14078 Amerigroup Insurance Company Original Filing March ...

ANNUAL STATEMENT FOR THE YEAR 2021 OF THE Amerigroup Insurance Company

SUMMARY INVESTMENT SCHEDULE

Gross Investment HoldingsAdmitted Assets as Reported

in the Annual Statement

Investment Categories

1

Amount

2

Percentageof

Column 1Line 13

3

Amount

4Securities Lending

Reinvested CollateralAmount

5

Total(Col. 3 + 4)

Amount

6

Percentageof

Column 5Line 13

1. Long-Term Bonds (Schedule D, Part 1):

1.01 U.S. governments 920,000 0.130 920,000 2,269,551 3,189,551 0.451

1.02 All other governments 0.000 0 0.000

1.03 U.S. states, territories and possessions, etc. guaranteed 8,075,334 1.141 8,075,334 0 8,075,334 1.141

1.04 U.S. political subdivisions of states, territories, and possessions, guaranteed 9,865,318 1.394 9,865,317 0 9,865,317 1.394

1.05 U.S. special revenue and special assessment obligations, etc. non-guaranteed 82,367,578 11.640 82,367,579 0 82,367,579 11.640

1.06 Industrial and miscellaneous 370,874,993 52.413 370,874,991 0 370,874,991 52.413

1.07 Hybrid securities 916,606 0.130 916,606 0 916,606 0.130

1.08 Parent, subsidiaries and affiliates 0.000 0 0.000

1.09 SVO identified funds 99,361,135 14.042 99,361,137 0 99,361,137 14.042

1.10 Unaffiliated Bank loans 0.000 0 0.000

1.11 Total long-term bonds 572,380,964 80.890 572,380,964 2,269,551 574,650,515 81.210

2. Preferred stocks (Schedule D, Part 2, Section 1):

2.01 Industrial and miscellaneous (Unaffiliated) 0 0.000 0 0.000

2.02 Parent, subsidiaries and affiliates 0 0.000 0 0.000

2.03 Total preferred stocks 0 0.000 0 0 0 0.000

3. Common stocks (Schedule D, Part 2, Section 2):

3.01 Industrial and miscellaneous Publicly traded (Unaffiliated) 0.000 0 0.000

3.02 Industrial and miscellaneous Other (Unaffiliated) 0.000 0 0.000

3.03 Parent, subsidiaries and affiliates Publicly traded 0.000 0 0.000

3.04 Parent, subsidiaries and affiliates Other 0.000 0 0.000

3.05 Mutual funds 0.000 0 0.000

3.06 Unit investment trusts 0.000 0 0.000

3.07 Closed-end funds 0.000 0 0.000

3.08 Total common stocks 0 0.000 0 0 0 0.000

4. Mortgage loans (Schedule B):

4.01 Farm mortgages 0 0.000 0 0.000

4.02 Residential mortgages 0 0.000 0 0.000

4.03 Commercial mortgages 0 0.000 0 0.000

4.04 Mezzanine real estate loans 0 0.000 0 0.000

4.05 Total valuation allowance 0.000 0 0.000

4.06 Total mortgage loans 0 0.000 0 0 0 0.000

5. Real estate (Schedule A):

5.01 Properties occupied by company 0.000 0 0 0.000

5.02 Properties held for production of income 0.000 0 0 0.000

5.03 Properties held for sale 0.000 0 0 0.000

5.04 Total real estate 0 0.000 0 0 0 0.000

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

6.01 Cash (Schedule E, Part 1) 25,632,010 3.622 25,632,010 15,216,417 40,848,427 5.773

6.02 Cash equivalents (Schedule E, Part 2) 57,997,400 8.196 57,997,400 28,724,120 86,721,520 12.256

6.03 Short-term investments (Schedule DA) 0.000 0 5,065,406 5,065,406 0.716

6.04 Total cash, cash equivalents and short-term investments 83,629,410 11.819 83,629,410 49,005,943 132,635,353 18.744

7. Contract loans 0 0.000 0 0 0.000

8. Derivatives (Schedule DB) 321,563 0.045 321,563 321,563 0.045

9. Other invested assets (Schedule BA) 0 0.000 0 0 0.000

10. Receivables for securities 0 0.000 0 0 0.000

11. Securities Lending (Schedule DL, Part 1) 51,275,494 7.246 51,275,494 XXX XXX XXX

12. Other invested assets (, Line 11) 0 0.000 0 0 0.000

13. Total invested assets 707,607,431 100.000 707,607,431 51,275,494 707,607,431 100.000

SI01


Schedule A - Verification - Real Estate

N O N E

Schedule B - Verification - Mortgage Loans

N O N E

SI02


SCHEDULE BA - VERIFICATION BETWEEN YEARSOther Long-Term Invested Assets

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

2. Cost of acquired:

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

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

3. Capitalized deferred interest and other:

3.1 Totals, Part 1, Column 16


4. Accrual of discount

5. Unrealized valuation increase (decrease):



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

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

8. Deduct amortization of premium and depreciation

9. Total foreign exchange change in book/adjusted carrying value:



10. Deduct current year’s other than temporary impairment recognized:



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

12. Deduct total nonadmitted amounts

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

SCHEDULE D - VERIFICATION BETWEEN YEARSBonds and Stocks

1. Book/adjusted carrying value, December 31 of prior year 271,912,757

2. Cost of bonds and stocks acquired, Part 3, Column 7 404,452,495

3. Accrual of discount 490,055

4. Unrealized valuation increase (decrease):

4.1. Part 1, Column 12 (983,508)

4.2. Part 2, Section 1, Column 15


4.4. Part 4, Column 11 5,378 (978,130)

5. Total gain (loss) on disposals, Part 4, Column 19 164,358

6. Deduction consideration for bonds and stocks disposed of, Part 4, Column 7 101,498,390

7. Deduct amortization of premium 2,287,765


8.1. Part 1, Column 15 0



8.4. Part 4, Column 15 0 0

9. Deduct current year’s other than temporary impairment recognized:

9.1. Part 1, Column 14 0



9.4. Part 4, Column 13 0 0

10. Total investment income recognized as a result of prepayment penalties and/or acceleration fees, Note 5Q, Line 2 125,584

11. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9+10) 572,380,964

12. Deduct total nonadmitted amounts 0

13. Statement value at end of current period (Line 11 minus Line 12) 572,380,964

NONE

SI03


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

Description

1Book/Adjusted Carrying Value

2

Fair Value

3

Actual Cost

4

Par Value of Bonds

BONDS

Governments

(Including all obligations guaranteed by governments)

1. United States 920,000 915,157 920,000 920,000

2. Canada

3. Other Countries

4. Totals 920,000 915,157 920,000 920,000

U.S. States, Territories and Possessions

(Direct and guaranteed) 5. Totals 8,075,334 8,980,058 8,359,424 7,570,000

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

6. Totals 9,865,318 10,193,736 10,073,633 8,555,000

U.S. Special Revenue and Special Assessment Obligations and all Non-Guaranteed Obligations of Agencies and Authorities of Governments and their Political Subdivisions 7. Totals 82,367,578 84,812,203 83,283,446 80,211,567

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

8. United States 411,666,807 419,134,298 414,439,352 307,781,037

9. Canada 13,186,213 13,290,419 13,253,615 13,093,000

10. Other Countries 46,299,714 46,881,379 46,685,220 45,475,809

11. Totals 471,152,734 479,306,096 474,378,187 366,349,846

Parent, Subsidiaries and Affiliates 12. Totals

13. Total Bonds 572,380,964 584,207,250 577,014,690 463,606,413

PREFERRED STOCKS

Industrial and Miscellaneous (unaffiliated)

14. United States

15. Canada

16. Other Countries

17. Totals 0 0 0

Parent, Subsidiaries and Affiliates 18. Totals 0 0 0

19. Total Preferred Stocks 0 0 0

COMMON STOCKS

Industrial and Miscellaneous (unaffiliated)

20. United States

21. Canada

22. Other Countries

23. Totals 0 0 0

Parent, Subsidiaries and Affiliates 24. Totals 0 0 0

25. Total Common Stocks 0 0 0

26. Total Stocks 0 0 0

27. Total Bonds and Stocks 572,380,964 584,207,250 577,014,690

SI04


SCHEDULE D - PART 1A - SECTION 1Quality and Maturity Distribution of All Bonds Owned December 31, at Book/Adjusted Carrying Values by Major Types of Issues and NAIC Designations

NAIC Designation

1

1 Year or Less

2Over 1 Year

Through 5 Years

3Over 5 Years

Through 10 Years

4Over 10 Years

Through 20 Years

5

Over 20 Years

6No Maturity

Date

7

Total Current Year

8Col. 7 as a % of

Line 11.7

9Total from Col. 7

Prior Year

10% From Col. 8

Prior Year

11Total Publicly

Traded

12Total Privately

Placed (a)

1. U.S. Governments

1.1 NAIC 1 19,902 85,438 121,217 299,996 393,447 XXX 920,000 0.2 0.0 920,000 0

1.2 NAIC 2 XXX 0 0.0 0.0 0

1.3 NAIC 3 XXX 0 0.0 0.0 0

1.4 NAIC 4 XXX 0 0.0 0.0 0

1.5 NAIC 5 XXX 0 0.0 0.0 0

1.6 NAIC 6 XXX 0 0.0 0.0 0

1.7 Totals 19,902 85,438 121,217 299,996 393,447 XXX 920,000 0.2 0 0.0 920,000 0

2. All Other Governments

2.1 NAIC 1 XXX 0 0.0 0.0 0

2.2 NAIC 2 XXX 0 0.0 0.0 0

2.3 NAIC 3 XXX 0 0.0 0.0 0

2.4 NAIC 4 XXX 0 0.0 0.0 0

2.5 NAIC 5 XXX 0 0.0 0.0 0

2.6 NAIC 6 XXX 0 0.0 0.0 0

2.7 Totals 0 0 0 0 0 XXX 0 0.0 0 0.0 0 0

3. U.S. States, Territories and Possessions etc., Guaranteed

3.1 NAIC 1 0 478,844 0 0 0 XXX 478,844 0.1 0.0 478,844 0

3.2 NAIC 2 0 2,428,341 5,168,149 0 0 XXX 7,596,490 1.3 7,481,725 2.8 7,596,490 0

3.3 NAIC 3 XXX 0 0.0 0.0 0

3.4 NAIC 4 XXX 0 0.0 0.0 0

3.5 NAIC 5 XXX 0 0.0 0.0 0

3.6 NAIC 6 XXX 0 0.0 0.0 0

3.7 Totals 0 2,907,185 5,168,149 0 0 XXX 8,075,334 1.4 7,481,725 2.8 8,075,334 0

4. U.S. Political Subdivisions of States, Territories and Possessions , Guaranteed

4.1 NAIC 1 260,316 3,684,258 5,467,190 453,553 0 XXX 9,865,317 1.7 4,474,303 1.6 9,865,317 0

4.2 NAIC 2 XXX 0 0.0 0 0.0 0

4.3 NAIC 3 XXX 0 0.0 2,602,080 1.0 0

4.4 NAIC 4 XXX 0 0.0 0.0 0

4.5 NAIC 5 XXX 0 0.0 0.0 0

4.6 NAIC 6 XXX 0 0.0 0.0 0

4.7 Totals 260,316 3,684,258 5,467,190 453,553 0 XXX 9,865,317 1.7 7,076,383 2.6 9,865,317 0

5. U.S. Special Revenue & Special Assessment Obligations, etc., Non-Guaranteed

5.1 NAIC 1 1,012,096 14,898,361 26,657,615 37,915,460 281,197 XXX 80,764,729 14.1 56,317,443 20.7 76,069,140 4,695,589

5.2 NAIC 2 650,067 800,000 152,783 0 0 XXX 1,602,850 0.3 696,668 0.3 1,602,849 1

5.3 NAIC 3 XXX 0 0.0 0.0 0

5.4 NAIC 4 XXX 0 0.0 0.0 0

5.5 NAIC 5 XXX 0 0.0 0.0 0

5.6 NAIC 6 XXX 0 0.0 0.0 0

5.7 Totals 1,662,163 15,698,361 26,810,398 37,915,460 281,197 XXX 82,367,579 14.4 57,014,111 21.0 77,671,989 4,695,590

SI0

5


SCHEDULE D - PART 1A - SECTION 1 (Continued)Quality and Maturity Distribution of All Bonds Owned December 31, at Book/Adjusted Carrying Values by Major Types of Issues and NAIC Designations

NAIC Designation

1

1 Year or Less

2Over 1 Year

Through 5 Years

3Over 5 Years

Through 10 Years

4Over 10 Years

Through 20 Years

5

Over 20 Years

6No Maturity

Date

7

Total Current Year

8Col. 7 as a % of

Line 11.7

9Total from Col. 7

Prior Year

10% From Col. 8

Prior Year

11Total Publicly

Traded

12Total Privately

Placed (a)

6. Industrial & Miscellaneous (Unaffiliated)

6.1 NAIC 1 13,897,477 93,227,659 39,812,398 3,933,985 0 XXX 150,871,519 26.4 93,783,674 34.5 53,598,778 97,272,741

6.2 NAIC 2 5,963,423 40,594,064 87,713,525 3,072,161 8,738,541 XXX 146,081,714 25.5 105,119,636 38.7 102,185,049 43,896,665

6.3 NAIC 3 2,962,564 26,718,953 28,690,091 5,511,339 2,773,291 XXX 66,656,238 11.6 329,095 0.1 27,900,078 38,756,160

6.4 NAIC 4 289,043 3,632,928 3,343,548 0 0 XXX 7,265,519 1.3 192,520 0.1 1,459,325 5,806,194

6.5 NAIC 5 XXX 0 0.0 0.0 0

6.6 NAIC 6 XXX 0 0.0 0.0 0

6.7 Totals 23,112,507 164,173,604 159,559,562 12,517,485 11,511,832 XXX 370,874,990 64.8 199,424,925 73.3 185,143,230 185,731,760

7. Hybrid Securities

7.1 NAIC 1 0 0 0 0 210,000 XXX 210,000 0.0 210,000 0.1 0 210,000

7.2 NAIC 2 0 0 0 0 706,606 XXX 706,606 0.1 0.0 706,606 0

7.3 NAIC 3 XXX 0 0.0 705,613 0.3 0

7.4 NAIC 4 XXX 0 0.0 0.0 0

7.5 NAIC 5 XXX 0 0.0 0.0 0

7.6 NAIC 6 XXX 0 0.0 0.0 0

7.7 Totals 0 0 0 0 916,606 XXX 916,606 0.2 915,613 0.3 706,606 210,000

8. Parent, Subsidiaries and Affiliates

8.1 NAIC 1 XXX 0 0.0 0.0 0

8.2 NAIC 2 XXX 0 0.0 0.0 0

8.3 NAIC 3 XXX 0 0.0 0.0 0

8.4 NAIC 4 XXX 0 0.0 0.0 0

8.5 NAIC 5 XXX 0 0.0 0.0 0

8.6 NAIC 6 XXX 0 0.0 0.0 0

8.7 Totals 0 0 0 0 0 XXX 0 0.0 0 0.0 0 0

9. SVO Identified Funds

9.1 NAIC 1 XXX XXX XXX XXX XXX 36,227,172 36,227,172 6.3 0.0 36,227,172 0

9.2 NAIC 2 XXX XXX XXX XXX XXX 63,133,965 63,133,965 11.0 0.0 63,133,965 0

9.3 NAIC 3 XXX XXX XXX XXX XXX 0 0.0 0.0 0




9.7 Totals XXX XXX XXX XXX XXX 99,361,137 99,361,137 17.4 0 0.0 99,361,137 0

10. Unaffiliated Bank Loans

10.1 NAIC 1 XXX 0 0.0 0.0 0

10.2 NAIC 2 XXX 0 0.0 0.0 0

10.3 NAIC 3 XXX 0 0.0 0.0 0

10.4 NAIC 4 XXX 0 0.0 0.0 0

10.5 NAIC 5 XXX 0 0.0 0.0 0

10.6 NAIC 6 XXX 0 0.0 0.0 0

10.7 Totals 0 0 0 0 0 XXX 0 0.0 0 0.0 0 0

SI0

6


SCHEDULE D - PART 1A - SECTION 1 (Continued)Quality and Maturity Distribution of All Bonds Owned December 31, at Book/Adjusted Carrying Values by Major Types of Issues and NAIC Designations

NAIC Designation

1

1 Year or Less

2Over 1 Year

Through 5 Years

3Over 5 Years

Through 10 Years

4Over 10 Years

Through 20 Years

5

Over 20 Years

6No Maturity

Date

7

Total Current Year

8Col. 7 as a % of

Line 11.7

9Total from Col. 7

Prior Year

10% From Col. 8

Prior Year

11Total Publicly

Traded

12Total Privately

Placed (a)

11. Total Bonds Current Year

11.1 NAIC 1 (d) 15,189,791 112,374,560 72,058,420 42,602,994 884,644 36,227,172 279,337,581 48.8 XXX XXX 177,159,251 102,178,330

11.2 NAIC 2 (d) 6,613,490 43,822,405 93,034,457 3,072,161 9,445,147 63,133,965 219,121,625 38.3 XXX XXX 175,224,959 43,896,666

11.3 NAIC 3 (d) 2,962,564 26,718,953 28,690,091 5,511,339 2,773,291 0 66,656,238 11.6 XXX XXX 27,900,078 38,756,160

11.4 NAIC 4 (d) 289,043 3,632,928 3,343,548 0 0 0 7,265,519 1.3 XXX XXX 1,459,325 5,806,194

11.5 NAIC 5 (d) 0 0 0 0 0 0 (c) 0 0.0 XXX XXX 0 0

11.6 NAIC 6 (d) 0 0 0 0 0 0 (c) 0 0.0 XXX XXX 0 0

11.7 Totals 25,054,888 186,548,846 197,126,516 51,186,494 13,103,082 99,361,137 (b) 572,380,963 100.0 XXX XXX 381,743,613 190,637,350

11.8 Line 11.7 as a % of Col. 7 4.4 32.6 34.4 8.9 2.3 17.4 100.0 XXX XXX XXX 66.7 33.3

12. Total Bonds Prior Year

12.1 NAIC 1 11,155,314 68,275,932 56,617,335 17,558,978 1,177,861 0 XXX XXX 154,785,420 56.9 104,974,972 49,810,448

12.2 NAIC 2 1,337,415 36,747,558 62,626,989 3,844,173 8,741,894 0 XXX XXX 113,298,029 41.7 84,075,686 29,222,343

12.3 NAIC 3 2,602,080 329,095 0 0 705,613 0 XXX XXX 3,636,788 1.3 3,636,788 0

12.4 NAIC 4 29,781 130,217 32,522 0 0 0 XXX XXX 192,520 0.1 192,520

12.5 NAIC 5 XXX XXX (c) 0 0.0 0

12.6 NAIC 6 XXX XXX (c) 0 0.0 0

12.7 Totals 15,124,590 105,482,802 119,276,846 21,403,151 10,625,368 0 XXX XXX (b) 271,912,757 100.0 192,687,446 79,225,311

12.8 Line 12.7 as a % of Col. 9 5.6 38.8 43.9 7.9 3.9 0.0 XXX XXX 100.0 XXX 70.9 29.1

13. Total Publicly Traded Bonds

13.1 NAIC 1 5,837,431 51,494,420 44,256,573 38,669,009 674,645 36,227,172 177,159,250 31.0 104,974,972 38.6 177,159,250 XXX

13.2 NAIC 2 5,935,634 21,556,870 72,081,181 3,072,161 9,445,147 63,133,965 175,224,958 30.6 84,075,686 30.9 175,224,958 XXX

13.3 NAIC 3 15,013 7,524,493 14,040,093 3,547,188 2,773,291 0 27,900,078 4.9 3,636,788 1.3 27,900,078 XXX

13.4 NAIC 4 0 454,925 1,004,400 0 0 0 1,459,325 0.3 0 0.0 1,459,325 XXX

13.5 NAIC 5 0 0.0 0 0.0 0 XXX

13.6 NAIC 6 0 0.0 0 0.0 0 XXX

13.7 Totals 11,788,078 81,030,708 131,382,247 45,288,358 12,893,083 99,361,137 381,743,611 66.7 192,687,446 70.9 381,743,611 XXX

13.8 Line 13.7 as a % of Col. 7 3.1 21.2 34.4 11.9 3.4 26.0 100.0 XXX XXX XXX 100.0 XXX

13.9 Line 13.7 as a % of Line 11.7, Col. 7, Section 11 2.1 14.2 23.0 7.9 2.3 17.4 66.7 XXX XXX XXX 66.7 XXX

14. Total Privately Placed Bonds

14.1 NAIC 1 9,352,360 60,880,140 27,801,847 3,933,985 209,999 0 102,178,331 17.9 49,810,448 18.3 XXX 102,178,331

14.2 NAIC 2 677,856 22,265,535 20,953,276 0 0 0 43,896,667 7.7 29,222,343 10.7 XXX 43,896,667

14.3 NAIC 3 2,947,551 19,194,460 14,649,998 1,964,151 0 0 38,756,160 6.8 0 0.0 XXX 38,756,160

14.4 NAIC 4 289,043 3,178,003 2,339,148 0 0 0 5,806,194 1.0 192,520 0.1 XXX 5,806,194

14.5 NAIC 5 0 0 0 0 0 0 0 0.0 0 0.0 XXX 0

14.6 NAIC 6 0 0 0 0 0 0 0 0.0 0 0.0 XXX 0

14.7 Totals 13,266,810 105,518,138 65,744,269 5,898,136 209,999 0 190,637,352 33.3 79,225,311 29.1 XXX 190,637,352

14.8 Line 14.7 as a % of Col. 7 7.0 55.4 34.5 3.1 0.1 0.0 100.0 XXX XXX XXX XXX 100.0

14.9 Line 14.7 as a % of Line 11.7, Col. 7, Section 11 2.3 18.4 11.5 1.0 0.0 0.0 33.3 XXX XXX XXX XXX 33.3

(a) Includes $ freely tradable under SEC Rule 144 or qualified for resale under SEC Rule 144A.

(b) Includes $ current year of bonds with Z designations and $ prior year of bonds with Z designations. The letter "Z" means the NAIC designation was not assigned by the Securities Valuation Office (SVO) at the date of the statement.

(c) Includes $ current year, $ prior year of bonds with 5GI designations and $ current year, $ prior year of bonds with 6* designations. "5GI" means the NAIC designation was assigned by the

(SVO) in reliance on the insurer's certification that the issuer is current in all principal and interest payments. "6*" means the NAIC designation was assigned by the SVO due to inadequate certification of principal and interest payments.

(d) Includes the following amount of short-term and cash equivalent bonds by NAIC designation: NAIC 1 $ ; NAIC 2 $ ; NAIC 3 $ ; NAIC 4 $ ; NAIC 5 $ ; NAIC 6 $

SI0

7


SCHEDULE D - PART 1A - SECTION 2Maturity Distribution of All Bonds Owned December 31, at Book/Adjusted Carrying Values by Major Type and Subtype of Issues

Distribution by Type

1

1 Year or Less

2Over 1 Year

Through 5 Years

3Over 5 Years

Through 10 Years

4Over 10 Years

Through 20 Years

5

Over 20 Years

6No Maturity

Date

7

Total Current Year

8Col. 7 as a % of

Line 11.08

9Total from Col. 7

Prior Year

10% From Col. 8

Prior Year

11Total Publicly

Traded

12Total Privately

Placed

1. U.S. Governments1.01 Issuer Obligations XXX 0 0.0 0.0 0

1.02 Residential Mortgage-Backed Securities 19,902 85,438 121,217 299,996 393,447 XXX 920,000 0.2 0.0 920,000 0

1.03 Commercial Mortgage-Backed Securities XXX 0 0.0 0.0 0

1.04 Other Loan-Backed and Structured Securities XXX 0 0.0 0.0 0

1.05 Totals 19,902 85,438 121,217 299,996 393,447 XXX 920,000 0.2 0 0.0 920,000 0

2. All Other Governments

2.01 Issuer Obligations XXX 0 0.0 0.0 0

2.02 Residential Mortgage-Backed Securities XXX 0 0.0 0.0 0



2.05 Totals 0 0 0 0 0 XXX 0 0.0 0 0.0 0 0

3. U.S. States, Territories and Possessions, Guaranteed

3.01 Issuer Obligations 0 2,907,188 5,168,146 0 0 XXX 8,075,334 1.4 7,481,725 2.8 8,075,334 0




3.05 Totals 0 2,907,188 5,168,146 0 0 XXX 8,075,334 1.4 7,481,725 2.8 8,075,334 0

4. U.S. Political Subdivisions of States, Territories and Possessions, Guaranteed

4.01 Issuer Obligations 260,316 3,684,258 5,467,190 453,553 0 XXX 9,865,317 1.7 7,076,383 2.6 9,865,317 0




4.05 Totals 260,316 3,684,258 5,467,190 453,553 0 XXX 9,865,317 1.7 7,076,383 2.6 9,865,317 0

5. U.S. Special Revenue & Special Assessment Obligations etc., Non-Guaranteed

5.01 Issuer Obligations 1,662,163 11,002,771 26,810,398 37,915,460 281,197 XXX 77,671,989 13.6 52,314,096 19.2 77,671,989 0


5.03 Commercial Mortgage-Backed Securities 0 4,695,590 0 0 0 XXX 4,695,590 0.8 4,700,015 1.7 0 4,695,590


5.05 Totals 1,662,163 15,698,361 26,810,398 37,915,460 281,197 XXX 82,367,579 14.4 57,014,111 21.0 77,671,989 4,695,590

6. Industrial and Miscellaneous

6.01 Issuer Obligations 8,795,828 81,964,761 133,181,389 10,287,747 11,511,834 XXX 245,741,559 42.9 133,898,933 49.2 153,498,472 92,243,087


6.03 Commercial Mortgage-Backed Securities 4,487,306 47,511,786 413,989 0 0 XXX 52,413,081 9.2 32,769,256 12.1 22,075,680 30,337,401

6.04 Other Loan-Backed and Structured Securities 9,829,372 34,697,057 25,964,184 2,229,739 0 XXX 72,720,352 12.7 32,756,736 12.0 9,569,078 63,151,274

6.05 Totals 23,112,506 164,173,604 159,559,562 12,517,486 11,511,834 XXX 370,874,992 64.8 199,424,925 73.3 185,143,230 185,731,762

7. Hybrid Securities

7.01 Issuer Obligations 0 0 0 0 916,607 XXX 916,607 0.2 915,613 0.3 706,606 210,001




7.05 Totals 0 0 0 0 916,607 XXX 916,607 0.2 915,613 0.3 706,606 210,001

8. Parent, Subsidiaries and Affiliates

8.01 Issuer Obligations XXX 0 0.0 0.0 0




8.05 Affiliated Bank Loans - Issued XXX 0 0.0 0.0 0

8.06 Affiliated Bank Loans - Acquired XXX 0 0.0 0.0 0

8.07 Totals 0 0 0 0 0 XXX 0 0.0 0 0.0 0 0

SI0

8


SCHEDULE D - PART 1A - SECTION 2 (Continued)Maturity Distribution of All Bonds Owned December 31, at Book/Adjusted Carrying Values by Major Type and Subtype of Issues

Distribution by Type

1

1 Year or Less

2Over 1 Year

Through 5 Years

3Over 5 Years

Through 10 Years

4Over 10 Years

Through 20 Years

5

Over 20 Years

6No Maturity

Date

7

Total Current Year

8Col. 7 as a % of

Line 11.08

9Total from Col. 7

Prior Year

10% From Col. 8

Prior Year

11Total Publicly

Traded

12Total Privately

Placed

9. SVO Identified Funds9.01 Exchange Traded Funds Identified by the SVO XXX XXX XXX XXX XXX 99,361,137 99,361,137 17.4 0.0 99,361,137 0

10. Unaffiliated Bank Loans10.01 Unaffiliated Bank Loans - Issued XXX 0 0.0 0.0 0

10.02 Unaffiliated Bank Loans - Acquired XXX 0 0.0 0.0 0

10.03 Totals 0 0 0 0 0 XXX 0 0.0 0 0.0 0 0

11. Total Bonds Current Year11.01 Issuer Obligations 10,718,307 99,558,978 170,627,123 48,656,760 12,709,638 XXX 342,270,806 59.8 XXX XXX 249,817,718 92,453,088

11.02 Residential Mortgage-Backed Securities 19,902 85,438 121,217 299,996 393,447 XXX 920,000 0.2 XXX XXX 920,000 0

11.03 Commercial Mortgage-Backed Securities 4,487,306 52,207,376 413,989 0 0 XXX 57,108,671 10.0 XXX XXX 22,075,680 35,032,991

11.04 Other Loan-Backed and Structured Securities 9,829,372 34,697,057 25,964,184 2,229,739 0 XXX 72,720,352 12.7 XXX XXX 9,569,078 63,151,274

11.05 SVO Identified Funds XXX XXX XXX XXX XXX 99,361,137 99,361,137 17.4 XXX XXX 99,361,137 0

11.06 Affiliated Bank Loans 0 0 0 0 0 XXX 0 0.0 XXX XXX 0 0

11.07 Unaffiliated Bank Loans 0 0 0 0 0 XXX 0 0.0 XXX XXX 0 0

11.08 Totals 25,054,887 186,548,849 197,126,513 51,186,495 13,103,085 99,361,137 572,380,966 100.0 XXX XXX 381,743,613 190,637,353

11.09 Line 11.08 as a % of Col. 7 4.4 32.6 34.4 8.9 2.3 17.4 100.0 XXX XXX XXX 66.7 33.3

12. Total Bonds Prior Year12.01 Issuer Obligations 5,225,044 61,917,441 102,515,746 21,403,151 10,625,368 XXX XXX XXX 201,686,750 74.2 167,596,044 34,090,706

12.02 Residential Mortgage-Backed Securities XXX XXX XXX 0 0.0 0

12.03 Commercial Mortgage-Backed Securities 5,380,267 25,465,919 6,623,085 0 0 XXX XXX XXX 37,469,271 13.8 21,899,740 15,569,531

12.04 Other Loan-Backed and Structured Securities 4,519,279 18,099,442 10,138,015 0 0 XXX XXX XXX 32,756,736 12.0 3,191,662 29,565,074

12.05 SVO Identified Funds XXX XXX XXX XXX XXX XXX XXX 0 0.0 0

12.06 Affiliated Bank Loans XXX XXX XXX 0 0.0 0

12.07 Unaffiliated Bank Loans XXX XXX XXX 0 0.0 0

12.08 Totals 15,124,590 105,482,802 119,276,846 21,403,151 10,625,368 0 XXX XXX 271,912,757 100.0 192,687,446 79,225,311

12.09 Line 12.08 as a % of Col. 9 5.6 38.8 43.9 7.9 3.9 0.0 XXX XXX 100.0 XXX 70.9 29.1

13. Total Publicly Traded Bonds

13.01 Issuer Obligations 7,223,059 54,259,620 130,847,041 44,988,363 12,499,635 XXX 249,817,718 43.6 167,596,044 61.6 249,817,718 XXX13.02 Residential Mortgage-Backed Securities 19,902 85,438 121,217 299,996 393,447 XXX 920,000 0.2 0 0.0 920,000 XXX13.03 Commercial Mortgage-Backed Securities 0 21,661,691 413,989 0 0 XXX 22,075,680 3.9 21,899,740 8.1 22,075,680 XXX13.04 Other Loan-Backed and Structured Securities 4,545,115 5,023,960 0 0 0 XXX 9,569,075 1.7 3,191,662 1.2 9,569,075 XXX13.05 SVO Identified Funds XXX XXX XXX XXX XXX 99,361,137 99,361,137 17.4 0 0.0 99,361,137 XXX13.06 Affiliated Bank Loans XXX 0 0.0 0 0.0 0 XXX13.07 Unaffiliated Bank Loans XXX 0 0.0 0 0.0 0 XXX

13.08 Totals 11,788,076 81,030,709 131,382,247 45,288,359 12,893,082 99,361,137 381,743,610 66.7 192,687,446 70.9 381,743,610 XXX13.09 Line 13.08 as a % of Col. 7 3.1 21.2 34.4 11.9 3.4 26.0 100.0 XXX XXX XXX 100.0 XXX13.10 Line 13.08 as a % of Line 11.08, Col. 7, Section 11 2.1 14.2 23.0 7.9 2.3 17.4 66.7 XXX XXX XXX 66.7 XXX

14. Total Privately Placed Bonds

14.01 Issuer Obligations 3,495,248 45,299,358 39,780,082 3,668,397 210,003 XXX 92,453,088 16.2 34,090,706 12.5 XXX 92,453,088

14.02 Residential Mortgage-Backed Securities 0 0 0 0 0 XXX 0 0.0 0 0.0 XXX 0

14.03 Commercial Mortgage-Backed Securities 4,487,306 30,545,685 0 0 0 XXX 35,032,991 6.1 15,569,531 5.7 XXX 35,032,991

14.04 Other Loan-Backed and Structured Securities 5,284,257 29,673,097 25,964,184 2,229,739 0 XXX 63,151,277 11.0 29,565,074 10.9 XXX 63,151,277

14.05 SVO Identified Funds XXX XXX XXX XXX XXX 0 0 0.0 0 0.0 XXX 0

14.06 Affiliated Bank Loans 0 0 0 0 0 XXX 0 0.0 0 0.0 XXX 0

14.07 Unaffiliated Bank Loans 0 0 0 0 0 XXX 0 0.0 0 0.0 XXX 0

14.08 Totals 13,266,811 105,518,140 65,744,266 5,898,136 210,003 0 190,637,356 33.3 79,225,311 29.1 XXX 190,637,356

14.09 Line 14.08 as a % of Col. 7 7.0 55.4 34.5 3.1 0.1 0.0 100.0 XXX XXX XXX XXX 100.0

14.10 Line 14.08 as a % of Line 11.08, Col. 7, Section 11 2.3 18.4 11.5 1.0 0.0 0.0 33.3 XXX XXX XXX XXX 33.3

SI0

9


SCHEDULE DA - VERIFICATION BETWEEN YEARSShort-Term Investments

1

Total

2

Bonds

3

Mortgage Loans

4Other Short-term

Investment Assets (a)

5Investments in Parent,

Subsidiaries and Affiliates

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

2. Cost of short-term investments acquired

3. Accrual of discount

4. Unrealized valuation increase (decrease)

5. Total gain (loss) on disposals

6. Deduct consideration received on disposals

7. Deduct amortization of premium

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

9. Deduct current year’s other than temporary impairment recognized

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



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

NONE

SI1

0


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

1. Book/adjusted carrying value, December 31, prior year (Line 10, prior year)

2. Cost paid/(consideration received) on additions:

2.1 Current year paid/(consideration received) at time of acquisition, still open, Section 1, Column 12

2.2 Current year paid/(consideration received) at time of acquisition, terminated, Section 2, Column 14

3. Unrealized valuation increase/(decrease):

3.1 Section 1, Column 17


4. SSAP No. 108 Adjustments

5. Total gain (loss) on termination recognized, Section 2, Column 22

6. Considerations received/(paid) on terminations, Section 2, Column 15

7. Amortization:



8. Adjustment to the book/adjusted carrying value of hedged item:






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

11. Deduct nonadmitted assets


SCHEDULE DB - PART B - VERIFICATIONFutures Contracts

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

2. Cumulative cash change (Section 1, Broker Name/Net Cash Deposits Footnote - Cumulative Cash Change Column) 321,563

3.1 Add:

Change in variation margin on open contracts - Highly effective hedges

3.11 Section 1, Column 15, current year minus 0

3.12 Section 1, Column 15, prior year 0

Change in variation margin on open contracts - All other

3.13 Section 1, Column 18, current year minus 321,551

3.14 Section 1, Column 18, prior year 321,551 321,551

3.2 Add:

Change in adjustment to basis of hedged item

3.21 Section 1, Column 17, current year to date minus 0

3.22 Section 1, Column 17, prior year 0

Change in amount recognized

3.23 Section 1, Column 19, current year to date minus 321,551

3.24 Section 1, Column 19, prior year plus

3.25 SSAP No. 108 Adjustments 321,551 321,551

3.3 Subtotal (Line 3.1 minus Line 3.2) 0

4.1 Cumulative variation margin on terminated contracts during the year (Section 2, Column 15) (852,295)

4.2 Less:

4.21 Amount used to adjust basis of hedged item (Section 2, Column 17) 0

4.22 Amount recognized (Section 2, Column 16) (852,295)

4.23 SSAP No. 108 Adjustments (852,295)

4.3 Subtotal (Line 4.1 minus Line 4.2) 0

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

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

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

6. Book/Adjusted carrying value at end of current period (Lines 1+2+3.3-4.3-5.1-5.2) 321,563


8. Statement value at end of current period (Line 6 minus Line 7) 321,563

NONE

SI11


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

N O N E

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

N O N E

SI12, SI13


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

Book/Adjusted Carrying Value Check

1. Part A, Section 1, Column 14

2. Part B, Section 1, Column 15 plus Part B, Section 1 Footnote - Total Ending Cash Balance 321,563

3. Total (Line 1 plus Line 2) 321,563

4. Part D, Section 1, Column 6 321,563

5. Part D, Section 1, Column 7 0

6. Total (Line 3 minus Line 4 minus Line 5) (1)

Fair Value Check


8. Part B, Section 1, Column 13 321,563

9. Total (Line 7 plus Line 8) 321,563


11. Part D, Section 1, Column 10 0

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

Potential Exposure Check


14. Part B, Section 1, Column 20 572,500


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

SI14


SCHEDULE E - PART 2 - VERIFICATION BETWEEN YEARS(Cash Equivalents)

