REINSURANCE AGREEMENT (FA BUSINESS)

Exhibit 10.1

EXECUTION COPY

between

ATHENE ANNUITY & LIFE ASSURANCE COMPANY

and

VOYA INSURANCE AND ANNUITY COMPANY

effective as of June 1, 2018

Treaty Number DEVFACO - 060118

TABLE OF CONTENTS

Page

ARTICLE I GENERAL PROVISIONS 1


Section 1.01	Defined Terms 1


Section 1.02	Other Definitional Provisions 8

ARTICLE II COVERAGE 8


Section 2.01	Scope and Basis of Reinsurance 8


Section 2.02	Policy Changes 9


Section 2.03	Reinstatement of Surrendered Policies 9


Section 2.04	Misstatement of Fact 9


Section 2.05	Credited Rates and Non-Guaranteed Elements 9


Section 2.06	Programs of Internal Replacement 10


Section 2.07	Conservation Program 10


Section 2.08	Retrocession 10


Section 2.09	Interest Maintenance Reserve 10


Section 2.10	Valuation of Liabilities 10

ARTICLE III REINSURANCE PREMIUMS 10


Section 3.01	Reinsurance Premiums 10


Section 3.02	Initial Premium; True-Up 10

ARTICLE IV CEDING COMMISSION 11


Section 4.01	Ceding Commission 11

ARTICLE V ADMINISTRATION FEE 12


Section 5.01	Policy Expenses 12

ARTICLE VI REINSURED LIABILITIES 12


Section 6.01	Reinsured Liabilities 12


Section 6.02	Claims Settlement 12


Section 6.03	Recoveries 12

ARTICLE VII REPORTING AND SETTLEMENTS 13


Section 7.01	Ceding Company Reporting 13


Section 7.02	Reinsurer Reporting 14


Section 7.03	Settlements 15

ARTICLE VIII HEDGING; FUNDS WITHHELD ACCOUNT 16


Section 8.01	Existing ▇▇▇▇▇▇ 16


Section 8.02	Funds Withheld Account 17

ARTICLE IX CREDIT FOR REINSURANCE; CUSTODY ACCOUNT 17


Section 9.01	Credit for Reinsurance 17


Section 9.02	Custody Account 18


Section 9.03	Ceding Company Withdrawals 18


Section 9.04	Custody Account Settlements 18


Section 9.05	Additional Reinsurer Withdrawals 19


Section 9.06	Substitutions 19


Section 9.07	Termination of Ceding Company’s Withdrawal Rights 20

ARTICLE X ADMINISTRATION 20


Section 10.01	Policy Administration 20


Section 10.02	Record-Keeping 20

ARTICLE XI TERM AND TERMINATION 21


Section 11.01	Duration of Agreement 21


Section 11.02	Recapture 21


Section 11.03	Recapture Payment 21


Section 11.04	Survival 22

ARTICLE XII ERRORS AND OMISSIONS 22


Section 12.01	Errors and Omissions 22

ARTICLE XIII DISPUTE RESOLUTION 23


Section 13.01	Negotiation 23


Section 13.02	Arbitration; Waiver of Trial by Jury 23

ARTICLE XIV INSOLVENCY 25


Section 14.01	Insolvency 25

ARTICLE XV TAXES 26


Section 15.01	Taxes 26


Section 15.02	DAC Tax Election 26


Section 15.03	Tax Treatment 27

ARTICLE XVI REPRESENTATIONS, WARRANTIES AND COVENANTS 27


Section 16.01	Representations and Warranties of the Ceding Company 27


Section 16.02	Covenants of the Ceding Company 28


Section 16.03	Representations and Warranties of the Reinsurer 29


Section 16.04	Covenants of the Reinsurer 30

ARTICLE XVII MISCELLANEOUS 31


Section 17.01	Currency 31


Section 17.02	Interest 31


Section 17.03	Right of Setoff and Recoupment 31


Section 17.04	No Third-Party Beneficiaries 31


Section 17.05	Amendment 32


Section 17.06	Notices 32


Section 17.07	Consent to Jurisdiction 33


Section 17.08	Service of Process 33


Section 17.09	Inspection of Records 33


Section 17.10	Confidentiality 34


Section 17.11	Successors 34


Section 17.12	Entire Agreement 35


Section 17.13	Severability 35


Section 17.14	Construction 35


Section 17.15	Non-Waiver 35


Section 17.16	Further Assurances 35


Section 17.17	Governing Law 35


Section 17.18	Counterparts 36

Schedules

I. Policy Forms and Riders

II. Policy Expenses

III. Initial Premium Assets

IV. Asset Valuation Methodology

V. Existing Index ▇▇▇▇▇▇

VI. Existing Other ▇▇▇▇▇▇

VII. Reinsurer Reports

iii

Exhibits


A.	Form of Weekly Accounting Report


B.	Form of Monthly Accounting Report


C.	Form of Quarterly Accounting Report


D.	Account Value Roll-Forward Information Fields


E.	Seriatim Information Fields

REINSURANCE AGREEMENT

This REINSURANCE AGREEMENT (this “Agreement”), effective as of June 1, 2018 (the “Effective Date”), is made by and between Voya Insurance and Annuity Company, an insurance company organized under the Laws of the State of Iowa (the “Ceding Company”), and Athene Annuity & Life Assurance Company, a reinsurance company organized under the Laws of the State of Delaware (the “Reinsurer”).

WITNESSETH:

WHEREAS, Athene Holding Ltd (“AHL”), VA Capital Company LLC (the “Buyer Parent”), and Voya Financial, Inc. (the “Seller”) have entered into a Master Transaction Agreement, dated as of December 20, 2017 (the “Master Agreement”), pursuant to which, among other things, the Seller will sell, and Venerable Holdings, Inc., a wholly owned subsidiary of the Buyer Parent (the “Buyer”), will purchase, all of the issued and outstanding shares of common stock of the Ceding Company;

WHEREAS, in connection with the closing of the sale of the Ceding Company to the Buyer, the Ceding Company and Athene Life Re Ltd., a wholly owned subsidiary of AHL (“ALRe”), have entered into a reinsurance transaction pursuant to which the Ceding Company cedes, and ALRe accepts, on a modified coinsurance basis, an eighty percent (80%) quota share of certain liabilities with respect to certain fixed annuity business of the Ceding Company; and

WHEREAS, in connection with the closing of the sale of the Ceding Company to the Buyer, the Ceding Company and the Reinsurer, an indirect wholly owned subsidiary of AHL, wish to enter into a coinsurance transaction with respect to certain fixed annuity business of the Ceding Company; and

WHEREAS, subject to the terms, conditions and limitations contained herein, the Ceding Company desires to cede, on a coinsurance basis, and the Reinsurer desires to accept, the Reinsured Liabilities (as defined below).

NOW, THEREFORE, in consideration of the mutual promises and agreements contained herein, the Ceding Company and the Reinsurer hereby agree as follows:

ARTICLE I
GENERAL PROVISIONS

Section 1.01 Defined Terms. As used in this Agreement, the following terms shall have the following meanings:

“Action” shall mean (a) any civil, criminal or administrative action, suit, claim, litigation, arbitration or similar proceeding, in each case, before a Governmental Entity, or (b) any investigation or written inquiry by a Governmental Entity other than any examination by a taxing authority, including a tax audit.

“Affiliate” shall mean, with respect to any Person, another Person that directly or indirectly, through one or more intermediaries, controls, is controlled by or is under common control with, such first Person, and the term “Affiliated” shall have a correlative meaning. For the purposes of this definition, “control”, when used with respect to any Person, means the power to direct the management and policies of such Person, directly or indirectly through the ownership of voting securities, by contract, or otherwise, and the terms “controlling” and “controlled” have the meanings correlative to the foregoing. For the avoidance of doubt, the Ceding Company and the Reinsurer shall not be deemed “Affiliates” for purposes of this Agreement.

“Agreement” shall have the meaning specified in the Preamble hereto.

“AHL” shall have the meaning specified in the Recitals hereto.

“ALRe” shall have the meaning specified in the Recitals hereto.

“Applicable Tax Gross-Up Percentage” shall mean, (a) with respect to the Pre-Tax Reform Existing IMR, 65%, (b) with respect to the Post-Tax Reform Existing IMR, one minus the highest federal tax rate applicable to United States corporations at the time such interest maintenance reserves were established, and (c) with respect to the New Effective Date IMR, one minus the highest federal tax rate applicable to United States corporations as of the Effective Date.

“Authorized Representative” shall have the meaning specified in Section 14.01(a)(i).

“Business Day” shall mean any day other than a Saturday, Sunday or any other day on which banking institutions are authorized or required by Law to close in New York, New York or Des Moines, Iowa.

“Buyer” shall have the meaning specified in the Recitals hereto.

“Buyer Parent” shall have the meaning specified in the Recitals hereto.

“Ceded IMR” shall mean, collectively, as of any date of determination, the amount of the Existing IMR that remains unamortized as of such date and the amount of the New Effective Date IMR that remains unamortized as of such date, in each case, determined in accordance with Delaware SAP.

“Ceded Reserves” shall mean an amount equal to the Quota Share of the Net Statutory Reserves.

“Ceding Company” shall have the meaning specified in the Preamble hereto.

“Code” shall mean the Internal Revenue Code of 1986, as amended.

“Company Required Initial Premium” shall have the meaning specified in Section 3.02(b).

“Custodian” shall have the meaning specified in Section 9.02(a).

“Custody Account” shall have the meaning specified in Section 9.02(a).

“Custody Account Required Balance” shall have the meaning specified in Section 9.02(a).

“Custody Account Valuation Report” shall have the meaning specified in Section 9.04(a).

“Custody Agreement” shall have the meaning specified in Section 9.02(a).

“Delaware SAP” shall mean the statutory accounting principles and practices prescribed or permitted for Delaware life insurance companies by the Delaware Department of Insurance, consistently applied by the Reinsurer.

“Effective Date” shall have the meaning specified in the Preamble hereto.

“Estimated Company Ceding Commission” shall have the meaning specified in the Master Agreement.

“Estimated Company Required Initial Premium” shall have the meaning specified in Section 3.02(c).

“Excluded Liabilities” shall mean without duplication (a) all Extra-Contractual Obligations other than Reinsurer Extra-Contractual Obligations, (b) any liabilities resulting from any change to the terms of any Reinsured Policy after the Effective Date, unless such change is required by applicable Law or by the express terms of the Reinsured Policies, or has been approved in writing in advance by the Reinsurer, (c) any liabilities other than Reinsured Liabilities and (d) any ex gratia payments made by the Ceding Company (i.e., payments the Ceding Company is not required to make under the terms of the Reinsured Policies) unless such payment has been approved in writing in advance by the Reinsurer.

“Existing Hedge Proceeds” shall have the meaning specified in Section 8.01(a).

“Existing ▇▇▇▇▇▇” shall mean all Existing Index ▇▇▇▇▇▇ and Existing Other ▇▇▇▇▇▇.

“Existing IMR” shall mean the Quota Share of the Ceding Company’s interest maintenance reserves relating to the Reinsured Policies as of the Effective Date, determined in accordance with Iowa SAP.

“Existing Index ▇▇▇▇▇▇” shall mean all derivatives and other ▇▇▇▇▇▇ purchased by the Ceding Company prior to the Effective Date to hedge the index risk associated with the Reinsured Policies that remain in full force and effect as of the Effective Date and are listed on Schedule V. For the avoidance of doubt, following the expiration or exercise of any Existing Index Hedge, such expired or exercised hedge shall no longer be considered an Existing Index Hedge.

“Existing Other ▇▇▇▇▇▇” shall mean all derivatives and other ▇▇▇▇▇▇ purchased by the Ceding Company prior to the Effective Date to hedge risk other than the index risk associated with the Reinsured Policies that remain in full force and effect as of the Effective Date and are listed on

Schedule VI. For the avoidance of doubt, following the expiration or exercise of any Existing Other Hedge, such expired or exercised hedge shall no longer be considered an Existing Other Hedge.

“Extra-Contractual Obligations” shall mean any liabilities or obligations not arising under the express terms and conditions of, or in excess of the applicable policy limits of, the Reinsured Policies, including liabilities or obligations for fines, penalties, taxes, fees, forfeitures, compensatory damages, and punitive, special, treble, bad faith, tort, exemplary or other forms of extra-contractual damages awarded against or paid by the Ceding Company, which liabilities or obligations arise from any act, error or omission committed by the Ceding Company or any of its Affiliates or any of the directors, officers, employees, agents, representatives, annuity producers, administrators, service providers, successors or assigns of the Ceding Company or any of its Affiliates, whether or not intentional, negligent, in bad faith or otherwise relating to (a) the form, marketing, sale, underwriting, production, issuance, cancellation or administration of the Reinsured Policies, (b) the investigation, defense, trial, settlement or handling of claims, benefits or payments under the Reinsured Policies, (c) the failure to pay, the delay in payment, or errors in calculating or administering the payment of benefits, claims or any other amounts due or alleged to be due under or in connection with the Reinsured Policies, (d) fines or other penalties associated with escheat or unclaimed property liabilities arising under or relating to the Reinsured Policies, (e) the failure of the Reinsured Policies or the payments thereunder to qualify for their intended or expected tax status, or (f) any tax, penalty or interest imposed in respect of any withholding or reporting obligation of the Ceding Company in respect of taxes.

“Factual Information” shall have the meaning specified in Section 16.01(d).

“Fair Market Value” shall mean, as of any date of determination, (a) with respect to any Existing Hedge, the market value of such Existing Hedge on such date of determination as determined in accordance with the Iowa SAP, and (b) with respect to any other asset, the market value of such asset on such date of determination as determined in accordance with Schedule IV attached hereto.

“Final Company Ceding Commission” shall have the meaning specified in the Master Agreement.

“Funds Withheld Account” shall have the meaning specified in Section 8.02.

“Funds Withheld Amount” shall mean, as of any date of determination, the aggregate Fair Market Value of the Existing ▇▇▇▇▇▇ as of such date.

“Governmental Entity” shall mean any foreign, federal, state, local or other governmental, legislative, judicial, administrative or regulatory authority, agency, commission, board, body, court or entity or any instrumentality thereof or any self-regulatory body or arbitral body or arbitrator.

“Initial Premium” shall have the meaning specified in Section 3.02(a).

“Initial Premium Assets” shall have the meaning specified in Section 3.02(d).

“Iowa SAP” shall mean the statutory accounting principles and practices prescribed or permitted for Iowa life insurance companies by the Iowa Insurance Division, consistently applied by the Ceding Company; provided, that, for purposes of calculating the Net Statutory Reserves as of the Effective Date, Iowa SAP as applied by the Ceding Company shall include the methodology for calculating indexed annuity product reserves set forth in Iowa Administrative Code Chapter 191-97.

“Law” shall mean any law, statute, ordinance, written rule or regulation, order, injunction, judgment, decree, principle of common law, constitution or treaty enacted, promulgated, issued, enforced or entered by any Governmental Entity.

“Master Agreement” shall have the meaning specified in the Recitals hereto.

“Monthly Accounting Period” shall have the meaning specified in Section 7.01(b).

“Monthly Accounting Report” shall have the meaning specified in Section 7.01(b).

“Monthly Settlement Amount” shall have the meaning specified in Section 7.03(b).

“Net Statutory Reserves” shall mean the net statutory reserves of the Ceding Company in respect of the Reinsured Policies, which shall be calculated in good faith on a seriatim basis in accordance with Iowa SAP and using valuation interest rates determined in a manner consistent with the Ceding Company’s historical practices; provided, however, that Net Statutory Reserves shall not include (a) additional actuarial reserves (as used in connection with Iowa SAP), if any, established by the Ceding Company as a result of its annual cash flow testing, (b) any asset valuation reserves (as used in connection with Iowa SAP) established by the Ceding Company, (c) any interest maintenance reserves (as used in connection with Iowa SAP) established by the Ceding Company or (d) any other reserve not directly attributable to specific Reinsured Policies.

“New Effective Date IMR” shall mean any new interest maintenance reserve that is created on the Effective Date as a result of the transactions contemplated by this Agreement, determined in accordance with Iowa SAP.

“Non-Payout Annuities” shall have the meaning specified in Section 7.01.

“Non-Public Personal Information” shall have the meaning specified in Section 17.10(b).

“Payout Annuities” shall have the meaning specified in Section 7.01.

“Permits” shall mean any licenses, certificates of authority or other similar certificates, registrations, franchises, permits, approvals or other similar authorizations issued to a Person by a Governmental Entity.

“Permitted Investments” shall have the meaning specified in Section 9.02(b).

“Person” shall mean an individual, corporation, partnership, joint venture, limited liability company, association, trust, unincorporated organization, Governmental Entity or other entity.

“Policy Expenses” shall have the meaning specified in Section 5.01.

“Post-Effective Date IMR” shall mean the interest maintenance reserve relating to the Reinsured Liabilities generated after the Effective Date, determined in accordance with Delaware SAP.

“Post-Tax Reform Existing IMR” shall mean the portion of the Existing IMR established after any change after the date of the Master Agreement to the highest federal tax rate applicable to United States corporations.

“Pre-Tax Reform Existing IMR” shall mean the portion of the Existing IMR established prior to any change after the date of the Master Agreement to the highest federal tax rate applicable to United States corporations.

“Proprietary Information” shall have the meaning specified in Section 17.10(a).

“Quarterly Accounting Period” shall have the meaning specified in Section 7.01(c).

“Quarterly Accounting Report” shall have the meaning specified in Section 7.01(c).

“Quarterly Settlement Amount” shall have the meaning specified in Section 7.03(c).

“Quota Share” shall mean twenty percent (20%).

“Recapture Effective Date” shall mean the date on which the liability of the Reinsurer with respect to all of the Reinsured Policies is terminated pursuant to Section 11.02 or the effective date of the rejection of this Agreement by any Receiver or of a recapture in full.

“Recapture Payment” shall have the meaning specified in Section 11.03(a).

“Receiver” shall have the meaning specified in Section 11.03(a).

“Reinsurance Credit Event” shall have the meaning specified in Section 9.01(a).

“Reinsurance Premiums” shall mean the Quota Share of the premiums, policy loan principal and interest payments, and other fees, amounts, payments, collections and recoveries received by the Ceding Company with respect to the Reinsured Policies.

“Reinsured Liabilities” shall mean the Quota Share of (a) liabilities of the Ceding Company with respect to claims, net of applicable surrender charges and market value adjustments, if any, for benefits related to partial surrenders, full surrenders, death claims, annuitizations, policy loans and other contractual benefits under the Reinsured Policies, (b) the Reinsurer Extra-Contractual Obligations, (c) liabilities with respect to premium taxes payable by the Ceding Company to the extent relating to premiums with respect to the Reinsured Policies that are issued after the Effective Date, (d) premium taxes and guaranty fund assessments payable by the Ceding Company to the extent relating to premiums received by the Ceding Company with respect to the Reinsured Policies and (e) trail commissions payable to producers with respect to the Reinsured Policies and other

commissions payable with respect to premiums received by the Ceding Company after the Effective Date and paid to the Reinsurer; provided, that in no event shall “Reinsured Liabilities” include any Excluded Liabilities.

“Reinsured Policies” shall mean (a) all fixed annuity contracts issued by the Ceding Company on the policy forms that are listed on Schedule I and in force on the Effective Date, including any riders that are listed on Schedule I and any amendments or endorsements attached thereto as of the Effective Date, (b) all fixed annuity contracts assumed by the Ceding Company pursuant to the reinsurance agreements listed on Schedule I, (c) all supplementary contracts, whether with or without life contingencies, issued by the Ceding Company on or following the Effective Date upon the annuitization of any annuity contract referenced in (a) or (b) above or (d) below, and (d) all fixed annuity contracts of the type referenced in clause (a) above that are issued by the Ceding Company during the sixty (60) days following the Effective Date, including any amendments or endorsements attached thereto.

“Reinsurer” shall have the meaning specified in the Preamble hereto.

“Reinsurer Extra-Contractual Obligations” shall mean Extra-Contractual Obligations relating to the Reinsured Policies to the extent caused by, arising from or related to any act of, or failure to act by, the Reinsurer or any of its Affiliates following the Effective Date.

“Reserves Report” shall have the meaning specified in Section 7.02(a).

“Seller” shall have the meaning specified in the Recitals hereto.

“Statutory Carrying Value” shall mean, as of the relevant date of determination, (a) with respect to the Existing ▇▇▇▇▇▇, the amount permitted to be carried by the Ceding Company as an admitted asset consistent with Iowa SAP, and (b) with respect to assets held in the Custody Account, the amount permitted to be carried by the Reinsurer as an admitted asset consistent with Delaware SAP.

“Terminal Accounting Report” shall have the meaning specified in Section 11.03(a).

“Treasury Regulations” shall mean all proposed, temporary and final regulations promulgated under the Code, as such regulations may be amended from time to time.

“Unamortized Ceding Commission” shall mean an amount equal to: (a) the portion of the Final Company Ceding Commission allocated by the Reinsurer and the Ceding Company to this Agreement, multiplied by (b)(i) the Ceded Reserves as of the Recapture Effective Date, divided by (ii) the Ceded Reserves as of the Effective Date; provided, however, that as of any date of determination on or following the tenth anniversary of the Effective Date, the Unamortized Ceding Commission will be zero.

“Weekly Accounting Report” shall have the meaning specified in Section 7.01(a).

“Weekly Settlement Amount” shall have the meaning specified in Section 7.03(a).

Section 1.02 Other Definitional Provisions.

(a) For purposes of this Agreement, the words “hereof,” “herein,” “hereby” and other words of similar import refer to this Agreement as a whole, including all Schedules and Exhibits to this Agreement, unless otherwise indicated.

(b) Whenever the singular is used herein, the same shall include the plural, and whenever the plural is used herein, the same shall include the singular, where appropriate.

(d) Whenever used in this Agreement, the masculine gender shall include the feminine and neutral genders and vice versa.

(e) The Schedules and Exhibits hereto are hereby incorporated by reference into the body of this Agreement.

(f) All references herein to Articles, Sections, Subsections, Paragraphs, Exhibits and Schedules shall be deemed references to Articles and Sections and Subsections and Paragraphs of, and Exhibits and Schedules to, this Agreement unless the context shall otherwise require.

(g) All terms defined in this Agreement shall have the defined meaning when used in any Schedule, Exhibit, certificate, report or other documents attached hereto or made or delivered pursuant hereto unless otherwise defined therein.

ARTICLE II
COVERAGE

Section 2.01 Scope and Basis of Reinsurance.

(a) This Agreement shall be effective as of 12:00:01 a.m. Eastern Time on the Effective Date.

(b) This Agreement is an agreement for indemnity reinsurance made solely between the Ceding Company and the Reinsurer.

(c) Subject to the terms, conditions and limits of this Agreement (including the exclusion from coverage of Excluded Liabilities), the Ceding Company shall automatically cede and the Reinsurer shall automatically reinsure (i) on a funds withheld basis, a portion of the Reinsured Liabilities equal to the Funds Withheld Amount, and (ii) on a coinsurance basis, all other Reinsured Liabilities.

(d) Subject to the terms, conditions and limits of this Agreement (including the exclusion from coverage of Excluded Liabilities), the Reinsurer shall follow the fortunes of the Ceding Company, and to that end the Reinsurer’s liability for the Reinsured Policies shall be identical to that of the Ceding Company and shall be subject to the same risks, terms, conditions,

interpretations, waivers, modifications, alterations and cancellations to which the Ceding Company is subject with respect to the Reinsured Policies, subject in each case to the Ceding Company’s duty to adhere to its obligations pursuant to Article X.

(e) Notwithstanding anything to the contrary herein, the Reinsurer shall not be liable for any Excluded Liabilities.

Section 2.02 Policy Changes.

(a) The Ceding Company shall not, without the prior written consent of the Reinsurer, terminate, amend, modify or waive any provision or provisions of the Reinsured Policies, except to the extent required by applicable Law or the express terms of the Reinsured Policies.

(b) Any such terminations, amendments, modifications or waivers made without the prior written consent of the Reinsurer shall be disregarded for purposes of this Agreement, and the reinsurance with respect to the affected Reinsured Policy will continue as if such termination, amendment, modification or waiver had not been made.

Section 2.03 Reinstatement of Surrendered Policies. If a Reinsured Policy that has been surrendered is reinstated according to its terms and the Ceding Company’s reinstatement policies, the Reinsurer will, upon notification, automatically reinstate the reinsurance with respect to such Reinsured Policy; provided, that, to the extent that the reinstatement of such Reinsured Policy requires payment of premiums in arrears or reimbursement of claims paid, the Ceding Company shall pay to the Reinsurer all Reinsurance Premiums in arrears and all reimbursements of Reinsured Liabilities paid on such Reinsured Policy.

Section 2.04 Misstatement of Fact. In the event of a change in the amount payable under a Reinsured Policy due to a misstatement of fact, the Reinsurer’s liability with respect to such Reinsured Policy will change proportionately. Such Reinsured Policy will be rewritten from commencement on the basis of the adjusted amounts using premiums and such other terms based on the correct facts, and the proper adjustment for the difference in Reinsurance Premiums, without interest, will be made.

Section 2.05 Credited Rates and Non-Guaranteed Elements. The Ceding Company will be responsible for establishing contractual guarantees, credited interest rates and other non-guaranteed elements of the Reinsured Policies; provided, that the Reinsurer shall be permitted to provide recommendations regarding the contractual guarantees, credited interest rates and other non-guaranteed elements and index strategies of the Reinsured Policies and, to the extent such recommendations comply with applicable Law, generally accepted actuarial standards of practice, the terms of the Reinsured Policies and any recommendations provided by ALRe, the Ceding Company shall not unreasonably take any actions that contravene such recommendations and shall promptly incorporate such recommendations. If the Ceding Company fails to adhere to such recommendations, then the Ceding Company shall promptly notify the Reinsurer in writing of such failure.

Section 2.06 Programs of Internal Replacement. The Ceding Company shall not solicit, or allow any of its Affiliates to solicit, directly or indirectly, policy holders of the Reinsured Policies in connection with any program of internal replacement. The term “program of internal replacement” means any program sponsored or supported by the Ceding Company or any of its Affiliates that is offered to a class of policy owners and in which a Reinsured Policy or a portion of a Reinsured Policy is exchanged for another policy that is written by the Ceding Company or any Affiliate of the Ceding Company or any successor or assignee of any of them.

Section 2.07 Conservation Program. Upon the request of the Reinsurer, the Ceding Company shall reasonably cooperate and work with the Reinsurer in good faith to develop and implement a conservation program with respect to the Reinsured Policies.

Section 2.08 Retrocession. The Reinsurer may retrocede all or any portion of the risks ceded to it pursuant to this Agreement without the consent of the Ceding Company.

Section 2.09 Interest Maintenance Reserve. The Ceding Company and the Reinsurer agree that the Ceded IMR shall be ceded to and maintained by the Reinsurer.

Section 2.10 Valuation of Liabilities. The Reinsurer shall calculate the statutory reserves and tax reserves with respect to the Reinsured Policies; provided, that, the Ceding Company shall provide reasonable support and assistance to the Reinsurer in connection with such calculations with respect to the calendar quarters ending June 30, 2018, September 30, 2018 and December 31, 2018.

ARTICLE III
REINSURANCE PREMIUMS

Section 3.01 Reinsurance Premiums. The payment of Reinsurance Premiums and the Company Required Initial Premium is a condition precedent to the liability of the Reinsurer under this Agreement. All Reinsurance Premiums other than the Company Required Initial Premium shall be payable in accordance with Section 7.03.

Section 3.02 Initial Premium; True-Up.

(a) The initial premium payable by the Ceding Company to the Reinsurer shall be an amount equal to (i) the Ceded Reserves as of the Effective Date, plus (ii) the Pre-Tax Reform Existing IMR, divided by the Applicable Tax Gross-Up Percentage, plus (iii) the Post-Tax Reform Existing IMR, divided by the Applicable Tax Gross-Up Percentage, plus (iv) the New Effective Date IMR, divided by the Applicable Tax Gross-Up Percentage, plus (v) the Quota Share of $67.5 million (the “Initial Premium”);

(b) The payment of the Initial Premium shall be satisfied on the Effective Date by the payment by the Ceding Company to the Reinsurer in accordance with this Section 3.02 of an initial premium equal to the following (the “Company Required Initial Premium”):

(i) the Ceded Reserves as of the Effective Date, plus

(ii) the Pre-Tax Reform Existing IMR, divided by the Applicable Tax Gross-Up Percentage, plus

(iii) the Post-Tax Reform Existing IMR, divided by the Applicable Tax Gross-Up Percentage, plus

(iv) the New Effective Date IMR, divided by the Applicable Tax Gross-Up Percentage, minus

(v) the Quota Share of the amount of outstanding policy loans on the Reinsured Policies as of the Effective Date, if any, net of any unearned policy loan interest on such loans but including amounts of interest due and accrued with respect thereto, minus

(vi) the Quota Share of the aggregate Statutory Carrying Value of the Existing ▇▇▇▇▇▇ as of the Effective Date (for the avoidance of doubt, determined immediately prior to giving effect to the cession of the Reinsured Liabilities to the Reinsurer hereunder), plus

(vii) the Quota Share of $67.5 million.

(c) The amount of the Company Required Initial Premium actually paid on the Effective Date (such estimated amount, the “Estimated Company Required Initial Premium”) shall be determined on an estimated basis in accordance with the Master Agreement.

(d) To effectuate the payment of the Estimated Company Required Initial Premium, the Ceding Company shall transfer to the Reinsurer assets with an aggregate Fair Market Value equal to such Estimated Company Required Initial Premium. A list of the assets so transferred to the Reinsurer (the “Initial Premium Assets”), including an estimate of the Fair Market Value of each such asset as of the Effective Date, is set forth on Schedule III attached hereto. The Initial Premium Assets shall be assigned or endorsed in blank by the Ceding Company to the Reinsurer in order to transfer to the Reinsurer absolutely and unequivocally all right, title and interest in such assets.

(e) The Estimated Company Required Initial Premium shall be subject to adjustment following the Effective Date in accordance with the Master Agreement.

ARTICLE IV
CEDING COMMISSION

Section 4.01 Ceding Commission. The Reinsurer shall pay to the Ceding Company on the Effective Date the portion of the Estimated Company Ceding Commission allocated by the Reinsurer and the Ceding Company to this Agreement. The Estimated Company Ceding Commission shall be subject to a post-Effective Date adjustment in accordance with the Master Agreement.

ARTICLE V
ADMINISTRATION FEE

Section 5.01 Policy Expenses. On a quarterly basis, the Reinsurer shall pay the Ceding Company an administrative expense fee (“Policy Expenses”) to cover the cost of providing all administrative and other services necessary or appropriate in connection with the administration of the Reinsured Policies and the Reinsured Liabilities in an amount calculated in accordance with Schedule II attached hereto. The Policy Expenses shall be payable by the Reinsurer to the Ceding Company in accordance with Section 7.03.

ARTICLE VI
REINSURED LIABILITIES

Section 6.01 Reinsured Liabilities. Subject to Sections 6.02 and 6.03, the Reinsurer shall pay to the Ceding Company the Reinsured Liabilities in accordance with Section 7.03.

Section 6.02 Claims Settlement.

(a) Subject to Section 6.02(b) and 6.03, the Ceding Company shall be responsible for the settlement of claims with respect to the Reinsured Liabilities in accordance with Article X, applicable Law and the terms and conditions of the Reinsured Policies.

(a) The Ceding Company shall notify the Reinsurer in writing if the Ceding Company determines that a claim for payment under a Reinsured Policy either requires investigation or should be contested or denied. The Reinsurer and the Ceding Company shall consult in good faith regarding the disposition of any such claim. The Reinsurer may, but shall not be required to, recommend to the Ceding Company how to handle such claim. In the event of any disagreement between the Ceding Company and the Reinsurer as to the validity or amount of such a claim, the Reinsurer shall have final authority over the disposition of such claim; provided, however, that if ALRe provides a recommendation regarding the handling of such claim, then the Ceding Company shall be permitted to follow such recommendation.

Section 6.03 Recoveries. Subject to Section 6.02(b), if the Ceding Company obtains any recoveries in respect of a claim with respect to the Reinsured Liabilities paid by it in accordance with the terms of any Reinsured Policy, the Ceding Company shall promptly pay to the Reinsurer the Quota Share of such recoveries.

ARTICLE VII
REPORTING AND SETTLEMENTS

Section 7.01 Ceding Company Reporting.

(a) Within three (3) Business Days following the end of each calendar week, the Ceding Company shall deliver to the Reinsurer a weekly accounting report (a “Weekly Accounting Report”) substantially in the form set forth in Exhibit A for such calendar week. The parties shall from time to time amend Exhibit A as necessary to appropriately effectuate the terms and conditions of this Agreement and to ensure the accounting and settlements made hereunder are correctly computed.

(b) Within five (5) Business Days following the end of each calendar month, the Ceding Company shall deliver to the Reinsurer a monthly accounting report (a “Monthly Accounting Report”) substantially in the form set forth in Exhibit B for such calendar month (a “Monthly Accounting Period”). The parties shall from time to time amend Exhibit B as necessary to appropriately effectuate the terms and conditions of this Agreement and to ensure the accounting and settlements made hereunder are correctly computed.

(c) Within five (5) Business Days following the receipt of the Reserves Report by the Ceding Company, the Ceding Company shall deliver to the Reinsurer a quarterly accounting report (a “Quarterly Accounting Report”) substantially in the form set forth in Exhibit C for such calendar quarter (a “Quarterly Accounting Period”). The parties shall from time to time amend Exhibit C as necessary to appropriately effectuate the terms and conditions of this Agreement and to ensure the accounting and settlements made hereunder are correctly computed.

(d) Within ten (10) Business Days following the end of each calendar quarter and any Recapture Effective Date, the Ceding Company shall deliver to the Reinsurer a report setting forth the Ceded IMR, as of the end of such calendar quarter or such Recapture Effective Date, as applicable.

(e) (i) Within four (4) Business Days following the end of each Monthly Accounting Period, the Ceding Company shall deliver to the Reinsurer a report of the Reinsured Policies in the form specified by the Reinsurer, which shall include, among other things, data feeds underlying roll-forward of policy count and account values with respect to the Reinsured Policies as identified in Exhibit D as of the end of such Monthly Accounting Period, the final form of which the parties will negotiate in good faith and (ii) within three (3) Business Days following the end of each Monthly Accounting Period solely with respect to the payout annuities comprising the Reinsured Policies (the “Payout Annuities”) and within one (1) Business Day following the end of each Monthly Accounting Period with respect to all Reinsured Policies other than the Payout Annuities (the “Non-Payout Annuities”), the Ceding Company shall deliver to the Reinsurer a report of the Reinsured Policies in the form specified by the Reinsurer, which shall include, among other things, a report setting forth seriatim information with respect to each of the Reinsured Policies, including the information identified in Exhibit E, the final form of which the parties will negotiate in good faith and which shall be redacted such that it does not include Non-Public Personal Information, as of the end of such Monthly Accounting Period.

(f) Within five (5) Business Days following the end of each Monthly Accounting Period, the Ceding Company shall deliver to the Reinsurer a report of the Existing ▇▇▇▇▇▇ and the effectiveness thereof in a form mutually agreed upon by the Ceding Company and the Reinsurer.

(h) The Ceding Company shall deliver to the Reinsurer: (i) within five (5) Business Days following the filing of the Ceding Company’s unaudited annual statement with the Iowa Insurance Division but no later than March 20 of each year, a copy of such unaudited annual statement; (ii) within five (5) Business Days of the filing of the Ceding Company’s audited annual statutory financial statements with the Iowa Insurance Division but no later than June 20 of each year, a copy of such annual statutory financial statements; and (iii) within five (5) Business Days following the filing of the Ceding Company’s unaudited quarterly statutory financial statements with the Iowa Insurance Division but no later than sixty (60) calendar days following the end of each calendar quarter, a copy of such unaudited quarterly statutory financial statements.

(i) Upon request, the Ceding Company will, within a reasonable timeframe, provide the Reinsurer with any additional information related to the Reinsured Policies available to the Ceding Company and not reasonably available to the Reinsurer which the Reinsurer requires in order to complete its financial statements or is otherwise required to comply with regulatory requirements. The Reinsurer will identify and communicate any such requests to the Ceding Company sufficiently in advance of any required deadlines such that the applicable information and timing for the provision thereof can be mutually agreed by the parties.

(j) The Ceding Company acknowledges that timely and correct compliance with the reporting requirements of this Agreement are a material element of the Ceding Company’s responsibilities hereunder and an important basis of the Reinsurer’s ability to reinsure the risks hereunder. Consistent and material non-compliance with reporting requirements, including extended delays, will constitute a material breach of the terms of this Agreement.

Section 7.02 Reinsurer Reporting.

(a) Within ten (10) Business Days following the end of each calendar quarter and any Recapture Effective Date, the Reinsurer shall deliver to the Ceding Company a report (the “Reserves Report”) setting forth (i) the Ceded Reserves, determined on a seriatim basis, and (ii) the Post-Effective Date IMR, as of the end of such calendar quarter or such Recapture Effective Date, as applicable.

(b) The Reinsurer shall deliver, or cause to be delivered, to the Ceding Company, the Custody Account Valuation Report as set forth in Section 9.04(a).

(c) The Reinsurer shall deliver to the Ceding Company: (i) within five (5) Business Days following the filing of the Reinsurer’s unaudited annual statement with the Delaware Department of Insurance but no later than May 20 of each year, a copy of such unaudited annual statement; (ii) within five (5) Business Days of the filing of the Reinsurer’s audited annual statutory financial statements with the Delaware Department of Insurance but no later than June 20 of each year, a copy of such annual statutory financial statements; and (iii) within five (5) Business Days

following the filing of the Reinsurer’s unaudited quarterly statutory financial statements with the Delaware Department of Insurance but no later than sixty (60) calendar days following the end of each calendar quarter, a copy of such unaudited quarterly statutory financial statements.

(d) The Reinsurer shall provide to the Ceding Company the additional reports set forth on Schedule VII at the times set forth on Schedule VII.

(e) Upon request, the Reinsurer will, within a reasonable timeframe, provide the Ceding Company with any additional information related to the Reinsured Policies available to the Reinsurer and not reasonably available to the Ceding Company which the Ceding Company reasonably requires in order to complete its financial statements or is otherwise required to comply with regulatory requirements. The Ceding Company will identify and communicate any such requests to the Reinsurer sufficiently in advance of any required deadlines such that the applicable information and timing for the provision thereof can be mutually agreed by the parties.

Section 7.03 Settlements.

(a) An interim net balance payable under this Agreement for each calendar week (as set forth in the applicable Weekly Accounting Report, the “Weekly Settlement Amount”) shall be calculated by the Ceding Company and reported to the Reinsurer in the Weekly Accounting Report delivered with respect to such period. Each Weekly Settlement Amount shall be payable as follows:

(i) If the Weekly Settlement Amount with respect to any period is positive, then the Ceding Company shall pay to the Reinsurer an amount equal to such Weekly Settlement Amount on the date on which such Weekly Settlement Amount is reported by the Ceding Company to the Reinsurer; or

(ii) If the Weekly Settlement Amount with respect to any period is negative, then the Reinsurer shall pay to the Ceding Company an amount equal to the absolute value of such Weekly Settlement Amount within two (2) Business Days following the date on which such Weekly Settlement Amount is reported by the Ceding Company to the Reinsurer.

All Weekly Settlement Amounts paid during any Monthly Accounting Period shall be reflected in the Monthly Accounting Report with respect to such Monthly Accounting Period and taken into account in determining the Monthly Settlement Amount with respect to such Monthly Accounting Period. All Weekly Settlement Amounts paid during any Quarterly Accounting Period shall be reflected in the Quarterly Accounting Report with respect to such Quarterly Accounting Period and taken into account in determining the Quarterly Settlement Amount with respect to such Quarterly Accounting Period.

(b) The net balance payable under this Agreement for each Monthly Accounting Period (as set forth in the applicable Monthly Accounting Report, the “Monthly Settlement Amount”) shall be calculated by the Ceding Company and reported to the Reinsurer in

the Monthly Accounting Report delivered with respect to such Monthly Accounting Period. Each Monthly Settlement Amount shall be payable as follows:

(i) if the Monthly Settlement Amount indicated in the Monthly Accounting Report is positive, then the Ceding Company shall pay to the Reinsurer, by wire transfer of immediately available funds on the date of delivery of such Monthly Accounting Report to the Reinsurer, an amount equal to such Monthly Settlement Amount; or

(ii) if the Monthly Settlement Amount indicated in a Monthly Accounting Report is negative, then the Reinsurer shall pay to the Ceding Company, by wire transfer of immediately available funds within five (5) Business Days following the delivery of such Monthly Accounting Report to the Reinsurer, an amount equal to the absolute value of such Monthly Settlement Amount.

(c) The net balance payable under this Agreement for each Quarterly Accounting Period (as set forth in the applicable Quarterly Accounting Report, the “Quarterly Settlement Amount”) shall be calculated by the Ceding Company and reported to the Reinsurer in the Quarterly Accounting Report delivered with respect to such Quarterly Accounting Period. Each Quarterly Settlement Amount shall be payable as follows:

(i) if the Quarterly Settlement Amount indicated in the Quarterly Accounting Report is positive, then the Ceding Company shall pay to the Reinsurer, by wire transfer of immediately available funds on the date of delivery of such Quarterly Accounting Report to the Reinsurer, an amount equal to such Quarterly Settlement Amount; or

(ii) if the Quarterly Settlement Amount indicated in a Quarterly Accounting Report is negative, then the Reinsurer shall pay to the Ceding Company, by wire transfer of immediately available funds within five (5) Business Days following the delivery of such Quarterly Accounting Report to the Reinsurer, an amount equal to the absolute value of such Quarterly Settlement Amount.

(d) Except as otherwise set forth herein, any amount due under this Agreement shall be paid by wire transfer of immediately available funds to the account or accounts designated by the recipient thereof.

ARTICLE VIII
HEDGING; FUNDS WITHHELD ACCOUNT

Section 8.01 Existing ▇▇▇▇▇▇.

(a) The Ceding Company hereby assigns to the Reinsurer, as of the Effective Date, a fractional interest in the gross proceeds in respect of all Existing ▇▇▇▇▇▇ equivalent to the Quota Share of all amounts actually received (or deemed received) by the Ceding Company pursuant to the Existing ▇▇▇▇▇▇ from the relevant hedge counterparty, including upon an early exercise of an Existing Hedge by the Ceding Company, which amounts shall be determined without regard to

any netting of amounts between the Ceding Company and the relevant hedge counterparty with respect to any derivatives that are not Existing ▇▇▇▇▇▇ (the “Existing Hedge Proceeds”), and such assignment shall be effected through deposit or attribution to the Funds Withheld Account. Such assignment shall occur automatically, without further action on the part of either party, on the Effective Date. Upon any termination of this Agreement, all of the Reinsurer’s right, title and interest (legal, equitable and otherwise) in and to the Existing Hedge Proceeds will be immediately assigned to the Ceding Company without any further action by the parties hereto.

(b) Any Existing Hedge Proceeds shall be attributed to the Funds Withheld Account and reflected in the Monthly Accounting Report for the applicable Monthly Accounting Period. The Ceding Company shall pay to the Reinsurer any Existing Hedge Proceeds in accordance with Section 7.03.

(c) Other than with respect to the Existing ▇▇▇▇▇▇, the Reinsurer shall be responsible for hedging its share of the index risk and other risk associated with the Reinsured Policies.

Section 8.02 Funds Withheld Account. On the Effective Date, (a) the Ceding Company shall (i) establish on its books a funds withheld account (the “Funds Withheld Account”), (ii) allocate to such Funds Withheld Account the Quota Share of the Existing ▇▇▇▇▇▇, and (iii) establish and maintain on its books an account payable to the Reinsurer in the amount of the Funds Withheld Amount, and (b) the Reinsurer shall establish on its books an account receivable from the Ceding Company in the amount of the Funds Withheld Amount as of such date.

ARTICLE IX
CREDIT FOR REINSURANCE; CUSTODY ACCOUNT

Section 9.01 Credit for Reinsurance. The Reinsurer shall maintain in full force and effect at all times during the term of this Agreement all Permits that are necessary to ensure that the Ceding Company will receive credit on its statutory financial statements in its domiciliary State for the reinsurance provided pursuant to this Agreement. If the Reinsurer fails to maintain all such Permits or the Ceding Company otherwise does not receive credit on its statutory financial statements in its domiciliary State for the reinsurance provided pursuant to this Agreement (a “Reinsurance Credit Event”), then the Reinsurer shall promptly take such steps as are necessary to: (a) restore such Permits; (b) become accredited as a reinsurer in the domiciliary State of the Ceding Company; or (c) establish a qualified reinsurance trust or provide a letter of credit or other form of collateral permitted under applicable Law, in each case, such that the Ceding Company shall be able to obtain credit on its statutory financial statements in its domiciliary State for the reinsurance provided by this Agreement, it being understood that the Reinsurer shall have the sole discretion to elect among the methods available to it. All such steps shall be completed no later than the end of the calendar quarter in which such Reinsurance Credit Event occurs.

Section 9.02 Custody Account.

(a) In order to secure the obligations of the Reinsurer hereunder, on the Effective Date, the Reinsurer, the Ceding Company and Citibank, N.A. (the “Custodian”) shall

enter into a collateral account control agreement (the “Custody Agreement”), pursuant to which the Reinsurer shall establish a custody account (the “Custody Account”) in which it will maintain assets supporting the Reinsured Liabilities. On the Effective Date, the Reinsurer shall deposit, or cause to be deposited, into the Custody Account Permitted Investments with an aggregate Statutory Carrying Value equal to the Custody Account Required Balance as of the Effective Date. The “Custody Account Required Balance” as of any date of determination shall be an amount equal to the sum of (i) the Ceded Reserves. (ii) the Ceded IMR and (iii) the Post-Effective Date IMR, each as of such date.

(b) The Custody Account assets shall be subject to withdrawal from the Custody Account in accordance with the Custody Agreement. The Reinsurer shall bear the administrative costs and expenses related to the establishment and maintenance of the Custody Account, including the applicable fees of the Custodian. The Reinsurer shall be permitted to manage and make investment decisions with respect to the assets in the Custody Account, including through one or more investment managers; provided, however, that the assets in the Custody Account shall be comprised solely of investments of the type that qualify under applicable insurance laws of the State of Delaware as admitted assets for a life insurance company domiciled in the State of Delaware (the “Permitted Investments”). At the Reinsurer’s discretion, any derivatives purchased by the Reinsurer to hedge its share of risks associated with the Reinsured Policies may be held in the Custody Account, to the extent that such ▇▇▇▇▇▇ qualify as Permitted Investments.

Section 9.03 Ceding Company Withdrawals. The Ceding Company shall have the right, subject to five (5) Business Days’ prior written notice to the Reinsurer, to withdraw assets from the Custody Account to the extent the Reinsurer fails to pay any amount due to the Ceding Company under this Agreement (after taking into account all applicable cure periods, if any). If the Reinsurer objects to any such prior written notice of withdrawal, the dispute will be resolved in accordance with Section 13.02. The Ceding Company shall promptly return (or instruct the Custodian to return) to the Custody Account any assets withdrawn from the Custody Account in excess of the actual amounts permitted by this Section 9.03. Pending such return of assets, the Ceding Company shall hold all such assets separate and apart from any assets of the Ceding Company for the sole benefit of the Reinsurer. In connection with any such return of assets to the Custody Account, the Ceding Company shall also transfer to the Custody Account an amount of interest at a rate of six percent (6%) per annum, calculated on a 30/360 basis, for the period that such assets were held by the Ceding Company.

Section 9.04 Custody Account Settlements.

(a) Within ten (10) Business Days following the end of each Quarterly Accounting Period, the Reinsurer shall deliver, or cause to be delivered, to the Ceding Company a report setting forth a list of the assets maintained in the Custody Account and the Statutory Carrying Value of each such asset, in each case, as of the end of such Quarterly Accounting Period (each, a “Custody Account Valuation Report”).

(b) Within five (5) Business Days following the delivery by the Reinsurer of the Custody Account Valuation Report:

(i) If the aggregate Statutory Carrying Value of the Permitted Investments maintained in the Custody Account as of the end of the applicable Quarterly Accounting Period is greater than the Custody Account Required Balance as of the end of such Quarterly Accounting Period, then the Reinsurer shall be permitted to withdraw assets from the Custody Account having an aggregate Statutory Carrying Value equal to such excess; and

(ii) If the aggregate Statutory Carrying Value of the Permitted Investments maintained in the Custody Account as of the end of the applicable Quarterly Accounting Period is less than the Custody Account Required Balance as of the end of such Quarterly Accounting Period, then the Reinsurer shall deposit, or cause to be deposited, in the Custody Account Permitted Investments having an aggregate Statutory Carrying Value equal to such deficiency.

Section 9.05 Additional Reinsurer Withdrawals.

(a) In addition to the withdrawal rights set forth in Section 9.04(b) and the substitution rights set forth in Section 9.06, the Reinsurer shall be permitted to withdraw assets from the Custody Account for any of the following purposes:

(i) to pay to the Ceding Company any Weekly Settlement Amount, Monthly Settlement Amount, Quarterly Settlement Amount or any other amounts payable by the Reinsurer hereunder; or

(ii) to reimburse the Reinsurer for any Weekly Settlement Amount, Monthly Settlement Amount, Quarterly Settlement Amount or other amount paid by the Reinsurer to the Ceding Company with assets held outside of the Custody Account.

(b) The Reinsurer shall promptly return to the Custody Account any assets withdrawn from the Custody Account in excess of the actual amounts permitted by Section 9.04(b) or this Section 9.05. Pending such return of assets, the Reinsurer shall hold all such assets separate and apart from any other assets of the Reinsurer for the sole benefit of the Ceding Company.

Section 9.06 Substitutions. In addition to the withdrawal rights set forth above, the Reinsurer will be permitted at any time to substitute all or any part of the assets in the Custody Account with other Permitted Investments having an aggregate Statutory Carrying Value equal to or exceeding the aggregate Statutory Carrying Value of the substituted assets; provided, however, that the fair market value of any Permitted Investment being deposited into the Custody Account in connection with any substitution shall be equal to or greater than the fair market value of the substituted asset, unless the fair market value of such substituted asset is greater than the Statutory Carrying Value of such substituted asset, in which case, the Permitted Investment being deposited into the Custody Account in connection with such substitution must have a fair market value equal to or greater than the Statutory Carrying Value of such substituted asset. For purposes of this Section 9.06, the fair market value of any such asset shall be determined by the Reinsurer in good faith in the same manner in which it determines the fair market value of other investment assets of the Reinsurer that are held outside of the Custody Account.

Section 9.07 Termination of Ceding Company’s Withdrawal Rights. The Reinsurer and the Ceding Company shall take all actions necessary to terminate the Custody Agreement upon the termination of this Agreement and the settlement of all amounts due by the Reinsurer to the Ceding Company under this Agreement.

ARTICLE X
ADMINISTRATION

Section 10.01 Policy Administration. The Ceding Company shall provide all required, necessary and appropriate claims, administrative and other services, including reporting under Article VII, with respect to the Reinsured Policies and the Existing ▇▇▇▇▇▇. The Ceding Company shall conduct its administration and claims practices with respect to the Reinsured Policies and the Existing ▇▇▇▇▇▇ (a) with a level of skill, diligence and expertise that would reasonably be expected from experienced and qualified personnel performing such duties in similar circumstances, (b) in accordance with applicable Law and the terms of the Reinsured Policies, and (c) in a manner no less favorable to the Reinsurer, the Reinsured Polices and the Existing ▇▇▇▇▇▇ than those used by the Ceding Company with respect to other policies of the Ceding Company not reinsured by the Reinsurer hereunder or other ▇▇▇▇▇▇ of the Ceding Company. The Ceding Company shall not outsource any administrative functions or claims administration with respect to the Reinsured Policies or this Agreement without the prior written consent of the Reinsurer. If the Reinsurer consents to any outsourcing of any administrative functions or claims administration with respect to the Reinsured Policies or this Agreement, the Ceding Company shall secure the Reinsurer’s right to audit and inspect the party performing such outsourced services.

