70025 genworth life insurance company...

STATEMENT AS OF SEPTEMBER 30, 2017 OF THE Genworth Life 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 30,573,321,760 30,573,321,760 30,395,471,092

2. Stocks:

2.1 Preferred stocks 188,266,594 188,266,594 186,972,590

2.2 Common stocks 1,922,944,316 22,318 1,922,921,998 1,828,436,102

3. Mortgage loans on real estate:

3.1 First liens 3,864,465,329 3,864,465,329 3,800,864,776

3.2 Other than first liens 0

4. Real estate:

4.1 Properties occupied by the company (less $

encumbrances) 0 0

4.2 Properties held for the production of income (less

$ encumbrances) 0

4.3 Properties held for sale (less $

encumbrances) 0

5. Cash ($ (67,125,970) ), cash equivalents

($ 59,909,467 ) and short-term

investments ($ 571,535,151 ) 564,318,648 564,318,648 477,581,823

6. Contract loans (including $ premium notes) 1,251,470,693 1,889,707 1,249,580,986 1,183,234,532

7. Derivatives 334,376,706 334,376,706 363,423,652

8. Other invested assets 458,215,758 15,313,689 442,902,069 390,079,080

9. Receivables for securities 52,360,288 235,852 52,124,436 142,011,281

10. Securities lending reinvested collateral assets 101,161,126 101,161,126 345,053,524

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

12. Subtotals, cash and invested assets (Lines 1 to 11) 39,310,901,218 17,461,566 39,293,439,652 39,113,128,452

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

only) 0

14. Investment income due and accrued 397,904,153 397,904,153 401,856,972

15. Premiums and considerations:

15.1 Uncollected premiums and agents' balances in the course of collection 81,883,511 2,304,445 79,579,066 86,004,323

15.2 Deferred premiums, agents' balances and installments booked but

deferred and not yet due (including $

earned but unbilled premiums) 105,704,439 61,856 105,642,583 107,666,757

15.3 Accrued retrospective premiums ($ ) and

contracts subject to redetermination ($ ) 0

16. Reinsurance:

16.1 Amounts recoverable from reinsurers 50,719,745 1,005 50,718,740 49,428,067

16.2 Funds held by or deposited with reinsured companies 40,881,243 40,881,243 40,881,243

16.3 Other amounts receivable under reinsurance contracts 28,622,931 28,622,931 30,682,734

17. Amounts receivable relating to uninsured plans 0

18.1 Current federal and foreign income tax recoverable and interest thereon 992,065 992,065 992,065

18.2 Net deferred tax asset 877,249,541 523,451,208 353,798,333 336,045,182

19. Guaranty funds receivable or on deposit 26,785,915 26,785,915 14,421,291

20. Electronic data processing equipment and software 51,003,228 44,748,383 6,254,845 9,124,333

21. Furniture and equipment, including health care delivery assets

($ ) 420,526 420,526 0 0

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

23. Receivables from parent, subsidiaries and affiliates 1,058,264 1,058,264 1,466,295

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

25. Aggregate write-ins for other than invested assets 32,669,700 7,647,559 25,022,141 19,195,197

26. Total assets excluding Separate Accounts, Segregated Accounts and Protected Cell Accounts (Lines 12 to 25) 41,006,796,479 596,096,548 40,410,699,931 40,210,892,911

27. From Separate Accounts, Segregated Accounts and Protected Cell Accounts 15,199,282 15,199,282 14,898,383

28. Total (Lines 26 and 27) 41,021,995,761 596,096,548 40,425,899,213 40,225,791,294

DETAILS OF WRITE-INS

1101. 0 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. Prepaid expenses 4,018,643 4,018,643 0 0

2502. Commission receivable 1,725,156 1,725,156 0 0

2503. Premium tax receivable 6,608,588 225,826 6,382,762 9,438,065

2598. Summary of remaining write-ins for Line 25 from overflow page 20,317,313 1,677,934 18,639,379 9,757,132

2599. Totals (Lines 2501 through 2503 plus 2598)(Line 25 above) 32,669,700 7,647,559 25,022,141 19,195,197

2


LIABILITIES, SURPLUS AND OTHER FUNDS1

CurrentStatement Date

2December 31

Prior Year

1. Aggregate reserve for life contracts $ 10,375,339,080 less $ included in Line 6.3

(including $ 9,095,948,266 Modco Reserve) 10,375,339,080 11,136,051,543

2. Aggregate reserve for accident and health contracts (including $ Modco Reserve) 23,691,069,352 22,588,341,619

3. Liability for deposit-type contracts (including $ 342,716,309 Modco Reserve) 701,732,960 762,761,136

4. Contract claims:

4.1 Life 26,342,191 25,710,443

4.2 Accident and health 160,238,661 155,552,188

5. Policyholders’ dividends $ and coupons $ due and unpaid 0

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 $ Modco)

6.3 Coupons and similar benefits (including $ 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

$ discount; including $ 95,362,799 accident and health premiums 97,687,262 92,948,903

9. Contract liabilities not included elsewhere:

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

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

Service Act

9.3 Other amounts payable on reinsurance, including $ 3,876,759 assumed and $ 81,547,229

ceded 85,423,988 76,126,446

9.4 Interest Maintenance Reserve 955,247,777 973,002,846

10. Commissions to agents due or accrued-life and annuity contracts $ 163,500 , accident and health

$ 2,984,789 and deposit-type contract funds $ 3,148,289 8,635,354

11. Commissions and expense allowances payable on reinsurance assumed 354,371 852,574

12. General expenses due or accrued 221,947,753 226,263,817

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

allowances recognized in reserves, net of reinsured allowances) (4,549,448) (3,802,635)

14. Taxes, licenses and fees due or accrued, excluding federal income taxes 46,789,140 30,002,434

15.1 Current federal and foreign income taxes, including $ 9,285,058 on realized capital gains (losses) 33,687,104 14,483,674

15.2 Net deferred tax liability 0

16. Unearned investment income

17. Amounts withheld or retained by company as agent or trustee 25,853,301 19,350,345

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

19. Remittances and items not allocated 21,876,163 20,620,317

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 $ and interest thereon $

23. Dividends to stockholders declared and unpaid

24. Miscellaneous liabilities:

24.01 Asset valuation reserve 228,592,497 201,187,039

24.02 Reinsurance in unauthorized and certified ($ ) companies 112,032

24.03 Funds held under reinsurance treaties with unauthorized and certified ($ ) reinsurers

24.04 Payable to parent, subsidiaries and affiliates 2,589,312 6,661,005

24.05 Drafts outstanding

24.06 Liability for amounts held under uninsured plans

24.07 Funds held under coinsurance

24.08 Derivatives 142,502,503 145,891,412

24.09 Payable for securities 82,617,121 4,172,353

24.10 Payable for securities lending 101,161,126 345,053,524

24.11 Capital notes $ and interest thereon $

25. Aggregate write-ins for liabilities 153,698,104 228,060,792

26. Total liabilities excluding Separate Accounts business (Lines 1 to 25) 37,153,348,607 37,058,039,161

27. From Separate Accounts Statement 15,199,282 14,898,383

28. Total liabilities (Lines 26 and 27) 37,168,547,889 37,072,937,544

29. Common capital stock 4,561,258 4,561,258

30. Preferred capital stock 300,000 300,000

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

32. Surplus notes

33. Gross paid in and contributed surplus 3,978,715,795 3,978,715,795

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

35. Unassigned funds (surplus) (664,942,928) (769,440,502)

36. Less treasury stock, at cost:

36.1 shares common (value included in Line 29 $ ) 61,282,801 61,282,801

36.2 shares preferred (value included in Line 30 $ )

37. Surplus (Total Lines 31+32+33+34+35-36) (including $ in Separate Accounts Statement) 3,252,490,066 3,147,992,492

38. Totals of Lines 29, 30 and 37 3,257,351,324 3,152,853,750

39. Totals of Lines 28 and 38 (Page 2, Line 28, Col. 3) 40,425,899,213 40,225,791,294


2501. Derivatives interest payable 21,673,096 4,217,514

2502. Collateral received on derivatives 132,025,008 223,843,278

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) 153,698,104 228,060,792

3101. 0

3102.

3103.


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

3401. 0

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 (7,422,948,341) 1,477,864,623 2,084,786,114

2. Considerations for supplementary contracts with life contingencies (146,734,707) 20,236,435 25,882,465

3. Net investment income 1,353,027,751 1,363,529,232 1,814,874,710

4. Amortization of Interest Maintenance Reserve (IMR) 52,970,989 48,282,907 64,378,837

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

6. Commissions and expense allowances on reinsurance ceded 160,530,268 499,538,407 534,054,526

7. Reserve adjustments on reinsurance ceded 9,057,927,745 (41,298,588) (51,630,737)

8. Miscellaneous Income:

8.1 Income from fees associated with investment management, administration and contract guarantees from Separate Accounts 63,665 57,905 78,059

8.2 Charges and fees for deposit-type contracts 40 229 258

8.3 Aggregate write-ins for miscellaneous income 1,009,073 3,780,386 4,062,409

9. Totals (Lines 1 to 8.3) 3,055,846,483 3,371,991,536 4,476,486,641

10. Death benefits 100,879,681 136,085,434 164,006,664

11. Matured endowments (excluding guaranteed annual pure endowments) 0

12. Annuity benefits 261,130,978 369,567,894 485,905,292

13. Disability benefits and benefits under accident and health contracts 1,304,772,132 1,205,813,200 1,634,056,239

14. Coupons, guaranteed annual pure endowments and similar benefits

15. Surrender benefits and withdrawals for life contracts 259,739,020 370,618,700 473,900,498

16. Group conversions

17. Interest and adjustments on contract or deposit-type contract funds 358,310,108 20,419,817 27,019,727

18. Payments on supplementary contracts with life contingencies 13,843,621 22,572,068 30,367,821

19. Increase in aggregate reserves for life and accident and health contracts 369,306,957 1,325,131,258 1,566,972,642

20. Totals (Lines 10 to 19) 2,667,982,497 3,450,208,371 4,382,228,883

21. Commissions on premiums, annuity considerations, and deposit-type contract funds (direct business only) 136,163,967 154,211,053 202,986,130

22. Commissions and expense allowances on reinsurance assumed 29,745,822 119,386,261 151,199,479

23. General insurance expenses 225,264,004 259,811,834 340,330,412

24. Insurance taxes, licenses and fees, excluding federal income taxes 68,097,479 54,861,144 62,401,479

25. Increase in loading on deferred and uncollected premiums 1,607,863 15,184,486 14,324,168

26. Net transfers to or (from) Separate Accounts net of reinsurance (1,365,911) (501,335) (702,280)

27. Aggregate write-ins for deductions 0 (612,126,928) (612,126,928)

28. Totals (Lines 20 to 27) 3,127,495,721 3,441,034,886 4,540,641,343

29. Net gain from operations before dividends to policyholders and federal income taxes (Line 9 minus Line 28) (71,649,238) (69,043,350) (64,154,702)

30. Dividends to policyholders 0

31. Net gain from operations after dividends to policyholders and before federal income taxes (Line 29 minus Line 30) (71,649,238) (69,043,350) (64,154,702)

32. Federal and foreign income taxes incurred (excluding tax on capital gains) (4,500,895) (79,216,709) (69,423,126)

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) (67,148,343) 10,173,359 5,268,424

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

gains tax of $ (137,710) (excluding taxes of $ 18,962,417

transferred to the IMR) (7,483,353) (42,054,089) (44,401,180)

35. Net income (Line 33 plus Line 34) (74,631,696) (31,880,730) (39,132,756)

CAPITAL AND SURPLUS ACCOUNT

36. Capital and surplus, December 31, prior year 3,152,853,750 3,504,202,027 3,504,202,026

37. Net income (Line 35) (74,631,696) (31,880,730) (39,132,756)

38. Change in net unrealized capital gains (losses) less capital gains tax of $ (2,472,482) 90,689,041 (7,963,596) (167,326,194)

39. Change in net unrealized foreign exchange capital gain (loss) 2,064,474 2,078,270 4,077,807

40. Change in net deferred income tax 5,963,611 8,888,984 36,498,169

41. Change in nonadmitted assets 61,386,368 (100,839,363) (137,021,822)

42. Change in liability for reinsurance in unauthorized and certified companies 112,032 (112,032)

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

44. Change in asset valuation reserve (27,405,458) 5,041,879 (9,735,814)

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 (29,156,967) (29,156,967)

51.2 Transferred to capital (Stock Dividend)

51.3 Transferred from capital

51.4 Change in surplus as a result of reinsurance 59,134,627 (2,146,081) (3,144,899)

52. Dividends to stockholders

53. Aggregate write-ins for gains and losses in surplus (12,815,425) (6,293,768) (6,293,768)

54. Net change in capital and surplus for the year (Lines 37 through 53) 104,497,574 (162,271,372) (351,348,276)

55. Capital and surplus, as of statement date (Lines 36 + 54) 3,257,351,324 3,341,930,655 3,152,853,750


08.301. Miscellaneous income 1,009,073 3,661,704 3,943,727

08.302. Policy loan service fee 0 118,682 118,682

08.303.

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) 1,009,073 3,780,386 4,062,409

2701. IMR credit taken on coinsurance with unauthorized reinsurer 0 (282,392,124) (282,392,124)

2702. Change in reserve/Modco adjustment reinsurance 0 (329,734,804) (329,734,804)

2703.

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) 0 (612,126,928) (612,126,928)

5301. Prior period correction - LTC due premium, net of tax benefit

of $18,529,667 (34,412,239) 0 0

5302. Prior period correction - Date of loss for IBNR, net of tax expense of $11,629,054 21,596,814 0 0

5303. Reclassification of taxes between unassigned surplus and paid in capital 0 (6,293,768) (6,293,768)


5399. Totals (Lines 5301 through 5303 plus 5398)(Line 53 above) (12,815,425) (6,293,768) (6,293,768)

4


CASH FLOW1

Current YearTo Date

2Prior YearTo Date

3Prior Year Ended

December 31

Cash from Operations

1. Premiums collected net of reinsurance 1,757,350,223 1,528,433,865 2,118,151,911

2. Net investment income 1,240,447,243 1,202,707,256 1,607,795,047

3. Miscellaneous income (161,209,285) 91,866,758 115,354,115

4. Total (Lines 1 to 3) 2,836,588,181 2,823,007,879 3,841,301,073

5. Benefit and loss related payments 1,848,000,930 2,035,550,747 2,686,049,519

6. Net transfers to Separate Accounts, Segregated Accounts and Protected Cell Accounts (619,098) (42,624) (44,825)

7. Commissions, expenses paid and aggregate write-ins for deductions 446,429,804 139,442,890 301,327,482

8. Dividends paid to policyholders 0 0 0

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

gains (losses) (4,879,619) 242,070,217 227,533,045

10. Total (Lines 5 through 9) 2,288,932,017 2,417,021,230 3,214,865,220

11. Net cash from operations (Line 4 minus Line 10) 547,656,164 405,986,649 626,435,853

Cash from Investments

12. Proceeds from investments sold, matured or repaid:

12.1 Bonds 2,695,271,819 3,300,521,440 4,602,786,792

12.2 Stocks 0 38,888,571 43,281,463

12.3 Mortgage loans 269,343,593 283,291,031 363,431,470

12.4 Real estate 0 0 0

12.5 Other invested assets 40,511,880 19,111,355 41,893,421

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

12.7 Miscellaneous proceeds 407,444,644 719,095,088 691,800,623

12.8 Total investment proceeds (Lines 12.1 to 12.7) 3,412,571,936 4,360,907,485 5,743,193,769

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

13.1 Bonds 2,848,541,004 4,393,247,819 5,418,184,858

13.2 Stocks 15,351,000 48,053,494 57,213,494

13.3 Mortgage loans 381,822,339 241,083,300 462,970,921

13.4 Real estate 0 0 0

13.5 Other invested assets 93,074,363 33,130,682 58,422,968

13.6 Miscellaneous applications 0 64,585,079 272,730,549

13.7 Total investments acquired (Lines 13.1 to 13.6) 3,338,788,706 4,780,100,374 6,269,522,790

14. Net increase (or decrease) in contract loans and premium notes 81,250,022 145,682,103 143,475,115

15. Net cash from investments (Line 12.8 minus Line 13.7 and Line 14) (7,466,792) (564,874,992) (669,804,136)

Cash from Financing and Miscellaneous Sources

16. Cash provided (applied):

16.1 Surplus notes, capital notes 0 0 0

16.2 Capital and paid in surplus, less treasury stock 0 (29,156,967) (29,156,966)

16.3 Borrowed funds 0 0 0

16.4 Net deposits on deposit-type contracts and other insurance liabilities (130,450,876) 19,145,920 (24,996,858)

16.5 Dividends to stockholders 0 0 0

16.6 Other cash provided (applied) (323,001,671) 182,209,829 (54,788,833)

17. Net cash from financing and miscellaneous sources (Line 16.1 through Line 16.4 minus Line 16.5 plus Line 16.6) (453,452,547) 172,198,782 (108,942,657)

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) 86,736,825 13,310,439 (152,310,941)

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

19.1 Beginning of year 477,581,823 629,892,764 629,892,764

19.2 End of period (Line 18 plus Line 19.1) 564,318,648 643,203,203 477,581,823

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

20.0001. Securities exchange bond proceeds (Line 12.1) (389,781,760) (112,650,142) (187,831,061)

20.0002. Securities exchange bonds acquired (Line 13.1) (389,781,760) (112,650,142) (187,831,061)

20.0003. Interest capitalization (Line 2) (24,530,207) (31,116,181) (40,731,480)

20.0004. Interest capitalization (Line 13.1) (24,530,207) (31,116,181) (40,731,480)

20.0005. Reinsurance treaties non-cash transaction GLAIC Term (Line 1) 64,459,927

20.0006. Reinsurance treaties non-cash transaction GLAIC Term (Line 3) (48,600,000)

20.0007. Reinsurance treaties non-cash transaction GLAIC Term (Line 12.1) 7,666,806

20.0008. Reinsurance treaties non-cash transaction GLAIC Term (Line 12.3) 8,193,121

20.0009. Reinsurance treaties non-cash transaction GLAIC UL (Line 1) 100,791,870

20.0010. Reinsurance treaties non-cash transaction GLAIC UL (Line 3) (4,900,000)

5

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

20.0011. Reinsurance treaties non-cash transaction GLAIC UL (Line 12.1) 79,789,704

20.0012. Reinsurance treaties non-cash transaction GLAIC UL (Line 12.3) 14,415,946

20.0013. Reinsurance treaties non-cash transaction GLAIC SPWL (Line 1) 134,258,373

20.0014. Reinsurance treaties non-cash transaction GLAIC SPWL (Line 3) (2,800,000)

20.0015. Reinsurance treaties non-cash transaction GLAIC SPW (Line 12.1) 89,773,876

20.0016. Reinsurance treaties non-cash transaction GLAIC SPWL (Line 12.3) 26,077,973

20.0017. Reinsurance treaties non-cash transaction GLAIC SPWL (Line 14) 14,903,568

20.0018. Reinsurance treaties non-cash transaction GLAIC FDA Modco (Line 1) 7,760,407,556

20.0019. Reinsurance treaties non-cash transaction GLAIC FDA Modco (Line 5) 361,050,646

20.0020. Reinsurance treaties non-cash transaction GLAIC FDA Modco (Line 3) (8,121,458,202)

20.0021. Reinsurance treaties non-cash transaction GLAIC Recapture FDA Modco (Line 1) (263,392,546)

20.0022. Reinsurance treaties non-cash transaction GLAIC Recapture FDA Modco (Line 3) 263,392,546

20.0023. Reinsurance treaties non-cash transaction GLAIC COLI (Line 1) 1,523,119,871

20.0024. Reinsurance treaties non-cash transaction GLAIC COLI (Line 3) (1,523,119,871)

20.0025. Reinsurance treaties non-cash transaction TLC-UL Recapture (Line 3) (376,065,501) (376,065,501)

20.0026. Reinsurance treaties non-cash transaction TLC-UL Recapture (Line 7) 99,999,694 99,999,694

20.0027. Transfer of bonds to affiliates (Line 12.1) (251,815,175) (251,815,175)

20.0028. Transfer of loans to affiliates (Line 12.3) (4,794,287) (4,794,287)

20.0029. Transfer of bonds from affiliates (Line 13.1) (276,065,807) (276,065,807)

20.0030. Transfer of bonds to affiliates (Line 16.6) 251,815,175 251,815,175

20.0031. Transfer of loans to affiliates (Line 16.6) 4,794,287 4,794,287

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 0

2. Ordinary life insurance 214,558,599 251,033,080 324,174,221

3. Ordinary individual annuities 5,463,558 62,638,597 63,156,006

4. Credit life (group and individual) 0

5. Group life insurance 13,415,080 14,179,642 14,501,570

6. Group annuities 387,558 415,163 538,679

7. A & H - group 205,262,542 205,198,162 274,226,698

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

9. A & H - other 1,585,119,569 1,632,976,929 2,207,804,565

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

11. Subtotal 2,024,206,906 2,166,441,573 2,884,401,738

12. Deposit-type contracts 0 153,725,990 257,725,990

13. Total 2,024,206,906 2,320,167,563 3,142,127,728


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 INSURANCE COMPANY

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 .............................................................................................................

7. 1

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7. 2

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7. 3

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7. 10

7. 10

7. 10

7. 10

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7. 11

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7. 11



7. 1

Note 1 - Summary of Significant Accounting Policies and Going Concern

A. Accounting Practices:

The accompanying statutory financial statements of Genworth Life Insurance Company (the “Company”) have been prepared on the basis of accounting practices prescribed or permitted by the State of Delaware Department of Insurance (the “Delaware Department”).

The State of Delaware 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 Delaware Department.

A reconciliation of the Company’s net loss and capital and surplus between NAIC SAP and practices prescribed or permitted by the Delaware Department is shown below:

SSAP #F/S

PageF/S

Line # September 30, 2017 December 31, 2016

NET LOSS

(1) Company state basis (Page 4, Line 35, Columns 1 & 2) XXX XXX XXX $ (74,631,696) $ (39,132,756)

(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 $ (74,631,696) $ (39,132,756)

SURPLUS

(5) Company state basis (Page 3, Line 38, Columns 1 & 2) XXX XXX XXX $ 3,257,351,324 $ 3,152,853,750

(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 $ 3,257,351,324 $ 3,152,853,750

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

Corrections of Errors

During 2017, the Company recorded a prior period correction to its long-term care insurance (“LTCI”) reserves related to recorded initial claim dates. To record the correction, the Company decreased aggregate reserves for accident and health contracts by $27,291,685, accident and health contract claims by $4,816,180, general expenses due and accrued by $1,118,003 (for a total decrease to claim and claim expense reserves of $33,225,868) and net deferred tax assets by $11,629,054, with an offsetting increase of $21,596,814 to unassigned surplus, in accordance with Statement of Statutory Accounting Principles (“SSAP”) No. 3, Accounting Changes and Corrections of Errors (“SSAP No.3”). See also Note 25.

During 2017, the Company also recorded a prior period correction related to premium accruals on the Company’s LTCI business. To record the correction, the Company decreased uncollected premiums and agents’ balances in the course of collection by $58,802,851 and commissions to agents due and accrued by $5,860,945 and increased net deferred tax assets by $18,529,667 with an offsetting decrease to unassigned surplus of $34,412,239, in accordance with SSAP No. 3. Additionally, the Company decreased the non-admitted portion of uncollected premiums and agents’ balances in the course of collection by $55,581,813, with an offsetting increase to unassigned surplus.

Note 3 - Business Combinations and Goodwill

No significant change.

Note 4 - Discontinued Operations




7. 2

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.

(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 $ 18,429,672

2. 12 months or longer 6,399,991

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

1. Less than 12 months $ 882,888,671

2. 12 months or longer 190,194,544

(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 $ 101,161,126

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 $ 345,044,404

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




7. 3

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, none have done so and the Company continues to discuss the downgrades with its counterparties.

Note 9 - Income Taxes


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

On June 30, 2017, the Company received a return of capital from GLIC Real Estate Holdings, LLC in the amount of $19,591,953 in cash.

In April 2017, the Company transferred bonds and mortgage loans to Genworth Life and Annuity Insurance Company ("GLAIC") under various reinsurance transactions discussed in Note 23.

Note 11 - Debt

B. Federal Home Loan Bank (“FHLB”) Agreements

(1) The Company is a member of the FHLB Pittsburgh. Through its membership, the Company has outstanding funding agreements with FHLB Pittsburgh, as of September 30, 2017, in the amount of $254,000,000, which relates to total liabilities of $254,591,421. As of December 31, 2016, the amount of funding agreements issued to FHLB Pittsburgh was $254,000,000, which related to total liabilities of $254,439,872. 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 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 Pittsburgh for use in general operations would be accounted for under SSAP No. 15, Debt and Holding

Company Obligations, as borrowed money.

FHLB Pittsburgh has a Maximum Borrowing Capacity cap for insurance company members, this cap is equal to the lesser of the weighted value of eligible securities delivered/controlled by FHLB Pittsburgh or 10% of the member’s statutory admitted assets. This amount may be further limited by the Company’s qualifying securities collateral available to be pledged to the FHLB Pittsburgh.

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

FHLB Capital Stock

a. Aggregate totals

1. As of September 30, 2017:

Membership Stock1

Total (2+3)2

General account3

Separate accounts

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

(b) Membership stock – Class B 8,787,500 8,787,500 —

(c) Activity stock 10,160,000 10,160,000 —

(d) Excess stock — — —

(e) Aggregate total 18,947,500 18,947,500 —

(f) Actual or estimated borrowing capacity as determined by the insurer 3,300,000,000 XXX XXX

2. As of December 31, 2016:

Membership Stock1

Total (2+3)2

General account3

Separate accounts

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

(b) Membership stock – Class B 8,436,500 8,436,500 —

(c) Activity stock 10,160,000 10,160,000 —

(d) Excess stock — — —

(e) Aggregate total 18,596,500 18,596,500 —

(f) Actual or estimated borrowing capacity as determined by the insurer 2,900,000,000 XXX XXX



7. 4

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

Eligible for redemption

Membership stock

1Current year

total

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 8,787,500 — — — — 8,787,500

(3) Collateral Pledged to FHLB

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

Fair value Carrying value Aggregate total borrowing

1. Current year total general and separate accounts total collateral pledged (Lines 2+3) $ 310,803,161 $ 263,020,402 $ 254,000,000

2. Current year general account total collateral pledged 310,803,161 263,020,402 254,000,000

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

4. Prior year-end total general and separate accounts total collateral pledged 311,355,851 275,333,835 254,000,000

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

Fair value Carrying value

Amount borrowed attime of maximum

collateral

1. Current year total general and separate accounts maximum collateral pledged (Lines 2+3) $ 311,830,594 $ 264,827,013 $ 254,000,000

2. Current year general account maximum collateral pledged 311,830,594 264,827,013 254,000,000

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

4. Prior year-end total general and separate accounts maximum collateral pledged 313,071,439 277,156,479 254,000,000

(4) Borrowing from FHLB

a. Amount as of the reporting date

1. As of September 30, 2017:

1Total(2+3)

2 General account

3 Separate accounts

4Funding agreements reserves established

(a) Debt $ — $ — $ — XXX

(b) Funding agreements 254,000,000 254,000,000 — $ 254,591,421

(c) Other — — — XXX

(d) Aggregate total (a+b+c) $ 254,000,000 $ 254,000,000 $ — $ 254,591,421

2. As of December 31, 2016:

1Total(2+3)

2 General account

3 Separate accounts

4Funding agreements reserves established

(a) Debt $ — $ — $ — XXX

(b) Funding agreements 254,000,000 254,000,000 — $ 254,439,872

(c) Other — — — XXX

(d) Aggregate total (a+b+c) $ 254,000,000 $ 254,000,000 $ — $ 254,439,872

b. Maximum amount during the reporting period ending September 30, 2017:

1Total(2+3)

2General account

3Separate accounts

1. Debt $ — $ — $ —

2. Funding agreements 254,000,000 254,000,000 —

3. Other — — —

4. Aggregate total (Lines 1+2+3) $ 254,000,000 $ 254,000,000 $ —



7. 5

c. FHLB – Prepayment obligations

Does the company have prepaymentobligations under the following

arrangements (YES/NO)?

1. Debt NO

2. Funding agreements NO

3. Other NO

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


Note 14 - Liabilities, Contingencies and Assessments

F. All Other Contingencies

In December 2016, Genworth Financial, Inc. (“Genworth”), its current chief executive officer, its former chief executive officer, two former chief financial officers, and two of its insurance subsidiaries (the Company and Genworth Life Insurance Company of New York) were named as defendants in a putative class action lawsuit captioned Leifer, et al v. Genworth Financial, Inc., et al, in the United States District Court for the Eastern District of Virginia, Richmond Division. Plaintiffs allege that the defendants’ financial disclosures and alleged misrepresentations concerning Genworth’s LTCI reserves caused harm to current and former LTCI policyholders and seek unspecified damages, declaratory and injunctive relief, attorneys’ fees, costs and pre-judgment and post-judgment interest. Genworth filed a motion to dismiss on March 27, 2017. Plaintiffs filed an amended complaint on April 10, 2017. Genworth filed a motion to dismiss on May 22, 2017. On June 20, 2017, plaintiffs filed a notice of voluntary dismissal without prejudice. On June 26, 2017, the court so ordered the notice of withdrawal of first amended complaint and of voluntary dismissal without prejudice against all defendants.

In 2009, the Pennsylvania Insurance Commissioner (the “Commissioner”) placed long-term care insurer Penn Treaty Network Company America Insurance Company and one of its subsidiaries, American Network Insurance Company (collectively, “Penn Treaty”) in rehabilitation, an intermediate action before insolvency, and subsequently petitioned a state court to convert the rehabilitation into a liquidation. On November 9, 2016, the state court held a hearing on the Commissioner's petition to convert the rehabilitation into liquidation with no objections. As of December 31, 2016, the liquidation order had not been entered and as a result, the Company was unable to estimate when or to what extent Penn Treaty would ultimately be declared insolvent, or the amount of insolvency and did not establish an accrual for guaranty fund assessment associated with Penn Treaty as of December 31, 2016. However, on March 1, 2017, the Pennsylvania Commonwealth court approved petitions to liquidate Penn Treaty due to financial difficulties that could not be resolved through rehabilitation. In the first quarter of 2017, the Company received guaranty fund assessments related to Penn Treaty and recorded an accrual of $21,227,423.

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) – (3) 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.

For retained interests held in the form of securities, the underlying assets that are held by the securitization trust have a principal amount outstanding of $113,691,205 as of September 30, 2017 and include commercial mortgage loans that were originated by the Company. All of these commercial mortgage loans were derecognized upon transfer to the securitization entity in a prior period. The carrying value and fair value of the Company’s retained interest in these assets transferred were $47,532,764 and $57,452,737, respectively, as of September 30, 2017. The fair value of these retained interests are developed primarily using Level 2 inputs based on observable market prices for similar instruments. The risks associated with the Company’s retained interest include losses due to default and prepayment on the underlying commercial mortgage loans. The Company’s maximum exposure to loss is represented by its carrying value of these retained interests, as there are no other implicit or explicit guarantees associated with the Company’s on-going interest in these securitized assets.



7. 6

C. Wash Sales

The Company did not have any wash sales during 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


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

Special revenue and special assessment obligations $ — $ 291,555 $ — $ 291,555

Commercial mortgage backed — 1,507,808 — 1,507,808

Total bonds — 1,799,363 — 1,799,363

Common stocks

Industrial and miscellaneous — — 26,178,020 26,178,020

Total common stocks — — 26,178,020 26,178,020

Short-term investments — 19,994,400 — 19,994,400

Derivative assets

Interest rate swaps — 332,522,401 — 332,522,401

Credit default swaps — 242,448 — 242,448

Foreign currency swaps — 1,611,857 — 1,611,857

Total derivatives — 334,376,706 — 334,376,706

Separate account assets 5,829,515 — — 5,829,515

Total assets at fair value $ 5,829,515 $ 356,170,469 $ 26,178,020 $ 388,178,004

b. Liabilities at fair value

Derivative liabilities

Interest rate swaps $ — $ 142,502,503 $ — $ 142,502,503

Total derivative liabilities — 142,502,503 — 142,502,503

Total liabilities at fair value $ — $ 142,502,503 $ — $ 142,502,503



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 $ — $ 1,481,194 $ — $ 1,481,194

Total bonds — 1,481,194 — 1,481,194

Common stocks

Industrial and miscellaneous — — 25,827,020 25,827,020

Total common stocks — — 25,827,020 25,827,020

Derivative assets

Interest rate swaps — 359,341,976 — 359,341,976


Foreign currency swaps — 3,813,469 — 3,813,469

Total derivatives — 363,423,653 — 363,423,653

Separate account assets 5,709,441 — — 5,709,441

Total assets at fair value $ 5,709,441 $ 364,904,847 $ 25,827,020 $ 396,441,308

b. Liabilities at fair value

Derivative liabilities

Interest rate swaps $ — $ 145,831,762 $ — $ 145,831,762


Total derivative liabilities — 145,891,412 — 145,891,412

Total liabilities at fair value $ — $ 145,891,412 $ — $ 145,891,412

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:

Description

Beginning balance as of July 1,

2017

Transfers into Level

3

Transfers out of

Level 3

Total gains and (losses) included in net income

(loss)

Total gains and (losses) included in

surplus Purchases Issuances Sales Settlements

Ending balance as of

September 30, 2017

Assets:

Common stocks $ 26,178,020 $ — $ — $ — $ — $ — $ — $ — $ — $ 26,178,020

Total Assets $ 26,178,020 $ — $ — $ — $ — $ — $ — $ — $ — $ 26,178,020

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

Beginningbalance as

of January 1,2016

Transfers into Level

3 (a)

Transfers out of

Level 3 (b)

Total gains and (losses) included in net income

(loss)

Total gains and (losses) included in

surplus Purchases Issuances Sales Settlements

Endingbalance as of

December31, 2016

Assets:

Loan-Backed and Structured Securities (NAIC 3-6)

Other asset-backed $ — $ 1,533,254 $ (1,533,254) $ — $ — $ — $ — $ — $ — $ —

Common stocks 19,333,932 — — — 188 10,685,800 — (4,192,900) — 25,827,020

Total Assets $ 19,333,932 $ 1,533,254 $ (1,533,254) $ — $ 188 $ 10,685,800 $ — $ (4,192,900) $ — $ 25,827,020

(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.

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 year. 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.

3. 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.



7. 8

4. 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.

For index tranche credit default swaps, an income approach is used that utilizes current market information related to credit spreads and expected defaults and losses associated with the reference entities that comprise the respective index associated with each derivative. There are significant unobservable inputs associated with the timing and amount of losses from the reference entities as well as the timing or amount of losses, if any, that will be absorbed by the Company’s tranche. Accordingly, the index tranche credit default swaps are classified as Level 3.

The valuation of bond purchase commitments is determined using an income approach. The primary input into the valuation represents the current bond prices and interest rates, which are generally considered an observable input, and results in the derivative being classified as Level 2.

The valuation of cross currency swaps is determined using an income approach. The primary inputs into the valuation represent the forward interest rate swap curve and foreign currency exchange rates, both of which are considered an observable input, 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.

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 instrumentAggregate fair

valueAdmitted

assets Level 1 Level 2 Level 3

Not practicable (Carrying

value)

Bonds $ 33,653,032,855 $30,573,321,760 $ — $30,995,267,941 $ 2,657,764,914 $ —

Preferred and common stocks 231,076,369 214,446,614 58,998,450 145,019,899 27,058,020 —

Mortgage loans 4,029,732,408 3,864,465,329 — — 4,029,732,408 —

Other invested assets 223,414,336 188,775,436 — 223,414,336 — —

Short-term investments 631,444,618 631,444,618 552,086,972 79,357,646 — —

Reinvested security lending collateral 101,161,126 101,161,126 — 101,161,126 — —

Separate account assets 15,659,066 15,177,156 12,537,080 3,121,986 — —

Derivative assets 334,640,966 334,376,706 — 334,640,966 — —

Derivative liabilities 190,502,547 — — 190,502,547 — —



7. 9

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 instrumentAggregate fair

valueAdmitted

assets Level 1 Level 2 Level 3

Not practicable (Carrying

value)

Bonds $ 32,655,494,978 $30,395,471,092 $ — $29,872,345,515 $ 2,783,149,463 $ —

Preferred and common stocks 224,656,296 212,799,610 64,620,301 133,328,975 26,707,020 —

Mortgage loans 3,873,837,360 3,800,864,776 — — 3,873,837,360 —

Other invested assets 214,265,941 189,362,467 — 214,265,941 — —

Short-term investments 535,815,751 535,815,751 529,812,989 6,002,762 — —

Reinvested security lending collateral 345,044,404 345,053,524 — 345,044,404 — —

Separate account assets 15,284,718 14,841,942 12,106,775 3,177,943 — —

Derivative assets 363,502,752 363,423,652 — 363,502,752 — —

Derivative liabilities 306,336,611 — — 306,336,611 — —

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

Note 21 - Other Items

C. Other Disclosures

On March 10, 2017, Moody’s Investor Service, Inc. ("Moody's") downgraded the financial strength rating of the Company from Ba2 to Ba3.

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 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 State Corporation Commission Bureau of Insurance, 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 downgraded the financial strength rating of the Company from Ba3 to B2.

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. 10

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 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 GLAIC and all LTCI business under the Company. As part of this strategic objective, a holding company will pursue the purchase of GLAIC from the Company at fair value and GLAIC will no longer be a subsidiary of the Company. 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 ceded certain term life insurance business to GLAIC with an initial premium of $68,891,833 and received a ceding commission of $48,600,000 from GLAIC. For the net settlement, the Company transferred bonds of $7,666,806, mortgage loans of $8,193,121 and cash of $4,431,906 to GLAIC. Reserves ceded as of September 30, 2017 were $70,186,171.

Effective April 1, 2017, the Company ceded certain universal life insurance business to GLAIC with an initial premium of $101,041,111 and received a ceding commission of $4,900,000 from GLAIC. For the net settlement, the Company transferred bonds of $79,789,704, mortgage loans of $14,415,946 and cash of $249,241 to GLAIC resulting in a deferred gain of $1,686,220. Reserves ceded as of September 30, 2017 were $103,006,027.

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

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

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

Effective July 1, 2017, the Company ceded certain corporate-owned life insurance business to GLAIC on a modified coinsurance basis. The Company ceded $1,523,119,871 of modified coinsurance reserves and received a ceding commission of $46,300,000 from GLAIC. Modified coinsurance reserves ceded 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.

Note 25 - Change in Incurred Losses and Loss Adjustment Expenses

Reserves as of December 31, 2016 were $5,555,374,074 for the Company's accident and health insurance line of business. As of September 30, 2017, $1,138,535,477 has been paid for incurred claims and claim adjustment expenses attributable to insured events of prior years. Reserves remaining for prior years are now $4,321,934,175 as of September 30, 2017. Therefore, there has been $94,904,422 of favorable prior year development from December 31, 2016 to September 30, 2017.

The net interest accumulated on reserves less claims and expenses attributable to insured events of prior years is $130,885,291. Therefore, there has been $225,789,713 of favorable prior year development from December 31, 2016 to September 30, 2017, primarily related to an increase in claim terminations. Also, during the second quarter of 2017, the Company recorded a favorable correction related to recorded initial claim dates, which resulted in a $33,225,868 decrease in claim and claim expense reserves related to the prior year, as disclosed in Note 2. 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




7. 11

Note 30 - Premium Deficiency Reserves


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). 06/16/2016

6.4 By what department or departments?

Delaware

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 [ X ] No [ ]10.2 If yes, indicate any amounts receivable from parent included in the Page 2 amount: $ 32,110

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: $ 44,655,685 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 $ 200,000,000 $ 200,000,000 14.22 Preferred Stock $ 0 $ 14.23 Common Stock $ 1,802,627,302 $ 1,896,766,296 14.24 Short-Term Investments $ 0 $ 14.25 Mortgage Loans on Real Estate $ 0 $ 14.26 All Other $ 44,799,937 $ 34,777,609 14.27 Total Investment in Parent, Subsidiaries and Affiliates (Subtotal Lines 14.21 to 14.26) $ 2,047,427,239 $ 2,131,543,905 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. $ 101,161,126

16.2 Total book adjusted/carrying value of reinvested collateral assets reported on Schedule DL, Parts 1 and 2 $ 101,161,126

16.3 Total payable for securities lending reported on the liability page. $ 101,161,126

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 Pittsburgh 601 Grant Street

Pittsburgh, PA 15219-4455

Deutsche Bank 60 Wall Street, 27th Floor

New York, NY 10005

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

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 $ 3,864,465,329

1.14 Total Mortgages in Good Standing $ 3,864,465,329

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) $ 3,864,465,329

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 141.900 %

2.2 A&H cost containment percent 0.000 %

2.3 A&H expense percent excluding cost containment expenses 19.800 %

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 $

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 $

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

65536 54-0283385 07/01/2017 Genworth Life and Annuity Insurance Company VA AMCO/I Authorized

65536 54-0283385 07/01/2017 Genworth Life and Annuity Insurance Company VA MCO/I Authorized

65536 54-0283385 04/01/2017 Genworth Life and Annuity Insurance Company VA CO/I Authorized



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 2,929,804 80,000 22,625,060 0 25,634,864 0

2. Alaska AK L 323,792 0 2,800,822 0 3,124,614 0

3. Arizona AZ L 3,782,488 49,247 34,814,668 0 38,646,403 0

4. Arkansas AR L 1,683,903 0 11,444,586 0 13,128,489 0

5. California CA L 27,256,220 418,975 219,270,470 0 246,945,665 0

6. Colorado CO L 4,116,104 13,680 41,289,697 0 45,419,481 0

7. Connecticut CT L 4,990,121 333,636 44,000,228 0 49,323,985 0

8. Delaware DE L 1,198,993 900 7,872,022 0 9,071,915 0

9. District of Columbia DC L 364,374 21,158 5,278,022 0 5,663,554 0

10. Florida FL L 18,051,225 1,353,275 106,567,298 0 125,971,798 0

11. Georgia GA L 8,441,053 96,469 51,778,803 0 60,316,325 0

12. Hawaii HI L 1,410,415 68,176 10,577,433 0 12,056,024 0

13. Idaho ID L 1,031,388 3,700 6,841,150 0 7,876,238 0

14. Illinois IL L 10,580,426 422,631 70,200,995 0 81,204,052 0

15. Indiana IN L 3,263,917 63,651 36,131,133 0 39,458,701 0

16. Iowa IA L 1,965,837 0 23,659,819 0 25,625,656 0

17. Kansas KS L 1,769,170 1,350 17,304,466 0 19,074,986 0

18. Kentucky KY L 2,223,802 11,426 22,799,005 0 25,034,233 0

19. Louisiana LA L 2,098,072 209,609 14,235,063 0 16,542,744 0

20. Maine ME L 706,966 122 10,122,702 0 10,829,790 0

21. Maryland MD L 4,861,900 28,947 52,046,884 0 56,937,731 0

22. Massachusetts MA L 5,152,076 38,669 55,539,133 0 60,729,878 0

23. Michigan MI L 7,724,827 181,377 41,148,679 0 49,054,883 0

24. Minnesota MN L 7,686,496 14,211 46,100,118 0 53,800,825 0

25. Mississippi MS L 1,930,596 3,240 8,290,325 0 10,224,161 0

26. Missouri MO L 4,157,263 46,628 36,007,713 0 40,211,604 0

27. Montana MT L 499,654 0 4,646,012 0 5,145,666 0

28. Nebraska NE L 1,647,072 14,500 20,978,239 0 22,639,811 0

29. Nevada NV L 1,632,935 10,075 10,858,267 0 12,501,277 0

30. New Hampshire NH L 1,066,920 450,000 10,499,630 0 12,016,550 0

31. New Jersey NJ L 7,001,893 71,990 72,669,437 0 79,743,320 0

32. New Mexico NM L 865,861 0 9,404,833 0 10,270,694 0

33. New York NY N 5,571,902 8,300 5,366,849 0 10,947,051 0

34. North Carolina NC L 11,546,009 34,196 64,077,924 0 75,658,129 0

35. North Dakota ND L 753,425 0 4,716,260 0 5,469,685 0

36. Ohio OH L 7,247,270 277,123 66,405,568 0 73,929,961 0

37. Oklahoma OK L 2,011,969 0 14,173,646 0 16,185,615 0

38. Oregon OR L 1,849,784 115,853 21,401,715 0 23,367,352 0

39. Pennsylvania PA L 11,231,055 108,013 87,518,105 0 98,857,173 0

40. Rhode Island RI L 931,045 8,261 7,186,371 0 8,125,677 0

41. South Carolina SC L 4,068,564 389,592 34,363,552 0 38,821,708 0

42. South Dakota SD L 1,143,331 900 8,829,697 0 9,973,928 0

43. Tennessee TN L 5,277,978 51,216 37,568,155 0 42,897,349 0

44. Texas TX L 14,391,690 595,848 110,574,338 0 125,561,876 0

45. Utah UT L 1,939,527 0 6,644,232 0 8,583,759 0

46. Vermont VT L 611,221 0 5,936,739 0 6,547,960 0

47. Virginia VA L 8,832,797 109,221 78,560,808 0 87,502,826 0

48. Washington WA L 4,114,413 125,723 48,219,177 0 52,459,313 0

49. West Virginia WV L 800,349 19,225 5,561,448 0 6,381,022 0

50. Wisconsin WI L 4,286,844 1 29,808,454 0 34,095,299 0

51. Wyoming WY L 359,426 0 3,905,100 0 4,264,526 0

52. American Samoa AS N 3,277 0 0 0 3,277 0

53. Guam GU N 3,816 0 0 0 3,816 0

54. Puerto Rico PR L 12,214 0 1,720 0 13,934 0

55. U.S. Virgin Islands VI L 6,201 0 5,137 0 11,338 0

56. Northern Mariana Islands MP N 0

57. Canada CAN N 6,864 0 0 0 6,864 0

58. Aggregate Other Aliens OT XXX 0 0 0 0 0 0

59. Subtotal (a) 52 229,416,534 5,851,114 1,768,627,707 0 2,003,895,355 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 26,100 0 87,145,613 0 87,171,713 0

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

95. Totals (Direct Business) XXX 229,442,634 5,851,114 1,855,773,320 0 2,091,067,068 0

96. Plus Reinsurance Assumed XXX 115,877,367 0 201,013,328 0 316,890,695 0

97 Totals (All Business) XXX 345,320,001 5,851,114 2,056,786,648 0 2,407,957,763 0

98. Less Reinsurance Ceded XXX 2,142,707,414 7,342,270,521 340,035,496 0 9,825,013,431 270,331,144

99. Totals (All Business) less Reinsurance Ceded XXX (1,797,387,413) (7,336,419,407) 1,716,751,152 0 (7,417,055,668) (270,331,144)


58001. XXX 0 0 0 0 0

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 0 0 0 0 0 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 NIAGenworth 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 DS 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 Mortgage 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 DS Genworth Life Insurance Company Ownership 100.000 Genworth Financial, Inc. N 4011 Genworth Financial, Inc. 70025 91-6027719 0001437475 Genworth Life Insurance Company DE RE 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 0001656965 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 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 UDP 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 DS Genworth Life Insurance Company Ownership 100.000 Genworth Financial, Inc. Y

00000 26-3366147 GLIC Real Estate Holding, LLC DE DS 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 NIA


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 IA


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 DS Genworth Life Insurance Company Ownership 100.000 Genworth Financial, Inc. Y

00000 36-3919178 Newco Properties, Inc. VA NIA


Company Ownership 100.000 Genworth Financial, Inc. Y

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



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



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



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



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



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

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



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? NO

Explanation:

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






Bar Code:

1. Trusteed Surplus Statement [Document Identifier 490]

*70025201749000003*2. Medicare Part D Coverage Supplement [Document Identifier 365]

*70025201736500003*3. Reasonableness of Assumptions Certification required by Actuarial Guideline

XXXV [Document Identifier 445] *70025201744500003*5. Reasonableness of Assumptions Certification for Implied Guaranteed Rate

Method required by Actuarial Guideline XXXVI [Document Identifier 447] *70025201744700003*6. Reasonableness and Consistency of Assumptions Certification required by

Actuarial Guideline XXXVI [Document Identifier 448] *70025201744800003*7. Reasonableness and Consistency of Assumptions Certification required by

Actuarial Guideline XXXVI (Updated Market Value) [Document Identifier 449] *70025201744900003*

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. Miscellaneous receivables 20,317,313 1,677,934 18,639,379 9,757,132 2597. Summary of remaining write-ins for Line 25 from overflow page 20,317,313 1,677,934 18,639,379 9,757,132

15


SCHEDULE A - VERIFICATIONReal Estate

1

Year to Date

2Prior Year Ended

December 31

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

2. Cost of acquired:

2.1 Actual cost at time of acquisition

2.2 Additional investment made after acquisition

3. Current year change in encumbrances

4. Total gain (loss) on disposals

5. Deduct amounts received on disposals

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

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

8. Deduct current year’s depreciation

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

10. Deduct total nonadmitted amounts

11. Statement value at end of current period (Line 9 minus Line 10)

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 3,800,864,776 3,707,684,019


2.1 Actual cost at time of acquisition 381,720,792 438,964,940

2.2 Additional investment made after acquisition 101,547 24,005,981

3. Capitalized deferred interest and other 0 0

4. Accrual of discount 88,654 149,677

5. Unrealized valuation increase (decrease) 0 0

6. Total gain (loss) on disposals (276,740) 0

7. Deduct amounts received on disposals 318,030,633 368,225,757

8. Deduct amortization of premium and mortgage interest points and commitment fees 3,067 204,084

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 1,510,000

11. Book value/recorded investment excluding accrued interest at end of current period (Lines 1+2+3+4+5+6-7-8+9-10) 3,864,465,329 3,800,864,776

12. Total valuation allowance 0

13. Subtotal (Line 11 plus Line 12) 3,864,465,329 3,800,864,776

14. Deduct total nonadmitted amounts 0 0

15. Statement value at end of current period (Line 13 minus Line 14) 3,864,465,329 3,800,864,776

SCHEDULE BA - VERIFICATIONOther Long-Term Invested Assets

1

Year to Date

2Prior Year Ended

December 31

1. Book/adjusted carrying value, December 31 of prior year 403,301,105 382,949,679


2.1 Actual cost at time of acquisition 51,403,075 25,762,649

2.2 Additional investment made after acquisition 41,671,288 32,660,319

3. Capitalized deferred interest and other 0 0

4. Accrual of discount 7,063 3,894

5. Unrealized valuation increase (decrease) 9,439,693 1,429,528

6. Total gain (loss) on disposals 1,909,385 7,820,798

7. Deduct amounts received on disposals 40,511,880 41,893,421

8. Deduct amortization of premium and depreciation 1,147,971 1,598,341

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

10. Deduct current year’s other than temporary impairment recognized 7,856,000 3,834,000

11. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5+6-7-8+9-10) 458,215,758 403,301,105

12. Deduct total nonadmitted amounts 15,313,689 13,222,025

13. Statement value at end of current period (Line 11 minus Line 12) 442,902,069 390,079,080

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 32,410,898,004 31,414,270,622

