ANNUAL STATEMENT FOR THE YEAR 2016 OF THE · PDF file6.7 Aggregate write-ins for other...

ANNUAL STATEMENT FOR THE YEAR 2016 OF THE SEPARATE ACCOUNTS OF THE TIAA-CREF LIFE INSURANCE COMPANY

ASSETSCurrent Year Prior Year

1General Account

Basis

2Fair Value

Basis

3Total

(Cols. 1 + 2)

4

Total

1. Bonds (Schedule D) 3,177,947,325 3,177,947,325 3,272,029,382

2. Stocks (Schedule D):

2.1 Preferred stocks

2.2 Common stocks 2,235,303,085 2,235,303,085 1,882,671,706

3. Mortgage loans on real estate (Schedule B)

4. Real estate (Schedule A):

4.1 Properties held for the production of income (less

$ 0 encumbrances)

4.2 Properties held for sale (less $ 0

encumbrances)

5. Contract loans

6. Cash ($ 164,201 Schedule E - Part 1), and cash

equivalents ($ 35,056,920 , Schedule E - Part 2) 35,221,121 35,221,121 8,501,234

7. Short-term investments (Schedule DA) 81,298,143 81,298,143

8. Derivatives (Schedule DB)

9. Other invested assets (Schedule BA)

10. Securities lending reinvested collateral assets (Schedule DL)

11. Aggregate write-ins for invested assets

12. Subtotals, cash and invested assets (Lines 1 to 11) 3,294,466,589 2,235,303,085 5,529,769,674 5,163,202,322

13. Investment income due and accrued 14,270,026 14,270,026 11,405,368

14. Receivables for securities 15,037,092 15,037,092

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

16. Aggregate write-ins for other than invested assets

17. Total (Lines 12 to 16) 3,323,773,707 2,235,303,085 5,559,076,792 5,174,607,690

DETAILS OF WRITE-INS

1101.

1102.

1103.

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

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

1601.

1602.

1603.



2


LIABILITIES AND SURPLUSCurrent Year Prior Year

1General Account

Basis

2Fair Value

Basis

3Total

(Cols. 1 + 2)

4

Total

1. Aggregate reserve for life, annuity and accident and health contracts (Exhibit 3, Line 9999999, Col. 2) 2,213,704,176 2,213,704,176 1,865,070,878

2. Liability for deposit-type contracts (Exhibit 4, Line 9, Col. 1) 3,256,023,016 16,698,136 3,272,721,152 3,289,626,454

3. Interest Maintenance Reserve 12,808,977 12,808,977 2,210,967

4. Charges for investment management, administration and contract guarantees due or accrued

5. Investment expenses due or accrued (Exhibit 1, Line 24)

6. Investment taxes, licenses and fees due or accrued, excluding federal income taxes (Exhibit 2, Line 8)

7. Federal and foreign income taxes due or accrued (excluding deferred taxes)

8. Reserve for future federal income taxes

9. Unearned investment income

10. Other transfers to general account due or accrued (net) (including

$ 4,989,211 accrued expense allowances recognized in

reserves) 113,857 4,900,319 5,014,176 3,990,413

11. Remittances and items not allocated 454 454

12. Derivatives

13. Payable for securities 45,512,771 45,512,771

14. Payable for securities lending

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

16. Aggregate write-ins for liabilities 1,162,859 1,162,859 4,251,570

17. Total liabilities (including $ 5,014,176 due or accrued net

transfers to or (from) the general account) 3,315,621,480 2,235,303,085 5,550,924,565 5,165,150,282

18. Contributed surplus 8,152,227 8,152,227 9,457,408

19. Aggregate write-ins for special surplus funds

20. Unassigned funds

21. Surplus (Lines 18 through 20) 8,152,227 8,152,227 9,457,408

22. Totals 3,323,773,707 2,235,303,085 5,559,076,792 5,174,607,690


1601. Unamortized market value adjustment 1,162,859 1,162,859 4,251,570

1602.

1603.


1699. Totals (Lines 1601 thru 1603 plus 1698)(Line 16 above) 1,162,859 1,162,859 4,251,570

1901.

1902.

1903.



3


SUMMARY OF OPERATIONS1

Current Year2

Prior Year

1. Transfers to Separate Accounts:

1.1 Net premiums and annuity considerations for life and accident and health contracts 321,991,539 369,289,374

1.2 Considerations for supplementary contracts with life contingencies

1.3 Aggregate write-ins for other transfers to Separate Accounts 9,929,310 11,899,919

1.4 Totals (Lines 1.1 to 1.3) 331,920,849 381,189,293

2. Transfers on account of deposit-type contracts (including $ 5,383,332 deposits

less $ 80,641,938 withdrawals) (75,258,607) 117,368,587

3. Net investment income and capital gains and losses 230,423,346 40,805,625

4. Aggregate write-ins for other income 7,120,971 8,309,673

5. Totals (Lines 1.4 to 4) 494,206,559 547,673,178

DEDUCT:

6. Transfers from the Separate Account on account of contract benefits:

6.1 Death benefits 19,554

6.2 Matured endowments

6.3 Annuity benefits 9,788,691 5,462,026

6.4 Payments on supplementary contracts with life contingencies 25,239

6.5 Accident and health benefits

6.6 Surrender benefits and withdrawals for life contracts 76,710,770 65,332,309

6.7 Aggregate write-ins for other transfers from Separate Accounts on account of contract benefits 51,037,285 42,496,276

7. Transfers on account of policy loans 1,579,242 1,613,289

8. Net transfer of reserves from or (to) Separate Accounts

9. Other transfers from the Separate Accounts:

9.1 Federal and foreign income taxes incurred

9.2 Change in expense allowances recognized in reserves 441,838 1,185,457

9.3 Aggregate write-ins for other transfers from Separate Accounts

10. Subtotals (Lines 6.1 to 9.3) 139,577,380 116,114,596

11. Fees associated with charges for investment management, administration and contract guarantees 24,206,366 22,779,211

12. Increase in aggregate reserve for life and accident and health contracts 348,633,298 241,793,185

13. Increase in liability for deposit-type contracts (16,905,303) 162,522,014

14. Increase in reserve for future federal income taxes

15. Aggregate write-ins for reserves and funds

16. Totals (Lines 10 to 15) 495,511,741 543,209,006

17. Net gain from operations (including $ 80,230,853 unrealized capital gains) (Line 5 minus Line 16) (1,305,182) 4,464,172

SURPLUS ACCOUNT

18. Surplus, December 31, prior year 9,457,409 4,993,237

19. Net gain from operations (Line 17) (1,305,182) 4,464,172

20. Surplus contributed or (withdrawn) during year

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

22. Transfer from Separate Accounts of the change in expense allowances recognized in Line 21

23. Aggregate write-ins for gains and losses in surplus

24. Surplus, December 31, current year (Page 3, Line 21) 8,152,227 9,457,409


01.301. Participant transfers from fixed account 9,929,310 11,899,919

01.302.

01.303.

01.398. Summary of remaining write-ins for Line 1.3 from overflow page

01.399. Totals (Lines 01.301 thru 01.303 plus 01.398)(Line 1.3 above) 9,929,310 11,899,919

0401. Amortization of Interest Maintenance Reserve 4,032,260 1,887,629

0402. Market value adjustment 3,088,711 6,422,044

0403.


0499. Totals (Lines 0401 thru 0403 plus 0498)(Line 4 above) 7,120,971 8,309,673

06.701. Cost of Insurance 6,266,970 5,519,031

06.702. Miscellaneous gains and losses (395,452) (685,796)

06.703. Miscellaneous transfers 13,755,812 8,090,453

06.798. Summary of remaining write-ins for Line 6.7 from overflow page 31,409,955 29,572,588

06.799. Totals (Lines 06.701 thru 06.703 plus 06.798)(Line 6.7 above) 51,037,285 42,496,276

09.301.

09.302.

09.303.


09.399. Totals (Lines 09.301 thru 09.303 plus 09.398)(Line 9.3 above)

1501.

1502.

1503.



2301.

2302.

2303.



4


ANALYSIS OF OPERATIONS BY LINES OF BUSINESS1 Ordinary Group Accident and Health 9

Total2

Life Insurance3

Individual Annuities4

Supplementary Contracts5

Life Insurance6

Annuities7

Group8

Other

Aggregate of All OtherLines of Business

1. Transfers to Separate Accounts:1.1 Net premiums and annuity considerations for life and accident and health contracts 321,991,539 5,105,332 294,661,333 22,224,874

1.2 Considerations for supplementary contracts with life contingencies

1.3 Aggregate write-ins for other transfers to Separate Accounts 9,929,310 2,225 9,729,488 197,597

1.4 Totals (Lines 1.1 to 1.3) 331,920,849 5,107,557 304,390,821 22,422,471

2. Transfers on account of deposit-type contracts (including

$ 5,383,332 deposits less $ 80,641,938 withdrawals) (75,258,607) 1,905,333 (163,940) (77,000,000) 3. Net investment income and capital gains and losses 230,423,346 34,289 160,969,768 298,731 7,939,988 61,180,570 4. Aggregate write-ins for other income 7,120,971 7,120,971

5. Totals (Lines 1.4 to 4) 494,206,559 5,141,846 467,265,922 134,791 30,362,459 (8,698,459)

DEDUCT:6. Transfers from the Separate Account on account of contract benefits:

6.1 Death benefits 19,554 19,554


6.3 Annuity benefits 9,788,691 9,747,115 41,576

6.4 Payments on supplementary contracts with life contingencies


6.6 Surrender benefits and withdrawals for life contracts 76,710,770 2,109 76,330,514 378,147 6.7 Aggregate write-ins for other transfers from Separate Accounts on account of contract

benefits 51,037,285 1,542,469 43,912,712 (355) 5,582,459

7. Transfers on account of policy loans 1,579,242 22,656 1,526,633 29,953 8. Net transfer of reserves from or (to) Separate Accounts 9. Other transfers from the Separate Accounts:

9.1 Federal and foreign income taxes incurred

9.2 Change in expense allowances recognized in reserves 441,838 35,799 406,039


10. Subtotals (Lines 6.1 to 9.3) 139,577,380 1,603,033 131,536,528 41,221 6,396,598 11. Fees associated with charges for investment management, administration and contract

guarantees 24,206,366 404,478 8,831,317 16,010 2,434,407 12,520,154 12. Increase in aggregate reserve for life and accident and health contracts 348,633,298 3,310,572 323,691,521 275,987 21,355,218 13. Increase in liability for deposit-type contracts (16,905,303) 2,923,614 84,515 (19,913,432) 14. Increase in reserve for future federal income taxes 15. Aggregate write-ins for reserves and funds 16. Totals (Lines 10 to 15) 495,511,741 5,318,083 466,982,980 417,733 30,186,223 (7,393,278)

17. Net gain from operations (including $ 80,230,853 unrealized capital

gains) (Line 5 minus Line 16) (1,305,182) (176,237) 282,942 (282,942) 176,236 (1,305,181)

DETAILS OF WRITE-INS01.301. Participant transfers from fixed account 9,929,310 2,225 9,729,488 197,597 01.302.01.303.01.398. Summary of remaining write-ins for Line 1.3 from overflow page 01.399. Totals (Lines 01.301 thru 01.303 plus 01.398) (Line 1.3 above) 9,929,310 2,225 9,729,488 197,597

0401. Amortization of IMR 4,032,260 4,032,260 0402. Market value adjustment 3,088,711 3,088,711 0403.0498. Summary of remaining write-ins for Line 4 from overflow page 0499. Totals (Lines 0401 thru 0403 plus 0498) (Line 4 above) 7,120,971 7,120,971

06.701. Cost of insurance 6,266,970 675,269 2,052,454 3,539,247 06.702. Miscellaneous gains and losses (395,453) 4,903 (385,399) (355) (14,602) 06.703. Miscellanous transfers 13,755,813 13,755,813 06.798. Summary of remaining write-ins for Line 6.7 from overflow page 31,409,955 862,297 28,489,844 2,057,814 06.799. Totals (Lines 06.701 thru 06.703 plus 06.798) (Line 6.7 above) 51,037,285 1,542,469 43,912,712 (355) 5,582,459

09.301.09.302.09.303.09.398. Summary of remaining write-ins for Line 9.3 from overflow page 09.399. Totals (Lines 09.301 thru 09.303 plus 09.398) (Line 9.3 above)

1501.1502.1503.1598. Summary of remaining write-ins for Line 15 from overflow page 1599. Totals (Lines 1501 thru 1503 plus 1598) (Line 15 above)

5


ANALYSIS OF INCREASE IN RESERVES DURING THE YEAR 1 Ordinary Group

Total

2

Life Insurance

3Individual Annuities

4Supplementary

Contracts

5

Life Insurance

6

Annuities

1. Reserve Dec. 31 of prior year 1,865,070,878 132,959,791 1,670,645,759 416,013 61,049,315

2. Tabular net premiums and considerations for annuities and supplementary contracts with life contingencies 321,991,538 32,333,078 267,433,586 22,224,874

3. Increase or (decrease) from investment results after provision for federal income taxes 167,884,304 12,113,330 147,689,661 317,563 7,763,750

4. Tabular less actual reserve released

5. Increase in reserve on account of change in valuation basis

6. Other increases (net) (394,033) (191,552) (187,879) (14,602)

7. Totals (Lines 1 to 6) 2,354,552,687 177,214,647 2,085,581,127 733,576 91,023,337

8. Net transfer of reserves from or (to) Separate Accounts 40,686,244 6,453,250 28,862,735 5,370,259

9. Tabular cost

10. Reserves released by death 19,554 19,554

11. Reserves released by other terminations (net) 1,579,242 1,549,289 29,953

12. Transfers on account of annuity and supplementary contract payments involving life contingencies 86,499,462 1,201,305 84,878,434 41,576 378,147

13. Charges for investment management, administration and contract guarantees 11,622,171 1,214,840 7,972,924 2,434,407

14. Aggregate write-ins for other decreases in reserves 441,838 35,799 406,039

15. Total deductions (Lines 8 to 14) 140,848,511 10,474,037 121,714,093 41,576 8,618,805

16. Reserve December 31 of current year 2,213,704,176 166,740,610 1,963,867,034 692,000 82,404,532


1401. Expense allowance 441,838 35,799 406,039

1402.

1403.


1499. Totals (Lines 1401 thru 1403 plus 1498) (Line 14 above) 441,838 35,799 406,039

6


EXHIBIT OF NET INVESTMENT INCOME

1 2Collected During Year Earned During Year

1. U.S. Government bonds (a)

1.1 Bonds exempt from U.S. tax (a)

1.2 Other bonds (unaffiliated) (a) 67,253,939 60,163,060

1.3 Bonds of affiliates (a)

2.1 Preferred stocks (unaffiliated) (b)

2.11 Preferred stocks of affiliates (b)

2.2 Common stocks (unaffiliated) 84,466,915 84,466,915

2.21 Common stocks of affiliates

3. Mortgage loans (c)

4. Real estate (d)

5 Contract loans

6 Cash, cash equivalents and short-term investments (e) 1,868,286 1,017,476

7 Derivative instruments (f)

8. Other invested assets

9. Aggregate write-ins for investment income 42 42

10. Total gross investment income 153,589,182 145,647,493

11. Investment expenses (g)

12. Investment taxes, licenses and fees, excluding federal income taxes (g)

13. Interest expense (h)

14. Depreciation on real estate and other invested assets (i)

15. Aggregate write-ins for deductions from investment income

16. Total deductions (Lines 11 through 15)

17. Net investment income (Line 10 minus Line 16) 145,647,493


0901. Miscellaneous Investment Income 42 42

0902.

0903.


0999. Totals (Lines 0901 thru 0903 plus 0998) (Line 9, above) 42 42

1501.

1502.

1503.


1599. Totals (Lines 1501 thru 1503 plus 1598) (Line 15, above)

(a) Includes $ 1,016,919 accrual of discount less $ 6,807,959 amortization of premium and less $ 2,919,717 paid for accrued interest on purchases.

(b) Includes $ accrual of discount less $ amortization of premium and less $ paid for accrued dividends on purchases.

(c) Includes $ accrual of discount less $ amortization of premium and less $ paid for accrued interest on purchases.

(d) Includes $ for company’s occupancy of its own buildings; and excludes $ interest on encumbrances.

(e) Includes $ 131,764 accrual of discount less $ 1,352,694 amortization of premium and less $ 874,660 paid for accrued interest on purchases.

(f) Includes $ accrual of discount less $ amortization of premium.

(g) Includes $ investment expenses and $ investment taxes, licenses and fees, excluding federal income taxes, attributable tosegregated and Separate Accounts.

(h) Includes $ interest on surplus notes and $ interest on capital notes.

(i) Includes $ depreciation on real estate and $ depreciation on other invested assets.

EXHIBIT OF CAPITAL GAINS (LOSSES)1

Realized Gain (Loss) On Sales or Maturity

2

Other Realized Adjustments

3

Total Realized Capital Gain (Loss)

(Columns 1 + 2)

4

Change inUnrealized Capital

Gain (Loss)

5

Change in Unrealized Foreign Exchange Capital Gain (Loss)

1. U.S. Government bonds 3,147,079 3,147,079

1.1 Bonds exempt from U.S. tax

1.2 Other bonds (unaffiliated) 11,451,483 11,451,483

1.3 Bonds of affiliates

2.1 Preferred stocks (unaffiliated)

2.11 Preferred stocks of affiliates

2.2 Common stocks (unaffiliated) 4,545,001 4,545,001 80,230,853

2.21 Common stocks of affiliates

3. Mortgage loans

4. Real estate

5. Contract loans

6. Cash, cash equivalents and short-term investments 31,710 31,710

7. Derivative instruments

8. Other invested assets

9. Aggregate write-ins for capital gains (losses) (14,630,270) (14,630,270)

10. Total capital gains (losses) 4,545,003 4,545,003 80,230,853


0901. Capital gains transferred to Interest

Maintenance Reserve (14,630,270) (14,630,270)

0902.

0903.


0999. Totals (Lines 0901 thru 0903 plus 0998) (Line 9, above) (14,630,270) (14,630,270)

7


Exhibit 1

N O N E

Exhibit 2

N O N E

8


EXHIBIT 3 - AGGREGATE RESERVE FOR LIFE, ANNUITY AND ACCIDENT AND HEALTH CONTRACTS

1

Description of Valuation Basis

2

Total

3

Ordinary

4

Group

0100001. 80 CSO 4.5% CRVM ALB IDB (VISL) 2000-2005 9,548,437 9,548,437

0100002. 80 CSO 4% CRVM ALB IDB (VISL) 2006-2008 39,106,538 39,106,538

0100003. 2001 CSO 4% CRVM ALB IDB (VISL) 2008-2012 35,720,225 35,720,225

0100004. 2001 CSO 3.5% CRVM ALB IDB (VISL) 2013-2016 NB 68,945,044 68,945,044

0100005. 2001 CSO 4% CRVM ANB IDB (VISL) 2012 8,831,547 1,651,600 7,179,947

0100006. 2001 CSO 3.5% CRVM ANB IDB (VISL) 2013-2016 NB 86,993,349 11,768,763 75,224,586 0199999. Life Insurance: Totals 249,145,140 166,740,607 82,404,533

0200001. Deferred Variable NAV MV (DEF,NFI) 1999-2016 NB 1,935,349,745 1,935,349,745

0200002. A-2000 (4.0,4.0) 4% (IMM,FI) 2001-2014 22,322,046 22,322,046

0200003. 2012IAR 4% (IMM,FI) 2015-2016 NB 6,195,244 6,195,244 0299999. Annuities: Totals 1,963,867,035 1,963,867,035

0300001. A-2000 (4.0,4.0) 4% (IMM,FI) 2001-2014 230,494 230,494

0300002. 2012IAR 4% (IMM,FI) 2015-2016 NB 461,507 461,507 0399999. Supplementary Contracts: Totals 692,001 692,001 9999999. Totals (to Page 3, Line 1) 2,213,704,176 2,131,299,643 82,404,533

EXHIBIT 3 - INTERROGATORIES

1.1 Has the reporting entity ever issued both participating and non-participating variable life insurance contracts? Yes [ ] No [ X ]

2.1 Does the reporting entity at present issue both participating and non-participating variable life insurance contracts? Yes [ ] No [ X ]

2.2 If not, state which kind is issued

nonparticipating 3.1 Is any surrender value promised in excess of the reserve as legally computed? Yes [ ] No [ X ] N/A [ ]

3.2 If so, the amount of such excess must be included in surrender values in excess of reserves otherwise required and carried in this schedule. Has this been done? Yes [ ] No [ ] N/A [ X ]

Attach a statement of methods employed in the valuation of variable life insurance contracts issued at, or subsequently subject to, an extra premium or in the valuation of contracts otherwise issued on lives classified as substandard for the plan of contract issued or on special class lives (including paid-up variable life insurance).

EXHIBIT 3A - CHANGES IN BASIS OF VALUATION DURING THE YEAR(Including supplementary contracts set up on a basis other than that used to determine benefits)

1 Valuation Basis 4

Description of Valuation Class

2

Changed From

3

Changed To

Increase in Actuarial Reserve Due to

Change

9999999 - Totals (Page 6, Line 5, Analysis of Increase in Reserves)

NONE

9


EXHIBIT 4 - DEPOSIT TYPE CONTRACTS1

Total

2

GuaranteedInterest Contracts

3

Annuities Certain

4

Supplemental Contracts

5Dividend

Accumulations or Refunds

6

Premium and Other Deposit Funds

1. Balance at the beginning of the year 3,289,626,454 3,275,936,447 9,841,199 3,848,808

2. Deposits received during the year 5,383,332 4,813,964 569,368

3. Investment earnings credited to account 61,306,164 60,175,280 848,162 282,722

4. Other net change in reserves (3,088,711) (3,088,711)

5. Fees and other charges assessed

6. Surrender charges

7. Net surrender or withdrawal payments 80,641,938 77,000,000 2,908,630 733,308

8. Other net transfer to or (from) general account (135,851) (170,118) 34,267

9. Balance at the end of current year (Lines 1+2+3+4-5-6-7-8) 3,272,721,152 3,256,023,016 12,764,813 3,933,323

10


EXHIBIT 5 - RECONCILIATION OF CASH AND INVESTED ASSETS

DEVELOPMENT OF INCREASE IN CASH1

Amount

1. Transfers to Separate Accounts on account of:

1.1 Net premiums and considerations for annuities and supplementary contracts with life contingencies 321,991,539

1.2 Aggregate write-ins for other transfers to Separate Accounts 9,929,310

2. Deposits on deposit-type contract funds and other liabilities without life or disability contingencies 5,383,332

3. Investment income collected 153,589,182

4. Consideration on disposal of short-term bonds net of purchases (82,395,645)

5. Consideration on disposal of investments (excluding short-term bonds) 15,630,041,841

6. Aggregate write-ins for other increases in funds from operations 3,088,711

7. Total (Lines 1 to 6) 16,041,628,270

8. Cost of investments acquired (excluding short-term bonds) 15,833,950,813

9. Transfers from Separate Accounts on account of contract benefits:

9.1 Death benefits 19,554


9.3 Annuity benefits 9,788,691

9.4 Supplementary contract benefits with life contingencies


9.6 Surrender benefits and withdrawals for life contracts 76,710,769

9.7 Policy loans (net) 1,579,241

9.8 Transfers of reserves (net) 441,838

9.9 Aggregate write-ins for other transfers from Separate Accounts on account of contract benefits 51,037,279

10. Other transfers from Separate Accounts:

10.1 Federal income taxes


11. Withdrawals on deposit-type contract funds and other liabilities without life or disability contingencies 80,641,938

12. Investment expenses (Exhibit 1, Line 25)

12.1 Fees associated with investment management, administration and contract guarantees 24,206,365

13. Investment taxes, licenses and fees, excluding federal income taxes (Exhibit 2, Line 9)

14. Total (Lines 8 to 13) 16,078,376,488

15. Funds from operations (Line 7 minus Line 14) (36,748,218)

16. Surplus contributed or (withdrawn) during year

17. Aggregate write-ins for other changes in funds

18. Total funds (includes $ 0 net transfers from general account) (Lines 15 to 17) (36,748,218)

19. Increase in payable for investments acquired, net of receivable for investments sold

20. Decrease in policy loans

21. Aggregate write-ins for other reconciling items 28,411,186

22. Increase in cash (Line 18 to 21) (8,337,032)

RECONCILIATION BETWEEN YEARS

23. Cash and invested assets, December 31st of prior year 5,163,202,322

24. Increase in cash (Line 22) (8,337,032)

25. Cost of invested assets acquired 19,837,603,280

26. Adjusted cost of assets disposed of 19,535,917,779

27. Increase in policy loans

28. Accrual of discount less amortization of premium (7,011,970)

29. Depreciation on real estate and other invested assets

30. Increase in net unrealized gains 80,230,853

31. Aggregate write-ins for other reconciling items

32. Cash and invested assets, December 31st of current year 5,529,769,674


01.201. Participant transfers from general account 9,929,310

01.202.

01.203.


01.299. Totals (Lines 01.201 thru 01.203 plus 01.298) (Line 1.2 above) 9,929,310

0601. Market value adjustment 3,088,711

0602.

0603.


0699. Totals (Lines 0601 thru 0603 plus 0698) (Line 6 above) 3,088,711

09.901. Cost of insurance 6,266,970

09.902. Miscellanous transfers 13,360,359

09.903. Participant transfers to general account 31,409,950


09.999. Totals (Lines 09.901 thru 09.903 plus 09.998) (Line 09.9 above) 51,037,279

10.201.

10.202.

10.203.


10.299. Totals (Lines 10.201 thru 10.203 plus 10.298) (Line 10.2 above)

1701.

1702.

1703.


1799. Totals (Lines 1701 thru 1703 plus 1798) (Line 17 above)

2101. Change in assets (15,037,092)

2102. Change in liabilities 43,448,278

2103.


2199. Totals (Lines 2101 thru 2103 plus 2198) (Line 21 above) 28,411,186

3101.

3102.

3103.


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

11


EXHIBIT 6 - GUARANTEED INSURANCE AND ANNUITY PRODUCTS1

Amount

2

Percent of Total

1. Aggregate reserve for life, annuity and accident and health contracts (Included in Exhibit 3):

1.1 Life insurance

1.2 Annuities

1.3 Supplementary contracts with life contingencies

1.4 Accident and health

1.5 Miscellaneous reserves

1.6 Total

2. Liability for deposit-type contracts (included in Exhibit 4):

2.1 Guaranteed interest contracts 3,256,023,016 58.7

2.2 Annuities certain

2.3 Supplemental contracts

2.4 Dividend accumulations or refunds

2.5 Premium and other deposit funds

2.6 Total 3,256,023,016 58.7

3. Other liabilities (included in Page 3, Lines 4, 10, 13 & 14) 59,598,465 1.1

4. Total liabilities associated with guarantees (Lines 1.6 + 2.6 + 3) 3,315,621,481 59.7

5. Total liabilities not associated with guarantees 2,235,303,084 40.3

6. Total Separate Accounts liabilities (Lines 4 + 5 = Page 3, Line 17) 5,550,924,565 100.0 %

12


GENERAL INTERROGATORIES

Product Mix

1.01 Identify the product types in the separate account, quantify the assets associated with those products, indicate if there are any guarantees associated with those products, quantify seed money and quantify other fees and expenses due to the general account:

Note: A distinct product identifier shall be used for each product and shall be used consistently throughout the interrogatory.

1

Product Identifier

2

Separate Account Assets

3Guarantees

Associated withthe Product

Yes/No

4

Seed Money

5

Fees and Expenses Due to the

General Account

6

Additional Required Surplus Amounts

TC LIFE VA-1 1,981,259,403 YES 480,714

TC LIFE VL-1 153,299,566 NO

TC LIFE VLI-2 100,744,116 YES

TC LIFE SVSA-1 1,231,181,720 YES 41,396

TC LIFE SVSA-2 922,801,711 YES 28,320

TC LIFE SVSA-3 1,169,790,276 YES 44,142

Totals 5,559,076,792 XXX 594,572

Note: Additional Required Surplus Amounts is defined as additional or permanent surplus that is required to be retained in the separate account in accordance with state law or regulation. These amounts should not include reinvested separate account investment proceeds that have not been allocated to separate account contract holders.

1.02 Did the reporting entity remit seed money, other fees and expenses or additional required surplus amounts to the general account during the current year? Yes [ X ] No [ ]

1.03 If yes, provide information on the total gross amount of seed money, other fees and expenses or additional required surplus amounts remitted to the general account during the current year (these amounts should not be reflected in the seed money totals in 1.01):

1.031 Seed Money $

1.032 Other Fees and Expenses $ 24,687,079

1.033 Additional Required Surplus Amounts $

1.04 Did the reporting entity receive seed money from the general account in the current year? Yes [ ] No [ X ]1.05 If yes, provide information on the total gross amount of seed money received in the current year: (If amounts were both received and

remitted in the current year, include the gross amounts in both 1.031 and 1.051.)

1.051 Seed Money Received $

1.06 Does the reporting entity consider any of the seed money reflected in separate accounts to be insulated from the general account? Yes [ ] No [ ] N/A [ X ]

1.07 If yes, provide information on the amount of seed money the reporting entity considers insulated from the general account:

1.071 Insulated Seed Money $

1.08 Does the reporting entity have a policy for repatriating seed money or remitting fees and expenses due and additional required surplus amounts to the general account:

1.081 Seed Money Yes [ X ] No [ ]

1.082 Other Fees and Expenses Yes [ X ] No [ ]

1.083 Additional Required Surplus Amounts Yes [ X ] No [ ]

1.09 Provide detail on the time duration for which seed money, other fees and expenses due to the general account and additional required surplus amounts have been held in the separate account:

1

Seed Money

2Fees and Expenses

Due to theGeneral Account

3

Additional Required Surplus Amounts

1.091 Under 1 Year 594,572

1.092 1 Year - 3 Years

1.093 Over 3 Years - 5 Years

1.094 Over 5 Years

1.095 Total 594,572

1.10 For seed money, other fees and expenses, and additional required surplus amounts held in the separate account, does the reporting entity invest these funds in accordance with investment directives of the general account:

1.101 Seed Money Yes [ ] No [ ] N/A [ X ]

1.102 Other Fees and Expenses Yes [ ] No [ X ] N/A [ ]

1.103 Additional Required Surplus Amounts Yes [ ] No [ ] N/A [ X ]

13



1.11 If no, does the reporting entity have stated policy and procedure for the investment of seed money, other fees and expenses, and additional required surplus amounts that are retained with the separate account?

1.111 Seed Money Yes [ ] No [ ] N/A [ X ]

1.112 Other Fees and Expenses Yes [ X ] No [ ] N/A [ ]

1.113 Additional Required Surplus Amounts Yes [ ] No [ ] N/A [ X ]

Separate Account Products with General Account Guarantees2.1 Does the reporting entity have products with guarantees provided by the general account? Yes [ X ] No [ ]

2.2 If yes, what is the current total maximum guarantee the general account would provide to the separate account? $ 1,497,670

2.3 Has the separate account collected amounts from the general account within the past five years related to separate account guarantees? Yes [ X ] No [ ]

2.4 If yes, provide detail on these guarantees paid by the general account:

1Year

2Amount

2.401 As of December 31, 2016 $ 465,918

2.402 As of December 31, 2015 $ (518,213)

2.403 As of December 31, 2014 $ (400,848)

2.404 As of December 31, 2013 $ (11,409)

2.405 As of December 31, 2012 $ 203,293

2.5 To compensate the general account for the risk taken, for any separate account products with general account guarantees, does the separate account remit risk charges to the general account related to separate account guarantees? Yes [ ] No [ X ]

2.6 If yes, identify the separate account products with risk charges that are remitted to the general account and whether the risk charge for that product is reviewed and opined upon:

1

Product Identifier with Risk Charges

2

Risk Charge Reviewed and Opined Upon

3Name and Title of Individual who Provided

Opinion on Risk Charges

2.7 Provide detail on the risk charges paid to the general account related to separate account guarantees for the past five years:

1Year

2Amount

2.701 As of December 31, 2016 $

2.702 As of December 31, 2015 $

2.703 As of December 31, 2014 $

2.704 As of December 31, 2013 $

2.705 As of December 31, 2012 $

Investment Directive of Separate Account Activity3.1 Does the reporting entity have products classified within the separate account for which the investment directive is not determined by the

contract holder? (Situations in which the investments directive mirrors the general account would not be considered determined by the contract holder; however, having the contract holder select an investment direction from multiple options would meet this criteria.) Yes [ X ] No [ ]

3.2 If yes, if these investments would have been included in the general account, would the reporting entity have exceeded the investment limitations imposed on the general account? Yes [ ] No [ X ] N/A [ ]

3.3 Provide detail on the separate account investment portfolio and state investment limitations. (This includes the combined separate account and general investments, excluding separate account assets with investment direction determined by the contract holder):

1

Investment Type

2

State Investment Limitation

3Combined

Investment (Separate and General Account)

Equity interests (Aggregate amount shall not exceed 20%) 1,929,433,513 10,168,826

Canadian (10% in aggregate) 964,716,756 309,014,986

Investments in foreign countries (16% in aggregate) 1,543,546,810 1,448,920,783

Investments in foreign countries (4% in aggregate) 385,886,703 57,415,069

Category 3-6 Bonds (20% in aggregate) 1,929,433,513 88,931,537

Category 4-6 Bonds (10% in aggregate) 964,716,756 11,053,779

Category 5-6 Bonds (3% in aggregate) 289,415,027 125,142

Allocation of Investment Proceeds of Separate Account Activity4.1 Does the reporting entity have separate account assets in which less than 100% of investment proceeds (net of contract fees and

assessments) are attributed to a contract holder? (This should identify any situations where there is a ceiling on investment performance results.) Yes [ X ] No [ ]

13.1



4.2 If yes, provide detail on the net investment proceeds that were attributed to the contract holder, transferred to the general account and reinvested within the separate account:

1

Product Identifier

2

Net Investment Proceeds

3

Attributed toContract Holder

4

Transferred toGeneralAccount

5Reinvested Within theSeparateAccount

TC LIFE SVSA-1 499,346

TC LIFE SVSA-2 (1,031,183)

TC LIFE SVSA-3 (773,345)

4.3 For items reinvested within the Separate Account, does the reporting entity invest these assets in accordance with investment directives of the general account? Yes [ ] No [ X ] N/A [ ]

4.4 If no, does the reporting entity have a stated policy and procedure for the reinvestment of investment proceeds within the separate account? Yes [ X ] No [ ] N/A [ ]

4.5 Did the reinvestment of investment proceeds within the separate account result with the company having a combined investment portfolio that exceeded the state investment limitations imposed on the general account? Yes [ ] No [ X ] N/A [ ]

Measurement of Separate Account Assets5.1 Does the reporting entity report all separate account assets at fair value? Yes [ ] No [ X ]

5.2 For items not reported at fair value, does the reporting entity report separate account assets at amortized cost, and/or under different measurement methods?

5.21 Amortized Cost Yes [ X ] No [ ]

5.22 Other Measurement Methods Yes [ ] No [ X ]

5.3 If other measurement methods are used, provide explanation on these measurement methods.

5.4 Identify the assets measured at fair value, amortized cost or another measurement method and the percentage of separate account assets measured under each measurement method:

Description1

Amount2

Percentage

5.41 Fair Value $ 2,235,303,085 40.2 %

5.42 Amortized Cost $ 3,323,773,708 59.8 %

5.43 Other Measurement Methods $ %

5.5 For the assets not measured at fair value, provide a comparison of the reported value to current fair value and identify the unrealized gain or loss that would have been recorded if the assets had been reported at fair value:

1Assets Held atAmortized Cost

2

Fair Value

3Unrecorded Unrealized

Gain/Loss

5.51 $ 3,323,773,708 $ 3,306,327,837 $ 17,445,870

1Assets Held at

Other Measurement Method

2

Fair Value

3

Unrecorded UnrealizedGain/Loss

5.52 $ $ $

Securities Lending Transactions Within Separate Accounts6.1 Does the reporting entity engage in securities lending transactions with separate account assets? Yes [ ] No [ X ]

6.2 If yes, does the reporting entity have written policies and procedures for such transactions? Yes [ ] No [ ] N/A [ X ]

6.3 Does the reporting entity obtain approval, or otherwise provide notification to contract holders, regarding securities lending transactions that occur with separate account assets? Yes [ ] No [ ] N/A [ X ]

6.4 Are all securities lending transactions reported on balance sheet? Yes [ ] No [ ] N/A [ X ]

6.5 Provide a description of the reporting entity’s securities lending transaction program, specifically identifying any variations from the securities lending transaction program administered by the general account.

6.6 Provide detail on the current status of separate account transactions by separate account product:

6.61 Amount of any loaned securities within the separate account and the percentage of separate account assets lent

6.611 Amount $

6.612 Percentage %6.62 Identify whether securities lent are reported at book value or market value

6.621 Book Value $

6.622 Market Value $

13.2



6.63 Detail on collateral received:

6.631 Aggregate Amount Collateral Received

6.6311 Open $

6.6312 30 Days or Less $

6.6313 31 to 60 Days $

6.6314 61 to 90 Days $

6.6315 Greater than 90 Days $

6.6316 Total Collateral Received $

6.632 The aggregate fair value of all securities acquired from the sale, trade or use of the accepted collateral (reinvested collateral) $

6.633 Narrative discussion about sources and uses of collateral:

6.634 Collateral for transactions that extend beyond one year from the reporting date $

6.7 For the reporting entity’s security lending program state the amount of the following as December 31 of the current year:

6.71 Total fair value of reinvested collateral assets reported on Schedule DL, Parts 1 and 2 (Sum of Schedule DL, Parts 1 and 2, Column 5) $

6.72 Total book adjusted/carrying value of reinvested collateral assets reported on Schedule DL, Parts 1 and 2 (Sum of Schedule DL, Parts 1 and 2, Column 6) $

6.73 Total payable for securities lending reported on the liability page (Page 3, Line 14, Column 3) $

FHLB Funding Agreements7.1 Does the reporting entity report Federal Home Loan Bank (FHLB) funding agreements within the separate account? Yes [ ] No [ X ]

7.2 Provide detail on the elements that support the classification of FHLB funding agreements within the separate account

7.3 Provide detail regarding the FHLB funding agreements classified within the separate account:

1Amount of FHLB

Stock Purchased or Owned

2Amount of Collateral

Pledged to theFHLB

3Total Borrowing or Funding Capacity

Currently Available

4Total Reserves Related

to FHLBAgreements

$ $ $ $

7.4 For funding agreements within the separate account, provide a general description on the nature of the agreement, type of funding (lines of credit, borrowed money, etc) and intended use of funding.

Reporting Differences Between GAAP and SAP Financial Statements (This disclosure is applicable to all reporting entities regardless if they file GAAP financial statements)

8.1 Does the reporting entity file GAAP financial statements? Yes [ ] No [ X ]

8.2 In accordance with the different separate account reporting requirements between GAAP (SOP 03-1) and statutory accounting, does the reporting entity have products that are classified within the separate account that were, or would have been if GAAP financial statements had been completed, required to be reported within the general account under GAAP financials? Pursuant to SOP 03-1, all of the following conditions must be met to receive separate account reporting classification under GAAP: Yes [ X ] No [ ] N/A [ ]

a. Legal Recognition - The separate account is legally recognized. That is, the separate account is established, approved, and regulated under special rules such as state insurance laws, federal securities laws, or similar foreign laws.

b. Legally Insulated - The separate account assets supporting the contract liabilities are legally insulated from the general account liabilities of the insurance enterprise (that is, the contract holder is not subject to insurer default risk to the extent of the assets held in the separate account).

c. Investment Directive - The insurer must, as a result of contractual, statutory, or regulatory requirements, invest the contract holder’s funds within the separate account as directed by the contract holder in designated investment alternatives or in accordance with specific investment objectives or policies.

d. Investment Performance - All investment performance, net of contract fees and assessments, must as a result of contractual, statutory, or regulatory requirements be passed through to the individual contract holder. Contracts may specify conditions under which there may be a minimum guarantee, but not a ceiling, as a ceiling would prohibit all investment performance from being passed through to the contract holder

13.3



8.3 Identify all separate account products and identify whether each product was classified within a separate account for GAAP reporting purposes. (For non-GAAP filers, this disclosure should reflect whether the GAAP classification would have been the same if GAAP financials had been completed.) For products that were (or would have been) reported differently, identify which SOP 03-1 condition prevented separate account GAAP classification for that particular product.

1

Product Identifier

2Same as GAAP / Condition that Requires GAAP General

Account Reporting

TC LIFE VA-1 Same as GAAP

TC LIFE VLI-1 Same as GAAP

TC LIFE VLI-2 Same as GAAP

TC LIFE SVSA-1 Conditions c and d



13.4


FORM FOR CALCULATING THE INTEREST MAINTENANCE RESERVEINTEREST MAINTENANCE RESERVE

1Amount

1. Reserve as of December 31, Prior Year 2,210,967

2. Current year’s realized pre-tax capital gains/(losses) of $ 14,630,270 transferred into the reserve net of taxes of $ 0 14,630,272

3. Adjustment for current year’s liability gains/(losses) released from the reserve

4. Balance before reduction for amount transferred to Summary of Operations (Line 1 + Line 2 + Line 3) 16,841,239

5. Current year’s amortization released to Summary of Operations (Amortization, Line 1, Column 4) 4,032,263

6. Reserve as of December 31, current year (Line 4 minus Line 5) 12,808,976

AMORTIZATION

Year of Amortization

1

Reserve as of December 31,

Prior Year

2

Current Year’s Realized Capital Gains/(Losses)

Transferred into the Reserve Net of Taxes

3

Adjustment for Current Year’s Liability Gains/(Losses) Released From

the Reserve

4

Balance Before Reduction for Current Year’s Amortization

(Cols. 1 + 2 + 3)

1. 2016 1,671,730 2,360,532 4,032,263

2. 2017 1,091,485 4,298,759 5,390,244

3. 2018 627,052 3,462,924 4,089,975

4. 2019 226,620 2,512,593 2,739,213

5. 2020 (69,310) 1,534,788 1,465,478

6. 2021 (169,212) 515,583 346,371

7. 2022 (166,735) (7,689) (174,424)

8. 2023 (152,699) (7,554) (160,253)

9. 2024 (137,782) (7,388) (145,170)

10. 2025 (132,812) (7,206) (140,018)

11. 2026 (123,336) (7,072) (130,408)

12. 2027 (110,545) (6,311) (116,856)

13. 2028 (94,814) (5,064) (99,879)

14. 2029 (81,878) (3,662) (85,540)

15. 2030 (67,352) (2,182) (69,534)

16. 2031 (49,690) (779) (50,470)

17. 2032 (32,802) (32,802)

18. 2033 (13,033) (13,033)

19. 2034 (1,924) (1,924)

20. 2035 (550) (550)

21. 2036 (504) (504)

22. 2037 (410) (410)

23. 2038 (289) (289)

24. 2039 (177) (177)

25. 2040 (65) (65)

26. 2041

27. 2042

28. 2043

29. 2044

30. 2045

31. 2046 and Later

32. Total (Lines 1 to 31) 2,210,967 14,630,272 16,841,238

14


ASSET VALUATION RESERVEBASIC CONTRIBUTION, RESERVE OBJECTIVE AND MAXIMUM RESERVE CALCULATIONS

DEFAULT COMPONENT1 2 3 4 Basic Contribution Reserve Objective Maximum Reserve

LineNum-ber

NAICDesig-nation Description

Book/Adjusted Carrying Value

Reclassify Related Party

EncumbrancesAdd Third Party Encumbrances

Balance forAVR ReserveCalculations

(Cols. 1 + 2 + 3)

5

Factor

6

Amount(Cols.4 x 5)

7

Factor

8

Amount(Cols. 4 x 7)

9

Factor

10

Amount(Cols. 4 x 9)

LONG-TERM BONDS

1. Exempt Obligations 279,005,813 XXX XXX 279,005,813 0.0000 0.0000 0.0000

2. 1 Highest Quality 2,053,930,266 XXX XXX 2,053,930,266 0.0004 821,572 0.0023 4,724,040 0.0030 6,161,791

3. 2 High Quality 845,011,246 XXX XXX 845,011,246 0.0019 1,605,521 0.0058 4,901,065 0.0090 7,605,101

4. 3 Medium Quality XXX XXX 0.0093 0.0230 0.0340

5. 4 Low Quality XXX XXX 0.0213 0.0530 0.0750

6. 5 Lower Quality XXX XXX 0.0432 0.1100 0.1700

7. 6 In or Near Default XXX XXX 0.0000 0.2000 0.2000

8. Total Unrated Multi-class Securities Acquired by Conversion XXX XXX XXX XXX XXX

9. Total Long-Term Bonds (Sum of Lines 1 through 8) 3,177,947,325 XXX XXX 3,177,947,325 XXX 2,427,093 XXX 9,625,105 XXX 13,766,892

PREFERRED STOCK

10. 1 Highest Quality XXX XXX 0.0004 0.0023 0.0030

11. 2 High Quality XXX XXX 0.0019 0.0058 0.0090





16. Affiliated Life with AVR XXX XXX 0.0000 0.0000 0.0000

17. Total Preferred Stocks (Sum of Lines 10 through 16) XXX XXX XXX XXX XXX

SHORT - TERM BONDS

18. Exempt Obligations 19,299,346 XXX XXX 19,299,346 0.0000 0.0000 0.0000

19. 1 Highest Quality 47,975,696 XXX XXX 47,975,696 0.0004 19,190 0.0023 110,344 0.0030 143,927

20. 2 High Quality 14,023,102 XXX XXX 14,023,102 0.0019 26,644 0.0058 81,334 0.0090 126,208





25. Total Short - Term Bonds (Sum of Lines 18 through 24) 81,298,143 XXX XXX 81,298,143 XXX 45,834 XXX 191,678 XXX 270,135

DERIVATIVE INSTRUMENTS

26. Exchange Traded XXX XXX 0.0004 0.0023 0.0030

27. 1 Highest Quality XXX XXX 0.0004 0.0023 0.0030

28. 2 High Quality XXX XXX 0.0019 0.0058 0.0090





33. Total Derivative Instruments XXX XXX XXX XXX XXX

34. Total (Lines 9 + 17 + 25 + 33) 3,259,245,469 XXX XXX 3,259,245,469 XXX 2,472,928 XXX 9,816,783 XXX 14,037,027

15


ASSET VALUATION RESERVE (Continued)BASIC CONTRIBUTION, RESERVE OBJECTIVE AND MAXIMUM RESERVE CALCULATIONS

DEFAULT COMPONENT1 2 3 4 Basic Contribution Reserve Objective Maximum Reserve

LineNum-ber

NAICDesig-nation Description

Book/Adjusted Carrying Value

Reclassify Related Party

EncumbrancesAdd Third Party Encumbrances

Balance forAVR ReserveCalculations

(Cols. 1 + 2 + 3)

5

Factor

6

Amount(Cols.4 x 5)

7

Factor

8

Amount(Cols. 4 x 7)

9

Factor

10

Amount(Cols. 4 x 9)

MORTGAGE LOANS

In Good Standing:

35. Farm Mortgages - CM1 - Highest Quality XXX 0.0010 0.0050 0.0065

36. Farm Mortgages - CM2 - High Quality XXX 0.0035 0.0100 0.0130

37. Farm Mortgages - CM3 - Medium Quality XXX 0.0060 0.0175 0.0225

38. Farm Mortgages - CM4 - Low Medium Quality XXX 0.0105 0.0300 0.0375

39. Farm Mortgages - CM5 - Low Quality XXX 0.0160 0.0425 0.0550

40. Residential Mortgages - Insured or Guaranteed XXX 0.0003 0.0006 0.0010

41. Residential Mortgages - All Other XXX 0.0013 0.0030 0.0040

42. Commercial Mortgages - Insured or Guaranteed XXX 0.0003 0.0006 0.0010

43. Commercial Mortgages - All Other - CM1 - Highest Quality XXX 0.0010 0.0050 0.0065

44. Commercial Mortgages - All Other - CM2 - High Quality XXX 0.0035 0.0100 0.0130

45. Commercial Mortgages - All Other - CM3 - Medium Quality XXX 0.0060 0.0175 0.0225

46. Commercial Mortgages - All Other - CM4 - Low Medium Quality XXX 0.0105 0.0300 0.0375

47. Commercial Mortgages - All Other - CM5 - Low Quality XXX 0.0160 0.0425 0.0550

Overdue, Not in Process:

48. Farm Mortgages XXX 0.0420 0.0760 0.1200




52. Commercial Mortgages - All Other XXX 0.0420 0.0760 0.1200

In Process of Foreclosure:

53. Farm Mortgages XXX 0.0000 0.1700 0.1700




57. Commercial Mortgages - All Other XXX 0.0000 0.1700 0.1700

58. Total Schedule B Mortgages (Sum of Lines 35 through 57) XXX XXX XXX XXX

59. Schedule DA Mortgages XXX 0.0030 0.0100 0.0130

60. Total Mortgage Loans on Real Estate (Lines 58 + 59) XXX XXX XXX XXX

16


Asset Valuation Reserve - Equity Component

N O N E

Asset Valuation Reserve Replications (Synthetic) Assets

N O N E

17,18,19, 20


OVERFLOW PAGE FOR WRITE-INS

Additional Write-ins for Summary of Operations Line 6.71

Current Year2

Prior Year06.704. Participant transfers to fixed account 31,409,955 29,572,588 06.797. Summary of remaining write-ins for Line 6.7 from overflow page 31,409,955 29,572,588

21


OVERFLOW PAGE FOR WRITE-INS

Additional Write-ins for Analysis of Operations Line 6.71 Ordinary Group Accident and Health 9

Total2

Life Insurance3

Individual Annuities4

Supplementary Contracts5

Life Insurance6

Annuities7

Group8

Other

Aggregate of All OtherLines of Business

06.704. Participant transfers to fixed account 31,409,955 862,297 28,489,844 2,057,814 06.797. Summary of remaining write-ins for Line 6.7 from overflow page 31,409,955 862,297 28,489,844 2,057,814

21L


Schedule A - Verification - Real Estate

N O N E

Schedule B - Verification - Mortgage Loans

N O N E

SI02


SCHEDULE BA - VERIFICATION BETWEEN YEARSOther Long-Term Invested Assets

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

2. Cost of acquired:

2.1 Actual cost at time of acquisition (Part 2, Column 8)

2.2 Additional investment made after acquisition (Part 2, Column 9)

3. Capitalized deferred interest and other:

3.1 Totals, Part 1, Column 16


4. Accrual of discount

5. Unrealized valuation increase (decrease):



6. Total gain (loss) on disposals, Part 3, Column 19

7. Deduct amounts received on disposals, Part 3, Column 16

8. 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)

12. Deduct total nonadmitted amounts

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

SCHEDULE D - VERIFICATION BETWEEN YEARSBonds and Stocks

1. Book/adjusted carrying value, December 31 of prior year 5,154,701,086

2. Cost of bonds and stocks acquired, Part 3, Column 7 5,160,311,373

3. Accrual of discount 1,016,919

4. Unrealized valuation increase (decrease):

4.1. Part 1, Column 12

4.2. Part 2, Section 1, Column 15

4.3. Part 2, Section 2, Column 13 78,318,816

4.4. Part 4, Column 11 1,912,037 80,230,853

5. Total gain (loss) on disposals, Part 4, Column 19 19,143,563

6. Deduction consideration for bonds and stocks disposed of, Part 4, Column 7 4,995,345,428

7. Deduct amortization of premium 6,807,959

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) 5,413,250,407


12. Statement value at end of current period (Line 10 minus Line 11) 5,413,250,407

NONE

SI03


SCHEDULE D - SUMMARY BY COUNTRYLong-Term Bonds and Stocks OWNED December 31 of Current Year

Description

1Book/Adjusted Carrying Value

2

Fair Value

3

Actual Cost

4

Par Value of Bonds

BONDS

Governments

(Including all obligations guaranteed by governments)

1. United States 219,089,492 218,389,486 219,056,533 219,410,000

2. Canada 2,999,288 2,992,857 2,996,820 3,000,000

3. Other Countries 69,533,157 67,798,856 69,509,096 69,800,000

4. Totals 291,621,937 289,181,199 291,562,449 292,210,000

U.S. States, Territories and Possessions

(Direct and guaranteed) 5. Totals

U.S. Political Subdivisions of States, Territories and Possessions (Direct and guaranteed)

6. Totals 33,026,356 33,093,729 33,048,300 33,020,000

U.S. Special Revenue and Special Assessment Obligations and all Non-Guaranteed Obligations of Agencies and Authorities of Governments and their Political Subdivisions 7. Totals 242,156,983 240,790,453 242,992,331 239,117,536

Industrial and Miscellaneous, SVO Identified Funds and Hybrid Securities (unaffiliated)

8. United States 2,042,625,275 2,033,322,829 2,050,156,816 2,038,494,927

9. Canada 90,407,907 89,491,875 90,395,930 90,450,000

10. Other Countries 478,108,867 474,636,146 477,862,727 478,325,000

11. Totals 2,611,142,049 2,597,450,850 2,618,415,473 2,607,269,927

Parent, Subsidiaries and Affiliates 12. Totals

13. Total Bonds 3,177,947,325 3,160,516,231 3,186,018,553 3,171,617,463

PREFERRED STOCKS

Industrial and Miscellaneous (unaffiliated)

14. United States

15. Canada

16. Other Countries

17. Totals


19. Total Preferred Stocks

COMMON STOCKS

Industrial and Miscellaneous (unaffiliated)

20. United States 2,235,303,087 2,235,303,087 2,108,965,918

21. Canada

22. Other Countries

23. Totals 2,235,303,087 2,235,303,087 2,108,965,918


25. Total Common Stocks 2,235,303,087 2,235,303,087 2,108,965,918

26. Total Stocks 2,235,303,087 2,235,303,087 2,108,965,918

27. Total Bonds and Stocks 5,413,250,412 5,395,819,318 5,294,984,471

SI04


SCHEDULE DA - VERIFICATION BETWEEN YEARSShort-Term Investments

1

Total

2

Bonds

3

Mortgage Loans

4Other Short-term

Investment Assets (a)

5Investments in Parent,

Subsidiaries and Affiliates


2. Cost of short-term investments acquired 4,007,446,855 4,007,446,855

3. Accrual of discount 36,129 36,129

4. Unrealized valuation increase (decrease)

5. Total gain (loss) on disposals 31,348 31,348

6. Deduct consideration received on disposals 3,925,051,210 3,925,051,210

7. Deduct amortization of premium 1,164,979 1,164,979

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) 81,298,143 81,298,143


12. Statement value at end of current period (Line 10 minus Line 11) 81,298,143 81,298,143

(a) Indicate the category of such assets, for example, joint ventures, transportation equipment:

SI1

0


Schedule DB - Part A - Verification - Options, Caps, Floors, Collars, Swaps and Forwards

N O N E

Schedule DB - Part B - Verification - Futures Contracts

N O N E

Schedule DB - Part C - Section 1 - Replication (Synthetic Asset) Transactions (RSATs) Open

N O N E

Schedule DB-Part C-Section 2-Reconciliation of Replication (Synthetic Asset) Transactions Open

N O N E

Schedule DB - Verification - Book/Adjusted Carrying Value, Fair Value and Potential Exposure of Derivatives

N O N E

SI11, SI12, SI13, SI14


SCHEDULE E - VERIFICATION BETWEEN YEARS(Cash Equivalents)

1

Total

2

Bonds

3

Other (a)


2. Cost of cash equivalents acquired 10,669,845,052 10,669,845,052

3. Accrual of discount 95,635 95,635

4. Unrealized valuation increase (decrease)

5. Total gain (loss) on disposals 361 361

6. Deduct consideration received on disposals 10,634,696,413 10,634,696,413

7. Deduct amortization of premium 187,715 187,715

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) 35,056,920 35,056,920


12. Statement value at end of current period (Line 10 minus Line 11) 35,056,920 35,056,920

(a) Indicate the category of such assets, for example, joint ventures, transportation equipment:

SI15


Schedule A - Part 1 - Real Estate Owned

N O N E

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

N O N E

Schedule A - Part 3 - Real Estate Disposed

N O N E

Schedule B - Part 1 - Mortgage Loans Owned

N O N E

Schedule B - Part 2 - Mortgage Loans Acquired and Additions Made

N O N E

Schedule B - Part 3 - Mortgage Loans Disposed, Transferred or Repaid

N O N E

Schedule BA - Part 1 - Other Long-Term Invested Assets Owned

N O N E

Schedule BA - Part 2 - Other Long-Term Invested Assets Acquired and Additions Made

N O N E

Schedule BA - Part 3 - Other Long-Term Invested Assets Disposed, Transferred or Repaid

N O N E

E01, E02, E03, E04, E05, E06, E07, E08, E09


SCHEDULE D - PART 1Showing All Long-Term BONDS Owned December 31 of Current Year

1 2 Codes 6 7 Fair Value 10 11 Change in Book/Adjusted Carrying Value Interest Dates3 4 5 8 9 12 13 14 15 16 17 18 19 20 21 22

CUSIP Identification Description

Code

Foreign

BondChar

NAICDes.