Section 10.02 Record-Keeping.

(a) Each of the Ceding Company and Reinsurer shall maintain all records and correspondence for services performed by such party hereunder relating to the Reinsured Policies in accordance with industry standards of insurance record-keeping. In addition, such records shall be made available for examination, audit, and inspection by the other party, or the department of insurance of any State within whose jurisdiction the Ceding Company or the Reinsurer operates. The Ceding Company and the Reinsurer further agree that in the event of the termination of this Agreement, any such records in the possession of the Reinsurer shall promptly be duplicated and forwarded to the Ceding Company unless otherwise instructed.

(b) The Ceding Company shall establish and maintain an adequate system of internal controls and procedures for financial reporting relating to the Reinsured Policies, including associated documentation, and shall make such documentation available for examination and inspection by the Reinsurer. All reports provided by the Ceding Company pursuant to Article VII shall be prepared in accordance with such system and procedures and shall be consistent with the Ceding Company’s books and records.

ARTICLE XI
TERM AND TERMINATION

Section 11.01 Duration of Agreement. This Agreement shall continue in force until such time as the Ceding Company has no further liabilities or obligations with respect to the Reinsured Liabilities. In the event this Agreement is terminated, the Ceding Company shall promptly notify the Iowa Insurance Division of such termination.

Section 11.02 Recapture.

(a) Neither party shall be permitted to cause a recapture of the Reinsured Policies except in accordance with this Section 11.02. For the avoidance of doubt, neither party shall be permitted to cause a partial recapture of the Reinsured Policies pursuant to this Section 11.02.

(b) Recapture for Non-Payment. Either party may cause the Reinsured Policies to be recaptured in full and this Agreement to be terminated as to all Reinsured Policies if the other party fails to pay any amounts due under this Agreement within thirty (30) calendar days following written notice of non-payment from the non-defaulting party.

(c) Recapture by Ceding Company for Other Material Breach. The Ceding Company may terminate this Agreement and recapture all of the Reinsured Policies in the event the Reinsurer materially breaches this Agreement and fails to cure such material breach within thirty (30) calendar days following written notice thereof from the Ceding Company.

(d) Recapture for Insolvency of Reinsurer. The Ceding Company may terminate this Agreement and recapture all of the Reinsured Policies in the event that the Reinsurer becomes insolvent (as set forth in Article XIV) by promptly providing the Reinsurer or its Authorized Representative with written notice of recapture, to be effective as of the date on which the Reinsurer’s insolvency is established by the authority responsible for such determination. Any requirement for a notification period prior to the termination of this Agreement shall not apply under such circumstances.

Section 11.03 Recapture Payment.

(a) In the event the Reinsured Policies are recaptured in full (including if this Agreement is rejected by any liquidator, receiver, rehabilitator, trustee or similar Person acting on behalf of the Ceding Company (a “Receiver”)), a net accounting and settlement as to any balance due under this Agreement shall be undertaken by the Ceding Company in accordance with Article VII, which calculations shall be as of the Recapture Effective Date. Within five (5) Business Days following the Recapture Effective Date, the Ceding Company shall deliver to the Reinsurer a final Quarterly Accounting Report as of the Recapture Effective Date (the “Terminal Accounting Report”), and the final Quarterly Settlement Amount set forth in such Terminal Accounting Report shall be paid in accordance with Section 7.03. In addition, within ten (10) Business Days after Recapture Effective Date, the Reinsurer shall deliver to the Ceding Company a report setting forth the amount of the Recapture Payment. Within fifteen (15) Business Days after the Recapture

Effective Date, the Reinsurer shall pay to the Ceding Company an amount (the “Recapture Payment”) equal to:

(i) the Ceded Reserves, plus

(ii) the amount of the Pre-Tax Reform Existing IMR that remains unamortized as of the Recapture Effective Date, divided by the Applicable Tax Gross-Up Percentage, plus

(iii) the amount of the Post-Tax Reform Existing IMR that remains unamortized as of the Recapture Effective Date, divided by the Applicable Tax Gross-Up Percentage, plus

(iv) the amount of the New Effective Date IMR that remains unamortized as of the Recapture Effective Date, divided by the Applicable Tax Gross-Up Percentage, plus

(v) the amount of the Post-Effective Date IMR as of the Recapture Effective Date plus the amount of any new interest maintenance reserve that is created on the Recapture Effective Date as a result of the recapture, minus

(vi) the Unamortized Ceding Commission;

in each case, as of the Recapture Effective Date. The Reinsurer may, at its option, pay the Recapture Payment in cash by wire transfer of immediately available funds or, with the consent of the Ceding Company (which consent shall not be unreasonably withheld, conditioned or delayed), in kind with assets with an aggregate fair market value (determined in accordance with a methodology agreed to by the Ceding Company and the Reinsurer that is substantially similar to the methodology set forth on Schedule IV) equal to such amount; provided, that no such consent shall be required with respect to any such assets set forth on Schedule III.

(b) Either party’s right to terminate the reinsurance provided hereunder will not prejudice its right to collect amounts owed to it hereunder, including applicable interest as specified in Section 17.02, for the period during which such reinsurance was in force, through and including any notice period.

Section 11.04 Survival. All provisions of this Agreement will survive any termination of this Agreement and recapture of the Reinsured Policies to the extent necessary to carry out the purpose of this Agreement.

ARTICLE XII
ERRORS AND OMISSIONS

Section 12.01 Errors and Omissions. Any unintentional or accidental failure to comply with the terms of this Agreement which can be shown to be the result of an oversight or clerical error relating to the administration of reinsurance by either party will not constitute a breach

of this Agreement; provided, that, upon discovery, the error shall be promptly corrected so that both parties are restored to the position they would have occupied had the oversight or clerical error not occurred. In the event a payment is corrected, the party receiving the payment shall be entitled to interest in accordance with Section 17.02. Should it not be possible to restore both parties to this position, the party responsible for the oversight or clerical error will be responsible for any resulting liabilities and expenses.

ARTICLE XIII
DISPUTE RESOLUTION

Section 13.01 Negotiation.

(a) Within fifteen (15) calendar days after the Reinsurer or the Ceding Company has given the other party written notification of a specific dispute arising out of or relating to this Agreement, each party will appoint a designated officer of its company to attempt to resolve such dispute. The officers will meet at a mutually agreeable time and location as soon as reasonably possible and as often as reasonably necessary in order to gather and furnish the other with all appropriate and relevant information concerning the dispute. Any such meetings may be held by telephone or video conference. The officers will discuss the matter in dispute and will negotiate in good faith without the necessity of formal arbitration proceedings. During the negotiation process, all reasonable requests made by one officer to the other for information will be honored. The specific format for such discussions will be decided by the designated officers.

(b) If the officers cannot resolve the dispute within thirty (30) calendar days of their first meeting, the dispute will be submitted to formal arbitration pursuant to Section 13.02, unless the parties agree in writing to extend the negotiation period for an additional thirty (30) calendar days.

Section 13.02 Arbitration; Waiver of Trial by Jury.

(a) It is the intention of the Reinsurer and the Ceding Company that the customs and practices of the insurance and reinsurance industry will be given full effect in the operation and interpretation of this Agreement. If the Reinsurer and the Ceding Company cannot mutually resolve a dispute that arises out of or relates to this Agreement, including the validity of this Agreement, and the dispute cannot be resolved through the negotiation process, then the dispute will be finally settled by arbitration in accordance with the provisions of this Section 13.02.

(b) To initiate arbitration, either the Ceding Company or the Reinsurer will notify the other party by certified mail of its desire to arbitrate, stating the nature of the dispute and the remedy sought.

(c) Any arbitration pursuant to this Section 13.02 will be conducted before a panel of three (3) arbitrators who will be current or former officers of life insurance or reinsurance companies other than the parties to this Agreement, their Affiliates or subsidiaries, or other professionals with experience in life insurance or reinsurance; provided, that such professionals shall not have performed services for either party or its Affiliates within the previous five (5) years.

Each of the arbitrators will be familiar with the prevailing customs and practices for reinsurance in the life insurance and reinsurance industry in the United States. Each of the parties will appoint one arbitrator and the two (2) so appointed will select the third arbitrator who shall be independent and impartial. If either party refuses or fails to appoint an arbitrator within sixty (60) calendar days after the other party has given written notice to such party of its arbitrator appointment, the party that has given notice may appoint the second arbitrator. If the two (2) arbitrators do not agree on a third arbitrator within thirty (30) calendar days of the appointment of the second arbitrator, then the third arbitrator shall be selected by the ▇▇▇▇▇-U.S. Umpire Selection Procedure (available at ▇▇▇.▇▇▇▇▇-▇▇.▇▇▇), subject to the arbitrator qualification requirements of this paragraph.

(d) Each arbitration hearing under this Agreement will be held on the date set by the arbitrators at a mutually agreed upon location. In no event will this date be later than six (6) months after the appointment of the third arbitrator. As soon as possible, the arbitrators will establish arbitration procedures as warranted by the facts and issues of the particular case. Notwithstanding Section 17.17, the arbitration and this Section 13.02 shall be governed by Title 9 (Arbitration) of the United States Code.

(e) The arbitrators will base their decision on the terms and conditions of this Agreement and the customs and practices of the insurance and reinsurance industries rather than on strict interpretation of the law. The decision of the arbitrators will be made by majority rule and will be final and binding on both parties, unless (i) the decision was procured by corruption, fraud or other undue means; (ii) there was evident partiality by an arbitrator or corruption in any of the arbitrators or misconduct prejudicing the rights of any party; or (iii) the arbitrators exceeded their powers. Subject to the preceding sentence, neither party may seek judicial review of the decision of the arbitrators. The arbitrators shall enter an award which shall do justice between the parties and the award shall be supported by written opinion. The parties agree that the federal courts in the State of Iowa, or the State courts of such State, have jurisdiction to hear any matter relating to compelling arbitration or enforcing the judgment of an arbitral panel, and the parties hereby consent to such jurisdiction. Each party hereby waives, to the fullest extent permitted by Law, any objection it may now or hereafter have to the laying of such venue, or any claim that a proceeding has been brought in an inconvenient forum. In addition, the Ceding Company and the Reinsurer hereby consent to service of process out of such courts at the addresses set forth in Section 17.06.

(f) Unless the arbitrators decide otherwise, each party will bear the expense of its own arbitration activities, including its appointed arbitrator and any outside attorney and witness fees. The parties will jointly bear the expense of the third arbitrator.

(g) Waiver of Trial by Jury. THE REINSURER AND THE CEDING COMPANY HEREBY WAIVE ANY AND ALL RIGHTS TO TRIAL BY JURY IN ANY MATTER ARISING OUT OF OR RELATING TO THIS AGREEMENT.

ARTICLE XIV
INSOLVENCY

Section 14.01 Insolvency.

(a) A party to this Agreement will be deemed “insolvent” when it:

(i) applies for or consents to the appointment of a receiver, rehabilitator, conservator, liquidator or statutory successor (the “Authorized Representative”) of its properties or assets;

(ii) is adjudicated as bankrupt or insolvent;

(iii) files or consents to the filing of a petition in bankruptcy, seeks reorganization or an arrangement with creditors or takes advantage of any bankruptcy, dissolution, liquidation, rehabilitation, conservation or similar Law; or

(iv) becomes the subject of an order to rehabilitate or an order to liquidate as defined by the insurance code of the jurisdiction of the party’s domicile.

(b) In the event of the insolvency of either party, the rights or remedies of this Agreement will remain in full force and effect.

(c) Insolvency of the Ceding Company. In the event of the insolvency, liquidation or rehabilitation of the Ceding Company or the appointment of a liquidator, receiver or statutory successor of the Ceding Company, the reinsurance coverage provided hereunder shall be payable by the Reinsurer directly to the Ceding Company or to its liquidator, receiver or statutory successor, on the basis of the liability of the Ceding Company for the Reinsured Liabilities without diminution because of such insolvency, liquidation, rehabilitation or appointment or because such liquidator, receiver or statutory successor has failed to pay any claims or any portion thereof. In any such event, the reinsurance being provided hereunder shall be payable immediately upon demand, with reasonable provision for verification, on the basis of claims allowed against the Ceding Company by any court of competent jurisdiction or by any liquidator, receiver or statutory successor. In any such event, the liquidator, receiver or statutory successor of the Ceding Company shall give written notice to the Reinsurer of the pendency of each claim against the Ceding Company with respect to such Reinsured Liabilities within a reasonable time after each such claim is filed in the insolvency, liquidation or rehabilitation proceeding. During the pendency of any such claims, the Reinsurer may, at its own expense, investigate such claim and interpose in the proceeding in which such claim is to be adjudicated any defense or defenses that the Reinsurer may reasonably deem available to the Ceding Company or its liquidator, receiver or statutory successor. For the avoidance of doubt, the Reinsurer will be liable only for benefits reinsured as benefits become due under the terms of the Reinsured Policies and will not be or become liable for any amounts or reserves to be held by the Ceding Company as to the Reinsured Policies or for any damages or payments resulting from the termination or restructuring of the Reinsured Policies, in each case, that are not otherwise expressly covered by this Agreement.

ARTICLE XV
TAXES

Section 15.01 Taxes. No taxes, allowances, or other expenses will be paid by the Reinsurer to the Ceding Company for any Reinsured Policy, except as specifically referred to in this Agreement.

Section 15.02 DAC Tax Election. The Ceding Company and the Reinsurer hereby elect and agree under Treasury Regulations Section 1.848-2(g)(8) as follows:

(a) The Ceding Company and the Reinsurer will each attach a schedule to its federal income tax return for the first taxable year ending after the Effective Date that identifies this Agreement as a reinsurance agreement for which a joint election under Treasury Regulation Section 1.848-2(g)(8) has been made, and will otherwise file its respective federal income tax returns in a manner consistent with the provisions of Treasury Regulation Section 1.848-2 as in effect on the date this Agreement is executed;

(b) For each taxable year under this Agreement, the party hereto with the net positive consideration, as defined in the regulations promulgated under Section 848 of the Code, will capitalize specified policy acquisition expenses with respect to this Agreement without regard to the general deductions limitation of Section 848(c)(1) of the Code;

(c) The Ceding Company and the Reinsurer agree to exchange information pertaining to the amount of net consideration under this Agreement each year to ensure consistency or as otherwise required by the Code and applicable Treasury Regulations;

(d) The first tax year for which this election is effective is 2018;

(e) The Reinsurer will submit to the Ceding Company by May 15 each year its calculation of the amount of the net consideration for the preceding calendar year. This schedule of calculations will be accompanied by a statement that the Reinsurer will report such amount of net consideration in its tax return for the preceding calendar year;

(f) The Ceding Company may contest such calculation by providing an alternative calculation to the Reinsurer in writing within thirty (30) calendar days of the Ceding Company’s receipt of the Reinsurer’s calculation. If the Ceding Company does not so notify the Reinsurer, the Ceding Company will report the amount of net consideration as determined by the Reinsurer in the Ceding Company’s tax return for the previous calendar year;

(g) If the Ceding Company contests the Reinsurer’s calculation of the amount of net consideration, the parties will act in good faith to reach an agreement as to the correct amount within thirty (30) calendar days of the date on which the Ceding Company submits its alternative calculation.

Both the Ceding Company and the Reinsurer are subject to U.S. taxation under Subchapter L of Chapter 1 of the Code.

Section 15.03 Tax Treatment. The parties hereto acknowledge and agree that the transaction contemplated by this Agreement constitutes an “applicable asset acquisition” as defined in Section 1060 of the Code and the regulations thereunder. Within thirty (30) calendar days following the Effective Date, the Reinsurer shall deliver a schedule setting forth an allocation of the consideration paid by the Reinsurer for federal income tax purposes among the assets acquired by the Reinsurer pursuant to this transaction. The parties shall negotiate in good faith to resolve any disagreements with respect to such schedule. Each party shall file all tax returns and Form 8594 in a manner consistent with the schedule as ultimately agreed.

ARTICLE XVI
REPRESENTATIONS, WARRANTIES AND COVENANTS

Section 16.01 Representations and Warranties of the Ceding Company. The Ceding Company hereby represents and warrants to the Reinsurer, as of the Effective Date, as follows:

(a) Organization and Qualification. The Ceding Company is a corporation duly incorporated, validly existing and in good standing under the Laws of the State of Iowa and has all requisite corporate power and authority to operate its business as now conducted, and is duly qualified as a foreign corporation to do business, and, to the extent legally applicable, is in good standing, in each jurisdiction where the character of its owned, operated or leased properties or the nature of its activities makes such qualification necessary, except for failures to be so qualified or be in good standing that, individually or in the aggregate, do not have, and would not reasonably be expected to have, a material adverse effect on the Ceding Company’s ability to perform its obligations under this Agreement.

(b) Authorization. The Ceding Company has all requisite corporate power to enter into, consummate the transactions contemplated by and carry out its obligations under, this Agreement. The execution and delivery by the Ceding Company of this Agreement, and the consummation by the Ceding Company of the transactions contemplated by, and the performance by the Ceding Company of its obligations under, this Agreement have been duly authorized by all requisite corporate action on the part of the Ceding Company. This Agreement has been duly executed and delivered by the Ceding Company, and (assuming due authorization, execution and delivery by the Reinsurer) this Agreement constitutes the legal, valid and binding obligation of the Ceding Company, enforceable against it in accordance with its terms, subject to the effect of any applicable bankruptcy, reorganization, insolvency, moratorium, or similar Laws relating to or affecting creditors’ rights generally.

(c) No Conflict. The execution, delivery and performance by the Ceding Company of, and the consummation by the Ceding Company of the transactions contemplated by, this Agreement do not and will not (i) violate or conflict with the organizational documents of the Ceding Company, (ii) conflict with or violate any Law or Permit of any Governmental Entity applicable to the Ceding Company or by which it or its properties or assets is bound or subject, or (iii) result in any breach of, or constitute a default (or event which, with the giving of notice or lapse of time, or both, would become a default) under, or give to any Person any rights of termination, acceleration or cancellation of, any agreement, lease, note, bond, loan or credit

agreement, mortgage, indenture or other instrument, obligation or contract of any kind to which the Ceding Company or any of its subsidiaries is a party or by which the Ceding Company or any of its subsidiaries or any of their respective properties or assets is bound or affected, except, in the case of clause (iii), any such conflicts, violations, breaches, loss of contractual benefits, defaults or rights that, individually or in the aggregate, do not have, and would not reasonably be expected to have, a material adverse effect on the Ceding Company’s ability to perform its obligations under this Agreement.

(d) Factual Information Relating to the Reinsured Policies. The information relating to the business reinsured under this Agreement and the Reinsured Policies that was supplied by or on behalf of the Ceding Company to the Reinsurer or any of the Reinsurer’s representatives in connection with this Agreement (such information, the “Factual Information”), as of the date supplied (or if later corrected or supplemented prior to the date hereof, as of the date corrected or supplemented), did not contain any untrue statement of a material fact or omit to state any material fact necessary to make such Factual Information, taken as a whole, not misleading in light of the circumstances under which the statements contained therein were made, and was otherwise complete and accurate in all material respects. The Factual Information was compiled in a commercially reasonable manner given its intended purpose.

(e) Solvency. The Ceding Company is and will be Solvent on a statutory basis immediately after giving effect to this Agreement. For the purposes of this Section 16.01(e), “Solvent” means that: (i) the aggregate assets of the Ceding Company are greater than the aggregate liabilities of the Ceding Company, in each case determined in accordance with Iowa SAP; (ii) the Ceding Company does not intend to, and does not believe that it will, incur debts or other liabilities beyond its ability to pay such debts and other liabilities as they come due; and (iii) the Ceding Company is not engaged in a business or transaction, and does not contemplate engaging in a business or transaction, for which the Ceding Company’s assets would constitute unreasonably insufficient capital.

(f) Governmental Licenses. The Ceding Company has all Permits necessary to conduct its business as currently conducted and execute and deliver, and perform its obligations under, this Agreement, except in such cases where the failure to have a Permit has not had and would not reasonably be expected to have a material adverse effect on the Ceding Company’s ability to perform its obligations under this Agreement. All Permits that are material to the conduct of the Ceding Company’s business are valid and in full force and effect. The Ceding Company is not subject to any pending Action or, to the knowledge of the Ceding Company, any threatened Action that seeks the revocation, suspension, termination, modification or impairment of any Permit that, if successful, would reasonably be expected to have, or with the passage of time become, a material adverse effect on the Ceding Company’s ability to perform its obligations under this Agreement.

Section 16.02 Covenants of the Ceding Company.

(a) Investigations. To the extent permitted by applicable Law, the Ceding Company shall promptly notify the Reinsurer, in writing, of any and all investigations of the Ceding Company conducted by any Governmental Entity commencing after the date hereof, other

than routine State insurance department examinations that do not relate to the business reinsured pursuant to this Agreement or would not otherwise reasonably be expected to adversely affect the performance by the Ceding Company of its obligations under this Agreement; provided, however, that the Ceding Company may withhold any notice otherwise required to be delivered pursuant to this Section 16.02(a) to the extent that the delivery thereof to the Reinsurer would result in a waiver of the attorney-client privilege, the work-product doctrine or any other applicable legal privilege or similar doctrine.

(b) Statutory Accounting Principles. The Ceding Company shall prepare its financial statements as required by, and in accordance with, Iowa SAP.

(c) Existence; Conduct of Business. The Ceding Company shall do or cause to be done all things reasonably necessary to preserve, renew and keep in full force and effect its legal existence and the rights, Permits and privileges material to the conduct of its business.

(d) Compliance with Law. The Ceding Company shall comply with all Laws applicable to, and all Permits issued by any Governmental Entity to, the Ceding Company or by which it or its properties or assets is bound or subject, except where the failure to do so, individually or in the aggregate, would not reasonably be expected to have a material adverse effect on the Ceding Company’s ability to perform its obligations, or on the Reinsurer’s rights or obligations, under this Agreement.

(e) Governmental Notices. The Ceding Company shall provide the Reinsurer, within five (5) Business Days after receipt thereof, copies of any written notice or report from any Governmental Entity with respect to the business reinsured under this Agreement and a written summary of any material oral communication with any Governmental Entity with respect to the business reinsured under this Agreement.

Section 16.03 Representations and Warranties of the Reinsurer. The Reinsurer hereby represents and warrants to the Ceding Company, as of the Effective Date, as follows:

(a) Organization and Qualification. The Reinsurer is a corporation duly incorporated, validly existing and in good standing under the Laws of the State of Delaware and has all requisite corporate power and authority to operate its business as now conducted, and is duly qualified as a foreign corporation to do business, and, to the extent legally applicable, is in good standing, in each jurisdiction where the character of its owned, operated or leased properties or the nature of its activities makes such qualification necessary, except for failures to be so qualified or be in good standing that, individually or in the aggregate, do not have, and would not reasonably be expected to have, a material adverse effect on the Reinsurer’s ability to perform its obligations under this Agreement.

(b) Authorization. The Reinsurer has all requisite corporate power to enter into, consummate the transactions contemplated by and carry out its obligations under, this Agreement. The execution and delivery by the Reinsurer of this Agreement, and the consummation by the Reinsurer of the transactions contemplated by, and the performance by the Reinsurer of its obligations under, this Agreement have been duly authorized by all requisite corporate action on

the part of the Reinsurer. This Agreement has been duly executed and delivered by the Reinsurer, and (assuming due authorization, execution and delivery by the Ceding Company) this Agreement constitutes the legal, valid and binding obligation of the Reinsurer, enforceable against it in accordance with its terms, subject to the effect of any applicable bankruptcy, reorganization, insolvency, moratorium, or similar Laws relating to or affecting creditors’ rights generally.

(c) No Conflict. The execution, delivery and performance by the Reinsurer of, and the consummation by the Reinsurer of the transactions contemplated by, this Agreement do not and will not (i) violate or conflict with the organizational documents of the Reinsurer, (ii) conflict with or violate any Law or Permit of any Governmental Entity applicable to the Reinsurer or by which it or its properties or assets is bound or subject, or (iii) result in any breach of, or constitute a default (or event which, with the giving of notice or lapse of time, or both, would become a default) under, or give to any Person any rights of termination, acceleration or cancellation of, any agreement, lease, note, bond, loan or credit agreement, mortgage, indenture or other instrument, obligation or contract of any kind to which the Reinsurer or any of its subsidiaries is a party or by which the Reinsurer or any of its subsidiaries or any of their respective properties or assets is bound or affected, except, in the case of clause (iii), any such conflicts, violations, breaches, loss of contractual benefits, defaults or rights that, individually or in the aggregate, do not have, and would not reasonably be expected to have, a material adverse effect on the Reinsurer’s ability to perform its obligations under this Agreement.

(d) Governmental Licenses. The Reinsurer has all Permits necessary to conduct its business as currently conducted and execute and deliver, and perform its obligations under, this Agreement, except in such cases where the failure to have a Permit has not had and would not reasonably be expected to have a material adverse effect on the Reinsurer’s ability to perform its obligations under this Agreement. All Permits that are material to the conduct of the Reinsurer’s business are valid and in full force and effect. The Reinsurer is not subject to any pending Action or, to the knowledge of the Reinsurer, any threatened Action that seeks the revocation, suspension, termination, modification or impairment of any Permit that, if successful, would reasonably be expected to have, or with the passage of time become, a material adverse effect on the Reinsurer’s ability to perform its obligations under this Agreement. The Reinsurer is duly licensed as an authorized insurer in the Ceding Company’s state of domicile.

Section 16.04 Covenants of the Reinsurer.

(a) Investigations. To the extent permitted by applicable Law, the Reinsurer shall promptly notify the Ceding Company, in writing, of any and all investigations of the Reinsurer conducted by any Governmental Entity commencing after the date hereof, other than routine State insurance department examinations that do not relate to the business reinsured pursuant to this Agreement or would not otherwise reasonably be expected to adversely affect the performance by the Reinsurer of its obligations under this Agreement; provided, however, that the Reinsurer may withhold any notice otherwise required to be delivered pursuant to this Section 16.04(a) to the extent that the delivery thereof to the Ceding Company would result in a waiver of the attorney-client privilege, the work-product doctrine or any other applicable legal privilege or similar doctrine.

(b) Statutory Accounting Principles. The Reinsurer shall prepare its financial statements as required by, and in accordance with, Delaware SAP.

(c) Existence; Conduct of Business. The Reinsurer shall do or cause to be done all things reasonably necessary to preserve, renew and keep in full force and effect its legal existence and the rights, Permits and privileges material to the conduct of its business.

(d) Compliance with Law. The Reinsurer shall comply with all Laws applicable to, and all Permits issued by any Governmental Entity to, the Reinsurer or by which it or its properties or assets is bound or subject, except where the failure to do so, individually or in the aggregate, would not reasonably be expected to have a material adverse effect on the Reinsurer’s ability to perform its obligations, or on the Ceding Company’s rights or obligations, under this Agreement.

(e) Governmental Notices. The Reinsurer shall provide the Ceding Company, within five (5) Business Days after receipt thereof, copies of any written notice or report from any Governmental Entity with respect to the business reinsured under this Agreement and a written summary of any material oral communication with any Governmental Entity with respect to the business reinsured under this Agreement.

ARTICLE XVII
MISCELLANEOUS

Section 17.01 Currency. All payments due under this Agreement shall be made in U.S. Dollars.

Section 17.02 Interest. All amounts due and payable by the Ceding Company or the Reinsurer under this Agreement that remain unpaid for more than fifteen (15) calendar days from the date due hereunder will incur interest from the date due hereunder. Except as otherwise set forth in this Agreement, such interest shall accrue at a rate equal to six percent (6%) per annum, calculated on a 30/360 basis.

Section 17.03 Right of Setoff and Recoupment.

(a) Each of the Ceding Company and the Reinsurer shall have, and may exercise at any time and from time to time, the right to setoff or recoup any undisputed balance or balances, whether on account of Reinsurance Premiums, allowances, credits, Reinsured Liabilities or otherwise, due from one party to the other under this Agreement and may setoff or recoup such balance or balances against any balance or balances due to the former from the latter under this Agreement.

(b) The parties’ setoff rights may be enforced notwithstanding any other provision of this Agreement including the provisions of Article XIV.

Section 17.04 No Third-Party Beneficiaries. This Agreement is an indemnity reinsurance agreement solely between the Ceding Company and the Reinsurer. The acceptance of

risks under this Agreement by the Reinsurer will create no right or legal relation between the Reinsurer and the insured, owner, beneficiary, or assignee of any insurance policy of the Ceding Company. In addition, nothing expressed or implied in this Agreement is intended to or shall confer remedies, obligations or liabilities upon any Person other than the parties hereto and their respective administrators, successors, legal representatives and permitted assigns or relieve or discharge the obligation or liability of any third party to any party to this Agreement.

Section 17.05 Amendment. This Agreement may not be changed or modified or in any way amended except by a written instrument duly executed by the proper officers of both parties to this Agreement, and any change or modification to this Agreement will be null and void unless made by amendment to this Agreement and duly executed by the proper officers of both parties to this Agreement. Prior written approval of the Iowa Insurance Division is required for any amendment to this Agreement.

Section 17.06 Notices.

(a) All demands, notices, reports and other communications provided for herein shall be delivered by the following means: (i) hand-delivery; (ii) overnight courier service (e.g., FedEx, Airborne Express, or DHL); (iii) registered or certified U.S. mail, postage prepaid and return receipt requested; or (iv) facsimile transmission or e-mail; provided, that the fax or e-mail is confirmed by delivery using one of the three (3) methods identified in clauses (i) through (iii). All such demands, notices, reports and other communications shall be delivered to the parties as follows:

if to the Ceding Company:

Voya Insurance and Annuity Company
▇▇▇ ▇▇▇▇▇▇ ▇▇▇▇▇▇, ▇▇▇▇▇ ▇▇▇▇
▇▇▇ ▇▇▇▇▇▇, ▇▇▇▇ ▇▇▇▇▇

Attention: General Counsel
Email: ▇▇▇▇▇@▇▇▇▇▇▇▇▇▇▇▇▇▇▇▇▇.▇▇▇

if to the Reinsurer:

Athene Annuity & Life Assurance Company
▇▇▇▇ ▇▇▇▇▇ ▇▇▇▇▇ ▇▇▇▇▇▇▇
▇▇▇▇ ▇▇▇ ▇▇▇▇▇▇, ▇▇▇▇ ▇▇▇▇▇
Attention: ▇▇▇▇▇ ▇▇▇▇▇▇
Telephone: (▇▇▇) ▇▇▇-▇▇▇▇
Email: ▇▇▇▇▇@▇▇▇▇▇▇.▇▇▇

(b) Either party hereto may change the names or addresses where notice is to be given by providing notice to the other party of such change in accordance with this Section 17.06.

(c) If either party hereto becomes aware of any change in applicable Law restricting the transmission of notices or other information in accordance with the foregoing, such party shall notify the other party hereto of such change in Law and such resulting restriction.

Section 17.07 Consent to Jurisdiction. Subject to the terms and conditions of Article XIII, each party hereto hereby irrevocably and unconditionally submits to the non-exclusive jurisdiction of the United States District Court for the Southern District of New York and of any New York State court sitting in New York County for purposes of all legal proceedings arising out of or relating to this Agreement or for recognition and enforcement of any judgment in respect thereof. In any action, suit or other proceeding, each party hereby irrevocably waives, to the fullest extent permitted by applicable Law, any objection that it may now or hereafter have to the laying of the venue of any such proceedings brought in such court and any claim that any such proceeding brought in such a court has been brought in an inconvenient forum. Each party hereto also agrees that any final and nonappealable judgment against a party in connection with any action, suit or other proceeding shall be conclusive and binding on such party and that such award or judgment may be enforced in any court of competent jurisdiction, either within or outside of the United States. A certified or exemplified copy of such award or judgment shall be conclusive evidence of the fact and amount of such award or judgment. Each party hereto agrees that any process or other paper to be served in connection with any action or proceeding under this Agreement shall, if delivered, sent or mailed in accordance with Section 17.06, constitute good, proper and sufficient service thereof. This Section 17.07 is not intended to conflict with or override Article XIII.

Section 17.08 Service of Process. The Reinsurer hereby designates the Iowa Insurance Commissioner as its true and lawful attorney upon whom may be served any lawful process in any action, suit or proceeding instituted by or on behalf of the Ceding Company. A copy of any such process shall be delivered to the Reinsurer in accordance with Section 17.06. This Section 17.08 is not intended to conflict with or override Article XIII.

Section 17.09 Inspection of Records.

(a) Upon giving at least five (5) Business Days’ prior written notice, the Reinsurer, or its duly authorized representatives, will have the right to audit, examine and copy, electronically or during regular business hours, at the home office of the Ceding Company, any and all books, records, statements, correspondence, reports, and other documents that relate to the Reinsured Policies, the Existing ▇▇▇▇▇▇, the Allianz Trust Account or this Agreement, subject to the confidentiality provisions contained in this Agreement. In the event the Reinsurer exercises its inspection rights, the Ceding Company must provide a reasonable work space for such audit, examination or copying, cooperate fully and faithfully, and produce any and all materials reasonably requested to be produced, subject to confidentiality provisions contained in this Agreement. The expenses related to any two (2) such inspections in any calendar year shall be borne by the Ceding Company; provided, that if any breach of this Agreement by the Ceding Company has occurred, the expenses relating to all such inspections shall be borne by the Ceding Company.

(b) The Reinsurer’s right of access as specified above will survive until all of the Reinsurer’s obligations under this Agreement have terminated or been fully discharged.

Section 17.10 Confidentiality.

(a) The parties will keep confidential and not disclose or make competitive use of any shared Proprietary Information, as defined below, unless:

(i) The information becomes publicly available or is obtained other than through unauthorized disclosure by the party seeking to disclose or use such information;

(ii) The information is independently developed by the recipient; or

(iii) The disclosure is required by Law; provided, that, if applicable, the party required to make such disclosure will allow the other party to seek an appropriate protective order.

“Proprietary Information” includes, but is not limited to, underwriting manuals and guidelines, applications, contract forms, agent lists and premium rates and allowances of the Reinsurer and the Ceding Company, but shall not include the existence of this Agreement and the identity of the parties. Additionally, Proprietary Information may be shared by either party on a need-to-know basis with its officers, directors, employees, Affiliates, third-party service providers, auditors, consultants or retrocessionaires, or in connection with the dispute process specified in this Agreement.

(b) The Ceding Company shall not provide to the Reinsurer, and the Reinsurer shall have no right to access, any Non-Public Personal Information except (i) to the extent necessary for purposes of administration of this Agreement and (ii) requested in writing by a duly authorized representative of the Reinsurer. The Reinsurer and its representatives and service providers will protect the confidentiality and security of Non-Public Personal Information (as defined below) provided to it hereunder by:

(i) holding all Non-Public Personal Information in strict confidence;

(ii) maintaining appropriate measures that are designed to protect the security, integrity and confidentiality of Non-Public Personal Information; and

(iii) disclosing and using Non-Public Personal Information received under this Agreement for purposes of carrying out the Reinsurer’s obligations under this Agreement, for purposes of retrocession, or as may be required or permitted by Law.

“Non-Public Personal Information” is personally identifiable medical, financial, and other personal information about proposed, current and former applicants, policy owners, contract holders, insureds, annuitants, claimants, and beneficiaries of Reinsured Policies or contracts issued by the Ceding Company, and their representatives, that is not publicly available. Non-Public Personal Information does not include de-identified personal data, i.e., information that does not identify, or could not reasonably be associated with, an individual.

Section 17.11 Successors. This Agreement will be binding upon the parties hereto and their respective successors and assigns including any Authorized Representative of either party. Neither party may effect any novation or assignment of this Agreement without the prior written consent of the other party and the Iowa Insurance Division.

Section 17.12 Entire Agreement. This Agreement and the Exhibits hereto constitute the entire agreement between the parties with respect to the business reinsured hereunder and supersede any and all prior representations, warranties, prior agreements or understandings between the parties pertaining to the subject matter of this Agreement. There are no understandings between the parties other than as expressed in this Agreement and the Exhibits hereto. In the event of any express conflict between this Agreement and the Exhibits hereto, the Exhibits hereto will control.

Section 17.13 Severability. The provisions of this Agreement shall be deemed severable and the invalidity or unenforceability of any provision shall not affect the validity or enforceability of the other provisions hereof. If any provision of this Agreement, or the application thereof to any Person or entity or any circumstance, is found by a court or other Governmental Entity of competent jurisdiction to be invalid or unenforceable, (a) a suitable and equitable provision shall be substituted therefor in order to carry out, so far as may be valid and enforceable, the intent and purpose of such invalid or unenforceable provision and (b) the remainder of this Agreement and the application of such provision to other Persons or circumstances shall not be affected by such invalidity or unenforceability, nor shall such invalidity or unenforceability affect the validity or enforceability of such provision, or the application thereof, in any other jurisdiction.

Section 17.14 Construction. This Agreement will be construed and administered without regard to authorship and without any presumption or rule of construction in favor of either party. This Agreement is between sophisticated parties, each of which has reviewed this Agreement and is fully knowledgeable about its terms and conditions.

Section 17.15 Non-Waiver. Neither the failure nor any delay on the part of the Ceding Company or the Reinsurer to exercise any right, remedy, power, or privilege under this Agreement shall operate as a waiver thereof. No single or partial exercise of any right, remedy, power or privilege shall preclude the further exercise of that right, remedy, power or privilege or the exercise of any other right, remedy, power or privilege. No waiver of any right, remedy, power or privilege with respect to any occurrence shall be construed as a waiver of that right, remedy, power or privilege with respect to any other occurrence. No prior transaction or dealing between the parties will establish any custom, usage or precedent waiving or modifying any provision of this Agreement. No waiver shall be effective unless it is in writing and signed by the party granting the waiver.

Section 17.16 Further Assurances. From time to time, as and when requested by a party hereto, the other party hereto shall execute and deliver all such documents and instruments and shall take all actions as may be reasonably necessary to consummate the transactions contemplated by this Agreement.

Section 17.17 Governing Law. This Agreement will be governed by and construed in accordance with the Laws of the State of Iowa without giving effect to any principles of conflicts

of law thereof that are not mandatorily applicable by Law and would permit or require the application of the Laws of another jurisdiction.

Section 17.18 Counterparts. This Agreement may be executed in counterparts, all of which shall be considered one and the same agreement and shall become effective when counterparts have been signed by each party hereto and delivered to the other party. Each party hereto may deliver its signed counterpart of this Agreement to the other party by means of electronic mail or any other electronic medium utilizing image scan technology, and such delivery will have the same legal effect as hand delivery of an originally executed counterpart. When this Agreement has been fully executed by the Ceding Company and the Reinsurer, it will become effective as of the Effective Date.

[Remainder of Page Intentionally Blank]

IN WITNESS WHEREOF, the parties hereto have caused this Agreement to be executed effective as of the Effective Date.

VOYA INSURANCE AND ANNUITY COMPANY

By:    /s/ ▇▇▇▇▇ ▇▇▇▇▇▇▇▇▇▇▇

Name:    ▇▇▇▇▇ ▇▇▇▇▇▇▇▇▇▇▇

Title:    Senior Vice President and Treasurer

ATHENE ANNUITY & LIFE ASSURANCE COMPANY

By:    /s/ ▇▇▇▇▇ ▇▇▇▇▇▇▇▇

Name:    ▇▇▇▇▇ ▇▇▇▇▇▇▇▇

Title:    President

Signature Page to VIAC Reinsurance Agreement (FA Business)

SCHEDULE I

POLICY FORMS AND RIDERS¹



Product Name	Policy Form
Advantage	UCLIC-AN1009
Advantage	UCLIC-PI-1249
Advantage Index	1837-11/97
Advantage Platinum	1827-11/95
Advantage Silver	1801-7/94
AmeriGain	17003
AmeriGrand	17026
Amerilink	17002
Ameriset	17000
Asset Builder	UCLIC-AN-1022
Bonus 10	▇▇▇▇-▇▇/▇▇
▇▇▇▇▇▇▇ ▇▇▇▇▇▇▇	▇▇▇▇▇-▇▇-▇▇▇▇
Choice Index	1819-9/96
Choice Index	1819-9/96 or 1819-C-1/97
Choice Index	1819-C-1/97
Classic 5	1868
Classic 7	1869
Classic Choice MVA	1825-2/95
Cornerstone	1350-1/93
Envoy Nine	IU-IA-3064
Envoy Nine v2	IU-IA-3064
Envoy Six	IU-IA-3067
Envoy Six v2	IU-IA-3067
Envoy Three	IU-IA-3065
Flex 100	1000-B-4/92
Flex 15	1500-1/93
Flex 15	1500-4/92
Flex 2	FLEXII-1/93
Flex 200	1100-B-6/92
Flex 3	FLEXIII-1/93
Flex 4	FLXIV-8/92
Flex 7	FLEXVII 1/93
Flex 7	FLEXVII 7/91
Flex Builder	1853
Flex Guarantee	1853
FPA 9	FLEXIX-1/93
FPA 9 (conversion)	▇▇▇▇▇▇-▇/▇▇



▇▇▇▇	▇▇▇▇
▇▇▇▇	▇▇▇▇▇
▇▇▇▇	▇▇▇▇▇▇
▇▇▇▇	▇▇▇▇▇▇-▇
▇▇▇▇	ALSFLX-4.5
FPDA	ALZFLX-4.5
FPDA	AN-1002
FPDA	▇▇-▇▇▇▇
▇▇▇	▇▇▇▇▇
Generation Flex	1859
GoldenSelect Guarantee	GA-GIA-1070
Guarantee Choice	IU-IA-3036
Heritage	1858
Heritage Vested	1862
Income Outcome Annuity	▇▇-▇▇▇▇
▇▇▇▇▇▇▇▇▇▇▇▇	UCSPDA
Interest Builder	1200-1/93
Journey	VI-IA-3165
Lifetime Income	IU-IA-3119
▇▇▇▇ ▇▇	UCLIC-AN-1020
MarketSmart	IU-FA-3006
Max	PI-1550
Max Guarantee	1885
MaxSaver	AN-1004
MaxSaver	AN-1008
MaxSaver	PI-2034
Multibuilder	1853
MVA 15	1251-1/93
MVA 200	1300-1/93
MVA 200	93A10
▇▇▇ ▇	▇▇▇▇-▇/▇▇
▇▇▇ ▇	▇▇▇▇-▇/▇▇
▇▇▇ ▇	MVAIX-1/93
MVA Cornerstone	1250-1/93
MVA Cornerstone	1812-4/96
MYGA/Multiset	1818-4/96
MYGA/Multiset	1825-2/95
MYGA/Multiset (no MVA)	1826-5/95
PotentialPLUS (General Account liabilities only)	IU-IA-4040
Protective Life	1840-2/96
Protective Life	1845-2/96
Provider	UCLIC-AN-1007
Quest 5	VI-IA-3147



QUEST 5 ROP	VI-IA-3147
Quest 7	VI-IA-3147
Quest Plus	VI-IA-3148
Regency	1860
Retirement Asset Builder	1807-5/95
Retirement Choice	1805-4/95
SD Fixed Flex	GA-IA-1093 - individual; GA-CA-1093 - group
Secure	1890
Secure Extra	FA-2014
Secure Five	IU-IA-3022
Secure Five v2	IU-IA-3033
Secure Five v3	IU-IA-3033
Secure II	FA-2013
Secure Opp Plus	IU-IA-3021
Secure Opp Plus v2	IU-IA-3032
Secure Opp Plus v3	IU-IA-3050
Secure Opp Plus v4	IU-IA-3050
Secure Outlook	IU-IA-3038
Secure Outlook v2	IU-IA-3038
Secure Seven	IU-IA-3025
Secure Seven v2	IU-IA-3034
Secure Seven v3	IU-IA-3034
Security	PI-1233
Select Guarantee	1829-3/97
Select Guarantee	1829C-3/97
Selectra	1865
Selectra	1865 or 1870
Selectra	1870
Selectra v2	IU-IA-3026
Senior Provider	UCLIC-AN-1014
SimpleChoice	IU-IA-3054
SimpleFlex	IU-IA-3019
Single Premium Immediate Annuity	1823
SPA 15	1351-1/93
SPA 3	SPIII-1/93
SPA 5	SPV-6/88
SPA 6	SPVI-1/93
SPA 7	SPVII-1/93
SPA 7	SPVII-10/90
SPA 9	FLEXIX-1/93 or SPIX-1/93
SPA 9	SPIX-1/93
SPA 9	SPIX-10/90
SPDA	88SPDA



SPDA	89A1-A
SPDA	89A3
SPDA	89SPDA
SPDA	94SPDA
SPDA	ALS-3
SPDA	ALS-4.5
SPDA	ALZSP-4.5
SPDA	UCLIC-PI-1218
SPDA	UCLIC-PI-1801
SPIA	1823
Sterling Plus	1800-2/94
Supp Con	1825-2/95
Supp Con	GA-GIA-1070 or GA-IA-1070
Supp Con	GA-IA-1093 - individual; GA-CA-1093 - group
Supp Con	GA-IA-1094 - individual; GA-CA-1094 - group
Supp Con	GA-IA-1100 - individual; GA-CA-1100 - group
Supp Con	IU-IA-3019
Taxsaver	FLEXIX-1/93
TaxSaver	UCLIC-AN1255
TaxSaver	UCLIC-PI-1253
TaxSaver	UCLIC-PI-1255
TSA Pro	1600-1/93
TSA Pro	1600-4/92
TSA Rollover	1832G-6/97
Ultimate	1225-4/93
Ultra SPA	1325-4/93
Unidex	EIAN-4000
United	AN-1021
Wealth Builder 6	IU-IA-3128
Wealth Builder 8	IU-IA-3128
Wealth Builder PLUS	IU-IA-3128
All general account liabililities related to immediate annuities and annuitizations issued by Voya Insurance and Annuity Company and its predecessors and administered on Des Moines RPS, excluding annuitizations arising from contracts with a Guaranteed Minimum Income Benefit (GMIB).
Home Office Pension Plan Voluntary and Mandatory Contributions Administered by Aon ▇▇▇▇▇▇ on behalf of VIAC.
All contracts assumed under the League Services Life Insurance Company (Magna Insurance Company) reinsurance agreement dated 2/24/1987, as amended.
All contracts assumed under the Protective Life Insurance Company reinsurance agreement dated 6/15/1996.
All contracts assumed under the Allianz Life Insurance Company of North America reinsurance agreement dated 8/1/1988.

SCHEDULE II

POLICY EXPENSES

The Policy Expenses with respect to each Quarterly Accounting Period shall be an amount equal to (A) plus (B), each as defined below:

(A) solely with respect to the Payout Annuities, an amount equal to (i) eighteen (18) basis points divided by four (4) multiplied by (ii) (a) the sum of the Ceded Reserves with respect to the Payout Annuities at the beginning of the applicable Quarterly Accounting Period plus the Ceded Reserves with respect to the Payout Annuities at the end of the applicable Quarterly Accounting Period, divided by (b) two (2); and

(B) with respect to the Non-Payout Annuities, an amount equal to the sum of:

(i) (a) the Quota Share of $50 (provided, that a two percent (2.00%) per annum inflation factor will be added to such amount each year commencing on January 1, 2019) divided by four (4), multiplied by (b) (I) the sum of the total number of Non-Payout Annuities in force at the beginning of the applicable Quarterly Accounting Period plus the total number of Non-Payout Annuities in force at the end of the applicable Quarterly Accounting Period, divided by (II) two (2), plus

(ii) (a) three (3) basis points divided by four (4) multiplied by (b) (I) the sum of the Ceded Reserves with respect to the Non-Payout Annuities at the beginning of the applicable Quarterly Accounting Period plus the Ceded Reserves with respect to the Non-Payout Annuities at the end of the applicable Quarterly Accounting Period, divided by (II) two (2).

SCHEDULE III

INITIAL PREMIUM ASSETS

See attached.



