68713 SECURITY LIFE OF DENVER INSURANCE COMPANY …20.pdf · Electronic data processing equipment...

STATEMENT AS OF JUNE 30, 2020 OF THE SECURITY LIFE OF DENVER 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 9,457,412,018 0 9,457,412,018 9,362,179,464

2. Stocks:

2.1 Preferred stocks 5,547,600 0 5,547,600 39,277,000

2.2 Common stocks 194,372,376 0 194,372,376 194,032,578

3. Mortgage loans on real estate:

3.1 First liens 1,273,141,707 0 1,273,141,707 1,305,864,876

3.2 Other than first liens 0 0 0 0

4. Real estate:

4.1 Properties occupied by the company (less $ 0

encumbrances) 0 0 0 0

4.2 Properties held for the production of income (less

$ 0 encumbrances) 0 0 0 0

4.3 Properties held for sale (less $ 0

encumbrances) 0 0 0 0

5. Cash ($ 257,212,775 ), cash equivalents

($ 11,328,467 ) and short-term

investments ($ 0 ) 268,541,241 0 268,541,241 250,118,002

6. Contract loans (including $ 0 premium notes) 990,825,096 271,583 990,553,513 999,112,589

7. Derivatives 209,369,767 0 209,369,767 255,487,365

8. Other invested assets 398,207,030 0 398,207,030 401,210,329

9. Receivables for securities 705,147 0 705,147 0

10. Securities lending reinvested collateral assets 0 0 0 214,908,865

11. Aggregate write-ins for invested assets 7,264,506 0 7,264,506 13,974,262

12. Subtotals, cash and invested assets (Lines 1 to 11) 12,805,386,487 271,583 12,805,114,905 13,036,165,330

13. Title plants less $ 0 charged off (for Title insurers

only) 0 0 0 0

14. Investment income due and accrued 113,535,274 1,302 113,533,972 109,363,529

15. Premiums and considerations:

15.1 Uncollected premiums and agents' balances in the course of collection (33,747,289) 82,493 (33,829,781) (356,290,208)

15.2 Deferred premiums, agents' balances and installments booked but

deferred and not yet due (including $ 0

earned but unbilled premiums) 3,421,396 0 3,421,396 3,520,105

15.3 Accrued retrospective premiums ($ 0 ) and

contracts subject to redetermination ($ 0 ) 0 0 0 0

16. Reinsurance:

16.1 Amounts recoverable from reinsurers 99,529,563 0 99,529,563 232,125,383

16.2 Funds held by or deposited with reinsured companies 0 0 0 309,571,832

16.3 Other amounts receivable under reinsurance contracts 220,957,210 0 220,957,210 428,004,113

17. Amounts receivable relating to uninsured plans 0 0 0 0

18.1 Current federal and foreign income tax recoverable and interest thereon 89,512,281 0 89,512,281 95,593,435

18.2 Net deferred tax asset 168,361,722 53,884,238 114,477,484 114,921,256

19. Guaranty funds receivable or on deposit 554,618 0 554,618 678,900

20. Electronic data processing equipment and software 0 0 0 0

21. Furniture and equipment, including health care delivery assets

($ 0 ) 0 0 0 0

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

23. Receivables from parent, subsidiaries and affiliates 1,415,370 0 1,415,370 4,933,012

24. Health care ($ 0 ) and other amounts receivable 1,474,703 1,474,703 0 0

25. Aggregate write-ins for other than invested assets 69,669,121 302,063 69,367,058 48,053,971

26. Total assets excluding Separate Accounts, Segregated Accounts and Protected Cell Accounts (Lines 12 to 25) 13,540,070,456 56,016,380 13,484,054,075 14,026,640,657

27. From Separate Accounts, Segregated Accounts and Protected Cell Accounts 1,395,133,675 0 1,395,133,675 1,484,685,319

28. Total (Lines 26 and 27) 14,935,204,131 56,016,380 14,879,187,750 15,511,325,976

DETAILS OF WRITE-INS

1101. Derivative receivables 7,264,506 0 7,264,506 13,974,262

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) 7,264,506 0 7,264,506 13,974,262

2501. Receivable on reinsurance assumed 49,438,910 0 49,438,910 31,597,721

2502. Equity in keyman insurance 15,606,155 0 15,606,155 15,785,699

2503. Margin call collateral 4,277,658 0 4,277,658 670,551

2598. Summary of remaining write-ins for Line 25 from overflow page 346,398 302,063 44,335 0

2599. Totals (Lines 2501 through 2503 plus 2598)(Line 25 above) 69,669,121 302,063 69,367,058 48,053,971

2


LIABILITIES, SURPLUS AND OTHER FUNDS1

CurrentStatement Date

2December 31

Prior Year

1. Aggregate reserve for life contracts $ 7,631,689,751 less $ 0 included in Line 6.3

(including $ 883,573,016 Modco Reserve) 7,631,689,751 7,635,078,258

2. Aggregate reserve for accident and health contracts (including $ 0 Modco Reserve) 0 0

3. Liability for deposit-type contracts (including $ 0 Modco Reserve) 1,075,209,769 1,019,465,304

4. Contract claims:

4.1 Life 121,562,985 84,872,400

4.2 Accident and health 0 368,105,077

5. Policyholders’ dividends/refunds to members $ 0 and coupons $ 0 due

and unpaid 0 0

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

6.1 Policyholders’ dividends and refunds to members apportioned for payment (including $ 0

Modco) 5,198,393 5,425,632

6.2 Policyholders’ dividends and refunds to members not yet apportioned (including $ 0 Modco) 0 0

6.3 Coupons and similar benefits (including $ 0 Modco) 0 0

7. Amount provisionally held for deferred dividend policies not included in Line 6 0 0

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

$ 0 discount; including $ 0 accident and health premiums 53,977 38,751

9. Contract liabilities not included elsewhere:

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

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

Service Act 0 0

9.3 Other amounts payable on reinsurance, including $ 6,146,895 assumed and $ 94,134,387

ceded 100,281,281 74,265,084

9.4 Interest Maintenance Reserve 100,604,114 91,339,828

10. Commissions to agents due or accrued-life and annuity contracts $ 686,229 , accident and health

$ 0 and deposit-type contract funds $ 0 686,229 67,116

11. Commissions and expense allowances payable on reinsurance assumed 3,168,264 17,889,632

12. General expenses due or accrued 12,929,464 14,050,810

13. Transfers to Separate Accounts due or accrued (net) (including $ (5,657,023) accrued for expense

allowances recognized in reserves, net of reinsured allowances) (5,657,024) (7,576,850)

14. Taxes, licenses and fees due or accrued, excluding federal income taxes (1,059,244) 147,149

15.1 Current federal and foreign income taxes, including $ 0 on realized capital gains (losses) 0 0

15.2 Net deferred tax liability 0 0

16. Unearned investment income 10,964,986 19,283,499

17. Amounts withheld or retained by reporting entity as agent or trustee 2,605,285 2,768,572

18. Amounts held for agents' account, including $ 401,774 agents' credit balances 401,762 0

19. Remittances and items not allocated 68,644,224 68,592,905

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

21. Liability for benefits for employees and agents if not included above 0 0

22. Borrowed money $ 0 and interest thereon $ 0 0 0

23. Dividends to stockholders declared and unpaid 0 0

24. Miscellaneous liabilities:

24.01 Asset valuation reserve 49,833,077 110,800,860

24.02 Reinsurance in unauthorized and certified ($ 0 ) companies 108,899 108,899

24.03 Funds held under reinsurance treaties with unauthorized and certified ($ 1,532,165,893 ) reinsurers 2,876,869,045 1,342,907,807

24.04 Payable to parent, subsidiaries and affiliates 17,316,042 24,024,723

24.05 Drafts outstanding 0 0

24.06 Liability for amounts held under uninsured plans 0 0

24.07 Funds held under coinsurance 183,992,676 1,682,970,268

24.08 Derivatives 68,119,000 67,947,495

24.09 Payable for securities 2,981,923 169,198

24.10 Payable for securities lending 0 214,908,865

24.11 Capital notes $ 0 and interest thereon $ 0 0 0

25. Aggregate write-ins for liabilities 279,888,635 307,926,564

26. Total liabilities excluding Separate Accounts business (Lines 1 to 25) 12,606,393,514 13,145,577,846

27. From Separate Accounts Statement 1,395,133,675 1,484,685,319

28. Total liabilities (Lines 26 and 27) 14,001,527,189 14,630,263,165

29. Common capital stock 2,880,000 2,880,000

30. Preferred capital stock 0 0

31. Aggregate write-ins for other than special surplus funds 271,759,039 281,541,057

32. Surplus notes 219,006,373 252,012,747

33. Gross paid in and contributed surplus 588,156,391 588,156,391

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

35. Unassigned funds (surplus) (204,141,242) (243,527,384)

36. Less treasury stock, at cost:

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

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

37. Surplus (Total Lines 31+32+33+34+35-36) (including $ 0 in Separate Accounts Statement) 874,780,561 878,182,811

38. Totals of Lines 29, 30 and 37 877,660,561 881,062,811

39. Totals of Lines 28 and 38 (Page 2, Line 28, Col. 3) 14,879,187,750 15,511,325,976


2501. Margin call collateral 162,442,445 214,021,444

2502. Reinsurer payable 68,657,534 49,556,545

2503. Payable on reinsurance ceded 32,717,594 21,978,104

2598. Summary of remaining write-ins for Line 25 from overflow page 16,071,062 22,370,471

2599. Totals (Lines 2501 through 2503 plus 2598)(Line 25 above) 279,888,635 307,926,564

3101. Deferred gain on reinsurance 271,759,039 281,541,057

3102.

3103.

3198. Summary of remaining write-ins for Line 31 from overflow page 0 0

3199. Totals (Lines 3101 through 3103 plus 3198)(Line 31 above) 271,759,039 281,541,057

3401.

3402.

3403.

3498. Summary of remaining write-ins for Line 34 from overflow page 0 0

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 188,472,858 401,406,832 (1,021,810,526)

2. Considerations for supplementary contracts with life contingencies 38,347 0 42,109

3. Net investment income 257,650,613 257,743,629 541,750,259

4. Amortization of Interest Maintenance Reserve (IMR) (1,417,126) (2,367,942) (4,375,342)

5. Separate Accounts net gain from operations excluding unrealized gains or losses 0 0 0

6. Commissions and expense allowances on reinsurance ceded 49,553,100 132,320,032 355,213,650

7. Reserve adjustments on reinsurance ceded (276,522,023) 721,142 (67,316,095)

8. Miscellaneous Income:

8.1 Income from fees associated with investment management, administration and contract guarantees from Separate Accounts 34,605,944 36,254,672 71,176,299

8.2 Charges and fees for deposit-type contracts 0 0 0

8.3 Aggregate write-ins for miscellaneous income 3,788,707 8,971,830 12,872,473

9. Totals (Lines 1 to 8.3) 256,170,420 835,050,194 (112,447,173)

10. Death benefits 186,425,958 207,861,972 393,400,525

11. Matured endowments (excluding guaranteed annual pure endowments) 650,043 1,275,374 1,378,839

12. Annuity benefits 4,339,302 4,313,182 8,874,617

13. Disability benefits and benefits under accident and health contracts (296,679,990) 117,405,879 161,585,187

14. Coupons, guaranteed annual pure endowments and similar benefits 226 252 601

15. Surrender benefits and withdrawals for life contracts 143,168,848 144,550,101 308,722,174

16. Group conversions 0 0 0

17. Interest and adjustments on contract or deposit-type contract funds (18,210,459) (10,667,609) (11,514,361)

18. Payments on supplementary contracts with life contingencies 176,660 181,455 360,375

19. Increase in aggregate reserves for life and accident and health contracts (3,388,507) 210,133,186 (1,251,233,458)

20. Totals (Lines 10 to 19) 16,482,080 675,053,791 (388,425,502)

21. Commissions on premiums, annuity considerations, and deposit-type contract funds (direct business only) 18,437,741 78,430,391 108,529,187

22. Commissions and expense allowances on reinsurance assumed 37,468,973 141,020,901 283,338,517

23. General insurance expenses and fraternal expenses 48,084,544 44,948,101 81,162,647

24. Insurance taxes, licenses and fees, excluding federal income taxes 8,825,158 10,296,710 18,526,313

25. Increase in loading on deferred and uncollected premiums (217) (96,108) 2,810

26. Net transfers to or (from) Separate Accounts net of reinsurance (8,805,242) (16,442,967) (42,794,104)

27. Aggregate write-ins for deductions 36,050,130 (385,793) 86,430,783

28. Totals (Lines 20 to 27) 156,543,168 932,825,027 146,770,651

29. Net gain from operations before dividends to policyholders and federal income taxes (Line 9 minus Line 28) 99,627,253 (97,774,833) (259,217,824)

30. Dividends to policyholders and refunds to members 4,103,405 4,148,671 8,393,699

31. Net gain from operations after dividends to policyholders, refunds to members and before federal income taxes (Line 29 minus Line 30) 95,523,848 (101,923,504) (267,611,523)

32. Federal and foreign income taxes incurred (excluding tax on capital gains) 21,991,328 7,291,638 (40,581,765)

33. Net gain from operations after dividends to policyholders, refunds to members and federal income taxes and before realized capital gains or (losses) (Line 31 minus Line 32) 73,532,520 (109,215,142) (227,029,758)

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

gains tax of $ (4,076,259) (excluding taxes of $ 2,093,700

transferred to the IMR) 1,704,136 150,056 567,697

35. Net income (Line 33 plus Line 34) 75,236,656 (109,065,086) (226,462,061)

CAPITAL AND SURPLUS ACCOUNT

36. Capital and surplus, December 31, prior year 881,062,811 965,376,985 965,376,985

37. Net income (Line 35) 75,236,656 (109,065,086) (226,462,061)

38. Change in net unrealized capital gains (losses) less capital gains tax of $ (20,433,745) (75,593,913) 48,172,392 114,634,167

39. Change in net unrealized foreign exchange capital gain (loss) (630,346) (325,725) (169,051)

40. Change in net deferred income tax (282,211) 27,886,892 (5,703,559)

41. Change in nonadmitted assets (21,049,043) (23,676,474) 28,347,224

42. Change in liability for reinsurance in unauthorized and certified companies 0 (106,616) (106,616)

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

44. Change in asset valuation reserve 60,967,783 (53,452,962) (87,939,316)

45. Change in treasury stock 0 0 0

46. Surplus (contributed to) withdrawn from Separate Accounts during period 0 0 0

47. Other changes in surplus in Separate Accounts Statement 0 0 0

48. Change in surplus notes (33,006,374) 29,993,626 29,993,626

49. Cumulative effect of changes in accounting principles 0 0 0

50. Capital changes:

50.1 Paid in 0 0 0

50.2 Transferred from surplus (Stock Dividend) 0 0 0

50.3 Transferred to surplus 0 0 0

51. Surplus adjustment:

51.1 Paid in 0 0 0

51.2 Transferred to capital (Stock Dividend) 0 0 0

51.3 Transferred from capital 0 0 0

51.4 Change in surplus as a result of reinsurance (9,782,018) (11,335,352) 64,565,549

52. Dividends to stockholders 0 0 0

53. Aggregate write-ins for gains and losses in surplus 737,216 405,132 (1,474,136)

54. Net change in capital and surplus for the year (Lines 37 through 53) (3,402,250) (91,504,173) (84,314,173)

55. Capital and surplus, as of statement date (Lines 36 + 54) 877,660,561 873,872,812 881,062,811


08.301. Miscellaneous income 2,057,813 3,266,927 1,756,229

08.302. Fee income 1,730,895 1,815,898 3,643,389

08.303. Funds withheld interest income 0 3,889,005 7,472,855

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) 3,788,707 8,971,830 12,872,473

2701. Funds withheld interest expense 72,661,321 37,284,232 89,979,645

2702. Miscellaneous expense 8,627,486 1,138,458 16,222,293

2703. Deferred gain on reinsurance 0 0 88,340,510

2798. Summary of remaining write-ins for Line 27 from overflow page (45,238,677) (38,808,483) (108,111,665)

2799. Totals (Lines 2701 through 2703 plus 2798)(Line 27 above) 36,050,130 (385,793) 86,430,783

5301. Amortization of pension 877,297 555,552 (1,165,037)

5302. Amortization of other post-employment benefits (140,082) (150,419) (309,099)

5303.

5398. Summary of remaining write-ins for Line 53 from overflow page 0 0 0

5399. Totals (Lines 5301 through 5303 plus 5398)(Line 53 above) 737,216 405,132 (1,474,136)

4


CASH FLOW1

Current YearTo Date

2Prior YearTo Date

3Prior Year Ended

December 31

Cash from Operations

1. Premiums collected net of reinsurance (75,584,911) 407,055,177 (793,765,429)

2. Net investment income 258,618,799 233,706,205 520,051,191

3. Miscellaneous income 67,961,196 95,178,649 378,025,809

4. Total (Lines 1 to 3) 250,995,084 735,940,031 104,311,571

5. Benefit and loss related payments 198,967,588 334,279,204 834,515,767

6. Net transfers to Separate Accounts, Segregated Accounts and Protected Cell Accounts (10,711,981) (17,342,455) (45,259,489)

7. Commissions, expenses paid and aggregate write-ins for deductions 166,150,991 254,889,119 456,670,616

8. Dividends paid to policyholders 4,330,644 2,491,265 6,700,923

9. Federal and foreign income taxes paid (recovered) net of $ 2,544,854 tax on capital

gains (losses) 13,927,614 (8,017,286) (124,112,165)

10. Total (Lines 5 through 9) 372,664,855 566,299,847 1,128,515,652

11. Net cash from operations (Line 4 minus Line 10) (121,669,771) 169,640,184 (1,024,204,081)

Cash from Investments

12. Proceeds from investments sold, matured or repaid:

12.1 Bonds 323,764,458 483,234,667 1,009,552,409

12.2 Stocks 51,099,151 951,100 4,077,400

12.3 Mortgage loans 63,341,685 61,222,146 167,007,295

12.4 Real estate 0 0 0

12.5 Other invested assets 11,085,328 9,620,382 14,829,185

12.6 Net gains or (losses) on cash, cash equivalents and short-term investments 432 1,740 6,094

12.7 Miscellaneous proceeds 34,974,335 58,011,615 70,980,420

12.8 Total investment proceeds (Lines 12.1 to 12.7) 484,265,388 613,041,650 1,266,452,803

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

13.1 Bonds 419,814,599 717,966,841 1,766,135,634

13.2 Stocks 12,168,900 10,030,121 33,013,721

13.3 Mortgage loans 30,617,510 53,164,544 95,405,994

13.4 Real estate 0 0 0

13.5 Other invested assets 47,164,174 42,473,461 94,762,790

13.6 Miscellaneous applications 42,507,244 37,143,113 80,299,034

13.7 Total investments acquired (Lines 13.1 to 13.6) 552,272,427 860,778,080 2,069,617,173

14. Net increase (or decrease) in contract loans and premium notes (8,559,076) (14,857,417) (13,072,335)

15. Net cash from investments (Line 12.8 minus Line 13.7 and Line 14) (59,447,963) (232,879,013) (790,092,034)

Cash from Financing and Miscellaneous Sources

16. Cash provided (applied):

16.1 Surplus notes, capital notes (33,006,374) 29,993,626 29,993,626

16.2 Capital and paid in surplus, less treasury stock 0 0 0

16.3 Borrowed funds 0 0 0

16.4 Net deposits on deposit-type contracts and other insurance liabilities 55,744,465 22,907,581 312,467,124

16.5 Dividends to stockholders 0 0 0

16.6 Other cash provided (applied) 176,802,882 30,286,324 1,534,608,904

17. Net cash from financing and miscellaneous sources (Line 16.1 through Line 16.4 minus Line 16.5 plus Line 16.6) 199,540,973 83,187,531 1,877,069,654

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) 18,423,239 19,948,702 62,773,539

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

19.1 Beginning of year 250,118,002 187,344,463 187,344,463

19.2 End of period (Line 18 plus Line 19.1) 268,541,241 207,293,165 250,118,002

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

20.0001. 0 0 0

5


EXHIBIT 1

DIRECT PREMIUMS AND DEPOSIT-TYPE CONTRACTS

1Current Year

To Date

2Prior YearTo Date

3Prior Year Ended

December 31

1. Industrial life 0 0 0

2. Ordinary life insurance 423,068,669 466,647,984 915,420,942

3. Ordinary individual annuities 3,044 3,654 89,670

4. Credit life (group and individual) 0 0 0

5. Group life insurance 124,561 121,625 749,259

6. Group annuities 0 0 0

7. A & H - group 0 0 0

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

9. A & H - other 8,090 7,947 16,038

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

11. Subtotal (Lines 1 through 10) 423,204,364 466,781,210 916,275,909

12. Fraternal (Fraternal Benefit Societies Only) 0 0 0

13. Subtotal (Lines 11 through 12) 423,204,364 466,781,210 916,275,909

14. Deposit-type contracts 250,000,000 200,000,000 650,000,000

15. Total (Lines 13 and 14) 673,204,364 666,781,210 1,566,275,909


1001.

1002.

1003.

1098. Summary of remaining write-ins for Line 10 from overflow page 0 0 0

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

6

STATEMENT AS OF JUNE 30, 2020 OF THE Security Life of Denver Insurance Company

NOTES TO FINANCIAL STATEMENTS____________________________________________________________________________________________________

7

1. Summary of Significant Accounting Policies and Going Concern

A. Accounting Practices

The financial statements of Security Life of Denver Insurance Company ("SLD" or the "Company”) are presented on

the basis of accounting practices prescribed or permitted by the Colorado Division of Insurance.

The Colorado Division of Insurance recognizes only statutory accounting practices prescribed or permitted by the State

of Colorado for determining and reporting the financial condition and results of operations of an insurance company

and for determining its solvency under the Colorado Insurance Law. The National Association of Insurance

Commissioners' (“NAIC”) Accounting Practices and Procedures Manual ("NAIC SAP") has been adopted as a

component of prescribed or permitted practices by the State of Colorado. The Commissioner of the Colorado Division

of Insurance has the right to permit other specific practices that deviate from prescribed practices.

On May 8, 2013, the Company, with the permission of the Colorado Division of Insurance, restated the gross paid-in

and contributed surplus and the unassigned funds components of surplus, as of December 31, 2012, similar to the

restatement of surplus that occurs pursuant to the prescribed accounting guidance for a quasi-reorganization under

Statements of Statutory Accounting Principles ("SSAP") No. 72, Surplus and Quasi-Reorganizations (“SSAP No. 72”).

The restatement resulted in a decrease to gross paid-in and contributed surplus and an increase in unassigned surplus

of $455,408,615. This permitted practice had no impact on net income, total capital and surplus or risk-based capital.

F/S F/S

SSAP# Page Line # 2020 2019

Net Income:

(1) SLD State basis (Page 4, Line 35, Columns 1 & 3) XXX XXX XXX $ 75,236,656 $ (226,462,061)

(2) State prescribed practices that are an increase/(decrease) from NAIC SAP:

None — —

(3) State permitted practices that are an increase/(decrease) from NAIC SAP:

None — —

(4) NAIC SAP (1-2-3=4) XXX XXX XXX $ 75,236,656 $ (226,462,061)

Surplus:

(5) SLD State basis (Page 3, Line 38, Columns 1 & 2) XXX XXX XXX $ 877,660,561 $ 881,062,811

(6) State prescribed practices that are an increase/(decrease) from NAIC SAP:

None — —

(7) State permitted practices that are an increase/(decrease) from NAIC SAP:

None — —

(8) NAIC SAP (5-6-7=8) XXX XXX XXX $ 877,660,561 $ 881,062,811

C. Accounting Policy

(2) The Company does not have any SVO-Identified investments as defined in SSAP No. 26R, Bonds-Revised.

(6) Loan-backed securities are stated at either amortized cost or the lower of amortized cost or fair market value.

Amortized cost is determined using the interest method and includes anticipated prepayments. The retrospective

adjustment method is used to determine the amortized cost for the majority of loan-backed and structured securities.

For certain securities, the prospective adjustments methodology is utilized, including interest-only securities and

securities that have experienced an other-than-temporary impairment ("OTTI").

The Company made no significant changes to its accounting policies or practices as of June 30, 2020.

Certain amounts in the Company’s statutory basis financial statements have been reclassified to conform to the 2020

financial statement presentation.

D. Going Concern

None



7. 1

2. Accounting Changes and Corrections of Errors

B. Accounting Changes

See Note 21C for accounting pronouncements related to COVID-19.

3. Business Combinations and Goodwill

None

4. Discontinued Operations

None

5. Investments

D. Loan-Backed Securities

(1) Prepayment assumptions for loan-backed and structured securities are obtained from third party services, broker

dealer survey values or internal estimates.

(2) The following table discloses in aggregate the OTTI recognized in accordance with structured securities subject

to SSAP No. 43R, Loan-backed and Structured Securities ("SSAP No. 43R"), as of June 30, 2020, due to intent

to sell or inability or lack of intent to hold to recovery.

Amortized CostBasis BeforeOther-than-TemporaryImpairment

Other-than-Temporary ImpairmentRecognized in Loss

Fair Value(2a)

Interest(2b)

Non-interest

OTTI recognized 1st Quarter

a. Intent to sell $ 245 $ 139 $ — $ 106

b. Inability or lack of intent to retain the investment

in the security for a period of time sufficient

to recover the amortized cost basis — — — —

c. Total 1st Quarter $ 245 $ 139 $ — $ 106

OTTI recognized 2nd Quarter

d. Intent to sell $ — $ — $ — $ —

e. Inability or lack of intent to retain the investment

in the security for a period of time sufficient

to recover the amortized cost basis — — — —

f. Total 2nd Quarter $ — $ — $ — $ —

m. Annual Aggregate Total $ 139 $ —



7. 2

(3) The following table discloses in detail the OTTI’s recognized by the Company in accordance with structured

securities subject to SSAP No. 43R for reporting period April 1, 2020 to June 30, 2020:

(1) (2) (3) (4) (5) (6) (7)

CUSIP

Book/AdjustedCarrying ValueAmortized CostBefore CurrentPeriod OTTI

Present Value ofProjected Cash

Flows

RecognizedOther-Than-TemporaryImpairment

Amortized CostAfter Other-Than-

TemporaryImpairment

Fair Value atTime of OTTI

Date of FinancialStatement Where

Reported

059513EA5 $ 93,978 $ 93,223 $ 756 $ 93,223 $ 67,796 6/30/2020

12668BCH4 853,136 813,860 39,275 813,860 705,366 6/30/2020

12669EEH5 292,755 146,833 145,922 146,833 152,720 6/30/2020

225458PN2 62,607 61,601 1,007 61,601 60,567 6/30/2020

36298XAA0 1,777,179 1,774,321 2,857 1,774,321 1,644,681 6/30/2020

45660LSP5 279,236 271,431 7,805 271,431 255,735 6/30/2020

76110HCB3 5,932 3,145 2,787 3,145 3,145 6/30/2020

79548KXS2 1,299 382 917 382 889 6/30/2020

92915KAC0 263,067 135,926 127,141 135,926 135,926 6/30/2020

92915XAE8 230,783 121,442 109,342 121,442 121,442 6/30/2020

92916NAB5 198,609 90,279 108,331 90,279 90,279 6/30/2020

92916PAC8 256,274 137,244 119,030 137,244 137,244 6/30/2020

92916UAB9 247,309 141,869 105,440 141,869 141,869 6/30/2020

92916YAE5 201,028 98,953 102,074 98,953 98,953 6/30/2020

92917TAE5 316,995 197,769 119,226 197,769 197,769 6/30/2020

Total $ 991,910

(4) The following table shows all impaired securities at June 30, 2020 in the aggregate 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:

a. Aggregate amount of unrealized losses:

1. Less than 12 Months $ 45,711,547

2. 12 Months or Longer $ 11,462,552

b. The aggregate related fair value

of securities with unrealized losses:

1. Less than 12 Months $ 709,018,459

2. 12 Months or Longer $ 226,974,539

(5) If the fair value of a loan-backed or structured security is less than its amortized cost basis at the balance sheet

date, the Company determines whether the impairment is other-than-temporary. Amortized cost basis includes

adjustments made to the cost of an investment for accretion, amortization, collection of cash and previous OTTI

recognized as a realized loss.

The general categories of information that the Company considers in reaching the conclusion that an impairment

is other-than-temporary are as follows:

Intent to Sell - if the Company intends to sell the loan-backed or structured security (that is, it has decided to sell

the security), an OTTI is considered to have occurred.

Intent and Ability to Hold - if the Company does not intend to sell the loan-backed or structured security, the

Company determines whether it has the intent and ability to retain the investment in the security for a period of

time sufficient to recover the amortized cost basis. If the Company does not have the intent and ability to retain

the investment for the time sufficient to recover the amortized cost basis, an OTTI shall be considered to have

occurred.

Recovery of the Amortized Cost Basis - if the Company does not expect to recover the entire amortized cost

basis of the security, the Company would be unable to assert that it will recover its amortized cost basis even if it

does not intend to sell the security and the entity has the intent and ability to hold. Therefore, in those situations,

an OTTI shall be considered to have occurred. In assessing whether the entire amortized cost basis of the security

will be recovered, the Company compares the present value of cash flows expected to be collected from the security

with the amortized cost basis of the security. If present value of cash flows expected to be collected is less than

the amortized cost basis of the security, the entire amortized cost basis of the security will not be recovered (that

is, a non-interest related decline exists), and an OTTI shall be considered to have occurred.

The Company conducts a thorough quarterly review of all loan-backed and structured security holdings to conclude

if the amortized cost basis of those securities is recoverable. This review is documented at a detailed level and

encompasses numerous factors and assumptions. The overall credit tracking process yields a variety of key data



7. 3

that supports the impairment decision making process. The review process and related assumptions are updated

quarterly based on trends in the marketplace.

As part of the quarterly review, the Company identifies securities whose ratio of credit enhancement to serious

delinquency does not exhibit ample protection against principal loss. Those securities are put through a more

detailed analysis which covers, among other factors, (a) an analysis of the underlying collateral characteristics;

(b) a review of the historical performance of the collateral in the deal; (c) structural analysis of the security; and

(d) cash flow scenario analysis.

The retrospective adjustment method is used to determine the amortized cost for the majority of loan-backed and

structured securities. For certain securities, the prospective adjustments methodology is utilized, including interest-

only securities and securities that have experienced an OTTI.

The market values for loan-backed and structured securities are obtained as follows:

1. For securities that are considered marketable - market values are received from third party pricing services or

by obtaining a bid price from brokerage firms engaged in the business of trading those securities.

2. For securities that were privately placed and for which no ready market exists - the Company establishes fair

market values using a matrix pricing system which considers key factors such as credit quality, industry sector,

size of the issuer and transaction structure. A limited portion of the private placement portfolio is priced

independently of the matrix system as described above.

E. Dollar Repurchase Agreements and/or Securities Lending Transactions

3) Collateral Sold or Received

b) None

F. Repurchase Agreements Transactions Accounted for as Secured Borrowing

None

G. Reverse Repurchase Agreements Transactions Accounted for as Secured Borrowing

None

H. Repurchase Agreements Transactions Accounted for as a Sale

None

I. Reverse Repurchase Agreements Transactions Accounted for as a Sale

None

M. Working Capital Finance Investments

None

N. Offsetting and Netting of Assets and Liabilities

None

6. Joint Ventures, Partnerships and Limited Liability Companies

No significant change

7. Investment Income


8. Derivative Instruments

A. Derivatives under SSAP No. 86-Derivatives

(8) The Company does not have any derivative contracts with financing premiums.

B. Derivatives under SSAP No. 108-Derivatives Hedging Variable Annuity Guarantees

The Company does not hold any derivatives accounted for under SSAP No. 108 Derivatives Hedging Variable Annuity

Guarantee ("SSAP No. 108").

9. Income Taxes

I. Alternative Minimum Tax (" AMT") Credit

The Coronavirus Aid, Relief and Economic Security (“CARES”) Act became effective on March 27, 2020. The CARES

Act is not expected to have a significant impact on corporate income tax. However, the CARES Act includes a corporate

AMT relief provision that provides the Company with an ability to accelerate half of its remaining AMT credit refund.

On April 17, 2020, the Company submitted a refund claim for its entire AMT credit balance of $83,584,372.



7. 4

10. Information Concerning Parent, Subsidiaries and Affiliates

A. Nature of Relationships

The Company has one wholly owned insurance subsidiary, Midwestern United Life Insurance Company

(“Midwestern”). The Company also has two wholly owned non-insurance subsidiaries, Voya America Equities, Inc.

(“VAE”), and Roaring River IV Holding, LLC ("RR4H"). RR4H has one wholly owned insurance subsidiary, Roaring

River IV, LLC ("RRIV"). On December 18, 2019, the Company's parent, Voya Financial, Inc., entered into a Master

Transaction Agreement (the “Resolution MTA”) with Resolution Life U.S. Holdings Inc. (“Resolution Life US”),

pursuant to which Resolution Life US will acquire certain of Voya Financial, Inc.'s assets, including the Company and

Security Life of Denver International Limited (“SLDI”) as well as several subsidiaries of the Company and one

subsidiary of SLDI. In addition, the Company will contribute RR4H, a subsidiary, to another Voya Financial, Inc.

affiliate. As part of the transaction, Voya Financial, Inc. has also agreed to reinsure to the Company certain in-scope

individual life insurance and annuities business assets of several of the Company’s current affiliates. This transaction

will result in Voya Financial, Inc.’s disposition of substantially all of its life insurance and legacy non-retirement annuity

business and related assets, and is expected to close by September 30, 2020 (collectively, the “Individual Life

Transaction”).

B. Transactions

On April 15, 2020, the Company paid a capital contribution of $41,000 to RR4H. On the same day, RR4H paid a

capital contribution of $41,000 to RRIV.

On March 16, 2020, the Company paid a capital contribution of $ 1,398,000 to RR4H. On the same day, RR4H paid

a capital contribution of $1,398,000 to RRIV.



7. 5

11. Debt

B. FHLB (Federal Home Loan Bank) Agreements

(1) The Company is a member of the FHLB of Topeka. Through its membership, the Company has conducted business

activity (issued funding agreements) with the FHLB. It is part of the Company’s strategy to utilize these funds for

spread lending purposes. The Company has determined the estimated maximum borrowing capacity as

$5,400,000,000. The Company has the ability to obtain funding from the FHLB based on a percentage of the value

of its assets and subject to the availability of eligible collateral. The limit across all programs is potentially up to

40% of the general account total net admitted assets, excluding Separate Accounts, of the Company, one quarter

in arrears, based on credit approval from FHLB of Topeka.

(2) FHLB Capital Stock

a. Aggregate Totals

1. Current Year 1 2 3

Total General Separate

2+3 Account Accounts

(a) Membership Stock-Class A $ 500,000 $ 500,000 $ —

(b) Membership Stock-Class B — — —

(c) Activity Stock 44,950,000 44,950,000 —

(d) Excess Stock 669,000 669,000 —

(e) Aggregate Total (a+b+c+d) 46,119,000 46,119,000 —

(f) Actual or estimatedBorrowing Capacity asDetermined by the Insurer $1,204,110,246 XXX XXX

2. Prior year-end 1 2 3



(a) Membership Stock-Class A $ 500,000 $ 500,000 $ —

(b) Membership Stock-Class B — — —

(c) Activity Stock 41,125,000 41,125,000 —

(d) Excess Stock 811,400 811,400 —

(e) Aggregate Total (a+b+c+d) 42,436,400 42,436,400 —

(f) Actual or estimatedBorrowing Capacity asDetermined by the Insurer $1,047,461,271 XXX XXX

b. Membership Stock (Class A and B) Eligible and Not Eligible for Redemption

Eligible for Redemption

1 2 3 4 5 6

Membership Stock

Current YearTotal

(2+3+4+5+6)

Not Eligiblefor

RedemptionLess Than 6

Months

6 months toLess Than 1

Year

1 to LessThan 3Years 3 to 5 Years

1. Class A $ 500,000 $ 500,000 $ — $ — $ — $ —

2. Class B — — — — — —



7. 6

(3) Collateral Pledged to FHLB

a. Amount Pledged as of June 30, 2020

1 2 3

Fair Value Carrying ValueAggregate Total

Borrowing

1. Current Year Total General and Separate Accounts

Total Collateral Pledged (Lines 2+3) $ 1,341,626,895 $ 1,017,869,659 $ 1,010,000,000

2. Current Year General Account

Total Collateral Pledged $ 1,341,626,895 $ 1,017,869,659 $ 1,010,000,000

3. Current Year Separate Accounts

Total Collateral Pledged $ — $ — $ —

4. Prior year-end Total General and Separate Accounts

Total Collateral Pledged $ 1,175,401,437 $ 982,966,697 $ 925,000,000

b. Maximum Amount Pledged During Reporting Period

1 2 3

Fair Value Carrying Value

Amount Borrowed at Time of Maximum Collateral

1. Current Year Total General and Separate Accounts

Maximum Collateral Pledged (Lines 2+3) $ 1,329,071,710 $ 1,027,434,537 $ 1,015,000,000

2. Current Year General Account

Maximum Collateral Pledged $ 1,329,071,710 $ 1,027,434,537 $ 1,015,000,000

3. Current Year Separate Accounts

Maximum Collateral Pledged $ — $ — $ —

4. Prior year-end Total General and Separate Accounts

Maximum Collateral Pledged $ 1,199,733,065 $ 985,610,711 $ 925,000,000



7. 7

(4) Borrowing from FHLB

a. Amount as of June 30, 2020

1. Current Year

1 2 3 4

Total General SeparateFunding AgreementsReserves Established2+3 Account Accounts

(a) Debt $ — $ — $ — XXX

(b) Funding Agreements 1,010,000,000 1,010,000,000 — 918,986,449

(c) Other — — — XXX

(d) Aggregate Total (a+b+c) 1,010,000,000 1,010,000,000 — 918,986,449

2. Prior Year-end

1 2 3 4

Total General SeparateFunding AgreementsReserves Established2+3 Account Accounts

(a) Debt $ — $ — $ — XXX

(b) Funding Agreements 925,000,000 925,000,000 — 864,338,903

(c) Other — — — XXX

(d) Aggregate Total (a+b+c) 925,000,000 925,000,000 — 864,338,903

b. Maximum Amount During 2020

1 2 3



1. Debt $ — $ — $ —

2. Funding Agreements 1,015,000,000 1,015,000,000 —

3. Other — — —

4. Aggregate Total (Lines 1+2+3) 1,015,000,000 1,015,000,000 —

c. FHLB - Prepayment Obligations

Does the Company have prepaymentobligations under the following arrangements

(YES/NO)?

1. Debt No

2. Funding Agreements Yes

3. Other No



7. 8

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

Postretirement Benefit Plans

A. Defined Benefit Plan

The Company sponsors a non-contributory supplemental retirement non-qualified plan covering U.S. employees. As

of June 30, 2020, the Company accrued in accordance with actuarially determined amounts with an offset to the pension

cost accrual for the incremental asset amortization.

A summary of the net periodic benefit cost of the Company’s benefit plans are as follows at June 30, 2020 and

December 31, 2019:

(4) Components of net periodic benefit cost:

Pension Benefits Postretirement Benefits

Special orContractual Benefits

Per SSAP No. 11

2020 2019 2020 2019 2020 2019

a. Service cost $ — $ — $ — $ — $ — $ —

b. Interest cost 289,812 706,402 2,933 8,205 — —

c. Expected return on plan assets — — — — — —

d. Transition asset or obligation 288,299 576,606 — — — —

e. Gains and losses 588,998 534,497 (84,763) (190,096) — —

f. Prior service cost or credit — — (55,319) (110,638) — —

g. Gain or loss recognized due to asettlement or curtailment — — — — — —

h. Total net periodic benefit cost $ 1,167,109 $ 1,817,505 $ (137,149) $ (292,529) $ — $ —

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


14. Liabilities, Contingencies, and Assessments

F. All Other Contingencies

Legal Proceedings -The Company is involved in threatened or pending lawsuits/arbitrations arising from the normal

conduct of business. Due to the climate in insurance and business litigation/arbitration, suits against the Company

sometimes include claims for substantial compensatory, consequential or punitive damages and other types of relief.

Certain claims are asserted as class actions, purporting to represent a group of similarly situated individuals. Such

litigation includes Zhou v. Voya Financial, Inc. and Security Life of Denver (USDC District of Colorado, No. 1:19-

cv-02781)(filed September 27, 2019), a putative class action in which the plaintiff alleges that the Company did not

properly administer certain universal life insurance policies. The plaintiff claims that the Company did not timely credit

interest earned on the payment of her premiums and incorrectly calculated the amount of interest that the Company

credited to her account. In addition to the class allegations, the lawsuit alleges breach of contract and conversion and

seeks declaratory and injunctive relief. The Company denies the allegations, which it believes are without merit, and

intends to defend the case vigorously.

In addition, the life insurance industry, including the Company, has experienced litigation alleging, for example, that

insurance companies have breached the terms of their life insurance policies by increasing the insurance rates of the

applicable policies inappropriately or by factoring into rate adjustments elements not disclosed under the terms of the

applicable policies, and, consequently, unjustly enriched themselves. This litigation is generally known as cost of

insurance litigation. While it is not possible to forecast the outcome of such lawsuits/arbitrations, in light of existing

insurance, reinsurance and established reserves, it is the opinion of management that the disposition of such lawsuits/

arbitrations will not have a material adverse effect on the Company's operations or financial position. This litigation

includes Barnes v. Security Life of Denver (USDC District of Colorado, No. 1:18-cv-00718) (filed March 27, 2018), a

putative class action in which the plaintiff alleges that his insurance policy only permitted the Company to rely upon

his expected future mortality experience to establish and increase his cost of insurance, but the Company instead relied

upon other, non-disclosed factors to do so. Plaintiff alleges breach of contract and conversion claims against the

Company and also seeks declaratory relief. The Company denies the allegations in the complaint, believes the complaint

to be without merit, and intends to defend the matter vigorously. This litigation also includes Advance Trust & Life

Escrow Services, LTA v. Security Life of Denver (USDC District of Colorado, No. 1:18-cv-01897) (filed July 26, 2018),

a putative class action in which Plaintiff alleges that two specific types of universal life insurance policies only permitted

the Company to rely upon the policyholder’s expected future mortality experience to establish and increase the cost of

insurance, but the Company instead relied upon other, non-disclosed factors not only in the administration of the policies

over time, but also in the decision to increase insurance costs beginning in approximately October 2015. Plaintiff alleges

a breach of contract and seeks class certification. The Company denies the allegations in the complaint, believes the

complaint to be without merit, and intends to defend the lawsuit vigorously.

Regulatory Matters - As with many financial services companies, the Company periodically receive informal and formal

requests for information from various state and federal governmental agencies and self-regulatory organizations in

connection with examinations, inquiries, investigations and audits of the products and practices of the Company or the

financial services industry. Some of the investigations, examinations, audits and inquiries could result in regulatory



7. 9

action against the Company. The potential outcome of such regulatory action is difficult to predict but could subject

the Company to adverse consequences, including, but not limited to, additional payments to beneficiaries, settlement

payments, penalties, fines and other financial liability, and changes to the Company's policies and procedures. The

potential economic consequences cannot be predicted, but management does not believe that the outcome of any such

action will have a material adverse effect on the Company's financial position. It is the practice of the Company and

its affiliates to cooperate fully in these matters.

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

None

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

None

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

None

20. Fair Value Measurements

A. Fair Value Measurements at Reporting Date

(1) The table below shows assets and liabilities measured and reported at net asset value ("NAV") or fair value in

which the fair value measurements use quoted prices in active markets for identical assets or liabilities (Level 1),

significant other observable inputs (Level 2) and significant unobservable inputs (Level 3) as of June 30, 2020:

Description for each class of asset or liability (Level 1) (Level 2) (Level 3)Net Asset Value

(NAV) Total

a. Assets at fair value

Common stock $ — $ 46,119,000 $ 1,591,197 $ — $ 47,710,197

Derivatives assets

Equity contracts — 40,017,150 167,289,745 — 207,306,895

Foreign exchange contracts — 54,769 — — 54,769

Interest rate contracts — 854,353 — — 854,353

Total Derivatives $ — $ 40,926,272 $ 167,289,745 $ — $ 208,216,017

Separate account assets 1,372,302,313 22,831,362 — — 1,395,133,675

Total assets at fair value/NAV $ 1,372,302,313 $ 109,876,634 $ 168,880,942 $ — $ 1,651,059,889

b. Liabilities at fair value

Deposit type contracts $ — $ 135,240,225 $ — $ — $ 135,240,225

Derivatives liabilities —

Equity contracts — 17,726,556 — — 17,726,556

Foreign exchange contracts — 245,705 — — 245,705

Interest rate contracts — 2,426,674 — — 2,426,674

Total return swaps — — 47,394,740 — 47,394,740

Total Derivatives $ — $ 20,398,935 $ 47,394,740 $ — $ 67,793,675

Separate account liabilities — — — — —

Total liabilities at fair value $ — $ 155,639,160 $ 47,394,740 $ — $ 203,033,900



7. 10

(2) The table below summarizes the changes in fair value of the Company’s assets and liabilities using significant

unobservable inputs (Level 3) during the reporting period of April 1, 2020 to June 30, 2020:

Description

Beginningbalance at April

1, 2020Transfers

into Level 3Transfers out

of Level 3

Total gainsand (losses)included inNet Income

Total gainsand (losses)included in

Surplus Purchases Issuances Sales Settlements

Ending balanceat June 30,

2020

a. Assets

Common Stock $ 5,939,958 $ — $ — $ 2,804,112 $ (2,034,291) $ — $ — $ (4,343,160) $ (775,422) $ 1,591,197

Derivatives

Equity contracts 83,225,296 — — (4,310,946) 81,298,481 14,250,556 — (7,173,642) — 167,289,745

Total Assets $ 89,165,254 $ — $ — $ (1,506,834) $ 79,264,190 $ 14,250,556 $ — $ (11,516,802) $ (775,422) $ 168,880,942

b. Liabilities

Derivatives

Total return swaps $ (48,285,585) $ — $ — $ 1,218,542 $ (327,697) $ — $ — $ — $ — $ (47,394,740)

Total Liabilities $ (48,285,585) $ — $ — $ 1,218,542 $ (327,697) $ — $ — $ — $ — $ (47,394,740)

There were no transfers in and out of Level 3 during the reporting period of April 1, 2020 to June 30, 2020.

(3) The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities

(Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure fair value fall

within different levels of the hierarchy, the category level is based on the lowest priority level input that is significant

to the fair value measurement of the instrument.

Financial assets and liabilities recorded at fair value on the balance sheet are categorized as follows:

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

Level 2 - Quoted prices in markets that are not active or inputs that are observable either directly or indirectly

for substantially the full term of the asset or liability. Level 2 inputs include the following:

• Quoted prices for similar assets or liabilities in active markets;

• Quoted prices for identical or similar assets or liabilities in non-active markets;

• Inputs other than quoted market prices that are observable; and

• Inputs that are derived principally from or corroborated by observable market data through correlation

or other means.

Level 3 - Prices or valuation techniques that require inputs that are both unobservable and significant to the

overall fair value measurement. These valuations, whether derived internally or obtained from a third party,

use critical assumptions that are not widely available to estimate market participant expectations in valuing

the asset or liability.

(4) Fair values are based on quoted market prices when available. When market prices are not available, fair value is

generally estimated using discounted cash flow analyses, incorporating current market inputs for similar financial

instruments with comparable terms and credit quality (matrix pricing). In instances where there is little or no market

activity for the same or similar instruments, the Company estimates fair value using methods, models and

assumptions that management believes market participants would use to determine a current transaction price.

These valuation techniques involve some level of management estimation and judgment which becomes significant

with increasingly complex instruments or pricing models. Where appropriate, adjustments are included to reflect

the risk inherent in a particular methodology, model or input used.

Derivatives are carried at fair value, which is determined using the Company’s derivative accounting system in

conjunction with observable key financial data from third-party sources, such as yield curves, exchange rates, S&P

500 Index prices and London Interbank Offered Rates ("LIBOR") and Overnight Index Swap Rates ("OIS"). For

those derivatives that are unable to be valued by the accounting system, the Company typically utilizes values

established by third-party brokers. Derivatives which qualify for special hedge accounting treatment are reported

in a manner that is consistent with the accounting for the hedged asset or liability.

(5) See Note 20A(1-4) for disclosures on derivative assets and liabilities.

B. Other Fair Value Disclosures

None



7. 11

C. Aggregate Fair Value Disclosures

The following table shows all financial instruments and the level within the fair value or NAV hierarchy in which the

fair value measurements fall as of June 30, 2020:

Type of Financial InstrumentAggregate Fair

ValueAdmitted

Assets (Level 1) (Level 2) (Level 3)Net Asset Value

(NAV)

Not Practicable (Carrying

Value)

Assets

Bonds $ 11,030,313,480 $ 9,457,412,017 $ 413,907,001 $10,193,191,558 $ 423,214,921 $ — $ —

Preferred stock 5,521,929 5,547,600 2,025,600 — 3,496,329 — —

Common stock 47,710,197 47,710,196 — 46,119,000 1,591,197 — —

Mortgage loans 1,334,796,249 1,273,141,706 — — 1,334,796,249 — —

Contract loans 990,553,513 990,553,513 990,553,513 — — — —

Other invested assets 60,082,113 49,690,882 — 60,038,055 44,058 — —

Cash, cash equivalents and short-terminvestments 11,328,432 11,328,466 11,328,432 — — — —

Derivatives

Equity contracts 207,306,895 207,306,895 — 40,017,150 167,289,745 — —

Foreign exchange contracts 3,069,696 1,208,519 — 3,069,696 — — —

Interest rate contracts 916,412 854,353 — 916,412 — — —

Separate account assets 1,395,133,675 1,395,133,675 1,372,302,313 22,831,362 — — —

Total Assets $ 15,086,732,591 $ 13,439,887,822 $ 2,790,116,859 $10,366,183,233 $ 1,930,432,499 $ — $ —

Liabilities

Supplementary contracts andimmediate annuities $ 33,966,236 $ 20,983,096 $ — $ — $ 33,966,236 $ — $ —

Deposit type contracts 1,147,267,678 1,054,226,674 — 1,147,267,678 — — —

Derivatives

Equity contracts 17,726,556 17,726,556 — 17,726,556 — — —

Foreign exchange contracts (207,050) 571,030 — (207,050) — — —

Interest rate contracts 6,375,422 2,426,674 — 6,375,422 — — —

Total return swaps 47,394,740 47,394,740 — — 47,394,740 — —

Total Liabilities $ 1,252,523,582 $ 1,143,328,770 $ — $ 1,171,162,606 $ 81,360,976 $ — $ —

D. Reasons Not Practicable to Estimate Fair Value

None

E. Investments measured using the NAV practical expedient pursuant to SSAP No. 100R, Fair Value

None

21. Other Items

C. Other Disclosures

The spread of the COVID-19 virus has caused significant financial market volatility, economic uncertainty, and

interruptions to normal business activities. As of the date of issuance of these financial statements, the full impact to

the Company is unknown since the outbreak is still evolving. On April 15, 2020, the NAIC adopted the following

guidance: INT 20-02: Extension of Ninety-Day Rule for Impact of COVID-19, INT 20-03: Troubled Debt Restructuring

Due to COVID-19, and INT 20-04: Mortgage Loan Impairment Assessment Due to COVID-19. On May 20, 2020, the

NAIC adopted the following guidance: INT 20-05: Investment Income Due and Accrued and INT 20-07: Troubled

Debt Restructuring of Certain Debt Instruments Due to COVID-19. On July 22, 2020, the NAIC adopted the following

guidance: INT 20-08: COVID-19 Premium Refunds, Limited-Time Exception, Rate Reductions and Policyholder

Dividends. The Company is evaluating what, if any, impacts this guidance may have on the financial statements.

The mandatory business shutdowns and stay-at-home orders implemented in most states have required the Company

to make significant changes to the day-to-day conduct of business. The Company’s business has been deemed an

essential service in most or all jurisdictions and employees have continued working, primarily from home. Based on

the Company’s experience to date, this transition to a work-from-home arrangement has been very successful. The

Company has not experienced any material impact to internal controls over financial reporting due to the COVID-19

pandemic. The Company is continually monitoring and assessing the COVID-19 situation on internal controls to

minimize the impact to design and operating effectiveness.

Because both the public health and economic circumstances are changing so rapidly at present, it is impossible to predict

how COVID-19 will affect the Company’s financial condition. Absent a further significant and prolonged market

shock, however, the Company does not anticipate any material effect on its balance sheet, capital or liquidity.

22. Events Subsequent

Type I – Recognized Subsequent Events

The Company is not aware of any events occurring subsequent to June 30, 2020 that may have a material effect on the

Company’s financial statements. The Company evaluated events subsequent to June 30, 2020 through August 13, 2020, the

date the statutory financial statements were available to be issued.



7. 12

Type II – Nonrecognized Subsequent Events

The Company is not aware of any events occurring subsequent to June 30, 2020 that may have a material effect on the

Company’s financial statements. The Company evaluated events subsequent to June 30, 2020 through August 13, 2020, the

date the statutory financial statements were available to be issued.

23. Reinsurance


24. Retrospectively Rated Contracts & Contracts Subject to Redetermination

E. Risk Sharing Provisions of the Affordable Care Act ("ACA")

None

25. Change in Incurred Losses and Loss Adjustment Expenses

A. Changes in Incurred Losses and Loss Adjustment Expenses of prior years

Reserves as of December 31, 2019 were $368,105,078 . As of June 30, 2020, $71,295,982 has been paid for incurred

losses and loss adjustment expenses attributable to insured events of prior years. Reserves remaining for prior years are

now $0 Reserves were recaptured by ReliaStar Life Insurance Company, an affiliate, during first quarter 2020.

B. Significant Changes in Methodologies and Assumptions

None

26. Intercompany Pooling Arrangements

None

27. Structured Settlements

None

28. Health Care Receivables

None

29. Participating Policies


30. Premium Deficiency Reserves

None

31. Reserves for Life Contracts and Annuity Contracts


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


33. Analysis of Life Actuarial Reserves by Withdrawal Characteristics


34. Premium & Annuity Considerations Deferred and Uncollected


35. Separate Accounts


36. 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 [ X ] No [ ]

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

Changes in ownership of entities, dissolution of entities, mergers and creation of entities during the quarter.

3.4 Is the reporting entity publicly traded or a member of a publicly traded group? Yes [ X ] No [ ]

3.5 If the response to 3.4 is yes, provide the CIK (Central Index Key) code issued by the SEC for the entity/group. 0000848338

4.1 Has the reporting entity been a party to a merger or consolidation during the period covered by this statement? Yes [ ] No [ X ]If yes, complete and file the merger history data file with the NAIC.

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

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 [ X ] N/A [ ]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. 12/31/2019

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. 12/31/2015

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). 04/10/2017

6.4 By what department or departments?

Colorado

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 [ ] No [ ] N/A [ X ]

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

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:

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.