ActualCost

Rate Used to Obtain

Fair Value

FairValue

ParValue

Book/AdjustedCarrying

Value

UnrealizedValuationIncrease/

(Decrease)

CurrentYear's(Amor-tization)

Accretion

CurrentYear'sOther-Than-

TemporaryImpairmentRecognized

TotalForeign

ExchangeChange

inBook/

AdjustedCarrying

ValueRate

of

EffectiveRate

ofWhenPaid

AdmittedAmountDue andAccrued

Amount Received

During Year Acquired

StatedContractual

MaturityDate

59511V-AA-7 MICRON SEMICONDUCTOR 4 1 12,975,000 99.5450 12,915,977 12,975,000 12,975,000 1.258 1.258 JJ 75,265 163,226 12/16/2013 01/15/2019

912828-2G-4 US TREASURY N/B 1 324,759 98.6490 320,609 325,000 324,780 21 0.875 0.900 MS 848 09/23/2016 09/15/2019

912828-A9-1 UNITED STATES T-BILL 1 29,528,691 100.0140 29,504,042 29,500,000 29,503,761 (24,930) 0.750 0.414 JJ 102,208 16,875 10/19/2016 01/15/2017

912828-B7-4 UNITED STATES T-BILL 1 10,003,652 100.0240 10,002,380 10,000,000 10,001,749 (1,904) 0.625 0.481 FA 23,098 11/15/2016 02/15/2017

912828-C3-2 UNITED STATES T-BILL 1 10,005,469 100.0570 10,005,660 10,000,000 10,004,486 (983) 0.750 0.526 MS 22,376 12/15/2016 03/15/2017

912828-C7-3 UNITED STATES T-BILL 1 2,504,297 100.1050 2,502,618 2,500,000 2,500,989 (3,308) 0.875 0.735 AO 4,675 21,875 01/15/2016 04/15/2017

912828-F5-4 UNITED STATES T-BILL 1 4,501,055 100.0130 4,500,594 4,500,000 4,500,477 (578) 0.875 0.861 AO 8,438 39,375 01/15/2016 10/15/2017

912828-H3-7 UNITED STATES T-BILL 1 4,497,539 99.9470 4,497,633 4,500,000 4,498,717 1,178 0.875 0.903 JJ 18,190 19,688 01/15/2016 01/15/2018

912828-K2-5 UNITED STATES T-BILL 1 2,503,613 99.6820 2,492,060 2,500,000 2,502,724 (889) 0.750 0.665 AO 4,018 9,375 07/29/2016 04/15/2018

912828-L8-1 US TREASURY N/B 1 4,479,434 99.4980 4,477,397 4,500,000 4,486,591 7,157 0.875 1.045 AO 8,438 39,375 01/15/2016 10/15/2018

912828-L9-9 US TREASURY N/B 1 28,339,526 98.6970 28,222,436 28,595,000 28,398,889 51,306 1.375 1.562 AO 67,340 393,181 11/10/2015 10/31/2020

912828-N5-5 US TREASURY N/B 1 4,492,969 100.0730 4,503,281 4,500,000 4,496,499 3,520 1.000 1.079 JD 124 22,500 12/30/2015 12/31/2017

912828-N6-3 UNITED STATES T-BILL 1 4,544,297 99.7850 4,490,325 4,500,000 4,536,741 (7,556) 1.125 0.720 JJ 23,387 07/29/2016 01/15/2019

912828-Q5-2 US TREASURY N/B 1 4,956,746 99.0720 4,913,956 4,960,000 4,957,483 737 0.875 0.898 AO 9,300 21,700 05/05/2016 04/15/2019

912828-R7-7 UNITED STATES T-BILL 1 9,061,813 97.9230 8,813,034 9,000,000 9,054,793 (7,019) 1.375 1.232 MN 10,879 61,875 06/08/2016 05/31/2021

912828-U3-2 UNITED STATES TREASURY 1 10,796,773 98.7490 10,783,380 10,920,000 10,800,313 3,540 1.000 1.391 MN 14,178 11/30/2016 11/15/2019

912828-U6-5 UNITED STATES T-BILL 1 21,059,240 99.1550 20,956,325 21,135,000 21,060,548 1,308 1.750 1.825 MN 30,193 11/30/2016 11/30/2021

912828-U7-3 US TREASURY N/B 1 21,939,844 99.7110 21,936,310 22,000,000 21,939,844 1.375 1.470 JD 15,790 12/30/2016 12/15/2019

912828-U8-1 UNITED STATES T-BILL 1 23,553,242 100.2660 23,562,440 23,500,000 23,553,242 2.000 1.952 JD 3,895 12/30/2016 12/31/2021

912828-WT-3 UNITED STATES T-BILL 1 4,504,219 100.0900 4,504,032 4,500,000 4,501,515 (2,704) 0.875 0.812 JJ 18,190 19,688 01/15/2016 07/15/2017

912828-XK-1 UNITED STATES T-BILL 1 4,484,355 99.6670 4,484,997 4,500,000 4,490,351 5,996 0.875 1.017 JJ 18,190 19,688 01/15/2016 07/15/2018

0199999. Subtotal - Bonds - U.S. Governments - Issuer Obligations 219,056,533 XXX 218,389,486 219,410,000 219,089,492 24,892 XXX XXX XXX 479,020 848,421 XXX XXX0599999. Total - U.S. Government Bonds 219,056,533 XXX 218,389,486 219,410,000 219,089,492 24,892 XXX XXX XXX 479,020 848,421 XXX XXX683234-C5-5 ONTARIO PROVINCE A 1FE 2,996,820 99.7620 2,992,857 3,000,000 2,999,288 637 1.200 1.222 FA 13,700 36,000 02/07/2013 02/14/2018

066716-AJ-0 BANQUE CENTRALE DE TUNISIE REG 1 1,750,000 96.5610 1,689,816 1,750,000 1,750,000 1.416 1.416 FA 10,050 08/03/2016 08/05/2021

29134W-AA-5 EMIRATE ABU DHABI FR SERIES 144A D 1FE 9,956,200 97.9390 9,793,880 10,000,000 9,962,029 5,829 2.125 2.218 MN 34,236 106,250 04/25/2016 05/03/2021

302154-CF-4 EXPORT-IMPORT BANK KOREA D 1FE 5,973,840 95.8380 5,750,304 6,000,000 5,974,872 1,032 1.875 1.967 AO 21,875 10/13/2016 10/21/2021

471048-AS-7 JPN BANK FOR INT'L COOP D 1FE 9,974,400 97.6040 9,760,380 10,000,000 9,977,989 3,589 1.875 1.929 AO 36,979 93,750 04/12/2016 04/20/2021

471048-AY-4 JPN BANK FOR INT'L COOP D 1FE 7,499,625 97.4210 7,306,560 7,500,000 7,499,637 12 2.000 2.001 MN 23,750 10/27/2016 11/04/2021

50065R-AE-7 KOREA HOUSING FINANCE CO SERIES 144A D 1FE 8,276,843 95.4190 7,919,736 8,300,000 8,277,883 1,040 2.000 2.059 AO 36,889 10/04/2016 10/11/2021

74727P-AT-8 QATAR STATE OF SERIES 144A D 1FE 14,939,900 97.7290 14,659,380 15,000,000 14,948,361 8,461 2.375 2.458 JD 28,698 178,125 07/28/2016 06/02/2021

80413T-AA-7 SAUDI INTERNATIONAL BOND SERIES 144A D 1FE 11,138,288 97.0560 10,918,800 11,250,000 11,142,386 4,099 2.375 2.588 AO 48,242 10/19/2016 10/26/2021

0699999. Subtotal - Bonds - All Other Governments - Issuer Obligations 72,505,916 XXX 70,791,713 72,800,000 72,532,445 24,699 XXX XXX XXX 254,419 414,125 XXX XXX1099999. Total - All Other Government Bonds 72,505,916 XXX 70,791,713 72,800,000 72,532,445 24,699 XXX XXX XXX 254,419 414,125 XXX XXX1799999. Total - U.S. States, Territories and Possessions Bonds XXX XXX XXX XXX XXX XXX047772-YV-4 ATLANTA GA 1FE 2,000,000 100.3240 2,006,480 2,000,000 2,000,000 1.785 1.785 JD 2,975 35,700 10/29/2014 12/01/2018

160069-VG-2 CHARLESTON CNTY SC 1FE 2,615,000 99.6490 2,605,821 2,615,000 2,615,000 1.250 1.250 MN 5,448 32,688 05/20/2013 11/01/2018

199507-2R-4 COLUMBUS OH CITY SCH DIST 1FE 7,220,000 100.6920 7,269,962 7,220,000 7,220,000 2.286 2.286 JD 13,754 165,049 11/07/2014 12/01/2019

344496-JR-6 FOND DU LAC WI SCH DIST 1FE 1,028,300 100.6760 1,006,760 1,000,000 1,006,356 (5,112) 1.875 1.344 AO 4,688 18,750 09/10/2012 04/01/2018

419722-S6-1 HAWAII CNTY HI SERIES E 1FE 1,835,000 99.7860 1,831,073 1,835,000 1,835,000 1.300 1.300 MS 7,952 12,789 02/04/2016 09/01/2018

476576-HN-6 JERSEY CITY NJ 1FE 5,350,000 99.9180 5,345,613 5,350,000 5,350,000 1.558 1.558 MS 27,784 83,353 11/21/2014 09/01/2017

476576-HP-1 JERSEY CITY NJ SERIES B 1FE 2,000,000 99.9080 1,998,160 2,000,000 2,000,000 2.125 2.125 MS 14,167 42,500 11/21/2014 09/01/2018

54438C-RC-8 LOS ANGELES CA CMNTY CLG DIST 1FE 2,000,000 100.1520 2,003,040 2,000,000 2,000,000 1.313 1.313 FA 10,942 26,260 12/11/2014 08/01/2017

554885-H6-3 MACOMB CNTY MI 1FE 7,000,000 100.3140 7,021,980 7,000,000 7,000,000 1.731 1.731 MN 20,195 121,170 03/11/2015 11/01/2018

941247-V7-0 WATERBURY CT 1FE 2,000,000 100.2420 2,004,840 2,000,000 2,000,000 2.058 2.058 AO 10,290 41,160 06/14/2012 04/01/2017

1899999. Subtotal - Bonds - U.S. Political Subdivisions - Issuer Obligations 33,048,300 XXX 33,093,729 33,020,000 33,026,356 (5,112) XXX XXX XXX 118,195 579,419 XXX XXX2499999. Total - U.S. Political Subdivisions Bonds 33,048,300 XXX 33,093,729 33,020,000 33,026,356 (5,112) XXX XXX XXX 118,195 579,419 XXX XXX04057P-JL-3 ARIZONA ST SCH FACS BRD COPS 1FE 1,500,000 100.0580 1,500,870 1,500,000 1,500,000 1.474 1.474 MS 7,370 22,110 06/04/2014 09/01/2017

13017H-AD-8 CALIFORNIA EARTHQUAKE AUTHORIT 1FE 2,400,000 100.2860 2,406,864 2,400,000 2,400,000 1.824 1.824 JJ 21,888 43,776 10/29/2014 07/01/2017

13034P-UF-2 CALIFORNIA ST HSG FIN AGY REVE 1FE 5,150,000 99.9960 5,149,794 5,150,000 5,150,000 2.379 2.379 FA 51,049 122,519 04/08/2015 08/01/2020

13124M-AE-5 CALLEGUAS CA MUNI WTR DIST 1FE 1,000,000 100.4340 1,004,340 1,000,000 1,000,000 1.768 1.768 JJ 8,840 17,680 06/06/2012 07/01/2017

161037-K9-6 CHARLOTTE NC COPS SERIES A 1FE 2,150,000 100.2590 2,155,569 2,150,000 2,150,000 1.631 1.631 JD 2,922 35,067 04/24/2015 06/01/2018

161037-L2-0 CHARLOTTE NC COPS SERIES A 1FE 2,425,000 100.8650 2,445,976 2,425,000 2,425,000 2.025 2.025 JD 4,092 49,106 04/24/2015 06/01/2019

267045-BS-0 DUTCHESS COUNTY NY LOCAL DEV 1FE 1,503,499 100.4190 1,496,243 1,490,000 1,493,730 (2,500) 2.250 2.072 JJ 16,763 33,525 01/29/2013 07/01/2018

341271-AA-2 FLORIDA ST BRD OF ADMIN FIN CO SERIES A 1FE 12,000,000 100.8090 12,097,080 12,000,000 12,000,000 2.163 2.163 JJ 129,780 81,473 02/23/2016 07/01/2019

E10





Code

Foreign

BondChar

NAICDes.

ActualCost

Rate Used to Obtain

Fair Value

FairValue

ParValue


Value


(Decrease)


Accretion



TotalForeign

ExchangeChange

inBook/

AdjustedCarrying

ValueRate

of

EffectiveRate

ofWhenPaid


Amount Received


StatedContractual

MaturityDate

347622-CC-4 FORT LAUDERDALE FL SPL OBLG 1FE 1,000,000 100.0000 1,000,000 1,000,000 1,000,000 2.086 2.086 JJ 10,430 20,860 09/20/2012 01/01/2017

358781-AE-2 FRISCO TX COMMUNITY CORP SALES 1FE 1,162,720 100.0630 1,140,718 1,140,000 1,140,635 (5,168) 2.000 1.530 FA 8,613 22,800 08/24/2012 02/15/2017

358782-BD-1 FRISCO TX ECON DEV CORP 1FE 1,229,016 100.1080 1,206,301 1,205,000 1,205,672 (5,463) 2.000 1.530 FA 9,104 24,100 08/24/2012 02/15/2017

387883-RJ-2 GRANT CNTY WA PUBLIC UTIL 1FE 250,000 100.0000 250,000 250,000 250,000 1.790 1.790 JJ 2,238 4,475 06/01/2012 01/01/2017

438689-JQ-5 HONOLULU CITY & CNTY BRD OF WT SERIES B 1FE 2,250,000 100.1120 2,252,520 2,250,000 2,250,000 1.335 1.335 JJ 15,019 30,038 11/21/2014 07/01/2017

45201L-VA-0 ILLINOIS ST HSG DEV AUTH 1FE 1,115,000 100.0250 1,115,279 1,115,000 1,115,000 1.937 1.937 JJ 10,799 21,598 05/09/2013 07/01/2018

452227-FZ-9 ILLINOIS ST SALES TAX REVENUE 1FE 5,106,400 100.1470 5,007,350 5,000,000 5,042,973 (17,573) 2.000 1.630 JD 4,444 100,000 05/10/2013 06/15/2019

45656T-AQ-1 INDUSTRY PUBLIC FACS AUTH CA T SERIES A 1FE 5,000,000 100.0000 5,000,000 5,000,000 5,000,000 1.764 1.764 JJ 44,100 88,200 06/26/2015 01/01/2017

45656T-BJ-6 INDUSTRY PUBLIC FACS AUTH CA T SERIES B 1FE 5,000,000 100.0000 5,000,000 5,000,000 5,000,000 1.914 1.914 JJ 47,850 95,700 06/26/2015 01/01/2017

544587-B8-0 LOS ANGELES CA MUNI IMPT CORPL SERIES A 1FE 3,335,000 100.3800 3,347,673 3,335,000 3,335,000 1.924 1.924 MN 10,694 60,957 11/04/2015 11/01/2017

544587-B9-8 LOS ANGELES CA MUNI IMPT CORPL SERIES A 1FE 6,000,000 101.6640 6,099,840 6,000,000 6,000,000 2.344 2.344 MN 23,440 133,608 11/04/2015 11/01/2018

57583U-5N-4 MASSACHUSETTS ST DEV FIN AGY 1FE 565,000 100.8170 569,616 565,000 565,000 2.116 2.116 JJ 5,978 11,955 03/06/2015 07/01/2019

57583U-VA-3 MASSACHUSETTS ST DEV FIN AGY 1FE 500,000 100.1620 500,810 500,000 500,000 2.074 2.074 JJ 5,185 10,370 01/30/2013 07/01/2018

57583U-VB-1 MASSACHUSETTS ST DEV FIN AGY 1FE 400,000 99.8920 399,568 400,000 400,000 2.324 2.324 JJ 4,648 9,296 01/30/2013 07/01/2019

57583U-VC-9 MASSACHUSETTS ST DEV FIN AGY 1FE 400,000 99.7190 398,876 400,000 400,000 2.690 2.690 JJ 5,380 10,760 01/30/2013 07/01/2020

59333P-U8-9 MIAMI DADE CNTY FL AVIATION RE 1FE 3,750,000 96.4400 3,616,500 3,750,000 3,750,000 1.885 1.885 AO 17,672 7,069 08/04/2016 10/01/2021

59447T-JU-8 MICHIGAN ST FIN AUTH REVENUE SERIES C 1 1FE 2,570,000 97.2230 2,498,631 2,570,000 2,570,000 1.941 1.941 MN 8,314 11,085 07/29/2016 11/01/2021

59447T-KD-4 MICHIGAN ST FIN AUTH REVENUE SERIES C 2 1FE 1,000,000 99.2540 992,540 1,000,000 1,000,000 1.607 1.607 MN 2,678 3,571 07/29/2016 11/01/2018

59447T-KF-9 MICHIGAN ST FIN AUTH REVENUE SERIES C 2 1FE 6,765,000 97.3550 6,586,066 6,765,000 6,765,000 2.091 2.091 MN 23,576 31,435 07/29/2016 11/01/2020

59447T-KG-7 MICHIGAN ST FIN AUTH REVENUE SERIES C 2 1FE 3,160,000 97.0670 3,067,317 3,160,000 3,160,000 2.241 2.241 MN 11,803 15,737 07/29/2016 11/01/2021

603827-XP-6 MINNEAPOLIS SAINT PAUL MN META SERIES E 1FE 5,000,000 99.5370 4,976,850 5,000,000 5,000,000 2.050 2.050 JJ 3,132 12/07/2016 01/01/2020

646108-QC-7 NEW JERSEY HOUSING MORTGAGE 1FE 2,500,000 99.8420 2,496,050 2,500,000 2,500,000 1.859 1.859 MN 7,746 46,475 03/06/2015 05/01/2018

646108-QD-5 NEW JERSEY HOUSING MORTGAGE 1FE 2,250,000 99.8590 2,246,828 2,250,000 2,250,000 2.298 2.298 MN 8,618 51,705 03/06/2015 05/01/2019

646136-K8-3 NEW JERSEY ST TRANSPORTATION T 1FE 7,117,024 97.3870 6,914,477 7,100,000 7,105,918 (3,038) 1.758 1.713 JD 5,547 124,818 05/21/2013 12/15/2018

64971W-DG-2 NEW YORK CITY NY TRANSITIONALF 1FE 7,750,000 100.4800 7,787,200 7,750,000 7,750,000 2.120 2.120 FA 68,458 164,300 04/08/2014 02/01/2019

650035-K8-0 NEW YORK STATE URBAN DEVELOPME 1FE 13,000,000 100.7780 13,101,140 13,000,000 13,000,000 1.990 1.990 MS 76,173 258,700 12/03/2014 03/15/2019

68607D-PE-9 OREGON ST DEPT OF TRANSPRTN 1FE 2,500,000 100.4180 2,510,450 2,500,000 2,500,000 1.574 1.574 MN 5,028 39,350 06/07/2012 11/15/2017

733911-BJ-9 PORT OF CORPUS CHRISTI AUTHORI 1FE 1,000,000 100.4160 1,004,160 1,000,000 1,000,000 1.854 1.854 JD 1,545 18,540 05/08/2015 12/01/2018

733911-BK-6 PORT OF CORPUS CHRISTI AUTHORI 1FE 2,000,000 100.4720 2,009,440 2,000,000 2,000,000 2.258 2.258 JD 3,763 45,160 05/08/2015 12/01/2019

738798-BG-1 POWAY CA REDEV AGY SUCCESSOR A SERIES B 1FE 1,000,000 100.5290 1,005,290 1,000,000 1,000,000 1.780 1.780 JD 791 17,800 06/04/2015 06/15/2018

738798-BH-9 POWAY CA REDEV AGY SUCCESSOR A SERIES B 1FE 1,235,000 100.5440 1,241,718 1,235,000 1,235,000 2.050 2.050 JD 1,125 25,318 06/04/2015 12/15/2018

786060-AZ-6 SACRAMENTO CA REDEV AGY SUCCES SERIES B 1FE 11,720,000 100.5330 11,782,468 11,720,000 11,720,000 2.238 2.238 JD 21,858 296,537 09/11/2015 12/01/2018

91412G-F5-9 UNIV OF CALIFORNIA CA REVENUE SERIES AU 2 1FE 20,000,000 99.0430 19,808,600 20,000,000 20,000,000 1.910 1.910 MN 48,811 217,528 04/08/2016 05/15/2021

91756T-AG-6 UTAH ST MUNI PWR AGY PWR SPLY SERIES A 1FE 500,000 99.0360 495,180 500,000 500,000 1.630 1.630 JJ 1,449 10/07/2016 07/01/2019

91756T-AH-4 UTAH ST MUNI PWR AGY PWR SPLY SERIES A 1FE 840,000 98.2940 825,670 840,000 840,000 1.823 1.823 JJ 2,722 10/07/2016 07/01/2020

91756T-AJ-0 UTAH ST MUNI PWR AGY PWR SPLY SERIES A 1FE 500,000 97.9120 489,560 500,000 500,000 2.023 2.023 JJ 1,798 10/07/2016 07/01/2021

956704-YE-4 WEST VIRGINIA ST UNIV REVENUES 1FE 1,500,000 100.7520 1,511,280 1,500,000 1,500,000 1.858 1.858 AO 6,968 27,870 01/30/2013 10/01/2018

956704-YF-1 WEST VIRGINIA ST UNIV REVENUES 1FE 2,000,000 100.8280 2,016,560 2,000,000 2,000,000 2.158 2.158 AO 10,790 43,160 01/30/2013 10/01/2019

956704-YG-9 WEST VIRGINIA ST UNIV REVENUES 1FE 1,320,000 100.4030 1,325,320 1,320,000 1,320,000 2.419 2.419 AO 7,983 31,931 01/30/2013 10/01/2020

2599999. Subtotal - Bonds - U.S. Special Revenues - Issuer Obligations 162,418,659 XXX 161,854,582 162,235,000 162,288,928 (33,742) XXX XXX XXX 798,974 2,528,062 XXX XXX3128MD-RV-7 FHLMC POOL G14800 4 1 1,120,898 105.2010 1,111,468 1,056,517 1,103,508 (5,565) 4.000 2.908 MON 3,522 42,261 10/29/2013 06/01/2025

3136A5-QD-1 FANNIE MAE SERIES 2012-35 CLASS EL 4 1 2,794,436 104.0480 2,724,492 2,618,507 2,716,415 (15,448) 3.500 2.356 MON 7,637 91,648 05/24/2012 11/25/2040

3136AJ-C7-9 FNMA REMICS SERIES 2014-26 CLASS KA 4 1 2,826,719 105.3030 2,768,152 2,628,742 2,772,428 (24,967) 4.000 2.144 MON 8,762 105,150 10/28/2014 04/25/2039

3136AL-VF-5 FANNIE MAE SERIES 2014-70 CLASS A 4 1 5,301,637 101.7240 5,179,546 5,091,778 5,284,522 (8,583) 3.000 2.647 MON 12,729 152,753 02/04/2015 06/25/2040

3136AT-PM-0 FNMA SERIES 2016 66 CLASS MB 4 1 7,632,842 101.2560 7,431,453 7,339,271 7,629,648 (3,194) 3.000 2.680 MON 18,348 55,045 09/12/2016 05/25/2044

3137AK-PD-7 FREDDIE MAC SERIES 3979 CLASS VA 4 1 971,535 102.4590 938,253 915,732 948,487 (7,158) 3.500 1.969 MON 2,671 32,051 12/10/2013 10/15/2021

3137AN-BX-2 FREDDIE MAC SERIES 4015 CLASS DC 4 1 1,298,379 99.9910 1,282,230 1,282,349 1,287,151 (2,620) 2.250 1.875 MON 2,404 28,853 05/31/2012 09/15/2039

3137B0-UT-9 FREDDIE MAC SERIES 4182 CLASS C 4 1 2,728,954 102.3410 2,697,170 2,635,477 2,719,115 (4,339) 3.000 2.676 MON 6,589 79,064 11/04/2014 06/15/2037

3137B2-QL-7 FREDDIE MAC REMICS SERIES 4212 CLASS LA 4 1 6,036,533 102.7510 5,971,214 5,811,343 6,011,490 (9,121) 3.000 2.677 MON 14,528 174,340 05/20/2014 10/15/2039

3137B7-4C-0

FHLMC MULTIFAMILY STRUCTURED P SERIES 4299 CLASS

AB 4 1 4,087,895 101.7710 3,991,898 3,922,418 4,054,238 (17,147) 3.000 2.137 MON 9,806 117,672 02/04/2015 12/15/2037

3137B8-UP-0 FHLMC SERIES 4313 CLASS LJ 4 1 3,378,118 103.2260 3,354,978 3,250,143 3,343,993 (16,138) 3.000 2.026 MON 8,125 97,504 12/08/2014 03/15/2028

3137B9-ST-3

FHLMC MULTIFAMILY STRUCTURED P SERIES 4327 CLASS A

4 1 5,916,863 104.6470 5,765,673 5,509,665 5,818,674 (46,450) 4.000 2.334 MON 18,366 220,386 11/24/2014 02/15/2040

3137BG-6G-9 FHLMC SERIES 4428 CLASS LA 4 1 8,742,468 102.3020 8,633,126 8,438,866 8,716,211 (13,508) 3.000 2.711 MON 21,097 253,166 02/10/2015 06/15/2039

3137GA-D7-9 FHLMC SERIES 3721 CLASS PE 4 1 8,739,469 103.3570 8,569,542 8,291,224 8,726,734 (12,734) 3.500 3.043 MON 24,183 169,279 04/29/2016 09/15/2040

E10.1





Code

Foreign

BondChar

NAICDes.

ActualCost

Rate Used to Obtain

Fair Value

FairValue

ParValue


Value


(Decrease)


Accretion



TotalForeign

ExchangeChange

inBook/

AdjustedCarrying

ValueRate

of

EffectiveRate

ofWhenPaid


Amount Received


StatedContractual

MaturityDate

3138EH-TA-0 FNMA POOL AL1444 4 1 2,662,921 102.8140 2,571,133 2,500,762 2,617,357 (11,693) 3.000 2.043 MON 6,252 75,023 01/31/2013 02/01/2027

3138LU-Q5-7 FNMA POOL AO4075 4 1 3,760,710 102.8080 3,668,005 3,567,826 3,701,451 (13,103) 3.000 2.240 MON 8,920 107,035 05/30/2012 05/01/2027

3138MB-LL-8 FNMA POOL AP7530 4 1 4,257,499 100.2910 4,065,333 4,053,554 4,199,411 (13,788) 2.500 1.794 MON 8,445 101,339 09/20/2012 09/01/2027

3138W9-MY-3 FNMA POOL AS0374 4 1 5,191,718 103.0600 5,131,151 4,978,814 5,121,911 (22,242) 3.000 2.096 MON 12,447 149,364 10/30/2013 09/01/2023

31418B-J3-1 FNMA POOL MA2081 4 1 3,124,078 103.0610 3,081,054 2,989,548 3,095,311 (13,873) 3.000 2.062 MON 7,474 89,687 11/18/2014 11/01/2024

2699999. Subtotal - Bonds - U.S. Special Revenues - Residential Mortgage-Backed Securities 80,573,672 XXX 78,935,871 76,882,536 79,868,055 (261,671) XXX XXX XXX 202,305 2,141,620 XXX XXX

3199999. Total - U.S. Special Revenues Bonds 242,992,331 XXX 240,790,453 239,117,536 242,156,983 (295,413) XXX XXX XXX 1,001,279 4,669,682 XXX XXX00138C-AB-4 AIG GLOBAL FUNDING SERIES 144A 1FE 9,981,500 96.1750 9,617,500 10,000,000 9,982,381 881 1.900 1.939 AO 44,861 09/29/2016 10/06/2021

00206R-BC-5 AT&T INC 2FE 5,013,700 100.0270 5,001,345 5,000,000 5,001,581 (12,119) 1.600 1.339 FA 30,222 80,000 01/19/2016 02/15/2017

00206R-CC-4 AT&T INC 2FE 5,090,850 100.3450 5,017,270 5,000,000 5,070,270 (20,580) 2.300 1.640 MS 35,458 57,500 05/03/2016 03/11/2019

00206R-CL-4 AT&T INC 2 2FE 9,320,244 99.2330 9,253,459 9,325,000 9,321,779 924 2.450 2.460 JD 635 228,463 04/23/2015 06/30/2020

00206R-CR-1 AT&T INC 2 2FE 9,982,300 99.1240 9,912,380 10,000,000 9,985,454 3,154 2.800 2.838 FA 104,222 146,222 01/29/2016 02/17/2021

002824-BC-3 ABBOTT LABORATORIES 1FE 16,508,806 100.0680 16,536,303 16,525,000 16,509,397 592 2.350 2.379 MN 42,070 11/17/2016 11/22/2019

002824-BD-1 ABBOTT LABORATORIES 2 1FE 7,985,840 99.7630 7,981,008 8,000,000 7,986,149 309 2.900 2.938 MN 25,133 11/17/2016 11/30/2021

00287Y-AT-6 ABBVIE INC 2 2FE 5,552,143 99.9690 5,573,272 5,575,000 5,559,624 4,579 2.500 2.588 MN 18,196 139,375 05/05/2015 05/14/2020

00287Y-AU-3 ABBVIE INC 2 2FE 10,132,339 97.8920 9,936,079 10,150,000 10,134,600 2,261 2.300 2.337 MN 30,478 118,022 05/09/2016 05/14/2021

00507V-AG-4 ACTIVISION BLIZZARD INC SERIES 144A 2 2FE 5,543,229 97.4930 5,410,845 5,550,000 5,543,615 386 2.300 2.326 MS 36,168 09/14/2016 09/15/2021

00817Y-AS-7 AETNA INC 2FE 4,996,000 99.8920 4,994,595 5,000,000 4,997,132 1,132 1.700 1.741 JD 5,667 42,028 06/02/2016 06/07/2018

00817Y-AT-5 AETNA INC 2FE 18,486,125 99.7450 18,452,807 18,500,000 18,488,740 2,615 1.900 1.926 JD 23,433 173,797 06/02/2016 06/07/2019

023608-AF-9 AMEREN CORP 2 2FE 10,497,585 100.4600 10,548,290 10,500,000 10,498,122 486 2.700 2.705 MN 36,225 276,413 11/17/2015 11/15/2020

025537-AF-8 AMERICAN ELECTRIC POWER CO INC 2 2FE 2,503,250 100.0270 2,500,683 2,500,000 2,503,067 (183) 1.650 1.508 JD 1,833 20,625 12/08/2016 12/15/2017

0258M0-DR-7 AMERICAN EXPRESS CREDIT 1FE 8,003,380 100.1080 8,008,632 8,000,000 8,001,943 (2,575) 1.550 1.516 MS 34,100 124,000 01/08/2016 09/22/2017

0258M0-EC-9 AMERICAN EXPRESS CREDIT SERIES MTN 2 1FE 13,983,340 98.9760 13,856,570 14,000,000 13,984,284 944 1.700 1.741 AO 40,328 10/26/2016 10/30/2019

031162-BR-0 AMGEN INC 2FE 4,989,350 100.0090 5,000,430 5,000,000 4,996,923 7,573 1.250 1.411 MN 6,771 62,500 01/14/2016 05/22/2017

032095-AD-3 AMPHENOL CORP 2FE 3,995,920 100.0970 4,003,892 4,000,000 3,999,046 1,359 1.550 1.585 MS 18,256 62,000 09/09/2014 09/15/2017

032654-AL-9 ANALOG DEVICES INC 1FE 7,071,174 98.9850 7,027,935 7,100,000 7,071,600 426 2.500 2.587 JD 12,819 11/30/2016 12/05/2021

03523T-BN-7 ANHEUSER-BUSCH INBEV WOR 2FE 7,983,920 100.0840 8,006,688 8,000,000 7,994,128 10,208 1.375 1.514 JJ 50,722 55,000 01/25/2016 07/15/2017

05253J-AQ-4 AUSTRALIA NEW ZEALAND 1FE 4,997,900 99.0990 4,954,960 5,000,000 4,997,945 45 2.550 2.559 MN 13,458 11/16/2016 11/23/2021

053332-AS-1 AUTOZONE INC 2 2FE 1,999,240 98.7910 1,975,824 2,000,000 1,999,454 128 2.500 2.507 AO 10,556 50,000 04/20/2015 04/15/2021

053332-AU-6 AUTOZONE INC 2 2FE 1,349,055 99.0630 1,337,348 1,350,000 1,349,275 220 1.625 1.649 AO 4,266 10,969 04/18/2016 04/21/2019

05523U-AM-2 BAE SYSTEMS HLDG SERIES 144A 2 2FE 7,971,840 100.0680 8,005,464 8,000,000 7,977,804 5,626 2.850 2.926 JD 10,133 231,167 12/03/2015 12/15/2020

06050T-LY-6 BANK OF AMERICA NA SERIES BKNT 1FE 5,991,780 100.0800 6,004,800 6,000,000 5,996,633 2,745 1.650 1.697 MS 26,125 99,000 03/20/2015 03/26/2018

06051G-ET-2 BANK OF AMERICA CORP SERIES MTN 2FE 10,020,900 100.2230 10,022,300 10,000,000 10,020,625 (275) 2.000 1.796 JJ 94,444 12/21/2016 01/11/2018

06051G-EX-3 BANK OF AMERICA CORP 2FE 5,998,980 100.8190 6,049,164 6,000,000 5,999,603 195 2.600 2.604 JJ 71,933 156,000 10/17/2013 01/15/2019

06051G-FN-4 BANK OF AMERICA CORP SERIES L 2FE 6,985,230 99.3500 6,954,493 7,000,000 6,990,250 2,959 2.250 2.295 AO 30,625 157,500 04/16/2015 04/21/2020

06051G-FR-5 BANK OF AMERICA CORP SERIES L 2FE 999,940 100.1260 1,001,258 1,000,000 999,973 20 1.950 1.952 MN 2,654 19,500 05/07/2015 05/12/2018

06051G-FW-4 BANK OF AMERICA CORP 2FE 3,999,080 99.2280 3,969,128 4,000,000 3,999,209 129 2.625 2.630 AO 21,000 52,500 04/14/2016 04/19/2021

06051G-FZ-7 BANK OF AMERICA CORP SERIES MTN 2 2FE 13,000,000 96.6020 12,558,286 13,000,000 13,000,000 2.503 2.503 AO 63,270 10/18/2016 10/21/2022

06051G-GB-9 BANK OF AMERICA CORP SERIES MTN 2 2FE 4,100,000 98.6360 4,044,064 4,100,000 4,100,000 2.151 2.151 MN 12,739 11/04/2016 11/09/2020

075887-BE-8 BECTON DICKINSON & CO 2FE 6,360,000 101.4100 6,449,676 6,360,000 6,360,000 2.675 2.675 JD 7,561 170,130 12/04/2014 12/15/2019

092113-AK-5 BLACK HILLS CORP 2FE 6,791,636 100.3640 6,824,732 6,800,000 6,794,342 2,706 2.500 2.543 JJ 80,278 84,056 01/08/2016 01/11/2019

105340-AJ-2 BRANDYWINE OPER PARTNERS 2FE 954,067 101.2600 937,668 926,000 938,428 (15,639) 5.700 1.585 MN 8,797 26,391 07/29/2016 05/01/2017

105340-AL-7 BRANDYWINE OPER PARTNERS 2 2FE 706,006 103.3590 697,675 675,000 698,354 (7,652) 4.950 2.010 AO 7,054 16,706 08/16/2016 04/15/2018

124857-AL-7 CBS CORP 2 2FE 4,967,350 100.2890 5,014,435 5,000,000 4,981,365 7,134 2.300 2.451 FA 43,444 115,000 01/08/2015 08/15/2019

133131-AQ-5 CAMDEN PROPERTY TRUST 1FE 4,642,916 101.4880 4,495,923 4,430,000 4,490,319 (152,597) 5.700 1.928 MN 32,265 252,510 01/25/2016 05/15/2017

14042E-3V-0 CAPITAL ONE NA 2 1FE 3,004,140 99.5440 2,986,311 3,000,000 3,000,985 (865) 1.500 1.470 MS 12,375 45,000 05/02/2013 03/22/2018

14042E-4L-1 CAPITAL ONE NA 2 1FE 16,975,950 99.7940 16,964,980 17,000,000 16,990,546 8,650 1.650 1.702 FA 113,758 280,500 04/28/2015 02/05/2018

14042E-5V-8 CAPITAL ONE NA 2 2FE 9,989,100 100.5580 10,055,780 10,000,000 9,994,097 3,643 2.350 2.388 FA 87,472 234,347 08/13/2015 08/17/2018

14042R-BS-9 CAPITAL ONE NA 2FE 9,999,700 98.8170 9,881,740 10,000,000 9,999,730 30 1.850 1.851 MS 55,500 09/08/2016 09/13/2019

14042R-BT-7 CAPITAL ONE NA 2 2FE 6,489,925 97.4790 6,336,129 6,500,000 6,490,532 607 2.250 2.283 MS 43,875 09/08/2016 09/13/2021

14149Y-AZ-1 CARDINAL HEALTH INC 2FE 19,962,600 100.6800 20,135,900 20,000,000 19,978,488 7,513 2.400 2.440 MN 61,333 480,000 11/07/2014 11/15/2019

172967-JH-5 CITIGROUP INC 2FE 16,497,240 99.9700 16,495,083 16,500,000 16,502,693 2,364 1.800 1.785 FA 120,450 243,000 10/24/2016 02/05/2018

172967-JN-2 CITIGROUP INC 2FE 1,993,660 99.7650 1,995,308 2,000,000 1,997,218 2,117 1.700 1.809 AO 6,044 34,000 04/22/2015 04/27/2018

172967-JW-2 CITIGROUP INC 2FE 9,997,400 100.3140 10,031,390 10,000,000 9,998,636 868 2.150 2.159 JJ 90,181 215,000 07/23/2015 07/30/2018

172967-KE-0 CITIGROUP INC 2FE 7,998,880 99.9680 7,997,448 8,000,000 7,999,280 374 2.050 2.055 JD 10,933 164,000 12/01/2015 12/07/2018

E10.2





Code

Foreign

BondChar

NAICDes.

ActualCost

Rate Used to Obtain

Fair Value

FairValue

ParValue


Value


(Decrease)


Accretion



TotalForeign

ExchangeChange

inBook/

AdjustedCarrying

ValueRate

of

EffectiveRate

ofWhenPaid


Amount Received


StatedContractual

MaturityDate

172967-KS-9 CITIGROUP INC 2FE 3,498,180 99.5810 3,485,328 3,500,000 3,498,523 343 2.050 2.068 JD 4,783 35,476 06/02/2016 06/07/2019

172967-KV-2 CITIGROUP INC 2FE 11,991,600 97.7300 11,727,588 12,000,000 11,992,299 699 2.350 2.365 FA 116,717 07/26/2016 08/02/2021

17401Q-AC-5 CITIZENS BANK NA/RI SERIES BKNT 2 2FE 10,985,700 100.4930 11,054,197 11,000,000 10,990,854 4,775 2.300 2.345 JD 19,678 253,000 11/30/2015 12/03/2018

22822V-AD-3 CROWN CASTLE INTL CORP 2 2FE 4,698,684 96.6540 4,542,747 4,700,000 4,698,772 88 2.250 2.256 MS 35,250 08/22/2016 09/01/2021

233851-BF-0 DAIMLER FINANCE NA LLC SERIES 144A 1FE 2,979,930 99.9990 2,999,961 3,000,000 2,992,402 12,472 1.375 1.819 FA 17,188 41,250 01/13/2016 08/01/2017

233851-BU-7 DAIMLER FINANCE NA LLC SERIES 144A 1FE 3,994,880 99.8000 3,992,008 4,000,000 3,997,655 1,710 1.650 1.694 MN 7,883 66,000 05/11/2015 05/18/2018

233851-BZ-6 DAIMLER FINANCE NA LLC SERIES 144A 1FE 3,994,800 100.1210 4,004,856 4,000,000 3,997,253 1,737 2.000 2.045 FA 32,889 80,000 07/29/2015 08/03/2018

233851-CF-9 DAIMLER FINANCE NA LLC SERIES 144A 1FE 7,988,080 98.3450 7,867,576 8,000,000 7,990,030 1,950 1.500 1.551 JJ 58,333 06/30/2016 07/05/2019

233851-CK-8 DAIMLER FINANCE NA LLC SERIES 144A 1FE 7,997,760 97.6270 7,810,120 8,000,000 7,997,836 76 2.200 2.206 AO 29,822 10/26/2016 10/30/2021

24951R-AB-5 DEPAUL UNIVERSITY 1FE 2,000,000 100.1220 2,002,446 2,000,000 2,000,000 1.613 1.613 AO 8,065 32,260 05/19/2015 10/01/2017

24951R-AC-3 DEPAUL UNIVERSITY 1FE 2,665,000 100.0520 2,666,383 2,665,000 2,665,000 2.061 2.061 AO 13,731 54,926 05/19/2015 10/01/2018

24951R-AD-1 DEPAUL UNIVERSITY 1FE 2,520,000 99.8720 2,516,779 2,520,000 2,520,000 2.443 2.443 AO 15,391 61,564 05/19/2015 10/01/2019

25159N-AW-5 DDR CORP SERIES MTN 2FE 2,175,440 107.7140 2,154,280 2,000,000 2,163,472 (11,968) 7.500 2.064 MN 19,167 11/16/2016 07/15/2018

25466A-AG-6 DISCOVER BANK SERIES BKTN 2FE 11,147,436 101.1300 11,276,040 11,150,000 11,148,245 514 3.100 3.105 JD 25,924 345,650 06/01/2015 06/04/2020

257375-AG-0 DOMINION GAS HLDGS LLC 2 1FE 11,295,706 101.0420 11,417,712 11,300,000 11,297,475 857 2.500 2.508 JD 12,556 282,500 12/03/2014 12/15/2019

25746U-BW-8 DOMINION RESOURCES INC/VA 2FE 3,556,836 100.0070 3,565,253 3,565,000 3,563,525 6,689 1.250 1.458 MS 13,121 44,563 02/02/2016 03/15/2017

25746U-CH-0 DOMINION RESOURCES INC/VA SERIES B 2FE 7,399,334 98.4310 7,283,887 7,400,000 7,399,422 88 1.600 1.603 FA 46,702 08/04/2016 08/15/2019

25746U-CJ-6 DOMINION RESOURCES INC/VA SERIES C 2 2FE 3,295,281 96.8870 3,197,271 3,300,000 3,295,655 374 2.000 2.030 FA 26,033 08/04/2016 08/15/2021

26444G-AA-1 DUKE ENERGY FLORIDA LLC SERIES 2018 4 1FE 6,999,930 99.1920 6,943,419 7,000,000 6,999,940 10 1.196 1.195 MS 43,953 06/15/2016 03/01/2020

26444G-AB-9 DUKE ENERGY FL PROJ FIN SERIES 2021 4 1FE 4,999,900 96.7310 4,836,530 5,000,000 4,999,909 9 1.731 1.731 MS 45,439 06/15/2016 09/01/2022

26884A-BC-6 ERP OPERATING LP 2 1FE 9,990,000 100.7470 10,074,650 10,000,000 9,995,044 1,991 2.375 2.396 JJ 118,750 237,500 06/16/2014 07/01/2019

26884T-AM-4 ERAC USA FINANCE LLC SERIES 144A 2FE 11,233,575 99.8640 11,234,655 11,250,000 11,241,345 3,115 2.350 2.380 AO 55,813 264,375 06/30/2014 10/15/2019

277432-AQ-3 EASTMAN CHEMICAL CO 2 2FE 8,806,556 100.5350 8,872,178 8,825,000 8,814,131 3,587 2.700 2.743 JJ 109,871 238,275 11/10/2014 01/15/2020

29379V-BD-4 ENTERPRISE PRODUCTS OPER 2 2FE 4,999,050 100.9740 5,048,690 5,000,000 4,999,471 190 2.550 2.554 AO 26,917 127,500 10/02/2014 10/15/2019

294429-AK-1 EQUIFAX INC 2 2FE 10,045,176 97.8370 9,832,598 10,050,000 10,045,788 612 2.300 2.310 JD 19,263 127,775 05/05/2016 06/01/2021

30219G-AH-1 EXPRESS SCRIPTS HOLDING 2FE 10,973,490 99.9630 10,995,897 11,000,000 10,987,077 5,285 2.250 2.301 JD 11,000 247,500 06/02/2014 06/15/2019

31620M-AL-0 FIDELITY NATIONAL INFORMATION 2FE 10,499,805 100.0380 10,503,990 10,500,000 10,500,779 (221) 1.450 1.432 JD 10,996 94,250 08/11/2016 06/05/2017

31620M-AN-6 FIDELITY NATIONAL INFORMATION 2FE 11,994,960 101.7200 12,206,400 12,000,000 11,996,988 1,691 2.850 2.865 AO 72,200 337,250 10/13/2015 10/15/2018

31620M-AP-1 FIDELITY NATIONAL INFORMATION 2 2FE 6,990,830 103.4500 7,241,528 7,000,000 6,993,039 1,842 3.625 3.654 AO 53,569 250,226 10/13/2015 10/15/2020

31620M-AS-5 FIDELITY NATIONAL INFORMATION 2 2FE 9,998,600 97.4120 9,741,220 10,000,000 9,998,706 106 2.250 2.253 FA 84,375 08/11/2016 08/15/2021

31677Q-BD-0 FIFTH THIRD BANK/CINCINNATI OH SER MTN 2 1FE 9,998,300 100.6150 10,061,510 10,000,000 9,999,076 568 2.150 2.156 FA 78,236 215,000 08/17/2015 08/20/2018

31677Q-BF-5 FIFTH THIRD BANK/CINCINNATI OH 2 1FE 11,597,332 100.6380 11,673,973 11,600,000 11,598,043 711 2.300 2.308 MS 78,558 133,400 03/10/2016 03/15/2019

31677Q-BH-1 FIFTH THIRD BANK/CINCINNATI OH 2 1FE 9,983,400 98.7580 9,875,750 10,000,000 9,984,855 1,455 1.625 1.682 MS 42,431 09/22/2016 09/27/2019

345397-XH-1 FORD MOTOR CREDIT CO LLC 2FE 20,000,000 100.1200 20,023,980 20,000,000 20,000,000 2.240 2.240 JD 19,911 448,000 06/11/2015 06/15/2018

345397-XK-4 FORD MOTOR CREDIT CO LLC 2FE 5,000,000 100.6710 5,033,540 5,000,000 5,000,000 3.157 3.157 FA 64,455 157,850 07/30/2015 08/04/2020

345397-XT-5 FORD MOTOR CREDIT CO LLC SERIES MTN 2FE 3,000,000 101.1060 3,033,186 3,000,000 3,000,000 2.943 2.943 JJ 42,428 44,145 01/05/2016 01/08/2019

345397-XY-4 FORD MOTOR CREDIT CO LLC 2FE 5,500,000 99.0430 5,447,338 5,500,000 5,500,000 2.021 2.021 MN 17,908 55,269 04/29/2016 05/03/2019

361448-AP-8 GATX CORP 2FE 1,894,984 100.4260 1,908,092 1,900,000 1,898,528 937 2.375 2.426 JJ 18,927 45,125 03/14/2013 07/30/2018

361448-AR-4 GATX CORP 2FE 6,962,410 99.9750 6,998,236 7,000,000 6,984,457 7,084 2.500 2.609 MS 51,528 175,000 11/14/2013 03/15/2019

361448-AV-5 GATX CORP 2FE 10,089,650 98.7020 9,870,190 10,000,000 10,000,000 2.600 2.600 MS 65,722 260,000 02/03/2015 03/30/2020

37045X-AV-8 GENERAL MOTORS FINL CO 2FE 5,039,750 100.0930 5,004,665 5,000,000 5,029,416 (10,334) 2.400 1.926 AO 27,000 60,000 07/19/2016 04/10/2018

37045X-BM-7 GENERAL MOTORS FINL CO 2 2FE 12,926,302 99.0780 12,830,536 12,950,000 12,928,636 2,335 3.200 3.240 JJ 202,596 06/29/2016 07/06/2021

37045X-BP-0 GENERAL MOTORS FINL CO 2FE 14,995,650 98.7780 14,816,730 15,000,000 14,995,996 346 2.350 2.360 AO 83,229 10/03/2016 10/04/2019

372546-AR-2 GEORGE WASHINGTON UNIVERSITY 1FE 1,200,000 100.3410 1,204,094 1,200,000 1,200,000 1.827 1.827 MS 6,455 21,924 06/19/2012 09/15/2017

37331N-AF-8 GEORGIA PACIFIC LLC SERIES 144A 2 2FE 5,000,000 100.8280 5,041,420 5,000,000 5,000,000 2.539 2.539 MN 16,221 126,950 11/03/2014 11/15/2019

38141G-RC-0 GOLDMAN SACHS GROUP INC/THE 1FE 2,723,856 100.5830 2,740,889 2,725,000 2,724,758 229 2.375 2.384 JJ 28,584 64,719 01/16/2013 01/22/2018

38141G-VP-6 GOLDMAN SACHS GROUP INC/THE 2 1FE 2,157,332 100.3590 2,157,708 2,150,000 2,155,507 (1,525) 2.750 2.671 MS 17,409 59,125 10/16/2015 09/15/2020

38141G-VT-8 GOLDMAN SACHS GROUP INC/THE 2 1FE 6,698,014 99.5630 6,670,721 6,700,000 6,698,804 790 2.000 2.006 AO 24,567 67,000 06/08/2016 04/25/2019

38141G-VU-5 GOLDMAN SACHS GROUP INC/THE 2 1FE 1,499,025 99.1880 1,487,822 1,500,000 1,499,159 134 2.625 2.639 AO 7,219 19,688 04/20/2016 04/25/2021

38145G-AG-5 GOLDMAN SACHS GROUP INC 2 1FE 6,967,816 97.0610 6,770,033 6,975,000 6,968,184 368 2.350 2.371 MN 42,799 09/22/2016 11/15/2021

38145G-AJ-9 GOLDMAN SACHS GROUP INC 2 1FE 9,992,500 99.9070 9,990,660 10,000,000 9,992,630 130 2.300 2.326 JD 11,500 12/08/2016 12/13/2019

38145X-AA-1 GOLDMAN SACHS GROUP INC 1FE 5,115,050 101.0390 5,051,950 5,000,000 5,094,732 (20,318) 2.625 1.689 JJ 55,052 65,625 07/19/2016 01/31/2019

38148F-AB-5 GOLDMAN SACHS GROUP INC 1FE 6,686,265 100.6860 6,745,949 6,700,000 6,692,290 2,753 2.550 2.594 AO 32,272 170,850 10/20/2014 10/23/2019

38148L-AA-4 GOLDMAN SACHS GROUP INC 2 1FE 8,522,990 100.0390 8,503,315 8,500,000 8,514,978 (4,658) 2.600 2.542 AO 41,744 221,000 05/20/2015 04/23/2020

40428H-PQ-9 HSBC USA INC 1FE 998,640 99.9310 999,311 1,000,000 998,653 13 1.700 1.816 MS 5,478 12/22/2016 03/05/2018

40428H-PU-0 HSBC USA INC 1FE 11,484,595 99.9570 11,495,078 11,500,000 11,492,513 5,625 2.000 2.042 FA 92,000 200,000 11/28/2016 08/07/2018

42225U-AC-8 HEALTHCARE TRUST OF AMERICA 2 2FE 6,064,740 100.6230 6,037,362 6,000,000 6,047,086 (10,805) 3.375 3.173 JJ 93,375 202,500 05/11/2015 07/15/2021

E10.3





Code

Foreign

BondChar

NAICDes.

ActualCost

Rate Used to Obtain

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(Decrease)


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ValueRate

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EffectiveRate

ofWhenPaid


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StatedContractual

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42824C-AS-8 HP ENTERPRISE CO SERIES WI 2FE 27,993,054 100.5510 28,154,196 28,000,000 27,993,272 219 2.450 2.479 AO 179,044 12/23/2016 10/05/2017

431282-AN-2 HIGHWOODS REALTY LP 2 2FE 9,378,564 100.2850 9,351,548 9,325,000 9,394,872 2,590 3.200 3.009 JD 13,262 244,400 10/03/2016 06/15/2021

444859-BC-5 HUMANA INC 2FE 14,999,250 100.7550 15,113,175 15,000,000 14,999,591 149 2.625 2.626 AO 98,438 393,750 09/16/2014 10/01/2019

446150-AK-0 HUNTINGTON BANCSHARES 2 2FE 6,989,430 96.8910 6,782,370 7,000,000 6,990,203 773 2.300 2.330 JJ 63,506 08/04/2016 01/14/2022

446438-RG-0 HUNINGTON NATIONAL BANK 2 1FE 1,798,698 100.0500 1,800,907 1,800,000 1,799,922 371 2.200 2.202 AO 9,900 33,000 10/11/2016 04/01/2019

446438-RR-6 HUNINGTON NATIONAL BANK 2 1FE 9,538,731 100.2640 9,575,231 9,550,000 9,543,070 3,763 2.200 2.241 MN 32,099 210,100 11/03/2015 11/06/2018

44891A-AA-5 HYUNDAI CAPITAL AMERICA SERIES 144A 2FE 4,438,920 99.9690 4,448,612 4,450,000 4,445,531 3,700 2.000 2.086 MS 25,217 89,000 03/16/2015 03/19/2018

44891A-AC-1 HYUNDAI CAPITAL AMERICA SERIES 144A 2FE 2,224,733 100.3980 2,233,849 2,225,000 2,224,838 89 2.400 2.404 AO 9,048 53,400 10/27/2015 10/30/2018

44891A-AG-2 HYUNDAI CAPITAL AMERICA SERIES 144A 2FE 7,119,941 99.1840 7,066,860 7,125,000 7,120,859 918 2.000 2.024 JJ 78,375 06/07/2016 07/01/2019

44891A-AH-0 HYUNDAI CAPITAL AMERICA SERIES 144A 2FE 4,992,500 97.6290 4,881,450 5,000,000 4,993,329 829 2.450 2.482 JD 5,444 61,931 06/07/2016 06/15/2021

46623E-JY-6 JP MORGAN CHASE & CO SERIES MTN 1FE 5,004,850 100.0170 5,000,845 5,000,000 5,000,564 (4,286) 1.350 1.257 FA 25,500 67,500 01/20/2016 02/15/2017

46623E-KG-3 JP MORGAN CHASE & CO 2 1FE 5,800,000 98.0560 5,687,265 5,800,000 5,800,000 2.295 2.295 FA 52,874 08/03/2016 08/15/2021

46625H-JG-6 JP MORGAN CHASE & CO 1FE 2,498,250 100.0990 2,502,478 2,500,000 2,499,008 758 1.800 1.838 JJ 19,500 22,500 03/07/2016 01/25/2018

46625H-QU-7 JP MORGAN CHASE & CO 2 1FE 14,990,400 99.6460 14,946,900 15,000,000 14,992,892 2,492 1.850 1.872 MS 76,313 137,979 03/18/2016 03/22/2019

46625H-RL-6 JP MORGAN CHASE & CO 2 1FE 9,973,400 97.7300 9,772,990 10,000,000 9,975,773 2,373 2.700 2.742 MN 32,250 135,000 05/11/2016 05/18/2023

46849L-SP-7 JACKSON NATL LIFE GLOBAL SERIES 144A 1FE 9,992,900 98.5330 9,853,250 10,000,000 9,993,860 960 2.250 2.265 AO 38,750 112,500 04/25/2016 04/29/2021

48125L-RG-9 JP MORGAN CHASE BANK NA 1FE 9,989,800 98.9590 9,895,870 10,000,000 9,990,732 932 1.650 1.685 MS 44,917 09/20/2016 09/23/2019

49327M-2A-1 KEY BANK NA SERIES BKNT 1FE 1,296,579 100.0470 1,290,600 1,290,000 1,294,754 (1,825) 1.650 1.305 FA 8,869 07/28/2016 02/01/2018

49327M-2F-0 KEY BANK NA SERIES BKNT 1FE 8,246,370 100.9910 8,331,725 8,250,000 8,247,881 719 2.500 2.509 JD 9,167 206,250 11/17/2014 12/15/2019

49327M-2N-3 KEY BANK NA SERIES BKNT 1FE 5,622,244 100.5370 5,655,189 5,625,000 5,622,996 753 2.350 2.367 MS 41,492 66,094 03/03/2016 03/08/2019

49327M-2P-8 KEY BANK NA SERIES BKNT 1FE 14,995,200 98.5860 14,787,840 15,000,000 14,995,779 579 1.600 1.611 FA 86,000 08/17/2016 08/22/2019

553794-AA-6 MUFG AMERICAS HLNDS CORP 2 1FE 9,993,300 99.6370 9,963,710 10,000,000 9,997,528 2,239 1.625 1.648 FA 64,097 162,500 02/05/2015 02/09/2018

57629W-CC-2 MASSMUTUTAL GLOBAL FUNDIN SERIES 144A 1FE 2,498,625 98.7700 2,469,248 2,500,000 2,498,728 103 1.550 1.569 AO 8,611 10/05/2016 10/11/2019

59156R-BK-3 METLIFE INC 1FE 7,045,640 100.2570 7,017,997 7,000,000 7,022,690 (22,950) 1.903 1.560 MJSD 5,920 133,210 01/12/2016 12/15/2017

59217G-AY-5 MET LIFE GLOB FUNDING SERIES 144A 1FE 2,925,059 100.0050 2,925,158 2,925,000 2,925,058 (1) 1.500 1.498 JJ 20,841 12/21/2016 01/10/2018

59217G-BF-5 MET LIFE GLOB FUNDING SERIES 144A 1FE 3,495,415 100.5280 3,518,470 3,500,000 3,497,918 919 2.300 2.328 AO 18,113 80,500 04/07/2014 04/10/2019

59217G-BV-0 MET LIFE GLOB FUNDING SERIES 144A 1FE 5,991,420 98.4420 5,906,514 6,000,000 5,992,268 848 1.550 1.599 MS 27,383 09/08/2016 09/13/2019

59217G-BX-6 MET LIFE GLOB FUNDING SERIES 144A 1FE 4,991,700 97.1250 4,856,255 5,000,000 4,992,191 491 1.950 1.985 MS 28,708 09/08/2016 09/15/2021

617446-7U-7 MORGAN STANLEY 1FE 7,028,750 100.3840 7,026,901 7,000,000 7,026,582 (3,313) 2.125 1.831 AO 27,271 63,750 10/24/2016 04/25/2018

617446-8B-8 MORGAN STANLEY SERIES MTN 1FE 14,988,450 100.3480 15,052,125 15,000,000 14,993,629 3,308 2.200 2.223 JD 22,000 330,000 06/03/2015 12/07/2018

61746B-DM-5 MORGAN STANLEY 1FE 4,981,600 101.0150 5,050,760 5,000,000 4,992,412 3,688 2.500 2.579 JJ 54,514 125,000 01/21/2014 01/24/2019

61746B-DX-1 MORGAN STANLEY 1FE 4,996,650 100.6510 5,032,525 5,000,000 4,997,685 1,035 2.450 2.473 FA 51,042 62,611 01/22/2016 02/01/2019

61746B-ED-4 MORGAN STANLEY 1FE 9,948,900 98.7000 9,870,040 10,000,000 9,950,159 1,259 2.625 2.735 MN 32,083 11/14/2016 11/17/2021

64952W-BY-8 NEW YORK LIFE GLOBAL FDG SERIES 144A 1FE 4,999,050 99.2250 4,961,230 5,000,000 4,999,409 190 1.950 1.954 FA 37,917 97,500 02/04/2015 02/11/2020

65339K-AB-6 NEXTERA ENERGY CAPITAL 2FE 4,516,425 100.0570 4,502,570 4,500,000 4,503,281 (7,952) 1.586 1.406 JD 5,948 71,370 05/04/2015 06/01/2017

65339K-AJ-9 NEXTERA ENERGY CAPITAL 2FE 3,057,625 99.6680 3,039,883 3,050,000 3,056,351 (1,274) 1.649 1.522 MS 16,765 08/25/2016 09/01/2018

65339K-AK-6 NEXTERA ENERGY CAPITAL 2 2FE 9,950,000 101.2200 10,071,430 9,950,000 9,950,000 2.700 2.700 MS 79,103 268,650 03/06/2014 09/15/2019

65339K-AR-1 NEXTERA ENERGY CAPITAL 2FE 8,847,088 100.7220 8,908,879 8,845,000 8,847,000 (87) 2.300 2.289 AO 50,859 102,283 05/25/2016 04/01/2019

654740-AR-0 NISSAN MOTOR ACCEPTANCE SERIES 144A 1FE 14,998,650 98.4460 14,766,930 15,000,000 14,998,785 135 1.550 1.553 MS 69,104 09/07/2016 09/13/2019

664675-AD-7 NORTHEASTERN UNIVERSITY 1FE 1,000,000 100.8110 1,008,109 1,000,000 1,000,000 2.722 2.722 MS 9,073 27,220 01/10/2014 03/01/2019

68389X-BB-0 ORACLE CORP 2 1FE 4,982,400 99.2000 4,959,985 5,000,000 4,986,562 2,509 2.500 2.555 MN 15,972 125,000 04/28/2015 05/15/2022

68389X-BK-0 ORACLE CORP 2 1FE 9,982,600 97.6260 9,762,610 10,000,000 9,984,234 1,634 1.900 1.935 MS 91,833 06/29/2016 09/15/2021

693506-BH-9 PPG INDUSTRIES INC 2 1FE 10,979,908 100.4390 11,073,422 11,025,000 10,999,163 9,023 2.300 2.387 MN 32,401 253,575 11/06/2014 11/15/2019

69352P-AG-8 PPL CAPITAL FUNDING INC 2 2FE 2,216,679 99.9610 2,224,134 2,225,000 2,219,666 2,987 1.900 2.074 JD 3,523 42,275 03/15/2016 06/01/2018

69353R-DZ-8 PNC BANK NA 2 1FE 7,557,900 100.8740 7,565,543 7,500,000 7,532,131 (11,879) 2.400 2.232 AO 36,500 180,000 10/27/2014 10/18/2019

69353R-EZ-7 PNC BANK NA SERIES BKNT 2 1FE 9,991,800 99.7980 9,979,830 10,000,000 9,992,059 259 1.700 1.742 JD 10,389 12/06/2016 12/07/2018

74153W-CD-9 PRICOA GLOBAL FUNDING 1 SERIES 144A 1FE 5,000,000 100.2870 5,014,340 5,000,000 5,000,000 2.200 2.200 MN 13,750 110,000 05/13/2014 05/16/2019

74153W-CH-0 PRICOA GLOBAL FUNDING 1 SERIES 144A 1FE 9,985,900 98.1340 9,813,420 10,000,000 9,987,537 1,637 2.200 2.230 JD 17,111 110,000 05/26/2016 06/03/2021

