Pennsylvania Insurance Department Home...100 Summer Street Boston, MA 02110-2131 Phone: (617)...

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Master Service List

Parties

IN RE: Reliance Insurance Company In Liquidation

No. 1 REL 2001 (Commonwealth Court of Pennsylvania)

Preston M. Buckman, Esquire, (717) 787-6009

Department Counsel for Insurance

Governor's Office of General Counsel

Commonwealth of Pennsylvania

Insurance Department

Office of the Chief Counsel

Capitol Associates Building

901 North 7th Street

Harrisburg, PA 17102

Phone: (717) 787-6009

Fax: (717) 772 4543

E-mail: [email protected]

(Attorneys for the Pennsylvania

Insurance Department)

Marilyn K. Kincaid, Esquire, (215) 864-4205

Reliance Insurance Company

(in Liquidation)

Three Parkway

5th Floor

Philadelphia, PA 19102

Phone: (215) 864-4205

Fax: (215) 864-4105


(Attorney for Reliance Insurance

Company (in Liquidation))

Nicholas M. Insua

McCarter & English LLP

1600 Market Street

Suite 3900


Phone: (215) 979-3800

Fax: (215)979-3899


(Attorney for Water Applications Distribution Group,

Inc. formerly known as U.S. Filter Distribution

Group, Inc. as successor-by-merger to Pacific Water

Works Supply Co., Inc.)

Timothy P. Law, (215) 851-8100

Reed Smith LLP

Three Logan Square

1717 Arch Street, Suite 3100


Phone: (215) 851-8100

Fax: (215) 851-1420


(Counsel for Henry Company)

Timothy J. O’Driscoll, (215) 988-2700

Drinker Biddle & Reath LLP

One Logan Square

Suite 2000


Phone: (215) 988-2700

Fax: (215) 988-2757

[email protected]

(Counsel for Aurora National Life Assurance

Company)

Emily Grim, (202) 772-3925

Richard Shore

Daniel I. Wolf

Gilbert LLP

1100 New York Avenue, NW

Suite 700

Washington, DC 20005

Phone: (202) 772-3925

Fax: (202) 772-3333


[email protected]

[email protected]

(Counsel for Armstrong World Industries, Inc. and

The Shook & Fletcher Asbestos Settlement Trust)

Charles J. Jesuit, Jr., (215) 665-2000

Cozen O’Connor

1900 Market Street


Phone: (215) 665-2000

Fax: (215) 665-2013


(Attorney for Aramark Corporation)

Patricia Rothbardt, (212) 858-3688

Reliance Insurance Company (in Liquidation)

Legal Department- 10th Floor

75 Broad Street

New York, NY 10004

Phone: (212) 858-3688

Fax: (212) 858-9098

Email: [email protected]

(Attorney for Reliance Insurance


2

Anthony J. Piazza, Jr., (570) 382-3143

Piazza Law Group

194 Cypress Street, Suite 200

Throop, PA 18512

Phone: (570) 382-3143

Fax: (570) 483-4684


And

Alpheus Raymond Hamrick, III, (818) 763-5292

Hamrick & Evans LLP

111 Universal Hollywood Drive

Suite 2200

Universal City, CA 91608

Phone: (818) 763-5292

Fax: (818) 763-2308


(Counsel for Woodbridge Films, Inc.)

Douglas Y. Christian, (215) 864-8404/8136

Ballard Spahr LLP

1735 Market Street, 51st Floor


Phone: (215) 864-8404/8136

Fax: (215) 864-9206/8999


(Counsel for Carlson Holdings, Inc. and NAFCO

Insurance Company Ltd)

Steven B. Davis, (215) 564-8000

Karl S. Myers

Stradley Ronon Stevens & Young, LLP

2600 One Commerce Square


Phone: (215) 564-8000

Fax: (215) 564-8120


[email protected]

(Counsel for Reliance Insurance


Steven J. Englemyer, 215-568-2000

Lorena E. Ahumada

Kleinbard LLC

1650 Market Street

46th Floor


Phone: 215-568-2000


[email protected]

(Counsel for Reliance Insurance


114582.00600/21231974v.1

1

Master Service List

Non-Parties

IN RE: Reliance Insurance Company In Liquidation

No. 1 REL 2001 (Commonwealth Court of Pennsylvania)

David L. Harbaugh, Esquire, (215) 963-5751

Morgan, Lewis & Bockius LLP

1701 Market Street

Philadelphia, PA 19103-2921

Phone: (215) 963-5751

Fax: (215) 963-5001


(Attorney for Fuji Bank)

Richard F. McMenamin, Esquire, (215) 979-3860

McCarter & English, LLP

1600 Market Street

Suite 3900


Phone: (215) 979-3860

Fax: (215) 988-4326


(Attorney for Milliken & Company)

Richard F. McMenamin, Esquire, (215) 979-3860

McCarter & English, LLP

1600 Market Street

Suite 3900



Phone: (215) 979-3860

Fax: (215) 988-4326


(Attorneys for The Bank of New York Mellon

(Formerly Mellon Bank, N.A.)

Stanley E. Maron, (310) 570-4908

Maron & Sandler

1250 Fourth Street, Suite 550

Santa Monica, California 90401

Phone: (310) 570-4908

Fax: (310) 570-4901


Joel Hopkins, (717) 257- 7525

Saul Ewing LLP

Penn National Insurance Plaza

2 North Second Street

7th Floor

Harrisburg, PA 17101-1619

Phone : (717) 257- 7525

Fax: (717) 257-7590


(Attorney for Milken Institute)

James S. Gkonos

Saul Ewing LLP

Centre Square West, 38th Floor

1500 Market Street

Philadelphia, PA 19102-2186

Phone: (215) 972-8667

Fax: (215) 972-1833


(Attorney for Milken Institute)

Jayson R. Wolfgang, Esquire, (717) 237-4852

Buchanan Ingersoll

One South Market Square

213 Market Street, 3rd Floor

Harrisburg, PA 17101

Phone: (717) 237-4852

Fax: (717) 233-0852


(Attorneys for Federal Insurance Company)

Rowe W. Snider, Esquire, (312) 443-0700

Steven T. Whitmer, Esquire

Julie L. Young, Esquire

Locke Lord Bissell & Liddell LLP

111 S. Wacker Drive

Chicago, Illinois 60606

Phone: (312) 443-0700

Fax: (312) 443-0336


[email protected]

[email protected] (Attorneys for Illinois Insurance Guaranty Fund)

Daryn E. Rush, Esquire, (215) 864-6360

White and Williams LLP

1650 Market Street

One Liberty Place, Suite 1800


Phone: 215-864-6360

Fax: 215-789-7683


(Attorney for Baptist Health South Florida, Inc.,

Palm Springs General Hospital, and Travelers

Casualty and Surety Co.)

114582.00600/21231974v.1

2

Henry M. Sneath, (412) 288-4013

Amber L. Reiner, (412) 288-4000

Picadio Sneath Miller & Norton, P.C.

Four Gateway Center

444 Liberty Avenue, Suite 1105

Pittsburgh, PA 15222

Phone: (412) 288-4013

(412) 288-4000

Fax: (412) 288-2405


[email protected]

(Counsel for Washington Mutual Bank (“WAMU”),

as successor to Hawthorne Financial Corp. and

Hawthorne Saving, F.S.B.)

Gregory P. Deschenes, (617) 345-1324

NIXON PEABODY LLP

100 Summer Street

Boston, MA 02110-2131

Phone: (617) 345-1324

E-Mail: [email protected]

(Counsel for Massachusetts Insurers Insolvency

Fund)

Anthony A. Geyelin, Esquire, (610) 642-8500

Chimicles & Tikellis LLP

361 W. Lancaster Avenue

Haverford, PA 19041

Phone: (610) 642-8500

Fax: (610) 649-3633


(Counsel for Petitioner, the Certified Class in the In

re Phoenix Leasing Limited Partnership Litigation)

Jayne A. Risk, (215)656-3328

DLA Piper (US) LLP

One Liberty Place

1650 Market Street

Philadelphia PA 19103

Phone: (215)656-3328

fax: (215) 606-3328


Stephen A. Loney, Jr., (267) 675-4600

Hogan & Hartson LLP

1835 Market Street

29th Floor


Phone: (267) 675-4600

Fax: 267-675-4601

e-mail: [email protected]

(Counsel for Genworth Life Insurance Company and

Genworth Life and Annuity Insurance Company

(formerly General Electric Capital Assurance

Company, First Colony Life Insurance Life Insurance

Company, Federal Home Life Insurance Company,

and GE Life and Annuity Assurance Company) and

National Structured Settlements Trade Association)

Timothy A. Diemer, (313)965-1900

Jacobs and Diemer, P.C. The Guardian Building 500 Griswold St., Suite 2825 Detroit, MI 48226 Phone: (313)965-1900

Fax: (313)965-1919


(Counsel for DTE Energy Company)

Timothy P. Law, (215) 851-8100

Matthew D. Rosso

Reed Smith LLP

Three Logan Square

1717 Arch Street, Suite 3100


Phone: (215) 851-8100

Fax: (215) 851-1420


[email protected]

(Counsel for Unisys Corporation and Tribune

Company, Lincoln National Corporation, Warrantech

et. al)

Exhibit A

RELIANCE INSURANCE COMPANY (IN LIQUIDATION)

SPECIAL PURPOSE STATEMENTS OF ASSETS AND LIABILITIES - UNAUDITED

(In Millions)

ASSETS December 31, 2016 December 31, 2015

Short and intermediate duration investments 1,764.8$ 2,096.0$

Investments held for secured creditors 2.5 2.4

Investments held for uncovered claimants 16.8 16.5

Invested assets excluding affiliates 1,784.1 2,114.9

Investments in affiliates 31.4 52.0

Total invested assets 1,815.5 2,166.9

Premium balances 6.9 13.3

Reinsurance receivable and recoverables 34.2 58.6

Early access advances to guaranty associations 2,591.0 2,594.1

Other assets 16.4 18.3

Total Assets 4,464.0 4,851.2

LIABILITIES

Secured Creditors - Funds held 35.3 40.4

Class (a) liabilities

Liquidator expenses incurred since liquidation 1,281.7 1,251.6

Liquidator expenses paid since liquidation (1,281.7) (1,251.6)

Liquidator expenses - unpaid - -

Guaranty association expenses - submitted 378.2 363.1

Guaranty association expenses - paid 360.9 350.1

Guaranty association expenses - unpaid 17.3 13.0

Other class (a) liabilities 7.6 8.0

Total class (a) liabilities 24.9 21.0

Class (b) liabilities

Guaranty association paid losses 3,223.4 3,166.5

Reserves for guaranty association losses 836.5 963.0

Notices of determination issued 1,140.1 1,097.3

Gross distribution calculation (732.3) (416.1)

Reduction for aggregate policies - 33.5

Asset distribution payments (732.3) (382.6)

All other estimated reserves 284.1 983.0

Total class (b) liabilities 4,751.8 5,827.2

Class (c) liabilities - -

Class (d) liabilities - -

Class (e) liabilities

Notices of determination issued 149.4 149.0

Losses and reserves on assumed business 743.3 764.7

Other class (e) liabilities 4.7 5.2

Total class (e) liabilities 897.4 918.9

Class (f) liabilities - -

Class (g) liabilities - Notices of determination issued 32.8 32.8

Class (h) liabilities - -

Class (i) liabilities - -

Total liabilities 5,742.2 6,840.3

Net deficit ($1,278.2) ($1,989.1)

The special purpose statement of assets and liabilities of Reliance Insurance Company (in Liquidation) is prepared on a unique financialreporting basis, in that, the statement does not fully reflect the effect of the company's liquidation. The liquidation process will result in the realization of amounts on transfer or disposition of assets and in the satisfaction of liabilities at amounts substantially different than those reflected in the accompanying statement of assets and liabilities. The statement does not include any adjustment that might result from theoutcome of the uncertainties related to the liquidation, future administration expenses, and various potential exposures, recoveries or benefits.The special purpose statement of assets and liabilities is not intended to be in conformity with, and will vary significantly from generallyaccepted accounting principles and statutory accounting practices for a property and casualty insurance company as prescribed by the NAIC.

See accompanying notes.

Exhibit B


SPECIAL PURPOSE STATEMENT OF CHANGES IN POLICYHOLDERS' SURPLUS - UNAUDITED

(In Millions)

Twelve Months Period From

Ended Oct. 3, 2001 To

December 31, 2016 December 31, 2016

Policyholders' surplus - beginning of period ($1,989.1) ($2,683.5)

Underwriting gain/(loss) 677.6 (514.1)

Net investment income 28.9 701.8

Other income/(expense) (1) 14.1 932.4

Net realized and unrealized capital gains/(losses) (9.7) 285.2

Change in policyholders' surplus 710.9 1,405.3

Policyholders' surplus - end of period ($1,278.2) ($1,278.2)

(1) Significant items prior to 2016 includes settlements with directors / officers and the parent company,

changes in the estimate for uncollectible reinsurance, the elimination of various liabilities relating

primarily to pre-rehabilitation expenses which are class (e) creditor claims that were not assgned a dollar

value in the POC process and are unlikely to be paid or offset against any other asset in the Estate and.

federal income tax refund.

The special purpose statement of changes in policyholders' surplus of Reliance Insurance Company (in Liquidation)

is prepared on a unique financial reporting basis, in that, the statement does not fully reflect the effect of the

company's liquidation. The liquidation process will result in the realization of amounts on transfer or disposition of

assets and in the satisfaction of liabilities at amounts substantially different than those reflected in the accompanying

statement of assets and liabilities. The statement does not include any adjustment that might result from the

outcome of the uncertainties related to the future effect of the liquidation and various potential exposures, recoveries

or benefits.

The special purpose statement of changes in policyholders' surplus is not intended to be in conformity with, and will

vary significantly from, generally accepted accounting principles and statutory accounting practices for a property

and casualty insurance company as prescribed by the National Association of Insurance Commissioners.


Exhibit C


STATEMENT OF CASH RECEIPTS AND DISBURSEMENTS, AND CHANGES IN SHORT AND

INTERMEDIATE DURATION INVESTMENTS

FOR THE PERIOD JANUARY 1, 2016 TO DECEMBER 31, 2016 - UNAUDITED

(In Millions)

Cash Receipts:

Reinsurance collections $17.2

Premium Collections (0.1)

Claim recoveries 0.2

Proceeds from sale of affiliates 8.6

Investment income received 45.6

Other including net realized losses of $3.2 million (0.4)

Total Cash Receipts 71.1

Cash Disbursements:

Operating expenses (41.8)

Asset distribution on class (b) NODs (343.1)

Allocated loss adjustment expenses (0.3)

Early Access Advance (5.1)

Total Cash Disbursements (390.3)

Net change in short and intermediate duration investments

from cash activity (319.2)

Non-cash items affecting short and intermediate term investments:

Change in value of investments managed by investment managers (12.0)

Total Non-cash activity (12.0)

Net change in short and intermediate duration investments (331.2)

Beginning Balance - Short and intermediate duration investments 2,096.0

Ending Balance - Short and intermediate duration investments $1,764.8


Exhibit D

RELIANCE INSURANCE COMPANY (IN LIQUIDATION) NOTES TO THE FOLLOWING UNAUDITED STATEMENTS:

SPECIAL PURPOSE STATEMENT OF ASSETS AND LIABILITIES,

SPECIAL PURPOSE STATEMENT OF CHANGES IN POLICYHOLDERS’ SURPLUS, AND

STATEMENT OF CASH RECEIPTS AND DISBURSEMENTS AND CHANGES IN SHORT AND INTERMEDIATE DURATION INVESTMENTS

Note 1 - Nature of operations and basis of presentation Reliance Insurance Company (“the Company”) was placed into rehabilitation by order of the Commonwealth Court of Pennsylvania (“the Court”) on May 29, 2001. On October 3, 2001, the Company was declared insolvent by order (“the Order”) of the Court. The Order of the Court appointed the Insurance Commissioner of Pennsylvania as Liquidator of the Company (“the Liquidator”). Representatives of the Liquidator oversee the daily operations of the Company. The Order applies to all former subsidiaries of Reliance Insurance Company that were previously merged into Reliance Insurance Company, including Reliance National Indemnity Company, Reliance National Insurance Company, United Pacific Insurance Company, Reliance Direct Insurance Company, Reliance Surety Company, Reliance Universal Insurance Company, United Pacific Insurance Company of New York, and Reliance Insurance Company of Illinois. The entity is now known as Reliance Insurance Company (in Liquidation) (“Reliance”) or (“the Estate”).