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

Voya Alternative Asset Management LLC New York, NY NO NO NO YES

Voya America Equities, Inc. Windsor, CT NO NO NO YES

Voya Financial Partners, LLC Windsor, CT NO NO NO YES

Voya Financial Advisors, Inc. Des Moines, IA NO NO NO YES

Voya Investment Management Co. LLC New York, NY NO NO NO YES

Voya Investment Management LLC Atlanta, GA NO NO NO YES

Voya Investments Distributor, LLC Scottsdale, AZ NO NO NO YES

Voya Investments, LLC Scottsdale, AZ NO NO NO YES

Voya Retirement Advisors, LLC Windsor, CT NO NO NO 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: $ 0

INVESTMENT

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

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

Investments in other pledged collateral of $1,420,037

12. Amount of real estate and mortgages held in other invested assets in Schedule BA: $ 0 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 $ 62,456,721 $ 65,628,603 14.22 Preferred Stock $ 0 $ 0 14.23 Common Stock $ 145,121,951 $ 146,662,179 14.24 Short-Term Investments $ 0 $ 0 14.25 Mortgage Loans on Real Estate $ 0 $ 0 14.26 All Other $ 129,440,114 $ 109,514,527 14.27 Total Investment in Parent, Subsidiaries and Affiliates (Subtotal Lines 14.21 to 14.26) $ 337,018,786 $ 321,805,309 14.28 Total Investment in Parent included in Lines 14.21 to 14.26 above $ 0 $ 0

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 [ ] N/A [ ]

If no, attach a description with this statement.

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. $ 0

16.2 Total book adjusted/carrying value of reinvested collateral assets reported on Schedule DL, Parts 1 and 2 $ 0

16.3 Total payable for securities lending reported on the liability page. $ 0

8.1



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

Bank of New York Mellon One Wall Street

New York, NY 10286

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)

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

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. ["…that have access to the investment accounts"; "…handle securities"]

1Name of Firm or Individual

2Affiliation

Voya Investment Management LLC A

BlackRock Financial Management, Inc. U

Hannover Life Reassurance Company of America U

Blackstone Alternative Asset Management L.P. U

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 invested 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 invested assets? Yes [ ] No [ X ]

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

108934 Voya Investment Management LLC MZJU01BGQ7J1KULQSB89 SEC DS

107105 BlackRock Financial Management, Inc. 549300LVXYIVJKE13M84 SEC NO

Hannover Life Reassurance Company of America 529900K1TE875UAY4J22 not registered DS

107580 Blackstone Alternative Asset Management L.P. 549300R4EZHU6DUS3S67 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:

19. By self-designating 5GI securities, the reporting entity is certifying the following elements for each self-designated 5GI security:

a. Documentation necessary to permit a full credit analysis of the security does not exist or an NAIC CRP credit rating for an FE or PL security is not available.

b. Issuer or obligor is current on all contracted interest and principal payments.

c. The insurer has an actual expectation of ultimate payment of all contracted interest and principal.

Has the reporting entity self-designated 5GI securities? Yes [ X ] No [ ]

20. By self-designating PLGI securities, the reporting entity is certifying the following elements of each self-designated PLGI security:

a. The security was purchased prior to January 1, 2018.

b. The reporting entity is holding capital commensurate with the NAIC Designation reported for the security.

c. The NAIC Designation was derived from the credit rating assigned by an NAIC CRP in its legal capacity as a NRSRO which is shown on a current private letter rating held by the insurer and available for examination by state insurance regulators.

d. The reporting entity is not permitted to share this credit rating of the PL security with the SVO.

Has the reporting entity self-designated PLGI securities? Yes [ ] No [ X ]

21. By assigning FE to a Schedule BA non-registered private fund, the reporting entity is certifying the following elements of each self-designated FE fund:

a. The shares were purchased prior to January 1, 2019.

b. The reporting entity is holding capital commensurate with the NAIC Designation reported for the security.

c. The security had a public credit rating(s) with annual surveillance assigned by an NAIC CRP in its legal capacity as an NRSRO prior to January 1, 2019.

d. The fund only or predominantly holds bonds in its portfolio.

e. The current reported NAIC Designation was derived from the public credit rating(s) with annual surveillance assigned by an NAIC CRP in its legal capacity as an NRSRO.

f. The public credit rating(s) with annual surveillance assigned by an NAIC CRP has not lapsed.

Has the reporting entity assigned FE to Schedule BA non-registered private funds that complied with the above criteria? Yes [ ] No [ X ]

8.2



PART 2 - LIFE AND ACCIDENT AND HEALTH COMPANIES/FRATERNAL BENEFIT SOCIETIES

Life and Accident Health Companies/Fraternal Benefit Societies:

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 $ 0

1.12 Residential Mortgages $ 0

1.13 Commercial Mortgages $ 1,271,798,041

1.14 Total Mortgages in Good Standing $ 1,271,798,041

1.2 Long-Term Mortgages In Good Standing with Restructured Terms

1.21 Total Mortgages in Good Standing with Restructured Terms $ 0

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



1.33 Commercial Mortgages $ 1,343,666

1.34 Total Mortgages with Interest Overdue more than Three Months $ 1,343,666

1.4 Long-Term Mortgage Loans in Process of Foreclosure



1.43 Commercial Mortgages $ 0

1.44 Total Mortgages in Process of Foreclosure $ 0

1.5 Total Mortgage Loans (Lines 1.14 + 1.21 + 1.34 + 1.44) (Page 2, Column 3, Lines 3.1 + 3.2) $ 1,273,141,707

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



1.63 Commercial Mortgages $ 0

1.64 Total Mortgages Foreclosed and Transferred to Real Estate $ 0

2. Operating Percentages:

2.1 A&H loss percent 500.000 %

2.2 A&H cost containment percent 0.000 %

2.3 A&H expense percent excluding cost containment expenses 0.000 %

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

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

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

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

4. Is the reporting entity licensed or chartered, registered, qualified, eligible or writing business in at least two states? Yes [ X ] No [ ]

4.1 If no, does the reporting entity assume reinsurance business that covers risks residing in at least one state other than the state of domicile of the reporting entity? Yes [ ] No [ ]

Fraternal Benefit Societies Only:

5.1 In all cases where the reporting entity has assumed accident and health risks from another company, provisions should be made in this statement on account of such reinsurances for reserve equal to that which the original company would have been required to establish had it retained the risks. Has this been done? Yes [ ] No [ ] N/A [ ]

5.2 If no, explain:

6.1 Does the reporting entity have outstanding assessments in the form of liens against policy benefits that have increased surplus? Yes [ ] No [ ]

6.2 If yes, what is the date(s) of the original lien and the total outstanding balance of liens that remain in surplus?

Date Outstanding Lien Amount

0

9


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

1

NAICCompany

Code

2

IDNumber

3

EffectiveDate

4

Name of Reinsurer

5

Domiciliary Jurisdiction

6

Type of Reinsurance

Ceded

7

Type of Business

Ceded

8

Type of Reinsurer

9

Certified Reinsurer

Rating(1 through 6)

10EffectiveDate ofCertified

Reinsurer Rating

NONE

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

(a)

2

Life InsurancePremiums

3

AnnuityConsiderations

Accident and Health Insurance

Premiums, Including Policy,

Membershipand Other Fees

OtherConsiderations

TotalColumns

2 Through 5Deposit-Type

Contracts1. Alabama AL L 1,246,792 0 0 0 1,246,792 0 2. Alaska AK L 626,639 0 0 0 626,639 0 3. Arizona AZ L 7,720,420 0 0 0 7,720,420 0 4. Arkansas AR L 1,154,737 0 84 0 1,154,821 0 5. California CA L 84,680,142 626 0 0 84,680,768 0 6. Colorado CO L 6,141,962 1 0 0 6,141,963 0 7. Connecticut CT L 7,173,085 0 0 0 7,173,085 0 8. Delaware DE L 4,210,149 0 0 0 4,210,149 0 9. District of Columbia DC L 427,697 0 0 0 427,697 0

10. Florida FL L 32,509,553 0 2,096 0 32,511,649 0 11. Georgia GA L 8,139,943 0 370 0 8,140,314 0 12. Hawaii HI L 9,560,327 0 44 0 9,560,371 0 13. Idaho ID L 1,824,008 0 0 0 1,824,008 0 14. Illinois IL L 19,429,331 0 0 0 19,429,331 0 15. Indiana IN L 3,772,935 2 0 0 3,772,937 0 16. Iowa IA L 3,958,779 0 0 0 3,958,779 0 17. Kansas KS L 2,020,655 0 0 0 2,020,655 250,000,000 18. Kentucky KY L 2,211,054 0 0 0 2,211,054 0 19. Louisiana LA L 2,131,000 0 0 0 2,131,000 0 20. Maine ME L 563,601 0 181 0 563,782 0 21. Maryland MD L 3,960,760 0 0 0 3,960,760 0 22. Massachusetts MA L 8,941,676 0 0 0 8,941,676 0 23. Michigan MI L 7,640,842 0 231 0 7,641,073 0 24. Minnesota MN L 5,324,599 0 0 0 5,324,599 0 25. Mississippi MS L 900,817 0 17 0 900,834 0 26. Missouri MO L 6,088,926 3 0 0 6,088,929 0 27. Montana MT L 561,457 0 0 0 561,457 0 28. Nebraska NE L 1,243,500 4 0 0 1,243,504 0 29. Nevada NV L 3,769,994 0 51 0 3,770,044 0 30. New Hampshire NH L 644,991 0 0 0 644,991 0 31. New Jersey NJ L 13,727,169 0 0 0 13,727,169 0 32. New Mexico NM L 868,019 0 0 0 868,019 0 33. New York NY Q 15,123,517 0 181 0 15,123,697 0 34. North Carolina NC L 6,137,154 910 4,460 0 6,142,524 0 35. North Dakota ND L 748,266 0 0 0 748,266 0 36. Ohio OH L 10,233,630 0 0 0 10,233,630 0 37. Oklahoma OK L 1,669,712 0 0 0 1,669,712 0 38. Oregon OR L 2,502,008 0 0 0 2,502,008 0 39. Pennsylvania PA L 11,287,987 0 0 0 11,287,987 0 40. Rhode Island RI L 847,838 0 0 0 847,838 0 41. South Carolina SC L 3,999,136 1,180 223 0 4,000,539 0 42. South Dakota SD L 361,031 0 0 0 361,031 0 43. Tennessee TN L 3,006,557 0 0 0 3,006,557 0 44. Texas TX L 24,491,194 52 0 0 24,491,246 0 45. Utah UT L 2,493,799 0 0 0 2,493,799 0 46. Vermont VT L 108,373 0 0 0 108,373 0 47. Virginia VA L 5,919,993 160 96 0 5,920,249 0 48. Washington WA L 11,579,622 107 0 0 11,579,729 0 49. West Virginia WV L 270,965 0 45 0 271,010 0 50. Wisconsin WI L 2,936,784 0 0 0 2,936,784 0 51. Wyoming WY L 1,040,263 0 0 0 1,040,263 0 52. American Samoa AS N 0 0 0 0 0 0 53. Guam GU L 4,292,881 0 0 0 4,292,881 0 54. Puerto Rico PR L 182,205 0 0 0 182,205 0 55. U.S. Virgin Islands VI L 31,274 0 0 0 31,274 0 56. Northern Mariana Islands MP N 0 0 0 0 0 0 57. Canada CAN N 156,665 0 0 0 156,665 0 58. Aggregate Other Aliens OT XXX 59,402,316 0 0 0 59,402,316 0 59. Subtotal XXX 421,998,728 3,044 8,079 0 422,009,851 250,000,000 90. Reporting entity contributions for employee benefits

plans XXX 0 0 0 0 0 0 91. Dividends or refunds applied to purchase paid-up

additions and annuities XXX 744,024 0 0 0 744,024 0 92. Dividends or refunds applied to shorten endowment

or premium paying period XXX 0 0 0 0 0 0 93. Premium or annuity considerations waived under

disability or other contract provisions XXX 2,409,101 0 0 0 2,409,101 0 94. Aggregate or other amounts not allocable by State XXX 0 0 0 0 0 0 95. Totals (Direct Business) XXX 425,151,852 3,044 8,079 0 425,162,975 250,000,000 96. Plus Reinsurance Assumed XXX 342,630,009 0 76,699,664 0 419,329,673 0 97 Totals (All Business) XXX 767,781,861 3,044 76,707,743 0 844,492,648 250,000,000 98. Less Reinsurance Ceded XXX 737,937,114 13,113 182,127,332 0 920,077,559 0 99. Totals (All Business) less Reinsurance Ceded XXX 29,844,747 (10,069) (105,419,589) 0 (75,584,911) 250,000,000

DETAILS OF WRITE-INS58001. ZZZ Other alien XXX 59,402,316 0 0 0 59,402,316 0 58002. XXX58003. XXX58998. 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 59,402,316 0 0 0 59,402,316 0

9401. XXX9402. XXX9403. XXX9498. 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

(a) Active Status Counts:L - Licensed or Chartered - Licensed Insurance carrier or domiciled RRG 53 R - Registered - Non-domiciled RRGs 0 E - Eligible - Reporting entities eligible or approved to write surplus lines in the state 0 Q - Qualified - Qualified or accredited reinsurer 1 N - None of the above - Not allowed to write business in the state 3

11

12

Entity Name

Insurer/Non-

insurer FEIN NAIC State

Voya Financial, Inc. 52-1222820 DE

Pen-Cal Administrators, Inc. 94-2695108 CA

SLD Service Company, LLC 84-4774506 DE

RL Payroll Management Company, LLC 85-0526803 DE

IIPS OF FLORIDA, LLC FL

Security Life Assignment Corporation 84-1437826 CO

Security Life of Denver Insurance Company Insurer 84-0499703 68713 CO

Midwestern United Life Insurance Company Insurer 35-0838945 66109 IN

Pomona Capital VII, L.P. DE

Pomona Energy Partners US, L.P. DE

Pomona Voya (US) Holdings Co-Investment II, L.P. DE

Pomona Voya (US) Holdings IV, L.P. DE

Pomona Voya (US) Holdings V L.P. DE

Pomona Voya (US) Holdings V-A, L.P. DE

Roaring River IV Holding, LLC 46-3607309 DE

Roaring River IV, LLC Insurer 80-0955075 15365 MO

The Voya Proprietary Alpha Fund, LLC 20-8811107 DE

Voya America Equities, Inc. 84-1251388 CO

Voya Pomona Asia Pacific Private Equity Co-Invest I L.P. DE

RiverRoch LLC DE

Oconee Real Estate Holdings LLC 85-1578755 DE

Security Life of Denver International Limited Insurer 98-0138339 15321 AZ

Roaring River II, Inc. Insurer 27-2278894 14007 AZ

Voya Custom Investments LLC 27-2278894 DE

SLDI Georgia Holdings, Inc. 27-1108872 GA

Voya II Custom Investments LLC 27-1108872 DE

Rancho Mountain Properties, Inc. 27-2987157 DE

Voya Financial Products Company, Inc. 26-1956344 DE

Voya Holdings Inc. 02-0488491 CT

Voya Benefits Company, LLC 83-0965809 DE

ILICA LLC 06-1067464 CT

ReliaStar Life Insurance Company Insurer 41-0451140 67105 MN


Parent/Subsidiary listing is not repeated





ReliaStar Life Insurance Company of New York Insurer 53-0242530 61360 NY

Roaring River, LLC Insurer 26-3355951 13583 MO


RiverRoch LLC DE


Voya Financial Advisors, Inc. 41-0945505 MN

Voya Institutional Trust Company 46-5416028 CT

Voya Insurance Solutions, Inc. 06-1465377 CT

Voya International Nominee Holdings, Inc. 06-0952776 CT

Voya Investment Management LLC 58-2361003 DE

Voya Capital, LLC 86-1020892 DE

Voya Funds Services, LLC 86-1020893 DE

Voya Investments Distributor, LLC 03-0485744 DE

Voya Investments, LLC 03-0402099 AZ

Voya Investment Management Alternative Assets LLC 13-4038444 DE

ING Pomona Private Equity Management (Luxembourg) S.A. LUX

Pomona Capital Secondary Co-Investment, L.P. DE

Voya Alternative Asset Management Ireland Limited IRL

Voya Alternative Asset Management LLC 13-3863170 DE


Voya Multi-Strategy Opportunity Fund LLC DE

Voya CML GP LLC DE

Voya TALF GP LLC DE

Voya TALF Opportunity Fund LP DE

Voya Furman Selz Investments III LLC 13-4127836 DE

Voya Pomona Holdings LLC 13-4152011 DE

Pomona G.P. Holdings LLC 13-4150600 DE

Opportunity Investor P Associates, L.P. DE

Opportunity Investor P, L.P. DE

Opportunity Investor P Secondary Associates, LLC DE

Opportunity Investor P Associates, L.P. DE


Pomona Associates V, LP 13-4197230 DE

Pomona Associates VI, LP 20-1779011 DE

Pomona Associates VII, L.P. 26-1701070 DE



Pomona Energy Partners, L.P. DE

Pomona Associates VIII, L.P. 37-1698452 DE

Pomona Investors III, L.P. 13-4150966 DE

Pomona Investors IV, L.P. 59-3794146 DE

Pomona Investors V L.P. 26-1939518 DE

Pomona Primary Associates III LLC 13-4150602 DE

Pomona Holdings Associates III LLC 13-4150970 DE

Pomona Investors III, L.P. 13-4150966 DE

Pomona Primary Associates IV LLC 59-3794146 DE

Pomona Investors IV, L.P. 59-3794146 DE

Pomona Primary Associates V LLC 26-1939443 DE

Pomona Investors V L.P. 26-1939518 DE

Pomona Secondary Associates V LLC 13-4196882 DE

Pomona Associates V, LP 13-4197230 DE

Pomona Secondary Associates VI LLC 20-1779002 DE

SCHEDULE Y - INFORMATION CONCERNING ACTIVITIES OF INSURER MEMBERS OF A HOLDING COMPANY GROUP

PART 1 - ORGANIZATIONAL CHART

12.1

Entity Name

Insurer/Non-

insurer FEIN NAIC State

SCHEDULE Y - INFORMATION CONCERNING ACTIVITIES OF INSURER MEMBERS OF A HOLDING COMPANY GROUP

PART 1 - ORGANIZATIONAL CHART

Pomona Associates VI, LP 20-1779011 DE

Pomona Secondary Associates VII LLC 26-1668484 DE

Pomona Associates VII, L.P. 26-1701070 DE


Pomona Secondary Associates VIII, LLC 46-0666750 DE

Pomona Associates VIII, L.P. 37-1698452 DE

Pomona Secondary Co-Investment Associates, LLC DE

Pomona Secondary Co-Investment Associates, LP DE

Pomona Capital Secondary Co-Investment, L.P. DE

Pomona Secondary Co-Investment Associates, LP DE


Pomona Voya (US) Holdings Associates II LLC 36-4577583 DE

Pomona Voya (US) Holdings Associates II, L.P. 37-1513803 DE

Pomona Voya (US) Holdings Co- Investment Associates II, L.P. DE


Pomona Voya (US) Holdings Co-Investment Associates L.P. DE

Pomona Voya (US) Holdings Associates II, L.P. 37-1513803 DE


Pomona Voya (US) Holdings Associates III LLC 16-1771993 DE

Pomona Voya (US) Holdings Associates III LP DE

Pomona Voya (US) Holdings Associates III LP DE

Pomona Voya (US) Holdings Associates IV LLC 26-1705350 DE

Pomona Voya (US) Holdings Associates IV, L.P. 26-1705523 DE



Pomona Voya (US) Holdings Associates IV, L.P. 26-1705523 DE


Pomona Voya (US) Holdings Associates LLC 20-0554145 DE

Pomona Voya (US) Holdings Associates, L.P. 20-0585365 DE

Pomona Voya (US) Holdings Associates V, L.P. DE



Pomona Voya (US) Holdings Associates V, LLC DE

Pomona Voya (US) Holdings Associates V, L.P. DE


Pomona Voya (US) Holdings Associates, L.P. 20-0585365 DE

Pomona Voya (US) Holdings Co- Investment Associates II, L.P. DE


Pomona Voya (US) Holdings Co-Investment Associates L.P. DE

Pomona Voya Asia Pacific Associates, L.P. DE

Voya Pomona Asia Pacific G.P. Limited CYM


Pomona Voya Asia Pacific Associates, LLC DE

Pomona Voya Asia Pacific Associates, L.P. DE


Pomona Management LLC 13-4149700 DE

Pomona Capital Asia Limited HKG

Pomona Europe, Ltd. GBR

Pomona Europe Advisers Limited GBR

Voya Realty Group LLC 13-4003969 DE

Voya Investment Management Co. LLC 06-0888148 DE

Voya Investment Management (UK) Limited GBR

Voya Investment Trust Co. 06-1440627 CT

Voya Investment Management Services (UK) Limited GBR

Voya Retirement Insurance and Annuity Company Insurer 71-0294708 86509 CT

RiverRoch LLC DE








Voya Financial Partners, LLC 06-1375177 DE


Voya Institutional Plan Services, LLC 04-3516284 DE

Voya Retirement Advisors, LLC 22-1862786 NJ

Voya Payroll Management, Inc. 52-2197204 DE

Voya Services Company 52-1317217 DE

VFI SLK Global Services Private Limited INDVoya Special Investments, Inc. DE


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

*4832 VOYA FINANCIAL IIPS OF FLORIDA, LLC FL NIA Voya Financial, Inc. Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 06-1067464 ILICA LLC CT NIA Voya Holdings Inc. Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL

ING Pomona Private Equity Management

(Luxembourg) S.A. LUX NIA

Voya Investment Management Alternative

Assets LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 66109 35-0838945 Midwestern United Life Insurance Company IN DS Security Life of Denver Insurance Company Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 85-1578755 Oconee Real Estate Holdings LLC DE NIA

Voya Retirement Insurance and Annuity

Company Ownership 30.400 Voya Financial, Inc. N

4832 VOYA FINANCIAL 85-1578755 Oconee Real Estate Holdings LLC DE NIA Security Life of Denver Insurance Company Ownership 8.600 Voya Financial, Inc. N

4832 VOYA FINANCIAL 85-1578755 Oconee Real Estate Holdings LLC DE NIA ReliaStar Life Insurance Company Ownership 19.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 85-1578755 Oconee Real Estate Holdings LLC DE NIA Third Party Shareholders Ownership 42.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL Opportunity Investor P Associates, L.P. DE NIA

Opportunity Investor P Secondary

Associates, LLC Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL Opportunity Investor P Associates, L.P. DE NIA Pomona G.P. Holdings LLC Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL

Opportunity Investor P Secondary Associates,

LLC DE NIA Pomona G.P. Holdings LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL Opportunity Investor P, L.P. DE NIA Opportunity Investor P Associates, L.P. Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 94-2695108 Pen-Cal Administrators, Inc. CA NIA Voya Financial, Inc. Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 13-4197230 Pomona Associates V, LP DE NIA Pomona G.P. Holdings LLC Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 13-4197230 Pomona Associates V, LP DE NIA Pomona Secondary Associates V LLC Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 20-1779011 Pomona Associates VI, LP DE NIA Pomona G.P. Holdings LLC Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 20-1779011 Pomona Associates VI, LP DE NIA Pomona Secondary Associates VI LLC Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 26-1701070 Pomona Associates VII, L.P. DE NIA Pomona G.P. Holdings LLC Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 26-1701070 Pomona Associates VII, L.P. DE NIA Pomona Secondary Associates VII LLC Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 37-1698452 Pomona Associates VIII, L.P. DE NIA Pomona G.P. Holdings LLC Management 39.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 37-1698452 Pomona Associates VIII, L.P. DE NIA Pomona Secondary Associates VIII, LLC Management 1.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 37-1698452 Pomona Associates VIII, L.P. DE NIA Third Party Shareholders Ownership 60.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL Pomona Capital Asia Limited HKG NIA Pomona Management LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL

Pomona Capital Secondary Co-Investment, L.P.

DE NIA

Pomona Secondary Co-Investment Associates,

LP Ownership 1.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL


DE NIA Third Party Shareholders Ownership 79.930 Voya Financial, Inc. N

4832 VOYA FINANCIAL


DE NIA



4832 VOYA FINANCIAL Pomona Capital VII, L.P. DE NIA


Company Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL Pomona Capital VII, L.P. DE NIA Pomona Associates VII, L.P. Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL Pomona Capital VII, L.P. DE NIA ReliaStar Life Insurance Company Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL Pomona Capital VII, L.P. DE NIA Security Life of Denver Insurance Company Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL Pomona Energy Partners US, L.P. DE NIA Pomona Capital VII, L.P. Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL Pomona Engery Partners, L.P. DE NIA Pomona Associates VII, L.P. Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL Pomona Europe Advisers Limited GBR NIA Pomona Europe, Ltd. Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL Pomona Europe, Ltd. GBR NIA Pomona Management LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 13-4150600 Pomona G.P. Holdings LLC DE NIA Voya Pomona Holdings LLC Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 13-4150970 Pomona Holdings Associates III LLC DE NIA Pomona Primary Associates III LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 13-4150966 Pomona Investors III, L.P. DE NIA Pomona G.P. Holdings LLC Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 13-4150966 Pomona Investors III, L.P. DE NIA Pomona Primary Associates III LLC Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 59-3794146 Pomona Investors IV, L.P. DE NIA Pomona G.P. Holdings LLC Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 59-3794146 Pomona Investors IV, L.P. DE NIA Pomona Primary Associates IV LLC Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 26-1939518 Pomona Investors V L.P. DE NIA Pomona G.P. Holdings LLC Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 26-1939518 Pomona Investors V L.P. DE NIA Pomona Primary Associates V LLC Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 13-4149700 Pomona Management LLC DE NIA Voya Pomona Holdings LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 13-4150602 Pomona Primary Associates III LLC DE NIA Pomona G.P. Holdings LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 59-3794146 Pomona Primary Associates IV LLC DE NIA Pomona G.P. Holdings LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 26-1939443 Pomona Primary Associates V LLC DE NIA Pomona G.P. Holdings LLC Ownership 100.000 Voya Financial, Inc. N

13


SCHEDULE Y


GroupCode

2

Group Name

3

NAICCompany

Code

4

IDNumber

5

Federal RSSD

6

CIK

7



International)

8


Or Affiliates

9


10

Relation-ship to

ReportingEntity

11


12Type


Board,Management,


Other)

13If

Controlis

Owner-ship

ProvidePercen-

tage

14


15

Is anSCA FilingRe-

quired? (Y/N)

16

*4832 VOYA FINANCIAL 13-4196882 Pomona Secondary Associates V LLC DE NIA Pomona G.P. Holdings LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 20-1779002 Pomona Secondary Associates VI LLC DE NIA Pomona G.P. Holdings LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 26-1668484 Pomona Secondary Associates VII LLC DE NIA Pomona G.P. Holdings LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 46-0666750 Pomona Secondary Associates VIII, LLC DE NIA Pomona G.P. Holdings LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL


LLC DE NIA Pomona G.P. Holdings LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL

Pomona Secondary Co-Investment Associates, LP

DE NIA


LLC Management 1.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL

Pomona Secondary Co-Investment Associates, LP

DE NIA Pomona G.P. Holdings LLC Management 49.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 36-4577583 Pomona Voya (US) Holdings Associates II LLC DE NIA Pomona G.P. Holdings LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 37-1513803

Pomona Voya (US) Holdings Associates II, L.P.



Pomona Voya (US) Holdings Associates II, L.P.

DE NIA

Pomona Voya (US) Holdings Associates II LLC

Management 0.000 Voya Financial, Inc. N


Pomona Voya (US) Holdings Associates III LLC

DE NIA Pomona G.P. Holdings LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL Pomona Voya (US) Holdings Associates III LP DE NIA Pomona G.P. Holdings LLC Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL Pomona Voya (US) Holdings Associates III LP DE NIA

Pomona Voya (US) Holdings Associates III

LLC Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 26-1705350 Pomona Voya (US) Holdings Associates IV LLC DE NIA Pomona G.P. Holdings LLC Ownership 100.000 Voya Financial, Inc. N


Pomona Voya (US) Holdings Associates IV, L.P.



Pomona Voya (US) Holdings Associates IV, L.P.

DE NIA

Pomona Voya (US) Holdings Associates IV LLC


4832 VOYA FINANCIAL 20-0554145 Pomona Voya (US) Holdings Associates LLC DE NIA Pomona G.P. Holdings LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL

Pomona Voya (US) Holdings Associates V, L.P.


4832 VOYA FINANCIAL

Pomona Voya (US) Holdings Associates V, L.P.

DE NIA

Pomona Voya (US) Holdings Associates V, LLC


4832 VOYA FINANCIAL Pomona Voya (US) Holdings Associates V, LLC DE NIA Pomona G.P. Holdings LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 20-0585365 Pomona Voya (US) Holdings Associates, L.P. DE NIA Pomona G.P. Holdings LLC Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 20-0585365 Pomona Voya (US) Holdings Associates, L.P. DE NIA Pomona Voya (US) Holdings Associates LLC Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL

Pomona Voya (US) Holdings Co - Investment

Associates L.P. DE NIA

Pomona Voya (US) Holdings Associates II LLC


4832 VOYA FINANCIAL


Associates L.P. DE NIA Third Party Shareholders Management 50.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL


Associates L.P. DE NIA Pomona G.P. Holdings LLC Management 49.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL

Pomona Voya (US) Holdings Co- Investment

Associates II, L.P. DE NIA Pomona G.P. Holdings LLC Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL


Associates II, L.P. DE NIA

Pomona Voya (US) Holdings Associates II,

L.P. Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL

Pomona Voya (US) Holdings Co-Investment II,

L.P. DE NIA



4832 VOYA FINANCIAL


L.P. DE NIA


Associates II, L.P. Ownership 0.100 Voya Financial, Inc. N

4832 VOYA FINANCIAL


L.P. DE NIA ReliaStar Life Insurance Company Ownership 17.980 Voya Financial, Inc. N

4832 VOYA FINANCIAL


L.P. DE NIA Security Life of Denver Insurance Company Ownership 33.970 Voya Financial, Inc. N

4832 VOYA FINANCIAL Pomona Voya (US) Holdings IV, L.P. DE NIA



13.1


SCHEDULE Y


GroupCode

2

Group Name

3

NAICCompany

Code

4

IDNumber

5

Federal RSSD

6

CIK

7



International)

8


Or Affiliates

9


10

Relation-ship to

ReportingEntity

11


12Type


Board,Management,


Other)

13If

Controlis

Owner-ship

ProvidePercen-

tage

14


15

Is anSCA FilingRe-

quired? (Y/N)

16

*

4832 VOYA FINANCIAL Pomona Voya (US) Holdings IV, L.P. DE NIA

Pomona Voya (US) Holdings Associates IV,

L.P. Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL Pomona Voya (US) Holdings IV, L.P. DE NIA ReliaStar Life Insurance Company Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL Pomona Voya (US) Holdings IV, L.P. DE NIA Security Life of Denver Insurance Company Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL Pomona Voya (US) Holdings V L.P. DE NIA



4832 VOYA FINANCIAL Pomona Voya (US) Holdings V L.P. DE NIA

Pomona Voya (US) Holdings Associates V,

L.P. Ownership 0.100 Voya Financial, Inc. N

4832 VOYA FINANCIAL Pomona Voya (US) Holdings V L.P. DE NIA ReliaStar Life Insurance Company Ownership 26.640 Voya Financial, Inc. N

4832 VOYA FINANCIAL Pomona Voya (US) Holdings V L.P. DE NIA Security Life of Denver Insurance Company Ownership 22.640 Voya Financial, Inc. N

4832 VOYA FINANCIAL Pomona Voya (US) Holdings V-A, L.P. DE NIA



4832 VOYA FINANCIAL Pomona Voya (US) Holdings V-A, L.P. DE NIA

Pomona Voya (US) Holdings Associates V,

L.P. Ownership 0.100 Voya Financial, Inc. N

4832 VOYA FINANCIAL Pomona Voya (US) Holdings V-A, L.P. DE NIA ReliaStar Life Insurance Company Ownership 27.250 Voya Financial, Inc. N

4832 VOYA FINANCIAL Pomona Voya (US) Holdings V-A, L.P. DE NIA Security Life of Denver Insurance Company Ownership 21.800 Voya Financial, Inc. N

4832 VOYA FINANCIAL Pomona Voya Asia Pacific Associates, L.P. DE NIA Pomona G.P. Holdings LLC Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL Pomona Voya Asia Pacific Associates, L.P. DE NIA Pomona Voya Asia Pacific Associates, LLC Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL Pomona Voya Asia Pacific Associates, LLC DE NIA Pomona G.P. Holdings LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 27-2987157 Rancho Mountain Properties, Inc. DE NIA Voya II Custom Investments LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 67105 41-0451140 0001108874 NYSE ReliaStar Life Insurance Company MN IA Voya Holdings Inc. Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 61360 53-0242530 0001163710 NYSE

ReliaStar Life Insurance Company of New York

NY IA ReliaStar Life Insurance Company Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL RiverRoch LLC DE NIA



4832 VOYA FINANCIAL RiverRoch LLC DE NIA ReliaStar Life Insurance Company Ownership 10.800 Voya Financial, Inc. N

4832 VOYA FINANCIAL RiverRoch LLC DE NIA Security Life of Denver Insurance Company Ownership 10.800 Voya Financial, Inc. N

4832 VOYA FINANCIAL RiverRoch LLC DE NIA Third Party Shareholders Ownership 24.700 Voya Financial, Inc. N

4832 VOYA FINANCIAL 85-0526803 RL Payroll Management Company, LLC DE NIA SLD Service Company, LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 14007 27-2278894 Roaring River II, Inc. AZ IA

Security Life of Denver International

Limited Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 46-3607309 Roaring River IV Holding, LLC DE DS Security Life of Denver Insurance Company Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 15365 80-0955075 Roaring River IV, LLC MO DS Roaring River IV Holding, LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 13583 26-3355951 Roaring River, LLC MO IA ReliaStar Life Insurance Company Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 84-1437826 Security Life Assignment Corporation CO NIA Voya Financial, Inc. Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 68713 84-0499703 0000848338 NYSE Security Life of Denver Insurance Company CO RE Voya Financial, Inc. Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 15321 98-0138339

Security Life of Denver International Limited

AZ IA Voya Financial, Inc. Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 84-4774506 SLD Service Company, LLC DE NIA Voya Financial, Inc. Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 27-1108872 SLDI Georgia Holdings, Inc. GA NIA Roaring River II, Inc. Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 20-8811107 The Voya Proprietary Alpha Fund, LLC DE NIA Voya Alternative Asset Management LLC Ownership 1.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 20-8811107 The Voya Proprietary Alpha Fund, LLC DE NIA ReliaStar Life Insurance Company Ownership 30.200 Voya Financial, Inc. N

4832 VOYA FINANCIAL 20-8811107 The Voya Proprietary Alpha Fund, LLC DE NIA Security Life of Denver Insurance Company Ownership 36.600 Voya Financial, Inc. N

4832 VOYA FINANCIAL VFI SLK Global Services Private Limited IND NIA Voya Financial, Inc. Ownership 49.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL VFI SLK Global Services Private Limited IND NIA Third Party Shareholders Ownership 51.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL

Voya Alternative Asset Management Ireland

Limited IRL NIA



4832 VOYA FINANCIAL 13-3863170 Voya Alternative Asset Management LLC DE NIA



4832 VOYA FINANCIAL 84-1251388 0000921271 NYSE Voya America Equities, Inc. CO NIA Security Life of Denver Insurance Company Ownership 100.000 Voya Financial, Inc. Y

4832 VOYA FINANCIAL 83-0965809 Voya Benefits Company, LLC DE NIA Voya Holdings Inc. Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 86-1020892 0000882860 NYSE Voya Capital, LLC DE NIA Voya Investment Management LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL Voya CML GP LLC DE NIA Voya Alternative Asset Management LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 27-2278894 Voya Custom Investments LLC DE NIA Roaring River II, Inc. Ownership 100.000 Voya Financial, Inc. N

13.2


SCHEDULE Y


GroupCode

2

Group Name

3

NAICCompany

Code

4

IDNumber

5

Federal RSSD

6

CIK

7



International)

8


Or Affiliates

9


10

Relation-ship to

ReportingEntity

11


12Type


Board,Management,


Other)

13If

Controlis

Owner-ship

ProvidePercen-

tage

14


15

Is anSCA FilingRe-

quired? (Y/N)

16

*4832 VOYA FINANCIAL 41-0945505 0000073520 NYSE Voya Financial Advisors, Inc. MN NIA Voya Holdings Inc. Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 06-1375177 0000912650 NYSE Voya Financial Partners, LLC DE NIA



4832 VOYA FINANCIAL 26-1956344 Voya Financial Products Company, Inc. DE NIA Voya Financial, Inc. Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 52-1222820 NYSE Voya Financial, Inc. DE UDP Third Party Shareholders Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 86-1020893 0001266464 NYSE Voya Funds Services, LLC DE NIA Voya Capital, LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 13-4127836 Voya Furman Selz Investments III LLC DE NIA


Assets LLC Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 02-0488491 Voya Holdings Inc. CT NIA Voya Financial, Inc. Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 27-1108872 Voya II Custom Investments LLC DE NIA SLDI Georgia Holdings, Inc. Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 04-3516284 Voya Institutional Plan Services, LLC DE NIA



4832 VOYA FINANCIAL 46-5416028 Voya Institutional Trust Company CT NIA Voya Holdings Inc. Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 06-1465377 Voya Insurance Solutions, Inc. CT NIA Voya Holdings Inc. Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 06-0952776 Voya International Nominee Holdings, Inc. CT NIA Voya Holdings Inc. Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL Voya Investment Management (UK) Limited GBR NIA Voya Investment Management Co. LLC Ownership 100.000 Voya Financial, Inc. N


Voya Investment Management Alternative Assets

LLC DE NIA Voya Investment Management LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 06-0888148 0000033670 NYSE Voya Investment Management Co. LLC DE NIA Voya Investment Management LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 58-2361003 0010542667 NYSE Voya Investment Management LLC DE NIA Voya Holdings Inc. Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL

Voya Investment Management Services (UK)

Limited GBR NIA Voya Investment Management Co. LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 06-1440627 Voya Investment Trust Co. CT NIA Voya Investment Management Co. LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 03-0485744 0000936854 NYSE Voya Investments Distributor, LLC DE NIA Voya Funds Services, LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 03-0402099 Voya Investments, LLC AZ NIA Voya Funds Services, LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL Voya Multi-Strategy Opportunity Fund LLC DE NIA Voya Alternative Asset Management LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 52-2197204 Voya Payroll Management, Inc. DE NIA Voya Financial, Inc. Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL Voya Pomona Asia Pacific G.P. Limited CYM NIA Pomona Voya Asia Pacific Associates, L.P. Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL

Voya Pomona Asia Pacific Private Equity Co-

Invest I L.P. DE NIA



4832 VOYA FINANCIAL


Invest I L.P. DE NIA Security Life of Denver Insurance Company Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL


Invest I L.P. DE NIA Voya Pomona Asia Pacific G.P. Limited Management 0.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 13-4152011 Voya Pomona Holdings LLC DE NIA


Assets LLC Management 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 13-4003969 Voya Realty Group LLC DE NIA



4832 VOYA FINANCIAL 22-1862786 0000028601 NYSE Voya Retirement Advisors, LLC NJ NIA



4832 VOYA FINANCIAL 86509 71-0294708 0000837010 NYSE

Voya Retirement Insurance and Annuity Company

CT IA Voya Holdings Inc. Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL 52-1317217 Voya Services Company DE NIA Voya Financial, Inc. Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL Voya Special Investments, Inc. DE NIA Voya Financial, Inc. Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL Voya TALF GP LLC DE NIA Voya Alternative Asset Management LLC Ownership 100.000 Voya Financial, Inc. N

4832 VOYA FINANCIAL Voya TALF Opportunity Fund LP DE NIA Voya TALF GP LLC Ownership 100.000 Voya Financial, Inc. N

Asterisk Explanation

13.3


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? NO

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

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

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

8. Will the Life PBR Statement of Exemption be filed with the state of domicile by July 1st and electronically with the NAIC with the second quarterly filing per the Valuation Manual (by August 15)? (2nd Quarter Only) The response for 1st and 3rd quarters should be N/A. A NO response resulting with a bar code is only appropriate in the 2nd quarter. NO

Explanation:

1.

2.

3.

4.

5.

6.

8.

Bar Code:

1. Trusteed Surplus Statement [Document Identifier 490]

*68713202049000002*2. Medicare Part D Coverage Supplement [Document Identifier 365]

*68713202036500002*3. Reasonableness of Assumptions Certification required by Actuarial Guideline

XXXV [Document Identifier 445] *68713202044500002*4. Reasonableness and Consistency of Assumptions Certification required by

Actuarial Guideline XXXV [Document Identifier 446] *68713202044600002*5. Reasonableness of Assumptions Certification for Implied Guaranteed Rate

Method required by Actuarial Guideline XXXVI [Document Identifier 447] *68713202044700002*6. Reasonableness and Consistency of Assumptions Certification required by

Actuarial Guideline XXXVI [Document Identifier 448] *68713202044800002*8. Life PBR Statement of Exemption (2nd Quarter Only) [Document Identifier 700]

*68713202070000002*

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 assets 346,398 302,063 44,335 0 2597. Summary of remaining write-ins for Line 25 from overflow page 346,398 302,063 44,335 0

Additional Write-ins for Liabilities Line 25

1Current

Statement Date

2December 31

Prior Year

2504. Liability of pension benefits 6,849,641 6,849,641 2505. Unclaimed property 6,011,931 5,299,149 2506. Derivative payable 4,425,078 10,543,928 2507. Miscellaneous liabilities 443,123 1,334,255 2508. Other contingency reserves 150,000 150,000 2509. Suspense and clearing account 136,099 138,309 2510. Liability of other post-employment benefits (1,944,811) (1,944,811)2597. Summary of remaining write-ins for Line 25 from overflow page 16,071,062 22,370,471

Additional Write-ins for Summary of Operations Line 27

1Current Year

To Date

2Prior YearTo Date

3Prior Year Ended

December 31

2704. Gains released from IMR (29,140) 15,389 (1,261,614)2705. Other contingency expense (839,181) 213,870 270,176 2706. Assumed modified coinsurance reserves (44,370,356) (39,037,742) (107,120,227)2797. Summary of remaining write-ins for Line 27 from overflow page (45,238,677) (38,808,483) (108,111,665)

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 1,305,864,876 1,377,523,078


2.1 Actual cost at time of acquisition 27,135,209 86,791,719

2.2 Additional investment made after acquisition 3,482,301 8,614,276

3. Capitalized deferred interest and other 0 0

4. Accrual of discount 1,055 131,844

5. Unrealized valuation increase (decrease) 0 0

6. Total gain (loss) on disposals 0 0

7. Deduct amounts received on disposals 63,341,685 167,007,295

8. Deduct amortization of premium and mortgage interest points and commitment fees 49 4,182

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 0 184,564

11. Book value/recorded investment excluding accrued interest at end of current period (Lines 1+2+3+4+5+6-7-8+9-10) 1,273,141,707 1,305,864,876

12. Total valuation allowance 0 0

13. Subtotal (Line 11 plus Line 12) 1,273,141,707 1,305,864,876

14. Deduct total nonadmitted amounts 0 0

15. Statement value at end of current period (Line 13 minus Line 14) 1,273,141,707 1,305,864,876

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 401,210,329 316,798,751


2.1 Actual cost at time of acquisition 3,304,361 18,401,530

2.2 Additional investment made after acquisition 43,859,813 76,361,260

3. Capitalized deferred interest and other 0 0

4. Accrual of discount 0 0

5. Unrealized valuation increase (decrease) (38,985,764) 4,894,939

6. Total gain (loss) on disposals (42,416) (57,153)

7. Deduct amounts received on disposals 11,085,328 14,829,185

8. Deduct amortization of premium and depreciation 41,324 78,542

9. Total foreign exchange change in book/adjusted carrying value (12,641) (116,806)

10. Deduct current year’s other than temporary impairment recognized 0 164,464

11. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5+6-7-8+9-10) 398,207,030 401,210,329


13. Statement value at end of current period (Line 11 minus Line 12) 398,207,030 401,210,329

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 9,595,489,113 8,774,055,288

2. Cost of bonds and stocks acquired 431,983,492 1,813,229,370

3. Accrual of discount 2,504,375 12,224,014

4. Unrealized valuation increase (decrease) (884,921) 17,131,058

5. Total gain (loss) on disposals 13,362,258 23,083,340

6. Deduct consideration for bonds and stocks disposed of 374,863,599 1,027,709,824

7. Deduct amortization of premium 7,704,853 10,151,588

8. Total foreign exchange change in book/adjusted carrying value (1,225,023) 661,186

9. Deduct current year’s other than temporary impairment recognized 6,330,159 12,087,747

10. Total investment income recognized as a result of prepayment penalties and/or acceleration fees 5,001,386 5,054,016

11. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9+10) 9,657,332,069 9,595,489,113


13. Statement value at end of current period (Line 11 minus Line 12) 9,657,332,069 9,595,489,113

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) 5,057,949,645 97,630,329 81,025,391 (41,424,824) 5,057,949,645 5,033,129,760 0 5,180,239,045

2. NAIC 2 (a) 3,988,411,692 92,516,319 96,902,488 (15,235,320) 3,988,411,692 3,968,790,203 0 3,817,703,388

3. NAIC 3 (a) 322,992,534 1,770,000 11,297,619 44,871,981 322,992,534 358,336,896 0 270,868,190

4. NAIC 4 (a) 79,333,839 3,999,333 5,412,667 12,158,073 79,333,839 90,078,578 0 81,275,033

5. NAIC 5 (a) 9,809,065 0 503,875 (888,394) 9,809,065 8,416,796 0 17,313,441

6. NAIC 6 (a) 816,532 0 (18) 92,973 816,532 909,523 0 778,986

7. Total Bonds 9,459,313,307 195,915,981 195,142,022 (425,510) 9,459,313,307 9,459,661,756 0 9,368,178,083

PREFERRED STOCK

8. NAIC 1 6,000,000 0 5,300,000 (700,000) 6,000,000 0 0 14,475,000

9. NAIC 2 39,975,000 0 35,229,400 700,000 39,975,000 5,445,600 0 24,700,000

10. NAIC 3 0 0 0 0 0 0 0 0

11. NAIC 4 102,000 0 0 0 102,000 102,000 0 102,000

12. NAIC 5 0 0 0 0 0 0 0 0

13. NAIC 6 0 0 0 0 0 0 0 0

14. Total Preferred Stock 46,077,000 0 40,529,400 0 46,077,000 5,547,600 0 39,277,000

15. Total Bonds and Preferred Stock 9,505,390,307 195,915,981 235,671,422 (425,510) 9,505,390,307 9,465,209,356 0 9,407,455,083

(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 $ 0 ; NAIC 2 $ 2,249,740 ; 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 XXX

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 0 2,824

2. Cost of short-term investments acquired 1,043,023,846 1,276,715,411

3. Accrual of discount 0 36


5. Total gain (loss) on disposals 0 0

6. Deduct consideration received on disposals 1,043,023,846 1,276,718,271

7. Deduct amortization of premium 0 0

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

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

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


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

NONE

SI03


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

1. Book/Adjusted Carrying Value, December 31, prior year (Line 10, prior year) 187,539,870

2. Cost Paid/(Consideration Received) on additions 39,201,251

3. Unrealized Valuation increase/(decrease) (56,156,973)

4. SSAP No. 108 adjustments 0

5. Total gain (loss) on termination recognized 607,762

6. Considerations received/(paid) on terminations 22,876,235

7. Amortization (7,672,226)

8. Adjustment to the Book/Adjusted Carrying Value of hedged item 0

9. Total foreign exchange change in Book/Adjusted Carrying Value 607,318

10. Book/Adjusted Carrying Value at End of Current Period (Lines 1+2+3+4+5-6+7+8+9) 141,250,767

11. Deduct nonadmitted assets 0

12. Statement value at end of current period (Line 10 minus Line 11) 141,250,767

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



3.25 SSAP No. 108 adjustments

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

4.23 SSAP No. 108 adjustments

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)

7. Deduct total nonadmitted amounts

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

NONE

SI04


Schedule DB - Part C - Section 1 - Replication (Synthetic Asset) Transactions (RSATs) Open

N O N E

Schedule DB-Part C-Section 2-Reconciliation of Replication (Synthetic Asset) Transactions Open

N O N E

SI05, SI06


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 14 141,250,767

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) 141,250,767

4. Part D, Section 1, Column 5 209,369,767

5. Part D, Section 1, Column 6 (68,119,000)

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

Fair Value Check


8. Part B, Section 1, Column 13 0

9. Total (Line 7 plus Line 8) 140,003,333


11. Part D, Section 1, Column 9 (71,742,426)

12 Total (Line 9 minus Line 10 minus Line 11) 0

Potential Exposure Check


14. Part B, Section 1, Column 20 0


16. Total (Line 13 plus Line 14 minus Line 15) 0

SI07


SCHEDULE E - PART 2 - VERIFICATION(Cash Equivalents)

1

Year To Date

2

Prior Year Ended December 31

1. Book/adjusted carrying value, December 31 of prior year 31,929,611 39,655,635

2. Cost of cash equivalents acquired 131,946,508 522,083,807

3. Accrual of discount 50,127 67,966


5. Total gain (loss) on disposals (310) 55

6. Deduct consideration received on disposals 152,597,469 529,877,852

7. Deduct amortization of premium 0 0

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

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

10. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9) 11,328,467 31,929,611


12. Statement value at end of current period (Line 10 minus Line 11) 11,328,467 31,929,611

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

29858 Hoover AL 07/16/2019 5.050 0 102,760 4,591,304

29781 Tucson AZ 10/17/2018 5.650 0 18,881 6,498,952

29954 Phoenix AZ 02/14/2020 4.350 0 9,306 796,429

29769 Fremont CA 08/30/2018 4.750 0 41,280 7,926,829

29798 San Pedro CA 01/11/2019 5.400 0 30,310 2,654,437

29844 Hayward CA 05/24/2019 5.100 0 38,064 6,447,544

29975 Washington DC DC 06/17/2020 4.950 7,714,121 0 25,004,878

29834 Wilmington DE 05/10/2019 5.600 0 318,020 5,191,364

29754 Tampa FL 08/01/2018 4.850 0 23,655 4,563,871

29936 Atlanta GA 01/16/2020 4.450 0 10,753 845,714

29894 Lisle IL 10/28/2019 5.200 0 5,630 2,924,528

29900 Indianapolis IN 11/06/2019 4.970 0 67,324 4,005,451

29976 Louisville KY 06/09/2020 5.000 2,585,319 0 4,985,701

29767 Kansas City MO 10/17/2018 4.750 0 66,423 3,513,043

29873 New York City NY 08/21/2019 4.550 0 132,601 9,402,772

29958 Queens NY 02/07/2020 4.200 0 15,377 1,604,755

29715 San Antonio TX 04/24/2018 5.150 0 61,838 8,344,828

29816 Houston TX 03/21/2019 5.350 0 56,714 13,832,609

29854 Corpus Christi TX 07/30/2019 4.950 0 210,922 9,437,086

29874 Dallas TX 09/09/2019 4.450 0 169,942 9,446,528

29881 Dallas TX 09/09/2019 4.450 0 227,159 6,511,451

0599999. Mortgages in good standing - Commercial mortgages-all other 10,299,441 1,606,958 138,530,073

0899999. Total Mortgages in good standing 10,299,441 1,606,958 138,530,073

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 10,299,441 1,606,958 138,530,073

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

26883 TAVERNIER FL 07/10/2000 06/24/2020 349,059 0 0 0 0 0 0 101,402 201,459 0 0 0

29197 PERRY GA 03/27/2015 04/06/2020 946,000 0 0 0 0 0 0 946,000 946,000 0 0 0

29248 WOODSTOCK GA 07/31/2015 06/17/2020 643,404 0 0 0 0 0 0 643,404 643,404 0 0 0

29249 MARIETTA GA 07/31/2015 06/17/2020 631,915 0 0 0 0 0 0 631,915 631,915 0 0 0

29250 ALPHARETTA GA 07/31/2015 06/17/2020 706,596 0 0 0 0 0 0 706,596 706,596 0 0 0

29251 LILBURN GA 07/31/2015 06/17/2020 718,085 0 0 0 0 0 0 718,085 718,085 0 0 0

29200 COVINGTON LA 03/27/2015 04/06/2020 753,067 0 0 0 0 0 0 753,067 753,067 0 0 0

29202 CHICOPEE MA 03/27/2015 04/06/2020 519,200 0 0 0 0 0 0 519,200 519,200 0 0 0

29203 KANNAPOLIS NC 03/27/2015 04/06/2020 528,800 0 0 0 0 0 0 528,800 528,800 0 0 0

29624 Moorestown NJ 09/29/2017 04/02/2020 7,798,347 0 0 0 0 0 0 7,987,891 7,987,891 0 0 0

29196 CANTON OH 03/27/2015 04/06/2020 964,533 0 0 0 0 0 0 964,533 964,533 0 0 0

29201 COLUMBUS OH 03/27/2015 04/06/2020 542,133 0 0 0 0 0 0 542,133 542,133 0 0 0

29198 OKLAHOMA CITY OK 03/27/2015 04/06/2020 781,067 0 0 0 0 0 0 781,067 781,067 0 0 0

29195 SEVEN FIELDS PA 03/27/2015 04/06/2020 1,004,000 0 0 0 0 0 0 1,004,000 1,004,000 0 0 0

29199 COLUMBIA SC 03/27/2015 04/06/2020 795,200 0 0 0 0 0 0 795,200 795,200 0 0 0

29715 San Antonio TX 04/24/2018 05/21/2020 4,912,905 0 0 0 0 0 0 5,008,320 5,043,618 0 0 0

26844 RICHMOND VA 02/28/2000 06/08/2020 675,235 0 0 0 0 0 0 559,155 606,050 0 0 0

29175 CHARLOTTESVILLE VA 03/27/2015 04/06/2020 1,166,000 0 0 0 0 0 0 1,166,000 1,166,000 0 0 0

E02




Loan Number

2

City

3

State

LoanType

DateAcquired

Disposal Date


Prior Year

8


(Decrease)