74256L-AR-0 PRINCIPAL LFE GLB FND II SERIES 144A 1FE 3,987,520 98.7190 3,948,760 4,000,000 3,990,460 2,940 1.500 1.607 AO 12,167 30,000 04/11/2016 04/18/2019

74368C-AB-0 PROTECTIVE LIFE GLOBAL SERIES 144A 1FE 10,000,000 99.1760 9,917,570 10,000,000 10,000,000 1.722 1.722 AO 36,353 86,100 04/12/2016 04/15/2019

744573-AJ-5 PUBLIC SERVICE ENTERPRISE GROU 2FE 9,988,300 98.5510 9,855,080 10,000,000 9,988,873 573 1.600 1.640 MN 23,556 11/03/2016 11/15/2019

7591EP-AK-6 REGIONS FINANCIAL CORP 2 2FE 10,126,900 101.3340 10,133,380 10,000,000 10,109,517 (17,383) 3.200 2.906 FA 127,111 160,000 05/10/2016 02/08/2021

772739-AJ-7 ROCK-TENN CO 2FE 2,143,400 104.3090 2,086,180 2,000,000 2,060,928 (28,263) 4.450 2.923 MS 29,667 89,000 01/24/2014 03/01/2019

78355H-JW-0 RYDER SYSTEM INC 2 2FE 1,997,600 100.7280 2,014,554 2,000,000 1,998,900 457 2.550 2.575 JD 4,250 51,000 02/18/2014 06/01/2019

78355H-JX-8 RYDER SYSTEM INC SERIES MTN 2 2FE 8,979,660 100.5090 9,045,846 9,000,000 8,989,809 3,826 2.450 2.496 MS 73,500 220,500 05/01/2014 09/03/2019

78355H-JY-6 RYDER SYSTEM INC SER MTN 2 2FE 3,997,360 100.5240 4,020,976 4,000,000 3,998,335 527 2.650 2.664 MS 35,039 106,000 02/17/2015 03/02/2020

78355H-JZ-3 RYDER SYSTEM INC SERIES MTN 2 2FE 6,482,125 99.4860 6,466,590 6,500,000 6,488,005 3,581 2.500 2.559 MN 22,569 162,500 05/04/2015 05/11/2020

E10.4





Code

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797440-BT-0 SAN DIEGO GAS & ELECTRIC CO SERIES PPP 4 1FE 5,175,838 98.7280 5,139,154 5,205,366 5,180,015 4,177 1.914 2.101 FA 41,513 77,893 02/25/2016 02/01/2022

80282K-AH-9 SANTANDER HOLDINGS USA 2FE 14,997,000 99.8830 14,982,450 15,000,000 14,997,604 604 2.700 2.707 MN 41,625 200,250 05/23/2016 05/24/2019

816851-AZ-2 SEMPRA ENERGY 2FE 7,467,376 98.6640 7,375,097 7,475,000 7,467,974 599 1.625 1.660 AO 28,343 10/04/2016 10/07/2019

828807-CM-7 SIMON PROPERTY GROUP LP SERIES 144A 2 1FE 4,012,440 99.9430 3,997,712 4,000,000 4,002,307 (2,778) 1.500 1.428 FA 25,000 60,000 05/02/2013 02/01/2018

842400-GC-1 SOUTHERN CAL EDISON 1FE 2,994,480 100.0070 3,000,207 3,000,000 2,998,460 1,854 1.250 1.313 MN 6,250 37,500 11/04/2014 11/01/2017

842400-GF-4 SOUTHERN CAL EDISON 4 1FE 11,739,879 98.3210 11,587,797 11,785,715 11,746,363 6,484 1.845 1.972 FA 90,603 183,347 02/25/2016 02/01/2022

842587-CK-1 SOUTHERN CO 2FE 3,485,405 99.9460 3,498,114 3,500,000 3,493,545 8,140 1.300 1.603 FA 17,189 22,750 03/17/2016 08/15/2017

842587-CQ-8 SOUTHERN CO 2FE 10,498,005 99.6470 10,462,977 10,500,000 10,498,396 391 1.850 1.856 JJ 117,090 05/19/2016 07/01/2019

843646-AS-9 SOUTHERN POWER CO 2FE 19,995,000 98.9950 19,798,940 20,000,000 19,995,205 205 1.950 1.958 JD 48,750 11/10/2016 12/15/2019

863667-AK-7 STRYKER CORP 1FE 5,743,330 100.0260 5,751,478 5,750,000 5,745,142 1,812 2.000 2.040 MS 36,097 56,861 03/03/2016 03/08/2019

87165B-AE-3 SYNCHRONY FINANCIAL 2 2FE 2,245,298 99.6490 2,242,100 2,250,000 2,247,097 942 2.700 2.745 FA 24,975 60,750 01/26/2015 02/03/2020

871829-BB-2 SYSCO CORP 2FE 5,920,215 99.6490 5,879,309 5,900,000 5,916,305 (3,910) 1.900 1.773 AO 28,025 56,050 06/08/2016 04/01/2019

87305Q-CK-5 TTX CO SERIES 144A 2 1FE 15,999,200 99.5020 15,920,288 16,000,000 15,999,450 160 2.600 2.601 JD 18,489 416,000 06/01/2015 06/15/2020

87305Q-CL-3 TTX CO SERIES 144A 1FE 9,987,100 99.9200 9,992,040 10,000,000 9,991,140 4,040 2.250 2.294 FA 93,750 119,375 01/12/2016 02/01/2019

88224L-AC-2 TEXAS CHILDRENS HOSPITAL 1FE 1,500,000 99.5530 1,493,301 1,500,000 1,500,000 1.305 1.305 AO 4,894 19,575 12/09/2014 10/01/2017

88224L-AD-0 TEXAS CHILDRENS HOSPITAL 1FE 3,500,000 99.0140 3,465,480 3,500,000 3,500,000 1.725 1.725 AO 15,094 60,375 12/09/2014 10/01/2018

88224L-AE-8 TEXAS CHILDRENS HOSPITAL 1FE 2,000,000 99.1370 1,982,730 2,000,000 2,000,000 2.075 2.075 AO 10,375 41,500 12/09/2014 10/01/2019

883556-BL-5 THERMO FISHER SCIENTIFIC 2FE 13,940,144 100.4380 13,970,940 13,910,000 13,934,589 (5,563) 2.150 2.056 JD 13,292 282,833 07/19/2016 12/14/2018

90331H-MY-6 US BANK NA CINCINNATI SERIES BKNT 2 1FE 4,487,490 98.8730 4,449,281 4,500,000 4,490,346 2,856 1.400 1.495 AO 11,375 31,500 04/21/2016 04/26/2019

92343V-CH-5 VERIZON COMMUNICATIONS INC 2FE 5,186,736 100.8950 5,219,288 5,173,000 5,181,707 (2,781) 2.625 2.567 FA 49,036 135,791 03/11/2015 02/21/2020

928668-AK-8 VOLKSWAGEN GROUP AMERICA SERIES 144A 2FE 14,981,250 99.4420 14,916,345 15,000,000 14,991,344 6,261 1.650 1.693 MN 26,813 247,500 05/19/2015 05/22/2018

949746-SA-0 WELLS FARGO & CO 1FE 9,990,600 97.2160 9,721,580 10,000,000 9,991,423 823 2.100 2.120 JJ 91,000 07/18/2016 07/26/2021

94974B-FD-7 WELLS FARGO & COMPANY SERIES MTN 1FE 5,057,300 100.2820 5,014,095 5,000,000 5,015,516 (41,784) 2.100 1.199 MN 15,458 105,000 01/20/2016 05/08/2017

94988J-5A-1 WELLS FARGO BANK NA SERIES BKNT 1FE 5,500,295 99.9900 5,499,450 5,500,000 5,500,201 (94) 1.650 1.646 JJ 40,081 43,610 03/16/2016 01/22/2018

06367T-JW-1 BANK OF MONTREAL SERIES MTN A 1FE 2,999,880 99.5080 2,985,246 3,000,000 2,999,901 21 1.350 1.352 FA 13,725 08/24/2016 08/28/2018

06367T-JX-9 BANK OF MONTREAL SERIES MTN A 1FE 14,971,650 96.9320 14,539,845 15,000,000 14,973,593 1,943 1.900 1.940 FA 96,583 08/24/2016 08/27/2021

06367T-PX-2 BANK OF MONTREAL SERIES MTN A 1FE 8,346,410 99.9380 8,344,856 8,350,000 8,346,475 66 2.100 2.115 JD 9,255 12/07/2016 12/12/2019

064159-CU-8 BANK OF NOVA SCOTIA A 1FE 1,512,825 100.3820 1,505,732 1,500,000 1,512,082 (743) 2.050 1.601 AO 5,210 11/16/2016 10/30/2018

064159-HT-6 BANK OF NOVA SCOTIA A 1FE 13,513,990 99.0420 13,370,603 13,500,000 13,511,848 (2,142) 1.650 1.613 JD 10,519 111,375 07/19/2016 06/14/2019

06416C-AA-6 BANK OF NOVA SCOTIA A 1FE 3,999,640 100.4630 4,018,512 4,000,000 3,999,806 72 2.125 2.127 MS 25,972 85,000 09/04/2014 09/11/2019

349553-AJ-6 FORTIS INC SERIES 144A A 2 2FE 5,086,995 96.5590 4,924,504 5,100,000 5,087,629 634 2.100 2.154 AO 25,883 09/29/2016 10/04/2021

633067-D3-4 NATIONAL BANK OF CANADA SERIES 144A A 1FE 4,997,200 99.7050 4,985,245 5,000,000 4,998,789 935 1.400 1.419 AO 13,806 70,000 04/13/2015 04/20/2018

63307A-2C-8 NATIONAL BANK OF CANADA SERIES BKNT A 1FE 9,993,300 100.4000 10,039,970 10,000,000 9,995,647 2,237 2.100 2.123 JD 9,917 210,000 12/07/2015 12/14/2018

780082-AC-7 ROYAL BANK OF CANADA A 1FE 5,998,020 99.4890 5,969,340 6,000,000 5,998,502 397 2.100 2.107 AO 26,950 126,000 10/06/2015 10/14/2020

78012K-RK-5 ROYAL BANK OF CANADA A 1FE 14,982,900 98.6910 14,803,710 15,000,000 14,985,336 2,436 1.500 1.539 JJ 95,000 07/25/2016 07/29/2019

884903-BU-8 THOMSON REUTERS CORP A 2FE 3,993,120 100.1080 4,004,312 4,000,000 3,998,299 2,298 1.650 1.709 AO 13,933 66,000 09/22/2014 09/29/2017

00084D-AJ-9 ABN AMRO BANK NV SERIES 144A D 1FE 6,990,200 99.4070 6,958,455 7,000,000 6,992,530 2,187 2.450 2.483 JD 12,863 171,500 12/01/2015 06/04/2020

00084D-AK-6 ABN AMRO BANK NV SERIES 144A D 1FE 4,996,950 99.7550 4,987,740 5,000,000 4,998,556 1,019 1.800 1.821 JD 6,750 90,000 05/28/2015 06/04/2018

00084D-AM-2 ABN AMRO BANK NV SERIES 144A D 1FE 9,986,600 98.5490 9,854,860 10,000,000 9,987,860 1,260 1.800 1.846 MS 50,500 09/13/2016 09/20/2019

00182E-AV-1 ANZ NEW ZEALAND INTL SERIES 144A D 1FE 3,997,400 100.7980 4,031,924 4,000,000 3,998,583 521 2.600 2.614 MS 28,311 104,000 09/16/2014 09/23/2019

00182E-BA-6 ANZ NEW ZEALAND INTL SERIES 144A D 1FE 8,891,990 97.2040 8,651,192 8,900,000 8,892,679 689 2.125 2.144 JJ 80,378 07/21/2016 07/28/2021

01609W-AC-6 ALIBABA GROUP HOLDING LTD SERIES WI D 2 1FE 9,969,373 100.4530 10,045,250 10,000,000 9,977,804 7,657 2.500 2.581 MN 22,917 250,000 11/25/2015 11/28/2019

05253J-AC-5 AUST & NZ BANKING GRP NY D 1FE 4,997,100 99.5320 4,976,600 5,000,000 4,999,208 581 1.450 1.462 MN 9,264 72,500 05/09/2013 05/15/2018

05253J-AH-4 AUST & NZ BANKING GRP NY SERIES GMTN D 1FE 2,497,375 99.9190 2,497,985 2,500,000 2,499,090 877 1.500 1.536 JJ 17,188 37,500 01/12/2015 01/16/2018

05253J-AP-6 AUST & NZ BANKING GRP NY D 1FE 5,997,300 99.5490 5,972,928 6,000,000 5,997,402 102 2.050 2.067 MS 12,983 11/16/2016 09/23/2019

05565Q-CC-0 BP CAPITAL MARKETS PLC D 1FE 3,001,800 99.9380 2,998,125 3,000,000 3,001,373 (427) 1.375 1.320 MN 6,302 20,625 09/22/2016 11/06/2017

05565Q-CE-6 BP CAPITAL MARKETS PLC D 1FE 4,986,050 99.6770 4,983,845 5,000,000 4,996,226 2,796 1.375 1.433 MN 9,740 68,750 05/07/2013 05/10/2018

05954T-AK-7 BANCO DE CREDITO DEL PER SERIES 144A D 2FE 3,142,393 98.7500 3,110,625 3,150,000 3,142,866 473 2.250 2.334 AO 12,994 10/21/2016 10/25/2019

064255-AU-6 BK TOKYO MITSUBISHI UFJ SERIES 144A D 1FE 5,023,640 100.0020 5,000,075 5,000,000 5,020,597 (4,783) 2.300 2.105 MS 35,458 92,000 06/08/2016 03/10/2019

064255-BA-9 BK TOKYO MITSUBISHI UFJ SERIES 144A D 1FE 1,997,600 99.9550 1,999,096 2,000,000 1,999,453 801 1.450 1.491 MS 9,103 29,000 09/02/2014 09/08/2017

064255-BC-5 BK TOKYO MITSUBISHI UFJ SERIES 144A D 1FE 2,499,175 99.9070 2,497,670 2,500,000 2,499,557 165 2.350 2.357 MS 18,441 58,750 09/02/2014 09/08/2019

06538P-AA-0 BK TOKYO-MITSUBISHI UFJ SERIES 144A D 1FE 12,006,700 100.0640 12,007,716 12,000,000 12,007,362 374 2.150 2.113 MS 76,683 215,000 11/16/2016 09/14/2018

111013-AM-0 BRITISH SKY BROADCASTING SERIES 144A D 2FE 3,120,344 100.3610 3,136,284 3,125,000 3,122,481 933 2.625 2.657 MS 23,926 82,031 09/09/2014 09/16/2019

12563T-AA-8 CK HUTCHISON INTL 16 LTD SERIES 144A D 1FE 9,934,200 95.6700 9,566,990 10,000,000 9,937,443 3,243 1.875 2.014 AO 45,833 09/28/2016 10/03/2021

20271R-AD-2 COMMONWEALTH BK AUSTR NY D 1FE 2,029,840 101.1150 2,022,298 2,000,000 2,020,205 (9,635) 2.500 1.894 MS 14,028 50,000 03/03/2016 09/20/2018

20271R-AF-7 COMMONWEALTH BK AUSTR NY D 1FE 2,999,850 100.3470 3,010,407 3,000,000 2,999,934 30 2.250 2.251 MS 20,250 67,500 03/05/2014 03/13/2019

20271R-AN-0 COMMONWEALTH BK AUSTR NY SERIES MTN D 1FE 9,987,000 99.8470 9,984,670 10,000,000 9,990,467 3,467 2.050 2.095 MS 60,361 102,500 03/08/2016 03/15/2019

E10.5





Code

Foreign

BondChar

NAICDes.

ActualCost

Rate Used to Obtain

Fair Value

FairValue

ParValue


Value


(Decrease)


Accretion



TotalForeign

ExchangeChange

inBook/

AdjustedCarrying

ValueRate

of

EffectiveRate

ofWhenPaid


Amount Received


StatedContractual

MaturityDate

2027A0-HZ-5 COMMONWEALTH BANK AUST SERIES 144A D 1FE 9,986,900 99.1180 9,911,790 10,000,000 9,987,558 658 1.750 1.795 MN 26,250 10/25/2016 11/07/2019

21987B-AP-3 CODELCO INC SERIES 144A D 1FE 5,356,250 101.9020 5,095,120 5,000,000 5,324,314 (31,936) 3.875 2.436 MN 31,215 96,875 07/06/2016 11/03/2021

22546Q-AN-7 CREDIT SUISSE NEW YORK SERIES GMTN D 1FE 3,492,790 100.2190 3,507,672 3,500,000 3,496,537 1,445 2.300 2.344 MN 7,379 80,500 05/22/2014 05/28/2019

22546Q-AT-4 CREDIT SUISSE NEW YORK D 1FE 6,995,940 99.7900 6,985,293 7,000,000 6,998,544 1,356 1.750 1.770 JJ 51,722 122,500 01/26/2015 01/29/2018

22546Q-AV-9 CREDIT SUISSE NEW YORK D 1FE 9,989,000 99.7650 9,976,540 10,000,000 9,995,164 3,680 1.700 1.738 AO 30,222 170,000 04/24/2015 04/27/2018

25152R-YD-9 DEUTSCHE BANK AG LONDON D 1FE 9,988,100 99.4140 9,941,430 10,000,000 9,995,570 3,974 1.875 1.916 FA 71,875 187,500 02/10/2015 02/13/2018

268317-AN-4 ELECTRICITE DE FRANCE SERIES 144A D 1FE 7,932,400 98.9680 7,917,424 8,000,000 7,948,902 13,542 2.350 2.531 AO 40,733 188,000 10/07/2015 10/13/2020

302154-CB-3 EXPORT-IMPORT BK KOREA D 1FE 7,989,280 99.5240 7,961,896 8,000,000 7,991,434 2,154 1.750 1.796 MN 13,611 70,000 05/18/2016 05/26/2019

404280-BF-5 HSBC HOLDINGS PLC D 1FE 15,089,116 97.7530 14,809,640 15,150,000 15,090,892 1,776 2.650 2.732 JJ 95,908 11/02/2016 01/05/2022

44987C-AE-8 ING BANK NV SERIES 144A D 1FE 14,990,850 100.0650 15,009,780 15,000,000 14,995,049 3,056 2.050 2.071 FA 114,458 307,500 08/10/2015 08/17/2018

44987C-AJ-7 ING BANK NV SERIES 144A D 1FE 14,960,400 99.9400 14,990,970 15,000,000 14,974,970 13,200 2.000 2.091 MN 29,167 301,667 11/17/2015 11/26/2018

456873-AA-6 INGERSOLL RAND LUX FINAN D 2 2FE 2,323,466 100.1550 2,328,611 2,325,000 2,324,073 279 2.625 2.638 MN 10,172 61,031 10/23/2014 05/01/2020

55608J-AF-5 MACQUARIE GROUP LTD SERIES 144A D 1FE 6,972,000 101.4680 7,102,753 7,000,000 6,989,251 5,612 3.000 3.087 JD 16,333 210,000 11/25/2013 12/03/2018

55608P-AE-4 MACQUARIE BANK LTD SERIES 144A D 1FE 1,999,820 100.0820 2,001,640 2,000,000 1,999,987 60 1.650 1.653 MS 8,892 33,000 03/18/2014 03/24/2017

55608P-AH-7 MACQUARIE BANK LTD SERIES 144A D 1FE 3,123,094 100.6540 3,145,447 3,125,000 3,124,056 382 2.600 2.613 JD 1,580 81,250 06/16/2014 06/24/2019

55608P-AK-0 MACQUARIE BANK LTD SERIES 144A D 1FE 749,543 99.9880 749,909 750,000 749,875 153 1.600 1.621 AO 2,133 12,000 10/22/2014 10/27/2017

606822-AG-9 MITSUBISHI UFJ FIN GRP D 1FE 10,000,000 97.1540 9,715,430 10,000,000 10,000,000 2.190 2.190 MS 65,700 09/06/2016 09/13/2021

60682V-AA-8 MITSUBISHI UFJ TR & BANK SERIES 144A D 1FE 999,330 99.9110 999,106 1,000,000 999,824 224 1.600 1.623 AO 3,333 16,000 10/09/2014 10/16/2017

60687Y-AE-9 MIZUHO FINANCIAL GROUP D 1FE 6,000,000 97.0100 5,820,612 6,000,000 6,000,000 2.273 2.273 MS 40,914 09/07/2016 09/13/2021

60688Q-AP-0 MIZUHO CORP BANK LLC SERIES 144A D 1FE 2,296,826 99.8130 2,295,692 2,300,000 2,299,228 636 1.850 1.879 MS 11,819 42,550 03/14/2013 03/21/2018

60688X-AA-8 MIZUHO BANK LTD SERIES 144A D 1FE 2,995,680 99.9850 2,999,547 3,000,000 2,999,586 1,443 1.300 1.349 AO 8,125 39,000 04/09/2014 04/16/2017

60688X-AC-4 MIZUHO BANK LTD SERIES 144A D 1FE 4,991,100 100.3840 5,019,220 5,000,000 4,995,930 1,784 2.450 2.488 AO 25,521 122,500 04/09/2014 04/16/2019

60688X-AV-2 MIZUHO BANK LTD SERIES 144A D 1FE 5,996,520 100.0750 6,004,512 6,000,000 5,997,914 1,162 2.150 2.170 AO 25,442 129,000 10/13/2015 10/20/2018

60920L-AA-2 MONDELEZ INTL HLDINGS NE SERIES 144A D 2 2FE 12,971,920 97.9820 12,737,595 13,000,000 12,973,587 1,667 1.625 1.699 AO 36,969 10/19/2016 10/28/2019

60920L-AC-8 MONDELEZ INTL HLDINGS NE SERIES 144A D 2 2FE 9,963,100 95.7110 9,571,090 10,000,000 9,964,414 1,314 2.000 2.078 AO 35,000 10/19/2016 10/28/2021

63253W-AA-9 NATIONAL AUSTRALIA BANK SERIES 144A D 1FE 4,018,400 100.3240 4,012,960 4,000,000 4,015,640 (2,760) 2.000 1.158 JD 2,444 40,000 11/29/2016 06/20/2017

63254A-AQ-1 NATIONAL AUSTRALIA BK LT D 1FE 4,982,600 98.2750 4,913,745 5,000,000 4,985,349 2,749 1.375 1.494 JJ 32,274 07/05/2016 07/12/2019

6325C0-DB-4 NATIONAL AUSTRALIA BANK SERIES 144A D 1FE 5,745,975 100.7470 5,792,976 5,750,000 5,747,637 807 2.400 2.415 JD 8,433 138,000 12/02/2014 12/09/2019

65557C-AL-7 NORDEA BANK AB SERIES 144A D 1FE 3,982,800 100.6310 4,025,220 4,000,000 3,992,248 3,448 2.375 2.467 AO 22,958 95,000 03/31/2014 04/04/2019

65557C-AQ-6 NORDEA BANK AB SERIES 144A D 1FE 1,994,440 99.9320 1,998,648 2,000,000 1,996,834 1,857 1.875 1.971 MS 10,833 37,500 09/09/2015 09/17/2018

65557F-AG-1 NORDEA BANK AE SERIES 144A D 1FE 5,000,000 99.7450 4,987,255 5,000,000 5,000,000 1.625 1.625 MN 10,382 81,250 05/07/2013 05/15/2018

71654Q-BQ-4 PETROLEOS MEXICANOS SERIES WI D 2FE 2,104,300 99.1500 2,181,300 2,200,000 2,133,303 29,003 3.125 4.719 JJ 30,174 34,375 02/04/2016 01/23/2019

71656L-BH-3 PETROLEOS MEXICANOS SERIES 144A D 2FE 3,000,000 103.5890 3,107,670 3,000,000 3,000,000 5.500 5.500 FA 67,375 82,500 01/28/2016 02/04/2019

78440P-AD-0 SK TELECOM CO LTD SERIES 144A D 1FE 2,476,460 99.9750 2,449,383 2,450,000 2,457,074 (5,339) 2.125 1.896 MN 8,677 52,063 05/08/2013 05/01/2018

80281L-AE-5 SANTANDER UK GROUP HLDGS D 2FE 11,984,520 97.7000 11,724,036 12,000,000 11,985,783 1,263 2.875 2.903 FA 139,917 08/01/2016 08/05/2021

80283L-AD-5 SANTANDER UK PLC D 1FE 2,498,907 100.1020 2,502,560 2,500,000 2,499,388 481 1.650 1.683 MS 10,542 20,625 06/01/2016 09/29/2017

80283L-AK-9 SANTANDER UK PLC D 1FE 4,991,889 100.5460 5,027,295 5,000,000 4,993,591 1,702 2.500 2.560 MS 37,153 62,500 06/01/2016 03/14/2019

82481L-AA-7 SHIRE ACQ INV IRELAND DA D 2FE 19,983,800 98.6860 19,737,180 20,000,000 19,985,279 1,479 1.900 1.928 MS 103,444 09/19/2016 09/23/2019

865622-BG-8 SUMITOMO MITSUI BANKING D 1FE 3,495,590 100.5120 3,517,934 3,500,000 3,498,215 884 2.450 2.477 JJ 40,731 85,750 01/07/2014 01/10/2019

865622-BM-5 SUMITOMO MITSUI BANKING SERIES MTN D 1FE 6,986,210 99.8400 6,988,814 7,000,000 6,993,045 2,764 2.250 2.292 JJ 74,375 157,500 07/08/2014 07/11/2019

865622-BQ-6 SUMITOMO MITSUI BANKING D 1FE 1,999,120 99.9170 1,998,344 2,000,000 1,999,695 294 1.750 1.765 JJ 16,042 35,000 01/08/2015 01/16/2018

865622-CC-6 SUMITOMO MITSUI BANKING D 1FE 11,000,000 99.5640 10,951,985 11,000,000 11,000,000 1.762 1.762 AO 38,764 10/11/2016 10/19/2018

86562M-AB-6 SUMITOMO MITSUI FINL GRP D 1FE 5,000,000 100.4390 5,021,970 5,000,000 5,000,000 2.934 2.934 MS 45,640 73,350 03/02/2016 03/09/2021

86562M-AE-0 SUMITOMO MITSUI FINANCIAL GROU SERIES 5FXD D 1FE 8,000,000 96.6310 7,730,440 8,000,000 8,000,000 2.058 2.058 JJ 76,375 07/07/2016 07/14/2021

86563V-AA-7 SUMITOMO MITSUI TR BK LT SERIES 144A D 1FE 3,992,600 99.6020 3,984,088 4,000,000 3,998,172 1,483 1.800 1.839 MS 18,600 72,000 03/21/2013 03/28/2018

86563V-AG-4 SUMITOMO MITSUI TR BK LT SERIES 144A D 1FE 14,991,750 99.1020 14,865,225 15,000,000 14,992,315 565 2.050 2.069 AO 62,354 10/12/2016 10/18/2019

872882-AC-9 TSMC GLOBAL LTD SERIES 144A D 1FE 9,355,339 99.5960 9,436,712 9,475,000 9,436,572 30,776 1.625 1.964 AO 37,637 153,969 05/28/2015 04/03/2018

88167A-AA-9 TEVA PHARMACEUTICALS NE D 2FE 4,995,700 99.1680 4,958,400 5,000,000 4,996,667 967 1.400 1.444 JJ 31,111 07/18/2016 07/20/2018

88167A-AB-7 TEVA PHARMACEUTICALS NE D 2FE 9,224,170 98.2100 9,059,836 9,225,000 9,224,294 125 1.700 1.703 JJ 69,700 07/18/2016 07/19/2019

902133-AN-7 TYCO ELECTRONICS GROUP S D 2 1FE 7,362,482 100.9440 7,469,878 7,400,000 7,385,484 7,431 2.375 2.482 JD 6,835 175,750 11/20/2013 12/17/2018

961214-CM-3 WESTPAC BANKING CORP D 1FE 6,492,070 99.7580 6,484,238 6,500,000 6,496,314 2,651 1.550 1.592 MN 10,075 100,750 05/18/2015 05/25/2018

961214-CY-7 WESTPAC BANKING CORP D 1FE 14,997,300 98.7640 14,814,600 15,000,000 14,997,633 333 1.600 1.606 FA 88,000 08/11/2016 08/19/2019

3299999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) - Issuer Obligations 1,943,381,881 XXX 1,933,839,753 1,943,675,081 1,943,443,037 (30,696) XXX XXX XXX 10,049,572 24,049,425 XXX XXX

81744V-AA-0 SEQUOIA MORTGAGE TRUST SERIES 2012-4 CLASS A1 4 1FM 864,535 100.9800 836,037 827,926 856,585 (1,819) 3.500 3.056 MON 2,415 28,977 09/14/2012 09/25/2042

81745F-AA-4 SEQUOIA MORTGAGE TRUST SERIES 2012-3 CLASS A1 4 1FM 1,608,698 99.7420 1,560,658 1,564,691 1,594,253 (3,178) 3.500 3.118 MON 4,564 54,764 06/25/2012 07/25/2042

E10.6





Code

Foreign

BondChar

NAICDes.

ActualCost

Rate Used to Obtain

Fair Value

FairValue

ParValue


Value


(Decrease)


Accretion



TotalForeign

ExchangeChange

inBook/

AdjustedCarrying

ValueRate

of

EffectiveRate

ofWhenPaid


Amount Received


StatedContractual

MaturityDate

3399999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) - Residential Mortgage-Backed Securities 2,473,233 XXX 2,396,695 2,392,617 2,450,838 (4,997) XXX XXX XXX 6,979 83,741 XXX XXX

12515A-BA-7

CD COMMERCIAL MORTGAGE TRUST C Commercial Mortgage

Trust 4 1FE 3,999,910 99.5390 3,981,542 4,000,000 4,000,000 90 1.848 1.848 MON 6,160 11/18/2016 11/10/2049

12531Y-AJ-7

CFCRE COMMERCIAL MORTGAGE TRUS SERIES 2016-C4

CLASS A1 4 1FE 8,986,146 99.1200 8,907,162 8,986,262 8,985,225 (920) 1.501 1.492 MON 11,240 78,682 05/04/2016 05/10/2058

12532A-AW-9

CFCRE COMMERCIAL MORTGAGE TRUS SERIES 2016-C6

CLASS A1 4 1FM 4,940,064 98.6270 4,872,354 4,940,189 4,939,615 (449) 1.519 1.509 MON 6,253 6,253 11/01/2016 11/10/2049

12592X-AY-2

COMMERCIAL MORTGAGE PASS THROU SERIES 2015-CR22

CLASS A1 4 1FM 3,677,350 99.7280 3,667,409 3,677,408 3,676,201 (464) 1.569 1.568 MON 4,808 57,699 03/18/2015 03/10/2048

12624P-AC-9

COMMERCIAL MORTGAGE PASS THROU SERIES 2012-CR3

CLASS A2 4 1FM 4,944,330 100.1530 4,919,560 4,912,059 4,941,024 (1,593) 1.765 1.727 MON 7,225 88,590 05/07/2015 10/15/2045

12625F-AB-2 COMM MORTGAGE TRUST SERIES 2013-CR7 CLASS A2 4 1FM 3,462,298 100.4100 3,444,596 3,430,539 3,458,723 (1,361) 2.022 1.969 MON 5,780 71,428 10/01/2014 03/10/2046

126281-AW-4

CSAIL COMMERCIAL MORTGAGE TRUS SERIES 2015-C1

CLASS A1 4 1FM 6,134,831 99.8530 6,081,649 6,090,579 6,115,932 (11,037) 1.684 1.348 MON 8,547 102,565 04/22/2015 04/15/2050

12630B-AW-8 COMM MORTGAGE TRUST SERIES 2013-CR13 CLASS A1 4 1FE 2,147,523 99.8020 2,143,283 2,147,535 2,146,758 (126) 1.259 1.267 MON 2,253 27,037 12/13/2013 11/10/2018

12630D-AU-8 COMM MORTGAGE TRUST SERIES 2014-CR14 CLASS A1 4 1FM 2,393,926 99.9260 2,392,162 2,393,931 2,393,054 (163) 1.330 1.338 MON 2,653 31,839 01/09/2014 02/10/2047

12636M-AA-6 COLLATERALIZED MORTGAGE OBLIG 4 1FE 9,293,312 99.1880 9,217,884 9,293,321 9,293,321 9 1.493 0.000 MON 11,562 80,937 05/17/2016 01/15/2049

17290X-AQ-3

CITIGROUP COMMERCIAL MORTGAGE SERIES 2016-GC37

CLASS A1 4 1FM 5,686,701 99.3270 5,648,555 5,686,819 5,686,130 (571) 1.635 1.625 MON 7,748 61,986 04/13/2016 04/10/2049

17318U-AB-0


CLASS A2 4 1FM 7,428,880 100.1130 7,308,214 7,300,000 7,315,000 (38,245) 1.813 1.297 MON 11,029 132,349 01/15/2015 09/10/2045

17323Y-AA-7


CLASS A1 4 1FM 4,033,979 99.8030 4,026,108 4,034,067 4,032,904 (554) 1.637 1.635 MON 5,503 66,038 06/24/2015 06/10/2045

17325D-AA-1

CITIGROUP COMMERCIAL MORTGAGE SERIES 2016 P5 CLASS

A1 4 1FM 7,785,404 98.8240 7,693,887 7,785,478 7,785,269 (135) 1.410 1.399 MON 9,148 18,296 09/30/2016 10/10/2049

200474-AX-2 COMM MORTGAGE TRUST SERIES 2015-LC19 CLASS A1 4 1FM 5,077,258 99.5960 5,056,847 5,077,346 5,076,199 (422) 1.399 1.402 MON 5,919 71,032 01/26/2015 02/10/2048

20048E-AV-3 COMM MORTGAGE TRUST SERIES 2013-LC6 CLASS A2 4 1FM 7,209,771 100.3300 7,023,107 7,000,000 7,038,005 (44,019) 1.906 1.278 MON 11,118 133,420 01/24/2013 01/10/2046

20048E-AW-1 COMM MORTGAGE TRUST SERIES 2013-LC6 CLASS ASB 4 1FM 2,954,648 100.7410 3,022,229 3,000,000 2,967,032 4,911 2.478 2.868 MON 6,195 74,340 05/01/2014 01/10/2046

36192C-AB-1

GS MORTGAGE SECURITIES TRUST SERIES 2013-GC10

CLASS A2 4 1FM 5,641,283 100.2770 5,492,174 5,477,025 5,505,850 (34,914) 1.840 1.204 MON 8,398 100,777 01/24/2013 02/10/2046

36192L-AA-3 GS MTG SECS SERIES 2012-SHOP CLASS A 4 1FM 11,139,820 101.3670 10,851,337 10,705,000 10,874,302 (70,197) 2.933 2.259 MON 26,165 313,978 05/01/2013 06/05/2031

36197Q-AA-7 GSMS SERIES 2013-G1 CLASS A1 4 1FM 5,286,929 97.0500 5,080,218 5,234,656 5,273,045 (3,318) 2.059 1.952 MON 8,982 107,782 03/01/2013 04/10/2031

36250G-AL-9

GS MORTGAGE SECURITIES TRUST SERIES 2015-GC30

CLASS A1 4 1FE 6,220,163 99.4890 6,188,418 6,220,184 6,219,091 (539) 1.439 1.442 MON 7,459 89,508 05/15/2015 05/10/2050

36251P-AA-2

GS MORTGAGE SECURITIES TRUST SERIES 2016 GS3 CLASS

A1 4 1FE 4,818,126 98.8510 4,762,819 4,818,194 4,818,113 (12) 1.429 1.431 MON 5,738 17,213 09/22/2016 10/10/2049

46590L-AQ-5

JPMDB COMMERCIAL MORTGAGE SECU SERIES 2016-C2

CLASS A1 4 1FE 6,866,495 98.9490 6,794,316 6,866,509 6,865,584 (911) 1.423 1.404 MON 8,140 56,978 05/04/2016 06/15/2049

46590M-AN-0

JP MORGAN CHASE COMMERCIAL MOR SERIES 2016 JP2

CLASS A1 4 1FE 945,465 98.5110 934,305 948,429 945,631 166 1.324 1.446 MON 1,047 3,140 09/20/2016 08/15/2049

46590R-AA-7

JP MORGAN CHASE COMMERCIAL MOR SERIES 2016 JP3

CLASS A1 4 1FM 11,611,297 98.5250 11,440,038 11,611,332 11,610,953 (344) 1.462 1.443 MON 14,142 42,425 09/22/2016 08/15/2049

46637W-AC-7

JP MORGAN CHASE COMMERCIAL MOR SERIES 2012-CBX

CLASS A3 4 1FM 7,128,249 101.7580 6,991,535 6,870,754 7,108,992 (8,835) 3.139 2.886 MON 17,972 215,659 04/13/2015 06/15/2045

46639J-AB-6

JP MORGAN CHASE COMMERCIAL MOR SERIES 2013-C10

CLASS A2 4 1FM 4,841,020 100.4670 4,797,290 4,775,000 4,835,625 (2,503) 2.072 1.991 MON 8,244 98,933 05/08/2015 12/15/2047

46639N-AM-3

JPMBB COMMERCIAL MORTGAGE SECU SERIES 2013-C12

CLASS A2 4 1FM 2,257,702 100.9080 2,220,359 2,200,372 2,223,437 (17,687) 2.424 1.612 MON 4,445 64,132 01/20/2015 07/15/2045

46639Y-AM-9

JP MORGAN CHASE COMMERCIAL SERIES 2013-LC11 CLASS

A2 4 1FM 3,850,527 100.1790 3,841,118 3,834,244 3,837,870 (5,720) 1.855 1.720 MON 5,927 446,333 12/02/2014 04/15/2018

46644R-AW-5


CLASS A1 4 1FM 4,824,172 99.6230 4,805,979 4,824,182 4,823,173 (510) 1.626 1.628 MON 6,535 78,417 06/04/2015 05/15/2048

46645J-AA-0


CLASS A1 4 1FM 4,937,311 99.8610 4,930,461 4,937,316 4,935,817 (1,169) 1.898 1.881 MON 7,808 93,695 11/17/2015 12/15/2048

E10.7





Code

Foreign

BondChar

NAICDes.

ActualCost

Rate Used to Obtain

Fair Value

FairValue

ParValue


Value


(Decrease)


Accretion



TotalForeign

ExchangeChange

inBook/

AdjustedCarrying

ValueRate

of

EffectiveRate

ofWhenPaid


Amount Received


StatedContractual

MaturityDate

46646R-AG-8

JPMDB COMMERCIAL MORTGAGE SECU SERIES 2016-C4

CLASS A1 4 1FE 4,956,294 98.4160 4,877,768 4,956,294 4,956,294 1.536 1.516 MON 6,344 6,344 10/31/2016 12/15/2049

50180L-AC-4

LB UBC COMMERCIAL MORTGAGE SERIES 2008-C1 CLASS A2

4 1FM 8,845,439 103.6650 7,836,092 7,559,038 7,790,292 (254,388) 6.113 1.127 MON 25,670 471,064 04/15/2014 04/15/2041

55312T-AD-5

ML CFC COMMERCIAL MORTGAGE TRU SERIES 2007-6 CLASS

A4 4 1FM 1,314,395 100.2340 1,219,037 1,216,197 1,309,468 (2,208) 5.485 4.925 MON 5,559 66,708 12/02/2014 03/12/2051

59025W-AL-0

MERRILL LYNCH MORTGAGE TRUST SERIES 2008-C1 CLASS

AM 4 1FM 7,763,338 103.8900 6,934,625 6,675,000 6,939,317 (302,464) 6.263 2.028 MON 34,838 425,112 02/24/2014 02/12/2051

59025W-AM-8

MERRILL LYNCH MORTGAGE TRUST SERIES 2008-C1 CLASS

AMA 4 1FE 3,750,446 104.4900 3,267,404 3,127,000 3,609,687 (100,210) 6.263 5.104 MON 16,321 199,148 05/21/2013 02/12/2051

61690G-AA-9

MORGAN STANLEY BAML TRUST SERIES 2014-C14 CLASS A1

4 1FM 5,119,290 99.6490 5,101,435 5,119,399 5,117,092 (565) 1.250 1.248 MON 5,333 63,992 01/30/2014 02/15/2047

61691E-AW-5

MORGAN STANLEY CAPITAL I TRUST SERIES 2016-UB12

CLASS A1 4 1FE 2,999,993 99.5690 2,987,080 3,000,000 2,999,936 (58) 1.779 1.756 MON 4,448 11/22/2016 12/15/2049

61761A-AX-6 MORGAN STANLEY BAML TRUST SERIES 2012-C5 CLASS A2 4 1FM 1,248,942 100.1960 1,226,888 1,224,492 1,225,665 (5,207) 1.972 1.559 MON 2,012 26,372 07/13/2012 08/15/2045

61763B-AQ-7


4 1FM 906,822 99.8580 905,540 906,826 906,448 (75) 1.116 1.117 MON 843 10,120 11/26/2013 11/15/2046

61764R-BB-3

MORGAN STANLEY BANK OF AMERICA SERIES 2015-C20

CLASS A1 4 1FM 7,213,656 99.6040 7,185,251 7,213,820 7,211,059 (1,091) 1.405 1.397 MON 8,446 101,354 01/23/2015 02/15/2048

61764X-BE-4


4 1FM 710,634 99.6580 708,217 710,650 710,463 (70) 1.548 1.551 MON 917 11,001 02/13/2015 03/15/2048

61765D-AQ-1

MORGAN STANLEY CAPITAL I TRUST SERIES 2015-MS1

CLASS A1 4 1FE 3,861,609 99.8340 3,855,218 3,861,613 3,860,282 (729) 1.638 1.626 MON 5,271 63,253 06/25/2015 05/15/2048

61766E-BA-2


4 1FM 4,582,115 99.4710 4,557,883 4,582,124 4,581,851 (264) 1.597 1.599 MON 6,098 42,686 04/22/2016 05/15/2049

61767F-AW-1

MORGAN STANLEY CAPITAL I TRUST SERIES 2016 UB11

CLASS A1 4 1FM 4,552,124 98.8680 4,500,602 4,552,152 4,551,753 (370) 1.445 1.427 MON 5,482 21,926 08/12/2016 08/15/2049

67087M-AA-4 OBP DEPOSITOR LLC TRUST SERIES 2010 OBP CLASS A 4 1FM 4,651,719 106.2800 4,251,214 4,000,000 4,565,736 (24,097) 4.646 3.574 MON 15,487 185,848 05/06/2013 07/15/2045

90269C-AB-6

UBS BARCLAYS COMMERCIAL MORT SERIES 2012-C2 CLASS

A2 4 1FM 12,274,118 100.1080 12,065,254 12,052,242 12,079,672 (77,212) 2.113 1.480 MON 21,222 254,664 11/04/2014 05/10/2063

90270R-BB-9

UBS BARCLAYS COMMERICAIL MORTG SERIES 2012-C4

CLASS A2 4 1FM 10,175,252 100.1170 10,151,913 10,140,000 10,169,810 (2,133) 1.712 1.695 MON 14,466 173,587 11/12/2014 12/10/2045

92890N-AT-6

WF RBS COMMERCIAL MORT TRUST SERIES 2012-C10 CLASS

A2 4 1FM 3,074,913 100.1440 3,004,327 3,000,000 3,032,181 (11,135) 1.765 1.388 MON 4,413 52,950 11/30/2012 12/15/2045

92890P-AA-2

WF-RBS COMMERCIAL MORTGAGE TRU SERIES 2013-C14

CLASS A1 4 1FM 680,893 99.8960 680,203 680,911 680,672 (27) 0.836 0.841 MON 474 5,692 05/22/2013 06/15/2046

92936Y-AB-7 WF-RBS COMM MORTG TRUST SERIES 2012-C8 CLASS A2 4 1FM 1,499,070 100.1650 1,472,158 1,469,737 1,480,320 (4,282) 1.881 1.590 MON 2,304 38,761 07/20/2012 08/15/2045

92937E-AB-0

WFRBS COMMERCIAL MORTGAGE TRUS SERIES 2013-C11

CLASS A2 4 1FM 2,524,762 100.4160 2,498,305 2,487,944 2,521,382 (1,477) 2.029 1.935 MON 4,207 69,803 02/06/2015 03/15/2045

92938J-AA-0

WF- RBS COMMERICAL MORTGAGE TR SERIES 2013-UBS1

CLASS A-1 4 1FM 1,109,046 99.6260 1,104,909 1,109,058 1,108,590 (91) 1.122 1.123 MON 1,037 12,444 11/22/2013 11/15/2018

92978Q-CB-1

WACHOVIA BANK COMMERCIAL MORT SERIES 2007-C30

CLASS A5 4 1FM 1,604,313 99.8880 1,442,896 1,444,514 1,589,650 (4,660) 5.342 4.473 MON 6,430 77,166 11/18/2013 12/15/2043

92979F-AE-0

WACHOVIA BANK COMMERCIAL MORTG SER 2007-C34 CLASS

A1A 4 1FM 8,178,865 101.5500 7,756,401 7,638,033 7,759,290 (212,082) 5.608 0.179 MON 35,695 454,761 02/05/2015 05/15/2046

95000D-BA-8

WELLS FARGO COMMERCIAL MORTGAG SERIES 2016-C34

CLASS A1 4 1FM 4,628,501 98.7000 4,568,326 4,628,515 4,628,270 (231) 1.423 1.424 MON 5,489 38,420 05/10/2016 05/15/2049

95000H-BC-5

WELLS FARGO COMMERCIAL MORTGAG SERIES 2016 LC24

CLASS A1 4 1FM 11,478,845 99.0080 11,365,168 11,479,040 11,478,795 (50) 1.441 1.442 MON 13,784 41,353 09/14/2016 10/15/2049

95000K-AY-1

WELLS FARGO COMMERCIAL MORTGAG SERIES 2016 NXS6

CLASS A1 4 1FE 16,525,080 98.6860 16,308,305 16,525,476 16,525,010 (70) 1.417 1.418 MON 19,514 39,028 09/29/2016 11/15/2049

96221Q-AA-1


CLASS A-1 4 1FM 1,384,610 99.7360 1,380,956 1,384,617 1,384,007 (126) 1.191 1.192 MON 1,374 16,491 12/17/2013 11/15/2018

96221Q-AB-9


CLASS A2 4 1FM 4,614,466 102.1500 4,540,565 4,445,000 4,603,667 (5,526) 3.027 2.776 MON 11,213 134,550 02/17/2015 12/15/2046

E10.8





Code

Foreign

BondChar

NAICDes.

ActualCost

Rate Used to Obtain

Fair Value

FairValue

ParValue


Value


(Decrease)


Accretion



TotalForeign

ExchangeChange

inBook/

AdjustedCarrying

ValueRate

of

EffectiveRate

ofWhenPaid


Amount Received


StatedContractual

MaturityDate

3499999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) - Commercial Mortgage-Backed Securities 312,754,440 XXX 306,290,855 306,268,422 309,104,534 (1,252,440) XXX XXX XXX 538,834 5,936,059 XXX XXX

02005A-CS-5 ALLY MASTER OWNER TRUST SERIES 2012-4 CLASS A 4 1FE 7,083,164 100.2430 7,016,995 7,000,000 7,010,034 (19,246) 1.720 1.457 MON 5,351 120,400 02/12/2015 07/15/2019

02005A-CW-6 ALLY MASTER OWNER TRUST SERIES 2012-5 CLASS A 4 1FE 6,002,813 100.1390 6,008,331 6,000,000 5,999,787 (421) 1.540 1.550 MON 4,107 92,400 12/11/2013 09/15/2019

02005A-EB-0 ALLY MASTER OWNER TRUST SERIES 2014-3 CLASS A 4 1FE 3,000,938 100.0120 3,000,358 3,000,000 3,000,108 (829) 1.330 1.316 MON 1,773 36,575 01/28/2016 01/16/2018

02006V-AD-3

ALLY AUTO RECEIVABLES TRUST SERIES 2014-3 CLASS A4

4 1FE 1,999,541 100.2640 2,005,277 2,000,000 1,999,469 120 1.720 1.745 MON 1,529 34,400 12/10/2014 03/16/2020

03065J-AD-6

AMERICREDIT AUTOMOBILE RECEIVA SERIES 2014-4 CLASS

A3 4 1FE 5,954,756 99.9890 5,955,206 5,955,853 5,954,358 80 1.270 1.291 MON 4,833 75,639 11/13/2014 07/08/2019

05377R-AV-6

AVIS BUDGET RENTAL CAR FUNDIN SERIES 2011-A CLASS

A 4 1FE 2,204,648 100.1770 2,070,334 2,066,667 2,073,542 (36,624) 3.270 3.270 MON 2,065 67,580 12/11/2013 02/20/2018

05377R-AZ-7

AVIS BUDGET RENTAL CAR FUNDIN SERIES 2012- 2A

CLASS A 144A 4 1FE 2,017,874 100.2860 1,943,041 1,937,500 1,942,913 (23,697) 2.802 1.532 MON 1,659 54,289 12/09/2013 05/20/2017

05377R-CK-8

AVIS BUDGET RENTAL CAR FUNDIN SERIES 16-2A CLASS A

144A 4 1FE 7,998,995 97.8210 7,825,662 8,000,000 7,998,524 (471) 2.720 2.741 MON 6,649 120,284 05/24/2016 11/20/2022

065604-AC-4

BANK OF THE WEST AUTO TRUST SERIES 2014-1 CLASS A3

144A 4 1FE 3,247,212 99.9910 3,247,420 3,247,718 3,247,342 183 1.090 1.116 MON 1,573 35,400 11/05/2014 03/15/2019

06742L-AH-6

BARCLAYS DRYROCK ISSUANCE TRUS SERIES 2015-1 CLASS

A 4 1FE 3,337,254 100.3790 3,312,504 3,300,000 3,336,029 (1,225) 2.200 1.844 MON 3,227 6,050 11/17/2016 12/15/2022

06742L-AM-5

BARCLAYS DRYROCK ISSUANCE TRUS SERIES 2016 1 CLASS

A 4 1FE 11,192,875 99.0300 11,091,306 11,200,000 11,192,943 67 1.520 1.550 MON 7,566 55,100 11/17/2016 05/15/2022

12592Y-AE-4 CNH EQUIPMENT TRUST SERIES 2015-B CLASS A4 4 1FE 5,999,881 100.1400 6,008,409 6,000,000 5,998,902 (372) 1.890 1.904 MON 5,040 113,400 05/06/2015 04/15/2022

12613S-AD-4 CNH EQUIPMENT TRUST 2013-C SERIES 2013-C CLASS A4 4 1FE 3,790,430 100.2440 3,759,155 3,750,000 3,758,931 (11,578) 1.670 1.370 MON 2,783 62,625 04/15/2014 08/16/2021

12635Y-AE-3 CNH EQUIPMENT TRUST SERIES 16 C CLASS A4 4 1FE 5,449,690 98.3940 5,362,474 5,450,000 5,449,693 2 1.760 1.768 MON 4,263 22,381 09/13/2016 09/15/2023

126802-CA-3

CABELA'S MASTER CREDIT CARD SERIES 2012-IA CLASS

A1 144A 4 1FE 6,080,039 100.0660 6,003,944 6,000,000 6,003,058 (25,613) 1.630 1.215 MON 4,347 97,800 03/03/2014 02/18/2020

126802-DN-4

CABELA'S MASTER CREDIT CARD SERIES 2016 1 CLASS A1

4 1FE 14,997,675 99.6770 14,951,613 15,000,000 14,997,192 (483) 1.780 1.793 MON 11,867 123,117 06/23/2016 06/15/2022

139738-AE-8

CAPITAL AUTO RECEIVABLES ASSET SERIES 2015-2 CLASS

A4 4 1FE 6,999,796 100.2830 7,019,788 7,000,000 6,998,755 (331) 1.970 1.987 MON 4,214 137,900 05/13/2015 01/21/2020

13974M-AD-8

CAPITAL AUTO RECEIVABLES ASSET SERIES 16 2 CLASS

A4 4 1FE 2,499,441 98.8960 2,472,396 2,500,000 2,499,406 (35) 1.630 1.646 MON 1,245 16,979 07/12/2016 01/20/2021

13975G-AC-2


A-3 4 1FE 339,922 100.0060 340,008 339,988 339,913 16 1.320 1.351 MON 137 4,488 01/16/2014 06/20/2018

13975G-AD-0


A4 4 1FE 4,998,536 100.1230 5,006,163 5,000,000 4,998,347 253 1.690 1.729 MON 2,582 84,500 01/16/2014 10/22/2018

14041N-EP-2

CAPITAL ONE MULTI ASSET EXECUT SERIES 2014-A2

CLASS A2 4 1FE 6,018,516 100.0550 6,003,320 6,000,000 6,003,325 (15,190) 1.260 0.992 MON 3,360 69,300 01/29/2016 01/15/2020

14041N-ET-4


CLASS A 4 1FE 1,505,859 100.2030 1,503,048 1,500,000 1,501,376 (2,086) 1.480 1.353 MON 987 22,200 12/04/2014 07/15/2020

14041N-FA-4


CLASS A7 4 1FE 9,999,816 99.7730 9,977,302 10,000,000 9,999,004 (425) 1.450 1.460 MON 6,444 145,000 10/19/2015 08/16/2021

14041N-FG-1

CAPITAL ONE MULTI ASSET EXECUT SERIES 2016 A2

CLASS A5 4 1FE 8,997,327 97.0640 8,735,755 9,000,000 8,997,106 (221) 1.660 1.673 MON 6,640 45,650 08/18/2016 06/17/2024

14313L-AD-8

CARMAX AUTO OWNER TRUST 2013-1 SERIES 2013-1 CLASS

A4 4 1FE 767,181 99.9330 766,784 767,301 767,244 57 0.890 0.917 MON 304 6,829 03/03/2014 08/17/2018

14313N-AD-4

CARMAX AUTO OWNER TRUST 2013-3 SERIES 2013-3 CLASS

A4 4 1FE 1,494,465 100.1180 1,477,762 1,476,015 1,478,561 (5,274) 1.490 1.110 MON 977 21,993 03/03/2014 01/15/2019

14313P-AD-9 CARMAX AUTO OWNER TRUST SERIES 2013-4 CLASS A4 4 1FE 1,502,344 100.0300 1,500,449 1,500,000 1,500,474 (1,100) 1.280 1.217 MON 853 19,200 05/20/2015 05/15/2019

14313U-AC-0 CARMAX AUTO OWNER TRUST SERIES 2014-4 CLASS A3 4 1FE 8,061,017 99.9630 8,058,804 8,061,765 8,060,682 252 1.250 1.270 MON 4,479 100,772 11/05/2014 11/15/2019

161571-BT-0 CHASE ISSUANCE TRUST SERIES 2007-A3 CLASS A3 4 1FE 1,840,771 100.4630 1,773,168 1,765,000 1,819,410 (21,361) 5.230 2.590 MON 4,103 84,617 02/01/2016 04/15/2019

17305E-EE-1

CITIBANK CREDIT CARD ISSUANCE SERIES 2008-A1 CLASS

A1 4 1FE 4,775,625 104.3280 4,173,132 4,000,000 4,293,350 (134,961) 5.350 1.810 FA 85,600 214,000 05/06/2013 02/07/2020

17305E-FN-0


A2 4 1FE 6,003,750 99.9960 5,999,759 6,000,000 6,002,429 (1,321) 1.020 0.986 FA 21,930 61,200 01/29/2016 02/22/2019

E10.9





Code

Foreign

BondChar

NAICDes.

ActualCost

Rate Used to Obtain

Fair Value

FairValue

ParValue


Value


(Decrease)


Accretion



TotalForeign

ExchangeChange

inBook/

AdjustedCarrying

ValueRate

of

EffectiveRate

ofWhenPaid


Amount Received


StatedContractual

MaturityDate

17305E-FS-9


A6 4 1FE 10,017,403 100.7430 10,074,337 10,000,000 10,007,188 (4,101) 2.150 2.121 JJ 99,139 215,000 11/04/2014 07/15/2021

17305E-FU-4


A8 4 1FE 6,869,238 100.3740 6,859,535 6,834,000 6,846,608 (10,533) 1.730 1.582 AO 26,930 118,228 12/02/2014 04/09/2020

254683-AC-9

DISCOVER CARD MASTER TRUST SERIES 2007-A1 CLASS A1

4 1FE 8,251,250 103.0220 7,211,507 7,000,000 7,223,047 (313,807) 5.650 1.116 MON 17,578 395,500 03/03/2014 03/16/2020

254683-AY-1


4 1FE 1,478,027 99.5800 1,493,693 1,500,000 1,487,274 4,646 1.670 2.021 MON 1,113 25,050 12/04/2014 01/18/2022

254683-BJ-3


4 1FE 1,647,789 100.0330 1,644,546 1,644,000 1,646,792 (997) 1.220 1.101 MON 891 18,385 02/02/2016 10/15/2019

254683-BQ-7 DISCOVER CARD MASTER TRUST SERIES 2015-A3 CLASS A 4 1FE 10,998,547 99.8290 10,981,179 11,000,000 10,997,816 (332) 1.450 1.461 MON 7,089 159,500 09/30/2015 03/15/2021

29365K-AB-9 ENTERGY TEXAS RESTORATION SERIES 2009 CLASS A2 4 1FE 5,681,724 101.4650 5,461,432 5,382,580 5,490,802 (65,707) 3.650 1.243 FA 81,860 196,464 12/02/2014 08/01/2019

29366A-AA-2

ENTERGY LOUISIANA INV RECOVERY SERIES 2011-A CLASS

A1 4 1FE 3,876,946 99.0020 3,788,049 3,826,243 3,853,673 (6,046) 2.040 1.738 JD 6,505 78,055 12/02/2014 09/01/2023

34528Q-BP-8

FORD CREDIT FLOORPLAN MASTER SERIES 2012-2 CLASS A

4 1FE 9,525,146 100.0270 9,252,453 9,250,000 9,253,053 (79,242) 1.920 1.073 MON 7,893 177,600 11/20/2013 01/15/2019

34528Q-DE-1

FORD CREDIT FLOORPLAN MASTER SERIES 2014-1 CLASS

A1 4 1FE 9,082,083 100.0050 9,085,419 9,085,000 9,084,526 2,443 1.200 1.246 MON 4,845 99,935 01/28/2016 02/15/2019

34528Q-EU-4

FORD CREDIT FLOORPLAN MASTER SERIES 2016 3 CLASS

A1 4 1FE 4,999,139 98.9290 4,946,466 5,000,000 4,999,055 (83) 1.550 1.568 MON 3,444 29,924 07/19/2016 07/15/2021

34530P-AE-2

FORD CREDIT AUTO OWNER TRUST SERIES 2014-C CLASS

A4 122A 4 1FE 8,997,977 100.1110 9,009,991 9,000,000 8,997,598 380 1.560 1.595 MON 6,240 140,400 11/18/2014 02/15/2020

34530T-AE-4

FORD CREDIT AUTO LEASE TRUST SERIES 2015-A CLASS

A4 4 1FE 1,999,803 100.0410 2,000,818 2,000,000 1,999,794 75 1.310 1.328 MON 1,164 26,200 04/21/2015 08/15/2018

34530U-AA-9

FORD CREDIT AUTO OWNER TRUST/F SERIES 16-1 CLASS A

144A 4 1FE 11,996,742 99.7110 11,965,276 12,000,000 11,995,835 (907) 2.310 2.337 MON 12,320 222,530 02/23/2016 08/15/2027

36159J-DH-1 GE CAPITAL CARD MASTER NOTE SERIES 2012-6 CLASS A 4 1FE 4,519,512 100.0530 4,502,385 4,500,000 4,504,947 (8,299) 1.360 1.185 MON 2,720 61,200 04/03/2015 08/17/2020

36159J-DL-2 GE CAPITAL CARD MASTER NOTE SERIES 2012-7 CLASS A 4 1FE 3,471,895 99.2380 3,473,329 3,500,000 3,484,232 5,666 1.760 1.936 MON 2,738 49,867 05/02/2016 09/15/2022

361886-AL-8 GENERAL MOTORS SERIES 16-1 CLASS A1 144A 4 1FE 4,999,008 99.6460 4,982,324 5,000,000 4,998,845 (162) 1.960 1.977 MON 4,356 53,083 05/24/2016 05/17/2021

42805R-BN-8

HERTZ VEHICLE FINANCING LLC SERIES 2013-1A CLASS

A2 4 1FE 9,048,281 99.2920 8,936,306 9,000,000 9,008,998 (8,091) 1.830 1.766 MON 2,745 137,250 07/18/2016 08/25/2019

42806D-AY-5

HERTZ VEHICLE FINANCING LLC SERISE 16-3A CLASS A

144A 4 1FE 7,499,935 98.9890 7,424,211 7,500,000 7,499,496 (439) 2.270 2.283 MON 2,838 93,165 06/01/2016 07/25/2020

44614U-AD-1 HUNTINGTON AUTO TRUST SERIES 2015-1 CLASS A4 4 1FE 13,496,896 99.9910 13,498,735 13,500,000 13,495,591 (435) 1.640 1.659 MON 9,840 221,400 06/03/2015 06/15/2021

44890Y-AE-6

HYUNDAI AUTO RECEIVABLES TRUST SERIES 2015-B CLASS

A4 4 1FE 7,498,334 99.5480 7,466,074 7,500,000 7,497,884 (72) 1.480 1.493 MON 4,933 111,000 04/15/2015 06/15/2021

47788N-AD-0 JOHN DEERE OWNER TRUST SERIES 16 B CLASS A4 4 1FE 6,873,296 98.7680 6,790,295 6,875,000 6,873,160 (136) 1.490 1.503 MON 4,553 39,268 07/19/2016 05/15/2023

65474V-AL-5

NISSAN MASTER OWNER TRUST RECE SERIES 2016 A CLASS

A2 4 1FE 3,499,502 99.3290 3,476,528 3,500,000 3,499,402 (100) 1.540 1.552 MON 2,396 21,859 07/12/2016 06/15/2021

78446V-AB-5

SLM STUDENT LAON TRUST SERIES 2012-A CLASS A2 144A

4 1FE 7,176,283 102.2820 6,725,011 6,575,000 6,693,610 (106,437) 3.830 1.665 MON 11,192 251,823 05/01/2013 01/17/2045

78446X-AB-1 SLM STUDENT LOAN TRUST SERIES 2012-B CLASS A2 4 1FE 1,778,314 101.3210 1,762,096 1,739,116 1,743,227 (4,484) 3.480 3.021 MON 2,690 60,521 05/23/2012 10/15/2030

83149U-AB-7 SLM STUDENT LOAN TRUST SERIES 2011-B CLASS A2 4 1FE 5,563,178 101.9950 5,298,712 5,195,061 5,268,036 (40,564) 3.740 2.208 MON 8,635 194,295 08/27/2012 02/15/2029

87165L-AF-8

SYNCHRONY CREDIT CARD MASTER SERIES 2015-1 CLASS A

4 1FE 3,062,227 100.8360 3,025,089 3,000,000 3,056,326 (5,901) 2.370 1.767 MON 3,160 47,400 05/02/2016 03/15/2023

928667-AD-6

VOLKSWAGEN CREDIT AUTO MASTER SERIES 2014-1A CLASS

A2 144A 4 1FE 9,999,742 99.9290 9,992,872 10,000,000 9,998,397 319 1.400 1.419 MON 4,278 140,000 08/12/2014 07/22/2019

981464-CW-8

WORLD FINANCIAL NETWORK CREDIT SERIES 2012-A CLASS

A 4 1FE 8,356,132 102.6880 8,215,065 8,000,000 8,153,513 (68,368) 3.140 2.258 MON 11,164 251,200 12/02/2014 01/17/2023

981464-DB-3

WORLD FINANCIAL NETWORK CREDIT SERIES 2012-B CLASS

A 4 1FE 1,261,055 100.2160 1,252,700 1,250,000 1,251,512 (3,123) 1.760 1.524 MON 978 22,000 03/04/2014 05/17/2021

981464-DG-2

WORLD FINANCIAL NETWORK CREDIT SERIES 2012-C CLASS

A 4 1FE 4,190,234 100.8910 4,070,970 4,035,000 4,086,493 (28,600) 2.230 1.511 MON 3,999 89,981 05/06/2013 08/15/2022

981464-DS-6

WORLD FINANCIAL NETWORK CREDIT SERIES 2013-A CLASS

A 4 1FE 1,928,294 100.1740 1,928,353 1,925,000 1,925,032 (265) 1.610 1.614 MON 1,377 30,993 01/29/2014 12/15/2021

E10.1

0





Code

Foreign

BondChar

NAICDes.

