QUARTERLY STATEMENT · QUARTERLY STATEMENT OF THE PHL VARIABLE INSURANCE COMPANY Of Hartford in the state of CT to the Insurance Department of the State of For the Period Ended

QUARTERLY STATEMENTOF THE

PHL VARIABLE INSURANCECOMPANY

Of

Hartfordin the state of CT

to the Insurance Departmentof the State of

For the Period EndedMarch 31, 2018

2018

LlFE AND ACCIDENT AND HEALTH COMPANIES· ASSOCIATION EDITION

11111111111111111111111111111111111111111111111111111111111111111111111111111111111111111111111* 9 3 5 4 8 2 0 1 8 2 0 1 001 01*

QUARTERLY STATEMENTAs of March 31, 2018

of the Conditionand Affairs of the

PHL VARIABLE INSURANCE COMPANYNAICGroup Code"".4736, 4736

(CurrentPeriod) (PriorPeriod)

Organizedunder the Laws of CT

Incorporated/Organized"". July 15, 1981

NAICCompanyCode...; 93548 Employer's ID Number.... 06-1045829

State of Domicileor Port of Entry CT

CommencedBusiness...; July 15, 1981

Country of Domicile US

StatutoryHomeOffice OneAmerican Row .. Hartford" CT " US" 06103(Street and Number) (City or Town, State, Country and Zip Code)

MailAddress

OneAmerican Row" Hartford" CT " US " 06103(Street and Number) (City or Town, State, Country and Zip Code)

P. O. Box 5056 " Hartford" CT " US" 06102-5056

860-403-5000(Area Code) (Telephone Number)

MainAdministrativeOffice

(Street and Number or P. O. Box) (City or Town, State, Country and Zip Code)

Primary Locationof Books and Records OneAmerican Row" Hartford" CT " US " 06103(Street and Number) (City or Town, State, Country and Zip Code)

InternetWeb SiteAddress www.nsre.com/phoenix

Statutory StatementContact Donald Scott Aderhold(Name)

[email protected](E-Mail Address)

860-403-5210(Area Code) (Telephone Number)

860-403-5210(Area Code) (Telephone Number) (Extension)

860-403-5344(Fax Number)

OFFICERSName

1. Phillip John Gass3. Ernest Malcolm McNeill Jr.

Title Name2. Kostas Cheliotis4.

OTHERBenito Joel Cuevo Jr.William Benjamin Moorcroft

TitleVP and SecretaryPresident

VP, CFO and Treasurer

Gina Collopy O'ConnellDiana PiquetteSusan Ann Zophy

Vice PresidentVice PresidentVice President

Dana Marie PedersenChristopher Matthew Wilkos

Vice President2nd VP, Chief Compliance Officerand AML OfficerVice PresidentVP & Chief Investment Officer

Thomas Martin BuckinghamRobert Joseph Lombardi

Vice PresidentVice President

DIRECTORS OR TRUSTEESLeanne Marie BellLeland Convis Launer Jr

Kostas CheliotisThomas Arthur Williams

Phillip John Gass Kevin Joseph Gregson

State01.. .County01.. .

ConnecticutHartford

The officers of this reporting entity being duly sworn, each depose and say that they are the described officers of said reporting entity, and that on the reporting periodstated above, all of the herein described assets were the absolute property of the said reporting entity, free and clear from any liens or claims thereon, except asherein stated, and that this statement, together with related exhibits, schedules and explanations therein contained, annexed or referred to, is a full and true statementof all the assets and liabilities and of the condition and affairs of the said reporting entity as of the reporting period stated above, and of its income and deductionstherefrom for the period ended, and have been completed in accordance with the NAIC Annual Statement Instructions and Accounting Practices and Proceduresmanual except to the extent that: (1) state law may differ; or, (2) that state rules or regulations require differences in reporting not related to accounting practices andprocedures, according to the best of their information, knowledge and belief, respectively. Furthermore, the scope of this attestation by the described officers alsoincludes the related corresponding electronic filing with the NAIC, when required, that is an exact copy (except for formatting differences due to electronic filing) of the

enclose at he electroniC~~ingmay be requested by v:~~~~~:.~.o.~~~ ..addition to the enclo~se~d;:s_ta~p>!;e...nt",'~~=-::::::::::::=__ -

(Signature) (Signature)

(Title)

2. (PrintedName)VPand Secretary

1. (PrintedName)President

Kostas Cheliotis EmestMalcolmMcNeillJr.PhillipJohnGass

(Title)

3. (PrintedName)VP,CFOandTreasurer

(Title)

Subscribed and sworn to before meThis 1st day of _M=ayCL.'~20~1~8 _

Yes [Xl No [ 1a. Is this an original filing?b. If no: 1. State the amendment number

Q f.:hJJJL .::.\,. 2. Date filed

7J~~~~!O.Jl.-~~O~':........L.~~..qj...e::F=-------=._~~:'~<,_ :' ~ ~__, ~ __:,--, 3 NumOO,of pages attached

", \,..... -

Jessie O. KarpfNotary Public-Connecticut

My Commission ExpiresJanuary 31,2020 -: ... «0,':: ::_- .. ""'-... ..... ...

.... .._- .

Statement as of March 31, 2018 of the PHL VARIABLE INSURANCE COMPANY

Q02

ASSETSCurrent Statement Date 4

1 2 3Net Admitted December 31

Nonadmitted Assets Prior Year NetAssets Assets (Cols. 1 - 2) Admitted Assets

1. Bonds....................................................................................................................................... .............1,663,245,184 ..................................... .............1,663,245,184 .............1,645,125,879

2. Stocks:

2.1 Preferred stocks............................................................................................................. ..................17,734,012 ..................................... ..................17,734,012 ..................17,734,012

2.2 Common stocks.............................................................................................................. ..................10,668,764 ..................................... ..................10,668,764 ..................10,920,087

3. Mortgage loans on real estate:

3.1 First liens........................................................................................................................ ..................13,225,847 ..................................... ..................13,225,847 ....................4,250,824

3.2 Other than first liens....................................................................................................... ..................................... ..................................... ..................................0 .....................................

4. Real estate:

4.1 Properties occupied by the company (less $..........0encumbrances)............................................................................................................... ..................................... ..................................... ..................................0 .....................................

4.2 Properties held for the production of income (less $..........0encumbrances)............................................................................................................... ..................................... ..................................... ..................................0 .....................................

4.3 Properties held for sale (less $..........0 encumbrances)................................................. ..................................... ..................................... ..................................0 .....................................

5. Cash ($.....45,619,789), cash equivalents ($..........0)and short-term investments ($..........0).................................................................................... ..................45,619,789 ..................................... ..................45,619,789 ................109,194,792

6. Contract loans (including $..........0 premium notes)................................................................. ..................79,058,602 ..................................... ..................79,058,602 ..................79,008,051

7. Derivatives................................................................................................................................ ..................13,735,493 ..................................... ..................13,735,493 ..................13,907,653

8. Other invested assets............................................................................................................... ..................14,304,625 ..................................... ..................14,304,625 ..................13,921,179

9. Receivables for securities........................................................................................................ ..................10,159,472 ..................................... ..................10,159,472 ....................7,382,750

10. Securities lending reinvested collateral assets......................................................................... ..................................... ..................................... ..................................0 .....................................

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

12. Subtotals, cash and invested assets (Lines 1 to 11)................................................................ .............1,867,751,788 ..................................0 .............1,867,751,788 .............1,901,445,227

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

14. Investment income due and accrued....................................................................................... ..................16,420,714 ..................................... ..................16,420,714 ..................15,435,131

15. Premiums and considerations:

15.1 Uncollected premiums and agents' balances in the course of collection....................... ....................2,466,180 ..................................... ....................2,466,180 ....................2,475,496

15.2 Deferred premiums, agents' balances and installments booked but deferredand not yet due (including $..........0 earned but unbilled premiums).............................. ..................27,569,503 ..................................... ..................27,569,503 ..................28,069,130

15.3 Accrued retrospective premiums ($..........0) and contracts subject toredetermination ($..........0)............................................................................................. ..................................... ..................................... ..................................0 .....................................

16. Reinsurance:

16.1 Amounts recoverable from reinsurers............................................................................ ..................42,626,362 ..................................... ..................42,626,362 ..................13,259,215

16.2 Funds held by or deposited with reinsured companies.................................................. ..................................... ..................................... ..................................0 .....................................

16.3 Other amounts receivable under reinsurance contracts................................................. ..................15,834,872 ..................................... ..................15,834,872 ....................1,860,720

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

18.1 Current federal and foreign income tax recoverable and interest thereon............................... ..................80,298,423 ..................................... ..................80,298,423 ..................96,339,744

18.2 Net deferred tax asset.............................................................................................................. ..................69,290,304 ..................56,703,350 ..................12,586,954 ..................14,533,054

19. Guaranty funds receivable or on deposit.................................................................................. .......................324,430 ..................................... .......................324,430 .......................345,521

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

21. Furniture and equipment, including health care delivery assets ($..........0)............................. ..................................... ..................................... ..................................0 .....................................

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

23. Receivables from parent, subsidiaries and affiliates................................................................ ..................17,642,144 ..................................... ..................17,642,144 ....................3,845,217

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

25. Aggregate write-ins for other than invested assets.................................................................. ..................43,621,062 ....................1,625,596 ..................41,995,466 ..................41,181,540

26. Total assets excluding Separate Accounts, Segregated Accounts and ProtectedCell Accounts (Lines 12 through 25)........................................................................................ .............2,183,845,782 ..................58,328,946 .............2,125,516,836 .............2,118,789,995

27. From Separate Accounts, Segregated Accounts and Protected Cell Accounts....................... .............4,041,402,444 ..................................... .............4,041,402,444 .............4,200,524,043

28. Total (Lines 26 and 27)............................................................................................................ .............6,225,248,226 ..................58,328,946 .............6,166,919,280 .............6,319,314,038

DETAILS OF WRITE-INS

1101. ................................................................................................................................................. ..................................... ..................................... ..................................0 .....................................

1102. ................................................................................................................................................. ..................................... ..................................... ..................................0 .....................................

1103. ................................................................................................................................................. ..................................... ..................................... ..................................0 .....................................

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

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

2501. Suspense deposits................................................................................................................... ....................5,551,619 ....................1,625,596 ....................3,926,023 ....................3,112,094

2502. Affiliate notes receivable.......................................................................................................... ..................38,069,443 ..................................... ..................38,069,443 ..................38,069,446

2503. ................................................................................................................................................. ..................................... ..................................... ..................................0 .....................................

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

2599. Totals (Lines 2501 thru 2503 plus 2598) (Line 25 above)........................................................ ..................43,621,062 ....................1,625,596 ..................41,995,466 ..................41,181,540


Q03

LIABILITIES, SURPLUS AND OTHER FUNDS1 2

Current December 31Statement Date Prior Year

1. Aggregate reserve for life contracts $.....1,677,423,495 less $..........0included in Line 6.3 (including $.....76,258,168 Modco Reserve).......................................................................................................... .....................1,677,423,495 .....................1,733,898,219

2. Aggregate reserve for accident and health contracts (including $.........0 Modco Reserve).................................................................. ............................................. .............................................3. Liability for deposit-type contracts (including $..........0 Modco Reserve).............................................................................................. ..........................67,012,492 ..........................70,904,7774. Contract claims:

4.1 Life............................................................................................................................................................................................. ........................107,690,076 ..........................66,628,9114.2 Accident and health................................................................................................................................................................... ............................................. .............................................

5. Policyholders' dividends $..........0 and coupons $..........0 due and unpaid........................................................................................... ............................................. .............................................6. Provision for policyholders' dividends and coupons payable in following calendar year - estimated amounts:

6.1 Dividends apportioned for payment (including $..........0 Modco)............................................................................................... ............................................. .............................................6.2 Dividends not yet apportioned (including $..........0 Modco)....................................................................................................... ............................................. .............................................6.3 Coupons and similar benefits (including $..........0 Modco)........................................................................................................ ............................................. .............................................

7. Amount provisionally held for deferred dividend policies not included in Line 6.................................................................................... ............................................. .............................................8. Premiums and annuity considerations for life and accident and health contracts received in advance

less $..........0 discount; including $..........0 accident and health premiums........................................................................................... ...............................136,257 ...............................164,2489. Contract liabilities not included elsewhere:

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

refunds of which $..........0 is for medical loss ratio rebate per the Public Health Service Act................................................... ............................................. .............................................9.3 Other amounts payable on reinsurance, including $.....1,722,250 assumed and $.....21,226,541 ceded................................. ..........................22,948,790 ..........................31,492,4269.4 Interest Maintenance Reserve................................................................................................................................................... ..........................11,505,072 ..........................11,826,275

10. Commissions to agents due or accrued - life and annuity contracts $.....117,421, accident and health $..........0and deposit-type contract funds $..........0............................................................................................................................................. ...............................117,421 ...............................118,032

11. Commissions and expense allowances payable on reinsurance assumed........................................................................................... ............................................. .............................................12. General expenses due or accrued........................................................................................................................................................ ............................4,553,835 ............................8,308,79513. Transfers to Separate Accounts due or accrued (net) (including $..........0 accrued for expense

allowances recognized in reserves, net of reinsured allowances)......................................................................................................... ..........................13,210,141 .........................(59,077,525)14. Taxes, licenses and fees due or accrued, excluding federal income taxes........................................................................................... ............................................. .............................................

15.1 Current federal and foreign income taxes, including $..........0 on realized capital gains (losses)......................................................... ............................................. .............................................15.2 Net deferred tax liability......................................................................................................................................................................... ............................................. .............................................16. Unearned investment income................................................................................................................................................................ ............................................. .............................................17. Amounts withheld or retained by company as agent or trustee............................................................................................................. ...............................408,579 ...............................542,08218. Amounts held for agents' account, including $..........0 agents' credit balances.................................................................................... ............................................. .............................................19. Remittances and items not allocated..................................................................................................................................................... ............................6,662,298 ............................2,958,77120. Net adjustment in assets and liabilities due to foreign exchange rates................................................................................................. ............................................. .............................................21. Liability for benefits for employees and agents if not included above................................................................................................... ............................................. .............................................22. Borrowed money $..........0 and interest thereon $..........0.................................................................................................................... ............................................. .............................................23. Dividends to stockholders declared and unpaid.................................................................................................................................... ............................................. .............................................24. Miscellaneous liabilities:

24.01 Asset valuation reserve.............................................................................................................................................................. ..........................14,462,615 ..........................14,157,02924.02 Reinsurance in unauthorized and certified ($..........0) companies............................................................................................. ............................................. .............................................24.03 Funds held under reinsurance treaties with unauthorized and certified ($..........0) reinsurers.................................................. ...................................7,565 ...............................102,61124.04 Payable to parent, subsidiaries and affiliates............................................................................................................................. ..........................25,218,643 ..........................21,063,22924.05 Drafts outstanding...................................................................................................................................................................... ............................................. .............................................24.06 Liability for amounts held under uninsured plans....................................................................................................................... ............................................. .............................................24.07 Funds held under coinsurance................................................................................................................................................... ............................................. .............................................24.08 Derivatives................................................................................................................................................................................. ............................................. .............................................24.09 Payable for securities................................................................................................................................................................. ..........................19,940,000 ..........................28,963,25524.10 Payable for securities lending.................................................................................................................................................... ............................................. .............................................24.11 Capital notes $..........0 and interest thereon $..........0............................................................................................................... ............................................. .............................................

25. Aggregate write-ins for liabilities............................................................................................................................................................ ............................2,471,298 ............................2,641,70526. Total liabilities excluding Separate Accounts business (Lines 1 to 25)................................................................................................. .....................1,973,768,577 .....................1,934,692,84027. From Separate Accounts statement...................................................................................................................................................... .....................4,041,402,444 .....................4,200,524,04328. Total liabilities (Lines 26 and 27)........................................................................................................................................................... .....................6,015,171,021 .....................6,135,216,88329. Common capital stock........................................................................................................................................................................... ............................2,500,000 ............................2,500,00030. Preferred capital stock........................................................................................................................................................................... ............................................. .............................................31. Aggregate write-ins for other-than-special surplus funds...................................................................................................................... ..........................................0 ..........................................032. Surplus notes......................................................................................................................................................................................... ..........................30,000,000 ..........................30,000,00033. Gross paid in and contributed surplus................................................................................................................................................... ........................134,232,940 ........................134,232,94034. Aggregate write-ins for special surplus funds........................................................................................................................................ ..........................................0 ..........................................035. Unassigned funds (surplus)................................................................................................................................................................... .........................(14,984,681) ..........................17,364,21536. Less treasury stock, at cost:

36.1 .....0.000 shares common (value included in Line 29 $..........0)................................................................................................ ............................................. .............................................36.2 .....0.000 shares preferred (value included in Line 30 $..........0)................................................................................................ ............................................. .............................................

37. Surplus (Total Lines 31 + 32 + 33 + 34 + 35 - 36) (including $..........0 in Separate Accounts Statement)........................................... ........................149,248,259 ........................181,597,15538. Totals of Lines 29, 30 and 37................................................................................................................................................................ ........................151,748,259 ........................184,097,15539. Totals of Lines 28 and 38 (Page 2, Line 28, Col. 3).............................................................................................................................. .....................6,166,919,280 .....................6,319,314,038

DETAILS OF WRITE-INS2501. Escheat Liability..................................................................................................................................................................................... ............................2,081,298 ............................2,251,7052502. Other Liabilities...................................................................................................................................................................................... ...............................390,000 ...............................390,0002503. Legal Liability......................................................................................................................................................................................... ............................................. .............................................2598. Summary of remaining write-ins for Line 25 from overflow page.......................................................................................................... ..........................................0 ..........................................02599. Totals (Lines 2501 thru 2503 plus 2598) (Line 25 above)..................................................................................................................... ............................2,471,298 ............................2,641,7053101. ............................................................................................................................................................................................................... ............................................. .............................................3102. ............................................................................................................................................................................................................... ............................................. .............................................3103. ............................................................................................................................................................................................................... ............................................. .............................................3198. Summary of remaining write-ins for Line 31 from overflow page.......................................................................................................... ..........................................0 ..........................................03199. Totals (Lines 3101 thru 3103 plus 3198) (Line 31 above)..................................................................................................................... ..........................................0 ..........................................03401. ............................................................................................................................................................................................................... ............................................. .............................................3402. ............................................................................................................................................................................................................... ............................................. .............................................3403. ............................................................................................................................................................................................................... ............................................. .............................................3498. Summary of remaining write-ins for Line 34 from overflow page.......................................................................................................... ..........................................0 ..........................................03499. Totals (Lines 3401 thru 3403 plus 3498) (Line 34 above)..................................................................................................................... ..........................................0 ..........................................0


Q04

SUMMARY OF OPERATIONS1 2 3

Current Prior Prior Year EndedYear to Date Year to Date December 31

1. Premiums and annuity considerations for life and accident and health contracts................................................................... ................77,971,636 ................81,535,069 ..............320,922,4232. Considerations for supplementary contracts with life contingencies....................................................................................... ..................1,796,665 ..................2,484,271 ..................7,080,0263. Net investment income............................................................................................................................................................ ................18,971,881 ................20,012,089 ................73,575,2584. Amortization of Interest Maintenance Reserve (IMR)............................................................................................................. .....................414,263 .....................366,714 ..................2,084,0185. Separate Accounts net gain from operations excluding unrealized gains or losses............................................................... ...............(32,203,991) ................47,951,613 ..............164,587,3176. Commissions and expense allowances on reinsurance ceded............................................................................................... ..................7,491,206 ..................5,415,696 ................21,277,0937. Reserve adjustments on reinsurance ceded........................................................................................................................... ..................1,119,626 ...............(24,266,350) .............(101,048,265)8. Miscellaneous Income:

8.1 Income from fees associated with investment management, administration and contract guaranteesfrom Separate Accounts................................................................................................................................................ ................19,080,626 ................19,073,458 ................75,680,141

8.2 Charges and fees for deposit-type contracts................................................................................................................. ................................... ................................... ...................................8.3 Aggregate write-ins for miscellaneous income.............................................................................................................. ..................3,538,889 ..................2,690,257 ................13,932,200

9. Totals (Lines 1 to 8.3)............................................................................................................................................................. ................98,180,801 ..............155,262,817 ..............578,090,21110. Death benefits......................................................................................................................................................................... ..............122,155,106 ................35,361,279 ..............290,103,71111. Matured endowments (excluding guaranteed annual pure endowments).............................................................................. ................................... ................................... ...................................12. Annuity benefits....................................................................................................................................................................... ................17,630,184 ................16,726,155 ................65,433,53113. Disability benefits and benefits under accident and health contracts...................................................................................... .......................19,969 .......................22,422 .....................101,15514. Coupons, guaranteed annual pure endowments and similar benefits.................................................................................... ................................... ................................... ...................................15. Surrender benefits and withdrawals for life contracts............................................................................................................. ................81,736,232 ................88,719,223 ..............324,762,62916. Group conversions.................................................................................................................................................................. ................................... ................................... ...................................17. Interest and adjustments on contract or deposit-type contract funds...................................................................................... .....................258,241 .....................634,574 ..................3,531,67318. Payments on supplementary contracts with life contingencies............................................................................................... ..................1,385,645 ..................1,492,286 ..................5,407,45819. Increase in aggregate reserves for life and accident and health contracts............................................................................. ...............(56,226,335) ..................9,870,904 .................(6,496,194)20. Totals (Lines 10 to 19)............................................................................................................................................................ ..............166,959,042 ..............152,826,843 ..............682,843,96321. Commissions on premiums, annuity considerations and deposit-type contract funds (direct business only)......................... ................12,921,853 ................15,621,644 ................54,795,49422. Commissions and expense allowances on reinsurance assumed.......................................................................................... .......................92,974 .....................184,614 .....................547,15423. General insurance expenses.................................................................................................................................................. ................15,957,553 ................19,782,369 ................86,394,57924. Insurance taxes, licenses and fees, excluding federal income taxes...................................................................................... ..................2,509,104 ..................2,569,351 ..................8,552,51225. Increase in loading on deferred and uncollected premiums.................................................................................................... ...........................(290) ...........................(245) ...........................(900)26. Net transfers to or (from) Separate Accounts net of reinsurance............................................................................................ ...............(50,211,562) ...............(59,732,161) .............(207,888,120)27. Aggregate write-ins for deductions.......................................................................................................................................... ...............(21,245,590) .................(7,397,915) ...............(53,255,213)28. Totals (Lines 20 to 27)............................................................................................................................................................ ..............126,983,084 ..............123,854,500 ..............571,989,46929. Net gain from operations before dividends to policyholders and federal income taxes (Line 9 minus Line 28)...................... ...............(28,802,283) ................31,408,317 ..................6,100,74230. Dividends to policyholders...................................................................................................................................................... ................................... ................................... ...................................31. Net gain from operations after dividends to policyholders and before federal income taxes (Line 29 minus Line 30)........... ...............(28,802,283) ................31,408,317 ..................6,100,74232. Federal and foreign income taxes incurred (excluding tax on capital gains).......................................................................... .......................53,043 .................(3,540,540) ...............(27,934,145)33. Net gain from operations after dividends to policyholders and federal income taxes and before realized

capital gains or (losses) (Line 31 minus Line 32).................................................................................................................... ...............(28,855,326) ................34,948,857 ................34,034,88734. Net realized capital gains (losses) (excluding gains (losses) transferred to the IMR) less capital gains

tax of $.....(72,504) (excluding taxes of $.....24,738 transferred to the IMR)........................................................................... .....................212,582 ..................1,580,558 ...............(90,241,934)35. Net income (Line 33 plus Line 34).......................................................................................................................................... ...............(28,642,744) ................36,529,415 ...............(56,207,047)

CAPITAL AND SURPLUS ACCOUNT36. Capital and surplus, December 31, prior year......................................................................................................................... ..............184,097,155 ..............166,732,940 ..............166,732,94037. Net income (Line 35)............................................................................................................................................................... ...............(28,642,744) ................36,529,415 ...............(56,207,047)38. Change in net unrealized capital gains (losses) less capital gains tax of $.....(16,312).......................................................... .................(1,828,735) .................(5,688,938) ................50,653,14839. Change in net unrealized foreign exchange capital gain (loss)............................................................................................... ................................... ................................... ...................................40. Change in net deferred income tax......................................................................................................................................... ..................3,617,868 ...............(14,357,880) ...............(42,314,415)41. Change in nonadmitted assets................................................................................................................................................ .................(5,189,699) ................13,466,905 ................63,413,75842. Change in liability for reinsurance in unauthorized and certified companies.......................................................................... ................................... ................................... ...................................43. Change in reserve on account of change in valuation basis, (increase) or decrease............................................................. ................................... ................................... ...................................44. Change in asset valuation reserve.......................................................................................................................................... ....................(305,586) .....................622,678 ..................1,818,77145. Change in treasury stock........................................................................................................................................................ ................................... ................................... ...................................46. Surplus (contributed to) withdrawn from Separate Accounts during period............................................................................ ................32,160,827 ...............(47,979,762) .............(166,610,045)47. Other changes in surplus in Separate Accounts Statement.................................................................................................... ...............(32,160,827) ................47,979,762 ..............166,610,04548. Change in surplus notes......................................................................................................................................................... ................................... ................................... ...................................49. Cumulative effect of changes in accounting principles........................................................................................................... ................................... ................................... ...................................50. Capital changes:

50.1 Paid in............................................................................................................................................................................ ................................... ................................... ...................................50.2 Transferred from surplus (Stock Dividend).................................................................................................................... ................................... ................................... ...................................50.3 Transferred to surplus................................................................................................................................................... ................................... ................................... ...................................

51. Surplus adjustment:51.1 Paid in............................................................................................................................................................................ ................................... ................................... ...................................51.2 Transferred to capital (Stock Dividend)......................................................................................................................... ................................... ................................... ...................................51.3 Transferred from capital................................................................................................................................................ ................................... ................................... ...................................51.4 Change in surplus as a result of reinsurance................................................................................................................ ................................... ................................... ...................................

52. Dividends to stockholders....................................................................................................................................................... ................................... ................................... ...................................53. Aggregate write-ins for gains and losses in surplus................................................................................................................ ................................0 ................................0 ................................054. Net change in capital and surplus (Lines 37 through 53)........................................................................................................ ...............(32,348,896) ................30,572,180 ................17,364,21555. Capital and surplus as of statement date (Lines 36 + 54)....................................................................................................... ..............151,748,259 ..............197,305,120 ..............184,097,155

DETAILS OF WRITE-INS08.301. Administrative and management fees........................................................................................................................... ..................3,613,609 ..................2,553,682 ................11,908,09808.302. Fees from separate accounts - Modco agreement........................................................................................................ ......................(74,720) .....................136,575 .....................817,87808.303. Income from affiliate notes receivable........................................................................................................................... ................................... ................................... ..................1,206,22408.398. Summary of remaining write-ins for Line 8.3 from overflow page................................................................................. ................................0 ................................0 ................................008.399. Totals (Lines 08.301 thru 08.303 plus 08.398) (Line 8.3 above)................................................................................... ..................3,538,889 ..................2,690,257 ................13,932,2002701. Sales inducement and bonus annuity expense............................................................................................................. .......................75,018 .......................59,045 .....................566,4552702. Reserve adjustments on Modco assumed.................................................................................................................... ...............(21,320,608) .................(7,456,960) .................(3,617,932)2703. Initial Modco reserve..................................................................................................................................................... ................................... ................................... ...............(51,403,736)2798. Summary of remaining write-ins for Line 27 from overflow page.................................................................................. ................................0 ................................0 ..................1,200,0002799. Totals (Lines 2701 thru 2703 plus 2798) (Line 27 above)............................................................................................. ...............(21,245,590) .................(7,397,915) ...............(53,255,213)5301. ....................................................................................................................................................................................... ................................... ................................... ...................................5302. ....................................................................................................................................................................................... ................................... ................................... ...................................5303. ....................................................................................................................................................................................... ................................... ................................... ...................................5398. Summary of remaining write-ins for Line 53 from overflow page.................................................................................. ................................0 ................................0 ................................05399. Totals (Lines 5301 thru 5303 plus 5398) (Line 53 above)............................................................................................. ................................0 ................................0 ................................0


Q05

CASH FLOW1 2 3

Current Year Prior Year Prior Year Endedto Date To Date December 31

CASH FROM OPERATIONS1. Premiums collected net of reinsurance.......................................................................................................................... .................80,249,543 .................84,967,109 ...............317,050,6152. Net investment income.................................................................................................................................................. .................17,817,351 .................18,780,373 .................74,197,8613. Miscellaneous income.................................................................................................................................................... .................31,230,347 ...................2,913,061 ...................9,841,1694. Total (Lines 1 through 3)................................................................................................................................................ ...............129,297,241 ...............106,660,543 ...............401,089,6455. Benefit and loss related payments................................................................................................................................. ...............234,257,536 ...............210,766,424 ...............731,240,3946. Net transfers to Separate Accounts, Segregated Accounts and Protected Cell Accounts............................................ ................(90,295,237) ..............(116,207,837) ..............(381,646,721)7. Commissions, expenses paid and aggregate write-ins for deductions.......................................................................... .................14,140,781 .................59,167,068 ...............131,698,4328. Dividends paid to policyholders..................................................................................................................................... .................................... .................................... ....................................9. Federal and foreign income taxes paid (recovered) net of $..........0 tax on capital gains (losses)................................ ................(16,036,044) ..........................6,436 ........................49,185

10. Total (Lines 5 through 9)................................................................................................................................................ ...............142,067,036 ...............153,732,091 ...............481,341,29011. Net cash from operations (Line 4 minus Line 10).......................................................................................................... ................(12,769,795) ................(47,071,548) ................(80,251,645)

CASH FROM INVESTMENTS12. Proceeds from investments sold, matured or repaid:

12.1 Bonds................................................................................................................................................................... .................37,512,205 .................82,010,634 ...............414,299,26812.2 Stocks.................................................................................................................................................................. .................................... ...................7,298,992 ...................7,298,99212.3 Mortgage loans.................................................................................................................................................... ........................24,977 .................................... ........................49,17612.4 Real estate........................................................................................................................................................... .................................... .................................... ....................................12.5 Other invested assets.......................................................................................................................................... ......................145,658 ......................410,320 ...................1,103,40312.6 Net gains or (losses) on cash, cash equivalents and short-term investments..................................................... .......................(34,739) .................................... .......................(11,062)12.7 Miscellaneous proceeds...................................................................................................................................... ......................264,245 ...................2,119,021 .................22,879,60812.8 Total investment proceeds (Lines 12.1 to 12.7)................................................................................................... .................37,912,346 .................91,838,967 ...............445,619,385

13. Cost of investments acquired (long-term only):13.1 Bonds................................................................................................................................................................... .................60,981,592 .................80,869,582 ...............308,566,16113.2 Stocks.................................................................................................................................................................. .................................... .................................... ....................................13.3 Mortgage loans.................................................................................................................................................... ...................9,000,000 .................................... ...................4,300,00013.4 Real estate........................................................................................................................................................... .................................... .................................... ....................................13.5 Other invested assets.......................................................................................................................................... ......................168,968 ......................161,014 ...................1,856,05113.6 Miscellaneous applications.................................................................................................................................. ...................7,553,822 .................................... ....................................13.7 Total investments acquired (Lines 13.1 to 13.6).................................................................................................. .................77,704,382 .................81,030,596 ...............314,722,212

14. Net increase or (decrease) in contract loans and premium notes................................................................................. ........................50,551 ...................1,029,677 ...................3,414,66315. Net cash from investments (Line 12.8 minus Line 13.7 and Line 14)............................................................................ ................(39,842,587) ...................9,778,694 ...............127,482,510

CASH FROM FINANCING AND MISCELLANEOUS SOURCES16. Cash provided (applied):

16.1 Surplus notes, capital notes................................................................................................................................. .................................... .................................... ....................................16.2 Capital and paid in surplus, less treasury stock................................................................................................... .................................... .................15,000,000 ....................................16.3 Borrowed funds.................................................................................................................................................... .................................... .................................... ....................................16.4 Net deposits on deposit-type contracts and other insurance liabilities................................................................ ..................(3,892,286) ..................(1,236,007) ................(15,554,212)16.5 Dividends to stockholders.................................................................................................................................... .................................... .................................... ....................................16.6 Other cash provided (applied).............................................................................................................................. ..................(7,070,336) ................(27,754,500) ................(56,227,017)

17. Net cash from financing and miscellaneous sources (Lines 16.1 through 16.4 minus Line 16.5 plus Line 16.6).......... ................(10,962,622) ................(13,990,507) ................(71,781,229)

RECONCILIATION OF CASH, CASH EQUIVALENTS AND SHORT-TERM INVESTMENTS18. Net change in cash, cash equivalents and short-term investments (Line 11 plus Line 15 plus Line 17)....................... ................(63,575,004) ................(51,283,361) ................(24,550,364)19. Cash, cash equivalents and short-term investments:

19.1 Beginning of year................................................................................................................................................. ...............109,194,794 ...............133,745,157 ...............133,745,15719.2 End of period (Line 18 plus Line 19.1)................................................................................................................. .................45,619,790 .................82,461,796 ...............109,194,794

Note: Supplemental disclosures of cash flow information for non-cash transactions:20.0001 ............................................................................................................................................................................. .................................... .................................... ....................................


Q06

EXHIBIT 1 DIRECT PREMIUMS AND DEPOSIT-TYPE CONTRACTS

1 2 3Current Year Prior Year Prior Year

To Date To Date Ended December 31

1. Industrial life........................................................................................................................... ................................................... ................................................... ...................................................

2. Ordinary life insurance........................................................................................................... ................................53,350,915 ................................98,880,144 ..............................352,250,008

3. Ordinary individual annuities.................................................................................................. ................................45,255,542 ................................63,185,497 ..............................248,686,181

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

5. Group life insurance............................................................................................................... ................................................... ................................................... ...................................................

6. Group annuities...................................................................................................................... ................................................... ................................................... ...................................................

7. A&H - group............................................................................................................................ ................................................... ................................................... ...................................................

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

9. A&H - other............................................................................................................................. ................................................... ................................................... ...................................................

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

11. Subtotal.................................................................................................................................. ................................98,606,457 ..............................162,065,641 ..............................600,936,189

12. Deposit-type contracts............................................................................................................ ................................................... ................................................... ...................................................

13. Total....................................................................................................................................... ................................98,606,457 ..............................162,065,641 ..............................600,936,189

DETAILS OF WRITE-INS

1001. ............................................................................................................................................... ................................................... ................................................... ...................................................

1002. ............................................................................................................................................... ................................................... ................................................... ...................................................

1003. ............................................................................................................................................... ................................................... ................................................... ...................................................