9

Current Year’s


10Current



11


Interest and Other

12

TotalChange


13


Book Value



Consid-eration

Foreign Exchange


RealizedGain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

2684402 RICHMOND VA 12/18/2000 06/08/2020 308,248 0 0 0 0 0 0 255,407 276,762 0 0 0

0199999. Mortgages closed by repayment 24,743,793 0 0 0 0 0 0 24,612,176 24,815,781 0 0 0

29101 BIRMINGHAM AL 09/10/2014 5,000,475 0 0 0 0 0 0 0 60,541 0 0 0

29827 Birmingham AL 07/26/2019 3,979,153 0 0 0 0 0 0 0 16,028 0 0 0

29170 FT SMITH AR 04/29/2015 737,212 0 0 0 0 0 0 0 6,843 0 0 0

29171 HOT SPRINGS AR 04/29/2015 943,197 0 0 0 0 0 0 0 8,755 0 0 0

27218 MESA AZ 03/27/2003 862,567 0 0 0 0 0 0 0 5,713 0 0 0

27219 MESA AZ 03/27/2003 986,241 0 0 0 0 0 0 0 6,746 0 0 0

27308 MESA AZ 09/19/2003 813,763 0 0 0 0 0 0 0 5,602 0 0 0

28926 PHOENIX AZ 04/01/2014 1,246,482 0 0 0 0 0 0 0 15,859 0 0 0

28966 TUCSON AZ 11/26/2013 1,967,215 0 0 0 0 0 0 0 8,329 0 0 0

29142 TEMPE AZ 01/15/2015 1,736,530 0 0 0 0 0 0 0 13,757 0 0 0

29144 YUMA AZ 01/15/2015 486,963 0 0 0 0 0 0 0 3,858 0 0 0

29330 GLENDALE AZ 01/06/2016 1,507,908 0 0 0 0 0 0 0 7,575 0 0 0

29331 CHANDLER AZ 01/06/2016 1,883,153 0 0 0 0 0 0 0 9,460 0 0 0

29332 PHOENIX AZ 01/06/2016 1,683,154 0 0 0 0 0 0 0 8,455 0 0 0

29333 GILBERT AZ 01/06/2016 1,597,016 0 0 0 0 0 0 0 8,022 0 0 0

29334 PHOENIX AZ 01/06/2016 1,744,540 0 0 0 0 0 0 0 8,763 0 0 0

29463 MESA AZ 11/01/2016 626,856 0 0 0 0 0 0 0 6,430 0 0 0

29548 Glendale AZ 06/29/2017 2,359,899 0 0 0 0 0 0 0 15,530 0 0 0

29549 Glendale AZ 06/29/2017 2,359,899 0 0 0 0 0 0 0 15,530 0 0 0

26976 SACRAMENTO CA 04/23/2001 477,667 0 0 0 0 0 0 0 82,196 0 0 0

27798 SAN FRANCISCO CA 11/16/2005 1,918,299 0 0 0 0 0 0 0 57,285 0 0 0

27819 LOS ANGELES CA 11/18/2005 1,448,471 0 0 0 0 0 0 0 53,026 0 0 0

28033 LOS ANGELES CA 02/02/2007 1,685,797 0 0 0 0 0 0 0 57,717 0 0 0

28887 LOS ANGELES CA 05/30/2013 2,189,833 0 0 0 0 0 0 0 13,854 0 0 0

28902 LONG BEACH CA 06/26/2013 1,565,589 0 0 0 0 0 0 0 40,456 0 0 0

28903 THOUSAND OAKS CA 06/19/2013 2,818,061 0 0 0 0 0 0 0 72,820 0 0 0

28967 IRVINE CA 11/07/2013 4,452,819 0 0 0 0 0 0 0 26,408 0 0 0

28973 SAN FRANCISCO CA 11/26/2013 4,131,468 0 0 0 0 0 0 0 17,734 0 0 0

28977 SAN JOSE CA 11/26/2013 5,281,309 0 0 0 0 0 0 0 199,037 0 0 0

28982 LOS ALTOS CA 12/30/2013 17,199,190 0 0 0 0 0 0 0 102,408 0 0 0

28986 HIGHLAND PARK CA 12/20/2013 7,264,501 0 0 0 0 0 0 0 75,980 0 0 0

28993 CULVER CITY CA 05/09/2014 3,228,957 0 0 0 0 0 0 0 16,926 0 0 0

28994 SANTA CLARA CA 02/07/2014 13,485,201 0 0 0 0 0 0 0 73,874 0 0 0

29006 PASADENA CA 02/25/2014 14,864,436 0 0 0 0 0 0 0 82,531 0 0 0

29007 SAN DIEGO CA 05/09/2014 2,114,984 0 0 0 0 0 0 0 25,301 0 0 0

29022 RIVERSIDE CA 05/01/2014 6,168,784 0 0 0 0 0 0 0 43,334 0 0 0

29041 WOODLAND HILLS CA 05/28/2014 5,373,292 0 0 0 0 0 0 0 118,965 0 0 0

29049 TORRANCE CA 08/06/2014 9,119,675 0 0 0 0 0 0 0 75,179 0 0 0

29068 SACRAMENTO CA 07/30/2014 21,066,101 0 0 0 0 0 0 0 169,805 0 0 0

29070 TORRANCE CA 08/06/2014 859,166 0 0 0 0 0 0 0 7,083 0 0 0

29082 RANCHO CORDOVA CA 08/08/2014 5,403,291 0 0 0 0 0 0 0 42,814 0 0 0

29100 RESADA CA 10/14/2014 2,736,131 0 0 0 0 0 0 0 22,229 0 0 0

29112 SANTA MONICA CA 11/05/2014 6,988,857 0 0 0 0 0 0 0 56,097 0 0 0

29132 SACRAMENTO CA 12/18/2014 4,061,627 0 0 0 0 0 0 0 33,051 0 0 0

29136 HOLLYWOOD CA 12/23/2014 817,585 0 0 0 0 0 0 0 37,687 0 0 0

29140 SANTEE CA 01/15/2015 2,462,381 0 0 0 0 0 0 0 19,508 0 0 0

29141 SAN JOSE CA 01/15/2015 2,140,802 0 0 0 0 0 0 0 16,960 0 0 0

29146 SYLMAR CA 01/15/2015 2,471,569 0 0 0 0 0 0 0 19,581 0 0 0

29204 SAN FRANCISCO CA 04/01/2015 1,364,073 0 0 0 0 0 0 0 8,070 0 0 0

29205 LOS ANGELES CA 05/01/2015 617,962 0 0 0 0 0 0 0 4,971 0 0 0

29206 LOS ANGELES CA 04/23/2015 1,172,689 0 0 0 0 0 0 0 9,018 0 0 0

29216 PACOIMA CA 04/29/2015 1,327,386 0 0 0 0 0 0 0 10,499 0 0 0

29217 SYLMAR CA 04/29/2015 6,690,028 0 0 0 0 0 0 0 52,917 0 0 0

29224 CHATSWORTH CA 07/01/2015 10,665,862 0 0 0 0 0 0 0 83,826 0 0 0

29239 LOS ANGELES CA 07/01/2015 4,233,552 0 0 0 0 0 0 0 23,134 0 0 0

29247 LONG BEACH CA 08/27/2015 7,306,642 0 0 0 0 0 0 0 44,447 0 0 0

29321 ROSEVILLE CA 01/05/2016 3,629,655 0 0 0 0 0 0 0 26,637 0 0 0

29349 CITY OF INDUSTRY CA 01/28/2016 2,610,977 0 0 0 0 0 0 0 28,471 0 0 0

E02.1




Loan Number

2

City

3

State

LoanType

DateAcquired

Disposal Date


Prior Year

8


(Decrease)

9

Current Year’s


10Current



11


Interest and Other

12

TotalChange


13


Book Value



Consid-eration

Foreign Exchange


RealizedGain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

29383 LOS ANGELES CA 04/14/2016 3,456,204 0 19 0 0 19 0 0 13,119 0 0 0

29388 REDONDO BEACH CA 05/11/2016 7,768,219 0 0 0 0 0 0 0 57,007 0 0 0

29460 ALHAMBRA CA 08/04/2016 4,315,035 0 0 0 0 0 0 0 31,990 0 0 0

29550 ENCINITAS CA 02/07/2017 7,141,359 0 0 0 0 0 0 0 35,121 0 0 0

29603 Garden Grove CA 06/29/2017 2,900,420 0 0 0 0 0 0 0 18,765 0 0 0

29630 Rialto CA 11/01/2017 5,965,816 0 0 0 0 0 0 0 42,217 0 0 0

29631 Rancho Cucamonga CA 11/01/2017 5,871,121 0 0 0 0 0 0 0 41,547 0 0 0

29671 Roseville CA 01/31/2018 17,447,409 0 0 0 0 0 0 0 121,813 0 0 0

29674 Rancho Cucamonga CA 01/31/2018 18,114,796 0 0 0 0 0 0 0 126,472 0 0 0

29710 North Hollywood CA 04/06/2018 2,922,891 0 0 0 0 0 0 0 12,833 0 0 0

29716 PLACENTI CA 05/01/2018 3,276,779 0 0 0 0 0 0 0 20,465 0 0 0

29733 HUNTINGTON BEACH CA 08/17/2018 6,612,329 0 0 0 0 0 0 0 30,265 0 0 0

29795 Long Beach CA 12/14/2018 980,585 0 0 0 0 0 0 0 5,510 0 0 0

29826 Eastvale CA 04/26/2019 4,232,472 0 0 0 0 0 0 0 29,823 0 0 0

2779802 SAN FRANCISCO CA 12/01/2006 1,224,293 0 0 0 0 0 0 0 36,039 0 0 0

2779803 SAN FRANCISCO CA 06/15/2007 1,253,193 0 0 0 0 0 0 0 36,680 0 0 0

28918 DENVER CO 08/20/2013 14,266,253 0 0 0 0 0 0 0 126,484 0 0 0

28989 FORT COLLINS CO 12/27/2013 8,216,544 0 0 0 0 0 0 0 48,124 0 0 0

29081 PARKER CO 07/29/2014 10,387,657 0 0 0 0 0 0 0 286,459 0 0 0

29093 BOULDER CO 12/24/2014 14,725,201 0 0 0 0 0 0 0 115,224 0 0 0

29117 LITTLETON CO 05/01/2015 2,654,351 0 0 0 0 0 0 0 21,019 0 0 0

29662 Lakewood CO 03/01/2018 21,197,179 0 0 0 0 0 0 0 105,325 0 0 0

29708 Denver CO 06/28/2018 2,415,678 0 0 0 0 0 0 0 15,545 0 0 0

29841 Denver CO 09/25/2019 2,090,615 0 0 0 0 0 0 0 8,305 0 0 0

2909302 BOULDER CO 11/23/2015 4,942,069 0 0 0 0 0 0 0 27,735 0 0 0

27159 GRANBY CT 12/03/2002 2,664,370 0 0 0 0 0 0 0 62,959 0 0 0

27169 BLOOMFIELD CT 12/16/2002 1,488,912 0 0 0 0 0 0 0 35,183 0 0 0

27818 DANBURY CT 01/06/2006 3,105,034 0 0 0 0 0 0 0 50,692 0 0 0

29045 VERNON CT 07/15/2014 5,717,872 0 0 0 0 0 0 0 71,448 0 0 0

29050 VERNON CT 07/15/2014 1,263,951 0 0 0 0 0 0 0 15,794 0 0 0

29051 VERNON CT 07/15/2014 1,685,268 0 0 0 0 0 0 0 21,058 0 0 0

29080 GREENWICH CT 10/10/2014 8,585,627 0 0 0 0 0 0 0 33,749 0 0 0

29413 STAMFORD CT 07/20/2016 6,995,020 0 0 0 0 0 0 0 25,326 0 0 0

29115 WASHINGTON DC 10/31/2014 2,257,531 0 0 0 0 0 0 0 13,382 0 0 0

29377 WASHINGTON DC 03/22/2016 2,664,885 0 0 0 0 0 0 0 28,605 0 0 0

29359 NEWARK DE 01/11/2016 492,428 0 0 0 0 0 0 0 2,341 0 0 0

29667 Dover DE 01/31/2018 17,000,000 0 0 0 0 0 0 0 69,386 0 0 0

26606 FT MYERS FL 06/26/1998 1,979,166 0 0 0 0 0 0 0 126,112 0 0 0

28921 ORLANDO FL 07/30/2013 4,097,455 0 0 0 0 0 0 0 36,194 0 0 0

28922 NEWPORT RICHEY FL 07/30/2013 2,048,727 0 0 0 0 0 0 0 18,097 0 0 0

28927 BRADENTON FL 04/01/2014 1,329,581 0 0 0 0 0 0 0 16,916 0 0 0

29035 TAMPA FL 05/01/2014 4,057,849 0 0 0 0 0 0 0 49,523 0 0 0

29083 NAPLES FL 08/28/2014 3,028,525 0 0 0 0 0 0 0 59,946 0 0 0

29174 ST. AUGUSTINE FL 03/30/2015 505,916 0 0 0 0 0 0 0 6,021 0 0 0

29176 ST. AUGUSTINE FL 03/30/2015 296,322 0 0 0 0 0 0 0 3,527 0 0 0

29177 JACKSONVILLE FL 03/30/2015 549,280 0 0 0 0 0 0 0 6,537 0 0 0

29178 JACKSONVILLE FL 03/30/2015 419,188 0 0 0 0 0 0 0 4,989 0 0 0

29179 ORANGE PARK FL 03/30/2015 270,304 0 0 0 0 0 0 0 3,217 0 0 0

29180 JACKSONVILLE FL 03/30/2015 1,214,199 0 0 0 0 0 0 0 14,450 0 0 0

29181 PONTE VEDRA FL 03/30/2015 758,874 0 0 0 0 0 0 0 9,031 0 0 0

29182 JACKSONVILLE FL 03/30/2015 747,310 0 0 0 0 0 0 0 8,894 0 0 0

29183 JACKSONVILLE FL 03/30/2015 274,640 0 0 0 0 0 0 0 3,269 0 0 0

29184 JACKSONVILLE FL 03/30/2015 664,918 0 0 0 0 0 0 0 7,913 0 0 0

29185 JACKSONVILLE FL 03/30/2015 549,280 0 0 0 0 0 0 0 6,537 0 0 0

29186 JACKSONVILLE FL 03/30/2015 708,283 0 0 0 0 0 0 0 8,429 0 0 0

29187 JACKSONVILLE FL 03/30/2015 419,188 0 0 0 0 0 0 0 4,989 0 0 0

29188 JACKSONVILLE FL 03/30/2015 409,069 0 0 0 0 0 0 0 4,868 0 0 0

29189 JACKSONVILLE FL 03/30/2015 653,933 0 0 0 0 0 0 0 7,783 0 0 0

29190 JACKSONVILLE FL 03/30/2015 370,042 0 0 0 0 0 0 0 4,404 0 0 0

29191 JACKSONVILLE FL 03/30/2015 340,988 0 0 0 0 0 0 0 4,058 0 0 0

E02.2




Loan Number

2

City

3

State

LoanType

DateAcquired

Disposal Date


Prior Year

8


(Decrease)

9

Current Year’s


10Current



11


Interest and Other

12

TotalChange


13


Book Value



Consid-eration

Foreign Exchange


RealizedGain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

29192 ST. AUGUSTINE FL 03/30/2015 566,915 0 0 0 0 0 0 0 6,747 0 0 0

29193 JACKSONVILLE FL 03/30/2015 517,480 0 0 0 0 0 0 0 6,159 0 0 0

29194 JACKSONVILLE FL 03/30/2015 604,931 0 0 0 0 0 0 0 7,199 0 0 0

29212 MIAMI FL 05/08/2015 837,180 0 0 0 0 0 0 0 9,891 0 0 0

29285 JACKSONVILLE FL 01/12/2016 660,021 0 0 0 0 0 0 0 4,849 0 0 0

29286 JACKSONVILLE FL 01/12/2016 2,904,092 0 0 0 0 0 0 0 21,338 0 0 0

29287 JACKSONVILLE FL 01/12/2016 2,112,067 0 0 0 0 0 0 0 15,518 0 0 0

29288 JACKSONVILLE FL 01/12/2016 726,023 0 0 0 0 0 0 0 5,334 0 0 0

29289 ST. AUGUSTINE FL 01/12/2016 1,610,451 0 0 0 0 0 0 0 11,833 0 0 0

29290 JACKSONVILLE FL 01/12/2016 844,827 0 0 0 0 0 0 0 6,207 0 0 0

29291 YULEE FL 01/12/2016 1,045,473 0 0 0 0 0 0 0 7,682 0 0 0

29292 JACKSONVILLE FL 01/12/2016 699,622 0 0 0 0 0 0 0 5,140 0 0 0

29293 PONTE VEDRA FL 01/12/2016 594,019 0 0 0 0 0 0 0 4,365 0 0 0

29294 ORANGE PARK FL 01/12/2016 369,612 0 0 0 0 0 0 0 2,716 0 0 0

29295 JACKSONVILLE FL 01/12/2016 831,626 0 0 0 0 0 0 0 6,110 0 0 0

29296 ST. AUGUSTINE FL 01/12/2016 670,581 0 0 0 0 0 0 0 4,927 0 0 0

29297 ST. AUGUSTINE FL 01/12/2016 2,692,885 0 0 0 0 0 0 0 19,786 0 0 0

29298 JACKSONVILLE FL 01/12/2016 2,125,267 0 0 0 0 0 0 0 15,615 0 0 0

29299 JACKSONVILLE FL 01/12/2016 726,023 0 0 0 0 0 0 0 5,334 0 0 0

29300 ATLANTIC BEACH FL 01/12/2016 910,829 0 0 0 0 0 0 0 6,692 0 0 0

29301 JACKSONVILLE FL 01/12/2016 765,624 0 0 0 0 0 0 0 5,625 0 0 0

29302 JACKSONVILLE FL 01/12/2016 1,029,633 0 0 0 0 0 0 0 7,565 0 0 0

29303 JACKSONVILLE FL 01/12/2016 818,426 0 0 0 0 0 0 0 6,013 0 0 0

29304 JACKSONVILLE FL 01/12/2016 422,413 0 0 0 0 0 0 0 3,104 0 0 0

29305 JACKSONVILLE FL 01/12/2016 1,333,242 0 0 0 0 0 0 0 9,796 0 0 0

29306 JACKSONVILLE FL 01/12/2016 2,943,693 0 0 0 0 0 0 0 21,629 0 0 0

29307 JACKSONVILLE FL 01/12/2016 1,425,645 0 0 0 0 0 0 0 10,475 0 0 0

29308 JACKSONVILLE FL 01/12/2016 1,372,843 0 0 0 0 0 0 0 10,087 0 0 0

29309 CALLAHAN FL 01/12/2016 488,415 0 0 0 0 0 0 0 3,589 0 0 0

29310 JACKSONVILLE FL 01/12/2016 1,148,436 0 0 0 0 0 0 0 8,438 0 0 0

29311 ST. AUGUSTINE FL 01/12/2016 937,230 0 0 0 0 0 0 0 6,886 0 0 0

29417 MELBOURNE FL 06/09/2016 201,440 0 0 0 0 0 0 0 1,524 0 0 0

29418 MELBOURNE FL 06/09/2016 191,998 0 0 0 0 0 0 0 1,453 0 0 0

29421 MELBOURNE FL 06/09/2016 302,160 0 0 0 0 0 0 0 2,286 0 0 0

29428 MELBOURNE FL 06/09/2016 280,128 0 0 0 0 0 0 0 2,119 0 0 0

29438 MELBOURNE FL 06/09/2016 305,308 0 0 0 0 0 0 0 2,310 0 0 0

29441 MELBOURNE FL 06/09/2016 711,336 0 0 0 0 0 0 0 5,382 0 0 0

29443 MELBOURNE FL 06/09/2016 229,768 0 0 0 0 0 0 0 1,738 0 0 0

29634 Daytona Beach FL 11/02/2017 2,861,964 0 0 0 0 0 0 0 18,320 0 0 0

29790 Tampa FL 02/28/2019 488,742 0 0 0 0 0 0 0 3,893 0 0 0

29801 Palm Bay FL 03/15/2019 2,956,968 0 0 0 0 0 0 0 16,676 0 0 0

29803 Daytona Beach FL 01/30/2019 3,491,005 0 0 0 0 0 0 0 18,439 0 0 0

29804 Orlando FL 01/30/2019 2,574,985 0 0 0 0 0 0 0 13,601 0 0 0

29921 Orlando FL 01/16/2020 0 0 0 0 0 0 0 0 2,350 0 0 0

29946 Orlando FL 01/16/2020 0 0 0 0 0 0 0 0 486 0 0 0

29947 Orlando FL 01/16/2020 0 0 0 0 0 0 0 0 241 0 0 0

29948 Orlando FL 01/16/2020 0 0 0 0 0 0 0 0 895 0 0 0

29949 Orlando FL 01/16/2020 0 0 0 0 0 0 0 0 357 0 0 0

29950 Orlando FL 01/16/2020 0 0 0 0 0 0 0 0 518 0 0 0

29951 Orlando FL 01/16/2020 0 0 0 0 0 0 0 0 918 0 0 0

29952 Orlando FL 01/16/2020 0 0 0 0 0 0 0 0 323 0 0 0

28987 ATLANTA GA 12/12/2013 7,538,065 0 0 0 0 0 0 0 46,503 0 0 0

29135 DULUTH GA 12/23/2014 2,034,454 0 0 0 0 0 0 0 93,780 0 0 0

29687 Canton GA 04/13/2018 527,102 0 0 0 0 0 0 0 2,560 0 0 0

29692 Stone Mountain GA 04/13/2018 384,147 0 0 0 0 0 0 0 1,866 0 0 0

29107 BOISE ID 10/29/2014 9,546,608 0 0 0 0 0 0 0 57,877 0 0 0

29018 CHICAGO IL 06/02/2014 12,541,288 0 0 0 0 0 0 0 155,991 0 0 0

29042 ARLINGTON HEIGHTS IL 05/01/2014 4,084,659 0 0 0 0 0 0 0 26,046 0 0 0

29047 LISLE IL 06/19/2014 7,354,802 0 0 0 0 0 0 0 60,866 0 0 0

29052 LISLE IL 06/19/2014 4,019,485 0 0 0 0 0 0 0 33,264 0 0 0

E02.3




Loan Number

2

City

3

State

LoanType

DateAcquired

Disposal Date


Prior Year

8


(Decrease)

9

Current Year’s


10Current



11


Interest and Other

12

TotalChange


13


Book Value



Consid-eration

Foreign Exchange


RealizedGain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

29053 LISLE IL 06/19/2014 3,369,525 0 0 0 0 0 0 0 27,885 0 0 0

29054 LISLE IL 06/19/2014 5,781,216 0 0 0 0 0 0 0 47,844 0 0 0

29057 MELROSE IL 07/09/2014 9,221,512 0 0 0 0 0 0 0 66,487 0 0 0

29078 CHICAGO IL 09/08/2014 11,432,115 0 0 0 0 0 0 0 140,587 0 0 0

29583 CHICAGO IL 04/20/2017 4,900,000 0 0 0 0 0 0 0 5,726 0 0 0

29079 INDIANAPOLIS IN 08/01/2014 1,878,960 0 0 0 0 0 0 0 9,852 0 0 0

28532 LEAWOOD KS 01/17/2012 4,310,444 0 0 0 0 0 0 0 27,090 0 0 0

28787 LEAWOOD KS 10/25/2012 2,131,019 0 0 0 0 0 0 0 13,970 0 0 0

29118 WICHITA KS 11/18/2014 1,970,953 0 0 0 0 0 0 0 40,774 0 0 0

29143 DENNIS MA 01/15/2015 716,663 0 0 0 0 0 0 0 5,678 0 0 0

29172 NEWTON MA 06/01/2015 8,316,575 0 0 0 0 0 0 0 102,404 0 0 0

27239 ELKRIDGE MD 05/07/2003 5,588,856 0 0 0 0 0 0 0 34,778 0 0 0

27502 COLLEGE PARK MD 03/15/2005 961,686 0 0 0 0 0 0 0 39,439 0 0 0

29125 GREENBELT MD 01/16/2015 2,575,258 0 0 0 0 0 0 0 29,522 0 0 0

29219 GAITHERSBURG MD 05/20/2015 6,181,122 0 0 0 0 0 0 0 50,261 0 0 0

29376 BOWIE MD 03/21/2016 1,828,666 0 0 0 0 0 0 0 12,902 0 0 0

28984 ANN ARBOR MI 12/18/2013 11,860,218 0 0 0 0 0 0 0 59,122 0 0 0

29034 ROCHESTER HILLS MI 05/01/2014 3,228,826 0 0 0 0 0 0 0 20,589 0 0 0

29523 ANN ARBOR MI 03/21/2017 2,000,000 0 0 0 0 0 0 0 6,415 0 0 0

27331 SHOREWOOD MN 11/04/2003 1,834,351 0 0 0 0 0 0 0 104,304 0 0 0

29099 MINNETONKA MN 11/03/2014 5,618,542 0 0 0 0 0 0 0 32,665 0 0 0

29510 MINNEAPOLIS MN 01/03/2017 3,705,893 0 0 0 0 0 0 0 27,670 0 0 0

29705 Saint Paul MN 04/20/2018 2,895,437 0 0 0 0 0 0 0 17,423 0 0 0

2721703 KANSAS CITY MO 07/27/2011 10,141,836 0 0 0 0 0 0 0 320,789 0 0 0

28924 CEDAR POINT NC 04/01/2014 543,660 0 0 0 0 0 0 0 4,629 0 0 0

28925 NEWPORT NC 04/01/2014 1,506,205 0 0 0 0 0 0 0 12,824 0 0 0

28969 CHARLOTTE NC 10/18/2013 14,788,366 0 0 0 0 0 0 0 155,666 0 0 0

28974 RALEIGH NC 11/25/2013 2,324,635 0 0 0 0 0 0 0 12,376 0 0 0

29002 CHARLOTTE NC 03/06/2014 5,629,551 0 0 0 0 0 0 0 70,074 0 0 0

29259 ASHEVILLE NC 10/28/2015 2,580,800 0 0 0 0 0 0 0 28,494 0 0 0

29454 CHARLOTTE NC 07/06/2016 1,099,499 0 0 0 0 0 0 0 5,944 0 0 0

29455 CHARLOTTE NC 07/06/2016 293,416 0 0 0 0 0 0 0 599 0 0 0

29619 Wilmington NC 10/05/2017 11,556,784 0 0 0 0 0 0 0 56,336 0 0 0

29857 Lincolnton NC 09/25/2019 2,486,222 0 0 0 0 0 0 0 21,041 0 0 0

29940 Graham NC 02/25/2020 0 0 0 0 0 0 0 0 11,496 0 0 0

29941 Graham NC 02/25/2020 0 0 0 0 0 0 0 0 8,579 0 0 0

2900202 CHARLOTTE NC 09/26/2018 4,191,034 0 0 0 0 0 0 0 51,618 0 0 0

29001 ELKHORN NE 02/21/2014 4,674,224 0 0 0 0 0 0 0 68,506 0 0 0

27410 MILLBURN NJ 06/07/2004 665,510 0 0 0 0 0 0 0 32,402 0 0 0

29043 BURLINGTON NJ 07/01/2014 8,292,190 0 0 0 0 0 0 0 47,820 0 0 0

29120 KINNELON NJ 12/15/2014 1,248,338 0 0 0 0 0 0 0 5,008 0 0 0

29131 WYCKOFF NJ 12/15/2014 937,876 0 0 0 0 0 0 0 3,763 0 0 0

29133 MIDLAND PARK NJ 12/15/2014 2,362,540 0 0 0 0 0 0 0 9,479 0 0 0

29134 POMPTON LAKES NJ 12/15/2014 2,231,648 0 0 0 0 0 0 0 8,953 0 0 0

29497 SUMMIT NJ 02/15/2017 5,192,140 0 0 0 0 0 0 0 39,361 0 0 0

29658 New Milford NJ 12/14/2017 13,109,868 0 0 0 0 0 0 0 67,162 0 0 0

29688 Lyndhurst NJ 04/13/2018 759,376 0 0 0 0 0 0 0 3,688 0 0 0

29690 Lyndhurst NJ 04/13/2018 142,940 0 0 0 0 0 0 0 694 0 0 0

29033 LAS VEGAS NV 06/05/2014 5,854,108 0 0 0 0 0 0 0 49,442 0 0 0

29676 Las Vegas NV 01/31/2018 16,444,173 0 0 0 0 0 0 0 115,102 0 0 0

26993 HERKIMER NY 05/31/2001 3,105,411 0 0 0 0 0 0 0 224,053 0 0 0

28981 RIVERHEAD NY 02/19/2014 4,693,380 0 0 0 0 0 0 0 26,801 0 0 0

29003 NEW YORK NY 05/12/2014 15,597,356 0 0 0 0 0 0 0 85,743 0 0 0

29014 NEW YORK NY 05/08/2014 7,393,440 0 0 0 0 0 0 0 40,644 0 0 0

29073 BROOKLYN CENTER NY 08/08/2014 27,994,131 0 0 0 0 0 0 0 56,251 0 0 0

26490 CINCINNATI OH 06/04/1997 1,458,729 0 0 0 0 0 0 0 40,680 0 0 0

28561 BROADVIEW HEIGHTS OH 05/03/2012 1,028,993 0 0 0 0 0 0 0 15,105 0 0 0

28943 COLUMBUS OH 10/18/2013 8,193,472 0 0 0 0 0 0 0 47,578 0 0 0

28995 BEACHWOOD OH 02/20/2014 3,833,108 0 0 0 0 0 0 0 33,086 0 0 0

29244 MAYFIELD HEIGHTS OH 12/01/2015 9,418,105 0 0 0 0 0 0 0 53,487 0 0 0

E02.4




Loan Number

2

City

3

State

LoanType

DateAcquired

Disposal Date


Prior Year

8


(Decrease)

9

Current Year’s


10Current



11


Interest and Other

12

TotalChange


13


Book Value



Consid-eration

Foreign Exchange


RealizedGain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

29532 COLUMBUS OH 03/30/2017 5,000,000 0 0 0 0 0 0 0 16,037 0 0 0

29820 Cincinnati OH 03/28/2019 1,958,231 0 0 0 0 0 0 0 16,169 0 0 0

2649002 CINCINNATI OH 07/21/2005 5,886,712 0 0 0 0 0 0 0 155,229 0 0 0

28919 EUGENE OR 08/13/2013 4,557,277 0 0 0 0 0 0 0 74,509 0 0 0

27507 WILLOW GROVE PA 04/29/2005 5,707,622 0 0 0 0 0 0 0 232,341 0 0 0

27876 WILLOW GROVE PA 09/29/2006 3,260,142 0 0 0 0 0 0 0 100,513 0 0 0

28900 HORSHAM PA 06/28/2013 757,174 0 0 0 0 0 0 0 15,055 0 0 0

28978 SOUTH PARK PA 05/01/2014 1,218,626 0 0 0 0 0 0 0 14,708 0 0 0

28980 MONROEVILLE PA 03/14/2014 1,211,327 0 0 0 0 0 0 0 14,851 0 0 0

29046 ALLENTOWN PA 09/11/2014 12,740,991 0 0 0 0 0 0 0 102,243 0 0 0

29149 MECHANICSBURG PA 02/02/2015 348,191 0 0 0 0 0 0 0 5,708 0 0 0

29150 MECHANICSBURG PA 02/02/2015 503,863 0 0 0 0 0 0 0 8,260 0 0 0

29151 LANCASTER PA 02/02/2015 266,258 0 0 0 0 0 0 0 4,365 0 0 0

29152 LANCASTER PA 02/02/2015 311,319 0 0 0 0 0 0 0 5,103 0 0 0

29153 CAMP HILL PA 02/02/2015 343,065 0 0 0 0 0 0 0 5,624 0 0 0

29156 CAMP HILL PA 02/02/2015 129,035 0 0 0 0 0 0 0 2,115 0 0 0

29265 LEVITTOWN PA 09/11/2015 6,896,327 0 0 0 0 0 0 0 39,739 0 0 0

29415 FOLCROFT PA 06/09/2016 1,364,129 0 0 0 0 0 0 0 10,321 0 0 0

29416 SHARON HILL PA 06/09/2016 1,070,152 0 0 0 0 0 0 0 8,096 0 0 0

29419 SHARON HILL PA 06/09/2016 689,304 0 0 0 0 0 0 0 5,215 0 0 0

29420 CHADDS FORD PA 06/09/2016 868,711 0 0 0 0 0 0 0 6,572 0 0 0

29422 CHADDS FORD PA 06/09/2016 443,169 0 0 0 0 0 0 0 3,353 0 0 0

29423 FOLCROFT PA 06/09/2016 893,891 0 0 0 0 0 0 0 6,763 0 0 0

29424 FOLCROFT PA 06/09/2016 383,996 0 0 0 0 0 0 0 2,905 0 0 0

29425 CHADDS FORD PA 06/09/2016 572,846 0 0 0 0 0 0 0 4,334 0 0 0

29426 FOLCROFT PA 06/09/2016 339,930 0 0 0 0 0 0 0 2,572 0 0 0

29427 CHADDS FORD PA 06/09/2016 560,256 0 0 0 0 0 0 0 4,239 0 0 0

29429 SHARON HILL PA 06/09/2016 415,471 0 0 0 0 0 0 0 3,143 0 0 0

29430 FOLCROFT PA 06/09/2016 446,946 0 0 0 0 0 0 0 3,381 0 0 0

29431 SHARON HILL PA 06/09/2016 396,586 0 0 0 0 0 0 0 3,000 0 0 0

29432 MEDIA PA 06/09/2016 242,358 0 0 0 0 0 0 0 1,834 0 0 0

29433 CHADDS FORD PA 06/09/2016 396,586 0 0 0 0 0 0 0 3,000 0 0 0

29434 FOLCROFT PA 06/09/2016 78,688 0 0 0 0 0 0 0 595 0 0 0

29435 SHARON HILL PA 06/09/2016 286,423 0 0 0 0 0 0 0 2,167 0 0 0

29436 SHARON HILL PA 06/09/2016 717,631 0 0 0 0 0 0 0 5,429 0 0 0

29437 SHARON HILL PA 06/09/2016 1,466,737 0 0 0 0 0 0 0 11,097 0 0 0

29439 SHARON HILL PA 06/09/2016 321,046 0 0 0 0 0 0 0 2,429 0 0 0

29440 CHADDS FORD PA 06/09/2016 632,648 0 0 0 0 0 0 0 4,786 0 0 0

29442 SHARON HILL PA 06/09/2016 736,516 0 0 0 0 0 0 0 5,572 0 0 0

29444 CHADDS FORD PA 06/09/2016 1,674,473 0 0 0 0 0 0 0 12,669 0 0 0

29445 CHADDS FORD PA 06/09/2016 1,034,900 0 0 0 0 0 0 0 7,830 0 0 0

29522 CRANBERRY TOWNSHIP PA 01/19/2017 3,598,730 0 0 0 0 0 0 0 37,852 0 0 0

2750702 WILLOW GROVE PA 06/28/2007 558,480 0 0 0 0 0 0 0 22,457 0 0 0

50002390 GOSHEN PA 08/22/2003 289,205 0 0 0 0 0 0 0 31,661 0 0 0

27613 NORTH PROVIDENCE RI 08/30/2005 1,227,030 0 0 0 0 0 0 0 74,296 0 0 0

29689 Rock Hill SC 02/21/2018 1,884,639 0 0 0 0 0 0 0 17,374 0 0 0

29691 Myrtle Beach SC 04/13/2018 911,263 0 0 0 0 0 0 0 4,426 0 0 0

29695 Myrtle Beach SC 04/13/2018 97,830 0 0 0 0 0 0 0 475 0 0 0

29697 Greenville SC 04/13/2018 938,059 0 0 0 0 0 0 0 4,556 0 0 0

29836 Lake Wylie SC 06/25/2019 5,930,219 0 0 0 0 0 0 0 42,905 0 0 0

29867 Greenville SC 10/29/2019 3,988,747 0 0 0 0 0 0 0 34,286 0 0 0

29904 Charleston SC 01/02/2020 0 0 0 0 0 0 0 0 4,232 0 0 0

26948 DALLAS TX 01/30/2001 355,415 0 0 0 0 0 0 0 74,889 0 0 0

27099 FRIENDSWOOD TX 05/16/2002 3,617,843 0 0 0 0 0 0 0 93,550 0 0 0

29017 SAN ANTONIO TX 07/02/2014 4,140,768 0 0 0 0 0 0 0 24,389 0 0 0

29056 DALLAS TX 06/13/2014 3,007,397 0 0 0 0 0 0 0 20,709 0 0 0

29058 ARLINGTON TX 06/13/2014 3,007,397 0 0 0 0 0 0 0 20,709 0 0 0

29059 RICHARDSON TX 06/13/2014 6,981,194 0 0 0 0 0 0 0 52,736 0 0 0

29060 HOUSTON TX 06/13/2014 4,555,848 0 0 0 0 0 0 0 31,372 0 0 0

29130 HOUSTON TX 12/09/2014 1,447,549 0 0 0 0 0 0 0 7,204 0 0 0

E02.5




Loan Number

2

City

3

State

LoanType

DateAcquired

Disposal Date


Prior Year

8


(Decrease)

9

Current Year’s


10Current



11


Interest and Other

12

TotalChange


13


Book Value



Consid-eration

Foreign Exchange


RealizedGain

(Loss) on Disposal

TotalGain

(Loss) on Disposal

29145 WESLACO TX 01/15/2015 459,400 0 0 0 0 0 0 0 3,640 0 0 0

29166 LUFKIN TX 04/29/2015 1,138,341 0 0 0 0 0 0 0 10,566 0 0 0

29169 WACO TX 04/29/2015 487,861 0 0 0 0 0 0 0 4,528 0 0 0

29261 SOCORRO TX 09/10/2015 2,340,617 0 0 0 0 0 0 0 56,200 0 0 0

29501 SAN ANTONIO TX 01/03/2017 927,415 0 0 0 0 0 0 0 6,841 0 0 0

29617 Mesquite TX 08/30/2017 380,424 0 0 0 0 0 0 0 3,531 0 0 0

29645 Baytown TX 12/07/2017 31,205,398 0 0 0 0 0 0 0 397,066 0 0 0

2694802 DALLAS TX 04/04/2001 711,241 0 0 0 0 0 0 0 88,470 0 0 0

20007 WEST JORDAN UT 07/28/2014 730,894 0 247 0 0 247 0 0 3,838 0 0 0

28937 DRAPER UT 10/28/2014 4,265,037 0 210 0 0 210 0 0 19,234 0 0 0

29110 SALT LAKE CITY UT 10/29/2014 5,048,705 0 0 0 0 0 0 0 31,256 0 0 0

29111 SANDY UT 10/29/2014 3,988,656 0 0 0 0 0 0 0 24,693 0 0 0

29233 LOGAN UT 06/10/2015 6,460,567 0 0 0 0 0 0 0 39,575 0 0 0

29264 DRAPER UT 01/14/2016 3,460,164 0 0 0 0 0 0 0 12,471 0 0 0

29348 OREM UT 01/22/2016 2,793,241 0 0 0 0 0 0 0 14,838 0 0 0

29366 SALT LAKE CITY UT 01/28/2016 434,348 0 0 0 0 0 0 0 4,721 0 0 0

29408 RIVERTON UT 09/27/2016 4,057,501 0 0 0 0 0 0 0 20,768 0 0 0

29492 CHANTILLY VA 11/09/2016 939,587 0 0 0 0 0 0 0 5,365 0 0 0

29685 Urbanna VA 02/15/2018 15,013,739 0 0 0 0 0 0 0 130,641 0 0 0

29686 Topping VA 02/15/2018 9,008,243 0 0 0 0 0 0 0 78,384 0 0 0

29696 Virginia Beach VA 04/13/2018 125,077 0 0 0 0 0 0 0 608 0 0 0

20006 RENTON WA 07/28/2014 829,980 0 53 0 0 53 0 0 4,534 0 0 0

27311 VANCOUVER WA 09/24/2003 2,026,166 0 0 0 0 0 0 0 116,879 0 0 0

28990 BELLEVUE WA 09/10/2014 9,682,365 0 0 0 0 0 0 0 51,471 0 0 0

29410 EDMONDS WA 07/28/2016 2,051,481 0 0 0 0 0 0 0 11,225 0 0 0

29412 LYNWOOD WA 06/28/2016 4,299,369 0 0 0 0 0 0 0 23,785 0 0 0

29657 Olympia WA 12/01/2017 6,737,660 0 0 0 0 0 0 0 34,517 0 0 0

29722 Bellingham WA 05/30/2018 2,599,560 0 0 0 0 0 0 0 11,741 0 0 0

29726 Bellingham WA 05/30/2018 1,949,670 0 0 0 0 0 0 0 8,806 0 0 0

29121 MILWAUKEE WI 02/20/2015 8,335,023 0 0 0 0 0 0 0 97,719 0 0 0

29318 WAUKESHA WI 02/11/2016 2,535,399 0 0 0 0 0 0 0 19,272 0 0 0

29797 Franklin WI 12/19/2018 2,452,435 0 0 0 0 0 0 0 13,515 0 0 0

0299999. Mortgages with partial repayments 1,132,514,865 0 529 0 0 529 0 0 10,925,687 0 0 0

0599999 - Totals 1,157,258,658 0 529 0 0 529 0 24,612,176 35,741,468 0 0 0

E02.6


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

andAdmini-strative Symbo

Date OriginallyAcquired

Typeand

Strategy

Actual Costat Time of Acquisition

Additional Investment Made After Acquisition

Amount ofEncumbrances

Commitmentfor

AdditionalInvestment

Percentage of Ownership

000000-00-0 VOYA COMM MORTGAGE LENDING FUND LP WILMINGTON DE VOYA COMM MORTGAGE LENDING FUND LP 10/15/2019 0 958,660 0 0 1.910

000000-00-0 HARVEST PARTNERS VIII LP DES MOINES IA HARVEST PARTNERS VIII LP 11/27/2019 3 0 1,116,357 0 3,912,609 0.115

000000-00-0 GENERAL ATLANTIC INV PTNS 2019 GRAND CAYMAN CYM GENERAL ATLANTIC INV PTNS 2019 01/14/2020 3 0 51,492 0 1,378,184 0.090

000000-00-0 KAYNE SENIOR CREDIT FUND IV WILMINGTON DE KAYNE SENIOR CREDIT FUND IV 01/24/2020 0 225,000 0 1,050,000 0.834

000000-00-0 HELLMAN & FRIEDMAN CAP PTNS IX GRAND CAYMAN CYM HELLMAN & FRIEDMAN CAP PTNS IX 04/07/2020 3 1,033,668 0 0 0 0.000

000000-00-0 VERITAS CAPITAL FUND VII LP WILMINGTON DE VERITAS CAPITAL FUND VII LP 04/15/2020 3 48,439 0 0 0 0.000

000000-00-0 CLEARLAKE CAPITAL PARTNERS VI WILMINGTON DE CLEARLAKE CAPITAL PARTNERS VI 05/27/2020 3 219,395 0 0 0 0.000

000000-00-0 GREEN EQUITY INVESTORS VII LP WILMINGTON DE GREEN EQUITY INVESTORS VII LP 05/12/2017 3 0 449,569 0 1,397,198 0.131

000000-00-0 THOMAS BRAVO FUND XIII WILMINGTON DE THOMAS BRAVO FUND XIII 02/14/2019 3 0 520,367 0 1,806,524 0.080

000000-00-0 GTCR FUND XII LP WILMINGTON DE GTCR FUND XII LP 05/04/2018 3 0 156,250 0 3,583,230 0.139

000000-00-0 CHARLESBANK CAP PTNS IX LP WILMINGTON DE CHARLESBANK CAP PTNS IX LP 07/16/2018 3 0 526,627 0 3,749,908 0.248

000000-00-0 STONEPEAK INFRASTRUCTURE PTNRS III WILMINGTON DE STONEPEAK INFRASTRUCTURE PTNRS III 02/22/2018 0 888,660 0 2,637,729 0.083

000000-00-0 CARLYLE REALTY PARTNERS VIII LP WILMINGTON DE CARLYLE REALTY PARTNERS VIII LP 12/04/2017 0 252,162 0 4,750,452 0.115

000000-00-0 MSOUTH EQUITY PARTNERS WILMINGTON DE MSOUTH EQUITY PARTNERS 09/06/2019 3 0 31,985 0 2,773,688 0.335

000000-00-0 BROOKFIELD INFRASTRUCTURE FUND IV WILMINGTON DE BROOKFIELD INFRASTRUCTURE FUND IV 09/13/2019 0 32,659 0 2,842,201 0.030

000000-00-0 CERBERUS RM FUND GRAND CAYMAN CYM CERBERUS RM FUND 06/05/2019 7 0 181,640 0 1,020,155 0.877

000000-00-0 CLARION CAPITAL PARTNERS III GRAND CAYMAN CYM CLARION CAPITAL PARTNERS III 06/21/2019 3 0 195,613 0 3,142,948 0.775

000000-00-0 GENSTAR IX OPPORTUNITIES I WILMINGTON DE GENSTAR IX OPPORTUNITIES I 07/08/2019 3 0 830 0 788,096 0.131

000000-00-0 CHARLESBANK CAP PTNS IX OVERAGE PR WILMINGTON DE CHARLESBANK CAP PTNS IX OVERAGE PR 05/21/2018 3 0 671,144 0 2,692,407 0.634

000000-00-0 QUANTUM ENERGY PARTNERS VII WILMINGTON DE QUANTUM ENERGY PARTNERS VII 05/30/2018 3 0 75,616 0 1,611,039 0.102

000000-00-0 GOOD HILL PARTNERS LP WILMINGTON DE GOOD HILL PARTNERS LP 06/28/2018 54,661 0 0 0 0.209

000000-00-0 APOLLO HYBRID VALUE FUND LP WILMINGTON DE APOLLO HYBRID VALUE FUND LP 03/29/2019 3 0 840,271 0 2,074,326 0.280

000000-00-0 FS EQUITY PARTNERS VIII LP WILMINGTON DE FS EQUITY PARTNERS VIII LP 04/25/2019 3 0 269,575 0 3,570,628 0.261

000000-00-0 EQT INFRASTRUCTURE IV LUXEMBOURG LUX EQT INFRASTRUCTURE IV 06/05/2019 0 629,584 0 2,543,238 0.118

000000-00-0 CLEARLAKE CAPITAL PARTNERS V WILMINGTON DE CLEARLAKE CAPITAL PARTNERS V 02/01/2018 3 0 470,831 0 1,272,737 0.095

000000-00-0 PEAK ROCK CAP CREDIT FUND II WILMINGTON DE PEAK ROCK CAP CREDIT FUND II 03/06/2018 3 0 27,197 0 1,725,868 0.666

000000-00-0 DYAL CAPITAL PARTNERS IV WILMINGTON DE DYAL CAPITAL PARTNERS IV 06/11/2018 3 0 156,250 0 5,852,617 0.279

000000-00-0 BRYNWOOD PARTNERS VIII LP WILMINGTON DE BRYNWOOD PARTNERS VIII LP 04/20/2018 3 0 885,870 0 2,902,434 0.687

000000-00-0 QUAD-C PARTNERS IX MINNEAPOLIS MN QUAD-C PARTNERS IX 04/26/2017 3 0 681,103 0 2,751,170 0.489

000000-00-0 BAYVIEW OPPORTUNITY FUND V WILMINGTON DE BAYVIEW OPPORTUNITY FUND V 03/22/2017 10 0 1,528,528 0 2,111,985 0.550

000000-00-0 GCG INVESTORS IV LP WILMINGTON DE GCG INVESTORS IV LP 03/14/2017 2 0 334,091 0 1,097,377 2.213

000000-00-0 GREAT HILL EQUITY PARTNERS VI LP WILMINGTON DE GREAT HILL EQUITY PARTNERS VI LP 10/30/2017 3 0 377,843 0 1,437,859 0.321

000000-00-0 MARANON SR CREDIT STRATEGIES FND V WILMINGTON DE MARANON SR CREDIT STRATEGIES FND V 09/21/2017 0 467,028 0 705,696 6.128

000000-00-0 GENSTAR CAPITAL PARTNERS VIII WILMINGTON DE GENSTAR CAPITAL PARTNERS VIII 04/28/2017 3 0 80,682 0 478,009 0.294

000000-00-0 APOLLO INVESTMENT FUND IX LP WILMINGTON DE APOLLO INVESTMENT FUND IX LP 03/15/2019 3 0 220,778 0 3,048,661 0.035

000000-00-0 NEW MOUNTAIN PARTNERS V WILMINGTON DE NEW MOUNTAIN PARTNERS V 11/29/2017 3 0 536,282 0 3,433,514 0.145

000000-00-0 ENCAP ENERGY CAPITAL FUND XI LP HOUSTON TX ENCAP ENERGY CAPITAL FUND XI LP 07/17/2017 3 0 53,913 0 6,340,498 0.129

000000-00-0 INSIGHT VENTURE PARTNERS X LP GRAND CAYMAN CYM INSIGHT VENTURE PARTNERS X LP 04/17/2018 3 0 450,000 0 1,151,353 0.177

000000-00-0 TAILWIND CAPITAL PARTNERS III LP WILMINGTON DE TAILWIND CAPITAL PARTNERS III LP 09/27/2018 3 0 520,754 0 3,516,241 0.338

000000-00-0 GENSTAR VIII OPPORTUNITIES FUND I WILMINGTON DE GENSTAR VIII OPPORTUNITIES FUND I 10/05/2017 3 0 18,647 0 66,773 0.161

000000-00-0 EQT INFRASTRUCTURE III LUXEMBOURG EQT INFRASTRUCTURE III 10/25/2017 0 103,941 0 273,996 0.091

000000-00-0 K3 PRIVATE INVESTORS LP WILMINGTON DE K3 PRIVATE INVESTORS LP 07/18/2016 3 0 193,223 0 1,044,347 0.399

1999999. Joint Venture Interests - Common Stock - Unaffiliated 1,356,163 15,181,022 0 86,535,695 XXX000000-00-0 POMONA CAPITAL IX LP WILMINGTON DE POMONA CAPITAL IX LP 02/08/2018 3 0 5,280,000 0 39,410,934 2.876

000000-00-0 Roaring River IV Holding, LLC WILMINGTON DE 08/06/2013 0 41,000 0 0 0.000

2099999. Joint Venture Interests - Common Stock - Affiliated 0 5,321,000 0 39,410,934 XXX000000-00-0 BLACKSTONE REAL ESTATE PARTNERS IX LP WILMINGTON DE BLACKSTONE REAL ESTATE PARTNERS IX LP 09/23/2019 0 662,240 0 4,017,726 0.024

000000-00-0 TPG REAL ESTATE PARTNERS III WILMINGTON DE TPG REAL ESTATE PARTNERS III 09/17/2019 0 147,201 0 3,534,153 0.102

2199999. Joint Venture Interests - Real Estate - Unaffiliated 0 809,441 0 7,551,879 XXX

4899999. Total - Unaffiliated 1,356,163 15,990,463 0 94,087,574 XXX

4999999. Total - Affiliated 0 5,321,000 0 39,410,934 XXX

5099999 - Totals 1,356,163 21,311,463 0 133,498,508 XXX

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

CUSIPIdentification Name or Description

3

City

4

State

Name of Purchaser orNature of Disposal

DateOriginally Acquired

DisposalDate

Book/Adjusted Carrying

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

Income312903-L8-8 FHLMC_159 RS VARIOUS US SALE 05/21/2013 06/30/2020 200 0 0 0 0 0 0 200 0 0 (200) (200) 0

31358E-WW-8 FNMA_90-86 R VARIOUS US SALE 05/22/2013 06/30/2020 2,426 0 0 0 0 0 0 2,426 0 0 (2,426) (2,426) 21

0999999. Non-Registered Private Funds - Bonds - NAIC Designation Not Assigned by the SVO - Unaffiliated 2,626 0 0 0 0 0 0 2,626 0 0 (2,626) (2,626) 21

000000-00-0 VOYA COMM MORTGAGE LENDING FUND LP WILMINGTON DE RETURN OF CAPITAL 10/15/2019 04/30/2020 46,977 0 0 0 0 0 0 46,977 46,977 0 0 0 0

1199999. Non-Registered Private Funds - Mortgage Loans - Unaffiliated 46,977 0 0 0 0 0 0 46,977 46,977 0 0 0 0

000000-00-0 EQT INFRASTRUCTURE III LUXEMBOURG LUX SALE 10/25/2017 06/30/2020 6,024 0 0 0 0 0 0 6,024 0 6,024 0 6,024 0

000000-00-0 GOOD HILL PARTNERS LP WILMINGTON DE SALE 06/28/2018 06/30/2020 68,846 (14,185) 0 0 0 (14,185) 0 54,661 0 0 (54,661) (54,661) 0

000000-00-0 CERBERUS RM FUND GRAND CAYMAN CYM RETURN OF CAPITAL 06/05/2019 06/30/2020 362,266 0 0 0 0 0 0 362,266 362,266 0 0 0 0

000000-00-0 GENSTAR CAPITAL PARTNERS IX WILMINGTON DE RETURN OF CAPITAL 07/03/2019 06/30/2020 26,647 0 0 0 0 0 0 26,647 26,647 0 0 0 0

000000-00-0 APOLLO HYBRID VALUE FUND LP WILMINGTON DE RETURN OF CAPITAL 03/29/2019 06/30/2020 576,142 0 0 0 0 0 0 576,142 576,142 0 0 0 0

000000-00-0 K3 PRIVATE INVESTORS LP WILMINGTON DE RETURN OF CAPITAL 07/18/2016 06/24/2020 25,317 0 0 0 0 0 0 25,317 25,317 0 0 0 0

000000-00-0 VISTA EQUITY PARTNERS FUND VI LP GRAND CAYMAN CYM RETURN OF CAPITAL 06/28/2016 05/31/2020 7,220 0 0 0 0 0 0 7,220 7,220 0 0 0 0

000000-00-0 BROOKFIELD INFRASTRUCTURE FUND III B WILMINGTON DE RETURN OF CAPITAL 05/16/2016 06/18/2020 33,785 0 0 0 0 0 0 33,785 33,785 0 0 0 0

1999999. Joint Venture Interests - Common Stock - Unaffiliated 1,106,248 (14,185) 0 0 0 (14,185) 0 1,092,062 1,031,377 6,024 (54,661) (48,637) 0

000000-00-0 POMONA CAPITAL IX LP WILMINGTON DE RETURN OF CAPITAL 02/08/2018 06/05/2020 287,640 0 0 0 0 0 0 287,640 287,640 0 0 0 0

2099999. Joint Venture Interests - Common Stock - Affiliated 287,640 0 0 0 0 0 0 287,640 287,640 0 0 0 0

000000-00-0 RIVERROCH LLC WILMINGTON DE RETURN OF CAPITAL 12/31/2019 06/30/2020 204,712 0 0 0 0 0 0 204,712 204,712 0 0 0 0

000000-00-0 BLACKSTONE REAL ESTATE PARTNERS IX LP WILMINGTON DE CAPITAL CONTRIBUTION 09/23/2019 06/26/2020 140,047 0 0 0 0 0 0 140,047 140,047 0 0 0 0

2199999. Joint Venture Interests - Real Estate - Unaffiliated 344,759 0 0 0 0 0 0 344,759 344,759 0 0 0 0

4899999. Total - Unaffiliated 1,500,610 (14,185) 0 0 0 (14,185) 0 1,486,424 1,423,113 6,024 (57,287) (51,263) 21

4999999. Total - Affiliated 287,640 0 0 0 0 0 0 287,640 287,640 0 0 0 0

5099999 - Totals 1,788,250 (14,185) 0 0 0 (14,185) 0 1,774,064 1,710,753 6,024 (57,287) (51,263) 21