ActualCost

Rate Used to Obtain

Fair Value

FairValue

ParValue


Value


(Decrease)


Accretion



TotalForeign

ExchangeChange

inBook/

AdjustedCarrying

ValueRate

of

EffectiveRate

ofWhenPaid


Amount Received


StatedContractual

MaturityDate

98161F-AE-5

WORLD OMNI AUTOMOBILE LEASE SE SERIES 16 A CLASS

A4 4 1FE 3,999,836 98.9530 3,958,124 4,000,000 3,999,671 (163) 1.610 1.618 MON 2,858 25,939 07/12/2016 01/15/2022

3599999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) - Other Loan-Backed and Structured Securities 359,805,919 XXX 354,923,547 354,933,807 356,143,640 (1,045,699) XXX XXX XXX 576,948 5,957,083 XXX XXX

3899999. Total - Industrial and Miscellaneous (Unaffiliated) Bonds 2,618,415,473 XXX 2,597,450,850 2,607,269,927 2,611,142,049 (2,333,832) XXX XXX XXX 11,172,333 36,026,308 XXX XXX4899999. Total - Hybrid Securities XXX XXX XXX XXX XXX XXX5599999. Total - Parent, Subsidiaries and Affiliates Bonds XXX XXX XXX XXX XXX XXX6099999. Subtotal - SVO Identified Funds XXX XXX XXX XXX XXX XXX7799999. Total - Issuer Obligations 2,430,411,289 XXX 2,417,969,263 2,431,140,081 2,430,380,258 (19,959) XXX XXX XXX 11,700,180 28,419,452 XXX XXX7899999. Total - Residential Mortgage-Backed Securities 83,046,905 XXX 81,332,566 79,275,153 82,318,893 (266,668) XXX XXX XXX 209,284 2,225,361 XXX XXX7999999. Total - Commercial Mortgage-Backed Securities 312,754,440 XXX 306,290,855 306,268,422 309,104,534 (1,252,440) XXX XXX XXX 538,834 5,936,059 XXX XXX8099999. Total - Other Loan-Backed and Structured Securities 359,805,919 XXX 354,923,547 354,933,807 356,143,640 (1,045,699) XXX XXX XXX 576,948 5,957,083 XXX XXX8199999. Total - SVO Identified Funds XXX XXX XXX XXX XXX XXX8399999 - Total Bonds 3,186,018,553 XXX 3,160,516,231 3,171,617,463 3,177,947,325 (2,584,766) XXX XXX XXX 13,025,246 42,537,955 XXX XXX

E10.1

1


SCHEDULE D - PART 2 - SECTION 1Showing All PREFERRED STOCKS Owned December 31 of Current Year

1 2 Codes 5 6 7 8 Fair Value 11 Dividends Change in Book/Adjusted Carrying Value 20 21

CUSIP Identi-fication Description

3

Code

4

For-eign

Numberof

Shares

ParValuePer

Share

RatePer

Share


Value

9

RatePer

ShareUsed to Obtain

FairValue

10

Fair Value Actual Cost

12

Declaredbut Unpaid

13

Amount Received

During Year

14

Nonadmitted Declared But

Unpaid

15

Unrealized Valuation Increase/

(Decrease)

16

Current Year's (Amor-tization)

Accretion

17

Current Year's

Other-Than- Temporary Impairment Recognized

18

Total Change in

Book/Adjusted Carrying Value (15 + 16 - 17)

19Total

Foreign Exchange Change in

Book/Adjusted Carrying

Value

NAIC Desig-nation

Date Acquired

8999999 - Total Preferred Stocks XXX XXX XXX

NONE

E11


SCHEDULE D - PART 2 - SECTION 2Showing All COMMON STOCKS Owned December 31 of Current Year

1 2 Codes 5 6 Fair Value 9 Dividends Change in Book/Adjusted Carrying Value 17 18


3

Code

4

For-eign

Numberof

Shares


Value

7RatePer

ShareUsed to Obtain

FairValue

8


10

Declaredbut Unpaid

11

Amount Received

During Year

12


Unpaid

13


(Decrease)

14

Current Year's Other-Than- Temporary Impairment Recognized

15

Total Change in Book/Adjusted Carrying Value

(13 - 14)

16

Total Foreign Exchange Change in


Value

NAIC Market

Indicator(a)

Date Acquired

128116-10-0 Calamos Growth & Income Port A 252,493.000 3,595,503 14.240 3,595,503 3,712,550 165,683 42,035 42,035 U 12/30/2016

128116-10-0 Calamos Growth & Income Port A 37,289.000 530,992 14.240 530,992 534,823 24,787 9,006 9,006 U 12/27/2016

233203-67-8 DFA VA Short Term Fixed Port 64,094.000 652,472 10.180 652,472 654,219 4,107 91 91 U 12/29/2016

22544K-88-8 Credit Suisse Commodity Return Strat Port 54,821.000 240,115 4.380 240,115 221,257 32,240 32,240 L 12/19/2016

22544K-88-8 Credit Suisse Commodity Return Strat Port 1,953.000 8,553 4.380 8,553 8,472 338 338 L 07/07/2016

233203-68-6 DFA VA Int'l Small Co Port 190,190.000 2,166,265 11.390 2,166,265 2,191,398 66,050 50,671 50,671 U 12/29/2016

233203-67-8 DFA VA Short Term Fixed Port 3,451,441.000 35,135,668 10.180 35,135,668 35,259,148 230,040 (54,157) (54,157) U 12/30/2016

233203-67-8 DFA VA Short Term Fixed Port 150,030.000 1,527,308 10.180 1,527,308 1,533,299 10,398 (775) (775) U 12/28/2016

233203-69-4 DFA VA Int'l Value Port 335,684.000 3,746,230 11.160 3,746,230 4,015,962 110,788 194,289 194,289 U 12/29/2016

233203-68-6 DFA VA Int'l Small Co Port 1,886,745.000 21,490,026 11.390 21,490,026 21,582,220 646,167 336,926 336,926 U 12/30/2016

233203-68-6 DFA VA Int'l Small Co Port 276,630.000 3,150,811 11.390 3,150,811 3,136,273 95,741 57,844 57,844 U 12/30/2016

233203-71-0 DFA VA US Targeted Value Port 86,960.000 1,680,945 19.330 1,680,945 1,574,296 69,921 256,587 256,587 U 12/30/2016

233203-69-4 DFA VA Int'l Value Port 2,255,163.000 25,167,616 11.160 25,167,616 25,398,628 742,921 1,382,799 1,382,799 U 12/30/2016

233203-69-4 DFA VA Int'l Value Port 323,274.000 3,607,738 11.160 3,607,738 3,531,977 104,558 194,109 194,109 U 12/28/2016

233203-72-8 DFA VA Global Bond Port 74,263.000 787,183 10.600 787,183 808,740 16,761 (15,712) (15,712) U 12/29/2016

233203-71-0 DFA VA US Targeted Value Port 707,716.000 13,680,151 19.330 13,680,151 12,456,867 563,622 1,903,345 1,903,345 U 12/30/2016

233203-71-0 DFA VA US Targeted Value Port 219,072.000 4,234,662 19.330 4,234,662 3,746,526 169,846 536,094 536,094 U 12/28/2016

233203-77-7 DFA VA US Large Value Port 194,287.000 4,653,180 23.950 4,653,180 4,377,442 115,319 545,600 545,600 U 12/30/2016

233203-72-8 DFA VA Global Bond Port 2,765,694.000 29,316,354 10.600 29,316,354 30,045,490 647,382 (467,287) (467,287) U 12/30/2016

233203-72-8 DFA VA Global Bond Port 163,010.000 1,727,908 10.600 1,727,908 1,770,738 38,401 (22,442) (22,442) U 12/30/2016

246493-54-8 Del VIP Diversf Inc Ser Std 1 176,972.000 1,821,037 10.290 1,821,037 1,831,741 42,877 (5,768) (5,768) L 12/27/2016

233203-77-7 DFA VA US Large Value Port 923,357.000 22,114,401 23.950 22,114,401 20,756,660 535,706 2,474,333 2,474,333 U 12/30/2016

233203-77-7 DFA VA US Large Value Port 238,674.000 5,716,236 23.950 5,716,236 5,270,996 137,569 595,784 595,784 U 12/28/2016

246493-67-0 Del VIP Sml Cap Val Ser Std 1 54,676.000 2,178,280 39.840 2,178,280 1,968,008 89,667 304,512 304,512 L 12/29/2016

246493-54-8 Del VIP Diversf Inc Ser Std 1 4,396,425.000 45,239,212 10.290 45,239,212 46,875,763 1,366,561 (67,821) (67,821) L 12/30/2016

246493-54-8 Del VIP Diversf Inc Ser Std 1 193,047.000 1,986,451 10.290 1,986,451 2,022,598 35,955 (18,817) (18,817) L 12/30/2016

25239Y-54-3 DFA VIT Inflation Protected Sec 760.000 7,530 9.910 7,530 7,679 92 (150) (150) U 12/27/2016

246493-67-0 Del VIP Sml Cap Val Ser Std 1 652,907.000 26,011,828 39.840 26,011,828 23,513,222 1,614,127 3,942,808 3,942,808 L 12/30/2016

246493-67-0 Del VIP Sml Cap Val Ser Std 1 63,090.000 2,513,492 39.840 2,513,492 2,266,275 109,304 356,395 356,395 L 12/29/2016

25239Y-58-4 DFA VA Global Mod Alloction 598,571.000 6,853,641 11.450 6,853,641 6,550,957 154,762 394,011 394,011 U 12/30/2016

246493-76-1 Del VIP Intl Val Eq Ser Std 1 3,180,748.000 35,338,108 11.110 35,338,108 35,645,106 424,922 988,378 988,378 L 12/30/2016

246493-76-1 Del VIP Intl Val Eq Ser Std 1 157,841.000 1,753,609 11.110 1,753,609 1,730,517 16,120 47,845 47,845 L 12/30/2016

355150-77-2 Franklin Developing Mrkts VIP Fnd Cl 1 178,184.000 1,322,126 7.420 1,322,126 1,322,390 8,104 133,338 133,338 U 12/22/2016

25239Y-58-4 DFA VA Global Mod Alloction 3,853,055.000 44,117,474 11.450 44,117,474 43,449,692 897,972 1,934,686 1,934,686 U 12/30/2016

25239Y-54-3 DFA VIT Inflation Protected Sec 51,880.000 514,132 9.910 514,132 519,288 6,270 (5,156) (5,156) U 12/27/2016

41015H-71-1 John Hancock Emerging Markets Value Trust 63,813.000 518,802 8.130 518,802 521,677 6,198 18,556 18,556 L 12/29/2016

355150-71-5 Franklin Mutual Shares VIP Fnd Cl 1 111,647.000 2,277,593 20.400 2,277,593 2,286,897 201,459 81,014 81,014 U 12/30/2016

25239Y-58-4 DFA VA Global Mod Alloction 283,578.000 3,246,963 11.450 3,246,963 3,074,404 73,310 188,267 188,267 U 12/30/2016

552748-10-5 MFin M International Equity Fd 319,047.000 3,547,798 11.120 3,547,798 3,836,225 42,140 (21,723) (21,723) L 12/29/2016

355150-74-9 Franklin Sm-Mid Cap Growth VIP Fnd Cl 1 321,344.000 5,710,276 17.770 5,710,276 6,708,901 518,961 (253,992) (253,992) U 12/30/2016

355150-71-5 Franklin Mutual Shares VIP Fnd Cl 1 45,286.000 923,835 20.400 923,835 918,031 81,187 15,895 15,895 U 12/27/2016

552748-20-4 MFin M Large Cap Growth Fd 139,272.000 2,781,259 19.970 2,781,259 3,223,759 153,099 (183,593) (183,593) L 12/29/2016

355150-77-2 Franklin Developing Mrkts VIP Fnd Cl 1 1,877,997.000 13,934,738 7.420 13,934,738 15,223,113 120,154 1,669,777 1,669,777 U 12/30/2016

355150-74-9 Franklin Sm-Mid Cap Growth VIP Fnd Cl 1 35,180.000 625,147 17.770 625,147 650,901 52,409 (20,824) (20,824) U 12/30/2016

552748-30-3 MFin M Capital Appreciation Fd 87,191.000 2,552,948 29.280 2,552,948 2,522,249 94,479 252,612 252,612 L 12/29/2016

355150-88-9 Franklin Income VIP Fnd Cl 1 489,976.000 7,780,816 15.880 7,780,816 7,570,281 282,626 548,896 548,896 U 12/30/2016

355150-77-2 Franklin Developing Mrkts VIP Fnd Cl 1 228,021.000 1,691,914 7.420 1,691,914 1,669,412 13,189 180,376 180,376 U 12/30/2016

552748-50-1 MFin M Business Opp Val Fd 176,312.000 2,272,657 12.890 2,272,657 2,297,179 40,613 174,918 174,918 L 12/29/2016

41015H-71-1 John Hancock Emerging Markets Value Trust 1,462,471.000 11,889,886 8.130 11,889,886 11,287,604 198,475 851,843 851,843 L 12/30/2016

355150-88-9 Franklin Income VIP Fnd Cl 1 51,937.000 824,761 15.880 824,761 811,401 31,174 59,147 59,147 U 12/27/2016

641222-70-8 NeuBer AMT MC Intrinsic Val I 9,337.000 157,885 16.910 157,885 153,920 6,928 8,030 8,030 U 12/20/2016

471021-43-6 Janus Aspn Prkins Mid-Cap Inst 588,955.000 9,747,199 16.550 9,747,199 10,037,284 1,036,637 310,958 310,958 L 12/30/2016

41015H-71-1 John Hancock Emerging Markets Value Trust 111,992.000 910,497 8.130 910,497 894,613 13,217 16,077 16,077 L 12/28/2016

693394-58-7 PIMCO-PVIT EmgMktBond Inst 2,639.000 33,203 12.580 33,203 33,038 203 165 165 L 12/30/2016

E12





3

Code

4

For-eign

Numberof

Shares


Value

7RatePer

ShareUsed to Obtain

FairValue

8


10

Declaredbut Unpaid

11

Amount Received

During Year

12


Unpaid

13


(Decrease)

14


15


(13 - 14)

16



Value

NAIC Market

Indicator(a)

Date Acquired

471021-70-9 Janus Aspen Overseas Inst 53,406.000 1,323,942 24.790 1,323,942 1,532,400 83,450 (112,944) (112,944) L 12/30/2016

471021-43-6 Janus Aspn Prkins Mid-Cap Inst 91,841.000 1,519,973 16.550 1,519,973 1,538,908 169,434 39,049 39,049 L 12/28/2016

693394-67-8 PIMCO-PVIT Gbl Bd Unhdgd Inst 30,899.000 356,569 11.540 356,569 361,979 5,730 5,620 5,620 L 12/30/2016

471021-86-5 Janus Aspen Forty Port Inst 187,811.000 6,045,620 32.190 6,045,620 6,583,403 634,872 (443,784) (443,784) L 12/30/2016

471021-70-9 Janus Aspen Overseas Inst 23,492.000 582,371 24.790 582,371 694,000 38,713 (38,492) (38,492) L 12/28/2016

693394-74-4 PIMCO-PVIT Real Return Inst 28,961.000 355,354 12.270 355,354 362,048 6,946 5,312 5,312 L 12/30/2016

52467K-83-9 Legg Mason WA Var Global High Yield Bd 1 2,006,070.000 14,223,035 7.090 14,223,035 14,878,787 835,758 917,262 917,262 L 12/30/2016

471021-86-5 Janus Aspen Forty Port Inst 59,340.000 1,910,147 32.190 1,910,147 2,052,933 213,925 (170,256) (170,256) L 12/29/2016

693394-78-5 PIMCO VIT Tot Ret Port Inst 179,627.000 1,911,227 10.640 1,911,227 1,987,786 36,649 3,182 3,182 L 12/30/2016

52467M-84-3 Legg Mason Clrbrdg Var Sml Cap Grw Cl 1 126,472.000 2,695,117 21.310 2,695,117 2,693,610 92,944 90,173 90,173 L 12/30/2016

52467K-83-9 Legg Mason WA Var Global High Yield Bd 1 76,958.000 545,634 7.090 545,634 556,129 32,437 16,278 16,278 L 12/30/2016

742969-57-9 Principal PVC Equity Income Acct Cl 1 69,686.000 1,616,720 23.200 1,616,720 1,556,477 107,410 100,193 100,193 U 12/29/2016

52467X-20-3 Legg Mason Clrbrdg Var Aggres Growth Cl 1 761,464.000 19,097,520 25.080 19,097,520 20,305,354 1,056,955 (456,730) (456,730) L 12/30/2016

52467M-84-3 Legg Mason Clrbrdg Var Sml Cap Grw Cl 1 13,780.000 293,652 21.310 293,652 283,773 8,901 13,721 13,721 L 12/30/2016

742969-60-3 Principal PVC MidCap Acct Cl 1 7,257.000 369,797 50.960 369,797 399,991 59,648 (24,747) (24,747) U 12/19/2016

55273F-10-0 MFS-VIT Growth Series 19,867.000 770,030 38.759 770,030 736,002 46,031 (24,985) (24,985) L 12/27/2016

52467X-20-3 Legg Mason Clrbrdg Var Aggres Growth Cl 1 59,405.000 1,489,880 25.080 1,489,880 1,583,537 84,428 (50,266) (50,266) L 12/27/2016

74437G-85-4 PS Natural Res Port Cl B 20,878.000 547,009 26.200 547,009 573,452 99,267 99,267 U 12/28/2016

55273F-60-5 MFS-VIT Utility Series 90,999.000 2,439,684 26.810 2,439,684 2,696,822 130,679 66,276 66,276 U 12/30/2016

55273F-10-0 MFS-VIT Growth Series 7,900.000 306,202 38.760 306,202 312,306 16,500 (9,006) (9,006) L 12/29/2016

77954R-10-4 TRPrice Limited Term Bond 37,366.000 180,849 4.840 180,849 182,048 1,483 (342) (342) U 12/30/2016

55273F-83-7 MFS-VIT Global Eqty Series 201,168.000 3,739,710 18.590 3,739,710 3,777,387 184,156 21,353 21,353 U 12/30/2016

55273F-60-5 MFS-VIT Utility Series 15,933.000 427,156 26.810 427,156 453,512 24,188 2,042 2,042 U 12/28/2016

77954T-60-5 T Rowe Price Health Sciences i 9,441.000 327,023 34.640 327,023 365,210 2,390 (31,042) (31,042) U 12/19/2016

55274F-61-2 MFS VITII Mass Invest Grwth Stk IC 241,937.000 3,720,989 15.380 3,720,989 4,004,265 397,577 (228,474) (228,474) U 12/30/2016

55273F-83-7 MFS-VIT Global Eqty Series 62,118.000 1,154,780 18.590 1,154,780 1,199,619 66,564 6,339 6,339 U 12/27/2016

87244V-10-4 TIAA-CREF Life Growth Equity 67,911.000 1,875,695 27.620 1,875,695 1,912,966 63,654 (63,271) (63,271) U 12/29/2016

641222-10-4 NeuBer AMT Large Cap Value 197,227.000 3,005,739 15.240 3,005,739 2,853,013 231,026 310,017 310,017 U 12/30/2016

55274F-61-2 MFS VITII Mass Invest Grwth Stk IC 38,549.000 592,889 15.380 592,889 649,011 63,466 (35,678) (35,678) U 12/28/2016

87244V-20-3 TIAA-CREF Life Intl Equity 176,812.000 3,141,951 17.770 3,141,951 3,315,766 47,977 24,886 24,886 U 12/27/2016

641222-70-8 NeuBer AMT MC Intrinsic Val I 1,909,812.000 32,294,917 16.910 32,294,917 32,112,308 2,234,994 1,690,991 1,690,991 U 12/30/2016

641222-10-4 NeuBer AMT Large Cap Value 18,592.000 283,347 15.240 283,347 273,675 14,440 30,788 30,788 U 12/30/2016

87244V-30-2 TIAA-CREF Life Growth & Income 42,815.000 1,561,904 36.480 1,561,904 1,585,724 89,125 37,764 37,764 U 12/30/2016

693394-58-7 PIMCO-PVIT EmgMktBond Inst 1,578,864.000 19,862,112 12.580 19,862,112 19,734,219 793,704 811,040 811,040 L 12/30/2016

641222-70-8 NeuBer AMT MC Intrinsic Val I 134,364.000 2,272,093 16.910 2,272,093 2,228,356 156,837 107,166 107,166 U 12/30/2016

87244V-40-1 TIAA-CREF Life Stock Index 167,753.000 8,214,853 48.970 8,214,853 7,733,360 167,846 646,537 646,537 U 12/30/2016

693394-61-1 PIMCO-PVIT ComRlRetStrat Inst 179,523.000 1,407,460 7.840 1,407,460 1,493,067 14,183 139,944 139,944 L 12/30/2016

693394-58-7 PIMCO-PVIT EmgMktBond Inst 64,070.000 805,999 12.580 805,999 800,395 24,637 9,399 9,399 L 12/30/2016

87244V-50-0 TIAA-CREF Life Social Choice 15,574.000 546,020 35.060 546,020 564,754 50,056 12,634 12,634 U 12/16/2016

693394-64-5 PIMCO-PVIT All Asset Fd Inst 336,504.000 3,402,055 10.110 3,402,055 3,443,829 85,821 264,796 264,796 L 12/30/2016

693394-61-1 PIMCO-PVIT ComRlRetStrat Inst 20,402.000 159,948 7.840 159,948 155,704 1,141 4,205 4,205 L 12/28/2016

87244V-60-9 TIAA-CREF Life Large Cap Value 35,860.000 1,261,908 35.190 1,261,908 1,256,002 63,340 87,930 87,930 U 12/28/2016

693394-67-8 PIMCO-PVIT Gbl Bd Unhdgd Inst 416,642.000 4,808,053 11.540 4,808,053 5,015,038 69,020 31,517 31,517 L 12/30/2016

693394-64-5 PIMCO-PVIT All Asset Fd Inst 89,386.000 903,691 10.110 903,691 901,492 21,613 52,465 52,465 L 12/29/2016

87244V-70-8 TIAA-CREF Life Small Cap Eqty 45,870.000 1,611,862 35.140 1,611,862 1,550,927 57,784 174,138 174,138 U 12/16/2016

693394-74-4 PIMCO-PVIT Real Return Inst 5,531,470.000 67,871,143 12.270 67,871,143 70,890,942 1,350,230 988,081 988,081 L 12/30/2016

693394-67-8 PIMCO-PVIT Gbl Bd Unhdgd Inst 62,453.000 720,710 11.540 720,710 742,023 10,185 8,430 8,430 L 12/30/2016

87244V-80-7 TIAA-CREF Life Real Estate 5,820.000 180,654 31.040 180,654 202,485 18,742 (12,585) (12,585) U 12/20/2016

742969-57-9 Principal PVC Equity Income Acct Cl 1 2,767,789.000 64,212,707 23.200 64,212,707 60,410,030 4,107,519 3,650,533 3,650,533 U 12/30/2016

693394-74-4 PIMCO-PVIT Real Return Inst 215,129.000 2,639,632 12.270 2,639,632 2,702,619 47,188 20,480 20,480 L 12/30/2016

87244V-86-4 TIAA-CREF Life Balanced 36,831.000 380,099 10.320 380,099 381,623 14,805 6,538 6,538 L 12/27/2016

742969-60-3 Principal PVC MidCap Acct Cl 1 118,658.000 6,046,795 50.960 6,046,795 6,575,922 936,250 (406,288) (406,288) U 12/30/2016

742969-57-9 Principal PVC Equity Income Acct Cl 1 104,426.000 2,422,675 23.200 2,422,675 2,354,195 140,387 102,123 102,123 U 12/30/2016

87244V-88-0 TIAA-CREF Life Bond 21,396.000 527,616 24.660 527,616 546,439 18,836 (5,451) (5,451) U 12/21/2016

E12.1





3

Code

4

For-eign

Numberof

Shares


Value

7RatePer

ShareUsed to Obtain

FairValue

8


10

Declaredbut Unpaid

11

Amount Received

During Year

12


Unpaid

13


(Decrease)

14


15


(13 - 14)

16



Value

NAIC Market

Indicator(a)

Date Acquired

74437G-60-7 PS Value Port Cl B 217,979.000 5,850,553 26.840 5,850,553 4,764,726 603,586 603,586 U 12/30/2016

742969-60-3 Principal PVC MidCap Acct Cl 1 12,710.000 647,710 50.960 647,710 705,294 103,742 (38,596) (38,596) U 12/27/2016

921925-20-2 Vanguard Vanguard VIF TotBond Mkt Idx 402,487.000 4,737,269 11.770 4,737,269 4,787,512 87,436 (30,682) (30,682) L 12/30/2016

74437G-78-9 PS Jennison 20/20 Port Cl B 723,650.000 16,665,667 23.030 16,665,667 15,512,225 289,627 289,627 U 12/30/2016

74437G-60-7 PS Value Port Cl B 4,314.000 115,792 26.840 115,792 101,548 13,970 13,970 U 12/30/2016

921925-80-6 Vanguard VIF High Yield Bond 177,788.000 1,420,522 7.990 1,420,522 1,410,650 61,426 71,125 71,125 L 12/21/2016

74437G-85-4 PS Natural Res Port Cl B 80,084.000 2,098,201 26.200 2,098,201 2,129,818 270,618 270,618 U 12/30/2016

74437G-78-9 PS Jennison 20/20 Port Cl B 39,100.000 900,464 23.030 900,464 860,078 20,910 20,910 U 12/30/2016

921925-82-2 Vanguard VIF Capital Growth 115,874.000 3,286,196 28.360 3,286,196 2,990,371 88,975 208,994 208,994 L 12/29/2016

74925K-42-5 Matson Money Fixed Income VI Port 893,110.000 22,113,405 24.760 22,113,405 22,366,051 206,251 (131,757) (131,757) L 12/30/2016

74437G-85-4 PS Natural Res Port Cl B 19,409.000 508,516 26.200 508,516 490,900 66,053 66,053 U 12/27/2016

921925-84-8 Vanguard VIF REIT Index 116,868.000 1,575,385 13.480 1,575,385 1,587,022 115,684 (16,437) (16,437) L 12/30/2016

74925K-43-3 Matson Money Intl Equity VI Port 559,648.000 12,575,289 22.470 12,575,289 12,750,882 398,204 500,560 500,560 L 12/30/2016

74925K-42-5 Matson Money Fixed Income VI Port 27,367.000 677,610 24.760 677,610 684,166 6,344 (5,534) (5,534) L 12/30/2016

921925-85-5 Vanguard VIF MidCap Index 154,855.000 3,268,997 21.110 3,268,997 3,231,927 172,665 115,173 115,173 L 12/29/2016

74925K-44-1 Matson Money Market US Equity VI Port 655,429.000 18,666,611 28.480 18,666,611 17,120,022 766,602 2,234,845 2,234,845 L 12/30/2016

74925K-43-3 Matson Money Intl Equity VI Port 17,926.000 402,789 22.470 402,789 403,295 12,813 10,610 10,610 L 12/30/2016

921925-88-9 Vanguard VIF Small Cp Growth 69,294.000 1,489,816 21.500 1,489,816 1,431,939 71,081 101,681 101,681 L 12/30/2016

77954R-10-4 TRPrice Limited Term Bond 7,849,864.000 37,993,344 4.840 37,993,344 38,292,448 408,528 (71,341) (71,341) U 12/30/2016

74925K-44-1 Matson Money Market US Equity VI Port 20,542.000 585,039 28.480 585,039 549,418 24,142 51,172 51,172 L 12/29/2016

921925-30-1 Vanguard WIF Equity Index 366,155.000 13,046,120 35.630 13,046,120 12,167,088 320,807 864,368 864,368 L 12/30/2016

77954T-60-5 T Rowe Price Health Sciences i 49,703.000 1,721,702 34.640 1,721,702 1,812,138 11,997 (72,700) (72,700) U 12/30/2016

77954R-10-4 TRPrice Limited Term Bond 384,827.000 1,862,562 4.840 1,862,562 1,876,644 21,435 (2,961) (2,961) U 12/30/2016

92913T-88-5 VOYA Russell LgCap Gr Idx Init 36,132.000 984,233 27.240 984,233 932,762 9,410 42,649 42,649 L 12/29/2016

78080T-10-5 Royce Small Cap Annuity Invest 792,590.000 6,665,686 8.410 6,665,686 8,172,367 1,173,011 (87,298) (87,298) L 12/30/2016

77954T-60-5 T Rowe Price Health Sciences i 20,955.000 725,877 34.640 725,877 782,063 5,131 (52,708) (52,708) U 12/30/2016

92914E-81-2 VOYA Clarion Global Real Est I 25,381.000 297,466 11.720 297,466 303,646 4,083 288 288 L 12/16/2016

78080T-30-3 Royce Micro Cap Annuity Invest 180,852.000 2,009,270 11.110 2,009,270 1,858,587 12,744 218,562 218,562 L 12/29/2016

78080T-10-5 Royce Small Cap Annuity Invest 141,073.000 1,186,421 8.410 1,186,421 1,338,357 207,056 (34,533) (34,533) L 12/30/2016

87244V-10-4 TIAA-CREF Life Growth Equity 2,317,285.000 64,003,410 27.620 64,003,410 52,505,755 2,184,140 (2,586,508) (2,586,508) U 12/30/2016

78080T-30-3 Royce Micro Cap Annuity Invest 17,511.000 194,545 11.110 194,545 187,140 1,161 27,954 27,954 L 12/29/2016

87244V-20-3 TIAA-CREF Life Intl Equity 4,063,898.000 72,215,475 17.770 72,215,475 71,105,836 1,109,097 (240,506) (240,506) U 12/30/2016

87244V-10-4 TIAA-CREF Life Growth Equity 160,613.000 4,436,143 27.620 4,436,143 3,577,965 152,499 (142,457) (142,457) U 12/28/2016

87244V-30-2 TIAA-CREF Life Growth & Income 3,089,620.000 112,709,347 36.480 112,709,347 102,362,252 6,631,745 2,118,029 2,118,029 U 12/30/2016

87244V-20-3 TIAA-CREF Life Intl Equity 467,026.000 8,299,055 17.770 8,299,055 8,503,122 125,054 (39,366) (39,366) U 12/30/2016

87244V-40-1 TIAA-CREF Life Stock Index 6,618,372.000 324,101,669 48.970 324,101,669 233,939,265 6,610,774 28,687,019 28,687,019 U 12/30/2016

87244V-30-2 TIAA-CREF Life Growth & Income 218,997.000 7,988,993 36.480 7,988,993 7,608,156 472,108 125,971 125,971 U 12/29/2016

87244V-50-0 TIAA-CREF Life Social Choice 1,434,987.000 50,310,642 35.060 50,310,642 44,928,078 4,557,178 1,121,776 1,121,776 U 12/30/2016

87244V-40-1 TIAA-CREF Life Stock Index 581,211.000 28,461,916 48.970 28,461,916 25,101,484 581,665 2,344,318 2,344,318 U 12/27/2016

87244V-60-9 TIAA-CREF Life Large Cap Value 1,875,129.000 65,985,796 35.190 65,985,796 61,320,183 3,308,144 6,695,695 6,695,695 U 12/30/2016

87244V-50-0 TIAA-CREF Life Social Choice 49,363.000 1,730,674 35.060 1,730,674 1,505,858 158,600 41,830 41,830 U 12/30/2016

87244V-70-8 TIAA-CREF Life Small Cap Eqty 1,397,352.000 49,102,937 35.140 49,102,937 46,573,403 1,752,272 6,209,279 6,209,279 U 12/30/2016

87244V-60-9 TIAA-CREF Life Large Cap Value 79,753.000 2,806,515 35.190 2,806,515 2,794,670 140,091 245,556 245,556 U 12/28/2016

87244V-80-7 TIAA-CREF Life Real Estate 2,215,657.000 68,774,005 31.040 68,774,005 69,555,953 7,096,854 (4,812,487) (4,812,487) U 12/30/2016

87244V-70-8 TIAA-CREF Life Small Cap Eqty 75,576.000 2,655,735 35.140 2,655,735 2,466,455 92,949 323,714 323,714 U 12/28/2016

87244V-86-4 TIAA-CREF Life Balanced 4,655,848.000 48,048,351 10.320 48,048,351 49,008,449 1,863,529 546,847 546,847 L 12/30/2016

87244V-80-7 TIAA-CREF Life Real Estate 109,406.000 3,395,958 31.040 3,395,958 3,766,125 347,522 (263,940) (263,940) U 12/30/2016

87244V-88-0 TIAA-CREF Life Bond 6,052,185.000 149,246,883 24.660 149,246,883 155,442,202 5,329,050 (346,901) (346,901) U 12/30/2016

87244V-86-4 TIAA-CREF Life Balanced 146,355.000 1,510,385 10.320 1,510,385 1,540,838 58,860 (7,351) (7,351) L 12/28/2016

921925-20-2 Vanguard Vanguard VIF TotBond Mkt Idx 3,680,315.000 43,317,308 11.770 43,317,308 43,888,668 482,559 (543,360) (543,360) L 12/30/2016

87244V-88-0 TIAA-CREF Life Bond 137,632.000 3,394,008 24.660 3,394,008 3,535,475 120,520 (47,936) (47,936) U 12/30/2016

921925-30-1 Vanguard WIF Equity Index 1,539,548.000 54,854,097 35.630 54,854,097 50,981,123 234,243 3,839,707 3,839,707 L 12/30/2016

921925-20-2 Vanguard Vanguard VIF TotBond Mkt Idx 148,707.000 1,750,280 11.770 1,750,280 1,778,782 12,537 (27,882) (27,882) L 12/28/2016

921925-80-6 Vanguard VIF High Yield Bond 2,607,559.000 20,834,397 7.990 20,834,397 20,134,193 445,444 857,631 857,631 L 12/30/2016

E12.2





3

Code

4

For-eign

Numberof

Shares


Value

7RatePer

ShareUsed to Obtain

FairValue

8


10

Declaredbut Unpaid

11

Amount Received

During Year

12


Unpaid

13


(Decrease)

14


15


(13 - 14)

16



Value

NAIC Market

Indicator(a)

Date Acquired

921925-80-6 Vanguard VIF High Yield Bond 149,552.000 1,194,923 7.990 1,194,923 1,145,222 4,119 49,902 49,902 L 12/29/2016



921925-84-8 Vanguard VIF REIT Index 819,065.000 11,040,997 13.480 11,040,997 10,930,895 317,098 31,946 31,946 L 12/30/2016

921925-30-1 Vanguard WIF Equity Index 73,943.000 2,634,599 35.630 2,634,599 2,467,116 56,722 169,742 169,742 L 12/28/2016


921925-84-8 Vanguard VIF REIT Index 141,884.000 1,912,601 13.480 1,912,601 1,901,285 8,875 10,777 10,777 L 12/30/2016



92914E-81-2 VOYA Clarion Global Real Est I 654,570.000 7,671,558 11.720 7,671,558 7,893,079 92,630 (69,223) (69,223) L 12/30/2016


933702-10-2 Wanger US Smaller Co Fund 36,165.000 959,455 26.530 959,455 1,042,011 158,072 (42,368) (42,368) L 12/28/2016

92914E-81-2 VOYA Clarion Global Real Est I 54,583.000 639,710 11.720 639,710 659,119 7,377 (10,993) (10,993) L 12/30/2016

933702-20-1 Wanger Intl Small Cap Fund 463,952.000 10,967,831 23.640 10,967,831 13,318,769 897,464 (1,084,675) (1,084,675) L 12/30/2016

933702-10-2 Wanger US Smaller Co Fund 10,458.000 277,455 26.530 277,455 337,555 64,216 (28,690) (28,690) L 12/28/2016

933702-30-0 Wanger Select Fund 106,944.000 2,042,638 19.100 2,042,638 2,437,146 479,074 (246,247) (246,247) L 12/30/2016

933702-20-1 Wanger Intl Small Cap Fund 37,453.000 885,389 23.640 885,389 1,023,244 59,541 (76,706) (76,706) L 12/30/2016

933702-30-0 Wanger Select Fund 16,927.000 323,312 19.100 323,312 382,344 83,602 (42,803) (42,803) L 12/30/2016

9299999. Subtotal - Mutual Funds 2,157,046,467 XXX 2,157,046,467 2,030,709,298 78,855,710 78,318,816 78,318,816 XXX XXX87244V-87-2 TIAA-CREF Life Money Market 59,179,125.000 59,179,125 1.000 59,179,125 59,179,125 73,215 L 12/30/2016

87244V-87-2 TIAA-CREF Life Money Market 11,139,934.000 11,139,934 1.000 11,139,934 11,139,934 11,130 L 12/30/2016

87244V-87-2 TIAA-CREF Life Money Market 7,937,561.000 7,937,561 1.000 7,937,561 7,937,561 4,989 L 12/30/2016

9399999. Subtotal - Money Market Mutual Funds 78,256,620 XXX 78,256,620 78,256,620 89,334 XXX XXX9799999 - Total Common Stocks 2,235,303,087 XXX 2,235,303,087 2,108,965,918 78,945,044 78,318,816 78,318,816 XXX XXX9899999 - Total Preferred and Common Stocks 2,235,303,087 XXX 2,235,303,087 2,108,965,918 78,945,044 78,318,816 78,318,816 XXX XXX

(a) For all common stock bearing the NAIC market indicator "U" provide: the number of such issues , the total $ value (included in Column 8) of all such issues $

E12.3


SCHEDULE D - PART 3Showing All Long-Term Bonds and Stocks ACQUIRED During Current Year

1

CUSIP Identification

2

Description

3

Foreign

4

DateAcquired

5

Name of Vendor

6

Number of Sharesof Stock

7

Actual Cost

8

Par Value

9Paid for Accrued

Interest andDividends

912828-2G-4 US TREASURY N/B 0.875% 09/15/19 09/23/2016 Various 324,759 325,000 94

912828-A9-1 UNITED STATES T-BILL 0.750% 01/15/17 10/19/2016 Various 29,528,691 29,500,000 43,781

912828-B7-4 UNITED STATES T-BILL 0.625% 02/15/17 11/15/2016 Various 10,003,652 10,000,000 15,489

912828-C3-2 UNITED STATES T-BILL 0.750% 03/15/17 12/15/2016 Various 10,005,469 10,000,000 19,061

912828-C7-3 UNITED STATES T-BILL 0.875% 04/15/17 01/15/2016 Various 2,504,297 2,500,000 5,738

912828-F5-4 UNITED STATES T-BILL 0.875% 10/15/17 01/15/2016 Various 4,501,055 4,500,000 10,328

912828-H3-7 UNITED STATES T-BILL 0.875% 01/15/18 01/15/2016 Various 4,497,539 4,500,000 433

912828-K2-5 UNITED STATES T-BILL 0.750% 04/15/18 07/29/2016 Various 2,503,613 2,500,000 5,533

912828-L8-1 US TREASURY N/B 0.875% 10/15/18 01/15/2016 Various 4,479,434 4,500,000 10,328

912828-N6-3 UNITED STATES T-BILL 1.125% 01/15/19 07/29/2016 Various 4,544,297 4,500,000 2,339

912828-Q5-2 US TREASURY N/B 0.875% 04/15/19 05/05/2016 Various 4,956,746 4,960,000 2,561

912828-R7-7 UNITED STATES T-BILL 1.375% 05/31/21 06/08/2016 Various 9,061,813 9,000,000 2,895

912828-U3-2 UNITED STATES TREASURY 1.000% 11/15/19 11/30/2016 Various 10,796,773 10,920,000 4,827

912828-U6-5 UNITED STATES T-BILL 1.750% 11/30/21 11/30/2016 Various 21,059,240 21,135,000 433

912828-U7-3 US TREASURY N/B 1.375% 12/15/19 12/30/2016 Various 21,939,844 22,000,000 15,790

912828-U8-1 UNITED STATES T-BILL 2.000% 12/31/21 12/30/2016 Various 23,553,242 23,500,000 3,895

912828-WT-3 UNITED STATES T-BILL 0.875% 07/15/17 01/15/2016 Various 4,504,219 4,500,000 433

912828-XK-1 UNITED STATES T-BILL 0.875% 07/15/18 01/15/2016 Various 4,484,355 4,500,000 433

0599999. Subtotal - Bonds - U.S. Governments 173,249,038 173,340,000 144,391

066716-AJ-0 BANQUE CENTRALE DE TUNISIE REG 1.416% 08/05/21 08/03/2016 Various 1,750,000 1,750,000

29134W-AA-5 EMIRATE ABU DHABI FR SERIES 144A 2.125% 05/03/21 D 04/25/2016 Various 9,956,200 10,000,000

302154-CF-4 EXPORT-IMPORT BANK KOREA 1.875% 10/21/21 D 10/13/2016 Various 5,973,840 6,000,000

471048-AS-7 JPN BANK FOR INT'L COOP 1.875% 04/20/21 D 04/12/2016 Various 9,974,400 10,000,000

471048-AY-4 JPN BANK FOR INT'L COOP 2.000% 11/04/21 D 10/27/2016 Various 7,499,625 7,500,000

50065R-AE-7 KOREA HOUSING FINANCE CO SERIES 144A 2.000% 10/11/21 D 10/04/2016 Various 8,276,843 8,300,000

74727P-AT-8 QATAR STATE OF SERIES 144A 2.375% 06/02/21 D 07/28/2016 Various 14,939,900 15,000,000 19,792

80413T-AA-7 SAUDI INTERNATIONAL BOND SERIES 144A 2.375% 10/26/21 D 10/19/2016 Various 11,138,288 11,250,000

1099999. Subtotal - Bonds - All Other Governments 69,509,096 69,800,000 19,792

419722-S6-1 HAWAII CNTY HI SERIES E 1.300% 09/01/18 02/04/2016 Various 1,835,000 1,835,000

2499999. Subtotal - Bonds - U.S. Political Subdivisions of States, Territories and Possessions 1,835,000 1,835,000

3136AT-PM-0 FNMA SERIES 2016 66 CLASS MB 3.000% 05/25/44 09/12/2016 Various 7,632,842 7,339,271 8,562

3137GA-D7-9 FHLMC SERIES 3721 CLASS PE 3.500% 09/15/40 04/29/2016 Various 8,739,469 8,291,224 2,418

341271-AA-2 FLORIDA ST BRD OF ADMIN FIN CO SERIES A 2.163% 07/01/19 02/23/2016 Various 12,000,000 12,000,000

59333P-U8-9 MIAMI DADE CNTY FL AVIATION RE 1.885% 10/01/21 08/04/2016 Various 3,750,000 3,750,000

59447T-JU-8 MICHIGAN ST FIN AUTH REVENUE SERIES C 1 1.941% 11/01/21 07/29/2016 Various 2,570,000 2,570,000

59447T-KD-4 MICHIGAN ST FIN AUTH REVENUE SERIES C 2 1.607% 11/01/18 07/29/2016 Various 1,000,000 1,000,000

59447T-KF-9 MICHIGAN ST FIN AUTH REVENUE SERIES C 2 2.091% 11/01/20 07/29/2016 Various 6,765,000 6,765,000

59447T-KG-7 MICHIGAN ST FIN AUTH REVENUE SERIES C 2 2.241% 11/01/21 07/29/2016 Various 3,160,000 3,160,000

603827-XP-6 MINNEAPOLIS SAINT PAUL MN META SERIES E 2.050% 01/01/20 12/07/2016 Various 5,000,000 5,000,000

91412G-F5-9 UNIV OF CALIFORNIA CA REVENUE SERIES AU 1.910% 05/15/21 04/08/2016 Various 20,000,000 20,000,000

91756T-AG-6 UTAH ST MUNI PWR AGY PWR SPLY SERIES A 1.630% 07/01/19 10/07/2016 Various 500,000 500,000

91756T-AH-4 UTAH ST MUNI PWR AGY PWR SPLY SERIES A 1.823% 07/01/20 10/07/2016 Various 840,000 840,000

91756T-AJ-0 UTAH ST MUNI PWR AGY PWR SPLY SERIES A 2.023% 07/01/21 10/07/2016 Various 500,000 500,000

3199999. Subtotal - Bonds - U.S. Special Revenues 72,457,311 71,715,495 10,980

00138C-AB-4 AIG GLOBAL FUNDING SERIES 144A 1.900% 10/06/21 09/29/2016 Various 9,981,500 10,000,000

00206R-BC-5 AT&T INC 1.600% 02/15/17 01/19/2016 Various 5,013,700 5,000,000 34,889

00206R-CC-4 AT&T INC 2.300% 03/11/19 05/03/2016 Various 5,090,850 5,000,000 19,486

00206R-CR-1 AT&T INC 2.800% 02/17/21 01/29/2016 Various 9,982,300 10,000,000

002824-BC-3 ABBOTT LABORATORIES 2.350% 11/22/19 11/17/2016 Various 16,508,806 16,525,000

002824-BD-1 ABBOTT LABORATORIES 2.900% 11/30/21 11/17/2016 Various 7,985,840 8,000,000

00287Y-AU-3 ABBVIE INC 2.300% 05/14/21 05/09/2016 Various 10,132,339 10,150,000

00507V-AG-4 ACTIVISION BLIZZARD INC SERIES 144A 2.300% 09/15/21 09/14/2016 Various 5,543,229 5,550,000

00817Y-AS-7 AETNA INC 1.700% 06/07/18 06/02/2016 Various 4,996,000 5,000,000

00817Y-AT-5 AETNA INC 1.900% 06/07/19 06/02/2016 Various 18,486,125 18,500,000

02005A-EB-0 ALLY MASTER OWNER TRUST SERIES 2014-3 CLASS A 1.330% 01/16/18 01/28/2016 Various 3,000,938 3,000,000 1,884

025537-AF-8 AMERICAN ELECTRIC POWER CO INC 1.650% 12/15/17 12/08/2016 Various 2,503,250 2,500,000 20,396

0258M0-DR-7 AMERICAN EXPRESS CREDIT 1.550% 09/22/17 01/08/2016 Various 6,006,060 6,000,000 28,675

0258M0-EC-9 AMERICAN EXPRESS CREDIT SERIES MTN 1.700% 10/30/19 10/26/2016 Various 13,983,340 14,000,000

031162-BR-0 AMGEN INC 1.250% 05/22/17 01/14/2016 Various 4,989,350 5,000,000 10,069

032654-AL-9 ANALOG DEVICES INC 2.500% 12/05/21 11/30/2016 Various 7,071,174 7,100,000

03523T-BN-7 ANHEUSER-BUSCH INBEV WOR 1.375% 07/15/17 01/25/2016 Various 7,983,920 8,000,000 3,972

05253J-AQ-4 AUSTRALIA NEW ZEALAND 2.550% 11/23/21 11/16/2016 Various 4,997,900 5,000,000

053332-AU-6 AUTOZONE INC 1.625% 04/21/19 04/18/2016 Various 1,349,055 1,350,000

05377R-CK-8 AVIS BUDGET RENTAL CAR FUNDIN SERIES 16-2A CLASS A 144A 2.720% 11/20/22 05/24/2016 BANK OF NEW YORK B 7,998,995 8,000,000

E13



1


2

Description

3

Foreign

4

DateAcquired

5

Name of Vendor

6


7

Actual Cost

8

Par Value

9Paid for Accrued


06051G-ET-2 BANK OF AMERICA CORP SERIES MTN 2.000% 01/11/18 12/21/2016 Various 10,020,900 10,000,000 92,222

06051G-FW-4 BANK OF AMERICA CORP 2.625% 04/19/21 04/14/2016 Various 3,999,080 4,000,000

06051G-FZ-7 BANK OF AMERICA CORP SERIES MTN 2.503% 10/21/22 10/18/2016 Various 13,000,000 13,000,000

06051G-GB-9 BANK OF AMERICA CORP SERIES MTN 2.151% 11/09/20 11/04/2016 Various 4,100,000 4,100,000

06742L-AH-6 BARCLAYS DRYROCK ISSUANCE TRUS SERIES 2015-1 CLASS A 2.200% 12/15/22 11/17/2016 Various 3,337,254 3,300,000 1,412

06742L-AM-5 BARCLAYS DRYROCK ISSUANCE TRUS SERIES 2016 1 CLASS A 1.520% 05/15/22 11/17/2016 BANK OF NEW YORK B 11,192,875 11,200,000 502

092113-AK-5 BLACK HILLS CORP 2.500% 01/11/19 01/08/2016 Various 6,791,636 6,800,000

105340-AJ-2 BRANDYWINE OPER PARTNERS 5.700% 05/01/17 07/29/2016 Various 954,067 926,000 13,489

105340-AL-7 BRANDYWINE OPER PARTNERS 4.950% 04/15/18 08/16/2016 Various 706,006 675,000 10,712

12515A-BA-7 CD COMMERCIAL MORTGAGE TRUST C Commercial Mortgage Trust 1.848% 11/10/49 11/18/2016 Various 3,999,910 4,000,000 1,437

12531Y-AJ-7 CFCRE COMMERCIAL MORTGAGE TRUS SERIES 2016-C4 CLASS A1 1.501% 05/10/58 05/04/2016 Various 8,986,146 8,986,262 6,370

12532A-AW-9 CFCRE COMMERCIAL MORTGAGE TRUS SERIES 2016-C6 CLASS A1 1.519% 11/10/49 11/01/2016 Various 4,940,064 4,940,189 4,377

12635Y-AE-3 CNH EQUIPMENT TRUST SERIES 16 C CLASS A4 1.760% 09/15/23 09/13/2016 Various 5,449,690 5,450,000

12636M-AA-6 COLLATERALIZED MORTGAGE OBLIG 1.493% 01/15/49 05/17/2016 Various 9,293,312 9,293,321 9,635

126802-DN-4 CABELA'S MASTER CREDIT CARD SERIES 2016 1 CLASS A1 1.780% 06/15/22 06/23/2016 Various 14,997,675 15,000,000

133131-AQ-5 CAMDEN PROPERTY TRUST 5.700% 05/15/17 01/25/2016 Various 4,642,916 4,430,000 51,203

13974M-AD-8 CAPITAL AUTO RECEIVABLES ASSET SERIES 16 2 CLASS A4 1.630% 01/20/21 07/12/2016 Various 2,499,441 2,500,000

14041N-EP-2 CAPITAL ONE MULTI ASSET EXECUT SERIES 2014-A2 CLASS A2 1.260% 01/15/20 01/29/2016 Various 6,018,516 6,000,000 3,780

14041N-FG-1 CAPITAL ONE MULTI ASSET EXECUT SERIES 2016 A2 CLASS A5 1.660% 06/17/24 08/18/2016 Various 8,997,327 9,000,000

14042R-BS-9 CAPITAL ONE NA 1.850% 09/13/19 09/08/2016 Various 9,999,700 10,000,000

14042R-BT-7 CAPITAL ONE NA 2.250% 09/13/21 09/08/2016 Various 6,489,925 6,500,000

161571-BT-0 CHASE ISSUANCE TRUST SERIES 2007-A3 CLASS A3 5.230% 04/15/19 02/01/2016 Various 1,840,771 1,765,000 4,872

17290X-AQ-3 CITIGROUP COMMERCIAL MORTGAGE SERIES 2016-GC37 CLASS A1 1.635% 04/10/49 04/13/2016 Various 5,686,701 5,686,819 6,457

172967-JH-5 CITIGROUP INC 1.800% 02/05/18 10/24/2016 Various 3,007,500 3,000,000 12,300

172967-KS-9 CITIGROUP INC 2.050% 06/07/19 06/02/2016 Various 3,498,180 3,500,000

172967-KV-2 CITIGROUP INC 2.350% 08/02/21 07/26/2016 Various 11,991,600 12,000,000

17305E-FN-0 CITIBANK CREDIT CARD ISSUANCE SERIES 2014-A2 CLASS A2 1.020% 02/22/19 01/29/2016 Various 6,003,750 6,000,000 27,370

17325D-AA-1 CITIGROUP COMMERCIAL MORTGAGE SERIES 2016 P5 CLASS A1 1.410% 10/10/49 09/30/2016 Various 7,785,404 7,785,478 5,184

22822V-AD-3 CROWN CASTLE INTL CORP 2.250% 09/01/21 08/22/2016 Various 4,698,684 4,700,000

233851-BF-0 DAIMLER FINANCE NA LLC SERIES 144A 1.375% 08/01/17 01/13/2016 JP MORGAN CHASE BANK/H 2,979,930 3,000,000 19,250

233851-CF-9 DAIMLER FINANCE NA LLC SERIES 144A 1.500% 07/05/19 06/30/2016 Various 7,988,080 8,000,000

233851-CK-8 DAIMLER FINANCE NA LLC SERIES 144A 2.200% 10/30/21 10/26/2016 Various 7,997,760 8,000,000

25159N-AW-5 DDR CORP SERIES MTN 7.500% 07/15/18 11/16/2016 Various 2,175,440 2,000,000 2,500

254683-BJ-3 DISCOVER CARD MASTER TRUST SERIES 2014-A3 CLASS A3 1.220% 10/15/19 02/02/2016 BANK OF NEW YORK B 1,647,789 1,644,000 1,114

25746U-BW-8 DOMINION RESOURCES INC/VA 1.250% 03/15/17 02/02/2016 Various 3,556,836 3,565,000 17,330

25746U-CH-0 DOMINION RESOURCES INC/VA SERIES B 1.600% 08/15/19 08/04/2016 Various 7,399,334 7,400,000

25746U-CJ-6 DOMINION RESOURCES INC/VA SERIES C 2.000% 08/15/21 08/04/2016 Various 3,295,281 3,300,000

26444G-AA-1 DUKE ENERGY FLORIDA LLC SERIES 2018 1.196% 03/01/20 06/15/2016 Various 6,999,930 7,000,000

26444G-AB-9 DUKE ENERGY FL PROJ FIN SERIES 2021 1.731% 09/01/22 06/15/2016 Various 4,999,900 5,000,000

294429-AK-1 EQUIFAX INC 2.300% 06/01/21 05/05/2016 Various 10,045,176 10,050,000

31620M-AL-0 FIDELITY NATIONAL INFORMATION 1.450% 06/05/17 08/11/2016 Various 8,002,080 8,000,000 22,878

31620M-AS-5 FIDELITY NATIONAL INFORMATION 2.250% 08/15/21 08/11/2016 Various 9,998,600 10,000,000

31677Q-BF-5 FIFTH THIRD BANK/CINCINNATI OH 2.300% 03/15/19 03/10/2016 Various 11,597,332 11,600,000

31677Q-BH-1 FIFTH THIRD BANK/CINCINNATI OH 1.625% 09/27/19 09/22/2016 Various 9,983,400 10,000,000

34528Q-DE-1 FORD CREDIT FLOORPLAN MASTER SERIES 2014-1 CLASS A1 1.200% 02/15/19 01/28/2016 Various 9,082,083 9,085,000 5,148

34528Q-EU-4 FORD CREDIT FLOORPLAN MASTER SERIES 2016 3 CLASS A1 1.550% 07/15/21 07/19/2016 Various 4,999,139 5,000,000

34530U-AA-9 FORD CREDIT AUTO OWNER TRUST/F SERIES 16-1 CLASS A 144A 2.310% 08/15/27 02/23/2016 Various 11,996,742 12,000,000

345397-XT-5 FORD MOTOR CREDIT CO LLC SERIES MTN 2.943% 01/08/19 01/05/2016 Various 3,000,000 3,000,000

345397-XY-4 FORD MOTOR CREDIT CO LLC 2.021% 05/03/19 04/29/2016 Various 5,500,000 5,500,000

36159J-DL-2 GE CAPITAL CARD MASTER NOTE SERIES 2012-7 CLASS A 1.760% 09/15/22 05/02/2016 Various 2,004,766 2,000,000 1,956

361886-AL-8 GENERAL MOTORS SERIES 16-1 CLASS A1 144A 1.960% 05/17/21 05/24/2016 BANK OF NEW YORK B 4,999,008 5,000,000

36251P-AA-2 GS MORTGAGE SECURITIES TRUST SERIES 2016 GS3 CLASS A1 1.429% 10/10/49 09/22/2016 Various 4,818,126 4,818,194 5,546