2. Cost of bonds and stocks acquired 3,278,203,971 5,980,026,700

3. Accrual of discount 115,141,828 195,791,267

4. Unrealized valuation increase (decrease) 104,457,090 (190,539,392)

5. Total gain (loss) on disposals 58,134,655 141,815,422

6. Deduct consideration for bonds and stocks disposed of 3,262,283,965 5,085,714,491

7. Deduct amortization of premium 22,083,387 30,114,051

8. Total foreign exchange change in book/adjusted carrying value 2,064,474 4,077,807

9. Deduct current year’s other than temporary impairment recognized 0 18,715,880

10. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9) 32,684,532,670 32,410,898,004

11. Deduct total nonadmitted amounts 22,318 18,220

12. Statement value at end of current period (Line 10 minus Line 11) 32,684,510,352 32,410,879,784

NONE

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) 18,806,780,622 1,768,212,659 1,777,653,554 75,705,593 18,955,574,288 18,806,780,622 18,873,045,320 19,137,933,226

2. NAIC 2 (a) 10,532,429,296 529,254,881 391,627,089 (33,639,998) 10,419,146,488 10,532,429,296 10,636,417,090 10,165,706,622

3. NAIC 3 (a) 1,552,748,350 27,438,472 72,013,414 (34,222,585) 1,562,826,628 1,552,748,350 1,473,950,823 1,395,682,367

4. NAIC 4 (a) 138,705,397 44,238,694 13,955,078 22,555,567 119,452,404 138,705,397 191,544,580 134,113,703

5. NAIC 5 (a) 2,875,018 0 3,139 0 2,881,836 2,875,018 2,871,879 3,799,678

6. NAIC 6 (a) 2,955,801 0 0 (1,156,438) 2,982,406 2,955,801 1,799,363 3,587,417

7. Total Bonds 31,036,494,485 2,369,144,706 2,255,252,274 29,242,139 31,062,864,051 31,036,494,485 31,179,629,056 30,840,823,013

PREFERRED STOCK

8. NAIC 1 0 20,529,877 0 0 20,529,877

9. NAIC 2 185,120,516 0 0 2,327,674 172,843,867 185,120,516 187,448,190 165,617,124

10. NAIC 3 820,843 0 0 (2,439) 823,238 820,843 818,404 825,589

11. NAIC 4 0 0 0 0 0

12. NAIC 5 0 0 0 0 0

13. NAIC 6 0 0 0 0 0

14. Total Preferred Stock 185,941,359 0 0 2,325,235 194,196,982 185,941,359 188,266,594 186,972,590

15. Total Bonds and Preferred Stock 31,222,435,844 2,369,144,706 2,255,252,274 31,567,374 31,257,061,033 31,222,435,844 31,367,895,650 31,027,795,603

(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 $ 606,307,295 ; NAIC 2 $ 0 ; NAIC 3 $ 0 NAIC 4 $ 0 ; NAIC 5 $ 0 ; NAIC 6 $ 0

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 571,535,151 XXX 571,450,850 460,699 74,171

SCHEDULE DA - VERIFICATIONShort-Term Investments

1

Year To Date

2

Prior Year Ended December 31

1. Book/adjusted carrying value, December 31 of prior year 535,815,751 683,919,236

2. Cost of short-term investments acquired 3,546,379,356 7,838,507,072

3. Accrual of discount 116,589 0

4. Unrealized valuation increase (decrease) 0

5. Total gain (loss) on disposals (28,011) 0

6. Deduct consideration received on disposals 3,510,748,534 7,986,547,589

7. Deduct amortization of premium 62,968

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

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

10. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9) 571,535,151 535,815,751

11. Deduct total nonadmitted amounts 0

12. Statement value at end of current period (Line 10 minus Line 11) 571,535,151 535,815,751

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) 217,532,241

2. Cost Paid/(Consideration Received) on additions

3. Unrealized Valuation increase/(decrease) (25,658,038)

4. Total gain (loss) on termination recognized (5,326,000)

5. Considerations received/(paid) on terminations (5,326,000)

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) 191,874,203

10. Deduct nonadmitted assets

11. Statement value at end of current period (Line 9 minus Line 10) 191,874,203

SCHEDULE DB - PART B - VERIFICATIONFutures Contracts

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

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

3.1 Add:

Change in variation margin on open contracts - Highly Effective Hedges

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

3.12 Section 1, Column 15, prior year

Change in variation margin on open contracts - All Other



3.2 Add:

Change in adjustment to basis of hedged item



Change in amount recognized



3.3 Subtotal (Line 3.1 minus Line 3.2)

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

4.3 Subtotal (Line 4.1 minus Line 4.2)

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)


8. Statement value at end of current period (Line 6 minus Line 7)

NONE

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

05523UA*1

BAPLC (BAE System) 10 Yr CDS Sell

Protection for RSAT 1 9,000,000 9,251,592 11,219,317 02/20/2008 03/20/2018 Credit Default Swap 53,647 53,647 136375-AY-8 CANADIAN NATIONAL RAILWAY COMPANY 1FE 9,197,945 11,165,670

136385C*0

CANADIAN NATURAL RESOURCES (CNQCN)

10 YR SELL CDS PROTECTION FOR RSAT 2 5,000,000 2,550,470 3,006,796 07/24/2008 09/20/2018 Credit Default Swap 54,671 54,671 725906-AH-4 PLACER DOME INC. 2FE 2,495,799 2,952,125

2,663,546 3,244,850 07/24/2008 09/20/2018 98458P-AA-3 YALE UNIVERSITY 1FE 2,663,546 3,244,850

44841RA*2

HUWHY (Hutchison Whampoa Ltd.) 10

YR CDS SELL PROTECTION FOR RSAT 1 5,000,000 5,788,272 7,334,865 08/14/2008 09/20/2018 Credit Default Swap 72,465 72,465 931142-BF-9 WAL-MART STORES INC 1FE 5,715,807 7,262,400

292505C@1

ECACN (ENCANA CORP.) 10 YEAR SELL

PROTECTION FOR RSAT 2 5,000,000 2,006,329 2,366,862 08/14/2008 09/20/2018 Credit Default Swap 51,031 51,031 881685-AX-9 TEXACO CAPITAL INC 1FE 1,955,298 2,315,831

3,730,578 4,309,062 08/14/2008 09/20/2018 037411-AK-1 APACHE CORPORATION 2FE 3,730,578 4,309,062

767202A*5

RIO (RIO TINTO LTD.) 10 YEAR SELL

PROTECTION FOR RSAT 2 5,000,000 5,066,623 5,316,623 08/14/2008 09/20/2018 Credit Default Swap 66,623 66,623 346845-AF-7

FORT BENNING FAMILY COMMUNITIES LLC

2FE 5,000,000 5,250,000

9999999 - Totals 31,057,409 36,798,375 XXX XXX XXX 298,437 298,437 XXX XXX XXX 30,758,972 36,499,937

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 5 31,054,473 5 31,070,852 5 31,086,994 5 31,054,473

2. Add: Opened or Acquired Transactions 0 0

3. Add: Increases in Replication (Synthetic Asset) Transactions Statement Value XXX 38,726 XXX 85,001 XXX XXX XXX 123,727

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 22,347 XXX 68,859 XXX 29,588 XXX XXX 120,794

7. Ending Inventory 5 31,070,852 5 31,086,994 5 31,057,406 0 0 5 31,057,406

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 14 191,874,203

2. Part B, Section 1, Column 15 plus Part B, Section 1 Footnote - Total Ending Cash Balance 0

3. Total (Line 1 plus Line 2) 191,874,203

4. Part D, Section 1, Column 5 334,376,706

5. Part D, Section 1, Column 6 (142,502,503)

6. Total (Line 3 minus Line 4 minus Line 5) 0

Fair Value Check


8. Part B, Section 1, Column 13

9. Total (Line 7 plus Line 8) 65,715,157


11. Part D, Section 1, Column 9 (268,925,810)

12 Total (Line 9 minus Line 10 minus Line 11) 1

Potential Exposure Check


14. Part B, Section 1, Column 20


16. Total (Line 13 plus Line 14 minus Line 15) (1)

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 61,897,980

3. Accrual of discount 56,487

4. Unrealized valuation increase (decrease)

5. Total gain (loss) on disposals

6. Deduct consideration received on disposals 2,045,000

7. Deduct amortization of premium

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

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) 59,909,467 0


12. Statement value at end of current period (Line 10 minus Line 11) 59,909,467 0

SI08


Schedule A - Part 2 - Real Estate Acquired and Additions Made

N O N E

Schedule A - Part 3 - Real Estate Disposed

N O N E

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

901001102 Berwyn IL 08/09/2017 4.300 6,350,000 0 9,200,000

901001278 Cary NC 08/31/2017 4.600 2,200,000 0 3,250,000

901001288 Round Lake Beach IL 08/14/2017 4.250 2,100,000 0 3,800,000

901001313 Grand Prairie TX 08/11/2017 4.200 9,200,000 0 14,100,000

901001325 Largo FL 09/26/2017 4.350 2,750,000 0 4,300,000

901001326 Tujunga CA 08/16/2017 4.510 5,500,000 0 13,100,000

901001328 Albuquerque NM 08/30/2017 4.020 7,800,000 0 14,800,000

901001334 Cold Spring KY 07/20/2017 4.540 1,750,000 0 2,790,000

901001335 Thornton CO 09/21/2017 4.110 6,400,000 0 9,800,000

901001337 Crown Point IN 08/14/2017 4.250 4,500,000 0 6,800,000

901001340 Jamestown NC 08/15/2017 4.120 18,500,000 0 31,370,000

901001345 Huntingdon Valley PA 08/29/2017 4.300 1,800,000 0 3,400,000

901001349 Dawsonville GA 08/01/2017 4.260 1,500,000 0 2,175,000

901001350 Commack NY 09/08/2017 5.630 3,120,792 0 18,900,000

901001351 Commack NY 09/08/2017 4.100 3,000,000 0 18,900,000

901001353 Timonium Baltimore Co MD 09/25/2017 4.290 15,300,000 0 21,900,000

901001360 Winston-Salem NC 08/31/2017 4.040 2,800,000 0 5,850,000

901001362 Olive Branch MS 08/31/2017 4.270 5,700,000 0 8,480,000

901001375 Sumner WA 09/13/2017 4.010 15,200,000 0 25,700,000

901001377 Escondido CA 09/28/2017 4.280 3,850,000 0 8,470,000

901001378 Lynchburg VA 09/27/2017 4.440 3,150,000 0 4,700,000

0599999. Mortgages in good standing - Commercial mortgages-all other 122,470,792 0 231,785,000

0899999. Total Mortgages in good standing 122,470,792 0 231,785,000

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 122,470,792 0 231,785,000

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

2724 SEATTLE WA 08/21/1997 08/29/2017 51,091 0 0 0 0 0 0 51,091 51,091 0 0 0

2840 AKRON OH 12/11/2013 09/29/2017 424,716 0 (3,222) 0 0 (3,222) 0 421,494 421,494 0 0 0

2842 AUSTIN TX 09/11/1997 09/21/2017 34,702 0 0 0 0 0 0 34,702 34,702 0 0 0

5140 MILL CREEK WA 04/15/2003 07/31/2017 136,460 0 0 0 0 0 0 136,460 136,460 0 0 0

5401 COMMACK NY 12/11/2003 09/08/2017 3,169,690 0 0 0 0 0 0 3,169,690 3,169,690 0 0 0

5754 ANTIOCH CA 08/30/2005 08/10/2017 7,838,213 0 0 0 0 0 0 7,838,213 7,838,213 0 0 0

6073 NEW YORK NY 04/22/2005 09/06/2017 3,131,367 0 0 0 0 0 0 3,131,367 3,131,367 0 0 0

100000911 SAVANNAH GA 08/24/2007 07/06/2017 7,320,077 0 0 0 0 0 0 7,320,077 7,320,077 0 0 0

100001178 MURFREESBORO TN 09/27/2007 09/05/2017 2,650,485 0 0 0 0 0 0 2,650,485 2,650,485 0 0 0

100001262 FARMINGDALE NY 12/11/2007 08/08/2017 938,999 0 0 0 0 0 0 938,999 938,999 0 0 0

110001201 RANCHO CUCAMONGA CA 02/15/2008 09/05/2017 1,724,925 0 (340) 0 0 (340) 0 1,724,585 1,724,585 0 0 0

110001250 SOLON OH 02/15/2008 08/01/2017 4,515,514 0 6,096 0 0 6,096 0 4,521,610 4,521,610 0 0 0

110001251 INDEPENDENCE OH 02/15/2008 09/29/2017 2,141,833 0 1,231 0 0 1,231 0 2,143,065 2,143,065 0 0 0

110001264 RIVERDALE NJ 02/15/2008 07/28/2017 1,335,247 0 (422) 0 0 (422) 0 1,334,825 1,334,825 0 0 0

901000391 LANSDALE PA 11/16/2012 09/29/2017 1,845,924 0 0 0 0 0 0 1,845,924 1,845,924 0 0 0

901000590 ALEXANDRIA VA 07/25/2013 08/18/2017 13,221,359 0 0 0 0 0 0 13,221,359 13,221,359 0 0 0

901000774 Scottsdale AZ 07/30/2014 08/11/2017 4,650,494 0 0 0 0 0 0 4,650,494 4,650,494 0 0 0

0199999. Mortgages closed by repayment 55,131,096 0 3,344 0 0 3,344 0 55,134,439 55,134,439 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

2839 WILLOUGHBY HILLS OH 11/10/1997 34,448 0 0 0 0 0 0 34,448 34,448 0 0 0

2905 MOUNTAIN VIEW CA 12/08/1997 89,448 0 0 0 0 0 0 89,448 89,448 0 0 0

2938 MIAMI FL 10/22/1998 38,231 0 0 0 0 0 0 38,231 38,231 0 0 0

3034 FAIRFAX VA 06/01/1998 23,447 0 0 0 0 0 0 23,447 23,447 0 0 0

3090 GERMANTOWN TN 08/19/1998 46,841 0 0 0 0 0 0 46,841 46,841 0 0 0

3096 SAN MARCOS TX 06/03/1998 36,036 0 0 0 0 0 0 36,036 36,036 0 0 0

3254 FOOTHILL RANCH CA 12/29/1998 61,862 0 0 0 0 0 0 61,862 61,862 0 0 0

3268 SANTA ANA CA 02/25/1999 26,040 0 0 0 0 0 0 26,040 26,040 0 0 0

3317 NEWARK NJ 02/17/1999 33,136 0 0 0 0 0 0 33,136 33,136 0 0 0

3346 SALINAS CA 03/22/1999 42,764 0 0 0 0 0 0 42,764 42,764 0 0 0

3347 NORTH OLMSTED OH 03/25/1999 27,797 0 0 0 0 0 0 27,797 27,797 0 0 0

3354 LAGUNA HILLS CA 03/29/1999 41,170 0 0 0 0 0 0 41,170 41,170 0 0 0

3406 CAMARILLO CA 04/06/1999 27,635 0 0 0 0 0 0 27,635 27,635 0 0 0

3508 LOUISVILLE KY 09/07/1999 22,029 0 0 0 0 0 0 22,029 22,029 0 0 0

3524 SUN CITY AZ 09/20/1999 31,890 0 0 0 0 0 0 31,890 31,890 0 0 0

3605 CORONA CA 02/28/2000 28,239 0 0 0 0 0 0 28,239 28,239 0 0 0

3647 HENDERSON NV 01/27/2000 47,687 0 0 0 0 0 0 47,687 47,687 0 0 0

3651 RALEIGH NC 12/11/2013 55,349 0 (3,214) 0 0 (3,214) 0 52,134 52,134 0 0 0

3706 DECATUR GA 03/31/2000 80,383 0 0 0 0 0 0 80,383 80,383 0 0 0

3730 JOHNSON CITY TN 06/12/2000 100,588 0 0 0 0 0 0 100,588 100,588 0 0 0

3758 SACRAMENTO CA 05/31/2000 35,684 0 0 0 0 0 0 35,684 35,684 0 0 0

3764 WESTLAKE VILLAGE CA 06/07/2000 44,042 0 0 0 0 0 0 44,042 44,042 0 0 0

3814 PICO RIVERA CA 08/22/2000 34,127 0 0 0 0 0 0 34,127 34,127 0 0 0

3884 SAN MARCOS CA 10/06/2000 19,352 0 0 0 0 0 0 19,352 19,352 0 0 0

3885 SAN MARCOS CA 09/29/2000 13,881 0 0 0 0 0 0 13,881 13,881 0 0 0

4212 SOMERSET NJ 05/04/2001 63,856 0 0 0 0 0 0 63,856 63,856 0 0 0

4225 HOMESTEAD FL 05/03/2001 34,125 0 0 0 0 0 0 34,125 34,125 0 0 0

4232 COMMERCE CITY CO 05/31/2001 23,175 0 0 0 0 0 0 23,175 23,175 0 0 0

4300 SANTA FE SPRINGS CA 10/15/2001 14,713 0 0 0 0 0 0 14,713 14,713 0 0 0

4306 AUSTIN TX 09/05/2001 37,502 0 0 0 0 0 0 37,502 37,502 0 0 0

4311 REDWOOD CITY CA 08/30/2001 62,731 0 0 0 0 0 0 62,731 62,731 0 0 0

4318 COMMERCE CA 10/15/2001 10,403 0 0 0 0 0 0 10,403 10,403 0 0 0

4345 IRVING TX 10/29/2001 26,616 0 0 0 0 0 0 26,616 26,616 0 0 0

4352 CAMARILLO CA 10/11/2001 19,047 0 0 0 0 0 0 19,047 19,047 0 0 0

4353 VENTURA CA 10/18/2001 8,739 0 0 0 0 0 0 8,739 8,739 0 0 0

4381 COLUMBIA SC 11/09/2001 19,027 0 0 0 0 0 0 19,027 19,027 0 0 0

4390 ALTAMONTE SPRINGS FL 10/29/2001 39,326 0 0 0 0 0 0 39,326 39,326 0 0 0

4450 OXNARD CA 04/24/2002 18,957 0 0 0 0 0 0 18,957 18,957 0 0 0

4465 RANCHO CUCAMONGA CA 02/20/2002 30,149 0 0 0 0 0 0 30,149 30,149 0 0 0

4482 DESTIN FL 03/01/2002 83,974 0 0 0 0 0 0 83,974 83,974 0 0 0

4507 TORRANCE CA 03/25/2002 279,168 0 0 0 0 0 0 279,168 279,168 0 0 0

4578 SPOKANE WA 06/04/2002 16,298 0 0 0 0 0 0 16,298 16,298 0 0 0

4597 SEATTLE WA 05/20/2002 17,215 0 0 0 0 0 0 17,215 17,215 0 0 0

4608 CHARLOTTE NC 06/26/2002 106,989 0 0 0 0 0 0 106,989 106,989 0 0 0

4623 PHOENIX AZ 07/26/2002 26,088 0 0 0 0 0 0 26,088 26,088 0 0 0

4677 EWING NJ 07/22/2002 66,079 0 0 0 0 0 0 66,079 66,079 0 0 0

4691 FLOYDS KNOBS IN 11/22/2002 26,597 0 0 0 0 0 0 26,597 26,597 0 0 0

4692 FLOYDS KNOBS IN 11/22/2002 14,085 0 0 0 0 0 0 14,085 14,085 0 0 0

4693 LAS VEGAS NV 08/07/2002 29,178 0 0 0 0 0 0 29,178 29,178 0 0 0

4708 BOYNTON BEACH FL 09/13/2002 22,349 0 0 0 0 0 0 22,349 22,349 0 0 0

4734 HENDERSON NV 09/25/2002 104,461 0 0 0 0 0 0 104,461 104,461 0 0 0

4804 ANAHEIM CA 11/07/2002 17,592 0 0 0 0 0 0 17,592 17,592 0 0 0

4812 SAN MATEO CA 11/04/2002 4,837 0 0 0 0 0 0 4,837 4,837 0 0 0

4822 FOREST PARK GA 10/31/2002 52,264 0 0 0 0 0 0 52,264 52,264 0 0 0

4832 CAMARILLO CA 10/18/2002 22,960 0 0 0 0 0 0 22,960 22,960 0 0 0

4834 SAN JOSE CA 11/01/2002 22,211 0 0 0 0 0 0 22,211 22,211 0 0 0

5064 MOUNTAIN VIEW CA 02/27/2003 16,088 0 0 0 0 0 0 16,088 16,088 0 0 0

5124 EMERYVILLE CA 05/20/2003 8,954 0 0 0 0 0 0 8,954 8,954 0 0 0

5255 CORONA CA 05/16/2003 25,253 0 0 0 0 0 0 25,253 25,253 0 0 0

5304 HIRAM GA 07/09/2003 37,210 0 0 0 0 0 0 37,210 37,210 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

5308 GOLETA CA 08/08/2003 54,154 0 0 0 0 0 0 54,154 54,154 0 0 0

5379 LAKELAND TN 08/20/2003 24,461 0 0 0 0 0 0 24,461 24,461 0 0 0

5396 VANCOUVER WA 09/25/2003 39,813 0 0 0 0 0 0 39,813 39,813 0 0 0

5402 MUSKEGON MI 10/07/2003 43,850 0 0 0 0 0 0 43,850 43,850 0 0 0

5421 SALT LAKE CITY UT 09/12/2003 23,905 0 0 0 0 0 0 23,905 23,905 0 0 0

5431 ROCKVILLE MD 10/28/2003 131,309 0 0 0 0 0 0 131,309 131,309 0 0 0

5448 DANVILLE CA 09/19/2003 16,299 0 0 0 0 0 0 16,299 16,299 0 0 0

5510 TUSTIN CA 11/13/2003 46,171 0 0 0 0 0 0 46,171 46,171 0 0 0

5515 FARMINGDALE NY 11/13/2003 23,540 0 0 0 0 0 0 23,540 23,540 0 0 0

5543 EL CERRITO CA 12/17/2003 43,834 0 0 0 0 0 0 43,834 43,834 0 0 0

5553 APPLE VALLEY MN 12/18/2003 27,336 0 0 0 0 0 0 27,336 27,336 0 0 0

5566 PALMETTO BAY FL 03/02/2004 10,681 0 0 0 0 0 0 10,681 10,681 0 0 0

5573 NEW YORK NY 02/24/2004 48,122 0 0 0 0 0 0 48,122 48,122 0 0 0

5579 SAN RAFAEL CA 01/20/2004 21,829 0 0 0 0 0 0 21,829 21,829 0 0 0

5604 BOHEMIA NY 03/03/2004 25,278 0 0 0 0 0 0 25,278 25,278 0 0 0

5605 BETHPAGE NY 02/23/2004 106,657 0 0 0 0 0 0 106,657 106,657 0 0 0

5622 NEWNAN GA 02/13/2004 31,683 0 0 0 0 0 0 31,683 31,683 0 0 0

5638 SACRAMENTO CA 02/27/2004 9,421 0 0 0 0 0 0 9,421 9,421 0 0 0

5645 FRAZER PA 10/14/2004 54,735 0 0 0 0 0 0 54,735 54,735 0 0 0

5676 SEATTLE WA 04/08/2004 23,429 0 0 0 0 0 0 23,429 23,429 0 0 0

5678 WEST PALM BEACH FL 04/12/2004 28,614 0 0 0 0 0 0 28,614 28,614 0 0 0

5691 STAMFORD CT 07/06/2004 126,336 0 0 0 0 0 0 126,336 126,336 0 0 0

5696 LAS VEGAS NV 05/12/2004 23,437 0 0 0 0 0 0 23,437 23,437 0 0 0

5701 SANTA CLARITA CA 06/09/2004 23,621 0 0 0 0 0 0 23,621 23,621 0 0 0

5706 TAYLORSVILLE UT 05/21/2004 12,758 0 0 0 0 0 0 12,758 12,758 0 0 0

5720 KNOXVILLE TN 06/29/2004 42,686 0 0 0 0 0 0 42,686 42,686 0 0 0

5723 MCMURRAY PA 11/19/2004 61,449 0 0 0 0 0 0 61,449 61,449 0 0 0

5727 WINTER HAVEN FL 06/04/2004 20,878 0 0 0 0 0 0 20,878 20,878 0 0 0

5732 LAKEWOOD WA 04/05/2005 24,886 0 0 0 0 0 0 24,886 24,886 0 0 0

5735 INGLEWOOD CA 06/25/2004 10,935 0 0 0 0 0 0 10,935 10,935 0 0 0

5736 INGLEWOOD CA 06/25/2004 10,134 0 0 0 0 0 0 10,134 10,134 0 0 0

5737 INGLEWOOD CA 06/25/2004 15,256 0 0 0 0 0 0 15,256 15,256 0 0 0

5738 INGLEWOOD CA 06/25/2004 10,640 0 0 0 0 0 0 10,640 10,640 0 0 0

5756 ELK GROVE CA 01/04/2006 28,562 0 0 0 0 0 0 28,562 28,562 0 0 0

5774 MELVILLE NY 08/19/2005 182,352 0 0 0 0 0 0 182,352 182,352 0 0 0

5776 CARLSBAD CA 09/10/2004 69,925 0 0 0 0 0 0 69,925 69,925 0 0 0

5802 NORTHPORT NY 07/20/2004 42,077 0 0 0 0 0 0 42,077 42,077 0 0 0

5851 SAVANNAH GA 07/15/2005 194,091 0 0 0 0 0 0 194,091 194,091 0 0 0

5852 STOCKTON CA 09/30/2004 25,534 0 0 0 0 0 0 25,534 25,534 0 0 0

5853 SALT LAKE CITY UT 08/17/2004 8,329 0 0 0 0 0 0 8,329 8,329 0 0 0

5858 ONTARIO CA 12/10/2004 19,718 0 0 0 0 0 0 19,718 19,718 0 0 0

5880 PORT ORANGE FL 09/28/2004 22,972 0 0 0 0 0 0 22,972 22,972 0 0 0

5887 JACKSONVILLE FL 10/18/2004 54,613 0 0 0 0 0 0 54,613 54,613 0 0 0

5892 CORONA CA 09/24/2004 66,169 0 0 0 0 0 0 66,169 66,169 0 0 0

5899 BEAVERTON OR 03/01/2005 36,637 0 0 0 0 0 0 36,637 36,637 0 0 0

5907 ALPHARETTA GA 10/21/2004 20,778 0 0 0 0 0 0 20,778 20,778 0 0 0

5909 DAYTON OH 11/24/2004 60,945 0 0 0 0 0 0 60,945 60,945 0 0 0

5911 SAN JOSE CA 01/30/2006 94,083 0 0 0 0 0 0 94,083 94,083 0 0 0

5915 CANANDAIGUA NY 11/18/2004 23,140 0 0 0 0 0 0 23,140 23,140 0 0 0

5916 VISALIA CA 11/04/2004 19,315 0 0 0 0 0 0 19,315 19,315 0 0 0

5927 NORTH LAS VEGAS NV 11/11/2004 28,915 0 0 0 0 0 0 28,915 28,915 0 0 0

5941 MACEDONIA OH 12/27/2004 29,854 0 0 0 0 0 0 29,854 29,854 0 0 0

5942 UPLAND CA 11/15/2005 320,887 0 0 0 0 0 0 320,887 320,887 0 0 0

5970 ALPHARETTA GA 12/22/2004 22,832 0 0 0 0 0 0 22,832 22,832 0 0 0

5978 MILLINGTON TN 01/13/2005 34,040 0 0 0 0 0 0 34,040 34,040 0 0 0

5982 WOODBURY MN 12/27/2004 125,039 0 0 0 0 0 0 125,039 125,039 0 0 0

5988 LOS ANGELES CA 04/25/2005 68,015 0 0 0 0 0 0 68,015 68,015 0 0 0

5993 CARLSBAD CA 12/21/2004 25,451 0 0 0 0 0 0 25,451 25,451 0 0 0

6002 CHESAPEAKE VA 02/15/2005 8,081 0 0 0 0 0 0 8,081 8,081 0 0 0

6004 INCLINE VILLAGE NV 02/09/2005 33,262 0 0 0 0 0 0 33,262 33,262 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

6007 HORN LAKE MS 01/26/2005 20,447 0 0 0 0 0 0 20,447 20,447 0 0 0

6014 SACRAMENTO CA 07/26/2005 9,745 0 0 0 0 0 0 9,745 9,745 0 0 0

6029 READING PA 01/09/2006 96,462 0 0 0 0 0 0 96,462 96,462 0 0 0

6034 SPRINGFIELD OR 02/22/2005 67,818 0 0 0 0 0 0 67,818 67,818 0 0 0

6038 LIVINGSTON NJ 02/25/2005 18,329 0 0 0 0 0 0 18,329 18,329 0 0 0

6059 NORFOLK VA 12/16/2005 27,221 0 0 0 0 0 0 27,221 27,221 0 0 0

6061 NEWTOWN PA 03/16/2005 94,431 0 0 0 0 0 0 94,431 94,431 0 0 0

6063 CLACKAMAS OR 05/03/2005 81,350 0 0 0 0 0 0 81,350 81,350 0 0 0

6066 SOUTHAVEN MS 05/17/2005 86,985 0 0 0 0 0 0 86,985 86,985 0 0 0

6075 CORONA CA 06/03/2005 28,723 0 0 0 0 0 0 28,723 28,723 0 0 0

6077 TEQUESTA FL 04/20/2005 39,661 0 0 0 0 0 0 39,661 39,661 0 0 0

6079 KENNESAW GA 05/16/2005 63,520 0 0 0 0 0 0 63,520 63,520 0 0 0

6083 SALT LAKE CITY UT 04/13/2005 24,837 0 0 0 0 0 0 24,837 24,837 0 0 0

6088 LINCOLN NE 04/18/2005 80,172 0 0 0 0 0 0 80,172 80,172 0 0 0

6094 MERRIAM KS 04/19/2005 45,540 0 0 0 0 0 0 45,540 45,540 0 0 0

6107 SHREVEPORT LA 12/05/2005 175,899 0 0 0 0 0 0 175,899 175,899 0 0 0

6115 BRENTWOOD MD 06/27/2005 79,839 0 0 0 0 0 0 79,839 79,839 0 0 0

6128 LINCOLN NE 10/02/2006 28,424 0 0 0 0 0 0 28,424 28,424 0 0 0

6132 SUWANEE GA 05/02/2005 137,551 0 0 0 0 0 0 137,551 137,551 0 0 0

6147 LAUREL MD 06/01/2005 45,225 0 0 0 0 0 0 45,225 45,225 0 0 0

6151 ROCKVILLE MD 05/18/2005 58,684 0 0 0 0 0 0 58,684 58,684 0 0 0

6153 SILVER SPRINGS MD 05/16/2005 22,752 0 0 0 0 0 0 22,752 22,752 0 0 0

6155 BELTSVILLE MD 05/16/2005 45,359 0 0 0 0 0 0 45,359 45,359 0 0 0

6168 ANAHEIM CA 05/12/2005 18,152 0 0 0 0 0 0 18,152 18,152 0 0 0

6173 OMAHA NE 05/16/2005 29,300 0 0 0 0 0 0 29,300 29,300 0 0 0

6178 OMAHA NE 05/19/2005 36,870 0 0 0 0 0 0 36,870 36,870 0 0 0

6190 MANHEIM TOWNSHIP PA 09/07/2007 45,591 0 409 0 0 409 0 46,000 46,000 0 0 0

6197 VICTORVILLE CA 09/28/2005 20,107 0 0 0 0 0 0 20,107 20,107 0 0 0

6203 LACEY WA 06/29/2006 29,404 0 0 0 0 0 0 29,404 29,404 0 0 0

6211 HARRISON TOWNSHIP MI 08/01/2005 78,444 0 0 0 0 0 0 78,444 78,444 0 0 0

6215 FREDERICK MD 08/03/2005 69,504 0 0 0 0 0 0 69,504 69,504 0 0 0

6220 CHARLOTTE NC 06/16/2005 30,742 0 0 0 0 0 0 30,742 30,742 0 0 0

6232 VALENCIA CA 07/22/2005 17,909 0 0 0 0 0 0 17,909 17,909 0 0 0

6255 ENGLEWOOD CO 06/23/2005 46,644 0 0 0 0 0 0 46,644 46,644 0 0 0

6271 ANN ARBOR MI 07/21/2005 24,526 0 0 0 0 0 0 24,526 24,526 0 0 0

6280 LAWRENCEVILLE GA 07/13/2005 108,880 0 0 0 0 0 0 108,880 108,880 0 0 0

6287 CINCINNATI OH 08/10/2005 13,218 0 0 0 0 0 0 13,218 13,218 0 0 0

6290 STERLING VA 06/23/2005 18,543 0 0 0 0 0 0 18,543 18,543 0 0 0

6316 PORT WENTWORTH GA 03/09/2006 82,882 0 0 0 0 0 0 82,882 82,882 0 0 0

6317 SAVANNAH GA 03/09/2006 50,369 0 0 0 0 0 0 50,369 50,369 0 0 0

6327 SEATTLE WA 07/29/2005 66,351 0 0 0 0 0 0 66,351 66,351 0 0 0

6329 KEIZER OR 07/26/2005 18,647 0 0 0 0 0 0 18,647 18,647 0 0 0

6332 STUDIO CITY CA 07/19/2005 32,962 0 0 0 0 0 0 32,962 32,962 0 0 0

6336 LEXINGTON KY 08/15/2005 39,394 0 0 0 0 0 0 39,394 39,394 0 0 0

6348 BEDFORD NH 08/26/2005 24,697 0 0 0 0 0 0 24,697 24,697 0 0 0

6357 KENNESAW GA 08/30/2005 125,048 0 0 0 0 0 0 125,048 125,048 0 0 0

6367 LAS VEGAS NV 11/14/2005 24,522 0 0 0 0 0 0 24,522 24,522 0 0 0

6379 NASHVILLE TN 10/06/2005 33,562 0 0 0 0 0 0 33,562 33,562 0 0 0

6390 BROADVIEW HEIGHTS OH 12/07/2005 30,621 0 0 0 0 0 0 30,621 30,621 0 0 0

6392 SARASOTA FL 09/09/2005 44,788 0 0 0 0 0 0 44,788 44,788 0 0 0


6433 ORANGE PARK FL 11/03/2005 21,658 0 0 0 0 0 0 21,658 21,658 0 0 0

6442 BRIDGEWATER NJ 11/29/2005 58,977 0 0 0 0 0 0 58,977 58,977 0 0 0

6445 SACRAMENTO CA 09/22/2005 214,315 0 0 0 0 0 0 214,315 214,315 0 0 0

6447 RIVERVIEW FL 12/12/2005 13,182 0 0 0 0 0 0 13,182 13,182 0 0 0

6457 PORTLAND OR 01/06/2006 129,787 0 0 0 0 0 0 129,787 129,787 0 0 0

6458 SACRAMENTO CA 09/22/2005 87,862 0 0 0 0 0 0 87,862 87,862 0 0 0

6461 GREENVILLE TN 01/17/2006 35,583 0 0 0 0 0 0 35,583 35,583 0 0 0

6471 CARMICHAEL CA 02/01/2006 65,834 0 0 0 0 0 0 65,834 65,834 0 0 0

6479 PHILADELPHIA PA 05/22/2006 33,980 0 0 0 0 0 0 33,980 33,980 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

6503 MILWAUKIE OR 11/15/2005 62,023 0 0 0 0 0 0 62,023 62,023 0 0 0

6518 BEAVERTON OR 12/12/2005 28,616 0 0 0 0 0 0 28,616 28,616 0 0 0

6521 ITASCA IL 02/02/2006 86,654 0 0 0 0 0 0 86,654 86,654 0 0 0

6525 AKRON OH 11/01/2007 149,232 0 0 0 0 0 0 149,232 149,232 0 0 0

6534 CHANDLER AZ 12/15/2005 12,187 0 0 0 0 0 0 12,187 12,187 0 0 0

6539 AVON IN 02/03/2006 64,005 0 0 0 0 0 0 64,005 64,005 0 0 0

6540 MERCER ISLAND WA 12/22/2005 30,312 0 0 0 0 0 0 30,312 30,312 0 0 0

6545 SEATTLE WA 01/13/2006 27,402 0 0 0 0 0 0 27,402 27,402 0 0 0

6549 HOUSTON TX 01/31/2006 54,358 0 0 0 0 0 0 54,358 54,358 0 0 0

6556 OLYMPIA WA 01/12/2006 75,480 0 0 0 0 0 0 75,480 75,480 0 0 0

6560 LAS VEGAS NV 02/21/2006 141,122 0 0 0 0 0 0 141,122 141,122 0 0 0

6566 FORT MYERS FL 02/08/2006 32,023 0 0 0 0 0 0 32,023 32,023 0 0 0

6567 BOYNTON BEACH FL 02/06/2006 11,015 0 0 0 0 0 0 11,015 11,015 0 0 0

100000100 MYRTLE BEACH SC 03/31/2006 60,256 0 0 0 0 0 0 60,256 60,256 0 0 0

100000170 APPLE VALLEY MN 03/02/2007 69,291 0 0 0 0 0 0 69,291 69,291 0 0 0

100000186 ORLANDO FL 01/31/2006 60,907 0 0 0 0 0 0 60,907 60,907 0 0 0

100000208 LOGAN UT 05/25/2006 25,441 0 0 0 0 0 0 25,441 25,441 0 0 0

100000209 HARLEYSVILLE PA 11/21/2006 100,710 0 0 0 0 0 0 100,710 100,710 0 0 0

100000217 TEMPE AZ 03/27/2006 45,560 0 0 0 0 0 0 45,560 45,560 0 0 0

100000228 BOSTON MA 02/01/2006 163,343 0 0 0 0 0 0 163,343 163,343 0 0 0

100000252 TAYLORSVILLE UT 09/15/2006 31,465 0 0 0 0 0 0 31,465 31,465 0 0 0

100000256 VANCOUVER WA 09/29/2006 35,885 0 0 0 0 0 0 35,885 35,885 0 0 0

100000271 DENVER CO 04/10/2006 16,396 0 0 0 0 0 0 16,396 16,396 0 0 0

100000274 VISTA CA 04/05/2006 32,960 0 0 0 0 0 0 32,960 32,960 0 0 0

100000287 OWOSSO OK 04/13/2006 32,299 0 0 0 0 0 0 32,299 32,299 0 0 0

100000310 ST. LOUIS MO 05/19/2006 108,677 0 0 0 0 0 0 108,677 108,677 0 0 0

100000315 POMONA CA 04/04/2006 33,601 0 0 0 0 0 0 33,601 33,601 0 0 0

100000316 NEWMAN CA 05/22/2006 93,963 0 0 0 0 0 0 93,963 93,963 0 0 0

100000320 RALEIGH NC 04/27/2006 19,764 0 0 0 0 0 0 19,764 19,764 0 0 0

100000329 SOMERVILLE MA 01/11/2008 73,211 0 0 0 0 0 0 73,211 73,211 0 0 0

100000340 JACKSONVILLE FL 04/26/2006 47,909 0 0 0 0 0 0 47,909 47,909 0 0 0

100000360 GRAND FORKS ND 09/06/2006 104,628 0 0 0 0 0 0 104,628 104,628 0 0 0

100000378 KINGWOOD TX 05/26/2006 18,447 0 0 0 0 0 0 18,447 18,447 0 0 0

100000409 LAYTON UT 08/01/2006 91,292 0 0 0 0 0 0 91,292 91,292 0 0 0

100000421 NORCO CA 06/28/2006 29,327 0 0 0 0 0 0 29,327 29,327 0 0 0

100000424 SAVANNAH GA 03/30/2007 56,551 0 0 0 0 0 0 56,551 56,551 0 0 0


100000450 Salt Lake City UT 08/30/2007 145,417 0 0 0 0 0 0 145,417 145,417 0 0 0

100000451 SALT LAKE CITY UT 06/29/2006 58,872 0 0 0 0 0 0 58,872 58,872 0 0 0

100000471 ELGIN IL 06/30/2006 257,527 0 0 0 0 0 0 257,527 257,527 0 0 0

100000517 SPRINGFIELD NJ 07/10/2006 37,253 0 0 0 0 0 0 37,253 37,253 0 0 0

100000527 TACOMA WA 07/31/2007 69,347 0 0 0 0 0 0 69,347 69,347 0 0 0

100000528 CHAPEL HILL NC 05/09/2007 47,326 0 0 0 0 0 0 47,326 47,326 0 0 0

100000534 DEKALB IL 10/31/2007 79,648 0 0 0 0 0 0 79,648 79,648 0 0 0

100000535 MATTHEWS NC 04/17/2008 79,780 0 0 0 0 0 0 79,780 79,780 0 0 0

100000573 PLAINFIELD IN 01/29/2007 125,777 0 0 0 0 0 0 125,777 125,777 0 0 0

100000595 ORLAND HILLS IL 02/28/2007 150,275 0 0 0 0 0 0 150,275 150,275 0 0 0

100000598 EAGAN MN 08/01/2006 64,469 0 0 0 0 0 0 64,469 64,469 0 0 0

100000609 NORTH ATTLEBORO MA 07/29/2008 39,144 0 0 0 0 0 0 39,144 39,144 0 0 0

100000636 KUTZTOWN PA 08/28/2006 48,892 0 0 0 0 0 0 48,892 48,892 0 0 0

100000637 BETHLEHEM PA 09/15/2006 24,328 0 0 0 0 0 0 24,328 24,328 0 0 0

100000638 MOUNT POCONO PA 08/28/2006 24,459 0 0 0 0 0 0 24,459 24,459 0 0 0

100000639 LACEY WA 12/21/2006 87,020 0 0 0 0 0 0 87,020 87,020 0 0 0

100000641 LEAGUE CITY TX 06/18/2007 69,453 0 0 0 0 0 0 69,453 69,453 0 0 0

100000643 NEW YORK NY 10/18/2006 18,349 0 0 0 0 0 0 18,349 18,349 0 0 0

100000659 LAS VEGAS NV 10/03/2006 15,357 0 0 0 0 0 0 15,357 15,357 0 0 0

100000669 JACKSONVILLE FL 11/21/2006 58,632 0 0 0 0 0 0 58,632 58,632 0 0 0

100000678 LOS ANGELES CA 10/26/2006 49,693 0 0 0 0 0 0 49,693 49,693 0 0 0

100000683 LA JOLLA CA 10/02/2006 16,085 0 0 0 0 0 0 16,085 16,085 0 0 0

100000690 HAUPPAUGE NY 11/29/2006 41,553 0 0 0 0 0 0 41,553 41,553 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

100000704 MILLINGTON TN 10/31/2006 40,761 0 0 0 0 0 0 40,761 40,761 0 0 0

100000718 GOODYEAR AZ 10/30/2006 25,618 0 0 0 0 0 0 25,618 25,618 0 0 0

100000721 CHESAPEAKE VA 12/12/2006 15,169 0 0 0 0 0 0 15,169 15,169 0 0 0

100000738 FAIRLESS HILLS PA 01/08/2007 72,612 0 0 0 0 0 0 72,612 72,612 0 0 0

100000747 SPARTANBURG SC 08/21/2007 35,731 0 0 0 0 0 0 35,731 35,731 0 0 0

100000789 SAN JOSE CA 01/30/2007 29,731 0 0 0 0 0 0 29,731 29,731 0 0 0

100000791 FORT SMITH AR 02/09/2007 61,377 0 0 0 0 0 0 61,377 61,377 0 0 0

100000797 PHILADELPHIA PA 10/15/2007 11,496 0 0 0 0 0 0 11,496 11,496 0 0 0

100000802 COLUMBUS OH 03/02/2007 34,113 0 0 0 0 0 0 34,113 34,113 0 0 0

100000841 HOUSTON TX 01/30/2007 27,803 0 0 0 0 0 0 27,803 27,803 0 0 0

100000873 HAYWARD CA 11/29/2007 32,319 0 0 0 0 0 0 32,319 32,319 0 0 0

100000878 LAS VEGAS NV 04/25/2007 42,716 0 0 0 0 0 0 42,716 42,716 0 0 0

100000885 FREMONT CA 01/08/2008 16,939 0 0 0 0 0 0 16,939 16,939 0 0 0

100000887 OAKDALE MN 03/05/2007 49,868 0 0 0 0 0 0 49,868 49,868 0 0 0

100000891 LINCOLN NE 03/15/2007 22,248 0 0 0 0 0 0 22,248 22,248 0 0 0

100000897 SARASOTA FL 03/29/2007 23,544 0 0 0 0 0 0 23,544 23,544 0 0 0

100000905 FREMONT CA 03/04/2008 20,987 0 0 0 0 0 0 20,987 20,987 0 0 0

100000919 CLIFTON NJ 02/01/2007 28,035 0 0 0 0 0 0 28,035 28,035 0 0 0

100000930 SOUTH JORDAN UT 08/23/2007 46,037 0 0 0 0 0 0 46,037 46,037 0 0 0

100000939 BEDFORD NH 02/02/2007 101,754 0 0 0 0 0 0 101,754 101,754 0 0 0

100000940 ORLANDO FL 03/12/2007 62,646 0 0 0 0 0 0 62,646 62,646 0 0 0

100000956 DANVILLE VA 03/06/2007 24,777 0 0 0 0 0 0 24,777 24,777 0 0 0

100000962 FREDERICKSBURG VA 06/08/2007 26,498 0 0 0 0 0 0 26,498 26,498 0 0 0

100000963 CLEMENTON NJ 04/04/2007 15,793 0 0 0 0 0 0 15,793 15,793 0 0 0

100000990 LINCOLN NE 04/11/2007 32,340 0 0 0 0 0 0 32,340 32,340 0 0 0

100000991 ROUND ROCK TX 04/13/2007 47,519 0 0 0 0 0 0 47,519 47,519 0 0 0

100000999 EDISON NJ 03/12/2007 44,125 0 0 0 0 0 0 44,125 44,125 0 0 0

100001015 GOODYEAR AZ 05/24/2007 37,742 0 0 0 0 0 0 37,742 37,742 0 0 0

100001027 MAPLE GROVE MN 08/27/2007 102,020 0 0 0 0 0 0 102,020 102,020 0 0 0

100001040 CARLSBAD CA 05/31/2007 22,987 0 0 0 0 0 0 22,987 22,987 0 0 0

100001068 BOUNTIFUL UT 05/23/2007 28,323 0 0 0 0 0 0 28,323 28,323 0 0 0

100001107 THOUSAND OAKS CA 07/24/2007 21,108 0 0 0 0 0 0 21,108 21,108 0 0 0

100001118 LA VISTA NE 02/15/2008 128,038 0 0 0 0 0 0 128,038 128,038 0 0 0

100001126 AKRON OH 04/15/2008 91,507 0 0 0 0 0 0 91,507 91,507 0 0 0

100001160 ADDISON TX 08/08/2007 251,869 0 0 0 0 0 0 251,869 251,869 0 0 0

100001163 RANCHO CORDOVA CA 07/24/2007 23,186 0 0 0 0 0 0 23,186 23,186 0 0 0

100001184 HENDERSONVILLE TN 07/25/2007 14,528 0 0 0 0 0 0 14,528 14,528 0 0 0

100001185 CENTERVILLE VA 01/31/2008 70,024 0 0 0 0 0 0 70,024 70,024 0 0 0

100001220 NEW CASTLE DE 08/28/2007 23,477 0 0 0 0 0 0 23,477 23,477 0 0 0

100001222 NEW CASTLE DE 08/28/2007 33,900 0 0 0 0 0 0 33,900 33,900 0 0 0

100001297 CARSON CA 10/04/2007 33,402 0 0 0 0 0 0 33,402 33,402 0 0 0

100001311 MIDLOTHIAN VA 10/22/2007 110,245 0 0 0 0 0 0 110,245 110,245 0 0 0

100001350 POOLER GA 08/20/2008 40,409 0 0 0 0 0 0 40,409 40,409 0 0 0

100001352 POOLER GA 08/20/2008 48,769 0 0 0 0 0 0 48,769 48,769 0 0 0

100001358 LAS VEGAS NV 10/31/2007 8,310 0 0 0 0 0 0 8,310 8,310 0 0 0

100001362 CLEMSON SC 06/26/2008 41,458 0 0 0 0 0 0 41,458 41,458 0 0 0

100001370 FARMERS BRANCH TX 11/14/2007 19,703 0 0 0 0 0 0 19,703 19,703 0 0 0

100001384 EVERETT WA 01/11/2008 17,613 0 0 0 0 0 0 17,613 17,613 0 0 0

100001394 VIRGINIA BEACH VA 12/27/2007 9,549 0 0 0 0 0 0 9,549 9,549 0 0 0

100001421 SCOTTSDALE AZ 12/14/2007 14,338 0 0 0 0 0 0 14,338 14,338 0 0 0

100001423 MELVILLE NY 01/31/2008 7,642 0 0 0 0 0 0 7,642 7,642 0 0 0

100001425 BILLERICA MA 02/25/2008 29,695 0 0 0 0 0 0 29,695 29,695 0 0 0

100001450 FAIRFAX VA 02/25/2008 23,922 0 0 0 0 0 0 23,922 23,922 0 0 0

110001145 LINDON UT 02/15/2008 5,756 0 (14) 0 0 (14) 0 5,742 5,742 0 0 0

110001154 HOUSTON TX 02/15/2008 39,349 0 0 0 0 0 0 39,349 39,349 0 0 0

110001159 HOUSTON TX 02/15/2008 21,101 0 560 0 0 560 0 21,661 21,661 0 0 0

110001218 CARLSBAD CA 02/15/2008 5,904 0 23 0 0 23 0 5,927 5,927 0 0 0

110001225 YAKIMA WA 02/15/2008 64,235 0 (3,145) 0 0 (3,145) 0 61,090 61,090 0 0 0

110001240 CHICAGO IL 02/15/2008 19,804 0 1,214 0 0 1,214 0 21,018 21,018 0 0 0

110001282 LOUISVILLE KY 02/15/2008 87,629 0 519 0 0 519 0 88,147 88,147 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