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

Designation and

Admini-strative Symbol

912833-LS-7 TREASURY STRIP (INT) 06/09/2020 J.P. MORGAN SECURITIES, INC. 809,110 824,000 0 1

0599999. Subtotal - Bonds - U.S. Governments 809,110 824,000 0 XXX3136AV-GR-4 FNMA_17-7 06/01/2020 CAPITALIZED INTEREST 11,862 11,862 0 1FE

3137FK-XG-6 FHLMC_4868 06/01/2020 CAPITALIZED INTEREST 118,553 118,553 0 1FE

3140EV-UL-9 FNMA 30YR 05/28/2020 DIRECT 3,681,268 3,436,924 0 1FE

38376G-2S-8 GNMA_11-103 06/01/2020 CAPITALIZED INTEREST 1,979 1,979 0 1FE

38376G-4U-1 GNMA_11-121 06/01/2020 CAPITALIZED INTEREST 1,304 1,304 0 1FE

38376G-D8-0 GNMA_11-27 06/01/2020 CAPITALIZED INTEREST 74,387 74,387 0 1FE

38376G-W5-5 GNMA_11-86 06/01/2020 CAPITALIZED INTEREST 1,860 1,860 0 1FE

38378B-AP-4 GNMA_11-164 06/01/2020 CAPITALIZED INTEREST 1,375 1,375 0 1FE

38378B-YH-6 GNMA_12-86 06/01/2020 CAPITALIZED INTEREST 1,485 1,485 0 1FE

38378K-R8-4 GNMA_13-118 06/01/2020 CAPITALIZED INTEREST 12,735 12,735 0 1FE

38378N-3Z-4 GNMA_14-75 06/01/2020 CAPITALIZED INTEREST 25,375 25,375 0 1FE

38378N-G9-8 GNMA_14-50 06/01/2020 CAPITALIZED INTEREST 54,923 54,923 0 1FE

38378X-SN-2 GNMA_14-134 06/01/2020 CAPITALIZED INTEREST 18,405 18,405 0 1FE

38379K-3D-8 GNMA_15-174 06/01/2020 CAPITALIZED INTEREST 22,773 22,773 0 1FE

38379K-L6-3 GNMA_15-128 06/01/2020 CAPITALIZED INTEREST 30,140 30,140 0 1FE

38379K-UF-3 GNMA_15-93 06/01/2020 CAPITALIZED INTEREST 57,263 57,263 0 1FE

38379L-EG-7 GNMA_15-39 06/01/2020 CAPITALIZED INTEREST 19,157 19,157 0 1FE

38379R-2V-4 GNMA_17-119 06/01/2020 CAPITALIZED INTEREST 20,041 20,041 0 1FE

38379R-5P-4 GNMA_17-143 06/01/2020 CAPITALIZED INTEREST 72,911 72,911 0 1FE

38379R-6F-5 GNMA_17-146 06/01/2020 CAPITALIZED INTEREST 3,476 3,476 0 1FE

38379R-6V-0 GNMA_17-138 06/01/2020 CAPITALIZED INTEREST 660 660 0 1FE

38379R-B6-9 GNMA_17-86 06/01/2020 CAPITALIZED INTEREST 27,013 27,013 0 1FE

38379R-CB-7 GNMA_15-188 06/01/2020 CAPITALIZED INTEREST 8,540 8,540 0 1FE

38379R-N3-3 GNMA_17-108 06/01/2020 CAPITALIZED INTEREST 29,658 29,658 0 1FE

38379R-QH-9 GNMA_17-35 06/01/2020 CAPITALIZED INTEREST 23,626 23,626 0 1FE

38379R-SK-0 GNMA_17-54 06/01/2020 CAPITALIZED INTEREST 33,487 33,487 0 1FE

38379R-UD-3 GNMA_17-51 06/01/2020 CAPITALIZED INTEREST 22,453 22,453 0 1FE

38379R-W7-4 GNMA_17-124 06/01/2020 CAPITALIZED INTEREST 19,605 19,605 0 1FE

38379U-AH-9 GNMA_15-18 06/01/2020 CAPITALIZED INTEREST 4,377 4,377 0 1FE

38379U-ZB-5 GNMA_16-102 06/01/2020 CAPITALIZED INTEREST 12,021 12,021 0 1FE

38380J-BC-1 GNMA_17-148 06/01/2020 CAPITALIZED INTEREST 28,716 28,716 0 1FE

38380J-LF-3 GNMA_18-4 06/01/2020 CAPITALIZED INTEREST 8,330 8,330 0 1FE

38380J-PJ-1 GNMA_18-20 06/01/2020 CAPITALIZED INTEREST 39,582 39,582 0 1FE

38380J-TM-0 GNMA_18-39 06/01/2020 CAPITALIZED INTEREST 30,058 30,058 0 1FE

38380M-CZ-2 GNMA_18-106 06/01/2020 CAPITALIZED INTEREST 52,205 52,205 0 1FE

38380M-LC-3 GNMA_18-123 06/01/2020 CAPITALIZED INTEREST 37,008 37,008 0 1FE

38380M-QE-4 GNMA_18-136 06/01/2020 CAPITALIZED INTEREST 75,412 75,412 0 1FE

38380M-QN-4 GNMA_18-143 06/01/2020 CAPITALIZED INTEREST 97,329 97,329 0 1FE

38380M-S8-5 GNMA_19-26 06/01/2020 CAPITALIZED INTEREST 38,895 38,895 0 1FE

38380M-VX-6 GNMA_18-156 06/01/2020 CAPITALIZED INTEREST 42,467 42,467 0 1FE

38380M-XD-8 GNR_18-161 06/01/2020 CAPITALIZED INTEREST 40,685 40,685 0 1FE

38380N-AE-9 GNMA_19-60 06/01/2020 CAPITALIZED INTEREST 79,763 79,763 0 1FE

38380N-BN-8 GNMA_19-64 06/01/2020 CAPITALIZED INTEREST 16,389 16,389 0 1FE

3199999. Subtotal - Bonds - U.S. Special Revenues 4,999,551 4,755,207 0 XXX009158-BA-3 AIR PRODUCTS AND CHEMICALS INC 04/27/2020 CITIGROUP GLOBAL MARKETS INC 1,992,720 2,000,000 0 1FE

009158-BB-1 AIR PRODUCTS AND CHEMICALS INC 04/27/2020 DIRECT 589,876 590,000 0 1FE

02209S-BH-5 ALTRIA GROUP INC 05/04/2020 DIRECT 634,733 635,000 0 2FE

026874-DQ-7 AMERICAN INTERNATIONAL GROUP INC 05/06/2020 DIRECT 1,997,840 2,000,000 0 2FE

03028P-K@-4 AMERICAN TRANSMISSION COMPANY LLC 04/30/2020 PRIVATE DIRECT 2,200,000 2,200,000 0 1

03076C-AK-2 AMERIPRISE FINANCIAL INC 03/31/2020 DIRECT 0 0 (72) 1FE

037735-CY-1 APPALACHIAN POWER CO 05/12/2020 WACHOVIA CAPITAL MARKETS LLC 1,342,022 1,350,000 0 1FE

04002Q-AA-0 AREIT_18-CRE2 04/15/2020 ROBERT W. BAIRD & CO., INC. 460,048 486,020 23 1FE

05492V-AB-1 BBCMS_20-C7 06/12/2020 DIRECT 1,029,965 1,000,000 1,582 1FE

05526Q-AN-6 BAMLL_15-200P 04/29/2020 CREDIT SUISSE SECURITIES (USA) LLC 962,461 1,000,000 0 1FM

05607Q-AU-2 BX_20-BXLP 04/20/2020 J.P. MORGAN SECURITIES, INC. 925,000 1,000,000 469 2FE

064058-AH-3 BANK OF NEW YORK MELLON CORP/THE 05/12/2020 CREDIT SUISSE SECURITIES (USA) LLC 1,000,000 1,000,000 0 2FE

06541F-AJ-8 BANK_17-BNK4 04/01/2020 J.P. MORGAN SECURITIES, INC. 72,881 125,000 23 1FM

08161C-AL-5 BMARK_18-B2 04/22/2020 CITIGROUP GLOBAL MARKETS INC 829,922 1,000,000 2,684 1FM

08162Q-AN-9 BMARK_20-IG3 05/22/2020 J.P. MORGAN SECURITIES, INC. 1,446,027 1,500,000 3,952 1FE

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

Designation and


09247X-AR-2 BLACKROCK INC 04/27/2020 DIRECT 687,544 690,000 0 1FE

093712-AF-4 BLOOM ENERGY CORPORATION 05/01/2020 PRIVATE DIRECT 3,999,333 4,000,000 0 4PL

097023-CW-3 BOEING CO 04/30/2020 CITIGROUP GLOBAL MARKETS INC 2,000,000 2,000,000 0 2FE

097023-CX-1 BOEING CO 04/30/2020 CITIGROUP GLOBAL MARKETS INC 2,000,000 2,000,000 0 2FE

11135F-AR-2 BROADCOM INC 05/05/2020 WACHOVIA CAPITAL MARKETS LLC 1,498,110 1,500,000 0 2FE

12433X-AG-4 BX_20-VIVA 05/05/2020 CITIGROUP GLOBAL MARKETS INC 1,666,818 2,000,000 2,648 2FE

125896-BU-3 CMS ENERGY CORPORATION 05/15/2020 GOLDMAN SACHS & CO 750,000 750,000 0 3FE

12653B-AN-0 CSWF_18-TOP 04/13/2020 J.P. MORGAN SECURITIES, INC. 680,000 800,000 0 1FM

12653V-AE-6 CSMC_19-ICE4 04/24/2020 MORGAN STANLEY & CO. INC. 1,888,125 2,000,000 1,621 1FE

12656*-AT-9 CSLB HOLDINGS INC 05/27/2020 PRIVATE DIRECT 4,700,000 4,700,000 0 1Z

149123-CJ-8 CATERPILLAR INC 04/06/2020 BANK OF AMERICA SECURITIES LLC 996,010 1,000,000 0 1FE

20035A-AA-2 COMED FINANCING III 06/15/2020 BROWNSTONE INVESTMENT GROUP LLC 1,157,500 1,000,000 16,228 2FE

20048E-BC-4 COMM_13-LC6 05/07/2020 MORGAN STANLEY & CO. INC. 1,457,344 1,500,000 1,768 1FM

20048G-AA-4 COMM_19-521F 04/17/2020 CREDIT SUISSE SECURITIES (USA) LLC 2,859,375 3,000,000 857 1FE

22550L-2B-6 CREDIT SUISSE AG (NEW YORK BRANCH) 04/06/2020 DIRECT 1,999,920 2,000,000 0 1FE

24736@-AA-7 DELTA AIR LINES 2020-1A B 04/09/2020 PRIVATE DIRECT 7,900,000 7,900,000 0 2PL

24737*-AA-8 DELTA AIR LINES 2019-1A B 04/22/2020 PRIVATE DIRECT 5,700,000 5,700,000 0 2PL

254687-FZ-4 WALT DISNEY CO 05/11/2020 MORGAN STANLEY & CO. INC. 4,993,200 5,000,000 0 1FE

256677-AH-8 DOLLAR GENERAL CORPORATION 04/01/2020 GOLDMAN SACHS & CO 494,985 500,000 0 2FE

263534-CN-7 CTVA 05/13/2020 DIRECT 629,433 630,000 0 1FE

26746*-AA-2 DYAL CAPITAL PARTNERS III 06/23/2020 PRIVATE DIRECT 1,091,804 1,091,804 0 1Z

26746@-AA-0 DYAL CAPITAL PARTNERS III 06/23/2020 PRIVATE DIRECT 1,900,000 1,900,000 0 1Z

291011-BL-7 EMERSON ELECTRIC CO 04/27/2020 DIRECT 1,368,767 1,370,000 0 1FE

291011-BM-5 EMERSON ELECTRIC CO 04/27/2020 J.P. MORGAN SECURITIES, INC. 1,997,560 2,000,000 0 1FE

31428X-BD-7 FEDEX CORP 04/28/2020 MARKET AXESS 657,600 685,000 7,621 2FE

31428X-BQ-8 FEDEX CORP 05/15/2020 CITIGROUP GLOBAL MARKETS INC 1,127,532 1,200,000 12,690 2FE

31428X-CA-2 FEDEX CORP 04/03/2020 J.P. MORGAN SECURITIES, INC. 990,500 1,000,000 0 2FE

345370-CV-0 FORD MOTOR COMPANY 04/17/2020 GOLDMAN SACHS & CO 1,020,000 1,020,000 0 3FE

35086@-AE-1 FOUR CORNERS OPERATING PARTNERSHIP 06/09/2020 PRIVATE DIRECT 1,500,000 1,500,000 0 2FE

35086@-AF-8 FOUR CORNERS OPERATING PARTNERSHIP 04/08/2020 PRIVATE DIRECT 1,500,000 1,500,000 0 2FE

36248G-AL-4 GSMS_13-GC16 05/19/2020 BARCLAYS CAPITAL INC 971,875 1,000,000 2,950 1FM

36255W-AG-0 GSMS_18-RIVR 04/21/2020 BTIG, LLC 881,875 1,000,000 477 2FE

36257M-AA-3 GSMS_19-70P 04/14/2020 GOLDMAN SACHS & CO 946,250 1,000,000 47 1FE

369604-BF-9 GENERAL ELECTRIC CO 05/29/2020 WACHOVIA CAPITAL MARKETS LLC 2,984,290 3,195,000 19,403 2FE

39539G-AB-8 GPMF_06-OH1 A2 04/01/2020 CAPITALIZED INTEREST 0 459 0 1FM

41242*-BW-1 HARDWOOD FUNDING LLC 06/30/2020 PRIVATE DIRECT 3,700,000 3,700,000 0 1FE

41242*-BX-9 HARDWOOD FUNDING LLC 06/30/2020 PRIVATE DIRECT 1,800,000 1,800,000 0 1FE

42218S-AH-1 HEALTH CARE SERVICE CORP 05/28/2020 J.P. MORGAN SECURITIES, INC. 2,973,090 3,000,000 0 1FE

45866F-AL-8 INTERCONTINENTAL EXCHANGE INC 05/18/2020 WACHOVIA CAPITAL MARKETS LLC 590,976 600,000 0 1FE

46185H-AA-0 IHSFR_18-SFR2 04/15/2020 BANK OF AMERICA SECURITIES LLC 834,824 887,152 0 1FE

46185J-AA-6 IHSFR_18-SFR1 04/15/2020 BANK OF AMERICA SECURITIES LLC 843,478 902,757 0 1FE

46640J-AC-1 JPMCC_13-C13 05/14/2020 BARCLAYS CAPITAL INC 478,750 500,000 993 1FM

48253Q-AG-0 KIND_20-AIP 04/27/2020 J.P. MORGAN SECURITIES, INC. 1,905,000 2,000,000 1,671 1FE

48253Q-AJ-4 KIND_20-AIP 05/13/2020 J.P. MORGAN SECURITIES, INC. 2,391,250 2,500,000 1,631 1FE

491674-BM-8 KENTUCKY UTILITIES COMPANY 05/19/2020 BARCLAYS CAPITAL INC 2,487,725 2,500,000 0 1FE

49446R-AV-1 KIMCO REALTY CORPORATION 05/07/2020 J.P. MORGAN SECURITIES, INC. 1,259,550 1,500,000 6,167 2FE

50512#-AG-7 LA STADIUM FINANCE CO LLC 05/21/2020 PRIVATE DIRECT 1,500,000 1,500,000 0 2PL

50512#-AH-5 LA STADIUM FINANCE CO LLC 05/21/2020 PRIVATE DIRECT 4,400,000 4,400,000 0 2PL

512807-AW-8 LAM RESEARCH CORPORATION 04/30/2020 BANK OF AMERICA SECURITIES LLC 1,496,055 1,500,000 0 1FE

512807-AX-6 LAM RESEARCH CORPORATION 04/30/2020 BANK OF AMERICA SECURITIES LLC 1,994,020 2,000,000 0 1FE

53079E-BK-9 LIBERTY MUTUAL GROUP INC 05/07/2020 CORPORATE ACTION 5,859,480 6,000,000 0 2FE

56081#-CB-4 MAJOR LEAGUE BASEBALL TRUST 06/10/2020 PRIVATE DIRECT 4,000,000 4,000,000 0 1Z

57736*-AV-3 MAUI ELECTRIC COMPANY LIMITED 05/14/2020 PRIVATE DIRECT 6,500,000 6,500,000 0 2Z

58174#-AF-1 MCKINSEY & CO 06/11/2020 PRIVATE DIRECT 2,200,000 2,200,000 0 1PL

58174#-AG-9 MCKINSEY & CO 06/11/2020 PRIVATE DIRECT 1,500,000 1,500,000 0 1PL

595112-BR-3 MICRON TECHNOLOGY INC 04/21/2020 DIRECT 1,010,000 1,010,000 0 2FE

61690V-BD-9 MSBAM_15-C26 04/01/2020 J.P. MORGAN SECURITIES, INC. 116,050 125,000 31 1FM

617446-8Q-5 MORGAN STANLEY 04/23/2020 DIRECT 1,595,000 1,595,000 0 1FE

61770Y-AG-0 MSC_20-CNP 05/06/2020 MORGAN STANLEY & CO. INC. 857,199 1,000,000 836 1FE

61770Y-AJ-4 MSC_20-CNP 05/06/2020 MORGAN STANLEY & CO. INC. 941,391 1,185,000 991 2FE

670346-AR-6 NUCOR CORPORATION 05/20/2020 DIRECT 314,521 315,000 0 2FE

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

Designation and


69352P-AQ-6 PPL CAPITAL FUNDING INC 04/01/2020 J.P. MORGAN SECURITIES, INC. 499,830 500,000 0 2FE

69371R-Q7-4 PACCAR FINANCIAL CORP 04/02/2020 DIRECT 604,691 605,000 0 1FE

720186-AM-7 PIEDMONT NATURAL GAS COMPANY INC 05/18/2020 MIZUHO SECURITIES USA INC 99,287 100,000 0

761713-BW-5 REYNOLDS AMERICAN INC 05/22/2020 MORGAN STANLEY & CO. INC. 1,585,152 1,290,000 28,344 2FE

808513-BD-6 CHARLES SCHWAB CORPORATION (THE) 04/27/2020 CREDIT SUISSE SECURITIES (USA) LLC 2,000,000 2,000,000 0 2FE

837004-CJ-7 DOMINION ENERGY SOUTH CAROLINA INC 05/08/2020 BANK OF AMERICA SECURITIES LLC 1,354,580 1,000,000 22,808 1FE

87264A-AY-1 T-MOBILE USA INC 04/02/2020 BARCLAYS CAPITAL INC 1,244,688 1,250,000 0 2FE

89832Q-AF-6 TRUIST FINANCIAL CORP COM 06/16/2020 RBC CAPITAL MARKETS 750,000 750,000 0 2FE

898813-AR-1 TUCSON ELECTRIC POWER CO 04/06/2020 SUNTRUST 991,380 1,000,000 0 1FE

90270R-AJ-3 UBSBB_12-C4 04/01/2020 J.P. MORGAN SECURITIES, INC. 116,147 125,000 30 1FM

92345Y-AG-1 VERISK ANALYTICS INC 05/08/2020 BANK OF AMERICA SECURITIES LLC 1,484,550 1,500,000 0 2FE

928563-AF-2 VMWARE INC 04/02/2020 J.P. MORGAN SECURITIES, INC. 249,108 250,000 0 2FE

92936Y-AG-6 WFRBS_12-C8 04/01/2020 J.P. MORGAN SECURITIES, INC. 118,496 125,000 34 1FM

92938E-BJ-1 WFRBS_13-C16 04/01/2020 J.P. MORGAN SECURITIES, INC. 107,715 125,000 35 1FM

92940P-AG-9 WRKCO INC 06/01/2020 WACHOVIA CAPITAL MARKETS LLC 748,230 750,000 0 2FE

94990E-AA-2 WFCM_18-AUS 04/23/2020 WACHOVIA CAPITAL MARKETS LLC 1,040,703 1,000,000 2,931 1FE

BIN1E1-0P-0 LV STADIUM EVENTS CO LLC 06/30/2020 PRIVATE DIRECT 1,900,000 1,900,000 0 2FE

064159-VJ-2 BANK OF NOVA SCOTIA A 05/28/2020 SCOTIA USA INC 1,000,000 1,000,000 0 2FE

03939A-AA-5 ARCH CAPITAL GROUP LTD. D 06/23/2020 WACHOVIA CAPITAL MARKETS LLC 1,000,000 1,000,000 0 2FE

04002R-AA-8 AREIT_20-FL4 D 05/19/2020 WACHOVIA CAPITAL MARKETS LLC 1,997,500 2,000,000 0 1FE

055451-AX-6 BHP BILLITON FINANCE (USA) LTD D 06/15/2020 JEFFERIES & COMPANY, INC. 1,728,750 1,500,000 16,313 2FE

05549V-AA-6 BDS_18-FL2 D 04/15/2020 WACHOVIA CAPITAL MARKETS LLC 596,184 625,095 0 1FE

05565Q-DV-7 BP CAPITAL MARKETS PLC D 06/17/2020 BANK OF AMERICA SECURITIES LLC 1,500,000 1,500,000 0 2FE

11124T-AC-8 BDRVR_20-1A D 05/21/2020 CITIGROUP GLOBAL MARKETS INC 1,990,000 2,000,000 0 1FE

12434L-AA-2 BXMT_20-FL2 D 04/30/2020 BANK OF AMERICA SECURITIES LLC 2,842,500 3,000,000 2,339 1FE

12434L-AC-8 BXMT_20-FL2 D 05/04/2020 BANK OF AMERICA SECURITIES LLC 1,380,938 1,500,000 1,505 1FE

279158-AN-9 ECOPETROL SA D 04/24/2020 J.P. MORGAN SECURITIES, INC. 991,120 1,000,000 0 2FE

55954Y-AC-9 MAGNE_20-26A D 05/18/2020 GOLDMAN SACHS & CO 1,000,000 1,000,000 0 1FE

65120F-AE-4 NEWCREST FINANCE PTY LTD D 05/07/2020 BANK OF AMERICA SECURITIES LLC 497,380 500,000 0 2FE

671078-AC-7 OCP_20-18A D 05/14/2020 BANK OF AMERICA SECURITIES LLC 750,000 750,000 0 1FE

67402F-AC-3 OAKCL_20-1A D 05/14/2020 BARCLAYS CAPITAL INC 995,000 1,000,000 0 1FE

69701K-AC-6 PSTAT_20-3 D 05/19/2020 CITIGROUP GLOBAL MARKETS INC 1,000,000 1,000,000 0 1FE

86315R-AC-3 STRAS_20-1A D 04/02/2020 CITIGROUP GLOBAL MARKETS INC 1,980,000 2,000,000 0 1FE

87190C-AE-0 TCW_20-1A D 04/22/2020 JEFFERIES & COMPANY, INC. 1,000,000 1,000,000 0 1FE

BIN1EG-RN-3 ECUADOR DIVERSIFIED PAYMENT RIGHTS D 02/20/2020 PRIVATE DIRECT (2,030,000) (2,030,000) 0 4FE

BIN1FY-51-5 ECUADOR DIVERSIFIED PAYMENT RIGHTS D 02/20/2020 PRIVATE DIRECT 2,030,000 2,030,000 0 4FE

G0488*-AA-2 ATLANTICA YIELD PLC B 04/01/2020 PRIVATE DIRECT 13,436,520 13,814,745 0 2PL

G4910@-AB-8 INTERSERVE HOLDINGS LTD B 06/30/2020 PRIVATE DIRECT 0 96,789 0 4Z

3899999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) 186,608,053 189,294,821 161,630 XXX

8399997. Total - Bonds - Part 3 192,416,714 194,874,028 161,630 XXX

8399998. Total - Bonds - Part 5 XXX XXX XXX XXX

8399999. Total - Bonds 192,416,714 194,874,028 161,630 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 XXX31340@-10-2 FEDERAL HOME LOAN BANK- TOPEKA PRVT 06/30/2020 DIRECT 6,190.000 619,000 0

9199999. Subtotal - Common Stocks - Industrial and Miscellaneous (Unaffiliated) Other 619,000 XXX 0 XXX

9799997. Total - Common Stocks - Part 3 619,000 XXX 0 XXX

9799998. Total - Common Stocks - Part 5 XXX XXX XXX XXX

9799999. Total - Common Stocks 619,000 XXX 0 XXX

9899999. Total - Preferred and Common Stocks 619,000 XXX 0 XXX

9999999 - Totals 193,035,714 XXX 161,630 XXX

E04.2


SCHEDULE D - PART 4Show All Long-Term Bonds and Stock Sold, Redeemed or Otherwise Disposed of During the Current Quarter

1 2 3 4 5 6 7 8 9 10 Change In Book/Adjusted Carrying Value 16 17 18 19 20 21 22

CUSIPIdent-

ification DescriptionFor-eign

DisposalDate

Nameof Purchaser

Number of Shares of

StockConsid-eration Par Value

ActualCost

Prior YearBook/

Adjusted Carrying

Value

11

Unrealized Valuation Increase/

(Decrease)

12

Current Year's (Amor-

tization)/Accretion

13

Current Year's

Other Than Temporary Impairment

Recog-nized

14Total

Change in Book/

Adjusted Carrying

Value(11 + 12 -

13)

15Total

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

NAICDesig-nation and


3620A7-JL-0 GNMA 30YR 06/01/2020 MBS PAYDOWN 5,324 5,324 5,867 5,329 0 (5) 0 (5) 0 5,324 0 0 0 100 09/15/2040 1FE

36290Q-AJ-4 GNMA 30YR 06/01/2020 MBS PAYDOWN 7,679 7,679 8,068 7,696 0 (17) 0 (17) 0 7,679 0 0 0 192 10/15/2033 1FE

0599999. Subtotal - Bonds - U.S. Governments 13,003 13,003 13,935 13,025 0 (22) 0 (22) 0 13,003 0 0 0 292 XXX XXX011428-87-8 RUSSIAN (FEDERATION OF) REGS D 04/01/2020 MBS PAYDOWN 40,000 40,000 32,612 39,778 0 222 0 222 0 40,000 0 0 0 1,500 03/31/2030 2FE

05674R-AB-0 BAHRAIN KINGDOM OF (GOVERNMENT) D 06/22/2020 GOLDMAN SACHS & CO 1,181,819 1,135,000 1,133,490 1,134,531 0 84 0 84 0 1,134,616 0 47,203 47,203 67,395 07/05/2022 4FE

05674R-AF-1 BAHRAIN KINGDOM OF (GOVERNMENT) D 06/11/2020 VARIOUS 2,505,226 2,250,000 2,250,000 2,250,000 0 0 0 0 0 2,250,000 0 255,226 255,226 139,144 01/26/2026 4FE

105756-BZ-2 BRAZIL FEDERATIVE REPUBLIC OF (GOV D 05/27/2020 BRADESCO SECURITIES 357,877 340,000 338,650 339,245 0 106 0 106 0 339,351 0 18,526 18,526 13,803 01/13/2028 3FE

80413T-AB-5 SAUDI INTERNATIONAL BOND D 04/16/2020

MORGAN STANLEY & CO.

INC. 1,976,813 1,950,000 1,924,241 1,931,513 0 732 0 732 0 1,932,245 0 44,568 44,568 30,631 10/26/2026 1FE

90015L-AA-5 TURKIYE IHRACAT KREDI BANKASI AS D 06/16/2020 BBVA SECURITIES INC 352,695 350,000 348,488 349,631 0 153 0 153 0 349,784 0 2,911 2,911 16,200 02/08/2021 4FE

EG4211-75-1 PETRO CO TRIN/TOBAGO LTD D 05/08/2020

SINKING FUND REDEMPTION

62,500 62,500 66,625 62,500 0 0 0 0 0 62,500 0 0 0 1,875 05/08/2022 3FE

1099999. Subtotal - Bonds - All Other Governments 6,476,930 6,127,500 6,094,106 6,107,198 0 1,297 0 1,297 0 6,108,496 0 368,434 368,434 270,548 XXX XXX373384-NZ-5 GEORGIA ST 05/18/2020 CORPORATE ACTION 250,000 250,000 250,000 250,000 0 0 0 0 0 250,000 0 0 0 6,160 11/01/2025 1FE

70914P-NE-8 PENNSYLVANIA ST 05/01/2020 CORPORATE ACTION 10,000,000 10,000,000 11,020,800 10,052,311 0 (52,311) 0 (52,311) 0 10,000,000 0 0 0 267,500 05/01/2030 1FE

1799999. Subtotal - Bonds - U.S. States, Territories and Possessions 10,250,000 10,250,000 11,270,800 10,302,311 0 (52,311) 0 (52,311) 0 10,250,000 0 0 0 273,660 XXX XXX193908-EE-6 CMOT_66 L 06/01/2020 MBS PAYDOWN 7 7 85 20 0 (14) 0 (14) 0 7 0 0 0 31 09/20/2021 1FE

30711X-AF-1 CAS_14-C02 06/25/2020 MBS PAYDOWN 504,610 504,610 459,824 505,338 0 (728) 0 (728) 0 504,610 0 0 0 3,608 05/25/2024 1

30711X-AH-7 CAS_14-C02 06/25/2020 MBS PAYDOWN 584,881 584,881 530,243 586,628 0 (1,747) 0 (1,747) 0 584,881 0 0 0 3,641 05/25/2024 1

30711X-AK-0 CAS_14-C03 06/25/2020 MBS PAYDOWN 530,138 530,138 473,695 530,949 0 (811) 0 (811) 0 530,138 0 0 0 3,651 07/25/2024 1

30711X-AT-1 CAS_2015_C01 06/25/2020 MBS PAYDOWN 689,188 689,188 731,831 696,074 0 (6,886) 0 (6,886) 0 689,188 0 0 0 13,536 02/25/2025 1

30711X-AX-2 CAS_2015-C02 06/25/2020 MBS PAYDOWN 188,100 188,100 181,540 189,826 0 (1,726) 0 (1,726) 0 188,100 0 0 0 1,637 05/25/2025 1

30711X-BB-9 CAS_15-C03 06/25/2020 MBS PAYDOWN 150,877 150,877 165,240 153,019 0 (2,142) 0 (2,142) 0 150,877 0 0 0 4,177 07/25/2025 1

30711X-BF-0 CAS_15-C04 06/25/2020 MBS PAYDOWN 283,320 283,320 315,428 287,942 0 (4,622) 0 (4,622) 0 283,320 0 0 0 8,712 04/25/2028 1

30711X-CT-9 CAS_16-C03 06/25/2020 MBS PAYDOWN 375,160 375,160 412,764 382,628 0 (7,468) 0 (7,468) 0 375,160 0 0 0 11,866 10/25/2028 1

30711X-DK-7 CAS_16-C05 06/25/2020 VARIOUS 278,916 286,769 256,896 155,775 0 3,625 0 3,625 0 278,916 0 0 0 5,300 01/25/2029 1

30711X-DS-0 CAS_16-C06 06/25/2020 MBS PAYDOWN 467,199 467,199 496,910 472,645 0 (5,445) 0 (5,445) 0 467,199 0 0 0 12,188 04/25/2029 1

30711X-EC-4 CAS_16-C07 06/25/2020 MBS PAYDOWN 210,677 210,677 220,783 212,669 0 (1,992) 0 (1,992) 0 210,677 0 0 0 5,253 04/25/2029 1

30711X-J7-0 CAS_18-C03 06/25/2020 MBS PAYDOWN 70,628 70,628 71,091 70,790 0 (163) 0 (163) 0 70,628 0 0 0 1,166 10/25/2030 2

30711X-NX-8 CAS_17-C05 06/25/2020 MBS PAYDOWN 607,336 607,336 616,451 608,866 0 (1,529) 0 (1,529) 0 607,336 0 0 0 9,242 01/25/2030 1

30711X-YX-6 CAS_18-C01 06/25/2020 MBS PAYDOWN 465,837 465,837 474,389 0 0 (1,867) 0 (1,867) 0 465,837 0 0 0 6,253 07/25/2030 2

31282Y-AC-3 FHSTR_103 B 06/01/2020 INTEREST ONLY PAYMENT 0 0 150 9 0 (9) 0 (9) 0 0 0 0 0 26 11/01/2021 1FE

31282Y-AK-5 FHSTR_134 B 06/01/2020 INTEREST ONLY PAYMENT 0 0 1,216 87 0 (87) 0 (87) 0 0 0 0 0 208 04/01/2022 1FE

31282Y-AL-3 FHSTR_135 B 06/01/2020 INTEREST ONLY PAYMENT 0 0 682 36 0 (36) 0 (36) 0 0 0 0 0 108 11/01/2021 1FE

31282Y-AZ-2 FHSTR_149 B 06/01/2020 INTEREST ONLY PAYMENT 0 0 162 12 0 (12) 0 (12) 0 0 0 0 0 25 05/01/2022 1FE

31287U-Z5-4 FGOLD 30YR 06/01/2020 MBS PAYDOWN 210 210 217 210 0 0 0 0 0 210 0 0 0 6 07/01/2032 1FE

3128KU-H9-1 FGOLD 30YR 06/01/2020 MBS PAYDOWN 16,706 16,706 16,051 16,626 0 80 0 80 0 16,706 0 0 0 364 08/01/2037 1FE

3128Q2-EP-4 FHLMC 5/1 HYBRID ARM 05/01/2020 MBS PAYDOWN 5,890 5,890 5,888 5,890 0 0 0 0 0 5,890 0 0 0 114 07/01/2035 1FE

3128QJ-A7-1 1YR LIB ARM 05/15/2020 VARIOUS 217,270 217,270 213,933 216,833 0 437 0 437 0 217,270 0 0 0 4,608 04/01/2036 1FE

312904-8D-0 FHLMC_1046 X 06/01/2020 MBS PAYDOWN 1 1 8 1 0 0 0 0 0 1 0 0 0 2 02/15/2021 1FE

312904-SW-6 FHLMC_1015 N 06/01/2020 MBS PAYDOWN 4 4 48 9 0 (5) 0 (5) 0 4 0 0 0 9 11/15/2020 1FE

312904-WN-1 FHLMC_1019 N 06/01/2020 MBS PAYDOWN 46 46 605 69 0 (23) 0 (23) 0 46 0 0 0 98 12/15/2020 1FE

312905-SL-7 FHLMC_1066 Q 06/15/2020 MBS PAYDOWN 1,708 1,708 1,995 1,757 0 (49) 0 (49) 0 1,708 0 0 0 207 04/15/2021 1FE

312906-DS-6 FHLMC_1099 X 06/01/2020 MBS PAYDOWN 5 5 70 10 0 (6) 0 (6) 0 5 0 0 0 17 06/15/2021 1FE

312906-JF-8 FHLMC_1107 J 06/01/2020 MBS PAYDOWN 32 32 1,586 79 0 (47) 0 (47) 0 32 0 0 0 134 07/15/2021 1FE

312906-LA-6 FHLMC_1111 H 06/01/2020 MBS PAYDOWN 12 12 361 24 0 (12) 0 (12) 0 12 0 0 0 56 07/15/2021 1FE

312906-UD-0 FHLMC_1101 N 06/01/2020 MBS PAYDOWN 41 41 800 104 0 (64) 0 (64) 0 41 0 0 0 182 07/15/2021 1FE

312906-XB-1 FHLMC_1125 F 06/01/2020 MBS PAYDOWN 8 8 198 15 0 (7) 0 (7) 0 8 0 0 0 30 08/15/2021 1FE

312907-EG-9 FHLMC_1148 H 05/01/2020 MBS PAYDOWN 0 0 1 0 0 0 0 0 0 0 0 0 0 0 10/15/2021 1FE

312907-HR-2 FHLMC_1142 W 06/01/2020 MBS PAYDOWN 11 11 156 22 0 (11) 0 (11) 0 11 0 0 0 24 10/15/2021 1FE

312907-RG-5 FHLMC_1155 L 06/01/2020 MBS PAYDOWN 15 15 359 51 0 (36) 0 (36) 0 15 0 0 0 66 10/15/2021 1FE

312907-TB-4 FHLMC_1161 U 06/01/2020 MBS PAYDOWN 11 11 571 32 0 (21) 0 (21) 0 11 0 0 0 54 11/15/2021 1FE

312907-YZ-5 FHLMC_1165 M 06/01/2020 MBS PAYDOWN 4 4 116 14 0 (10) 0 (10) 0 4 0 0 0 17 11/15/2021 1FE

312909-J9-6 FHLMC_1280 BA 06/15/2020 MBS PAYDOWN 18 18 148 22 0 (4) 0 (4) 0 18 0 0 0 55 04/15/2022 1FE

312910-EK-4 FHLMC_1286 L 06/15/2020 VARIOUS 4 4 68 0 0 4 0 4 0 4 0 0 0 15 05/15/2022 1FE

312910-UL-4 FHLMC_1303 IB 06/01/2020 MBS PAYDOWN 4 4 254 12 0 (7) 0 (7) 0 4 0 0 0 19 06/15/2022 1FE

312911-YH-7 FHLMC_1363 E 06/15/2020 MBS PAYDOWN 10 10 266 24 0 (15) 0 (15) 0 10 0 0 0 47 08/15/2022 1FE

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



312912-YK-8 FHLMC_1401 SA 06/15/2020 INTEREST ONLY PAYMENT 0 0 282 20 0 (20) 0 (20) 0 0 0 0 0 47 10/15/2022 1FE

312913-JL-1 FHLMC_1424 S 06/15/2020 INTEREST ONLY PAYMENT 0 0 89 7 0 (7) 0 (7) 0 0 0 0 0 25 11/15/2022 1FE

312914-6Z-2 FHLMC_7 D 06/25/2020 MBS PAYDOWN 397 397 421 365 0 32 0 32 0 397 0 0 0 73 04/25/2023 1FE

312914-LM-4 FHLMC_1470 S 06/15/2020 INTEREST ONLY PAYMENT 0 0 149 7 0 (7) 0 (7) 0 0 0 0 0 59 02/15/2023 1FE

312914-V5-0 FHLMC_1482 K 06/15/2020 INTEREST ONLY PAYMENT 0 0 222 15 0 (15) 0 (15) 0 0 0 0 0 55 03/15/2023 1FE

312916-5L-9 FHLMC_1547 V 06/01/2020 INTEREST ONLY PAYMENT 0 0 3,434 63 0 (63) 0 (63) 0 0 0 0 0 175 07/15/2023 1FE

31292H-RE-6 FGOLD 30YR 06/01/2020 MBS PAYDOWN 13,625 13,625 14,083 13,656 0 (31) 0 (31) 0 13,625 0 0 0 342 08/01/2032 1FE

3132HT-QK-5 FHSTR_309 06/15/2020 MBS PAYDOWN 490,893 490,893 579,253 494,187 0 (3,294) 0 (3,294) 0 490,893 0 0 0 15,276 08/15/2043 1FE

3132HU-BW-2 FHSTR_333 06/15/2020 MBS PAYDOWN 144,870 144,870 171,422 145,786 0 (916) 0 (916) 0 144,870 0 0 0 4,644 08/15/2044 1FE

3132HU-CJ-0 FHSTR_332 06/15/2020 MBS PAYDOWN 585,067 585,067 678,312 587,848 0 (2,781) 0 (2,781) 0 585,067 0 0 0 19,492 08/15/2044 1FE

31335A-ZA-9 FHLMC GOLD 30YR GIANT 06/01/2020 MBS PAYDOWN 159,299 159,299 168,310 159,995 0 (696) 0 (696) 0 159,299 0 0 0 2,935 08/01/2042 1FE

31335B-7G-5 FHLMC GOLD 30YR GIANT 06/01/2020 MBS PAYDOWN 349,908 349,908 357,234 350,671 0 (764) 0 (764) 0 349,908 0 0 0 5,851 06/01/2047 1FE

313398-AK-5 FHLMC_2338 SJ 06/15/2020 INTEREST ONLY PAYMENT 0 0 797 49 0 (49) 0 (49) 0 0 0 0 0 213 07/15/2031 1FE

31339D-2L-1 FHLMC_2418 SI 06/15/2020 INTEREST ONLY PAYMENT 0 0 1,364 0 0 0 0 0 0 0 0 0 0 402 02/15/2032 1FE

31339G-WU-1 FHLMC_2383 SD 06/15/2020 INTEREST ONLY PAYMENT 0 0 1,408 105 0 (105) 0 (105) 0 0 0 0 0 338 11/15/2031 1FE

31339N-J2-3 FHLMC_2410 QS 06/15/2020 MBS PAYDOWN 13,855 13,855 15,033 13,472 0 383 0 383 0 13,855 0 0 0 884 02/15/2032 1FE

31339W-6U-5 FHLMC_2426 TI 06/01/2020 INTEREST ONLY PAYMENT 0 0 522 64 0 (64) 0 (64) 0 0 0 0 0 102 03/15/2032 1FE

3133T0-QA-5 FHLMC_1570 S 06/01/2020 MBS PAYDOWN 236 236 207 226 0 10 0 10 0 236 0 0 0 19 08/15/2023 1FE

3133T0-QB-3 FHLMC_1570 SA 06/01/2020 MBS PAYDOWN 236 236 225 224 0 12 0 12 0 236 0 0 0 22 08/15/2023 1FE

3133T2-JH-4 FHLMC_24 SY 06/25/2020 INTEREST ONLY PAYMENT 0 0 1,726 89 0 (89) 0 (89) 0 0 0 0 0 516 11/25/2023 1FE

3133T3-NN-4 FHLMC_1664 IO 06/01/2020 INTEREST ONLY PAYMENT 0 0 686 30 0 (30) 0 (30) 0 0 0 0 0 116 01/15/2024 1FE

3133T6-RC-7 FHLMC_1808 SB 06/01/2020 INTEREST ONLY PAYMENT 0 0 206 0 0 0 0 0 0 0 0 0 0 72 08/15/2023 1FE

3133T8-J5-7 FHLMC_1913 SB 06/15/2020 MBS PAYDOWN 10 10 152 20 0 (10) 0 (10) 0 10 0 0 0 39 04/15/2022 1FE

3133TD-G5-9 FHLMC_2045 HJ 06/01/2020 INTEREST ONLY PAYMENT 0 0 1,490 89 0 (89) 0 (89) 0 0 0 0 0 521 10/15/2023 1FE

3133TH-T3-1 FHLMC_2116 IO 06/01/2020 INTEREST ONLY PAYMENT 0 0 764 36 0 (36) 0 (36) 0 0 0 0 0 104 01/15/2029 1FE

3133TJ-SA-2 FHLMC_2137 Z 06/01/2020 MBS PAYDOWN 13,376 13,376 14,013 13,406 0 (30) 0 (30) 0 13,376 0 0 0 346 03/15/2029 1FE

3133TK-H9-4 FHLMC_2141 SD 06/15/2020 INTEREST ONLY PAYMENT 0 0 597 14 0 (14) 0 (14) 0 0 0 0 0 151 04/15/2029 1FE

3133TT-ZN-4 FHLMC_2324 PZ 06/01/2020 MBS PAYDOWN 16,320 16,320 16,956 16,335 0 (15) 0 (15) 0 16,320 0 0 0 478 06/15/2031 1FE

3133TV-RH-1 FHLMC_2436 PJ 06/01/2020 INTEREST ONLY PAYMENT 0 0 1,031 88 0 (88) 0 (88) 0 0 0 0 0 140 03/15/2032 1FE

31346A-GA-7 FHLMC 11TH COFI ARM 05/01/2020 MBS PAYDOWN 82 82 84 82 0 0 0 0 0 82 0 0 0 2 05/01/2029 1FE

31346A-GC-3 FHLMC 11TH COFI ARM 05/01/2020 MBS PAYDOWN 167 167 172 168 0 0 0 0 0 167 0 0 0 4 11/01/2030 1FE

31349U-PT-9 FHLMC 5/1 HYBRID ARM 05/01/2020 MBS PAYDOWN 1,345 1,345 1,343 1,345 0 0 0 0 0 1,345 0 0 0 26 05/01/2035 1FE

31358E-GJ-5 FNMA_90-58 G 05/25/2020 VARIOUS 2 2 55 6 0 (4) 0 (4) 0 2 0 0 0 8 05/25/2020 1FE

31358E-GP-1 FNMA_90-57 R 04/01/2020 MBS PAYDOWN 71 71 570 73 0 (1) 0 (1) 0 71 0 0 0 2 05/25/2020 1FE

31358F-7A-1 FNMA_91-24 O 06/01/2020 MBS PAYDOWN 19 19 252 53 0 (34) 0 (34) 0 19 0 0 0 79 03/25/2021 1FE

31358F-UE-7 FNMA_90-143 K 06/01/2020 MBS PAYDOWN 1 1 6 2 0 (1) 0 (1) 0 1 0 0 0 2 12/25/2020 1FE

31358F-V5-5 FNMA_91-17 H 06/01/2020 MBS PAYDOWN 3 3 64 5 0 (3) 0 (3) 0 3 0 0 0 10 03/25/2021 1FE

31358F-ZY-8 FNMA_91-7 K 06/01/2020 MBS PAYDOWN 1 1 33 5 0 (4) 0 (4) 0 1 0 0 0 6 02/25/2021 1FE

31358H-6T-7 FNMA_91-111 K 06/01/2020 MBS PAYDOWN 13 13 351 26 0 (13) 0 (13) 0 13 0 0 0 52 09/25/2021 1FE

31358H-FR-1 FNMA_G-20 S 06/25/2020 MBS PAYDOWN 1,666 1,666 2,073 1,610 0 56 0 56 0 1,666 0 0 0 272 06/25/2021 1FE

31358H-RF-4 FNMA_91-82 PQ 06/01/2020 MBS PAYDOWN 10 10 192 41 0 (31) 0 (31) 0 10 0 0 0 50 08/25/2021 1FE

31358H-WX-9 FNMA_91-90 S 06/25/2020 MBS PAYDOWN 12 12 164 17 0 (5) 0 (5) 0 12 0 0 0 50 07/25/2021 1FE

31358J-6J-5 FNMA_91-134 L 06/01/2020 MBS PAYDOWN 34 34 651 101 0 (67) 0 (67) 0 34 0 0 0 148 10/25/2021 1FE

31358J-BP-5 FNMA_91-119 N 06/01/2020 MBS PAYDOWN 7 7 94 11 0 (4) 0 (4) 0 7 0 0 0 14 09/25/2021 1FE

31358J-E4-9 FNMA_91-136 K 06/01/2020 MBS PAYDOWN 13 13 539 28 0 (15) 0 (15) 0 13 0 0 0 55 10/25/2021 1FE

31358J-J6-9 FNMA_G91-38 D 06/01/2020 MBS PAYDOWN 1,633 1,633 1,594 1,619 0 14 0 14 0 1,633 0 0 0 54 11/25/2021 1FE

31358K-P2-8 FNMA_91-160 PM 06/01/2020 MBS PAYDOWN 6 6 155 0 0 6 0 6 0 6 0 0 0 25 12/25/2021 1FE

31358L-GC-4 FNMA_G92-2 M 06/01/2020 MBS PAYDOWN 6 6 177 29 0 (22) 0 (22) 0 6 0 0 0 27 01/25/2022 1FE

31358L-GN-0 FNMA_G92-3 SQ 06/25/2020 MBS PAYDOWN 2 2 84 0 0 2 0 2 0 2 0 0 0 35 01/25/2022 1FE

31358L-JX-5 FNMA_92-6 K 06/01/2020 MBS PAYDOWN 11 11 383 27 0 (16) 0 (16) 0 11 0 0 0 43 01/25/2022 1FE

31358L-LS-3 FNMA_92-5 J 06/01/2020 MBS PAYDOWN 1 1 18 2 0 (1) 0 (1) 0 1 0 0 0 3 01/25/2022 1FE

31358L-NN-2 FNMA_G92-8 T 06/01/2020 MBS PAYDOWN 6 6 202 21 0 (15) 0 (15) 0 6 0 0 0 25 01/25/2022 1FE

31358L-W2-8 FNMA_92-30 S 06/25/2020 MBS PAYDOWN 281 281 422 274 0 8 0 8 0 281 0 0 0 87 03/25/2022 1FE

31358L-YD-2 FNMA_G92-11 L 06/01/2020 MBS PAYDOWN 16 16 352 68 0 (51) 0 (51) 0 16 0 0 0 79 02/25/2022 1FE

31358M-2V-5 FNMA_G92-25 SA 06/25/2020 VARIOUS 4 4 44 9 0 (5) 0 (5) 0 4 0 0 0 18 05/25/2022 1FE

31358M-2W-3 FNMA_G92-25 SB 06/25/2020 MBS PAYDOWN 9 9 81 17 0 (8) 0 (8) 0 9 0 0 0 35 05/25/2022 1FE

31358M-2X-1 FNMA_G92-25 SC 06/25/2020 VARIOUS 2 2 48 7 0 (5) 0 (5) 0 2 0 0 0 3 05/25/2022 1FE

31358M-YA-6 FNMA_92-49 T 06/01/2020 MBS PAYDOWN 2 2 30 5 0 (3) 0 (3) 0 2 0 0 0 5 04/25/2022 1FE

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



31358N-BU-5 FNMA_92-80 IO 06/01/2020 INTEREST ONLY PAYMENT 0 0 152 17 0 (17) 0 (17) 0 0 0 0 0 30 05/25/2022 1FE

31358P-VS-3 FNMA_92-131 IO 06/01/2020 INTEREST ONLY PAYMENT 0 0 479 44 0 (44) 0 (44) 0 0 0 0 0 84 08/25/2022 1FE

31358Q-5R-2 FNMA_92-180 S 06/25/2020 MBS PAYDOWN 8,978 8,978 10,260 9,075 0 (98) 0 (98) 0 8,978 0 0 0 851 10/25/2022 1FE

31358Q-ET-8 FNMA_92-162 SB 06/25/2020 MBS PAYDOWN 4,669 4,669 4,459 4,442 0 226 0 226 0 4,669 0 0 0 446 09/25/2022 1FE

31358Q-EY-7 FNMA_92-162 ED 06/01/2020 MBS PAYDOWN 35 35 1,880 77 0 (43) 0 (43) 0 35 0 0 0 97 09/25/2022 1FE

31358Q-HD-0 FNMA_92-159 PM 06/01/2020 MBS PAYDOWN 11 11 861 30 0 (20) 0 (20) 0 11 0 0 0 49 09/25/2022 1FE

31358Q-Y5-8 FNMA_92-184 J 06/01/2020 MBS PAYDOWN 2 2 131 7 0 (5) 0 (5) 0 2 0 0 0 12 10/25/2022 1FE

31358R-XA-6 FNMA_G92-64 KA 06/01/2020 MBS PAYDOWN 16 16 1,000 57 0 (41) 0 (41) 0 16 0 0 0 73 11/25/2022 1FE

31358U-ZC-3 FNMA_93-54 N 06/01/2020 INTEREST ONLY PAYMENT 0 0 1,425 34 0 (34) 0 (34) 0 0 0 0 0 82 04/25/2023 1FE

31359A-DN-6 FNMA_93-74 S 06/25/2020 MBS PAYDOWN 15,551 15,551 13,932 15,035 0 515 0 515 0 15,551 0 0 0 1,111 05/25/2023 1FE

31359A-EB-1 FNMA_93-80 SA 06/01/2020 MBS PAYDOWN 726 726 646 709 0 16 0 16 0 726 0 0 0 36 05/25/2023 1FE

31359B-PX-9 FNMA_93-132 D 06/01/2020 MBS PAYDOWN 1,624 1,624 935 1,582 0 42 0 42 0 1,624 0 0 0 0 10/25/2022 1FE

31359B-ZM-2 FNMA_93-119 JB 06/01/2020 INTEREST ONLY PAYMENT 0 0 1,396 40 0 (40) 0 (40) 0 0 0 0 0 96 07/25/2023 1FE

31359D-4Z-3 FNMA_93-165 SN 06/25/2020 MBS PAYDOWN 6,547 6,547 6,721 6,511 0 35 0 35 0 6,547 0 0 0 309 09/25/2023 1FE

31359D-5C-3 FNMA_93-165 SU 06/01/2020 MBS PAYDOWN 977 977 882 938 0 39 0 39 0 977 0 0 0 69 09/25/2023 1FE

31359D-DD-2 FNMA_G93-30 B 06/01/2020 MBS PAYDOWN 3,595 3,595 1,330 3,399 0 196 0 196 0 3,595 0 0 0 0 08/25/2023 1FE

31359D-HY-2 FNMA_93-176 E 06/01/2020 MBS PAYDOWN 3,184 3,184 1,461 2,838 0 346 0 346 0 3,184 0 0 0 0 08/25/2023 1FE

31359E-KN-0 FNMA_93-195 S 06/25/2020 MBS PAYDOWN 29,271 29,271 27,405 28,465 0 806 0 806 0 29,271 0 0 0 1,680 10/25/2023 1FE