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
▇▇▇▇▇▇▇▇▇	6,194,594.0001	▇▇▇▇▇▇ LABORATORIES	1,600,000	1,573,520	2,311		1,575,831
▇▇▇▇▇▇▇▇▇	6,194,596.0001	▇▇▇▇▇▇ LABORATORIES	4,000,000	3,933,800	5,778		3,939,578
▇▇▇▇▇▇▇▇▇	6,194,598.0001	▇▇▇▇▇▇.▇▇▇ INC	5,000,000	5,037,201	66,917		5,104,117
▇▇▇▇▇▇▇▇▇	6,194,600.0001	JPMCC_15-JP1	1,210,000	1,220,018	3,680		1,223,699
▇▇▇▇▇▇▇▇▇	6,194,602.0001	SANTANDER UK GROUP HOLDINGS PLC	1,000,000	970,570	10,869		981,439
▇▇▇▇▇▇▇▇▇	6,194,604.0001	THERMO ▇▇▇▇▇▇ SCIENTIFIC INC	6,500,000	6,451,055	45,283		6,496,338
▇▇▇▇▇▇▇▇▇	6,194,854.0001	▇▇▇▇▇▇▇-▇▇▇▇▇ SQUIBB CO	1,000,000	1,071,800	7,500		1,079,300
▇▇▇▇▇▇▇▇▇	6,194,918.0001	▇▇▇▇ S CORP	2,000,000	1,956,540	16,250		1,972,790
▇▇▇▇▇▇▇▇▇	6,195,092.0001	FISERV INC	3,699,000	3,695,190	10,789		3,705,979
▇▇▇▇▇▇▇▇▇	6,195,094.0001	NOVARTIS CAPITAL CORP	3,000,000	3,217,320	64,167		3,281,487
▇▇▇▇▇▇▇▇▇	6,195,096.0001	PFIZER INC	3,000,000	3,060,720	48,733		3,109,453
▇▇▇▇▇▇▇▇▇	6,195,210.0001	TENN VALLEY AUTHORITY	246,000	309,161	1,650		310,811
▇▇▇▇▇▇▇▇▇	6,195,258.0001	LABORATORY CORP OF AMERICA	2,000,000	1,972,620	16,000		1,988,620
▇▇▇▇▇▇▇▇▇	6,195,260.0001	PROG_17-SFR1	1,000,000	971,482	2,763		974,245
▇▇▇▇▇▇▇▇▇	6,195,262.0001	SOUTHWEST AIRLINES CO	1,500,000	1,495,080	20,052		1,515,132
▇▇▇▇▇▇▇▇▇	6,195,264.0001	THERMO ▇▇▇▇▇▇ SCIENTIFIC INC	3,000,000	2,977,410	20,900		2,998,310
▇▇▇▇▇▇▇▇▇	6,195,328.0001	▇▇▇▇▇▇▇▇▇-▇▇▇▇ LUXEMBOURG FINANC	2,000,000	1,973,760	35,500		2,009,260
▇▇▇▇▇▇▇▇▇	6,195,342.0001	▇▇▇▇▇▇ LABORATORIES	1,600,000	1,573,520	2,311		1,575,831
▇▇▇▇▇▇▇▇▇	6,195,344.0001	AUTOZONE INC	2,000,000	1,948,560	18,403		1,966,963
▇▇▇▇▇▇▇▇▇	6,195,346.0001	FORD MOTOR CREDIT COMPANY LLC	1,000,000	977,760	10,015		987,775
▇▇▇▇▇▇▇▇▇	6,195,348.0001	▇▇▇▇▇▇▇▇▇-▇▇▇▇ LUXEMBOURG FINANC	2,000,000	1,973,760	35,500		2,009,260
▇▇▇▇▇▇▇▇▇	6,195,350.0001	NEXTERA ENERGY INC	2,000,000	2,059,320	37,500		2,096,820
▇▇▇▇▇▇▇▇▇	6,195,352.0001	PROGRESS ENERGY INC	2,000,000	1,967,480	5,250		1,972,730
▇▇▇▇▇▇▇▇▇	6,195,366.0001	FNMA_14-26	1,263,423	1,303,968	4,229		1,308,197
▇▇▇▇▇▇▇▇▇	6,195,402.0001	INTERNATIONAL BUSINESS MACHINES C	1,000,000	984,710	14,556		999,266
▇▇▇▇▇▇▇▇▇	6,195,404.0001	LOUISVILLE GAS & ELECTRIC CO	1,000,000	1,069,680	21,442		1,091,122
▇▇▇▇▇▇▇▇▇	6,195,406.0001	SHELL INTERNATIONAL FINANCE BV	1,200,000	1,111,536	8,458		1,119,994
▇▇▇▇▇▇▇▇▇	6,195,462.0001	MICROSOFT CORPORATION	2,000,000	2,068,720	19,361		2,088,081
▇▇▇▇▇▇▇▇▇	6,195,464.0001	▇▇▇▇▇▇ COMMUNICATIONS INC	6,000,000	5,859,600	82,167		5,941,767
▇▇▇▇▇▇▇▇▇	6,195,478.0001	FNMA_14-26	1,351,863	1,395,246	4,525		1,399,771
▇▇▇▇▇▇▇▇▇	5,431,390.0001	CALIFORNIA ST	1,400,000	2,134,594	53,200		2,187,794
▇▇▇▇▇▇▇▇▇	5,431,391.0001	CALIFORNIA ST	815,000	1,242,639	30,970		1,273,609
▇▇▇▇▇▇▇▇▇	5,431,392.0001	IL ST PENSION OB	1,400,000	1,306,816	29,750		1,336,566
▇▇▇▇▇▇▇▇▇	5,431,393.0001	NEW JERSEY ST TPK AUTH TPK REV	1,400,000	1,994,944	33,143		2,028,087
▇▇▇▇▇▇▇▇▇	5,432,314.0001	LOS ANGELES CALIF CMNTY COLLEGE DI	1,095,000	1,618,892	18,478		1,637,370
▇▇▇▇▇▇▇▇▇	5,432,315.0001	LOS ANGELES CALIF WTR PWR REV	1,420,000	2,018,246	31,117		2,049,363
▇▇▇▇▇▇▇▇▇	5,459,618.0001	▇▇▇▇▇▇ ▇▇▇▇▇▇ MEDICAL INSTITUTE	5,000,000	5,053,650	29,167		5,082,817
▇▇▇▇▇▇▇▇▇	5,459,620.0001	▇▇▇▇▇▇ ▇▇▇▇▇▇ MEDICAL INSTITUTE	1,333,000	1,347,303	7,776		1,355,079
▇▇▇▇▇▇▇▇▇	5,459,622.0001	▇▇▇▇▇▇ ▇▇▇▇▇▇ MEDICAL INSTITUTE	1,333,000	1,347,303	7,776		1,355,079
▇▇▇▇▇▇▇▇▇	5,459,624.0001	▇▇▇▇▇▇ ▇▇▇▇▇▇ MEDICAL INSTITUTE	2,800,000	2,830,044	16,333		2,846,377
▇▇▇▇▇▇▇▇▇	5,459,632.0001	IL ST PENSION OB	10,000,000	9,334,400	212,500		9,546,900
▇▇▇▇▇▇▇▇▇	5,459,830.0001	▇▇▇▇▇▇ ▇▇▇▇▇▇▇▇▇▇ UNIVERSITY	840,000	852,130	4,615		856,745



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
▇▇▇▇▇▇▇▇▇	5,471,455.0001	BAYLOR COLLEGE OF MEDICINE	1,400,000	1,580,222	33,950		1,614,172
▇▇▇▇▇▇▇▇▇	5,471,456.0001	MEMORIAL ▇▇▇▇▇-▇▇▇▇▇▇▇▇▇ CANCER C	1,950,000	2,212,568	32,500		2,245,068
▇▇▇▇▇▇▇▇▇	5,472,270.0001	PRESIDENT & FELLOWS OF HARVARD	2,075,000	2,401,626	4,496		2,406,122
▇▇▇▇▇▇▇▇▇	5,483,053.0001	PORT AUTH N Y & N J	1,400,000	1,731,366	39,529		1,770,895
▇▇▇▇▇▇▇▇▇	5,484,991.0001	LOS ANGELES CALIF CMNTY COLLEGE DI	1,315,000	1,847,825	21,698		1,869,522
▇▇▇▇▇▇▇▇▇	5,484,992.0001	LOS ANGELES CALIF WTR PWR REV	1,085,000	1,542,111	23,776		1,565,886
▇▇▇▇▇▇▇▇▇	5,487,336.0001	BAY AREA TOLL AUTH CALIF TOLL BRDG	1,400,000	2,074,492	8,058		2,082,550
▇▇▇▇▇▇▇▇▇	5,487,599.0001	DIGNITY HEALTH	2,295,000	2,187,296	51,638		2,238,933
▇▇▇▇▇▇▇▇▇	5,488,976.0001	ASCENSION HEALTH ALLIANCE	1,400,000	1,567,622	31,290		1,598,912
▇▇▇▇▇▇▇▇▇	5,506,041.0001	NEW YORK N Y CITY MUN FIN AUTH WTR	1,820,000	2,300,771	39,534		2,340,306
▇▇▇▇▇▇▇▇▇	5,506,102.0001	MASSACHUSETTS INSTITUTE OF TECHNO	700,000	719,355	9,238		728,593
▇▇▇▇▇▇▇▇▇	5,506,742.0001	SAN FRANCISCO CALIF CITY & CNTY PU	1,400,000	2,008,720	48,650		2,057,370
▇▇▇▇▇▇▇▇▇	5,507,149.0001	OHIO ST UNIV GEN RCPTS	1,505,000	1,709,936	30,790		1,740,726
▇▇▇▇▇▇▇▇▇	5,507,291.0001	BAY AREA TOLL AUTH CALIF TOLL BRDG	1,400,000	2,074,492	8,058		2,082,550
▇▇▇▇▇▇▇▇▇	5,510,103.0001	EAST BAY CALIF MUN UTIL DIST WTR S	2,420,000	3,085,790	59,230		3,145,020
▇▇▇▇▇▇▇▇▇	5,510,106.0001	SAN DIEGO CNTY CALIF WATER AUTH	1,960,000	2,598,509	60,152		2,658,662
▇▇▇▇▇▇▇▇▇	5,510,107.0001	PRINCETON UNIVERSITY	1,680,000	2,145,091	15,960		2,161,051
▇▇▇▇▇▇▇▇▇	5,511,231.0001	▇▇▇▇▇ CNTY NEV ARPT REV	590,000	853,335	13,413		866,747
▇▇▇▇▇▇▇▇▇	5,511,232.0001	DALLAS TX AREA RAPID ▇▇▇▇	700,000	815,024	14,648		829,672
▇▇▇▇▇▇▇▇▇	5,511,233.0001	IRVINE RANCH CALIF WTR DIST	1,960,000	2,617,129	64,896		2,682,025
▇▇▇▇▇▇▇▇▇	5,511,303.0001	NORTH TEX TWY AUTH REV	1,925,000	2,746,667	43,107		2,789,774
▇▇▇▇▇▇▇▇▇	5,514,988.0001	SAN ANTONIO TEX ELEC & GAS REV	1,820,000	2,282,316	26,426		2,308,743
▇▇▇▇▇▇▇▇▇	5,514,989.0001	SAN ANTONIO TEX ELEC & GAS REV	365,000	457,717	5,300		463,017
▇▇▇▇▇▇▇▇▇	5,515,734.0001	CINCINNATI CHILDREN S HOSPITAL MED	1,865,000	1,910,002	36,704		1,946,706
▇▇▇▇▇▇▇▇▇	5,523,810.0001	▇▇▇▇▇ CNTY NEV ARPT REV	1,485,000	2,147,800	33,759		2,181,559
▇▇▇▇▇▇▇▇▇	5,523,811.0001	DALLAS TX AREA RAPID ▇▇▇▇	560,000	652,019	11,718		663,737
▇▇▇▇▇▇▇▇▇	5,525,334.0001	SAN DIEGO CNTY CALIF REGL TRANSN C	1,400,000	1,834,504	6,896		1,841,400
▇▇▇▇▇▇▇▇▇	5,525,596.0001	CHICAGO ILL O HARE INTL ARPT REV	2,800,000	3,731,728	59,687		3,791,415
▇▇▇▇▇▇▇▇▇	5,527,894.0001	REGIONAL TRANSN DIST COLO SALES TA	2,800,000	3,607,520	81,816		3,689,336
▇▇▇▇▇▇▇▇▇	5,540,333.0001	NYU HOSPITALS CENTER	2,380,000	2,617,667	37,953		2,655,620
▇▇▇▇▇▇▇▇▇	5,544,441.0001	UNIV CALIF REGTS MED CTR POOLED RE	1,400,000	1,868,286	42,271		1,910,557
▇▇▇▇▇▇▇▇▇	5,544,442.0001	UNIV CALIF REGTS MED CTR POOLED RE	590,000	787,349	17,814		805,163
▇▇▇▇▇▇▇▇▇	5,564,619.0001	ORANGE CNTY CALIF LOC TRANSN AUTH	2,050,000	2,756,758	29,896		2,786,654
▇▇▇▇▇▇▇▇▇	5,564,766.0001	PARTNERS HEALTHCARE SYSTEM INC	1,350,000	1,337,499	18,527		1,356,026
▇▇▇▇▇▇▇▇▇	5,580,652.0001	HOUSTON TEX UTIL SYS REV	2,970,000	3,041,102	52,424		3,093,526
▇▇▇▇▇▇▇▇▇	5,580,654.0001	OREGON ST DEPT ADMINISTRATIVE	600,000	592,200	1,220		593,420
▇▇▇▇▇▇▇▇▇	5,580,655.0001	OREGON ST DEPT ADMINISTRATIVE	550,000	541,470	1,210		542,680



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
▇▇▇▇▇▇▇▇▇	5,581,299.0001	PORT ▇▇▇▇▇▇ ORE TRANSMISSION F	2,405,000	2,392,037	13,512		2,405,549
▇▇▇▇▇▇▇▇▇	5,611,335.0001	DELAWARE ST	1,485,000	1,616,111	22,523		1,638,633
▇▇▇▇▇▇▇▇▇	5,614,413.0001	NEW YORK N Y	2,970,000	3,235,221	67,902		3,303,123
▇▇▇▇▇▇▇▇▇	5,650,554.0001	SAN JOSE CALIF ARPT REV	1,470,000	1,587,291	15,803		1,603,094
▇▇▇▇▇▇▇▇▇	5,658,365.0001	NORTH CAROLINA MUN PWR AGY NO	1,080,000	1,079,903	12,024		1,091,927
▇▇▇▇▇▇▇▇▇	5,662,031.0001	RHODE ISLAND ST & PROVIDENCE PLANT	540,000	555,876	2,098		557,974
▇▇▇▇▇▇▇▇▇	5,662,032.0001	RHODE ISLAND ST & PROVIDENCE PLANT	570,000	589,454	2,310		591,764
▇▇▇▇▇▇▇▇▇	5,662,033.0001	RHODE ISLAND ST & PROVIDENCE PLANT	780,000	809,406	3,258		812,664
▇▇▇▇▇▇▇▇▇	5,677,575.0001	RIVERSIDE CALIF CMNTY COLLEGE DIST	1,835,000	2,011,564	32,209		2,043,773
▇▇▇▇▇▇▇▇▇	5,678,975.0001	DALLAS TEX INDPT SCH DIST	2,160,000	2,348,568	29,412		2,377,980
▇▇▇▇▇▇▇▇▇	5,682,004.0001	PORT ▇▇▇▇▇▇ ORE TRANSMISSION F	1,350,000	1,337,472	6,608		1,344,080
▇▇▇▇▇▇▇▇▇	5,682,704.0001	ANCHORAGE ALASKA ELEC UTIL REV	540,000	568,593	14,306		582,899
▇▇▇▇▇▇▇▇▇	5,682,705.0001	ARIZONA BRD REGENTS UNIV ARIZ SYS	1,350,000	1,446,660	21,678		1,468,338
▇▇▇▇▇▇▇▇▇	5,682,706.0001	BROWARD CNTY FLA HALF-CENT SALES T	1,715,000	1,836,782	8,869		1,845,652
▇▇▇▇▇▇▇▇▇	5,691,663.0001	ARIZONA BRD REGENTS UNIV ARIZ SYS	1,660,000	1,778,856	26,655		1,805,511
▇▇▇▇▇▇▇▇▇	5,691,845.0001	BEXAR CNTY TEX	2,835,000	2,948,485	70,986		3,019,471
▇▇▇▇▇▇▇▇▇	5,692,913.0001	SAN ANTONIO TEX WTR REV	2,700,000	2,866,698	77,439		2,944,137
▇▇▇▇▇▇▇▇▇	5,692,914.0001	UNIVERSITY ALA GEN REV	2,925,000	3,106,964	59,475		3,166,439
▇▇▇▇▇▇▇▇▇	5,693,476.0001	FLORIDA ST BRD ED LOTTERY REV	1,075,000	1,118,903	23,593		1,142,496
▇▇▇▇▇▇▇▇▇	5,693,803.0001	DALLAS TX AREA RAPID ▇▇▇▇	2,700,000	2,787,156	70,301		2,857,457
▇▇▇▇▇▇▇▇▇	5,709,456.0001	TOLEDO HOSPITAL	605,000	663,467	13,898		677,366
▇▇▇▇▇▇▇▇▇	5,711,730.0001	FROEDTERT HEALTH INC	1,710,000	1,710,496	6,678		1,717,173
▇▇▇▇▇▇▇▇▇	5,711,732.0001	MISSION HEALTH SYSTEM	1,245,000	1,262,754	22,950		1,285,703
▇▇▇▇▇▇▇▇▇	5,712,875.0001	AHS HOSP CORP	1,240,000	1,396,761	20,766		1,417,527
▇▇▇▇▇▇▇▇▇	5,712,876.0001	SOUTHERN BAPTIST HOSPITA	1,350,000	1,499,540	19,307		1,518,846
▇▇▇▇▇▇▇▇▇	5,715,822.0001	TRINITY HEALTH CORP	2,545,000	2,506,214	43,742		2,549,956
▇▇▇▇▇▇▇▇▇	5,722,311.0001	UTAH ST UNIV REV	1,510,000	1,618,599	29,885		1,648,485
▇▇▇▇▇▇▇▇▇	5,726,872.0001	LINCOLN NEB WEST HAYMARKET JT PUB	465,000	598,362	10,540		608,902
▇▇▇▇▇▇▇▇▇	5,726,873.0001	MESA ST COLLEGE COLO AUXILIARY FAC	465,000	551,165	12,436		563,601
▇▇▇▇▇▇▇▇▇	5,736,038.0001	THE NEW YORK PRESBYTERIAN HOSPITAL	2,430,000	2,391,023	24,446		2,415,469
▇▇▇▇▇▇▇▇▇	5,736,039.0001	NORTH SHORE LONG ISLAND JEWISH HE	1,350,000	1,667,331	41,513		1,708,844
▇▇▇▇▇▇▇▇▇	5,736,041.0001	RIVERSIDE CALIF ELEC REV	540,000	781,002	3,422		784,424
▇▇▇▇▇▇▇▇▇	5,740,471.0001	PASADENA CALIF PUB FING AUTH LEASE	1,880,000	2,671,198	22,397		2,693,595
▇▇▇▇▇▇▇▇▇	5,755,319.0001	TUFTS MEDICAL CENTER INC	650,000	780,436	15,167		795,602
▇▇▇▇▇▇▇▇▇	5,765,692.0001	NEW YORK PUBLIC LIBRARY	840,000	850,046	12,054		862,100
▇▇▇▇▇▇▇▇▇	5,801,234.0001	HONOLULU HAWAII CITY & CNTY	2,665,000	3,118,690	61,273		3,179,962
▇▇▇▇▇▇▇▇▇	5,801,360.0001	TRUSTEES OF DARTMOUTH COLLEGE	560,000	527,022	8,106		535,128
▇▇▇▇▇▇▇▇▇	5,812,777.0001	SAN FRANCISCO CALIF CITY & CNTY PU	660,000	946,968	22,935		969,903
▇▇▇▇▇▇▇▇▇	5,813,598.0001	TRINITY HEALTH CORP	1,700,000	1,674,092	29,219		1,703,311



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
▇▇▇▇▇▇▇▇▇	5,813,752.0001	ALLINA HEALTH SYSTEM	560,000	611,206	12,408		623,614
▇▇▇▇▇▇▇▇▇	5,816,880.0001	NOVANT HEALTH	3,400,000	3,455,216	74,307		3,529,523
▇▇▇▇▇▇▇▇▇	5,818,027.0001	NEW JERSEY ST TPK AUTH TPK REV	420,000	598,483	9,943		608,426
▇▇▇▇▇▇▇▇▇	5,827,839.0001	NEW YORK N Y CITY TRANSITIONAL FIN	1,330,000	1,602,371	37,054		1,639,425
▇▇▇▇▇▇▇▇▇	5,828,998.0001	CENTRAL PUGET SOUND REGL AUTH	880,000	1,068,769	24,160		1,092,929
▇▇▇▇▇▇▇▇▇	5,828,999.0001	MASSACHUSETTS ST DEV FIN AGY R	1,570,000	1,481,044	5,202		1,486,246
▇▇▇▇▇▇▇▇▇	5,833,000.0001	OHIO ST UNIV GEN RCPTS	700,000	688,800	11,078		699,878
▇▇▇▇▇▇▇▇▇	5,836,869.0001	MASSACHUSETTS ST	630,000	587,872	8,602		596,474
▇▇▇▇▇▇▇▇▇	5,843,779.0001	UNIVERSITY MASS BLDG AUTH PROJ REV	2,210,000	2,617,237	60,223		2,677,459
▇▇▇▇▇▇▇▇▇	5,875,326.0001	MIAMI-DADE CNTY FLA AVIATION R	540,000	516,829	1,735		518,564
▇▇▇▇▇▇▇▇▇	5,882,946.0001	ORLANDO HEALTH INC	700,000	723,254	2,576		725,830
▇▇▇▇▇▇▇▇▇	5,883,697.0001	COMMUNITY HEALTH NETWORK	510,000	542,620	13,854		556,474
▇▇▇▇▇▇▇▇▇	5,886,758.0001	▇▇▇▇▇ CNTY NEV ARPT REV	530,000	766,555	12,049		778,604
▇▇▇▇▇▇▇▇▇	5,890,551.0001	PROVIDENCE ST ▇▇▇▇▇▇ HEALTH	530,000	490,923	1,213		492,136
▇▇▇▇▇▇▇▇▇	6,055,055.0001	CALIFORNIA EDL FACS AUTH REV	650,000	624,605	2,078		626,682
▇▇▇▇▇▇▇▇▇	6,061,089.0001	MASSACHUSETTS ST	960,000	895,805	13,108		908,913
▇▇▇▇▇▇▇▇▇	6,074,080.0001	MIAMI-DADE CNTY FLA AVIATION R	750,000	734,063	2,489		736,551
▇▇▇▇▇▇▇▇▇	6,080,362.0001	RWJ BARNABAS HEALTH INC	1,000,000	954,220	13,163		967,383
▇▇▇▇▇▇▇▇▇	6,094,632.0001	WASHINGTON ST HEALTH CARE FACS	600,000	596,526	5,320		601,846
▇▇▇▇▇▇▇▇▇	5,706,737.0001	HEWLETT-PACKARD CO	7,000,000	7,049,280	11,200		7,060,480
▇▇▇▇▇▇▇▇▇	6,172,421.0001	NORTHWESTERN MUTUAL LIFE INSURAN	4,500,000	4,182,570	14,919		4,197,489
▇▇▇▇▇▇▇▇▇	6,163,675.0001	OGLETHORPE POWER CORP	600,000	727,824	12,382		740,206
▇▇▇▇▇▇▇▇▇	6,163,713.0001	GNMA_17-152	1,000,000	878,497	2,500		880,997
▇▇▇▇▇▇▇▇▇	6,163,719.0001	FNA_16-M2	1,749,998	1,772,648	5,075		1,777,723
▇▇▇▇▇▇▇▇▇	6,163,771.0001	FHLMC_2330 PS	103,073	143,852	754		144,606
▇▇▇▇▇▇▇▇▇	6,163,773.0001	FHLMC_3852 SL	2,034,478	2,019,069	4,140		2,023,209
▇▇▇▇▇▇▇▇▇	6,163,775.0001	FNMA_02-10 QT	166,371	214,812	387		215,199
▇▇▇▇▇▇▇▇▇	6,163,777.0001	FHLMC_2630 SL	4,346	19,204	61		19,265
▇▇▇▇▇▇▇▇▇	6,163,779.0001	FNMA_03-130 SJ	234,002	345,285	818		346,103
▇▇▇▇▇▇▇▇▇	6,163,781.0001	FNMA_04-38 SU	16,611	19,081	42		19,123
▇▇▇▇▇▇▇▇▇	6,163,783.0001	FNMA_04-92 SD	741,884	865,382	1,340		866,722
▇▇▇▇▇▇▇▇▇	6,163,785.0001	FNMA_05-66 SQ	208,157	252,417	431		252,848
▇▇▇▇▇▇▇▇▇	6,163,787.0001	FNMA_05-66 SQ	208,157	252,417	431		252,848
▇▇▇▇▇▇▇▇▇	6,163,789.0001	FNMA_05-75 SU	270,760	446,160	1,038		447,197
▇▇▇▇▇▇▇▇▇	6,163,791.0001	FNMA_05-76 SA	775,035	928,073	2,351		930,424
▇▇▇▇▇▇▇▇▇	6,163,793.0001	FNMA_05-102 DS	116,622	158,015	285		158,300
▇▇▇▇▇▇▇▇▇	6,163,795.0001	FNMA_05-102 DS	116,622	158,015	285		158,300
▇▇▇▇▇▇▇▇▇	6,163,797.0001	FNMA_05-106 PK	69,736	85,036	171		85,208
▇▇▇▇▇▇▇▇▇	6,163,799.0001	▇▇▇▇_▇▇-▇▇▇ ▇▇	64,522	78,476	184		78,660
▇▇▇▇▇▇▇▇▇	6,163,801.0001	FHLMC_2786 S	2,674	2,750	9		2,758
▇▇▇▇▇▇▇▇▇	6,163,803.0001	FHLMC_2795 SY	1,168,353	1,359,700	5,178		1,364,878
▇▇▇▇▇▇▇▇▇	6,163,805.0001	FNMA_06-36 SA	34,880	55,389	141		55,531
▇▇▇▇▇▇▇▇▇	6,163,807.0001	FHLMC_2923 SG	1,352,669	1,733,842	7,625		1,741,467
▇▇▇▇▇▇▇▇▇	6,163,811.0001	FHLMC_2967 SE	176,861	204,643	875		205,518



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
▇▇▇▇▇▇▇▇▇	6,163,813.0001	FHLMC_2990 JD	71,551	76,021	393		76,414
▇▇▇▇▇▇▇▇▇	6,163,815.0001	FHLMC_2994 SG	974,169	1,271,367	5,579		1,276,945
▇▇▇▇▇▇▇▇▇	6,163,817.0001	FHLMC_3001 CP	170,271	197,403	944		198,347
▇▇▇▇▇▇▇▇▇	6,163,819.0001	FHLMC_3006 YS	223,389	290,333	1,451		291,784
▇▇▇▇▇▇▇▇▇	6,163,821.0001	FHLMC_3055 SA	1,094,770	1,237,495	6,027		1,243,523
▇▇▇▇▇▇▇▇▇	6,163,823.0001	FHLMC_3148 AS	242,168	409,075	2,374		411,448
▇▇▇▇▇▇▇▇▇	6,163,825.0001	FNMA_06-74 MS	65,941	105,769	327		106,096
▇▇▇▇▇▇▇▇▇	6,163,827.0001	FNMA_06-74 MS	68,163	109,334	338		109,672
▇▇▇▇▇▇▇▇▇	6,163,835.0001	FNMA_07-28	2,072,142	2,066,712	1,032		2,067,744
▇▇▇▇▇▇▇▇▇	6,163,837.0001	FNMA_07-28	2,388,173	2,381,915	1,189		2,383,105
▇▇▇▇▇▇▇▇▇	6,163,839.0001	FNMA_07-35 SP	545,024	764,172	1,475		765,647
▇▇▇▇▇▇▇▇▇	6,163,841.0001	FNMA_07-29 SG	395,339	555,030	1,089		556,118
▇▇▇▇▇▇▇▇▇	6,163,843.0001	FNMA_07-67 BS	206,057	280,453	552		281,005
▇▇▇▇▇▇▇▇▇	6,163,845.0001	FNMA_07-66 SD	121,611	207,466	574		208,040
▇▇▇▇▇▇▇▇▇	6,163,847.0001	FHLMC_3264 SA	56,482	86,724	464		87,188
▇▇▇▇▇▇▇▇▇	6,163,849.0001	FHLMC_3404 SH	932,926	1,050,343	3,895		1,054,239
▇▇▇▇▇▇▇▇▇	6,163,851.0001	FHLMC_3442 MT	748,259	754,304	640		754,945
▇▇▇▇▇▇▇▇▇	6,163,853.0001	FNMA_11-51C	3,618,889	3,654,021	2,818		3,656,839
▇▇▇▇▇▇▇▇▇	6,163,855.0001	GNMA_03-74 PS	238,688	282,370	1,097		283,467
▇▇▇▇▇▇▇▇▇	6,163,857.0001	GNMA_04-39 QD	107,875	147,682	743		148,424
▇▇▇▇▇▇▇▇▇	6,163,859.0001	GNMA_05-6 SD	116,856	142,251	754		143,005
▇▇▇▇▇▇▇▇▇	6,163,861.0001	GNMA_05-56 S	409,228	554,987	2,992		557,979
▇▇▇▇▇▇▇▇▇	6,163,863.0001	GNMA_06-21 CS	437,985	756,465	3,389		759,854
▇▇▇▇▇▇▇▇▇	6,163,865.0001	▇▇▇▇_▇▇-▇▇ ▇▇	1,109,040	1,716,151	7,529		1,723,680
▇▇▇▇▇▇▇▇▇	6,163,867.0001	GNMA_07-8 SK	2,409,381	3,437,257	11,892		3,449,149
▇▇▇▇▇▇▇▇▇	6,163,869.0001	GNMA_07-47 SD	409,199	530,436	3,675		534,111
▇▇▇▇▇▇▇▇▇	6,163,871.0001	GNMA_07-37 DS	1,324,046	1,850,968	9,377		1,860,345
▇▇▇▇▇▇▇▇▇	6,163,873.0001	▇▇▇▇_▇▇-▇▇ ▇▇	486,146	565,969	1,651		567,620
▇▇▇▇▇▇▇▇▇	6,163,875.0001	GNMA_08-13 LC	1,276,094	1,616,661	6,181		1,622,842
▇▇▇▇▇▇▇▇▇	6,163,931.0001	▇▇▇▇▇▇ LABORATORIES	2,000,000	1,966,900	2,889		1,969,789
▇▇▇▇▇▇▇▇▇	6,163,933.0001	AGILENT TECHNOLOGIES INC	2,000,000	2,012,320	22,819		2,035,139
▇▇▇▇▇▇▇▇▇	6,163,949.0001	CLOROX COMPANY	3,000,000	2,981,220	39,667		3,020,887
▇▇▇▇▇▇▇▇▇	6,163,951.0001	▇▇▇ COMMUNICATIONS INC	7,000,000	6,597,500	51,722		6,649,222
▇▇▇▇▇▇▇▇▇	6,163,969.0001	MEDTRONIC INC	5,350,000	5,338,551	21,534		5,360,085
▇▇▇▇▇▇▇▇▇	6,163,975.0001	NORTHERN TRUST CORPORATION	1,500,000	1,409,625	24,328		1,433,953
▇▇▇▇▇▇▇▇▇	6,163,995.0001	US BANCORP	1,600,000	1,584,816	6,133		1,590,949
▇▇▇▇▇▇▇▇▇	6,164,069.0001	FHLMC_1382 KB	83,135	104,519	786		105,305
▇▇▇▇▇▇▇▇▇	6,164,071.0001	FHLMC_1632 SB	265,981	294,332	1,420		295,751
▇▇▇▇▇▇▇▇▇	6,164,073.0001	FNMA_92-180 S	118,398	148,288	425		148,712
▇▇▇▇▇▇▇▇▇	6,164,075.0001	FNMA_02-10 QT	357,697	461,845	833		462,677
▇▇▇▇▇▇▇▇▇	6,164,077.0001	FNMA_03-70 SH	121,650	140,506	207		140,713
▇▇▇▇▇▇▇▇▇	6,164,079.0001	FHLMC_2551 NS	279,324	351,576	1,390		352,966
▇▇▇▇▇▇▇▇▇	6,164,081.0001	FHLMC_2551 NS	558,648	703,152	2,781		705,932
▇▇▇▇▇▇▇▇▇	6,164,083.0001	▇▇▇▇_▇▇-▇▇▇ ▇▇	184,845	212,049	313		212,362
▇▇▇▇▇▇▇▇▇	6,164,085.0001	FNMA_03-102 TS	127,040	260,310	850		261,160
▇▇▇▇▇▇▇▇▇	6,164,087.0001	FNMA_03-102 TS	145,189	297,497	971		298,468
▇▇▇▇▇▇▇▇▇	6,164,089.0001	▇▇▇▇_▇▇-▇▇▇ ▇▇	943,812	1,302,145	2,387		1,304,532
▇▇▇▇▇▇▇▇▇	6,164,091.0001	▇▇▇▇_▇▇-▇▇▇ ▇▇	943,812	1,302,145	2,387		1,304,532
▇▇▇▇▇▇▇▇▇	6,164,093.0001	FNMA_03-131 SK	464,235	555,206	977		556,183
▇▇▇▇▇▇▇▇▇	6,164,095.0001	FNMA_04-12 ES	487,296	545,887	870		546,758



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
▇▇▇▇▇▇▇▇▇	6,164,097.0001	FNMA_04-28 SA	436,996	511,002	775		511,776
▇▇▇▇▇▇▇▇▇	6,164,099.0001	FNMA_04-91 SJ	110,249	123,182	165		123,347
▇▇▇▇▇▇▇▇▇	6,164,101.0001	FHLMC_2682 SB	257,167	315,159	1,163		316,322
▇▇▇▇▇▇▇▇▇	6,164,103.0001	FNMA_05-102 DS	236,215	320,054	577		320,632
▇▇▇▇▇▇▇▇▇	6,164,105.0001	FHLMC_2781 SA	609,817	739,722	2,880		742,602
▇▇▇▇▇▇▇▇▇	6,164,107.0001	FNMA_06-50 KS	192,137	271,393	558		271,951
▇▇▇▇▇▇▇▇▇	6,164,109.0001	FHLMC_2835 QP	528,026	646,955	2,657		649,611
▇▇▇▇▇▇▇▇▇	6,164,111.0001	FHLMC_2891 SA	499,870	589,850	2,688		592,539
▇▇▇▇▇▇▇▇▇	6,164,113.0001	FHLMC_2990 DP	165,976	186,625	1,300		187,926
▇▇▇▇▇▇▇▇▇	6,164,115.0001	FNMA_07-35 SP	771,521	1,081,739	2,088		1,083,827
▇▇▇▇▇▇▇▇▇	6,164,117.0001	▇▇▇▇_▇▇-▇▇ ▇▇	362,771	664,611	4,878		669,490
▇▇▇▇▇▇▇▇▇	6,164,119.0001	GNMA_03-26 SX	256,986	284,913	1,021		285,933
▇▇▇▇▇▇▇▇▇	6,164,121.0001	▇▇▇▇_▇▇-▇▇ ▇▇	948,781	1,230,615	4,973		1,235,589
▇▇▇▇▇▇▇▇▇	6,164,123.0001	GNMA_04-7 SB	411,165	468,934	1,649		470,583
▇▇▇▇▇▇▇▇▇	6,164,125.0001	GNMA_04-17 QS	704,790	836,284	2,852		839,136
▇▇▇▇▇▇▇▇▇	6,164,127.0001	GNMA_04-39 QD	35,958	49,227	248		49,475
▇▇▇▇▇▇▇▇▇	6,164,129.0001	GNMA_05-68 SH	396,765	474,738	1,844		476,583
▇▇▇▇▇▇▇▇▇	6,164,155.0001	AVALONBAY COMMUNITIES INC	5,000,000	5,042,150	15,104		5,057,254
▇▇▇▇▇▇▇▇▇	6,164,157.0001	BURLINGTON NORTHERN AND SANTA FE	1,809,429	1,862,735	25,733		1,888,468
▇▇▇▇▇▇▇▇▇	6,164,173.0001	DIAMOND 1 FINANCE CORPORATION/DI	1,000,000	1,002,221	14,500		1,016,721
▇▇▇▇▇▇▇▇▇	6,164,185.0001	DUKE ENERGY FLORIDA LLC	2,000,000	2,060,580	7,583		2,068,163
▇▇▇▇▇▇▇▇▇	6,164,201.0001	KROGER CO	3,000,000	3,023,970	28,875		3,052,845
▇▇▇▇▇▇▇▇▇	6,164,209.0001	MOTOROLA SOLUTIONS INC	1,000,000	975,080	5,833		980,913
▇▇▇▇▇▇▇▇▇	6,164,215.0001	TRANS - CANADA PIPELINES	3,000,000	3,046,290	9,500		3,055,790
▇▇▇▇▇▇▇▇▇	6,164,219.0001	WALMART INC	1,000,000	1,019,920	11,378		1,031,298
▇▇▇▇▇▇▇▇▇	6,164,509.0001	BACM_07-1 AMFX	1,339,595	1,359,232	6,131		1,365,362
▇▇▇▇▇▇▇▇▇	6,164,511.0001	BACM_07-1 AMFX	1,339,595	1,359,232	6,131		1,365,362
▇▇▇▇▇▇▇▇▇	6,166,043.0001	ALABAMA POWER COMPANY	1,600,000	1,513,568	10,000		1,523,568
▇▇▇▇▇▇▇▇▇	6,166,055.0001	AMEREN ILLINOIS CO	500,000	507,995	2,651		510,646
▇▇▇▇▇▇▇▇▇	6,166,063.0001	AMERIPRISE FINANCIAL INC	750,000	768,180	1,333		769,513
▇▇▇▇▇▇▇▇▇	6,166,083.0001	BANK OF TOKYO-MITSUBISHI UFJ LTD	1,000,000	1,020,600	5,922		1,026,522
▇▇▇▇▇▇▇▇▇	6,166,087.0001	BIOGEN INC	800,000	839,240	5,316		844,556
▇▇▇▇▇▇▇▇▇	6,166,089.0001	BIOGEN INC	1,000,000	1,003,250	5,175		1,008,425
▇▇▇▇▇▇▇▇▇	6,166,091.0001	BLACKROCK INC	4,000,000	3,990,560	16,722		4,007,282
▇▇▇▇▇▇▇▇▇	6,166,101.0001	▇▇▇▇▇▇▇-▇▇▇▇▇ SQUIBB CO	2,500,000	2,491,950	40,625		2,532,575
▇▇▇▇▇▇▇▇▇	6,166,103.0001	▇▇▇▇▇▇▇-▇▇▇▇▇ SQUIBB CO	3,500,000	3,488,730	56,875		3,545,605
▇▇▇▇▇▇▇▇▇	6,166,105.0001	BRIXMOR OPERATING PARTNERSHIP LP	4,000,000	3,985,560	32,722		4,018,282
▇▇▇▇▇▇▇▇▇	6,166,127.0001	CANADIAN PACIFIC RAILWAY CO	1,000,000	1,094,340	12,000		1,106,340
▇▇▇▇▇▇▇▇▇	6,166,131.0001	CELGENE CORP	1,500,000	1,508,085	15,833		1,523,918
▇▇▇▇▇▇▇▇▇	6,166,137.0001	CENTERPOINT ENERGY HOUSTON ELECT	5,000,000	4,663,900	44,375		4,708,275
▇▇▇▇▇▇▇▇▇	6,166,155.0001	CITIGROUP INC	5,000,000	5,238,300	61,215		5,299,515
▇▇▇▇▇▇▇▇▇	6,166,165.0001	COCA-COLA CO	5,600,000	5,588,464	89,600		5,678,064
▇▇▇▇▇▇▇▇▇	6,166,197.0001	CUMMINS INC	900,000	916,128	2,738		918,866
▇▇▇▇▇▇▇▇▇	6,166,199.0001	CUMMINS INC	2,750,000	2,799,280	8,365		2,807,645
▇▇▇▇▇▇▇▇▇	6,166,211.0001	▇▇▇▇ DEERE CAPITAL CORP	10,000,000	9,993,700	14,000		10,007,700
▇▇▇▇▇▇▇▇▇	6,166,229.0001	DUKE ENERGY PROGRESS INC	1,000,000	1,023,480	8,867		1,032,347
▇▇▇▇▇▇▇▇▇	6,166,261.0001	FEDEX CORP	500,000	508,545	10,951		519,496



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
▇▇▇▇▇▇▇▇▇	6,166,313.0001	GILEAD SCIENCES INC	1,000,000	1,034,320	7,917		1,042,237
▇▇▇▇▇▇▇▇▇	6,166,343.0001	HARLEY-DAVIDSON FUNDING CORP 144A	5,000,000	5,026,150	128,444		5,154,594
▇▇▇▇▇▇▇▇▇	6,166,349.0001	▇▇▇▇ CORP	1,300,000	1,315,301	15,369		1,330,670
▇▇▇▇▇▇▇▇▇	6,166,351.0001	HEWLETT-PACKARD CO	2,000,000	2,014,080	3,200		2,017,280
▇▇▇▇▇▇▇▇▇	6,166,355.0001	HEWLETT-PACKARD CO	1,000,000	1,027,910	2,178		1,030,088
▇▇▇▇▇▇▇▇▇	6,166,379.0001	INTERNATIONAL BUSINESS MACHINES C	2,000,000	2,011,640	15,910		2,027,550
▇▇▇▇▇▇▇▇▇	6,166,407.0001	▇▇▇▇▇▇▇▇-▇▇▇▇▇ CORP	5,000,000	5,102,000	32,292		5,134,292
▇▇▇▇▇▇▇▇▇	6,166,417.0001	LABORATORY CORP OF AMERICA	1,000,000	971,180	11,750		982,930
▇▇▇▇▇▇▇▇▇	6,166,449.0001	MACYS RETAIL HOLDINGS INC	5,083,000	5,480,135	75,115		5,555,250
▇▇▇▇▇▇▇▇▇	6,166,453.0001	MAGELLAN MIDSTREAM PARTNERS LP	2,625,000	2,680,650	27,891		2,708,541
▇▇▇▇▇▇▇▇▇	6,166,461.0001	▇▇▇▇ ▇▇▇▇▇▇▇ NUTRITION CO	600,000	715,974	17,700		733,674
▇▇▇▇▇▇▇▇▇	6,166,483.0001	▇▇▇▇▇▇ ▇▇▇▇▇▇▇	2,000,000	2,091,060	68,133		2,159,193
▇▇▇▇▇▇▇▇▇	6,166,485.0001	▇▇▇▇▇▇ ▇▇▇▇▇▇▇	1,000,000	1,045,530	34,067		1,079,597
▇▇▇▇▇▇▇▇▇	6,166,515.0001	NOVARTIS CAPITAL CORP	1,960,000	2,017,722	1,677		2,019,399
▇▇▇▇▇▇▇▇▇	6,166,517.0001	NOVARTIS CAPITAL CORP	2,600,000	2,588,534	42,972		2,631,506
▇▇▇▇▇▇▇▇▇	6,166,531.0001	NUTRIEN LTD	850,000	901,570	13,140		914,709
▇▇▇▇▇▇▇▇▇	6,166,533.0001	OCCIDENTAL PETROLEUM CORPORATION	10,000,000	10,258,500	102,500		10,361,000
▇▇▇▇▇▇▇▇▇	6,166,543.0001	ORACLE CORP	6,000,000	6,152,220	68,458		6,220,678
▇▇▇▇▇▇▇▇▇	6,166,557.0001	PNC BANK NATIONAL ASSOCIATION	3,000,000	3,050,460	63,000		3,113,460
▇▇▇▇▇▇▇▇▇	6,166,563.0001	PEPCO HOLDINGS INC.	3,565,000	4,401,206	56,070		4,457,276
▇▇▇▇▇▇▇▇▇	6,166,565.0001	▇▇▇▇▇▇▇▇ 66	850,000	887,451	19,107		906,558
▇▇▇▇▇▇▇▇▇	6,166,573.0001	PUBLIC SERVICE OF NEW MEXICO CO	500,000	501,050	4,813		505,863
▇▇▇▇▇▇▇▇▇	6,166,605.0001	S&P GLOBAL INC	1,000,000	1,035,920	9,289		1,045,209
▇▇▇▇▇▇▇▇▇	6,166,629.0001	SOUTHERN COMPANY (THE)	900,000	935,577	6,325		941,902
▇▇▇▇▇▇▇▇▇	6,166,643.0001	STARBUCKS CORP	1,000,000	1,024,750	3,208		1,027,958
▇▇▇▇▇▇▇▇▇	6,166,647.0001	STATOIL ASA	3,000,000	2,876,580	23,408		2,899,988
▇▇▇▇▇▇▇▇▇	6,166,679.0001	TARGET CORP MTN	2,000,000	2,042,800	22,819		2,065,619
▇▇▇▇▇▇▇▇▇	6,166,705.0001	THERMO ▇▇▇▇▇▇ SCIENTIFIC INC	10,000,000	10,063,600	76,000		10,139,600
▇▇▇▇▇▇▇▇▇	6,166,709.0001	TIME WARNER INC	5,000,000	5,177,850	69,194		5,247,044
▇▇▇▇▇▇▇▇▇	6,166,731.0001	UNITEDHEALTH GROUP INC	5,000,000	5,086,300	27,951		5,114,251
▇▇▇▇▇▇▇▇▇	6,166,737.0001	VIACOM INC	3,000,000	3,017,520	21,250		3,038,770
▇▇▇▇▇▇▇▇▇	6,166,743.0001	VIRGINIA ELECTRIC AND POWER CO	2,000,000	2,155,260	19,633		2,174,893
▇▇▇▇▇▇▇▇▇	6,166,751.0001	WASTE MANAGEMENT INC	6,000,000	6,209,340	46,000		6,255,340
▇▇▇▇▇▇▇▇▇	6,166,757.0001	WELLPOINT INC	3,000,000	3,020,910	23,433		3,044,343
▇▇▇▇▇▇▇▇▇	6,166,831.0001	QTEL INTERNATIONAL FINANCE LTD	1,610,000	1,648,238	15,932		1,664,170
▇▇▇▇▇▇▇▇▇	6,166,879.0001	KSA SUKUK LTD	1,750,000	1,656,375	1,940		1,658,315
031100G#1	6,167,019.0001	AMETEK INC	663,525	668,166	7,828		675,995
372460D*3	6,167,183.0001	GENUINE PARTS COMPANY	578,200	613,476	23		613,499
92927KB#8	6,167,461.0001	WABCO HOLDINGS INC	231,280	230,771	1,095		231,866
92927KB*2	6,167,463.0001	WABCO HOLDINGS INC	346,920	364,272	1,015		365,287
92927KB@0	6,167,465.0001	WABCO HOLDINGS INC	115,640	119,171	483		119,654
980745F*9	6,167,481.0001	▇▇▇▇▇▇▇▇ INC	115,640	117,725	143		117,867
G1591#AU6	6,167,529.0001	BRITVIC PLC	1,658,813	1,703,386	7,844		1,711,230
G1591#AV4	6,167,531.0001	BRITVIC PLC	1,327,050	1,355,615	6,845		1,362,461
G1745*AR2	6,167,535.0001	BROOKFIELD UTILITIES ISSUER UK PLC	265,410	274,456	3,428		277,884



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
G3663#AA9	6,167,569.0001	FORTH PORTS LTD	132,705	137,052	1,363		138,415
G5560@AB8	6,167,581.0001	LONDON LUTON AIRPORT HOLDINGS I LI	398,115	419,424	2,743		422,167
G6093#AB0	6,167,587.0001	APTARGROUP UK HOLDINGS LTD	578,200	596,772	2,003		598,775
G7304*AA9	6,167,597.0001	QUADGAS FINANCE PLC	398,115	419,250	6,149		425,400
G7304*AB7	6,167,599.0001	QUADGAS FINANCE PLC	398,115	409,903	6,378		416,281
G8472#AE1	6,167,625.0001	STERIS CORPORATION	265,410	277,332	1,489		278,821
N5276#AA5	6,167,653.0001	LITTELFUSE NETHERLAND CV	231,280	244,919	1,094		246,013
N5276#AB3	6,167,655.0001	LITTELFUSE NETHERLAND CV	115,640	119,342	878		120,221
N9651*AA6	6,167,663.0001	▇▇▇▇▇▇▇▇ INTERNATIONAL BV	115,640	116,000	167		116,168
Q2762#AA0	6,167,687.0001	CONNECTEAST FINANCE PTY LTD	300,680	301,212	3,430		304,642
▇▇▇▇▇▇▇▇▇	6,167,783.0001	TREASURY NOTE	10,000,000	9,691,800	75,207		9,767,007
▇▇▇▇▇▇▇▇▇	6,167,907.0001	MSC_06-T21 AJ	1,507,602	1,534,400	6,700		1,541,100
▇▇▇▇▇▇▇▇▇	6,168,163.0001	▇▇▇▇▇▇ LABORATORIES	2,375,000	2,425,255	41,909		2,467,164
▇▇▇▇▇▇▇▇▇	6,168,165.0001	▇▇▇▇▇▇ LABORATORIES	5,000,000	5,105,800	88,229		5,194,029
▇▇▇▇▇▇▇▇▇	6,168,169.0001	▇▇▇▇▇▇ LABORATORIES	3,600,000	3,540,420	5,200		3,545,620
▇▇▇▇▇▇▇▇▇	6,168,171.0001	▇▇▇▇▇▇ LABORATORIES	2,000,000	1,966,900	2,889		1,969,789
▇▇▇▇▇▇▇▇▇	6,168,185.0001	AETNA INC	2,000,000	2,036,080	34,375		2,070,455
▇▇▇▇▇▇▇▇▇	6,168,187.0001	AGILENT TECHNOLOGIES INC	2,000,000	2,012,320	22,819		2,035,139
▇▇▇▇▇▇▇▇▇	6,168,189.0001	AIR LEASE CORPORATION	4,000,000	4,039,720	12,917		4,052,637
▇▇▇▇▇▇▇▇▇	6,168,191.0001	AIR LEASE CORPORATION	1,000,000	1,009,930	3,229		1,013,159
▇▇▇▇▇▇▇▇▇	6,168,193.0001	AIR PRODUCTS AND CHEMICALS INC	3,000,000	2,980,620	44,500		3,025,120
▇▇▇▇▇▇▇▇▇	6,168,203.0001	AMGEN INC	2,535,000	2,591,100	36,124		2,627,223
▇▇▇▇▇▇▇▇▇	6,168,243.0001	CMS ENERGY CORPORATION	460,000	483,474	7,188		490,661
▇▇▇▇▇▇▇▇▇	6,168,271.0001	COLGATE-PALMOLIVE CO	5,000,000	4,755,500	52,500		4,808,000
▇▇▇▇▇▇▇▇▇	6,168,311.0001	▇▇▇▇▇▇▇ CHEMICAL CO	500,000	499,845	3,800		503,645
▇▇▇▇▇▇▇▇▇	6,168,313.0001	▇▇▇▇▇▇▇ CHEMICAL CO	2,500,000	2,499,225	19,000		2,518,225
▇▇▇▇▇▇▇▇▇	6,168,315.0001	▇▇▇▇▇▇▇ CHEMICAL CO	2,000,000	1,999,380	15,200		2,014,580
▇▇▇▇▇▇▇▇▇	6,168,321.0001	ENTERGY GULF STATES LOUISIANA LLC	3,000,000	3,046,260	9,875		3,056,135
▇▇▇▇▇▇▇▇▇	6,168,337.0001	FORD MOTOR CREDIT CO LLC	530,000	571,875	12,680		584,555
▇▇▇▇▇▇▇▇▇	6,168,343.0001	FORD MOTOR CREDIT COMPANY LLC	3,000,000	2,973,420	28,267		3,001,687
▇▇▇▇▇▇▇▇▇	6,168,363.0001	HEALTH CARE REIT INC	1,600,000	1,634,528	21,200		1,655,728
▇▇▇▇▇▇▇▇▇	6,168,365.0001	HEWLETT-PACKARD CO	5,000,000	5,035,200	8,000		5,043,200
▇▇▇▇▇▇▇▇▇	6,168,367.0001	HOME DEPOT INC	2,000,000	2,034,960	15,833		2,050,793
▇▇▇▇▇▇▇▇▇	6,168,369.0001	HUNTINGTON NATIONAL BANK	1,500,000	1,490,355	8,505		1,498,860
▇▇▇▇▇▇▇▇▇	6,168,371.0001	HUNTINGTON NATIONAL BANK	1,250,000	1,241,963	7,088		1,249,050
▇▇▇▇▇▇▇▇▇	6,168,383.0001	KOHLS CORP	818,000	842,172	14,679		856,850
▇▇▇▇▇▇▇▇▇	6,168,405.0001	LLOYDS BANKING GROUP PLC	4,500,000	4,188,555	77,735		4,266,290
▇▇▇▇▇▇▇▇▇	6,168,417.0001	MACYS RETAIL HOLDINGS INC	2,500,000	2,490,075	18,229		2,508,304
▇▇▇▇▇▇▇▇▇	6,168,423.0001	MICROSOFT CORP	2,000,000	1,926,980	23,750		1,950,730
▇▇▇▇▇▇▇▇▇	6,168,429.0001	NATIONAL RETAIL PROPERTIES INC	2,000,000	1,998,400	3,378		2,001,778
▇▇▇▇▇▇▇▇▇	6,168,433.0001	NEXTERA ENERGY INC	2,000,000	2,059,320	37,500		2,096,820
▇▇▇▇▇▇▇▇▇	6,168,441.0001	▇ ▇▇▇▇▇▇ AUTOMOTIVE INC	1,000,000	1,012,520	14,544		1,027,064
▇▇▇▇▇▇▇▇▇	6,168,443.0001	▇ ▇▇▇▇▇▇ AUTOMOTIVE INC	1,000,000	1,012,520	14,544		1,027,064
▇▇▇▇▇▇▇▇▇	6,168,451.0001	PACKAGING CORP OF AMERICA	750,000	773,573	16,875		790,448
▇▇▇▇▇▇▇▇▇	6,168,453.0001	PEPSICO INC	3,000,000	3,020,490	46,875		3,067,365
▇▇▇▇▇▇▇▇▇	6,168,473.0001	S&P GLOBAL INC	2,000,000	2,003,220	14,117		2,017,337
▇▇▇▇▇▇▇▇▇	6,168,493.0001	SPECTRA ENERGY PARTNERS LP	2,400,000	2,402,088	7,080		2,409,168



