.200% 08/09/2017 Tax Free Exchange 1,017,614 1,000,000 1,018,301 0 0 (687) 0 (687) 0 1,017,614 0 0 0 23,800 01/15/2022 2FE

824348-BG-0 SHERWIN-WILLIAMS COMPANY (THE) SERIES 14 08/09/2017 Tax Free Exchange 4,950,670 5,000,000 4,950,232 0 0 438 0 438 0 4,950,670 0 0 0 114,889 02/01/2045 2FE

82650A-AB-4 SIERRA RECEIVABLES FUNDING COMPANY ABS 09/20/2017 Paydown 55,949 55,949 55,934 55,943 0 6 0 6 0 55,949 0 0 0 984 08/20/2029 2AM

82651Y-AB-1 SIERRA RECEIVABLES FUNDING COMPANY ABS 09/20/2017 Paydown 36,685 36,685 36,685 36,685 0 0 0 0 0 36,685 0 0 0 582 11/20/2029 2AM

82652C-AB-8 SIERRA RECEIVABLES FUNDING COM SIERRA RE 09/20/2017 Paydown 248,140 248,140 248,015 248,067 0 73 0 73 0 248,140 0 0 0 3,998 03/20/2030 2AM

82652F-AB-1 SIERRA RECEIVABLES FUNDING COM SIERRA RE 09/20/2017 Paydown 333,950 333,950 333,944 333,946 0 4 0 4 0 333,950 0 0 0 6,776 03/22/2032 2AM

83611P-AJ-0 SVHE 01-1 2001-1 A 6.765% 04/15/31 09/01/2017 Paydown 244 244 247 244 0 (1) 0 (1) 0 244 0 0 0 12 04/15/2031 1FM

848609-AA-1 SPIRITS OF ST LOUIS BASKETBALL SPIRITS N 09/30/2017

Redemption 100.0000

21,721 21,721 21,721 21,721 0 0 0 0 0 21,721 0 0 0 863 06/30/2036 2FE

86192*-AA-5 STONEHENGE CAPITAL FUND CONNEC 8.124% 09/15/2017

Redemption 100.0000

19,964 19,964 19,964 19,964 0 0 0 0 0 19,964 0 0 0 1,216 12/15/2023 1FE

86196@-AA-9 STONEHENGE CAPITAL FUND MISSISSIPPI 5. 07/20/2017

Redemption 100.0000

82,795 82,795 82,795 82,795 0 0 0 0 0 82,795 0 0 0 3,478 02/20/2020 1FE

86198@-AA-7 STONEHENGE CAPITAL FUND NEVADA STONEHENG 07/31/2017

Redemption 100.0000

36,442 36,442 36,442 36,442 0 0 0 0 0 36,442 0 0 0 1,517 01/31/2020 1FE

86200*-AA-5 STONEHENGE CAPITAL FUND SOUTH STONEHENGE 09/01/2017

Redemption 100.0000

27,978 27,978 27,978 27,978 0 0 0 0 0 27,978 0 0 0 1,259 03/01/2019 1

86789M-AN-7 STALT 05-1F 2005-1F 2A3 5.750% 12/25/3 09/01/2017 Paydown 91,859 105,044 87,486 87,486 0 15,354 0 15,354 0 102,840 0 (10,981) (10,981) 4,089 12/25/2035 1FM

87407P-AA-8 TAL ADVANTAGE LLC TAL_13-1A Series 144A 09/20/2017 Paydown 250,000 250,000 249,963 249,982 0 18 0 18 0 250,000 0 0 0 5,029 02/22/2038 1FE

87407P-AJ-9 TAL_14-1A TAL ADVANTAGE LLC TAL_14-1A 09/20/2017 Paydown 150,000 150,000 149,999 149,999 0 1 0 1 0 150,000 0 0 0 3,698 02/22/2039 1FE

88340@-9B-0 SLCMT 00-C1 2000-C1 A1 6.540% 04/15/20 09/01/2017 Paydown 3,530 3,530 3,530 3,530 0 0 0 0 0 3,530 0 0 0 164 04/15/2020 5*

88606W-AA-0 THUNDERBOLT AIRCRAFT LEASE LTD THUNDERBO 09/15/2017 Paydown 98,214 98,214 98,210 0 0 4 0 4 0 98,214 0 0 0 1,172 05/15/2032 1FE

88642R-AA-7 TIDEWATER INC. 8.000% 08/01/22 08/01/2017 COHEN & COMPANY SEC 380,285 376,520 376,520 0 0 0 0 0 0 376,520 0 3,765 3,765 335 08/01/2022 6

88643@-AC-0 TIDEWATER INC. 3.950% 12/31/17 08/01/2017 Taxable Exchange 1,335,693 2,500,000 1,537,500 2,518,261 0 (4,504) 976,257 (980,761) 0 1,537,500 0 (201,807) (201,807) 49,375 12/31/2017 6

89679H-AG-0 TRITON CONTAINER FINANCE LLC T Series 14 09/20/2017 Paydown 9,515 9,515 9,512 0 0 3 0 3 0 9,515 0 0 0 33 08/20/2042 2FE

89690E-AA-5 TRIP RAIL MASTER FUNDING LLC T ABS 4.3 08/15/2017 Call 100.0000 3,576,691 3,576,691 3,576,691 3,576,691 0 0 0 0 0 3,576,691 0 0 0 104,201 07/15/2041 1FE

89690E-AA-5 TRIP RAIL MASTER FUNDING LLC T ABS 4.3 07/15/2017 Paydown 57,169 57,169 57,169 57,169 0 0 0 0 0 57,169 0 0 0 1,457 07/15/2041 1FE

90332U-AE-3 US AIRWAYS P-T TR 8.360% 07/20/20 07/20/2017

Redemption 100.0000

745,455 745,455 752,537 748,500 0 (3,046) 0 (3,046) 0 745,455 0 0 0 62,320 01/20/2019 2FE

90363@-AA-8 USTA NATIONAL TENNIS CENTER IN 3.110% 07/08/2017

Redemption 100.0000

457,504 457,504 457,504 457,504 0 0 0 0 0 457,504 0 0 0 14,228 09/08/2024 1

90932Q-AB-2 UNITED AIRLINES PASS THROUGH T UNITED AI 09/26/2017

Redemption 100.0000

209,140 209,140 209,140 209,140 0 0 0 0 0 209,140 0 0 0 9,673 09/03/2022 2FE

91274#-AQ-7 HONEYWELL INTERNATIONAL INC 5.519% 02/ 09/10/2017

Redemption 100.0000

97,461 97,461 97,461 97,461 0 0 0 0 0 97,461 0 0 0 3,587 02/10/2023 1

92783#-AA-4 VIRGINIA INTERNATIONAL GATEWAY VIRGINIA 09/30/2017

Redemption 100.0000

35,727 35,727 35,727 35,727 0 0 0 0 0 35,727 0 0 0 2,726 06/30/2030 1FE

929227-ZX-7 WAMU 02-A19 2002-AR19 B1 2.822% 02/25/ 09/01/2017 Paydown 514 514 253 266 0 249 0 249 0 514 0 0 0 9 02/25/2033 1FM

92922F-GN-2 WASHINGTON MUTUAL WAMU 03-S11 5.000% 1 09/01/2017 Paydown 76,438 76,438 70,920 71,359 0 5,079 0 5,079 0 76,438 0 0 0 2,423 11/25/2033 1FM

931142-CK-7 WAL-MART STORES INC 6.500% 08/15/37 07/06/2017 TENDER 4,782,611 3,375,000 3,687,056 3,654,447 0 (3,776) 0 (3,776) 0 3,650,671 0 1,131,940 1,131,940 195,609 08/15/2037 1FE

938837-A#-8 GSA REC BACKED TRUST - WGL PRO 7.220% 09/05/2017

Redemption 100.0000

112,759 112,759 112,759 112,759 0 0 0 0 0 112,759 0 0 0 5,430 09/05/2017 1

939336-UE-1 WASHINGTON MUTUAL MSC MORTGAGE 5.000% 09/01/2017 Paydown 2,860 2,860 2,942 2,869 0 (9) 0 (9) 0 2,860 0 0 0 95 03/25/2018 1FM

94978#-FR-3 DUKE ENERGY INTERNATIONAL LLC DPC TR 200 07/15/2017

Redemption 100.0000

20,738 20,738 20,738 20,738 0 0 0 0 0 20,738 0 0 0 1,192 07/15/2026 1

E05.5




CUSIPIdent-


DisposalDate

Nameof Purchaser

Number of Shares of


ActualCost

Prior YearBook/

Adjusted Carrying

Value

11


(Decrease)

12


tization)/Accretion

13

Current Year's


Recog-nized

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date

NAIC Desig-nation

orMarket

In-dicator

(a)

94978#-FS-1 WACHOVIA BANK NA CHARLOTTE N DPC TR 200 07/15/2017

Redemption 100.0000

53,852 53,852 53,852 53,852 0 0 0 0 0 53,852 0 0 0 3,097 07/15/2026 1

94978#-FX-0 WACHOVIA BANK NA CHARLOTTE N DPC TR 200 07/15/2017

Redemption 100.0000

39,820 39,820 39,820 39,820 0 0 0 0 0 39,820 0 0 0 2,290 07/15/2026 1

94978#-FY-8 DUKE POWER CO LLC 2006-1 D 5.750% 07 07/15/2017

Redemption 100.0000

28,610 28,610 28,610 28,610 0 0 0 0 0 28,610 0 0 0 1,645 07/15/2026 1

94978#-GA-9 DUKE POWER CO LLC 2006-1 E 5.750% 07/ 07/15/2017

Redemption 100.0000

17,732 17,732 17,732 17,732 0 0 0 0 0 17,732 0 0 0 1,020 07/15/2026 1

94978#-GT-8 DUKE POWER CO LLC 2006-1 F 5.750% 01/ 07/15/2017

Redemption 100.0000

61,741 61,741 61,741 61,741 0 0 0 0 0 61,741 0 0 0 3,550 01/15/2027 1

94982G-AC-3 WELLS FARGO MORTGAGE BACKED SE 2005-3 A3 09/01/2017 Paydown 182,451 182,451 183,496 183,388 0 (937) 0 (937) 0 182,451 0 0 0 6,971 05/25/2035 1FM

95058X-AB-4 WENDYS FUNDING LLC WEN_15-1A SERIES 2015 09/15/2017 Paydown 15,000 15,000 15,000 15,000 0 0 0 0 0 15,000 0 0 0 459 06/15/2045 2AM

97652P-AA-9 WINWATER MORTGAGE LOAN TRUST W WINWATER 09/01/2017 Paydown 149,080 149,080 154,111 153,106 0 (4,026) 0 (4,026) 0 149,080 0 0 0 3,958 06/20/2044 1FM

009090-AA-9 AIR CANADA 2015-1 CLASS A PASS SERIES 14 09/15/2017

Redemption 100.0000

241,245 241,245 241,245 241,245 0 0 0 0 0 241,245 0 0 0 8,685 03/15/2027 1FE

009090-AB-7 AIR CANADA 2015-1 CLASS B PASS SERIES 14 09/15/2017

Redemption 100.0000

153,736 153,736 153,736 153,736 0 0 0 0 0 153,736 0 0 0 2,979 03/15/2023 2FE

00164G-AC-0 ALM_13-10A ALM LOAN FUNDING ALM_13-10A C 08/03/2017 Call 100.0000 4,000,000 4,000,000 3,914,120 3,944,410 0 55,590 0 55,590 0 4,000,000 0 0 0 97,834 01/15/2025 1FE

03761W-AB-8 APHEX PACIFIC LTD 144A 6.770% 03/31/22 D 09/21/2017 NOMURA SECURITIES 1,960,000 3,500,000 3,500,000 3,500,000 0 0 0 0 0 3,500,000 0 (1,540,000) (1,540,000) 234,317 03/31/2022 5