1

Total

2

Bonds

3Money MarketMutual funds

4

Other (a)

1. Book/adjusted carrying value, December 31 of prior year 86,973,522 0 0 86,973,522

2. Cost of cash equivalents acquired 2,028,000,001 0 2,028,000,001 0

3. Accrual of discount 0

4. Unrealized valuation increase (decrease) 20,083 0 86,993,605 (86,973,522)

5. Total gain (loss) on disposals 6,101 0 6,101 0

6. Deduct consideration received on disposals 2,057,002,307 0 2,057,002,307 0

7. Deduct amortization of premium 0

8. Total foreign exchange change in book/adjusted carrying value 0

9. Deduct current year’s other than temporary impairment recognized 0

10. Book/adjusted carrying value at end of current period (Lines 1+2+3+4+5-6-7+8-9) 57,997,400 0 57,997,400 0

11. Deduct total nonadmitted amounts 0

12. Statement value at end of current period (Line 10 minus Line 11) 57,997,400 0 57,997,400 0

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

SI15


Schedule A - Part 1 - Real Estate Owned

N O N E

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

N O N E

Schedule A - Part 3 - Real Estate Disposed

N O N E

Schedule B - Part 1 - Mortgage Loans Owned

N O N E

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

N O N E

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

N O N E

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

N O N E

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

N O N E

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

N O N E

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


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

1 2 Codes 6 7 Fair Value 10 11 Change in Book/Adjusted Carrying Value Interest Dates

3 4 5 8 9 12 13 14 15 16 17 18 19 20 21 22

CUSIP Identification Description

Code

Foreign

BondChar

NAICDesig-nation,NAICDesig-nation

ModifierandSVO

Admini-strative Symbol

ActualCost

Rate Used to Obtain

Fair Value

FairValue

ParValue

Book/AdjustedCarrying

Value

UnrealizedValuationIncrease/

(Decrease)

CurrentYear's(Amor-tization)

Accretion

CurrentYear'sOther-Than-

TemporaryImpairmentRecognized

TotalForeign

ExchangeChange

inBook/

AdjustedCarrying

ValueRate

of

EffectiveRate

ofWhenPaid

AdmittedAmountDue andAccrued

Amount Received

During Year Acquired

StatedContractual

MaturityDate

44148J-AA-7 HWIRE 2021-1 A2 144A 4 1.A 920,000 99.4740 915,157 920,000 920,000 0 0 0 0 2.311 2.324 MON 1,772 0 11/09/2021 11/20/2051

0299999. Subtotal - Bonds - U.S. Governments - Residential Mortgage-Backed Securities 920,000 XXX 915,157 920,000 920,000 0 0 0 0 XXX XXX XXX 1,772 0 XXX XXX

0599999. Total - U.S. Government Bonds 920,000 XXX 915,157 920,000 920,000 0 0 0 0 XXX XXX XXX 1,772 0 XXX XXX

1099999. Total - All Other Government Bonds 0 XXX 0 0 0 0 0 0 0 XXX XXX XXX 0 0 XXX XXX452152-P2-1 ILLINOIS STATE SERIES C 2 2.B FE 5,156,498 120.1300 5,628,091 4,685,000 4,981,619 0 (44,664) 0 0 5.000 3.780 MN 39,042 234,250 10/18/2017 11/01/2029

452152-Q4-6 ILLINOIS ST SERIES D 2.B FE 2,534,694 115.5710 2,675,469 2,315,000 2,428,341 0 (27,099) 0 0 5.000 3.620 MN 19,292 115,750 10/26/2017 11/01/2025

452153-AU-3 ILLINOIS ST SERIES A 2 2.B FE 187,740 116.1140 197,394 170,000 186,530 0 (1,210) 0 0 4.000 2.790 MS 2,267 2,966 03/17/2021 03/01/2040

882724-WK-9 TEXAS ST SERIES C SD 1.A FE 480,492 119.7760 479,104 400,000 478,844 0 (1,648) 0 0 5.000 0.630 FA 5,167 0 11/23/2021 08/01/2026

1199999. Subtotal - Bonds - U.S. States, Territories and Possessions - Issuer Obligations 8,359,424 XXX 8,980,058 7,570,000 8,075,334 0 (74,621) 0 0 XXX XXX XXX 65,768 352,966 XXX XXX

1799999. Total - U.S. States, Territories and Possessions Bonds 8,359,424 XXX 8,980,058 7,570,000 8,075,334 0 (74,621) 0 0 XXX XXX XXX 65,768 352,966 XXX XXX041431-RW-9 ARLINGTON CNTY VA SD 1.A FE 365,067 123.6520 370,956 300,000 341,977 0 (6,911) 0 0 5.000 2.330 FA 5,667 15,000 07/20/2018 08/15/2027

108151-VU-2 BRIDGEPORT CT 1.F FE 2,063,156 122.5320 2,027,905 1,655,000 2,043,397 0 (19,760) 0 0 7.640 2.097 JJ 58,304 0 10/01/2021 01/15/2030

222057-HF-1 COTULLA TX INDEP SCH DIST SD 1.A FE 585,090 117.6300 588,150 500,000 549,283 0 (11,224) 0 0 5.000 2.470 FA 9,444 25,000 09/18/2018 02/15/2026

358586-PC-3 FRIENDSWOOD TX INDEP SCH DIST SD 1.A FE 127,231 124.4420 124,442 100,000 125,156 0 (2,075) 0 0 4.000 1.095 FA 1,511 1,889 03/15/2021 02/15/2031

567505-PE-6 MARICOPA CNTY AZ HIGH SCH DIST SD 1.B FE 613,340 115.7360 578,680 500,000 553,502 0 (14,670) 0 0 5.000 1.830 JJ 12,500 25,000 10/17/2017 07/01/2025

642714-AG-4 NEW BRITAIN CT 2 1.G FE 910,000 112.8060 1,026,535 910,000 910,000 0 0 0 0 4.182 4.182 MS 12,685 38,056 05/16/2018 03/01/2029

732098-FF-0 POMONA CA UNIF SCH DIST SERIES D 1.D FE 1,288,693 113.7570 1,336,645 1,175,000 1,241,988 0 (10,287) 0 0 5.090 3.606 FA 24,920 59,808 10/25/2017 08/01/2028

802385-RV-8 SANTA MONICA CA CMNTY CLG DIST 1.C FE 300,000 98.8140 296,442 300,000 300,000 0 0 0 0 1.696 1.696 FA 2,120 3,095 12/03/2020 08/01/2030

938429-U8-8 WASHINGTON CNTY OR SCH DIST 48 SERIES D 2 1.B FE 326,937 121.2280 363,684 300,000 324,960 0 (4,109) 0 0 5.000 3.320 JD 667 15,000 04/27/2017 06/15/2035

980898-XP-0 WOONSOCKET RI 1.F FE 3,494,119 123.6340 3,480,297 2,815,000 3,475,055 0 (19,063) 0 0 6.290 2.354 JJ 81,646 0 10/14/2021 07/15/2032

1899999. Subtotal - Bonds - U.S. Political Subdivisions - Issuer Obligations 10,073,633 XXX 10,193,736 8,555,000 9,865,318 0 (88,099) 0 0 XXX XXX XXX 209,464 182,848 XXX XXX

2499999. Total - U.S. Political Subdivisions Bonds 10,073,633 XXX 10,193,736 8,555,000 9,865,318 0 (88,099) 0 0 XXX XXX XXX 209,464 182,848 XXX XXX010869-CC-7 ALAMEDA COR TRANSN AUTH 1.G FE 561,951 98.9500 643,175 650,000 635,001 0 18,954 0 0 0.000 3.149 MAT 0 0 10/05/2017 10/01/2022

039063-AQ-5 ARCADIA CA PENSION OBLIG 2 1.A FE 3,975,000 102.9210 4,091,110 3,975,000 3,975,000 0 0 0 0 2.728 2.725 JD 9,037 114,161 10/28/2020 12/01/2035

052193-AQ-2 AUSTIN BERGSTROM LANDHOST ENTE 2 1.G FE 347,770 115.9460 342,041 295,000 327,413 0 (5,108) 0 0 5.000 2.911 AO 3,688 14,750 10/12/2017 10/01/2030

052193-AR-0 AUSTIN BERGSTROM LANDHOST ENTE 2 1.G FE 750,272 115.5930 739,795 640,000 707,823 0 (10,664) 0 0 5.000 2.981 AO 8,000 32,000 10/12/2017 10/01/2031

052193-AS-8 AUSTIN BERGSTROM LANDHOST ENTE 2 1.G FE 1,165,760 115.3540 1,153,540 1,000,000 1,102,084 0 (16,013) 0 0 5.000 3.051 AO 12,500 50,000 10/12/2017 10/01/2032

052451-BC-4 AUSTIN TX RENTAL CAR SPL FAC R 2 1.F FE 2,000,000 100.1680 2,003,360 2,000,000 2,000,000 0 0 0 0 2.110 2.110 MN 5,392 29,657 02/10/2021 11/15/2032

052451-BD-2 AUSTIN TX RENTAL CAR SPL FAC R 2 1.F FE 2,610,000 100.8650 2,632,577 2,610,000 2,610,000 0 0 0 0 2.210 2.210 MN 7,370 40,537 02/10/2021 11/15/2033

052451-BE-0 AUSTIN TX RENTAL CAR SPL FAC R 2 1.F FE 500,000 101.1740 505,870 500,000 500,000 0 0 0 0 2.310 2.310 MN 1,476 8,117 02/10/2021 11/15/2034

052451-BF-7 AUSTIN TX RENTAL CAR SPL FAC R 2 1.F FE 2,970,000 101.4370 3,012,679 2,970,000 2,970,000 0 0 0 0 2.410 2.410 MN 9,146 50,303 02/10/2021 11/15/2035

115065-YG-3 BROWARD CNTY FLA SCH BRD CTFS 2 1.E FE 1,193,110 115.0220 1,150,220 1,000,000 1,071,459 0 (19,154) 0 0 5.000 2.841 JJ 25,000 50,000 01/09/2015 07/01/2029

13034A-M3-1 CALIFORNIA ST INFRASTRUCTURE & SERIES A 1.A FE 650,000 98.7710 642,012 650,000 650,000 0 0 0 0 1.686 1.686 AO 2,740 8,645 12/03/2020 10/01/2030

13034A-M4-9 CALIFORNIA ST INFRASTRUCTURE & SERIES A 2 1.A FE 380,000 99.0520 376,398 380,000 380,000 0 0 0 0 1.836 1.836 AO 1,744 5,504 12/03/2020 10/01/2031

167593-QL-9 CHICAGO IL O HARE INTERNATIONA 2 1.F FE 764,729 111.9840 783,888 700,000 723,577 0 (7,285) 0 0 5.000 3.801 JJ 17,500 35,000 10/08/2015 01/01/2030

260888-AJ-1 DOWNEY CA PENSN OBLIG 2 1.C FE 950,000 96.9860 921,367 950,000 950,000 0 0 0 0 1.950 1.950 JD 1,544 14,305 02/10/2021 06/01/2031

260888-AK-8 DOWNEY CA PENSN OBLIG 2 1.C FE 925,000 97.1830 898,943 925,000 925,000 0 0 0 0 2.050 2.050 JD 1,580 14,643 02/10/2021 06/01/2032

260888-AN-2 DOWNEY CA PENSN OBLIG 2 1.C FE 1,090,000 96.8720 1,055,905 1,090,000 1,090,000 0 0 0 0 2.350 2.350 JD 2,135 19,780 02/10/2021 06/01/2035

358082-HV-0 FRESNO CA 2.A FE 381,143 102.2910 358,019 350,000 355,067 0 (6,169) 0 0 6.460 2.928 JD 1,884 22,610 11/14/2017 06/01/2022

37828A-AK-5 GLENDALE AZ COPS 2 1.E FE 5,020,000 100.0270 5,021,355 5,020,000 5,020,000 0 0 0 0 2.542 2.542 JJ 59,551 0 06/24/2021 07/01/2033

37828A-AL-3 GLENDALE AZ COPS 2 1.E FE 4,000,000 100.2900 4,011,600 4,000,000 4,000,000 0 0 0 0 2.642 2.642 JJ 49,317 0 06/24/2021 07/01/2034

37828A-AM-1 GLENDALE AZ COPS 2 1.E FE 3,820,000 100.4990 3,839,062 3,820,000 3,820,000 0 0 0 0 2.742 2.742 JJ 48,881 0 06/24/2021 07/01/2035

419794-C5-9 HAWAII ST ARPTS SYS REVENUE SERIES A 2 1.E FE 1,485,636 127.2540 1,520,685 1,195,000 1,453,034 0 (27,320) 0 0 5.000 2.201 JJ 29,875 41,493 10/08/2020 07/01/2033

442349-AP-1 HOUSTON TX ARPT SYS REVENUE SERIES A 2 1.F FE 1,478,255 122.0120 1,580,055 1,295,000 1,417,995 0 (16,667) 0 0 5.000 3.361 JJ 32,375 64,750 03/02/2018 07/01/2032

45506E-BV-4 INDIANA ST FIN AUTH REVENUE SERIES B 2.B FE 295,000 99.8080 294,434 295,000 295,000 0 0 0 0 1.670 1.670 MN 630 1,204 07/01/2021 11/15/2022

45506E-BW-2 INDIANA ST FIN AUTH REVENUE SERIES B 2.B FE 290,000 99.3040 287,982 290,000 290,000 0 0 0 0 1.720 1.720 MN 637 1,219 07/01/2021 11/15/2023

45506E-BZ-5 INDIAN ST FIN AUTH REVENUE SERIES B 2.B FE 510,000 98.6270 502,998 510,000 510,000 0 0 0 0 2.520 2.520 MN 1,642 3,142 07/01/2021 11/15/2026

45528U-MC-2 INDIANAPOLIS LOCAL PUBLIC I SERIES D 2 1.F FE 537,894 107.9630 523,621 485,000 498,000 0 (6,160) 0 0 5.000 3.599 JJ 12,125 24,250 09/17/2014 01/01/2032

45528U-XM-8 INDIANAPOLIS LOCAL PUBLIC I SERIES C 2 1.C FE 1,134,435 122.9460 1,186,429 965,000 1,072,491 0 (16,144) 0 0 5.000 2.960 JJ 24,125 48,250 12/20/2017 01/01/2033

E10




3 4 5 8 9 12 13 14 15 16 17 18 19 20 21 22


Code

Foreign

BondChar


ModifierandSVO


ActualCost

Rate Used to Obtain

Fair Value

FairValue

ParValue


Value


(Decrease)


Accretion



TotalForeign

ExchangeChange

inBook/

AdjustedCarrying

ValueRate

of

EffectiveRate

ofWhenPaid


Amount Received


StatedContractual

MaturityDate

48504N-CC-1 KANSAS CITY MO INDL DEV AUTH A SERIES A 2 1.F FE 272,563 116.6590 291,648 250,000 270,042 0 (2,152) 0 0 4.000 2.891 MS 3,333 8,389 10/15/2020 03/01/2037

48504N-CD-9 KANSAS CITY MO INDL DEV AUTH A SERIES A 2 1.F FE 662,966 116.4660 710,443 610,000 657,059 0 (5,043) 0 0 4.000 2.931 MS 8,133 20,469 10/15/2020 03/01/2038

485428-ZX-7 KANSAS ST DEV FIN AUTH REV 1.D FE 2,096,569 109.1650 2,085,052 1,910,000 2,003,263 0 (19,682) 0 0 5.371 3.241 MN 17,098 102,586 01/03/2018 05/01/2026

485429-Z4-9 KANSAS ST DEV FIN AUTH REV SERIES H 1.E FE 4,034,268 115.4520 4,156,272 3,600,000 3,935,479 0 (40,841) 0 0 4.291 2.865 AO 32,612 154,476 07/09/2019 04/15/2029

492279-CP-7 KERN CNTY CA PENSN OBLG SERIES A 1.E FE 1,788,780 98.2140 2,106,690 2,145,000 2,032,188 0 63,815 0 0 0.000 3.422 MAT 0 0 10/18/2017 08/15/2023

57563N-AB-4 MASSACHUSETTS ST EDUCTNL FING 1.A FE 774,171 105.4360 824,053 781,567 775,468 0 416 0 0 3.850 3.967 MON 502 30,090 09/19/2018 05/25/2033

57563R-RZ-4 MASSACHUSETTS ST EDUCTNL FING SERIES A 2 1.C FE 1,875,000 100.5800 1,885,875 1,875,000 1,875,000 0 0 0 0 2.641 2.640 JJ 22,008 0 06/25/2021 07/01/2037

59333P-L2-2 MIAMI DADE CNTY FL AVIATION 2 1.F FE 1,670,565 111.2280 1,668,420 1,500,000 1,554,048 0 (18,379) 0 0 5.000 3.611 AO 18,750 75,000 12/03/2014 10/01/2032

59447T-MN-0 MICHIGAN ST FIN AUTH REVENUE 2 1.F FE 2,131,920 117.8380 2,356,760 2,000,000 2,113,908 0 (3,889) 0 0 5.000 4.539 MN 12,778 100,000 12/13/2016 11/15/2041

626207-5T-7 MUNI ELEC AUTH OF GEORGIA 2 1.G FE 623,980 119.3800 632,714 530,000 614,524 0 (8,469) 0 0 4.000 2.050 JJ 10,600 13,073 10/30/2020 01/01/2033

626207-5W-0 MUNI ELEC AUTH OF GEORGIA 2 1.G FE 522,677 118.5910 539,589 455,000 515,956 0 (6,018) 0 0 4.000 2.341 JJ 9,100 11,223 10/30/2020 01/01/2036

646136-7Z-8 NEW JERSEY ST TRANSPRTN TRUST SERIES A 2 2.A FE 154,209 118.1950 153,654 130,000 152,783 0 (1,426) 0 0 4.000 1.960 JD 231 3,163 04/29/2021 06/15/2035

646140-DG-5 NEW JERSEY ST TURNPIKE AUTH TU SERIES C 144A 2 1.E FE 2,851,605 103.6030 2,797,281 2,700,000 2,811,098 0 (30,343) 0 0 3.223 2.000 JJ 43,511 90,163 08/21/2020 01/01/2035

647200-V3-5 NEW MEXICO MTG FIN AUT 2 1.B FE 37,058 102.1540 35,754 35,000 35,263 0 (219) 0 0 3.750 3.088 MS 438 1,313 09/18/2012 03/01/2043

64990G-H2-1 NEW YORK ST DORM AUTH REVENUES SERIES A 2 1.D FE 224,046 125.5980 232,356 185,000 217,337 0 (4,383) 0 0 5.000 2.199 AO 2,313 11,922 05/15/2020 10/01/2033

717817-UE-8 PHILADELPHIA PA ARPT REV SERIES B 2 1.F FE 1,169,619 120.0400 1,206,402 1,005,000 1,105,676 0 (16,593) 0 0 5.000 3.010 JJ 25,125 50,250 12/15/2017 07/01/2032

762232-BT-2 RHODE ISLAND COMMERCE CORP REV SERIES A 2 1.F FE 1,928,441 129.7550 2,024,178 1,560,000 1,875,108 0 (33,716) 0 0 5.000 2.330 MN 9,967 78,000 05/06/2020 05/15/2032

786091-AF-5 SACRAMENTO CNTY CA PENSN OBGL 1.F FE 2,738,750 113.3240 2,833,100 2,500,000 2,567,994 0 (23,883) 0 0 6.625 5.481 FA 69,010 165,625 03/27/2013 08/01/2024

798136-YC-5 SAN JOSE CA APRT REVENUE SERIES C 2 1.F FE 555,000 102.3870 568,248 555,000 555,000 0 0 0 0 2.710 2.710 MS 5,014 6,016 03/25/2021 03/01/2033

837151-XJ-3 SOUTH CAROLINA ST PUBLIC SVC A SERIES B 1.F FE 3,715,000 102.1520 3,794,947 3,715,000 3,715,000 0 0 0 0 2.429 2.429 JD 7,520 90,237 10/28/2020 12/01/2029

837151-XL-8 SOUTH CAROLINA ST PUBLIC SVC A SERIES B 1.F FE 2,770,000 102.1370 2,829,195 2,770,000 2,770,000 0 0 0 0 2.579 2.579 JD 5,953 71,438 10/28/2020 12/01/2031

87638Q-QY-8 TARRANT CNTY TX CULTURAL EDU F 1.F FE 315,000 100.2880 315,907 315,000 315,000 0 0 0 0 1.824 1.824 MS 1,915 3,751 12/11/2020 09/01/2027

88283K-BK-3 TEXAS ST TRANSPRTN COMMISSION SERIES B 1.F FE 220,000 100.6450 221,419 220,000 220,000 0 0 0 0 1.980 1.980 FA 1,646 4,356 02/21/2020 08/15/2042

916856-HB-6 UPTOWN DEV AUTH TX INCR CONTRA SERIES B 1.F FE 295,000 102.8410 303,381 295,000 295,000 0 0 0 0 2.581 2.581 MS 2,538 3,913 02/04/2021 09/01/2031

92778V-KH-0 VIRGINIA ST CLG BLDG AUTH EDUC SERIES B 2 1.B FE 3,720,000 97.6630 3,633,064 3,720,000 3,720,000 0 0 0 0 2.065 2.065 FA 32,008 75,751 07/17/2020 02/01/2033

958644-AB-2 WSTERN MI UNIV HOMER STRYKER M 1.C FE 661,543 116.3740 669,151 575,000 645,778 0 (8,588) 0 0 4.750 2.600 MN 3,490 27,313 02/07/2020 11/15/2028

976595-GA-0 WISCONSIN CENTER DIST WI TAX R SERIES D 1.E FE 310,495 86.4970 337,338 390,000 318,000 0 7,212 0 0 0.000 2.846 MAT 0 0 10/30/2020 12/15/2029

97689Q-BZ-8 WISCONSIN ST HSG & ECON DEV AU SERIES A 2 1.C FE 667,250 104.2290 651,431 625,000 657,072 0 (1,766) 0 0 4.000 3.529 MS 8,333 25,000 09/04/2015 09/01/2045

2599999. Subtotal - Bonds - U.S. Special Revenues - Issuer Obligations 78,572,430 XXX 79,943,442 75,511,567 77,671,988 0 (265,677) 0 0 XXX XXX XXX 723,820 1,917,837 XXX XXX

30291R-AA-3

FREMF MTG TR 2013-K34 CLASS B SERIES 2013-K34

CLASS B 144A 4 1.A 4,711,016 103.5910 4,868,761 4,700,000 4,695,590 0 (4,425) 0 0 3.728 3.654 MON 14,602 177,779 05/07/2018 09/25/2046

2799999. Subtotal - Bonds - U.S. Special Revenues - Commercial Mortgage-Backed Securities 4,711,016 XXX 4,868,761 4,700,000 4,695,590 0 (4,425) 0 0 XXX XXX XXX 14,602 177,779 XXX XXX

3199999. Total - U.S. Special Revenues Bonds 83,283,446 XXX 84,812,203 80,211,567 82,367,578 0 (270,102) 0 0 XXX XXX XXX 738,422 2,095,616 XXX XXX00109L-AA-1 ADT SEC CORP SERIES 144A 1 3.C FE 390,000 98.5000 384,150 390,000 384,150 (5,850) 0 0 0 4.125 4.125 FA 6,793 0 07/15/2021 08/01/2029

00164V-AF-0 AMC NETWORKS INC 1 3.C FE 562,643 99.3750 556,500 560,000 556,500 (5,919) (224) 0 0 4.250 4.135 FA 8,991 12,363 07/15/2021 02/15/2029

00206R-GL-0 AT&T INC SERIES WI LS 1 2.B FE 3,359,300 111.1270 3,889,429 3,500,000 3,399,682 0 13,873 0 0 4.100 4.643 FA 54,211 143,500 12/17/2018 02/15/2028

00253X-AB-7 AMERICAN AIRLINES AADVAN SERIES 144A 3.B FE 748,436 106.7590 736,637 690,000 736,637 (8,150) (3,649) 0 0 5.750 4.247 JAJO 7,825 22,703 07/15/2021 04/20/2029

00287Y-BX-6 ABBVIE INC SERIES WI 1 2.B FE 2,069,527 106.9190 2,213,228 2,070,000 2,069,584 0 46 0 0 3.200 3.203 MN 7,360 66,240 11/17/2020 11/21/2029

019736-AE-7 ALLISON TRANSMISSION INC SERIES 144A 1 3.B FE 543,472 104.1500 541,580 520,000 539,488 0 (3,983) 0 0 4.750 2.818 AO 6,175 12,350 07/30/2021 10/01/2027

02005N-BF-6 ALLY FINANCIAL INC 2 3.A FE 229,248 112.7830 225,566 200,000 225,566 (717) (2,965) 0 0 5.750 2.136 MN 1,310 5,750 07/15/2021 11/20/2025

026874-DN-4 AMERICAN INTL GROUP LS 1 2.B FE 2,576,188 114.2650 2,685,229 2,350,000 2,526,542 0 (22,461) 0 0 4.250 3.044 MS 29,408 99,875 09/26/2019 03/15/2029

032177-AJ-6 AMSTED INDUSTRIES SERIES 144A 1 3.C FE 371,808 102.5000 369,000 360,000 369,000 (2,142) (666) 0 0 4.625 4.069 MN 2,128 8,325 07/15/2021 05/15/2030

035240-AR-1 ANHEUSER BUSCH INBEV WOR LS 1 2.A FE 1,494,615 120.0850 1,801,273 1,500,000 1,495,658 0 372 0 0 4.900 4.940 JJ 32,258 73,500 01/10/2019 01/23/2031

03690A-AH-9 ANTERO RESOURCES MIDSTRE SERIES 144A 1 3.C FE 186,750 105.5020 189,903 180,000 186,201 0 (549) 0 0 5.375 4.513 JD 430 5,026 07/15/2021 06/15/2029

037389-BC-6 AON CORP 1 2.A FE 1,402,846 109.6210 1,414,109 1,290,000 1,377,593 0 (11,075) 0 0 3.750 2.691 MN 7,928 48,375 09/03/2019 05/02/2029

039524-AA-1 ARCHES BUYER INC SERIES 144A 1 4.B FE 88,659 99.9480 89,953 90,000 88,666 0 7 0 0 4.250 4.518 JD 319 0 12/14/2021 06/01/2028

03969Y-AA-6 ARDAGH METAL PACKAGING SERIES 144A 1 3.B FE 378,928 98.8780 375,735 380,000 375,735 (3,288) 94 0 0 3.250 3.294 MN 1,578 8,336 07/15/2021 09/01/2028

049362-AA-4 ATLAS LUXCO 4 ALL UNI SERIES 144A 1 4.B FE 360,893 98.1490 353,335 360,000 353,335 (7,510) (48) 0 0 4.625 4.566 JD 1,388 9,111 07/14/2021 06/01/2028

05329W-AN-2 AUTONATION INC 1 2.C FE 1,997,520 104.8680 2,097,350 2,000,000 1,998,915 0 353 0 0 3.500 3.520 MN 8,944 70,000 11/07/2017 11/15/2024

05351W-AC-7 AVANGRID INC 1 2.B FE 1,058,633 105.0900 1,113,959 1,060,000 1,059,082 0 260 0 0 3.200 3.228 AO 7,161 33,920 04/07/2020 04/15/2025

053807-AR-4 AVNET INC 2.C FE 981,217 103.5630 983,845 950,000 953,559 0 (3,725) 0 0 4.875 4.453 JD 3,859 46,313 03/18/2013 12/01/2022

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054561-AJ-4 AXA EQUITABLE HOLDINGS I SERIES WI LS 1 2.B FE 6,833,666 112.1010 7,320,220 6,530,000 6,755,909 0 (32,692) 0 0 4.350 3.707 AO 56,022 284,055 07/17/2019 04/20/2028

058498-AX-4 BALL CORP 1 3.A FE 640,000 98.7500 632,000 640,000 632,000 (8,000) 0 0 0 3.125 3.124 MS 5,944 0 09/09/2021 09/15/2031

06051G-FP-9 BANK OF AMERICA CORP 2.A FE 1,004,290 106.8900 1,068,901 1,000,000 1,001,933 0 (538) 0 0 3.950 3.887 AO 7,681 39,500 04/12/2017 04/21/2025

08580B-AA-4 BERRY PETROLEUM CO LLC SERIES 144A 1 4.C FE 377,393 99.0000 366,300 370,000 366,300 (11,093) 0 0 0 7.000 6.146 FA 9,784 12,950 07/15/2021 02/15/2026

09256B-AJ-6 BLACKSTONE HOLDINGS FINA SERIES 144A 1 1.E FE 560,576 105.4600 574,755 545,000 556,350 0 (1,882) 0 0 3.150 2.740 AO 4,244 17,168 09/20/2019 10/02/2027

095796-AE-8 BLUE RACER MID LLC FINAM SERIES 144A 1 4.A FE 377,017 103.0000 370,800 360,000 370,800 (3,808) (2,409) 0 0 6.625 4.904 JJ 10,998 0 07/15/2021 07/15/2026

09739D-AD-2 BOISE CASCADE COMPANY SERIES 144A 1 3.C FE 223,564 105.5000 221,550 210,000 221,550 (1,116) (898) 0 0 4.875 3.682 JJ 5,119 0 07/15/2021 07/01/2030

09951L-AB-9 BOOZ ALLEN HAMILTON INC SERIES 144A 1 3.C FE 379,117 103.2890 382,167 370,000 378,364 0 (753) 0 0 4.000 3.453 JJ 7,976 0 07/15/2021 07/01/2029

100743-AK-9 BOSTON GAS CO SERIES 144A 1 2.A FE 244,770 103.7490 254,184 245,000 244,862 0 22 0 0 3.150 3.161 FA 3,216 7,718 07/31/2017 08/01/2027

11120V-AK-9 BRIXMOR OPERATING PART 1 2.C FE 210,224 99.4680 208,882 210,000 210,201 0 (23) 0 0 2.250 2.233 AO 1,181 2,704 03/02/2021 04/01/2028

11134L-AH-2 BROADCOM CRP CAYMN FI SERIES WI 1 2.C FE 961,113 108.4290 1,046,341 965,000 962,655 0 413 0 0 3.875 3.929 JJ 17,243 37,394 02/14/2018 01/15/2027

11135F-BC-4 BROADCOM INC SERIES WI 1 2.C FE 2,489,778 109.3330 2,722,399 2,490,000 2,489,968 0 9 0 0 4.700 4.700 AO 24,706 117,030 08/07/2020 04/15/2025

12008R-AP-2 BUILDERS FIRSTSOURCE INC SERIES 144A 1 3.C FE 170,000 103.5200 175,984 170,000 170,000 0 0 0 0 4.250 4.250 FA 3,171 0 07/21/2021 02/01/2032

12116L-AA-7 BURFORD CAPITAL GLBL FIN SERIES 144A 1 3.C FE 451,883 106.2500 456,875 430,000 450,059 0 (1,824) 0 0 6.250 5.027 AO 5,674 14,184 07/15/2021 04/15/2028

1248EP-CN-1 CCO HLDGS LLC CAP CORP 1 3.B FE 1,457,820 102.8750 1,440,250 1,400,000 1,440,250 (14,682) (2,888) 0 0 4.500 3.871 MN 10,500 31,500 07/15/2021 05/01/2032

1248EP-CP-6 CCO HLDGS LLC CAP CORP SERIES 144A 2 3.B FE 20,093 98.3830 19,677 20,000 19,677 (413) (4) 0 0 4.250 4.190 JJ 319 0 08/04/2021 01/15/2034

12508E-AJ-0 CDK GLOBAL INC SERIES 144A 1 3.A FE 295,958 106.0000 286,200 270,000 286,200 (6,845) (2,913) 0 0 5.250 2.597 MS 4,174 7,088 07/15/2021 05/15/2029

12513G-BF-5 CDW LLC CDW FINANCE 1 2.C FE 450,405 100.8930 454,019 450,000 450,363 0 (42) 0 0 3.250 3.223 FA 5,525 7,313 07/15/2021 02/15/2029

12527G-AH-6 CF INDUSTRIES INC. SERIES 144A 2.C FE 1,275,674 111.4620 1,304,109 1,170,000 1,244,805 0 (13,885) 0 0 4.500 3.088 JD 4,388 52,650 09/20/2019 12/01/2026

125581-GX-0 CIT GROUP INC 3.A FE 564,208 120.7500 555,450 460,000 555,450 (2,212) (6,546) 0 0 6.125 2.411 MS 8,766 14,088 07/15/2021 03/09/2028

126307-BH-9 CSC HOLDINGS LLC SERIES 144A 1 3.C FE 1,114,960 98.7500 1,086,250 1,100,000 1,086,250 (28,070) (640) 0 0 4.550 4.353 MN 6,395 25,025 07/13/2021 11/15/2031

14448C-AP-9 CARRIER GLOBAL CORP SERIES WI 1 2.C FE 565,000 102.7330 580,439 565,000 565,000 0 0 0 0 2.493 2.493 FA 5,321 14,085 12/08/2020 02/15/2027

15135B-AV-3 CENTENE CORP SERIES WI 1 3.A FE 892,483 101.8390 865,632 850,000 865,632 (23,387) (3,465) 0 0 3.375 2.365 FA 10,838 14,344 07/14/2021 02/15/2030

156504-AM-4 CENTURY COMMUNITIES SERIES 144A 1 3.C FE 260,000 100.7500 261,950 260,000 260,000 0 0 0 0 3.875 3.875 FA 3,582 0 08/03/2021 08/15/2029

156700-BD-7 LUMEN TECHNOLOGIES INC SERIES 144A 1 3.C FE 376,162 96.7500 367,650 380,000 367,650 (8,709) 197 0 0 4.500 4.661 JJ 7,885 0 07/15/2021 01/15/2029

15723R-AC-8 CFX ESCROW CORP SERIES 144A 1 3.B FE 127,188 103.3750 124,050 120,000 124,050 (494) (2,644) 0 0 6.375 1.395 FA 2,890 3,825 07/15/2021 02/15/2026

16411Q-AK-7 CHENIERE ENERGY PARTNERS SERIES WI 1 3.B FE 749,066 104.8950 744,755 710,000 744,755 (3,847) (465) 0 0 4.000 3.054 MS 9,467 0 11/30/2021 03/01/2031

16411Q-AL-5 CHENIERE ENERGY PARTNERS SERIES 144A 1 3.B FE 250,826 101.0000 252,500 250,000 250,600 (202) (24) 0 0 3.250 3.204 JJ 2,122 0 09/13/2021 01/31/2032

18551P-AE-9 CLECO CORPORATE HOLDINGS SERIES WI 1 2.C FE 834,545 101.7030 849,223 835,000 834,632 0 41 0 0 3.375 3.382 MS 8,298 28,181 07/10/2020 09/15/2029

19240C-AC-7 COGENT COMMUNICATIONS GR SERIES 144A 1 3.C FE 377,659 101.5680 375,802 370,000 375,802 (1,149) (709) 0 0 3.500 3.006 MN 2,158 6,259 07/15/2021 05/01/2026

197677-AJ-6 HCA INC 3.A FE 466,311 122.5000 453,250 370,000 453,250 (6,841) (6,220) 0 0 7.050 2.585 JD 2,174 13,043 07/19/2021 12/01/2027

20030N-CR-0 COMCAST CORP 1 1.G FE 4,279,743 106.2410 4,547,134 4,280,000 4,279,906 0 39 0 0 3.700 3.701 AO 33,432 158,360 10/02/2018 04/15/2024

205887-CC-4 CONAGRA BRANDS INC 1 2.C FE 3,274,814 115.3540 3,777,830 3,275,000 3,274,900 0 12 0 0 4.850 4.851 MN 26,473 158,838 10/16/2018 11/01/2028

212015-AT-8 CONTINENTAL RESOURCES SERIES 144A 2.C FE 743,988 117.7620 730,124 620,000 738,931 0 (5,056) 0 0 5.750 3.280 JJ 16,439 0 07/15/2021 01/15/2031

21871N-AB-7 CORECIVIC INC 1 3.C FE 204,500 104.5000 209,000 200,000 204,223 0 (277) 0 0 8.250 7.513 AO 3,483 8,296 09/22/2021 04/15/2026

224044-CG-0 COX COMMUNICATIONS INC SERIES 144A 1 2.B FE 1,429,857 106.1420 1,541,180 1,452,000 1,439,461 0 2,408 0 0 3.350 3.551 MS 14,322 48,642 10/17/2017 09/15/2026

224044-CJ-4 COX COMMUNICATIONS INC SERIES 144A LS 1 2.B FE 3,613,964 107.4190 3,918,651 3,648,000 3,627,168 0 3,286 0 0 3.500 3.613 FA 48,235 127,680 10/18/2017 08/15/2027

22788C-AA-3 CROWDSTRIKE HOLDINGS INC 1 3.C FE 304,428 98.7500 296,250 300,000 296,250 (7,769) (409) 0 0 3.000 2.655 FA 3,400 5,125 07/15/2021 02/15/2029

228701-AG-3 CROWNROCK LP CROWNROCK F SERIES 144A 1 3.C FE 375,260 103.7500 373,500 360,000 373,500 (724) (1,037) 0 0 5.000 4.166 MN 3,000 9,550 07/15/2021 05/01/2029