110001309 JAMAICA NY 02/15/2008 37,214 0 1,737 0 0 1,737 0 38,950 38,950 0 0 0

110001315 HOUSTON TX 02/15/2008 84,116 0 4,771 0 0 4,771 0 88,886 88,886 0 0 0

110001319 DULUTH GA 02/15/2008 65,956 0 334 0 0 334 0 66,290 66,290 0 0 0

300005390 GLENVIEW IL 11/18/2003 158,835 0 0 0 0 0 0 158,835 158,835 0 0 0

300005442 WINSTON SALEM NC 07/28/2003 85,306 0 0 0 0 0 0 85,306 85,306 0 0 0

300005594 BOLINGBROOK IL 12/31/2003 145,418 0 0 0 0 0 0 145,418 145,418 0 0 0

300005917 SMITHTON PA 12/06/2004 232,920 0 0 0 0 0 0 232,920 232,920 0 0 0

900000080 CONCORD NH 09/19/2008 10,778 0 0 0 0 0 0 10,778 10,778 0 0 0

900000081 DEPTFORD NJ 10/14/2008 4,162 0 0 0 0 0 0 4,162 4,162 0 0 0

900000091 CHARLOTTE NC 10/31/2008 42,532 0 0 0 0 0 0 42,532 42,532 0 0 0

901000189 SALT LAKE CITY UT 06/23/2010 19,332 0 0 0 0 0 0 19,332 19,332 0 0 0

901000192 FAIRFAX VA 06/11/2010 35,931 0 0 0 0 0 0 35,931 35,931 0 0 0

901000193 SIMI VALLEY CA 08/12/2010 21,137 0 0 0 0 0 0 21,137 21,137 0 0 0

901000200 BETHESDA MD 06/30/2011 419,447 0 0 0 0 0 0 419,447 419,447 0 0 0

901000208 BRIDGEWATER NJ 12/30/2010 20,657 0 0 0 0 0 0 20,657 20,657 0 0 0

901000224 NEW YORK NY 12/28/2010 33,388 0 0 0 0 0 0 33,388 33,388 0 0 0

901000230 LOUISBURG NC 02/07/2011 26,463 0 0 0 0 0 0 26,463 26,463 0 0 0

901000233 MANDEVILLE LA 02/28/2011 90,649 0 0 0 0 0 0 90,649 90,649 0 0 0

901000238 TEWKSBURY MA 04/06/2011 10,233 0 0 0 0 0 0 10,233 10,233 0 0 0

901000239 WALTHAM MA 04/06/2011 7,994 0 0 0 0 0 0 7,994 7,994 0 0 0

901000245 CORTE MADERA CA 03/31/2011 25,656 0 0 0 0 0 0 25,656 25,656 0 0 0

901000246 HOUSTON TX 05/03/2011 87,664 0 0 0 0 0 0 87,664 87,664 0 0 0

901000252 GAITHERSBURG MD 06/29/2011 87,451 0 0 0 0 0 0 87,451 87,451 0 0 0

901000256 SANDY UT 06/29/2011 31,854 0 0 0 0 0 0 31,854 31,854 0 0 0

901000261 PINELLAS PARK FL 06/09/2011 65,013 0 0 0 0 0 0 65,013 65,013 0 0 0

901000267 SALT LAKE CITY UT 06/10/2011 8,242 0 0 0 0 0 0 8,242 8,242 0 0 0

901000269 MIDDLESEX NJ 10/31/2011 10,300 0 0 0 0 0 0 10,300 10,300 0 0 0

901000270 EDISON NJ 10/31/2011 22,532 0 0 0 0 0 0 22,532 22,532 0 0 0

901000280 MIAMI FL 10/13/2011 60,435 0 0 0 0 0 0 60,435 60,435 0 0 0

901000283 PORTLAND OR 09/29/2011 49,093 0 0 0 0 0 0 49,093 49,093 0 0 0

901000287 RICHBORO PA 01/23/2012 16,058 0 0 0 0 0 0 16,058 16,058 0 0 0

901000289 ARCADIA CA 10/17/2011 31,749 0 0 0 0 0 0 31,749 31,749 0 0 0

901000293 SHALLOTTE NC 12/27/2011 51,135 0 0 0 0 0 0 51,135 51,135 0 0 0

901000294 ALTOONA PA 10/19/2011 53,231 0 0 0 0 0 0 53,231 53,231 0 0 0

901000300 LOUISVILLE KY 11/01/2011 16,407 0 0 0 0 0 0 16,407 16,407 0 0 0

901000303 WATCHUNG NJ 01/25/2012 39,985 0 0 0 0 0 0 39,985 39,985 0 0 0

901000308 SAN LUIS OBISPO CA 02/10/2012 20,954 0 0 0 0 0 0 20,954 20,954 0 0 0

901000310 LOS ANGELES CA 12/20/2011 52,674 0 0 0 0 0 0 52,674 52,674 0 0 0

901000318 SAN DIEGO CA 01/05/2012 24,056 0 0 0 0 0 0 24,056 24,056 0 0 0

901000319 CRYSTAL LAKE IL 02/06/2012 51,168 0 0 0 0 0 0 51,168 51,168 0 0 0

901000320 ORLANDO FL 02/15/2012 57,073 0 0 0 0 0 0 57,073 57,073 0 0 0

901000321 CLERMONT FL 02/16/2012 43,929 0 0 0 0 0 0 43,929 43,929 0 0 0

901000326 LAKEWAY TX 03/01/2012 61,467 0 0 0 0 0 0 61,467 61,467 0 0 0

901000328 OMAHA NE 07/05/2012 85,812 0 0 0 0 0 0 85,812 85,812 0 0 0

901000330 SAN JOSE CA 02/27/2012 19,226 0 0 0 0 0 0 19,226 19,226 0 0 0

901000335 SARASOTA FL 03/06/2012 15,333 0 0 0 0 0 0 15,333 15,333 0 0 0

901000336 SANDY UT 12/21/2012 31,511 0 0 0 0 0 0 31,511 31,511 0 0 0

901000338 FREDERICK MD 04/02/2012 36,884 0 0 0 0 0 0 36,884 36,884 0 0 0

901000342 CARY NC 05/11/2012 34,764 0 0 0 0 0 0 34,764 34,764 0 0 0

901000349 WASHINGTON DC 06/07/2012 43,674 0 0 0 0 0 0 43,674 43,674 0 0 0

901000350 WASHINGTON DC 06/07/2012 8,530 0 0 0 0 0 0 8,530 8,530 0 0 0

901000351 EAST RUTHERFORD NJ 07/08/2012 24,813 0 0 0 0 0 0 24,813 24,813 0 0 0

901000354 STROUDSBURG PA 07/12/2012 30,073 0 0 0 0 0 0 30,073 30,073 0 0 0

901000355 MELVILLE NY 05/31/2012 34,932 0 0 0 0 0 0 34,932 34,932 0 0 0

901000359 MOUNTAIN VIEW CA 02/28/2013 47,340 0 0 0 0 0 0 47,340 47,340 0 0 0

901000363 STUDIO CITY CA 06/01/2012 17,108 0 0 0 0 0 0 17,108 17,108 0 0 0

901000372 BRADENTON FL 05/31/2012 71,552 0 0 0 0 0 0 71,552 71,552 0 0 0

901000375 PORTLAND OR 06/19/2012 21,335 0 0 0 0 0 0 21,335 21,335 0 0 0

901000380 PALM BEACH GARDENS FL 11/28/2012 528,562 0 0 0 0 0 0 528,562 528,562 0 0 0

901000382 PALM BEACH GARDENS FL 11/01/2013 56,389 0 0 0 0 0 0 56,389 56,389 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

901000386 ROSEMOUNT MN 08/29/2012 91,234 0 0 0 0 0 0 91,234 91,234 0 0 0

901000388 SALT LAKE CITY UT 10/17/2012 147,519 0 0 0 0 0 0 147,519 147,519 0 0 0

901000392 PORTLAND OR 09/21/2012 56,048 0 0 0 0 0 0 56,048 56,048 0 0 0

901000398 GRAND ISLAND FL 12/12/2012 65,830 0 0 0 0 0 0 65,830 65,830 0 0 0

901000403 LA MIRADA CA 08/01/2012 45,410 0 0 0 0 0 0 45,410 45,410 0 0 0

901000404 RANCHO CUCAMONGA CA 09/04/2012 60,511 0 0 0 0 0 0 60,511 60,511 0 0 0


901000407 BUENA PARK CA 12/07/2012 101,923 0 0 0 0 0 0 101,923 101,923 0 0 0

901000408 PHILADELPHIA PA 10/04/2012 66,364 0 0 0 0 0 0 66,364 66,364 0 0 0

901000428 RICHMOND VA 09/28/2012 54,673 0 0 0 0 0 0 54,673 54,673 0 0 0

901000430 SAN JOSE CA 02/01/2013 159,681 0 0 0 0 0 0 159,681 159,681 0 0 0

901000434 TIGARD OR 10/01/2012 28,736 0 0 0 0 0 0 28,736 28,736 0 0 0

901000435 SANTA BARBARA CA 11/09/2012 24,055 0 0 0 0 0 0 24,055 24,055 0 0 0

901000437 SPRING PARK MN 11/09/2012 22,764 0 0 0 0 0 0 22,764 22,764 0 0 0

901000442 NEW YORK NY 12/26/2012 14,317 0 0 0 0 0 0 14,317 14,317 0 0 0

901000446 MINNEAPOLIS MN 11/27/2012 139,731 0 0 0 0 0 0 139,731 139,731 0 0 0

901000449 BOCA RATON FL 10/31/2012 39,050 0 0 0 0 0 0 39,050 39,050 0 0 0

901000456 SHAWNEE KS 11/07/2012 59,327 0 0 0 0 0 0 59,327 59,327 0 0 0

901000462 HAUPPAUGE NY 12/20/2012 71,444 0 0 0 0 0 0 71,444 71,444 0 0 0

901000464 HOUSTON TX 12/14/2012 219,665 0 0 0 0 0 0 219,665 219,665 0 0 0

901000465 HAUPPAUGE NY 12/20/2012 55,885 0 0 0 0 0 0 55,885 55,885 0 0 0

901000466 HAUPPAUGE NY 12/20/2012 82,592 0 0 0 0 0 0 82,592 82,592 0 0 0

901000467 HAUPPAUGE NY 12/20/2012 63,450 0 0 0 0 0 0 63,450 63,450 0 0 0

901000468 TORRANCE CA 12/17/2012 147,088 0 0 0 0 0 0 147,088 147,088 0 0 0

901000470 OAKLAND CA 11/30/2012 24,261 0 0 0 0 0 0 24,261 24,261 0 0 0

901000472 SALT LAKE CITY UT 12/12/2012 18,389 0 0 0 0 0 0 18,389 18,389 0 0 0

901000477 LARGO FL 01/24/2013 84,749 0 0 0 0 0 0 84,749 84,749 0 0 0

901000480 RALEIGH NC 12/10/2012 22,811 0 0 0 0 0 0 22,811 22,811 0 0 0

901000486 HAINES CITY FL 03/25/2013 73,228 0 0 0 0 0 0 73,228 73,228 0 0 0

901000489 JACKSON HEIGHTS NY 03/08/2013 30,336 0 0 0 0 0 0 30,336 30,336 0 0 0

901000491 SHORT HILLS NJ 02/25/2013 67,583 0 0 0 0 0 0 67,583 67,583 0 0 0

901000496 SAN FRANCISCO CA 02/15/2013 43,481 0 0 0 0 0 0 43,481 43,481 0 0 0

901000497 BLOOMINGTON MN 01/11/2013 137,025 0 0 0 0 0 0 137,025 137,025 0 0 0

901000498 CHANTILLY VA 03/12/2013 29,087 0 0 0 0 0 0 29,087 29,087 0 0 0

901000500 DENVER CO 03/13/2013 22,189 0 0 0 0 0 0 22,189 22,189 0 0 0

901000504 LOGAN UT 02/05/2013 60,112 0 0 0 0 0 0 60,112 60,112 0 0 0

901000505 CHAPEL HILL NC 05/22/2013 38,457 0 0 0 0 0 0 38,457 38,457 0 0 0

901000510 PORTLAND OR 02/14/2013 31,195 0 0 0 0 0 0 31,195 31,195 0 0 0

901000520 NEW YORK NY 09/10/2013 47,444 0 0 0 0 0 0 47,444 47,444 0 0 0

901000522 SAN FRANCISCO CA 03/21/2013 86,873 0 0 0 0 0 0 86,873 86,873 0 0 0

901000523 SPRINGVILLE UT 04/16/2013 10,235 0 0 0 0 0 0 10,235 10,235 0 0 0

901000524 SOUTH PLAINFIELD NJ 07/02/2013 26,295 0 0 0 0 0 0 26,295 26,295 0 0 0

901000526 DENVER CO 03/15/2013 21,282 0 0 0 0 0 0 21,282 21,282 0 0 0

901000536 CARY NC 05/22/2013 51,224 0 0 0 0 0 0 51,224 51,224 0 0 0

901000543 ELMSFORD NY 04/03/2013 104,212 0 0 0 0 0 0 104,212 104,212 0 0 0

901000544 MORRIS PLAINS NJ 04/03/2013 109,277 0 0 0 0 0 0 109,277 109,277 0 0 0

901000545 OREM UT 04/22/2013 84,423 0 0 0 0 0 0 84,423 84,423 0 0 0

901000547 SAN FRANCISCO CA 04/05/2013 50,650 0 0 0 0 0 0 50,650 50,650 0 0 0

901000557 SAN DIEGO CA 04/24/2013 106,215 0 0 0 0 0 0 106,215 106,215 0 0 0

901000564 LOUISVILLE KY 06/28/2013 45,593 0 0 0 0 0 0 45,593 45,593 0 0 0

901000569 PICO RIVERA CA 02/04/2014 67,770 0 0 0 0 0 0 67,770 67,770 0 0 0

901000575 WEST HOLLYWOOD CA 05/30/2013 20,286 0 0 0 0 0 0 20,286 20,286 0 0 0

901000577 HANOVER MD 05/29/2013 94,230 0 0 0 0 0 0 94,230 94,230 0 0 0

901000579 FLORAL PARK NY 05/30/2013 30,748 0 0 0 0 0 0 30,748 30,748 0 0 0

901000581 LINTHICUM MD 07/03/2013 114,882 0 0 0 0 0 0 114,882 114,882 0 0 0

901000586 BOULDER CO 07/08/2013 23,956 0 0 0 0 0 0 23,956 23,956 0 0 0

901000589 FT WORTH TX 07/19/2013 64,146 0 0 0 0 0 0 64,146 64,146 0 0 0

901000591 SCAPPOOSE OR 08/08/2013 24,087 0 0 0 0 0 0 24,087 24,087 0 0 0

901000592 RANCHO DOMINGUEZ CA 07/19/2013 29,999 0 0 0 0 0 0 29,999 29,999 0 0 0

901000593 DENVER CO 07/22/2013 18,081 0 0 0 0 0 0 18,081 18,081 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

901000594 ZEPHYRHILLS FL 07/29/2013 156,368 0 0 0 0 0 0 156,368 156,368 0 0 0

901000601 PHILADELPHIA PA 09/09/2013 64,770 0 0 0 0 0 0 64,770 64,770 0 0 0

901000603 RICHMOND VA 08/05/2013 54,975 0 0 0 0 0 0 54,975 54,975 0 0 0

901000604 HUNTINGTON BEACH CA 08/12/2013 23,325 0 0 0 0 0 0 23,325 23,325 0 0 0

901000606 CRESCENT SPRINGS KY 08/30/2013 40,757 0 0 0 0 0 0 40,757 40,757 0 0 0

901000611 ST LOUIS PARK MN 07/30/2013 23,086 0 0 0 0 0 0 23,086 23,086 0 0 0

901000612 RIVERVIEW FL 09/09/2013 13,057 0 0 0 0 0 0 13,057 13,057 0 0 0

901000614 LEXINGTON SC 07/24/2013 59,621 0 0 0 0 0 0 59,621 59,621 0 0 0

901000617 BURBANK CA 09/19/2013 34,783 0 0 0 0 0 0 34,783 34,783 0 0 0

901000620 LOS ALAMITOS CA 08/07/2013 54,301 0 0 0 0 0 0 54,301 54,301 0 0 0

901000622 STUART FL 10/01/2013 27,983 0 0 0 0 0 0 27,983 27,983 0 0 0

901000624 LOGAN UT 08/30/2013 81,438 0 0 0 0 0 0 81,438 81,438 0 0 0

901000633 SEATTLE WA 09/11/2013 39,421 0 0 0 0 0 0 39,421 39,421 0 0 0

901000638 FEASTERVILLE PA 11/06/2013 218,205 0 0 0 0 0 0 218,205 218,205 0 0 0

901000644 HUNTINGTON NY 11/12/2013 22,421 0 0 0 0 0 0 22,421 22,421 0 0 0

901000645 PHOENIX AZ 11/22/2013 26,277 0 0 0 0 0 0 26,277 26,277 0 0 0

901000646 MCLEAN VA 11/07/2013 37,458 0 0 0 0 0 0 37,458 37,458 0 0 0

901000647 NEW CANAAN CT 11/22/2013 20,950 0 0 0 0 0 0 20,950 20,950 0 0 0

901000648 HILLSBORO OR 01/02/2014 44,674 0 0 0 0 0 0 44,674 44,674 0 0 0

901000652 SILVER SPRING MD 10/17/2013 17,416 0 0 0 0 0 0 17,416 17,416 0 0 0

901000659 CLEVELAND OH 11/22/2013 26,883 0 0 0 0 0 0 26,883 26,883 0 0 0

901000660 ARBUTUS MD 12/10/2013 25,067 0 0 0 0 0 0 25,067 25,067 0 0 0

901000671 HICKORY NC 11/27/2013 72,501 0 0 0 0 0 0 72,501 72,501 0 0 0

901000676 SAN JUAN CAPISTRANO CA 11/27/2013 21,063 0 0 0 0 0 0 21,063 21,063 0 0 0

901000677 Gastonia NC 05/09/2014 69,628 0 0 0 0 0 0 69,628 69,628 0 0 0

901000678 SALT LAKE CITY UT 12/23/2013 69,122 0 0 0 0 0 0 69,122 69,122 0 0 0

901000685 ALBUQUERQUE NM 01/17/2014 38,146 0 0 0 0 0 0 38,146 38,146 0 0 0

901000691 AURORA CO 12/27/2013 19,339 0 0 0 0 0 0 19,339 19,339 0 0 0

901000693 CINCINNATI OH 12/18/2013 15,152 0 0 0 0 0 0 15,152 15,152 0 0 0

901000694 TAMPA FL 12/11/2013 32,025 0 0 0 0 0 0 32,025 32,025 0 0 0

901000704 SALT LAKE CITY UT 12/19/2013 11,806 0 0 0 0 0 0 11,806 11,806 0 0 0

901000712 WALNUT CREEK CA 02/25/2014 19,371 0 0 0 0 0 0 19,371 19,371 0 0 0

901000714 South Euclid OH 04/15/2014 61,965 0 0 0 0 0 0 61,965 61,965 0 0 0

901000717 Lake Forest CA 03/31/2014 15,009 0 0 0 0 0 0 15,009 15,009 0 0 0

901000719 Federal Way WA 03/21/2014 96,731 0 0 0 0 0 0 96,731 96,731 0 0 0

901000722 HENDERSON NV 03/10/2014 66,047 0 0 0 0 0 0 66,047 66,047 0 0 0

901000729 Porterville CA 03/31/2014 21,203 0 0 0 0 0 0 21,203 21,203 0 0 0

901000730 Marlton NJ 04/15/2014 15,706 0 0 0 0 0 0 15,706 15,706 0 0 0

901000731 Atlanta GA 08/28/2014 36,483 0 0 0 0 0 0 36,483 36,483 0 0 0

901000733 Brookline MA 05/09/2014 39,200 0 0 0 0 0 0 39,200 39,200 0 0 0

901000736 Sterling VA 05/16/2014 25,809 0 0 0 0 0 0 25,809 25,809 0 0 0

901000738 Van Nuys CA 04/28/2014 19,529 0 0 0 0 0 0 19,529 19,529 0 0 0

901000743 Austin TX 05/02/2014 104,634 0 0 0 0 0 0 104,634 104,634 0 0 0

901000746 West Chester PA 05/13/2014 78,071 0 0 0 0 0 0 78,071 78,071 0 0 0

901000753 Houston TX 06/10/2014 39,919 0 0 0 0 0 0 39,919 39,919 0 0 0

901000754 Kyle TX 07/03/2014 30,091 0 0 0 0 0 0 30,091 30,091 0 0 0

901000760 Jacksonville Beach FL 06/20/2014 21,383 0 0 0 0 0 0 21,383 21,383 0 0 0

901000762 Jacksonville Beach FL 06/20/2014 25,933 0 0 0 0 0 0 25,933 25,933 0 0 0

901000764 Salem OR 04/11/2014 18,673 0 0 0 0 0 0 18,673 18,673 0 0 0

901000767 Clearwater FL 07/01/2014 59,043 0 0 0 0 0 0 59,043 59,043 0 0 0

901000770 Las Vegas NV 04/29/2014 38,771 0 0 0 0 0 0 38,771 38,771 0 0 0

901000771 Runnemede NJ 06/30/2014 14,402 0 0 0 0 0 0 14,402 14,402 0 0 0

901000777 Salt Lake City UT 06/03/2014 48,407 0 0 0 0 0 0 48,407 48,407 0 0 0

901000778 Austin TX 06/13/2014 20,251 0 0 0 0 0 0 20,251 20,251 0 0 0

901000779 Melville NY 08/08/2014 70,582 0 0 0 0 0 0 70,582 70,582 0 0 0

901000781 Neptune Beach FL 07/01/2014 79,419 0 0 0 0 0 0 79,419 79,419 0 0 0

901000789 Providence RI 08/15/2014 102,913 0 0 0 0 0 0 102,913 102,913 0 0 0

901000790 Riverside CA 08/08/2014 20,331 0 0 0 0 0 0 20,331 20,331 0 0 0

901000791 Clearwater FL 09/16/2014 32,669 0 0 0 0 0 0 32,669 32,669 0 0 0

901000795 Berkeley CA 07/02/2014 23,959 0 0 0 0 0 0 23,959 23,959 0 0 0

E02.8




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

901000799 Tucson AZ 08/08/2014 18,074 0 0 0 0 0 0 18,074 18,074 0 0 0

901000803 Greenwood Village CO 07/31/2014 19,734 0 0 0 0 0 0 19,734 19,734 0 0 0

901000807 Portland OR 07/31/2014 36,477 0 0 0 0 0 0 36,477 36,477 0 0 0

901000808 Gilbert AZ 08/20/2014 23,040 0 0 0 0 0 0 23,040 23,040 0 0 0

901000811 Coon Rapids MN 08/27/2014 54,679 0 0 0 0 0 0 54,679 54,679 0 0 0

901000815 Arcadia CA 05/18/2015 65,101 0 0 0 0 0 0 65,101 65,101 0 0 0

901000816 Oklahoma City OK 08/08/2014 19,695 0 0 0 0 0 0 19,695 19,695 0 0 0

901000821 Wilsonville OR 08/14/2014 87,690 0 0 0 0 0 0 87,690 87,690 0 0 0

901000825 Largo FL 12/16/2014 243,085 0 0 0 0 0 0 243,085 243,085 0 0 0

901000827 Denver CO 09/26/2014 17,515 0 0 0 0 0 0 17,515 17,515 0 0 0

901000831 Richboro PA 10/03/2014 45,217 0 0 0 0 0 0 45,217 45,217 0 0 0

901000832 Salt Lake City UT 09/26/2014 62,377 0 0 0 0 0 0 62,377 62,377 0 0 0

901000835 Gahanna OH 10/10/2014 93,768 0 0 0 0 0 0 93,768 93,768 0 0 0

901000836 Jacksonville FL 09/30/2014 34,223 0 0 0 0 0 0 34,223 34,223 0 0 0

901000838 Lutz FL 09/26/2014 24,490 0 0 0 0 0 0 24,490 24,490 0 0 0

901000842 San Francisco CA 01/16/2015 121,338 0 0 0 0 0 0 121,338 121,338 0 0 0

901000845 Jacksonville FL 09/30/2014 110,224 0 0 0 0 0 0 110,224 110,224 0 0 0

901000846 Hanford CA 11/03/2014 70,452 0 0 0 0 0 0 70,452 70,452 0 0 0

901000847 Fountain Valley CA 11/06/2014 30,391 0 0 0 0 0 0 30,391 30,391 0 0 0

901000848 Rancho Cucamonga CA 10/30/2014 23,975 0 0 0 0 0 0 23,975 23,975 0 0 0

901000850 Las Vegas NV 10/30/2014 19,221 0 0 0 0 0 0 19,221 19,221 0 0 0

901000851 Gahanna OH 11/24/2014 24,627 0 0 0 0 0 0 24,627 24,627 0 0 0

901000854 Oceanside CA 01/08/2015 20,304 0 0 0 0 0 0 20,304 20,304 0 0 0

901000856 Gaithersburg MD 12/01/2014 13,800 0 0 0 0 0 0 13,800 13,800 0 0 0

901000861 Brentwood MO 12/23/2014 28,842 0 0 0 0 0 0 28,842 28,842 0 0 0

901000862 Fountain Valley CA 12/09/2014 23,652 0 0 0 0 0 0 23,652 23,652 0 0 0

901000864 Spokane WA 12/05/2014 99,297 0 0 0 0 0 0 99,297 99,297 0 0 0

901000865 Fairless Hills PA 01/23/2015 64,263 0 0 0 0 0 0 64,263 64,263 0 0 0

901000868 Houston TX 11/25/2014 23,482 0 0 0 0 0 0 23,482 23,482 0 0 0

901000872 Clackamas OR 12/10/2014 70,925 0 0 0 0 0 0 70,925 70,925 0 0 0

901000874 Willow Grove PA 01/30/2015 127,186 0 0 0 0 0 0 127,186 127,186 0 0 0

901000879 Omaha NE 12/19/2014 62,607 0 0 0 0 0 0 62,607 62,607 0 0 0

901000881 Brooklyn NY 12/29/2014 110,157 0 0 0 0 0 0 110,157 110,157 0 0 0

901000883 Miami FL 12/23/2014 26,763 0 0 0 0 0 0 26,763 26,763 0 0 0

901000887 Monroe WA 12/10/2014 30,880 0 0 0 0 0 0 30,880 30,880 0 0 0

901000890 Los Angeles CA 12/22/2014 29,104 0 0 0 0 0 0 29,104 29,104 0 0 0

901000891 Palmetto FL 01/15/2015 151,816 0 0 0 0 0 0 151,816 151,816 0 0 0

901000893 Temecula CA 12/18/2014 34,027 0 0 0 0 0 0 34,027 34,027 0 0 0

901000895 SANDY UT 01/26/2015 80,123 0 0 0 0 0 0 80,123 80,123 0 0 0

901000897 Van Nuys CA 01/26/2015 7,232 0 0 0 0 0 0 7,232 7,232 0 0 0

901000898 Van Nuys CA 01/26/2015 7,357 0 0 0 0 0 0 7,357 7,357 0 0 0

901000899 LEHI UT 02/12/2015 66,016 0 0 0 0 0 0 66,016 66,016 0 0 0

901000900 VAN NUYS CA 01/30/2015 9,760 0 0 0 0 0 0 9,760 9,760 0 0 0

901000901 Woodbury MN 03/24/2015 25,051 0 0 0 0 0 0 25,051 25,051 0 0 0

901000902 McKinney TX 01/07/2015 18,024 0 0 0 0 0 0 18,024 18,024 0 0 0

901000903 Wellesley MA 02/20/2015 27,716 0 0 0 0 0 0 27,716 27,716 0 0 0

901000905 Victoria TX 01/29/2015 44,771 0 0 0 0 0 0 44,771 44,771 0 0 0

901000910 Victoria TX 01/29/2015 23,037 0 0 0 0 0 0 23,037 23,037 0 0 0

901000914 WILMINGTON NC 03/31/2015 35,660 0 0 0 0 0 0 35,660 35,660 0 0 0

901000915 Germantown TN 03/20/2015 126,715 0 0 0 0 0 0 126,715 126,715 0 0 0

901000919 CHARLOTTE NC 02/25/2015 154,609 0 0 0 0 0 0 154,609 154,609 0 0 0

901000927 La Porte TX 03/30/2015 17,025 0 0 0 0 0 0 17,025 17,025 0 0 0

901000930 Redwood City CA 04/10/2015 28,900 0 0 0 0 0 0 28,900 28,900 0 0 0

901000936 Phoenix AZ 04/17/2015 6,851 0 0 0 0 0 0 6,851 6,851 0 0 0

901000937 Long Beach CA 04/23/2015 37,144 0 0 0 0 0 0 37,144 37,144 0 0 0

901000939 TIGARD OR 04/30/2015 12,445 0 0 0 0 0 0 12,445 12,445 0 0 0

901000940 Chesterfield VA 05/19/2015 17,464 0 0 0 0 0 0 17,464 17,464 0 0 0

901000943 Tulsa OK 04/30/2015 65,595 0 0 0 0 0 0 65,595 65,595 0 0 0

901000944 Seattle WA 06/05/2015 13,403 0 0 0 0 0 0 13,403 13,403 0 0 0

901000946 Farmingdale NY 05/28/2015 135,576 0 0 0 0 0 0 135,576 135,576 0 0 0

E02.9




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

901000952 Escondido CA 05/05/2015 24,002 0 0 0 0 0 0 24,002 24,002 0 0 0

901000962 Milwaukee WI 08/11/2015 27,682 0 0 0 0 0 0 27,682 27,682 0 0 0

901000965 Centennial CO 05/21/2015 66,933 0 0 0 0 0 0 66,933 66,933 0 0 0

901000969 Kennesaw GA 11/16/2015 27,761 0 0 0 0 0 0 27,761 27,761 0 0 0

901000970 Salt Lake City UT 07/17/2015 33,260 0 0 0 0 0 0 33,260 33,260 0 0 0

901000973 Zephyrhills FL 08/03/2015 26,362 0 0 0 0 0 0 26,362 26,362 0 0 0

901000974 Costa Mesa CA 06/02/2015 19,898 0 0 0 0 0 0 19,898 19,898 0 0 0

901000975 Hauppauge NY 05/28/2015 85,542 0 0 0 0 0 0 85,542 85,542 0 0 0

901000981 Encinitas CA 05/19/2015 27,303 0 0 0 0 0 0 27,303 27,303 0 0 0

901000984 Las Vegas NV 06/01/2015 37,839 0 0 0 0 0 0 37,839 37,839 0 0 0

901000985 Mesa AZ 07/01/2015 40,146 0 0 0 0 0 0 40,146 40,146 0 0 0

901000986 CHAPEL HILL NC 08/27/2015 49,282 0 0 0 0 0 0 49,282 49,282 0 0 0

901000999 Waltham MA 08/03/2015 110,433 0 0 0 0 0 0 110,433 110,433 0 0 0

901001002 Bellevue WA 07/22/2015 47,238 0 0 0 0 0 0 47,238 47,238 0 0 0

901001004 Kirkland WA 06/30/2015 39,125 0 0 0 0 0 0 39,125 39,125 0 0 0

901001008 Fridley MN 11/30/2015 27,625 0 0 0 0 0 0 27,625 27,625 0 0 0

901001009 TAMPA FL 10/19/2015 35,403 0 0 0 0 0 0 35,403 35,403 0 0 0

901001013 Ft. Myers FL 12/17/2015 145,462 0 0 0 0 0 0 145,462 145,462 0 0 0

901001018 Schererville IN 10/28/2015 21,131 0 0 0 0 0 0 21,131 21,131 0 0 0

901001025 Solon OH 10/26/2015 32,152 0 0 0 0 0 0 32,152 32,152 0 0 0

901001027 SAN CLEMENTE CA 09/24/2015 24,661 0 0 0 0 0 0 24,661 24,661 0 0 0

901001031 Beachwood OH 10/21/2015 16,804 0 0 0 0 0 0 16,804 16,804 0 0 0

901001035 Melville NY 11/12/2015 41,905 0 0 0 0 0 0 41,905 41,905 0 0 0

901001037 Pleasanton CA 10/08/2015 26,101 0 0 0 0 0 0 26,101 26,101 0 0 0

901001038 Denver CO 10/19/2015 17,381 0 0 0 0 0 0 17,381 17,381 0 0 0

901001039 Pottstown PA 11/20/2015 81,245 0 0 0 0 0 0 81,245 81,245 0 0 0

901001040 Napa CA 10/09/2015 33,561 0 0 0 0 0 0 33,561 33,561 0 0 0

901001041 Hauppage NY 10/23/2015 42,815 0 0 0 0 0 0 42,815 42,815 0 0 0

901001049 Alpharetta GA 11/16/2015 29,188 0 0 0 0 0 0 29,188 29,188 0 0 0

901001054 Hanford CA 11/02/2015 102,783 0 0 0 0 0 0 102,783 102,783 0 0 0

901001055 Franklin TN 11/05/2015 36,114 0 0 0 0 0 0 36,114 36,114 0 0 0

901001056 Las Vegas NV 11/02/2015 34,393 0 0 0 0 0 0 34,393 34,393 0 0 0


901001061 North Oaks MN 12/11/2015 70,486 0 0 0 0 0 0 70,486 70,486 0 0 0

901001063 North Las Vegas NV 10/29/2015 17,391 0 0 0 0 0 0 17,391 17,391 0 0 0

901001064 Vista CA 10/29/2015 9,979 0 0 0 0 0 0 9,979 9,979 0 0 0

901001066 Louisville KY 12/18/2015 43,217 0 0 0 0 0 0 43,217 43,217 0 0 0

901001073 Bellaire TX 01/14/2016 23,280 0 0 0 0 0 0 23,280 23,280 0 0 0

901001074 Huntington NY 12/17/2015 33,732 0 0 0 0 0 0 33,732 33,732 0 0 0

901001075 Millersville MD 12/02/2015 20,311 0 0 0 0 0 0 20,311 20,311 0 0 0

901001077 Brooklyn NY 03/24/2016 21,196 0 0 0 0 0 0 21,196 21,196 0 0 0

901001078 McHenry IL 01/28/2016 27,320 0 0 0 0 0 0 27,320 27,320 0 0 0

901001080 Pleasanton CA 12/17/2015 62,007 0 0 0 0 0 0 62,007 62,007 0 0 0

901001081 Westminster CO 12/15/2015 15,189 0 0 0 0 0 0 15,189 15,189 0 0 0

901001082 Birmingham AL 12/16/2015 74,888 0 0 0 0 0 0 74,888 74,888 0 0 0

901001083 Warren MI 12/23/2015 57,706 0 0 0 0 0 0 57,706 57,706 0 0 0

901001084 CARLSTADT NJ 02/25/2016 63,105 0 0 0 0 0 0 63,105 63,105 0 0 0

901001086 WINSTON SALEM NC 11/12/2015 13,521 0 0 0 0 0 0 13,521 13,521 0 0 0

901001088 Bedford Park IL 01/28/2016 26,129 0 0 0 0 0 0 26,129 26,129 0 0 0

901001091 MOUNT JULIET TN 01/20/2016 29,526 0 0 0 0 0 0 29,526 29,526 0 0 0

901001092 Colleyville TX 01/27/2016 15,734 0 0 0 0 0 0 15,734 15,734 0 0 0

901001093 San Diego CA 02/26/2016 17,251 0 0 0 0 0 0 17,251 17,251 0 0 0

901001096 Potomac MD 07/19/2016 13,939 0 0 0 0 0 0 13,939 13,939 0 0 0

901001097 Carlsbad CA 02/10/2016 21,408 0 0 0 0 0 0 21,408 21,408 0 0 0

901001098 Tomball TX 02/19/2016 11,504 0 0 0 0 0 0 11,504 11,504 0 0 0

901001099 Nashua NH 02/19/2016 18,210 0 0 0 0 0 0 18,210 18,210 0 0 0

901001100 Greenville SC 06/30/2016 92,940 0 0 0 0 0 0 92,940 92,940 0 0 0

901001101 Bend OR 03/30/2016 9,508 0 0 0 0 0 0 9,508 9,508 0 0 0

901001103 Plumstead Township PA 05/12/2016 28,696 0 0 0 0 0 0 28,696 28,696 0 0 0

901001108 Arlington TX 02/26/2016 44,800 0 0 0 0 0 0 44,800 44,800 0 0 0

E02.1

0




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

901001109 Hillsboro OR 03/15/2016 94,118 0 0 0 0 0 0 94,118 94,118 0 0 0

901001111 Salt Lake City UT 03/31/2016 70,701 0 0 0 0 0 0 70,701 70,701 0 0 0

901001112 Burnsville MN 04/07/2016 43,325 0 0 0 0 0 0 43,325 43,325 0 0 0

901001117 Kennesaw GA 03/22/2016 23,216 0 0 0 0 0 0 23,216 23,216 0 0 0

901001120 Henderson NV 04/08/2016 36,426 0 0 0 0 0 0 36,426 36,426 0 0 0

901001125 Philadelphia PA 06/01/2016 75,677 0 0 0 0 0 0 75,677 75,677 0 0 0

901001126 Germantown MD 05/31/2016 15,319 0 0 0 0 0 0 15,319 15,319 0 0 0

901001127 Columbia MD 05/31/2016 17,675 0 0 0 0 0 0 17,675 17,675 0 0 0

901001129 Dallas TX 05/16/2016 29,988 0 0 0 0 0 0 29,988 29,988 0 0 0

901001131 Lake Worth TX 06/30/2016 19,090 0 0 0 0 0 0 19,090 19,090 0 0 0

901001134 Hickory NC 06/17/2016 46,047 0 0 0 0 0 0 46,047 46,047 0 0 0

901001135 Fort Mill SC 05/26/2016 21,439 0 0 0 0 0 0 21,439 21,439 0 0 0

901001140 Warminster PA 06/30/2016 39,409 0 0 0 0 0 0 39,409 39,409 0 0 0

901001141 Draper UT 06/30/2016 51,455 0 0 0 0 0 0 51,455 51,455 0 0 0

901001144 YAKIMA WA 08/15/2016 90,621 0 0 0 0 0 0 90,621 90,621 0 0 0

901001146 Pearland TX 06/15/2016 49,494 0 0 0 0 0 0 49,494 49,494 0 0 0

901001148 Hanford CA 09/01/2016 15,065 0 0 0 0 0 0 15,065 15,065 0 0 0

901001150 Blue Springs MO 09/14/2016 19,723 0 0 0 0 0 0 19,723 19,723 0 0 0

901001151 Leesburg GA 07/05/2016 46,626 0 0 0 0 0 0 46,626 46,626 0 0 0

901001156 Sterling Heights MI 08/31/2016 45,548 0 0 0 0 0 0 45,548 45,548 0 0 0

901001160 Grand Forks ND 08/10/2016 29,820 0 0 0 0 0 0 29,820 29,820 0 0 0

901001161 Washington DC 10/11/2016 82,123 0 0 0 0 0 0 82,123 82,123 0 0 0

901001162 Los Angeles CA 09/01/2016 70,454 0 0 0 0 0 0 70,454 70,454 0 0 0

901001164 OCALA FL 07/27/2016 15,977 0 0 0 0 0 0 15,977 15,977 0 0 0

901001167 League City TX 10/14/2016 55,298 0 0 0 0 0 0 55,298 55,298 0 0 0

901001169 Indianapolis IN 09/01/2016 34,634 0 0 0 0 0 0 34,634 34,634 0 0 0

901001171 Louisville KY 10/03/2016 83,161 0 0 0 0 0 0 83,161 83,161 0 0 0

901001173 Pasco WA 11/04/2016 10,353 0 0 0 0 0 0 10,353 10,353 0 0 0

901001174 Pasco WA 11/04/2016 10,353 0 0 0 0 0 0 10,353 10,353 0 0 0

901001175 Montlake Terrace WA 01/18/2017 0 0 0 0 0 0 0 35,839 35,839 0 0 0

901001176 CHAPEL HILL NC 10/24/2016 49,887 0 0 0 0 0 0 49,887 49,887 0 0 0

901001177 Trappe PA 12/28/2016 78,458 0 0 0 0 0 0 78,458 78,458 0 0 0

901001179 Oceanside CA 09/29/2016 10,806 0 0 0 0 0 0 10,806 10,806 0 0 0

901001180 Carlsbad CA 09/08/2016 26,256 0 0 0 0 0 0 26,256 26,256 0 0 0

901001181 Leesburg VA 02/01/2017 0 0 0 0 0 0 0 59,508 59,508 0 0 0

901001182 Richboro PA 10/06/2016 74,123 0 0 0 0 0 0 74,123 74,123 0 0 0

901001184 Suitland MD 12/30/2016 80,753 0 0 0 0 0 0 80,753 80,753 0 0 0

901001185 Frederick MD 12/08/2016 49,597 0 0 0 0 0 0 49,597 49,597 0 0 0

901001186 New Castle DE 10/31/2016 14,582 0 0 0 0 0 0 14,582 14,582 0 0 0

901001187 Chattanooga TN 12/05/2016 17,234 0 0 0 0 0 0 17,234 17,234 0 0 0

901001192 Midlothian VA 11/17/2016 19,570 0 0 0 0 0 0 19,570 19,570 0 0 0

901001197 Fair Haven NJ 12/28/2016 48,291 0 0 0 0 0 0 48,291 48,291 0 0 0

901001198 Kannapolis NC 11/15/2016 16,026 0 0 0 0 0 0 16,026 16,026 0 0 0

901001200 Shrewsbury NJ 10/31/2016 29,189 0 0 0 0 0 0 29,189 29,189 0 0 0

901001202 Greenville NC 02/15/2017 0 0 0 0 0 0 0 89,936 89,936 0 0 0

901001203 Ponte Vedra Beach FL 12/30/2016 43,946 0 0 0 0 0 0 43,946 43,946 0 0 0

901001204 Jacksonville FL 12/01/2016 49,176 0 0 0 0 0 0 49,176 49,176 0 0 0

901001205 Culver City CA 11/04/2016 33,158 0 0 0 0 0 0 33,158 33,158 0 0 0

901001207 Durham NC 12/22/2016 43,760 0 0 0 0 0 0 43,760 43,760 0 0 0

901001209 Porterville CA 12/05/2016 39,863 0 0 0 0 0 0 39,863 39,863 0 0 0

901001210 Wayne MI 12/22/2016 15,665 0 0 0 0 0 0 15,665 15,665 0 0 0

901001211 Southfield MI 12/22/2016 24,237 0 0 0 0 0 0 24,237 24,237 0 0 0

901001212 Chesterton IN 12/21/2016 14,307 0 0 0 0 0 0 14,307 14,307 0 0 0

901001213 Limerick PA 12/22/2016 10,035 0 0 0 0 0 0 10,035 10,035 0 0 0

901001214 Limerick PA 12/22/2016 14,573 0 0 0 0 0 0 14,573 14,573 0 0 0

901001215 San Diego CA 12/02/2016 75,372 0 0 0 0 0 0 75,372 75,372 0 0 0

901001216 Islandia NY 03/08/2017 0 0 0 0 0 0 0 26,985 26,985 0 0 0

901001217 Atlanta GA 12/29/2016 11,373 0 0 0 0 0 0 11,373 11,373 0 0 0

901001218 Charlotte NC 01/20/2017 0 0 0 0 0 0 0 11,916 11,916 0 0 0

901001220 Somerset NJ 12/29/2016 16,370 0 0 0 0 0 0 16,370 16,370 0 0 0

E02.1

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

901001221 Largo FL 06/22/2017 0 0 0 0 0 0 0 3,608 3,608 0 0 0

901001223 Chino Hills CA 12/01/2016 55,904 0 0 0 0 0 0 55,904 55,904 0 0 0

901001224 Houston TX 01/26/2017 0 0 0 0 0 0 0 21,397 21,397 0 0 0

901001227 Escondido CA 01/09/2017 0 0 0 0 0 0 0 9,668 9,668 0 0 0

901001228 Englewood CO 12/21/2016 71,928 0 0 0 0 0 0 71,928 71,928 0 0 0

901001235 Greenville SC 12/21/2016 34,220 0 0 0 0 0 0 34,220 34,220 0 0 0

901001236 Largo MD 01/24/2017 0 0 0 0 0 0 0 48,413 48,413 0 0 0

901001237 Raleigh NC 05/03/2017 0 0 0 0 0 0 0 38,135 38,135 0 0 0

901001242 Birmingham AL 01/30/2017 0 0 0 0 0 0 0 40,565 40,565 0 0 0

901001246 Carlsbad CA 02/10/2017 0 0 0 0 0 0 0 29,931 29,931 0 0 0

901001251 Las Vegas NV 05/04/2017 0 0 0 0 0 0 0 14,666 14,666 0 0 0

901001252 Las Vegas NV 05/04/2017 0 0 0 0 0 0 0 34,000 34,000 0 0 0

901001256 Woodville WA 03/07/2017 0 0 0 0 0 0 0 44,464 44,464 0 0 0

901001258 Buena Park CA 03/27/2017 0 0 0 0 0 0 0 16,545 16,545 0 0 0

901001264 Aurora IL 03/28/2017 0 0 0 0 0 0 0 33,425 33,425 0 0 0

901001266 Spokane WA 04/20/2017 0 0 0 0 0 0 0 20,257 20,257 0 0 0

901001267 Melville NY 05/05/2017 0 0 0 0 0 0 0 31,264 31,264 0 0 0

901001268 Melville NY 05/05/2017 0 0 0 0 0 0 0 10,421 10,421 0 0 0

901001269 Huntington NY 05/05/2017 0 0 0 0 0 0 0 20,843 20,843 0 0 0

901001270 Carlsbad CA 04/03/2017 0 0 0 0 0 0 0 16,373 16,373 0 0 0

901001273 Council Bluffs IA 05/01/2017 0 0 0 0 0 0 0 27,426 27,426 0 0 0

901001274 Mason OH 03/31/2017 0 0 0 0 0 0 0 16,197 16,197 0 0 0

901001275 St Louis MO 05/01/2017 0 0 0 0 0 0 0 30,699 30,699 0 0 0

901001278 Cary NC 08/31/2017 0 0 0 0 0 0 0 6,387 6,387 0 0 0

901001280 Santa Rosa CA 05/04/2017 0 0 0 0 0 0 0 20,385 20,385 0 0 0

901001281 Elmwood Park IL 05/04/2017 0 0 0 0 0 0 0 16,819 16,819 0 0 0

901001284 Corona CA 06/01/2017 0 0 0 0 0 0 0 19,064 19,064 0 0 0

901001285 Louisville KY 05/01/2017 0 0 0 0 0 0 0 54,442 54,442 0 0 0

901001286 Chester VA 05/05/2017 0 0 0 0 0 0 0 12,209 12,209 0 0 0

901001289 Fernandina Beach FL 05/05/2017 0 0 0 0 0 0 0 40,942 40,942 0 0 0

901001290 Kennesaw GA 05/04/2017 0 0 0 0 0 0 0 24,232 24,232 0 0 0

901001292 Camarillo CA 04/18/2017 0 0 0 0 0 0 0 52,812 52,812 0 0 0

901001295 Melville NY 05/23/2017 0 0 0 0 0 0 0 64,489 64,489 0 0 0

901001296 Camarillo CA 04/18/2017 0 0 0 0 0 0 0 28,988 28,988 0 0 0

901001300 Largo FL 05/10/2017 0 0 0 0 0 0 0 22,976 22,976 0 0 0

901001302 Capitol Heights MD 06/08/2017 0 0 0 0 0 0 0 12,444 12,444 0 0 0

901001312 Oakland CA 06/01/2017 0 0 0 0 0 0 0 15,807 15,807 0 0 0

901001316 Austin TX 06/07/2017 0 0 0 0 0 0 0 18,255 18,255 0 0 0

901001320 Blacksburg VA 06/21/2017 0 0 0 0 0 0 0 12,284 12,284 0 0 0

901001322 Port Wentworth GA 06/28/2017 0 0 0 0 0 0 0 27,249 27,249 0 0 0

901001327 Federal Way WA 05/31/2017 0 0 0 0 0 0 0 23,026 23,026 0 0 0

901001334 Cold Spring KY 07/20/2017 0 0 0 0 0 0 0 4,488 4,488 0 0 0

0299999. Mortgages with partial repayments 32,851,970 0 3,193 0 0 3,193 0 34,064,942 34,064,942 0 0 0

6287 CINCINNATI OH 08/10/2005 6,358,348 0 0 0 0 0 0 6,358,348 6,358,348 0 0 0

0499999. Mortgages transferred 6,358,348 0 0 0 0 0 0 6,358,348 6,358,348 0 0 0

0599999 - Totals 94,341,413 0 6,537 0 0 6,537 0 95,557,729 95,557,729 0 0 0

E02.1

2


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

Gridiron Energy, LLC Wilmington DE Gridiron Energy, LLC 05/10/2017 3 0 270,667 97,550 0.970

GSO Capital Opportunities Fund III, L.P. Wilmington DE GSO Capital Opportunities Fund III, L.P. 09/22/2016 2 0 1,490,862 15,165,160 0.300

GTCR (Capital) Investors LP Wilmington DE GTCR (Capital) Investors LP 08/18/2017 3 8,530,184 0 2,559,055 0.900

Marble Ridge LP Wilmington DE Marble Ridge LP 09/01/2017 11 10,000,000 0 0 2.000

New Enterprise Associates 15, L.P. Dover DE New Enterprise Associates 15, L.P. 03/31/2015 1 0 200,000 1,500,000 0.160

New Enterprise Associates 16, L.P. Wilmington DE New Enterprise Associates 16, L.P. 05/17/2017 1 0 800,000 18,600,000 0.600

Newstone Capital Partners III, L.P. Wilmington DE Newstone Capital Partners III, L.P. 12/27/2016 2 0 91,241 14,105,041 2.960

PA DIRECT CREDIT OPPORTUNITIES FUND II, L.P. Wilmington DE PA DIRECT CREDIT OPPORTUNITIES FUND II, L.P. 05/15/2017 2 0 1,391,483 14,368,231 2.950

Silver Oak Services Partners III, L.P. Wilmington DE Silver Oak Services Partners III, L.P. 11/21/2016 3 0 1,163,418 9,913,125 5.530

1599999. Joint Venture Interests - Common Stock - Unaffiliated 18,530,184 5,407,671 0 76,308,162 XXX Cerberus Institutional Real Estate Partners IV, L.P. Wilmington DE Cerberus Institutional Real Estate Partners IV, L.P. 12/13/2016 0 724,124 10,387,140 0.640

Maxim Income Opportunity Fund I, L.P. Wilmington DE Maxim Income Opportunity Fund I, L.P. 09/08/2017 5,607,590 0 4,392,410 7.310

1799999. Joint Venture Interests - Real Estate - Unaffiliated 5,607,590 724,124 0 14,779,550 XXX GLIC Real Estate Holding, LLC Wilmington DE GLIC Real Estate Holding, LLC 10/31/2008 0 6,358,348 0 0

2099999. Joint Venture Interests - Mortgage Loans - Affiliated 0 6,358,348 0 0 XXX

4499999. Total - Unaffiliated 24,137,774 6,131,795 0 91,087,712 XXX

4599999. Total - Affiliated 0 6,358,348 0 0 XXX

4699999 - Totals 24,137,774 12,490,143 0 91,087,712 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


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 9,333 0 0 0 0 0 0 9,333 9,333 0 0 0 0

Alinda Infrastructure Fund I, L.P. Dover DE Return of Capital / Impairment 03/26/2007 07/19/2017 8,038,957 0 0 5,500,000 0 (5,500,000) 0 2,538,957 2,538,957 0 0 0 11,089,447

GENSTAR CAPITAL PARTNERS VII LP Wilmington DE Return of Capital 10/01/2015 08/02/2017 445,131 0 0 0 0 0 0 445,131 445,131 0 0 0 (105,503)

Great Hill Equity Partners V, L.P. Dover DE Return of Capital 04/29/2015 09/18/2017 281,250 0 0 0 0 0 0 281,250 281,250 0 0 0 778,390

Great Hill Equity Partners V-A, L.P. Dover DE Return of Capital 04/29/2015 08/02/2017 798,000 0 0 0 0 0 0 798,000 798,000 0 0 0 1,197,000

IIF,L.P Wilmington DE Return of Capital 02/23/2017 09/28/2017 0 0 0 0 0 0 0 139,132 139,132 0 0 0 140,924

Newstone Capital Partners Wilmington DE Return of Capital 05/31/2007 07/14/2017 23,041 0 0 0 0 0 0 23,041 23,041 0 0 0 44,123

Newstone Capital Partners III, L.P. Wilmington DE Return of Capital 12/27/2016 07/19/2017 52,036 0 0 0 0 0 0 52,036 52,036 0 0 0 636,080

PA DIRECT CREDIT OPPORTUNITIES FUND II, L.P.