The principal activities since the date of liquidation consist of the collection and marshalling of assets and determination of claims. All creditor claims submitted to Reliance must be evaluated through the Proof of Claim (“POC”) process to determine and assign the proper class priority and dollar value. The largest class of creditors is claims for losses under policies issued prior to liquidation. Ultimately, the net assets of the Estate are expected to be distributed to creditors. Priority of Claims and Distribution to Creditors

Reliance will distribute funds to creditors in accordance with the Insurance Department Act of 1921 (the “Act”), 40 P.S. Section §221.44, which governs asset distributions from insolvent insurance estates. The following summarizes the classes of creditors under the Act:

(a) The costs and expenses of administration, including but not limited to the actual and necessary costs of preserving or recovering the assets of the insurer, compensation for all services rendered in the liquidation, reasonable attorney’s and other expenses and fees.

(b) All claims under policies for losses wherever incurred, including third-party claims, and all claims against the insurer for liability for bodily injury or for injury to or

destruction of tangible property which are not under policies, shall have the next priority.

(c) Claims of the Federal government.

(d) Debts due to employees for services performed to the extent that they do not exceed $1,000 and represent payment for services performed within one year before the filing of the petition for liquidation.

(e) Claims under nonassessable policies for unearned premium or other premium refunds and claims of general creditors.

(f) Claims of any state or local government.

(g) Claims filed late and certain other special claims.

(h) Surplus or contribution notes, or similar obligations, and premium refunds on assessable policies.

(i) The claims of shareholders or other owners.

Every claim in each class shall be paid in full or adequate funds retained for such payment before the members of the next class receive any payment. No subclasses shall be established within any class.

Claims that are lower than class (b) priority are generally not assigned a dollar value during the POC process. These claimants are being advised that a value will be determined only if the Estate believes that sufficient funds will be available for distributions to creditors below class (b). Claims lower than class (b) are not reported as liabilities on the Special Purpose Statement of Assets and Liabilities with the exception of certain reinsurance liabilities which could have offset implications and claims in which a Notice of Determination (“NOD”) has been issued.

Reliance is on a modified cash basis of accounting accepted by the Pennsylvania Department of Insurance which is a cash basis with adjustments. The Special Purpose Statements of Assets and Liabilities and Changes in Policyholders’ Surplus (“Statements”) of Reliance are prepared on a unique financial reporting basis, in that, the Statements do not fully reflect the effect of the Estate’s liquidation. The liquidation process will result in the realization of amounts on transfer or disposition of assets and in the satisfaction of liabilities at amounts substantially different than those reflected in the Special Purpose Statement of Assets and Liabilities. The Statements do not include an estimate of liquidation administrative expenses or any adjustments that might result from the outcome of the uncertainties related to the future effects of the liquidation and various potential exposures, recoveries or benefits.

The Statements also do not include any estimate for potential federal income tax liabilities. Reliance has significant net operating losses for tax purposes, which begin to expire in 2020, and may be used to partially offset future income. However, actual tax liabilities and related payments may be material. The Statements and the Statement of Cash Receipts and Disbursements and Changes in Short and Intermediate Duration Investments are not intended to be in conformity with, and will vary significantly from, generally accepted accounting principles and statutory accounting practices for a property and casualty insurance company as prescribed by the National Association of Insurance Commissioners. The statements include Reliance and its domestic property and casualty insurance operations. Loss and loss adjustment expenses are presented gross of reinsurance. The preparation of financial statements requires the use of estimates and assumptions that affect amounts reported in these financial statements and accompanying notes. Actual results may vary from these estimates. Note 2 – Cash disbursements Cash disbursements for which checks have been issued, but which are outstanding at the date of the Special Purpose Statements of Assets and Liabilities are not recorded as deductions to short and intermediate duration investments. Check disbursements are recorded as deductions to short and intermediate duration investments only when presented to the bank. Note 3 – Short and intermediate duration investments Short and intermediate duration investments consist primarily of short-term investments and marketable bonds and notes. Such investments are recorded at fair value using recognized national pricing services. However, no accrued but unpaid interest income is reported in the Special Purpose Statements of Assets and Liabilities related to such investments. Note 4 – Investments held in segregated accounts Investments held in segregated accounts, which consist primarily of short-term fixed maturity investments, are reported at fair value. However, no accrued or unpaid interest is reported in the accompanying financial statements. These investments include amounts to secure obligations of Reliance arising from certain reinsurance contracts and funds collected on large deductible policies. Funds collected on large deductible policies, which are not assets of the Estate, are $0.6 million and $0.4 million at December 31, 2016 and December 31, 2015, respectively and will be administered and paid to the GAs and creditors in accordance with the Act , 40 P.S. §221.23a.

Investments held for uncovered claimants are held pursuant to a settlement agreement entered into as of February 10, 2006 (“Settlement Agreement”) with various state GAs. Pursuant to the Settlement Agreement, Reliance reduced the large deductible reimbursements otherwise due and owed to each of the various state GAs and

established a fund for the exclusive benefit of uncovered (not covered by a GA) class (b) claimants.

Note 5 – Investments in affiliates Investments in affiliates include amounts held in escrow from the sale of RCGGS, the former information technology subsidiary and Canadian branch, which is under liquidation proceedings in Canada. The realization of any value from the Canadian branch will likely only be in an extended timeframe. The carrying value of these investments has been adjusted to reflect an estimate of net realizable value. Market values are not available for these entities, therefore proceeds from the ultimate disposition of these entities may be significantly different than the amount reflected in the Special Purpose Statements of Assets and Liabilities. Note 6 – Premium balances Premium balances include accrued retrospective premiums of $3.8 million and $10 million at December 31, 2016 and December 31, 2015, respectively. Premium balances also include billings related to large deductible policies of $2.3 million and $2.5 million at December 31, 2016 and December 31, 2015, respectively. Certain balances may only be collectible through legal proceedings. Balances ultimately collectible may be significantly different than the amount reflected in the Special Purpose Statements of Assets and Liabilities. Note 7 - Reinsurance receivable and recoverables Reinsurance receivable and recoverables is comprised of receivables from reinsurance currently due and an estimate of the portion of gross loss reserves that will be recovered from reinsurers in the future. Amounts recoverable from reinsurers are estimated in a manner consistent with the gross losses associated with the reinsured policies. A provision for estimated uncollectible reinsurance is recorded based on an evaluation of balances due from reinsurers, changes in the credit standing of the reinsurers, existing coverage disputes as well as an estimate of future disputes with reinsurers and permitted offsets of assumed reinsurance. In light of the inherent uncertainties relating to future insolvencies, settlement compromises and dispute resolutions, the actual uncollectible amounts and offsets may be significantly different than the reserve included in the Special Purpose Statement of Assets and Liabilities. Note 8 - Class (b) Liabilities Class (b) liabilities is comprised of GA paid losses, reserves for GA losses, NODs issued by the Estate and all other estimated reserves. The NODs issued amount is adjusted by $732.3 million in distribution payments to creditors. All other estimated reserves is comprised of estimated reserves for reported claims, including POCs where a NOD has not yet been issued. All other estimated reserves are net of anticipated salvage and subrogation and second injury fund recoveries. The December 31, 2016 loss and loss expense reserves on the Special Purpose Statements of Assets and Liabilities for class (b) claims are presented on an estimated settlement value basis for reported claims. Pursuant to the Commonwealth Court order

issued on June 10, 2016, Reliance has established loss and loss expense reserves at estimated settlement value by discounting the medical and indemnity portion of workers compensation claims reserves to present value. The December 31, 2015 reserves were initially reported on an estimated future value basis and have not been restated to a settlement value basis and therefore are not comparable to the December 31, 2016 reserves. In addition to being reported on the settlement basis, the December 31, 2016 reserves for GA losses are net of an estimate for deductible recoveries. Previously to the December 31, 2016 statement all of the deductible recoveries were included in the all other reserves category. Due to the Court establishing a Bar Date of March 31, 2016 the December 31, 2016 and December 31, 2015 reserves do not contain a provision for unreported claims The ultimate liability to class (b) claimants will be based solely on POCs filed by claimants and the Liquidator’s determination of their value. Due to the inherent complexity of estimating settlement values, the actual class (b) NODs issued may be significantly different than the amounts reflected in the December 31, 2016 Special Purpose Statements of Assets and Liabilities. Note 9 - Claims lower than Class (b) Claims that are lower than class (b) priority are generally not assigned a dollar value during the POC process. These claimants are being advised that a value will be determined only if the Estate believes that sufficient funds will be available for distributions to creditors below class (b). Claims lower than class (b) are not reported as liabilities on the Special Purpose Statement of Assets and Liabilities with the exception of certain reinsurance liabilities which could have offset implications and claims in which a Notice of Determination (“NOD”) has been issued. Note 10 – Early access advances to GAs During 2003, 2004, 2005, 2007, 2010, 2013 and 2015, the Commonwealth Court approved Early Access petitions in accordance with Section §221.36 of the Act which provides a mechanism for early distribution of assets to various state GAs to assist those associations in fulfilling their obligation to pay certain policy claims of the Estate. The related agreements executed by the GAs provide that they agree to return assets under certain circumstances to ensure pro rata distributions amongst members of the same class of creditors of Reliance.

Payments made to various state GAs under Early Access petitions are recorded as assets in the accompanying Special Purpose Statement of Assets and Liabilities as they represent payments made in advance of distributions to other claimants. GA advances will be reclassified and no longer recorded as assets when the Commonwealth Court of Pennsylvania approves the distributions to the GAs.

At December 31, 2016 total early access amounts include early access cash payments to the GAs of $2.15 billion, statutory deposits of $420 million, and payments made by Reliance on behalf of certain GAs shortly after October 3, 2001. Note 11 – Secured Creditors – Funds held Funds held represent liabilities arising from cash received as collateral on large deductible policies and reinsurance contracts. Funds held liabilities relating to collateral are expected to continue to decrease as policyholders and reinsurers honor their obligations under policies and contracts and the related cash collateral is released. Cash collateral related to large deductible policies is included in “Other assets” in the Special Purpose Statements of Assets and Liabilities. Note 12 - Guaranty Association expenses unpaid Guaranty Association expenses unpaid represent total GA submitted expenses to Reliance less the portion disallowed by the Court and the portion reimbursed. Reliance conducts periodic desk reviews of GA administrative expenses to verify the validity of these expenses. The majority of the unpaid amounts will be valid class (a) expenses and will be reimbursed to the GAs. Reliance withholds payment of expenses it believes are not valid administrative expenses. There will likely be certain disagreements between the Liquidator and the GAs that will be addressed and resolved by the Court. Note 13 – Class (a) other liabilities Class (a) other liabilities are principally outstanding checks. Note 14 – Guaranty Association paid losses Guaranty Association paid losses include payments reported by GAs and processed in the Estate’s operating systems less deductible recoveries remitted to the GAs in accordance with the Act , 40 P.S. §221.23a. Note 15 – Reserves for Guaranty Association losses Reserves for Guaranty Association losses include case reserves reported by GAs and processed in the Estate’s operating systems adjusted to settlement value basis and reduced for estimated future deductible recoveries. Note 16 – Notices of Determination issued NODs are issued by the Estate in response to a POC filed against the Estate. The NOD includes the classification and value, if any, of the claim as determined by the Estate. NODs issued by the Estate are subject to an objection period, during which the claimant can disagree with the value and classification assigned, and NODs are subject to Court approval. NODs are included in the Special Purpose Statements of Assets and Liabilities when issued. Note 17 – Asset distributions to class (b) creditors On January 13, 2016, the Court approved the Liquidator’s Petition for a Interim Distribution, allowing a 65% distribution to all class (b) claimants whose NODs has been

approved by the Court. Asset distributions through December 31, 2016 and December 31, 2015 totaled $732.3 and $382.6 million, respectively. Note 18 – Commitments As of December 31, 2016, Reliance leases office space under operating leases expiring in 2017. The minimum future rental payments under noncancelable operating leases as of December 31, 2016 total $0.5 million all for 2017. The cancelable commitments total $0.9 million for 2018 and 2019. Note 19 – Litigation The Estate is a party to litigation both as a plaintiff and as a defendant. The ultimate effect of litigation on the financial condition of the Estate is uncertain and cannot be reasonably estimated, but may be material. Note 20 – Other collateral held The Estate holds significant levels of other collateral from policyholders and reinsurers in the form of letters of credit and surety bonds. This collateral is not included in the Special Purpose Statement of Assets and Liabilities and will be utilized when payment and other obligations under policies and contracts are not honored by the policyholders or reinsurers. Note 21 – Other liabilities The Statement does not fully reflect the effects of the liquidation upon certain assets and liabilities and does not include an estimate of future liquidation expenses that will be incurred by Reliance in administering the Estate, and by the GAs.

Exhibit E


SPECIAL PURPOSE STATEMENT OF INVESTED ASSETS

DECEMBER 31, 2016

(In Millions)

Short and intermediate duration investments

Securities managed by investment managers

Fidelity 651.3$

JP Morgan Asset Management 602.3

Standish Mellon Asset Mgmt 501.3

Swarthmore Group 41.3

1,796.3

Securities managed by RIL 0.0

Subtotal 1,796.3

Investments held for Uncovered Claimants (16.8)

Reclassification of restricted cash (14.7)

Short and intermediate duration investments 1,764.8

Investments held for secured creditors 2.5

Investments held for uncovered claimants 16.8

Invested assets excluding affiliates 1,784.1

Investments in affiliates 31.4

Total invested assets 1,815.5$

Amount


SECURITIES MANAGED BY INVESTMENT MANAGERS

BY MAJOR CATEGORY - UNAUDITED

(in millions)

Category 12/31/2016 % total 12/31/2015 % total

Cash and money market funds 48.3$ 2.7 210.0$ 9.9

U.S. government, agencies and

government sponsored entities 348.7 19.4 527.0 24.8

MBS - Agency 0.7 0.0 14.1 0.7

Corporate bonds - investment grade 1,272.8 70.9 1,255.8 59.0

Asset-backed securities 125.8 7.0 121.7 5.7

Total Fixed Income 1,796.3 100.0 2,128.6 100.0

Total securities managed by

investment managers 1,796.3$ 100.0 2,128.6$ 100.0


SHORT AND INTERMEDIATE DURATION INVESTMENTS

DECEMBER 31, 2016

SECURITY NAME SECURITY DESCRIPTION PAR/SHARES MARKET VALUE

MANAGED BY FIDELITY

AT&T INC 2.400% 03/15/2017 DD 03/15/16 10,000,000 10,025,777$

DREYFUS TREAS & AGY CSH CSH MG VAR RT 12/31/2049 DD 04/09/97 35,228,530 35,228,530

AT&T INC 1.600% 02/15/2017 DD 02/13/12 10,000,000 10,002,700

ABBVIE INC 2.000% 11/06/2018 DD 05/06/13 8,430,000 8,435,142

ABBVIE INC 1.800% 05/14/2018 DD 05/14/15 1,676,000 1,677,257

AMERICAN EXPRESS CREDIT CORP 2.375% 03/24/2017 DD 03/26/12 10,000,000 10,025,100


AMERICAN HONDA FINANCE CO 144A 2.125% 02/28/2017 DD 02/28/12 10,000,000 10,015,900

AMERICAN INTERNATIONAL GROUP I 5.450% 05/18/2017 DD 05/18/07 5,000,000 5,075,550

AMGEN INC 5.850% 06/01/2017 DD 12/01/07 5,000,000 5,091,700

AMGEN INC 2.125% 05/15/2017 DD 05/15/12 5,000,000 5,016,300

ANGLO AMERICAN CAPITAL PL 144A 2.625% 04/03/2017 DD 04/02/12 5,000,000 5,000,000

BB&T CORP 2.150% 03/22/2017 DD 03/22/12 10,000,000 10,013,900

BHP BILLITON FINANCE USA LTD 5.400% 03/29/2017 DD 03/29/07 1,500,000 1,513,410


BP CAPITAL MARKETS PLC 1.846% 05/05/2017 DD 05/07/12 10,000,000 10,021,800

BANK OF AMERICA NA 5.300% 03/15/2017 DD 03/13/07 2,626,000 2,646,352

BANK OF AMERICA CORP 3.875% 03/22/2017 DD 03/22/12 2,374,000 2,387,437


BANK OF MONTREAL 2.500% 01/11/2017 DD 01/11/12 558,000 558,134

BANK OF NEW YORK MELLON CORP/T STEP 06/20/2017 DD 12/20/2011 10,000,000 10,034,700

BANK OF NOVA SCOTIA/THE 2.550% 01/12/2017 DD 01/12/12 11,190,000 11,193,021

BERKSHIRE HATHAWAY FINANCE COR 1.600% 05/15/2017 DD 05/15/12 5,696,000 5,706,652

BURLINGTON NORTHERN SANTA FE L 5.650% 05/01/2017 DD 04/13/07 5,329,000 5,400,835

CARDINAL HEALTH INC 1.950% 06/15/2018 DD 06/23/15 187,000 187,406

CATERPILLAR FINANCIAL SERVICES 1.625% 06/01/2017 DD 05/30/12 10,000,000 10,017,500

CISCO SYSTEMS INC 3.150% 03/14/2017 DD 03/16/11 5,692,000 5,717,159

CITIGROUP INC 5.500% 02/15/2017 DD 02/12/07 5,775,000 5,801,969

DAIMLER FINANCE NORTH AME 144A 2.400% 04/10/2017 DD 04/10/12 5,000,000 5,015,650

JOHN DEERE CAPITAL CORP 2.000% 01/13/2017 DD 12/02/11 9,895,000 9,897,276

DDR CORP 7.500% 04/01/2017 DD 03/19/10 193,000 195,660

DIAGEO CAPITAL PLC 1.500% 05/11/2017 DD 05/11/12 5,000,000 5,007,350

WALT DISNEY CO/THE 1.125% 02/15/2017 DD 02/14/12 10,000,000 10,001,100

DOMINION RESOURCES INC/VA 1.900% 06/15/2018 DD 06/15/15 1,032,000 1,032,537


ERP OPERATING LP 5.750% 06/15/2017 DD 06/04/07 10,512,000 10,717,930

FIFTH THIRD BANCORP 5.450% 01/15/2017 DD 12/20/06 7,907,000 7,917,833 Page 3 of 25