31359F-DK-1 FNMA_93-202 SX 06/01/2020 MBS PAYDOWN 3,938 3,938 146 0 0 3,938 0 3,938 0 3,938 0 0 0 309 11/25/2023 1FE

31359K-AN-7 FNMA_96-14 SJ 06/01/2020 INTEREST ONLY PAYMENT 0 0 10,420 0 0 0 0 0 0 0 0 0 0 1,395 04/25/2024 1FE

31359K-GJ-0 FNMA_96-W2 AL 06/01/2020 MBS PAYDOWN 269 269 276 269 0 0 0 0 0 269 0 0 0 9 06/25/2026 1FE

31359K-UK-1 FNMA_96-W3 AL 06/01/2020 MBS PAYDOWN 245 245 245 245 0 0 0 0 0 245 0 0 0 8 08/25/2026 1FE

31359K-WG-8 FNMA_96-46 SA 06/25/2020 INTEREST ONLY PAYMENT 0 0 50 0 0 0 0 0 0 0 0 0 0 20 08/25/2021 1FE

31359L-V5-1 FNMA_96-5 AS 05/01/2020 INTEREST ONLY PAYMENT 0 0 95 13 0 (13) 0 (13) 0 0 0 0 0 31 07/25/2020 1FE

31359N-5S-6 FNMA_97-22 SI 06/25/2020 MBS PAYDOWN 166 166 189 161 0 4 0 4 0 166 0 0 0 31 10/25/2020 1FE

31359P-NS-1 FNMA_97-32 SC 06/25/2020 INTEREST ONLY PAYMENT 0 0 1,512 45 0 (45) 0 (45) 0 0 0 0 0 610 04/25/2027 1FE

31359P-UR-5 FNMA_97-37 SN 06/25/2020 INTEREST ONLY PAYMENT 0 0 152 15 0 (15) 0 (15) 0 0 0 0 0 27 03/25/2022 1FE

31359P-US-3 FNMA_97-37 SO 06/25/2020 INTEREST ONLY PAYMENT 0 0 192 20 0 (20) 0 (20) 0 0 0 0 0 33 12/25/2022 1FE

31359Q-FQ-2 FNMA_97-50 SC 06/25/2020 INTEREST ONLY PAYMENT 0 0 1,421 33 0 (33) 0 (33) 0 0 0 0 0 94 10/25/2023 1FE

31359Q-GX-6 FNMA_97-50 SE 06/25/2020 MBS PAYDOWN 3,369 3,369 3,308 3,129 0 240 0 240 0 3,369 0 0 0 288 10/25/2023 1FE

31359S-QH-6 FNMA_01-10 SN 06/25/2020 INTEREST ONLY PAYMENT 0 0 468 34 0 (34) 0 (34) 0 0 0 0 0 72 01/25/2024 1FE

31359S-Z3-7 FNMA_01-26 S 06/18/2020 INTEREST ONLY PAYMENT 0 0 30 3 0 (3) 0 (3) 0 0 0 0 0 10 06/18/2031 1FE

31359T-7E-2 FNMA_98-M5 X 06/01/2020 INTEREST ONLY PAYMENT 0 0 2 0 0 0 0 0 0 0 0 0 0 36 07/25/2028 1FE

31359V-F4-0 FNMA_99-22 PO 06/01/2020 MBS PAYDOWN 12 12 10 12 0 0 0 0 0 12 0 0 0 0 10/25/2021 1FE

31359V-F5-7 FNMA_99-22 IO 06/01/2020 INTEREST ONLY PAYMENT 0 0 192 15 0 (15) 0 (15) 0 0 0 0 0 42 10/25/2021 1FE

31359V-F6-5 FNMA_99-22 A 06/01/2020 MBS PAYDOWN 50 50 43 50 0 0 0 0 0 50 0 0 0 0 12/25/2021 1FE

31359V-F7-3 FNMA_99-22 B 06/01/2020 INTEREST ONLY PAYMENT 0 0 1,213 5 0 (5) 0 (5) 0 0 0 0 0 209 12/25/2021 1FE

31359V-LN-1 FNMA_99-7 S 06/25/2020 INTEREST ONLY PAYMENT 0 0 415 39 0 (39) 0 (39) 0 0 0 0 0 165 03/25/2029 1FE

31359X-A3-3 FNMA_00-5 MC 06/01/2020 MBS PAYDOWN 595 595 649 599 0 (5) 0 (5) 0 595 0 0 0 22 08/25/2023 1FE

31359X-ZY-8 FNMA_00-5 FI 06/25/2020 INTEREST ONLY PAYMENT 0 0 1 11 0 (11) 0 (11) 0 0 0 0 0 9 08/25/2022 1FE

31359X-ZZ-5 FNMA_00-5 MA 06/01/2020 MBS PAYDOWN 47 47 53 48 0 (1) 0 (1) 0 47 0 0 0 2 08/25/2022 1FE

31364H-HF-7 FNSTR_75 2 04/25/2020 MATURITY 12 0 3 1 0 11 0 11 0 12 0 0 0 0 04/25/2020 1FE

31364H-JV-0 FNSTR_94 2 06/01/2020 INTEREST ONLY PAYMENT 0 0 38 0 0 0 0 0 0 0 0 0 0 5 08/25/2021 1FE

31364H-K6-3 FNSTR_268 2 06/01/2020 INTEREST ONLY PAYMENT 0 0 1,566 129 0 (129) 0 (129) 0 0 0 0 0 240 02/25/2023 1FE

31364H-LP-0 FNSTR_115 2 06/01/2020 INTEREST ONLY PAYMENT 0 0 0 0 0 0 0 0 0 0 0 0 0 10 12/25/2021 1FE

31364H-MT-1 FNSTR_129 2 06/01/2020 MBS PAYDOWN 2 2 93 8 0 (6) 0 (6) 0 2 0 0 0 12 02/25/2022 1FE

31364H-NB-9 FNSTR_133 2 06/01/2020 INTEREST ONLY PAYMENT 0 0 537 33 0 (33) 0 (33) 0 0 0 0 0 89 04/25/2022 1FE

31364H-NF-0 FNSTR_135 2 06/01/2020 INTEREST ONLY PAYMENT 0 0 387 25 0 (25) 0 (25) 0 0 0 0 0 64 04/25/2022 1FE

31364H-NT-0 FNSTR_141 2 06/01/2020 INTEREST ONLY PAYMENT 0 0 1 1 0 (1) 0 (1) 0 0 0 0 0 0 05/25/2022 1FE

31364H-P4-3 FNSTR_283 2 06/01/2020 INTEREST ONLY PAYMENT 0 0 2,032 177 0 (177) 0 (177) 0 0 0 0 0 274 11/25/2026 1FE

31364H-QJ-9 FNSTR_156 2 06/01/2020 INTEREST ONLY PAYMENT 0 0 231 19 0 (19) 0 (19) 0 0 0 0 0 33 07/25/2022 1FE

31364H-WL-7 FNSTR_229 2 06/01/2020 INTEREST ONLY PAYMENT 0 0 127 5 0 (5) 0 (5) 0 0 0 0 0 11 07/25/2023 1FE

31364H-WY-9 FNSTR_235 2 06/01/2020 INTEREST ONLY PAYMENT 0 0 88 3 0 (3) 0 (3) 0 0 0 0 0 12 08/25/2023 1FE

3136AE-UR-6 FNMA_13-54 06/01/2020 INTEREST ONLY PAYMENT 0 0 72,324 8,528 0 (8,528) 0 (8,528) 0 0 0 0 0 11,436 06/25/2028 1FE

3136AQ-H3-7 FNMA_15-94 06/01/2020 MBS PAYDOWN 95,210 95,210 100,357 95,655 0 (446) 0 (446) 0 95,210 0 0 0 1,457 09/25/2044 1FE

3136AT-EW-0 FNMA_16-51 06/25/2020 MBS PAYDOWN 126,206 126,206 133,226 126,275 0 (70) 0 (70) 0 126,206 0 0 0 2,424 10/25/2043 1FE

3136FC-M4-5 FNSTR_369 9 06/01/2020 INTEREST ONLY PAYMENT 0 0 596 81 0 (81) 0 (81) 0 0 0 0 0 131 04/25/2036 1FE

3136FC-ZJ-8 FNSTR_365 9 06/01/2020 INTEREST ONLY PAYMENT 0 0 3,615 381 0 (381) 0 (381) 0 0 0 0 0 546 01/25/2036 1FE

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



3136FC-ZL-3 FNMA_365 11 06/01/2020 INTEREST ONLY PAYMENT 0 0 4,336 453 0 (453) 0 (453) 0 0 0 0 0 646 02/01/2036 1FE

3136FC-ZX-7 FNSTR_366 1 06/01/2020 INTEREST ONLY PAYMENT 0 0 1,561 235 0 (235) 0 (235) 0 0 0 0 0 336 10/25/2035 1FE

3136FC-ZY-5 FNSTR_366 2 06/01/2020 INTEREST ONLY PAYMENT 0 0 3,697 370 0 (370) 0 (370) 0 0 0 0 0 591 10/25/2035 1FE

31371K-WH-0 FNMA 30YR 06/01/2020 MBS PAYDOWN 4,490 4,490 4,824 4,511 0 (21) 0 (21) 0 4,490 0 0 0 104 12/01/2032 1FE

31371L-JM-2 FNMA 20YR 06/01/2020 MBS PAYDOWN 23,230 23,230 24,275 23,341 0 (112) 0 (112) 0 23,230 0 0 0 602 01/01/2024 1FE

31371L-KY-4 FNMA 30YR 06/01/2020 MBS PAYDOWN 3,876 3,876 3,845 3,873 0 3 0 3 0 3,876 0 0 0 82 03/01/2034 1FE

31371M-KC-0 FNMA 30YR 06/01/2020 MBS PAYDOWN 441 441 422 439 0 2 0 2 0 441 0 0 0 12 11/01/2035 1FE

31371M-Q9-1 FNMA 30YR 06/01/2020 MBS PAYDOWN 690 690 661 687 0 3 0 3 0 690 0 0 0 16 03/01/2036 1FE

3137A2-X4-8 FHLMC_3752 06/01/2020 MBS PAYDOWN 161,985 161,985 174,109 161,328 0 657 0 657 0 161,985 0 0 0 4,463 11/15/2040 1FE

3137AA-U6-8 FHLMC_3867 06/15/2020 INTEREST ONLY PAYMENT 0 0 23,922 1,599 0 (1,599) 0 (1,599) 0 0 0 0 0 3,791 05/15/2041 1FE

3137AB-AC-5 FHLMC_3852 06/15/2020 MBS PAYDOWN 7,843 7,843 8,294 7,883 0 (40) 0 (40) 0 7,843 0 0 0 189 05/15/2041 1FE

3137B3-MV-7 FHLMC_4223 06/01/2020 MBS PAYDOWN 148,123 148,123 144,605 147,745 0 377 0 377 0 148,123 0 0 0 2,431 07/15/2043 1FE

3137BH-BZ-9 FHLMC_4451 06/01/2020 MBS PAYDOWN 108,334 108,334 114,343 108,902 0 (569) 0 (569) 0 108,334 0 0 0 1,478 11/15/2041 1FE

3137BM-QC-3 FHLMC_4544 06/01/2020 MBS PAYDOWN 160,211 160,211 168,723 161,250 0 (1,039) 0 (1,039) 0 160,211 0 0 0 2,255 06/15/2042 1FE

3137BM-V4-5 FHLMC_4552 06/01/2020 MBS PAYDOWN 73,413 73,413 76,912 73,797 0 (384) 0 (384) 0 73,413 0 0 0 1,092 01/15/2043 1FE

3137BN-7F-5 FHLMC_4561 06/01/2020 MBS PAYDOWN 104,048 104,048 110,242 104,739 0 (691) 0 (691) 0 104,048 0 0 0 1,577 09/15/2042 1FE

3137BN-PS-7 FHLMC_4566 06/01/2020 MBS PAYDOWN 75,724 75,724 79,357 75,961 0 (237) 0 (237) 0 75,724 0 0 0 946 06/15/2045 1FE

3137BQ-GW-1 FHLMC_4593 06/01/2020 MBS PAYDOWN 238,428 238,428 252,026 239,944 0 (1,516) 0 (1,516) 0 238,428 0 0 0 3,542 07/15/2044 1FE

3137G0-BK-4 STACR_14-DN3 06/25/2020 MBS PAYDOWN 598,249 598,249 606,262 604,439 0 (6,191) 0 (6,191) 0 598,249 0 0 0 10,095 08/25/2024 1

3137G0-CU-1 STACR_14-DN4 06/25/2020 MBS PAYDOWN 142,109 142,109 135,064 143,331 0 (1,223) 0 (1,223) 0 142,109 0 0 0 1,373 10/25/2024 1

3137G0-FW-4 STACR_15-DNA2 06/25/2020 MBS PAYDOWN 1,273,247 1,273,247 1,405,943 1,297,652 0 (24,405) 0 (24,405) 0 1,273,247 0 0 0 28,768 12/25/2027 1

3137G0-HJ-1 STACR_15-HQA2 06/25/2020 MBS PAYDOWN 156,823 156,823 183,562 160,345 0 (3,522) 0 (3,522) 0 156,823 0 0 0 4,685 05/25/2028 1

3137G0-JJ-9 STACR_16-HQA3 06/25/2020 MBS PAYDOWN 182,539 182,539 219,917 186,448 0 (3,908) 0 (3,908) 0 182,539 0 0 0 6,008 09/25/2028 1

3137G0-JU-4 STACR_16-DNA2 06/25/2020 MBS PAYDOWN 64,580 64,580 71,361 65,462 0 (882) 0 (882) 0 64,580 0 0 0 1,663 10/25/2028 1

3137G0-KG-3 STACR_16-HQA2 06/25/2020 MBS PAYDOWN 178,258 178,258 200,269 183,445 0 (5,187) 0 (5,187) 0 178,258 0 0 0 4,520 11/25/2028 1

3137G0-TH-2 STACR_18-DNA1 06/25/2020 MBS PAYDOWN 212,284 212,284 158,151 0 0 7,781 0 7,781 0 212,284 0 0 0 1,119 07/25/2030 1

31385X-AZ-0 FNMA 30YR 06/01/2020 MBS PAYDOWN 11,137 11,137 11,966 11,192 0 (55) 0 (55) 0 11,137 0 0 0 251 05/01/2033 1FE

31385X-EC-7 FNMA 30YR 06/01/2020 MBS PAYDOWN 5,164 5,164 5,548 5,190 0 (26) 0 (26) 0 5,164 0 0 0 118 06/01/2033 1FE

31385X-TD-9 FNMA 30YR 06/01/2020 MBS PAYDOWN 138,479 138,479 147,637 139,250 0 (771) 0 (771) 0 138,479 0 0 0 4,302 05/01/2033 1FE

3138A4-DC-6 FNMA 30YR 06/01/2020 MBS PAYDOWN 10,334 10,334 10,999 10,389 0 (54) 0 (54) 0 10,334 0 0 0 175 12/01/2040 1FE

3138LH-GZ-1 FNMA 30YR MULTI 06/01/2020 MBS PAYDOWN 5,579 5,579 5,736 5,581 0 (2) 0 (2) 0 5,579 0 0 0 95 02/01/2047 1FE

3138LM-R4-7 FNMA 30YR MULTI 06/01/2020 MBS PAYDOWN 8,278 8,278 8,364 8,278 0 0 0 0 0 8,278 0 0 0 142 03/01/2048 1FE

3138Y6-4C-5 FNMA 30YR 06/01/2020 MBS PAYDOWN 71,317 71,317 74,838 71,532 0 (215) 0 (215) 0 71,317 0 0 0 1,444 01/01/2042 1FE

313920-6R-6 FNMA_01-44 SB 06/25/2020 INTEREST ONLY PAYMENT 0 0 2,357 15 0 (15) 0 (15) 0 0 0 0 0 912 09/25/2031 1FE

313920-QK-9 FNMA_01-38 SA 06/25/2020 INTEREST ONLY PAYMENT 0 0 777 37 0 (37) 0 (37) 0 0 0 0 0 199 08/25/2031 1FE

313920-ZJ-2 FNMA_01-46 S 06/18/2020 INTEREST ONLY PAYMENT 0 0 12,414 1,016 0 (1,016) 0 (1,016) 0 0 0 0 0 3,208 09/18/2031 1FE

31392A-4R-6 FNMA_01-69 PS 06/25/2020 MBS PAYDOWN 16,231 16,231 15,784 15,381 0 850 0 850 0 16,231 0 0 0 885 12/25/2031 1FE

31392C-BH-6 FNMA_02-20 SK 06/25/2020 INTEREST ONLY PAYMENT 0 0 1,803 33 0 (33) 0 (33) 0 0 0 0 0 513 04/25/2032 1FE

31392C-CE-2 FNMA_02-23 SA 06/25/2020 MBS PAYDOWN 31,061 31,061 32,770 30,312 0 749 0 749 0 31,061 0 0 0 2,375 04/25/2032 1FE

31392D-DD-1 FNMA_02-38 DS 06/25/2020 INTEREST ONLY PAYMENT 0 0 657 22 0 (22) 0 (22) 0 0 0 0 0 343 04/25/2032 1FE

31392D-HA-3 FNMA_02-33 SB 06/25/2020 MBS PAYDOWN 1,161 1,161 1,605 1,133 0 28 0 28 0 1,161 0 0 0 151 06/25/2032 1FE

31392E-GM-6 FNMA_02-52 S 06/25/2020 INTEREST ONLY PAYMENT 0 0 1,727 11 0 (11) 0 (11) 0 0 0 0 0 490 09/25/2032 1FE

31392E-NB-2 FNMA_02-58 SW 06/25/2020 INTEREST ONLY PAYMENT 0 0 1,065 2 0 (2) 0 (2) 0 0 0 0 0 306 09/25/2032 1FE

31392F-RK-5 FNMA_02-74 SV 06/25/2020 INTEREST ONLY PAYMENT 0 0 7,948 11 0 (11) 0 (11) 0 0 0 0 0 2,880 11/25/2032 1FE

31392G-DV-4 FNMA_02-90 SW 06/25/2020 INTEREST ONLY PAYMENT 0 0 605 52 0 (52) 0 (52) 0 0 0 0 0 132 09/25/2032 1FE

31392J-DK-2 FNMA_03-13 S 06/25/2020 INTEREST ONLY PAYMENT 0 0 2,598 58 0 (58) 0 (58) 0 0 0 0 0 701 03/25/2033 1FE

31392K-V9-4 FHLMC_2444 SR 06/15/2020 INTEREST ONLY PAYMENT 0 0 516 33 0 (33) 0 (33) 0 0 0 0 0 317 05/15/2032 1FE

31392K-WY-8 FHLMC_2444 TI 06/01/2020 INTEREST ONLY PAYMENT 0 0 5,199 462 0 (462) 0 (462) 0 0 0 0 0 770 05/15/2032 1FE

31392R-UR-0 FHLMC_2490 SA 06/15/2020 INTEREST ONLY PAYMENT 0 0 340 13 0 (13) 0 (13) 0 0 0 0 0 124 04/15/2028 1FE

31392T-YJ-0 FHLMC_2478 TI 06/01/2020 INTEREST ONLY PAYMENT 0 0 290 35 0 (35) 0 (35) 0 0 0 0 0 48 03/15/2032 1FE

31392W-JF-8 FHLMC_2516 SD 06/15/2020 INTEREST ONLY PAYMENT 0 0 427 11 0 (11) 0 (11) 0 0 0 0 0 104 02/15/2032 1FE

31393D-WT-4 FNMA_03-61 06/25/2020 MBS PAYDOWN 97,850 97,850 101,825 97,449 0 401 0 401 0 97,850 0 0 0 1,722 08/25/2033 1FE

31393J-C8-9 FHLMC_2551 NS 06/15/2020 MBS PAYDOWN 6,737 6,737 6,989 6,512 0 224 0 224 0 6,737 0 0 0 348 01/15/2033 1FE

31393L-FK-4 FHLMC_T-54 2A 06/01/2020 MBS PAYDOWN 5,205 5,205 5,513 5,216 0 (12) 0 (12) 0 5,205 0 0 0 144 02/25/2043 1FE

31393T-5J-1 FNMA_03-116 SA 06/25/2020 MBS PAYDOWN 13,076 13,076 13,297 12,811 0 265 0 265 0 13,076 0 0 0 567 11/25/2033 1FE

31393T-DX-1 FNMA_03-89 SD 06/25/2020 MBS PAYDOWN 1,579 1,579 1,993 1,514 0 65 0 65 0 1,579 0 0 0 219 03/25/2032 1FE

31393T-U8-7 FNMA_03-109 QC 06/25/2020 MBS PAYDOWN 15,421 15,421 17,464 14,604 0 817 0 817 0 15,421 0 0 0 922 11/25/2033 1FE

31393T-U9-5 FNMA_03-109 QD 06/25/2020 MBS PAYDOWN 10,746 10,746 12,156 10,283 0 463 0 463 0 10,746 0 0 0 389 11/25/2033 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



31393T-VC-7 FNMA_03-102 TS 06/25/2020 MBS PAYDOWN 3,114 3,114 4,510 3,014 0 100 0 100 0 3,114 0 0 0 563 10/25/2033 1FE

31393U-CD-3 FNMA_03-126 SA 06/25/2020 MBS PAYDOWN 29,139 29,139 33,218 28,423 0 715 0 715 0 29,139 0 0 0 1,939 12/25/2033 1FE

31393U-DE-0 FNMA_03-119 SG 06/25/2020 MBS PAYDOWN 6,925 6,925 7,895 6,462 0 463 0 463 0 6,925 0 0 0 497 12/25/2033 1FE

31393U-ZG-1 FNMA_03-131 SK 06/25/2020 MBS PAYDOWN 53,274 53,274 59,343 51,125 0 2,149 0 2,149 0 53,274 0 0 0 3,039 01/25/2034 1FE

31393V-JC-6 FHLMC_2626 06/01/2020 MBS PAYDOWN 21,623 21,623 25,163 21,682 0 (60) 0 (60) 0 21,623 0 0 0 905 06/15/2023 1FE

31393V-JE-2 FHLMC_2626 06/15/2020 MBS PAYDOWN 8,008 8,008 9,816 8,065 0 (57) 0 (57) 0 8,008 0 0 0 391 06/15/2023 1FE

31393W-VQ-9 FHLMC_2641 06/01/2020 MBS PAYDOWN 2,791 2,791 3,268 2,794 0 (4) 0 (4) 0 2,791 0 0 0 122 07/15/2033 1FE

31393Y-7B-5 FNMA_04-57 SP 06/25/2020 INTEREST ONLY PAYMENT 0 0 54,565 2,957 0 (2,957) 0 (2,957) 0 0 0 0 0 4,168 05/25/2034 1FE

31393Y-EC-5 FNMA_04-28 SA 06/25/2020 MBS PAYDOWN 28,667 28,667 31,804 28,487 0 180 0 180 0 28,667 0 0 0 1,413 05/25/2034 1FE

31394A-2W-5 FNMA_04-73 TI 06/01/2020 INTEREST ONLY PAYMENT 0 0 2,574 505 0 (505) 0 (505) 0 0 0 0 0 1,485 10/25/2034 1FE

31394A-4U-7 FNMA_04-70 XJ 06/01/2020 INTEREST ONLY PAYMENT 0 0 3,994 382 0 (382) 0 (382) 0 0 0 0 0 892 10/25/2034 1FE

31394A-E4-4 FNMA_04-69 IP 06/01/2020 INTEREST ONLY PAYMENT 0 0 1,245 88 0 (88) 0 (88) 0 0 0 0 0 222 12/25/2033 1FE

31394A-J7-2 FNMA_04-66 XA 06/01/2020 INTEREST ONLY PAYMENT 0 0 3,768 307 0 (307) 0 (307) 0 0 0 0 0 664 09/25/2034 1FE

31394A-NQ-5 FNMA_04-63 TI 06/01/2020 INTEREST ONLY PAYMENT 0 0 6,043 370 0 (370) 0 (370) 0 0 0 0 0 968 08/25/2034 1FE

31394A-NR-3 FNMA_04-63 BI 06/01/2020 INTEREST ONLY PAYMENT 0 0 11,635 1,002 0 (1,002) 0 (1,002) 0 0 0 0 0 2,281 08/25/2034 1FE

31394A-WQ-5 FNMA_04-60 SA 06/25/2020 MBS PAYDOWN 30,691 30,691 43,532 30,771 0 (80) 0 (80) 0 30,691 0 0 0 4,834 08/25/2024 1FE

31394A-ZQ-2 FNMA_04-71 TI 06/01/2020 INTEREST ONLY PAYMENT 0 0 1,842 216 0 (216) 0 (216) 0 0 0 0 0 535 04/25/2034 1FE

31394A-ZS-8 FNMA_04-71 UI 06/01/2020 INTEREST ONLY PAYMENT 0 0 1,824 206 0 (206) 0 (206) 0 0 0 0 0 496 02/25/2034 1FE

31394B-PX-6 FNMA_04-88 KS 06/25/2020 MBS PAYDOWN 36,752 36,752 37,838 35,664 0 1,088 0 1,088 0 36,752 0 0 0 2,722 10/25/2034 1FE

31394B-ZK-3 FNMA_04-91 SJ 06/25/2020 MBS PAYDOWN 7,954 7,954 8,068 7,885 0 69 0 69 0 7,954 0 0 0 321 10/25/2031 1FE

31394E-JL-3 FNMA_05-66 06/25/2020 MBS PAYDOWN 13,293 13,293 18,129 13,484 0 (190) 0 (190) 0 13,293 0 0 0 738 07/25/2035 1FE

31394E-KG-2 FNMA_05-66 SQ 06/25/2020 MBS PAYDOWN 26,984 26,984 29,955 26,928 0 55 0 55 0 26,984 0 0 0 1,531 07/25/2035 1FE

31394E-TR-9 FNMA_05-59 NQ 06/25/2020 MBS PAYDOWN 8,076 8,076 8,439 7,810 0 266 0 266 0 8,076 0 0 0 428 05/25/2035 1FE

31394F-BL-8 FNMA_05-75 SU 06/25/2020 MBS PAYDOWN 19,368 19,368 25,630 19,230 0 139 0 139 0 19,368 0 0 0 2,187 09/25/2035 1FE

31394H-4N-8 FHLMC_2662 Z 06/01/2020 MBS PAYDOWN 70,196 70,196 78,577 70,918 0 (723) 0 (723) 0 70,196 0 0 0 1,459 08/15/2023 1FE

31394K-KV-5 FHLMC_2682 SB 06/15/2020 MBS PAYDOWN 11,979 11,979 12,459 11,612 0 368 0 368 0 11,979 0 0 0 551 10/15/2033 1FE

31394K-L6-9 FHLMC_2682 TW 06/15/2020 MBS PAYDOWN 3,142 3,142 3,566 3,054 0 88 0 88 0 3,142 0 0 0 242 10/15/2033 1FE

31394K-ZD-9 FHLMC_2692 SC 06/15/2020 MBS PAYDOWN 33,388 33,388 29,596 30,885 0 2,503 0 2,503 0 33,388 0 0 0 1,507 07/15/2033 1FE

31394M-WC-0 FHLMC_2725 SC 06/01/2020 MBS PAYDOWN 15,335 15,335 17,597 15,372 0 (37) 0 (37) 0 15,335 0 0 0 452 11/15/2033 1FE

31394P-JE-4 FHLMC_2736 SB 06/01/2020 MBS PAYDOWN 33,002 33,002 31,564 30,317 0 2,685 0 2,685 0 33,002 0 0 0 1,604 12/15/2033 1FE

31394T-W7-6 FHLMC_2764 S 06/15/2020 MBS PAYDOWN 15,718 15,718 12,564 14,570 0 1,148 0 1,148 0 15,718 0 0 0 711 07/15/2033 1FE

31394U-L2-6 FNMA_05-106 PK 06/25/2020 MBS PAYDOWN 7,243 7,243 6,840 0 0 7,243 0 7,243 0 7,243 0 0 0 534 12/25/2035 1FE

31394U-VF-6 FNMA_05-101B B 06/01/2020 MBS PAYDOWN 91,681 91,681 94,503 91,834 0 (153) 0 (153) 0 91,681 0 0 0 1,908 11/25/2035 1FE

31394V-JJ-0 FNMA_05-114 SP 06/25/2020 MBS PAYDOWN 8,013 8,013 9,270 7,843 0 170 0 170 0 8,013 0 0 0 555 01/25/2036 1FE

31394V-TY-6 FNMA_05-115 NS 06/25/2020 INTEREST ONLY PAYMENT 0 0 6,417 (38) 0 38 0 38 0 0 0 0 0 2,218 01/25/2036 1FE

31394Y-VD-3 FHLMC_2795 TS 06/15/2020 INTEREST ONLY PAYMENT 0 0 1,939 134 0 (134) 0 (134) 0 0 0 0 0 311 03/15/2024 1FE

31394Y-XB-5 FHLMC_2817 PO 06/01/2020 MBS PAYDOWN 12,024 12,024 9,803 11,863 0 161 0 161 0 12,024 0 0 0 0 06/15/2034 1FE

31395A-5B-7 FHLMC_2809 EZ 06/01/2020 MBS PAYDOWN 78,786 78,786 86,953 79,644 0 (858) 0 (858) 0 78,786 0 0 0 1,642 06/15/2024 1FE

31395A-DX-0 FHLMC_2815 QT 06/15/2020 INTEREST ONLY PAYMENT 0 0 3,076 308 0 (308) 0 (308) 0 0 0 0 0 655 03/15/2034 1FE

31395B-LX-9 FNMA_06-10 HI 06/25/2020 INTEREST ONLY PAYMENT 0 0 23,939 907 0 (907) 0 (907) 0 0 0 0 0 3,866 03/25/2036 1FE

31395B-M5-9 FNMA_06-21 SW 06/25/2020 MBS PAYDOWN 19,067 19,067 19,246 18,408 0 659 0 659 0 19,067 0 0 0 1,482 04/25/2036 1FE

31395B-VW-0 FNMA_06-15 SB 06/25/2020 MBS PAYDOWN 1,154 1,154 1,027 0 0 1,154 0 1,154 0 1,154 0 0 0 79 03/25/2036 1FE

31395C-FD-8 FHLMC_2820 PI 06/01/2020 INTEREST ONLY PAYMENT 0 0 2,908 705 0 (705) 0 (705) 0 0 0 0 0 1,044 06/15/2033 1FE

31395D-B2-4 FNMA_06-57 SI 06/25/2020 INTEREST ONLY PAYMENT 0 0 752 0 0 0 0 0 0 0 0 0 0 503 06/25/2036 1FE

31395D-BC-2 FNMA_06-40 SI 06/25/2020 INTEREST ONLY PAYMENT 0 0 6,479 (5) 0 5 0 5 0 0 0 0 0 2,000 05/25/2036 1FE

31395D-PQ-6 FNMA_06-36 SA 06/25/2020 MBS PAYDOWN 1,133 1,133 1,144 0 0 1,133 0 1,133 0 1,133 0 0 0 118 05/25/2036 1FE

31395F-CA-0 FHLMC_2836 QH 06/01/2020 MBS PAYDOWN 355,859 355,859 322,053 354,288 0 1,571 0 1,571 0 355,859 0 0 0 7,750 08/15/2034 1FE

31395F-LE-2 FHLMC_2862 GB 06/01/2020 MBS PAYDOWN 25,766 25,766 25,061 25,729 0 37 0 37 0 25,766 0 0 0 535 09/15/2024 1FE

31395H-6F-2 FHLMC_2866 GS 06/15/2020 INTEREST ONLY PAYMENT 0 0 2,235 127 0 (127) 0 (127) 0 0 0 0 0 1,076 09/15/2034 1FE

31395L-RU-7 FHLMC_2921 PS 06/15/2020 INTEREST ONLY PAYMENT 0 0 6,381 124 0 (124) 0 (124) 0 0 0 0 0 1,532 01/15/2035 1FE

31395M-JJ-9 FHLMC_2927 05/01/2020 MBS PAYDOWN 5,639 5,639 4,680 5,641 0 (2) 0 (2) 0 5,639 0 0 0 0 02/15/2035 1FE

31395N-AP-2 FNMA_06-44 PO 06/01/2020 MBS PAYDOWN 3,032 3,032 2,193 2,768 0 264 0 264 0 3,032 0 0 0 0 06/25/2036 1FE

31395N-GV-3 FNMA_06-53 06/01/2020 MBS PAYDOWN 96,442 96,442 108,751 97,219 0 (777) 0 (777) 0 96,442 0 0 0 2,217 06/25/2036 1FE

31395N-WD-5 FNMA_06-56 S 06/25/2020 INTEREST ONLY PAYMENT 0 0 14,242 465 0 (465) 0 (465) 0 0 0 0 0 3,856 07/25/2036 1FE

31395P-M4-1 FHLMC_2953 LD 06/01/2020 MBS PAYDOWN 14,187 14,187 13,956 14,162 0 25 0 25 0 14,187 0 0 0 299 12/15/2034 1FE

31395T-CB-8 FHLMC_2967 SE 06/15/2020 MBS PAYDOWN 12,008 12,008 12,714 11,943 0 65 0 65 0 12,008 0 0 0 600 04/15/2035 1FE

31395U-FB-2 FHLMC_2980 SV 06/15/2020 MBS PAYDOWN 3,416 3,416 3,539 3,271 0 144 0 144 0 3,416 0 0 0 233 05/15/2035 1FE

31395U-Z5-3 FHLMC_2996 SA 06/15/2020 MBS PAYDOWN 110,862 110,862 105,631 95,473 0 15,389 0 15,389 0 110,862 0 0 0 8,325 06/15/2035 1FE

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



31395V-GG-8 FHLMC_2989 UV 06/15/2020 INTEREST ONLY PAYMENT 0 0 6,222 281 0 (281) 0 (281) 0 0 0 0 0 1,480 02/15/2032 1FE

31396C-K9-0 FHLMC_3047 SW 06/15/2020 MBS PAYDOWN 119,415 119,415 121,039 115,738 0 3,678 0 3,678 0 119,415 0 0 0 9,275 10/15/2035 1FE

31396C-VV-9 FHLMC_3055 SA 06/15/2020 MBS PAYDOWN 138,508 138,508 143,717 132,791 0 5,717 0 5,717 0 138,508 0 0 0 7,742 07/15/2034 1FE

31396H-JA-8 FHLMC_3114 PI 06/15/2020 INTEREST ONLY PAYMENT 0 0 19,970 5 0 (5) 0 (5) 0 0 0 0 0 6,709 02/15/2036 1FE

31396J-LF-0 FHLMC_3122 06/15/2020 MBS PAYDOWN 36,701 36,701 28,885 36,185 0 516 0 516 0 36,701 0 0 0 0 03/15/2036 1FE

31396K-5V-0 FNMA_06-98 ST 06/25/2020 MBS PAYDOWN 10,922 10,922 10,706 10,777 0 145 0 145 0 10,922 0 0 0 292 10/25/2036 1FE

31396K-LL-4 FNMA_06-70 PK 06/25/2020 MBS PAYDOWN 23,882 23,882 25,319 22,799 0 1,084 0 1,084 0 23,882 0 0 0 2,587 06/25/2036 1FE

31396L-2H-2 FNMA_06-113 SB 06/25/2020 MBS PAYDOWN 18,790 18,790 18,508 16,519 0 2,271 0 2,271 0 18,790 0 0 0 1,818 11/25/2036 1FE

31396L-H3-7 FNMA_06-122 SA 06/25/2020 MBS PAYDOWN 17,627 17,627 17,274 12,364 0 5,262 0 5,262 0 17,627 0 0 0 1,622 12/25/2036 1FE

31396L-X2-1 FNMA_06-113 MS 06/25/2020 MBS PAYDOWN 51,837 51,837 45,827 38,478 0 13,359 0 13,359 0 51,837 0 0 0 5,029 09/25/2036 1FE

31396L-ZW-3 FNMA_06-116 06/01/2020 MBS PAYDOWN 33,675 33,675 37,996 33,814 0 (138) 0 (138) 0 33,675 0 0 0 878 12/25/2036 1FE

31396N-L3-8 FHLMC_3147 OE 06/15/2020 MBS PAYDOWN 185 185 113 178 0 7 0 7 0 185 0 0 0 0 04/15/2036 1FE

31396P-2W-0 FNMA_07-21 06/25/2020 INTEREST ONLY PAYMENT 0 0 40 6 0 (6) 0 (6) 0 0 0 0 0 9 03/25/2037 1FE

31396P-VB-4 FNMA_07-9 PO 06/25/2020 MBS PAYDOWN 4,611 4,611 3,420 4,495 0 117 0 117 0 4,611 0 0 0 0 03/25/2037 1FE

31396P-YR-6 FNMA_07-16 SM 06/25/2020 INTEREST ONLY PAYMENT 0 0 560 0 0 0 0 0 0 0 0 0 0 178 03/25/2037 1FE

31396Q-RH-4 FNMA_09-59F HB 06/01/2020 MBS PAYDOWN 80,539 80,539 82,451 80,617 0 (78) 0 (78) 0 80,539 0 0 0 1,652 08/25/2039 1FE

31396V-AU-2 FNBR_07-B1 06/01/2020 MBS PAYDOWN 114,026 114,026 129,113 114,482 0 (456) 0 (456) 0 114,026 0 0 0 2,656 04/25/2037 1FE

31396V-LW-6 FNMA_07-28 06/25/2020 MBS PAYDOWN 48,194 48,194 46,033 48,193 0 0 0 0 0 48,194 0 0 0 427 01/25/2036 1FE

31396V-MD-7 FNMA_07-35 SG 06/25/2020 INTEREST ONLY PAYMENT 0 0 5,573 43 0 (43) 0 (43) 0 0 0 0 0 1,808 04/25/2037 1FE

31396X-JM-7 FNMA_07-84 S 06/25/2020 MBS PAYDOWN 945 945 931 849 0 96 0 96 0 945 0 0 0 93 08/25/2037 1FE

31396X-LT-9 FNMA_07-84B P 06/01/2020 MBS PAYDOWN 17,637 17,637 19,446 17,785 0 (148) 0 (148) 0 17,637 0 0 0 354 08/25/2037 1FE

31396X-NZ-3 FNMA_07-86 ST 06/25/2020 INTEREST ONLY PAYMENT 0 0 648 85 0 (85) 0 (85) 0 0 0 0 0 140 09/25/2037 1FE

31396X-YU-2 FNMA_07-91 DS 06/25/2020 INTEREST ONLY PAYMENT 0 0 2,485 0 0 0 0 0 0 0 0 0 0 816 10/25/2037 1FE

31397C-BC-2 FHLMC_3236 LS 06/15/2020 INTEREST ONLY PAYMENT 0 0 4,587 0 0 0 0 0 0 0 0 0 0 2,373 11/15/2036 1FE

31397F-GR-7 FHLMC_3271E PC 06/01/2020 MBS PAYDOWN 473 473 531 478 0 (5) 0 (5) 0 473 0 0 0 12 02/15/2037 1FE

31397M-SY-4 FNMA_08-83 BA 06/01/2020 MBS PAYDOWN 100,759 100,759 93,706 100,237 0 523 0 523 0 100,759 0 0 0 2,338 09/25/2038 1FE

31397N-MG-7 FNMA_09-11 PO 06/01/2020 MBS PAYDOWN 15,054 15,054 12,269 14,526 0 528 0 528 0 15,054 0 0 0 0 08/25/2038 1FE

31397P-BQ-2 FHLMC_3386 FY 06/15/2020 MBS PAYDOWN 1,909 1,909 1,543 1,847 0 61 0 61 0 1,909 0 0 0 9 02/15/2037 1FE

31397P-TY-6 FHLMC_3404 SH 06/15/2020 MBS PAYDOWN 49,351 49,351 51,782 48,580 0 771 0 771 0 49,351 0 0 0 2,050 01/15/2038 1FE

31397T-5W-8 FHLMC_3432 FX 06/15/2020 MBS PAYDOWN 14,180 14,180 11,557 14,028 0 152 0 152 0 14,180 0 0 0 100 07/15/2034 1FE

31397U-KG-3 FNMA_11-51 06/25/2020 MBS PAYDOWN 278,688 278,688 292,971 279,770 0 (1,082) 0 (1,082) 0 278,688 0 0 0 6,395 06/25/2041 1FE

31397W-4B-8 FHLMC_3460 AY 06/01/2020 MBS PAYDOWN 60,056 60,056 52,248 59,366 0 690 0 690 0 60,056 0 0 0 1,236 06/15/2038 1FE

31397Y-4Y-4 FHLMC_3484 AU 06/01/2020 MBS PAYDOWN 33,984 33,984 31,658 33,818 0 166 0 166 0 33,984 0 0 0 786 08/15/2038 1FE

31397Y-6W-6 FHLMC_3480 BE 06/01/2020 MBS PAYDOWN 26,901 26,901 24,913 26,570 0 331 0 331 0 26,901 0 0 0 601 08/15/2038 1FE

31398C-3M-8 FHLMC_3516B CB 06/01/2020 MBS PAYDOWN 56,561 56,561 58,010 56,615 0 (55) 0 (55) 0 56,561 0 0 0 1,072 03/15/2029 1FE

31398R-LT-0 FNMA_10-65 06/25/2020 MBS PAYDOWN 256,096 256,096 329,083 254,836 0 1,259 0 1,259 0 256,096 0 0 0 10,530 05/25/2040 1FE

31398V-RS-7 FHLMC_3662 PJ 06/01/2020 MBS PAYDOWN 127,723 127,723 134,848 128,044 0 (321) 0 (321) 0 127,723 0 0 0 2,783 04/15/2040 1FE

31402C-VP-4 FNMA 30YR 06/01/2020 MBS PAYDOWN 10,127 10,127 10,880 10,175 0 (48) 0 (48) 0 10,127 0 0 0 237 02/01/2034 1FE

31402Q-YV-7 FNMA 30YR 06/01/2020 MBS PAYDOWN 9,310 9,310 10,002 9,352 0 (42) 0 (42) 0 9,310 0 0 0 216 02/01/2035 1FE

31402R-DG-1 FNMA 30YR 06/01/2020 MBS PAYDOWN 1,397 1,397 1,446 1,400 0 (3) 0 (3) 0 1,397 0 0 0 35 04/01/2035 1FE

31404R-YS-0 FNMA 30YR 06/01/2020 MBS PAYDOWN 468 468 461 467 0 1 0 1 0 468 0 0 0 11 04/01/2034 1FE

31407C-HW-0 FNMA 6MO LIBOR ARM 06/01/2020 MBS PAYDOWN 150,096 150,096 151,081 150,785 0 (689) 0 (689) 0 150,096 0 0 0 2,774 07/01/2035 1FE

31407C-LC-9 FNMA 6MO LIBOR ARM 06/01/2020 MBS PAYDOWN 2,651 2,651 2,670 2,651 0 0 0 0 0 2,651 0 0 0 44 08/01/2035 1FE

31407G-5E-4 FNMA 1YR CMT ARM 06/01/2020 MBS PAYDOWN 1,000 1,000 1,013 1,001 0 0 0 0 0 1,000 0 0 0 19 06/01/2035 1FE

31407J-TP-7 FNMA 6MO LIBOR ARM 06/01/2020 MBS PAYDOWN 3,587 3,587 3,571 3,583 0 4 0 4 0 3,587 0 0 0 61 08/01/2035 1FE

31409B-SU-2 FNMA 30YR 06/01/2020 MBS PAYDOWN 54 54 52 54 0 0 0 0 0 54 0 0 0 1 01/01/2036 1FE

3140FX-MC-3 FNMA 40YR MODIFIED STEP RATE 06/01/2020 MBS PAYDOWN 33,320 33,320 35,361 0 0 (50) 0 (50) 0 33,320 0 0 0 379 01/01/2053 1FE

3140FX-ME-9 FNMA 40YR MODIFIED STEP RATE 06/01/2020 MBS PAYDOWN 19,447 19,447 21,000 0 0 (56) 0 (56) 0 19,447 0 0 0 282 11/01/2051 1FE

3140J7-WY-7 FNMA 30YR 06/01/2020 MBS PAYDOWN 115,600 115,600 122,107 116,030 0 (430) 0 (430) 0 115,600 0 0 0 2,150 01/01/2044 1FE

3140J9-C8-2 FNMA 30YR 06/01/2020 MBS PAYDOWN 141,621 141,621 141,853 141,648 0 (27) 0 (27) 0 141,621 0 0 0 2,172 10/01/2047 1FE

3140J9-ME-8 FNMA 30YR 06/01/2020 MBS PAYDOWN 119,815 119,815 123,906 120,145 0 (330) 0 (330) 0 119,815 0 0 0 2,025 04/01/2047 1FE

3140Q7-EW-3 FNMA 30YR 06/01/2020 MBS PAYDOWN 430,421 430,421 456,919 434,608 0 (4,187) 0 (4,187) 0 430,421 0 0 0 8,236 08/01/2047 1FE

31410G-NS-8 FNMA 30YR 06/01/2020 MBS PAYDOWN 15,785 15,785 15,825 15,789 0 (4) 0 (4) 0 15,785 0 0 0 420 09/01/2037 1FE

31411J-X3-5 FNMA 30YR 06/01/2020 MBS PAYDOWN 2,730 2,730 2,675 2,726 0 4 0 4 0 2,730 0 0 0 63 03/01/2037 1FE

31411U-GA-3 FNMA 30YR 06/01/2020 MBS PAYDOWN 2,543 2,543 2,492 2,536 0 7 0 7 0 2,543 0 0 0 58 04/01/2037 1FE

31413U-GW-3 FNMA 30YR 06/01/2020 MBS PAYDOWN 5,876 5,876 6,034 5,886 0 (9) 0 (9) 0 5,876 0 0 0 122 11/01/2037 1FE

31416X-WV-8 FNMA 30YR 06/01/2020 MBS PAYDOWN 82,058 82,058 87,337 82,676 0 (618) 0 (618) 0 82,058 0 0 0 1,341 03/01/2041 1FE

31418D-FQ-0 FNMA 30YR UMBS 06/01/2020 MBS PAYDOWN 407,649 407,649 414,911 408,488 0 (838) 0 (838) 0 407,649 0 0 0 5,076 09/01/2049 1FE

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



31418D-GM-8 FNMA 30YR UMBS 06/01/2020 MBS PAYDOWN 440,734 440,734 454,834 442,716 0 (1,982) 0 (1,982) 0 440,734 0 0 0 6,416 10/01/2049 1FE

31419H-W9-9 FNMA 30YR 06/01/2020 MBS PAYDOWN 125,361 125,361 133,421 126,194 0 (833) 0 (833) 0 125,361 0 0 0 2,464 11/01/2040 1FE

31419J-LR-7 FNMA 30YR 06/01/2020 MBS PAYDOWN 45,379 45,379 48,296 45,670 0 (292) 0 (292) 0 45,379 0 0 0 797 10/01/2040 1FE

31419L-NH-2 FNMA 30YR 06/01/2020 MBS PAYDOWN 93,794 93,794 99,824 93,868 0 (75) 0 (75) 0 93,794 0 0 0 1,562 12/01/2040 1FE

35565A-AH-3 STACR_19-DNA4 06/25/2020 MBS PAYDOWN 277,821 277,821 194,475 0 0 15,733 0 15,733 0 277,821 0 0 0 1,774 10/25/2049 1Z

38373Q-S2-8 GNMA_03-52 S 06/16/2020 INTEREST ONLY PAYMENT 0 0 4,147 56 0 (56) 0 (56) 0 0 0 0 0 967 06/16/2033 1FE

38373S-3R-6 GNMA_03-26 SX 06/16/2020 MBS PAYDOWN 41,269 41,269 43,169 40,516 0 753 0 753 0 41,269 0 0 0 1,737 04/16/2033 1FE

38373V-ZQ-6 GNMA_02-70 SA 06/16/2020 INTEREST ONLY PAYMENT 0 0 3,796 56 0 (56) 0 (56) 0 0 0 0 0 1,847 10/16/2032 1FE

38373V-ZS-2 GNMA_02-70 SB 06/16/2020 INTEREST ONLY PAYMENT 0 0 2,638 236 0 (236) 0 (236) 0 0 0 0 0 767 10/16/2032 1FE

383742-J6-1 GNMA_08-32 SW 06/16/2020 INTEREST ONLY PAYMENT 0 0 11,026 94 0 (94) 0 (94) 0 0 0 0 0 2,715 04/16/2038 1FE

38374B-SE-4 GNMA_03-74 PS 06/20/2020 MBS PAYDOWN 41,144 41,144 42,706 39,308 0 1,836 0 1,836 0 41,144 0 0 0 2,817 01/20/2033 1FE

38374C-DT-5 GNMA_03-75 SA 06/16/2020 MBS PAYDOWN 20,686 20,686 21,410 20,097 0 588 0 588 0 20,686 0 0 0 1,321 09/16/2033 1FE

38374D-DK-2 GNMA_06-36 SD 06/16/2020 INTEREST ONLY PAYMENT 0 0 1,869 27 0 (27) 0 (27) 0 0 0 0 0 1,187 07/16/2036 1FE

38374E-Y8-4 GNMA_03-114 AS 06/20/2020 MBS PAYDOWN 12,783 12,783 14,006 12,393 0 391 0 391 0 12,783 0 0 0 847 12/20/2033 1FE

38374F-K4-5 GNMA_04-17 QS 06/16/2020 MBS PAYDOWN 19,550 19,550 19,354 18,948 0 602 0 602 0 19,550 0 0 0 837 03/16/2034 1FE

38374G-XG-2 GNMA_04-39 QD 06/16/2020 MBS PAYDOWN 11,679 11,679 13,763 11,484 0 195 0 195 0 11,679 0 0 0 791 05/16/2034 1FE

38374G-YP-1 GNMA_04-32 SV 06/16/2020 MBS PAYDOWN 20,851 20,851 19,078 19,979 0 872 0 872 0 20,851 0 0 0 980 03/16/2034 1FE

38374L-JW-2 GNMA_05-43 SA 06/20/2020 INTEREST ONLY PAYMENT 0 0 4,745 0 0 0 0 0 0 0 0 0 0 3,236 06/20/2035 1FE

38374N-H3-4 GNMA_06-58 SL 06/16/2020 INTEREST ONLY PAYMENT 0 0 67,481 2,333 0 (2,333) 0 (2,333) 0 0 0 0 0 13,276 10/16/2036 1FE

38374N-U7-0 GNMA_06-61 SD 06/20/2020 INTEREST ONLY PAYMENT 0 0 6,896 262 0 (262) 0 (262) 0 0 0 0 0 1,486 11/20/2036 1FE

38375J-AV-7 GNMA_06-69 SC 06/20/2020 INTEREST ONLY PAYMENT 0 0 4,209 160 0 (160) 0 (160) 0 0 0 0 0 1,065 12/20/2036 1FE

38375K-B4-3 GNMA_07-40 SJ 06/16/2020 MBS PAYDOWN 57,708 57,708 58,421 55,450 0 2,258 0 2,258 0 57,708 0 0 0 4,828 07/16/2037 1FE

38375K-G3-0 GNMA_07-47 SD 06/16/2020 MBS PAYDOWN 88,436 88,436 94,537 83,216 0 5,220 0 5,220 0 88,436 0 0 0 8,633 08/16/2036 1FE

38375K-NW-8 GNMA_07-37 ES 06/16/2020 MBS PAYDOWN 34,857 34,857 35,478 33,626 0 1,231 0 1,231 0 34,857 0 0 0 2,947 06/16/2037 1FE

38375L-MZ-0 GNMA_07-64 AO 06/20/2020 MBS PAYDOWN 25,603 25,603 20,474 24,945 0 658 0 658 0 25,603 0 0 0 0 10/20/2037 1FE

38375P-KL-4 GNMA_08-9A SC 06/20/2020 INTEREST ONLY PAYMENT 0 0 1,765 52 0 (52) 0 (52) 0 0 0 0 0 448 02/20/2038 1FE

38375P-RT-0 GNMA_08-13 LC 06/16/2020 MBS PAYDOWN 82,405 82,405 91,025 81,670 0 735 0 735 0 82,405 0 0 0 4,412 02/16/2038 1FE

38375Y-5R-9 GNMA_09-1 06/20/2020 MBS PAYDOWN 28,383 28,383 33,913 28,579 0 (196) 0 (196) 0 28,383 0 0 0 1,323 11/20/2034 1FE

38377E-NC-4 GNMA_10-42 06/16/2020 MBS PAYDOWN 43,508 43,508 59,796 44,607 0 (1,099) 0 (1,099) 0 43,508 0 0 0 2,509 06/16/2039 1FE

38377U-L9-7 GNMA_11-54 06/20/2020 MBS PAYDOWN 132,399 132,399 138,563 131,953 0 445 0 445 0 132,399 0 0 0 2,703 04/20/2041 1FE

38377V-Y6-7 GNMA_11-71 06/01/2020 MBS PAYDOWN 149,890 149,890 179,869 149,304 0 587 0 587 0 149,890 0 0 0 4,115 05/16/2041 1FE

38377W-ML-5 GNMA_11-70 06/20/2020 MBS PAYDOWN 69,915 69,915 82,248 69,974 0 (59) 0 (59) 0 69,915 0 0 0 2,149 12/20/2040 1FE

38378V-W5-0 GNMA_13-117 06/20/2020 MBS PAYDOWN 545,627 545,627 731,140 556,144 0 (10,518) 0 (10,518) 0 545,627 0 0 0 31,365 06/20/2039 1FE

3837H0-N3-3 GNMA_97-7 PI 06/01/2020 INTEREST ONLY PAYMENT 0 0 2,515 76 0 (76) 0 (76) 0 0 0 0 0 230 05/16/2027 1FE

38381W-JY-5 GNMA_19-72 06/01/2020 MBS PAYDOWN 650,702 650,702 641,145 645,179 0 5,523 0 5,523 0 650,702 0 0 0 9,792 06/20/2049 1FE

3199999. Subtotal - Bonds - U.S. Special Revenues 19,796,987 19,804,828 21,170,611 18,705,388 0 (15,103) 0 (15,103) 0 19,796,987 0 0 0 593,399 XXX XXX00115A-AM-1 AEP TRANSMISSION COMPANY LLC 05/12/2020 RBC CAPITAL MARKETS 939,352 850,000 849,694 0 0 1 0 1 0 849,695 0 89,657 89,657 3,706 04/01/2050 1FE

00737B-AB-1 ADS TACTICAL INC -TL 06/30/2020


9,992 9,992 9,892 9,992 0 0 0 0 0 9,992 0 0 0 381 07/26/2023 4FE

00750*-AA-0 ADVANTAGE CAPITAL ALABAMA PRVT 05/15/2020


15,071 15,071 15,065 15,065 0 6 0 6 0 15,071 0 0 0 0 05/15/2023 1

009158-BA-3 AIR PRODUCTS AND CHEMICALS INC 06/19/2020


INC. 1,570,860 1,500,000 1,494,540 0 0 21 0 21 0 1,494,561 0 76,299 76,299 6,183 05/15/2050 1FE

01185*-AA-3 ALASKA VENTURES LLC 06/30/2020 VARIOUS 210,224 210,224 210,224 210,224 0 0 0 0 0 210,224 0 0 0 9,789 06/30/2033 2PL

012725-AD-9 ALBEMARLE CORPORATION 04/15/2020 TRANSFER OUT 246,288 250,000 249,263 249,324 0 4 0 4 0 249,327 0 (3,039) (3,039) 5,072 12/01/2044 2FE

02134#-AA-9 ALTA WIND VII LLC 05/15/2020


1,039 1,039 1,039 1,039 0 0 0 0 0 1,039 0 0 0 21 12/31/2035 2PL

02380@-AA-2 AMERICAN AIRLINES 2015-1 C 05/01/2020


173,333 173,333 173,333 173,333 0 0 0 0 0 173,333 0 0 0 4,094 05/01/2023 2PL

03072S-LU-7 AMSI_03-11 AF6 06/01/2020 MBS PAYDOWN 65 65 65 64 0 1 0 1 0 65 0 0 0 2 12/25/2033 1FM

035287-AJ-0 ANIXTER INC 06/23/2020 CORPORATE ACTION 627,750 620,000 620,000 620,000 0 0 0 0 0 620,000 0 7,750 7,750 20,873 12/01/2025 3FE

03674X-AJ-5 ANTERO RESOURCES CORP 04/24/2020 GOLDMAN SACHS & CO 161,700 330,000 314,822 317,119 0 702 0 702 0 317,820 0 (156,120) (156,120) 10,862 03/01/2025 4FE

04015C-AA-6 ARES FINANCE CO LLC 04/15/2020 TRANSFER OUT 2,538,218 2,500,000 2,456,700 2,477,103 0 1,257 0 1,257 0 2,478,359 0 59,859 59,859 51,944 10/08/2024 2FE