Wilmington DE Return of Capital 05/15/2017 08/24/2017 0 0 0 0 0 0 0 745,541 745,541 0 0 0 (208,570)

SAIF Partners IV, L.P. Cayman Islands DE Return of Capital 06/30/2016 09/21/2017 69,494 0 0 0 0 0 0 69,494 69,494 0 0 0 24,511

SAIF Partners III, L.P. Cayman Islands DE Return of Capital 06/30/2016 09/13/2017 130,836 0 0 0 0 0 0 130,836 130,836 0 0 0 15,272

1599999. Joint Venture Interests - Common Stock - Unaffiliated 9,848,078 0 0 5,500,000 0 (5,500,000) 0 5,232,751 5,232,751 0 0 0 13,611,674

CAPMARK Commercial Realty Partners II, L.P.

Horsham PA Impairment 06/15/2006 08/30/2017 196,000 0 0 196,000 0 (196,000) 0 0 0 0 0 0 538,510

Carlyle Realty Partners, Fund V Wilmington DE Return of Capital 02/09/2007 07/03/2017 490 0 0 0 0 0 0 490 490 0 0 0 0

Carlyle Realty Partners, Fund V Wilmington DE Return of Capital 02/09/2007 09/22/2017 263,032 0 0 0 0 0 0 263,032 263,032 0 0 0 240,163

Morgan Stanley Real Estate Fund VI

International Wilmington DE Return of Capital 06/30/2007 09/18/2017 1,017,201 (995,458) 0 0 0 (995,458) 0 21,743 1,017,201 0 995,458 995,458 891,293

1799999. Joint Venture Interests - Real Estate - Unaffiliated 1,476,723 (995,458) 0 196,000 0 (1,191,458) 0 285,265 1,280,723 0 995,458 995,458 1,669,966

E03


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


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


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 Legg Mason Real Estate Capital II Los Angeles CA Return of Capital 05/31/2005 07/11/2017 1,400,000 0 0 0 0 0 0 1,400,000 1,400,000 0 0 0 0

1999999. Joint Venture Interests - Mortgage Loans - Unaffiliated 1,400,000 0 0 0 0 0 0 1,400,000 1,400,000 0 0 0 0

NTCIC Preservation Fund, LLC (FHTC) Amherst MA Residual Income 11/14/2011 02/28/2017 0 0 0 0 0 0 0 0 0 0 40,760

3799999. Non-Guaranteed State Low Income Housing Tax Credit - Unaffiliated 0 0 0 0 0 0 0 0 0 0 0 0 40,760

4499999. Total - Unaffiliated 12,724,801 (995,458) 0 5,696,000 0 (6,691,458) 0 6,918,016 7,913,474 0 995,458 995,458 15,322,400

4599999. Total - Affiliated 0 0 0 0 0 0 0 0 0 0 0 0 0

4699999 - Totals 12,724,801 (995,458) 0 5,696,000 0 (6,691,458) 0 6,918,016 7,913,474 0 995,458 995,458 15,322,400

E03.1


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)

38373A-Z6-6 GOVERNMENT NATIONAL MORTGAGE A GNMA_09-6 09/01/2017 Interest Capitalization 137,183 137,183 0 1

38373M-7Y-0 GOVERNMENT NATIONAL MORTGAGE A 5.150% 09/01/2017 Interest Capitalization 97,985 97,985 0 1

38373M-RB-8 GNMA 05-50 2005-50 Z 4.797% 06/16/45 07/01/2017 Interest Capitalization 28,289 28,289 0 1

38373M-SE-1 GNMA 05-90 2005-90 Z 4.481% 11/16/45 09/01/2017 Interest Capitalization 195,496 195,496 0 1

38373M-VA-5 GNMA 06-32 5.302% 11/16/45 09/01/2017 Interest Capitalization 24,197 24,197 0 1

38376F-2S-0 GOVERNMENT NATIONAL MORTGAGE A GNMA_09-8 07/01/2017 Interest Capitalization 32,304 32,304 0 1

38376G-6B-1 GOVERNMENT NATIONAL MORTGAGE A GOVERNMEN 09/01/2017 Interest Capitalization 32,135 32,135 0 1

38376G-7L-8 GOVERNMENT NATIONAL MORTGAGE A GOVERNMEN 09/01/2017 Interest Capitalization 26,311 26,311 0 1

38376G-BW-9 GOVERNMENT NATIONAL MORTGAGE A GNMA_09-9 09/01/2017 Interest Capitalization 89,103 89,103 0 1

38376G-CL-2 GOVERNMENT NATIONAL MORTGAGE A 4.510% 09/01/2017 Interest Capitalization 84,153 84,153 0 1

38376G-SN-1 GOVERNMENT NATIONAL MORTGAGE GNMA_10-96 09/01/2017 Interest Capitalization 108,161 108,161 0 1

38376G-WC-0 GOVERNMENT NATIONAL MORTGAGE 4.110% 08 09/01/2017 Interest Capitalization 68,916 68,916 0 1

38376G-WW-6 GOVERNMENT NATIONAL MORTGAGE A 3.658% 09/01/2017 Interest Capitalization 76,903 76,903 0 1

38376J-2W-3 GOVERNMENT NATIONAL MORTGAGE A GNMA 09-1 09/01/2017 Interest Capitalization 81,867 81,867 0 1

38376J-Y3-2 GOVERNMENT NATIONAL MORTGAGE A GNMA_09-1 09/01/2017 Interest Capitalization 169,451 169,451 0 1

38376J-Z3-1 GOVERNMENT NATIONAL MORTGAGE A GNMA_09-1 07/01/2017 Interest Capitalization 26,445 26,445 0 1

38376P-D7-2 GOVERNMENT NATIONAL MORTGAGE A 4.500% 07/01/2017 Interest Capitalization 157,562 157,562 0 1

38376P-MZ-0 GOVERNMENT NATIONAL MORTGAGE A GNR 2009- 09/01/2017 Interest Capitalization 51,989 51,989 0 1

38376V-AC-1 GOVERNMENT NATIONAL MORTGAGE A GNMA_10-2 09/01/2017 Interest Capitalization 80,682 80,682 0 1

38377J-4X-8 GOVERNMENT NATIONAL MORTGAGE A 5.418% 09/01/2017 Interest Capitalization 14,670 14,670 0 1

38377T-2Y-6 GOVERNMENT NATIONAL MORTGAGE A GINNIE MA 09/01/2017 Interest Capitalization 64,603 64,603 0 1

38377T-3A-7 GOVERNMENT NATIONAL MORTGAGE A GINNIE MA 09/01/2017 Interest Capitalization 90,445 90,445 0 1

38378B-R8-4 GOVERNMENT NATIONAL MORTGAGE A GNMA_12-1 09/01/2017 Interest Capitalization 1,148 1,148 0 1

38378B-TJ-8 GOVERNMENT NATIONAL MORTGAGE A GNMA_12-5 09/01/2017 Interest Capitalization 6,117 6,117 0 1

38378N-AG-8 GNMA_13-153 GOVERNMENT NATIONAL MORTGAGE 09/01/2017 Interest Capitalization 99,287 99,287 0 1

38378N-BU-6 GNMA_13-155 GOVERNMENT NATIONAL MORTGAGE 09/01/2017 Interest Capitalization 26,502 26,502 0 1

38378X-AG-6 GNMA_14-92 GOVERNMENT NATIONAL MORTGAGE 09/01/2017 Interest Capitalization 32,411 32,411 0 1

38379K-EC-8 GNMA_15-29 GNMA_15-29 3.538% 09/16/55 09/01/2017 Interest Capitalization 39,314 39,314 0 1

38379K-LP-1 GNMA_15_75 GOVERNMENT NATIONAL MORTGAGE 09/01/2017 Interest Capitalization 29,374 29,374 0 1

38379K-S7-4 GOVERNMENT NATIONAL MORTGAGE A GNMA_15-1 09/01/2017 Interest Capitalization 83,272 83,272 0 1

38379K-S8-2 GOVERNMENT NATIONAL MORTGAGE A GNMA_15-1 09/01/2017 Interest Capitalization 149,462 149,462 0 1

38379K-ZB-7 GOVERNMENT NATIONAL MORTGAGE A GMNA_15-1 09/01/2017 Interest Capitalization 58,430 58,430 0 1

38379Q-RE-7 GOVERNMENT NATIONAL MORTGAGE A GOVERNMEN 09/01/2017 Interest Capitalization 138,241 138,241 0 1

38379R-CB-7 GOVERNMENT NATIONAL MORTGAGE A GNMA_15-1 09/01/2017 Interest Capitalization 43,254 43,254 0 1

38379R-DE-0 GOVERNMENT NATIONAL MORTGAGE A GOVERNMEN 09/01/2017 Interest Capitalization 26,643 26,643 0 1

38379R-JG-9 GOVERNMENT NATIONAL MORTGAGE A GNMA_16-1 09/01/2017 Interest Capitalization 24,131 24,131 0 1

38379R-LR-2 GOVERNMENT NATIONAL MORTGAGE A GNMA_17-1 09/01/2017 Interest Capitalization 59,482 59,482 0 1

38379R-NE-9 GOVERNMENT NATIONAL MORTGAGE A GNMA_17-2 09/01/2017 Interest Capitalization 35,903 35,903 0 1

38379R-NT-6 GOVERNMENT NATIONAL MORTGAGE A GNMA_17-2 09/01/2017 Interest Capitalization 99,722 99,722 0 1

38379R-PJ-6 GOVERNMENT NATIONAL MORTGAGE A GNMA_17-4 09/01/2017 Interest Capitalization 48,628 48,628 0 1

38379R-PS-6 GOVERNMENT NATIONAL MORTGAGE A GNMA_17-4 09/01/2017 Interest Capitalization 36,244 36,244 0 1

38379R-S8-7 GOVERNMENT NATIONAL MORTGAGE A GNMA_17-1 07/28/2017 NOMURA SECURITIES 8,576,652 9,322,448 22,532 1

38379R-S8-7 GOVERNMENT NATIONAL MORTGAGE A GNMA_17-1 09/01/2017 Interest Capitalization 50,135 50,135 0 1

38379R-UD-3 GOVERNMENT NATIONAL MORTGAGE A GNMA_17-5 09/01/2017 Interest Capitalization 20,963 20,963 0 1

38379R-ZW-6 GOVERNMENT NATIONAL MORTGAGE A GNMA_17-9 09/01/2017 Interest Capitalization 37,899 37,899 0 1

38379U-6B-7 GOVERNMENT NATIONAL MORTGAGE A GNMA_17-2 09/01/2017 Interest Capitalization 106,924 106,924 0 1

38379U-A8-9 GOVERMENT NATIONAL MORTGAGE AS GNMA_16-9 09/01/2017 Interest Capitalization 54,671 54,671 0 1

38379U-C7-9 GOVERMENT NATIONAL MORTGAGE AS SERIES 16 09/01/2017 Interest Capitalization 190,114 190,114 0 1

38379U-DJ-2 GOVERNMENT NATIONAL MORTGAGE A GOVERNMEN 09/01/2017 Interest Capitalization 65,274 65,274 0 1

38379U-E7-7 GOVERNMENT NATIONAL MORTGAGE A GNMA_16-1 09/01/2017 Interest Capitalization 21,120 21,120 0 1

38379U-FU-5 GOVERNMENT NATIONAL MORTGAGE A GNMA_16-2 09/01/2017 Interest Capitalization 36,595 36,595 0 1

38379U-HH-2 GOVERNMENT NATIONAL MORTGAGE A GOVERNMEN 09/01/2017 Interest Capitalization 53,803 53,803 0 1

38379U-HT-6 GOVERNMENT NATIONAL MORTGAGE A GNMA_16-4 09/01/2017 Interest Capitalization 77,899 77,899 0 1

38379U-RN-8 GNMA_16-70 GNMA_16-70 2.913% 04/16/58 09/01/2017 Interest Capitalization 28,846 28,846 0 1

38379U-SM-9 GOVERNMENT NATIONAL MORTGAGE A GOVERNMEN 09/01/2017 Interest Capitalization 79,613 79,613 0 1

38379U-SV-9 GOVERNMENT NATIONAL MORTGAGE A GNMA_16-6 09/01/2017 Interest Capitalization 75,074 75,074 0 1

38379U-WL-6 GOVERNMENT NATIONAL MORTGAGE A GNMA_16-8 09/01/2017 Interest Capitalization 49,623 49,623 0 1

38379U-ZN-9 GOVERMENT NATIONAL MORTGAGE AS GNMA_16-9 09/01/2017 Interest Capitalization 97,122 97,122 0 1

38379U-ZY-5 GOVERMENT NATIONAL MORTGAGE AS GNMA_16-9 09/01/2017 Interest Capitalization 24,665 24,665 0 1

0599999. Subtotal - Bonds - U.S. Governments 12,423,407 13,169,203 22,532 XXX455780-CA-2 INDONESIA REPUBLIC OF Series 144A 3.85 C 07/11/2017 BNP PARISBAS 9,958,900 10,000,000 0 2FE

1099999. Subtotal - Bonds - All Other Governments 9,958,900 10,000,000 0 XXX

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)

1799999. Subtotal - Bonds - U.S. States, Territories and Possessions 0 0 0 XXX

2499999. Subtotal - Bonds - U.S. Political Subdivisions of States, Territories and Possessions 0 0 0 XXX3136A0-VF-1 FANNIE MAE FNMA 11-73 FNMA_11-73D 3.50 09/01/2017 Interest Capitalization 6,884 6,884 0 1

3136A1-3G-8 FANNIE MAE FNMA_11-118 FANNIE MAE FNMA_1 09/01/2017 Interest Capitalization 9,432 9,432 0 1

3136A1-BV-6 FANNIE MAE FNMA 11-103 ZL 4.000% 10/25 09/01/2017 Interest Capitalization 136,862 136,862 0 1

3136A1-N9-2 FANNIE MAE FNMA_11-114 3.500% 11/25/41 09/01/2017 Interest Capitalization 67,395 67,395 0 1

3136A1-UL-7 FANNIE MAE FNMA 11-108 AZ 4.000% 10/25 09/01/2017 Interest Capitalization 116,881 116,881 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 47,581 47,581 0 1

3136A4-GW-3 FANNIE MAE FNMA_12-20 FANNIE MAE FNMA_12 09/01/2017 Interest Capitalization 11,929 11,929 0 1

3136A5-YT-7 FANNIE MAE FNMA_12-43 FANNIE MAE FNMA_12 09/01/2017 Interest Capitalization 23,727 23,727 0 1

3136A7-B6-8 FANNIE MAE FNMA_12-83 FANNIE MAE FNMA_12 09/01/2017 Interest Capitalization 2,689 2,689 0 1

3136A7-XX-5 FANNIE MAE FNMA_12-87 FANNIE MAE FNMA_12 09/01/2017 Interest Capitalization 82,324 82,324 0 1

3136AN-6J-1 FANNIE MAE FNMA_15-40 3.500% 05/25/45 09/01/2017 Interest Capitalization 141,575 141,575 0 1

3136AP-B4-3 FANNIE MAE FNMA_15-55 3.500% 08/25/45 09/01/2017 Interest Capitalization 147,810 147,810 0 1

3136AQ-N2-2 FNMA_15-95 FANNIE MAE FNMA_15-95 3.500 09/01/2017 Interest Capitalization 92,479 92,479 0 1

3136AQ-YJ-3 FANNIE MAE FNMA_15-89 3.500% 12/25/45 09/01/2017 Interest Capitalization 92,748 92,748 0 1

3137A4-5X-1 FREDDIE MAC FHLMC 3778 4.000% 12/15/40 09/01/2017 Interest Capitalization 65,035 65,035 0 1

3137AD-H9-1 FREDDIE MAC FHLMC 3888 4.000% 07/15/41 09/01/2017 Interest Capitalization 246,631 246,631 0 1

3137AD-R5-8 FREDDIE MAC FHLMC 3887 4.000% 07/15/41 09/01/2017 Interest Capitalization 152,490 152,490 0 1

3137AF-HA-3 FREDDIE MAC FHLMC 3922 FREDDIE MAC FHLMC 09/01/2017 Interest Capitalization 16,047 16,047 0 1

3137AF-SY-9 FREDDIE MAC FHLMC 3919 FREDDIE MAC FHLMC 09/01/2017 Interest Capitalization 189,348 189,348 0 1

3137AJ-6R-0 FREDDIE MAC FHLMC_3955 FREDDIE MAC FHLMC 09/01/2017 Interest Capitalization 33,895 33,895 0 1

3137AJ-J7-0 FREDDIE MAC FHLMC_11-3960 FREDDIE MAC FH 09/01/2017 Interest Capitalization 114,297 114,297 0 1

3137AK-AR-2 FREDDIE MAC FHLMC_3982 FREDDIE MAC FHLMC 09/01/2017 Interest Capitalization 32,386 32,386 0 1

3137AN-JY-2 FREDDIE MAC FHLMC_4013 FREDDIE MAC FHLMC 09/01/2017 Interest Capitalization 42,382 42,382 0 1

3137AR-H3-3 FREDDIE MAC FHLMC_4057 FREDDIE MAC FHLMC 09/01/2017 Interest Capitalization 94,061 94,061 0 1

3137AR-M2-9 FREDDIE MAC FHLMC_4057 FREDDIE MAC FHLMC 09/01/2017 Interest Capitalization 74,203 74,203 0 1

3137BH-LC-9 FREDDIE MAC FHLMC_15-4461 SERIES 4461 CL 09/01/2017 Interest Capitalization 63,185 63,185 0 1

3137BK-HR-4 FREDDIE MAC FHLMC_15-4497 3.500% 07/15 09/01/2017 Interest Capitalization 63,817 63,817 0 1

31395B-Y8-0 FANNIE MAE ACES FNA 06-M1 2006-M1 Z 5. 09/01/2017 Interest Capitalization 129,682 129,682 0 1

31395J-HV-1 FHLMC 2882 5.000% 11/15/34 09/01/2017 Interest Capitalization 14,961 14,961 0 1

31396E-UC-8 FREDDIE MAC FHLMC 3065 5.500% 11/15/35 09/01/2017 Interest Capitalization 5,216 5,216 0 1

31397N-T4-7 FANNIE MAE FNMA 09-42 5.000% 06/25/39 09/01/2017 Interest Capitalization 9,075 9,075 0 1

31397Q-NQ-7 FANNIE MAE FNMA 11-9 3.500% 02/25/41 09/01/2017 Interest Capitalization 35,219 35,219 0 1

31397Q-PB-8 FANNIE MAE FNMA 11-12 FANNIE MAE FNMA_11 09/01/2017 Interest Capitalization 164,725 164,725 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-XA-1 FANNIE MAE FNMA 11-15 4.000% 03/25/41 09/01/2017 Interest Capitalization 142,760 142,760 0 1

31397Q-XE-3 FANNIE MAE FNMA 11-15 4.000% 03/25/41 09/01/2017 Interest Capitalization 193,810 193,810 0 1

31397S-AN-4 FANNIE MAE FNMA 11-16 5.000% 07/25/39 09/01/2017 Interest Capitalization 18,875 18,875 0 1

31397U-4L-0 FANNIE MAE FNMA 11-67 4.000% 07/25/41 09/01/2017 Interest Capitalization 52,127 52,127 0 1

31397U-DU-0 FANNIE MAE FNMA 11-47 4.000% 06/25/41 09/01/2017 Interest Capitalization 131,846 131,846 0 1

31398E-K9-4 FREDDIE MAC FHLMC 3556 AGENCY CMO 3556 08/01/2017 Interest Capitalization 61,979 61,979 0 1

31398G-D7-1 FANNIE MAE FNMA 10-6 5.000% 02/25/40 09/01/2017 Interest Capitalization 181,733 181,733 0 1

31398K-XQ-8 FREDDIE MAC FHLMC 3595 4.500% 11/15/39 09/01/2017 Interest Capitalization 68,224 68,224 0 1

31398S-2S-1 FANNIE MAE FNMA 10-152 4.000% 01/25/41 09/01/2017 Interest Capitalization 65,035 65,035 0 1

31398T-XU-0 FANNIE MAE FNMA 10-90 4.000% 08/25/40 09/01/2017 Interest Capitalization 98,471 98,471 0 1

64971X-BC-1 NEW YORK N Y CITY TRANSITIONAL NEW YORK 08/09/2017 J.P. MORGAN SECURITIES INC 10,005,700 10,000,000 0 1FE

BCC2DT-1F-4 TEMPORARY DEAL TEMP_NS-294 3.223% 12/2 07/28/2017 NOMURA SECURITIES (8,576,654) (9,322,450) (22,532) 1

BCC2EF-J5-6 TEMPORARY DEAL TEMP_NS-317 0.000% 12/1 09/20/2017 NOMURA SECURITIES 4,501,563 5,000,000 12,591 1

3199999. Subtotal - Bonds - U.S. Special Revenues 9,674,360 9,421,301 (9,941) XXX00122@-AA-9 AES SOUTHLAND LLC 4.500% 02/29/40 08/31/2017 BANK OF TOKYO MIT 4,879,588 4,879,588 0 2Z

00138G-AC-3 AMERICAN GENERAL CORP Series 144A 8.12 09/15/2017 Tax Free Exchange 37,694,106 35,000,000 0 2FE

00164V-AE-3 AMC NETWORKS INC 4.750% 08/01/25 07/19/2017 CITIGROUP GLOBAL MARKETS 500,000 500,000 0 3FE

00817Y-AZ-1 AETNA INC 3.875% 08/15/47 08/07/2017 BANC OF AMERICA SECURITIES LLC 6,977,740 7,000,000 0 2FE

00912X-AV-6 AIR LEASE CORPORATION 3.625% 04/01/27 07/06/2017 MITSUBISHI SECURITIES 4,981,050 5,000,000 61,927 2FE

02376A-AA-7 AMERICAN AIRLINES 2017-2 CLASS AMERICAN 07/31/2017 GOLDMAN SACHS & CO 5,000,000 5,000,000 0 1FE

023771-S4-1 AMERICAN AIRLINES 2016-3 CLASS AMERICAN 09/20/2017 CREDIT SUISSE FIRST BOSTON COR 3,000,000 3,000,000 0 2FE

02377D-AA-0 AMERICAN AIRLINES 2017-2B CLAS AMERICAN 09/26/2017 DEUTSCHE BANK SECURITIES INC. 3,000,000 3,000,000 0 2FE

03523T-BT-4 ANHEUSER-BUSCH INBEV WOR 4.439% 10/06/ 08/21/2017 Tax Free Exchange 72,476,869 71,709,000 1,193,686 1FE

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)

03674X-AJ-5 ANTERO RESOURCES CORP 5.000% 03/01/25 07/27/2017 Tax Free Exchange 2,000,000 2,000,000 40,556 3FE

037411-AM-7 APACHE CORPORATION 7.375% 08/15/47 08/15/2017 Tax Free Exchange 17,796,750 20,000,000 0 2FE

037833-DB-3 APPLE INC 2.900% 09/12/27 09/05/2017 DEUTSCHE BANK SECURITIES INC. 4,994,400 5,000,000 0 1FE

037833-DD-9 APPLE INC 3.750% 09/12/47 09/05/2017 GOLDMAN SACHS & CO 2,982,870 3,000,000 0 1FE

042735-BG-4 ARROW ELECTRONICS INC 3.250% 09/08/24 09/05/2017 BANC OF AMERICA SECURITIES LLC 1,987,740 2,000,000 0 2FE

04621X-AF-5 ASSURANT INC ASSURANT INC 4.000% 03/15 09/12/2017 WELLS FARGO BANK 4,392,756 4,210,000 83,732 2FE

04685A-2E-0 ATHENE GLOBAL FUNDING Series 144A 3.00 09/18/2017 BARCLAYS CAPITAL INC 2,989,740 3,000,000 19,500 1FE

053332-AV-4 AUTOZONE INC 3.750% 06/01/27 07/10/2017 BANC OF AMERICA SECURITIES LLC 2,561,822 2,555,000 22,622 2FE

05946X-RJ-4 BAFC 05-A 2005-A 5M2 2.086% 02/20/35 08/21/2017 Interest Capitalization 531 531 0 1FM

06541X-AK-6 BANK BANK_17-BNK7 3.949% 09/15/60 09/19/2017 WELLS FARGO BANK 7,209,447 7,000,000 20,732 1FE

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-AJ-6 BLACKSTONE HOLDINGS FINANCE CO Series 14 09/25/2017 BANC OF AMERICA SECURITIES LLC 4,979,600 5,000,000 0 1FE

096630-AD-0 BOARDWALK PIPELINES LP 4.950% 12/15/24 09/28/2017 Suntrust Banks Inc 3,303,634 3,095,000 45,535 2FE

10510K-AC-1 BRAMBLES USA INC Series 144A 4.125% 10 09/19/2017 DEUTSCHE BANK SECURITIES INC. 4,074,502 3,879,000 65,781 2FE

10922N-AA-1 BRIGHTHOUSE FINANCIAL INC Series 144A 09/11/2017 MORGAN STANLEY 3,955,751 3,997,000 33,275 2FE

120568-AX-8 BUNGE LIMITED FINANCE CORP BUNGE LIMITED 08/16/2017 Various 4,105,331 4,252,000 26,902 2FE

120568-AY-6 BUNGE LIMITED FINANCE CORP BUNGE LIMITED 09/20/2017 CITIGROUP GLOBAL MARKETS 4,999,650 5,000,000 0 2FE

120568-AZ-3 BUNGE LIMITED FINANCE CORP BUNGE LIMITED 09/18/2017 CITIGROUP GLOBAL MARKETS 6,981,520 7,000,000 0 2FE

12189T-AF-1 BURLINGTON NORTHERN SANTA FE 7.250% 08 08/29/2017 Tax Free Exchange 38,232,126 45,000,000 0 1FE

12549B-AS-7 CIFC_13-2A CIFC FUNDING LTD CIFC_13-2A 09/27/2017 MORGAN STANLEY 10,700,000 10,700,000 0 1FE

125509-BW-8 CIGNA CORP 3.875% 10/15/47 09/05/2017 J.P. MORGAN SECURITIES INC 3,494,295 3,500,000 0 2FE

12558G-AE-5 CIT EQUIPMENT COLLATERAL CITEC Series 14 08/25/2017 BANC OF AMERICA SECURITIES LLC 401,375 400,000 294 1FE

12701#-AA-1 CRG ISSUER CRG_17-1 CRG PARTNERS TRUST C 07/27/2017 GOLDMAN SACHS & CO 8,000,000 8,000,000 0 1Z

14456#-AA-4 Carrix CARRIX INC 4.960% 07/19/27 07/19/2017 BANC OF AMERICA SECURITIES LLC 12,000,000 12,000,000 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-AH-4 CONCHO RESOURCES INC 3.750% 10/01/27 09/13/2017 BANC OF AMERICA SECURITIES LLC 2,989,080 3,000,000 0 2FE

22819K-AB-6 CROWN AMERICAS LLC 4.250% 09/30/26 08/21/2017 Tax Free Exchange 1,000,000 1,000,000 16,646 4FE

22822V-AH-4 CROWN CASTLE INTERNATIONAL COR 3.650% 09/13/2017 Suntrust Banks Inc 5,000,950 5,000,000 22,306 2FE

233046-AE-1 DB MASTER FINANCE LLC DNKN_17- Series 14 09/13/2017 Guggenheim Capital 6,000,000 6,000,000 0 2FE

233046-AF-8 DB MASTER FINANCE LLC DNKN_17- Series 14 09/15/2017 Guggenheim Capital 10,000,000 10,000,000 0 2FE

25389J-AR-7 Digital Rlty DIGITAL REALTY TRUST LP 3 08/02/2017 CITIGROUP GLOBAL MARKETS 4,996,200 5,000,000 0 2FE

254709-AL-2 DISCOVER FINANCIAL SERVICES 3.750% 03/ 09/20/2017 BARCLAYS CAPITAL INC 5,059,300 5,000,000 9,375 2FE

26884A-BG-7 ERP OPER LP 3.250% 08/01/27 07/31/2017 CITIGROUP GLOBAL MARKETS 4,991,100 5,000,000 0 1FE

269246-BQ-6 E TRADE FINANCIAL CORP 3.800% 08/24/27 08/15/2017 CREDIT SUISSE FIRST BOSTON COR 4,992,600 5,000,000 0 2FE

278062-AF-1 EATON CORPORATION 3.915% 09/15/47 09/06/2017 CITIGROUP GLOBAL MARKETS 4,000,000 4,000,000 0 2FE

30212P-AN-5 EXPEDIA INC Series 144A 3.800% 02/15/2 09/21/2017 Various 4,480,315 4,500,000 844 2FE

33850B-AW-7 FLAGSTAR MORTGAGE TRUST FSMT_1 Series 14 07/27/2017 J.P. MORGAN SECURITIES INC 3,332,830 3,348,000 10,340 1FE

35877#-AA-0 FRISCO HQ OPERATIONSLLC FRISCO HQ OPERAT 08/22/2017 BANC OF AMERICA SECURITIES LLC 5,000,000 5,000,000 0 2Z

38239J-AA-9 GOODMAN US FINANCE THREE LLC Series 144A 09/19/2017 DEUTSCHE BANK SECURITIES INC. 2,005,320 2,000,000 0 2FE

39121J-C@-7 GREAT RIVER ENERGY 3.590% 10/15/45 08/30/2017 KEYBANC CAPITAL MARKET 9,000,000 9,000,000 0 2Z

406216-BA-8 HALLIBURTON COMPANY 4.500% 11/15/41 07/28/2017 BARCLAYS CAPITAL INC 5,069,300 5,000,000 48,125 2FE

418056-AV-9 HASBRO INC 3.500% 09/15/27 09/11/2017 Various 6,991,680 7,000,000 0 2FE

432891-AK-5 HILTON WORLDWIDE FINANCE LLC 4.875% 04 08/11/2017 Tax Free Exchange 10,002,207 10,000,000 196,354 3FE

443510-AH-5 HUBBELL INC HUBBELL INCORPORATED 3.150 07/31/2017 J.P. MORGAN SECURITIES INC 4,960,000 5,000,000 0 1FE

44409M-AA-4 HUDSON PACIFIC PROPERTIES LP 3.950% 11 09/25/2017 WELLS FARGO BANK 9,981,500 10,000,000 0 2FE

44929@-AP-9 ICRE REIT ICRE REIT HOLDINGS 3.760% 07 07/05/2017 BANC OF AMERICA SECURITIES LLC 5,000,000 5,000,000 0 1Z

46647S-CQ-1 JP MORGAN MORTGAGE TRUST JPMMT Series 14 08/09/2017 J.P. MORGAN SECURITIES INC 7,290,585 7,120,000 22,310 1FE

491386-E#-1 KENTUCKY PWR CO KENTUCKY POWER COMPANY 09/12/2017 BARCLAYS CAPITAL INC 8,000,000 8,000,000 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

52107Q-AH-8 LAZARD GROUP LLC 3.625% 03/01/27 07/13/2017 Various 5,944,368 6,003,000 81,570 2FE

521865-AY-1 LEAR CORP LEAR CORPORATION 3.800% 09/1 09/07/2017 BANC OF AMERICA SECURITIES LLC 9,974,160 10,000,000 7,600 2FE

539830-BM-0 LOCKHEED MARTIN CORP Series 144A 4.090 09/07/2017 Taxable Exchange 33,188,915 31,360,000 0 2FE

61744Y-AL-2 MORGAN STANLEY 3.971% 07/22/38 07/19/2017 MORGAN STANLEY 2,000,000 2,000,000 0 1FE

62943W-AE-9 NRG YIELD OPRATING LLC 5.000% 09/15/26 07/01/2017 Tax Free Exchange 5,000,000 5,000,000 72,222 3FE

636180-BN-0 NATIONAL FUEL GAS COMPANY NATIONAL FUEL 09/28/2017 Various 6,451,425 6,500,000 2,194 2FE

637417-AK-2 NATIONAL RETAIL PROPERTIES INC 3.500% 09/06/2017 WELLS FARGO BANK 4,979,650 5,000,000 0 2FE

64128X-AG-5 NEUBERGER BERMAN GROUP LLC Series 144A 09/28/2017 MITSUBISHI SECURITIES 6,359,520 6,000,000 60,000 2FE

655844-BU-1 NORFOLK SOUTHERN CORPORATION Series 144A 08/23/2017 Taxable Exchange 42,876,838 42,837,000 0 2FE

667274-AB-0 NORTHWELL HEALTHCARE INC 3.391% 11/01/ 09/19/2017 CITIGROUP GLOBAL MARKETS 5,000,000 5,000,000 0 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

67103H-AF-4 OREILLY AUTOMOTIVE INC 3.600% 09/01/27 08/10/2017 BANC OF AMERICA SECURITIES LLC 998,400 1,000,000 0 2FE

678858-BN-0 OKLAHOMA GAS & ELEC CO OKLAHOMA GAS AND 08/16/2017 Various 2,329,865 2,300,000 26,108 1FE

E04.2



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)

678858-BS-9 OKLAHOMA GAS & ELEC CO OKLAHOMA GAS AND 08/08/2017 MITSUBISHI SECURITIES 2,990,460 3,000,000 0 1FE

76112B-QB-9 RESIDENTIAL ASSET MORTGAGE PRO 2005-RS5 09/25/2017 Interest Capitalization 76 76 0 1FM

78471K-BJ-9 SOFI MORTGAGE TRUST SFPMT_16-1 Series 14 08/24/2017 J.P. MORGAN SECURITIES INC 2,267,015 2,303,182 5,675 1FE

811054-AG-0 EW SCRIPPS CO Series 144A 5.125% 05/15 09/06/2017 Suntrust Banks Inc 1,020,000 1,000,000 18,507 3FE

824348-AZ-9 SHERWIN-WILLIAMS COMPANY (THE) 7.250% 08/09/2017 Tax Free Exchange 4,995,016 5,000,000 54,375 2FE

824348-BB-1 SHERWIN-WILLIAMS COMPANY (THE) 4.200% 08/09/2017 Tax Free Exchange 11,991,812 12,000,000 33,600 2FE

824348-BD-7 SHERWIN-WILLIAMS COMPANY (THE) 3.300% 08/09/2017 Tax Free Exchange 4,990,280 5,000,000 3,667 2FE

824348-BH-8 SHERWIN-WILLIAMS COMPANY (THE) 4.400% 08/09/2017 Tax Free Exchange 5,089,158 5,000,000 4,889 2FE

832248-BA-5 SMITHFIELD FOODS, INC. Series 144A 2.6 09/28/2017 MORGAN STANLEY 2,990,520 3,000,000 0 2FE

858271-A*-0 STEELRIVER TRANSMISSION COMPAN STEELRIVE 07/01/2017 MITSUBISHI SECURITIES 4,000,000 4,000,000 0 2Z

89214P-BD-0 TOWNEBANK/PORTSMOUTH VA 4.500% 07/30/2 07/12/2017 SANDLER AND O'NEIL 5,000,000 5,000,000 0 2FE

89307#-AA-7 TRANS BAY CABLE LLC 2.930% 06/30/47 07/01/2017 MITSUBISHI SECURITIES 10,000,000 10,000,000 0 1Z

89417E-AL-3 TRAVELERS COS INC 3.750% 05/15/46 08/17/2017 J.P. MORGAN SECURITIES INC 3,008,730 3,000,000 30,313 1FE

89679H-AG-0 TRITON CONTAINER FINANCE LLC T Series 14 08/16/2017 ROYAL BANK OF CANADA 5,998,022 6,000,000 0 2FE

91324P-CA-8 UNITEDHEALTH GROUP INC 3.950% 10/15/42 08/15/2017 WELLS FARGO BANK 7,140,000 7,000,000 94,471 1FE

918288-AB-7 VSE VOI MORTGAGE LLC VSTNA_16- Series 14 09/13/2017 WELLS FARGO BANK 9,998,926 10,000,000 0 1FE

918288-AC-5 VSE VOI MORTGAGE LLC VSTNA_16- Series 14 09/13/2017 WELLS FARGO BANK 6,499,990 6,500,000 0 2FE

92343E-AJ-1 VERISIGN INC Series 144A 4.750% 07/15/ 07/05/2017 J.P. MORGAN SECURITIES INC 1,000,000 1,000,000 0 3FE

92343E-AL-6 VERISIGN INC Series 144A 4.750% 07/15/ 09/22/2017 Tax Free Exchange 1,000,000 1,000,000 10,160 3FE

960386-AL-4 WABTEC CORP WABTEC CORPORATION 3.450% 09/19/2017 Various 4,938,654 5,000,000 60,375 2FE

960386-AL-4 WABTEC CORP WABTEC CORPORATION 3.450% 08/31/2017 Tax Free Exchange 9,996,842 10,000,000 101,583 2FE

96949L-AD-7 WILLIAMS PRTNRS 3.750% 06/15/27 07/10/2017 CITIGROUP GLOBAL MARKETS 4,932,100 5,000,000 19,792 2FE

981811-AF-9 WORTHINGTON IND INC WORTHINGTON INDUSTRI 07/26/2017 Various 7,016,030 7,000,000 1,003 2FE

98978V-AM-5 ZOETIS INC 3.950% 09/12/47 09/05/2017 BARCLAYS CAPITAL INC 1,988,160 2,000,000 0 2FE

008474-D@-4 AGNICO EAGLE MINES LTD 4.740% 06/29/29 07/01/2017 CITIGROUP GLOBAL MARKETS 9,000,000 9,000,000 0 2Z

01626P-AG-1 ALIMENTATION COUCHE-TARD INC Series 144A 08/10/2017 CITIGROUP GLOBAL MARKETS 5,086,950 5,000,000 11,875 2FE

124900-AB-7 CCL INDS INC Series 144A 3.250% 10/01/ 08/22/2017 JEFFRIES & COMPANY INC 485,558 505,000 6,565 2FE

00774M-AB-1 AERCAP IRELAND CAPITAL LTD 3.650% 07/2 C 09/07/2017 Various 7,495,170 7,500,000 10,139 2FE

034863-AT-7 ANGLO AMERICAN CAPITAL PLC Series 144A C 09/07/2017 Various 7,028,650 7,000,000 0 2FE

05464H-AB-6 AXIS SPECIALTY FINANCE PLC 5.150% 04/0 C 07/20/2017 JEFFRIES & COMPANY INC 3,222,600 3,000,000 48,925 2FE

05565Q-DN-5 BP CAPITAL MARKETS PLC 3.279% 09/19/27 C 09/14/2017 CREDIT SUISSE FIRST BOSTON COR 3,500,000 3,500,000 0 1FE

05674X-AA-9 SUZANO AUSTRIA GMBH Series 144A 5.750% C 09/05/2017 J.P. MORGAN SECURITIES INC 3,782,765 3,500,000 32,424 3FE

12805P-AC-0 CAL FUNDING II LTD CAI_17-1A Series 144A C 07/06/2017 BANC OF AMERICA SECURITIES LLC 0 0 (12,471) 2AM

156830-AA-9 CERRO DEL AGUILA SA Series 144A 4.125% C 08/09/2017 CREDIT SUISSE FIRST BOSTON COR 8,488,950 8,500,000 0 2FE

2027A0-JR-1 COMMONWEALTH BANK AUSTRALIA Series 144A C 09/13/2017 J.P. MORGAN SECURITIES INC 4,996,050 5,000,000 0 1FE

2027A0-JT-7 COMMONWEALTH BANK AUSTRALIA Series 144A C 09/13/2017 CITIGROUP GLOBAL MARKETS 4,995,750 5,000,000 0 1FE

26835P-AF-7 EDP FINANCE BV Series 144A 3.625% 07/1 C 09/22/2017 GOLDMAN SACHS & CO 7,093,730 7,000,000 62,028 2FE

37254B-AA-8 GENPACT LUXEMBOURG SARL Series 144A 3. C 09/19/2017 WELLS FARGO BANK 5,438,056 5,355,000 95,765 2FE

423012-AE-3 HEINEKEN NV Series 144A 4.000% 10/01/4 D 08/17/2017 Suntrust Banks Inc 5,822,341 5,786,000 90,560 2FE

48668N-AA-9 KAZTRANSGAZ AO Series 144A 4.375% 09/2 C 09/19/2017 CITIGROUP GLOBAL MARKETS 4,989,950 5,000,000 0 2FE

50247W-AB-3 LYB INTERNATIONAL FINANCE II B 3.500% C 07/07/2017 Various 4,796,036 4,868,000 61,270 2FE

55819B-AM-2 MADISON PARK FUNDING LTD MDPK_ Series 14 C 09/29/2017 MITSUBISHI SECURITIES 4,000,000 4,000,000 0 1FE

55819B-AN-0 MADISON PARK FUNDING LTD MDPK_ Series 14 C 09/29/2017 MITSUBISHI SECURITIES 4,800,000 4,800,000 0 1FE

60687Y-AM-1 MIZUHO FINANCIAL GROUP INC 3.170% 09/1 C 09/06/2017 MIZUHO SECURITIES 5,000,000 5,000,000 0 1FE

75620T-AS-7 RECETTE CLO LLC RCTTE_15-1A Series 144A C 09/22/2017 BANC OF AMERICA SECURITIES LLC 8,000,000 8,000,000 0 1FE

822582-BQ-4 SHELL INTERNATIONAL FINANCE BV 4.000% C 08/16/2017 SOCIETE GENERALE BANK 6,970,360 7,000,000 78,556 1FE

86564C-AB-6 SUMITOMO LIFE INSURANCE CO Series 144A C 09/07/2017 J.P. MORGAN SECURITIES INC 5,000,000 5,000,000 0 1FE

89400P-AG-8 TRANSURBAN FINANCE COMPANY PTY Series 14 C 07/06/2017 DEUTSCHE BANK SECURITIES INC. 3,410,832 3,500,000 35,766 2FE

902133-AU-1 TYCO ELECTRONICS GROUP SA TYCO ELECTRONI C 07/31/2017 BANC OF AMERICA SECURITIES LLC 4,959,950 5,000,000 0 1FE

980236-AP-8 WOODSIDE FIN LTD Series 144A 3.700% 03 C 09/06/2017 UBS WARBURG LLC 3,497,585 3,500,000 0 2FE

L6388F-AM-4 MILLICOM INTL CELLULAR S.A. MILLICOM INT D 07/12/2017 BARCLAYS CAPITAL INC 3,133,500 3,000,000 61,000 3FE

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 1,000,000 1,000,000 0 2Z

BGW45E-LS-1 VIKING ACQUIRECO INC 08/31/2017 Antares Capital 5,721,788 5,721,788 0 4

BGW45J-BJ-1 DISCOVERORG LLC 09/01/2017 Antares Capital 7,173,913 7,173,913 0 4

BGW45G-SQ-3 PATHWAY PARTNERS VET MANAGEMENT CO 09/01/2017 Antares Capital 208,333 208,333 0 4

BGW45L-1A-6 BHI INVESTMENTS LLC 09/05/2017 Antares Capital 5,080,943 5,080,943 0 4

BGW45L-1F-5 BHI INVESTMENTS LLC 09/05/2017 Antares Capital 146,004 146,004 0 4

BGW466-H1-1 BHI INVESTMENTS LLC 09/20/2017 Antares Capital 292,008 292,008 0 4

BGW45G-RL-5 PATHWAY PARTNERS VET MANAGEMENT CO 09/06/2017 Antares Capital 3,900,605 3,900,605 0 4

BGW45Z-8H-3 EDGEWOOD PARTNERS HOLDINGS LLC 09/15/2017 Antares Capital 4,588,235 4,588,235 0 4

BGW45Z-24-8 GETWELLNETWORK INC 09/15/2017 Antares Capital 6,666,667 6,666,667 0 4

E04.3



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)

BGW46B-8U-6 Q INTERNATIONAL COURIER LLC 09/26/2017 Antares Capital 4,077,001 4,077,001 0 4

BGW46L-9W-9 BRADSHAW INTERNATIONAL INC 09/29/2017 Antares Capital 5,500,000 5,500,000 0 4

3899999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) 879,077,383 880,117,874 3,255,764 XXX

4899999. Subtotal - Bonds - Hybrid Securities 0 0 0 XXX

5599999. Subtotal - Bonds - Parent, Subsidiaries and Affiliates 0 0 0 XXX

8199999. Subtotal - Bonds - SVO Identified Funds 0 0 0 XXX

8399997. Total - Bonds - Part 3 911,134,050 912,708,378 3,268,355 XXX

8399998. Total - Bonds - Part 5 XXX XXX XXX XXX

8399999. Total - Bonds 911,134,050 912,708,378 3,268,355 XXX

8499999. Subtotal - Preferred Stocks - Industrial and Miscellaneous (Unaffiliated) 0 XXX 0 XXX

8599999. Subtotal - Preferred Stocks - Parent, Subsidiaries and Affiliates 0 XXX 0 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 XXX

9099999. Subtotal - Common Stocks - Industrial and Miscellaneous (Unaffiliated) 0 XXX 0 XXX

9199999. Subtotal - Common Stocks - Parent, Subsidiaries and Affiliates 0 XXX 0 XXX

9299999. Subtotal - Common Stocks - Mutual Funds 0 XXX 0 XXX

9399999. Subtotal - Common Stocks - Money Market Mutual Funds 0 XXX 0 XXX

9799997. Total - Common Stocks - Part 3 0 XXX 0 XXX

9799998. Total - Common Stocks - Part 5 XXX XXX XXX XXX

9799999. Total - Common Stocks 0 XXX 0 XXX

9899999. Total - Preferred and Common Stocks 0 XXX 0 XXX

9999999 - Totals 911,134,050 XXX 3,268,355 XXX

(a) For all common stock bearing the NAIC market indicator "U" provide: the number of such issues

E04.4


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

Foreign Exchange Change in

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 15,404 15,404 14,320 14,566 0 837 0 837 0 15,404 0 0 0 500 07/15/2033 1

38373M-8G-8 GNMA 09-63 GNMA_09-63 5.342% 03/16/51 09/01/2017 Paydown 27,113 27,113 26,179 26,248 0 866 0 866 0 27,113 0 0 0 966 03/16/2051 1

38373M-AX-8 GNMA 01-44 2001-44 Z 6.877% 07/16/41 09/01/2017 Paydown 82,673 82,673 81,932 82,105 0 568 0 568 0 82,673 0 0 0 3,792 07/16/2041 1

38373M-EQ-9 GNMA 02-53 2002-53 Z 6.791% 04/16/42 09/01/2017 Paydown 1,933 1,933 1,942 1,932 0 1 0 1 0 1,933 0 0 0 88 04/16/2042 1

38373M-LL-2 GOVERNMENT NATIONAL MORTGAGE A 2004-57 Z 09/01/2017 Paydown 3,858,320 3,858,320 3,415,111 3,495,928 0 362,392 0 362,392 0 3,858,320 0 0 0 126,999 07/16/2044 1

38373M-ML-1 GOVERNMENT NATIONAL MORTGAGE A 2004-108Z 09/01/2017 Paydown 32,582 32,582 28,697 29,500 0 3,082 0 3,082 0 32,582 0 0 0 997 12/16/2044 1

38373M-MV-9 GNMA 05-2 2005 2ZB 5.326% 07/16/44 09/01/2017 Paydown 24,272 24,272 24,272 24,272 0 0 0 0 0 24,272 0 0 0 862 07/16/2044 1

38373M-NV-8 GM 05-9 2005-9 Z 4.650% 01/16/45 09/01/2017 Paydown 26,328 26,328 24,451 24,718 0 1,609 0 1,609 0 26,328 0 0 0 816 01/16/2045 1

38373M-PX-2 GM 05-29 2005-29 Z 4.250% 04/16/45 09/01/2017 Paydown 1,640,735 1,640,735 1,446,900 1,472,454 0 168,281 0 168,281 0 1,640,735 0 0 0 17,425 04/16/2045 1

38373M-RB-8 GNMA 05-50 2005-50 Z 4.797% 06/16/45 09/01/2017 Paydown 1,219,941 1,219,941 1,219,862 1,213,835 0 1,249 0 1,249 0 1,219,941 0 0 0 9,825 06/16/2045 1

38373M-TA-8 GNMA 06-5 2006-5 Z 4.742% 01/16/46 09/01/2017 Paydown 880,235 880,235 825,874 834,961 0 45,273 0 45,273 0 880,235 0 0 0 24,719 01/16/2046 1

38373M-TV-2 GNMA 06-18 2006-18 Z 4.822% 03/16/45 09/01/2017 Paydown 96,333 96,333 87,065 89,388 0 6,945 0 6,945 0 96,333 0 0 0 3,098 03/16/2045 1

38373M-UL-2 GNMA 06-15 2006-15 Z 4.151% 04/16/46 09/01/2017 Paydown 43,365 43,365 35,583 37,196 0 6,169 0 6,169 0 43,365 0 0 0 1,200 04/16/2046 1

38373T-Y5-8 GNMA 02-9 2002-9 Z 6.803% 12/16/41 09/01/2017 Paydown 11,895 11,895 11,895 11,895 0 0 0 0 0 11,895 0 0 0 540 12/16/2041 1

38373V-MP-2 GNMA 02-61 2002-61 Z 6.426% 07/16/42 09/01/2017 Paydown 7,262 7,262 7,262 7,262 0 0 0 0 0 7,262 0 0 0 311 07/16/2042 1

38373W-NZ-7 GNMASP 02-25 2002-25 Z 7.055% 02/16/42 09/01/2017 Paydown 786,190 786,190 787,354 784,761 0 1,429 0 1,429 0 786,190 0 0 0 36,780 02/16/2042 1

38374B-BG-7 GNMA 03-49 2003-49 Z 5.210% 04/16/43 09/01/2017 Paydown 58,641 58,641 58,637 58,564 0 77 0 77 0 58,641 0 0 0 2,038 04/16/2043 1

38374B-QR-7 GOVERNMENT NATIONAL MORTGAGE A 2003-72 Z 09/01/2017 Paydown 297,176 297,176 263,270 266,530 0 30,646 0 30,646 0 297,176 0 0 0 9,225 11/16/2045 1

38374G-5L-2 GNMA 04-43 2004-43 ZS 4.500% 04/16/36 09/01/2017 Paydown 174,523 174,523 154,854 172,221 0 2,302 0 2,302 0 174,523 0 0 0 5,671 04/16/2036 1

38374G-RF-1 GOVERNMENT NATIONAL MORTGAGE AGENCY CMO 09/01/2017 Paydown 5,261 5,261 5,162 5,201 0 60 0 60 0 5,261 0 0 0 180 05/20/2034 1

38374J-7B-6 GOVERNMENT NATIONAL MORTGAGE A 2004-103 09/01/2017 Paydown 38,536 38,536 37,879 37,912 0 623 0 623 0 38,536 0 0 0 1,315 11/16/2044 1

38374J-F5-0 GOVERNMENT NATIONAL MORTGAGE A 2004-97 09/01/2017 Paydown 51,860 51,860 52,012 51,408 0 (114) 0 (114) 0 51,860 0 0 0 1,754 09/16/2037 1