23311R-AA-4 DCP MIDSTREAM SERIES 144A 3.A FE 370,440 133.7650 401,295 300,000 370,440 0 0 0 0 6.750 4.664 MS 5,963 10,125 07/19/2021 09/15/2037

23311V-AD-9 DCP MIDSTREAM OPERATING LS 1 3.A FE 327,323 102.4480 338,078 330,000 329,095 0 0 0 0 3.875 3.974 MS 3,765 12,788 03/21/2013 03/15/2023

23311V-AK-3 DCP MIDSTREAM OPERATING 1 3.A FE 180,000 100.7500 181,350 180,000 180,000 0 0 0 0 3.250 3.250 FA 683 0 11/04/2021 02/15/2032

247361-ZZ-4 DELTA AIR LINES INC 1 3.A FE 447,990 117.7300 447,373 380,000 441,450 0 (6,540) 0 0 7.375 3.008 JJ 12,923 0 07/15/2021 01/15/2026

25461L-AA-0 DIRECTV HOLDINGS FING SERIES 144A 1 3.B FE 331,925 102.3710 337,824 330,000 331,907 0 (18) 0 0 5.875 5.730 FA 8,024 0 12/06/2021 08/15/2027

25466A-AJ-0 DISCOVER BANK 2 2.B FE 249,728 105.7780 264,445 250,000 249,864 0 27 0 0 3.450 3.463 JJ 3,690 8,625 07/21/2016 07/27/2026

25470D-AL-3 DISCOVERY COMMUNICATIONS LS 2 2.C FE 2,293,284 111.4500 2,341,559 2,101,000 2,240,859 0 (32,826) 0 0 4.900 3.095 MS 31,457 102,949 05/18/2020 03/11/2026

25470D-AR-0 DISCOVERY COMMUNICATIONS 1 2.C FE 333,804 108.6790 364,076 335,000 334,232 0 107 0 0 3.950 3.992 MS 3,712 13,233 09/07/2017 03/20/2028

25470X-BD-6 DISH DBS CORP SERIES WI 4.C FE 887,138 91.0000 819,000 900,000 819,000 (68,680) 541 0 0 5.125 5.351 JD 3,844 23,959 08/30/2021 06/01/2029

25470X-BF-1 DISH DBS CORP SERIES 144A 2 4.A FE 60,000 101.0000 60,600 60,000 60,000 0 0 0 0 5.750 5.750 JD 335 0 11/10/2021 12/01/2028

25525P-AB-3 DIVERSIFIED HEALTHCARE T 3.C FE 754,292 96.0420 739,520 770,000 739,520 (15,409) 637 0 0 4.375 4.640 MS 11,229 18,996 07/15/2021 03/01/2031

26884L-AL-3 EQT CORP 3.A FE 753,951 110.7500 742,025 670,000 742,025 (7,437) (4,489) 0 0 5.000 3.111 JJ 15,447 0 07/16/2021 01/15/2029

26884U-AG-4 EPR PROPERTIES 1 2.C FE 2,874,339 98.9340 2,859,200 2,890,000 2,874,551 0 212 0 0 3.600 3.665 MN 18,496 0 10/13/2021 11/15/2031

26885B-AE-0 EQM MIDSTREAM PARTNERS L SERIES 30Y 1 3.C FE 372,198 121.5010 413,102 340,000 371,964 0 (234) 0 0 6.500 5.796 JJ 10,191 0 07/15/2021 07/15/2048

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26885B-AH-3 EQM MIDSTREAM PARTNERS L SERIES 144A 3.C FE 375,606 112.0000 369,600 330,000 369,600 (2,918) (3,088) 0 0 6.500 3.876 JJ 10,725 0 07/15/2021 07/01/2027

28035Q-AB-8 EDGEWELL PERSONAL CARE SERIES 144A 1 3.C FE 445,584 100.7500 443,300 440,000 443,300 (1,817) (467) 0 0 4.125 3.826 AO 4,538 10,235 07/15/2021 04/01/2029

29078E-AA-3 EMBARQ CORP 3.B FE 374,484 112.0000 369,600 330,000 369,600 (4,884) 0 0 0 7.995 6.560 JD 2,199 13,192 07/15/2021 06/01/2036

29260F-AF-7 ENDEAVOR ENERGY RESOURCE SERIES 144A 1 3.B FE 446,153 105.8030 444,373 420,000 440,633 0 (5,520) 0 0 6.625 3.485 JJ 12,830 0 07/15/2021 07/15/2025

29273R-AP-4 ENERGY TRANSFER PARTNERS 1 2.C FE 776,381 122.3560 1,223,557 1,000,000 776,381 0 0 0 0 6.050 8.224 JD 5,042 60,500 03/28/2018 06/01/2041

29273R-AS-8 ENERGY TRANSFER PARTNERS 1 2.C FE 2,007,780 101.9400 2,038,798 2,000,000 2,001,347 0 (1,475) 0 0 3.600 3.522 FA 30,000 72,000 04/12/2017 02/01/2023

29273R-BG-3 ENERGY TRANSFER PARTNERS 1 2.C FE 603,583 109.3860 820,394 750,000 603,583 0 0 0 0 4.750 7.792 JJ 16,427 35,625 12/16/2016 01/15/2026

29362U-AD-6 ENTEGRIS INC SERIES 144A 1 3.B FE 204,060 100.2500 200,500 200,000 200,500 (3,277) (283) 0 0 3.625 3.237 MN 1,208 3,645 07/15/2021 05/01/2029

294429-AJ-4 EQUIFAX INC 1 2.B FE 321,612 101.7680 330,745 325,000 324,319 0 689 0 0 3.300 3.525 JD 477 10,725 11/13/2017 12/15/2022

30034W-AB-2 EVERGY INC 1 2.B FE 1,302,742 102.3570 1,335,754 1,305,000 1,303,211 0 204 0 0 2.900 2.920 MS 11,143 37,845 09/05/2019 09/15/2029

303250-AE-4 FAIR ISAAC CORP SERIES 144A 1 3.B FE 226,560 109.9140 219,827 200,000 219,827 (4,237) (2,496) 0 0 5.250 2.181 MN 1,342 5,250 07/15/2021 05/15/2026

303250-AF-1 FAIR ISAAC CORP SERIES 144A 1 3.B FE 219,450 102.7930 226,145 220,000 219,453 0 3 0 0 4.000 4.044 JD 391 0 12/14/2021 06/15/2028

31944T-AA-8 FIRSTCASH INC SERIES 144A 1 3.B FE 150,000 101.9180 152,877 150,000 150,000 0 0 0 0 5.625 5.625 JJ 422 0 12/09/2021 01/01/2030

33767D-AB-1 FIRSTCASH INC SERIES 144A 1 3.B FE 302,630 99.9410 289,827 290,000 289,827 (11,514) (1,288) 0 0 4.625 3.479 MS 4,471 7,431 07/15/2021 09/01/2028

337932-AJ-6 FIRSTENERGY CORP SERIES C 1 3.A FE 304,930 118.8750 297,189 250,000 297,189 (7,191) (550) 0 0 5.600 4.189 JJ 6,456 0 07/15/2021 07/15/2047

344849-AA-2 FOOT LOCKER INC SERIES 144A 1 3.B FE 169,150 100.1680 170,285 170,000 169,170 0 20 0 0 4.000 4.074 AO 1,624 0 10/07/2021 10/01/2029

345370-DA-5 FORD MOTOR COMPANY 1 3.A FE 170,102 102.4000 174,080 170,000 170,100 0 (2) 0 0 3.250 3.243 FA 752 0 11/08/2021 02/12/2032

345397-B6-9 FORD MOTOR CREDI 1 3.A FE 1,898,525 105.2690 1,947,467 1,850,000 1,896,570 0 (1,955) 0 0 3.625 3.306 JD 2,608 32,041 07/15/2021 06/17/2031

35137L-AH-8 FOX CORP SERIES WI 1 2.B FE 450,000 114.1400 513,629 450,000 450,000 0 0 0 0 4.709 4.708 JJ 9,183 21,191 03/30/2020 01/25/2029

35671D-BC-8 FREEPORT MCMORAN C&G 1 3.A FE 1,141,002 125.7090 1,131,381 900,000 1,131,381 (6,209) (3,412) 0 0 5.450 3.626 MS 14,443 24,525 07/15/2021 03/15/2043

361448-BF-9 GATX CORP 1 2.B FE 1,606,571 111.3240 1,792,321 1,610,000 1,607,127 0 279 0 0 4.000 4.025 JD 179 64,400 05/08/2020 06/30/2030

361841-AR-0 GLP CAPITAL LP FIN II LS 1 2.C FE 755,258 100.5390 764,096 760,000 755,269 0 11 0 0 3.250 3.323 JJ 1,235 0 12/07/2021 01/15/2032

364760-AQ-1 GAP INC THE SERIES 144A 1 3.C FE 210,000 98.6250 207,113 210,000 207,113 (2,888) 0 0 0 3.875 3.875 AO 2,125 0 09/13/2021 10/01/2031

366651-AG-2 GARTNER INC SERIES 144A 1 3.C FE 612,180 101.1050 606,630 600,000 606,630 (4,500) (1,050) 0 0 3.625 3.175 JD 967 10,694 07/14/2021 06/15/2029

37255J-AA-0 GENTING NY LLC GENNY CAP SERIES 144A LS 1 3.A FE 1,359,767 99.0300 1,346,813 1,360,000 1,346,813 (12,993) 38 0 0 3.300 3.303 FA 16,955 23,063 01/27/2021 02/15/2026

377320-AA-4 GLATFELTER SERIES 144A 1 3.B FE 200,000 103.1250 206,250 200,000 200,000 0 0 0 0 4.750 4.747 MN 1,742 0 10/14/2021 11/15/2029

38141G-VR-2 GOLDMAN SACHS GROUP INC 2.B FE 1,026,150 109.0550 1,090,554 1,000,000 1,012,757 0 (3,054) 0 0 4.250 3.886 AO 8,264 42,500 04/12/2017 10/21/2025

38869A-AB-3 GRAPHIC PACKAGING INTERN SERIES 144A 3.B FE 569,520 99.7500 558,600 560,000 558,600 (10,340) (580) 0 0 3.500 3.214 MS 5,771 9,800 07/13/2021 03/15/2028

38937L-AA-9 GRAY OAK PIPELINE LLC SERIES 144A 2.C FE 100,341 101.0690 101,069 100,000 100,196 0 (112) 0 0 2.000 1.883 MS 589 2,000 09/11/2020 09/15/2023

40414L-AR-0 HCP INC 1 2.A FE 1,243,776 108.4340 1,301,206 1,200,000 1,234,429 0 (4,162) 0 0 3.500 3.057 JJ 19,367 42,000 09/11/2019 07/15/2029

410345-AL-6 HANESBRANDS INC SERIES 144A 1 3.C FE 747,774 106.8750 737,438 690,000 737,438 (4,997) (5,340) 0 0 4.875 2.904 MN 4,298 16,819 07/15/2021 05/15/2026

428102-AE-7 HESS MIDSTREAM OPERATION SERIES 144A 1 3.A FE 170,000 99.2500 168,725 170,000 168,725 (1,275) 0 0 0 4.250 4.250 FA 2,930 0 08/02/2021 02/15/2030

432833-AN-1 HILTON DOMESTIC OPERATIN SERIES 144A 1 3.B FE 349,125 99.4740 348,159 350,000 348,159 (1,007) 41 0 0 3.625 3.653 FA 4,793 6,802 07/13/2021 02/15/2032

436440-AM-3 HOLOGIC INC SERIES 144A 1 3.B FE 370,689 105.0000 367,500 350,000 367,034 0 (3,655) 0 0 4.625 2.175 FA 6,745 8,094 07/15/2021 02/01/2028

44107T-AX-4 HOST HOTELS & RESORTS LP 1 2.C FE 547,663 104.4970 574,734 550,000 549,209 0 340 0 0 3.875 3.944 MN 2,723 21,313 03/09/2017 04/01/2024

44267D-AD-9 HOWARD HUGHES CORP SERIES 144A 1 3.C FE 212,422 106.5050 213,009 200,000 210,905 0 (1,517) 0 0 5.375 3.471 FA 4,479 5,375 07/15/2021 08/01/2028

442851-BA-8 HOWARD UNIVERSITY 1 2.C FE 685,000 105.3050 721,338 685,000 685,000 0 0 0 0 3.990 3.990 AO 6,833 14,805 03/09/2021 10/01/2033

442851-BB-6 HOWARD UNIVERSITY 1 2.C FE 140,000 105.9570 148,340 140,000 140,000 0 0 0 0 4.040 4.040 AO 1,414 3,064 03/09/2021 10/01/2034

46284V-AF-8 IRON MOUNTAIN INC SERIES 144A 1 3.C FE 303,871 103.4980 300,144 290,000 300,144 (2,812) (915) 0 0 4.875 3.974 MS 4,163 7,069 07/15/2021 09/15/2029

46285M-AA-8 IRON MOUNTAIN INFOO MGMT SERIES 144A 1 3.C FE 160,000 102.3470 163,755 160,000 160,000 0 0 0 0 5.000 5.001 MN 67 0 12/13/2021 07/15/2032

46625H-JY-7 JPMORGAN CHASE & CO 1.G FE 1,044,488 106.0670 1,113,704 1,050,000 1,048,300 0 588 0 0 3.875 3.939 MS 12,545 40,688 09/03/2014 09/10/2024

47077W-AA-6 JANE STREET GRP JSG FIN SERIES 144A 1 3.C FE 230,000 101.0000 232,300 230,000 230,000 0 0 0 0 4.500 4.500 MN 1,495 0 11/02/2021 11/15/2029

489399-AM-7 KENNEDY WILSON INC 1 4.A FE 185,980 103.0000 185,400 180,000 185,400 (285) (295) 0 0 5.000 4.480 MS 3,000 5,000 07/14/2021 03/01/2031

50050N-AA-1 KONTOOR BRANDS INC SERIES 144A 1 3.C FE 170,000 100.0000 170,000 170,000 170,000 0 0 0 0 4.125 4.125 MN 838 0 11/10/2021 11/15/2029

50077L-AM-8 KRAFT HEINZ FOODS CO 1 3.A FE 629,375 127.1470 635,737 500,000 627,732 0 (1,643) 0 0 5.200 3.565 JJ 11,989 0 07/13/2021 07/15/2045

50077L-AT-3 KRAFT HEINZ FOODS CO 1 3.A FE 231,824 114.6250 229,250 200,000 229,250 (901) (1,673) 0 0 4.625 2.233 JJ 3,880 0 07/30/2021 01/30/2029

501797-AW-4 L BRANDS INC SERIES 144A 1 3.B FE 560,477 113.2500 543,600 480,000 543,600 (10,360) (6,516) 0 0 6.625 3.082 AO 7,950 15,900 07/15/2021 10/01/2030

50212Y-AF-1 LPL HOLDINGS INC SERIES 144A 1 3.B FE 224,050 102.2890 225,035 220,000 223,860 0 (191) 0 0 4.375 4.097 MN 1,230 4,732 07/15/2021 05/15/2031

505742-AM-8 LADDER CAP FIN LLLP CORP SERIES 144A 1 3.B FE 752,993 100.6530 754,898 750,000 752,643 0 (349) 0 0 4.250 4.127 FA 13,281 15,938 07/15/2021 02/01/2027

513272-AC-8 LAMB WESTON HLD SERIES 144A 1 3.C FE 557,720 108.2500 541,250 500,000 541,250 (12,622) (3,848) 0 0 4.875 2.868 MN 3,115 12,188 07/13/2021 05/15/2028

521088-AC-8 LD HOLDINGS GROUP LLC SERIES 144A 1 4.B FE 224,396 94.2500 207,350 220,000 207,350 (16,688) (358) 0 0 6.125 5.633 AO 3,369 6,925 07/14/2021 04/01/2028

52532X-AH-8 LEIDOS INC SERIES WI 1 2.C FE 1,572,812 96.2780 1,521,192 1,580,000 1,573,184 0 372 0 0 2.300 2.353 FA 13,728 18,170 06/18/2021 02/15/2031

527298-BT-9 LEVEL 3 FINANCING INC SERIES 144A 1 3.B FE 225,306 95.0000 218,500 230,000 218,500 (7,033) 227 0 0 3.750 4.052 JJ 3,977 0 07/15/2021 07/15/2029

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53079E-BE-3 LIBERTY MUTUAL SERIES 144A 2.B FE 104,333 104.4470 109,670 105,000 104,884 0 75 0 0 4.250 4.329 JD 198 4,463 06/13/2013 06/15/2023

53079E-BG-8 LIBERTY MUTUAL SERIES 144A 2.B FE 370,463 114.9100 425,168 370,000 370,349 0 (41) 0 0 4.569 4.553 FA 7,044 16,905 01/23/2019 02/01/2029

536797-AG-8 LITHIA MOTORS INC SERIES 144A 1 3.B FE 220,038 102.0900 214,389 210,000 214,389 (4,748) (901) 0 0 3.875 2.782 JD 678 4,159 07/15/2021 06/01/2029

541056-AA-5 LOGAN MERGER SUB INC SERIES 144A 1 4.B FE 70,963 101.2000 70,840 70,000 70,840 (75) (47) 0 0 5.500 5.104 MS 1,283 0 10/07/2021 09/01/2027

55336V-AG-5 MPLX LP SERIES WI 1 2.B FE 2,075,524 108.5400 2,197,926 2,025,000 2,044,481 0 (6,778) 0 0 4.875 4.486 JD 8,227 98,719 12/21/2016 12/01/2024

55342U-AM-6 MPT OPER PARTNERSP FINL 1 3.A FE 1,130,420 101.1250 1,112,375 1,100,000 1,112,375 (16,181) (1,863) 0 0 3.500 3.038 MS 11,336 19,250 07/15/2021 03/15/2031

55354G-AH-3 MSCI INC SERIES 144A 1 3.A FE 562,913 104.5000 553,850 530,000 553,850 (6,162) (2,901) 0 0 4.000 2.615 MN 2,709 10,600 07/15/2021 11/15/2029

55354G-AQ-3 MSCI INC SERIES 144A 1 3.A FE 230,000 101.1250 232,588 230,000 230,000 0 0 0 0 3.250 3.250 FA 2,782 0 08/03/2021 08/15/2033

55916A-AA-2 MAGIC MERGERCO INC SERIES 144A 1 4.B FE 185,621 100.0440 180,079 180,000 180,079 (5,006) (536) 0 0 5.250 4.440 MN 1,575 5,145 07/14/2021 05/01/2028

57667J-AA-0 MATCH GROUP HLD II LLC SERIES 144A 1 3.C FE 168,613 97.1250 165,113 170,000 165,113 (3,526) 26 0 0 3.625 3.724 AO 1,489 0 10/08/2021 10/01/2031

588056-BB-6 MERCER INTL INC SERIES WI 1 4.A FE 266,820 102.1370 265,556 260,000 265,556 (650) (614) 0 0 5.125 4.479 FA 5,552 6,848 07/15/2021 02/01/2029

59523U-AP-2 MID AMERICA APARTMENTS 1 2.A FE 1,510,926 112.5880 1,711,340 1,520,000 1,513,803 0 818 0 0 4.200 4.273 JD 2,837 63,840 05/07/2018 06/15/2028

59567L-AA-2 MIDCAP FINANCIAL ISSR TR SERIES 144A 1 4.A FE 262,183 104.2500 260,625 250,000 260,625 (542) (1,015) 0 0 6.500 5.332 MN 2,708 8,215 07/14/2021 05/01/2028

603158-AA-4 MINERALS TECHNOLOGIES IN SERIES 144A 1 3.C FE 471,150 103.6550 466,448 450,000 466,448 (2,401) (2,302) 0 0 5.000 3.712 JJ 11,250 0 07/13/2021 07/01/2028

61747Y-DU-6 MORGAN STANLEY GMTN SERIES MTN 2.A FE 1,040,560 104.1530 1,041,529 1,000,000 1,010,001 0 (6,909) 0 0 4.100 3.358 MN 4,442 41,000 04/12/2017 05/22/2023

617482-4M-3 MORGAN STANLEY 2.A FE 962,794 103.3710 930,340 900,000 906,432 0 (7,454) 0 0 4.875 3.993 MN 7,313 43,875 03/15/2013 11/01/2022

620076-BN-8 MOTOROLA SOLUTIONS INC 1 2.C FE 3,498,600 114.2510 3,998,776 3,500,000 3,498,906 0 122 0 0 4.600 4.605 MN 16,994 161,000 05/09/2019 05/23/2029

62482B-AA-0 MOZART DEBT MERGER SUB SERIES 144A 1 4.A FE 898,875 99.6470 896,823 900,000 896,823 (2,075) 23 0 0 3.875 3.895 AO 7,363 0 10/05/2021 04/01/2029

626738-AF-5 MURPHY OIL USA INC SERIES 144A 1 3.B FE 378,206 99.3750 377,625 380,000 377,625 (662) 80 0 0 3.750 3.809 FA 5,383 7,758 07/15/2021 02/15/2031

62928C-AA-0 NGPL PIPECO LLC SERIES 144A LS 1 2.C FE 594,554 101.5780 604,391 595,000 594,607 0 53 0 0 3.250 3.258 JJ 12,193 0 05/03/2021 07/15/2031

629377-CQ-3 NRG ENERGY INC SERIES 144A 1 3.B FE 297,435 97.9900 293,970 300,000 293,970 (3,610) 145 0 0 3.375 3.504 FA 3,825 7,116 07/15/2021 02/15/2029

63938C-AJ-7 NAVIENT CORP 3.C FE 446,756 110.5350 442,140 400,000 442,140 (719) (3,897) 0 0 6.750 4.094 JD 1,200 13,500 07/15/2021 06/15/2026

64110L-AU-0 NETFLIX INC SERIES 144A 3.A FE 1,158,791 118.7500 1,128,125 950,000 1,128,125 (20,200) (10,466) 0 0 5.375 2.444 JD 2,269 25,531 07/13/2021 11/15/2029

651229-BB-1 NEWELL BRANDS INC 1 3.A FE 221,080 109.0000 218,000 200,000 218,000 (656) (2,424) 0 0 4.875 1.970 JD 813 4,875 07/15/2021 06/01/2025

65249B-AA-7 NEWS CORP SERIES 144A 1 3.B FE 451,400 101.0000 444,400 440,000 444,400 (5,265) (1,736) 0 0 3.875 2.910 MN 2,179 9,946 07/15/2021 05/15/2029

655664-AR-1 NORDSTROM INC 1 3.A FE 369,075 93.2500 345,025 370,000 345,025 (24,077) 27 0 0 5.000 5.018 JJ 8,531 0 08/26/2021 01/15/2044

67118A-AJ-4 OPG 21-PORT 1.A 743,760 98.3250 737,441 750,000 743,850 0 90 0 0 0.922 0.984 MON 307 1,321 09/30/2021 10/15/2036

67118A-AL-9 OPG 21-PORT 1.A 203,297 98.0880 201,081 205,000 203,322 0 24 0 0 1.221 1.285 MON 111 478 09/30/2021 10/15/2036

674215-AL-2 OASIS PETROLEUM INC SERIES 144A 1 4.C FE 374,501 104.7500 377,100 360,000 372,972 0 (1,529) 0 0 6.375 5.210 JD 1,913 10,965 07/15/2021 06/01/2026

674599-EA-9 OCCIDENTAL PETROLEUM COR 1 3.B FE 682,310 134.8660 674,330 500,000 673,892 0 (8,418) 0 0 8.875 3.811 JJ 20,462 0 07/14/2021 07/15/2030

674599-EF-8 OCCIDENTAL PETROLEUM COR 1 3.B FE 597,320 121.5000 607,500 500,000 593,063 0 (4,257) 0 0 6.125 3.567 JJ 15,313 0 07/14/2021 01/01/2031

680665-AK-2 OLIN CORP 1 3.B FE 556,473 105.0000 546,000 520,000 546,000 (6,434) (4,038) 0 0 5.000 3.058 FA 10,833 13,000 07/15/2021 02/01/2030

682189-AQ-8 ON SEMICONDUCTOR CORP SERIES 144A 1 3.B FE 228,202 102.5000 225,500 220,000 225,500 (1,855) (846) 0 0 3.875 2.907 MS 2,842 4,263 07/15/2021 09/01/2028

70339P-AA-7 PATTERN ENERGY OP LP PAT SERIES 144A 1 3.C FE 372,704 103.7500 373,500 360,000 371,678 0 (1,027) 0 0 4.500 3.729 FA 6,120 8,100 07/15/2021 08/15/2028

709599-BB-9 PENSKE TRUCK LEASING PTL SERIES 144A 1 2.B FE 7,784,088 105.0510 8,193,964 7,800,000 7,793,654 0 2,868 0 0 3.900 3.941 FA 126,750 304,200 05/07/2018 02/01/2024

74166M-AF-3 PRIME SECSRVC BRW FINANC SERIES 144A 1 3.C FE 930,468 96.5390 917,121 950,000 917,121 (14,690) 1,342 0 0 3.375 3.754 JD 1,425 16,031 07/13/2021 08/31/2027

74841C-AB-7 QUICKEN LOANS LLC QUICKN SERIES 144A 1 3.A FE 759,300 101.5000 761,250 750,000 758,831 0 (469) 0 0 3.875 3.687 MS 9,688 14,531 07/13/2021 03/01/2031

74965L-AA-9 RLJ LODGING TRUST LP SERIES 144A 1 3.C FE 376,209 100.5500 372,035 370,000 372,035 (3,518) (656) 0 0 3.699 3.242 JJ 7,477 0 07/15/2021 07/01/2026

76774L-AA-5 RITCHIE BROS HLDGS INC SERIES 144A 1 3.C FE 120,938 104.3750 125,250 120,000 120,934 0 (3) 0 0 4.750 4.617 JD 158 0 12/08/2021 12/15/2031

77313L-AB-9 ROCKETMTGE CO ISSUER INC SERIES 144A 1 3.A FE 185,488 101.2880 192,447 190,000 185,553 0 65 0 0 4.000 4.254 AO 1,816 0 10/07/2021 10/15/2033

80282K-AT-3 SANTANDER HOLDINGS USA SERIES WI 2 2.A FE 1,098,562 100.4280 1,104,710 1,100,000 1,099,910 0 364 0 0 3.700 3.734 MS 10,514 40,700 03/01/2018 03/28/2022

80282K-BB-1 SANTANDER HOLDINGS USA 1 2.A FE 1,706,648 104.9140 1,794,031 1,710,000 1,707,648 0 637 0 0 3.450 3.493 JD 4,752 58,995 05/27/2020 06/02/2025

817565-CF-9 SERVICE CORP INTL 1 3.C FE 1,090,375 98.1570 1,079,727 1,100,000 1,079,727 (11,089) 441 0 0 3.375 3.488 FA 14,025 18,563 07/13/2021 08/15/2030

81761L-AB-8 SERVICE PROPERTIES TRUST 1 3.B FE 377,993 102.6280 359,198 350,000 359,198 (16,986) (1,809) 0 0 5.500 4.020 JD 856 9,625 07/15/2021 12/15/2027

82967N-BJ-6 SIRIUS XM RADIO INC SERIES 144A 1 3.C FE 444,104 100.5590 432,404 430,000 432,404 (10,536) (1,165) 0 0 4.000 3.281 JJ 9,078 0 07/15/2021 07/15/2028

845467-AS-8 SOUTHWESTERN ENERGY CO 1 3.B FE 420,000 107.1480 450,022 420,000 420,000 0 0 0 0 5.375 5.375 MS 7,588 0 08/16/2021 03/15/2030

845467-AT-6 SOUTHWESTERN ENERGY CO 1 3.B FE 170,659 105.3110 179,028 170,000 170,656 0 (2) 0 0 4.750 4.691 FA 202 0 12/08/2021 02/01/2032

85172F-AR-0 SPRINGLEAF FINANCE CORP 1 3.B FE 671,525 108.7300 663,250 610,000 663,250 (5,241) (3,034) 0 0 5.375 3.868 MN 4,190 16,394 07/15/2021 11/15/2029

852060-AT-9 SPRINT CAPITAL CORP 3.A FE 1,778,289 150.0000 1,725,000 1,150,000 1,725,000 (30,152) (23,136) 0 0 8.750 2.789 MS 29,628 50,313 07/15/2021 03/15/2032

85571B-AL-9 STARWOOD PROPERTY TRUST INC SERIES WI 1 3.C FE 567,340 104.0000 561,600 540,000 561,600 (2,010) (3,731) 0 0 4.750 3.053 MS 7,553 12,825 07/15/2021 03/15/2025

858912-AG-3 STERICYCLE INC SERIES 144A 1 3.C FE 756,045 98.5000 738,750 750,000 738,750 (16,702) (593) 0 0 3.875 3.668 JJ 13,401 0 07/15/2021 01/15/2029

86944B-AG-8 SUTTER HEALTH 1 1.F FE 1,685,000 99.8550 1,682,553 1,685,000 1,685,000 0 0 0 0 2.294 2.294 FA 14,603 30,708 10/22/2020 08/15/2030

87162W-AE-0 SYNNEX CORP SERIES 144A 1 2.C FE 6,219,221 97.4540 6,081,145 6,240,000 6,220,794 0 1,573 0 0 1.750 1.820 FA 43,073 0 07/29/2021 08/09/2026

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87264A-CE-3 T MOBILE USA INC SERIES 144A 1 3.A FE 1,362,114 104.0380 1,352,494 1,300,000 1,352,494 (6,102) (3,518) 0 0 3.500 2.765 AO 9,606 25,531 07/15/2021 04/15/2031

87422V-AF-5 TALEN ENERGY SUPPLY LLC SERIES 144A 1 4.A FE 347,813 88.5000 331,875 375,000 331,875 (17,510) 1,572 0 0 7.250 8.877 MN 3,474 13,594 08/03/2021 05/15/2027

87470L-AJ-0 TALLGRASS NRG PRTNR FIN SERIES 144A 1 3.C FE 295,548 100.0000 280,000 280,000 280,000 (14,772) (776) 0 0 6.000 5.092 JD 47 8,400 07/15/2021 12/31/2030

87612B-BN-1 TARGA RESOURCES PARTNERS 2 3.A FE 744,335 111.8780 738,395 660,000 738,395 (5,940) 0 0 0 6.875 2.862 JJ 20,923 0 07/15/2021 01/15/2029

87901J-AH-8 TEGNA INC 1 3.B FE 899,130 102.2500 869,125 850,000 869,125 (26,177) (3,828) 0 0 5.000 3.794 MS 12,514 21,250 07/13/2021 09/15/2029

889184-AD-9 TOLEDO HOSPITAL THE 1 1.F FE 3,271,829 116.6920 3,331,546 2,855,000 3,195,000 0 (42,608) 0 0 5.750 3.767 MN 20,976 164,163 05/27/2020 11/15/2038

89055F-AB-9 TOPBUILD CORP SERIES 144A 1 3.B FE 567,036 100.7500 574,275 570,000 567,208 0 172 0 0 3.625 3.703 MS 6,084 10,331 07/15/2021 03/15/2029

891027-AS-3 TORCHMARK CORP 1 2.A FE 2,735,036 113.3790 3,112,265 2,745,000 2,737,784 0 900 0 0 4.550 4.596 MS 36,775 124,898 09/25/2018 09/15/2028

893647-BP-1 TRANSDIGM INC SERIES WI 1 4.C FE 190,145 99.6680 189,369 190,000 189,369 (776) 0 0 0 4.625 4.604 JJ 4,052 0 09/20/2021 01/15/2029

90265E-AQ-3 UDR INC SERIES MTN 1 2.A FE 5,283,000 105.0590 5,252,937 5,000,000 5,234,147 0 (26,848) 0 0 3.200 2.534 JJ 73,778 160,000 02/19/2020 01/15/2030

906548-CP-5 UNION ELECTRIC CO 1 1.F FE 6,806,541 108.0410 6,947,023 6,430,000 6,716,561 0 (36,827) 0 0 3.500 2.791 MS 66,265 225,050 06/27/2019 03/15/2029

90932L-AG-2 UNITED AIRLINES INC SERIES 144A 3.B FE 444,091 104.2740 448,376 430,000 442,867 0 (1,224) 0 0 4.375 3.615 AO 3,972 9,093 07/15/2021 04/15/2026

911363-AM-1 UNITED RENTALS NORTH AM 1 3.B FE 769,913 101.5000 761,250 750,000 761,250 (7,522) (1,140) 0 0 3.875 3.449 FA 10,979 14,531 07/13/2021 02/15/2031

91529Y-AN-6 UNUM GROUP 1 2.B FE 2,859,467 110.3750 3,167,772 2,870,000 2,861,770 0 929 0 0 4.000 4.045 JD 5,102 114,800 06/10/2019 06/15/2029

92328M-AB-9 VENTURE GLOBAL CALCASIEU SERIES 144A 3.C FE 190,000 106.0000 201,400 190,000 190,000 0 0 0 0 4.125 4.125 FA 3,179 0 07/29/2021 08/15/2031

92328M-AC-7 VENTURE GLOBAL CALCASIEU SERIES 144A 1 3.C FE 310,000 105.0580 325,680 310,000 310,000 0 0 0 0 3.875 3.875 MN 1,301 0 11/17/2021 11/01/2033

92343V-ER-1 VERIZON COMMUNICATIONS SERIES WI 2.A FE 373,659 113.5960 374,865 330,000 363,525 0 (4,497) 0 0 4.329 2.668 MS 3,968 14,286 09/12/2019 09/21/2028

92343V-FW-9 VERIZON COMMUNICATIONS SERIES WI 1 2.A FE 8,740,872 94.6590 8,074,434 8,530,000 8,738,541 0 (2,331) 0 0 2.987 2.874 AO 43,173 127,396 05/03/2021 10/30/2056

92343V-GH-1 VERIZON COMMUNICATIONS 1 2.A FE 1,524,314 100.1900 1,527,905 1,525,000 1,524,385 0 71 0 0 2.100 2.107 MS 8,807 16,013 03/11/2021 03/22/2028

92535U-AB-0 VERTIV GROUP CORPORATION SERIES 144A 1 4.A FE 100,000 101.0000 101,000 100,000 100,000 0 0 0 0 4.125 4.125 MN 791 0 10/14/2021 11/15/2028

929160-AZ-2 VULCAN MATERIALS CO LS 1 2.B FE 209,586 108.0100 225,741 209,000 209,505 0 (52) 0 0 3.500 3.466 JD 610 7,315 05/18/2020 06/01/2030

958667-AC-1 WESTERN MIDSTREAM OPERAT 1 3.A FE 749,285 109.9040 725,366 660,000 725,366 (19,690) (4,229) 0 0 5.300 3.412 FA 14,575 17,490 07/15/2021 02/01/2030

96926J-AC-1 WILLIAM CARTER SERIES 144A 1 3.B FE 565,531 103.3750 558,225 540,000 558,225 (221) (7,085) 0 0 5.625 2.582 MS 8,944 15,188 07/15/2021 03/15/2027

969457-BY-5 WILLIAMS COMPANIES INC 1 2.B FE 6,199,742 99.3210 6,098,307 6,140,000 6,198,419 0 (1,323) 0 0 2.600 2.480 MS 47,005 0 10/05/2021 03/15/2031

98262P-AA-9 WW INTERNATIONAL INC SERIES 144A 1 3.C FE 407,000 95.7250 382,900 400,000 382,900 (23,498) (602) 0 0 4.500 4.090 AO 3,800 9,100 07/13/2021 04/15/2029

983133-AA-7 WYNN RESORTS FINANCE LLC SERIES 144A 4.B FE 189,446 101.5000 182,700 180,000 182,700 (6,313) (434) 0 0 5.125 4.357 AO 2,306 4,613 07/14/2021 10/01/2029

98425B-AU-0 YMCA OF GREATER NY 1 2.B FE 725,000 99.0970 718,451 725,000 725,000 0 0 0 0 2.303 2.303 FA 7,467 0 07/12/2021 08/01/2026

008911-BK-4 AIR CANADA SERIES 144A A 1 3.B FE 150,000 102.0000 153,000 150,000 150,000 0 0 0 0 3.875 3.875 FA 2,260 0 07/27/2021 08/15/2026

03746A-AA-8 APACHE FINANCE CANADA A 3.A FE 372,775 126.3750 391,763 310,000 370,077 0 (2,698) 0 0 7.750 4.791 JD 1,068 12,013 07/20/2021 12/15/2029

071734-AK-3 BAUSCH HEALTH COS INC SERIES 144A A 2 4.B FE 299,217 95.0240 285,072 300,000 285,072 (14,199) 54 0 0 6.250 6.293 FA 7,083 9,375 07/15/2021 02/15/2029

071734-AN-7 BAUSCH HEALTH COS INC SERIES 144A A 1 3.B FE 1,130,250 102.0000 1,122,000 1,100,000 1,122,000 (5,676) (2,574) 0 0 4.875 4.244 JD 4,469 25,770 07/13/2021 06/01/2028

14739L-AB-8 CASCADES INC USA INC SERIES 144A A 1 3.C FE 793,125 102.5000 768,750 750,000 768,750 (17,456) (6,919) 0 0 5.375 3.179 JJ 18,589 0 07/14/2021 01/15/2028

36168Q-AK-0 GFL ENVIRONMENTAL INC SERIES 144A A 1 3.C FE 453,662 101.0000 444,400 440,000 444,400 (6,922) (2,340) 0 0 3.750 2.490 FA 6,875 8,250 07/15/2021 08/01/2025