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

1099. Total (Lines 1001 thru 1003 plus 1098) (Line 10 above)........................................................ ................................................0 ................................................0 ................................................0

1. Accounting Policies

A. The accompanying financial statements of the PHL Variable Insurance Company (“PHL Variable” or

“the Company”) have been prepared in conformity with accounting practices prescribed or permitted by the State of Connecticut Department of Insurance (“the Department”). For determining the Company’s solvency under the State of Connecticut’s insurance laws and regulations, the Department recognizes only statutory accounting practices prescribed or permitted by the state for determining and reporting financial condition and results of operations of the Company. The State of Connecticut has adopted the National Association of Insurance Commissioners’ (NAIC’s) Accounting Practices and Procedures manual, version effective January 1, 2001, (NAIC SAP) as a component of practices prescribed or permitted by the State of Connecticut. The Superintendent of Insurance has the authority to prescribe or permit other specific practices that deviate from prescribed practices. As of March 31, 2018, the Superintendent had not prescribed or permitted the Company to use any accounting practices that would cause the Company’s earnings or financial position to deviate materially from NAIC SAP.

State of Domicile

March 31, 2018

December 31, 2017

NET INCOME(1) PHL Variable state basis (Page 4, Line 35, Columns 1 & 3) CT $ (28,642,744) $ (56,207,047) (2) State Prescribed Practices that increase/(decrease) NAIC SAP CT - - (3) State Permitted Practices that increase/(decrease) NAIC SAP CT - - (4) NAIC SAP (1-2-3=4) CT $ (28,642,744) $ (56,207,047)

SURPLUS(5) PHL Variable state basis (Page 3, Line 38, Columns 1 & 2) CT $ 151,748,259 $ 184,097,155 (6) State Prescribed Practices that increase/(decrease) NAIC SAP CT - - (7) State Permitted Practices that increase/(decrease) NAIC SAP CT - - (8) NAIC SAP (5-6-7=8) CT $ 151,748,259 $ 184,097,155

B. Use of Estimates in the Preparation of the Financial Statements

No material changes C. Accounting Policy

1. No material changes 2. No material changes 3. No material changes 4. No material changes 5. No material changes

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

market value. The Company applies the retrospective method of valuing loan-backed and asset backed securities.

7. No material changes 8. No material changes 9. No material changes 10. No material changes 11. No material changes 12. No material changes 13. No material changes

D. Going Concern

Management has evaluated the Company's ability to continue as a going concern and concluded that there is not substantial doubt about the Company's ability to continue as a going concern.

2. Accounting Changes and Correction of Errors No material changes

3. Business Combinations and Goodwill No material changes


Q07

4. Discontinued Operations

No material changes

5. Investments A. No material changes B. No material changes C. No material changes D. Loan-Backed Securities:

1. Prepayment assumptions for loan-backed securities were obtained from industry pre-payment models or internal estimates. These assumptions are consistent with current interest rates and the economic environment.

2. The Company had no impairments based on the intent to sell or inability or lack of intent to retain the investment for a period of time sufficient to recover the amortized cost basis.

3. The Company had no other-than-temporary impairments for loan-backed securities held as of March 31, 2018.

4 The following table represents all impaired securities for which an OTTI has not been recognized in earnings as a realized loss, including securities with a recognized other than temporary impairment for non-interest related declines when a non-recognized interest related impairment remains, segregated by those securities that have been in a continuous unrealized loss position for less than 12 months, and greater than 12 months.

1. Less than 12 months 479,654$ 2. 12 months or longer 2,701,316$

b. The aggregate related fair value of securities with unrealized losses 1. Less than 12 months 50,728,282$ 2. 12 months or longer 49,259,552$

5. All loan-backed and structured securities in an unrealized loss position were reviewed to determine

whether an other-than-temporary impairment should be recognized. For securities whose present value of cash flows expected to be collected was less than the amortized cost basis of the security at March 31, 2018, an other-than-temporary impairment was recognized. The Company has evaluated its cash flow requirements and believes that its liquidity is adequate and it will not be required to sell other securities before recovery of their cost basis. As of March 31,2018, the Company can assert that it has the intent and believes that it has the ability to hold these securities long enough to allow the cost basis of these securities to be recovered. The conclusions are supported by a detailed analysis of the underlying credit and cash flows on each security. It is possible that the Company could recognize other-than-temporary impairment in the future on some of the securities held at March 31, 2018, if future events, information and the passage of time cause it to conclude that declines in value are other-than-temporary.

E-I. The Company has no investments in repurchase agreements.

J-L. No material changes. M. The Company has no working capital finance investments.

N. Offsetting and Netting of assets and liabilities:

Gross Amount

Recognized Amount Offset

Net Amount

Presented on

Financial Statements

Derivatives 14,596,453$ 860,960$ 13,735,493$

Derivatives 860,960$ 860,960$ ‐$

(2) Liabilities

(1) Assets


Q07.1

O-P. No material changes.

6. Joint Ventures, Partnerships and Limited Liability Companies

No material changes

7. Investment Income

No material changes

8. Derivative Instruments

No material changes

9. Income Taxes

No material changes 10. Information Concerning Parent, Subsidiaries and Affiliates

No material changes

11. Debt A. No material changes

B. FHLB (Federal Home Loan Bank) Agreements

(1) The Company is a member of the Federal Home Loan Bank (FHLB) of Boston. Membership with the FHLB

is part of the Company’s strategy to access funds to support various spread-based businesses and enhance liquidity management. In 2018, the Company did not conduct business activity (borrowing) with the FHLB. The Company has determined the estimated maximum borrowing capacity as $45.4 million. The Company calculated this amount in accordance with Sec. 38a-55 of the Connecticut Code, Hypothecation of Assets, whereby a domestic insurer may not pledge, hypothecate or otherwise encumber its assets to secure its debt in excess of the lesser of 5% of admitted assets or 25% of surplus as reported in its last financial statement filed with the commissioner.

(2) FHLB Capital Stock

a. Aggregate Totals

1. Current Year

1 2 3

Total 2+3General Account

Separate Accounts

(a) Membership Stock - Class A - - -

(b) Membership Stock - Class B 489,100 489,100 -

(c ) Activity Stock - - - (d) Excess Stock 8,200 8,200 - (e) Aggregate Total 497,300 497,300 - (f) Actual or estimated

Borrowing Capacity as Determined by the Insurer 45,399,289$ XXX XXX


Q07.2

2. Prior Year

1 2 3

Total 2+3General Account

Separate Accounts

(a) Membership Stock - Class A - - -

(b) Membership Stock - Class B 489,100 489,100 -

(c ) Activity Stock - - - (d) Excess Stock 8,200 8,200 - (e) Aggregate Total 497,300 497,300 - (f) Actual or estimated

Borrowing Capacity as Determined by the Insurer 40,722,453$ XXX XXX

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

1 23 4 5 6

Current Year Total

(2+3+4+5+6)

Not Eligible for

RedemptionLess Than 6 Months

6 months to Less Than

1 year

1 to Less Than 3 Years

3 to 5 Years

1. Class A - - - - - - 2. Class B 489,100 489,100 - - - -

Membership Stock

Eligible for Redemption

11B(2)b1 Current Year Total (Column 1) should be equal to 11B(2)a1(a) Total (Column 1) 11B(2)b2 Current Year Total (Column 1) should be equal to 11B(2)a1(b) Total (Column 1)

(3) There was no collateral pledged to FHLB (4) There was no borrowing from FHLB

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

A-D. For purposes of statutory accounting, the Company is not directly liable for a defined benefit plan.

E-I. No material changes

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

No material changes

14. Contingencies A – E. No material changes F. All Other Contingencies

Litigation and regulatory matters The Company is regularly involved in litigation and arbitration, both as a defendant and as a plaintiff. The litigation and arbitration naming the Company as a defendant ordinarily involves the Company’s businesses and operations. In certain of these matters, the plaintiffs are seeking large and/or indeterminate amounts, including punitive or exemplary damages. The Company periodically receives informal and formal requests for information from various state and federal governmental agencies and self-regulatory organizations related to the Company’s products and practices. It is the Company’s practice to cooperate fully in these matters. It is not feasible to predict or determine the ultimate outcome of all litigation, arbitration or regulatory proceedings or to provide reasonable ranges of potential losses. It is believed that the outcome of the


Q07.3

Company’s litigation, arbitration, and regulatory matters are not likely, either individually or in the aggregate, to have a material adverse effect on the financial condition of the Company beyond the amounts already reported in these financial statements. However, given the large or indeterminate amounts sought in certain of these matters and the inherent unpredictability of litigation, arbitration and regulatory investigations, it is possible that an adverse outcome in certain matters could, from time to time, have a material adverse effect on the results of operations or cash flows in particular quarterly or annual periods. Cost of insurance litigation and regulatory matters Two putative class actions have been filed in the Southern District of New York challenging certain increases to cost of insurance charges implemented in 2017. Fan et. al. v. Phoenix Life Insurance Company and Nassau Reinsurance Group Holdings L.P., 1:18-cv-01288, was filed on February 13, 2018 and Advance Trust & Life Escrow Services, LTA as Nominee of Life Partners Position Holder Trust v. PHL Variable Life Insurance Company, 1:18-cv-3444, was filed on April 19, 2018. The Company disputes the allegations and intends a vigorous defense. 15. Leases

No material changes

16 Information About Financial Instruments With Off-Balance Sheet Risk and Financial Instruments with Concentrations of Credit Risk No material changes

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

A. The Company did not have any transfers of receivables reported as sales. B. The Company did not have any transfers and servicing of financial assets. C. The Company did not have any wash sales.

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

Plans No material changes

19. Direct Premiums Written/Produced by Managing General Agents/Third Party Administrators No material changes

20. Fair Value Measurement A. The tables below provide information about the Company’s use of fair value measurements

1) Fair Value Measurements at Reporting Date:


Q07.4

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

a. Assets at fair value

BondsU.S. Governments $ - $ - $ 3,435,398 $ 3,435,398 Industrial and Misc. - - - - Hybrid Securities - - - - Parent, Subsidiaries, and Affiliates - - - - Total Bonds - - 3,435,398 3,435,398

Common StockIndustrial and Misc. - 497,300 182,175 679,475 Parent, Subsidiaries, and Affiliates - - - - Total Common Stock - - 497,300 182,175 679,475

Mortgage LoansFirst Leins $ - $ - $ - $ - Other than first leins - - - - Total Mortgage Loans - - - -

Derivative assetsSwaps - - - - Swaption - - Futures - - - - Options - 14,596,453 - 14,596,453 Total Derivatives - 14,596,453 - 14,596,453

Other Invested AssetsSurplus Debentures & Capcos - - - - Transportation Equipment - - - - Joint Venture - - - - Low Income Housing - - - - Total Other Invested Assets - - - -

Separate account assets 1,293,983,713 1,499,258,531 1,248,160,200 4,041,402,444 Total assets at fair value $ 1,293,983,713 $ 1,514,352,284 $ 1,251,777,773 $ 4,060,113,770

b. Liabilities at fair value Derivative liabilities $ - $ 860,960 $ - $ 860,960 Total liabilities at fair value $ - $ 860,960 $ - $ 860,960


Q07.5

2) Fair value measurement in Level 3 of Fair Value:

DescriptionBeginning Balance at

1/1/2018Transfers into

Level 3Transfers out of

Level 3

Total gains and (losses) included in Net Income

Total gains and (losses) included

in Surplus Purchases Issuances Sales Settlements Ending Balance at

3/31/2018 a. Assets at fair value Perpetual Preferred Stock U.S. Governments -$ -$ -$ -$ -$ -$ -$ -$ -$ - Industrial and Misc - - - - - - - - - - Hybrid Securities - - - - - - - - - - Parent, Subsidiaries and Affiliates - - - - - - - - - - Total Perpetual Preferred Stock - - - - - - - - - -

Bonds U.S. Governments - - - - - - - - - - Industrial and Misc - 4,960,020 - - (1,514,627) - - - (9,995) 3,435,398 Hybrid Securities - Parent, Subsidiaries and Affiliates - Total Bonds - 4,960,020 - - (1,514,627) - - - (9,995) 3,435,398

Common Stock Industrial and Misc 679,475 - (497,300) - - - - - - 182,175 Parent, Subsidiaries and Affiliates - - - Total Common Stocks 679,475 - (497,300) - - - - - - 182,175

Other Invested Assets Surplus Debentures & Capcos Transportation Equipment Joint Venture - - - - - - - - - - Low Income Housing Total Other Invested Assets - - - - - - - - - -

Separate account assets 1,280,054,572 - (18,417,074) 50,696 (32,969,874) 34,191,055 521,263 - (15,270,448) 1,248,160,190 Total assets at fair value 1,280,734,047$ 4,960,020$ (18,914,374)$ 50,696$ (34,484,501)$ 34,191,055$ 521,263$ -$ (15,280,443)$ 1,251,777,763$ b. Liabilities at fair value -$ -$ -$ -$ -$ -$ -$ -$ -$ -$

Total liabilities at fair value -$ -$ -$ -$ -$ -$ -$ -$ -$ -$

3) Transfers into Level 3 primarily represent private securities for which Level 2 input assumptions for valuation pricing were no longer applicable. Transfers out of Level 3 primarily represent public securities for which reliable Level 2 input assumptions for valuation pricing became available.

4) Descriptions of valuation techniques and the inputs used in the fair value measurement

a) Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Examples of such instruments include government-backed mortgage products, collateralized mortgages,

debt obligations and certain high-yield debt securities.

b) Level 3 - inputs to the valuation methodology are unobservable and significant to the fair value measurement. Unobservable inputs reflect management’s best estimate of what hypothetical market participants would use to determine fair value. Examples of valuation techniques used based on unobservable inputs include, but are not limited to, internal models, direct broker quotes and professional judgment.

C. Below is a listing of the aggregate fair value for all financial instruments and the level within the fair

value hierarchy:

Type of Financial InstrumentAggregate Fair

Value Admitted Assets (Level 1) (Level 2) (Level 3)Not Practicable

(Carrying Value) AssetsBonds 1,692,203,658$ 1,663,245,184$ -$ 1,100,575,322$ 591,628,336$ -$ Common Stocks 679,475 10,668,765 - 497,300 182,175 Cash, Short Term & Cash Equiv 45,619,789 45,619,789 45,619,789 - - - Preferred Stock 18,153,220 17,734,012 - 9,461,625 8,691,595 - Surplus Debentures & Capcos 2,387,785 2,272,494 - - 2,387,785 - Mortgage Loans 13,225,847 13,225,847 - 13,225,847 Other Invested Assets 12,032,131 12,032,131 - - 12,032,131 - Derivatives 13,735,493 13,735,493 - 13,735,493 - - Separate Account Assets 4,041,402,444 4,041,402,444 1,293,983,713 1,499,258,531 1,248,160,200 - Total Assets 5,839,439,842$ 5,819,936,159$ 1,339,603,502$ 2,623,528,271$ 1,876,308,069$ -$

D. As of March 31, 2018, the Company had no investments where it is not practicable to estimate fair value

21. Other Items No material changes


Q07.6

22. Events Subsequent

The Company evaluated events subsequent to March 31, 2018 and through May 10, 2018, the date of issuance of these financial statements. It has determined there have been no events that have occurred that would require adjustments to our financial statements.

23. Reinsurance

Effective July 1, 2017 (“Amendment Date”) the Company’s modified coinsurance treaty with Nassau Re (Cayman) Ltd., an affiliated entity, was amended to include reinsurance coverage on new Term business issued on or after the Amendment Date.

24. Retrospectively Rated Contracts & Contracts Subject to Redetermination The Company did not report any retrospectively rated contracts or contracts subject to redetermination.

25. Change in Incurred Losses and Loss Adjustment Expenses The Company does not have accident and health contracts.

26. Intercompany Pooling Arrangements No material changes

27. Structured Settlements No material changes

28. Health Care Receivables No material changes

29. Participating Policies No material changes

30. Premium Deficiency Reserves No material changes

31. Reserves for Life Contracts and Deposit-Type Contracts No material changes

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

No material changes

33. Premium and Annuity Considerations Deferred and Uncollected

No material changes 34. Separate Accounts

No material changes

35. Loss/Claim Adjustment Expenses The Company does not have accident and health policies.


Q07.7


Q08

GENERAL INTERROGATORIESPART 1 - COMMON INTERROGATORIES

GENERAL1.1 Did the reporting entity experience any material transactions requiring the filing of Disclosure of Material Transactions with the State of Domicile,

as required by the Model Act? Yes [ ] No [ X ]

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

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

2.2 If yes, date of change:

3.1 Is the reporting entity a member of an Insurance Holding Company System consisting of two or more affiliated persons, one or more of which is an insurer? Yes [ X ] No [ ]If yes, complete Schedule Y, Parts 1 and 1A.

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

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

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

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

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

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

1 2 3

Name of Entity

NAICCompany

CodeState ofDomicile

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

6.1 State as of what date the latest financial examination of the reporting entity was made or is being made. 12/31/2017

6.2 State the as of date that the latest financial examination report became available from either the state of domicile or the reporting entity. This dateshould be the date of the examined balance sheet and not the date the report was completed or released. 12/31/2012

6.3 State as of what date the latest financial examination report became available to other states or the public from either the state of domicile or thereporting entity. This is the release date or completion date of the examination report and not the date of the examination (balance sheet date). 05/28/2014

6.4 By what department or departments?

State of Connecticut Insurance Department

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

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

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

7.2 If yes, give full information:

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

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

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

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

1 2 3 4 5 6Affiliate Name Location (City, State) FRB OCC FDIC SEC

1851 Securities, Inc. Hartford, CT NO NO NO YESSaybrus Equity Services, Inc. Hartford, CT NO NO NO YESAngel Island Capital Services, LLC San Francisco, CA NO NO NO YESAngel Island Capital Management, LLC San Francisco, CA NO NO NO YESGolden Gate Capital San Francisco, CA NO NO NO YESCoramerica Loan Company, Inc. El Segundo, CA NO NO NO YESCoramerica Capital, LLC El Segundo, CA NO NO NO YESGreen Street Advisors, UK, Limited London, UK NO NO NO YESGreen Street Investors, LLC Newport Beach, CA NO NO NO YESGreen Street Trading, LLC Newport Beach, CA NO NO NO YESGreen Street Advisors Newport Beach, CA NO NO NO YES

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

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

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

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

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

(e) Accountability for adherence to the code.

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


Q08.1


9.2 Has the code of ethics for senior managers been amended? Yes [ ] No [ X ]

9.21 If the response to 9.2 is Yes, provide information related to amendment(s).

9.3 Have any provisions of the code of ethics been waived for any of the specified officers? Yes [ ] No [ X ]

9.31 If the response to 9.3 is Yes, provide the nature of any waiver(s).

FINANCIAL10.1 Does the reporting entity report any amounts due from parent, subsidiaries or affiliates on Page 2 of this statement? Yes [ ] No [ X ]

10.2 If yes, indicate any amounts receivable from parent included in the Page 2 amount: $ 0

INVESTMENT11.1 Were any of the stocks, bonds, or other assets of the reporting entity loaned, placed under option agreement, or otherwise made available for

use by another person? (Exclude securities under securities lending agreements.) Yes [ ] No [ X ]

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

12. Amount of real estate and mortgages held in other invested assets in Schedule BA: $ 0

13. Amount of real estate and mortgages held in short-term investments: $ 0

14.1 Does the reporting entity have any investments in parent, subsidiaries and affiliates? Yes [ X ] No [ ]

14.2 If yes, please complete the following:1 2

Prior Year End Book/AdjustedCarrying Value

Current Quarter Book/AdjustedCarrying Value

14.21 Bonds $ 2,564,355 $ 2,570,64714.22 Preferred Stock 0 014.23 Common Stock 10,240,612 9,989,28914.24 Short-Term Investments 0 014.25 Mortgage Loans on Real Estate 0 014.26 All Other 0 014.27 Total Investment in Parent, Subsidiaries and Affiliates (Subtotal Lines 14.21 to 14.26) $ 12,804,967 $ 12,559,93614.28 Total Investment in Parent included in Lines 14.21 to 14.26 above $ 0 $ 0

15.1 Has the reporting entity entered into any hedging transactions reported on Schedule DB? Yes [ X ] No [ ]

15.2 If yes, has a comprehensive description of the hedging program been made available to the domiciliary state? Yes [ X ] No [ ]

If no, attach a description with this statement.

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

16.1 Total fair value of reinvested collateral assets reported on Schedule DL, Parts 1 and 2: $ 0

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

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

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

17.1 For all agreements that comply with the requirements of the NAIC Financial Condition Examiners Handbook, complete the following:1 2

Name of Custodian(s) Custodian AddressJP Morgan Chase 4 New York Plaza, 12th Floor, New York, NY 10004-2413

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

1 2 3Name(s) Location(s) Complete Explanation(s)

17.3 Have there been any changes, including name changes, in the custodian(s) identified in 17.1 during the current quarter? Yes [ ] No [ X ]

17.4 If yes, give full and complete information relating thereto:1 2 3 4

Old Custodian New CustodianDate ofChange Reason

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

1 2Name of Firm or Individual Affiliation

Shott Capital Management UNassau Asset Management Co. A

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

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


Q08.2


17.6 For those firms or individuals listed in the table for 17.5 with an affiliation code of "A" (affiliated) or "U" (unaffiliated), provide the information for the table below.1 2 3 4 5

Central Registration DepositoryNumber Name of Firm or Individual Legal Entity Identifier (LEI) Registered With

InvestmentManagement

Agreement (IMA) FiledCRD# 110084 Shott Capital Management Securities Exchange

CommissionNO

Nassau Asset Management Co. DS18.1 Have all the filing requirements of the Purposes and Procedures Manual of the NAIC Investment Analysis Office been followed? Yes [ X ] No [ ]

18.2 If no, list exceptions:

19. By self-designating 5*GI securities, the reporting entity is certifying the following elements for each self-designated 5*GI security:a. Documentation necessary to permit a full credit analysis of the security does not exist.b. Issuer or obligor is current on all contracted interest and principal payments.c. The insurer has an actual expectation of ultimate payment of all contracted interest and principal.Has the reporting entity self-designated 5*GI securities? Yes [ X ] No [ ]


Q09

GENERAL INTERROGATORIES (continued) PART 2 - LIFE & HEALTH

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

1.1 Long-term mortgages in good standing Amount1.11 Farm mortgages........................................................................................................................................................................................................................ $.............................................1.12 Residential mortgages............................................................................................................................................................................................................... $.............................................1.13 Commercial mortgages............................................................................................................................................................................................................. $..........................13,225,8471.14 Total mortgages in good standing............................................................................................................................................................................................. $..........................13,225,847

1.2 Long-term mortgages in good standing with restructured terms1.21 Total mortgages in good standing with restructured terms........................................................................................................................................................ $.............................................

1.3 Long-term mortgage loans upon which interest is overdue more than three months1.31 Farm mortgages........................................................................................................................................................................................................................ $.............................................1.32 Residential mortgages............................................................................................................................................................................................................... $.............................................1.33 Commercial mortgages............................................................................................................................................................................................................. $.............................................1.34 Total mortgages with interest overdue more than three months............................................................................................................................................... $..........................................0

1.4 Long-term mortgage loans in process of foreclosure1.41 Farm mortgages........................................................................................................................................................................................................................ $.............................................1.42 Residential mortgages............................................................................................................................................................................................................... $.............................................1.43 Commercial mortgages............................................................................................................................................................................................................. $.............................................1.44 Total mortgages in process of foreclosure................................................................................................................................................................................ $..........................................0

1.5 Total mortgage loans (Lines 1.14 + 1.21 + 1.34 + 1.44) (Page 2, Column 3, Lines 3.1 + 3.2) .......................................................................................................... $..........................13,225,847

1.6 Long-term mortgages foreclosed, properties transferred to real estate in current quarter1.61 Farm mortgages........................................................................................................................................................................................................................ $.............................................1.62 Residential mortgages............................................................................................................................................................................................................... $.............................................1.63 Commercial mortgages............................................................................................................................................................................................................. $.............................................1.64 Total mortgages foreclosed and transferred to real estate........................................................................................................................................................ $..........................................0

2. Operating Percentages:2.1 A&H loss percent....................................................................................................................................................................................................................... ...............................................2.2 A&H cost containment percent.................................................................................................................................................................................................. ...............................................2.3 A&H expense percent excluding cost containment expenses................................................................................................................................................... ...............................................

3.1 Do you act as a custodian for health savings accounts?...................................................................................................................................................................... Yes [ ] No [ X ]3.2 If yes, please provide the amount of custodial funds held as of the reporting date.............................................................................................................................. $.............................................3.3 Do you act as an administrator for health savings accounts?............................................................................................................................................................... Yes [ ] No [ X ]3.4 If yes, please provide the balance of the funds administered as of the reporting date......................................................................................................................... $.............................................

4. Is the reporting entity licensed or chartered, registered, qualified, eligible or writing business in at least two states?......................................................................... Yes [ X ] No [ ]4.1 If no, does the reporting entity assume reinsurance business that covers risks residing in at least one state other than the state of domicile

or the reporting entity?.......................................................................................................................................................................................................................... Yes [ ] No [ ]


Q10

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

1 2 3 4 5 6 7 8 9

NAICCompany

Code ID NumberEffective

Date Name of ReinsurerDomiciliaryJurisdiction

Type ofReinsurance

CededType of

Reinsurer

CertifiedReinsurer Rating

(1 through 6)

Effective Dateof CertifiedReinsurer

Rating

NONE


Q11

SCHEDULE T - PREMIUMS AND ANNUITY CONSIDERATIONS Current Year to Date - Allocated by States and Territories

1 Direct Business OnlyLife Contracts 4 5 6 7

2 3

States, Etc.

ActiveStatus

(a)Life Insurance

PremiumsAnnuity

Considerations

A&H InsurancePremiums,

Including PolicyMembership and

Other FeesOther

ConsiderationsTotal Columns 2

through 5Deposit-Type

Contracts1. Alabama.......................................................................................AL ......L.... ..............558,631 ...........1,605,531 ............................ .......................... .............2,164,162 ........................2. Alaska..........................................................................................AK ......L.... ................35,087 ............................ ............................ .......................... ..................35,087 ........................3. Arizona.........................................................................................AZ ......L.... ..............738,137 ...........1,472,663 ............................ .......................... .............2,210,800 ........................4. Arkansas.....................................................................................AR ......L.... ..............389,673 ..............575,834 ............................ .......................... ................965,507 ........................5. California.....................................................................................CA ......L.... .........10,268,480 .........10,697,668 ............................ .......................... ...........20,966,148 ........................6. Colorado.....................................................................................CO ......L.... ..............822,488 ..............731,339 ............................ .......................... .............1,553,828 ........................7. Connecticut..................................................................................CT ......L.... ...........1,461,658 ...........1,266,508 ............................ .......................... .............2,728,166 ........................8. Delaware.....................................................................................DE ......L.... ...........5,810,464 ..............107,000 ............................ .......................... .............5,917,464 ........................9. District of Columbia.....................................................................DC ......L.... ................82,353 ..............505,194 ............................ .......................... ................587,547 ........................10. Florida..........................................................................................FL ......L.... ...........5,229,312 ...........9,826,245 ............................ .......................... ...........15,055,557 ........................11. Georgia.......................................................................................GA ......L.... ...........2,512,808 ...........1,495,530 ............................ .......................... .............4,008,338 ........................12. Hawaii...........................................................................................HI ......L.... ................67,568 ..............146,199 ............................ .......................... ................213,767 ........................13. Idaho.............................................................................................ID ......L.... ..............179,513 ..............363,251 ............................ .......................... ................542,764 ........................14. Illinois.............................................................................................IL ......L.... ...........2,141,635 ...........3,198,481 ............................ .......................... .............5,340,116 ........................15. Indiana..........................................................................................IN ......L.... ..............863,249 ...........1,223,896 ............................ .......................... .............2,087,145 ........................16. Iowa...............................................................................................IA ......L.... ..............441,002 ..............212,842 ............................ .......................... ................653,844 ........................17. Kansas.........................................................................................KS ......L.... ..............616,513 ..............621,871 ............................ .......................... .............1,238,383 ........................18. Kentucky......................................................................................KY ......L.... ..............357,412 ..............750,241 ............................ .......................... .............1,107,653 ........................19. Louisiana......................................................................................LA ......L.... ..............591,660 ..............466,572 ............................ .......................... .............1,058,232 ........................20. Maine..........................................................................................ME ......N... ..................4,970 ............................ ............................ .......................... ....................4,970 ........................21. Maryland.....................................................................................MD ......L.... ..............862,685 ..............740,743 ............................ .......................... .............1,603,428 ........................22. Massachusetts............................................................................MA ......L.... ..............497,552 ..............254,691 ............................ .......................... ................752,243 ........................23. Michigan.......................................................................................MI ......L.... ...........1,489,860 ..............430,669 ............................ .......................... .............1,920,529 ........................24. Minnesota...................................................................................MN ......L.... .........15,804,880 ..............391,028 ............................ .......................... ...........16,195,908 ........................25. Mississippi...................................................................................MS ......L.... ..............415,045 ...........1,502,131 ............................ .......................... .............1,917,175 ........................26. Missouri......................................................................................MO ......L.... ...........1,074,729 ..............661,674 ............................ .......................... .............1,736,403 ........................27. Montana......................................................................................MT ......L.... ..............101,283 ................83,183 ............................ .......................... ................184,466 ........................28. Nebraska.....................................................................................NE ......L.... ..............311,308 ..............489,078 ............................ .......................... ................800,386 ........................29. Nevada........................................................................................NV ......L.... ..............224,489 ..............207,554 ............................ .......................... ................432,044 ........................30. New Hampshire..........................................................................NH ......L.... ..............284,608 ................95,770 ............................ .......................... ................380,378 ........................31. New Jersey..................................................................................NJ ......L.... ...........3,349,993 ...........4,137,439 ............................ .......................... .............7,487,432 ........................32. New Mexico................................................................................NM ......L.... ..............339,197 ...........1,924,516 ............................ .......................... .............2,263,713 ........................33. New York.....................................................................................NY ......N... ...........1,806,328 ..................1,250 ............................ .......................... .............1,807,578 ........................34. North Carolina.............................................................................NC ......L.... ...........1,142,975 ...........1,472,031 ............................ .......................... .............2,615,006 ........................35. North Dakota...............................................................................ND ......L.... ................44,418 ..............106,959 ............................ .......................... ................151,377 ........................36. Ohio.............................................................................................OH ......L.... ...........1,554,736 ...........4,035,390 ............................ .......................... .............5,590,127 ........................37. Oklahoma....................................................................................OK ......L.... ..............580,935 ..............677,221 ............................ .......................... .............1,258,156 ........................38. Oregon........................................................................................OR ......L.... ..............304,469 ..............496,475 ............................ .......................... ................800,944 ........................39. Pennsylvania...............................................................................PA ......L.... ...........3,909,536 ...........2,252,743 ............................ .......................... .............6,162,279 ........................40. Rhode Island................................................................................RI ......L.... ................57,636 ..............141,694 ............................ .......................... ................199,331 ........................41. South Carolina............................................................................SC ......L.... ..............905,093 ...........2,731,970 ............................ .......................... .............3,637,063 ........................42. South Dakota..............................................................................SD ......L.... ...........1,015,031 ..............140,881 ............................ .......................... .............1,155,912 ........................43. Tennessee...................................................................................TN ......L.... ..............940,314 ...........3,436,174 ............................ .......................... .............4,376,488 ........................44. Texas...........................................................................................TX ......L.... ...........8,258,959 ...........2,436,478 ............................ .......................... ...........10,695,437 ........................45. Utah.............................................................................................UT ......L.... ..............461,043 ...........1,275,801 ............................ .......................... .............1,736,843 ........................46. Vermont.......................................................................................VT ......L.... ................16,608 ................68,438 ............................ .......................... ..................85,046 ........................47. Virginia.........................................................................................VA ......L.... ..............988,186 ..............998,612 ............................ .......................... .............1,986,798 ........................48. Washington................................................................................WA ......L.... ..............324,305 ..............525,158 ............................ .......................... ................849,462 ........................49. West Virginia..............................................................................WV ......L.... ................79,961 ................35,663 ............................ .......................... ................115,624 ........................50. Wisconsin.....................................................................................WI ......L.... ..............937,625 ...........1,130,137 ............................ .......................... .............2,067,761 ........................51. Wyoming.....................................................................................WY ......L.... ................99,864 ...............(92,088) ............................ .......................... ....................7,776 ........................52. American Samoa.........................................................................AS ......N... ............................ ............................ ............................ .......................... ...........................0 ........................53. Guam..........................................................................................GU ......N... ............................ ............................ ............................ .......................... ...........................0 ........................54. Puerto Rico..................................................................................PR ......L.... .....................454 ............................ ............................ .......................... .......................454 ........................55. US Virgin Islands..........................................................................VI ......N... .......................97 ............................ ............................ .......................... .........................97 ........................56. Northern Mariana Islands...........................................................MP ......N... ............................ ............................ ............................ .......................... ...........................0 ........................57. Canada.....................................................................................CAN ......N... ................10,374 .....................561 ............................ .......................... ..................10,935 ........................58. Aggregate Other Alien................................................................OT ..XXX.. ................51,693 .........................0 .........................0 .......................0 ..................51,693 .....................059. Subtotal............................................................................................ ..XXX.. .........81,418,880 .........68,056,891 .........................0 .......................0 .........149,475,771 .....................090. Reporting entity contributions for employee benefit plans.............. ..XXX.. ............................ ............................ ............................ .......................... ...........................0 ........................91. Dividends or refunds applied to purchase paid-up

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

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

or other contract provisions.............................................................. ..XXX.. ................37,517 ............................ ............................ .......................... ..................37,517 ........................94. Aggregate other amounts not allocable by State............................ ..XXX.. .........................0 .........................0 .........................0 .......................0 ...........................0 .....................095. Totals (Direct Business)................................................................... ..XXX.. .........81,456,397 .........68,056,891 .........................0 .......................0 .........149,513,288 .....................096. Plus Reinsurance Assumed............................................................. ..XXX.. ..............179,921 ..................2,100 ............................ .......................... ................182,021 ........................97. Totals (All Business)......................................................................... ..XXX.. .........81,636,318 .........68,058,991 .........................0 .......................0 .........149,695,309 .....................098. Less Reinsurance Ceded................................................................. ..XXX.. .........44,535,093 ................54,220 ............................ .......................... ...........44,589,313 ........................99. Totals (All Business) less Reinsurance Ceded............................... ..XXX.. .........37,101,225 .........68,004,771 .........................0 .......................0 .........105,105,996 .....................0

DETAILS OF WRITE-INS58001. AUS.................................................................................................. ..XXX.. ............................ ............................ ............................ .......................... ...........................0 ........................58002. BEL - Belgium.................................................................................. ..XXX.. .....................164 ............................ ............................ .......................... .......................164 ........................58003. CHE - Switzerland............................................................................ ..XXX.. ............................ ............................ ............................ .......................... ...........................0 ........................58998. Summary of remaining write-ins for line 58 from overflow page..... ..XXX.. ................51,529 .........................0 .........................0 .......................0 ..................51,529 .....................058999. Total (Lines 58001 thru 58003 plus 58998) (Line 58 above).......... ..XXX.. ................51,693 .........................0 .........................0 .......................0 ..................51,693 .....................09401. .......................................................................................................... ..XXX.. ............................ ............................ ............................ .......................... ...........................0 ........................9402. .......................................................................................................... ..XXX.. ............................ ............................ ............................ .......................... ...........................0 ........................9403. .......................................................................................................... ..XXX.. ............................ ............................ ............................ .......................... ...........................0 ........................9498. Summary of remaining write-ins for line 94 from overflow page..... ..XXX.. .........................0 .........................0 .........................0 .......................0 ...........................0 .....................09499. Total (Lines 9401 thru 9403 plus 9498) (Line 94 above)................ ..XXX.. .........................0 .........................0 .........................0 .......................0 ...........................0 .....................0

(a) Active Status CountL - Licensed or Chartered - Licensed insurance carrier or domiciled RRG...................................... 50 R - Registered - Non-domiciled RRGs............................................ 0E - Eligible - Reporting entities eligible or approved to write surplus lines in the state ................... 0 Q - Qualified - Qualified or accredited reinsurer............................. 0

N - None of the above - Not allowed to write business in the state 7


Q12

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


Q12.1



Q12.2



Q12.3



Q13

SCHEDULE YPART 1A - DETAIL OF INSURANCE HOLDING COMPANY SYSTEM

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16Name of Type of

Securities ControlExchange (Ownership Is anif Publicly Board, If Control is SCA

NAIC Traded Names of Relationship Management, Ownership FilingGroup Group Company ID Federal (U.S. or Parent, Subsidiaries Domiciliary to Reporting Directly Controlled by Attorney-in-Fact, Provide Ultimate Controlling Required?Code Name Code Number RSSD CIK International) or Affiliates Location Entity (Name of Entity/Person) Influence, Other) Percentage Entity(ies)/Person(s) (Y/N) *Members4736 GGC Group........................... ............. 06-1599088.. ................... ......1129033 ........................ The Phoenix Companies, Inc............................ DE............ UDP............. Nassau Reinsurance Group Holdings, L.P...... Ownership......... ...100.000 David Dominik................................................ .....N....... .............4736 GGC Group........................... ............. ..................... ................... ..................... ........................ DSM Sands LLC............................................... DE............ NIA............... The Phoenix Companies, Inc.......................... Ownership......... ...100.000 David Dominik................................................ .....N....... .............4736 GGC Group........................... ............. 82-3502154.. ................... ..................... ........................ Nassau CLO SPV-I LLC.................................. DE............ NIA............... The Phoenix Companies, Inc.......................... Ownership......... 56.0[1]...... David Dominik................................................ .....N....... .............4736 GGC Group........................... 67814... 06-0493340.. ................... ......1159567 ........................ Phoenix Life Insurance Company..................... NY............ IA................. The Phoenix Companies, Inc.......................... Ownership......... ...100.000 David Dominik & GGCOF Management LLC.. .....N....... .............4736 GGC Group........................... ............. 06-1068485.. ................... ..................... ........................ PM Holdings, Inc.............................................. CT............ DS................ Phoenix Life Insurance Company................... Ownership......... ...100.000 David Dominik................................................ .....N....... .............4736 GGC Group........................... ............. 27-1619945.. ................... ......1482939 ........................ 1851 Securities, Inc.......................................... DE............ DS................ PM Holdings, Inc............................................ Ownership......... ...100.000 David Dominik................................................ .....N....... .............4736 GGC Group........................... ............. 06-0860187.. ................... ..................... ........................ Phoenix Founders, Inc...................................... CT............ DS................ PM Holdings, Inc............................................ Ownership......... ...100.000 David Dominik................................................ .....N....... .............4736 GGC Group........................... 93548... 06-1045829.. ................... ......1031223 ........................ PHL Variable Insurance Company.................... CT............ RE................ The Phoenix Companies, Inc.......................... Ownership......... ...100.000 David Dominik................................................ .....N....... .............4736 GGC Group........................... 93734... 43-1240953.. ................... ....13118221 ........................ Phoenix Life and Annuity Company.................. CT............ DS................ PHL Variable Insurance Company.................. Ownership......... ...100.000 David Dominik................................................ .....N....... .............