DECEMBER 31, 2016


FORD MOTOR CREDIT CO LLC 3.000% 06/12/2017 DD 06/12/12 10,735,000 10,797,478

GENERAL ELECTRIC CO 5.400% 02/15/2017 DD 02/13/07 10,000,000 10,048,700

GEORGIA POWER CO 5.700% 06/01/2017 DD 06/12/07 8,675,000 8,832,365

GOLDMAN SACHS GROUP INC/THE 5.625% 01/15/2017 DD 01/10/07 4,000,000 4,004,880

HEWLETT PACKARD ENTERPRISE CO VAR RT 10/05/2018 DD 10/05/16 10,000,000 10,096,700

VOYA FINANCIAL INC VAR RT 02/15/2018 DD 02/11/13 5,418,000 5,485,129

JPMORGAN CHASE & CO 6.125% 06/27/2017 DD 06/27/07 13,520,000 13,816,088

KEYBANK NA/CLEVELAND OH 1.700% 06/01/2018 DD 06/01/15 7,851,000 7,846,603

KRAFT HEINZ FOODS CO 2.250% 06/05/2017 DD 12/05/12 5,000,000 5,015,950

LOWE'S COS INC 1.625% 04/15/2017 DD 04/23/12 10,000,000 10,010,300

M&I MARSHALL & ILSLEY BANK 5.000% 01/17/2017 DD 11/24/04 541,000 541,573

MARSH & MCLENNAN COS INC 2.300% 04/01/2017 DD 03/12/12 5,000,000 4,998,400

MASSMUTUAL GLOBAL FUNDING 144A 2.000% 04/05/2017 DD 04/05/12 15,000,000 15,037,050


MONSANTO CO 2.125% 07/15/2019 DD 07/01/14 6,000,000 5,990,460

MORGAN STANLEY 5.550% 04/27/2017 DD 04/27/07 5,000,000 5,066,200


MYLAN NV 144A 3.000% 12/15/2018 DD 12/09/15 10,000,000 10,072,300

NATIONAL CITY BANK/CLEVELAND O 5.800% 06/07/2017 DD 06/07/07 9,400,000 9,569,200

NEW YORK LIFE GLOBAL FUND 144A 1.125% 03/01/2017 DD 01/24/14 10,000,000 9,999,300

NOBLE HOLDING INTERNATIONAL LT 2.500% 03/15/2017 DD 02/10/12 2,694,000 2,683,898

PEPSIAMERICAS INC 5.000% 05/15/2017 DD 05/18/05 5,000,000 5,071,100

PERRIGO CO PLC 2.300% 11/08/2018 DD 05/08/14 1,142,000 1,140,481

PETROBRAS GLOBAL FINANCE BV 3.500% 02/06/2017 DD 02/06/12 5,000,000 4,989,150

PHILIP MORRIS INTERNATIONAL IN 1.625% 03/20/2017 DD 03/20/12 10,000,000 10,000,300

PHILLIPS 66 2.950% 05/01/2017 DD 11/01/12 9,184,000 9,235,247

PRUDENTIAL FINANCIAL INC 6.100% 06/15/2017 DD 06/19/07 5,714,000 5,836,222

REYNOLDS AMERICAN INC 2.300% 06/12/2018 DD 06/12/15 286,000 287,813

SEMPRA ENERGY 2.300% 04/01/2017 DD 03/23/12 8,560,000 8,576,778

SOUTHERN CO/THE 1.550% 07/01/2018 DD 05/24/16 7,172,000 7,145,320

SUNTRUST BANK/ATLANTA GA 1.350% 02/15/2017 DD 01/24/14 5,000,000 5,000,600

TARGET CORP 5.375% 05/01/2017 DD 05/01/07 5,000,000 5,068,500

TEVA PHARMACEUTICAL FINANCE NE 1.400% 07/20/2018 DD 07/21/16 12,000,000 11,902,200

HISTORIC TW INC 6.875% 06/15/2018 DD 06/08/98 5,000,000 5,347,600

TIME WARNER CABLE LLC 5.850% 05/01/2017 DD 04/09/07 5,000,000 5,070,950

TOTAL CAPITAL INTERNATIONAL SA 1.550% 06/28/2017 DD 06/28/12 10,000,000 10,016,500

TOYOTA MOTOR CREDIT CORP 1.750% 05/22/2017 DD 05/22/12 10,000,000 10,022,500

UBS AG/STAMFORD CT 2.375% 08/14/2019 DD 08/14/14 12,500,000 12,560,625

UNION ELECTRIC CO 6.400% 06/15/2017 DD 06/15/07 9,155,000 9,361,262 Page 4 of 25



DECEMBER 31, 2016


US BANCORP 1.650% 05/15/2017 DD 05/08/12 10,000,000 10,014,300

U S TREASURY NOTE 0.875% 02/28/2017 DD 02/29/12 2,040,000 2,041,367

UNITED TECHNOLOGIES CORP 1.800% 06/01/2017 DD 06/01/12 10,032,000 10,058,184

UNITEDHEALTH GROUP INC 6.000% 06/15/2017 DD 12/15/07 5,000,000 5,102,950

VERIZON COMMUNICATIONS INC 1.375% 08/15/2019 DD 08/01/16 12,000,000 11,813,280

VODAFONE GROUP PLC 5.625% 02/27/2017 DD 02/27/07 10,240,000 10,298,880

VOLKSWAGEN INTERNATIONAL 144A 2.375% 03/22/2017 DD 03/22/12 10,000,000 10,022,500

WACHOVIA CORP 5.750% 06/15/2017 DD 06/08/07 10,000,000 10,190,500

WAL-MART STORES INC 5.375% 04/05/2017 DD 04/05/07 10,000,000 10,109,600

WALGREENS BOOTS ALLIANCE INC 1.750% 05/30/2018 DD 06/01/16 918,000 918,918

ANTHEM INC 5.875% 06/15/2017 DD 06/08/07 9,000,000 9,182,160

WYETH LLC 5.450% 04/01/2017 DD 03/27/07 5,000,000 5,051,550

XEROX CORP 6.750% 02/01/2017 DD 08/18/06 2,000,000 2,007,220

TOTAL FIDELITY 651,330,068$

MANAGED BY JP MORGAN ASSET MANAGEMENT

AT&T INC 2.400% 03/15/2017 DD 03/15/16 1,631,000 1,635,204$

DREYFUS TREAS & AGY CSH CSH MG VAR RT 12/31/2049 DD 04/09/97 1,388,458 1,388,458

ABB FINANCE USA INC 1.625% 05/08/2017 DD 05/08/12 100,000 100,135

ABN AMRO BANK NV 144A 1.800% 09/20/2019 DD 09/20/16 280,000 275,937

ANZ NEW ZEALAND INT'L LTD 144A 1.750% 03/29/2018 DD 03/31/15 500,000 499,175

AT&T INC 5.500% 02/01/2018 DD 02/01/08 4,200,000 4,363,758

AT&T INC 5.800% 02/15/2019 DD 02/03/09 1,570,000 1,688,111

AT&T INC 1.600% 02/15/2017 DD 02/13/12 667,000 667,180

AT&T INC 2.375% 11/27/2018 DD 11/27/13 600,000 605,244

AT&T INC 1.750% 01/15/2018 DD 01/15/16 600,000 600,366

ABBVIE INC 2.000% 11/06/2018 DD 05/06/13 3,970,000 3,972,422

ABBVIE INC 1.800% 05/14/2018 DD 05/14/15 1,672,000 1,673,254

CHUBB INA HOLDINGS INC 5.700% 02/15/2017 DD 02/08/07 400,000 401,984

ACTAVIS FUNDING SCS 1.300% 06/15/2017 DD 06/19/14 590,000 589,681

ACTAVIS FUNDING SCS 2.350% 03/12/2018 DD 03/12/15 665,000 668,844

AETNA INC 1.750% 05/15/2017 DD 05/04/12 250,000 250,228

AETNA INC 1.500% 11/15/2017 DD 11/07/12 400,000 399,680

AIR LEASE CORP 3.375% 01/15/2019 DD 11/19/13 415,000 422,038

AIR LEASE CORP 2.125% 01/15/2018 DD 09/16/14 180,000 180,320

ALLSTATE CORP/THE 6.750% 05/15/2018 DD 05/26/98 250,000 266,138

ALTERA CORP 2.500% 11/15/2018 DD 11/01/13 1,904,000 1,936,882

AMERICAN EXPRESS CO 6.150% 08/28/2017 DD 08/28/07 700,000 720,888 Page 5 of 25



DECEMBER 31, 2016


AMERICAN EXPRESS CO 7.000% 03/19/2018 DD 03/19/08 1,478,000 1,570,656

AMERICAN EXPRESS CENTURION BAN 6.000% 09/13/2017 DD 09/13/07 1,250,000 1,288,638

AMERICAN EXPRESS CREDIT AC 3 A 1.490% 04/15/2020 DD 09/22/14 2,500,000 2,505,675

AMERICAN EXPRESS CREDIT CORP 1.125% 06/05/2017 DD 06/05/14 300,000 299,952


AMERICAN HONDA FINANCE CORP 2.125% 10/10/2018 DD 10/10/13 300,000 302,346

AMERICAN HONDA FINANCE CO 144A 7.625% 10/01/2018 DD 10/01/08 1,700,000 1,869,337

AMERICAN HONDA FINANCE CO 144A 2.125% 02/28/2017 DD 02/28/12 300,000 300,477

AMERICAN HONDA FINANCE CO 144A 1.600% 02/16/2018 DD 02/19/13 500,000 500,450

AMERICAN INTERNATIONAL GROUP I 2.300% 07/16/2019 DD 07/16/14 1,200,000 1,205,664

AMERICAN TOWER CORP 3.400% 02/15/2019 DD 08/19/13 1,200,000 1,226,340

AMERICREDIT AUTOMOBILE RE 4 A3 1.700% 07/08/2020 DD 11/12/15 2,200,000 2,206,644

AMERITECH CAPITAL FUNDING CORP 6.450% 01/15/2018 DD 01/21/98 100,000 104,535

AMGEN INC 5.850% 06/01/2017 DD 12/01/07 2,088,000 2,126,294

AMGEN INC 2.125% 05/15/2017 DD 05/15/12 2,775,000 2,784,047

ANHEUSER-BUSCH INBEV WORLDWIDE 7.750% 01/15/2019 DD 01/15/11 1,000,000 1,113,870


ANHEUSER-BUSCH INBEV WORLDWIDE 6.500% 07/15/2018 DD 07/15/16 300,000 321,312


ANHEUSER-BUSCH INBEV FINANCE I 1.250% 01/17/2018 DD 01/17/13 2,243,000 2,240,981

APACHE CORP 6.900% 09/15/2018 DD 10/01/08 370,000 400,595

APPALACHIAN POWER CO 5.000% 06/01/2017 DD 06/07/05 115,000 116,546

ARROW ELECTRONICS INC 6.875% 06/01/2018 DD 06/03/98 300,000 318,828

ATMOS ENERGY CORP 6.350% 06/15/2017 DD 06/14/07 816,000 834,605

AUSTRALIA & NEW ZEALAND BANKIN 1.250% 01/10/2017 DD 01/10/14 250,000 250,005

AUSTRALIA & NEW ZEALAND BANKIN 1.250% 06/13/2017 DD 06/13/14 1,750,000 1,750,910

AUSTRALIA & NEW ZEALAND BANKIN 1.500% 01/16/2018 DD 01/16/15 650,000 649,552

AUTOZONE INC 7.125% 08/01/2018 DD 08/04/08 300,000 324,459

AUTOZONE INC 1.300% 01/13/2017 DD 01/14/14 615,000 615,018

BB&T CORP 4.900% 06/30/2017 DD 06/30/05 700,000 710,962

BB&T CORP 2.150% 03/22/2017 DD 03/22/12 1,800,000 1,802,502

BB&T CORP 1.450% 01/12/2018 DD 11/21/12 863,000 861,576

BB&T CORP 2.050% 06/19/2018 DD 06/19/13 850,000 854,395


BP CAPITAL MARKETS PLC 1.846% 05/05/2017 DD 05/07/12 350,000 350,763



BMW VEHICLE LEASE TRUST 2 2 A2 1.230% 01/22/2019 DD 10/13/16 1,750,000 1,750,403

BANK OF AMERICA CORP 6.000% 09/01/2017 DD 08/23/07 5,665,000 5,829,172 Page 6 of 25