10010Y-AA-0 TURK HAVA YOLLARI SERIES 144A 4.200% 0 C 09/15/2017

Redemption 100.0000

312,388 312,388 312,388 312,388 0 0 0 0 0 312,388 0 0 0 13,120 03/15/2027 2FE

11042A-AA-2 BRITISH AIRWAYS PLC SER 2013-1 CLASS A 1 D 09/20/2017

Redemption 100.0000

65,406 65,406 65,406 65,406 0 0 0 0 0 65,406 0 0 0 2,269 06/20/2024 1FE

11042B-AA-0 BRITISH AIRWAYS PLC SER 2013-1 CLASS B 1 D 09/20/2017

Redemption 100.0000

191,642 191,642 206,255 199,500 0 (7,858) 0 (7,858) 0 191,642 0 0 0 8,085 06/20/2020 2FE

125464-AA-5 CIC RECEIVABLES MASTER TRUST 4.890% 10 C 07/10/2017

Redemption 100.0000

134,010 134,010 134,010 134,010 0 0 0 0 0 134,010 0 0 0 4,915 10/07/2021 1FE

12549Q-AE-5 CIFC FUNDING LTD CIFC_14-3A 4.214% 07/ C 07/21/2017 Paydown 5,000,000 5,000,000 5,000,000 5,000,000 0 0 0 0 0 5,000,000 0 0 0 158,025 07/22/2026 1FE

12549Q-AG-0 CIFC FUNDING LTD CIFC_14-3A 4.113% 07/ C 07/24/2017 Paydown 5,000,000 5,000,000 4,841,040 4,883,868 0 116,132 0 116,132 0 5,000,000 0 0 0 145,040 07/22/2026 1FE

22953@-AA-7 KONINKLIJKE AHOLD N.V. CTL 2011-11 TRUST C 09/15/2017

Redemption 100.0000

189,671 189,671 189,671 189,671 0 0 0 0 0 189,671 0 0 0 5,831 12/15/2031 2

23330N-AA-0 DP WORLD SUKUK 144A 6.250% 07/02/17 D 07/02/2017 Maturity 2,700,000 2,700,000 2,667,205 2,698,109 0 1,891 0 1,891 0 2,700,000 0 0 0 153,125 07/02/2017 2FE

37890R-AE-5 GLOBAL CONTAINER ASSET LTD GCA GLOBAL CO C 09/05/2017 Paydown 66,970 66,970 66,893 66,929 0 41 0 41 0 66,970 0 0 0 1,560 02/05/2030 1FE

50183Y-AH-2 LCM LTD PARTNERSHIP LCM_12AR SERIES 12AR D 08/25/2017 Call 100.0000 5,000,000 5,000,000 5,000,000 5,000,000 0 0 0 0 0 5,000,000 0 0 0 118,572 10/19/2022 1FE

51817T-AB-8 LATAM AIR 2015-1 PTT A 4.200% 11/15/27 D 08/15/2017

Redemption 100.0000

113,503 113,503 113,503 113,503 0 0 0 0 0 113,503 0 0 0 1,192 11/15/2027 2FE

65531W-AC-4 NOMAD CLO LTD NOMAD_13-1A 3.204% 01/15 D 09/25/2017 Call 100.0000 5,000,000 5,000,000 5,000,000 5,000,000 0 0 0 0 0 5,000,000 0 0 0 141,847 01/15/2025 1FE

66859J-AE-1 NORTHWOODS CAPITAL LTD WOODS_ 12-9A CLO D 07/18/2017 Paydown 7,000,000 7,000,000 6,860,000 6,926,626 0 73,374 0 73,374 0 7,000,000 0 0 0 173,642 01/18/2024 1FE

66859J-AG-6 NORTHWOODS CAPITAL LTD WOODS_ 12-9A CLO D 07/18/2017 Paydown 5,000,000 5,000,000 4,931,500 4,960,937 0 39,063 0 39,063 0 5,000,000 0 0 0 154,363 01/18/2024 1FE

705011-AA-2 PEARSON FUNDING FOUR PLC Series 144A 3 D 08/15/2017 TENDER 1,037,500 1,000,000 993,650 996,306 0 391 0 391 0 996,696 0 40,804 40,804 28,854 05/08/2022 2FE

70501V-AA-6 PEARSON FUNDING FIVE PLC Series 144A 3 D 08/15/2017 TENDER 3,000,000 3,000,000 2,735,910 2,811,459 0 16,204 0 16,204 0 2,827,664 0 172,336 172,336 75,021 05/08/2023 2FE

74981H-AE-0 RACEP_15-9A 4.404% 04/15/27 C 09/21/2017 Call 100.0000 3,000,000 3,000,000 2,980,530 2,984,723 0 15,277 0 15,277 0 3,000,000 0 0 0 117,940 04/15/2027 1FE

G4986*-AA-1 JARDINE LLOYD THOMPSON GROUP P 5.020% D 09/30/2017 Maturity 4,000,000 4,000,000 4,000,000 4,000,000 0 0 0 0 0 4,000,000 0 0 0 200,800 09/30/2017 2

L8038*-AA-4 SBM BALEIA AZUL S.A.R.L. 5.500% 09/15/ D 09/15/2017

Redemption 100.0000

78,500 78,500 78,500 78,500 0 0 0 0 0 78,500 0 0 0 3,238 09/15/2027 3FE

Q3383#-AB-5 ECHO ENTERTAINMENT GROUP LTD 5.690% 06 D 08/17/2017 TENDER 10,000,000 10,000,000 10,000,000 10,000,000 0 0 0 0 0 10,000,000 0 0 0 382,494 06/15/2021 2FE

Q9194#-AF-2 TRANSURBAN FINANCE COMPANY PTY 5.340% D 08/10/2017 Maturity 10,000,000 10,000,000 10,000,000 10,000,000 0 0 0 0 0 10,000,000 0 0 0 554,000 08/10/2017 2

3899999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) 234,389,584 233,466,033 217,346,770 224,832,130 0 1,759,754 976,257 783,497 0 232,256,418 0 2,133,166 2,133,166 8,107,497 XXX XXX

8399997. Total - Bonds - Part 4 267,757,330 266,809,259 250,595,374 257,790,111 0 2,205,738 976,257 1,229,481 0 265,661,075 0 2,096,255 2,096,255 9,038,650 XXX XXX

8399998. Total - Bonds - Part 5 XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX

8399999. Total - Bonds 267,757,330 266,809,259 250,595,374 257,790,111 0 2,205,738 976,257 1,229,481 0 265,661,075 0 2,096,255 2,096,255 9,038,650 XXX XXX

8999997. Total - Preferred Stocks - Part 4 0 XXX 0 0 0 0 0 0 0 0 0 0 0 0 XXX XXX

8999998. Total - Preferred Stocks - Part 5 XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX

8999999. Total - Preferred Stocks 0 XXX 0 0 0 0 0 0 0 0 0 0 0 0 XXX XXX88642R-10-9 TIDEWATER INC. 09/25/2017 Various 30,660.000 827,174 766,500 0 0 0 0 0 0 766,500 0 60,674 60,674 0

9099999. Subtotal - Common Stocks - Industrial and Miscellaneous (Unaffiliated) 827,174 XXX 766,500 0 0 0 0 0 0 766,500 0 60,674 60,674 0 XXX XXX

E05.6




CUSIPIdent-


DisposalDate

Nameof Purchaser

Number of Shares of


ActualCost

Prior YearBook/

Adjusted Carrying

Value

11


(Decrease)

12


tization)/Accretion

13

Current Year's


Recog-nized

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total



Value


Date

Foreign Exchange


Realized Gain

(Loss) on Disposal



Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date

NAIC Desig-nation

orMarket

In-dicator

(a)76828*-10-0 River Lake Insurance Company VIII 09/30/2017 Tax Agreement Payment 3,288,474 3,288,474 0 0

76827*-10-1 River Lake Insurance Company VII 09/30/2017 Tax Agreement Payment 1,956,275 1,956,275 0 0

9199999. Subtotal - Common Stocks - Parent, Subsidiaries and Affiliates 5,244,749 XXX 5,244,749 0 0 0 0 0 0 0 0 0 0 0 XXX XXX

9799997. Total - Common Stocks - Part 4 6,071,923 XXX 6,011,249 0 0 0 0 0 0 766,500 0 60,674 60,674 0 XXX XXX

9799998. Total - Common Stocks - Part 5 XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX

9799999. Total - Common Stocks 6,071,923 XXX 6,011,249 0 0 0 0 0 0 766,500 0 60,674 60,674 0 XXX XXX

9899999. Total - Preferred and Common Stocks 6,071,923 XXX 6,011,249 0 0 0 0 0 0 766,500 0 60,674 60,674 0 XXX XXX

9999999 - Totals 273,829,253 XXX 256,606,623 257,790,111 0 2,205,738 976,257 1,229,481 0 266,427,575 0 2,156,929 2,156,929 9,038,650 XXX XXX

(a) For all common stock bearing the NAIC market indicator "U" provide: the number of such issues

E05.7


SCHEDULE DB - PART A - SECTION 1Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Description

Description of Item(s)Hedged,Used forIncome

Generationor Replicated

Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)

Exchange, Counterpartyor Central Clearinghouse

TradeDate

Date of Maturity

orExpiration

Numberof

ContractsNotional Amount

StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior

Year(s) Initial Cost of Premium (Received)

Paid

Current Year Initial

Cost of Premium

(Received) Paid

Current Year

Income


Value Code Fair Value


(Decrease)

Total Foreign

Exchange Change in B./A.C.V.

Current Year’s

(Amorti-zation)/

Accretion

Adjustment to Carrying

Value of Hedged

ItemPotential Exposure

Credit Quality

ofRefer-ence Entity

HedgeEffectiveness at Inception

and at Quarter-end

(b)

0079999. Subtotal - Purchased Options - Hedging Effective 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXXOptions--BLV0001--137

- NQ FIA Barclays

Options

FIA Product Liability

Exh 5

Equity market

BARC 11/19/2015 11/03/2017 1,007 178,924 178 / NA 6,535 22,004 22,004 13,952 273 003

Options--BLV0002--137

- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 11/19/2015 11/15/2017 1,196 210,771 176 / NA 8,635 27,876 27,876 16,931 374 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 11/19/2015 10/20/2017 754 160,059 212 / NA 9,636 28,888 28,888 15,831 187 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 11/19/2015 10/27/2017 837 181,897 217 / NA 8,747 27,861 27,861 16,549 247 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 11/19/2015 11/02/2017 595 130,043 219 / NA 5,932 19,073 19,073 11,514 196 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 11/19/2015 11/16/2017 833 179,886 216 / NA 9,346 28,889 28,889 16,630 323 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 11/30/2015 11/15/2017 993 174,996 176 / NA 7,130 23,145 23,145 14,057 311 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 11/30/2015 11/17/2017 2,043 361,693 177 / NA 13,892 45,965 45,965 28,502 656 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 11/30/2015 11/22/2017 1,558 277,340 178 / NA 9,956 33,548 33,549 21,289 528 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 11/30/2015 11/23/2017 1,283 228,772 178 / NA 8,032 27,242 27,242 17,419 440 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 11/30/2015 11/17/2017 2,291 499,896 218 / NA 23,299 74,310 74,310 44,266 906 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 12/08/2015 11/08/2017 374 66,359 177 / NA 2,472 8,267 8,267 5,197 108 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 12/08/2015 11/22/2017 504 89,757 178 / NA 3,216 10,812 10,812 6,875 171 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 12/08/2015 11/29/2017 3,005 534,259 178 / NA 19,683 65,387 65,387 41,143 1,083 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 12/08/2015 11/01/2017 229 50,119 219 / NA 2,256 7,272 7,272 4,413 74 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 12/08/2015 11/22/2017 209 46,078 220 / NA 1,958 6,307 6,307 3,873 88 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 12/08/2015 11/29/2017 231 50,035 217 / NA 2,557 7,866 7,866 4,546 101 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 12/15/2015 12/13/2017 1,483 260,074 175 / NA 11,004 35,862 35,862 21,084 586 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 12/15/2015 12/06/2017 1,078 192,100 178 / NA 6,576 23,020 23,020 14,593 412 003

E06



1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior


Paid


Cost of Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)Options--BLV0020--137

- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 12/15/2015 12/06/2017 1,371 298,796 218 / NA 13,765 44,863 44,863 26,364 640 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 12/22/2015 12/20/2017 16,930 2,992,378 177 / NA 116,140 386,162 386,162 234,728 7,048 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 12/22/2015 12/20/2017 1,021 217,851 213 / NA 12,558 38,081 38,081 20,743 513 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 12/29/2015 12/20/2017 6,087 1,078,373 177 / NA 44,374 136,352 136,352 83,746 2,540 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 12/29/2015 12/20/2017 642 137,536 214 / NA 8,275 23,394 23,394 12,915 324 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 01/05/2016 12/27/2017 12,458 2,209,053 177 / NA 78,236 277,128 277,128 170,434 5,423 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 01/05/2016 12/27/2017 3,311 712,825 215 / NA 35,991 117,180 117,180 65,544 1,750 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 01/12/2016 01/03/2018 4,582 808,356 176 / NA 27,400 106,055 106,055 63,604 2,062 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 01/12/2016 01/03/2018 388 86,260 222 / NA 2,797 11,019 11,019 6,769 220 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 01/19/2016 01/10/2018 6,489 1,135,251 175 / NA 40,556 159,724 159,724 92,047 3,001 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 01/19/2016 01/10/2018 763 164,831 216 / NA 6,852 26,453 26,453 14,866 436 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 01/26/2016 01/17/2018 5,929 1,042,377 176 / NA 35,693 140,878 140,878 82,798 2,848 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 01/26/2016 01/17/2018 380 74,788 197 / NA 7,402 20,453 20,453 8,449 204 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 02/02/2016 01/24/2018 4,993 908,826 182 / NA 21,720 87,802 87,802 59,331 2,562 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 02/02/2016 01/24/2018 1,306 288,979 221 / NA 10,735 38,502 38,502 23,070 815 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 02/09/2016 01/31/2018 12,831 2,337,937 182 / NA 56,071 223,306 223,306 150,948 6,786 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 02/09/2016 01/31/2018 750 165,225 220 / NA 6,488 22,842 22,842 13,469 480 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 02/16/2016 02/07/2018 6,699 1,229,802 184 / NA 27,935 107,570 107,570 74,380 3,670 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 02/16/2016 02/07/2018 1,720 383,646 223 / NA 13,932 47,735 47,735 28,996 1,145 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 02/23/2016 02/14/2018 9,438 1,708,372 181 / NA 49,550 175,614 175,614 115,085 5,233 003

E06.1



1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior


Paid


Cost of Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)Options--BLV0040--137

- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 03/01/2016 02/21/2018 1,782 326,373 183 / NA 8,465 29,405 29,405 20,029 1,025 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 03/01/2016 02/14/2018 958 217,064 227 / NA 7,319 23,304 23,304 14,646 665 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 03/07/2016 02/28/2018 9,066 1,667,781 184 / NA 41,794 142,498 142,498 98,147 5,364 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 03/14/2016 03/07/2018 10,220 1,880,378 184 / NA 49,260 160,466 160,466 110,193 6,186 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 03/21/2016 03/14/2018 4,389 825,703 188 / NA 17,117 51,682 51,682 37,672 2,776 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 04/01/2016 03/28/2018 4,516 844,582 187 / NA 21,451 58,063 58,063 41,383 2,957 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 04/01/2016 03/21/2018 1,045 249,159 238 / NA 6,521 14,588 14,588 9,778 855 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 04/08/2016 04/04/2018 2,090 387,674 185 / NA 9,907 29,928 29,928 20,776 1,384 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 05/06/2016 04/25/2018 3,621 674,991 186 / NA 16,150 48,951 48,951 34,103 2,542 003


- NQ FIA Barclays

Options


Exh 5

Equity market

BARC 05/06/2016 05/02/2018 6,147 1,430,837 233 / NA 44,013 117,533 117,533 74,465 5,478 003

Options--CLQ0051--135

- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

SOC 10/07/2016 10/06/2017 6,000,000 6,000,000 2,154 / NA 115,800 532,172 532,172 427,444 3,846 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

SOC 10/14/2016 10/13/2017 6,000,000 6,000,000 2,133 / NA 113,400 680,797 680,797 526,877 5,662 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 10/21/2016 10/20/2017 6,000,000 6,000,000 2,141 / NA 108,600 541,018 541,018 392,447 7,022 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 10/27/2016 10/27/2017 6,000,000 6,000,000 2,133 / NA 109,800 575,435 575,435 428,264 8,159 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 11/04/2016 11/03/2017 6,000,000 6,000,000 2,085 / NA 109,800 599,965 599,965 438,805 9,156 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 11/11/2016 11/10/2017 6,000,000 6,000,000 2,164 / NA 111,000 612,433 612,433 499,300 10,055 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 11/18/2016 11/17/2017 6,000,000 6,000,000 2,182 / NA 112,200 432,786 432,786 318,633 10,879 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

SOC 12/02/2016 12/01/2017 6,000,000 6,000,000 2,192 / NA 106,800 495,378 495,378 367,938 12,364 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

SOC 12/09/2016 12/08/2017 6,000,000 6,000,000 2,260 / NA 106,800 454,239 454,239 373,607 13,044 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 12/16/2016 12/15/2017 6,000,000 6,000,000 2,258 / NA 103,800 410,831 410,831 328,954 13,689 003

E06.2



1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior


Paid


Cost of Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)Options--CLQ0061--135

- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

SOC 12/22/2016 12/22/2017 6,000,000 6,000,000 2,261 / NA 103,200 387,936 387,936 304,887 14,306 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 12/30/2016 12/29/2017 6,000,000 6,000,000 2,239 / NA 102,000 441,942 441,942 245,749 14,897 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 01/06/2017 01/05/2018 6,000,000 6,000,000 2,277 / NA 102,600 311,827 311,827 209,227 15,465 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 01/13/2017 01/12/2018 6,000,000 6,000,000 2,275 / NA 103,200 339,650 339,650 236,450 16,014 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

SOC 01/20/2017 01/19/2018 6,000,000 6,000,000 2,271 / NA 110,400 300,009 300,009 189,609 16,544 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

SOC 01/27/2017 01/26/2018 6,000,000 6,000,000 2,295 / NA 107,400 276,962 276,962 169,562 17,058 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 02/03/2017 02/02/2018 6,000,000 6,000,000 2,297 / NA 108,600 300,034 300,034 191,434 17,556 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 02/10/2017 02/09/2018 6,000,000 6,000,000 2,316 / NA 108,600 311,814 311,814 203,214 18,041 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

SOC 02/17/2017 02/16/2018 6,000,000 6,000,000 2,351 / NA 108,000 192,811 192,811 84,811 18,513 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 02/24/2017 02/23/2018 6,000,000 6,000,000 2,367 / NA 108,000 241,717 241,717 133,717 18,974 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

SOC 03/03/2017 03/02/2018 6,000,000 6,000,000 2,383 / NA 111,000 213,560 213,560 102,560 19,423 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 03/10/2017 03/09/2018 6,000,000 6,000,000 2,373 / NA 109,800 224,262 224,262 114,462 19,863 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 03/17/2017 03/16/2018 6,000,000 6,000,000 2,378 / NA 112,800 141,882 141,882 29,082 20,292 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 03/24/2017 03/23/2018 6,000,000 6,000,000 2,344 / NA 114,000 272,274 272,274 158,274 20,713 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 03/31/2017 03/29/2018 6,000,000 6,000,000 2,363 / NA 114,000 269,338 269,338 155,338 21,067 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

BAC 04/07/2017 04/06/2018 6,000,000 6,000,000 2,356 / NA 117,600 232,214 232,214 114,614 21,530 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 04/13/2017 04/13/2018 6,000,000 6,000,000 2,329 / NA 117,000 236,680 236,680 119,680 21,928 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 04/21/2017 04/20/2018 6,000,000 6,000,000 2,349 / NA 118,800 213,795 213,795 94,995 22,318 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

BAC 04/28/2017 04/27/2018 6,000,000 6,000,000 2,384 / NA 117,000 197,256 197,256 80,256 22,701 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 05/05/2017 05/04/2018 6,000,000 6,000,000 2,399 / NA 117,000 169,218 169,218 52,218 23,078 003

E06.3



1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior


Paid


Cost of Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

BAC 05/12/2017 05/11/2018 6,000,000 6,000,000 2,391 / NA 117,000 188,336 188,336 71,336 23,449 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 05/19/2017 05/18/2018 6,000,000 6,000,000 2,382 / NA 118,200 126,707 126,707 8,507 23,814 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 05/26/2017 05/25/2018 6,000,000 6,000,000 2,416 / NA 118,800 150,917 150,917 32,117 24,174 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 06/02/2017 06/01/2018 6,000,000 6,000,000 2,439 / NA 119,400 117,448 117,448 (1,952) 24,528 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 06/09/2017 06/08/2018 6,000,000 6,000,000 2,432 / NA 120,600 113,534 113,534 (7,066) 24,878 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 06/16/2017 06/15/2018 6,000,000 6,000,000 2,433 / NA 120,600 147,578 147,578 26,978 25,222 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

BAC 06/23/2017 06/22/2018 6,000,000 6,000,000 2,438 / NA 114,600 109,462 109,462 (5,138) 25,562 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 06/30/2017 06/29/2018 6,000,000 6,000,000 2,423 / NA 114,000 120,798 120,798 6,798 25,898 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 07/07/2017 07/06/2018 6,000,000 6,000,000 2,425 / NA 114,600 104,597 104,597 (10,003) 26,229 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

BAC 07/14/2017 07/13/2018 6,000,000 6,000,000 2,459 / NA 115,200 103,844 103,844 (11,356) 26,556 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 07/21/2017 07/20/2018 6,000,000 2,473 / NA 114,600 60,053 60,053 (54,547) 26,879 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 07/28/2017 07/27/2018 6,000,000 2,472 / NA 117,000 69,718 69,718 (47,282) 27,198 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 08/04/2017 08/03/2018 6,500,000 2,477 / NA 128,050 86,735 86,735 (41,315) 29,806 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 08/11/2017 08/10/2018 6,500,000 2,441 / NA 130,000 114,916 114,916 (15,084) 30,144 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 08/18/2017 08/17/2018 6,500,000 2,426 / NA 131,300 105,348 105,348 (25,952) 30,478 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 08/25/2017 08/24/2018 6,500,000 2,443 / NA 130,650 106,575 106,575 (24,075) 30,809 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

BAC 09/01/2017 08/31/2018 6,500,000 2,477 / NA 129,350 97,871 97,870 (31,480) 31,136 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 09/08/2017 09/07/2018 6,500,000 2,461 / NA 130,650 87,979 87,979 (42,671) 31,459 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

CSI 09/15/2017 09/14/2018 6,500,000 2,500 / NA 130,000 71,055 71,055 (58,945) 31,780 003


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

DBAG 09/22/2017 09/21/2018 6,500,000 2,502 / NA 130,650 69,424 69,424 (61,226) 32,097 003

E06.4



1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior


Paid


Cost of Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end


- NQ FIA Equity

Options - Cliquet


Exh 5

Equity market

CSI 09/29/2017 09/28/2018 6,500,000 2,519 / NA 130,000 191,820 191,820 61,820 32,411 003

Options--FIACS0272--

136 - NQ FIA Equity

Options - Call Spreads FIA Product Liability

Exh 5

Equity market

SOC 10/07/2016 10/02/2017 2,400 5,188,800 2,162 / (2,253) 114,984 218,372 218,372 84,198 1,920 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 10/07/2016 10/03/2017 1,700 3,666,900 2,157 / (2,259) 90,763 173,372 173,372 67,165 1,662 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 10/07/2016 10/04/2017 1,900 4,037,500 2,125 / (2,221) 103,569 182,364 182,364 62,683 2,113 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 10/14/2016 10/05/2017 3,200 6,889,600 2,153 / (2,238) 143,968 271,911 271,911 100,239 4,032 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 10/14/2016 10/06/2017 12,500 26,787,500 2,143 / (2,240) 644,625 1,212,062 1,212,062 442,123 17,172 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 10/14/2016 10/09/2017 3,100 6,658,800 2,148 / (2,241) 152,458 288,186 288,186 106,133 5,228 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 10/14/2016 10/10/2017 3,600 7,765,200 2,157 / (2,259) 186,912 367,031 367,031 142,467 6,427 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 10/14/2016 10/11/2017 800 1,706,400 2,133 / (2,214) 36,232 64,769 64,769 22,364 1,481 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 10/21/2016 10/12/2017 2,400 5,124,000 2,135 / (2,214) 105,288 189,483 189,483 65,645 4,645 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 10/21/2016 10/13/2017 15,200 32,315,200 2,126 / (2,218) 775,656 1,397,414 1,397,414 481,067 30,493 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 10/21/2016 10/16/2017 2,100 4,470,900 2,129 / (2,228) 113,295 207,674 207,674 73,056 4,680 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 10/21/2016 10/17/2017 3,600 7,632,000 2,120 / (2,212) 186,264 330,817 330,817 112,025 8,235 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 10/21/2016 10/18/2017 1,800 3,812,400 2,118 / (2,217) 99,612 177,956 177,956 60,585 4,233 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 10/27/2016 10/19/2017 2,100 4,491,900 2,139 / (2,227) 101,467 184,457 184,457 65,759 5,124 003