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
▇▇▇▇▇▇▇▇▇	6,168,499.0001	STARBUCKS CORP	4,000,000	4,099,000	12,833		4,111,833
▇▇▇▇▇▇▇▇▇	6,168,529.0001	TOYOTA MOTOR CREDIT CORP.	3,000,000	3,092,640	38,958		3,131,598
▇▇▇▇▇▇▇▇▇	6,168,531.0001	UDR INC	2,000,000	2,018,980	6,167		2,025,147
▇▇▇▇▇▇▇▇▇	6,168,537.0001	US BANCORP	2,000,000	1,981,020	7,667		1,988,687
▇▇▇▇▇▇▇▇▇	6,168,543.0001	WALMART INC	7,000,000	6,796,370	9,917		6,806,287
▇▇▇▇▇▇▇▇▇	6,168,611.0001	▇▇▇▇▇▇▇▇▇ WHAMPOA LTD 144A	545,000	567,379	2,540		569,919
▇▇▇▇▇▇▇▇▇	6,168,615.0001	INVERSIONES CMPC SA 144A	850,000	882,938	25,453		908,390
EI4567625	6,168,713.0001	CHINA OVERSEAS FINANCE (CAYMAN I L	500,000	521,250	13,063		534,313
▇▇▇▇▇▇▇▇▇	6,168,719.0001	COLOMBIA (REPUBLIC OF)	528,000	546,744	4,651		551,395
▇▇▇▇▇▇▇▇▇	6,168,721.0001	COLOMBIA (REPUBLIC OF)	899,000	930,915	7,919		938,834
▇▇▇▇▇▇▇▇▇	6,169,339.0001	BOAMS_05-D 3A1	1,930,013	1,998,833	6,732		2,005,565
▇▇▇▇▇▇▇▇▇	6,169,477.0001	MDST_04-1 A	974,693	1,064,514	4,944		1,069,458
▇▇▇▇▇▇▇▇▇	6,169,551.0001	▇▇ ▇▇▇▇▇▇-MAERSK A/S	10,000,000	9,657,600	40,625		9,698,225
▇▇▇▇▇▇▇▇▇	6,169,559.0001	▇▇▇▇▇▇ LABORATORIES	1,000,000	998,990	4,951		1,003,941
▇▇▇▇▇▇▇▇▇	6,169,569.0001	ADOBE SYSTEMS INCORPORATED	3,000,000	3,098,340	35,625		3,133,965
▇▇▇▇▇▇▇▇▇	6,169,587.0001	ALTRIA GROUP INC.	2,000,000	2,072,700	92,150		2,164,850
▇▇▇▇▇▇▇▇▇	6,169,591.0001	AMEREN ILLINOIS CO	2,400,000	2,438,376	12,727		2,451,103
▇▇▇▇▇▇▇▇▇	6,169,593.0001	AMEREN ILLINOIS CO	1,000,000	1,015,990	5,303		1,021,293
▇▇▇▇▇▇▇▇▇	6,169,605.0001	AMGEN INC	497,000	510,230	2,858		513,088
▇▇▇▇▇▇▇▇▇	6,169,625.0001	APPLIED MATERIALS INC	1,300,000	1,320,891	4,225		1,325,116
▇▇▇▇▇▇▇▇▇	6,169,635.0001	BHP BILLITON FINANCE (USA) LTD	5,000,000	5,029,250	38,385		5,067,635
▇▇▇▇▇▇▇▇▇	6,169,645.0001	BANK OF NEW YORK MELLON CORP	1,660,000	1,681,414	29,689		1,711,103
▇▇▇▇▇▇▇▇▇	6,169,651.0001	BANK OF TOKYO MITSUBISHI UFJ LTD	3,000,000	3,014,850	15,938		3,030,788
▇▇▇▇▇▇▇▇▇	6,169,655.0001	BIOGEN INC	500,000	524,525	3,322		527,847
▇▇▇▇▇▇▇▇▇	6,169,657.0001	BIOGEN INC	500,000	501,625	2,588		504,213
▇▇▇▇▇▇▇▇▇	6,169,659.0001	BLACK HILLS CORP	3,000,000	3,041,310	53,479		3,094,789
▇▇▇▇▇▇▇▇▇	6,169,683.0001	CF INDUSTRIES INC	500,000	500,605	9,375		509,980
▇▇▇▇▇▇▇▇▇	6,169,711.0001	PROGRESS ENERGY CAROLINAS INC	2,000,000	2,035,980	31,211		2,067,191
▇▇▇▇▇▇▇▇▇	6,169,713.0001	CATERPILLAR FINANC MTN	3,750,000	3,881,363	56,604		3,937,967
▇▇▇▇▇▇▇▇▇	6,169,741.0001	COCA-COLA CO	2,925,000	2,918,975	46,800		2,965,775
▇▇▇▇▇▇▇▇▇	6,169,749.0001	COLGATE-PALMOLIVE CO	4,500,000	4,486,365	18,688		4,505,053
▇▇▇▇▇▇▇▇▇	6,169,753.0001	OHIO POWER COMPANY	745,000	957,354	8,195		965,549
▇▇▇▇▇▇▇▇▇	6,169,755.0001	OHIO POWER CO	741,000	880,886	3,612		884,498
▇▇▇▇▇▇▇▇▇	6,169,757.0001	OHIO POWER CO	960,000	1,141,229	4,680		1,145,909
▇▇▇▇▇▇▇▇▇	6,169,759.0001	COMCAST CORP	5,000,000	5,196,400	42,917		5,239,317
▇▇▇▇▇▇▇▇▇	6,169,763.0001	COMMONWEALTH EDISON CO	2,000,000	2,036,960	20,000		2,056,960
▇▇▇▇▇▇▇▇▇	6,169,791.0001	CREDIT SUISSE GROUP FUNDING (GUERN	500,000	500,290	2,428		502,718
▇▇▇▇▇▇▇▇▇	6,169,803.0001	CUMMINS INC	1,835,000	1,867,883	5,581		1,873,465
▇▇▇▇▇▇▇▇▇	6,169,831.0001	▇▇▇▇ DISNEY CO	1,000,000	1,009,240	17,188		1,026,428
▇▇▇▇▇▇▇▇▇	6,169,847.0001	DUKE ENERGY PROGRESS INC	1,000,000	1,023,480	8,867		1,032,347
▇▇▇▇▇▇▇▇▇	6,169,923.0001	GENERAL ▇▇▇▇▇ INC	2,000,000	2,043,720	23,856		2,067,576
▇▇▇▇▇▇▇▇▇	6,169,997.0001	HUSKY ENERGY INC.	3,800,000	3,823,294	6,756		3,830,050
▇▇▇▇▇▇▇▇▇	6,170,003.0001	INTEL CORP	500,000	503,845	4,728		508,573
▇▇▇▇▇▇▇▇▇	6,170,005.0001	INTERCONTINENTALEXCHANGE INC	5,000,000	5,009,200	78,125		5,087,325
▇▇▇▇▇▇▇▇▇	6,170,007.0001	INTERNATIONAL BUSINESS MACHINES C	5,000,000	5,029,100	39,774		5,068,874



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
▇▇▇▇▇▇▇▇▇	6,170,025.0001	JERSEY CENTRAL POWER & LIGHT COMP	2,000,000	2,061,040	36,750		2,097,790
▇▇▇▇▇▇▇▇▇	6,170,085.0001	MACQUARIE BANK LTD	1,000,000	1,001,080	10,222		1,011,302
▇▇▇▇▇▇▇▇▇	6,170,095.0001	MEDTRONIC INC	3,000,000	3,014,670	13,896		3,028,566
▇▇▇▇▇▇▇▇▇	6,170,137.0001	NEVADA POWER CO	4,000,000	4,146,640	36,417		4,183,057
▇▇▇▇▇▇▇▇▇	6,170,139.0001	▇▇▇▇▇▇ RUBBERMAID INC.	5,000,000	5,130,600	49,611		5,180,211
▇▇▇▇▇▇▇▇▇	6,170,147.0001	NORDSTROM INC	2,000,000	2,024,960	3,556		2,028,516
▇▇▇▇▇▇▇▇▇	6,170,161.0001	NOVARTIS CAPITAL CORP	852,000	877,091	729		877,820
▇▇▇▇▇▇▇▇▇	6,170,163.0001	NOVARTIS CAPITAL CORP	14,000,000	13,482,560	187,833		13,670,393
▇▇▇▇▇▇▇▇▇	6,170,189.0001	ORACLE CORPORATION	3,000,000	3,084,630	47,083		3,131,713
▇▇▇▇▇▇▇▇▇	6,170,205.0001	PNC BANK NATIONAL ASSOCIATION	5,000,000	5,084,100	105,000		5,189,100
▇▇▇▇▇▇▇▇▇	6,170,227.0001	PLAINS ALL AMERICAN PIPELINE LP	2,000,000	2,070,060	33,861		2,103,921
▇▇▇▇▇▇▇▇▇	6,170,279.0001	SCHLUMBERGER HOLDINGS CORP	7,325,000	7,336,208	105,806		7,442,014
▇▇▇▇▇▇▇▇▇	6,170,281.0001	SCHLUMBERGER INVESTMENT SA	5,700,000	5,738,019	86,688		5,824,707
▇▇▇▇▇▇▇▇▇	6,170,409.0001	▇▇▇▇ ▇▇▇▇▇▇▇ ▇▇▇ ▇▇▇▇▇▇▇ INC	4,000,000	4,138,240	46,000		4,184,240
▇▇▇▇▇▇▇▇▇	6,170,433.0001	UNITEDHEALTH GROUP INCORPORATED	1,000,000	1,000,930	11,042		1,011,972
▇▇▇▇▇▇▇▇▇	6,170,447.0001	VISA INC	3,000,000	3,119,010	49,092		3,168,102
▇▇▇▇▇▇▇▇▇	6,170,449.0001	WALMART INC	3,000,000	3,038,820	30,938		3,069,758
▇▇▇▇▇▇▇▇▇	6,170,461.0001	WHIRLPOOL CORP	2,000,000	2,028,720	13,333		2,042,053
▇▇▇▇▇▇▇▇▇	6,170,469.0001	XCEL ENERGY INC	1,000,000	1,025,340	21,672		1,047,012
▇▇▇▇▇▇▇▇▇	6,170,645.0001	QTEL INTERNATIONAL FINANCE LTD	1,065,000	1,090,294	10,539		1,100,833
▇▇▇▇▇▇▇▇▇	6,170,763.0001	COLOMBIA (REPUBLIC OF)	596,000	617,158	5,250		622,408
▇▇▇▇▇▇▇▇▇	6,170,821.0001	KSA SUKUK LTD	1,750,000	1,656,375	1,940		1,658,315
031100G#1	6,171,049.0001	AMETEK INC	2,521,395	2,539,032	29,748		2,568,779
372460D*3	6,171,179.0001	GENUINE PARTS COMPANY	693,840	736,171	28		736,199
879360C#0	6,171,373.0001	TELEDYNE TECHNOLOGIES INC	578,200	610,087	201		610,287
879360C@2	6,171,375.0001	TELEDYNE TECHNOLOGIES INC	867,300	915,583	229		915,812
92927KB#8	6,171,391.0001	WABCO HOLDINGS INC	693,840	692,313	3,286		695,599
92927KB*2	6,171,393.0001	WABCO HOLDINGS INC	1,040,760	1,092,817	3,045		1,095,862
92927KB@0	6,171,395.0001	WABCO HOLDINGS INC	462,560	476,683	1,933		478,616
980745F*9	6,171,405.0001	▇▇▇▇▇▇▇▇ INC	578,200	588,623	714		589,337
G1591#AU6	6,171,443.0001	BRITVIC PLC	331,763	340,677	1,569		342,246
G1591#AV4	6,171,445.0001	BRITVIC PLC	331,763	338,904	1,711		340,615
G1745*AR2	6,171,451.0001	BROOKFIELD UTILITIES ISSUER UK PLC	1,194,345	1,235,053	15,427		1,250,480
G2616#AM3	6,171,455.0001	DCC TREASURY 2014 LTD	2,197,160	2,261,560	5,999		2,267,559
G3663#AA9	6,171,471.0001	FORTH PORTS LTD	530,820	548,207	5,453		553,660
G5560@AB8	6,171,479.0001	LONDON LUTON AIRPORT HOLDINGS I LI	2,255,985	2,376,735	15,546		2,392,281
G6093#AB0	6,171,487.0001	APTARGROUP UK HOLDINGS LTD	2,428,440	2,506,444	8,411		2,514,854
G7059#AA2	6,171,495.0001	PHOENIX NATURAL GAS LTD	3,450,330	3,498,637	24,463		3,523,100
G7304*AA9	6,171,497.0001	QUADGAS FINANCE PLC	1,857,870	1,956,501	28,697		1,985,198
G7304*AB7	6,171,499.0001	QUADGAS FINANCE PLC	1,725,165	1,776,248	27,638		1,803,886
G8472#AE1	6,171,521.0001	STERIS CORPORATION	796,230	831,997	4,466		836,463
G9605#AJ8	6,171,531.0001	WHITBREAD GROUP PLC	1,194,345	1,211,501	6,792		1,218,293
N5276#AA5	6,171,551.0001	LITTELFUSE NETHERLAND CV	693,840	734,757	3,283		738,040
N5276#AB3	6,171,553.0001	LITTELFUSE NETHERLAND CV	462,560	477,369	3,513		480,883
N8502#AA5	6,171,559.0001	TELEDYNE NETHERLANDS BV	867,300	915,184	301		915,485



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
N8502#AB3	6,171,561.0001	TELEDYNE NETHERLANDS BV	578,200	610,123	238		610,361
N9651*AA6	6,171,567.0001	▇▇▇▇▇▇▇▇ INTERNATIONAL BV	346,920	348,001	501		348,503
Q2762#AA0	6,171,585.0001	CONNECTEAST FINANCE PTY LTD	1,503,400	1,506,062	17,151		1,523,212
▇▇▇▇▇▇▇▇▇	6,171,785.0001	MSC_06-T21 AJ	1,507,602	1,534,400	6,700		1,541,100
▇▇▇▇▇▇▇▇▇	6,171,885.0001	MALT_05-1 2A1	619,502	660,021	3,108		663,129
▇▇▇▇▇▇▇▇▇	6,171,943.0001	BSABS_05-AC9 A4	823,999	813,534	1,977		815,511
▇▇▇▇▇▇▇▇▇	6,171,967.0001	CAS_2015_C01	493,782	552,913	519		553,431
▇▇▇▇▇▇▇▇▇	6,171,969.0001	CAS_17-C03	1,187,000	1,262,356	969		1,263,325
▇▇▇▇▇▇▇▇▇	6,171,977.0001	CAS_17-C05	606,000	616,212	414		616,626
▇▇▇▇▇▇▇▇▇	6,171,981.0001	CAS_17-C05	550,000	559,268	376		559,644
▇▇▇▇▇▇▇▇▇	6,171,991.0001	FHLMC_1079 S	4,793	5,868	61		5,929
▇▇▇▇▇▇▇▇▇	6,171,993.0001	FHLMC_2398 SA	59,265	85,399	515		85,914
▇▇▇▇▇▇▇▇▇	6,171,995.0001	FHLMC_1644 X	10,055	11,341	87		11,428
▇▇▇▇▇▇▇▇▇	6,171,997.0001	FHLMC_1705 FA	174,917	—	303		303
▇▇▇▇▇▇▇▇▇	6,171,999.0001	FHLMC_1705 FA	132,013	—	229		229
▇▇▇▇▇▇▇▇▇	6,172,001.0001	▇▇▇▇▇_▇▇▇▇ ▇▇	▇▇▇,▇▇▇	—	▇▇▇		▇▇▇
▇▇▇▇▇▇▇▇▇	6,172,003.0001	FHLMC_1686 SB	34,637	42,101	509		42,610
▇▇▇▇▇▇▇▇▇	6,172,005.0001	FHLMC_1869 V	32,060	60,771	674		61,444
▇▇▇▇▇▇▇▇▇	6,172,007.0001	FHLMC_2033 SO	22,581	28,079	317		28,396
▇▇▇▇▇▇▇▇▇	6,172,009.0001	FNMA_00-18 SH	65,864	77,979	161		78,140
▇▇▇▇▇▇▇▇▇	6,172,011.0000	FHLMC_4193	1,261,221	1,267,056	3,966		1,271,022
▇▇▇▇▇▇▇▇▇	6,172,017.0001	STACR_15-HQA1	1,098,000	1,267,707	1,207		1,268,914
▇▇▇▇▇▇▇▇▇	6,172,019.0001	STACR_15-HQA2	956,000	1,122,653	1,067		1,123,720
▇▇▇▇▇▇▇▇▇	6,172,021.0001	FNMA_03-75 SR	42,643	71,694	90		71,784
▇▇▇▇▇▇▇▇▇	6,172,023.0001	FNMA_03-102 TS	79,401	162,695	531		163,227
▇▇▇▇▇▇▇▇▇	6,172,035.0001	FNMA_10-65	1,248,905	1,306,478	1,644		1,308,122
▇▇▇▇▇▇▇▇▇	6,172,037.0001	GNMA_04-95	550,221	770,524	4,041		774,565
▇▇▇▇▇▇▇▇▇	6,172,105.0001	FHSTR_207 IO	97,320	23,777	582		24,359
▇▇▇▇▇▇▇▇▇	6,172,107.0001	FHSTR_207 IO	97,320	23,777	582		24,359
▇▇▇▇▇▇▇▇▇	6,172,109.0001	FHLMC_1368 S	27,632	1,375	100		1,474
▇▇▇▇▇▇▇▇▇	6,172,111.0001	FHLMC_20 S	419,858	53,486	499		53,986
▇▇▇▇▇▇▇▇▇	6,172,113.0001	FHLMC_2074 S	127,903	14,853	347		15,200
▇▇▇▇▇▇▇▇▇	6,172,115.0001	FHLMC_2232 SA	150,899	13,299	403		13,703
▇▇▇▇▇▇▇▇▇	6,172,117.0001	FHLMC_2242 SG	94,590	5,499	289		5,788
▇▇▇▇▇▇▇▇▇	6,172,121.0001	FHLMC_2301 SP	39,859	5,717	133		5,850
▇▇▇▇▇▇▇▇▇	6,172,123.0001	FNMA_92-80 IO	5,227	592	38		630
▇▇▇▇▇▇▇▇▇	6,172,125.0001	FNMA_92-131 IO	14,420	1,985	106		2,091
▇▇▇▇▇▇▇▇▇	6,172,127.0001	FNMA_00-17 SB	508,134	74,945	628		75,573
▇▇▇▇▇▇▇▇▇	6,172,129.0001	FNMA_00-38 SJ	58,972	3,307	166		3,473
▇▇▇▇▇▇▇▇▇	6,172,131.0001	FNMA_00-38 SK	224,854	10,668	680		11,348
▇▇▇▇▇▇▇▇▇	6,172,133.0001	FNMA_97-18 SG	236,165	32,774	576		33,350
▇▇▇▇▇▇▇▇▇	6,172,135.0001	FNMA_97-91 FC	197,252	112	—		112
▇▇▇▇▇▇▇▇▇	6,172,137.0001	FNMA_01-8 SK	151,474	22,374	381		22,754
▇▇▇▇▇▇▇▇▇	6,172,139.0001	FNMA_01-8 SO	31,206	1,238	85		1,323
▇▇▇▇▇▇▇▇▇	6,172,141.0001	FNMA_01-15 S	310,647	8,906	742		9,648
▇▇▇▇▇▇▇▇▇	6,172,143.0001	FNMA_99-57 SC	102,438	6,833	335		7,168
▇▇▇▇▇▇▇▇▇	6,172,145.0001	FNSTR_83 2	7,666	592	64		655
▇▇▇▇▇▇▇▇▇	6,172,147.0001	FNSTR_104 2	38,820	4,783	319		5,102
▇▇▇▇▇▇▇▇▇	6,172,149.0001	FNSTR_133 2	1,601	157	13		170
▇▇▇▇▇▇▇▇▇	6,172,155.0001	FNMA_13-21	12,252,013	1,161,502	31,081		1,192,583



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
▇▇▇▇▇▇▇▇▇	6,172,167.0001	FHLMC_2444 TI	326,160	72,321	1,785		74,106
▇▇▇▇▇▇▇▇▇	6,172,169.0001	FHLMC_2444 TI	326,160	72,321	1,785		74,106
▇▇▇▇▇▇▇▇▇	6,172,171.0001	FHLMC_2444 TI	110,894	24,589	607		25,196
▇▇▇▇▇▇▇▇▇	6,172,173.0001	FNMA_03-49 SW	978,827	160,559	845		161,404
▇▇▇▇▇▇▇▇▇	6,172,175.0001	FNMA_04-46 ST	6,996,327	262,235	1,379		263,614
▇▇▇▇▇▇▇▇▇	6,172,177.0001	▇▇▇▇_▇▇-▇▇ ▇▇	1,047,790	122,625	852		123,477
▇▇▇▇▇▇▇▇▇	6,172,179.0001	FNMA_06-10 HI	3,933,492	630,998	3,196		634,195
▇▇▇▇▇▇▇▇▇	6,172,185.0001	FNMA_06-59 XS	4,231,527	722,272	3,811		726,083
▇▇▇▇▇▇▇▇▇	6,172,187.0001	FNMA_06-56 PS	5,171,316	786,225	4,176		790,402
▇▇▇▇▇▇▇▇▇	6,172,189.0001	FNMA_06-56 SM	941,702	139,771	778		140,549
▇▇▇▇▇▇▇▇▇	6,172,191.0001	FNMA_06-56 SM	3,139,006	465,902	2,593		468,496
▇▇▇▇▇▇▇▇▇	6,172,193.0001	FHLMC_2989 UV	1,103,171	161,324	2,549		163,874
▇▇▇▇▇▇▇▇▇	6,172,199.0001	FNMA_06-110 CX	4,508,321	783,967	3,614		787,581
▇▇▇▇▇▇▇▇▇	6,172,201.0001	FNMA_07-53	2,282,276	333,710	1,644		335,353
▇▇▇▇▇▇▇▇▇	6,172,203.0001	FNMA_07-53	2,282,276	333,710	1,644		335,353
▇▇▇▇▇▇▇▇▇	6,172,207.0001	FNMA_08-11 SA	2,074,373	295,823	1,540		297,363
▇▇▇▇▇▇▇▇▇	6,172,209.0001	FHLMC_3213 JS	4,278,312	825,391	10,261		835,652
▇▇▇▇▇▇▇▇▇	6,172,217.0001	FNMA_10-110	3,892,919	578,767	2,694		581,461
▇▇▇▇▇▇▇▇▇	6,172,219.0001	GNMA_01-28 S	1,320,951	200,167	3,462		203,629
▇▇▇▇▇▇▇▇▇	6,172,221.0001	GNMA_05-37 SI	2,792,495	441,503	3,677		445,180
▇▇▇▇▇▇▇▇▇	6,172,225.0001	GNMA_09-100B SX	3,454,690	491,814	6,574		498,388
▇▇▇▇▇▇▇▇▇	6,172,231.0001	GNMA_10-99 IT	2,900,153	514,119	12,314		526,433
▇▇▇▇▇▇▇▇▇	6,172,243.0001	GNMA_00-22 SD	102,524	3,377	384		3,760
▇▇▇▇▇▇▇▇▇	6,172,253.0001	FHLMC_172 I	2	6	2		8
▇▇▇▇▇▇▇▇▇	6,172,255.0001	FHLMC_121 I	83	387	25		411
▇▇▇▇▇▇▇▇▇	6,172,257.0001	FHLMC_1023 C	140	768	66		835
▇▇▇▇▇▇▇▇▇	6,172,259.0001	FHLMC_182 S	20	156	10		166
▇▇▇▇▇▇▇▇▇	6,172,261.0001	FHLMC_1022 K	423	1,437	180		1,617
▇▇▇▇▇▇▇▇▇	6,172,263.0001	FHLMC_1006 I	51	348	38		387
▇▇▇▇▇▇▇▇▇	6,172,265.0001	FHLMC_1074 J	181	474	54		528
▇▇▇▇▇▇▇▇▇	6,172,267.0001	FHLMC_1094 L	146	2,014	147		2,161
▇▇▇▇▇▇▇▇▇	6,172,269.0001	FHLMC_1159 D	120	1,154	50		1,204
▇▇▇▇▇▇▇▇▇	6,172,271.0001	FHLMC_1155 L	54	707	56		762
▇▇▇▇▇▇▇▇▇	6,172,273.0001	FHLMC_1278 L	46	551	46		597
▇▇▇▇▇▇▇▇▇	6,172,277.0001	FNMA_90-97 H	66	565	66		631
▇▇▇▇▇▇▇▇▇	6,172,279.0001	FNMA_90-59 K	48	500	49		549
▇▇▇▇▇▇▇▇▇	6,172,283.0001	FNMA_G-9 G	94	513	41		555
▇▇▇▇▇▇▇▇▇	6,172,287.0001	▇▇▇▇_▇▇-▇▇ ▇▇	78	1,046	79		1,125
▇▇▇▇▇▇▇▇▇	6,172,291.0001	FNMA_92-73 SQ	76	8,539	105		8,644
▇▇▇▇▇▇▇▇▇	6,172,293.0001	FNMA_G92-65 LD	124	1,435	79		1,514
▇▇▇▇▇▇▇▇▇	6,172,295.0001	FNMA_89-34 J	10	43	10		53
▇▇▇▇▇▇▇▇▇	6,172,299.0001	FHLMC_1998 CE	16,557	15,395	78		15,472
▇▇▇▇▇▇▇▇▇	6,172,303.0001	FNMA_94-8 H	103,318	98,749	611		99,361
▇▇▇▇▇▇▇▇▇	6,172,305.0001	FNMA_94-8 H	55,633	53,173	329		53,502
▇▇▇▇▇▇▇▇▇	6,172,311.0001	FNMA_04-53 ED	861,766	737,273	—		737,273
▇▇▇▇▇▇▇▇▇	6,175,739.0001	SOUTHERN COMPANY GAS CAPITAL COR	12,225,000	12,193,949	54,673		12,248,621
▇▇▇▇▇▇▇▇▇	6,175,759.0001	ANZ NEW ZEALAND INTL LTD (LONDON B	13,250,000	12,726,095	132,058		12,858,153
▇▇▇▇▇▇▇▇▇	6,175,785.0001	▇▇▇▇▇▇ LABORATORIES	2,000,000	1,997,980	9,903		2,007,883
▇▇▇▇▇▇▇▇▇	6,175,805.0001	ACE INA HOLDINGS INC	1,700,000	1,761,574	36,564		1,798,138



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
▇▇▇▇▇▇▇▇▇	6,175,823.0001	ADOBE SYSTEMS INCORPORATED	5,000,000	5,163,900	59,375		5,223,275
▇▇▇▇▇▇▇▇▇	6,175,859.0001	AIR LEASE CORPORATION	5,409,000	5,417,979	50,709		5,468,688
▇▇▇▇▇▇▇▇▇	6,175,861.0001	AIRBUS GROUP SE	1,200,000	1,180,368	2,765		1,183,133
▇▇▇▇▇▇▇▇▇	6,175,873.0001	ALBEMARLE CORPORATION	2,000,000	2,027,960	34,583		2,062,543
▇▇▇▇▇▇▇▇▇	6,175,891.0001	ALIMENTATION COUCHE-TARD INC	11,000,000	10,408,420	103,049		10,511,469
▇▇▇▇▇▇▇▇▇	6,175,905.0001	ALTRIA GROUP INC.	6,000,000	6,218,100	276,450		6,494,550
▇▇▇▇▇▇▇▇▇	6,175,907.0001	ALTRIA GROUP INC.	8,000,000	7,540,800	77,444		7,618,244
▇▇▇▇▇▇▇▇▇	6,175,911.0001	▇▇▇▇▇▇.▇▇▇ INC	18,000,000	17,772,840	133,688		17,906,528
▇▇▇▇▇▇▇▇▇	6,175,913.0001	▇▇▇▇▇▇.▇▇▇ INC	10,000,000	9,885,500	77,625		9,963,125
▇▇▇▇▇▇▇▇▇	6,175,925.0001	AMEREN ILLINOIS CO	4,000,000	4,063,960	21,211		4,085,171
▇▇▇▇▇▇▇▇▇	6,175,927.0001	AMEREN ILLINOIS CO	2,000,000	2,031,980	10,606		2,042,586
▇▇▇▇▇▇▇▇▇	6,175,929.0001	AMXLMM 6 3/8 03/01/35	722,000	859,332	7,671		867,003
▇▇▇▇▇▇▇▇▇	6,175,931.0001	AMERICA MOVIL SAB DE CV	563,000	579,665	2,424		582,089
▇▇▇▇▇▇▇▇▇	6,175,981.0001	AMERIPRISE FINANCIAL INC	10,000,000	10,002,500	16,444		10,018,944
031100G#1	6,175,985.0001	AMETEK INC	28,000,755	28,196,616	330,355		28,526,971
▇▇▇▇▇▇▇▇▇	6,175,993.0001	AMGEN INC	1,143,000	1,173,427	6,572		1,179,999
▇▇▇▇▇▇▇▇▇	6,176,021.0001	ANHEUSER-▇▇▇▇▇ INBEV WORLDWIDE I	2,000,000	1,976,640	6,563		1,983,203
▇▇▇▇▇▇▇▇▇	6,176,025.0001	ANHEUSER-▇▇▇▇▇ INBEV FINANCE INC	1,000,000	1,036,060	12,250		1,048,310
▇▇▇▇▇▇▇▇▇	6,176,049.0001	APPLE INC	10,000,000	9,999,300	167,708		10,167,008
▇▇▇▇▇▇▇▇▇	6,176,063.0001	APPLIED MATERIALS INC	750,000	773,903	2,719		776,621
▇▇▇▇▇▇▇▇▇	6,176,129.0001	BAT CAPITAL CORP	7,000,000	6,575,520	52,565		6,628,085
▇▇▇▇▇▇▇▇▇	6,176,137.0001	BG ENERGY CAPITAL PLC	5,000,000	5,530,750	11,389		5,542,139
▇▇▇▇▇▇▇▇▇	6,176,139.0001	BHP BILLITON FINANCE (USA) LTD	3,389,000	3,350,535	18,134		3,368,668
▇▇▇▇▇▇▇▇▇	6,176,147.0001	BNP PARIBAS SA	7,500,000	7,021,800	177,240		7,199,040
▇▇▇▇▇▇▇▇▇	6,176,155.0001	BP CAPITAL MARKETS PLC	1,000,000	963,430	12,153		975,583
▇▇▇▇▇▇▇▇▇	6,176,159.0001	BP CAPITAL MARKETS PLC	1,000,000	1,012,680	8,582		1,021,262
▇▇▇▇▇▇▇▇▇	6,176,171.0001	BURLINGTON NORTHERN AND SANTA FE	4,316,838	4,444,012	61,393		4,505,405
▇▇▇▇▇▇▇▇▇	6,176,173.0001	BURLINGTON NORTHERN AND SANTA FE	2,698,024	2,777,508	38,370		2,815,878
▇▇▇▇▇▇▇▇▇	6,176,189.0001	▇▇▇▇▇ ▇▇▇▇▇▇ A GE CO LLC / ▇▇▇▇▇ H	5,000,000	4,693,300	64,886		4,758,186
▇▇▇▇▇▇▇▇▇	6,176,193.0001	BANCO DE CREDITO E INVERSIONES-SD	1,500,000	1,387,500	2,771		1,390,271
▇▇▇▇▇▇▇▇▇	6,176,211.0001	BANK OF NEW YORK MELLON CORP	8,000,000	8,089,440	29,978		8,119,418
▇▇▇▇▇▇▇▇▇	6,176,213.0001	BANK OF NEW YORK MELLON CORP	3,240,000	3,281,796	57,947		3,339,743
▇▇▇▇▇▇▇▇▇	6,176,215.0001	BANK OF NEW YORK MELLON CORP	15,000,000	14,667,300	67,708		14,735,008
▇▇▇▇▇▇▇▇▇	6,176,217.0001	BANK OF NEW YORK MELLON CORP/THE	8,500,000	8,125,235	126,615		8,251,850
▇▇▇▇▇▇▇▇▇	6,176,219.0001	BANK OF NEW YORK MELLON CORP	5,000,000	4,625,700	31,167		4,656,867
▇▇▇▇▇▇▇▇▇	6,176,241.0001	BAYER US FINANCE LLC	5,000,000	4,920,150	9,583		4,929,733
▇▇▇▇▇▇▇▇▇	6,176,243.0001	BAYER US FINANCE LLC	5,000,000	4,920,150	9,583		4,929,733
▇▇▇▇▇▇▇▇▇	6,176,263.0001	BIOGEN INC	3,000,000	3,009,750	15,525		3,025,275
▇▇▇▇▇▇▇▇▇	6,176,267.0001	BLACKROCK INC	1,000,000	997,640	4,181		1,001,821
▇▇▇▇▇▇▇▇▇	6,176,291.0001	BOSTON GAS CO	9,500,000	9,006,095	74,813		9,080,908
▇▇▇▇▇▇▇▇▇	6,176,297.0001	BRAZIL (FEDERATIVE REPUBLIC OF)	625,000	774,375	14,466		788,841



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
▇▇▇▇▇▇▇▇▇	6,176,299.0001	BRAZIL (FEDERATIVE REPUBLIC OF)	765,000	728,663	13,627		742,289
▇▇▇▇▇▇▇▇▇	6,176,301.0001	BRAZIL (FEDERATIVE REPUBLIC OF)	1,077,000	1,025,843	19,184		1,045,027
▇▇▇▇▇▇▇▇▇	6,176,303.0001	BRAZIL FEDERATIVE REPUBLIC OF (GO	2,578,000	2,226,748	33,657		2,260,405
▇▇▇▇▇▇▇▇▇	6,176,309.0001	BRITISH SKY BROADCASTING GROUP PLC	5,000,000	5,008,600	23,438		5,032,038
▇▇▇▇▇▇▇▇▇	6,176,311.0001	BRITISH TELECOMMUNICATIONS PLC	12,000,000	17,271,000	413,667		17,684,667
▇▇▇▇▇▇▇▇▇	6,176,315.0001	BRIXMOR OPERATING PARTNERSHIP LP	1,000,000	996,390	8,181		1,004,571
▇▇▇▇▇▇▇▇▇	6,176,333.0001	BROOKLYN UNION GAS CO	850,000	888,811	5,424		894,235
▇▇▇▇▇▇▇▇▇	6,176,347.0001	CBS CORP	14,150,000	13,304,255	239,960		13,544,215
▇▇▇▇▇▇▇▇▇	6,176,353.0001	CDP FINANCIAL INC 144A	700,000	881,237	16,987		898,224
▇▇▇▇▇▇▇▇▇	6,176,355.0001	CDP FINANCIAL INC 144A	700,000	881,237	16,987		898,224
▇▇▇▇▇▇▇▇▇	6,176,357.0001	CDP FINANCIAL INC 144A	450,000	566,510	10,920		577,430
▇▇▇▇▇▇▇▇▇	6,176,369.0001	CF INDUSTRIES INC	4,000,000	4,004,840	75,000		4,079,840
▇▇▇▇▇▇▇▇▇	6,176,387.0001	CMS ENERGY CORPORATION	565,000	593,832	8,828		602,660
▇▇▇▇▇▇▇▇▇	6,176,413.0001	CVS HEALTH CORP	1,000,000	1,049,340	20,833		1,070,173
▇▇▇▇▇▇▇▇▇	6,176,417.0001	CA INC	2,000,000	2,011,600	18,000		2,029,600
▇▇▇▇▇▇▇▇▇	6,176,419.0001	CA INC	4,000,000	4,024,160	24,022		4,048,182
▇▇▇▇▇▇▇▇▇	6,176,427.0001	CANADIAN NATURAL RESOURCES LTD	13,000,000	12,569,310	208,542		12,777,852
▇▇▇▇▇▇▇▇▇	6,176,435.0001	CARDINAL HEALTH INC	8,500,000	7,892,420	109,499		8,001,919
▇▇▇▇▇▇▇▇▇	6,176,477.0001	CATERPILLAR FINANC MTN	5,000,000	5,175,150	75,472		5,250,622
▇▇▇▇▇▇▇▇▇	6,176,489.0001	CELULOSA ARAUCO Y CONSTITUCION SA	2,850,000	2,707,500	54,912		2,762,412
▇▇▇▇▇▇▇▇▇	6,176,491.0001	CENCOSUD SA	2,250,000	2,112,188	28,438		2,140,625
▇▇▇▇▇▇▇▇▇	6,176,495.0001	CENOVUS ENERGY INC	10,000,000	8,718,600	56,861		8,775,461
▇▇▇▇▇▇▇▇▇	6,176,503.0001	CENTERPOINT ENERGY INC	8,000,000	8,204,480	106,000		8,310,480
▇▇▇▇▇▇▇▇▇	6,176,531.0001	CHEVRON CORP	10,625,000	10,153,356	143,854		10,297,210
▇▇▇▇▇▇▇▇▇	6,176,539.0001	CHILE (REPUBLIC OF)	1,275,000	1,198,500	17,772		1,216,272
▇▇▇▇▇▇▇▇▇	6,176,551.0001	CHURCH & ▇▇▇▇▇▇ CO INC	3,900,000	3,524,118	38,513		3,562,631
▇▇▇▇▇▇▇▇▇	6,176,553.0001	CHURCH & ▇▇▇▇▇▇ CO INC	6,000,000	5,570,100	47,250		5,617,350
▇▇▇▇▇▇▇▇▇	6,176,555.0001	CISCO SYSTEMS INC	3,000,000	2,984,520	34,000		3,018,520
▇▇▇▇▇▇▇▇▇	6,176,559.0001	CITIGROUP INC	15,000,000	14,313,900	148,248		14,462,148
▇▇▇▇▇▇▇▇▇	6,176,599.0001	COCA-COLA COMPANY (THE)	4,050,000	4,091,351	58,826		4,150,177
▇▇▇▇▇▇▇▇▇	6,176,601.0001	COCA-COLA CO	5,800,000	5,788,052	92,800		5,880,852
▇▇▇▇▇▇▇▇▇	6,176,615.0001	COLGATE-PALMOLIVE CO	4,400,000	4,132,348	40,700		4,173,048
▇▇▇▇▇▇▇▇▇	6,176,617.0001	COLOMBIA 11.75% 2/20	1,080,000	1,240,650	23,265		1,263,915
▇▇▇▇▇▇▇▇▇	6,176,619.0001	COLOMBIA 11.75% 2/20	2,183,000	2,507,721	47,025		2,554,747
▇▇▇▇▇▇▇▇▇	6,176,625.0001	COLOMBIA (REPUBLIC OF)	1,111,000	1,150,441	9,787		1,160,227
▇▇▇▇▇▇▇▇▇	6,176,653.0001	COLOMBIA (REPUBLIC OF)	4,345,000	4,898,988	76,143		4,975,131
▇▇▇▇▇▇▇▇▇	6,176,663.0001	COLONIAL PIPELINE CO	3,000,000	3,024,150	4,667		3,028,817
▇▇▇▇▇▇▇▇▇	6,176,673.0001	OHIO POWER CO	1,125,000	1,337,378	5,484		1,342,862
▇▇▇▇▇▇▇▇▇	6,176,677.0001	OHIO POWER CO	1,020,000	1,212,556	4,973		1,217,528
▇▇▇▇▇▇▇▇▇	6,176,697.0001	COMMONWEALTH BANK OF AUSTRALIA	3,500,000	3,328,290	41,329		3,369,619
▇▇▇▇▇▇▇▇▇	6,176,711.0001	CONCHO RESOURCES INC	1,500,000	1,530,510	6,094		1,536,604
▇▇▇▇▇▇▇▇▇	6,176,715.0001	CONNECTICUT LIGHT AND POWER CO	2,750,000	2,879,113	5,256		2,884,368
▇▇▇▇▇▇▇▇▇	6,176,721.0001	CONSOLIDATED EDISON CO OF NEW YOR	5,000,000	5,124,150	148,438		5,272,588
▇▇▇▇▇▇▇▇▇	6,176,769.0001	▇▇▇ COMMUNICATIONS INC	6,900,000	6,503,250	50,983		6,554,233



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
▇▇▇▇▇▇▇▇▇	6,176,781.0001	CREDIT SUISSE GROUP FUNDING (GUERN	2,000,000	2,001,160	9,711		2,010,871
▇▇▇▇▇▇▇▇▇	6,176,819.0001	CROWN CASTLE INTERNATIONAL CORP	6,500,000	6,105,970	39,542		6,145,512
▇▇▇▇▇▇▇▇▇	6,176,821.0001	CUMMINS INC	1,500,000	1,526,880	4,563		1,531,443
▇▇▇▇▇▇▇▇▇	6,176,851.0001	DTE ELECTRIC CO	1,500,000	1,423,125	23,125		1,446,250
▇▇▇▇▇▇▇▇▇	6,176,853.0001	DTE ELECTRIC CO	6,500,000	6,211,010	51,458		6,262,468
▇▇▇▇▇▇▇▇▇	6,176,859.0001	▇▇▇▇▇▇▇ CORP	1,000,000	1,046,130	5,590		1,051,720
▇▇▇▇▇▇▇▇▇	6,176,899.0001	▇▇▇▇ DISNEY CO	5,000,000	5,046,200	85,938		5,132,138
▇▇▇▇▇▇▇▇▇	6,176,911.0001	DISCOVERY COMMUNICATIONS LLC	3,000,000	3,106,740	63,125		3,169,865
▇▇▇▇▇▇▇▇▇	6,176,921.0001	DISCOVERY COMMUNICATIONS LLC	5,000,000	4,926,050	89,917		5,015,967
▇▇▇▇▇▇▇▇▇	6,176,941.0001	DOMINION RESOURCES INC	1,000,000	1,004,860	24,178		1,029,038
▇▇▇▇▇▇▇▇▇	6,176,951.0001	DOW CHEMICAL CO	10,000,000	9,804,600	35,417		9,840,017
▇▇▇▇▇▇▇▇▇	6,176,959.0001	DUKE ENERGY CORP	1,000,000	1,005,300	4,536		1,009,836
▇▇▇▇▇▇▇▇▇	6,176,963.0001	DUKE ENERGY PROGRESS INC	1,000,000	1,023,480	8,867		1,032,347
▇▇▇▇▇▇▇▇▇	6,176,981.0001	EOG RESOURCES INC.	1,000,000	1,024,590	18,333		1,042,923
▇▇▇▇▇▇▇▇▇	6,177,001.0001	▇▇▇▇▇▇▇ CHEMICAL COMPANY	10,000,000	9,996,700	48,556		10,045,256
▇▇▇▇▇▇▇▇▇	6,177,057.0001	EMPRESA NACIONAL DEL PETROLEO ENA	4,580,000	4,345,275	41,029		4,386,304
▇▇▇▇▇▇▇▇▇	6,177,069.0001	IBERDROLA INTERNATIONAL BV	500,000	589,765	4,313		594,078
▇▇▇▇▇▇▇▇▇	6,177,075.0001	ENERGY TRANSFER PARTNERS LP	4,000,000	4,057,280	100,833		4,158,113
▇▇▇▇▇▇▇▇▇	6,177,081.0001	ENERGY TRANSFER PARTNERS LP	3,000,000	2,992,320	41,958		3,034,278
▇▇▇▇▇▇▇▇▇	6,177,115.0001	ENTERGY LOUISIANA LLC	7,000,000	6,641,110	36,400		6,677,510
▇▇▇▇▇▇▇▇▇	6,177,123.0001	ENTERPRISE PRODUCTS OPERATING LP	4,000,000	4,414,000	38,333		4,452,333
▇▇▇▇▇▇▇▇▇	6,177,141.0001	▇▇▇▇▇ ▇▇▇▇▇▇ CO INC	1,200,000	1,123,519	9,373		1,132,893
▇▇▇▇▇▇▇▇▇	6,177,147.0001	EXPEDIA INC	1,600,000	1,623,984	16,889		1,640,873
▇▇▇▇▇▇▇▇▇	6,177,151.0001	EXXON MOBIL CORP	8,650,000	8,262,567	35,800		8,298,367
▇▇▇▇▇▇▇▇▇	6,177,201.0001	▇▇▇▇▇ FARGO & COMPANY	6,500,000	8,477,365	21,667		8,499,032
▇▇▇▇▇▇▇▇▇	6,177,207.0001	FLEXTRONICS INTERNATIONAL LTD.	500,000	510,000	4,882		514,882
▇▇▇▇▇▇▇▇▇	6,177,221.0001	DUKE ENERGY FLORIDA LLC	6,900,000	8,239,290	67,850		8,307,140
▇▇▇▇▇▇▇▇▇	6,177,245.0001	FORD MOTOR CREDIT CO LLC	580,000	625,826	13,876		639,701
▇▇▇▇▇▇▇▇▇	6,177,247.0001	FORD MOTOR CREDIT CO LLC	460,000	485,323	6,613		491,936
▇▇▇▇▇▇▇▇▇	6,177,251.0001	FORD MOTOR CREDIT COMPANY LLC	20,000,000	19,466,400	237,067		19,703,467
▇▇▇▇▇▇▇▇▇	6,177,253.0001	FOREST LABORATORIES INC	472,000	489,615	8,916		498,531
▇▇▇▇▇▇▇▇▇	6,177,317.0001	GENERAL ▇▇▇▇▇ INC	4,000,000	4,087,440	47,711		4,135,151
▇▇▇▇▇▇▇▇▇	6,177,319.0001	GENERAL MOTORS CO	460,000	461,523	1,297		462,819
▇▇▇▇▇▇▇▇▇	6,177,321.0001	GENERAL MOTORS CO	460,000	474,058	1,806		475,864
372460D*3	6,177,359.0001	GENUINE PARTS COMPANY	10,060,680	10,674,476	409		10,674,885
▇▇▇▇▇▇▇▇▇	6,177,381.0001	GEORGIA POWER COMPANY	3,000,000	3,057,150	53,125		3,110,275
▇▇▇▇▇▇▇▇▇	6,177,383.0001	GILEAD SCIENCES INC	1,000,000	1,007,720	3,083		1,010,803
▇▇▇▇▇▇▇▇▇	6,177,401.0001	▇▇▇▇▇▇▇ SACHS GROUP INC	15,000,000	14,495,550	152,396		14,647,946
▇▇▇▇▇▇▇▇▇	6,177,449.0001	GRUPO TELEVISA SA	4,842,000	5,386,531	94,453		5,480,984
▇▇▇▇▇▇▇▇▇	6,177,455.0001	GRUPO BIMBO SAB DE CV	3,300,000	3,051,510	73,673		3,125,183
▇▇▇▇▇▇▇▇▇	6,177,473.0001	HSBC HOLDINGS PLC	2,000,000	2,005,200	10,011		2,015,211
▇▇▇▇▇▇▇▇▇	6,177,475.0001	HSBC HOLDINGS PLC	2,000,000	2,027,220	12,661		2,039,881
▇▇▇▇▇▇▇▇▇	6,177,487.0001	HALLIBURTON CO	3,000,000	2,991,120	26,250		3,017,370
▇▇▇▇▇▇▇▇▇	6,177,507.0001	HARTFORD FINANCIAL SERVICES GROUP	1,000,000	1,004,700	30,694		1,035,395



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
▇▇▇▇▇▇▇▇▇	6,177,559.0001	HOST HOTELS & RESORTS LP	525,000	538,251	4,156		542,407
▇▇▇▇▇▇▇▇▇	6,177,591.0001	HUSKY ENERGY INC.	3,875,000	3,898,754	6,889		3,905,643
▇▇▇▇▇▇▇▇▇	6,177,593.0001	HUSKY ENERGY INC.	4,000,000	4,024,520	7,111		4,031,631
▇▇▇▇▇▇▇▇▇	6,177,599.0001	▇▇▇▇▇▇▇▇▇ WHAMPOA LTD 144A	600,000	624,637	2,796		627,433
▇▇▇▇▇▇▇▇▇	6,177,621.0001	INDIANA MICHIGAN POWER COMPANY	1,000,000	1,053,640	5,814		1,059,454
▇▇▇▇▇▇▇▇▇	6,177,623.0001	INDIANAPOLIS POWER & LIGHT CO	8,300,000	8,017,468	168,075		8,185,543
▇▇▇▇▇▇▇▇▇	6,177,643.0001	INDONESIA (REPUBLIC OF)	2,250,000	2,103,750	30,625		2,134,375
▇▇▇▇▇▇▇▇▇	6,177,669.0001	INTEL CORP	5,000,000	5,038,450	47,278		5,085,728
▇▇▇▇▇▇▇▇▇	6,177,695.0001	INTESA SANPAOLO SPA	16,500,000	15,477,165	190,036		15,667,201
▇▇▇▇▇▇▇▇▇	6,177,745.0001	JPMORGAN CHASE & CO	6,320,000	5,900,542	66,106		5,966,648
▇▇▇▇▇▇▇▇▇	6,177,769.0001	JERSEY CENTRAL POWER & LIGHT COMP	2,000,000	2,061,040	36,750		2,097,790
▇▇▇▇▇▇▇▇▇	6,177,771.0001	▇▇▇▇▇▇▇ & ▇▇▇▇▇▇▇	1,000,000	1,004,050	4,917		1,008,967
▇▇▇▇▇▇▇▇▇	6,177,777.0001	▇▇▇▇▇▇▇ & ▇▇▇▇▇▇▇	1,000,000	971,030	5,917		976,947
▇▇▇▇▇▇▇▇▇	6,177,779.0001	▇▇▇▇▇▇▇ & ▇▇▇▇▇▇▇	7,500,000	7,282,725	44,375		7,327,100
▇▇▇▇▇▇▇▇▇	6,177,781.0001	▇▇▇▇▇▇▇ & ▇▇▇▇▇▇▇	1,700,000	1,650,751	10,058		1,660,809
▇▇▇▇▇▇▇▇▇	6,177,783.0001	▇▇▇▇▇▇▇ & ▇▇▇▇▇▇▇	1,000,000	963,130	6,167		969,297
▇▇▇▇▇▇▇▇▇	6,177,785.0001	SC ▇▇▇▇▇▇▇ & SON INC	500,000	553,240	1,056		554,296
▇▇▇▇▇▇▇▇▇	6,177,787.0001	SC ▇▇▇▇▇▇▇ & SON INC	800,000	885,184	1,689		886,873
▇▇▇▇▇▇▇▇▇	6,177,805.0001	KSA SUKUK LTD	5,250,000	4,969,125	5,820		4,974,945
▇▇▇▇▇▇▇▇▇	6,177,869.0001	KENTUCKY UTILITIES CO	500,000	517,495	1,823		519,318
▇▇▇▇▇▇▇▇▇	6,177,873.0001	▇▇▇▇▇▇ REALTY LP	2,000,000	1,997,860	7,292		2,005,152
▇▇▇▇▇▇▇▇▇	6,177,905.0001	KOREA GAS CORPORATION	3,750,000	3,604,688	28,932		3,633,620
▇▇▇▇▇▇▇▇▇	6,177,917.0001	KROGER CO	10,000,000	9,514,300	92,500		9,606,800
▇▇▇▇▇▇▇▇▇	6,177,965.0001	▇▇▇ ▇▇▇▇▇ AND COMPANY	15,000,000	14,423,100	214,417		14,637,517
▇▇▇▇▇▇▇▇▇	6,177,967.0001	▇▇▇ LILLY AND COMPANY	1,100,000	1,097,129	20,035		1,117,164
▇▇▇▇▇▇▇▇▇	6,177,995.0001	REPUBLIC OF LITHUANIA	900,000	966,375	7,963		974,338
▇▇▇▇▇▇▇▇▇	6,177,997.0001	REPUBLIC OF LITHUANIA	905,000	971,744	8,007		979,750
▇▇▇▇▇▇▇▇▇	6,178,025.0001	LOWES COMPANIES INC	2,500,000	2,268,125	4,111		2,272,236
▇▇▇▇▇▇▇▇▇	6,178,065.0001	MACQUARIE GROUP LTD	6,500,000	6,067,165	103,953		6,171,118
▇▇▇▇▇▇▇▇▇	6,178,067.0001	MACQUARIE BANK LTD	10,000,000	10,010,800	102,222		10,113,022
▇▇▇▇▇▇▇▇▇	6,178,069.0001	MACYS RETAIL HOLDINGS INC	4,500,000	4,482,135	32,813		4,514,948
▇▇▇▇▇▇▇▇▇	6,178,071.0001	MACYS RETAIL HOLDINGS INC	11,500,000	10,998,370	173,698		11,172,068
▇▇▇▇▇▇▇▇▇	6,178,073.0001	MAGELLAN MIDSTREAM PARTNERS LP	1,000,000	1,007,630	18,844		1,026,474
▇▇▇▇▇▇▇▇▇	6,178,077.0001	MAGNA INTERNATIONAL INC.	1,250,000	1,270,950	4,323		1,275,273
▇▇▇▇▇▇▇▇▇	6,178,119.0001	MASSACHUSETTS ELECTRIC COMPANY 14	500,000	619,095	13,603		632,698
▇▇▇▇▇▇▇▇▇	6,178,121.0001	MASTERCARD INC	9,000,000	9,011,341	25,313		9,036,653
▇▇▇▇▇▇▇▇▇	6,178,123.0001	MASTERCARD INC	3,000,000	3,003,780	8,438		3,012,218
▇▇▇▇▇▇▇▇▇	6,178,129.0001	▇▇▇▇▇▇▇▇▇ & CO INC	7,000,000	6,631,590	50,244		6,681,834
▇▇▇▇▇▇▇▇▇	6,178,133.0001	MCDONALDS CORPORATION	2,500,000	2,528,550	25,764		2,554,314
▇▇▇▇▇▇▇▇▇	6,178,137.0001	MCDONALDS CORP	10,000,000	9,024,100	78,111		9,102,211
▇▇▇▇▇▇▇▇▇	6,178,141.0001	MEDCO HEALTH SOLUTIONS INC	5,000,000	5,079,650	26,354		5,106,004
▇▇▇▇▇▇▇▇▇	6,178,149.0001	MEDTRONIC INC	1,000,000	1,004,890	4,632		1,009,522
▇▇▇▇▇▇▇▇▇	6,178,151.0001	MEDTRONIC INC	1,100,000	1,097,646	4,428		1,102,074
▇▇▇▇▇▇▇▇▇	6,178,189.0001	MEXICO CITY AIRPORT TRUST	1,200,000	1,077,120	129		1,077,249
▇▇▇▇▇▇▇▇▇	6,178,191.0001	MEXICO CITY AIRPORT TRUST	1,050,000	933,188	14,598		947,785
▇▇▇▇▇▇▇▇▇	6,178,195.0001	MICROSOFT CORP	2,000,000	1,926,980	23,750		1,950,730
▇▇▇▇▇▇▇▇▇	6,178,197.0001	MICROSOFT CORP	2,200,000	2,240,920	30,128		2,271,048