DECEMBER 31, 2016


BANK OF AMERICA CORP 5.750% 12/01/2017 DD 12/04/07 220,000 227,887

BANK OF AMERICA NA 1.650% 03/26/2018 DD 03/26/15 250,000 250,233







BANK OF MONTREAL 1.450% 04/09/2018 DD 04/09/13 1,510,000 1,506,436

BANK OF MONTREAL VAR RT 07/31/2018 DD 07/31/15 1,000,000 1,003,970

BANK OF NEW YORK MELLON CORP/T 5.450% 05/15/2019 DD 05/12/09 615,000 663,560

BANK OF NEW YORK MELLON CORP/T 1.350% 03/06/2018 DD 03/06/13 400,000 399,036



BANK OF NOVA SCOTIA/THE 1.700% 06/11/2018 DD 06/11/15 500,000 500,170


BANK OF TOKYO-MITSUBISHI 144A 1.650% 02/26/2018 DD 02/26/13 800,000 798,240

BANK OF TOKYO-MITSUBISHI 144A 1.700% 03/05/2018 DD 03/05/15 3,020,000 3,010,306

BARCLAYS PLC 2.000% 03/16/2018 DD 03/16/15 1,000,000 997,920

BAXALTA INC 2.000% 06/22/2018 DD 12/22/15 300,000 300,015

BRANCH BANKING & TRUST CO 1.450% 05/10/2019 DD 05/10/16 300,000 296,661

BEAM SUNTORY INC 1.875% 05/15/2017 DD 05/21/12 200,000 200,286

BEAM SUNTORY INC 1.750% 06/15/2018 DD 06/10/13 350,000 349,111

BECTON DICKINSON AND CO 4.900% 04/15/2018 DD 04/09/03 840,000 873,499


BERKSHIRE HATHAWAY FINANCE COR 5.400% 05/15/2018 DD 11/15/08 500,000 526,220

BERKSHIRE HATHAWAY INC 1.550% 02/09/2018 DD 02/11/13 1,595,000 1,598,222

BIOGEN INC 6.875% 03/01/2018 DD 03/04/08 361,000 381,768

BOEING CO/THE 0.950% 05/15/2018 DD 05/03/13 55,000 54,753

BOSTON PROPERTIES LP 3.700% 11/15/2018 DD 11/10/11 436,000 449,097

BP CAPITAL MARKETS AMERICA INC 4.200% 06/15/2018 DD 06/04/03 300,000 310,206

BUCKEYE PARTNERS LP 6.050% 01/15/2018 DD 01/11/08 920,000 956,082

BUNGE LTD FINANCE CORP 8.500% 06/15/2019 DD 06/09/09 140,000 160,391

BUNGE LTD FINANCE CORP 3.200% 06/15/2017 DD 06/15/12 1,200,000 1,209,036

BUNGE NA FINANCE LP 5.900% 04/01/2017 DD 03/22/07 180,000 181,548

BURLINGTON NORTHERN SANTA FE L 5.650% 05/01/2017 DD 04/13/07 175,000 177,359

CF INDUSTRIES INC 6.875% 05/01/2018 DD 04/23/10 870,000 915,797

CNA FINANCIAL CORP 6.950% 01/15/2018 DD 01/13/98 150,000 157,577

CSX CORP 7.900% 05/01/2017 DD 05/06/97 151,000 154,200 Page 7 of 25



DECEMBER 31, 2016


CVS HEALTH CORP 2.250% 12/05/2018 DD 12/05/13 500,000 504,385

CVS HEALTH CORP 2.250% 08/12/2019 DD 08/12/14 1,000,000 1,005,490


CANADIAN IMPERIAL BANK OF COMM 1.550% 01/23/2018 DD 01/23/13 2,110,000 2,110,380

CANADIAN NATURAL RESOURCES LTD 5.700% 05/15/2017 DD 03/19/07 2,190,000 2,222,609

CANADIAN PACIFIC RAILWAY CO 7.250% 05/15/2019 DD 05/15/09 430,000 481,209

CAPITAL ONE FINANCIAL CORP 2.450% 04/24/2019 DD 04/24/14 250,000 251,583

CAPITAL ONE BANK USA NA 2.150% 11/21/2018 DD 11/21/13 1,379,000 1,381,496

CAPITAL ONE BANK USA NA 2.250% 02/13/2019 DD 02/13/14 500,000 502,235

CAPITAL ONE NA/MCLEAN VA 1.500% 03/22/2018 DD 03/22/13 250,000 248,893

CAPITAL ONE NA/MCLEAN VA 1.500% 09/05/2017 DD 09/05/14 1,000,000 998,760

CAPITAL ONE NA/MCLEAN VA 1.650% 02/05/2018 DD 02/05/15 2,180,000 2,175,771



CARGILL INC 144A 1.900% 03/01/2017 DD 03/01/12 380,000 380,524

CARGILL INC 144A 7.350% 03/06/2019 DD 03/06/09 250,000 278,080

CARMAX AUTO OWNER TRUST 2 4 A2 1.210% 11/15/2019 DD 10/26/16 3,000,000 2,994,060

CATERPILLAR FINANCIAL SERVICES 7.050% 10/01/2018 DD 09/26/08 571,000 622,350



CELGENE CORP 2.250% 05/15/2019 DD 05/15/14 350,000 350,200

CELGENE CORP 2.125% 08/15/2018 DD 08/12/15 1,488,000 1,493,982

CENTERPOINT ENERGY RESOURCES C 6.000% 05/15/2018 DD 05/15/08 268,000 281,036

CHEVRON CORP 1.718% 06/24/2018 DD 06/24/13 260,000 260,796

CHEVRON CORP 1.365% 03/02/2018 DD 03/03/15 1,454,000 1,452,575

CHRYSLER CAPITAL AU BA A2 144A 1.360% 01/15/2020 DD 11/04/16 3,000,000 2,995,980

CHUBB CORP/THE 5.750% 05/15/2018 DD 05/06/08 1,140,000 1,203,008


CITIGROUP INC 1.750% 05/01/2018 DD 05/01/13 2,700,000 2,694,249

CITIGROUP INC 2.500% 09/26/2018 DD 09/26/13 5,429,000 5,480,956

CITIGROUP INC 2.500% 07/29/2019 DD 07/29/14 200,000 201,372

CITIGROUP INC 1.700% 04/27/2018 DD 04/27/15 1,000,000 997,800

CITIGROUP INC 2.150% 07/30/2018 DD 07/30/15 470,000 471,556

CITIGROUP INC 2.050% 12/07/2018 DD 12/07/15 2,880,000 2,879,683

CITIGROUP INC 2.050% 06/07/2019 DD 06/09/16 1,335,000 1,329,967

CLEVELAND ELECTRIC ILLUMINATIN 5.700% 04/01/2017 DD 03/27/07 438,000 441,973

CLEVELAND ELECTRIC ILLUMINATIN 8.875% 11/15/2018 DD 11/18/08 750,000 842,835

COMCAST CORP 6.500% 01/15/2017 DD 07/14/06 1,180,000 1,181,664

COMCAST CORP 5.700% 05/15/2018 DD 05/07/08 130,000 137,231 Page 8 of 25



DECEMBER 31, 2016


COMMONWEALTH BANK OF AUSTRALIA 2.500% 09/20/2018 DD 09/20/13 250,000 252,885

COMMONWEALTH EDISON CO 6.150% 09/15/2017 DD 09/10/07 760,000 784,974

COMMONWEALTH EDISON CO 5.800% 03/15/2018 DD 03/27/08 350,000 367,539

CONOCOPHILLIPS CO 1.050% 12/15/2017 DD 12/07/12 650,000 646,679

CONOCOPHILLIPS CO 1.500% 05/15/2018 DD 05/18/15 365,000 363,770

CONSUMERS ENERGY CO 5.650% 09/15/2018 DD 03/14/08 210,000 223,684

COOPERATIEVE RABOBANK UA 3.375% 01/19/2017 DD 01/19/12 320,000 320,291

COVIDIEN INTERNATIONAL FINANCE 6.000% 10/15/2017 DD 04/15/08 835,000 864,743

CREDIT SUISSE AG/NEW YORK NY 6.000% 02/15/2018 DD 02/19/08 370,000 384,837

CREDIT SUISSE AG/NEW YORK NY 1.700% 04/27/2018 DD 04/29/15 3,250,000 3,242,850


DAIMLER FINANCE NORTH AME 144A 1.375% 08/01/2017 DD 08/01/14 330,000 330,007

JOHN DEERE CAPITAL CORP 5.500% 04/13/2017 DD 04/13/07 130,000 131,546



DTE ELECTRIC CO 5.600% 06/15/2018 DD 06/11/08 390,000 412,000

DEUTSCHE BANK AG/LONDON 6.000% 09/01/2017 DD 08/29/07 300,000 307,098

DEUTSCHE BANK AG/LONDON 1.400% 02/13/2017 DD 02/13/14 1,650,000 1,649,472

DEUTSCHE BANK AG/LONDON 1.875% 02/13/2018 DD 02/13/15 3,625,000 3,604,193

DEUTSCHE TELEKOM INTERNATIONAL 6.750% 08/20/2018 DD 08/18/08 300,000 323,502

DEUTSCHE TELEKOM INTERNATIONAL 6.000% 07/08/2019 DD 06/22/09 1,040,000 1,137,542

DEUTSCHE TELEKOM INTERNAT 144A 2.250% 03/06/2017 DD 03/06/12 923,000 924,311

DIAGEO CAPITAL PLC 5.750% 10/23/2017 DD 10/26/07 215,000 222,289

DIAGEO CAPITAL PLC 1.500% 05/11/2017 DD 05/11/12 189,000 189,278

DISCOVER BANK/GREENWOOD DE 2.000% 02/21/2018 DD 02/21/13 350,000 349,937

DISCOVER BANK/GREENWOOD DE 2.600% 11/13/2018 DD 08/13/15 500,000 504,335


WALT DISNEY CO/THE 1.100% 12/01/2017 DD 11/30/12 400,000 399,656

DOMINION RESOURCES INC/VA 6.400% 06/15/2018 DD 06/17/08 700,000 742,406

DOMINION RESOURCES INC/VA 1.250% 03/15/2017 DD 03/24/14 320,000 320,022

DOW CHEMICAL CO/THE 8.550% 05/15/2019 DD 05/13/09 400,000 458,432

DR PEPPER SNAPPLE GROUP INC 2.600% 01/15/2019 DD 11/15/11 120,000 121,757

ELECTRICITE DE FRANCE SA 144A 1.150% 01/20/2017 DD 01/22/14 325,000 324,990

EOG RESOURCES INC 5.875% 09/15/2017 DD 09/10/07 260,000 267,683

ERAC USA FINANCE LLC 144A 6.375% 10/15/2017 DD 10/17/07 175,000 181,326

ERP OPERATING LP 5.750% 06/15/2017 DD 06/04/07 549,000 559,755

EATON CORP 1.500% 11/02/2017 DD 11/02/13 1,755,000 1,756,457

ECOLAB INC 1.450% 12/08/2017 DD 12/13/12 750,000 749,258

EDISON INTERNATIONAL 3.750% 09/15/2017 DD 09/17/10 400,000 406,232 Page 9 of 25



DECEMBER 31, 2016


EDWARDS LIFESCIENCES CORP 2.875% 10/15/2018 DD 10/03/13 300,000 304,506

EMERA US FINANCE LP 144A 2.150% 06/15/2019 DD 06/16/16 830,000 828,631

ENTERGY LOUISIANA LLC 6.500% 09/01/2018 DD 08/18/08 300,000 322,494

ENTERGY GULF STATES LOUISIANA 6.000% 05/01/2018 DD 11/01/08 420,000 443,276

ENTERGY TEXAS INC 7.125% 02/01/2019 DD 01/30/09 215,000 236,605

ENTERPRISE PRODUCTS OPERATING 6.300% 09/15/2017 DD 09/04/07 600,000 618,816

ENTERPRISE PRODUCTS OPERATING 6.650% 04/15/2018 DD 10/15/09 1,690,000 1,792,042

ENTERPRISE PRODUCTS OPERATING 1.650% 05/07/2018 DD 05/07/15 800,000 797,752

EXPRESS SCRIPTS HOLDING CO 2.250% 06/15/2019 DD 06/05/14 1,260,000 1,259,861


FHLMC POOL #G1-1652 6.000% 01/01/2020 DD 01/01/05 20,896 21,522

FHLMC POOL #G0-5467 6.000% 06/01/2034 DD 05/01/09 89,055 100,608

FEDERAL HOME LN BK CONS BD 1.250% 01/16/2019 DD 12/08/16 2,665,000 2,664,067

FEDERAL HOME LN BK CONS BD 1.375% 09/13/2019 DD 08/09/12 5,000,000 4,983,150

FEDERAL NATL MTG ASSN 5.000% 02/13/2017 DD 01/12/07 550,000 552,668

FEDERAL NATL MTG ASSN 1.125% 04/27/2017 DD 03/01/12 2,065,000 2,068,118

FEDERAL HOME LN MTG CORP 0.750% 07/14/2017 DD 05/29/15 6,935,000 6,936,179

FHLMC MULTICLASS MTG 2558 BD 5.000% 01/15/2018 DD 01/01/03 15,440 15,661

FHLMC MULTICLASS MTG 2564 HJ 5.000% 02/15/2018 DD 02/01/03 18,911 19,173

FNMA GTD REMIC P/T 03-129 ME 5.000% 08/25/2023 DD 12/01/03 98,534 99,914

FNMA GTD REMIC P/T 04-52 NE 4.500% 07/25/2033 DD 06/01/04 103,328 105,718

FNMA GTD REMIC P/T 05-16 PE 5.000% 03/25/2034 DD 02/01/05 11,852 11,879

FHLMC MULTICLASS MTG 2750 HE 5.000% 02/15/2019 DD 02/01/04 7,148 7,223

FHLMC MULTICLASS MTG 2833 NB 4.500% 08/15/2019 DD 08/01/04 96,194 98,663

FHLMC MULTICLASS MTG 3017 MK 5.000% 12/15/2034 DD 08/01/05 88,107 91,191

FNMA POOL #0725193 6.000% 11/01/2018 DD 01/01/04 1,158 1,169

FNMA POOL #0725680 6.500% 07/01/2017 DD 07/01/04 2,265 2,278

FNMA POOL #0735439 6.000% 09/01/2019 DD 03/01/05 9,289 9,541

FNMA POOL #0735716 6.500% 02/01/2019 DD 07/01/05 8,473 8,533

FNMA POOL #0888601 5.500% 06/01/2020 DD 07/01/07 24,546 25,308

FNMA POOL #0AD0471 5.500% 01/01/2024 DD 11/01/09 84,791 90,235