37045X-AV-8 GENERAL MOTORS FINL CO 2.400% 04/10/18 07/19/2016 Various 5,039,750 5,000,000 34,000

37045X-BM-7 GENERAL MOTORS FINL CO 3.200% 07/06/21 06/29/2016 Various 12,926,302 12,950,000

37045X-BP-0 GENERAL MOTORS FINL CO 2.350% 10/04/19 10/03/2016 Various 14,995,650 15,000,000

38141G-VT-8 GOLDMAN SACHS GROUP INC/THE 2.000% 04/25/19 06/08/2016 Various 6,698,014 6,700,000 5,333

38141G-VU-5 GOLDMAN SACHS GROUP INC/THE 2.625% 04/25/21 04/20/2016 Various 1,499,025 1,500,000

38145G-AG-5 GOLDMAN SACHS GROUP INC 2.350% 11/15/21 09/22/2016 PERSHING LLC,USA 6,967,816 6,975,000

38145G-AJ-9 GOLDMAN SACHS GROUP INC 2.300% 12/13/19 12/08/2016 Various 9,992,500 10,000,000

38145X-AA-1 GOLDMAN SACHS GROUP INC 2.625% 01/31/19 07/19/2016 Various 5,115,050 5,000,000 62,708

40428H-PQ-9 HSBC USA INC 1.700% 03/05/18 12/22/2016 JP MORGAN CHASE BANK/H 998,640 1,000,000 5,336

40428H-PU-0 HSBC USA INC 2.000% 08/07/18 11/28/2016 Various 1,501,695 1,500,000 9,500

42805R-BN-8 HERTZ VEHICLE FINANCING LLC SERIES 2013-1A CLASS A2 1.830% 08/25/19 07/18/2016 Various 2,996,484 3,000,000 3,965

42806D-AY-5 HERTZ VEHICLE FINANCING LLC SERISE 16-3A CLASS A 144A 2.270% 07/25/20 06/01/2016 Various 7,499,935 7,500,000

42824C-AS-8 HP ENTERPRISE CO SERIES WI 2.450% 10/05/17 12/23/2016 Tax Free Exchange 27,993,054 28,000,000 163,800

E13.1



1


2

Description

3

Foreign

4

DateAcquired

5

Name of Vendor

6


7

Actual Cost

8

Par Value

9Paid for Accrued


431282-AN-2 HIGHWOODS REALTY LP 3.200% 06/15/21 10/03/2016 Various 3,489,075 3,375,000 33,300

446150-AK-0 HUNTINGTON BANCSHARES 2.300% 01/14/22 08/04/2016 Various 6,989,430 7,000,000

446438-RG-0 HUNINGTON NATIONAL BANK 2.200% 04/01/19 10/11/2016 Various 301,068 300,000 238

44891A-AG-2 HYUNDAI CAPITAL AMERICA SERIES 144A 2.000% 07/01/19 06/07/2016 Various 7,119,941 7,125,000

44891A-AH-0 HYUNDAI CAPITAL AMERICA SERIES 144A 2.450% 06/15/21 06/07/2016 Various 4,992,500 5,000,000

46590L-AQ-5 JPMDB COMMERCIAL MORTGAGE SECU SERIES 2016-C2 CLASS A1 1.423% 06/15/49 05/04/2016 Various 6,866,495 6,866,509 5,969

46590M-AN-0 JP MORGAN CHASE COMMERCIAL MOR SERIES 2016 JP2 CLASS A1 1.324% 08/15/49 09/20/2016 Various 945,465 948,429 768

46590R-AA-7 JP MORGAN CHASE COMMERCIAL MOR SERIES 2016 JP3 CLASS A1 1.462% 08/15/49 09/22/2016 Various 11,611,297 11,611,332 13,670

46623E-JY-6 JP MORGAN CHASE & CO SERIES MTN 1.350% 02/15/17 01/20/2016 Various 5,004,850 5,000,000 30,000

46623E-KG-3 JP MORGAN CHASE & CO 2.295% 08/15/21 08/03/2016 Various 5,800,000 5,800,000

46625H-JG-6 JP MORGAN CHASE & CO 1.800% 01/25/18 03/07/2016 Various 2,498,250 2,500,000 5,625

46625H-QU-7 JP MORGAN CHASE & CO 1.850% 03/22/19 03/18/2016 Various 14,990,400 15,000,000

46625H-RL-6 JP MORGAN CHASE & CO 2.700% 05/18/23 05/11/2016 Various 9,973,400 10,000,000

46646R-AG-8 JPMDB COMMERCIAL MORTGAGE SECU SERIES 2016-C4 CLASS A1 1.536% 12/15/49 10/31/2016 Various 4,956,294 4,956,294 4,443

46849L-SP-7 JACKSON NATL LIFE GLOBAL SERIES 144A 2.250% 04/29/21 04/25/2016 Various 9,992,900 10,000,000

47788N-AD-0 JOHN DEERE OWNER TRUST SERIES 16 B CLASS A4 1.490% 05/15/23 07/19/2016 Various 6,873,296 6,875,000

48125L-RG-9 JP MORGAN CHASE BANK NA 1.650% 09/23/19 09/20/2016 Various 9,989,800 10,000,000

49327M-2A-1 KEY BANK NA SERIES BKNT 1.650% 02/01/18 07/28/2016 PERSHING LLC,USA 1,296,579 1,290,000 59

49327M-2N-3 KEY BANK NA SERIES BKNT 2.350% 03/08/19 03/03/2016 PERSHING LLC,USA 5,622,244 5,625,000

49327M-2P-8 KEY BANK NA SERIES BKNT 1.600% 08/22/19 08/17/2016 PERSHING LLC,USA 14,995,200 15,000,000

57629W-CC-2 MASSMUTUTAL GLOBAL FUNDIN SERIES 144A 1.550% 10/11/19 10/05/2016 Various 2,498,625 2,500,000

59156R-BK-3 METLIFE INC 1.903% 12/15/17 01/12/2016 PERSHING LLC,USA 7,045,640 7,000,000 11,101

59217G-AY-5 MET LIFE GLOB FUNDING SERIES 144A 1.500% 01/10/18 12/21/2016 Various 2,925,059 2,925,000 20,353

59217G-BV-0 MET LIFE GLOB FUNDING SERIES 144A 1.550% 09/13/19 09/08/2016 Various 5,991,420 6,000,000

59217G-BX-6 MET LIFE GLOB FUNDING SERIES 144A 1.950% 09/15/21 09/08/2016 Various 4,991,700 5,000,000

61691E-AW-5 MORGAN STANLEY CAPITAL I TRUST SERIES 2016-UB12 CLASS A1 1.779% 12/15/49 11/22/2016 Various 2,999,993 3,000,000 890

617446-7U-7 MORGAN STANLEY 2.125% 04/25/18 10/24/2016 Various 4,030,880 4,000,000 472

61746B-DX-1 MORGAN STANLEY 2.450% 02/01/19 01/22/2016 Various 4,996,650 5,000,000

61746B-ED-4 MORGAN STANLEY 2.625% 11/17/21 11/14/2016 Various 9,948,900 10,000,000

61766E-BA-2 MORGAN STANLEY BAML TRUST SERIES 2016-C29 CLASS A1 1.597% 05/15/49 04/22/2016 Various 4,582,115 4,582,124 813

61767F-AW-1 MORGAN STANLEY CAPITAL I TRUST SERIES 2016 UB11 CLASS A1 1.445% 08/15/49 08/12/2016 Various 4,552,124 4,552,152 4,385

65339K-AJ-9 NEXTERA ENERGY CAPITAL 1.649% 09/01/18 08/25/2016 Various 3,057,625 3,050,000

65339K-AR-1 NEXTERA ENERGY CAPITAL 2.300% 04/01/19 05/25/2016 Various 8,847,088 8,845,000 4,170

654740-AR-0 NISSAN MOTOR ACCEPTANCE SERIES 144A 1.550% 09/13/19 09/07/2016 Various 14,998,650 15,000,000

65474V-AL-5 NISSAN MASTER OWNER TRUST RECE SERIES 2016 A CLASS A2 1.540% 06/15/21 07/12/2016 BANK OF NEW YORK B 3,499,502 3,500,000

68389X-BK-0 ORACLE CORP 1.900% 09/15/21 06/29/2016 Various 9,982,600 10,000,000

69352P-AG-8 PPL CAPITAL FUNDING INC 1.900% 06/01/18 03/15/2016 PERSHING LLC,USA 2,216,679 2,225,000 12,565

69353R-EZ-7 PNC BANK NA SERIES BKNT 1.700% 12/07/18 12/06/2016 Various 9,991,800 10,000,000

74153W-CH-0 PRICOA GLOBAL FUNDING 1 SERIES 144A 2.200% 06/03/21 05/26/2016 Various 9,985,900 10,000,000

74256L-AR-0 PRINCIPAL LFE GLB FND II SERIES 144A 1.500% 04/18/19 04/11/2016 Various 3,987,520 4,000,000

74368C-AB-0 PROTECTIVE LIFE GLOBAL SERIES 144A 1.722% 04/15/19 04/12/2016 Various 10,000,000 10,000,000

744573-AJ-5 PUBLIC SERVICE ENTERPRISE GROU 1.600% 11/15/19 11/03/2016 Various 9,988,300 10,000,000

7591EP-AK-6 REGIONS FINANCIAL CORP 3.200% 02/08/21 05/10/2016 Various 10,126,900 10,000,000 84,444

797440-BT-0 SAN DIEGO GAS & ELECTRIC CO SERIES PPP 1.914% 02/01/22 02/25/2016 PERSHING LLC,USA 2,241,903 2,271,432 3,623

80282K-AH-9 SANTANDER HOLDINGS USA 2.700% 05/24/19 05/23/2016 Various 14,997,000 15,000,000

816851-AZ-2 SEMPRA ENERGY 1.625% 10/07/19 10/04/2016 Various 7,467,376 7,475,000

842400-GF-4 SOUTHERN CAL EDISON 1.845% 02/01/22 02/25/2016 PERSHING LLC,USA 3,650,593 3,696,429 5,683

842587-CK-1 SOUTHERN CO 1.300% 08/15/17 03/17/2016 US BANCORP INVESTMENT 3,485,405 3,500,000 4,676

842587-CQ-8 SOUTHERN CO 1.850% 07/01/19 05/19/2016 Various 10,498,005 10,500,000

843646-AS-9 SOUTHERN POWER CO 1.950% 12/15/19 11/10/2016 Various 19,995,000 20,000,000

863667-AK-7 STRYKER CORP 2.000% 03/08/19 03/03/2016 Various 5,743,330 5,750,000

87165L-AF-8 SYNCHRONY CREDIT CARD MASTER SERIES 2015-1 CLASS A 2.370% 03/15/23 05/02/2016 Various 3,062,227 3,000,000 3,950

871829-BB-2 SYSCO CORP 1.900% 04/01/19 06/08/2016 Various 5,920,215 5,900,000 11,400

87305Q-CL-3 TTX CO SERIES 144A 2.250% 02/01/19 01/12/2016 Various 9,987,100 10,000,000

883556-BL-5 THERMO FISHER SCIENTIFIC 2.150% 12/14/18 07/19/2016 Various 1,940,504 1,910,000 4,221

90331H-MY-6 US BANK NA CINCINNATI SERIES BKNT 1.400% 04/26/19 04/21/2016 US BANCORP INVESTMENT 4,487,490 4,500,000

949746-SA-0 WELLS FARGO & CO 2.100% 07/26/21 07/18/2016 Various 9,990,600 10,000,000

94974B-FD-7 WELLS FARGO & COMPANY SERIES MTN 2.100% 05/08/17 01/20/2016 Various 5,057,300 5,000,000 22,458

94988J-5A-1 WELLS FARGO BANK NA SERIES BKNT 1.650% 01/22/18 03/16/2016 Various 5,500,295 5,500,000 7,425

95000D-BA-8 WELLS FARGO COMMERCIAL MORTGAG SERIES 2016-C34 CLASS A1 1.423% 05/15/49 05/10/2016 Various 4,628,501 4,628,515 4,208

95000H-BC-5 WELLS FARGO COMMERCIAL MORTGAG SERIES 2016 LC24 CLASS A1 1.441% 10/15/49 09/14/2016 Various 11,478,845 11,479,040 12,865

95000K-AY-1 WELLS FARGO COMMERCIAL MORTGAG SERIES 2016 NXS6 CLASS A1 1.417% 11/15/49 09/29/2016 Various 16,525,080 16,525,476 7,806

98161F-AE-5 WORLD OMNI AUTOMOBILE LEASE SE SERIES 16 A CLASS A4 1.610% 01/15/22 07/12/2016 Various 3,999,836 4,000,000

06367T-JW-1 BANK OF MONTREAL SERIES MTN 1.350% 08/28/18 A 08/24/2016 Various 2,999,880 3,000,000

06367T-JX-9 BANK OF MONTREAL SERIES MTN 1.900% 08/27/21 A 08/24/2016 Various 14,971,650 15,000,000

E13.2



1


2

Description

3

Foreign

4

DateAcquired

5

Name of Vendor

6


7

Actual Cost

8

Par Value

9Paid for Accrued


06367T-PX-2 BANK OF MONTREAL SERIES MTN 2.100% 12/12/19 A 12/07/2016 BMO CAPITAL MARKETS CORP BONDS 8,346,410 8,350,000

064159-CU-8 BANK OF NOVA SCOTIA 2.050% 10/30/18 A 11/16/2016 Various 1,512,825 1,500,000 1,794

064159-HT-6 BANK OF NOVA SCOTIA 1.650% 06/14/19 A 07/19/2016 Various 13,513,990 13,500,000 8,708

349553-AJ-6 FORTIS INC SERIES 144A 2.100% 10/04/21 A 09/29/2016 Various 5,086,995 5,100,000

78012K-RK-5 ROYAL BANK OF CANADA 1.500% 07/29/19 A 07/25/2016 Various 14,982,900 15,000,000

00084D-AM-2 ABN AMRO BANK NV SERIES 144A 1.800% 09/20/19 D 09/13/2016 Various 9,986,600 10,000,000

00182E-BA-6 ANZ NEW ZEALAND INTL SERIES 144A 2.125% 07/28/21 D 07/21/2016 Various 8,891,990 8,900,000

05253J-AP-6 AUST & NZ BANKING GRP NY 2.050% 09/23/19 D 11/16/2016 Various 5,997,300 6,000,000

05565Q-CC-0 BP CAPITAL MARKETS PLC 1.375% 11/06/17 D 09/22/2016 Various 3,001,800 3,000,000 16,156

05954T-AK-7 BANCO DE CREDITO DEL PER SERIES 144A 2.250% 10/25/19 D 10/21/2016 Various 3,142,393 3,150,000 25

064255-AU-6 BK TOKYO MITSUBISHI UFJ SERIES 144A 2.300% 03/10/19 D 06/08/2016 JP MORGAN CHASE BANK/H 2,028,440 2,000,000 11,883

06538P-AA-0 BK TOKYO-MITSUBISHI UFJ SERIES 144A 2.150% 09/14/18 D 11/16/2016 MITSUBISHI UFJ SECURITIE 2,009,600 2,000,000 8,003

12563T-AA-8 CK HUTCHISON INTL 16 LTD SERIES 144A 1.875% 10/03/21 D 09/28/2016 JP MORGAN CHASE BANK/H 9,934,200 10,000,000

20271R-AD-2 COMMONWEALTH BK AUSTR NY 2.500% 09/20/18 D 03/03/2016 Various 2,029,840 2,000,000 23,333

20271R-AN-0 COMMONWEALTH BK AUSTR NY SERIES MTN 2.050% 03/15/19 D 03/08/2016 Various 9,987,000 10,000,000

2027A0-HZ-5 COMMONWEALTH BANK AUST SERIES 144A 1.750% 11/07/19 D 10/25/2016 JP MORGAN CHASE BANK/H 9,986,900 10,000,000

21987B-AP-3 CODELCO INC SERIES 144A 3.875% 11/03/21 D 07/06/2016 JP MORGAN CHASE BANK/H 5,356,250 5,000,000 36,597

302154-CB-3 EXPORT-IMPORT BK KOREA 1.750% 05/26/19 D 05/18/2016 Various 7,989,280 8,000,000

404280-BF-5 HSBC HOLDINGS PLC 2.650% 01/05/22 D 11/02/2016 Various 15,089,116 15,150,000 35,687

606822-AG-9 MITSUBISHI UFJ FIN GRP 2.190% 09/13/21 D 09/06/2016 Various 10,000,000 10,000,000

60687Y-AE-9 MIZUHO FINANCIAL GROUP 2.273% 09/13/21 D 09/07/2016 Various 6,000,000 6,000,000

60920L-AA-2 MONDELEZ INTL HLDINGS NE SERIES 144A 1.625% 10/28/19 D 10/19/2016 Various 12,971,920 13,000,000

60920L-AC-8 MONDELEZ INTL HLDINGS NE SERIES 144A 2.000% 10/28/21 D 10/19/2016 Various 9,963,100 10,000,000

63253W-AA-9 NATIONAL AUSTRALIA BANK SERIES 144A 2.000% 06/20/17 D 11/29/2016 Various 4,018,400 4,000,000 36,000

63254A-AQ-1 NATIONAL AUSTRALIA BK LT 1.375% 07/12/19 D 07/05/2016 Various 4,982,600 5,000,000

71654Q-BQ-4 PETROLEOS MEXICANOS SERIES WI 3.125% 01/23/19 D 02/04/2016 Various 2,104,300 2,200,000 3,056

71656L-BH-3 PETROLEOS MEXICANOS SERIES 144A 5.500% 02/04/19 D 01/28/2016 Various 3,000,000 3,000,000

80281L-AE-5 SANTANDER UK GROUP HLDGS 2.875% 08/05/21 D 08/01/2016 Various 11,984,520 12,000,000

80283L-AD-5 SANTANDER UK PLC 1.650% 09/29/17 D 06/01/2016 Tax Free Exchange 2,498,907 2,500,000 7,219

80283L-AK-9 SANTANDER UK PLC 2.500% 03/14/19 D 06/01/2016 Tax Free Exchange 4,991,889 5,000,000 27,083

82481L-AA-7 SHIRE ACQ INV IRELAND DA 1.900% 09/23/19 D 09/19/2016 Various 19,983,800 20,000,000

865622-CC-6 SUMITOMO MITSUI BANKING 1.762% 10/19/18 D 10/11/2016 Various 11,000,000 11,000,000

86562M-AB-6 SUMITOMO MITSUI FINL GRP 2.934% 03/09/21 D 03/02/2016 Various 5,000,000 5,000,000

86562M-AE-0 SUMITOMO MITSUI FINANCIAL GROU SERIES 5FXD 2.058% 07/14/21 D 07/07/2016 Various 8,000,000 8,000,000

86563V-AG-4 SUMITOMO MITSUI TR BK LT SERIES 144A 2.050% 10/18/19 D 10/12/2016 Various 14,991,750 15,000,000

88167A-AA-9 TEVA PHARMACEUTICALS NE 1.400% 07/20/18 D 07/18/2016 Various 4,995,700 5,000,000

88167A-AB-7 TEVA PHARMACEUTICALS NE 1.700% 07/19/19 D 07/18/2016 Various 9,224,170 9,225,000

961214-CY-7 WESTPAC BANKING CORP 1.600% 08/19/19 D 08/11/2016 Various 14,997,300 15,000,000

3899999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) 1,341,588,822 1,340,962,995 1,268,181

8399997. Total - Bonds - Part 3 1,658,639,267 1,657,653,490 1,443,344

8399998. Total - Bonds - Part 5 2,697,386,139 2,698,665,190 1,476,373

8399999. Total - Bonds 4,356,025,406 4,356,318,680 2,919,717

8999997. Total - Preferred Stocks - Part 3 XXX

8999998. Total - Preferred Stocks - Part 5 XXX

8999999. Total - Preferred Stocks XXX

128116-10-0 Calamos Growth & Income Port A 12/30/2016 Various 68,803.000 968,952

128116-10-0 Calamos Growth & Income Port A 12/27/2016 Various 13,039.000 180,785

233203-67-8 DFA VA Short Term Fixed Port 12/29/2016 Various 18,542.000 189,119

22544K-88-8 Credit Suisse Commodity Return Strat Port 12/19/2016 Various 44,686.000 168,247

22544K-88-8 Credit Suisse Commodity Return Strat Port 07/07/2016 Various 1,719.000 7,302

233203-68-6 DFA VA Int'l Small Co Port 12/29/2016 Various 70,214.000 787,463

233203-67-8 DFA VA Short Term Fixed Port 12/30/2016 Various 1,670,946.000 17,082,187

233203-67-8 DFA VA Short Term Fixed Port 12/28/2016 Various 37,402.000 382,654

233203-69-4 DFA VA Int'l Value Port 12/29/2016 Various 83,665.000 893,149

233203-68-6 DFA VA Int'l Small Co Port 12/30/2016 Various 1,103,066.000 12,477,773

233203-68-6 DFA VA Int'l Small Co Port 12/30/2016 Various 164,871.000 1,855,795

233203-71-0 DFA VA US Targeted Value Port 12/30/2016 Various 25,137.000 445,073

233203-69-4 DFA VA Int'l Value Port 12/30/2016 Various 1,110,094.000 11,704,344

233203-69-4 DFA VA Int'l Value Port 12/28/2016 Various 198,522.000 2,097,495

233203-72-8 DFA VA Global Bond Port 12/29/2016 Various 43,118.000 470,893

233203-71-0 DFA VA US Targeted Value Port 12/30/2016 Various 350,573.000 6,119,664

233203-71-0 DFA VA US Targeted Value Port 12/28/2016 Various 171,276.000 2,941,485

233203-77-7 DFA VA US Large Value Port 12/30/2016 Various 65,709.000 1,451,155

E13.3



1


2

Description

3

Foreign

4

DateAcquired

5

Name of Vendor

6


7

Actual Cost

8

Par Value

9Paid for Accrued


233203-72-8 DFA VA Global Bond Port 12/30/2016 Various 1,220,923.000 13,316,388

233203-72-8 DFA VA Global Bond Port 12/30/2016 Various 53,159.000 579,331

246493-54-8 Del VIP Diversf Inc Ser Std 1 12/27/2016 Various 95,079.000 984,134



246493-67-0 Del VIP Sml Cap Val Ser Std 1 12/29/2016 Various 33,758.000 1,168,408

246493-54-8 Del VIP Diversf Inc Ser Std 1 12/30/2016 Various 837,242.000 8,683,046

246493-54-8 Del VIP Diversf Inc Ser Std 1 12/30/2016 Various 123,105.000 1,285,569

25239Y-54-3 DFA VIT Inflation Protected Sec 12/27/2016 Various 760.000 7,679



25239Y-58-4 DFA VA Global Mod Alloction 12/30/2016 Various 62,621.000 703,522

246493-76-1 Del VIP Intl Val Eq Ser Std 1 12/30/2016 Various 1,158,400.000 12,427,475

246493-76-1 Del VIP Intl Val Eq Ser Std 1 12/30/2016 Various 88,330.000 952,264

355150-77-2 Franklin Developing Mrkts VIP Fnd Cl 1 12/22/2016 Various 92,045.000 640,084

25239Y-58-4 DFA VA Global Mod Alloction 12/30/2016 Various 1,393,278.000 15,764,790

25239Y-54-3 DFA VIT Inflation Protected Sec 12/27/2016 Various 51,880.000 519,288

41015H-71-1 John Hancock Emerging Markets Value Trust 12/29/2016 Various 45,339.000 370,372

355150-71-5 Franklin Mutual Shares VIP Fnd Cl 1 12/30/2016 Various 49,361.000 983,244

25239Y-58-4 DFA VA Global Mod Alloction 12/30/2016 Various 166,454.000 1,800,787

552748-10-5 MFin M International Equity Fd 12/29/2016 Various 103,647.000 1,144,125

355150-74-9 Franklin Sm-Mid Cap Growth VIP Fnd Cl 1 12/30/2016 Various 115,034.000 2,025,818

355150-71-5 Franklin Mutual Shares VIP Fnd Cl 1 12/27/2016 Various 34,548.000 698,767

552748-20-4 MFin M Large Cap Growth Fd 12/29/2016 Various 42,459.000 867,879

355150-77-2 Franklin Developing Mrkts VIP Fnd Cl 1 12/30/2016 Various 527,287.000 3,660,941

355150-74-9 Franklin Sm-Mid Cap Growth VIP Fnd Cl 1 12/30/2016 Various 21,631.000 387,319

552748-30-3 MFin M Capital Appreciation Fd 12/29/2016 Various 40,994.000 1,138,488

355150-88-9 Franklin Income VIP Fnd Cl 1 12/30/2016 Various 176,804.000 2,647,083

355150-77-2 Franklin Developing Mrkts VIP Fnd Cl 1 12/30/2016 Various 114,529.000 788,596

552748-50-1 MFin M Business Opp Val Fd 12/29/2016 Various 58,749.000 690,510

41015H-71-1 John Hancock Emerging Markets Value Trust 12/30/2016 Various 1,001,379.000 7,796,568

355150-88-9 Franklin Income VIP Fnd Cl 1 12/27/2016 Various 13,875.000 208,384

641222-70-8 NeuBer AMT MC Intrinsic Val I 12/20/2016 Various 7,388.000 118,974

471021-43-6 Janus Aspn Prkins Mid-Cap Inst 12/30/2016 Various 246,507.000 3,885,158

41015H-71-1 John Hancock Emerging Markets Value Trust 12/28/2016 Various 110,061.000 880,843

693394-58-7 PIMCO-PVIT EmgMktBond Inst 12/30/2016 Various 2,639.000 33,038

471021-70-9 Janus Aspen Overseas Inst 12/30/2016 Various 28,636.000 723,505

471021-43-6 Janus Aspn Prkins Mid-Cap Inst 12/28/2016 Various 54,602.000 877,275

693394-67-8 PIMCO-PVIT Gbl Bd Unhdgd Inst 12/30/2016 Various 4,658.000 55,484

471021-86-5 Janus Aspen Forty Port Inst 12/30/2016 Various 91,685.000 2,993,310

471021-70-9 Janus Aspen Overseas Inst 12/28/2016 Various 16,376.000 415,918

693394-74-4 PIMCO-PVIT Real Return Inst 12/30/2016 Various 9,776.000 121,169

52467K-83-9 Legg Mason WA Var Global High Yield Bd 1 12/30/2016 Various 558,368.000 3,852,282

471021-86-5 Janus Aspen Forty Port Inst 12/29/2016 Various 20,862.000 680,958

693394-78-5 PIMCO VIT Tot Ret Port Inst 12/30/2016 Various 45,206.000 485,877

52467M-84-3 Legg Mason Clrbrdg Var Sml Cap Grw Cl 1 12/30/2016 Various 42,382.000 843,264

52467K-83-9 Legg Mason WA Var Global High Yield Bd 1 12/30/2016 Various 45,393.000 323,235

742969-57-9 Principal PVC Equity Income Acct Cl 1 12/29/2016 Various 24,245.000 531,806

52467X-20-3 Legg Mason Clrbrdg Var Aggres Growth Cl 1 12/30/2016 Various 511,651.000 12,989,168

52467M-84-3 Legg Mason Clrbrdg Var Sml Cap Grw Cl 1 12/30/2016 Various 9,219.000 184,377

742969-60-3 Principal PVC MidCap Acct Cl 1 12/19/2016 Various 1,464.000 74,545

55273F-10-0 MFS-VIT Growth Series 12/27/2016 Various 6,807.000 270,402

52467X-20-3 Legg Mason Clrbrdg Var Aggres Growth Cl 1 12/27/2016 Various 41,691.000 1,074,624

74437G-85-4 PS Natural Res Port Cl B 12/28/2016 Various 4,606.000 106,187

55273F-60-5 MFS-VIT Utility Series 12/30/2016 Various 29,787.000 808,818

55273F-10-0 MFS-VIT Growth Series 12/29/2016 Various 5,982.000 238,157

77954R-10-4 TRPrice Limited Term Bond 12/30/2016 Various 19,256.000 93,542

55273F-83-7 MFS-VIT Global Eqty Series 12/30/2016 Various 110,720.000 2,055,021

55273F-60-5 MFS-VIT Utility Series 12/28/2016 Various 8,508.000 235,336

77954T-60-5 T Rowe Price Health Sciences i 12/19/2016 Various 2,773.000 98,171

55274F-61-2 MFS VITII Mass Invest Grwth Stk IC 12/30/2016 Various 122,920.000 1,999,959

55273F-83-7 MFS-VIT Global Eqty Series 12/27/2016 Various 19,429.000 363,377

87244V-10-4 TIAA-CREF Life Growth Equity 12/29/2016 Various 27,337.000 767,602

641222-10-4 NeuBer AMT Large Cap Value 12/30/2016 Various 123,384.000 1,721,733

55274F-61-2 MFS VITII Mass Invest Grwth Stk IC 12/28/2016 Various 11,806.000 190,513

E13.4



1


2

Description

3

Foreign

4

DateAcquired

5

Name of Vendor

6


7

Actual Cost

8

Par Value

9Paid for Accrued


87244V-20-3 TIAA-CREF Life Intl Equity 12/27/2016 Various 59,058.000 1,013,982

641222-70-8 NeuBer AMT MC Intrinsic Val I 12/30/2016 Various 859,912.000 13,963,013

641222-10-4 NeuBer AMT Large Cap Value 12/30/2016 Various 8,833.000 123,835

87244V-30-2 TIAA-CREF Life Growth & Income 12/30/2016 Various 10,298.000 363,578

693394-58-7 PIMCO-PVIT EmgMktBond Inst 12/30/2016 Various 759,216.000 9,461,183

641222-70-8 NeuBer AMT MC Intrinsic Val I 12/30/2016 Various 74,981.000 1,223,707

87244V-40-1 TIAA-CREF Life Stock Index 12/30/2016 Various 77,535.000 3,567,137

693394-61-1 PIMCO-PVIT ComRlRetStrat Inst 12/30/2016 Various 67,478.000 495,526

693394-58-7 PIMCO-PVIT EmgMktBond Inst 12/30/2016 Various 52,659.000 663,099

87244V-50-0 TIAA-CREF Life Social Choice 12/16/2016 Various 3,032.000 106,721

693394-64-5 PIMCO-PVIT All Asset Fd Inst 12/30/2016 Various 84,395.000 820,374

693394-61-1 PIMCO-PVIT ComRlRetStrat Inst 12/28/2016 Various 19,417.000 148,961

87244V-60-9 TIAA-CREF Life Large Cap Value 12/28/2016 Various 18,168.000 621,986

693394-67-8 PIMCO-PVIT Gbl Bd Unhdgd Inst 12/30/2016 Various 125,514.000 1,498,431

693394-64-5 PIMCO-PVIT All Asset Fd Inst 12/29/2016 Various 40,465.000 401,643

87244V-70-8 TIAA-CREF Life Small Cap Eqty 12/16/2016 Various 22,059.000 713,881

693394-74-4 PIMCO-PVIT Real Return Inst 12/30/2016 Various 1,955,253.000 24,218,783

693394-67-8 PIMCO-PVIT Gbl Bd Unhdgd Inst 12/30/2016 Various 29,425.000 340,379

87244V-80-7 TIAA-CREF Life Real Estate 12/20/2016 Various 2,004.000 65,941

742969-57-9 Principal PVC Equity Income Acct Cl 1 12/30/2016 Various 945,240.000 21,067,539

693394-74-4 PIMCO-PVIT Real Return Inst 12/30/2016 Various 113,893.000 1,411,405

87244V-86-4 TIAA-CREF Life Balanced 12/27/2016 Various 14,736.000 149,957

742969-60-3 Principal PVC MidCap Acct Cl 1 12/30/2016 Various 44,057.000 2,332,151

742969-57-9 Principal PVC Equity Income Acct Cl 1 12/30/2016 Various 68,603.000 1,544,276

87244V-88-0 TIAA-CREF Life Bond 12/21/2016 Various 10,014.000 253,637

74437G-60-7 PS Value Port Cl B 12/30/2016 Various 33,157.000 776,128

742969-60-3 Principal PVC MidCap Acct Cl 1 12/27/2016 Various 4,398.000 227,116

921925-20-2 Vanguard Vanguard VIF TotBond Mkt Idx 12/30/2016 Various 189,103.000 2,252,162

74437G-78-9 PS Jennison 20/20 Port Cl B 12/30/2016 Various 104,819.000 2,297,630

74437G-60-7 PS Value Port Cl B 12/30/2016 Various 2,609.000 60,576

921925-80-6 Vanguard VIF High Yield Bond 12/21/2016 Various 34,817.000 264,254


74437G-78-9 PS Jennison 20/20 Port Cl B 12/30/2016 Various 12,306.000 270,007

921925-82-2 Vanguard VIF Capital Growth 12/29/2016 Various 34,554.000 910,817

74925K-42-5 Matson Money Fixed Income VI Port 12/30/2016 Various 280,434.000 7,044,680


921925-84-8 Vanguard VIF REIT Index 12/30/2016 Various 33,468.000 443,403

74925K-43-3 Matson Money Intl Equity VI Port 12/30/2016 Various 183,301.000 3,964,451

74925K-42-5 Matson Money Fixed Income VI Port 12/30/2016 Various 16,817.000 421,403

921925-85-5 Vanguard VIF MidCap Index 12/29/2016 Various 70,294.000 1,398,324

74925K-44-1 Matson Money Market US Equity VI Port 12/30/2016 Various 215,697.000 5,601,169

74925K-43-3 Matson Money Intl Equity VI Port 12/30/2016 Various 12,846.000 282,709

921925-30-1 Vanguard WIF Equity Index 12/30/2016 Various 164,735.000 5,484,529

77954R-10-4 TRPrice Limited Term Bond 12/30/2016 Various 3,132,211.000 15,231,243

74925K-44-1 Matson Money Market US Equity VI Port 12/29/2016 Various 14,016.000 373,141

921925-88-9 Vanguard VIF Small Cp Growth 12/30/2016 Various 41,506.000 810,431

77954T-60-5 T Rowe Price Health Sciences i 12/30/2016 Various 39,542.000 1,398,343

77954R-10-4 TRPrice Limited Term Bond 12/30/2016 Various 134,429.000 653,599

92913T-88-5 VOYA Russell LgCap Gr Idx Init 12/29/2016 Various 9,021.000 239,424

78080T-10-5 Royce Small Cap Annuity Invest 12/30/2016 Various 280,158.000 2,433,174

77954T-60-5 T Rowe Price Health Sciences i 12/30/2016 Various 12,291.000 440,857

92914E-81-2 VOYA Clarion Global Real Est I 12/16/2016 Various 6,023.000 69,332

78080T-30-3 Royce Micro Cap Annuity Invest 12/29/2016 Various 145,641.000 1,461,832

78080T-10-5 Royce Small Cap Annuity Invest 12/30/2016 Various 70,822.000 628,738

87244V-10-4 TIAA-CREF Life Growth Equity 12/30/2016 Various 312,617.000 8,715,162

78080T-30-3 Royce Micro Cap Annuity Invest 12/29/2016 Various 5,927.000 58,395


87244V-10-4 TIAA-CREF Life Growth Equity 12/28/2016 Various 39,764.000 1,089,672

87244V-30-2 TIAA-CREF Life Growth & Income 12/30/2016 Various 480,721.000 17,479,708



87244V-30-2 TIAA-CREF Life Growth & Income 12/29/2016 Various 51,082.000 1,870,146

87244V-50-0 TIAA-CREF Life Social Choice 12/30/2016 Various 266,836.000 9,448,383


87244V-60-9 TIAA-CREF Life Large Cap Value 12/30/2016 Various 308,548.000 10,412,753

E13.5



1


2

Description

3

Foreign

4

DateAcquired

5

Name of Vendor

6


7

Actual Cost

8

Par Value

9Paid for Accrued


87244V-50-0 TIAA-CREF Life Social Choice 12/30/2016 Various 7,029.000 248,641

87244V-70-8 TIAA-CREF Life Small Cap Eqty 12/30/2016 Various 258,458.000 8,271,276

87244V-60-9 TIAA-CREF Life Large Cap Value 12/28/2016 Various 28,515.000 962,314

87244V-80-7 TIAA-CREF Life Real Estate 12/30/2016 Various 497,386.000 16,264,970

87244V-70-8 TIAA-CREF Life Small Cap Eqty 12/28/2016 Various 34,501.000 1,083,348

87244V-86-4 TIAA-CREF Life Balanced 12/30/2016 Various 1,587,187.000 16,446,660

87244V-80-7 TIAA-CREF Life Real Estate 12/30/2016 Various 44,201.000 1,484,676

87244V-88-0 TIAA-CREF Life Bond 12/30/2016 Various 1,281,067.000 32,462,847

87244V-86-4 TIAA-CREF Life Balanced 12/28/2016 Various 91,328.000 960,863

921925-20-2 Vanguard Vanguard VIF TotBond Mkt Idx 12/30/2016 Various 2,553,845.000 30,579,585

87244V-88-0 TIAA-CREF Life Bond 12/30/2016 Various 60,271.000 1,542,732

921925-30-1 Vanguard WIF Equity Index 12/30/2016 Various 1,466,422.000 48,582,941

921925-20-2 Vanguard Vanguard VIF TotBond Mkt Idx 12/28/2016 Various 121,618.000 1,458,782

921925-80-6 Vanguard VIF High Yield Bond 12/30/2016 Various 1,788,335.000 13,758,855

921925-80-6 Vanguard VIF High Yield Bond 12/29/2016 Various 143,976.000 1,102,699

921925-82-2 Vanguard VIF Capital Growth 12/30/2016 Various 71,291.000 1,855,859

921925-82-2 Vanguard VIF Capital Growth 12/28/2016 Various 48,477.000 1,303,249

921925-84-8 Vanguard VIF REIT Index 12/30/2016 Various 672,606.000 8,992,307

921925-30-1 Vanguard WIF Equity Index 12/28/2016 Various 37,324.000 1,247,263


921925-84-8 Vanguard VIF REIT Index 12/30/2016 Various 136,777.000 1,831,493

921925-88-9 Vanguard VIF Small Cp Growth 12/30/2016 Various 304,364.000 5,957,271


92914E-81-2 VOYA Clarion Global Real Est I 12/30/2016 Various 177,895.000 2,130,314

921925-88-9 Vanguard VIF Small Cp Growth 12/28/2016 Various 46,809.000 908,693

933702-10-2 Wanger US Smaller Co Fund 12/28/2016 Various 23,254.000 591,916

92914E-81-2 VOYA Clarion Global Real Est I 12/30/2016 Various 24,854.000 300,796

933702-20-1 Wanger Intl Small Cap Fund 12/30/2016 Various 130,300.000 3,270,792

933702-10-2 Wanger US Smaller Co Fund 12/28/2016 Various 3,994.000 100,922

933702-30-0 Wanger Select Fund 12/30/2016 Various 57,796.000 1,100,967

933702-20-1 Wanger Intl Small Cap Fund 12/30/2016 Various 18,330.000 458,778

933702-30-0 Wanger Select Fund 12/30/2016 Various 8,874.000 171,466

9299999. Subtotal - Common Stocks - Mutual Funds 679,163,617 XXX

87244V-87-2 TIAA-CREF Life Money Market 12/30/2016 Various 51,702,397.000 51,702,397



9399999. Subtotal - Common Stocks - Money Market Mutual Funds 70,779,892 XXX

9799997. Total - Common Stocks - Part 3 749,943,509 XXX

9799998. Total - Common Stocks - Part 5 54,342,458 XXX

9799999. Total - Common Stocks 804,285,967 XXX

9899999. Total - Preferred and Common Stocks 804,285,967 XXX

9999999 - Totals 5,160,311,373 XXX 2,919,717

E13.6


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

1 2 3 4 5 6 7 8 9 10 Change In Book/Adjusted Carrying Value 16 17 18 19 20 21

CUSIPIdenti-fication Description

For-eign

DisposalDate

Nameof Purchaser

Number of Shares of

StockCon-

sideration Par Value Actual Cost

Prior YearBook/

Adjusted Carrying

Value

11

Unrealized Valuation Increase/Decrease

12

Current Year's (Amor-

tization)/Accretion

13

Current Year'sOther-Than-

Temporary Impairment Recognized

14

TotalChange in


Value(11+12-13)

15Total


Book/ Adjusted Carrying

Value

Book/Adjusted Carrying Value at Disposal

Date

Foreign Exchange

Gain(Loss) on Disposal

Realized Gain (Loss) on Disposal

Total Gain (Loss) on Disposal

BondInterest/ Stock

Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date

59511V-AA-7 MICRON SEMICONDUCTOR 1.258% 01/15/19 07/15/2016

Redemption

100.0000 5,190,000 5,190,000 5,190,000 5,190,000 5,190,000 48,968 01/15/2019

912828-L9-9 US TREASURY N/B 1.375% 10/31/20 11/01/2016 Various 4,038,438 4,000,000 3,967,188 3,968,250 5,167 5,167 3,973,417 65,021 65,021 52,498 10/31/2020

912828-M9-8 UNITED STATES T-BILL 1.625% 11/30/20 01/12/2016 Various 63,431,723 63,515,000 63,434,515 63,435,860 312 312 63,436,172 (4,449) (4,449) 108,004 11/30/2020

912828-N2-2 UNITED STATES T-BILL 1.250% 12/15/18 01/29/2016 Various 195,771,618 194,815,000 194,542,188 194,542,020 6,351 6,351 194,548,371 1,223,247 1,223,247 249,814 12/15/2018

912828-N4-8 UNITED STATES T-BILL 1.750% 12/31/20 01/29/2016 Various 19,146,361 19,000,000 18,944,336 18,944,366 345 345 18,944,711 201,650 201,650 11,247 12/31/2020

912828-N5-5 US TREASURY N/B 1.000% 12/31/17 02/04/2016 Various 60,619,703 60,500,000 60,405,469 60,405,598 2,120 2,120 60,407,718 211,985 211,985 28,912 12/31/2017

912828-UM-0 US TREASURY N/B 0.375% 02/15/16 02/15/2016 Maturity 15,000,000 15,000,000 15,005,859 15,003,469 (3,469) (3,469) 15,000,000 28,125 02/15/2016

912828-US-7 UNITED STATES T-BILL 0.375% 03/15/16 03/07/2016 Various 9,500,000 9,500,000 9,507,129 9,502,898 (2,596) (2,596) 9,500,302 (302) (302) 17,045 03/15/2016

912828-US-7 UNITED STATES T-BILL 0.375% 03/15/16 03/15/2016 Maturity 25,500,000 25,500,000 25,517,012 25,508,378 (8,378) (8,378) 25,500,000 47,813 03/15/2016

0599999. Subtotal - Bonds - U.S. Governments 398,197,843 397,020,000 396,513,696 396,500,839 (148) (148) 396,500,691 1,697,152 1,697,152 592,426 XXX

30216B-FB-3

EXPORT DEVELOPMENT CANADA 1.625% 12/03/19

A 09/22/2016 Various 3,045,990 3,000,000 2,987,130 2,989,907 1,903 1,903 2,991,810 54,180 54,180 39,813 12/03/2019

222213-AG-5 COUNCIL OF EUROPE 1.000% 03/07/18 D 05/25/2016 Various 4,993,050 5,000,000 4,975,500 4,989,320 2,026 2,026 4,991,346 1,704 1,704 36,667 03/07/2018

45950V-HE-9

INTL FINANCE CORP SERIES GMTN 1.250%

11/27/18 D 05/09/2016 Various 9,445,969 9,375,000 9,349,406 9,350,224 3,082 3,082 9,353,306 92,663 92,663 53,711 11/27/2018

50048M-AV-2

KOMMUNALBANKEN AS SERIES 144A 1.000%

03/15/18 D 09/13/2016 Various 2,998,503 3,000,000 2,980,500 2,991,643 2,692 2,692 2,994,335 4,168 4,168 30,083 03/15/2018

62944B-AQ-7

N V BK NEDERLANDSE GEMEENTEN G SERIES 144A

0.875% 02/21/17 D 07/18/2016 Various 4,001,400 4,000,000 3,986,680 3,994,932 2,455 2,455 3,997,387 4,013 4,013 32,083 02/21/2017

87020D-AF-1

SWEDEN KINGDOM OF SERIES 144A 1.000%

02/27/18 D 10/27/2016 Various 3,997,720 4,000,000 3,991,440 3,996,306 1,430 1,430 3,997,736 (16) (16) 47,111 02/27/2018

1099999. Subtotal - Bonds - All Other Governments 28,482,632 28,375,000 28,270,656 28,312,332 13,588 13,588 28,325,920 156,712 156,712 239,468 XXX419791-5F-1 HAWAII ST SERIES ES 1.231% 08/01/17 04/04/2016 Various 9,540,945 9,500,000 9,500,000 9,500,000 9,500,000 40,945 40,945 79,912 08/01/2017

882723-EW-5

TEXAS STATE BL-REF-WTR FINL AS 0.802%

08/01/16 08/01/2016 Maturity 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 8,020 08/01/2016

1799999. Subtotal - Bonds - U.S. States, Territories and Possessions 10,540,945 10,500,000 10,500,000 10,500,000 10,500,000 40,945 40,945 87,932 XXX

170016-YV-5

CHIPPEWA VLY MI SCHS SERIES B 1.640%

05/01/18 11/04/2016 Various 10,089,320 10,000,000 10,000,000 10,000,000 10,000,000 89,320 89,320 163,089 05/01/2018

170016-YW-3

CHIPPEWA VLY MI SCHS SERIES B 2.100%

05/01/19 05/24/2016 Various 10,356,247 10,135,000 10,135,000 10,135,000 10,135,000 221,247 221,247 121,789 05/01/2019

476576-HM-8 JERSEY CITY NJ SERIES B 1.009% 09/01/16 09/01/2016 Maturity 5,795,000 5,795,000 5,795,000 5,795,000 5,795,000 58,472 09/01/2016

52908E-UD-3

LEXINGTON-FAYETTE URBAN CNTY 2.000%

10/01/17 01/27/2016 Various 1,310,821 1,290,000 1,337,911 1,305,879 (770) (770) 1,305,109 5,712 5,712 8,600 10/01/2017

64966J-G3-4 NEW YORK NY TXBL SER J 03/30/2016 Various 1,000,566 1,000,566 1,000,566 08/01/2016

73723R-SG-9 PORTSMOUTH VA 1.013% 02/01/16 02/01/2016 Maturity 1,000,000 1,000,000 1,000,000 1,000,000 1,000,000 5,065 02/01/2016

76541V-KC-0 RICHMOND VA 1.507% 07/15/17 01/27/2016 Various 1,008,320 1,000,000 1,000,000 1,000,000 1,000,000 8,320 8,320 8,205 07/15/2017

2499999. Subtotal - Bonds - U.S. Political Subdivisions of States, Territories and Possessions 30,560,274 29,220,000 29,267,911 30,236,445 (770) (770) 30,235,675 324,599 324,599 365,220 XXX04057P-JK-5 ARIZONA ST SCH FACS BRD COPS 03/30/2016 Various 5,000,000 5,000,000 5,000,000 10,479 09/01/2016

04057P-JL-3

ARIZONA ST SCH FACS BRD COPS 1.474%

09/01/17 11/03/2016 Various 2,512,000 2,500,000 2,500,000 2,500,000 2,500,000 12,000 12,000 43,708 09/01/2017

13017H-AC-0 CALIFORNIA EARTHQUAKE AUTHORIT 03/30/2016 Various 2,175,000 2,175,000 2,175,000 07/01/2016

13034P-UF-2

CALIFORNIA ST HSG FIN AGY REVE 2.379%

08/01/20 01/20/2016 Various 5,544,440 5,500,000 5,500,000 5,500,000 5,500,000 44,440 44,440 63,242 08/01/2020

161037-L3-8

CHARLOTTE NC COPS SERIES A 2.275%

06/01/20 01/19/2016 Various 1,746,338 1,725,000 1,725,000 1,725,000 1,725,000 21,338 21,338 5,560 06/01/2020

196725-BE-4 COLORADO ST DEPT OF CORRS COPS 03/30/2016 Various 8,000,000 8,000,000 8,000,000 70,871 09/01/2016

3128MD-RV-7 FHLMC POOL G14800 4.000% 06/01/25 01/13/2016

BNP PARIBAS BROKERAGE I

878,440 824,826 875,089 865,856 (96) (96) 865,760 12,680 12,680 4,399 06/01/2025

3128MD-RV-7 FHLMC POOL G14800 4.000% 06/01/25 12/01/2016 Paydown 382,113 382,113 405,399 401,121 (19,008) (19,008) 382,113 7,666 06/01/2025

3134G3-M3-1 FREDDIE MAC 1.000% 09/27/17 01/27/2016 Various 4,003,772 4,000,000 4,000,000 4,000,000 4,000,000 3,772 3,772 13,444 09/27/2017

3136A5-QD-1

FANNIE MAE SERIES 2012-35 CLASS EL 3.500%

11/25/40 12/01/2016 Paydown 495,200 495,200 528,471 516,637 (21,437) (21,437) 495,200 9,290 11/25/2040

3136AH-VT-4

FANNIE MAE REMICS SERIES 2013-136 CLASS KA

2.000% 05/25/25 01/27/2016 Various 6,838,606 6,760,439 6,873,465 6,848,896 (798) (798) 6,848,098 (9,492) (9,492) 11,267 05/25/2025

E14





For-eign

DisposalDate

Nameof Purchaser

Number of Shares of

StockCon-


Prior YearBook/

Adjusted Carrying

Value

11


12


tization)/Accretion

13



14

TotalChange in


Value(11+12-13)

15Total



Value


Date

Foreign Exchange




BondInterest/ Stock

Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date

3136AH-VT-4

FANNIE MAE REMICS SERIES 2013-136 CLASS KA

2.000% 05/25/25 02/01/2016 Paydown 508,877 508,877 517,385 515,535 (6,658) (6,658) 508,877 12,559 05/25/2025

3136AJ-C7-9

FNMA REMICS SERIES 2014-26 CLASS KA

4.000% 04/25/39 01/13/2016 Various 3,763,379 3,540,962 3,807,641 3,768,142 (727) (727) 3,767,415 (4,036) (4,036) 18,885 04/25/2039

3136AJ-C7-9

FNMA REMICS SERIES 2014-26 CLASS KA

4.000% 04/25/39 12/01/2016 Paydown 599,386 599,386 644,527 637,841 (38,455) (38,455) 599,386 12,888 04/25/2039

3136AL-VF-5

FANNIE MAE SERIES 2014-70 CLASS A 3.000%

06/25/40 01/13/2016 PERSHING LLC,USA 4,374,589 4,229,210 4,404,326 4,397,184 (171) (171) 4,397,013 (22,424) (22,424) 16,917 06/25/2040

3136AL-VF-5

FANNIE MAE SERIES 2014-70 CLASS A 3.000%

06/25/40 12/01/2016 Paydown 1,100,107 1,100,107 1,145,456 1,143,612 (43,505) (43,505) 1,100,107 19,311 06/25/2040

3136AN-VP-9

FANNIE MAE SERIES 2015-28 CLASS GA 3.500%

06/25/34 01/14/2016 Various 4,206,559 3,994,951 4,254,623 4,238,458 (554) (554) 4,237,904 (31,345) (31,345) 19,032 06/25/2034

3136AN-VP-9

FANNIE MAE SERIES 2015-28 CLASS GA 3.500%

06/25/34 01/01/2016 Paydown 63,677 63,677 67,816 67,558 (3,881) (3,881) 63,677 186 06/25/2034

3137AK-PD-7

FREDDIE MAC SERIES 3979 CLASS VA 3.500%

10/15/21 12/01/2016 Paydown 173,003 173,003 183,546 180,544 (7,541) (7,541) 173,003 3,297 10/15/2021

3137AM-PZ-4

FHLMC REMICS SERIES 4012 CLASS MJ 3.500%

11/15/40 01/13/2016 Various 5,277,092 5,031,792 5,289,671 5,282,633 (274) (274) 5,282,359 (5,267) (5,267) 23,482 11/15/2040

3137AM-PZ-4

FHLMC REMICS SERIES 4012 CLASS MJ 3.500%

11/15/40 01/01/2016 Paydown 77,415 77,415 81,382 81,274 (3,859) (3,859) 77,415 226 11/15/2040

3137AN-BX-2

FREDDIE MAC SERIES 4015 CLASS DC 2.250%

09/15/39 12/01/2016 Paydown 273,221 273,221 276,636 274,802 (1,581) (1,581) 273,221 3,299 09/15/2039

3137AQ-HT-8

FREDDIE MAC SERIES 4046 CLASS PA 2.500%

05/15/27 01/13/2016 JP MORGAN CHASE BANK/H 3,163,159 3,084,128 3,223,877 3,196,880 1,246 1,246 3,198,126 (34,967) (34,967) 10,280 05/15/2027

3137AQ-HT-8

FREDDIE MAC SERIES 4046 CLASS PA 2.500%

05/15/27 01/01/2016 Paydown 50,378 50,378 52,660 52,220 (1,842) (1,842) 50,378 105 05/15/2027

3137B0-UT-9

FREDDIE MAC SERIES 4182 CLASS C 3.000%

06/15/37 01/13/2016 Various 3,777,319 3,665,632 3,795,647 3,787,997 (150) (150) 3,787,847 (10,528) (10,528) 14,663 06/15/2037

3137B0-UT-9

FREDDIE MAC SERIES 4182 CLASS C 3.000%

06/15/37 12/01/2016 Paydown 1,284,387 1,284,387 1,329,943 1,327,262 (42,875) (42,875) 1,284,387 21,103 06/15/2037

3137B2-QL-7

FREDDIE MAC REMICS SERIES 4212 CLASS LA

3.000% 10/15/39 12/01/2016 Paydown 1,130,012 1,130,012 1,173,800 1,170,704 (40,692) (40,692) 1,130,012 18,200 10/15/2039

3137B7-4C-0

FHLMC MULTIFAMILY STRUCTURED P SERIES 4299

CLASS AB 3.000% 12/15/37 01/13/2016 PERSHING LLC,USA 3,137,951 3,032,295 3,160,219 3,147,456 (273) (273) 3,147,183 (9,232) (9,232) 12,129 12/15/2037

3137B7-4C-0


CLASS AB 3.000% 12/15/37 12/01/2016 Paydown 731,427 731,427 762,284 759,205 (27,778) (27,778) 731,427 12,431 12/15/2037

3137B8-UP-0

FHLMC SERIES 4313 CLASS LJ 3.000%

03/15/28 01/13/2016 Various 4,191,361 4,046,570 4,205,904 4,183,509 (402) (402) 4,183,107 8,254 8,254 16,186 03/15/2028

3137B8-UP-0

FHLMC SERIES 4313 CLASS LJ 3.000%

03/15/28 12/01/2016 Paydown 849,418 849,418 882,864 878,163 (28,745) (28,745) 849,418 13,471 03/15/2028

3137B9-ST-3


CLASS A 4.000% 02/15/40 01/13/2016 Various 3,908,912 3,682,767 3,955,522 3,920,929 (672) (672) 3,920,257 (11,345) (11,345) 19,641 02/15/2040

3137B9-ST-3


CLASS A 4.000% 02/15/40 12/01/2016 Paydown 2,137,474 2,137,474 2,295,462 2,275,389 (137,915) (137,915) 2,137,474 48,362 02/15/2040

3137BG-6G-9

FHLMC SERIES 4428 CLASS LA 3.000%

06/15/39 12/01/2016 Paydown 2,650,494 2,650,494 2,745,849 2,741,845 (91,351) (91,351) 2,650,494 41,302 06/15/2039

3138EH-TA-0 FNMA POOL AL1444 3.000% 02/01/27 12/01/2016 Paydown 531,517 531,517 565,983 558,784 (27,267) (27,267) 531,517 9,271 02/01/2027

3138EK-EY-7 FNMA POOL AL2850 4.000% 09/01/26 01/13/2016 Various 3,092,538 2,896,992 3,157,721 3,128,504 1,392 1,392 3,129,896 (37,358) (37,358) 15,451 09/01/2026

3138EK-EY-7 FNMA POOL AL2850 4.000% 09/01/26 01/01/2016 Paydown 56,094 56,094 61,142 60,577 (4,483) (4,483) 56,094 187 09/01/2026

3138LU-Q5-7 FNMA POOL AO4075 3.000% 05/01/27 12/01/2016 Paydown 942,048 942,048 992,977 980,790 (38,742) (38,742) 942,048 16,004 05/01/2027

3138MB-LL-8 FNMA POOL AP7530 2.500% 09/01/27 12/01/2016 Paydown 935,312 935,312 982,369 972,148 (36,836) (36,836) 935,312 12,199 09/01/2027

3138W9-MY-3 FNMA POOL AS0374 3.000% 09/01/23 12/01/2016 Paydown 1,605,095 1,605,095 1,673,733 1,658,398 (53,303) (53,303) 1,605,095 25,390 09/01/2023

31397U-DA-4

FNMA SERIES 2011-52 CLASS PC 3.000%

03/25/41 01/13/2016 Various 4,219,667 4,088,391 4,264,703 4,259,583 (220) (220) 4,259,363 (39,696) (39,696) 16,354 03/25/2041

31397U-DA-4

FNMA SERIES 2011-52 CLASS PC 3.000%

03/25/41 01/01/2016 Paydown 95,767 95,767 99,897 99,777 (4,010) (4,010) 95,767 239 03/25/2041

31417D-HX-4 FNMA POOL AB6545 3.000% 10/01/22 03/08/2016 Various 2,551,960 2,448,658 2,535,509 2,514,553 (1,784) (1,784) 2,512,769 39,191 39,191 21,630 10/01/2022

31417D-HX-4 FNMA POOL AB6545 3.000% 10/01/22 03/01/2016 Paydown 152,771 152,771 158,189 156,882 (4,111) (4,111) 152,771 823 10/01/2022

E14.1





For-eign

DisposalDate

Nameof Purchaser

Number of Shares of

StockCon-


Prior YearBook/

Adjusted Carrying

Value

11


12


tization)/Accretion

13



14

TotalChange in


Value(11+12-13)

15Total



Value


Date

Foreign Exchange




BondInterest/ Stock

Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date31418A-5E-4 FNMA POOL MA1744 3.000% 01/01/24 05/25/2016 Various 2,158,839 2,071,760 2,163,047 2,145,250 (4,061) (4,061) 2,141,189 17,650 17,650 31,076 01/01/2024

31418A-5E-4 FNMA POOL MA1744 3.000% 01/01/24 05/01/2016 Paydown 227,807 227,807 237,845 235,888 (8,081) (8,081) 227,807 1,556 01/01/2024

31418A-SV-1 FNMA POOL MA1431 2.500% 05/01/23 01/13/2016 Various 6,013,391 5,864,935 6,136,647 6,063,850 (558) (558) 6,063,292 (49,901) (49,901) 19,550 05/01/2023

31418A-SV-1 FNMA POOL MA1431 2.500% 05/01/23 01/01/2016 Paydown 134,640 134,640 140,877 139,206 (4,566) (4,566) 134,640 281 05/01/2023

31418B-J3-1 FNMA POOL MA2081 3.000% 11/01/24 05/25/2016 Various 3,655,937 3,508,472 3,654,734 3,637,545 (6,459) (6,459) 3,631,086 24,851 24,851 52,627 11/01/2024

31418B-J3-1 FNMA POOL MA2081 3.000% 11/01/24 12/01/2016 Paydown 1,412,004 1,412,004 1,474,079 1,467,081 (55,077) (55,077) 1,412,004 19,116 11/01/2024

387883-RH-6

GRANT CNTY WA PUBLIC UTIL 1.490% 01/01/16

01/01/2016 Maturity 220,000 220,000 220,000 220,000 220,000 1,639 01/01/2016

45201L-VA-0

ILLINOIS ST HSG DEV AUTH 1.937% 07/01/18

12/27/2016 Call 100.0000 735,000 735,000 735,000 735,000 735,000 18,209 07/01/2018

454624-6Z-5

INDIANA ST BOND BANK REVENUE 1.022%

07/15/16 07/15/2016 Maturity 1,500,000 1,500,000 1,500,000 1,500,000 1,500,000 15,330 07/15/2016