E06.5



1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior


Paid


Cost of Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)Options--FIACS0286--

136 - NQ FIA Equity


Exh 5

Equity market

BARC 10/27/2016 10/20/2017 16,500 35,161,500 2,131 / (2,225) 850,410 1,547,813 1,547,813 543,845 41,153 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 10/27/2016 10/23/2017 3,500 7,469,000 2,134 / (2,224) 175,210 314,074 314,074 110,685 9,375 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 10/27/2016 10/24/2017 2,900 6,214,700 2,143 / (2,239) 149,647 277,369 277,369 101,318 7,968 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 11/04/2016 10/25/2017 2,600 5,561,400 2,139 / (2,223) 108,602 217,587 217,587 77,100 7,277 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 11/04/2016 10/26/2017 3,100 6,618,500 2,135 / (2,216) 127,007 250,100 250,100 87,165 8,832 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 11/04/2016 10/27/2017 13,500 28,606,500 2,119 / (2,217) 676,890 1,317,484 1,317,484 449,597 38,902 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 11/04/2016 10/30/2017 3,000 6,354,000 2,118 / (2,198) 126,450 238,833 238,833 79,075 9,108 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 11/04/2016 10/31/2017 2,100 4,452,000 2,120 / (2,219) 105,756 206,684 206,684 70,823 6,487 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 11/04/2016 11/01/2017 1,700 3,581,900 2,107 / (2,191) 76,534 142,040 142,040 45,825 5,303 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 11/11/2016 11/03/2017 10,300 21,424,000 2,080 / (2,171) 593,795 932,357 932,357 281,204 32,694 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 11/11/2016 11/06/2017 3,200 6,646,400 2,077 / (2,158) 164,960 257,652 257,652 75,956 10,581 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 11/11/2016 11/07/2017 1,700 3,609,100 2,123 / (2,218) 94,316 160,000 160,000 54,880 5,823 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 11/11/2016 11/08/2017 1,600 3,417,600 2,136 / (2,218) 75,984 129,858 129,858 45,321 5,586 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 11/11/2016 11/02/2017 1,800 3,767,400 2,093 / (2,167) 84,186 132,530 132,530 40,449 5,664 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 11/18/2016 11/09/2017 4,100 8,835,500 2,155 / (2,240) 199,670 344,067 344,067 127,211 14,625 003

E06.6



1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior


Paid


Cost of Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 11/18/2016 11/10/2017 10,000 21,570,000 2,157 / (2,251) 530,400 926,724 926,724 350,694 36,146 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 11/18/2016 11/13/2017 2,800 6,048,000 2,160 / (2,254) 147,532 258,882 258,882 98,737 10,499 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 11/18/2016 11/14/2017 2,600 5,587,400 2,149 / (2,247) 145,210 250,730 250,730 92,934 9,809 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 11/18/2016 11/15/2017 1,000 2,168,000 2,168 / (2,237) 39,220 67,831 67,831 25,310 3,848 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 12/02/2016 11/16/2017 3,800 8,257,400 2,173 / (2,263) 193,420 335,133 335,133 131,971 14,815 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 12/02/2016 11/17/2017 13,200 28,696,800 2,174 / (2,267) 690,096 1,201,522 1,201,522 476,688 52,033 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 12/02/2016 11/20/2017 2,400 5,227,200 2,178 / (2,267) 119,664 208,541 208,541 83,016 9,770 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 12/02/2016 11/21/2017 1,300 2,854,800 2,196 / (2,302) 72,462 134,134 134,134 58,092 5,388 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 12/02/2016 11/22/2017 4,000 8,780,000 2,195 / (2,285) 194,240 350,354 350,354 147,278 16,728 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 12/02/2016 11/24/2017 10,700 23,593,500 2,205 / (2,300) 531,683 986,449 986,449 430,458 45,793 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 12/02/2016 11/28/2017 1,400 3,071,600 2,194 / (2,291) 72,618 131,521 131,521 55,445 6,175 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 12/02/2016 11/29/2017 1,600 3,515,200 2,197 / (2,272) 65,760 116,135 116,135 47,585 7,126 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 12/09/2016 11/30/2017 2,700 5,929,200 2,196 / (2,282) 139,455 224,529 224,529 93,364 12,119 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 12/09/2016 12/01/2017 9,800 21,422,800 2,186 / (2,280) 557,032 890,911 890,911 363,537 44,146 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 12/09/2016 12/04/2017 3,900 8,533,200 2,188 / (2,273) 201,630 319,844 319,844 128,995 18,005 003

E06.7



1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior


Paid


Cost of Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end


136 - NQ FIA Equity


Exh 5

Equity market

BARC 12/09/2016 12/05/2017 1,700 3,745,100 2,203 / (2,298) 94,724 155,325 155,325 66,634 7,963 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 12/09/2016 12/06/2017 1,300 2,862,600 2,202 / (2,290) 67,717 109,990 109,990 46,488 6,132 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 12/16/2016 12/07/2017 2,300 5,140,500 2,235 / (2,321) 111,228 188,997 188,997 87,854 11,094 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 12/16/2016 12/08/2017 11,600 26,123,200 2,252 / (2,344) 572,460 1,013,984 1,013,984 495,481 56,790 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 12/16/2016 12/11/2017 2,500 5,635,000 2,254 / (2,348) 125,175 222,360 222,360 109,011 12,514 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 12/16/2016 12/12/2017 2,200 4,952,200 2,251 / (2,355) 121,022 215,977 215,977 106,207 11,073 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 12/16/2016 12/13/2017 600 1,345,200 2,242 / (2,336) 30,882 53,421 53,421 25,369 3,028 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 12/22/2016 12/14/2017 2,700 6,042,600 2,238 / (2,334) 144,180 245,403 245,403 115,492 13,696 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 12/22/2016 12/15/2017 8,700 19,557,600 2,248 / (2,351) 482,937 843,916 843,916 409,810 44,622 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 12/22/2016 12/18/2017 2,000 4,502,000 2,251 / (2,345) 101,800 176,641 176,641 85,146 10,472 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 12/22/2016 12/19/2017 2,000 4,516,000 2,258 / (2,365) 111,940 199,696 199,696 99,153 10,571 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 12/30/2016 12/20/2017 1,500 3,384,000 2,256 / (2,354) 75,975 137,436 137,436 67,147 7,971 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 12/30/2016 12/21/2017 2,900 6,542,400 2,256 / (2,351) 143,028 257,434 257,434 125,151 15,505 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 12/30/2016 12/22/2017 9,000 20,322,000 2,258 / (2,355) 449,730 813,753 813,753 397,750 48,454 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 12/30/2016 12/26/2017 1,000 2,256,000 2,256 / (2,351) 49,300 88,237 88,237 42,581 5,507 003

E06.8



1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior


Paid


Cost of Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end


136 - NQ FIA Equity


Exh 5

Equity market

SOC 12/30/2016 12/27/2017 2,100 4,754,400 2,264 / (2,354) 96,978 175,020 175,020 85,430 11,672 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 01/06/2017 12/28/2017 1,400 3,145,800 2,247 / (2,331) 67,368 109,598 109,598 42,230 7,767 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 01/06/2017 12/29/2017 7,100 15,875,600 2,236 / (2,335) 404,132 654,658 654,658 250,526 39,416 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 01/06/2017 01/02/2018 1,200 2,677,200 2,231 / (2,335) 72,060 115,919 115,919 43,859 6,793 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 01/13/2017 01/03/2018 800 1,801,600 2,252 / (2,331) 36,260 58,547 58,547 22,287 4,596 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 01/13/2017 01/04/2018 2,000 4,526,000 2,263 / (2,355) 101,120 168,976 168,976 67,856 11,606 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 01/13/2017 01/05/2018 4,700 10,626,700 2,261 / (2,360) 254,446 426,360 426,360 171,914 27,391 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 01/13/2017 01/08/2018 1,800 4,087,800 2,271 / (2,364) 90,090 152,503 152,503 62,413 10,698 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 01/13/2017 01/09/2018 1,300 2,941,900 2,263 / (2,363) 70,600 118,548 118,548 47,948 7,738 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 01/13/2017 01/10/2018 700 1,578,500 2,255 / (2,349) 36,715 60,276 60,276 23,561 4,172 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 01/20/2017 01/11/2018 2,100 4,773,300 2,273 / (2,360) 99,099 166,111 166,111 67,012 12,678 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 01/20/2017 01/12/2018 7,400 16,768,400 2,266 / (2,368) 406,778 684,910 684,910 278,132 44,754 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 01/20/2017 01/16/2018 1,400 3,164,000 2,260 / (2,366) 80,640 134,401 134,401 53,761 8,605 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 01/20/2017 01/17/2018 600 1,355,400 2,259 / (2,358) 32,712 53,900 53,900 21,188 3,703 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 01/27/2017 01/18/2018 1,400 3,168,200 2,263 / (2,357) 74,606 119,275 119,275 44,669 8,696 003

E06.9



1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior


Paid


Cost of Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end


136 - NQ FIA Equity


Exh 5

Equity market

SOC 01/27/2017 01/19/2018 10,100 22,886,600 2,266 / (2,370) 584,487 946,488 946,488 362,001 63,105 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 01/27/2017 01/22/2018 3,200 7,260,800 2,269 / (2,367) 174,656 281,957 281,957 107,301 20,289 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 01/27/2017 01/23/2018 1,400 3,165,400 2,261 / (2,367) 83,244 133,499 133,499 50,255 8,884 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 01/27/2017 01/24/2018 900 2,045,700 2,273 / (2,367) 46,971 75,839 75,839 28,868 5,766 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 01/31/2017 01/25/2018 2,700 6,188,400 2,292 / (2,388) 129,411 228,762 228,762 99,351 17,518 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 01/31/2017 01/26/2018 10,500 24,013,500 2,287 / (2,391) 545,475 963,250 963,250 417,775 68,268 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 01/31/2017 01/29/2018 2,900 6,638,100 2,289 / (2,389) 145,232 255,159 255,159 109,927 19,110 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 02/07/2017 01/30/2018 1,400 3,182,200 2,273 / (2,376) 79,142 128,127 128,127 48,985 9,199 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 02/07/2017 02/01/2018 2,100 4,771,200 2,272 / (2,362) 105,777 168,577 168,577 62,800 13,905 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 02/07/2017 02/02/2018 9,500 21,707,500 2,285 / (2,380) 486,400 795,275 795,275 308,875 63,517 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 02/07/2017 02/05/2018 3,100 7,114,500 2,295 / (2,391) 156,209 259,348 259,348 103,139 21,066 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 02/14/2017 02/06/2018 1,300 2,969,200 2,284 / (2,387) 76,635 117,252 117,252 40,617 8,826 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 02/14/2017 02/07/2018 900 2,057,400 2,286 / (2,365) 41,877 62,734 62,734 20,857 6,139 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 02/14/2017 02/08/2018 2,500 5,725,000 2,290 / (2,385) 135,500 207,322 207,322 71,822 17,149 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 02/14/2017 02/09/2018 10,500 24,223,500 2,307 / (2,413) 601,335 951,130 951,129 349,794 72,836 003

E06.1

0



1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior


Paid


Cost of Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end


136 - NQ FIA Equity


Exh 5

Equity market

BARC 02/14/2017 02/12/2018 1,800 4,152,600 2,307 / (2,389) 82,710 127,322 127,322 44,612 12,627 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 02/22/2017 02/14/2018 1,100 2,564,100 2,331 / (2,427) 59,730 88,106 88,106 28,376 7,855 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 02/22/2017 02/15/2018 1,100 2,564,100 2,331 / (2,427) 59,697 88,012 88,012 28,315 7,883 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 02/22/2017 02/16/2018 11,100 26,040,600 2,346 / (2,447) 608,613 913,645 913,645 305,032 80,349 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 02/22/2017 02/20/2018 1,900 4,438,400 2,336 / (2,442) 111,055 164,990 164,990 53,935 13,891 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 02/28/2017 02/21/2018 800 1,888,000 2,360 / (2,432) 32,960 46,828 46,828 13,868 5,929 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 02/28/2017 02/22/2018 2,800 6,610,800 2,361 / (2,447) 131,740 193,348 193,347 61,608 20,833 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 02/28/2017 02/23/2018 8,400 19,824,000 2,360 / (2,462) 459,480 679,726 679,726 220,246 62,689 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 02/28/2017 02/26/2018 1,400 3,304,000 2,360 / (2,455) 72,100 105,792 105,792 33,692 10,555 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 03/07/2017 02/27/2018 2,000 4,726,000 2,363 / (2,469) 112,180 166,241 166,241 54,061 15,148 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 03/07/2017 03/01/2018 1,900 4,542,900 2,391 / (2,472) 78,945 117,719 117,719 38,774 14,658 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 03/07/2017 03/02/2018 6,100 14,493,600 2,376 / (2,471) 302,133 448,216 448,216 146,083 46,919 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 03/07/2017 03/05/2018 2,000 4,760,000 2,380 / (2,475) 98,060 145,587 145,587 47,527 15,559 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 03/14/2017 03/06/2018 2,300 5,455,600 2,372 / (2,472) 120,589 177,557 177,557 56,968 17,890 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 03/14/2017 03/07/2018 800 1,886,400 2,358 / (2,433) 33,720 48,123 48,123 14,403 6,206 003