4736 GGC Group........................... ............. ..................... ................... ..................... ........................ GGC Opportunity Fund Management GP, Ltd.. CYM......... UIP............... GGC Opportunity Fund Management GP, Ltd.Board ofDirectors ................. ....................................................................... .....N....... .............

4736 GGC Group........................... ............. 98-0546997.. ................... ..................... ........................ GGC Opportunity Fund Management, L.P........ CYM......... UIP............... GGC Opportunity Fund Management GP, Ltd. Contract............ ................. GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. ..................... ................... ..................... ........................ GGC Opportunity Fund Entities[2].................... CYM......... UIP............... GGC Opportunity Fund Management GP, Ltd. Contract............ ................. GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 27-2822251.. ................... ..................... ........................ Financial American Holdings Corporation ........ DE............ NIA............... GGC Opportunity Fund Entities...................... Ownership......... 87.6[3]...... GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... 71455... 37-0857191.. ................... ..................... ........................ Financial American Life Insurance Company.... KS............ IA................. Financial American Holdings Corporation....... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............

4736 GGC Group........................... 21075... 75-6015738.. ................... ..................... ........................Financial American Property and CasualtyInsurance Company TX............. IA................. Financial American Holdings Corporation....... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............

4736 GGC Group........................... ............. 37-1484076.. ................... ..................... ........................ Financial American Insurance Services, Inc...... FL............. NIA............... Financial American Holdings Corporation....... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 20-4197367.. ................... ..................... ........................ Warranty TopCo, Inc......................................... DE............ NIA............... Golden Gate Fund I and II Entities[4].............. Ownership......... 41.6%[5]... GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 20-4197367.. ................... ..................... ........................ Warranty TopCo, Inc......................................... DE............ NIA............... GGCOF Entities[6].......................................... Ownership......... 42.3%[7]... GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 20-4883232.. ................... ..................... ........................ Interstate National Corporation......................... DE............ NIA............... Warranty TopCo, Inc....................................... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 11-3078398.. ................... ..................... ........................ Interstate National Dealer Services, Inc............ DE............ NIA............... Interstate National Corporation....................... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............

4736 GGC Group........................... ............. 11-3284019.. ................... ..................... ........................Interstate National Dealer Services of Florida,Inc. FL............. NIA............... Interstate National Dealer Services, Inc.......... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............

4736 GGC Group........................... ............. 26-0795581.. ................... ..................... ........................ Interstate Roadside Assistance Corporation..... DE............ NIA............... Interstate National Dealer Services, Inc.......... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 35-2346675.. ................... ..................... ........................ Warranty Central, LLC...................................... NY............ NIA............... Interstate National Dealer Services, Inc.......... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 20-1549705.. ................... ..................... ........................ Interstate Administrative Services, Inc.............. DE............ NIA............... Interstate National Dealer Services, Inc.......... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 20-8070016.. ................... ..................... ........................ INDS Canada Holdings, Inc.............................. DE............ NIA............... Interstate National Dealer Services, Inc.......... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............

4736 GGC Group........................... ............. 84401-1122.. ................... ..................... ........................Interstate National Dealer Services CanadaCorp. CAN.......... NIA............... INDS Canada Holdings, Inc............................ Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............

4736 GGC Group........................... ............. 11-3272124.. ................... ..................... ........................ Warranty Direct, Inc.......................................... DE............ NIA............... Interstate National Dealer Services, Inc.......... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 35-2356677.. ................... ..................... ........................ iPay Plan, LLC.................................................. NY............ NIA............... Interstate National Dealer Services, Inc.......... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............

4736 GGC Group........................... ............. 26-3217455.. ................... ..................... ........................Mechanical Breakdown Assistance Company,Inc. DE............ NIA............... Interstate National Dealer Services, Inc.......... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............

4736 GGC Group........................... ............. 65-0868022.. ................... ..................... ........................ Lasas Technologies, Inc................................... FL............. NIA............... Interstate National Dealer Services, Inc.......... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............

4736 GGC Group........................... 10234... 99-0319305.. ................... ..................... ........................National Service Contract Insurance CompanyRisk Retention Group, Inc. DC............ IA................. Interstate National Dealer Services, Inc.......... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............


Q13.1


1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16Name of Type of


NAIC Traded Names of Relationship Management, Ownership FilingGroup Group Company ID Federal (U.S. or Parent, Subsidiaries Domiciliary to Reporting Directly Controlled by Attorney-in-Fact, Provide Ultimate Controlling Required?Code Name Code Number RSSD CIK International) or Affiliates Location Entity (Name of Entity/Person) Influence, Other) Percentage Entity(ies)/Person(s) (Y/N) *4736 GGC Group........................... ............. 81-1620066.. ................... ..................... ........................ Interstate National Services, Inc....................... DE............ NIA............... Interstate National Dealer Services, Inc.......... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 81-1494734.. ................... ..................... ........................ Interstate National Services of Oklahoma, Inc.. DE............ NIA............... Interstate National Dealer Services, Inc.......... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 81-1509710.. ................... ..................... ........................ Insterstate National Services of Florida, Inc...... FL............. NIA............... Interstate National Dealer Services, Inc.......... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 93-1160837.. ................... ..................... ........................ DRG, Inc. d/b/a Payment Insured Plan, Inc...... OR............ NIA............... Interstate National Corporation....................... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 98-0159153.. ................... ..................... ........................ PIPCO Reinsurance Company, Ltd................... TCA.......... IA................. Interstate National Corporation....................... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 93-1198148.. ................... ..................... ........................ National Warranty Corporation.......................... OR............ NIA............... Interstate National Corporation....................... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 27-1434376.. ................... ..................... ........................ Williston Holdings LLC...................................... DE............ NIA............... GGC Opportunity Fund Entities...................... Ownership......... 96.0[8]...... GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 27-1434397.. ................... ..................... ........................ Williston Financial Group LLC........................... DE............ NIA............... Williston Holdings LLC.................................... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 36-4875018.. ................... ..................... ........................ 75 Peachtree LLC............................................. DE............ NIA............... Williston Financial Group LLC......................... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 36-4888418.. ................... ..................... ........................ 81 Van Etten LLC............................................. DE............ NIA............... Williston Financial Group LLC......................... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 27-3972891.. ................... ..................... ........................ Valutrust Solutions, LLC................................... KS............ NIA............... Williston Financial Group LLC......................... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 20-5836762.. ................... ..................... ........................ WFG Lender Services, LLC.............................. MN............ NIA............... Williston Financial Group LLC......................... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 80-0936767.. ................... ..................... ........................ WFG Lender Services, LLC.............................. AL............. NIA............... WFG Lender Services, LLC............................ Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 80-0766075.. ................... ..................... ........................ WFG Lender Services, LLC.............................. AR............ NIA............... WFG Lender Services, LLC............................ Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 26-4627021.. ................... ..................... ........................ WFG Lender Services, LLC.............................. TX............. NIA............... WFG Lender Services, LLC............................ Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 20-8801713.. ................... ..................... ........................ WFGLS Title Agency of Utah, LLC................... UT............ NIA............... WFG Lender Services, LLC............................ Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 27-0890944.. ................... ..................... ........................ WFG National Title Company of Texas, LLC.... TX............. NIA............... Williston Financial Group LLC......................... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............

4736 GGC Group........................... ............. 27-1273851.. ................... ..................... ........................ Universal Title Partners, LLC............................ TX............. NIA............... WFG National Title Company of Texas, LLC[9] Ownership......... .....51.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 27-1273851.. ................... ..................... ........................ Universal Title Partners, LLC............................ TX............. NIA............... Newmark Homes Houston, LLC[10]................ Ownership......... .....49.000 Unknown (not affiliated with the GGC Group) .....N....... .............4736 GGC Group........................... 51152... 57-0575396.. ................... ..................... ........................ WFG National Title Insurance Company........... SC............ IA................. Williston Financial Group LLC......................... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............

4736 GGC Group........................... ............. 26-0522240.. ................... ..................... ........................WFG National Title Company of Washington,LLC WA........... NIA............... WFG National Title Insurance Company......... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............

4736 GGC Group........................... ............. 47-2160319.. ................... ..................... ........................Homer Recording District Joint Title PlantCompany LLC AK............ NIA............... WFG National Title Insurance Company[11]... Ownership......... .....10.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............

4736 GGC Group........................... ............. 47-2160319.. ................... ..................... ........................Homer Recording District Joint Title PlantCompany LLC AK............ NIA............... Kachemak Bay Title Agency, Inc.[12].............. Ownership......... .....90.000 Unknown (not affiliated with the GGC Group) .....N....... .............

4736 GGC Group........................... ............. 45-2654474.. ................... ..................... ........................Williston Enterprise Solutions & Technology,LLC DE............ NIA............... Williston Financial Group LLC......................... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............

4736 GGC Group........................... ............. 80-0268853.. ................... ..................... ........................ ITC Holdings, Inc.............................................. CA............ NIA............... Williston Financial Group LLC......................... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............4736 GGC Group........................... ............. 95-3621359.. ................... ..................... ........................ WFG National Title Company of California ..... CA............ NIA............... ITC Holdings, Inc............................................ Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............

4736 GGC Group........................... ............. 38-4008723.. ................... ..................... ........................WFG National Title Company of Clark CountyWA, LLC WA........... NIA............... Williston Financial Group LLC......................... Ownership......... ...100.000 GGC Opportunity Fund Management GP, Ltd. .....N....... .............

4736 GGC Group........................... ............. 46-4477754.. ................... ..................... ........................ GGCOF Management, LLC.............................. DE............ NIA............... David Dominik................................................ Ownership......... ...100.000 David Dominik................................................ .....N....... .............4736 GGC Group........................... ............. 94-3361271.. ................... ..................... ........................ Golden Gate Private Equity, Inc........................ DE............ NIA............... GGCOF Management, LLC............................ Ownership......... ...100.000 David Dominik................................................ .....N....... .............4736 GGC Group........................... ............. N/A............... ................... ..................... ........................ GGC Fund III[13].............................................. CYM......... NIA............... ....................................................................... Ownership......... 100.0[14]... ....................................................................... .....N....... .............


Q13.2


1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16Name of Type of


NAIC Traded Names of Relationship Management, Ownership FilingGroup Group Company ID Federal (U.S. or Parent, Subsidiaries Domiciliary to Reporting Directly Controlled by Attorney-in-Fact, Provide Ultimate Controlling Required?Code Name Code Number RSSD CIK International) or Affiliates Location Entity (Name of Entity/Person) Influence, Other) Percentage Entity(ies)/Person(s) (Y/N) *4736 GGC Group........................... ............. 98-1250709.. ................... ..................... ........................ Nassau Holdings, LP........................................ CYM......... NIA............... GGC Fund III[15]............................................ Ownership......... 88.0[16].... ....................................................................... .....N....... .............4736 GGC Group........................... ............. 98-1269725.. ................... ..................... ........................ Nassau UK Ltd................................................. GBR.......... NIA............... Nassau Holdings, L.P..................................... Ownership......... ...100.000 David Dominik................................................ .....N....... .............4736 GGC Group........................... ............. N/A............... ................... ..................... ........................ Nassau Cayman Ltd......................................... CYM......... NIA............... Nassau UK Ltd............................................... Ownership......... ...100.000 David Dominik................................................ .....N....... .............4736 GGC Group........................... ............. N/A............... ................... ..................... ........................ Nassau Re (Cayman) Ltd................................. CYM......... NIA............... Nassau Holdings, L.P..................................... Ownership......... 100.0[17]... David Dominik................................................ .....N....... .............4736 GGC Group........................... ............. N/A............... ................... ..................... ........................ Magni Re Ltd.................................................... CYM......... NIA............... Nassau Holdings, L.P..................................... Ownership......... ...100.000 David Dominik................................................ .....N....... .............4736 GGC Group........................... ............. ..................... ................... ..................... ........................ PML International Insurance Limited................. BMU......... NIA............... Nassau Cayman Ltd....................................... Ownership......... ...100.000 David Dominik................................................ .....N....... .............4736 GGC Group........................... ............. 47-5299012.. ................... ..................... ........................ Nassau Reinsurance Group Holdings GP, LLC. DE............ NIA............... Nassau Holdings, L.P..................................... Ownership......... ...100.000 David Dominik................................................ .....N....... .............

4736 GGC Group........................... ............. 38-3981572.. ................... ..................... ........................ Nassau Reinsurance Group Holdings, LP......... DE............ UIP............... Nassau Reinsurance Group Holdings GP, LLC Contract............ ................. David Dominik................................................ .....N....... .............4736 GGC Group........................... ............. 47-5128985.. ................... ..................... ........................ NSRE Holdings, Inc.......................................... DE............ NIA............... Nassau Reinsurance Group Holdings, L.P...... Ownership......... ...100.000 David Dominik................................................ .....N....... .............4736 GGC Group........................... 62359... 36-1824600.. ................... ..................... ........................ Constitution Life Insurance Company............... TX............. IA................. NSRE Holdings, Inc........................................ Ownership......... ...100.000 Golden Gate Private Equity, Inc...................... .....N....... .............4736 GGC Group........................... 68284... 48-0557726.. ................... ..................... ........................ The Pyramid Life Insurance Company.............. KS............ IA................. NSRE Holdings, Inc........................................ Ownership......... ...100.000 GGCOF Executive Co-Invest Holdings Ltd..... .....N....... .............4736 GGC Group........................... ............. 81-3180396.. ................... ..................... ........................ NSRE Saybrus Holdings, LLC.......................... DE............ NIA............... Nassau Reinsurance Group Holdings, L.P...... Ownership......... ...100.000 David Dominik................................................ .....N....... .............4736 GGC Group........................... ............. 27-0671327.. ................... ..................... ........................ Saybrus Partners, Inc....................................... DE............ NIA............... NSRE Saybrus Holdings, LLC........................ Ownership......... 85.456 [18] David Dominik................................................ .....N....... .............4736 GGC Group........................... ............. 37-1872368.. ................... ..................... ........................ Saybrus Management Holding Company Inc.... DE............ NIA............... Saybrus Partners, Inc..................................... Ownership......... ...100.000 David Dominik................................................ .....N....... .............4736 GGC Group........................... ............. 27-1629423.. ................... ..................... ........................ Saybrus Holdings Inc........................................ DE............ NIA............... Saybrus Partners, Inc..................................... Ownership......... ...100.000 David Dominik................................................ .....N....... .............4736 GGC Group........................... ............. 27-1869321.. ................... ..................... ........................ Saybrus Equity Services, Inc............................ DE............ NIA............... Saybrus Holdings, Inc..................................... Ownership......... ...100.000 David Dominik................................................ .....N....... .............4736 GGC Group........................... ............. 47-3724102.. ................... ..................... ........................ Nassau Reinsurance LLC................................. DE............ NIA............... Nassau Reinsurance Group Holdings, L.P...... Ownership......... ...100.000 David Dominik................................................ .....N....... .............4736 GGC Group........................... ............. 81-0773412.. ................... ..................... ........................ Nassau Asset Management LLC...................... DE............ NIA............... Nassau Reinsurance Group Holdings, L.P...... Ownership......... ...100.000 David Dominik................................................ .....N....... .............4736 GGC Group........................... ............. 26-4145792.. ................... ..................... ........................ CorAmerica Capital, LLC.................................. DE............ NIA............... Nassau Asset Management LLC..................... Ownership......... ...100.000 David Dominik................................................ .....N....... .............4736 GGC Group........................... ............. 26-4145792.. ................... ..................... ........................ CorAmerica Loan Company, LLC..................... DE............ NIA............... CorAmerican Capital, LLC.............................. Ownership......... ...100.000 David Dominik................................................ .....N....... .............4736 GGC Group........................... ............. 46-3781541.. ................... ..................... ........................ CorAmerica Advisors, LLC................................ DE............ NIA............... CorAmerican Capital, LLC.............................. Ownership......... ...100.000 David Dominik................................................ .....N....... .............4736 GGC Group........................... ............. 35-2586068.. ................... ..................... ........................ Nassau Corporate Credit LLC........................... DE............ NIA............... Nassau Asset Management LLC..................... Ownership......... ...100.000 David Dominik................................................ .....N....... .............4736 GGC Group........................... ............. N/A............... ................... ..................... ........................ NCC CLO Manager LLC................................... DE............ NIA............... Nassau Corporate Credit LLC......................... Ownership......... ...100.000 David Dominik................................................ .....N....... .............

Asterisk Explanation1 Employees of The Phoenix Companies, Inc. and its affiliates own 44.00%2 The GGC Opportunity Fund Entities are comprised of: (i) Golden Gate Capital Opportunity Fund, L.P. (#98-0546998); (ii) Golden Gate Capital Opportunity Fund-A, L.P. (#98-0546999); (iii) GGCOF Co-Invest, L.P (#98-0572954);

(iv) GGCOF Third Party Co-Invest, L.P. (#98-0572955); (v) GGCOF Executive Co-Invest, L.P. (#98-1033052); and (vi) GGCOF IRA Co-Invest, L.P. (#98-1033053).3 Three individuals own 12.37%. No one individual owns more than 10%4 The Golden Gate Fund I and II Entities are comprised of: (i) Golden Gate Capital Investment Fund II, L.P., (ii) Golden Gate Capital Investment Fund II (AI), L.P., (iii) Golden Gate Capital Associates II-QP, LLC,

(iv) Golden Gate Capital Associates II-AI, LLC, (v) CCG AV, LLC - Series C, (vi) CCG AV, LLC - Series G, (vii) CCG AV, LLC - Series I (Bain).5 The GGCOF Entities own 42.3%. Members of management and individuals who sold their business to Warranty Topco, Inc. own the remaining 16.1%. None of these individuals own more than 10%.6 The GGCOF Entities are comprised of (i) Golden Gate Capital Opportunity Fund, L.P., (ii) Golden Gate Capital Opportunity Fund-A, L.P., (iii) GGCOF Co-Invest, L.P. and (iv) GGCOF Third-Party Co-Invest, L.P.7 The Golden Gate Fund I and II Entities own 41.6%. Members of management and individuals who sold their business to Warranty Topco, Inc. own the remaining 16.1%. None of these individuals own more than 10%.8 Percentage represents the aggregate ownership among the GGC Opportunity Fund Entities.9 Newmark Homes Houston, LLC (listed above) owns the remaining 49% of Universal Title Partners, LLC.


Q13.3


1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16Name of Type of


NAIC Traded Names of Relationship Management, Ownership FilingGroup Group Company ID Federal (U.S. or Parent, Subsidiaries Domiciliary to Reporting Directly Controlled by Attorney-in-Fact, Provide Ultimate Controlling Required?Code Name Code Number RSSD CIK International) or Affiliates Location Entity (Name of Entity/Person) Influence, Other) Percentage Entity(ies)/Person(s) (Y/N) *10 WFG National Title Company of Texas, LLC (listed above) owns the remaining 51% of Universal Title Partners, LLC.11 Kachemak Bay Title Agency, Inc. (listed above) owns the remaining 90% of Homer Recording District Joint Title Plant Company LLC.12 WFG National Title Insurance Company (listed above) owns the remaining 10% of Homer Recording District Joint Title Plant Company LLC.13 "GGC Fund III" represents Golden Gate Capital Opportunity Fund, L.P.; Golden Gate Capital Opportunity Fund-A, L.P. and GGCOF IRA Co-Invest L.P.14 Percentage represents the aggregate ownership among the GGC Fund III entities15 The general partner of Nassau Holdings, LP is GGCOF Executive Co-Invest Holdings Ltd.16 Percentage represents the aggregate ownership among the GGC Opportunity Fund Entities. No person owns 10% or more of the remaining ownership intrests.17 Non-voting shares of Nassaur Re (Cayman) Ltd. Are held by Nassau Cayman Ltd.18 No person owns 10% or more of the remaining ownership interests.


Q14

SUPPLEMENTAL EXHIBITS AND SCHEDULES INTERROGATORIESThe following supplemental reports are required to be filed as part of your statement filing. However, in the event that your company does not transact the type ofbusiness for which the special report must be filed, your response of NO to the specific interrogatory will be accepted in lieu of filing a "NONE" report and a bar codewill be printed below. If the supplement is required of your company but is not being filed for whatever reason, enter SEE EXPLANATION and provide anexplanation following the interrogatory questions.

Response

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

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

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

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

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

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

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

Explanations:1. The data for this supplement is not required to be filed.2. The data for this supplement is not required to be filed.3. The data for this supplement is not required to be filed.4.5. The data for this supplement is not required to be filed.6. The data for this supplement is not required to be filed.7.

Bar Code:

*93548201849000001* *93548201844700001*

*93548201836500001* *93548201844800001*

*93548201844500001*


Q15

Overflow Page for Write-Ins

Additional Write-ins for Summary of Operations:1 2 3

Current Prior Prior Year EndedYear to Date Year to Date December 31

2704. Legal policy expense..................................................................................................................................................... ................................... ................................... ..................1,200,0002797. Summary of remaining write-ins for Line 27.................................................................................................................. ................................0 ................................0 ..................1,200,000

Additional Write-Ins for Schedule T:1 Direct Business Only

Life Contracts 4 5 6 72 3

States, Etc.

ActiveStatus

(a)Life Insurance

PremiumsAnnuity

Considerations

A&H InsurancePremiums,

Including PolicyMembership and

Other FeesOther

ConsiderationsTotal Columns 2

through 5Deposit-Type

Contracts58004. GBR - Great Britain.......................................................................... ..XXX.. ..................1,806 ............................ ............................ .......................... ....................1,806 ........................58005. ISR - Israel........................................................................................ ..XXX.. .......................57 ............................ ............................ .......................... .........................57 ........................58006. NLD - Netherland............................................................................. ..XXX.. .....................252 ............................ ............................ .......................... .......................252 ........................58007. SGP - Singapore.............................................................................. ..XXX.. .....................133 ............................ ............................ .......................... .......................133 ........................58008. SWE - Sweden................................................................................. ..XXX.. ............................ ............................ ............................ .......................... ...........................0 ........................58009. APO.................................................................................................. ..XXX.. ............................ ............................ ............................ .......................... ...........................0 ........................58010. DEU.................................................................................................. ..XXX.. ................48,000 ............................ ............................ .......................... ..................48,000 ........................58011. JPN................................................................................................... ..XXX.. .....................706 ............................ ............................ .......................... .......................706 ........................58012. IRE.................................................................................................... ..XXX.. .....................575 ............................ ............................ .......................... .......................575 ........................58997. Summary of remaining write-ins for line 58..................................... ..XXX.. ................51,529 .........................0 .........................0 .......................0 ..................51,529 .....................0


QSI01

SCHEDULE A - VERIFICATION Real Estate

1 2Prior Year Ended

Year to Date December 311. Book/adjusted carrying value, December 31 of prior year....................................................................................................... ...................................................0 ......................................................2. Cost of acquired:

2.1 Actual cost at time of acquisition...................................................................................................................................... ...................................................... ......................................................2.2 Additional investment made after acquisition................................................................................................................... ...................................................... ......................................................

3. Current year change in encumbrances................................................................................................................................... ...................................................... ......................................................4. Total gain (loss) on disposals.................................................................................................................................................. ...................................................... ......................................................5. Deduct amounts received on disposals................................................................................................................................... ...................................................... ......................................................6. Total foreign exchange change in book/adjusted carrying value............................................................................................. ...................................................... ......................................................7. Deduct current year's other-than-temporary impairment recognized...................................................................................... ...................................................... ......................................................8. Deduct current year's depreciation.......................................................................................................................................... ...................................................... ......................................................9. Book/adjusted carrying value at end of current period (Lines 1+2+3+4-5+6-7-8)................................................................... ...................................................0 ...................................................0

10. Deduct total nonadmitted amounts.......................................................................................................................................... ...................................................... ......................................................11. Statement value at end of current period (Line 9 minus Line 10)............................................................................................ ...................................................0 ...................................................0

NONE

SCHEDULE B - VERIFICATION Mortgage Loans

1 2Prior Year Ended

Year to Date December 311. Book value/recorded investment excluding accrued interest, December 31 of prior year....................................................... .....................................4,250,824 ......................................................2. Cost of acquired:

2.1 Actual cost at time of acquisition...................................................................................................................................... .....................................9,000,000 .....................................4,300,0002.2 Additional investment made after acquisition................................................................................................................... ...................................................... ......................................................

3. Capitalized deferred interest and other................................................................................................................................... ...................................................... ......................................................4. Accrual of discount.................................................................................................................................................................. ...................................................... ......................................................5. Unrealized valuation increase (decrease)............................................................................................................................... ...................................................... ......................................................6. Total gain (loss) on disposals.................................................................................................................................................. ...................................................... ......................................................7. Deduct amounts received on disposals................................................................................................................................... ..........................................24,977 ..........................................49,1768. Deduct amortization of premium and mortgage interest points and commitment fees............................................................ ...................................................... ......................................................9. Total foreign exchange change in book value/recorded investment excluding accrued interest............................................. ...................................................... ......................................................

10. Deduct current year's other-than-temporary impairment recognized...................................................................................... ...................................................... ......................................................11. Book value/recorded investment excluding accrued interest at end of current period (Lines 1+2+3+4+5+6-7-8+9-10)......... ...................................13,225,847 .....................................4,250,82412. Total valuation allowance........................................................................................................................................................ ...................................................... ......................................................13. Subtotal (Line 11 plus Line 12)................................................................................................................................................ ...................................13,225,847 .....................................4,250,82414. Deduct total nonadmitted amounts.......................................................................................................................................... ...................................................... ......................................................15. Statement value at end of current period (Line 13 minus Line 14).......................................................................................... ...................................13,225,847 .....................................4,250,824

SCHEDULE BA - VERIFICATION Other Long-Term Invested Assets

1 2Prior Year Ended

Year to Date December 311. Book/adjusted carrying value, December 31 of prior year....................................................................................................... ...................................14,168,654 ...................................13,857,8802. Cost of acquired:

2.1 Actual cost at time of acquisition...................................................................................................................................... ..........................................44,296 .....................................1,599,8612.2 Additional investment made after acquisition................................................................................................................... ........................................124,672 ........................................256,190

3. Capitalized deferred interest and other................................................................................................................................... ...................................................... ......................................................4. Accrual of discount.................................................................................................................................................................. ...................................................... ......................................................5. Unrealized valuation increase (decrease)............................................................................................................................... ........................................426,322 ........................................352,5156. Total gain (loss) on disposals.................................................................................................................................................. ...................................................... ......................................................7. Deduct amounts received on disposals................................................................................................................................... ........................................459,318 .....................................1,897,7928. Deduct amortization of premium and depreciation.................................................................................................................. ...................................................... ......................................................9. Total foreign exchange change in book/adjusted carrying value............................................................................................. ...................................................... ......................................................10. Deduct current year's other-than-temporary impairment recognized...................................................................................... ...................................................... ......................................................11. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5+6-7-8+9-10)......................................................... ...................................14,304,625 ...................................14,168,65412. Deduct total nonadmitted amounts.......................................................................................................................................... ...................................................... ........................................247,47513. Statement value at end of current period (Line 11 minus Line 12).......................................................................................... ...................................14,304,625 ...................................13,921,179

SCHEDULE D - VERIFICATION Bonds and Stocks

1 2Prior Year Ended

Year to Date December 311. Book/adjusted carrying value of bonds and stocks, December 31 of prior year...................................................................... ..............................1,673,779,978 ..............................1,775,150,0322. Cost of bonds and stocks acquired......................................................................................................................................... ...................................57,680,682 .................................315,985,5123. Accrual of discount.................................................................................................................................................................. ........................................696,519 .....................................2,188,4124. Unrealized valuation increase (decrease)............................................................................................................................... ....................................(1,770,378) .......................................(655,985)5. Total gain (loss) on disposals.................................................................................................................................................. ........................................178,206 .....................................8,072,0586. Deduct consideration for bonds and stocks disposed of......................................................................................................... ...................................38,457,450 .................................424,511,9437. Deduct amortization of premium.............................................................................................................................................. ........................................527,572 .....................................2,063,1088. Total foreign exchange change in book/adjusted carrying value............................................................................................. ...................................................... ......................................................9. Deduct current year's other-than-temporary impairment recognized...................................................................................... ........................................165,000 ........................................385,000

10. Total investment income recognized as a result of prepayment penalties and/or acceleration fees....................................... ........................................232,975 ......................................................11. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9+10)......................................................... ..............................1,691,647,960 ..............................1,673,779,97812. Deduct total nonadmitted amounts.......................................................................................................................................... ...................................................... ......................................................13. Statement value at end of current period (Line 11 minus Line 12).......................................................................................... ..............................1,691,647,960 ..............................1,673,779,978


QSI02

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

During the Current Quarter for all Bonds and Preferred Stock by NAIC Designation1 2 3 4 5 6 7 8

Book/Adjusted Carrying Acquisitions Dispositions Non-Trading Activity Book/Adjusted Carrying Book/Adjusted Carrying Book/Adjusted Carrying Book/Adjusted Carrying Value Beginning During During During Value End of Value End of Value End of Value December 31

NAIC Designation of Current Quarter Current Quarter Current Quarter Current Quarter First Quarter Second Quarter Third Quarter Prior Year

BONDS

1. NAIC 1 (a)................................................................................................... .......................1,052,059,932 ............................49,118,771 ............................60,223,560 ..............................8,139,269 .......................1,049,094,412 ............................................... ............................................... .......................1,052,059,932

2. NAIC 2 (a)................................................................................................... ..........................553,356,918 ............................17,486,304 ..............................9,612,909 ............................24,081,358 ..........................585,311,671 ............................................... ............................................... ..........................553,356,918

3. NAIC 3 (a)................................................................................................... ............................43,223,461 .................................850,500 ..............................2,940,765 ...........................(36,541,323) ..............................4,591,873 ............................................... ............................................... ............................43,223,461

4. NAIC 4 (a)................................................................................................... ............................15,675,319 ...................................20,177 .................................179,328 .............................(3,373,922) ............................12,142,246 ............................................... ............................................... ............................15,675,319

5. NAIC 5 (a)................................................................................................... ..............................5,721,817 .................................152,308 .....................................1,452 ..............................2,796,911 ..............................8,669,584 ............................................... ............................................... ..............................5,721,817

6. NAIC 6 (a)................................................................................................... ............................................... ............................................... ............................................... ..............................3,435,398 ..............................3,435,398 ............................................... ............................................... ...............................................