FEDEX CORP 8.000% 01/15/2019 DD 01/16/09 200,000 223,860

FIFTH THIRD BANK/CINCINNATI OH 2.150% 08/20/2018 DD 08/20/15 1,105,000 1,111,984

FIFTH THIRD BANK/CINCINNATI OH 2.300% 03/15/2019 DD 03/15/16 1,475,000 1,484,956

FIFTH THIRD BANK/CINCINNATI OH 1.625% 09/27/2019 DD 09/27/16 700,000 691,628

FIFTH THIRD AUTO TRUST 20 1 A3 1.420% 03/16/2020 DD 11/05/15 2,000,000 2,001,200

FLORIDA POWER & LIGHT CO 5.550% 11/01/2017 DD 10/10/07 440,000 455,444

DUKE ENERGY FLORIDA LLC 5.650% 06/15/2018 DD 06/18/08 625,000 660,744

FORD CREDIT AUTO OWNER TR C A3 1.060% 05/15/2019 DD 11/25/14 5,088,407 5,085,405 Page 10 of 25



DECEMBER 31, 2016





FORD MOTOR CREDIT CO LLC 1.724% 12/06/2017 DD 06/06/14 602,000 601,542




ORANGE SA 5.375% 07/08/2019 DD 07/07/09 1,400,000 1,508,682

GM FINANCIAL AUTOMOBILE 2 A2A 1.280% 10/22/2018 DD 05/18/16 1,915,262 1,914,764





GENERAL ELECTRIC CO 2.300% 04/27/2017 DD 04/27/12 200,000 200,764

GENERAL ELECTRIC CO 1.250% 05/15/2017 DD 05/15/14 1,000,000 999,700

GENERAL MOTORS CO 3.500% 10/02/2018 DD 04/02/14 955,000 974,005

GENERAL MOTORS FINANCIAL CO IN 6.750% 06/01/2018 DD 12/01/11 380,000 403,389




GILEAD SCIENCES INC 1.850% 09/04/2018 DD 09/14/15 850,000 853,213

GLAXOSMITHKLINE CAPITAL PLC 1.500% 05/08/2017 DD 05/09/12 260,000 260,385





GOLDMAN SACHS GROUP INC/THE 1.748% 09/15/2017 DD 03/03/14 664,000 664,385


HSBC USA INC 1.700% 03/05/2018 DD 03/05/15 3,950,000 3,947,788

HSBC USA INC 2.250% 06/23/2019 DD 06/23/14 650,000 650,351

HALLIBURTON CO 6.150% 09/15/2019 DD 03/13/09 300,000 330,657

HALLIBURTON CO 2.000% 08/01/2018 DD 08/05/13 600,000 601,656

HARRIS CORP 1.999% 04/27/2018 DD 04/27/15 355,000 355,217

HCP INC 5.625% 05/01/2017 DD 04/27/05 200,000 202,658

WELLTOWER INC 4.700% 09/15/2017 DD 09/10/10 150,000 153,222

WELLTOWER INC 2.250% 03/15/2018 DD 12/06/12 565,000 567,413

HEINEKEN NV 144A 1.400% 10/01/2017 DD 10/10/12 500,000 500,200

HONDA AUTO RECEIVABLES 20 3 A2 1.010% 10/18/2018 DD 08/23/16 2,660,000 2,657,526

HUNTINGTON NATIONAL BANK/THE 2.000% 06/30/2018 DD 06/30/15 1,750,000 1,750,753 Page 11 of 25



DECEMBER 31, 2016


HUNTINGTON NATIONAL BANK/THE 2.200% 11/06/2018 DD 11/06/15 1,955,000 1,960,533

HYUNDAI CAPITAL AMERICA 144A 2.400% 10/30/2018 DD 10/30/15 550,000 552,294

HYUNDAI AUTO LEASE S B A4 144A 1.680% 04/15/2020 DD 05/25/16 3,000,000 2,997,840

ING BANK NV 144A 1.800% 03/16/2018 DD 03/16/15 300,000 299,616

ING BANK NV 144A 2.000% 11/26/2018 DD 11/24/15 1,575,000 1,574,370

INTEL CORP 1.350% 12/15/2017 DD 12/11/12 1,230,000 1,231,845

INTERNATIONAL BUSINESS MACHINE 5.700% 09/14/2017 DD 09/14/07 350,000 360,490

INTERNATIONAL BUSINESS MACHINE 1.250% 02/08/2018 DD 02/08/13 2,305,000 2,302,280

INTERNATIONAL BUSINESS MACHINE 1.125% 02/06/2018 DD 02/06/15 755,000 753,286

INTERNATIONAL LEASE FINANCE CO 6.250% 05/15/2019 DD 05/24/11 1,100,000 1,182,500

INTUIT INC 5.750% 03/15/2017 DD 03/12/07 1,435,000 1,447,728

JACKSON NATIONAL LIFE GLO 144A 4.700% 06/01/2018 DD 05/30/03 500,000 519,600

JACKSON NATIONAL LIFE GLO 144A 1.875% 10/15/2018 DD 10/15/15 1,366,000 1,368,828

JEFFERIES GROUP LLC 5.125% 04/13/2018 DD 04/13/11 665,000 687,377

KANSAS CITY POWER & LIGHT CO 5.850% 06/15/2017 DD 06/04/07 215,000 218,950

KELLOGG CO 1.750% 05/17/2017 DD 05/17/12 220,000 220,517

KEYCORP 2.300% 12/13/2018 DD 11/13/13 1,610,000 1,619,596

KEYBANK NA/CLEVELAND OH 1.650% 02/01/2018 DD 02/01/13 400,000 400,232

KEYBANK NA/CLEVELAND OH 1.700% 06/01/2018 DD 06/01/15 300,000 299,832


KROGER CO/THE 7.000% 05/01/2018 DD 05/11/98 301,000 321,281

KROGER CO/THE 6.400% 08/15/2017 DD 08/15/07 310,000 319,213

LABORATORY CORP OF AMERICA HOL 2.200% 08/23/2017 DD 08/23/12 400,000 401,864

LLOYDS BANK PLC 2.300% 11/27/2018 DD 11/27/13 300,000 301,878

LLOYDS BANK PLC 1.750% 05/14/2018 DD 05/14/15 200,000 199,734

LOCKHEED MARTIN CORP 1.850% 11/23/2018 DD 11/23/15 1,015,000 1,019,040

LOWE'S COS INC 6.100% 09/15/2017 DD 09/11/07 160,000 165,389

LOWE'S COS INC 1.625% 04/15/2017 DD 04/23/12 160,000 160,165

MANUFACTURERS & TRADERS TRUST 1.400% 07/25/2017 DD 07/25/14 810,000 810,429


MACQUARIE GROUP LTD 144A 3.000% 12/03/2018 DD 12/03/13 1,220,000 1,238,166

MACQUARIE BANK LTD 144A 1.600% 10/27/2017 DD 10/27/14 3,441,000 3,440,794

MACY'S RETAIL HOLDINGS INC 7.450% 07/15/2017 DD 07/14/97 143,000 147,515

MARATHON OIL CORP 6.000% 10/01/2017 DD 09/27/07 400,000 411,952

MARATHON PETROLEUM CORP 2.700% 12/14/2018 DD 12/14/15 500,000 506,655


MCDONALD'S CORP 5.800% 10/15/2017 DD 10/18/07 760,000 785,954


MCDONALD'S CORP 2.100% 12/07/2018 DD 12/09/15 500,000 502,970 Page 12 of 25



DECEMBER 31, 2016


MCKESSON CORP 1.400% 03/15/2018 DD 03/08/13 1,145,000 1,140,340

MEDTRONIC INC 1.375% 04/01/2018 DD 03/26/13 770,000 768,683

MERCEDES-BENZ AUTO LEASE B A3 1.350% 08/15/2019 DD 10/26/16 376,000 374,977




METROPOLITAN LIFE GLOBAL 144A 1.500% 01/10/2018 DD 01/10/13 2,000,000 2,000,320


BERKSHIRE HATHAWAY ENERGY CO 5.750% 04/01/2018 DD 03/28/08 355,000 373,155

BERKSHIRE HATHAWAY ENERGY CO 1.100% 05/15/2017 DD 11/08/13 400,000 400,008

MONSANTO CO 1.150% 06/30/2017 DD 07/01/14 500,000 499,625




MURRAY STREET INVESTMENT TRUST STEP 03/09/2017 DD 12/01/2011 530,000 532,761

MYLAN NV 144A 3.000% 12/15/2018 DD 12/09/15 1,155,000 1,163,351

MYLAN NV 144A 2.500% 06/07/2019 DD 06/09/16 1,510,000 1,501,831

NATIONAL AUSTRALIA BANK LTD/NE 1.875% 07/23/2018 DD 07/23/15 1,400,000 1,401,946

NATIONAL AUSTRALIA BANK L 144A 1.250% 03/17/2017 DD 03/17/14 500,000 500,245

NATIONAL BANK OF CANADA 2.100% 12/14/2018 DD 12/14/15 300,000 301,263

NATIONAL CITY BANK/CLEVELAND O 5.800% 06/07/2017 DD 06/07/07 358,000 364,444

NATIONAL OILWELL VARCO INC 1.350% 12/01/2017 DD 11/20/12 325,000 323,733

NATIONAL RURAL UTILITIES COOPE 5.450% 04/10/2017 DD 04/10/07 910,000 920,301



NATIONAL SEMICONDUCTOR CORP 6.600% 06/15/2017 DD 06/18/07 315,000 322,828

NEVADA POWER CO 7.125% 03/15/2019 DD 03/02/09 300,000 333,531


NISOURCE FINANCE CORP 6.400% 03/15/2018 DD 08/31/07 766,000 806,721

NISOURCE FINANCE CORP 6.800% 01/15/2019 DD 05/20/08 250,000 272,888

NISSAN AUTO RECEIVABLES 2 C A3 1.370% 05/15/2020 DD 10/14/15 1,500,000 1,497,690

NOBLE HOLDING INTERNATIONAL LT 2.500% 03/15/2017 DD 02/10/12 1,449,000 1,443,566

NORDEA BANK AB 144A 1.875% 09/17/2018 DD 09/17/15 320,000 319,843



NORFOLK SOUTHERN CORP 7.700% 05/15/2017 DD 05/19/97 200,000 204,570

STATOIL ASA 6.700% 01/15/2018 DD 01/15/98 560,000 589,691

NORTHERN TRUST CO/THE 6.500% 08/15/2018 DD 08/13/08 620,000 665,843

NORTHROP GRUMMAN CORP 1.750% 06/01/2018 DD 05/31/13 1,310,000 1,313,603 Page 13 of 25



DECEMBER 31, 2016


NSTAR ELECTRIC CO 5.625% 11/15/2017 DD 11/19/07 255,000 263,772

NUCOR CORP 5.850% 06/01/2018 DD 06/02/08 500,000 526,775

ONEOK PARTNERS LP 3.200% 09/15/2018 DD 09/12/13 500,000 510,915

PNC FINANCIAL SERVICES GROUP I 5.625% 02/01/2017 DD 02/08/07 900,000 902,727

PNC BANK NA 4.875% 09/21/2017 DD 09/21/05 500,000 511,960

PNC BANK NA 6.875% 04/01/2018 DD 03/25/08 250,000 264,893

PPL CAPITAL FUNDING INC 1.900% 06/01/2018 DD 05/24/13 300,000 299,928

PNC BANK NA 1.850% 07/20/2018 DD 07/21/15 1,275,000 1,277,219

PNC BANK NA 1.800% 11/05/2018 DD 11/03/15 3,538,000 3,544,439

PNC BANK NA 1.700% 12/07/2018 DD 12/09/16 1,200,000 1,197,828

PACCAR FINANCIAL CORP 1.600% 03/15/2017 DD 03/06/12 722,000 722,859

PACCAR FINANCIAL CORP 1.400% 11/17/2017 DD 11/17/14 400,000 400,728

PACCAR FINANCIAL CORP 1.750% 08/14/2018 DD 08/14/15 1,220,000 1,225,185

PACIFIC GAS & ELECTRIC CO 5.625% 11/30/2017 DD 12/04/07 215,000 222,977

PACIFIC GAS & ELECTRIC CO 8.250% 10/15/2018 DD 10/21/08 1,375,000 1,526,429

PENSKE TRUCK LEASING CO L 144A 3.375% 03/15/2018 DD 09/27/12 196,000 199,432

PENSKE TRUCK LEASING CO L 144A 2.875% 07/17/2018 DD 01/17/13 152,000 153,962

PIONEER NATURAL RESOURCES CO 6.875% 05/01/2018 DD 05/01/06 135,000 143,320

PLAINS ALL AMERICAN PIPELINE L 6.125% 01/15/2017 DD 07/15/07 683,000 683,833

POTASH CORP OF SASKATCHEWAN IN 3.250% 12/01/2017 DD 11/30/10 355,000 359,629

PRAXAIR INC 1.050% 11/07/2017 DD 11/07/12 175,000 174,746

PRECISION CASTPARTS CORP 1.250% 01/15/2018 DD 12/20/12 150,000 149,703

PRICOA GLOBAL FUNDING I 144A 1.600% 05/29/2018 DD 05/29/13 400,000 399,732


PRICOA GLOBAL FUNDING I 144A 1.350% 08/18/2017 DD 08/18/14 1,000,000 1,000,520


PRINCIPAL LIFE GLOBAL FUN 144A 2.250% 10/15/2018 DD 09/30/13 300,000 302,982

PRINCIPAL LIFE GLOBAL FUN 144A 1.200% 05/19/2017 DD 05/21/14 2,000,000 1,999,820



PROLOGIS LP 4.000% 01/15/2018 DD 11/12/10 350,000 357,102

PROTECTIVE LIFE GLOBAL FU 144A 1.722% 04/15/2019 DD 04/15/16 600,000 595,200

PUBLIC SERVICE CO OF NEW MEXIC 7.950% 05/15/2018 DD 05/13/08 675,000 728,696

PUBLIC SERVICE ELECTRIC & GAS 2.300% 09/15/2018 DD 09/12/13 590,000 596,419

COOPERATIEVE RABOBANK UA/NY 1.700% 03/19/2018 DD 03/19/13 400,000 400,036

REALTY INCOME CORP 6.750% 08/15/2019 DD 09/05/07 550,000 614,669

REPUBLIC SERVICES INC 3.800% 05/15/2018 DD 05/09/11 874,000 898,306

REPUBLIC SERVICES INC 5.500% 09/15/2019 DD 03/15/10 175,000 190,444

ROCHE HOLDINGS INC 144A 1.350% 09/29/2017 DD 09/29/14 425,000 425,740 Page 14 of 25