04220@-AA-2 ARMENIA MOUNTAIN WIND LLC 06/30/2020


81,414 81,414 81,414 81,414 0 0 0 0 0 81,414 0 0 0 1,327 12/31/2024 2PL

04248N-AA-1 ARMY HAWAII FAMILY HSG 144A 06/15/2020


17,983 17,983 15,146 17,950 0 33 0 33 0 17,983 0 0 0 497 06/15/2050 1FE

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



04541G-BU-5 ABSHE_01-HE3 A1 06/15/2020 MBS PAYDOWN 4,637 4,637 4,616 4,644 0 (6) 0 (6) 0 4,637 0 0 0 35 11/15/2031 1FM

05490L-AA-7 BLUE CROSS & BLUE SHIELD OF MINNES 04/15/2020 TRANSFER OUT 211,326 200,000 199,982 199,990 0 0 0 0 0 199,991 0 11,335 11,335 3,453 05/01/2025 2FE

05492C-AJ-6 BBCMS_18-RRI 04/15/2020 MBS PAYDOWN 60,765 60,765 60,537 60,782 0 (17) 0 (17) 0 60,765 0 0 0 554 02/15/2033 1FM

05526D-BD-6 BAT CAPITAL CORP 05/22/2020 VARIOUS 1,583,335 1,500,000 1,500,000 1,500,000 0 0 0 0 0 1,500,000 0 83,335 83,335 51,583 08/15/2037 2FE

05568Y-AA-6 BNSF RAILWAY CO 2007-1 P 04/01/2020


130,558 130,558 119,498 130,558 0 0 0 0 0 130,558 0 0 0 3,914 04/01/2024 1FE

05607Q-AU-2 BX_20-BXLP 06/17/2020

J.P. MORGAN SECURITIES,

INC. 950,000 1,000,000 925,000 0 0 1,782 0 1,782 0 926,782 0 23,218 23,218 3,746 12/15/2036 2FE

05648C-AB-6 BAD BOY LLC 06/30/2020


2,500 2,500 2,475 2,486 0 14 0 14 0 2,500 0 0 0 63 12/06/2025 3PL

058927-AB-0 BAFC_06-A 1A2 06/01/2020 MBS PAYDOWN 11,587 24,715 10,166 0 0 11,587 0 11,587 0 11,587 0 0 0 417 02/20/2036 1FM

05946X-H9-7 BAFC_05-H 4A1 06/01/2020 MBS PAYDOWN 48,776 76,731 68,787 49,107 0 (331) 0 (331) 0 48,776 0 0 0 260 11/20/2035 1FM

05946X-R2-1 BAFC_05-7 1A2 05/25/2020 MBS PAYDOWN 38,758 38,758 35,391 37,337 0 1,421 0 1,421 0 38,758 0 0 0 2,253 11/25/2035 1FM

05946X-ZD-8 BAFC_05-F 6A1 06/01/2020 MBS PAYDOWN 6,405 6,405 6,399 6,303 0 103 0 103 0 6,405 0 0 0 105 09/20/2035 1FM

05949C-GD-2 BOAMS_05-H 4A1 06/01/2020 MBS PAYDOWN 1,077 1,077 972 1,057 0 20 0 20 0 1,077 0 0 0 20 09/25/2035 1FM

05949Q-BG-9 BAFC_06-2 4A1 06/25/2020 MBS PAYDOWN 31,105 33,126 32,932 29,801 0 1,303 0 1,303 0 31,105 0 0 0 2,295 03/25/2036 1FM

059513-EA-5 BOAMS_07-4 1PO 06/01/2020 MBS PAYDOWN 496 1,006 706 313 172 11 0 183 0 496 0 0 0 0 12/28/2037 1FM

059515-BA-3 BAFC_07-3 XPO 06/01/2020 MBS PAYDOWN 11,991 12,237 6,378 11,372 0 619 0 619 0 11,991 0 0 0 0 09/25/2034 1FM

05951F-CH-5 BAFC_07-1 30PO 06/01/2020 MBS PAYDOWN 34,804 37,094 19,218 34,149 0 655 0 655 0 34,804 0 0 0 0 01/25/2037 1FM

06541K-AJ-7 BANK_18-BN12 05/28/2020 VARIOUS 454,213 895,000 786,032 791,778 0 3,223 0 3,223 0 795,000 0 (340,788) (340,788) 13,425 05/15/2061 2FE

07274N-BG-7 BAYER US FINANCE II LLC 04/15/2020 TRANSFER OUT 2,675,700 2,550,000 2,543,297 2,543,916 0 41 0 41 0 2,543,956 0 131,744 131,744 50,363 04/15/2045 2FE

07386V-AB-6 BSABS_07-AC3 A2 06/25/2020 INTEREST ONLY PAYMENT 0 0 2,781 (5) 0 5 0 5 0 0 0 0 0 1,986 04/25/2037 6FE

07387#-AA-2 BEAR SWAMP FINANCE LP 06/30/2020


19,688 19,688 19,688 19,688 0 0 0 0 0 19,688 0 0 0 353 10/08/2025 2PL

073882-AC-6 BSARM_06-4 2A1 06/01/2020 MBS PAYDOWN 79,199 78,464 47,323 76,991 0 2,207 0 2,207 0 79,199 0 0 0 1,273 10/25/2036 1FM

07388V-AG-3 BSCMS_07-T26 AM 06/01/2020 MBS PAYDOWN 12,141 12,141 12,207 12,142 0 0 0 0 0 12,141 0 0 0 277 01/12/2045 1FM

07388W-AB-2 BSABS_06-AC4 A2 06/25/2020 MBS PAYDOWN 9,300 11,114 11,395 9,234 0 67 0 67 0 9,300 0 0 0 1,132 07/25/2036 1FM

097023-CW-3 BOEING CO 05/26/2020

BANK OF AMERICA

SECURITIES LLC 1,092,700 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 92,700 92,700 3,870 05/01/2050 2FE

097023-CX-1 BOEING CO 05/22/2020 RBC CAPITAL MARKETS 1,084,370 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 84,370 84,370 3,789 05/01/2060 2FE

124857-AF-0 VIACOMCBS INC 04/15/2020 RBC CAPITAL MARKETS 2,608,793 2,500,000 2,653,700 2,634,553 0 (1,058) 0 (1,058) 0 2,633,495 0 (24,702) (24,702) 73,750 10/15/2040 2FE

12523@-AA-9 CC TUGS LLC 06/30/2020


44,805 44,805 44,805 44,805 0 0 0 0 0 44,805 0 0 0 1,434 09/30/2030 3PL

12555D-AA-3 CIM_19-INV1 06/01/2020 MBS PAYDOWN 150,428 150,428 152,888 150,644 0 (216) 0 (216) 0 150,428 0 0 0 2,417 02/25/2049 1FE

12556M-AB-0 CIM_19-J1 06/01/2020 MBS PAYDOWN 427,017 427,017 432,755 427,378 0 (361) 0 (361) 0 427,017 0 0 0 5,955 08/25/2049 1FM

12595E-AH-8 COMM_17-COR2 06/03/2020

DEUTSCHE BANK

SECURITIES, INC. 258,656 300,000 302,116 301,562 0 (117) 0 (117) 0 301,445 0 (42,789) (42,789) 7,108 09/10/2050 1FM

126379-AA-4 CSMC_07-4 1A1 06/25/2020 MBS PAYDOWN 9,006 9,006 7,963 8,967 0 40 0 40 0 9,006 0 0 0 72 06/25/2037 2FM

126379-BM-7 CSMC_07-4 1A9 06/25/2020 MBS PAYDOWN 1,509 1,509 1,260 1,344 0 166 0 166 0 1,509 0 0 0 135 06/25/2037 1FM

12653V-AE-6 CSMC_19-ICE4 06/18/2020


INC. 1,950,000 2,000,000 1,888,125 0 0 3,566 0 3,566 0 1,891,691 0 58,309 58,309 7,148 05/15/2036 1FE

126650-BP-4 CVS PASS-THROUGH TRUST 06/10/2020


6,165 6,165 5,773 6,148 0 17 0 17 0 6,165 0 0 0 155 12/10/2028 2FE

12666B-AD-7 CWL_06-22 2A3 06/25/2020 MBS PAYDOWN 1,263,398 1,263,398 1,263,398 1,233,463 0 29,935 0 29,935 0 1,263,398 0 0 0 8,102 01/25/2034 1FM

12667G-GA-5 CWALT_05-19CB A2 06/25/2020 MBS PAYDOWN 8,684 8,763 8,882 8,568 0 117 0 117 0 8,684 0 0 0 483 06/25/2035 1FM

12667G-L7-6 CWALT_05-27 1A1 06/01/2020 MBS PAYDOWN 7,504 13,913 13,905 7,340 0 164 0 164 0 7,504 0 0 0 127 08/25/2035 1FM

12667G-LD-3 CWALT_05-23CB A3 06/25/2020 MBS PAYDOWN 6,734 6,734 7,002 6,664 0 70 0 70 0 6,734 0 0 0 477 07/25/2035 1FM

12667G-Y9-8 CWALT_05-38 06/01/2020 MBS PAYDOWN 37,678 37,678 36,407 37,741 0 (62) 0 (62) 0 37,678 0 0 0 586 09/25/2035 1FM

12668A-KU-8 CWALT_05-53T2 2A6 06/25/2020 MBS PAYDOWN 86,994 83,682 47,565 86,102 0 892 0 892 0 86,994 0 0 0 631 11/25/2035 1FM

12668A-NB-7 CWALT_05-55CB 2A4 06/25/2020 MBS PAYDOWN 16,159 18,142 18,312 15,977 0 182 0 182 0 16,159 0 0 0 1,254 11/25/2035 1FM

12668B-CH-4 CWALT_05-77T1 1A3 06/25/2020 MBS PAYDOWN 18,734 27,707 11,083 18,547 0 187 0 187 0 18,734 0 0 0 184 02/25/2036 1FM

12668B-CJ-0 CWALT_05-77T1 1A4 06/25/2020 MBS PAYDOWN 2,882 4,263 4,292 2,857 0 25 0 25 0 2,882 0 0 0 296 02/25/2036 1FM

12668B-XG-3 CWALT_06-12CB A11 06/25/2020 MBS PAYDOWN 2,800 3,577 3,604 2,770 0 30 0 30 0 2,800 0 0 0 334 05/25/2036 1FM

126694-2B-3 CWHL_06-10 1A5 06/25/2020 MBS PAYDOWN 29,664 34,343 34,386 29,109 0 555 0 555 0 29,664 0 0 0 4,471 05/25/2036 1FM

126694-M7-0 CWHL_06-OA5 1A2 06/25/2020 MBS PAYDOWN 440 5,882 533 0 0 440 0 440 0 440 0 0 0 38 04/25/2046 1FM

12669E-EH-5 CWHL_03-15 1A2 06/25/2020 VARIOUS 787 787 787 (74) 0 355 0 355 0 787 0 0 0 36 05/25/2021 1FM

12669F-XP-3 CWHL_04-7 5A1 06/25/2020 MBS PAYDOWN 0 4,041 3,006 (176) 0 176 0 176 0 0 0 0 0 25 05/25/2034 1FM

12669G-AJ-0 CWHL_04-21 A3 06/01/2020 MBS PAYDOWN 52,724 52,724 55,012 52,781 0 (57) 0 (57) 0 52,724 0 0 0 1,453 11/25/2034 1FM

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



12669G-HY-0 CWHL_04-29 1A1 06/25/2020 MBS PAYDOWN 9,528 9,528 9,528 9,528 0 0 0 0 0 9,528 0 0 0 71 02/25/2035 1FM

12669G-UX-7 CWHL_05-11 6A1 06/25/2020 MBS PAYDOWN 377 377 334 378 0 (1) 0 (1) 0 377 0 0 0 3 03/25/2035 1FM

12673P-AJ-4 CA INC 04/15/2020

BANK OF AMERICA

SECURITIES LLC 1,007,916 1,000,000 1,000,000 1,000,000 0 0 0 0 0 1,000,000 0 7,916 7,916 27,417 03/15/2027 2FE

14268*-AA-6 CARLSBAD HOLDCO LLC 04/30/2020


11,809 11,809 11,809 11,809 0 0 0 0 0 11,809 0 0 0 243 12/31/2038 2PL

14448C-AH-7 CARRIER GLOBAL CORP 06/19/2020 GOLDMAN SACHS & CO 1,020,270 1,000,000 1,000,000 0 0 0 0 0 0 1,000,000 0 20,270 20,270 8,033 02/15/2027 2FE

15005#-AA-7 CED UPTON COUNTY SOLAR LLC 06/30/2020


44,844 44,844 44,844 44,844 0 0 0 0 0 44,844 0 0 0 33 06/30/2042 2

15506#-AA-1 CENTRAL RIVERS POWER US LLC 06/22/2020


544,960 544,960 544,960 0 0 0 0 0 0 544,960 0 0 0 8,167 12/20/2034 2PL

161546-JH-0 CFAB_04-2 1A5 06/01/2020 MBS PAYDOWN 56,048 56,048 54,815 55,953 0 95 0 95 0 56,048 0 0 0 1,242 02/25/2035 1FM

16165M-AD-0 CFLX_06-2 A2B 06/25/2020 MBS PAYDOWN 10,409 19,410 17,423 10,270 0 139 0 139 0 10,409 0 0 0 135 09/25/2036 1FM

17290Y-AW-8 CGCMT_16-C1 06/01/2020 INTEREST ONLY PAYMENT 0 0 4,149 209 0 (209) 0 (209) 0 0 0 0 0 311 05/12/2049 1FE

17307G-E8-7 CMLTI_05-8 1A4A 06/01/2020 MBS PAYDOWN 28,079 28,943 21,198 27,541 0 538 0 538 0 28,079 0 0 0 432 10/25/2035 1FM

17307G-EY-0 CMLTI_04-1 1A3 144A 06/25/2020 MBS PAYDOWN 605 605 629 598 0 6 0 6 0 605 0 0 0 32 02/25/2031 1FM

17307G-Y7-7 CMLTI_05-12 2A2 144A 06/25/2020 MBS PAYDOWN 4,894 5,712 5,078 4,309 0 585 0 585 0 4,894 0 0 0 929 08/25/2035 1FM

17311Y-AB-9 CBASS_07-CB3 A2 06/01/2020 MBS PAYDOWN 112,446 112,446 112,444 111,769 0 677 0 677 0 112,446 0 0 0 1,036 03/25/2037 1FM

17312E-AD-8 CMLTI_07-AMC3 A2C 06/25/2020 MBS PAYDOWN 259,309 259,309 259,309 248,642 0 10,667 0 10,667 0 259,309 0 0 0 1,580 03/25/2037 1FM

17325H-BU-7 CGCMT_17-P7 06/01/2020 INTEREST ONLY PAYMENT 0 0 1,854 85 0 (85) 0 (85) 0 0 0 0 0 128 04/14/2050 1FE

184691-A#-0 CLEARBRIDGE ENERGY MIDSTREAM OPP FUND 05/01/2020 TRANSFER OUT 128,868 122,929 122,929 122,929 0 0 0 0 0 122,929 0 5,939 5,939 3,018 10/15/2023 1FE

184691-B*-3 CLEARBRIDGE ENERGY MIDSTREAM OPP FUND 05/01/2020 VARIOUS 88,231 82,414 82,414 82,414 0 0 0 0 0 82,414 0 5,817 5,817 2,091 10/15/2025 1FE

184692-C*-0 CLEARBRIDGE AMERICAN ENERGY MLP FUND INC 05/01/2020 VARIOUS 158,838 151,219 151,219 151,219 0 0 0 0 0 151,219 0 7,618 7,618 3,193 04/30/2026 1FE

190749-AG-6 CWCI_06-C1 IO 06/01/2020 INTEREST ONLY PAYMENT 0 0 164 23 0 (23) 0 (23) 0 0 0 0 0 61 08/15/2048 5GI

20048G-AA-4 COMM_19-521F 06/17/2020

CREDIT SUISSE SECURITIES

(USA) LLC 2,883,750 3,000,000 2,859,375 0 0 4,457 0 4,457 0 2,863,832 0 19,918 19,918 7,450 06/15/2034 1FE

208251-AE-8 CONOCO INC 04/15/2020 GOLDMAN SACHS & CO 2,495,799 1,966,000 2,782,342 2,486,975 0 (13,704) 0 (13,704) 0 2,473,271 0 22,528 22,528 68,319 04/15/2029 1FE

210805-DD-6 CONTINENTAL AIRLINES INC 04/24/2020 VARIOUS 273,403 276,139 303,062 288,564 0 (11,680) 0 (11,680) 0 276,885 0 (3,482) (3,482) 11,511 04/02/2021 2FE

210805-DH-7 CONTINENTAL AIRLINES INC 04/27/2020

ROBERT W. BAIRD & CO.,

INC. 191,489 193,913 205,063 200,256 0 (2,442) 0 (2,442) 0 197,814 0 (6,325) (6,325) 4,838 06/15/2021 1FE

22540A-7C-6 CSFB_01-HE17 AIO 06/25/2020 INTEREST ONLY PAYMENT 0 0 2,634 0 0 0 0 0 0 0 0 0 0 599 01/25/2032 3FE

22540V-KN-1 CSFB_01-28 1A2 06/25/2020 INTEREST ONLY PAYMENT 0 0 536 0 0 0 0 0 0 0 0 0 0 393 11/25/2031 6FE

225458-2C-1 CSFB_05-8 4A1 06/01/2020 MBS PAYDOWN 5,409 5,419 5,369 5,441 0 (32) 0 (32) 0 5,409 0 0 0 163 09/25/2035 1FM

225458-2D-9 CSFB_05-8 5A1 06/25/2020 MBS PAYDOWN 3,330 3,330 3,356 3,321 0 8 0 8 0 3,330 0 0 0 264 09/25/2035 1FM

225458-5U-8 CSFB_05-9 4A1 06/25/2020 MBS PAYDOWN 3,586 3,586 3,682 3,537 0 49 0 49 0 3,586 0 0 0 204 10/25/2035 1FM

225458-PN-2 CSFB_05-4 2A1 06/25/2020 MBS PAYDOWN 2,759 2,759 2,155 2,753 0 6 0 6 0 2,759 0 0 0 19 06/25/2035 1FM

225458-X4-5 CSFB_05-8 2A1 06/01/2020 MBS PAYDOWN 192,616 525,395 524,409 201,451 0 (8,835) 0 (8,835) 0 192,616 0 0 0 14,520 09/25/2035 2FM

225470-FM-0 CSFB_05-10 10A3 06/01/2020 MBS PAYDOWN 3,505 3,513 3,127 3,575 0 (69) 0 (69) 0 3,505 0 0 0 93 11/25/2035 1FM

225470-RU-9 CSFB_05-12 3A1 04/01/2020 MBS PAYDOWN 0 12 6 0 0 0 0 0 0 0 0 0 0 0 01/25/2036 1FM

225470-SE-4 CSFB_05-12 DX2 06/01/2020 INTEREST ONLY PAYMENT 0 0 2,099 41 0 (41) 0 (41) 0 0 0 0 0 362 01/25/2036 5GI

225470-UJ-0 CSMC_06-1 1A2 06/25/2020 MBS PAYDOWN 7,607 7,613 6,028 7,052 0 554 0 554 0 7,607 0 0 0 687 02/25/2036 1FM

225470-WF-6 CSMC_06-1 DX 06/01/2020 INTEREST ONLY PAYMENT 0 0 6,878 297 0 (297) 0 (297) 0 0 0 0 0 903 02/25/2036 5Z

22944B-AV-0 CSMC_07-5 3A2 06/25/2020 MBS PAYDOWN 10,109 10,212 9,361 9,716 0 393 0 393 0 10,109 0 0 0 939 08/25/2037 1FM

23325P-A@-3 DNP SELECT INCOME FUND 05/01/2020 PRIVATE DIRECT 1,023,930 1,000,000 1,000,000 1,000,000 0 0 0 0 0 1,000,000 0 23,930 23,930 23,250 07/22/2026 1FE

244199-BG-9 DEERE & CO 06/19/2020

WACHOVIA CAPITAL MARKETS

LLC 2,100,340 2,000,000 1,999,200 1,999,206 0 9 0 9 0 1,999,215 0 101,125 101,125 45,840 09/07/2049 1FE

24617#-AA-9 DELAWARE NORTH COMPANIES BOSTON 05/14/2020


10,559 10,559 10,559 10,559 0 0 0 0 0 10,559 0 0 0 202 11/14/2034 2PL

24702N-BE-9 DELL INTERNATIONAL LLC 06/09/2020


47,500 47,500 47,553 47,500 0 0 0 0 0 47,500 0 0 0 640 09/19/2025 2FE

251510-JM-6 DBALT_05-5 1AIO 06/01/2020 INTEREST ONLY PAYMENT 0 0 14,279 0 0 0 0 0 0 0 0 0 0 2,326 11/25/2035 5FE

25271C-AN-2 DIAMOND OFFSHORE DRILLING INC. 04/23/2020 VARIOUS 196,333 1,825,000 1,822,153 1,822,446 0 14 1,576,085 (1,576,071) 0 246,375 0 (50,042) (50,042) 42,142 11/01/2043 5FE

25470D-AD-1 DISCOVERY COMMUNICATIONS LLC 04/15/2020

R.W. PRESSPRICH & CO.,

INC. 1,323,735 1,000,000 1,238,060 1,201,290 0 (1,703) 0 (1,703) 0 1,199,587 0 124,148 124,148 23,636 06/01/2040 2FE

25755T-AH-3 DPABS_17-1A 04/25/2020 MBS PAYDOWN 1,250 1,250 1,250 1,250 0 0 0 0 0 1,250 0 0 0 26 07/25/2047 2FE

26860#-AA-8 EIF PIO PICO LLC 06/30/2020


11,794 11,794 11,794 11,794 0 0 0 0 0 11,794 0 0 0 249 12/31/2041 2PL

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



26986*-AA-1 EAGLE SOLAR LLC 06/30/2020


8,229 8,229 8,229 8,229 0 0 0 0 0 8,229 0 0 0 198 12/31/2042 2PL

291011-BM-5 EMERSON ELECTRIC CO 06/19/2020 AMHERST PIERPONT 1,259,913 1,250,000 1,248,475 0 0 2 0 2 0 1,248,477 0 11,435 11,435 5,156 10/15/2050 1FE

29252B-AA-7 ENBRIDGE PIPELINES SOUTHERN LIGHTS 06/30/2020


181,040 181,040 181,040 181,040 0 0 0 0 0 181,040 0 0 0 3,603 06/30/2040 1PL

29278N-AN-3 ENERGY TRANSFER LP 04/15/2020


INC. 1,019,870 1,000,000 985,000 989,612 0 330 0 330 0 989,942 0 29,928 29,928 20,472 06/01/2027 2FE

29364W-BD-9 ENTERGY LOUISIANA LLC 06/19/2020

CITIGROUP GLOBAL MARKETS

INC 1,027,090 1,000,000 997,550 0 0 18 0 18 0 997,568 0 29,522 29,522 8,619 03/15/2051 1FE

29429E-AF-8 CGCMT_16-P4 06/01/2020 INTEREST ONLY PAYMENT 0 0 3,337 171 0 (171) 0 (171) 0 0 0 0 0 260 07/10/2049 1FE

294751-EZ-1 EQABS_04-3 M1 06/01/2020 MBS PAYDOWN 21,647 21,647 21,647 21,647 0 0 0 0 0 21,647 0 0 0 388 07/25/2034 1FM

30311K-AC-0 FR FLOW CONTROL CB LLC 06/30/2020


11,520 11,520 11,287 11,452 0 68 0 68 0 11,520 0 0 0 448 06/28/2026 4FE

313747-AV-9 FEDERAL REALTY INVESTMENT TRUST 04/15/2020 TRANSFER OUT 321,845 300,000 316,137 314,650 0 (101) 0 (101) 0 314,549 0 7,295 7,295 5,025 12/01/2044 1FE

31428X-CA-2 FEDEX CORP 05/15/2020


INC 1,134,130 1,000,000 990,500 0 0 32 0 32 0 990,532 0 143,598 143,598 6,125 05/15/2050 2FE

33851Y-AC-0 FSMT_20-1INV 06/01/2020 MBS PAYDOWN 20,659 20,659 20,956 0 0 (17) 0 (17) 0 20,659 0 0 0 162 03/25/2050 1FE

35563K-AH-3 STACR_19-DNA1 06/25/2020 MBS PAYDOWN 141,632 141,632 106,932 0 0 6,262 0 6,262 0 141,632 0 0 0 1,081 01/25/2049 1Z

35877#-AA-0 FRISCO HQ OPERATIONS LLC 06/15/2020


119,071 119,071 119,071 119,071 0 0 0 0 0 119,071 0 0 0 2,459 12/15/2037 2PL

36228F-AP-1 GSMPS_98-4 A 144A 06/01/2020 MBS PAYDOWN 1,802 1,802 1,876 1,806 0 (4) 0 (4) 0 1,802 0 0 0 31 12/19/2026 1FM

36228F-CG-9 GSMPS_99-2 A 144A 06/01/2020 MBS PAYDOWN 1,970 2,200 2,200 1,978 0 (8) 0 (8) 0 1,970 0 0 0 71 09/19/2027 1FM

36228F-YZ-3 GSR_03-13 1A2 06/01/2020 MBS PAYDOWN 1,866 1,866 1,823 1,869 0 (3) 0 (3) 0 1,866 0 0 0 33 10/25/2033 1FM

362341-LL-1 GSMPS_05-RP3 1AF 144A 06/25/2020 MBS PAYDOWN 9,223 9,393 9,016 9,222 0 1 0 1 0 9,223 0 0 0 63 09/25/2035 2FM

36242D-T5-2 GSMPS_05-RP2 1AF 144A 06/25/2020 MBS PAYDOWN 67,324 67,324 64,090 65,896 0 1,428 0 1,428 0 67,324 0 0 0 455 03/25/2035 1FM

36251P-AF-1 GSMS_16-GS3 06/01/2020 INTEREST ONLY PAYMENT 0 0 2,831 133 0 (133) 0 (133) 0 0 0 0 0 210 10/10/2049 1FE

36255W-AG-0 GSMS_18-RIVR 06/19/2020


INC 902,500 1,000,000 881,875 0 0 3,147 0 3,147 0 885,022 0 17,478 17,478 3,434 07/15/2035 2FE

36262D-AA-6 GSMBS_20-PJ2 06/01/2020 MBS PAYDOWN 100,434 100,434 102,756 0 0 (141) 0 (141) 0 100,434 0 0 0 993 07/25/2050 1FE

36298X-AA-0 GSMPS_06-RP2 1AF1 144A 06/25/2020 MBS PAYDOWN 48,410 54,874 47,793 48,392 0 18 0 18 0 48,410 0 0 0 289 04/25/2036 1FM

36959C-AA-6 GENERAL ELECTRIC CO 04/15/2020


INC. 1,217,374 1,000,000 1,404,430 1,360,341 0 (4,712) 0 (4,712) 0 1,355,628 0 (138,254) (138,254) 48,750 08/21/2035 2FE

369604-BH-5 GENERAL ELECTRIC CO 05/29/2020


LLC 2,978,160 3,000,000 2,972,670 2,975,524 0 237 0 237 0 2,975,761 0 2,399 2,399 97,875 03/11/2044 2FE

39539G-AB-8 GPMF_06-OH1 A2 06/25/2020 MBS PAYDOWN 877 877 565 828 0 48 0 48 0 877 0 0 0 5 01/25/2037 1FM

39813#-AA-9 GRIDFLEX GENERATION LLC 06/30/2020


120,159 120,159 120,159 120,159 0 0 0 0 0 120,159 0 0 0 3,130 12/31/2030 2PL

42217K-BC-9 HEALTH CARE REIT INC 04/15/2020 TRANSFER OUT 2,482,680 2,400,000 2,374,992 2,388,977 0 725 0 725 0 2,389,702 0 92,978 92,978 81,000 01/15/2024 2FE

428040-CN-7 HDTFS 04/28/2020 SUMRIDGE PARTNERS 16,638 55,000 55,000 55,000 0 0 0 0 0 55,000 0 (38,363) (38,363) 1,862 10/15/2022 4FE

428236-BR-3 HEWLETT-PACKARD COMPANY 04/15/2020


INC. 2,312,206 2,000,000 2,127,240 2,125,554 0 (881) 0 (881) 0 2,124,673 0 187,533 187,533 70,000 09/15/2041 2FE

437076-AT-9 HOME DEPOT INC 06/15/2020 CORPORATE ACTION 690,000 690,000 689,089 689,893 0 76 0 76 0 689,969 0 31 31 20,441 09/15/2020 1FE

444859-BE-1 HUMANA INC 04/15/2020


INC. 7,613,497 6,153,000 7,105,238 7,098,947 0 (6,768) 0 (6,768) 0 7,092,179 0 521,318 521,318 164,131 10/01/2044 2FE

45254N-HS-9 IMM_04-4 1A1 06/25/2020 MBS PAYDOWN 1,246 1,246 1,246 1,246 0 0 0 0 0 1,246 0 0 0 9 09/25/2034 1FM

45660L-SP-5 RAST_05-A8CB A1 06/25/2020 MBS PAYDOWN 12,339 12,323 7,679 12,270 0 69 0 69 0 12,339 0 0 0 91 07/25/2035 1FM

45660N-D2-8 RAST_04-A2 2A1 06/25/2020 MBS PAYDOWN 8,415 8,415 8,415 8,415 0 0 0 0 0 8,415 0 0 0 65 05/25/2034 1FM

45660N-UU-7 RAST_03-A11 A2 06/25/2020 MBS PAYDOWN 803 803 802 804 0 (1) 0 (1) 0 803 0 0 0 6 11/25/2033 1FM

45661K-AU-4 INDX_06-AR11 5A1 06/01/2020 MBS PAYDOWN 3,732 3,705 3,718 3,670 0 62 0 62 0 3,732 0 0 0 53 06/25/2036 1FM

46185H-AA-0 IHSFR_18-SFR2 06/17/2020 MBS PAYDOWN 6,480 6,480 6,098 0 0 688 0 688 0 6,480 0 0 0 14 06/17/2037 1FE

46185J-AA-6 IHSFR_18-SFR1 06/17/2020 MBS PAYDOWN 8,031 8,031 7,504 0 0 3,022 0 3,022 0 8,031 0 0 0 13 03/17/2037 1FE

463556-AD-2 IROQUOIS GAS TRANSMISSION SYSTEM 144A 05/01/2020 VARIOUS 1,402,420 1,245,292 1,245,292 1,245,292 0 0 0 0 0 1,245,292 0 157,128 157,128 38,182 10/31/2027 2FE

46591H-AA-8 CHASE_19-CL1 06/25/2020 MBS PAYDOWN 292,394 292,394 292,394 292,394 0 0 0 0 0 292,394 0 0 0 3,278 04/25/2047 1FE

46591L-AC-5 JPMMT_19-INV3 06/01/2020 MBS PAYDOWN 264,248 264,248 269,079 267,155 0 (2,907) 0 (2,907) 0 264,248 0 0 0 3,688 05/25/2050 1FE

46591T-AC-8 JPMMT_20-2 06/01/2020 MBS PAYDOWN 243,423 243,423 249,166 0 0 (316) 0 (316) 0 243,423 0 0 0 2,159 07/25/2050 1FE

466247-K7-7 JPMMT_06-A2 5A1 06/01/2020 MBS PAYDOWN 370 370 269 359 0 11 0 11 0 370 0 0 0 6 11/25/2033 1FM

46625H-HZ-6 JPMORGAN CHASE & CO 04/15/2020 TRANSFER OUT 5,163,800 5,000,000 4,994,450 4,999,090 0 189 0 189 0 4,999,278 0 164,522 164,522 99,566 05/10/2021 1FE

46629B-AB-5 JPMAC_06-CW2 AF2 06/01/2020 MBS PAYDOWN 35,228 35,228 35,228 34,921 0 308 0 308 0 35,228 0 0 0 399 08/25/2036 1FM

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



46629Q-AD-8 JPMAC_06-CH2 AF3 06/01/2020 MBS PAYDOWN 153,973 153,973 153,972 152,079 0 1,895 0 1,895 0 153,973 0 0 0 2,020 10/25/2036 1FM

466313-AG-8 JABIL CIRCUIT INC 04/15/2020


INC 143,582 140,000 139,989 140,000 0 0 0 0 0 140,000 0 3,582 3,582 3,838 09/15/2022 2FE

46648H-AZ-6 JPMMT_17-2 06/01/2020 MBS PAYDOWN 1,204 1,204 1,201 1,204 0 0 0 0 0 1,204 0 0 0 19 05/25/2047 1FM

46650T-AC-6 JPMMT_19-2 06/01/2020 MBS PAYDOWN 197,548 197,548 200,017 197,809 0 (261) 0 (261) 0 197,548 0 0 0 3,256 08/25/2049 1FM

46651A-AT-9 JPMMT_19-LTV2 06/01/2020 MBS PAYDOWN 286,850 286,850 293,304 287,068 0 (218) 0 (218) 0 286,850 0 0 0 4,484 12/25/2049 1FM

46651A-BB-7 JPMMT_19-LTV2 06/01/2020 MBS PAYDOWN 2,229 2,229 2,407 2,233 0 (5) 0 (5) 0 2,229 0 0 0 44 12/25/2049 1FM

46651B-AC-4 JPMMT_19-6 06/01/2020 MBS PAYDOWN 1,302,067 1,302,067 1,322,411 1,302,553 0 (486) 0 (486) 0 1,302,067 0 0 0 17,603 12/25/2049 1FM

48253Q-AJ-4 KIND_20-AIP 06/17/2020


INC. 2,415,625 2,500,000 2,391,250 0 0 2,314 0 2,314 0 2,393,564 0 22,061 22,061 7,475 03/15/2037 1FE

486606-J#-4 KAYNE ANDERSON KYN FUND 05/01/2020 VARIOUS 1,017,622 1,000,000 1,000,000 1,000,000 0 4,226 0 4,226 0 1,004,226 0 13,396 13,396 13,155 04/16/2025 1FE

486606-J*-8 KAYNE ANDERSON KYN FUND 05/01/2020 VARIOUS 1,108,357 1,100,000 1,100,000 1,100,529 0 7,607 0 7,607 0 1,108,136 0 221 221 12,433 04/16/2021 1FE

486606-J@-6 KAYNE ANDERSON KYN FUND 05/01/2020 VARIOUS 1,013,482 1,000,000 1,000,000 1,009,256 0 4,226 0 4,226 0 1,013,482 0 0 0 12,797 04/16/2023 1FE

49725V-AB-8 KIOWA POWER PARTNERS LLC 144A 06/30/2020


7,871 7,871 7,334 7,812 0 59 0 59 0 7,871 0 0 0 226 03/30/2021 2FE

50550#-AA-3 LACKAWANNA ENERGY CENTER LLC 06/30/2020 VARIOUS 40,000 40,000 40,000 40,000 0 0 0 0 0 40,000 0 0 0 1,764 03/31/2024 3

50706U-AF-2 LAGO RESORT & CASINO LLC - TL 06/30/2020


7,500 7,500 7,350 7,475 0 25 0 25 0 7,500 0 0 0 417 03/07/2022 5FE

52520N-AG-6 LMT_06-6 2A2 06/25/2020 INTEREST ONLY PAYMENT 0 0 2,566 (489) 0 489 0 489 0 0 0 0 0 1,061 10/25/2036 5GI

52521F-AE-7 LMT_07-1 2A2 06/25/2020 INTEREST ONLY PAYMENT 0 0 979 (19) 0 19 0 19 0 0 0 0 0 497 02/25/2037 5GI

52521J-AP-4 LMT_07-3 1A5 05/25/2020 INTEREST ONLY PAYMENT 0 0 0 0 0 0 0 0 0 0 0 0 0 1 03/25/2037 5GI

53079E-AE-4 LIBERTY MUTUAL GROUP INC. 144A 05/07/2020 CORPORATE ACTION 8,274,480 6,000,000 7,334,470 7,075,622 0 (18,441) 0 (18,441) 0 7,057,181 0 1,217,299 1,217,299 270,667 03/15/2034 2FE

53688T-AA-2 LFRF-2015-1 04/30/2020 VARIOUS 132,012 132,012 132,012 132,012 0 0 0 0 0 132,012 0 0 0 3,799 10/30/2027 1PL

55354G-AB-6 MSCI INC 06/17/2020 CORPORATE ACTION 549,548 530,000 530,000 530,000 0 19,548 0 19,548 0 549,548 0 0 0 25,565 08/15/2025 3FE

559080-AG-1 MAGELLAN MIDSTREAM PARTNERS LP 04/15/2020 TRANSFER OUT 3,283,173 3,000,000 2,986,800 2,988,136 0 74 0 74 0 2,988,210 0 294,963 294,963 77,250 10/15/2043 2FE

56585A-BB-7 TESORO CORP 04/15/2020 NATWEST MARKETS 1,029,241 1,040,000 1,043,900 1,041,262 0 (154) 0 (154) 0 1,041,108 0 (11,866) (11,866) 28,723 04/01/2024 2FE

576434-2J-2 MALT_06-2 2A2 06/25/2020 INTEREST ONLY PAYMENT 0 0 1,161 (225) 0 225 0 225 0 0 0 0 0 786 03/25/2036 6FE

576434-F5-8 MALT_05-1 30X1 06/01/2020 INTEREST ONLY PAYMENT 0 0 11,711 428 0 (428) 0 (428) 0 0 0 0 0 1,361 02/25/2035 5GI

59020U-BU-8 MLCC_04-B A1 06/25/2020 MBS PAYDOWN 2,073 2,073 2,073 2,073 0 0 0 0 0 2,073 0 0 0 15 05/25/2029 1FM

59020U-GF-6 MLCC_04-D A1 06/25/2020 MBS PAYDOWN 570 570 570 570 0 0 0 0 0 570 0 0 0 5 09/25/2029 1FM

59100H-AG-2 META SPECIAL AEROSPACE LLC 06/14/2020


21,875 21,875 21,766 21,826 0 49 0 49 0 21,875 0 0 0 719 11/16/2022 2PL

61915R-BC-9 MHL_05-AR1 IA2 06/25/2020 MBS PAYDOWN 7,966 6,650 6,511 7,424 0 541 0 541 0 7,966 0 0 0 54 11/25/2035 1FM

61945C-AG-8 MOSAIC CO 06/18/2020 DIRECT 677,030 640,000 638,746 639,410 0 158 0 158 0 639,568 0 37,462 37,462 15,624 11/15/2027 2FE

637432-MU-6 NATIONAL RURAL UTILITIES COOP FINA 06/15/2020 MATURITY 435,000 435,000 434,382 434,957 0 43 0 43 0 435,000 0 0 0 5,111 06/15/2020 1FE

651290-AP-3 NEWFIELD EXPLORATION COMPANY 05/28/2020

BANK OF AMERICA

SECURITIES LLC 3,194,150 3,310,000 3,219,575 3,270,304 0 7,428 0 7,428 0 3,277,733 0 (83,583) (83,583) 159,133 01/30/2022 2FE

654106-AM-5 NIKE INC 04/07/2020 GOLDMAN SACHS & CO 273,050 250,000 249,158 0 0 1 0 1 0 249,158 0 23,892 23,892 281 03/27/2050 1FE

65819#-AA-8 NORTH CAROLINA ELECTRIC MEMBERSHIP 06/15/2020


68,333 68,333 68,333 68,333 0 0 0 0 0 68,333 0 0 0 1,052 12/15/2046 1

66989H-AD-0 NOVARTIS CAPITAL CORP 04/24/2020 MATURITY 1,305,000 1,305,000 1,295,043 1,304,623 0 377 0 377 0 1,305,000 0 0 0 28,710 04/24/2020 1FE

67098A-AC-3 OBX_19-INV1 06/01/2020 MBS PAYDOWN 443,717 443,717 450,557 444,321 0 (604) 0 (604) 0 443,717 0 0 0 7,950 11/25/2048 1FE

67773#-AE-0 OHIO VALLEY ELECTRIC CORP PRVT 06/15/2020


66,408 66,408 66,408 66,408 0 0 0 0 0 66,408 0 0 0 1,959 12/15/2025 3

67773#-AF-7 OHIO VALLEY ELECTRIC CORP PRVT 06/15/2020


16,724 16,724 16,724 16,724 0 0 0 0 0 16,724 0 0 0 493 12/15/2025 3FE

67773#-AG-5 OHIO VALLEY ELECTRIC CORP PRVT 06/15/2020


16,857 16,857 16,857 16,857 0 0 0 0 0 16,857 0 0 0 497 12/15/2025 3

68383N-CE-1 OPMAC_05-4 1A2 06/25/2020 MBS PAYDOWN 4,674 4,674 4,674 4,674 0 0 0 0 0 4,674 0 0 0 39 11/25/2035 1FM

68383N-CZ-4 OPMAC_05-5 06/25/2020 MBS PAYDOWN 95,376 95,376 92,634 95,321 0 55 0 55 0 95,376 0 0 0 750 12/25/2035 1FM

68402B-AC-0 OOMLT_07-3 2A2 06/25/2020 MBS PAYDOWN 157,869 157,869 157,869 156,429 0 1,440 0 1,440 0 157,869 0 0 0 899 04/25/2037 1FM

69359B-AB-3 PHI INC 06/30/2020


14,294 14,294 13,995 14,285 0 10 0 10 0 14,294 0 0 0 412 08/30/2024 3PL

693684-AA-0 PSMC_20-1 06/01/2020 MBS PAYDOWN 368,485 368,485 376,718 0 0 (563) 0 (563) 0 368,485 0 0 0 4,419 01/25/2050 1FE

718546-AL-8 PHILLIPS 66 06/17/2020


INC 2,444,969 1,950,000 1,926,488 1,928,498 0 209 0 209 0 1,928,707 0 516,261 516,261 56,509 11/15/2044 2FE

718549-AC-2 PHILLIPS 66 PARTNERS LP 04/15/2020 TRANSFER OUT 905,247 1,000,000 999,530 999,559 0 3 0 3 0 999,562 0 (94,315) (94,315) 31,200 02/15/2045 2FE

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



720186-AM-7 PIEDMONT NATURAL GAS COMPANY INC 05/21/2020

MIZUHO SECURITIES USA

INC 105,209 100,000 99,287 0 0 0 0 0 0 99,287 0 5,922 5,922 47 06/01/2050

74166Y-AA-8 PROSE_19-1A 04/30/2020 MBS PAYDOWN 3,743 3,743 3,743 3,743 0 0 0 0 0 3,743 0 0 0 84 07/30/2049 2FE

74432Q-BM-6 PRUDENTIAL FINANCI MTN 06/21/2020 MATURITY 1,405,000 1,405,000 1,396,430 1,404,484 0 516 0 516 0 1,405,000 0 0 0 37,759 06/21/2020 1FE

744448-CM-1 PUBLIC SERVICE CO OF COLORADO 04/15/2020


INC. 1,276,321 1,200,000 1,187,520 1,189,329 0 215 0 215 0 1,189,544 0 86,777 86,777 14,200 06/15/2046 1FE

744533-BJ-8 PUBLIC SERVICE CO OF OKLAHOMA 04/15/2020

BANK OF AMERICA

SECURITIES LLC 327,457 250,000 321,385 315,364 0 (696) 0 (696) 0 314,667 0 12,789 12,789 6,901 11/15/2037 1FE

74733V-AA-8 QEP RESOURCES INC 04/24/2020 BARCLAYS CAPITAL INC 150,938 345,000 234,600 311,075 0 8,864 0 8,864 0 319,939 0 (169,002) (169,002) 15,615 03/01/2021 4FE

74733V-AB-6 QEP RESOURCES INC 05/05/2020

BANK OF AMERICA

SECURITIES LLC 223,100 485,000 315,250 396,281 0 9,570 0 9,570 0 405,851 0 (182,751) (182,751) 15,641 10/01/2022 4FE

74733V-AD-2 QEP RESOURCES INC 05/05/2020

BANK OF AMERICA

SECURITIES LLC 29,438 75,000 75,000 75,000 0 0 0 0 0 75,000 0 (45,563) (45,563) 2,883 03/01/2026 4FE

74922R-AH-3 RALI_06-QS18 2A1 06/25/2020 MBS PAYDOWN 11,055 23,089 16,003 11,061 0 (6) 0 (6) 0 11,055 0 0 0 170 12/25/2036 1FM

751151-AV-3 RALI_06-QS12 2A16 06/25/2020 INTEREST ONLY PAYMENT 0 0 6,678 0 0 0 0 0 0 0 0 0 0 6,109 09/25/2036 5FE

751155-AN-2 RALI_06-QS10 A13 06/25/2020 MBS PAYDOWN 6,359 12,568 9,637 6,355 0 4 0 4 0 6,359 0 0 0 89 08/25/2036 1FM

75116C-AA-4 RALI_07-QS6 A1 06/25/2020 MBS PAYDOWN 8,393 17,102 12,700 8,400 0 (8) 0 (8) 0 8,393 0 0 0 116 04/25/2037 1FM

75974@-AA-0 RENEWABLE POWER GENERATION LLC 04/14/2020 PRIOR YEAR INCOME 0 0 0 0 0 0 0 0 0 0 0 0 0 1,243 03/31/2035 2PL

759950-GB-8 RAMC_05-4 M1 06/01/2020 MBS PAYDOWN 0 52,187 0 0 0 0 0 0 0 0 0 0 0 714 02/25/2036 1FM

760985-FC-0 RAMP_01-RS3 AII 06/25/2020 MBS PAYDOWN 4,084 4,084 4,084 4,081 0 3 0 3 0 4,084 0 0 0 31 10/25/2031 1FM

76110H-CB-3 RALI_03-QS9 A2 06/25/2020 MBS PAYDOWN 0 157 147 (161) 0 161 0 161 0 0 0 0 0 0 12/31/2049 1FM

761118-CX-4 RALI_05-QS10 3A1 06/25/2020 MBS PAYDOWN 16,334 20,438 15,510 16,234 0 100 0 100 0 16,334 0 0 0 147 08/25/2035 1FM

761118-QM-3 RALI_05-QO5 A1 06/01/2020 MBS PAYDOWN 12,650 12,531 12,573 12,452 0 198 0 198 0 12,650 0 0 0 164 01/25/2046 1FM

761118-VY-1 RALI_06-QO2 A1 06/25/2020 MBS PAYDOWN 10,099 10,099 9,735 9,969 0 130 0 130 0 10,099 0 0 0 77 02/25/2046 1FM

781172-AB-7 RUBY PIPELINE LLC 04/01/2020


142,652 142,652 151,373 142,652 0 0 0 0 0 142,652 0 0 0 4,636 04/01/2022 3FE

78408L-AC-1 SC JOHNSON & SON INC 04/15/2020 TRANSFER OUT 277,186 253,000 273,119 271,121 0 (131) 0 (131) 0 270,990 0 6,196 6,196 5,961 09/30/2044 1FE

78423X-AB-8 SH130 CONCESSION CO LLC 06/27/2020


26,986 26,986 26,986 26,986 0 0 0 0 0 26,986 0 0 0 455 06/30/2022 2FE

78433@-AA-9 EDUCATION SOLUTIONS SERVICES 06/30/2020


1,250 1,250 1,231 1,249 0 1 0 1 0 1,250 0 0 0 38 10/15/2024 3PL

78445X-AA-4 SLMA_10-1 06/25/2020 MBS PAYDOWN 485 485 485 485 0 (1) 0 (1) 0 485 0 0 0 3 03/25/2025 4FE

79548K-XS-2 SBM_79-7H2 B3 05/01/2020 MBS PAYDOWN 0 20,550 13,973 (297) 232 66 0 298 0 0 0 0 0 209 07/25/2024 1FM

805564-NR-8 SAST_03-2 M1 06/25/2020 MBS PAYDOWN 39,641 39,641 39,641 39,641 0 0 0 0 0 39,641 0 0 0 395 06/25/2033 1FM

80557B-AC-8 SAST_07-3 2A2 06/25/2020 MBS PAYDOWN 906,539 906,539 890,108 887,989 0 18,550 0 18,550 0 906,539 0 0 0 6,379 09/25/2047 1FM

81744F-DV-6 SEMT_04-9 A1 06/20/2020 MBS PAYDOWN 7,287 7,287 7,287 7,287 0 0 0 0 0 7,287 0 0 0 62 10/20/2034 1FM

81748B-AB-8 SEMT_19-3 06/01/2020 MBS PAYDOWN 233,756 233,756 237,884 234,035 0 (278) 0 (278) 0 233,756 0 0 0 3,350 09/25/2049 1FM

81748K-AA-0 SEMT_20-2 06/01/2020 MBS PAYDOWN 71,451 71,451 73,215 0 0 (150) 0 (150) 0 71,451 0 0 0 674 03/25/2050 1FE

824348-AQ-9 SHERWIN-WILLIAMS CO 04/15/2020 TRANSFER OUT 556,890 525,000 537,705 536,289 0 (92) 0 (92) 0 536,196 0 20,694 20,694 7,000 12/15/2042 2FE

83416W-AA-1 SOLAR STAR FUNDING LLC 06/30/2020


60,197 60,197 62,116 60,250 0 (54) 0 (54) 0 60,197 0 0 0 1,618 06/30/2035 2FE

83611M-BV-9 SVHE_04-WMC1 06/25/2020 VARIOUS 84,302 84,302 81,773 84,254 0 48 0 48 0 84,302 0 0 0 712 01/25/2035 1FM

83612C-AD-1 SVHE_06-OPT5 2A3 06/25/2020 MBS PAYDOWN 202,821 202,821 202,821 195,003 0 7,818 0 7,818 0 202,821 0 0 0 1,231 07/25/2036 1FM

83612H-AC-2 SVHE_06-3 A3 06/25/2020 MBS PAYDOWN 250,304 250,304 250,304 252,655 0 (2,352) 0 (2,352) 0 250,304 0 0 0 399 11/25/2036 1FM

84055*-AC-2 SOUTH TEXAS ELECTRIC COOP INC 05/15/2020


55,000 55,000 55,000 55,000 0 0 0 0 0 55,000 0 0 0 908 11/15/2043 1

85234#-AB-1 STADIUM FUNDING TRUST 04/01/2020


80,302 80,302 80,302 80,302 0 0 0 0 0 80,302 0 0 0 2,010 04/01/2039 2PL

853496-AB-3 STANDARD INDUSTRIES INC 06/18/2020 CORPORATE ACTION 22,303 22,000 22,000 22,000 0 303 0 303 0 22,303 0 0 0 1,018 02/15/2023 3FE

858119-BD-1 STEEL DYNAMICS INC 04/15/2020

BANK OF AMERICA

SECURITIES LLC 1,225,034 1,200,000 1,245,000 1,218,236 0 (1,796) 0 (1,796) 0 1,216,441 0 8,593 8,593 35,567 10/01/2024 2FE

858271-A*-0 STEELRIVER TRANSMISSION CO LLC 06/30/2020


56,298 56,298 56,298 56,298 0 0 0 0 0 56,298 0 0 0 1,075 06/30/2047 2PL

86083@-AA-5 STIM STAR IV LLC 04/30/2020 VARIOUS 58,274 58,274 58,274 58,274 0 0 0 0 0 58,274 0 0 0 2,108 04/30/2023 2PL

86202*-AD-7 STONEHENGE CAPITAL FUND NORTH CARO 06/15/2020


120,941 120,941 120,941 120,941 0 0 0 0 0 120,941 0 0 0 8,551 10/15/2020 1

86358H-SS-9 SAMI_03-C1 IF1 06/25/2020 MBS PAYDOWN 1,673 1,673 1,670 1,675 0 (2) 0 (2) 0 1,673 0 0 0 12 07/25/2032 1FM

86359D-MZ-7 LXS_05-2 2A4 06/01/2020 MBS PAYDOWN 4,375 4,346 4,128 4,340 0 35 0 35 0 4,375 0 0 0 80 08/25/2035 1FM

E05.1

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



86359D-US-4 LXS_05-5N 3A1B 06/01/2020 MBS PAYDOWN 46,299 46,299 46,299 45,987 0 312 0 312 0 46,299 0 0 0 571 11/25/2035 1FM

87342R-AE-4 BELL_18-1A 05/25/2020 MBS PAYDOWN 2,500 2,500 2,500 2,500 0 0 0 0 0 2,500 0 0 0 62 11/25/2048 2FE

88031Q-AA-8 TENASKA VIRGINA PARTNERS 144A 06/30/2020


231,507 231,507 231,507 231,506 0 1 0 1 0 231,507 0 0 0 7,083 03/30/2024 2FE

88031R-AA-6 TENASKA ALABAMA II PARTNERS LP 144A 06/30/2020 VARIOUS 100,006 100,006 99,326 99,992 0 15 0 15 0 100,006 0 0 0 3,063 03/30/2023 2FE

88159D-AA-3 TES_17-1A 04/20/2020 MBS PAYDOWN 6,097 6,097 6,096 6,082 0 14 0 14 0 6,097 0 0 0 132 10/20/2047 1FE

89307#-AA-7 TRANS BAY CABLE LLC 06/30/2020


85,913 85,913 85,913 85,913 0 0 0 0 0 85,913 0 0 0 1,259 06/30/2047 1PL

90214G-AA-5 2014 ESA PROJECT COMPANY INC 06/30/2020 VARIOUS 41,523 41,523 41,523 41,523 0 0 0 0 0 41,523 0 0 0 630 03/30/2030 2PL

91136E-AJ-4 UNITED RENTALS (NORTH AMERICA) INC 06/30/2020 VARIOUS 7,500 7,500 7,500 7,500 0 0 0 0 0 7,500 0 0 0 130 10/04/2025 2FE

91834P-AE-5 VMC_19-FL3 06/15/2020 MBS PAYDOWN 41,683 41,683 41,683 41,683 0 0 0 0 0 41,683 0 0 0 587 09/15/2036 1FE

91834P-AG-0 VMC_19-FL3 06/15/2020 MBS PAYDOWN 20,842 20,842 20,842 20,842 0 0 0 0 0 20,842 0 0 0 336 09/15/2036 1FE

91913Y-AE-0 VALERO ENERGY CORP 04/15/2020 VARIOUS 313,196 250,000 304,455 292,131 0 (694) 0 (694) 0 291,437 0 21,759 21,759 9,375 04/15/2032 2FE

92348N-AA-5 VZOT_17-1A 05/20/2020 MBS PAYDOWN 122,245 122,245 121,257 122,261 0 (15) 0 (15) 0 122,245 0 0 0 918 09/20/2021 1FE

92535V-AA-0 VBTOW_16-2A 06/15/2020 MBS PAYDOWN 5,274 5,274 5,274 5,263 0 11 0 11 0 5,274 0 0 0 114 10/15/2046 2FE

928563-AC-9 VMWARE INC 04/15/2020


INC. 971,875 1,000,000 996,640 997,320 0 88 0 88 0 997,407 0 (25,532) (25,532) 25,350 08/21/2027 2FE

92922F-2K-3 WAMU_05-AR11 A1B3 06/25/2020 MBS PAYDOWN 4,474 4,474 4,474 4,474 0 0 0 0 0 4,474 0 0 0 39 08/25/2045 1FM

92922F-2N-7 WAMU_05-A11 06/25/2020 MBS PAYDOWN 81,040 81,040 77,595 80,894 0 145 0 145 0 81,040 0 0 0 781 08/25/2045 1FM

92922F-4S-4 WAMU_05-AR13 A1B3 06/25/2020 MBS PAYDOWN 28,791 28,791 28,791 28,679 0 112 0 112 0 28,791 0 0 0 225 10/25/2045 1FM