7. Total Bonds................................................................................................. .......................1,670,037,447 ............................67,628,060 ............................72,958,014 .............................(1,462,309) .......................1,663,245,184 ............................................0 ............................................0 .......................1,670,037,447

PREFERRED STOCK

8. NAIC 1........................................................................................................ ..............................7,914,625 ............................................... ............................................... ............................................... ..............................7,914,625 ............................................... ............................................... ..............................7,914,625

9. NAIC 2........................................................................................................ ..............................8,179,028 ............................................... ............................................... ............................................... ..............................8,179,028 ............................................... ............................................... ..............................8,179,028

10. NAIC 3........................................................................................................ ............................................... ............................................... ............................................... ............................................... ............................................0 ............................................... ............................................... ...............................................

11. NAIC 4........................................................................................................ ............................................... ............................................... ............................................... ............................................... ............................................0 ............................................... ............................................... ...............................................

12. NAIC 5........................................................................................................ ..............................1,640,359 ............................................... ............................................... ............................................... ..............................1,640,359 ............................................... ............................................... ..............................1,640,359

13. NAIC 6........................................................................................................ ............................................... ............................................... ............................................... ............................................... ............................................0 ............................................... ............................................... ...............................................

14. Total Preferred Stock.................................................................................. ............................17,734,012 ............................................0 ............................................0 ............................................0 ............................17,734,012 ............................................0 ............................................0 ............................17,734,012

15. Total Bonds and Preferred Stock................................................................. .......................1,687,771,459 ............................67,628,060 ............................72,958,014 .............................(1,462,309) .......................1,680,979,196 ............................................0 ............................................0 .......................1,687,771,459(a) Book/Adjusted Carrying Value column for the end of the current reporting period includes the following amount of short-term and cash equivalent bonds by NAIC designation:

NAIC 1 $..........0; NAIC 2 $..........0; NAIC 3 $..........0; NAIC 4 $..........0; NAIC 5 $..........0; NAIC 6 $..........0.


QSI03

SCHEDULE DA - PART 1 Short-Term Investments

1 2 3 4 5Book/Adjusted Actual Interest Collected Paid for Accrued InterestCarrying Value Par Value Cost Year To Date Year To Date

9199999......................................... ................................................ ....................XXX..................... ................................................ .........................................908 ................................................

SCHEDULE DA - VERIFICATION Short-Term Investments

1 2Prior Year Ended

Year To Date December 31

1. Book/adjusted carrying value, December 31 of prior year................................................................................................. ......................................24,911,567 ........................................1,560,836

2. Cost of short-term investments acquired........................................................................................................................... ........................................9,947,378 ....................................113,005,718

3. Accrual of discount............................................................................................................................................................. .............................................52,805 ...........................................242,598

4. Unrealized valuation increase (decrease).......................................................................................................................... ......................................................... ..........................................(803,783)

5. Total gain (loss) on disposals............................................................................................................................................ ............................................(34,739) ............................................(10,999)

6. Deduct consideration received on disposals...................................................................................................................... ......................................34,877,011 ......................................89,082,803

7. Deduct amortization of premium........................................................................................................................................ ......................................................... .........................................................

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

9. Deduct current year's other-than-temporary impairment recognized................................................................................. ......................................................... .........................................................

10. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9)......................................................... ......................................................0 ......................................24,911,567

11. Deduct total nonadmitted amounts.................................................................................................................................... ......................................................... .........................................................

12. Statement value at end of current period (Line 10 minus Line 11).................................................................................... ......................................................0 ......................................24,911,567


QSI04

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

1. Book/adjusted carrying value, December 31, prior year (Line 9, prior year).............................................................................................................................................. 13,907,647

2. Cost paid/(consideration received) on additions........................................................................................................................................................................................ 214,996

3. Unrealized valuation increase/(decrease).................................................................................................................................................................................................. (187,324)

4. Total gain (loss) on termination recognized............................................................................................................................................................................................... 279,417

5. Considerations received/(paid) on terminations......................................................................................................................................................................................... 479,243

6. Amortization...............................................................................................................................................................................................................................................

7. Adjustment to the book/adjusted carrying value of hedge item..................................................................................................................................................................

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

9. Book/adjusted carrying value at end of current period (Lines 1 + 2 + 3 + 4 - 5 + 6 + 7 + 8)...................................................................................................................... 13,735,493

10. Deduct nonadmitted assets........................................................................................................................................................................................................................

11. Statement value at end of current period (Line 9 minus Line 10)............................................................................................................................................................... 13,735,493

SCHEDULE DB - PART B - VERIFICATIONFutures Contracts

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

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

3.1 Add:

Change in variation margin on open contracts - Highly Effective Hedges:

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

3.12 Section 1, Column 15, prior year...................................................... 0

Change in variation margin on open contracts - All Other:


3.14 Section 1, Column 18, prior year...................................................... 0 0

3.2 Add:

Change in adjustment to basis of hedged item:


3.22 Section 1, Column 17, prior year...................................................... 0

Change in amount recognized:


3.24 Section 1, Column 19, prior year...................................................... 0 0

3.3 Subtotal (Line 3.1 minus Line 3.2).............................................................................................................................................................................................................. 0

4.1 Cumulative variation margin on terminated contracts during the year.......................................................

4.2 Less:

4.21 Amount used to adjust basis of hedged item...................................

4.22 Amount recognized.......................................................................... 0

4.3 Subtotal (Line 4.1 minus Line 4.2).............................................................................................................................................................................................................. 0

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

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

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

6. Book/adjusted carrying value at end of current period (Lines 1 + 2 + 3.3 - 4.3 - 5.1 - 5.2)........................................................................................................................ 0

7. Deduct nonadmitted assets........................................................................................................................................................................................................................

8. Statement value at end of current period (Line 6 minus Line 7)................................................................................................................................................................. 0

NONE


QSI05, QSI06

Sch. DB - Pt. C - Sn. 1NONE

Sch. DB - Pt. C - Sn. 2NONE


QSI07

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

Book/Adjusted Carrying Value Check

1. Part A, Section 1, Column 14....................................................................................................................................................... 13,735,493

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

3. Total (Line 1 plus Line 2).................................................................................................................................................................................................................... 13,735,493

4. Part D, Section 1, Column 5........................................................................................................................................................ 14,596,453

5. Part D, Section 1, Column 6........................................................................................................................................................ (860,960)

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

Fair Value Check


8. Part B, Section 1, Column 13.......................................................................................................................................................

9. Total (Line 7 plus Line 8).................................................................................................................................................................................................................... 13,735,493

10. Part D, Section 1, Column 8........................................................................................................................................................ 14,596,453

11. Part D, Section 1, Column 9........................................................................................................................................................ (860,960)

12. Total (Line 9 minus Line 10 minus Line 11)........................................................................................................................................................................................ 0

Potential Exposure Check


14. Part B, Section 1, Column 20.......................................................................................................................................................

15. Part D, Section 1, Column 11...................................................................................................................................................... 1,415,206

16. Total (Line 13 plus Line 14 minus Line 15)......................................................................................................................................................................................... 0


QSI08

SCHEDULE E - PART 2 - VERIFICATION Cash Equivalents

1 2Prior Year Ended

Year To Date December 31

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

2. Cost of cash equivalents acquired....................................................................................................................... ............................................................... ............................................34,961,275

3. Accrual of discount............................................................................................................................................... ............................................................... ...................................................14,370

4. Unrealized valuation increase (decrease)............................................................................................................ ............................................................... ...............................................................

5. Total gain (loss) on disposals............................................................................................................................... ............................................................... .........................................................(63)

6. Deduct consideration received on disposals........................................................................................................ ............................................................... ............................................34,975,582

7. Deduct amortization of premium.......................................................................................................................... ............................................................... ...............................................................

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

9. Deduct current year's other-than-temporary impairment recognized................................................................... ............................................................... ...............................................................

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

11. Deduct total nonadmitted amounts....................................................................................................................... ............................................................... ...............................................................

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


QE01

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

1 Location 4 5 6 7 8 92 3

Description of Property City State Date Acquired Name of Vendor Actual Cost at Time of Acquisition Amount of EncumbrancesBook/Adjusted Carrying Value

Less EncumbrancesAdditional Investment Made

After Acquisition

NONE

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

1 Location 4 5 6 7 8 Change in Book/Adjusted Carrying Value Less Encumbrances 14 15 16 17 18 19 202 3 9 10 11 12 13

Description of Property City StateDisposal

Date Name of Purchaser Actual Cost

Expended forAdditions,Permanent

Improvementsand Changes inEncumbrances

Book/AdjustedCarrying Value

LessEncumbrances

Prior YearCurrent Year'sDepreciation

Current Year'sOther-Than-TemporaryImpairmentRecognized

Current Year'sChange in

Encumbrances

Total Changein B./A.C.V.(11 - 9 - 10)

Total ForeignExchangeChange inB./A.C.V.


LessEncumbrances on

Disposal

AmountsReceived

During Year

ForeignExchange

Gain (Loss) onDisposal

Realized Gain(Loss) onDisposal

Total Gain(Loss) onDisposal

Gross IncomeEarned Less

InterestIncurred on

Encumbrances

Taxes,Repairs, and

ExpensesIncurred

NONE


QE02

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

1 Location 4 5 6 7 8 92 3

Loan Number City State Loan Type Date Acquired Rate of Interest Actual Cost at Time of Acquisition Additional Investment Made After Acquisition Value of Land and BuildingsMortgages in Good Standing - Commercial Mortgages - All Other10101.................................................................... BLOOMINGTON............................................................................................................................. IN................................ .................. 03/15/2018.... ...............................4.160 ................................................................5,550,000 ................................................................................ ................................................................9,300,00010102.................................................................... BLOOMINGTON............................................................................................................................. IN................................ .................. 03/15/2018.... ...............................4.160 ................................................................3,450,000 ................................................................................ ................................................................6,700,0000599999. Total - Mortgages in Good Standing - Commercial Mortgages - All Other........................................................................................................ ......................................................... .......XXX....... ................XXX................. ................................................................9,000,000 .............................................................................0 ..............................................................16,000,0000899999. Total - Mortgages in Good Standing................................................................................................................................................................ ......................................................... .......XXX....... ................XXX................. ................................................................9,000,000 .............................................................................0 ..............................................................16,000,0003399999. Total Mortgages.............................................................................................................................................................................................. ......................................................... .......XXX....... ................XXX................. ................................................................9,000,000 .............................................................................0 ..............................................................16,000,000

SCHEDULE B - PART 3 Showing all Mortgage Loans DISPOSED, Transferred or Repaid During the Current Quarter

1 Location 4 5 6 7 Change in Book Value/Recorded Investment 14 15 16 17 182 3 8 9 10 11 12 13

Loan Number City StateLoanType Date Acquired Disposal Date

Book Value/RecordedInvestment ExcludingAccrued Interest Prior

Year

UnrealizedValuationIncrease

(Decrease)

Current Year's(Amortization) /

Accretion


CapitalizedDeferred Interest

and Other

Total Change inBook Value (8 + 9 -

10 + 11)

Total ForeignExchange Change

in Book Value

Book Value /Recorded

InvestmentExcluding Accrued

Interest onDisposal Consideration

Foreign ExchangeGain (Loss) on

Disposal


Total Gain (Loss) onDisposal

Mortgages With Partial Repayments10064.................................... SEATTLE.............................................................................. WA.............. ......... 05/05/2017.... ..................... ...................4,250,824 ............................ ............................ ............................ ............................ ............................0 ............................ ................24,977 ................24,977 ............................ ............................ ................................00299999. Total - Mortgages With Partial Repayments.......................................................... ............................................................................... ...................4,250,824 .........................0 .........................0 .........................0 .........................0 ............................0 .........................0 ................24,977 ................24,977 .........................0 .........................0 ................................00599999. Total Mortgages.................................................................................................... ............................................................................... ...................4,250,824 .........................0 .........................0 .........................0 .........................0 ............................0 .........................0 ................24,977 ................24,977 .........................0 .........................0 ................................0


QE03

SCHEDULE BA - PART 2 Showing Other Long-Term Invested Assets ACQUIRED AND ADDITIONS MADE During the Current Quarter

1 2 Location 5 6 7 8 9 10 11 12 133 4

CUSIP Identification Name or Description City State Name of Vendor or General Partner

NAICDesig-nation

DateOriginallyAcquired

Type andStrategy

Actual Cost at Time ofAcquisition

Additional InvestmentMade after Acquisition

Amount ofEncumbrances

Commitment forAdditional Investment

Percentage ofOwnership

Joint Venture or Partnership Interests That Have Underlying Characteristics of Common Stocks - UnaffiliatedMakena Real Estate Fund II........................................................................................ ....................................................... DE.... Makena Real Estate Fund II........................................................................................ ................ 06/20/2017.... ..............2 .................................... ......................117,302 .................................... ......................996,610 ...........1.830Kelso Investment Associates VIII................................................................................. ....................................................... NY.... Kelso Investment Associates VIII................................................................................. ................ 12/31/2008.... ..............1 .................................... ..........................7,370 .................................... ......................759,368 ...........0.100PIP Acquisition Holdings LP........................................................................................ ....................................................... DE.... PIP Acquisition Holdings LP........................................................................................ ................ 01/29/2018.... ..............5 ........................44,296 .................................... .................................... - .............................. ...........0.630

1599999. Total - Joint Venture or Partnership Interests That Have Underlying Characteristics of Common Stocks - Unaffiliated........................................ ................................................................................................................................................................................................... ........................44,296 ......................124,672 ................................0 ...................1,755,978 .......XXX.......4499999. Subtotal - Unaffiliated.................................................................................................................... .................................................................. ................................................................................................................................................................................................... ........................44,296 ......................124,672 ................................0 ...................1,755,978 .......XXX.......4699999. Totals............................................................................................................................................ .................................................................. ................................................................................................................................................................................................... ........................44,296 ......................124,672 ................................0 ...................1,755,978 .......XXX.......

SCHEDULE BA - PART 3 Showing Other Long-Term Invested Assets DISPOSED, Transferred or Repaid During the Current Quarter

1 2 Location 5 6 7 8 Changes in Book/Adjusted Carrying Value 15 16 17 18 19 203 4 9 10 11 12 13 14

CUSIP Identification Name or Description City State Name of Purchaser or Nature of Disposal

DateOriginallyAcquired

DisposalDate


LessEncumbrances,

Prior Year


(Decrease)

Current Year's(Depreciation)

or(Amortization)

/ Accretion


CapitalizedDeferred

Interest andOther

Total Changein B./A.C.V.

(9+10-11+12)



LessEncumbrances

on Disposal Consideration

ForeignExchange

Gain (Loss) onDisposal



InvestmentIncome

Joint Venture or Partnership Interests That Have Underlying Characteristics of Common Stocks - UnaffiliatedKIA VIII (Power)........................................................... ........................................ NY.. Partial disposal......................................... 09/30/2013 03/27/2018 ............74,778 - ................. ...................... ...................... ...................... ...................0 ...................... ............74,778 ..........74,778 ...................... - ................. ...................0 ..........74,778Convergint Technologies LLC...................................... ........................................ DE.. Full disposal............................................. 06/08/2015 03/21/2018 ..........129,613 ........151,594 ...................... ...................... ...................... ........151,594 ...................... ..........281,207 ........281,207 ...................... - ................. ...................0 ........238,424KIA VIII (Sentinel)........................................................ ........................................ NY.. Partial disposal......................................... 01/05/2011 01/18/2018 ............31,734 - ................. ...................... ...................... ...................... ...................0 ...................... ............31,734 ..........31,734 ...................... - ................. ...................0 - .................Makena Real Estate Fund II........................................ ........................................ DE.. Partial disposal......................................... 06/20/2017 01/23/2018 ..............2,295 - ................. ...................... ...................... ...................... ...................0 ...................... ..............2,295 ............2,295 ...................... - ................. ...................0 ...............458Kelso Investment Associates VIII................................. ........................................ NY.. Partial disposal......................................... 12/31/2008 01/18/2018 ............41,149 - ................. ...................... ...................... ...................... ...................0 ...................... ............41,149 ..........41,149 ...................... - ................. ...................0 - .................Centerline High Yield CMBS Fund II............................ ........................................ TX.. Partial disposal......................................... 12/30/2009 01/02/2018 - ................... - ................. ...................... ...................... ...................... ...................0 ...................... - ................... - ................. ...................... - ................. ...................0 .................63

1599999. Total - Joint Venture or Partnership Interests That Have Underlying Characteristics of Common Stocks - Unaffiliated.................................................................................... ..........279,569 ........151,594 ...................0 ...................0 ...................0 ........151,594 ...................0 ..........431,163 ........431,163 ...................0 ...................0 ...................0 ........313,723Joint Venture or Partnership Interests That Have Underlying Characteristics of Other - Unaffiliated

29335@ AA 1 CONNECTICUT CAPCO CAPCO 7.310% 12/15/2.... ........................................ ....... Redemption 100.0000........................ 01/25/2011 03/15/2018 ............28,155 ...................... ...................... ...................... ...................... ...................0 ...................... ............28,155 ..........28,155 ...................... ...................... ...................0 ...............5102199999. Total - Joint Venture or Partnership Interests That Have Underlying Characteristics of Other - Unaffiliated..................................................................................................... ............28,155 ...................0 ...................0 ...................0 ...................0 ...................0 ...................0 ............28,155 ..........28,155 ...................0 ...................0 ...................0 ...............5104499999. Subtotal - Unaffiliated......................................................................................................................... .......................................................................................................... ..........307,724 ........151,594 ...................0 ...................0 ...................0 ........151,594 ...................0 ..........459,318 ........459,318 ...................0 ...................0 ...................0 ........314,2334699999. Totals................................................................................................................................................. .......................................................................................................... ..........307,724 ........151,594 ...................0 ...................0 ...................0 ........151,594 ...................0 ..........459,318 ........459,318 ...................0 ...................0 ...................0 ........314,233


QE04

SCHEDULE D - PART 3Showing all Long-Term Bonds and Stocks ACQUIRED During Current Quarter

1 2 3 4 5 6 7 8 9 10

CUSIP Identification Description Foreign Date Acquired Name of Vendor Number of Shares of Stock Actual Cost Par Value Paid for Accrued Interest and DividendsNAIC Designation orMarket Indicator (a)

Bonds - U.S. Government13219# AB 2 CAMBRIDGE HEALTHCARE SOLUTIONS 5.193%................................................... ................ 03/15/2018........ Interest Capitalization.......................................................................................... ....................................................... ...........................................14,087 ...........................................14,087 ....................................................... 1...............................23317* AD 2 DULLES DISCOVERY IV 5.680% 09/05/33................................................................ ................ 03/05/2018........ Bostonia Securities.............................................................................................. ....................................................... ...........................................78,619 ...........................................78,619 ....................................................... 1...............................23317* AD 2 DULLES DISCOVERY IV 5.680% 09/05/33................................................................ ................ 03/05/2018........ Interest Capitalization.......................................................................................... ....................................................... ...........................................24,090 ...........................................24,090 ....................................................... 1...............................0599999. Total - Bonds - U.S. Government................................................................................................ ........................................................................................................................................................................... ....................................................... .........................................116,796 .........................................116,796 ....................................................0 ............XXX..............

Bonds - U.S. Political Subdivisions of States010878 BA 3 ALAMEDA CNTY CA SERIES A 3.820% 08/01/......................................................... ................ 03/16/2018........ Merrill Lynch........................................................................................................ ....................................................... .........................................500,000 .........................................500,000 ....................................................... 1FE..........................983068 2B 2 WYLIE TX INDEP SCH DIST 0.000% 08/15/4............................................................ ................ 01/29/2018........ Barclays Capital Inc............................................................................................. ....................................................... .........................................468,210 ......................................1,500,000 ....................................................... 1FE..........................2499999. Total - Bonds - U.S. Political Subdivisions of States.................................................................... ........................................................................................................................................................................... ....................................................... .........................................968,210 ......................................2,000,000 ....................................................0 ............XXX..............

Bonds - U.S. Special Revenue and Special Assessment3133EJ BG 3 FEDERAL FARM CREDIT BANK 3.710% 02/02/........................................................ ................ 01/24/2018........ NOMURA SECURITIES/FIXED INCOME............................................................ ....................................................... .........................................250,000 .........................................250,000 ....................................................... 1...............................3133EJ DS 5 FEDERAL FARM CREDIT BANK 3.990% 02/22/........................................................ ................ 02/15/2018........ Citigroup Global Markets...................................................................................... ....................................................... .........................................250,000 .........................................250,000 ....................................................... 1...............................3133EJ ES 4 FEDERAL FARM CREDIT BANK 3.670% 03/05/........................................................ ................ 02/26/2018........ Piper Jaffray........................................................................................................ ....................................................... ......................................1,962,734 ......................................1,950,000 ....................................................... 1...............................3136B0 FT 8 FANNIE MAE SERIES 2017 100 CLASS ZE 3........................................................... ................ 03/01/2018........ Interest Capitalization.......................................................................................... ....................................................... .............................................2,200 .............................................2,200 ....................................................... 1...............................3136B0 VY 9 FANNIE MAE SERIES 2018 8 CLASS DZ 3.50.......................................................... ................ 01/22/2018........ DAIWA SECURITIES AMERICA INC................................................................... ....................................................... .........................................980,625 ......................................1,000,000 .............................................2,917 1...............................3136B0 VY 9 FANNIE MAE SERIES 2018 8 CLASS DZ 3.50.......................................................... ................ 03/01/2018........ Interest Capitalization.......................................................................................... ....................................................... .............................................5,842 .............................................5,842 ....................................................... 1...............................3137FC 4R 2 FHLMC SERIES 4738 CLASS LZ 3.000% 12/1.......................................................... ................ 03/01/2018........ Interest Capitalization.......................................................................................... ....................................................... .............................................3,769 .............................................3,769 ....................................................... 1...............................3138LM B3 6 FNMA POOL AN8157 3.100% 01/01/33..................................................................... ................ 01/01/2018........ Pershing.............................................................................................................. ....................................................... .........................................300,188 .........................................300,000 ................................................723 1...............................38380K DT 9 GNMA SERIES 2017-176 CLASS BZ 3.500% 1......................................................... ................ 01/05/2018........ Bank of America.................................................................................................. ....................................................... .........................................200,665 .........................................201,168 ................................................176 1...............................38380K DT 9 GNMA SERIES 2017-176 CLASS BZ 3.500% 1......................................................... ................ 03/01/2018........ Interest Capitalization.......................................................................................... ....................................................... .............................................1,175 .............................................1,175 ....................................................... 1...............................650035 6A 1 NEW YORK ST URBAN DEV CORP REV SERIES D-................................................. ................ 01/09/2018........ Jefferies............................................................................................................... ....................................................... .........................................543,191 .........................................550,000 .............................................1,045 1FE..........................93878L BJ 5 WASHINGTON DC CONVENTION & SPO SERIES C................................................. ................ 02/23/2018........ Goldman Sachs................................................................................................... ....................................................... .........................................750,000 .........................................750,000 ....................................................... 1FE..........................

BGH5BS XD 7 FNMA 3.100% 01/01/33............................................................................................. ................ 01/01/2018........ Pershing.............................................................................................................. ....................................................... ........................................(300,188) ........................................(300,000) ...............................................(723) 1...............................3199999. Total - Bonds - U.S. Special Revenue and Special Assessments................................................ ........................................................................................................................................................................... ....................................................... ......................................4,950,201 ......................................4,964,154 .............................................4,138 ............XXX..............

Bonds - Industrial and Miscellaneous000000 00 0 TCP DIRECT LENDING FUND VIII 7.760% 04.......................................................... ................ 03/01/2018........ Direct Deal........................................................................................................... ....................................................... ...........................................80,808 ...........................................80,808 ....................................................... 1FE..........................00122@ AA 9 AES SOUTHLAND ENERGY LLC 4.500% 02/29/....................................................... ................ 02/28/2018........ JP Morgan Securities........................................................................................... ....................................................... .........................................263,293 .........................................263,293 ....................................................... 2FE..........................00187E A@ 3 API TECHNOLOGIES CORP 12.000% 04/22/23......................................................... ................ 03/30/2018........ Interest Capitalization.......................................................................................... ....................................................... .............................................2,543 .............................................2,543 ....................................................... 5...............................02079* AA 0 ALPHA MEDIA HOLDCO NOTES 12.500% 02/25/...................................................... ................ 01/01/2018........ Interest Capitalization.......................................................................................... ....................................................... ...........................................35,744 ...........................................35,744 ....................................................... 5...............................03028P H* 0 AMERICAN TRANSMISSION COMPANY 3.930% 0.................................................. ................ 01/16/2018........ Bank of America.................................................................................................. ....................................................... ......................................1,000,000 ......................................1,000,000 ....................................................... 1FE..........................04248N AA 1 ARMY HAWAII FAMILY HSG SERIES 144A 5.5........................................................ ................ 03/15/2018........ Raymond James.................................................................................................. ....................................................... .........................................165,162 .........................................146,301 .............................................2,110 1FE..........................08161C AL 5 BENCHMARK MORTGAGE TRUST SERIES 2018 B2................................................. ................ 02/09/2018........ J.P. MORGAN SECURITIES LLC........................................................................ ....................................................... .........................................796,480 .........................................800,000 .............................................2,429 1FE..........................097023 BZ 7 BOEING CO 3.625% 03/01/48................................................................................... ................ 02/21/2018........ Goldman Sachs................................................................................................... ....................................................... .........................................881,458 .........................................950,000 ....................................................... 1FE..........................115637 AS 9 BROWN FORMAN CORP 3.500% 04/15/25............................................................... ................ 03/22/2018........ Bank of America.................................................................................................. ....................................................... .........................................209,061 .........................................210,000 ....................................................... 1FE..........................12189L BC 4 BURLINGTON NORTH SANTA FE 4.050% 06/15...................................................... ................ 02/26/2018........ Citigroup Global Markets...................................................................................... ....................................................... .........................................947,578 .........................................950,000 ....................................................... 1FE..........................123262 AN 7 BUSINESS JET SECURITIES LLC SERIES 2018........................................................ ................ 02/21/2018........ DEUTSCHE BANK.............................................................................................. ....................................................... ......................................1,279,978 ......................................1,280,000 ....................................................... 1FE..........................12531W BH 4 CFCRE COMMERCIAL MORTGAGE TRUS SERIES 20............................................. ................ 02/27/2018........ Cantor Fitzgerald................................................................................................. ....................................................... .........................................405,125 .........................................400,000 .............................................1,427 1FE..........................12579# AA 0 CM GROWTH CAPITAL PARTNERS PIK 14.000%.................................................... ................ 03/31/2018........ Interest Capitalization.......................................................................................... ....................................................... ...........................................33,282 ...........................................33,282 ....................................................... 5*GI..........................12592T AN 5 COMM MORTGAGE TRUST SERIES 2015 3BP CLAS................................................ ................ 03/01/2018........ Citigroup Global Markets...................................................................................... ....................................................... ......................................1,188,574 ......................................1,250,000 ................................................450 1AM..........................12598@ AA 9 ROCKWELL COLLINS UTC 4.116% 11/10/31............................................................ ................ 03/01/2018........ CGA Securities.................................................................................................... ....................................................... ......................................5,000,000 ......................................5,000,000 ....................................................... 1FE..........................12668G AE 2 COUNTRYWIDE ASSET BACKED CERTI SERIES 20................................................ ................ 01/01/2018........ Direct Transfer..................................................................................................... ....................................................... ....................................................... ....................................................2 ....................................................... 5FE..........................12805P AE 6 CAL FUNDING LTD SERIES 2018 1A CLASS A 1....................................................... ................ 03/02/2018........ Various................................................................................................................ ....................................................... .........................................949,938 .........................................950,000 ................................................165 1FE..........................38174A AQ 0 GOLUB CAPITAL BDC LLC SERIES 2014-1A CLA...................................................... ................ 03/15/2018........ Wachovia............................................................................................................. ....................................................... .........................................250,000 .........................................250,000 ....................................................... 1FE..........................40637@ AA 3 HALO BRANDED SOLUTIONS INC 12.000% 10/1..................................................... ................ 03/30/2018........ Interest Capitalization.......................................................................................... ....................................................... .............................................2,903 .............................................2,903 ....................................................... 5*GI..........................42806D BQ 1 HERTZ VEHICLE FINANCING LLC SERIES 2018....................................................... ................ 02/15/2018........ Citigroup Global Markets...................................................................................... ....................................................... .........................................493,764 .........................................500,000 .............................................1,188 1FE..........................431282 AQ 5 HIGHWOODS REALTY LP 4.125% 03/15/28............................................................. ................ 02/22/2018........ Wachovia............................................................................................................. ....................................................... .........................................790,544 .........................................800,000 ....................................................... 2FE..........................


QE04.1


1 2 3 4 5 6 7 8 9 10


46590T AL 9 JPMDB COMMERCIAL MORTGAGE SECU SERIES 20.............................................. ................ 03/07/2018........ Deutsche Bank.................................................................................................... ....................................................... .........................................607,828 .........................................600,000 ................................................602 1FE..........................46651T AB 7 J G WENTWORTH XLI LLC SERIES 2018-1A CLA..................................................... ................ 03/13/2018........ Barclays Capital Inc............................................................................................. ....................................................... .........................................399,858 .........................................400,000 ....................................................... 2AM..........................47779@ AA 6 JOERNS HEALTHCARE TRANCHE A 18.193% 09/................................................... ................ 03/29/2018........ Interest Capitalization.......................................................................................... ....................................................... ...........................................98,013 ...........................................98,013 ....................................................... 5...............................57636Q AK 0 MASTERCARD INC 3.950% 02/26/48........................................................................ ................ 02/21/2018........ J.P. MORGAN SECURITIES LLC........................................................................ ....................................................... ......................................1,248,913 ......................................1,250,000 ....................................................... 1FE..........................674599 CN 3 OCCIDENTAL PETROLEUM COR 4.200% 03/15/..................................................... ................ 02/28/2018........ Barclays Capital Inc............................................................................................. ....................................................... .........................................943,084 .........................................950,000 ....................................................... 1FE..........................680223 AK 0 OLD REPUBLIC INTERNATIONAL COR 3.875%...................................................... ................ 02/05/2018........ Cantor Fitzgerald................................................................................................. ....................................................... .........................................245,423 .........................................250,000 .............................................4,332 2FE..........................709599 AZ 7 PENSKE TRUCK LEASING PTL SERIES 144A 3...................................................... ................ 03/05/2018........ JP Morgan Securities........................................................................................... ....................................................... .........................................254,011 .........................................255,000 ....................................................... 2FE..........................743756 AE 8 PROV ST JOSEPH HLTH OBL SERIES A 3.930........................................................ ................ 01/30/2018........ Citigroup Global Markets...................................................................................... ....................................................... ......................................2,300,000 ......................................2,300,000 ....................................................... 1FE..........................78403D AG 5 SBA TOWER TRUST SERIES 2014-1A CLASS C 1.................................................... ................ 01/01/2018........ Interest Capitalization.......................................................................................... ....................................................... .................................................(29) .................................................(29) ....................................................... 1FE..........................80306A AA 8 SAPPHIRE AVIATION FINANCE I SERIES 2018-........................................................ ................ 03/14/2018........ Wachovia............................................................................................................. ....................................................... .........................................949,556 .........................................950,000 ....................................................... 1FE..........................81721M AM 1 SENIOR HOUSING PROPERTIE 4.750% 02/15/....................................................... ................ 02/08/2018........ UBS Securities..................................................................................................... ....................................................... ......................................3,686,700 ......................................3,750,000 ....................................................... 2FE..........................828730 AB 7 SIMMONS FIRST NTL CORP 5.000% 04/01/28......................................................... ................ 03/21/2018........ Sandler Oneill...................................................................................................... ....................................................... .........................................750,000 .........................................750,000 ....................................................... 2FE..........................83546D AF 5 SONIC CAPITAL LLC SERIES 2018 1A CLASS A....................................................... ................ 02/14/2018........ Bank of America.................................................................................................. ....................................................... ...........................................99,750 .........................................100,000 ................................................168 2AM..........................88104U AC 7 TERRAFORM GLOBAL OPERATI SERIES 144A 6.................................................... ................ 02/23/2018........ Various................................................................................................................ ....................................................... .........................................550,500 .........................................550,000 ..................................................43 3FE..........................88167L AA 5 TETRAGON CLO FINANCING HOLDING POOL 1A C................................................. ................ 02/06/2018........ GREENALEDGE CAPITAL MARKETS LL........................................................... ....................................................... ......................................1,325,000 ......................................1,325,000 ....................................................... 1FE..........................89679H AJ 4 TRITON CONTAINER FINANCE LLC SERIES 2018.................................................... ................ 03/13/2018........ Bank of America.................................................................................................. ....................................................... .........................................619,882 .........................................620,000 ....................................................... 1FE..........................90291J BB 2 UBS COMMERCIAL MORTGAGE TRUST SERIES 201.............................................. ................ 03/23/2018........ Cantor Fitzgerald................................................................................................. ....................................................... .........................................989,951 ......................................1,000,000 .............................................3,929 1FE..........................91823A AH 4 VB S1 ISSUER LLC SERIES 2018 1A CLASS D.......................................................... ................ 02/12/2018........ Barclays Capital Inc............................................................................................. ....................................................... .........................................100,000 .........................................100,000 ....................................................... 2AM..........................91823A AJ 0 VB S1 ISSUER LLC SERIES 2018 1A CLASS F.......................................................... ................ 02/12/2018........ Barclays Capital Inc............................................................................................. ....................................................... .........................................300,000 .........................................300,000 ....................................................... 3AM..........................92211M AC 7 VANTAGE DATA CENTERS ISSUER L SERIES 201................................................... ................ 02/13/2018........ Various................................................................................................................ ....................................................... ......................................2,752,152 ......................................2,750,000 ....................................................... 1FE..........................95001L AY 8 WELLS FARGO COMMERCIAL MORTGAG SERIES 20............................................. ................ 03/12/2018........ Wachovia............................................................................................................. ....................................................... .........................................772,496 .........................................750,000 .............................................2,304 1FE..........................G6363# AC 1 NORDIC AVIATION CAPITAL AVIATI 4.610%........................................................... ................ 02/22/2018........ Citigroup.............................................................................................................. ....................................................... ......................................1,000,000 ......................................1,000,000 ....................................................... 2FE..........................03329T AC 8 ANCHORAGE CREDIT FUNDING LTD SERIES 2016................................................. D............. 03/01/2018........ GREENALEDGE CAPITAL MARKETS LL........................................................... ....................................................... .........................................499,000 .........................................500,000 .............................................1,250 1FE..........................09659T 2A 8 BNP PARIBAS SERIES 144A 4.375% 03/01/3........................................................... D............. 02/22/2018........ BNP PARIBAS SECURITIES CORP./F................................................................ ....................................................... .........................................797,432 .........................................800,000 ....................................................... 2FE..........................13875L AU 2 CANYON CAPITAL CLO LTD SERIES 2014 1A CL..................................................... D............. 01/22/2018........ Deutsche Bank.................................................................................................... ....................................................... ......................................1,000,000 ......................................1,000,000 ....................................................... 2AM..........................38136M AC 2 GOLDENTREE LOAN MANAGEMENT US SERIES 201.............................................. D............. 03/23/2018........ Morgan Stanley.................................................................................................... ....................................................... ......................................1,886,250 ......................................1,875,000 ...........................................17,027 1FE..........................539439 AR 0 LLOYDS BANKING GROUP PLC 4.375% 03/22/....................................................... D............. 03/15/2018........ Morgan Stanley.................................................................................................... ....................................................... ......................................1,644,176 ......................................1,650,000 ....................................................... 1FE..........................606822 AU 8 MITSUBISHI UFJ FIN GRP 3.777% 03/02/25............................................................ D............. 02/26/2018........ Morgan Stanley.................................................................................................... ....................................................... ......................................1,000,000 ......................................1,000,000 ....................................................... 1FE..........................60687Y AR 0 MIZUHO FINANCIAL GROUP 4.018% 03/05/28........................................................ D............. 02/28/2018........ MIZUHO SECURITIES USA/FIXED IN................................................................ ....................................................... .........................................950,000 .........................................950,000 ....................................................... 1FE..........................61034L AE 5 MONROE CAPITAL MML CLO VI LTD SERIES 201.................................................... D............. 02/01/2018........ DEUTSCHE BANK.............................................................................................. ....................................................... .........................................990,294 ......................................1,000,000 ....................................................... 2AM..........................63861V AA 5 NATIONWIDE BLDG SOCIETY SERIES 144A 3........................................................ D............. 03/01/2018........ BNP PARIBUS SECURITIES............................................................................... ....................................................... ......................................1,750,000 ......................................1,750,000 ....................................................... 2FE..........................71654Q CH 3 PETROLEOS MEXICANOS SERIES 144A 5.350%.................................................... D............. 02/01/2018........ Citigroup Global Markets...................................................................................... ....................................................... .........................................940,000 .........................................940,000 ....................................................... 2FE..........................87266X AJ 2 TPG REAL ESTATE FINANCE SERIES 2018 FL1....................................................... D............. 02/05/2018........ Wachovia............................................................................................................. ....................................................... .........................................750,000 .........................................750,000 ....................................................... 2AM..........................92558F AE 9 VIBRANT CLO LTD POOL 18 8A CLASS B1 SERI...................................................... C............. 01/19/2018........ Morgan Stanley.................................................................................................... ....................................................... ......................................1,000,000 ......................................1,000,000 ....................................................... 1FE..........................92558F AG 4 VIBRANT CLO LTD POOL 18 8A CLASS C SERIE...................................................... D............. 01/19/2018........ Morgan Stanley.................................................................................................... ....................................................... ......................................1,000,000 ......................................1,000,000 ....................................................... 2AM..........................