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
▇▇▇▇▇▇▇▇▇	6,178,221.0001	MISSISSIPPI POWER COMPANY	9,000,000	8,645,130	48,875		8,694,005
▇▇▇▇▇▇▇▇▇	6,178,237.0001	MIZUHO FINANCIAL GROUP INC	9,000,000	8,431,830	39,625		8,471,455
▇▇▇▇▇▇▇▇▇	6,178,239.0001	MIZUHO BANK LTD	9,000,000	9,012,959	14,063		9,027,022
▇▇▇▇▇▇▇▇▇	6,178,241.0001	MIZUHO BANK LTD	5,000,000	5,007,200	7,813		5,015,012
▇▇▇▇▇▇▇▇▇	6,178,243.0001	MIZUHO BANK LTD	1,000,000	1,001,440	1,563		1,003,002
▇▇▇▇▇▇▇▇▇	6,178,261.0001	▇▇▇▇▇▇ ▇▇▇▇▇▇▇	15,000,000	14,240,550	148,129		14,388,679
▇▇▇▇▇▇▇▇▇	6,178,263.0001	▇▇▇▇▇▇ ▇▇▇▇▇▇▇	9,500,000	8,883,260	103,742		8,987,002
▇▇▇▇▇▇▇▇▇	6,178,273.0001	MOSAIC CO	7,000,000	6,982,640	121,042		7,103,682
▇▇▇▇▇▇▇▇▇	6,178,275.0001	MOSAIC CO	10,000,000	9,463,000	189,000		9,652,000
▇▇▇▇▇▇▇▇▇	6,178,317.0001	NATIONAL RETAIL PROPERTIES INC	2,000,000	1,998,400	3,378		2,001,778
▇▇▇▇▇▇▇▇▇	6,178,327.0001	NATIONAL RURAL UTILITIES COOP FINA	4,500,000	4,704,165	7,219		4,711,384
▇▇▇▇▇▇▇▇▇	6,178,329.0001	NATIONAL RURAL UTILITIES COOP FINA	6,100,000	5,769,258	3,101		5,772,359
▇▇▇▇▇▇▇▇▇	6,178,343.0001	NEW YORK STATE ELECTRIC & GAS CORP	20,000,000	19,214,600	270,833		19,485,433
▇▇▇▇▇▇▇▇▇	6,178,367.0001	NEXTERA ENERGY INC	3,000,000	3,088,980	56,250		3,145,230
▇▇▇▇▇▇▇▇▇	6,178,369.0001	NEXTERA ENERGY CAPITAL HOLDINGS IN	7,000,000	6,676,670	167,067		6,843,737
▇▇▇▇▇▇▇▇▇	6,178,373.0001	NIKE INC	4,900,000	4,776,569	94,938		4,871,507
▇▇▇▇▇▇▇▇▇	6,178,375.0001	NISOURCE FINANCE CORP	2,500,000	2,620,150	17,410		2,637,560
▇▇▇▇▇▇▇▇▇	6,178,381.0001	NORTHERN STATES POWER CO	4,700,000	4,405,733	78,020		4,483,753
▇▇▇▇▇▇▇▇▇	6,178,383.0001	NORTHERN TRUST CORPORATION	5,700,000	5,356,575	92,447		5,449,022
▇▇▇▇▇▇▇▇▇	6,178,385.0001	NORTHERN TRUST CORPORATION	5,500,000	5,168,625	89,203		5,257,828
▇▇▇▇▇▇▇▇▇	6,178,405.0001	NOVARTIS CAPITAL CORP	3,000,000	2,898,690	8,000		2,906,690
▇▇▇▇▇▇▇▇▇	6,178,407.0001	NOVARTIS CAPITAL CORP	700,000	677,488	2,878		680,366
▇▇▇▇▇▇▇▇▇	6,178,409.0001	NOVARTIS CAPITAL CORP	600,000	580,704	2,467		583,171
▇▇▇▇▇▇▇▇▇	6,178,411.0001	NOVARTIS CAPITAL CORP	700,000	677,488	2,878		680,366
▇▇▇▇▇▇▇▇▇	6,178,413.0001	NOVARTIS CAPITAL CORP	10,000,000	9,955,900	165,278		10,121,178
▇▇▇▇▇▇▇▇▇	6,178,417.0001	NOVARTIS CAPITAL CORP	500,000	503,715	8,944		512,659
▇▇▇▇▇▇▇▇▇	6,178,431.0001	NV ENERGY INC	690,000	740,798	19,885		760,683
▇▇▇▇▇▇▇▇▇	6,178,435.0001	NUTRIEN LTD	2,000,000	2,055,220	39,750		2,094,970
▇▇▇▇▇▇▇▇▇	6,178,493.0001	OKLAHOMA GAS AND ELECTRIC COMPAN	750,000	761,078	2,594		763,671
▇▇▇▇▇▇▇▇▇	6,178,537.0001	PNC FUNDING CORP	7,300,000	7,569,954	86,257		7,656,211
▇▇▇▇▇▇▇▇▇	6,178,543.0001	PPL ELECTRIC UTILITIES CORP	600,000	607,782	2,075		609,857
▇▇▇▇▇▇▇▇▇	6,178,545.0001	PPL ELECTRIC UTILITIES CORPORATION	900,000	890,226	14,813		905,039
▇▇▇▇▇▇▇▇▇	6,178,549.0001	PPL CAPITAL FUNDING INC	2,500,000	2,513,425	12,618		2,526,043
▇▇▇▇▇▇▇▇▇	6,178,551.0001	DUKE ENERGY INDIANA INC	750,000	924,008	2,040		926,048
▇▇▇▇▇▇▇▇▇	6,178,557.0001	PACIFIC GAS AND ELECTRIC CO	10,000,000	9,668,000	71,778		9,739,778
▇▇▇▇▇▇▇▇▇	6,178,589.0001	PEMEX PROJECT FUNDING MASTER TRUS	1,575,000	1,556,888	39,419		1,596,306
▇▇▇▇▇▇▇▇▇	6,178,591.0001	PENNSYLVANIA ELECTRIC COMPANY	6,000,000	5,586,420	24,917		5,611,337
▇▇▇▇▇▇▇▇▇	6,178,595.0001	PEPCO HOLDINGS INC.	7,000,000	8,641,920	110,094		8,752,014
▇▇▇▇▇▇▇▇▇	6,178,601.0001	PEPSICO INC	1,500,000	1,572,285	3,152		1,575,437
▇▇▇▇▇▇▇▇▇	6,178,603.0001	PEPSICO INC	1,000,000	1,048,190	2,101		1,050,291
▇▇▇▇▇▇▇▇▇	6,178,665.0001	PETROLEOS MEXICANOS	1,445,000	1,383,588	38,875		1,422,462
▇▇▇▇▇▇▇▇▇	6,178,669.0001	PETROLEOS MEXICANOS	1,255,000	1,058,203	23,775		1,081,979
▇▇▇▇▇▇▇▇▇	6,178,683.0001	PETROLEOS DEL PERU SA	2,625,000	2,486,400	45,719		2,532,119
▇▇▇▇▇▇▇▇▇	6,178,733.0001	PHILIPPINES (REPUBLIC OF)	1,050,000	979,125	9,605		988,730



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
▇▇▇▇▇▇▇▇▇	6,178,743.0001	PLAINS ALL AMERICAN PIPELINE LP	2,325,000	2,406,445	39,364		2,445,808
▇▇▇▇▇▇▇▇▇	6,178,745.0001	PLAINS ALL AMERICAN PIPELINE LP	675,000	698,645	11,428		710,073
▇▇▇▇▇▇▇▇▇	6,178,749.0001	PLAINS ALL AMERICAN PIPELINE LP	7,000,000	6,564,740	150,208		6,714,948
▇▇▇▇▇▇▇▇▇	6,178,787.0001	PRAXAIR INC	10,000,000	9,952,400	50,000		10,002,400
▇▇▇▇▇▇▇▇▇	6,178,791.0001	PROCTER & ▇▇▇▇▇▇ CO	5,000,000	4,992,250	32,722		5,024,972
▇▇▇▇▇▇▇▇▇	6,178,795.0001	PROGRESS ENERGY INC	7,000,000	7,173,950	90,689		7,264,639
▇▇▇▇▇▇▇▇▇	6,178,799.0001	PROLOGIS LP	550,000	548,262	10,313		558,575
▇▇▇▇▇▇▇▇▇	6,178,801.0001	PUBLIC SERVICE CO OF COLORADO	2,100,000	1,916,061	28,163		1,944,224
▇▇▇▇▇▇▇▇▇	6,178,811.0001	PUBLIC SERVICE ELECTRIC AND GAS CO	8,000,000	9,313,108	215,000		9,528,108
▇▇▇▇▇▇▇▇▇	6,178,821.0001	PUBLIC SERVICE ELECTRIC AND GAS CO	3,000,000	2,803,650	43,500		2,847,150
▇▇▇▇▇▇▇▇▇	6,178,827.0001	PUGET SOUND ENERGY INC	518,000	660,927	4,153		665,079
▇▇▇▇▇▇▇▇▇	6,178,835.0001	QTEL INTERNATIONAL FINANCE LTD	1,885,000	1,929,769	18,654		1,948,422
▇▇▇▇▇▇▇▇▇	6,178,837.0001	QTEL INTERNATIONAL FINANCE LTD	820,000	839,475	8,115		847,590
▇▇▇▇▇▇▇▇▇	6,178,849.0001	▇▇▇▇▇▇▇▇ ▇▇▇▇▇▇▇▇▇▇▇▇	15,000,000	13,808,550	218,021		14,026,571
▇▇▇▇▇▇▇▇▇	6,178,857.0001	RPM INTERNATIONAL INC	3,750,000	3,434,588	57,995		3,492,582
▇▇▇▇▇▇▇▇▇	6,178,865.0001	RECKITT BENCKISER TSY	7,600,000	7,029,544	79,167		7,108,711
▇▇▇▇▇▇▇▇▇	6,178,871.0001	REGENCY ENERGY PARTNERS LP	800,000	803,592	18,000		821,592
▇▇▇▇▇▇▇▇▇	6,178,873.0001	RELIANCE HOLDINGS USA INC	5,000,000	5,100,881	7,500		5,108,381
▇▇▇▇▇▇▇▇▇	6,178,881.0001	RELIANCE INDUSTRIES LTD	2,475,000	2,314,373	38,068		2,352,441
▇▇▇▇▇▇▇▇▇	6,178,909.0001	ROCHESTER GAS AND ELECTRIC CORPOR	7,000,000	6,654,970	90,417		6,745,387
▇▇▇▇▇▇▇▇▇	6,178,917.0001	ROCKWELL ▇▇▇▇▇▇▇ INC.	9,000,000	8,535,510	40,250		8,575,760
▇▇▇▇▇▇▇▇▇	6,178,953.0001	RUSSIAN FEDERATION (GOVERNMENT)	900,000	919,125	250		919,375
▇▇▇▇▇▇▇▇▇	6,178,959.0001	SBA TOWER TRUST	4,000,000	4,028,731	—		4,028,731
▇▇▇▇▇▇▇▇▇	6,178,965.0001	SVB FINANCIAL GROUP	600,000	582,408	5,367		587,775
▇▇▇▇▇▇▇▇▇	6,178,981.0001	SANTANDER HOLDINGS USA INC	5,500,000	5,540,316	71,500		5,611,816
▇▇▇▇▇▇▇▇▇	6,178,989.0001	SAUDI INTERNATIONAL BOND	1,950,000	1,800,825	880		1,801,705
▇▇▇▇▇▇▇▇▇	6,179,047.0001	SIEMENS FINANCIERINGSMAATSCHAPPIJ	4,000,000	4,099,720	21,000		4,120,720
▇▇▇▇▇▇▇▇▇	6,179,055.0001	SIMON PROPERTY GROUP INC	15,000,000	14,597,250	42,188		14,639,438
▇▇▇▇▇▇▇▇▇	6,179,067.0001	SLOVAK REPUBLIC (GOVERNMENT)	1,255,000	1,313,044	24,403		1,337,447
▇▇▇▇▇▇▇▇▇	6,179,095.0001	SOUTHERN CALIFORNIA EDISON CO	2,634,000	2,575,499	8,780		2,584,279
▇▇▇▇▇▇▇▇▇	6,179,099.0001	SOUTHERN CALIFORNIA GAS CO	5,000,000	4,644,350	49,111		4,693,461
▇▇▇▇▇▇▇▇▇	6,179,171.0001	STARBUCKS CORP	4,000,000	4,099,000	12,833		4,111,833
▇▇▇▇▇▇▇▇▇	6,179,233.0001	SYSCO CORPORATION	1,000,000	1,027,790	4,042		1,031,832
▇▇▇▇▇▇▇▇▇	6,179,271.0001	TAMPA ELECTRIC COMPANY	750,000	921,549	21,269		942,818
879360C#0	6,179,299.0001	TELEDYNE TECHNOLOGIES INC	1,156,400	1,220,173	401		1,220,575
879360C@2	6,179,301.0001	TELEDYNE TECHNOLOGIES INC	1,734,600	1,831,166	458		1,831,624
▇▇▇▇▇▇▇▇▇	6,179,315.0001	TELEFONICA EMISIONES SAU	500,000	520,680	3,837		524,517
▇▇▇▇▇▇▇▇▇	6,179,333.0001	TESORO LOGISTICS LP/TESORO LOGISTI	636,000	663,825	1,767		665,592
▇▇▇▇▇▇▇▇▇	6,179,335.0001	TEVA PHARMACEUTICAL FINANCE COMP	2,800,000	2,618,000	48,545		2,666,545
▇▇▇▇▇▇▇▇▇	6,179,367.0001	TIME WARNER INC	1,500,000	1,473,570	21,421		1,494,991
▇▇▇▇▇▇▇▇▇	6,179,391.0001	TOYOTA MOTOR CREDIT CORP	7,500,000	7,521,900	74,938		7,596,838
▇▇▇▇▇▇▇▇▇	6,179,393.0001	TOYOTA MOTOR CREDIT CORP	10,000,000	9,662,200	99,556		9,761,756



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
▇▇▇▇▇▇▇▇▇	6,179,401.0001	TRANSCANADA PIPELINES LTD	3,500,000	3,539,270	48,028		3,587,298
▇▇▇▇▇▇▇▇▇	6,179,435.0001	TURKEY (REPUBLIC OF)	2,510,000	2,754,725	44,221		2,798,946
▇▇▇▇▇▇▇▇▇	6,179,437.0001	TURKEY (REPUBLIC OF)	1,256,000	1,290,540	10,554		1,301,094
▇▇▇▇▇▇▇▇▇	6,179,439.0001	TURKEY (REPUBLIC OF)	3,000,000	2,805,000	8,938		2,813,938
▇▇▇▇▇▇▇▇▇	6,179,443.0001	▇▇▇▇ ▇▇▇▇▇▇▇ ▇▇▇ ▇▇▇▇▇▇▇ INC	5,000,000	5,172,800	57,500		5,230,300
▇▇▇▇▇▇▇▇▇	6,179,465.0001	TYSON FOODS INC	4,000,000	3,994,080	33,356		4,027,436
▇▇▇▇▇▇▇▇▇	6,179,469.0001	TYSON FOODS INC	8,000,000	7,587,920	117,544		7,705,464
▇▇▇▇▇▇▇▇▇	6,179,487.0001	US BANK NA/CINCINNATI OH	9,000,000	8,529,930	65,800		8,595,730
▇▇▇▇▇▇▇▇▇	6,179,489.0001	UBS GROUP FUNDING SWITZERLAND AG	2,500,000	2,477,975	7,580		2,485,555
▇▇▇▇▇▇▇▇▇	6,179,509.0001	UNION ELECTRIC CO	3,000,000	3,002,820	4,667		3,007,486
▇▇▇▇▇▇▇▇▇	6,179,511.0001	UNION ELECTRIC CO	4,000,000	4,003,760	6,222		4,009,982
▇▇▇▇▇▇▇▇▇	6,179,515.0001	UNION PACIFIC CORPORATION	614,000	633,838	7,526		641,365
▇▇▇▇▇▇▇▇▇	6,179,523.0001	UNION PACIFIC CORP	2,450,000	2,406,047	45,754		2,451,801
▇▇▇▇▇▇▇▇▇	6,179,551.0001	MEXICO (UNITED MEXICAN STATES)	776,000	726,336	5,427		731,763
▇▇▇▇▇▇▇▇▇	6,179,553.0001	MEXICO (UNITED MEXICAN STATES)	1,076,000	1,007,136	7,525		1,014,661
▇▇▇▇▇▇▇▇▇	6,179,561.0001	UNITED PARCEL SERVICE INC	5,000,000	4,847,900	10,208		4,858,108
▇▇▇▇▇▇▇▇▇	6,179,563.0001	US BANCORP	7,000,000	6,933,570	26,833		6,960,403
▇▇▇▇▇▇▇▇▇	6,179,567.0001	TREASURY NOTE	45,000,000	44,341,200	375,824		44,717,024
▇▇▇▇▇▇▇▇▇	6,179,569.0001	WI TREASURY NOTE	2,000,000	1,952,100	13,571		1,965,671
▇▇▇▇▇▇▇▇▇	6,179,571.0001	TREASURY NOTE	21,000,000	20,321,490	153,462		20,474,952
▇▇▇▇▇▇▇▇▇	6,179,573.0001	TREASURY NOTE	17,000,000	16,493,230	79,247		16,572,477
▇▇▇▇▇▇▇▇▇	6,179,575.0001	TREASURY NOTE	28,000,000	27,145,440	88,451		27,233,891
▇▇▇▇▇▇▇▇▇	6,179,591.0001	UNITEDHEALTH GROUP INCORPORATED	4,000,000	4,003,720	44,167		4,047,887
▇▇▇▇▇▇▇▇▇	6,179,645.0001	VIRGINIA ELECTRIC AND POWER CO	10,000,000	10,016,500	57,500		10,074,000
▇▇▇▇▇▇▇▇▇	6,179,655.0001	VMWARE INC	7,000,000	6,606,740	53,083		6,659,823
92927KB#8	6,179,667.0001	WABCO HOLDINGS INC	8,673,000	8,653,914	41,079		8,694,993
92927KB*2	6,179,669.0001	WABCO HOLDINGS INC	12,142,200	12,749,531	35,521		12,785,052
92927KB@0	6,179,671.0001	WABCO HOLDINGS INC	5,203,800	5,362,686	21,748		5,384,434
▇▇▇▇▇▇▇▇▇	6,179,681.0001	WALMART INC	945,000	1,118,105	8,269		1,126,374
▇▇▇▇▇▇▇▇▇	6,179,691.0001	WASHINGTON GAS LIGHT COMPANY	4,000,000	3,806,040	19,402		3,825,442
▇▇▇▇▇▇▇▇▇	6,179,705.0001	▇▇▇▇▇ FARGO & COMPANY	6,700,000	6,186,378	5,025		6,191,403
▇▇▇▇▇▇▇▇▇	6,179,709.0001	▇▇▇▇▇ FARGO & COMPANY	15,500,000	14,941,845	73,883		15,015,728
▇▇▇▇▇▇▇▇▇	6,179,715.0001	▇▇▇▇▇ FARGO CAPITAL X	6,500,000	6,949,865	146,106		7,095,971
▇▇▇▇▇▇▇▇▇	6,179,717.0001	▇▇▇▇▇ FARGO & COMPANY	15,000,000	14,296,800	237,440		14,534,240
▇▇▇▇▇▇▇▇▇	6,179,723.0001	WESTAR ENERGY INC	1,300,000	1,337,284	23,021		1,360,305
▇▇▇▇▇▇▇▇▇	6,179,725.0001	WESTERN GAS PARTNERS LP	780,000	809,133	17,469		826,602
▇▇▇▇▇▇▇▇▇	6,179,741.0001	WHIRLPOOL CORP	3,000,000	3,043,080	20,000		3,063,080
▇▇▇▇▇▇▇▇▇	6,179,753.0001	▇▇▇▇▇▇▇▇ PARTNERS LP	6,000,000	6,024,540	40,850		6,065,390
▇▇▇▇▇▇▇▇▇	6,179,755.0001	WISCONSIN ELECTRIC POWER CO	1,000,000	1,016,460	16,244		1,032,704
980745F*9	6,179,773.0001	▇▇▇▇▇▇▇▇ INC	6,244,560	6,357,128	7,713		6,364,841
▇▇▇▇▇▇▇▇▇	6,179,779.0001	WORTHINGTON INDUSTRIES INC	6,080,000	5,759,219	65,360		5,824,579
▇▇▇▇▇▇▇▇▇	6,179,801.0001	RUSSIAN FEDERATION (GOVERNMENT)	4,000,000	3,900,000	60,444		3,960,444
▇▇▇▇▇▇▇▇▇	6,179,887.0001	PETRONAS CAPITAL LTD.	500,000	513,125	5,760		518,885
▇▇▇▇▇▇▇▇▇	6,179,889.0001	PETRONAS CAPITAL LTD.	999,000	1,025,224	11,509		1,036,733
▇▇▇▇▇▇▇▇▇	6,179,891.0001	PETRONAS CAPITAL LTD.	1,253,000	1,285,891	14,436		1,300,327



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
▇▇▇▇▇▇▇▇▇	6,179,893.0001	PETRONAS CAPITAL LTD.	813,000	834,341	9,366		843,708
▇▇▇▇▇▇▇▇▇	6,179,903.0001	EMPRESAS CMPC SA	565,000	586,894	16,919		603,812
▇▇▇▇▇▇▇▇▇	6,179,905.0001	BNP PARIBAS	700,000	714,442	3,757		718,200
▇▇▇▇▇▇▇▇▇	6,179,907.0001	INDONESIA (REPUBLIC OF)	910,000	954,363	7,128		961,491
▇▇▇▇▇▇▇▇▇	6,179,915.0001	LI & ▇▇▇▇ LTD	550,000	563,425	13,475		576,900
▇▇▇▇▇▇▇▇▇	6,179,925.0001	LI & ▇▇▇▇ LTD	1,100,000	1,126,850	26,950		1,153,800
▇▇▇▇▇▇▇▇▇	6,179,931.0001	GRUPO BIMBO SAB DE CV	1,400,000	1,441,846	22,940		1,464,786
▇▇▇▇▇▇▇▇▇	6,179,937.0001	RELIANCE HOLDING USA INC	1,240,000	1,265,018	1,860		1,266,878
EI4567625	6,179,947.0001	CHINA OVERSEAS FINANCE (CAYMAN I L	730,000	761,025	19,071		780,096
EI4567625	6,179,949.0001	CHINA OVERSEAS FINANCE (CAYMAN I L	500,000	521,250	13,063		534,313
▇▇▇▇▇▇▇▇▇	6,179,961.0001	SINOCHEM OVERSEAS CAPITAL CO LTD	908,000	923,890	19,182		943,072
▇▇▇▇▇▇▇▇▇	6,179,963.0001	SINOCHEM OVERSEAS CAPITAL CO LTD	1,024,000	1,041,920	21,632		1,063,552
▇▇▇▇▇▇▇▇▇	6,179,965.0001	SINOCHEM OVERSEAS CAPITAL CO LTD	861,000	876,068	18,189		894,256
▇▇▇▇▇▇▇▇▇	6,179,967.0001	CNOOC FINANCE 2011 LTD	530,000	539,938	5,944		545,882
G1591#AU6	6,180,065.0001	BRITVIC PLC	4,976,438	5,110,158	23,531		5,133,689
G1591#AV4	6,180,067.0001	BRITVIC PLC	3,981,150	4,066,846	20,536		4,087,383
G1745*AR2	6,180,077.0001	BROOKFIELD UTILITIES ISSUER UK PLC	13,535,910	13,997,270	174,839		14,172,109
G2616#AM3	6,180,093.0001	DCC TREASURY 2014 LTD	4,394,320	4,523,119	11,998		4,535,117
G3663#AA9	6,180,119.0001	FORTH PORTS LTD	6,369,840	6,578,488	65,437		6,643,925
G5560@AB8	6,180,137.0001	LONDON LUTON AIRPORT HOLDINGS I LI	9,952,875	10,485,593	68,586		10,554,180
G6093#AB0	6,180,147.0001	APTARGROUP UK HOLDINGS LTD	10,985,800	11,338,673	38,049		11,376,722
G7059#AA2	6,180,157.0001	PHOENIX NATURAL GAS LTD	6,900,660	6,997,274	48,926		7,046,200
G7304*AA9	6,180,163.0001	QUADGAS FINANCE PLC	9,023,940	9,503,004	139,387		9,642,391
G7304*AB7	6,180,165.0001	QUADGAS FINANCE PLC	9,156,645	9,427,780	146,692		9,574,473
G8472#AE1	6,180,203.0001	STERIS CORPORATION	5,042,790	5,269,311	28,286		5,297,598
G9605#AJ8	6,180,217.0001	WHITBREAD GROUP PLC	2,388,690	2,423,001	13,584		2,436,585
N5276#AA5	6,180,249.0001	LITTELFUSE NETHERLAND CV	8,673,000	9,184,465	41,033		9,225,498
N5276#AB3	6,180,251.0001	LITTELFUSE NETHERLAND CV	5,203,800	5,370,407	39,522		5,409,928
N8502#AA5	6,180,263.0001	TELEDYNE NETHERLANDS BV	1,734,600	1,830,369	602		1,830,971
N8502#AB3	6,180,265.0001	TELEDYNE NETHERLANDS BV	867,300	915,184	357		915,541
N9651*AA6	6,180,277.0001	▇▇▇▇▇▇▇▇ INTERNATIONAL BV	3,816,120	3,828,016	5,513		3,833,529
Q2762#AA0	6,180,305.0001	CONNECTEAST FINANCE PTY LTD	6,690,130	6,701,974	76,321		6,778,295
▇▇▇▇▇▇▇▇▇	6,180,429.0001	BAMLL_14-520M	10,161,000	10,360,879	24,417		10,385,296
▇▇▇▇▇▇▇▇▇	6,180,471.0001	FNMA 30YR MULTI	7,308,876	7,060,107	22,015		7,082,122
▇▇▇▇▇▇▇▇▇	6,180,509.0001	GNMA_14-179	9,691,085	9,668,549	28,879		9,697,429
▇▇▇▇▇▇▇▇▇	6,180,525.0001	GNMA_15-150	13,368,220	11,638,149	33,421		11,671,570
▇▇▇▇▇▇▇▇▇	6,180,533.0001	GNMA_17-142	10,000,000	8,840,992	25,000		8,865,992
▇▇▇▇▇▇▇▇▇	6,180,535.0001	GNMA_17-142	1,690,000	1,494,128	4,225		1,498,353
▇▇▇▇▇▇▇▇▇	6,180,541.0001	GNMA_17-94	6,000,000	4,747,538	12,500		4,760,038
▇▇▇▇▇▇▇▇▇	6,180,547.0001	GNMA_17-105	7,350,000	6,267,000	18,375		6,285,375
▇▇▇▇▇▇▇▇▇	6,180,555.0001	GNMA_17-53	7,728,411	6,547,011	19,321		6,566,332
▇▇▇▇▇▇▇▇▇	6,180,559.0001	GNMA_17-62	5,396,109	4,564,018	12,959		4,576,978
▇▇▇▇▇▇▇▇▇	6,180,565.0001	GNMA_2017-70	15,976,768	14,115,034	39,942		14,154,975
▇▇▇▇▇▇▇▇▇	6,180,567.0001	GNMA_17-89	5,666,000	5,003,891	14,165		5,018,056
▇▇▇▇▇▇▇▇▇	6,180,569.0001	GNMA_16-26	6,000,000	4,907,903	15,000		4,922,903
▇▇▇▇▇▇▇▇▇	6,180,573.0001	GNMA_16-45	7,000,000	6,093,689	17,500		6,111,189



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
▇▇▇▇▇▇▇▇▇	6,180,577.0001	GNMA_16-65	5,722,341	4,778,685	14,306		4,792,991
▇▇▇▇▇▇▇▇▇	6,180,581.0001	GNMA_17-152	10,000,000	8,784,972	25,000		8,809,972
▇▇▇▇▇▇▇▇▇	6,180,597.0001	LBUBS_05-C7 E	816,076	921,813	2,708		924,521
▇▇▇▇▇▇▇▇▇	6,180,599.0001	MSC_06-T21 AJ	4,522,805	4,603,199	20,101		4,623,300
▇▇▇▇▇▇▇▇▇	6,180,613.0001	JPMDB_15-WPG	12,000,000	11,492,626	36,332		11,528,958
▇▇▇▇▇▇▇▇▇	6,180,647.0001	FNMA_12-30	6,525,000	6,562,762	21,750		6,584,512
▇▇▇▇▇▇▇▇▇	6,180,655.0001	FHLMC_4048	7,680,000	7,734,980	25,600		7,760,580
▇▇▇▇▇▇▇▇▇	6,180,683.0001	MAST_03-12	537,020	560,576	2,359		562,935
▇▇▇▇▇▇▇▇▇	6,180,687.0001	SEMT_03-1 1A	631,981	634,998	525		635,523
▇▇▇▇▇▇▇▇▇	6,180,699.0001	WFMBS_04-O A1	494,445	520,205	1,501		521,707
▇▇▇▇▇▇▇▇▇	6,180,707.0001	WFMBS_03-M A1	531,216	559,561	1,701		561,262
▇▇▇▇▇▇▇▇▇	6,180,735.0001	BSABS_07-AC4 A2	761,198	897,935	2,445		900,380
▇▇▇▇▇▇▇▇▇	6,180,799.0001	CAS_2015_C01	952,295	1,066,331	1,000		1,067,331
▇▇▇▇▇▇▇▇▇	6,180,805.0001	CAS_2015_C01	2,468,912	2,764,563	2,593		2,767,156
▇▇▇▇▇▇▇▇▇	6,180,807.0001	CAS_2015_C01	2,116,211	2,369,625	2,223		2,371,848
▇▇▇▇▇▇▇▇▇	6,180,809.0001	CAS_2015-C02	2,197,900	2,451,378	2,197		2,453,575
▇▇▇▇▇▇▇▇▇	6,180,811.0001	CAS_2015-C02	842,528	939,695	842		940,537
▇▇▇▇▇▇▇▇▇	6,180,815.0001	CAS_2015-C02	5,128,432	5,719,882	5,126		5,725,008
▇▇▇▇▇▇▇▇▇	6,180,817.0001	CAS_15-C04	2,191,527	2,585,350	2,816		2,588,166
▇▇▇▇▇▇▇▇▇	6,180,819.0001	CAS_15-C04	1,876,391	2,213,583	2,411		2,215,994
▇▇▇▇▇▇▇▇▇	6,180,821.0001	CAS_15-C04	4,383,055	5,170,699	5,632		5,176,331
▇▇▇▇▇▇▇▇▇	6,180,823.0001	CAS_15-C04	3,506,444	4,136,560	4,506		4,141,065
▇▇▇▇▇▇▇▇▇	6,180,825.0001	CAS_15-C04	4,120,071	4,860,457	5,294		4,865,752
▇▇▇▇▇▇▇▇▇	6,180,829.0001	CAS_16-C06	2,500,000	2,838,324	2,561		2,840,885
▇▇▇▇▇▇▇▇▇	6,180,831.0001	CAS_17-C03	2,304,000	2,450,268	1,880		2,452,148
▇▇▇▇▇▇▇▇▇	6,180,833.0001	CAS_17-C03	1,907,000	2,028,064	1,556		2,029,621
▇▇▇▇▇▇▇▇▇	6,180,837.0001	CAS_17-C05	864,000	878,560	590		879,150
▇▇▇▇▇▇▇▇▇	6,180,839.0001	CAS_17-C05	1,176,000	1,195,818	803		1,196,621
▇▇▇▇▇▇▇▇▇	6,180,841.0001	CAS_17-C05	557,000	566,386	380		566,767
▇▇▇▇▇▇▇▇▇	6,180,843.0001	CAS_17-C05	1,100,000	1,118,537	751		1,119,288
▇▇▇▇▇▇▇▇▇	6,180,847.0001	CAS_17-C05	1,589,000	1,615,777	1,085		1,616,862
▇▇▇▇▇▇▇▇▇	6,180,849.0001	CAS_17-C05	1,271,000	1,292,419	868		1,293,286
▇▇▇▇▇▇▇▇▇	6,180,857.0001	FNMA_13-10	3,189,862	2,457,566	1,661		2,459,226
▇▇▇▇▇▇▇▇▇	6,180,859.0001	FNMA_13-10	158,974	122,478	83		122,561
▇▇▇▇▇▇▇▇▇	6,180,861.0001	FNMA_13-22	225,228	183,212	624		183,835
▇▇▇▇▇▇▇▇▇	6,180,863.0001	FHLMC_3752	8,262,760	8,063,456	42,872		8,106,328
▇▇▇▇▇▇▇▇▇	6,180,891.0001	STACR_15-HQA1	7,841,000	9,052,903	8,621		9,061,524
▇▇▇▇▇▇▇▇▇	6,180,895.0001	STACR_15-HQA2	6,831,000	8,021,798	7,625		8,029,423
▇▇▇▇▇▇▇▇▇	6,180,897.0001	STACR_16-DNA2	3,000,000	3,437,171	3,274		3,440,445
▇▇▇▇▇▇▇▇▇	6,180,899.0001	STACR_17-DNA1	2,328,000	2,519,750	1,997		2,521,747
▇▇▇▇▇▇▇▇▇	6,180,907.0001	FNMA_05-74	463,447	621,253	1,375		622,628
▇▇▇▇▇▇▇▇▇	6,180,917.0001	FNMA_06-36 SA	9,966	15,826	40		15,866
▇▇▇▇▇▇▇▇▇	6,180,919.0001	FNMA_06-56	1,277,310	1,498,153	1,810		1,499,963
▇▇▇▇▇▇▇▇▇	6,180,929.0001	FNMA_07-28	286,581	285,830	143		285,973
▇▇▇▇▇▇▇▇▇	6,180,931.0001	FNMA_07-29 SG	63,254	88,805	174		88,979
▇▇▇▇▇▇▇▇▇	6,180,937.0001	FNMA_07-85B	855,325	1,054,333	1,653		1,055,986
▇▇▇▇▇▇▇▇▇	6,180,945.0001	FNMA_10-65	3,434,487	3,592,814	4,521		3,597,335
▇▇▇▇▇▇▇▇▇	6,180,951.0001	GNMA_04-106	2,264,148	3,191,438	11,048		3,202,486
▇▇▇▇▇▇▇▇▇	6,180,955.0001	GNMA_08-13	429,916	574,392	1,833		576,225
▇▇▇▇▇▇▇▇▇	6,180,959.0001	GNMA_13-117	5,296,695	5,900,477	19,473		5,919,949



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
▇▇▇▇▇▇▇▇▇	6,181,157.0001	FNMA_11-149	6,997,873	993,214	4,924		998,138
▇▇▇▇▇▇▇▇▇	6,181,169.0001	FNMA_12-35	3,320,512	600,635	2,569		603,205
▇▇▇▇▇▇▇▇▇	6,181,171.0001	FNMA_12-33	5,718,082	902,146	3,955		906,101
▇▇▇▇▇▇▇▇▇	6,181,173.0001	FNMA_12-30	4,859,670	849,261	3,728		852,989
▇▇▇▇▇▇▇▇▇	6,181,177.0001	FNMA_12-63	6,340,387	1,118,963	4,915		1,123,878
▇▇▇▇▇▇▇▇▇	6,181,179.0001	FNMA_12-68	7,331,579	932,405	5,900		938,305
▇▇▇▇▇▇▇▇▇	6,181,181.0001	FNMA_12-83	5,687,190	850,029	3,963		853,992
▇▇▇▇▇▇▇▇▇	6,181,185.0001	FNMA_12-111	8,433,646	1,277,925	5,924		1,283,849
▇▇▇▇▇▇▇▇▇	6,181,187.0001	FNMA_12-128	7,838,438	922,674	5,813		928,486
▇▇▇▇▇▇▇▇▇	6,181,191.0001	FNMA_13-2	8,019,371	1,407,775	5,719		1,413,493
▇▇▇▇▇▇▇▇▇	6,181,195.0001	FNMA_13-40	13,666,240	2,376,433	9,821		2,386,255
▇▇▇▇▇▇▇▇▇	6,181,197.0001	FNMA_13-32E	11,544,443	1,311,139	24,271		1,335,410
▇▇▇▇▇▇▇▇▇	6,181,203.0001	FNMA_13-70	14,527,618	1,997,052	36,812		2,033,864
▇▇▇▇▇▇▇▇▇	6,181,209.0001	FNMA_13-97	8,306,566	1,109,196	5,984		1,115,180
▇▇▇▇▇▇▇▇▇	6,181,211.0001	FNMA_14-20	15,328,160	1,511,648	52,069		1,563,716
▇▇▇▇▇▇▇▇▇	6,181,213.0001	FNMA_14-15	16,071,957	2,953,241	12,907		2,966,148
▇▇▇▇▇▇▇▇▇	6,181,229.0001	FNMA_15-76	5,758,500	1,269,031	29,450		1,298,481
▇▇▇▇▇▇▇▇▇	6,181,279.0001	FHLMC_3919	16,020,546	2,643,714	32,898		2,676,611
▇▇▇▇▇▇▇▇▇	6,181,283.0001	FHLMC_4057D	12,481,065	2,122,207	26,778		2,148,985
▇▇▇▇▇▇▇▇▇	6,181,285.0001	FHLMC_4090D	4,106,073	688,414	8,881		697,295
▇▇▇▇▇▇▇▇▇	6,181,291.0001	FHLMC_4103	11,632,368	1,914,282	22,078		1,936,359
▇▇▇▇▇▇▇▇▇	6,181,303.0001	FHLMC_4290	5,792,124	1,293,713	24,508		1,318,221
▇▇▇▇▇▇▇▇▇	6,181,349.0001	FNMA_01-46 S	1,655,441	235,993	3,761		239,754
▇▇▇▇▇▇▇▇▇	6,181,351.0001	FNMA_01-72 SC	443,402	17,289	76		17,365
▇▇▇▇▇▇▇▇▇	6,181,353.0001	FNMA_04-38 SI	229,092	3,214	200		3,414
▇▇▇▇▇▇▇▇▇	6,181,355.0001	FNMA_04-38 SI	229,092	3,214	200		3,414
▇▇▇▇▇▇▇▇▇	6,181,357.0001	FNMA_04-53 UC	2,585,299	530,046	2,497		532,543
▇▇▇▇▇▇▇▇▇	6,181,359.0001	FNMA_04-54 SN	7,677,164	1,227,454	6,671		1,234,125
▇▇▇▇▇▇▇▇▇	6,181,361.0001	FNMA_04-88 JH	1,348,556	64,278	1,098		65,376
▇▇▇▇▇▇▇▇▇	6,181,363.0001	FNMA_05-66 SY	2,503,132	423,786	2,032		425,818
▇▇▇▇▇▇▇▇▇	6,181,365.0001	FNMA_05-66 SY	2,503,132	423,786	2,032		425,818
▇▇▇▇▇▇▇▇▇	6,181,367.0001	▇▇▇▇_▇▇-▇▇ ▇▇	2,258,937	264,369	1,836		266,205
▇▇▇▇▇▇▇▇▇	6,181,369.0001	FNMA_05-72 AS	1,910,979	341,209	1,573		342,782
▇▇▇▇▇▇▇▇▇	6,181,371.0001	FNMA_05-75 SP	2,148,747	309,050	1,748		310,798
▇▇▇▇▇▇▇▇▇	6,181,373.0001	FNMA_05-100 S	3,202,474	507,415	2,599		510,014
▇▇▇▇▇▇▇▇▇	6,181,375.0001	FNMA_05-100 S	3,179,102	503,712	2,580		506,292
▇▇▇▇▇▇▇▇▇	6,181,381.0001	FHLMC_2781 SB	2,800,939	505,517	6,614		512,130
▇▇▇▇▇▇▇▇▇	6,181,383.0001	FNMA_06-10 HI	1,143,080	183,369	929		184,298
▇▇▇▇▇▇▇▇▇	6,181,385.0001	FNMA_06-15 IW	164,353	7,775	138		7,913
▇▇▇▇▇▇▇▇▇	6,181,387.0001	FNMA_06-37 SW	906,492	135,619	730		136,350
▇▇▇▇▇▇▇▇▇	6,181,389.0001	FNMA_06-51	2,568,588	392,241	2,027		394,268
▇▇▇▇▇▇▇▇▇	6,181,391.0001	FNMA_06-51	2,568,588	392,241	2,027		394,268
▇▇▇▇▇▇▇▇▇	6,181,393.0001	FNMA_06-51	2,568,588	392,241	2,027		394,268
▇▇▇▇▇▇▇▇▇	6,181,395.0001	FNMA_06-51	1,905,870	291,039	1,504		292,543
▇▇▇▇▇▇▇▇▇	6,181,397.0001	FNMA_06-50 IJ	3,573,704	544,339	2,825		547,164
▇▇▇▇▇▇▇▇▇	6,181,411.0001	FNMA_06-60 JI	149,240	2,577	146		2,723
▇▇▇▇▇▇▇▇▇	6,181,413.0001	▇▇▇▇▇▇ ▇▇▇	4,702,435	890,416	4,172		894,588
▇▇▇▇▇▇▇▇▇	6,181,415.0001	FNMA_06-56 S	1,602,583	261,991	1,442		263,433
▇▇▇▇▇▇▇▇▇	6,181,417.0001	FHLMC_2953 LS	893,392	68,360	1,949		70,309
▇▇▇▇▇▇▇▇▇	6,181,419.0001	FHLMC_2953 LS	44,670	3,418	97		3,515



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
▇▇▇▇▇▇▇▇▇	6,181,421.0001	FHLMC_2953 LS	1,116,741	85,450	2,436		87,886
▇▇▇▇▇▇▇▇▇	6,181,423.0001	FHLMC_2953 LS	1,116,741	85,450	2,436		87,886
▇▇▇▇▇▇▇▇▇	6,181,425.0001	FHLMC_2993 GS	3,165,610	263,018	6,127		269,144
▇▇▇▇▇▇▇▇▇	6,181,427.0001	FHLMC_3006 SI	649,075	104,015	1,439		105,454
▇▇▇▇▇▇▇▇▇	6,181,429.0001	FHLMC_3006 SI	649,075	104,015	1,439		105,454
▇▇▇▇▇▇▇▇▇	6,181,431.0001	FHLMC_3006 YI	670,166	111,321	1,451		112,772
▇▇▇▇▇▇▇▇▇	6,181,433.0001	FHLMC_3006 YI	670,166	111,321	1,451		112,772
▇▇▇▇▇▇▇▇▇	6,181,435.0001	FHLMC_3034 SE	91,639	3,235	210		3,444
▇▇▇▇▇▇▇▇▇	6,181,437.0001	FHLMC_3114 IP	986,568	157,745	2,113		159,858
▇▇▇▇▇▇▇▇▇	6,181,439.0001	FNMA_06-72 TN	3,451,131	622,669	3,107		625,776
▇▇▇▇▇▇▇▇▇	6,181,441.0001	FNMA_06-81 SQ	1,720,367	318,525	1,528		320,053
▇▇▇▇▇▇▇▇▇	6,181,443.0001	FNMA_06-81 SQ	2,007,095	371,613	1,782		373,395
▇▇▇▇▇▇▇▇▇	6,181,445.0001	FNMA_06-81 QS	4,808,058	911,751	4,265		916,016
▇▇▇▇▇▇▇▇▇	6,181,447.0001	FNMA_06-120 QD	3,189,935	250,204	1,507		251,711
▇▇▇▇▇▇▇▇▇	6,181,449.0001	FNMA_06-120 QD	6,379,869	500,408	3,014		503,422
▇▇▇▇▇▇▇▇▇	6,181,451.0001	FNMA_06-109	2,750,039	460,568	2,181		462,749
▇▇▇▇▇▇▇▇▇	6,181,453.0001	FNMA_06-110 CX	1,326,350	230,644	1,063		231,707
▇▇▇▇▇▇▇▇▇	6,181,455.0001	FHLMC_3140 SG	2,322,788	368,417	4,936		373,353
▇▇▇▇▇▇▇▇▇	6,181,457.0001	FHLMC_3136 PS	2,419,624	380,192	5,189		385,381
▇▇▇▇▇▇▇▇▇	6,181,459.0001	FNMA_07-21 SB	1,938,203	192,292	1,492		193,784
▇▇▇▇▇▇▇▇▇	6,181,463.0001	FNMA_07-30 IE	7,380,796	1,508,074	6,233		1,514,307
▇▇▇▇▇▇▇▇▇	6,181,465.0001	▇▇▇▇_▇▇-▇▇ ▇▇	1,990,604	286,275	1,576		287,851
▇▇▇▇▇▇▇▇▇	6,181,467.0001	FNMA_07-85 SM	2,141,797	297,532	1,639		299,171
▇▇▇▇▇▇▇▇▇	6,181,469.0001	FNMA_07-85 SM	453,072	62,940	347		63,286
▇▇▇▇▇▇▇▇▇	6,181,471.0001	FHLMC_3213 JS	4,278,312	825,391	10,261		835,652
▇▇▇▇▇▇▇▇▇	6,181,473.0001	FHLMC_3318 HS	836,900	92,452	1,885		94,337
▇▇▇▇▇▇▇▇▇	6,181,475.0001	FHLMC_3375 QI	1,811,806	34,190	488		34,678
▇▇▇▇▇▇▇▇▇	6,181,483.0001	FHLMC_3397	5,089,504	679,876	9,277		689,153
▇▇▇▇▇▇▇▇▇	6,181,485.0001	FHLMC_3408 BI	1,134,723	143,940	2,206		146,146
▇▇▇▇▇▇▇▇▇	6,181,489.0001	FNMA_11-47	5,673,405	713,330	3,869		717,200
▇▇▇▇▇▇▇▇▇	6,181,491.0001	FNMA_11-47	5,673,405	713,330	3,869		717,200
▇▇▇▇▇▇▇▇▇	6,181,493.0001	FNMA_11-47	2,836,703	356,665	1,935		358,600
▇▇▇▇▇▇▇▇▇	6,181,495.0001	FNMA_11-47	2,836,703	356,665	1,935		358,600
▇▇▇▇▇▇▇▇▇	6,181,497.0001	FNMA_11-57 SE	4,178,952	650,446	2,976		653,422
▇▇▇▇▇▇▇▇▇	6,181,509.0001	FNMA_▇▇▇▇-▇▇▇	▇▇▇,508	9,131	343		9,474
▇▇▇▇▇▇▇▇▇	6,181,511.0001	FNMA_10-95F	3,536,620	403,361	2,842		406,203
▇▇▇▇▇▇▇▇▇	6,181,513.0001	FNMA_10-110	8,014,833	1,191,580	5,546		1,197,126
▇▇▇▇▇▇▇▇▇	6,181,517.0001	FNMA_10-35 CS	1,037,664	125,878	789		126,666
▇▇▇▇▇▇▇▇▇	6,181,519.0001	FNMA_10-35 CS	1,037,664	125,878	789		126,666
▇▇▇▇▇▇▇▇▇	6,181,521.0001	FNMA_10-35 CS	118,894	14,423	90		14,513
▇▇▇▇▇▇▇▇▇	6,181,529.0001	FNMA_10-134	1,671,450	44,593	1,272		45,865
▇▇▇▇▇▇▇▇▇	6,181,535.0001	GNMA_01-65 SV	461,725	86,628	888		87,516
▇▇▇▇▇▇▇▇▇	6,181,537.0001	GNMA_01-65 SV	1,033,271	193,861	1,986		195,848
▇▇▇▇▇▇▇▇▇	6,181,539.0001	GNMA_08-35 SN	1,328,348	170,495	1,861		172,357
▇▇▇▇▇▇▇▇▇	6,181,541.0001	GNMA_03-86 SH	2,864,571	349,265	5,638		354,903
▇▇▇▇▇▇▇▇▇	6,181,543.0001	GNMA_05-8 SB	1,483,576	233,201	2,241		235,442
▇▇▇▇▇▇▇▇▇	6,181,545.0001	GNMA_06-17 WI	486,689	6,565	968		7,533
▇▇▇▇▇▇▇▇▇	6,181,547.0001	GNMA_06-58 SL	6,247,571	1,104,695	13,077		1,117,772
▇▇▇▇▇▇▇▇▇	6,181,549.0001	GNMA_06-61 SD	824,996	153,481	1,393		154,874
▇▇▇▇▇▇▇▇▇	6,181,557.0001	GNMA_06-69 SC	623,654	93,585	884		94,470