38374J-FJ-0 GNMA 04-77 2004-77 Z 5.854% 09/16/44 09/01/2017 Paydown 281,499 281,499 278,849 278,713 0 2,786 0 2,786 0 281,499 0 0 0 10,991 09/16/2044 1

38374J-VD-5 GNMA 04-84 2004-84 ZB 5.566% 09/16/44 09/01/2017 Paydown 1,750 1,750 1,721 1,726 0 24 0 24 0 1,750 0 0 0 65 09/16/2044 1

38376F-2S-0 GOVERNMENT NATIONAL MORTGAGE A GNMA_09-8 09/01/2017 Paydown 284,815 284,815 279,034 279,495 0 4,138 0 4,138 0 284,815 0 0 0 3,044 09/20/2039 1

38376F-T6-9 GOVERNMENT NATIONAL MORTGAGE A GNMA_09-8 09/01/2017 Paydown 219,714 219,714 213,284 215,298 0 4,415 0 4,415 0 219,714 0 0 0 7,541 09/16/2039 1

38376F-UF-7 GOVERNMENT NATIONAL MORTGAGE GNMA_09-78 09/01/2017 Paydown 931,670 931,670 896,969 908,407 0 23,263 0 23,263 0 931,670 0 0 0 15,260 09/20/2039 1

38376G-AZ-3 GOVERNMENT NATIONAL MORTGAGE A GNMA_09-9 09/01/2017 Paydown 4,956 4,956 4,839 4,847 0 109 0 109 0 4,956 0 0 0 185 04/16/2051 1

38376J-EZ-3 GOVERNMENT NATIONAL MOTGAGE AS GNMA_09-1 09/01/2017 Paydown 507,836 507,836 494,764 499,603 0 8,234 0 8,234 0 507,836 0 0 0 15,276 11/20/2039 1

38376J-JV-7 GOVERNMENT NATIONAL MORTGAGE A GNR 2009- 09/01/2017 Paydown 1,387,858 1,387,858 1,351,967 1,362,958 0 24,900 0 24,900 0 1,387,858 0 0 0 17,254 11/20/2039 1

38376J-Z3-1 GOVERNMENT NATIONAL MORTGAGE A GNMA_09-1 09/01/2017 Paydown 264,363 264,363 245,411 250,808 0 12,567 0 12,567 0 264,363 0 0 0 2,573 12/20/2039 1

38376K-AP-6 GOVERNMENT NATIONAL MORTGAGE A GNMA_09-9 09/01/2017 Paydown 880,024 880,024 868,579 871,679 0 8,345 0 8,345 0 880,024 0 0 0 21,900 10/20/2039 1

38376K-B7-5 GOVERNMENT NATIONAL MORTGAGE A GNR_09-91 09/01/2017 Paydown 661,310 661,310 651,826 654,771 0 6,539 0 6,539 0 661,310 0 0 0 21,860 10/20/2039 1

38376K-ZJ-3 GOVERNMENT NATIONAL MORTGAGE A GNR 2009- 09/01/2017 Paydown 1,001,778 1,001,778 985,162 990,520 0 11,258 0 11,258 0 1,001,778 0 0 0 33,389 10/20/2039 1

38376P-D7-2 GOVERNMENT NATIONAL MORTGAGE A 4.500% 09/01/2017 Paydown 1,088,193 1,088,193 1,008,851 1,031,558 0 52,569 0 52,569 0 1,088,193 0 0 0 11,665 12/20/2039 1

38376P-TF-7 GOVERNMENT NATIONAL MORTGAGE A GNMA_09-1 09/01/2017 Paydown 808,658 808,658 756,299 775,384 0 33,274 0 33,274 0 808,658 0 0 0 18,243 12/20/2039 1

38376P-YU-8 GOVERNMENT NATIONAL MORTGAGE A GNMA_09-1 09/01/2017 Paydown 1,575,243 1,575,243 1,552,891 1,560,852 0 14,390 0 14,390 0 1,575,243 0 0 0 52,847 12/16/2039 1

38377F-UT-6 GOVERNMENT NATIONAL MORTGAGE A GNR_10-55 09/01/2017 Paydown 76,580 76,580 79,165 78,096 0 (1,515) 0 (1,515) 0 76,580 0 0 0 1,791 06/20/2039 1

38379U-TZ-9 GOVERMENT NATIONAL MORTGAGE AS GNMA_16-7 09/01/2017 Paydown 355,929 355,929 356,874 356,875 0 (946) 0 (946) 0 355,929 0 0 0 5,590 10/01/2057 1

38379U-UB-0 GOVERMENT NATIONAL MORTGAGE AS GNMA_16-7 09/01/2017 Paydown 355,929 355,929 362,102 362,021 0 (6,092) 0 (6,092) 0 355,929 0 0 0 6,211 10/01/2057 1

0599999. Subtotal - Bonds - U.S. Governments 20,068,683 20,068,683 18,999,100 19,226,468 0 830,553 0 830,553 0 20,068,683 0 0 0 494,786 XXX XXX536878-AE-1 LITHUANIA REPUBLIC OF 5.125% 09/14/17 D 09/14/2017 Maturity 7,500,000 7,500,000 7,788,750 7,536,357 0 (36,357) 0 (36,357) 0 7,500,000 0 0 0 384,375 09/14/2017 1FE

78307A-CZ-4 RUSSIAN FEDERATION OF 144A 7.500% 03/3 D 09/30/2017

Redemption 100.0000

48,150 48,150 48,042 49,221 0 (1,071) 0 (1,071) 0 48,150 0 0 0 3,611 03/31/2030 3FE

X74344-DM-5 RUSSIAN FEDERATION OF REGS 7.500% 03/3 D 09/30/2017

Redemption 100.0000

60,000 60,000 59,981 61,294 0 (1,294) 0 (1,294) 0 60,000 0 0 0 4,500 03/31/2030 3FE

1099999. Subtotal - Bonds - All Other Governments 7,608,150 7,608,150 7,896,773 7,646,872 0 (38,722) 0 (38,722) 0 7,608,150 0 0 0 392,486 XXX XXX 0 0

1799999. Subtotal - Bonds - U.S. States, Territories and Possessions 0 0 0 0 0 0 0 0 0 0 0 0 0 0 XXX XXX 0 0

2499999. Subtotal - Bonds - U.S. Political Subdivisions of States, Territories and Possessions 0 0 0 0 0 0 0 0 0 0 0 0 0 0 XXX XXX

14069B-AA-2 CAPMARK MILITARY HOUSING TRUST 2007-AETC 09/10/2017

Redemption 100.0000

29,061 29,061 29,149 29,137 0 (76) 0 (76) 0 29,061 0 0 0 1,114 02/10/2052 1

3128MC-GD-1 FREDDIE MAC GOLD POOL # G13596 4.000% 09/01/2017 Paydown 41,080 41,080 42,268 41,905 0 (825) 0 (825) 0 41,080 0 0 0 1,097 07/01/2024 1

312903-P8-4 FREDDIE MAC FHLMC 162 162 F 7.000% 05/ 09/15/2017 Paydown 905 905 917 904 0 2 0 2 0 905 0 0 0 42 05/15/2021 1

312904-AD-7 FREDDIE MAC FHLMC 180 180 H 6.500% 09/ 09/15/2017 Paydown 1,127 1,127 1,098 1,114 0 13 0 13 0 1,127 0 0 0 49 09/15/2021 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)312904-EY-7 FHLMC 188 188 H 7.000% 09/15/21 09/15/2017 Paydown 3,506 3,506 3,434 3,471 0 35 0 35 0 3,506 0 0 0 167 09/15/2021 1

312904-SN-6 FHLMC 1015 1015 F 7.000% 11/15/20 09/01/2017 Paydown 182 182 185 183 0 (1) 0 (1) 0 182 0 0 0 9 11/15/2020 1

312905-3J-9 FHLMC 1096 1096 E 7.000% 06/15/21 09/01/2017 Paydown 6,594 6,594 6,576 6,576 0 18 0 18 0 6,594 0 0 0 307 06/15/2021 1

312905-KJ-0 FHLMC 1060 1060 X 7.250% 03/15/21 09/01/2017 Paydown 847 847 846 846 0 2 0 2 0 847 0 0 0 15 03/15/2021 1

312905-ME-9 FHLMC 1059 1059 I 6.750% 04/15/21 09/01/2017 Paydown 10,151 10,151 10,291 10,181 0 (29) 0 (29) 0 10,151 0 0 0 458 04/15/2021 1

312905-PU-0 FHLMC 1062 1062 H 6.500% 04/15/21 09/01/2017 Paydown 1,508 1,508 1,456 1,488 0 21 0 21 0 1,508 0 0 0 65 04/15/2021 1

312905-UN-0 FHLMC 1073 1073 G 7.000% 05/15/21 09/01/2017 Paydown 535 535 533 534 0 2 0 2 0 535 0 0 0 25 05/15/2021 1

312905-WT-5 FHLMC 1074 1074 I 6.750% 05/15/21 09/01/2017 Paydown 1,979 1,979 1,930 1,966 0 13 0 13 0 1,979 0 0 0 90 05/15/2021 1

312906-BR-0 FHLMC 1094 1094 K 7.000% 06/15/21 09/01/2017 Paydown 1,534 1,534 1,564 1,541 0 (7) 0 (7) 0 1,534 0 0 0 71 06/15/2021 1

312906-R9-3 FHLMC 1133 1133 H 7.000% 09/15/21 09/01/2017 Paydown 1,804 1,804 1,731 1,775 0 29 0 29 0 1,804 0 0 0 85 09/15/2021 1

312906-RX-0 FHLMC 1119 1119 H 7.750% 08/15/21 09/01/2017 Paydown 774 774 775 773 0 1 0 1 0 774 0 0 0 40 08/15/2021 1

312907-UU-0 FHLMC 1162 1162 Z 7.750% 10/15/21 09/01/2017 Paydown 1,573 1,573 1,605 1,572 0 1 0 1 0 1,573 0 0 0 81 10/15/2021 1

312908-C9-5 FHLMC 1223 1223 G 7.250% 03/15/22 09/01/2017 Paydown 487 487 481 485 0 2 0 2 0 487 0 0 0 24 03/15/2022 1

3133T6-BA-8 FHLMC 1777 1777 G 8.250% 03/15/25 09/01/2017 Paydown 529 529 515 523 0 6 0 6 0 529 0 0 0 29 03/15/2025 1

31358E-A9-3 FNMA 90-92 1990-92 C 7.000% 08/25/20 09/01/2017 Paydown 1,078 1,078 1,117 1,090 0 (12) 0 (12) 0 1,078 0 0 0 49 08/25/2020 1

31358F-4E-6 FANNIE MAE FNMA 91-21 1991-21 J 7.000% 09/01/2017 Paydown 13,311 13,311 13,236 13,255 0 56 0 56 0 13,311 0 0 0 637 03/25/2021 1

31358G-3R-6 FNMA 91-60 1991-60 PL 7.000% 06/25/21 09/01/2017 Paydown 1,808 1,808 1,802 1,800 0 8 0 8 0 1,808 0 0 0 86 06/25/2021 1

31358G-F7-7 FNMA 91-59 1991-59 Z 6.500% 06/25/21 09/01/2017 Paydown 3,438 3,438 3,104 3,400 0 38 0 38 0 3,438 0 0 0 144 06/25/2021 1

31358G-Y4-3 FNMA 91-56 1991-56 M 6.750% 06/25/21 09/01/2017 Paydown 3,143 3,143 3,015 3,091 0 52 0 52 0 3,143 0 0 0 141 06/25/2021 1

31358H-VK-8 FANNIE MAE FNMA 91-86 1991-86 R 3216% 09/01/2017 Paydown 2 2 161 92 0 (89) 0 (89) 0 2 0 0 0 49 07/25/2021 1

31358M-Q4-9 FNMA G92-42 G92-42 Z 7.000% 07/25/22 09/01/2017 Paydown 1,494 1,494 1,558 1,494 0 (1) 0 (1) 0 1,494 0 0 0 70 07/25/2022 1

31358N-F6-4 FNMA G92-36 G92-36 Z 7.000% 07/25/22 09/01/2017 Paydown 1,105 1,105 1,101 1,101 0 4 0 4 0 1,105 0 0 0 51 07/25/2022 1

31358N-XA-5 FNMA 92-116 1992-116 B 6.500% 06/25/22 09/01/2017 Paydown 679 679 669 673 0 5 0 5 0 679 0 0 0 30 06/25/2022 1

31358P-MJ-3 FNMA G92-38 G92-38 GZ 7.500% 07/25/22 09/01/2017 Paydown 2,395 2,395 2,383 2,383 0 12 0 12 0 2,395 0 0 0 121 07/25/2022 1

31358Q-3L-7 FNMA G92-57 G92-57 Z 7.800% 10/25/22 09/01/2017 Paydown 3,399 3,399 3,337 3,381 0 18 0 18 0 3,399 0 0 0 174 10/25/2022 1

313603-S4-5 FNMA 90-24 1990-24 RL 9.500% 03/25/20 09/01/2017 Paydown 1 1 1 1 0 0 0 0 0 1 0 0 0 0 03/25/2020 1

3136A1-3V-5 FANNIE MAE FNMA_11-1827 FANNIE MAE FNMA_ 09/01/2017 Paydown 136,873 136,873 133,749 135,001 0 1,873 0 1,873 0 136,873 0 0 0 3,453 07/25/2041 1

3136A1-5Z-4 FANNIE MAE FNMA_11-120 FANNIE MAE FNMA_1 09/01/2017 Paydown 1,334,217 1,334,217 1,416,415 1,378,459 0 (44,242) 0 (44,242) 0 1,334,217 0 0 0 18,894 11/25/2041 1

3136A2-GT-4 FANNIE MAE FNMA_11-113 4.000% 11/25/41 09/01/2017 Paydown 558,009 558,009 584,605 576,333 0 (18,324) 0 (18,324) 0 558,009 0 0 0 13,535 11/25/2041 1

3136A2-YJ-6 FANNIE MAE FNMA_11-122 FANNIE MAE FNMA_1 09/01/2017 Paydown 590,383 590,383 627,359 610,503 0 (20,120) 0 (20,120) 0 590,383 0 0 0 15,633 12/25/2041 1

3136A3-EB-3 FANNIE MAE FNMA_11-143 FANNIE MAE FNMA_1 09/01/2017 Paydown 438,482 438,482 461,072 456,219 0 (17,737) 0 (17,737) 0 438,482 0 0 0 11,975 01/25/2042 1

3136AA-DA-0 FANNIE MAE FNMA_12-129 FANNIE MAE FNMA_1 09/01/2017 Paydown 33,028 33,028 33,098 33,084 0 (55) 0 (55) 0 33,028 0 0 0 834 12/25/2042 1

3136AF-JS-4 FNMA_13-68 FANNIE MAE FNMA_13-68 3.500 09/01/2017 Paydown 119,105 119,105 123,665 122,737 0 (3,632) 0 (3,632) 0 119,105 0 0 0 2,875 10/25/2042 1

3136AF-P8-1 FNMA_13-81 FANNIE MAE FNMA_13-81 3.000 09/01/2017 Paydown 128,232 128,232 129,394 129,119 0 (887) 0 (887) 0 128,232 0 0 0 2,589 12/25/2042 1

3136AF-PT-5 FANNIE MAE FNMA_13-75 3.000% 04/25/43 09/01/2017 Paydown 218,465 218,465 220,991 220,483 0 (2,019) 0 (2,019) 0 218,465 0 0 0 4,367 04/25/2043 1

3136AF-QD-9 FANNIE MAE FNMA_13-75 3.000% 02/25/43 09/01/2017 Paydown 442,332 442,332 447,516 446,383 0 (4,051) 0 (4,051) 0 442,332 0 0 0 8,842 02/25/2043 1

3136AG-LR-1 FNMA_13-93 FANNIE MAE FNMA_13-93 3.000 09/01/2017 Paydown 186,741 186,741 187,908 187,969 0 (1,228) 0 (1,228) 0 186,741 0 0 0 3,599 07/25/2042 1

3136AG-XW-7 FANNIE MAE FNMA_13-102 3.000% 02/25/43 09/01/2017 Paydown 505,324 505,324 511,167 510,092 0 (4,768) 0 (4,768) 0 505,324 0 0 0 9,989 02/25/2043 1

3136AH-CJ-7 FANNIE MAE FNMA_13-118 3.000% 05/25/37 09/01/2017 Paydown 198,864 198,864 201,350 200,681 0 (1,817) 0 (1,817) 0 198,864 0 0 0 3,952 05/25/2037 1

3136AJ-Y5-9 FANNIE MAE FNMA_14-29 SERIES 2014-29 CLA 09/01/2017 Paydown 273,948 273,948 278,529 278,292 0 (4,343) 0 (4,343) 0 273,948 0 0 0 4,428 06/25/2043 1

3136AN-EL-7 FANNIE MAE FNMA_15-22 SERIES 2015-22 CLA 09/01/2017 Paydown 208,556 208,556 213,754 213,208 0 (4,652) 0 (4,652) 0 208,556 0 0 0 3,474 07/25/2044 1

3137A1-BV-4 FREDDIE MAC FHLMC 3718 4.000% 08/15/30 09/01/2017 Paydown 250,526 250,526 254,519 252,053 0 (1,527) 0 (1,527) 0 250,526 0 0 0 6,708 08/15/2030 1

3137A5-EK-6 FREDDIE MAC FHLMC 3793 FREDDIE MAC FHLMC 09/01/2017 Paydown 2,013,098 2,013,098 1,998,183 2,002,351 0 10,747 0 10,747 0 2,013,098 0 0 0 53,608 01/15/2041 1

3137A5-XU-3 FREDDIE MAC FHLMC 11-1055 4.500% 01/15 08/01/2017 Paydown 57,181 57,181 53,811 55,109 0 2,072 0 2,072 0 57,181 0 0 0 1,558 01/15/2041 1

3137A6-VK-5 FREDDIE MAC FHR 3808 4.000% 08/15/38 09/01/2017 Paydown 255,710 255,710 260,784 258,656 0 (2,947) 0 (2,947) 0 255,710 0 0 0 6,792 08/15/2038 1

3137AD-SN-8 FREDDIE MAC FHLMC 3889 4.000% 07/15/41 09/01/2017 Paydown 258,514 258,514 242,821 247,475 0 11,039 0 11,039 0 258,514 0 0 0 6,842 07/15/2041 1

3137AD-SQ-1 FREDDIE MAC FHLMC 3889 4.000% 07/15/41 09/01/2017 Paydown 570,546 570,546 563,970 565,883 0 4,663 0 4,663 0 570,546 0 0 0 15,097 07/15/2041 1

3137AH-QL-5 FREDDIE MAC FHLMC_11-3950 FREDDIE MAC FH 09/01/2017 Paydown 1,561,981 1,561,981 1,644,424 1,618,187 0 (56,206) 0 (56,206) 0 1,561,981 0 0 0 41,013 11/15/2041 1

3137AJ-V2-7 FREDDIE MAC FHLMC_3968 FREDDIE MAC FHLMC 09/01/2017 Paydown 203,033 203,033 205,357 204,364 0 (1,331) 0 (1,331) 0 203,033 0 0 0 4,448 12/15/2041 1

3137B4-HR-0 FREDDIE MAC FHLMC_13-4247 3.000% 03/15 09/01/2017 Paydown 105,184 105,184 105,874 105,699 0 (515) 0 (515) 0 105,184 0 0 0 2,006 03/15/2043 1

3137B6-AF-8 FHLMC_14-4272 FREDDIE MAC FHLMC_14-4272 09/01/2017 Paydown 116,389 116,389 115,953 116,084 0 305 0 305 0 116,389 0 0 0 1,579 10/15/2041 1

3137B6-HQ-7 FREDDIE MAC FHLMC_13-4280 3.000% 04/15 09/01/2017 Paydown 111,219 111,219 111,315 111,269 0 (50) 0 (50) 0 111,219 0 0 0 2,199 04/15/2038 1

3137BL-XK-9 FREDDIE MAC FHLMC_15-4531 3.500% 11/15 09/01/2017 Paydown 209,059 209,059 216,278 215,662 0 (6,603) 0 (6,603) 0 209,059 0 0 0 4,728 11/15/2045 1

313921-L5-5 FNMA 01-M3 2001-M3 X 10.911% 08/25/31 09/01/2017 Paydown 0 0 6,378 3,764 0 (3,764) 0 (3,764) 0 0 0 0 0 506 08/25/2031 1

31392B-6U-5 FNGT 02-T4 2002-T4 A2 7.000% 12/25/41 09/01/2017 Paydown 22,325 22,325 22,904 22,705 0 (380) 0 (380) 0 22,325 0 0 0 1,052 12/25/2041 1

31392C-R3-0 FNMA 02-26 2002-26 A1 7.000% 01/25/48 09/01/2017 Paydown 63,942 63,942 65,560 65,044 0 (1,102) 0 (1,102) 0 63,942 0 0 0 2,935 01/25/2048 1

31393B-U5-2 FNW 03-6 2003-W6 2A4 5.204% 09/25/42 09/01/2017 Paydown 82,159 82,159 81,153 81,318 0 841 0 841 0 82,159 0 0 0 3,034 09/25/2042 1

31393C-W5-8 FNW 03-W8 2003-W8 1A4 4.780% 12/25/42 09/01/2017 Paydown 68,378 68,378 67,691 67,908 0 470 0 470 0 68,378 0 0 0 1,071 12/25/2042 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)31393D-VR-9 FANNIE MAE FNMA 03-61 AGENCY CMO 03-61 09/01/2017 Paydown 118,143 118,143 117,626 117,685 0 458 0 458 0 118,143 0 0 0 3,426 08/25/2033 1

31393X-3L-9 FNW 04-W4 FANNIEMAE WHOLE LOAN FNW_04-W4 09/01/2017 Paydown 435,307 435,307 459,521 444,212 0 (8,905) 0 (8,905) 0 435,307 0 0 0 16,772 06/25/2034 1

31394C-US-9 FANNIE MAE FNMA 05-15 5.500% 03/25/35 09/01/2017 Paydown 65,706 65,706 67,009 66,233 0 (527) 0 (527) 0 65,706 0 0 0 2,330 03/25/2035 1

31394J-LN-5 FHLMC 2676 AGENCY CMO 2676 4.500% 09/1 09/01/2017 Paydown 90,275 90,275 80,799 84,493 0 5,781 0 5,781 0 90,275 0 0 0 2,624 09/15/2033 1

31394R-TP-4 FREDDIE MAC FHLMC 2766 5.000% 03/15/34 09/01/2017 Paydown 14,866 14,866 14,379 14,559 0 307 0 307 0 14,866 0 0 0 508 03/15/2034 1

31394U-M7-4 FANNIE MAE FNMA 05-106 4.500% 12/25/35 09/01/2017 Paydown 95,553 95,553 88,328 91,191 0 4,361 0 4,361 0 95,553 0 0 0 2,866 12/25/2035 1

31395P-BA-9 FREDDIE MAC FHLMC 2931 5.000% 02/15/35 09/01/2017 Paydown 12,942 12,942 12,611 12,718 0 224 0 224 0 12,942 0 0 0 438 02/15/2035 1

31395T-LN-2 FHLMC 2957 5.000% 03/15/35 09/01/2017 Paydown 143,982 143,982 141,564 142,581 0 1,401 0 1,401 0 143,982 0 0 0 4,658 03/15/2035 1

31395W-X6-9 FREDDIE MAC FHLMC 3012 4.500% 08/15/35 09/01/2017 Paydown 125,847 125,847 125,070 125,248 0 599 0 599 0 125,847 0 0 0 3,571 08/15/2035 1

31396H-HT-9 FREDDIE MAC FHLMC 3114 5.000% 02/15/36 09/01/2017 Paydown 76,369 76,369 73,255 74,714 0 1,655 0 1,655 0 76,369 0 0 0 2,485 02/15/2036 1

31396Q-KB-4 FANNIE MAE FNMA 09-51 4.500% 07/25/39 09/01/2017 Paydown 115,915 115,915 103,657 108,783 0 7,132 0 7,132 0 115,915 0 0 0 3,568 07/25/2039 1

31396Q-NB-1 FANNIE MAE FNMA 09-55 5.000% 07/25/39 09/01/2017 Paydown 166,891 166,891 163,136 164,830 0 2,061 0 2,061 0 166,891 0 0 0 4,545 07/25/2039 1

31396R-KJ-5 FREDDIE MAC FHLMC 3153 5.000% 05/15/36 09/01/2017 Paydown 23,829 23,829 19,898 21,671 0 2,158 0 2,158 0 23,829 0 0 0 793 05/15/2036 1

31396T-FY-4 FREDDIE MAC FHLMC 3169 5.000% 06/15/36 09/01/2017 Paydown 20,704 20,704 17,270 18,857 0 1,848 0 1,848 0 20,704 0 0 0 692 06/15/2036 1

31397A-RM-7 FREDDIE MAC FHLMC 3203 5.000% 08/15/36 09/01/2017 Paydown 69,404 69,404 68,178 68,571 0 833 0 833 0 69,404 0 0 0 2,337 08/15/2036 1

31397J-R9-7 FREDDIE MAC FHLMC 3351 5.500% 07/15/37 09/01/2017 Paydown 293,888 293,888 295,215 294,381 0 (493) 0 (493) 0 293,888 0 0 0 10,815 07/15/2037 1

31397P-K8-2 FREDDIE MAC FHLMC 3388 5.500% 11/15/37 09/01/2017 Paydown 43,075 43,075 44,127 43,683 0 (608) 0 (608) 0 43,075 0 0 0 1,504 11/15/2037 1

31397Q-2R-8 FANNIE MAE 2010-158 Z 4.000% 01/25/41 09/01/2017 Paydown 507,736 507,736 496,107 500,520 0 7,216 0 7,216 0 507,736 0 0 0 13,066 01/25/2041 1

31397Q-GR-3 FANNIE MAE FNMA 11-2 4.000% 02/25/41 09/01/2017 Paydown 410,723 410,723 399,272 403,233 0 7,489 0 7,489 0 410,723 0 0 0 4,514 02/25/2041 1

31397Q-Z5-0 FANNIE MAE FNMA 10-147 4.000% 01/25/41 09/01/2017 Paydown 179,269 179,269 147,687 160,831 0 18,438 0 18,438 0 179,269 0 0 0 4,457 01/25/2041 1

31397S-TD-6 FANNIE MAE FNMA 11-29 4.000% 03/25/40 09/01/2017 Paydown 11,198 11,198 11,363 11,298 0 (99) 0 (99) 0 11,198 0 0 0 298 03/25/2040 1

31397S-WB-6 FANNIE MAE FNMA 11-39 4.000% 05/25/41 09/01/2017 Paydown 97,525 97,525 101,743 101,353 0 (3,829) 0 (3,829) 0 97,525 0 0 0 2,593 05/25/2041 1

31397T-2F-8 FREDDIE MAC FHLMC 3438 AGENCY CMO 5.00 09/01/2017 Paydown 103,973 103,973 102,536 103,044 0 930 0 930 0 103,973 0 0 0 3,174 04/15/2038 1

31397U-BY-4 FANNIE MAE FNMA_11-38 4.000% 05/25/41 09/01/2017 Paydown 365,940 365,940 393,842 388,494 0 (22,554) 0 (22,554) 0 365,940 0 0 0 9,331 05/25/2041 1

31397U-PZ-6 FANNIE MAE FNMA 11-56 5.000% 09/25/40 09/01/2017 Paydown 414,057 414,057 410,236 411,598 0 2,458 0 2,458 0 414,057 0 0 0 2,981 09/25/2040 1

31397W-JU-0 FREDDIE MAC FHLMC 3476 5.500% 07/15/38 09/01/2017 Paydown 476,211 476,211 479,922 477,995 0 (1,784) 0 (1,784) 0 476,211 0 0 0 16,988 07/15/2038 1

31398E-CA-0 FREDDIE MAC FHLMC 3547 WHOLE CMO 4.500 09/01/2017 Paydown 68,718 68,718 65,776 67,292 0 1,426 0 1,426 0 68,718 0 0 0 2,039 06/15/2029 1

31398E-E9-1 FREDDIE MAC FHR 3538 AGENCY CMO 3538H 09/01/2017 Paydown 146,868 146,868 139,478 143,500 0 3,368 0 3,368 0 146,868 0 0 0 4,350 06/15/2029 1

31398E-K9-4 FREDDIE MAC FHLMC 3556 AGENCY CMO 3556 09/01/2017 Paydown 117,814 117,814 115,001 115,003 0 1,836 0 1,836 0 117,814 0 0 0 1,467 07/15/2037 1

31398F-2F-7 FANNIE MAE FNMA 09-89 4.500% 11/25/39 09/01/2017 Paydown 220,568 220,568 201,729 210,715 0 9,853 0 9,853 0 220,568 0 0 0 6,776 11/25/2039 1

31398F-W9-8 FANNIE MAE FNMA 09-89 5.410% 05/25/35 09/01/2017 Paydown 73,060 73,060 77,763 75,133 0 (2,073) 0 (2,073) 0 73,060 0 0 0 2,635 05/25/2035 1

31398F-Y8-8 FANNIE MAE FNMA 09-89 4.500% 11/25/39 09/01/2017 Paydown 220,568 220,568 203,124 211,471 0 9,098 0 9,098 0 220,568 0 0 0 6,776 11/25/2039 1

31398F-YE-5 FANNIE MAE FNMA 09-93 4.500% 11/25/39 09/01/2017 Paydown 229,984 229,984 214,167 220,994 0 8,990 0 8,990 0 229,984 0 0 0 6,972 11/25/2039 1

31398G-AC-3 FANNIE MAE FNMA 09-104A 4.500% 12/25/3 09/01/2017 Paydown 228,206 228,206 209,366 217,153 0 11,053 0 11,053 0 228,206 0 0 0 6,634 12/25/2039 1

31398G-BF-5 FANNIE MAE FNMA 09-102 4.500% 12/25/39 09/01/2017 Paydown 1,035,759 1,035,759 943,413 988,751 0 47,008 0 47,008 0 1,035,759 0 0 0 31,651 12/25/2039 1

31398G-BH-1 FANNIE MAE FNMA 09-102 4.500% 12/25/39 09/01/2017 Paydown 445,549 445,549 410,255 425,947 0 19,602 0 19,602 0 445,549 0 0 0 13,615 12/25/2039 1

31398G-FS-3 FANNIE MAE FNMA 09-105 5.000% 12/25/39 09/01/2017 Paydown 496,396 496,396 485,450 489,410 0 6,986 0 6,986 0 496,396 0 0 0 16,690 12/25/2039 1

31398G-GT-0 FANNIE MAE FNMA 09-98 4.500% 12/25/39 09/01/2017 Paydown 15,915 15,915 15,293 15,488 0 428 0 428 0 15,915 0 0 0 495 12/25/2039 1

31398G-J2-6 FANNIE MAE FNMA 10-5 5.000% 02/25/40 09/01/2017 Paydown 879,379 879,379 838,776 861,572 0 17,807 0 17,807 0 879,379 0 0 0 29,295 02/25/2040 1

31398G-NZ-8 FANNIE MAE FNMA 09-108 5.000% 01/25/40 09/01/2017 Paydown 742,843 742,843 721,172 731,462 0 11,380 0 11,380 0 742,843 0 0 0 23,327 01/25/2040 1

31398G-TN-9 FANNIE MAE FNMA 09-109 4.500% 01/25/40 09/01/2017 Paydown 146,443 146,443 134,000 139,334 0 7,109 0 7,109 0 146,443 0 0 0 3,908 01/25/2040 1

31398G-XM-6 FANNIE MAE FNMA 09-107 5.000% 01/25/40 09/01/2017 Paydown 306,318 306,318 298,356 302,606 0 3,712 0 3,712 0 306,318 0 0 0 10,047 01/25/2040 1

31398G-Z5-1 FANNIE MAE FNMA 10-10 4.500% 02/25/40 09/01/2017 Paydown 180,230 180,230 164,092 170,632 0 9,598 0 9,598 0 180,230 0 0 0 5,252 02/25/2040 1

31398J-XX-6 FREDDIE MAC FHLMC 3571 5.500% 09/15/39 09/01/2017 Paydown 190,982 190,982 193,276 192,228 0 (1,247) 0 (1,247) 0 190,982 0 0 0 7,062 09/15/2039 1

31398K-4E-7 FREDDIE MAC FHLMC_3588 5.000% 10/15/49 09/01/2017 Paydown 40,731 40,731 40,064 40,285 0 447 0 447 0 40,731 0 0 0 1,359 10/15/2049 1

31398K-DJ-6 FREDDIE MAC FHLMC 3587 FREDDIE MAC FHLMC 09/01/2017 Paydown 470,181 470,181 500,219 494,801 0 (24,620) 0 (24,620) 0 470,181 0 0 0 14,174 05/15/2039 1

31398L-PM-4 FREDDIE MAC FHLMC 3606 5.000% 04/15/36 09/01/2017 Paydown 46,903 46,903 46,305 46,495 0 408 0 408 0 46,903 0 0 0 1,552 04/15/2036 1

31398L-SL-3 FREDDIE MAC FHLMC 3611 5.000% 12/15/39 09/01/2017 Paydown 417,084 417,084 408,191 411,712 0 5,372 0 5,372 0 417,084 0 0 0 13,821 12/15/2039 1

31398L-VK-1 FREDDIE MAC FHLMC 3628 5.000% 01/15/40 09/01/2017 Paydown 1,019,374 1,019,374 982,992 998,487 0 20,888 0 20,888 0 1,019,374 0 0 0 32,993 01/15/2040 1

31398L-X4-5 FREDDIE MAC FHLMC 3622 4.500% 01/15/40 09/01/2017 Paydown 505,464 505,464 482,283 493,217 0 12,246 0 12,246 0 505,464 0 0 0 15,958 01/15/2040 1

31398M-2V-7 FANNIE MAE FNMA 10-34 4.500% 04/25/40 09/01/2017 Paydown 12,773 12,773 12,261 12,467 0 306 0 306 0 12,773 0 0 0 383 04/25/2040 1

31398M-EB-8 FANNIE MAE 4.500% 03/25/40 09/01/2017 Paydown 373,137 373,137 358,211 364,412 0 8,725 0 8,725 0 373,137 0 0 0 11,478 03/25/2040 1

31398M-KU-9 FANNIE MAE FNMA 10-18 4.500% 02/25/39 09/01/2017 Paydown 873,975 873,975 839,084 866,871 0 7,104 0 7,104 0 873,975 0 0 0 26,041 02/25/2039 1

31398M-VK-9 FANNIE MAE FNMA 10-21 5.000% 03/25/40 09/01/2017 Paydown 895,900 895,900 902,619 897,983 0 (2,083) 0 (2,083) 0 895,900 0 0 0 28,990 03/25/2040 1

31398M-ZH-2 FANNIE MAE FNMA 10-23 5.000% 03/25/40 09/01/2017 Paydown 1,552,259 1,552,259 1,503,200 1,523,726 0 28,533 0 28,533 0 1,552,259 0 0 0 52,189 03/25/2040 1

31398N-A5-3 FANNIE MAE FNMA 10-119 4.500% 10/25/40 09/01/2017 Paydown 1,820,908 1,820,908 1,859,086 1,834,004 0 (13,096) 0 (13,096) 0 1,820,908 0 0 0 54,013 10/25/2040 1

31398N-BK-9 FANNIE MAE FNMA 10-102 4.500% 07/25/40 09/01/2017 Paydown 727,979 727,979 738,762 733,528 0 (5,549) 0 (5,549) 0 727,979 0 0 0 20,607 07/25/2040 1

31398N-MZ-4 FANNIE MAE FNMA 10-114 4.000% 10/25/40 09/01/2017 Paydown 11,409 11,409 11,166 11,267 0 142 0 142 0 11,409 0 0 0 300 10/25/2040 1

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)31398P-3N-7 FANNIE MAE FNMA 10-39 4.500% 05/25/40 09/01/2017 Paydown 308,008 308,008 296,602 301,466 0 6,541 0 6,541 0 308,008 0 0 0 9,156 05/25/2040 1

31398P-PQ-6 FANNIE MAE FNMA 10-47 5.000% 05/25/40 09/01/2017 Paydown 221,340 221,340 218,861 219,535 0 1,805 0 1,805 0 221,340 0 0 0 7,327 05/25/2040 1

31398P-Q3-6 FANNIE MAE FNMA 10-50 4.500% 05/25/40 09/01/2017 Paydown 594,860 594,860 560,444 573,573 0 21,287 0 21,287 0 594,860 0 0 0 17,908 05/25/2040 1

31398P-T6-6 FANNIE MAE FNMA 10-39 4.500% 05/25/40 09/01/2017 Paydown 77,996 77,996 81,432 79,757 0 (1,761) 0 (1,761) 0 77,996 0 0 0 2,632 05/25/2040 1

31398P-V4-8 FANNIE MAE FNMA 10-39 4.500% 05/25/40 09/01/2017 Paydown 443,781 443,781 420,206 429,612 0 14,169 0 14,169 0 443,781 0 0 0 13,416 05/25/2040 1

31398P-W9-6 FANNIE MAE FNMA 10-39 4.500% 05/25/40 09/01/2017 Paydown 622,313 622,313 589,072 606,620 0 15,694 0 15,694 0 622,313 0 0 0 18,306 05/25/2040 1

31398P-Y3-7 FANNIE MAE FNMA 10-39 4.500% 05/25/40 09/01/2017 Paydown 598,699 598,699 546,081 568,857 0 29,842 0 29,842 0 598,699 0 0 0 17,796 05/25/2040 1

31398R-2P-9 FANNIE MAE FNMA 10-79 4.000% 07/25/40 09/01/2017 Paydown 13,246 13,246 11,975 12,474 0 772 0 772 0 13,246 0 0 0 339 07/25/2040 1

31398R-5Z-4 FANNIE MAE FNMA 10-72 4.000% 07/25/40 09/01/2017 Paydown 434,328 434,328 406,776 419,309 0 15,019 0 15,019 0 434,328 0 0 0 11,599 07/25/2040 1

31398R-6L-4 FANNIE MAE FNMA 10-72 4.500% 07/25/40 09/01/2017 Paydown 41,038 41,038 39,807 40,316 0 722 0 722 0 41,038 0 0 0 1,105 07/25/2040 1

31398R-D6-9 FANNIE MAE FNMA 10-57 FANNIE MAE FNMA_10 09/01/2017 Paydown 46,101 46,101 48,420 47,628 0 (1,527) 0 (1,527) 0 46,101 0 0 0 1,208 06/25/2025 1

31398R-SA-4 FANNIE MAE FNMA 10-61 4.500% 06/25/40 09/01/2017 Paydown 124,085 124,085 119,974 121,567 0 2,518 0 2,518 0 124,085 0 0 0 3,799 06/25/2040 1

31398R-TJ-4 FANNIE MAE FNMA 10-54 4.500% 06/25/40 09/01/2017 Paydown 616,456 616,456 631,290 620,762 0 (4,306) 0 (4,306) 0 616,456 0 0 0 17,633 06/25/2040 1

31398S-4J-9 FANNIE MAE FNMA 10-156 4.000% 01/25/41 09/01/2017 Paydown 448,494 448,494 366,503 399,618 0 48,876 0 48,876 0 448,494 0 0 0 11,683 01/25/2041 1

31398S-5H-2 FANNIE MAE FNMA 10-148 FNMA_10-148 4.0 09/01/2017 Paydown 26,816 26,816 26,070 26,349 0 467 0 467 0 26,816 0 0 0 785 01/25/2041 1

31398S-GF-4 FANNIE MAE FNMA 10-129 4.500% 11/25/40 09/01/2017 Paydown 827,154 827,154 768,300 791,760 0 35,393 0 35,393 0 827,154 0 0 0 26,493 11/25/2040 1

31398S-GH-0 FANNIE MAE FNMA 10-129 4.000% 11/25/40 09/01/2017 Paydown 1,192,181 1,192,181 1,061,789 1,125,487 0 66,694 0 66,694 0 1,192,181 0 0 0 31,766 11/25/2040 1

31398S-KG-7 FANNIE MAE FNMA 10-142 4.000% 12/25/40 09/01/2017 Paydown 566,280 566,280 524,891 541,337 0 24,943 0 24,943 0 566,280 0 0 0 14,826 12/25/2040 1

31398S-LT-8 FANNIE MAE FNMA 10-134 4.000% 12/25/40 09/01/2017 Paydown 66,585 66,585 64,876 65,449 0 1,135 0 1,135 0 66,585 0 0 0 1,746 12/25/2040 1

31398S-PT-4 FANNIE MAE FNMA 10-137 4.000% 12/25/40 09/01/2017 Paydown 285,131 285,131 263,541 272,778 0 12,353 0 12,353 0 285,131 0 0 0 7,630 12/25/2040 1

31398S-SD-6 FANNIE MAE FNMA 10-136 4.000% 12/25/40 09/01/2017 Paydown 157,371 157,371 145,472 150,380 0 6,991 0 6,991 0 157,371 0 0 0 4,439 12/25/2040 1

31398T-6P-1 FANNIE MAE FNMA 10-108 4.000% 09/25/40 09/01/2017 Paydown 60,106 60,106 58,641 59,169 0 937 0 937 0 60,106 0 0 0 1,629 09/25/2040 1

31398T-B2-6 FANNIE MAE 4.500% 08/25/40 09/01/2017 Paydown 1,166,350 1,166,350 1,207,719 1,180,925 0 (14,575) 0 (14,575) 0 1,166,350 0 0 0 32,769 08/25/2040 1

31398T-FU-0 FANNIE MAE FNMA 10-76 4.500% 07/25/40 09/01/2017 Paydown 748,158 748,158 694,915 718,111 0 30,046 0 30,046 0 748,158 0 0 0 21,252 07/25/2040 1

31398T-MW-8 FANNIE MAE FNMA 10-75 4.500% 07/25/40 09/01/2017 Paydown 472,151 472,151 470,399 470,491 0 1,660 0 1,660 0 472,151 0 0 0 14,048 07/25/2040 1

31398W-4A-9 FREDDIE MAC FHLMC 3624 5.000% 01/15/40 09/01/2017 Paydown 696,904 696,904 680,932 687,261 0 9,644 0 9,644 0 696,904 0 0 0 19,832 01/15/2040 1

31398W-5R-1 FREDDIE MAC FHLMC 3626 5.000% 01/15/40 09/01/2017 Paydown 370,654 370,654 368,078 368,722 0 1,932 0 1,932 0 370,654 0 0 0 12,284 01/15/2040 1

31398W-JC-9 FREDDIE MAC FHLMC 3635 4.500% 02/15/40 09/01/2017 Paydown 8,985 8,985 8,172 8,528 0 458 0 458 0 8,985 0 0 0 263 02/15/2040 1

31413H-K7-2 FANNIE MAE POOL # 945918 7.500% 08/01/ 09/01/2017 Paydown 242 242 261 259 0 (17) 0 (17) 0 242 0 0 0 12 08/01/2037 1

31418W-ET-3 FANNIE MAE POOL # AD8245 4.000% 08/01/ 09/01/2017 Paydown 146,044 146,044 150,288 149,849 0 (3,805) 0 (3,805) 0 146,044 0 0 0 2,243 08/01/2040 1

31418W-PG-9 FANNIE MAE POOL # AD8522 4.000% 08/01/ 09/01/2017 Paydown 48,549 48,549 51,947 51,711 0 (3,162) 0 (3,162) 0 48,549 0 0 0 621 08/01/2040 1

36186Y-AF-2 GMAC COMMERCIAL MORTGAGE ASSET 6.107% 09/10/2017 Paydown 50,739 50,739 49,901 49,967 0 772 0 772 0 50,739 0 0 0 2,067 08/10/2052 2

45506D-WY-7 INDIANA ST FINANCE AUTHORITY INDIANA ST 09/15/2017

Genworth Life and

Annuity Insurance

Company 0 0 0 0 0 0 0 0 0 0 0 0 0 47,243 07/01/2036 1FE

48503T-AA-5 KANSAS CITY MO INDL DEV AUTH G 5.242% 09/10/2017

Redemption 100.0000

162,307 162,307 162,307 162,307 0 0 0 0 0 162,307 0 0 0 6,271 12/10/2032 1

3199999. Subtotal - Bonds - U.S. Special Revenues 42,094,289 42,094,289 41,369,608 41,711,485 0 381,832 0 381,832 0 42,094,289 0 0 0 1,225,244 XXX XXX000759-BT-6 ABFS MORTGAGE LOAN TRUST ABFS 2000-3 A 07/01/2017 Paydown 562 562 325 324 0 237 0 237 0 562 0 0 0 30 09/15/2031 1FM

000780-MP-8 AMAC 03-11 ABN AMRO MORTGAGE CORP AMAC_0 09/01/2017 Paydown 2,848 2,848 3,026 3,016 0 (168) 0 (168) 0 2,848 0 0 0 104 10/25/2033 1FM

000780-NK-8 ABN AMRO MORTGAGE CORP AMAC 03 ABN AMRO 09/01/2017 Paydown 75,924 75,924 78,581 78,408 0 (2,484) 0 (2,484) 0 75,924 0 0 0 2,388 12/25/2033 1FM

00164V-AE-3 AMC NETWORKS INC 4.750% 08/01/25 07/19/2017

CITIGROUP GLOBAL MARKETS

503,750 500,000 500,000 0 0 0 0 0 0 500,000 0 3,750 3,750 0 08/01/2025 3FE

00212J-AY-8 ASG RESECURITIZATION TRUST ASG ASG RESEC 08/01/2017 Paydown 23,520 23,520 23,373 23,420 0 101 0 101 0 23,520 0 0 0 492 03/26/2037 1FM

02155L-AA-0 ALTERNA FUNDING LLC TAX_15-1A 2.500% 0 09/15/2017 Paydown 453,689 453,689 452,047 452,739 0 950 0 950 0 453,689 0 0 0 6,937 02/15/2024 1FE

023767-AA-4 AMERICAN AIRLINES PT TRS SERIES 2011-1 E 07/31/2017

Redemption 100.0000

81,770 81,770 80,748 81,169 0 601 0 601 0 81,770 0 0 0 4,293 07/31/2022 1FE

02376Y-AA-5 AMERICAN AIRLINES AMERICAN AIRLINES INC 07/17/2017

Redemption 100.0000

108,836 108,836 108,836 108,836 0 0 0 0 0 108,836 0 0 0 5,714 01/15/2024 2FE

02377B-AA-4 AMERICAN AIRLINES 2015-2 CLASS AMERICAN 09/22/2017

Redemption 100.0000

236,844 236,844 236,844 236,844 0 0 0 0 0 236,844 0 0 0 9,474 03/22/2029 1FE

029912-BD-3 AMERICAN TOWER CORP 4.500% 01/15/18 07/31/2017 Call 101.3510 10,135,100 10,000,000 9,968,750 9,994,386 0 140,714 0 140,714 0 10,135,100 0 0 0 470,000 01/15/2018 2FE

03064Y-AF-9 AMERICREDIT AUTOMOBILE RECEIVA AMERICRED 07/08/2017 Paydown 7,045,594 7,045,594 7,026,479 7,041,424 0 4,170 0 4,170 0 7,045,594 0 0 0 85,898 02/08/2019 1FE

035229-CN-1 ANHEUSER-BUSCH COMPANIES LLC 6.500% 02 08/23/2017 Taxable Exchange 0 0 0 0 0 0 0 0 0 0 0 0 0 33 02/01/2043 2FE

035240-AH-3 ANHEUSER-BUSCH INBEV WOR SERIES 144A 4 08/23/2017

CITIGROUP GLOBAL MARKETS

0 0 0 0 0 (8) 0 (8) 0 (5) 0 5 5 0 10/06/2048 1FE

035240-AH-3 ANHEUSER-BUSCH INBEV WOR SERIES 144A 4 08/21/2017 Tax Free Exchange 72,476,869 71,709,000 72,481,346 0 0 (4,473) 0 (4,473) 0 72,476,869 0 0 0 1,193,686 10/06/2048 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)03674X-AG-1 ANTERO RESOURCES CORP 5.000% 03/01/25 07/27/2017 Tax Free Exchange 2,000,000 2,000,000 2,000,000 2,000,000 0 0 0 0 0 2,000,000 0 0 0 60,000 03/01/2025 3FE

038779-AA-2 ARBYS_15-1A ARBYS FUNDING LLC ARBYS_15-1 07/30/2017 Paydown 425 425 425 0 0 0 0 0 0 425 0 0 0 16 10/30/2045 2AM

05607B-AB-7 BXG RECEIVABLES NOTE TRUST BXG Series 14 09/05/2017 Paydown 203,829 203,829 203,817 0 0 12 0 12 0 203,829 0 0 0 1,183 10/04/2032 2AM

05946X-RJ-4 BAFC 05-A 2005-A 5M2 2.086% 02/20/35 07/20/2017 Paydown 0 29,579 2,718 2,634 0 84 0 84 0 2,718 0 (2,718) (2,718) 318 02/20/2035 1FM

07329#-AA-3 BLUE CRSS BLU NE BLUE CROSS AND BLUE SHI 09/15/2017

Redemption 100.0000

33,645 33,645 33,965 33,901 0 (257) 0 (257) 0 33,645 0 0 0 1,251 12/15/2035 1

07387B-AN-3 BSCMS 05-PWR9 2005 - PWR9 C 5.055% 09/ 09/01/2017 Paydown 636,903 636,903 640,402 636,573 0 329 0 329 0 636,903 0 0 0 19,719 09/11/2042 1FM

073914-VM-2 BSMSI 97-4 1997-4 B1 4.165% 10/25/25 09/01/2017 Paydown 8,527 8,527 8,778 8,564 0 (37) 0 (37) 0 8,527 0 0 0 299 10/25/2025 1FM

08879*-AA-9 BFC HON FEDERAL RECEIVABLES TR BFC HON F 09/01/2017

Redemption 100.0000

116,292 116,292 116,292 116,292 0 0 0 0 0 116,292 0 0 0 4,761 12/01/2025 1

08885*-AA-1 WALGREENS CTL WALGREENS CTL 5.210% 03/ 09/15/2017

Redemption 100.0000

35,403 35,403 35,403 35,403 0 0 0 0 0 35,403 0 0 0 1,218 03/15/2037 2

09228Y-AB-8 BLACKBIRD CAPITAL AIRCRAFT BBI BLACKBIRD 09/15/2017 Paydown 156,250 156,250 156,249 156,250 0 0 0 0 0 156,250 0 0 0 4,937 12/15/2041 1FE

12479R-AE-7 CAPITAL AUTOMOTIVE REIT CAUTO_ CAPITAL A 09/15/2017 Paydown 25,000 25,000 24,997 0 0 3 0 3 0 25,000 0 0 0 344 04/15/2047 1FE

124860-AB-3 CBASS 97-1 1997-1 A2 144A 2.148% 03/28 09/01/2017 Paydown 41,874 41,874 38,703 39,687 0 2,187 0 2,187 0 41,874 0 0 0 555 03/28/2033 1FM

12514A-AE-1 CITIGROUPDEUTSCHE BANK COMMER Citigroup/ 07/01/2017 Paydown 450,404 450,404 452,629 449,550 0 854 0 854 0 450,404 0 0 0 15,465 11/15/2044 1FM