Q6568@ AC 5 NETWORK FINANCE COMPANY PTY LT 3.700%.................................................... D............. 02/14/2018........ HSBC Securities.................................................................................................. ....................................................... ......................................2,000,000 ......................................2,000,000 ....................................................... 2FE..........................3899999. Total - Bonds - Industrial and Miscellaneous............................................................................... ........................................................................................................................................................................... ....................................................... ....................................50,976,475 ....................................51,167,860 ...........................................37,424 ............XXX..............

Bonds - Hybrid Securities59156R AV 0 METLIFE INC 10.750% 08/01/39................................................................................ ................ 01/03/2018........ Stifel Nicolaus...................................................................................................... ....................................................... .........................................669,000 .........................................400,000 ...........................................18,394 2FE..........................4899999. Total - Bonds - Hybrid Securities................................................................................................. ........................................................................................................................................................................... ....................................................... .........................................669,000 .........................................400,000 ...........................................18,394 ............XXX..............8399997. Total - Bonds - Part 3.................................................................................................................. ........................................................................................................................................................................... ....................................................... ....................................57,680,682 ....................................58,648,810 ...........................................59,956 ............XXX..............8399999. Total - Bonds.............................................................................................................................. ........................................................................................................................................................................... ....................................................... ....................................57,680,682 ....................................58,648,810 ...........................................59,956 ............XXX..............

Common Stocks - Industrial and Miscellaneous499005 10 6 KNIGHT CAPITAL GROUP LLC................................................................................... ................ 01/10/2018........ Direct Transfer..................................................................................................... .............................................0.010 ....................................................... XXX ....................................................... L...............................9099999. Total - Common Stocks - Industrial and Miscellaneous............................................................... ........................................................................................................................................................................... ....................................................... ....................................................0 XXX ....................................................0 ............XXX..............9799997. Total - Common Stocks - Part 3.................................................................................................. ........................................................................................................................................................................... ....................................................... ....................................................0 XXX ....................................................0 ............XXX..............


QE04.2


1 2 3 4 5 6 7 8 9 10


9799999. Total - Common Stocks.............................................................................................................. ........................................................................................................................................................................... ....................................................... ....................................................0 XXX ....................................................0 ............XXX..............9899999. Total - Preferred and Common Stocks........................................................................................ ........................................................................................................................................................................... ....................................................... ....................................................0 XXX ....................................................0 ............XXX..............9999999. Total - Bonds, Preferred and Common Stocks............................................................................ ........................................................................................................................................................................... ....................................................... ....................................57,680,682 XXX ...........................................59,956 ............XXX..............

(a) For all common stock bearing NAIC market indicator "U" provide the number of such issues:...............0.


QE05

SCHEDULE D - PART 4Showing all Long-Term Bonds and Stocks SOLD, REDEEMED or Otherwise DISPOSED OF During Current Quarter

1 2 3 4 5 6 7 8 9 10 Change in Book/Adjusted Carrying Value 16 17 18 19 20 21 2211 12 13 14 15

CUSIP Identification Description

Foreign

DisposalDate Name of Purchaser

Number ofShares of Stock Consideration Par Value Actual Cost

Prior YearBook/AdjustedCarrying Value


(Decrease)

CurrentYear's

(Amortization)/ Accretion

CurrentYear's

Other-Than-TemporaryImpairmentRecognized

Total Changein B./A.C.V.(11+12-13)


Book/AdjustedCarrying Value at

Disposal Date

ForeignExchange

Gain (Loss)on Disposal

RealizedGain (Loss)on Disposal


BondInterest /

StockDividendsReceived

During Year

StatedContractual

MaturityDate

NAICDesignationor Market

Indicator (a)Bonds - U.S. Government

08887@ AA 7US GOCERMENT BUREAU INDIAN AFF3.970% .. 03/15/2018. Redemption 100.0000................ ........................... ............30,300 ............30,300 ............30,300 ................30,300 .................... ..................... .................. ....................0 .................... ................30,300 ................... ................... ..................0 ............201 12/15/2032. 1FE............

09179# AA 0TINKER AFB C HON FEDERAL RECEIVE2013 A .. 03/01/2018. Redemption 100.0000................ ........................... ............72,319 ............72,319 ............72,319 ................72,319 .................... ..................... .................. ....................0 .................... ................72,319 ................... ................... ..................0 .........2,586 03/01/2032. 1FE............

15722@ AA 1USA VETERANS ADMINISTRATION4.439% 05/ .. 03/10/2018. Redemption 100.0000................ ........................... ............22,301 ............22,301 ............22,301 ................22,301 .................... ..................... .................. ....................0 .................... ................22,301 ................... ................... ..................0 ............165 05/10/2035. 1FE............

222678 A* 5COURT STREET ASSOCIATES 3.200%04/15/3 .. 03/15/2018. Redemption 100.0000................ ........................... ............28,566 ............28,566 ............28,566 ................28,566 .................... ..................... .................. ....................0 .................... ................28,566 ................... ................... ..................0 ............152 04/15/2030. 1FE............

26923* AA 7NATIONAL OCEANIC & ATMOSPHERIC4.210% .. 03/15/2018. Redemption 100.0000................ ........................... ..............5,474 ..............5,474 ..............5,474 ..................5,474 .................... ..................... .................. ....................0 .................... ..................5,474 ................... ................... ..................0 ..............40 11/15/2030. 1................

29426@ BA 0USA DEPT OF DEFENSE 3.250%12/31/20 .. 03/30/2018. Redemption 100.0000................ ........................... ..........281,459 ..........281,459 ..........281,459 ..............281,459 .................... ..................... .................. ....................0 .................... ..............281,459 ................... ................... ..................0 .........2,287 12/31/2020. 1FE............

31307# AA 9USCG CORPUS CHRISTI PIK 4.537%02/15/3 .. 03/15/2018. Redemption 100.0000................ ........................... ..............5,332 ..............5,332 ..............5,332 ..................5,332 .................... ..................... .................. ....................0 .................... ..................5,332 ................... ................... ..................0 ..............41 02/15/2035. 1................

31307# AC 5USCG CORPUS CHRISTI 4.537%06/15/37 .. 03/15/2018. Redemption 100.0000................ ........................... ..............3,069 ..............3,069 ..............3,069 ..................3,069 .................... ..................... .................. ....................0 .................... ..................3,069 ................... ................... ..................0 ..............23 06/15/2037. 1................

35242M A* 6FRANKLIN AVENUE ASSOCIATION LP5.070% .. 03/15/2018. Redemption 100.0000................ ........................... ............20,413 ............20,413 ............20,413 ................20,413 .................... ..................... .................. ....................0 .................... ................20,413 ................... ................... ..................0 ............173 12/15/2022. 1................

36244# AA 4 GSA SAVANNAH 3.400% 07/10/33......... .. 03/10/2018. Redemption 100.0000................ ........................... ............41,647 ............41,647 ............41,647 ................41,647 .................... ..................... .................. ....................0 .................... ................41,647 ................... ................... ..................0 ............236 07/10/2033. 1FE............

38375U M7 2GNMA SERIES 2017 H20 CLASS IB1.965% 1 .. 03/01/2018. Paydown........................................ ........................... ........................ ........................ .................803 .....................782 .................... .............(782) .................. ...............(782) .................... ............................ ................... ................... ..................0 ..............29 10/20/2067. 1................

38376J ZW 7GNMA SERIES 2009-100 CLASS PM5.000% 0 .. 03/01/2018. Paydown........................................ ........................... ............51,652 ............51,652 ............52,459 ................51,728 .................... ...............(76) .................. .................(76) .................... ................51,652 ................... ................... ..................0 ............423 03/20/2039. 1................

38376R 6L 5GNMA SERIES 2017 H15 CLASS XI1.732% 0 .. 03/01/2018. Paydown........................................ ........................... ........................ ........................ ..............3,536 ..................3,536 .................... ..........(3,536) .................. .............(3,536) .................... ............................ ................... ................... ..................0 ............113 07/20/2067. 1................

73020@ AA 9PACIFIC NW NATIONAL LAB SERIESCTL 2008 .. 03/15/2018. Redemption 100.0000................ ........................... ..............6,825 ..............6,825 ..............6,825 ..................6,825 .................... ..................... .................. ....................0 .................... ..................6,825 ................... ................... ..................0 ..............74 11/15/2034. 1FE............

75086# AA 3 RAINIER GSA 4.820% 06/15/36.............. .. 03/15/2018. Redemption 100.0000................ ........................... ..............8,711 ..............8,711 ..............8,711 ..................8,711 .................... ..................... .................. ....................0 .................... ..................8,711 ................... ................... ..................0 ..............70 06/15/2036. 1................

82817@ AA 7NATIONAL OCEANIC & ATMOSPHERI3.890% 0 .. 03/05/2018. Redemption 100.0000................ ........................... ............13,234 ............13,234 ............13,234 ................13,234 .................... ..................... .................. ....................0 .................... ................13,234 ................... ................... ..................0 ..............86 01/05/2029. 1................

91847# AA 0GSA OHIO VA PRIVATE PLACEMENT4.730% 1 .. 03/15/2018. Redemption 100.0000................ ........................... ..............7,108 ..............7,108 ..............7,108 ..................7,108 .................... ..................... .................. ....................0 .................... ..................7,108 ................... ................... ..................0 ..............56 12/15/2030. 1FE............

91852# AB 0VA CO SPRINGS SENIOR LEASES3.840% 07/ .. 03/15/2018. Redemption 100.0000................ ........................... ............20,309 ............20,309 ............20,309 ................20,309 .................... ..................... .................. ....................0 .................... ................20,309 ................... ................... ..................0 ............130 07/15/2034. 1FE............

96928* DC 8WILLIAM BLAIR CAPITAL 5.320%09/15/31 .. 03/15/2018. Redemption 100.0000................ ........................... ..............9,843 ..............9,843 ..............9,950 ..................9,915 .................... .................(1) .................. ...................(1) .................... ..................9,914 ................... .............(71) ...............(71) ..............87 09/15/2031. 1................

0599999. Total - Bonds - U.S. Government................................................. ..................................................................................... ..........628,562 ..........628,562 ..........633,815 ..............633,028 .................0 ..........(4,395) ...............0 .............(4,395) .................0 ..............628,633 ................0 .............(71) ...............(71) .........6,972 XXX XXXBonds - U.S. States, Territories and Possessions22967* AA 3 STATE OF MICHIGAN 4.608% 10/15/34. .. 03/15/2018. Redemption 100.0000................ ........................... ..............8,260 ..............8,260 ..............8,508 ..................8,472 .................... .................(2) .................. ...................(2) .................... ..................8,470 ................... ...........(210) .............(210) ..............64 10/15/2034. 1................

1799999. Total - Bonds - U.S. States, Territories & Possessions................. ..................................................................................... ..............8,260 ..............8,260 ..............8,508 ..................8,472 .................0 .................(2) ...............0 ...................(2) .................0 ..................8,470 ................0 ...........(210) .............(210) ..............64 XXX XXXBonds - U.S. Political Subdivisions of States

05915@ AA 9BALTIMORE CITY BOARD OF SCHOOL4.950% .. 03/15/2018. Redemption 100.0000................ ........................... ............18,250 ............18,250 ............18,250 ................18,250 .................... ..................... .................. ....................0 .................... ................18,250 ................... ................... ..................0 ............151 06/15/2043. 1................


QE05.1




Foreign





(Decrease)

CurrentYear's


CurrentYear's





Disposal Date

ForeignExchange




BondInterest /


During Year

StatedContractual

MaturityDate


Indicator (a)

43512* AA 9CITY OF WESTFIELD IN 4.500%07/15/41 .. 01/15/2018. Redemption 100.0000................ ........................... ............11,520 ............11,520 ............11,520 ................11,520 .................... ..................... .................. ....................0 .................... ................11,520 ................... ................... ..................0 ............259 07/15/2041. 1................

71752* AA 9CITY OF PHILADELPHIA 4.040%12/15/21 .. 03/15/2018. Redemption 100.0000................ ........................... ............52,332 ............52,332 ............52,332 ................52,332 .................... ..................... .................. ....................0 .................... ................52,332 ................... ................... ..................0 ............353 12/15/2021. 1................

96928* EG 8CITY OF WEST VALLEY UTAH 5.680%11/15/ .. 03/15/2018. Redemption 100.0000................ ........................... ..............6,093 ..............6,093 ..............6,093 ..................6,093 .................... ..................... .................. ....................0 .................... ..................6,093 ................... ................... ..................0 ..............58 11/15/2037. 1................

96928* FF 9CONTRA COSTA COUNTY CA 4.800%01/15/33 .. 03/15/2018. Redemption 100.0000................ ........................... ..............7,032 ..............7,032 ..............7,098 ..................7,082 .................... ..................... .................. ....................0 .................... ..................7,082 ................... .............(50) ...............(50) ..............58 01/15/2033. 1................

2499999. Total - Bonds - U.S. Political Subdivisions of States..................... ..................................................................................... ............95,227 ............95,227 ............95,293 ................95,277 .................0 ..................0 ...............0 ....................0 .................0 ................95,277 ................0 .............(50) ...............(50) ............879 XXX XXXBonds - U.S. Special Revenue and Special Assessment

22975* AA 3BLUEGRASS STATION MILITARY PRO3.870% .. 03/18/2018. Redemption 100.0000................ ........................... ..............9,466 ..............9,466 ..............9,747 ..................9,735 .................... .................(1) .................. ...................(1) .................... ..................9,734 ................... ...........(268) .............(268) ..............61 04/18/2046. 1................

3128MM NC 3FHLMC GOLD POOL G18386 3.500%05/01/26 .. 03/01/2018. Paydown........................................ ........................... ............17,169 ............17,169 ............17,761 ................17,752 .................... .............(583) .................. ...............(583) .................... ................17,169 ................... ................... ..................0 ............100 05/01/2026. 1................

3132GL VA 9 FHLMC POOL Q05409 3.500% 01/01/42. .. 03/01/2018. Paydown........................................ ........................... ............68,274 ............68,274 ............70,051 ................70,051 .................... ..........(1,776) .................. .............(1,776) .................... ................68,274 ................... ................... ..................0 ............545 01/01/2042. 1................

3136A6 RN 6FNMA SERIES 2012-61 CLASS KE2.250% 12 .. 03/01/2018. Paydown........................................ ........................... ............65,535 ............65,535 ............66,306 ................66,166 .................... .............(631) .................. ...............(631) .................... ................65,535 ................... ................... ..................0 ............216 12/25/2041. 1................

3138EG 5G 5 FNMA POOL AL0846 3.500% 10/01/26... .. 03/01/2018. Paydown........................................ ........................... ............40,510 ............40,510 ............42,383 ................42,383 .................... ..........(1,874) .................. .............(1,874) .................... ................40,510 ................... ................... ..................0 ............230 10/01/2026. 1................3138MJ XK 0 FNMA POOL AQ3381 3.000% 11/01/42... .. 03/01/2018. Paydown........................................ ........................... ............87,952 ............87,952 ............92,349 ................92,010 .................... ..........(4,058) .................. .............(4,058) .................... ................87,952 ................... ................... ..................0 ............445 11/01/2042. 1................3138W0 VK 2 FNMA POOL AR3317 3.500% 02/01/43... .. 03/01/2018. Paydown........................................ ........................... ............62,098 ............62,098 ............61,623 ................61,671 .................... ..............427 .................. .................427 .................... ................62,098 ................... ................... ..................0 ............353 02/01/2043. 1................3138X3 EY 4 FNMA POOL AU3750 4.000% 08/01/43... .. 03/01/2018. Paydown........................................ ........................... ............53,963 ............53,963 ............55,742 ................55,470 .................... ..........(1,508) .................. .............(1,508) .................... ................53,963 ................... ................... ..................0 ............359 08/01/2043. 1................

31393X VH 7FNMA SERIES 2004-W3 CLASS A65.500% 05 .. 03/01/2018. Paydown........................................ ........................... ............63,708 ............63,708 ............62,095 ................63,271 .................... ..............436 .................. .................436 .................... ................63,708 ................... ................... ..................0 ............575 05/25/2034. 1................

31407R VP 6 FNMA POOL 838622 5.500% 10/01/35.... .. 03/01/2018. Paydown........................................ ........................... ..............3,748 ..............3,748 ..............3,734 ..................3,734 .................... ................14 .................. ...................14 .................... ..................3,748 ................... ................... ..................0 ..............34 10/01/2035. 1................31416R RB 1 FNMA POOL AA7681 4.500% 06/01/39... .. 03/01/2018. Paydown........................................ ........................... ............10,077 ............10,077 ............10,264 ................10,248 .................... .............(171) .................. ...............(171) .................... ................10,077 ................... ................... ..................0 ..............67 06/01/2039. 1................31417D LW 1 FNMA POOL AB6640 2.000% 10/01/27... .. 03/01/2018. Paydown........................................ ........................... ............13,261 ............13,261 ............13,605 ................13,476 .................... .............(215) .................. ...............(215) .................... ................13,261 ................... ................... ..................0 ..............44 10/01/2027. 1................31417U BT 1 FNMA POOL AC7249 4.000% 11/01/39... .. 03/01/2018. Paydown........................................ ........................... ..........105,441 ..........105,441 ..........104,679 ..............104,775 .................... ..............666 .................. .................666 .................... ..............105,441 ................... ................... ..................0 ............779 11/01/2039. 1................31418N XX 3 FNMA POOL AD1593 4.500% 02/01/40... .. 03/01/2018. Paydown........................................ ........................... ............27,210 ............27,210 ............27,235 ................27,231 .................... ...............(22) .................. .................(22) .................... ................27,210 ................... ................... ..................0 ............207 02/01/2040. 1................31418N ZW 3 FNMA POOL AD1656 4.500% 03/01/40... .. 03/01/2018. Paydown........................................ ........................... ............24,471 ............24,471 ............24,528 ................24,524 .................... ...............(53) .................. .................(53) .................... ................24,471 ................... ................... ..................0 ............173 03/01/2040. 1................31418Q S9 5 FNMA POOL AD3243 4.500% 04/01/40... .. 03/01/2018. Paydown........................................ ........................... ............11,107 ............11,107 ............11,138 ................11,138 .................... ...............(31) .................. .................(31) .................... ................11,107 ................... ................... ..................0 ............109 04/01/2040. 1................31419D JY 8 FNMA POOL AE2978 4.000% 08/01/25... .. 03/01/2018. Paydown........................................ ........................... ............61,344 ............61,344 ............64,322 ................64,322 .................... ..........(2,979) .................. .............(2,979) .................... ................61,344 ................... ................... ..................0 ............403 08/01/2025. 1................

38011S AA 3GMAC COMMERCIAL MORTGAE ASSETSERIES 200 .. 03/10/2018. Paydown........................................ ........................... ............33,934 ............33,934 ............34,429 ................34,104 .................... .............(170) .................. ...............(170) .................... ................33,934 ................... ................... ..................0 ............341 09/10/2024. 1................

48503T AA 5KANSAS CITY MO INDL DEV AUTHNNSA PRIVAT .. 03/10/2018. Redemption 100.0000................ ........................... ..............9,318 ..............9,318 ..............9,318 ..................9,318 .................... ..................... .................. ....................0 .................... ..................9,318 ................... ................... ..................0 ..............82 12/10/2032. 1................

677555 X2 5STATE OF OHIO ECONOMIC DEVELOP4.470% .. 03/01/2018. Redemption 100.0000................ ........................... ............10,000 ............10,000 ............10,000 ................10,000 .................... ..................... .................. ....................0 .................... ................10,000 ................... ................... ..................0 ............112 12/01/2033. 1FE............

90224# AA 52014 ACQUISITION 10 LLC 4.570%05/15/3 .. 03/15/2018. Redemption 100.0000................ ........................... ............19,017 ............19,017 ............19,017 ................19,017 .................... ..................... .................. ....................0 .................... ................19,017 ................... ................... ..................0 ............145 05/15/2036. 1................

3199999. Total - Bonds - U.S. Special Revenue and Special Assessments. ..................................................................................... ..........797,603 ..........797,603 ..........810,326 ..............810,396 .................0 ........(12,529) ...............0 ...........(12,529) .................0 ..............797,871 ................0 ...........(268) .............(268) .........5,380 XXX XXXBonds - Industrial and Miscellaneous

00085B AD 5ABPCI DIRECT LENDING FDG V LLC6.850% .. 01/24/2018. Paydown........................................ ........................... .......3,000,000 .......3,000,000 .......3,000,000 ...........3,000,000 .................... ..................... .................. ....................0 .................... ...........3,000,000 ................... ................... ..................0 .......60,928 02/16/2027. 1FE............


QE05.2




Foreign





(Decrease)

CurrentYear's


CurrentYear's





Disposal Date

ForeignExchange




BondInterest /


During Year

StatedContractual

MaturityDate


Indicator (a)

007036 DH 6ADJUSTABLE RATE MORTGAGE TRUSTSERIES 20 .. 03/01/2018. Paydown........................................ ........................... ............16,844 ............16,844 ............17,012 ................16,917 .................... ...............(73) .................. .................(73) .................... ................16,844 ................... ................... ..................0 ............139 02/25/2035. 1FM...........

008065 A* 5AEROVIAS DE MEXICO AEROMEXICO5.127% 1 .. 03/28/2018. Redemption 100.0000................ ........................... ..........250,000 ..........250,000 ..........250,000 ..............250,000 .................... ..................... .................. ....................0 .................... ..............250,000 ................... ................... ..................0 .........2,047 10/28/2021. 1FE............

02378A AA 5AMER AIRLINE 17 1 A PTT SERIES 2017-1 CL .. 02/15/2018. Redemption 100.0000................ ........................... ............56,550 ............56,550 ............56,550 ................56,550 .................... ..................... .................. ....................0 .................... ................56,550 ................... ................... ..................0 .........1,131 02/15/2029. 1FE............

03766E AB 3APOLLO AVIATION SECURITIZATION4.212% .. 03/15/2018. Redemption 100.0000................ ........................... ..........115,800 ..........115,800 ..........115,796 ..............115,796 .................... ..................... .................. ....................0 .................... ..............115,796 ................... ................4 ..................4 ............815 01/15/2027. 1FE............

05330K AA 3AUTOPISTAS METROPOLITIONPUERTO RICO 6 .. 03/31/2018. Redemption 100.0000................ ........................... ..............4,500 ..............4,500 ..............4,500 ..................4,500 .................... ..................... .................. ....................0 .................... ..................4,500 ................... ................... ..................0 ..............76 06/30/2035. 4FE............

05606V AA 6BXG RECEIVABLES NOTE TRUST 2013-A A 144A .. 03/02/2018. Paydown........................................ ........................... ............56,048 ............56,048 ............56,036 ................57,833 .................... ..........(1,785) .................. .............(1,785) .................... ................56,048 ................... ................... ..................0 ............273 12/04/2028. 1FE............

05948J AA 0BANK OF AMERICA MORTGAGE SECSERIES 2002 .. 03/01/2018. Paydown........................................ ........................... .................163 .................163 .................165 .....................175 .................... ...............(12) .................. .................(12) .................... .....................163 ................... ................... ..................0 ................2 12/25/2032. 3FM...........

07325D AC 8BAYVIEW FINANCIAL ACQUISITION2006-C 1A2 .. 03/01/2018. Paydown........................................ ........................... ..........159,658 ..........159,658 ..........156,372 ..............157,527 .................... ...........2,131 .................. ..............2,131 .................... ..............159,658 ................... ................... ..................0 .........1,006 11/28/2036. 1FM...........

07400T AB 3BEAR STEARNS ASSET BACKED SEC2007-2 A2 .. 03/26/2018. Paydown........................................ ........................... ..........143,980 ..........143,980 ..........143,980 ..............143,975 .................... ..................5 .................. ....................5 .................... ..............143,980 ................... ................... ..................0 ............374 01/25/2047. 1FM...........

08876@ AA 0BOSTONIA WALGREEN'S 6.660%07/15/32 .. 03/15/2018. Redemption 100.0000................ ........................... ..............8,235 ..............8,235 ..............8,235 ..................8,235 .................... ..................... .................. ....................0 .................... ..................8,235 ................... ................... ..................0 ..............92 07/15/2032. 2................

08877@ AA 9DISTRICT OF COLUMBIA 6.489%06/15/32 .. 03/15/2018. Redemption 100.0000................ ........................... ............17,581 ............17,581 ............17,581 ................17,581 .................... ..................... .................. ....................0 .................... ................17,581 ................... ................... ..................0 ............190 06/15/2032. 1................

123262 AN 7BUSINESS JET SECURITIES LLCSERIES 2018 .. 03/15/2018. Paydown........................................ ........................... ............87,340 ............87,340 ............87,338 ............................ .................... ..................2 .................. ....................2 .................... ................87,340 ................... ................... ..................0 ............158 02/15/2033. 1FE............

12498@ AA 0SHORELINE SQUARE LLC 4.310%08/15/43 .. 03/15/2018. Redemption 100.0000................ ........................... .................680 .................680 .................680 .....................680 .................... ..................... .................. ....................0 .................... .....................680 ................... ................... ..................0 ................5 08/15/2043. 1FE............

12527G AF 0 CF INDUSTRIES INC 5.150% 03/15/34... .. 03/16/2018. Citigroup Global Markets................ ........................... ..........727,500 ..........750,000 ..........801,548 ..............795,559 .................... .............(372) .................. ...............(372) .................... ..............795,187 ................... ......(67,687) ........(67,687) .......19,849 03/15/2034. 3FE............

12537# AA 1GENERAL ELECTRIC CO. 5.650%12/10/23 .. 03/10/2018. Redemption 100.0000................ ........................... ............13,659 ............13,659 ............13,659 ................13,659 .................... ..................... .................. ....................0 .................... ................13,659 ................... ................... ..................0 ............129 12/10/2023. 1................

12538@ AA 2CTL BNY MELLON BANK 2.932%03/10/25 .. 03/10/2018. Redemption 100.0000................ ........................... ............39,162 ............39,162 ............39,162 ................39,162 .................... ..................... .................. ....................0 .................... ................39,162 ................... ................... ..................0 ............192 03/10/2025. 1................

12540@ AA 8 SEMPRA ENERGY 4.700% 07/10/40...... .. 03/10/2018. Redemption 100.0000................ ........................... ..............6,020 ..............6,020 ..............6,020 ..................6,020 .................... ..................... .................. ....................0 .................... ..................6,020 ................... ................... ..................0 ..............47 07/10/2040. 2................

125464 AA 5CIC RECEIVABLES MASTER TRUST4.890% 10 .. 01/08/2018. Redemption 100.0000................ ........................... ............85,817 ............85,817 ............85,817 ................85,817 .................... ..................... .................. ....................0 .................... ................85,817 ................... ................... ..................0 .........1,049 10/07/2021. 1FE............

12558* AA 9 XTO ENERGY 4.038% 03/10/37.............. .. 03/10/2018. Redemption 100.0000................ ........................... ............10,107 ............10,107 ............10,107 ................10,107 .................... ..................... .................. ....................0 .................... ................10,107 ................... ................... ..................0 ..............68 03/10/2037. 1FE............

12558M BK 7CIT GROUP HOME EQUITY LOAN TR2003-1 A5 .. 03/01/2018. Paydown........................................ ........................... ..........115,098 ..........115,098 ............92,078 ..............111,047 .................... ...........4,051 .................. ..............4,051 .................... ..............115,098 ................... ................... ..................0 .........1,021 07/20/2034. 1FM...........

12598@ AA 9ROCKWELL COLLINS UTC 4.116%11/10/31 .. 03/10/2018. Redemption 100.0000................ ........................... ............42,676 ............42,676 ............42,676 ............................ .................... ..................... .................. ....................0 .................... ................42,676 ................... ................... ..................0 ..............44 11/10/2031. 1FE............

12623P AD 8CNH EQUIPMENT TRUST SERIES 2014-B CLASS .. 03/15/2018. Paydown........................................ ........................... ..........486,509 ..........486,509 ..........486,341 ..............486,468 .................... ................42 .................. ...................42 .................... ..............486,509 ................... ................... ..................0 .........1,303 05/17/2021. 1FE............

12644@ CL 7 CTL TRUST 5.680% 06/15/33.................. .. 03/15/2018. Redemption 100.0000................ ........................... ..............9,642 ..............9,642 ..............9,287 ..................9,350 .................... ..................2 .................. ....................2 .................... ..................9,352 ................... ............290 ..............290 ..............91 06/15/2033. 1................


QE05.3




Foreign





(Decrease)

CurrentYear's


CurrentYear's





Disposal Date

ForeignExchange




BondInterest /


During Year

StatedContractual

MaturityDate


Indicator (a)

12648@ AA 9CTL SERIES 2008-7 BOSTONUNIVERSIT 6.3 .. 03/15/2018. Redemption 100.0000................ ........................... ............17,360 ............17,360 ............17,360 ................17,360 .................... ..................... .................. ....................0 .................... ................17,360 ................... ................... ..................0 ............184 08/15/2024. 1................

12652@ AA 2CTL2010-1 TRUSTALLEGHENY COUN6.580% 0 .. 03/15/2018. Redemption 100.0000................ ........................... ..............8,875 ..............8,875 ..............8,875 ..................8,875 .................... ..................... .................. ....................0 .................... ..................8,875 ................... ................... ..................0 ..............98 01/15/2030. 1................

12656* AE 2 CSL LIMITED 2.070% 03/26/18............... .. 03/26/2018. Maturity.......................................... ........................... .......2,000,000 .......2,000,000 .......2,000,000 ...........2,000,000 .................... ..................... .................. ....................0 .................... ...........2,000,000 ................... ................... ..................0 .......20,700 03/26/2018. 1................

12657@ AA 7PHILIPS ELECTRONICS 4.130%04/01/27 .. 01/01/2018. Redemption 100.0000................ ........................... ............30,150 ............30,150 ............30,150 ................30,150 .................... ..................... .................. ....................0 .................... ................30,150 ................... ................... ..................0 ............311 04/01/2027. 2................

12667F VN 2COUNTRYWIDE ALTERNATIVE LOAN TSERIES 20 .. 03/01/2018. Paydown........................................ ........................... ............45,820 ............45,820 ............45,132 ................44,702 .................... ...........1,118 .................. ..............1,118 .................... ................45,820 ................... ................... ..................0 ............482 11/25/2034. 1FM...........

12667F VP 7COUNTRYWIDE ALTERNATIVE LOAN TSERIES 20 .. 03/01/2018. Paydown........................................ ........................... ............54,944 ............54,944 ............54,738 ................54,661 .................... ..............283 .................. .................283 .................... ................54,944 ................... ................... ..................0 ............477 11/25/2019. 1FM...........

12668G AE 2COUNTRYWIDE ASSET BACKED CERTISERIES 20 .. 01/02/2018. Direct Transfer................................ ........................... ........................ .....................2 ........................ ............................ .................... ..................... .................. ....................0 .................... ............................ ................... ................... ..................0 .........2,769 08/25/2036. 5FE............

12692* AA 6 HARBOR REGIONAL 4.470% 11/15/39... .. 03/15/2018. Redemption 100.0000................ ........................... ..............3,628 ..............3,628 ..............3,628 ..................3,628 .................... ..................... .................. ....................0 .................... ..................3,628 ................... ................... ..................0 ..............27 11/15/2039. 1................12697# AA 7 THORTONS INC 4.560% 03/15/42.......... .. 03/15/2018. Redemption 100.0000................ ........................... ............17,348 ............17,348 ............17,348 ................17,348 .................... ..................... .................. ....................0 .................... ................17,348 ................... ................... ..................0 ............132 03/15/2042. 1FE............