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
▇▇▇▇▇▇▇▇▇	6,181,559.0001	GNMA_07-7 EI	2,100,965	274,046	2,775		276,821
▇▇▇▇▇▇▇▇▇	6,181,561.0001	GNMA_07-23-ST	1,713,674	239,508	2,295		241,803
▇▇▇▇▇▇▇▇▇	6,181,563.0001	GNMA_07-23-ST	1,012,785	141,550	1,356		142,906
▇▇▇▇▇▇▇▇▇	6,181,571.0001	GNMA_07-26 SA	3,306,440	561,248	5,015		566,263
▇▇▇▇▇▇▇▇▇	6,181,573.0001	GNMA_07-40 SE	2,191,077	359,902	3,318		363,220
▇▇▇▇▇▇▇▇▇	6,181,575.0001	GNMA_07-40 SE	941,977	154,727	1,426		156,154
▇▇▇▇▇▇▇▇▇	6,181,577.0001	▇▇▇▇_▇▇-▇▇▇ ▇▇	3,349,723	494,549	6,425		500,974
▇▇▇▇▇▇▇▇▇	6,181,579.0001	▇▇▇▇_▇▇-▇▇▇ ▇▇	3,349,723	494,549	6,425		500,974
▇▇▇▇▇▇▇▇▇	6,181,581.0001	▇▇▇▇_▇▇-▇▇▇ ▇▇	3,349,723	494,549	6,425		500,974
▇▇▇▇▇▇▇▇▇	6,181,583.0001	▇▇▇▇_▇▇-▇▇▇ ▇▇	3,349,723	494,549	6,425		500,974
▇▇▇▇▇▇▇▇▇	6,181,585.0001	▇▇▇▇_▇▇-▇▇▇ ▇▇	2,657,251	392,313	5,097		397,410
▇▇▇▇▇▇▇▇▇	6,181,587.0001	GNMA_07-59 SC	2,227,398	359,980	3,199		363,179
▇▇▇▇▇▇▇▇▇	6,181,589.0001	GNMA_07-59 SC	2,227,398	359,980	3,199		363,179
▇▇▇▇▇▇▇▇▇	6,181,591.0001	GNMA_07-59 SC	2,227,398	359,980	3,199		363,179
▇▇▇▇▇▇▇▇▇	6,181,593.0001	GNMA_07-59 SC	1,684,200	272,191	2,419		274,610
▇▇▇▇▇▇▇▇▇	6,181,595.0001	GNMA_07-66 SG	2,208,496	346,871	3,186		350,057
▇▇▇▇▇▇▇▇▇	6,181,597.0001	GNMA_08-53 TS	2,328,075	270,542	3,300		273,842
▇▇▇▇▇▇▇▇▇	6,181,601.0001	GNMA_08-65 SG	1,914,847	333,828	2,892		336,719
▇▇▇▇▇▇▇▇▇	6,181,603.0001	GNMA_09-92B	3,297,147	338,640	6,125		344,765
▇▇▇▇▇▇▇▇▇	6,181,605.0001	GNMA_09-88C	4,128,993	616,952	7,564		624,516
▇▇▇▇▇▇▇▇▇	6,181,607.0001	GNMA_09-110	2,942,542	289,513	5,580		295,093
▇▇▇▇▇▇▇▇▇	6,181,609.0001	GNMA_09-81B	1,187,727	190,567	1,792		192,359
▇▇▇▇▇▇▇▇▇	6,181,613.0001	GNMA_09-66 QS	1,459,715	154,517	1,921		156,438
▇▇▇▇▇▇▇▇▇	6,181,621.0001	GNMA_10-12 SA	3,781,250	480,135	4,591		484,726
▇▇▇▇▇▇▇▇▇	6,181,623.0001	GNMA_10-11	5,281,293	779,854	10,046		789,899
▇▇▇▇▇▇▇▇▇	6,181,625.0001	GNMA_10-11	2,112,517	311,941	4,018		315,960
▇▇▇▇▇▇▇▇▇	6,181,629.0001	GNMA_10-26F WS	3,369,827	577,863	4,566		582,429
▇▇▇▇▇▇▇▇▇	6,181,631.0001	GNMA_10-14C	3,201,495	580,049	4,866		584,915
▇▇▇▇▇▇▇▇▇	6,181,633.0001	GNMA_10-14	2,911,860	448,716	5,592		454,309
▇▇▇▇▇▇▇▇▇	6,181,635.0001	GNMA_10-47 UX	4,525,607	686,878	8,730		695,608
▇▇▇▇▇▇▇▇▇	6,181,637.0001	GNMA_10-47L SH	3,600,977	529,198	4,762		533,960
▇▇▇▇▇▇▇▇▇	6,181,645.0001	GNMA_10-68	6,867,325	856,721	13,583		870,304
▇▇▇▇▇▇▇▇▇	6,181,647.0001	GNMA_10-113K	1,707,817	237,437	3,428		240,864
▇▇▇▇▇▇▇▇▇	6,181,649.0001	GNMA_10-111	2,509,308	438,222	3,691		441,913
▇▇▇▇▇▇▇▇▇	6,181,651.0001	GNMA_10-130C	2,535,921	367,753	4,731		372,484
▇▇▇▇▇▇▇▇▇	6,181,653.0001	GNMA_10-147	5,853,578	1,037,575	8,619		1,046,194
▇▇▇▇▇▇▇▇▇	6,181,655.0001	GNMA_10-166	5,760,904	712,845	7,309		720,154
▇▇▇▇▇▇▇▇▇	6,181,657.0001	GNMA_10-166	17,328,692	2,144,224	21,986		2,166,209
▇▇▇▇▇▇▇▇▇	6,181,659.0001	GNMA_11-19 JS	2,730,156	465,794	4,035		469,829
▇▇▇▇▇▇▇▇▇	6,181,661.0001	GNMA_11-52 MY	8,460,554	1,306,369	12,429		1,318,799
▇▇▇▇▇▇▇▇▇	6,181,669.0001	GNMA_11-108B	3,621,820	515,231	4,744		519,975
▇▇▇▇▇▇▇▇▇	6,181,679.0001	GNMA_12-61C	5,706,639	1,225,840	11,242		1,237,082
▇▇▇▇▇▇▇▇▇	6,181,681.0001	GNMA_12-124	5,358,990	1,066,248	7,083		1,073,331
▇▇▇▇▇▇▇▇▇	6,181,739.0001	GNMA_16-146	24,742,677	4,988,739	83,305		5,072,044
▇▇▇▇▇▇▇▇▇	6,181,755.0001	FHSTR_246	1,090,379	991,451	—		991,451
▇▇▇▇▇▇▇▇▇	6,181,759.0001	FHSTR_308	7,707,659	6,078,055	—		6,078,055
▇▇▇▇▇▇▇▇▇	6,181,763.0001	FNMA_13-80	1,166,642	832,727	(832,727)
▇▇▇▇▇▇▇▇▇	6,181,769.0001	FNMA_13-101	9,868,983	7,617,176	(7,617,176)
▇▇▇▇▇▇▇▇▇	6,181,775.0001	FNMA_16-19	4,682,686	3,773,433	(3,773,433)
▇▇▇▇▇▇▇▇▇	6,181,799.0001	FHLMC_2594 DO	1,074,343	924,262	(924,262)



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
▇▇▇▇▇▇▇▇▇	6,181,801.0001	FNMA_04-58	243,109	205,937	(205,937)
▇▇▇▇▇▇▇▇▇	6,181,803.0001	FHLMC_2817 PO	272,412	236,045	(236,045)
▇▇▇▇▇▇▇▇▇	6,181,807.0001	FNMA_06-48	389,606	349,748	—		349,748
▇▇▇▇▇▇▇▇▇	6,181,811.0001	FNMA_07-21	250,203	219,994	—		219,994
▇▇▇▇▇▇▇▇▇	6,181,813.0001	FNMA_06-124 PO	517,241	437,633	—		437,633
▇▇▇▇▇▇▇▇▇	6,181,819.0001	FHLMC_33-14	154,352	153,083	—		153,083
▇▇▇▇▇▇▇▇▇	6,181,821.0001	FNMA_09-11 PO	281,325	244,454	—		244,454
▇▇▇▇▇▇▇▇▇	6,181,825.0001	FHLMC_3423	1,337,870	1,146,904	—		1,146,904
▇▇▇▇▇▇▇▇▇	6,181,827.0001	FNMA_11-27	782,747	676,580	—		676,580
▇▇▇▇▇▇▇▇▇	6,181,829.0001	FHLMC_3578 GO	2,308,264	1,985,228	—		1,985,228
▇▇▇▇▇▇▇▇▇	6,181,831.0001	GNMA_07-18	1,238,774	977,643	—		977,643
▇▇▇▇▇▇▇▇▇	6,181,833.0001	GNMA_07-18	36,219	28,584	—		28,584
▇▇▇▇▇▇▇▇▇	6,181,835.0001	GNMA_07-64 AO	447,269	401,581	—		401,581
▇▇▇▇▇▇▇▇▇	6,181,837.0001	GNMA_11-79	130,284	106,359	—		106,359
▇▇▇▇▇▇▇▇▇	6,181,839.0001	GNMA_10-42	2,495,715	2,283,127	—		2,283,127
▇▇▇▇▇▇▇▇▇	6,181,841.0001	GNMA_11-56	9,033,084	7,334,077	—		7,334,077
▇▇▇▇▇▇▇▇▇	6,181,845.0001	GNMA_11-70	4,793,344	3,894,236	—		3,894,236
▇▇▇▇▇▇▇▇▇	6,181,847.0001	GNMA_11-70	12,970,224	10,537,344	—		10,537,344
▇▇▇▇▇▇▇▇▇	6,181,849.0001	GNMA_11-70	1,691,768	1,374,436	—		1,374,436
▇▇▇▇▇▇▇▇▇	6,181,875.0001	JPMAC_07-CH1 MV2	670,000	663,662	243		663,905
▇▇▇▇▇▇▇▇▇	6,181,889.0001	FHLMC_4338	11,754,974	12,024,060	41,485		12,065,545
▇▇▇▇▇▇▇▇▇	6,181,957.0001	PREMIER OIL PLC	518,756	342,434	—		342,434
▇▇▇▇▇▇▇▇▇	6,181,999.0001	▇▇▇▇▇▇ LABORATORIES	2,000,000	1,997,980	9,903		2,007,883
▇▇▇▇▇▇▇▇▇	6,182,005.0001	AMERIPRISE FINANCIAL INC	3,000,000	3,000,750	4,933		3,005,683
▇▇▇▇▇▇▇▇▇	6,182,007.0001	ANALOG DEVICES INC	3,364,000	3,682,638	67,355		3,749,993
▇▇▇▇▇▇▇▇▇	6,182,017.0001	BP CAPITAL MARKETS PLC	6,500,000	6,465,290	112,973		6,578,263
▇▇▇▇▇▇▇▇▇	6,182,047.0001	BRITISH SKY BROADCASTING GROUP PLC	6,500,000	6,511,180	30,469		6,541,649
▇▇▇▇▇▇▇▇▇	6,182,057.0001	CISCO SYSTEMS INC	3,000,000	3,003,150	39,667		3,042,817
▇▇▇▇▇▇▇▇▇	6,182,059.0001	CITIGROUP INC	2,000,000	2,009,960	1,292		2,011,251
▇▇▇▇▇▇▇▇▇	6,182,065.0001	DELPHI CORP (NEW)	2,000,000	2,029,020	10,606		2,039,626
▇▇▇▇▇▇▇▇▇	6,182,067.0001	DISCOVERY COMMUNICATIONS LLC	10,000,000	9,852,100	179,833		10,031,933
▇▇▇▇▇▇▇▇▇	6,182,075.0001	▇▇▇▇▇▇▇ CHEMICAL COMPANY	9,000,000	8,997,030	43,700		9,040,730
▇▇▇▇▇▇▇▇▇	6,182,079.0001	GILEAD SCIENCES INC	1,000,000	1,007,720	3,083		1,010,803
▇▇▇▇▇▇▇▇▇	6,182,089.0001	▇▇▇▇▇▇ ▇▇▇▇▇▇ MEDICAL INSTITUTE	4,100,000	4,143,993	23,917		4,167,910
▇▇▇▇▇▇▇▇▇	6,182,103.0001	JUNIPER NETWORKS INC	1,000,000	1,015,830	5,750		1,021,580
▇▇▇▇▇▇▇▇▇	6,182,125.0001	STATE STREET CORP	2,000,000	2,032,260	33,094		2,065,354
▇▇▇▇▇▇▇▇▇	6,182,145.0001	TOTAL CAPITAL INTERNATIONAL SA	2,500,000	2,526,450	27,236		2,553,686
▇▇▇▇▇▇▇▇▇	6,182,151.0001	UNITEDHEALTH GROUP INCORPORATED	1,500,000	1,501,395	16,563		1,517,958
▇▇▇▇▇▇▇▇▇	6,182,153.0001	▇▇▇▇▇▇▇▇ PARTNERS LP	2,000,000	2,008,180	13,617		2,021,797
▇▇▇▇▇▇▇▇▇	5,765,698.0001	NEW YORK PUBLIC LIBRARY	840,000	850,046	12,054		862,100
▇▇▇▇▇▇▇▇▇	5,801,374.0001	TRUSTEES OF DARTMOUTH COLLEGE	560,000	527,022	8,106		535,128
▇▇▇▇▇▇▇▇▇	5,813,756.0001	ALLINA HEALTH SYSTEM	560,000	611,206	12,408		623,614
▇▇▇▇▇▇▇▇▇	5,818,035.0001	NEW JERSEY ST TPK AUTH TPK REV	420,000	598,483	9,943		608,426
▇▇▇▇▇▇▇▇▇	5,833,008.0001	OHIO ST UNIV GEN RCPTS	700,000	688,800	11,078		699,878
▇▇▇▇▇▇▇▇▇	5,836,875.0001	MASSACHUSETTS ST	630,000	587,872	8,602		596,474
▇▇▇▇▇▇▇▇▇	5,875,328.0001	MIAMI-DADE CNTY FLA AVIATION R	540,000	516,829	1,735		518,564



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
▇▇▇▇▇▇▇▇▇	5,882,952.0001	ORLANDO HEALTH INC	700,000	723,254	2,576		725,830
▇▇▇▇▇▇▇▇▇	5,883,705.0001	COMMUNITY HEALTH NETWORK	510,000	542,620	13,854		556,474
▇▇▇▇▇▇▇▇▇	5,886,760.0001	▇▇▇▇▇ CNTY NEV ARPT REV	530,000	766,555	12,049		778,604
▇▇▇▇▇▇▇▇▇	5,890,571.0001	PROVIDENCE ST ▇▇▇▇▇▇ HEALTH	530,000	490,923	1,213		492,136
▇▇▇▇▇▇▇▇▇	6,061,096.0001	MASSACHUSETTS ST	670,000	625,197	9,148		634,345
▇▇▇▇▇▇▇▇▇	6,074,090.0001	MIAMI-DADE CNTY FLA AVIATION R	530,000	518,738	1,759		520,496
▇▇▇▇▇▇▇▇▇	6,080,376.0001	RWJ BARNABAS HEALTH INC	700,000	667,954	9,214		677,168
▇▇▇▇▇▇▇▇▇	5,223,080.0001	UDR INC	5,000,000	5,047,451	15,417		5,062,867
▇▇▇▇▇▇▇▇▇	6,060,175.0001	GSMS_12-GCJ7	1,045,000	1,074,407	4,128		1,078,535
▇▇▇▇▇▇▇▇▇	6,060,176.0001	GSMS_12-GCJ7	1,000,000	1,028,141	3,950		1,032,091
▇▇▇▇▇▇▇▇▇	5,863,379.0001	WISCONSIN ST GEN FD ANNUAL APPROP	30,000	33,243	855		34,098
▇▇▇▇▇▇▇▇▇	5,691,840.0001	BEXAR CNTY TEX	1,050,000	1,092,032	26,291		1,118,323
▇▇▇▇▇▇▇▇▇	4,243,184.0001	FNMA 15YR	1,093,197	1,147,930	3,736		1,151,666
▇▇▇▇▇▇▇▇▇	4,569,891.0001	▇▇▇▇▇▇ ▇▇▇	1,628,555	1,677,737	5,443		1,683,180
▇▇▇▇▇▇▇▇▇	4,724,345.0001	NEXTERA ENERGY INC	7,862,000	8,095,187	147,413		8,242,599
▇▇▇▇▇▇▇▇▇	4,889,625.0001	FISERV INC	5,000,000	4,994,850	14,583		5,009,433
▇▇▇▇▇▇▇▇▇	5,177,439.0001	ANALOG DEVICES INC	4,000,000	3,848,640	47,917		3,896,557
▇▇▇▇▇▇▇▇▇	5,224,426.0001	GENERAL MOTORS CO	1,200,000	1,203,972	3,383		1,207,355
▇▇▇▇▇▇▇▇▇	5,737,732.0001	SCHLUMBERGER HOLDINGS CORP	20,000,000	20,067,600	261,806		20,329,406
▇▇▇▇▇▇▇▇▇	5,805,890.0001	FNA_16-M4	11,648,894	11,278,465	31,842		11,310,308
▇▇▇▇▇▇▇▇▇	5,709,301.0001	SC ▇▇▇▇▇▇▇ & SON INC	2,960,000	3,275,181	6,249		3,281,430
▇▇▇▇▇▇▇▇▇	5,786,761.0001	INTERNATIONAL BUSINESS MACHINES C	5,000,000	5,478,400	47,000		5,525,400
▇▇▇▇▇▇▇▇▇	5,816,862.0001	DIAMOND 1 FINANCE CORPORATION/DI	2,000,000	2,004,441	29,000		2,033,441
▇▇▇▇▇▇▇▇▇	6,058,821.0001	PROG_17-SFR1	1,000,000	971,482	2,763		974,245
▇▇▇▇▇▇▇▇▇	5,738,283.0001	PHOENIX AZ SERIES A	2,200,000	2,501,180	38,639		2,539,819
28,997	28,997.9400	Carlyle Overlook LLC, a Delaware limited	999,848	996,399	2,450		998,849
28,997	28,997.8400	Carlyle Overlook LLC, a Delaware limited	499,924	498,200	1,225		499,424
28,997	28,997.8900	Carlyle Overlook LLC, a Delaware limited	999,848	996,399	2,450		998,849
29,048	29,048.8900	TLF Logistics II ElDorado Bus Ctr LLC	486,786	486,518	1,342		487,860
28,997	28,997.9000	Carlyle Overlook LLC, a Delaware limited	5,999,091	5,978,394	14,698		5,993,092
29,048	29,048.9000	TLF Logistics II ElDorado Bus Ctr LLC	1,849,787	1,848,768	5,101		1,853,869
29,270	29,270.9000	SRPF A/CENTERRA, L.L.C.	2,500,000	2,491,400	6,771		2,498,171
29,270	29,270.9800	SRPF A/CENTERRA, L.L.C.	2,500,000	2,491,400	6,771		2,498,171
28,997	28,997.5000	Carlyle Overlook LLC, a Delaware limited	499,924	498,200	1,225		499,424
29,270	29,270.5000	SRPF A/CENTERRA, L.L.C.	1,250,000	1,245,700	3,385		1,249,085
26,578	26,578.5001	▇▇▇▇▇▇▇▇▇ PLACE APARTMENTS, L.L.C.	4,352,218	4,893,764	23,353		4,917,117
26,584	26,584.5001	ST ▇▇▇▇▇▇▇ INVESTMENTS	5,848,185	6,254,827	27,412		6,282,239
26,792	26,792.5001	▇▇▇▇▇▇▇ ▇▇▇▇▇▇▇▇▇▇ ASSOCIATES, LT	1,112,091	1,208,888	6,971		1,215,859
26,913	26,913.5001	S & S ▇▇▇▇▇▇ MILL,LLC	785,760	854,516	5,288		859,804
26,987	26,987.5001	NORCO CORONA ASSOCIATES	4,996,133	5,342,876	20,700		5,363,576
27,138	27,138.5001	TRIANGLE REAL ESTATE OF GASTONIA, IN	2,616,769	2,696,513	9,145		2,705,658



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
27,148	27,148.5001	Ambassador Apartments LLC	5,179,541	5,306,467	19,043		5,325,510
27,212	27,212.5001	Amberton Apartments Joint Venture	9,637,577	9,936,821	36,209		9,973,031
27,310	27,310.5001	Abington Crossing Associates, LP	959,361	1,011,153	4,209		1,015,362
27,318	27,318.5001	North Star Trust Company, Trustee	7,929,725	8,427,164	35,164		8,462,328
27,319	27,319.5001	North Star Trust Company, Trustee	2,941,048	3,125,542	13,042		3,138,584
27,329	27,329.5001	McAllen-83-▇▇▇▇▇▇, Inc.	436,863	464,550	1,998		466,548
2,732,902	2,732,902.5001	McAllen-83-▇▇▇▇▇▇, Inc.	572,651	606,553	2,461		609,014
27,381	27,381.5001	Tealwood Associates, LLP	4,158,699	4,506,494	18,229		4,524,723
27,435	27,435.5001	Moonlite Associates, LLC	6,985,861	7,011,419	26,293		7,037,711
27,797	27,797.5001	MANASSAS AIRPORT LOT 2, LLC	1,720,185	1,758,236	—		1,758,236
27,864	27,864.5001	▇▇ ▇▇, Inc.	824,457	864,378	4,103		868,482
2,791,802	2,791,802.5001	1415 LOUISIANA, INC.	4,742,416	4,979,035	21,793		5,000,828
27,919	27,919.5001	RIO - PAS INVESTMENTS, INC	2,375,520	2,546,991	11,981		2,558,972
27,994	27,994.5001	HY CITE / ▇▇▇▇▇▇, LLC	1,073,047	1,147,524	5,767		1,153,291
28,003	28,003.5001	EISENHOWER MILL PROPERTIES, LLC	5,595,936	5,818,163	29,276		5,847,439
28,018	28,018.5001	▇▇▇▇ ▇▇ PROPERTIES, LP	12,709,332	13,532,221	63,049		13,595,270
2,801,802	2,801,802.5001	▇▇▇▇ ▇▇ PROPERTIES, LP	11,996,615	12,443,923	47,950		12,491,873
28,024	28,024.5001	Town & Country Square, Ltd.	3,435,308	3,763,953	—		3,763,953
28,149	28,149.5001	THF Grand Junction Development, L.L.C.	2,359,418	2,459,832	12,108		2,471,940
28,246	28,246.5001	▇▇▇▇▇ ENTERPRISES, INC.	3,142,735	3,183,056	—		3,183,056
28,344	28,344.5001	Triangle Real Estate of Gastonia, Inc.	1,117,740	1,175,122	4,789		1,179,910
28,473	28,473.5001	▇▇▇ ▇▇▇▇▇ ▇▇▇▇▇ Associates # 1, LP	1,230,468	1,275,108	4,493		1,279,602
28,474	28,474.5001	35th ▇▇▇▇▇▇▇ Associates	2,945,666	3,052,532	10,757		3,063,288
28,499	28,499.5001	Wicklow Funding LLC	4,422,229	4,575,314	17,723		4,593,037
28,518	28,518.5001	Upside Oxnard LLC	3,577,800	3,753,319	15,233		3,768,553
28,775	28,775.5001	Somerset Tower Apartments, LLC	8,280,703	8,547,982	30,420		8,578,402
28,780	28,780.5001	Metro Storage East LLC	8,153,824	8,865,048	35,285		8,900,333
28,781	28,781.5001	Metro Storage South LLC	8,179,958	8,893,461	35,399		8,928,860
28,792	28,792.5001	Texas SFI Partnership22 Ltd	2,692,817	2,852,609	12,046		2,864,654
28,793	28,793.5001	Texas SFI Partnership 21 Ltd	2,203,214	2,333,953	9,855		2,343,809
28,928	28,928.5001	High Properties, LP	1,177,522	1,182,615	4,304		1,186,919
28,997	28,997.5001	Carlyle Overlook LLC, a Delaware limited	11,698,227	12,188,236	29,885		12,218,122
29,022	29,022.5001	▇▇▇▇ ▇▇▇ ▇▇▇▇▇ ▇▇▇▇▇▇▇▇▇ Apartments I	5,475,600	5,481,754	13,718		5,495,472
29,048	29,048.5001	TLF Logistics II ElDorado Bus Ctr LLC	1,947,144	1,952,437	5,369		1,957,806
29,127	29,127.5001	▇▇▇▇ Deed LLC	2,216,133	2,215,867	9,419		2,225,285
29,197	29,197.5001	▇▇▇▇ ▇▇ Perry GA, LLC	4,138,750	4,147,483	13,451		4,160,934
29,198	29,198.5001	▇▇▇▇ ▇▇ Oklahoma City OK, LLC	3,417,167	3,424,377	11,106		3,435,483
29,199	29,199.5001	▇▇▇▇ LO Col (7441 Two Notch) SC, LLC	3,479,000	3,486,341	11,307		3,497,647
29,200	29,200.5001	ARCP LO ▇▇▇▇▇▇▇▇▇ LA, LLC	3,294,667	3,301,618	10,708		3,312,326
29,201	29,201.5001	▇▇▇▇ KG Whitehall OH, LLC	2,371,833	2,376,838	7,708		2,384,546
29,268	29,268.5001	THF Hazleton Development, L.P.	8,000,000	7,976,640	23,667		8,000,307
29,270	29,270.5001	SRPF A/CENTERRA, L.L.C.	9,107,143	10,357,143	28,051		10,385,193
29,271	29,271.5001	SRPF A/CENTERRA, L.L.C.	1,000,000	1,045,640	7,083		1,052,723



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
29,316	29,316.5001	▇▇▇▇▇ FAMILY PROPERTIES DJW, LLC	5,062,289	5,121,181	18,620		5,139,801
29,322	29,322.5001	JaGee Real Properties, LP	3,234,296	3,305,654	12,166		3,317,820
29,369	29,369.5001	BCO Turnpike, Ltd	7,719,394	7,717,913	22,569		7,740,482
29,389	29,389.5001	G&I VIII WF Plaza LLC	11,333,333	11,311,573	32,489		11,344,062
29,390	29,390.5001	G&I VIII WF Plaza LLC	1,200,000	1,257,240	10,500		1,267,740
29,399	29,399.5001	Laurenz Place LLC	4,495,382	4,495,382	20,724		4,516,106
29,465	29,465.5001	Winbran, Inc.	2,656,963	2,732,877	13,189		2,746,066
29,466	29,466.5001	Kos Corp.	2,831,190	2,912,082	14,054		2,926,136
29,581	29,581.5001	▇▇▇▇▇▇▇ Equity Partners L.L.P.	5,111,969	5,051,221	16,945		5,068,166
29,584	29,584.5001	▇▇ ▇▇▇▇▇ Place LLC	8,059,958	8,059,958	38,765		8,098,723
29,593	29,593.5001	Rose Garden Trust Partners, L.L.C.	3,253,575	3,267,938	10,784		3,278,722
29,633	29,633.5001	Windgate, LLC	4,400,000	4,400,000	24,335		4,424,335
28,997	28,997.8410	Carlyle Overlook LLC, a Delaware limited	1,999,697	1,992,798	4,899		1,997,697
28,997	28,997.8150	Carlyle Overlook LLC, a Delaware limited	2,199,667	2,192,078	5,389		2,197,467
28,997	28,997.8190	Carlyle Overlook LLC, a Delaware limited	499,924	498,200	1,225		499,424
29,048	29,048.8190	TLF Logistics II ElDorado Bus Ctr LLC	584,143	583,822	1,611		585,432
980745F*9	2016-2395-SA	CSWAP: EUR/USD 9/23/2026	562,000			(71,716)	(71,716)
980745F*9	2016-2395-SB	CSWAP: EUR/USD 9/23/2026	6,069,600			(774,535)	(774,535)
980745F*9	2016-2395-SD	CSWAP: EUR/USD 9/23/2026	112,400			(14,343)	(14,343)
N9651*AA6	2016-2399-SB	CSWAP: EUR/USD 9/23/2028	337,200			(44,358)	(44,358)
N9651*AA6	2016-2399-SC	CSWAP: EUR/USD 9/23/2028	3,709,200			(487,942)	(487,942)
N9651*AA6	2016-2399-SD	CSWAP: EUR/USD 9/23/2028	112,400			(14,786)	(14,786)
92927KB*2	2016-2453-SB	CSWAP: EUR/USD 11/15/2023	335,850			(40,781)	(40,781)
92927KB*2	2016-2453-SC	CSWAP: EUR/USD 11/15/2023	11,754,750			(1,427,329)	(1,427,329)
92927KB*2	2016-2453-SD	CSWAP: EUR/USD 11/15/2023	1,007,550			(122,342)	(122,342)
92927KB#8	2016-2458-SA	CSWAP: EUR/USD 11/15/2028	223,900			(29,825)	(29,825)
92927KB#8	2016-2458-SC	CSWAP: EUR/USD 11/15/2028	671,700			(89,476)	(89,476)
92927KB#8	2016-2458-SD	CSWAP: EUR/USD 11/15/2028	8,396,250			(1,118,445)	(1,118,445)
92927KB@0	2016-2461-SA	CSWAP: EUR/USD 11/15/2026	111,950			(14,481)	(14,481)
92927KB@0	2016-2461-SD	CSWAP: EUR/USD 11/15/2026	447,800			(57,922)	(57,922)
92927KB@0	2016-2462-SA	CSWAP: EUR/USD 11/15/2026	5,037,750			(651,623)	(651,623)
G3663#AA9	2016-2524-SA	CSWAP: GBP/USD 12/15/2026	496,800			(85,720)	(85,720)
G3663#AA9	2016-2524-SB	CSWAP: GBP/USD 12/15/2026	5,961,600			(1,028,641)	(1,028,641)
G3663#AA9	2016-2524-SE	CSWAP: GBP/USD 12/15/2026	124,200			(21,430)	(21,430)
031100G#1	2016-2551-SC	CSWAP: GBP/USD 11/23/2028	2,320,850			(505,417)	(505,417)
031100G#1	2016-2551-SE	CSWAP: GBP/USD 11/23/2028	25,773,650			(5,612,787)	(5,612,787)
031100G#1	2016-2551-SF	CSWAP: GBP/USD 11/23/2028	610,750			(133,004)	(133,004)
G1745*AR2	2016-2593-SB	CSWAP: GBP/USD 11/10/2026	246,240			(47,669)	(47,669)
G1745*AR2	2016-2593-SC	CSWAP: GBP/USD 11/10/2026	12,558,240			(2,431,125)	(2,431,125)
G1745*AR2	2016-2593-SD	CSWAP: GBP/USD 11/10/2026	1,108,080			(214,511)	(214,511)
G1591#AV4	2016-2653-SA	CSWAP: GBP/USD 2/20/2027	3,669,000			(767,400)	(767,400)
G1591#AV4	2016-2653-SC	CSWAP: GBP/USD 2/20/2027	305,750			(63,950)	(63,950)
G1591#AU6	2016-2656-SA	CSWAP: GBP/USD 2/20/2025	4,586,250			(885,257)	(885,257)
G1591#AU6	2016-2656-SC	CSWAP: GBP/USD 2/20/2025	305,750			(59,017)	(59,017)
G1591#AV4	2016-2692-SA	CSWAP: GBP/USD 2/20/2027	1,223,000			(255,800)	(255,800)
G1591#AU6	2016-2693-SA	CSWAP: GBP/USD 2/20/2025	1,528,750			(295,086)	(295,086)
N5276#AA5	2016-2737-SA	CSWAP: EUR/USD 12/8/2023	211,600			(37,004)	(37,004)



ASSET CUSIP	HOLDING ID	ASSET DESCRIPTION	PAR VALUE	MARKET VALUE	INTEREST ACCRUED	DERIVATIVE MV ACCRUED	MARKET VALUE ACCRUED
N5276#AA5	2016-2737-SD	CSWAP: EUR/USD 12/8/2023	634,800			(111,013)	(111,013)
N5276#AA5	2016-2737-SE	CSWAP: EUR/USD 12/8/2023	7,935,000			(1,387,669)	(1,387,669)
N5276#AB3	2016-2740-SC	CSWAP: EUR/USD 12/8/2028	423,200			(81,027)	(81,027)
N5276#AB3	2016-2740-SD	CSWAP: EUR/USD 12/8/2028	4,761,000			(911,557)	(911,557)
N5276#AB3	2016-2741-SC	CSWAP: EUR/USD 12/8/2028	105,800			(20,257)	(20,257)
G8472#AE1	2016-2863-SA	CSWAP: GBP/USD 2/27/2029	254,360			(34,967)	(34,967)
G8472#AE1	2016-2863-SB	CSWAP: GBP/USD 2/27/2029	4,832,840			(664,373)	(664,373)
G8472#AE1	2016-2863-SD	CSWAP: GBP/USD 2/27/2029	763,080			(104,901)	(104,901)
G9605#AJ8	2017-3127-SA	CSWAP: GBP/USD 8/16/2027	1,124,280			(145,624)	(145,624)
G9605#AJ8	2017-3128-SC	CSWAP: GBP/USD 8/16/2027	2,248,560			(291,248)	(291,248)
G7059#AA2	2017-3188-SC	CSWAP: GBP/USD 8/5/2024	3,200,080			(404,876)	(404,876)
G7059#AA2	2017-3188-SE	CSWAP: GBP/USD 8/5/2024	6,400,160			(809,751)	(809,751)
879360C@2	2017-3295-SB	CSWAP: EUR/USD 4/18/2022	807,000			(124,486)	(124,486)
879360C@2	2017-3297-SC	CSWAP: EUR/USD 4/18/2022	1,614,000			(248,971)	(248,971)
879360C#0	2017-3299-SA	CSWAP: EUR/USD 4/18/2023	538,000			(84,939)	(84,939)
879360C#0	2017-3301-SC	CSWAP: EUR/USD 4/18/2023	1,076,000			(169,879)	(169,879)
N8502#AB3	2017-3304-SA	CSWAP: EUR/USD 4/18/2024	807,000			(129,829)	(129,829)
N8502#AB3	2017-3304-SC	CSWAP: EUR/USD 4/18/2024	538,000			(86,552)	(86,552)
N8502#AA5	2017-3322-SB	CSWAP: EUR/USD 4/18/2023	807,000			(127,409)	(127,409)
N8502#AA5	2017-3323-SB	CSWAP: EUR/USD 4/18/2023	1,614,000			(254,818)	(254,818)
G2616#AM3	2017-3539-SA	CSWAP: EUR/USD 9/13/2027	4,264,360			(571,702)	(571,702)
G2616#AM3	2017-3539-SB	CSWAP: EUR/USD 9/13/2027	2,132,180			(285,851)	(285,851)
Q2762#AA0	2017-3579-SA	CSWAP: AUD/USD 7/26/2027	1,510,400			(86,364)	(86,364)
Q2762#AA0	2017-3579-SC	CSWAP: AUD/USD 7/26/2027	302,080			(17,273)	(17,273)
Q2762#AA0	2017-3579-SF	CSWAP: AUD/USD 7/26/2027	6,721,280			(384,321)	(384,321)
G6093#AB0	2017-3610-SC	CSWAP: EUR/USD 7/19/2024	2,400,300			(236,083)	(236,083)
G6093#AB0	2017-3610-SD	CSWAP: EUR/USD 7/19/2024	571,500			(56,210)	(56,210)
G6093#AB0	2017-3610-SF	CSWAP: EUR/USD 7/19/2024	10,858,500			(1,067,994)	(1,067,994)
G5560@AB8	2017-3698-SA	CSWAP: GBP/USD 8/17/2027	393,750			(33,557)	(33,557)
G5560@AB8	2017-3698-SB	CSWAP: GBP/USD 8/17/2027	2,231,250			(190,158)	(190,158)
G5560@AB8	2017-3698-SF	CSWAP: GBP/USD 8/17/2027	9,843,750			(838,932)	(838,932)
G7304*AA9	2017-3925-SC	CSWAP: GBP/USD 10/31/2027	1,859,200			(149,546)	(149,546)
G7304*AA9	2017-3925-SE	CSWAP: GBP/USD 10/31/2027	398,400			(32,046)	(32,046)
G7304*AA9	2017-3925-SF	CSWAP: GBP/USD 10/31/2027	9,030,400			(726,367)	(726,367)
G7304*AB7	2017-3929-SB	CSWAP: GBP/USD 10/31/2029	9,163,200			(783,582)	(783,582)
G7304*AB7	2017-3929-SC	CSWAP: GBP/USD 10/31/2029	398,400			(34,069)	(34,069)
G7304*AB7	2017-3929-SE	CSWAP: GBP/USD 10/31/2029	1,726,400			(147,631)	(147,631)
372460D*3	2017-3989-SD	CSWAP: EUR/USD 10/30/2024	588,850			(35,999)	(35,999)
372460D*3	2017-3989-SE	CSWAP: EUR/USD 10/30/2024	706,620			(43,199)	(43,199)
372460D*3	2017-3989-SF	CSWAP: EUR/USD 10/30/2024	10,245,990			(626,388)	(626,388)
		CASH	127,977,678	127,977,678			127,977,678
			4,152,858,629	3,424,483,601	28,860,839	(29,945,143)	3,423,399,297

SCHEDULE IV

ASSET VALUATION METHODOLOGY

The Fair Market Value of any asset shall be the end-of-day price on the day prior to the closing date of the reinsurance transaction determined in accordance with the following pricing matrix, whereby Security Type is determined by the Ceding Company’s “ASSET_CLASS_CATEGORY” classification and “FLAG_AGENCY” field.²



ASSET_CLASS_CATEGORY	FLAG_AGENCY	Primary Source	Secondary Source	Tertiary Source	Quaternary Source
ABS		IDC	JPM Pricing Direct	Broker Quotes	Analyst/Trader
ABS-FLOATER		JPM Pricing Direct	IDC	Broker Quotes	Analyst/Trader
CLO		JPM Pricing Direct	IDC	Broker Quotes	Analyst/Trader
CMBS		IDC	JPM Pricing Direct	Broker Quotes	Analyst/Trader
CMO-A	Y	IDC	JPM Pricing Direct	Broker Quotes	Analyst/Trader
CMO-A	N	JPM Pricing Direct	IDC	Broker Quotes	Analyst/Trader
CMO-B	Y	IDC	JPM Pricing Direct	Broker Quotes	Analyst/Trader
CMO-B	N	JPM Pricing Direct	IDC	Broker Quotes	Analyst/Trader
COMMERCIAL MORTGAGES		DebtX	Analyst/Trader
EMD-CORPORATE		IDC	JPM Pricing Direct	Broker Quotes	Analyst/Trader
EMD-SOVERIGN		IDC	JPM Pricing Direct	Broker Quotes	Analyst/Trader
EQUITY SECURITIES		IDC	JPM Pricing Direct	Broker Quotes	Analyst/Trader
LIMITED PARTNERSHIPS		NAV Statement	Analyst/Trader
MUNICIPAL		IDC	JPM Pricing Direct	Broker Quotes	Analyst/Trader
PRIVATE-BIG		See Private Placement Process	Analyst/Trader
PRIVATE-IG		See Private Placement Process	Analyst/Trader
PUBLIC-BIG		IDC	JPM Pricing Direct	Broker Quotes	Analyst/Trader
PUBLIC-IG		IDC	JPM Pricing Direct	Broker Quotes	Analyst/Trader
SHORT-TERM		IDC	JPM Pricing Direct	Broker Quotes	Analyst/Trader
US TREASURY		IDC	JPM Pricing Direct	Broker Quotes	Analyst/Trader

Commercial Mortgages shall be priced by DebtX. The Reinsurer will be responsible for requesting Debt X pricing, and the Ceding Company agrees that it shall provide all relevant information and inputs necessary to permit Debt X to price the Commercial Mortgages (DebtX Fields are listed in Schedule A hereto).

² These are fields from seriatim holdings file. Data room file 2.5.1 - Single Source by USGAAP Entity RLI SLD VIAC_06302017.

Limited Partnerships and similar alternative investments will be valued based on most recent NAV, adjusted for any inflows/outflows since the last reported NAV Statement from the fund. The Ceding Company agrees to provide the most recent NAV Statement and any other Fund correspondence since the date of the most recent NAV Statement to the Reinsurer, where such NAV Statement shall value the investment as of a date no older than 150 calendar days prior to delivery of asset to the Reinsurer.

Private Placements shall be valued consistent with the Ceding Company’s internal policies for such assets, provided that the Reinsurer reserves the right to challenge any Private Placement price using Brokers quotes from any of SeaPort Global Securities LLC, StoneCastle Securities LLC or ▇.▇. ▇▇▇▇▇▇ Securities Inc., and where any such Broker quote is lower than the Ceding Company’s price by 3.5 points or more, the parties agree that such Broker quote shall be used as the value for such asset in lieu of the Ceding Company’s price for such asset. In cases where a Broker may provide a spread in lieu of a price with respect to a Private Placement, such spread shall be converted to a price by applying such spread to the interpolated U.S. Treasury curve³ as of close of business on the Business Day before the Effective Date.

Any position which is valued via the Analyst/Trader protocol shall be valued by the Ceding Company, consistent with the Ceding Company’s valuation policy. The Ceding Company agrees to provide the Reinsurer documentation supporting such valuation, including valuation methodology, inputs and assumptions and any other information necessary for the Reinsurer to re-perform the measurement, and to the extent that there are differences, the parties agree in good faith to come to an agreed-upon valuation.

Additionally, the Ceding Company shall also agree to provide any valuation source with all information reasonably required by such valuation source to price any of the assets.

For any asset for which the Ceding Company would normally use a pricing service (the “Ceding Company Pricing Service”) that is different from the pricing service to be used hereunder (the “Reinsurer Pricing Service”), the Ceding Company reserves the right to challenge the price provided by the Reinsurer Pricing Service by directly presenting such challenge to the Reinsurer Pricing Service. In the event that (i) the Reinsurer Pricing Service accepts the Ceding Company’s challenge, and (ii) the accepted challenge results in a change to the challenged price of 3.5 points or more, the price determined pursuant to such challenge process shall be used to value the asset.

³Daily treasury rate published online by the U.S. Treasury Department (▇▇▇▇▇▇▇▇.▇▇▇).

SCHEDULE A – DEBTX FIELDS

As Of Date

Loan Number

Original Loan Date

Current Loan Amount

Maturity Date

Modified Loan

Modified Loan Date

Modified Loan Amount

Unpaid Principal Balance

Rate Type

Payment Amount

Next Payment Due Date

Paid Through Date

Balloon Date

Balloon Payment

Percent Owned

Lien Position

Borrower Name

Property Name

Property Address

Property City

Property State

Property Zip Code

Remaining Future Funding

Total Maturity Balance

Type of Jr Lien Allowed

Jr Lien Balance

Margin

Initial Rate Cap

Lifetime Rate Floor

Rate Adjustment Frequency

First Interest Rate Adjustment Date

Prepayment Penalty Type

Prepayment Penalty Term

Prepayment Penalty Structure

Call Feature

Call Frequency

Next Call Date

Origination Amortization Term- Months

Original Stated Term- Balloon Term

Interest Period

I/OConverts P&I- Amort Schedule

Current Property Value As of Date

Current LTV

Current Property Value

Current Property Value Source

Current LTV Combined

Property Type

Single Tenant

Tenant Name

Ground Lease

Recourse To Borrower

Guaranty Type

Credit Tenant/Tenant Lease

Current Net Cash Flow Reserve

Current Net Cash Flow

Occupancy Percentage

As of Date for Occupancy

Current NOI

Current NOI Date

Current DSCR Source

Debt Reserve Services

Current DSCR

Current DSCR- As of Date

Cross Default

Crossed Loan Number

Current Interest Rate

Payment Structure

Original Appraised Value

Original Appraised Value Source

Orig LTV

Orig LTVCombined

Prior Liens

Interest Accrual Basis

ARM Index

ARM Next Rate Change Date

Initial Maturity Date

Lockout Provision

Lockout End Date

SCHEDULE V

EXISTING INDEX ▇▇▇▇▇▇

See attached.⁴

⁴This list is current as of 5/28/2018 and will be updated to be current as of 5/31/2018 following the Effective Date.