454624-7Y-7

INDIANA ST BOND BANK REVENUE 1.069%

07/15/16 07/15/2016 Maturity 2,360,000 2,360,000 2,360,000 2,360,000 2,360,000 25,228 07/15/2016

544587-B8-0

LOS ANGELES CA MUNI IMPT CORPL SERIES A

1.924% 11/01/17 12/07/2016 Various 1,676,655 1,665,000 1,665,000 1,665,000 1,665,000 11,655 11,655 34,081 11/01/2017

57563E-AF-5

MASSACHUSETTS DEPT TRANSPRTN 2.058%

01/01/16 01/01/2016 Maturity 1,250,000 1,250,000 1,295,475 1,250,000 1,250,000 12,863 01/01/2016

649907-XP-2

NWE YORK ST DORM AUTH REVENUES 0.874%

12/01/16 12/01/2016 Maturity 1,200,000 1,200,000 1,200,000 1,200,000 1,200,000 10,488 12/01/2016

658289-A5-2 NORTH CAROLINA ST UNIV AT RALE 03/30/2016 Various 1,115,000 1,115,000 1,115,000 10/01/2016

67919P-LG-6

OKLAHOMA WATER RESOURCES BOARD 1.508%

04/01/18 11/04/2016 Various 2,003,044 1,985,000 1,985,000 1,985,000 1,985,000 18,044 18,044 33,093 04/01/2018

762197-LW-9

RHODE ISLAND ST HLTH & EDUCTN SERIES C

1.550% 11/01/16 11/01/2016 Maturity 1,335,000 1,335,000 1,345,146 1,337,146 (2,146) (2,146) 1,335,000 20,693 11/01/2016

914353-E7-8 UNIVERSITY OF ILLINOIS 1.285% 04/01/17 11/04/2016 Various 1,126,024 1,125,000 1,125,000 1,125,000 1,125,000 1,024 1,024 15,982 04/01/2017

977100-CP-9

WISCONSIN ST GEN FUND ANNUAL SERIES A

1.317% 05/01/17 01/27/2016 Various 1,004,540 1,000,000 1,000,000 1,000,000 1,000,000 4,540 4,540 3,293 05/01/2017

3199999. Subtotal - Bonds - U.S. Special Revenues 128,316,156 109,472,424 113,394,537 129,132,614 (770,306) (770,306) 128,362,308 (46,152) (46,152) 1,030,534 XXX

00138C-AA-6

AIG GLOBAL FUNDING SERIES 144A 1.650%

12/15/17 05/05/2016 Various 15,073,650 15,000,000 14,986,050 14,990,912 1,655 1,655 14,992,567 81,083 81,083 99,688 12/15/2017

00206R-BC-5 AT&T INC 1.600% 02/15/17 01/28/2016 Various 1,504,020 1,500,000 1,502,775 1,500,663 (52) (52) 1,500,611 3,409 3,409 11,133 02/15/2017

00206R-CA-8 AT&T INC 2.375% 11/27/18 03/17/2016

MITSUBISHI UFJ

SECURITIE 5,085,750 5,000,000 5,000,000 5,000,000 5,000,000 85,750 85,750 37,934 11/27/2018

00206R-CL-4 AT&T INC 2.450% 06/30/20 01/19/2016 Various 5,180,588 5,225,000 5,222,335 5,222,678 30 30 5,222,708 (42,120) (42,120) 7,823 06/30/2020

00287Y-AN-9 ABBVIE INC 1.800% 05/14/18 03/17/2016 Various 12,550,000 12,500,000 12,487,250 12,489,949 942 942 12,490,891 59,109 59,109 80,000 05/14/2018

00817Y-AL-2 AETNA INC 1.500% 11/15/17 01/27/2016

MITSUBISHI UFJ

SECURITIE 997,690 1,000,000 995,190 998,206 81 81 998,287 (597) (597) 3,167 11/15/2017

023608-AF-9 AMEREN CORP 2.700% 11/15/20 01/19/2016 PERSHING LLC,USA 3,018,330 3,000,000 2,999,310 2,999,324 8 8 2,999,332 18,998 18,998 13,050 11/15/2020

025537-AF-8

AMERICAN ELECTRIC POWER CO INC 1.650%

12/15/17 12/08/2016 Various 2,502,675 2,500,000 2,497,100 2,498,873 548 548 2,499,421 3,254 3,254 41,021 12/15/2017

0258M0-DR-7 AMERICAN EXPRESS CREDIT 1.550% 09/22/17 01/08/2016 Various 6,005,040 6,000,000 5,991,960 5,995,374 88 88 5,995,462 9,578 9,578 28,675 09/22/2017

0258M0-DV-8

AMERICAN EXPRESS CREDIT SERIES MTN 1.800%

07/31/18 04/18/2016 Various 5,037,900 5,000,000 4,993,450 4,994,371 663 663 4,995,034 42,866 42,866 65,250 07/31/2018

0258M0-DZ-9

AMERICAN EXPRESS CREDIT SERIES MTN 1.875%

11/05/18 09/20/2016 Various 6,842,919 6,775,000 6,774,390 6,774,422 139 139 6,774,561 68,358 68,358 106,521 11/05/2018

03063X-AE-5

AMERICREDIT AUTOMOBILE RECEIVA SERIES 2012-4

CLASS B 1.310% 11/08/17 03/08/2016 Paydown 976,890 976,890 976,671 976,890 976,890 2,091 11/08/2017

03064J-AC-9


CLASS A3 0.650% 12/08/17 02/08/2016 Paydown 43,606 43,606 43,561 43,605 1 1 43,606 26 12/08/2017

03065J-AD-6


CLASS A3 1.270% 07/08/19 12/08/2016 Paydown 2,744,147 2,744,147 2,743,641 2,743,421 726 726 2,744,147 30,631 07/08/2019

031162-BQ-2 AMGEN INC 2.125% 05/15/17 01/27/2016 Various 1,510,890 1,500,000 1,495,920 1,498,874 70 70 1,498,944 11,946 11,946 6,729 05/15/2017

032095-AC-5 AMPHENOL CORP 2.550% 01/30/19 09/29/2016 Various 6,144,480 6,000,000 6,016,890 6,013,184 (3,358) (3,358) 6,009,826 134,654 134,654 180,200 01/30/2019

032095-AD-3 AMPHENOL CORP 1.550% 09/15/17 08/08/2016 PERSHING LLC,USA 11,032,670 11,000,000 10,988,780 10,993,639 2,277 2,277 10,995,916 36,754 36,754 154,397 09/15/2017

053332-AS-1 AUTOZONE INC 2.500% 04/15/21 01/25/2016 US BANCORP INVESTMENT 1,475,340 1,500,000 1,499,430 1,499,495 7 7 1,499,502 (24,162) (24,162) 10,729 04/15/2021

E14.2





For-eign

DisposalDate

Nameof Purchaser

Number of Shares of

StockCon-


Prior YearBook/

Adjusted Carrying

Value

11


12


tization)/Accretion

13



14

TotalChange in


Value(11+12-13)

15Total



Value


Date

Foreign Exchange




BondInterest/ Stock

Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date

05377R-AL-8

AVIS BUDGET RENTAL CAR FUNDIN SERIES 2010-5A

CLASS A 3.150% 03/20/16 03/20/2016 Paydown 910,000 910,000 950,936 912,016 (2,016) (2,016) 910,000 4,778 03/20/2016

05377R-AT-1

AVIS BUDGET RENTAL CAR FUNDIN SERIES 2011-3A

CLASS A 3.410% 11/20/16 11/20/2016 Paydown 1,865,000 1,865,000 1,969,468 1,881,746 (16,746) (16,746) 1,865,000 45,048 11/20/2016

05377R-AV-6

AVIS BUDGET RENTAL CAR FUNDIN SERIES 2011-A

CLASS A 3.270% 02/20/18 12/20/2016 Paydown 4,133,333 4,133,333 4,409,297 4,220,331 (86,998) (86,998) 4,133,333 118,265 02/20/2018

05377R-AZ-7

AVIS BUDGET RENTAL CAR FUNDIN SERIES 2012-

2A CLASS A 144A 2.802% 05/20/17 12/20/2016 Paydown 387,500 387,500 403,575 393,322 (5,822) (5,822) 387,500 10,858 05/20/2017

05523U-AM-2

BAE SYSTEMS HLDG SERIES 144A 2.850%

12/15/20 01/19/2016 Various 2,010,380 2,000,000 1,992,960 1,993,044 81 81 1,993,125 17,255 17,255 6,650 12/15/2020

05531F-AL-7

BB&T CORPORATION SERIES MTN 1.600%

08/15/17 01/27/2016 Various 3,000,300 3,000,000 2,994,540 2,998,230 93 93 2,998,323 1,977 1,977 22,133 08/15/2017

06051G-FN-4

BANK OF AMERICA CORP SERIES L 2.250%

04/21/20 02/16/2016 Various 976,810 1,000,000 997,890 998,184 57 57 998,241 (21,431) (21,431) 7,375 04/21/2020

06051G-FR-5


05/12/18 04/14/2016 Various 14,022,540 14,000,000 13,999,160 13,999,339 84 84 13,999,423 23,117 23,117 119,058 05/12/2018

065604-AC-4

BANK OF THE WEST AUTO TRUST SERIES 2014-1

CLASS A3 144A 1.090% 03/15/19 07/27/2016 Various 1,339,243 1,339,505 1,339,296 1,339,275 56 56 1,339,331 (88) (88) 9,166 03/15/2019

065604-AC-4

BANK OF THE WEST AUTO TRUST SERIES 2014-1

CLASS A3 144A 1.090% 03/15/19 12/15/2016 Paydown 4,412,777 4,412,777 4,412,090 4,412,018 759 759 4,412,777 32,077 03/15/2019

07388N-AE-6

BEAR STEARNS COMMERCIAL MTG SE SERIES 2006-

T24 CLASS A4 5.537% 10/12/41 09/01/2016 Paydown 3,492,251 3,492,251 3,962,749 3,571,292 (79,041) (79,041) 3,492,251 92,921 10/12/2041

075887-BD-0 BECTON DICKINSON & CO 1.800% 12/15/17 02/29/2016 US BANCORP INVESTMENT 10,511,970 10,500,000 10,500,000 10,500,000 10,500,000 11,970 11,970 40,950 12/15/2017

075887-BE-8 BECTON DICKINSON & CO 2.675% 12/15/19 11/30/2016 Corporate Action 961,507 940,000 940,000 940,000 940,000 21,507 21,507 24,935 12/15/2019

124857-AH-6 CBS CORP 1.950% 07/01/17 02/23/2016 Various 3,891,159 3,875,000 3,871,588 3,878,999 (409) (409) 3,878,590 12,569 12,569 49,326 07/01/2017

12591F-AC-0

CNH EQUIPMENT TRUST SERIES 2013-A CLASS A3

0.690% 06/15/18 07/15/2016 Paydown 463,790 463,790 464,387 463,918 (128) (128) 463,790 592 06/15/2018

12592X-AY-2

COMMERCIAL MORTGAGE PASS THROU SERIES 2015-

CR22 CLASS A1 1.569% 03/10/48 12/01/2016 Paydown 780,853 780,853 780,841 780,695 158 158 780,853 6,739 03/10/2048

126191-AA-3

COMMERCIAL MORTGAGE PASS-THROU SERIES 2012-

9W57 CLASS A 2.365% 02/10/29 11/14/2016 Various 5,000,000 5,000,000 5,085,155 5,018,369 (15,680) (15,680) 5,002,689 (2,689) (2,689) 108,378 02/10/2029

12624P-AC-9

COMMERCIAL MORTGAGE PASS THROU SERIES 2012-

CR3 CLASS A2 1.765% 10/15/45 12/01/2016 Paydown 387,941 387,941 390,490 390,354 (2,413) (2,413) 387,941 5,321 10/15/2045

12625F-AB-2

COMM MORTGAGE TRUST SERIES 2013-CR7 CLASS A2

2.022% 03/10/46 12/01/2016 Paydown 244,770 244,770 247,036 246,878 (2,108) (2,108) 244,770 4,455 03/10/2046

126281-AW-4

CSAIL COMMERCIAL MORTGAGE TRUS SERIES 2015-

C1 CLASS A1 1.684% 04/15/50 12/01/2016 Paydown 1,204,734 1,204,734 1,213,488 1,211,932 (7,198) (7,198) 1,204,734 11,769 04/15/2050

12630B-AW-8

COMM MORTGAGE TRUST SERIES 2013-CR13 CLASS

A1 1.259% 11/10/18 12/01/2016 Paydown 992,779 992,779 992,773 992,478 301 301 992,779 6,824 11/10/2018

12630D-AU-8

COMM MORTGAGE TRUST SERIES 2014-CR14 CLASS

A1 1.330% 02/10/47 12/01/2016 Paydown 1,236,558 1,236,558 1,236,555 1,236,189 369 369 1,236,558 9,061 02/10/2047

12636F-BE-2

COMM MORTGAGE TRUST SERIES 2015-LC23 CLASS

A1 1.811% 10/10/53 08/24/2016 PERSHING LLC,USA 8,864,794 8,785,178 8,785,005 8,784,435 (882) (882) 8,783,553 81,241 81,241 118,441 10/10/2053

12636F-BE-2


A1 1.811% 10/10/53 08/01/2016 Paydown 1,076,362 1,076,362 1,076,341 1,076,271 91 91 1,076,362 7,344 10/10/2053

126650-CH-1 CVS/CAREMARK CORP 1.900% 07/20/18 03/15/2016 Various 10,085,100 10,000,000 9,993,000 9,994,054 492 492 9,994,546 90,554 90,554 125,611 07/20/2018

13056U-AB-5

CALIFORNIA REPUBLIC AUTO RECEI SERIES 2015-1

CLASS A2 0.880% 12/15/17 07/15/2016 Paydown 1,853,519 1,853,519 1,853,494 1,853,419 100 100 1,853,519 5,217 12/15/2017

13975E-AC-7

CAPITAL AUTO RECEIVABLES ASSET SERIES 2013-1

CLASS A3 0.790% 06/20/17 01/20/2016 Paydown 171,169 171,169 171,450 171,203 (34) (34) 171,169 113 06/20/2017

13975G-AC-2

CAPITAL AUTO RECEIVABLES ASSET SERIES 2014-1

CLASS A-3 1.320% 06/20/18 12/20/2016 Paydown 4,660,012 4,660,012 4,659,107 4,658,770 1,242 1,242 4,660,012 36,552 06/20/2018

14041N-EM-9

CAPITAL ONE MULTI ASSET EXECUT SERIES 2013-

A3 CLASS A3 0.960% 09/16/19 11/15/2016 Paydown 5,100,000 5,100,000 5,099,357 5,099,321 679 679 5,100,000 44,880 09/16/2019

14149Y-AX-6 CARDINAL HEALTH INC 1.700% 03/15/18 05/26/2016 Various 4,014,960 4,000,000 3,993,600 3,997,214 527 527 3,997,741 17,219 17,219 48,356 03/15/2018

14313J-AE-1

CARMAX AUTO OWNER TRUST SERIES 2012-2 CLASS

B 1.730% 02/15/18 01/27/2016 Various 6,012,188 6,000,000 6,021,000 6,007,303 (914) (914) 6,006,389 5,799 5,799 13,263 02/15/2018

E14.3





For-eign

DisposalDate

Nameof Purchaser

Number of Shares of

StockCon-


Prior YearBook/

Adjusted Carrying

Value

11


12


tization)/Accretion

13



14

TotalChange in


Value(11+12-13)

15Total



Value


Date

Foreign Exchange




BondInterest/ Stock

Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date

14313L-AD-8

CARMAX AUTO OWNER TRUST 2013-1 SERIES 2013-1

CLASS A4 0.890% 08/17/18 12/15/2016 Paydown 732,699 732,699 732,585 732,590 109 109 732,699 4,993 08/17/2018

14313N-AD-4

CARMAX AUTO OWNER TRUST 2013-3 SERIES 2013-3

CLASS A4 1.490% 01/15/19 12/15/2016 Paydown 23,985 23,985 24,285 24,112 (127) (127) 23,985 357 01/15/2019

14313U-AC-0

CARMAX AUTO OWNER TRUST SERIES 2014-4 CLASS

A3 1.250% 11/15/19 12/15/2016 Paydown 2,938,235 2,938,235 2,937,962 2,937,748 487 487 2,938,235 30,620 11/15/2019

14912L-6F-3

CATERPILLAR FINANCE SERIES MTN 2.250%

12/01/19 04/18/2016 Various 10,160,370 9,900,000 9,892,080 9,893,798 481 481 9,894,279 266,091 266,091 86,625 12/01/2019

161571-GC-2

CHASE ISSUANCE TRUST SERIES 2013-A8 CLASS A8

1.010% 10/15/18 10/17/2016 Call 100.0000 3,250,000 3,250,000 3,259,521 3,252,402 (2,402) (2,402) 3,250,000 27,354 10/15/2018

172967-HM-6 CITIGROUP INC 2.550% 04/08/19 05/10/2016 Corporate Action 2,039,020 2,000,000 1,996,920 1,997,988 224 224 1,998,212 40,808 40,808 30,458 04/08/2019

172967-JH-5 CITIGROUP INC 1.800% 02/05/18 09/13/2016 Various 5,014,700 5,000,000 4,996,200 4,997,344 898 898 4,998,242 16,458 16,458 100,250 02/05/2018

17323Y-AA-7

CITIGROUP COMMERCIAL MORTGAGE SERIES 2015-

GC31 CLASS A1 1.637% 06/10/45 12/01/2016 Paydown 702,448 702,448 702,433 702,342 106 106 702,448 6,441 06/10/2045

17401Q-AC-5

CITIZENS BANK NA/RI SERIES BKNT 2.300%

12/03/18 11/28/2016 Various 4,027,440 4,000,000 3,994,800 3,994,938 1,589 1,589 3,996,527 30,913 30,913 91,489 12/03/2018

200474-AX-2


A1 1.399% 02/10/48 12/01/2016 Paydown 1,067,397 1,067,397 1,067,379 1,067,244 153 153 1,067,397 8,189 02/10/2048

20047E-AE-2

COMM MORTGAGE TRUST SERIES 2006-C8 CLASS A4

5.306% 12/10/46 09/01/2016 Paydown 5,903,469 5,903,469 6,475,829 6,443,867 (540,398) (540,398) 5,903,469 198,102 12/10/2046

22545M-AD-9

CREDIT SUISSE MORTGAGE CAPITAL SERIES 2006-

C4 CLASS A3 5.467% 09/15/39 06/01/2016 Paydown 4,013,437 4,013,437 4,404,821 4,046,693 (33,256) (33,256) 4,013,437 81,395 09/15/2039

233050-AN-3

DBUBS MORTGAGE TRUST SERIES 2011-LC1A CLASS

A1 3.742% 11/10/46 11/01/2016 Paydown 1,983,286 1,983,286 2,095,513 2,020,260 (36,974) (36,974) 1,983,286 20,058 11/10/2046

23305X-AB-7

DBUBS MORTGAGE TRUST SERIES 2011-LC2A CLASS

A2 144A 3.386% 07/10/44 06/01/2016 Paydown 3,653,084 3,653,084 3,890,677 3,665,322 (12,238) (12,238) 3,653,084 54,682 07/10/2044

233851-BF-0

DAIMLER FINANCE NA LLC SERIES 144A 1.375%

08/01/17 03/14/2016 PERSHING LLC,USA 2,986,080 3,000,000 2,989,650 2,994,541 718 718 2,995,259 (9,179) (9,179) 25,896 08/01/2017

233851-BU-7


05/18/18 08/02/2016 Various 6,030,780 6,000,000 5,992,320 5,993,917 1,521 1,521 5,995,438 35,342 35,342 70,675 05/18/2018

233851-BZ-6


08/03/18 09/19/2016 Various 12,101,200 12,000,000 11,980,750 11,983,402 4,600 4,600 11,988,002 113,198 113,198 270,667 08/03/2018

25459H-BE-4 DIRECTV HOLDINGS/FING 2.400% 03/15/17 02/18/2016 JP MORGAN CHASE BANK/H 2,019,900 2,000,000 2,002,020 2,000,511 (62) (62) 2,000,449 19,451 19,451 21,067 03/15/2017

257375-AG-0 DOMINION GAS HLDGS LLC 2.500% 12/15/19 02/23/2016 Various 3,763,388 3,750,000 3,748,575 3,748,877 44 44 3,748,921 14,467 14,467 18,490 12/15/2019

277432-AM-2 EASTMAN CHEMICAL CO 2.400% 06/01/17 06/27/2016 Various 4,046,660 4,000,000 3,986,560 3,996,186 1,247 1,247 3,997,433 49,227 49,227 52,533 06/01/2017

277432-AQ-3 EASTMAN CHEMICAL CO 2.700% 01/15/20 02/17/2016 PERSHING LLC,USA 3,159,823 3,225,000 3,218,260 3,219,718 186 186 3,219,904 (60,081) (60,081) 52,487 01/15/2020

29365K-AB-9

ENTERGY TEXAS RESTORATION SERIES 2009 CLASS

A2 3.650% 08/01/19 08/01/2016 Paydown 3,058,794 3,058,794 3,228,791 3,157,634 (98,840) (98,840) 3,058,794 80,880 08/01/2019

29366A-AA-2

ENTERGY LOUISIANA INV RECOVERY SERIES 2011-A

CLASS A1 2.040% 09/01/23 12/01/2016 Paydown 818,357 818,357 829,201 825,517 (7,160) (7,160) 818,357 12,843 09/01/2023

30161N-AG-6 EXELON CORP 1.550% 06/09/17 05/25/2016 Various 6,498,635 6,500,000 6,495,580 6,496,816 916 916 6,497,732 903 903 48,136 06/09/2017

30219G-AD-0 EXPRESS SCRIPTS HOLDING 2.650% 02/15/17 01/28/2016 Various 2,020,360 2,000,000 2,023,879 2,006,578 (512) (512) 2,006,066 14,294 14,294 24,586 02/15/2017

30219G-AJ-7 EXPRESS SCRIPTS HOLDING 1.250% 06/02/17 02/29/2016

MITSUBISHI UFJ

SECURITIE 2,983,950 3,000,000 2,998,860 2,999,459 65 65 2,999,524 (15,574) (15,574) 9,479 06/02/2017

31620M-AL-0

FIDELITY NATIONAL INFORMATION 1.450%

06/05/17 08/11/2016 Various 13,224,736 13,225,000 13,194,545 13,208,416 7,258 7,258 13,215,674 9,062 9,062 133,701 06/05/2017

31620M-AN-6


10/15/18 10/14/2016 US BANCORP INVESTMENT 3,072,690 3,000,000 2,998,740 2,998,825 337 337 2,999,162 73,528 73,528 85,263 10/15/2018

31620M-AP-1


10/15/20 01/19/2016 Various 2,034,760 2,000,000 1,997,380 1,997,485 30 30 1,997,515 37,245 37,245 18,528 10/15/2020

31677Q-BD-0

FIFTH THIRD BANK/CINCINNATI OH SER MTN

2.150% 08/20/18 09/08/2016 Various 5,062,200 5,000,000 4,999,150 4,999,253 199 199 4,999,452 62,748 62,748 114,368 08/20/2018

34528Q-BP-8

FORD CREDIT FLOORPLAN MASTER SERIES 2012-2

CLASS A 1.920% 01/15/19 08/18/2016 Various 4,264,395 4,250,000 4,332,275 4,272,861 (13,268) (13,268) 4,259,593 4,802 4,802 53,573 01/15/2019

34528Q-CX-0

FORD CREDIT FLOORPLAN MASTER SERIES 2013-5

CLASS B 1.880% 09/15/18 08/18/2016 Various 3,502,266 3,500,000 3,499,533 3,498,770 98 98 3,498,868 3,398 3,398 42,822 09/15/2018

361448-AV-5 GATX CORP 2.600% 03/30/20 03/03/2016 US BANCORP INVESTMENT 4,842,750 5,000,000 5,044,150 5,000,000 5,000,000 (157,250) (157,250) 57,056 03/30/2020

E14.4





For-eign

DisposalDate

Nameof Purchaser

Number of Shares of

StockCon-


Prior YearBook/

Adjusted Carrying

Value

11


12


tization)/Accretion

13



14

TotalChange in


Value(11+12-13)

15Total



Value


Date

Foreign Exchange




BondInterest/ Stock

Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date

36192C-AB-1

GS MORTGAGE SECURITIES TRUST SERIES 2013-

GC10 CLASS A2 1.840% 02/10/46 12/01/2016 Paydown 2,522,975 2,522,975 2,598,640 2,552,336 (29,361) (29,361) 2,522,975 28,026 02/10/2046

36197Q-AA-7

GSMS SERIES 2013-G1 CLASS A1 2.059%

04/10/31 12/01/2016 Paydown 773,983 773,983 781,712 780,150 (6,167) (6,167) 773,983 8,687 04/10/2031

36250G-AL-9

GS MORTGAGE SECURITIES TRUST SERIES 2015-

GC30 CLASS A1 1.439% 05/10/50 12/01/2016 Paydown 1,158,625 1,158,625 1,158,621 1,158,522 103 103 1,158,625 9,217 05/10/2050

37331N-AF-8

GEORGIA PACIFIC LLC SERIES 144A 2.539%

11/15/19 02/25/2016 Various 4,998,850 5,000,000 5,000,000 5,000,000 5,000,000 (1,150) (1,150) 37,380 11/15/2019

373334-KD-2 GEORGIA POWER COMPANY 1.950% 12/01/18 06/28/2016 Various 10,167,000 10,000,000 9,991,300 9,991,523 1,449 1,449 9,992,972 174,028 174,028 112,125 12/01/2018

378272-AB-4

GLENCORE FUNDING LLC SERIES 144A 1.700%

05/27/16 05/27/2016 Maturity 1,000,000 1,000,000 1,002,610 1,000,457 (457) (457) 1,000,000 8,500 05/27/2016

378272-AD-0


01/15/19 12/14/2016 Corporate Action 10,301,163 10,200,000 10,084,572 10,124,109 20,218 20,218 10,144,327 156,836 156,836 327,619 01/15/2019

378272-AJ-7



378272-AK-4



38141E-B7-3

GOLDMAN SACHS GROUP INC SERIES MTN 2.006%

11/15/18 09/22/2016 Various 5,034,825 5,000,000 5,023,850 5,014,305 (3,052) (3,052) 5,011,253 23,572 23,572 62,171 11/15/2018

38141E-C4-9

GOLDMAN SACHS GROUP INC SERIES MTN 1.763%

12/15/17 02/04/2016 Various 2,493,620 2,500,000 2,500,000 2,500,000 2,500,000 (6,380) (6,380) 5,102 12/15/2017

38148L-AA-4 GOLDMAN SACHS GROUP INC 2.600% 04/23/20 01/29/2016 Various 2,486,675 2,500,000 2,505,130 2,504,446 (95) (95) 2,504,351 (17,676) (17,676) 18,056 04/23/2020

40428H-PL-0 HSBC USA INC 1.500% 11/13/17 04/19/2016 Various 5,174,327 5,175,000 5,174,069 5,174,420 95 95 5,174,515 (188) (188) 34,284 11/13/2017

41283L-AE-5

HARLEY DAVIDSON FINANCIAL SERV SERIES 144A

1.550% 11/17/17 01/27/2016 Various 14,973,000 15,000,000 14,979,000 14,986,843 595 595 14,987,438 (14,438) (14,438) 47,792 11/17/2017

42225U-AC-8

HEALTHCARE TRUST OF AMERICA 3.375%

07/15/21 01/13/2016 US BANCORP INVESTMENT 5,523,158 5,538,000 5,597,755 5,591,433 (490) (490) 5,590,943 (67,785) (67,785) 95,531 07/15/2021

42805R-AZ-2

HERTZ VEHICLE FINANCING LLC SERIES 2010-1A

CLASS A2 3.740% 02/25/17 02/25/2016 Paydown 2,416,667 2,416,667 2,606,725 2,423,890 (7,223) (7,223) 2,416,667 11,298 02/25/2017

42805R-BL-2

HERTZ VEHICLE FINANCING LLC SERIES 2013-1A

CLASS A1 1.120% 08/25/17 08/25/2016 Paydown 6,000,000 6,000,000 6,011,953 6,001,665 (1,665) (1,665) 6,000,000 30,800 08/25/2017

42824C-AA-7

HP ENTERPRISE CO SERIES 144A 2.700%

10/05/17 12/23/2016 Tax Free Exchange 27,993,832 28,000,000 27,984,320 27,986,132 7,700 7,700 27,993,832 841,400 10/05/2017

42824C-AC-3

HP ENTERPRISE CO SERIES 144A 2.850%

10/05/18 08/08/2016 Various 12,243,720 12,000,000 11,984,640 11,985,821 3,137 3,137 11,988,958 254,762 254,762 286,900 10/05/2018

431282-AN-2 HIGHWOODS REALTY LP 3.200% 06/15/21 01/21/2016 Various 1,978,480 2,000,000 1,979,660 1,984,272 197 197 1,984,469 (5,989) (5,989) 7,289 06/15/2021

446438-RF-2

HUNINGTON NATIONAL BANK SERIES BKNT

1.300% 11/20/16 10/31/2016 Call 100.0000 3,000,000 3,000,000 2,999,370 2,999,814 186 186 3,000,000 36,942 11/20/2016

44890V-AB-8

HYUNDAI AUTO LEASE SECURITIZAT SERIES 2014-B

CLASS A2 144A 0.610% 02/15/17 04/15/2016 Paydown 1,377,515 1,377,515 1,376,277 1,377,189 326 326 1,377,515 1,643 02/15/2017

44891A-AA-5

HYUNDAI CAPITAL AMERICA SERIES 144A

2.000% 03/19/18 04/14/2016 PERSHING LLC,USA 10,563,715 10,550,000 10,523,731 10,530,633 2,613 2,613 10,533,246 30,469 30,469 123,083 03/19/2018

44891A-AC-1


2.400% 10/30/18 10/21/2016 Various 4,528,376 4,475,000 4,474,463 4,474,495 143 143 4,474,638 53,738 53,738 104,307 10/30/2018

44923Q-AB-0


4.000% 06/08/17 08/23/2016 Various 5,105,000 5,000,000 5,160,250 5,046,087 (20,933) (20,933) 5,025,154 79,846 79,846 143,333 06/08/2017

46625H-JG-6 JP MORGAN CHASE & CO 1.800% 01/25/18 08/03/2016 Various 2,016,400 2,000,000 1,998,660 1,999,446 161 161 1,999,607 16,793 16,793 37,300 01/25/2018

46625H-JR-2 JP MORGAN CHASE & CO 2.350% 01/28/19 08/03/2016 Various 5,109,750 5,000,000 4,997,650 4,998,555 283 283 4,998,838 110,912 110,912 120,764 01/28/2019

46625Y-P6-4

JP MORAN CHASE COMMERCIAL MORT SERIES 2006-

LDP6 CLASS A4 5.475% 04/15/43 01/01/2016 Paydown 1,180,244 1,180,244 1,281,486 1,274,911 (94,667) (94,667) 1,180,244 5,385 04/15/2043

46637W-AC-7

JP MORGAN CHASE COMMERCIAL MOR SERIES 2012-

CBX CLASS A3 3.139% 06/15/45 12/01/2016 Paydown 6,690,013 6,690,013 6,940,734 6,930,586 (240,573) (240,573) 6,690,013 78,680 06/15/2045

46639N-AM-3

JPMBB COMMERCIAL MORTGAGE SECU SERIES 2013-

C12 CLASS A2 2.424% 07/15/45 12/01/2016 Paydown 299,628 299,628 307,435 305,177 (5,549) (5,549) 299,628 6,539 07/15/2045

46639Y-AM-9

JP MORGAN CHASE COMMERCIAL SERIES 2013-LC11

CLASS A2 1.855% 04/15/18 12/01/2016 Paydown 11,765,756 11,765,756 11,815,723 11,794,435 (28,679) (28,679) 11,765,756 240,386 04/15/2018

46640L-AB-8


C14 CLASS A2 3.019% 08/15/46 09/16/2016 Various 20,506,311 19,883,000 20,737,799 20,540,612 (137,868) (137,868) 20,402,744 103,567 103,567 482,758 08/15/2046

E14.5





For-eign

DisposalDate

Nameof Purchaser

Number of Shares of

StockCon-


Prior YearBook/

Adjusted Carrying

Value

11


12


tization)/Accretion

13



14

TotalChange in


Value(11+12-13)

15Total



Value


Date

Foreign Exchange




BondInterest/ Stock

Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date

46644R-AW-5


C29 CLASS A1 1.626% 05/15/48 12/01/2016 Paydown 793,860 793,860 793,859 793,778 82 82 793,860 7,079 05/15/2048

46645J-AA-0


C33 CLASS A1 1.898% 12/15/48 08/24/2016 PERSHING LLC,USA 3,551,100 3,512,544 3,512,541 3,512,309 (504) (504) 3,511,805 39,295 39,295 49,623 12/15/2048

46645J-AA-0


C33 CLASS A1 1.898% 12/15/48 12/01/2016 Paydown 1,410,710 1,410,710 1,410,708 1,410,616 94 94 1,410,710 13,236 12/15/2048

46849L-SL-6

JACKSON NATL LIFE GLOBAL SERIES 144A

1.875% 10/15/18 09/13/2016 Various 10,090,400 10,000,000 9,994,800 9,995,170 1,229 1,229 9,996,399 94,001 94,001 172,396 10/15/2018

48126E-AA-5 JP MORGAN CHASE & CO 2.000% 08/15/17 02/23/2016 Various 2,590,502 2,575,000 2,570,391 2,573,502 142 142 2,573,644 16,858 16,858 27,324 08/15/2017

485170-AN-4

KANSAS CITY SOUTHERN SERIES 144A 2.350%

05/15/20 03/07/2016 Various 4,866,400 5,000,000 4,850,000 4,852,222 6,389 6,389 4,858,611 7,789 7,789 29,701 05/15/2020

50180L-AC-4

LB UBC COMMERCIAL MORTGAGE SERIES 2008-C1

CLASS A2 6.113% 04/15/41 12/11/2016 Paydown 1,345,538 1,345,538 1,574,523 1,431,984 (86,446) (86,446) 1,345,538 52,167 04/15/2041

55292L-AD-6

M&T BANK AUTO RECEEIVABLES 2013-1A CLASS A4

1.570% 08/15/18 07/27/2016 Various 2,935,714 2,931,020 2,930,765 2,930,213 67 67 2,930,280 5,434 5,434 28,888 08/15/2018

55292L-AD-6

M&T BANK AUTO RECEEIVABLES 2013-1A CLASS A4

1.570% 08/15/18 07/15/2016 Paydown 68,980 68,980 68,974 68,961 19 19 68,980 632 08/15/2018

55312T-AD-5

ML CFC COMMERCIAL MORTGAGE TRU SERIES 2007-6

CLASS A4 5.485% 03/12/51 12/01/2016 Paydown 438,803 438,803 474,233 473,252 (34,449) (34,449) 438,803 23,974 03/12/2051

59022K-AD-7

MERRILL LYNCH MORTGAGE TRUST SERIES 2006-C2

CLASSA4 5.742% 08/12/43 06/01/2016 Paydown 6,475,318 6,475,318 7,097,555 6,603,140 (127,822) (127,822) 6,475,318 143,813 08/12/2043

59156R-BE-7 METLIFE INC 1.756% 12/15/17 04/04/2016 Various 2,010,800 2,000,000 2,008,586 2,003,230 (492) (492) 2,002,738 8,062 8,062 10,926 12/15/2017

59156R-BK-3 METLIFE INC 1.903% 12/15/17 04/04/2016 Various 8,051,030 8,000,000 8,036,238 8,022,691 (662) (662) 8,022,029 29,001 29,001 17,021 12/15/2017

59217G-BQ-1

MET LIFE GLOB FUNDING SERIES 144A 1.950%

12/03/18 09/23/2016

MITSUBISHI UFJ

SECURITIE 10,118,700 10,000,000 9,992,800 9,992,991 1,780 1,780 9,994,771 123,929 123,929 159,792 12/03/2018

60856B-AA-2

MOLEX ELECTRONICS TECH SERIES 144A 2.878%

04/15/20 03/30/2016 Various 13,102,874 13,200,000 13,200,000 13,200,000 13,200,000 (97,126) (97,126) 172,536 04/15/2020

61690G-AA-9

MORGAN STANLEY BAML TRUST SERIES 2014-C14

CLASS A1 1.250% 02/15/47 12/01/2016 Paydown 2,124,742 2,124,742 2,124,697 2,124,019 723 723 2,124,742 14,619 02/15/2047

61690K-AA-0


CLASS A1 0.738% 12/15/46 07/01/2016 Paydown 2,100,061 2,100,061 2,100,963 2,100,456 (395) (395) 2,100,061 6,933 12/15/2046

61761A-AX-6


CLASS A2 1.972% 08/15/45 12/01/2016 Paydown 275,508 275,508 281,010 276,944 (1,436) (1,436) 275,508 2,501 08/15/2045

61761J-VM-8 MORGAN STANLEY 1.875% 01/05/18 01/22/2016 Various 3,960,412 3,975,000 3,970,707 3,972,201 99 99 3,972,300 (11,888) (11,888) 41,820 01/05/2018

61763B-AQ-7


CLASS A1 1.116% 11/15/46 12/01/2016 Paydown 995,355 995,355 995,350 995,021 334 334 995,355 4,102 11/15/2046

61764R-BB-3

MORGAN STANLEY BANK OF AMERICA SERIES 2015-

C20 CLASS A1 1.405% 02/15/48 12/01/2016 Paydown 1,582,341 1,582,341 1,582,305 1,581,975 366 366 1,582,341 12,192 02/15/2048

61764X-BE-4


CLASS A1 1.548% 03/15/48 12/01/2016 Paydown 163,623 163,623 163,619 163,596 27 27 163,623 1,389 03/15/2048

61765D-AQ-1

MORGAN STANLEY CAPITAL I TRUST SERIES 2015-

MS1 CLASS A1 1.638% 05/15/48 12/01/2016 Paydown 819,439 819,439 819,438 819,311 128 128 819,439 7,391 05/15/2048

637432-NB-7

NATIONAL RURAL UTIL COOP 2.300% 11/15/19

05/25/2016 Various 10,071,315 9,875,000 9,861,570 9,864,617 1,109 1,109 9,865,726 205,589 205,589 123,657 11/15/2019

64952W-BQ-5

NEW YORK LIFE GLOBAL FDG SERIES 144A

2.100% 01/02/19 03/22/2016 Various 3,033,510 3,000,000 2,996,550 2,997,950 163 163 2,998,113 35,397 35,397 46,550 01/02/2019

64952W-BT-9


2.150% 06/18/19 06/06/2016 Various 7,654,925 7,500,000 7,491,525 7,494,133 693 693 7,494,826 160,099 160,099 72,055 06/18/2019

64952W-BW-2


1.450% 12/15/17 01/08/2016 Various 9,992,600 10,000,000 9,988,600 9,992,573 125 125 9,992,698 (98) (98) 11,278 12/15/2017

65339K-AB-6 NEXTERA ENERGY CAPITAL 1.586% 06/01/17 03/14/2016 US BANCORP INVESTMENT 5,489,440 5,500,000 5,520,075 5,513,728 (2,018) (2,018) 5,511,710 (22,270) (22,270) 25,684 06/01/2017

664397-AJ-5 NORTHEAST UTILS 1.450% 05/01/18 10/04/2016 US BANCORP INVESTMENT 2,503,150 2,500,000 2,498,325 2,499,214 259 259 2,499,473 3,677 3,677 33,833 05/01/2018

68389X-AX-3 ORACLE CORP 2.250% 10/08/19 03/02/2016 Various 2,042,300 2,000,000 1,997,760 1,998,393 77 77 1,998,470 43,830 43,830 18,625 10/08/2019

68389X-BB-0 ORACLE CORP 2.500% 05/15/22 01/13/2016 Various 9,944,800 10,000,000 9,964,800 9,968,105 247 247 9,968,352 (23,552) (23,552) 44,444 05/15/2022

693506-BH-9 PPG INDUSTRIES INC 2.300% 11/15/19 02/16/2016 PERSHING LLC,USA 3,695,801 3,675,000 3,659,969 3,663,380 403 403 3,663,783 32,018 32,018 22,070 11/15/2019

69353R-DD-7 PNC BANK NA 2.250% 07/02/19 09/22/2016 Various 8,217,423 8,050,000 8,024,884 8,032,537 3,073 3,073 8,035,610 181,813 181,813 201,950 07/02/2019

69353R-EJ-3 PNC BANK NA 1.500% 02/23/18 02/18/2016 Various 4,986,650 5,000,000 4,998,700 4,999,070 63 63 4,999,133 (12,483) (12,483) 37,500 02/23/2018

69353R-EM-6 PNC BANK NA 1.600% 06/01/18 05/26/2016 Various 10,004,460 10,000,000 9,993,300 9,994,609 611 611 9,995,220 9,240 9,240 57,600 06/01/2018

E14.6





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Nameof Purchaser

Number of Shares of

StockCon-


Prior YearBook/

Adjusted Carrying

Value

11


12


tization)/Accretion

13



14

TotalChange in


Value(11+12-13)

15Total



Value


Date

Foreign Exchange




BondInterest/ Stock

Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date69353R-ER-5 PNC BANK NA 1.850% 07/20/18 04/04/2016 Various 6,908,842 6,850,000 6,849,178 6,849,301 73 73 6,849,374 59,468 59,468 90,116 07/20/2018

69353R-ET-1 PNC BANK NA 1.800% 11/05/18 02/04/2016 Various 2,003,040 2,000,000 1,999,700 1,999,716 11 11 1,999,727 3,313 3,313 9,600 11/05/2018

713448-DB-1 PEPSICO INC/NC SERIES 1 1.000% 10/13/17 04/04/2016 Various 3,281,190 3,275,000 3,268,090 3,268,838 918 918 3,269,756 11,434 11,434 15,738 10/13/2017

723787-AL-1

PIONEER NATURAL RESOURCES CO 3.450%

01/15/21 01/28/2016 Various 7,728,765 8,250,000 8,229,375 8,229,651 354 354 8,230,005 (501,240) (501,240) 43,484 01/15/2021

72650R-BG-6

PLAINS ALL AMER PIPELINE 2.600% 12/15/19

12/08/2016 Various 10,020,800 10,000,000 9,981,300 9,985,260 3,542 3,542 9,988,802 31,998 31,998 258,556 12/15/2019

74153W-CF-4

PRICOA GLOBAL FUNDING 1 SERIES 144A

1.900% 09/21/18 06/06/2016 Various 8,084,800 8,000,000 7,996,480 7,996,807 514 514 7,997,321 87,479 87,479 108,933 09/21/2018

74256L-AQ-2

PRINCIPAL LFE GLB FND II SERIES 144A

2.200% 04/08/20 09/22/2016 US BANCORP INVESTMENT 5,057,450 5,000,000 4,993,400 4,994,369 975 975 4,995,344 62,106 62,106 106,639 04/08/2020

78355H-JY-6

RYDER SYSTEM INC SER MTN 2.650% 03/02/20

03/03/2016 US BANCORP INVESTMENT 3,935,080 4,000,000 3,997,360 3,997,807 97 97 3,997,904 (62,824) (62,824) 54,767 03/02/2020

78446X-AB-1

SLM STUDENT LOAN TRUST SERIES 2012-B CLASS

A2 3.480% 10/15/30 12/15/2016 Paydown 1,147,681 1,147,681 1,173,549 1,153,353 (5,672) (5,672) 1,147,681 21,240 10/15/2030

797440-BT-0

SAN DIEGO GAS & ELECTRIC CO SERIES PPP

1.914% 02/01/22 02/25/2016 PERSHING LLC,USA 2,239,040 2,271,430 2,271,430 2,271,431 2,271,431 (32,391) (32,391) 25,361 02/01/2022

797440-BT-0

SAN DIEGO GAS & ELECTRIC CO SERIES PPP

1.914% 02/01/22 08/01/2016

Redemption

100.0000 946,421 946,421 946,421 946,421 946,421 13,586 02/01/2022

80281C-AE-5

SANTANDER DRIVE AUTO RECEIVABL SERIES 2013-5

CLASS B 1.550% 10/15/18 07/18/2016 Various 1,056,410 1,055,915 1,057,136 1,056,459 (141) (141) 1,056,318 92 92 9,820 10/15/2018

80281C-AE-5

SANTANDER DRIVE AUTO RECEIVABL SERIES 2013-5

CLASS B 1.550% 10/15/18 07/15/2016 Paydown 4,415,510 4,415,510 4,420,616 4,417,785 (2,275) (2,275) 4,415,510 21,776 10/15/2018

81744V-AA-0

SEQUOIA MORTGAGE TRUST SERIES 2012-4 CLASS

A1 3.500% 09/25/42 12/01/2016 Paydown 293,041 293,041 305,999 303,829 (10,788) (10,788) 293,041 4,502 09/25/2042

81745F-AA-4

SEQUOIA MORTGAGE TRUST SERIES 2012-3 CLASS

A1 3.500% 07/25/42 12/01/2016 Paydown 644,511 644,511 662,638 657,997 (13,486) (13,486) 644,511 11,772 07/25/2042

828807-CM-7

SIMON PROPERTY GROUP LP SERIES 144A

1.500% 02/01/18 03/22/2016 Various 3,499,545 3,500,000 3,488,975 3,495,513 512 512 3,496,025 3,520 3,520 34,563 02/01/2018

83149U-AB-7

SLM STUDENT LOAN TRUST SERIES 2011-B CLASS

A2 3.740% 02/15/29 12/15/2016 Paydown 804,939 804,939 861,976 822,531 (17,592) (17,592) 804,939 24,965 02/15/2029

842400-GC-1 SOUTHERN CAL EDISON 1.250% 11/01/17 01/13/2016 Various 6,962,060 7,000,000 6,987,120 6,992,083 213 213 6,992,296 (30,236) (30,236) 18,958 11/01/2017

842400-GF-4 SOUTHERN CAL EDISON 1.845% 02/01/22 02/25/2016 PERSHING LLC,USA 3,804,493 3,857,143 3,857,143 3,857,143 3,857,143 (52,650) (52,650) 41,513 02/01/2022

842400-GF-4 SOUTHERN CAL EDISON 1.845% 02/01/22 08/01/2016

Redemption

100.0000 1,982,143 1,982,143 1,982,143 1,982,143 1,982,143 26,687 02/01/2022

842587-CK-1 SOUTHERN CO 1.300% 08/15/17 03/17/2016 US BANCORP INVESTMENT 4,977,950 5,000,000 4,998,400 4,999,130 119 119 4,999,249 (21,299) (21,299) 39,181 08/15/2017

842587-CL-9 SOUTHERN CO 2.150% 09/01/19 06/06/2016 Various 5,067,200 5,000,000 4,988,400 4,991,540 1,011 1,011 4,992,551 74,649 74,649 83,014 09/01/2019

843646-AK-6

SOUTHERN POWER CO SERIES 144A 1.500%

06/01/18 06/02/2016 Various 14,982,050 15,000,000 14,969,400 14,975,642 4,253 4,253 14,979,895 2,155 2,155 113,750 06/01/2018

843646-AN-0 SOUTHERN POWER CO 1.850% 12/01/17 03/30/2016 Various 5,691,415 5,650,000 5,646,723 5,646,922 413 413 5,647,335 44,080 44,080 39,778 12/01/2017

87165B-AA-1 SYNCHRONY FINANCIAL 1.875% 08/15/17 12/06/2016 Various 9,609,600 9,600,000 9,616,048 9,609,411 (5,778) (5,778) 9,603,633 5,967 5,967 237,000 08/15/2017

883556-BD-3

THERMO FISHER SCIENTIFIC INC 1.300%

02/01/17 10/07/2016 Call 100.2540 2,030,144 2,025,000 2,023,805 2,024,587 5,557 5,557 2,030,144 31,151 02/01/2017

90269C-AA-8

UBS BARCLAYS COMMERCIAL MORT SERIES 2012-C2

CLASS A1 1.006% 05/10/63 08/01/2016 Paydown 1,685,353 1,685,353 1,695,624 1,694,640 (9,287) (9,287) 1,685,353 4,261 05/10/2063

90269C-AB-6

UBS BARCLAYS COMMERCIAL MORT SERIES 2012-C2

CLASS A2 2.113% 05/10/63 12/01/2016 Paydown 572,673 572,673 583,216 577,645 (4,972) (4,972) 572,673 10,275 05/10/2063

92276M-BA-2 VENTAS REALTY LP 2.000% 02/15/18 11/17/2016 Various 2,282,667 2,275,000 2,251,044 2,262,834 5,111 5,111 2,267,945 14,722 14,722 57,760 02/15/2018

92277G-AC-1

VENTAS REALTY LP/CAP CRP 1.250% 04/17/17

05/23/2016 PERSHING LLC,USA 3,493,665 3,500,000 3,493,525 3,497,211 863 863 3,498,074 (4,409) (4,409) 26,615 04/17/2017

92343V-CB-8

VERIZON COMMUNICATIONS INC 2.550%

06/17/19 06/06/2016 Various 1,673,815 1,625,000 1,623,050 1,623,716 163 163 1,623,879 49,936 49,936 19,798 06/17/2019

92343V-CH-5


02/21/20 02/04/2016 Various 522,635 517,000 518,373 518,148 (30) (30) 518,118 4,517 4,517 6,333 02/21/2020

92890P-AA-2

WF-RBS COMMERCIAL MORTGAGE TRU SERIES 2013-

C14 CLASS A1 0.836% 06/15/46 12/01/2016 Paydown 2,365,431 2,365,431 2,365,367 2,364,691 740 740 2,365,431 15,259 06/15/2046

92936T-AA-0


C7 CLASS A1 2.300% 06/15/45 08/24/2016 Various 6,059,349 5,944,864 6,113,001 6,053,785 (12,973) (12,973) 6,040,812 18,537 18,537 101,789 06/15/2045

E14.7





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StockCon-


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Adjusted Carrying

Value

11


12


tization)/Accretion

13



14

TotalChange in


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15Total



Value


Date

Foreign Exchange




BondInterest/ Stock

Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date

92936T-AA-0


C7 CLASS A1 2.300% 06/15/45 08/01/2016 Paydown 577,171 577,171 593,495 587,746 (10,575) (10,575) 577,171 5,004 06/15/2045

92936Y-AB-7

WF-RBS COMM MORTG TRUST SERIES 2012-C8 CLASS

A2 1.881% 08/15/45 12/01/2016 Paydown 1,530,263 1,530,263 1,560,804 1,545,740 (15,477) (15,477) 1,530,263 22,466 08/15/2045

92937E-AB-0

WFRBS COMMERCIAL MORTGAGE TRUS SERIES 2013-

C11 CLASS A2 2.029% 03/15/45 12/01/2016 Paydown 1,447,056 1,447,056 1,468,470 1,467,363 (20,307) (20,307) 1,447,056 22,762 03/15/2045

92938J-AA-0

WF- RBS COMMERICAL MORTGAGE TR SERIES 2013-

UBS1 CLASS A-1 1.122% 11/15/18 12/01/2016 Paydown 507,734 507,734 507,729 507,561 173 173 507,734 3,134 11/15/2018

92978Q-AC-1

WACHOVIA BANK COMMERCIAL MORT SERIES 2007-

C30 CLASS A3 5.246% 12/15/43 09/01/2016 Paydown 1,899,191 1,899,191 1,972,190 1,899,191 1,899,191 66,118 12/15/2043

92978Q-CB-1

WACHOVIA BANK COMMERCIAL MORT SERIES 2007-

C30 CLASS A5 5.342% 12/15/43 12/01/2016 Paydown 4,055,486 4,055,486 4,504,124 4,476,041 (420,555) (420,555) 4,055,486 202,650 12/15/2043

92979F-AE-0

WACHOVIA BANK COMMERCIAL MORTG SER 2007-C34

CLASS A1A 5.608% 05/15/46 12/01/2016 Paydown 677,802 677,802 725,795 707,383 (29,581) (29,581) 677,802 19,213 05/15/2046

94973V-BC-0 ANTHEM INC 1.875% 01/15/18 10/12/2016 Various 3,011,820 3,000,000 2,993,160 2,997,390 1,016 1,016 2,998,406 13,414 13,414 70,625 01/15/2018

96221Q-AA-1


C18 CLASS A-1 1.191% 11/15/18 12/01/2016 Paydown 671,793 671,793 671,789 671,558 235 235 671,793 4,409 11/15/2018

98160L-AE-3

WORLD OMNI AUTOMOBILE LEASE SERIES 2013-A

CLASS A4 1.400% 05/15/16 05/15/2016 Paydown 10,000,000 10,000,000 10,015,291 10,003,236 (3,236) (3,236) 10,000,000 50,848 05/15/2016

06366R-U7-8

BANK OF MONTREAL SER MTN 1.800% 07/31/18

A 06/06/2016 Various 5,041,050 5,000,000 4,993,150 4,994,112 1,000 1,000 4,995,112 45,938 45,938 77,250 07/31/2018

136385-AU-5

CANADIAN NATIONAL RESOURCES 1.750%

01/15/18 A 01/29/2016 Various 9,050,000 10,000,000 9,992,100 9,994,904 226 226 9,995,130 (945,130) (945,130) 96,250 01/15/2018

448814-8U-0 HYDRO-QUEBEC 1.375% 06/19/17 A 01/27/2016 Various 4,819,248 4,800,000 4,844,712 4,814,979 (868) (868) 4,814,111 5,137 5,137 7,700 06/19/2017

633067-D3-4

NATIONAL BANK OF CANADA SERIES 144A

1.400% 04/20/18 A 01/27/2016 Various 9,960,600 10,000,000 9,994,400 9,995,708 158 158 9,995,866 (35,266) (35,266) 39,278 04/20/2018

780082-AC-7 ROYAL BANK OF CANADA 2.100% 10/14/20 A 01/19/2016 Various 2,988,090 3,000,000 2,999,010 2,999,053 11 11 2,999,064 (10,974) (10,974) 17,150 10/14/2020

78010U-4A-2

ROYAL BANK OF CANADA SERIES GMTN 1.400%

10/13/17 A 04/28/2016 Various 5,503,845 5,500,000 5,499,175 5,499,509 31 31 5,499,540 4,305 4,305 25,356 10/13/2017

78012K-FU-6

ROYAL BANK OF CANADA SERIES GMTN 1.800%

07/30/18 A 04/29/2016 Various 10,071,500 10,000,000 9,998,800 9,998,969 136 136 9,999,105 72,395 72,395 137,000 07/30/2018

884903-BN-4 THOMSON REUTERS CORP 1.300% 02/23/17 A 02/23/2016 Various 4,980,550 5,000,000 4,976,400 4,991,690 1,111 1,111 4,992,801 (12,251) (12,251) 33,042 02/23/2017

884903-BU-8 THOMSON REUTERS CORP 1.650% 09/29/17 A 08/25/2016 Various 6,022,080 6,000,000 5,989,680 5,994,002 2,279 2,279 5,996,281 25,799 25,799 86,625 09/29/2017

89114Q-AS-7 TORONTO DOMINION BANK 2.125% 07/02/19 A 06/28/2016 Various 5,108,150 5,000,000 4,993,850 4,995,696 613 613 4,996,309 111,841 111,841 105,955 07/02/2019

89114Q-AV-0

TORONTO DOMINION BANK SERIES MTN 2.250%

11/05/19 A 06/09/2016 Various 8,170,400 8,000,000 7,985,680 7,988,989 1,294 1,294 7,990,283 180,117 180,117 109,500 11/05/2019

89352H-AN-9 TRANS CANADA PIPELINES 1.875% 01/12/18 A 01/28/2016 Various 6,881,770 7,000,000 6,977,880 6,985,024 646 646 6,985,670 (103,900) (103,900) 72,917 01/12/2018

00084D-AJ-9

ABN AMRO BANK NV SERIES 144A 2.450%

06/04/20 D 01/19/2016 Various 2,995,770 3,000,000 2,995,800 2,995,861 54 54 2,995,915 (145) (145) 9,800 06/04/2020

00084D-AK-6

ABN AMRO BANK NV SERIES 144A 1.800%

06/04/18 D 10/26/2016 Various 10,022,800 10,000,000 9,993,900 9,995,074 1,692 1,692 9,996,766 26,034 26,034 163,500 06/04/2018

002799-AR-5

ABBEY NATL TREASURY SERV 1.650% 09/29/17

D 04/20/2016 Various 7,513,350 7,500,000 7,492,575 7,495,685 779 779 7,496,464 16,886 16,886 70,813 09/29/2017

002799-AR-5

ABBEY NATL TREASURY SERV 1.650% 09/29/17

D 06/01/2016 Tax Free Exchange 2,498,907 2,500,000 2,497,525 2,498,561 346 346 2,498,907 27,844 09/29/2017

00386S-AK-8

ABU DHABI NATIONAL ENERGY SERIES 144A

2.500% 01/12/18 D 06/02/2016 Various 9,533,250 9,500,000 9,613,580 9,548,406 (10,307) (10,307) 9,538,099 (4,849) (4,849) 214,410 01/12/2018

00507U-AK-7 ACTAVIS FUNDING SCS 1.850% 03/01/17 D 01/13/2016 Various 6,819,516 6,800,000 6,796,872 6,798,154 78 78 6,798,232 21,284 21,284 48,223 03/01/2017

01609W-AC-6

ALIBABA GROUP HOLDING LTD SERIES WI

2.500% 11/28/19 D 02/04/2016 Various 9,919,850 10,000,000 9,969,373 9,970,148 805 805 9,970,953 (51,103) (51,103) 48,958 11/28/2019

05565Q-CE-6 BP CAPITAL MARKETS PLC 1.375% 05/10/18 D 05/09/2016 Various 4,996,450 5,000,000 4,986,050 4,993,430 1,008 1,008 4,994,438 2,012 2,012 34,757 05/10/2018

05565Q-CR-7 BP CAPITAL MARKETS PLC 2.237% 05/10/19 D 07/18/2016 Various 2,046,660 2,000,000 2,000,000 2,000,000 2,000,000 46,660 46,660 31,194 05/10/2019

05965M-AB-9

BANCO DEL ESTADO DE CHILE SERIES 144A

2.000% 11/09/17 D 08/23/2016 Various 1,715,300 1,700,000 1,708,500 1,706,748 (2,369) (2,369) 1,704,379 10,921 10,921 27,106 11/09/2017

064255-AN-2

BK TOKYO MITSUBISHI UFJ SERIES 144A

1.550% 09/09/16 D 09/09/2016 Maturity 1,500,000 1,500,000 1,498,080 1,499,559 441 441 1,500,000 23,250 09/09/2016

064255-AS-1

BK TOKYO MITSUBISHI UFJ SERIES 144A

1.200% 03/10/17 D 01/28/2016 PERSHING LLC,USA 1,994,960 2,000,000 1,997,820 1,999,136 64 64 1,999,200 (4,240) (4,240) 9,467 03/10/2017

E14.8





For-eign

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StockCon-


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11


12


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13



14

TotalChange in


Value(11+12-13)

15Total



Value


Date

Foreign Exchange




BondInterest/ Stock

Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date

20271A-AD-9

COMMONWEALTH BANK AUST SERIES 144A 1.875%

12/11/18 D 02/18/2016 Various 7,053,200 7,000,000 6,964,510 6,979,106 1,030 1,030 6,980,136 73,064 73,064 26,250 12/11/2018

20271R-AC-4

COMMONWEALTH BK AUSTR NY 1.900% 09/18/17

D 01/27/2016 Various 2,515,475 2,500,000 2,495,850 2,498,578 70 70 2,498,648 16,827 16,827 17,549 09/18/2017

21987B-AN-8 CODELCO INC SERIES 144A 3.750% 11/04/20 D 07/06/2016 Various 6,877,850 6,500,000 6,783,015 6,722,216 (19,364) (19,364) 6,702,852 174,998 174,998 141,927 11/04/2020

268317-AN-4

ELECTRICITE DE FRANCE SERIES 144A 2.350%

10/13/20 D 01/20/2016 Various 2,997,540 3,000,000 2,974,650 2,975,760 333 333 2,976,093 21,447 21,447 19,975 10/13/2020