12805P AE 6CAL FUNDING LTD SERIES 2018 1ACLASS A 1 .. 03/26/2018. Paydown........................................ ........................... ..............7,917 ..............7,917 ..............7,916 ............................ .................... ..................1 .................. ....................1 .................... ..................7,917 ................... ................... ..................0 ..............24 02/25/2043. 1FE............

14313R AD 5CARMAX AUTO OWNER TRUST SERIES2014-2 CL .. 03/16/2018. Paydown........................................ ........................... ..........647,467 ..........647,467 ..........647,359 ..............647,452 .................... ................15 .................. ...................15 .................... ..............647,467 ................... ................... ..................0 .........1,738 10/15/2019. 1FE............

14855J AB 1CASTLELAKE AIRCRAFT SECURITIZASERIES 20 .. 03/15/2018. Paydown........................................ ........................... ..........119,972 ..........119,972 ..........119,937 ..............119,943 .................... ................30 .................. ...................30 .................... ..............119,972 ................... ................... ..................0 .........1,041 08/15/2041. 1FE............

14855L AB 6CASTLELAKE AIRCRAFT SECURITIZASERIES 20 .. 03/15/2018. Paydown........................................ ........................... ............70,800 ............70,800 ............70,800 ................70,800 .................... ..................... .................. ....................0 .................... ................70,800 ................... ................... ..................0 ............496 07/15/2042. 1FE............

152314 EL 0CENTEX HOME EQUITY 2002-A AF605.540% .. 03/01/2018. Paydown........................................ ........................... ..............1,439 ..............1,439 ..............1,415 ..................1,419 .................... ................20 .................. ...................20 .................... ..................1,439 ................... ................... ..................0 ..............10 01/25/2032. 1FM...........

15722* AA 3NATIONAL OILWELL VARCO 4.835%01/10/41 .. 03/10/2018. Redemption 100.0000................ ........................... ..............4,187 ..............4,187 ..............4,187 ..................4,187 .................... ..................... .................. ....................0 .................... ..................4,187 ................... ................... ..................0 ..............34 01/10/2041. 2................

15724@ AA 9DISTRICT OF COLUMBIA 4.150%02/10/36 .. 03/10/2018. Redemption 100.0000................ ........................... ..............6,791 ..............6,791 ..............6,791 ..................6,791 .................... ..................... .................. ....................0 .................... ..................6,791 ................... ................... ..................0 ..............48 02/10/2036. 1................

171265 A@ 0CHUGACH ELECTRIC ASSOCIATIONPRIVATE PLA .. 03/15/2018. Redemption 100.0000................ ........................... ............33,333 ............33,333 ............33,333 ................33,333 .................... ..................... .................. ....................0 .................... ................33,333 ................... ................... ..................0 ............792 03/15/2041. 1................

17309Y AM 9CITIGROUP MORTGAGE LOAN TRUST2006-FX1W .. 03/01/2018. Paydown........................................ ........................... ............46,671 ............46,671 ............45,644 ................45,644 .................... ...........1,027 .................. ..............1,027 .................... ................46,671 ................... ................... ..................0 ............378 10/25/2036. 1FM...........

17310D AJ 9CITIGROUP MORTGAGE SECURITIESSERIES 200 .. 03/01/2018. Paydown........................................ ........................... ............24,892 ............24,892 ............24,943 ................24,299 .................... ..............594 .................. .................594 .................... ................24,892 ................... ................... ..................0 ............143 08/25/2036. 1FM...........

20030N AR 2 COMCAST CORP 5.875% 02/15/18........ .. 02/12/2018. MILLENNIUM ADVISORS.............. ........................... .......1,000,280 .......1,000,000 ..........960,240 ..............999,192 .................... ..............749 .................. .................749 .................... ..............999,941 ................... ............339 ..............339 .......28,885 02/15/2018. 1FE............

201736 AB 1COMMERCIAL MORTGAGE LEASESERIES 2001-CM .. 03/01/2018. Paydown........................................ ........................... ..........106,981 ..........106,981 ..........119,083 ..............108,519 .................... ..........(1,538) .................. .............(1,538) .................... ..............106,981 ................... ................... ..................0 .........1,317 06/20/2031. 1FM...........

22100* AA 1CORVIAS CAMPUS LIVING USG LLC5.300% 0 .. 01/01/2018. Redemption 100.0000................ ........................... .................481 .................481 .................481 .....................481 .................... ..................... .................. ....................0 .................... .....................481 ................... ................... ..................0 ..............13 07/01/2050. 2FE............

22822R AR 1CROWN CASTLE TOWERS LLC SERIES144A 6. .. 01/15/2018. Call 105.4133............................ ........................... .......2,635,332 .......2,500,000 .......2,500,000 ...........2,500,000 .................... ..................... .................. ....................0 .................... ...........2,500,000 ................... ................... ..................0 .....148,068 01/15/2020. 1FE............

22944@ AB 7YALE NEW HAVEN HOSPITAL CTL 20083 6.7 .. 03/15/2018. Redemption 100.0000................ ........................... ..............6,972 ..............6,972 ..............6,972 ..................6,972 .................... ..................... .................. ....................0 .................... ..................6,972 ................... ................... ..................0 ..............79 01/15/2030. 1................


QE05.4




Foreign





(Decrease)

CurrentYear's


CurrentYear's





Disposal Date

ForeignExchange




BondInterest /


During Year

StatedContractual

MaturityDate


Indicator (a)

22944@ AC 5YALE NEW HAVEN HOSPITAL 6.980%01/15/3 .. 03/15/2018. Redemption 100.0000................ ........................... ..............1,412 ..............1,412 ..............1,412 ..................1,412 .................... ..................... .................. ....................0 .................... ..................1,412 ................... ................... ..................0 ..............16 01/15/2030. 1................

22948@ AA 5TRUST METHODIST HSPTL DALLASPRIVATE PLA .. 03/15/2018. Redemption 100.0000................ ........................... ..............8,026 ..............8,026 ..............8,026 ..................8,026 .................... ..................... .................. ....................0 .................... ..................8,026 ................... ................... ..................0 ..............76 10/15/2030. 1................

22953@ AB 5 AHOLD 5.370% 12/15/31......................... .. 03/15/2018. Redemption 100.0000................ ........................... ..............1,326 ..............1,326 ..............1,326 ..................1,326 .................... ..................... .................. ....................0 .................... ..................1,326 ................... ................... ..................0 ..............12 12/15/2031. 2................22958* AA 4 HOME DEPOT 3.890% 01/15/39............. .. 03/15/2018. Redemption 100.0000................ ........................... ............13,140 ............13,140 ............13,140 ................13,140 .................... ..................... .................. ....................0 .................... ................13,140 ................... ................... ..................0 ..............85 01/15/2039. 1................

22960# AA 6FAIRFAX COUNTY BOARD EDUCATION4.610% .. 03/15/2018. Redemption 100.0000................ ........................... ..............7,171 ..............7,171 ..............7,171 ..................7,171 .................... ..................... .................. ....................0 .................... ..................7,171 ................... ................... ..................0 ..............56 11/15/2032. 1................

22960* AA 0OCHSNER CLINIC FOUNDATION5.260% 12/15 .. 03/15/2018. Redemption 100.0000................ ........................... ............27,214 ............27,214 ............27,214 ................27,214 .................... ..................... .................. ....................0 .................... ................27,214 ................... ................... ..................0 ............239 12/15/2028. 1................

22960@ AA 8 TEXAS A&M 4.615% 12/15/34................. .. 03/15/2018. Redemption 100.0000................ ........................... ..............6,180 ..............6,180 ..............6,180 ..................6,180 .................... ..................... .................. ....................0 .................... ..................6,180 ................... ................... ..................0 ..............48 11/15/2034. 1................

22966@ AA 2UNIVERSITY OF DAYTON LEASE3.980% 12/1 .. 03/17/2018. Redemption 100.0000................ ........................... ............46,177 ............46,177 ............47,416 ................47,131 .................... ...............(14) .................. .................(14) .................... ................47,117 ................... ...........(940) .............(940) ............307 12/17/2026. 1................

22967@ AA 1CTL 2014-05 TRUST (FEDERAL EX)3.900% .. 03/15/2018. Redemption 100.0000................ ........................... ..............5,109 ..............5,109 ..............5,109 ..................5,109 .................... ..................... .................. ....................0 .................... ..................5,109 ................... ................... ..................0 ..............33 01/15/2040. 2................

22969@ AA 9 MISSION HEALTH 3.820% 04/15/34....... .. 03/15/2018. Redemption 100.0000................ ........................... ..............7,739 ..............7,739 ..............7,954 ..................7,926 .................... .................(2) .................. ...................(2) .................... ..................7,924 ................... ...........(185) .............(185) ..............49 04/15/2034. 1................22970* AA 8 TRT LEASE CO LLCF 4.070% 05/15/34.. .. 03/15/2018. Redemption 100.0000................ ........................... ............19,202 ............19,202 ............19,202 ................19,202 .................... ..................... .................. ....................0 .................... ................19,202 ................... ................... ..................0 ............130 05/15/2034. 1FE............

22976@ AA 0EMORY UNIV GEORGIA TECH SERIES E3.583 .. 03/15/2018. Redemption 100.0000................ ........................... ............10,456 ............10,456 ............10,456 ................10,456 .................... ..................... .................. ....................0 .................... ................10,456 ................... ................... ..................0 ..............63 06/15/2045. 1................

22976@ AB 8EMORY UNIV GEORGIA TECH SERIESG 3.583 .. 03/15/2018. Redemption 100.0000................ ........................... ............10,456 ............10,456 ............10,456 ................10,456 .................... ..................... .................. ....................0 .................... ................10,456 ................... ................... ..................0 ..............63 06/15/2045. 1................

22983# AB 7BETHUNE COOKMAN UNIVERSITY4.599% 12/1 .. 03/15/2018. Redemption 100.0000................ ........................... ..............9,995 ..............9,995 ..............9,995 ..................9,995 .................... ..................... .................. ....................0 .................... ..................9,995 ................... ................... ..................0 ..............77 12/15/2046. 2................

22984# AA 8DALLAS COUNTY SCHOOL 5.340%06/15/35 .. 03/15/2018. Redemption 100.0000................ ........................... ............20,173 ............20,173 ............20,173 ................20,173 .................... ..................... .................. ....................0 .................... ................20,173 ................... ................... ..................0 ............180 06/15/2035. 2................

22984* AA 2NORTH SHORE LONG ISLAND JEWISH4.290% .. 03/15/2018. Redemption 100.0000................ ........................... .................341 .................341 .................341 .....................341 .................... ..................... .................. ....................0 .................... .....................341 ................... ................... ..................0 ................2 04/15/2045. 1................

23156# AA 8CURTISS WRIGHT CORP 5.760%04/30/31 .. 03/30/2018. Redemption 100.0000................ ........................... ..............9,845 ..............9,845 ..............9,845 ..................9,845 .................... ..................... .................. ....................0 .................... ..................9,845 ................... ................... ..................0 ..............95 04/30/2031. 2................

25087* AH 6DETROIT INTL BRIDGE COMPANY5.340% 11/ .. 03/02/2018. Redemption 100.0000................ ........................... ............24,068 ............24,068 ............24,068 ................24,068 .................... ..................... .................. ....................0 .................... ................24,068 ................... ................... ..................0 ............250 11/02/2023. 2FE............

26067* AA 3 DOW CHEMICAL 5.180% 03/15/34......... .. 03/15/2018. Redemption 100.0000................ ........................... ..............7,480 ..............7,480 ..............7,514 ..................7,508 .................... ..................... .................. ....................0 .................... ..................7,508 ................... .............(28) ...............(28) ..............65 03/15/2034. 2................

26885* AA 3NORTH EASTERN OHIO MEDICAL5.390% 11/0 .. 03/08/2018. Redemption 100.0000................ ........................... ............33,808 ............33,808 ............34,347 ................34,273 .................... .................(1) .................. ...................(1) .................... ................34,272 ................... ...........(463) .............(463) ............304 11/08/2044. 2................

27004# AA 3EAGLE RIDER HOLDING INC 9.484%12/18/2 .. 03/31/2018. Redemption 100.0000................ ........................... ..............2,240 ..............2,240 ..............2,240 ..................2,240 .................... ..................... .................. ....................0 .................... ..................2,240 ................... ................... ..................0 ..............52 12/18/2022. 2FE............

29669* AA 9 ESSENTIA HEALTH 3.990% 02/15/35..... .. 02/15/2018. Redemption 100.0000................ ........................... ..........332,236 ..........332,236 ..........332,236 ..............332,236 .................... ..................... .................. ....................0 .................... ..............332,236 ................... ................... ..................0 .........6,628 02/15/2034. 1................302491 AR 6 FMC CORP 3.950% 02/01/22.................. .. 02/09/2018. Pershing......................................... ........................... .......1,023,840 .......1,000,000 ..........995,750 ..............998,108 .................... ................64 .................. ...................64 .................... ..............998,172 ................... .......25,668 .........25,668 .......20,957 02/01/2022. 2FE............

30605Y AB 7FALCON AEROSPACE LIMITED SERIES2017-1 C .. 03/15/2018. Paydown........................................ ........................... ............16,600 ............16,600 ............16,600 ................16,600 .................... ..................... .................. ....................0 .................... ................16,600 ................... ................... ..................0 ............127 02/15/2042. 1FE............

30605Y AD 3FALCON AEROSPACE LIMITED SERIES2017 1 C .. 03/15/2018. Paydown........................................ ........................... ............24,900 ............24,900 ............24,787 ................24,800 .................... ..............100 .................. .................100 .................... ................24,900 ................... ................... ..................0 ............261 02/15/2042. 2AM...........

31953* AM 4BNSF RAILWAY CO SERIES B 5.960%10/15/ .. 02/15/2018. Redemption 100.0000................ ........................... .................282 .................282 .................282 .....................282 .................... ..................... .................. ....................0 .................... .....................282 ................... ................... ..................0 ................... 10/15/2027. 1................


QE05.5




Foreign





(Decrease)

CurrentYear's


CurrentYear's





Disposal Date

ForeignExchange




BondInterest /


During Year

StatedContractual

MaturityDate


Indicator (a)

31953* AN 2BNSF RAILWAY CO SERIES C 5.960%10/15/ .. 02/15/2018. Redemption 100.0000................ ........................... .................568 .................568 .................568 .....................568 .................... ..................... .................. ....................0 .................... .....................568 ................... ................... ..................0 ................... 10/15/2027. 1................

33840* AA 3INTL FLAVORS AND FRAGRANCEPRIVATE PLACE .. 03/15/2018. Redemption 100.0000................ ........................... ..............8,866 ..............8,866 ..............8,866 ..................8,866 .................... ..................... .................. ....................0 .................... ..................8,866 ................... ................... ..................0 ..............71 11/15/2030. 2................

340711 AV 2FLORIDA GAS TRANSMISSION SERIES144A 3 .. 03/09/2018. Toronto Dominion Secs.................. ........................... ..........506,095 ..........500,000 ..........499,365 ..............499,684 .................... .................(1) .................. ...................(1) .................... ..............499,683 ................... .........6,412 ...........6,412 .......12,809 07/15/2022. 2FE............

36228F 2Y 1GSAA TRUST SERIES 2004-6F CLASSB1 5.9 .. 03/01/2018. Paydown........................................ ........................... ............39,887 ............39,887 ............38,889 ................35,143 .................... ...........4,744 .................. ..............4,744 .................... ................39,887 ................... ................... ..................0 ............466 05/25/2034. 1FM...........

362341 VV 8GSR MORTGAGE LOAN TR SERIES2005-8F CLAS .. 03/01/2018. Paydown........................................ ........................... ..............9,187 ..............9,187 ..............8,856 ..................8,884 .................... ..............303 .................. .................303 .................... ..................9,187 ................... ................... ..................0 ..............96 11/25/2035. 1FM...........

36242D VF 7GSAMP TRUST SERIES 2005-1F CLASS2A3 6 .. 03/01/2018. Paydown........................................ ........................... ..............8,561 ..............8,561 ..............8,781 ..................8,372 .................... ..............189 .................. .................189 .................... ..................8,561 ................... ................... ..................0 ..............73 02/25/2035. 3FM...........

36804P AF 3GATX FINANCIAL CORP SERIES 2005-1CLASS .. 01/02/2018. Redemption 100.0000................ ........................... ............46,135 ............46,135 ............46,135 ................46,135 .................... ..................... .................. ....................0 .................... ................46,135 ................... ................... ..................0 .........1,314 01/02/2025. 2FE............

37956A AA 1GLOBAL SC FINANACE SRL SERIES2017 1A CL .. 03/08/2018. Various........................................... ........................... .......1,736,732 .......1,736,190 .......1,735,568 ...........1,735,598 .................... ..................8 .................. ....................8 .................... ...........1,735,606 ................... .........1,127 ...........1,127 .......10,769 04/15/2037. 1FE............

37956A AA 1GLOBAL SC FINANACE SRL SERIES2017 1A CL .. 01/17/2018. Paydown........................................ ........................... ............14,570 ............14,570 ............14,565 ................14,565 .................... ..................5 .................. ....................5 .................... ................14,570 ................... ................... ..................0 ..............47 04/15/2037. 1FE............

38061L AA 7GOLD KEY RESORTS LLC SERIES 2014-A CLASS .. 03/15/2018. Paydown........................................ ........................... ............47,669 ............47,669 ............47,659 ................47,660 .................... ..................9 .................. ....................9 .................... ................47,669 ................... ................... ..................0 ............249 03/17/2031. 1FE............

38174A AC 1GOLUB CAPITAL BDC LLC SERIES 20141A CLA .. 03/25/2018. Paydown........................................ ........................... ..........250,000 ..........250,000 ..........250,125 ..............250,125 .................... .............(125) .................. ...............(125) .................... ..............250,000 ................... ................... ..................0 .........4,151 04/25/2026. 1FE............

39153V BX 1GREAT AMERICA LEASING RECEIVABSERIES 20 .. 03/20/2018. Paydown........................................ ........................... ..........201,623 ..........201,623 ..........201,601 ..............201,613 .................... ................11 .................. ...................11 .................... ..............201,623 ................... ................... ..................0 ............776 06/21/2021. 1FE............

393505 BK 7GREEN TREE FINANCIAL CORP 1993-3A7 6. .. 03/15/2018. Paydown........................................ ........................... .................313 .................313 .................321 .....................314 .................... .................(1) .................. ...................(1) .................... .....................313 ................... ................... ..................0 ................4 10/15/2018. 3AM...........

393505 F4 9GREEN TREE FINANCIAL CORP 1998-4A5 6. .. 03/01/2018. Paydown........................................ ........................... ..............7,895 ..............7,895 ..............8,068 ..................8,111 .................... .............(216) .................. ...............(216) .................... ..................7,895 ................... ................... ..................0 ..............84 04/01/2030. 4AM...........

39678W AA 6GREENWICH CAP STRUCTURED PRODSERIES 200 .. 03/01/2018. Paydown........................................ ........................... ..............6,911 ..............6,911 ..............6,882 ..................6,911 .................... ..................... .................. ....................0 .................... ..................6,911 ................... ................... ..................0 ..............53 09/25/2034. 1FM...........

39948P AA 5TERA HOSPITALITY- GIANT LLC4.949% 11/ .. 03/15/2018. Redemption 100.0000................ ........................... ...................83 ...................83 ...................83 .......................83 .................... ..................... .................. ....................0 .................... .......................83 ................... ................... ..................0 ................1 11/15/2052. 1FE............

42308# AE 7HELEN OF TROY PRIVATE PLACEMENT3.900% .. 01/12/2018. Redemption 100.0000................ ........................... ..........400,000 ..........400,000 ..........400,000 ..............400,000 .................... ..................... .................. ....................0 .................... ..............400,000 ................... ................... ..................0 .........7,800 01/12/2018. 2................

44416* AB 2HUDSON TRANSMISSION PARTNERSPrivate Pla .. 02/28/2018. Redemption 100.0000................ ........................... ..............3,857 ..............3,857 ..............3,839 ..................3,842 .................... ..................... .................. ....................0 .................... ..................3,842 ................... ..............15 ................15 ..............43 05/31/2033. 2FE............

44855@ AA 0 HYVEE INC 6.000% 12/10/29.................. .. 03/10/2018. Redemption 100.0000................ ........................... ............10,497 ............10,497 ............10,497 ................10,497 .................... ..................... .................. ....................0 .................... ................10,497 ................... ................... ..................0 ............105 12/10/2029. 2................

44890U AD 6HYUNDAI AUTO RECEIVABLES TRUSTSERIES 20 .. 03/15/2018. Paydown........................................ ........................... ..........667,908 ..........667,908 ..........667,895 ..............667,905 .................... ..................3 .................. ....................3 .................... ..............667,908 ................... ................... ..................0 .........1,608 11/15/2019. 1FE............

449670 CP 1IMC HOME EQUITY LOAN TRUST 1997-3A6 7 .. 03/01/2018. Paydown........................................ ........................... ............19,736 ............19,736 ............19,850 ................20,022 .................... .............(287) .................. ...............(287) .................... ................19,736 ................... ................... ..................0 ............258 08/20/2028. 1FM...........

45254N JW 8IMPAC CMB TRUST SERIES 2004-6CLASS 2A .. 03/01/2018. Paydown........................................ ........................... ..............8,189 ..............8,189 ..............7,984 ..................8,043 .................... ..............146 .................. .................146 .................... ..................8,189 ................... ................... ..................0 ..............52 10/25/2034. 1FM...........


QE05.6




Foreign





(Decrease)

CurrentYear's


CurrentYear's





Disposal Date

ForeignExchange




BondInterest /


During Year

StatedContractual

MaturityDate


Indicator (a)

45660N F7 5RESIDENTIAL ASSET SECUR TRUSTSERIES 200 .. 03/01/2018. Paydown........................................ ........................... ..............5,664 ..............5,664 ..............5,751 ..................5,740 .................... ...............(76) .................. .................(76) .................... ..................5,664 ................... ................... ..................0 ..............57 06/25/2034. 1FM...........

45660N UG 8RESIDENTIAL ASSET SECUR TRUSTSERIES 200 .. 03/01/2018. Paydown........................................ ........................... ..............6,357 ..............6,357 ..............6,651 ..................6,654 .................... .............(297) .................. ...............(297) .................... ..................6,357 ................... ................... ..................0 ..............43 09/25/2033. 1FM...........

46359C AA 1ENGENIUM CAPITAL EQUIPMENT DOLSERIES 20 .. 03/20/2018. Paydown........................................ ........................... ............26,989 ............26,989 ............26,984 ................26,989 .................... ..................... .................. ....................0 .................... ................26,989 ................... ................... ..................0 ............248 07/20/2020. 2AM...........

46620J AA 9321 HENDERSON RECEIVABLE LLCSERIES 2017 .. 03/15/2018. Paydown........................................ ........................... ..............3,332 ..............3,332 ..............3,329 ..................3,329 .................... ..................3 .................. ....................3 .................... ..................3,332 ................... ................... ..................0 ..............28 08/15/2062. 1FE............

46625H JF 8JPMORGAN CHASE AND CO SERIESFRN 2.645 .. 01/25/2018. Maturity.......................................... ........................... .......3,000,000 .......3,000,000 .......3,000,000 ...........3,000,000 .................... ..................... .................. ....................0 .................... ...........3,000,000 ................... ................... ..................0 .......17,384 01/25/2018. 1FE............

46635G AE 0JP MORGAN CHASE COMM MTGSERIES 2010-C2 .. 03/01/2018. Paydown........................................ ........................... ............75,807 ............75,807 ............74,552 ................75,342 .................... ..............465 .................. .................465 .................... ................75,807 ................... ................... ..................0 ............565 11/15/2043. 1FM...........

46636A AC 6JP MORGAN CHASE COMM MTG SESERIES 2010- .. 03/01/2018. Paydown........................................ ........................... ............13,854 ............13,854 ............13,848 ................13,846 .................... ..................8 .................. ....................8 .................... ................13,854 ................... ................... ..................0 ............105 08/05/2032. 1FM...........

46658# AA 2 DALLAS TX 4.433% 12/15/45.................. .. 03/15/2018. Redemption 100.0000................ ........................... ............31,457 ............31,457 ............32,283 ................32,254 .................... .................(3) .................. ...................(3) .................... ................32,251 ................... ...........(794) .............(794) ............233 12/15/2045. 1................

470170 AB 7JAMAICA MERCHANT VOUCHER RECEI5.875% .. 01/08/2018. Redemption 100.0000................ ........................... ............44,016 ............44,016 ............44,016 ................44,016 .................... ..................... .................. ....................0 .................... ................44,016 ................... ................... ..................0 ............646 07/08/2022. 3FE............

47715* AA 5 JET BLUE 4.420% 03/05/23..................... .. 03/05/2018. Redemption 100.0000................ ........................... ............95,627 ............95,627 ............95,627 ................95,627 .................... ..................... .................. ....................0 .................... ................95,627 ................... ................... ..................0 .........2,113 03/05/2023. 1FE............

48239@ AG 5RIVERSIDE HEALTH SYSTEM SERIESPIK 6.9 .. 03/15/2018. Redemption 100.0000................ ........................... ..............3,283 ..............3,283 ..............3,283 ..................3,283 .................... ..................... .................. ....................0 .................... ..................3,283 ................... ................... ..................0 ..............38 06/15/2034. 1................

48244X AA 0KDAC AIRCRAFT FINANCE LIMITEDSERIES 201 .. 03/14/2018. Paydown........................................ ........................... ..............5,250 ..............5,250 ..............5,250 ..................5,250 .................... ..................... .................. ....................0 .................... ..................5,250 ................... ................... ..................0 ..............40 12/15/2042. 1FE............

49727@ AB 3 KIRBY CORPORATION 4.410% 03/15/42 .. 03/15/2018. Redemption 100.0000................ ........................... ..............3,574 ..............3,574 ..............3,574 ..................3,574 .................... ..................... .................. ....................0 .................... ..................3,574 ................... ................... ..................0 ..............26 03/15/2042. 2FE............

50077@ AA 9KRAFT GLOBAL FOODS INC 6.250%06/05/20 .. 03/05/2018. Redemption 100.0000................ ........................... ............57,964 ............57,964 ............58,544 ................58,104 .................... .................(6) .................. ...................(6) .................... ................58,098 ................... ...........(134) .............(134) ............605 06/05/2020. 2................

52471@ AB 5 LEG INC 9.050% 06/17/19....................... .. 03/01/2018. Redemption 100.0000................ ........................... ............67,865 ............67,865 ............67,865 ................67,865 .................... ..................... .................. ....................0 .................... ................67,865 ................... ................... ..................0 .........1,131 06/17/2019. 4................

52519S AC 7LEHMAN MANUFACTURING HOUSING2001-B A3 .. 03/15/2018. Paydown........................................ ........................... ............17,928 ............17,928 ............17,925 ................17,928 .................... ..................... .................. ....................0 .................... ................17,928 ................... ................... ..................0 ............126 04/15/2040. 1FE............

52521B AD 8LEHMAN BROTHERS SMALL BALANCESERIES 200 .. 02/01/2018. Paydown........................................ ........................... ............79,800 ............79,800 ............79,765 ................79,765 .................... ................35 .................. ...................35 .................... ................79,800 ................... ................... ..................0 ............621 12/25/2036. 4AM...........

52521M AC 6LEHMAN ABS MORT LOAN TRUST 2007-1 2A2 1 .. 03/26/2018. Paydown........................................ ........................... ............38,918 ............38,918 ............19,643 ................19,100 .................... .........19,818 .................. ............19,818 .................... ................38,918 ................... ................... ..................0 ..............84 07/25/2050. 1FM...........

56081# AU 4MAJOR LEAGUE BASEBALL TRUST3.490% 12/ .. 01/10/2018. Call 102.6277............................ ........................... ..........676,666 ..........659,340 ..........659,340 ..............659,340 .................... ..................... .................. ....................0 .................... ..............659,340 ................... ................... ..................0 .......17,956 12/10/2020. 1FE............

57165L AA 2MARRIOTT VACATION CLUB OWNR TR2010-1A A .. 02/20/2018. Paydown........................................ ........................... ..........105,930 ..........105,930 ..........105,919 ..............105,900 .................... ................30 .................. ...................30 .................... ..............105,930 ................... ................... ..................0 ............803 10/20/2032. 1FE............

576435 AT 8MASTER RESECURITIZATION TRUSTSERIES 200 .. 03/01/2018. Paydown........................................ ........................... ..............5,152 ..............8,920 ..............3,392 ..................3,522 .................... ...........1,629 .................. ..............1,629 .................... ..................5,152 ................... ................... ..................0 ..............66 03/25/2034. 1FM...........

576435 AX 9MASTER RESECURITIZATION TRUSTSERIES 200 .. 03/01/2018. Paydown........................................ ........................... .................490 ..............1,007 .................507 .....................507 .................... ...............(17) .................. .................(17) .................... .....................490 ................... ................... ..................0 ................6 03/20/2034. 1FM...........

59048@ AA 6 MESA AIRLINES 4.750% 07/15/29.......... .. 01/15/2018. Redemption 100.0000................ ........................... ............52,369 ............52,369 ............52,369 ................52,369 .................... ..................... .................. ....................0 .................... ................52,369 ................... ................... ..................0 .........1,244 01/15/2028. 2FE............594918 BZ 6 MICROSOFT CORP 4.100% 02/06/37..... .. 02/09/2018. J.P. MORGAN SECURITIES LLC... ........................... .......1,158,069 .......1,100,000 .......1,099,113 ...........1,099,109 .................... ................32 .................. ...................32 .................... ...........1,099,141 ................... .......58,928 .........58,928 .......23,302 02/06/2037. 1FE............


QE05.7




Foreign





(Decrease)

CurrentYear's


CurrentYear's





Disposal Date

ForeignExchange




BondInterest /


During Year

StatedContractual

MaturityDate


Indicator (a)

59548P AA 7MID-STATE TRUST 2006-1 A 144A5.787% 1 .. 03/01/2018. Paydown........................................ ........................... ............10,924 ............10,924 ............10,924 ................10,923 .................... ..................1 .................. ....................1 .................... ................10,924 ................... ................... ..................0 ............105 10/15/2040. 1FE............

607120 EZ 1MOBILE AIRPORT AUTHORITY 3.810%11/09/ .. 02/09/2018. Redemption 100.0000................ ........................... ............10,434 ............10,434 ............10,434 ................10,434 .................... ..................... .................. ....................0 .................... ................10,434 ................... ................... ..................0 ..............99 11/09/2032. 1................

61745M ZW 6MORGAN STANLEY CAPITAL I SERIES2004-3 C .. 03/01/2018. Paydown........................................ ........................... ............68,246 ............68,246 ............69,574 ................68,112 .................... ..............134 .................. .................134 .................... ................68,246 ................... ................... ..................0 ............622 04/25/2034. 1FM...........

61748H AD 3MORGAN STANLEY MTG LOAN TRUSTSERIES 200 .. 03/01/2018. Paydown........................................ ........................... ..............4,291 ..............4,291 ..............4,314 ..................4,331 .................... ...............(41) .................. .................(41) .................... ..................4,291 ................... ................... ..................0 ..............24 02/25/2034. 1FM...........

61751J AK 7MORGAN STANLEY MORTGAGE LOANSERIES 2007 .. 03/01/2018. Paydown........................................ ........................... ............60,504 ............60,504 ............39,265 ................32,943 .................... .........27,562 .................. ............27,562 .................... ................60,504 ................... ................... ..................0 ............307 02/25/2047. 1FM...........

61980A AC 7MOTIVA LTD SERIES 144A 5.750%01/15/20 .. 03/15/2018. Call 105.7003............................ ........................... .......1,489,317 .......1,409,000 .......1,406,238 ...........1,408,265 .................... ...............(20) .................. .................(20) .................... ...........1,408,245 ................... ............755 ..............755 .....134,328 01/15/2020. 2FE............

64352V EH 0NEW CENTURY HOME EQUITY LOAN2003-5 M1 .. 03/01/2018. Paydown........................................ ........................... ............46,643 ............46,643 ............42,442 ................43,451 .................... ...........3,192 .................. ..............3,192 .................... ................46,643 ................... ................... ..................0 ............346 11/25/2033. 1FM...........

64352V MN 8NEW CENTURY HOME EQUITY LOAN2005-A A4W .. 03/01/2018. Paydown........................................ ........................... ............21,766 ............21,766 ............20,787 ................21,331 .................... ..............435 .................. .................435 .................... ................21,766 ................... ................... ..................0 ............158 08/25/2035. 1FM...........

66934# AA 6NORWEGIAN AIR SHUTTLE ASA4.750% 01/22 .. 01/22/2018. Redemption 100.0000................ ........................... ............89,749 ............89,749 ............89,749 ................89,749 .................... ..................... .................. ....................0 .................... ................89,749 ................... ................... ..................0 .........2,132 01/22/2028. 2FE............

66935@ AA 7NORWEGIAN AIR SHUTTLE ASA5.500% 01/22 .. 01/22/2018. Redemption 100.0000................ ........................... ..........119,727 ..........119,727 ..........119,727 ..............119,727 .................... ..................... .................. ....................0 .................... ..............119,727 ................... ................... ..................0 .........3,293 01/22/2028. 2FE............

67085K AA 0OFFUTT AFB AMERICA FIRST 5.460%09/01/ .. 03/01/2018. Redemption 100.0000................ ........................... ..............5,867 ..............5,867 ..............5,601 ..................5,604 .................... ..................2 .................. ....................2 .................... ..................5,606 ................... ............261 ..............261 ............160 09/01/2050. 2FE............

67087T DM 0OAKWOOD MORTAGE INVESTORS INC2002-B A1 .. 03/15/2018. Paydown........................................ ........................... ..............3,852 ..............3,852 ..............3,852 ..................3,852 .................... ..................... .................. ....................0 .................... ..................3,852 ................... ................... ..................0 ..............12 07/15/2025. 5AM...........

674135 EH 7OAKWOOD MTG INVESTORS INC 1999-A A3 6. .. 03/01/2018. Paydown........................................ ........................... ..............1,576 ..............1,576 ..............1,576 ..................1,572 .................... ..................4 .................. ....................4 .................... ..................1,576 ................... ................... ..................0 ..............17 04/15/2029. 1FE............

67591L AF 4OCTAGON FUNDING I LLC SERIES R2012 CLAS .. 01/16/2018. Paydown........................................ ........................... ............40,000 ............40,000 ............40,000 ................40,000 .................... ..................... .................. ....................0 .................... ................40,000 ................... ................... ..................0 ............305 07/15/2029. 1FE............