552704-AD-0 MEG ENERGY CORP SERIES 144A A 1 3.B FE 298,345 101.6250 292,680 288,000 292,680 (5,665) 0 0 0 6.500 2.389 JJ 8,632 0 07/15/2021 01/15/2025

683715-AC-0 OPEN TEXT CORP SERIES 144A A 1 3.B FE 298,990 101.9250 295,583 290,000 295,583 (2,329) (1,078) 0 0 3.875 2.954 FA 4,245 5,619 07/15/2021 02/15/2028

86828L-AC-6 SUPERIOR PLUS GEN PRTNR SERIES 144A A 1 3.C FE 381,433 102.7840 380,301 370,000 380,301 (326) (807) 0 0 4.500 3.885 MS 4,903 8,510 07/15/2021 03/15/2029

89114Q-CB-2 TORONTO DOMINION BANK SERIES GMTN A 1.E FE 1,498,080 104.4990 1,567,484 1,500,000 1,499,119 0 381 0 0 3.250 3.278 MS 14,896 48,750 03/04/2019 03/11/2024

89346D-AE-7 TRANSALTA CORP A 3.A FE 219,758 115.9620 220,327 190,000 219,339 0 (419) 0 0 6.500 5.180 MS 3,636 6,175 07/15/2021 03/15/2040

89352H-BC-2 TRANSCANADA PIPELINES LS A 1 2.A FE 7,097,986 99.4560 7,106,131 7,145,000 7,098,897 0 911 0 0 2.500 2.575 AO 39,198 0 10/07/2021 10/12/2031

00774M-AX-3 AERCAP IRELAND CAP GLOBA D 1 2.C FE 149,436 101.8770 152,816 150,000 149,441 0 5 0 0 3.300 3.344 JJ 853 0 10/21/2021 01/30/2032

013822-AC-5 ALCOA NEDERLAND HOLDING SERIES 144A D 1 3.A FE 230,076 107.6250 226,013 210,000 226,013 (751) (3,312) 0 0 6.125 2.385 MN 1,644 6,431 07/15/2021 05/15/2028

020564-AE-0 ALPEK SA DE CV SERIES 144A D 1 2.C FE 4,712,999 99.7500 4,713,188 4,725,000 4,713,875 0 876 0 0 3.250 3.280 FA 53,747 76,781 02/18/2021 02/25/2031

03938L-AS-3 ARCELORMITTAL D 2.C FE 568,720 135.0100 540,040 400,000 566,071 0 (2,649) 0 0 6.750 3.705 MS 9,000 13,500 07/15/2021 03/01/2041

05401A-AG-6 AVOLON HOLDINGS FNDG LTD SERIES 144A D 1 2.C FE 551,215 107.1060 621,214 580,000 551,215 0 0 0 0 4.375 5.226 MN 4,229 25,375 04/11/2019 05/01/2026

05583J-AC-6 BPCE SA SERIES 144A D 2.A FE 1,875,996 105.3150 1,895,665 1,800,000 1,856,246 0 (8,763) 0 0 3.500 2.912 AO 11,900 63,000 09/11/2019 10/23/2027

08860H-AC-8 BHARTI AIRTEL LTD SERIES 144A D 1 2.C FE 5,959,512 101.1100 6,031,196 5,965,000 5,959,710 0 198 0 0 3.250 3.261 JD 15,078 145,397 02/24/2021 06/03/2031

13806C-AA-0 CANPACK SA CANPACK US SERIES 144A D 1 3.B FE 260,000 97.6250 253,825 260,000 253,825 (6,175) 0 0 0 3.875 3.875 MN 2,211 0 10/04/2021 11/15/2029

143658-BR-2 CARNIVAL CORP SERIES 144A D 1 4.B FE 30,000 99.5000 29,850 30,000 29,850 (150) 0 0 0 6.000 6.000 MN 295 0 10/19/2021 05/01/2029

225401-AF-5 CREDIT SUISSE GROUP AG SERIES 144A D 1 2.A FE 2,553,865 107.0420 2,595,779 2,425,000 2,522,101 0 (14,414) 0 0 3.869 3.135 JJ 44,045 93,823 09/26/2019 01/12/2029

225401-AM-0 CREDIT SUISSE GROUP AG SERIES 144A D 1 2.A FE 780,000 102.1150 796,500 780,000 780,000 0 0 0 0 2.593 2.593 MS 6,180 20,225 09/04/2019 09/11/2025

26874R-AE-8 ENI SPA SERIES X-R 144A D 2.A FE 224,658 115.1970 230,394 200,000 218,999 0 (2,510) 0 0 4.750 3.165 MS 2,876 9,500 09/11/2019 09/12/2028

30251G-BC-0 FMG RESOURCES AUG 2006 SERIES 144A D 1 3.A FE 561,506 105.0000 546,000 520,000 546,000 (13,835) (1,672) 0 0 4.375 3.381 AO 5,688 11,754 07/15/2021 04/01/2031

36321P-AD-2 GALAXY PIPELINE ASSETS SERIES 144A LS D 1.C FE 3,435,000 98.0120 3,366,713 3,435,000 3,435,000 0 0 0 0 1.751 1.751 MS 15,207 45,960 02/09/2021 03/31/2034

E10.5




3 4 5 8 9 12 13 14 15 16 17 18 19 20 21 22


Code

Foreign

BondChar


ModifierandSVO


ActualCost

Rate Used to Obtain

Fair Value

FairValue

ParValue


Value


(Decrease)


Accretion



TotalForeign

ExchangeChange

inBook/

AdjustedCarrying

ValueRate

of

EffectiveRate

ofWhenPaid


Amount Received


StatedContractual

MaturityDate

37960J-AA-6 GLOBAL AIR LEASE CO LTD SERIES 144A D 1 4.A FE 374,018 96.5000 357,050 370,000 357,050 (16,968) 0 0 0 6.500 5.951 MS 7,081 12,025 07/15/2021 09/15/2024

404280-BS-7 HSBC HOLDINGS D 2 1.G FE 4,150,000 103.7060 4,303,787 4,150,000 4,150,000 0 0 0 0 3.950 3.950 MN 19,580 163,925 05/10/2018 05/18/2024

43103Q-AA-6 HIGHLAND HOLDINGS BOND SERIES 144A D 1 3.B FE 574,275 106.0000 574,282 541,775 569,849 0 (4,426) 0 0 7.625 5.376 AO 8,721 21,775 10/15/2021 10/15/2025

460599-AE-3 INTERNATIONAL GAME TECH SERIES 144A D 1 3.C FE 752,710 105.9550 741,685 700,000 741,685 (5,009) (6,016) 0 0 5.250 3.105 JJ 16,946 0 07/15/2021 01/15/2029

55300R-AA-9 MGM CHINA HOLDINGS LTD SERIES 144A D 1 4.A FE 298,245 99.6700 289,043 290,000 289,043 (6,840) (2,361) 0 0 5.375 3.457 MN 1,992 7,794 07/15/2021 05/15/2024

58547D-AD-1 MELCO RESORTS FINANCE SERIES 144A D 1 3.C FE 559,813 97.0000 514,100 530,000 514,100 (43,786) (1,926) 0 0 5.375 4.313 JD 2,137 14,244 07/15/2021 12/04/2029

62886H-AR-2 NCL CORPORATION LTD SERIES 144A D 1 4.A FE 155,188 118.5000 154,050 130,000 150,984 0 (4,203) 0 0 12.250 4.222 MN 2,035 7,963 07/15/2021 05/15/2024

62886H-AY-7 NCL CORPORATION LTD SERIES 144A D 1 4.A FE 120,567 116.3140 120,967 104,000 118,131 0 (2,436) 0 0 10.250 4.427 FA 4,442 5,330 07/14/2021 02/01/2026

68341P-AA-7 OOREDOO INTL FINANCE SERIES 144A D 1.G FE 1,692,180 108.2660 1,656,470 1,530,000 1,668,428 0 (23,752) 0 0 3.750 1.645 JD 1,434 57,375 03/10/2021 06/22/2026

780153-BG-6 ROYAL CARIBBEAN CRUISES SERIES 144A D 1 4.B FE 373,014 101.1560 364,162 360,000 364,162 (8,043) (810) 0 0 5.500 4.818 AO 4,950 10,010 07/14/2021 04/01/2028

78081B-AJ-2 ROYALTY PHARMA PLC SERIES WI LS D 1 2.C FE 132,970 98.2480 132,634 135,000 133,100 0 131 0 0 1.750 2.014 MS 781 1,181 08/03/2021 09/02/2027

78520L-AA-8 SABIC CAPITAL II BV SERIES 144A D 1.G FE 1,986,860 104.8370 2,091,490 1,995,000 1,991,922 0 1,640 0 0 4.000 4.091 AO 17,955 79,800 10/02/2018 10/10/2023

81725W-AK-9 SENSATA TECHNOLOGIES BV SERIES 144A D 1 3.C FE 560,901 102.1250 561,688 550,000 559,969 0 (932) 0 0 4.000 3.541 AO 4,644 11,978 07/15/2021 04/15/2029

84859B-AA-9 SPIRIT LOYALTY KY LTD IP SERIES 144A D 1 3.B FE 453,992 110.4090 441,634 400,000 441,634 (4,698) (7,660) 0 0 8.000 3.327 JAJO 6,311 16,000 07/15/2021 09/20/2025

87927V-AM-0 TELECOM ITALIA CAPITAL D 3.B FE 867,975 105.7670 793,249 750,000 793,249 (71,700) (3,026) 0 0 6.000 4.415 MS 11,375 22,500 07/13/2021 09/30/2034

88167A-AE-1 TEVA PHARMACEUTICALS NE D 3.C FE 714,210 94.0000 705,000 750,000 705,000 (12,095) 2,885 0 0 3.150 4.178 AO 5,906 11,813 07/14/2021 10/01/2026

88167A-AP-6 TEVA PHARMACEUTICAL INDU D 1 3.C FE 290,000 99.0870 287,352 290,000 287,352 (2,648) 0 0 0 4.750 4.750 MN 1,990 0 11/02/2021 05/09/2027

88167A-AQ-4 TEVA PHARMACEUTICAL INDU D 1 3.C FE 230,000 98.0310 225,471 230,000 225,471 (4,529) 0 0 0 5.125 5.125 MN 1,703 0 11/02/2021 05/09/2029

92682R-AA-0 VIKING OCEAN CRUISES SHI SERIES 144A D 1 4.C FE 373,774 99.8750 369,538 370,000 369,538 (3,918) (319) 0 0 5.625 5.369 FA 7,863 11,158 07/14/2021 02/15/2029

92857W-BK-5 VODAFONE GROUP PLC LS D 2.B FE 3,171,758 112.5190 3,234,909 2,875,000 3,101,918 0 (31,623) 0 0 4.375 3.012 MN 10,831 125,781 09/26/2019 05/30/2028

92858R-AB-6 VMED O2 UK FINAN SERIES 144A D 1 3.C FE 1,114,740 101.2500 1,113,750 1,100,000 1,113,750 (290) (691) 0 0 4.750 4.548 JJ 25,254 0 07/13/2021 07/15/2031

3299999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) - Issuer Obligations 247,678,399 XXX 253,297,518 240,643,775 245,741,562 (983,508) (574,478) 0 0 XXX XXX XXX 2,406,749 6,338,160 XXX XXX

05526Q-AA-4

BANC OF AMERICA MERRILL LYNCH SERIES 2015-200P

CLASS A 144A 4 1.A 5,491,289 104.3450 5,728,526 5,490,000 5,488,000 0 (1,249) 0 0 3.218 3.213 MON 14,722 176,668 03/12/2019 04/14/2033

056054-AA-7 BX TRUST SERIES 2019-XL CLASS A 144A 4 1.A 2,127,306 100.0280 2,127,893 2,127,306 2,127,306 0 0 0 0 1.030 1.031 MON 1,034 22,083 10/09/2019 10/15/2036

05609V-AJ-4 BX TRUST SERIES 2021-VOLT CLASS C 144A 1.A 179,000 99.3800 177,890 179,000 179,000 0 0 0 0 1.210 1.213 MON 102 455 09/15/2021 09/15/2023

08163J-AL-8 BENCHMARK MORTGAGE TRUST SERIES 2021-B29 CLASS C 4 1.A 413,999 97.0720 401,878 414,000 413,989 0 (10) 0 0 2.752 2.755 MON 949 2,848 09/17/2021 09/15/2054

12434C-AJ-3 BX TRUST SERIES 2021-SDMF CLASS C 144A 4 1.A 398,784 97.8720 391,489 400,000 398,943 0 159 0 0 0.998 1.155 MON 188 846 09/17/2021 09/15/2023

12434D-AJ-1 BX TRUST SERIES 2021-LGCY CLASS C 144A 4 1.A 8,314,532 98.9150 8,303,926 8,395,000 8,322,380 0 7,848 0 0 1.114 1.601 MON 4,415 14,028 10/13/2021 10/15/2023

12434D-AL-6 BX TRUST SERIES 2021-LGCY CLASS D 144A 4 1.A 8,314,327 98.8680 8,300,007 8,395,000 8,322,166 0 7,839 0 0 1.412 1.904 MON 5,597 17,850 10/13/2021 10/15/2023

12625K-AE-5 COMM MORTGAGE TRUST SERIES 2013-CR8 CLASS A4 4 1.A 2,920,471 102.9160 2,933,100 2,850,000 2,872,310 0 (17,692) 0 0 3.612 2.974 MON 8,579 102,942 03/13/2019 06/10/2046

12626B-AD-6 COMM MORTGAGE TRUST SERIES 2013-CR10 CLASS A4 4 1.A 2,092,969 103.9040 2,078,088 2,000,000 2,033,575 0 (21,314) 0 0 4.210 3.091 MON 7,017 84,200 02/14/2019 08/10/2046

12635F-AT-1

CSAIL COMMERCIAL MORTGAGE TRUS SERIES 2015-C3

CLASS A4 4 1.A 2,681,124 106.3150 2,641,920 2,485,000 2,562,461 0 (22,349) 0 0 3.718 2.731 MON 7,700 92,397 05/04/2016 08/15/2048

12635R-AX-6

CSAIL COMMERCIAL MORTGAGE TR SERIES 2015-C4 CLASS

A4 4 1.A 563,320 107.0100 535,049 500,000 549,803 0 (13,150) 0 0 3.808 1.058 MON 1,587 19,040 12/17/2020 11/15/2048

17323Y-AD-1

CITIGROUP COMMERCIAL MORTGAGE SERIES 2015-GC31

CLASS A4 4 1.A 4,245,253 106.6460 4,025,886 3,775,000 4,138,193 0 (104,434) 0 0 3.762 0.896 MON 11,835 142,016 12/18/2020 06/10/2048

17325G-AD-8

CITIGROUP COMMERCIAL MORTGAGE SERIES 2016-C3 CLASS

A4 4 1.A 1,114,375 105.4170 1,054,169 1,000,000 1,094,483 0 (19,357) 0 0 3.154 1.104 MON 2,628 31,540 12/17/2020 11/15/2049

200474-BC-7 COMM MORTGAGE TRUST SERIES 2015-LC19 CLASS A4 4 1.A 985,384 104.4280 986,849 945,000 959,577 0 (4,876) 0 0 3.183 2.631 MON 2,507 30,079 05/16/2016 02/10/2048

36253B-AU-7

GS MORTGAGE SECURITIES TRUST SERIES 2014-GC22

CLASS A5 4 1.A 1,737,313 105.1710 1,682,735 1,600,000 1,642,857 0 (18,008) 0 0 3.862 2.661 MON 5,149 61,792 06/02/2016 06/10/2047

46590L-AT-9

JPMDB COMMERCIAL MORTGAGE SECU SERIES 2016-C2

CLASS A4 4 1.A 1,199,941 104.6880 1,219,619 1,165,000 1,180,452 0 (3,703) 0 0 3.144 2.797 MON 3,052 36,626 05/04/2016 06/15/2049

46646R-AJ-2

JPMDB COMMERCIAL MORTGAGE SECU SERIES 2016-C4

CLASS A3 4 1.A 3,465,410 105.2730 3,684,563 3,500,000 3,475,688 0 3,799 0 0 3.141 3.293 MON 9,162 109,946 03/15/2019 12/15/2049

55066W-AC-8

LUXE COMMERCIAL MORTGAGE TRU SERIES 2021-TRIP

CLASS B 144A 4 1.A 740,000 99.8630 738,984 740,000 740,000 0 0 0 0 1.500 1.505 MON 524 1,751 10/04/2021 10/15/2038

55066W-AE-4

LUXE COMMERCIAL MORTGAGE TRU SERIES 2021-TRIP

CLASS C 144A 4 1.A 720,000 99.8180 718,693 720,000 720,000 0 0 0 0 1.850 1.857 MON 629 2,103 10/04/2021 10/15/2038

E10.6




3 4 5 8 9 12 13 14 15 16 17 18 19 20 21 22


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BondChar


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FairValue

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61766E-BE-4

MORGAN STANLEY BAML TRUST SERIES 2016-C29 CLASS A4

4 1.A 861,625 105.7700 846,162 800,000 843,109 0 (10,091) 0 0 3.325 1.951 MON 2,217 26,600 02/21/2020 05/15/2049

62954P-AA-8 NYT MORTGAGE TRUST SERIES 2019-NYT CLASS A 144A 4 1.A 2,360,000 99.9630 2,359,120 2,360,000 2,360,000 0 0 0 0 1.291 1.294 MON 1,439 31,203 01/11/2019 12/15/2035

78472U-AC-2 SREIT TRUST SERIES 2021-MFP CLASS B 144A 4 1.D FE 959,355 99.2990 958,231 965,000 959,603 0 249 0 0 1.190 1.493 MON 542 470 11/16/2021 11/15/2038

87267H-AA-5 TPGI TRUST SERIES 2021-DGWD CLASS A 144A 1.A FE 720,000 99.5580 716,821 720,000 720,000 0 0 0 0 0.802 0.803 MON 273 2,905 05/27/2021 06/15/2026

92939K-AE-8

WF RBS COMMERCIAL MORTGAGE TRU SERIES 2014-C24

CLASS A5 4 1.A 316,245 105.1310 304,881 290,000 309,182 0 (6,873) 0 0 3.607 1.148 MON 872 10,460 12/17/2020 11/15/2047

3499999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) - Commercial Mortgage-Backed Securities 52,922,022 XXX 52,916,479 51,815,306 52,413,077 0 (223,212) 0 0 XXX XXX XXX 92,719 1,020,848 XXX XXX

00175L-AS-1

AMERICAN MONEY MANAGEMENT SERIES 2014-14A CLASS

A2R2 144 1.B FE 1,125,000 99.9030 1,123,910 1,125,000 1,125,000 0 0 0 0 1.525 1.528 JAJO 3,241 13,417 01/12/2021 07/25/2029

00217T-AD-7 ARI FLEET LEASE TRUST SERIES 2020-A CLASS B 144A 4 1.C FE 1,059,712 100.6750 1,067,160 1,060,000 1,059,846 0 72 0 0 2.060 2.076 MON 970 21,836 02/18/2020 11/15/2028

01627A-AA-6

ALIGNED DATA CENTERS ISSUER LL SERIES 2021-1A

CLASS A2 144A 1.G FE 2,150,000 98.4720 2,117,159 2,150,000 2,150,000 0 0 0 0 1.937 1.943 MON 1,851 12,725 08/11/2021 08/15/2046

03237K-AC-8

AXIS EQUIPMENT FINANCE RECEIV SERIES 2021-1A CLASS

B 144A 1.C FE 209,965 98.7900 207,460 210,000 209,971 0 7 0 0 1.380 1.389 MON 89 1,932 04/14/2021 02/22/2027

04033B-AC-2 ARI FLEET LEASE TRUST SERIES 2018-B CLASS A3 144A 4 1.A FE 303,953 100.9600 306,919 304,000 303,974 0 (3) 0 0 3.430 3.457 MON 463 10,427 09/18/2018 08/16/2027

056162-AN-0 BABSON CLO LTD SERIES 2015-IA CLASS AR 144A 4 1.A FE 970,000 99.8680 968,720 970,000 970,000 0 0 0 0 1.124 1.126 JAJO 2,211 8,620 02/02/2021 01/20/2031

12530M-AA-3

CF HIPPOLYTA ISSUER LLC SERIES 2020-1 CLASS A1

144A 4 1.D FE 487,799 99.1960 483,944 487,867 487,820 0 13 0 0 1.690 1.701 MON 366 8,245 07/14/2020 07/15/2060

12530M-AE-5

CF HIPPOLYTA ISSUER LLC SERIES 2021-1A CLASS A1

144A 1.D FE 747,349 98.1240 733,469 747,492 747,373 0 23 0 0 1.530 1.541 MON 508 8,482 03/10/2021 03/15/2061

14312J-AY-8

CARLYLE GLOBAL MARKET STRATEGI SERIES 2015-5A

CLASS A1RR 144A 1.A FE 2,895,000 99.9310 2,893,005 2,895,000 2,895,000 0 0 0 0 1.160 1.162 JAJO 6,812 1,960 09/17/2021 01/20/2032

14316N-AC-3 CARMAX AUTO OWNER TRUST SERIES 2021-1 CLASS A3 1.A FE 2,474,511 99.1180 2,453,173 2,475,000 2,474,726 0 215 0 0 0.340 0.350 MON 374 7,433 01/20/2021 12/15/2025

14317J-AH-0 CARMAX AUTO OWNER TRUST SERIES 2021-4 CLASS D 2.A FE 364,865 98.0600 357,918 365,000 364,872 0 7 0 0 1.480 1.492 MON 240 1,245 09/14/2021 03/15/2028

165183-CJ-1

CHESAPEAKE FUNDING II LLC SERIES 2020-1A CLASS A1

144A 4 1.A FE 204,221 100.1140 204,463 204,230 204,223 0 1 0 0 0.870 0.873 MON 79 1,777 07/14/2020 08/16/2032

197363-AU-8 CENT CLO LP SERIES 2020-29A CLASS AR 144A 4 1.A FE 8,000,000 100.0000 7,999,984 8,000,000 8,000,000 0 0 0 0 1.302 1.304 JAJO 14,461 0 10/26/2021 10/20/2034

233046-AN-1

DB MASTER FINANCE LLC SERIES 2021-1A CLASS A2I

144A 4 2.B FE 1,585,000 97.7100 1,548,704 1,585,000 1,585,000 0 0 0 0 2.045 2.051 MON 6,303 0 10/15/2021 11/20/2051

24702V-AL-6

DELL EQUIPMENT FINANCE TRUST SERIES 2021-2 CLASS D

144A 2.B FE 209,995 98.8100 207,501 210,000 209,995 0 0 0 0 1.210 1.213 MON 64 635 09/14/2021 06/22/2027

25265L-AA-8 DNFRA SERIES 2021-1 CLASS A 144A 1.F FE 1,350,000 98.1210 1,324,629 1,350,000 1,350,000 0 0 0 0 1.760 1.762 MON 1,056 12,210 06/08/2021 04/15/2049

257812-AE-7

DONLEN FLEET LEASE FUNDING SERIES 2021-2 CLASS B

144A 1.C FE 829,880 98.8960 820,838 830,000 829,899 0 19 0 0 0.980 0.986 MON 474 5,039 04/20/2021 12/11/2034

26249Q-AU-2

DRYDEN SENIOR LOAN FUND SERIES 2015-38A CLASS BR

144A 4 1.C FE 1,502,354 100.0000 1,500,002 1,500,000 1,502,056 0 (298) 0 0 1.774 1.754 JAJO 5,765 20,854 01/25/2021 07/15/2030

29373K-AB-9

ENTERPRISE FLEET FINANCING LLC SERIES 2020-1 CLASS

A2 144A 4 1.A FE 505,647 100.7520 509,534 505,730 505,694 0 20 0 0 1.780 1.794 MON 275 9,002 02/11/2020 12/22/2025

34532N-AF-2

FORD CREDIT AUTO OWNER TRUST SERIES 2021-A CLASS C

1.C FE 964,909 97.7390 943,180 965,000 964,926 0 17 0 0 0.830 0.834 MON 356 6,519 02/17/2021 08/15/2028

36261R-AF-5

GM FINANCIAL AUTOMOBILE LEASI SERIES 2021-1 CLASS

C 1.F FE 804,839 99.2450 798,921 805,000 804,890 0 51 0 0 0.700 0.709 MON 172 4,665 02/17/2021 02/20/2025

36319Q-BQ-4 GALAXY CLO LTD SERIES 2015-19A CLASS A2RR 144 1.C FE 765,000 99.3770 760,231 765,000 765,000 0 0 0 0 1.524 1.527 JAJO 2,202 9,533 03/05/2021 07/24/2030

36321J-AC-8 GALAXY CLO LTD SERIES 2018-28A CLASS A1 144A 4 1.A FE 3,004,500 100.0380 3,001,137 3,000,000 3,003,690 0 (810) 0 0 1.224 1.194 JAJO 7,954 29,195 02/02/2021 07/15/2031

375415-AC-0 GILBERT PARK CLO LTD SERIES 2017-1A CLASS B 144A 1.C FE 1,001,800 100.0040 1,000,041 1,000,000 1,001,476 0 (324) 0 0 1.724 1.691 JAJO 3,735 13,523 01/14/2021 10/15/2030

48254G-AC-0 KKR FINANCIAL CLO LTD SERIES 29A CLASS B 144A 1.C FE 4,950,000 100.0000 4,949,985 4,950,000 4,950,000 0 0 0 0 1.624 1.627 JAJO 17,415 52,690 01/21/2021 01/15/2032

50200F-AC-3 LCM LTD PARTNERSHIP SERIES 26A CLASS A1 144A 4 1.A FE 1,488,300 100.0100 1,500,156 1,500,000 1,494,313 0 1,957 0 0 1.204 1.354 JAJO 3,662 19,177 03/01/2019 01/20/2031

55316E-AE-2

MMAF EQUIPMENT FINANCE LLC SERIES 2019-8 CLASS A5

144A 4 1.A FE 1,274,569 102.5410 1,307,393 1,275,000 1,274,726 0 78 0 0 2.290 2.307 MON 1,541 29,198 09/10/2019 11/12/2041

55953H-AU-7 MAGNETITE CLO LTD SERIES 2015-12A CLASS BRRA 144 4 1.C FE 800,000 100.0080 800,062 800,000 800,000 0 0 0 0 1.724 1.727 JAJO 2,988 14,574 08/14/2018 10/15/2031

55954L-AC-7 MAGNETITE CLO LTD SERIES 2015-14RA CLASS A1 144A 4 1.A FE 1,800,000 99.9350 1,798,832 1,800,000 1,800,000 0 0 0 0 1.242 1.244 JAJO 4,658 23,863 09/06/2018 10/18/2031

E10.7




3 4 5 8 9 12 13 14 15 16 17 18 19 20 21 22


Code

Foreign

BondChar


ModifierandSVO


ActualCost

Rate Used to Obtain

Fair Value

FairValue

ParValue


Value


(Decrease)


Accretion



TotalForeign

ExchangeChange

inBook/

AdjustedCarrying

ValueRate

of

EffectiveRate

ofWhenPaid


Amount Received


StatedContractual

MaturityDate

55954L-AE-3 MAGNETITE CLO LTD SERIES 2015-14RA CLASS B 144A 1.C FE 2,005,600 99.8460 1,996,922 2,000,000 2,004,902 0 (698) 0 0 1.722 1.685 JAJO 7,176 26,930 01/14/2021 10/18/2031

58768U-AM-5

MERCEDES BENZ MASTER OWNER TRU SERIES 2019-BA

CLASS A 144A 4 1.A FE 2,371,838 100.8130 2,338,873 2,320,000 2,328,724 0 (23,462) 0 0 2.610 1.589 MON 2,691 60,552 02/21/2020 05/15/2024

67590R-AY-1

OCTAGON LOAN FUNDING LTD SERIES 2014-1A CLASS ARR

144A 4 1.A FE 1,970,000 100.0090 1,970,181 1,970,000 1,970,000 0 0 0 0 1.340 1.342 FMAN 3,226 27,005 11/09/2018 11/18/2031

74982W-AE-6 RACE POINT CLO LTD SERIES 2015-9A CLASS A2R2 144A 1.C FE 370,000 100.0010 370,004 370,000 370,000 0 0 0 0 1.574 1.577 JAJO 1,262 3,175 03/15/2021 10/15/2030

80286C-AG-5

SANTANDER RETAIL AUTO LEASE TR SERIES 2021-C CLASS

D 144A 4 2.B FE 674,853 98.6560 665,926 675,000 674,864 0 12 0 0 1.390 1.401 MON 287 2,294 09/14/2021 08/20/2026

80286K-AF-9

SANTANDER REATIL AUTO LEASE TR SERIES 2020-A CLASS

C 144A 4 1.F FE 804,929 101.0590 813,526 805,000 804,972 0 25 0 0 2.080 2.092 MON 512 16,744 02/11/2020 03/20/2024

80286N-AE-6

SANTANDER DRIVE AUTO RECEIVAB SERIES 2021-1 CLASS

B 1.C FE 3,464,548 99.9240 3,462,361 3,465,000 3,464,820 0 272 0 0 0.500 0.510 MON 770 14,341 02/09/2021 04/15/2025

83614X-AQ-4 SOUND POINT CLO LTD SERIES 2020-1A CLASS AR 144A 4 1.A FE 4,000,000 100.0000 3,999,992 4,000,000 4,000,000 0 0 0 0 1.302 1.304 JAJO 10,557 13,332 06/29/2021 07/20/2034

85236K-AE-2

STACK INFRASTRUCTURE ISSUER LL SERIES 2021-1A

CLASS A2 144A 1.G FE 790,000 98.3170 776,707 790,000 790,000 0 0 0 0 1.877 1.884 MON 165 11,492 03/12/2021 03/26/2046

87231B-AE-3 TCI FLATIRON CLO LTD SERIES 2017-1A CLASS B 144A 1.C FE 2,001,600 99.9120 1,998,246 2,000,000 2,001,369 0 (231) 0 0 1.718 1.708 FMAN 4,295 35,141 01/14/2021 11/18/2030

87342R-AG-9

TACO BELL FUNDING LLC SERIES 2021-1A CLASS A21

144A 4 2.B FE 2,130,000 98.0260 2,087,958 2,130,000 2,130,000 0 0 0 0 1.946 1.950 FMAN 4,145 11,053 08/11/2021 08/25/2051

88161K-AG-0 TESLA AUTO LEASE TRUST SERIES 2021-B CLASS D 144A 4 2.B FE 214,944 98.3240 211,396 215,000 214,948 0 5 0 0 1.320 1.332 MON 87 694 09/14/2021 09/22/2025

92211M-AE-3

VANTAGE DADA CENTERS LLC SERIES 2018-2A CLASS A2

144A 4 1.G FE 741,413 102.4780 759,786 741,413 741,413 0 0 0 0 4.196 4.230 MON 1,383 31,110 11/16/2018 11/16/2043

98163H-AF-6

WORLD OMNI SELECT AUTO TRUST SERIES 2021-A CLASS D

4 2.B FE 254,994 98.2960 250,654 255,000 254,994 0 0 0 0 1.440 1.444 MON 163 847 09/14/2021 11/15/2027

98164E-AE-5

WORLD OMNI AUTO RECEIVABLES T SERIES 2021-A CLASS

B 1.C FE 1,239,805 97.9820 1,214,972 1,240,000 1,239,849 0 44 0 0 0.640 0.645 MON 353 6,724 02/03/2021 12/15/2026

13645Y-AF-6

CANADIAN PACER AUTO RECEIVABLE SERIES 2020-1A

CLASS B 144A A 4 1.A FE 259,994 101.1260 262,928 260,000 259,995 0 1 0 0 2.000 2.009 MON 173 5,200 01/28/2020 07/21/2025

67108W-BE-8 OZLM LTD SERIES 2014-7RA CLASS A1R 144A D 4 1.A FE 1,835,034 100.0110 1,835,232 1,835,034 1,835,034 0 0 0 0 1.132 1.134 JAJO 4,329 22,287 07/02/2018 07/17/2029

92331X-AY-0 VENTURE CDO LTD SERIES 2018-35A CLASS BLR 144A D 1.B FE 3,500,000 99.8420 3,494,477 3,500,000 3,500,000 0 0 0 0 1.878 1.883 JAJO 12,965 33,998 03/26/2021 10/22/2031

92916Q-AA-0 VOYA CLO 2017 4 LTD SERIES 2017-4A CLASS A1 144A D 4 1.A FE 300,000 100.0050 300,016 300,000 300,000 0 0 0 0 1.254 1.256 JAJO 815 4,036 10/30/2017 10/15/2030

3599999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) - Other Loan-Backed and Structured Securities 72,758,720 XXX 72,498,587 72,705,766 72,720,354 0 (22,987) 0 0 XXX XXX XXX 145,639 675,731 XXX XXX

3899999. Total - Industrial and Miscellaneous (Unaffiliated) Bonds 373,359,141 XXX 378,712,584 365,164,847 370,874,993 (983,508) (820,677) 0 0 XXX XXX XXX 2,645,107 8,034,739 XXX XXX534187-BP-3 LINCOLN NATIONAL CORP HYB LS 2 2.C FE 705,613 85.7500 836,063 975,000 706,606 0 993 0 0 2.172 3.350 JAJO 4,293 5,418 08/09/2021 04/20/2067

835407-AA-5 SOMPO JAPAN INSURANCE SERIES 144A LS D 1 1.G FE 210,000 104.8310 220,145 210,000 210,000 0 0 0 0 5.325 1.457 MS 2,889 11,183 03/21/2013 03/28/2073

4299999. Subtotal - Bonds - Hybrid Securities - Issuer Obligations 915,613 XXX 1,056,208 1,185,000 916,606 0 993 0 0 XXX XXX XXX 7,182 16,601 XXX XXX

4899999. Total - Hybrid Securities 915,613 XXX 1,056,208 1,185,000 916,606 0 993 0 0 XXX XXX XXX 7,182 16,601 XXX XXX

5599999. Total - Parent, Subsidiaries and Affiliates Bonds 0 XXX 0 0 0 0 0 0 0 XXX XXX XXX 0 0 XXX XXX464287-24-2 ISHARES IBOXX INV GRD CORP BON LS 2.A 4,597,610 132.5200 4,673,980 0 4,600,953 0 3,343 0 0 0.000 0.000 N/A 0 88,495 03/31/2021

464288-41-4 ISHARES BARCLAYS MBS BOND FUND LS 1.F 6,010,876 116.2800 6,015,164 0 5,993,033 0 (17,843) 0 0 0.000 0.000 N/A 0 34,513 09/28/2021

464288-58-8 ISHARES BARCLAYS MBS BOND FUND LS 1.A 6,013,295 107.4300 5,981,702 0 5,970,075 0 (43,220) 0 0 0.000 0.000 N/A 0 1,050 09/28/2021

464288-63-8 ISHARES INTERMEDIATE TERM CORP LS 2.B 10,848,786 59.2700 10,838,290 0 10,825,696 0 (23,091) 0 0 0.000 0.000 N/A 0 229,612 03/31/2021

464288-64-6 ISHARES SHORT TERM CORPORATE B LS 2.A 9,872,693 53.8800 9,718,066 0 9,836,759 0 (35,934) 0 0 0.000 0.000 N/A 0 144,270 03/31/2021

46429B-65-5 ISHARES FLOATING RATE BOND E EFT * 1.G 6,009,187 50.7300 5,999,076 0 5,963,906 0 (45,281) 0 0 0.000 0.000 N/A 0 7,526 09/28/2021

46641Q-83-7 JPMORGAN ULTRA-SHORT INCOME * 1.G 6,579,417 50.4800 6,542,158 0 6,350,658 0 (228,759) 0 0 0.000 0.000 N/A 3,007 36,505 03/31/2021

78464A-47-4 SPDR PORTFOLIO SHORT TERM CORP * 2.A 13,155,950 30.9700 12,997,521 0 13,071,784 0 (84,166) 0 0 0.000 0.000 N/A 0 125,116 03/31/2021

78464A-64-9 SPDR BLOOMBERG BARCLAYS AGGREG LS 1.F 6,009,206 29.6200 5,955,901 0 5,997,908 0 (11,298) 0 0 0.000 0.000 N/A 0 40,196 09/28/2021

92206C-87-0 ISHARES VANGUARD GROUP INTERM * 2.B 25,000,147 92.7600 24,805,601 0 24,798,772 0 (201,376) 0 0 0.000 0.000 N/A 0 250,436 11/30/2021

922907-74-6 VANGUARD TAX EXEMPT BOND ETF ETF LS 1.E 6,006,266 54.9100 6,009,845 0 5,951,591 0 (54,674) 0 0 0.000 0.000 N/A 0 31,773 09/28/2021

6099999. Subtotal - Bonds - SVO Identified Funds - Exchange Traded Funds - as Identified by the SVO 100,103,433 XXX 99,537,304 0 99,361,135 0 (742,299) 0 0 XXX XXX XXX 3,007 989,492 XXX XXX

E10.8




3 4 5 8 9 12 13 14 15 16 17 18 19 20 21 22


Code

Foreign

BondChar


ModifierandSVO


ActualCost

Rate Used to Obtain

Fair Value

FairValue

ParValue


Value


(Decrease)


Accretion



TotalForeign

ExchangeChange

inBook/

AdjustedCarrying

ValueRate

of

EffectiveRate

ofWhenPaid


Amount Received


StatedContractual

MaturityDate

6599999. Subtotal - Unaffiliated Bank Loans 0 XXX 0 0 0 0 0 0 0 XXX XXX XXX 0 0 XXX XXX

7699999. Total - Issuer Obligations 345,599,499 XXX 353,470,962 333,465,342 342,270,808 (983,508) (1,001,882) 0 0 XXX XXX XXX 3,412,983 8,808,412 XXX XXX

7799999. Total - Residential Mortgage-Backed Securities 920,000 XXX 915,157 920,000 920,000 0 0 0 0 XXX XXX XXX 1,772 0 XXX XXX

7899999. Total - Commercial Mortgage-Backed Securities 57,633,038 XXX 57,785,240 56,515,306 57,108,667 0 (227,637) 0 0 XXX XXX XXX 107,321 1,198,627 XXX XXX

7999999. Total - Other Loan-Backed and Structured Securities 72,758,720 XXX 72,498,587 72,705,766 72,720,354 0 (22,987) 0 0 XXX XXX XXX 145,639 675,731 XXX XXX

8099999. Total - SVO Identified Funds 100,103,433 XXX 99,537,304 0 99,361,135 0 (742,299) 0 0 XXX XXX XXX 3,007 989,492 XXX XXX

8199999. Total - Affiliated Bank Loans 0 XXX 0 0 0 0 0 0 0 XXX XXX XXX 0 0 XXX XXX

8299999. Total - Unaffiliated Bank Loans 0 XXX 0 0 0 0 0 0 0 XXX XXX XXX 0 0 XXX XXX

8399999 - Total Bonds 577,014,690 XXX 584,207,250 463,606,414 572,380,964 (983,508) (1,994,805) 0 0 XXX XXX XXX 3,670,722 11,672,262 XXX XXX

1.