E06.1

1



1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior


Paid


Cost of Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 03/14/2017 03/08/2018 1,800 4,240,800 2,356 / (2,436) 80,676 115,269 115,269 34,593 13,995 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 03/14/2017 03/09/2018 9,500 22,439,000 2,362 / (2,459) 497,610 721,777 721,777 224,167 74,283 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 03/14/2017 03/12/2018 1,400 3,308,200 2,363 / (2,461) 73,794 106,907 106,907 33,113 11,054 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 03/21/2017 03/13/2018 2,900 6,861,400 2,366 / (2,471) 157,035 234,624 234,624 77,589 22,996 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 03/21/2017 03/15/2018 1,600 3,796,800 2,373 / (2,449) 64,496 94,725 94,725 30,229 12,803 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 03/21/2017 03/16/2018 9,700 23,008,400 2,372 / (2,470) 488,201 727,813 727,813 239,612 77,816 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 03/21/2017 03/19/2018 1,400 3,319,400 2,371 / (2,472) 72,632 107,833 107,833 35,201 11,327 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 03/28/2017 03/20/2018 3,000 7,104,000 2,368 / (2,469) 149,610 231,904 231,904 82,294 24,312 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 03/28/2017 03/22/2018 1,600 3,739,200 2,337 / (2,414) 68,320 99,657 99,657 31,337 12,871 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 03/28/2017 03/23/2018 10,000 23,410,000 2,341 / (2,434) 499,600 740,513 740,513 240,913 80,816 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 03/28/2017 03/26/2018 3,600 8,431,200 2,342 / (2,436) 181,116 268,130 268,130 87,014 29,356 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 04/04/2017 03/27/2018 2,500 5,837,500 2,335 / (2,420) 121,575 170,583 170,583 49,008 20,383 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 04/04/2017 03/29/2018 9,000 21,231,000 2,359 / (2,449) 433,710 627,566 627,566 193,856 74,547 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 04/04/2017 04/02/2018 2,100 4,947,600 2,356 / (2,447) 101,724 148,166 148,166 46,442 17,564 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 04/11/2017 04/03/2018 1,900 4,472,600 2,354 / (2,447) 92,226 137,078 137,078 44,852 15,921 003

E06.1

2



1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior


Paid


Cost of Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end


136 - NQ FIA Equity


Exh 5

Equity market

SOC 04/11/2017 04/05/2018 2,000 4,698,000 2,349 / (2,431) 88,340 128,835 128,835 40,495 16,813 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 04/11/2017 04/06/2018 5,300 12,460,300 2,351 / (2,444) 260,336 383,097 383,097 122,761 44,713 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 04/11/2017 04/09/2018 1,700 3,995,000 2,350 / (2,440) 81,804 119,083 119,083 37,279 14,450 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 04/18/2017 04/10/2018 1,400 3,295,600 2,354 / (2,445) 66,556 98,514 98,514 31,958 11,951 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 04/18/2017 04/12/2018 2,000 4,672,000 2,336 / (2,427) 99,560 143,692 143,692 44,132 17,030 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 04/18/2017 04/13/2018 6,800 15,796,400 2,323 / (2,414) 348,908 495,356 495,356 146,448 57,730 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 04/18/2017 04/16/2018 1,100 2,553,100 2,321 / (2,407) 53,999 75,951 75,951 21,952 9,402 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 04/25/2017 04/19/2018 2,000 4,658,000 2,329 / (2,417) 107,360 139,644 139,644 32,284 17,283 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 04/25/2017 04/20/2018 5,700 13,360,800 2,344 / (2,429) 287,907 378,312 378,312 90,405 49,697 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 04/25/2017 04/23/2018 3,000 7,035,000 2,345 / (2,423) 140,190 182,942 182,942 42,752 26,361 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 05/02/2017 04/27/2018 6,700 15,939,300 2,379 / (2,467) 321,131 436,426 436,427 115,295 60,307 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 05/02/2017 04/30/2018 1,500 3,567,000 2,378 / (2,469) 74,250 100,762 100,762 26,512 13,592 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 05/09/2017 05/01/2018 2,300 5,483,200 2,384 / (2,481) 122,314 162,284 162,284 39,970 20,943 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 05/09/2017 05/03/2018 1,500 3,570,000 2,380 / (2,454) 63,675 82,620 82,620 18,945 13,700 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 05/09/2017 05/04/2018 6,600 15,774,000 2,390 / (2,483) 333,762 442,940 442,940 109,178 60,673 003

E06.1

3



1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior


Paid


Cost of Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end


136 - NQ FIA Equity


Exh 5

Equity market

BARC 05/09/2017 05/07/2018 1,800 4,293,000 2,385 / (2,466) 81,738 106,891 106,891 25,153 16,627 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 05/17/2017 05/08/2018 1,500 3,588,000 2,392 / (2,481) 68,745 96,133 96,133 27,388 13,928 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 05/17/2017 05/10/2018 900 2,152,800 2,392 / (2,474) 38,376 53,388 53,388 15,012 8,395 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 05/17/2017 05/11/2018 5,700 13,600,200 2,386 / (2,480) 277,761 387,127 387,127 109,366 53,152 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 05/17/2017 05/14/2018 2,300 5,487,800 2,386 / (2,481) 112,999 157,458 157,458 44,459 21,591 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 05/17/2017 05/15/2018 1,500 3,595,500 2,397 / (2,495) 73,380 103,744 103,744 30,364 14,177 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 05/23/2017 05/16/2018 900 2,153,700 2,393 / (2,466) 36,699 47,626 47,626 10,927 8,511 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 05/23/2017 05/17/2018 700 1,642,900 2,347 / (2,427) 34,302 42,916 42,916 8,614 6,507 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 05/23/2017 05/18/2018 5,900 13,988,900 2,371 / (2,467) 319,925 415,936 415,936 96,012 55,523 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 05/23/2017 05/21/2018 1,200 2,852,400 2,377 / (2,467) 60,607 78,846 78,846 18,239 11,395 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 05/31/2017 05/22/2018 1,800 4,289,400 2,383 / (2,475) 94,338 119,579 119,579 25,241 17,172 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 05/31/2017 05/25/2018 7,500 18,082,500 2,411 / (2,507) 382,650 494,111 494,111 111,461 72,854 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 05/31/2017 05/29/2018 1,000 2,405,000 2,405 / (2,506) 54,030 69,566 69,566 15,536 9,771 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 06/06/2017 06/01/2018 5,900 14,348,800 2,432 / (2,531) 312,877 380,053 380,053 67,176 58,659 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 06/06/2017 06/04/2018 2,500 6,080,000 2,432 / (2,523) 123,375 149,773 149,773 26,398 25,008 003

E06.1

4



1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior


Paid


Cost of Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 06/13/2017 06/05/2018 1,800 4,368,600 2,427 / (2,528) 99,108 119,241 119,241 20,133 18,005 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 06/13/2017 06/06/2018 700 1,691,900 2,417 / (2,507) 35,679 42,736 42,736 7,057 6,987 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 06/13/2017 06/07/2018 1,200 2,902,800 2,419 / (2,516) 64,980 78,111 78,111 13,131 12,012 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 06/13/2017 06/08/2018 6,500 15,762,500 2,425 / (2,522) 347,100 417,581 417,581 70,481 65,356 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 06/13/2017 06/11/2018 1,700 4,129,300 2,429 / (2,529) 92,378 110,815 110,815 18,437 17,223 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 06/20/2017 06/12/2018 3,300 7,982,700 2,419 / (2,511) 175,428 204,147 204,147 28,719 33,361 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 06/20/2017 06/14/2018 1,100 2,671,900 2,429 / (2,517) 55,011 64,095 64,095 9,084 11,210 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 06/20/2017 06/15/2018 7,100 17,238,800 2,428 / (2,522) 377,081 439,255 439,255 62,174 72,467 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 06/20/2017 06/18/2018 2,800 6,792,800 2,426 / (2,524) 154,840 180,111 180,111 25,271 28,721 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 06/27/2017 06/19/2018 1,200 2,934,000 2,445 / (2,542) 61,524 72,952 72,952 11,428 12,429 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 06/27/2017 06/20/2018 1,000 2,424,000 2,424 / (2,516) 51,680 61,039 61,039 9,359 10,288 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 06/27/2017 06/21/2018 1,600 3,884,800 2,428 / (2,519) 81,152 95,937 95,937 14,785 16,519 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 06/27/2017 06/22/2018 6,200 15,084,600 2,433 / (2,532) 334,242 394,834 394,834 60,592 64,266 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 06/27/2017 06/25/2018 1,500 3,643,500 2,429 / (2,525) 79,560 93,792 93,792 14,232 15,610 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 07/05/2017 06/26/2018 1,400 3,407,600 2,434 / (2,536) 75,782 91,094 91,094 15,312 14,627 003

E06.1

5



1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior


Paid


Cost of Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end


136 - NQ FIA Equity


Exh 5

Equity market

SOC 07/05/2017 06/28/2018 1,200 2,912,400 2,427 / (2,512) 56,652 67,465 67,465 10,813 12,548 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 07/05/2017 06/29/2018 6,400 15,462,400 2,416 / (2,515) 352,128 421,603 421,603 69,475 66,740 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 07/05/2017 07/02/2018 2,300 5,568,300 2,421 / (2,534) 140,024 168,055 168,055 28,031 24,166 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 07/11/2017 07/03/2018 1,100 2,664,200 2,422 / (2,532) 64,999 78,360 78,360 13,361 11,584 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 07/11/2017 07/05/2018 1,700 4,122,500 2,425 / (2,524) 91,256 109,827 109,827 18,571 17,989 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 07/11/2017 07/06/2018 9,600 23,184,000 2,415 / (2,519) 550,848 661,144 661,144 110,296 101,348 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 07/11/2017 07/09/2018 2,300 5,563,700 2,419 / (2,534) 141,956 171,068 171,068 29,112 24,452 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 07/18/2017 07/10/2018 6,286,800 2,418 / (2,519) 152,230 173,284 173,284 21,054 27,679 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 07/18/2017 07/11/2018 1,932,800 2,416 / (2,522) 48,968 55,820 55,820 6,852 8,525 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 07/18/2017 07/12/2018 4,615,100 2,429 / (2,519) 98,211 111,759 111,759 13,548 20,390 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 07/18/2017 07/13/2018 19,828,800 2,448 / (2,548) 437,400 499,351 499,351 61,951 87,761 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 07/18/2017 07/16/2018 3,916,800 2,448 / (2,550) 87,696 100,299 100,299 12,603 17,426 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 07/25/2017 07/17/2018 3,676,500 2,451 / (2,552) 86,700 92,539 92,539 5,839 16,385 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 07/25/2017 07/18/2018 3,920,000 2,450 / (2,568) 105,760 112,972 112,972 7,212 17,501 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 07/25/2017 07/19/2018 2,467,000 2,467 / (2,554) 48,960 52,007 52,007 3,047 11,033 003