DECEMBER 31, 2016


ROGERS COMMUNICATIONS INC 6.800% 08/15/2018 DD 08/06/08 850,000 916,513

ROPER TECHNOLOGIES INC 2.050% 10/01/2018 DD 06/06/13 897,000 900,050

ROYAL BANK OF CANADA 2.200% 07/27/2018 DD 07/29/13 1,200,000 1,208,016

ROYAL BANK OF CANADA 1.500% 01/16/2018 DD 01/14/13 500,000 499,300



RYDER SYSTEM INC 3.500% 06/01/2017 DD 05/24/11 500,000 504,230



SANTANDER UK PLC 2.350% 09/10/2019 DD 09/10/14 1,160,000 1,160,731

SCHLUMBERGER HLDS CORP 144A 1.900% 12/21/2017 DD 12/21/15 250,000 250,940

SCHLUMBERGER NORGE AS 144A 1.250% 08/01/2017 DD 07/31/12 300,000 299,637

CHARLES SCHWAB CORP/THE 1.500% 03/10/2018 DD 03/10/15 1,585,000 1,585,380

SEMPRA ENERGY 2.300% 04/01/2017 DD 03/23/12 750,000 751,470

SHIRE ACQUISITIONS INVESTMENTS 1.900% 09/23/2019 DD 09/23/16 610,000 602,265

SIEMENS FINANCIERINGSMAAT 144A 1.450% 05/25/2018 DD 05/27/15 570,000 569,373

SIMON PROPERTY GROUP LP 2.150% 09/15/2017 DD 03/13/12 400,000 401,716

SIMON PROPERTY GROUP LP 144A 1.500% 02/01/2018 DD 12/17/12 715,000 714,671

SINOPEC CAPITAL 2013 LTD 144A 1.875% 04/24/2018 DD 04/24/13 303,000 301,864

SKANDINAVISKA ENSKILDA BA 144A 2.375% 03/25/2019 DD 03/25/14 500,000 501,285

SOUTHERN CALIFORNIA EDISON CO 5.500% 08/15/2018 DD 08/18/08 300,000 318,765

SOUTHERN CO/THE 2.450% 09/01/2018 DD 08/27/13 200,000 202,054

SOUTHERN CO/THE 1.300% 08/15/2017 DD 08/22/14 300,000 299,847

SOUTHERN POWER CO 1.500% 06/01/2018 DD 05/20/15 350,000 348,411

SOUTHWESTERN ELECTRIC POWER CO 5.550% 01/15/2017 DD 01/11/07 2,000,000 2,002,340

SOUTHWESTERN ELECTRIC POWER CO 5.875% 03/01/2018 DD 12/04/07 800,000 837,664

SOUTHWESTERN PUBLIC SERVICE CO 8.750% 12/01/2018 DD 11/19/08 150,000 168,623

SPECTRA ENERGY PARTNERS LP 2.950% 09/25/2018 DD 09/25/13 300,000 304,734

STATOIL ASA 1.150% 05/15/2018 DD 05/15/13 575,000 571,464

STRYKER CORP 1.300% 04/01/2018 DD 03/25/13 925,000 921,115

STRYKER CORP 2.000% 03/08/2019 DD 03/10/16 300,000 300,147

SUMITOMO MITSUI BANKING CORP 1.500% 01/18/2018 DD 01/18/13 2,000,000 1,989,980

SUMITOMO MITSUI BANKING CORP 2.500% 07/19/2018 DD 07/19/13 1,251,000 1,261,083

SUMITOMO MITSUI BANKING CORP 1.762% 10/19/2018 DD 10/19/16 600,000 597,498

SUNCOR ENERGY INC 6.100% 06/01/2018 DD 06/06/08 550,000 582,307

SUNTRUST BANKS INC 2.500% 05/01/2019 DD 05/01/14 300,000 302,559

SVENSKA HANDELSBANKEN AB 1.625% 03/21/2018 DD 03/21/13 400,000 399,524

TECO FINANCE INC 6.572% 11/01/2017 DD 05/01/08 350,000 363,328

TELEFONICA EMISIONES SAU 3.192% 04/27/2018 DD 04/29/13 1,100,000 1,115,818 Page 15 of 25



DECEMBER 31, 2016


TEVA PHARMACEUTICAL FINANCE NE 1.400% 07/20/2018 DD 07/21/16 315,000 312,433

TEVA PHARMACEUTICAL FINANCE NE 1.700% 07/19/2019 DD 07/21/16 990,000 972,705

THERMO FISHER SCIENTIFIC INC 2.400% 02/01/2019 DD 12/11/13 1,020,000 1,027,752

THOMSON REUTERS CORP 6.500% 07/15/2018 DD 06/20/08 300,000 320,418

THOMSON REUTERS CORP 1.300% 02/23/2017 DD 11/21/13 800,000 800,032

HISTORIC TW INC 6.875% 06/15/2018 DD 06/08/98 200,000 213,904

TIME WARNER CABLE LLC 5.850% 05/01/2017 DD 04/09/07 1,223,000 1,240,354

TIME WARNER CABLE LLC 6.750% 07/01/2018 DD 06/19/08 875,000 934,168

TIME WARNER CABLE LLC 8.250% 04/01/2019 DD 03/26/09 975,000 1,095,608

TORONTO-DOMINION BANK/THE 144A 1.500% 03/13/2017 DD 03/13/12 800,000 800,624

TORONTO-DOMINION BANK/THE 1.400% 04/30/2018 DD 04/30/13 2,553,000 2,546,847

TORONTO-DOMINION BANK/THE 2.625% 09/10/2018 DD 09/10/13 1,205,000 1,223,473

TORONTO-DOMINION BANK/THE 1.625% 03/13/2018 DD 03/13/15 195,000 195,203

TOTAL CAPITAL INTERNATIONAL SA 1.500% 02/17/2017 DD 02/17/12 624,000 624,206

TOTAL CAPITAL INTERNATIONAL SA 1.550% 06/28/2017 DD 06/28/12 240,000 240,396

TOTAL SYSTEM SERVICES INC 2.375% 06/01/2018 DD 05/22/13 300,000 301,242

TOYOTA AUTO RECEIVABLES 2 B A3 1.300% 04/15/2020 DD 05/11/16 1,401,000 1,396,503

TOYOTA MOTOR CREDIT CORP 2.050% 01/12/2017 DD 01/12/12 556,000 556,106



21ST CENTURY FOX AMERICA INC 7.250% 05/18/2018 DD 05/18/98 600,000 643,182

TYSON FOODS INC 2.650% 08/15/2019 DD 08/08/14 1,335,000 1,347,723

UBS AG/STAMFORD CT 5.875% 12/20/2017 DD 12/20/07 500,000 520,470

UBS AG/STAMFORD CT 2.375% 08/14/2019 DD 08/14/14 865,000 869,195

UBS AG/STAMFORD CT 1.800% 03/26/2018 DD 03/26/15 2,000,000 2,001,380

US BANCORP 2.200% 04/25/2019 DD 04/24/14 300,000 302,562






UNITED TECHNOLOGIES CORP STEP 05/04/2018 DD 05/01/2015 300,000 300,066


UNITEDHEALTH GROUP INC 6.000% 02/15/2018 DD 02/07/08 485,000 508,527

VF CORP 5.950% 11/01/2017 DD 10/15/07 350,000 362,880


VERIZON COMMUNICATIONS INC 3.650% 09/14/2018 DD 09/18/13 500,000 516,510

VIACOM INC 6.125% 10/05/2017 DD 10/05/07 245,000 252,009

VIRGINIA ELECTRIC & POWER CO 5.400% 04/30/2018 DD 04/17/08 480,000 503,285 Page 16 of 25



DECEMBER 31, 2016


VIRGINIA ELECTRIC & POWER CO 5.000% 06/30/2019 DD 06/26/09 350,000 375,557

VIRGINIA ELECTRIC & POWER CO 1.200% 01/15/2018 DD 01/08/13 400,000 398,300

VODAFONE GROUP PLC 4.625% 07/15/2018 DD 06/26/03 250,000 259,928




VOLKSWAGEN GROUP OF AMERI 144A 1.250% 05/23/2017 DD 05/23/14 300,000 299,514

WACHOVIA CORP 5.750% 02/01/2018 DD 01/31/08 1,400,000 1,459,640

WACHOVIA CORP 5.750% 06/15/2017 DD 06/08/07 335,000 341,382

WAL-MART STORES INC 5.800% 02/15/2018 DD 08/24/07 910,000 954,381

WASTE MANAGEMENT INC 6.100% 03/15/2018 DD 03/06/08 575,000 605,607

ACTAVIS INC 1.875% 10/01/2017 DD 10/02/12 300,000 300,573

ANTHEM INC 5.875% 06/15/2017 DD 06/08/07 1,575,000 1,606,878

WELLS FARGO & CO 5.625% 12/11/2017 DD 12/10/07 2,245,000 2,327,526

WELLS FARGO & CO 1.400% 09/08/2017 DD 09/09/14 10,444,000 10,431,676

WESFARMERS LTD 144A 1.874% 03/20/2018 DD 03/20/13 300,000 299,655

WESTPAC BANKING CORP 2.000% 08/14/2017 DD 08/14/12 400,000 401,752



WISCONSIN ELECTRIC POWER CO 1.700% 06/15/2018 DD 06/13/13 150,000 150,363

WEC ENERGY GROUP INC 1.650% 06/15/2018 DD 06/10/15 300,000 299,724

WISCONSIN PUBLIC SERVICE CORP 1.650% 12/04/2018 DD 12/04/15 300,000 299,691

TOTAL JP MORGAN ASSET MANAGEMENT 602,304,230$

MANAGED BY STANDISH MELLON ASSET MGMT

DREYFUS TREAS & AGY CSH CSH MG VAR RT 12/31/2049 DD 04/09/97 9,739,658 9,739,658$

AT&T INC 1.400% 12/01/2017 DD 12/11/12 2,360,000 2,354,808

AT&T INC 2.300% 03/11/2019 DD 03/10/14 1,210,000 1,214,634

AT&T INC 1.750% 01/15/2018 DD 01/15/16 2,035,000 2,036,241

ABBVIE INC 1.800% 05/14/2018 DD 05/14/15 1,985,000 1,986,489

CHUBB INA HOLDINGS INC 5.900% 06/15/2019 DD 06/08/09 1,200,000 1,313,280

ACTAVIS FUNDING SCS 2.350% 03/12/2018 DD 03/12/15 1,600,000 1,609,248

AETNA INC 1.900% 06/07/2019 DD 06/09/16 1,715,000 1,711,073

ALLY MASTER OWNER TRUST 5 A2 1.600% 10/15/2019 DD 11/12/14 4,040,000 4,046,222

ALLY AUTO RECEIVABLES TRU 1 A3 1.470% 04/15/2020 DD 01/27/16 2,045,000 2,046,002

ALLY AUTO RECEIVABLES TRU 2 A3 1.350% 05/15/2020 DD 03/02/16 2,090,000 2,086,844

AMERICAN EXPRESS BANK FSB VAR RT 06/12/2017 DD 06/12/07 1,000,000 999,660

AMERICAN EXPRESS CREDIT CORP 1.125% 06/05/2017 DD 06/05/14 1,390,000 1,389,778 Page 17 of 25



DECEMBER 31, 2016



AMERICAN HONDA FINANCE CORP 1.500% 11/19/2018 DD 11/21/16 3,000,000 2,993,610

AMERICREDIT AUTOMOBILE RE 3 A3 1.460% 05/10/2021 DD 08/11/16 1,530,000 1,522,335

AMERICREDIT AUTOMOBILE RE 1 A3 1.810% 10/08/2020 DD 01/21/16 975,000 977,165

AMGEN INC 2.125% 05/15/2017 DD 05/15/12 1,500,000 1,504,890

ANHEUSER-BUSCH COS LLC 5.500% 01/15/2018 DD 11/30/07 2,120,000 2,202,892


APPLE INC 2.100% 05/06/2019 DD 05/06/14 1,500,000 1,514,235

APPLE INC 1.300% 02/23/2018 DD 02/23/16 1,200,000 1,200,888

APPLE INC 1.100% 08/02/2019 DD 08/04/16 1,685,000 1,659,826

AUTOZONE INC 1.625% 04/21/2019 DD 04/21/16 1,830,000 1,813,292

BB&T CORP 2.250% 02/01/2019 DD 02/04/14 1,500,000 1,511,685

BMW US CAPITAL LLC 144A 1.450% 09/13/2019 DD 09/15/16 1,420,000 1,403,315



BMW VEHICLE LEASE TRUST 2 2 A2 1.230% 01/22/2019 DD 10/13/16 1,800,000 1,800,414



BANK OF AMERICA NA VAR RT 06/15/2017 DD 06/19/07 400,000 399,780




BANK OF MONTREAL 1.350% 08/28/2018 DD 08/29/16 1,105,000 1,099,762




BOSTON PROPERTIES LP 3.700% 11/15/2018 DD 11/10/11 2,000,000 2,060,080

CIT EQUIPMENT COLL VT1 A3 144A 1.500% 10/21/2019 DD 11/26/14 2,637,287 2,637,788

CNH EQUIPMENT TRUST 2015- A A3 1.300% 04/15/2020 DD 03/04/15 1,824,586 1,823,801



CANADIAN NATURAL RESOURCES LTD 5.700% 05/15/2017 DD 03/19/07 1,800,000 1,826,802

CAPITAL AUTO RECEIVABLES 2 A3 1.460% 06/22/2020 DD 07/20/16 1,450,000 1,443,997

CAPITAL ONE FINANCIAL CORP 2.450% 04/24/2019 DD 04/24/14 1,500,000 1,509,495

CAPITAL ONE NA/MCLEAN VA 1.500% 09/05/2017 DD 09/05/14 1,350,000 1,348,326


CARDINAL HEALTH INC 1.900% 06/15/2017 DD 05/21/12 2,620,000 2,627,179


CARMAX AUTO OWNER TRUST 2 3 A3 1.630% 05/15/2020 DD 08/12/15 3,830,000 3,839,958 Page 18 of 25



DECEMBER 31, 2016




CELGENE CORP 2.125% 08/15/2018 DD 08/12/15 2,210,000 2,218,884

CHRYSLER CAPITAL AU BA A1 144A 0.850% 11/15/2017 DD 11/04/16 4,116,255 4,113,826

CHRYSLER CAPITAL AU AA A4 144A 1.550% 02/18/2020 DD 04/15/15 4,000,000 3,997,040


CITIGROUP INC 1.850% 11/24/2017 DD 11/25/14 1,750,000 1,753,308

CITIGROUP INC 2.050% 12/07/2018 DD 12/07/15 1,700,000 1,699,813

CITIGROUP INC 2.050% 06/07/2019 DD 06/09/16 1,780,000 1,773,289

CITIZENS BANK NA/PROVIDENCE RI 2.500% 03/14/2019 DD 03/14/16 940,000 947,238

COMCAST CORP 5.700% 05/15/2018 DD 05/07/08 1,760,000 1,857,891

COOPERATIEVE RABOBANK UA/NY 1.375% 08/09/2019 DD 08/09/16 1,365,000 1,343,447

COX COMMUNICATIONS INC 144A 9.375% 01/15/2019 DD 12/15/08 1,235,000 1,395,204

CREDIT SUISSE AG/NEW YORK NY 1.750% 01/29/2018 DD 01/29/15 1,800,000 1,796,436



DIAGEO CAPITAL PLC 1.125% 04/29/2018 DD 04/29/13 2,390,000 2,374,991



DRIVE AUTO RECEIVABL CA B 144A 2.230% 09/16/2019 DD 07/22/15 1,272,806 1,274,677

DRIVE AUTO RECEIVAB CA A1 144A 0.900% 12/15/2017 DD 11/22/16 2,675,257 2,675,257

EI DU PONT DE NEMOURS & CO 6.000% 07/15/2018 DD 07/28/08 1,510,000 1,604,617

EOG RESOURCES INC 5.875% 09/15/2017 DD 09/10/07 1,820,000 1,873,781

EOG RESOURCES INC 6.875% 10/01/2018 DD 09/30/08 2,000,000 2,167,160

ERP OPERATING LP 5.750% 06/15/2017 DD 06/04/07 573,000 584,225

ECOLAB INC 1.450% 12/08/2017 DD 12/13/12 2,435,000 2,432,589

ENTERPRISE FLEET FIN 1 A2 144A 0.870% 09/20/2019 DD 02/14/14 64,951 64,903

ENTERPRISE PRODUCTS OPERATING 6.300% 09/15/2017 DD 09/04/07 1,820,000 1,877,075

EXELON GENERATION CO LLC 5.200% 10/01/2019 DD 09/23/09 980,000 1,050,325


EXXON MOBIL CORP 1.708% 03/01/2019 DD 03/03/16 1,955,000 1,959,223

FHLMC POOL #J1-0606 4.500% 08/01/2019 DD 08/01/09 0 0

FEDERAL NATL MTG ASSN 1.125% 07/20/2018 DD 06/08/15 10,120,000 10,120,202

FNMA GTD REMIC P/T 09-31 C 3.500% 11/25/2038 DD 04/01/09 0 -

FIDELITY NATIONAL INFORMATION 1.450% 06/05/2017 DD 06/03/14 735,000 735,294

FORD CREDIT FLOORPLAN MAS 1 A1 1.420% 01/15/2020 DD 02/10/15 3,485,000 3,481,794

FORD CREDIT AUTO OWNE 1 A 144A 2.260% 11/15/2025 DD 05/15/14 2,915,000 2,939,894

FORD CREDIT AUTO LEASE TR A A4 1.850% 07/15/2019 DD 03/22/16 2,750,000 2,762,155

FORD CREDIT AUTO OWNER TR B A3 1.330% 10/15/2020 DD 04/26/16 1,940,000 1,933,617 Page 19 of 25



DECEMBER 31, 2016




GM FINANCIAL AUTOMOBILE L 1 A3 1.640% 07/20/2019 DD 02/25/16 2,000,000 2,001,920






GNMA GTD REMIC P/T 11-H03 FA VAR RT 01/20/2061 DD 01/20/11 0 0

GREATAMERICA LEASING 1 A3 144A 0.890% 07/15/2017 DD 02/27/14 84,242 84,220

HSBC USA INC 1.500% 11/13/2017 DD 11/13/14 2,400,000 2,398,392

HARLEY-DAVIDSON FINANCIAL 144A 1.550% 11/17/2017 DD 11/18/14 2,250,000 2,250,405

HARLEY-DAVIDSON MOTORCYCL 1 A3 1.410% 06/15/2020 DD 01/28/15 2,900,000 2,901,827

HARLEY-DAVIDSON MOTORCYCL A A3 1.340% 01/15/2021 DD 06/15/16 3,240,000 3,225,614

HONDA AUTO RECEIVABLES 20 1 A3 1.220% 12/18/2019 DD 02/25/16 1,845,000 1,840,738

HYUNDAI AUTO LEASE S A A4 144A 1.650% 08/15/2019 DD 03/11/15 3,405,000 3,412,866

HYUNDAI AUTO LEASE S B A4 144A 1.680% 04/15/2020 DD 05/25/16 2,705,000 2,703,052