LineNumber

Book/Adjusted Carrying Value by NAIC Designation Category Footnote:

1A 1A $ 104,882,138 1B $ 9,258,725 1C $ 32,114,455 1D $ 5,657,384 1E $ 32,468,318 1F $ 60,799,223 1G $ 34,157,334

1B 2A $ 71,049,112 2B $ 98,620,445 2C $ 49,452,065

1C 3A $ 21,383,311 3B $ 21,933,943 3C $ 23,338,991

1D 4A $ 3,386,287 4B $ 1,762,054 4C $ 2,117,179

1E 5A $ 0 5B $ 0 5C $ 0

1F 6 $ 0

E10.9


Schedule D - Part 2 - Section 1 - Preferred Stocks Owned

N O N E

Schedule D - Part 2 - Section 2 - Common Stocks Owned

N O N E

E11, E12


SCHEDULE D - PART 3Showing All Long-Term Bonds and Stocks ACQUIRED During Current Year

1

CUSIP Identification

2

Description

3

Foreign

4

DateAcquired

5

Name of Vendor

6

Number of Sharesof Stock

7

Actual Cost

8

Par Value

9Paid for Accrued

Interest andDividends

44148J-AA-7 HWIRE 2021-1 A2 144A 2.311% 11/20/51 11/09/2021 Morgan Stanley 920,000 920,000 0

0599999. Subtotal - Bonds - U.S. Governments 920,000 920,000 0

452153-AU-3 ILLINOIS ST SERIES A 4.000% 03/01/40 03/17/2021 Morgan Stanley 187,740 170,000 0

882724-WK-9 TEXAS ST SERIES C 5.000% 08/01/26 11/23/2021 First Union Capital Markets 480,492 400,000 3,222

1799999. Subtotal - Bonds - U.S. States, Territories and Possessions 668,232 570,000 3,222

108151-VU-2 BRIDGEPORT CT 7.640% 01/15/30 10/01/2021 Carmona Motley & Co. Inc 2,063,156 1,655,000 28,098

358586-PC-3 FRIENDSWOOD TX INDEP SCH DIST 4.000% 02/15/31 03/15/2021 Direct 127,231 100,000 222

980898-XP-0 WOONSOCKET RI 6.290% 07/15/32 10/14/2021 Goldman Sachs & Co 3,494,119 2,815,000 45,741

2499999. Subtotal - Bonds - U.S. Political Subdivisions of States, Territories and Possessions 5,684,506 4,570,000 74,061

052451-BC-4 AUSTIN TX RENTAL CAR SPL FAC R 2.110% 11/15/32 02/10/2021 FUNB FUNDS II 2,000,000 2,000,000 0

052451-BD-2 AUSTIN TX RENTAL CAR SPL FAC R 2.210% 11/15/33 02/10/2021 FUNB FUNDS II 2,610,000 2,610,000 0

052451-BE-0 AUSTIN TX RENTAL CAR SPL FAC R 2.310% 11/15/34 02/10/2021 FUNB FUNDS II 500,000 500,000 0

052451-BF-7 AUSTIN TX RENTAL CAR SPL FAC R 2.410% 11/15/35 02/10/2021 FUNB FUNDS II 2,970,000 2,970,000 0

260888-AJ-1 DOWNEY CA PENSN OBLIG 1.950% 06/01/31 02/10/2021 Merrill Lynch Pierce Fenner 950,000 950,000 0

260888-AK-8 DOWNEY CA PENSN OBLIG 2.050% 06/01/32 02/10/2021 Merrill Lynch Pierce Fenner 925,000 925,000 0

260888-AN-2 DOWNEY CA PENSN OBLIG 2.350% 06/01/35 02/10/2021 Merrill Lynch Pierce Fenner 1,090,000 1,090,000 0

37828A-AK-5 GLENDALE AZ COPS 2.542% 07/01/33 06/24/2021 RBC 5,020,000 5,020,000 0

37828A-AL-3 GLENDALE AZ COPS 2.642% 07/01/34 06/24/2021 RBC 4,000,000 4,000,000 0

37828A-AM-1 GLENDALE AZ COPS 2.742% 07/01/35 06/24/2021 RBC 3,820,000 3,820,000 0

45506E-BV-4 INDIANA ST FIN AUTH REVENUE SERIES B 1.670% 11/15/22 07/01/2021 Pershing 295,000 295,000 0

45506E-BW-2 INDIANA ST FIN AUTH REVENUE SERIES B 1.720% 11/15/23 07/01/2021 Pershing 290,000 290,000 0

45506E-BZ-5 INDIAN ST FIN AUTH REVENUE SERIES B 2.520% 11/15/26 07/01/2021 Pershing 510,000 510,000 0

57563R-RZ-4 MASSACHUSETTS ST EDUCTNL FING SERIES A 2.641% 07/01/37 06/25/2021 RBC 1,875,000 1,875,000 0

646136-7Z-8 NEW JERSEY ST TRANSPRTN TRUST SERIES A 4.000% 06/15/35 04/29/2021 Carmona Motley & Co. Inc 154,209 130,000 0

798136-YC-5 SAN JOSE CA APRT REVENUE SERIES C 2.710% 03/01/33 03/25/2021 Morgan Stanley 555,000 555,000 0

916856-HB-6 UPTOWN DEV AUTH TX INCR CONTRA SERIES B 2.581% 09/01/31 02/04/2021 Paine Webber 295,000 295,000 0

3199999. Subtotal - Bonds - U.S. Special Revenues 27,859,209 27,835,000 0

00109L-AA-1 ADT SEC CORP SERIES 144A 4.125% 08/01/29 07/15/2021 Deutsche Bank 390,000 390,000 0

00164V-AF-0 AMC NETWORKS INC 4.250% 02/15/29 07/15/2021 MarketAxess Corporation 562,643 560,000 10,644

00175L-AS-1 AMERICAN MONEY MANAGEMENT SERIES 2014-14A CLASS A2R2 144 1.525% 07/25/29 01/12/2021 Chase 1,125,000 1,125,000 0

00253X-AB-7 AMERICAN AIRLINES AADVAN SERIES 144A 5.750% 04/20/29 07/15/2021 Morgan Stanley 748,436 690,000 12,674

01627A-AA-6 ALIGNED DATA CENTERS ISSUER LL SERIES 2021-1A CLASS A2 144A 1.937% 08/15/46 08/11/2021 GUGGENHEIM CAPITAL MAK 2,150,000 2,150,000 0

019736-AE-7 ALLISON TRANSMISSION INC SERIES 144A 4.750% 10/01/27 07/30/2021 Various 543,472 520,000 7,964

02005N-BF-6 ALLY FINANCIAL INC 5.750% 11/20/25 07/15/2021 Merrill Lynch Pierce Fenner 229,248 200,000 1,885

032177-AJ-6 AMSTED INDUSTRIES SERIES 144A 4.625% 05/15/30 07/15/2021 Wachovia Securities 371,808 360,000 2,960

03237K-AC-8 AXIS EQUIPMENT FINANCE RECEIV SERIES 2021-1A CLASS B 144A 1.380% 02/22/27 04/14/2021 Carmona Motley & Co. Inc 209,965 210,000 0

03690A-AH-9 ANTERO RESOURCES MIDSTRE SERIES 144A 5.375% 06/15/29 07/15/2021 Goldman Sachs & Co 186,750 180,000 1,102

039524-AA-1 ARCHES BUYER INC SERIES 144A 4.250% 06/01/28 12/14/2021 Bank of America 88,659 90,000 170

03969Y-AA-6 ARDAGH METAL PACKAGING SERIES 144A 3.250% 09/01/28 07/15/2021 Piper Jeffries & Co 378,928 380,000 4,357

049362-AA-4 ATLAS LUXCO 4 ALL UNI SERIES 144A 4.625% 06/01/28 07/14/2021 Goldman Sachs & Co 360,893 360,000 2,868

05609V-AJ-4 BX TRUST SERIES 2021-VOLT CLASS C 144A 1.210% 09/15/23 09/15/2021 Citigroup Global Markets 179,000 179,000 0

056162-AN-0 BABSON CLO LTD SERIES 2015-IA CLASS AR 144A 1.124% 01/20/31 02/02/2021 Bank of America 970,000 970,000 491

058498-AX-4 BALL CORP 3.125% 09/15/31 09/09/2021 Deutsche Bank 640,000 640,000 0

08163J-AL-8 BENCHMARK MORTGAGE TRUST SERIES 2021-B29 CLASS C 2.752% 09/15/54 09/17/2021 Goldman Sachs & Co 413,999 414,000 918

08580B-AA-4 BERRY PETROLEUM CO LLC SERIES 144A 7.000% 02/15/26 07/15/2021 Goldman Sachs & Co 377,393 370,000 11,079

095796-AE-8 BLUE RACER MID LLC FINAM SERIES 144A 6.625% 07/15/26 07/15/2021 J P Morgan 377,017 360,000 265

09739D-AD-2 BOISE CASCADE COMPANY SERIES 144A 4.875% 07/01/30 07/15/2021 Citigroup Global Markets 223,564 210,000 512

09951L-AB-9 BOOZ ALLEN HAMILTON INC SERIES 144A 4.000% 07/01/29 07/15/2021 Morgan Stanley 379,117 370,000 1,316

11120V-AK-9 BRIXMOR OPERATING PART 2.250% 04/01/28 03/02/2021 Various 210,224 210,000 0

12008R-AP-2 BUILDERS FIRSTSOURCE INC SERIES 144A 4.250% 02/01/32 07/21/2021 Bank of America 170,000 170,000 0

12116L-AA-7 BURFORD CAPITAL GLBL FIN SERIES 144A 6.250% 04/15/28 07/15/2021 Merrill Lynch Pierce Fenner 451,883 430,000 7,764

12434C-AJ-3 BX TRUST SERIES 2021-SDMF CLASS C 144A 0.998% 09/15/23 09/17/2021 Morgan Stanley 398,784 400,000 0

12434D-AJ-1 BX TRUST SERIES 2021-LGCY CLASS C 144A 1.114% 10/15/23 10/13/2021 Morgan Stanley 8,314,532 8,395,000 0

12434D-AL-6 BX TRUST SERIES 2021-LGCY CLASS D 144A 1.412% 10/15/23 10/13/2021 Morgan Stanley 8,314,327 8,395,000 0

1248EP-CN-1 CCO HLDGS LLC CAP CORP 4.500% 05/01/32 07/15/2021 CS First Boston 1,457,820 1,400,000 13,650

1248EP-CP-6 CCO HLDGS LLC CAP CORP SERIES 144A 4.250% 01/15/34 08/04/2021 Morgan Stanley 20,093 20,000 2

12508E-AJ-0 CDK GLOBAL INC SERIES 144A 5.250% 05/15/29 07/15/2021 Piper Jeffries & Co 295,958 270,000 4,883

12513G-BF-5 CDW LLC CDW FINANCE 3.250% 02/15/29 07/15/2021 MARKETAXESS 450,405 450,000 6,256

12530M-AE-5 CF HIPPOLYTA ISSUER LLC SERIES 2021-1A CLASS A1 144A 1.530% 03/15/61 03/10/2021 Goldman Sachs & Co 747,349 747,492 0

125581-GX-0 CIT GROUP INC 6.125% 03/09/28 07/15/2021 MARKETAXESS 564,208 460,000 10,174

126307-BH-9 CSC HOLDINGS LLC SERIES 144A 4.550% 11/15/31 07/13/2021 Goldman Sachs & Co 1,114,960 1,100,000 8,525

14312J-AY-8 CARLYLE GLOBAL MARKET STRATEGI SERIES 2015-5A CLASS A1RR 144A 1.160% 01/20/32 09/17/2021 Citigroup Global Markets 2,895,000 2,895,000 0

14316N-AC-3 CARMAX AUTO OWNER TRUST SERIES 2021-1 CLASS A3 0.340% 12/15/25 01/20/2021 Mitsubishi Securities 2,474,511 2,475,000 0

14317J-AH-0 CARMAX AUTO OWNER TRUST SERIES 2021-4 CLASS D 1.480% 03/15/28 09/14/2021 Bony/Barclays Capital Inc 364,865 365,000 0

E13



1


2

Description

3

Foreign

4

DateAcquired

5

Name of Vendor

6


7

Actual Cost

8

Par Value

9Paid for Accrued


15135B-AV-3 CENTENE CORP SERIES WI 3.375% 02/15/30 07/14/2021 Goldman Sachs & Co 892,483 850,000 12,033

156504-AM-4 CENTURY COMMUNITIES SERIES 144A 3.875% 08/15/29 08/03/2021 Bank of America 260,000 260,000 0

156700-BD-7 LUMEN TECHNOLOGIES INC SERIES 144A 4.500% 01/15/29 07/15/2021 Goldman Sachs & Co 376,162 380,000 190

15723R-AC-8 CFX ESCROW CORP SERIES 144A 6.375% 02/15/26 07/15/2021 MarketAxess Corporation 127,188 120,000 3,273

16411Q-AK-7 CHENIERE ENERGY PARTNERS SERIES WI 4.000% 03/01/31 11/30/2021 Tax Free Exchange 749,066 710,000 7,021

16411Q-AL-5 CHENIERE ENERGY PARTNERS SERIES 144A 3.250% 01/31/32 09/13/2021 Various 250,826 250,000 0

19240C-AC-7 COGENT COMMUNICATIONS GR SERIES 144A 3.500% 05/01/26 07/15/2021 Merrill Lynch Pierce Fenner 377,659 370,000 2,590

197363-AU-8 CENT CLO LP SERIES 2020-29A CLASS AR 144A 1.302% 10/20/34 10/26/2021 Piper Jeffries & Co 8,000,000 8,000,000 0

197677-AJ-6 HCA INC 7.050% 12/01/27 07/19/2021 J P Morgan 466,311 370,000 3,623

212015-AT-8 CONTINENTAL RESOURCES SERIES 144A 5.750% 01/15/31 07/15/2021 Goldman Sachs & Co 743,988 620,000 396

21871N-AB-7 CORECIVIC INC 8.250% 04/15/26 09/22/2021 Imperial Capital LLC 204,500 200,000 7,563

22788C-AA-3 CROWDSTRIKE HOLDINGS INC 3.000% 02/15/29 07/15/2021 Citigroup Global Markets 304,428 300,000 4,475

228701-AG-3 CROWNROCK LP CROWNROCK F SERIES 144A 5.000% 05/01/29 07/15/2021 J P Morgan 375,260 360,000 4,450

233046-AN-1 DB MASTER FINANCE LLC SERIES 2021-1A CLASS A2I 144A 2.045% 11/20/51 10/15/2021 Bony/Barclays Capital Inc 1,585,000 1,585,000 0

23311R-AA-4 DCP MIDSTREAM SERIES 144A 6.750% 09/15/37 07/19/2021 Morgan Stanley 370,440 300,000 7,088

23311V-AK-3 DCP MIDSTREAM OPERATING 3.250% 02/15/32 11/04/2021 J P Morgan 180,000 180,000 0

24702V-AL-6 DELL EQUIPMENT FINANCE TRUST SERIES 2021-2 CLASS D 144A 1.210% 06/22/27 09/14/2021 National Financial Services 209,995 210,000 0

247361-ZZ-4 DELTA AIR LINES INC 7.375% 01/15/26 07/15/2021 Morgan Stanley 447,990 380,000 311

25265L-AA-8 DNFRA SERIES 2021-1 CLASS A 144A 1.760% 04/15/49 06/08/2021 Bony/Barclays Capital Inc 1,350,000 1,350,000 0

25461L-AA-0 DIRECTV HOLDINGS FING SERIES 144A 5.875% 08/15/27 12/06/2021 CS First Boston 331,925 330,000 2,280

25470X-BD-6 DISH DBS CORP SERIES WI 5.125% 06/01/29 08/30/2021 Tax Free Exchange 887,138 900,000 12,300

25470X-BF-1 DISH DBS CORP SERIES 144A 5.750% 12/01/28 11/10/2021 Deutsche Bank 60,000 60,000 0

25525P-AB-3 DIVERSIFIED HEALTHCARE T 4.375% 03/01/31 07/15/2021 MarketAxess Corporation 754,292 770,000 15,066

257812-AE-7 DONLEN FLEET LEASE FUNDING SERIES 2021-2 CLASS B 144A 0.980% 12/11/34 04/20/2021 Chase 829,880 830,000 0

26249Q-AU-2 DRYDEN SENIOR LOAN FUND SERIES 2015-38A CLASS BR 144A 1.774% 07/15/30 01/25/2021 Citigroup Global Markets 1,502,354 1,500,000 946

26884L-AL-3 EQT CORP 5.000% 01/15/29 07/16/2021 Bank of America 753,951 670,000 465

26884U-AG-4 EPR PROPERTIES 3.600% 11/15/31 10/13/2021 Various 2,874,339 2,890,000 0

26885B-AE-0 EQM MIDSTREAM PARTNERS L SERIES 30Y 6.500% 07/15/48 07/15/2021 Millinium Advisors 372,198 340,000 246

26885B-AH-3 EQM MIDSTREAM PARTNERS L SERIES 144A 6.500% 07/01/27 07/15/2021 Morgan Stanley 375,606 330,000 1,073

28035Q-AB-8 EDGEWELL PERSONAL CARE SERIES 144A 4.125% 04/01/29 07/15/2021 Morgan Stanley 445,584 440,000 6,605

29078E-AA-3 EMBARQ CORP 7.995% 06/01/36 07/15/2021 Goldman Sachs & Co 374,484 330,000 3,518

29260F-AF-7 ENDEAVOR ENERGY RESOURCE SERIES 144A 6.625% 07/15/25 07/15/2021 J P Morgan 446,153 420,000 309

29362U-AD-6 ENTEGRIS INC SERIES 144A 3.625% 05/01/29 07/15/2021 Bank of America 204,060 200,000 1,591

303250-AE-4 FAIR ISAAC CORP SERIES 144A 5.250% 05/15/26 07/15/2021 Bank of America 226,560 200,000 1,867

303250-AF-1 FAIR ISAAC CORP SERIES 144A 4.000% 06/15/28 12/14/2021 Morgan Stanley 219,450 220,000 49

31944T-AA-8 FIRSTCASH INC SERIES 144A 5.625% 01/01/30 12/09/2021 Piper Jeffries & Co 150,000 150,000 0

33767D-AB-1 FIRSTCASH INC SERIES 144A 4.625% 09/01/28 07/15/2021 MarketAxess Corporation 302,630 290,000 5,141

337932-AJ-6 FIRSTENERGY CORP SERIES C 5.600% 07/15/47 07/15/2021 Millinium Advisors 304,930 250,000 149

344849-AA-2 FOOT LOCKER INC SERIES 144A 4.000% 10/01/29 10/07/2021 J P Morgan 169,150 170,000 132

34532N-AF-2 FORD CREDIT AUTO OWNER TRUST SERIES 2021-A CLASS C 0.830% 08/15/28 02/17/2021 Carmona Motley & Co. Inc 964,909 965,000 0

345370-DA-5 FORD MOTOR COMPANY 3.250% 02/12/32 11/08/2021 Various 170,102 170,000 0

345397-B6-9 FORD MOTOR CREDI 3.625% 06/17/31 07/15/2021 Various 1,898,525 1,850,000 3,887

35671D-BC-8 FREEPORT MCMORAN C&G 5.450% 03/15/43 07/15/2021 Merrill Lynch Pierce Fenner 1,141,002 900,000 16,895

361841-AR-0 GLP CAPITAL LP FIN II 3.250% 01/15/32 12/07/2021 First Union Capital Markets 755,258 760,000 0

36261R-AF-5 GM FINANCIAL AUTOMOBILE LEASI SERIES 2021-1 CLASS C 0.700% 02/20/25 02/17/2021 RBC 804,839 805,000 0

36319Q-BQ-4 GALAXY CLO LTD SERIES 2015-19A CLASS A2RR 144 1.524% 07/24/30 03/05/2021 Citigroup Global Markets 765,000 765,000 2,608

36321J-AC-8 GALAXY CLO LTD SERIES 2018-28A CLASS A1 144A 1.224% 07/15/31 02/02/2021 Bank of America 3,004,500 3,000,000 2,235

364760-AQ-1 GAP INC THE SERIES 144A 3.875% 10/01/31 09/13/2021 Citigroup Global Markets 210,000 210,000 0

366651-AG-2 GARTNER INC SERIES 144A 3.625% 06/15/29 07/14/2021 J P Morgan 612,180 600,000 1,692

37255J-AA-0 GENTING NY LLC GENNY CAP SERIES 144A 3.300% 02/15/26 01/27/2021 Various 1,359,767 1,360,000 0

375415-AC-0 GILBERT PARK CLO LTD SERIES 2017-1A CLASS B 144A 1.724% 10/15/30 01/14/2021 Citigroup Global Markets 1,001,800 1,000,000 204

377320-AA-4 GLATFELTER SERIES 144A 4.750% 11/15/29 10/14/2021 HSBC 200,000 200,000 0

38869A-AB-3 GRAPHIC PACKAGING INTERN SERIES 144A 3.500% 03/15/28 07/13/2021 J P Morgan 569,520 560,000 6,533

410345-AL-6 HANESBRANDS INC SERIES 144A 4.875% 05/15/26 07/15/2021 Goldman Sachs & Co 747,774 690,000 5,980

428102-AE-7 HESS MIDSTREAM OPERATION SERIES 144A 4.250% 02/15/30 08/02/2021 Goldman Sachs & Co 170,000 170,000 0

432833-AN-1 HILTON DOMESTIC OPERATIN SERIES 144A 3.625% 02/15/32 07/13/2021 Goldman Sachs & Co 349,125 350,000 5,745

436440-AM-3 HOLOGIC INC SERIES 144A 4.625% 02/01/28 07/15/2021 Millinium Advisors 370,689 350,000 7,554

44267D-AD-9 HOWARD HUGHES CORP SERIES 144A 5.375% 08/01/28 07/15/2021 MARKETAXESS 212,422 200,000 5,017

442851-BA-8 HOWARD UNIVERSITY 3.990% 10/01/33 03/09/2021 Bony/Barclays Capital Inc 685,000 685,000 0

442851-BB-6 HOWARD UNIVERSITY 4.040% 10/01/34 03/09/2021 Bony/Barclays Capital Inc 140,000 140,000 0

46284V-AF-8 IRON MOUNTAIN INC SERIES 144A 4.875% 09/15/29 07/15/2021 MarketAxess Corporation 303,871 290,000 4,870

46285M-AA-8 IRON MOUNTAIN INFOO MGMT SERIES 144A 5.000% 07/15/32 12/13/2021 Morgan Stanley 160,000 160,000 0

47077W-AA-6 JANE STREET GRP JSG FIN SERIES 144A 4.500% 11/15/29 11/02/2021 J P Morgan 230,000 230,000 0

48254G-AC-0 KKR FINANCIAL CLO LTD SERIES 29A CLASS B 144A 1.624% 01/15/32 01/21/2021 Paribas 4,950,000 4,950,000 0

489399-AM-7 KENNEDY WILSON INC 5.000% 03/01/31 07/14/2021 Piper Jeffries & Co 185,980 180,000 3,875

E13.1



1


2

Description

3

Foreign

4

DateAcquired

5

Name of Vendor

6


7

Actual Cost

8

Par Value

9Paid for Accrued


50050N-AA-1 KONTOOR BRANDS INC SERIES 144A 4.125% 11/15/29 11/10/2021 J P Morgan 170,000 170,000 0

50077L-AM-8 KRAFT HEINZ FOODS CO 5.200% 07/15/45 07/13/2021 CS First Boston 629,375 500,000 0

50077L-AT-3 KRAFT HEINZ FOODS CO 4.625% 01/30/29 07/30/2021 Merrill Lynch Pierce Fenner 231,824 200,000 77

501797-AW-4 L BRANDS INC SERIES 144A 6.625% 10/01/30 07/15/2021 MARKETAXESS 560,477 480,000 9,540

50212Y-AF-1 LPL HOLDINGS INC SERIES 144A 4.375% 05/15/31 07/15/2021 Piper Jeffries & Co 224,050 220,000 1,631

505742-AM-8 LADDER CAP FIN LLLP CORP SERIES 144A 4.250% 02/01/27 07/15/2021 Piper Jeffries & Co 752,993 750,000 14,875

513272-AC-8 LAMB WESTON HLD SERIES 144A 4.875% 05/15/28 07/13/2021 Morgan Stanley 557,720 500,000 4,063

521088-AC-8 LD HOLDINGS GROUP LLC SERIES 144A 6.125% 04/01/28 07/14/2021 Goldman Sachs & Co 224,396 220,000 4,117

52532X-AH-8 LEIDOS INC SERIES WI 2.300% 02/15/31 06/18/2021 Tax Free Exchange 1,572,812 1,580,000 12,820

527298-BT-9 LEVEL 3 FINANCING INC SERIES 144A 3.750% 07/15/29 07/15/2021 MarketAxess Corporation 225,306 230,000 96

536797-AG-8 LITHIA MOTORS INC SERIES 144A 3.875% 06/01/29 07/15/2021 Bank of America 220,038 210,000 1,175

541056-AA-5 LOGAN MERGER SUB INC SERIES 144A 5.500% 09/01/27 10/07/2021 Merrill Lynch Pierce Fenner 70,963 70,000 438

55066W-AC-8 LUXE COMMERCIAL MORTGAGE TRU SERIES 2021-TRIP CLASS B 144A 1.500% 10/15/38 10/04/2021 Goldman Sachs & Co 740,000 740,000 0

55066W-AE-4 LUXE COMMERCIAL MORTGAGE TRU SERIES 2021-TRIP CLASS C 144A 1.850% 10/15/38 10/04/2021 Goldman Sachs & Co 720,000 720,000 0

55342U-AM-6 MPT OPER PARTNERSP FINL 3.500% 03/15/31 07/15/2021 Various 1,130,420 1,100,000 13,072

55354G-AH-3 MSCI INC SERIES 144A 4.000% 11/15/29 07/15/2021 Morgan Stanley 562,913 530,000 3,769

55354G-AQ-3 MSCI INC SERIES 144A 3.250% 08/15/33 08/03/2021 Morgan Stanley 230,000 230,000 0

55916A-AA-2 MAGIC MERGERCO INC SERIES 144A 5.250% 05/01/28 07/14/2021 Goldman Sachs & Co 185,621 180,000 2,389

55954L-AE-3 MAGNETITE CLO LTD SERIES 2015-14RA CLASS B 144A 1.722% 10/18/31 01/14/2021 Citigroup Global Markets 2,005,600 2,000,000 0

57667J-AA-0 MATCH GROUP HLD II LLC SERIES 144A 3.625% 10/01/31 10/08/2021 Various 168,613 170,000 146

588056-BB-6 MERCER INTL INC SERIES WI 5.125% 02/01/29 07/15/2021 Goldman Sachs & Co 266,820 260,000 6,403

59567L-AA-2 MIDCAP FINANCIAL ISSR TR SERIES 144A 6.500% 05/01/28 07/14/2021 Goldman Sachs & Co 262,183 250,000 3,476

603158-AA-4 MINERALS TECHNOLOGIES IN SERIES 144A 5.000% 07/01/28 07/13/2021 J P Morgan 471,150 450,000 875

62482B-AA-0 MOZART DEBT MERGER SUB SERIES 144A 3.875% 04/01/29 10/05/2021 J P Morgan 898,875 900,000 0

626738-AF-5 MURPHY OIL USA INC SERIES 144A 3.750% 02/15/31 07/15/2021 Merrill Lynch Pierce Fenner 378,206 380,000 6,729

62928C-AA-0 NGPL PIPECO LLC SERIES 144A 3.250% 07/15/31 05/03/2021 First Union Capital Markets 594,554 595,000 0

629377-CQ-3 NRG ENERGY INC SERIES 144A 3.375% 02/15/29 07/15/2021 MARKETAXESS 297,435 300,000 6,384

63938C-AJ-7 NAVIENT CORP 6.750% 06/15/26 07/15/2021 MarketAxess Corporation 446,756 400,000 2,550

64110L-AU-0 NETFLIX INC SERIES 144A 5.375% 11/15/29 07/13/2021 Piper Jeffries & Co 1,158,791 950,000 4,255

651229-BB-1 NEWELL BRANDS INC 4.875% 06/01/25 07/15/2021 Morgan Stanley 221,080 200,000 1,300

65249B-AA-7 NEWS CORP SERIES 144A 3.875% 05/15/29 07/15/2021 Morgan Stanley 451,400 440,000 4,452

655664-AR-1 NORDSTROM INC 5.000% 01/15/44 08/26/2021 Goldman Sachs & Co 369,075 370,000 2,313

67118A-AJ-4 OPG 21-PORT 0.922% 10/15/36 09/30/2021 Morgan Stanley 743,760 750,000 0

67118A-AL-9 OPG 21-PORT 1.221% 10/15/36 09/30/2021 Morgan Stanley 203,297 205,000 0

674215-AL-2 OASIS PETROLEUM INC SERIES 144A 6.375% 06/01/26 07/15/2021 Merrill Lynch Pierce Fenner 374,501 360,000 2,550

674599-EA-9 OCCIDENTAL PETROLEUM COR 8.875% 07/15/30 07/14/2021 MarketAxess Corporation 682,310 500,000 123

674599-EF-8 OCCIDENTAL PETROLEUM COR 6.125% 01/01/31 07/14/2021 Citigroup Global Markets 597,320 500,000 1,276

680665-AK-2 OLIN CORP 5.000% 02/01/30 07/15/2021 MARKETAXESS 556,473 520,000 12,133

682189-AQ-8 ON SEMICONDUCTOR CORP SERIES 144A 3.875% 09/01/28 07/15/2021 Piper Jeffries & Co 228,202 220,000 3,268

70339P-AA-7 PATTERN ENERGY OP LP PAT SERIES 144A 4.500% 08/15/28 07/15/2021 MARKETAXESS 372,704 360,000 6,930

74166M-AF-3 PRIME SECSRVC BRW FINANC SERIES 144A 3.375% 08/31/27 07/13/2021 Merrill Lynch Pierce Fenner 930,468 950,000 2,672

74841C-AB-7 QUICKEN LOANS LLC QUICKN SERIES 144A 3.875% 03/01/31 07/13/2021 Morgan Stanley 759,300 750,000 10,818

74965L-AA-9 RLJ LODGING TRUST LP SERIES 144A 3.699% 07/01/26 07/15/2021 Citigroup Global Markets 376,209 370,000 1,233

74982W-AE-6 RACE POINT CLO LTD SERIES 2015-9A CLASS A2R2 144A 1.574% 10/15/30 03/15/2021 Chase 370,000 370,000 0

76774L-AA-5 RITCHIE BROS HLDGS INC SERIES 144A 4.750% 12/15/31 12/08/2021 Goldman Sachs & Co 120,938 120,000 0

77313L-AB-9 ROCKETMTGE CO ISSUER INC SERIES 144A 4.000% 10/15/33 10/07/2021 Merrill Lynch Pierce Fenner 185,488 190,000 148

78472U-AC-2 SREIT TRUST SERIES 2021-MFP CLASS B 144A 1.190% 11/15/38 11/16/2021 Citigroup Global Markets 959,355 965,000 0

80286C-AG-5 SANTANDER RETAIL AUTO LEASE TR SERIES 2021-C CLASS D 144A 1.390% 08/20/26 09/14/2021 RBC 674,853 675,000 0

80286N-AE-6 SANTANDER DRIVE AUTO RECEIVAB SERIES 2021-1 CLASS B 0.500% 04/15/25 02/09/2021 Chase 3,464,548 3,465,000 0

817565-CF-9 SERVICE CORP INTL 3.375% 08/15/30 07/13/2021 CS First Boston 1,090,375 1,100,000 15,469

81761L-AB-8 SERVICE PROPERTIES TRUST 5.500% 12/15/27 07/15/2021 Goldman Sachs & Co 377,993 350,000 1,818

82967N-BJ-6 SIRIUS XM RADIO INC SERIES 144A 4.000% 07/15/28 07/15/2021 Morgan Stanley 444,104 430,000 1,338

83614X-AQ-4 SOUND POINT CLO LTD SERIES 2020-1A CLASS AR 144A 1.302% 07/20/34 06/29/2021 Citigroup Global Markets 4,000,000 4,000,000 0

845467-AS-8 SOUTHWESTERN ENERGY CO 5.375% 03/15/30 08/16/2021 Bank of America 420,000 420,000 0

845467-AT-6 SOUTHWESTERN ENERGY CO 4.750% 02/01/32 12/08/2021 Various 170,659 170,000 0

85172F-AR-0 SPRINGLEAF FINANCE CORP 5.375% 11/15/29 07/15/2021 Paribas 671,525 610,000 5,829

852060-AT-9 SPRINT CAPITAL CORP 8.750% 03/15/32 07/15/2021 Goldman Sachs & Co 1,778,289 1,150,000 34,222

85236K-AE-2 STACK INFRASTRUCTURE ISSUER LL SERIES 2021-1A CLASS A2 144A 1.877% 03/26/46 03/12/2021 GUGGENHEIM CAPITAL MAK 790,000 790,000 0

85571B-AL-9 STARWOOD PROPERTY TRUST INC SERIES WI 4.750% 03/15/25 07/15/2021 Citigroup Global Markets 567,340 540,000 8,835

858912-AG-3 STERICYCLE INC SERIES 144A 3.875% 01/15/29 07/15/2021 Millinium Advisors 756,045 750,000 323

87162W-AE-0 SYNNEX CORP SERIES 144A 1.750% 08/09/26 07/29/2021 Citigroup Global Markets 6,219,221 6,240,000 0

87231B-AE-3 TCI FLATIRON CLO LTD SERIES 2017-1A CLASS B 144A 1.718% 11/18/30 01/14/2021 Citigroup Global Markets 2,001,600 2,000,000 6,237

87264A-CE-3 T MOBILE USA INC SERIES 144A 3.500% 04/15/31 07/15/2021 Merrill Lynch Pierce Fenner 1,362,114 1,300,000 14,389

87267H-AA-5 TPGI TRUST SERIES 2021-DGWD CLASS A 144A 0.802% 06/15/26 05/27/2021 Goldman Sachs & Co 720,000 720,000 0

87342R-AG-9 TACO BELL FUNDING LLC SERIES 2021-1A CLASS A21 144A 1.946% 08/25/51 08/11/2021 Bony/Barclays Capital Inc 2,130,000 2,130,000 0

E13.2



1


2

Description

3

Foreign

4

DateAcquired

5

Name of Vendor

6


7

Actual Cost

8

Par Value

9Paid for Accrued


87422V-AF-5 TALEN ENERGY SUPPLY LLC SERIES 144A 7.250% 05/15/27 08/03/2021 Goldman Sachs & Co 347,813 375,000 6,042

87470L-AJ-0 TALLGRASS NRG PRTNR FIN SERIES 144A 6.000% 12/31/30 07/15/2021 MarketAxess Corporation 295,548 280,000 887

87612B-BN-1 TARGA RESOURCES PARTNERS 6.875% 01/15/29 07/15/2021 Merrill Lynch Pierce Fenner 744,335 660,000 504

87901J-AH-8 TEGNA INC 5.000% 09/15/29 07/13/2021 CS First Boston 899,130 850,000 14,167

88161K-AG-0 TESLA AUTO LEASE TRUST SERIES 2021-B CLASS D 144A 1.320% 09/22/25 09/14/2021 Bony/Barclays Capital Inc 214,944 215,000 0

89055F-AB-9 TOPBUILD CORP SERIES 144A 3.625% 03/15/29 07/15/2021 Piper Jeffries & Co 567,036 570,000 7,117

893647-BP-1 TRANSDIGM INC SERIES WI 4.625% 01/15/29 09/20/2021 Tax Free Exchange 190,145 190,000 1,587