E06.1

6



1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior


Paid


Cost of Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end


136 - NQ FIA Equity


Exh 5

Equity market

SOC 07/25/2017 07/20/2018 28,617,200 2,467 / (2,569) 650,876 692,568 692,568 41,692 128,199 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 07/25/2017 07/23/2018 4,685,400 2,466 / (2,570) 108,604 115,650 115,650 7,046 21,097 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 08/01/2017 07/24/2018 6,658,200 2,466 / (2,576) 158,895 172,405 172,405 13,510 30,030 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 08/01/2017 07/25/2018 3,699,000 2,466 / (2,577) 88,650 96,521 96,521 7,871 16,712 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 08/01/2017 07/26/2018 3,934,400 2,459 / (2,557) 87,248 94,186 94,186 6,938 17,805 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 08/01/2017 07/27/2018 19,966,500 2,465 / (2,569) 454,734 494,276 494,276 39,542 90,508 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 08/01/2017 07/30/2018 5,676,400 2,468 / (2,577) 133,262 144,975 144,975 11,713 25,859 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 08/08/2017 07/31/2018 3,438,400 2,456 / (2,562) 85,022 88,818 88,818 3,796 15,690 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 08/08/2017 08/01/2018 3,691,500 2,461 / (2,578) 98,190 102,236 102,236 4,046 16,872 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 08/08/2017 08/02/2018 2,967,600 2,473 / (2,565) 62,052 64,474 64,474 2,422 13,586 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 08/08/2017 08/03/2018 24,926,800 2,468 / (2,571) 587,517 606,425 606,425 18,908 114,303 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 08/08/2017 08/06/2018 10,876,800 2,472 / (2,581) 262,152 274,501 274,501 12,349 50,119 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 08/15/2017 08/07/2018 6,674,400 2,472 / (2,572) 144,072 156,399 156,399 12,327 30,805 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 08/15/2017 08/08/2018 2,964,000 2,470 / (2,572) 65,412 71,078 71,078 5,666 13,702 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 08/15/2017 08/09/2018 3,940,800 2,463 / (2,565) 88,592 96,447 96,447 7,855 18,247 003

E06.1

7



1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior


Paid


Cost of Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 08/15/2017 08/10/2018 19,950,600 2,433 / (2,541) 512,090 556,540 556,540 44,450 92,522 003


136 - NQ FIA Equity


Exh 5

Equity market

DBAG 08/15/2017 08/13/2018 6,820,800 2,436 / (2,544) 173,740 188,699 188,699 14,959 31,783 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 08/22/2017 08/14/2018 5,901,600 2,459 / (2,564) 129,960 149,753 149,753 19,793 27,543 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 08/22/2017 08/15/2018 3,934,400 2,459 / (2,570) 90,768 104,730 104,730 13,962 18,391 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 08/22/2017 08/16/2018 4,431,600 2,462 / (2,557) 88,776 102,168 102,168 13,392 20,747 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 08/22/2017 08/17/2018 22,729,200 2,418 / (2,522) 555,164 635,548 635,548 80,384 106,576 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 08/22/2017 08/20/2018 8,686,800 2,413 / (2,514) 209,304 238,868 238,868 29,564 40,922 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 08/29/2017 08/21/2018 5,572,900 2,423 / (2,527) 135,539 153,795 153,795 18,256 26,293 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 08/29/2017 08/22/2018 3,661,500 2,441 / (2,548) 87,030 99,019 99,019 11,989 17,302 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 08/29/2017 08/23/2018 3,642,000 2,428 / (2,518) 77,220 87,306 87,306 10,086 17,236 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 08/29/2017 08/24/2018 24,106,500 2,435 / (2,540) 573,309 650,826 650,826 77,517 114,260 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 08/29/2017 08/27/2018 7,287,000 2,429 / (2,532) 172,980 196,196 196,196 23,216 34,697 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 09/06/2017 08/28/2018 4,862,000 2,431 / (2,540) 128,060 136,850 136,850 8,790 23,185 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 09/06/2017 08/29/2018 6,815,200 2,434 / (2,549) 186,676 199,444 199,444 12,768 32,548 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 09/06/2017 08/30/2018 3,675,000 2,450 / (2,556) 90,225 96,158 96,158 5,933 17,577 003

E06.1

8



1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior


Paid


Cost of Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end


136 - NQ FIA Equity


Exh 5

Equity market

SOC 09/06/2017 08/31/2018 23,208,600 2,469 / (2,576) 546,046 581,457 581,457 35,411 111,172 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 09/06/2017 09/04/2018 6,170,000 2,468 / (2,580) 151,075 161,253 161,253 10,178 29,731 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 09/12/2017 09/05/2018 3,670,500 2,447 / (2,557) 98,925 99,878 99,878 953 17,713 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 09/12/2017 09/07/2018 27,038,000 2,458 / (2,565) 692,670 697,686 697,686 5,016 130,861 003


136 - NQ FIA Equity


Exh 5

Equity market

SOC 09/12/2017 09/10/2018 7,607,400 2,454 / (2,564) 201,345 203,149 203,149 1,804 36,980 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 09/19/2017 09/11/2018 6,941,200 2,479 / (2,587) 174,692 170,430 170,430 (4,262) 33,791 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 09/19/2017 09/12/2018 5,469,200 2,486 / (2,591) 131,956 128,436 128,436 (3,520) 26,663 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 09/19/2017 09/13/2018 5,980,800 2,492 / (2,605) 151,176 147,052 147,052 (4,124) 29,199 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 09/19/2017 09/14/2018 25,927,200 2,493 / (2,602) 633,776 616,229 616,229 (17,547) 126,763 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 09/19/2017 09/17/2018 8,489,800 2,497 / (2,608) 208,556 202,633 202,633 (5,923) 41,686 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 09/26/2017 09/18/2018 5,495,600 2,498 / (2,611) 134,112 132,821 132,821 (1,291) 27,023 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 09/26/2017 09/19/2018 6,260,000 2,504 / (2,623) 156,400 155,295 155,295 (1,105) 30,825 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 09/26/2017 09/20/2018 3,252,600 2,502 / (2,600) 69,511 68,641 68,641 (870) 16,039 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 09/26/2017 09/21/2018 29,940,000 2,495 / (2,607) 730,440 724,848 724,848 (5,592) 147,843 003


136 - NQ FIA Equity


Exh 5

Equity market

BARC 09/26/2017 09/24/2018 5,482,400 2,492 / (2,606) 137,236 136,014 136,014 (1,222) 27,186 003

E06.1

9



1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior


Paid


Cost of Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)Options--IUL1YAVG013--

129 - NQ OTC Equity

Option (Index UL)

IUL Product Liability

Exh 5

Equity market

BARC 12/15/2016 12/15/2017 44 100,000 2,262 / (2,466) 2,980 7,334 7,334 3,986 228 003

Options--IUL1YAVG014--

129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 01/13/2017 01/12/2018 88 200,009 2,275 / (2,479) 5,840 15,003 15,003 9,163 534 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 05/15/2017 05/15/2018 42 100,009 2,402 / (2,619) 2,720 4,143 4,143 1,423 394 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 07/14/2017 07/13/2018 41 100,000 2,459 / (2,681) 2,710 3,101 3,101 391 443 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

DBAG 08/15/2017 08/15/2018 150,000 2,465 / (2,686) 4,335 4,923 4,923 588 701 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 09/15/2017 09/14/2018 100,000 2,500 / (2,725) 2,830 2,731 2,731 (99) 489 003

Options--IUL1YPTP059--

129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 10/14/2016 10/13/2017 680 1,450,000 2,133 / (2,432) 78,880 202,338 202,338 101,024 1,368 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 10/14/2016 10/13/2017 188 399,998 2,133 / (2,410) 21,040 51,880 51,880 25,093 377 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 11/15/2016 11/15/2017 894 1,950,000 2,180 / (2,486) 103,350 257,326 257,326 140,105 3,461 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 11/15/2016 11/15/2017 92 200,000 2,180 / (2,464) 10,380 24,764 24,764 13,093 355 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 12/15/2016 12/15/2017 809 1,830,000 2,262 / (2,579) 95,892 196,339 196,339 116,559 4,175 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 12/15/2016 12/15/2017 164 370,000 2,262 / (2,556) 18,759 38,588 38,588 22,876 844 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 01/13/2017 01/12/2018 835 1,900,007 2,275 / (2,593) 98,230 192,279 192,279 94,049 5,071 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 01/13/2017 01/12/2018 198 449,992 2,275 / (2,570) 22,635 44,116 44,116 21,481 1,201 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 01/13/2017 01/12/2018 44 99,993 2,275 / (2,684) 5,530 10,852 10,852 5,322 267 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

DBAG 02/15/2017 02/15/2018 617 1,450,004 2,349 / (2,678) 71,050 112,370 112,370 41,320 4,458 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

DBAG 02/15/2017 02/15/2018 192 449,999 2,349 / (2,655) 21,510 34,065 34,065 12,555 1,383 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

DBAG 03/15/2017 03/15/2018 1,119 2,369,446 2,385 / (2,719) 136,170 160,856 160,856 24,686 7,990 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

DBAG 03/15/2017 03/15/2018 63 150,009 2,385 / (2,695) 7,440 9,964 9,964 2,524 506 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

DBAG 03/15/2017 03/15/2018 105 249,999 2,385 / (2,815) 13,600 17,567 17,567 3,967 843 003

E06.2

0



1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior


Paid


Cost of Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)Options--IUL1YPTP073--

129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 04/17/2017 04/13/2018 558 1,299,554 2,329 / (2,655) 67,875 110,397 110,397 42,522 4,749 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 04/17/2017 04/13/2018 86 200,290 2,329 / (2,632) 10,169 16,398 16,398 6,230 732 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 05/15/2017 05/15/2018 957 1,199,743 2,402 / (2,739) 113,160 80,121 80,121 (33,039) 4,731 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 05/15/2017 05/15/2018 42 100,009 2,402 / (2,715) 4,800 6,492 6,492 1,692 394 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 05/15/2017 05/15/2018 42 100,009 2,402 / (2,835) 5,230 6,999 6,999 1,768 394 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 06/15/2017 06/15/2018 534 1,300,004 2,432 / (2,773) 66,040 79,150 79,150 13,110 5,465 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 06/15/2017 06/15/2018 123 299,995 2,432 / (2,749) 14,850 17,785 17,785 2,935 1,261 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 06/15/2017 06/15/2018 41 99,998 2,432 / (2,870) 5,380 6,330 6,330 950 420 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 07/14/2017 07/13/2018 915 2,250,000 2,459 / (2,804) 110,027 124,904 124,904 14,877 9,958 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 07/14/2017 07/13/2018 102 250,000 2,459 / (2,779) 11,975 13,638 13,638 1,663 1,106 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 07/14/2017 07/13/2018 41 100,000 2,459 / (2,902) 5,130 5,797 5,797 667 443 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

DBAG 08/15/2017 08/15/2018 1,080,000 2,465 / (2,810) 53,136 60,507 60,507 7,371 5,048 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

DBAG 08/15/2017 08/15/2018 740,000 2,465 / (2,785) 35,668 40,612 40,612 4,944 3,459 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 09/15/2017 09/14/2018 925,000 2,500 / (2,850) 46,713 45,775 45,775 (938) 4,522 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 09/15/2017 09/14/2018 175,000 2,500 / (2,825) 8,663 8,476 8,476 (187) 856 003

Options--IUL2YBU012--

129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

SOC 12/15/2015 12/15/2017 49 100,000 2,043 / (2,759) 12,724 12,724 10,776 228 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

CSI 01/15/2016 12/15/2017 49 100,127 2,043 / NA 17,674 17,674 10,688 228 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 04/15/2016 04/13/2018 48 100,000 2,080 / NA 8,690 21,285 21,285 9,396 365 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 05/13/2016 05/15/2018 49 99,997 2,047 / NA 9,160 23,326 23,326 9,831 394 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 10/14/2016 10/15/2018 47 99,994 2,133 / NA 8,890 19,555 19,555 8,133 510 003

E06.2

1



1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior


Paid


Cost of Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)Options--IUL2YBU018--

129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 11/15/2016 11/15/2018 46 100,000 2,180 / NA 8,940 17,500 17,500 7,387 531 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 12/15/2016 12/14/2018 309 700,000 2,262 / NA 65,730 99,275 99,275 43,337 3,843 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 01/13/2017 01/15/2019 57 129,996 2,275 / NA 11,947 18,048 18,048 6,101 739 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

DBAG 02/15/2017 02/15/2019 43 100,008 2,349 / NA 9,000 11,318 11,318 2,318 587 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

DBAG 03/15/2017 03/15/2019 42 99,990 2,385 / NA 8,980 10,292 10,292 1,312 603 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 04/17/2017 04/15/2019 43 100,145 2,329 / NA 8,759 12,440 12,440 3,681 621 003


129 - NQ OTC Equity

Option (Index UL)


Exh 5

Equity market

BARC 07/14/2017 07/15/2019 41 100,000 2,459 / NA 8,370 8,904 8,904 534 669 003

0089999. Subtotal - Purchased Options - Hedging Other - Call Options and Warrants 15,679,228 35,821,797 0 80,817,519 XXX 80,817,518 27,742,711 0 0 0 7,311,230 XXX XXXOptions--OPT130--120 -