INTERNATIONAL BUSINESS MACHINE 1.800% 05/17/2019 DD 02/19/16 1,400,000 1,400,602




JOHN DEERE OWNER TRUST 20 A A3 1.360% 04/15/2020 DD 03/02/16 1,905,000 1,900,009

JOHN DEERE OWNER TRUST 20 B A3 1.250% 06/15/2020 DD 07/27/16 2,395,000 2,383,576

KEYCORP 2.300% 12/13/2018 DD 11/13/13 1,500,000 1,508,940

KINDER MORGAN ENERGY PARTNERS 6.000% 02/01/2017 DD 01/30/07 280,000 280,848

KINDER MORGAN INC/DE 2.000% 12/01/2017 DD 11/26/14 1,775,000 1,777,698


LLOYDS BANK PLC 4.200% 03/28/2017 DD 03/28/12 3,515,000 3,539,078

MMCA AUTO OWNER TRUS A A3 144A 1.210% 12/16/2019 DD 04/23/14 1,008,020 1,007,933



MERCEDES-BENZ AUTO LEASE B A1 0.750% 11/15/2017 DD 10/26/16 3,209,978 3,209,978

MERCEDES-BENZ AUTO LEASE B A3 1.350% 08/15/2019 DD 10/26/16 1,800,000 1,795,104




MMAF EQUIPMENT FINA AA A3 144A 1.030% 12/11/2017 DD 08/14/13 86,417 86,409


MORGAN STANLEY 1.875% 01/05/2018 DD 12/05/14 2,100,000 2,103,129 Page 20 of 25



DECEMBER 31, 2016


MYLAN NV 144A 2.500% 06/07/2019 DD 06/09/16 430,000 427,674

NATIONAL CITY BANK/CLEVELAND O VAR RT 06/07/2017 DD 06/07/07 1,500,000 1,500,615

NBCUNIVERSAL ENTERPRISE I 144A 1.974% 04/15/2019 DD 03/19/13 1,500,000 1,505,415

NEW JERSEY ST ECON DEV AUTH RE 3.802% 06/15/2018 DD 08/31/15 3,740,000 3,765,544


NEW YORK CITY NY TRANSITIONALF 1.280% 11/01/2018 DD 12/04/12 1,500,000 1,490,790

NEW YORK ST DORM AUTH REVENUES 1.456% 07/01/2019 DD 06/14/16 920,000 909,392

NEW YORK ST URBAN DEV CORP REV 1.380% 03/15/2018 DD 12/17/15 750,000 750,083

NEWELL BRANDS INC 2.600% 03/29/2019 DD 03/30/16 1,070,000 1,081,738

NISSAN AUTO LEASE TRUST 2 A A4 1.650% 10/15/2021 DD 05/25/16 2,000,000 1,999,580

NORDEA BANK AB 144A 1.625% 05/15/2018 DD 05/15/13 2,430,000 2,424,168

PNC BANK NA 1.600% 06/01/2018 DD 06/01/15 2,150,000 2,147,463

PNC BANK NA 1.950% 03/04/2019 DD 03/04/16 1,960,000 1,962,058

PACCAR FINANCIAL CORP 1.650% 02/25/2019 DD 02/25/16 1,000,000 996,550

PETRO-CANADA 6.050% 05/15/2018 DD 05/15/08 2,305,000 2,435,924

PHILLIPS 66 2.950% 05/01/2017 DD 11/01/12 1,700,000 1,709,486

PORT AUTH OF NEW YORK & NEW JE 4.875% 09/15/2017 DD 03/15/08 500,000 511,980



PRINCIPAL LIFE GLOBAL FUN 144A 1.500% 09/11/2017 DD 09/11/14 2,000,000 2,001,340

PRUDENTIAL FINANCIAL INC 6.000% 12/01/2017 DD 12/03/07 342,000 355,321

REPUBLIC SERVICES INC 3.800% 05/15/2018 DD 05/09/11 1,915,000 1,968,256

REYNOLDS AMERICAN INC 2.300% 06/12/2018 DD 06/12/15 2,015,000 2,027,775

ROHM & HAAS CO 6.000% 09/15/2017 DD 09/10/07 1,850,000 1,907,720


SANTANDER DRIVE AUTO RECE 1 A3 1.620% 03/16/2020 DD 02/17/16 2,215,000 2,217,791

SIMON PROPERTY GROUP LP 144A 1.500% 02/01/2018 DD 12/17/12 1,800,000 1,799,172



SYNCHRONY FINANCIAL 1.875% 08/15/2017 DD 08/11/14 1,575,000 1,576,276

SYNCHRONY FINANCIAL 3.000% 08/15/2019 DD 08/11/14 1,500,000 1,519,440

TOYOTA AUTO RECEIVABLES D A2A 1.060% 05/15/2019 DD 10/12/16 3,210,000 3,203,837



TRANSCANADA PIPELINES LTD 1.875% 01/12/2018 DD 01/12/15 1,750,000 1,752,748

TRAVELERS COS INC/THE 5.800% 05/15/2018 DD 05/13/08 1,787,000 1,885,160



U S TREASURY NOTE 1.250% 12/15/2018 DD 12/15/15 18,000,000 18,019,620 Page 21 of 25



DECEMBER 31, 2016








UNITED TECHNOLOGIES CORP STEP 05/04/2018 DD 05/01/2015 1,505,000 1,505,331



VOLKSWAGEN CREDIT A 1A A2 144A 1.400% 07/22/2019 DD 08/20/14 2,850,000 2,848,035

WEA FINANCE LLC / WESTFIE 144A 1.750% 09/15/2017 DD 09/17/14 1,750,000 1,751,085

WALGREENS BOOTS ALLIANCE INC 1.750% 11/17/2017 DD 11/18/14 1,180,000 1,182,950

WELLS FARGO & CO 1.500% 01/16/2018 DD 12/26/12 4,540,000 4,534,552

WELLS FARGO BANK NA 1.650% 01/22/2018 DD 01/29/16 2,000,000 1,999,940

WELLS FARGO BANK NA 1.750% 05/24/2019 DD 06/02/16 2,085,000 2,074,929

WHEELS SPV 2 LLC 1A A2 144A 0.840% 03/20/2023 DD 05/22/14 215,469 215,335

WORLD OMNI AUTOMOBILE LEA A A3 1.160% 09/15/2017 DD 09/17/14 1,029,305 1,029,285

WORLD OMNI AUTOMOBILE LEA A A3 1.450% 08/15/2019 DD 07/20/16 2,105,000 2,099,085

WM WRIGLEY JR CO 144A 2.400% 10/21/2018 DD 10/21/13 1,200,000 1,210,740

ZIMMER BIOMET HOLDINGS INC 2.000% 04/01/2018 DD 03/19/15 1,750,000 1,752,135

TOTAL STANDISH MELLON ASSET MANAGEMENT 501,335,979$

MANAGED BY SWARTHMORE GROUP

DREYFUS TREAS & AGY CSH CSH MG VAR RT 12/31/2049 DD 04/09/97 1,821,612 1,821,612$

ABBVIE INC 1.800% 05/14/2018 DD 05/14/15 600,000 600,450



ANHEUSER-BUSCH INBEV FINANCE I 1.900% 02/01/2019 DD 01/25/16 750,000 751,080

BMW US CAPITAL LLC 144A 1.500% 04/11/2019 DD 04/11/16 555,000 549,733





CANADIAN IMPERIAL BANK OF COMM 1.600% 09/06/2019 DD 09/06/16 525,000 520,002


CELGENE CORP 1.900% 08/15/2017 DD 08/09/12 400,000 401,280

CHEVRON CORP 1.561% 05/16/2019 DD 05/16/16 600,000 597,534

CISCO SYSTEMS INC 1.400% 09/20/2019 DD 09/20/16 400,000 395,640 Page 22 of 25



DECEMBER 31, 2016


CITIGROUP INC 2.150% 07/30/2018 DD 07/30/15 800,000 802,648

CITIZENS BANK NA/PROVIDENCE RI 2.300% 12/03/2018 DD 12/03/15 500,000 502,560

COMMONWEALTH BANK OF AUSTRALIA 1.625% 03/12/2018 DD 03/12/15 500,000 499,630

COOPERATIEVE RABOBANK UA/NY 1.375% 08/09/2019 DD 08/09/16 400,000 393,684

CORP ANDINA DE FOMENTO 2.000% 05/10/2019 DD 05/10/16 450,000 447,066

CREDIT SUISSE AG/NEW YORK NY 1.750% 01/29/2018 DD 01/29/15 450,000 449,109

DIAMOND 1 FINANCE CORP / 144A 3.480% 06/01/2019 DD 06/01/16 400,000 408,324

ERAC USA FINANCE LLC 144A 6.375% 10/15/2017 DD 10/17/07 365,000 378,195

FIFTH THIRD AUTO TRUST 20 1 A3 0.680% 04/16/2018 DD 02/20/14 25,006 25,001


GILEAD SCIENCES INC 1.850% 09/04/2018 DD 09/14/15 500,000 501,890



HUNTINGTON NATIONAL BANK/THE 1.700% 02/26/2018 DD 02/26/15 800,000 799,640

JACKSON NATIONAL LIFE GLO 144A 1.875% 10/15/2018 DD 10/15/15 400,000 400,828

LOCKHEED MARTIN CORP 1.850% 11/23/2018 DD 11/23/15 400,000 401,592


METROPOLITAN LIFE GLOBAL 144A 1.950% 12/03/2018 DD 12/03/15 250,000 250,933

MORGAN STANLEY 7.300% 05/13/2019 DD 05/13/09 180,000 200,570


NEW YORK LIFE GLOBAL FUND 144A 1.550% 11/02/2018 DD 11/03/15 800,000 797,712

NEXTERA ENERGY CAPITAL HOLDING 1.649% 09/01/2018 DD 09/01/16 650,000 647,959

NISSAN MOTOR ACCEPTANCE C 144A 2.350% 03/04/2019 DD 03/04/14 300,000 301,503

NISSAN MOTOR ACCEPTANCE C 144A 1.950% 09/12/2017 DD 09/12/12 600,000 601,722

EVERSOURCE ENERGY 1.600% 01/15/2018 DD 01/15/15 400,000 399,092



REGIONS BANK/BIRMINGHAM AL 2.250% 09/14/2018 DD 07/31/15 400,000 401,312

SANTANDER BANK NA 2.000% 01/12/2018 DD 01/12/15 500,000 499,790

SOUTHERN POWER CO 1.500% 06/01/2018 DD 05/20/15 85,000 84,614

TOYOTA MOTOR CREDIT CORP 1.700% 02/19/2019 DD 02/19/16 800,000 797,472




U S TREASURY NOTE 0.750% 07/15/2019 DD 07/15/16 270,000 266,077

WEC ENERGY GROUP INC 1.650% 06/15/2018 DD 06/10/15 600,000 599,448

TOTAL SWARTHMORE GROUP 41,305,843$

Page 23 of 25



DECEMBER 31, 2016


Genworth common stock 5,000

CASH 30,000

35,000$

1,796,311,120$

Page 24 of 25


INVESTMENTS HELD FOR SECURED CREDITORS

DECEMBER 31, 2016

SECURITY NAME SECURITY DESCRIPTION PAR/SHARES MARKET

VALUE

DREYFUS - Rockwood Casualty Assumed Trust MONEY MARKET 1,868,226 1,868,226$

MELLON BANK - Large Deductibles MONEY MARKET 681,014 681,014

TOTAL 2,549,240$

INVESTMENTS HELD FOR UNCOVERED CLAIMANTS

DECEMBER 31, 2016

SECURITY NAME MARKET VALUE

PORTFOLIO COMPOSITE 16,753,089$


INVESTMENTS IN AFFILIATES

DECEMBER 31, 2016

Carrying

Value

RCG International, Inc. 6,400,000$

Reliance Ins. Co. - Canadian Branch 25,000,000

Investments in affiliates 31,400,000$

Exhibit F


OPERATING EXPENSES - UNAUDITED

ANNUAL BUDGET / HISTORICAL COMPARISON REPORT

(In Millions)

15 Mo. Ended

Budget Actual 12/31/2002

2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 Actual

Salaries

Regular Salaries 8.7$ 9.9$ 12.3$ 13.7$ 14.8$ 16.3$ 18.7$ 21.6$ 24.7$ 28.3$ 30.3$ 31.4$ 32.4$ 35.4$ 36.6$ 45.9$

Performance-Retention Incentives 2.7 3.4 3.7 3.8 4.0 4.6 5.0 5.6 6.3 6.8 7.2 7.0 7.3 8.0 7.5 4.8

Severance 1.1 2.6 1.3 .8 1.0 1.9 1.6 2.3 2.4 1.6 1.7 1.6 1.5 2.5 2.3 3.4

Total Salaries 12.4 15.9 17.3 18.3 19.8 22.8 25.3 29.5 33.4 36.7 39.2 40.0 41.2 45.9 46.4 54.1

Employee Benefits

Health and Disability Benefits 1.0 1.1 1.4 1.4 1.4 1.6 1.8 1.9 2.0 2.2 2.2 2.1 2.1 2.5 2.8 4.1

SIP - Contributions and Fees .8 .9 1.0 1.1 1.2 1.4 1.5 1.8 2.7 2.1 2.4 2.2 2.2 2.2 1.9 .9

Total Employee Benefits 1.7 2.0 2.4 2.5 2.5 2.9 3.4 3.7 4.7 4.3 4.6 4.3 4.3 4.7 4.7 5.0

Payroll Taxes .7 .9 1.0 1.1 1.1 1.3 1.5 1.7 2.0 2.2 2.3 2.4 2.5 2.9 2.9 3.3

Total Salaries, Benefits and Taxes 14.9 18.7 20.7 21.9 23.5 27.0 30.2 34.9 40.1 43.2 46.1 46.7 48.0 53.5 54.0 62.4

IT Services 4.1 4.2 4.6 5.0 5.9 5.8 6.8 9.0 9.2 10.5 10.3 11.7 18.7 18.2 23.2 27.2

Legal Fees .8 1.1 1.2 1.0 1.5 2.1 1.8 2.1 3.9 5.1 9.6 7.6 10.4 18.6 13.0 20.6

Professional and Other Services 3.0 2.9 3.3 3.5 4.0 4.4 4.9 4.9 6.2 7.2 7.4 9.7 9.9 10.5 17.7 45.0

Rent and Record Retention 1.2 1.6 1.8 1.7 1.9 2.1 2.6 2.9 3.1 3.2 3.4 3.9 5.0 7.1 7.7 12.9

Other Operating (Insurance, Voice/Data

Communication, Supplies and misc.) 1.2 1.2 1.3 1.4 1.4 1.6 1.7 1.7 2.2 1.8 2.1 2.4 3.3 4.3 6.5 20.1

Subtotal 25.1 29.8 32.9 34.5 38.2 43.0 48.0 55.5 64.7 71.0 78.9 82.0 95.3 112.2 122.1 188.2

Guaranty Association Expenses 15.3 12.0 26.3 12.0 30.6 18.0 7.9 45.5 6.3 11.7 13.8 38.8 34.4 65.1 37.7 .9

Total Operating Expenses 40.4$ 41.8$ 59.2$ 46.5$ 68.8$ 61.0$ 55.9$ 101.0$ 71.0$ 82.7$ 92.7$ 120.8$ 129.7$ 177.3$ 159.8$ 189.1$

Loss/LAE .4$ .3$ 1.3$ 1.0$ 1.1$ 1.0$ 1.6$ 1.8$ 2.2$ 2.7$ 1.3$ .8$ 3.9$ 5.1$ 13.0$ 148.3$

Exhibit G


OPERATING EXPENSE ANALYSIS - UNAUDITED

Actual to Year to Date

Budget % December 2015 Variance to %

Actual Budget Variance Change Actual Prior Year Change

Salaries

Regular Salaries $9,886,629 $9,934,091 ($47,462) -0.48% $12,338,967 ($2,452,338) -19.87%

Performance Incentives 3,392,288 3,392,288 0 0.00% 3,651,931 (259,643) -7.11%

Severance 2,593,308 2,561,517 31,791 1.24% 1,312,026 1,281,282 97.66%

Total Salaries 15,872,225 15,887,896 (15,671) -0.10% 17,302,924 (1,430,699) -8.27%

Employee Benefits

Health and Disability Benefits 1,089,700 1,152,750 (63,050) -5.47% 1,382,982 (293,282) -21.21%

SIP-Contributions and Fees 881,744 910,300 (28,556) -3.14% 1,020,317 (138,573) -13.58%

Other Benefits 5,433 4,950 483 9.76% (3,997) 9,430 -235.93%

Total Employee Benefits 1,976,877 2,068,000 (91,123) -4.41% 2,399,302 (422,425) -17.61%

Payroll Taxes 895,810 931,043 (35,233) -3.78% 975,158 (79,348) -8.14%

Total Salaries, Benefits and Taxes 18,744,912 18,886,939 (142,027) -0.75% 20,677,384 (1,932,472) -9.35%

IT Services 4,191,659 4,239,139 (47,480) -1.12% 4,594,695 (403,036) -8.77%

Legal Fees 1,129,103 884,250 244,853 27.69% 1,187,302 (58,199) -4.90%

Professional and Other Services 2,862,654 3,114,651 (251,997) -8.09% 3,294,429 (431,775) -13.11%

Rent

Corporate Home Office 845,939 985,726 (139,787) -14.18% 1,237,726 (391,787) -31.65%

Record Archiving Services 531,732 574,352 (42,620) -7.42% 513,814 17,918 3.49%

Other Rent Items 237,843 170,900 66,943 39.17% 42,767 195,076 456.14%

Total Rent 1,615,514 1,730,978 (115,464) -6.67% 1,794,307 (178,793) -9.96%

Other Operating

Travel 24,889 38,134 (13,245) -34.73% 32,821 (7,932) -24.17%

Professional Dues & Conferences 18,747 25,040 (6,293) -25.13% 24,474 (5,727) -23.40%

Insurance 787,355 798,476 (11,121) -1.39% 840,563 (53,208) -6.33%

Voice and Data Communication 225,381 255,000 (29,619) -11.62% 240,197 (14,816) -6.17%

Supplies and Subscriptions 48,005 65,525 (17,520) -26.74% 53,988 (5,983) -11.08%

Postage, Freight & Express 45,687 58,300 (12,613) -21.63% 20,984 24,703 117.72%

Office Machine Rent & Repair 6,705 7,160 (455) -6.35% 4,906 1,799 36.67%

Bank Charges 70,951 75,000 (4,049) -5.40% 70,281 670 0.95%

Taxes, BBA and Other (3,789) 250 (4,039) n/a 28,958 (32,747) -113.08%

Total Other Operating 1,223,931 1,322,885 (98,954) -7.48% 1,317,172 (93,241) -7.08%