92922F-7T-9 WAMU_05-AR17 A1B3 06/25/2020 MBS PAYDOWN 15,657 15,657 15,657 15,595 0 62 0 62 0 15,657 0 0 0 133 12/25/2045 1FM

92922F-GZ-5 WAMU_03-S11 3A4 06/25/2020 MBS PAYDOWN 19,188 19,188 16,909 17,522 0 1,666 0 1,666 0 19,188 0 0 0 1,551 11/25/2033 1FM

92922F-S2-5 WAMU_05-AR8 21B3 06/25/2020 MBS PAYDOWN 2,869 2,869 2,869 2,869 0 0 0 0 0 2,869 0 0 0 24 07/25/2045 1FM

92922F-U5-5 WAMU_05-AR9 A1B 06/25/2020 MBS PAYDOWN 5,843 5,843 5,843 5,843 0 0 0 0 0 5,843 0 0 0 51 07/25/2045 1FM

92922F-WU-8 WAMU_04-AR10 A1B 06/25/2020 MBS PAYDOWN 5,914 5,914 5,914 5,914 0 0 0 0 0 5,914 0 0 0 50 07/25/2044 1FM

92922F-XM-5 WAMU_04-CB3 2A 06/01/2020 MBS PAYDOWN 7,647 7,647 7,962 7,663 0 (15) 0 (15) 0 7,647 0 0 0 215 10/25/2034 1FM

92925C-BH-4 WAMU_05-A19 06/25/2020 MBS PAYDOWN 50,595 50,595 48,634 50,509 0 85 0 85 0 50,595 0 0 0 502 12/25/2045 1FM

92925C-BJ-0 WAMU_05-AR19 06/25/2020 MBS PAYDOWN 69,817 69,817 66,762 69,671 0 146 0 146 0 69,817 0 0 0 631 12/25/2045 1FM

92925D-AA-8 WAMU_06-AR17 1A 06/01/2020 MBS PAYDOWN 10,898 11,114 11,123 10,836 0 62 0 62 0 10,898 0 0 0 131 12/25/2046 1FM

92926S-AC-0 WMHE_07-HE2 2A2 06/25/2020 MBS PAYDOWN 34,166 34,166 34,166 33,888 0 278 0 278 0 34,166 0 0 0 312 04/25/2037 1FM

92966*-AG-4 WABASH VALLEY POWER ASSOCIATION IN PRVT 04/30/2020


100,383 100,383 100,383 100,383 0 0 0 0 0 100,383 0 0 0 3,082 01/31/2028 1

933638-AA-6 WAMU_06-AR19 1A 06/01/2020 MBS PAYDOWN 15,166 15,256 15,256 15,039 0 127 0 127 0 15,166 0 0 0 174 01/25/2047 1FM

93363C-AD-1 WAMU_06-AR7 3A1B 06/01/2020 MBS PAYDOWN 5,197 5,862 5,843 5,056 0 142 0 142 0 5,197 0 0 0 56 07/25/2046 1FM

93363Q-AA-6 WAMU_06-AR15 1A 06/01/2020 MBS PAYDOWN 14,356 14,356 14,356 14,229 0 128 0 128 0 14,356 0 0 0 193 11/25/2046 1FM

93364B-AA-8 WAMU_07-OA5 1A 06/01/2020 MBS PAYDOWN 22,487 22,487 22,487 22,316 0 171 0 171 0 22,487 0 0 0 240 06/25/2047 1FM

93934F-AA-0 WMALT_05-5 CB1 06/25/2020 MBS PAYDOWN 3,668 3,748 3,748 3,640 0 28 0 28 0 3,668 0 0 0 26 07/25/2035 1FM

93934F-BD-3 WMALT_05-7 1A2 06/25/2020 MBS PAYDOWN 15,007 16,530 13,982 14,918 0 89 0 89 0 15,007 0 0 0 120 09/25/2035 1FM

93934F-CF-7 WMALT_05-8 1A2 06/01/2020 MBS PAYDOWN 29,758 30,664 27,483 29,663 0 96 0 96 0 29,758 0 0 0 685 10/25/2035 1FM

93934F-GJ-5 WMALT_05-10 3CB1 06/01/2020 MBS PAYDOWN 5,176 5,846 4,030 5,125 0 52 0 52 0 5,176 0 0 0 147 11/25/2035 1FM

93934F-GN-6 WMALT_05-10 4CB3 06/25/2020 MBS PAYDOWN 25,796 28,976 19,221 25,494 0 302 0 302 0 25,796 0 0 0 230 12/25/2035 1FM

93934F-HD-7 WMALT_05-AR1 A1B 06/25/2020 MBS PAYDOWN 16,561 19,590 2,617 15,171 0 1,390 0 1,390 0 16,561 0 0 0 135 12/25/2035 1FM

93934F-KK-7 WMALT_06-1 2CB1 06/01/2020 MBS PAYDOWN 6,944 10,923 9,475 6,896 0 47 0 47 0 6,944 0 0 0 349 02/25/2036 1FM

93934F-KW-1 WMALT_06-1 3A9 06/25/2020 MBS PAYDOWN 3,773 5,286 5,022 3,666 0 107 0 107 0 3,773 0 0 0 313 02/25/2036 1FM

93934F-PN-6 WAMU_06-AR4 1A1A 06/01/2020 MBS PAYDOWN 19,779 19,779 19,788 19,763 0 16 0 16 0 19,779 0 0 0 215 05/25/2046 1FM

93934N-AA-3 WMALT_06-5 1A1 06/25/2020 MBS PAYDOWN 9,817 12,080 6,938 9,733 0 84 0 84 0 9,817 0 0 0 96 07/25/2036 1FM

94847A-AB-3 WEDGEWOOD VILLAGE PHARMACY LLC 06/27/2020


7,250 7,250 7,176 7,250 0 0 0 0 0 7,250 0 0 0 251 07/17/2023 4PL

948741-AK-9 WEINGARTEN REALTY INVESTORS 04/15/2020


INC. 3,448,722 3,500,000 3,485,405 3,493,730 0 413 0 413 0 3,494,143 0 (45,422) (45,422) 116,813 01/15/2024 2FE

9497EV-AB-1 WFHET_07-1 A2 06/25/2020 MBS PAYDOWN 514,979 514,979 514,979 514,944 0 34 0 34 0 514,979 0 0 0 817 03/25/2037 1FM

949831-AA-9 WFMBS_19-3 06/01/2020 MBS PAYDOWN 288,521 288,521 292,579 288,891 0 (370) 0 (370) 0 288,521 0 0 0 4,170 07/25/2049 1FM

94984T-AP-4 WFALT_07-PA1 AWIO 06/01/2020 INTEREST ONLY PAYMENT 0 0 12,970 662 0 (662) 0 (662) 0 0 0 0 0 1,727 03/25/2037 5FE

94985J-CD-0 WFMBS_07-7 APO 06/27/2020 VARIOUS 31,516 32,195 19,077 30,008 0 1,508 0 1,508 0 31,516 0 0 0 0 06/25/2037 1FM

95000Y-BD-6 WFCM_17-C40 06/05/2020


LLC 252,844 300,000 297,377 297,465 0 31 0 31 0 297,497 0 (44,653) (44,653) 6,891 10/15/2050 1FM

95002K-AA-1 WFMBS_20-1 06/01/2020 MBS PAYDOWN 90,578 90,578 91,654 0 0 (69) 0 (69) 0 90,578 0 0 0 692 12/25/2049 1FE

97314@-AA-3 WIND ENERGY TRANSMISSION TEXAS LLC 06/30/2020 VARIOUS 65,537 65,537 65,776 65,539 0 (2) 0 (2) 0 65,537 0 0 0 1,203 12/18/2034 1

E05.1

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



976826-BH-9 WISCONSIN POWER AND LIGHT CO 06/15/2020 MATURITY 770,000 770,000 768,714 769,928 0 72 0 72 0 770,000 0 0 0 17,710 06/15/2020 1FE

98581*-AA-9 YELLOWSTONE ENERGY LTD 06/30/2020


43,283 43,283 43,283 43,283 0 0 0 0 0 43,283 0 0 0 0 12/31/2026 2

98956P-AH-5 ZIMMER HOLDINGS INC 04/15/2020

ROBERT W. BAIRD & CO.,

INC. 2,420,851 2,337,000 2,445,600 2,444,983 0 (671) 0 (671) 0 2,444,312 0 (23,462) (23,462) 69,331 08/15/2045 2FE

BIN0ZS-V1-9 ISLAND MEDICAL MANAGEMENT HOLDINGS - TL 04/06/2020 PRIOR YEAR INCOME 0 0 0 0 0 0 0 0 0 0 0 0 0 45 09/01/2022 3FE

C7236#-AA-2 PET SUPERMARKET INC - TL 04/01/2020


12,848 12,848 12,686 12,827 0 21 0 21 0 12,848 0 0 0 490 07/05/2022 4FE

67077M-AN-8 NUTRIEN LTD A 04/15/2020 TRANSFER OUT 1,013,340 1,000,000 991,100 992,638 0 101 0 101 0 992,739 0 20,602 20,602 24,063 03/15/2035 2FE

740212-AE-5 PRECISION DRILLING CORPORATION A 05/05/2020 RBC CAPITAL MARKETS 293,859 345,717 217,802 267,546 0 30,311 0 30,311 0 297,857 0 (3,998) (3,998) 9,226 12/15/2021 4FE

89352H-AM-1 TRANSCANADA PIPELINES LTD A 04/15/2020 VARIOUS 954,088 919,000 943,078 938,072 0 (288) 0 (288) 0 937,784 0 16,304 16,304 26,447 03/01/2034 2FE

00289L-AA-3 ABENGOA TRANSMISION SUR SA D 04/30/2020 VARIOUS 22,090 22,090 22,089 22,090 0 0 0 0 0 22,090 0 0 0 759 04/30/2043 2FE

00787C-AC-6 AEROPUERTO INTERNACIONAL DE TOCUME D 05/18/2020


9,725 9,725 9,453 9,720 0 5 0 5 0 9,725 0 0 0 292 11/18/2048 2FE

03512T-AA-9 ANGLOGOLD HOLDINGS PLC D 04/15/2020 MATURITY 250,000 250,000 250,460 250,020 0 (20) 0 (20) 0 250,000 0 0 0 6,719 04/15/2020 3FE

05330K-AA-3 AUTOPISTAS METROPOLITANAS DE PUERT D 06/30/2020


22,500 22,500 22,500 22,500 0 0 0 0 0 22,500 0 0 0 759 06/30/2035 2FE

05549V-AA-6 BDS_18-FL2 D 06/17/2020 MBS PAYDOWN 30,491 30,491 29,081 0 0 181 0 181 0 30,491 0 0 0 74 08/15/2035 1FE

09626U-AU-2 BLUEM_13-1A D 04/20/2020 MBS PAYDOWN 7,442 7,442 7,442 7,442 0 0 0 0 0 7,442 0 0 0 118 01/20/2029 1FE

09626Y-AN-0 BLUEM_13-2A D 04/22/2020 MBS PAYDOWN 9,916 9,916 9,916 9,916 0 0 0 0 0 9,916 0 0 0 154 10/22/2030 1FE

202712-BL-8 COMMONWEALTH BANK OF AUSTRALIA D 04/15/2020 GOLDMAN SACHS & CO 2,859,619 3,000,000 3,000,000 3,000,000 0 0 0 0 0 3,000,000 0 (140,381) (140,381) 66,438 09/12/2039 2FE

44962L-AA-5 IHS MARKIT LTD D 04/15/2020


INC. 839,852 800,000 808,125 803,062 0 (320) 0 (320) 0 802,743 0 37,110 37,110 18,222 11/01/2022 2FE

45605P-AM-0 BIND_16-1A C 04/15/2020 MBS PAYDOWN 154,927 154,927 154,927 154,927 0 0 0 0 0 154,927 0 0 0 4,053 04/15/2026 2FE

460599-AB-9 INTERNATIONAL GAME TECHNOLOGY D 06/23/2020 CORPORATE ACTION 218,400 208,000 210,080 208,596 0 (170) 0 (170) 0 208,426 0 9,974 9,974 11,122 02/15/2022 3FE

50247V-AC-3 LYB INTERNATIONAL FINANCE BV D 04/15/2020 TRANSFER OUT 635,219 600,000 650,802 645,931 0 (323) 0 (323) 0 645,608 0 (10,389) (10,389) 17,063 03/15/2044 2FE

62983P-AB-1 NAKILAT INC 144A D 06/29/2020 MBS PAYDOWN 18,134 18,134 17,970 18,126 0 7 0 7 0 18,134 0 0 0 1,149 12/31/2033 1FE

63859W-AF-6 NATIONWIDE BUILDING SOCIETY D 04/15/2020


INC. 5,119,013 5,000,000 4,995,550 4,996,046 0 68 0 68 0 4,996,114 0 122,899 122,899 101,406 10/18/2032 2FE

65504L-AG-2 NOBLE HOLDING INTERNATIONAL LTD D 05/08/2020 VARIOUS 100,000 5,000,000 3,437,500 3,498,524 0 6,170 3,254,694 (3,248,524) 0 250,000 0 (150,000) (150,000) 210,910 03/01/2041 5FE

81180W-AR-2 SEAGATE HDD CAYMAN D 04/15/2020 TRANSFER OUT 1,280,996 1,250,000 1,246,475 1,247,619 0 78 0 78 0 1,247,697 0 33,299 33,299 22,682 06/01/2027 2FE

87164K-AC-8 SYNGENTA FINANCE NV D 04/15/2020

HSBC SECURITIES (USA)

INC. 997,495 1,000,000 1,000,000 1,000,000 0 0 0 0 0 1,000,000 0 (2,505) (2,505) 24,615 04/24/2028 2FE

88432A-AW-0 WINDR_13-2A D 04/18/2020 MBS PAYDOWN 61,321 61,321 61,321 61,321 0 0 0 0 0 61,321 0 0 0 991 10/18/2030 1FE

90352J-AD-5 UBS GROUP FUNDING SWITZERLAND AG D 06/17/2020

MIZUHO SECURITIES USA

INC 4,007,472 4,000,000 4,000,000 4,000,000 0 0 0 0 0 4,000,000 0 7,472 7,472 60,945 08/15/2023 1FE

98420E-AD-7 XLIT LTD D 04/15/2020 VARIOUS 3,837,772 2,976,000 3,421,138 3,416,641 0 (2,759) 0 (2,759) 0 3,413,882 0 423,890 423,890 88,660 03/31/2045 2FE

BIN1AG-CD-5 ECUADOR MERCHANT VOUCHER RECEIV LT D 05/15/2020


164,706 164,706 164,706 164,706 0 0 0 0 0 164,706 0 0 0 5,667 05/15/2024 4FE

EF0492-75-3 RAS LAFFAN LIQUEFIED NATURAL GAS C D 04/24/2020 PRIOR YEAR INCOME 0 0 0 0 0 0 0 0 0 0 0 0 0 (41) 09/30/2020 1FE

EI3062-94-6 GRUPO BIMBO SAB DE CV D 06/30/2020 MATURITY 128,000 128,000 138,572 128,939 0 (939) 0 (939) 0 128,000 0 0 0 3,120 06/30/2020 2FE

G4588#-BC-4 INTERMEDIATE CAPITAL GROUP PLC D 05/11/2020 MATURITY 3,500,000 3,500,000 3,500,000 3,500,000 0 0 0 0 0 3,500,000 0 0 0 79,100 05/11/2020 2

G6390@-AA-4 NAMPAK LTD D 05/28/2020 MATURITY 4,500,000 4,500,000 4,500,000 4,500,000 0 0 0 0 0 4,500,000 0 0 0 103,725 05/28/2020 3

K7017#-AA-8 MERIDIAN SPIRIT APS D 06/30/2020 VARIOUS 68,857 68,857 68,857 68,855 0 3 0 3 0 68,858 0 (1) (1) 2,759 08/01/2030 2FE

P4001#-AA-8 EOLICA MESA LA PAZ S DE RL DE CV D 06/20/2020


380,352 380,352 380,352 380,352 0 0 0 0 0 380,352 0 0 0 11,373 12/20/2044 2PL

P7003*-AA-3 LA BUFA WIND SAPI DE CV D 06/30/2020


14,033 14,033 14,033 14,033 0 0 0 0 0 14,033 0 0 0 405 09/30/2037 2PL

T1890*-AA-8 BARILLA HOLDING SPA D 05/01/2020 PRIVATE DIRECT 5,376,620 4,750,000 4,750,000 4,750,000 0 0 0 0 0 4,750,000 0 626,620 626,620 97,308 10/28/2027 2

T8677*-AA-2 SOGEFI SPA D 05/01/2020 VARIOUS 4,320,228 4,400,000 4,400,000 4,400,000 0 0 0 0 0 4,400,000 0 (79,772) (79,772) 110,000 06/01/2023 3

Y8564*-AB-0 TEEKAY SHUTTLE TANKER FINANCE LLC D 06/30/2020


118,181 118,181 118,181 118,181 0 0 0 0 0 118,181 0 0 0 2,785 12/31/2023 2FE

3899999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) 159,142,172 158,774,998 160,491,400 140,235,829 404 147,768 4,830,779 (4,682,607) 0 155,046,276 0 4,095,888 4,095,888 3,763,653 XXX XXX037389-AK-9 AON CORP 04/15/2020 TRANSFER OUT 1,140,000 1,000,000 1,158,062 1,085,219 0 (2,818) 0 (2,818) 0 1,082,402 0 57,599 57,599 64,728 01/01/2027 2FE

4899999. Subtotal - Bonds - Hybrid Securities 1,140,000 1,000,000 1,158,062 1,085,219 0 (2,818) 0 (2,818) 0 1,082,402 0 57,599 57,599 64,728 XXX XXX92915P-AF-2 INGIM_14-1A D 04/18/2020 MBS PAYDOWN 4,000 4,000 4,000 4,000 0 0 0 0 0 4,000 0 0 0 52 04/18/2031 1FE

92915P-AH-8 INGIM_14-1A D 04/18/2020 MBS PAYDOWN 5,176 5,176 5,176 5,176 0 0 0 0 0 5,176 0 0 0 77 04/18/2031 1FE

E05.1

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



92915U-AA-2 VOYA CLO LTD VOYA_17-2A D 04/15/2020 MBS PAYDOWN 2,300 2,300 2,300 2,300 0 0 0 0 0 2,300 0 0 0 33 06/07/2030 1FE

92916M-AE-1 VOYA_17-1A D 04/17/2020 CORPORATE ACTION 32,667 32,667 32,667 32,667 0 0 0 0 0 32,667 0 0 0 477 04/17/2030 1FE

5599999. Subtotal - Bonds - Parent, Subsidiaries and Affiliates 44,143 44,143 44,143 44,143 0 0 0 0 0 44,143 0 0 0 639 XXX XXX

8399997. Total - Bonds - Part 4 196,863,235 196,014,472 200,243,057 176,493,113 404 78,811 4,830,779 (4,751,564) 0 192,341,307 0 4,521,921 4,521,921 4,966,919 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 196,863,235 196,014,472 200,243,057 176,493,113 404 78,811 4,830,779 (4,751,564) 0 192,341,307 0 4,521,921 4,521,921 4,966,919 XXX XXX003009-2#-3 ABERDEEN ASIA PACIFIC INC FND MRPS 05/01/2020 VARIOUS 56,000.000 1,445,864 25.00 1,400,000 1,400,000 0 0 0 0 0 1,400,000 0 45,864 45,864 34,329 1FE

09257@-12-5 BLACKSTONE/GSO STRATEGIC CREDIT FD 05/01/2020 DIRECT 700.000 725,180 1,000.00 700,000 700,000 0 0 0 0 0 700,000 0 25,180 25,180 12,916 1FE

09258*-12-6 BLACKSTONE/GSO LG-SHT CRED INC FD 05/01/2020 DIRECT 300.000 310,791 1,000.00 300,000 300,000 0 0 0 0 0 300,000 0 10,791 10,791 5,535 1FE

18469P-2#-6 CLEARBRIDGE ENERGY MLP OPPOR FUND 04/06/2020 VARIOUS 2.000 200,000 100,000.00 200,000 200,000 0 0 0 0 0 200,000 0 0 0 2,733 2FE

18469P-3#-5 CLEARBRIDGE ENERGY MLP OPPOR FUND 05/01/2020 TRANSFER OUT 2.000 205,685 100,000.00 200,000 200,000 0 0 0 0 0 200,000 0 5,685 5,685 3,367 2FE

18469P-4#-4 CLEARBRIDGE ENERGY MLP OPPOR FUND 05/01/2020 VARIOUS 4.000 404,560 100,000.00 400,000 400,000 0 0 0 0 0 400,000 0 4,560 4,560 6,923 2FE

18469Q-2#-4 CLEARBRIDGE ENERGY MLP TOT RET FND 04/06/2020 VARIOUS 1.000 100,000 100,000.00 100,000 100,000 0 0 0 0 0 100,000 0 0 0 1,367 2FE

18469Q-3#-3 CLEARBRIDGE ENERGY MLP TOT RET FND 05/01/2020 TRANSFER OUT 2.000 205,685 100,000.00 200,000 200,000 0 0 0 0 0 200,000 0 5,685 5,685 3,367 2FE

18469Q-4#-2 CLEARBRIDGE ENERGY MLP TOT RET FND 05/01/2020 TRANSFER OUT 2.000 202,280 100,000.00 200,000 200,000 0 0 0 0 0 200,000 0 2,280 2,280 3,462 2FE

29364@-10-7 ENTERGY UTILITY HOLDING CO 05/01/2020 PRIVATE DIRECT 10,700.000 12,639,396 1,000.00 10,700,000 10,700,000 0 0 0 0 0 10,700,000 0 1,939,396 1,939,396 303,167

29364@-12-3 ENTERGY UTILITY HOLDING CO 05/01/2020 PRIVATE DIRECT 12,000.000 13,221,912 1,000.00 12,000,000 12,000,000 0 0 0 0 0 12,000,000 0 1,221,912 1,221,912 306,000

48249T-20-5 KKR INCOME OPPORTUNITIES FUND 05/01/2020 PRIVATE DIRECT 116,000.000 3,287,440 25.00 2,900,000 2,900,000 0 0 0 0 0 2,900,000 0 387,440 387,440 60,463 1FE

486606-3*-5 KAYNE ANDERSON MIDSTREAM/ENERGY FU 04/24/2020 CALLED BONDS at 25.250 134,176.000 3,387,944 25.00 3,354,400 3,387,944 0 0 0 0 0 3,387,944 0 0 0 18,802 2FE

486606-5#-9 KAYNE ANDERSON KYN FUND 05/01/2020 VARIOUS 4,000.000 101,057 25.00 100,000 100,494 0 0 0 0 0 100,494 0 563 563 1,768 2FE

486606-6#-8 KAYNE ANDERSON KYN 05/01/2020 VARIOUS 28,000.000 706,532 25.00 700,000 703,453 0 0 0 0 0 703,453 0 3,079 3,079 11,803 2FE

486606-7#-7 KAYNE ANDERSON KYN FUND 05/01/2020 VARIOUS 72,000.000 1,809,135 25.00 1,800,000 1,808,880 0 0 0 0 0 1,808,880 0 255 255 26,577 2FE

48661E-4*-6 KAYNE ANDERSON KMF FUND 05/01/2020 VARIOUS 7,000.000 176,843 25.00 175,000 175,920 0 0 0 0 0 175,920 0 923 923 3,102 2FE

48661E-5*-5 KAYNE ANDERSON MIDSTREAM/ENERGY FU 05/01/2020 VARIOUS 28,000.000 708,461 25.00 700,000 703,678 0 0 0 0 0 703,678 0 4,783 4,783 10,371 2FE

89147L-2#-6 TORTOISE ENERGY INFRASTRUCTURE MRPS 05/01/2020 VARIOUS 250,000.000 2,528,768 10.00 2,500,000 2,500,000 0 0 0 0 0 2,500,000 0 28,768 28,768 35,453 2FE

89147L-3#-5 TORTOISE ENERGY INFRASTRUCTURE MRPS 05/01/2020 VARIOUS 190,000.000 1,926,736 10.00 1,900,000 1,900,000 0 0 0 0 0 1,900,000 0 26,736 26,736 28,929 2FE

8499999. Subtotal - Preferred Stocks - Industrial and Miscellaneous (Unaffiliated) Perpetual Preferred 44,294,269 XXX 40,529,400 40,580,369 0 0 0 0 0 40,580,369 0 3,713,900 3,713,900 880,434 XXX XXX

8999997. Total - Preferred Stocks - Part 4 44,294,269 XXX 40,529,400 40,580,369 0 0 0 0 0 40,580,369 0 3,713,900 3,713,900 880,434 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 44,294,269 XXX 40,529,400 40,580,369 0 0 0 0 0 40,580,369 0 3,713,900 3,713,900 880,434 XXX XXX31340@-10-2 FEDERAL HOME LOAN BANK- TOPEKA PRVT 06/26/2020 DIRECT 9,249.000 924,900 924,900 924,900 0 0 0 0 0 924,900 0 0 0 15,189

BIN0YZ-B7-3 COSO GEOTHERMAL POWER HOLDINGS 05/01/2020 VARIOUS 144.772 5,118,582 2,314,470 4,343,160 (2,028,690) 0 0 (2,028,690) 0 2,314,470 0 2,804,112 2,804,112 0

9199999. Subtotal - Common Stocks - Industrial and Miscellaneous (Unaffiliated) Other 6,043,482 XXX 3,239,370 5,268,060 (2,028,690) 0 0 (2,028,690) 0 3,239,370 0 2,804,112 2,804,112 15,189 XXX XXX

9799997. Total - Common Stocks - Part 4 6,043,482 XXX 3,239,370 5,268,060 (2,028,690) 0 0 (2,028,690) 0 3,239,370 0 2,804,112 2,804,112 15,189 XXX XXX

9799998. Total - Common Stocks - Part 5 XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX XXX

9799999. Total - Common Stocks 6,043,482 XXX 3,239,370 5,268,060 (2,028,690) 0 0 (2,028,690) 0 3,239,370 0 2,804,112 2,804,112 15,189 XXX XXX

9899999. Total - Preferred and Common Stocks 50,337,751 XXX 43,768,770 45,848,429 (2,028,690) 0 0 (2,028,690) 0 43,819,739 0 6,518,012 6,518,012 895,623 XXX XXX

9999999 - Totals 247,200,986 XXX 244,011,827 222,341,542 (2,028,286) 78,811 4,830,779 (6,780,254) 0 236,161,046 0 11,039,933 11,039,933 5,862,542 XXX XXX

E05.1

4


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 Un-discounted Premium

(Received) Paid

Current Year Initial

Cost ofUn-

discounted 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)

0079999999. Subtotal - Purchased Options - Hedging Effective Excluding Variable Annuity Guarantees Under SSAP No.108 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0149999999. Subtotal - Purchased Options - Hedging Effective Variable Annuity Guarantees Under SSAP No.108 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXXOTC OPTION CALL

BOUGHT, JUL20 HSI C @

24503.94

Indexed Universal Life

Products Exhibit 5 Equity/Index

Credit Suisse

International E58DKGMJYYYJLN8C3868 07/27/2015 07/28/2020 1,000 740,000

JUL20 HSI C @

24503.94 162,270 0 0 265,023 265,023 (44,971) 0 (16,204) 0 0 0001

OTC OPTION CALL


25974.18



Credit Suisse

International E58DKGMJYYYJLN8C3868 07/27/2015 07/28/2020 1,000 6,450,000

JUL20 HSI C @

25974.18 1,228,080 0 0 1,926,686 1,926,686 (419,924) 0 (122,678) 0 0 0001

OTC OPTION CALL

BOUGHT, AUG20 HSI C @

21612.39



JPMORGAN CHASE

BANK, N.A. 7H6GLXDRUGQFU57RNE97 08/27/2015 08/28/2020 1,000 1,060,000

AUG20 HSI C @

21612.39 246,132 0 0 476,195 476,195 (68,492) 0 (24,581) 0 0 0001

OTC OPTION CALL


22909.13



JPMORGAN CHASE

BANK, N.A. 7H6GLXDRUGQFU57RNE97 08/27/2015 08/28/2020 1,000 2,945,000

AUG20 HSI C @

22909.13 591,945 0 0 1,150,066 1,150,066 (200,197) 0 (59,117) 0 0 0001

OTC OPTION CALL

BOUGHT, SEP20 HSI C @

20556.6


Products Exhibit 5 Equity/Index Citibank, N.A. 57ODZWZ7FF32TWEFA76 09/25/2015 09/28/2020 1,000 853,000

SEP20 HSI C @

20556.6 192,949 0 0 452,083 452,083 (57,909) 0 (19,244) 0 0 0001

OTC OPTION CALL


21790


Products Exhibit 5 Equity/Index Citibank, N.A. 57ODZWZ7FF32TWEFA76 09/25/2015 09/28/2020 1,000 5,410,000

SEP20 HSI C @

21790 1,048,458 0 0 2,551,614 2,551,614 (382,925) 0 (104,570) 0 0 0001

OTC OPTION CALL

BOUGHT, OCT20 HSI C @

100



Credit Suisse


OCT20 HSI C @

100 287,401 0 0 487,612 487,612 (69,706) 0 (28,690) 0 0 0001

OTC OPTION CALL


22956.57



Credit Suisse


OCT20 HSI C @

22956.57 625,296 0 0 1,051,694 1,051,694 (180,637) 0 (62,421) 0 0 0001

OTC OPTION CALL

BOUGHT, NOV20 HSI C @

22381.35


Products Exhibit 5 Equity/Index NATIXIS SA KX1WK48MPD4Y2NCUIZ63 11/30/2015 11/30/2020 1,000 1,194,000

NOV20 HSI C @

22381.35 270,680 0 0 460,847 460,847 (64,814) 0 (27,031) 0 0 0001

OTC OPTION CALL


22381.35



NOV20 HSI C @

22381.35 608,168 0 0 1,024,283 1,024,283 (171,220) 0 (60,734) 0 0 0001

OTC OPTION CALL

BOUGHT, DEC20 HSI C @

21999.62



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 12/28/2015 12/28/2020 1,000 1,089,000

DEC20 HSI C @

21999.62 242,847 0 0 441,434 441,434 (61,726) 0 (24,248) 0 0 0001

OTC OPTION CALL


23319.6



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 12/28/2015 12/28/2020 1,000 3,050,000

DEC20 HSI C @

23319.6 550,525 0 0 1,069,795 1,069,795 (178,769) 0 (54,970) 0 0 0001

OTC OPTION CALL


23504.8



Credit Suisse


JUL21 HSI C @

23504.8 663,345 0 0 1,314,186 1,314,186 (202,949) 0 (66,188) 0 0 0001

OTC OPTION CALL


22174.34



Credit Suisse


JUL21 HSI C @

22174.34 276,645 0 0 537,051 537,051 (73,140) 0 (27,603) 0 0 0001

OTC OPTION CALL


22821.34



AUG21 HSI C @

22821.34 609,725 0 0 1,176,753 1,176,753 (166,539) 0 (60,733) 0 0 0001

OTC OPTION CALL


22821.34



AUG21 HSI C @

22821.34 253,440 0 0 479,722 479,722 (59,743) 0 (25,245) 0 0 0001

OTC OPTION CALL


25036.83



Wells Fargo Bank,

N. A. KB1H1DSPRFMYMCUFXT09 09/27/2016 09/28/2021 1,000 7,000,000

SEP21 HSI C @

25036.83 1,157,800 0 0 2,291,455 2,291,455 (289,483) 0 (115,508) 0 0 0001

OTC OPTION CALL


23619.65



Wells Fargo Bank,


SEP21 HSI C @

23619.65 281,520 0 0 542,593 542,593 (61,050) 0 (28,086) 0 0 0001

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



(Received) Paid


Cost ofUn-

discounted 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)OTC OPTION CALL


24332.1



Bank of America,

N.A. B4TYDEB6GKMZO031MB27 10/27/2016 10/28/2021 1,000 5,750,000

OCT21 HSI C @

24332.1 963,125 0 0 1,992,630 1,992,630 (266,801) 0 (96,081) 0 0 0001

OTC OPTION CALL


22954.81



Bank of America,


OCT21 HSI C @

22954.81 316,346 0 0 635,940 635,940 (75,758) 0 (31,559) 0 0 0001

OTC OPTION CALL


22830.57



Bank of America,


NOV21 HSI C @

22830.57 875,165 0 0 1,616,203 1,616,203 (228,451) 0 (87,158) 0 0 0001

OTC OPTION CALL


22830.57



Bank of America,


NOV21 HSI C @

22830.57 260,598 0 0 474,074 474,074 (59,605) 0 (25,953) 0 0 0001

OTC OPTION CALL


23060.02



Credit Suisse


DEC21 HSI C @

23060.02 1,165,313 0 0 1,857,152 1,857,152 (322,617) 0 (116,239) 0 0 0001

OTC OPTION CALL


21754.74



Credit Suisse


DEC21 HSI C @

21754.74 599,472 0 0 953,900 953,900 (145,260) 0 (59,797) 0 0 0001

OTC OPTION CALL

BOUGHT, JAN21 HSI C @

19195.83



JAN21 HSI C @

19195.83 607,170 0 0 1,534,151 1,534,151 (195,890) 0 (60,584) 0 0 0001

OTC OPTION CALL


20347.58



JAN21 HSI C @

20347.58 494,017 0 0 1,298,910 1,298,910 (189,575) 0 (49,294) 0 0 0001

OTC OPTION CALL

BOUGHT, MAR21 HSI C @

20258.65



MAR21 HSI C @

20258.65 537,595 0 0 1,298,939 1,298,939 (194,356) 0 (53,577) 0 0 0001

OTC OPTION CALL


19111.93



MAR21 HSI C @

19111.93 291,241 0 0 684,308 684,308 (89,683) 0 (29,025) 0 0 0001

OTC OPTION CALL


21588.28



Bank of America,


MAR21 HSI C @

21588.28 684,547 0 0 1,575,776 1,575,776 (255,478) 0 (68,178) 0 0 0001

OTC OPTION CALL


20366.30



Bank of America,


MAR21 HSI C @

20366.30 382,788 0 0 851,915 851,915 (120,321) 0 (38,124) 0 0 0001

OTC OPTION CALL

BOUGHT, APR21 HSI C @

22671.31



Bank of America,


APR21 HSI C @

22671.31 1,032,129 0 0 2,126,597 2,126,597 (333,415) 0 (103,010) 0 0 0001

OTC OPTION CALL


21388.03



Bank of America,


APR21 HSI C @

21388.03 316,950 0 0 637,958 637,958 (87,326) 0 (31,633) 0 0 0001

OTC OPTION CALL

BOUGHT, MAY21 HSI C @

22064



Bank of America,


MAY21 HSI C @

22064 1,828,124 0 0 3,987,368 3,987,368 (645,124) 0 (182,437) 0 0 0001

OTC OPTION CALL


20815.09



Bank of America,


MAY21 HSI C @

20815.09 318,841 0 0 675,556 675,556 (95,546) 0 (31,819) 0 0 0001

OTC OPTION CALL

BOUGHT, JUN21 HSI C @

21382.81



JUN21 HSI C @

21382.81 667,569 0 0 1,601,496 1,601,496 (242,397) 0 (66,614) 0 0 0001

OTC OPTION CALL


20172.46



JUN21 HSI C @

20172.46 277,440 0 0 641,732 641,732 (85,564) 0 (27,685) 0 0 0001

OTC OPTION CALL


23360.78



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 01/27/2017 01/28/2022 1,000 4,425,000

JAN22 HSI C @

23360.78 827,033 0 0 1,243,688 1,243,688 (185,749) 0 (82,492) 0 0 0001

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



(Received) Paid


Cost ofUn-

discounted 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)OTC OPTION CALL


23360.78



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 01/27/2017 01/28/2022 1,000 1,730,000

JAN22 HSI C @

23360.78 377,832 0 0 567,227 567,227 (74,566) 0 (37,687) 0 0 0001

OTC OPTION CALL

BOUGHT, FEB22 HSI C @

25165.17



Goldman Sachs

International W22LROWP2IHZNBB6K528 02/27/2017 02/28/2022 1,000 3,680,000

FEB22 HSI C @

25165.17 657,616 0 0 918,481 918,481 (148,738) 0 (65,590) 0 0 0001

OTC OPTION CALL


23740.73



Goldman Sachs

International W22LROWP2IHZNBB6K528 02/27/2017 02/28/2022 1,000 880,000

FEB22 HSI C @

23740.73 184,096 0 0 259,361 259,361 (36,949) 0 (18,362) 0 0 0001

OTC OPTION CALL


25806.62



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 03/27/2017 03/28/2022 1,000 4,090,000

MAR22 HSI C @

25806.62 742,744 0 0 1,006,562 1,006,562 (151,220) 0 (74,078) 0 0 0001

OTC OPTION CALL


24345.87



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 03/27/2017 03/28/2022 1,000 1,745,000

MAR22 HSI C @

24345.87 370,987 0 0 506,970 506,970 (66,988) 0 (37,001) 0 0 0001

OTC OPTION CALL


26092.04



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 04/27/2017 04/28/2022 1,000 6,575,000

APR22 HSI C @

26092.04 1,134,188 0 0 1,553,378 1,553,378 (244,675) 0 (113,115) 0 0 0001

OTC OPTION CALL


24615.13



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 04/27/2017 04/28/2022 1,000 2,305,000

APR22 HSI C @

24615.13 466,993 0 0 645,093 645,093 (89,269) 0 (46,574) 0 0 0001

OTC OPTION CALL


27200.29



MAY22 HSI C @

27200.29 2,027,738 0 0 2,608,640 2,608,640 (364,844) 0 (201,780) 0 0 0001

OTC OPTION CALL


25660.65



MAY22 HSI C @

25660.65 333,960 0 0 435,922 435,922 (54,042) 0 (33,232) 0 0 0001

OTC OPTION CALL


27224.51



Goldman Sachs


JUN22 HSI C @

27224.51 768,066 0 0 986,250 986,250 (138,860) 0 (76,595) 0 0 0001

OTC OPTION CALL


25683.5



Goldman Sachs


JUN22 HSI C @

25683.5 305,040 0 0 398,418 398,418 (49,561) 0 (30,420) 0 0 0001

OTC OPTION CALL


106



JUL22 HSI C @

106 1,038,276 0 0 1,391,026 1,391,026 (184,031) 0 (103,539) 0 0 0001

OTC OPTION CALL


100



JUL22 HSI C @

100 277,096 0 0 372,851 372,851 (43,908) 0 (27,632) 0 0 0001

OTC OPTION CALL


106



AUG22 HSI C @

106 1,006,213 0 0 1,379,398 1,379,398 (158,146) 0 (100,174) 0 0 0001

OTC OPTION CALL


100



AUG22 HSI C @

100 239,241 0 0 328,802 328,802 (33,964) 0 (23,818) 0 0 0001

OTC OPTION CALL


106



Goldman Sachs


SEP22 HSI C @

106 842,688 0 0 1,021,701 1,021,701 (129,002) 0 (84,029) 0 0 0001

OTC OPTION CALL


100



Goldman Sachs


SEP22 HSI C @

100 327,742 0 0 403,808 403,808 (45,204) 0 (32,681) 0 0 0001

OTC OPTION CALL


106



OCT22 HSI C @

106 1,151,040 0 0 1,223,759 1,223,759 (146,808) 0 (114,774) 0 0 0001

OTC OPTION CALL


100



OCT22 HSI C @

100 258,888 0 0 283,313 283,313 (29,848) 0 (25,814) 0 0 0001

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



(Received) Paid


Cost ofUn-

discounted 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)OTC OPTION CALL


106



NOV22 HSI C @

106 725,120 0 0 714,741 714,741 (75,552) 0 (72,302) 0 0 0001

OTC OPTION CALL


100



NOV22 HSI C @

100 287,268 0 0 294,267 294,267 (27,645) 0 (28,644) 0 0 0001

OTC OPTION CALL


106



Goldman Sachs


DEC22 HSI C @

106 807,378 0 0 716,768 716,768 (76,014) 0 (80,502) 0 0 0001

OTC OPTION CALL


100



Goldman Sachs


DEC22 HSI C @

100 655,490 0 0 609,382 609,382 (56,567) 0 (65,358) 0 0 0001

OTC OPTION CALL


106



JAN23 HSI C @

106 1,091,034 0 0 711,031 711,031 (57,193) 0 (108,604) 0 0 0001

OTC OPTION CALL


100



JAN23 HSI C @

100 397,513 0 0 282,237 282,237 (19,830) 0 (39,569) 0 0 0001

OTC OPTION CALL


106



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 02/27/2018 02/28/2023 1,000 5,440,000

FEB23 HSI C @

106 996,608 0 0 827,126 827,126 (84,640) 0 (99,365) 0 0 0001

OTC OPTION CALL


100



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 02/27/2018 02/28/2023 1,000 1,530,000

FEB23 HSI C @

100 327,879 0 0 285,819 285,819 (25,770) 0 (32,691) 0 0 0001

OTC OPTION CALL


106



Credit Suisse


MAR23 HSI C @

106 832,669 0 0 863,522 863,522 (94,727) 0 (83,018) 0 0 0001

OTC OPTION CALL


100



Credit Suisse


MAR23 HSI C @

100 450,606 0 0 479,972 479,972 (46,717) 0 (44,926) 0 0 0001

OTC OPTION CALL


106



APR23 HSI C @

106 1,057,804 0 0 1,053,082 1,053,082 (114,394) 0 (105,462) 0 0 0001

OTC OPTION CALL


100



APR23 HSI C @

100 425,648 0 0 435,021 435,021 (41,767) 0 (42,437) 0 0 0001

OTC OPTION CALL


106



Credit Suisse


MAY20 HSI C @

106 896,895 0 0 841,442 841,442 (100,157) 0 (89,223) 0 0 0001

OTC OPTION CALL


100



Credit Suisse


MAY20 HSI C @

100 495,198 0 0 479,727 479,727 (49,898) 0 (49,262) 0 0 0001

OTC OPTION CALL


106



Goldman Sachs


JUN23 HSI C @

106 1,029,588 0 0 999,292 999,292 (153,174) 0 (102,645) 0 0 0001

OTC OPTION CALL


100



Goldman Sachs


JUN23 HSI C @

100 440,469 0 0 441,102 441,102 (58,963) 0 (43,913) 0 0 0001

OTC OPTION CALL


106



Credit Suisse


JUL23 HSI C @

106 929,205 0 0 756,937 756,937 (124,880) 0 (92,788) 0 0 0001

OTC OPTION CALL


100



Credit Suisse


JUL23 HSI C @

100 307,455 0 0 262,647 262,647 (37,429) 0 (30,702) 0 0 0001

OTC OPTION CALL


100



Credit Suisse


JUL20 HSI C @

100 1,981,700 0 0 1,137,007 1,137,007 (649,222) 0 (496,394) 0 0 0001

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



(Received) Paid


Cost ofUn-

discounted 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)OTC OPTION CALL


106



Credit Suisse


AUG23 HSI C @

106 1,108,260 0 0 844,374 844,374 (165,618) 0 (110,485) 0 0 0001

OTC OPTION CALL


100



Credit Suisse


AUG23 HSI C @

100 477,929 0 0 387,374 387,374 (64,595) 0 (47,646) 0 0 0001

OTC OPTION CALL


100



Credit Suisse


AUG20 HSI C @

100 1,974,042 0 0 1,101,731 1,101,731 (526,890) 0 (492,322) 0 0 0001

OTC OPTION CALL


106



Goldman Sachs


SEP23 HSI C @

106 1,527,819 0 0 1,183,947 1,183,947 (253,433) 0 (152,309) 0 0 0001

OTC OPTION CALL


100



Goldman Sachs


SEP23 HSI C @

100 575,399 0 0 469,848 469,848 (85,911) 0 (57,362) 0 0 0001

OTC OPTION CALL


100



Goldman Sachs


SEP20 HSI C @

100 2,246,617 0 0 1,378,717 1,378,717 (506,691) 0 (560,176) 0 0 0001

OTC OPTION CALL


106



Credit Suisse


OCT23 HSI C @

106 782,988 0 0 939,599 939,599 (193,311) 0 (77,969) 0 0 0001

OTC OPTION CALL


100



Credit Suisse


OCT23 HSI C @

100 379,286 0 0 461,104 461,104 (82,495) 0 (37,769) 0 0 0001

OTC OPTION CALL


100



Credit Suisse


OCT20 HSI C @

100 2,394,078 0 0 3,104,272 3,104,272 (708,357) 0 (596,811) 0 0 0001

OTC OPTION CALL


106



Credit Suisse


NOV23 HSI C @

106 753,168 0 0 786,654 786,654 (153,074) 0 (75,162) 0 0 0001

OTC OPTION CALL


100



Credit Suisse


NOV23 HSI C @

100 353,048 0 0 378,616 378,616 (63,738) 0 (35,232) 0 0 0001

OTC OPTION CALL


100



Credit Suisse


NOV20 HSI C @

100 2,132,480 0 0 2,371,206 2,371,206 (487,160) 0 (531,455) 0 0 0001

OTC OPTION CALL


106



DEC23 HSI C @

106 632,011 0 0 955,443 955,443 (155,731) 0 (63,069) 0 0 0001

OTC OPTION CALL


100



DEC23 HSI C @

100 375,375 0 0 559,729 559,729 (79,945) 0 (37,459) 0 0 0001

OTC OPTION CALL


100



DEC20 HSI C @

100 2,738,649 0 0 4,820,855 4,820,855 (652,023) 0 (684,232) 0 0 0001

OTC OPTION CALL


106



Goldman Sachs


JAN24 HSI C @

106 672,833 0 0 851,256 851,256 (147,536) 0 (67,141) 0 0 0001

OTC OPTION CALL


100



Goldman Sachs


JAN24 HSI C @

100 482,389 0 0 608,376 608,376 (91,482) 0 (48,137) 0 0 0001

OTC OPTION CALL


100



Goldman Sachs


JAN21 HSI C @

100 2,361,895 0 0 3,356,690 3,356,690 (423,831) 0 (590,773) 0 0 0001

OTC OPTION CALL


106



Wells Fargo Bank,


FEB24 HSI C @

106 718,200 0 0 698,628 698,628 (123,845) 0 (71,666) 0 0 0001

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



(Received) Paid


Cost ofUn-

discounted 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)OTC OPTION CALL


100



Wells Fargo Bank,


FEB24 HSI C @

100 408,568 0 0 407,490 407,490 (62,735) 0 (40,769) 0 0 0001

OTC OPTION CALL


100



Wells Fargo Bank,


MAR21 HSI C @

100 2,074,338 0 0 2,341,858 2,341,858 (264,576) 0 (517,319) 0 0 0001

OTC OPTION CALL


106



Credit Suisse


MAR24 HSI C @

106 672,235 0 0 686,747 686,747 (130,287) 0 (67,041) 0 0 0001

OTC OPTION CALL


100



Credit Suisse


MAR24 HSI C @

100 523,696 0 0 541,694 541,694 (88,731) 0 (52,227) 0 0 0001

OTC OPTION CALL


100



Credit Suisse


MAR21 HSI C @

100 2,804,880 0 0 3,191,194 3,191,194 (369,617) 0 (699,388) 0 0 0001

OTC OPTION CALL


106



Goldman Sachs


APR24 HSI C @

106 1,074,044 0 0 886,290 886,290 (173,399) 0 (106,817) 0 0 0001

OTC OPTION CALL


100



Goldman Sachs


APR24 HSI C @

100 501,021 0 0 427,793 427,793 (71,752) 0 (49,828) 0 0 0001

OTC OPTION CALL


100



Goldman Sachs


APR21 HSI C @

100 2,976,863 0 0 2,520,353 2,520,353 (160,803) 0 (739,139) 0 0 0001

OTC OPTION CALL


106



Credit Suisse


MAY24 HSI C @

106 701,038 0 0 749,623 749,623 (151,780) 0 (69,683) 0 0 0001

OTC OPTION CALL


100



Credit Suisse


MAY24 HSI C @

100 506,550 0 0 540,879 540,879 (93,415) 0 (50,351) 0 0 0001

OTC OPTION CALL


100



Credit Suisse


MAY21 HSI C @

100 2,218,531 0 0 2,695,710 2,695,710 (314,198) 0 (549,351) 0 0 0001

OTC OPTION CALL


106



JUN24 HSI C @

106 790,485 0 0 703,554 703,554 (150,603) 0 (78,703) 0 0 0001

OTC OPTION CALL


100



JUN24 HSI C @

100 583,200 0 0 531,682 531,682 (96,421) 0 (58,065) 0 0 0001

OTC OPTION CALL


100



JUN21 HSI C @

100 2,374,175 0 0 2,184,044 2,184,044 (192,440) 0 (590,300) 0 0 0001

OTC OPTION CALL

BOUGHT, JUL20 SPX C @

3151.39



HSBC Bank USA,

National

Association 1IE8VN30JCEQV1H4R804 07/02/2019 07/01/2020 601 1,785,417

JUL20 SPX C @

3151.39 29,102 0 0 0 0 (59,042) 0 (14,511) 0 0 0001

OTC OPTION CALL


3195.16



HSBC Bank USA,

National


JUL20 SPX C @

3195.16 31,136 0 0 0 0 (44,079) 0 (15,483) 0 0 0001

OTC OPTION CALL


100



Credit Suisse


JUL21 HSI C @

100 2,007,642 0 0 1,721,060 1,721,060 (237,660) 0 (498,487) 0 0 0001

OTC OPTION CALL


100



Credit Suisse


JUL24 HSI C @

100 422,212 0 0 366,438 366,438 (76,636) 0 (41,990) 0 0 0001

OTC OPTION CALL


106



Credit Suisse


JUL24 HSI C @

106 532,814 0 0 445,428 445,428 (107,861) 0 (52,990) 0 0 0001

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



(Received) Paid


Cost ofUn-

discounted 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)OTC OPTION CALL


3051.18


Products Exhibit 5 Equity/Index BNP Paribas R0MUWSFPU8MPRO8K5P83 07/29/2019 07/28/2020 3,893 11,760,000

JUL20 SPX C @

3051.18 623,280 0 0 443,339 443,339 (277,432) 0 (310,786) 0 0 0001

OTC OPTION CALL


3020.97



JUL20 SPX C @

3020.97 1,012,088 0 0 766,892 766,892 (364,046) 0 (504,657) 0 0 0001

OTC OPTION CALL


3159.2



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 07/31/2019 07/31/2020 715 2,130,712

JUL20 SPX C @

3159.2 36,861 0 0 0 0 (77,318) 0 (18,330) 0 0 0001

OTC OPTION CALL

BOUGHT, AUG20 SPX C @

3099.07



HSBC Bank USA,

National


AUG20 SPX C @

3099.07 40,980 0 0 4 4 (95,771) 0 (20,660) 0 0 0001

OTC OPTION CALL


106



Wells Fargo Bank,


AUG24 HSI C @

106 866,135 0 0 891,197 891,197 (240,227) 0 (86,234) 0 0 0001

OTC OPTION CALL


100



Wells Fargo Bank,


AUG24 HSI C @

100 451,720 0 0 471,092 471,092 (109,037) 0 (44,974) 0 0 0001

OTC OPTION CALL


100



Wells Fargo Bank,


AUG21 HSI C @

100 2,616,480 0 0 2,937,032 2,937,032 (595,980) 0 (648,773) 0 0 0001

OTC OPTION CALL


2916.82



Royal Bank of

Canada ES7IP3U3RHIGC71XBU11 08/28/2019 08/28/2020 3,844 11,100,000

AUG20 SPX C @

2916.82 721,500 0 0 955,349 955,349 (157,016) 0 (358,779) 0 0 0001

OTC OPTION CALL


2887.94



Royal Bank of


AUG20 SPX C @

2887.94 1,180,131 0 0 1,562,444 1,562,444 (194,731) 0 (586,841) 0 0 0001

OTC OPTION CALL

BOUGHT, SEP20 SPX C @

3080.65


Products Exhibit 5 Equity/Index Societe Generale O2RNE8IBXP4R0TD8PU41 09/03/2019 09/03/2020 971 2,821,479

SEP20 SPX C @

3080.65 74,769 0 0 776 776 (163,940) 0 (37,180) 0 0 0001

OTC OPTION CALL


3177.84



SEP20 SPX C @

3177.84 38,357 0 0 76 76 (67,019) 0 (19,074) 0 0 0001

OTC OPTION CALL


106



Credit Suisse


SEP24 HSI C @

106 807,029 0 0 725,723 725,723 (209,046) 0 (80,262) 0 0 0001

OTC OPTION CALL


100



Credit Suisse


SEP24 HSI C @

100 458,892 0 0 426,099 426,099 (104,907) 0 (45,638) 0 0 0001

OTC OPTION CALL


100



Credit Suisse


SEP21 HSI C @

100 2,529,775 0 0 2,386,397 2,386,397 (472,930) 0 (628,988) 0 0 0001

OTC OPTION CALL


3006.51



Goldman Sachs


SEP20 SPX C @

3006.51 999,375 0 0 1,149,866 1,149,866 (98,404) 0 (499,688) 0 0 0001

OTC OPTION CALL


2976.74



Goldman Sachs


SEP20 SPX C @

2976.74 1,478,074 0 0 1,702,478 1,702,478 (81,082) 0 (739,037) 0 0 0001

OTC OPTION CALL


3155.34



SEP20 SPX C @

3155.34 34,398 0 0 2,328 2,328 (66,346) 0 (17,105) 0 0 0001

OTC OPTION CALL

BOUGHT, OCT20 SPX C @

3175.42



OCT20 SPX C @

3175.42 38,499 0 0 7,876 7,876 (77,596) 0 (19,145) 0 0 0001

OTC OPTION CALL


105.67


Products Exhibit 5 Equity/Index Societe Generale O2RNE8IBXP4R0TD8PU41 10/25/2019 10/28/2024 1,000 4,675,000

OCT24 HSI C @

105.67 697,043 0 0 607,506 607,506 (168,299) 0 (69,323) 0 0 0001

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



(Received) Paid


Cost ofUn-

discounted 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)OTC OPTION CALL


100



OCT24 HSI C @

100 465,075 0 0 415,432 415,432 (98,841) 0 (46,253) 0 0 0001

OTC OPTION CALL


100



OCT21 HSI C @

100 2,716,184 0 0 2,290,761 2,290,761 (413,901) 0 (673,495) 0 0 0001

OTC OPTION CALL


3069.81



Wells Fargo Bank,


OCT20 SPX C @

3069.81 760,469 0 0 845,673 845,673 (18,424) 0 (378,156) 0 0 0001

OTC OPTION CALL


3039.42



Wells Fargo Bank,


OCT20 SPX C @

3039.42 1,738,485 0 0 1,927,211 1,927,211 23,260 0 (864,493) 0 0 0001

OTC OPTION CALL


3219.81



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 10/31/2019 10/30/2020 654 1,985,500