NQ OTC Equity Option

GMWB Stat

GMWB Product Liability

Exh 5

Equity market

BARC 11/18/2016 12/29/2017 100,000 185,000,000 1,850 / NA 6,621,000 100,538 100,538 (5,162,295) 459,321 003

Options--OPT131--120 -

NQ OTC Equity Option

GMWB Stat


Exh 5

Equity market

BARC 11/18/2016 12/29/2017 50,000 68,750,000 1,375 / NA 2,844,500 28,406 28,406 (2,061,592) 170,694 003

0099999. Subtotal - Purchased Options - Hedging Other - Put Options 9,465,500 0 0 128,944 XXX 128,944 (7,223,887) 0 0 0 630,015 XXX XXX

0149999. Subtotal - Purchased Options - Hedging Other 25,144,728 35,821,797 0 80,946,463 XXX 80,946,462 20,518,824 0 0 0 7,941,245 XXX XXX

0219999. Subtotal - Purchased Options - Replications 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0289999. Subtotal - Purchased Options - Income Generation 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0359999. Subtotal - Purchased Options - Other 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0369999. Total Purchased Options - Call Options and Warrants 15,679,228 35,821,797 0 80,817,519 XXX 80,817,518 27,742,711 0 0 0 7,311,230 XXX XXX

0379999. Total Purchased Options - Put Options 9,465,500 0 0 128,944 XXX 128,944 (7,223,887) 0 0 0 630,015 XXX XXX

0389999. Total Purchased Options - Caps 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0399999. Total Purchased Options - Floors 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0409999. Total Purchased Options - Collars 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0419999. Total Purchased Options - Other 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0429999. Total Purchased Options 25,144,728 35,821,797 0 80,946,463 XXX 80,946,462 20,518,824 0 0 0 7,941,245 XXX XXX

0499999. Subtotal - Written Options - Hedging Effective 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0569999. Subtotal - Written Options - Hedging Other 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0639999. Subtotal - Written Options - Replications 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0709999. Subtotal - Written Options - Income Generation 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0779999. Subtotal - Written Options - Other 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0789999. Total Written Options - Call Options and Warrants 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0799999. Total Written Options - Put Options 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0809999. Total Written Options - Caps 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0819999. Total Written Options - Floors 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0829999. Total Written Options - Collars 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0839999. Total Written Options - Other 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0849999. Total Written Options 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXXRegular Way IRS--

ILIA37248JAR3--72 - NQ

IRS Retail Notes Put

Reserve R6027 Exh 5

Interest

Rate EXCHGS 03/31/2008 04/15/2018 4,924,000

5.25% / (3M-

LIBOR) 107,946 68,707 68,707 (107,901) 18,087 005

E06.2

2



1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)


TradeDate

Date of Maturity

orExpiration

Numberof


StrikePrice,

Rate orIndex

Received (Paid)

CumulativePrior


Paid


Cost of Premium

(Received) Paid

Current Year

Income




(Decrease)

Total Foreign


Current Year’s

(Amorti-zation)/

Accretion


Value of Hedged


Credit Quality

ofRefer-ence Entity


and at Quarter-end

(b)

0859999. Subtotal - Swaps - Hedging Effective - Interest Rate 0 0 107,946 68,707 XXX 68,707 (107,901) 0 0 0 18,087 XXX XXX

0909999. Subtotal - Swaps - Hedging Effective 0 0 107,946 68,707 XXX 68,707 (107,901) 0 0 0 18,087 XXX XXXEquity Return Swaps--

EAFETRS028--101 - NQ

TRS EAFE


Exh 5

Equity market

DBAG 07/20/2017 10/25/2017 39,998,634

3M-LIBOR /

(EAFE Return) (852,543) (852,543) (852,543) 52,341 003

Equity Return Swaps--

EAFETRS030--101 - NQ

TRS EAFE


Exh 5

Equity market

DBAG 07/24/2017 10/25/2017 34,783,967

3M-LIBOR /

(EAFE Return) (967,270) (967,270) (967,270) 45,517 003

0959999. Subtotal - Swaps - Hedging Other - Other 0 0 0 (1,819,813) XXX (1,819,813) (1,819,813) 0 0 0 97,858 XXX XXX

0969999. Subtotal - Swaps - Hedging Other 0 0 0 (1,819,813) XXX (1,819,813) (1,819,813) 0 0 0 97,858 XXX XXXCredit Default Swap--

CDS0000626--67 - NQ

CDS Single Name Sell

Protection 906548BY7

Sched DB -

Part C Credit JPM 02/08/2008 03/20/2018 5,000,000

0.65% / (Credit

Event) 24,646 13,406 13,406 (21,744) 5,000,000 2 010

Credit Default Swap--

CDS0000625--67 - NQ

CDS Single Name Sell

Protection 035229CN1

Sched DB -

Part C Credit JPM 02/08/2008 03/20/2018 5,000,000

0.45% / (Credit

Event) 17,063 9,311 9,311 (13,596) 5,000,000 1 010

0989999. Subtotal - Swaps - Replication - Credit Default 0 0 41,709 22,717 XXX 22,717 (35,340) 0 0 0 10,000,000 XXX XXX

1029999. Subtotal - Swaps - Replication 0 0 41,709 22,717 XXX 22,717 (35,340) 0 0 0 10,000,000 XXX XXX

1089999. Subtotal - Swaps - Income Generation 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

1149999. Subtotal - Swaps - Other 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

1159999. Total Swaps - Interest Rate 0 0 107,946 68,707 XXX 68,707 (107,901) 0 0 0 18,087 XXX XXX

1169999. Total Swaps - Credit Default 0 0 41,709 22,717 XXX 22,717 (35,340) 0 0 0 10,000,000 XXX XXX

1179999. Total Swaps - Foreign Exchange 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

1189999. Total Swaps - Total Return 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

1199999. Total Swaps - Other 0 0 0 (1,819,813) XXX (1,819,813) (1,819,813) 0 0 0 97,858 XXX XXX

1209999. Total Swaps 0 0 149,655 (1,728,389) XXX (1,728,389) (1,963,054) 0 0 0 10,115,945 XXX XXX

1269999. Subtotal - Forwards 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

1399999. Subtotal - Hedging Effective 0 0 107,946 68,707 XXX 68,707 (107,901) 0 0 0 18,087 XXX XXX

1409999. Subtotal - Hedging Other 25,144,728 35,821,797 0 79,126,650 XXX 79,126,649 18,699,011 0 0 0 8,039,103 XXX XXX

1419999. Subtotal - Replication 0 0 41,709 22,717 XXX 22,717 (35,340) 0 0 0 10,000,000 XXX XXX

1429999. Subtotal - Income Generation 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

1439999. Subtotal - Other 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

1449999 - Totals 25,144,728 35,821,797 149,655 79,218,074 XXX 79,218,073 18,555,770 0 0 0 18,057,190 XXX XXX

(a) Code Description of Hedged Risk(s)

(b) Code Financial or Economic Impact of the Hedge at the End of the Reporting Period0003 Hedges the equity risk of a liability

0005 Hedges the interest rate risk of a liability

0010 Sell protection CDS used in replication

E06.2

3


SCHEDULE DB - PART B - SECTION 1Futures Contracts Open as of the Current Statement Date

1 2 3 4 5 6 7 8 9 10 11 12 13 14 Highly Effective Hedges 18 19 20 21 22

TickerSymbol

Numberof

ContractsNotional Amount Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)

Date of Maturity

orExpira-

tion ExchangeTradeDate

Transac-tion

Price

Reporting DatePrice Fair Value


Value

15

Cumulative Variation Margin

16

Deferred Variation Margin

17Change in Variation MarginGain

(Loss) Used to Adjust Basis of Hedged

Item

Cumulative Variation Margin for All Other Hedges

Change in Variation MarginGain

(Loss) Recognized in Current

YearPotentialExposure

Hedge Effectiveness

atInception

and atQuarter-end

(b)

Value ofOne (1)

Point

TYZ7 2,127 212,700,000

T-Note Future - TYZ7

- US 10 YR NOTE - 86

- NQ IR ET Futures

Variable Annuity GMWB

Product Liability Exh 5

Interest

Rate 12/29/2017

CBT - Chicago Board

of Trade 549300EX04Q2QBFQTQ27 08/24/2017 130.0625 128.7344 (498,516) (2,824,922) (2,824,922) 2,871,450 0005 1,000

USZ7 465 46,500,000

T-Note Future - USZ7

- US LONG BOND - 86 -

NQ IR ET Futures



Interest

Rate 12/29/2017

CBT - Chicago Board

of Trade 549300EX04Q2QBFQTQ27 08/24/2017 159.7969 157.3438 14,531 (1,140,703) (1,140,703) 1,581,000 0005 1,000

WNZ7 1,015 101,500,000

T-Note Future - WNZ7

- US ULTRA BOND - 86

- NQ IR ET Futures



Interest

Rate 12/29/2017

CBT - Chicago Board


TYZ7 1,785 178,500,000

T-Note Future - TYZ7

- US 10 YR NOTE - 86

- NQ IR ET Futures



Interest

Rate 12/29/2017

CBT - Chicago Board

of Trade 549300EX04Q2QBFQTQ27 08/24/2017 130.0625 128.7344 (418,359) (2,370,703) (2,370,703) 2,409,750 0005 1,000

USZ7 630 63,000,000

T-Note Future - USZ7

- US LONG BOND - 86 -

NQ IR ET Futures



Interest

Rate 12/29/2017

CBT - Chicago Board


WNZ7 790 79,000,000

T-Note Future - WNZ7

- US ULTRA BOND - 86

- NQ IR ET Futures



Interest

Rate 12/29/2017

CBT - Chicago Board


RTAZ7 15 1,119,750

Index Future - RTAZ7

- RUSSELL 2000 MINI -

49 - NQ Equity

Futures (GMWB)


Product Liability Exh 5 Equity/Index 12/15/2017

NYF - ICE Futures

U.S. 549300R4IG1TWPZT5U32 09/11/2017 1,413.1000 1,493.0000 375 59,925 59,925 33,000 0003 50

1319999. Subtotal - Long Futures - Other (148,999) 0 0 0 0 (13,250,974) (13,250,974) 15,715,700 XXX XXX

1329999. Subtotal - Long Futures (148,999) 0 0 0 0 (13,250,974) (13,250,974) 15,715,700 XXX XXX

FVZ7 538 53,800,000

T-Note Future - FVZ7

- US 5 YR NOTE - 86 -

NQ IR ET Futures



Interest

Rate 01/04/2018

CBT - Chicago Board

of Trade 549300EX04Q2QBFQTQ27 08/24/2017 118.3438 117.5000 88,266 453,938 453,938 336,250 0005 1,000

FVZ7 40 4,000,000

T-Note Future - FVZ7

- US 5 YR NOTE - 86 -

NQ IR ET Futures



Interest

Rate 01/04/2018

CBT - Chicago Board

of Trade 549300EX04Q2QBFQTQ27 08/24/2017 118.3438 117.5000 6,563 33,750 33,750 25,000 0005 1,000

ESZ7 2,175 273,615,000

Index Future - ESZ7 -

CME EMINI SP 500 - 49

- NQ Equity Futures

(GMWB)



CME - Chicago

Mercantile Exchange

SNZ2OJLFK8MNNCLQOF39 09/11/2017 2,460.9000 2,516.0000 (897,188) (5,992,125) (5,992,125) 9,787,500 0003 50

FAZ7 45 8,080,650

Index Future - FAZ7 -

S&P MID 400 EMINI -

49 - NQ Equity

Futures (GMWB)



CME - Chicago

Mercantile Exchange

SNZ2OJLFK8MNNCLQOF39 09/11/2017 1,718.1500 1,795.7000 (7,650) (348,975) (348,975) 270,000 0003 100

MFSZ7 115 11,375,800

Index Future - MFSZ7

- LIFFE EMINI MSCI

EAFE - 49 - NQ Equity

Futures (GMWB)



NYL - NYSE Liffe

U.S. 549300HIIRNTNKXV3M12 09/11/2017 1,967.0565 1,978.4000 (69,575) (65,225) (65,225) 402,500 0003 50

FAZ7 250 44,892,500

Index Future - FAZ7 -

S&P MID 400 EMINI -

49 - NQ Equity

Futures (GMWB)