125152-AC-2 CE GENERATION LLC 7.416% 12/15/18 07/27/2017 Call 105.1710 135,355 128,700 128,700 128,700 0 6,655 0 6,655 0 135,355 0 0 0 5,886 12/15/2018 4FE

125634-AJ-4 CLIF_13-2A Series 144A 3.220% 06/18/28 09/18/2017 Paydown 125,000 125,000 124,954 124,975 0 25 0 25 0 125,000 0 0 0 2,683 06/18/2028 1FE

125634-AN-5 CLIF_14-1A Series 144A 3.290% 06/18/29 09/18/2017 Paydown 76,611 76,611 76,847 76,778 0 (168) 0 (168) 0 76,611 0 0 0 1,673 06/18/2029 1FE

125634-AQ-8 CLIF_14-2A Series 144A 3.380% 10/18/29 09/18/2017 Paydown 136,364 136,364 136,309 136,326 0 37 0 37 0 136,364 0 0 0 3,073 10/18/2029 1FE

12563L-AG-2 CLI FUNDING LLC CLIF_17-1A 4.600% 05/1 09/18/2017 Paydown 106,447 106,447 106,421 0 0 27 0 27 0 106,447 0 0 0 1,075 05/18/2042 2FE

125878-AC-2 CMOHL 03-1A 2003-1 A2 144A 6.500% 01/2 09/01/2017 Paydown 37,007 37,007 34,903 35,171 0 1,836 0 1,836 0 37,007 0 0 0 1,570 01/26/2048 1FE

12618S-AD-9 CNH EQUIPMENT TRUST CNH_13-D 1.370% 10 09/15/2017 Paydown 891,570 891,570 887,670 889,534 0 2,037 0 2,037 0 891,570 0 0 0 8,582 10/15/2020 1FE

12623P-AC-0 CNH EQUIPMENT TRUST CNH_14-B 0.910% 05 09/01/2017 Paydown 198,813 198,813 198,611 198,757 0 56 0 56 0 198,813 0 0 0 1,120 05/15/2019 1FE

12625J-AC-2 CPS AUTO TRUST CPS_13-B CPS AUTO TRUST C 09/15/2017 Paydown 409,994 409,994 408,530 409,788 0 207 0 207 0 409,994 0 0 0 9,592 09/15/2020 2FE

12646L-AA-6 CREDIT SUISSE MORTGAGE TRUST C CREDIT SU 09/01/2017 Paydown 436,901 436,901 424,340 425,751 0 11,150 0 11,150 0 436,901 0 0 0 6,977 11/25/2042 1FM

12648F-AQ-2 CREDIT SUISSE MORTGAGE TRUST C CSMCTR_14 09/01/2017 Paydown 24,164 24,164 24,527 24,430 0 (265) 0 (265) 0 24,164 0 0 0 667 03/25/2044 1FM

12648T-AA-7 CREDIT SUISSE MORTGAGE TRUST C CREDIT SU 09/01/2017 Paydown 379,563 379,563 382,884 382,436 0 (2,873) 0 (2,873) 0 379,563 0 0 0 8,957 07/25/2044 1FM

12648X-BY-5 CSMC_14-WIN1 3.500% 09/25/44 09/01/2017 Paydown 318,412 318,412 322,343 322,089 0 (3,677) 0 (3,677) 0 318,412 0 0 0 7,267 09/25/2044 1FM

126650-BC-3 CVS PASS-THROUGH TRUST 144A REG 5.880% 09/10/2017

Redemption 100.0000

219,599 219,599 201,403 207,482 0 12,118 0 12,118 0 219,599 0 0 0 8,612 01/10/2028 2FE

126671-RM-0 CWL 02-3 2002-3 1A1 1.977% 05/25/32 09/25/2017 Paydown 1,300 1,300 1,300 1,300 0 0 0 0 0 1,300 0 0 0 17 05/25/2032 1FM

12668B-FB-4 CWALT 05-86CB 2005-86CB A2 5.500% 02/2 09/01/2017 Paydown 6,971 21,923 4,081 4,081 0 5,673 0 5,673 0 9,754 0 (2,783) (2,783) 792 02/25/2036 1FM

12669D-LN-6 CWHL 02-32 2002-32 M 5.981% 01/25/33 09/01/2017 Paydown 277,589 277,589 290,476 285,275 0 (7,686) 0 (7,686) 0 277,589 0 0 0 12,232 01/25/2033 3FM

12695*-AA-3 CVS CAREMARK CORP 3.416% 10/10/38 09/10/2017

Redemption 100.0000

78,369 78,369 78,369 78,369 0 0 0 0 0 78,369 0 0 0 1,785 10/10/2038 2

139742-AG-5 CAPITAL AUTO RECEIVABLES ASSET CAPITAL A 09/20/2017 Paydown 6,847,572 6,847,572 6,845,678 6,847,292 0 280 0 280 0 6,847,572 0 0 0 150,157 06/20/2019 1FE

13975H-AF-3 CAPITAL AUTO RECEIVABLES ASSET CAPITAL A 09/20/2017 Paydown 846,375 846,375 846,349 846,369 0 6 0 6 0 846,375 0 0 0 15,298 05/20/2019 1FE

14313M-AG-9 CARMAX AUTO OWNER TRUST CARMX_ CARMAX AU 07/15/2017 Paydown 5,750,000 5,750,000 5,749,752 5,749,915 0 85 0 85 0 5,750,000 0 0 0 69,096 11/15/2019 1FE

14313Q-AD-7 CARMAX AUTO OWNER TRUST CARMX_ 1.320% 09/15/2017 Paydown 670,594 670,594 670,465 670,561 0 33 0 33 0 670,594 0 0 0 5,883 07/15/2019 1FE

15132E-LB-2 CENDANT MORTGAGE CORPORATION C 5.387% 09/01/2017 Paydown 19,322 19,322 20,207 19,604 0 (282) 0 (282) 0 19,322 0 0 0 693 02/18/2035 1FM

161505-DW-9 CCMSC 99-2 1999-2 K 144A 6.500% 01/15/ 07/01/2017 Paydown 3,171 3,171 280 1,434 0 1,737 0 1,737 0 3,171 0 0 0 120 01/15/2032 1FM

161623-AL-7 CMRV 97-A 1997-A B ABS 6.540% 08/15/17 08/15/2017 Paydown 929 929 935 929 0 0 0 0 0 929 0 0 0 40 08/15/2017 1FE

16163L-AN-2 CHASE MORTGAGE FINANCE CORPORA 2007 A2 6 09/01/2017 Paydown 4,045 4,045 4,016 4,010 0 35 0 35 0 4,045 0 0 0 117 07/25/2037 2FM

17316Y-AC-2 CITIGROUP MORTGAGE LOAN TRUST 2010-6 2A1 09/01/2017 Paydown 91,846 91,846 92,477 92,020 0 (174) 0 (174) 0 91,846 0 0 0 2,014 09/25/2035 1FM

17322N-AA-2 CMLTI 2014-J1 A1 CITIGROUP MORTGAGE LOAN 09/01/2017 Paydown 298,551 298,551 299,764 299,492 0 (941) 0 (941) 0 298,551 0 0 0 7,560 06/25/2044 1FM

17322N-AK-0 CMLTI 2014-J1 A1 CITIGROUP MORTGAGE LOAN 09/01/2017 Paydown 22,140 22,140 21,525 21,631 0 510 0 510 0 22,140 0 0 0 542 06/25/2044 1FM

184496-AJ-6 CLEAN HARBORS INC CLEAN HARBORS INC 5. 08/01/2017 Call 101.3130 206,679 204,000 204,000 204,000 0 2,679 0 2,679 0 206,679 0 0 0 10,710 08/01/2020 3FE

193908-EF-3 CMOT 66 66 Z 8.000% 09/20/21 09/01/2017 Paydown 5,621 5,621 5,664 5,606 0 15 0 15 0 5,621 0 0 0 300 09/20/2021 1FE

21079V-AA-1 CONTINENTAL AIRLINES INC SERIES 2010-1 C 07/12/2017

Redemption 100.0000

399,467 399,467 399,467 399,467 0 0 0 0 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

70,801 70,801 67,520 70,181 0 621 0 621 0 70,801 0 0 0 4,634 02/02/2019 1FE

210805-CT-2 CONTINENTAL AIRLINES INC SERIES 1999-2 C 09/15/2017

Redemption 100.0000

322,501 322,501 295,331 314,991 0 7,510 0 7,510 0 322,501 0 0 0 23,401 03/15/2020 1FE

21987H-AP-0 CORP BOND BACKED CTF-A2 A-2 0.000% 05/ 08/23/2017 Taxable Exchange 42,876,838 25,000,000 7,093,500 26,285,395 0 1,199,642 0 1,199,642 0 27,485,036 0 15,391,802 15,391,802 0 05/15/2097 2FE

22541Q-HC-9 CSFB 03-17 CSFB_03-17 3.500% 07/25/18 09/01/2017 Paydown 4,381 4,381 4,375 4,372 0 9 0 9 0 4,381 0 0 0 102 07/25/2018 1FM

225470-TA-1 CREDIT SUISSE MORTGAGE CAPITAL 5.384% 09/01/2017 Paydown 1,582,127 1,582,127 1,711,541 1,591,523 0 (9,395) 0 (9,395) 0 1,582,127 0 0 0 56,738 05/15/2023 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)

226829-AA-7 CROCKETT COGENERATION LP MWC+25 144A 5 09/30/2017

Redemption 100.0000

137,492 137,492 140,545 138,933 0 (1,442) 0 (1,442) 0 137,492 0 0 0 6,052 03/30/2025 3FE

22819K-AA-8 CROWN AMERICAS LLC 144A 4.250% 09/30/2 08/21/2017 Tax Free Exchange 1,000,000 1,000,000 1,000,000 1,000,000 0 0 0 0 0 1,000,000 0 0 0 39,785 09/30/2026 4FE

23322B-FP-8 DLJCM 99-CG2 1999-CG2 B6 6.110% 06/10/ 09/01/2017 Paydown 13,196 13,196 7,084 7,084 0 6,112 0 6,112 0 13,196 0 0 0 537 06/10/2032 1FM

24736V-AA-0 DELTA AIR LINES INC PTT SERIES 2010-1 A 07/02/2017

Redemption 100.0000

109,736 109,736 109,736 109,736 0 0 0 0 0 109,736 0 0 0 6,804 07/02/2018 1FE

24736Y-AA-4 DELTA AIR LINES 2015-1 CLASS A DELTA AIR 07/31/2017

Redemption 100.0000

109,579 109,579 109,579 109,579 0 0 0 0 0 109,579 0 0 0 4,246 01/30/2029 1FE

25272V-AA-7 DIAMOND RESORTS OWNER TRUST DR DIAMOND R 09/20/2017 Paydown 675,393 675,393 669,882 670,807 0 4,586 0 4,586 0 675,393 0 0 0 12,524 07/20/2027 1FE

25273L-AA-8 DIAMOND RESORTS OWNER TRUST DR DIAMOND R 09/21/2017 Paydown 98,679 98,679 98,651 98,658 0 21 0 21 0 98,679 0 0 0 1,999 05/22/2028 1FE

25275@-AA-1 DIAMOND STATE GENERATION PARTN DIAMOND S 09/30/2017

Redemption 100.0000

92,471 92,471 92,471 92,471 0 0 0 0 0 92,471 0 0 0 5,718 03/30/2025 2FE

25755T-AC-4 DOMINOS PIZZA MASTER ISSUER LL DOMINOS P 07/25/2017 Paydown 5,779,375 5,779,375 5,779,375 5,779,375 0 0 0 0 0 5,779,375 0 0 0 227,764 01/25/2042 2FE

26223N-AE-5 DRUG ROYALTY CORPORATION INC D DRUG ROYA 07/16/2017 Paydown 51,282 51,282 51,273 51,279 0 3 0 3 0 51,282 0 0 0 2,231 07/15/2024 2FE

26223U-AD-1 DRUG ROYALTY II LP 1 DRUGB_14- 3.484% 07/15/2017 Paydown 351,069 351,069 351,064 351,064 0 5 0 5 0 351,069 0 0 0 9,173 07/15/2023 2FE

26224H-AA-5 DRUG ROYALTY III LP 1 DRUGC_16 DRUG ROYA 07/15/2017 Paydown 282,748 282,748 282,744 282,736 0 12 0 12 0 282,748 0 0 0 8,438 04/15/2027 2FE

26441Y-AU-1 DUKE REALTY LP 6.750% 03/15/20 07/09/2017 Call 112.6417 6,758,501 6,000,000 6,017,380 6,006,761 0 751,740 0 751,740 0 6,758,501 0 0 0 330,750 03/15/2020 2FE

26444G-AE-3 FLORIDA POWER CORPORATION SERIES 2035 09/15/2017

Genworth Life and

Annuity Insurance

Company 0 0 0 0 0 0 0 0 0 0 0 0 0 58,117 09/01/2036 1FE

29372E-BE-7 EFF_14-2 ENTERPRISE FLEET FINANCING LLC 09/01/2017 Paydown 718,859 718,859 718,242 718,750 0 109 0 109 0 718,859 0 0 0 5,018 03/20/2020 1FE

29372E-BH-0 ENTERPRISE FLEET FINANCING LLC ENTERPRIS 09/20/2017 Paydown 394,600 394,600 394,153 394,382 0 219 0 219 0 394,600 0 0 0 3,404 09/20/2020 1FE

29372E-BL-1 ENTERPRISE FLEET FINANCING LLC ENTERPRIS 09/20/2017 Paydown 2,133,086 2,133,086 2,132,910 2,133,022 0 64 0 64 0 2,133,086 0 0 0 22,574 02/22/2021 1FE

294429-AJ-4 EQUIFAX INC EQUIFAX INC 3.300% 12/15/2 09/26/2017 MORGAN STANLEY 9,826,900 10,000,000 9,995,390 9,997,033 0 329 0 329 0 9,997,362 0 (170,462) (170,462) 259,417 12/15/2022 2FE

29717P-A@-6 ESSEX PROPERTY TRUST INC 4.500% 09/30/ 07/03/2017 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 0 170,625 09/30/2017 2FE

30257G-AA-9 FPL ENERGY LLC 144A 5.608% 03/10/24 09/10/2017

Redemption 100.0000

51,684 51,684 46,305 48,177 0 3,507 0 3,507 0 51,684 0 0 0 2,898 03/10/2024 3FE

30261T-AQ-0 FREMF MORTGAGE TRUST FREMF_13- FREMF MOR 08/01/2017 Paydown 7,500,000 7,500,000 7,649,970 7,512,209 0 (12,209) 0 (12,209) 0 7,500,000 0 0 0 122,339 03/25/2045 1FM

30291D-AA-4 FRS_13-1A FLAGSHIP RAIL SERVICES FRS_13- 09/15/2017 Paydown 125,721 125,721 125,705 125,717 0 4 0 4 0 125,721 0 0 0 1,517 04/15/2043 1FE

30291D-AB-2 FRS_13-1A FLAGSHIP RAIL SERVICES FRS_13- 09/15/2017 Paydown 18,171 18,171 18,170 18,170 0 0 0 0 0 18,171 0 0 0 418 04/15/2043 1FE

31428X-AT-3 FEDEX CORP FEDEX CORP 3.875% 08/01/42 09/15/2017

Genworth Life and

Annuity Insurance

Company 0 0 0 0 0 0 0 0 0 0 0 0 0 22,475 08/01/2042 2FE

31846L-CD-6 FAMLT 99-1 1999-1 A1 7.180% 06/20/30 09/01/2017 Paydown 12,880 12,880 11,000 11,000 0 1,880 0 1,880 0 12,880 0 0 0 666 06/20/2030 1FM

31953*-AJ-1 UNION PACIFIC 5.470% 05/31/22 07/02/2017

Redemption 100.0000

276,190 276,190 276,190 276,190 0 0 0 0 0 276,190 0 0 0 15,108 05/31/2022 1

31953*-AK-8 UNION PACIFIC SECURED CORP BND 5.470% 07/02/2017

Redemption 100.0000

257,143 257,143 257,143 257,143 0 0 0 0 0 257,143 0 0 0 14,066 09/27/2022 1

33632*-UQ-8 FIRST SEC BK NA 7.280% 01/10/24 09/10/2017

Redemption 100.0000

147,455 147,455 147,455 147,455 0 0 0 0 0 147,455 0 0 0 7,160 01/10/2024 2

33850B-AW-7 FLAGSTAR MORTGAGE TRUST FSMT_1 Series 14 09/01/2017 Paydown 14,849 14,849 14,781 0 0 67 0 67 0 14,849 0 0 0 69 03/25/2047 1FE

341099-CG-2 FLORIDA POWER CORPORATION A 5.800% 09/ 09/15/2017 Maturity 8,076,000 8,076,000 8,083,131 8,077,608 0 (1,608) 0 (1,608) 0 8,076,000 0 0 0 468,408 09/15/2017 1FE

34417M-AB-3 FOCUS BRANDS FUNDING LLC FOCUS FOCUS BRA 07/31/2017 Paydown 20,000 20,000 20,000 0 0 0 0 0 0 20,000 0 0 0 323 04/30/2047 2AM

35104W-AA-8 FCRT_15-1 SERIES 2015-1 CLASS A 2.340% 09/15/2017 Paydown 170,245 170,245 170,218 170,234 0 11 0 11 0 170,245 0 0 0 2,660 01/15/2021 1FE

35906A-AH-1 FRONTIER COMMUNICATIONS CORP 8.500% 04 09/20/2017 Various 1,208,448 1,226,000 1,226,000 1,226,000 0 0 0 0 0 1,226,000 0 (17,553) (17,553) 92,659 04/15/2020 4FE

362311-AG-7 GTE CALIFORNIA INC F 6.750% 05/15/27 09/20/2017

STIFEL NICOLAUS AND CO

INC 6,375,000 7,500,000 7,265,625 7,356,358 0 7,039 0 7,039 0 7,363,397 0 (988,397) (988,397) 431,719 05/15/2027 3FE

36242D-EY-5 GSR MORTGAGE LOAN TRUST GSRMLT_04-10F 09/01/2017 Paydown 13,147 13,147 13,541 13,504 0 (357) 0 (357) 0 13,147 0 0 0 403 09/25/2034 1FM

391164-AK-6 GREAT PLAINS ENERGY INCORPORAT 4.850% 07/19/2017 Call 101.0000 10,100,000 10,000,000 9,987,000 0 0 113,000 0 113,000 0 10,100,000 0 0 0 175,139 04/01/2047 2FE

40146#-AD-9 GUARDIAN PIPELINE LLC 7.990% 09/30/22 09/30/2017

Redemption 100.0000

50,951 50,951 50,951 50,951 0 0 0 0 0 50,951 0 0 0 3,053 09/30/2022 2

40146#-AF-4 GUARDIAN PIPELINE LLC 7.920% 09/30/22 09/30/2017

Redemption 100.0000

11,250 11,250 11,250 11,250 0 0 0 0 0 11,250 0 0 0 668 09/30/2022 2

40146#-AG-2 GUARDIAN PIPELINE LLC 8.270% 09/30/22 09/30/2017

Redemption 100.0000

50,951 50,951 50,951 50,951 0 0 0 0 0 50,951 0 0 0 3,160 09/30/2022 2

40146#-AL-1 GUARDIAN PIPELINE LLC 144A 7.680% 09/3 09/30/2017

Redemption 100.0000

63,866 63,866 63,866 63,866 0 0 0 0 0 63,866 0 0 0 3,679 09/30/2022 2

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)

40167*-AA-3 UTX NOR HAWAII NAVAL STATION UTX NOR HAW 09/01/2017

Redemption 100.0000

235,852 235,852 235,852 235,852 0 0 0 0 0 235,852 0 0 0 14,841 09/01/2025 1

41245*-AF-6 HARDY STORAGE COMPANY LLC 5.885% 02/01 09/01/2017

Redemption 100.0000

535,064 535,064 535,064 535,064 0 0 0 0 0 535,064 0 0 0 20,999 02/01/2023 2

42805R-BA-6 HERTZ VEHICLE FINANCING LLC HE ABS 4.7 09/25/2017 Paydown 333,333 333,333 352,331 336,084 0 (2,751) 0 (2,751) 0 333,333 0 0 0 11,825 02/25/2019 1FE

43283A-AA-3 HILTON GRAND VACATIONS TRUST H HILTON GR 09/25/2017 Paydown 168,717 168,717 168,694 0 0 23 0 23 0 168,717 0 0 0 2,109 12/25/2028 1FE

43283A-AB-1 HILTON GRAND VACATIONS TRUST H HILTON GR 09/25/2017 Paydown 168,717 168,717 168,709 0 0 8 0 8 0 168,717 0 0 0 2,346 12/25/2028 2FE

43284A-AB-0 HGVT_14-AA HILTON GRAND VACATIONS TRUST 09/25/2017 Paydown 70,137 70,137 70,131 70,134 0 3 0 3 0 70,137 0 0 0 970 11/25/2026 1FE

432891-AJ-8 HILTON WORLDWIDE FINANCE LLC 4.875% 04 08/11/2017 Tax Free Exchange 10,002,207 10,000,000 10,002,500 0 0 (293) 0 (293) 0 10,002,207 0 0 0 196,354 04/01/2027 3FE

45254N-NE-3 IMPAC CMB TRUST IMM 05-2 2005-2 1M4 2. 09/25/2017 Paydown 16,695 16,695 3,287 3,287 0 13,409 0 13,409 0 16,695 0 0 0 232 04/25/2035 1FM

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

45660N-UG-8 RESIDENTIAL ASSET SECURITIZATI 5.250% 09/01/2017 Paydown 138,404 138,404 142,777 142,474 0 (4,071) 0 (4,071) 0 138,404 0 0 0 4,628 09/25/2033 1FM

466247-NQ-2 JPMMT 05-A2 2005-A2 3A2 3.469% 04/25/3 09/01/2017 Paydown 215,777 215,777 204,711 207,396 0 8,382 0 8,382 0 215,777 0 0 0 4,670 04/25/2035 1FM

46625M-5M-7 JP MORGAN CHASE COMMERCIAL MOR 2004-PNC1 09/01/2017 Paydown 457,839 457,839 449,404 455,585 0 2,254 0 2,254 0 457,839 0 0 0 18,419 06/12/2041 1FM

46629D-AK-1 JPMMT 06-A7 2006-A7 2A2 3.393% 01/25/3 08/01/2017 Paydown 9,240 11,280 9,248 9,248 0 1,664 0 1,664 0 10,912 0 (1,673) (1,673) 257 01/25/2037 1FM

46636V-AD-8 JP MORGAN CHASE COMMERCIAL MOR 3.678% 09/01/2017 Paydown 349,842 349,842 353,340 350,692 0 (850) 0 (850) 0 349,842 0 0 0 8,873 08/15/2046 1FM

46637J-CQ-3 JP MORGAN REREMIC JPMRR_12-2 JP MORGAN R 09/01/2017 Paydown 320,812 320,812 320,812 320,812 0 0 0 0 0 320,812 0 0 0 8,666 10/26/2034 1FM

46639G-AE-6 JP MORGAN MORTGAGE TRUST JPMMT JP MORGAN 09/01/2017 Paydown 113,153 113,153 112,997 112,992 0 161 0 161 0 113,153 0 0 0 2,641 03/25/2043 1FM

46644X-BC-5 JP MORGAN MORTGAGE TRUST JPMMT JP MORGAN 09/01/2017 Paydown 16,834 16,834 17,006 16,998 0 (164) 0 (164) 0 16,834 0 0 0 323 05/25/2045 1FM

46646B-AY-4 JP MORGAN MORTGAGE TRUST JPMMT JP MORGAN 09/01/2017 Paydown 30,979 30,979 31,648 31,576 0 (597) 0 (597) 0 30,979 0 0 0 805 02/25/2040 1FM

46647S-CQ-1 JP MORGAN MORTGAGE TRUST JPMMT Series 14 09/01/2017 Paydown 13,479 13,479 13,802 0 0 (323) 0 (323) 0 13,479 0 0 0 44 08/25/2047 1FE

46648C-AW-4 JP MORGAN MORTGAGE TRUST JPMMT JP MORGAN 09/01/2017 Paydown 36,272 36,272 35,348 0 0 924 0 924 0 36,272 0 0 0 648 01/25/2047 1FE

46648C-AX-2 JP MORGAN MORTGAGE TRUST JPMMT JP MORGAN 09/01/2017 Paydown 53,084 53,084 50,711 0 0 2,372 0 2,372 0 53,084 0 0 0 948 01/25/2047 1FE

46648H-AZ-6 JP MORGAN MORTGAGE TRUST JPMMT JP MORGAN 09/01/2017 Paydown 60,319 60,319 60,214 0 0 152 0 152 0 60,319 0 0 0 655 05/25/2047 1FE

47714M-AA-7 JETBLUE AIRWAYS CORP 144A 6.780% 01/15 07/15/2017

Redemption 100.0000

244,432 244,432 244,432 244,432 0 0 0 0 0 244,432 0 0 0 12,429 01/15/2019 3

478160-AQ-7 JOHNSON & JOHNSON 5.550% 08/15/17 08/15/2017 Maturity 20,000,000 20,000,000 20,000,000 20,000,000 0 0 0 0 0 20,000,000 0 0 0 1,110,000 08/15/2017 1FE

50026@-AA-1 KOHLS CORP 5.902% 12/15/23 09/15/2017

Redemption 100.0000

142,601 142,601 130,936 136,200 0 6,401 0 6,401 0 142,601 0 0 0 5,613 12/15/2023 2

50027#-AA-8 KOHLS CORP 5.902% 12/15/23 09/15/2017

Redemption 100.0000

24,226 24,226 24,226 24,226 0 0 0 0 0 24,226 0 0 0 954 12/15/2023 2

50076Q-AZ-9 MONDELEZ INTERNATIONAL INC KRAFT FOODS I 08/16/2017

DEUTSCHE BANK SECURITIES

INC. 5,172,800 5,000,000 4,957,265 4,973,686 0 2,829 0 2,829 0 4,976,515 0 196,285 196,285 123,958 06/06/2022 2FE

52177F-AG-9 LEAF II RECEIVABLES FUNDING LL LEAF II R 08/15/2017 Paydown 2,000,000 2,000,000 1,999,595 1,999,641 0 359 0 359 0 2,000,000 0 0 0 65,200 01/15/2023 1FE

521865-AU-9 LEAR CORP LEA 4.750% 01/15/23 09/18/2017 Call 103.3940 6,307,034 6,100,000 6,174,258 6,150,548 0 156,486 0 156,486 0 6,307,034 0 0 0 340,456 01/15/2023 2FE

52204*-AA-3 WALGREEN CO 5.540% 04/15/36 09/15/2017

Redemption 100.0000

37,724 37,724 37,724 37,724 0 0 0 0 0 37,724 0 0 0 1,394 04/15/2036 2

52467@-AK-1 NORTH ORCHARD PLAZA PARCEL 7.138% 01/1 09/15/2017

Redemption 100.0000

95,080 95,080 110,802 104,192 0 (9,112) 0 (9,112) 0 95,080 0 0 0 4,527 01/15/2028 1

53154*-AA-1 LIBERTY UTILITIES FINANCE GP1 LIBERTY UT 07/31/2017 Maturity 10,000,000 10,000,000 10,000,000 10,000,000 0 0 0 0 0 10,000,000 0 0 0 351,000 07/31/2017 2FE

539830-AW-9 LOCKHEED MARTIN CORP 5.720% 06/01/40 09/07/2017 Taxable Exchange 33,688,915 25,000,000 25,000,000 25,000,000 0 0 0 0 0 25,000,000 0 8,688,915 8,688,915 1,096,333 06/01/2040 2FE

542514-EX-8 LBMLT 04-1 2004 - 1M4 2.737% 02/25/34 09/25/2017 Paydown 23,506 23,506 23,675 23,533 0 (27) 0 (27) 0 23,506 0 0 0 388 02/25/2034 1FM

55265K-X9-5 MASTER ASSET SECURITIZATION TR MAST_03-1 09/01/2017 Paydown 5,069 5,069 5,091 5,064 0 5 0 5 0 5,069 0 0 0 152 12/25/2018 1FM

55265W-CV-3 MSSTR 05-1 2005-1 HYB1 3.402% 10/25/32 07/20/2017 Guggenheim Capital 501,404 771,391 257,615 257,615 0 0 0 0 0 257,615 0 243,789 243,789 13,144 10/25/2032 1FM

553893-AB-4 MVW OWNER TRUST MVWOT_13-1A MVW OWNER TR 09/20/2017 Paydown 146,330 146,330 146,309 145,739 0 591 0 591 0 146,330 0 0 0 2,983 04/22/2030 2FE

57165L-AA-2 MARRIOTT VACATION CLUB OWNER T ABS 3.5 09/20/2017 Paydown 69,238 69,238 69,230 69,235 0 3 0 3 0 69,238 0 0 0 1,627 12/20/2032 1FE

57165L-AB-0 MARRIOTT VACATION CLUB OWNER T ABS 4.5 09/20/2017 Paydown 16,887 16,887 16,884 16,886 0 1 0 1 0 16,887 0 0 0 507 12/20/2032 2FE

576434-AU-8 MASTR 02-2 2002-2 1A1 7.250% 10/25/32 09/01/2017 Paydown 3,485 3,485 3,625 3,578 0 (94) 0 (94) 0 3,485 0 0 0 168 10/25/2032 1FM

576434-JS-4 MASTR ALTERNATIVE LOAN TRUSTS 2003-8 A1A 09/01/2017 Paydown 31,147 31,147 31,269 31,211 0 (64) 0 (64) 0 31,147 0 0 0 1,244 10/25/2033 1FM

59748T-AB-5 Midland Cogener MIDLAND COGENERATION VEN 09/15/2017

Redemption 100.0000

416,820 416,820 416,820 416,820 0 0 0 0 0 416,820 0 0 0 21,883 03/15/2025 2FE

604668-AC-7 MIRAMAX LLC MRMX_14-1A SERIES 2014-1A CL 07/20/2017 Paydown 403,380 403,380 403,330 403,335 0 45 0 45 0 403,380 0 0 0 10,105 07/20/2026 2FE

61745M-LZ-4 MSCI 99-FNV1 1999-FNV1 K 144A 6.120% 0 09/01/2017 Paydown 27,148 27,148 22,109 24,866 0 2,282 0 2,282 0 27,148 0 0 0 1,108 03/15/2031 1FM

61754J-AH-1 MORGAN STANLEY CAPITAL I MSC 0 2007-T27 09/01/2017 Paydown 2,254,256 2,254,256 2,196,098 2,234,035 0 20,221 0 20,221 0 2,254,256 0 0 0 77,273 06/11/2042 1FM

61756U-AE-1 MORGAN STANELY CAPITAL I MSC 0 5.809% 08/01/2017 Paydown 864,830 864,830 869,574 863,677 0 1,153 0 1,153 0 864,830 0 0 0 30,206 12/12/2049 1FM

62943W-AC-3 NRG YIELD OPERATING LLC 5.000% 09/15/2 07/01/2017 Tax Free Exchange 5,000,000 5,000,000 5,000,000 5,000,000 0 0 0 0 0 5,000,000 0 0 0 215,972 09/15/2026 3FE

653240-AA-9 NEWTOWN CREDIT LEASE 6.082% 12/15/23 09/15/2017

Redemption 100.0000

299,333 299,333 299,322 299,329 0 4 0 4 0 299,333 0 0 0 12,142 05/15/2023 1

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)655664-AN-0 NORDSTROM INC 4.750% 05/01/20 09/01/2017 Various 2,099,600 2,000,000 1,991,300 1,996,650 0 641 0 641 0 1,997,291 0 102,309 102,309 80,486 05/01/2020 2FE

655664-AP-5 NORDSTROM INC NORDSTROM INC 4.000% 10/ 08/11/2017 MITSUBISHI SECURITIES 5,173,320 5,000,000 4,991,400 4,995,474 0 535 0 535 0 4,996,010 0 177,310 177,310 166,056 10/15/2021 2FE

667294-AM-4 NORTHWEST AIRLINES INC 2001-1 992A 7.5 09/01/2017

Redemption 100.0000

115,669 115,669 123,187 118,191 0 (2,522) 0 (2,522) 0 115,669 0 0 0 8,762 03/01/2019 1FE

68619A-AK-3 ORGN 01-A 2001-A A7 6.660% 03/15/32 09/15/2017 Paydown 39,797 39,797 40,718 39,946 0 (148) 0 (148) 0 39,797 0 0 0 1,787 03/15/2032 3AM

690742-AC-5 OWENS CORNING CORP BND 9.000% 06/15/19 07/28/2017 Call 113.0950 4,523,800 4,000,000 3,931,360 3,977,183 0 546,617 0 546,617 0 4,523,800 0 0 0 223,000 06/15/2019 2FE

69340F-AA-8 PFS TAX LIEN TRUST PFS_14-1 1.440% 05/ 09/15/2017 Paydown 597,171 597,171 597,141 597,163 0 8 0 8 0 597,171 0 0 0 6,239 05/15/2029 1FE

693456-AN-5 PMT LOAN TRUST PMTLT_13-J1 3.563% 09/2 09/01/2017 Paydown 46,971 46,971 47,984 47,972 0 (1,000) 0 (1,000) 0 46,971 0 0 0 1,117 09/25/2043 1FM

72447X-AC-1 PITNEY BOWES INC. SENIOR CORP BND 5.75 09/15/2017 Maturity 10,000,000 10,000,000 10,442,800 10,045,383 0 (45,383) 0 (45,383) 0 10,000,000 0 0 0 575,000 09/15/2017 2FE

73019#-AA-0 PNC EQUIPMENT FINANCE LLC PNC EQUIPMENT 09/13/2017

Redemption 100.0000

234,462 234,462 240,603 240,268 0 (5,806) 0 (5,806) 0 234,462 0 0 0 7,034 09/13/2027 1

73019#-AB-8 PNC EQUIPMENT FINANCE LLC PNC EQUIPMENT 09/13/2017

Redemption 100.0000

243,287 243,287 249,659 249,311 0 (6,024) 0 (6,024) 0 243,287 0 0 0 7,299 09/13/2027 1

742741-AA-9 PROCTER & GAMBLE- ESOP A 9.360% 01/01/ 07/01/2017

Redemption 100.0000

376,852 376,852 469,084 401,952 0 (25,100) 0 (25,100) 0 376,852 0 0 0 35,273 01/01/2021 1FE

74986@-AJ-0 RREEF AMERICA REIT II INC 5.510% 02/09 09/01/2017 Call 101.7044 20,340,887 20,000,000 17,731,870 19,594,162 0 746,725 0 746,725 0 20,340,887 0 0 0 1,169,344 02/09/2018 1

755920-AH-8 ROCS SERIES BLS- 1998-1 7.250% 08/01/9 08/29/2017 Tax Free Exchange 38,232,126 45,000,000 9,170,232 36,416,709 0 1,815,417 0 1,815,417 0 38,232,126 0 0 0 0 08/01/2097 1FE

76110W-J4-9 RFMSI 04-K11 2004 KS11 M2 2.737% 12/25 09/25/2017 Paydown 0 142,166 26,715 26,715 0 0 0 0 0 26,715 0 (26,715) (26,715) 2,387 12/25/2034 1FM

76112B-CG-3 RESIDENTIAL ASSET MORTGAGE PRO 2004-RS9 09/01/2017 Paydown 166,769 180,527 134,514 134,514 0 42,506 0 42,506 0 177,020 0 (10,251) (10,251) 7,002 08/25/2034 1FM

76112B-JH-4 RFMSI 05-RS1 2005-RS1 MII2 2.437% 01/2 09/25/2017 Paydown 0 51,645 5,686 5,664 0 23 0 23 0 5,686 0 (5,686) (5,686) 940 01/25/2035 1FM

76112B-QB-9 RESIDENTIAL ASSET MORTGAGE PRO 2005-RS5 08/25/2017 Paydown 0 (2,449) (107) (107) 0 0 0 0 0 (107) 0 107 107 28 05/25/2035 1FM

76112B-TY-6 RAMP 05-RS6 2005-RS6 M7 3.337% 06/25/3 09/25/2017 Paydown 576 181 6 6 0 557 0 557 0 563 0 13 13 69 06/25/2035 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

78410T-AA-4 SCFET_17-1A SCF EQUIPMENT TRUST LLC SCFE 09/20/2017 Paydown 296,729 296,729 296,666 0 0 63 0 63 0 296,729 0 0 0 5,200 09/20/2022 1FE

78412F-AL-8 SESI LLC 6.375% 05/01/19 09/18/2017 Call 100.0000 6,000,000 6,000,000 6,062,895 6,004,491 0 (4,491) 0 (4,491) 0 6,000,000 0 0 0 336,813 05/01/2019 3FE

78471K-BJ-9 SOFI MORTGAGE TRUST SFPMT_16-1 Series 14 09/01/2017 Paydown 7,597 7,597 7,478 0 0 119 0 119 0 7,597 0 0 0 20 11/25/2046 1FE

78488A-AA-2 SVO VOI MORTGAGE CORP SVOVM_11 ABS 3.6 09/01/2017 Paydown 190,912 190,912 190,911 190,701 0 212 0 212 0 190,912 0 0 0 4,738 11/20/2027 1FE

80283B-AF-2 SANTANDER DRIVE AUTO RECEIVABL SANTANDER 07/15/2017 Paydown 3,554,971 3,554,971 3,553,304 3,554,669 0 302 0 302 0 3,554,971 0 0 0 51,014 12/17/2018 1FE

80283D-AF-8 SANTANDER DRIVE AUTO REVEIVABLES TRUST A 09/15/2017 Paydown 2,248,390 2,248,390 2,247,589 2,248,231 0 159 0 159 0 2,248,390 0 0 0 41,138 03/15/2019 1FE

80283F-AF-3 SANTANDER DRIVE AUTO REVEIVABLES TRUST A 09/15/2017 Paydown 3,539,129 3,539,129 3,538,689 3,539,044 0 85 0 85 0 3,539,129 0 0 0 58,679 01/15/2019 1FE

80283H-AE-2 SDART_13-4 SANTANDER DRIVE AUTO RECEIVAB 09/15/2017 Paydown 880,297 880,297 880,158 880,281 0 16 0 16 0 880,297 0 0 0 18,981 01/15/2020 1FE

80283W-AF-6 SDART_14-2 SANTANDER DRIVE AUTO RECEIVAB 09/15/2017 Paydown 1,951,710 1,951,710 1,951,118 1,951,585 0 124 0 124 0 1,951,710 0 0 0 30,229 11/15/2019 1FE

81744N-AG-5 SEQUOIA MORTGAGE TRUST SERIES 12-6 CLASS 09/01/2017 Paydown 25,894 25,894 26,461 26,409 0 (515) 0 (515) 0 25,894 0 0 0 646 12/25/2042 1FM

81744T-AB-3 SEQUOIA MORTGAGE TRUST SEMT_12-1 3.474 09/01/2017 Paydown 109,842 109,842 109,838 109,757 0 85 0 85 0 109,842 0 0 0 2,633 01/25/2042 1FM

81744U-AA-2 SEQUOIA MORTGAGE TRUST SEMT_12-2 3.500 09/01/2017 Paydown 65,772 65,772 66,347 66,112 0 (340) 0 (340) 0 65,772 0 0 0 1,690 04/25/2042 1FM

81744U-AE-4 SEQUOIA MORTGAGE TRUST SEMT_12-2 4.263 09/01/2017 Paydown 63,994 63,994 62,598 63,030 0 964 0 964 0 63,994 0 0 0 1,931 04/25/2042 1FM

81744X-AA-6 SEQUOIA MORTGAGE TRUST SEMT_12-5 2.500 09/01/2017 Paydown 185,222 185,222 178,827 179,076 0 6,147 0 6,147 0 185,222 0 0 0 3,228 12/31/2042 1FM

81745F-AA-4 SEQUOIA MORTGAGE TRUST SEMT_12-3 3.500 09/01/2017 Paydown 173,919 173,919 176,314 176,129 0 (2,211) 0 (2,211) 0 173,919 0 0 0 4,040 07/25/2042 1FM

81745L-AA-1 SEMT_14-4 SEQUOIA MORTGAGE TRUST SEMT_14 09/01/2017 Paydown 520,223 520,223 526,400 524,666 0 (4,443) 0 (4,443) 0 520,223 0 0 0 10,927 11/25/2044 1FM

81746K-CB-8 SEQUOIA MORTGAGE TRUST SEMT_17 3.658% 09/01/2017 Paydown 33,114 33,114 32,336 0 0 1,032 0 1,032 0 33,114 0 0 0 740 03/25/2047 1FE

82280Q-AC-5 SHELLPOINT CO-ORIGINATOR TRUST SHELLPOIN 09/01/2017 Paydown 110,120 110,120 110,533 110,424 0 (304) 0 (304) 0 110,120 0 0 0 2,673 08/25/2045 1FM

82281E-BX-4 SHELLPOINT CO-ORIGINATOR TRUST SHELLPOIN 09/01/2017 Paydown 46,315 46,315 45,804 45,812 0 503 0 503 0 46,315 0 0 0 1,125 11/25/2046 1FE

824348-AY-2 SHERWIN-WILLIAMS COMPANY (THE) 7.250% 08/09/2017 Tax Free Exchange 4,995,016 5,000,000 4,994,325 0 0 691 0 691 0 4,995,016 0 0 0 235,625 06/15/2019 2FE

824348-BA-3 SHERWIN-WILLIAMS COMPANY (THE) 4.200% 08/09/2017 Tax Free Exchange 11,991,812 12,000,000 11,991,018 0 0 794 0 794 0 11,991,812 0 0 0 285,600 01/15/2022 2FE

824348-BC-9 SHERWIN-WILLIAMS COMPANY (THE) SERIES 14 08/09/2017 Tax Free Exchange 4,990,280 5,000,000 4,989,917 0 0 362 0 362 0 4,990,280 0 0 0 86,167 02/01/2025 2FE

824348-BG-0 SHERWIN-WILLIAMS COMPANY (THE) SERIES 14 08/09/2017 Tax Free Exchange 5,089,158 5,000,000 5,090,958 0 0 (1,800) 0 (1,800) 0 5,089,158 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 55,914 55,934 0 15 0 15 0 55,949 0 0 0 984 08/20/2029 2FE

82650H-AB-9 SIERRA RECEIVABLES FUNDING COM SIERRA RE 09/20/2017 Paydown 131,022 131,022 131,007 131,015 0 7 0 7 0 131,022 0 0 0 2,369 10/20/2030 2FE

82652B-AB-0 SIERRA RECEIVABLES FUNDING COM SIERRA RE 09/20/2017 Paydown 201,594 201,594 201,570 201,583 0 11 0 11 0 201,594 0 0 0 3,888 11/20/2025 2FE

82652C-AB-8 SIERRA RECEIVABLES FUNDING COM SIERRA RE 09/20/2017 Paydown 159,938 159,938 159,888 159,907 0 31 0 31 0 159,938 0 0 0 2,577 03/20/2030 2FE

82652K-AA-2 SIERRA RECEIVABLES FUNDING COM SIERRA RE 09/20/2017 Paydown 673,471 673,471 673,425 0 0 46 0 46 0 673,471 0 0 0 8,042 03/20/2034 1FE

82652K-AB-0 SIERRA RECEIVABLES FUNDING COM SIERRA RE 09/20/2017 Paydown 572,450 572,450 572,306 0 0 144 0 144 0 572,450 0 0 0 7,517 03/20/2034 2AM

82652X-AA-4 SIERRA RECEIVABLES FUNDING COM SIERRA RE 09/20/2017 Paydown 633,383 633,383 633,268 633,284 0 99 0 99 0 633,383 0 0 0 12,985 03/21/2033 1FE

82652Y-AB-0 SIERRA RECEIVABLES FUNDING COM SIERRA RE 09/20/2017 Paydown 1,150,296 1,150,296 1,150,168 1,150,170 0 127 0 127 0 1,150,296 0 0 0 20,056 10/20/2033 2FE

83611P-AJ-0 SVHE 01-1 2001-1 A 6.765% 04/15/31 09/01/2017 Paydown 4,972 4,972 5,047 4,985 0 (13) 0 (13) 0 4,972 0 0 0 250 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

E05.7




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)

86191@-AB-2 STONEHENGE CAPITAL FUND MISSOU 6.014% 09/01/2017

Redemption 100.0000

36,226 36,226 36,226 36,226 0 0 0 0 0 36,226 0 0 0 1,634 12/01/2019 1FE

86192*-AA-5 STONEHENGE CAPITAL FUND CONNEC 8.124% 09/15/2017

Redemption 100.0000

79,856 79,856 79,856 79,856 0 0 0 0 0 79,856 0 0 0 4,866 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

86197@-AA-8 STONEHENGE CAPITAL FUND NEBRAS STONEHENG 09/15/2017

Redemption 100.0000

63,699 63,699 63,699 63,699 0 0 0 0 0 63,699 0 0 0 3,433 03/01/2019 1FE

86198@-AA-7 STONEHENGE CAPITAL FUND NEVADA STONEHENG 07/31/2017

Redemption 100.0000

67,678 67,678 67,678 67,678 0 0 0 0 0 67,678 0 0 0 2,818 01/31/2020 1FE

86200*-AA-5 STONEHENGE CAPITAL FUND SOUTH STONEHENGE 09/01/2017

Redemption 100.0000

41,967 41,967 41,967 41,967 0 0 0 0 0 41,967 0 0 0 1,888 03/01/2019 1

86359B-ZE-4 STRUCTURED ASSET SECURITIES CO 2004-17XS 09/01/2017 Paydown 171,599 171,599 171,545 171,223 0 376 0 376 0 171,599 0 0 0 5,900 09/25/2034 1FM

86789M-AN-7 STALT 05-1F 2005-1F 2A3 5.750% 12/25/3 09/01/2017 Paydown 24,542 28,064 23,373 23,373 0 4,102 0 4,102 0 27,475 0 (2,934) (2,934) 1,092 12/25/2035 1FM

871928-AT-4 CORP BOND BACKED CTF APA 97-8 7.375% 0 08/15/2017 Tax Free Exchange 17,796,750 20,000,000 4,360,859 16,912,600 0 884,150 0 884,150 0 17,796,750 0 0 0 0 08/15/2047 2FE

871928-AW-7 CORP BOND BACKED CTF AGC 144A 8.125% 0 09/15/2017 Tax Free Exchange 37,694,106 35,000,000 9,107,450 35,809,937 0 1,884,169 0 1,884,169 0 37,694,106 0 0 0 0 03/15/2046 2FE

87342R-AC-8 TACO BELL FUNDING BELL_16-1A 4.970% 05 08/25/2017 Paydown 25,000 25,000 25,000 25,000 0 0 0 0 0 25,000 0 0 0 932 05/25/2046 2AM

87407P-AA-8 TAL ADVANTAGE LLC TAL_13-1A Series 144A 08/21/2017

BANC OF AMERICA

SECURITIES LLC 2,908,157 2,928,750 2,926,462 2,927,190 0 (86) 0 (86) 0 2,927,104 0 (18,946) (18,946) 59,838 02/22/2038 1FE

87407P-AA-8 TAL ADVANTAGE LLC TAL_13-1A Series 144A 08/20/2017 Paydown 88,750 88,750 88,681 88,703 0 47 0 47 0 88,750 0 0 0 1,681 02/22/2038 1FE

87407P-AC-4 TAL ADVANTAGE LLC TAL_13-1A ABS 3.960% 09/20/2017 Paydown 75,000 75,000 74,977 74,989 0 11 0 11 0 75,000 0 0 0 1,980 02/22/2038 2FE

87407P-AE-0 TAL ADVANTAGE LLC TAL_13-2A ABS 3.550% 09/20/2017 Paydown 125,000 125,000 127,388 126,440 0 (1,440) 0 (1,440) 0 125,000 0 0 0 3,115 11/20/2038 1FE

87407P-AG-5 TAL ADVANTAGE LLC TAL_13-2A ABS 4.625% 09/20/2017 Paydown 130,000 130,000 127,075 127,173 0 2,827 0 2,827 0 130,000 0 0 0 4,008 11/20/2038 2AM

87407P-AL-4 TAL_14-1A TAL ADVANTAGE LLC TAL_14-1A 09/20/2017 Paydown 78,500 78,500 75,718 52,901 0 2,709 0 2,709 0 78,500 0 0 0 1,824 02/22/2039 1AM

87407P-AN-0 TAL ADVANTAGE LLC TAL_14-2A 1.700% 05/ 09/20/2017 Paydown 223,337 223,337 223,311 223,330 0 6 0 6 0 223,337 0 0 0 2,810 05/20/2039 1FE

87407P-AP-5 TAL ADVANTAGE LLC TAL_14-2A 3.330% 05/ 09/20/2017 Paydown 104,358 104,358 104,619 104,501 0 (143) 0 (143) 0 104,358 0 0 0 2,447 05/20/2039 1FE

87407P-AQ-3 TAL ADVANTAGE LLC TAL_14-2A 3.970% 05/ 09/20/2017 Paydown 137,500 137,500 132,223 83,698 0 5,114 0 5,114 0 137,500 0 0 0 2,812 05/20/2039 1AM

87407P-AT-7 TAL ADVANTAGE LLC TAL_14-3A 4.150% 11/ 09/20/2017 Paydown 50,000 50,000 48,664 0 0 1,336 0 1,336 0 50,000 0 0 0 519 11/21/2039 1AM

881609-AY-7 TESORO CORP TESORO CORP 4.250% 10/01/1 09/27/2017 Call 100.0000 8,000,000 8,000,000 8,000,000 8,000,000 0 0 0 0 0 8,000,000 0 0 0 336,222 10/01/2017 2FE

882384-AA-8 TEXAS EASTERN TRNSMSN LP SENIOR CORP BND 09/15/2017 Maturity 6,695,000 6,695,000 6,466,433 6,672,364 0 22,636 0 22,636 0 6,695,000 0 0 0 401,700 09/15/2017 2FE

88315F-AA-9 TEXTAINER MARINE CONTAINERS LT TEXTAINER 09/20/2017 Paydown 105,417 105,417 105,412 0 0 8 0 8 0 105,417 0 0 0 1,345 05/20/2042 1FE

88315F-AB-7 TEXTAINER MARINE CONTAINERS LT TEXTAINER 09/20/2017 Paydown 210,833 210,833 210,827 0 0 11 0 11 0 210,833 0 0 0 3,508 05/20/2042 2FE

88315F-AG-6 TEXTAINER MARINE CONTAINERS LT Series 14 09/20/2017 Paydown 115,776 115,776 115,763 0 0 13 0 13 0 115,776 0 0 0 795 06/20/2042 2FE

88340@-9B-0 SLCMT 00-C1 2000-C1 A1 6.540% 04/15/20 09/01/2017 Paydown 3,139 3,139 3,139 3,139 0 0 0 0 0 3,139 0 0 0 146 04/15/2020 5*

89656F-AA-4 TRINITY RAIL LEASING LP TRL_12-1A ABS 09/15/2017 Paydown 288,895 288,895 287,258 287,821 0 1,073 0 1,073 0 288,895 0 0 0 4,367 01/15/2043 1FE

89679H-AG-0 TRITON CONTAINER FINANCE LLC T Series 14 09/20/2017 Paydown 45,671 45,671 45,656 0 0 15 0 15 0 45,671 0 0 0 160 08/20/2042 2FE