67624@ AA 1 BIXBY RANCH 4.000% 02/15/41............. .. 03/15/2018. Redemption 100.0000................ ........................... ..............2,195 ..............2,195 ..............2,195 ..................2,195 .................... ..................... .................. ....................0 .................... ..................2,195 ................... ................... ..................0 ..............15 02/15/2041. 1FE............717081 EC 3 PFIZER INC 4.000% 12/15/36................. .. 02/09/2018. US BANCORP INVESTMENTS INC ........................... ..........464,405 ..........450,000 ..........459,531 ..............459,322 .................... ...............(50) .................. .................(50) .................... ..............459,272 ................... .........5,132 ...........5,132 .........2,850 12/15/2036. 1FE............

73316P JD 3POPULAR ABS MTG PASS-THRU TRST2005-6 A3 .. 03/01/2018. Paydown........................................ ........................... ............63,971 ............63,971 ............63,799 ................63,767 .................... ..............204 .................. .................204 .................... ................63,971 ................... ................... ..................0 ............478 01/25/2036. 1FM...........

73557* AB 0PORT WASHINGTON GENERATING6.000% 06/1 .. 03/15/2018. Redemption 100.0000................ ........................... ............15,365 ............15,365 ............15,365 ................15,365 .................... ..................... .................. ....................0 .................... ................15,365 ................... ................... ..................0 ............154 06/15/2033. 1................

74160M JH 6PRIME MORTGAGE TRUST SERIES2005-3 CLASS .. 03/01/2018. Paydown........................................ ........................... ..............5,699 ..............5,699 ..............5,869 ..................5,828 .................... .............(128) .................. ...............(128) .................... ..................5,699 ................... ................... ..................0 ..............44 08/25/2020. 1FM...........

754427 AA 0KEYSPAN -RAVENSWOOD 2004 TRUSTSERIES 14 .. 01/15/2018. Redemption 100.0000................ ........................... ..........458,668 ..........458,668 ..........458,668 ..............458,668 .................... ..................... .................. ....................0 .................... ..............458,668 ................... ................... ..................0 .......13,751 01/15/2019. 2................

759676 AF 6RENAISSANCE HOME EQUITY 2006-2AF3 5.7 .. 03/01/2018. Paydown........................................ ........................... ..............5,928 ..............5,928 ..............3,593 ..................3,198 .................... ...........2,730 .................. ..............2,730 .................... ..................5,928 ................... ................... ..................0 ..............53 08/25/2036. 1FM...........

75970N BD 8RENAISSANCE HOME EQUITY LOAN2005-3 AF3 .. 03/01/2018. Paydown........................................ ........................... ............86,355 ............86,355 ............85,643 ................86,047 .................... ..............309 .................. .................309 .................... ................86,355 ................... ................... ..................0 ............760 11/25/2035. 1FM...........

760985 LV 1RESIDENTIAL ASSET MTG PRODUCTS2002-RS3 .. 03/01/2018. Paydown........................................ ........................... ..............5,748 ..............5,748 ..............5,741 ..................5,655 .................... ................94 .................. ...................94 .................... ..................5,748 ................... ................... ..................0 ..............50 06/25/2032. 3FM...........


QE05.8




Foreign





(Decrease)

CurrentYear's


CurrentYear's





Disposal Date

ForeignExchange




BondInterest /


During Year

StatedContractual

MaturityDate


Indicator (a)

760985 TC 5RESIDENTIAL ASSET MTG PRODUCTSSERIES 20 .. 03/01/2018. Paydown........................................ ........................... ............12,089 ............12,089 ............12,319 ................12,158 .................... ...............(69) .................. .................(69) .................... ................12,089 ................... ................... ..................0 ............119 02/25/2033. 1FM...........

760985 WZ 0RESIDENTIAL ASSET MTG PRODUCTS2003-RS5 .. 03/01/2018. Paydown........................................ ........................... .................404 .................404 .................394 .....................397 .................... ..................7 .................. ....................7 .................... .....................404 ................... ................... ..................0 ................3 04/25/2033. 1FM...........

761118 PQ 5RESIDENTIAL ACCREDIT LOANSSERIES 2005-Q .. 03/01/2018. Paydown........................................ ........................... ............50,235 ............50,235 ............39,095 ................39,722 .................... .........10,513 .................. ............10,513 .................... ................50,235 ................... ................... ..................0 ............463 12/25/2035. 1FM...........

77879R AB 2ROTOR ENGINES SECURITIZATIONPRIVATE PLA .. 03/15/2018. Redemption 100.0000................ ........................... ............44,276 ............44,276 ............44,276 ................44,276 .................... ..................... .................. ....................0 .................... ................44,276 ................... ................... ..................0 ............426 07/15/2028. 1FE............

78423X AA 0STATE HIGHWAY 130 CONCESSION C4.523% .. 01/01/2018. Redemption 100.0000................ ........................... ..............7,500 ..............7,500 ..............7,500 ..................7,500 .................... ..................... .................. ....................0 .................... ..................7,500 ................... ................... ..................0 ..............79 06/28/2020. 2FE............

78512* AA 5S E REPLACEMENT POWER LLC4.120% 05/31 .. 03/31/2018. Redemption 100.0000................ ........................... ..........134,185 ..........134,185 ..........134,185 ..............134,185 .................... ..................... .................. ....................0 .................... ..............134,185 ................... ................... ..................0 ............922 05/31/2029. 1FE............

79722@ AA 7SAN DIEGO CENTERAL RECEIVING5.170% 12 .. 03/15/2018. Redemption 100.0000................ ........................... ..............9,365 ..............9,365 ..............9,365 ..................9,365 .................... ..................... .................. ....................0 .................... ..................9,365 ................... ................... ..................0 ..............81 12/15/2032. 1................

83405A AA 2SOFI CONSUMER LOAN PROGRAMTWO SERIES 20 .. 02/09/2018. Citigroup Global Markets................ ........................... ..........366,389 ..........364,566 ..........364,535 ..............364,555 .................... ..................... .................. ....................0 .................... ..............364,556 ................... .........1,833 ...........1,833 .........1,561 01/26/2026. 1FE............

83405A AA 2SOFI CONSUMER LOAN PROGRAMTWO SERIES 20 .. 03/25/2018. Paydown........................................ ........................... ............63,820 ............63,820 ............63,815 ................63,818 .................... ..................2 .................. ....................2 .................... ................63,820 ................... ................... ..................0 ............290 01/26/2026. 1FE............

84055* AA 6SOUTH TEXAS ELECTRIC COOP5.410% 01/01 .. 01/01/2018. Redemption 100.0000................ ........................... ..........117,647 ..........117,647 ..........117,647 ..............117,647 .................... ..................... .................. ....................0 .................... ..............117,647 ................... ................... ..................0 .........3,182 01/01/2028. 1................

841215 AA 4SOUTHAEVEN CMBD CYCLE GEN3.846% 08/15 .. 02/15/2018. Redemption 100.0000................ ........................... ............32,914 ............32,914 ............32,914 ................32,914 .................... ..................... .................. ....................0 .................... ................32,914 ................... ................... ..................0 ............633 08/15/2033. 1FE............

84860Y AA 6SPIRIT MASTER FUNDING LLC SERIES2014-2A .. 03/01/2018. Paydown........................................ ........................... ............10,342 ............10,342 ............10,328 ................10,317 .................... ................25 .................. ...................25 .................... ................10,342 ................... ................... ..................0 ..............98 03/20/2042. 1FE............

84861A AA 7SPIRIT MASTER FUNDING LLC SERIES2014-3A .. 03/01/2018. Paydown........................................ ........................... ..............5,119 ..............5,119 ..............5,113 ..................5,113 .................... ..................6 .................. ....................6 .................... ..................5,119 ................... ................... ..................0 ..............47 03/20/2022. 1FE............

84861C AB 1SPIRIT MASTER FUNDING LLC SERIES2014 4A .. 03/01/2018. Paydown........................................ ........................... ............17,760 ............17,760 ............17,445 ................17,468 .................... ..............291 .................. .................291 .................... ................17,760 ................... ................... ..................0 ............137 01/20/2045. 1FE............

85045@ AA 4SPRINGFIELD CLINIC LLP 6.090%12/21/26 .. 03/21/2018. Redemption 100.0000................ ........................... ............12,595 ............12,595 ............12,595 ................12,595 .................... ..................... .................. ....................0 .................... ................12,595 ................... ................... ..................0 ............128 12/21/2026. 2................

86359B P6 2STRUCTURED ASSET SECURITIESSERIES 2004- .. 03/01/2018. Paydown........................................ ........................... ............13,804 ............13,804 ............13,769 ................13,738 .................... ................66 .................. ...................66 .................... ................13,804 ................... ................... ..................0 ............154 12/25/2034. 1FM...........

87053* AA 1SWEETWATER INVESTORS II LLC4.740% 03/ .. 03/01/2018. Redemption 100.0000................ ........................... ..........106,660 ..........106,660 ..........106,660 ..............106,660 .................... ..................... .................. ....................0 .................... ..............106,660 ................... ................... ..................0 .........2,528 03/01/2026. 2FE............

88315F AA 9TEXTAINER MARINE CONTAINERS LISERIES 20 .. 03/20/2018. Paydown........................................ ........................... ..............3,218 ..............3,218 ..............3,247 ..................3,249 .................... ...............(31) .................. .................(31) .................... ..................3,218 ................... ................... ..................0 ..............19 05/20/2042. 1FE............

88315F AE 1TEXTAINER MARINE CONTAINERS LISERIES 20 .. 03/20/2018. Paydown........................................ ........................... ............32,281 ............32,281 ............32,290 ................32,290 .................... .................(9) .................. ...................(9) .................... ................32,281 ................... ................... ..................0 ............185 06/20/2042. 1FE............

89655X AA 6TRINITY RAIL LEASING LP 2006-1A A1144A .. 03/14/2018. Paydown........................................ ........................... ............80,560 ............80,560 ............81,768 ................81,121 .................... .............(561) .................. ...............(561) .................... ................80,560 ................... ................... ..................0 ............801 05/14/2036. 3AM...........

89655Y AA 4TRINITY RAIL LEASING LP 2009-1I A144A .. 03/16/2018. Paydown........................................ ........................... ..............5,915 ..............5,915 ..............5,915 ..................5,915 .................... ..................... .................. ....................0 .................... ..................5,915 ................... ................... ..................0 ..............66 11/16/2039. 1FE............

90226# AA 32014 REPLACEMENT POWER STAT TR3.850% .. 03/30/2018. Redemption 100.0000................ ........................... ............44,115 ............44,115 ............44,115 ................44,115 .................... ..................... .................. ....................0 .................... ................44,115 ................... ................... ..................0 ............283 05/31/2029. 1FE............


QE05.9




Foreign





(Decrease)

CurrentYear's


CurrentYear's





Disposal Date

ForeignExchange




BondInterest /


During Year

StatedContractual

MaturityDate


Indicator (a)902752 AA 2 UIRC-GSA V LLC 4.710% 12/05/35......... .. 03/05/2018. Redemption 100.0000................ ........................... ............10,208 ............10,208 ............10,208 ................10,208 .................... ..................... .................. ....................0 .................... ................10,208 ................... ................... ..................0 ..............80 12/05/2035. 1................902753 AA 0 UIRC-GSA IV 5.000% 12/05/34............... .. 03/05/2018. Redemption 100.0000................ ........................... ..............9,948 ..............9,948 ..............9,948 ..................9,948 .................... ..................... .................. ....................0 .................... ..................9,948 ................... ................... ..................0 ..............83 12/05/2034. 1................

90276T AH 7UBSCM SERIES 2017 C5 1.034%11/15/50 .. 03/01/2018. Paydown........................................ ........................... ........................ ........................ .................325 .....................316 .................... .............(316) .................. ...............(316) .................... ............................ ................... ................... ..................0 ................8 11/15/2050. 1FE............

91169# AA 0UNITED STATES COLD STORAGE6.110% 02/2 .. 02/21/2018. Maturity.......................................... ........................... .......2,000,000 .......2,000,000 .......2,000,000 ...........2,000,000 .................... ..................... .................. ....................0 .................... ...........2,000,000 ................... ................... ..................0 .......61,100 02/21/2018. 2................

91426* AA 3UNIV OF LOUISVILLE FOUNDATION6.270% 1 .. 03/10/2018. Redemption 100.0000................ ........................... ..............9,303 ..............9,303 ..............9,303 ..................9,303 .................... ..................... .................. ....................0 .................... ..................9,303 ................... ................... ..................0 ..............97 11/10/2033. 1................

91474@ AA 2UNIVERSITY MICHIGAN 3.530%07/15/39 .. 03/15/2018. Redemption 100.0000................ ........................... ..........105,617 ..........105,617 ..........105,617 ..............105,617 .................... ..................... .................. ....................0 .................... ..............105,617 ................... ................... ..................0 ............622 07/15/2039. 1................

91845# AA 2VERIZON COMMUNICATIONS 3.810%05/15/35 .. 03/15/2018. Redemption 100.0000................ ........................... ..............6,401 ..............6,401 ..............6,401 ..................6,401 .................... ..................... .................. ....................0 .................... ..................6,401 ................... ................... ..................0 ..............41 05/15/2035. 2................

92211M AC 7VANTAGE DATA CENTERS ISSUER LSERIES 201 .. 03/15/2018. Paydown........................................ ........................... ..............2,292 ..............2,292 ..............2,293 ............................ .................... .................(2) .................. ...................(2) .................... ..................2,292 ................... ................... ..................0 ................8 02/16/2043. 1FE............

92935J BC 8WF-RBS COMMERCIAL MORTGAGE TRSERIES 201 .. 03/01/2018. Paydown........................................ ........................... ............14,396 ............14,396 ............14,683 ................14,478 .................... ...............(83) .................. .................(83) .................... ................14,396 ................... ................... ..................0 ............122 02/15/2044. 1FM...........

92940F AA 4WHEELS UP PARTNERS LLC 8.506%03/01/24 .. 03/01/2018. Redemption 100.0000................ ........................... ............48,986 ............48,986 ............48,496 ................48,985 .................... ..................2 .................. ....................2 .................... ................48,988 ................... ..............(2) .................(2) ............977 03/01/2024. 2FE............

94132Q AA 4WATERFALL VICTORIA MORTGAGE TRSERIES 20 .. 03/01/2018. Paydown........................................ ........................... ............30,713 ............30,713 ............29,972 ................29,972 .................... ..............741 .................. .................741 .................... ................30,713 ................... ................... ..................0 ............331 04/25/2039. 1FE............

94353W AA 3WAVE 2017 1 LLC SERIES 2017 1ACLASS A 1 .. 03/15/2018. Redemption 100.0000................ ........................... ............57,600 ............57,600 ............57,600 ................57,600 .................... ..................... .................. ....................0 .................... ................57,600 ................... ................... ..................0 ............369 11/15/2024. 1FE............

949779 AC 6WELLS FARGO MORTGAGE BACKEDSE SERIES 20 .. 03/01/2018. Paydown........................................ ........................... ............15,568 ............15,568 ............15,493 ................15,516 .................... ................52 .................. ...................52 .................... ................15,568 ................... ................... ..................0 ..............56 12/25/2034. 1FM...........

949779 AM 4WELLS FARGO MORTGAGE BACKEDSE SERIES 20 .. 03/01/2018. Paydown........................................ ........................... ..............4,448 ..............4,448 ..............4,396 ..................4,404 .................... ................44 .................. ...................44 .................... ..................4,448 ................... ................... ..................0 ..............16 12/25/2034. 1FM...........

94978# JF 5 ZC Aviation American Airlines 3.620% 0.. .. 03/20/2018. Redemption 100.0000................ ........................... ............59,440 ............59,440 ............59,440 ................59,440 .................... ..................... .................. ....................0 .................... ................59,440 ................... ................... ..................0 ............359 09/20/2024. 2FE............94978# JG 3 ZC Aviation American Airlines 3.620% 1.. .. 03/11/2018. Redemption 100.0000................ ........................... ............59,261 ............59,261 ............59,261 ................59,261 .................... ..................... .................. ....................0 .................... ................59,261 ................... ................... ..................0 ............358 10/11/2024. 2FE............94978# JH 1 ZC Aviation American Airlines 3.620% 0.. .. 03/16/2018. Redemption 100.0000................ ........................... ............59,863 ............59,863 ............59,863 ................59,863 .................... ..................... .................. ....................0 .................... ................59,863 ................... ................... ..................0 ............362 09/16/2024. 2FE............

94980G AK 7WELLS FARGO HOME EQUITY TRUST2004-2 A19 .. 03/01/2018. Paydown........................................ ........................... ..............1,573 ..............1,573 ..............1,575 ..................1,580 .................... .................(7) .................. ...................(7) .................... ..................1,573 ................... ................... ..................0 ..............13 10/25/2034. 1FM...........

949832 AA 7WELLS FARGO MBS SERIES 2005CLASS 1A 5 .. 03/01/2018. Paydown........................................ ........................... ............13,155 ............13,155 ............13,013 ................13,110 .................... ................45 .................. ...................45 .................... ................13,155 ................... ................... ..................0 ............122 12/25/2035. 1FM...........

96928* AC 1WILLIAM BLAIR CAPITAL 5.680%12/15/23 .. 03/15/2018. Redemption 100.0000................ ........................... ............22,622 ............22,622 ............22,622 ................22,622 .................... ..................... .................. ....................0 .................... ................22,622 ................... ................... ..................0 ............214 12/15/2023. 2................

96928* CW 5WILLIAM BLAIR CAPITAL TRUST 206.600% .. 03/15/2018. Redemption 100.0000................ ........................... ..............5,763 ..............5,763 ..............5,819 ..................5,806 .................... ..................... .................. ....................0 .................... ..................5,806 ................... .............(43) ...............(43) ..............64 06/15/2037. 1................

96928* DM 6OAKWOOD HEALTHCARE PRIVATEPLACEMENT 6 .. 03/15/2018. Redemption 100.0000................ ........................... ............15,468 ............15,468 ............15,603 ................15,560 .................... .................(1) .................. ...................(1) .................... ................15,559 ................... .............(91) ...............(91) ............168 12/15/2030. 1................

96928* DW 4SIMS METAL PRIVATE PLACEMENT6.584% 11 .. 03/10/2018. Redemption 100.0000................ ........................... ..............4,910 ..............4,910 ..............4,910 ..................4,910 .................... ..................... .................. ....................0 .................... ..................4,910 ................... ................... ..................0 ..............54 11/10/2034. 2................

96928* EX 1 SPARTAN STORES 4.210% 03/15/32..... .. 03/15/2018. Redemption 100.0000................ ........................... ............10,318 ............10,318 ............10,318 ................10,318 .................... ..................... .................. ....................0 .................... ................10,318 ................... ................... ..................0 ..............72 03/15/2032. 2................


QE05.10




Foreign





(Decrease)

CurrentYear's


CurrentYear's





Disposal Date

ForeignExchange




BondInterest /


During Year

StatedContractual

MaturityDate


Indicator (a)

96928* EZ 6WILLIAM BLAIR CAPITAL 5.040%09/15/33 .. 03/15/2018. Redemption 100.0000................ ........................... ............10,694 ............10,694 ............10,694 ................10,694 .................... ..................... .................. ....................0 .................... ................10,694 ................... ................... ..................0 ..............90 09/15/2033. 2................

96928* FA 0WILLIAM BLAIR CO - SCHULMAN4.300% 03/ .. 03/15/2018. Redemption 100.0000................ ........................... ............21,917 ............21,917 ............21,917 ................21,917 .................... ..................... .................. ....................0 .................... ................21,917 ................... ................... ..................0 ............157 03/15/2034. 4................

96928* FV 4BLUE CROSS AND BLUE SHIELD NC4.090% 0 .. 03/15/2018. Redemption 100.0000................ ........................... ............14,621 ............14,621 ............14,621 ................14,621 .................... ..................... .................. ....................0 .................... ................14,621 ................... ................... ..................0 ............100 09/15/2044. 1................

97063Q AA 0WILLIS ENGINE SECURITIZATION TSERIES 20 .. 03/15/2018. Paydown........................................ ........................... ............11,250 ............11,250 ............11,240 ................11,240 .................... ................10 .................. ...................10 .................... ................11,250 ................... ................... ..................0 ..............88 08/15/2042. 1FE............

971885 AL 2WILSHIRE MORTGAGE LOAN TRUST1997-2 A7 .. 03/01/2018. Paydown........................................ ........................... ..............2,154 ..............2,154 ..............2,206 ..................2,231 .................... ...............(77) .................. .................(77) .................... ..................2,154 ................... ................... ..................0 ..............25 03/25/2028. 1FM...........

98160V AD 3WORLD OMNI AUTOMOBILE LEASE SESERIES 20 .. 02/15/2018. Paydown........................................ ........................... ..........167,464 ..........167,464 ..........167,430 ..............167,463 .................... ..................1 .................. ....................1 .................... ..............167,464 ................... ................... ..................0 ............304 10/15/2018. 1FE............

98258# AA 7WAYNE STATE UNIVERSITY 4.795%03/15/38 .. 03/15/2018. Redemption 100.0000................ ........................... ............30,271 ............30,271 ............30,574 ................30,514 .................... .................(1) .................. ...................(1) .................... ................30,512 ................... ...........(241) .............(241) ............242 03/15/2038. 1................

98310W AM 0WYNDHAM WORLDWIDE 5.100%10/01/25 .. 01/26/2018. Merrill Lynch................................... ........................... .......1,889,460 .......1,800,000 .......1,897,254 ...........1,888,280 .................... .............(793) .................. ...............(793) .................... ...........1,887,487 ................... .........1,973 ...........1,973 .......30,345 10/01/2025. 2FE............

98984* AA 2ZURICH AMERICAN INSURANCE4.918% 11/15 .. 03/15/2018. Redemption 100.0000................ ........................... ..............1,206 ..............1,206 ..............1,212 ..................1,211 .................... ..................... .................. ....................0 .................... ..................1,211 ................... ..............(5) .................(5) ..............10 11/15/2037. 1................

G4301U AF 1HARBOUR AVIATION INVESTMENTS LSERIES 20 .. 03/15/2018. Paydown........................................ ........................... ............50,000 ............50,000 ............49,628 ................49,628 .................... ..............372 .................. .................372 .................... ................50,000 ................... ................... ..................0 ............333 11/15/2037. 1FE............

G7256K AB 0 PROP 2017-1 LIMITED 5.300% 06/15/29 .. 03/15/2018. Redemption 100.0000................ ........................... ............44,212 ............44,212 ............44,186 ................44,187 .................... ..................... .................. ....................0 .................... ................44,188 ................... ..............25 ................25 ............393 06/15/2029. 1FE............P3143@ AA 1 CAI INTERNATIONAL 4.900% 09/13/22.. .. 03/13/2018. Redemption 100.0000................ ........................... ............29,660 ............29,660 ............29,660 ................29,660 .................... ..................... .................. ....................0 .................... ................29,660 ................... ................... ..................0 ............727 09/13/2022. 2FE............Q6291# AA 1 MONASH UNIVERSITY 3.760% 02/24/40 .. 02/24/2018. Redemption 100.0000................ ........................... ............10,000 ............10,000 ............10,000 ................10,000 .................... ..................... .................. ....................0 .................... ................10,000 ................... ................... ..................0 ............188 02/24/2040. 1FE............

140274 AA 9CAPLEASE CDO 2005-1A A 144A4.926% 01/ D 01/29/2018. Paydown........................................ ........................... ..............8,355 ..............8,355 ..............8,343 ..................8,347 .................... ..................8 .................. ....................8 .................... ..................8,355 ................... ................... ..................0 ............103 01/29/2040. 1FE............

37952U AB 9GLOBAL SC FINANCE SRL SERIES 20131A CLA D 03/17/2018. Paydown........................................ ........................... ..........125,000 ..........125,000 ..........120,896 ..............121,481 .................... ...........3,519 .................. ..............3,519 .................... ..............125,000 ................... ................... ..................0 ............621 04/17/2028. 1FE............

60688Q AP 0MIZUHO CORP BANK LTD SERIES 144A1.850 D 03/21/2018. Maturity.......................................... ........................... .......1,000,000 .......1,000,000 ..........998,620 ..............999,914 .................... ................86 .................. ...................86 .................... ...........1,000,000 ................... ................... ..................0 .........9,250 03/21/2018. 1FE............

71654Q AW 2PETROLEOS MEXICANOS 6.000%03/05/20 D 02/14/2018. Corporate Action............................. ........................... ..........774,953 ..........727,000 ..........718,631 ..............724,558 .................... ..............172 .................. .................172 .................... ..............724,730 ................... .......50,223 .........50,223 .......19,508 03/05/2020. 2FE............

76121V AJ 4RESOURCE CAPITAL CORP LTDSERIES 2015-CR D 02/15/2018. Paydown........................................ ........................... ..........183,983 ..........183,983 ..........183,753 ..............183,855 .................... ..............128 .................. .................128 .................... ..............183,983 ................... ................... ..................0 .........1,801 03/15/2032. 2AM...........

G1981@ AA 0CAYMAN TURTLE FARM 1983 LTD4.850% 03/ D 03/01/2018. Redemption 100.0000................ ........................... ............46,054 ............46,054 ............46,054 ................46,054 .................... ..................... .................. ....................0 .................... ................46,054 ................... ................... ..................0 ............558 03/01/2019. 1................

3899999. Total - Bonds - Industrial and Miscellaneous................................ ..................................................................................... .....34,827,798 .....34,379,143 .....34,394,694 .........34,290,816 .................0 .........81,414 ...............0 ............81,414 .................0 .........34,512,453 ................0 .......82,372 .........82,372 .....740,556 XXX XXXBonds - Hybrid Securities

46556L AE 4ITAU UNTBANCO HLDG SA/KY SERIES144A D 03/29/2018.

BNP PARIBAS SECURITIESCORP./F ........................... .......2,100,000 .......2,000,000 .......2,008,884 ...........2,003,980 .................... .............(413) .................. ...............(413) .................... ...........2,003,567 ................... .......96,433 .........96,433 .......34,376 12/21/2021. 3FE............

4899999. Total - Bonds - Hybrid Securities.................................................. ..................................................................................... .......2,100,000 .......2,000,000 .......2,008,884 ...........2,003,980 .................0 .............(413) ...............0 ...............(413) .................0 ...........2,003,567 ................0 .......96,433 .........96,433 .......34,376 XXX XXX8399997. Total - Bonds - Part 4................................................................... ..................................................................................... .....38,457,450 .....37,908,795 .....37,951,520 .........37,841,969 .................0 .........64,075 ...............0 ............64,075 .................0 .........38,046,271 ................0 .....178,206 .......178,206 .....788,227 XXX XXX8399999. Total - Bonds............................................................................... ..................................................................................... .....38,457,450 .....37,908,795 .....37,951,520 .........37,841,969 .................0 .........64,075 ...............0 ............64,075 .................0 .........38,046,271 ................0 .....178,206 .......178,206 .....788,227 XXX XXXCommon Stocks - Industrial and Miscellaneous


QE05.11




Foreign





(Decrease)

CurrentYear's


CurrentYear's





Disposal Date

ForeignExchange




BondInterest /


During Year

StatedContractual

MaturityDate


Indicator (a)499005 10 6 KNIGHT CAPITAL GROUP LLC................ .. 01/12/2018. Direct Transfer................................ .................0.010 ........................ XXX ........................ ............................ .................... ..................... .................. ....................0 .................... ............................ ................... ................... ..................0 .......11,419 XXX L................

9099999. Total - Common Stocks - Industrial and Miscellaneous................ ..................................................................................... .....................0 XXX .....................0 .........................0 .................0 ..................0 ...............0 ....................0 .................0 .........................0 ................0 ................0 ..................0 .......11,419 XXX XXX9799997. Total - Common Stocks - Part 4................................................... ..................................................................................... .....................0 XXX .....................0 .........................0 .................0 ..................0 ...............0 ....................0 .................0 .........................0 ................0 ................0 ..................0 .......11,419 XXX XXX9799999. Total - Common Stocks............................................................... ..................................................................................... .....................0 XXX .....................0 .........................0 .................0 ..................0 ...............0 ....................0 .................0 .........................0 ................0 ................0 ..................0 .......11,419 XXX XXX9899999. Total - Preferred and Common Stocks......................................... ..................................................................................... .....................0 XXX .....................0 .........................0 .................0 ..................0 ...............0 ....................0 .................0 .........................0 ................0 ................0 ..................0 .......11,419 XXX XXX9999999. Total - Bonds, Preferred and Common Stocks............................. ..................................................................................... .....38,457,450 XXX .....37,951,520 .........37,841,969 .................0 .........64,075 ...............0 ............64,075 .................0 .........38,046,271 ................0 .....178,206 .......178,206 .....799,646 XXX XXX(a) For all common stock bearing the NAIC market indicator "U" provide: the number of such issues: ..........0.


QE06

SCHEDULE DB - PART A - SECTION 1Showing all Options, Caps, Floors, Collars, Swaps and Forwards Open as of Current Statement Date

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23

DescriptionDescription of Item(s) Hedged, Used for Income

Generation or Replicated

Schedule/ ExhibitIdentifier

Type(s)of

Risk(s)(a)

Exchange,or Central

CounterpartyClearinghouse

TradeDate

Date ofMaturity orExpiration

Number ofContracts

NotionalAmount

Strike Price,Rate of Index

Received(Paid)

CumulativePrior Year(s)Initial Cost of

Premium(Received)

Paid

Current YearInitial Cost of

Premium(Received)

PaidCurrent Year

IncomeBook/AdjustedCarrying Value

Code Fair Value


(Decrease)


CurrentYear's

(Amortization) / Accretion

Adjustmentto Carrying

Value ofHedged

ItemsPotentialExposure

CreditQuality ofReference

Entity

HedgeEffectivenessat Inceptionand at Year-

end (b)

Purchased Options - Hedging Other - Call Options and WarrantsUSISDA10 IDX Call Option @ 0 04/02/18............ FIA Static Hedging Strategy.................................. N/A......... 104......

Barclays BankPLC GUR90LVD18CSY7XK3B18.... 04/19/2017 04/02/2018 .............1 .........128,938 0.0235/0.031.. .............1,762 ........................ ........................ ..................536 ... ..................536 ..............358 ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2332 04/16/18................. FIA Static Hedging Strategy.................................. N/A......... 104......Barclays BankPLC GUR90LVD18CSY7XK3B18.... 05/03/2017 04/16/2018 .........103 .........240,044 2332/(2389).... .............3,673 ........................ ........................ ...............4,525 ... ...............4,525 ..............285 ...................... ...................... .................... ........................ ................. ......................

USISDA10 IDX Call Option @ 0 04/17/18............ FIA Static Hedging Strategy.................................. N/A......... 104......Barclays BankPLC GUR90LVD18CSY7XK3B18.... 05/03/2017 04/17/2018 .............1 .........669,562 0.0221/0.0296 .............4,383 ........................ ........................ .............33,930 ... .............33,930 ..........(1,302) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2342 04/18/18................. FIA Static Hedging Strategy.................................. N/A......... 104......Barclays BankPLC GUR90LVD18CSY7XK3B18.... 05/03/2017 04/18/2018 .........180 .........422,180 2342/(2594).... ...........21,999 ........................ ........................ ...............5,730 ... ...............5,730 ..............297 ...................... ...................... .................... ........................ ................. ......................

USISDA10 IDX Call Option @ 0 05/07/18............ FIA Static Hedging Strategy.................................. N/A......... 104......Barclays BankPLC GUR90LVD18CSY7XK3B18.... 05/17/2017 05/07/2018 .............1 .........450,041 0.0231/0.0306 .............2,492 ........................ ........................ ...............3,761 ... ...............3,761 ...........2,101 ...................... ...................... .................... ........................ ................. ......................

USISDA10 IDX Call Option @ 0 05/21/18............ FIA Static Hedging Strategy.................................. N/A......... 104......Barclays BankPLC GUR90LVD18CSY7XK3B18.... 05/31/2017 05/21/2018 .............1 .........388,834 0.0219/0.0295 .............2,449 ........................ ........................ .............43,763 ... .............43,763 .............(855) ...................... ...................... .................... ........................ ................. ......................



USISDA10 IDX Call Option @ 0 08/13/18............ FIA Static Hedging Strategy.................................. N/A......... 104......Barclays BankPLC GUR90LVD18CSY7XK3B18.... 08/23/2017 08/13/2018 .............1 ......2,050,186 0.0223/0.0298 .............9,883 ........................ ........................ .............24,519 ... .............24,519 ................36 ...................... ...................... .................... ........................ ................. ......................

USISDA10 IDX Call Option @ 0 09/10/18............ FIA Static Hedging Strategy.................................. N/A......... 104......Barclays BankPLC GUR90LVD18CSY7XK3B18.... 09/20/2017 09/10/2018 .............1 ......3,063,936 0.0212/0.0287 ...........17,600 ........................ ........................ .............60,318 ... .............60,318 ..........(3,220) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2542 10/09/18................. FIA Static Hedging Strategy.................................. N/A......... 104......Barclays BankPLC GUR90LVD18CSY7XK3B18.... 10/18/2017 10/09/2018 .........383 .........974,419 2542/(2614).... ...........16,664 ........................ ........................ .............38,494 ... .............38,494 ..........(2,008) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2581 10/11/18................. FIA Static Hedging Strategy.................................. N/A......... 104......Barclays BankPLC GUR90LVD18CSY7XK3B18.... 10/18/2017 10/11/2018 .........194 .........501,628 2581/(2785).... ...........17,760 ........................ ........................ .............14,289 ... .............14,289 .............(167) ...................... ...................... .................... ........................ ................. ......................


USISDA10 IDX Call Option @ 0 11/13/18............ FIA Static Hedging Strategy.................................. N/A......... 104......Barclays BankPLC GUR90LVD18CSY7XK3B18.... 11/30/2017 11/13/2018 .............1 .........725,785 0.0234/0.031.. .............4,200 ........................ ........................ .............16,718 ... .............16,718 .............(516) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2611 11/13/18................. FIA Static Hedging Strategy.................................. N/A......... 104......Barclays BankPLC GUR90LVD18CSY7XK3B18.... 11/30/2017 11/13/2018 ......1,546 ......4,035,109 2611/(2817).... .........172,934 ........................ ........................ .............17,318 ... .............17,318 ..........(1,738) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2571 11/16/18................. FIA Static Hedging Strategy.................................. N/A......... 104......Barclays BankPLC GUR90LVD18CSY7XK3B18.... 11/30/2017 11/16/2018 .........136 .........348,496 2571/(2640).... .............6,454 ........................ ........................ ...............1,072 ... ...............1,072 ..............477 ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2585 11/19/18................. FIA Static Hedging Strategy.................................. N/A......... 104......Barclays BankPLC GUR90LVD18CSY7XK3B18.... 11/30/2017 11/19/2018 .........320 .........826,606 2585/(2853).... ...........45,047 ........................ ........................ .............28,879 ... .............28,879 ..........(3,206) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2646 12/03/18................. FIA Static Hedging Strategy.................................. N/A......... 104......Barclays BankPLC GUR90LVD18CSY7XK3B18.... 12/13/2017 12/03/2018 ...........22 ...........57,342 2646/(2728).... .............1,114 ........................ ........................ ...............2,863 ... ...............2,863 .............(109) ...................... ...................... .................... ........................ ................. ......................