90932L-AG-2 UNITED AIRLINES INC SERIES 144A 4.375% 04/15/26 07/15/2021 Merrill Lynch Pierce Fenner 444,091 430,000 4,599

911363-AM-1 UNITED RENTALS NORTH AM 3.875% 02/15/31 07/13/2021 Wachovia Securities 769,913 750,000 12,109

92328M-AB-9 VENTURE GLOBAL CALCASIEU SERIES 144A 4.125% 08/15/31 07/29/2021 Morgan Stanley 190,000 190,000 0

92328M-AC-7 VENTURE GLOBAL CALCASIEU SERIES 144A 3.875% 11/01/33 11/17/2021 J P Morgan 310,000 310,000 0

92343V-FW-9 VERIZON COMMUNICATIONS SERIES WI 2.987% 10/30/56 05/03/2021 Tax Free Exchange 8,740,872 8,530,000 2,123

92343V-GH-1 VERIZON COMMUNICATIONS 2.100% 03/22/28 03/11/2021 Morgan Stanley 1,524,314 1,525,000 0

92535U-AB-0 VERTIV GROUP CORPORATION SERIES 144A 4.125% 11/15/28 10/14/2021 Citigroup Global Markets 100,000 100,000 0

958667-AC-1 WESTERN MIDSTREAM OPERAT 5.300% 02/01/30 07/15/2021 Merrill Lynch Pierce Fenner 749,285 660,000 16,324

96926J-AC-1 WILLIAM CARTER SERIES 144A 5.625% 03/15/27 07/15/2021 Piper Jeffries & Co 565,531 540,000 10,463

969457-BY-5 WILLIAMS COMPANIES INC 2.600% 03/15/31 10/05/2021 First Union Capital Markets 6,199,742 6,140,000 10,199

98163H-AF-6 WORLD OMNI SELECT AUTO TRUST SERIES 2021-A CLASS D 1.440% 11/15/27 09/14/2021 Mitsubishi Securities 254,994 255,000 0

98164E-AE-5 WORLD OMNI AUTO RECEIVABLES T SERIES 2021-A CLASS B 0.640% 12/15/26 02/03/2021 Mizuho Securities USA 1,239,805 1,240,000 0

98262P-AA-9 WW INTERNATIONAL INC SERIES 144A 4.500% 04/15/29 07/13/2021 Citigroup Global Markets 407,000 400,000 4,600

983133-AA-7 WYNN RESORTS FINANCE LLC SERIES 144A 5.125% 10/01/29 07/14/2021 Goldman Sachs & Co 189,446 180,000 2,691

98425B-AU-0 YMCA OF GREATER NY 2.303% 08/01/26 07/12/2021 Chase 725,000 725,000 0

008911-BK-4 AIR CANADA SERIES 144A 3.875% 08/15/26 A 07/27/2021 Citigroup Global Markets 150,000 150,000 0

03746A-AA-8 APACHE FINANCE CANADA 7.750% 12/15/29 A 07/20/2021 Citigroup Global Markets 372,775 310,000 2,469

071734-AK-3 BAUSCH HEALTH COS INC SERIES 144A 6.250% 02/15/29 A 07/15/2021 J P Morgan 299,217 300,000 8,021

071734-AN-7 BAUSCH HEALTH COS INC SERIES 144A 4.875% 06/01/28 A 07/13/2021 J P Morgan 1,130,250 1,100,000 5,511

14739L-AB-8 CASCADES INC USA INC SERIES 144A 5.375% 01/15/28 A 07/14/2021 Wachovia Securities 793,125 750,000 112

36168Q-AK-0 GFL ENVIRONMENTAL INC SERIES 144A 3.750% 08/01/25 A 07/15/2021 MarketAxess Corporation 453,662 440,000 7,700

552704-AD-0 MEG ENERGY CORP SERIES 144A 6.500% 01/15/25 A 07/15/2021 Piper Jeffries & Co 298,345 288,000 208

683715-AC-0 OPEN TEXT CORP SERIES 144A 3.875% 02/15/28 A 07/15/2021 RBC 298,990 290,000 4,807

86828L-AC-6 SUPERIOR PLUS GEN PRTNR SERIES 144A 4.500% 03/15/29 A 07/15/2021 Piper Jeffries & Co 381,433 370,000 5,920

89346D-AE-7 TRANSALTA CORP 6.500% 03/15/40 A 07/15/2021 MarketAxess Corporation 219,758 190,000 4,254

89352H-BC-2 TRANSCANADA PIPELINES 2.500% 10/12/31 A 10/07/2021 Mizuho Securities USA 7,097,986 7,145,000 0

00774M-AX-3 AERCAP IRELAND CAP GLOBA 3.300% 01/30/32 D 10/21/2021 Citigroup Global Markets 149,436 150,000 0

013822-AC-5 ALCOA NEDERLAND HOLDING SERIES 144A 6.125% 05/15/28 D 07/15/2021 MarketAxess Corporation 230,076 210,000 2,287

020564-AE-0 ALPEK SA DE CV SERIES 144A 3.250% 02/25/31 D 02/18/2021 Citigroup Global Markets 4,712,999 4,725,000 0

03938L-AS-3 ARCELORMITTAL 6.750% 03/01/41 D 07/15/2021 J P Morgan 568,720 400,000 10,350

08860H-AC-8 BHARTI AIRTEL LTD SERIES 144A 3.250% 06/03/31 D 02/24/2021 Chase 5,959,512 5,965,000 0

13806C-AA-0 CANPACK SA CANPACK US SERIES 144A 3.875% 11/15/29 D 10/04/2021 Wachovia Securities 260,000 260,000 0

143658-BR-2 CARNIVAL CORP SERIES 144A 6.000% 05/01/29 D 10/19/2021 Bank of America 30,000 30,000 0

30251G-BC-0 FMG RESOURCES AUG 2006 SERIES 144A 4.375% 04/01/31 D 07/15/2021 Citigroup Global Markets 561,506 520,000 7,204

36321P-AD-2 GALAXY PIPELINE ASSETS SERIES 144A 1.751% 03/31/34 D 02/09/2021 Citigroup Global Markets 3,435,000 3,435,000 0

37960J-AA-6 GLOBAL AIR LEASE CO LTD SERIES 144A 6.500% 09/15/24 D 07/15/2021 Morgan Stanley 374,018 370,000 0

43103Q-AA-6 HIGHLAND HOLDINGS BOND SERIES 144A 7.625% 10/15/25 D 10/15/2021 Various 574,275 541,775 11,344

460599-AE-3 INTERNATIONAL GAME TECH SERIES 144A 5.250% 01/15/29 D 07/15/2021 CS First Boston 752,710 700,000 408

55300R-AA-9 MGM CHINA HOLDINGS LTD SERIES 144A 5.375% 05/15/24 D 07/15/2021 Goldman Sachs & Co 298,245 290,000 2,771

58547D-AD-1 MELCO RESORTS FINANCE SERIES 144A 5.375% 12/04/29 D 07/15/2021 CS First Boston 559,813 530,000 3,561

62886H-AR-2 NCL CORPORATION LTD SERIES 144A 12.250% 05/15/24 D 07/15/2021 Wachovia Securities 155,188 130,000 2,831

62886H-AY-7 NCL CORPORATION LTD SERIES 144A 10.250% 02/01/26 D 07/14/2021 Bank of America 120,567 104,000 4,886

68341P-AA-7 OOREDOO INTL FINANCE SERIES 144A 3.750% 06/22/26 D 03/10/2021 Piper Jeffries & Co 1,692,180 1,530,000 12,750

780153-BG-6 ROYAL CARIBBEAN CRUISES SERIES 144A 5.500% 04/01/28 D 07/14/2021 Morgan Stanley 373,014 360,000 5,885

78081B-AJ-2 ROYALTY PHARMA PLC SERIES WI 1.750% 09/02/27 D 08/03/2021 Tax Free Exchange 132,970 135,000 991

81725W-AK-9 SENSATA TECHNOLOGIES BV SERIES 144A 4.000% 04/15/29 D 07/15/2021 MarketAxess Corporation 560,901 550,000 6,722

84859B-AA-9 SPIRIT LOYALTY KY LTD IP SERIES 144A 8.000% 09/20/25 D 07/15/2021 Goldman Sachs & Co 453,992 400,000 7,911

87927V-AM-0 TELECOM ITALIA CAPITAL 6.000% 09/30/34 D 07/13/2021 Goldman Sachs & Co 867,975 750,000 13,125

88167A-AE-1 TEVA PHARMACEUTICALS NE 3.150% 10/01/26 D 07/14/2021 Piper Jeffries & Co 714,210 750,000 6,891

88167A-AP-6 TEVA PHARMACEUTICAL INDU 4.750% 05/09/27 D 11/02/2021 J P Morgan 290,000 290,000 0

88167A-AQ-4 TEVA PHARMACEUTICAL INDU 5.125% 05/09/29 D 11/02/2021 J P Morgan 230,000 230,000 0

92331X-AY-0 VENTURE CDO LTD SERIES 2018-35A CLASS BLR 144A 1.878% 10/22/31 D 03/26/2021 Piper Jeffries & Co 3,500,000 3,500,000 0

92682R-AA-0 VIKING OCEAN CRUISES SHI SERIES 144A 5.625% 02/15/29 D 07/14/2021 Morgan Stanley 373,774 370,000 9,481

92858R-AB-6 VMED O2 UK FINAN SERIES 144A 4.750% 07/15/31 D 07/13/2021 Morgan Stanley 1,114,740 1,100,000 1,161

3899999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) 208,277,797 203,574,267 761,833

534187-BP-3 LINCOLN NATIONAL CORP HYB 2.172% 04/20/67 08/09/2021 Tax Free Exchange 705,613 975,000 1,178

4899999. Subtotal - Bonds - Hybrid Securities 705,613 975,000 1,178

E13.3



1


2

Description

3

Foreign

4

DateAcquired

5

Name of Vendor

6


7

Actual Cost

8

Par Value

9Paid for Accrued


464287-24-2 ISHARES IBOXX INV GRD CORP BON 03/31/2021 WallachBeth 0.000 4,597,610 0 0

464288-41-4 ISHARES BARCLAYS MBS BOND FUND 09/28/2021 WallachBeth 0.000 6,010,876 0 0

464288-58-8 ISHARES BARCLAYS MBS BOND FUND 09/28/2021 WallachBeth 0.000 6,013,295 0 0

464288-63-8 ISHARES INTERMEDIATE TERM CORP 03/31/2021 WallachBeth 0.000 10,848,786 0 0

464288-64-6 ISHARES SHORT TERM CORPORATE B 03/31/2021 WallachBeth 0.000 9,872,693 0 0

46429B-65-5 ISHARES FLOATING RATE BOND E EFT 09/28/2021 WallachBeth 0.000 6,009,187 0 0

46641Q-83-7 JPMORGAN ULTRA-SHORT INCOME 03/31/2021 WallachBeth 0.000 6,579,417 0 0

78464A-47-4 SPDR PORTFOLIO SHORT TERM CORP 03/31/2021 WallachBeth 0.000 13,155,950 0 0

78464A-64-9 SPDR BLOOMBERG BARCLAYS AGGREG 09/28/2021 WallachBeth 0.000 6,009,206 0 0

92206C-87-0 ISHARES VANGUARD GROUP INTERM 11/30/2021 WallachBeth 0.000 25,000,147 0 0

922907-74-6 VANGUARD TAX EXEMPT BOND ETF ETF 09/28/2021 WallachBeth 0.000 6,006,257 0 0

8099999. Subtotal - Bonds - SVO Identified Funds 100,103,424 0 0

8399997. Total - Bonds - Part 3 344,218,781 238,444,267 840,294

8399998. Total - Bonds - Part 5 60,233,714 9,870,508 67,232

8399999. Total - Bonds 404,452,495 248,314,775 907,526

8999997. Total - Preferred Stocks - Part 3 0 XXX 0

8999998. Total - Preferred Stocks - Part 5 XXX

8999999. Total - Preferred Stocks 0 XXX 0

9799997. Total - Common Stocks - Part 3 0 XXX 0

9799998. Total - Common Stocks - Part 5 XXX

9799999. Total - Common Stocks 0 XXX 0

9899999. Total - Preferred and Common Stocks 0 XXX 0

9999999 - Totals 404,452,495 XXX 907,526

E13.4


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

1 2 3 4 5 6 7 8 9 10 Change In Book/Adjusted Carrying Value 16 17 18 19 20 21

CUSIPIdenti-fication Description

For-eign

DisposalDate

Nameof Purchaser

Number of Shares of

StockCon-

sideration Par Value Actual Cost

Prior YearBook/

Adjusted Carrying

Value

11

Unrealized Valuation Increase/Decrease

12

Current Year's (Amor-

tization)/Accretion

13

Current Year'sOther-Than-

Temporary Impairment Recognized

14

TotalChange in

Book/Adjusted Carrying

Value(11+12-13)

15Total

Foreign Exchange Change in

Book/ Adjusted Carrying

Value

Book/Adjusted Carrying Value at Disposal

Date

Foreign Exchange

Gain(Loss) on Disposal

Realized Gain (Loss) on Disposal

Total Gain (Loss) on Disposal

BondInterest/ Stock

Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date167501-UK-9 CHICAGO ILL BRD EDU 0.000% 12/01/21 12/01/2021 Maturity 2,670,000 2,670,000 2,388,502 2,602,080 0 67,920 0 67,920 0 2,670,000 0 0 0 0 12/01/2021

366119-4D-4 GARLAND TX 5.000% 02/15/28 05/25/2021 Direct 126,765 100,000 128,643 125,461 0 (1,371) 0 (1,371) 0 124,090 0 2,675 2,675 3,597 02/15/2028

732098-FF-0

POMONA CA UNIF SCH DIST SERIES D 5.090%

08/01/28 08/02/2021

Redemption

100.0000 75,000 75,000 82,257 79,932 0 (264) 0 (264) 0 79,668 0 (4,668) (4,668) 3,818 08/01/2028

2499999. Subtotal - Bonds - U.S. Political Subdivisions of States, Territories and Possessions 2,871,765 2,845,000 2,599,402 2,807,473 0 66,285 0 66,285 0 2,873,758 0 (1,993) (1,993) 7,415 XXX

167725-AB-6

CHICAGO IL TRANSIT AUTH SALES SERIES A

6.300% 12/01/21 12/01/2021

Redemption

100.0000 130,000 130,000 138,450 132,242 0 (2,242) 0 (2,242) 0 130,000 0 0 0 8,190 12/01/2021

167725-AE-0

CHICAGO IL TRANSIT AUTH SALES SERIES B

6.300% 12/01/21 12/01/2021

Redemption

100.0000 260,000 260,000 291,722 266,879 0 (6,879) 0 (6,879) 0 260,000 0 0 0 16,380 12/01/2021

358082-HV-0 FRESNO CA 6.460% 06/01/22 06/01/2021

Redemption

100.0000 325,000 325,000 353,919 335,433 0 (4,640) 0 (4,640) 0 330,793 0 (5,793) (5,793) 10,498 06/01/2022

485428-ZX-7

KANSAS ST DEV FIN AUTH REV 5.371%

05/01/26 05/01/2021

Redemption

100.0000 325,000 325,000 356,746 344,218 0 (2,078) 0 (2,078) 0 342,140 0 (17,140) (17,140) 8,728 05/01/2026

57563N-AB-4

MASSACHUSETTS ST EDUCTNL FING 3.850%

05/25/33 12/25/2021

Redemption

100.0000 415,710 415,710 411,776 412,245 0 97 0 97 0 412,342 0 3,368 3,368 7,339 05/25/2033

647200-V3-5 NEW MEXICO MTG FIN AUT 3.750% 03/01/43 12/01/2021 Call 100.0000 20,000 20,000 21,176 20,275 0 (67) 0 (67) 0 20,208 0 (208) (208) 656 03/01/2043

762323-AC-7

RHODE ISLAND ST STUDENT LOAN A SERIES 1

3.442% 12/01/21 12/01/2021 Maturity 445,000 445,000 445,000 445,000 0 0 0 0 0 445,000 0 0 0 15,317 12/01/2021

97689Q-BZ-8

WISCONSIN ST HSG & ECON DEV AU SERIES A

4.000% 09/01/45 09/01/2021 Call 100.0000 265,000 265,000 282,914 279,347 0 (296) 0 (296) 0 279,051 0 (14,051) (14,051) 7,900 09/01/2045

3199999. Subtotal - Bonds - U.S. Special Revenues 2,185,710 2,185,710 2,301,703 2,235,639 0 (16,105) 0 (16,105) 0 2,219,534 0 (33,824) (33,824) 75,008 XXX

02007E-AH-1

ALLY AUTO RECEIVABLES TRUST SERIES 2017-3

CLASS C 2.370% 10/17/22 01/15/2021 Paydown 310,000 310,000 309,987 309,993 0 7 0 7 0 310,000 0 0 0 612 10/17/2022

056054-AA-7

BX TRUST SERIES 2019-XL CLASS A 144A

1.030% 10/15/36 12/15/2021 Paydown 293,404 293,404 293,404 293,404 0 0 0 0 0 293,404 0 0 0 2,022 10/15/2036

056059-AA-6

BX TRUST SERIES 2018-IND CLASS A 144A

0.860% 11/15/35 10/15/2021 Paydown 599,558 599,558 599,558 599,558 0 0 0 0 0 599,558 0 0 0 3,438 11/15/2035

12530M-AA-3

CF HIPPOLYTA ISSUER LLC SERIES 2020-1 CLASS

A1 144A 1.690% 07/15/60 12/15/2021 Paydown 17,954 17,954 17,951 17,952 0 2 0 2 0 17,954 0 0 0 260 07/15/2060

14312J-AQ-5

CARLYLE GLOBAL MARKET STRATEGI SERIES 2015-

5A CLASS A1R 144A 1.452% 01/20/32 09/29/2021 Paydown 2,900,000 2,900,000 2,612,001 2,650,177 0 249,823 0 249,823 0 2,900,000 0 0 0 41,969 01/20/2032

14312Q-AE-6

CARMAX AUTO OWNER TRUST SERIES 2016-4 CLASS

B 1.920% 07/15/22 01/15/2021 Paydown 1,750,000 1,750,000 1,723,750 1,746,752 0 3,248 0 3,248 0 1,750,000 0 0 0 2,800 07/15/2022

165183-CJ-1

CHESAPEAKE FUNDING II LLC SERIES 2020-1A

CLASS A1 144A 0.870% 08/16/32 12/15/2021 Paydown 92,870 92,870 92,866 92,866 0 4 0 4 0 92,870 0 0 0 463 08/16/2032

25746U-BT-5 DOMINION ENERGY INC 4.104% 04/01/21 04/01/2021 Maturity 1,000,000 1,000,000 1,000,700 1,000,038 0 (38) 0 (38) 0 1,000,000 0 0 0 20,520 04/01/2021

26969P-AA-6 EAGLE MATERIALS INC 4.500% 08/01/26 07/19/2021 Call 102.4019 2,124,839 2,075,000 2,077,594 2,076,694 0 (243) 0 (243) 0 2,076,452 0 (1,452) (1,452) 139,583 08/01/2026

29373K-AB-9

ENTERPRISE FLEET FINANCING LLC SERIES 2020-1

CLASS A2 144A 1.780% 12/22/25 12/20/2021 Paydown 413,178 413,178 413,110 413,132 0 45 0 45 0 413,178 0 0 0 3,847 12/22/2025

36319Q-BJ-0

GALAXY CLO LTD SERIES 2015-19A CLASS A2R

144A 1.824% 07/24/30 03/30/2021 Paydown 765,000 765,000 765,000 765,000 0 0 0 0 0 765,000 0 0 0 6,311 07/24/2030

44931P-AF-3

HYUNDAI AUTO RECEIVABLES TRUST SERIES 2017-A

CLASS B 2.380% 04/17/23 05/15/2021 Paydown 395,000 395,000 394,926 394,977 0 23 0 23 0 395,000 0 0 0 2,831 04/17/2023

44931P-AG-1

HYUNDAI AUTO RECEIVABLES TRUST SERIES 2017-A

CLASS C 2.530% 11/15/23 06/15/2021 Paydown 740,000 740,000 739,759 739,940 0 60 0 60 0 740,000 0 0 0 9,011 11/15/2023

52532X-AG-0 LEIDOS INC SERIES 144A 2.300% 02/15/31 06/18/2021 Tax Free Exchange 1,572,812 1,580,000 1,572,369 1,572,506 0 306 0 306 0 1,572,812 0 0 0 25,640 02/15/2031

55336V-BM-1 MPLX LP SERIES WI 5.250% 01/15/25 01/15/2021 Call 102.6250 2,052,500 2,000,000 2,020,522 2,016,116 0 (290) 0 (290) 0 2,015,827 0 (15,827) (15,827) 105,000 01/15/2025

55818P-AL-4

MADISON PARK FUNDING LTD SERIES 2014-12A

CLASS AR 144A 1.402% 07/20/26 01/20/2021 Paydown 77,175 77,175 77,175 77,175 0 0 0 0 0 77,175 0 0 0 294 07/20/2026

58013M-FB-5

MCDONALDS CORP SERIES MTN 3.500% 03/01/27

03/26/2021 Chase 921,329 840,000 895,568 886,308 0 (1,800) 0 (1,800) 0 884,508 0 36,821 36,821 17,068 03/01/2027

83614X-AA-9

SOUND POINT CLO LTD SERIES 2020-1A CLASS A1A

144A 1.982% 07/20/30 07/20/2021 Paydown 4,000,000 4,000,000 4,012,000 4,011,613 0 (11,613) 0 (11,613) 0 4,000,000 0 0 0 89,495 07/20/2030

842400-GS-6 SOUTHERN CAL EDISON 2.850% 08/01/29 04/29/2021 Deutsche Bank 1,166,962 1,135,000 1,140,119 1,139,525 0 (163) 0 (163) 0 1,139,362 0 27,600 27,600 24,440 08/01/2029

85572V-AA-8

START LTD SERIES 2019-2 CLASS A 144A

3.536% 11/15/44 10/15/2021 Paydown 197,900 197,900 197,897 192,519 5,378 3 0 5,381 0 197,900 0 0 0 5,387 11/15/2044

E14


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

1 2 3 4 5 6 7 8 9 10 Change In Book/Adjusted Carrying Value 16 17 18 19 20 21

CUSIPIdenti-fication Description

For-eign

DisposalDate

Nameof Purchaser

Number of Shares of

StockCon-

sideration Par Value Actual Cost

Prior YearBook/

Adjusted Carrying

Value

11

Unrealized Valuation Increase/Decrease

12

Current Year's (Amor-

tization)/Accretion

13



14

TotalChange in


Value(11+12-13)

15Total


Book/ Adjusted Carrying

Value

Book/Adjusted Carrying Value at Disposal

Date

Foreign Exchange

Gain(Loss) on Disposal

Realized Gain (Loss) on Disposal


BondInterest/ Stock

Dividends Received

DuringYear

StatedCon-

tractualMaturity

Date

92211M-AE-3

VANTAGE DADA CENTERS LLC SERIES 2018-2A

CLASS A2 144A 4.196% 11/16/43 12/15/2021 Paydown 7,650 7,650 7,650 7,650 0 0 0 0 0 7,650 0 0 0 174 11/16/2043

92343V-FM-1

VERIZON COMMUNICATIONS SERIES 144A 2.987%

10/30/56 05/03/2021 Tax Free Exchange 8,740,872 8,530,000 8,742,738 8,741,894 0 (1,022) 0 (1,022) 0 8,740,872 0 0 0 146,505 10/30/2056

00175L-AJ-1

AMERICAN MONEY MANAGEMENT CORP SERIES 2014-

14A CLASS A2LR 144 1.465% 07/25/29 D 01/25/2021 Paydown 1,125,000 1,125,000 1,125,000 1,125,000 0 0 0 0 0 1,125,000 0 0 0 5,445 07/25/2029

67108W-BE-8

OZLM LTD SERIES 2014-7RA CLASS A1R 144A

1.132% 07/17/29 D 10/18/2021 Paydown 149,957 149,957 149,957 149,957 0 0 0 0 0 149,957 0 0 0 1,352 07/17/2029

74981H-CL-2

RACE POINT CLO LTD SERIES 2015-9A CLASS A2R

144A 1.915% 10/15/30 D 04/05/2021 Paydown 370,000 370,000 370,000 370,000 0 0 0 0 0 370,000 0 0 0 3,358 10/15/2030

78081B-AC-7

ROYALTY PHARMA PLC SERIES 144A 1.750%

09/02/27 D 08/03/2021 Tax Free Exchange 132,970 135,000 132,683 132,786 0 184 0 184 0 132,970 0 0 0 2,172 09/02/2027

92331X-AG-9

VENTURE CDO LTD SERIES 2018-35A CLASS BL

144A 1.978% 10/22/31 D 04/22/2021 Paydown 3,500,000 3,500,000 3,500,000 3,500,000 0 0 0 0 0 3,500,000 0 0 0 36,610 10/22/2031

3899999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) 35,416,930 34,999,646 34,984,284 35,023,532 5,378 238,536 0 243,914 0 35,267,449 0 47,142 47,142 696,607 XXX534187-AU-3 LINCOLN NATIONAL CORP 2.172% 04/20/67 08/09/2021 Tax Free Exchange 705,613 975,000 705,613 705,613 0 0 0 0 0 705,613 0 0 0 17,814 04/20/2067

4899999. Subtotal - Bonds - Hybrid Securities 705,613 975,000 705,613 705,613 0 0 0 0 0 705,613 0 0 0 17,814 XXX

8399997. Total - Bonds - Part 4 41,180,018 41,005,356 40,591,002 40,772,257 5,378 288,716 0 294,094 0 41,066,354 0 11,325 11,325 796,844 XXX

8399998. Total - Bonds - Part 5 60,318,372 9,870,508 60,233,714 0 (91,621) 0 (91,621) 0 60,142,095 0 153,033 153,033 478,478 XXX

8399999. Total - Bonds 101,498,390 50,875,864 100,824,716 40,772,257 5,378 197,095 0 202,473 0 101,208,449 0 164,358 164,358 1,275,322 XXX

8999997. Total - Preferred Stocks - Part 4 0 XXX 0 0 0 0 0 0 0 0 0 0 0 0 XXX

8999998. Total - Preferred Stocks - Part 5 XXX XXX

8999999. Total - Preferred Stocks 0 XXX 0 0 0 0 0 0 0 0 0 0 0 0 XXX

9799997. Total - Common Stocks - Part 4 0 XXX 0 0 0 0 0 0 0 0 0 0 0 0 XXX

9799998. Total - Common Stocks - Part 5 XXX XXX

9799999. Total - Common Stocks 0 XXX 0 0 0 0 0 0 0 0 0 0 0 0 XXX

9899999. Total - Preferred and Common Stocks 0 XXX 0 0 0 0 0 0 0 0 0 0 0 0 XXX

9999999 - Totals 101,498,390 XXX 100,824,716 40,772,257 5,378 197,095 0 202,473 0 101,208,449 0 164,358 164,358 1,275,322 XXX

E14.1


SCHEDULE D - PART 5Showing All Long-Term Bonds and Stocks ACQUIRED During Year and Fully DISPOSED OF During Current Year

1 2 3 4 5 6 7 8 9 10 11 Change in Book/Adjusted Carrying Value 17 18 19 20 21

CUSIP Identi-fication Description

For-eign

Date Acquired Name of Vendor

DisposalDate

Name ofPurchaser

Par Value (Bonds)

orNumber of

Shares(Stock) Actual Cost

Consid-eration

Book/Adjusted CarryingValue at Disposal

12

Unrealized Valuation Increase/

(Decrease)

13

Current Year's (Amort-ization)/

Accretion

14



15

Total Change in


Valu (12 + 13 - 14)

16Total



Value

Foreign Exchange

Gain(Loss) onDisposal

Realized Gain

(Loss) on Disposal


Interestand

Dividends Received

DuringYear

Paid for Accrued Interest

and Dividends

40064R-ED-7

GUAM INTERNATIONAL ARPT AUTH SERIES A

2.699% 10/01/26 07/28/2021 Bony/Barclays Capital Inc 12/03/2021

Carmona Motley & Co. Inc

845,000 845,000 844,823 845,000 0 0 0 0 0 0 (177) (177) 6,969 0

40064R-EE-5

GUAM INTERNATIONAL ARPT AUTH SERIES A

2.899% 10/01/27 07/28/2021 Bony/Barclays Capital Inc 09/08/2021


630,000 630,000 639,847 630,000 0 0 0 0 0 0 9,847 9,847 1,167 0

3199999. Subtotal - Bonds - U.S. Special Revenues 1,475,000 1,475,000 1,484,670 1,475,000 0 0 0 0 0 0 9,670 9,670 8,136 0

03690A-AH-9

ANTERO RESOURCES MIDSTRE SERIES 144A

5.375% 06/15/29 07/15/2021 Goldman Sachs & Co 10/05/2021 Goldman Sachs & Co 180,000 186,750 186,246 186,493 0 (257) 0 (257) 0 0 (247) (247) 3,144 1,102

049362-AA-4

ATLAS LUXCO 4 ALL UNI SERIES 144A

4.625% 06/01/28 07/14/2021 Goldman Sachs & Co 10/05/2021 Goldman Sachs & Co 200,000 200,496 199,254 200,485 0 (11) 0 (11) 0 0 (1,231) (1,231) 3,674 1,593

12530M-AE-5

CF HIPPOLYTA ISSUER LLC SERIES 2021-1A

CLASS A1 144A 1.530% 03/15/61 03/10/2021 Goldman Sachs & Co 12/15/2021 Paydown 27,508 27,503 27,508 27,508 0 5 0 5 0 0 0 0 251 0

143905-AP-2

CARRIAGE SERVICES INC SERIES 144A

4.297% 05/15/29 07/15/2021 Bank of America 10/05/2021 Goldman Sachs & Co 190,000 190,475 191,666 190,462 0 (13) 0 (13) 0 0 1,205 1,205 3,230 1,480

16411Q-AH-4

CHENIERE ENERGY PARTNERS SERIES 144A

4.000% 03/01/31 07/15/2021 Suntrust Bank 11/30/2021 Tax Free Exchange 710,000 751,038 749,066 749,066 0 (1,972) 0 (1,972) 0 0 0 0 20,432 10,098

25272K-AW-3

DIAMOND 1 FIN DIAMOND 2 SERIES 144A

7.125% 06/15/24 07/15/2021 Morgan Stanley 11/02/2021 Call 101.7810 370,000 378,529 376,590 375,873 0 (2,656) 0 (2,656) 0 0 (5,873) (5,873) 16,622 2,490

25470X-BC-8

DISH DBS CORP SERIES 144A 5.125%

06/01/29 07/14/2021 RBC 08/30/2021 Tax Free Exchange 900,000 886,950 887,138 887,138 0 188 0 188 0 0 0 0 12,300 6,663

29362U-AD-6

ENTEGRIS INC SERIES 144A 3.625%

05/01/29 07/15/2021 Bank of America 11/18/2021 Bank of America 170,000 173,451 169,575 173,275 0 (176) 0 (176) 0 0 (3,700) (3,700) 3,407 1,352

44267D-AD-9

HOWARD HUGHES CORP SERIES 144A 5.375%

08/01/28 07/15/2021 MARKETAXESS 11/15/2021 J P Morgan 220,000 233,664 232,151 232,450 0 (1,214) 0 (1,214) 0 0 (299) (299) 9,394 5,518

50077L-AM-8

KRAFT HEINZ FOODS CO 5.200% 07/15/45

07/13/2021 CS First Boston 07/30/2021 Bank of America 500,000 629,375 633,600 629,197 0 (178) 0 (178) 0 0 4,403 4,403 1,300 0

552953-CD-1 MGM MIRAGE INC 4.625% 09/01/26 07/15/2021 Goldman Sachs & Co 10/05/2021 Morgan Stanley 210,000 222,333 220,252 221,831 0 (503) 0 (503) 0 0 (1,579) (1,579) 5,828 3,723

69121K-AF-1

OWL ROCK CAPITAL CORP 2.625% 01/15/27

04/19/2021 Bank of America 09/22/2021


1,500,000 1,489,305 1,512,720 1,489,990 0 685 0 685 0 0 22,730 22,730 16,188 0

72815L-AA-5

PLAYTIKA HOLDING CORP SERIES 144A

4.250% 03/15/29 07/15/2021 Citigroup Global Markets 10/04/2021 Goldman Sachs & Co 260,000 260,273 260,000 260,270 0 (3) 0 (3) 0 0 (270) (270) 6,292 3,929

852234-AM-5

SQUARE INC SERIES 144A 3.500%

06/01/31 07/15/2021 Morgan Stanley 12/09/2021 Bank of America 290,000 299,860 297,734 299,514 0 (346) 0 (346) 0 0 (1,780) (1,780) 5,723 1,663

853496-AD-9

STANDARD INDUSTRIES INC SERIES 144A

4.750% 01/15/28 07/30/2021 Various 10/04/2021 Bank of America 690,000 720,965 715,013 719,090 0 (1,876) 0 (1,876) 0 0 (4,077) (4,077) 7,374 1,103

864486-AL-9

SUBURBAN PROPANE PARTNERS SERIES 144A

5.000% 06/01/31 07/15/2021 Goldman Sachs & Co 10/05/2021 Goldman Sachs & Co 180,000 186,746 186,471 186,598 0 (148) 0 (148) 0 0 (127) (127) 3,300 1,375

893647-BM-8

TRANSDIGM INC SERIES 144A 4.625%

01/15/29 07/14/2021 Piper Jeffries & Co 09/20/2021 Tax Free Exchange 190,000 190,150 190,145 190,145 0 (5) 0 (5) 0 0 0 0 1,587 24

98981B-AA-0

ZI TECH LLC ZI FIN CORP SERIES 144A

3.875% 02/01/29 07/15/2021 Citigroup Global Markets 10/05/2021 Various 230,000 228,942 227,320 228,971 0 29 0 29 0 0 (1,651) (1,651) 6,059 4,134

552704-AD-0

MEG ENERGY CORP SERIES 144A 6.500%

01/15/25 A 07/15/2021 Piper Jeffries & Co 08/23/2021 Call 103.2500 72,000 74,586 74,340 74,586 0 0 0 0 0 0 (2,586) (2,586) 2,834 52

03938L-AS-3 ARCELORMITTAL 6.750% 03/01/41 D 07/15/2021 J P Morgan 07/30/2021


350,000 497,630 502,275 497,436 0 (194) 0 (194) 0 0 4,838 4,838 10,344 9,056

47216F-AA-5

JAZZ SECURITIES DAC SERIES 144A

4.375% 01/15/29 D 07/15/2021 J P Morgan 12/14/2021 Goldman Sachs & Co 430,000 444,835 438,837 443,770 0 (1,065) 0 (1,065) 0 0 (4,933) (4,933) 11,862 4,181

62886H-AR-2

NCL CORPORATION LTD SERIES 144A

12.250% 05/15/24 D 07/15/2021 Wachovia Securities 11/26/2021 Call 112.2500 70,000 83,563 78,575 81,796 0 (1,766) 0 (1,766) 0 0 (11,796) (11,796) 13,101 1,524

62886H-AY-7

NCL CORPORATION LTD SERIES 144A

10.250% 02/01/26 D 07/14/2021 Bank of America 11/26/2021 Call 110.2500 56,000 64,921 61,740 63,888 0 (1,033) 0 (1,033) 0 0 (7,888) (7,888) 10,428 2,631

67054K-AA-7

NUMERICABLE SFR SA SERIES 144A 7.375%

05/01/26 D 07/14/2021 Goldman Sachs & Co 10/05/2021

Citigroup Global Markets

200,000 208,230 207,422 207,305 0 (925) 0 (925) 0 0 117 117 3,319 41

87927V-AM-0

TELECOM ITALIA CAPITAL 6.000%

09/30/34 D 07/13/2021 Goldman Sachs & Co 10/29/2021 Goldman Sachs & Co 200,000 231,460 222,500 230,948 0 (512) 0 (512) 0 0 (8,448) (8,448) 7,067 3,500

3899999. Subtotal - Bonds - Industrial and Miscellaneous (Unaffiliated) 8,395,508 8,862,030 8,848,138 8,848,085 0 (13,946) 0 (13,946) 0 0 (23,192) (23,192) 185,060 67,232

464287-24-2 ISHARES IBOXX INV GRD CORP BON 03/31/2021 WallachBeth 10/01/2021 WallachBeth 0.000 3,066,594 3,136,205 3,071,288 0 4,694 0 4,694 0 0 64,917 64,917 41,201 0

464288-41-4 ISHARES BARCLAYS MBS BOND FUND 09/28/2021 WallachBeth 10/01/2021 WallachBeth 0.000 3,989,046 3,982,699 3,989,046 0 0 0 0 0 0 (6,347) (6,347) 5,977 0

E15


SCHEDULE D - PART 5Showing All Long-Term Bonds and Stocks ACQUIRED During Year and Fully DISPOSED OF During Current Year

1 2 3 4 5 6 7 8 9 10 11 Change in Book/Adjusted Carrying Value 17 18 19 20 21

CUSIP Identi-fication Description

For-eign

Date Acquired Name of Vendor

DisposalDate

Name ofPurchaser

Par Value (Bonds)

orNumber of

Shares(Stock) Actual Cost

Consid-eration

Book/Adjusted CarryingValue at Disposal

12

Unrealized Valuation Increase/

(Decrease)