89690E-AD-9 TRIP RAIL MASTER FUNDING LLC T TRIP RAIL 08/15/2017 Call 100.4049 13,443,839 13,389,627 13,389,627 13,389,627 0 54,213 0 54,213 0 13,443,839 0 0 0 255,677 04/15/2044 1FE

89690E-AD-9 TRIP RAIL MASTER FUNDING LLC T TRIP RAIL 07/15/2017 Paydown 32,214 32,214 32,214 32,214 0 0 0 0 0 32,214 0 0 0 538 04/15/2044 1FE

90332U-AE-3 US AIRWAYS P-T TR 8.360% 07/20/20 07/20/2017

Redemption 100.0000

248,485 248,485 250,846 249,500 0 (1,015) 0 (1,015) 0 248,485 0 0 0 20,773 01/20/2019 2FE

90931L-AA-6 UNITED AIRLINES 2016-1 CLASS A UNITED AI 09/15/2017

Genworth Life and

Annuity Insurance

Company 0 0 0 0 0 0 0 0 0 0 0 0 0 87,833 07/07/2028 1FE

912920-AC-9 QWEST CORP 6.875% 09/15/33 09/26/2017 Various 2,679,704 2,746,500 2,389,455 2,456,935 0 6,321 0 6,321 0 2,463,257 0 216,447 216,447 195,259 09/15/2033 3FE

92343E-AJ-1 VERISIGN INC Series 144A 4.750% 07/15/ 09/22/2017 Tax Free Exchange 1,000,000 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 0 0 10,160 07/15/2027 3FE

929227-3K-0 WASHINGTON MUTUAL WAMU 03-S5 5.500% 06 09/01/2017 Paydown 14,680 14,680 14,891 14,862 0 (182) 0 (182) 0 14,680 0 0 0 538 06/25/2033 1FM

929227-D3-7 WASHINGTON MUTUAL WAMU 02-S8 5.250% 01 09/01/2017 Paydown 3,884 3,884 3,935 3,878 0 6 0 6 0 3,884 0 0 0 136 01/25/2018 2FM

929227-WM-4 WAMU 02-A15 2002-AR15 B1 2.764% 12/25/ 09/01/2017 Paydown 1,204 1,204 1,173 1,182 0 21 0 21 0 1,204 0 0 0 22 12/25/2032 1FM

929227-ZX-7 WAMU 02-A19 2002-AR19 B1 2.822% 02/25/ 09/01/2017 Paydown 5,142 5,142 5,119 5,123 0 19 0 19 0 5,142 0 0 0 94 02/25/2033 1FM

92922F-DE-5 WAMU MORTGAGE PASS-THROUGH CER 5.000% 09/01/2017 Paydown 3,811 3,811 3,811 3,811 0 0 0 0 0 3,811 0 0 0 124 09/25/2018 1FM

930059-A@-9 WADDELL & REED INC 5.750% 01/13/21 08/07/2017

STONECASTLE SECURITIES

LLC 14,625,000 15,000,000 15,000,000 15,000,000 0 0 0 0 0 15,000,000 0 (375,000) (375,000) 927,188 01/13/2021 2

931009-AF-1 WAKE FOREST UNIVERSITY WAKE FOREST UNIVE 09/15/2017

Genworth Life and

Annuity Insurance

Company 0 0 0 0 0 0 0 0 0 0 0 0 0 15,544 01/15/2042 1FE

931142-CK-7 WAL-MART STORES INC 6.500% 08/15/37 07/06/2017 TENDER 991,949 700,000 921,209 895,353 0 (3,019) 0 (3,019) 0 892,334 0 99,615 99,615 40,571 08/15/2037 1FE

93144*-AA-0 WALGREENS CTL 5.990% 02/15/30 09/15/2017

Redemption 100.0000

56,166 56,166 56,166 56,166 0 0 0 0 0 56,166 0 0 0 2,244 02/15/2030 2

E05.8




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)

938837-A#-8 GSA REC BACKED TRUST - WGL PRO 7.220% 09/05/2017

Redemption 100.0000

540,190 540,190 540,190 540,190 0 0 0 0 0 540,190 0 0 0 26,014 09/05/2017 1

939336-DA-8 WAMU MORTGAGE PASS-THROUGH CER 2002-AR14 09/01/2017 Paydown 1,200 1,200 1,193 1,194 0 5 0 5 0 1,200 0 0 0 22 11/25/2032 1FM

939336-TS-2 WASHINGTON MUTUAL MSC MORTGAGE 5.500% 09/01/2017 Paydown 167,600 167,600 174,476 173,888 0 (6,288) 0 (6,288) 0 167,600 0 0 0 6,126 03/25/2033 1FM

939336-UE-1 WASHINGTON MUTUAL MSC MORTGAGE 5.000% 09/01/2017 Paydown 25,202 25,202 25,758 25,404 0 (203) 0 (203) 0 25,202 0 0 0 839 03/25/2018 1FM

949768-AD-7 WFMBS 03-K WELLS FARGO MORTGAGE BACKED S 09/01/2017 Paydown 32,733 32,733 33,767 33,492 0 (759) 0 (759) 0 32,733 0 0 0 651 11/25/2033 1FM

94978#-AT-4 LEGG MASON LEASE BACKED PASS T 2002-CTL- 09/01/2017

Redemption 100.0000

94,699 94,699 94,699 94,699 0 0 0 0 0 94,699 0 0 0 4,200 08/01/2027 2

94978#-BJ-5 WLS FRGO NRTHWST CAP. LEASE FUNDING 2003 09/15/2017

Redemption 100.0000

90,376 90,376 85,705 89,388 0 988 0 988 0 90,376 0 0 0 3,489 11/15/2027 2

94978#-DC-8 WACHOVIA CORPORATION V 2005-1 5.480% 0 07/14/2017 Security Withdraw 1 13,401 13,401 13,401 0 0 0 0 0 13,401 0 (13,400) (13,400) 757 01/02/2025 1

94980G-AR-2 WFHN 04-2 2004-2 M4 3.037% 05/25/34 08/23/2017

BANC OF AMERICA

SECURITIES LLC 644,567 660,671 673,884 664,127 0 (493) 0 (493) 0 663,634 0 (19,066) (19,066) 10,689 05/25/2034 1FM

94980G-AR-2 WFHN 04-2 2004-2 M4 3.037% 05/25/34 08/25/2017 Paydown 20,463 20,463 20,873 20,570 0 (107) 0 (107) 0 20,463 0 0 0 2,078 05/25/2034 1FM

95058X-AA-6 WENDYS FUNDING LLC WEN_15-1A SERIES 2015 09/15/2017 Paydown 8,750 8,750 8,750 8,750 0 0 0 0 0 8,750 0 0 0 221 06/15/2045 2AM

95058X-AC-2 WENDYS FUNDING LLC WEN_15-1A 4.497% 06 09/15/2017 Paydown 18,375 18,375 18,367 0 0 8 0 8 0 18,375 0 0 0 413 06/15/2045 2AM

960386-AJ-9 WABTEC CORP WABTEC CORPORATION 3.450% 08/31/2017 Tax Free Exchange 9,996,842 10,000,000 9,996,500 9,996,567 0 275 0 275 0 9,996,842 0 0 0 285,583 11/15/2026 2FE

97651J-BB-1 WINWATER MORTGAGE LOAN TRUST W WIN_15-3 09/01/2017 Paydown 48,835 48,835 49,527 0 0 (692) 0 (692) 0 48,835 0 0 0 956 03/20/2045 1FM

97652P-AA-9 WINWATER MORTGAGE LOAN TRUST W WINWATER 09/01/2017 Paydown 74,540 74,540 77,056 76,553 0 (2,013) 0 (2,013) 0 74,540 0 0 0 1,979 06/20/2044 1FM

14161G-BF-6 CARDS II TRUST CARD2_15-2A 1.754% 07/1 07/15/2017 Paydown 10,000,000 10,000,000 10,000,000 10,000,000 0 0 0 0 0 10,000,000 0 0 0 84,448 07/15/2020 1FE

74022D-AJ-9 PRECISION DRILLING CORPORATION 5.250% A 08/16/2017

BANC OF AMERICA

SECURITIES LLC 897,500 1,000,000 1,000,000 1,000,000 0 0 0 0 0 1,000,000 0 (102,500) (102,500) 40,250 11/15/2024 4FE

00164G-AC-0 ALM_13-10A ALM LOAN FUNDING ALM_13-10A C 08/03/2017 Call 100.0000 6,000,000 6,000,000 5,871,180 5,916,615 0 83,385 0 83,385 0 6,000,000 0 0 0 146,750 01/15/2025 1FE

02364W-BE-4 AMERICA MOVIL SAB DE CV AMERICA MOVIL SA D 09/15/2017

Genworth Life and

Annuity Insurance

Company 0 0 0 0 0 0 0 0 0 0 0 0 0 19,031 07/16/2042 1FE

046353-AB-4 ASTRAZENECA PLC 5.900% 09/15/17 D 09/15/2017 Maturity 20,000,000 20,000,000 19,986,400 19,998,783 0 1,217 0 1,217 0 20,000,000 0 0 0 1,180,000 09/15/2017 2FE

10010Y-AA-0 TURK HAVA YOLLARI SERIES 144A 4.200% 0 C 09/15/2017

Redemption 100.0000

104,129 104,129 104,129 104,129 0 0 0 0 0 104,129 0 0 0 4,373 03/15/2027 2FE

11042A-AA-2 BRITISH AIRWAYS PLC SER 2013-1 CLASS A 1 D 09/20/2017

Redemption 100.0000

196,218 196,218 196,218 196,218 0 0 0 0 0 196,218 0 0 0 6,806 06/20/2024 1FE

12479L-AA-8 CAL FUNDING LTD CAI_12-1A CAL FUNDING LT D 09/25/2017 Paydown 175,000 175,000 174,962 174,983 0 17 0 17 0 175,000 0 0 0 4,048 10/25/2027 1FE

12479L-AC-4 CAL FUNDING LTD CAI_13-1A CAL FUNDING LT D 09/25/2017 Paydown 75,000 75,000 74,687 74,839 0 161 0 161 0 75,000 0 0 0 1,675 03/27/2028 1FE

125464-AA-5 CIC RECEIVABLES MASTER TRUST 4.890% 10 C 07/10/2017

Redemption 100.0000

494,161 494,161 494,161 494,161 0 0 0 0 0 494,161 0 0 0 18,123 10/07/2021 1FE

12646C-AA-6 COMISION FEDERAL DE ELECTRICID CREDIT SU C 09/01/2017 Paydown 223,956 223,956 227,470 225,550 0 (1,595) 0 (1,595) 0 223,956 0 0 0 4,807 03/25/2042 1FM

12657@-AA-7 CALITTUM HTCE I CV CALITTUM HTCE I C.V. D 07/01/2017

Redemption 100.0000

162,452 162,452 162,452 162,452 0 0 0 0 0 162,452 0 0 0 3,373 04/01/2027 2

12805P-AC-0 CAL FUNDING II LTD CAI_17-1A Series 144A C 09/25/2017 Paydown 152,501 152,501 152,464 0 0 36 0 36 0 152,501 0 0 0 955 06/25/2042 2FE

14310B-AG-6 CARLYLE GLOBAL MARKET STRATEGI 2013-1A C D 08/14/2017 Paydown 1,000,000 1,000,000 1,000,000 1,000,000 0 0 0 0 0 1,000,000 0 0 0 38,216 02/14/2025 2AM

15132H-AD-3 CENCOSUD SA 4.875% 01/20/23 C 07/17/2017 TENDER 1,385,600 1,280,000 1,224,900 1,240,720 0 3,023 0 3,023 0 1,243,743 0 141,857 141,857 60,653 01/20/2023 2FE

227170-AE-7 CRNN_13-1A CRONOS CONTAINERS PROGRAM LTD D 09/18/2017 Paydown 250,000 250,000 247,480 248,705 0 1,295 0 1,295 0 250,000 0 0 0 5,142 04/18/2028 1FE

23330N-AA-0 DP WORLD SUKUK 144A 6.250% 07/02/17 D 07/02/2017 Maturity 2,000,000 2,000,000 1,980,535 1,998,702 0 1,298 0 1,298 0 2,000,000 0 0 0 125,000 07/02/2017 2FE

29268B-AE-1 ENEL FINANCE INTERNATIONAL NV 5.125% 1 D 08/02/2017 Call 107.2860 5,364,300 5,000,000 4,715,950 4,885,964 0 478,336 0 478,336 0 5,364,300 0 0 0 209,983 10/07/2019 2FE

50183Y-AJ-8 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 0 159,475 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

99,315 99,315 99,315 99,315 0 0 0 0 0 99,315 0 0 0 3,128 11/15/2027 2FE

55818K-AJ-0 MADISON PARK FUNDING LTD MDPK_ MADISON P C 09/06/2017 Call 100.0000 8,000,000 8,000,000 8,000,000 8,000,000 0 0 0 0 0 8,000,000 0 0 0 281,700 10/23/2025 1FE

568416-BD-2 MARINE PARK CLO LTD MRNPK_12-1 3.917% C 08/18/2017 Call 100.0000 3,000,000 3,000,000 3,000,000 3,000,000 0 0 0 0 0 3,000,000 0 0 0 82,925 10/12/2023 1FE

62856R-AA-3 MYRIAD INTERNATIONAL HOLDING B 6.375% D 07/28/2017 Maturity 2,000,000 2,000,000 2,105,000 2,010,656 0 (10,656) 0 (10,656) 0 2,000,000 0 0 0 127,500 07/28/2017 2FE

65504L-AJ-6 NOBLE HOLDING INTERNATIONAL LTD 3.950% D 09/07/2017 MORGAN STANLEY 3,140,000 4,000,000 3,990,240 3,994,591 0 655 0 655 0 3,995,246 0 (855,246) (855,246) 156,244 03/15/2022 3FE

66859J-AL-5 NORTHWOODS CAPITAL LTD WOODS_ 12-9A CLO D 07/18/2017 Paydown 5,000,000 5,000,000 4,912,500 4,936,658 0 63,342 0 63,342 0 5,000,000 0 0 0 134,250 01/18/2024 1FE

67590E-AE-4 OCT15_13-1A 144A CLO 3.507% 01/19/25 D 07/19/2017 Paydown 4,250,000 4,250,000 4,248,499 4,249,260 0 740 0 740 0 4,250,000 0 0 0 111,786 01/19/2025 1FE

67590E-AG-9 OCT15_13-1A 144A CLO 4.157% 01/19/25 D 07/19/2017 Paydown 3,750,000 3,750,000 3,710,577 3,729,577 0 20,423 0 20,423 0 3,750,000 0 0 0 110,017 01/19/2025 1FE

705011-AA-2 PEARSON FUNDING FOUR PLC Series 144A 3 D 08/15/2017 TENDER 3,112,500 3,000,000 2,980,950 2,988,917 0 1,172 0 1,172 0 2,990,089 0 122,411 122,411 86,563 05/08/2022 2FE

70501V-AA-6 PEARSON FUNDING FIVE PLC Series 144A 3 D 08/15/2017 TENDER 12,325,000 12,325,000 11,756,993 11,916,949 0 35,373 0 35,373 0 11,952,322 0 372,678 372,678 308,211 05/08/2023 2FE

74982G-AP-6 RACE POINT CLO LTD RACEP_12-7A RACE POIN C 08/08/2017 Paydown 4,000,000 4,000,000 4,000,000 4,000,000 0 0 0 0 0 4,000,000 0 0 0 84,429 11/08/2024 1FE

87164K-AA-2 SYNGENTA FINANCE NV 3.125% 03/28/22 D 09/21/2017 MITSUBISHI SECURITIES 9,793,300 10,000,000 9,983,800 9,990,889 0 1,180 0 1,180 0 9,992,069 0 (198,769) (198,769) 309,896 03/28/2022 2FE

E05.9




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)87427T-A*-9 TALKTALK TELECOM GROUP PLC 4.290% 07/1 C 08/10/2017 TENDER 20,200,000 20,000,000 20,000,000 20,000,000 0 0 0 0 0 20,000,000 0 200,000 200,000 912,817 07/17/2021 3

87938W-AG-8 TELEFONICA EMISIONES SAU 6.221% 07/03/ D 07/03/2017 Maturity 10,000,000 10,000,000 9,937,400 9,995,833 0 4,167 0 4,167 0 10,000,000 0 0 0 622,100 07/03/2017 2FE

881575-AC-8 TESCO PLC Series 144A 6.150% 11/15/37 D 07/06/2017 TENDER 2,555,463 2,399,000 2,385,925 2,387,847 0 138 0 138 0 2,387,985 0 167,478 167,478 94,671 11/15/2037 3FE

88165F-AG-7 TEVA PHARMACEUTICAL FINANCE COMPANY 2. D 08/23/2017 BARCLAYS CAPITAL INC 11,483,520 12,000,000 11,976,240 11,985,001 0 1,525 0 1,525 0 11,986,526 0 (503,006) (503,006) 245,833 12/18/2022 2FE

88166J-AA-1 TEVA PHARMACEUTICAL FINANCE BV 3.650% D 08/23/2017 BARCLAYS CAPITAL INC 5,490,430 5,500,000 5,479,925 5,489,336 0 1,331 0 1,331 0 5,490,667 0 (237) (237) 160,600 11/10/2021 2FE

88167A-AE-1 TEVA PHARMACEUTICAL FINANCE NE TEVA PHAR C 08/16/2017 GOLDMAN SACHS & CO 9,139,600 10,000,000 9,970,879 10,051,817 0 1,596 0 1,596 0 9,973,466 0 (833,866) (833,866) 341,250 10/01/2026 2FE

88167A-AF-8 TEVA PHARMACEUTICAL FINANCE NE TEVA PHAR C 08/16/2017 BARCLAYS CAPITAL INC 4,176,150 5,000,000 4,958,350 4,958,876 0 791 0 791 0 4,959,667 0 (783,517) (783,517) 222,083 10/01/2046 2FE

91911T-AJ-2 VALE OVERSEAS LTD 5.625% 09/15/19 D 09/28/2017 Call 107.4899 3,762,145 3,500,000 3,713,150 3,575,371 0 186,774 0 186,774 0 3,762,145 0 0 0 196,875 09/15/2019 2FE

947075-AF-4 WEATHERFORD INTERNATIONAL LTD 9.625% 0 D 07/26/2017 BARCLAYS CAPITAL INC 10,787,500 10,000,000 9,949,500 9,984,165 0 3,848 0 3,848 0 9,988,013 0 799,487 799,487 872,934 03/01/2019 4FE

95736X-AB-4 WESTCHESTER CLO LTD 2007-1A A1B 144A C 08/01/2017 Paydown 546,154 546,154 546,154 546,154 0 0 0 0 0 546,154 0 0 0 5,671 08/01/2022 1FE

L8038*-AA-4 SBM BALEIA AZUL S.A.R.L. 5.500% 09/15/ D 09/15/2017

Redemption 100.0000

235,500 235,500 235,500 235,500 0 0 0 0 0 235,500 0 0 0 9,714 09/15/2027 3FE

Q3383#-AB-5 ECHO ENTERTAINMENT GROUP LTD 5.690% 06 D 08/17/2017 TENDER 5,000,000 5,000,000 5,000,000 5,000,000 0 0 0 0 0 5,000,000 0 0 0 191,247 06/15/2021 2FE

BGW45E-LS-1 VIKING ACQUIRECO INC 09/30/2017 Repayment 67,929 67,929 67,929 0 0 0 0 0 0 67,929 0 0 0 22,788 08/24/2023 4

BGW45J-BJ-1 DISCOVERORG LLC 09/30/2017 Repayment 73,836 73,836 73,836 0 0 0 0 0 0 73,836 0 0 0 27,426 08/24/2022 4

BGW45G-SQ-3 PATHWAY PARTNERS VET MANAGEMENT CO 09/30/2017 Repayment 4,873 4,873 4,873 0 0 0 0 0 0 4,873 0 0 0 1,334 08/25/2023 4

BGW45L-1A-6 BHI INVESTMENTS LLC 09/30/2017 Repayment 50,095 50,095 50,095 0 0 0 0 0 0 50,095 0 0 0 18,613 08/25/2023 4

BGW45L-1F-5 BHI INVESTMENTS LLC 09/30/2017 Repayment 19,782 19,782 19,782 0 0 0 0 0 0 19,782 0 0 0 535 08/19/2021 4

BGW466-H1-1 BHI INVESTMENTS LLC 09/22/2017 Repayment 116,803 116,803 116,803 0 0 0 0 0 0 116,803 0 0 0 0 08/28/2022 4

BGW45G-RL-5 PATHWAY PARTNERS VET MANAGEMENT CO 09/30/2017 Repayment 23,462 23,462 23,462 0 0 0 0 0 0 23,462 0 0 0 12,627 08/28/2024 4

BGW45Z-8H-3 EDGEWOOD PARTNERS HOLDINGS LLC 09/30/2017 Repayment 33,529 33,529 33,529 0 0 0 0 0 0 33,529 0 0 0 0 08/28/2022 4

BGW45Z-24-8 GETWELLNETWORK INC 09/30/2017 Repayment 73,886 73,886 73,886 0 0 0 0 0 0 73,886 0 0 0 0 08/28/2022 4

BGW46B-66-1 Q INTERNATIONAL COURIER LLC 09/30/2017 Repayment 24,967 24,967 24,967 0 0 0 0 0 0 24,967 0 0 0 0 08/19/2022 4

BGW46L-9W-9 BRADSHAW INTERNATIONAL INC 09/30/2017 Repayment 41,227 41,227 41,227 0 0 0 0 0 0 41,227 0 0 0 0 09/08/2024 4

36161R-AV-1 GFCM LLC 09/30/2017 Paydown 192,124 192,124 192,124 192,124 0 0 0 0 0 192,124 0 0 0 0 05/12/2035 4

3899999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) 798,084,597 776,964,497 664,115,328 641,354,514 0 9,982,962 0 9,982,962 0 776,093,063 0 21,991,533 21,991,533 22,971,985 XXX XXX 0 0

4899999. Subtotal - Bonds - Hybrid Securities 0 0 0 0 0 0 0 0 0 0 0 0 0 0 XXX XXX 0 0

5599999. Subtotal - Bonds - Parent, Subsidiaries and Affiliates 0 0 0 0 0 0 0 0 0 0 0 0 0 0 XXX XXX 0 0

8199999. Subtotal - Bonds - SVO Identified Funds 0 0 0 0 0 0 0 0 0 0 0 0 0 0 XXX XXX

8399997. Total - Bonds - Part 4 867,855,719 846,735,619 732,380,809 709,939,339 0 11,156,625 0 11,156,625 0 845,864,185 0 21,991,533 21,991,533 25,084,501 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 867,855,719 846,735,619 732,380,809 709,939,339 0 11,156,625 0 11,156,625 0 845,864,185 0 21,991,533 21,991,533 25,084,501 XXX XXX 0 0

8499999. Subtotal - Preferred Stocks - Industrial and Miscellaneous (Unaffiliated) 0 XXX 0 0 0 0 0 0 0 0 0 0 0 0 XXX XXX 0 0

8599999. Subtotal - Preferred Stocks - Parent, Subsidiaries and Affiliates 0 XXX 0 0 0 0 0 0 0 0 0 0 0 0 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 XXX 0 0

9099999. Subtotal - Common Stocks - Industrial and Miscellaneous (Unaffiliated) 0 XXX 0 0 0 0 0 0 0 0 0 0 0 0 XXX XXX 0 0

9199999. Subtotal - Common Stocks - Parent, Subsidiaries and Affiliates 0 XXX 0 0 0 0 0 0 0 0 0 0 0 0 XXX XXX 0 0

9299999. Subtotal - Common Stocks - Mutual Funds 0 XXX 0 0 0 0 0 0 0 0 0 0 0 0 XXX XXX 0 0

9399999. Subtotal - Common Stocks - Money Market Mutual Funds 0 XXX 0 0 0 0 0 0 0 0 0 0 0 0 XXX XXX

9799997. Total - Common Stocks - Part 4 0 XXX 0 0 0 0 0 0 0 0 0 0 0 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

E05.1

0




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)

9799999. Total - Common Stocks 0 XXX 0 0 0 0 0 0 0 0 0 0 0 0 XXX XXX

9899999. Total - Preferred and Common Stocks 0 XXX 0 0 0 0 0 0 0 0 0 0 0 0 XXX XXX

9999999 - Totals 867,855,719 XXX 732,380,809 709,939,339 0 11,156,625 0 11,156,625 0 845,864,185 0 21,991,533 21,991,533 25,084,501 XXX XXX

(a) For all common stock bearing the NAIC market indicator "U" provide: the number of such issues

E05.1

1


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 XXX

0149999. Subtotal - Purchased Options - Hedging Other 0 0 0 0 XXX 0 0 0 0 0 0 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 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0379999. Total Purchased Options - Put Options 0 0 0 0 XXX 0 0 0 0 0 0 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 0 0 0 0 XXX 0 0 0 0 0 0 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 XXXForward Start IRS--

I11666B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/04/2016 01/15/2032 0 15,000,000

2.49% / (3M-

LIBOR) (238,408) 283,629 100% / 100%

Forward Start IRS--

I20028B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/25/2016 05/15/2034 0 21,000,000

2.55% / (3M-

LIBOR) (361,452) 428,226 100% / 100%

Forward Start IRS--

I20031B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/25/2016 04/15/2035 0 17,500,000

2.55% / (3M-

LIBOR) (318,751) 366,568 100% / 100%

Forward Start IRS--

I20032B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/25/2016 05/15/2035 0 17,500,000

2.55% / (3M-

LIBOR) (319,944) 367,426 100% / 100%

Forward Start IRS--

I20033B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/25/2016 10/15/2035 0 18,000,000

2.55% / (3M-

LIBOR) (334,141) 382,389 100% / 100%

Forward Start IRS--

I20034B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/25/2016 11/15/2035 0 18,000,000

2.55% / (3M-

LIBOR) (334,216) 383,288 100% / 100%

Forward Start IRS--

I20045B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 10/15/2038 0 16,000,000

2.62% / (3M-

LIBOR) (198,640) 367,084 100% / 100%

Forward Start IRS--

I20047B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 04/15/2039 0 14,000,000

2.49% / (3M-

LIBOR) (294,063) 324,980 100% / 100%

Forward Start IRS--

I20048B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 05/15/2039 0 14,000,000

2.49% / (3M-

LIBOR) (292,882) 325,599 100% / 100%

Forward Start IRS--

I20049B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 10/15/2039 0 13,500,000

2.49% / (3M-

LIBOR) (276,109) 316,997 100% / 100%

Forward Start IRS--

I20050B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 11/15/2039 0 13,500,000

2.49% / (3M-

LIBOR) (274,729) 317,607 100% / 100%

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)Forward Start IRS--

I20051B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 04/15/2040 0 11,500,000

2.52% / (3M-

LIBOR) (205,972) 273,087 100% / 100%

Forward Start IRS--

I20052B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 05/15/2040 0 11,500,000

2.52% / (3M-

LIBOR) (205,022) 273,584 100% / 100%

Forward Start IRS--

I20053B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 10/15/2040 0 12,500,000

2.49% / (3M-

LIBOR) (242,285) 300,114 100% / 100%

Forward Start IRS--

I20054B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 11/15/2040 0 12,500,000

2.52% / (3M-

LIBOR) (215,979) 300,666 100% / 100%

Forward Start IRS--

I20055B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 04/15/2041 0 11,000,000

2.52% / (3M-

LIBOR) (185,434) 266,941 100% / 100%

Forward Start IRS--

I20056B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/06/2016 05/15/2041 0 11,000,000

2.53% / (3M-

LIBOR) (177,284) 267,406 100% / 100%

Forward Start IRS--

I20057B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/06/2016 10/15/2041 0 10,500,000

2.53% / (3M-

LIBOR) (164,644) 257,505 100% / 100%

Forward Start IRS--

I20058B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/22/2016 11/15/2041 0 10,500,000

2.4% / (3M-

LIBOR) (252,772) 257,959 100% / 100%

Forward Start IRS--

I20059B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 04/15/2042 0 10,000,000

2.58% / (3M-

LIBOR) (118,970) 247,771 100% / 100%

Forward Start IRS--

I20060B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 05/15/2042 0 10,000,000

2.58% / (3M-

LIBOR) (118,263) 248,185 100% / 100%

Forward Start IRS--

I20061B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/22/2016 10/15/2042 0 10,500,000

2.4% / (3M-

LIBOR) (240,623) 262,802 100% / 100%

Forward Start IRS--

I20062B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 11/15/2042 0 10,500,000

2.58% / (3M-

LIBOR) (118,732) 263,247 100% / 100%

Forward Start IRS--

I20063B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/22/2016 04/15/2043 0 11,500,000

2.4% / (3M-

LIBOR) (254,857) 290,680 100% / 100%

Forward Start IRS--

I20064B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/22/2016 05/15/2043 0 11,500,000

2.4% / (3M-

LIBOR) (253,478) 291,147 100% / 100%

Forward Start IRS--

I20065B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 10/15/2043 0 10,000,000

2.58% / (3M-

LIBOR) (101,734) 255,233 100% / 100%

Forward Start IRS--

I20067B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 05/15/2045 0 12,000,000

2.52% / (3M-

LIBOR) (143,034) 315,449 100% / 100%

Forward Start IRS--

I20068B--127 - CF FS

LTC reentry S

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 11/15/2045 0 17,000,000

2.49% / (3M-

LIBOR) (221,885) 450,942 100% / 100%

Forward Start IRS--

I30023B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/25/2016 02/15/2034 0 54,000,000

2.55% / (3M-

LIBOR) (910,905) 1,093,051 100% / 100%

Forward Start IRS--

I30024B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/25/2016 05/15/2034 0 35,000,000

2.55% / (3M-

LIBOR) (602,420) 713,710 100% / 100%

Forward Start IRS--

I30027B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/19/2016 02/13/2036 0 71,000,000

2.46% / (3M-

LIBOR) (1,799,212) 1,522,100 100% / 100%

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


I30028B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/25/2016 05/15/2036 0 62,000,000

2.55% / (3M-

LIBOR) (1,159,333) 1,338,239 100% / 100%

Forward Start IRS--

I30033B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 04/29/2016 02/15/2039 0 54,000,000

2.68% / (3M-

LIBOR) (428,122) 1,248,784 100% / 100%

Forward Start IRS--

I30034B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 04/29/2016 05/15/2039 0 50,000,000

2.68% / (3M-

LIBOR) (387,881) 1,162,853 100% / 100%

Forward Start IRS--

I30035B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 04/29/2016 02/15/2040 0 48,000,000

2.68% / (3M-

LIBOR) (342,665) 1,135,679 100% / 100%

Forward Start IRS--

I30036B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 04/29/2016 05/15/2040 0 39,500,000

2.68% / (3M-

LIBOR) (276,723) 939,701 100% / 100%

Forward Start IRS--

I30037B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/21/2016 02/18/2041 0 50,000,000

2.6% / (3M-

LIBOR) (584,564) 1,209,409 100% / 100%

Forward Start IRS--

I30038B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/21/2016 05/15/2041 0 48,000,000

2.6% / (3M-

LIBOR) (551,686) 1,166,863 100% / 100%

Forward Start IRS--

I30039B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/19/2016 02/13/2042 0 43,000,000

2.46% / (3M-

LIBOR) (854,933) 1,061,783 100% / 100%

Forward Start IRS--

I30040B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/19/2016 05/17/2042 0 41,000,000

2.46% / (3M-

LIBOR) (801,984) 1,017,672 100% / 100%

Forward Start IRS--

I30041FF--140 - CF FS

LTC 54 Reentry - Fed

Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/06/2016 02/15/2043 0 34,000,000 1.89% / (OIS) (939,343) 856,681 100% / 100%

Forward Start IRS--

I30042B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/19/2016 05/16/2043 0 92,500,000

2.46% / (3M-

LIBOR) (1,688,902) 2,341,963 100% / 100%

Forward Start IRS--

I30043FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 02/15/2044 0 37,000,000 2.16% / (OIS) (309,321) 950,449 100% / 100%

Forward Start IRS--

I30048FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate GSI 05/03/2016 11/15/2027 0 23,000,000 1.59% / (OIS) (810,848) 366,045 100% / 100%

Forward Start IRS--

I30062B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/25/2016 11/15/2032 0 40,000,000

2.55% / (3M-

LIBOR) (561,181) 778,126 100% / 100%

Forward Start IRS--

I30066FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/03/2016 03/15/2034 0 33,000,000 2.18% / (OIS) (415,696) 669,537 100% / 100%

Forward Start IRS--

I30067FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/03/2016 08/15/2034 0 46,000,000 2.18% / (OIS) (606,368) 945,099 100% / 100%

Forward Start IRS--

I30069B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/20/2016 03/14/2035 0 18,000,000

2.43% / (3M-

LIBOR) (492,231) 376,099 100% / 100%

Forward Start IRS--

I30070B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/21/2016 08/15/2035 0 47,000,000

2.6% / (3M-

LIBOR) (689,960) 993,829 100% / 100%

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


I30074B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/21/2016 11/16/2036 0 65,000,000

2.6% / (3M-

LIBOR) (976,033) 1,421,943 100% / 100%

Forward Start IRS--

I30075FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/06/2016 03/15/2037 0 42,000,000 1.89% / (OIS) (1,489,128) 926,585 100% / 100%

Forward Start IRS--

I30076B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/21/2016 08/16/2037 0 73,000,000

2.6% / (3M-

LIBOR) (1,086,456) 1,627,851 100% / 100%

Forward Start IRS--

I30078B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/21/2016 08/15/2038 0 60,000,000

2.6% / (3M-

LIBOR) (839,161) 1,371,091 100% / 100%

Forward Start IRS--

I30079B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 11/15/2038 0 27,000,000

2.64% / (3M-

LIBOR) (295,132) 620,702 100% / 100%

Forward Start IRS--

I30080B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 04/29/2016 08/15/2039 0 46,000,000

2.68% / (3M-

LIBOR) (347,829) 1,076,038 100% / 100%

Forward Start IRS--

I30081B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 04/29/2016 11/15/2039 0 50,000,000

2.68% / (3M-

LIBOR) (367,215) 1,176,322 100% / 100%

Forward Start IRS--

I30082B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 08/15/2040 0 26,000,000

2.57% / (3M-

LIBOR) (369,150) 621,971 100% / 100%

Forward Start IRS--

I30083B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 11/15/2040 0 13,000,000

2.49% / (3M-

LIBOR) (250,685) 312,693 100% / 100%

Forward Start IRS--

I30084B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 04/29/2016 08/15/2041 0 53,000,000

2.68% / (3M-

LIBOR) (318,594) 1,295,262 100% / 100%

Forward Start IRS--

I30085B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 04/29/2016 11/14/2041 0 56,000,000

2.68% / (3M-

LIBOR) (324,843) 1,375,701 100% / 100%

Forward Start IRS--

I30086B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/20/2016 08/16/2042 0 38,000,000

2.43% / (3M-

LIBOR) (805,954) 947,968 100% / 100%

Forward Start IRS--

I30087B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/19/2016 11/15/2042 0 66,000,000

2.46% / (3M-

LIBOR) (1,251,146) 1,654,695 100% / 100%

Forward Start IRS--

I30088B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/20/2016 08/15/2043 0 29,000,000

2.43% / (3M-

LIBOR) (573,707) 737,798 100% / 100%

Forward Start IRS--

I30089B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/19/2016 11/15/2043 0 40,000,000

2.46% / (3M-

LIBOR) (701,385) 1,022,594 100% / 100%

Forward Start IRS--

I30090FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 08/15/2044 0 10,000,000 2.16% / (OIS) (74,670) 259,293 100% / 100%

Forward Start IRS--

I30092B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 08/15/2045 0 13,000,000

2.52% / (3M-

LIBOR) (150,797) 343,291 100% / 100%

Forward Start IRS--

I30093B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 11/15/2045 0 32,000,000

2.57% / (3M-

LIBOR) (265,535) 848,833 100% / 100%

Forward Start IRS--

I30102B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 02/15/2040 0 35,000,000

2.57% / (3M-

LIBOR) (511,820) 828,099 100% / 100%

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


I30103B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 04/29/2016 10/15/2041 0 55,000,000

2.68% / (3M-

LIBOR) (322,898) 1,348,833 100% / 100%

Forward Start IRS--

I30104B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/20/2016 07/15/2043 0 24,000,000

2.43% / (3M-

LIBOR) (477,756) 609,589 100% / 100%

Forward Start IRS--

I30105B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/06/2016 12/14/2045 0 9,000,000

2.53% / (3M-

LIBOR) (95,229) 239,071 100% / 100%

Forward Start IRS--

I30111B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 04/15/2035 0 19,000,000

2.65% / (3M-

LIBOR) (200,841) 397,989 100% / 100%

Forward Start IRS--

I30113FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/06/2016 10/16/2038 0 38,000,000 1.89% / (OIS) (1,268,026) 871,881 100% / 100%

Forward Start IRS--

I30114B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 04/15/2040 0 12,000,000

2.52% / (3M-

LIBOR) (214,928) 284,960 100% / 100%

Forward Start IRS--

I30115B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/19/2016 12/15/2041 0 62,000,000

2.46% / (3M-

LIBOR) (1,244,391) 1,525,775 100% / 100%

Forward Start IRS--

I30116B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/19/2016 10/14/2043 0 58,000,000

2.46% / (3M-

LIBOR) (1,024,461) 1,480,273 100% / 100%

Forward Start IRS--

I30118FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate GSI 05/03/2016 07/16/2028 0 37,000,000 1.59% / (OIS) (1,527,699) 607,972 100% / 100%

Forward Start IRS--

I30119B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/25/2016 02/14/2030 0 37,000,000

2.55% / (3M-

LIBOR) (25,900) 651,020 100% / 100%

Forward Start IRS--

I30120B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/25/2016 10/15/2031 0 38,000,000

2.55% / (3M-

LIBOR) (378,921) 712,166 100% / 100%

Forward Start IRS--

I30122B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/25/2016 07/15/2035 0 62,000,000

2.55% / (3M-

LIBOR) (1,141,296) 1,307,891 100% / 100%

Forward Start IRS--

I30123FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/06/2016 04/15/2037 0 35,000,000 1.89% / (OIS) (1,240,452) 773,837 100% / 100%

Forward Start IRS--

I30125B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 07/15/2040 0 23,000,000

2.57% / (3M-

LIBOR) (328,476) 549,183 100% / 100%

Forward Start IRS--

I30126B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/20/2016 02/13/2042 0 23,000,000

2.43% / (3M-

LIBOR) (502,062) 567,931 100% / 100%

Forward Start IRS--

I30127B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/19/2016 12/15/2043 0 70,000,000

2.46% / (3M-

LIBOR) (1,219,656) 1,792,351 100% / 100%

Forward Start IRS--

I30135FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate GSI 05/03/2016 10/15/2028 0 13,000,000 1.59% / (OIS) (560,011) 216,063 100% / 100%

Forward Start IRS--

I30136B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/25/2016 04/15/2029 0 16,000,000

2.55% / (3M-

LIBOR) 85,674 271,858 100% / 100%

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


I30149FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate GSI 05/03/2016 01/15/2029 0 12,000,000 1.59% / (OIS) (535,946) 201,705 100% / 100%

Forward Start IRS--

I30163FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate GSI 05/03/2016 02/15/2029 0 13,000,000 1.59% / (OIS) (587,516) 219,333 100% / 100%

Forward Start IRS--

I30167B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/20/2016 06/14/2034 0 22,000,000

2.43% / (3M-

LIBOR) (587,257) 449,725 100% / 100%

Forward Start IRS--

I30168B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/20/2016 06/16/2035 0 25,000,000

2.43% / (3M-

LIBOR) (686,936) 526,197 100% / 100%

Forward Start IRS--

I30169B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/21/2016 03/15/2038 0 65,000,000

2.6% / (3M-

LIBOR) (934,544) 1,470,369 100% / 100%

Forward Start IRS--

I30173FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate GSI 05/03/2016 06/15/2028 0 23,000,000 1.59% / (OIS) (934,206) 376,440 100% / 100%

Forward Start IRS--

I30177FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/03/2016 04/15/2034 0 5,000,000 2.18% / (OIS) (63,549) 101,706 100% / 100%

Forward Start IRS--

I30178B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/21/2016 01/15/2035 0 40,000,000

2.6% / (3M-

LIBOR) (566,774) 831,964 100% / 100%

Forward Start IRS--

I30179FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/06/2016 06/15/2036 0 40,000,000 1.89% / (OIS) (1,430,143) 865,345 100% / 100%

Forward Start IRS--

I30180FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/06/2016 04/14/2038 0 38,000,000 1.89% / (OIS) (1,304,513) 861,324 100% / 100%

Forward Start IRS--

I30224FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate GSI 05/03/2016 10/16/2027 0 8,000,000 1.59% / (OIS) (274,753) 126,803 100% / 100%

Forward Start IRS--

I30227FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate GSI 05/03/2016 03/16/2030 0 5,000,000 1.59% / (OIS) (252,214) 88,267 100% / 100%

Forward Start IRS--

I30228FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate GSI 05/03/2016 06/15/2030 0 10,000,000 1.59% / (OIS) (513,803) 178,291 100% / 100%

Forward Start IRS--

I30233FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/06/2016 01/14/2032 0 15,000,000 1.89% / (OIS) (480,277) 283,601 100% / 100%

Forward Start IRS--

I30234FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/06/2016 04/14/2032 0 13,000,000 1.89% / (OIS) (425,612) 247,922 100% / 100%

Forward Start IRS--

I30236FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/06/2016 12/15/2032 0 11,000,000 1.89% / (OIS) (376,843) 214,565 100% / 100%

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


I30237FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/06/2016 06/15/2033 0 14,000,000 1.89% / (OIS) (488,726) 277,520 100% / 100%

Forward Start IRS--

I30238B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/19/2016 01/16/2034 0 47,000,000

2.46% / (3M-

LIBOR) (1,119,894) 948,971 100% / 100%

Forward Start IRS--

I30239B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/20/2016 04/15/2034 0 12,000,000

2.43% / (3M-

LIBOR) (317,658) 244,095 100% / 100%

Forward Start IRS--

I30240B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/20/2016 07/15/2034 0 26,000,000

2.43% / (3M-

LIBOR) (697,175) 532,841 100% / 100%

Forward Start IRS--

I30241B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/22/2016 10/15/2034 0 8,000,000

2.4% / (3M-

LIBOR) (235,467) 165,177 100% / 100%

Forward Start IRS--

I30242B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 01/15/2035 0 5,000,000

2.58% / (3M-

LIBOR) (78,537) 103,996 100% / 100%

Forward Start IRS--

I30243B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 04/15/2035 0 4,000,000

2.58% / (3M-

LIBOR) (63,685) 83,787 100% / 100%

Forward Start IRS--

I30244B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 12/15/2035 0 13,000,000

2.62% / (3M-

LIBOR) (173,149) 277,446 100% / 100%

Forward Start IRS--

I30245B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 01/15/2036 0 11,000,000

2.58% / (3M-

LIBOR) (179,695) 235,308 100% / 100%

Forward Start IRS--

I30246B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/21/2016 04/15/2036 0 33,000,000

2.6% / (3M-

LIBOR) (493,406) 710,716 100% / 100%

Forward Start IRS--

I30247B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 09/15/2036 0 16,000,000

2.62% / (3M-

LIBOR) (216,810) 348,460 100% / 100%

Forward Start IRS--

I30248B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 01/15/2037 0 28,000,000

2.64% / (3M-

LIBOR) (337,415) 615,154 100% / 100%

Forward Start IRS--

I30249B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/21/2016 06/15/2037 0 45,000,000

2.6% / (3M-

LIBOR) (671,003) 999,176 100% / 100%

Forward Start IRS--

I30250B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 09/15/2037 0 8,000,000

2.58% / (3M-

LIBOR) (130,329) 178,763 100% / 100%

Forward Start IRS--

I30251B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/21/2016 12/15/2037 0 35,000,000

2.6% / (3M-

LIBOR) (513,034) 786,954 100% / 100%

Forward Start IRS--

I30385FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate GSI 05/03/2016 01/15/2030 0 11,000,000 1.59% / (OIS) (548,407) 192,903 100% / 100%

Forward Start IRS--

I30388FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate GSI 05/03/2016 07/15/2030 0 7,000,000 1.59% / (OIS) (361,855) 125,206 100% / 100%

Forward Start IRS--

I30415FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/06/2016 02/15/2033 0 14,000,000 1.89% / (OIS) (482,647) 274,602 100% / 100%

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


I30416FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/06/2016 04/14/2033 0 18,000,000 1.89% / (OIS) (624,397) 354,878 100% / 100%

Forward Start IRS--

I30421B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 12/15/2033 0 11,000,000

2.52% / (3M-

LIBOR) (208,714) 221,502 100% / 100%

Forward Start IRS--

I30422B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/20/2016 02/15/2034 0 12,000,000

2.43% / (3M-

LIBOR) (315,615) 242,900 100% / 100%

Forward Start IRS--

I30423B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 03/15/2034 0 6,000,000

2.58% / (3M-

LIBOR) (87,567) 121,734 100% / 100%

Forward Start IRS--

I30424B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 04/15/2034 0 20,000,000

2.57% / (3M-

LIBOR) (310,200) 406,825 100% / 100%

Forward Start IRS--

I30431B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/06/2016 11/15/2034 0 8,000,000

2.53% / (3M-

LIBOR) (155,450) 165,587 100% / 100%

Forward Start IRS--

I30433B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/20/2016 02/14/2035 0 15,000,000

2.43% / (3M-

LIBOR) (409,286) 312,727 100% / 100%

Forward Start IRS--

I30435B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/04/2016 04/15/2035 0 16,000,000

2.49% / (3M-

LIBOR) (364,810) 335,148 100% / 100%

Forward Start IRS--

I30437B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/20/2016 06/16/2035 0 14,000,000

2.43% / (3M-

LIBOR) (384,684) 294,670 100% / 100%

Forward Start IRS--

I30440B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 12/15/2035 0 18,000,000

2.62% / (3M-

LIBOR) (239,744) 384,155 100% / 100%

Forward Start IRS--

I30442B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 02/13/2036 0 12,000,000

2.49% / (3M-

LIBOR) (277,119) 257,256 100% / 100%

Forward Start IRS--

I30444B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 04/15/2036 0 6,000,000

2.58% / (3M-

LIBOR) (98,665) 129,221 100% / 100%

Forward Start IRS--

I30445B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 05/15/2036 0 5,000,000

2.58% / (3M-

LIBOR) (82,324) 107,922 100% / 100%

Forward Start IRS--

I30449B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/04/2016 09/15/2036 0 16,000,000

2.49% / (3M-

LIBOR) (370,467) 348,460 100% / 100%

Forward Start IRS--

I30451B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 01/15/2037 0 10,000,000

2.58% / (3M-

LIBOR) (164,474) 219,698 100% / 100%

Forward Start IRS--

I30462B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 04/29/2016 01/16/2039 0 37,000,000

2.68% / (3M-

LIBOR) (295,740) 854,003 100% / 100%

Forward Start IRS--

I30463B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 02/15/2039 0 12,000,000

2.58% / (3M-

LIBOR) (178,766) 277,508 100% / 100%

Forward Start IRS--

I30464B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/21/2016 03/15/2039 0 37,000,000

2.6% / (3M-

LIBOR) (497,739) 857,181 100% / 100%

Forward Start IRS--

I30465B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 04/16/2039 0 31,000,000

2.57% / (3M-

LIBOR) (478,923) 719,644 100% / 100%

Forward Start IRS--

I30467B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 06/15/2039 0 31,000,000

2.64% / (3M-

LIBOR) (323,963) 722,382 100% / 100%

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


I30468B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/04/2016 07/16/2039 0 18,000,000

2.49% / (3M-

LIBOR) (373,224) 420,267 100% / 100%

Forward Start IRS--

I30471B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 10/15/2039 0 18,000,000

2.62% / (3M-

LIBOR) (207,647) 422,663 100% / 100%

Forward Start IRS--

I30474B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 01/15/2040 0 25,000,000

2.57% / (3M-

LIBOR) (367,702) 590,377 100% / 100%

Forward Start IRS--

I30476B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 03/15/2040 0 25,000,000

2.65% / (3M-

LIBOR) (229,465) 592,548 100% / 100%

Forward Start IRS--

I30477B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 04/15/2040 0 20,000,000

2.62% / (3M-

LIBOR) (222,664) 474,933 100% / 100%

Forward Start IRS--

I30478B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/06/2016 05/15/2040 0 7,000,000

2.53% / (3M-

LIBOR) (120,061) 166,529 100% / 100%

Forward Start IRS--

I30479B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 06/14/2040 0 28,000,000

2.64% / (3M-

LIBOR) (269,737) 667,325 100% / 100%

Forward Start IRS--

I30480B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 07/15/2040 0 9,000,000

2.58% / (3M-

LIBOR) (122,471) 214,898 100% / 100%

Forward Start IRS--

I30481B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/06/2016 08/15/2040 0 6,000,000

2.53% / (3M-

LIBOR) (101,325) 143,532 100% / 100%

Forward Start IRS--

I30482B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 09/16/2040 0 15,000,000

2.62% / (3M-

LIBOR) (161,134) 359,516 100% / 100%

Forward Start IRS--

I30484B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 11/15/2040 0 20,000,000

2.62% / (3M-

LIBOR) (211,891) 481,066 100% / 100%

Forward Start IRS--

I30485B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 12/16/2040 0 28,000,000

2.57% / (3M-

LIBOR) (388,067) 674,727 100% / 100%

Forward Start IRS--

I30486B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 01/15/2041 0 18,000,000

2.62% / (3M-

LIBOR) (188,015) 434,520 100% / 100%

Forward Start IRS--

I30487B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 02/14/2041 0 13,000,000

2.58% / (3M-

LIBOR) (169,389) 314,373 100% / 100%

Forward Start IRS--

I30489B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 04/15/2041 0 16,000,000

2.49% / (3M-

LIBOR) (301,488) 388,278 100% / 100%

Forward Start IRS--

I30491FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 06/16/2041 0 16,000,000 2.16% / (OIS) (189,424) 389,675 100% / 100%

Forward Start IRS--

I30493B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 09/15/2041 0 16,000,000

2.49% / (3M-

LIBOR) (294,074) 391,717 100% / 100%

Forward Start IRS--

I30494B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/20/2016 01/15/2042 0 28,000,000

2.43% / (3M-

LIBOR) (613,785) 690,267 100% / 100%

Forward Start IRS--

I30496FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 03/15/2042 0 28,000,000 2.16% / (OIS) (318,056) 692,558 100% / 100%

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


I30497B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 04/15/2042 0 32,000,000

2.57% / (3M-

LIBOR) (401,383) 792,867 100% / 100%

Forward Start IRS--

I30498B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/22/2016 05/14/2042 0 15,000,000

2.4% / (3M-

LIBOR) (351,592) 372,257 100% / 100%

Forward Start IRS--

I30500FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 07/15/2042 0 14,000,000 2.16% / (OIS) (156,275) 348,636 100% / 100%

Forward Start IRS--

I30501B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 09/15/2042 0 14,000,000