Subtotal 29,767,773 30,178,842 (411,069) -1.36% 32,865,289 (3,097,516) -9.42%

Guaranty Association Expenses 12,007,603 14,047,782 (2,040,179) -14.52% 26,346,473 (14,338,870) -54.42%

Total Operating Expenses $41,775,376 $44,226,624 ($2,451,248) -5.54% $59,211,762 ($17,436,386) -29.45%

LAE 291,305 696,250 (404,945) -58.16% 1,252,581 (961,276) -76.74%

Year to Date

December 2016


Exhibit H


LEGAL FEES AND EXPENSES (EXCLUDING ALAE)


VENDOR NAME

BLANK ROME LLP 24,915$

CASSELS BROCK & BLACKWELL LLP 40,567

DUANE MORRIS LLP 7,559

JONATHAN ROSEN 15,250

JUDITH P MEYER 34,300

KLEINBARD BELL & BRECKER LLP 148,268

PEPPER HAMILTON LLP. 612,240

SCRIBNER, HALL & THOMPSON, LLP. 137,749

STRADLEY RONON STEVENS & YOUNG LLP 81,258

WINTER REPORTING INC 15,714

TOTAL OTHER VENDORS UNDER $5,000 11,284

TOTAL LEGAL FEES AND EXPENSES (EXCLUDING ALAE) 1,129,103$

Exhibit I


PROFESSIONAL SERVICE EXPENSES


VENDOR NAME

BMS INTERMEDIARIES, LTD. 28,164$

CALLAN ASSOCIATES INC. 86,553

CERIDIAN CORPORATION 24,363

CORDICATE IT LLC 38,000

ERNST & YOUNG 241,829

FILEX DOCUMENT IMAGING SERVICES, INC. 33,991

FMR LLC (FIDELITY INSTITUTIONAL ASSET MANAGEMENT

TRUST COMPANY) 662,654

JP MORGAN INVESTMENT MANAGEMENT INC 494,387

MAINTECH INCORPORATED 7,560

PA. DEP'T. - LIQUIDATION CONSULTANTS 12,275

PA. DEP'T. - OFFICE OF LIQUIDATIONS 115,669

RFS CORP 226,954

S GROUP INC 61,957

STANDISH MELLON ASSET MANAGEMENT COMPANY LLC 555,218

SUNGARD AVAILABILITY SERVICES LP 34,800

THE BANK OF NEW YORK MELLON 207,292

THE BTB GROUP LLC 9,000

WORLDWIDE CLAIMS MANAGEMENT SERVICES, INC. 16,000

TOTAL OTHER VENDORS UNDER $5,000 5,986

TOTAL PROFESSIONAL SERVICE EXPENSES 2,862,654$

Exhibit J

Proof Of Claim Statistics - Inception To Date

December 31, 2016

CLASS DESCRIPTIONTOTAL POCS

RECEIVED

POCS RECEIVED

AFTER 12-31-03

BARRED POCS

RECEIVED AFTER 3-

30-2016

TOTAL NODS

ISSUED

LIQUIDATOR ALLOWED

AMOUNTS

NODs APPROVED FOR

DISTRIBUTION

NODs AMOUNT

APPROVED FOR

DISTRIBUTION

NO CLASS ASSIGNED 31 31 31 0 $0.00 0 $0.00

A - ADMIN COSTS AND EXPENSES 3,983 399 0 3,870 $0.00 3,865 $0.00

B - POLICY HOLDER CLAIMS 62,120 4,821 0 60,963 $1,140,149,246.57 60,717 $1,127,683,411.89

C - FEDERAL GOVT 9 0 0 9 $0.00 9 $0.00

D - EMPLOYEES 0 0 0 0 $0.00 0 $0.00

E - GEN CREDITORS/UNEARNED PREM 65,694 3,866 0 65,544 $149,386,088.03 65,431 $142,101,793.05

F - STATE/LOCAL GOVT 189 3 0 189 $7,039.85 189 $7,039.85

G - LATE FILED/SUBROGATION 29,463 3,687 0 29,310 $32,849,168.02 29,288 $32,849,168.02

H - SURPLUS, PREM REFUNDS 0 0 0 0 $0.00 0 $0.00

I - SHAREHOLDERS, OTHER OWNERS 3 0 0 3 $0.00 3 $0.00

TOTAL: 161,492 12,807 31 159,888 $1,322,391,542.47 159,502 $1,302,641,412.81

OTHER COUNTS INCEPTION TO DATE

POCs With Claims at GAs 236

Contingent Unliquidated POCs 356

Ready to Evaluate 20

Awaiting Information 961

TOTAL: 1,573

Exhibit K

Proof Of Claim Statistics - Quarter To Date

December 31, 2016

CLASS DESCRIPTIONTOTAL POCs

RECEIVED

TOTAL NODs

ISSUED

LIQUIDATOR ALLOWED

AMOUNTS

NODs APPROVED FOR

DISTRIBUTION

NODs AMOUNT APPROVED FOR

DISTRIBUTION

NO CLASS ASSIGNED 0 0 $0.00 0 $0.00

A - ADMIN COSTS AND EXPENSES 0 5 $0.00 0 $0.00

B - POLICY HOLDER CLAIMS 1 114 $6,152,212.15 177 $7,866,083.05

C - FEDERAL GOVT 0 0 $0.00 0 $0.00

D - EMPLOYEES 0 0 $0.00 0 $0.00

E - GEN CREDITORS/UNEARNED PREM 0 28 $1,161.28 47 $244,396.00

F - STATE/LOCAL GOVT 0 0 $0.00 0 $0.00

G - LATE FILED/SUBROGATION 0 5 $0.00 47 $0.00

H - SURPLUS, PREM REFUNDS 0 0 $0.00 0 $0.00

I - SHAREHOLDERS, OTHER OWNERS 0 1 $0.00 0 $0.00

TOTAL: 1 153 $6,153,373.43 271 $8,110,479.05

Exhibit L

Awaiting Information, 961

Contingent Unliquidated POCs, 356 POCs with Claims at GAs, 236

Ready to Evaluate, 20

Barred POCs, 31

Total NODs Issued, 159,888

Status of POCs as of 12-31-2016Total:161,492

Exhibit M

NUMBER OF OBJECTIONS UNRESOLVED NOT ASSIGNED

TO REFEREES - 6

NUMBER OF OBJECTIONS UNRESOLVED ASSIGNED TO

REFEREES - 58

NUMBER OF NOD OBJECTIONS RESOLVED - 1,783

Status of NOD Objections Received Through 12-31-2016Total 1,847

Exhibit N

Objection Statistics - Inception To Date

December 31, 2016

CLASS DESCRIPTION

NUMBER OF NOD

OBJECTIONS

RECEIVED

LIQUIDATOR ALLOWED

AMOUNTS ON OBJECTIONS

RECEIVED

NUMBER OF NOD OBJECTIONS

RESOLVED

LIQUIDATOR ALLOWED AMOUNTS

ON OBJECTIONS RESOLVED

NO CLASS ASSIGNED 0 $0.00 0 $0.00

A - ADMIN COSTS AND EXPENSES 141 $518.00 141 $518.00

B - POLICY HOLDER CLAIMS 333 $32,632,410.47 333 $32,632,410.47

C - FEDERAL GOVT 0 $0.00 0 $0.00

D - EMPLOYEES 0 $0.00 0 $0.00

E - GEN CREDITORS/UNEARNED PREM 926 $22,276,220.28 862 $15,074,086.79

F - STATE/LOCAL GOVT 1 $0.00 1 $0.00

G - LATE FILED/SUBROGATION 446 $9,108,593.00 446 $9,108,593.00

H - SURPLUS, PREM REFUNDS 0 $0.00 0 $0.00

I - SHAREHOLDERS, OTHER OWNERS 0 $0.00 0 $0.00

TOTAL: 1,847 $64,017,741.75 1,783 $56,815,608.26

CLASS DESCRIPTION

NUMBER OF

OBJECTIONS

UNRESOLVED

LIQUIDATOR ALLOWED

AMOUNTS ON OBJECTIONS

UNRESOLVED

NUMBER OF OBJECTIONS

UNRESOLVED ASSIGNED TO

REFEREES


ON OBJECTIONS UNRESOLVED

ASSIGNED TO REFEREES

NUMBER OF OBJECTIONS

UNRESOLVED NOT ASSIGNED

TO REFEREES


ON OBJECTIONS UNRESOLVED NOT

ASSIGNED TO REFEREES

NO CLASS ASSIGNED 0 $0.00 0 $0.00 0 $0.00

A - ADMIN COSTS AND EXPENSES 0 $0.00 0 $0.00 0 $0.00

B - POLICY HOLDER CLAIMS 0 $0.00 0 $0.00 0 $0.00

C - FEDERAL GOVT 0 $0.00 0 $0.00 0 $0.00

D - EMPLOYEES 0 $0.00 0 $0.00 0 $0.00

E - GEN CREDITORS/UNEARNED PREM 64 $7,202,133.49 58 $7,202,133.49 6 $0.00

F - STATE/LOCAL GOVT 0 $0.00 0 $0.00 0 $0.00

G - LATE FILED/SUBROGATION 0 $0.00 0 $0.00 0 $0.00

H - SURPLUS, PREM REFUNDS 0 $0.00 0 $0.00 0 $0.00

I - SHAREHOLDERS, OTHER OWNERS 0 $0.00 0 $0.00 0 $0.00

TOTAL: 64 $7,202,133.49 58 $7,202,133.49 6 $0.00

Exhibit O

Guaranty Association Data as of

12-31-2016

STATE LOCATION CLAIMS & ALAE PAIDCLAIMS & ALAE

RESERVESADMIN EXPENSES TOTAL BY STATE

ALABAMA P&C 70,532,057.28 54,239,007.77 9,445,006.68 134,216,071.73

ALASKA P&C 12,667,019.54 3,070,039.67 1,062,142.22 16,799,201.43

ARIZONA P&C 6,249,590.90 1,100.00 1,196,503.37 7,447,194.27

ARIZONA WC 11,365,964.50 6,615,732.58 0.00 17,981,697.08

ARKANSAS P&C 6,977,843.48 913,471.28 495,195.54 8,386,510.30

CALIFORNIA P&C 708,143,510.49 114,124,579.26 106,338,691.29 928,606,781.04

COLORADO P&C 27,161,513.16 22,828,195.60 2,521,583.45 52,511,292.21

CONNECTICUT P&C 51,437,724.09 20,227,053.57 7,501,524.63 79,166,302.29

DELAWARE P&C 5,904,976.64 3,666,146.61 1,545,833.00 11,116,956.25

DISTRICT OF COLUMBIA P&C 13,918,534.12 22,406,044.19 1,556,720.80 37,881,299.11

FLORIDA P&C 84,618,235.07 241,545.05 4,315,696.85 89,175,476.97

FLORIDA WC 246,382,370.91 39,689,789.81 8,428,149.53 294,500,310.25

GEORGIA P&C 53,792,691.18 13,737,760.99 5,890,127.53 73,420,579.70

HAWAII P&C 5,419,450.73 1,022,450.32 876,489.78 7,318,390.83

IDAHO P&C 2,897,795.93 259,115.04 348,948.37 3,505,859.34

ILLINOIS P&C 52,662,840.94 2,949,382.80 8,919,292.26 64,531,516.00

INDIANA P&C 5,684,893.05 297,736.07 1,037,720.77 7,020,349.89

IOWA P&C 10,135,764.61 890,790.18 915,316.15 11,941,870.94

KANSAS P&C 17,375,414.21 4,980,946.41 1,460,911.50 23,817,272.12

KENTUCKY L&H 109,079.00 0.00 1,708.85 110,787.85

KENTUCKY P&C 29,461,924.10 23,472,754.87 2,087,627.25 55,022,306.22

LOUISIANA P&C 70,284,316.40 33,415,112.99 5,296,446.67 108,995,876.06

MAINE P&C 6,212,079.75 5,490,550.56 1,004,878.71 12,707,509.02

MARYLAND P&C 37,554,986.73 15,078,060.83 9,236,797.62 61,869,845.18

MASSACHUSETTS P&C 13,332,746.68 91,088.92 1,476,432.53 14,900,268.13

MASSACHUSETTS WC 44,384,201.98 27,105,726.91 6,426,929.18 77,916,858.07

MICHIGAN P&C 58,706,865.17 16,997,107.48 8,051,705.97 83,755,678.62

MINNESOTA P&C 18,486,228.19 3,904,189.83 1,951,487.73 24,341,905.75

MISSISSIPPI P&C 43,471,246.04 12,941,831.28 4,126,230.26 60,539,307.58

MISSOURI P&C 36,706,644.95 4,791,614.47 2,728,866.39 44,227,125.81

MONTANA P&C 5,173,779.12 1,744,910.66 790,417.85 7,709,107.63

NEBRASKA P&C 8,920,203.88 4,820,479.09 894,668.68 14,635,351.65

NEVADA P&C 9,379,038.60 5,223,721.38 1,327,547.98 15,930,307.96

NEW HAMPSHIRE L&H 56,659.00 0.00 46,224.79 102,883.79

NEW HAMPSHIRE P&C 14,729,882.11 11,829,282.42 2,153,192.65 28,712,357.18

NEW JERSEY P&C 64,938,705.90 12,719,696.19 4,348,137.19 82,006,539.28

NEW JERSEY SL 11,523,778.68 193,882.73 690,832.27 12,408,493.68

NEW JERSEY WC 54,436,971.51 18,094,782.40 2,976,375.58 75,508,129.49

NEW MEXICO P&C 7,777,735.46 1,475,172.60 839,986.27 10,092,894.33

NEW YORK P&C 341,423,169.56 32,140,059.76 77,402,497.52 450,965,726.84

NEW YORK PMV 18,317,170.24 821,517.14 0.00 19,138,687.38

NEW YORK WC 207,971,635.82 173,229,831.71 0.00 381,201,467.53

NOLHGA 32,266,296.80 0.00 6,445,770.46 38,712,067.26

NORTH CAROLINA P&C 79,872,153.02 17,994,615.05 6,253,348.46 104,120,116.53

NORTH DAKOTA P&C 245,976.90 0.00 8,550.00 254,526.90

OHIO P&C 9,272,092.18 146,441.82 2,046,435.99 11,464,969.99

OKLAHOMA P&C 20,672,666.60 6,456,212.14 2,780,779.86 29,909,658.60

OREGON P&C 24,929,011.08 4,701,554.10 1,325,317.72 30,955,882.90

PENNSYLVANIA P&C 41,267,720.60 11,336,338.95 2,258,856.33 54,862,915.88

PENNSYLVANIA WC 169,437,413.87 55,847,620.17 13,575,861.55 238,860,895.59

PUERTO RICO P&C 8,726,784.86 15,000.00 1,216,228.00 9,958,012.86

RHODE ISLAND P&C 9,997,741.97 2,617,668.89 948,383.32 13,563,794.18

SOUTH CAROLINA P&C 27,037,147.52 4,239,953.55 3,924,593.52 35,201,694.59

SOUTH DAKOTA P&C 1,768,520.78 0.00 157,339.09 1,925,859.87

TENNESSEE P&C 42,295,106.10 16,652,302.69 6,505,099.64 65,452,508.43

TEXAS P&C 150,377,793.97 58,980,095.47 20,585,596.77 229,943,486.21

UTAH P&C 8,854,999.73 2,974,225.08 1,231,054.48 13,060,279.29

VERMONT P&C 10,639,037.81 4,707,091.72 983,912.18 16,330,041.71

VIRGIN ISLANDS P&C 658,225.89 1.00 0.00 658,226.89

VIRGINIA P&C 43,074,379.70 24,630,280.21 4,847,729.11 72,552,389.02

WASHINGTON P&C 32,193,332.79 5,548,149.88 3,051,593.38 40,793,076.05

WEST VIRGINIA P&C 3,579,342.69 0.00 345,146.62 3,924,489.31

WISCONSIN P&C 11,385,649.76 783,869.92 1,909,216.73 14,078,736.41

WYOMING P&C 487,906.98 0.00 78,940.33 566,847.31

TOTAL: 3,225,726,541.30 935,373,682.06 378,194,599.20 4,539,294,822.56

**New York WC, New York PMV and NY P&C Administrative Expenses are combined and reported under NY P&C

Exhibit P

0

500

1,000

1,500

2,000

2,500

3,000

3,500

4,000

4,500

Cumulative GA Activity through 12/31/2016in millions

GA Paid to Date GA Reserves

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