13

Current Year's (Amort-ization)/

Accretion

14



15

Total Change in


Valu (12 + 13 - 14)

16Total



Value

Foreign Exchange

Gain(Loss) onDisposal

Realized Gain

(Loss) on Disposal


Interestand

Dividends Received

DuringYear

Paid for Accrued Interest

and Dividends

464288-58-8 ISHARES BARCLAYS MBS BOND FUND 09/28/2021 WallachBeth 10/01/2021 WallachBeth 0.000 3,986,724 3,993,190 3,986,724 0 0 0 0 0 0 6,466 6,466 696 0

464288-63-8 ISHARES INTERMEDIATE TERM CORP 03/31/2021 WallachBeth 10/01/2021 WallachBeth 0.000 7,216,882 7,312,567 7,206,697 0 (10,185) 0 (10,185) 0 0 105,870 105,870 95,624 0

464288-64-6 ISHARES SHORT TERM CORPORATE B 03/31/2021 WallachBeth 10/01/2021 WallachBeth 0.000 6,550,686 6,535,861 6,550,686 0 0 0 0 0 0 (14,825) (14,825) 60,180 0

46429B-65-5 ISHARES FLOATING RATE BOND E EFT 09/28/2021 WallachBeth 10/01/2021 WallachBeth 0.000 3,990,846 3,989,051 3,983,320 0 (7,527) 0 (7,527) 0 0 5,731 5,731 1,202 0

46641Q-83-7 JPMORGAN ULTRA-SHORT INCOME 03/31/2021 WallachBeth 10/01/2021 WallachBeth 0.000 4,369,508 4,362,170 4,369,508 0 0 0 0 0 0 (7,338) (7,338) 17,109 0

78464A-47-4 SPDR PORTFOLIO SHORT TERM CORP 03/31/2021 WallachBeth 10/01/2021 WallachBeth 0.000 8,741,846 8,706,943 8,677,189 0 (64,657) 0 (64,657) 0 0 29,754 29,754 51,183 0

78464A-64-9 SPDR BLOOMBERG BARCLAYS AGGREG 09/28/2021 WallachBeth 10/01/2021 WallachBeth 0.000 3,990,856 3,985,160 3,990,856 0 0 0 0 0 0 (5,696) (5,696) 6,659 0

922907-74-6 VANGUARD TAX EXEMPT BOND ETF ETF 09/28/2021 WallachBeth 10/01/2021 WallachBeth 0.000 3,993,696 3,981,718 3,993,696 0 0 0 0 0 0 (11,977) (11,977) 5,451 0

8099999. Subtotal - Bonds - SVO Identified Funds 49,896,684 49,985,564 49,819,010 0 (77,675) 0 (77,675) 0 0 166,555 166,555 285,282 0

8399998. Total - Bonds 9,870,508 60,233,714 60,318,372 60,142,095 0 (91,621) 0 (91,621) 0 0 153,033 153,033 478,478 67,232

8999998. Total - Preferred Stocks 0 0 0 0 0 0 0 0 0 0 0 0 0

9799998. Total - Common Stocks 0 0 0 0 0 0 0 0 0 0 0 0 0

9899999. Total - Preferred and Common Stocks 0 0 0 0 0 0 0 0 0 0 0 0 0

9999999 - Totals 60,233,714 60,318,372 60,142,095 0 (91,621) 0 (91,621) 0 0 153,033 153,033 478,478 67,232

E15.1


Schedule D-Part 6-Section 1-Valuation of Shares of Subsidiary, Controlled or Affiliated Companies

N O N E

Schedule D - Part 6 - Section 2

N O N E

Schedule DA - Part 1 - Short-Term Investments Owned

N O N E

Schedule DB - Part A - Section 1 - Options, Caps, Floors, Collars, Swaps and Forwards Open

N O N E

Schedule DB - Part A - Section 2 - Options, Caps, Floors, Collars, Swaps and Forwards Terminated

N O N E

E16, E17, E18, E19


SCHEDULE DB - PART B - SECTION 1Futures Contracts Open December 31 of Current Year

1 2 3 4 5 6 7 8 9 10 11 12 13 14 Highly Effective Hedges 18 19 20 21 22

TickerSymbol

Numberof

ContractsNotional Amount Description

Description of Item(s)Hedged,Used forIncome

Generationor Replicated

Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)

Date of Maturity

orExpira-

tion ExchangeTradeDate

Transac-tion

Price

Reporting DatePrice Fair Value


Value

15

Cumulative Variation Margin

16

Deferred Variation Margin

17Change in Variation MarginGain

(Loss) Used to Adjust Basis of Hedged

Item

Cumulative Variation Margin for All Other Hedges

Change in Variation MarginGain

(Loss) Recognized in Current

YearPotentialExposure

Hedge Effectiveness

atInception

and atYear-end

(b)

Value ofOne (1)Point

1579999999. Subtotal - Long Futures 0 0 0 0 0 0 0 0 XXX XXXUSH2 67 6,700,000 US LONG BOND CBT N/A N/A 03/31/2022 CBT 549300EX04Q2QBFQTQ27 12/02/2021 162.3750 160.4375 129,813 129,813 0 0 0 129,806 129,806 234,500 0/0 1,000

WNH2 52 5,200,000 US ULTRA T-BOND CBT N/A N/A 03/31/2022 CBT 549300EX04Q2QBFQTQ27 12/02/2021 200.8125 197.1250 191,750 191,750 0 0 0 191,745 191,745 338,000 0/0 1,000

1609999999. Subtotal - Short Futures - Hedging Other 321,563 321,563 0 0 0 321,551 321,551 572,500 XXX XXX

1649999999. Subtotal - Short Futures 321,563 321,563 0 0 0 321,551 321,551 572,500 XXX XXX

1679999999. Subtotal - SSAP No. 108 Adjustments 0 0 0 0 0 0 0 0 XXX XXX

1689999999. Subtotal - Hedging Effective Excluding Variable Annuity Guarantees Under SSAP No.108 0 0 0 0 0 0 0 0 XXX XXX

1699999999. Subtotal - Hedging Effective Variable Annuity Guarantees Under SSAP No.108 0 0 0 0 0 0 0 0 XXX XXX

1709999999. Subtotal - Hedging Other 321,563 321,563 0 0 0 321,551 321,551 572,500 XXX XXX

1719999999. Subtotal - Replication 0 0 0 0 0 0 0 0 XXX XXX

1729999999. Subtotal - Income Generation 0 0 0 0 0 0 0 0 XXX XXX

1739999999. Subtotal - Other 0 0 0 0 0 0 0 0 XXX XXX

1749999999. Subtotal - Adjustments for SSAP No. 108 Derivatives 0 0 0 0 0 0 0 0 XXX XXX

1759999999 - Totals 321,563 321,563 0 0 0 321,551 321,551 572,500 XXX XXX

Broker NameBeginning

Cash BalanceCumulative

Cash ChangeEnding

Cash BalanceCiticorp 0 321,563 321,563

Total Net Cash Deposits 0 321,563 321,563

(a) Code Description of Hedged Risk(s)

(b) Code Financial or Economic Impact of the Hedge at the End of the Reporting Period

E20


SCHEDULE DB - PART B - SECTION 2Future Contracts Terminated December 31 of Current Year

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 Change in Variation Margin 19 20

TickerSymbol

Numberof




Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)

Date of Maturity

orExpira-


Transaction Price

Termina-tionDate

Termination Price

Indicate Exercise,

Expiration, Maturity or

Sale

Cumulative Variation Margin at

Termination

16

Gain(Loss)

Recognized in Current

Year

17

Gain (Loss) Used to

Adjust Basis of Hedged

Item

18

Deferred

Hedge Effective-ness at

Inceptionand at

Termination(b)


1579999999. Subtotal - Long Futures 0 0 0 0 XXX XXXUSH2 1 1,000 US LONG BOND CBT N/A N/A 03/31/2022 CBT 549300EX04Q2QBFQTQ27 11/23/2021 158.2891 12/02/2021 162.3750 Closing Purchase (4,088) (4,088) 0 0 0/0 1,000

USH2 29 29,000 US LONG BOND CBT N/A N/A 03/31/2022 CBT 549300EX04Q2QBFQTQ27 11/23/2021 158.3125 12/02/2021 162.3750 Closing Purchase (117,866) (117,866) 0 0 0/0 1,000




WNH2 52 52,000 US ULTRA T-BOND CBT N/A N/A 03/31/2022 CBT 549300EX04Q2QBFQTQ27 11/23/2021 193.3169 12/02/2021 200.8125 Closing Purchase (389,867) (389,867) 0 0 0/0 1,000

USZ1 2 2,000 US LONG BOND CBT DEC21 N/A N/A 12/31/2021 CBT 549300EX04Q2QBFQTQ27 08/25/2021 162.6875 11/23/2021 159.8672 Closing Purchase 5,633 5,633 0 0 0/0 1,000






USM1 5 5,000 US LONG BOND CBT JUN21 N/A N/A 06/30/2021 CBT 549300EX04Q2QBFQTQ27 05/07/2021 157.9063 05/25/2021 158.0156 Closing Purchase (565) (565) 0 0 0/0 1,000




USM1 5 5,000 US LONG BOND CBT JUN21 N/A N/A 06/30/2021 CBT 549300EX04Q2QBFQTQ27 05/07/2021 157.9375 05/25/2021 157.8750 Closing Purchase 294 294 0 0 0/0 1,000

USM1 6 6,000 US LONG BOND CBT JUN21 N/A N/A 06/30/2021 CBT 549300EX04Q2QBFQTQ27 05/07/2021 157.9375 05/25/2021 157.8281 Closing Purchase 634 634 0 0 0/0 1,000

USU1 1 1,000 US LONG BOND CBT JUN21 N/A N/A 09/30/2021 CBT 549300EX04Q2QBFQTQ27 05/25/2021 156.3438 08/25/2021 165.0313 Closing Purchase (8,691) (8,691) 0 0 0/0 1,000






USU1 6 6,000 US LONG BOND CBT JUN21 N/A N/A 09/30/2021 CBT 549300EX04Q2QBFQTQ27 07/20/2021 165.1563 08/25/2021 165.0313 Closing Purchase 728 728 0 0 0/0 1,000

USU1 18 18,000 US LONG BOND CBT JUN21 N/A N/A 09/30/2021 CBT 549300EX04Q2QBFQTQ27 07/20/2021 165.1875 08/25/2021 165.0313 Closing Purchase 2,747 2,747 0 0 0/0 1,000

WNZ1 51 51,000

US ULTRA BOND CBT

DEC2021 N/A N/A 12/31/2021 CME SNZ2OJLFK8MNNCLQOF39 08/25/2021 198.0391 11/23/2021 193.8693 Closing Purchase 212,472 212,472 0 0 0/0 1,000

WNZ1 1 1,000

US ULTRA BOND CBT

DEC2021 N/A N/A 12/31/2021 CME SNZ2OJLFK8MNNCLQOF39 08/25/2021 198.0000 11/23/2021 193.8693 Closing Purchase 4,127 4,127 0 0 0/0 1,000

WNM1 1 1,000

US ULTRA BOND CBT JUN21

N/A N/A 06/30/2021 CBT 549300EX04Q2QBFQTQ27 05/07/2021 186.8438 05/25/2021 186.0000 Closing Purchase 840 840 0 0 0/0 1,000

WNM1 6 6,000


N/A N/A 06/30/2021 CBT 549300EX04Q2QBFQTQ27 05/07/2021 186.7813 05/25/2021 186.0000 Closing Purchase 4,666 4,666 0 0 0/0 1,000

WNM1 14 14,000



WNU1 21 21,000


N/A N/A 09/30/2021 CBT 549300EX04Q2QBFQTQ27 05/25/2021 184.3672 08/25/2021 199.7500 Closing Purchase (323,116) (323,116) 0 0 0/0 1,000

WNU1 1 1,000



WNU1 1 1,000



WNU1 20 20,000



WNU1 6 6,000



WNU1 2 2,000



1609999999. Subtotal - Short Futures - Hedging Other (852,295) (852,295) 0 0 XXX XXX

1649999999. Subtotal - Short Futures (852,295) (852,295) 0 0 XXX XXX

1679999999. Subtotal - SSAP No. 108 Adjustments 0 0 0 0 XXX XXX

1689999999. Subtotal - Hedging Effective Excluding Variable Annuity Guarantees Under SSAP No.108 0 0 0 0 XXX XXX

1699999999. Subtotal - Hedging Effective Variable Annuity Guarantees Under SSAP No.108 0 0 0 0 XXX XXX

1709999999. Subtotal - Hedging Other (852,295) (852,295) 0 0 XXX XXX

1719999999. Subtotal - Replication 0 0 0 0 XXX XXX

1729999999. Subtotal - Income Generation 0 0 0 0 XXX XXX

E21


SCHEDULE DB - PART B - SECTION 2Future Contracts Terminated December 31 of Current Year

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 Change in Variation Margin 19 20

TickerSymbol

Numberof




Schedule/Exhibit

Identifier

Type(s)of

Risk(s)(a)

Date of Maturity

orExpira-


Transaction Price

Termina-tionDate

Termination Price

Indicate Exercise,

Expiration, Maturity or

Sale

Cumulative Variation Margin at

Termination

16

Gain(Loss)

Recognized in Current

Year

17

Gain (Loss) Used to

Adjust Basis of Hedged

Item

18

Deferred

Hedge Effective-ness at

Inceptionand at

Termination(b)


1739999999. Subtotal - Other 0 0 0 0 XXX XXX

1749999999. Subtotal - Adjustments for SSAP No. 108 Derivatives 0 0 0 0 XXX XXX

1759999999 - Totals (852,295) (852,295) 0 0 XXX XXX

(a) Code Description of Hedged Risk(s)

(b) Code Financial or Economic Impact of the Hedge at the End of the Reporting Period

E21.1


SCHEDULE DB - PART D - SECTION 1Counterparty Exposure for Derivative Instruments Open December 31 of Current Year

1 2 3 Counterparty Offset Book/Adjusted Carrying Value Fair Value 12 13

Description of Exchange,Counterparty or Central Clearinghouse

MasterAgreement

(Y or N)

Credit Support Annex

(Y or N)

4Fair Value of Acceptable Collateral

5Present Valueof Financing

Premium

6Contracts WithBook/Adjusted

Carrying Value >0

7Contracts WithBook/Adjusted

Carrying Value <0

8

Exposure Net of Collateral

9

Contracts WithFair Value >0

10

Contracts WithFair Value <0

11

ExposureNet of Collateral

PotentialExposure

Off-BalanceSheet Exposure

0199999999 - Aggregate Sum of Exchange Traded Derivatives XXX XXX XXX 0 321,563 0 321,563 321,563 0 321,563 572,500 572,500

0899999999. Aggregate Sum of Central Clearinghouses (Excluding Exchange Traded) 0 0

0999999999 - Gross Totals 0 0 321,563 0 321,563 321,563 0 321,563 572,500 572,500

1. Offset per SSAP No. 64

2. Net after right of offset per SSAP No. 64 321,563 0 E22


Schedule DB - Part D-Section 2 - Collateral for Derivative Instruments Open - Pledged By

N O N E

Schedule DB - Part D-Section 2 - Collateral for Derivative Instruments Open - Pledged To

N O N E

Schedule DB - Part E - Derivatives Hedging Variable Annuity Guarantees as of December 31 of Current Year

N O N E

E23, E24


SCHEDULE DL - PART 1SECURITIES LENDING COLLATERAL ASSETS

Reinvested Collateral Assets Owned December 31 Current Year(Securities lending collateral assets reported in aggregate on Line 10 of the Assets page and not included on Schedules A, B, BA, D, DB and E)

1

CUSIPIdentification

2

Description

3

Code

4NAIC

Designation,NAIC

DesignationModifier and SVO

Administrative Symbol

5

Fair Value

6

Book/Adjusted Carrying Value

7

Maturity Date UNITED STATES OF AMERICA NOTES FIXED 0.125% 31/DEC/2022 USD 100 1.A 1,434 1,434 12/31/2022