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
Asian Call Spread	Advantage 9	900A	900A00073	2011-1892-L	SGDV	Societe Generale	119,500	9/19/2011	10/19/2019	GA
Asian	Spread 9	900S	900S00284	2011-2525-L	CSBDV	Credit Suisse International	523,560.00	11/21/2011	6/20/2019	GA
Asian	Spread 9	900S	900S00285	2011-2768-L	JPMDV	JPMORGAN CHASE BANK, N.A.	43,287.20	12/20/2011	9/21/2020	GA
Asian	Spread 9	900S	900S00286	2012-0164-L	CSBDV	Credit Suisse International	14,187	1/18/2012	10/14/2020	GA
Asian Call Spread	Advantage 9	900A	▇▇▇▇▇▇▇▇▇	2012-0219-L	MLIDV	▇▇▇▇▇▇▇ ▇▇▇▇▇ International	128,573	1/25/2012	10/29/2020	GA
Asian	Spread 9	900S	900S00287	2012-0496-L	CSBDV	Credit Suisse International	12,622.80	2/28/2012	2/6/2021	GA
Asian	Spread 9	900S	900S00288	▇▇▇▇-▇▇▇▇-▇	▇▇▇▇▇	Barclays Bank, PLC	1,583.40	3/29/2012	3/16/2021	GA
Asian	Spread 9	900S	900S00289	2012-0961-L	SGDV	Societe Generale	4,907	4/24/2012	4/11/2021	GA
Asian	Spread 9	900S	900S00290	2012-1178-L	GSIDV	▇▇▇▇▇▇▇ Sachs International	5,294	5/17/2012	5/5/2021	GA
Asian	Market Smart 7	700K	700K00008	2012-1058-L	HSBDV	HSBC Bank USA, National Association	11,564	5/7/2012	1/10/2019	GA
Asian	Spread 9	900S	900S00291	2012-1440-L	SGDV	Societe Generale	11,413	6/19/2012	6/4/2021	GA
Asian	Spread 9	900S	900S00292	▇▇▇▇-▇▇▇▇-▇	▇▇▇▇▇	Barclays Bank, PLC	3,763	7/10/2012	6/28/2021	GA
Asian	Spread 9	900S	900S00293	▇▇▇▇-▇▇▇▇-▇	▇▇▇▇▇	Barclays Bank, PLC	5,343	8/7/2012	7/23/2021	GA
Asian	Spread 9	900S	900S00294	2012-2139-L	UBSDV	UBS AG	715	9/6/2012	8/22/2021	GA
Asian	Spread 9	900S	900S00295	2012-2381-L	GSIDV	▇▇▇▇▇▇▇ ▇▇▇▇▇ International	8,985.90	10/2/2012	9/19/2021	GA
Asian	Spread 9	900S	900S00296	▇▇▇▇-▇▇▇▇-▇	▇▇▇▇▇	BNP Paribas	4,220	11/1/2012	10/17/2021	GA
Asian	Spread 9	900S	900S00297	2012-2901-L	CSBDV	Credit Suisse International	1,080	12/5/2012	11/18/2021	GA
Asian	Spread 9	900S	900S00298	2013-3142-L	HSBDV	HSBC Bank USA, National Association	11,583	1/2/2013	2/16/2021	GA
Asian	Market Smart 7	700K	▇▇▇▇▇▇▇▇▇	2013-3180-L	HSBDV	HSBC Bank USA, National Association	9,364	1/7/2013	8/25/2019	GA
Asian	Spread 9	900S	▇▇▇▇▇▇▇▇▇	2013-3592-L	HSBDV	HSBC Bank USA, National Association	3,919	2/20/2013	1/25/2022	GA
Asian	Spread 9	900S	900S00300	▇▇▇▇-▇▇▇▇-▇	▇▇▇▇▇	BNP Paribas	10,463.20	4/2/2013	3/18/2022	GA
Asian	Spread 9	900S	900S00301	▇▇▇▇-▇▇▇▇-▇	▇▇▇▇▇	BNP Paribas	5,607	5/7/2013	4/20/2022	GA
Asian	Spread 9	900S	900S00302	2013-4101-L	CITDV	Citibank, N.A.	3,586.20	6/17/2013	5/25/2022	GA
Asian	Spread 9	900S	900S00303	2013-4239-L	DBDV	Deutsche Bank AG	12,099	7/16/2013	6/28/2022	GA
Asian	Spread 9	900S	900S00304	2013-4319-L	SGDV	Societe Generale	16,486	8/6/2013	7/27/2022	GA
Asian	Spread 9	900S	900S00305	2013-4502-L	MSIDV	▇▇▇▇▇▇ ▇▇▇▇▇▇▇ & Co International, PLC	1,911.80	9/11/2013	8/22/2022	GA
Asian	Spread 9	900S	900S00306	2013-4742-L	WCHDV	▇▇▇▇▇ Fargo Bank, N. A.	16,691.40	10/28/2013	10/2/2022	GA
Asian	Spread 9	900S	▇▇▇▇▇▇▇▇▇	2013-4912-L	CSBDV	Credit Suisse International	8,048	12/11/2013	11/18/2022	GA
Asian	Market Smart 10	100K	100K00055	2015-6645-L	HSBDV	HSBC Bank USA, National Association	72,942	1/27/2015	6/5/2022	GA
Asian	Market Smart 10	100K	100K00056	2015-6790-L	CITDV	Citibank, N.A.	97,687.20	3/3/2015	2/13/2025	GA
Asian	Market Smart 10	100K	100K00057	2015-6975-L	RBCDV	Royal Bank of Canada	136,511.20	4/7/2015	3/24/2025	GA
Asian	Market Smart 10	100K	100K00058	2015-7160-L	NATDV	NATIXIS SA	107,297	5/14/2015	5/1/2025	GA
Asian	Market Smart 10	100K	100K00059	▇▇▇▇-▇▇▇▇-▇	▇▇▇▇▇	Barclays Bank, PLC	103,196.70	6/23/2015	6/7/2025	GA
Asian	Market Smart 10	100K	100K00060	2015-7550-L	RBCDV	Royal Bank of Canada	69,850	8/11/2015	3/30/2025	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
Asian	Market Smart 10	100K	100K00061	2015-7621-L	WCHDV	▇▇▇▇▇ Fargo Bank, N. A.	52,537	8/26/2015	8/15/2025	GA
Asian	Market Smart 10	100K	▇▇▇▇▇▇▇▇▇	▇▇▇▇-▇▇▇▇-▇	▇▇▇▇▇	Barclays Bank, PLC	86,022	10/29/2015	10/3/2025	GA
Asian	Market Smart 10	100K	100K00063	2016-9061-L	GSIDV	▇▇▇▇▇▇▇ Sachs International	54,641	3/1/2016	1/6/2026	GA
Asian Call Spread	Advantage 5	510A	▇▇▇▇▇▇▇▇▇	2016-9550-L	GSIDV	▇▇▇▇▇▇▇ ▇▇▇▇▇ International	60,490.40	5/17/2016	12/23/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00001-2	2017-2991-L	JPMDV	JPMORGAN CHASE BANK, N.A.	1,458	2/15/2017	2/14/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00001-3	2017-2998-L	JPMDV	JPMORGAN CHASE BANK, N.A.	1,316	2/15/2017	2/14/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00001-4	2017-2997-L	JPMDV	JPMORGAN CHASE BANK, N.A.	1,199	2/15/2017	2/14/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00001-5	2017-2995-L	JPMDV	JPMORGAN CHASE BANK, N.A.	1,097	2/15/2017	2/14/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00001-6	2017-2993-L	JPMDV	JPMORGAN CHASE BANK, N.A.	1,011	2/15/2017	2/14/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00001-7	2017-3000-L	JPMDV	JPMORGAN CHASE BANK, N.A.	6,063	2/15/2017	2/14/2024	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00002-2	2017-3106-L	JPMDV	JPMORGAN CHASE BANK, N.A.	106	3/2/2017	3/1/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00002-3	2017-3107-L	JPMDV	JPMORGAN CHASE BANK, N.A.	96	3/2/2017	3/1/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00002-4	2017-3108-L	JPMDV	JPMORGAN CHASE BANK, N.A.	87	3/2/2017	3/1/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00002-5	2017-3109-L	JPMDV	JPMORGAN CHASE BANK, N.A.	79	3/2/2017	3/1/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00002-6	2017-3110-L	JPMDV	JPMORGAN CHASE BANK, N.A.	73	3/2/2017	3/1/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00002-7	2017-3111-L	JPMDV	JPMORGAN CHASE BANK, N.A.	442	3/2/2017	3/1/2024	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00003-2	2017-3169-L	JPMDV	JPMORGAN CHASE BANK, N.A.	187	3/10/2017	3/9/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00003-3	2017-3170-L	JPMDV	JPMORGAN CHASE BANK, N.A.	168	3/10/2017	3/9/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00003-4	2017-3172-L	JPMDV	JPMORGAN CHASE BANK, N.A.	153	3/10/2017	3/9/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00003-5	2017-3171-L	JPMDV	JPMORGAN CHASE BANK, N.A.	140	3/10/2017	3/9/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00003-6	2017-3168-L	JPMDV	JPMORGAN CHASE BANK, N.A.	128	3/10/2017	3/9/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00003-7	2017-3166-L	JPMDV	JPMORGAN CHASE BANK, N.A.	779	3/10/2017	3/9/2024	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00004-2	2017-3210-L	JPMDV	JPMORGAN CHASE BANK, N.A.	268	3/13/2017	3/8/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00004-3	2017-3211-L	JPMDV	JPMORGAN CHASE BANK, N.A.	242	3/13/2017	3/10/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00004-4	2017-3214-L	JPMDV	JPMORGAN CHASE BANK, N.A.	221	3/13/2017	3/10/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00004-5	2017-3213-L	JPMDV	JPMORGAN CHASE BANK, N.A.	202	3/13/2017	3/10/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00004-6	2017-3212-L	JPMDV	JPMORGAN CHASE BANK, N.A.	186	3/13/2017	3/10/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00004-7	2017-3208-L	JPMDV	JPMORGAN CHASE BANK, N.A.	1,128	3/13/2017	3/8/2024	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00005-2	2017-3226-L	JPMDV	JPMORGAN CHASE BANK, N.A.	1,004	3/15/2017	3/2/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00005-3	2017-3227-L	JPMDV	JPMORGAN CHASE BANK, N.A.	905	3/15/2017	3/2/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00005-4	2017-3228-L	JPMDV	JPMORGAN CHASE BANK, N.A.	823	3/15/2017	3/2/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00005-5	2017-3229-L	JPMDV	JPMORGAN CHASE BANK, N.A.	754	3/15/2017	3/2/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00005-6	2017-3230-L	JPMDV	JPMORGAN CHASE BANK, N.A.	693	3/15/2017	3/2/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00005-7	2017-3231-L	JPMDV	JPMORGAN CHASE BANK, N.A.	4,209	3/15/2017	3/2/2024	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00006-3	2017-3266-L	JPMDV	JPMORGAN CHASE BANK, N.A.	114	3/20/2017	3/16/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00006-4	2017-3267-L	JPMDV	JPMORGAN CHASE BANK, N.A.	104	3/20/2017	3/16/2021	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00006-5	2017-3268-L	JPMDV	JPMORGAN CHASE BANK, N.A.	95	3/20/2017	3/16/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00006-6	2017-3269-L	JPMDV	JPMORGAN CHASE BANK, N.A.	88	3/20/2017	3/16/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00006-7	2017-3270-L	JPMDV	JPMORGAN CHASE BANK, N.A.	533	3/20/2017	3/16/2024	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00006-2	2017-3265-L	JPMDV	JPMORGAN CHASE BANK, N.A.	126	3/20/2017	3/16/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00001-2	2017-3366-L	CITDV	Citibank, N.A.	3,250	3/29/2017	3/18/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00001-3	2017-3369-L	CITDV	Citibank, N.A.	2,936	3/29/2017	3/18/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00001-4	2017-3371-L	CITDV	Citibank, N.A.	2,681	3/29/2017	3/18/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00001-5	2017-3365-L	CITDV	Citibank, N.A.	2,461	3/29/2017	3/18/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00001-6	2017-3368-L	CITDV	Citibank, N.A.	2,267	3/29/2017	3/18/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00001-7	2017-3363-L	CITDV	Citibank, N.A.	12,677	3/29/2017	3/18/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00002-2	2017-3483-L	CITDV	Citibank, N.A.	3,509	4/10/2017	4/3/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00002-3	2017-3484-L	CITDV	Citibank, N.A.	3,163	4/10/2017	4/3/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00002-6	2017-3487-L	CITDV	Citibank, N.A.	2,436	4/10/2017	4/3/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00002-7	2017-3489-L	CITDV	Citibank, N.A.	13,660	4/10/2017	4/3/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00002-5	2017-3486-L	CITDV	Citibank, N.A.	2,647	4/10/2017	4/1/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00002-4	2017-3485-L	CITDV	Citibank, N.A.	2,886	4/10/2017	4/1/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00003-2	2017-3683-L	CITDV	Citibank, N.A.	3,460	4/17/2017	4/9/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00003-3	2017-3685-L	CITDV	Citibank, N.A.	3,111	4/17/2017	4/9/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00003-4	2017-3688-L	CITDV	Citibank, N.A.	2,835	4/17/2017	4/9/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00003-7	2017-3694-L	CITDV	Citibank, N.A.	13,417	4/17/2017	4/9/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00003-5	2017-3692-L	CITDV	Citibank, N.A.	2,599	4/17/2017	4/8/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00003-6	2017-3693-L	CITDV	Citibank, N.A.	2,394	4/17/2017	4/6/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00007-2	2017-3705-L	JPMDV	JPMORGAN CHASE BANK, N.A.	11,704	4/18/2017	4/3/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00007-3	2017-3706-L	JPMDV	JPMORGAN CHASE BANK, N.A.	10,790	4/18/2017	4/3/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00007-4	2017-3708-L	JPMDV	JPMORGAN CHASE BANK, N.A.	9,970	4/18/2017	4/3/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00007-5	2017-3710-L	JPMDV	JPMORGAN CHASE BANK, N.A.	9,250	4/18/2017	4/3/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00007-6	2017-3711-L	JPMDV	JPMORGAN CHASE BANK, N.A.	8,594	4/18/2017	4/3/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00007-7	2017-3712-L	JPMDV	JPMORGAN CHASE BANK, N.A.	51,256	4/18/2017	4/3/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00004-3	2017-3784-L	CITDV	Citibank, N.A.	5,550	4/27/2017	4/20/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00004-4	2017-3785-L	CITDV	Citibank, N.A.	5,053	4/27/2017	4/20/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00004-5	2017-3783-L	CITDV	Citibank, N.A.	4,630	4/27/2017	4/20/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00004-6	2017-3781-L	CITDV	Citibank, N.A.	4,259	4/27/2017	4/20/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00004-2	2017-3782-L	CITDV	Citibank, N.A.	6,177	4/27/2017	4/18/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00004-7	2017-3780-L	CITDV	Citibank, N.A.	23,932	4/27/2017	4/19/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00005-2	2017-3829-L	CITDV	Citibank, N.A.	3,441	5/2/2017	4/18/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00005-3	2017-3831-L	CITDV	Citibank, N.A.	3,094	5/2/2017	4/21/2020	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
JRNY-CITI	Citi Vol Control	CITI	CITI00005-4	2017-3832-L	CITDV	Citibank, N.A.	2,819	5/2/2017	4/21/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00005-5	2017-3833-L	CITDV	Citibank, N.A.	2,584	5/2/2017	4/21/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00005-6	2017-3834-L	CITDV	Citibank, N.A.	2,378	5/2/2017	4/21/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00005-7	2017-3835-L	CITDV	Citibank, N.A.	13,305	5/2/2017	4/19/2024	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00008-2	2017-3892-L	JPMDV	JPMORGAN CHASE BANK, N.A.	16,024	5/10/2017	4/27/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00008-3	2017-3894-L	JPMDV	JPMORGAN CHASE BANK, N.A.	14,428	5/10/2017	4/27/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00008-4	2017-3890-L	JPMDV	JPMORGAN CHASE BANK, N.A.	13,158	5/10/2017	4/27/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00008-5	2017-3893-L	JPMDV	JPMORGAN CHASE BANK, N.A.	12,076	5/10/2017	4/27/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00008-6	2017-3895-L	JPMDV	JPMORGAN CHASE BANK, N.A.	11,093	5/10/2017	4/27/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00008-7	2017-3896-L	JPMDV	JPMORGAN CHASE BANK, N.A.	69,120	5/10/2017	4/26/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00006-2	2017-3957-L	CITDV	Citibank, N.A.	3,548	5/15/2017	5/7/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00006-3	2017-3961-L	CITDV	Citibank, N.A.	3,193	5/15/2017	5/7/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00006-4	2017-3962-L	CITDV	Citibank, N.A.	2,910	5/15/2017	5/7/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00006-7	2017-3966-L	CITDV	Citibank, N.A.	13,771	5/15/2017	5/7/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00006-5	2017-3959-L	CITDV	Citibank, N.A.	2,669	5/15/2017	5/6/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00006-6	2017-3964-L	CITDV	Citibank, N.A.	2,456	5/15/2017	5/5/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00007-3	2017-4002-L	CITDV	Citibank, N.A.	4,317	5/18/2017	5/12/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00007-4	2017-4001-L	CITDV	Citibank, N.A.	3,959	5/18/2017	5/12/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00007-5	2017-4003-L	CITDV	Citibank, N.A.	3,647	5/18/2017	5/12/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00007-6	2017-3998-L	CITDV	Citibank, N.A.	3,369	5/18/2017	5/12/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00007-2	2017-3999-L	CITDV	Citibank, N.A.	4,753	5/18/2017	5/10/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00007-7	2017-4006-L	CITDV	Citibank, N.A.	18,880	5/18/2017	5/10/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00008-2	2017-4011-L	CITDV	Citibank, N.A.	8,445	5/19/2017	5/15/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00008-3	2017-4013-L	CITDV	Citibank, N.A.	7,615	5/19/2017	5/15/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00008-6	2017-4018-L	CITDV	Citibank, N.A.	5,880	5/19/2017	5/15/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00008-7	2017-4019-L	CITDV	Citibank, N.A.	32,971	5/19/2017	5/15/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00008-4	2017-4014-L	CITDV	Citibank, N.A.	6,953	5/19/2017	5/14/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00008-5	2017-4016-L	CITDV	Citibank, N.A.	6,384	5/19/2017	5/13/2022	GA
Cliquet	MCI	100M	100M02218	2017-4106-L	UBSDV	UBS AG	54,063	5/26/2017	5/31/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00009-2	2017-4053-L	CITDV	Citibank, N.A.	12,348	5/24/2017	5/20/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00009-3	2017-4055-L	CITDV	Citibank, N.A.	11,061	5/24/2017	5/20/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00009-4	2017-4056-L	CITDV	Citibank, N.A.	10,054	5/24/2017	5/20/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00009-5	2017-4057-L	CITDV	Citibank, N.A.	9,206	5/24/2017	5/20/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00009-7	2017-4054-L	CITDV	Citibank, N.A.	47,442	5/24/2017	5/20/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00010-2	2017-4071-L	CITDV	Citibank, N.A.	3,891	5/25/2017	5/21/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00010-3	2017-4073-L	CITDV	Citibank, N.A.	3,473	5/25/2017	5/21/2020	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
JRNY-CITI	Citi Vol Control	CITI	CITI00010-4	2017-4077-L	CITDV	Citibank, N.A.	3,150	5/25/2017	5/21/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00009-2	2017-4062-L	JPMDV	JPMORGAN CHASE BANK, N.A.	20,166	5/24/2017	5/13/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00009-3	2017-4066-L	JPMDV	JPMORGAN CHASE BANK, N.A.	18,248	5/24/2017	5/13/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00009-4	2017-4061-L	JPMDV	JPMORGAN CHASE BANK, N.A.	16,738	5/24/2017	5/13/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00009-5	2017-4065-L	JPMDV	JPMORGAN CHASE BANK, N.A.	15,411	5/24/2017	5/13/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00009-6	2017-4058-L	CITDV	Citibank, N.A.	8,460	5/24/2017	5/19/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00010-5	2017-4078-L	CITDV	Citibank, N.A.	2,878	5/25/2017	5/20/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00010-6	2017-4079-L	CITDV	Citibank, N.A.	2,642	5/25/2017	5/19/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00009-6	2017-4064-L	JPMDV	JPMORGAN CHASE BANK, N.A.	14,240	5/24/2017	5/12/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00010-7	2017-4080-L	CITDV	Citibank, N.A.	14,786	5/25/2017	5/21/2024	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00009-7	2017-4060-L	JPMDV	JPMORGAN CHASE BANK, N.A.	88,662	5/24/2017	5/13/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00011-2	2017-4130-L	CITDV	Citibank, N.A.	3,647	5/31/2017	5/28/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00011-3	2017-4131-L	CITDV	Citibank, N.A.	3,292	5/31/2017	5/28/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00011-4	2017-4132-L	CITDV	Citibank, N.A.	3,006	5/31/2017	5/28/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00011-7	2017-4135-L	CITDV	Citibank, N.A.	14,274	5/31/2017	5/28/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00011-5	2017-4133-L	CITDV	Citibank, N.A.	2,762	5/31/2017	5/27/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00011-6	2017-4134-L	CITDV	Citibank, N.A.	2,546	5/31/2017	5/26/2023	GA
Cliquet	MCI	100M	100M02221	2017-4148-L	BOADV	Bank of America, N.A.	78,843	6/1/2017	5/30/2018	GA
Asian	Spread 1	100S	100S03425	2017-4144-L	GSIDV	Goldman Sachs International	41,561	6/1/2017	5/29/2018	GA
Digital	Trigger	10PT	10PT00775	2017-4146-L	GSIDV	Goldman Sachs International	22,642	6/1/2017	5/30/2018	GA
Call Spread	Secure	100C	100C03538	2017-4142-L	GSIDV	Goldman Sachs International	357,019	6/1/2017	5/31/2018	GA
Call Spread	Secure	100C	100C03539	2017-4151-L	NATDV	NATIXIS SA	500,505	6/2/2017	6/1/2018	GA
Cliquet	MCI	100M	100M02222	2017-4156-L	GSIDV	Goldman Sachs International	98,108	6/2/2017	5/31/2018	GA
Asian	Spread 1	100S	100S03426	2017-4153-L	NATDV	NATIXIS SA	85,340	6/2/2017	6/2/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00216	2017-4147-L	DBDV	Deutsche Bank AG	25,421	6/1/2017	5/29/2018	GA
Asian	Spread 9	900S	900S00308	2017-4155-L	NATDV	NATIXIS SA	5,519	6/2/2017	1/28/2023	GA
Asian	Spread 1	100S	100S03427	2017-4167-L	GSIDV	Goldman Sachs International	39,208	6/5/2017	6/1/2018	GA
Basket	Envoy Cap	10EC	10EC02177	2017-4165-L	BARDV	Barclays Bank, PLC	29,668	6/5/2017	6/1/2018	GA
Digital	Trigger	10PT	10PT00776	2017-4164-L	NATDV	NATIXIS SA	51,461	6/5/2017	6/2/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01052	2017-3512-S	GSIDV	Goldman Sachs International	28,000	6/2/2017	6/1/2018	GA
Call Spread	Secure	100C	100C03541	2017-4170-L	GSIDV	Goldman Sachs International	863,400	6/6/2017	6/4/2018	GA
Call Spread	Secure	100C	100C03540	2017-4168-L	GSIDV	Goldman Sachs International	354,189	6/5/2017	6/1/2018	GA
Cliquet	MCI	100M	100M02223	2017-4163-L	GSIDV	Goldman Sachs International	74,366	6/5/2017	6/1/2018	GA
Cliquet	MCI	100M	100M02224	2017-4181-L	GSIDV	Goldman Sachs International	171,765	6/6/2017	6/4/2018	GA
Call	Secure Par	100P	100P00767	2017-4172-L	GSIDV	Goldman Sachs International	56,477	6/6/2017	6/1/2018	GA
Asian	Spread 1	100S	100S03428	2017-4173-L	GSIDV	Goldman Sachs International	103,651	6/6/2017	6/4/2018	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
Basket	Envoy Cap	10EC	10EC02178	2017-4186-L	GSIDV	Goldman Sachs International	59,303	6/6/2017	6/4/2018	GA
Digital	Trigger	10PT	10PT00777	2017-4176-L	GSIDV	Goldman Sachs International	53,993	6/6/2017	6/2/2018	GA
Asian Call Spread	Regency	110R	110R01086	2017-4174-L	GSIDV	Goldman Sachs International	37,452	6/6/2017	5/31/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00217	2017-4162-L	DBDV	Deutsche Bank AG	16,818	6/5/2017	5/29/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00012-1	2017-4178-L	CITDV	Citibank, N.A.	6,397	6/6/2017	6/1/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00012-3	2017-4180-L	CITDV	Citibank, N.A.	4,990	6/6/2017	6/1/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00012-4	2017-4194-L	CITDV	Citibank, N.A.	4,550	6/6/2017	6/1/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00012-5	2017-4183-L	CITDV	Citibank, N.A.	4,175	6/6/2017	6/1/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00012-6	2017-4184-L	CITDV	Citibank, N.A.	3,845	6/6/2017	6/1/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00010-1	2017-4187-L	JPMDV	JPMORGAN CHASE BANK, N.A.	14,852	6/6/2017	5/29/2018	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00010-2	2017-4195-L	JPMDV	JPMORGAN CHASE BANK, N.A.	13,096	6/6/2017	5/29/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00010-3	2017-4193-L	JPMDV	JPMORGAN CHASE BANK, N.A.	11,932	6/6/2017	5/29/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00012-2	2017-4179-L	CITDV	Citibank, N.A.	5,550	6/6/2017	5/31/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00010-4	2017-4189-L	JPMDV	JPMORGAN CHASE BANK, N.A.	10,935	6/6/2017	5/28/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00010-5	2017-4190-L	JPMDV	JPMORGAN CHASE BANK, N.A.	10,115	6/6/2017	5/27/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00010-6	2017-4191-L	JPMDV	JPMORGAN CHASE BANK, N.A.	9,372	6/6/2017	5/26/2023	GA
Swaption	Interest Rate Benchmark	10RC	10RC01053	2017-3530-S	GSIDV	Goldman Sachs International	19,000	6/5/2017	6/1/2018	GA
Call Spread	Secure	100C	100C03542	2017-4197-L	GSIDV	Goldman Sachs International	359,228	6/7/2017	6/7/2018	GA
Cliquet	MCI	100M	100M02225	2017-4200-L	MSIDV	Morgan Stanley & Co International, PLC	76,334	6/7/2017	6/1/2018	GA
Asian	Spread 1	100S	100S03429	2017-4199-L	GSIDV	Goldman Sachs International	37,789	6/7/2017	6/5/2018	GA
Digital	Trigger	10PT	10PT00778	2017-4196-L	GSIDV	Goldman Sachs International	45,959	6/7/2017	6/2/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00218	2017-4177-L	DBDV	Deutsche Bank AG	17,301	6/6/2017	6/4/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00012-7	2017-4185-L	CITDV	Citibank, N.A.	21,547	6/6/2017	5/31/2024	GA
Swaption	Interest Rate Benchmark	10RC	10RC01054	2017-3531-S	NATDV	NATIXIS SA	37,650	6/6/2017	6/1/2018	GA
Cliquet	MCI	100M	100M02226	2017-4204-L	GSIDV	Goldman Sachs International	51,460	6/8/2017	6/6/2018	GA
Asian	Spread 1	100S	100S03430	2017-4203-L	GSIDV	Goldman Sachs International	19,392	6/8/2017	6/4/2018	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00010-7	2017-4192-L	JPMDV	JPMORGAN CHASE BANK, N.A.	57,803	6/6/2017	5/29/2024	GA
Swaption	Interest Rate Benchmark	10RC	10RC01055	2017-3534-S	NATDV	NATIXIS SA	25,950	6/7/2017	6/7/2018	GA
Call Spread	Secure	100C	100C03543	2017-4201-L	GSIDV	Goldman Sachs International	251,873	6/8/2017	6/8/2018	GA
Call Spread	Secure	100C	100C03544	2017-4212-L	GSIDV	Goldman Sachs International	417,891	6/9/2017	6/8/2018	GA
Cliquet	MCI	100M	100M02227	2017-4218-L	GSIDV	Goldman Sachs International	54,225	6/9/2017	6/8/2018	GA
Asian	Spread 1	100S	100S03431	2017-4214-L	GSIDV	Goldman Sachs International	42,047	6/9/2017	6/8/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01056	2017-3540-S	GSIDV	Goldman Sachs International	19,000	6/8/2017	6/7/2018	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
Call Spread	Secure	100C	100C03545	2017-4244-L	HSBDV	HSBC Bank USA, National Association	310,748	6/12/2017	6/8/2018	GA
Cliquet	MCI	100M	100M02228	2017-4253-L	UBSDV	UBS AG	79,419	6/12/2017	6/8/2018	GA
Asian	Spread 1	100S	100S03432	2017-4247-L	HSBDV	HSBC Bank USA, National Association	32,674	6/12/2017	6/8/2018	GA
Digital	Trigger	10PT	10PT00779	2017-4245-L	GSIDV	Goldman Sachs International	32,460	6/12/2017	6/8/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00013-1	2017-4249-L	CITDV	Citibank, N.A.	3,931	6/12/2017	6/1/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00013-2	2017-4251-L	CITDV	Citibank, N.A.	3,441	6/12/2017	5/31/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00013-3	2017-4252-L	CITDV	Citibank, N.A.	3,106	6/12/2017	6/2/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00013-5	2017-4256-L	CITDV	Citibank, N.A.	2,609	6/12/2017	6/2/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00013-6	2017-4257-L	CITDV	Citibank, N.A.	2,406	6/12/2017	6/2/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00013-7	2017-4255-L	CITDV	Citibank, N.A.	13,475	6/12/2017	5/31/2024	GA
Basket	Envoy Cap	10EC	10EC02180	2017-4248-L	NATDV	NATIXIS SA	21,231	6/12/2017	6/8/2018	GA
Basket	Envoy Cap	10EC	10EC02181	2017-4263-L	CITDV	Citibank, N.A.	26,681	6/13/2017	6/11/2018	GA
Call Spread	Secure	100C	100C03546	2017-4259-L	BARDV	Barclays Bank, PLC	916,858	6/13/2017	6/12/2018	GA
Cliquet	MCI	100M	100M02229	2017-4265-L	MSIDV	Morgan Stanley & Co International, PLC	201,997	6/13/2017	6/11/2018	GA
Asian	Spread 1	100S	100S03433	2017-4261-L	BARDV	Barclays Bank, PLC	68,173	6/13/2017	6/10/2018	GA
Digital	Trigger	10PT	10PT00780	2017-4262-L	HSBDV	HSBC Bank USA, National Association	36,585	6/13/2017	6/11/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00219	2017-4215-L	DBDV	Deutsche Bank AG	17,993	6/9/2017	6/8/2018	GA
Call Spread	Secure	100C	100C03547	2017-4266-L	HSBDV	HSBC Bank USA, National Association	317,406	6/14/2017	6/11/2018	GA
Cliquet	MCI	100M	100M02230	2017-4280-L	GSIDV	Goldman Sachs International	86,329	6/14/2017	6/12/2018	GA
Call	Secure Par	100P	100P00768	2017-4268-L	HSBDV	HSBC Bank USA, National Association	55,568	6/14/2017	6/8/2018	GA
Asian	Spread 1	100S	100S03434	2017-4269-L	HSBDV	HSBC Bank USA, National Association	28,759	6/14/2017	6/12/2018	GA
Digital	Trigger	10PT	10PT00781	2017-4270-L	CSBDV	Credit Suisse International	20,850	6/14/2017	6/13/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00220	2017-4258-L	DBDV	Deutsche Bank AG	28,574	6/13/2017	6/7/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00013-4	2017-4254-L	CITDV	Citibank, N.A.	2,838	6/12/2017	6/2/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00014-2	2017-4272-L	CITDV	Citibank, N.A.	3,463	6/14/2017	6/10/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00014-3	2017-4273-L	CITDV	Citibank, N.A.	3,128	6/14/2017	6/10/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00014-4	2017-4274-L	CITDV	Citibank, N.A.	2,860	6/14/2017	6/10/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00014-5	2017-4276-L	CITDV	Citibank, N.A.	2,630	6/14/2017	6/10/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00014-7	2017-4278-L	CITDV	Citibank, N.A.	13,603	6/14/2017	6/10/2024	GA
Swaption	Interest Rate Benchmark	10RC	10RC01057	2017-3554-S	BNPDV	BNP Paribas	71,000	6/13/2017	6/21/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00014-1	2017-4271-L	CITDV	Citibank, N.A.	3,957	6/14/2017	6/8/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00014-6	2017-4277-L	CITDV	Citibank, N.A.	2,426	6/14/2017	6/9/2023	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
Call Spread	Secure	100C	100C03548	2017-4281-L	HSBDV	HSBC Bank USA, National Association	272,907	6/15/2017	6/13/2018	GA
Cliquet	MCI	100M	100M02231	2017-4285-L	GSIDV	Goldman Sachs International	80,830	6/15/2017	6/13/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01058	2017-3555-S	BNPDV	BNP Paribas	18,000	6/14/2017	6/12/2018	GA
Call Spread	Secure	100C	100C03549	2017-4289-L	HSBDV	HSBC Bank USA, National Association	355,046	6/16/2017	6/15/2018	GA
Cliquet	MCI	100M	100M02232	2017-4299-L	GSIDV	Goldman Sachs International	66,987	6/16/2017	6/15/2018	GA
Asian	Spread 1	100S	100S03436	2017-4288-L	HSBDV	HSBC Bank USA, National Association	68,969	6/16/2017	6/14/2018	GA
Digital	Trigger	10PT	10PT00782	2017-4291-L	GSIDV	Goldman Sachs International	25,611	6/16/2017	6/15/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00221	2017-4284-L	DBDV	Deutsche Bank AG	14,984	6/15/2017	6/11/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00015-1	2017-4302-L	CITDV	Citibank, N.A.	7,351	6/16/2017	6/14/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00015-2	2017-4303-L	CITDV	Citibank, N.A.	6,493	6/16/2017	6/14/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00015-4	2017-4305-L	CITDV	Citibank, N.A.	5,396	6/16/2017	6/14/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00015-5	2017-4306-L	CITDV	Citibank, N.A.	4,970	6/16/2017	6/14/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00015-6	2017-4308-L	CITDV	Citibank, N.A.	4,592	6/16/2017	6/14/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00015-7	2017-4309-L	CITDV	Citibank, N.A.	25,757	6/16/2017	6/14/2024	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00011-1	2017-4292-L	JPMDV	JPMORGAN CHASE BANK, N.A.	14,046	6/16/2017	6/5/2018	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00011-3	2017-4294-L	JPMDV	JPMORGAN CHASE BANK, N.A.	11,339	6/16/2017	6/5/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00011-6	2017-4297-L	JPMDV	JPMORGAN CHASE BANK, N.A.	8,831	6/16/2017	6/5/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00011-7	2017-4298-L	JPMDV	JPMORGAN CHASE BANK, N.A.	55,327	6/16/2017	6/5/2024	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00011-4	2017-4295-L	JPMDV	JPMORGAN CHASE BANK, N.A.	10,426	6/16/2017	6/4/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00011-5	2017-4296-L	JPMDV	JPMORGAN CHASE BANK, N.A.	9,656	6/16/2017	6/3/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00015-3	2017-4304-L	CITDV	Citibank, N.A.	5,891	6/16/2017	6/12/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00011-2	2017-4293-L	JPMDV	JPMORGAN CHASE BANK, N.A.	12,458	6/16/2017	6/5/2019	GA
Call Spread	Secure	100C	100C03550	2017-4316-L	HSBDV	HSBC Bank USA, National Association	358,218	6/19/2017	6/15/2018	GA
Cliquet	MCI	100M	100M02233	2017-4322-L	UBSDV	UBS AG	84,743	6/19/2017	6/15/2018	GA
Asian	Spread 1	100S	100S03435	2017-4283-L	HSBDV	HSBC Bank USA, National Association	14,992	6/15/2017	6/12/2018	GA
Asian	Spread 1	100S	100S03437	2017-4318-L	HSBDV	HSBC Bank USA, National Association	56,563	6/19/2017	6/12/2018	GA
Digital	Trigger	10PT	10PT00783	2017-4319-L	GSIDV	Goldman Sachs International	17,421	6/19/2017	6/13/2018	GA
Basket	Envoy Cap	10EC	10EC02179	2017-4205-L	BARDV	Barclays Bank, PLC	40,856	6/8/2017	6/7/2018	GA
Basket	Envoy Cap	10EC	10EC02182	2017-4300-L	BARDV	Barclays Bank, PLC	67,333	6/16/2017	6/15/2018	GA
Call Spread	Secure	100C	100C03551	2017-4334-L	GSIDV	Goldman Sachs International	933,319	6/20/2017	6/18/2018	GA
Cliquet	MCI	100M	100M02234	2017-4355-L	BOADV	Bank of America, N.A.	171,873	6/20/2017	6/19/2018	GA
Asian	Spread 1	100S	100S03438	2017-4336-L	GSIDV	Goldman Sachs International	126,957	6/20/2017	6/18/2018	GA
Basket	Envoy Cap	10EC	10EC02183	2017-4354-L	NATDV	NATIXIS SA	39,251	6/20/2017	6/18/2018	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
Digital	Trigger	10PT	10PT00784	2017-4332-L	HSBDV	HSBC Bank USA, National Association	48,916	6/20/2017	6/18/2018	GA
Asian Call Spread	Regency	110R	110R01087	2017-4337-L	GSIDV	Goldman Sachs International	31,434	6/20/2017	6/13/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00016-1	2017-4340-L	CITDV	Citibank, N.A.	3,819	6/20/2017	6/19/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00016-2	2017-4341-L	CITDV	Citibank, N.A.	3,337	6/20/2017	6/19/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00016-3	2017-4339-L	CITDV	Citibank, N.A.	3,011	6/20/2017	6/19/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00016-6	2017-4344-L	CITDV	Citibank, N.A.	2,332	6/20/2017	6/19/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00016-7	2017-4345-L	CITDV	Citibank, N.A.	13,091	6/20/2017	6/19/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00016-4	2017-4342-L	CITDV	Citibank, N.A.	2,751	6/20/2017	6/18/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00016-5	2017-4343-L	CITDV	Citibank, N.A.	2,529	6/20/2017	6/17/2022	GA
Swaption	Interest Rate Benchmark	10RC	10RC01059	2017-3556-S	GSIDV	Goldman Sachs International	18,000	6/16/2017	6/14/2018	GA
Call Spread	Secure	100C	100C03552	2017-4358-L	WCHDV	Wells Fargo Bank, N. A.	381,380	6/21/2017	6/22/2018	GA
Cliquet	MCI	100M	100M02235	2017-4365-L	BOADV	Bank of America, N.A.	73,424	6/21/2017	6/20/2018	GA
Call	Secure Par	100P	100P00769	2017-4361-L	WCHDV	Wells Fargo Bank, N. A.	58,454	6/21/2017	6/15/2018	GA
Asian	Spread 1	100S	100S03439	2017-4360-L	WCHDV	Wells Fargo Bank, N. A.	23,733	6/21/2017	6/19/2018	GA
Digital	Trigger	10PT	10PT00785	2017-4362-L	GSIDV	Goldman Sachs International	22,092	6/21/2017	6/20/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00222	2017-4323-L	DBDV	Deutsche Bank AG	25,068	6/20/2017	6/13/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01060	2017-3574-S	BNPDV	BNP Paribas	67,900	6/20/2017	6/20/2018	GA
Call Spread	Secure	100C	100C03553	2017-4366-L	NATDV	NATIXIS SA	289,134	6/22/2017	6/20/2018	GA
Cliquet	MCI	100M	100M02236	2017-4376-L	UBSDV	UBS AG	55,905	6/22/2017	6/19/2018	GA
Asian	Spread 1	100S	100S03440	2017-4371-L	NATDV	NATIXIS SA	24,982	6/22/2017	6/20/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00223	2017-4357-L	DBDV	Deutsche Bank AG	14,567	6/21/2017	6/20/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00017-1	2017-4381-L	CITDV	Citibank, N.A.	8,993	6/22/2017	6/15/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00017-3	2017-4384-L	CITDV	Citibank, N.A.	7,139	6/22/2017	6/15/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00017-4	2017-4385-L	CITDV	Citibank, N.A.	6,532	6/22/2017	6/15/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00017-5	2017-4386-L	CITDV	Citibank, N.A.	6,010	6/22/2017	6/15/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00017-6	2017-4387-L	CITDV	Citibank, N.A.	5,547	6/22/2017	6/15/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00012-1	2017-4372-L	JPMDV	JPMORGAN CHASE BANK, N.A.	13,468	6/22/2017	6/14/2018	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00012-2	2017-4373-L	JPMDV	JPMORGAN CHASE BANK, N.A.	12,004	6/22/2017	6/14/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00012-4	2017-4377-L	JPMDV	JPMORGAN CHASE BANK, N.A.	10,085	6/22/2017	6/14/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00012-5	2017-4378-L	JPMDV	JPMORGAN CHASE BANK, N.A.	9,349	6/22/2017	6/14/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00012-6	2017-4379-L	JPMDV	JPMORGAN CHASE BANK, N.A.	8,657	6/22/2017	6/14/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00012-7	2017-4382-L	JPMDV	JPMORGAN CHASE BANK, N.A.	53,544	6/22/2017	6/14/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00017-2	2017-4383-L	CITDV	Citibank, N.A.	7,893	6/22/2017	6/14/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00017-7	2017-4388-L	CITDV	Citibank, N.A.	31,074	6/22/2017	6/14/2024	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00012-3	2017-4374-L	JPMDV	JPMORGAN CHASE BANK, N.A.	10,957	6/22/2017	6/12/2020	GA
Swaption	Interest Rate Benchmark	10RC	10RC01061	2017-3580-S	GSIDV	Goldman Sachs International	15,600	6/21/2017	6/19/2018	GA
Call Spread	Secure	100C	100C03554	2017-4390-L	WCHDV	Wells Fargo Bank, N. A.	383,381	6/23/2017	6/22/2018	GA
Cliquet	MCI	100M	100M02237	2017-4394-L	UBSDV	UBS AG	62,498	6/23/2017	6/22/2018	GA
Asian	Spread 1	100S	100S03441	2017-4392-L	WCHDV	Wells Fargo Bank, N. A.	80,421	6/23/2017	6/21/2018	GA
Basket	Envoy Cap	10EC	10EC02184	2017-4395-L	NATDV	NATIXIS SA	32,712	6/23/2017	6/27/2018	GA
Digital	Trigger	10PT	10PT00786	2017-4393-L	GSIDV	Goldman Sachs International	33,259	6/23/2017	6/19/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01062	2017-3581-S	BNPDV	BNP Paribas	18,800	6/22/2017	6/21/2018	GA
Cliquet	MCI	100M	100M02238	2017-4410-L	UBSDV	UBS AG	76,826	6/26/2017	6/23/2018	GA
Asian	Spread 1	100S	100S03442	2017-4397-L	HSBDV	HSBC Bank USA, National Association	26,975	6/26/2017	6/22/2018	GA
Basket	Envoy Cap	10EC	10EC02185	2017-4404-L	CITDV	Citibank, N.A.	28,268	6/26/2017	6/13/2018	GA
Digital	Trigger	10PT	10PT00787	2017-4398-L	CSBDV	Credit Suisse International	22,300	6/26/2017	6/25/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00224	2017-4389-L	DBDV	Deutsche Bank AG	21,907	6/23/2017	6/20/2018	GA
Call Spread	Secure	100C	100C03555	2017-4400-L	HSBDV	HSBC Bank USA, National Association	415,027	6/26/2017	6/22/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00018-1	2017-4402-L	CITDV	Citibank, N.A.	7,406	6/26/2017	6/22/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00018-3	2017-4405-L	CITDV	Citibank, N.A.	5,834	6/26/2017	6/22/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00018-4	2017-4406-L	CITDV	Citibank, N.A.	5,328	6/26/2017	6/22/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00018-5	2017-4407-L	CITDV	Citibank, N.A.	4,895	6/26/2017	6/22/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00018-6	2017-4408-L	CITDV	Citibank, N.A.	4,514	6/26/2017	6/22/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00018-2	2017-4403-L	CITDV	Citibank, N.A.	6,469	6/26/2017	6/21/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00018-7	2017-4409-L	CITDV	Citibank, N.A.	25,327	6/26/2017	6/21/2024	GA
Call Spread	Secure	100C	100C03556	2017-4418-L	HSBDV	HSBC Bank USA, National Association	944,416	6/27/2017	6/22/2018	GA
Asian	Spread 1	100S	100S03443	2017-4421-L	HSBDV	HSBC Bank USA, National Association	68,064	6/27/2017	6/25/2018	GA
Call	Secure Par	100P	100P00770	2017-4420-L	HSBDV	HSBC Bank USA, National Association	57,753	6/27/2017	6/22/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01064	2017-3604-S	NATDV	NATIXIS SA	79,750	6/27/2017	6/25/2018	GA
Digital	Trigger	10PT	10PT00788	2017-4426-L	HSBDV	HSBC Bank USA, National Association	53,113	6/27/2017	6/24/2018	GA
Cliquet	MCI	100M	100M02239	2017-4439-L	GSIDV	Goldman Sachs International	201,109	6/27/2017	6/24/2018	GA
Basket	Envoy Cap	10EC	10EC02186	2017-4432-L	BARDV	Barclays Bank, PLC	63,201	6/27/2017	6/22/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00019-1	2017-4427-L	CITDV	Citibank, N.A.	8,813	6/27/2017	6/22/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00019-2	2017-4428-L	CITDV	Citibank, N.A.	7,758	6/27/2017	6/24/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00019-3	2017-4429-L	CITDV	Citibank, N.A.	7,026	6/27/2017	6/24/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00019-4	2017-4430-L	CITDV	Citibank, N.A.	6,430	6/27/2017	6/24/2021	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
JRNY-CITI	Citi Vol Control	CITI	CITI00019-5	2017-4431-L	CITDV	Citibank, N.A.	5,915	6/27/2017	6/24/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00019-7	2017-4437-L	CITDV	Citibank, N.A.	30,613	6/27/2017	6/24/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00019-6	2017-4433-L	CITDV	Citibank, N.A.	5,459	6/27/2017	6/23/2023	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00225	2017-4422-L	DBDV	Deutsche Bank AG	37,580	6/27/2017	6/23/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01063	2017-3599-S	GSIDV	Goldman Sachs International	14,000	6/26/2017	6/22/2018	GA
Call Spread	Secure	100C	100C03557	2017-4444-L	WCHDV	Wells Fargo Bank, N. A.	353,746	6/28/2017	6/27/2018	GA
Asian	Spread 1	100S	100S03444	2017-4442-L	WCHDV	Wells Fargo Bank, N. A.	25,276	6/28/2017	6/27/2018	GA
Digital	Trigger	10PT	10PT00789	2017-4443-L	HSBDV	HSBC Bank USA, National Association	37,795	6/28/2017	6/25/2018	GA
Cliquet	MCI	100M	100M02240	2017-4446-L	GSIDV	Goldman Sachs International	64,934	6/28/2017	6/27/2018	GA
Call Spread	Secure	100C	100C03558	2017-4459-L	HSBDV	HSBC Bank USA, National Association	238,841	6/29/2017	7/3/2018	GA
Asian	Spread 1	100S	100S03445	2017-4468-L	HSBDV	HSBC Bank USA, National Association	31,622	6/29/2017	6/29/2018	GA
Cliquet	MCI	100M	100M02241	2017-4469-L	BOADV	Bank of America, N.A.	47,397	6/29/2017	6/24/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00226	2017-4441-L	DBDV	Deutsche Bank AG	13,172	6/28/2017	6/27/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01065	2017-3605-S	GSIDV	Goldman Sachs International	21,000	6/28/2017	6/26/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00020-3	2017-4453-L	CITDV	Citibank, N.A.	4,176	6/29/2017	6/23/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00020-4	2017-4454-L	CITDV	Citibank, N.A.	3,847	6/29/2017	6/23/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00020-5	2017-4455-L	CITDV	Citibank, N.A.	3,555	6/29/2017	6/23/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00020-6	2017-4456-L	CITDV	Citibank, N.A.	3,290	6/29/2017	6/23/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00020-1	2017-4451-L	CITDV	Citibank, N.A.	5,052	6/29/2017	6/22/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00020-2	2017-4452-L	CITDV	Citibank, N.A.	4,561	6/29/2017	6/21/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00013-3	2017-4463-L	JPMDV	JPMORGAN CHASE BANK, N.A.	10,709	6/29/2017	6/23/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00013-4	2017-4464-L	JPMDV	JPMORGAN CHASE BANK, N.A.	9,882	6/29/2017	6/23/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00013-5	2017-4465-L	JPMDV	JPMORGAN CHASE BANK, N.A.	9,171	6/29/2017	6/23/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00013-6	2017-4466-L	JPMDV	JPMORGAN CHASE BANK, N.A.	8,501	6/29/2017	6/23/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00013-1	2017-4460-L	JPMDV	JPMORGAN CHASE BANK, N.A.	12,946	6/29/2017	6/22/2018	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00013-2	2017-4462-L	JPMDV	JPMORGAN CHASE BANK, N.A.	11,684	6/29/2017	6/21/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00013-7	2017-4467-L	JPMDV	JPMORGAN CHASE BANK, N.A.	52,018	6/29/2017	6/21/2024	GA
Call Spread	Secure	100C	100C03559	2017-4472-L	CITDV	Citibank, N.A.	325,815	6/30/2017	6/29/2018	GA
Asian	Spread 1	100S	100S03446	2017-4474-L	CITDV	Citibank, N.A.	53,767	6/30/2017	6/29/2018	GA
Digital	Trigger	10PT	10PT00790	2017-4482-L	CSBDV	Credit Suisse International	27,314	6/30/2017	6/28/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01066	2017-3611-S	BNPDV	BNP Paribas	34,800	6/29/2017	6/27/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00020-7	2017-4457-L	CITDV	Citibank, N.A.	18,450	6/29/2017	6/21/2024	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00227	2017-4458-L	DBDV	Deutsche Bank AG	11,346	6/29/2017	6/30/2018	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
Cliquet	MCI	100M	100M02242	2017-4477-L	MSIDV	Morgan Stanley & Co International, PLC	60,040	6/30/2017	6/28/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01067	2017-3612-S	GSIDV	Goldman Sachs International	17,000	6/30/2017	6/27/2018	GA
Basket	Envoy Cap	10EC	10EC02187	2017-4478-L	BARDV	Barclays Bank, PLC	34,726	6/30/2017	6/28/2018	GA
Call Spread	Secure	100C	100C03560	2017-4486-L	HSBDV	HSBC Bank USA, National Association	1,164,122	7/5/2017	6/29/2018	GA
Asian	Spread 1	100S	100S03447	2017-4488-L	HSBDV	HSBC Bank USA, National Association	144,470	7/5/2017	6/30/2018	GA
Asian Call Spread	Regency	110R	110R01088	2017-4489-L	HSBDV	HSBC Bank USA, National Association	32,175	7/5/2017	6/27/2018	GA
Cliquet	MCI	100M	100M02243	2017-4502-L	MSIDV	Morgan Stanley & Co International, PLC	241,300	7/5/2017	7/1/2018	GA
Basket	Envoy Cap	10EC	10EC02188	2017-4499-L	GSIDV	Goldman Sachs International	55,293	7/5/2017	7/2/2018	GA
Digital	Trigger	10PT	10PT00791	2017-4491-L	NATDV	NATIXIS SA	121,549	7/5/2017	7/1/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00021-1	2017-4492-L	CITDV	Citibank, N.A.	4,818	7/5/2017	6/29/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00021-3	2017-4494-L	CITDV	Citibank, N.A.	3,828	7/5/2017	6/29/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00021-4	2017-4495-L	CITDV	Citibank, N.A.	3,497	7/5/2017	6/29/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00021-5	2017-4496-L	CITDV	Citibank, N.A.	3,212	7/5/2017	6/29/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00021-6	2017-4497-L	CITDV	Citibank, N.A.	2,959	7/5/2017	6/29/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00021-2	2017-4493-L	CITDV	Citibank, N.A.	4,235	7/5/2017	6/28/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00021-7	2017-4498-L	CITDV	Citibank, N.A.	16,602	7/5/2017	6/28/2024	GA
Call Spread	Secure	100C	100C03561	2017-4523-L	HSBDV	HSBC Bank USA, National Association	340,951	7/6/2017	7/6/2018	GA
Asian	Spread 1	100S	100S03448	2017-4526-L	HSBDV	HSBC Bank USA, National Association	23,555	7/6/2017	7/5/2018	GA
Call	Secure Par	100P	100P00771	2017-4525-L	HSBDV	HSBC Bank USA, National Association	56,465	7/6/2017	7/5/2018	GA
Digital	Trigger	10PT	10PT00792	2017-4528-L	CSBDV	Credit Suisse International	35,423	7/6/2017	7/6/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00228	2017-4485-L	DBDV	Deutsche Bank AG	38,311	7/5/2017	6/28/2018	GA
Cliquet	MCI	100M	100M02244	2017-4527-L	UBSDV	UBS AG	82,293	7/6/2017	7/3/2018	GA
Call Spread	Secure	100C	100C03562	2017-4544-L	RBCDV	Royal Bank of Canada	403,416	7/7/2017	7/5/2018	GA
Asian	Spread 1	100S	100S03449	2017-4548-L	RBCDV	Royal Bank of Canada	39,376	7/7/2017	7/5/2018	GA
Basket	Envoy Cap	10EC	10EC02189	2017-4551-L	BARDV	Barclays Bank, PLC	21,532	7/7/2017	7/5/2018	GA
Cliquet	MCI	100M	100M02245	2017-4550-L	GSIDV	Goldman Sachs International	60,673	7/7/2017	7/5/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01069	2017-3632-S	BNPDV	BNP Paribas	35,000	7/6/2017	7/3/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00022-1	2017-4539-L	CITDV	Citibank, N.A.	6,186	7/7/2017	7/5/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00022-2	2017-4540-L	CITDV	Citibank, N.A.	5,495	7/7/2017	7/5/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00022-5	2017-4543-L	CITDV	Citibank, N.A.	4,205	7/7/2017	7/5/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00022-6	2017-4545-L	CITDV	Citibank, N.A.	3,879	7/7/2017	7/5/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00022-7	2017-4546-L	CITDV	Citibank, N.A.	21,776	7/7/2017	7/5/2024	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
JRNY-CITI	Citi Vol Control	CITI	CITI00022-3	2017-4541-L	CITDV	Citibank, N.A.	4,993	7/7/2017	7/2/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00022-4	2017-4542-L	CITDV	Citibank, N.A.	4,573	7/7/2017	7/2/2021	GA
Call Spread	Secure	100C	100C03563	2017-4557-L	RBCDV	Royal Bank of Canada	325,057	7/10/2017	7/6/2018	GA
Asian	Spread 1	100S	100S03450	2017-4559-L	RBCDV	Royal Bank of Canada	63,623	7/10/2017	7/5/2018	GA
Cliquet	MCI	100M	100M02246	2017-4560-L	GSIDV	Goldman Sachs International	65,671	7/10/2017	7/7/2018	GA
Digital	Trigger	10PT	10PT00793	2017-4555-L	HSBDV	HSBC Bank USA, National Association	28,331	7/10/2017	7/3/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00229	2017-4549-L	DBDV	Deutsche Bank AG	23,066	7/7/2017	7/3/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01068	2017-3631-S	BNPDV	BNP Paribas	92,500	7/5/2017	6/29/2018	GA