CME - Chicago

Mercantile Exchange

SNZ2OJLFK8MNNCLQOF39 09/11/2017 1,718.1500 1,795.7000 (42,500) (1,938,750) (1,938,750) 1,500,000 0003 100

MFSZ7 340 33,632,800

Index Future - MFSZ7

- LIFFE EMINI MSCI

EAFE - 49 - NQ Equity

Futures (GMWB)



NYL - NYSE Liffe

U.S. 549300HIIRNTNKXV3M12 09/11/2017 1,967.2000 1,978.4000 (205,700) (190,400) (190,400) 1,190,000 0003 50

RTAZ7 340 25,381,000

Index Future - RTAZ7

- RUSSELL 2000 MINI -

49 - NQ Equity

Futures (GMWB)



NYF - ICE Futures

U.S. 549300R4IG1TWPZT5U32 09/11/2017 1,413.5153 1,493.0000 (8,500) (1,351,240) (1,351,240) 748,000 0003 50

1379999. Subtotal - Short Futures - Other (1,136,284) 0 0 0 0 (9,399,027) (9,399,027) 14,259,250 XXX XXX

1389999. Subtotal - Short Futures (1,136,284) 0 0 0 0 (9,399,027) (9,399,027) 14,259,250 XXX XXX

E07


SCHEDULE DB - PART B - SECTION 1Futures Contracts Open as of the Current Statement Date

1 2 3 4 5 6 7 8 9 10 11 12 13 14 Highly Effective Hedges 18 19 20 21 22

TickerSymbol

Numberof

ContractsNotional Amount Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)

Date of Maturity

orExpira-

tion ExchangeTradeDate

Transac-tion

Price

Reporting DatePrice Fair Value


Value

15

Cumulative Variation Margin

16

Deferred Variation Margin

17Change in Variation MarginGain

(Loss) Used to Adjust Basis of Hedged

Item

Cumulative Variation Margin for All Other Hedges

Change in Variation MarginGain

(Loss) Recognized in Current

YearPotentialExposure

Hedge Effectiveness

atInception

and atQuarter-end

(b)

Value ofOne (1)

Point

1399999. Subtotal - Hedging Effective 0 0 0 0 0 0 0 0 XXX XXX

1409999. Subtotal - Hedging Other 0 0 0 0 0 0 0 0 XXX XXX

1419999. Subtotal - Replication 0 0 0 0 0 0 0 0 XXX XXX

1429999. Subtotal - Income Generation 0 0 0 0 0 0 0 0 XXX XXX

1439999. Subtotal - Other (1,285,283) 0 0 0 0 (22,650,001) (22,650,001) 29,974,950 XXX XXX

1449999 - Totals (1,285,283) 0 0 0 0 (22,650,001) (22,650,001) 29,974,950 XXX XXX

Broker NameBeginning

Cash BalanceCumulative

Cash ChangeEnding

Cash BalanceCredit Suisse Securities 2,461,417 (3,435,154) (973,737)

Goldman Sachs 2,313,009 (2,640,890) (327,881)

Total Net Cash Deposits 4,774,427 (6,076,044) (1,301,618)

(a) Code Description of Hedged Risk(s)

(b) Code Financial or Economic Impact of the Hedge at the End of the Reporting Period0003 Hedges the equity risk of a liability

0005 Hedges the interest rate risk of a liability

E07.1


SCHEDULE DB - PART D - SECTION 1Counterparty Exposure for Derivative Instruments Open as of Current Statement Date

1 2 3 4 Book/Adjusted Carrying Value Fair Value 11 12

Description of Exchange,Counterparty or Central Clearinghouse

MasterAgreement

(Y or N)

Credit Support Annex

(Y or N)

Fair Value of Acceptable Collateral

5Contracts WithBook/Adjusted

Carrying Value >0

6Contracts WithBook/Adjusted

Carrying Value <0

7

Exposure Net of Collateral

8

Contracts WithFair Value >0

9

Contracts WithFair Value <0

10

ExposureNet of Collateral

PotentialExposure

Off-BalanceSheet Exposure

0199999 - Aggregate Sum of Exchange Traded Derivatives XXX XXX XXX (1,301,618) 0 (1,301,618) 0 29,974,950 29,974,950

BANK OF AMERICA N.A. Y Y 928,981 928,981 928,981 928,981 150,934 150,934

GOLDMAN SACHS INTERNATIONAL Y Y 162,366 68,707 0 68,707 0 18,087

JP MORGAN CHASE BANK Y Y 135,000 22,717 0 0 22,717 0 0 10,000,000 9,887,717

BARCLAYS BANK Y Y 19,586,000 30,784,641 11,198,641 30,784,641 11,198,641 3,125,595 3,125,595

SOCIETE GENERALE Y Y 27,771,054 0 27,771,054 27,771,054 0 27,771,054 2,689,923 2,689,923

DEUTSCHE BANK A.G. Y Y 21,181,239 (1,819,813) 19,361,426 21,181,239 (1,819,813) 19,361,426 2,008,238 2,008,238

0299999. Total NAIC 1 Designation 19,883,366 80,757,339 (1,819,813) 59,260,102 80,757,339 (1,819,813) 59,260,102 17,992,777 17,862,407

CREDIT SUISSE INTERNATIONAL Y Y 280,550 0 280,550 280,550 0 280,550 64,419 64,419

0399999. Total NAIC 2 Designation 0 280,550 0 280,550 280,550 0 280,550 64,419 64,419

0899999. Aggregate Sum of Central Clearing houses 0 0

0999999 - Gross Totals 19,883,366 81,037,889 (3,121,431) 59,540,652 81,037,889 (3,121,431) 59,540,652 48,032,146 47,901,776

1. Offset per SSAP No. 64

2. Net after right of offset per SSAP No. 64 81,037,889 (1,819,813)

E08


SCHEDULE DB - PART D - SECTION 2Collateral for Derivative Instruments Open as of Current Statement Date

Collateral Pledged by Reporting Entity

1


2

Type of Asset Pledged

3


4

Description

5

Fair Value

6

Par Value

7Book/Adjusted

CarryingValue

8

MaturityDate

9Type of Margin

(I, V or IV)BANK OF AMERICA N.A. Corporate 03040W-AJ-4 AWK 4.3 12/01/42 1,159,175 1,076,000 1,081,736 12/01/2042 V

CREDIT SUISSE INTERNATIONAL Treasury 912828-LJ-7 T 3 5/8 08/15/19 103,980 100,000 100,259 08/15/2019 V

DEUTSCHE BANK A.G. Treasury 912828-LJ-7 T 3 5/8 08/15/19 21,463,648 20,642,000 20,695,370 08/15/2019 V

0199999 - Total 22,726,804 21,818,000 21,877,365 XXX XXX

Collateral Pledged to Reporting Entity

1


2

Type of Asset Pledged

3


4

Description

5

Fair Value

6

Par Value

7Book/Adjusted

CarryingValue

8

MaturityDate

9Type of Margin

(I, V or IV)

GOLDMAN SACHS INTERNATIONAL CASH CASH 162,366 162,366 XXX V

JP MORGAN CHASE BANK CASH CASH 135,000 135,000 XXX V

BARCLAYS BANK CASH CASH 19,586,000 19,586,000 XXX V

0299999 - Total 19,883,366 19,883,366 XXX XXX XXX

E09


SCHEDULE DL - PART 1

SECURITIES LENDING COLLATERAL ASSETSReinvested Collateral Assets Owned Current Statement Date

1

CUSIPIdentification

2

Description

3

Code

4NAIC

Designation/Market Indicator

5

Fair Value

6


7

Maturity Date

0599999. Total - U.S. Government Bonds 0 0 XXX1099999. Total - All Other Government Bonds 0 0 XXX1799999. Total - U.S. States, Territories and Possessions Bonds 0 0 XXX2499999. Total - U.S. Political Subdivisions Bonds 0 0 XXX3199999. Total - U.S. Special Revenues Bonds 0 0 XXX3899999. Total - Industrial and Miscellaneous (Unaffiliated) Bonds 0 0 XXX4899999. Total - Hybrid Securities 0 0 XXX5599999. Total - Parent, Subsidiaries and Affiliates Bonds 0 0 XXX6099999. Subtotal - SVO Identified Funds 0 0 XXX6199999. Total - Issuer Obligations 0 0 XXX6299999. Total - Residential Mortgage-Backed Securities 0 0 XXX6399999. Total - Commercial Mortgage-Backed Securities 0 0 XXX6499999. Total - Other Loan-Backed and Structured Securities 0 0 XXX6599999. Total - SVO Identified Funds 0 0 XXX6699999. Total Bonds 0 0 XXX7099999. Total - Preferred Stocks 0 0 XXX7599999. Total - Common Stocks 0 0 XXX7699999. Total - Preferred and Common Stocks 0 0 XXX26200V-10-4 DREYFUS INS CASH ADVANTAGE-I #0 - USD 96,242,894 96,242,894 10/02/2017

8999999. Total - Short-Term Invested Assets (Schedule DA type) 96,242,894 96,242,894 XXX9999999 - Totals 96,242,894 96,242,894 XXXGeneral Interrogatories:

1. Total activity for the year to date Fair Value $ 7,186,864 Book/Adjusted Carrying Value $ 7,186,864

2. Average balance for the year to date Fair Value $ 69,366,758 Book/Adjusted Carrying Value $ 69,366,758

3. Reinvested securities lending collateral assets book/adjusted carrying value included in this schedule by NAIC designation:

NAIC 1 $ 96,242,894 NAIC 2 $ 0 NAIC 3 $ 0 NAIC 4 $ 0 NAIC 5 $ 0 NAIC 6 $ 0

E10


SCHEDULE DL - PART 2

SECURITIES LENDING COLLATERAL ASSETSReinvested Collateral Assets Owned Current Statement Date

1

CUSIPIdentification

2

Description

3

Code

4NAIC

Designation/Market Indicator

5

Fair Value

6


7

Maturity Date

9999999 - Totals XXX

General Interrogatories:1. Total activity for the year to date Fair Value $ Book/Adjusted Carrying Value $2. Average balance for the year to date Fair Value $ Book/Adjusted Carrying Value $

NONE

E11


SCHEDULE E - PART 1 - CASHMonth End Depository Balances

1 2 3 4 5 Book Balance at End of Each MonthDuring Current Quarter

9

Depository CodeRate of Interest

Amount of Interest Received

During Current Quarter

Amount of Interest Accrued

at Current Statement Date

6

First Month

7

Second Month

8

Third Month *

Bank of America, NA New York, New York (67,784,522) (85,990,767) (79,210,169) XXX

Bank of N.T. Butterfield &

Son Ltd. Hamilton, Bermuda 1,306,416 1,358,196 1,379,365 XXX

Deutsche Bank Trust Company

Americas New York, New York 290,432 242,292 213,055 XXX

Federal Home Loan Bank of

Atlanta Atlanta, GA 1,091,067 1,272,217 1,269,689 XXX

Fifth Third Bank Cincinnati, OH 5,637,004 2,528,022 3,409,950 XXX

JP Morgan Chase Bank New York, New York (77,516) (14,019,897) (774,276) XXX

SunTrust Bank Atlanta, GA 105,139 101,894 104,894 XXX

The Bank of New York Mellon New York, New York 7,769,613 4,136,351 2,427,038 XXX

Wells Fargo Bank, NA San Francisco, CA 1,102,330 931,471 1,226,016 XXX

0199998. Deposits in ... depositories that do not exceed the allowable limit in any one depository (See instructions) - Open Depositories XXX XXX XXX

0199999. Totals - Open Depositories XXX XXX 0 0 (50,560,037) (89,440,221) (69,954,438) XXX

0299998. Deposits in ... depositories that do not exceed the allowable limit in any one depository (See instructions) - Suspended Depositories XXX XXX XXX

0299999. Totals - Suspended Depositories XXX XXX 0 0 0 0 0 XXX

0399999. Total Cash on Deposit XXX XXX 0 0 (50,560,037) (89,440,221) (69,954,438) XXX

0499999. Cash in Company's Office XXX XXX XXX XXX XXX

0599999. Total - Cash XXX XXX 0 0 (50,560,037) (89,440,221) (69,954,438) XXX

E12


SCHEDULE E - PART 2 - CASH EQUIVALENTSShow Investments Owned End of Current Quarter

1

Description

2

Code

3

Date Acquired

4

Rate of Interest

5

Maturity Date


7Amount of InterestDue and Accrued

8Amount Received

During Year

8699999 - Total Cash Equivalents

NONE

E13

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