USISDA10 IDX Call Option @ 0 12/17/18............ FIA Static Hedging Strategy.................................. N/A......... 104......Barclays BankPLC GUR90LVD18CSY7XK3B18.... 01/10/2018 12/17/2018 .............1 ......1,007,759 0.0242/0.0317 ........................ .............6,000 ........................ ...............2,638 ... ...............2,638 .............(122) ...................... ...................... .................... ........................ ................. ......................

USISDA10 IDX Call Option @ 0 01/11/19............ FIA Static Hedging Strategy.................................. N/A......... 104......Barclays BankPLC GUR90LVD18CSY7XK3B18.... 02/07/2018 01/11/2019 .............1 .........505,367 0.0251/0.0326 ........................ .............3,200 ........................ ...............5,882 ... ...............5,882 ...........1,035 ...................... ...................... .................... ........................ ................. ......................

USISDA10 IDX Call Option @ 0 02/08/19............ FIA Static Hedging Strategy.................................. N/A......... 104......Barclays BankPLC GUR90LVD18CSY7XK3B18.... 02/23/2018 02/08/2019 .............1 ...........43,699 0.0289/0.0365 ........................ ................500 ........................ ...............2,495 ... ...............2,495 .............(122) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2641 02/11/19................. FIA Static Hedging Strategy.................................. N/A......... 104......Barclays BankPLC GUR90LVD18CSY7XK3B18.... 02/23/2018 02/11/2019 ...........34 ...........90,046 2641/(2686).... ........................ .............1,099 ........................ ...............7,350 ... ...............7,350 .............(656) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2683 02/11/19................. FIA Static Hedging Strategy.................................. N/A......... 104......Barclays BankPLC GUR90LVD18CSY7XK3B18.... 02/23/2018 02/11/2019 .........200 .........537,719 2683/(2895).... ........................ ...........25,289 ........................ .............33,715 ... .............33,715 ..........(3,382) ...................... ...................... .................... ........................ ................. ......................

USISDA10 IDX Call Option @ 0 03/11/19............ FIA Static Hedging Strategy.................................. N/A......... 104......Barclays BankPLC GUR90LVD18CSY7XK3B18.... 03/22/2018 03/11/2019 .............1 ......1,152,070 0.0286/0.0361 ........................ .............6,800 ........................ ...............3,414 ... ...............3,414 .............(225) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2743 03/11/19................. FIA Static Hedging Strategy.................................. N/A......... 104......Barclays BankPLC GUR90LVD18CSY7XK3B18.... 03/22/2018 03/11/2019 .........231 .........634,555 2743/(2810).... ........................ .............8,730 ........................ ...............4,722 ... ...............4,722 ...........2,147 ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2811 03/11/19................. FIA Static Hedging Strategy.................................. N/A......... 104......Barclays BankPLC GUR90LVD18CSY7XK3B18.... 03/22/2018 03/11/2019 .........419 ......1,178,955 2811/(3033).... ........................ ...........38,543 ........................ ...............2,309 ... ...............2,309 .............(154) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2357 04/06/18................. FIA Static Hedging Strategy.................................. N/A......... 104...... Citibank NA.......... MBNUM2BPBDO7JBLYG310.. 04/19/2017 04/06/2018 ...........76 .........178,664 2357/(2417).... .............2,568 ........................ ........................ .............17,292 ... .............17,292 ..........(1,573) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2377 04/11/18................. FIA Static Hedging Strategy.................................. N/A......... 104...... Citibank NA.......... MBNUM2BPBDO7JBLYG310.. 04/19/2017 04/11/2018 .........165 .........392,781 2377/(2566).... ...........14,624 ........................ ........................ .............10,060 ... .............10,060 ...........4,464 ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2366 05/18/18................. FIA Static Hedging Strategy.................................. N/A......... 104...... Citibank NA.......... MBNUM2BPBDO7JBLYG310.. 05/31/2017 05/18/2018 .........175 .........413,433 2366/(2624).... ...........21,636 ........................ ........................ .............30,874 ... .............30,874 ..........(2,664) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2396 05/21/18................. FIA Static Hedging Strategy.................................. N/A......... 104...... Citibank NA.......... MBNUM2BPBDO7JBLYG310.. 05/31/2017 05/21/2018 .........234 .........560,506 2396/(2465).... .............9,291 ........................ ........................ ...............6,812 ... ...............6,812 .............(471) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2454 06/11/18................. FIA Static Hedging Strategy.................................. N/A......... 104...... Citibank NA.......... MBNUM2BPBDO7JBLYG310.. 06/29/2017 06/11/2018 .........107 .........262,789 2454/(2648).... .............9,712 ........................ ........................ .............16,577 ... .............16,577 ...........6,133 ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2453 06/18/18................. FIA Static Hedging Strategy.................................. N/A......... 104...... Citibank NA.......... MBNUM2BPBDO7JBLYG310.. 06/29/2017 06/18/2018 .........156 .........382,225 2453/(2721).... ...........15,916 ........................ ........................ ...............7,089 ... ...............7,089 .............(657) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2434 06/19/18................. FIA Static Hedging Strategy.................................. N/A......... 104...... Citibank NA.......... MBNUM2BPBDO7JBLYG310.. 06/29/2017 06/19/2018 .........109 .........265,067 2434/(2465).... .............2,135 ........................ ........................ .............10,526 ... .............10,526 .............(773) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2423 07/02/18................. FIA Static Hedging Strategy.................................. N/A......... 104...... Citibank NA.......... MBNUM2BPBDO7JBLYG310.. 07/13/2017 07/02/2018 ...........44 .........106,312 2423/(2497).... .............1,937 ........................ ........................ ...............3,478 ... ...............3,478 .............(279) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2436 07/10/18................. FIA Static Hedging Strategy.................................. N/A......... 104...... Citibank NA.......... MBNUM2BPBDO7JBLYG310.. 07/26/2017 07/10/2018 ...........59 .........142,967 2436/(2488).... .............2,008 ........................ ........................ ...............8,047 ... ...............8,047 ...........3,396 ...................... ...................... .................... ........................ ................. ......................


SPX IDX Call Option @ 2461 07/18/18................. FIA Static Hedging Strategy.................................. N/A......... 104...... Citibank NA.......... MBNUM2BPBDO7JBLYG310.. 07/26/2017 07/18/2018 .........187 .........459,814 2461/(2730).... ...........21,765 ........................ ........................ .............21,982 ... .............21,982 ..........(2,037) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2474 07/26/18................. FIA Static Hedging Strategy.................................. N/A......... 104...... Citibank NA.......... MBNUM2BPBDO7JBLYG310.. 08/09/2017 07/26/2018 ...........66 .........163,470 2474/(2542).... .............2,591 ........................ ........................ ...............1,532 ... ...............1,532 .............(135) ...................... ...................... .................... ........................ ................. ......................


SPX IDX Call Option @ 2466 08/13/18................. FIA Static Hedging Strategy.................................. N/A......... 104...... Citibank NA.......... MBNUM2BPBDO7JBLYG310.. 08/23/2017 08/13/2018 .........101 .........249,631 2466/(2661).... .............9,837 ........................ ........................ ..................706 ... ..................706 ..............425 ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2426 08/20/18................. FIA Static Hedging Strategy.................................. N/A......... 104...... Citibank NA.......... MBNUM2BPBDO7JBLYG310.. 08/23/2017 08/20/2018 .........162 .........391,848 2426/(2690).... ...........19,470 ........................ ........................ ...............6,308 ... ...............6,308 .............(569) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2465 08/27/18................. FIA Static Hedging Strategy.................................. N/A......... 104...... Citibank NA.......... MBNUM2BPBDO7JBLYG310.. 09/07/2017 08/27/2018 .........140 .........345,250 2465/(2530).... .............5,450 ........................ ........................ ...............2,986 ... ...............2,986 ...........1,272 ...................... ...................... .................... ........................ ................. ......................


QE06.1


1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23




Type(s)of

Risk(s)(a)

Exchange,or Central


TradeDate


Number ofContracts

NotionalAmount


Received(Paid)


Premium(Received)

Paid


Premium(Received)

PaidCurrent Year


Code Fair Value


(Decrease)


CurrentYear's



Value ofHedged



Entity


end (b)

SPX IDX Call Option @ 2580 11/01/18................. FIA Static Hedging Strategy.................................. N/A......... 104...... Citibank NA.......... MBNUM2BPBDO7JBLYG310.. 11/16/2017 11/01/2018 .........161 .........416,517 2580/(2642).... .............6,229 ........................ ........................ ...........164,440 ... ...........164,440 ........(13,902) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2750 01/08/19................. FIA Static Hedging Strategy.................................. N/A......... 104...... Citibank NA.......... MBNUM2BPBDO7JBLYG310.. 01/24/2018 01/08/2019 .........146 .........402,410 2750/(2813).... ........................ .............6,516 ........................ ...............5,926 ... ...............5,926 .............(506) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2795 01/11/19................. FIA Static Hedging Strategy.................................. N/A......... 104...... Citibank NA.......... MBNUM2BPBDO7JBLYG310.. 01/24/2018 01/11/2019 .........418 ......1,169,361 2795/(3017).... ........................ ...........56,974 ........................ .............43,247 ... .............43,247 ..........(3,515) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2798 01/18/19................. FIA Static Hedging Strategy.................................. N/A......... 104...... Citibank NA.......... MBNUM2BPBDO7JBLYG310.. 01/24/2018 01/18/2019 .........151 .........422,139 2798/(3103).... ........................ ...........24,162 ........................ ..................949 ... ..................949 ...............(85) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2716 02/19/19................. FIA Static Hedging Strategy.................................. N/A......... 104...... Citibank NA.......... MBNUM2BPBDO7JBLYG310.. 03/07/2018 02/19/2019 .........219 .........595,757 2716/(3005).... ........................ ...........31,147 ........................ .............40,398 ... .............40,398 ..........(2,293) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2694 02/25/19................. FIA Static Hedging Strategy.................................. N/A......... 104...... Citibank NA.......... MBNUM2BPBDO7JBLYG310.. 03/07/2018 02/25/2019 ...........37 ...........99,391 2694/(2756).... ........................ .............1,455 ........................ ...............3,644 ... ...............3,644 ..........(2,356) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2395 05/07/18................. FIA Static Hedging Strategy.................................. N/A......... 104......Credit SuisseInternational A5W6NE4Q9TV8Y57VW369... 05/17/2017 05/07/2018 .........348 .........833,222 2395/(2473).... ...........14,193 ........................ ........................ .............18,723 ... .............18,723 .............(951) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2418 05/11/18................. FIA Static Hedging Strategy.................................. N/A......... 104......Credit SuisseInternational A5W6NE4Q9TV8Y57VW369... 05/17/2017 05/11/2018 .........376 .........909,069 2418/(2610).... ...........29,098 ........................ ........................ ...............2,509 ... ...............2,509 .............(198) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2431 06/01/18................. FIA Static Hedging Strategy.................................. N/A......... 104......Credit SuisseInternational A5W6NE4Q9TV8Y57VW369... 06/14/2017 06/01/2018 .........344 .........836,492 2431/(2488).... ...........11,202 ........................ ........................ ...............2,978 ... ...............2,978 ..........(1,389) ...................... ...................... .................... ........................ ................. ......................

USISDA10 IDX Call Option @ 0 10/01/18............ FIA Static Hedging Strategy.................................. N/A......... 104......Credit SuisseInternational A5W6NE4Q9TV8Y57VW369... 10/18/2017 10/01/2018 .............1 ......1,712,574 0.0227/0.0302 .............7,350 ........................ ........................ ...............4,031 ... ...............4,031 ..........(2,485) ...................... ...................... .................... ........................ ................. ......................

GOLDLNPM IDX Call Option @ 1260 04/24/18... FIA Static Hedging Strategy.................................. N/A......... 104......Societe GeneraleSA 549300USLFO4ME4XBQ71.... 06/14/2017 04/24/2018 .........404 .........508,509 1260/(1280).... .............8,313 ........................ ........................ .............26,957 ... .............26,957 ........(30,017) ...................... ...................... .................... ........................ ................. ......................

GOLDLNPM IDX Call Option @ 1247 07/09/18... FIA Static Hedging Strategy.................................. N/A......... 104......Societe GeneraleSA 549300USLFO4ME4XBQ71.... 08/09/2017 07/09/2018 .........390 .........486,971 1247/(1266).... .............8,589 ........................ ........................ ...............1,604 ... ...............1,604 ..........(1,596) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2674 01/02/19................. FIA Static Hedging Strategy.................................. N/A......... 104......Societe GeneraleSA 549300USLFO4ME4XBQ71.... 01/10/2018 01/02/2019 .........105 .........281,772 2674/(2727).... ........................ .............4,367 ........................ .............10,984 ... .............10,984 ........(13,178) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2513 09/11/18................. FIA Static Hedging Strategy.................................. N/A......... 104......Wells Fargo BankNA 54930073KPK5VO6G0E21...... 09/20/2017 09/11/2018 ...........51 .........127,308 2513/(2712).... .............4,996 ........................ ........................ ..................160 ... ..................160 ...............(54) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2488 09/12/18................. FIA Static Hedging Strategy.................................. N/A......... 104......Wells Fargo BankNA 54930073KPK5VO6G0E21...... 09/20/2017 09/12/2018 .........300 .........747,670 2488/(2536).... .............8,705 ........................ ........................ ....................77 ... ....................77 .............(423) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2502 09/24/18................. FIA Static Hedging Strategy.................................. N/A......... 104......Wells Fargo BankNA 54930073KPK5VO6G0E21...... 10/05/2017 09/24/2018 ...........62 .........154,187 2502/(2583).... .............3,084 ........................ ........................ ..................874 ... ..................874 .............(225) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2556 10/15/18................. FIA Static Hedging Strategy.................................. N/A......... 104......Wells Fargo BankNA 54930073KPK5VO6G0E21...... 11/02/2017 10/15/2018 ...........41 .........103,954 2556/(2614).... .............1,409 ........................ ........................ .............19,856 ... .............19,856 ..........(5,433) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2561 10/18/18................. FIA Static Hedging Strategy.................................. N/A......... 104......Wells Fargo BankNA 54930073KPK5VO6G0E21...... 11/02/2017 10/18/2018 .........211 .........539,196 2561/(2837).... ...........24,739 ........................ ........................ .............23,155 ... .............23,155 ..........(7,992) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2687 12/11/18................. FIA Static Hedging Strategy.................................. N/A......... 104......Wells Fargo BankNA 54930073KPK5VO6G0E21...... 12/28/2017 12/11/2018 .........432 ......1,159,371 2687/(2899).... ...........47,261 ........................ ........................ ...............1,158 ... ...............1,158 .............(297) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2690 12/18/18................. FIA Static Hedging Strategy.................................. N/A......... 104......Wells Fargo BankNA 54930073KPK5VO6G0E21...... 12/28/2017 12/18/2018 .........178 .........479,064 2690/(2979).... ...........22,121 ........................ ........................ ...............2,273 ... ...............2,273 ..........(4,527) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2681 12/19/18................. FIA Static Hedging Strategy.................................. N/A......... 104......Wells Fargo BankNA 54930073KPK5VO6G0E21...... 12/28/2017 12/19/2018 ...........55 .........146,312 2681/(2774).... .............2,962 ........................ ........................ ...............7,132 ... ...............7,132 ..........(1,598) ...................... ...................... .................... ........................ ................. ......................

SPX IDX Call Option @ 2825 01/29/19................. FIA Static Hedging Strategy.................................. N/A......... 104......Wells Fargo BankNA 54930073KPK5VO6G0E21...... 02/07/2018 01/29/2019 .............9 ...........26,269 2825/(2871).... ........................ ................214 ........................ .............30,010 ... .............30,010 ..........(8,533) ...................... ...................... .................... ........................ ................. ......................

0089999. Total-Purchased Options-Hedging Other-Call Options and Warrants..................................................................... .................................................................................... ................................................................................................................. .........682,273 .........214,996 ....................0 ...........975,218 XX ...........975,218 ......(105,850) ..................0 ..................0 ................0 ....................0 XXX XXX

Purchased Options - Hedging Other - Put Options

SPX IDX Put Option @ 2015 12/31/18................. VA Statutory Hedging Strategy.............................. N/A......... 104......Goldman SachsInternational N9FYJ29MC81JI74MJE92....... 12/20/2017 12/31/2018 ....15,255 ....30,746,300 ....2,015.0000 .........391,748 ...................... ........................ ...........502,472 ... ...........502,472 .........76,856 ...................... ...................... .................... ...................... ................. ......................

MXEA IDX Put Option @ 1579 12/31/18.............. VA Statutory Hedging Strategy.............................. N/A......... 104......Goldman SachsInternational N9FYJ29MC81JI74MJE92....... 12/20/2017 12/31/2018 ......8,748 ....13,813,529 ....1,579.0000 .........248,618 ...................... ........................ ...........200,196 ... ...........200,196 ........(34,022) ...................... ...................... .................... ...................... ................. ......................

SPX IDX Put Option @ 2141 12/31/19................. VA Statutory Hedging Strategy.............................. N/A......... 104......Goldman SachsInternational N9FYJ29MC81JI74MJE92....... 12/20/2017 12/31/2019 ....13,052 ....27,950,336 ....2,141.0000 ......1,088,667 ...................... ........................ ........1,313,519 ... ........1,313,519 .......121,940 ...................... ...................... .................... ...................... ................. ......................

MXEA IDX Put Option @ 1678 12/31/19.............. VA Statutory Hedging Strategy.............................. N/A......... 104......Goldman SachsInternational N9FYJ29MC81JI74MJE92....... 12/20/2017 12/31/2019 ......7,485 ....12,557,884 ....1,678.0000 .........608,306 ...................... ........................ ...........560,462 ... ...........560,462 ..........(4,135) ...................... ...................... .................... ...................... ................. ......................


QE06.2


1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23




Type(s)of

Risk(s)(a)

Exchange,or Central


TradeDate


Number ofContracts

NotionalAmount


Received(Paid)


Premium(Received)

Paid


Premium(Received)

PaidCurrent Year


Code Fair Value


(Decrease)


CurrentYear's



Value ofHedged



Entity


end (b)

SPX IDX Put Option @ 2267 12/31/20................. VA Statutory Hedging Strategy.............................. N/A......... 104......Goldman SachsInternational N9FYJ29MC81JI74MJE92....... 12/20/2017 12/31/2020 ....11,207 ....25,410,976 ....2,267.0000 ......1,685,533 ...................... ........................ ........1,949,999 ... ........1,949,999 .......109,251 ...................... ...................... .................... ...................... ................. ......................

MXEA IDX Put Option @ 1776 12/31/20.............. VA Statutory Hedging Strategy.............................. N/A......... 104......Goldman SachsInternational N9FYJ29MC81JI74MJE92....... 12/20/2017 12/31/2020 ......6,426 ....11,415,339 ....1,776.0000 .........868,345 ...................... ........................ ...........826,653 ... ...........826,653 ........(13,507) ...................... ...................... .................... ...................... ................. ......................

SPX IDX Put Option @ 2393 12/30/21................. VA Statutory Hedging Strategy.............................. N/A......... 104......Goldman SachsInternational N9FYJ29MC81JI74MJE92....... 12/20/2017 12/30/2021 ......9,652 ....23,101,000 ....2,393.0000 ......2,210,887 ...................... ........................ ........2,409,302 ... ........2,409,302 .........30,630 ...................... ...................... .................... ...................... ................. ......................

MXEA IDX Put Option @ 1875 12/30/21.............. VA Statutory Hedging Strategy.............................. N/A......... 104......Goldman SachsInternational N9FYJ29MC81JI74MJE92....... 12/20/2017 12/30/2021 ......5,535 ....10,378,789 ....1,875.0000 ......1,103,181 ...................... ........................ ........1,032,567 ... ........1,032,567 ........(28,249) ...................... ...................... .................... ...................... ................. ......................

SPX IDX Put Option @ 2519 12/30/22................. VA Statutory Hedging Strategy.............................. N/A......... 104......Goldman SachsInternational N9FYJ29MC81JI74MJE92....... 12/20/2017 12/30/2022 ......8,335 ....20,998,866 ....2,519.0000 ......2,636,444 ...................... ........................ ........2,776,955 ... ........2,776,955 ........(55,141) ...................... ...................... .................... ...................... ................. ......................

MXEA IDX Put Option @ 1974 12/30/22.............. VA Statutory Hedging Strategy.............................. N/A......... 104......Goldman SachsInternational N9FYJ29MC81JI74MJE92....... 12/20/2017 12/30/2022 ......4,780 ......9,434,812 ....1,974.0000 ......1,270,189 ...................... ........................ ........1,188,150 ... ........1,188,150 ........(53,044) ...................... ...................... .................... ...................... ................. ......................

0099999. Total-Purchased Options-Hedging Other-Put Options............................................................................................. .................................................................................... ................................................................................................................. ....12,111,918 ....................0 ....................0 ......12,760,275 XX ......12,760,275 .......150,579 ..................0 ..................0 ................0 ....................0 XXX XXX

0149999. Total-Purchased Options-Hedging Other.................................................................................................................. .................................................................................... ................................................................................................................. ....12,794,191 .........214,996 ....................0 ......13,735,493 XX ......13,735,493 .........44,729 ..................0 ..................0 ................0 ....................0 XXX XXX

0369999. Total-Purchased Options-Call Options and Warrants.............................................................................................. .................................................................................... ................................................................................................................. .........682,273 .........214,996 ....................0 ...........975,218 XX ...........975,218 ......(105,850) ..................0 ..................0 ................0 ....................0 XXX XXX

0379999. Total-Purchased Options-Put Options....................................................................................................................... .................................................................................... ................................................................................................................. ....12,111,918 ....................0 ....................0 ......12,760,275 XX ......12,760,275 .......150,579 ..................0 ..................0 ................0 ....................0 XXX XXX

0429999. Total-Purchased Options........................................................................................................................................... .................................................................................... ................................................................................................................. ....12,794,191 .........214,996 ....................0 ......13,735,493 XX ......13,735,493 .........44,729 ..................0 ..................0 ................0 ....................0 XXX XXX

Swaps - Hedging Effective - Interest RateIR IDX Interest Rate Swap @ 2.57% 02/15/28.... 3 Month LIBOR FLOAT to FIXED.......................... N/A......... 101...... CME...................... LCZ7XYGSLJUHFXXNXD88... 01/09/2018 02/15/2028 .............1 ....50,000,000 2.57/(LIBOR).. ...................... ........................ ...........50,498 .......................... ... .......................... ...................... ...................... ...................... .................... .........786,226 ................. 100/100........

IR IDX Interest Rate Swap @ 2.72% 02/15/28.... 3 Month LIBOR FLOAT to FIXED.......................... N/A......... 101...... CME...................... LCZ7XYGSLJUHFXXNXD88... 01/25/2018 02/15/2028 .............1 ....40,000,000 2.72/(LIBOR).. ...................... ........................ ...........48,099 .......................... ... .......................... ...................... ...................... ...................... .................... .........628,980 ................. 100/100........

0859999. Total-Swaps-Hedging Effective-Interest Rate........................................................................................................... .................................................................................... ................................................................................................................. ....................0 ....................0 ...........98,597 .......................0 XX .......................0 ..................0 ..................0 ..................0 ................0 ......1,415,206 XXX XXX

0909999. Total-Swaps-Hedging Effective................................................................................................................................. .................................................................................... ................................................................................................................. ....................0 ....................0 ...........98,597 .......................0 XX .......................0 ..................0 ..................0 ..................0 ................0 ......1,415,206 XXX XXX

1159999. Total-Swaps-Interest Rate......................................................................................................................................... .................................................................................... ................................................................................................................. ....................0 ....................0 ...........98,597 .......................0 XX .......................0 ..................0 ..................0 ..................0 ................0 ......1,415,206 XXX XXX

1209999. Total-Swaps................................................................................................................................................................ .................................................................................... ................................................................................................................. ....................0 ....................0 ...........98,597 .......................0 XX .......................0 ..................0 ..................0 ..................0 ................0 ......1,415,206 XXX XXX

1399999. Total-Hedging Effective.............................................................................................................................................. .................................................................................... ................................................................................................................. ....................0 ....................0 ...........98,597 .......................0 XX .......................0 ..................0 ..................0 ..................0 ................0 ......1,415,206 XXX XXX

1409999. Total-Hedging Other................................................................................................................................................... .................................................................................... ................................................................................................................. ....12,794,191 .........214,996 ....................0 ......13,735,493 XX ......13,735,493 .........44,729 ..................0 ..................0 ................0 ....................0 XXX XXX

1449999. TOTAL......................................................................................................................................................................... .................................................................................... ................................................................................................................. ....12,794,191 .........214,996 ...........98,597 ......13,735,493 XX ......13,735,493 .........44,729 ..................0 ..................0 ................0 ......1,415,206 XXX XXX

(a) Code Description of Hedged Risk(s)

104 Equity

101 Interest Rate


QE07

SCHEDULE DB - PART B - SECTION 1Futures Contracts Open as of the Current Statement Date

1 2 3 4 5 6 7 8 9 10 11 12 13 14 Highly Effective Hedges 18 19 20 21 2215 16 17

TickerSymbol

Numberof

ContractsNotionalAmount Description

Description of Item(s) Hedged,Used for Income Generation or

Replicated


Type(s)of Risk(s)

(a)

Date ofMaturity orExpiration Exchange

TradeDate

TransactionPrice

ReportingDate Price Fair Value


CumulativeVariationMargin

DeferredVariationMargin

Change inVariation

Margin Gain(Loss) Used toAdjust Basisof Hedged

Item

CumulativeVariation

Margin for AllOther Hedges

Change inVariation

Margin Gain(Loss)

Recognized inCurrent Year

PotentialExposure


end (b)Value of One

(1) Point

NONE


QE08

SCHEDULE DB - PART D - SECTION 1Counterparty Exposure for Derivative Instruments Open as of Current Statement Date

1 2 3 4 Book Adjusted Carrying Value Fair Value 11 125 6 7 8 9 10

Description of Exchange, Counterparty or Central Clearinghouse

MasterAgreement

(Y or N)

CreditSupportAnnex

(Y or N)Fair Value of Acceptable

Collateral

Contracts withBook/Adjusted Carrying

Value > 0

Contracts withBook/Adjusted Carrying

Value < 0Exposure Netof Collateral

Contracts withFair Value > 0

Contracts withFair Value < 0

Exposure Netof Collateral

PotentialExposure

Off-BalanceSheet Exposure

NAIC 1 DesignationBarclays Bank PLC......................................................................................................................... GUR90LVD18CSY7XK3B18. Y................ Y................ .....................3,520,000 ........................687,325 .......................(273,183) ..................................0 ........................687,325 .......................(273,183) ..................................0 ..................................... ..................................0Citibank NA.................................................................................................................................... MBNUM2BPBDO7JBLYG310 Y................ Y................ .....................4,260,000 ........................587,148 .......................(267,358) ..................................0 ........................587,148 .......................(267,358) ..................................0 ..................................... ..................................0Credit Suisse International.............................................................................................................. A5W6NE4Q9TV8Y57VW369 Y................ Y................ ..................................... ........................267,494 .......................(157,892) ........................109,602 ........................267,494 .......................(157,892) ........................109,602 ..................................... ..................................0Deutsche Bank AG, London............................................................................................................ 8EWQ2UQKS07AKK8ANH81 Y................ Y................ ..................................... ..................................... ..................................... ..................................0 ..................................... ..................................... ..................................0 ..................................... ..................................0Goldman Sachs International.......................................................................................................... N9FYJ29MC81JI74MJE92.... Y................ Y................ ...................11,990,000 ...................12,760,275 ..................................... ........................770,275 ...................12,760,275 ..................................... ........................770,275 ..................................... ..................................0JPMorgan Chase Bank NA............................................................................................................. 7H6GLXDRUGQFU57RNE97 Y................ Y................ ..................................... ..................................... ..................................... ..................................0 ..................................... ..................................... ..................................0 ..................................... ..................................0Morgan Stanley & Co. International PLC......................................................................................... 4PQUHN3JPFGFNF3BB653. Y................ Y................ ..................................... ..................................... ..................................... ..................................0 ..................................... ..................................... ..................................0 ..................................... ..................................0Royal Bank of Canada.................................................................................................................... TXDSU46SXBWIGJ8G8E98. Y................ Y................ ........................170,000 ..................................... ..................................... ..................................0 ..................................... ..................................... ..................................0 ..................................... ..................................0Societe Generale SA...................................................................................................................... 549300USLFO4ME4XBQ71.. Y................ Y................ ..................................... ..........................73,856 .........................(57,533) ..........................16,323 ..........................73,856 .........................(57,533) ..........................16,323 ..................................... ..................................0Wells Fargo Bank NA...................................................................................................................... 54930073KPK5VO6G0E21... Y................ Y................ ..................................... ........................220,355 .......................(104,994) ........................115,361 ........................220,355 .......................(104,994) ........................115,361 ..................................... ..................................00299999. Total NAIC 1 Designation......................................................................................................................................................................................... ...................19,940,000 ...................14,596,453 .......................(860,960) .....................1,011,561 ...................14,596,453 .......................(860,960) .....................1,011,561 ..................................0 ..................................00899999. Aggregate Sum of Central Clearinghouse....................................................................... XXX XXX XXX .....................8,715,787 ..................................... ..................................... ..................................0 ..................................... ..................................... ..................................0 .....................1,415,206 ..................................00999999. Gross Totals................................................................................................................... ....................................................................................... ...................28,655,787 ...................14,596,453 .......................(860,960) .....................1,011,561 ...................14,596,453 .......................(860,960) .....................1,011,561 .....................1,415,206 ..................................01. Offset per SSAP No. 64............................................................................................................. ................................................................................................................................ ........................860,960 .......................(860,960)2. Net after right of offset per SSAP No. 64.................................................................................... ................................................................................................................................ ...................13,735,493 ..................................0


QE09

SCHEDULE DB - PART D - SECTION 2Collateral for Derivative Instruments Open as of Current Statement Date

1 2 3 4 5 6 7 8 9

Exchange, Counterparty or Central Clearinghouse Type of Asset Pledged CUSIP Identification Description Fair Value Par ValueBook/AdjustedCarrying Value

MaturityDate

Type of Margin(I, V or IV)

Collateral Pledged by Reporting EntityGoldman Sachs International............................................ N9FYJ29MC81JI74MJE92...... Margin Account........................................................................................ 000000 00 0 Cash Delivered as Credit Support................................................................................................... ...................8,715,787 ...................8,715,787 ...................8,715,787 N/A............ ..........IV..........0199999. Totals................................................................................................................. ..................................................................................................................................................... ....................................................................................................................................................... ...................8,715,787 ...................8,715,787 ...................8,715,787 XXX XXXCollateral Pledged to Reporting EntityGoldman Sachs International............................................ N9FYJ29MC81JI74MJE92...... Cash........................................................................................................ 000000 00 Cash Delivered as Credit Support................................................................................................... .................11,990,000 .................11,990,000 XXX N/A............ ..........V...........Royal Bank of Canada...................................................... TXDSU46SXBWIGJ8G8E98... Cash........................................................................................................ 000000 00 Cash Delivered as Credit Support................................................................................................... ......................170,000 ......................170,000 XXX N/A............ ..........V...........Barclays Bank PLC........................................................... GUR90LVD18CSY7XK3B18... Cash........................................................................................................ 000000 00 Cash Delivered as Credit Support................................................................................................... ...................3,520,000 ...................3,520,000 XXX N/A............ ..........V...........Citibank NA....................................................................... MBNUM2BPBDO7JBLYG310. Cash........................................................................................................ 000000 00 Cash Delivered as Credit Support................................................................................................... ...................4,260,000 ...................4,260,000 XXX N/A............ ..........V...........0299999. Totals................................................................................................................. ..................................................................................................................................................... ....................................................................................................................................................... .................19,940,000 .................19,940,000 XXX XXX XXX


QE10, QE11

Sch. DL - Pt. 1NONE

Sch. DL - Pt. 2NONE


QE12

SCHEDULE E - PART 1 - CASH Month End Depository Balances

1 2 3 4 5 Book Balance at End of Each 9Month During Current Quarter

6 7 8

Depository Code Rate of Interest

Amount of InterestReceived DuringCurrent Quarter

Amount of InterestAccrued at Current

Statement Date First Month Second Month Third Month *

Open Depositories

Fifth Third Bank.............................................................. Cincinnati, OH................................................................ ...................... ...................... ................................. ................................. .....................82,545 .....................82,545 .....................81,805 XXX

JPMorgan-Chase Bank.................................................. New York, NY................................................................. ...................... ...................... ................................. ................................. ..............96,615,432 ............108,746,042 ..............61,415,079 XXX

US Bank......................................................................... Cincinnati, OH................................................................ ...................... ...................... ................................. ................................. .............(14,937,470) .............(21,775,908) .............(16,081,105) XXX

Westamerica Bank......................................................... Fairfield, CA.................................................................... ...................... ...................... ................................. ................................. .....................88,526 .....................90,114 ...................104,010 XXX

Federal Home Loan Bank of Boston.............................. Boston, MA..................................................................... ...................... ...................... ................................. ................................. ................................. ...................100,000 ...................100,000 XXX

0199999. Total Open Depositories........................................................................................................................... XXX XXX ..............................0 ..............................0 ..............81,849,033 ..............87,242,792 ..............45,619,789 XXX0399999. Total Cash on Deposit............................................................................................................................... XXX XXX ..............................0 ..............................0 ..............81,849,033 ..............87,242,792 ..............45,619,789 XXX0599999. Total Cash................................................................................................................................................. XXX XXX ..............................0 ..............................0 ..............81,849,033 ..............87,242,792 ..............45,619,789 XXX


QE13

SCHEDULE E - PART 2 - CASH EQUIVALENTSShow Investments Owned End of Current Quarter

1 2 3 4 5 6 7 8 9

CUSIP Identification Description Code Date Acquired Rate of Interest Maturity Date Book/Adjusted Carrying ValueAmount of Interest Due &

Accrued Amount Received During Year

NONE

Documents

QUARTERLY STATEMENT · QUARTERLY STATEMENT OF THE PHL VARIABLE INSURANCE COMPANY Of Hartford in the state of CT to the Insurance Department of the State of For the Period Ended