298785-FW-1

EUROPEAN INVESTMENT BANK 1.625% 06/15/17

D 01/27/2016 Various 1,009,300 1,000,000 1,002,920 1,000,844 (49) (49) 1,000,795 8,505 8,505 2,076 06/15/2017

302154-BL-2 EXPORT-IMPORT BK KOREA 1.631% 01/14/17 D 10/04/2016 JP MORGAN CHASE BANK/H 3,504,375 3,500,000 3,500,000 3,500,000 3,500,000 4,375 4,375 45,697 01/14/2017

456873-AA-6

INGERSOLL RAND LUX FINAN 2.625% 05/01/20

D 01/29/2016 Various 993,770 1,000,000 999,340 999,481 11 11 999,492 (5,722) (5,722) 6,708 05/01/2020

500630-CB-2 KOREA DEVELOPMENT BANK 1.507% 01/22/17 D 09/06/2016 JP MORGAN CHASE BANK/H 3,002,400 3,000,000 3,000,000 3,000,000 3,000,000 2,400 2,400 31,672 01/22/2017

53944V-AA-7 LLOYDS BANK PLC 2.300% 11/27/18 D 11/09/2016 Corporate Action 5,070,650 5,000,000 4,992,000 4,995,351 1,398 1,398 4,996,749 73,901 73,901 111,167 11/27/2018

53944V-AC-3 LLOYDS BANK PLC 1.750% 03/16/18 D 11/03/2016 Corporate Action 10,043,800 10,000,000 9,986,600 9,990,149 3,818 3,818 9,993,967 49,833 49,833 200,278 03/16/2018

53944V-AG-4 LLOYDS BANK PLC 1.750% 05/14/18 D 11/03/2016 Corporate Action 15,073,500 15,000,000 14,985,600 14,988,648 4,099 4,099 14,992,747 80,753 80,753 258,125 05/14/2018

55608P-AE-4

MACQUARIE BANK LTD SERIES 144A 1.650%

03/24/17 D 01/27/2016 Various 6,999,230 7,000,000 6,999,370 6,999,742 18 18 6,999,760 (530) (530) 40,746 03/24/2017

60682V-AA-8

MITSUBISHI UFJ TR & BANK SERIES 144A

1.600% 10/16/17 D 07/18/2016

MITSUBISHI UFJ

SECURITIE 3,008,790 3,000,000 2,997,990 2,998,801 370 370 2,999,171 9,619 9,619 36,667 10/16/2017

60688X-AA-8

MIZUHO BANK LTD SERIES 144A 1.300%

04/16/17 D 01/28/2016 Various 5,980,260 6,000,000 5,991,360 5,996,287 252 252 5,996,539 (16,279) (16,279) 22,967 04/16/2017

62628P-AA-4

MUNICIPALITY FINANCE PLC SERIES 144A

1.125% 04/17/18 D 10/27/2016 Various 5,401,296 5,400,000 5,392,656 5,396,633 1,227 1,227 5,397,860 3,436 3,436 63,140 04/17/2018

62854A-AA-2 MYLAN NV SERIES 144A 3.000% 12/15/18 D 11/17/2016 Various 7,687,856 7,600,000 7,590,424 7,590,624 2,833 2,833 7,593,457 94,399 94,399 217,233 12/15/2018

63253W-AA-9

NATIONAL AUSTRALIA BANK SERIES 144A

2.000% 06/20/17 D 01/27/2016 Various 3,783,338 3,750,000 3,835,025 3,778,399 (1,642) (1,642) 3,776,757 6,581 6,581 8,542 06/20/2017

6325C0-DB-4

NATIONAL AUSTRALIA BANK SERIES 144A

2.400% 12/09/19 D 03/07/2016 Various 4,272,865 4,250,000 4,247,025 4,247,658 112 112 4,247,770 25,095 25,095 25,783 12/09/2019

65557C-AQ-6

NORDEA BANK AB SERIES 144A 1.875%

09/17/18 D 08/11/2016 Various 8,076,800 8,000,000 7,977,760 7,979,911 4,627 4,627 7,984,538 92,262 92,262 137,083 09/17/2018

709629-AK-5 PENTAIR FINANCE SA 1.875% 09/15/17 D 04/14/2016 Various 4,980,800 5,000,000 4,991,750 4,997,171 495 495 4,997,666 (16,866) (16,866) 55,729 09/15/2017

780099-CG-0

ROYAL BK SCOTLND GRP PLC 1.875% 03/31/17

D 03/01/2016 Various 1,994,000 2,000,000 1,996,760 1,998,654 186 186 1,998,840 (4,840) (4,840) 16,042 03/31/2017

78440P-AD-0

SK TELECOM CO LTD SERIES 144A 2.125%

05/01/18 D 10/04/2016 Various 4,586,081 4,550,000 4,471,457 4,508,934 13,411 13,411 4,522,345 63,736 63,736 89,613 05/01/2018

82460C-AH-7 SHINHAN BANK SERIES 144A 2.250% 04/15/20 D 09/29/2016 Various 10,058,900 10,000,000 9,988,700 9,990,314 1,080 1,080 9,991,394 67,506 67,506 155,125 04/15/2020

865622-BG-8 SUMITOMO MITSUI BANKING 2.450% 01/10/19 D 09/19/2016 JP MORGAN CHASE BANK/H 4,065,960 4,000,000 3,994,960 3,996,950 731 731 3,997,681 68,279 68,279 117,600 01/10/2019

865622-BT-0

SUMITOMO MITSUI BANKING SERIES GMTN

1.950% 07/23/18 D 10/12/2016 JP MORGAN CHASE BANK/H 8,028,320 8,000,000 7,994,640 7,995,433 1,418 1,418 7,996,851 31,469 31,469 192,400 07/23/2018

8672EM-2A-1

SUNCORP METWAP LTD SERIES 144A 1.700%

03/28/17 D 05/04/2016 Various 4,012,000 4,000,000 3,999,760 3,999,901 28 28 3,999,929 12,071 12,071 41,744 03/28/2017

872882-AC-9

TSMC GLOBAL LTD SERIES 144A 1.625%

04/03/18 D 10/21/2016 Various 750,683 750,000 749,498 749,774 82 82 749,856 827 827 12,966 04/03/2018

90261X-HH-8

UBS AG STAMFORD CT SERIES MTN 1.800%

03/26/18 C 09/06/2016 Various 12,561,480 12,500,000 12,483,625 12,487,823 2,625 2,625 12,490,448 71,032 71,032 168,025 03/26/2018

961214-CC-5 WESTPAC BANKING CORP 2.250% 07/30/18 D 09/13/2016 PERSHING LLC,USA 3,043,920 3,000,000 2,991,120 2,995,423 1,260 1,260 2,996,683 47,237 47,237 76,125 07/30/2018

961214-CM-3 WESTPAC BANKING CORP 1.550% 05/25/18 D 04/04/2016 Various 4,501,485 4,500,000 4,494,510 4,495,613 486 486 4,496,099 5,386 5,386 25,575 05/25/2018

961214-CQ-4 WESTPAC BANKING CORP 1.950% 11/23/18 D 09/06/2016 Various 6,061,440 6,000,000 5,999,460 5,999,495 114 114 5,999,609 61,831 61,831 92,950 11/23/2018

3899999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) 1,156,650,429 1,152,987,664 1,158,561,764 1,155,454,330 (2,243,091) (2,243,091) 1,153,211,239 3,439,190 3,439,190 15,668,740 XXX8399997. Total - Bonds - Part 4 1,752,748,279 1,727,575,088 1,736,508,564 1,750,136,560 (3,000,727) (3,000,727) 1,747,135,833 5,612,446 5,612,446 17,984,320 XXX8399998. Total - Bonds - Part 5 2,706,166,706 2,698,665,190 2,697,386,139 (205,547) (205,547) 2,697,180,590 8,986,116 8,986,116 6,731,664 XXX8399999. Total - Bonds 4,458,914,985 4,426,240,278 4,433,894,703 1,750,136,560 (3,206,274) (3,206,274) 4,444,316,423 14,598,562 14,598,562 24,715,984 XXX8999997. Total - Preferred Stocks - Part 4 XXX XXX8999998. Total - Preferred Stocks - Part 5 XXX XXX8999999. Total - Preferred Stocks XXX XXX

E14.9





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Date128116-10-0 Calamos Growth & Income Port A 12/30/2016 Various 86,241.000 1,207,528 1,242,413 1,213,415 28,997 28,997 1,242,412 (34,884) (34,884) 9,912

128116-10-0 Calamos Growth & Income Port A 12/30/2016 Various 29,142.000 403,522 435,229 410,031 25,198 25,198 435,229 (31,707) (31,707) 1,506

233203-67-8 DFA VA Short Term Fixed Port 12/30/2016 Various 97,259.000 994,065 993,014 989,124 3,890 3,890 993,014 1,051 1,051 6

22544K-88-8 Credit Suisse Commodity Return Strat Port 12/30/2016 Various 5,206.000 21,146 29,226 20,355 8,871 8,871 29,226 (8,080) (8,080)

22544K-88-8 Credit Suisse Commodity Return Strat Port 12/30/2016 Various 627.000 2,684 3,139 2,450 689 689 3,139 (455) (455)

233203-68-6 DFA VA Int'l Small Co Port 12/30/2016 Various 12,854.000 148,808 165,720 142,293 23,427 23,427 165,720 (16,912) (16,912) 132

233203-67-8 DFA VA Short Term Fixed Port 12/30/2016 Various 592,934.000 6,054,884 6,052,437 6,030,138 22,299 22,299 6,052,437 2,447 2,447 4,563

233203-67-8 DFA VA Short Term Fixed Port 12/30/2016 Various 35,335.000 361,457 360,925 359,354 1,571 1,571 360,925 532 532 7

233203-69-4 DFA VA Int'l Value Port 12/30/2016 Various 24,772.000 264,897 339,932 261,343 78,589 78,589 339,932 (75,035) (75,035) 303

233203-68-6 DFA VA Int'l Small Co Port 12/30/2016 Various 320,131.000 3,614,943 3,770,215 3,543,847 226,368 226,368 3,770,215 (155,272) (155,272) 8,262

233203-68-6 DFA VA Int'l Small Co Port 12/30/2016 Various 86,708.000 990,267 1,042,338 959,855 82,483 82,483 1,042,338 (52,071) (52,071) 193

233203-71-0 DFA VA US Targeted Value Port 12/27/2016 Various 12,358.000 194,232 236,804 195,749 41,055 41,055 236,804 (42,572) (42,572) 460

233203-69-4 DFA VA Int'l Value Port 12/30/2016 Various 331,849.000 3,493,194 4,183,456 3,501,004 682,452 682,452 4,183,456 (690,262) (690,262) 12,282

233203-69-4 DFA VA Int'l Value Port 12/30/2016 Various 97,266.000 1,039,432 1,233,121 1,026,156 206,965 206,965 1,233,121 (193,689) (193,689) 3,910

233203-72-8 DFA VA Global Bond Port 12/30/2016 Various 9,288.000 102,016 100,325 99,014 1,311 1,311 100,325 1,691 1,691 37

233203-71-0 DFA VA US Targeted Value Port 12/30/2016 Various 166,613.000 2,837,200 3,082,247 2,639,153 443,093 443,093 3,082,246 (245,046) (245,046) 22,404

233203-71-0 DFA VA US Targeted Value Port 12/30/2016 Various 99,159.000 1,726,605 1,818,285 1,570,677 247,608 247,608 1,818,285 (91,680) (91,680) 8,854

233203-77-7 DFA VA US Large Value Port 12/29/2016 Various 9,848.000 220,432 211,734 203,463 8,270 8,270 211,733 8,699 8,699 1,505

233203-72-8 DFA VA Global Bond Port 12/30/2016 Various 450,131.000 4,918,868 4,886,549 4,798,391 88,158 88,158 4,886,549 32,319 32,319 3,051

233203-72-8 DFA VA Global Bond Port 12/30/2016 Various 31,141.000 341,091 338,594 331,967 6,627 6,627 338,594 2,497 2,497 18

246493-54-8 Del VIP Diversf Inc Ser Std 1 12/30/2016 Various 32,287.000 336,456 347,718 332,232 15,485 15,485 347,717 (11,261) (11,261) 10,190

233203-77-7 DFA VA US Large Value Port 12/30/2016 Various 124,573.000 2,706,734 2,857,073 2,573,681 283,392 283,392 2,857,073 (150,339) (150,339) 2,829

233203-77-7 DFA VA US Large Value Port 12/30/2016 Various 56,763.000 1,271,901 1,311,336 1,172,722 138,614 138,614 1,311,336 (39,435) (39,435) 2,760

246493-67-0 Del VIP Sml Cap Val Ser Std 1 12/30/2016 Various 17,483.000 605,005 673,127 589,515 83,612 83,612 673,127 (68,122) (68,122) 57,515

246493-54-8 Del VIP Diversf Inc Ser Std 1 12/30/2016 Various 949,828.000 9,884,237 10,143,510 9,773,732 369,778 369,778 10,143,510 (259,273) (259,273) 224,168

246493-54-8 Del VIP Diversf Inc Ser Std 1 12/30/2016 Various 195,698.000 2,029,210 2,110,877 2,013,736 97,141 97,141 2,110,877 (81,667) (81,667) 49,748

25239Y-58-4 DFA VA Global Mod Alloction 12/30/2016 Various 62,574.000 692,705 707,408 672,050 35,358 35,358 707,408 (14,703) (14,703) 910

246493-67-0 Del VIP Sml Cap Val Ser Std 1 12/30/2016 Various 228,553.000 7,693,025 9,029,984 7,706,813 1,323,171 1,323,171 9,029,984 (1,336,959) (1,336,959) 684,453

246493-67-0 Del VIP Sml Cap Val Ser Std 1 12/30/2016 Various 20,718.000 710,159 790,688 698,628 92,060 92,060 790,688 (80,529) (80,529) 55,204

355150-77-2 Franklin Developing Mrkts VIP Fnd Cl 1 12/30/2016 Various 100,154.000 757,018 995,593 637,978 357,615 357,615 995,593 (238,575) (238,575) 6,859

246493-76-1 Del VIP Intl Val Eq Ser Std 1 12/30/2016 Various 813,476.000 8,629,068 9,643,388 8,818,084 825,304 825,304 9,643,388 (1,014,320) (1,014,320) 115,395

246493-76-1 Del VIP Intl Val Eq Ser Std 1 12/30/2016 Various 63,117.000 675,583 731,207 684,191 47,016 47,016 731,207 (55,624) (55,624) 7,089

41015H-71-1 John Hancock Emerging Markets Value Trust 12/30/2016 Various 8,444.000 68,097 73,815 59,364 14,450 14,450 73,814 (5,717) (5,717) 162

25239Y-58-4 DFA VA Global Mod Alloction 12/30/2016 Various 532,068.000 5,920,157 6,007,295 5,714,409 292,886 292,886 6,007,295 (87,138) (87,138) 1,122

25239Y-58-4 DFA VA Global Mod Alloction 12/30/2016 Various 110,900.000 1,183,225 1,213,096 1,191,063 22,033 22,033 1,213,096 (29,871) (29,871) 52

552748-10-5 MFin M International Equity Fd 12/30/2016 Various 33,510.000 380,689 415,877 377,322 38,555 38,555 415,877 (35,188) (35,188) 11

355150-71-5 Franklin Mutual Shares VIP Fnd Cl 1 12/30/2016 Various 58,333.000 1,147,491 1,171,660 1,136,333 35,327 35,327 1,171,660 (24,169) (24,169) 18,416

355150-71-5 Franklin Mutual Shares VIP Fnd Cl 1 12/30/2016 Various 48,263.000 944,880 1,003,550 940,167 63,383 63,383 1,003,550 (58,670) (58,670) 21,513

552748-20-4 MFin M Large Cap Growth Fd 12/30/2016 Various 10,612.000 220,681 262,894 229,848 33,046 33,046 262,894 (42,213) (42,213) 2,232

355150-74-9 Franklin Sm-Mid Cap Growth VIP Fnd Cl 1 12/30/2016 Various 120,457.000 2,166,583 3,083,422 2,299,524 783,897 783,897 3,083,421 (916,838) (916,838) 100,135

355150-74-9 Franklin Sm-Mid Cap Growth VIP Fnd Cl 1 12/30/2016 Various 57,954.000 1,041,635 1,415,082 1,106,341 308,741 308,741 1,415,082 (373,447) (373,447) 39,771

552748-30-3 MFin M Capital Appreciation Fd 12/30/2016 Various 8,202.000 224,575 233,608 206,271 27,337 27,337 233,608 (9,033) (9,033) 721

355150-77-2 Franklin Developing Mrkts VIP Fnd Cl 1 12/30/2016 Various 533,112.000 3,718,175 5,324,187 3,395,925 1,928,263 1,928,263 5,324,188 (1,606,013) (1,606,013) 21,673

355150-77-2 Franklin Developing Mrkts VIP Fnd Cl 1 12/30/2016 Various 169,127.000 1,152,452 1,563,154 1,077,341 485,812 485,812 1,563,153 (410,701) (410,701) 4,935

552748-50-1 MFin M Business Opp Val Fd 12/30/2016 Various 32,780.000 390,083 459,443 392,377 67,066 67,066 459,443 (69,360) (69,360) 13

355150-88-9 Franklin Income VIP Fnd Cl 1 12/30/2016 Various 157,613.000 2,353,684 2,674,003 2,307,460 366,543 366,543 2,674,003 (320,319) (320,319) 57,234

355150-88-9 Franklin Income VIP Fnd Cl 1 12/30/2016 Various 13,891.000 210,946 219,550 203,363 16,187 16,187 219,550 (8,604) (8,604) 9,584

641222-70-8 NeuBer AMT MC Intrinsic Val I 12/30/2016 Various 809.000 13,632 14,450 12,827 1,623 1,623 14,450 (818) (818) 394

41015H-71-1 John Hancock Emerging Markets Value Trust 12/30/2016 Various 261,104.000 2,055,494 2,203,511 1,835,559 367,952 367,952 2,203,511 (148,017) (148,017) 18,588

41015H-71-1 John Hancock Emerging Markets Value Trust 12/30/2016 Various 39,652.000 312,562 306,602 278,751 27,851 27,851 306,602 5,960 5,960 1,984

693394-67-8 PIMCO-PVIT Gbl Bd Unhdgd Inst 12/30/2016 Various 23,950.000 279,558 300,376 269,681 30,695 30,695 300,376 (20,818) (20,818) 1,064

471021-43-6 Janus Aspn Prkins Mid-Cap Inst 12/30/2016 Various 164,265.000 2,673,584 2,793,453 2,662,734 130,719 130,719 2,793,453 (119,869) (119,869) 179,095

471021-43-6 Janus Aspn Prkins Mid-Cap Inst 12/30/2016 Various 14,041.000 221,505 262,269 227,607 34,661 34,661 262,268 (40,763) (40,763) 14,745

693394-74-4 PIMCO-PVIT Real Return Inst 12/30/2016 Various 21,091.000 256,849 273,666 251,613 22,053 22,053 273,666 (16,817) (16,817) 1,437

471021-70-9 Janus Aspen Overseas Inst 12/30/2016 Various 41,730.000 1,053,280 1,531,154 1,201,833 329,321 329,321 1,531,154 (477,874) (477,874) 33,077

471021-70-9 Janus Aspen Overseas Inst 12/30/2016 Various 39,674.000 998,207 1,477,418 1,142,609 334,809 334,809 1,477,418 (479,211) (479,211) 21,900

693394-78-5 PIMCO VIT Tot Ret Port Inst 12/30/2016 Various 34,988.000 377,427 391,874 370,176 21,698 21,698 391,874 (14,447) (14,447) 4,125

471021-86-5 Janus Aspen Forty Port Inst 12/30/2016 Various 121,097.000 4,049,931 4,899,390 4,404,289 495,101 495,101 4,899,390 (849,459) (849,459) 269,815

E14.1

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Date471021-86-5 Janus Aspen Forty Port Inst 12/30/2016 Various 15,421.000 503,585 575,691 560,850 14,842 14,842 575,692 (72,107) (72,107) 36,820

742969-57-9 Principal PVC Equity Income Acct Cl 1 12/30/2016 Various 20,584.000 461,503 433,955 446,045 (12,090) (12,090) 433,955 27,548 27,548 26,450

52467K-83-9 Legg Mason WA Var Global High Yield Bd 1 12/30/2016 Various 1,126,340.000 7,898,917 9,197,372 7,354,999 1,842,373 1,842,373 9,197,372 (1,298,455) (1,298,455) 2,299

52467K-83-9 Legg Mason WA Var Global High Yield Bd 1 12/30/2016 Various 35,423.000 244,278 288,146 231,309 56,836 56,836 288,145 (43,867) (43,867) 400

742969-60-3 Principal PVC MidCap Acct Cl 1 12/30/2016 Various 636.000 33,385 34,903 35,127 (224) (224) 34,903 (1,518) (1,518) 1,491

52467M-84-3 Legg Mason Clrbrdg Var Sml Cap Grw Cl 1 12/30/2016 Various 51,998.000 1,017,937 1,203,387 1,089,352 114,035 114,035 1,203,387 (185,450) (185,450) 11,345

52467M-84-3 Legg Mason Clrbrdg Var Sml Cap Grw Cl 1 12/30/2016 Various 15,386.000 310,547 345,071 322,346 22,725 22,725 345,071 (34,524) (34,524) 5,439

74437G-85-4 PS Natural Res Port Cl B 12/30/2016 Various 8,184.000 203,439 285,699 171,773 113,925 113,925 285,698 (82,259) (82,259)

52467X-20-3 Legg Mason Clrbrdg Var Aggres Growth Cl 1 12/30/2016 Various 184,397.000 4,666,496 5,700,566 4,845,958 854,609 854,609 5,700,567 (1,034,071) (1,034,071) 28,297

52467X-20-3 Legg Mason Clrbrdg Var Aggres Growth Cl 1 12/30/2016 Various 34,929.000 907,005 1,088,485 917,924 170,561 170,561 1,088,485 (181,480) (181,480) 177

77954R-10-4 TRPrice Limited Term Bond 12/23/2016 Various 5,597.000 27,131 27,481 27,088 392 392 27,480 (349) (349) 257

55273F-10-0 MFS-VIT Growth Series 12/30/2016 Various 18,429.000 735,241 538,856 740,273 (201,417) (201,417) 538,856 196,385 196,385 52

55273F-10-0 MFS-VIT Growth Series 12/30/2016 Various 24,744.000 962,952 900,468 993,972 (93,505) (93,505) 900,467 62,485 62,485 3,689

77954T-60-5 T Rowe Price Health Sciences i 12/30/2016 Various 5,647.000 202,931 228,199 220,124 8,075 8,075 228,199 (25,268) (25,268) 7

55273F-60-5 MFS-VIT Utility Series 12/30/2016 Various 24,947.000 681,922 841,827 637,638 204,190 204,190 841,828 (159,906) (159,906) 8,978

55273F-60-5 MFS-VIT Utility Series 12/30/2016 Various 9,307.000 260,640 310,664 237,889 72,775 72,775 310,664 (50,024) (50,024) 3,486

87244V-10-4 TIAA-CREF Life Growth Equity 12/30/2016 Various 4,346.000 122,153 112,001 125,476 (13,475) (13,475) 112,001 10,152 10,152 55

55273F-83-7 MFS-VIT Global Eqty Series 12/30/2016 Various 78,909.000 1,455,175 1,493,715 1,451,132 42,583 42,583 1,493,715 (38,540) (38,540) 31,653

55273F-83-7 MFS-VIT Global Eqty Series 12/30/2016 Various 7,746.000 146,467 151,231 142,450 8,780 8,780 151,230 (4,763) (4,763) 2,254

87244V-20-3 TIAA-CREF Life Intl Equity 12/30/2016 Various 5,922.000 106,149 117,317 105,769 11,548 11,548 117,317 (11,168) (11,168) 148

55274F-61-2 MFS VITII Mass Invest Grwth Stk IC 12/30/2016 Various 95,683.000 1,583,006 1,700,107 1,567,279 132,828 132,828 1,700,107 (117,101) (117,101) 33,797

55274F-61-2 MFS VITII Mass Invest Grwth Stk IC 12/30/2016 Various 17,990.000 282,241 320,942 294,677 26,265 26,265 320,942 (38,701) (38,701) 11,783

87244V-30-2 TIAA-CREF Life Growth & Income 12/28/2016 Various 5,941.000 217,350 209,241 212,045 (2,804) (2,804) 209,241 8,109 8,109 1,891

641222-10-4 NeuBer AMT Large Cap Value 12/30/2016 Various 23,472.000 320,749 342,768 309,590 33,178 33,178 342,768 (22,019) (22,019) 3,396

641222-10-4 NeuBer AMT Large Cap Value 12/30/2016 Various 1,529.000 22,477 22,369 20,169 2,200 2,200 22,369 108 108 492

87244V-40-1 TIAA-CREF Life Stock Index 12/28/2016 Various 38,029.000 1,811,414 1,719,807 1,686,590 33,217 33,217 1,719,807 91,607 91,607 92

641222-70-8 NeuBer AMT MC Intrinsic Val I 12/30/2016 Various 307,464.000 5,040,670 5,078,674 4,873,298 205,376 205,376 5,078,674 (38,004) (38,004) 120,834

641222-70-8 NeuBer AMT MC Intrinsic Val I 12/30/2016 Various 40,525.000 673,439 719,764 642,319 77,446 77,446 719,765 (46,326) (46,326) 4,408

87244V-50-0 TIAA-CREF Life Social Choice 12/23/2016 Various 1,171.000 41,173 40,549 39,839 709 709 40,548 625 625 40

693394-58-7 PIMCO-PVIT EmgMktBond Inst 12/30/2016 Various 305,929.000 3,788,155 4,026,518 3,579,365 447,154 447,154 4,026,519 (238,364) (238,364) 103,235

693394-58-7 PIMCO-PVIT EmgMktBond Inst 12/30/2016 Various 28,713.000 362,175 368,214 335,946 32,268 32,268 368,214 (6,039) (6,039) 11,066

87244V-60-9 TIAA-CREF Life Large Cap Value 12/30/2016 Various 3,203.000 107,609 111,992 99,940 12,052 12,052 111,992 (4,383) (4,383) 137

693394-61-1 PIMCO-PVIT ComRlRetStrat Inst 12/30/2016 Various 70,437.000 518,172 645,769 485,313 160,457 160,457 645,770 (127,598) (127,598) 2,328

693394-61-1 PIMCO-PVIT ComRlRetStrat Inst 12/30/2016 Various 21,684.000 165,136 174,808 149,402 25,406 25,406 174,808 (9,672) (9,672) 936

87244V-70-8 TIAA-CREF Life Small Cap Eqty 12/30/2016 Various 2,875.000 93,365 107,300 87,391 19,909 19,909 107,300 (13,935) (13,935) 611

693394-64-5 PIMCO-PVIT All Asset Fd Inst 12/30/2016 Various 71,122.000 686,183 770,154 653,611 116,543 116,543 770,154 (83,971) (83,971) 4,424

693394-64-5 PIMCO-PVIT All Asset Fd Inst 12/30/2016 Various 43,980.000 443,241 473,181 404,174 69,007 69,007 473,181 (29,940) (29,940) 3,678

87244V-80-7 TIAA-CREF Life Real Estate 12/30/2016 Various 891.000 30,527 31,163 29,731 1,433 1,433 31,164 (637) (637) 45

693394-67-8 PIMCO-PVIT Gbl Bd Unhdgd Inst 12/30/2016 Various 121,184.000 1,439,691 1,597,960 1,364,532 233,428 233,428 1,597,960 (158,269) (158,269) 11,466

693394-67-8 PIMCO-PVIT Gbl Bd Unhdgd Inst 12/30/2016 Various 32,129.000 379,883 408,409 361,771 46,639 46,639 408,410 (28,527) (28,527) 2,429

87244V-86-4 TIAA-CREF Life Balanced 12/30/2016 Various 4,354.000 45,191 46,992 44,065 2,927 2,927 46,992 (1,801) (1,801) 798

693394-74-4 PIMCO-PVIT Real Return Inst 12/30/2016 Various 854,368.000 10,585,144 11,739,574 10,192,605 1,546,969 1,546,969 11,739,574 (1,154,430) (1,154,430) 118,636

693394-74-4 PIMCO-PVIT Real Return Inst 12/30/2016 Various 80,111.000 990,850 1,049,275 955,725 93,550 93,550 1,049,275 (58,425) (58,425) 11,888

87244V-88-0 TIAA-CREF Life Bond 12/30/2016 Various 30,707.000 774,270 788,436 753,864 34,572 34,572 788,436 (14,166) (14,166) 67

742969-57-9 Principal PVC Equity Income Acct Cl 1 12/30/2016 Various 418,631.000 9,363,757 8,125,232 9,071,739 (946,506) (946,506) 8,125,233 1,238,524 1,238,524 252,129

742969-57-9 Principal PVC Equity Income Acct Cl 1 12/30/2016 Various 37,348.000 841,664 833,380 809,334 24,046 24,046 833,380 8,284 8,284 22,056

921925-20-2 Vanguard Vanguard VIF TotBond Mkt Idx 12/28/2016 Various 33,616.000 403,089 403,120 396,334 6,786 6,786 403,120 (31) (31) 8,992

742969-60-3 Principal PVC MidCap Acct Cl 1 12/30/2016 Various 30,703.000 1,677,177 1,723,887 1,696,038 27,849 27,849 1,723,887 (46,710) (46,710) 52,237

742969-60-3 Principal PVC MidCap Acct Cl 1 12/30/2016 Various 8,178.000 466,575 473,460 451,748 21,712 21,712 473,460 (6,885) (6,885) 2,489

921925-80-6 Vanguard VIF High Yield Bond 12/30/2016 Various 56,312.000 424,611 457,926 427,409 30,517 30,517 457,926 (33,315) (33,315) 11,558

74437G-60-7 PS Value Port Cl B 12/30/2016 Various 169,765.000 4,038,850 3,939,771 4,106,604 (166,833) (166,833) 3,939,771 99,079 99,079

74437G-60-7 PS Value Port Cl B 12/30/2016 Various 2,694.000 65,701 46,239 65,175 (18,936) (18,936) 46,239 19,462 19,462

921925-82-2 Vanguard VIF Capital Growth 12/30/2016 Various 18,915.000 508,349 403,556 503,890 (100,334) (100,334) 403,556 104,793 104,793 17,775

74437G-78-9 PS Jennison 20/20 Port Cl B 12/30/2016 Various 151,014.000 3,321,796 2,931,617 3,435,578 (503,961) (503,961) 2,931,617 390,179 390,179

74437G-78-9 PS Jennison 20/20 Port Cl B 12/30/2016 Various 16,227.000 358,329 360,368 369,175 (8,807) (8,807) 360,368 (2,039) (2,039)

921925-84-8 Vanguard VIF REIT Index 12/22/2016 Various 5,888.000 78,581 74,757 81,079 (6,323) (6,323) 74,756 3,825 3,825 6,509

74437G-85-4 PS Natural Res Port Cl B 12/30/2016 Various 29,503.000 716,277 1,035,681 619,276 416,405 416,405 1,035,681 (319,404) (319,404)

74437G-85-4 PS Natural Res Port Cl B 12/30/2016 Various 13,452.000 330,362 491,959 282,347 209,611 209,611 491,958 (161,596) (161,596)

E14.1

1





For-eign

DisposalDate

Nameof Purchaser

Number of Shares of

StockCon-


Prior YearBook/

Adjusted Carrying

Value

11


12


tization)/Accretion

13



14

TotalChange in


Value(11+12-13)

15Total



Value


Date

Foreign Exchange




BondInterest/ Stock

Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date921925-85-5 Vanguard VIF MidCap Index 12/30/2016 Various 11,714.000 237,540 240,306 243,192 (2,887) (2,887) 240,305 (2,765) (2,765) 19,148

74925K-42-5 Matson Money Fixed Income VI Port 12/30/2016 Various 138,557.000 3,476,255 3,469,560 3,437,595 31,965 31,965 3,469,560 6,695 6,695 1,108

74925K-42-5 Matson Money Fixed Income VI Port 12/30/2016 Various 8,025.000 201,068 200,303 199,088 1,216 1,216 200,304 764 764

921925-88-9 Vanguard VIF Small Cp Growth 12/28/2016 Various 16,509.000 336,134 389,178 343,215 45,963 45,963 389,178 (53,044) (53,044) 31,203

74925K-43-3 Matson Money Intl Equity VI Port 12/30/2016 Various 108,711.000 2,402,053 2,725,075 2,342,733 382,343 382,343 2,725,076 (323,023) (323,023) 2,539

74925K-43-3 Matson Money Intl Equity VI Port 12/30/2016 Various 4,944.000 107,466 119,101 106,546 12,555 12,555 119,101 (11,635) (11,635)

921925-30-1 Vanguard WIF Equity Index 12/28/2016 Various 12,726.000 428,288 386,104 423,136 (37,032) (37,032) 386,104 42,184 42,184 15,733

74925K-44-1 Matson Money Market US Equity VI Port 12/30/2016 Various 141,812.000 3,757,093 3,686,035 3,492,840 193,194 193,194 3,686,034 71,059 71,059 4,847

74925K-44-1 Matson Money Market US Equity VI Port 12/30/2016 Various 6,019.000 154,139 163,402 148,250 15,153 15,153 163,403 (9,264) (9,264) 19

92913T-88-5 VOYA Russell LgCap Gr Idx Init 12/30/2016 Various 4,564.000 120,748 91,329 118,215 (26,886) (26,886) 91,329 29,419 29,419 1,265

77954R-10-4 TRPrice Limited Term Bond 12/30/2016 Various 1,731,210.000 8,414,924 8,507,564 8,379,058 128,505 128,505 8,507,563 (92,639) (92,639) 49,051

77954R-10-4 TRPrice Limited Term Bond 12/30/2016 Various 61,808.000 300,486 303,926 299,151 4,775 4,775 303,926 (3,440) (3,440) 1,454

92914E-81-2 VOYA Clarion Global Real Est I 12/30/2016 Various 15,690.000 182,151 181,674 184,671 (2,991) (2,991) 181,680 471 471 2,332

77954T-60-5 T Rowe Price Health Sciences i 12/30/2016 Various 83,688.000 2,934,739 3,574,629 3,262,161 312,468 312,468 3,574,629 (639,890) (639,890) 45

77954T-60-5 T Rowe Price Health Sciences i 12/30/2016 Various 14,284.000 503,160 611,250 556,787 54,463 54,463 611,250 (108,090) (108,090) 151

78080T-10-5 Royce Small Cap Annuity Invest 12/30/2016 Various 213,095.000 1,903,568 2,533,410 1,796,390 737,019 737,019 2,533,409 (629,841) (629,841) 13,431

78080T-10-5 Royce Small Cap Annuity Invest 12/30/2016 Various 102,827.000 921,385 1,343,287 866,831 476,456 476,456 1,343,287 (421,902) (421,902) 3,232

78080T-30-3 Royce Micro Cap Annuity Invest 12/30/2016 Various 9,826.000 96,087 117,010 91,771 25,239 25,239 117,010 (20,923) (20,923) 31

78080T-30-3 Royce Micro Cap Annuity Invest 12/30/2016 Various 12,593.000 126,537 155,592 117,618 37,974 37,974 155,592 (29,055) (29,055) 74

87244V-10-4 TIAA-CREF Life Growth Equity 12/30/2016 Various 492,972.000 13,663,848 9,922,778 14,232,112 (4,309,334) (4,309,334) 9,922,778 3,741,070 3,741,070 34,643

87244V-10-4 TIAA-CREF Life Growth Equity 12/30/2016 Various 26,003.000 725,690 646,934 750,710 (103,776) (103,776) 646,934 78,756 78,756 194

87244V-20-3 TIAA-CREF Life Intl Equity 12/30/2016 Various 868,971.000 15,303,964 16,199,436 15,519,825 679,611 679,611 16,199,436 (895,472) (895,472) 8,484

87244V-20-3 TIAA-CREF Life Intl Equity 12/30/2016 Various 70,012.000 1,249,367 1,233,945 1,250,407 (16,461) (16,461) 1,233,946 15,421 15,421 403

87244V-30-2 TIAA-CREF Life Growth & Income 12/30/2016 Various 537,578.000 19,487,188 16,352,198 19,186,153 (2,833,955) (2,833,955) 16,352,198 3,134,990 3,134,990 62,849

87244V-30-2 TIAA-CREF Life Growth & Income 12/30/2016 Various 58,278.000 2,133,051 1,725,401 2,079,957 (354,556) (354,556) 1,725,401 407,650 407,650 786

87244V-40-1 TIAA-CREF Life Stock Index 12/30/2016 Various 970,968.000 44,421,005 33,380,369 43,062,439 (9,682,070) (9,682,070) 33,380,369 11,040,636 11,040,636 18,610

87244V-40-1 TIAA-CREF Life Stock Index 12/30/2016 Various 205,887.000 9,205,571 7,663,452 9,131,073 (1,467,621) (1,467,621) 7,663,452 1,542,119 1,542,119 2,819

87244V-50-0 TIAA-CREF Life Social Choice 12/30/2016 Various 166,471.000 5,889,031 4,844,089 5,663,335 (819,247) (819,247) 4,844,088 1,044,943 1,044,943 49,390

87244V-50-0 TIAA-CREF Life Social Choice 12/30/2016 Various 2,539.000 90,473 69,237 86,388 (17,152) (17,152) 69,236 21,237 21,237 205

87244V-60-9 TIAA-CREF Life Large Cap Value 12/30/2016 Various 265,922.000 8,703,343 7,933,804 8,296,763 (362,958) (362,958) 7,933,805 769,538 769,538 15,670

87244V-60-9 TIAA-CREF Life Large Cap Value 12/30/2016 Various 30,097.000 1,035,588 1,084,686 939,022 145,664 145,664 1,084,686 (49,098) (49,098) 1,507

87244V-70-8 TIAA-CREF Life Small Cap Eqty 12/30/2016 Various 371,426.000 11,529,307 11,257,822 11,291,359 (33,537) (33,537) 11,257,822 271,485 271,485 10,294

87244V-70-8 TIAA-CREF Life Small Cap Eqty 12/30/2016 Various 19,600.000 630,763 689,198 595,853 93,345 93,345 689,198 (58,435) (58,435) 2,430

87244V-80-7 TIAA-CREF Life Real Estate 12/30/2016 Various 335,791.000 11,402,474 9,018,181 11,202,001 (2,183,819) (2,183,819) 9,018,182 2,384,292 2,384,292 92,142

87244V-80-7 TIAA-CREF Life Real Estate 12/30/2016 Various 45,403.000 1,533,659 1,445,963 1,514,654 (68,690) (68,690) 1,445,964 87,695 87,695 2,855

87244V-86-4 TIAA-CREF Life Balanced 12/30/2016 Various 983,068.000 10,185,774 10,283,578 9,948,648 334,930 334,930 10,283,578 (97,804) (97,804) 12,886

87244V-86-4 TIAA-CREF Life Balanced 12/30/2016 Various 75,522.000 788,840 805,073 764,282 40,792 40,792 805,074 (16,234) (16,234) 141

87244V-88-0 TIAA-CREF Life Bond 12/30/2016 Various 892,172.000 22,688,777 22,878,025 21,902,832 975,192 975,192 22,878,024 (189,247) (189,247) 32,869

87244V-88-0 TIAA-CREF Life Bond 12/30/2016 Various 48,187.000 1,225,250 1,243,621 1,182,991 60,630 60,630 1,243,621 (18,371) (18,371) 1,229

921925-20-2 Vanguard Vanguard VIF TotBond Mkt Idx 12/30/2016 Various 607,813.000 7,242,807 7,184,643 7,166,117 18,526 18,526 7,184,643 58,164 58,164 169,036

921925-20-2 Vanguard Vanguard VIF TotBond Mkt Idx 12/30/2016 Various 20,721.000 247,949 247,228 244,295 2,933 2,933 247,228 721 721 5,308

921925-30-1 Vanguard WIF Equity Index 12/30/2016 Various 165,821.000 5,612,061 5,513,864 5,513,558 306 306 5,513,864 98,197 98,197 213,555

921925-80-6 Vanguard VIF High Yield Bond 12/30/2016 Various 28,365.000 215,936 220,153 215,291 4,861 4,861 220,152 (4,216) (4,216) 10,679

921925-80-6 Vanguard VIF High Yield Bond 12/30/2016 Various 480,669.000 3,678,088 3,790,789 3,648,277 142,512 142,512 3,790,789 (112,701) (112,701) 134,496

921925-82-2 Vanguard VIF Capital Growth 12/30/2016 Various 21,659.000 596,766 579,776 576,986 2,789 2,789 579,775 16,991 16,991 20,684

921925-82-2 Vanguard VIF Capital Growth 12/30/2016 Various 12,920.000 330,271 329,814 344,186 (14,372) (14,372) 329,814 457 457 8,328

921925-84-8 Vanguard VIF REIT Index 12/30/2016 Various 39,655.000 535,136 542,525 546,048 (3,523) (3,523) 542,525 (7,389) (7,389) 51,739

921925-84-8 Vanguard VIF REIT Index 12/30/2016 Various 178,856.000 2,381,278 2,357,483 2,462,847 (105,363) (105,363) 2,357,484 23,794 23,794 195,198

921925-85-5 Vanguard VIF MidCap Index 12/30/2016 Various 26,868.000 548,411 586,572 557,777 28,796 28,796 586,573 (38,162) (38,162) 45,156

921925-85-5 Vanguard VIF MidCap Index 12/30/2016 Various 165,104.000 3,345,994 3,570,682 3,427,553 143,129 143,129 3,570,682 (224,688) (224,688) 251,061

921925-30-1 Vanguard WIF Equity Index 12/30/2016 Various 15,702.000 535,895 524,787 522,096 2,691 2,691 524,787 11,108 11,108 20,490

921925-88-9 Vanguard VIF Small Cp Growth 12/30/2016 Various 88,376.000 1,784,318 1,965,504 1,837,334 128,170 128,170 1,965,504 (181,186) (181,186) 155,237

921925-88-9 Vanguard VIF Small Cp Growth 12/30/2016 Various 10,466.000 209,469 232,610 217,581 15,029 15,029 232,610 (23,141) (23,141) 18,461

92914E-81-2 VOYA Clarion Global Real Est I 12/30/2016 Various 374,766.000 4,620,718 4,463,881 4,411,000 52,881 52,881 4,463,881 156,837 156,837 12,555

92914E-81-2 VOYA Clarion Global Real Est I 12/30/2016 Various 17,215.000 209,184 201,289 202,624 (1,335) (1,335) 201,289 7,895 7,895 1,483

933702-10-2 Wanger US Smaller Co Fund 12/30/2016 Various 12,159.000 325,808 461,901 386,050 75,851 75,851 461,901 (136,093) (136,093) 65,726

933702-10-2 Wanger US Smaller Co Fund 12/30/2016 Various 2,934.000 77,587 108,380 93,168 15,212 15,212 108,380 (30,793) (30,793) 4,521

933702-20-1 Wanger Intl Small Cap Fund 12/30/2016 Various 150,244.000 3,765,826 4,854,043 3,954,420 899,623 899,623 4,854,043 (1,088,217) (1,088,217) 229,205

E14.1

2





For-eign

DisposalDate

Nameof Purchaser

Number of Shares of

StockCon-


Prior YearBook/

Adjusted Carrying

Value

11


12


tization)/Accretion

13



14

TotalChange in


Value(11+12-13)

15Total



Value


Date

Foreign Exchange




BondInterest/ Stock

Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date933702-20-1 Wanger Intl Small Cap Fund 12/30/2016 Various 16,511.000 413,635 532,014 434,565 97,450 97,450 532,015 (118,380) (118,380) 26,020

933702-30-0 Wanger Select Fund 12/30/2016 Various 26,413.000 561,100 820,162 638,407 181,753 181,753 820,160 (259,060) (259,060) 93,495

933702-30-0 Wanger Select Fund 12/30/2016 Various 3,291.000 69,802 107,222 79,548 27,669 27,669 107,217 (37,415) (37,415) 8,267

9299999. Subtotal - Common Stocks - Mutual Funds 418,093,659 XXX 413,784,211 411,872,169 1,912,037 1,912,037 413,784,206 4,309,453 4,309,453 5,340,611 XXX87244V-87-2 TIAA-CREF Life Money Market 12/30/2016 Various 49,686,405.000 49,686,405 49,686,405 49,686,405 49,686,405 41,818

87244V-87-2 TIAA-CREF Life Money Market 10/03/2016 Various 6,667,852.000 6,667,852 6,667,852 6,667,852 6,667,852 4,669

87244V-87-2 TIAA-CREF Life Money Market 10/05/2016 Various 7,404,519.000 7,404,519 7,404,519 7,404,519 7,404,519 7,446

9399999. Subtotal - Common Stocks - Money Market Mutual Funds 63,758,776 XXX 63,758,776 63,758,776 63,758,776 53,933 XXX9799997. Total - Common Stocks - Part 4 481,852,435 XXX 477,542,987 475,630,945 1,912,037 1,912,037 477,542,982 4,309,453 4,309,453 5,394,544 XXX9799998. Total - Common Stocks - Part 5 54,578,008 XXX 54,342,458 54,342,460 235,548 235,548 127,327 XXX9799999. Total - Common Stocks 536,430,443 XXX 531,885,445 475,630,945 1,912,037 1,912,037 531,885,442 4,545,001 4,545,001 5,521,871 XXX9899999. Total - Preferred and Common Stocks 536,430,443 XXX 531,885,445 475,630,945 1,912,037 1,912,037 531,885,442 4,545,001 4,545,001 5,521,871 XXX9999999 - Totals 4,995,345,428 XXX 4,965,780,148 2,225,767,505 1,912,037 (3,206,274) (1,294,237) 4,976,201,865 19,143,563 19,143,563 30,237,855 XXX

E14.1

3


SCHEDULE D - PART 5Showing All Long-Term Bonds and Stocks ACQUIRED During Year and Fully DISPOSED OF During Current Year

1 2 3 4 5 6 7 8 9 10 11 Change in Book/Adjusted Carrying Value 17 18 19 20 21


For-eign

Date Acquired Name of Vendor

DisposalDate

Name ofPurchaser

Par Value (Bonds)

orNumber of

Shares(Stock) Actual Cost

Consid-eration

Book/Adjusted CarryingValue at Disposal

12


(Decrease)

13

Current Year's (Amort-ization)/

Accretion

14



15

Total Change in


Valu (12 + 13 - 14)

16Total



Value

Foreign Exchange

Gain(Loss) onDisposal

Realized Gain

(Loss) on Disposal


Interestand

Dividends Received

DuringYear

Paid for Accrued Interest

and Dividends

912828-2B-5 US TREASURY N/B 0.750% 08/15/19 09/07/2016 Various 09/19/2016 Various 55,475,000 55,290,484 55,260,344 55,292,202 1,718 1,718 (31,858) (31,858) 26,750 15,363

912828-2F-6

UNITED STATES T-BILL 1.125% 08/31/21

09/28/2016 Various 09/29/2016 Various 28,100,000 28,080,777 28,041,580 28,080,888 110 110 (39,308) (39,308) 16,899 10,532

912828-2G-4 US TREASURY N/B 0.875% 09/15/19 10/06/2016 Various 10/26/2016 Various 49,668,000 49,642,315 49,561,477 49,642,748 434 434 (81,271) (81,271) 27,018 19,323

912828-A5-9


08/31/2016 Various 09/30/2016 Various 3,500,000 3,502,871 3,502,871 3,501,996 (875) (875) 875 875 6,574 4,662

912828-A5-9


11/10/2016 Various 12/15/2016 Maturity 14,500,000 14,508,965 14,500,000 14,500,000 (8,965) (8,965) 45,313 25,632

912828-A9-1


10/19/2016 Various 11/30/2016 Various 20,250,000 20,271,846 20,264,648 20,263,952 (7,893) (7,893) 696 696 48,674 33,256

912828-B7-4


10/26/2016 Various 12/30/2016 Various 15,000,000 15,012,109 15,001,172 15,004,395 (7,714) (7,714) (3,223) (3,223) 35,921 16,559

912828-C7-3


01/15/2016 Various 10/05/2016 Various 2,000,000 2,003,438 2,003,672 2,001,453 (1,985) (1,985) 2,219 2,219 17,070 4,590

912828-K2-5


07/29/2016 Various 09/30/2016 Various 5,000,000 4,979,629 4,998,828 4,983,566 3,937 3,937 15,262 15,262 24,928 9,959

912828-N4-8


01/28/2016 Various 02/01/2016 Various 62,610,000 62,917,705 63,699,558 62,915,967 (1,738) (1,738) 783,591 783,591 87,186 30,498

912828-N6-3


01/29/2016 Various 02/16/2016 Various 163,890,000 164,279,421 164,901,330 164,273,810 (5,612) (5,612) 627,520 627,520 144,008 60,668

912828-N8-9


02/05/2016 Various 02/29/2016 Various 71,675,000 71,694,965 72,167,112 71,694,272 (693) (693) 472,840 472,840 57,662 7,568

912828-P2-0 US TREASURY N/B 0.750% 01/31/18 02/04/2016 Various 02/05/2016 Various 11,000,000 11,004,941 11,002,578 11,004,940 (1) (1) (2,362) (2,362) 2,040 1,927

912828-P5-3 US TREASURY N/B 0.750% 02/15/19 03/07/2016 Various 03/15/2016 Various 159,115,000 158,363,635 157,798,832 158,373,042 9,407 9,407 (574,210) (574,210) 61,711 16,345

912828-P8-7 US TREASURY N/B 1.125% 02/28/21 03/30/2016 Various 04/04/2016 Various 81,045,000 80,394,939 80,408,387 80,400,302 5,363 5,363 8,085 8,085 67,174 25,102

912828-P9-5


03/31/2016 Various 04/18/2016 Various 124,235,000 123,879,657 124,536,352 123,887,633 7,977 7,977 648,719 648,719 91,639 13,017

912828-Q3-7


04/04/2016 Various 04/19/2016 Various 63,445,000 63,508,538 63,608,600 63,508,308 (230) (230) 100,292 100,292 23,471 8,853

912828-Q4-5 US TREASURY N/B 0.875% 03/31/18 04/29/2016 Various 05/04/2016 Various 11,650,000 11,670,023 11,674,574 11,670,009 (14) (14) 4,565 4,565 9,609 9,470

912828-Q5-2 US TREASURY N/B 0.875% 04/15/19 05/09/2016 Various 05/16/2016 Various 91,000,000 90,920,625 90,819,348 90,921,467 842 842 (102,119) (102,119) 41,667 19,470

912828-Q7-8


05/25/2016 Various 06/03/2016 Various 52,475,000 52,627,326 52,650,808 52,626,155 (1,171) (1,171) 24,653 24,653 40,072 18,493

912828-R4-4


06/09/2016 Various 06/23/2016 Various 69,162,000 68,962,914 68,964,106 68,964,766 1,853 1,853 (660) (660) 31,563 17,560

912828-R7-7


06/08/2016 Various 11/10/2016 Various 41,710,000 41,808,720 41,923,298 41,806,173 (2,547) (2,547) 117,125 117,125 43,956 4,820

912828-R8-5


06/30/2016 Various 07/29/2016 Various 17,000,000 17,086,211 17,053,069 17,084,886 (1,325) (1,325) (31,817) (31,817) 13,259 6,503

912828-S2-7


07/18/2016 Various 08/01/2016 Various 53,950,000 54,148,328 54,125,096 54,146,465 (1,863) (1,863) (21,369) (21,369) 41,962 15,408

912828-S4-3 US TREASURY N/B 0.750% 07/15/19 08/03/2016 Various 08/12/2016 Various 21,525,000 21,491,532 21,492,033 21,491,790 258 258 243 243 11,606 7,074

912828-S6-8 US TREASURY N/B 0.750% 07/31/18 08/24/2016 Various 10/03/2016 Various 20,500,000 20,500,000 20,488,379 20,500,000 (11,621) (11,621) 20,166 10,445

912828-S7-6


08/02/2016 Various 08/24/2016 Various 45,455,000 45,627,135 45,512,700 45,626,546 (590) (590) (113,846) (113,846) 12,214 3,025

912828-T3-4


09/30/2016 Various 10/31/2016 Various 22,000,000 21,990,547 21,880,013 21,990,614 66 66 (110,601) (110,601) 10,728 2,040

912828-T5-9


10/31/2016 Various 11/10/2016 Various 21,455,000 21,451,443 21,457,783 21,451,445 1 1 6,338 6,338 9,963 8,378

912828-T6-7


10/31/2016 Various 11/29/2016 Various 10,613,000 10,579,077 10,336,368 10,579,553 476 476 (243,185) (243,185) 9,747 366

912828-U3-2

UNITED STATES TREASURY 1.000%

11/15/19 11/30/2016 Various 12/07/2016 Various 13,580,000 13,431,020 13,432,624 13,431,935 915 915 689 689 8,486 6,002

912828-VL-1



912828-VR-8


01/29/2016 Various 02/29/2016 Various 10,000,000 10,007,813 10,006,641 10,006,657 (1,156) (1,156) (16) (16) 33,826 28,872

E15





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DisposalDate

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Consid-eration


12


(Decrease)

13


Accretion

14



15

Total Change in


Valu (12 + 13 - 14)

16Total



Value

Foreign Exchange


Realized Gain

(Loss) on Disposal


Interestand

Dividends Received

DuringYear


and Dividends

912828-VR-8



912828-WA-4


05/26/2016 Various 06/30/2016 Various 8,000,000 8,004,922 8,006,875 8,003,654 (1,268) (1,268) 3,221 3,221 10,519 5,482

912828-WA-4



912828-WF-3 US TREASURY N/B 0.625% 11/15/16 09/14/2016 Various 09/30/2016 Various 24,500,000 24,516,992 24,512,676 24,512,216 (4,777) (4,777) 460 460 42,790 32,685

912828-WF-3 US TREASURY N/B 0.625% 11/15/16 07/25/2016 Various 11/15/2016 Maturity 10,000,000 10,008,203 10,000,000 10,000,000 (8,203) (8,203) 31,250 12,228

0599999. Subtotal - Bonds - U.S. Governments 1,528,083,000 1,527,216,214 1,528,593,732 1,527,143,805 (72,411) (72,411) 1,449,927 1,449,927 1,446,484 594,444

12593C-AE-1

CPPIB CAPITAL INC SERIES 144A 1.250%

09/20/19 A 09/13/2016 Various 10/06/2016 Various 8,000,000 7,977,760 7,978,880 7,978,207 447 447 673 673 6,111

30216B-CS-9

EXPORT DEVELOPMENT CANADA 1.250%

10/26/16 A 09/20/2016 Various 10/26/2016 Maturity 15,000,000 15,009,600 15,000,000 15,000,000 (9,600) (9,600) 93,750 76,563

29134W-AA-5

EMIRATE ABU DHABI FR SERIES 144A

2.125% 05/03/21 D 04/25/2016 Various 07/28/2016 Various 5,000,000 4,978,100 5,082,500 4,979,191 1,091 1,091 103,309 103,309 26,267

50046P-AW-5

KOMMUNINVEST I SVERIGE SERIES 144A

1.125% 09/17/19 D 09/07/2016 Various 09/13/2016 Various 3,000,000 2,996,640 2,992,650 2,996,646 6 6 (3,996) (3,996) 188

50048M-CA-6

KOMMUNALBANKEN AS SERIES 144A 1.625%

02/10/21 D 02/03/2016 Various 05/24/2016 Various 7,500,000 7,493,925 7,468,650 7,494,281 356 356 (25,631) (25,631) 36,224

62944B-BH-6

N V BK NEDERLANDSE GEMEENTEN G SERIES

144A 1.625% 04/19/21 D 04/12/2016 Various 07/18/2016 Various 5,000,000 4,996,650 5,060,300 4,996,821 171 171 63,479 63,479 20,764

1099999. Subtotal - Bonds - All Other Governments 43,500,000 43,452,675 43,582,980 43,445,146 (7,529) (7,529) 137,834 137,834 183,304 76,563

419722-S5-3

HAWAII CNTY HI SERIES E 1.200%

09/01/17 02/04/2016 Various 04/04/2016 Various 1,650,000 1,650,000 1,655,247 1,650,000 5,247 5,247 2,695

2499999. Subtotal - Bonds - U.S. Political Subdivisions of States, Territories and Possessions 1,650,000 1,650,000 1,655,247 1,650,000 5,247 5,247 2,695

313588-YJ-8

FANNIE DISCOUNT NOTE 0.000% 06/16/20

06/17/2016 Various 06/20/2016 Maturity 3,600,000 3,599,958 3,600,000 3,599,958 42 42

313588-YJ-8

FANNIE DISCOUNT NOTE 0.000% 06/16/20

06/17/2016 Various 06/20/2016 Maturity 7,300,000 7,299,915 7,300,000 7,299,915 85 85

3136AT-PM-0

FNMA SERIES 2016 66 CLASS MB 3.000%

05/25/44 09/12/2016 Various 12/01/2016 Paydown 537,733 559,242 537,733 537,733 (21,509) (21,509) 2,700 627

3137GA-D7-9

FHLMC SERIES 3721 CLASS PE 3.500%

09/15/40 04/29/2016 Various 12/01/2016 Paydown 1,459,660 1,538,573 1,459,660 1,459,660 (78,913) (78,913) 16,255 426

31418B-2C-9 FNMA POOL MA2570 3.000% 03/01/26 03/08/2016 Various 05/25/2016 Various 2,420,201 2,530,623 2,527,976 2,527,807 (2,816) (2,816) 169 169 18,152 3,227

31418B-2C-9 FNMA POOL MA2570 3.000% 03/01/26 03/08/2016 Various 05/01/2016 Paydown 58,579 61,251 58,579 58,579 (2,673) (2,673) 217 78

3199999. Subtotal - Bonds - U.S. Special Revenues 15,376,173 15,589,562 15,483,948 15,483,652 (105,911) (105,911) 296 296 37,324 4,358

00287Y-AJ-8 ABBVIE INC 1.750% 11/06/17 07/19/2016 Various 12/17/2016 Call 100.6260 13,000,000 13,017,050 13,081,380 13,081,380 64,330 64,330 227,160 46,569

00817Y-AU-2 AETNA INC 2.400% 06/15/21 06/02/2016 Various 11/14/2016 Various 10,000,000 9,999,000 9,997,700 9,999,088 88 88 (1,388) (1,388) 105,333

02582J-GJ-3

AMERICAN EXPRESS CREDIT ACCT SERIES

2013-3 CLASS A 0.980% 05/15/19 06/10/2016 Various 10/17/2016 Call 100.0000 2,650,000 2,651,967 2,650,000 2,650,000 (1,967) (1,967) 8,657

0258M0-DC-0

AMERICAN EXPRESS CREDIT SERIES MTN

2.800% 09/19/16 09/01/2016 Various 09/19/2016 Maturity 8,650,000 8,656,423 8,650,000 8,650,000 (6,423) (6,423) 121,100 113,027

0258M0-EB-1

AMERICAN EXPRESS CREDIT SERIES MTN

2.250% 05/05/21 05/02/2016 Various 07/07/2016 Various 8,150,000 8,145,029 8,314,386 8,145,214 185 185 169,172 169,172 34,128

02665W-BA-8

AMERICAN HONDA FINANCE SERIES MTN

1.700% 02/22/19 02/18/2016 Various 02/29/2016 Various 10,000,000 9,998,000 10,015,000 9,998,016 16 16 16,984 16,984 4,722

031162-CG-3 AMGEN INC 1.850% 08/19/21 08/10/2016 Various 09/13/2016 Various 6,050,000 6,043,406 6,010,675 6,043,507 101 101 (32,832) (32,832) 8,394

035242-AG-1

ANHEUSER BUSCH INBEV FINANCE 1.900%

02/01/19 01/13/2016 Various 03/03/2016 Various 15,000,000 14,959,350 15,126,750 14,960,935 1,585 1,585 165,815 165,815 34,042

035242-AJ-5

ANHEUSER BUSCH INBEV FINANCE 2.650%

02/01/21 01/13/2016 Various 07/12/2016 JP MORGAN CHASE BANK/H 9,500,000 9,470,265 9,910,780 9,473,054 2,789 2,789 437,726 437,726 118,882