2.49% / (3M-

LIBOR) (241,660) 349,827 100% / 100%

Forward Start IRS--

I30502B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 10/15/2042 0 8,000,000

2.58% / (3M-

LIBOR) (91,363) 200,230 100% / 100%

Forward Start IRS--

I30503FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 12/15/2042 0 8,000,000 2.16% / (OIS) (85,042) 200,897 100% / 100%

Forward Start IRS--

I30504B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 01/14/2043 0 32,000,000

2.57% / (3M-

LIBOR) (375,525) 804,895 100% / 100%

Forward Start IRS--

I30506B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/20/2016 03/15/2043 0 32,000,000

2.43% / (3M-

LIBOR) (652,741) 807,505 100% / 100%

Forward Start IRS--

I30513FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 01/17/2044 0 32,000,000 2.16% / (OIS) (272,387) 820,771 100% / 100%

Forward Start IRS--

I30514B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 02/15/2044 0 16,000,000

2.49% / (3M-

LIBOR) (245,191) 411,005 100% / 100%

Forward Start IRS--

I30515B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 03/15/2044 0 32,000,000

2.57% / (3M-

LIBOR) (330,705) 823,246 100% / 100%

Forward Start IRS--

I30516FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 04/14/2044 0 25,000,000 2.16% / (OIS) (202,442) 644,158 100% / 100%

Forward Start IRS--

I30517B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/06/2016 05/15/2044 0 10,000,000

2.53% / (3M-

LIBOR) (125,896) 258,075 100% / 100%

Forward Start IRS--

I30518B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 06/15/2044 0 25,000,000

2.57% / (3M-

LIBOR) (250,452) 646,215 100% / 100%

Forward Start IRS--

I30519FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 07/14/2044 0 21,000,000 2.16% / (OIS) (160,286) 543,627 100% / 100%

Forward Start IRS--

I30520B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 09/15/2044 0 21,000,000

2.57% / (3M-

LIBOR) (203,721) 545,375 100% / 100%

Forward Start IRS--

I30521FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 10/16/2044 0 15,000,000 2.16% / (OIS) (107,133) 390,166 100% / 100%

Forward Start IRS--

I30522B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 03/15/2045 0 14,000,000

2.49% / (3M-

LIBOR) (195,207) 366,909 100% / 100%

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


I30524FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 01/16/2045 0 14,000,000 2.16% / (OIS) (93,368) 365,847 100% / 100%

Forward Start IRS--

I30525B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 02/15/2045 0 14,000,000

2.49% / (3M-

LIBOR) (196,399) 366,397 100% / 100%

Forward Start IRS--

I30526FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 04/16/2045 0 25,000,000 2.16% / (OIS) (155,591) 656,240 100% / 100%

Forward Start IRS--

I30527B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 05/15/2045 0 25,000,000

2.57% / (3M-

LIBOR) (222,840) 657,185 100% / 100%

Forward Start IRS--

I30528B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 06/15/2045 0 25,000,000

2.57% / (3M-

LIBOR) (220,160) 658,194 100% / 100%

Forward Start IRS--

I30529FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 07/16/2045 0 22,000,000 2.16% / (OIS) (126,960) 580,097 100% / 100%

Forward Start IRS--

I30530B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/06/2016 08/15/2045 0 11,000,000

2.53% / (3M-

LIBOR) (121,023) 290,477 100% / 100%

Forward Start IRS--

I30532B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/06/2016 10/15/2045 0 9,000,000

2.53% / (3M-

LIBOR) (97,074) 238,374 100% / 100%

Forward Start IRS--

I30533FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 12/14/2045 0 9,000,000 2.16% / (OIS) (45,115) 239,071 100% / 100%

Forward Start IRS--

I30534B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 01/15/2046 0 23,000,000

2.57% / (3M-

LIBOR) (186,297) 611,907 100% / 100%

Forward Start IRS--

I30535B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 02/15/2046 0 23,000,000

2.57% / (3M-

LIBOR) (183,989) 612,824 100% / 100%

Forward Start IRS--

I30536FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 04/15/2046 0 27,000,000 2.16% / (OIS) (118,150) 721,447 100% / 100%

Forward Start IRS--

I30537B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 05/15/2046 0 27,000,000

2.57% / (3M-

LIBOR) (207,295) 722,485 100% / 100%

Forward Start IRS--

I30539B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/04/2016 07/15/2046 0 22,000,000

2.49% / (3M-

LIBOR) (267,596) 590,406 100% / 100%

Forward Start IRS--

I30540FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 08/15/2046 0 22,000,000 2.16% / (OIS) (83,323) 591,276 100% / 100%

Forward Start IRS--

I30542B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/04/2016 10/15/2046 0 21,000,000

2.49% / (3M-

LIBOR) (248,536) 566,030 100% / 100%

Forward Start IRS--

I30543B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/04/2016 11/14/2046 0 21,000,000

2.49% / (3M-

LIBOR) (246,249) 566,830 100% / 100%

Forward Start IRS--

I30544FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 12/15/2046 0 21,000,000 2.16% / (OIS) (67,076) 567,655 100% / 100%

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


I30609FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate GSI 05/03/2016 11/15/2027 0 35,000,000 1.59% / (OIS) (1,233,899) 557,025 100% / 100%

Forward Start IRS--

I30645FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/03/2016 11/15/2031 0 25,000,000 2.18% / (OIS) (180,785) 469,944 100% / 100%

Forward Start IRS--

I30719FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/03/2016 06/15/2033 0 2,700,000 2.18% / (OIS) (30,945) 53,522 100% / 100%

Forward Start IRS--

I30720FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/03/2016 12/15/2033 0 2,700,000 2.18% / (OIS) (33,186) 54,369 100% / 100%

Forward Start IRS--

I30721FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/03/2016 06/14/2034 0 2,300,000 2.18% / (OIS) (29,762) 47,017 100% / 100%

Forward Start IRS--

I30722B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 12/16/2034 0 2,500,000

2.58% / (3M-

LIBOR) (39,118) 51,874 100% / 100%

Forward Start IRS--

I30723B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 12/15/2035 0 4,300,000

2.58% / (3M-

LIBOR) (70,210) 91,770 100% / 100%

Forward Start IRS--

I30725B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 12/15/2041 0 3,200,000

2.58% / (3M-

LIBOR) (39,213) 78,750 100% / 100%

Forward Start IRS--

I40094B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/25/2016 01/15/2029 0 17,000,000

2.55% / (3M-

LIBOR) 126,278 285,749 100% / 100%

Forward Start IRS--

I40096FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate GSI 05/03/2016 04/15/2029 0 14,000,000 1.59% / (OIS) (646,630) 237,876 100% / 100%

Forward Start IRS--

I40109FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/03/2016 04/15/2031 0 8,000,000 2.18% / (OIS) (37,969) 147,230 100% / 100%

Forward Start IRS--

I40111FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/03/2016 06/15/2031 0 7,000,000 2.18% / (OIS) (38,514) 129,619 100% / 100%

Forward Start IRS--

I40127B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/25/2016 05/15/2033 0 40,000,000

2.55% / (3M-

LIBOR) (612,842) 790,769 100% / 100%

Forward Start IRS--

I40131B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/20/2016 02/15/2034 0 18,000,000

2.43% / (3M-

LIBOR) (473,423) 364,350 100% / 100%

Forward Start IRS--

I40134FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/06/2016 09/16/2034 0 20,000,000 1.89% / (OIS) (720,876) 411,978 100% / 100%

Forward Start IRS--

I40135FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/06/2016 10/15/2034 0 31,000,000 1.89% / (OIS) (1,118,901) 640,059 100% / 100%

Forward Start IRS--

I40136B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/20/2016 02/14/2035 0 20,000,000

2.43% / (3M-

LIBOR) (545,714) 416,969 100% / 100%

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


I40137B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/20/2016 03/14/2035 0 18,000,000

2.43% / (3M-

LIBOR) (492,231) 376,099 100% / 100%

Forward Start IRS--

I40139B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 09/15/2035 0 10,000,000

2.58% / (3M-

LIBOR) (162,467) 211,954 100% / 100%

Forward Start IRS--

I40140B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/25/2016 10/15/2035 0 30,000,000

2.55% / (3M-

LIBOR) (556,902) 637,316 100% / 100%

Forward Start IRS--

I40143FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/06/2016 03/16/2036 0 39,000,000 1.89% / (OIS) (1,402,783) 838,074 100% / 100%

Forward Start IRS--

I40146B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/25/2016 10/15/2036 0 12,000,000

2.55% / (3M-

LIBOR) (224,715) 261,911 100% / 100%

Forward Start IRS--

I60001B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 01/15/2039 0 21,000,000

2.65% / (3M-

LIBOR) (211,897) 484,673 100% / 100%

Forward Start IRS--

I60002B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 01/15/2039 0 27,500,000

2.64% / (3M-

LIBOR) (296,688) 634,691 100% / 100%

Forward Start IRS--

I60003B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 01/15/2039 0 27,000,000

2.64% / (3M-

LIBOR) (291,293) 623,151 100% / 100%

Forward Start IRS--

I60004B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 02/15/2039 0 26,500,000

2.64% / (3M-

LIBOR) (283,968) 612,829 100% / 100%

Forward Start IRS--

I60005B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 02/15/2039 0 20,000,000

2.62% / (3M-

LIBOR) (242,192) 462,513 100% / 100%

Forward Start IRS--

I60006B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 03/15/2039 0 21,000,000

2.62% / (3M-

LIBOR) (253,288) 486,508 100% / 100%

Forward Start IRS--

I60007B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/21/2016 03/15/2039 0 35,500,000

2.6% / (3M-

LIBOR) (477,561) 822,430 100% / 100%

Forward Start IRS--

I60008B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 03/15/2039 0 19,000,000

2.62% / (3M-

LIBOR) (229,165) 440,174 100% / 100%

Forward Start IRS--

I60009B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 04/15/2039 0 20,000,000

2.62% / (3M-

LIBOR) (239,610) 464,257 100% / 100%

Forward Start IRS--

I60010B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 04/15/2039 0 21,500,000

2.65% / (3M-

LIBOR) (212,808) 499,076 100% / 100%

Forward Start IRS--

I60012B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 06/15/2039 0 25,500,000

2.65% / (3M-

LIBOR) (248,856) 594,218 100% / 100%

Forward Start IRS--

I60013B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 06/15/2039 0 30,000,000

2.64% / (3M-

LIBOR) (313,513) 699,080 100% / 100%

Forward Start IRS--

I60014B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 07/15/2039 0 30,000,000

2.64% / (3M-

LIBOR) (311,616) 700,401 100% / 100%

Forward Start IRS--

I60015B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 08/15/2039 0 29,000,000

2.64% / (3M-

LIBOR) (299,161) 678,372 100% / 100%

Forward Start IRS--

I60016B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 09/15/2039 0 27,000,000

2.64% / (3M-

LIBOR) (276,157) 632,812 100% / 100%

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


I60017B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 09/15/2039 0 30,000,000

2.64% / (3M-

LIBOR) (306,840) 703,124 100% / 100%

Forward Start IRS--

I60018B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 10/15/2039 0 19,000,000

2.62% / (3M-

LIBOR) (219,183) 446,144 100% / 100%

Forward Start IRS--

I60019B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 10/15/2039 0 17,500,000

2.62% / (3M-

LIBOR) (201,879) 410,922 100% / 100%

Forward Start IRS--

I60020B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/21/2016 12/15/2039 0 35,000,000

2.6% / (3M-

LIBOR) (446,191) 824,952 100% / 100%

Forward Start IRS--

I60021B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 12/15/2039 0 33,000,000

2.64% / (3M-

LIBOR) (330,517) 777,812 100% / 100%

Forward Start IRS--

I60022B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/21/2016 01/15/2040 0 35,000,000

2.6% / (3M-

LIBOR) (443,194) 826,527 100% / 100%

Forward Start IRS--

I60023B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/25/2016 01/15/2040 0 34,000,000

2.55% / (3M-

LIBOR) (546,436) 802,912 100% / 100%

Forward Start IRS--

I60024B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/21/2016 01/15/2040 0 36,000,000

2.6% / (3M-

LIBOR) (455,856) 850,142 100% / 100%

Forward Start IRS--

I60025B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 01/15/2040 0 32,500,000

2.64% / (3M-

LIBOR) (322,904) 767,490 100% / 100%

Forward Start IRS--

I60026B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/21/2016 02/15/2040 0 40,000,000

2.6% / (3M-

LIBOR) (503,287) 946,399 100% / 100%

Forward Start IRS--

I60027B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/21/2016 02/15/2040 0 39,500,000

2.6% / (3M-

LIBOR) (496,996) 934,569 100% / 100%

Forward Start IRS--

I60032B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 07/15/2039 0 27,000,000

2.64% / (3M-

LIBOR) (280,455) 630,361 100% / 100%

Forward Start IRS--

I60038B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 06/15/2040 0 27,000,000

2.64% / (3M-

LIBOR) (260,039) 643,531 100% / 100%

Forward Start IRS--

I60039B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 06/15/2040 0 28,000,000

2.64% / (3M-

LIBOR) (269,670) 667,365 100% / 100%

Forward Start IRS--

I60040B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/25/2016 07/15/2040 0 33,500,000

2.55% / (3M-

LIBOR) (523,570) 799,898 100% / 100%

Forward Start IRS--

I60041B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/25/2016 08/15/2040 0 33,500,000

2.55% / (3M-

LIBOR) (520,682) 801,386 100% / 100%

Forward Start IRS--

I60042B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 09/15/2040 0 23,500,000

2.65% / (3M-

LIBOR) (205,198) 563,208 100% / 100%

Forward Start IRS--

I60043B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 09/15/2040 0 27,000,000

2.64% / (3M-

LIBOR) (253,878) 647,090 100% / 100%

Forward Start IRS--

I60044B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 10/15/2040 0 22,000,000

2.65% / (3M-

LIBOR) (190,685) 528,201 100% / 100%

Forward Start IRS--

I60045B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 10/15/2040 0 24,500,000

2.65% / (3M-

LIBOR) (212,353) 588,224 100% / 100%

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


I60046B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 11/15/2040 0 13,500,000

2.62% / (3M-

LIBOR) (143,027) 324,720 100% / 100%

Forward Start IRS--

I60047B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 12/15/2040 0 31,000,000

2.64% / (3M-

LIBOR) (284,986) 746,976 100% / 100%

Forward Start IRS--

I60048B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 01/15/2041 0 26,000,000

2.65% / (3M-

LIBOR) (219,651) 627,640 100% / 100%

Forward Start IRS--

I60049B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 01/15/2041 0 27,000,000

2.65% / (3M-

LIBOR) (228,099) 651,780 100% / 100%

Forward Start IRS--

I60050B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/21/2016 03/15/2041 0 35,000,000

2.6% / (3M-

LIBOR) (407,642) 847,825 100% / 100%

Forward Start IRS--

I60051B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/21/2016 03/15/2041 0 36,000,000

2.6% / (3M-

LIBOR) (419,289) 872,048 100% / 100%

Forward Start IRS--

I60052B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/26/2016 04/15/2041 0 30,500,000

2.64% / (3M-

LIBOR) (271,945) 740,154 100% / 100%

Forward Start IRS--

I60053FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 06/15/2041 0 41,500,000 2.16% / (OIS) (491,400) 1,010,661 100% / 100%

Forward Start IRS--

I60054FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 07/15/2041 0 35,000,000 2.16% / (OIS) (412,896) 853,840 100% / 100%

Forward Start IRS--

I60055FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 07/15/2041 0 33,000,000 2.16% / (OIS) (389,302) 805,049 100% / 100%

Forward Start IRS--

I60056FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 08/15/2041 0 15,000,000 2.16% / (OIS) (176,209) 366,584 100% / 100%

Forward Start IRS--

I60057FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 09/15/2041 0 24,000,000 2.16% / (OIS) (280,410) 587,575 100% / 100%

Forward Start IRS--

I60058FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 09/15/2041 0 28,000,000 2.16% / (OIS) (327,144) 685,505 100% / 100%

Forward Start IRS--

I60080FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/03/2016 09/15/2039 0 45,000,000 2.18% / (OIS) (517,478) 1,054,686 100% / 100%

Forward Start IRS--

I60081FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/03/2016 12/15/2039 0 45,000,000 2.18% / (OIS) (509,560) 1,060,653 100% / 100%

Forward Start IRS--

I60082FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/03/2016 02/15/2040 0 41,000,000 2.18% / (OIS) (460,128) 970,059 100% / 100%

Forward Start IRS--

I60083FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/03/2016 03/15/2040 0 40,000,000 2.18% / (OIS) (449,306) 948,077 100% / 100%

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


I60084FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/03/2016 04/15/2040 0 39,000,000 2.18% / (OIS) (435,978) 926,120 100% / 100%

Forward Start IRS--

I60085FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/03/2016 05/15/2040 0 41,000,000 2.18% / (OIS) (456,612) 975,386 100% / 100%

Forward Start IRS--

I60086FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/03/2016 06/15/2040 0 40,000,000 2.18% / (OIS) (443,393) 953,379 100% / 100%

Forward Start IRS--

I60087FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/03/2016 07/15/2040 0 39,000,000 2.18% / (OIS) (430,691) 931,224 100% / 100%

Forward Start IRS--

I60088FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/03/2016 09/15/2040 0 40,000,000 2.18% / (OIS) (437,340) 958,652 100% / 100%

Forward Start IRS--

I60089FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/03/2016 12/15/2040 0 37,000,000 2.18% / (OIS) (399,527) 891,551 100% / 100%

Forward Start IRS--

I60090FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/03/2016 03/15/2041 0 51,000,000 2.18% / (OIS) (544,126) 1,235,402 100% / 100%

Forward Start IRS--

I60091FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/03/2016 06/15/2041 0 36,000,000 2.18% / (OIS) (378,823) 876,718 100% / 100%

Forward Start IRS--

I60092FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/03/2016 09/15/2041 0 42,000,000 2.18% / (OIS) (435,684) 1,028,257 100% / 100%

Forward Start IRS--

I60101B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 02/16/2047 0 17,000,000

2.62% / (3M-

LIBOR) (66,245) 460,885 100% / 100%

Forward Start IRS--

I60102B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 05/15/2047 0 17,000,000

2.62% / (3M-

LIBOR) (62,061) 462,771 100% / 100%

Forward Start IRS--

I60103B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 08/14/2047 0 17,000,000

2.62% / (3M-

LIBOR) (57,502) 464,713 100% / 100%

Forward Start IRS--

I60104B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 11/16/2047 0 17,000,000

2.62% / (3M-

LIBOR) (51,953) 466,711 100% / 100%

Forward Start IRS--

I60105B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/22/2016 02/15/2048 0 18,000,000

2.4% / (3M-

LIBOR) (272,392) 496,203 100% / 100%

Forward Start IRS--

I60106B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/22/2016 05/14/2048 0 18,000,000

2.4% / (3M-

LIBOR) (266,161) 498,190 100% / 100%

Forward Start IRS--

I60107B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/22/2016 08/16/2048 0 17,000,000

2.4% / (3M-

LIBOR) (244,268) 472,486 100% / 100%

Forward Start IRS--

I60108B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/22/2016 11/15/2048 0 17,000,000

2.4% / (3M-

LIBOR) (237,236) 474,388 100% / 100%

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


I60109B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 02/15/2049 0 16,000,000

2.62% / (3M-

LIBOR) (22,614) 448,286 100% / 100%

Forward Start IRS--

I60110B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 05/16/2049 0 16,000,000

2.62% / (3M-

LIBOR) (17,634) 450,042 100% / 100%

Forward Start IRS--

I60111B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 08/15/2049 0 16,000,000

2.62% / (3M-

LIBOR) (12,386) 451,812 100% / 100%

Forward Start IRS--

I60112B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 11/15/2049 0 16,000,000

2.58% / (3M-

LIBOR) (41,638) 453,593 100% / 100%

Forward Start IRS--

I60113B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 02/15/2050 0 15,000,000

2.58% / (3M-

LIBOR) (33,935) 426,907 100% / 100%

Forward Start IRS--

I60114B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 05/15/2050 0 14,000,000

2.58% / (3M-

LIBOR) (26,663) 399,943 100% / 100%

Forward Start IRS--

I60115B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 08/15/2050 0 14,000,000

2.58% / (3M-

LIBOR) (21,954) 401,485 100% / 100%

Forward Start IRS--

I60116B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 11/15/2050 0 14,000,000

2.58% / (3M-

LIBOR) (17,112) 403,020 100% / 100%

Forward Start IRS--

I60117B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 02/15/2051 0 13,000,000

2.58% / (3M-

LIBOR) (11,571) 375,653 100% / 100%

Forward Start IRS--

I60118B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 05/15/2051 0 13,000,000

2.58% / (3M-

LIBOR) (7,589) 377,021 100% / 100%

Forward Start IRS--

I60119B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 08/15/2051 0 13,000,000

2.58% / (3M-

LIBOR) (3,317) 378,431 100% / 100%

Forward Start IRS--

I60120B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/28/2016 11/15/2051 0 13,000,000

2.58% / (3M-

LIBOR) 1,078 379,836 100% / 100%

Forward Start IRS--

I60121B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/20/2016 02/14/2052 0 25,000,000

2.43% / (3M-

LIBOR) (183,423) 733,115 100% / 100%

Forward Start IRS--

I60122B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/20/2016 05/15/2052 0 25,000,000

2.43% / (3M-

LIBOR) (175,572) 735,767 100% / 100%

Forward Start IRS--

I60123B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/22/2016 08/15/2052 0 25,000,000

2.4% / (3M-

LIBOR) (204,757) 738,438 100% / 100%

Forward Start IRS--

I60124B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/22/2016 11/14/2052 0 25,000,000

2.4% / (3M-

LIBOR) (196,867) 741,071 100% / 100%

Forward Start IRS--

I60125B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/22/2016 02/16/2053 0 25,000,000

2.4% / (3M-

LIBOR) (190,823) 743,781 100% / 100%

Forward Start IRS--

I60126B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/22/2016 05/15/2053 0 25,000,000

2.4% / (3M-

LIBOR) (185,481) 746,309 100% / 100%

Forward Start IRS--

I60127B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/22/2016 08/14/2053 0 25,000,000

2.4% / (3M-

LIBOR) (179,686) 748,915 100% / 100%

Forward Start IRS--

I60128B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/22/2016 11/16/2053 0 25,000,000

2.4% / (3M-

LIBOR) (173,499) 751,596 100% / 100%

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


I60129B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/22/2016 02/15/2057 0 38,000,000

2.4% / (3M-

LIBOR) (153,908) 1,192,702 100% / 100%

Forward Start IRS--

I60130B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/22/2016 05/15/2057 0 38,000,000

2.4% / (3M-

LIBOR) (146,413) 1,196,386 100% / 100%

Forward Start IRS--

I60131B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/22/2016 08/15/2057 0 37,000,000

2.4% / (3M-

LIBOR) (134,647) 1,168,599 100% / 100%

Forward Start IRS--

I60132B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/22/2016 11/15/2057 0 37,000,000

2.4% / (3M-

LIBOR) (127,092) 1,172,285 100% / 100%

Forward Start IRS--

I60150B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/04/2016 05/15/2040 0 18,000,000

2.49% / (3M-

LIBOR) (357,429) 428,218 100% / 100%

Forward Start IRS--

I60151B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/04/2016 08/15/2040 0 18,000,000

2.49% / (3M-

LIBOR) (352,383) 430,595 100% / 100%

Forward Start IRS--

I60152B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/04/2016 11/15/2040 0 17,000,000

2.49% / (3M-

LIBOR) (327,819) 408,906 100% / 100%

Forward Start IRS--

I60153B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/04/2016 02/14/2041 0 18,000,000

2.49% / (3M-

LIBOR) (342,176) 435,285 100% / 100%

Forward Start IRS--

I60154B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 05/15/2041 0 17,000,000

2.49% / (3M-

LIBOR) (318,897) 413,264 100% / 100%

Forward Start IRS--

I60155B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 08/15/2041 0 17,000,000

2.49% / (3M-

LIBOR) (314,250) 415,461 100% / 100%

Forward Start IRS--

I60156B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 11/14/2041 0 17,000,000

2.49% / (3M-

LIBOR) (309,441) 417,624 100% / 100%

Forward Start IRS--

I60157B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 02/16/2042 0 17,000,000

2.49% / (3M-

LIBOR) (304,763) 419,845 100% / 100%

Forward Start IRS--

I60158B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 05/14/2042 0 16,000,000

2.49% / (3M-

LIBOR) (282,146) 397,074 100% / 100%

Forward Start IRS--

I60159B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 08/16/2042 0 16,000,000

2.49% / (3M-

LIBOR) (277,802) 399,144 100% / 100%

Forward Start IRS--

I60160B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 11/15/2042 0 16,000,000

2.49% / (3M-

LIBOR) (272,712) 401,138 100% / 100%

Forward Start IRS--

I60161B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 02/15/2043 0 16,000,000

2.49% / (3M-

LIBOR) (267,097) 403,144 100% / 100%

Forward Start IRS--

I60162B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 05/16/2043 0 15,000,000

2.49% / (3M-

LIBOR) (245,530) 379,778 100% / 100%

Forward Start IRS--

I60163B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 08/15/2043 0 15,000,000

2.49% / (3M-

LIBOR) (240,384) 381,620 100% / 100%

Forward Start IRS--

I60164B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 11/15/2043 0 15,000,000

2.49% / (3M-

LIBOR) (235,002) 383,473 100% / 100%

Forward Start IRS--

I60165FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/06/2016 02/15/2039 0 19,000,000 1.89% / (OIS) (622,106) 439,387 100% / 100%

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


I60166FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/06/2016 05/15/2039 0 18,000,000 1.89% / (OIS) (581,476) 418,627 100% / 100%

Forward Start IRS--

I60167FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/06/2016 08/15/2039 0 18,000,000 1.89% / (OIS) (573,173) 421,058 100% / 100%

Forward Start IRS--

I60168FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/06/2016 11/15/2039 0 18,000,000 1.89% / (OIS) (566,290) 423,476 100% / 100%

Forward Start IRS--

I60169FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/06/2016 02/15/2040 0 18,000,000 1.89% / (OIS) (561,569) 425,880 100% / 100%

Forward Start IRS--

I60200B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 07/16/2045 0 22,000,000

2.57% / (3M-

LIBOR) (191,614) 580,097 100% / 100%

Forward Start IRS--

I60201B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 07/15/2046 0 25,000,000

2.57% / (3M-

LIBOR) (187,050) 670,916 100% / 100%

Forward Start IRS--

I60202B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 07/15/2047 0 24,000,000

2.57% / (3M-

LIBOR) (151,922) 655,163 100% / 100%

Forward Start IRS--

I60203B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/04/2016 10/15/2047 0 21,000,000

2.49% / (3M-

LIBOR) (222,031) 575,686 100% / 100%

Forward Start IRS--

I60204B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 03/15/2048 0 24,000,000

2.57% / (3M-

LIBOR) (131,508) 662,469 100% / 100%

Forward Start IRS--

I60205B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 07/15/2048 0 25,000,000

2.57% / (3M-

LIBOR) (125,167) 693,845 100% / 100%

Forward Start IRS--

I60206B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 10/15/2048 0 26,000,000

2.57% / (3M-

LIBOR) (120,797) 724,545 100% / 100%

Forward Start IRS--

I60207B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 03/15/2049 0 25,000,000

2.57% / (3M-

LIBOR) (102,005) 701,301 100% / 100%

Forward Start IRS--

I60208B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/04/2016 07/15/2049 0 24,000,000

2.49% / (3M-

LIBOR) (191,773) 676,814 100% / 100%

Forward Start IRS--

I60209B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/04/2016 10/14/2049 0 21,000,000

2.49% / (3M-

LIBOR) (159,971) 594,529 100% / 100%

Forward Start IRS--

I60210B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 03/15/2050 0 19,000,000

2.49% / (3M-

LIBOR) (132,518) 541,389 100% / 100%

Forward Start IRS--

I60211B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/04/2016 07/16/2050 0 20,000,000

2.49% / (3M-

LIBOR) (129,752) 572,832 100% / 100%

Forward Start IRS--

I60212B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/04/2016 10/15/2050 0 21,000,000

2.49% / (3M-

LIBOR) (128,585) 603,755 100% / 100%

Forward Start IRS--

I60213B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/04/2016 03/15/2051 0 24,000,000

2.49% / (3M-

LIBOR) (133,021) 694,309 100% / 100%

Forward Start IRS--

I60214B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 07/15/2051 0 25,000,000

2.57% / (3M-

LIBOR) (22,215) 726,840 100% / 100%

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


I60215B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 10/15/2051 0 26,000,000

2.57% / (3M-

LIBOR) (14,337) 758,726 100% / 100%

Forward Start IRS--

I60216B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/04/2016 03/14/2052 0 24,000,000

2.49% / (3M-

LIBOR) (100,287) 704,602 100% / 100%

Forward Start IRS--

I60217B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 07/15/2052 0 25,000,000

2.57% / (3M-

LIBOR) 9,450 737,539 100% / 100%

Forward Start IRS--

I60218B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 10/15/2052 0 26,000,000

2.57% / (3M-

LIBOR) 17,938 769,812 100% / 100%

Forward Start IRS--

I60219B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/04/2016 03/16/2053 0 24,000,000

2.49% / (3M-

LIBOR) (72,901) 714,803 100% / 100%

Forward Start IRS--

I60220B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/04/2016 07/15/2053 0 25,000,000

2.49% / (3M-

LIBOR) (69,016) 748,057 100% / 100%

Forward Start IRS--

I60221B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/04/2016 10/15/2053 0 26,000,000

2.49% / (3M-

LIBOR) (66,191) 780,712 100% / 100%

Forward Start IRS--

I60222B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/06/2016 07/15/2054 0 10,000,000

2.53% / (3M-

LIBOR) 568 303,371 100% / 100%

Forward Start IRS--

I60223B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 03/15/2055 0 20,000,000

2.49% / (3M-

LIBOR) (27,339) 612,205 100% / 100%

Forward Start IRS--

I60224B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 07/14/2055 0 17,000,000

2.52% / (3M-

LIBOR) 5,694 522,670 100% / 100%

Forward Start IRS--

I60225B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 10/16/2055 0 18,000,000

2.49% / (3M-

LIBOR) (16,073) 555,297 100% / 100%

Forward Start IRS--

I60226B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 03/15/2056 0 23,000,000

2.49% / (3M-

LIBOR) (13,952) 713,391 100% / 100%

Forward Start IRS--

I60227B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/05/2016 10/15/2056 0 22,000,000

2.49% / (3M-

LIBOR) (3,191) 687,553 100% / 100%

Forward Start IRS--

I60228B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHGS 05/02/2016 03/16/2047 0 25,000,000

2.57% / (3M-

LIBOR) (167,757) 678,656 100% / 100%

Forward Start IRS--

I60241B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 03/15/2039 0 21,000,000

2.62% / (3M-

LIBOR) (253,288) 486,508 100% / 100%

Forward Start IRS--

I60242B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 07/16/2039 0 22,000,000

2.62% / (3M-

LIBOR) (258,836) 513,660 100% / 100%

Forward Start IRS--

I60243B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 10/15/2039 0 23,000,000

2.62% / (3M-

LIBOR) (265,327) 540,069 100% / 100%

Forward Start IRS--

I60244B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 03/15/2040 0 21,000,000

2.62% / (3M-

LIBOR) (235,534) 497,740 100% / 100%

Forward Start IRS--

I60245B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 07/15/2040 0 22,000,000

2.62% / (3M-

LIBOR) (240,087) 525,306 100% / 100%

Forward Start IRS--

I60246B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 10/15/2040 0 24,000,000

2.62% / (3M-

LIBOR) (256,239) 576,219 100% / 100%

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


I60247B--125 - CF FS

LTC reentry

Anticipatory cash

flows NA

Interest

Rate EXCHCSI 04/27/2016 03/14/2041 0 21,000,000

2.62% / (3M-

LIBOR) (216,785) 508,665 100% / 100%

Forward Start IRS--

I60248FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 07/15/2041 0 22,000,000 2.16% / (OIS) (259,534) 536,699 100% / 100%

Forward Start IRS--

I60249FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 10/15/2041 0 23,000,000 2.16% / (OIS) (267,693) 564,058 100% / 100%

Forward Start IRS--

I60250FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 03/15/2042 0 19,000,000 2.16% / (OIS) (215,823) 469,950 100% / 100%

Forward Start IRS--

I60251FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 07/15/2042 0 20,000,000 2.16% / (OIS) (223,250) 498,051 100% / 100%

Forward Start IRS--

I60252FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 10/15/2042 0 21,000,000 2.16% / (OIS) (230,177) 525,604 100% / 100%

Forward Start IRS--

I60253FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 03/15/2043 0 18,000,000 2.16% / (OIS) (182,801) 454,221 100% / 100%

Forward Start IRS--

I60254FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 07/15/2043 0 19,000,000 2.16% / (OIS) (180,591) 482,591 100% / 100%

Forward Start IRS--

I60255FF--140 - CF FS


Funds

Anticipatory cash

flows NA

Interest

Rate DBAG 05/04/2016 10/14/2043 0 21,000,000 2.16% / (OIS) (189,298) 535,961 100% / 100%

0859999. Subtotal - Swaps - Hedging Effective - Interest Rate 0 0 0 0 XXX (126,176,625) 0 0 0 0 218,580,469 XXX XXXCross Currency - Asset

Swap--

EUR7YCORPFLOATSWAP001-

-70 - CF Foreign Sec

(EURO) B45KZ9 Schedule D Currency DBAG 05/22/2012 01/30/2019 0 21,790,169

2.43% / (3M-

EURIBOR) 330,194 0 293,949 1,611,857 1,629,436 (2,201,612) 125,849 100% / 0%

0879999. Subtotal - Swaps - Hedging Effective - Foreign Exchange 330,194 0 293,949 1,611,857 XXX 1,629,436 (2,201,612) 0 0 0 125,849 XXX XXX

0909999. Subtotal - Swaps - Hedging Effective 330,194 0 293,949 1,611,857 XXX (124,547,189) (2,201,612) 0 0 0 218,706,318 XXX XXXRegular Way IRS--

ISWAPRTP003--88 - NQ

FS IRS Volatility

Mitigation Statutory Capital NA

Interest

Rate EXCHCSI 11/25/2008 11/29/2025 0 100,000,000

3M-LIBOR /

(3.42%) 0 (1,725,256) (9,109,446) (9,109,446) 180,123 1,429,149 009

Regular Way IRS--


FS IRS Volatility


Interest

Rate EXCHCSI 12/01/2008 12/03/2023 0 90,000,000

3M-LIBOR /

(3.24%) 0 (1,422,579) (6,008,536) (6,008,536) 359,930 1,118,509 009

Regular Way IRS--


FS IRS Volatility


Interest

Rate EXCHCSI 12/01/2008 12/03/2025 0 100,000,000

3M-LIBOR /

(3.03%) 0 (1,417,518) (6,101,586) (6,101,586) (88,829) 1,430,107 009

Regular Way IRS--


FS IRS Volatility


Interest

Rate EXCHCSI 12/01/2008 12/03/2025 0 200,000,000

3M-LIBOR /

(3.09%) 0 (2,925,036) (13,111,071) (13,111,071) (97,094) 2,860,214 009

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)Regular Way IRS--


FS IRS Volatility


Interest

Rate EXCHCSI 12/02/2008 12/06/2025 0 100,000,000

3M-LIBOR /

(3.07%) 0 (1,445,579) (6,408,789) (6,408,789) (63,389) 1,430,825 009

Regular Way IRS--


FS IRS Volatility


Interest

Rate EXCHCSI 12/02/2008 12/06/2025 0 100,000,000

3M-LIBOR /

(3.05%) 0 (1,436,204) (6,314,070) (6,314,070) (71,779) 1,430,825 009

Regular Way IRS--


FS IRS Volatility


Interest

Rate EXCHCSI 12/02/2008 12/06/2025 0 100,000,000

3M-LIBOR /

(3.05%) 0 (1,434,329) (6,295,126) (6,295,126) (73,457) 1,430,825 009

Regular Way IRS--


FS IRS Volatility


Interest

Rate EXCHCSI 12/03/2008 12/05/2023 0 100,000,000

3M-LIBOR /

(3.23%) 0 (1,566,952) (6,575,826) (6,575,826) 387,888 1,243,338 009

Regular Way IRS--


FS IRS Volatility


Interest

Rate EXCHCSI 12/04/2008 12/08/2023 0 400,000,000

3M-LIBOR /

(3.13%) 0 (5,964,210) (23,987,396) (23,987,396) 1,261,015 4,976,658 009

Regular Way IRS--


FS IRS Volatility


Interest

Rate EXCHCSI 12/05/2008 12/09/2023 0 100,000,000

3M-LIBOR /

(3.11%) 0 (1,477,094) (5,884,262) (5,884,262) 300,550 1,244,440 009

Regular Way IRS--


FS IRS Volatility


Interest

Rate EXCHCSI 12/05/2008 12/09/2025 0 100,000,000

3M-LIBOR /

(3.01%) 0 (1,408,844) (6,023,294) (6,023,294) (98,327) 1,431,543 009

Regular Way IRS--


FS IRS Volatility


Interest

Rate EXCHCSI 12/05/2008 12/09/2025 0 100,000,000

3M-LIBOR /

(2.96%) 0 (1,368,344) (5,613,976) (5,613,976) (134,571) 1,431,543 009

Regular Way IRS--


FS IRS Volatility


Interest

Rate EXCHCSI 12/09/2008 12/11/2025 0 100,000,000

3M-LIBOR /

(3.06%) 0 (1,436,668) (6,335,949) (6,335,949) (71,357) 1,432,021 009

Regular Way IRS--


FS IRS Volatility


Interest

Rate EXCHCSI 09/02/2010 11/15/2023 0 678,000,000

3M-LIBOR /

(2.98%) 0 (9,432,583) (34,733,177) (34,733,177) 1,538,555 8,392,402 009

Regular Way IRS--

ISWAPRTR001--88 - NQ

FS IRS Volatility


Interest

Rate EXCHCSI 12/17/2009 10/31/2023 0 140,000,000

4.58% / (3M-

LIBOR) 0 3,604,226 19,988,391 19,988,391 (1,884,290) 1,727,124 009

Regular Way IRS--


FS IRS Volatility


Interest

Rate EXCHCSI 12/18/2009 11/01/2023 0 150,000,000

4.58% / (3M-

LIBOR) 0 3,873,757 21,465,936 21,465,936 (2,022,765) 1,850,907 009

Regular Way IRS--


FS IRS Volatility


Interest

Rate EXCHCSI 12/18/2009 10/31/2023 0 220,000,000

4.61% / (3M-

LIBOR) 0 5,713,284 31,789,840 31,789,840 (3,007,187) 2,714,053 009

Regular Way IRS--


FS IRS Volatility


Interest

Rate EXCHCSI 12/18/2009 10/31/2023 0 75,000,000

4.62% / (3M-

LIBOR) 0 1,953,335 10,880,572 10,880,572 (1,030,423) 925,245 009

Regular Way IRS--


FS IRS Volatility


Interest

Rate EXCHCSI 12/18/2009 11/01/2023 0 80,000,000

4.62% / (3M-

LIBOR) 0 2,090,004 11,632,585 11,632,585 (1,101,188) 987,150 009

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)Regular Way IRS--


FS IRS Volatility


Interest

Rate EXCHCSI 12/22/2009 11/01/2023 0 75,000,000

4.89% / (3M-

LIBOR) 0 2,108,441 12,048,895 12,048,895 (1,171,364) 925,453 009

Regular Way IRS--


FS IRS Volatility


Interest

Rate EXCHCSI 12/22/2009 11/01/2023 0 75,000,000

4.89% / (3M-

LIBOR) 0 2,111,254 12,070,468 12,070,468 (1,173,987) 925,453 009

Regular Way IRS--


FS IRS Volatility


Interest

Rate EXCHCSI 01/08/2010 11/15/2025 0 170,000,000

4.67% / (3M-

LIBOR) 0 4,519,852 31,365,320 31,365,320 (1,740,473) 2,423,843 009

Regular Way IRS--


FS IRS Volatility


Interest

Rate EXCHCSI 01/15/2010 10/15/2025 0 170,000,000

4.48% / (3M-

LIBOR) 0 4,245,644 28,752,612 28,752,612 (1,527,450) 2,411,151 009

Regular Way IRS--


FS IRS Volatility


Interest

Rate EXCHCSI 02/23/2010 10/20/2025 0 265,000,000

4.49% / (3M-

LIBOR) 0 6,639,634 45,073,451 45,073,451 (2,398,534) 3,761,757 009

Regular Way IRS--


FS IRS Volatility


Interest

Rate EXCHCSI 02/23/2010 11/02/2022 0 580,000,000

4.34% / (3M-

LIBOR) 0 13,917,488 65,115,171 65,115,171 (8,209,864) 6,544,723 009

Regular Way IRS--


FS IRS Volatility


Interest

Rate EXCHCSI 06/15/2010 03/15/2026 0 190,000,000

3.99% / (3M-

LIBOR) 4,045,470 26,028,919 26,028,919 (976,972) 2,763,222 009

Regular Way IRS--


FS IRS Volatility


Interest

Rate EXCHCSI 06/16/2010 06/15/2026 0 115,000,000

4.02% / (3M-

LIBOR) 0 2,473,155 16,310,244 16,310,244 (575,078) 1,697,208 009

0919999. Subtotal - Swaps - Hedging Other - Interest Rate 0 0 22,834,352 190,019,898 XXX 190,019,898 (23,490,316) 0 0 0 60,939,688 XXX XXX

0969999. Subtotal - Swaps - Hedging Other 0 0 22,834,352 190,019,898 XXX 190,019,898 (23,490,316) 0 0 0 60,939,688 XXX XXXCredit Default Swap--

CDS0000630--67 - NQ

CDS Single Name Sell

Protection 136375AY8

Sched DB -

Part C Credit GSI 02/19/2008 03/20/2018 0 9,000,000

0.91% / (Credit

Event) 0 62,108 34,433 34,433 (47,783) 9,000,000 1.00 010

Credit Default Swap--

CDS0000903--67 - NQ


Protection 98458PAA3

Sched DB -

Part C Credit DBAG 07/23/2008 09/20/2018 0 5,000,000

1.05% / (Credit

Event) 0 39,813 43,952 43,952 103,601 5,000,000 2.00 010


CDS0000941--67 - NQ


Protection 931142BF9

Sched DB -


1.31% / (Credit

Event) 0 49,671 57,674 57,674 (17,672) 5,000,000 1.00 010


CDS0000942--67 - NQ


Protection 881685AX9

Sched DB -


1.07% / (Credit

Event) 0 40,571 45,817 45,817 10,065 5,000,000 2.00 010


CDS0000943--67 - NQ


Protection 346845AF7

Sched DB -

Part C Credit GSI 08/13/2008 09/20/2018 0 5,000,000

1.34% / (Credit

Event) 0 50,808 60,573 60,573 (14,321) 5,000,000 2.00 010

0989999. Subtotal - Swaps - Replication - Credit Default 0 0 242,970 242,448 XXX 242,448 33,890 0 0 0 29,000,000 XXX XXX

1029999. Subtotal - Swaps - Replication 0 0 242,970 242,448 XXX 242,448 33,890 0 0 0 29,000,000 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 22,834,352 190,019,898 XXX 63,843,273 (23,490,316) 0 0 0 279,520,158 XXX XXX

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)

1169999. Total Swaps - Credit Default 0 0 242,970 242,448 XXX 242,448 33,890 0 0 0 29,000,000 XXX XXX

1179999. Total Swaps - Foreign Exchange 330,194 0 293,949 1,611,857 XXX 1,629,436 (2,201,612) 0 0 0 125,849 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 0 XXX 0 0 0 0 0 0 XXX XXX

1209999. Total Swaps 330,194 0 23,371,271 191,874,203 XXX 65,715,157 (25,658,038) 0 0 0 308,646,006 XXX XXX

1269999. Subtotal - Forwards 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

1399999. Subtotal - Hedging Effective 330,194 0 293,949 1,611,857 XXX (124,547,189) (2,201,612) 0 0 0 218,706,318 XXX XXX

1409999. Subtotal - Hedging Other 0 0 22,834,352 190,019,898 XXX 190,019,898 (23,490,316) 0 0 0 60,939,688 XXX XXX

1419999. Subtotal - Replication 0 0 242,970 242,448 XXX 242,448 33,890 0 0 0 29,000,000 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 330,194 0 23,371,271 191,874,203 XXX 65,715,157 (25,658,038) 0 0 0 308,646,006 XXX XXX

(a) Code Description of Hedged Risk(s)

(b) Code Financial or Economic Impact of the Hedge at the End of the Reporting Period E06.2

3


Schedule DB - Part B - Section 1 - Futures Contracts Open

N O N E

Schedule DB - Part B - Section 1B - Brokers with whom cash deposits have been made

N O N E

E07


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 0 0

GOLDMAN SACHS INTERNATIONAL Y Y 95,006 0 95,006 128,657 (33,332,274) 0 78,595,538 78,595,538

DEUTSCHE BANK A.G. Y Y 1,759,299 0 1,759,299 1,776,878 (30,423,844) 0 58,719,547 58,719,547

0299999. Total NAIC 1 Designation 0 1,854,305 0 1,854,305 1,905,535 (63,756,118) 0 137,315,085 137,315,085

CREDIT SUISSE INTERNATIONAL Y Y 132,025,008 332,522,401 (142,502,503) 57,994,890 332,735,431 (205,169,692) 0 171,330,922 171,330,922

0399999. Total NAIC 2 Designation 132,025,008 332,522,401 (142,502,503) 57,994,890 332,735,431 (205,169,692) 0 171,330,922 171,330,922

0899999. Aggregate Sum of Central Clearing houses 0 0

0999999 - Gross Totals 132,025,008 334,376,706 (142,502,503) 59,849,195 334,640,966 (268,925,810) 0 308,646,007 308,646,007

1. Offset per SSAP No. 64

2. Net after right of offset per SSAP No. 64 334,376,706 (142,502,503)

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)CREDIT SUISSE INTERNATIONAL Treasury 912810-RA-8 TII 0 5/8 02/15/43 48,820,232 49,000,000 45,476,243 02/15/2043 V

CREDIT SUISSE INTERNATIONAL Treasury 912810-RF-7 TII 1 3/8 02/15/44 92,309,108 79,500,000 85,423,257 02/15/2044 V

GOLDMAN SACHS INTERNATIONAL Corporate 585055-AT-3 MDT 5.55 03/15/40 6,652,640 5,378,000 5,368,410 03/15/2040 V

GOLDMAN SACHS INTERNATIONAL Corporate 478160-AV-6 JNJ 4 1/2 09/01/40 13,816,533 12,068,000 11,958,551 09/01/2040 V

GOLDMAN SACHS INTERNATIONAL Treasury 912810-RL-4 TII 0 3/4 02/15/45 50,613,061 51,000,000 46,705,231 02/15/2045 V

GOLDMAN SACHS INTERNATIONAL Cash CASH 29,460,722 29,460,722 29,460,722 V

DEUTSCHE BANK A.G. Treasury 912810-QS-0 T 3 3/4 08/15/41 34,150,984 29,224,000 29,550,199 08/15/2041 V

DEUTSCHE BANK A.G. Treasury 912810-QK-7 T 3 7/8 08/15/40 84,188,417 70,807,000 75,136,634 08/15/2040 V

DEUTSCHE BANK A.G. Treasury 912810-QL-5 T 4 1/4 11/15/40 30,911,650 24,640,000 26,858,180 11/15/2040 V

DEUTSCHE BANK A.G. Treasury 912810-QE-1 T 4 5/8 02/15/40 43,704,916 33,212,000 33,418,107 02/15/2040 V

0199999 - Total 434,628,261 384,289,722 389,355,534 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)

CREDIT SUISSE INTERNATIONAL Cash CASH 132,025,008 132,025,008 XXX V

0299999 - Total 132,025,008 132,025,008 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

Book/Adjusted Carrying Value

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 101,161,126 101,161,126 10/02/2017

8999999. Total - Short-Term Invested Assets (Schedule DA type) 101,161,126 101,161,126 XXX9999999 - Totals 101,161,126 101,161,126 XXXGeneral Interrogatories:

1. Total activity for the year to date Fair Value $ (243,883,279) Book/Adjusted Carrying Value $ (243,892,399)

2. Average balance for the year to date Fair Value $ 176,332,972 Book/Adjusted Carrying Value $ 176,332,972

3. Reinvested securities lending collateral assets book/adjusted carrying value included in this schedule by NAIC designation:

NAIC 1 $ 101,161,126 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

Book/Adjusted Carrying Value

7

Maturity Date

9999999 - Totals XXXGeneral 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, N.A. New York, New York (62,306,584) (65,712,149) (67,943,927) XXX

Deutsche Bank Trust Company

Americas New York, New York 2,148,480 226,094 36,489 XXX

Federal Home Loan Bank

Pittsburgh Pittsburgh, PA 483,054 88,195 88,244 XXX

Fifth Third Bank Cincinnati, OH 8,704,340 4,963,813 9,599,048 XXX

JP Morgan Chase Bank New York, New York (3,890,355) (22,341,328) (12,919,251) XXX

SunTrust Bank Atlanta, GA 119,624 119,624 119,624 XXX

The Bank of New York Mellon New York, New York 1,330,509 944,100 1,023,271 XXX

U.S. Bank, N.A. Milwaukee, WI 238,452 207,971 257,066 XXX

Wells Fargo Bank, N.A. San Francisco, CA 2,269,816 1,757,124 2,613,466 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 (50,902,664) (79,746,556) (67,125,970) 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 (50,902,664) (79,746,556) (67,125,970) XXX

0499999. Cash in Company's Office XXX XXX XXX XXX XXX

0599999. Total - Cash XXX XXX 0 0 (50,902,664) (79,746,556) (67,125,970) 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 YearUS TREASURY TREASURY BILL 08/28/2017 0.000 11/24/2017 59,909,467 0 55,192

0199999. Subtotal - Bonds - U.S. Governments - Issuer Obligations 59,909,467 0 55,192

0599999. Total - U.S. Government Bonds 59,909,467 0 55,192

1099999. Total - All Other Government Bonds 0 0 0

1799999. Total - U.S. States, Territories and Possessions Bonds 0 0 0

2499999. Total - U.S. Political Subdivisions Bonds 0 0 0

3199999. Total - U.S. Special Revenues Bonds 0 0 0

3899999. Total - Industrial and Miscellaneous (Unaffiliated) Bonds 0 0 0

4899999. Total - Hybrid Securities 0 0 0

5599999. Total - Parent, Subsidiaries and Affiliates Bonds 0 0 0

6099999. Subtotal - SVO Identified Funds 0 0 0

7799999. Total - Issuer Obligations 59,909,467 0 55,192

7899999. Total - Residential Mortgage-Backed Securities 0 0 0

7999999. Total - Commercial Mortgage-Backed Securities 0 0 0

8099999. Total - Other Loan-Backed and Structured Securities 0 0 0

8199999. Total - SVO Identified Funds 0 0 0

8399999. Total Bonds 59,909,467 0 55,192

8699999 - Total Cash Equivalents 59,909,467 0 55,192

E13

70025 genworth life insurance company...

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