UNITED STATES OF AMERICA NOTES FIXED 1.5% 15/JAN/2023 USD 100 1.A 14,641 14,641 01/15/2023

UNITED STATES OF AMERICA NOTES FIXED 2% 15/FEB/2023 USD 100 1.A 7,148 7,148 02/15/2023

UNITED STATES OF AMERICA NOTES FIXED 2.625% 28/FEB/2023 USD 100 1.A 1,673 1,673 02/28/2023

UNITED STATES OF AMERICA NOTES FIXED 0.25% 15/APR/2023 USD 100 1.A 1,793 1,793 04/15/2023


UNITED STATES OF AMERICA NOTES FIXED 0.125% 15/MAY/2023 USD 100 1.A 678 678 05/15/2023

UNITED STATES OF AMERICA NOTES FIXED 0.125% 30/JUN/2023 USD 100 1.A 16,128 16,128 06/30/2023

UNITED STATES OF AMERICA NOTES FIXED 2.5% 15/AUG/2023 USD 100 1.A 10,800 10,800 08/15/2023

UNITED STATES OF AMERICA NOTES FIXED 1.375% 31/AUG/2023 USD 100 1.A 914 914 08/31/2023

UNITED STATES OF AMERICA NOTES FIXED 0.25% 15/NOV/2023 USD 100 1.A 4,982 4,982 11/15/2023


UNITED STATES OF AMERICA NOTES FIXED 2.125% 30/NOV/2023 USD 100 1.A 999 999 11/30/2023


UNITED STATES OF AMERICA NOTES FIXED 2.5% 31/JAN/2024 USD 100 1.A 954 954 01/31/2024



UNITED STATES OF AMERICA NOTES FIXED 2.125% 31/MAR/2024 USD 100 1.A 1,860 1,860 03/31/2024

UNITED STATES OF AMERICA NOTES FIXED 2% 30/JUN/2024 USD 100 1.A 9,928 9,928 06/30/2024

UNITED STATES OF AMERICA NOTES FIXED 2.125% 31/JUL/2024 USD 100 1.A 1,683 1,683 07/31/2024

UNITED STATES OF AMERICA NOTES FIXED 1.5% 30/SEP/2024 USD 100 1.A 2,675 2,675 09/30/2024


UNITED STATES OF AMERICA NOTES FIXED 2.25% 31/OCT/2024 USD 100 1.A 19,079 19,079 10/31/2024

UNITED STATES OF AMERICA NOTES FIXED 1.5% 31/OCT/2024 USD 100 1.A 1,464 1,464 10/31/2024

UNITED STATES OF AMERICA NOTES FIXED 1% 15/DEC/2024 USD 100 1.A 17,999 17,999 12/15/2024

UNITED STATES OF AMERICA BOND FIXED 2.375% 15/JAN/2025 USD 100 1.A 1,816 1,816 01/15/2025





UNITED STATES OF AMERICA NOTES FIXED 0.25% 31/MAY/2025 USD 100 1.A 49,223 49,223 05/31/2025



UNITED STATES OF AMERICA NOTES FIXED 2% 15/AUG/2025 USD 100 1.A 1,157 1,157 08/15/2025




UNITED STATES OF AMERICA NOTES FIXED 0.375% 31/DEC/2025 USD 100 1.A 25,722 25,722 12/31/2025











UNITED STATES OF AMERICA NOTES FIXED 0.625% 31/DEC/2027 USD 100 1.A 1,249 1,249 12/31/2027










UNITED STATES OF AMERICA BOND FIXED 1.125% 15/AUG/2040 USD 100 1.A 927 927 08/15/2040

UNITED STATES OF AMERICA BOND FIXED 1.75% 15/AUG/2041 USD 100 1.A 48,309 48,309 08/15/2041


UNITED STATES OF AMERICA BOND FIXED 2.75% 15/NOV/2042 USD 100 1.A 3,322 3,322 11/15/2042




UNITED STATES OF AMERICA BOND FIXED 2.5% 15/FEB/2046 USD 100 1.A 1,039 1,039 02/15/2046

UNITED STATES OF AMERICA BOND FIXED 2.5% 15/MAY/2046 USD 100 1.A 1,988 1,988 05/15/2046



UNITED STATES OF AMERICA BOND FIXED 3% 15/FEB/2048 USD 100 1.A 2,652 2,652 02/15/2048

UNITED STATES OF AMERICA BOND FIXED 3.125% 15/MAY/2048 USD 100 1.A 2,699 2,699 05/15/2048

UNITED STATES OF AMERICA BOND FIXED 3% 15/AUG/2048 USD 100 1.A 7,977 7,977 08/15/2048



912810-EQ-7 UNITED STATES OF AMERICA BOND FIXED 6.25% 15/AUG/2023 USD 100 1.A 2,034 2,034 08/15/2023

912810-EV-6 UNITED STATES OF AMERICA BOND FIXED 6.875% 15/AUG/2025 USD 100 1.A 28 28 08/15/2025

912810-EW-4 UNITED STATES OF AMERICA BOND FIXED 6% 15/FEB/2026 USD 100 1.A 198 198 02/15/2026

912810-EZ-7 UNITED STATES OF AMERICA BOND FIXED 6.625% 15/FEB/2027 USD 100 1.A 981 981 02/15/2027

912810-FE-3 UNITED STATES OF AMERICA BOND FIXED 5.5% 15/AUG/2028 USD 100 1.A 155 155 08/15/2028

912810-FG-8 UNITED STATES OF AMERICA BOND FIXED 5.25% 15/FEB/2029 USD 100 1.A 100 100 02/15/2029

912810-PV-4 UNITED STATES OF AMERICA BOND FIXED 1.75% 15/JAN/2028 USD 100 1.A 592 592 01/15/2028

912810-PZ-5 UNITED STATES OF AMERICA BOND FIXED 2.5% 15/JAN/2029 USD 100 1.A 326 326 01/15/2029

912810-QA-9 UNITED STATES OF AMERICA BOND FIXED 3.5% 15/FEB/2039 USD 100 1.A 133 133 02/15/2039

912810-QE-1 UNITED STATES OF AMERICA BOND FIXED 4.625% 15/FEB/2040 USD 100 1.A 2,026 2,026 02/15/2040

912810-QF-8 UNITED STATES OF AMERICA BOND FIXED 2.125% 15/FEB/2040 USD 100 1.A 69 69 02/15/2040

912810-QH-4 UNITED STATES OF AMERICA BOND FIXED 4.375% 15/MAY/2040 USD 100 1.A 1,832 1,832 05/15/2040

912810-QK-7 UNITED STATES OF AMERICA BOND FIXED 3.875% 15/AUG/2040 USD 100 1.A 18,949 18,949 08/15/2040

912810-QN-1 UNITED STATES OF AMERICA BOND FIXED 4.75% 15/FEB/2041 USD 100 1.A 275 275 02/15/2041

912810-QS-0 UNITED STATES OF AMERICA BOND FIXED 3.75% 15/AUG/2041 USD 100 1.A 28 28 08/15/2041

912810-QV-3 UNITED STATES OF AMERICA BOND FIXED 0.75% 15/FEB/2042 USD 100 1.A 2,211 2,211 02/15/2042

912810-QX-9 UNITED STATES OF AMERICA BOND FIXED 2.75% 15/AUG/2042 USD 100 1.A 196 196 08/15/2042

912810-QY-7 UNITED STATES OF AMERICA BOND FIXED 2.75% 15/NOV/2042 USD 100 1.A 831 831 11/15/2042

912810-QZ-4 UNITED STATES OF AMERICA BOND FIXED 3.125% 15/FEB/2043 USD 100 1.A 359 359 02/15/2043

912810-RA-8 UNITED STATES OF AMERICA BOND FIXED 0.625% 15/FEB/2043 USD 100 1.A 319 319 02/15/2043

912810-RD-2 UNITED STATES OF AMERICA BOND FIXED 3.75% 15/NOV/2043 USD 100 1.A 710 710 11/15/2043

912810-RF-7 UNITED STATES OF AMERICA BOND FIXED 1.375% 15/FEB/2044 USD 100 1.A 4,413 4,413 02/15/2044

912810-RF-7 UNITED STATES OF AMERICA BOND FIXED 1.375% 15/FEB/2044 USD 100 1.A 1,180 1,180 02/15/2044

912810-RK-6 UNITED STATES OF AMERICA BOND FIXED 2.5% 15/FEB/2045 USD 100 1.A 265 265 02/15/2045

912810-RN-0 UNITED STATES OF AMERICA BOND FIXED 2.875% 15/AUG/2045 USD 100 1.A 9,306 9,306 08/15/2045

912810-RP-5 UNITED STATES OF AMERICA BOND FIXED 3% 15/NOV/2045 USD 100 1.A 264 264 11/15/2045

912810-RQ-3 UNITED STATES OF AMERICA BOND FIXED 2.5% 15/FEB/2046 USD 100 1.A 2,034 2,034 02/15/2046

912810-RR-1 UNITED STATES OF AMERICA BOND FIXED 1% 15/FEB/2046 USD 100 1.A 231 231 02/15/2046

912810-RS-9 UNITED STATES OF AMERICA BOND FIXED 2.5% 15/MAY/2046 USD 100 1.A 2,634 2,634 05/15/2046

912810-RU-4 UNITED STATES OF AMERICA BOND FIXED 2.875% 15/NOV/2046 USD 100 1.A 455 455 11/15/2046

912810-RV-2 UNITED STATES OF AMERICA BOND FIXED 3% 15/FEB/2047 USD 100 1.A 117 117 02/15/2047

912810-RX-8 UNITED STATES OF AMERICA BOND FIXED 3% 15/MAY/2047 USD 100 1.A 1,047 1,047 05/15/2047

912810-RY-6 UNITED STATES OF AMERICA BOND FIXED 2.75% 15/AUG/2047 USD 100 1.A 586 586 08/15/2047

912810-RZ-3 UNITED STATES OF AMERICA BOND FIXED 2.75% 15/NOV/2047 USD 100 1.A 5,203 5,203 11/15/2047

912810-RZ-3 UNITED STATES OF AMERICA BOND FIXED 2.75% 15/NOV/2047 USD 100 1.A 3,538 3,538 11/15/2047

912810-SA-7 UNITED STATES OF AMERICA BOND FIXED 3% 15/FEB/2048 USD 100 1.A 2,897 2,897 02/15/2048

912810-SD-1 UNITED STATES OF AMERICA BOND FIXED 3% 15/AUG/2048 USD 100 1.A 456 456 08/15/2048

912810-SE-9 UNITED STATES OF AMERICA BOND FIXED 3.375% 15/NOV/2048 USD 100 1.A 141 141 11/15/2048

912810-SF-6 UNITED STATES OF AMERICA BOND FIXED 3% 15/FEB/2049 USD 100 1.A 12,466 12,466 02/15/2049

912810-SF-6 UNITED STATES OF AMERICA BOND FIXED 3% 15/FEB/2049 USD 100 1.A 4,883 4,883 02/15/2049

E25




1

CUSIPIdentification

2

Description

3

Code

4NAIC

Designation,NAIC



5

Fair Value

6


7

Maturity Date912810-SH-2 UNITED STATES OF AMERICA BOND FIXED 2.875% 15/MAY/2049 USD 100 1.A 3,844 3,844 05/15/2049

912810-SJ-8 UNITED STATES OF AMERICA BOND FIXED 2.25% 15/AUG/2049 USD 100 1.A 2,699 2,699 08/15/2049

912810-SK-5 UNITED STATES OF AMERICA BOND FIXED 2.375% 15/NOV/2049 USD 100 1.A 3,806 3,806 11/15/2049

912810-SL-3 UNITED STATES OF AMERICA BOND FIXED 2% 15/FEB/2050 USD 100 1.A 673 673 02/15/2050

912810-SN-9 UNITED STATES OF AMERICA BOND FIXED 1.25% 15/MAY/2050 USD 100 1.A 2,787 2,787 05/15/2050

912810-SP-4 UNITED STATES OF AMERICA BOND FIXED 1.375% 15/AUG/2050 USD 100 1.A 3,622 3,622 08/15/2050

912810-SQ-2 UNITED STATES OF AMERICA BOND FIXED 1.125% 15/AUG/2040 USD 100 1.A 52,722 52,722 08/15/2040

912810-SQ-2 UNITED STATES OF AMERICA BOND FIXED 1.125% 15/AUG/2040 USD 100 1.A 6,568 6,568 08/15/2040

912810-SR-0 UNITED STATES OF AMERICA BOND FIXED 1.125% 15/MAY/2040 USD 100 1.A 585 585 05/15/2040

912810-SS-8 UNITED STATES OF AMERICA BOND FIXED 1.625% 15/NOV/2050 USD 100 1.A 481 481 11/15/2050

912810-ST-6 UNITED STATES OF AMERICA BOND FIXED 1.375% 15/NOV/2040 USD 100 1.A 2,176 2,176 11/15/2040

912810-ST-6 UNITED STATES OF AMERICA BOND FIXED 1.375% 15/NOV/2040 USD 100 1.A 789 789 11/15/2040

912810-SW-9 UNITED STATES OF AMERICA BOND FIXED 1.875% 15/FEB/2041 USD 100 1.A 1,808 1,808 02/15/2041

912810-SX-7 UNITED STATES OF AMERICA BOND FIXED 2.375% 15/MAY/2051 USD 100 1.A 431 431 05/15/2051

912810-SY-5 UNITED STATES OF AMERICA BOND FIXED 2.25% 15/MAY/2041 USD 100 1.A 378 378 05/15/2041

912810-SZ-2 UNITED STATES OF AMERICA BOND FIXED 2% 15/AUG/2051 USD 100 1.A 1,923 1,923 08/15/2051

912810-TC-2 UNITED STATES OF AMERICA BOND FIXED 2% 15/NOV/2041 USD 100 1.A 1,122 1,122 11/15/2041

912828-2A-7 UNITED STATES OF AMERICA NOTES FIXED 1.5% 15/AUG/2026 USD 100 1.A 4,771 4,771 08/15/2026



912828-2D-1 UNITED STATES OF AMERICA NOTES FIXED 1.375% 31/AUG/2023 USD 100 1.A 5,750 5,750 08/31/2023

912828-2L-3 UNITED STATES OF AMERICA NOTES FIXED 0.375% 15/JUL/2027 USD 100 1.A 778 778 07/15/2027

912828-2R-0 UNITED STATES OF AMERICA NOTES FIXED 2.25% 15/AUG/2027 USD 100 1.A 7,415 7,415 08/15/2027

912828-2R-0 UNITED STATES OF AMERICA NOTES FIXED 2.25% 15/AUG/2027 USD 100 1.A 1,945 1,945 08/15/2027

912828-2U-3 UNITED STATES OF AMERICA NOTES FIXED 1.875% 31/AUG/2024 USD 100 1.A 287 287 08/31/2024

912828-2Y-5 UNITED STATES OF AMERICA NOTES FIXED 2.125% 30/SEP/2024 USD 100 1.A 89 89 09/30/2024

912828-3D-0 UNITED STATES OF AMERICA NOTES FIXED 2.25% 31/OCT/2024 USD 100 1.A 3,379 3,379 10/31/2024

912828-3F-5 UNITED STATES OF AMERICA NOTES FIXED 2.25% 15/NOV/2027 USD 100 1.A 1,318 1,318 11/15/2027

912828-3P-3 UNITED STATES OF AMERICA NOTES FIXED 2.25% 31/DEC/2024 USD 100 1.A 2,164 2,164 12/31/2024

912828-3U-2 UNITED STATES OF AMERICA NOTES FIXED 2.375% 31/JAN/2023 USD 100 1.A 1,972 1,972 01/31/2023

912828-3W-8 UNITED STATES OF AMERICA NOTES FIXED 2.75% 15/FEB/2028 USD 100 1.A 2,772 2,772 02/15/2028

912828-3Z-1 UNITED STATES OF AMERICA NOTES FIXED 2.75% 28/FEB/2025 USD 100 1.A 600 600 02/28/2025

912828-4A-5 UNITED STATES OF AMERICA NOTES FIXED 2.625% 28/FEB/2023 USD 100 1.A 1,813 1,813 02/28/2023

912828-4D-9 UNITED STATES OF AMERICA NOTES FIXED 2.5% 31/MAR/2023 USD 100 1.A 10,039 10,039 03/31/2023

912828-4H-0 UNITED STATES OF AMERICA NOTES FIXED 0.625% 15/APR/2023 USD 100 1.A 510 510 04/15/2023

912828-4N-7 UNITED STATES OF AMERICA NOTES FIXED 2.875% 15/MAY/2028 USD 100 1.A 3,608 3,608 05/15/2028

912828-4R-8 UNITED STATES OF AMERICA NOTES FIXED 2.875% 31/MAY/2025 USD 100 1.A 554 554 05/31/2025

912828-4S-6 UNITED STATES OF AMERICA NOTES FIXED 2.75% 31/MAY/2023 USD 100 1.A 9 9 05/31/2023

912828-4U-1 UNITED STATES OF AMERICA NOTES FIXED 2.625% 30/JUN/2023 USD 100 1.A 99 99 06/30/2023

912828-4V-9 UNITED STATES OF AMERICA NOTES FIXED 2.875% 15/AUG/2028 USD 100 1.A 15,580 15,580 08/15/2028

912828-4V-9 UNITED STATES OF AMERICA NOTES FIXED 2.875% 15/AUG/2028 USD 100 1.A 7,676 7,676 08/15/2028

912828-4X-5 UNITED STATES OF AMERICA NOTES FIXED 2.75% 31/AUG/2023 USD 100 1.A 1,163 1,163 08/31/2023

912828-4Z-0 UNITED STATES OF AMERICA NOTES FIXED 2.75% 31/AUG/2025 USD 100 1.A 1,060 1,060 08/31/2025

912828-4Z-0 UNITED STATES OF AMERICA NOTES FIXED 2.75% 31/AUG/2025 USD 100 1.A 87 87 08/31/2025

912828-5C-0 UNITED STATES OF AMERICA NOTES FIXED 3% 30/SEP/2025 USD 100 1.A 4,834 4,834 09/30/2025

912828-5C-0 UNITED STATES OF AMERICA NOTES FIXED 3% 30/SEP/2025 USD 100 1.A 1,508 1,508 09/30/2025

912828-5K-2 UNITED STATES OF AMERICA NOTES FIXED 2.875% 31/OCT/2023 USD 100 1.A 3,694 3,694 10/31/2023

912828-5M-8 UNITED STATES OF AMERICA NOTES FIXED 3.125% 15/NOV/2028 USD 100 1.A 213 213 11/15/2028

912828-5M-8 UNITED STATES OF AMERICA NOTES FIXED 3.125% 15/NOV/2028 USD 100 1.A 199 199 11/15/2028

912828-5N-6 UNITED STATES OF AMERICA NOTES FIXED 2.875% 30/NOV/2025 USD 100 1.A 15,880 15,880 11/30/2025

912828-5N-6 UNITED STATES OF AMERICA NOTES FIXED 2.875% 30/NOV/2025 USD 100 1.A 207 207 11/30/2025

912828-5U-0 UNITED STATES OF AMERICA NOTES FIXED 2.625% 31/DEC/2023 USD 100 1.A 5,705 5,705 12/31/2023

912828-6A-3 UNITED STATES OF AMERICA NOTES FIXED 2.625% 31/JAN/2026 USD 100 1.A 10,631 10,631 01/31/2026

912828-6B-1 UNITED STATES OF AMERICA NOTES FIXED 2.625% 15/FEB/2029 USD 100 1.A 1,118 1,118 02/15/2029

912828-6F-2 UNITED STATES OF AMERICA NOTES FIXED 2.5% 28/FEB/2026 USD 100 1.A 793 793 02/28/2026

912828-6G-0 UNITED STATES OF AMERICA NOTES FIXED 2.375% 29/FEB/2024 USD 100 1.A 2,855 2,855 02/29/2024

912828-6L-9 UNITED STATES OF AMERICA NOTES FIXED 2.25% 31/MAR/2026 USD 100 1.A 502 502 03/31/2026

912828-6N-5 UNITED STATES OF AMERICA NOTES FIXED 0.5% 15/APR/2024 USD 100 1.A 760 760 04/15/2024

912828-6R-6 UNITED STATES OF AMERICA NOTES FIXED 2.25% 30/APR/2024 USD 100 1.A 6,139 6,139 04/30/2024

912828-6Z-8 UNITED STATES OF AMERICA NOTES FIXED 1.75% 30/JUN/2024 USD 100 1.A 917 917 06/30/2024

912828-7B-0 UNITED STATES OF AMERICA NOTES FIXED 1.875% 30/JUN/2026 USD 100 1.A 1,531 1,531 06/30/2026

912828-7B-0 UNITED STATES OF AMERICA NOTES FIXED 1.875% 30/JUN/2026 USD 100 1.A 583 583 06/30/2026

912828-7D-6 UNITED STATES OF AMERICA NOTES FIXED 0.25% 15/JUL/2029 USD 100 1.A 259 259 07/15/2029

912828-B2-5 UNITED STATES OF AMERICA NOTES FIXED 0.625% 15/JAN/2024 USD 100 1.A 220 220 01/15/2024

912828-B6-6 UNITED STATES OF AMERICA NOTES FIXED 2.75% 15/FEB/2024 USD 100 1.A 1,581 1,581 02/15/2024

912828-D5-6 UNITED STATES OF AMERICA NOTES FIXED 2.375% 15/AUG/2024 USD 100 1.A 12,283 12,283 08/15/2024

912828-D5-6 UNITED STATES OF AMERICA NOTES FIXED 2.375% 15/AUG/2024 USD 100 1.A 5,589 5,589 08/15/2024

912828-G3-8 UNITED STATES OF AMERICA NOTES FIXED 2.25% 15/NOV/2024 USD 100 1.A 25,631 25,631 11/15/2024

912828-G3-8 UNITED STATES OF AMERICA NOTES FIXED 2.25% 15/NOV/2024 USD 100 1.A 4,045 4,045 11/15/2024

912828-H4-5 UNITED STATES OF AMERICA NOTES FIXED 0.25% 15/JAN/2025 USD 100 1.A 3,109 3,109 01/15/2025

912828-K7-4 UNITED STATES OF AMERICA NOTES FIXED 2% 15/AUG/2025 USD 100 1.A 12,829 12,829 08/15/2025

912828-K7-4 UNITED STATES OF AMERICA NOTES FIXED 2% 15/AUG/2025 USD 100 1.A 5,374 5,374 08/15/2025

912828-M5-6 UNITED STATES OF AMERICA NOTES FIXED 2.25% 15/NOV/2025 USD 100 1.A 2,670 2,670 11/15/2025

912828-M5-6 UNITED STATES OF AMERICA NOTES FIXED 2.25% 15/NOV/2025 USD 100 1.A 2,566 2,566 11/15/2025

912828-N3-0 UNITED STATES OF AMERICA NOTES FIXED 2.125% 31/DEC/2022 USD 100 1.A 2,310 2,310 12/31/2022

912828-N7-1 UNITED STATES OF AMERICA NOTES FIXED 0.625% 15/JAN/2026 USD 100 1.A 2,449 2,449 01/15/2026

912828-P3-8 UNITED STATES OF AMERICA NOTES FIXED 1.75% 31/JAN/2023 USD 100 1.A 3,812 3,812 01/31/2023

912828-P4-6 UNITED STATES OF AMERICA NOTES FIXED 1.625% 15/FEB/2026 USD 100 1.A 2,615 2,615 02/15/2026

912828-Q2-9 UNITED STATES OF AMERICA NOTES FIXED 1.5% 31/MAR/2023 USD 100 1.A 2,351 2,351 03/31/2023

912828-Q2-9 UNITED STATES OF AMERICA NOTES FIXED 1.5% 31/MAR/2023 USD 100 1.A 1,160 1,160 03/31/2023

912828-R2-8 UNITED STATES OF AMERICA NOTES FIXED 1.625% 30/APR/2023 USD 100 1.A 4,039 4,039 04/30/2023

912828-R3-6 UNITED STATES OF AMERICA NOTES FIXED 1.625% 15/MAY/2026 USD 100 1.A 789 789 05/15/2026

912828-R6-9 UNITED STATES OF AMERICA NOTES FIXED 1.625% 31/MAY/2023 USD 100 1.A 14,835 14,835 05/31/2023

912828-S3-5 UNITED STATES OF AMERICA NOTES FIXED 1.375% 30/JUN/2023 USD 100 1.A 1,210 1,210 06/30/2023

912828-S9-2 UNITED STATES OF AMERICA NOTES FIXED 1.25% 31/JUL/2023 USD 100 1.A 512 512 07/31/2023

912828-T2-6 UNITED STATES OF AMERICA NOTES FIXED 1.375% 30/SEP/2023 USD 100 1.A 1,811 1,811 09/30/2023

912828-T9-1 UNITED STATES OF AMERICA NOTES FIXED 1.625% 31/OCT/2023 USD 100 1.A 1,000 1,000 10/31/2023

912828-T9-1 UNITED STATES OF AMERICA NOTES FIXED 1.625% 31/OCT/2023 USD 100 1.A 435 435 10/31/2023

912828-U2-4 UNITED STATES OF AMERICA NOTES FIXED 2% 15/NOV/2026 USD 100 1.A 3,402 3,402 11/15/2026

912828-UH-1 UNITED STATES OF AMERICA NOTES FIXED 0.125% 15/JAN/2023 USD 100 1.A 178 178 01/15/2023

912828-UN-8 UNITED STATES OF AMERICA NOTES FIXED 2% 15/FEB/2023 USD 100 1.A 505,308 505,308 02/15/2023

912828-UN-8 UNITED STATES OF AMERICA NOTES FIXED 2% 15/FEB/2023 USD 100 1.A 639 639 02/15/2023

912828-V2-3 UNITED STATES OF AMERICA NOTES FIXED 2.25% 31/DEC/2023 USD 100 1.A 1,170 1,170 12/31/2023

912828-V8-0 UNITED STATES OF AMERICA NOTES FIXED 2.25% 31/JAN/2024 USD 100 1.A 2,167 2,167 01/31/2024

912828-V9-8 UNITED STATES OF AMERICA NOTES FIXED 2.25% 15/FEB/2027 USD 100 1.A 2,921 2,921 02/15/2027

912828-VB-3 UNITED STATES OF AMERICA NOTES FIXED 1.75% 15/MAY/2023 USD 100 1.A 11,380 11,380 05/15/2023

912828-VB-3 UNITED STATES OF AMERICA NOTES FIXED 1.75% 15/MAY/2023 USD 100 1.A 1,740 1,740 05/15/2023

912828-VM-9 UNITED STATES OF AMERICA NOTES FIXED 0.375% 15/JUL/2023 USD 100 1.A 1,414 1,414 07/15/2023

912828-VS-6 UNITED STATES OF AMERICA NOTES FIXED 2.5% 15/AUG/2023 USD 100 1.A 1,847 1,847 08/15/2023

912828-W4-8 UNITED STATES OF AMERICA NOTES FIXED 2.125% 29/FEB/2024 USD 100 1.A 1,052 1,052 02/29/2024

912828-W7-1 UNITED STATES OF AMERICA NOTES FIXED 2.125% 31/MAR/2024 USD 100 1.A 917 917 03/31/2024

912828-WE-6 UNITED STATES OF AMERICA NOTES FIXED 2.75% 15/NOV/2023 USD 100 1.A 2,527 2,527 11/15/2023

912828-WJ-5 UNITED STATES OF AMERICA NOTES FIXED 2.5% 15/MAY/2024 USD 100 1.A 6,441 6,441 05/15/2024

912828-WJ-5 UNITED STATES OF AMERICA NOTES FIXED 2.5% 15/MAY/2024 USD 100 1.A 3,774 3,774 05/15/2024

912828-X7-0 UNITED STATES OF AMERICA NOTES FIXED 2% 30/APR/2024 USD 100 1.A 713 713 04/30/2024

912828-X8-8 UNITED STATES OF AMERICA NOTES FIXED 2.375% 15/MAY/2027 USD 100 1.A 3,284 3,284 05/15/2027

912828-X8-8 UNITED STATES OF AMERICA NOTES FIXED 2.375% 15/MAY/2027 USD 100 1.A 248 248 05/15/2027

912828-XB-1 UNITED STATES OF AMERICA NOTES FIXED 2.125% 15/MAY/2025 USD 100 1.A 6,284 6,284 05/15/2025

912828-XB-1 UNITED STATES OF AMERICA NOTES FIXED 2.125% 15/MAY/2025 USD 100 1.A 3,632 3,632 05/15/2025

912828-XL-9 UNITED STATES OF AMERICA NOTES FIXED 0.375% 15/JUL/2025 USD 100 1.A 1,606 1,606 07/15/2025

912828-XT-2 UNITED STATES OF AMERICA NOTES FIXED 2% 31/MAY/2024 USD 100 1.A 4,001 4,001 05/31/2024

912828-XX-3 UNITED STATES OF AMERICA NOTES FIXED 2% 30/JUN/2024 USD 100 1.A 304 304 06/30/2024

912828-XZ-8 UNITED STATES OF AMERICA NOTES FIXED 2.75% 30/JUN/2025 USD 100 1.A 169 169 06/30/2025

912828-Y3-8 UNITED STATES OF AMERICA NOTES FIXED 0.75% 15/JUL/2028 USD 100 1.A 3,016 3,016 07/15/2028

E25.1




1

CUSIPIdentification

2

Description

3

Code

4NAIC

Designation,NAIC



5

Fair Value

6


7

Maturity Date912828-Y7-9 UNITED STATES OF AMERICA NOTES FIXED 2.875% 31/JUL/2025 USD 100 1.A 344 344 07/31/2025

912828-Y8-7 UNITED STATES OF AMERICA NOTES FIXED 1.75% 31/JUL/2024 USD 100 1.A 567 567 07/31/2024

912828-YB-0 UNITED STATES OF AMERICA NOTES FIXED 1.625% 15/AUG/2029 USD 100 1.A 4,207 4,207 08/15/2029

912828-YH-7 UNITED STATES OF AMERICA NOTES FIXED 1.5% 30/SEP/2024 USD 100 1.A 1,780 1,780 09/30/2024

912828-YL-8 UNITED STATES OF AMERICA NOTES FIXED 0.125% 15/OCT/2024 USD 100 1.A 2,145 2,145 10/15/2024

912828-YS-3 UNITED STATES OF AMERICA NOTES FIXED 1.75% 15/NOV/2029 USD 100 1.A 273 273 11/15/2029

912828-YU-8 UNITED STATES OF AMERICA NOTES FIXED 1.625% 30/NOV/2026 USD 100 1.A 739 739 11/30/2026

912828-YV-6 UNITED STATES OF AMERICA NOTES FIXED 1.5% 30/NOV/2024 USD 100 1.A 236 236 11/30/2024

912828-YY-0 UNITED STATES OF AMERICA NOTES FIXED 1.75% 31/DEC/2024 USD 100 1.A 1,497 1,497 12/31/2024

912828-Z2-9 UNITED STATES OF AMERICA NOTES FIXED 1.5% 15/JAN/2023 USD 100 1.A 588 588 01/15/2023

912828-Z5-2 UNITED STATES OF AMERICA NOTES FIXED 1.375% 31/JAN/2025 USD 100 1.A 1,842 1,842 01/31/2025

912828-Z8-6 UNITED STATES OF AMERICA NOTES FIXED 1.375% 15/FEB/2023 USD 100 1.A 4,500 4,500 02/15/2023

912828-Z9-4 UNITED STATES OF AMERICA NOTES FIXED 1.5% 15/FEB/2030 USD 100 1.A 11,283 11,283 02/15/2030

912828-ZC-7 UNITED STATES OF AMERICA NOTES FIXED 1.125% 28/FEB/2025 USD 100 1.A 3,940 3,940 02/28/2025

912828-ZD-5 UNITED STATES OF AMERICA NOTES FIXED 0.5% 15/MAR/2023 USD 100 1.A 596 596 03/15/2023

912828-ZE-3 UNITED STATES OF AMERICA NOTES FIXED 0.625% 31/MAR/2027 USD 100 1.A 2,428 2,428 03/31/2027

912828-ZF-0 UNITED STATES OF AMERICA NOTES FIXED 0.5% 31/MAR/2025 USD 100 1.A 505 505 03/31/2025

912828-ZH-6 UNITED STATES OF AMERICA NOTES FIXED 0.25% 15/APR/2023 USD 100 1.A 6,988 6,988 04/15/2023

912828-ZJ-2 UNITED STATES OF AMERICA NOTES FIXED 0.125% 15/APR/2025 USD 100 1.A 7,510 7,510 04/15/2025

912828-ZJ-2 UNITED STATES OF AMERICA NOTES FIXED 0.125% 15/APR/2025 USD 100 1.A 15 15 04/15/2025

912828-ZL-7 UNITED STATES OF AMERICA NOTES FIXED 0.375% 30/APR/2025 USD 100 1.A 28 28 04/30/2025

912828-ZQ-6 UNITED STATES OF AMERICA NOTES FIXED 0.625% 15/MAY/2030 USD 100 1.A 3,986 3,986 05/15/2030

912828-ZS-2 UNITED STATES OF AMERICA NOTES FIXED 0.5% 31/MAY/2027 USD 100 1.A 1,189 1,189 05/31/2027

912828-ZT-0 UNITED STATES OF AMERICA NOTES FIXED 0.25% 31/MAY/2025 USD 100 1.A 5,866 5,866 05/31/2025

912828-ZV-5 UNITED STATES OF AMERICA NOTES FIXED 0.5% 30/JUN/2027 USD 100 1.A 3,299 3,299 06/30/2027

912828-ZW-3 UNITED STATES OF AMERICA NOTES FIXED 0.25% 30/JUN/2025 USD 100 1.A 13,275 13,275 06/30/2025

912828-ZZ-6 UNITED STATES OF AMERICA NOTES FIXED 0.125% 15/JUL/2030 USD 100 1.A 1,189 1,189 07/15/2030

91282C-AB-7 UNITED STATES OF AMERICA NOTES FIXED 0.25% 31/JUL/2025 USD 100 1.A 2,716 2,716 07/31/2025

91282C-AE-1 UNITED STATES OF AMERICA NOTES FIXED 0.625% 15/AUG/2030 USD 100 1.A 8,724 8,724 08/15/2030

91282C-AK-7 UNITED STATES OF AMERICA NOTES FIXED 0.125% 15/SEP/2023 USD 100 1.A 4,783 4,783 09/15/2023

91282C-AL-5 UNITED STATES OF AMERICA NOTES FIXED 0.375% 30/SEP/2027 USD 100 1.A 2,063 2,063 09/30/2027

91282C-AM-3 UNITED STATES OF AMERICA NOTES FIXED 0.25% 30/SEP/2025 USD 100 1.A 6,223 6,223 09/30/2025

91282C-AP-6 UNITED STATES OF AMERICA NOTES FIXED 0.125% 15/OCT/2023 USD 100 1.A 2,089 2,089 10/15/2023

91282C-AV-3 UNITED STATES OF AMERICA NOTES FIXED 0.875% 15/NOV/2030 USD 100 1.A 6,838 6,838 11/15/2030

91282C-AW-1 UNITED STATES OF AMERICA NOTES FIXED 0.25% 15/NOV/2023 USD 100 1.A 2,121 2,121 11/15/2023

91282C-AY-7 UNITED STATES OF AMERICA NOTES FIXED 0.625% 30/NOV/2027 USD 100 1.A 1,315 1,315 11/30/2027

91282C-BA-8 UNITED STATES OF AMERICA NOTES FIXED 0.125% 15/DEC/2023 USD 100 1.A 1,701 1,701 12/15/2023

91282C-BB-6 UNITED STATES OF AMERICA NOTES FIXED 0.625% 31/DEC/2027 USD 100 1.A 73 73 12/31/2027

91282C-BC-4 UNITED STATES OF AMERICA NOTES FIXED 0.375% 31/DEC/2025 USD 100 1.A 2,057 2,057 12/31/2025

91282C-BD-2 UNITED STATES OF AMERICA NOTES FIXED 0.125% 31/DEC/2022 USD 100 1.A 2,204 2,204 12/31/2022

91282C-BD-2 UNITED STATES OF AMERICA NOTES FIXED 0.125% 31/DEC/2022 USD 100 1.A 1,510 1,510 12/31/2022

91282C-BE-0 UNITED STATES OF AMERICA NOTES FIXED 0.125% 15/JAN/2024 USD 100 1.A 4,323 4,323 01/15/2024

91282C-BF-7 UNITED STATES OF AMERICA NOTES FIXED 0.125% 15/JAN/2031 USD 100 1.A 254 254 01/15/2031

91282C-BG-5 UNITED STATES OF AMERICA NOTES FIXED 0.125% 31/JAN/2023 USD 100 1.A 1,974 1,974 01/31/2023

91282C-BH-3 UNITED STATES OF AMERICA NOTES FIXED 0.375% 31/JAN/2026 USD 100 1.A 1,468 1,468 01/31/2026

91282C-BH-3 UNITED STATES OF AMERICA NOTES FIXED 0.375% 31/JAN/2026 USD 100 1.A 722 722 01/31/2026

91282C-BL-4 UNITED STATES OF AMERICA NOTES FIXED 1.125% 15/FEB/2031 USD 100 1.A 1,671 1,671 02/15/2031

91282C-BP-5 UNITED STATES OF AMERICA NOTES FIXED 1.125% 29/FEB/2028 USD 100 1.A 2,137 2,137 02/29/2028

91282C-BQ-3 UNITED STATES OF AMERICA NOTES FIXED 0.5% 28/FEB/2026 USD 100 1.A 229 229 02/28/2026

91282C-BS-9 UNITED STATES OF AMERICA NOTES FIXED 1.25% 31/MAR/2028 USD 100 1.A 679 679 03/31/2028

91282C-BT-7 UNITED STATES OF AMERICA NOTES FIXED 0.75% 31/MAR/2026 USD 100 1.A 143 143 03/31/2026

91282C-BU-4 UNITED STATES OF AMERICA NOTES FIXED 0.125% 31/MAR/2023 USD 100 1.A 516 516 03/31/2023

91282C-BV-2 UNITED STATES OF AMERICA NOTES FIXED 0.375% 15/APR/2024 USD 100 1.A 7,132 7,132 04/15/2024

91282C-BW-0 UNITED STATES OF AMERICA NOTES FIXED 0.75% 30/APR/2026 USD 100 1.A 968 968 04/30/2026

91282C-BX-8 UNITED STATES OF AMERICA NOTES FIXED 0.125% 30/APR/2023 USD 100 1.A 6,218 6,218 04/30/2023

91282C-BZ-3 UNITED STATES OF AMERICA NOTES FIXED 1.25% 30/APR/2028 USD 100 1.A 551 551 04/30/2028

91282C-CB-5 UNITED STATES OF AMERICA NOTES FIXED 1.625% 15/MAY/2031 USD 100 1.A 1,777 1,777 05/15/2031

91282C-CE-9 UNITED STATES OF AMERICA NOTES FIXED 1.25% 31/MAY/2028 USD 100 1.A 95,303 95,303 05/31/2028

91282C-CF-6 UNITED STATES OF AMERICA NOTES FIXED 0.75% 31/MAY/2026 USD 100 1.A 224 224 05/31/2026

91282C-CG-4 UNITED STATES OF AMERICA NOTES FIXED 0.25% 15/JUN/2024 USD 100 1.A 1,208 1,208 06/15/2024

91282C-CH-2 UNITED STATES OF AMERICA NOTES FIXED 1.25% 30/JUN/2028 USD 100 1.A 185,737 185,737 06/30/2028

91282C-CH-2 UNITED STATES OF AMERICA NOTES FIXED 1.25% 30/JUN/2028 USD 100 1.A 1,261 1,261 06/30/2028

91282C-CV-1 UNITED STATES OF AMERICA NOTES FIXED 1.125% 31/AUG/2028 USD 100 1.A 178,157 178,157 08/31/2028

91282C-CW-9 UNITED STATES OF AMERICA NOTES FIXED 0.75% 31/AUG/2026 USD 100 1.A 2,179 2,179 08/31/2026

91282C-DA-6 UNITED STATES OF AMERICA NOTES FIXED 0.25% 30/SEP/2023 USD 100 1.A 1,051 1,051 09/30/2023

912810-ET-1 UNITED STATES OF AMERICA BOND FIXED 7.625% 15/FEB/2025 USD 100 1.A 4,434 4,434 02/15/2025

0199999. Subtotal - Bonds - U.S. Governments - Issuer Obligations 2,269,550 2,269,550 XXX

0599999. Total - U.S. Government Bonds 2,269,550 2,269,550 XXX

1099999. Total - All Other Government Bonds 0 0 XXX

1799999. Total - U.S. States, Territories and Possessions Bonds 0 0 XXX

2499999. Total - U.S. Political Subdivisions Bonds 0 0 XXX

3199999. Total - U.S. Special Revenues Bonds 0 0 XXX

3899999. Total - Industrial and Miscellaneous (Unaffiliated) Bonds 0 0 XXX

4899999. Total - Hybrid Securities 0 0 XXX

5599999. Total - Parent, Subsidiaries and Affiliates Bonds 0 0 XXX

6299999. Subtotal - Unaffiliated Bank Loans 0 0 XXX

6399999. Total - Issuer Obligations 2,269,550 2,269,550 XXX

6499999. Total - Residential Mortgage-Backed Securities 0 0 XXX

6599999. Total - Commercial Mortgage-Backed Securities 0 0 XXX

6699999. Total - Other Loan-Backed and Structured Securities 0 0 XXX

6799999. Total - SVO Identified Funds 0 0 XXX

6899999. Total - Affiliated Bank Loans 0 0 XXX

6999999. Total - Unaffiliated Bank Loans 0 0 XXX

7099999. Total Bonds 2,269,550 2,269,550 XXX

7399999. Total - Preferred Stocks (Schedule D, Part 2, Section 1 type) 0 0 XXX

7999999. Total - Common Stocks (Schedule D, Part 2, Section 2 type) 0 0 XXX

8099999. Total - Preferred and Common Stocks 0 0 XXX SALISBURY RECEIVABLES COMPANY LLC 1.E 75,398 75,378 01/05/2022

SALISBURY RECEIVABLES COMPANY LLC 1.E 54,875 54,860 01/05/2022

MORGAN STANLEY 1.E 829,412 829,412 04/05/2022

MORGAN STANLEY 1.E 603,646 603,646 04/05/2022

MORGAN STANLEY 1.E 1,131,016 1,131,016 06/30/2022

MORGAN STANLEY 1.E 823,154 823,154 06/30/2022

UBS AG LONDON 1.D 301,044 301,071 06/08/2022

UBS AG LONDON 1.D 219,100 219,119 06/08/2022

UBS AG LONDON 1.D 527,298 526,851 03/30/2022

UBS AG LONDON 1.D 383,768 383,442 03/30/2022



UNITED STATES OF AMERICA NOTES FIXED 0.375% 31/MAR/2022 USD 100 1.A 107 107 03/31/2022

UNITED STATES OF AMERICA NOTES VARIABLE 30/APR/2022 USD 100 1.A 15,664 15,664 04/30/2022






UNITED STATES OF AMERICA NOTES FIXED 1.875% 30/APR/2022 USD 100 1.A 215 215 04/30/2022



E25.2




1

CUSIPIdentification

2

Description

3

Code

4NAIC

Designation,NAIC



5

Fair Value

6


7

Maturity Date UNITED STATES OF AMERICA NOTES FIXED 1.875% 31/MAY/2022 USD 100 1.A 501 501 05/31/2022

UNITED STATES OF AMERICA NOTES FIXED 1.75% 31/MAY/2022 USD 100 1.A 90 90 05/31/2022





UNITED STATES OF AMERICA NOTES VARIABLE 31/JUL/2022 USD 100 1.A 1,196 1,196 07/31/2022


UNITED STATES OF AMERICA NOTES FIXED 1.875% 31/AUG/2022 USD 100 1.A 273 273 08/31/2022






UNITED STATES OF AMERICA NOTES FIXED 2% 30/NOV/2022 USD 100 1.A 2,193 2,193 11/30/2022


UNITED STATES OF AMERICA NOTES FIXED 1.625% 15/DEC/2022 USD 100 1.A 411 411 12/15/2022

8999999. Total - Short-Term Invested Assets (Schedule DA type) 5,066,169 5,065,407 XXX ROYAL BANK OF CANADA 875,428 875,428 01/03/2022

ROYAL BANK OF CANADA 637,137 637,137 01/03/2022

NATL BANK CANADA 723,851 723,851 01/07/2022

NATL BANK CANADA 526,818 526,818 01/07/2022

SHINKIN CENTRAL BANK 708,770 708,770 01/28/2022




CREDIT SUISSE NY 226,203 226,203 03/18/2022

CREDIT SUISSE NY 164,631 164,631 03/18/2022

MUFG Bank Ltd, London Branch 301,604 301,604 01/10/2022

MUFG Bank Ltd, London Branch 219,508 219,508 01/10/2022

MUFG Bank Ltd, New York Branch 377,011 377,005 01/11/2022

MUFG Bank Ltd, New York Branch 274,389 274,385 01/11/2022

MIZUHO BANK LIMITED NEW YORK 376,964 377,005 03/25/2022

MIZUHO BANK LIMITED NEW YORK 274,354 274,385 03/25/2022

STANDARD CHARTERED NY 301,610 301,604 02/02/2022

STANDARD CHARTERED NY 219,512 219,508 02/02/2022

SOCIETE GENERALE NEW YORK 376,967 377,005 03/15/2022

SUMITOMO MITSUI TRUST BANK LTD, LDN 301,613 301,604 04/28/2022

SUMITOMO BK NY 376,941 377,005 03/15/2022

SOCIETE GENERALE NEW YORK 274,356 274,385 03/15/2022


SUMITOMO BK NY 274,338 274,385 03/15/2022

CIC LONDON 678,148 678,061 04/14/2022

NATIXIS NY 256,405 256,364 06/09/2022


CIC LONDON 493,556 493,493 04/14/2022

NATIXIS NY 186,611 186,582 06/09/2022


GOLDMAN SACHS BANK USA 588,149 588,129 02/04/2022

GOLDMAN SACHS BANK USA 428,055 428,040 02/04/2022

CIBC NY 180,966 180,963 01/24/2022

CIBC NY 131,707 131,705 01/24/2022

NATIONAL AUSTRALIA BANK LONDON 226,192 226,203 03/02/2022

NATIONAL AUSTRALIA BANK LONDON 164,623 164,631 03/02/2022

BARCLAYS NEW YORK 829,293 829,412 04/07/2022

BARCLAYS NEW YORK 603,560 603,646 04/07/2022

RABOBANK LONDON 753,958 754,011 03/18/2022

RABOBANK LONDON 548,731 548,769 03/18/2022

9099999. Total - Cash (Schedule E Part 1 type) 15,216,356 15,216,417 XXX ING BANK NV, LONDON BRANCH 1.E 2,161,571 2,161,571 01/03/2022

TD PRIME SVCS 1.E 452,407 452,407 01/03/2022

NATIXIS FINANCIAL PRODUCTS LLC 1.E 286,524 286,524 01/03/2022

ING BANK NV, LONDON BRANCH 1.E 1,573,191 1,573,191 01/03/2022

TD PRIME SVCS 1.E 329,262 329,262 01/03/2022


BOFA SECURITIES, INC 1.E 377,005 377,005 01/04/2022

BOFA SECURITIES, INC 1.E 274,385 274,385 01/04/2022

UNITED OF OMAHA LIFE INSURANCE 1.E 150,802 150,802 01/31/2022




BANK OF MONTREAL, LONDON SCM USD 1.C 1,508,022 1,508,022 02/04/2022

BANK OF MONTREAL, LONDON SCM USD 1.C 321,209 321,209 02/04/2022


DEUTSCHE BANK SECURITIES INC. 1.E 754,011 754,011 02/04/2022

ING BANK NV, LONDON BRANCH 1.E 799,252 799,252 02/04/2022


ING FINANCIAL MARKETS LLC RPEQ 1.E 377,005 377,005 02/04/2022


RBC CAPITAL MKS 1.G 377,005 377,005 02/04/2022

RBC CAPITAL MKS 1.G 754,011 754,011 02/04/2022

ROYAL BANK CANADA TORONTO 1.C 754,011 754,011 02/04/2022


ROYAL BANK CANADA TORONTO 1.C 1,131,016 1,131,016 02/04/2022


BANK OF MONTREAL, LONDON SCM USD 1.C 1,097,538 1,097,538 02/04/2022



DEUTSCHE BANK SECURITIES INC. 1.E 548,769 548,769 02/04/2022



ING FINANCIAL MARKETS LLC RPEQ 1.E 274,385 274,385 02/04/2022


RBC CAPITAL MKS 1.G 274,385 274,385 02/04/2022

RBC CAPITAL MKS 1.G 548,769 548,769 02/04/2022





ROYAL BANK CANADA TORONTO 1.C 1,131,016 1,131,016 02/04/2022


018616-74-8 ALLIANCE BERNSTEIN GOVT FD 1.A 211,123 211,123 01/03/2022

018616-74-8 ALLIANCE BERNSTEIN GOVT FD 1.A 153,655 153,655 01/03/2022

261908-10-7 DREYFUS TREASURY & AGENCY LEX 1.A 105,562 105,562 01/03/2022

261908-10-7 DREYFUS TREASURY & AGENCY LEX 1.A 76,828 76,828 01/03/2022

31607A-70-3 FIDELITY INST GOVT LEX 1.A 477,436 477,436 01/03/2022

31607A-70-3 FIDELITY INST GOVT LEX 1.A 347,478 347,478 01/03/2022

38141W-27-3 Goldman Sachs Fin Square Govt Fd 1.A 141,237 141,237 01/03/2022

38141W-27-3 Goldman Sachs Fin Square Govt Fd 1.A 102,793 102,793 01/03/2022

61747C-70-7 MS GOVT US 1.A 59,269 59,269 01/03/2022

61747C-70-7 MS GOVT US 1.A 43,136 43,136 01/03/2022

74926P-69-6 RBC US GOVT MONEY MKT FUND 1.A 630,353 630,353 01/03/2022

74926P-69-6 RBC US GOVT MONEY MKT FUND 1.A 458,771 458,771 01/03/2022

E25.3




1

CUSIPIdentification

2

Description

3

Code

4NAIC

Designation,NAIC



5

Fair Value

6


7

Maturity Date857492-70-6 STATE STREET INST US GOVT FUND 1.A 1,142,645 1,142,642 01/03/2022

857492-70-6 STATE STREET INST US GOVT FUND 1.A 831,617 831,617 01/03/2022


UNITED STATES OF AMERICA NOTES FIXED 2.5% 15/FEB/2022 USD 100 1.A 259 259 02/15/2022

UNITED STATES OF AMERICA NOTES FIXED 1.5% 31/JAN/2022 USD 100 1.A 532 532 01/31/2022



UNITED STATES OF AMERICA NOTES FIXED 1.125% 28/FEB/2022 USD 100 1.A 87 87 02/28/2022

949921-12-6 WELLS FARGO GOVT FD LEX 1.A 98,717 98,718 01/03/2022

949921-12-6 WELLS FARGO GOVT FD LEX 1.A 71,846 71,846 01/03/2022



UNITED STATES OF AMERICA NOTES FIXED 2% 15/FEB/2022 USD 100 1.A 2,542 2,542 02/15/2022

9199999. Total - Cash Equivalents (Schedule E Part 2 type) 28,724,122 28,724,120 XXX9999999 - Totals 51,276,197 51,275,494 XXX

General Interrogatories:1. Total activity for the year Fair Value $ 36,818,359 Book/Adjusted Carrying Value $ 36,817,728 2. Average balance for the year Fair Value $ 26,631,159 Book/Adjusted Carrying Value $ 26,630,328 3.

LineNumber


3A 1A $ 7,409,958 1B $ 0 1C $ 11,368,059 1D $ 1,430,483 1E $ 13,896,407 1F $ 0 1G $ 1,954,170

3B 2A $ 0 2B $ 0 2C $ 0

3C 3A $ 0 3B $ 0 3C $ 0

3D 4A $ 0 4B $ 0 4C $ 0

3E 5A $ 0 5B $ 0 5C $ 0

3F 6 $ 0

E25.4


Schedule DL - Part 2 - Reinvested Collateral Assets Owned

N O N E

E26


SCHEDULE E - PART 1 - CASH1

Depository

2

Code

3

Rate ofInterest

4Amount of Interest Received During

Year

5Amount of Interest

Accrued December 31 of Current Year

6

Balance

7

*

Bank of America

101 S. Tryon Street, 19th Floor,

Charlotte, NC 28255 0.000 0 0 (4,329,349) XXX

Bank of New York Mellon

500 Ross Street, Suite 154-1320,

Pittsburgh, PA 15262 0.000 0 0 189,250 XXX

JP Morgan Chase

4 New York Plaza, 13th Floor, New

York, NY 10004 0.000 0 0 29,772,109 XXX

0199998 Deposits in ... depositories which do not exceed the allowable limit in any one depository (See instructions) - open depositories XXX XXX XXX

0199999. Totals - Open Depositories XXX XXX 0 0 25,632,010 XXX

0299998 Deposits in ... depositories which do not exceed the allowable limit in any one depository (See instructions) - suspended depositories XXX XXX XXX

0299999. Totals - Suspended Depositories XXX XXX 0 0 0 XXX

0399999. Total Cash on Deposit XXX XXX 0 0 25,632,010 XXX

0499999. Cash in Company's Office XXX XXX XXX XXX XXX

0599999 Total - Cash XXX XXX 0 0 25,632,010 XXX

TOTALS OF DEPOSITORY BALANCES ON THE LAST DAY OF EACH MONTH DURING THE CURRENT YEAR

1. January 53,026,988 4. April 4,251,362 7. July 23,644,379 10. October 5,615,400

2. February 20,414,220 5. May 544,135 8. August (2,667,987) 11. November (3,425,719)

3. March 97,574,588 6. June 68,373,311 9. September 51,651,569 12. December 25,632,010

E27


SCHEDULE E - PART 2 - CASH EQUIVALENTSShow Investments Owned December 31 of Current Year

1

CUSIP

2

Description

3

Code

4

Date Acquired

5

Rate of Interest

6

Maturity Date

7Book/AdjustedCarrying Value

8Amount of InterestDue and Accrued

9Amount Received

During Year

0599999. Total - U.S. Government Bonds 0 0 0

1099999. Total - All Other Government Bonds 0 0 0

1799999. Total - U.S. States, Territories and Possessions Bonds 0 0 0

2499999. Total - U.S. Political Subdivisions Bonds 0 0 0

3199999. Total - U.S. Special Revenues Bonds 0 0 0

3899999. Total - Industrial and Miscellaneous (Unaffiliated) Bonds 0 0 0

4899999. Total - Hybrid Securities 0 0 0

5599999. Total - Parent, Subsidiaries and Affiliates Bonds 0 0 0

6599999. Subtotal - Unaffiliated Bank Loans 0 0 0

7699999. Total - Issuer Obligations 0 0 0

7799999. Total - Residential Mortgage-Backed Securities 0 0 0

7899999. Total - Commercial Mortgage-Backed Securities 0 0 0

7999999. Total - Other Loan-Backed and Structured Securities 0 0 0

8099999. Total - SVO Identified Funds 0 0 0

8199999. Total - Affiliated Bank Loans 0 0 0

8299999. Total - Unaffiliated Bank Loans 0 0 0

8399999. Total Bonds 0 0 0

25160K-20-7 DEUTSCHE GOVT MMKT SER 12/15/2021 0.000 20,000,000 0 1,531

608919-71-8 FEDERATED GOVERNMENT OBLIGATIO 12/15/2021 0.000 20,000,000 0 96

61747C-71-5 MORGAN STANLEY LIQ PRIME - IN 10/01/2021 0.000 13,997,400 0 0

665278-70-1 NRTHRN INST US GOVT SEL SHR 12/15/2021 0.000 4,000,000 0 673

8699999. Subtotal - All Other Money Market Mutual Funds 57,997,400 0 2,300

9999999 - Total Cash Equivalents 57,997,400 0 2,300

1.

LineNumber


1A 1A $ 0 1B $ 0 1C $ 0 1D $ 0 1E $ 0 1F $ 0 1G $ 0

1B 2A $ 0 2B $ 0 2C $ 0

1C 3A $ 0 3B $ 0 3C $ 0

1D 4A $ 0 4B $ 0 4C $ 0

1E 5A $ 0 5B $ 0 5C $ 0

1F 6 $ 0

E28


SCHEDULE E - PART 3 - SPECIAL DEPOSITS1 2 Deposits For the

Benefit of All Policyholders All Other Special Deposits

States, Etc.Type of Deposit Purpose of Deposit


4

Fair Value


6

Fair Value

1. Alabama AL

2. Alaska AK

3. Arizona AZ

4. Arkansas AR B Department requirement 113,992 123,652

5. California CA

6. Colorado CO

7. Connecticut CT

8. Delaware DE

9. District of Columbia DC

10. Florida FL

11. Georgia GA

12. Hawaii HI

13. Idaho ID

14. Illinois IL

15. Indiana IN

16. Iowa IA

17. Kansas KS

18. Kentucky KY

19. Louisiana LA

20. Maine ME

21. Maryland MD

22. Massachusetts MA

23. Michigan MI

24. Minnesota MN

25. Mississippi MS

26. Missouri MO

27. Montana MT

28. Nebraska NE

29. Nevada NV

30. New Hampshire NH

31. New Jersey NJ

32. New Mexico NM B Department requirement 227,984 247,304

33. New York NY

34. North Carolina NC

35. North Dakota ND

36. Ohio OH

37. Oklahoma OK

38. Oregon OR

39. Pennsylvania PA

40. Rhode Island RI

41. South Carolina SC

42. South Dakota SD

43. Tennessee TN

44. Texas TX B State insolvency deposit 1,706,784 1,770,376

45. Utah UT

46. Vermont VT

47. Virginia VA

48. Washington WA

49. West Virginia WV

50. Wisconsin WI

51. Wyoming WY

52. American Samoa AS

53. Guam GU

54. Puerto Rico PR

55. U.S. Virgin Islands VI

56. Northern Mariana Islands MP

57. Canada CAN

58. Aggregate Alien and Other OT XXX XXX 0 0 0 0

59. Subtotal XXX XXX 1,706,784 1,770,376 341,976 370,956

DETAILS OF WRITE-INS

5801.

5802.

5803.

5898. Summary of remaining write-ins for Line 58 from overflow page XXX XXX 0 0 0 0

5899. Totals (Lines 5801 thru 5803 plus 5898)(Line 58 above) XXX XXX 0 0 0 0

E29

14078 Amerigroup Insurance Company Original Filing March ...

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Transcript of 14078 Amerigroup Insurance Company Original Filing March ...