OCT20 SPX C @

3219.81 38,916 0 0 9,112 9,112 (60,293) 0 (19,405) 0 0 0001

OTC OPTION CALL

BOUGHT, NOV20 SPX C @

3309.35


Products Exhibit 5 Equity/Index BNP Paribas R0MUWSFPU8MPRO8K5P83 11/18/2019 11/15/2020 593 1,850,192

NOV20 SPX C @

3309.35 34,044 0 0 5,320 5,320 (31,984) 0 (17,163) 0 0 0001

OTC OPTION CALL


105.67



NOV24 HSI C @

105.67 978,215 0 0 793,356 793,356 (264,052) 0 (97,340) 0 0 0001

OTC OPTION CALL


100



NOV24 HSI C @

100 413,168 0 0 345,232 345,232 (98,122) 0 (41,113) 0 0 0001

OTC OPTION CALL


100



NOV21 HSI C @

100 2,571,190 0 0 1,947,331 1,947,331 (541,679) 0 (638,413) 0 0 0001

OTC OPTION CALL


3172.39



Wells Fargo Bank,


NOV20 SPX C @

3172.39 872,046 0 0 753,164 753,164 94,856 0 (432,459) 0 0 0001

OTC OPTION CALL


3140.98



Wells Fargo Bank,


NOV20 SPX C @

3140.98 1,377,518 0 0 1,201,250 1,201,250 182,576 0 (683,129) 0 0 0001

OTC OPTION CALL

BOUGHT, DEC20 SPX C @

3384.07



DEC20 SPX C @

3384.07 30,228 0 0 4,241 4,241 (18,548) 0 (15,674) 0 0 0001

OTC OPTION CALL


3384.07


Products Exhibit 5 Equity/Index BNP Paribas R0MUWSFPU8MPRO8K5P83 12/17/2019 12/16/2020 592 1,891,301

DEC20 SPX C @

3384.07 32,341 0 0 6,690 6,690 (17,738) 0 (16,126) 0 0 0001

OTC OPTION CALL


105.67



DEC24 HSI C @

105.67 672,405 0 0 455,477 455,477 (136,193) 0 (66,873) 0 0 0001

OTC OPTION CALL


100



DEC24 HSI C @

100 385,495 0 0 271,838 271,838 (70,020) 0 (38,339) 0 0 0001

OTC OPTION CALL


100



DEC21 HSI C @

100 3,366,963 0 0 2,020,860 2,020,860 (351,334) 0 (837,141) 0 0 0001

OTC OPTION CALL


3253.5



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 12/30/2019 12/28/2020 5,045 16,250,000

DEC20 SPX C @

3253.5 911,625 0 0 652,120 652,120 187,704 0 (455,813) 0 0 0001

OTC OPTION CALL


3221.29



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 12/30/2019 12/28/2020 7,188 23,155,000

DEC20 SPX C @

3221.29 1,437,926 0 0 1,048,189 1,048,189 316,660 0 (718,963) 0 0 0001

OTC OPTION CALL


3453.32



DEC20 SPX C @

3453.32 0 27,318 0 4,665 4,665 (9,144) 0 (13,509) 0 0 0001

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



(Received) Paid


Cost ofUn-

discounted 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)OTC OPTION CALL

BOUGHT, JAN21 SPX C @

3486.65



JAN21 SPX C @

3486.65 0 30,795 0 6,477 6,477 (10,267) 0 (14,051) 0 0 0001

OTC OPTION CALL


105.67



Goldman Sachs


JAN25 HSI C @

105.67 0 665,556 0 465,976 465,976 (143,146) 0 (56,434) 0 0 0001

OTC OPTION CALL


100



Goldman Sachs


JAN25 HSI C @

100 0 457,434 0 330,923 330,923 (87,724) 0 (38,787) 0 0 0001

OTC OPTION CALL


100



Goldman Sachs


JAN22 HSI C @

100 0 2,864,469 0 1,747,363 1,747,363 (471,139) 0 (601,970) 0 0 0001

OTC OPTION CALL


3309



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 01/28/2020 01/28/2021 5,653 18,520,000

JAN21 SPX C @

3309 0 1,022,304 0 655,468 655,468 63,314 0 (430,150) 0 0 0001

OTC OPTION CALL


3276.24



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 01/28/2020 01/28/2021 6,127 20,075,000

JAN21 SPX C @

3276.24 0 1,226,583 0 805,582 805,582 95,103 0 (516,103) 0 0 0001

OTC OPTION CALL


3495.45



HSBC Bank USA,

National


JAN21 SPX C @

3495.45 0 34,311 0 8,837 8,837 (11,463) 0 (14,010) 0 0 0001

OTC OPTION CALL

BOUGHT, FEB21 SPX C @

3572.51



FEB21 SPX C @

3572.51 0 28,695 0 5,709 5,709 (12,559) 0 (10,427) 0 0 0001

OTC OPTION CALL


105.67



FEB25 HSI C @

105.67 0 588,060 0 633,525 633,525 85,355 0 (39,890) 0 0 0001

OTC OPTION CALL


100



FEB25 HSI C @

100 0 350,544 0 379,431 379,431 52,666 0 (23,779) 0 0 0001

OTC OPTION CALL


100



FEB22 HSI C @

100 0 2,951,385 0 3,247,197 3,247,197 795,773 0 (499,961) 0 0 0001

OTC OPTION CALL

BOUGHT, MAR21 SPX C @

2983.76



Credit Suisse


MAR21 SPX C @

2983.76 0 1,133,146 0 1,494,198 1,494,198 740,825 0 (379,774) 0 0 0001

OTC OPTION CALL


2954.22



Credit Suisse


MAR21 SPX C @

2954.22 0 1,807,775 0 2,376,860 2,376,860 1,174,961 0 (605,876) 0 0 0001

OTC OPTION CALL


3183.57



HSBC Bank USA,

National


MAR21 SPX C @

3183.57 0 59,884 0 68,433 68,433 28,126 0 (19,578) 0 0 0001

OTC OPTION CALL


2529.3



HSBC Bank USA,

National


MAR21 SPX C @

2529.3 0 147,619 0 376,262 376,262 271,514 0 (42,870) 0 0 0001

OTC OPTION CALL


105.67



Goldman Sachs


MAR25 HSI C @

105.67 0 886,388 0 1,150,364 1,150,364 310,066 0 (46,090) 0 0 0001

OTC OPTION CALL


100



Goldman Sachs


MAR25 HSI C @

100 0 730,779 0 950,736 950,736 257,956 0 (37,999) 0 0 0001

OTC OPTION CALL


100



Goldman Sachs


MAR22 HSI C @

100 0 4,669,330 0 7,086,287 7,086,287 3,023,778 0 (606,821) 0 0 0001

OTC OPTION CALL


2652.92



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 03/30/2020 03/29/2021 5,201 13,660,000

MAR21 SPX C @

2652.92 0 1,419,274 0 2,937,875 2,937,875 1,877,319 0 (358,718) 0 0 0001

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



(Received) Paid


Cost ofUn-

discounted 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)OTC OPTION CALL


2626.65



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 03/30/2020 03/29/2021 7,898 20,745,000

MAR21 SPX C @

2626.65 0 2,271,578 0 4,622,688 4,622,688 2,925,246 0 (574,135) 0 0 0001

OTC OPTION CALL


2618.73



HSBC Bank USA,

National


MAR21 SPX C @

2618.73 0 109,744 0 322,635 322,635 240,026 0 (27,135) 0 0 0001

OTC OPTION CALL

BOUGHT, APR21 SPX C @

2950.36



HSBC Bank USA,

National


APR21 SPX C @

2950.36 0 116,672 0 194,225 194,225 101,846 0 (24,293) 0 0 0001

OTC OPTION CALL


105.67



APR25 HSI C @

105.67 0 833,612 0 981,794 981,794 177,384 0 (29,202) 0 0 0001

OTC OPTION CALL


100



APR25 HSI C @

100 0 507,375 0 596,317 596,317 106,715 0 (17,773) 0 0 0001

OTC OPTION CALL


24615.13



APR22 HSI C @

24615.13 0 3,330,407 0 4,232,311 4,232,311 1,193,485 0 (291,581) 0 0 0001

OTC OPTION CALL


2892.02



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 04/28/2020 04/28/2021 4,516 12,930,000

APR21 SPX C @

2892.02 0 1,221,885 0 1,797,353 1,797,353 786,369 0 (210,901) 0 0 0001

OTC OPTION CALL


2863.39



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 04/28/2020 04/28/2021 7,709 22,075,000

APR21 SPX C @

2863.39 0 2,211,915 0 3,222,839 3,222,839 1,392,706 0 (381,783) 0 0 0001

OTC OPTION CALL


3130.86



HSBC Bank USA,

National


APR21 SPX C @

3130.86 0 66,963 0 89,894 89,894 34,122 0 (11,191) 0 0 0001

OTC OPTION CALL

BOUGHT, MAY21 SPX C @

3078.48



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 05/15/2020 05/15/2021 510 1,460,170

MAY21 SPX C @

3078.48 0 69,796 0 116,633 116,633 55,657 0 (8,820) 0 0 0001

OTC OPTION CALL


105.67



MAY25 HSI C @

105.67 0 1,192,722 0 1,352,434 1,352,434 181,908 0 (22,196) 0 0 0001

OTC OPTION CALL


100



MAY25 HSI C @

100 0 497,798 0 564,274 564,274 75,740 0 (9,264) 0 0 0001

OTC OPTION CALL


100



MAY22 HSI C @

100 0 2,896,614 0 3,566,669 3,566,669 804,231 0 (134,176) 0 0 0001

OTC OPTION CALL


3060.03



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 05/28/2020 05/28/2021 4,357 13,200,000

MAY21 SPX C @

3060.03 0 1,094,280 0 1,291,718 1,291,718 296,373 0 (98,935) 0 0 0001

OTC OPTION CALL


3029.73



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 05/28/2020 05/28/2021 6,768 20,505,000

MAY21 SPX C @

3029.73 0 1,820,844 0 2,136,118 2,136,118 479,899 0 (164,624) 0 0 0001

OTC OPTION CALL

BOUGHT, JUN21 SPX C @

3284.91



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 06/01/2020 06/01/2021 445 1,360,165

JUN21 SPX C @

3284.91 0 51,414 0 54,967 54,967 7,638 0 (4,085) 0 0 0001

OTC OPTION CALL


3296.58



HSBC Bank USA,

National


JUN21 SPX C @

3296.58 0 79,072 0 71,142 71,142 (4,680) 0 (3,250) 0 0 0001

OTC OPTION CALL


105.67



JUN25 HSI C @

105.67 0 823,045 0 810,805 810,805 (10,441) 0 (1,799) 0 0 0001

OTC OPTION CALL


100



JUN25 HSI C @

100 0 1,144,920 0 1,140,069 1,140,069 (2,348) 0 (2,503) 0 0 0001

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



(Received) Paid


Cost ofUn-

discounted 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)OTC OPTION CALL


100



JUN22 HSI C @

100 0 3,024,063 0 2,998,214 2,998,214 (22,350) 0 (16,525) 0 0 0001

OTC OPTION CALL


3083.7724



Goldman Sachs


JUN21 SPX C @

3083.7724 0 1,720,565 0 1,819,725 1,819,725 103,887 0 (4,727) 0 0 0001

OTC OPTION CALL


3053.24



Goldman Sachs


JUN21 SPX C @

3053.24 0 2,358,294 0 2,492,448 2,492,448 140,632 0 (6,479) 0 0 0001

0159999999. Subtotal - Purchased Options - Hedging Other - Call Options and Warrants 125,815,335 48,545,227 0 207,306,894 XXX 207,306,894 (6,311,814) 0 (30,931,423) 0 0 XXX XXX

0219999999. Subtotal - Purchased Options - Hedging Other 125,815,335 48,545,227 0 207,306,894 XXX 207,306,894 (6,311,814) 0 (30,931,423) 0 0 XXX XXX

0289999999. Subtotal - Purchased Options - Replications 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0359999999. Subtotal - Purchased Options - Income Generation 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0429999999. Subtotal - Purchased Options - Other 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0439999999. Total Purchased Options - Call Options and Warrants 125,815,335 48,545,227 0 207,306,894 XXX 207,306,894 (6,311,814) 0 (30,931,423) 0 0 XXX XXX

0449999999. Total Purchased Options - Put Options 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0459999999. Total Purchased Options - Caps 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0469999999. Total Purchased Options - Floors 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0479999999. Total Purchased Options - Collars 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0489999999. Total Purchased Options - Other 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0499999999. Total Purchased Options 125,815,335 48,545,227 0 207,306,894 XXX 207,306,894 (6,311,814) 0 (30,931,423) 0 0 XXX XXX

0569999999. Subtotal - Written Options - Hedging Effective Excluding Variable Annuity Guarantees Under SSAP No.108 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0639999999. Subtotal - Written Options - Hedging Effective Variable Annuity Guarantees Under SSAP No.108 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXXOTC OPTION CALL

WRITTEN, JUL20 SPX C

@ 3307.06



JUL20 SPX C @

3307.06 (174,048) 0 0 (40,069) (40,069) 242,812 0 86,786 0 0 0001

OTC OPTION CALL

WRITTEN, JUL20 SPX C

@ 3359.32



JUL20 SPX C @

3359.32 (181,525) 0 0 (33,861) (33,861) 269,122 0 90,514 0 0 0001

OTC OPTION CALL

WRITTEN, AUG20 SPX C

@ 3162.01



Royal Bank of


AUG20 SPX C @

3162.01 (265,290) 0 0 (324,605) (324,605) 295,642 0 131,920 0 0 0001

OTC OPTION CALL

WRITTEN, AUG20 SPX C

@ 3213.12



Royal Bank of


AUG20 SPX C @

3213.12 (301,275) 0 0 (344,917) (344,917) 438,124 0 149,814 0 0 0001

OTC OPTION CALL

WRITTEN, SEP20 SPX C

@ 3244.35



Goldman Sachs


SEP20 SPX C @

3244.35 (357,500) 0 0 (388,179) (388,179) 274,003 0 178,750 0 0 0001

OTC OPTION CALL

WRITTEN, SEP20 SPX C

@ 3282.75



Goldman Sachs


SEP20 SPX C @

3282.75 (387,011) 0 0 (414,802) (414,802) 358,946 0 193,505 0 0 0001

OTC OPTION CALL

WRITTEN, OCT20 SPX C

@ 3312.97



Wells Fargo Bank,


OCT20 SPX C @

3312.97 (255,272) 0 0 (286,487) (286,487) 141,858 0 126,938 0 0 0001

OTC OPTION CALL

WRITTEN, OCT20 SPX C

@ 3347.62



Wells Fargo Bank,


OCT20 SPX C @

3347.62 (447,039) 0 0 (485,244) (485,244) 275,924 0 222,298 0 0 0001

OTC OPTION CALL

WRITTEN, NOV20 SPX C

@ 3423.35



Wells Fargo Bank,


NOV20 SPX C @

3423.35 (282,992) 0 0 (231,285) (231,285) 46,897 0 140,339 0 0 0001

OTC OPTION CALL

WRITTEN, NOV20 SPX C

@ 3461.05



Wells Fargo Bank,


NOV20 SPX C @

3461.05 (326,832) 0 0 (271,688) (271,688) 60,176 0 162,080 0 0 0001

OTC OPTION CALL

WRITTEN, DEC20 SPX C

@ 3510.88



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 12/30/2019 12/28/2020 5,045 16,250,000

DEC20 SPX C @

3510.88 (290,875) 0 0 (190,532) (190,532) (23,615) 0 145,438 0 0 0001

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



(Received) Paid


Cost ofUn-

discounted 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)OTC OPTION CALL

WRITTEN, DEC20 SPX C

@ 3552.44



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 12/30/2019 12/28/2020 7,188 23,155,000

DEC20 SPX C @

3552.44 (324,170) 0 0 (213,203) (213,203) (24,102) 0 162,085 0 0 0001

OTC OPTION CALL

WRITTEN, JAN21 SPX C

@ 3570.77



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 01/28/2020 01/28/2021 5,653 18,520,000

JAN21 SPX C @

3570.77 0 (319,469) 0 (188,172) (188,172) (3,124) 0 134,422 0 0 0001

OTC OPTION CALL

WRITTEN, JAN21 SPX C

@ 3611.4



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 01/28/2020 01/28/2021 6,127 20,075,000

JAN21 SPX C @

3611.4 0 (271,013) 0 (167,398) (167,398) (10,418) 0 114,033 0 0 0001

OTC OPTION CALL

WRITTEN, MAR21 SPX C

@ 3220.1



Credit Suisse


MAR21 SPX C @

3220.1 0 (583,319) 0 (814,375) (814,375) (426,555) 0 195,499 0 0 0001

OTC OPTION CALL


@ 3255.26



Credit Suisse


MAR21 SPX C @

3255.26 0 (778,638) 0 (1,087,920) (1,087,920) (570,242) 0 260,960 0 0 0001

OTC OPTION CALL


@ 2863.05



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 03/30/2020 03/29/2021 5,201 13,660,000

MAR21 SPX C @

2863.05 0 (861,946) 0 (2,123,400) (2,123,400) (1,479,308) 0 217,854 0 0 0001

OTC OPTION CALL


@ 2896.67



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 03/30/2020 03/29/2021 7,898 20,745,000

MAR21 SPX C @

2896.67 0 (1,196,987) 0 (3,037,929) (3,037,929) (2,143,478) 0 302,535 0 0 0001

OTC OPTION CALL

WRITTEN, APR21 SPX C

@ 3105.06



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 04/28/2020 04/28/2021 4,516 12,930,000

APR21 SPX C @

3105.06 0 (721,494) 0 (1,168,638) (1,168,638) (571,676) 0 124,532 0 0 0001

OTC OPTION CALL

WRITTEN, APR21 SPX C

@ 3129.69



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 04/28/2020 04/28/2021 7,709 22,075,000

APR21 SPX C @

3129.69 0 (1,150,108) 0 (1,880,765) (1,880,765) (929,169) 0 198,512 0 0 0001

OTC OPTION CALL

WRITTEN, MAY21 SPX C

@ 3285.74



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 05/28/2020 05/28/2021 4,357 13,200,000

MAY21 SPX C @

3285.74 0 (575,520) 0 (730,471) (730,471) (206,984) 0 52,033 0 0 0001

OTC OPTION CALL

WRITTEN, MAY21 SPX C

@ 3309.98



Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 05/28/2020 05/28/2021 6,768 20,505,000

MAY21 SPX C @

3309.98 0 (824,301) 0 (1,053,420) (1,053,420) (303,645) 0 74,526 0 0 0001

OTC OPTION CALL

WRITTEN, JUN21 SPX C

@ 3312.7654



Goldman Sachs


JUN21 SPX C @

3312.7654 0 (959,473) 0 (1,019,985) (1,019,985) (63,149) 0 2,636 0 0 0001

OTC OPTION CALL

WRITTEN, JUN21 SPX C

@ 3334.1381



Goldman Sachs


JUN21 SPX C @

3334.1381 0 (1,158,288) 0 (1,229,210) (1,229,210) (74,104) 0 3,182 0 0 0001

0649999999. Subtotal - Written Options - Hedging Other - Call Options and Warrants (3,593,829) (9,400,556) 0 (17,726,555) XXX (17,726,555) (4,426,065) 0 3,471,191 0 0 XXX XXX

0709999999. Subtotal - Written Options - Hedging Other (3,593,829) (9,400,556) 0 (17,726,555) XXX (17,726,555) (4,426,065) 0 3,471,191 0 0 XXX XXX

0779999999. Subtotal - Written Options - Replications 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0849999999. Subtotal - Written Options - Income Generation 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0919999999. Subtotal - Written Options - Other 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0929999999. Total Written Options - Call Options and Warrants (3,593,829) (9,400,556) 0 (17,726,555) XXX (17,726,555) (4,426,065) 0 3,471,191 0 0 XXX XXX

0939999999. Total Written Options - Put Options 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0949999999. Total Written Options - Caps 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0959999999. Total Written Options - Floors 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0969999999. Total Written Options - Collars 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0979999999. Total Written Options - Other 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

0989999999. Total Written Options (3,593,829) (9,400,556) 0 (17,726,555) XXX (17,726,555) (4,426,065) 0 3,471,191 0 0 XXX XXX

CL INTEREST RATE SWAP,

REC FIXED, PAY 6ML

Cash Flow Hedge on

Floating Rate Asset D-1

INTEREST RISK

CME Group

Inc./Goldman Sachs

and Co. LCZ7XYGSLJUHFXXNXD88 10/16/2013 10/30/2020 1 500,000

REC SWP: USD

3.410000

10/30/2020 [PAY

6ML] 0 0 1,241 0 2,463 0 0 0 0 1,445 (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



(Received) Paid


Cost ofUn-

discounted 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)


REC FIXED, PAY 6ML

Cash Flow Hedge on

Floating Rate Asset D-1

INTEREST RISK

CME Group

Inc./Goldman Sachs

and Co. LCZ7XYGSLJUHFXXNXD88 10/16/2013 10/30/2023 1 700,000

REC SWP: USD

4.090000

10/30/2023 [PAY

6ML] 0 0 3,754 0 59,595 0 0 0 0 6,391 (100/100)


REC 1ML, PAY FIXED

Cash flow hedge

mortgage derivative

products D-1

INTEREST RISK

LCH. Clearnet

LLC/Morgan Stanley

& Co. LLC WAM6YERMS7OXFZUOY219 12/20/2017 12/15/2024 1 3,000,000

REC 1ML [PAY

SWP: USD

2.291000 15-

DEC-2024] 0 0 (18,826) 0 (280,384) 0 0 0 0 31,689 (100/100)


REC 1ML, PAY FIXED

Cash flow hedge

mortgage derivative

products D-1

INTEREST RISK

LCH. Clearnet

LLC/Morgan Stanley


REC 1ML [PAY

FSWP: USD

2.882500 25-

AUG-2028] 0 0 (51,670) 0 (1,189,408) 0 0 0 0 85,691 (100/100)


REC 1ML, PAY FIXED

Cash flow hedge

mortgage derivative

products D-1

INTEREST RISK

LCH. Clearnet

LLC/Morgan Stanley


REC 1ML [PAY

SWP: USD

1.651000 25-

DEC-2024] 0 0 (14,058) 0 (326,443) 0 0 0 0 52,976 (100/100)

INTEREST RATE SWAP,

REC 6ML, PAY 6ML

Fair Value hedge of

Bond portfolio D-1

INTEREST RISK Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 08/10/1998 08/31/2027 1 471,629

SWP: USD

08/31/2027 0 0 (462,818) 0 (2,152,513) 0 0 0 0 6,316 (100/100)

0999999999. Subtotal - Swaps - Hedging Effective Excluding Variable Annuity Guarantees Under SSAP No.108 - Interest Rate 0 0 (542,377) 0 XXX (3,886,690) 0 0 0 0 184,508 XXX XXX

CURRENCY SWAP, CSWAP:

EUR/USD 11/15/2023

Hedge of Fixed Rate

Foreign Denominated

AFS Security D-1 Currency Citibank, N.A. 57ODZWZ7FF32TWEFA76 09/27/2016 11/15/2023 1 111,950

CSWAP: EUR/USD

11/15/2023 4,665 0 1,132 (363) 3,762 0 (67) 0 0 1,030 (100/100)


GBP/USD 11/10/2026

Hedge of Fixed Rate

Foreign Denominated


CSWAP: GBP/USD

11/10/2026 (1,715) 0 504 (440) 3,103 0 8,915 0 0 1,553 (100/100)


GBP/USD 8/5/2024

Hedge of Fixed Rate

Foreign Denominated


CSWAP: GBP/USD

8/5/2024 (31,450) 0 4,884 (2,400) 32,126 0 44,575 0 0 6,231 (100/100)


EUR/USD 9/13/2027

Hedge of Fixed Rate

Foreign Denominated


CSWAP: EUR/USD

9/13/2027 (34,725) 0 5,805 (475) 34,506 0 (325) 0 0 7,532 (100/100)


AUD/USD 7/26/2027

Hedge of Fixed Rate

Foreign Denominated


CSWAP: AUD/USD

7/26/2027 (7,470) 0 (191) 13,340 12,734 0 2,890 0 0 2,009 (100/100)


EUR/USD 7/19/2024

Hedge of Fixed Rate

Foreign Denominated


CSWAP: EUR/USD

7/19/2024 (4,425) 0 6,073 9,925 36,870 0 (325) 0 0 5,754 (100/100)


GBP/USD 8/17/2027

Hedge of Fixed Rate

Foreign Denominated

AFS Security D-1 Currency

Barclays Bank, PLC

G5GSEF7VJP5I7OUK5573 07/27/2017 08/17/2027 1 262,500

CSWAP: GBP/USD

8/17/2027 4,740 0 1,903 15,380 36,057 0 17,830 0 0 3,506 (100/100)


EUR/USD 10/30/2024

Hedge of Fixed Rate

Foreign Denominated


Wells Fargo Bank,

N. A. KB1H1DSPRFMYMCUFXT09 10/18/2017 10/30/2024 1 117,770

CSWAP: EUR/USD

10/30/2024 1,495 0 1,399 5,455 12,601 0 (65) 0 0 1,226 (100/100)


AUD/USD 15-MAR-2028

Hedge of Fixed Rate

Foreign Denominated


CSWAP: AUD/USD

15-MAR-2028 (2,190) 0 144 9,965 10,752 0 1,890 0 0 1,389 (100/100)


GBP/USD 14-MAR-2030

Hedge of Fixed Rate

Foreign Denominated

AFS Security D-1 Currency Citibank, N.A. 57ODZWZ7FF32TWEFA76 01/25/2018 03/14/2030 1 6,868,800

CSWAP: GBP/USD

14-MAR-2030 174,960 0 66,091 937,920 1,833,045 0 427,920 0 0 107,017 (100/100)


EUR/USD 29-JUN-2030

Hedge of Fixed Rate

Foreign Denominated


CSWAP: EUR/USD

29-JUN-2030 31,320 0 44,745 131,805 592,696 0 (1,885) 0 0 53,591 (100/100)


EUR/USD 27-MAR-2028

Hedge of Fixed Rate

Foreign Denominated

AFS Security D-1 Currency Societe Generale O2RNE8IBXP4R0TD8PU41 03/11/2019 03/27/2028 1 673,920

CSWAP: EUR/USD

27-MAR-2028 (1,200) 0 9,159 30 76,328 0 (390) 0 0 9,378 (100/100)


GBP/USD 17-SEP-2031

Hedge of Fixed Rate

Foreign Denominated


CREDIT AGRICOLE

CORPORATE &

INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 07/17/2019 09/17/2031 1 5,095,890

CSWAP: GBP/USD

17-SEP-2031 (22,345) 0 35,288 29,930 403,845 0 365,515 0 0 85,354 (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



(Received) Paid


Cost ofUn-

discounted 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)


EUR/USD 20-JUN-2026

Hedge of Fixed Rate

Foreign Denominated


CSWAP: EUR/USD

20-JUN-2026 0 56,580 67,216 (321,645) 379,258 0 (378,225) 0 0 164,916 (100/100)

1019999999. Subtotal - Swaps - Hedging Effective Excluding Variable Annuity Guarantees Under SSAP No.108 - Foreign Exchange 111,660 56,580 244,152 828,427 XXX 3,467,683 0 488,253 0 0 450,486 XXX XXX

1049999999. Subtotal - Swaps - Hedging Effective Excluding Variable Annuity Guarantees Under SSAP No.108 111,660 56,580 (298,225) 828,427 XXX (419,007) 0 488,253 0 0 634,994 XXX XXX

1109999999. Subtotal - Swaps - Hedging Effective Variable Annuity Guarantees Under SSAP No.108 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX


REC 1ML, PAY FIXED

Cash flow hedge

mortgage derivative

Products D-1

INTEREST RISK

CME Group

Inc./Morgan Stanley

& Co. LLC LCZ7XYGSLJUHFXXNXD88 11/01/2016 11/03/2021 1 20,000,000

REC 1ML [PAY

SWP: USD

1.155500

11/3/2021] 0 0 (4,886) (272,708) (272,708) (425,765) 0 0 0 115,983 0002


REC 1ML, PAY FIXED

Cash flow hedge

mortgage derivative

Products D-1

INTEREST RISK

CME Group

Inc./Morgan Stanley


REC 1ML [PAY

SWP: USD

1.354500

11/3/2023] 0 0 (21,872) (728,682) (728,682) (883,356) 0 0 0 164,609 0002


REC 1ML, PAY FIXED

Cash flow hedge

mortgage derivative

Products D-1

INTEREST RISK

CME Group

Inc./Morgan Stanley


REC 1ML [PAY

SWP: USD

1.791000

11/3/2031] 0 0 (6,549) (267,908) (267,908) (277,570) 0 0 0 33,691 0002


REC FIXED, PAY 1ML

Cash flow hedge

mortgage derivative

Products D-1

INTEREST RISK

CME Group

Inc./Morgan Stanley


REC SWP: USD

1.918000

11/3/2041 [PAY

1ML] 0 0 3,796 228,635 228,635 236,927 0 0 0 23,108 0002


REC 1ML, PAY FIXED

Cash flow hedge

mortgage derivative

Products D-1

INTEREST RISK

CME Group

Inc./Morgan Stanley


REC 1ML [PAY

SWP: USD

1.578000

11/3/2026] 0 0 (22,840) (794,701) (794,701) (863,172) 0 0 0 125,976 0002


REC FIXED, PAY 1ML

Cash flow hedge

mortgage derivative

Products D-1

INTEREST RISK

LCH. Clearnet

LLC/Morgan Stanley


REC SWP: USD

2.202000

4/11/2027 [PAY

1ML] 0 0 29,619 625,718 625,718 452,013 0 0 0 65,113 0002


REC 1ML, PAY FIXED

Cash flow hedge

mortgage derivative

Products D-1

INTEREST RISK

LCH. Clearnet

LLC/Morgan Stanley


REC 1ML [PAY

SWP: USD

1.724000

9/25/2020] 0 0 (25,921) (28,962) (28,962) (26,438) 0 0 0 19,529 0002


REC 1ML, PAY FIXED

Cash flow hedge

mortgage derivative

Products D-1

INTEREST RISK

LCH. Clearnet

LLC/Morgan Stanley


REC 1ML [PAY

SWP: USD

1.414000 30-

SEP-2022] 653 0 (4,845) (88,063) (88,063) (100,364) 0 (108) 0 22,825 0002


REC 1ML, PAY FIXED

Cash flow hedge

mortgage derivative

Products D-1

INTEREST RISK

LCH. Clearnet

LLC/Morgan Stanley


REC 1ML [PAY

SWP: USD

1.664000 30-

SEP-2020] 566 0 (25,511) (33,020) (33,020) (33,931) 0 (278) 0 22,417 0002


REC 1ML, PAY FIXED

Cash flow hedge

mortgage derivative

Products D-1

INTEREST RISK

LCH. Clearnet

LLC/Morgan Stanley


REC 1ML [PAY

SWP: USD

1.489000 30-

SEP-2021] 117 0 (2,385) (20,305) (20,305) (22,244) 0 (29) 0 6,758 0002


REC 1ML, PAY FIXED

Cash flow hedge

mortgage derivative

Products D-1

INTEREST RISK

LCH. Clearnet

LLC/Morgan Stanley


REC 1ML [PAY

SWP: USD

1.385000 30-

SEP-2023] 994 0 (5,902) (165,410) (165,410) (194,645) 0 (123) 0 36,860 0002


REC 1ML, PAY FIXED

Cash flow hedge

mortgage derivative

Products D-1

INTEREST RISK

LCH. Clearnet

LLC/Morgan Stanley

& Co. LLC WAM6YERMS7OXFZUOY219 09/26/2019 09/30/2024 1 530,000

REC 1ML [PAY

SWP: USD

1.377000 30-

SEP-2024] 183 0 (743) (26,916) (26,916) (32,560) 0 (18) 0 5,466 0002

1119999999. Subtotal - Swaps - Hedging Other - Interest Rate 2,513 0 (88,039) (1,572,322) XXX (1,572,322) (2,171,105) 0 (556) 0 642,335 XXX XXX

TRS, REC VARIABLE/PAY

VARIABLE TRS D-1

INTEREST RISK Voya Financial,

Inc. 549300T065Z4KJ686G75 01/09/2014 12/31/2029 1,060,043,544 1,060,043,544

REC

VARIABLE/PAY

VARIABLE (76,664,048) 0 282,314 (47,394,740) (47,394,740) (2,878,436) 0 2,437,084 0 16,344,611 0002

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



(Received) Paid


Cost ofUn-

discounted 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)

1149999999. Subtotal - Swaps - Hedging Other - Total Return (76,664,048) 0 282,314 (47,394,740) XXX (47,394,740) (2,878,436) 0 2,437,084 0 16,344,611 XXX XXX

1169999999. Subtotal - Swaps - Hedging Other (76,661,535) 0 194,275 (48,967,062) XXX (48,967,062) (5,049,541) 0 2,436,528 0 16,986,946 XXX XXX

1229999999. Subtotal - Swaps - Replication 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

1289999999. Subtotal - Swaps - Income Generation 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

1349999999. Subtotal - Swaps - Other 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

1359999999. Total Swaps - Interest Rate 2,513 0 (630,416) (1,572,322) XXX (5,459,012) (2,171,105) 0 (556) 0 826,843 XXX XXX

1369999999. Total Swaps - Credit Default 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

1379999999. Total Swaps - Foreign Exchange 111,660 56,580 244,152 828,427 XXX 3,467,683 0 488,253 0 0 450,486 XXX XXX

1389999999. Total Swaps - Total Return (76,664,048) 0 282,314 (47,394,740) XXX (47,394,740) (2,878,436) 0 2,437,084 0 16,344,611 XXX XXX

1399999999. Total Swaps - Other 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

1409999999. Total Swaps (76,549,875) 56,580 (103,950) (48,138,635) XXX (49,386,069) (5,049,541) 488,253 2,436,528 0 17,621,940 XXX XXX

CURRENCY FORWARD,

AUD/USD

Foreign Currency Hedge

- Limited

Partnerships/Alte BA Currency

JPMORGAN CHASE

BANK, N.A. 7H6GLXDRUGQFU57RNE97 04/21/2020 07/21/2020 1 339,255 AUD/USD 0 0 0 (32,259) (32,259) (19) (32,239) 0 0 407 0004

CURRENCY FORWARD,

AUD/USD


- Limited


JPMORGAN CHASE

BANK, N.A. 7H6GLXDRUGQFU57RNE97 04/21/2020 07/21/2020 1 490,034 AUD/USD 0 0 0 (46,596) (46,596) (28) (46,568) 0 0 588 0004

CURRENCY FORWARD,

CNH/USD


- Limited


Goldman Sachs

International W22LROWP2IHZNBB6K528 04/21/2020 07/21/2020 1 1,149,695 CNH/USD 0 0 0 (6,851) (6,851) 1,175 (8,026) 0 0 1,379 0004

CURRENCY FORWARD,

CNH/USD


- Limited


Goldman Sachs

International W22LROWP2IHZNBB6K528 04/21/2020 07/21/2020 1 2,129,938 CNH/USD 0 0 0 (12,692) (12,692) 2,177 (14,869) 0 0 2,554 0004

CURRENCY FORWARD,

EUR/USD


- Limited


Morgan Stanley

Capital Services

LLC I7331LVCZKQKX5T7XV54 04/21/2020 07/21/2020 1 3,385,399 EUR/USD 0 0 0 (118,182) (118,182) (4,661) (113,521) 0 0 4,060 0004

CURRENCY FORWARD,

EUR/USD


- Limited


Morgan Stanley

Capital Services

LLC I7331LVCZKQKX5T7XV54 04/21/2020 07/21/2020 1 786,645 EUR/USD 0 0 0 (27,461) (27,461) (1,083) (26,378) 0 0 943 0004

CURRENCY FORWARD,

GBP/USD


- Limited


JPMORGAN CHASE

BANK, N.A. 7H6GLXDRUGQFU57RNE97 06/22/2020 07/27/2020 1 9,162,225 GBP/USD 0 0 0 54,060 54,060 (16,859) 70,918 0 0 12,460 0004

CURRENCY FORWARD,

CNH/USD


- Limited


Goldman Sachs

International W22LROWP2IHZNBB6K528 06/30/2020 10/23/2020 1 1,144,808 CNH/USD 0 0 0 (53) (53) 6,827 (6,880) 0 0 3,213 0004

CURRENCY FORWARD,

CNH/USD


- Limited


Goldman Sachs

International W22LROWP2IHZNBB6K528 06/30/2020 10/23/2020 1 2,191,268 CNH/USD 0 0 0 (101) (101) 13,068 (13,169) 0 0 6,150 0004

CURRENCY FORWARD,

CNH/USD


- Limited


Goldman Sachs

International W22LROWP2IHZNBB6K528 06/30/2020 07/21/2020 1 1,156,426 CNH/USD 0 0 0 120 120 (1,175) 1,295 0 0 1,387 0004

CURRENCY FORWARD,

CNH/USD


- Limited


Goldman Sachs

International W22LROWP2IHZNBB6K528 06/30/2020 07/21/2020 1 2,142,409 CNH/USD 0 0 0 222 222 (2,176) 2,399 0 0 2,569 0004

CURRENCY FORWARD,

EUR/USD


- Limited


Morgan Stanley

Capital Services

LLC I7331LVCZKQKX5T7XV54 06/30/2020 10/23/2020 1 4,003,788 EUR/USD 0 0 0 324 324 (13,839) 14,163 0 0 11,237 0004

CURRENCY FORWARD,

EUR/USD


- Limited


Morgan Stanley

Capital Services

LLC I7331LVCZKQKX5T7XV54 06/30/2020 10/23/2020 1 526,157 EUR/USD 0 0 0 43 43 (1,819) 1,861 0 0 1,477 0004

CURRENCY FORWARD,

EUR/USD


- Limited


Morgan Stanley

Capital Services

LLC I7331LVCZKQKX5T7XV54 06/30/2020 07/21/2020 1 3,503,965 EUR/USD 0 0 0 (379) (379) 4,666 (5,045) 0 0 4,202 0004

CURRENCY FORWARD,

EUR/USD


- Limited


Morgan Stanley

Capital Services

LLC I7331LVCZKQKX5T7XV54 06/30/2020 07/21/2020 1 814,196 EUR/USD 0 0 0 (88) (88) 1,084 (1,172) 0 0 976 0004

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



(Received) Paid


Cost ofUn-

discounted 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)

CURRENCY FORWARD,

AUD/USD


- Limited


Morgan Stanley

Capital Services

LLC I7331LVCZKQKX5T7XV54 06/30/2020 07/21/2020 1 371,942 AUD/USD 0 0 0 (427) (427) 21 (448) 0 0 446 0004

CURRENCY FORWARD,

AUD/USD


- Limited


Morgan Stanley

Capital Services

LLC I7331LVCZKQKX5T7XV54 06/30/2020 07/21/2020 1 537,249 AUD/USD 0 0 0 (617) (617) 30 (647) 0 0 644 0004

1439999999. Subtotal - Forwards - Hedging Other 0 0 0 (190,937) XXX (190,937) (12,611) (178,326) 0 0 54,692 XXX XXX

1479999999. Subtotal - Forwards 0 0 0 (190,937) XXX (190,937) (12,611) (178,326) 0 0 54,692 XXX XXX

1509999999. Subtotal - SSAP No. 108 Adjustments 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

1689999999. Subtotal - Hedging Effective Excluding Variable Annuity Guarantees Under SSAP No.108 111,660 56,580 (298,225) 828,427 XXX (419,007) 0 488,253 0 0 634,994 XXX XXX

1699999999. Subtotal - Hedging Effective Variable Annuity Guarantees Under SSAP No.108 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

1709999999. Subtotal - Hedging Other 45,559,971 39,144,671 194,275 140,422,340 XXX 140,422,340 (15,800,031) (178,326) (25,023,704) 0 17,041,638 XXX XXX

1719999999. Subtotal - Replication 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

1729999999. Subtotal - Income Generation 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

1739999999. Subtotal - Other 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

1749999999. Subtotal - Adjustments for SSAP No. 108 Derivatives 0 0 0 0 XXX 0 0 0 0 0 0 XXX XXX

1759999999 - Totals 45,671,631 39,201,251 (103,950) 141,250,767 XXX 140,003,333 (15,800,031) 309,927 (25,023,704) 0 17,676,632 XXX XXX

(a) Code Description of Hedged Risk(s)

(b) Code Financial or Economic Impact of the Hedge at the End of the Reporting Period0001 Economic hedge of liability products

0002 Economic hedge of bond portfolio

0004 Reduce currency exposure

E06.1

5


SCHEDULE DB - PART B - SECTION 1Futures Contracts Open as of the Current Statement Date

1 2 3 4 5 6 7 8 9 10 11 12 13 14 Highly Effective Hedges 18 19 20 21 22

TickerSymbol

Numberof

ContractsNotional Amount Description



Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)

Date of Maturity

orExpira-

tion ExchangeTradeDate

Transac-tion

Price

Reporting DatePrice Fair Value


Value

15

Cumulative Variation Margin

16

Deferred Variation Margin

17Change in Variation MarginGain

(Loss) Used to Adjust Basis of Hedged

Item

Cumulative Variation Margin for All Other Hedges

Change in Variation MarginGain

(Loss) Recognized in Current

YearPotentialExposure

Hedge Effectiveness

atInception

and atQuarter-end

(b)

Value ofOne (1)Point

1759999999 - Totals XXX XXX

Broker NameBeginning

Cash BalanceCumulative

Cash ChangeEnding

Cash Balance

Total Net Cash Deposits 0 0 0

(a) Code Description of Hedged Risk(s)

(b) Code Financial or Economic Impact of the Hedge at the End of the Reporting Period

NONE

E07

NONE


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

0199999999 - Aggregate Sum of Exchange Traded Derivatives XXX XXX XXX 0 0 0 0 0 0 0 0

Bank of America, N.A. B4TYDEB6GKMZO031MB27 Y Y 13,818,063 14,574,017 0 755,954 14,574,017 0 755,954 0 0

Barclays Bank, PLC G5GSEF7VJP5I7OUK5573 Y Y 13,250,000 27,513,135 (10,753,929) 3,509,206 27,533,813 (12,906,442) 1,377,371 9,821 9,821

BNP Paribas R0MUWSFPU8MPRO8K5P83 Y Y 2,000,000 1,222,241 (73,931) 0 1,222,241 (73,931) 0 0 0

Citibank, N.A. 57ODZWZ7FF32TWEFA76 Y Y 30,728,627 35,303,425 (325,325) 4,249,473 37,139,321 0 6,410,694 351,021 351,021

CREDIT AGRICOLE CORPORATE & INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 Y Y 575,000 29,930 0 0 403,845 0 0 85,354 0

Credit Suisse International E58DKGMJYYYJLN8C3868 Y Y 38,900,000 41,937,538 (1,902,295) 1,135,243 41,937,538 (1,902,295) 1,135,243 0 0

Goldman Sachs International W22LROWP2IHZNBB6K528 Y Y 30,650,000 37,334,340 (3,071,874) 3,612,466 37,334,340 (3,071,874) 3,612,466 17,253 17,253

HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 Y Y 1,020,001 1,131,433 0 111,432 1,131,433 0 111,432 0 0

JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 Y Y 1,560,000 1,680,321 (78,855) 41,466 1,680,321 (78,855) 41,466 13,454 13,454

Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 Y Y 0 367 (147,154) 0 367 (147,154) 0 23,986 0

NATIXIS SA KX1WK48MPD4Y2NCUIZ63 Y Y 15,940,000 16,516,652 0 576,652 16,516,652 0 576,652 0 0

Royal Bank of Canada ES7IP3U3RHIGC71XBU11 Y Y 1,580,000 2,517,793 (669,522) 268,271 2,517,793 (669,522) 268,271 0 0

Societe Generale O2RNE8IBXP4R0TD8PU41 Y Y 12,450,000 13,440,123 0 990,123 13,516,421 0 1,066,421 9,378 9,378

Wells Fargo Bank, N. A. KB1H1DSPRFMYMCUFXT09 Y Y 12,860,000 15,314,099 (1,274,701) 1,179,398 15,321,245 (1,274,704) 1,186,541 1,226 1,226

0299999999. Total NAIC 1 Designation 175,331,691 208,515,414 (18,297,586) 16,429,684 210,829,347 (20,124,777) 16,542,511 511,493 402,153

Voya Financial, Inc. 549300T065Z4KJ686G75 Y N 0 0 (47,394,740) 0 0 (47,394,740) 0 16,344,611 0

0399999999. Total NAIC 2 Designation 0 0 (47,394,740) 0 0 (47,394,740) 0 16,344,611 0

0899999999. Aggregate Sum of Central Clearinghouses (Excluding Exchange Traded) 0 854,353 (2,426,674) 0 916,412 (4,222,909) 0 820,528 0

0999999999 - Gross Totals 175,331,691 209,369,767 (68,119,000) 16,429,684 211,745,759 (71,742,426) 16,542,511 17,676,632 402,153

1. Offset per SSAP No. 64 0 0

2. Net after right of offset per SSAP No. 64 209,369,767 (68,119,000)

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)CME Group Inc./Goldman Sachs and Co. LCZ7XYGSLJUHFXXNXD88 Treasury 912810-PX-0 Treasury Bond Coupon Rate: 4.5 378,628 240,000 272,212 05/15/2038 I

CME Group Inc./Morgan Stanley & Co. LLC LCZ7XYGSLJUHFXXNXD88 Treasury 912810-PX-0 Treasury Bond Coupon Rate: 4.5 787,795 499,357 566,379 05/15/2038 I

LCH/Morgan Stanley & Co. LLC WAM6YERMS7OXFZUOY219 Treasury 912810-PX-0 Treasury Bond Coupon Rate: 4.5 808,754 512,643 581,447 05/15/2038 I

CME Group Inc./Morgan Stanley & Co. LLC LCZ7XYGSLJUHFXXNXD88 Cash 000000-00-0 CASH 2,110,751 2,110,751 2,110,751 V

LCH/Morgan Stanley & Co. LLC WAM6YERMS7OXFZUOY219 Cash 000000-00-0 CASH 2,166,907 2,166,907 2,166,907 V

0 0 0

0199999999 - Total 6,252,835 5,529,658 5,697,695 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)

Barclays Bank, PLC G5GSEF7VJP5I7OUK5573 Cash 000000-00-0 CASH 13,250,000 13,250,000 XXX IV

BNP Paribas R0MUWSFPU8MPRO8K5P83 Cash 000000-00-0 CASH 2,000,000 2,000,000 XXX IV

Bank of America, N.A. B4TYDEB6GKMZO031MB27 TREASURY BOND 3128MD-M7-5 Treasury Bond Coupon Rate: 2.5 806,300 2,856,000 XXX 02/01/2028 IV

Bank of America, N.A. B4TYDEB6GKMZO031MB27 TREASURY BOND 3128ME-DM-0 Treasury Bond Coupon Rate: 3 664,625 1,539,000 XXX 04/01/2030 IV

Bank of America, N.A. B4TYDEB6GKMZO031MB27 TREASURY BOND 3128MM-MQ-3 Treasury Bond Coupon Rate: 3.5 980,955 16,672,000 XXX 10/01/2025 IV

Bank of America, N.A. B4TYDEB6GKMZO031MB27 TREASURY BOND 3128PS-6U-6 Treasury Bond Coupon Rate: 3.5 1,359,036 13,707,000 XXX 11/01/2025 IV

Bank of America, N.A. B4TYDEB6GKMZO031MB27 TREASURY BOND 31381T-F8-8 Treasury Bond Coupon Rate: 3.68 1,555,491 1,794,000 XXX 11/01/2039 IV

Bank of America, N.A. B4TYDEB6GKMZO031MB27 TREASURY BOND 3138LD-HY-2 Treasury Bond Coupon Rate: 3.34 1,603,590 1,582,000 XXX 03/01/2031 IV

Bank of America, N.A. B4TYDEB6GKMZO031MB27 TREASURY BOND 3138NJ-BG-2 Treasury Bond Coupon Rate: 2.421 1,113,170 3,508,000 XXX 10/01/2022 IV

Bank of America, N.A. B4TYDEB6GKMZO031MB27 TREASURY BOND 3138YE-PP-6 Treasury Bond Coupon Rate: 3 1,641,796 4,257,000 XXX 03/01/2030 IV

Bank of America, N.A. B4TYDEB6GKMZO031MB27 TREASURY BOND 31413L-5K-1 Treasury Bond Coupon Rate: 3.5 879,160 1,566,000 XXX 09/01/2037 IV

Bank of America, N.A. B4TYDEB6GKMZO031MB27 TREASURY BOND 31418C-RJ-5 Treasury Bond Coupon Rate: 3 1,315,225 2,136,000 XXX 11/01/2032 IV

Bank of America, N.A. B4TYDEB6GKMZO031MB27 TREASURY BOND 36179N-QB-7 Treasury Bond Coupon Rate: 3 942,896 3,885,000 XXX 10/20/2028 IV

Bank of America, N.A. B4TYDEB6GKMZO031MB27 TREASURY BOND 36179T-V6-9 Treasury Bond Coupon Rate: 4 211,972 416,000 XXX 04/20/2048 IV

Bank of America, N.A. B4TYDEB6GKMZO031MB27 TREASURY BOND 36179U-6U-1 Treasury Bond Coupon Rate: 3 743,847 757,000 XXX 11/20/2049 IV

CREDIT AGRICOLE CORPORATE & INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 Cash 000000-00-0 CASH 575,000 575,000 XXX IV

Citibank, N.A. 57ODZWZ7FF32TWEFA76 Cash 000000-00-0 CASH 30,728,627 30,728,627 XXX IV

Credit Suisse International E58DKGMJYYYJLN8C3868 Cash 000000-00-0 CASH 38,900,000 38,900,000 XXX IV

Goldman Sachs International W22LROWP2IHZNBB6K528 Cash 000000-00-0 CASH 30,650,000 30,650,000 XXX IV

HSBC Bank USA, National Association 1IE8VN30JCEQV1H4R804 Cash 000000-00-0 CASH 1,020,001 1,020,001 XXX IV

JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 Cash 000000-00-0 CASH 1,560,000 1,560,000 XXX IV

NATIXIS SA KX1WK48MPD4Y2NCUIZ63 Cash 000000-00-0 CASH 15,940,000 15,940,000 XXX IV

Royal Bank of Canada ES7IP3U3RHIGC71XBU11 Cash 000000-00-0 CASH 1,580,000 1,580,000 XXX IV

Societe Generale O2RNE8IBXP4R0TD8PU41 Cash 000000-00-0 CASH 12,450,000 12,450,000 XXX IV

Wells Fargo Bank, N. A. KB1H1DSPRFMYMCUFXT09 Cash 000000-00-0 CASH 12,860,000 12,860,000 XXX IV

CME Group Inc./Goldman Sachs and Co. LCZ7XYGSLJUHFXXNXD88 Cash 000000-00-0 CASH 66,575 66,575 XXX V

CME Group Inc./Morgan Stanley & Co. LLC LCZ7XYGSLJUHFXXNXD88 Cash 000000-00-0 CASH 229,813 229,813 XXX V

LCH/Morgan Stanley & Co. LLC WAM6YERMS7OXFZUOY219 Cash 000000-00-0 CASH 632,430 632,430 XXX V

0299999999 - Total 176,260,509 217,117,446 XXX XXX XXX

E09


Schedule DB - Part E - Derivatives Hedging Variable Annuity Guarantees

N O N E

Schedule DL - Part 1 - Reinvested Collateral Assets Owned

N O N E

Schedule DL - Part 2 - Reinvested Collateral Assets Owned

N O N E

E10, E11, E12


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. Charlotte, NC 0.000 0 0 2,308,116 2,863,480 1,985,535 XXX

Federal Home Loan Bank of

Topeka Topeka, KS 0.020 218 0 2,458,031 2,612,110 367,663 XXX

JPMorgan Chase Bank, N.A. Columbus, OH 0.000 0 0 11,411,493 (35,368,559) 8,216,858 XXX

People's United Bank Bridgeport, CT 0.000 0 0 353,206 416,375 369,450 XXX

PNC Bank, NA Wilmington, DE 0.000 0 0 174,175,033 223,190,514 226,711,726 XXX

The Bank of New York Mellon New York, NY 0.010 1,216 0 24,141,912 29,057,066 17,049,965 XXX

The Northern Trust Company Chicago, IL 0.000 0 0 (921,517) (2,127,263) (702,226) XXX

Wells Fargo Bank, N.A. Sioux Falls, SD 0.000 0 0 3,304,069 2,707,959 3,213,804 XXX

0199998. Deposits in ... 0 depositories that do not exceed the allowable limit in any one depository (See instructions) - Open Depositories XXX XXX 0 0 0 0 0 XXX

0199999. Totals - Open Depositories XXX XXX 1,434 0 217,230,343 223,351,682 257,212,775 XXX

0299998. Deposits in ... 0 depositories that do not exceed the allowable limit in any one depository (See instructions) - Suspended Depositories XXX XXX 0 0 0 0 0 XXX

0299999. Totals - Suspended Depositories XXX XXX 0 0 0 0 0 XXX

0399999. Total Cash on Deposit XXX XXX 1,434 0 217,230,343 223,351,682 257,212,775 XXX

0499999. Cash in Company's Office XXX XXX XXX XXX 0 0 0 XXX

0599999. Total - Cash XXX XXX 1,434 0 217,230,343 223,351,682 257,212,775 XXX

E13


SCHEDULE E - PART 2 - CASH EQUIVALENTSShow Investments Owned End of Current Quarter

1

CUSIP

2

Description

3

Code

4

Date Acquired

5

Rate of Interest

6

Maturity Date


8Amount of InterestDue and Accrued

9Amount Received

During Year

0599999. Total - U.S. Government Bonds 0 0 0

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

LOWES COMPANES INC. 03/02/2020 1.723 04/02/2020 2,249,740 0 0

3299999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) - Issuer Obligations 2,249,740 0 0

3899999. Total - Industrial and Miscellaneous (Unaffiliated) Bonds 2,249,740 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

6599999. Subtotal - Unaffiliated Bank Loans 0 0 0

7699999. Total - Issuer Obligations 2,249,740 0 0

7799999. Total - Residential Mortgage-Backed Securities 0 0 0

7899999. Total - Commercial Mortgage-Backed Securities 0 0 0

7999999. Total - Other Loan-Backed and Structured Securities 0 0 0

8099999. Total - SVO Identified Funds 0 0 0

8199999. Total - Affiliated Bank Loans 0 0 0

8299999. Total - Unaffiliated Bank Loans 0 0 0

8399999. Total Bonds 2,249,740 0 0

60934N-10-4 FEDERATED INVESTORS TR GOVT OBLIG OH 03/30/2020 0.000 9,078,727 0 0

8599999. Subtotal - Exempt Money Market Mutual Funds - as Identified by the SVO 9,078,727 0 0

8899999 - Total Cash Equivalents 11,328,467 0 0

E14

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