037833-BN-9 APPLE INC 1.300% 02/23/18 02/16/2016 Various 03/31/2016 Various 3,000,000 2,998,710 3,022,920 2,998,784 74 74 24,136 24,136 4,550

037833-BQ-2 APPLE INC 1.700% 02/22/19 02/16/2016 Various 02/23/2016 Various 4,350,000 4,349,261 4,374,839 4,349,263 2 2 25,576 25,576 616

037833-BS-8 APPLE INC 2.250% 02/23/21 02/16/2016 Various 03/03/2016 Various 10,000,000 9,992,900 10,132,400 9,992,954 54 54 139,446 139,446 9,375

053332-AU-6 AUTOZONE INC 1.625% 04/21/19 04/18/2016 Various 09/26/2016 Various 5,450,000 5,446,185 5,471,528 5,446,746 561 561 24,782 24,782 38,869

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(Decrease)

13


Accretion

14



15

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Valu (12 + 13 - 14)

16Total



Value

Foreign Exchange


Realized Gain

(Loss) on Disposal


Interestand

Dividends Received

DuringYear


and Dividends

05565E-AD-7

BMW US CAPITAL LLC SERIES 144A 1.500%

04/11/19 04/04/2016 Various 04/12/2016 Various 10,700,000 10,695,292 10,714,017 10,695,309 17 17 18,708 18,708 1,783

06051G-EZ-8


11/21/16 01/12/2016 Various 11/21/2016 Maturity 5,000,000 5,001,750 5,000,000 5,000,000 (1,750) (1,750) 67,500 10,125

06051G-FW-4

BANK OF AMERICA CORP 2.625% 04/19/21

04/14/2016 Various 10/18/2016 Various 13,000,000 12,997,010 13,200,070 12,997,313 303 303 202,757 202,757 172,521

06406F-AB-9

BANK OF NY MELLON CORP SERIES MTN

2.050% 05/03/21 04/25/2016 Various 05/02/2016 Various 10,000,000 9,995,300 10,023,300 9,995,308 8 8 27,992 27,992 1,708

07330N-AL-9

BRANCH BANKING & TRUST SERIES MTN

1.450% 05/10/19 05/05/2016 Various 05/23/2016 Various 5,000,000 4,995,450 4,970,850 4,995,516 66 66 (24,666) (24,666) 3,222

084664-CK-5

BERKSHIRE HATHAWAY FIN 1.300%

08/15/19 08/08/2016 Various 08/15/2016 Various 16,050,000 16,034,432 16,072,149 16,034,474 43 43 37,675 37,675 1,739

084670-BX-5

BERKSHIRE HATHAWAY INC 1.150%

08/15/18 08/08/2016 Various 08/09/2016 Various 6,650,000 6,649,202 6,654,722 6,649,202 5,520 5,520

11120V-AD-5

BRIXMOR OPERATING PART 3.250%

09/15/23 08/15/2016 Various 08/22/2016 Various 6,900,000 6,881,784 6,916,974 6,881,791 7 7 35,183 35,183 623

12531Y-AJ-7

CFCRE COMMERCIAL MORTGAGE TRUS SERIES

2016-C4 CLASS A1 1.501% 05/10/58 05/04/2016 Various 12/01/2016 Paydown 1,013,738 1,013,725 1,013,738 1,013,738 13 13 5,132 719

12532A-AW-9

CFCRE COMMERCIAL MORTGAGE TRUS SERIES

2016-C6 CLASS A1 1.519% 11/10/49 11/01/2016 Various 12/01/2016 Paydown 59,811 59,810 59,811 59,811 2 2 76 53

12636M-AA-6

COLLATERALIZED MORTGAGE OBLIG 1.493%

01/15/49 05/17/2016 Various 12/01/2016 Paydown 706,679 706,678 706,679 706,679 1 1 3,580 733

126650-CA-6 CVS/CAREMARK CORP 1.200% 12/05/16 01/25/2016 Various 12/05/2016 Maturity 5,000,000 5,001,400 5,000,000 5,000,000 (1,400) (1,400) 60,000 8,833

126650-CH-1 CVS/CAREMARK CORP 1.900% 07/20/18 02/26/2016 Various 03/15/2016 Various 2,000,000 2,007,200 2,017,020 2,007,068 (132) (132) 9,952 9,952 6,122 4,433

126650-CT-5 CVS/CAREMARK CORP 2.125% 06/01/21 05/16/2016 Various 07/18/2016 JP MORGAN CHASE BANK/H 11,700,000 11,667,357 11,902,878 11,668,372 1,015 1,015 234,506 234,506 38,675

14912L-6P-1

CATERPILLAR FINL SERVICE SERIES GMTN

1.500% 02/23/18 03/31/2016 Various 05/03/2016 Various 5,000,000 5,020,750 5,041,700 5,019,816 (934) (934) 21,884 21,884 14,792 8,333

14912L-6R-7

CATERPILLAR FINANCE SERIES MTN 1.350%

05/18/19 05/13/2016 Various 05/16/2016 Various 10,000,000 9,994,400 9,989,500 9,994,405 5 5 (4,905) (4,905) 375

161571-GC-2

CHASE ISSUANCE TRUST SERIES 2013-A8

CLASS A8 1.010% 10/15/18 02/05/2016 Various 10/17/2016 Call 100.0000 2,625,000 2,626,659 2,625,000 2,625,000 (1,659) (1,659) 19,884 1,463

17290X-AQ-3

CITIGROUP COMMERCIAL MORTGAGE SERIES

2016-GC37 CLASS A1 1.635% 04/10/49 04/13/2016 Various 12/01/2016 Paydown 563,181 563,170 563,181 563,181 12 12 3,479 639

172967-GW-5 CITIGROUP INC 1.700% 07/25/16 01/25/2016 Various 07/25/2016 Maturity 3,000,000 3,008,010 3,000,000 3,000,000 (8,010) (8,010) 25,500 425

17305E-FC-4

CITIBANK CREDIT CARD ISSUANCE SERIES

2013-A3 CLASS A3 1.110% 07/23/18 02/11/2016 Various 07/22/2016 Paydown 4,515,000 4,520,213 4,515,000 4,515,000 (5,213) (5,213) 25,058 1,639

17305E-FE-0

CITIBANK CREDIT CARD ISSUANCE SERIES

2013-A6 CLASS A6 1.320% 09/07/18 06/20/2016 BANK OF NEW YORK B 09/07/2016 Paydown 1,000,000 1,001,133 1,000,000 1,000,000 (1,133) (1,133) 6,600 3,887

17325D-AA-1

CITIGROUP COMMERCIAL MORTGAGE SERIES

2016 P5 CLASS A1 1.410% 10/10/49 09/30/2016 Various 12/01/2016 Paydown 214,522 214,520 214,522 214,522 2 2 385 143

17401Q-AE-1

CITIZENS BANK NA/RI SERIES MTN 2.550%

05/13/21 05/10/2016 Various 08/04/2016 Various 6,050,000 6,044,374 6,165,253 6,044,645 271 271 120,608 120,608 36,855

174610-AN-5

CITIZENS FINANCIAL GROUP INC 2.375%

07/28/21 07/25/2016 Various 08/09/2016 Various 900,000 899,532 902,025 899,536 4 4 2,489 2,489 831

20030N-BV-2 COMCAST CORP 1.625% 01/15/22 07/12/2016 Various 07/13/2016 Various 10,000,000 9,990,100 10,028,400 9,990,100 38,300 38,300

2027A0-HW-2

COMMONWEALTH BANK OF AUST 2.000%

09/06/21 08/29/2016 Various 09/22/2016 Various 6,000,000 5,994,300 5,991,240 5,994,366 66 66 (3,126) (3,126) 7,000

209115-AC-8

CONSOLIDATED EDISON INC 2.000%

05/15/21 05/11/2016 Various 09/13/2016 Various 4,050,000 4,047,530 4,073,531 4,047,696 167 167 25,835 25,835 27,000

22822V-AA-9

CROWN CASTLE INTL CORP 3.400%

02/15/21 04/26/2016 Various 05/11/2016 Various 2,125,000 2,181,036 2,204,581 2,180,709 (327) (327) 23,872 23,872 19,668 17,661

233331-AX-5 DTE ENERGY CO 1.500% 10/01/19 09/29/2016 Various 10/04/2016 Various 10,000,000 9,987,500 9,974,800 9,987,523 23 23 (12,723) (12,723) 833

25272K-AA-1

DIAMOND 1 FIN DIAMOND 2 SERIES 144A

3.480% 06/01/19 05/17/2016 Various 05/17/2016 Various 9,700,000 9,697,575 9,754,708 9,697,575 57,133 57,133

25459H-BE-4

DIRECTV HOLDINGS/FING 2.400% 03/15/17

02/18/2016 Various 03/17/2016 Taxable Exchange 7,000,000 7,071,780 7,070,000 7,063,085 (8,695) (8,695) 6,915 6,915 91,933 61,067

254683-BE-4

DISCOVER CARD MASTER TRUST SERIES 2013-

A5 CLASS A5 1.040% 04/15/19 02/05/2016 Various 10/15/2016 Paydown 3,391,000 3,394,292 3,391,000 3,391,000 (3,292) (3,292) 26,450 2,060

E15.2





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Consid-eration


12


(Decrease)

13


Accretion

14



15

Total Change in


Valu (12 + 13 - 14)

16Total



Value

Foreign Exchange


Realized Gain

(Loss) on Disposal


Interestand

Dividends Received

DuringYear


and Dividends

25746U-CH-0

DOMINION RESOURCES INC/VA SERIES B

1.600% 08/15/19 08/04/2016 Various 10/19/2016 Various 3,675,000 3,674,669 3,670,847 3,674,692 23 23 (3,845) (3,845) 12,250

26441C-AR-6 DUKE ENERGY CORP 1.800% 09/01/21 08/09/2016 Various 09/15/2016 Various 10,100,000 10,098,990 10,030,209 10,099,011 21 21 (68,802) (68,802) 19,190

29379V-BK-8

ENTERPRISE PRODUCTS OPER 2.850%

04/15/21 04/04/2016 Various 11/30/2016 Various 4,050,000 4,045,869 4,080,254 4,046,403 533 533 33,851 33,851 74,385

30161N-AT-8 EXELON CORP 2.450% 04/15/21 04/04/2016 Various 05/18/2016 Various 5,850,000 5,848,596 5,858,132 5,848,632 35 35 9,500 9,500 18,314

30219G-AD-0

EXPRESS SCRIPTS HOLDING 2.650%

02/15/17 01/28/2016 Various 07/06/2016 Corporate Action 7,000,000 7,074,000 7,079,100 7,043,459 (30,541) (30,541) 35,641 35,641 165,919 85,683

30231G-AP-7

EXXON MOBIL CORPORATION 1.708%

03/01/19 02/29/2016 Various 03/07/2016 Various 10,000,000 10,000,000 9,994,500 10,000,000 (5,500) (5,500) 3,321

30231G-AV-4 EXXON MOBIL CORP 2.222% 03/01/21 02/29/2016 Various 05/05/2016 Various 10,000,000 10,000,000 10,195,800 10,000,000 195,800 195,800 41,354

31677Q-AY-5

FIFTH THIRD BANK/CINCINNATI OH SERIES

BNKT 1.150% 11/18/16 03/02/2016 Various 10/19/2016 Call 100.0000 1,000,000 1,000,430 1,000,000 1,000,000 (430) (430) 10,574 3,482

31677Q-BG-3

FIFTH THIRD BANK/CINCINNATI OH 2.250%

06/14/21 06/09/2016 Various 07/26/2016 Various 10,000,000 9,992,500 10,160,500 9,992,685 185 185 167,815 167,815 28,125

34528Q-CV-4

FORD CREDIT FLOORPLAN MASTER SERIES

2013-5 CLASS A1 1.500% 09/15/18 01/28/2016 JP MORGAN CHASE BANK/H 09/15/2016 Paydown 2,676,000 2,682,063 2,676,000 2,676,000 (6,063) (6,063) 26,760 1,896

345397-WJ-8

FORD MOTOR CREDIT CO LLC 1.700%

05/09/16 02/09/2016 Various 05/09/2016 Maturity 4,000,000 4,005,544 4,000,000 4,000,000 (5,544) (5,544) 34,000 17,567

345397-WP-4


03/12/19 07/05/2016 Various 08/22/2016 Various 6,500,000 6,610,045 6,600,555 6,604,638 (5,407) (5,407) (4,083) (4,083) 69,898 49,743

345397-XW-8


03/18/21 03/15/2016 JP MORGAN CHASE BANK/H 03/16/2016 Various 5,650,000 5,650,000 5,665,990 5,650,000 15,990 15,990 1,571

345397-XY-4


05/03/19 04/29/2016 Various 07/05/2016 Various 6,500,000 6,500,000 6,561,295 6,500,000 61,295 61,295 23,354

34959J-AA-6

FORTIVE CORPORATION SERIES 144A

1.800% 06/15/19 06/06/2016 Various 06/06/2016 Various 3,075,000 3,071,710 3,077,060 3,071,709 5,351 5,351

34959J-AB-4

FORTIVE CORPORATION SERIES 144A

2.350% 06/15/21 06/06/2016 Various 06/07/2016 Various 3,300,000 3,299,241 3,312,837 3,299,241 13,596 13,596

36251P-AA-2

GS MORTGAGE SECURITIES TRUST SERIES 2016

GS3 CLASS A1 1.429% 10/10/49 09/22/2016 Various 12/01/2016 Paydown 181,806 181,804 181,806 181,806 3 3 433 209

369550-AW-8

GENERAL DYNAMICS CORP 1.875% 08/15/23

08/09/2016 Various 08/09/2016 Various 5,000,000 4,965,800 4,973,250 4,965,800 7,450 7,450

37045X-BJ-4

GENERAL MOTORS FINL CO 2.400%

05/09/19 05/04/2016 Various 05/31/2016 Various 15,000,000 14,984,400 14,986,800 14,984,756 356 356 2,044 2,044 24,000

375558-BH-5 GILEAD SCIENCES INC 1.950% 03/01/22 09/15/2016 Various 09/29/2016 Various 3,650,000 3,641,569 3,666,790 3,641,628 59 59 25,162 25,162 2,768

40139L-AA-1

GUARDIAN LIFE GLOB FUND SERIES 144A

2.000% 04/26/21 04/19/2016 Various 04/25/2016 Various 10,000,000 9,986,800 9,989,600 9,986,814 14 14 2,786 2,786 1,111

404280-AY-5

HSBC HLDGS PLC SR GLBL NT 21 2.950%

05/25/21 07/13/2016 JP MORGAN CHASE BANK/H 11/02/2016 Various 15,150,000 15,236,257 15,400,654 15,231,071 (5,185) (5,185) 169,583 169,583 201,116 32,356

42805R-BL-2

HERTZ VEHICLE FINANCING LLC SERIES 2013-

1A CLASS A1 1.120% 08/25/17 02/08/2016 BANK OF NEW YORK B 08/25/2016 Paydown 2,000,000 1,998,750 2,000,000 2,000,000 1,250 1,250 8,400 996

437076-BL-5 HOME DEPOT INC 2.000% 04/01/21 02/03/2016 Various 03/02/2016 Various 6,500,000 6,476,860 6,519,565 6,477,156 296 296 42,409 42,409 9,028

446438-RF-2

HUNINGTON NATIONAL BANK SERIES BKNT

1.300% 11/20/16 01/20/2016 Various 10/31/2016 Call 100.0000 5,000,000 4,999,100 5,000,000 5,000,000 900 900 61,569 11,736

459200-JE-2

INTERNATIONAL BUSINESS MACHS 1.800%

05/17/19 02/16/2016 Various 03/14/2016 Various 10,000,000 9,995,900 10,034,100 9,995,994 94 94 38,106 38,106 14,000

46590L-AQ-5

JPMDB COMMERCIAL MORTGAGE SECU SERIES

2016-C2 CLASS A1 1.423% 06/15/49 05/04/2016 Various 12/01/2016 Paydown 633,491 633,490 633,491 633,491 1 1 3,040 551

46590M-AN-0

JP MORGAN CHASE COMMERCIAL MOR SERIES

2016 JP2 CLASS A1 1.324% 08/15/49 09/20/2016 Various 12/01/2016 Paydown 32,008 31,908 32,008 32,008 100 100 71 26

46590R-AA-7

JP MORGAN CHASE COMMERCIAL MOR SERIES

2016 JP3 CLASS A1 1.462% 08/15/49 09/22/2016 Various 12/01/2016 Paydown 388,668 388,667 388,668 388,668 1 1 948 458

46646R-AG-8

JPMDB COMMERCIAL MORTGAGE SECU SERIES

2016-C4 CLASS A1 1.536% 12/15/49 10/31/2016 Various 12/01/2016 Paydown 43,706 43,706 43,706 43,706 56 39

478160-BS-2 JOHNSON & JOHNSON 1.650% 03/01/21 02/25/2016 Various 02/29/2016 Various 7,200,000 7,200,000 7,202,736 7,200,000 2,736 2,736 660

501044-CU-3 KROGER CO/THE 1.200% 10/17/16 02/17/2016 Various 10/17/2016 Maturity 5,657,000 5,661,530 5,657,000 5,657,000 (4,530) (4,530) 67,884 22,081

E15.3





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DisposalDate

Name ofPurchaser

Par Value (Bonds)

orNumber of


Consid-eration


12


(Decrease)

13


Accretion

14



15

Total Change in


Valu (12 + 13 - 14)

16Total



Value

Foreign Exchange


Realized Gain

(Loss) on Disposal


Interestand

Dividends Received

DuringYear


and Dividends

501044-DA-6

KROGER CO/THE SERIES 3YR 2.000%

01/15/19 01/08/2016 Various 03/17/2016 Various 5,100,000 5,094,084 5,136,864 5,094,378 294 294 42,486 42,486 15,340

501044-DD-0 KROGER CO/THE 1.500% 09/30/19 09/26/2016 Various 10/19/2016 Various 15,075,000 15,067,613 15,014,115 15,067,748 135 135 (53,633) (53,633) 12,560

57629W-CC-2

MASSMUTUTAL GLOBAL FUNDIN SERIES 144A

1.550% 10/11/19 10/05/2016 Various 11/04/2016 US BANCORP INVESTMENT 7,500,000 7,495,875 7,509,375 7,495,984 109 109 13,391 13,391 9,042

594918-BN-3 MICROSOFT CORP 1.100% 08/08/19 08/01/2016 Various 08/02/2016 US BANCORP INVESTMENT 7,000,000 6,992,790 6,989,920 6,992,790 (2,870) (2,870)

594918-BP-8 MICROSOFT CORP 1.550% 08/08/21 08/01/2016 Various 08/02/2016 Various 8,200,000 8,191,390 8,196,064 8,191,390 4,674 4,674

60871R-AE-0

MOLSON COORS BREWING CO 1.450%

07/15/19 06/28/2016 Various 06/28/2016 Various 10,400,000 10,394,800 10,414,664 10,394,800 19,864 19,864

60871R-AF-7

MOLSON COORS BREWING CO 2.100%

07/15/21 06/28/2016 Various 06/28/2016 Various 10,250,000 10,246,105 10,300,225 10,246,105 54,120 54,120

61766E-BA-2

MORGAN STANLEY BAML TRUST SERIES 2016-

C29 CLASS A1 1.597% 05/15/49 04/22/2016 Various 12/01/2016 Paydown 417,876 417,875 417,876 417,876 1 1 2,274 74

61767F-AW-1

MORGAN STANLEY CAPITAL I TRUST SERIES

2016 UB11 CLASS A1 1.445% 08/15/49 08/12/2016 Various 12/01/2016 Paydown 297,848 297,846 297,848 297,848 2 2 906 287

637432-NH-4

NATIONAL RURAL UTIL COOP SERIES 3YR

1.650% 02/08/19 03/03/2016 Various 12/07/2016 Various 15,610,000 15,585,793 15,617,706 15,588,517 2,725 2,725 29,189 29,189 83,024 10,464

64952W-BW-2


1.450% 12/15/17 01/08/2016 Various 02/04/2016 US BANCORP INVESTMENT 10,000,000 9,994,500 10,027,500 9,994,712 212 212 32,788 32,788 21,750 11,278

64952W-CE-1


2.000% 04/13/21 04/06/2016 Various 05/26/2016 Various 7,000,000 6,989,710 7,002,870 6,989,986 276 276 12,884 12,884 18,667

651229-AT-3

NEWELL RUBBERMAID INC 2.600% 03/29/19

03/18/2016 Various 05/25/2016 Various 7,650,000 7,648,241 7,774,313 7,648,341 100 100 125,972 125,972 33,150

651229-AU-0

NEWELL RUBBERMAID INC 3.150% 04/01/21

03/18/2016 Various 05/25/2016 Various 3,300,000 3,294,555 3,377,946 3,294,740 185 185 83,206 83,206 17,325

65339K-AJ-9

NEXTERA ENERGY CAPITAL 1.649%

09/01/18 08/25/2016 Various 09/29/2016 Various 5,450,000 5,463,625 5,471,146 5,463,009 (616) (616) 8,137 8,137 8,238

654740-AL-3

NISSAN MOTOR ACCEPTANCE SERIES 144A

2.000% 03/08/19 03/02/2016 Various 03/18/2016 Various 10,000,000 9,991,900 10,022,750 9,992,000 100 100 30,750 30,750 7,500

67066G-AD-6 NVIDIA CORP 2.200% 09/16/21 09/13/2016 Various 10/19/2016 Various 7,525,000 7,510,101 7,543,436 7,510,410 310 310 33,026 33,026 17,475

69362B-BB-7 PSEG POWER LLC 3.000% 06/15/21 06/06/2016 Various 06/08/2016 Various 15,000,000 14,972,850 15,049,950 14,972,909 59 59 77,041 77,041 5,000

713448-DE-5 PEPSICO INC/NC 1.500% 02/22/19 02/19/2016 Various 02/23/2016 Various 4,500,000 4,498,695 4,507,740 4,498,697 2 2 9,043 9,043 375

74153W-CF-4


1.900% 09/21/18 02/24/2016 Various 06/06/2016 Various 1,101,000 1,099,624 1,112,671 1,099,773 149 149 12,898 12,898 14,992 9,181

74153W-CK-3


1.450% 09/13/19 09/06/2016 US BANCORP INVESTMENT 09/22/2016 Various 7,500,000 7,499,325 7,486,575 7,499,334 9 9 (12,759) (12,759) 4,229

74256L-AW-9

PRINCIPAL LFE GLB FND II SERIES 144A

2.375% 11/21/21 11/14/2016 JP MORGAN CHASE BANK/H 11/17/2016 PERSHING LLC,USA 8,000,000 7,975,680 7,963,360 7,975,693 13 13 (12,333) (12,333) 528

74456Q-BP-0

PUBLIC SERVICE ELECTRIC SERIES MTN

1.900% 03/15/21 02/29/2016 MITSUBISHI UFJ SECURITIE 03/17/2016 Various 5,100,000 5,091,942 5,092,707 5,092,025 83 83 682 682 5,114

828807-CH-8

SIMON PROPERTY GROUP LP 2.800%

01/30/17 01/25/2016 Various 11/01/2016 Call 100.0000 5,000,000 5,059,300 5,000,000 5,000,000 (59,300) (59,300) 175,389 69,222

842400-GF-4 SOUTHERN CAL EDISON 1.845% 02/01/22 02/25/2016 PERSHING LLC,USA 08/01/2016

Redemption 100.0000

160,714 158,721 160,714 160,714 1,993 1,993 1,483 247

842587-CK-1 SOUTHERN CO 1.300% 08/15/17 03/17/2016 US BANCORP INVESTMENT 11/16/2016 Various 1,500,000 1,493,745 1,500,405 1,496,732 2,987 2,987 3,673 3,673 14,950 2,004

842587-CQ-8 SOUTHERN CO 1.850% 07/01/19 05/19/2016 Various 06/02/2016 Various 4,500,000 4,499,145 4,513,185 4,499,156 11 11 14,029 14,029 3,006

863667-AD-3 STRYKER CORP 1.300% 04/01/18 07/19/2016 Various 08/23/2016 PERSHING LLC,USA 3,000,000 3,005,610 3,004,590 3,005,292 (318) (318) (702) (702) 15,708 12,025

863667-AK-7 STRYKER CORP 2.000% 03/08/19 03/03/2016 Various 07/27/2016 Various 11,500,000 11,486,660 11,677,215 11,488,418 1,758 1,758 188,797 188,797 90,083

863667-AM-3 STRYKER CORP 2.625% 03/15/21 03/03/2016 Various 07/27/2016 Various 3,800,000 3,798,556 3,934,520 3,798,670 114 114 135,850 135,850 39,069

871829-BA-4 SYSCO CORP 2.500% 07/15/21 03/22/2016 Various 09/29/2016 Various 2,900,000 2,898,492 2,972,674 2,898,637 145 145 74,037 74,037 36,854

871829-BB-2 SYSCO CORP 1.900% 04/01/19 03/22/2016 Various 09/29/2016 Various 5,775,000 5,771,824 5,830,844 5,772,363 540 540 58,481 58,481 55,777

883556-BD-3

THERMO FISHER SCIENTIFIC INC 1.300%

02/01/17 01/25/2016 Various 10/07/2016 Call 100.2540 5,000,000 4,984,850 5,012,700 5,012,700 27,850 27,850 76,917 31,958

891906-AD-1

TOTAL SYSTEM SERVICES INC 3.800%

04/01/21 03/14/2016 Various 08/01/2016 Various 12,250,000 12,222,560 13,012,685 12,224,647 2,087 2,087 788,038 788,038 177,149

89236T-CU-7

TOYOTA MOTOR CREDIT CORP 1.700%

02/19/19 02/16/2016 Various 02/23/2016 JP MORGAN CHASE BANK/H 10,000,000 9,998,800 10,016,200 9,998,808 8 8 17,392 17,392 3,306

E15.4





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DisposalDate

Name ofPurchaser

Par Value (Bonds)

orNumber of


Consid-eration


12


(Decrease)

13


Accretion

14



15

Total Change in


Valu (12 + 13 - 14)

16Total



Value

Foreign Exchange


Realized Gain

(Loss) on Disposal


Interestand

Dividends Received

DuringYear


and Dividends

90331H-MY-6

US BANK NA CINCINNATI SERIES BKNT

1.400% 04/26/19 04/21/2016 US BANCORP INVESTMENT 05/04/2016 Various 10,500,000 10,470,810 10,488,715 10,470,953 143 143 17,762 17,762 2,197

91159H-HL-7

US BANCORP SERIES MTN 2.350% 01/29/21

01/26/2016 US BANCORP INVESTMENT 04/25/2016 US BANCORP INVESTMENT 10,000,000 9,998,600 10,189,800 9,998,669 69 69 191,131 191,131 58,097

91324P-CK-6

UNITEDHEALTH GROUP INC 1.450%

07/17/17 01/25/2016 Various 08/17/2016 Various 5,000,000 5,014,500 5,024,800 5,008,900 (5,600) (5,600) 15,900 15,900 43,299 2,215

91324P-CT-7


02/15/19 03/03/2016 Various 03/18/2016 Various 16,000,000 15,999,760 16,032,480 15,999,755 (5) (5) 32,725 32,725 15,489 4,911

91324P-CU-4


03/15/21 02/22/2016 Various 05/05/2016 US BANCORP INVESTMENT 5,000,000 4,984,750 5,058,950 4,985,370 620 620 73,580 73,580 22,135

92277G-AA-5

VENTAS REALTY LP/CAP CRP 1.550%


92343V-BN-3



92343V-CE-2


06/09/17 01/12/2016 Various 08/11/2016 Various 8,000,000 7,989,140 8,017,280 7,993,688 4,548 4,548 23,592 23,592 74,100 10,800

92343V-CE-2


06/09/17 04/26/2016 Various 12/05/2016 Call 100.3210 3,500,000 3,500,945 3,511,235 3,511,235 10,290 10,290 46,725 10,575

92343V-DF-8


08/15/19 07/27/2016 Various 08/04/2016 Various 11,100,000 11,099,001 11,114,652 11,099,008 7 7 15,644 15,644 3,392

92343V-DG-6


08/15/21 07/27/2016 Various 08/04/2016 Various 6,675,000 6,645,897 6,672,397 6,646,024 127 127 26,373 26,373 2,596

93114E-EX-1

WALL-MART STORES INC CP 0.000%

05/31/16 05/11/2016 Various 05/31/2016 Maturity 2,000,000 1,999,641 2,000,000 2,000,000 359 359

931427-AM-0

WALGREENS BOOTS ALLIANCE 1.750%

05/30/18 05/26/2016 Various 08/25/2016 Various 11,675,000 11,670,680 11,727,473 11,670,850 169 169 56,623 56,623 16,057

931427-AN-8

WALGREENS BOOTS ALLIANCE 2.600%

06/01/21 05/26/2016 Various 11/28/2016 Various 4,850,000 4,847,284 4,830,794 4,847,556 272 272 (16,762) (16,762) 63,050

94106L-BD-0

WASTE MANAGEMENT INC 2.400% 05/15/23

05/09/2016 Various 05/11/2016 Various 4,950,000 4,944,951 4,963,415 4,944,951 18,464 18,464

949746-RS-2 WELLS FARGO & CO 2.500% 03/04/21 02/26/2016 Various 11/14/2016 Various 12,000,000 11,997,240 12,031,920 11,997,630 390 390 34,290 34,290 210,833

94988J-5A-1

WELLS FARGO BANK NA SERIES BKNT

1.650% 01/22/18 01/22/2016 Various 05/04/2016 Various 2,500,000 2,499,275 2,520,075 2,499,376 101 101 20,699 20,699 11,458

94988J-5D-5 WELLS FARGO BANK NA 1.750% 05/24/19 05/25/2016 Various 06/02/2016 Various 15,000,000 14,993,550 15,046,200 14,993,580 30 30 52,620 52,620 3,646

95000D-BA-8

WELLS FARGO COMMERCIAL MORTGAG SERIES

2016-C34 CLASS A1 1.423% 05/15/49 05/10/2016 Various 12/01/2016 Paydown 371,485 371,484 371,485 371,485 1 1 1,784 338

95000H-BC-5


2016 LC24 CLASS A1 1.441% 10/15/49 09/14/2016 Various 12/01/2016 Paydown 520,960 520,951 520,960 520,960 9 9 1,253 584

95000K-AY-1


2016 NXS6 CLASS A1 1.417% 11/15/49 09/29/2016 Various 12/01/2016 Paydown 474,524 474,512 474,524 474,524 11 11 854 224

976657-AJ-5

WISCONSIN ENERGY CORP 1.650% 06/15/18

02/02/2016 MITSUBISHI UFJ SECURITIE 08/25/2016 Various 5,000,000 5,007,100 5,029,480 5,005,543 (1,557) (1,557) 23,937 23,937 54,358 11,458

06367T-HQ-6

BANK OF MONTREAL SERIES MTN 1.500%

07/18/19 A 07/13/2016 Various 07/26/2016 Various 9,600,000 9,590,784 9,597,792 9,590,877 93 93 6,915 6,915 4,400

064159-HM-1

BANK OF NOVA SCOTIA SERIES BKNT

2.450% 03/22/21 A 03/17/2016 Various 08/24/2016 Various 10,000,000 9,979,400 10,282,200 9,981,205 1,805 1,805 300,995 300,995 106,847

06416C-AC-2 BANK OF NOVA SCOTIA 1.875% 04/26/21 A 04/19/2016 Various 05/11/2016 Various 6,000,000 5,967,900 6,009,840 5,968,252 352 352 41,588 41,588 6,250

78010U-4A-2

ROYAL BANK OF CANADA SERIES GMTN

1.400% 10/13/17 A 01/06/2016 Various 04/28/2016 JP MORGAN CHASE BANK/H 4,000,000 4,000,200 4,010,680 4,000,165 (35) (35) 10,515 10,515 31,111 13,689

89114Q-BG-2

TORONTO DOMINION BANK SERIES MTN

2.125% 04/07/21 A 03/31/2016 Various 09/29/2016 Various 8,000,000 7,986,400 8,105,520 7,987,741 1,341 1,341 117,779 117,779 83,583

002799-AX-2

ABBEY NATL TREASURY SERV 2.500%

03/14/19 D 03/07/2016 Various 06/01/2016 Tax Free Exchange 5,000,000 4,991,250 4,991,889 4,991,889 639 639 27,083

00388W-AD-3

ABU DHABI NATIONAL ENERG SERIES 144A

3.625% 06/22/21 D 06/14/2016 Various 07/18/2016 Various 7,600,000 7,574,160 7,949,600 7,574,570 410 410 375,030 375,030 22,193

05565Q-DC-9

BP CAPITAL MARKETS PLC 1.676%

05/03/19 D 04/28/2016 JP MORGAN CHASE BANK/H 07/18/2016 Various 10,050,000 10,050,000 10,131,405 10,050,000 81,405 81,405 36,027

E15.5





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orNumber of


Consid-eration


12


(Decrease)

13


Accretion

14



15

Total Change in


Valu (12 + 13 - 14)

16Total



Value

Foreign Exchange


Realized Gain

(Loss) on Disposal


Interestand

Dividends Received

DuringYear


and Dividends

05565Q-DD-7

BP CAPITAL MARKETS PLC 2.112%

09/16/21 D 09/13/2016 Various 09/14/2016 Various 10,000,000 10,000,000 10,026,500 10,000,000 26,500 26,500 1,760

05965M-AB-9

BANCO DEL ESTADO DE CHILE SERIES 144A

2.000% 11/09/17 D 06/06/2016 Various 08/23/2016 Various 3,000,000 3,015,000 3,027,000 3,012,741 (2,259) (2,259) 14,259 14,259 17,833 5,000

12563T-AA-8

CK HUTCHISON INTL 16 LTD SERIES 144A

1.875% 10/03/21 D 09/28/2016 JP MORGAN CHASE BANK/H 09/29/2016 Various 3,350,000 3,327,957 3,326,852 3,327,970 12 12 (1,118) (1,118) 174

21688A-AF-9

RABOBANK NEDERLAND NY SERIES MTN


21688A-AG-7

RABOBANK NEDERLAND NY 1.375% 08/09/19

D 08/02/2016 Various 08/11/2016 Various 15,000,000 14,956,650 14,942,550 14,956,927 277 277 (14,377) (14,377) 4,010

22532L-AR-5

CREDIT AGRICOLE LONDON SERIES 144A


298785-HB-5

EUROPEAN INVESTMENT BANK SERIES MTN


302154-CB-3

EXPORT-IMPORT BK KOREA 1.750%

05/26/19 D 05/18/2016 Various 10/04/2016 Various 2,000,000 1,997,320 2,012,657 1,997,646 326 326 15,011 15,011 12,670

404280-AV-1 HSBC HOLDINGS PLC 3.400% 03/08/21 D 03/01/2016 JP MORGAN CHASE BANK/H 07/13/2016 Various 7,450,000 7,433,014 7,699,799 7,434,242 1,228 1,228 265,557 265,557 91,469

44920U-AH-1

HYUNDAI CAPITAL SERVICES SERIES 144A


493738-AC-2

KIA MOTORS CORPORATION SERIES 144A

2.625% 04/21/21 D 04/14/2016 JP MORGAN CHASE BANK/H 05/23/2016 Various 7,000,000 6,976,270 7,078,400 6,976,725 455 455 101,675 101,675 17,865

62854A-AC-8

MYLAN NV SERIES 144A 3.150% 06/15/21

D 05/31/2016 Various 06/06/2016 Various 6,425,000 6,417,547 6,472,802 6,417,547 55,255 55,255

62854A-AE-4

MYLAN NV SERIES 144A 2.500% 06/07/19

D 05/31/2016 Various 06/09/2016 Various 9,025,000 9,014,892 9,089,709 9,014,938 46 46 74,771 74,771 3,134

63254A-AM-0

NATIONAL AUSTRALIA BK LT SERIES GMTN

2.000% 01/14/19 D 01/06/2016 Various 09/20/2016 PERSHING LLC,USA 6,000,000 5,985,060 6,057,120 5,988,509 3,449 3,449 68,611 68,611 83,000

65557C-AS-2


05/27/21 D 05/23/2016 Various 09/08/2016 Various 10,000,000 9,969,500 10,137,700 9,971,321 1,821 1,821 166,379 166,379 66,250

65557C-AV-5


09/30/19 D 09/22/2016 Various 10/25/2016 Various 10,000,000 9,977,000 9,962,700 9,977,588 588 588 (14,888) (14,888) 12,639

71654Q-BQ-4

PETROLEOS MEXICANOS SERIES WI 3.125%

01/23/19 D 02/04/2016 Various 10/04/2016 Various 1,100,000 1,052,150 1,111,000 1,062,838 10,688 10,688 48,162 48,162 24,230 1,531

71656L-BH-3

PETROLEOS MEXICANOS SERIES 144A

5.500% 02/04/19 D 01/28/2016 Various 02/04/2016 Various 3,300,000 3,300,000 3,366,000 3,300,000 66,000 66,000 2,521

80281L-AD-7

SANTANDER UK GROUP HLDGS 3.125%

01/08/21 D 01/05/2016 Various 05/10/2016 PERSHING LLC,USA 6,750,000 6,743,183 6,837,818 6,743,653 470 470 94,165 94,165 73,242

82481L-AB-5

SHIRE ACQ INV IRELAND DA 2.400%


88167A-AC-5

TEVA PHARMACEUTICALS NE 2.200%


90351D-AD-9

UBS GROUP FUNDING SERIES 144A 3.000%


961214-CT-8

WESTPAC BANKING CORP 1.650% 05/13/19

D 05/09/2016 Various 10/12/2016 Various 10,000,000 9,999,700 9,984,400 9,999,743 43 43 (15,343) (15,343) 70,583

961214-DA-8

WESTPAC BANKING CORP 2.000% 08/19/21

D 08/11/2016 Various 09/06/2016 Various 10,000,000 9,992,900 10,011,700 9,992,982 82 82 18,718 18,718 11,111

3899999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) 1,110,056,017 1,109,477,688 1,116,850,799 1,109,457,987 (19,696) (19,696) 7,392,812 7,392,812 5,061,857 801,008

8399998. Total - Bonds 2,698,665,190 2,697,386,139 2,706,166,706 2,697,180,590 (205,547) (205,547) 8,986,116 8,986,116 6,731,664 1,476,373

8999998. Total - Preferred Stocks

22544K-88-8

Credit Suisse Commodity Return Strat

Port 03/14/2016 Various 12/30/2016 Various 1,179.000 4,607 4,752 4,607 145 145

22544K-88-8

Credit Suisse Commodity Return Strat

Port 04/28/2016 Various 12/30/2016 Various 8.000 33 34 33 1 1

25239Y-54-3 DFA VIT Inflation Protected Sec 07/19/2016 Various 12/30/2016 Various 14.000 141 140 141 (1) (1)

355150-71-5 Franklin Mutual Shares VIP Fnd Cl 1 01/05/2016 Dividend Reinvest 12/29/2016 Various 246.000 4,751 5,017 4,751 266 266

25239Y-54-3 DFA VIT Inflation Protected Sec 12/14/2016 Various 12/30/2016 Various 324.000 3,334 3,294 3,334 (40) (40) 9

E15.6





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Consid-eration


12


(Decrease)

13


Accretion

14



15

Total Change in


Valu (12 + 13 - 14)

16Total



Value

Foreign Exchange


Realized Gain

(Loss) on Disposal


Interestand

Dividends Received

DuringYear


and Dividends

693394-58-7 PIMCO-PVIT EmgMktBond Inst 10/06/2016 Various 12/29/2016 Various 675.000 8,853 8,495 8,853 (358) (358) 109

41015H-71-1

John Hancock Emerging Markets Value

Trust 01/05/2016 Dividend Reinvest 12/28/2016 Various 5,241.000 43,552 42,832 43,552 (720) (720) 204

355150-71-5 Franklin Mutual Shares VIP Fnd Cl 1 01/05/2016 Dividend Reinvest 12/30/2016 Various 1,922.000 37,080 39,457 37,080 2,377 2,377

55273F-10-0 MFS-VIT Growth Series 01/05/2016 Dividend Reinvest 12/30/2016 Various 9.000 372 366 373 (7) (7)

355150-74-9

Franklin Sm-Mid Cap Growth VIP Fnd Cl 1

03/24/2016 Various 12/29/2016 Various 3,275.000 58,952 58,979 58,952 27 27 6,740

55273F-60-5 MFS-VIT Utility Series 01/05/2016 Dividend Reinvest 12/29/2016 Various 170.000 4,676 4,540 4,676 (136) (136)

355150-77-2 Franklin Developing Mrkts VIP Fnd Cl 1 03/22/2016 Various 12/30/2016 Various 8,862.000 59,284 66,015 59,284 6,731 6,731 669

55274F-61-2 MFS VITII Mass Invest Grwth Stk IC 01/05/2016 Dividend Reinvest 12/30/2016 Various 5,246.000 83,570 81,523 83,569 (2,046) (2,046)

41015H-71-1

John Hancock Emerging Markets Value

Trust 06/08/2016 Various 12/30/2016 Various 10,410.000 78,474 85,442 78,474 6,968 6,968 998

693394-61-1 PIMCO-PVIT ComRlRetStrat Inst 11/04/2016 Various 11/07/2016 Various 8,011.000 60,000 60,480 59,999 481 481

471021-70-9 Janus Aspen Overseas Inst 02/16/2016 Various 12/30/2016 Various 844.000 21,196 21,108 21,196 (88) (88) 1,684

77954T-60-5 T Rowe Price Health Sciences i 04/26/2016 Various 12/30/2016 Various 18,113.000 607,937 640,382 607,937 32,445 32,445 396

52467K-83-9

Legg Mason WA Var Global High Yield Bd 1

07/06/2016 Various 12/30/2016 Various 31,238.000 212,194 227,709 212,194 15,515 15,515 4

78080T-30-3 Royce Micro Cap Annuity Invest 05/11/2016 Various 12/30/2016 Various 138,030.000 1,268,495 1,370,707 1,268,495 102,212 102,212 1

52467X-20-3

Legg Mason Clrbrdg Var Aggres Growth Cl

1 07/22/2016 Various 12/30/2016 Various 14,301.000 368,471 377,684 368,472 9,212 9,212 17

921925-30-1 Vanguard WIF Equity Index 01/19/2016 Various 12/29/2016 Various 2,250.000 68,914 76,979 68,914 8,065 8,065 3,103

55273F-10-0 MFS-VIT Growth Series 08/15/2016 Various 12/30/2016 Various 2,516.000 99,012 98,407 99,012 (605) (605) 4,671

921925-82-2 Vanguard VIF Capital Growth 06/30/2016 Various 12/30/2016 Various 16,094.000 395,853 419,216 395,853 23,363 23,363 11,087

55273F-60-5 MFS-VIT Utility Series 01/05/2016 Dividend Reinvest 12/30/2016 Various 8.000 217 211 217 (6) (6)

921925-88-9 Vanguard VIF Small Cp Growth 02/25/2016 Various 12/30/2016 Various 5,348.000 98,062 115,875 98,063 17,812 17,812 10,446

641222-10-4 NeuBer AMT Large Cap Value 10/26/2016 Various 12/30/2016 Various 8.000 116 124 116 8 8

933702-10-2 Wanger US Smaller Co Fund 11/30/2016 Various 12/30/2016 Various 848.000 21,214 20,317 21,214 (897) (897)

693394-58-7 PIMCO-PVIT EmgMktBond Inst 06/08/2016 Various 12/30/2016 Various 2,767.000 34,459 35,740 34,459 1,281 1,281 805

693394-61-1 PIMCO-PVIT ComRlRetStrat Inst 04/29/2016 Various 12/30/2016 Various 7,342.000 50,309 56,298 50,309 5,989 5,989 325

693394-67-8 PIMCO-PVIT Gbl Bd Unhdgd Inst 01/08/2016 Various 12/30/2016 Various 5,264.000 59,645 62,862 59,645 3,217 3,217 760

742969-57-9 Principal PVC Equity Income Acct Cl 1 01/05/2016 Dividend Reinvest 08/24/2016 Various 1,695.000 37,812 37,711 37,813 (102) (102)

742969-60-3 Principal PVC MidCap Acct Cl 1 01/05/2016 Dividend Reinvest 12/30/2016 Various 23.000 1,153 1,147 1,153 (6) (6)

74437G-85-4 PS Natural Res Port Cl B 06/20/2016 Various 12/30/2016 Various 1,309.000 31,171 31,324 31,171 153 153

77954T-60-5 T Rowe Price Health Sciences i 06/09/2016 Various 12/29/2016 Various 1,574.000 54,540 54,942 54,540 402 402

87244V-86-4 TIAA-CREF Life Balanced 06/06/2016 Various 12/30/2016 Various 33,673.000 347,269 349,605 347,269 2,336 2,336 11

921925-80-6 Vanguard VIF High Yield Bond 03/07/2016 Various 12/30/2016 Various 9,538.000 73,443 72,424 73,443 (1,019) (1,019) 4,035

921925-82-2 Vanguard VIF Capital Growth 03/24/2016 Various 12/30/2016 Various 1,131.000 27,961 31,349 27,961 3,388 3,388 73

921925-84-8 Vanguard VIF REIT Index 03/16/2016 Various 12/30/2016 Various 8,347.000 110,953 110,138 110,953 (815) (815) 9,335

9299999. Subtotal - Common Stocks - Mutual Funds 4,438,075 4,673,625 4,438,077 235,548 235,548 55,482

87244V-87-2 TIAA-CREF Life Money Market 08/24/2016 Various 12/30/2016 Various 37,107,935.000 37,107,935 37,107,935 37,107,935 54,321



9399999. Subtotal - Common Stocks - Money Market Mutual Funds 49,904,383 49,904,383 49,904,383 71,845

9799998. Total - Common Stocks 54,342,458 54,578,008 54,342,460 235,548 235,548 127,327

9899999. Total - Preferred and Common Stocks 54,342,458 54,578,008 54,342,460 235,548 235,548 127,327

9999999 - Totals 2,751,728,597 2,760,744,714 2,751,523,050 (205,547) (205,547) 9,221,664 9,221,664 6,858,991 1,476,373

E15.7


SCHEDULE DA - PART 1Showing All SHORT-TERM INVESTMENTS Owned December 31 of Current Year

1 2 Codes 5 6 7 8 Change in Book/Adjusted Carrying Value 13 14 Interest 21


3

Code

4

For-eign

DateAcquired Name of Vendor

MaturityDate


Value

9


(Decrease)

10

Current Year's(Amor-

tization)/Accretion

11



12Total



Value Par Value Actual Cost

15

Amount Dueand Accrued Dec. 31 of

CurrentYear on

Bonds notin Default

16

Non-Admitted Due and Accrued

17

Rateof

18

Effective Rate

of

19

When Paid

20

Amount Received

DuringYear

Paid forAccruedInterest

UNITED STATES T-BILL 09/30/2016 Various 01/05/2017 9,699,671 164 9,700,000 9,699,507 0.305 0.309 MAT

UNITED STATES T-BILL 09/30/2016 Various 01/05/2017 9,599,675 163 9,600,000 9,599,512 0.305 0.309 MAT

0199999. Subtotal - Bonds - U.S. Governments - Issuer Obligations 19,299,346 327 19,300,000 19,299,019 XXX XXX XXX

0599999. Total - U.S. Government Bonds 19,299,346 327 19,300,000 19,299,019 XXX XXX XXX

BK NEDERLANDSE GEMEENTEN SERIES EMTN D 10/07/2016 Various 01/31/2017 7,024,878 (67,172) 7,000,000 7,092,050 337,896 5.250 0.825 JAN 257,250

0699999. Subtotal - Bonds - All Other Governments - Issuer Obligations 7,024,878 (67,172) 7,000,000 7,092,050 337,896 XXX XXX XXX 257,250

1099999. Total - All Other Government Bonds 7,024,878 (67,172) 7,000,000 7,092,050 337,896 XXX XXX XXX 257,250

1799999. Total - U.S. States, Territories and Possessions Bonds XXX XXX XXX

2499999. Total - U.S. Political Subdivisions Bonds XXX XXX XXX

FED HOME LOAN DISCOUNT NOTE 09/30/2016 Various 01/03/2017 8,189,864 137 8,190,000 8,189,727 0.300 0.304 MAT

FED HOME LOAN DISCOUNT NOTE 09/30/2016 Various 01/03/2017 16,359,727 273 16,360,000 16,359,455 0.300 0.304 MAT

2599999. Subtotal - Bonds - U.S. Special Revenues - Issuer Obligations 24,549,591 410 24,550,000 24,549,182 XXX XXX XXX

3199999. Total - U.S. Special Revenues Bonds 24,549,591 410 24,550,000 24,549,182 XXX XXX XXX

AT&T INC 03/17/2016 Taxable Exchange 03/15/2017 5,010,055 (39,945) 5,000,000 5,050,000 35,333 2.400 1.384 MS 60,000 667

ERAC USA FINANCE LLC SERIES 144A 07/05/2016 Various 03/15/2017 4,013,047 (31,633) 4,000,000 4,044,680 32,389 2.750 1.110 MS 55,000 34,528

MORGAN STANLEY 07/05/2016 Various 03/22/2017 4,031,116 (68,844) 4,000,000 4,099,960 52,250 4.750 1.180 MS 95,000 55,944

PFIZER INC 01/25/2016 PERSHING LLC,USA 01/15/2017 3,370,041 (1,003) 3,370,000 3,371,045 13,986 0.900 0.868 JJ 15,165 1,095

SOUTHWESTERN ELEC POWER SERIES E 01/25/2016 Various 01/15/2017 5,000,000 (196,600) 5,000,000 5,196,600 127,958 5.550 0.334 JJ 138,750 10,021

WELLS FARGO & COMPANY 12/07/2016 Various 06/02/2017 3,998,409 209 4,000,000 3,998,200 3,706 1.150 1.245 JD 1,278

TORONTO DOMINION BANK SERIES GMTN A 07/26/2016 Various 05/02/2017 5,001,660 (2,140) 5,000,000 5,003,800 9,219 1.125 1.024 MN 28,125 13,594

3299999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) - Issuer Obligations 30,424,328 (339,956) 30,370,000 30,764,285 274,841 XXX XXX XXX 392,040 117,127

3899999. Total - Industrial and Miscellaneous (Unaffiliated) Bonds 30,424,328 (339,956) 30,370,000 30,764,285 274,841 XXX XXX XXX 392,040 117,127

4899999. Total - Hybrid Securities XXX XXX XXX

5599999. Total - Parent, Subsidiaries and Affiliates Bonds XXX XXX XXX

6099999. Subtotal - SVO Identified Funds XXX XXX XXX

7799999. Total - Issuer Obligations 81,298,143 (406,391) 81,220,000 81,704,536 612,737 XXX XXX XXX 392,040 374,377

7899999. Total - Residential Mortgage-Backed Securities XXX XXX XXX

7999999. Total - Commercial Mortgage-Backed Securities XXX XXX XXX

8099999. Total - Other Loan-Backed and Structured Securities XXX XXX XXX

8199999. Total - SVO Identified Funds XXX XXX XXX

8399999. Total Bonds 81,298,143 (406,391) 81,220,000 81,704,536 612,737 XXX XXX XXX 392,040 374,377

8699999. Total - Parent, Subsidiaries and Affiliates XXX XXX XXX XXX

TIME DEPOSIT EURO (MCH) 12/30/2016 0.000 0.000 540

9099999. Subtotal - Other Short-Term Invested Assets XXX XXX XXX XXX 540

9199999 - Totals 81,298,143 (406,391) XXX 81,704,536 612,737 XXX XXX XXX 392,580 374,377

E17


Schedule DB - Part A - Section 1 - Options, Caps, Floors, Collars, Swaps and Forwards Open

N O N E

Schedule DB - Part A - Section 2 - Options, Caps, Floors, Collars, Swaps and Forwards Terminated

N O N E

Schedule DB - Part B - Section 1 - Futures Contracts Open

N O N E

Schedule DB - Part B - Section 1B - Brokers with whom cash deposits have been made

N O N E

Schedule DB - Part B - Section 2 - Futures Contracts Terminated

N O N E

Schedule DB - Part D - Section 1 - Counterparty Exposure for Derivative Instruments Open

N O N E

Schedule DB - Part D-Section 2 - Collateral for Derivative Instruments Open - Pledged By

N O N E

Schedule DB - Part D-Section 2 - Collateral for Derivative Instruments Open - Pledged To

N O N E

Schedule DL - Part 1 - Reinvested Collateral Assets Owned

N O N E

Schedule DL - Part 2 - Reinvested Collateral Assets Owned

N O N E

E18, E19, E20, E21, E22, E23, E24, E25


SCHEDULE E - PART 1 - CASH1

Depository

2

Code

3

Rate ofInterest

4Amount of Interest Received During

Year

5Amount of Interest

Accrued December 31 of Current Year

6

Balance

7

*State Street 0.000 164,201 XXX0199998 Deposits in ... depositories which do not exceed the allowable limit in any one depository (See instructions) - open depositories XXX XXX XXX0199999. Totals - Open Depositories XXX XXX 164,201 XXX0299998 Deposits in ... depositories which do not exceed the allowable limit in any one depository (See instructions) - suspended depositories XXX XXX XXX0299999. Totals - Suspended Depositories XXX XXX XXX0399999. Total Cash on Deposit XXX XXX 164,201 XXX0499999. Cash in Company's Office XXX XXX XXX XXX XXX

0599999 Total - Cash XXX XXX 164,201 XXX

TOTALS OF DEPOSITORY BALANCES ON THE LAST DAY OF EACH MONTH DURING THE CURRENT YEAR1. January 1,735,625 4. April 163,151 7. July 98,337 10. October 88,489,167

2. February 1,952,852 5. May (1,898,622) 8. August 469,478 11. November 162,238

3. March 130,160 6. June 98,173 9. September 916,685 12. December 164,201

E26


SCHEDULE E - PART 2 - CASH EQUIVALENTSShow Investments Owned December 31 of Current Year

1

Description

2

Code

3

Date Acquired

4

Rate of Interest

5

Maturity Date

6Book/AdjustedCarrying Value

7Amount of InterestDue and Accrued

8Amount Received

During Year

0599999. Total - U.S. Government Bonds

NOVA SCOTIA PROV CDA SR 12/08/2016 5.125 01/26/2017 13,798,951 303,606 (298,711)

KFW 11/18/2016 4.875 01/17/2017 7,012,707 155,458 (150,411)

0699999. Subtotal - Bonds - All Other Governments - Issuer Obligations 20,811,658 459,064 (449,122)

1099999. Total - All Other Government Bonds 20,811,658 459,064 (449,122)

1799999. Total - U.S. States, Territories and Possessions Bonds

2499999. Total - U.S. Political Subdivisions Bonds

3199999. Total - U.S. Special Revenues Bonds

BANK OF MONTREAL SERIES 144A 12/22/2016 1.950 01/30/2017 7,305,068 59,708 (59,221)

HUTCH WHAMPOA INT 11 LTD SERIES 144A 11/04/2016 3.500 01/13/2017 6,940,194 113,272 (101,062)

3299999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) - Issuer Obligations 14,245,262 172,980 (160,283)

3899999. Total - Industrial and Miscellaneous (Unaffiliated) Bonds 14,245,262 172,980 (160,283)

4899999. Total - Hybrid Securities

5599999. Total - Parent, Subsidiaries and Affiliates Bonds

6099999. Subtotal - SVO Identified Funds

7799999. Total - Issuer Obligations 35,056,920 632,044 (609,405)

7899999. Total - Residential Mortgage-Backed Securities

7999999. Total - Commercial Mortgage-Backed Securities

8099999. Total - Other Loan-Backed and Structured Securities

8199999. Total - SVO Identified Funds

8399999. Total Bonds 35,056,920 632,044 (609,405)

8699999 - Total Cash Equivalents 35,056,920 632,044 (609,405)

E27


SCHEDULE E - PART 3 - SPECIAL DEPOSITS

1 2Deposits For the

Benefit of All Policyholders All Other Special Deposits

States, Etc.Type of Deposit Purpose of Deposit


4

Fair Value


6

Fair Value

1. Alabama AL

2. Alaska AK

3. Arizona AZ

4. Arkansas AR

5. California CA

6. Colorado CO

7. Connecticut CT

8. Delaware DE

9. District of Columbia DC

10. Florida FL

11. Georgia GA

12. Hawaii HI

13. Idaho ID

14. Illinois IL

15. Indiana IN

16. Iowa IA

17. Kansas KS

18. Kentucky KY

19. Louisiana LA

20. Maine ME

21. Maryland MD

22. Massachusetts MA

23. Michigan MI

24. Minnesota MN

25. Mississippi MS

26. Missouri MO

27. Montana MT

28. Nebraska NE

29. Nevada NV

30. New Hampshire NH

31. New Jersey NJ

32. New Mexico NM

33. New York NY

34. North Carolina NC

35. North Dakota ND

36. Ohio OH

37. Oklahoma OK

38. Oregon OR

39. Pennsylvania PA

40. Rhode Island RI

41. South Carolina SC

42. South Dakota SD

43. Tennessee TN

44. Texas TX

45. Utah UT

46. Vermont VT

47. Virginia VA

48. Washington WA

49. West Virginia WV

50. Wisconsin WI

51. Wyoming WY

52. American Samoa AS

53. Guam GU

54. Puerto Rico PR

55. U.S. Virgin Islands VI

56. Northern Mariana Islands MP

57. Canada CAN

58. Aggregate Alien and Other OT XXX XXX

59. Subtotal XXX XXX


5801.

5802.

5803.

5898. Summary of remaining write-ins for Line 58 from overflow page XXX XXX

5899. Totals (Lines 5801 thru 5803 plus 5898)(Line 58 above) XXX XXX

NONE

E28

ALPHABETICAL INDEXANNUAL STATEMENT BLANK

Analysis of Increase in Reserves During The Year 6

Analysis of Operations By Lines of Business 5

Asset Valuation Reserve Default Component 15

Asset Valuation Reserve Equity 17

Asset Valuation Reserve Replications (Synthetic) Assets 20

Assets 2

Exhibit 1 - Investment Expenses 8

Exhibit 2 - Investment Taxes, Licenses and Fees (Excluding Federal Income Taxes) 8

Exhibit 3 - Aggregate Reserve for Life, Annuity and Accident and Health Contracts 9

Exhibit 3 - Interrogatories 9

Exhibit 3A - Changes in Bases of Valuation During The Year 9

Exhibit 4 - Deposit-Type Contracts 10

Exhibit 5 - Reconciliation of Cash and Invested Assets 11

Exhibit 6 - Guaranteed Insurance and Annuity Products 12

Exhibit of Capital Gains (Losses) 7

Exhibit of Net Investment Income 7

Form for Calculating the Interest Maintenance Reserve (IMR) 14

General Interrogatories 13

Jurat Page 1

Liabilities, Surplus and Other Funds 3

Overflow Page For Write-ins 21

Schedule A - Part 1 E01



Schedule A - Verification Between Years SI02

Schedule B - Part 1 E04



Schedule B - Verification Between Years SI02

Schedule BA - Part 1 E07



Schedule BA - Verification Between Years SI03

Schedule D - Part 1 E10

Schedule D - Part 2 - Section 1 E11

Schedule D - Part 2 - Section 2 E12




Schedule D - Summary By Country SI04

Schedule D - Verification Between Years SI03

Schedule DA - Part 1 E17

Schedule DA - Verification Between Years SI10

Schedule DB - Part A - Section 1 E18

Schedule DB - Part A - Section 2 E19

Schedule DB - Part A - Verification Between Years SI11

Schedule DB - Part B - Section 1 E20

Schedule DB - Part B - Section 2 E21

Schedule DB - Part B - Verification Between Years SI11

Schedule DB - Part C - Section 1 SI12

Schedule DB - Part C - Section 2 SI13

Schedule DB - Part D - Section 1 E22

Schedule DB - Part D - Section 2 E23

Schedule DB - Verification SI14

Schedule DL - Part 1 E24

Schedule DL - Part 2 E25

Schedule E - Part 1 - Cash E26

Schedule E - Part 2 - Cash Equivalents E27

Schedule E - Part 3 - Special Deposits E28

Schedule E - Verification Between Years SI15

Summary of Operations 4

INDEX1

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