Asian	Spread 1	100S	100S03451	2017-4569-L	CITDV	Citibank, N.A.	97,095	7/11/2017	7/9/2018	GA
Cliquet	MCI	100M	100M02247	2017-4566-L	UBSDV	UBS AG	185,548	7/11/2017	7/9/2018	GA
Basket	Envoy Cap	10EC	10EC02190	2017-4585-L	GSIDV	Goldman Sachs International	60,778	7/11/2017	7/9/2018	GA
Digital	Trigger	10PT	10PT00794	2017-4565-L	NATDV	NATIXIS SA	63,583	7/11/2017	7/9/2018	GA
Call Spread	Secure	100C	100C03564	2017-4567-L	CITDV	Citibank, N.A.	680,023	7/11/2017	7/9/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00230	2017-4572-L	DBDV	Deutsche Bank AG	36,630	7/11/2017	7/5/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00023-2	2017-4578-L	CITDV	Citibank, N.A.	5,476	7/11/2017	7/8/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00023-3	2017-4580-L	CITDV	Citibank, N.A.	4,937	7/11/2017	7/8/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00023-4	2017-4581-L	CITDV	Citibank, N.A.	4,503	7/11/2017	7/8/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00023-5	2017-4582-L	CITDV	Citibank, N.A.	4,130	7/11/2017	7/8/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00023-1	2017-4575-L	CITDV	Citibank, N.A.	6,271	7/11/2017	7/6/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00023-6	2017-4583-L	CITDV	Citibank, N.A.	3,802	7/11/2017	7/7/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00014-1	2017-4568-L	JPMDV	JPMORGAN CHASE BANK, N.A.	13,026	7/11/2017	7/3/2018	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00014-2	2017-4571-L	JPMDV	JPMORGAN CHASE BANK, N.A.	11,795	7/11/2017	7/3/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00014-3	2017-4573-L	JPMDV	JPMORGAN CHASE BANK, N.A.	10,824	7/11/2017	7/2/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00014-4	2017-4574-L	JPMDV	JPMORGAN CHASE BANK, N.A.	9,963	7/11/2017	7/2/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00014-5	2017-4576-L	JPMDV	JPMORGAN CHASE BANK, N.A.	9,214	7/11/2017	7/1/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00014-6	2017-4577-L	JPMDV	JPMORGAN CHASE BANK, N.A.	8,531	7/11/2017	7/3/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00014-7	2017-4579-L	JPMDV	JPMORGAN CHASE BANK, N.A.	51,093	7/11/2017	7/3/2024	GA
Asian	Spread 1	100S	100S03452	2017-4591-L	WCHDV	Wells Fargo Bank, N. A.	21,035	7/12/2017	7/11/2018	GA
Call	Secure Par	100P	100P00772	2017-4589-L	WCHDV	Wells Fargo Bank, N. A.	67,327	7/12/2017	7/6/2018	GA
Cliquet	MCI	100M	100M02248	2017-4592-L	GSIDV	Goldman Sachs International	79,968	7/12/2017	7/11/2018	GA
Digital	Trigger	10PT	10PT00795	2017-4590-L	HSBDV	HSBC Bank USA, National Association	29,145	7/12/2017	7/9/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01072	2017-3649-S	GSIDV	Goldman Sachs International	23,000	7/12/2017	7/10/2018	GA
Call Spread	Secure	100C	100C03566	2017-4596-L	WCHDV	Wells Fargo Bank, N. A.	354,204	7/13/2017	7/12/2018	GA
Asian	Spread 1	100S	100S03453	2017-4598-L	WCHDV	Wells Fargo Bank, N. A.	19,176	7/13/2017	7/8/2018	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
Digital	Trigger	10PT	10PT00796	2017-4595-L	HSBDV	HSBC Bank USA, National Association	23,151	7/13/2017	7/13/2018	GA
Cliquet	MCI	100M	100M02249	2017-4600-L	GSIDV	Goldman Sachs International	59,397	7/13/2017	7/12/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00231	2017-4599-L	DBDV	Deutsche Bank AG	18,090	7/13/2017	7/11/2018	GA
Call Spread	Secure	100C	100C03567	2017-4704-L	HSBDV	HSBC Bank USA, National Association	326,767	7/14/2017	7/12/2018	GA
Asian	Spread 1	100S	100S03454	2017-4717-L	HSBDV	HSBC Bank USA, National Association	89,479	7/14/2017	7/12/2018	GA
Digital	Trigger	10PT	10PT00797	2017-4727-L	NATDV	NATIXIS SA	41,705	7/14/2017	7/11/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01073	2017-3650-S	GSIDV	Goldman Sachs International	18,700	7/14/2017	7/11/2018	GA
Cliquet	MCI	100M	100M02250	2017-4729-L	DBDV	Deutsche Bank AG	65,684	7/14/2017	7/12/2018	GA
Call Spread	Secure	100C	100C03568	2017-4730-L	HSBDV	HSBC Bank USA, National Association	406,414	7/17/2017	7/13/2018	GA
Asian	Spread 1	100S	100S03455	2017-4733-L	HSBDV	HSBC Bank USA, National Association	56,431	7/17/2017	7/12/2018	GA
Digital	Trigger	10PT	10PT00798	2017-4732-L	CSBDV	Credit Suisse International	38,477	7/17/2017	7/14/2018	GA
Basket	Envoy Cap	10EC	10EC02191	2017-4736-L	BARDV	Barclays Bank, PLC	39,265	7/17/2017	7/18/2018	GA
Cliquet	MCI	100M	100M02251	2017-4738-L	GSIDV	Goldman Sachs International	48,878	7/17/2017	7/18/2018	GA
Call Spread	Secure	100C	100C03565	2017-4587-L	WCHDV	Wells Fargo Bank, N. A.	322,514	7/12/2017	7/11/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01070	2017-3646-S	BNPDV	BNP Paribas	17,600	7/10/2017	7/6/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01071	2017-3648-S	GSIDV	Goldman Sachs International	72,000	7/11/2017	7/6/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00023-7	2017-4584-L	CITDV	Citibank, N.A.	21,348	7/11/2017	7/8/2024	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00232	2017-4734-L	DBDV	Deutsche Bank AG	16,000	7/17/2017	7/10/2018	GA
Call Spread	Secure	100C	100C03569	2017-4758-L	WCHDV	Wells Fargo Bank, N. A.	1,010,702	7/18/2017	7/16/2018	GA
Asian	Spread 1	100S	100S03456	2017-4765-L	WCHDV	Wells Fargo Bank, N. A.	68,143	7/18/2017	7/18/2018	GA
Cliquet	MCI	100M	100M02252	2017-4788-L	BOADV	Bank of America, N.A.	165,239	7/18/2017	7/15/2018	GA
Basket	Envoy Cap	10EC	10EC02192	2017-4779-L	CITDV	Citibank, N.A.	31,160	7/18/2017	7/16/2018	GA
Digital	Trigger	10PT	10PT00799	2017-4754-L	CSBDV	Credit Suisse International	101,762	7/18/2017	7/16/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00024-1	2017-4740-L	CITDV	Citibank, N.A.	7,253	7/18/2017	7/13/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00024-3	2017-4742-L	CITDV	Citibank, N.A.	5,639	7/18/2017	7/13/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00024-4	2017-4743-L	CITDV	Citibank, N.A.	5,134	7/18/2017	7/13/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00024-5	2017-4745-L	CITDV	Citibank, N.A.	4,705	7/18/2017	7/13/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00024-6	2017-4746-L	CITDV	Citibank, N.A.	4,329	7/18/2017	7/13/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00024-2	2017-4741-L	CITDV	Citibank, N.A.	6,281	7/18/2017	7/12/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00024-7	2017-4749-L	CITDV	Citibank, N.A.	24,282	7/18/2017	7/12/2024	GA
Call Spread	Secure	100C	100C03570	2017-4793-L	NATDV	NATIXIS SA	352,739	7/19/2017	7/13/2018	GA
Asian	Spread 1	100S	100S03457	2017-4798-L	NATDV	NATIXIS SA	27,406	7/19/2017	7/18/2018	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
Asian Call Spread	Regency	110R	110R01089	2017-4797-L	NATDV	NATIXIS SA	35,106	7/19/2017	7/12/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01074	2017-3667-S	GSIDV	Goldman Sachs International	74,000	7/18/2017	7/13/2018	GA
Cliquet	MCI	100M	100M02253	2017-4800-L	GSIDV	Goldman Sachs International	60,255	7/19/2017	7/18/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00233	2017-4778-L	DBDV	Deutsche Bank AG	22,426	7/18/2017	7/18/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00234	2017-4795-L	DBDV	Deutsche Bank AG	16,630	7/19/2017	7/5/2018	GA
Call Spread	Secure	100C	100C03571	2017-4803-L	CITDV	Citibank, N.A.	281,642	7/20/2017	7/18/2018	GA
Asian	Spread 1	100S	100S03458	2017-4801-L	CITDV	Citibank, N.A.	27,028	7/20/2017	7/15/2018	GA
Call	Secure Par	100P	100P00773	2017-4804-L	CITDV	Citibank, N.A.	61,171	7/20/2017	7/9/2018	GA
Cliquet	MCI	100M	100M02254	2017-4808-L	DBDV	Deutsche Bank AG	43,097	7/20/2017	7/18/2018	GA
Basket	Envoy Cap	10EC	10EC02193	2017-4806-L	CITDV	Citibank, N.A.	19,936	7/20/2017	7/19/2018	GA
Digital	Trigger	10PT	10PT00800	2017-4802-L	GSIDV	Goldman Sachs International	46,722	7/20/2017	7/19/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01075	2017-3676-S	GSIDV	Goldman Sachs International	23,000	7/19/2017	7/17/2018	GA
Call Spread	Secure	100C	100C03572	2017-4810-L	CITDV	Citibank, N.A.	394,678	7/21/2017	7/20/2018	GA
Asian	Spread 1	100S	100S03459	2017-4812-L	CITDV	Citibank, N.A.	70,430	7/21/2017	7/19/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01076	2017-3677-S	BNPDV	BNP Paribas	14,500	7/20/2017	7/19/2018	GA
Cliquet	MCI	100M	100M02255	2017-4815-L	MSIDV	Morgan Stanley & Co International, PLC	96,211	7/21/2017	7/14/2018	GA
Call Spread	Secure	100C	100C03573	2017-4818-L	CITDV	Citibank, N.A.	290,564	7/24/2017	7/18/2018	GA
Asian	Spread 1	100S	100S03460	2017-4820-L	CITDV	Citibank, N.A.	29,232	7/24/2017	7/19/2018	GA
Cliquet	MCI	100M	100M02256	2017-4833-L	CITDV	Citibank, N.A.	53,332	7/24/2017	7/21/2018	GA
Basket	Envoy Cap	10EC	10EC02194	2017-4825-L	CITDV	Citibank, N.A.	30,894	7/24/2017	7/21/2018	GA
Digital	Trigger	10PT	10PT00801	2017-4814-L	NATDV	NATIXIS SA	38,726	7/21/2017	7/14/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01077	2017-3678-S	BNPDV	BNP Paribas	16,600	7/21/2017	7/20/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00235	2017-4813-L	DBDV	Deutsche Bank AG	24,895	7/21/2017	7/17/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00025-1	2017-4823-L	CITDV	Citibank, N.A.	5,512	7/24/2017	7/19/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00025-2	2017-4828-L	CITDV	Citibank, N.A.	4,848	7/24/2017	7/19/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00025-4	2017-4830-L	CITDV	Citibank, N.A.	4,014	7/24/2017	7/19/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00025-5	2017-4831-L	CITDV	Citibank, N.A.	3,691	7/24/2017	7/19/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00025-6	2017-4834-L	CITDV	Citibank, N.A.	3,404	7/24/2017	7/19/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00025-7	2017-4835-L	CITDV	Citibank, N.A.	19,084	7/24/2017	7/19/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00025-3	2017-4829-L	CITDV	Citibank, N.A.	4,389	7/24/2017	7/17/2020	GA
Call Spread	Secure	100C	100C03574	2017-4843-L	HSBDV	HSBC Bank USA, National Association	766,326	7/25/2017	7/20/2018	GA
Asian	Spread 1	100S	100S03461	2017-4845-L	HSBDV	HSBC Bank USA, National Association	64,323	7/25/2017	7/23/2018	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
Digital	Trigger	10PT	10PT00802	2017-4840-L	CSBDV	Credit Suisse International	102,970	7/25/2017	7/22/2018	GA
Cliquet	MCI	100M	100M02257	2017-4846-L	UBSDV	UBS AG	183,993	7/25/2017	7/23/2018	GA
Basket	Envoy Cap	10EC	10EC02195	2017-4841-L	NATDV	NATIXIS SA	49,113	7/25/2017	7/23/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01078	2017-3692-S	GSIDV	Goldman Sachs International	94,000	7/25/2017	7/20/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00236	2017-4839-L	DBDV	Deutsche Bank AG	28,667	7/25/2017	7/19/2018	GA
Call Spread	Secure	100C	100C03575	2017-4850-L	HSBDV	HSBC Bank USA, National Association	391,992	7/26/2017	7/25/2018	GA
Asian	Spread 1	100S	100S03462	2017-4852-L	HSBDV	HSBC Bank USA, National Association	21,262	7/26/2017	7/18/2018	GA
Digital	Trigger	10PT	10PT00803	2017-4869-L	GSIDV	Goldman Sachs International	24,014	7/26/2017	7/25/2018	GA
Cliquet	MCI	100M	100M02258	2017-4872-L	DBDV	Deutsche Bank AG	74,329	7/26/2017	7/25/2018	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00015-2	2017-4866-L	JPMDV	JPMORGAN CHASE BANK, N.A.	17,707	7/26/2017	7/19/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00015-5	2017-4870-L	JPMDV	JPMORGAN CHASE BANK, N.A.	13,528	7/26/2017	7/19/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00015-6	2017-4871-L	JPMDV	JPMORGAN CHASE BANK, N.A.	12,536	7/26/2017	7/19/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00015-7	2017-4873-L	JPMDV	JPMORGAN CHASE BANK, N.A.	76,964	7/26/2017	7/19/2024	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00015-3	2017-4867-L	JPMDV	JPMORGAN CHASE BANK, N.A.	16,072	7/26/2017	7/17/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00026-2	2017-4875-L	CITDV	Citibank, N.A.	9,988	7/26/2017	7/23/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00026-3	2017-4876-L	CITDV	Citibank, N.A.	9,023	7/26/2017	7/23/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00026-7	2017-4880-L	CITDV	Citibank, N.A.	39,127	7/26/2017	7/23/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00026-5	2017-4878-L	CITDV	Citibank, N.A.	7,571	7/26/2017	7/22/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00026-6	2017-4879-L	CITDV	Citibank, N.A.	6,974	7/26/2017	7/21/2023	GA
Asian	Spread 1	100S	100S03463	2017-4882-L	HSBDV	HSBC Bank USA, National Association	11,071	7/27/2017	7/25/2018	GA
Digital	Trigger	10PT	10PT00804	2017-4881-L	CSBDV	Credit Suisse International	23,731	7/27/2017	7/26/2018	GA
Cliquet	MCI	100M	100M02259	2017-4888-L	UBSDV	UBS AG	55,095	7/27/2017	7/26/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00237	2017-4847-L	DBDV	Deutsche Bank AG	19,557	7/26/2017	7/25/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01079	2017-3693-S	BNPDV	BNP Paribas	21,600	7/26/2017	7/24/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00026-4	2017-4877-L	CITDV	Citibank, N.A.	8,242	7/26/2017	7/23/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00015-4	2017-4868-L	JPMDV	JPMORGAN CHASE BANK, N.A.	14,727	7/26/2017	7/19/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00015-1	2017-4865-L	JPMDV	JPMORGAN CHASE BANK, N.A.	20,069	7/26/2017	7/19/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00026-1	2017-4874-L	CITDV	Citibank, N.A.	11,390	7/26/2017	7/23/2018	GA
Digital	Trigger	10PT	10PT00805	2017-4890-L	HSBDV	HSBC Bank USA, National Association	49,648	7/28/2017	7/22/2018	GA
Asian	Spread 1	100S	100S03464	2017-4895-L	HSBDV	HSBC Bank USA, National Association	55,412	7/28/2017	7/28/2018	GA
Cliquet	MCI	100M	100M02260	2017-4896-L	UBSDV	UBS AG	77,081	7/28/2017	7/27/2018	GA
Call Spread	Secure	100C	100C03576	2017-4883-L	HSBDV	HSBC Bank USA, National Association	216,214	7/27/2017	7/26/2018	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
Call Spread	Secure	100C	100C03577	2017-4893-L	HSBDV	HSBC Bank USA, National Association	397,520	7/28/2017	7/28/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00238	2017-4889-L	DBDV	Deutsche Bank AG	14,216	7/28/2017	7/26/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01080	2017-3699-S	BNPDV	BNP Paribas	32,800	7/28/2017	7/25/2018	GA
Call Spread	Secure	100C	100C03578	2017-4901-L	HSBDV	HSBC Bank USA, National Association	375,352	7/31/2017	7/27/2018	GA
Asian	Spread 1	100S	100S03465	2017-4903-L	HSBDV	HSBC Bank USA, National Association	45,783	7/31/2017	7/27/2018	GA
Call	Secure Par	100P	100P00774	2017-4904-L	HSBDV	HSBC Bank USA, National Association	50,984	7/31/2017	7/26/2018	GA
Basket	Envoy Cap	10EC	10EC02196	2017-4905-L	NATDV	NATIXIS SA	36,907	7/31/2017	7/27/2018	GA
Cliquet	MCI	100M	100M02261	2017-4914-L	GSIDV	Goldman Sachs International	97,360	7/31/2017	7/27/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00027-1	2017-4909-L	CITDV	Citibank, N.A.	4,144	7/31/2017	7/27/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00027-3	2017-4911-L	CITDV	Citibank, N.A.	3,315	7/31/2017	7/27/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00027-4	2017-4912-L	CITDV	Citibank, N.A.	3,035	7/31/2017	7/27/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00027-5	2017-4913-L	CITDV	Citibank, N.A.	2,792	7/31/2017	7/27/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00027-6	2017-4915-L	CITDV	Citibank, N.A.	2,575	7/31/2017	7/27/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00027-2	2017-4910-L	CITDV	Citibank, N.A.	3,658	7/31/2017	7/26/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00027-7	2017-4916-L	CITDV	Citibank, N.A.	14,437	7/31/2017	7/26/2024	GA
Call Spread	Secure	100C	100C03579	2017-4921-L	HSBDV	HSBC Bank USA, National Association	1,013,827	8/1/2017	7/30/2018	GA
Asian	Spread 1	100S	100S03466	2017-4925-L	HSBDV	HSBC Bank USA, National Association	74,314	8/1/2017	7/30/2018	GA
Asian Call Spread	Regency	110R	110R01090	2017-4929-L	HSBDV	HSBC Bank USA, National Association	26,466	8/1/2017	7/24/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00239	2017-4908-L	DBDV	Deutsche Bank AG	15,893	7/31/2017	7/23/2018	GA
Cliquet	MCI	100M	100M02262	2017-4924-L	GSIDV	Goldman Sachs International	142,622	8/1/2017	7/29/2018	GA
Basket	Envoy Cap	10EC	10EC02197	2017-4926-L	BARDV	Barclays Bank, PLC	48,683	8/1/2017	7/28/2018	GA
Digital	Trigger	10PT	10PT00806	2017-4927-L	NATDV	NATIXIS SA	115,899	8/1/2017	7/30/2018	GA
Call Spread	Secure	100C	100C03580	2017-4932-L	WCHDV	Wells Fargo Bank, N. A.	299,372	8/2/2017	8/1/2018	GA
Asian	Spread 1	100S	100S03467	2017-4935-L	WCHDV	Wells Fargo Bank, N. A.	35,803	8/2/2017	8/1/2018	GA
Digital	Trigger	10PT	10PT00807	2017-4934-L	HSBDV	HSBC Bank USA, National Association	41,098	8/2/2017	8/2/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00240	2017-4920-L	DBDV	Deutsche Bank AG	19,918	8/1/2017	7/29/2018	GA
Cliquet	MCI	100M	100M02263	2017-4938-L	DBDV	Deutsche Bank AG	68,631	8/2/2017	8/1/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01081	2017-3714-S	GSIDV	Goldman Sachs International	93,000	8/1/2017	7/27/2018	GA
Call Spread	Secure	100C	100C03581	2017-4952-L	HSBDV	HSBC Bank USA, National Association	298,177	8/3/2017	8/2/2018	GA
Asian	Spread 1	100S	100S03468	2017-4950-L	HSBDV	HSBC Bank USA, National Association	9,828	8/3/2017	7/31/2018	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00241	2017-4931-L	DBDV	Deutsche Bank AG	13,309	8/2/2017	7/22/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01083	2017-3717-S	WCHDV	Wells Fargo Bank, N. A.	14,900	8/3/2017	8/1/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01082	2017-3715-S	GSIDV	Goldman Sachs International	19,000	8/2/2017	7/30/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00242	2017-4946-L	DBDV	Deutsche Bank AG	17,877	8/3/2017	8/2/2018	GA
Cliquet	MCI	100M	100M02264	2017-4966-L	UBSDV	UBS AG	43,612	8/3/2017	8/2/2018	GA
Digital	Trigger	10PT	10PT00808	2017-4949-L	HSBDV	HSBC Bank USA, National Association	20,710	8/3/2017	8/1/2018	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00016-1	2017-4948-L	JPMDV	JPMORGAN CHASE BANK, N.A.	14,241	8/3/2017	7/27/2018	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00016-3	2017-4953-L	JPMDV	JPMORGAN CHASE BANK, N.A.	11,423	8/3/2017	7/27/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00016-4	2017-4955-L	JPMDV	JPMORGAN CHASE BANK, N.A.	10,482	8/3/2017	7/27/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00016-6	2017-4957-L	JPMDV	JPMORGAN CHASE BANK, N.A.	8,944	8/3/2017	7/27/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00016-2	2017-4951-L	JPMDV	JPMORGAN CHASE BANK, N.A.	12,579	8/3/2017	7/26/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00016-5	2017-4956-L	JPMDV	JPMORGAN CHASE BANK, N.A.	9,642	8/3/2017	7/27/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00016-7	2017-4958-L	JPMDV	JPMORGAN CHASE BANK, N.A.	54,934	8/3/2017	7/26/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00028-1	2017-4959-L	CITDV	Citibank, N.A.	5,827	8/3/2017	7/27/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00028-3	2017-4961-L	CITDV	Citibank, N.A.	4,606	8/3/2017	7/27/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00028-4	2017-4962-L	CITDV	Citibank, N.A.	4,209	8/3/2017	7/27/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00028-5	2017-4963-L	CITDV	Citibank, N.A.	3,867	8/3/2017	7/27/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00028-6	2017-4964-L	CITDV	Citibank, N.A.	3,564	8/3/2017	7/27/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00028-2	2017-4960-L	CITDV	Citibank, N.A.	5,101	8/3/2017	7/26/2019	GA
Call Spread	Secure	100C	100C03582	2017-4967-L	HSBDV	HSBC Bank USA, National Association	442,903	8/4/2017	8/3/2018	GA
Asian	Spread 1	100S	100S03469	2017-4968-L	HSBDV	HSBC Bank USA, National Association	71,527	8/4/2017	8/3/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00029-1	2017-4972-L	CITDV	Citibank, N.A.	4,503	8/4/2017	7/27/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00029-3	2017-4975-L	CITDV	Citibank, N.A.	3,546	8/4/2017	7/27/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00029-4	2017-4976-L	CITDV	Citibank, N.A.	3,237	8/4/2017	7/27/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00029-5	2017-4977-L	CITDV	Citibank, N.A.	2,973	8/4/2017	7/27/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00029-6	2017-4978-L	CITDV	Citibank, N.A.	2,739	8/4/2017	7/27/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00029-7	2017-4979-L	CITDV	Citibank, N.A.	15,328	8/4/2017	7/26/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00029-2	2017-4974-L	CITDV	Citibank, N.A.	3,931	8/4/2017	7/26/2019	GA
Cliquet	MCI	100M	100M02265	2017-4970-L	MSIDV	Morgan Stanley & Co International, PLC	57,182	8/4/2017	8/3/2018	GA
Basket	Envoy Cap	10EC	10EC02198	2017-4971-L	NATDV	NATIXIS SA	33,510	8/4/2017	8/2/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00028-7	2017-4965-L	CITDV	Citibank, N.A.	19,975	8/3/2017	7/26/2024	GA
Call Spread	Secure	100C	100C03583	2017-4984-L	GSIDV	Goldman Sachs International	359,023	8/7/2017	8/3/2018	GA
Call	Secure Par	100P	100P00775	2017-4987-L	GSIDV	Goldman Sachs International	51,672	8/7/2017	8/1/2018	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
Asian	Spread 1	100S	100S03470	2017-4983-L	GSIDV	Goldman Sachs International	19,110	8/7/2017	8/4/2018	GA
Digital	Trigger	10PT	10PT00809	2017-4989-L	GSIDV	Goldman Sachs International	32,177	8/7/2017	8/7/2018	GA
Cliquet	MCI	100M	100M02266	2017-4990-L	UBSDV	UBS AG	80,634	8/7/2017	8/4/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01084	2017-3719-S	SGDV	Societe Generale	25,900	8/4/2017	8/3/2018	GA
Call Spread	Secure	100C	100C03584	2017-4992-L	GSIDV	Goldman Sachs International	861,008	8/8/2017	8/3/2018	GA
Asian	Spread 1	100S	100S03471	2017-4994-L	GSIDV	Goldman Sachs International	79,572	8/8/2017	8/6/2018	GA
Digital	Trigger	10PT	10PT00810	2017-4995-L	CSBDV	Credit Suisse International	73,292	8/8/2017	8/6/2018	GA
Cliquet	MCI	100M	100M02267	2017-4997-L	CSBDV	Credit Suisse International	158,278	8/8/2017	8/6/2018	GA
Basket	Envoy Cap	10EC	10EC02199	2017-4996-L	GSIDV	Goldman Sachs International	45,296	8/8/2017	8/5/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00243	2017-4980-L	DBDV	Deutsche Bank AG	17,000	8/7/2017	8/8/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00030-1	2017-4999-L	CITDV	Citibank, N.A.	6,446	8/8/2017	8/2/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00030-2	2017-5000-L	CITDV	Citibank, N.A.	5,624	8/8/2017	8/2/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00030-4	2017-5002-L	CITDV	Citibank, N.A.	4,629	8/8/2017	8/2/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00030-5	2017-5003-L	CITDV	Citibank, N.A.	4,250	8/8/2017	8/2/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00030-6	2017-5004-L	CITDV	Citibank, N.A.	3,915	8/8/2017	8/2/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00030-7	2017-5005-L	CITDV	Citibank, N.A.	21,964	8/8/2017	8/2/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00030-3	2017-5001-L	CITDV	Citibank, N.A.	5,073	8/8/2017	7/31/2020	GA
Call Spread	Secure	100C	100C03585	2017-5009-L	GSIDV	Goldman Sachs International	307,262	8/9/2017	8/7/2018	GA
Asian	Spread 1	100S	100S03472	2017-5008-L	GSIDV	Goldman Sachs International	15,376	8/9/2017	8/7/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00244	2017-4991-L	DBDV	Deutsche Bank AG	17,813	8/8/2017	8/5/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01086	2017-3739-S	SGDV	Societe Generale	30,300	8/9/2017	8/7/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01085	2017-3737-S	GSIDV	Goldman Sachs International	68,000	8/8/2017	8/3/2018	GA
Digital	Trigger	10PT	10PT00811	2017-5011-L	GSIDV	Goldman Sachs International	46,224	8/9/2017	8/6/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00031-1	2017-5012-L	CITDV	Citibank, N.A.	9,450	8/9/2017	8/6/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00031-2	2017-5013-L	CITDV	Citibank, N.A.	8,314	8/9/2017	8/6/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00031-3	2017-5014-L	CITDV	Citibank, N.A.	7,528	8/9/2017	8/6/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00031-4	2017-5015-L	CITDV	Citibank, N.A.	6,890	8/9/2017	8/6/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00031-7	2017-5019-L	CITDV	Citibank, N.A.	32,832	8/9/2017	8/6/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00031-5	2017-5016-L	CITDV	Citibank, N.A.	6,340	8/9/2017	8/5/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00031-6	2017-5018-L	CITDV	Citibank, N.A.	5,849	8/9/2017	8/4/2023	GA
Cliquet	MCI	100M	100M02268	2017-5020-L	CITDV	Citibank, N.A.	59,593	8/9/2017	8/8/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00245	2017-5017-L	DBDV	Deutsche Bank AG	22,894	8/9/2017	8/3/2018	GA
Call Spread	Secure	100C	100C03586	2017-5026-L	HSBDV	HSBC Bank USA, National Association	251,154	8/10/2017	8/9/2018	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
Asian	Spread 1	100S	100S03473	2017-5027-L	HSBDV	HSBC Bank USA, National Association	15,576	8/10/2017	8/9/2018	GA
Cliquet	MCI	100M	100M02269	2017-5028-L	CSBDV	Credit Suisse International	52,240	8/10/2017	8/9/2018	GA
Digital	Trigger	10PT	10PT00812	2017-5036-L	CSBDV	Credit Suisse International	31,453	8/11/2017	8/10/2018	GA
Call Spread	Secure	100C	100C03587	2017-5044-L	GSIDV	Goldman Sachs International	326,298	8/11/2017	8/10/2018	GA
Asian	Spread 1	100S	100S03474	2017-5041-L	GSIDV	Goldman Sachs International	39,182	8/11/2017	8/9/2018	GA
Cliquet	MCI	100M	100M02270	2017-5047-L	MSIDV	Morgan Stanley & Co International, PLC	59,289	8/11/2017	8/9/2018	GA
Basket	Envoy Cap	10EC	10EC02200	2017-5042-L	GSIDV	Goldman Sachs International	25,965	8/11/2017	8/11/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00032-1	2017-5030-L	CITDV	Citibank, N.A.	5,396	8/11/2017	8/8/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00032-5	2017-5035-L	CITDV	Citibank, N.A.	3,723	8/11/2017	8/8/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00032-6	2017-5037-L	CITDV	Citibank, N.A.	3,444	8/11/2017	8/8/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00032-7	2017-5038-L	CITDV	Citibank, N.A.	19,323	8/11/2017	8/8/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00032-3	2017-5032-L	CITDV	Citibank, N.A.	4,389	8/11/2017	8/7/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00032-4	2017-5033-L	CITDV	Citibank, N.A.	4,035	8/11/2017	8/6/2021	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00246	2017-5034-L	DBDV	Deutsche Bank AG	17,813	8/11/2017	8/10/2018	GA
Call Spread	Secure	100C	100C03588	2017-5055-L	CITDV	Citibank, N.A.	389,268	8/14/2017	8/10/2018	GA
Asian	Spread 1	100S	100S03475	2017-5050-L	CITDV	Citibank, N.A.	78,198	8/14/2017	8/11/2018	GA
Asian Call Spread	Regency	110R	110R01091	2017-5048-L	CITDV	Citibank, N.A.	26,560	8/14/2017	8/6/2018	GA
Cliquet	MCI	100M	100M02271	2017-5060-L	CSBDV	Credit Suisse International	62,715	8/14/2017	8/11/2018	GA
Basket	Envoy Cap	10EC	10EC02201	2017-5062-L	NATDV	NATIXIS SA	20,569	8/14/2017	8/11/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00033-3	2017-5054-L	CITDV	Citibank, N.A.	5,315	8/14/2017	8/11/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00033-4	2017-5056-L	CITDV	Citibank, N.A.	4,840	8/14/2017	8/11/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00033-5	2017-5057-L	CITDV	Citibank, N.A.	4,436	8/14/2017	8/11/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00033-6	2017-5059-L	CITDV	Citibank, N.A.	4,082	8/14/2017	8/11/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00033-1	2017-5051-L	CITDV	Citibank, N.A.	6,849	8/14/2017	8/10/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00033-2	2017-5053-L	CITDV	Citibank, N.A.	5,923	8/14/2017	8/9/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00033-7	2017-5061-L	CITDV	Citibank, N.A.	22,901	8/14/2017	8/9/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00032-2	2017-5031-L	CITDV	Citibank, N.A.	4,814	8/11/2017	8/8/2019	GA
Swaption	Interest Rate Benchmark	10RC	10RC01087	2017-3741-S	SGDV	Societe Generale	32,600	8/10/2017	8/9/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01088	2017-3758-S	SGDV	Societe Generale	31,100	8/14/2017	8/10/2018	GA
Call Spread	Secure	100C	100C03589	2017-5067-L	HSBDV	HSBC Bank USA, National Association	986,444	8/15/2017	8/13/2018	GA
Asian	Spread 1	100S	100S03476	2017-5070-L	HSBDV	HSBC Bank USA, National Association	140,466	8/15/2017	8/13/2018	GA
Call	Secure Par	100P	100P00776	2017-5069-L	HSBDV	HSBC Bank USA, National Association	63,605	8/15/2017	8/8/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01089	2017-3759-S	GSIDV	Goldman Sachs International	69,500	8/15/2017	8/10/2018	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
Digital	Trigger	10PT	10PT00813	2017-5085-L	HSBDV	HSBC Bank USA, National Association	156,932	8/15/2017	8/13/2018	GA
Basket	Envoy Cap	10EC	10EC02202	2017-5087-L	BARDV	Barclays Bank, PLC	40,575	8/15/2017	8/13/2018	GA
Cliquet	MCI	100M	100M02272	2017-5086-L	UBSDV	UBS AG	214,376	8/15/2017	8/13/2018	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00017-1	2017-5077-L	JPMDV	JPMORGAN CHASE BANK, N.A.	18,975	8/15/2017	8/6/2018	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00017-2	2017-5079-L	JPMDV	JPMORGAN CHASE BANK, N.A.	16,833	8/15/2017	8/6/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00017-3	2017-5080-L	JPMDV	JPMORGAN CHASE BANK, N.A.	15,328	8/15/2017	8/6/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00017-4	2017-5081-L	JPMDV	JPMORGAN CHASE BANK, N.A.	14,089	8/15/2017	8/6/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00017-7	2017-5084-L	JPMDV	JPMORGAN CHASE BANK, N.A.	73,683	8/15/2017	8/6/2024	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00017-5	2017-5082-L	JPMDV	JPMORGAN CHASE BANK, N.A.	13,009	8/15/2017	8/5/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00017-6	2017-5083-L	JPMDV	JPMORGAN CHASE BANK, N.A.	12,055	8/15/2017	8/4/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00034-2	2017-5072-L	CITDV	Citibank, N.A.	3,992	8/15/2017	8/12/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00034-3	2017-5073-L	CITDV	Citibank, N.A.	3,607	8/15/2017	8/12/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00034-4	2017-5074-L	CITDV	Citibank, N.A.	3,297	8/15/2017	8/12/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00034-5	2017-5075-L	CITDV	Citibank, N.A.	3,031	8/15/2017	8/12/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00034-7	2017-5078-L	CITDV	Citibank, N.A.	15,672	8/15/2017	8/12/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00034-1	2017-5071-L	CITDV	Citibank, N.A.	4,560	8/15/2017	8/10/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00034-6	2017-5076-L	CITDV	Citibank, N.A.	2,794	8/15/2017	8/11/2023	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00247	2017-5064-L	DBDV	Deutsche Bank AG	25,561	8/15/2017	8/12/2018	GA
Call Spread	Secure	100C	100C03590	2017-5093-L	NATDV	NATIXIS SA	349,221	8/16/2017	8/15/2018	GA
Asian	Spread 1	100S	100S03477	2017-5092-L	NATDV	NATIXIS SA	29,489	8/16/2017	8/14/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01090	2017-3760-S	BNPDV	BNP Paribas	23,900	8/16/2017	8/14/2018	GA
Cliquet	MCI	100M	100M02273	2017-5095-L	GSIDV	Goldman Sachs International	69,809	8/16/2017	8/16/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00248	2017-5091-L	DBDV	Deutsche Bank AG	21,694	8/16/2017	8/14/2018	GA
Digital	Trigger	10PT	10PT00814	2017-5096-L	HSBDV	HSBC Bank USA, National Association	44,087	8/17/2017	8/15/2018	GA
Call Spread	Secure	100C	100C03591	2017-5098-L	HSBDV	HSBC Bank USA, National Association	267,526	8/17/2017	8/17/2018	GA
Asian	Spread 1	100S	100S03478	2017-5097-L	HSBDV	HSBC Bank USA, National Association	10,314	8/17/2017	8/15/2018	GA
Cliquet	MCI	100M	100M02274	2017-5100-L	CSBDV	Credit Suisse International	56,092	8/17/2017	8/14/2018	GA
Call Spread	Secure	100C	100C03592	2017-5110-L	CSBDV	Credit Suisse International	342,157	8/18/2017	8/17/2018	GA
Asian	Spread 1	100S	100S03479	2017-5109-L	CSBDV	Credit Suisse International	23,870	8/18/2017	8/16/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01091	2017-3761-S	BNPDV	BNP Paribas	15,500	8/17/2017	8/15/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00035-1	2017-5101-L	CITDV	Citibank, N.A.	4,807	8/18/2017	8/14/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00035-2	2017-5103-L	CITDV	Citibank, N.A.	4,327	8/18/2017	8/14/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00035-3	2017-5104-L	CITDV	Citibank, N.A.	3,960	8/18/2017	8/14/2020	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
JRNY-CITI	Citi Vol Control	CITI	CITI00035-6	2017-5107-L	CITDV	Citibank, N.A.	3,126	8/18/2017	8/14/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00035-7	2017-5108-L	CITDV	Citibank, N.A.	17,539	8/18/2017	8/14/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00035-4	2017-5105-L	CITDV	Citibank, N.A.	3,651	8/18/2017	8/13/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00035-5	2017-5106-L	CITDV	Citibank, N.A.	3,376	8/18/2017	8/12/2022	GA
Cliquet	MCI	100M	100M02275	2017-5112-L	GSIDV	Goldman Sachs International	62,510	8/18/2017	8/17/2018	GA
Call Spread	Secure	100C	100C03593	2017-5150-L	CITDV	Citibank, N.A.	341,796	8/21/2017	8/17/2018	GA
Asian	Spread 1	100S	100S03480	2017-5149-L	CITDV	Citibank, N.A.	33,826	8/21/2017	8/16/2018	GA
Digital	Trigger	10PT	10PT00815	2017-5145-L	GSIDV	Goldman Sachs International	39,127	8/21/2017	8/16/2018	GA
Basket	Envoy Cap	10EC	10EC02203	2017-5151-L	NATDV	NATIXIS SA	42,810	8/21/2017	8/17/2018	GA
Cliquet	MCI	100M	100M02276	2017-5148-L	CSBDV	Credit Suisse International	90,032	8/21/2017	8/18/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00249	2017-5102-L	DBDV	Deutsche Bank AG	14,468	8/18/2017	8/21/2018	GA
Call Spread	Secure	100C	100C03594	2017-5158-L	HSBDV	HSBC Bank USA, National Association	926,162	8/22/2017	8/20/2018	GA
Asian	Spread 1	100S	100S03481	2017-5160-L	HSBDV	HSBC Bank USA, National Association	109,116	8/22/2017	8/24/2018	GA
Digital	Trigger	10PT	10PT00816	2017-5161-L	CSBDV	Credit Suisse International	111,685	8/22/2017	8/20/2018	GA
Cliquet	MCI	100M	100M02277	2017-5165-L	DBDV	Deutsche Bank AG	160,759	8/22/2017	8/20/2018	GA
Basket	Envoy Cap	10EC	10EC02204	2017-5162-L	GSIDV	Goldman Sachs International	34,939	8/22/2017	8/20/2018	GA
Call Spread	Secure	100C	100C03595	2017-5176-L	CITDV	Citibank, N.A.	405,649	8/23/2017	8/23/2018	GA
Asian	Spread 1	100S	100S03482	2017-5175-L	CITDV	Citibank, N.A.	36,397	8/23/2017	8/22/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01093	2017-3779-S	BNPDV	BNP Paribas	27,600	8/23/2017	8/21/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00036-1	2017-5167-L	CITDV	Citibank, N.A.	6,008	8/23/2017	8/20/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00036-2	2017-5168-L	CITDV	Citibank, N.A.	5,265	8/23/2017	8/20/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00036-3	2017-5169-L	CITDV	Citibank, N.A.	4,760	8/23/2017	8/20/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00036-4	2017-5170-L	CITDV	Citibank, N.A.	4,354	8/23/2017	8/20/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00036-7	2017-5173-L	CITDV	Citibank, N.A.	20,743	8/23/2017	8/20/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00036-5	2017-5171-L	CITDV	Citibank, N.A.	4,007	8/23/2017	8/19/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00036-6	2017-5172-L	CITDV	Citibank, N.A.	3,697	8/23/2017	8/18/2023	GA
Digital	Trigger	10PT	10PT00817	2017-5174-L	HSBDV	HSBC Bank USA, National Association	54,103	8/23/2017	8/21/2018	GA
Cliquet	MCI	100M	100M02278	2017-5178-L	DBDV	Deutsche Bank AG	68,507	8/23/2017	8/22/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01092	2017-3778-S	NATDV	NATIXIS SA	97,000	8/22/2017	8/17/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00251	2017-5166-L	DBDV	Deutsche Bank AG	40,148	8/23/2017	8/21/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00250	2017-5157-L	DBDV	Deutsche Bank AG	38,165	8/22/2017	8/24/2018	GA
Call Spread	Secure	100C	100C03596	2017-5181-L	NATDV	NATIXIS SA	174,583	8/24/2017	8/29/2018	GA
Asian	Spread 1	100S	100S03483	2017-5184-L	NATDV	NATIXIS SA	15,768	8/24/2017	8/20/2018	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
Call	Secure Par	100P	100P00777	2017-5183-L	NATDV	NATIXIS SA	49,372	8/24/2017	8/17/2018	GA
Basket	Envoy Cap	10EC	10EC02205	2017-5185-L	NATDV	NATIXIS SA	19,700	8/24/2017	8/23/2018	GA
Cliquet	MCI	100M	100M02279	2017-5186-L	CSBDV	Credit Suisse International	61,262	8/24/2017	8/23/2018	GA
Digital	Trigger	10PT	10PT00818	2017-5204-L	NATDV	NATIXIS SA	44,509	8/25/2017	8/30/2018	GA
Call Spread	Secure	100C	100C03597	2017-5197-L	CITDV	Citibank, N.A.	410,005	8/25/2017	8/21/2018	GA
Asian	Spread 1	100S	100S03484	2017-5199-L	CITDV	Citibank, N.A.	70,107	8/25/2017	8/23/2018	GA
Cliquet	MCI	100M	100M02280	2017-5210-L	MSIDV	Morgan Stanley & Co International, PLC	56,253	8/25/2017	8/21/2018	GA
Basket	Envoy Cap	10EC	10EC02206	2017-5208-L	BARDV	Barclays Bank, PLC	32,421	8/25/2017	8/24/2018	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00018-1	2017-5200-L	JPMDV	JPMORGAN CHASE BANK, N.A.	15,399	8/25/2017	8/17/2018	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00018-3	2017-5202-L	JPMDV	JPMORGAN CHASE BANK, N.A.	12,283	8/25/2017	8/17/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00018-4	2017-5203-L	JPMDV	JPMORGAN CHASE BANK, N.A.	11,266	8/25/2017	8/17/2021	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00018-5	2017-5205-L	JPMDV	JPMORGAN CHASE BANK, N.A.	10,391	8/25/2017	8/17/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00018-6	2017-5206-L	JPMDV	JPMORGAN CHASE BANK, N.A.	9,616	8/25/2017	8/17/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00018-2	2017-5201-L	JPMDV	JPMORGAN CHASE BANK, N.A.	13,547	8/25/2017	8/16/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00018-7	2017-5207-L	JPMDV	JPMORGAN CHASE BANK, N.A.	59,360	8/25/2017	8/16/2024	GA
Digital	Trigger	10PT	10PT00819	2017-5234-L	CSBDV	Credit Suisse International	43,097	8/28/2017	8/24/2018	GA
Call Spread	Secure	100C	100C03598	2017-5224-L	HSBDV	HSBC Bank USA, National Association	408,393	8/28/2017	8/16/2018	GA
Asian	Spread 1	100S	100S03485	2017-5226-L	HSBDV	HSBC Bank USA, National Association	34,147	8/28/2017	8/25/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00037-1	2017-5227-L	CITDV	Citibank, N.A.	4,191	8/28/2017	8/20/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00037-2	2017-5228-L	CITDV	Citibank, N.A.	3,695	8/28/2017	8/20/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00037-3	2017-5229-L	CITDV	Citibank, N.A.	3,351	8/28/2017	8/20/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00037-4	2017-5230-L	CITDV	Citibank, N.A.	3,071	8/28/2017	8/20/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00037-7	2017-5233-L	CITDV	Citibank, N.A.	14,651	8/28/2017	8/20/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00037-5	2017-5231-L	CITDV	Citibank, N.A.	2,830	8/28/2017	8/19/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00037-6	2017-5232-L	CITDV	Citibank, N.A.	2,614	8/28/2017	8/18/2023	GA
Cliquet	MCI	100M	100M02281	2017-5235-L	UBSDV	UBS AG	55,119	8/28/2017	8/24/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01095	2017-3781-S	SGDV	Societe Generale	16,000	8/25/2017	8/24/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01094	2017-3780-S	CAYDV	CREDIT AGRICOLE CORPORATE & INVES	25,000	8/24/2017	8/22/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00252	2017-5189-L	DBDV	Deutsche Bank AG	21,728	8/25/2017	8/22/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00253	2017-5214-L	DBDV	Deutsche Bank AG	31,442	8/28/2017	8/23/2018	GA
Call Spread	Secure	100C	100C03599	2017-5249-L	HSBDV	HSBC Bank USA, National Association	950,490	8/29/2017	8/27/2018	GA
Cliquet	MCI	100M	100M02282	2017-5253-L	DBDV	Deutsche Bank AG	169,831	8/29/2017	8/27/2018	GA
Asian	Spread 1	100S	100S03486	2017-5248-L	HSBDV	HSBC Bank USA, National Association	224,790	8/29/2017	8/27/2018	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
Asian Call Spread	Regency	110R	110R01092	2017-5244-L	HSBDV	HSBC Bank USA, National Association	32,431	8/29/2017	8/20/2018	GA
Basket	Envoy Cap	10EC	10EC02207	2017-5251-L	BARDV	Barclays Bank, PLC	54,863	8/29/2017	8/26/2018	GA
Digital	Trigger	10PT	10PT00820	2017-5247-L	CSBDV	Credit Suisse International	187,495	8/29/2017	8/27/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00254	2017-5241-L	DBDV	Deutsche Bank AG	24,583	8/29/2017	8/26/2018	GA
Call Spread	Secure	100C	100C03600	2017-5256-L	HSBDV	HSBC Bank USA, National Association	366,344	8/30/2017	8/28/2018	GA
Asian	Spread 1	100S	100S03487	2017-5258-L	HSBDV	HSBC Bank USA, National Association	33,663	8/30/2017	8/28/2018	GA
Digital	Trigger	10PT	10PT00821	2017-5259-L	HSBDV	HSBC Bank USA, National Association	69,945	8/30/2017	8/28/2018	GA
Cliquet	MCI	100M	100M02283	2017-5260-L	UBSDV	UBS AG	97,331	8/30/2017	8/29/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01096	2017-3797-S	SGDV	Societe Generale	64,700	8/29/2017	8/24/2018	GA
Call Spread	Secure	100C	100C03601	2017-5261-L	NATDV	NATIXIS SA	252,584	8/31/2017	8/31/2018	GA
Asian	Spread 1	100S	100S03488	2017-5263-L	NATDV	NATIXIS SA	52,816	8/31/2017	8/31/2018	GA
Digital	Trigger	10PT	10PT00822	2017-5271-L	NATDV	NATIXIS SA	24,041	8/31/2017	8/28/2018	GA
Cliquet	MCI	100M	100M02284	2017-5272-L	GSIDV	Goldman Sachs International	45,076	8/31/2017	8/30/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00255	2017-5254-L	DBDV	Deutsche Bank AG	39,687	8/30/2017	8/29/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01097	2017-3798-S	CAYDV	CREDIT AGRICOLE CORPORATE & INVES	30,000	8/30/2017	8/28/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01098	2017-3800-S	GSIDV	Goldman Sachs International	17,000	8/31/2017	8/29/2018	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00019-1	2017-5273-L	JPMDV	JPMORGAN CHASE BANK, N.A.	14,560	8/31/2017	8/22/2018	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00019-5	2017-5277-L	JPMDV	JPMORGAN CHASE BANK, N.A.	9,817	8/31/2017	8/22/2022	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00019-6	2017-5278-L	JPMDV	JPMORGAN CHASE BANK, N.A.	9,113	8/31/2017	8/22/2023	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00019-7	2017-5279-L	JPMDV	JPMORGAN CHASE BANK, N.A.	56,666	8/31/2017	8/22/2024	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00019-3	2017-5275-L	JPMDV	JPMORGAN CHASE BANK, N.A.	11,612	8/31/2017	8/21/2020	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00019-4	2017-5276-L	JPMDV	JPMORGAN CHASE BANK, N.A.	10,664	8/31/2017	8/20/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00038-3	2017-5266-L	CITDV	Citibank, N.A.	5,193	8/31/2017	9/1/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00038-4	2017-5267-L	CITDV	Citibank, N.A.	4,733	8/31/2017	9/1/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00038-5	2017-5268-L	CITDV	Citibank, N.A.	4,342	8/31/2017	9/1/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00038-6	2017-5269-L	CITDV	Citibank, N.A.	3,999	8/31/2017	9/1/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00038-7	2017-5270-L	CITDV	Citibank, N.A.	22,448	8/31/2017	8/30/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00038-1	2017-5264-L	CITDV	Citibank, N.A.	6,682	8/31/2017	8/31/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00038-2	2017-5265-L	CITDV	Citibank, N.A.	5,783	8/31/2017	8/30/2019	GA
JRNY-JPM	JPM Vol Control	JPMM	JPMM00019-2	2017-5274-L	JPMDV	JPMORGAN CHASE BANK, N.A.	12,793	8/31/2017	8/22/2019	GA
Call Spread	Secure	100C	100C03602	2017-5282-L	CITDV	Citibank, N.A.	442,161	9/1/2017	8/31/2018	GA
Call	Secure Par	100P	100P00778	2017-5283-L	CITDV	Citibank, N.A.	57,100	9/1/2017	8/23/2018	GA
Asian	Spread 1	100S	100S03489	2017-5285-L	CITDV	Citibank, N.A.	101,325	9/1/2017	8/31/2018	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
Digital	Trigger	10PT	10PT00823	2017-5287-L	GSIDV	Goldman Sachs International	39,301	9/1/2017	8/29/2018	GA
Basket	Envoy Cap	10EC	10EC02208	2017-5291-L	BARDV	Barclays Bank, PLC	52,150	9/1/2017	8/31/2018	GA
Cliquet	MCI	100M	100M02285	2017-5288-L	GSIDV	Goldman Sachs International	60,798	9/1/2017	9/1/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00256	2017-5286-L	DBDV	Deutsche Bank AG	25,594	9/1/2017	8/31/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01099	2017-3818-S	CAYDV	CREDIT AGRICOLE CORPORATE & INVES	11,700	9/5/2017	8/31/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00039-3	2017-5299-L	CITDV	Citibank, N.A.	3,167	9/5/2017	9/2/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00039-4	2017-5300-L	CITDV	Citibank, N.A.	2,892	9/5/2017	9/2/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00039-5	2017-5301-L	CITDV	Citibank, N.A.	2,657	9/5/2017	9/2/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00039-1	2017-5297-L	CITDV	Citibank, N.A.	4,055	9/5/2017	8/31/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00039-2	2017-5298-L	CITDV	Citibank, N.A.	3,520	9/5/2017	8/30/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00039-6	2017-5303-L	CITDV	Citibank, N.A.	2,450	9/5/2017	9/1/2023	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00039-7	2017-5304-L	CITDV	Citibank, N.A.	13,749	9/5/2017	8/30/2024	GA
Call Spread	Secure	100C	100C03603	2017-5295-L	CITDV	Citibank, N.A.	210,945	9/5/2017	8/29/2018	GA
Asian	Spread 1	100S	100S03490	2017-5294-L	CITDV	Citibank, N.A.	33,892	9/5/2017	8/30/2018	GA
Cliquet	MCI	100M	100M02286	2017-5302-L	MSIDV	Morgan Stanley & Co International, PLC	27,954	9/5/2017	8/29/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00257	2017-5293-L	DBDV	Deutsche Bank AG	18,621	9/5/2017	9/2/2018	GA
Digital	Trigger	10PT	10PT00824	2017-5308-L	HSBDV	HSBC Bank USA, National Association	127,064	9/6/2017	9/3/2018	GA
Call Spread	Secure	100C	100C03604	2017-5306-L	CITDV	Citibank, N.A.	1,029,122	9/6/2017	9/3/2018	GA
Asian	Spread 1	100S	100S03491	2017-5309-L	CITDV	Citibank, N.A.	90,463	9/6/2017	9/3/2018	GA
Cliquet	MCI	100M	100M02287	2017-5319-L	GSIDV	Goldman Sachs International	247,444	9/6/2017	9/3/2018	GA
Basket	Envoy Cap	10EC	10EC02209	2017-5312-L	GSIDV	Goldman Sachs International	54,992	9/6/2017	9/3/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00040-1	2017-5314-L	CITDV	Citibank, N.A.	5,879	9/6/2017	9/4/2018	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00040-2	2017-5315-L	CITDV	Citibank, N.A.	5,130	9/6/2017	9/4/2019	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00040-3	2017-5316-L	CITDV	Citibank, N.A.	4,631	9/6/2017	9/4/2020	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00040-7	2017-5321-L	CITDV	Citibank, N.A.	20,170	9/6/2017	9/4/2024	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00040-4	2017-5317-L	CITDV	Citibank, N.A.	4,235	9/6/2017	9/3/2021	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00040-5	2017-5318-L	CITDV	Citibank, N.A.	3,896	9/6/2017	9/2/2022	GA
JRNY-CITI	Citi Vol Control	CITI	CITI00040-6	2017-5320-L	CITDV	Citibank, N.A.	3,596	9/6/2017	9/1/2023	GA
Call Spread	Secure	100C	100C03605	2017-5325-L	CITDV	Citibank, N.A. 314,469.95		9/7/2017	9/7/2018	GA
Asian	Spread 1	100S	100S03492	2017-5326-L	CITDV	Citibank, N.A. 21,632.01		9/7/2017	9/7/2018	GA
Digital	Trigger	10PT	10PT00825	2017-5324-L	HSBDV	HSBC Bank USA, National Association 27,101.65		9/7/2017	9/6/2018	GA
Cliquet	MCI	100M	100M02288	2017-5328-L	DBDV	Deutsche Bank AG 43,020.95		9/7/2017	9/7/2018	GA
Swaption	Interest Rate Benchmark	10RC	10RC01100	2017-3819-S	CAYDV	CREDIT AGRICOLE CORPORATE & INVES 40,500.00		9/6/2017	8/31/2018	GA



Option Name	Strategy Name	Option Code	Option Number	Deal Number	Counterparty ID	Counterparty	Cost	Trade Date	Maturity Date	GA/SA
Swaption	Interest Rate Benchmark	10RC	10RC01101	2017-3820-S	GSCDV	GOLDMAN SACHS BANK USA/SALT LAKE 24,000.00		9/7/2017	9/4/2018	GA
DB CROCI Call	Vol Control 1 Yr - VIAC	1VCV	1VCV00259

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